GSAA HET 2005-15, Tranche M2 - JPMorgan Investment Funds / Income Oppt'y Fund

Unaudited Semi-Annual Report
JPMorgan Investment Funds

Socit dInvestissement Capital Variable, Luxembourg
30 June 2011
Report for the attention of Swiss investors
Certain of the sub-funds of the Fund are not authorised for offer or distribution in or from Switzerland.
Accordingly, no reference is made to these sub-funds in this semi-annual report. The attention of the investors
is drawn to the fact that certain figures in this semi-annual report are expressed on a consolidated basis and,
thus, include the assets of those sub-funds which are not registered in Switzerland.

Unaudited Semi-Annual Report
As at 30 June 2011
Contents
Board of Directors
Management and Administration
1
2
Unaudited Financial Statements and Statistical Information

Combined Statement of Net Assets
Combined Statement of Operations and Changes in Net Assets
Statement of Changes in the Number of Shares
Statistical Information
Notes to the Unaudited Financial Statements

Schedule of Investments
JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund I
JPMorgan Investment Funds - Euro Liquid Market Fund
JPMorgan Investment Funds - Europe Bond Fund
JPMorgan Investment Funds - Europe Recovery Fund
JPMorgan Investment Funds - Europe Select Equity Fund
JPMorgan Investment Funds - Europe Strategic Dividend Fund
JPMorgan Investment Funds - Global Bond Fund (EUR)
JPMorgan Investment Funds - Global Bond Fund (USD)
JPMorgan Investment Funds - Global Capital Appreciation Fund
JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)
JPMorgan Investment Funds - Global Capital Preservation Fund (USD)
JPMorgan Investment Funds - Global Convertibles Fund (USD)
JPMorgan Investment Funds - Global Dividend Fund
JPMorgan Investment Funds - Global Enhanced Bond Fund
JPMorgan Investment Funds - Global Financials Fund
JPMorgan Investment Funds - Global High Yield Bond Fund
JPMorgan Investment Funds - Global Income Fund
JPMorgan Investment Funds - Global Select 130/30 Fund
JPMorgan Investment Funds - Global Select Equity Fund
JPMorgan Investment Funds - Global Total Return Fund
JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund
JPMorgan Investment Funds - Income Opportunity Fund
JPMorgan Investment Funds - Japan 50 Equity Fund
JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund
JPMorgan Investment Funds - Japan Focus Fund
JPMorgan Investment Funds - Japan Select Equity Fund
JPMorgan Investment Funds - Japan Strategic Value Fund
JPMorgan Investment Funds - JF Asia ex-Japan Fund
JPMorgan Investment Funds - US Bond Fund
JPMorgan Investment Funds - US Equity Fund
JPMorgan Investment Funds - US Select Equity Fund
5-9
11-15
16-19
20-23
24-30
31
34
36
39
41
44
49
53
58
64
69
73
77
80
85
88
93
103
107
111
113
117
135
137
139
141
143
145
146
150
153
Appendix: Unaudited Additional Disclosures

Fund Total Expense Ratios
Summary of Investment Objectives of the Sub-Funds
Performance and Volatility
Interest Rate Received/(Charged) on Bank Accounts
Sub-Fund Share Classes Subject to Taxe dAbonnement Rate of 0.01%
Sub-Fund Share Classes Exempt from Taxe dAbonnement
Portfolio Turnover Ratio
Historical Statements of Changes in the Number of Shares
156
161
163
168
168
168
169
170
For additional information please consult www.jpmorganassetmanagement.com
No subscriptions can be received solely on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus, the current simplified prospectus,
supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report.
The current prospectus, the current simplified prospectus, the unaudited semi-annual reports, as well as the audited annual report can be obtained free of charge from the
registered office of the SICAV and from local paying agent.
Following a review of the disclosure of Investment Manager(s) within the Prospectus and Simplified Prospectus, the details of the Investment Manager(s) for the individual
Sub-Funds will now be available from the Management Company at its registered office, or from www.jpmorganassetmanagement.com.

Board of Directors
As at 30 June 2011
Chairman
Iain O.S. Saunders
Banker
Duine, Ardfern
Argyll PA31 8QN
United Kingdom
Deputy Chairman
Pierre Jaans
Economist
3, rue de Kahler
L-8356 Garnich
Grand Duchy of Luxembourg
Directors
Jacques Elvinger
Partner
Elvinger, Hoss & Prussen
2, place Winston Churchill
L-2014 Luxembourg
BP 425
Andrea L. Hazen (until 31 March 2011)

Managing Director
JPMorgan Asset Management (UK) Limited
20 Finsbury Street
London EC2Y 9AQ
United Kingdom
James B. Broderick (from 31 March 2011)
Managing Director
20 Finsbury Street
London EC2Y 9AQ
United Kingdom
Jean Frijns
Professor, Finance and Investments
Antigonelaan 2
NL-5631 LR Eindhoven
The Netherlands
Berndt May
Managing Director
JPMorgan Asset Management (Europe) S. r.l.
Austrian Branch
Fhrichgasse 8
A-1010 Vienna
Austria
Robert Van der Meer

Professor of Finance
12 Lange Vijverberg
NL-2513 AC The Hague
The Netherlands
Changes to the Composition of the Board of Directors

On 31 March 2011, Ms Andrea L. Hazen resigned from the Board of Directors. In her place, Mr James B. Broderick was co-opted as a Director on
the same day.
Registered Office
European Bank & Business Centre
6, route de Trves
L-2633 Senningerberg

Management and Administration
As at 30 June 2011
Management Company, Registrar and Transfer Agent,

Global Distributor and Domiciliary Agent
6, route de Trves
Investment Managers
J.P. Morgan Investment Management Inc.
245 Park Avenue
New York, NY 10167
United States of America
JPMorgan Asset Management (Japan) Limited
Tokyo Building 7-3
Marunouchi 2-Chome
Chiyoda-Ku
Tokyo 100-6432, Japan
20 Finsbury Street
London EC2Y 9AQ
United Kingdom
JF Asset Management Limited
21st Floor, Chater House
8 Connaught Road
Central, Hong Kong
Highbridge Capital Management LLC
9 West 57th Street
New York, NY 10019
JPMorgan Asset Management (Singapore) Limited
168 Robinson Road
17th Floor, Capital Tower
Singapore 068912
Custodian, Corporate and Administrative Agent
J.P. Morgan Bank Luxembourg S.A.
6, route de Trves
Auditor
PricewaterhouseCoopers S. r.l.
400, Route dEsch
BP 1443
L-1014 Luxembourg
Legal Adviser
Elvinger, Hoss & Prussen
2, place Winston Churchill
L-2014 Luxembourg
This page has been left blank intentionally

Combined Statement of Net Assets
As at 30 June 2011
JPMorgan
Investment Funds
Combined
USD
Emerging Markets
Corporate Bond
Portfolio Fund I
USD
Euro
Liquid Market
Fund
EUR
Assets
Investments in Securities at Market Value
Acquisition Cost:
Investment in TBAs at Market Value (1)
Cash at Bank
Time Deposits and Cash Equivalents
Amounts Receivable on Sale of Investments
Amounts Receivable on Sale of TBAs (1)
Amounts Receivable on Subscriptions
Interest and Dividends Receivable, Net
Tax Reclaims Receivable
Fee Waiver (2)
Other Receivables
Unrealised Net Gain on Forward Foreign Exchange Contracts
Unrealised Net Gain on Financial Futures Contracts
Derivatives Instruments at Market Value
20,474,724,532
19,902,520,915
336,877,062
765,967,166
418,900,084
94,418,142
617,659,428
74,797,778
101,943,538
1,421,041
64,871
128,724
36,358,791
1,760,034
13,272,092
120,487,582
115,476,587
26,251
2,110,529
-
63,732,564
63,732,564
173,655
92,100,000
1,247,175
85,359
-
Total Assets
22,938,293,283
122,624,362
157,338,753
447,258
390,826,571
178,150,678
563,439,133
89,241,352
20,343,032
10,100,052
5,769,638
77,299,767
1,019,552
91,359,932
2,375,812
136,725
15,498
128,488
-
43,198,636
532,710
30,670
14,525
-
Total Liabilities
1,427,996,965
2,656,523
43,776,541
Total Net Assets
21,510,296,318
119,967,839
113,562,212
Historical Total Net Assets

31 December 2010
31 December 2009
31 December 2008
31 December 2007
18,277,112,582
17,111,214,731
12,451,274,404
21,371,859,183
113,202,329
-
81,069,824
199,851,284
440,144,814
322,262,690
Liabilities
Bank Overdraft
Open Short Positions on TBAs (1)
Amounts Payable on Purchase of Investments
Amounts Payable on Purchase of TBAs (1)
Amounts Payable on Redemptions
Management and Advisory Fees Payable
Performance Fees
Other Payables
Unrealised Net Loss on Forward Foreign Exchange Contracts
Unrealised Net Loss on Financial Futures Contracts
Derivatives Instruments at Market Value
(1) Please refer to Note 2 i).

(2) Please refer to Note 3 a).
The accompanying notes form an integral part of these Financial Statements.

