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<SEC-DOCUMENT>0000928816-09-000100.txt : 20090128
<SEC-HEADER>0000928816-09-000100.hdr.sgml : 20090128
<ACCEPTANCE-DATETIME>20090128141134
ACCESSION NUMBER:		0000928816-09-000100
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20081130
FILED AS OF DATE:		20090128
DATE AS OF CHANGE:		20090128
EFFECTIVENESS DATE:		20090128

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:		09550801

	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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     <TD width="56%"></TD></TR>
<TR>
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     <TD></TD>
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     <TD align=center colSpan=4><FONT face=sans-serif size=2>UNITED STATES</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=4><FONT face=sans-serif size=2>SECURITIES AND EXCHANGE COMMISSION</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=4><FONT face=sans-serif size=2>Washington, D.C. 20549</FONT> </TD></TR>
<TR>
     <TD align=center colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=4><B><FONT face=sans-serif size=2>FORM N-Q</FONT></B> </TD></TR>
<TR>
     <TD noWrap align=center colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center colSpan=4><B><FONT face=sans-serif size=2>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=4><B><FONT face=sans-serif size=2>INVESTMENT COMPANY</FONT></B> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Exact name of registrant as specified in charter:</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam High Income Securities Fund</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><FONT face=sans-serif size=2>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Beth S. Mazor, Vice President</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>One Post Office Square</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02109</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&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>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>John W. Gerstmayr, Esq.</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>One International Place</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02110</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>&nbsp;</TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=2>Registrant&#146;s telephone number, including area code:</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>(617) 292-1000</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Date of fiscal year end: </FONT><FONT face=sans-serif size=2>August 31, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="35%" colSpan=2><FONT face=sans-serif size=2>Date of reporting period: November 30, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="8%">&nbsp; </TD>
     <TD noWrap align=left width="56%">&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>11/30/08 (Unaudited)</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="59%"></TD>
     <TD align=right width="10%"></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 (43.4%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right>&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>&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>&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>
&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Basic materials (4.8%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right>&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>Airgas, Inc. 144A company guaranty sr. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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 1/8s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>$148,000</FONT>&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=right>&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>214,263</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=right>&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>4,725</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=right>&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>&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>13,800</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=right>&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>165,000</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=right>&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 6.399s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>70,200</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=right>&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>152,375</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=right>&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 4.819s, 2013 (Netherlands)</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>45,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>&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>195,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Freeport-McMoRan Copper &amp; Gold, Inc. sr. sec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>&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>50,863</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=right>&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=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>400,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>276,000</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=right>&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=right>&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>163,125</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=right>&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 7.084s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>49,558</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=right>&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>301,875</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=right>&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>&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>251,100</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=right>&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>329,175</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=right>&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=right>&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>49,400</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=right>&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=right>&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>115,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Huntsman, LLC company guaranty sr. unsub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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 5/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>1,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>International Paper Co. bonds 7.4s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>201,976</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=right>&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>13,720</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=right>&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>209,100</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=right>&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=right>&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>124,000</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=right>&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>&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>215,000</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=right>&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>153,900</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NewPage Holding Corp. sr. notes FRN 10.265s, 2013 (PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>60,741</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21,259</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=right>&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=right>&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>96,050</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=right>&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>89,900</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=right>&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=right><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>211,682</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Smurfit Kappa Funding PLC sr. unsec. sub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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 (Ireland)</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>117,250</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=right>&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=right>&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>29,150</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=right>&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 7 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>22,200</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=right>&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=right>&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>187,575</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=right>&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>26,600</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=right>&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>80,000</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=right>&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=right>&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>33,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>4,430,121</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 (3.1%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right>&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. sr. sub. notes 6 3/4s, 2016</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>145,350</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=right>&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=right>&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>Baldor Electric Co. company guaranty 8 5/8s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>59,200</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=right>&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>10,600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>BE Aerospace, Inc. sr. unsec. unsub. notes 8 1/2s, 2018</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>127,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Berry Plastics Corp. company guaranty sr. sec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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 9.503s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>185,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bombardier, Inc. 144A sr. unsec. notes FRN 7.37s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>EUR</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>63,107</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Bombardier, Inc. 144A unsec. notes 6 3/4s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>&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>85,000</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=right>&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=right>&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>226,625</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=right>&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 6.258s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>153,900</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=right>&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=right>&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>68,250</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=right>&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, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>39,950</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=right>&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>212,800</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=right>&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>92,500</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=right>&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=right>&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>178,450</FONT>&nbsp; </TD></TR></TABLE><BR>
