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<SEC-DOCUMENT>0000928816-06-000064.txt : 20060127
<SEC-HEADER>0000928816-06-000064.hdr.sgml : 20060127
<ACCEPTANCE-DATETIME>20060127152932
ACCESSION NUMBER:		0000928816-06-000064
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20051130
FILED AS OF DATE:		20060127
DATE AS OF CHANGE:		20060127
EFFECTIVENESS DATE:		20060127

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PUTNAM HIGH INCOME SECURITIES FUND
		CENTRAL INDEX KEY:			0000810943
		IRS NUMBER:				046562068
		STATE OF INCORPORATION:			MA
		FISCAL YEAR END:			0831

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05133
		FILM NUMBER:		06557536

	BUSINESS ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		STREET 2:		MAILSTOP A 14
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
		BUSINESS PHONE:		8002251581

	MAIL ADDRESS:	
		STREET 1:		PUTNAM LLC
		STREET 2:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	PUTNAM HIGH INCOME BOND FUND
		DATE OF NAME CHANGE:	20030408

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	PUTNAM HIGH BOND FUND
		DATE OF NAME CHANGE:	20021107

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	PUTNAM HIGH INCOME CONVERTIBLE & BOND FUND
		DATE OF NAME CHANGE:	19920703
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>a_phi1.htm
<DESCRIPTION>PUTNAM HIGH INCOME SECURITIES FUND
<TEXT>
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<!--$$/page=--><A name=page_1></A>
<P align=left><FONT face=sans-serif size=2
BASEFACE="sans-serif">Item 1: Schedule of Investments</FONT></P>
<P align=left><FONT face=sans-serif size=4
BASEFACE="sans-serif">Putnam High Income Securities Fund</P>
<P align=left>
<HR noShade SIZE=1>
</FONT><FONT face=sans-serif size=2>The
fund's portfolio<BR></FONT><FONT face=Arial><FONT size=1
BASEFACE="sans-serif">November 30, 2005 (Unaudited)</FONT></FONT>
<P></P>
<TABLE style="WIDTH: 879px; HEIGHT: 2324px" cellSpacing=1 cellPadding=0
width=879 border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=1
     >CORPORATE BONDS AND NOTES (42.1%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=1
     >Advertising and Marketing Services (0.2%)</FONT></B>&nbsp;
</TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Affinion Group, Inc. 144A
      company guaranty 10 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""><FONT
      face=Arial size=1>$</FONT></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""><FONT
      face=Arial size=1>$</FONT></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>175,288</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Lamar Media Corp. company
      guaranty 7 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>133,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><B><FONT face=sans-serif
      size=1
     >309,188</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=1
     >Automotive (1.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Dana Corp. notes 10 1/8s,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>31,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Dana Corp. notes 9s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>226,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>185,320</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Delco Remy International, Inc.
      company guaranty 11s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>4,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>1,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Dura Operating Corp. company
      guaranty Ser. B, 8 5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>124,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>102,920</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Ford Motor Co. notes 7.45s,
      2031</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>340,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>239,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Ford Motor Credit Corp. bonds 7
      3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>360,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>327,078</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Ford Motor Credit Corp. notes 7
      7/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>910,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>852,854</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>General Motors Acceptance Corp.
      bonds 8s, 2031</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>720,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>706,054</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>General Motors Acceptance Corp.
      notes 5 1/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>135,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>121,035</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Meritor Automotive, Inc. notes
      6.8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>145,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>132,675</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Tenneco Automotive, Inc. company
      guaranty 8 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>121,388</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Tenneco Automotive, Inc. sec.
      notes Ser. B, 10 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>275,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>300,428</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>TRW Automotive Inc. sr. notes 9
      3/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>129,300</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>TRW Automotive Inc. sr. sub.
      notes 11s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>206,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><B><FONT face=sans-serif
      size=1
     >3,458,902</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=1
     >Basic Materials (4.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Abitibi-Consolidated Finance LP
      company guaranty 7 7/8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>2,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>1,985</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>AK Steel Corp. company guaranty
      7 7/8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>20,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>19,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Almatis Investment Holdings
      S.a.r.l. sr. notes 11s, 2013 (Luxembourg) (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>232,772</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>249,648</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>ALROSA Finance SA 144A company
      guaranty 8 7/8s, 2014 (Luxembourg)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>160,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>183,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>BCP Crystal US Holdings Corp.
      sr. sub. notes 9 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>170,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>188,488</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Century Aluminum Co. company
      guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>80,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>77,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Chaparral Steel Co. 144A sr.
      unsecd. notes 10s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>270,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>286,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Chesapeake Corp. sr. sub. notes
      7s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%"><FONT face=Arial
      size=1>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>245,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>282,597</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Cognis Holding GmbH &amp; Co.
      144A sr. notes 9 1/2s, 2014 (Germany)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%"><FONT face=Arial
      size=1>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>275,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>348,159</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Compass Minerals Group, Inc.
      company guaranty 10s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>$185,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>199,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Compass Minerals International,
      Inc. sr. disc. notes stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>56,225</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Compass Minerals International,
      Inc. sr. notes stepped-coupon zero % (12 3/4s, 12/15/07), 2012
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>310,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>275,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Crystal US Holdings, LLC sr.
      disc. notes stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>71,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Equistar Chemicals LP/Equistar
      Funding Corp. company guaranty 10 1/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>352,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>383,680</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Georgia-Pacific Corp. company
      guaranty 9 3/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>165,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>185,006</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Georgia-Pacific Corp. company
      guaranty 8 7/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>160,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Gerdau Ameristeel Corp. sr.
      notes 10 3/8s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>264,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Gibraltar Industries, Inc. 144A
      sr. sub. notes 8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>105,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>105,788</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Hercules, Inc. company guaranty
      6 3/4s, 2029</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>174,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Huntsman Advanced Materials, LLC
      sec. FRN 11.82s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>13,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>13,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Huntsman Advanced Materials, LLC
      sec. notes 11s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>74,263</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Huntsman, LLC company guaranty
      11 5/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>97,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>110,216</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Huntsman, LLC company guaranty
      11 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>53,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>60,288</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Innophos, Inc. 144A sr. sub.
      notes 9 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>425,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>427,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Ispat Inland ULC sec. notes 9
      3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>300,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>338,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Jefferson Smurfit Corp. company
      guaranty 7 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>138,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>JSG Holding PLC 144A sr. notes
      11 1/2s, 2015 (Ireland) (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%"><FONT face=Arial
      size=1>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>161,715</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>171,567</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Lyondell Chemical Co. bonds 11
      1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>$20,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>22,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Lyondell Chemical Co. company
      guaranty 10 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>270,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>306,788</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Lyondell Chemical Co. notes Ser.
      A, 9 5/8s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>86,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>90,085</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>MDP Acquisitions PLC sr. notes 9
      5/8s, 2012 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>310,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>306,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Metals USA, Inc. 144A sec. notes
      11 1/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>122,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Nalco Co. sr. sub. notes 9s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%"><FONT face=sans-serif
      size=1>EUR<FONT face="Times New Roman"
      size=3>&nbsp; </FONT></FONT></TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>190,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>242,674</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Nalco Co. sr. sub. notes 8 7/8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>$180,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>186,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Nell AF S.a.r.l. 144A sr. notes
      8 3/8s, 2015 (Luxembourg)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>160,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>156,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Nell AF S.a.r.l. 144A sr. notes
      8 3/8s, 2015 (Luxembourg)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%"><FONT face=Arial
      size=1>EUR<FONT face="Times New Roman" size=3>&nbsp; </FONT></FONT></TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>50,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>59,087</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>NewPage Corp. sec. notes 10s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>$160,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>157,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Norske Skog Canada, Ltd. sr.
      notes 7 3/8s, 2014 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>265,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>239,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Novelis, Inc. 144A sr. notes 7
      1/2s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>605,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>565,675</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>PCI Chemicals Canada sec. sr.
      notes 10s, 2008 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>148,822</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>156,077</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>PQ Corp. 144A company guaranty 7
      1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>55,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>50,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Pregis Corp. 144A company
      guaranty 12 3/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>190,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>185,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Rockwood Specialties Group, Inc.
      company guaranty 7 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>310,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>375,660</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>SGL Carbon Luxembourg SA 144A
      sr. notes 8 1/2s, 2012 (Luxembourg)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%"><FONT face=Arial
      size=1>EUR</FONT>&nbsp; <FONT face=Arial size=1></FONT></TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>77,341</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Steel Dynamics, Inc. company
      guaranty 9 1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>$180,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>189,675</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Sterling Chemicals, Inc. sec.
      notes 10s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>17,046</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>16,364</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Stone Container Corp. sr. notes
      9 3/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>225,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>229,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Stone Container Corp. sr. notes
      8 3/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>95,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>92,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Stone Container Finance company
      guaranty 7 3/8s, 2014 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>115,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>104,938</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Tembec Industries, Inc. company
      guaranty 8 5/8s, 2009 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>3,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>1,980</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Tembec Industries, Inc. company
      guaranty 8 1/2s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>24,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>14,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Ucar Finance, Inc. company
      guaranty 10 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>126,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>United States Steel Corp. sr.
      notes 9 3/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>279,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>303,064</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Wheeling-Pittsburgh Steel Corp.
      sr. notes 6s, 2010 (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>12,646</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>10,117</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Wheeling-Pittsburgh Steel Corp.
      sr. notes 5s, 2011 (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>23,885</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>19,407</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>WHX Corp. sr. notes 10 1/2s,
      2005 (In default) (F)(NON)(DEF)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>4</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><B><FONT face=sans-serif
      size=1
     >9,278,146</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=1
     >Building Materials (0.7%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Associated Materials, Inc.
      company guaranty 9 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>122,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Building Materials Corp. company
      guaranty 8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>70,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>70,263</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Goodman Global Holding Co., Inc.
      144A sr. notes 6.41s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>118,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Goodman Global Holding Co., Inc.