Combined Statement of Net Assets (continued)
As at 30 June 2011
Europe
Bond Fund
EUR
Europe
Recovery
Fund
EUR
Europe Select
Equity Fund
EUR
Europe Strategic
Dividend
Fund
EUR
Global Bond
Fund (EUR)
EUR
Global Bond
Fund (USD)
USD
31,953,151
33,225,184
572,217
959,345
518,165
3,843
-
242,302,708
233,599,709
8,977,277
7,500,401
54,435
306,876
226,755
-
324,432,985
319,644,448
1,439,838
1,752,102
462,890
110,287
8,422
345,554
2,730
-
564,358,232
540,529,876
35,422,983
237,315
479,861
1,468,639
328,347
464
707,639
301,050
-
63,132,487
65,191,836
1,557,119
1,387,825
10,365
1,243,441
3,200
100,688
12,387
-
55,396,344
54,857,976
1,444,461
1,083,010
150
438,890
5,228
-
34,006,721
259,368,452
328,554,808
603,304,530
67,447,512
58,368,083
52,576
20,531
9,530
42,898
4,056
-
19,247,431
410,348
281,646
110,775
-
183,242
2,490,217
191,050
212,505
37,960
-
2,185,539
745,355
79,821
-
13,133
36,378
1,403,853
-
18,753
462,368
196,354
9,118
-
129,591
20,050,200
3,114,974
3,010,715
1,453,364
686,593
33,877,130
239,318,252
325,439,834
600,293,815
65,994,148
57,681,490
36,739,031
67,991,833
72,856,344
482,277,975
262,251,751
221,102,757
162,279,387
561,915,412
229,438,958
235,863,162
87,650,033
329,258,620
381,961,567
240,930,029
73,662,946
151,500,345
69,109,803
73,496,303
110,901,698
867,821,768
59,153,879
60,110,609
71,738,748
398,540,721

As at 30 June 2011
Global Capital
Appreciation
Fund
EUR
Global Capital
Preservation
Fund (EUR)
EUR
Global Capital
Preservation
Fund (USD)
USD
Global
Convertibles
Fund (USD)
USD
Global
Dividend
Fund
USD
Global
Enhanced Bond
Fund
EUR
Global
Financials Fund
USD
Global
High Yield Bond
Fund
USD
89,847,470
79,293,556
5,428,063
7,600,000
783,725
97,570
197,606
12,115
3,933
17,993
113,345
1,017,702,175
1,019,019,608
64,873,253
110,825,587
4,730,491
477,359
6,577,658
11,556
13,368,344
480,465
7,244,845
57,680,811
55,777,177
18,511,360
105,988
268,136
350,652
3,381
5,228
13,367
18,408
421,536
539,453,023
521,058,985
234,482
1,501,334
304,599
2,606,009
261,155
-
99,629,068
95,407,348
3,451,860
1,500,354
145,729
25,319
4,006
-
19,498,207
20,912,801
4,922,894
951,117
158,959
14,332
235,429
65,227
6,347
101,985
-
175,341,375
173,743,264
741,832
196,403
304,149
682,782
34,394
234,484
-
1,468,714,212
1,447,252,197
113,858,470
1,460,112
13,662,952
28,931,532
13,018,518
1,435,620
104,101,820
1,226,291,733
77,378,867
544,360,602
104,756,336
25,954,497
177,535,419
1,641,081,416
896,138
398,090
93,280
6
18,024
330,169
189,242
-
2,599,652
3,294,490
1,413,297
131,902
-
25,626
472,222
84,600
17,861
493,040
-
8,956,455
1,963,874
664,320
70,510
-
182,134
3,117,172
8,638
118,634
23,443
63,407
-
288,197
4,953,903
41,651
14,794
9,551
7,383
-
377,148
330,442
240,466
34,147
-
1,294,100
21,741,919
1,202,805
194,548
-
1,924,949
7,439,341
1,093,349
11,655,159
3,513,428
5,315,479
982,203
24,433,372
102,176,871
1,218,852,392
76,285,518
532,705,443
101,242,908
20,639,018
176,553,216
1,616,648,044
112,495,066
113,079,859
141,277,213
233,001,215
1,660,249,536
1,957,647,449
1,861,444,396
2,659,485,093
73,808,677
74,449,543
67,565,801
56,022,839
511,603,002
533,842,291
150,459,822
204,045,393
52,512,474
37,054,753
2,053,246
2,994,964
24,060,097
20,893,798
31,694,955
172,270,768
185,870,709
127,331,667
115,313,948
173,591,902
1,227,898,130
450,507,539
145,157,681
226,958,050

As at 30 June 2011
Global
Income
Fund
EUR
Global Select
130/30
Fund
USD
Global Select
Equity Fund
USD
361,518,011
366,042,210
8,843,693
7,599,060
3,614,831
3,711,437
49,087
4,700
-
20,393,016
18,362,539
5,827
140,683
1,274
32,541
3,311
14,368
69,173
140,986
218,258,086
201,874,340
1,106,925
31,703
67,653
253,103
31,645
81,356
-
42,786,771
42,601,111
15,863,549
891,795
113,633
28,024
78,032
4,249
385,340,819
20,801,179
219,830,471
8,072,785
1,018,093
447,260
54,726
3,130,030
-
39,000
559
28,399
192
20,025
-
12,722,894
Global Highbridge Statistical

Total Return
Market Neutral
Fund
Fund
EUR
EUR
Income
Opportunity
Fund
USD
Japan
50 Equity Fund
JPY
Japan Behavioural
Finance Equity
Fund
USD
788,816,471
792,608,654
53,752,241
70,000,000
237,804
1,554,702
855
-
7,464,432,184
7,353,171,396
316,822,537
240,432,781
640,128
617,638,692
23,567,568
32,369,465
41,825
-
18,922,137,345
21,135,804,030
203,761,499
227,081,853
1,415,704
2,547,617
-
5,413,641
4,779,535
244,506
12,861
140
3,263
5,987
-
59,766,053
914,362,073
8,695,945,180
19,356,944,018
5,680,398
19,010
715,175
163,342
38,551
-
191,902
96,045
11,734
122,034
-
1,342,657
1,126,059
163,899
2,741,175
7,809,786
390,826,571
6,388,258
543,294,763
31,866,862
5,645,864
9,795,340
962,849
61,554,867
327,563
80,060,343
232,672,834
2,418,379
9,206,497
2,490,861
913,244
-
92,671
5,808
7,537
-
88,175
936,078
421,715
13,183,576
1,130,723,280
247,701,815
106,016
372,617,925
20,713,004
218,894,393
59,344,338
901,178,497
7,565,221,900
19,109,242,203
5,574,382
154,763,536
41,364,167
11,800,343
-
23,983,169
26,303,236
22,697,497
84,167,009
243,047,770
251,774,985
115,122,494
190,919,912
75,080,068
115,823,178
98,861,072
259,445,423
930,858,882
2,437,426,403
2,842,761,494
2,536,907,979
4,713,873,852
1,680,639,104
120,730,895
16,807,790
25,533,477,954
13,989,659,304
31,690,006,989
61,783,248,670
5,133,970
5,261,171
43,080,245
100,132,088

As at 30 June 2011
Japan
Focus Fund
JPY
Japan
Select Equity
Fund
JPY
Japan
Strategic Value
Fund
JPY
JF Asia
ex-Japan
Fund
USD
US Bond
Fund
USD
US
Equity Fund
USD
US Select
Equity
Fund
USD
12,712,928,170
13,832,400,033
133,103,263
59,655,835
1,183,652,568
2,200,380
-
34,124,182,325
40,044,965,817
649,798,212
501,771,407
148,525,272
10,409,490
5,551,727
-
7,601,376,280
7,477,930,624
300,889,079
19,489,774
4,507,504
2,794,982
200,427
-
1,247,825,073
1,059,281,052
23,444,485
10,993,053
1,279,165
3,824,590
-
37,177,058
49,322,483
12,931,836
2,706,081
1,623,596
50
229,772
5,272
7,520
-
217,306,151
199,451,535
8,069,966
119,310
2,926,981
144,858
62,848
125,025
-
2,055,213,213
1,827,770,056
15,612,684
14,043,326
1,917,499
1,590,979
96,192
566
370,563
-
14,091,540,216
35,440,238,433
7,929,258,046
1,287,366,366
54,681,185
228,755,139
2,088,845,022
1,254,466,874
12,045,375
8,469,507
24,542,065
1,589,223
150,000
-
599,013,182
63,366,936
23,782,220
3,833,007
-
204,004,026
1,049,596
4,020,887
1,735,935
-
3,867,296
7,437,445
1,177,753
153,249
-
1,614,150
12,976,815
8,324
29,041
374,443
1,766
-
390,173
5,008,072
286,454
33,442
255,032
-
9,833,814
3,815,001
2,753,381
194,225
4,342,703
-
1,301,263,044
689,995,345
210,810,444
12,635,743
15,004,539
5,973,173
20,939,124
12,790,277,172
34,750,243,088
7,718,447,602
1,274,730,623
39,676,646
222,781,966
2,067,905,898
9,947,587,849
7,855,615,201
6,075,321,703
-
44,260,575,560
50,076,159,171
68,599,425,040
150,431,662,753
9,796,103,920
6,255,065,891
1,205,579,034
1,040,793,061
1,604,183,115
1,595,870,962
548,315,938
1,570,642,348
40,785,397
45,776,146
65,585,585
921,294,102
144,239,604
94,195,327
21,975,125
36,931,277
2,172,590,139
1,475,480,977
548,195,408
475,836,471
10

Combined Statement of Operations and Changes in Net Assets
For the Period from 1 January 2011 to 30 June 2011
JPMorgan
Investment
Funds
Combined
USD
Emerging Markets
Corporate Bond
Portfolio Fund I
USD
Euro
Liquid Market
Fund
EUR
18,742,942,113
113,202,329
81,069,824
Income
Dividend Income, Net
Interest Income, Net
Securities Lending Income
Bank Interest
Net Interest on Swap Transactions
Other Income
108,129,333
204,701,151
3,734,653
536,164
31,014,075
1,894
4,121,927
21,011
-
357,788
505
-
Total Income
348,117,270
4,142,938
358,293
117,817,094
6,616,298
2,148,725
4,871,839
216,185
11,121,787
3,797,822
146,589,750
739,345
145,850,405
798,444
50,825
1,211
29,625
456
15,608
896,169
896,169
171,783
40,473
25,035
4,748
213
5,167
247,419
2,894
244,525
Net Assets at the Beginning of the Period *
Expenses
Management and Advisory Fees
Custodian, Corporate, Administrative and Domiciliary Agency Fees
Registrar and Transfer Agency Fees
Taxe dAbonnement
Overdraft Interest
Net Interest on Swap Transactions
Sundry Fees**
Less: Fee Waiver (1)
Total Expenses before Performance Fees
Performance Fees
10,100,043
155,950,448
896,169
244,525
Net Investment Income/(Loss)
192,166,822
3,246,769
113,768
Net Realised Gain/(Loss) on Sale of Investments

Net Realised Gain/(Loss) on Forward Foreign Exchange Contracts
Net Realised Gain/(Loss) on Financial Futures Contracts
Net Realised Gain/(Loss) on Foreign Exchange
Net Realised Gain/(Loss) on TBAs
Net Realised Gain/(Loss) on Derivatives Instruments
274,856,143
579,117,278
(71,357,116)
(57,125,914)
1,445,100
85,219,127
26,604
7,812,546
(255)
-
Total Expenses
Net Realised Gain/(Loss) for the Period
812,154,618
7,838,895
Net Change in Unrealised Gain/(Loss) on Investments

Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts
Net Change in Unrealised Gain/(Loss) on Financial Futures Contracts
Net Change in Unrealised Gain/(Loss) on Foreign Exchange
Net Change in Unrealised Gain/(Loss) on TBAs
Net Change in Unrealised Gain/(Loss) on Derivatives Instruments
(493,443,618)
(59,346,141)
(15,916,365)
45,303,529
(1,456,326)
(59,047,224)
796,014
(1,221,158)
-
Net Change in Unrealised Gain/(Loss) for the Period
(583,906,145)
(425,144)
420,415,295
10,660,520
113,768
9,504,216,092
(7,120,222,447)
383,095
(1,400,679)
93,277,151
(60,898,531)
2,383,993,645
(1,017,584)
32,378,620
(37,054,735)
(2,877,426)
21,510,296,318
119,967,839
113,562,212
Increase/(Decrease) in Net Assets as a Result of Operations

Movements in Share Capital
Subscriptions
Redemptions
Increase/(Decrease) in Net Assets as a Result of Movements in Share Capital
Dividend Distribution
Total Net Assets at the End of the Period
* The opening balance was combined using the foreign exchange rate as at 30 June 2011. The same net assets when combined using the foreign exchange ruling as at 31 December 2010 reflected a figure
of USD 18,277,112,582
**Sundry Fees are principally comprised of Directors fees, audit and tax related fees, registration, publication, mailing and printing fees, as well as legal and marketing expenses.
(1) Please refer to Note 3a).
11

Combined Statement of Operations and Changes in Net Assets (continued)
Europe
Bond Fund
EUR
Europe
Recovery
Fund
EUR
Europe
Select
Equity Fund
EUR
Europe Strategic
Dividend
Fund
EUR
Global Bond
Fund (EUR)
EUR
Global Bond
Fund (USD)
USD
36,739,031
262,251,751
229,438,958
381,961,567
69,109,803
59,153,879
687,192
920
263
-
4,916,925
32,880
361,463
310
-
6,638,003
33,782
538,304
743
-
14,866,284
56,287
841,402
7,466
-
961,250
186
8,377
-
875,568
260
5,663
-
688,375
5,311,578
7,210,832
15,771,439
969,813
881,491
126,824
48,769
13,757
8,719
705
2,432
201,206
38,943
162,263
1,813,256
116,930
21,491
54,985
4,497
18,592
2,029,751
1,441
2,028,310
1,149,774
139,310
43,828
55,457
202
39,762
1,428,333
9,883
1,418,450
3,946,919
170,847
71,328
139,223
1,307
31,818
4,361,442
4,361,442
221,632
63,752
14,564
16,757
113
4,558
321,376
39,411
281,965
116,215
64,887
5,323
8,281
219
4,094
199,019
40,344
158,675
162,263
2,028,310
1,418,450
4,361,442
281,965
158,675
526,112
3,283,268
5,792,382
11,409,997
687,848
722,816
(732,993)
225,966
(17,243)
(28,484)
(382)
10,012,134
(66,731)
360,471
(84,982)
-
11,059,430
719,429
(966,895)
(178,717)
-
4,266,358
3,499,427
1,544,962
(42,761)
-
(470,304)
3,826,113
(58,588)
210,437
(149,802)
(774)
298,633
(2,250,470)
(91,531)
52,588
61,326
(422)
(553,136)
10,220,892
10,633,247
9,267,986
3,357,082
(1,929,876)
(28,087)
(37,826)
(6,662)
2,718
(181)
(31,684,087)
54,889
-
(17,762,868)
(147,242)
21,541
(12,226)
-
(18,666,920)
(888,227)
320,308
(35,475)
-
(2,825,313)
(382,608)
86,145
348
21,447
(428)
1,192,461
734,856
(1,312)
(4,723)
14,049
(225)
(70,038)
(31,629,198)
(17,900,795)
(19,270,314)
(3,100,409)
1,935,106
(97,062)
(18,125,038)
(1,475,166)
1,407,669
944,521
728,046
6,734,899
(9,499,738)
52,708,785
(57,348,000)
141,233,192
(43,735,715)
372,254,175
(155,061,584)
7,466,553
(11,526,729)
1,205,188
(3,405,623)
(2,764,839)
(4,639,215)
97,497,477
217,192,591
(4,060,176)
(2,200,435)
(169,246)
(21,435)
(268,012)
33,877,130
239,318,252
325,439,834
600,293,815
65,994,148
57,681,490
12

Global
Capital
Appreciation
Fund
EUR
Global
Capital
Preservation
Fund (EUR)
EUR
Global
Capital
Preservation
Fund (USD)
USD
Global
Convertibles
Fund (USD)
USD
Global
Dividend
Fund
USD
Global
Enhanced Bond
Fund
EUR
Global
Financials
Fund
USD
Global
High Yield Bond
Fund
USD
112,495,066
1,660,249,536
73,808,677
511,603,002
52,512,474
24,060,097
185,870,709
1,227,898,130
766,127
208,673
21,433
-
7,590,743
9,612,698
216,484
286,442
-
397,861
474,930
12,198
4,431
-
471,161
8,576,397
408
-
2,140,480
2,248
107,724
2,720
-
377,456
543
824
-
2,330,587
153,472
692
-
53,762,147
268,031
630
3,096,528
-
996,233
17,706,367
889,420
9,047,966
2,253,172
378,823
2,484,751
57,127,336
589,965
79,795
23,176
19,614
4,557
6,858
723,965
40,984
682,981
9,669,340
385,364
142,128
307,080
76,093
460,056
202,111
11,242,172
12,213
11,229,959
517,993
70,749
19,364
18,890
572
25,426
5,614
658,608
37,900
620,708
4,000,244
188,419
54,345
137,967
290
37,053
4,418,318
4,418,318
585,955
111,697
18,411
22,447
11,034
749,544
14,880
734,664
90,318
42,657
12,049
5,074
177
1,454
151,729
41,524
110,205
1,619,364
97,782
47,704
47,535
670
15,281
1,828,336
1,818
1,826,518
6,665,786
360,507
157,054
370,882
1,106
276,875
7,832,210
3,108
7,829,102
682,981
11,229,959
620,708
4,418,318
734,664
110,205
1,826,518
7,829,102
313,252
6,476,408
268,712
4,629,648
1,518,508
268,618
658,233
49,298,234
2,420,543
855,293
(882,585)
(3,408,322)
603,370
5,296,004
40,115,056
(36,500,396)
(4,938,787)
11,095,936
1,905,322
(1,090,791)
(1,752,858)
(164,001)
512,262
28,594,368
(19,079,624)
(712,905)
83,490
-
628,346
599,327
(78,336)
46,513
-
(170,929)
1,320,924
(35,370)
529,017
(292,163)
(549)
6,129,432
945,397
95,297
-
18,581,165
55,387,745
(190,783)
2,858,681
(411,701)
15,067,813
(590,066)
8,885,329
1,195,850
1,350,930
7,170,126
76,636,808
(4,975,859)
3,034,314
280,975
3,230,450
(461,043)
(71,799,572)
22,347,786
(10,399,324)
(979,931)
(5,838,632)
(827,996)
(371,664)
(509,802)
154,436
(233,311)
(13,939,489)
4,515,593
432,800
-
1,052,899
(98,538)
34,956
-
(563,803)
(367,851)
(85,821)
(113,822)
(3,250)
(178)
(5,029,736)
(269,602)
(6,009)
-
(16,120,700)
3,192,665
(13,753)
(4,027,600)
1,108,837
(66,669,673)
(1,788,337)
(8,991,096)
989,317
(1,134,725)
(5,305,347)
(16,969,388)
1,010,388
(45,125,452)
(2,109,691)
4,523,881
3,703,675
484,823
2,523,012
108,965,654
18,704,213
(30,030,484)
122,262,645
(515,502,618)
28,074,235
(23,487,703)
211,706,785
(195,128,225)
89,645,917
(44,516,407)
5,354,217
(9,260,119)
89,913,627
(101,716,998)
1,201,273,750
(916,988,825)
(11,326,271)
(393,239,973)
4,586,532
16,578,560
45,129,510
(3,905,902)
(11,803,371)
284,284,925
(2,312)
(3,031,719)
(102,751)
(37,134)
(4,500,665)
102,176,871
1,218,852,392
76,285,518
532,705,443
101,242,908
20,639,018
176,553,216
1,616,648,044
13

