-----BEGIN PRIVACY-ENHANCED MESSAGE-----
Proc-Type: 2001,MIC-CLEAR
Originator-Name: webmaster@www.sec.gov
Originator-Key-Asymmetric:
 MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen
 TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB
MIC-Info: RSA-MD5,RSA,
 PeIdYd1f655loUrWDUlZJFPv6QzizpXv8GeybiamXnlvQj3dRMkO01S7R91pXr5T
 dLD3AzEpjnZV7ldkaqo3iA==

<SEC-DOCUMENT>0000928816-07-000130.txt : 20070126
<SEC-HEADER>0000928816-07-000130.hdr.sgml : 20070126
<ACCEPTANCE-DATETIME>20070126163904
ACCESSION NUMBER:		0000928816-07-000130
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20061130
FILED AS OF DATE:		20070126
DATE AS OF CHANGE:		20070126
EFFECTIVENESS DATE:		20070126

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:		07557106

	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_highincome.htm
<DESCRIPTION>PUTNAM HIGH INCOME SECURITIES FUND
<TEXT>

<HTML>
<HEAD>
   <TITLE>a_highincome.htm</TITLE>
</HEAD>

<BODY bgcolor="#ffffff">

<!--$$/page=-->
<A name="page_1"></A>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>UNITED STATES</FONT><BR>
<FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>SECURITIES AND EXCHANGE COMMISSION </FONT><BR>
<FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Washington, D.C. 20549 </FONT></P>
<P align=left><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>FORM N-Q </FONT></B></P>
<P align=left><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT </FONT></B><BR>
<B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>INVESTMENT COMPANY</FONT></B><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2> </FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Investment Company Act file number: (811-05133 </FONT><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>) </FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Exact name of registrant as specified in charter: </FONT><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Putnam High Income Securities Fund</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 </FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Name and address of agent for service:</FONT>&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Beth S. Mazor, Vice President</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>One Post Office Square</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Boston, Massachusetts 02109</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Copy to:</FONT>&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>John W. Gerstmayr, Esq.</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ropes &amp; Gray LLP</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>One International Place</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="56%">&nbsp; </TD>
     <TD noWrap align=left width="42%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Boston, Massachusetts 02110</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="68%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Registrant&#146;s telephone number, including area code:</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(617) 292-1000</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Date of fiscal year end: </FONT><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>August 31</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Date of reporting period: November 30, 2006 </FONT></P>
<P align=left><U><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Item 1. Schedule of Investments:</FONT></U><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2> </FONT></P>
<HR align=center width="100%" noShade SIZE=2>
