      144A sr. sub. notes 7 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>169,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>NTK Holdings, Inc. sr. disc.
      notes zero %, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>135,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>81,675</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Texas Industries, Inc. 144A sr.
      notes 7 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>300,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>310,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>THL Buildco, Inc. (Nortek
      Holdings, Inc.) sr. sub. notes 8 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>460,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>441,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><B><FONT face=sans-serif
      size=1
     >1,314,238</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT
      face=sans-serif size=1
     >Capital Goods (3.7%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>AEP Industries, Inc. sr. unsub.
      7 7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%">&nbsp; </TD>
    <TD noWrap align=right width="11%" background=""></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>73,019</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif
      size=1>Aero Invest 1 SA 144A company
      guaranty FRN 10.634s, 2015 (Luxembourg) (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=middle width="15%"><FONT face=Arial
      size=1>EUR<FONT face="Times New Roman" size=3>&nbsp; </FONT></FONT></TD>
    <TD noWrap align=right width="11%" background=""><FONT
      face=Arial size=1></FONT></TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif
      size=1>369,826</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""></TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif
      size=1>441,400</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_2></A>
<TABLE cellSpacing=1 cellPadding=0 width="100%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Allied Waste North America, Inc.
      company guaranty Ser. B, 8 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""><FONT
      face=Arial size=1>$</FONT></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>293,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>307,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Allied Waste North America, Inc.
      sec. notes Ser. B, 5 3/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>28,575</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Amsted Industries, Inc. 144A sr.
      notes 10 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>420,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>454,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Argo-Tech Corp. company guaranty
      9 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>165,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>170,363</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>BE Aerospace, Inc. sr. notes 8
      1/2s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>321,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>343,470</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Blount, Inc. sr. sub. notes 8
      7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>160,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>166,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Bombardier, Inc. 144A notes 6
      3/4s, 2012 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>92,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Browning-Ferris Industries, Inc.
      debs. 7.4s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>57,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Browning-Ferris Industries, Inc.
      sr. notes 6 3/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>140,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>139,475</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Crown Americas, LLC/Crown
      Americas Capital Corp. 144A sr. notes 7 5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>340,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>348,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Decrane Aircraft Holdings Co.
      company guaranty zero %, 2008 (acquired 7/23/04, cost $78,000)
      (RES)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>238,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>114,240</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Earle M. Jorgensen Co. sec.
      notes 9 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>329,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>350,385</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Hexcel Corp. sr. sub. notes 6
      3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>55,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>53,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Invensys, PLC notes 9 7/8s, 2011
      (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>15,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>14,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Jacuzzi Brands, Inc. sec. notes
      9 5/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>42,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>L-3 Communications Corp. company
      guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>105,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>L-3 Communications Corp. company
      guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>80,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>78,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>L-3 Communications Corp. 144A
      sr. sub. notes 6 3/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>215,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>211,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Legrand SA debs. 8 1/2s, 2025
      (France)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>405,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>486,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Manitowoc Co., Inc. (The)
      company guaranty 10 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>124,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>137,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Manitowoc Co., Inc. (The)
      company guaranty 10 3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>45,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>57,316</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Manitowoc Co., Inc. (The) sr.
      notes 7 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>$50,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>51,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Milacron Escrow Corp. sec. notes
      11 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>320,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>275,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Mueller Group, Inc. sr. sub.
      notes 10s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>230,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>242,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Mueller Holdings, Inc. disc.
      notes stepped-coupon zero % (14 3/4s, 4/15/09), 2014 (STP)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>135,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>101,588</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Owens-Brockway Glass company
      guaranty 8 7/8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>5,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>5,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Owens-Brockway Glass company
      guaranty 8 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>247,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Owens-Brockway Glass company
      guaranty 7 3/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>55,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>57,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Owens-Brockway Glass sr. sec.
      notes 8 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>197,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>212,760</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Owens-Illinois, Inc. debs. 7.8s,
      2018</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>128,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Polypore, Inc. sr. sub. notes 8
      3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>145,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>129,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Ray Acquisition sr. notes 9
      3/8s, 2015 (France)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif
      size=1>EUR</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>275,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>336,651</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Siebe PLC 144A sr. unsub. 6
      1/2s, 2010 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>$260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>223,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Solo Cup Co. sr. sub. notes 8
      1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>158,594</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>TD Funding Corp. company
      guaranty 8 3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>191,475</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Tekni-Plex, Inc. 144A sec. notes
      10 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>320,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>348,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Terex Corp. company guaranty 9
      1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>42,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Terex Corp. company guaranty 7
      3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>24,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>23,940</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Terex Corp. company guaranty
      Ser. B, 10 3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>82,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>87,433</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >7,138,084</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="100%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=1
     >Commercial and Consumer Services (--%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Ashtead Holdings PLC 144A sr.
      notes 8 5/8s, 2015 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >78,188</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="100%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=1
     >Communication Services (2.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Alamosa Delaware, Inc. company
      guaranty 12s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>49,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>53,778</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Alamosa Delaware, Inc. company
      guaranty 11s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>54,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>61,290</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Alamosa Delaware, Inc. sr. notes
      8 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>43,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>American Cellular Corp. company
      guaranty 9 1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>45,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>48,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>American Cellular Corp. sr.
      notes Ser. B, 10s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>420,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>454,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>American Tower Corp. sr. notes 7
      1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>93,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>American Towers, Inc. company
      guaranty 7 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>165,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>172,013</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Asia Global Crossing, Ltd. sr.
      notes 13 3/8s, 2010 (Bermuda) (In default) (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>28,862</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>1,227</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Centennial Cellular Operating
      Co., LLC company guaranty 10 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>100,350</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Cincinnati Bell Telephone Co.
      company guaranty 6.3s, 2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>31,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Cincinnati Bell, Inc. company
      guaranty 7s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>80,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>77,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Cincinnati Bell, Inc. sr. sub.
      notes 8 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>70,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>68,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Cincinnati Bell, Inc. sr. sub.
      notes 7 1/4s, 2023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>80,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>76,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Citizens Communications Co.
      notes 9 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>262,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Citizens Communications Co. sr.
      notes 6 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>205,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>197,313</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Dobson Communications Corp. 144A
      sr. notes FRN 8.4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>73,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Eircom Funding company guaranty
      Ser. US$, 8 1/4s, 2013 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>64,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Globix Corp. company guaranty
      11s, 2008 (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>25,387</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>24,054</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Horizon PCS, Inc. company
      guaranty 11 3/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>46,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Inmarsat Finance PLC company
      guaranty 7 5/8s, 2012 (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>152,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Inmarsat Finance PLC company
      guaranty stepped-coupon zero % (10 3/8s, 10/15/08), 2012 (United Kingdom)
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>230,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>187,450</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Intelsat Bermuda, Ltd. 144A sr.
      notes 8 5/8s, 2015 (Bermuda)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>210,525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Intelsat Bermuda, Ltd. 144A sr.
      notes 8 1/4s, 2013 (Bermuda)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>iPCS, Inc. sr. notes 11 1/2s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>70,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>80,675</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>IWO Holdings, Inc. sec. FRN
      7.9s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>25,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>25,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Madison River Capital Corp. sr.
      notes 13 1/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>69,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>73,485</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Nextel Communications, Inc. sr.
      notes Ser. D, 7 3/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>170,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>178,944</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Nextel Communications, Inc. sr.
      notes Ser. E, 6 7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>22,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>22,883</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Nextel Partners, Inc. sr. notes
      8 1/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>290,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>308,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Qwest Communications
      International, Inc. company guaranty 8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>540,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>545,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Qwest Corp. notes 8 7/8s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>430,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>482,675</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Qwest Corp. 144A sr. notes 7
      5/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>159,563</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Rogers Cantel, Inc. debs. 9
      3/4s, 2016 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>36,038</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Rogers Wireless Communications,
      Inc. sec. notes 9 5/8s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>265,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>304,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Rural Cellular Corp. sr. notes 9
      7/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>156,938</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Rural Cellular Corp. sr. sub.
      notes 9 3/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>70,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>70,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Rural Cellular Corp. 144A sr.
      sub. notes FRN 10.041s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>50,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>49,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>SBA Communications Corp. sr.
      notes 8 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>48,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>53,280</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>SBA Telecommunications, Inc./SBA
      Communications Corp. sr. disc. notes stepped-coupon zero % (9 3/4s,
      12/15/07), 2011 (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>49,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>44,835</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Syniverse Technologies, Inc.
      144A sr. sub. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>80,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>81,300</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>U S West, Inc. debs. 7 1/4s,
      2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>64,513</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Valor Telecommunications
      Enterprises LLC/Finance Corp. company guaranty 7 3/4s, 2015</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>73,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >5,415,554</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="100%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=1
     >Consumer (0.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Jostens IH Corp. company
      guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>496,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Samsonite Corp. sr. sub. notes 8
      7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>335,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>342,538</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >838,788</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="100%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT
      face=sans-serif size=1
     >Consumer Staples (7.0%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Adelphia Communications Corp.
      sr. notes 10 7/8s, 2010 (In default) (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>20,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>11,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Adelphia Communications Corp.
      sr. notes Ser. B, 9 7/8s, 2007 (In default) (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>235,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>142,175</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Affinity Group, Inc. sr. sub.
      notes 9s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>360,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>359,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>AMC Entertainment, Inc. sr. sub.
      notes 9 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>34,388</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>AMC Entertainment, Inc. sr. sub.
      notes 8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>29,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>25,955</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Atlantic Broadband Finance, LLC
      company guaranty 9 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>285,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>257,925</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Brand Services, Inc. company
      guaranty 12s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>559,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>586,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>Cablevision Systems Corp. sr.
      notes Ser. B, 8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>250,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>238,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>CCH I Holdings LLC 144A company
      guaranty 11 1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>363,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>230,505</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>CCH I Holdings LLC 144A company
      guaranty 10s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>39,975</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>CCH I Holdings LLC 144A company
      guaranty stepped-coupon zero % (11 3/4s, 5/15/06), 2014 (STP)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>14,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>8,470</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif
      size=1>CCH I LLC 144A secd. notes 11s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>692,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="5%" background=""></TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>593,390</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_3></A>
<TABLE cellSpacing=1 cellPadding=0 width="100%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Church &amp; Dwight Co., Inc.
