<tr class="tableHeaderDark" height="18" valign="top">
<td class="tableHeaderDarkCenter">CUSIP/ISIN</td>
<td class="tableHeaderDarkCenter">Stock Ticker</td>
<td class="tableHeaderDarkCenter">MLCC Code</td>
<td class="tableHeaderDarkCenter">Bond Ticker</td>
<td class="tableHeaderDarkCenter">Issuer Name</td>
<td class="tableHeaderDarkCenter">Convertible Price(USD)</td>
<td class="tableHeaderDarkCenter">Par Amount</td>
<td class="tableHeaderDarkCenter">Coupon</td>
<td class="tableHeaderDarkCenter">Maturity/Mandatory Conversion Date</td>
<td class="tableHeaderDarkCenter">Outstanding Amt ($MM)</td>
<td class="tableHeaderDarkCenter">Bonds/Shrs Outstanding</td>
<td class="tableHeaderDarkCenter">Market Value($MM)</td>
<td class="tableHeaderDarkCenter">Index Weight(%)</td>
<td class="tableHeaderDarkCenter">YTM(%)</td>
<td class="tableHeaderDarkCenter">YTP(%)</td>
<td class="tableHeaderDarkCenter">Greater of YTM/YTP(%)</td>
<td class="tableHeaderDarkCenter">Duration</td>
<td class="tableHeaderDarkCenter">Currency</td>
<td class="tableHeaderDarkCenter">Country</td>
<td class="tableHeaderDarkCenter">Series</td>
<td class="tableHeaderDarkCenter">Accrued Interest</td>
<td class="tableHeaderDarkCenter">Current Yield(%)</td>
<td class="tableHeaderDarkCenter">Yield Advantage(%)</td>
<td class="tableHeaderDarkCenter">Moody Rating</td>
<td class="tableHeaderDarkCenter">S&P Rating</td>
<td class="tableHeaderDarkCenter">Avg. Rating</td>
<td class="tableHeaderDarkCenter">Internal Rating</td>
<td class="tableHeaderDarkCenter">Collateral Type</td>
<td class="tableHeaderDarkCenter">Status</td>
<td class="tableHeaderDarkCenter">Security Type</td>
<td class="tableHeaderDarkCenter">Announce Date</td>
<td class="tableHeaderDarkCenter">Issue Date</td>
<td class="tableHeaderDarkCenter">At-Issue Yield</td>
<td class="tableHeaderDarkCenter">At-Issue Prem</td>
<td class="tableHeaderDarkCenter">Delta</td>
<td class="tableHeaderDarkCenter">Gamma</td>
<td class="tableHeaderDarkCenter">RHO</td>
<td class="tableHeaderDarkCenter">Theoretical Value</td>
<td class="tableHeaderDarkCenter">Theoretical Discount (%)</td>
<td class="tableHeaderDarkCenter">Cheap (%)</td>
<td class="tableHeaderDarkCenter">Conversion Ratio</td>
<td class="tableHeaderDarkCenter">Parity Cash Adjustment</td>
<td class="tableHeaderDarkCenter">Payback</td>
<td class="tableHeaderDarkCenter">Implied Volatility(%)</td>
<td class="tableHeaderDarkCenter">Implied Spread</td>
<td class="tableHeaderDarkCenter">Parity Delta</td>
<td class="tableHeaderDarkCenter">Conversion Premium(%)</td>
<td class="tableHeaderDarkCenter">Investment Value Premium(%)</td>
<td class="tableHeaderDarkCenter">Investment Value(Bond floor)</td>
<td class="tableHeaderDarkCenter">Price to Par</td>
<td class="tableHeaderDarkCenter">Next Put Date</td>
<td class="tableHeaderDarkCenter">Yrs to Put</td>
<td class="tableHeaderDarkCenter">Yrs to Mat/Mand Conv Date</td>
<td class="tableHeaderDarkCenter">Yrs to Mat/Yrs to Put</td>
<td class="tableHeaderDarkCenter">Years to Call</td>
<td class="tableHeaderDarkCenter">1-Day Total Return(%)</td>
<td class="tableHeaderDarkCenter">1-WK Total Return(%)</td>
<td class="tableHeaderDarkCenter">MTD Total Return(%)</td>
<td class="tableHeaderDarkCenter">QTD Total Return(%)</td>
<td class="tableHeaderDarkCenter">YTD Total Return(%)</td>
<td class="tableHeaderDarkCenter">Index Sector</td>
<td class="tableHeaderDarkCenter">Industry</td>
<td class="tableHeaderDarkCenter">CS Sector L1</td>
<td class="tableHeaderDarkCenter">CS Sector L2</td>
<td class="tableHeaderDarkCenter">CS Sector L3</td>
<td class="tableHeaderDarkCenter">CS Sector L4</td>
<td class="tableHeaderDarkCenter">CS Sector L5</td>
<td class="tableHeaderDarkCenter">ML Sector L1</td>
<td class="tableHeaderDarkCenter">ML Sector L2</td>
<td class="tableHeaderDarkCenter">ML Sector L3</td>
<td class="tableHeaderDarkCenter">ML Sector L4</td>
<td class="tableHeaderDarkCenter">GIC Sector</td>
<td class="tableHeaderDarkCenter">GIC Industry Group</td>
<td class="tableHeaderDarkCenter">GIC Industry</td>
<td class="tableHeaderDarkCenter">GIC Sub Industry</td>
<td class="tableHeaderDarkCenter">Bloomberg Sector</td>
<td class="tableHeaderDarkCenter">Stock Price(USD)</td>
<td class="tableHeaderDarkCenter">Stock Yield</td>
