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<SEC-DOCUMENT>0000928816-08-000859.txt : 20080729
<SEC-HEADER>0000928816-08-000859.hdr.sgml : 20080729
<ACCEPTANCE-DATETIME>20080729142930
ACCESSION NUMBER:		0000928816-08-000859
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20080531
FILED AS OF DATE:		20080729
DATE AS OF CHANGE:		20080729
EFFECTIVENESS DATE:		20080729

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:		08975390

	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_highincomesec.htm
<DESCRIPTION>PUTNAM HIGH INCOME SECURITIES FUND
<TEXT>
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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="50%">&nbsp;</TD>
     <TD width="6%"></TD>
     <TD width="42%"></TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=3><FONT face=sans-serif size=2>UNITED STATES</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=3><FONT face=sans-serif size=2>SECURITIES AND EXCHANGE COMMISSION</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=3><FONT face=sans-serif size=2>Washington, D.C. 20549</FONT> </TD></TR>
<TR>
     <TD align=center colSpan=3>&nbsp;&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=3><B><FONT face=sans-serif size=2>FORM N-Q</FONT></B> </TD></TR>
<TR>
     <TD noWrap align=center colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center colSpan=3><B><FONT face=sans-serif size=2>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT</FONT></B> </TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=3><B><FONT face=sans-serif size=2>INVESTMENT COMPANY</FONT></B> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Investment Company Act file number: (811- </FONT><FONT face=sans-serif size=2>05133</FONT><FONT face=sans-serif size=2>)</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Exact name of registrant as specified in charter:</FONT> </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam High Income Securities Fund</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=2>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Name and address of agent for service:</FONT> </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Beth S. Mazor, Vice President</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>One Post Office Square</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02109</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>Copy to:</FONT> </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>John W. Gerstmayr, Esq.</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>One International Place</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02110</FONT> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Registrant&#146;s telephone number, including area code:</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>(617) 292-1000</FONT> </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Date of fiscal year end: </FONT><FONT face=sans-serif size=2>August 31, 2008</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Date of reporting period: May 31, 2008</FONT> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<P align=left><U><FONT face=sans-serif size=2>Item 1. Schedule of Investments:</FONT></U></P>
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<P align=left><FONT face=sans-serif size=5>Putnam High Income Securities Fund</FONT><BR>
<FONT face=sans-serif size=4>The fund's portfolio</FONT><BR>
<FONT face=sans-serif>5/31/08 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="54%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>CORPORATE BONDS AND NOTES (39.2%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Basic Materials (3.6%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AK Steel Corp. company guaranty 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$310,303</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Aleris International, Inc. company guaranty 10s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>32,288</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Aleris International, Inc. company guaranty 9s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>230,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>188,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Algoma Acquisition Corp. 144A unsec. notes 9 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2015 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>ARCO Chemical Co. debs. 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>226,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Builders FirstSource, Inc. company guaranty sr. sec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes FRN 6.926s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Century Aluminum Co. company guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Clondalkin Acquisition BV 144A company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sec. notes FRN 4.8s, 2013 (Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,906</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8 3/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>483,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>225,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>237,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRN 5.883s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Georgia-Pacific Corp. debs. 9 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>362,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>282,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hercules, Inc. company guaranty 6 3/4s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>300,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>ULC company guaranty 9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>143,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Huntsman International, LLC company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. sub. notes 7 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>175,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>187,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Huntsman, LLC company guaranty 11 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>International Paper Co. bonds 7.4s, 2014 (FWC)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>124,411</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,080</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Metals USA, Inc. sec. notes 11 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>355,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Momentive Performance Materials, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sr. unsec. notes 9 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>296,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>271,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NewPage Corp. company guaranty 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>159,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NewPage Corp. sec. notes 10s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>135,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>143,775</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NewPage Holding Corp. sr. notes FRN 9.986s, 2013 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,792</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,564</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Norske Skog Canada, Ltd. company guaranty Ser. D,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8 5/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>147,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Novelis, Inc. company guaranty 7 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>145,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rockwood Specialties Group, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>363,544</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Smurfit-Stone Container Enterprises, Inc. sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsub. notes 8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>120,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Steel Dynamics, Inc. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsub. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>298,138</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Steel Dynamics, Inc. 144A sr. notes 7 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,225</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Stone Container Corp. sr. notes 8 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>51,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tube City IMS Corp. company guaranty 9 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>152,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ucar Finance, Inc. company guaranty 10 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Verso Paper Holdings, LLC/ Verso Paper, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty 11 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>91,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>6,024,517</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Capital Goods (3.2%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Allied Waste North America, Inc. sec. notes 6 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>85,744</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Allied Waste North America, Inc. sec. notes Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5 3/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Baldor Electric Co. company guaranty 8 5/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>82,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>BBC Holding Corp. sr. notes 8 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Berry Plastics Corp. 144A sr. sec. notes FRN 7.568s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>67,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Blount, Inc. sr. sub. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>255,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>258,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bombardier, Inc. 144A sr. notes 8s, 2014 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>157,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bombardier, Inc. 144A sr. unsec. notes FRN 7.631s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,713</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Crown Americas, LLC/Crown Americas Capital Corp. sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>206,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>General Cable Corp. company guaranty sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRN 5.073s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>230,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>205,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Greenbrier Cos., Inc. company guaranty 8 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>154,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hawker Beechcraft Acquisition Co., LLC sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>9 3/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hawker Beechcraft Acquisition Co., LLC sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 8 7/8s, 2015 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>204,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hexcel Corp. sr. sub. notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>279,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>L-3 Communications Corp. company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>L-3 Communications Corp. company guaranty 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>106,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>L-3 Communications Corp. company guaranty Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>207,206</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>47,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>417,942</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>125,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Moog, Inc. 144A sr. sub. notes 7 1/4s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,700</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR>