<!--$$/page=-->
<A name="page_1"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=5>Putnam High Income Securities Fund</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=4>The fund's portfolio</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif>11/30/06 (Unaudited)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>CORPORATE BONDS AND NOTES (40.4%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%">&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Basic Materials (4.5%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Abitibi-Consolidated, Inc. debs. 8.85s, 2030 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$49,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Abitibi-Consolidated, Inc. notes 7 3/4s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>116,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Abitibi-Consolidated, Inc. notes 6s, 2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>122,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>96,990</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>AK Steel Corp. company guaranty 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>373,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>ARCO Chemical Co. debs. 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>244,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>BCP Crystal US Holdings Corp. sr. sub. notes 9 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>115,238</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Builders FirstSource, Inc. company guaranty FRB</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9.624s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>112,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Century Aluminum Co. company guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Chaparral Steel Co. company guaranty 10s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>394,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Chesapeake Corp. sr. sub. notes 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>231,223</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Clondalkin Industries BV 144A sr. notes 8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>344,349</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Cognis Holding GmbH &amp; Co. 144A sr. notes 12.282s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Germany) (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>205,854</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>278,490</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Cognis Holding GmbH &amp; Co. 144A sr. notes 9 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Germany)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>72,461</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Covalence Specialty Materials Corp. 144A sr. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>notes 10 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>360,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Crystal US Holdings, LLC sr. disc. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>520,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>439,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Equistar Chemicals LP/Equistar Funding Corp. company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>guaranty 10 1/8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>25,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>26,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Georgia-Pacific Corp. debs. 9 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>352,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>43,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Hercules, Inc. company guaranty 6 3/4s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>174,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Hexion U.S. Finance Corp./ Hexion Nova Scotia Finance</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>ULC 144A sr. notes 9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>299,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Huntsman, LLC company guaranty 11 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>97,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>107,185</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>IMC Global, Inc. notes 7.3s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>109,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>119,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>114,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>138,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>124,931</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>171,082</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lyondell Chemical Co. company guaranty 10 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>319,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lyondell Chemical Co. company guaranty 8 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>98,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lyondell Chemical Co. company guaranty 8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>159,844</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>211,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Metals USA, Inc. sec. notes 11 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>332,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Momentive Performance Materials, Inc. 144A sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>225,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>225,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Momentive Performance Materials, Inc. 144A sr. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>notes 11 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>73,969</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Mosaic Co. (The) 144A sr. notes 7 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>51,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Mosaic Co. (The) 144A sr. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,488</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nalco Co. sr. sub. notes 9s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>275,604</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nalco Co. sr. sub. notes 8 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$5,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5,288</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Luxembourg) (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>265,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>271,294</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Luxembourg)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,838</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>NewPage Corp. sec. notes 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>231,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Newpage Holding Corp. sr. notes 12.389s, 2013 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>82,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Norske Skog Canada, Ltd. company guaranty Ser. D,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8 5/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>292,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Novelis, Inc. 144A sr. notes 7 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>206,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>98,714</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>101,182</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>PQ Corp. company guaranty 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>230,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>224,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rockwood Specialties Group, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>346,459</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Stone Container Corp. sr. notes 9 3/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>294,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Stone Container Finance company guaranty 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>36,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ucar Finance, Inc. company guaranty 10 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>42,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Wheeling-Pittsburgh Steel Corp. sr. notes Ser. A, 5s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2011 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>23,486</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>18,319</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Wheeling-Pittsburgh Steel Corp. sr. notes Ser. B, 6s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2010 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>13,329</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10,397</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%">&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>8,857,590</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Capital Goods (3.7%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>168,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Allied Waste North America, Inc. company guaranty Ser.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>B, 8 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>233,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>245,233</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Allied Waste North America, Inc. sec. notes Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=left width="14%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5 3/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>29,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Amsted Industries, Inc. 144A sr. notes 10 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>475,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>505,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="57%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Blount, Inc. sr. sub. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="17%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>204,000</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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Bombardier, Inc. 144A sr. notes 8s, 2014 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>140,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Crown Americas, LLC/Crown Americas Capital Corp. sr.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>notes 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>343,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Crown Euro Holdings SA company guaranty 6 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(France)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>324,846</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Decrane Aircraft Holdings Co. company guaranty zero %,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2008 (acquired 7/23/04, cost $78,000) (RES)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$238,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>170,170</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Graham Packaging Co., Inc. sub. notes 9 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>321,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Greenbrier Cos., Inc. company guaranty 8 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>329,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Impress Holdings BV 144A sec. FRN 8.512s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>170,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>K&amp;F Acquisitions, Inc. company guaranty 7 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>342,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>L-3 Communications Corp. company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>103,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>L-3 Communications Corp. company guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>118,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>72,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>L-3 Communications Corp. sr. sub. notes Class B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>213,388</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Legrand SA debs. 8 1/2s, 2025 (France)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>405,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>461,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Manitowoc Co., Inc. (The) company guaranty 10 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>182,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Milacron Escrow Corp. sec. notes 11 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>321,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Owens-Brockway Glass Container, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>103,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Owens Brockway Glass Container, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>230,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>305,747</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Owens-Brockway Glass Container, Inc. sr. sec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>68,738</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Owens-Illinois, Inc. debs. 7 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>55,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ray Acquisition SCA 144A sec. notes 9 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(France)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>515,255</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>RBS Global, Inc. and Rexnord Corp. 144A company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>guaranty 9 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>302,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>RBS Global, Inc. and Rexnord Corp. 144A sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>11 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>42,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Solo Cup Co. sr. sub. notes 8 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>197,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Tekni-Plex, Inc. 144A sec. notes 10 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>360,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Terex Corp. company guaranty 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>395,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>7,192,278</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Communication Services (3.7%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>American Cellular Corp. company guaranty 9 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>44,888</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>American Cellular Corp. sr. notes Ser. B, 10s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>337,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Centennial Cellular Operating Co., LLC company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>guaranty 10 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>96,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Centennial Communications Corp. sr. notes 10s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>151,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Centennial Communications Corp. sr. notes FRN 11.122s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>41,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Citizens Communications Co. notes 9 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>265,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Cricket Communications, Inc. 144A sr. notes 9 3/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>342,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>233,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dobson Cellular Systems sec. notes 9 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>173,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dobson Communications Corp. sr. notes FRN 9.624s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>76,406</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Idearc Inc. 144A sr. notes 8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>515,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>523,369</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Inmarsat Finance PLC company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>103,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Inmarsat Finance PLC company guaranty stepped-coupon</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>255,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Intelsat Bermuda, Ltd. 144A sr. notes 11 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>385,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>422,056</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Intelsat Subsidiary Holding Co., Ltd. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8 5/8s, 2015 (Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10,388</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Intelsat Subsidiary Holding Co., Ltd. sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8 1/2s, 2013 (Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>101,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>iPCS, Inc. sr. notes 11 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>77,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Level 3 Communications, Inc. sr. notes 11 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>203,044</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Level 3 Financing, Inc. company guaranty FRB 11.8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>105,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Level 3 Financing, Inc. 144A sr. notes 9 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>101,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>MetroPCS Wireless Inc. 144A sr. notes 9 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>255,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>259,144</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>PanAmSat Corp. company guaranty 9s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>351,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Qwest Communications International, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>540,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>556,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Qwest Corp. debs. 7 1/4s, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>66,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Qwest Corp. