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<SEC-DOCUMENT>0000928816-10-000795.txt : 20100729
<SEC-HEADER>0000928816-10-000795.hdr.sgml : 20100729
<ACCEPTANCE-DATETIME>20100729093503
ACCESSION NUMBER:		0000928816-10-000795
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20100531
FILED AS OF DATE:		20100729
DATE AS OF CHANGE:		20100729
EFFECTIVENESS DATE:		20100729

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:		10976205

	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_highincsec.htm
<DESCRIPTION>PUTNAM HIGH INCOME SECURITIES FUND
<TEXT>
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     <TD colSpan=2 align=center><FONT size=2 face=sans-serif>UNITED STATES</FONT></TD></TR>
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     <TD colSpan=2 align=center><FONT size=2 face=sans-serif>SECURITIES AND EXCHANGE COMMISSION</FONT></TD></TR>
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     <TD colSpan=2 align=center><FONT size=2 face=sans-serif>Washington, D.C. 20549</FONT></TD></TR>
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     <TD colSpan=2 align=center><B><FONT size=2 face=sans-serif>FORM N-Q</FONT></B></TD></TR>
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     <TD colSpan=2 noWrap align=center><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD></TR>
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     <TD colSpan=2 noWrap align=center><B><FONT size=2 face=sans-serif>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT</FONT></B>&nbsp;</TD></TR>
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     <TD colSpan=2 align=center><B><FONT size=2 face=sans-serif>INVESTMENT COMPANY</FONT></B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Investment Company Act file number: (811- </FONT><FONT size=2 face=sans-serif>05133</FONT><FONT size=2 face=sans-serif>)</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Exact name of registrant as specified in charter:</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam High Income Securities Fund</FONT>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD></TR>
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     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Name and address of agent for service:</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Beth S. Mazor, Vice President</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Boston, Massachusetts 02109</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Copy to:</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>John W. Gerstmayr, Esq.</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ropes &amp; Gray LLP</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>One International Place</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Boston, Massachusetts 02110</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Registrant&#146;s telephone number, including area code:</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(617) 292-1000</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Date of fiscal year end: </FONT><FONT size=2 face=sans-serif>August 31, 2010</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Date of reporting period: May 31, 2010</FONT>&nbsp;</TD>
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<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 1. Schedule of Investments:</FONT></U></P>
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     <TD noWrap align=left><FONT size=5 face=sans-serif>Putnam High Income Securities Fund</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=3 face=sans-serif>The fund's portfolio</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>5/31/10 (Unaudited)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD colSpan=4>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CORPORATE BONDS AND NOTES (40.3%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
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     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Basic materials (3.7%)</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 size=2 face=sans-serif>Aleris International, 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 size=2 face=sans-serif>notes 9s, 2014 (In default) (NON)(PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$230,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,208</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AMH Holdings, Inc. sr. disc. unsec. notes 11 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Associated Materials, LLC/Associated Materials</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 size=2 face=sans-serif>Finance, Inc. company guaranty sr. notes 9 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Builders FirstSource, Inc. 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 size=2 face=sans-serif>notes FRN 13s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Catalyst Paper 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 size=2 face=sans-serif>unsub. notes 7 3/8s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>notes FRN 2.257s, 2013 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Compass Minerals International, Inc. 144A sr. 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 size=2 face=sans-serif>8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>156,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FMG Finance Pty Ltd. 144A sr. sec. notes 10 5/8s, 2016</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 size=2 face=sans-serif>(Australia)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>214,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>460,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>499,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Georgia-Pacific, LLC sr. unsec. unsub. notes 9 1/2s,</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 size=2 face=sans-serif>2011</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>219,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HeidelbergCement AG company guaranty sr. unsec. unsub.</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 size=2 face=sans-serif>notes 8s, 2017 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,522</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HeidelbergCement AG company guaranty unsec. unsub.</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 size=2 face=sans-serif>notes 8 1/2s, 2019 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,543</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>ULC company guaranty 9 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Huntsman International, LLC 144A 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 size=2 face=sans-serif>8 5/8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ineos Finance PLC 144A company guaranty sr. notes 9s,</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 size=2 face=sans-serif>2015 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ineos Group Holdings PLC company guaranty sr. 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 size=2 face=sans-serif>7 7/8s, 2016 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,464</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jefferson Smurfit Corp. company guaranty 8 1/4s, 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 size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$49,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,528</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>LBI Escrow Corp. 144A sr. notes 8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>330,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>sr. unsec. notes 9 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NewPage Corp. company guaranty sr. notes 11 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NewPage Holding Corp. sr. unsec. unsub. 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 size=2 face=sans-serif>7.527s, 2013 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,210</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,651</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Novelis, Inc. 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 size=2 face=sans-serif>11 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Novelis, Inc. 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 size=2 face=sans-serif>7 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>192,147</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PE Paper Escrow GmbH sr. notes Ser. REGS, 11 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 size=2 face=sans-serif>2014 (Austria)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,227</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>153,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rhodia SA sr. unsec. notes FRN Ser. REGS, 3.394s, 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 size=2 face=sans-serif>(France)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>186,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rohm &amp; Haas Co. sr. unsec. unsub. notes 7.85s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>157,542</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sappi Papier Holding AG 144A company guaranty 6 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 size=2 face=sans-serif>2012 (Austria)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>43,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit Kappa Acquisition 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 size=2 face=sans-serif>notes 7 3/4s, 2019 (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>59,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>7 3/4s, 2015 (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>233,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit-Stone Container Corp. sr. notes unsec. unsub.</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 size=2 face=sans-serif>notes 8 3/8s, 2012 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>79,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Solutia, Inc. 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 size=2 face=sans-serif>8 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Solutia, Inc. 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 size=2 face=sans-serif>7 7/8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,838</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steel Dynamics, Inc. sr. unsec. unsub. notes 7 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 size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,838</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steel Dynamics, 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 size=2 face=sans-serif>notes 7 5/8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teck Resources, Ltd. sr. notes 10 3/4s, 2019 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>126,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teck Resources, Ltd. sr. notes 10 1/4s, 2016 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>217,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teck Resources, Ltd. sr. notes 9 3/4s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,796</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tube City IMS Corp. company guaranty sr. unsec. sub.</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 size=2 face=sans-serif>notes 9 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>158,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>guaranty Ser. B, 11 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>52,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>guaranty sr. sec. notes FRN Ser. B, 4.094s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>129,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Verso Paper Holdings, LLC/Verso Paper, Inc. 144A 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 size=2 face=sans-serif>notes 11 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,075</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 size=2 face=sans-serif>4,879,179</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Capital goods (1.8%)</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 size=2 face=sans-serif>ACCO Brands Corp. company guaranty sr. notes 10 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 size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Altra Holdings, Inc. 144A sr. notes 8 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>139,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>BBC Holding Corp. sr. notes 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Berry Plastics Corp. 144A sr. notes 9 1/2s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cleaver-Brooks, Inc. 144A sr. notes 12 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Kratos Defense &amp; Security Solutions, Inc. 144A 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 size=2 face=sans-serif>notes 10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>L-3 Communications Corp. 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 size=2 face=sans-serif>sub. notes 5 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>388,584</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mueller Water Products, 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 size=2 face=sans-serif>unsec. notes 7 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>137,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Reddy Ice Corp. 144A sr. notes 11 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ryerson Holding Corp. 144A sr. disc. notes zero %, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>79,406</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ryerson Tull, Inc. company guaranty sr. sec. 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 size=2 face=sans-serif>12s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>228,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TD Funding Corp. 144A company guaranty sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tenneco, Inc. company guaranty 8 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tenneco, 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 size=2 face=sans-serif>8 1/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>174,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Thermadyne Holdings Corp. 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 size=2 face=sans-serif>sub. notes 11 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Transdigm, Inc. company guaranty sr. unsec. 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 size=2 face=sans-serif>7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>179,550</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 size=2 face=sans-serif>2,468,091</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Communication services (5.2%)</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 size=2 face=sans-serif>Adelphia Communications Corp. escrow bonds zero %, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,914</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Adelphia Communications Corp. escrow bonds zero %, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>248</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Atlantic Broadband Finance, LLC company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>227,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cablevision Systems Corp. sr. unsec. unsub. notes 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 size=2 face=sans-serif>2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cablevision Systems Corp. sr. unsec. 