     <TD width="54%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Owens-Brockway Glass Container, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>EUR</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>149,863</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Owens-Illinois, Inc. debs. 7 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>RBS Global, Inc. / Rexnord Corp. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>9 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,713</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ryerson Tull, Inc. 144A sec. notes 12s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>TD Funding Corp. company guaranty 7 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>296,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tekni-Plex, Inc. sec. notes 10 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>323,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Terex Corp. company guaranty 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>255,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>257,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Titan International, Inc. company guaranty 8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>397,963</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>WCA Waste Corp. company guaranty 9 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>191,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>5,289,607</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Communication Services (3.2%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>American Tower Corp. 144A sr. notes 7s, 2017 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>279,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Centennial Cellular Operating Co., LLC company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty 10 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>93,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Centennial Cellular Operating Co., LLC sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 8 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Centennial Communications Corp. sr. notes 10s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Centennial Communications Corp. sr. unsec. notes FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8.448s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>38,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Citizens Communications Co. notes 9 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>167,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cricket Communications, Inc. company guaranty 9 3/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>323,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Jamaica)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>146,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Digicel, Ltd. 144A sr. unsec. unsub. notes 9 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2012 (Jamaica)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>169,538</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Inmarsat Finance PLC company guaranty stepped-coupon</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Intelsat Bermuda, Ltd. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 11 1/4s, 2016 (Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>441,288</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Intelsat Intermediate Holding Co., Ltd. company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty stepped-coupon zero % (9 1/4s, 2/1/10), 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Bermuda) (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>59,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>iPCS, Inc. company guaranty sr. sec. notes FRN 4.998s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>64,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Level 3 Financing, Inc. company guaranty 9 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>187,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Level 3 Financing, Inc. company guaranty 8 3/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,488</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MetroPCS Wireless, Inc. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 9 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>370,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>355,663</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PAETEC Holding Corp. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsub. notes 9 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>258,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Communications International, Inc. company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>89,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>329,963</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>59,963</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rural Cellular Corp. sr. unsec. notes 9 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>153,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rural Cellular Corp. sr. unsec. sub. FRN 8.623s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rural Cellular Corp. sr. unsec. sub. notes FRN 6.076s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>106,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Syniverse Technologies, Inc. sr. sub. notes Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>331,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>196,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>West Corp. company guaranty 9 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>265,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>247,775</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Windstream Corp. company guaranty 8 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>304,956</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Windstream Corp. company guaranty 8 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>158,488</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>5,295,422</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Consumer Cyclicals (7.3%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Allison Transmission 144A company guaranty 11s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>American Media, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>American Media, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes Ser. B, 10 1/4s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>250,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>American Media, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sub. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,454</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>American Media, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sub. notes 10 1/4s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,726</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,117</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Asbury Automotive Group, Inc. sr. sub. notes 8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,288</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Associated Materials, Inc. company guaranty 9 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>310,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>308,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Autonation, Inc. company guaranty 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Autonation, Inc. company guaranty sr. unsec. notes FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>4.713s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>53,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>242,513</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>D.R. Horton, Inc. company guaranty 8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>D.R. Horton, Inc. company guaranty sr. unsub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dex Media, Inc. disc. notes stepped-coupon zero % (9s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>11/15/08), 2013 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>77,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dex Media, Inc. notes 8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FelCor Lodging LP company guaranty 8 1/2s, 2011 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ford Motor Co. notes 7.45s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>128,113</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ford Motor Credit Co., LLC notes 7 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>470,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>445,361</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>550,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>522,339</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>179,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>174,615</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>102,265</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>General Motors Corp. sr. unsec. unsub. notes 7.2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>710,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>596,400</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR>
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     <TD width="15%"></TD>
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     <TD noWrap align=left><FONT face=sans-serif size=2>Goodyear Tire &amp; Rubber Co. (The) sr. notes 9s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>289,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hanesbrands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRN Ser. B, 8.204s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>316,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Harrah's Operating Co., Inc. 144A company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 10 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>373,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Harry &amp; David Holdings, Inc. company guaranty 9s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Harry &amp; David Holdings, Inc. company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. notes FRN 8.076s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Host Marriott LP sr. notes 7 1/8s, 2013 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>118,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>244,694</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jostens IH Corp. company guaranty 7 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>415,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>414,481</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>K. Hovnanian Enterprises, Inc. company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sec. notes 11 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>72,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lamar Media Corp. company guaranty 7 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>175,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>172,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lamar Media Corp. sr. unsec. sub. notes Ser. C,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>6 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lear Corp. company guaranty 8 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>176,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Levi Strauss &amp; Co. sr. unsec. notes 8 7/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>146,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Levi Strauss &amp; Co. sr. unsec. unsub. notes 9 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>303,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>317,393</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>272,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Meritage Homes Corp. company guaranty 6 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Meritage Homes Corp. sr. notes 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,663</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Meritor Automotive, Inc. notes 6.8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,519</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MGM Mirage, Inc. company guaranty 8 1/2s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,019</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MGM Mirage, Inc. company guaranty 6s, 2009 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>278,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MGM Mirage, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,863</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Michaels Stores, Inc. company guaranty 11 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Michaels Stores, Inc. company guaranty 10s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>64,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Neiman-Marcus Group, Inc. company guaranty 9s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>475,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>485,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NTK Holdings, Inc. sr. disc. notes zero %, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>225,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>111,656</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Oxford Industries, Inc. sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>246,838</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pinnacle Entertainment, Inc. 144A sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pulte Homes, Inc. notes 4 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Quebecor Media, Inc. sr. unsec. notes Ser. *, 7 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2016 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>68,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Reader's Digest Association, Inc. (The) 144A sr. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 9s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>272,463</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Realogy Corp. company guaranty sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>10 1/2s, 2014 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>281,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>22,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Seminole Hard Rock Entertainment, Inc. 144A sr. sec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes FRN 5.3s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>267,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Standard Pacific Corp. sr. unsec. notes 6 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>153,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Station Casinos, Inc. sr. notes 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>259,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>217,560</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>89,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>93,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenneco, Inc. 144A sr. unsec. notes 8 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 8 1/2s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>129,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>THL Buildco, Inc. (Nortek Holdings, Inc.) 144A sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sec. notes 10s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,781</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tropicana Entertainment, LLC sr. sub. notes 9 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2014 (In default) (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>78,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>464,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>314,360</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>UCI Holdco, Inc. sr. unsec. notes FRN 10.3s, 2013 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,741</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>104,495</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>446,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>202,930</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vertis, Inc. 144A unsec. sub. notes 13 1/2s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,488</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>mtge. 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>380,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>366,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Yankee Acquisition Corp. company guaranty Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8 1/2s, 2015 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>265,281</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>12,071,747</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Consumer Staples (5.3%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Adelphia Communications Corp. escrow zero %, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,388</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Adelphia Communications Corp. escrow bonds zero %, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Affinion Group, Inc. company guaranty 11 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Affinion Group, Inc. company guaranty 10 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>250,513</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>175,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AMC Entertainment, Inc. company guaranty 11s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>217,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>220,255</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Atlantic Broadband Finance, LLC company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>9 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>225,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>209,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Avis Budget Car Rental, LLC company guaranty 7 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>128,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Avis Budget Car Rental, LLC company guaranty 7 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Buffets, Inc. company guaranty 12 1/2s, 2014 (In</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>default) (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CCH I, LLC sec. notes 11s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>422,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>358,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CCH II, LLC sr. unsec. notes 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>348,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>505,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>501,844</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chiquita Brands International, Inc. sr. notes 7 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>380,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>336,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chiquita Brands International, Inc. sr. unsec. unsub.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 8 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Church &amp; Dwight Co., Inc. company guaranty 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>128,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cinemark, Inc. sr. disc. notes stepped-coupon zero %</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(9 3/4s, 3/15/09), 2014 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>147,250</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CSC Holdings, Inc. debs. Ser. B, 8 1/8s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,056</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CSC Holdings, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>198,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dean Foods Co. company guaranty 7s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>116,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Del Monte Corp. company guaranty 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,588</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Del Monte Corp. sr. sub. notes 8 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>276,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DirecTV Holdings, LLC company guaranty 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>322,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Echostar DBS Corp. company guaranty 7s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>149,963</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Echostar DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Echostar DBS Corp. sr. notes 6 3/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>335,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>330,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>147,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hertz Corp. company guaranty 8 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>373,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Idearc, Inc. company guaranty 8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>535,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>382,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ion Media Networks, Inc. 144A sr. sec. notes 8.963s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>59,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ion Media Networks, Inc. 144A sr. sec. notes 5.963s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jarden Corp. company guaranty 7 1/2s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>249,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Marquee Holdings, Inc. sr. disc. notes 12s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>185,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>148,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nielsen Finance LLC/Nielsen Finance Co. company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty stepped-coupon zero % (12 1/2s, 8/1/11), 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>199,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nielsen Finance LLC/Nielsen Finance Co. 144A company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty sr. unsec. notes 10s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>206,760</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pinnacle Foods Finance LLC sr. sub. notes 10 5/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>86,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>387,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>387,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>R.H. Donnelley Corp. sr. disc. notes Ser. A-1, 6 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>26,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>R.H. Donnelley Corp. sr. disc. notes Ser. A-2, 6 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>145,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>R.H. Donnelley Corp. sr. unsec. notes 6 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>46,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>R.H. Donnelley Corp. sr. unsec. unsub. notes 8 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rainbow National Services, LLC 144A sr. notes 8 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>184,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rite Aid Corp. company guaranty 9 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rite Aid Corp. company guaranty 7 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>99,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rite Aid Corp. sec. notes 8 1/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44,888</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rite Aid Corp. sec. notes 7 1/2s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>59,231</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sirius Satellite Radio, Inc. sr. unsec. notes 9 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>154,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Spectrum Brands, Inc. company guaranty 7 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>183,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Spectrum Brands, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes stepped-coupon 12s (12 1/2s, 10/2/08), 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(STP) (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>133,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Universal City Florida Holding Co. sr. notes 8 3/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>287,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Universal City Florida Holding Co. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FRN 7.623s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,128</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Univision Communications, Inc. 144A company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. notes 9 3/4s, 2015 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>8,791,640</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Energy (5.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Arch Western Finance, LLC sr. notes 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>445,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>439,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chaparral Energy, Inc. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 8 7/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>380,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>337,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>243,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chesapeake Energy Corp. company guaranty 7 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>62,175</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>193,325</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chesapeake Energy Corp. sr. notes 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>249,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Complete Production Services, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>217,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Compton Petroleum Corp. company guaranty 7 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>386,606</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2015 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>316,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>349,313</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dresser-Rand Group, Inc. company guaranty 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13,930</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Encore Acquisition Co. sr. sub. notes 6 1/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Encore Acquisition Co. sr. sub. notes 6s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>213,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>202,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>EXCO Resources, Inc. company guaranty 7 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>137,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>156,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Harvest Operations Corp. sr. notes 7 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>345,838</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Helix Energy Solutions Group, Inc. 144A sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 9 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>358,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. notes 9s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>332,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Inergy LP/Inergy Finance Corp. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>6 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>275,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Key Energy Services, Inc. 144A sr. notes 8 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>304,588</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Massey Energy Co. sr. notes 6 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>330,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>329,175</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Newfield Exploration Co. sr. sub. notes 7 1/8s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>203,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pacific Energy Partners/Pacific Energy Finance Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sr. notes 7 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,515</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Peabody Energy Corp. company guaranty 7 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>281,188</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PetroHawk Energy Corp. company guaranty 9 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>161,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Petroleum Development Corp. 144A sr. unsec. notes 12s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2018</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>249,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>73,400</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Petroplus Finance, Ltd. 144A company guaranty 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Bermuda)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>216,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Plains Exploration &amp; Production Co. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Plains Exploration &amp; Production Co. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7s, 2017 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>360,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pride International, Inc. sr. unsec. notes 7 3/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>265,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>269,638</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Range Resources Corp. company guaranty sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7 1/4s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>55,963</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sabine Pass LNG LP sec. notes 7 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>91,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SandRidge Energy, Inc. sr. notes 8s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SandRidge Energy, Inc. 144A company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. FRN 6.323s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>72,406</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SandRidge Energy, Inc. 144A company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. notes 8 5/8s, 2015 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>215,775</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Stallion Oilfield Services/Stallion Oilfield Finance</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Corp. 144A sr. unsec. notes 9 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>350,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>289,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Targa Resources, Inc. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 8 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>410,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>394,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Whiting Petroleum Corp. company guaranty 7s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>365,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>362,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>9,004,176</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Financial (1.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>E*Trade Financial Corp. sr. unsec. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>96,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes FRN 5.276s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,790</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>555,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>520,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>60,719</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>520,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>418,854</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>348,399</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes 6 5/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,707</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HUB International Holdings, Inc. 144A sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>10 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>133,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HUB International Holdings, Inc. 144A sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsub. notes 9s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>143,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>117,731</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>134,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Liberty Mutual Group 144A company guaranty FRB</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>10 3/4s, 2058</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>73,729</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nuveen Investments, Inc. 144A sr. notes 10 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>159,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rouse Co LP/TRC Co-Issuer Inc. 144A sr. notes 6 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,910</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>USI Holdings Corp. 144A sr. unsec. notes FRN 6.551s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,175</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>2,382,439</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Health Care (4.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Accellent, Inc. company guaranty 10 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>292,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AMR Holding Co., Inc./EmCare Holding Co., Inc. sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sub. notes 10s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>320,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>340,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Community Health Systems, Inc. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8 7/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>435,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>448,594</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DaVita, Inc. company guaranty 6 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>277,163</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Elan Finance PLC/Elan Finance Corp. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7 3/4s, 2011 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>273,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HCA, Inc. company guaranty sr. sec. notes 9 5/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>300,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HCA, Inc. sr. notes 6.95s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>67,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HCA, Inc. sr. sec. notes 9 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>633,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HCA, Inc. sr. unsec. notes 6 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>56,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Health Management Associates, Inc. sr. notes 6 1/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>360,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>331,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>IASIS Healthcare/IASIS Capital Corp. sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>364,763</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Omnicare, Inc. company guaranty 6 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Psychiatric Solutions, Inc. company guaranty 7 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>384,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Select Medical Corp. company guaranty 7 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>395,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>351,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Service Corporation International sr. notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>63,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>340,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>326,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sun Healthcare Group, Inc. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsub. notes 9 1/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>330,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>333,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Surgical Care Affiliates, Inc. 144A sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>10s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>57,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Surgical Care Affiliates, Inc. 144A sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8 7/8s, 2015 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>265,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>214,650</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenet Healthcare Corp. notes 7 3/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>256,438</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenet Healthcare Corp. sr. unsec. unsub. notes 6 3/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>305,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>288,988</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>US Oncology Holdings, Inc. sr. unsec. notes FRN</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7.949s, 2012 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>94,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>78,490</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>US Oncology, Inc. company guaranty 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>252,813</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>325,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>333,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ventas Realty LP/Capital Corp. company guaranty 9s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2012 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>164,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ventas Realty LP/Capital Corp. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>6 3/4s, 2010 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ventas Realty LP/Capital Corp. sr. notes 6 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>78,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>6,732,062</FONT></B>&nbsp; </TD></TR></TABLE><BR>
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     <TD noWrap align=left><B><FONT face=sans-serif size=2>Technology (2.9%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Activant Solutions, Inc. company guaranty 9 1/2s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>345,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>263,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>303,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>262,095</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Amkor Technologies, Inc. sr. notes 7 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>219,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>210,240</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Avago Technologies Finance company guaranty 11 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2015 (Singapore)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,769</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Avago Technologies Finance company guaranty 10 1/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013 (Singapore)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>139,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>85,319</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>275,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>191,675</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. notes 8 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>390,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>345,150</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. sub. notes 10 1/8s, 2016 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>230,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>193,775</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. sub. notes 9 1/8s, 2014 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,188</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Iron Mountain, Inc. company guaranty 8 3/4s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>74,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Iron Mountain, Inc. company guaranty 8 5/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>243,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lucent Technologies, Inc. notes 5 1/2s, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>50,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>49,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lucent Technologies, Inc. unsec. debs. 6.45s, 2029</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>99,613</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>55,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nortel Networks, Ltd. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 10 3/4s, 2016 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>165,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>162,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nortel Networks, Ltd. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes FRN 6.963s, 2011 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>180,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>169,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NXP BV/NXP Funding, LLC company guaranty sr. sec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes FRN 5.463s, 2013 (Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,550</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NXP BV/NXP Funding, LLC sec. notes 7 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>275,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>266,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Open Solutions, Inc. 144A sr. sub. notes 9 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>330,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>272,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SunGard Data Systems, Inc. company guaranty 10 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>178,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>185,120</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SunGard Data Systems, Inc. company guaranty 9 1/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>356,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>366,680</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Travelport LLC company guaranty 11 7/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>59,638</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Travelport LLC company guaranty 9 7/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>182,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Xerox Capital Trust I company guaranty 8s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>285,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>277,512</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>4,819,475</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Utilities &amp; Power (2.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AES Corp. (The) sr. notes 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>22,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>22,990</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>154,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AES Corp. (The) 144A sr. notes 8s, 2020</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>54,038</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Allegheny Energy Supply 144A sr. unsec. bond 8 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>126,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CMS Energy Corp. sr. notes 8 1/2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>73,964</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CMS Energy Corp. sr. notes 7 3/4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>41,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Colorado Interstate Gas Co. debs. 6.85s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>95,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>89,904</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Colorado Interstate Gas Co. sr. notes 5.95s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,891</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dynegy-Roseton Danskamme company guaranty Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7.67s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>126,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>76,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>91,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec. notes 7.2s, 2019</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>151,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>110,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,525</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>El Paso Natural Gas Co. debs. 8 5/8s, 2022</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44,347</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ferrellgas LP/Finance sr. notes 8 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>283,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ferrellgas LP/Finance sr. notes 6 3/4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>148,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mirant Americas Generation, Inc. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>8.3s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>170,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>176,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mirant North America, LLC company guaranty 7 3/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>235,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>236,763</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NRG Energy, Inc. company guaranty 7 3/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>98,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>730,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>711,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>268,888</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sierra Pacific Power Co. general ref. mtge. 6 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,713</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>282,447</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Teco Finance, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 7.2s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36,663</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Teco Finance, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>62,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Teco Finance, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 6 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,028</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tennessee Gas Pipeline Co. sr. unsec. unsub. debs.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7 1/2s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>40,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>42,519</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2028</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,529</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Texas Competitive Electric Holdings Co., LLC company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty 10 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>430,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>439,138</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Transcontinental Gas Pipeline Corp. sr. unsec. debs.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7 1/4s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>153,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Utilicorp United, Inc. sr. unsec. notes 9.95s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,143</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Williams Cos., Inc. (The) sr. unsec. notes 8 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>37,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Williams Partners LP/ Williams Partners Finance Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sr. unsec. notes 7 1/4s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>76,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>4,648,104</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total corporate bonds and notes (cost $68,461,824)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$65,059,189</FONT></B>&nbsp; </TD></TR></TABLE><BR>
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     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>CONVERTIBLE PREFERRED SECURITIES (29.5%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Basic Materials (3.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freeport-McMoRan Copper &amp; Gold, Inc. $6.75 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,087</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$2,326,116</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Smurfit-Stone Container Corp. Ser. A, $1.75 cum. cv.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79,320</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,596,315</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vale Capital, Ltd. Ser. RIO, $2.75 cv. pfd. (Cayman</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,600</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,821,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vale Capital, Ltd. Ser. RIO P, $2.75 cv. pfd. (Cayman</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,890</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>575,477</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>6,319,846</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Capital Goods (0.9%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Avery Dennison Corp. $3.938 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>29,880</FONT>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>1,494,000</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Communication Services (2.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,900</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,313,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Crown Castle International Corp. $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>34,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,105,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>3,418,650</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Consumer Cyclicals (4.6%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,940</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>705,485</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ford Motor Co. Capital Trust II $3.25 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>61,900</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,065,913</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>General Motors Corp. $1.563 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,606,563</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Retail Ventures, Inc. $3.312 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,400</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>893,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Six Flags, Inc. $1.813 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>63,200</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>811,728</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Stanley Works (The) 4.344% units cv. ARP</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,882,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>1,589,349</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>7,672,963</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Consumer Staples (2.6%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bunge, Ltd. 5.125% cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,740</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,887,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Newell Financial Trust I $2.625 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,297,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Universal Corp. 6.75% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>870</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,073,363</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>4,259,063</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Energy (2.9%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chesapeake Energy Corp. $4.50 cum. cv. pfd. (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>18,400</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,493,200</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Edge Petroleum Ser. A, $2.875 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>894,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>McMoRan Exploration Co. $6.75 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,463,149</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>4,851,287</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Financial (7.2%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Alleghany Corp. 5.75% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,100</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,068,389</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ambac Financial Group, Inc. $4.75 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,540</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>302,418</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bank of America Corp. Ser. L, 7.25% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,387</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,400,912</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fannie Mae Ser. 04-1, 5.375% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>16</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,134,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fannie Mae Ser. 08-1, $4.375 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>24,040</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,198,995</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>pfd. (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>88,700</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,751,825</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>850</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>922,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nationwide Health Properties, Inc. $7.75 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,139,552</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Wachovia Corp. Ser. L, Class A, 7.50% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,250</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,323,975</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Washington Mutual, Inc. Ser. R, 7.75% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>985</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>749,708</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>11,992,024</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Health Care (1.