      company guaranty 6s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>128,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Cinemark USA, Inc. sr. sub.
      notes 9s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>136,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Cinemark, Inc. sr. disc. notes
      stepped-coupon zero % (9 3/4s, 3/15/07), 2014 (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>325,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>239,688</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Constellation Brands, Inc.
      company guaranty Ser. B, 8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>115,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>120,175</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Constellation Brands, Inc. sr.
      sub. notes Ser. B, 8 1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>10,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>10,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>CSC Holdings, Inc. debs. 7 5/8s,
      2018</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>57,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>CSC Holdings, Inc. debs. Ser. B,
      8 1/8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>3,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>3,038</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>CSC Holdings, Inc. sr. notes
      Ser. B, 7 5/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>105,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>104,475</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>CSC Holdings, Inc. sr. sub.
      debs. 10 1/2s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>138,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>CSC Holdings, Inc. 144A sr.
      notes 6 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>205,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>194,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Dean Foods Co. sr. notes 6 5/8s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>440,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>446,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Del Monte Corp. sr. sub. notes 8
      5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>270,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>283,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Del Monte Corp. 144A sr. sub.
      notes 6 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>105,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>100,275</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>DirecTV Holdings, LLC company
      guaranty 6 3/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>690,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>677,063</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>DirecTV Holdings, LLC sr. notes
      8 3/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>200,725</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Diva Systems Corp. sr. disc.
      notes Ser. B, 12 5/8s, 2008 (In default) (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>271,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>339</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Doane Pet Care Co. 144A sr. sub.
      notes 10 5/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>355,688</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Domino's, Inc. sr. sub. notes 8
      1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>106,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>109,710</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Echostar DBS Corp. company
      guaranty 6 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>202,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Echostar DBS Corp. sr. notes 6
      3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>483,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Elizabeth Arden, Inc. company
      guaranty 7 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>155,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>155,388</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Emmis Communications Corp. sr.
      notes FRN 9.745s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>125,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>125,156</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Granite Broadcasting Corp. sec.
      notes 9 3/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>335,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>311,550</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Gray Television, Inc. company
      guaranty 9 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>87,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>93,199</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Jean Coutu Group, Inc. sr. notes
      7 5/8s, 2012 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>147,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Jean Coutu Group, Inc. sr. sub.
      notes 8 1/2s, 2014 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>69,563</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Kabel Deutscheland GmbH 144A
      company guaranty 10 5/8s, 2014 (Germany)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>320,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>344,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>LIN Television Corp. sr. sub.
      notes 6 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>165,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>157,988</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>LIN Television Corp. 144A sr.
      sub. notes 6 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>205,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>196,288</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Loews Cineplex Entertainment
      Corp. company guaranty 9s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>175,219</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Marquee Holdings, Inc. sr. disc.
      notes stepped-coupon zero % (12s, 8/15/09) 2014 (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>225,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>139,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Paxson Communications Corp.
      company guaranty 10 3/4s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>420,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>431,550</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Pinnacle Foods Holding Corp. sr.
      sub. notes 8 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>375,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>361,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Playtex Products, Inc. company
      guaranty 9 3/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>248,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>261,330</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Playtex Products, Inc. sec.
      notes 8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>190,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Prestige Brands, Inc. sr. sub.
      notes 9 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>342,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>336,870</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Quebecor Media, Inc. sr. disc.
      notes stepped-coupon zero % (13 3/4s, 7/15/06), 2011 (Canada)
      (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>61,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Quebecor Media, Inc. sr. notes
      11 1/8s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>317,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>343,153</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Rainbow National Services, LLC
      144A sr. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>205,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>216,275</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Rainbow National Services, LLC
      144A sr. sub. debs. 10 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>218,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Remington Arms Co., Inc. company
      guaranty 10 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>275,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>239,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Rite Aid Corp. company guaranty
      9 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>134,550</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Rite Aid Corp. company guaranty
      7 1/2s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>105,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>97,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Rite Aid Corp. debs. 6 7/8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>215,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>172,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Sbarro, Inc. company guaranty
      11s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>207,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Scotts Co. (The) sr. sub. notes
      6 5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>55,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>55,550</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Sinclair Broadcast Group, Inc.
      company guaranty 8 3/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>125,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>132,188</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Sirius Satellite Radio, Inc.
      144A sr. notes 9 5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>175,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Six Flags, Inc. sr. notes 8
      7/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>138,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>136,965</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Spectrum Brands, Inc. company
      guaranty 7 3/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>445,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>384,925</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Spectrum Brands, Inc. sr. sub.
      notes 8 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>70,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>63,438</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>United Rentals NA, Inc. company
      guaranty 6 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>55,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>52,938</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>United Rentals NA, Inc. sr. sub.
      notes 7 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>24,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>23,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Universal City Florida Holding
      Co. sr. notes 8 3/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>70,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>68,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Universal City Florida Holding
      Co. sr. notes FRN 9s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>107,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>108,338</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Warner Music Group sr. sub.
      notes 7 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>125,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>121,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Young Broadcasting, Inc. company
      guaranty 10s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>374,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>351,560</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Young Broadcasting, Inc. sr.
      sub. notes 8 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>85,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>74,588</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >13,459,728</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><B><FONT
      face=sans-serif size=1
     >Energy (3.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Arch Western Finance, LLC sr.
      notes 6 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>340,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>343,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Bluewater Finance, Ltd. company
      guaranty 10 1/4s, 2012 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>92,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>98,210</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Chaparral Energy, Inc. 144A sr.
      notes 8 1/2s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>145,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>147,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>CHC Helicopter Corp. sr. sub.
      notes 7 3/8s, 2014 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>241,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Chesapeake Energy Corp. company
      guaranty 7 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>63,450</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Chesapeake Energy Corp. sr.
      notes 7 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>190,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>200,450</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Chesapeake Energy Corp. sr.
      notes 7s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>250,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>258,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Compton Petroleum Corp. 144A sr.
      notes 7 5/8s, 2013 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>195,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>197,925</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Comstock Resources, Inc. sr.
      notes 6 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>118,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Delta Petroleum Corp. company
      guaranty 7s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>485,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>451,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Dresser-Rand Group, Inc. 144A
      sr. sub. notes 7 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>27,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>27,608</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Encore Acquisition Co. sr. sub.
      notes 6 1/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>57,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Encore Acquisition Co. sr. sub.
      notes 6s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>213,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>195,960</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Exco Resources, Inc. company
      guaranty 7 1/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>235,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>237,938</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Forest Oil Corp. company
      guaranty 7 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>105,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Forest Oil Corp. sr. notes 8s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>135,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>148,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Forest Oil Corp. sr. notes 8s,
      2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>94,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>98,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Hanover Compressor Co. sr. notes
      9s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>97,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Hanover Compressor Co. sr. notes
      8 5/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>63,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Hanover Compressor Co. sub.
      notes zero %, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>125,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>111,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Hanover Equipment Trust sec.
      notes Ser. B, 8 3/4s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>42,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Harvest Operations Corp. sr.
      notes 7 7/8s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>363,175</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Inergy LP/Inergy Finance Corp.
      sr. notes 6 7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>344,925</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>KCS Energy, Inc. sr. notes 7
      1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>85,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>85,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Massey Energy Co. sr. notes 6
      5/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>335,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>336,256</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Newfield Exploration Co. sr.
      notes 7 5/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>159,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Newfield Exploration Co. sr.
      sub. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>212,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Pacific Energy Partners/Pacific
      Energy Finance Corp. sr. notes 7 1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>95,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>98,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Peabody Energy Corp. sr. notes 5
      7/8s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>174,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Petroleum Geo-Services notes
      10s, 2010 (Norway)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>179,543</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>203,332</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Plains Exploration &amp;
      Production Co. sr. notes 7 1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>205,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>210,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Plains Exploration &amp;
      Production Co. sr. sub. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>190,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>203,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Pogo Producing Co. 144A sr. sub.
      notes 6 7/8s, 2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>180,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Pride International, Inc. sr.
      notes 7 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>431,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Seabulk International, Inc.
      company guaranty 9 1/2s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>145,925</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Star Gas Partners LP/Star Gas
      Finance Co. sr. notes 10 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>28,525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Stone Energy Corp. sr. sub.
      notes 6 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>195,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Vintage Petroleum, Inc. sr.
      notes 8 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>7,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>7,525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Vintage Petroleum, Inc. sr. sub.
      notes 7 7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>42,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Whiting Petroleum Corp. 144A sr.
      sub. notes 7s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>575,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>579,313</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >7,309,167</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><B><FONT
      face=sans-serif size=1
     >Financial (0.4%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Crescent Real Estate Equities LP
      notes 7 1/2s, 2007 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>60,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>E*Trade Finance Corp. sr. notes
      8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>230,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>235,175</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Finova Group, Inc. notes 7 1/2s,
      2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>239,400</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>86,184</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Western Financial Bank sub.
      debs. 9 5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>320,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>358,400</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_4></A>
<TABLE cellSpacing=1 cellPadding=0 width="100%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="68%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >740,359</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><B><FONT
      face=sans-serif size=1
     >Gaming &amp; Lottery (1.7%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Ameristar Casinos, Inc. company
      guaranty 10 3/4s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>106,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Boyd Gaming Corp. sr. sub. notes
      8 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>32,325</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Boyd Gaming Corp. sr. sub. notes
      7 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>25,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>26,188</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Boyd Gaming Corp. sr. sub. notes
      6 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>290,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>287,825</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>MGM Mirage, Inc. company
      guaranty 8 1/2s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>95,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>102,838</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>MGM Mirage, Inc. company
      guaranty 6s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>280,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>277,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>MGM Mirage, Inc. sr. notes 6
      3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>2,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>2,015</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Mirage Resorts, Inc. debs. 7
      1/4s, 2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>55,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>56,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Park Place Entertainment Corp.
      sr. notes 7 1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>32,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Park Place Entertainment Corp.