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 size=2 face=sans-serif>7 3/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cablevision Systems Corp. 144A sr. notes 8 5/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CC Holdings GS V, LLC/Crown Castle GS III Corp. 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 size=2 face=sans-serif>sr. sec. notes 7 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CCH II, LLC sr. notes 13 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>299,815</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>343,663</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CCO Holdings LLC/CCO Holdings Capital Corp. 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 size=2 face=sans-serif>company guaranty sr. notes 7 7/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53,969</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cequel Communications Holdings I LLC/Cequel Capital</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Corp.Capital Corp. 144A sr. notes 8 5/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Charter Communications Operating LLC/Charter</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Communications Operating Capital 144A company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. notes 8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>114,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cincinnati Bell, 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 size=2 face=sans-serif>notes 8 3/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clearwire Communications, LLC/Clearwire Finance, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>144A company guaranty sr. notes 12s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clearwire Communications, LLC/Clearwire Finance, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>144A company guaranty sr. notes 12s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cricket Communications, Inc. company guaranty 9 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 size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>216,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cricket Communications, 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 size=2 face=sans-serif>unsub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Crown Castle International 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 size=2 face=sans-serif>7 1/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>33,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CSC Holdings, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,910</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Digicel Group, Ltd. 144A sr. notes 8 1/4s, 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 size=2 face=sans-serif>(Jamaica)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>112,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(Jamaica)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>154,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Frontier Communications Corp. sr. unsec. 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 size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,656</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Frontier Communications Corp. sr. unsec. notes 8 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 size=2 face=sans-serif>2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Frontier Communications Corp. 144A sr. 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 size=2 face=sans-serif>2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Frontier Communications Corp. 144A sr. 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 size=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Inmarsat Finance PLC 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 size=2 face=sans-serif>7 3/8s, 2017 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Integra Telecom Holdings, Inc. 144A sr. notes 10 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 size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Bermuda, 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 size=2 face=sans-serif>notes 11 1/4s, 2017 (Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>720,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>709,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Intermediate Holding Co., Ltd. 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 size=2 face=sans-serif>guaranty sr. unsec. notes 9 1/4s, 2015 (Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Jackson Holding Co. 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 size=2 face=sans-serif>unsec. notes 11 1/4s, 2016 (Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>259,088</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Level 3 Financing, Inc. company guaranty 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>154,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Level 3 Financing, Inc. company guaranty 8 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>114,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mediacom Broadband, LLC/Mediacom Broadband Corp. 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 size=2 face=sans-serif>unsec. unsub. notes 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mediacom LLC/Mediacom Capital Corp. 144A 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 size=2 face=sans-serif>9 1/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MetroPCS Wireless, 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 size=2 face=sans-serif>notes 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>370,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>381,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nextel Communications, 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 size=2 face=sans-serif>unsec. notes Ser. D, 7 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>255,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>240,338</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NII Capital Corp. 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 size=2 face=sans-serif>notes 10s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PAETEC Holding Corp. 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 size=2 face=sans-serif>unsub. notes 9 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>121,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PAETEC Holding Corp. 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 size=2 face=sans-serif>8 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Communications 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 size=2 face=sans-serif>guaranty 7 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>42,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. sr. unsec. unsub. notes 8 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,700</FONT>&nbsp;</TD></TR></TABLE></DIV>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>SBA Telecommunications, Inc. 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 size=2 face=sans-serif>notes 8 1/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>36,488</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SBA Telecommunications, Inc. 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 size=2 face=sans-serif>notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sprint Capital Corp. company guaranty 6 7/8s, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sprint Nextel Corp. sr. notes 8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>112,988</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Virgin Media Finance PLC company guaranty sr. 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 size=2 face=sans-serif>Ser. 1, 9 1/2s, 2016 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>179,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Virgin Media Finance PLC 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 size=2 face=sans-serif>unsub. notes 9 1/2s, 2016 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,536</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>West Corp. company guaranty 9 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>174,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wind Acquisition Finance SA 144A sr. notes 11 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 size=2 face=sans-serif>2017 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>214,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wind Acquisition Finance SA 144A sr. notes 11 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 size=2 face=sans-serif>2017 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>62,692</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wind Acquisition Holdings Finance SA 144A 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 size=2 face=sans-serif>guaranty sr. notes 12 1/4s, 2017 (Italy) (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>NOK</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Windstream Corp. company guaranty 8 5/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>212,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Windstream Corp. company guaranty 8 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,950</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 size=2 face=sans-serif>7,002,098</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer cyclicals (10.2%)</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 size=2 face=sans-serif>Affinia Group, Inc. 144A sr. notes 10 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinion Group, Inc. company guaranty 11 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinion Group, Inc. company guaranty 10 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,488</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Allison Transmission, Inc. 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 size=2 face=sans-serif>unsec. notes 11 1/4s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>167,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AMC Entertainment, Inc. company guaranty 11s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>78,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Axle &amp; Manufacturing, 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 size=2 face=sans-serif>sr. unsec. notes 5 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>143,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Casino &amp; Entertainment Properties LLC 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 size=2 face=sans-serif>notes 11s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>151,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Media Operations, Inc. 144A 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 size=2 face=sans-serif>14s, 2013 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>209,943</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>136,463</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Media Operations, Inc. 144A 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 size=2 face=sans-serif>9s, 2013 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,067</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,744</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ameristar Casinos, 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 size=2 face=sans-serif>notes 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aramark Corp. company guaranty 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Autonation, Inc. 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 size=2 face=sans-serif>6 3/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Beazer Homes USA, 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 size=2 face=sans-serif>unsub. notes 9 1/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>84,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Belo Corp. sr. unsec. unsub. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Blockbuster, Inc. 144A company guaranty sr. 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 size=2 face=sans-serif>11 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,430</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bon-Ton Stores, Inc. (The) company guaranty 10 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 size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Building Materials Corp. 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 size=2 face=sans-serif>notes 7 1/2s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Building Materials Corp. 144A sr. notes 7s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Burlington Coat Factory Warehouse Corp. 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 size=2 face=sans-serif>guaranty sr. unsec. notes 11 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>139,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cengage Learning Acquisitions, Inc. 144A sr. 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 size=2 face=sans-serif>10 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>92,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cinemark, Inc. 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 size=2 face=sans-serif>8 5/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clear Channel Worldwide Holdings, Inc. 144A 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 size=2 face=sans-serif>guaranty sr. unsec. unsub. notes Ser. A, 9 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clear Channel Worldwide Holdings, Inc. 144A 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 size=2 face=sans-serif>guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>162,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Corrections Corporation of America 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 size=2 face=sans-serif>sr. notes 7 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>154,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DIRECTV Holdings, LLC 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 size=2 face=sans-serif>notes 6 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,906</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DISH DBS 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 size=2 face=sans-serif>7 7/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>136,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dollar General 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 size=2 face=sans-serif>10 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>167,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>182,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Echostar DBS Corp. company guaranty 7 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>107,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Federated Retail Holdings, 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 size=2 face=sans-serif>unsec. notes 5.9s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>114,281</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FelCor Lodging LP company guaranty sr. notes 10s,</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 size=2 face=sans-serif>2014 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>156,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s,</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 size=2 face=sans-serif>2020</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>233,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Goodman Global Group, Inc. 144A sr. disc. notes zero</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 size=2 face=sans-serif>%, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Goodman Global, Inc. company guaranty sr. unsec. sub.