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>478,913</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Qwest Corp. sr. notes 7 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>160,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>330,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>331,238</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rural Cellular Corp. sr. notes 9 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>158,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rural Cellular Corp. sr. sub. FRN 11.121s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>52,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>71,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Syniverse Technologies, Inc. sr. sub. notes Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,513</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>346,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Windstream Corp. 144A sr. notes 8 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>321,181</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Windstream Corp. 144A sr. notes 8 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>167,788</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>7,325,491</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Consumer Cyclicals (9.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>American Media, Inc. company guaranty Ser. B, 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>324,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Asbury Automotive Group, Inc. sr. sub. notes 8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>105,788</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ashton Woods USA, LLC/Ashton Woods Finance Co. sr.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>sub. notes 9 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>86,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Associated Materials, Inc. company guaranty 9 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>357,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Autonation, Inc. company guaranty 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Autonation, Inc. company guaranty FRB 7.374s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>25,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>25,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>193,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>287,463</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Building Materials Corp. company guaranty 8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>68,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CanWest Media, Inc. company guaranty 8s, 2012 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>4,956</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5,117</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Delco Remy International, Inc. company guaranty 11s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>4,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,440</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dex Media West, LLC/Dex Media Finance Co. sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ser. B, 8 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>256,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dex Media, Inc. disc. notes stepped-coupon zero % (9s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>11/15/08), 2013 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>88,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dex Media, Inc. notes 8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>56,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>FelCor Lodging LP company guaranty 8 1/2s, 2008 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>106,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co. notes 7.45s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>276,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Credit Corp. bonds 7 3/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>88,933</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Credit Corp. notes 7 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>545,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>547,478</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Credit Corp. notes 7 3/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>189,682</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Credit Corp. sr. notes 9 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>510,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>543,099</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Credit Corp. 144A sr. unsecd. notes 9 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>179,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>190,042</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Acceptance Corp. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>555,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>581,014</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Acceptance Corp. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>520,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>535,876</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Acceptance Corp. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>645,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>661,353</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Acceptance Corp. notes 5 1/8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>135,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>133,278</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Acceptance Corp. sr. unsub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5.85s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>269,478</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp. notes 7.2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>550,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>524,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Goodman Global Holding Co., Inc. sr. notes FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8.36s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>329,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,580</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Goodyear Tire &amp; Rubber Co. (The) notes 8 1/2s, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Goodyear Tire &amp; Rubber Co. (The) sr. notes 9s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>370,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>378,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Harry &amp; David Holdings, Inc. company guaranty 9s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>72,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Host Marriott LP sr. notes 7 1/8s, 2013 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>122,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>218,225</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Houghton Mifflin Co. sr. sub. notes 9 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>387,838</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>iPayment, Inc. 144A sr. sub. notes 9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>76,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Jostens IH Corp. company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>505,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>K. Hovnanian Enterprises, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>K. Hovnanian Enterprises, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>98,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>KB Home sr. sub. notes 9 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,065</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lamar Media Corp. company guaranty 7 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>130,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lamar Media Corp. 144A sr. sub. notes 6 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>77,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lear Corp. company guaranty Ser. B, 8.11s, 2009 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>385,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>405,694</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lear Corp. sr. notes 8 1/8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>131,887</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lear Corp. 144A sr. notes 8 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>198,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Levi Strauss &amp; Co. sr. notes 9 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>253,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>270,394</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Levi Strauss &amp; Co. sr. notes 8 7/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>149,894</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Meritage Homes Corp. company guaranty 6 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>55,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>MGM Mirage, Inc. company guaranty 8 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>101,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>MGM Mirage, Inc. company guaranty 6s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>279,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>MGM Mirage, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Michaels Stores, Inc. 144A sr. notes 10s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>97,019</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Michaels Stores, Inc. 144A sr. sub. notes 11 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>158,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Mirage Resorts, Inc. debs. 7 1/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>25,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>24,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Movie Gallery, Inc. sr. unsecd. notes 11s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>49,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Neiman-Marcus Group, Inc. company guaranty 9s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>487,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>NTK Holdings, Inc. sr. disc. notes zero %, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>224,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Oxford Industries, Inc. sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>102,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Park Place Entertainment Corp. sr. sub. notes 7 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>278,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>285,645</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>346,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>PRIMEDIA, Inc. company guaranty 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>68,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>PRIMEDIA, Inc. sr. notes 8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>243,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>R.H. Donnelley Corp. sr. disc. notes Ser. A-1, 6 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>20,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>19,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>R.H. Donnelley Corp. sr. disc. notes Ser. A-2, 6 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>138,838</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>R.H. Donnelley Corp. sr. notes 6 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>81,388</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>R.H. Donnelley Corp. sr. notes Ser. A-3, 8 7/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>168,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Reader's Digest Association, Inc. (The) sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>440,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>450,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Resorts International Hotel and Casino, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>guaranty 11 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>328,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>334,560</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Scientific Games Corp. company guaranty 6 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>169,313</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>260,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>270,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Standard Pacific Corp. sr. notes 7s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>109,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Standard Pacific Corp. sr. notes 6 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>54,931</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Starwood Hotels &amp; Resorts Worldwide, Inc. debs.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="12%">&nbsp; </TD>
     <TD noWrap align=left width="9%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>82,878</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Station Casinos, Inc. sr. notes 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="12%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>383,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>367,680</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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Station Casinos, Inc. sr. sub. notes 6 7/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>83,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>126,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>191,188</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Texas Industries, Inc. sr. unsecd. notes 7 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>310,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>313,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>notes 8 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>323,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>342,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>TRW Automotive, Inc. sr. notes 9 3/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>289,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>TRW Automotive, Inc. sr. sub. notes 11s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>United Auto Group, Inc. 144A sr. sub. notes 7 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>180,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>446,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>442,655</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Vertis, Inc. 144A sub. notes 13 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>116,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>mtge. 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>359,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%">&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=right width="18%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>17,995,861</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Consumer Staples (6.9%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Adelphia Communications Corp. sr. notes 10 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(In default) (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>20,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>17,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Adelphia Communications Corp. sr. notes Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9 7/8s, 2007 (In default) (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>200,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Affinion Group, Inc. company guaranty 11 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>135,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>142,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Affinion Group, Inc. company guaranty 10 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>354,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>360,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>356,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>AMC Entertainment, Inc. company guaranty 11s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>137,969</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>AMC Entertainment, Inc. sr. sub. notes 8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>259,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>249,935</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Atlantic Broadband Finance, LLC company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>286,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Avis Budget Car Rental, <FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>LLC 144A sr. notes 7 3/4s, 2016</FONT>&nbsp;&nbsp;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>144,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Avis Budget Car Rental, <FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>LLC 144A sr. notes 7 5/8s, 2014</FONT>&nbsp;&nbsp;</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>96,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Brand Services, Inc. company guaranty 12s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>309,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>344,921</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Buffets, Inc. 144A sr. unsec 12 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,838</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Burlington Coat Factory Warehouse Corp. 144A sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>11 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>195,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>193,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>98,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CCH