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mylan, Inc. 6.50% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>980</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>921,249</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Schering-Plough Corp. 6.00% cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,100</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,386,204</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>2,307,453</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Technology (0.9%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lucent Technologies Capital Trust I 7.75% cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>1,440,000</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Utilities &amp; Power (3.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AES Trust III $3.375 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,367,413</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>El Paso Energy Capital Trust I $2.375 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36,050</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,509,594</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Entergy Corp. $3.813 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33,100</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,337,688</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>5,214,695</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total convertible preferred securities (cost $48,716,115)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$48,969,981</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>CONVERTIBLE BONDS AND NOTES (26.6%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Capital Goods (1.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Alliant Techsystems, Inc. cv. sr. sub. notes 2 3/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2024</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$115,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$161,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DRS Technologies, Inc. 144A cv. unsec. notes 2s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>150,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>202,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Trinity Industries, Inc. cv. sub. notes 3 7/8s, 2036</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>135,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>140,231</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>WESCO International, Inc. cv. sr. unsec. company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty debs. 1 3/4s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,633,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,412,545</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>1,917,226</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Communication Services (1.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Level 3 Communications, Inc. cv. sr. notes 3 1/2s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,472,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NII Holdings, Inc. cv. unsec. notes 3 1/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,468,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>2,941,000</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Consumer Cyclicals (2.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Fleetwood Enterprises, Inc. cv. sr. sub. notes 5s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,349,250</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pier 1 Imports, Inc. cv. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes stepped coupon 6 3/8s, (6 1/8s, 2/15/11) 2036</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>113,913</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pier 1 Imports, Inc. 144A cv. company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>unsec. notes stepped-coupon 6 3/8s (6 1/8s, 2/15/11)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2036 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,541,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,350,301</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rewards Network, Inc. cv. sub. debs. 3 1/4s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,189,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>4,002,964</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Consumer Staples (3.4%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Chiquita Brands International cv. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>4 1/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,649,588</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>470,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>512,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sinclair Broadcast Group, Inc. cv. bonds 6s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,745,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,553,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sinclair Broadcast Group, Inc. cv. sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>stepped-coupon 4 7/8s (2s, 1/15/11) 2018 (STP)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>385,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Virgin Media, Inc. 144A cv. sr. unsec. notes 6 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2016</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,380,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,566,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>5,667,113</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Energy (1.2%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>International Coal Group, Inc. 144A cv. company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty 9s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,095,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>1,929,938</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Financial (6.9%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>BankUnited Financial Corp. cv. sr. notes 3 1/8s, 2034</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,499,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>779,480</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Boston Private Financial Holdings, Inc. cv. sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>notes 3s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,700,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,496,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Charming Shoppes cv. sr. unsec. notes 1 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,060,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,336,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Countrywide Financial Corp. 144A cv. company guaranty</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>sr. unsec. notes FRN Ser. A, zero %, 2037 (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,683,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>General Growth Properties, Inc. 144A cv. sr. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>3.98s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,800,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,476,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>KKR Financial Holdings, LLC 144A cv. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,157,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>970,607</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Legg Mason, Inc. cv. unsec. sr. notes 5.6s, 2021</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,200</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>693,031</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MGIC Investment Corp. 144A cv. jr. unsec. sub. debs</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>9s, 2063</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,420,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,720,046</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sunstone Hotel Partnership, LLC 144A cv. company</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>guaranty 4.6s, 2027 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,600,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,326,811</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>11,481,400</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Health Care (2.0%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>CV Therapeutics, Inc. cv. sub. notes 3 1/4s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,650,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,233,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>EPIX Medical, Inc. cv. sr. notes 3s, 2024</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,470,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>889,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Omnicare, Inc. cv. debs. Ser. OCR, 3 1/4s, 2035</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,663,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,211,911</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>3,334,636</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Technology (6.5%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Acquicor Technology, Inc. 144A cv. notes 8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>532,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>367,080</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Advanced Micro Devices, Inc. cv. sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,900,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,482,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Arris Group, Inc. cv. sr. unsec. notes 2s, 2026</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,925,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,714,790</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Borland Software Corp. 144A cv. sr. notes 2 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,310,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>902,263</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cray, Inc. cv. sr. sub. notes 3s, 2024</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,300,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,168,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>LSI Logic Corp. cv. sub. notes 4s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,012,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>989,230</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mentor Graphics Corp. cv. sub. notes FRN 4.434s, 2023</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,372,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>RF Micro Devices, Inc. cv. unsec. sub notes 1s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,370,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,010,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Safeguard Scientifics, Inc. cv. sr. notes 2 5/8s, 2024</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>200,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>161,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Safeguard Scientifics, Inc. 144A cv. sr. notes 2 5/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2024</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,900,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,534,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>10,701,863</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Transportation (1.3%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>ExpressJet Holdings, Inc. cv. company guaranty 4 1/4s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2023</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>950,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>783,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>JetBlue Airways Corp. cv. sr. bonds 3 1/2s, 2033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,450,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,424,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>2,208,375</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total convertible bonds and notes (cost $43,212,958)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$44,184,515</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>UNITS (1.1%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Units</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Elf Special Financing, Ltd. 144A cv. units FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>3.15s, 2009 (Cayman Islands)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$716,373</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hercules, Inc. cv. jr. unsec. sub. debs. units 6 1/2s,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2009</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,540</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,155,000</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total units (cost $1,936,395)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$1,871,373</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>COMMON