</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 size=2 face=sans-serif>notes 13 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Goodyear Tire &amp; Rubber Co. (The) 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 size=2 face=sans-serif>10 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>196,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Gray Television, Inc. 144A company guaranty sr. 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 size=2 face=sans-serif>10 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hanesbrands, Inc. 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 size=2 face=sans-serif>FRN Ser. B, 3.831s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>196,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hanesbrands, Inc. sr. unsec. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>76,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harrah's Operating Co., 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 size=2 face=sans-serif>notes 10s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>387,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>305,730</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harrah's Operating Co., 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 size=2 face=sans-serif>notes 10s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harrah's Operating Co., Inc. sr. notes 11 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harrahs Operating Escrow, LLC/Harrahs Escrow 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 size=2 face=sans-serif>144A sr. notes 12 3/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,250</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harry &amp; David Operations Corp. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 9s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harry &amp; David Operations Corp. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes FRN 5.252s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interpublic Group of Companies, Inc. (The) sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,406</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Isle of Capri Casinos, Inc. company guaranty 7s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>112,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jarden Corp. company guaranty sr. unsec. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jarden Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>280,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>274,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lamar Media Corp. company guaranty sr. notes 9 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lamar Media Corp. 144A sr. sub. notes 7 7/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lear Corp. company guaranty sr. unsec. bond 7 7/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lear Corp. company guaranty sr. unsec. notes 8 1/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lender Processing Services, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. unsub. notes 8 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lennar Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.95s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Levi Strauss &amp; Co. sr. unsec. notes 8 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Levi Strauss &amp; Co. 144A sr. notes 7 5/8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Limited Brands, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 7s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>M/I Schottenstein Homes, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 6 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Macy's Retail Holdings, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. unsub. notes 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Marquee Holdings, Inc. sr. disc. notes 9.505s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>McClatchy Co. (The) 144A company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MGM Mirage, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MGM Mirage, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,845</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MGM Mirage, Inc. 144A sr. notes 9s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MGM Mirage, Inc. 144A sr. sec. notes 10 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Michaels Stores, Inc. company guaranty 11 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>231,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Michaels Stores, Inc. company guaranty 10s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>71,838</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MTR Gaming Group, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>National Money Mart Co. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10 3/8s, 2016 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Navistar International Corp. sr. notes 8 1/4s, 2021</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,488</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Neiman-Marcus Group, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>510,587</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>498,461</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Neiman-Marcus Group, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 10 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nexstar Broadcasting, Inc./Mission Broadcasting, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>144A sr. notes 8 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nielsen Finance LLC/Nielsen Finance Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty 10s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>127,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nielsen Finance LLC/Nielsen Finance Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. unsec. sub. disc. notes stepped-coupon</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>zero % (12 1/2s, 8/1/11), 2016 (STP)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>198,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Owens Corning, Inc. company guaranty unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>348,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Penn National Gaming, Inc. 144A sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Entertainment, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. sub. notes 7 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>102,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Entertainment, Inc. 144A sr. notes 8 5/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Entertainment, Inc. 144A sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/4s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>QVC Inc. 144A sr. notes 7 3/8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>QVC Inc. 144A sr. sec. notes 7 1/2s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>219,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>216,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sealy Mattress Co. 144A company guaranty sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Seminole Hard Rock Entertainment, Inc. 144A sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRN 2.757s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>141,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sirius XM Radio, Inc. 144A sr. notes 9 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>68,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Standard Pacific Corp. company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>124,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Standard Pacific Corp. company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Standard Pacific Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 7s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Standard Pacific Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 6 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Station Casinos, Inc. sr. notes 6s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>189,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,155</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>166,561</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Toys R Us Property Co., LLC 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 10 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,963</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Toys R Us Property Co., LLC 144A sr. notes 8 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Travelport LLC company guaranty 11 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>151,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Travelport LLC company guaranty 9 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>154,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>355,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TRW Automotive, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes Ser. REGS, 6 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>71,174</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TRW Automotive, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 6 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,898</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Umbrella Acquisition, 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 size=2 face=sans-serif>unsec. unsub. notes 9 3/4s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>204,934</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>173,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United Auto Group, Inc. company guaranty 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>141,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Universal City Development Partners, Ltd. 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 size=2 face=sans-serif>notes 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Universal City Development Partners, Ltd. 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 size=2 face=sans-serif>sub. notes 10 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Univision Communications, Inc. 144A sr. sec. 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 size=2 face=sans-serif>12s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>112,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>(PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>172,719</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>74,269</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Visant Corp. company guaranty sr. unsec. 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 size=2 face=sans-serif>7 5/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>199,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>WMG Acquisition Corp. company guaranty sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>WMG Acquisition Corp. 144A sr. sec. notes 9 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>WMG Holdings Corp. company guaranty sr. unsec. disc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>mtge. Ser. EXCH, 6 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>89,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>XM Satellite Radio, 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 size=2 face=sans-serif>unsec. notes 13s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>XM Satellite Radio, Inc. 144A sr. notes 11 1/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>32,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Yankee Acquisition Corp. 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 size=2 face=sans-serif>Ser. B, 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>214,000</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 size=2 face=sans-serif>13,682,286</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>Avis Budget Car Rental, LLC 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 size=2 face=sans-serif>unsec. unsub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>139,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Avis Budget Car Rental, LLC 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 size=2 face=sans-serif>unsec. unsub. notes 7 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Avis Budget Car Rental, LLC 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 size=2 face=sans-serif>notes 9 5/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Central Garden &amp; Pet Co. sr. sub. notes 8 1/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>106,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>notes 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>unsub. notes 7 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>144,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dean Foods Co. company guaranty 7s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>22,969</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dole Food Co. 144A sr. sec. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dole Food Co., Inc. sr. notes 13 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,570</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>153,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Games Merger Corp. 144A sr. notes 11s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>162,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Great Atlantic &amp; Pacific Tea Co. 144A 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 size=2 face=sans-serif>11 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hertz Corp. company guaranty 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>341,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JBS USA LLC/JBS USA Finance, Inc. sr. notes 11 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 size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,886</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Libbey Glass, Inc. 144A sr. notes 10s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>67,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Foods Finance LLC 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 size=2 face=sans-serif>9 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Prestige Brands, 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 size=2 face=sans-serif>notes 8 1/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Revlon Consumer Products 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 size=2 face=sans-serif>notes 9 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>81,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rite Aid Corp. 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 size=2 face=sans-serif>notes 9 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>168,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>RSC Equipment Rental, Inc. 144A sr. sec. notes 10s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smithfield Foods, Inc. 144A sr. sec. notes 10s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>139,181</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Spectrum Brands, Inc. sr. unsec. sub. bonds 12s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,393</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,217</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Supervalu, Inc. sr. unsec. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>305,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>358,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wendy's/Arby's Restaurants LLC 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 size=2 face=sans-serif>unsec. unsub. notes 10s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>232,313</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 size=2 face=sans-serif>3,188,376</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Energy (5.6%)</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 size=2 face=sans-serif>Arch Western Finance, LLC 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 size=2 face=sans-serif>6 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>197,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ATP Oil &amp; Gas Corp. 144A sr. notes 11 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Chaparral Energy, Inc. company guaranty 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,840</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>notes 8 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Chesapeake Energy Corp. 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 size=2 face=sans-serif>notes 9 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>98,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>(Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Comstock Resources, Inc. company guaranty sr. 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 size=2 face=sans-serif>notes 8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>2015 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>288,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Connacher Oil and Gas, Ltd. 144A sr. sec. 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 size=2 face=sans-serif>11 3/4s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CONSOL Energy, 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 size=2 face=sans-serif>notes 8 1/4s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>219,569</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CONSOL Energy, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>