Global
Income
Fund
EUR
Global Select
130/30
Fund
USD
Global Select
Equity Fund
USD
Global
Total Return
Fund
EUR
Highbridge
Statistical
Market Neutral
Fund
EUR
Income
Opportunity
Fund
USD
Japan
50 Equity Fund
JPY
Japan Behavioural
Finance Equity
Fund
USD
154,763,536
23,983,169
243,047,770
75,080,068
930,858,882
4,713,873,852
25,533,477,954
5,133,970
2,843,991
5,019,489
516
-
307,579
195
9,478
118
-
2,582,289
5,804
116,982
1,091
-
649,922
41,581
9,244
-
3,804,362
3,889
352,316
-
874,837
102,185,353
332,481
567
27,406,972
1,894
255,467,585
-
59,440
324
399
-
7,863,996
317,370
2,706,166
700,747
4,160,567
130,802,104
255,467,585
60,163
1,983,284
128,792
42,041
80,007
487
15,814
2,250,425
10,269
2,240,156
183,654
125,313
11,281
5,712
205
1,611
327,776
100,424
227,352
1,077,959
104,311
30,614
48,704
329
16,577
1,278,494
1,733
1,276,761
644,980
37,761
11,115
15,724
1,317
6,872
717,769
196
717,573
6,676,198
420,021
108,552
214,984
255
2,136,748
241,263
9,798,021
17,760
9,780,261
28,301,100
1,105,884
538,448
1,746,588
3,610
7,270,519
2,012,818
40,978,967
127,414
40,851,553
83,139,271
8,854,535
1,072,618
3,232,145
11,176
3,359,618
99,669,363
11,667
99,657,696
33,901
44,488
1,284
1,186
353
81,212
37,933
43,279
192
9,795,340
2,240,156
227,544
1,276,761
717,573
9,780,261
50,646,893
99,657,696
43,279
5,623,840
89,826
1,429,405
(16,826)
(5,619,694)
80,155,211
155,809,889
16,884
(1,443,518)
18,113,233
(17,485)
(9,003,375)
-
1,915,031
116,322
19,207
(6,066)
-
11,072,297
(14,328)
(160,169)
11,830
-
2,591,113
583,710
(1,764,711)
(20,139,188)
-
(3,170,825)
(10,007,217)
(281,710)
20,860,678
22,717,773
422,061,008
(10,881,926)
(2,662,992)
1,651,647
33,456,196
(1,733,487,734)
(2,619,355)
(1,922,775)
7,989,962
-
65,565
(496)
6,973
-
7,648,855
2,044,494
10,909,630
(18,729,076)
7,400,926
466,341,706
(1,730,039,902)
72,042
(13,640,511)
(4,456,751)
8,860,855
-
(1,075,911)
(125,011)
(400)
70,752
(2,774,070)
(420,409)
(19,453)
(3,540)
-
(4,561,554)
2,139,178
219,599
20,016,347
4,249
65,772
708,448
(2,374)
(3,369,926)
(25,987,050)
(91,888,860)
(818,974)
159,996
(1,486,907)
(39,823,404)
(858,264,201)
(913,244)
1,441,000
24,342
-
(141,499)
2,473
-
(9,236,407)
(1,130,570)
(3,217,472)
17,817,819
(2,598,080)
(159,845,199)
(857,712,103)
(139,026)
4,036,288
1,003,750
9,121,563
(928,083)
(816,848)
386,651,718
(2,431,942,116)
(50,100)
265,241,168
(46,270,995)
3,129,091
(7,402,846)
57,455,882
(90,726,927)
7,900,695
(22,707,712)
318,737,822
(347,601,359)
4,172,459,235
(1,690,798,899)
9,153,882,452
(13,145,407,762)
1,063,924
(573,054)
218,970,173
(4,273,755)
(33,271,045)
(14,807,017)
(28,863,537)
2,481,660,336
(3,991,525,310)
490,870
(5,152,072)
(160)
(3,895)
(630)
(16,964,006)
(768,325)
(358)
372,617,925
20,713,004
218,894,393
59,344,338
901,178,497
7,565,221,900
19,109,242,203
5,574,382
14

Japan
Focus Fund
JPY
Japan
Select Equity Fund
JPY
Japan
Strategic Value
Fund
JPY
JF Asia
ex-Japan
Fund
USD
US Bond
Fund
USD
US
Equity Fund
USD
US Select
Equity
Fund
USD
9,947,587,849
44,260,575,560
9,796,103,920
1,604,183,115
40,785,397
144,239,604
2,172,590,139
166,174,864
-
409,311,049
-
99,874,046
74,283
855,759
4,600
-
12,526,490
17,847
5,307
-
746,414
1,140
2,527
827
-
1,156,772
1,692
134
-
14,403,452
640
8,321
-
166,174,864
409,311,049
100,808,688
12,549,644
750,908
1,158,598
14,412,413
63,897,484
7,298,180
733,626
2,287,185
5,784
868,559
75,090,818
229,722
74,861,096
178,241,430
12,295,271
5,757,531
6,591,548
2,821,048
205,706,828
29,859
205,676,969
36,289,916
8,111,407
506,940
1,202,952
616,455
46,727,670
1,820,873
44,906,797
7,196,227
628,590
80,202
210,697
96,369
8,212,085
8,212,085
171,556
37,195
10,372
9,470
28,425
2,688
259,706
23,621
236,085
1,442,152
83,088
38,316
51,531
24,369
1,639,456
754
1,638,702
17,411,918
361,002
198,764
532,625
301,206
18,805,515
18,805,515
24,542,065
99,403,161
205,676,969
44,906,797
8,212,085
236,085
1,638,702
18,805,515
66,771,703
203,634,080
55,901,891
4,337,559
514,823
(480,104)
(4,393,102)
(255,637,095)
(75,224,370)
-
(6,347,008,297)
(39,382,932)
(21,353)
-
(128,434,696)
(487,244)
(909,293)
-
98,139,345
39,374
221,189
-
171,169
(3,319)
33,343
7,515
371,584
(210,294)
11,998,900
1,739,105
169,318
2,318
-
118,985,364
20,661,006
83,840
(123,313)
-
(330,861,465)
(6,386,412,582)
(129,831,233)
98,399,908
369,998
13,909,641
139,606,897
(686,663,549)
200,000
-
2,211,470,193
6,148,727
12,395
-
(182,942,619)
215,315
-
(127,999,816)
(319,072)
-
68,968
(1,766)
17,270
947
(9,796)
180,459
755,856
(393,159)
98,365
-
(46,455,043)
(6,174,349)
205,498
16,004
-
(686,463,549)
2,217,631,315
(182,727,304)
(128,318,888)
256,082
461,062
(52,407,890)
(950,553,311)
(3,965,147,187)
(256,656,646)
(25,581,421)
1,140,903
13,890,599
82,805,905
12,161,748,536
(8,368,505,013)
10,678,229,348
(16,222,584,421)
2,170,117,148
(3,990,251,768)
176,759,877
(480,630,948)
18,115,531
(20,365,185)
219,592,443
(154,939,600)
639,454,377
(826,944,523)
3,793,243,523
(5,544,355,073)
(1,820,134,620)
(303,871,071)
(2,249,654)
64,652,843
(187,490,146)
(889)
(830,212)
(865,052)
(1,080)
12,790,277,172
34,750,243,088
7,718,447,602
1,274,730,623
39,676,646
222,781,966
2,067,905,898
15

Statement of Changes in the Number of Shares (continued)
Shares Outstanding
at the Beginning
of the Period
96,796.841
JPM Emerging Markets Corporate Bond Portfolio I - A (div) - USD
204,329.666
JPM Emerging Markets Corporate Bond Portfolio I - A (div) - EUR (hedged)
25,003.001
JPM Emerging Markets Corporate Bond Portfolio I - B (div) - USD
24,518.818
JPM Emerging Markets Corporate Bond Portfolio I - B (div) - EUR (hedged)
136,700.000
JPM Emerging Markets Corporate Bond Portfolio I - C (div) - USD
53,615.965
JPM Emerging Markets Corporate Bond Portfolio I - D (div) - USD
450,440.865
JPM Emerging Markets Corporate Bond Portfolio I - D (div) - EUR (hedged)
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Period
3,179.919
309.101
2,823.055
1,239.969
7,792.193
93,973.786
203,089.697
25,003.001
24,518.818
136,700.000
56,795.884
442,957.773

JPM Euro Liquid Market A (acc) - EUR
JPM Euro Liquid Market C (acc) - EUR
JPM Euro Liquid Market D (acc) - EUR
66,774.235
55,578.530
78,644.546
78,200.726
37,643.516
103,618.391
39,544.693
92,009.331
111,624.549
105,430.268
1,212.715
70,638.388

JPM Europe Bond A (acc) - EUR
JPM Europe Bond A (inc) - EUR
JPM Europe Bond B (acc) - EUR
JPM Europe Bond C (acc) - EUR
JPM Europe Bond D (acc) - EUR
JPM Europe Bond X (acc) - EUR
181,780.281
62,030.283
1,234.074
3,027.326
46,904.229
140.718
20,987.526
128.000
2.216
22,673.360
6,171.685
-
40,757.131
11,936.000
4,500.296
19,218.503
55.129
162,010.676
50,222.283
1,236.290
21,200.390
33,857.411
85.589

JPM Europe Recovery A (acc) - EUR
JPM Europe Recovery A (dist) - EUR
JPM Europe Recovery B (acc) - EUR
JPM Europe Recovery C (acc) - EUR
JPM Europe Recovery D (acc) - EUR
JPM Europe Recovery X (acc) - EUR
832,704.390
258,215.705
984.410
87,411.189
17,118.867
216,084.264
51,067.618
11,477.964
10,682.355
208,609.139
11,436.333
-
127,394.183
42,516.660
984.412
132,140.263
6,180.548
5,038.000
756,377.825
227,177.009
10,682.353
163,880.065
22,374.652
211,046.264

JPM Europe Select Equity A (acc) - USD
JPM Europe Select Equity A (acc) - EUR
JPM Europe Select Equity A (dist) - EUR
JPM Europe Select Equity B (acc) - EUR
JPM Europe Select Equity C (acc) - EUR
JPM Europe Select Equity D (acc) - USD
JPM Europe Select Equity D (acc) - EUR
JPM Europe Select Equity I (acc) - EUR
JPM Europe Select Equity X (acc) - EUR
JPM Europe Select Equity X (acc) - EUR (hedged)
2,946.509
35,837.563
1,854.279
48,588.236
733,990.819
34.860
68,608.549
330,128.348
386,200.280
659,537.598
5,847.604
83,483.439
50,923.945
63,895.404
753,399.495
15,715.150
8,452.561
-
15,748.369
1,192.666
47,715.162
314,670.116
13,908.861
5,246.318
-
8,794.113
103,572.633
51,585.558
64,768.478
1,172,720.198
34.860
70,414.838
330,128.348
389,406.523
659,537.598
2,235,828.927
49,413.783
75,849.265
52,700.000
821,064.393
151,795.079
2,080.137
-
1,206,642.532
45,206.085
1,327,860.330
33,249.958
879,754.204
103,177.906
239,348.579
853,037.751
11,622.184
16,936.099
14,000.734
438,218.067
31,563.501
-
2,589,433.708
82,997.684
1,386,773.496
71,949.224
1,262,600.530
223,409.484
2,080.137
239,348.579

JPM Global Bond (EUR) A (acc) - EUR
JPM Global Bond (EUR) A (inc) - EUR
JPM Global Bond (EUR) B (acc) - EUR
JPM Global Bond (EUR) C (acc) - EUR
JPM Global Bond (EUR) D (acc) - EUR
JPM Global Bond (EUR) X (acc) - EUR
310,327.336
25,284.913
12,426.620
117,322.416
54,125.247
1,100.308
22,636.436
295.000
171.683
16,777.193
13,689.770
-
56,933.925
5,185.000
3,681.713
12,271.475
13,376.403
458.663
276,029.847
20,394.913
8,916.590
121,828.134
54,438.614
641.645