      sr. notes 7s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>165,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>175,253</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Park Place Entertainment Corp.
      sr. sub. notes 8 7/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>278,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>300,240</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Penn National Gaming, Inc. sr.
      sub. notes 8 7/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>209,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Penn National Gaming, Inc. sr.
      sub. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>62,888</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Pinnacle Entertainment, Inc. sr.
      sub. notes 8 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>178,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Resorts International Hotel and
      Casino, Inc. company guaranty 11 1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>158,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>174,985</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Scientific Games Corp. company
      guaranty 6 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>172,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Station Casinos, Inc. sr. notes
      6s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>193,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>192,518</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Station Casinos, Inc. sr. sub.
      notes 6 7/8s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>121,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Trump Entertainment Resorts,
      Inc. sec. notes 8 1/2s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>345,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>334,650</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Wynn Las Vegas, LLC/Wynn Las
      Vegas Capital Corp. 1st mtge. 6 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>352,681</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >3,198,931</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><B><FONT
      face=sans-serif size=1
     >Health Care (2.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Community Health Systems, Inc.
      sr. sub. notes 6 1/2s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>408,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>402,390</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>DaVita, Inc. company guaranty 7
      1/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>290,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>296,163</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>DaVita, Inc. company guaranty 6
      5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>55,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>56,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Elan Finance PLC/Elan Finance
      Corp, company guaranty 7 3/4s, 2011 (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>195,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>178,913</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>HCA, Inc. debs. 7.19s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>82,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>85,495</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>HCA, Inc. notes 6 3/8s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>64,583</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>HCA, Inc. notes 5 3/4s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>73,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>HCA, Inc. sr. notes 6.95s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>70,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>71,925</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Healthsouth Corp. notes 7 5/8s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>352,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>326,480</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>MedQuest, Inc. company guaranty
      Ser. B, 11 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>36,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>36,090</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>MQ Associates, Inc. sr. disc.
      notes stepped-coupon zero % (12 1/4s, 8/15/08), 2012 (STP)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>134,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Omnicare, Inc. sr. sub. notes 6
      1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>155,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>148,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Owens &amp; Minor, Inc. company
      guaranty 8 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>110,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>115,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Psychiatric Solutions, Inc.
      company guaranty 7 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>360,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>372,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Service Corp. International
      notes 6 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>35,438</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Service Corp. International
      notes Ser. *, 7.7s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>41,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>43,153</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Service Corp. International 144A
      sr. notes 7s, 2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>64,269</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Service Corp. International 144A
      sr. notes 6 3/4s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>176,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Stewart Enterprises, Inc. 144A
      sr. notes 7 1/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>340,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>325,550</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Tenet Healthcare Corp. notes 7
      3/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>265,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>241,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Tenet Healthcare Corp. sr. notes
      9 7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>245,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>245,613</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Triad Hospitals, Inc. sr. notes
      7s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>165,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>167,063</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Triad Hospitals, Inc. sr. sub.
      notes 7s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>300,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>300,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Universal Hospital Services,
      Inc. sr. notes 10 1/8s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>123,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>US Oncology, Inc. company
      guaranty 9s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>160,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>170,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Vanguard Health Holding Co. II,
      LLC sr. sub. notes 9s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>325,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>342,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Ventas Realty LP/Capital Corp.
      company guaranty 9s, 2012 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>73,450</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Ventas Realty LP/Capital Corp.
      company guaranty 6 3/4s, 2010 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>76,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Ventas Realty LP/Capital Corp.
      sr. notes 6 5/8s, 2014 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>50,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>50,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >4,798,625</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><B><FONT
      face=sans-serif size=1
     >Homebuilding (1.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Beazer Homes USA, Inc. company
      guaranty 8 5/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>95,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>98,444</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>D.R. Horton, Inc. company
      guaranty 8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>31,998</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>D.R. Horton, Inc. sr. notes 7
      7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>50,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>54,188</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>D.R. Horton, Inc. sr. notes 6
      7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>36,225</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>D.R. Horton, Inc. sr. notes 5
      7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>215,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>205,654</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>K. Hovnanian Enterprises, Inc.
      company guaranty 8 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>133,575</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>K. Hovnanian Enterprises, Inc.
      company guaranty 6 3/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>82,900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>K. Hovnanian Enterprises, Inc.
      sr. notes 6 1/2s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>56,058</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>KB Home sr. notes 5 3/4s,
      2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>360,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>333,451</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>KB Home sr. sub. notes 9 1/2s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>2,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>2,106</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Meritage Homes Corp. company
      guaranty 6 1/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>67,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Schuler Homes, Inc. company
      guaranty 10 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>104,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>112,060</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Standard Pacific Corp. sr. notes
      7s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>375,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>343,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Standard Pacific Corp. sr. notes
      6 7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>15,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>14,363</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Technical Olympic USA, Inc.
      company guaranty 10 3/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>73,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Technical Olympic USA, Inc. sr.
      sub. notes 7 1/2s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>365,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>304,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>WCI Communities, Inc. company
      guaranty 10 5/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>37,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>39,035</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>WCI Communities, Inc. company
      guaranty 9 1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>356,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>356,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >2,345,707</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><B><FONT
      face=sans-serif size=1
     >Household Furniture and Appliances (0.1%)</FONT></B>&nbsp;
</TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Sealy Mattress Co. sr. sub.
      notes 8 1/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >265,200</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><B><FONT
      face=sans-serif size=1
     >Lodging/Tourism (0.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>FelCor Lodging LP company
      guaranty 9s, 2008 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>109,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>HMH Properties, Inc. company
      guaranty Ser. B, 7 7/8s, 2008 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>35,525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Host Marriott LP company
      guaranty Ser. G, 9 1/4s, 2007 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>63,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Host Marriott LP sr. notes Ser.
      M, 7s, 2012 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>215,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>221,719</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>MeriStar Hospitality Corp.
      company guaranty 9 1/8s, 2011 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>125,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>138,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>MeriStar Hospitality Corp.
      company guaranty 9s, 2008 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>77,813</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Starwood Hotels &amp; Resorts
      Worldwide, Inc. company guaranty 7 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>95,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>104,025</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Starwood Hotels &amp; Resorts
      Worldwide, Inc. company guaranty 7 3/8s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>121,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>124,176</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Starwood Hotels &amp; Resorts
      Worldwide, Inc. debs. 7 3/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>120,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>128,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >1,003,808</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><B><FONT
      face=sans-serif size=1
     >Other (1.0%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Lehman Brothers 144A HYTRAINS
      (Targeted Return Index Securities) sec. FRN Ser. 2005-1, 7.651s,
      2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,780,488</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >1,813,872</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><B><FONT
      face=sans-serif size=1
     >Publishing (2.1%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>American Media, Inc. company
      guaranty Ser. B, 10 1/4s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>335,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>308,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>CanWest Media, Inc. company
      guaranty 8s, 2012 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>356,394</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>365,304</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Cenveo Corp, sr. sub. notes 7
      7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>235,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>225,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Dex Media West, LLC/Dex Media
      Finance Co. sr. notes Ser. B, 8 1/2s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>245,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>258,475</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Dex Media, Inc. disc. notes
      stepped-coupon zero % (9s, 11/15/08), 2013 (STP)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>115,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>91,138</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Dex Media, Inc. notes 8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>214,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Houghton Mifflin Co. sr. sub.
      notes 9 7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>405,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>430,313</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="68%"><FONT face=sans-serif
      size=1>Mail-Well I Corp. company
      guaranty 9 5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>193,950</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_5></A>
<TABLE cellSpacing=1 cellPadding=0 width="100%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>MediaNews Group, Inc. sr. sub.
      notes 6 7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>225,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>219,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>PRIMEDIA, Inc. sr. notes 8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>330,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>291,225</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>R.H. Donnelley Corp. sr. notes 6
      7/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>105,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>96,075</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>R.H. Donnelley Finance Corp. I
      144A company guaranty 8 7/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>223,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>239,725</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>R.H. Donnelley Finance Corp. I
      144A sr. sub. notes 10 7/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>129,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>146,093</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>R.H. Donnelley, Inc. company
      guaranty 8 7/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>25,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>26,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Reader's Digest Association,
      Inc. (The) sr. notes 6 1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>440,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>429,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Vertis, Inc. company guaranty
      Ser. B, 10 7/8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>446,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>433,735</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Vertis, Inc. 144A sub. notes 13
      1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>160,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>124,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >4,094,083</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Retail (1.1%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Asbury Automotive Group, Inc.
      sr. sub. notes 8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>105,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>98,438</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Autonation, Inc. company
      guaranty 9s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>278,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Bear Creek Corp. 144A sr. notes
      9s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>73,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>GSC Holdings Corp. 144A company
      guaranty 8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>178,525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>JC Penney Co., Inc. debs. 7.95s,
      2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>171,136</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>JC Penney Co., Inc. debs. 7
      1/8s, 2023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>220,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>236,324</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>JC Penney Co., Inc. notes 9s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>130,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>151,613</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>JC Penney Co., Inc. notes 8s,
      2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>10,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>10,883</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Movie Gallery, Inc. sr. unsecd.
      notes 11s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>132,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Neiman-Marcus Group, Inc. 144A
      sr. notes 9s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>450,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>457,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>United Auto Group, Inc. company
      guaranty 9 5/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>275,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>284,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >2,074,269</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Technology (2.0%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Advanced Micro Devices, Inc. sr.
      notes 7 3/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>260,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>261,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Amkor Technologies, Inc. sr.
      notes 7 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>24,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>20,640</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Celestica, Inc. sr. sub. notes 7
      7/8s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>85,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>85,213</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Celestica, Inc. sr. sub. notes 7
      5/8s, 2013 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>175,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Freescale Semiconductor, Inc.
      sr. notes Ser. B, 7 1/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>210,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>221,550</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Iron Mountain, Inc. company
      guaranty 8 5/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>355,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>370,975</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Iron Mountain, Inc. company
      guaranty 6 5/8s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>390,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>362,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Lucent Technologies, Inc. debs.