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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 size=2 face=sans-serif>notes 8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,113</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Crosstex Energy/Crosstex Energy Finance Corp. 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 size=2 face=sans-serif>notes 8 7/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>305,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Denbury 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 size=2 face=sans-serif>sub. notes 8 1/4s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,613</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>179,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Expro Finance Luxemburg 144A sr. notes 8 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 size=2 face=sans-serif>(Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>223,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ferrellgas LP/Ferrellgas Finance Corp. 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 size=2 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>151,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ferrellgas LP/Ferrellgas Finance Corp. 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 size=2 face=sans-serif>notes Ser. UNRE, 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>192,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>notes 9 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>345,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>338,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>6 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>275,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>269,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Coal Group, Inc. sr. notes 9 1/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>unsub. notes 8 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>330,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>328,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Newfield Exploration Co. sr. unsec. sub. notes 7 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 size=2 face=sans-serif>2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Newfield Exploration Co. sr. unsec. sub. notes 6 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 size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>OPTI Canada, Inc. company guaranty sr. sec. 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 size=2 face=sans-serif>8 1/4s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>42,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>OPTI Canada, Inc. company guaranty sr. sec. 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 size=2 face=sans-serif>7 7/8s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>290,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>246,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Peabody Energy Corp. company guaranty 7 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>259,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PetroHawk Energy Corp. company guaranty 9 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PetroHawk Energy Corp. 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 size=2 face=sans-serif>notes 10 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>142,763</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>unsec. notes 12s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>265,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>272,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>7 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>375,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>343,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pride International, Inc. sr. unsec. notes 7 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>265,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>unsec. notes 8 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>48,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>76,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Range Resources Corp. 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 size=2 face=sans-serif>notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rosetta Resources, 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 size=2 face=sans-serif>unsec. notes 9 1/2s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sabine Pass LNG LP sec. notes 7 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>285,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>236,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SandRidge Energy, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. unsub. notes 8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SandRidge Energy, Inc. 144A sr. unsec. notes 9 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 size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Stallion Oilfield Holdings Ltd. 144A 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 size=2 face=sans-serif>10 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Thermon 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 size=2 face=sans-serif>notes 9 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Trico Shipping AS 144A sr. notes 11 7/8s, 2014 (Norway)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>191,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Whiting Petroleum Corp. company guaranty 7s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,915</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 size=2 face=sans-serif>7,468,646</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
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</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Financials (3.5%)</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 size=2 face=sans-serif>American General Finance Corp. sr. unsec. 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 size=2 face=sans-serif>MTN, 6.9s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>295,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>234,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American General Finance Corp. sr. unsec. 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 size=2 face=sans-serif>MTNI, Class I, 4 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>157,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American General Finance Corp. sr. unsec. notes, MTN</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. J, 5 5/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>28,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>BAC Capital Trust VI bank guaranty jr. 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 size=2 face=sans-serif>notes 5 5/8s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>68,542</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>BAC Capital Trust XI bank guaranty jr. 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 size=2 face=sans-serif>notes 6 5/8s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,443</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>BankAmerica Capital II bank guaranty jr. 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 size=2 face=sans-serif>notes 8s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CB Richard Ellis 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 size=2 face=sans-serif>unsec. sub. notes 11 5/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>189,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>476,354</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>429,909</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>259,538</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,531</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,723</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,924</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>57,723</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,260</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>121,815</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>E*Trade Financial Corp. sr. unsec. notes 7 3/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>E*Trade Financial Corp. sr. unsec. 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 size=2 face=sans-serif>12 1/2s, 2017 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, Inc. 144A company guaranty sr. unsec. notes 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 size=2 face=sans-serif>2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC company guaranty sr. unsec. notes 7s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>337,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>334,894</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC company guaranty sr. unsec. notes 6 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 size=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,680</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC company guaranty sr. unsec. notes Ser. 8,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>153,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,733</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC company guaranty sr. unsec. unsub. 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 size=2 face=sans-serif>2.452s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,322</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,952</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC 144A company guaranty sr. unsec. notes 8.3s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,244</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="59%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>127,439</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HUB International Holdings, Inc. 144A sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>164,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HUB International Holdings, Inc. 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 9s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Icahn Enterprises LP/Ichan Enterprises Finance Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>144A sr. notes 8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>iStar Financial, Inc. sr. unsec. unsub. notes Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.95s, 2013 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>168,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>161,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NB Capital Trust IV jr. unsec. sub. notes 8 1/4s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Provident Funding Associates 144A sr. notes 10 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Residential Capital LLC company guaranty jr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>275,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>264,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Reynolds Group DL Escrow, Inc./Reynolds Group Escrow,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>LLC 144A sr. sec. notes 7 3/4s, 2016 (Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Reynolds Group Issuer, Inc. 144A sr. notes 8 1/2s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Royal Bank of Scotland Group PLC jr. unsec. sub. bonds</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB 7.648s, 2049 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>79,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SLM Corp. sr. notes Ser. MTN, 8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SLM Corp. sr. unsec. unsub. notes Ser. MTNA, 5s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>295,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>278,340</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>4,619,710</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Health care (3.9%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Biomet, Inc. company guaranty sr. unsec. bond 10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>232,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Community Health Systems, Inc. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>92,138</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DaVita, Inc. company guaranty 6 5/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>226,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,305</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DaVita, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Elan Finance PLC/Elan Finance Corp. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. notes 8 3/4s, 2016 (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>156,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. company guaranty sr. notes 9 5/8s, 2016 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>202,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>212,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. sr. notes 6.95s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>71,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. sr. sec. notes 9 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>355,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>371,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. 144A sr. sec. notes 9 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. 