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<TR>
     <TD width="59%"></TD>
     <TD align=right width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>L-3 Communications Corp. company guaranty sr. unsec.</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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 6 1/8s, 2014</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>92,400</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=right>&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>40,500</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=right>&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>317,880</FONT>&nbsp; </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=right>&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=right><FONT face=sans-serif size=2>EUR</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>45,742</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=right>&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>52,800</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=right>&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=right>&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>143,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ryerson Tull, Inc. 144A sec. notes 12 1/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>102,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sequa Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>19,800</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=right>&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>276,900</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=right>&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>152,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>2,920,179</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 (5.0%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right>&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>&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>7,050</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>&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>600</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>American Tower Corp. 144A sr. notes 7s, 2017</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>184,900</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=right>&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>&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>160,875</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>&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>4,100</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>&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>177,625</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>&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>239,875</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=right>&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=right>&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>88,763</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=right>&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=right>&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=right>&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>Centennial Communications Corp. sr. unsec. notes FRN</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>9.633s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>37,400</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=right>&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>137,200</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=right>&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>&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>265,906</FONT>&nbsp; </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>&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>2,880</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>&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>171,688</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>&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>17,700</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=right>&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=right>&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>82,400</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=right>&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=right>&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>122,100</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Inmarsat Finance PLC company guaranty 10 3/8s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>(United Kingdom)</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>214,988</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=right>&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=right>&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>344,000</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=right>&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=right>&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=right>&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>47,250</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 5.318s,</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>&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>52,500</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=right>&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>105,000</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=right>&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>55,488</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=right>&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=right>&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>303,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nextel Communications, Inc. company guaranty sr.</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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 Ser. D, 7 3/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>102,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s,</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>&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>20,324</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=right>&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=right>&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>153,313</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=right>&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=right>&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>71,500</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=right>&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>69,300</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=right>&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>185,625</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=right>&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>41,600</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=right>&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>&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>158,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sprint Capital Corp. company guaranty 6 7/8s, 2028</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>159,250</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=right>&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=right>&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>162,400</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=right>&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>82,950</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Valor Telecommunications Enterprises LLC/Finance Corp.</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>company guaranty sr. unsec. unsub. notes 7 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>17,000</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=right>&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>140,450</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=right>&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>191,100</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=right>&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>173,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>4,677,025</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 (8.5%)</FONT></B>&nbsp; </TD>
     <TD noWrap align=right>&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>Affinion Group, Inc. company guaranty 11 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>58,500</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>&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>130,150</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>&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>123,500</FONT>&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=right>&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>78,400</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>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>112,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>79,520</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>American Media, Inc. sr. unsec. sub. notes company</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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 8 7/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>16,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>American Media, Inc. sr. unsec. sub. notes company</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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 Ser. B, 10 1/4s, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>125,375</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=right>&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=right>&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>4,559</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=right>&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=right>&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>582</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Aramark Corp. company guaranty 8 1/2s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right>&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>203,350</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=right>&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>43,050</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="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></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></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>310,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>265,050</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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>6.753s, 2013</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>38,100</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>38,250</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 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>24,500</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></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>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>21,000</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=right><FONT face=sans-serif size=2>125,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,625</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=right><FONT face=sans-serif size=2>135,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Burlington Coat Factory Warehouse Corp. 