JF Global Bond (USD) A (acc) - USD
JPM Global Bond (USD) A (acc) - USD
JPM Global Bond (USD) C (acc) - USD
JPM Global Bond (USD) D (acc) - USD
JPM Global Bond (USD) X (acc) - USD
3,220.648
173,207.336
3,530.261
49,929.330
236,378.854
7,409.793
3,270.276
18.764
905.351
-
2,542.459
20,143.078
5,701.661
-
8,087.982
156,334.534
3,549.025
45,133.020
236,378.854

JPM Global Capital Appreciation A (acc) - EUR
JPM Global Capital Appreciation A (dist) - EUR
JPM Global Capital Appreciation A (inc) - EUR
JPM Global Capital Appreciation B (acc) - EUR
JPM Global Capital Appreciation C (acc) - EUR
JPM Global Capital Appreciation D (acc) - EUR
JPM Global Capital Appreciation X (acc) - EUR
JPM Global Capital Appreciation T (acc) - EUR
205,544.804
1,416.175
6,623.775
1,317.348
137,914.946
372,180.844
261,184.709
-
66,860.521
26.339
32.074
1,169.000
1,285.452
91,297.611
50.000
47,004.710
212.604
249.087
119,338.771
103,592.275
-
225,400.615
1,229.910
6,406.762
2,486.348
19,861.627
359,886.180
261,184.709
50.000

JPM Europe Strategic Dividend A (acc) - EUR
JPM Europe Strategic Dividend A (dist) - EUR
JPM Europe Strategic Dividend A (inc) - EUR
JPM Europe Strategic Dividend B (acc) - EUR
JPM Europe Strategic Dividend C (acc) - EUR
JPM Europe Strategic Dividend D (acc) - EUR
JPM Europe Strategic Dividend X (acc) - EUR
JPM Europe Strategic Dividend I (acc) - EUR
16

Shares Outstanding
at the Beginning
of the Period
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Period

JPM Global Capital Preservation (EUR) A (acc) - EUR
JPM Global Capital Preservation (EUR) A (acc) - USD
JPM Global Capital Preservation (EUR) A (dist) - EUR
JPM Global Capital Preservation (EUR) A (inc) - EUR
JPM Global Capital Preservation (EUR) B (acc) - EUR
JPM Global Capital Preservation (EUR) C (acc) - EUR
JPM Global Capital Preservation (EUR) D (acc) - EUR
JPM Global Capital Preservation (EUR) D (acc) - SEK (hedged)
JPM Global Capital Preservation (EUR) I (acc) - EUR
JPM Global Capital Preservation (EUR) I (inc) - EUR
JPM Global Capital Preservation (EUR) T (acc) - EUR
JPM Global Capital Preservation (EUR) X (acc) - EUR
667,800.124
39,764.589
469,968.298
73,944.026
23,815.758
101,802.373
4,539,135.288
563,397.007
192,215.692
220,889.066
401,458.322
63,694.306
6,243.676
17,530.395
810.633
337.631
5,623.812
107,655.079
95,734.025
24,167.000
150,516.828
50.000
13,619.635
207,456.652
19,653.514
126,804.945
15,823.997
10,270.254
71,043.859
1,443,052.340
27,122.287
37,502.000
3,150.000
19,918.320
524,037.778
26,354.751
360,693.748
58,930.662
13,883.135
36,382.326
3,203,738.027
632,008.745
178,880.692
368,255.894
50.000
395,159.637

JPM Global Capital Preservation (USD) A (acc) - USD
JPM Global Capital Preservation (USD) B (acc) - USD
JPM Global Capital Preservation (USD) D (acc) - USD
460,185.662
161,996.959
211,268.229
50.000
25,971.550
154,333.832
45,337.567
517,120.059
50.000
142,630.942
543.955
2,734,398.377
417,042.589
262,936.356
315,931.991
67,007.000
1,202.357
1,193,387.611
170,919.623
111,111.415
55,253.586
-
1,019,603.705
212,684.866
68,671.812
90,558.178
53,409.000
1,746.312
2,908,182.283
375,277.346
305,375.959
280,627.399
13,598.000

JPM Global Dividend A (acc) - USD
JPM Global Dividend A (acc) - EUR
JPM Global Dividend A (acc) - EUR (hedged)
JPM Global Dividend A (inc) - USD
JPM Global Dividend A (inc) - EUR (hedged)
JPM Global Dividend C (acc) - EUR
JPM Global Dividend D (acc) - USD
JPM Global Dividend D (acc) - EUR (hedged)
JPM Global Dividend X (acc) - USD
384,991.008
9,272.787
109,129.512
12,787.585
7,957.487
35,320.180
16,511.678
27,360.705
-
563,282.001
20,448.867
62,859.202
44,559.143
5,184.591
86,168.884
9,110.024
37,874.772
100,956.979
306,371.373
4,048.375
35,604.857
3,948.044
1,491.959
42,381.677
9,960.868
14,758.218
51,656.896
641,901.636
25,673.279
136,383.857
53,398.684
11,650.119
79,107.387
15,660.834
50,477.259
49,300.083

JPM Global Enhanced Bond A (acc) - EUR
JPM Global Enhanced Bond A (inc) - EUR
JPM Global Enhanced Bond B (acc) - EUR*
JPM Global Enhanced Bond C (acc) - EUR
JPM Global Enhanced Bond D (acc) - EUR
JPM Global Enhanced Bond X (acc) - EUR
130,026.136
49.539
8,331.434
22,201.738
45,234.574
197.750
18,229.013
7.518
212.714
28,305.620
-
33,781.202
0.403
8,544.148
185.574
38,101.992
16.591
114,473.947
56.654
22,016.164
35,438.202
181.159

JPM Global Financials A (acc) - USD
JPM Global Financials A (acc) - EUR
JPM Global Financials A (dist) - USD
JPM Global Financials B (acc) - USD
JPM Global Financials C (acc) - USD
JPM Global Financials D (acc) - USD
JPM Global Financials X (acc) - USD
739,375.036
595,497.628
702,599.309
338,420.592
233,331.952
66,587.334
10,185.237
522,588.017
107,416.832
78,823.100
816,687.404
149,763.956
8,133.601
113.915
441,278.025
99,854.380
34,749.322
544,713.842
370,944.037
18,842.358
1,050.000
820,685.028
603,060.080
746,673.087
610,394.154
12,151.871
55,878.577
9,249.152
3,282,610.566
963,313.231
59,764.926
567,386.801
154,700.504
768,659.698
967,852.030
823.395
282,313.565
1,436,986.484
95,393.467
54,365.617
3,573,093.285
585,540.902
365,009.850
970,653.957
109,255.996
1,389,519.706
603,566.616
207,088.326
40,786.361
48,000.000
712,689.073
275,960.753
2,544,111.617
566,374.269
36,590.313
487,358.227
163,966.949
1,329,752.560
174,368.748
76,405.549
776,050.519
78,819.000
405,015.559
168,967.807
4,311,592.234
982,479.864
388,184.463
1,050,682.531
99,989.551
828,426.844
1,397,049.898
823.395
412,996.342
701,722.326
64,574.467
307,673.514
161,358.563
135,535.656
100,891.807
1,021,365.031
-
449,583.853
1,476.666
126,786.481
1,522,602.132
50.000
97,901.591
111,665.027
163,902.884
-
487,217.918
1,476.666
116,013.261
2,380,064.279
50.000
109,857.521
531.926
29,207.540
33,382.882
10,792.274
1,359.796
61.527
3,143.358
7,801.582
12,342.253
30,962.879
4,936.915
108,307.542
1,359.796
593.453
1,388.019
36,247.549

JF Global Convertibles (USD) A (acc) - USD
JPM Global Convertibles (USD) A (acc) - USD
JPM Global Convertibles (USD) B (acc) - USD
JPM Global Convertibles (USD) C (acc) - USD
JPM Global Convertibles (USD) D (acc) - USD
JPM Global Convertibles (USD) I (acc) - USD

JPM Global High Yield Bond A (acc) - USD
JPM Global High Yield Bond A (acc) - EUR (hedged)
JPM Global High Yield Bond A (inc) - EUR (hedged)
JPM Global High Yield Bond A (mth) - USD
JPM Global High Yield Bond B (acc) - EUR (hedged)
JPM Global High Yield Bond C (acc) - USD
JPM Global High Yield Bond C (acc) - EUR (hedged)
JPM Global High Yield Bond D (acc) - USD
JPM Global High Yield Bond D (acc) - EUR (hedged)
JPM Global High Yield Bond I (acc) - USD
JPM Global High Yield Bond I (inc) - EUR (hedged)
JPM Global High Yield Bond X (acc) - USD
JPM Global High Yield Bond X (acc) - EUR (hedged)
JPM Global Income A (div) - EUR
JPM Global Income B (div) - EUR
JPM Global Income C (div) - EUR
JPM Global Income D (div) - EUR
JPM Global Income T (div) - EUR
JPM Global Select 130/30 A (acc) - USD
JPM Global Select 130/30 A (acc) - EUR
JPM Global Select 130/30 A (dist) - USD
JPM Global Select 130/30 C (acc) - USD
JPM Global Select 130/30 D (acc) - USD
17

Shares Outstanding
at the Beginning
of the Period
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Period

JPM Global Select Equity A (acc) - USD
JPM Global Select Equity A (dist) - USD
JPM Global Select Equity B (acc) - USD
JPM Global Select Equity C (acc) - USD
JPM Global Select Equity C (acc) - EUR
JPM Global Select Equity D (acc) - USD
JPM Global Select Equity X (acc) - USD
447,871.635
9,272.695
360.000
704,757.544
64,828.157
342,841.521
53,268.781
18,761.805
242.999
107,357.339
281,725.234
6,784.823
-
67,020.897
18,730.099
336.999
435,678.806
42,424.600
10,521.485
-
434,119.519
9,304.401
266.000
376,436.077
239,300.634
61,091.495
342,841.521

JPM Global Total Return A (acc) - EUR
JPM Global Total Return A (dist) - EUR
JPM Global Total Return A (inc) - EUR
JPM Global Total Return C (acc) - EUR
JPM Global Total Return D (acc) - EUR
317,262.260
718.952
97.972
27,580.324
341,265.123
52,451.557
5.992
6,353.950
11,576.286
103,478.764
29,229.869
72,647.714
266,235.053
724.944
97.972
4,704.405
280,193.695