144A sr. sec. notes 8 1/2s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Health Management Associates, Inc. sr. notes 6 1/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>229,994</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IASIS Healthcare/IASIS Capital Corp. sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>355,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>355,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lantheus Medical Imaging, Inc. 144A sr. notes 9 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>76,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>153,838</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Psychiatric Solutions, Inc. company guaranty 7 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>375,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>384,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Psychiatric Solutions, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. sub. notes 7 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Quintiles Transnational Corp. 144A sr. notes 9 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Select Medical Corp. company guaranty 7 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>131,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Service Corporation International sr. notes 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Service Corporation International sr. unsec. 7 3/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>126,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>329,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Surgical Care Affiliates, Inc. 144A sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>78,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Surgical Care Affiliates, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 7/8s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>291,119</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>285,297</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Talecris Biotherapeutics Holdings Corp. 144A sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tenet Healthcare Corp. 144A company guaranty sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16,444</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tenet Healthcare Corp. 144A company guaranty sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>283,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United Surgical Partners International, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. unsec. sub. notes 8 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>265,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>265,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>US Oncology Holdings, Inc. sr. unsec. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.643s, 2012 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>253,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,170</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>US Oncology, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,744</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ventas Realty LP/Capital Corp. company guaranty 9s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2012 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>280,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>297,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>5,180,338</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Technology (2.0%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Advanced Micro Devices, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 1/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,406</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ceridian Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12 1/4s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>212,350</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>202,794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ceridian Corp. sr. unsec. notes 11 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,831</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>217,556</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10.55s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>256,304</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>197,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>199,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data Corp. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 11 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 9 1/8s, 2014 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>146,419</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>126,652</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. sub. notes 10 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>159,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>127,995</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. 144A company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. notes 10 1/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. 144A company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. notes 9 1/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Iron Mountain, Inc. company guaranty 8 3/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>notes 8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>76,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lucent Technologies, Inc. unsec. debs. 6.45s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>(Cayman Islands) (In default) (F)(NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,839</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>notes FRN Ser. EXCH, 3.053s, 2013 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>129,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>156,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>157,755</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>158,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>159,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Syniverse Technologies, Inc. sr. sub. notes 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 size=2 face=sans-serif>7 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>280,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>274,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Unisys Corp. 144A company guaranty sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>14 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>221,350</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 size=2 face=sans-serif>2,727,428</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Transportation (0.1%)</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 size=2 face=sans-serif>RailAmerica, Inc. company guaranty sr. notes 9 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 size=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>137,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>142,480</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 size=2 face=sans-serif>142,480</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Utilities and power (1.9%)</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 size=2 face=sans-serif>AES Corp. (The) sr. unsec. notes 8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>92,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>93,380</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,487</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dynegy Holdings, Inc. sr. unsec. notes 7 3/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>7.67s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7.2s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Corp. sr. unsec. notes 12s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Natural Gas Co. debs. 8 5/8s, 2022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Energy Future Holdings 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 size=2 face=sans-serif>unsec. notes 11 1/4s, 2017 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,131</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Energy Future Intermediate Holdings Co., LLC 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 size=2 face=sans-serif>9 3/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>256,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>244,160</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ipalco Enterprises, Inc. sr. sec. notes 8 5/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>8.3s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>173,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mirant North America, LLC company guaranty 7 3/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NRG Energy, Inc. company guaranty 7 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NRG Energy, Inc. company guaranty 7 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>79,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>355,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>343,463</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>48,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>2028</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,783</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>guaranty sr. unsec. notes 10 1/2s, 2016 (United</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Kingdom) (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>169,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>guaranty sr. unsec. notes Ser. B, 10 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Utilicorp United, Inc. sr. unsec. notes 7.95s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,199</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 size=2 face=sans-serif>2,546,622</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total corporate bonds and notes (cost $54,451,620)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$53,905,254</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CONVERTIBLE BONDS AND NOTES (33.0%)(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 size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Basic materials (0.8%)</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 size=2 face=sans-serif>Ferro Corp. cv. sr. unsec. notes 6 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$387,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United States Steel Corp. cv. sr. unsec. notes 4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>375,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>610,781</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 size=2 face=sans-serif>1,080,609</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Capital goods (2.5%)</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 size=2 face=sans-serif>Alliant Techsystems, Inc. cv. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 3s, 2024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>3 3/4s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,389,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Titan International, Inc. 144A cv. sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5 5/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>410,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>509,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Trinity Industries, Inc. cv. unsec. sub. notes 3 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 size=2 face=sans-serif>2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>152,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>WESCO International, Inc. cv. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 6s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>791,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,208,964</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 size=2 face=sans-serif>3,364,427</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Communication services (3.5%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Level 3 Communications, Inc. cv. 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 size=2 face=sans-serif>notes 3 1/2s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,700,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,538,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NII Holdings, Inc. cv. sr. unsec. notes 3 1/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,700,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,564,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Virgin Media, Inc. cv. sr. unsec. notes 6 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,380,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,562,850</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 size=2 face=sans-serif>4,665,350</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Conglomerates (0.5%)</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 size=2 face=sans-serif>Textron, Inc. cv. sr. unsec. notes Ser. TXT, 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 size=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>370,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>626,225</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 size=2 face=sans-serif>626,225</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer cyclicals (4.5%)</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 size=2 face=sans-serif>Alliance Data Systems Corp. 144A cv. sr. notes 4 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 size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>465,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>750,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Charming Shoppes, Inc. cv. sr. unsec. notes 1 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 size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>391,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Icahn Enterprises LP 144A cv. sr. unsec. notes FRN 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 size=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>900,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>765,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Iconix Brand Group, Inc. cv. sr. sub. notes 1 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 size=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>380,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>355,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Game Technology 144A 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 size=2 face=sans-serif>notes 3 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>690,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>832,623</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Live Nation, Inc. cv. sr. unsec. notes 2 7/8s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>520,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sinclair Broadcast Group, Inc. cv. 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 size=2 face=sans-serif>6s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,525,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,420,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sirius Satellite Radio, 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 size=2 face=sans-serif>3 1/4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>378,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>361,935</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>XM Satellite Radio Holdings, Inc. 144A 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 size=2 face=sans-serif>sub. notes 7s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>547,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>548,422</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 size=2 face=sans-serif>5,946,786</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer staples (1.7%)</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 size=2 face=sans-serif>Pantry, Inc. (The) cv. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 3s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,650,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,501,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>470,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>434,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Spartan Stores, Inc. cv. sr. unsec. notes 3 3/8s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>393,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>338,963</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 size=2 face=sans-serif>2,275,213</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Energy (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 size=2 face=sans-serif>Cal Dive International, Inc. cv. 