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 11 1/8s, 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>38,750</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>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>73,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Clear Channel Communications, 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>7.65s, 2010</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>88,450</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=right><FONT face=sans-serif size=2>15,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>14,700</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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>5s, 2009</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>107,388</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Dex Media, Inc. sr. unsec. disc. notes 9s, 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>5,200</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>410,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>333,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DirecTV Holdings, LLC 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 7 5/8s, 2016</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>46,888</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>21,450</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>230,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>195,500</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=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>69,250</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=right><FONT face=sans-serif size=2>470,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>239,576</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></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>179,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>93,080</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=right><FONT face=sans-serif size=2>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>64,109</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, 6.508s, 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>161,250</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>735,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>163,538</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>48,300</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 7.81s, 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>16,000</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>193,594</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>87,300</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>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>97,500</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>44,138</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>332,000</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>105,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>80,325</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>138,688</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>58,000</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>81,200</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>181,800</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>104,525</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>112,100</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>130,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,000</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>21,000</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>53,913</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>MGM Mirage, Inc. company guaranty 6s, 2009</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>226,800</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>1,080</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>69,300</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>22,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Neiman Marcus Group, Inc. (The) 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 9s, 2015 (PIK)</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>201,875</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 10s, 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>180,000</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>190,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>70,300</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NTK Holdings, 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>% (10 3/4s, 9/1/09), 2014 (STP)</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>51,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Owens Corning, 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>6 1/2s, 2016</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>104,266</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>71,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Penn National Gaming, Inc. company guaranty 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>6 7/8s, 2011</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>139,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pinnacle Entertainment, 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 7 1/2s, 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>82,500</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>178,850</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>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. notes 6 7/8s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130</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>1,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>130</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>R.H. Donnelley, Inc. 144A 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 11 3/4s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>206,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>54,590</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Reader's Digest Association, Inc. (The) 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. sub. 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>87,863</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>13,625</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 5.319s, 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>182,700</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>44,100</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>189,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>58,590</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>33,300</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>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>59,520</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenneco, Inc. sr. unsec. notes 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 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>15,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Texas Industries, 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 7 1/4s, 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>68,400</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>THL Buildco, Inc. (Nortek Holdings, Inc.) 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 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>24,500</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>56,425</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Toll Brothers, 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 8 1/4s, 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>74,700</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>355,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>51,475</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>TRW Automotive, Inc. 144A company guaranty 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>7 1/4s, 2017</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>181,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>UCI Holdco, Inc. sr. unsec. notes FRN 10.319s, 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>(PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>123,874</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>39,640</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>133,400</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 7.943s, 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>49,220</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vertis, Inc. company guaranty sr. notes 13 1/2s, 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>(F)(PIK)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>142,787</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>11,423</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>268,850</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</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>151,125</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>7,939,575</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 (2.2%)</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>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)</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>275</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>258,400</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>21,300</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>119,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Constellation Brands, 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 7 1/4s, 2016</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>203,350</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>97,188</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>375,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>339,375</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>105,400</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>182,000</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>56,000</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>212,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>193,450</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rite Aid Corp. company guaranty 9 1/2s, 2017</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>44,250</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>37,050</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>215,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>43,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Spectrum Brands, Inc. sr. unsec. sub. notes 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 12 1/2s (12 3/4s, 4/2/09),</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 (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>40,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tyson Foods, Inc. sr. unsec. notes 8 1/4s, 2011</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>249,780</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>United Rentals NA, Inc. company guaranty 6 1/2s, 2012</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>38,500</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>2,029,743</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 (6.3%)</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>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>358,225</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>140,600</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>245,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>194,775</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>110,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>83,600</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>295,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>185,850</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>161,950</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>90,000</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>156,000</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>236,325</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>10,780</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>34,708</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>41,400</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>140,580</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>200,200</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>108,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ferrellgas