      6.45s, 2029</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>225,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>194,063</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>New ASAT Finance, Ltd. company
      guaranty 9 1/4s, 2011 (Cayman Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>62,325</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>SCG Holding Corp. 144A notes
      zero %, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>75,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>SunGard Data Systems, Inc. 144A
      sr. sub. notes 10 1/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>181,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>SunGard Data Systems, Inc. 144A
      sr. unsecd. notes 9 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>426,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>440,910</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>UGS Corp. company guaranty 10s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>350,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>381,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Unisys Corp. sr. notes 8s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>190,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>171,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Xerox Capital Trust I company
      guaranty 8s, 2027</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>179,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Xerox Corp. company guaranty 9
      3/4s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>3,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>3,323</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Xerox Corp. notes Ser. MTN,
      7.2s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>110,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>115,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Xerox Corp. sr. notes 7 5/8s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>211,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>222,078</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Xerox Corp. sr. notes 6 7/8s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>191,706</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >3,718,333</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Textiles (0.4%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Levi Strauss &amp; Co. sr. notes
      12 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>281,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>314,018</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Levi Strauss &amp; Co. sr. notes
      9 3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>253,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>261,855</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Oxford Industries, Inc. sr.
      notes 8 7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>102,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Tommy Hilfiger USA, Inc. company
      guaranty 6.85s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>100,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>99,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >777,123</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Tire &amp; Rubber (0.3%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Goodyear Tire &amp; Rubber Co.
      (The) notes 8 1/2s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>61,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Goodyear Tire &amp; Rubber Co.
      (The) notes 7.857s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>435,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>419,775</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Goodyear Tire &amp; Rubber Co.
      (The) 144A sr. notes 9s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>85,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>83,088</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >564,813</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Transportation (0.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Calair, LLC/Calair Capital Corp.
      company guaranty 8 1/8s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>230,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>185,725</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Greenbrier Companies, Inc. 144A
      sr. notes 8 3/8s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>95,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>96,306</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Kansas City Southern Railway Co.
      company guaranty 9 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>300,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>324,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Kansas City Southern Railway Co.
      company guaranty 7 1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>41,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Navistar International Corp.
      company guaranty 6 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>110,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>99,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Navistar International Corp.
      company guaranty Ser. B, 9 3/8s, 2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>157,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>159,355</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><B><FONT face=sans-serif
      size=1
     >906,536</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Utilities &amp; Power (2.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>AES Corp. (The) sr. notes 8
      7/8s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>22,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>23,760</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>AES Corp. (The) sr. notes 8
      3/4s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>14,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>14,630</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>AES Corp. (The) 144A sec. notes
      9s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>175,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>191,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>AES Corp. (The) 144A sec. notes
      8 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>240,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>260,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>ANR Pipeline Co. debs. 9 5/8s,
      2021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>180,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>216,071</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>CMS Energy Corp. sr. notes 8.9s,
      2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>63,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>CMS Energy Corp. sr. notes 8
      1/2s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>70,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>75,425</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>CMS Energy Corp. sr. notes 7
      3/4s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>41,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Colorado Interstate Gas Co.
      debs. 6.85s, 2037</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>95,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>96,690</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Colorado Interstate Gas Co. sr.
      notes 5.95s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>28,764</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Dynegy Holdings, Inc. 144A sec.
      notes 10 1/8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>315,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>352,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Dynegy-Roseton Danskamme company
      guaranty Ser. A, 7.27s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>90,450</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Dynegy-Roseton Danskamme company
      guaranty Ser. B, 7.67s, 2016</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>125,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>125,313</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>El Paso Corp. sr. notes 8.05s,
      2030</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>115,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>115,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>El Paso Corp. sr. notes 7 3/8s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>89,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>El Paso Corp. sr. notes Ser.
      MTN, 7.8s, 2031</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>85,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>83,513</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>El Paso Natural Gas Co. debs. 8
      5/8s, 2022</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>44,554</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>El Paso Production Holding Co.
      company guaranty 7 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>360,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>369,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Ferrellgas Partners
      LP/Ferrellgas Partners Finance sr. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>155,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>145,313</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Midwest Generation, LLC sec. sr.
      notes 8 3/4s, 2034</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>280,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>308,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Mission Energy Holding Co. sec.
      notes 13 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>155,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>180,188</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Monongahela Power Co. 1st mtge.
      6.7s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>90,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>98,426</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>National Power Corp. 144A
      foreign government guaranty FRN 8.63s, 2011 (Philippines)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>85,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>89,569</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Nevada Power Co. 2nd mtge. 9s,
      2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>62,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>68,299</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Northwestern Corp. sec. notes 5
      7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>360,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>358,179</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>NRG Energy, Inc. company
      guaranty 8s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>211,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>231,573</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Orion Power Holdings, Inc. sr.
      notes 12s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>125,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>142,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>PSEG Energy Holdings, Inc. notes
      7 3/4s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>135,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>137,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>SEMCO Energy, Inc. sr. notes 7
      3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>110,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>114,407</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>SEMCO Energy, Inc. 144A sr.
      notes 7 3/4s, 2013</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>145,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>151,525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Sierra Pacific Power Co. general
      ref. mtge. 6 1/4s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>35,438</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Sierra Pacific Resources sr.
      notes 8 5/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>165,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>180,263</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Teco Energy, Inc. notes 7.2s,
      2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>36,838</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Teco Energy, Inc. notes 7s,
      2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>60,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>62,850</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Teco Energy, Inc. sr. notes 6
      3/4s, 2015</FONT>&nbsp; </TD>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=1>10,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>10,350</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_6></A>
<TABLE cellSpacing=1 cellPadding=0 width="100%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Tennessee Gas Pipeline Co. debs.
      7s, 2028</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>15,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>14,498</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Tennessee Gas Pipeline Co.
      unsecd. notes 7 1/2s, 2017</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>42,026</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Texas Genco LLC/Texas Genco
      Financing Corp. 144A sr. notes 6 7/8s, 2014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>185,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>197,950</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Transcontinental Gas Pipeline
      Corp. debs. 7 1/4s, 2026</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>150,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>160,875</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Utilicorp Canada Finance Corp.
      company guaranty 7 3/4s, 2011 (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>140,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>143,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Utilicorp United, Inc. sr. notes
      9.95s, 2011</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>95,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>104,975</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Williams Cos., Inc. (The) notes
      8 3/4s, 2032</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>34,050</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Williams Cos., Inc. (The) notes
      8 1/8s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>35,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>37,713</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Williams Cos., Inc. (The) notes
      7 5/8s, 2019</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>50,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>52,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Williams Cos., Inc. (The) 144A
      notes 6 3/8s, 2010</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>65,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>64,350</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >5,486,600</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Total corporate bonds and notes (cost
      $81,300,957)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$80,388,242</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >CONVERTIBLE PREFERRED STOCKS (36.8%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>Shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
       </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Banking (1.0%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Washington Mutual Capital Trust
      I $2.688 cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>38,400</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$2,018,842</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Basic Materials (2.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Freeport-McMoRan Copper &amp;
      Gold, Inc. 5.50% cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>160</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>181,180</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Freeport-McMoRan Copper &amp;
      Gold, Inc. 144A 5.50% cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>2,210</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,502,549</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Huntsman Corp. $2.50 cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>25,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,096,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Smurfit-Stone Container Corp.
      Ser. A, $1.75 cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>85,120</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,755,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >5,535,829</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Capital Goods (3.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Allied Waste Industries Ser. D,
      6.25% cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>4,060</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,025,658</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Northrop Grumman Corp. Ser. B,
      $7.00 cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>31,900</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>3,967,563</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Owens-Illinois, Inc. $2.375 cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>63,770</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,319,634</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >7,312,855</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Communication Services (1.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Cincinnati Bell, Inc. Ser. B,
      $3.378 cum. cv. pfd. (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>35,300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,403,175</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Crown Castle International Corp.
      $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>42,014</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,279,260</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >3,682,435</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Consumer Cyclicals (3.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Ford Motor Company Capital Trust
      II $3.25 cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>66,700</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,059,363</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>General Motors Corp. Ser. A,
      $1.13 cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>141,300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>3,073,275</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Interpublic Group of Companies,
      Inc. 144A Ser. B, 5.25% cum. cv. pfd</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>1,018</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>929,689</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>TXI Capital Trust I $2.75 cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>26,600</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,383,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >7,445,527</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Consumer Staples (2.6%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Albertson's, Inc. $1.813 cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>40,800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>953,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Constellation Brands, Inc. Ser.
      A, $1.438 cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>32,687</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,152,217</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Emmis Communications Corp. Ser.
      A, $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>24,100</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,048,350</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Rite Aid Corp. $1.375 cum. cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>20,800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>453,086</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Six Flags, Inc. $1.813 cum. cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>63,200</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,445,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >5,053,053</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Energy (2.4%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Amerada Hess Corp. $3.50 cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>20,800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,152,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Chesapeake Energy Corp. Ser. *,
      $4.50 cum. cv. pfd</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>9,700</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>868,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Hanover Compressor Capital Trust
      $3.625 cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>32,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,548,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >4,568,950</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Financial (0.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Fannie Mae Ser. 04-1, 5.375% cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>20</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >1,841,195</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Health Care (1.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Schering-Plough Corp. $3.00 cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>55,300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >2,813,388</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Insurance (5.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Chubb Corp. (The) $1.75 cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>55,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,942,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Citigroup Funding, Inc. Ser.
      GNW, zero % cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>54,090</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,771,339</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Conseco, Inc. $1.38 cum. cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>58,300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,581,388</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Fortis Insurance NV 144A 7.75%
      cv. pfd. (Netherlands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>2,079</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,540,538</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>IPC Holdings, Ltd. 7.25% cv.
      pfd. (Bermuda)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>18,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>522,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>MetLife, Inc. Ser. B, $1.594 cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>56,400</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,607,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Platinum Underwriters Holdings,
      Ltd. Ser. A, 6.00% cv. pfd. (Bermuda)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>10,700</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>335,603</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>XL Capital, Ltd. $1.625 cv. pfd.