I, LLC/Capital Corp. sec. notes 11s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>692,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>678,160</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CCH II, LLC/Capital Corp. sr. notes Ser. B, 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>448,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CCH, LLC/Capital Corp. sr. notes 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>292,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Chiquita Brands International, Inc. sr. notes 8 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>27,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Chiquita Brands International, Inc. sr. notes 7 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>380,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Church &amp; Dwight Co., Inc. company guaranty 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>125,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Cinemark USA, Inc. sr. sub. notes 9s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>57,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Cinemark, Inc. sr. disc. notes stepped-coupon zero %</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(9 3/4s, 3/15/09), 2014 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>266,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Constellation Brands, Inc. company guaranty Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>117,731</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Constellation Brands, Inc. sr. sub. notes Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CSC Holdings, Inc. debs. Ser. B, 8 1/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,101</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>255,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>259,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>201,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dean Foods Co. company guaranty 7s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>245,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Del Monte Corp. company guaranty 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>103,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Del Monte Corp. sr. sub. notes 8 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>284,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>DirecTV Holdings, LLC company guaranty 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>361,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>DirecTV Holdings, LLC sr. notes 8 3/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>192,169</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Domino's, Inc. sr. sub. notes 8 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>106,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>109,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Echostar DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>29,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Echostar DBS Corp. sr. notes 6 3/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>427,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Echostar DBS Corp. 144A sr. notes 7s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>154,613</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>154,225</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Hertz Corp. 144A sr. notes 8 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>191,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ion Media Networks, Inc. 144A sec. FRN 11.624s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ion Media Networks, Inc. 144A sec. FRN 8.624s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>121,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>LIN Television Corp. company guaranty Ser. B, 6 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>299,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Marquee Holdings, Inc. sr. disc. notes stepped-coupon</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>zero % (12s, 8/15/09), 2014 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>146,613</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nutro Products, Inc. 144A sr. notes FRN 9.4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>334,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>382,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Playtex Products, Inc. sec. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>480,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>501,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>342,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>350,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rainbow National Services, LLC 144A sr. notes 8 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>215,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rainbow National Services, LLC 144A sr. sub. debs.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>83,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Remington Arms Co., Inc. company guaranty 10 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>137,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rental Services Corp. 144A bonds 9 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>81,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rite Aid Corp. company guaranty 7 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rite Aid Corp. sec. notes 8 1/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>116,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sbarro, Inc. company guaranty 11s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>213,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Scotts Co. (The) sr. sub. notes 6 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>54,863</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sirius Satellite Radio, Inc. sr. unsecd. notes 9 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="54%">&nbsp; </TD>
     <TD noWrap align=left width="18%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="27%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="54%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="18%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>177,750</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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Six Flags, Inc. sr. notes 8 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>138,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>133,170</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Spectrum Brands, Inc. company guaranty 7 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>545,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>459,163</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Spectrum Brands, Inc. sr. sub. notes 8 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>143,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Swift &amp; Co. company guaranty 10 1/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>221,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Swift &amp; Co. sr. sub. notes 12 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>169,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>United Rentals NA, Inc. sr. sub. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>84,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>84,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>United Rentals NA, Inc. sr. sub. notes 7s, 2014 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>150,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Universal City Florida Holding Co. sr. notes 8 3/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>295,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Universal City Florida Holding Co. sr. notes FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10.121s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>107,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>109,943</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Young Broadcasting, Inc. company guaranty 10s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>264,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>249,480</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>13,525,360</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Energy (3.6%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Arch Western Finance, LLC sr. notes 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>333,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>76,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>79,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>232,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Chesapeake Energy Corp. company guaranty 7 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>62,175</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>196,175</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Chesapeake Energy Corp. sr. notes 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>251,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Complete Production Services, Inc. 144A sr. notes 8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>272,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Compton Petroleum Corp. company guaranty 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>337,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>114,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>101,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dresser-Rand Group, Inc. company guaranty 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>27,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>27,135</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Encore Acquisition Co. sr. sub. notes 6 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>56,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Encore Acquisition Co. sr. sub. notes 6s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>213,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>193,298</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EXCO Resources, Inc. company guaranty 7 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>232,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>135,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>140,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Hanover Compressor Co. sr. notes 9s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>96,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Hanover Equipment Trust sec. notes Ser. B, 8 3/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>41,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Harvest Operations Corp. sr. notes 7 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>346,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>336,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Inergy LP/Inergy Finance Corp. sr. notes 6 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>485,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>470,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Massey Energy Co. sr. notes 6 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>336,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Newfield Exploration Co. sr. notes 7 5/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>156,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>210,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Pacific Energy Partners/Pacific Energy Finance Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>sr. notes 7 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>98,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Peabody Energy Corp. company guaranty 7 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>99,869</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Peabody Energy Corp. sr. notes 5 7/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>171,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>PetroHawk Energy Corp. company guaranty 9 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>440,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>458,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Pogo Producing Co. sr. sub. notes 6 7/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>177,138</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Pogo Producing Co. 144A sr. sub. notes 7 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>97,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Pride International, Inc. sr. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>217,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sabine Pass LNG LP 144A sec. notes 7 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>200,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Targa Resources, Inc. 144A company guaranty 8 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>410,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>414,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Whiting Petroleum Corp. company guaranty 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>575,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>575,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>7,135,878</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Financial (0.2%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>E*Trade Finance Corp. sr. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>230,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>238,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Finova Group, Inc. notes 7 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>359,975</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="98%" colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Health Care (2.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>AMR Holding Co., Inc./EmCare Holding Co., Inc. sr.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>sub. notes 10s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>344,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Community Health Systems, Inc. sr. sub. notes 6 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>408,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>392,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>DaVita, Inc. company guaranty 6 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>282,863</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>HCA, Inc. notes 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>54,113</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>HCA, Inc. sr. notes 6.95s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>65,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>HCA, Inc. 144A sec. notes 9 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>298,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>HCA, Inc. 144A sec. notes 9 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>380,969</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>321,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>260,010</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nycomed A/S 144A sr. notes 11 3/4s, 2013 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Denmark)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>264,687</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>372,107</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Omnicare, Inc. sr. sub. notes 6 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>48,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>146,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Psychiatric Solutions, Inc. company guaranty 7 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>360,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>357,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Select Medical Corp. company guaranty 7 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>385,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>321,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Service Corporation International sr. notes 8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>64,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Service Corporation International sr. notes 6 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>176,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>323,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Tenet Healthcare Corp. notes 7 3/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>265,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>241,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Tenet Healthcare Corp. sr. notes 9 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>165,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Triad Hospitals, Inc. sr. notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="22%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>166,650</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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Triad Hospitals, Inc. sr. sub. notes 7s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Universal Hospital Services, Inc. sr. notes 10 1/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>106,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>US Oncology, Inc. company guaranty 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>167,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>395,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ventas Realty LP/Capital Corp. company guaranty 9s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2012 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>73,369</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ventas Realty LP/Capital Corp. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6 3/4s, 2010 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>76,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ventas Realty LP/Capital Corp. sr. notes 6 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>5,591,546</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Technology (2.7%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>328,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>336,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Amkor Technologies, Inc. sr. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>184,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>172,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Amkor Technologies, Inc. sr. unsecd. notes 9 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>93,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Avago Technologies Finance 144A sr. notes 10 1/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013 (Singapore)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>127,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>85,213</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Compucom Systems, Inc. 144A sr. notes 12s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>169,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Conexant Systems, Inc. 144A sec. FRN 9.126s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>126,406</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Freescale Semiconductor, Inc. 144A sr. notes 9 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2014 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>220,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Freescale Semiconductor, Inc. 144A sr. notes 8 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>431,075</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Freescale Semiconductor, Inc. 144A sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10 1/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>217,419</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Iron Mountain, Inc. company guaranty 8 3/4s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>74,725</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Iron Mountain, Inc. company guaranty 8 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>366,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Iron Mountain, Inc. company guaranty 6 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>42,863</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lucent Technologies, Inc. debs. 6.45s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>319,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lucent Technologies, Inc. notes 5 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>49,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>68,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nortel Networks, Ltd. 144A company guaranty 10 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2016 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>176,756</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nortel Networks, Ltd. 144A company guaranty FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9.624s, 2011 (Canada) (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>186,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>NXP BV/NXP Funding, LLC 144A sec. FRN 8.118s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>172,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>NXP BV/NXP Funding, LLC 144A sec. notes 7 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>282,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>SunGard Data Systems, Inc. company guaranty 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>252,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>267,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>SunGard Data Systems, Inc. company guaranty 9 1/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>506,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>530,668</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>UGS Capital Corp. II 144A sr. notes 10.38s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>84,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>UGS Corp. company guaranty 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>261,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Xerox Capital Trust I company guaranty 8s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>179,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Xerox Corp. company guaranty 9 3/4s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,261</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Xerox Corp. sr. notes 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>41,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>43,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Xerox Corp. sr. notes 6 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>195,545</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Xerox Corp. unsec. sr. notes 6 3/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>127,606</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>5,413,583</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Transportation (0.3%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CalAir, LLC/CalAir Capital Corp. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8 1/8s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>230,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>230,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Kansas City Southern Railway Co. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>288,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=right width="10%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>518,750</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Utilities &amp; Power (2.9%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>AES Corp. (The) sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>22,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>23,760</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>AES Corp. (The) 144A sec. notes 9s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>189,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>258,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>ANR Pipeline Co. debs. 9 5/8s, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>236,023</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CMS Energy Corp. sr. notes 8.9s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>62,775</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CMS Energy Corp. sr. notes 8 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>76,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CMS Energy Corp. sr. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>42,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Colorado Interstate Gas Co. debs. 6.85s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>99,726</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Colorado Interstate Gas Co. sr. notes 5.95s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>29,460</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dynegy-Roseton Danskamme company guaranty Ser. A,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7.27s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>91,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dynegy-Roseton Danskamme company guaranty Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7.67s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>128,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Edison Mission Energy sr. unsec 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>78,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Edison Mission Energy sr. unsec 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>93,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>El Paso Corp. sr. notes 8.05s, 2030</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>123,338</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>El Paso Corp. sr. notes 7 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>92,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>El Paso Natural Gas Co. debs. 8 5/8s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>47,835</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>El Paso Production Holding Co. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="30%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>360,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>373,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ferrellgas LP/Finance sr. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>287,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ferrellgas LP/Finance sr. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="30%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>151,513</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="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>303,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Mirant North America, LLC company guaranty 7 3/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>230,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>232,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Mission Energy Holding Co. sec. notes 13 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>172,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Monongahela Power Co. 1st mtge. 6.7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>96,754</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nevada Power Co. 2nd mtge. 9s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>62,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>67,291</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>NRG Energy, Inc. company guaranty 7 3/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>99,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>720,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>720,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Orion Power Holdings, Inc. sr. notes 12s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>141,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>SEMCO Energy, Inc. sr. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>110,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>111,601</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>SEMCO Energy, Inc. 144A sr. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>146,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sierra Pacific Power Co. general ref. mtge. 6 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>35,955</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sierra Pacific Resources sr. notes 8 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>178,173</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Southern Union Co. jr. sub. FRN 7.2s, 2066</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,682</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Teco Energy, Inc. notes 7.2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>36,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Teco Energy, Inc. notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>62,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Teco Energy, Inc. sr. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Tennessee Gas Pipeline Co. debs. 7s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>15,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>15,902</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Tennessee Gas Pipeline Co. unsec. notes 7 1/2s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>43,502</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>158,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Utilicorp Canada Finance Corp. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 3/4s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>148,619</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Utilicorp United, Inc. sr. notes 9.95s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5,532</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Williams Cos., Inc. (The) notes 8 3/4s, 2032</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>33,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Williams Cos., Inc. (The) notes 8 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>37,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Williams Cos., Inc. (The) notes 7 5/8s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>53,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>65,163</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>5,654,405</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="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Total corporate bonds and notes (cost $78,519,745)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$79,570,717</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>CONVERTIBLE PREFERRED STOCKS (37.3%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>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="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Banking (3.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Marshall &amp; Ilsley Corp. $1.625 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>58,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$1,538,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sovereign Capital Trust IV $2.188 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>46,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,271,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Washington Mutual Capital Trust I $2.688 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>38,400</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,117,760</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>5,927,560</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Basic Materials (3.6%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Bunge, Ltd. 4.875% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10,775</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,108,478</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Freeport-McMoRan Copper &amp; Gold, Inc. 5.50% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,900</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,650,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Huntsman Corp. $2.50 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>25,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,000,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Smurfit-Stone Container Corp. Ser. A, $1.75 cum. cv.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>101,920</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,420,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>7,180,453</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Capital Goods (4.0%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Allied Waste Industries Ser. D, 6.25% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>4,060</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,382,430</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Northrop Grumman Corp. Ser. B, $7.00 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>31,900</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>4,182,888</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Owens-Illinois, Inc. $2.375 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>63,770</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,343,548</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>7,908,866</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Communication Services (2.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>35,300</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,623,094</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Crown Castle International Corp. $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>46,095</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,558,273</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>4,181,367</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Consumer Cyclicals (4.7%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>24,100</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>964,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Company Capital Trust II $3.25 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>66,700</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,317,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp. Ser. A, $1.125 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>141,300</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,550,163</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Retail Ventures, Inc. $3.312 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>12,720</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>850,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>United Rentals Trust I $3.25 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>32,103</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,565,021</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>9,247,659</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Consumer Staples (2.5%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Newell Financial Trust I $2.625 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>35,400</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,685,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rite Aid Corp. $1.375 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>20,800</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>534,768</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Six Flags, Inc. $1.813 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>63,200</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,406,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Universal Corp. 6.75% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,070</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,246,015</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>4,872,908</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Energy (2.2%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Chesapeake Energy Corp. 6.25% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>8,620</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,426,530</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Hanover Compressor Capital Trust $3.625 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>32,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,856,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%">&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>4,282,530</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Financial (1.0%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Fannie Mae Ser. 04-1, 5.375% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>20</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>1,990,340</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Health Care (1.5%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Schering-Plough Corp. $3.00 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>55,300</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>2,993,113</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Insurance (2.7%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Alleghany Corp. 5.75% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,800</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,214,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Aspen Insurance Holdings, Ltd. $2.813 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="29%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="59%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="29%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>20,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,097,500</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_8"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Conseco, Inc. $1.375 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>58,300</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,428,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>IPC Holdings, Ltd. 7.25% cv. pfd. (Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>18,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>559,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Platinum Underwriters Holdings, Ltd. Ser. A, 6.00% cv.