LP/Finance 144A sr. notes 6 3/4s, 2014</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>35,000</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>131,250</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>244,550</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>181,125</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 7 3/4s, 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>228,800</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>207,338</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Key Energy Services, 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 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>205,763</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>64,350</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>160,650</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>87,993</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>236,500</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>85,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>65,025</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PetroHawk Energy Corp. 144A sr. unsec. unsub. notes</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&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>7 7/8s, 2015</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>49,350</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Petroleum Development Corp. 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 12s, 2018</FONT>&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>174,675</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>51,600</FONT>&nbsp; </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>148,800</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>54,375</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</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>251,250</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>225,913</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Quicksilver Resources, 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 1/4s, 2015</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>32,250</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>69,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SandRidge 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>unsub. FRN 7.508s, 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>50,072</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SandRidge 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>unsub. 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>133,350</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>12,800</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>130,375</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>225,500</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>246,375</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>30,275</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>5,877,797</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>Financials (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>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>61,425</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>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>127,265</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>26,250</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>250,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>81,232</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>49,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>GMAC, LLC sr. unsec. unsub. notes FRN 5.011s, 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>6,750</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>99,000</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>109,106</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lender Processing Services, 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. unsub. notes 8 1/8s, 2016</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>197,400</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>99,763</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>174,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>143,985</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>38,310</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>52,063</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rouse Co., LP (The) / TRC Property Holdings, Inc. 144A</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. unsub. notes 6 3/4s, 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>4,400</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 6.024s,</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>14,394</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>1,110,343</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 (5.8%)</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>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>304,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Biomet, Inc. company guaranty sr. unsec. bond 10s, 2017</FONT>&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>198,000</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>349,088</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>290,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>256,650</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>159,600</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>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>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>53,900</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>487,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>HCA, Inc. sr. sec. notes 9 1/8s, 2014</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>117,813</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>37,375</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>215,100</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>269,800</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>8,350</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>220,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>176,000</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>271,875</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>233,050</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>46,800</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>278,800</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>273,900</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>42,400</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>159,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Tenet Healthcare Corp. sr. unsec. 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>189,750</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>231,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>United Surgical Partners International, Inc. 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. sub. notes 8 7/8s, 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>45,850</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>8.334s, 2012 (PIK)</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>61,750</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>208,125</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>260,000</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></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>2012 (R)</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>256,200</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>41,000</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>62,600</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>5,396,876</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 (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>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>200,100</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>103,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>63,860</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>119,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>71,400</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>89,700</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>105,463</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>72,250</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>155,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>114,700</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>148,113</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>315,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,100</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</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>30,000</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>59,500</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>140,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>126,700</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Iron Mountain, 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 8s, 2020</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>54,250</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>52,000</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>36,000</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>47,850</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 9.003s, 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>58,500</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 7.503s, 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>42,075</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>100,650</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>62,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,960</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>342,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>265,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SunGard Data Systems, 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>10 5/8s, 2015</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>86,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>66,220</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>15,600</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>66,500</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>209,186</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>2,238,727</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 and power (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>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</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>58,650</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>123,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>107,318</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>35,200</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>112,800</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>66,697</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>38,185</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>63,734</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>95,000</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>58,688</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>73,350</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>113,150</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>82,500</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>63,250</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Ipalco Enterprises, Inc. sr. sec. notes 8 5/8s, 