JPM Highbridge Statistical Market Neutral A (acc) - EUR
JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged)
JPM Highbridge Statistical Market Neutral A (acc) - USD
JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged)
JPM Highbridge Statistical Market Neutral A (dist) - GBP
JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged)
JPM Highbridge Statistical Market Neutral A (inc) - EUR
JPM Highbridge Statistical Market Neutral B (acc) - EUR
JPM Highbridge Statistical Market Neutral C (acc) - EUR
JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged)
JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged)
JPM Highbridge Statistical Market Neutral D (acc) - EUR
JPM Highbridge Statistical Market Neutral D (acc) - USD
JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged)
JPM Highbridge Statistical Market Neutral I (acc) - EUR*
JPM Highbridge Statistical Market Neutral I (dist) - EUR
JPM Highbridge Statistical Market Neutral T (acc) - EUR
JPM Highbridge Statistical Market Neutral X (acc) - EUR
2,251,943.725
231,393.599
113,803.078
144,380.393
11,120.387
77,892.690
56,653.230
294,331.723
1,291,469.436
1,459,959.716
40,841.658
2,518,568.924
20,391.513
8,699.862
197,067.662
146,170.498
103,965.721
234,614.015
1,422,083.462
10,996.034
91,651.462
571.371
2,020.472
80.051
79,900.173
789,525.539
113,296.666
7,350.000
51,421.223
470.294
592.943
210,618.502
50.000
8,634.000
549,981.802
120,832.786
93,624.946
130,649.308
4,112.437
52,682.284
5,083.308
73,820.163
442,368.827
710,753.013
19,832.212
738,860.871
13,459.544
4,431.792
197,067.662
187,793.718
16,304.001
1,936,575.938
1,532,644.275
31,174.166
105,382.547
7,579.321
27,230.878
51,649.973
300,411.733
1,638,626.148
862,503.369
28,359.446
1,831,129.276
7,402.263
4,861.013
168,995.282
50.000
96,295.720

JPM Income Opportunity A (acc) - USD
JPM Income Opportunity A (acc) - EUR (hedged)
JPM Income Opportunity A (acc) - SEK (hedged)
JPM Income Opportunity A (dist) - GBP (hedged)
JPM Income Opportunity A (inc) - EUR (hedged)
JPM Income Opportunity B (acc) - USD
JPM Income Opportunity B (acc) - EUR (hedged)
JPM Income Opportunity C (acc) - USD
JPM Income Opportunity C (acc) - USD (hedged to BRL)
JPM Income Opportunity C (acc) - EUR (hedged)
JPM Income Opportunity C (acc) - SEK (hedged)
JPM Income Opportunity C (dist) - GBP (hedged)
JPM Income Opportunity D (acc) - EUR (hedged)
JPM Income Opportunity D (inc) - EUR (hedged)
JPM Income Opportunity X (acc) - USD
JPM Income Opportunity X (acc) - EUR (hedged)
JPM Income Opportunity X (acc) - GBP (hedged)
JPM Income Opportunity X (dist) - GBP (hedged)
5,725,462.100
5,052,883.048
505,188.266
2,526,973.278
649,623.998
997,322.415
991,358.716
1,568,131.304
67,681.326
6,384,470.579
95,026.376
871,191.550
3,018,253.205
68.985
285,514.772
200,355.894
28,865.000
-
2,884,515.882
5,671,964.546
568,984.778
780,914.836
929,379.560
380,404.151
1,097,416.184
2,290,057.147
105,071.610
3,342,506.375
9,483.538
582,518.089
4,976,366.369
334,011.785
211,569.914
11,747.682
1,963,507.131
1,462,456.879
75,261.817
309,202.147
109,217.103
490,824.005
719,785.779
1,396,426.292
5,355.745
1,640,551.324
35,800.000
223,422.318
1,254,667.964
65,984.909
27,027.010
8,050.000
-
6,646,470.851
9,262,390.715
998,911.227
2,998,685.967
1,469,786.455
886,902.561
1,368,989.121
2,461,762.159
167,397.191
8,086,425.630
68,709.914
1,230,287.321
6,739,951.610
68.985
553,541.648
384,898.798
20,815.000
11,747.682
233,995.803
744,772.621
5,019.607
540,633.027
9,351.429
1,146,984.151
15,167.484
40.778
844,335.035
155.418
13,346.794
40,383.158
145,346.906
1,584.392
138,947.542
1,204,873.783
4,029.000
160,079.734
125,269.316
5,925.955
110,215.745
40.778
384,233.873
1,146.025
13,346.794
420,936.451
29,429.019
1,142,642.588
20,484.803
16,454.848
17,905.103
3,658.540
11,535.181
1,841.655
4,366.101
402.000
8,015.651
-
391.047
703.928
402.000
6,643.528
-
21,935.411
20,117.021
17,905.103
5,030.663
11,535.181
639,395.718
8.888
6,120.946
351,343.699
260,808.757
987,687.135
1,813.397
457,798.133
3,167.101
24,729.778
520.249
1,043,552.775
42,327.625
894.901
85,000.000
-
583,530.078
8.888
1,813.397
415,470.508
8,393.146
291,073.477
261,329.006

JPM Japan 50 Equity A (acc) - EUR
JPM Japan 50 Equity A (acc) - EUR (hedged)
JPM Japan 50 Equity A (acc) - JPY
JPM Japan 50 Equity A (dist) - JPY
JPM Japan 50 Equity C (acc) - EUR (hedged)
JPM Japan 50 Equity C (acc) - JPY
JPM Japan 50 Equity D (acc) - JPY
JPM Japan 50 Equity X (acc) - JPY
JPM Japan Behavioural Finance Equity A (acc) - USD
JPM Japan Behavioural Finance Equity A (acc) - EUR
JPM Japan Behavioural Finance Equity A (dist) - USD
JPM Japan Behavioural Finance Equity D (acc) - EUR
JPM Japan Behavioural Finance Equity X (acc) - USD
JPM Japan Focus A (acc) - JPY
JPM Japan Focus A (dist) - JPY
JPM Japan Focus B (acc) - JPY
JPM Japan Focus C (acc) - JPY
JPM Japan Focus D (acc) - JPY
JPM Japan Focus I (acc) - JPY
JPM Japan Focus X (acc) - JPY
18

Shares Outstanding
at the Beginning
of the Period
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Period
1,902,055.417
7,377.991
157,495.057
2,086,455.427
121,128.943
302,140.000
1,142,794.711
709,614.172
346.152
115,995.501
475,680.310
79,682.707
66,257.911
1,164,452.561
3,561.830
184,990.080
959,208.279
87,027.699
-
1,447,217.028
4,162.313
88,500.478
1,602,927.458
113,783.951
302,140.000
1,209,052.622
605,574.909
23,493.607
55,467.574
112,993.908
25,621.808
23,560.314
314,559.421
162,759.288
8,004.963
4.085
44,901.656
7,993.882
2,429.879
38,516.000
361,299.154
23,773.455
22,119.574
96,604.200
23,906.714
24,254.635
3,525.000
407,035.043
7,725.115
33,352.085
61,291.364
9,708.976
1,735.558
349,550.421
1,182,163.024
164,052.942
163,113.028
791,161.316
216,871.567
3,883,035.608
185,961.905
-
124,674.587
114,913.672
29,059.107
258,618.838
43,980.823
2,834.306
19,825.345
6,072.970
270,578.956
22,683.156
57,138.271
238,743.351
62,956.063
1,468,147.787
26,749.146
-
1,036,258.655
256,283.458
135,033.864
811,036.803
197,896.327
2,417,722.127
179,038.104
6,072.970

JPM US Bond A (acc) - USD
JPM US Bond A (inc) - USD
JPM US Bond B (acc) - USD
JPM US Bond C (acc) - USD
JPM US Bond D (acc) - USD
162,017.368
1,082.226
4,639.043
11,014.254
85,139.661
56,155.468
37,417.704
14,775.577
80,774.989
2,080.883
14,138.922
29,052.770
137,397.847
1,082.226
2,558.160
34,293.036
70,862.468

JPM US Equity A (acc) - USD
JPM US Equity A (acc) - EUR (hedged)
JPM US Equity A (dist) - GBP
JPM US Equity C (acc) - USD
JPM US Equity D (acc) - USD
JPM US Equity D (acc) - EUR (hedged)
JPM US Equity X (acc) - USD
1,031,179.167
91,748.328
23,665.174
281,261.930
26,683.183
35,382.806
121,743.181
1,574,631.763
129,273.930
15,266.956
452,654.572
29,387.320
64,055.927
39,265.635
997,527.481
16,315.635
12,083.432
415,858.148
6,437.389
21,373.575
156,036.076
1,608,283.449
204,706.623
26,848.698
318,058.354
49,633.114
78,065.158
4,972.740
7,612,406.656
1,323,779.488
490,816.117
621,917.103
734,542.787
2,443,763.511
363,398.065
586,674.937
512,808.333
500,444.560
113,159.525
1,411,360.353
447,581.948
1,410,790.915
58,606.896
169,600.632
410,291.602
34,227.728
407,766.520
438,806.159
60,000.000
3,847.789
2,074,534.450
664,205.508
1,026,753.866
221,809.355
350,100.591
782,466.811
319,358.676
132,471.359
335,828.222
120,000.000
19,532.328
6,949,232.559
1,107,155.928
874,853.166
458,714.644
554,042.828
2,071,588.302
78,267.117
861,970.098
615,786.270
440,444.560
97,474.986

JPM Japan Select Equity A (acc) - JPY
JPM Japan Select Equity A (dist) - JPY
JPM Japan Select Equity B (acc) - JPY
JPM Japan Select Equity C (acc) - JPY
JPM Japan Select Equity D (acc) - JPY
JPM Japan Select Equity I (acc) - JPY
JPM Japan Select Equity X (acc) - JPY
JPM Japan Strategic Value A (acc) - JPY
JPM Japan Strategic Value A (acc) - EUR
JPM Japan Strategic Value A (dist) - GBP
JPM Japan Strategic Value C (acc) - JPY
JPM Japan Strategic Value D (acc) - JPY
JPM Japan Strategic Value D (acc) - EUR
JPM Japan Strategic Value X (acc) - JPY
JF Asia ex-Japan A (acc) - USD
JF Asia ex-Japan A (dist) - USD
JF Asia ex-Japan B (acc) - USD
JF Asia ex-Japan C (acc) - USD
JF Asia ex-Japan D (acc) - USD
JF Asia ex-Japan I (acc) - USD
JF Asia ex-Japan X (acc) - USD
JF Asia ex-Japan X (dist) - USD

JPM US Select Equity A (acc) - USD
JPM US Select Equity A (acc) - EUR
JPM US Select Equity A (acc) - EUR (hedged)
JPM US Select Equity A (dist) - USD
JPM US Select Equity B (acc) - USD
JPM US Select Equity C (acc) - USD
JPM US Select Equity C (acc) - EUR (hedged)
JPM US Select Equity D (acc) - USD
JPM US Select Equity D (acc) - EUR (hedged)
JPM US Select Equity I (acc) - USD
JPM US Select Equity X (acc) - USD
* Share Class inactive as at end of the period.