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>pfd. (Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>34,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,035,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>5,335,050</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Investment Banking/Brokerage (2.7%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Affiliated Managers Group, Inc. 144A $2.55 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>21,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,115,313</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>E*Trade Financial Corp. $1.531 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>55,500</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,706,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lehman Brothers Holdings, Inc. $1.563 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,190</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,095,178</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Merrill Lynch &amp; Co., Inc. Ser. JNC, 6.75% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,260</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,325,766</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>5,242,882</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Real Estate (1.9%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>pfd. (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>99,200</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,492,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Simon Property Group, Inc. $3.00 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>15,100</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,224,988</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>3,717,388</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Technology (1.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lucent Technologies Capital Trust I 7.75% cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,100</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>2,150,400</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Utilities &amp; Power (4.2%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>El Paso Corp. 144A 4.99% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,300</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,680,738</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>El Paso Energy Capital Trust I $2.375 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>38,950</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,509,313</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Entergy Corp. $3.813 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,900</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,418,213</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>NRG Energy, Inc. 5.75% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>4,100</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,119,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Southern Union Co. $2.50 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,700</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,638,613</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>8,366,177</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="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Total convertible preferred stocks (cost $66,708,215)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$73,396,693</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>CONVERTIBLE BONDS AND NOTES (17.6%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Capital Goods (1.3%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>DRS Technologies, Inc. 144A cv. unsec. notes 2s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$374,581</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>GenCorp, Inc. cv. sub. notes 5 3/4s, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,030,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,093,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>2,468,019</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Communication Services (0.5%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Charter Communications, Inc. cv. sr. notes 5 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>696,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Charter Communications, Inc. 144A cv. sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>181,188</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>878,063</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Consumer Cyclicals (3.2%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>ArvinMeritor, Inc. 144A cv. unsec. sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>stepped-coupon 4 5/8s (zero%, 3/1/16) 2026 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,040,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,140,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Fleetwood Enterprises, Inc. cv. sr. sub. notes 5s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,700,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Pier 1 Imports, Inc. 144A cv. sr. unsub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>stepped-coupon 6 3/8s (6 1/8s, 2/15/11) 2036 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,541,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,450,466</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rewards Network, Inc. cv. sub. debs. 3 1/4s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,067,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>WCI Communities, Inc. cv. sr. sub. notes 4s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>900,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>875,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>6,233,441</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Consumer Staples (3.0%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nash Finch Co. cv. sr. sub. notes stepped-coupon</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1.631s (zero%, 3/15/13) 2035 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6,170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,575,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rite Aid Corp. cv. notes 4 3/4s, 2006</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,060,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sinclair Broadcast Group, Inc. cv. bonds 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,055,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,870,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sinclair Broadcast Group, Inc. cv. sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>stepped-coupon 4 7/8s (2s, 1/15/11) 2018 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>380,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>5,886,125</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Energy (0.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>McMoran Exploration Co. cv. sr. notes 6s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>690,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>879,750</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Health Care (1.5%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Connetics Corp. cv. sr. notes 2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,277,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CV Therapeutics, Inc. cv. sub. notes 3 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,090,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EPIX Medical, Inc. cv. sr. notes 3s, 2024</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>900,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>623,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>2,990,875</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="99%" colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="99%" colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Technology (5.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Agere Systems, Inc. cv. sub. notes 6 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>980,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>991,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Cray, Inc. cv. sr. sub. notes 3s, 2024</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,323,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Fairchild Semiconductor International, Inc. cv.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>company guaranty 5s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>980,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>971,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Kulicke &amp; Soffa Industries, Inc. cv. sub. notes 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2008</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,050,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,798,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>LSI Logic Corp. cv. sub. notes 4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>770,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>840,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Lucent Technologies, Inc. cv. debs. Ser. B, 2 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2025</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>471,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Mentor Graphics Corp. cv. sub. notes FRN 7.018s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,751,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Safeguard Scientifics, Inc. cv. sr. notes 2 5/8s, 2024</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>168,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="55%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Safeguard Scientifics, Inc. 144A cv. sr. notes 2 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_9"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2024</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,352,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>10,666,963</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Transportation (1.6%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>JetBlue Airways Corp. cv. sr. bonds 3 1/2s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,750,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,671,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Pinnacle Airlines Corp. cv. sr. notes 3 1/4s, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,552,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>3,223,750</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Utilities &amp; Power (0.7%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>XCEL Energy, Inc. 144A cv. notes 7 1/2s, 2007</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>720,000</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>1,346,400</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Total convertible bonds and notes (cost $31,443,259)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$34,573,386</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>UNITS (2.0%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Units</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Elf Special Financing, Ltd. 144A cv. units FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5.71s, 2009 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$1,209,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Hercules, Inc. cv. units, 6.50%, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,020</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,727,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>XCL, Ltd. Equity Units (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>406</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>997,858</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Total units (cost $3,206,838)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$3,934,258</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>COMMON STOCKS (0.4%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="40%" background=""></TD>
     <TD noWrap align=left width="23%" background=""></TD>
     <TD noWrap align=left width="10%" background=""></TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="11%" background=""></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Blount International, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9,940</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$116,795</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Boyd Gaming Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,424</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>145,006</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Coinmach Service Corp. IDS (Income Deposit Securities)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>665</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>11,731</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Contifinancial Corp. Liquidating Trust Units (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>574,207</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>57</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Elizabeth Arden, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6,860</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>126,224</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Knology, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>32</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>320</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Samsonite Corp. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>155,734</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>182,986</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sterling Chemicals, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>50</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>638</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Sun Healthcare Group, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>202</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,038</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Triad Hospitals, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,275</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>96,733</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>USA Mobility, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>56</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>VS Holdings, Inc. (F)(NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>28,292</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>WHX Corp. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,964</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>37,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Williams Cos., Inc. (The)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5,875</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>163,090</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Total common stocks (cost $1,981,999)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$884,045</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>FOREIGN GOVERNMENT BONDS AND NOTES (0.1%)(a) (cost $156,102)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Principal amount</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Argentina (Republic of) FRB 5.59s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$168,750</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$157,333</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>PREFERRED STOCKS (--%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ion Media Networks, Inc. 13.25% cum. pfd. (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$38,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Rural Cellular Corp. Ser. B, 11.375% cum. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>43</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>53,535</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Total preferred stocks (cost $75,612)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$92,035</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>WARRANTS (--%)(a)(NON)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Expiration</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Strike Price</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Warrants</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Dayton Superior Corp. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6/15/09</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$0.01</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>270</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$3</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>MDP Acquisitions PLC 144A (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>10/1/13</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>EUR 0.001</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>119</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,332</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ubiquitel, Inc. 144A</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>4/15/10</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$22.74</FONT>&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>420</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>4</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Total warrants (cost $28,984)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$3,339</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>SHORT-TERM INVESTMENTS (3.2%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%">&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>amount/shares</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Putnam Prime Money Market Fund (e)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,780,717</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$3,780,717</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Short-term investments held as collateral for loaned</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>securities with yields ranging from 5.27% to 5.44% and</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>due dates ranging from December 1, 2006 to</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>January 19, 2007 (d)</FONT>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$2,431,528</FONT>&nbsp; </TD>