2011</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>64,125</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>19,000</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>157,250</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>203,275</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>80,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>NRG Energy, Inc. company guaranty 7 1/4s, 2014</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>65,200</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>593,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Oncor Electric Delivery Co. 144A 1st mtge. sec. bond</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>5.95s, 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>160,059</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>237,650</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>205,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>160,925</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>PP&amp;L Electric Utilities Corp. 1st mtge. sr. sec. bond</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 1/8s, 2013</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>146,466</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Public Service Co. of New Mexico 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>7.95s, 2018</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>69,614</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>34,682</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>250,282</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>32,616</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>55,869</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>8,716</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>34,099</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>10,745</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 1/2s, 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>275,200</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="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></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>130,362</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Utilicorp United, Inc. sr. unsec. notes 7.95s, 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>4,664</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>58,875</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>3,822,071</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 $61,833,172)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$40,442,457</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp;&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><B><FONT face=sans-serif size=2>CONVERTIBLE BONDS AND NOTES (33.8%)(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>
&nbsp;</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>$123,338</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>66,656</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>861,408</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>1,051,402</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 (2.6%)</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>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>648,125</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>941,375</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Communications International, Inc. cv. 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 3 1/2s, 2025</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,050,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>847,875</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>2,437,375</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>Communications equipment (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>ARRIS Group, Inc. cv. sr. unsec. notes 2s, 2026</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>878,766</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nortel Networks Corp. cv. sr. unsec. notes 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 2 1/8s, 2014 (Canada)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,000,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>280,000</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>1,158,766</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>Computers (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>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>1,074,125</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>1,074,125</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 (5.0%)</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>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>1,018,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Lamar Advertising Co. cv. sr. unsec. unsub. notes Ser.</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>B, 2 7/8s, 2010</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>820,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>620,125</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pier 1 Imports, Inc. cv. sr. unsec. notes 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 6 3/8s, 2036</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>69,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pier 1 Imports, Inc. 144A cv. sr. unsec. notes 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 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>1,541,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>828,288</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>874,681</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>United Auto Group, Inc. cv. company guaranty 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 3 1/2s, 2026</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>658,125</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>626,244</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>4,695,838</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 (2.4%)</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>887,649</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Pantry, Inc. (The) cv. sr. sub. notes 3s, 2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,191,750</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>136,300</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>2,215,699</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>Electronics (1.5%)</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>L-1 Identity Solutions, 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>3 3/4s, 2027</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,500,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>770,625</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>SanDisk Corp. cv. sr. unsec. unsub. notes 1s, 2013</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,460,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>622,325</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>1,392,950</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 (2.3%)</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>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>845,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>485,875</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Penn Virginia Corp. cv. sr. unsec. sub. notes 4 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>2012</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,100,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>800,800</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>St. Mary Land &amp; Exploration Co. cv. sr. notes 3 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>2027</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>832,000</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>2,118,675</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>Financials (5.5%)</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>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>1,591,602</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>736,450</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 (R)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,975,000</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>KKR Financial Holdings, LLC cv. sr. sec. notes 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>462,800</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>426,000</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Prudential Financial, Inc. cv. 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>1.189s, 2037</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>940,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>827,012</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>922,080</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>5,119,007</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 (4.0%)</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>1,047,750</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>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>856,275</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Hologic, Inc. cv. bonds stepped-coupon 2s (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>12/15/13) 2037 (STP)</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>913,920</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>866,839</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>3,684,784</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>Semiconductor (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>Kulicke &amp; Soffa Industries, Inc. cv. bonds 7/8s, 2012</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>798,480</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>798,480</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>Software (3.0%)</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>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>828,575</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Macrovision Corp. cv. sr. notes 2 5/8s, 2011</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>423,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>295,043</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>156,250</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>1,484,375</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>2,764,243</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 (3.2%)</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>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>186,200</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>707,750</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Mentor Graphics Corp. cv. sub. notes FRN 4.356s, 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>ON Semiconductor Corp. cv. company guaranty 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>2 5/8s, 2026</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>694,750</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>2,960,700</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 $47,573,581)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$31,472,044</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&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><B><FONT face=sans-serif size=2>CONVERTIBLE PREFERRED SECURITIES (19.3%)(a)</FONT></B>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&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>
