Interim Report -16-
29 August 2009 - 1:58AM
UK Regulatory
| CMO Ser 2006-2 | 4,366,761 | 2,023,594 | 3.60 |
+-------------------------------------+---------------+--------------------+---------------+
| CMO Venture VII | 2,000,000 | 832,139 | 1.48 |
+-------------------------------------+---------------+--------------------+---------------+
| Dynasty IV Synthetic CLO | 3,000,000 | 748,583 | 1.33 |
+-------------------------------------+---------------+--------------------+---------------+
| Funding III | 2,000,000 | - | - |
+-------------------------------------+---------------+--------------------+---------------+
| Glacier Funding CDO III | 3,000,000 | - | - |
+-------------------------------------+---------------+--------------------+---------------+
| Global Leveraged Income | 1,000,000 | 94,679 | 0.17 |
+-------------------------------------+---------------+--------------------+---------------+
| Orient Point | 3,000,000 | - | - |
+-------------------------------------+---------------+--------------------+---------------+
| PCDO 2A (Pacifica CDO Ltd) | 500,000 | 228,140 | 0.41 |
+-------------------------------------+---------------+--------------------+---------------+
| Symphony CLO VI | 2,000,000 | 841,264 | 1.50 |
+-------------------------------------+---------------+--------------------+---------------+
| Tiers Beach Street Synthetic CLO | 5,500,000 | 2,235,055 | 3.98 |
+-------------------------------------+---------------+--------------------+---------------+
| Veer Cash Flow CLO Ltd | 2,791,558 | 1,771,280 | 3.15 |
+-------------------------------------+---------------+--------------------+---------------+
| | | 10,679,770 | 19.01 |
+-------------------------------------+---------------+--------------------+---------------+
| | | | |
+-------------------------------------+---------------+--------------------+---------------+
UNAUDITED SCHEDULE OF INVESTMENTS - CONSOLIDATED (Continued)
As at 30 June 2009
+-------------------------------------+--------------+--------------------+---------------+
| | Nominal | | % of Net |
| | | | |
+-------------------------------------+--------------+--------------------+---------------+
| | Holdings | Market Value EUR | Asset Value |
| | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Collateralised Debt Obligations | | | |
| (continued) | | | |
+-------------------------------------+--------------+--------------------+---------------+
| | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Region of trade | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Europe | | | |
+-------------------------------------+--------------+--------------------+---------------+
| | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Country of incorporation | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Ireland (December 2008: 7.33%) | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Alpstar CLO | 1,000,000 | 188,300 | 0.34 |
+-------------------------------------+--------------+--------------------+---------------+
| Egret Funding CLO | 2,000,000 | 779,000 | 1.39 |
+-------------------------------------+--------------+--------------------+---------------+
| Eurocredit CDO IV | 1,000,000 | 314,900 | 0.56 |
+-------------------------------------+--------------+--------------------+---------------+
| Harvest CLO IV | 500,000 | 105,050 | 0.19 |
+-------------------------------------+--------------+--------------------+---------------+
| RMF Euro CDO III | 2,000,000 | 497,600 | 0.89 |
+-------------------------------------+--------------+--------------------+---------------+
| RMF Euro CDO IV | 2,400,000 | 1,063,200 | 1.88 |
+-------------------------------------+--------------+--------------------+---------------+
| Versailles CLO ME | 1,500,000 | 597,000 | 1.06 |
+-------------------------------------+--------------+--------------------+---------------+
| | | 3,545,050 | 6.31 |
+-------------------------------------+--------------+--------------------+---------------+
| | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Luxembourg (December 2008: 0.79%) | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Harvest CLO II | 1,250,000 | 430,625 | 0.77 |
+-------------------------------------+--------------+--------------------+---------------+
| | | 430,625 | 0.77 |
+-------------------------------------+--------------+--------------------+---------------+
| | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Netherlands (December 2008: 8.24%) | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Duchess | 1,000,000 | 323,000 | 0.58 |
+-------------------------------------+--------------+--------------------+---------------+
| Eurocredit CDO II BV | 1,000,000 | 5,000 | 0.01 |
+-------------------------------------+--------------+--------------------+---------------+
| Euro-Galaxy CLO | 2,000,000 | 423,000 | 0.75 |
+-------------------------------------+--------------+--------------------+---------------+
| Gresham Capital CLO | 1,138,000 | 31,750 | 0.06 |
+-------------------------------------+--------------+--------------------+---------------+
| Harbourmaster CLO | 1,000,000 | 70,700 | 0.13 |
+-------------------------------------+--------------+--------------------+---------------+
| Leopard CLO | 1,500,000 | 558,000 | 0.99 |
+-------------------------------------+--------------+--------------------+---------------+
| Leopard CLO V | 5,000,000 | 2,050,000 | 3.65 |
+-------------------------------------+--------------+--------------------+---------------+
| Leveraged Finance Europe Capital | 2,000,000 | 584,400 | 1.04 |
| III | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Panther III-XE | 2,000,000 | 411,000 | 0.73 |
+-------------------------------------+--------------+--------------------+---------------+
| Skell Rock 2006-1 X | 1,385,000 | 394,725 | 0.70 |
+-------------------------------------+--------------+--------------------+---------------+
| | | 4,851,575 | 8.64 |
+-------------------------------------+--------------+--------------------+---------------+
| | | | |
+-------------------------------------+--------------+--------------------+---------------+
| Total Collateralised Debt Obligations | 41,261,393 | 73.46 |
| (December 2008: 63.72%) | | |
+----------------------------------------------------+--------------------+---------------+
| | | | |
+-------------------------------------+--------------+--------------------+---------------+
| | | | |
+-------------------------------------+--------------+--------------------+---------------+
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