19

Statistical Information (continued)
Net Asset Value per Share in Share Class Currency

30 June 2011
31 December 2010
31 December 2009
31 December 2008
31 December 2007
108.76
88.74
109.21
89.51
109.34
108.36
88.41
105.47
114.96
105.82
115.87
105.92
105.16
114.63
1,008.04
106.63
101.29
-
1,006.48
106.24
101.19
-
1,006.28
105.87
101.18
-
1,000.71
104.87
100.71
-
963.63
100.58
116.92

140.04
85.56
143.04
137.92
111.59
148.53
140.49
85.83
143.28
138.09
112.14
148.40
134.82
82.36
137.10
131.98
107.99
141.27
123.94
75.72
125.66
120.85
99.62
128.85
148.36
94.15
149.95
144.07
119.69
152.97

206.35
85.07
94.82
163.71
190.97
150.69
221.91
92.19
98.97
175.27
206.40
160.63
179.27
75.01
111.71
140.32
168.41
127.51
142.33
61.09
87.99
110.38
135.06
-
245.28
111.16
150.51
188.50
235.10
264.29

806.62
120.97
55.54
75.34
79.65
74.31
117.82
104.20
109.12
87.76
808.95
112.31
56.27
75.28
79.47
74.80
109.79
103.93
108.49
86.08
730.52
108.78
51.29
67.47
71.01
68.05
107.15
96.27
79.52
521.40
76.43
58.41
47.79
50.15
48.94
75.85
67.52
57.97
976.84
148.73
110.63
88.87
92.97
92.38
148.71
124.30
98.70

JPM Europe Strategic Dividend B (acc) - EUR**
126.67
84.53
73.72
109.42
85.80
103.43
98.40
86.84
125.68
85.93
74.85
108.16
84.69
103.00
85.42
112.89
79.08
68.88
75.28
93.21
74.61
80.41
59.70
51.99
53.06
66.90
52.21
140.42
106.43
92.42
91.69
117.71
89.59

112.46
84.28
204.87
211.18
101.93
203.63
110.96
83.16
201.84
207.90
100.77
200.02
104.34
78.19
189.23
194.61
95.13
186.40
104.79
78.53
189.48
194.58
95.93
185.53
131.08
102.20
236.29
242.25
120.47
229.97

JPM Global Bond (USD) B (acc) - USD*
94.22
130.16
131.36
99.71
133.70
93.36
128.83
129.73
98.89
131.75
88.26
121.55
121.85
93.68
123.19
87.87
120.78
124.84
120.53
93.45
121.31
113.11
155.15
159.89
154.16
120.54
154.43

129.77
105.76
108.65
128.21
108.48
106.09
101.50
120.38
128.69
105.16
108.05
126.83
106.91
105.58
118.58
118.00
97.19
99.84
115.71
97.35
97.49
107.27
104.02
90.15
89.92
101.50
85.23
86.54
93.30
124.65
109.83
109.54
121.02
101.42
104.44
110.29

JPM Euro Liquid Market X (acc) - EUR*
20


30 June 2011
31 December 2010
31 December 2009
31 December 2008
31 December 2007

1,074.15
156.48
99.00
99.33
1,203.22
978.95
121.21
953.40
102.22
99.79
99.91
126.59
1,108.03
149.45
105.87
106.23
1,238.08
1,006.28
125.32
981.15
105.04
107.15
129.70
1,084.13
156.84
105.29
105.52
1,205.33
977.66
123.17
963.33
102.10
106.38
125.19
982.37
138.23
97.02
96.08
1,086.75
879.72
112.11
881.29
91.83
96.84
111.92
1,078.28
159.51
108.91
107.88
1,186.95
958.82
123.61
108.54
121.18

JPM Global Capital Preservation (USD) B (acc) - USD**
JPM Global Capital Preservation (USD) C (acc) - USD*
JPM Global Capital Preservation (USD) X (acc) - USD*
116.23
97.78
113.43
-
119.31
116.70
-
115.79
113.74
-
106.87
105.45
108.97
115.19
114.18
115.87

JPM Global Convertibles (USD) X (acc) - USD*
115.38
140.63
109.11
141.29
135.04
113.44
-
114.25
139.07
107.56
139.25
133.88
111.72
-
108.14
131.30
100.89
130.55
127.03
104.65
114.46
101.71
77.64
98.89
80.45
-
137.72
134.58
108.12
119.47

JPM Global Dividend X (acc) - USD**
87.38
76.59
57.88
115.10
106.46
109.27
85.06
56.35
101.25
82.98
78.56
57.24
111.09
107.03
111.48
81.08
55.93
-
76.82
52.66
103.11
100.88
95.18
75.63
51.84
-
62.53
45.03
62.02
44.66
-
100.09
68.35
100.03
68.30
-

JPM Global Enhanced Bond X (inc) - EUR*
119.02
87.37
133.69
114.01
141.26
-
116.24
85.35
117.61
130.23
111.50
137.27
-
104.30
77.05
105.16
116.27
100.35
121.89
-
95.22
71.38
95.68
105.63
91.90
110.18
-
125.09
97.83
125.25
138.06
121.09
143.35
-

100.49
44.81
57.13
6.27
107.29
101.24
166.13
99.05
47.71
56.36
6.15
105.31
100.28
162.32
96.33
43.26
55.21
5.93
101.56
98.51
155.15
69.22
31.96
44.45
4.23
72.36
71.50
109.61
157.72
69.27
102.89
9.55
163.47
164.58
245.50

118.36
162.11
81.56
102.18
168.86
120.51
175.35
107.62
154.73
123.05
66.22
102.82
116.87
114.52
156.44
83.00
101.97
162.67
116.22
168.67
104.33
149.62
118.62
67.56
112.14
100.43
137.96
78.42
95.01
142.94
101.26
147.78
132.47
103.29
63.63
97.76
66.67
91.70
59.60
67.12
94.68
66.79
97.59
88.40
43.72
64.24
145.19
101.43
149.39
153.51
140.54
100.53

137.36
99.47
110.52
122.99
101.09
136.55
110.59
122.48
-
127.67
114.92
-
101.68
-
21


30 June 2011
31 December 2010
31 December 2009
31 December 2008
31 December 2007

JPM Global Select 130/30 A (acc) - EUR**
JPM Global Select 130/30 X (acc) - USD*
149.15
72.11
105.04
160.58
113.98
-
143.47
101.34
153.74
110.18
-
131.20
96.81
92.99
139.34
101.77
-
97.03
73.53
70.92
102.25
75.93
-
166.53
122.68
173.74
131.73
-

161.45
109.85
173.18
162.45
67.60
152.52
157.11
156.60
106.98
167.35
156.72
148.49
151.05
142.40
97.51
151.08
140.95
136.04
134.94
101.20
70.45
106.57
99.05
97.41
94.24
182.13
127.44
190.34
176.31
176.63
166.62

JPM Global Total Return B (acc) - EUR*
JPM Global Total Return I (acc) - EUR*
111.31
90.03
91.17
115.23
103.84
-
112.68
91.92
93.09
116.16
105.64
-
105.88
87.12
88.23
108.29
100.27
-
90.33
77.29
76.51
88.19
91.61
86.40
-
109.75
93.90
93.92
106.45
110.37
106.04
-

JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)*
108.11
932.64
156.33
153.94
91.26
78.27
100.17
108.77
110.26
79.67
130.24
104.72
151.47
140.55
98.47
99.95
116.62
-
107.21
920.48
143.53
153.05
86.07
77.65
99.34
107.46
108.85
78.69
128.90
104.24
139.57
140.25
110.63
97.19
114.64
-
110.40
946.19
158.52
157.32
91.52
79.83
102.29
109.83
111.08
80.38
131.76
108.15
155.32
145.25
112.81
115.98
139.42
113.66
980.43
158.71
162.87
104.61
83.10
107.62
112.24
113.35
83.21
112.18
156.68
151.48
114.98
117.30
-
100.82
148.02
72.56
96.63
98.91
100.00
99.90
146.73
101.41
102.52
-
168.13
126.94
1,243.69
119.81
89.65
160.80
115.64
161.94
126.14
125.94
763.40
105.09
126.12
74.12
162.86
108.94
98.29
61.33
166.12
125.11
1,220.31
120.51
90.40
158.65
113.80
159.71
113.01
123.90
747.97
106.17
124.42
73.44
160.05
106.81
96.50
-
158.85
119.80
1,168.16
86.94
151.24
108.61
152.10
118.22
101.84
119.44
151.70
101.28
91.34
-
136.98
102.86
76.02
101.08
102.60
-
101.77
101.66
-
8,080
44.49
86.58
4,622
11,045
86.74
5,750
9,168
8,714
51.41
5,797
11,856
6,234
9,799
8,405
40.79
5,739
11,327
6,074
9,284
7,366
37.06
5,030
5,377
5,302
7,992
13,055
50.38
8,914
9,625
9,300
13,914