&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Basic materials (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>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>$583,540</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>65,720</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>273,395</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>596,550</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>204,154</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>1,657,639</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, $3.375 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>811,125</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>1,157,100</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>1,968,225</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 (2.9%)</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>Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>27,759</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>124,916</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>487,463</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>81,900</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>332,719</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Retail Ventures, Inc. $3.313 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>578,825</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>75,050</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Stanley Works (The) 3.774% 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><FONT face=sans-serif size=2>1,088,267</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>2,687,240</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 (2.3%)</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>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>785,888</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>748,800</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>638,363</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>2,173,051</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 (2.0%)</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>Chesapeake Energy Corp. $4.50 cum. cv. pfd.</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>1,168,400</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>213,953</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>5,900</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>450,866</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>1,833,219</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>Financials (4.9%)</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>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>696,196</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>2,147</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>25,764</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>787</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>493,614</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Citigroup, Inc. Ser. T, $3.25 cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>33,800</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>848,786</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>56,000</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>443,500</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Legg Mason, Inc. $3.50 cv. pfd.</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>267,627</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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>(In default)</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>714</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nationwide Health Properties, Inc. Ser. B, $7.75 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>9,400</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>963,782</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Webster Financial Corp. Ser. A, 8.50% cv. pfd.</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,270</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>739,775</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>4,535,758</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 (1.3%)</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>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>569,625</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>4,200</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>649,688</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>1,219,313</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 and power (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>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>953,888</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>18,500</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>915,750</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
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<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="49%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></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=left>&nbsp; </TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>1,869,638</FONT></B>&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 convertible preferred securities (cost $40,459,696)</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>$17,944,083</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>UNITS (1.8%)(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>Units</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>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>
     <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>3.169s, 2009 (Cayman Islands)</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</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$765,000</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>
     <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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,540,000</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>924,000</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 units (cost $2,139,075)</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>$1,689,000</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>COMMON STOCKS (0.4%)(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>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>AboveNet, Inc. (NON)</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>54</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$1,971</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=left>&nbsp; </TD>
     <TD noWrap align=left>&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>9,959</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=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>18,890</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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,640</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>19,879</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=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>4,940</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>36,507</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=left>&nbsp; </TD>
     <TD noWrap align=left>&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>37,295</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jarden Corp. (NON)</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>3,570</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>44,554</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=left>&nbsp; </TD>
     <TD noWrap align=left>&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>41</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=left>&nbsp; </TD>
     <TD noWrap align=left>&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>26,790</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Qwest Communications International, Inc.</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>13,125</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>42,000</FONT>&nbsp; </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>58,055</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Time Warner Cable, Inc. Class A</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>50</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,015</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Titan Europe PLC (United Kingdom)</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>9,520</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,723</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Titan International, Inc.</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>1,106</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,551</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Veritis Holdings, Inc. (F)(NON)</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>7,497</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8</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>44,848</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 $781,448)</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>$354,086</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>FOREIGN GOVERNMENT BONDS AND NOTES (0.1%)(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</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) 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><FONT face=sans-serif size=2>$62,775</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 foreign government bonds and notes (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=right><B><FONT face=sans-serif size=2>$62,775</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SENIOR LOANS (--%)(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, 4.2s,</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>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>$20,938</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>9.076s, 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>7,813</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 $116,428)</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>$28,751</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></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>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Expiration </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Strike </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>date </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Price</FONT>&nbsp;&nbsp;&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=left><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>$200</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=left><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>105</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=left><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>1</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=left><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>1,426</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Vertis Holdings, Inc. (F)</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>10/18/15</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>$0.01</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>309</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1</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>$1,733</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>SHORT-TERM INVESTMENTS (0.6%)(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>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>Federated Prime Obligations Fund</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>570,235</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$570,235</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 short-term investments (cost $570,235)</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>$570,235</FONT></B>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></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 $153,598,713) (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>$92,565,164</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_10"></A>
<P align=left><B><FONT face=sans-serif size=2>FORWARD CURRENCY CONTRACTS TO BUY at 11/30/08 (aggregate face value $181,453) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></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=right><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=right><FONT face=sans-serif size=2>$165,265</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$181,453</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$(16,188)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_11"></A>