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 size=2 face=sans-serif>notes 3 1/4s, 2025</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>900,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>799,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Carrizo Oil &amp; Gas, Inc. cv. sr. unsec. 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 size=2 face=sans-serif>4 3/8s, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>735,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>641,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Coal Group, Inc. cv. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. unsec. notes 4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>387,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>378,912</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 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 size=2 face=sans-serif>2041</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>401,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>870,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>831,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>St. Mary Land &amp; Exploration Co. 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 size=2 face=sans-serif>3 1/2s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>865,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>925,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Trico Marine Services, Inc. cv. sr. unsec. debs. 3s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>91,875</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 size=2 face=sans-serif>4,070,438</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Financials (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 size=2 face=sans-serif>Alexandria Real Estate Equities, 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 size=2 face=sans-serif>guaranty sr. unsec. notes 3.7s, 2027 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>587,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Annaly Capital Management, Inc. cv. 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 size=2 face=sans-serif>notes 4s, 2015 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>222,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CapitalSource, Inc. cv. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 7 1/4s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>285,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Digital Realty Trust LP 144A cv. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5 1/2s, 2029 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>545,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>762,319</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>3.98s, 2027 (In default) (NON)(R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>410,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>KKR Financial Holdings, LLC 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 size=2 face=sans-serif>7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>598,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>736,661</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MGIC Investment Corp. cv. sr. notes 5s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>213,140</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Old Republic International Corp. cv. 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 size=2 face=sans-serif>notes 8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>530,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>686,350</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 size=2 face=sans-serif>3,905,870</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Health care (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 size=2 face=sans-serif>Amylin Pharmaceuticals, Inc. cv. sr. unsec. notes 3s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>460,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>378,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Biovail Corp. 144A cv. sr. notes 5 3/8s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>357,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>China Medical Technologies, Inc. cv. sr. unsec. bonds</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. CMT, 4s, 2013 (China)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>260,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>171,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hologic, Inc. cv. sr. unsec. 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 size=2 face=sans-serif>stepped-coupon 2s (zero %, 12/15/13) 2037 (STP)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,109,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Invitrogen Corp. cv. sr. unsec. unsub. notes 1 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 size=2 face=sans-serif>2024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>570,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>639,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>King Pharmaceuticals, Inc. cv. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 1 1/4s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>653,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>574,640</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>LifePoint Hospitals, Inc. cv. sr. unsec. 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 size=2 face=sans-serif>3 1/4s, 2025</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>378,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lincare Holdings, Inc. cv. sr. unsec. 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 size=2 face=sans-serif>2 3/4s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>575,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Omnicare, Inc. cv. company guaranty 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 size=2 face=sans-serif>Ser. OCR, 3 1/4s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>963,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>790,864</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>OSI Pharmaceuticals, Inc. cv. sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>337,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Providence Service Corp. (The) cv. 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 size=2 face=sans-serif>notes 6 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>207,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>179,573</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Stewart Enterprises, Inc. cv. sr. unsec. notes 3 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 size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>650,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>565,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Theravance, Inc. cv. unsec. sub. notes 3s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>542,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>465,443</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 size=2 face=sans-serif>6,524,245</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Technology (8.7%)</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 size=2 face=sans-serif>Acquicor Technology, Inc. 144A cv. notes 8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>532,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>502,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ADC Telecommunications, Inc. cv. unsec. 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 size=2 face=sans-serif>3 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>836,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,261,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ARRIS Group, Inc. cv. sr. unsec. notes 2s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,470,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,396,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cadence Design Systems, 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 size=2 face=sans-serif>1 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>700,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>605,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EnerSys cv. sr. unsec. notes stepped-coupon 3 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 size=2 face=sans-serif>(zero %, 6/1/15) 2038 (STP)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>437,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>393,846</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Kulicke &amp; Soffa Industries, Inc. cv. unsec. 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 size=2 face=sans-serif>7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,800,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,703,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mentor Graphics Corp. cv. sub. 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 size=2 face=sans-serif>2.003s, 2023</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,338,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ON Semiconductor Corp. cv. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 2 5/8s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>650,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>642,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Safeguard Scientifics, Inc. cv. sr. unsec. 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 size=2 face=sans-serif>10 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,800,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,872,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SAVVIS, Inc. cv. sr. unsec. notes 3s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>477,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>436,455</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TTM Technologies, Inc. cv. sr. unsec. notes 3 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 size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>680,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>675,325</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 size=2 face=sans-serif>11,663,704</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total convertible bonds and notes (cost $38,227,662)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$44,122,867</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CONVERTIBLE PREFERRED STOCKS (19.1%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Basic materials (1.7%)</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 size=2 face=sans-serif>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 size=2 face=sans-serif>pfd. (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$729,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vale Capital II $3.375 cv. pfd. (Cayman Islands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,643,788</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 size=2 face=sans-serif>2,372,873</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Communication services (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 size=2 face=sans-serif>Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,900</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,194,285</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Crown Castle International Corp. $3.125 cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,911,825</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 size=2 face=sans-serif>3,106,110</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer cyclicals (3.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>pfd. (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,700</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,818,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ford Motor Co. Capital Trust II $3.25 cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,058,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interpublic Group of Companies, Inc. (The) 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 size=2 face=sans-serif>5.25% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>877,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Retail Ventures, Inc. $3.312 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,346,710</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Six Flags, Inc. $1.813 cum. cv. pfd. (acquired</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3/16/04, cost $1,526,280) (Private) (F)(RES)(NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,200</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>632</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 size=2 face=sans-serif>5,102,042</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>Bunge, Ltd. 5.125% cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,740</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>839,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dole Food Automatic Exchange 144A 7.00% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,672</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>567,945</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Newell Financial Trust I $2.625 cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>28,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,044,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Universal Corp. 6.75% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>770</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>772,888</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 size=2 face=sans-serif>3,224,383</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Energy (1.0%)</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 size=2 face=sans-serif>Chesapeake Energy Corp. $4.50 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,200</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>724,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Whiting Petroleum Corp. $6.25 cum. cv. pfd</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,900</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>589,063</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 size=2 face=sans-serif>1,313,563</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Financials (4.4%)</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 size=2 face=sans-serif>Assured Guaranty, Ltd. $4.25 cv. pfd. (Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>420,840</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bank of America Corp. Ser. L, 7.25% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,762</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,632,053</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Citigroup, Inc. $7.50 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,700</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>681,948</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fannie Mae Ser. 04-1, 5.375% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>52,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hartford Financial Services Group, Inc. (The) $1.182</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>702,395</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Huntington Bancshares Ser. A, 8.50% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>596,934</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>850</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,233</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Seacoast Banking Corp. of Florida 15.00% 144A cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wells Fargo &amp; Co. Ser. L, 7.50% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>987,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>XL Capital, Ltd. $2.687 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,100</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>731,971</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 size=2 face=sans-serif>5,846,374</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Health care (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 size=2 face=sans-serif>Merck &amp; Co., Inc. 6.00% cum. cv. pfd</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,200</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,041,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Omnicare Capital Trust II Ser. B, $2.00 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>546,469</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 size=2 face=sans-serif>1,587,649</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<a name="_bclPageBorder11"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="46%"></TD>