      (Bermuda)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>41,600</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>923,520</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >11,224,913</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Investment Banking/Brokerage (1.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Lehman Brothers Holdings, Inc.
      $1.563 cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>40,190</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,044,940</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Merrill Lynch &amp; Co. Ser.
      JNC, 6.75% cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>30,260</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,179,414</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >2,224,354</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Real Estate (2.7%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>FelCor Lodging Trust, Inc. Ser.
      A, $1.95 cum. cv. pfd. (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>99,200</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,380,800</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Host Marriott Financial Trust
      $3.375 cv. pfd. (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>46,720</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,727,280</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >5,108,080</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Technology (2.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Lucent Technologies Capital
      Trust I 7.75% cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>2,100</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,024,138</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Xerox Corp. 6.25% cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>17,600</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,118,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >4,142,738</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><B><FONT
      face=sans-serif size=1
     >Utilities &amp; Power (3.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>El Paso Corp. 144A 4.99% cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>1,300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,340,788</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>El Paso Energy Capital Trust I
      $2.375 cv. pfd. (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>38,950</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,372,988</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>Great Plains Energy, Inc. $2.00
      cum. cv. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>80,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,070,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif
      size=1>ONEOK, Inc. $2.125 units cv.
      pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="31%"><FONT face=sans-serif
      size=1>34,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,130,500</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_7></A>
<TABLE cellSpacing=1 cellPadding=0 width="100%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Southern Union Co. $2.50 cv.
      pfd. (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>30,700</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,504,300</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >7,418,576</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Total convertible preferred stocks (cost
      $65,176,317)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$70,390,735</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >CONVERTIBLE BONDS AND NOTES (14.4%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
       </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Capital Goods (0.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Titan International, Inc. 144A
      cv. sr. notes 5 1/4s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>$700,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$1,017,625</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Communication Services (0.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Charter Communications, Inc.
      144A cv. sr. notes 5 7/8s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,300,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>960,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Cybernet Internet Services
      International, Inc. 144A cv. sr. disc. notes 13s, 2009 (Canada) (In
      default) (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>780,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>8</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >960,383</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Conglomerates (1.2%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>GenCorp, Inc. cv. sub. notes 5
      3/4s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>2,030,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >2,217,775</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Consumer Cyclicals (0.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Mediacom Communications Corp.
      cv. sr. notes 5 1/4s, 2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,050,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >1,039,500</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Consumer Staples (1.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Rite Aid Corp. cv. notes 4 3/4s,
      2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,660,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,616,425</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Rite Aid Corp. 144A cv. notes 4
      3/4s, 2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>264,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>257,070</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Sinclair Broadcast Group, Inc.
      cv. bonds 6s, 2012</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>2,055,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,798,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >3,671,620</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Energy (0.3%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>McMoran Exploration Co. cv. sr.
      notes 6s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >550,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Financial (0.5%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Rewards Network, Inc. cv. sub.
      debs. 3 1/4s, 2023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,300,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >1,002,625</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Health Care (--%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Manor Care, Inc. 144A cv. sr.
      notes 2 1/8s, 2035</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>30,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >30,600</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Homebuilding (0.6%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>WCI Communities, Inc. cv. sr.
      sub. notes 4s, 2023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>980,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >1,066,975</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Lodging/Tourism (1.1%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>MeriStar Hospitality Corp. cv.
      sr. sub. notes 9 1/2s, 2010 (R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,730,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >2,104,113</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Technology (4.8%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Agere Systems, Inc. cv. sub.
      notes 6 1/2s, 2009</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>980,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>968,975</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Amkor Technologies, Inc. cv.
      sub. notes 5 3/4s, 2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,400,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,377,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Cray, Inc. cv. sr. sub. notes
      3s, 2024</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>840,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>533,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Fairchild Semiconductor
      International, Inc. cv. company guaranty 5s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>980,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>950,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Kulicke &amp; Soffa Industries,
      Inc. cv. sub. notes 1/2s, 2008</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>2,050,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,550,313</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Lucent Technologies, Inc. cv.
      debs. Ser. B, 2 3/4s, 2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>450,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>478,688</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>ON Semiconductor Corp. 144A cv.
      bonds zero %, 2024</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,190,625</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Safeguard Scientifics, Inc. cv.
      sr. notes 2 5/8s, 2024</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>137,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Safeguard Scientifics, Inc. 144A
      cv. sr. notes 2 5/8s, 2024</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>2,800,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,928,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >9,116,101</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Transportation (1.9%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>AMR Corp. cv. company guaranty 4
      1/4s, 2023</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,270,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,417,638</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Continental Airlines, Inc. cv.
      sr. unsub. notes 4 1/2s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,200,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,098,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Pinnacle Airlines Corp. cv. sr.
      notes 3 1/4s, 2025</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>1,500,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,104,375</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%">&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >3,620,013</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Utilities &amp; Power (0.6%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>XCEL Energy, Inc. 144A cv. notes
      7 1/2s, 2007</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>720,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >1,103,400</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Total convertible bonds and notes (cost
      $26,759,403)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$27,500,730</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >UNITS (0.9%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>Units</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=3
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Hercules, Inc.
      Units</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>2,020</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>$1,484,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>XCL Equity Units
      (F)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>406</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>276,866</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Total units (cost $2,202,387)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$1,761,566</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >COMMON STOCKS (0.4%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%">&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>Shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=3
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>AMRESCO Creditor Trust (acquired
      various dates from 9/20/00 to 10/16/02, cost $43,601)
      (F)(RES)(NON)(R)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>140,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>$140</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Birch Telecom, Inc.
      (F)(NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>293</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Coinmach Service Corp. IDS
      (Income Deposit Securities)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>25,623</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>385,626</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Compass Minerals International,
      Inc.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>147</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>3,540</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Contifinancial Corp. Liquidating
      Trust Units</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>574,207</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Crown Castle International Corp.
      (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>309</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>8,467</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Dobson Communications Corp.
      (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>338</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>2,491</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>iPCS, Inc. (NON)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>3,463</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>145,792</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Knology, Inc. (NON)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>32</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>63</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Samsonite Corp. (NON)
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>201,560</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>133,030</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Sterling Chemicals, Inc.
      (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>50</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>900</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>Sun Healthcare Group, Inc.
      (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>202</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,479</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>USA Mobility, Inc.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>56</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1,529</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>VS Holdings, Inc.
      (F)(NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>28,292</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><FONT face=sans-serif
      size=1>WHX Corp. (NON)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif
      size=1>3,964</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>41,622</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >Total common stocks (cost $1,894,971)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$724,682</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="67%"><B><FONT
      face=sans-serif size=1
     >PREFERRED STOCKS (0.1%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp;
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_8></A>
<TABLE style="WIDTH: 860px; HEIGHT: 856px" cellSpacing=1 cellPadding=0 width=860
border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>Shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Dobson Communications Corp.
      13.00% pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>$1,355</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Paxson Communications Corp.
      14.25% cum. pfd. (PIK)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>135,200</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Rural Cellular Corp. Ser. B,
      11.375% cum. pfd.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>43</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>49,235</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Total preferred stocks (cost $191,768)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$185,790</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="64%" background=""></TD>
    <TD noWrap align=left width="11%" background="" colSpan=2
   ></TD>
    <TD noWrap align=left width="8%" background=""></TD>
    <TD noWrap align=left width="9%" background=""></TD>
    <TD noWrap align=left width="7%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >FOREIGN GOVERNMENT BONDS AND NOTES (--%)(a) (cost
      $86,759)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>Principal amount</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=6
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Philippines (Republic of) bonds
      9 1/2s, 2024</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>$80,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$90,400</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >WARRANTS (--%)(a) (NON)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2><FONT
      face=sans-serif size=1>Expiration
      date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=1>Strike price</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>Warrants</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=6
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Dayton Superior Corp.
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2><FONT
      face=sans-serif size=1
     >6/15/09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=1>$0.01</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>270</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>$1</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>MDP Acquisitions PLC 144A
      (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif
      size=1>10/1/13</FONT>&nbsp; </TD>
    <TD noWrap align=right width="5%" background=""><FONT
      face=Arial size=1>EUR</FONT></TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=1>0.01</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>119</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>3,332</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Pliant Corp. 144A</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%" colSpan=2><FONT
      face=sans-serif size=1
     >6/1/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=1>$0.01</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>120</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>1</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>TravelCenters of America,
      Inc.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2><FONT
      face=sans-serif size=1
     >5/1/09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=1>0.001</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>420</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>525</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Ubiquitel, Inc.