<P align=left><B><FONT face=sans-serif size=2>FORWARD CURRENCY CONTRACTS TO SELL at 11/30/08 (aggregate face value $605,975) (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></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=right><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>appreciation</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=right><FONT face=sans-serif size=2>$533,778</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$605,975</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12/17/08</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$72,197</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_12"></A>
<P align=left><B><FONT face=sans-serif size=2>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 11/30/08 (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD width="11%"></TD>
     <TD width="5%"></TD>
     <TD width="12%"></TD>
     <TD width="22%"></TD>
     <TD width="19%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Upfront</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Payments</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Payments</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Unrealized</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Swap counterparty /</FONT><FONT size=2></FONT> <FONT size=2></FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>premium</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Termination</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>made by</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>received by</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>appreciation/</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Notional amount</FONT><FONT size=2></FONT> <FONT size=2></FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>received (paid)</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>date</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>fund per annum</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>fund per annum</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(depreciation)</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B><FONT face=sans-serif size=2>Goldman Sachs International</FONT></B><FONT size=2></FONT> <FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$36,000</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$223</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>11/18/18</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>4.10%</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$(2,828)</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>3,067,000</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(11,175)</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>11/18/13</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>3.45%</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>87,681</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>2,114,000</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(582)</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>11/18/10</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>2.35%</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,789</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=8>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right><B><FONT face=sans-serif size=2>$94,642</FONT></B><FONT size=2>&nbsp; </FONT></TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_13"></A>
<P align=left><B><FONT face=sans-serif size=2>CREDIT DEFAULT CONTRACTS OUTSTANDING at 11/30/08 (Unaudited)</FONT></B></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="27%"></TD>
     <TD width="6%"></TD>
     <TD width="7%"></TD>
     <TD width="11%"></TD>
     <TD width="9%"></TD>
     <TD width="6%"></TD>
     <TD width="9%"></TD>
     <TD width="14%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>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=2>Fixed payments</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>premium</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Termi-</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>received</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><FONT face=sans-serif size=2>Swap counterparty /</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>received</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>Notional</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>nation</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>(paid) by fund</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>appreciation/</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Referenced debt*</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Rating***</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(paid)**</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>amount</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>date</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>per annum</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(depreciation)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Bank of America, N.A.</FONT></B>&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>
     <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=2>Abitibibowater Inc., 6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Caa2</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>550 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$(411)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nalco Co., 7.75%, 11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>B1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>350 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(4,063)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Citibank, N.A.</FONT></B>&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>
     <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=2>Abitibibowater Inc., 6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Caa2</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>725 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(205)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Abitibibowater Inc., 6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Caa2</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>800 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(116)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Abitibibowater Inc., 6 1/2%, 6/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Caa2</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12/20/08</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>825 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(87)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Credit Suisse International</FONT></B>&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>
     <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=2>Advanced Micro Devices, Inc., 7 3/4%, 11/1/12</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>B3</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>60,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>6/20/09</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>165 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(7,697)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>DJ CDX NA HY Series 10</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>B+</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>1,050</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>10,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>6/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>500 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(1,062)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Deutsche Bank AG</FONT></B>&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>
     <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=2>Nalco Co., 7.75%, 11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>B1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>35,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>363 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(3,253)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Sungard Data Systems, Inc., 9 1/8%, 8/15/13</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>B3</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>100,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>585 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(9,395)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Goldman Sachs International</FONT></B>&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>
     <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=2>Nalco Co., 7.75%, 11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>B1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>90,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>405 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(6,494)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>JPMorgan Chase Bank, N.A.</FONT></B>&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>
     <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=2>Domtar Corp., 7 1/8%, 8/15/15</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>240,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>12/20/11</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>(500 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>8,740</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Jefferson Smurfit Corp., 7.5%, 6/1/13</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>B3</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>15,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>685 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(8,905)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Morgan Stanley Capital Services, Inc.</FONT></B>&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>
     <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=2>Nalco Co., 7.75%, 11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>B1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>45,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/20/12</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>330 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(3,539)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Nalco Co., 7.75%, 11/15/11</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>B1</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>55,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>3/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>460 bp</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>(2,695)</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>UBS, AG</FONT></B>&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>
     <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=2>Meritage Homes Corp., 7%, 5/1/14</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>-</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>120,000</FONT>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>9/20/13</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>(760 bp)</FONT>&nbsp; </TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13,771</FONT>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Total</FONT></B>&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>
     <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=2>$(25,411)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><I><FONT face=sans-serif size=2>* Payments related to the reference debt are made upon a credit default event.</FONT></I></B></P>
<P align=left><B><I><FONT face=sans-serif size=2>** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.</FONT></I></B></P>
<P align=left><B><FONT face=sans-serif size=2>*** </FONT></B><B><I><FONT face=sans-serif size=2>Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represents the average of the ratings of all the securities included in that index. </FONT></I></B><B><I><FONT face=sans-serif size=2>The Moody's or Standard &amp; Poor's ratings are believed to be the most recent ratings available at November 30, 2008.</FONT></I></B></P>