STOCKS (0.5%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Shares</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AboveNet, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>43</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$2,838</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Adelphia Recovery Trust (Ser. ACC-1) (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>248,982</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17,429</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bohai Bay Litigation, LLC (Units) (F)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>406</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>5,747</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Cinemark Holdings, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>101,290</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>El Paso Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>7,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>136,850</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Elizabeth Arden, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,645</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>39,701</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jarden Corp. (NON) (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,570</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>66,938</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Northrop Grumman Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>75</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NRG Energy, Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,750</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>114,373</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pinnacle Entertainment , Inc. (NON)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,700</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,189</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Communications International, Inc. (S)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13,125</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>63,656</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="39%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Service Corporation International</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,975</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>106,733</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Williams Cos., Inc. (The)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,765</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>105,181</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>XCL Warranty Escrow (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>406</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>28,986</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total common stocks (cost $968,059)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$854,986</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>FOREIGN GOVERNMENT BONDS AND NOTES (0.1%)(a) (cost $114,750)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Argentina (Republic of) bonds FRB 3s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$225,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$110,025</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SENIOR LOANS (0.1%)(a)(c)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GateHouse Media, Inc. bank term loan FRN Ser. B,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>4.65s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$91,033</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$63,495</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GateHouse Media, Inc. bank term loan FRN Ser. DD,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>4.714s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33,967</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23,692</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total senior loans (cost $115,864)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$87,187</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>WARRANTS (--%)(a)(NON)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Expiration date</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Strike Price</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Warrants</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AboveNet, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/8/10</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$24.00</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>AboveNet, Inc.</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/8/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>20.00</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>17</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>765</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>New ASAT Finance, Ltd. (Cayman Islands) (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>2/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>0.01</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>23,400</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>318</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dayton Superior Corp. 144A (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>6/15/09</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>0.01</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>270</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>720</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Smurfit Kappa Group PLC 144A (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>10/1/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>EUR 0.001</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>119</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>6,215</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total warrants (cost $10,328)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$9,018</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SHORT-TERM INVESTMENTS (5.0%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Principal</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>amount/shares</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Prime Money Market Fund (e)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,550,113</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$3,550,113</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Short-term investments held as collateral for loaned</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>securities with yields ranging from 2.20% to 2.91% and</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>due dates ranging from June 2, 2008 to July 25, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(d)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$4,781,280</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,774,270</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total short-term investments (cost $8,324,383)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$8,324,383</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>TOTAL INVESTMENTS</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total investments (cost $171,860,676) (b)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$169,470,657</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_10"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="16%"></TD>
     <TD width="19%"></TD>
     <TD width="19%"></TD>
     <TD width="8%"></TD>
     <TD width="19%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=6><B><FONT face=sans-serif size=2>FORWARD CURRENCY CONTRACTS TO SELL at 5/31/08 (aggregate face value $698,604) (Unaudited)</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Aggregate</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Delivery</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Value</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>face value</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>depreciation</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$716,537</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$698,604</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>6/18/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$(17,933)</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

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<A name="page_11"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><B><FONT face=sans-serif size=1>CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/08 (Unaudited)</FONT></B></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Upfront</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Unrealized</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Swap counterparty/</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>premium</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>Termination</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>received (paid) by</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>received (paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>date</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>fund per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Bank of America, N.A.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>550 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>$(2,496)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co.</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.75%,11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>350 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>957</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Citibank, N.A.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>725 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,924)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>800 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,680)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Abitibibowater Inc.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>825 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(1,598)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Amkor Technologies,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 7 3/4%, 5/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>450 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,286)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Freescale</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Semiconductor, 8 7/8%,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/15/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>495 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(8,675)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Credit Suisse International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Advanced Micro Devices,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 3/4%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>165 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,099)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 7/8%, 4/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>297 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,612)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Echostar DBS Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 5/8%, 10/1/14</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(225 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,860</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
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     <TD colSpan=7>&nbsp; </TD></TR>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Deutsche Bank AG</FONT></B>&nbsp; </TD>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>363 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>810</FONT>&nbsp; </TD></TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Goldman Sachs International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Any one of the</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>underlying securities</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>in the basket of BB</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>CMBS securities</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>108,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>(F) (a)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>2.461%</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(19,996)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>620 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>449</FONT>&nbsp; </TD></TR>
<TR>
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</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>175,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>620 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>2,247</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Smurfit-Stone Container</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Enterprises, 7 1/2%,</FONT>&nbsp; </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/1/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>15,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>685 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>312</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Lehman Brothers Special Financing, Inc.</FONT></B>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Community Health</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Systems, 8 7/8%, 7/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>143,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>360 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(2,264)</FONT>&nbsp; </TD></TR>