     <TD noWrap align=right width="11%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,426,690</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Total short-term investments (cost $6,207,407)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$6,207,407</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD width="97%" colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="40%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>TOTAL INVESTMENTS</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="23%">&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=left width="11%">&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left width="97%" background="" colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="63%" colSpan=2><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Total investments (cost $188,328,161)(b)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="13%">&nbsp; </TD>
     <TD noWrap align=right width="11%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>$198,819,213</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_10"></A>
<P align=left><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>FORWARD CURRENCY CONTRACTS TO SELL at 11/30/06 (aggregate face value $3,265,151) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=left width="33%">&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%">&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>face value</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>depreciation</FONT>&nbsp; </TD></TR>
<TR>
     <TD width="100%" colSpan=6>
<HR noShade SIZE=1>
&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="24%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Euro</FONT>&nbsp; </TD>
     <TD noWrap align=right width="33%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$3,362,900</FONT>&nbsp; </TD>
     <TD noWrap align=right width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$3,265,151</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>12/20/06</FONT>&nbsp; </TD>
     <TD noWrap align=right width="10%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$(97,749)</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_11"></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="49%" colSpan=2><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>CREDIT DEFAULT CONTRACTS OUTSTANDING at 11/30/06 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%">&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Notional</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>received (paid) by</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Referenced debt*</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>received (paid)**</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>amount</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>date</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Citibank, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Celestica, Inc. 7 7/8%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/1/11</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$125,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/11</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>285 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>$1,935</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>620 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,950</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Visteon Corp., 7%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6/20/09</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>605 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6,744</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>CreditSuisse First Boston International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(487.5 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(5,843)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>725 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>17,097</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(485 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(1,160)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Deutsche Bank AG</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>112,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>595 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,920</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Visteon Corp., 7%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3/10/14</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6/20/09</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>535 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>5,064</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Goldman Sachs Capital Markets, L.P.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>630 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,010</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Goldman Sachs International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Any one of the</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>underlying securities</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>in the basket of BB</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>CMBS securities</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>108,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(a)</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2.461%</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9,440</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>620 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>14,014</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(427.5 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(5,785)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(425 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(1,149)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>620 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>2,803</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>L-3 Communications</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Corp. 7 5/8%, 6/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/11</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(108 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(428)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>635 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,039</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>6/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>665 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>4,023</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(345 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(579)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>550 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,580</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(350 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(760)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>500 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,755</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Lehman Brothers Special Financing, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%,7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>12/20/06</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>750 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>3,742</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Merrill Lynch Capital Services, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(345 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(1,642)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>570 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>4,794</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(335 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(2,860)</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>500 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7,021</FONT>&nbsp;</TD></TR>
<TR>
     <TD width="98%" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Morgan Stanley Capital Services, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(345 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(579)</FONT>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD noWrap align=left width="36%" background="">&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="8%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=right width="9%" background=""></TD></TR>
<TR>
     <TD noWrap align=left width="36%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Ford Motor Co., 7.45%,</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="8%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=right width="9%" background=""></TD></TR>
<TR>
     <TD noWrap align=left width="36%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7/16/31</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>560 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,636</FONT>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD noWrap align=left width="36%" background="">&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="8%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=right width="9%" background=""></TD></TR>
<TR>
     <TD noWrap align=left width="36%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="8%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=right width="9%" background=""></TD></TR>
<TR>
     <TD noWrap align=left width="36%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/07</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(335 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(715)</FONT>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD noWrap align=left width="36%" background="">&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="8%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=right width="9%" background=""></TD></TR>
<TR>
     <TD noWrap align=left width="36%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>General Motors Corp.,</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="8%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=right width="9%" background=""></TD></TR>
<TR>
     <TD noWrap align=left width="36%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7 1/8%, 7/15/13</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>9/20/08</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>500 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>1,755</FONT>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD width="98%" colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>Nalco, Co.</FONT>&nbsp;</TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="8%">&nbsp;</TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%">&nbsp;</TD>
     <TD noWrap align=left width="14%">&nbsp;</TD>
     <TD noWrap align=right width="9%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="36%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>7.75%,11/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=right width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>--</FONT>&nbsp;</TD>
     <TD noWrap align=right width="8%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=left width="5%" background="">&nbsp;</TD>
     <TD noWrap align=left width="13%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>12/20/11</FONT>&nbsp;</TD>
     <TD noWrap align=left width="14%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>210 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right width="9%"><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>673</FONT>&nbsp;</TD></TR>
<TR>
     <TD noWrap align=left width="98%" background="" colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD noWrap align=left width="36%" background="">&nbsp;</TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="8%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=right width="9%" background=""></TD></TR>
<TR>
     <TD noWrap align=left width="36%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2><B>Total&nbsp;</B></FONT></TD>
     <TD noWrap align=right width="13%" background=""></TD>
     <TD noWrap align=right width="8%" background=""></TD>
     <TD noWrap align=left width="5%" background=""></TD>
     <TD noWrap align=left width="13%" background=""></TD>
     <TD noWrap align=left width="14%" background=""></TD>
     <TD noWrap align=right width="9%" background=""><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2><B>$75,495</B></FONT></TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_12"></A><BR>
<P align=left><B><I><FONT face=Arial-BoldItalicMT,Arial,Helvetica,sans-serif size=2>* Payments related to the reference debt are made upon a credit default event.</FONT></I></B></P>
<P align=left><B><I><FONT face=Arial-BoldItalicMT,Arial,Helvetica,sans-serif size=2>** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.</FONT></I></B></P>
<P align=left><B><I><FONT face=Arial-BoldItalicMT,Arial,Helvetica,sans-serif size=2>(a) Terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference entity are liquidated.</FONT></I></B></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_13"></A>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>NOTES</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(a) Percentages indicated are based on net assets of $196,938,366</FONT><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(b) The aggregate identified cost on a tax basis is $188,199,082, resulting in gross unrealized appreciation and depreciation of $15,045,170 and $4,425,039, respectively, or net unrealized appreciation of $10,620,131.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(NON) Non-income-producing security.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(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=ArialMT,Arial,Helvetica,sans-serif size=2>(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at November 30, 2006 was $170,170 or 0.1% of net assets.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(PIK) Income may be received in cash or additional securities at the discretion of the issuer.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(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. </FONT><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>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. At November 30, 2006, the value of securities loaned amounted to $2,375,323. Certain of these securities were sold prior to period-end. The fund received cash collateral of $2,426,690 which is pooled with collateral of other Putnam funds into 48 issues of high-grade, short-term investments.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(e) 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. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. </FONT><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>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 $48,061 for the period ended November 30, 2006. During the period ended November 30, 2006, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $17,606,859 and $16,126,771, respectively.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(F) Security is valued at fair value following procedures approved by the Trustees.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(R) Real Estate Investment Trust.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>(S) Securities on loan, in part or in entirety, at November 30, 2006.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>At November 30, 2006, liquid assets totaling $2,855,000 have been designated as collateral for open forward commitments and swap contracts.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at November 30, 2006.</FONT></P>
<P align=left><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>The dates shown on debt obligations are the original maturity dates.</FONT></P>
<P align=left><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Security valuation</FONT></B><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2> 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. Accordingly, on certain days, the fund will fair value foreign equity 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=ArialMT,Arial,Helvetica,sans-serif size=2>Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Certain investments, including certain restricted securities, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.</FONT></P>
<P align=left><B><FONT face=Arial-BoldMT,Arial,Helvetica,sans-serif size=2>Forward currency contracts </FONT></B><FONT face=ArialMT,Arial,Helvetica,sans-serif size=2>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 cl
osed, 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. 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>
<HR align=center width="100%" noShade SIZE=2>