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<A name="page_14"></A><FONT face=sans-serif size=2>Key to holding's currency abbreviations</FONT>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="8%"></TD>
     <TD width="91%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>EUR</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>Euro</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>USD / $</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>United States Dollar</FONT><FONT size=2>&nbsp; </FONT></TD></TR></TABLE><BR>
<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 $93,136,206</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 $153,921,624, resulting in gross unrealized appreciation and depreciation of $284,732 and $61,641,192, respectively, or net unrealized depreciation of $61,356,460.</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>(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 November 30, 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 
invests 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>(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on the securities valuation inputs. On November 30, 2008, fair value pricing was also used for certain foreign securities in the portfolio.</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>At November 30, 2008, liquid assets totaling $683,218 have been designated as collateral for open swap contracts and forward contracts.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Debt obligations are considered secured unless otherwise indicated.</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 November 30, 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 approved by the Trustees or dealers selected by Putnam Investment Management, LLC (&#147;Putnam Management&#148;), the fund&#146;s manager, a wholly-owned subsidiary of Putnam Investments, LLC. 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 relati
onships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.</FONT></P>
<P align=left><FONT face=sans-serif size=2>At November 30, 2008, fair value pricing was used for certain foreign securities in the portfolio.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation which Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. 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 face=sans-serif size=2>The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Forward currency contracts </FONT></B><FONT face=sans-serif size=2>The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), 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 reco
rds 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 face=sans-serif size=2>Interest rate swap contracts </FONT></B><FONT face=sans-serif size=2>The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund&#146;s exposure to interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate swap 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 are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to
 credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Credit default contracts </FONT></B><FONT face=sans-serif size=2>The fund may enter into credit default contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single</FONT></P>
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<A name="page_15"></A><FONT face=sans-serif size=2>issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. 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 s
ervice or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.</FONT>
<P align=left><FONT face=sans-serif size=2>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 or 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 the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities.. The fund&#146;s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk is mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal t
o the notional amount of the relevant credit default contract.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The fund invested in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Prime Money Market Fund were valued at its closing net asset value each business day. Management fees paid by the fund were 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 $2,298 for the period ended November 30, 2008. During the period ended November 30, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $1,629,911 and $5,791,432, respectively.</FONT></P>
<P align=left><FONT face=sans-serif size=2>On September 17, 2008, the Trustees of the Putnam Prime Money Market Fund voted to close that fund effective September 17, 2008. On September 24, 2008, the fund received shares of Federated Prime Obligations Fund, an unaffiliated management investment company registered under the Investment Company Act of 1940, in liquidation of its shares of Putnam Prime Money Market Fund.</FONT></P>
<P align=left><FONT face=sans-serif size=2>In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. While the adoption of SFAS 157 does not have a material effect on the fund&#146;s net asset value, it does require additional disclosures about fair value measurements. The Standard establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund&#146;s investments. The three levels are defined as follows:</FONT></P>
<P align=left><FONT face=sans-serif size=2>Level 1 &#150; Valuations based on quoted prices for identical securities in active markets.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Level 2 &#150; Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Level 3 &#150; Valuations based on inputs that are unobservable and significant to the fair value measurement.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The following is a summary of the inputs used to value the fund&#146;s net assets as of November 30, 2008:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="39%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Valuation Inputs</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right colSpan=2><B><FONT face=sans-serif size=2>Investments in Securities</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right colSpan=2><B><FONT face=sans-serif size=2>Other Financial Instruments*</FONT></B><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Level 1</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$893,941</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$--</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Level 2</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>91,640,795</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>125,240</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Level 3</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>30,428</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT><FONT size=2>&nbsp; </FONT></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=2>Total</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$92,565,164</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$125,240</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/(depreciation) on the instrument.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The following is a reconciliation of Level 3 assets as of November 30, 2008:</FONT></P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="39%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right colSpan=2><B><FONT face=sans-serif size=2>Investment in Securities</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right colSpan=2><B><FONT face=sans-serif size=2>Other Financial Instruments*</FONT></B><FONT size=2>&nbsp; </FONT></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=2>Balance as of August 31, 2008</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$6,818</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$--</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Accrued discounts/premiums</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>676</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Realized Gain / Loss</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Change in net unrealized appreciation (depreciation)</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>13,314</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Net Purchases / Sales</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>9,620</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT face=sans-serif size=2>Net Transfers in and/or out of Level 3</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>--</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=7>&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=2>Balance as of November 30, 2008</FONT></B><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$30,428</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT face=sans-serif size=2>$--</FONT><FONT size=2>&nbsp; </FONT></TD></TR>
<TR>
     <TD colSpan=7>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif size=2>* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/ (depreciation) on the instrument.</FONT></P>
<P align=left><FONT face=sans-serif size=2>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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<A name="page_1"></A>

<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><BR>
<BR>
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<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: January 28, 2009</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><BR>
<BR>
<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: January 28, 2009</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: January 28, 2009</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: January 27, 2009</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: January 27, 2009</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="10%"></TD>
     <TD width="20%"></TD>
     <TD width="69%"></TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>Attachment A</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif size=2>NQ</FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT size=2></FONT><FONT face=sans-serif size=1><FONT size=2>Period (s</FONT><FONT size=2>) ended November 30, 2008</FONT></FONT><FONT size=2>&nbsp; </FONT></TD>
     <TD noWrap align=center>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2AZ</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam International Capital Opportunities Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>274</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam New Value Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>2MF</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Small Cap Value Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>014</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam High Yield Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>021</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Global Health Care Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>018</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Global Natural Resources Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>061</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam High Income Securities Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>7BF</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Income Strategies Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>29X</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Floating Rate Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="10%"><FONT face=sans-serif size=2>CT2</FONT>&nbsp; </TD>
     <TD noWrap align=left width="89%" colSpan=2><FONT face=sans-serif size=2>Putnam Emerging Markets Equity Fund</FONT>&nbsp; </TD></TR></TABLE><BR>
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