     <TD width="15%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Utilities and power (2.3%)</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><FONT size=2 face=sans-serif>AES Trust III $3.375 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,190,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Corp. 4.99% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,150</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,134,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Great Plains Energy, Inc. $6.00 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,401</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>685,770</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,010,146</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total convertible preferred stocks (cost $30,145,494)</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 size=2 face=sans-serif>$25,563,140</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>COMMON STOCKS (2.5%)(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 size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AboveNet, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$4,953</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AES Corp. (The) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,265</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Alliance Imaging, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,866</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,655</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Alpha Natural Resources, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,375</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>52,759</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Media, Inc. 144A (F)(NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,597</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Avis Budget Group, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,210</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,039</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bohai Bay Litigation, LLC (Escrow) (F)(NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>406</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,379</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dana Holding Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,540</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,304</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,940</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,020</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FelCor Lodging Trust, Inc. (NON)(R)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,485</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>57,359</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fleetwood Enterprises, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>196,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freeport-McMoRan Copper &amp; Gold, Inc. Class B</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13,721</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>961,155</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interpublic Group of Companies, Inc. (The) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,160</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,436</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Legg Mason, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,611</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>374,799</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Louisiana-Pacific Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,905</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,693</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Macy's, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,970</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,174</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nortek, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,860</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pactiv Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,158</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PetroHawk Energy Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,123</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>79,285</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Public Service Enterprise Group, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,640</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Communications International, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,842</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>460,292</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sealy Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,773</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,012</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Service Corporation International</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,975</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Spectrum Brands, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,775</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,719</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sprint Nextel Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,115</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>98,060</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Stallion Oilfield Holdings, Ltd. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,302</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,644</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Thermadyne Holdings Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,310</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,569</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TRW Automotive Holdings Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,790</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vertis Holdings, Inc. (F)(NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,497</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total common stocks (cost $3,653,308)</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 size=2 face=sans-serif>$3,320,088</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>UNITS (0.8%)(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 size=2 face=sans-serif>Units</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>2009</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,540,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,031,800</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total units (cost $1,249,193)</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 size=2 face=sans-serif>$1,031,800</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>PREFERRED STOCKS (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 size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, Inc. 144A Ser. G, 7.00% cum. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>156</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$117,341</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total preferred stocks (cost $81,329)</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 size=2 face=sans-serif>$117,341</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GateHouse Media, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.36s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$90,841</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$41,191</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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 size=2 face=sans-serif>2.3416s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>33,896</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,370</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total senior loans (cost $118,372)</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 size=2 face=sans-serif>$56,561</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>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 vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Expiration date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Strike Price</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Warrants</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AboveNet, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9/8/10</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$24.00</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>New ASAT (Finance), Ltd. (Cayman Islands) (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2/1/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit Kappa Group PLC 144A (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10/1/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR 0.001</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,736</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vertis Holdings, Inc. (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10/18/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>309</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total warrants (cost $5,250)</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 size=2 face=sans-serif>$6,157</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>SHORT-TERM INVESTMENTS (3.7%)(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 size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Money Market Liquidity Fund - 0.24% (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,948,853</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$4,948,853</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total short-term investments (cost $4,948,853)</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 size=2 face=sans-serif>$4,948,853</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>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 SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total investments (cost $132,881,081) (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 size=2 face=sans-serif>$133,072,061</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="40%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD>
     <TD width="12%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=2 face=sans-serif>FORWARD CURRENCY CONTRACTS TO BUY at 5/31/10 (aggregate face value $249,575) (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Aggregate</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Delivery</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>face value</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>depreciation</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$232,765</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$249,575</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6/17/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$(16,810)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(16,810)</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="40%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="8%"></TD>
     <TD width="12%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=2 face=sans-serif>FORWARD CURRENCY CONTRACTS TO SELL at 5/31/10 (aggregate face value $1,014,687) (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Aggregate</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Delivery</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>face value</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>appreciation</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$946,431</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,014,687</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6/17/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$68,256</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$68,256</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<P style="TEXT-ALIGN: left"><B><I><FONT size=2 face=sans-serif>Key to holding's currency abbreviations</FONT></I></B></P>
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="10%"></TD>
     <TD width="89%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>EUR</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>NOK</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Norwegian Krone</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>USD / $</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United States Dollar</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><I><FONT size=2 face=sans-serif>Key to holding's abbreviations</FONT></I></B></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>FRB</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Floating Rate Bonds</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>FRN</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Floating Rate Notes</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>GMTN</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Global Medium Term Notes</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>MTN</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Medium Term Notes</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>MTNA</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Medium Term Notes Class A</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>MTNI</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Medium Term Notes Class I</FONT><FONT size=2>&nbsp;</FONT></TD></TR></TABLE></DIV>
<P style="MARGIN: 0px"><FONT size=2></FONT>&nbsp;</P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Notes to the fund's portfolio</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2009 through May 31, 2010 (the reporting period).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(a) Percentages indicated are based on net assets of $133,671,504.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(b) The aggregate identified cost on a tax basis is $133,051,411, resulting in gross unrealized appreciation and depreciation of $11,321,801 and $11,301,151, respectively, or net unrealized appreciation of $20,650.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(NON) Non-income-producing security.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at the close of the reporting period was $632, or less than 0.1% of net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(PIK) Income may be received in cash or additional securities at the discretion of the issuer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(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 the close of the reporting period. 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 porti