<!--$$/page=-->
<A name="page_14"></A>

<P align="left">
<B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">Credit default contracts </FONT></B><FONT size=2 face="ArialMT,Arial,Helvetica,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. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. 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 an independent pricing service or 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. 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 align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 noshade align="center"width="100%"size=2>












<!--$$/page=-->
<A name="page_1"></A>

<P align="left">
<U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Item 2. Controls and Procedures:</FONT></U></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">(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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">(b) Changes in internal control over financial reporting: Not applicable </FONT></P>
<P align="left">
<U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Item 3. Exhibits:</FONT></U></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended,
are filed herewith.</FONT></P>
<P align="left">
<U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">SIGNATURES</FONT></U></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">Putnam High Income Securities Fund</FONT></U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif"> </FONT><BR>
<BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">By (Signature and Title): </FONT><BR>
<BR>
<U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">/s/ Janet C. Smith</FONT></U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif"> </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Janet C. Smith </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Principal Accounting Officer</FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Date: January 26, 2007 </FONT></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">By (Signature and Title): </FONT><BR>
<BR>
<U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">/s/ Charles E. Porter</FONT></U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif"> </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Charles E. Porter </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Principal Executive Officer</FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Date: January 26, 2007 </FONT><BR>
<BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">By (Signature and Title): </FONT><BR>
<BR>
<U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">/s/ Steven D. Krichmar</FONT></U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif"> </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Steven D. Krichmar </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Principal Financial Officer </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Date: January 26, 2007 </FONT></P>

<HR noshade align="center"width="100%"size=2>




































</BODY>

</HTML>

</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>b_cert.htm
<DESCRIPTION>EX-99.CERT
<TEXT>

<HTML>
<HEAD>
   <TITLE>b_cert.htm</TITLE>
</HEAD>

<BODY bgcolor="#ffffff">


<!--$$/page=-->
<A name="page_1"></A>

<P align="left">
<U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Certifications</FONT></U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif"> </FONT></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">I, Charles E. Porter, the Principal Executive Officer of the funds listed on Attachment A, certify that: </FONT></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: </FONT></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">/s/ Charles E. Porter </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">_____________________________ </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Date: January 25, 2007 </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Charles E. Porter </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Principal Executive Officer </FONT></P>

<HR noshade align="center"width="100%"size=2>



<!--$$/page=-->
<A name="page_2"></A>

<P align="left">
<U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Certifications</FONT></U><FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif"> </FONT></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that: </FONT></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: </FONT></P>
<P align="left">
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">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 size=2 face="ArialMT,Arial,Helvetica,sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">_______________________________ </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Date: January 25, 2007 </FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="ArialMT,Arial,Helvetica,sans-serif">Principal Financial Officer </FONT></P>

<HR noshade align="center"width="100%"size=2>


<!--$$/page=-->
<A name="page_3"></A>
<P align=left><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif>Attachment A </FONT><BR>
<FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif>November 30, 2006 </FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>
<TR vAlign=bottom>
     <TD noWrap align=left width="6%"><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>2AZ</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>Putnam International Capital Opportunities Fund</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="88%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="6%"><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>274</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>Putnam New Value Fund</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="88%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="6%"><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>2MF</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>Putnam Small Cap Value Fund</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="88%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="6%"><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>014</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>Putnam High Yield Trust</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="88%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="6%"><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>021</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>Putnam Health Sciences Trust</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="88%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="6%"><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>018</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>Putnam Global Natural Resources Fund</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="88%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="6%"><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>061</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>Putnam High Income Securities Fund</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="88%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="6%"><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>7BF</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>Putnam Income Strategies Fund</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="88%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="6%"><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>29X</FONT>&nbsp; </TD>
     <TD noWrap align=left width="5%" background=""><FONT face=TimesNewRomanPSMT,Arial,Helvetica,sans-serif size=2>Putnam Floating Rate Income Fund</FONT>&nbsp;&nbsp;&nbsp;</TD>
     <TD noWrap align=left width="88%"></TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

</BODY>

</HTML>

</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
-----END PRIVACY-ENHANCED MESSAGE-----