      144A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2><FONT
      face=sans-serif size=1
     >4/15/10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif
      size=1>22.74</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>420</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>4</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Total warrants (cost $33,351)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$3,863</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="64%" background=""></TD>
    <TD noWrap align=left width="11%" background="" colSpan=2
   ></TD>
    <TD noWrap align=left width="8%" background=""></TD>
    <TD noWrap align=left width="9%" background=""></TD>
    <TD noWrap align=left width="7%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >SHORT-TERM INVESTMENTS (7.3%)(a)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>Principal</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%">&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>amount/Shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>Value</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=6
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Putnam Prime Money Market Fund
      (e)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>10,901,671</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>$10,901,671</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>Short-term investments held as
      collateral for loaned securities with yields ranging from 4.00% to 4.29%
      and due dates ranging from</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><FONT face=sans-serif
      size=1>December 1, 2005 to January 27,
      2006 (d)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif
      size=1>$3,147,915</FONT>&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif
      size=1>3,143,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Total short-term investments (cost
      $14,045,171)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$14,045,171</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >TOTAL INVESTMENTS</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="64%"><B><FONT
      face=sans-serif size=1
     >Total investments (cost $191,691,084) (b)</FONT></B>&nbsp;
</TD>
    <TD noWrap align=left width="11%" colSpan=2>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><B><FONT face=sans-serif
      size=1
     >$195,091,179</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_9></A>
<P align=left><B><FONT face=sans-serif size=2
>FORWARD CURRENCY CONTRACTS TO SELL at 11/30/05 (aggregate face
value $2,534,306) (Unaudited)</FONT></B></P>
<TABLE style="WIDTH: 607px; HEIGHT: 106px" cellSpacing=1 cellPadding=0 width=607
border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>Aggregate </FONT></TD>
    <TD noWrap align=left width="16%" background=""><FONT
      face=Arial size=2>Delivery</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif
      size=2>Unrealized</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="19%" background=""><FONT
      face=Arial size=2>Value</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>face value </FONT></TD>
    <TD noWrap align=left width="16%" background=""><FONT
      face=Arial size=2>date</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif
      size=2>appreciation</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="100%" background="" colSpan=5
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif
      size=2>Euro</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%" background=""><FONT
      face=Arial size=2>$2,374,964</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif
      size=2>$2,534,306 </FONT></TD>
    <TD noWrap align=left width="16%" background=""><FONT
      face=Arial size=2>12/21/05</FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif
      size=2>$159,342</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_10></A>
<TABLE style="WIDTH: 779px; HEIGHT: 379px" cellSpacing=1 cellPadding=0 width=779
border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><B><FONT
      face=sans-serif size=2
     >CREDIT DEFAULT CONTRACTS OUTSTANDING at 11/30/05
      (Unaudited)</FONT></B>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2>&nbsp;
      </FONT></TD></TR>
  <TR>
    <TD width="99%" colSpan=3><FONT size=2>&nbsp; </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2><FONT
      face=sans-serif size=2
     >Notional</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2><FONT
      face=sans-serif size=2
     >Unrealized</FONT>&nbsp; </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2><FONT
      face=sans-serif size=2
     >amount</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2><FONT
      face=sans-serif size=2
     >appreciation</FONT>&nbsp; </FONT></TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=3
     ><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>Agreement with
      Goldman Sachs International on September 2, 2004, terminating on the date
      on</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2>&nbsp;
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>which the
      notional amount is reduced to zero or the date on which the assets
      securing the</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2>&nbsp;
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>reference
      obligation are liquidated, the fund receives a payment of the outstanding
      notional amount</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2>&nbsp;
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>times 2.461% and
      the fund pays in the event of a credit default in one of the underlying
      securities</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2>&nbsp;
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>in the basket of
      BB CMBS securities.</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2><FONT
      face=sans-serif size=2
     >$108,000</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2><FONT
      face=sans-serif size=2
     >$1,513</FONT>&nbsp; </FONT></TD></TR>
  <TR>
    <TD width="99%" colSpan=3><FONT size=2>&nbsp; </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>Agreement with
      JPMorgan Chase Bank, N.A. on September 1, 2005, maturing on September
      20,</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2>&nbsp;
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>2010, to pay
      quarterly 460 basis points times the notional amount. Upon a credit
      default event of</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2>&nbsp;
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>General Motors
      Acceptance Corp., the fund receives a payment of the proportional
      notional</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2>&nbsp;
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>amount times the
      difference between the par value and the then market value of General
      Motors</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2>&nbsp;
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><FONT
      face=sans-serif size=2>Acceptance
      Corp.</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2><FONT
      face=sans-serif size=2
     >190,000</FONT>&nbsp; </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2><FONT
      face=sans-serif size=2
     >2,519</FONT>&nbsp; </FONT></TD></TR>
  <TR>
    <TD width="99%" colSpan=3><FONT size=2>
      <HR noShade SIZE=1>
      </FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT size=2><B><FONT
      face=sans-serif size=2
     >Total</FONT></B>&nbsp; </FONT></TD>
    <TD noWrap align=left width="14%"><FONT size=2>&nbsp;
      </FONT></TD>
    <TD noWrap align=left width="11%"><FONT size=2><FONT
      face=sans-serif size=2
     >$4,032</FONT>&nbsp; </FONT></TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_11></A>
<P align=left><FONT face=sans-serif size=1
>NOTES</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(a) Percentages indicated are based on net assets of
$191,135,687.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(b) The aggregate identified cost on a tax basis is $191,730,490,
resulting in gross unrealized appreciation and depreciation of $12,407,800 and
$9,047,111, respectively, or net unrealized appreciation of
$3,360,689.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(DEF) Security is in default of principal and interest.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(NON) Non-income-producing security.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(S) Securities on loan, in part or in entirety, at November 30,
2005.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(STP) The interest rate and date shown parenthetically represent
the new interest rate to be paid and the date the fund will begin accruing
interest at this rate.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(RES) Restricted, excluding 144A securities, as to public resale.
The total market value of restricted securities held at November 30, 2005 was
$114,380 or 0.01% of net assets.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(PIK) Income may be received in cash or additional securities at
the discretion of the issuer.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(R) Real Estate Investment Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(d) The fund may lend securities, through its agents, to qualified
borrowers in order to earn additional income. The loans are collateralized by
cash and/or securities in an amount at least equal to the market value of the
securities loaned. The market value of securities loaned is determined daily and
any additional required collateral is allocated to the fund on the next business
day. The risk of borrower default will be borne by the fund&#146;s agents; the fund
will bear the risk of loss with respect to the investment of the cash
collateral. </FONT><FONT face=sans-serif size=1
>Income from securities lending is included in investment income on
the statement of operations. At November 30, 2005, the value of securities
loaned amounted to $3,046,805. The fund received cash collateral of $3,143,500
which is pooled with collateral of other Putnam funds into 25 issues of
high-grade, short-term investments.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(e) Pursuant to an exemptive order from the Securities and Exchange
Commission, the fund invests in Putnam Prime Money Market Fund, an open-end
management investment company managed by Putnam Investment Management, LLC
("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary
of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal
to the management and administrative fees paid by Putnam Prime Money Market Fund
with respect to assets invested by the fund in Putnam Prime Money Market Fund.
Income distributions earned by the fund totaled $62,866 for the period ended
November 30, 2005. During the period ended November 30, 2005, cost of purchases
and cost of sales of investments in Putnam Prime Money Market Fund aggregated
$23,174,471 and $17,832,270, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>(F) Security is valued at fair value following procedures approved
by the Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=1>At
November 30, 2005, liquid assets totaling $298,000 have been designated as
collateral for open swap contracts.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>144A after the name of a security represents those exempt from
registration under Rule 144A of the Securities Act of 1933. These securities may
be resold in transactions exempt from registration, normally to qualified
institutional buyers.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>The rates shown on Floating Rate Notes (FRN) are the current
interest rates at November 30, 2005.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1
>Security valuation </FONT></B><FONT face=sans-serif size=1
BASEFACE="sans-serif">Investments for which market quotations are
readily available are valued at the last reported sales price on their principal
exchange, or official closing price for certain markets. If no sales are
reported -- as in the case of some securities traded over-the-counter -- a
security is valued at its last reported bid price. Market quotations are not
considered to be readily available for certain debt obligations; such
investments are valued at fair value on the basis of valuations furnished by an
independent pricing service or dealers, approved by the Trustees. Such services
or dealers determine valuations for normal institutional-size trading units of
such securities using methods based on market transactions for comparable
securities and various relationships, generally recognized by institutional
traders, between securities. Many securities markets and exchanges outside the
U.S. close prior to the close of the New York Stock Exchange and therefore the
closing prices for securities in such markets or on such exchanges may not fully
reflect events that occur after such close but before the close of the New York
Stock Exchange. </FONT><FONT face=sans-serif size=1
>Accordingly, on certain days, the fund will fair value foreign
securities taking into account multiple factors, including movements in the U.S.