on 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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $2,262 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $34,836,527 and $32,190,705, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities valuation inputs.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(R) Real Estate Investment Trust.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>At the close of the reporting period, liquid assets totaling $16,072 have been segregated to cover certain derivatives contracts.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Debt obligations are considered secured unless otherwise indicated.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The dates shown on debt obligations are the original maturity dates.</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Security valuation: </FONT></B><FONT size=2 face=sans-serif>Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets and are classified as Level 1 securities. 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 and is generally categorized as a Level 2 security. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by ins
titutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings) . 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, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. 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 si
gnificant extent. 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 that 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 and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. Such valuations and procedures are reviewed periodically by the Trustee
s. 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 in a current sale and does not reflect an actual market price, which may be different by a material amount.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Forward currency contracts: </FONT></B><FONT size=2 face=sans-serif>The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed
, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. The fund had an average contract amount of approximately $1,400,000 on forward currency contracts for the reporting period.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Master agreements: </FONT></B><FONT size=2 face=sans-serif>The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties&#146; general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund&#146;s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund&#146;s portfolio. Collateral pledged by the fund is segregated by the fund&#146;s custodian and identified in the fund&#146;s portfolio. Collateral can be in the fo
rm of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund&#146;s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund&#146;s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty&#146;s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund&#146;s counterparties to elect early termination could impact the fund's future derivative activity.</FONT><
/P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>At the close of the reporting period, the fund had a net liability position of $16,810 on derivative contracts subject to the Master Agreements. There was no collateral posted by the fund.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>ASC 820 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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Level 1 &#150; Valuations based on quoted prices for identical securities in active markets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Level 3 &#150; Valuations based on inputs that are unobservable and significant to the fair value measurement.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The following is a summary of the inputs used to value the fund&#146;s net assets as of the close of the reporting period</FONT><FONT size=2 face=sans-serif>:</FONT></P>
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     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Valuation inputs</FONT></B><FONT size=2>&nbsp;</FONT></TD>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Investments in securities:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 1</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 2</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 3</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Common stocks:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Basic materials</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,019,848</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital goods</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,727</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></FONT>Communication services</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>563,305</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></FONT>Consumer cyclicals</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>391,541</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,700</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></FONT>Consumer staples</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>227,945</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></FONT>Energy</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>204,688</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,267</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></FONT>Financial</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>412,178</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></FONT>Health care</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,655</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></FONT>Utilities and power</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>201,225</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total common stocks</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,190,112</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>128,700</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,276</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Convertible bonds and notes</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,122,867</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Convertible preferred stocks</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,562,508</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>632</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Corporate bonds and notes</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53,897,415</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,839</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Preferred stocks</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,341</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Senior loans</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,561</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Units</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,031,800</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Warrants</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,420</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,736</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Short-term investments</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,948,853</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Totals by level</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$8,140,385</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$124,921,928</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$9,748</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Valuation inputs</FONT></B><FONT size=2>&nbsp;</FONT></TD>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Other financial instruments:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 1</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 2</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 3</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Forward currency contracts to buy</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$(16,810)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Forward currency contracts to sell</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>68,256</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Totals by level</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$--</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$51,446</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$--</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
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<P style="MARGIN: 0px"><FONT size=2></FONT>&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>At the start and/or close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Market Values of Derivative Instruments as of the close of the reporting period</FONT></B></P>
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     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif></FONT></B></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Asset derivatives</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Liability derivatives</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR height=20>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif></FONT></B></TD>
     <TD colSpan=2 noWrap align=right>
<HR SIZE=1>
<B><FONT size=2 face=sans-serif></FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>Derivatives not accounted for as hedging instruments under ASC 815</FONT></B><FONT size=2></FONT> <B><FONT size=2 face=sans-serif></FONT></B></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Market value</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Market value</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Foreign exchange contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$68,256</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$16,810</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Equity contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,157</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif></FONT></B></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$74,413</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$16,810</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
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</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px"><FONT size=2></FONT>&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com</FONT></P>
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<U><FONT size=2 face="sans-serif">Item 2. Controls and Procedures:</FONT></U></P>
<P style="text-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 style="text-align: left;">
<FONT size=2 face="sans-serif">(b) Changes in internal control over financial reporting: Not applicable</FONT></P>
<P style="text-align: left;">
<U><FONT size=2 face="sans-serif">Item 3. Exhibits:</FONT></U></P>
<P style="text-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 style="text-align: left;">
<U><FONT size=2 face="sans-serif">SIGNATURES</FONT></U></P>
<P style="text-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 style="text-align: left;">
<U><FONT size=2 face="sans-serif">Putnam High Income Securities Fund</FONT></U></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT></P>
<P style="text-align: left;">
<U><FONT size=2 face="sans-serif">/s/ Janet C. Smith</FONT></U><BR>
<FONT size=2 face="sans-serif">Janet C. Smith</FONT><BR>
<FONT size=2 face="sans-serif">Principal Accounting Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: July 29, 2010</FONT></P>
<P style="text-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 style="text-align: left;">
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT></P>
<P style="text-align: left;">
<U><FONT size=2 face="sans-serif">/s/ Jonathan S. Horwitz</FONT></U><BR>
<FONT size=2 face="sans-serif">Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: July 29, 2010</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT></U><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: July 29, 2010</FONT></P>
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<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Certifications</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P style="TEXT-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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>2. Based on my knowledge, each report does not contain any untrue statements of a material </FONT><FONT size=2 face=sans-serif>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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>/s/ Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face=sans-serif>_____________________________</FONT><BR>
<FONT size=2 face=sans-serif>Date: July 28, 2010</FONT><BR>
<FONT size=2 face=sans-serif>Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face=sans-serif>Principal Executive Officer</FONT></P>
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<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Certifications</FONT></U></P>
<P style="TEXT-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 style="TEXT-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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>2. Based on my knowledge, each report does not contain any untrue statements of a material </FONT><FONT size=2 face=sans-serif>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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-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 style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face=sans-serif>_______________________________</FONT><BR>
<FONT size=2 face=sans-serif>Date: July 28, 2010</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 noWrap align=center><FONT size=2 face=sans-serif>Attachment A</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT size=2 face=sans-serif>NQ</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=1 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT size=2 face=sans-serif>Period (s) ended May 31, 2010</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT></TD></TR>
<TR>
     <TD><FONT size=2>&nbsp;</FONT></TD>
     <TD></TD></TR>
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     <TD></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Health Care Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam High Yield Trust</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam International Capital Opportunities Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam High Income Securities Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Natural Resources Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Floating Rate Income Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Income Strategies Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Small Cap Value Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Consumer Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Energy Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Financials Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Industrials Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Technology Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Telecommunications Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Emerging Markets Equity Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Utilities Fund</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=3 face=sans-serif></FONT></TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
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