<td class="tableHeaderDarkCenter">1-Day Equity Total Return(%)</td>
<td class="tableHeaderDarkCenter">1-WK Equity Total Return(%)</td>
<td class="tableHeaderDarkCenter">MTD Equity Total Return(%)</td>
<td class="tableHeaderDarkCenter">QTD Equity Total Return(%)</td>
<td class="tableHeaderDarkCenter">YTD Equity Total Return(%)</td>
<td class="tableHeaderDarkCenter">Eq Mkt Value($MM)</td>
</tr>
<tr valign="top" >
<td class="tableCellLeftRpt" style="mso-width-source:auto;mso-number-format:\@">440694AA5</td>
<td class="tableCellLeftRpt" >ZINC</td>
<td class="tableCellRightRpt" >7410</td>
<td class="tableCellLeftRpt" >ZINC</td>
<td class="tableCellLeftRpt" >HORSEHEAD HOLDING CORP</td>
<td class="tableCellRightRpt" >99.625</td>
<td class="tableCellRightRpt" >1000</td>
<td class="tableCellRightRpt" > 3.80</td>
<td class="tableCellRightRpt" >01-Jul-2017</td>
<td class="tableCellRightRpt" >100</td>
<td class="tableCellRightRpt" > 100,000</td>
<td class="tableCellRightRpt" >99.625</td>
<td class="tableCellRightRpt" >.052856907327809700031209056384503770654</td>
<td class="tableCellRightRpt" > 3.88</td>
<td class="tableCellRightRpt" >N/A</td>
<td class="tableCellRightRpt" > 3.88</td>
<td class="tableCellRightRpt" >2.34</td>
<td class="tableCellLeftRpt" >USD</td>
<td class="tableCellLeftRpt" >US</td>
<td class="tableCellLeftRpt" >144A</td>
<td class="tableCellRightRpt" > 0.10</td>
<td class="tableCellRightRpt" > 3.81</td>
<td class="tableCellRightRpt" >null</td>
<td class="tableCellLeftRpt" >NA</td>
<td class="tableCellLeftRpt" >NA</td>
<td class="tableCellLeftRpt" >NR</td>
<td class="tableCellLeftRpt" >B5</td>
<td class="tableCellLeftRpt" >SENIOR NOTES</td>
<td class="tableCellLeftRpt" >ISSUED </td>
<td class="tableCellLeftRpt" >Bond</td>
<td class="tableCellRightRpt" >22-Jul-2011</td>
<td class="tableCellRightRpt" >27-Jul-2011</td>
<td class="tableCellRightRpt" > 100.00</td>
<td class="tableCellRightRpt" > 35.26</td>
<td class="tableCellRightRpt" >0.47</td>
<td class="tableCellRightRpt" >0.25</td>
<td class="tableCellRightRpt" >-.0233593</td>
<td class="tableCellRightRpt" >101.83</td>
<td class="tableCellRightRpt" > 1.02</td>
<td class="tableCellRightRpt" >2.16</td>
<td class="tableCellRightRpt" > 66.66</td>
<td class="tableCellRightRpt" >null</td>
<td class="tableCellRightRpt" > 8.42</td>
<td class="tableCellRightRpt" >35.79</td>
<td class="tableCellRightRpt" > 985.31</td>
<td class="tableCellRightRpt" >0.70</td>
<td class="tableCellRightRpt" > 47.37</td>
<td class="tableCellRightRpt" > 29.93</td>
<td class="tableCellRightRpt" > 76.68</td>
<td class="tableCellRightRpt" > 9.96</td>
<td class="tableCellRightRpt" > </td>
<td class="tableCellRightRpt" >N/A</td>
<td class="tableCellRightRpt" >4.99</td>
<td class="tableCellRightRpt" > 4.99</td>
<td class="tableCellRightRpt" >null</td>
<td class="tableCellRightRpt" >-0.8603</td>
<td class="tableCellRightRpt" > 5.6406</td>
<td class="tableCellRightRpt" > 1.3237</td>
<td class="tableCellRightRpt" > 1.3237</td>
<td class="tableCellRightRpt" > 5.5281</td>
<td class="tableCellLeftRpt" >Materials</td>
<td class="tableCellLeftRpt" >Divers Metals & Mining</td>
<td class="tableCellLeftRpt" >Corporates</td>
<td class="tableCellLeftRpt" >Industrials</td>
<td class="tableCellLeftRpt" >Basic Materials</td>
<td class="tableCellLeftRpt" >Metals & Mining</td>
<td class="tableCellLeftRpt" >Non-ferrous Metals & Mining</td>
<td class="tableCellLeftRpt" >Corporate</td>
<td class="tableCellLeftRpt" >Industrials</td>
<td class="tableCellLeftRpt" >Basic Industry</td>
<td class="tableCellLeftRpt" >Metals/Mining Excluding Steel</td>
<td class="tableCellLeftRpt" >Materials</td>
<td class="tableCellLeftRpt" >Materials</td>
<td class="tableCellLeftRpt" >Metals & Mining</td>
<td class="tableCellLeftRpt" >Diversified Metals & Mining</td>
<td class="tableCellLeftRpt" >Non-Ferrous Metals</td>
<td class="tableCellRightRpt" >10.14</td>
<td class="tableCellRightRpt" >null</td>
<td class="tableCellRightRpt" >-2.3121</td>
<td class="tableCellRightRpt" > 10.0978</td>
<td class="tableCellRightRpt" > 1.8073</td>
<td class="tableCellRightRpt" > 1.8073</td>
<td class="tableCellRightRpt" > 12.5417</td>
<td class="tableCellRightRpt" > 444.21</td>
</tr>