<TR>
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</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jefferson Smurfit</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Corp., 7 1/2%, 6/1/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>20,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>645 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>137</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
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     <TD noWrap align=left><FONT face=sans-serif size=1>Sungard Data Systems,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Inc., 9 1/8%, 8/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>395 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>1,084</FONT>&nbsp; </TD></TR>
<TR>
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<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
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     <TD noWrap align=left><B><FONT face=sans-serif size=1>Merrill Lynch Capital Services, Inc.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>General Motors Corp.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7 1/8%, 7/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>795</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Merrill Lynch International</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 7/8%, 4/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/17</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>295 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(6,853)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Morgan Stanley Capital Services, Inc.</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Aramark Services, Inc.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>8.5%, 2/1/15</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>135,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>355 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(971)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Dynegy Holdings Inc.,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>6 7/8%, 4/1/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>80,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>6/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>225 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(4,126)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Jefferson Smurfit Corp,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>7.5%, 6/1/13</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>70,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>445 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>(3,864)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>330 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>605</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>Nalco, Co. 7.75%,</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=1>11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=1>460 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=1>3,358</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=7>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=1>Total</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=1>$(53,830)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><I><FONT face=sans-serif size=1>* Payments related to the reference debt are made upon a credit default event.</FONT></I></B></P>
<P align=left><B><I><FONT face=sans-serif size=1>** 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=sans-serif size=1>(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>
<P align=left><B><I><FONT face=sans-serif size=1>(F) Is valued at fair value following procedures approved by the Trustees.</FONT></I></B></P>
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<P align=left><FONT face=sans-serif size=2>Key to holding's currency abbreviations </FONT></P>
<P align=left><B><FONT face=sans-serif size=2>EUR </FONT></B><FONT face=sans-serif size=2>Euro </FONT></P>
<P align=left><B><FONT face=sans-serif size=2>USD / $ </FONT></B><FONT face=sans-serif size=2>United States Dollar</FONT></P>
<P align=left><FONT face=sans-serif size=2>NOTES</FONT></P>
<P align=left><FONT face=sans-serif size=2>(a) Percentages indicated are based on net assets of $165,844,242</FONT><FONT face=sans-serif size=2>.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) The aggregate identified cost on a tax basis is $171,702,914, resulting in gross unrealized appreciation and depreciation of $10,098,989 and $12,331,246, respectively, or net unrealized depreciation of $2,232,257.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(NON) Non-income-producing security.</FONT></P>
<P align=left><FONT face=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=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=sans-serif size=2>(FWC) Forward commitments, in part or in entirety.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at May 31, 2008. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder&#146;s portion of the loan. When the fund inves
ts in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.</FONT></P>
<P align=left><FONT face=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=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 May 31, 2008, the value of securities loaned amounted to $4,714,775. The fund received cash collateral of $4,774,270 which is pooled with collateral of other Putnam funds into 73 issues of short-term investments.</FONT></P>
<P align=left><FONT face=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, a wholly-owned subsidiary of Putnam, LLC. </FONT><FONT face=sans-serif size=2>Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. Management fees paid by the fund are reduced by an amount equal to the management 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 $86,081 for the period ended May 31, 2008. During the period ended May 31, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $44,840,736 and $47,533,729, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(F) Is valued at fair value following procedures approved by the Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(R) Real Estate Investment Trust.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(S) Securities on loan, in part or in entirety, at May 31, 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=2>At May 31, 2008, liquid assets totaling $1,680,688 have been designated as collateral for open forward commitments, swap contracts and forward contracts.</FONT></P>
<P align=left><FONT face=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=sans-serif size=2>The rates shown on Adjustable Rate Preferred Stock (ARP), Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at May 31, 2008.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The dates shown on debt obligations are the original maturity dates.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Security valuation </FONT></B><FONT face=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>
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<P align="left">
<FONT size=2 face="sans-serif">Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Certain investments, including certain restricted securities and derivatives, are also valued at fair
value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">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 size=2 face="sans-serif">Forward currency contracts </FONT></B><FONT size=2 face="sans-serif">The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a
future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a
fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates
supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the
contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. 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.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">Credit default contracts </FONT></B><FONT size=2 face="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.</FONT></P>
<P align="left">
<FONT size=2 face="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>

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<P align="left">
<U><FONT size=2 face="sans-serif">Item 2. Controls and Procedures:</FONT></U></P>
<P align="left">
<FONT size=2 face="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="sans-serif">(b) Changes in internal control over financial reporting: Not applicable</FONT></P>
<P align="left">
<U><FONT size=2 face="sans-serif">Item 3. Exhibits:</FONT></U></P>
<P align="left">
<FONT size=2 face="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="sans-serif">SIGNATURES</FONT></U></P>
<P align="left">
<FONT size=2 face="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="sans-serif">Putnam High Income Securities Fund</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT></P>
<P align="left">
<U><FONT size=2 face="sans-serif">/s/ Janet C. Smith</FONT></U><BR>
<FONT size=2 face="sans-serif">Janet C. Smith</FONT><BR>
<FONT size=2 face="sans-serif">Principal Accounting Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: July 29, 2008</FONT></P>
<P align="left">
<FONT size=2 face="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="sans-serif">By (Signature and Title):</FONT></P>
<P align="left">
<U><FONT size=2 face="sans-serif">/s/ Charles E. Porter</FONT></U><BR>
<FONT size=2 face="sans-serif">Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: July 29, 2008</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT></U><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: July 29, 2008</FONT></P>

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<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="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="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="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="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="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="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="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="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="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="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="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="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="sans-serif">/s/ Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">_____________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: July 28, 2008</FONT><BR>
<FONT size=2 face="sans-serif">Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT></P>

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<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="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="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="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="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="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="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="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="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="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="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="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="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="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">_______________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: July 28, 2008</FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT></P>

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     <TD width="47%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Attachment A</FONT> </TD>
     <TD noWrap align=center></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>NQ</FONT> </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Period (s) ended May 31, 2008</FONT> </TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=2>&nbsp; </TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2AZ</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam International Capital Opportunities Fund</FONT> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>274</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam New Value Fund</FONT> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2MF</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Small Cap Value Fund</FONT> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>014</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam High Yield Trust</FONT> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>021</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Health Sciences Trust</FONT> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>018</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Global Natural Resources Fund</FONT> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>061</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam High Income Securities Fund</FONT> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7BF</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Income Strategies Fund</FONT> </TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>29X</FONT> </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Putnam Floating Rate Income Fund</FONT> </TD>
     <TD noWrap align=left></TD></TR></TABLE><BR>
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