securities markets. The number of days on which fair value prices will be used
will depend on market activity and it is possible that fair value prices will be
used by the fund to a significant extent.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>Securities quoted in foreign currencies, if any, are translated
into U.S. dollars at the current exchange rate.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>Short-term investments having remaining maturities of 60 days or
less are valued at amortized cost, which approximates fair value.</FONT></P>
<P align=left><FONT face=sans-serif size=1
>Other investments, including certain restricted securities, are
valued at fair value following procedures approved by the Trustees. Such
valuations and procedures are reviewed periodically by the Trustees.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1
>Forward currency contracts </FONT></B><FONT face=sans-serif size=1
BASEFACE="sans-serif">The fund may buy and sell forward currency
contracts, which are agreements between two parties to buy and sell currencies
at a set price on a future date. These contracts are used to protect against a
decline in value relative to the U.S. dollar of the currencies in which its
portfolio securities are denominated or quoted (or an increase in the value of a
currency in which securities a fund intends to buy are denominated, when a fund
holds cash reserves and short term investments). The U.S. dollar value of
forward currency contracts is determined using current forward currency exchange
rates supplied by a quotation service. The market value of the contract will
fluctuate with changes in currency exchange rates. The contract is marked to
market daily and the change in market value is recorded as an unrealized gain or
loss. When the contract is closed, the fund records a realized gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed. </FONT><FONT face=sans-serif
size=1>The fund could be exposed to risk if
the value of the currency changes unfavorably, if the counterparties to the
contracts are unable to meet the terms of their contracts or if the fund is
unable to enter into a closing position. Risks may exceed amounts recognized on
the statement of assets and liabilities. Forward currency contracts outstanding
at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P align=left><B><FONT face=sans-serif size=1
>Credit default contracts </FONT></B><FONT face=sans-serif size=1
BASEFACE="sans-serif">The fund may enter into credit default
contracts where one party, the protection buyer, makes an upfront or periodic
payment to a counterparty, the protection seller, in exchange for the right to
receive a contingent payment. The maximum amount of the payment may equal the
notional amount, at par, of the underlying index or security as a result of a
related credit event. An upfront payment received by the fund, as the protection
seller, is recorded as a liability on the fund&#146;s books. An upfront payment made
by the fund, as the protection buyer, is recorded as an asset on the fund&#146;s
books. Periodic payments received or paid by the fund are recorded as realized
gains or losses. The credit default contracts are marked-to-market daily based
upon quotations from market makers and the change, if any, is recorded as
unrealized gain or loss. Payments received or made as a result of a credit event
or termination of the contract are recognized, net of a proportional amount of
the upfront payment, as realized gains or losses. </FONT><FONT face=sans-serif
size=1>In addition to bearing the risk that
the credit event will occur, the fund could be exposed to market risk due to
unfavorable changes in interest rates or in the price of the underlying security
or index, the possibility that the fund may be unable to close out its position
at the same time or at the same price as if it had purchased comparable publicly
traded securities or that the counterparty may default on its obligation to
perform. Risks of loss may exceed amounts recognized on the statement of assets
and liabilities. Credit default contracts outstanding at period end, if any, are
listed after the fund&#146;s portfolio.</FONT></P><P><FONT face=sans-serif size=1>For additional information regarding the fund please see the fund's most
recent annual or semiannual shareholder report filed on the Securities and
Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual
Investor Web site at www.putnaminvestments.com</FONT></P>

<HR align=center width="100%" noShade SIZE=2>




<!--$$/page=--><A name=page_2></A>
<P align=left><U><FONT face=sans-serif size=2
>Item 2. Controls and Procedures:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2
>(a) The registrant's principal executive officer and principal
financial officer have concluded, based on their evaluation of the effectiveness
of the design and operation of the registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this report, that
the design and operation of such procedures are generally effective to provide
reasonable assurance that information required to be disclosed by the registrant
in this report is recorded, processed, summarized and reported within the time
periods specified in the Commission's rules and forms.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>(b) Changes in internal control over financial reporting: Not
applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>Item 3. Exhibits:</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>A
separate certification for each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2 under the
Investment Company Act of 1940, as amended, are filed herewith.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>SIGNATURES</FONT></U></P>
<P align=left><FONT face=sans-serif size=2
>Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>NAME OF REGISTRANT</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>By
(Signature and Title):</FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>/s/ Michael T. Healy <BR></FONT></U><FONT face=sans-serif size=2
BASEFACE="sans-serif">Michael T. Healy <BR>Principal Accounting
Officer <BR><BR>Date: January 27, 2006</FONT></P>
<P align=left><FONT face=sans-serif size=2
>Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.</FONT></P>
<P align=left><FONT face=sans-serif size=2>By
(Signature and Title):</FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>/s/ Charles E. Porter <BR></FONT></U><FONT face=sans-serif size=2
BASEFACE="sans-serif">Charles E. Porter <BR>Principal Executive
Officer <BR><BR>Date: January 27, 2006</FONT></P>
<P align=left><FONT face=sans-serif size=2>By
(Signature and Title):</FONT></P>
<P align=left><U><FONT face=sans-serif size=2
>/s/ Steven D. Krichmar <BR></FONT></U><FONT face=sans-serif size=2
BASEFACE="sans-serif">Steven D. Krichmar <BR>Principal Financial
Officer </FONT></P>
<P align=left><FONT face=sans-serif size=2
>Date: January 27, 2006</FONT>
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</P><!--$$/page=--><A name=page_3></A>
<P align=left><U><FONT face=sans-serif size=2
>Certifications</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>I,
Charles E. Porter, the Principal Executive Officer of the funds listed on
Attachment A, certify that:</FONT></P>
<P align=left><FONT face=sans-serif size=2>1.
I have reviewed each report on Form N-Q of the funds listed on Attachment
A:</FONT></P>
<P align=left><FONT face=sans-serif size=2>2.
Based on my knowledge, each report does not contain any untrue statements of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by each report;</FONT></P>
<P align=left><FONT face=sans-serif size=2>3.
Based on my knowledge, the schedules of investments included in each report
fairly present in all material respects the investments of the registrant as of
the end of the fiscal quarter for which the report is filed; </FONT></P>
<P align=left><FONT face=sans-serif size=2>4.
The registrant's other certifying officer and I are responsible for establishing
and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940) and internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
for the registrants and have:</FONT></P>
<P align=left><FONT face=sans-serif size=2>a)
designed such disclosure controls and procedures, or caused such disclosure
controls and procedures to be designed under our supervision, to ensure that
material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly
during the period in which each report is being prepared;</FONT></P>
<P align=left><FONT face=sans-serif size=2>b)
designed such internal control over financial reporting, or caused such internal
control over financial reporting to be designed under our supervision, to
provide reasonable assurance regarding the reliability of financial reporting
and the preparation of financial statements for external purposes in accordance
with generally accepted accounting principles;</FONT></P>
<P align=left><FONT face=sans-serif size=2>c)
evaluated the effectiveness of the registrant&#146;s disclosure controls and
procedures and presented in this report our conclusions about the effectiveness
of the disclosure controls and procedures, as of a date within 90 days prior to
the filing date of this report, based on such evaluation; and</FONT></P>
<P align=left><FONT face=sans-serif size=2>d)
disclosed in this report any change in the registrant&#146;s internal control over
financial reporting that occurred during the registrant&#146;s most recent fiscal
quarter that has materially affected, or is reasonably likely to materially
affect, the registrant&#146;s internal control over financial reporting;
and</FONT></P>
<P align=left><FONT face=sans-serif size=2>5.
The registrant&#146;s other certifying officer and I have disclosed to each
registrant&#146;s auditors and the audit committee of each registrant&#146;s board of
directors (or persons performing the equivalent functions):</FONT></P>
<P align=left><FONT face=sans-serif size=2>a)
all significant deficiencies and material weaknesses in the design or operation
of internal control over financial reporting which are reasonably likely to
adversely affect each registrant&#146;s ability to record, process, summarize, and
report financial information; and</FONT></P>
<P align=left><FONT face=sans-serif size=2>b)
any fraud, whether or not material, that involves management or other employees
who have a significant role in each registrant&#146;s internal control over financial
reporting.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>/s/ Charles E. Porter<BR></FONT><FONT face=sans-serif size=2
BASEFACE="sans-serif">_____________________________<BR>Date:
January 27, 2006 <BR>Charles E. Porter <BR>Principal Executive
Officer</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_4></A>
<P align=left><U><FONT face=sans-serif size=2
>Certifications</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>I,
Steven D. Krichmar, the Principal Financial Officer of the funds listed on
Attachment A, certify that:</FONT></P>
<P align=left><FONT face=sans-serif size=2>1.
I have reviewed each report on Form N-Q of the funds listed on Attachment
A:</FONT></P>
<P align=left><FONT face=sans-serif size=2>2.
Based on my knowledge, each report does not contain any untrue statements of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by each report;</FONT></P>
<P align=left><FONT face=sans-serif size=2>3.
Based on my knowledge, the schedules of investments included in each report
fairly present in all material respects the investments of the registrant as of
the end of the fiscal quarter for which the report is filed; </FONT></P>
<P align=left><FONT face=sans-serif size=2>4.
The registrant's other certifying officer and I are responsible for establishing
and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940) and internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
for the registrants and have:</FONT></P>
<P align=left><FONT face=sans-serif size=2>a)
designed such disclosure controls and procedures, or caused such disclosure
controls and procedures to be designed under our supervision, to ensure that
material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly
during the period in which each report is being prepared;</FONT></P>
<P align=left><FONT face=sans-serif size=2>b)
designed such internal control over financial reporting, or caused such internal
control over financial reporting to be designed under our supervision, to
provide reasonable assurance regarding the reliability of financial reporting
and the preparation of financial statements for external purposes in accordance
with generally accepted accounting principles;</FONT></P>
<P align=left><FONT face=sans-serif size=2>c)
evaluated the effectiveness of the registrant&#146;s disclosure controls and
procedures and presented in this report our conclusions about the effectiveness
of the disclosure controls and procedures, as of a date within 90 days prior to
the filing date of this report, based on such evaluation; and</FONT></P>
<P align=left><FONT face=sans-serif size=2>d)
disclosed in this report any change in the registrant&#146;s internal control over
financial reporting that occurred during the registrant&#146;s most recent fiscal
quarter that has materially affected, or is reasonably likely to materially
affect, the registrant&#146;s internal control over financial reporting;
and</FONT></P>
<P align=left><FONT face=sans-serif size=2>5.
The registrant&#146;s other certifying officer and I have disclosed to each
registrant&#146;s auditors and the audit committee of each registrant&#146;s board of
directors (or persons performing the equivalent functions):</FONT></P>
<P align=left><FONT face=sans-serif size=2>a)
all significant deficiencies and material weaknesses in the design or operation
of internal control over financial reporting which are reasonably likely to
adversely affect each registrant&#146;s ability to record, process, summarize, and
report financial information; and</FONT></P>
<P align=left><FONT face=sans-serif size=2>b)
any fraud, whether or not material, that involves management or other employees
who have a significant role in each registrant&#146;s internal control over financial
reporting.</FONT></P>
<P align=left><FONT face=sans-serif size=2
>/s/ Steven D. Krichmar <BR></FONT><FONT face=sans-serif size=2
BASEFACE="sans-serif">_______________________________<BR>Date:
January 27, 2006 <BR>Steven D. Krichmar <BR>Principal Financial
Officer</FONT></P>
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<TABLE border=0 width=100% cellspacing=1 cellpadding=0>
<TR valign="bottom">
	<TD width=99% nowrap colspan=2 align=left>
<U><FONT size=2 face="sans-serif">Attachment A</FONT></U>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">NQ</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=99% nowrap colspan=2 align=left>
<FONT size=2 face="sans-serif">Period (s) ended November 30, 2005</FONT>&nbsp;
	</TD>
</TR>
<TR>
	<TD colspan=2>
&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">061</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam High Income Securities Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">274</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam New Value Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">014</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam High Yield Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">021</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Health Sciences Trust</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">7BF</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Income Opportunities Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">2MF</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Small Cap Value Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">2AZ</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam International Capital Opportunities Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">018</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Global Natural Resources Fund</FONT>&nbsp;
	</TD>
</TR>
<TR valign="bottom">
	<TD width=11% nowrap align=left>
<FONT size=2 face="sans-serif">29X</FONT>&nbsp;
	</TD>
	<TD width=88% nowrap align=left>
<FONT size=2 face="sans-serif">Putnam Floating Rate Income Fund</FONT>&nbsp;
	</TD>
</TR>
</TABLE><BR>

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