JPM Japan 50 Equity I (acc) - JPY*
22


30 June 2011
31 December 2010
31 December 2009
31 December 2008
31 December 2007
73.50
50.82
68.65
49.41
77.53
74.07
55.32
69.21
53.99
77.46
62.77
43.91
58.68
43.19
64.49
61.76
43.67
58.30
60.46
43.28
62.35
91.05
61.97
85.99
88.27
90.54
61.63
61.21
90.31
7,111
11,167
10,240
9,324
6,913
6,575
10,625
7,344
11,633
7,166
6,753
10,871
6,752
10,838
6,646
6,136
9,871
5,995
5,959
5,394
6,031

6,293
4,798
6,313
7,278
7,672
5,689
8,937
6,814
5,427
6,818
7,844
8,339
6,127
9,590
6,795
5,462
6,748
7,748
8,379
6,046
9,392
6,155
4,948
6,068
6,952
7,648
5,421
8,357
11,006
8,847
10,767
12,311
13,778
9,592
14,678

6,545
56.13
49.95
11,526
6,372
54.64
11,470
6,635
60.97
51.84
11,628
6,483
59.58
11,526
6,329
47.84
42.56
10,988
6,231
47.10
10,804
5,791
45.38
44.28
5,745
45.01
-
9,533
57.30
42.26
9,527
57.26
-

322.69
133.29
358.57
339.14
271.23
177.65
552.32
102.05
328.49
135.69
363.66
343.70
277.14
179.92
557.31
-
273.18
112.84
300.18
283.28
232.21
148.10
455.34
-
161.69
71.49
176.36
166.17
138.48
86.80
264.94
-
367.34
164.02
397.64
374.09
316.97
195.26
591.60
-

JPM US Bond X (acc) - USD*
174.96
105.36
181.98
175.66
127.49
-
169.49
102.07
175.99
169.76
123.66
-
153.60
92.51
158.95
153.07
112.35
-
126.67
76.29
130.63
125.62
92.89
-
157.91
97.87
162.26
155.78
116.08
159.82

95.92
69.94
81.73
98.81
93.79
68.38
95.67
88.95
64.81
77.89
91.15
87.19
63.51
87.94
80.70
59.39
68.14
81.85
79.50
58.49
78.41
63.00
46.99
63.22
62.37
46.51
60.14
102.55
77.04
101.82
102.03
76.66
96.18

166.67
71.88
77.15
116.89
156.15
154.17
76.60
117.98
75.51
102.03
151.63
161.31
75.15
74.48
113.13
150.57
148.43
73.56
114.46
73.07
98.17
145.43
145.55
63.21
67.83
102.07
134.84
132.53
66.29
103.79
66.88
87.54
128.85
109.20
48.76
51.70
76.59
100.42
98.40
50.00
78.27
51.24
64.95
94.98
174.40
83.17
122.31
159.16
155.50
125.63
82.84
102.57
149.05

JPM Japan Behavioural Finance Equity C (acc) - USD*
JPM Japan Behavioural Finance Equity D (acc) - USD*
JPM Japan Behavioural Finance Equity I (inc) - EUR*

** Share Class reactivated as at end of the period.
23

Notes to the Unaudited Financial Statements
As at 30 June 2011
1. Organisation
JPMorgan Investment Funds (the SICAV) is a variable capital investment company with multiple Sub-Funds organised as a socit anonyme under the laws
of the Grand Duchy of Luxembourg. The SICAV was incorporated in Luxembourg on 22 December 1994 for an unlimited period as J.P. Morgan Investment
Funds. Its name was changed into JPMorgan Fleming Investment Funds on 19 November 2001 and into JPMorgan Investment Funds on 12 September 2005.
The SICAV has been authorised under Part I of the law of 20 December 2002 concerning undertakings for collective investment in transferable securities
until 30 June 2011 and under Part I of the law of 17 December 2010 concerning undertakings for collective investment in transferable securities as from 1 July
2011. The SICAV is registered with the Registre de Commerce et des Socits of Luxembourg under number B 49 663.
The SICAV is designed as an Equity, Total Return, Balanced, Convertibles, Bond and Money Market Funds and has issued shares in 34 Sub-Funds, details of
which are shown in the Appendix.
2. Significant Accounting Policies
The Financial Statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investments.
a) Investment Valuation
Transferable securities which are admitted to an official exchange listing or dealt in on another regulated market are valued on the basis of the latest
available price prevailing at the time of calculating the net asset value.
If securities are listed or dealt in on several exchanges or markets, the latest available price, or if appropriate, the average price on the principal exchange or
market will be applied.
Transferable securities not admitted to an official exchange listing nor dealt in on another regulated market are valued at the latest available price. Those
securities for which no price is available or for which the latest available price is not representative are valued on the basis of their reasonably foreseeable
sales price determined with prudence and in good faith by the Board of Directors.
Shares or Units in UCITS or other UCIS are valued at the latest available price or net asset value, as reported or provided by such undertakings or their agents.
Liquid assets and money market instruments may be valued at nominal values plus any accrued interest or on an amortised cost basis.
For the JPMorgan Investment Funds - Euro Liquid Market Fund:
Except as noted below, all investments are valued at amortised cost, which approximates market value. Under this method, the cost of investments is
adjusted to income for the amortisation of premiums and discounts over the life of the investments.
Where the amortised cost basis does not reflect a prudent approach to the valuation of the security, the latest available price prevailing on the valuation
day is used.
The financial statements are presented on the basis of the net asset values of the Sub-Funds calculated on 30 June 2011. In accordance with the prospectus,
the net asset values were calculated using the latest exchange rates known at the time of calculation. If the SICAV had calculated the net asset values solely
with a view to financial reporting, the market prices used to value the investment portfolio would have been the closing prices on 27 June 2011.
b) Swing Pricing
A Sub-Fund may suffer dilution of the Net Asset Value per Share due to investors buying or selling Shares in a Sub-Fund at a price that does not reflect the
dealing and other costs that arise when security trades are undertaken by the Investment Manager to accommodate cash inflows or outflows.
In order to counter this impact, a Swing Pricing mechanism may be adopted to protect the interests of Shareholders of the Fund. If on any Valuation Day, the
aggregate net transactions in Shares of a Sub-Fund exceed a pre-determined threshold, as determined and reviewed for each Sub-Fund on a periodic basis
by the Management Company, the Net Asset Value per Share may be adjusted upwards or downwards to reflect net inflows and net outflows respectively.
The net inflows and net outflows will be determined by the Management Company based on the latest available information at the time of calculation of the
Net Asset Value per Share. The Swing Pricing mechanism may be applied across all Sub-Funds with the exception of JPMorgan Investment Funds
Highbridge Statistical Market Neutral Fund and the money market Sub-Funds, as defined by the Prospectus. The extent of the price adjustment will be set by
the Management Company to reflect dealing and other costs. Such adjustment may vary from Sub-Fund to Sub-Fund and will not exceed 2% of the original
Net Asset Value per Share. The official Net Asset Value per Share as at period-end, disclosed in the Statistical Information section of this report may
therefore include a Swing Pricing adjustment, which would not be recognised in the Combined Statement of Net Assets and in the Combined Statement of
Operations and Changes in Net Assets.
As at period-end, a Swing Pricing adjustment had been applied to JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund I and to
JPMorgan Investment Funds - Japan Select Equity Fund. The net asset values of JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio
Fund I had been adjusted downwards by a swing factor determined by the Management Company under its established procedures, irrespective of
redemption flows. The decision to swing downwards is due to the specific nature of the product and the fact that after the initial subscription phase, no
further subscriptions will be accepted into the Fund.
No other Sub-Funds were swung as at 30 June 2011.
c) Realised and Unrealised Gains and Losses on Investments
Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). For trades into other collective investment
schemes, transactions are accounted for on receipt of the trade confirmation from the underlying transfer agents.
Realised gains and losses on sales of investments are calculated on the average book cost. The associated foreign exchange movement between the date of
purchase and date of sale of investments is included in realised gains and losses on investments. Unrealised gains and losses on holdings of investments are
calculated on the total book cost and include the associated unrealised gains and losses on foreign exchange.
d) Income Recognition
Interest income is accrued daily and includes the amortisation of premiums and accretion of discounts, where applicable. Bank interest income is recognised
on an accrual basis. Dividend income is accrued on the ex-dividend date. This income is shown net of any withholding taxes and adjusted accordingly when
tax reclaims apply.
24

Notes to the Unaudited Financial Statements (continued)
As at 30 June 2011
e) Conversion of Foreign Currencies

The books and records of each Sub-Fund are denominated in the base currency of the corresponding Sub-Fund. Amounts denominated in other currencies
are translated into the base currency on the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currencies
are converted each business day into the base currency using currency exchange rates prevailing on each such business day; (ii) purchases and sales of
foreign investments, income and expenses are converted into the base currency using currency exchange rates prevailing on the respective dates of such
transactions.
Net realised and unrealised gains or losses on foreign exchange represent: (i) foreign exchange gains and losses from the sale and holding of foreign
currencies and foreign cash equivalents; (ii) gains and losses between trade date and settlement date on securities transactions; and (iii) gains and losses
arising from the difference between amounts of dividends and interest recorded and the amounts actually received.
The resulting gains and losses on translation are included in Net Realised Gain/Loss on Foreign Exchange in the Combined Statement of Operations and
Changes in Net Assets.
The reference currency of the SICAV as reflected in the combined statements is USD.
The principal exchange rates applied as at 30 June 2011 are as follows:
1 USD = 0.69115667 EUR
1 USD = 80.59500000 JPY
1 USD = 0.62484379 GBP
f) Forward Foreign Exchange Contracts
Unrealised gains or losses on outstanding forward foreign exchange contracts are valued on the basis of currency exchange rates prevailing at the relevant
valuation date. The changes in such amounts are included in the Combined Statement of Operations and Changes in Net Assets under Net Change in
Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts. When a contract is closed, the Realised Gain/(Loss) is recorded under Net Realised
Gain/(Loss) on Forward Foreign Exchange Contracts in the Combined Statement of Operations and Changes in Net Assets. Unrealised Gains or Losses are
recorded under Unrealised Gain/(Loss) on Forward Foreign Exchanges Contracts in the Combined Statement of Net Assets.
g) Financial Futures Contracts on Securities and Indices
Regulated financial futures contracts are valued at the exchange quoted settlement price. Initial margin deposits are made upon entering into the contracts
and can be either in cash or securities. During the period the contracts are open, changes in the value of the contracts are recognised as unrealised gains and
losses by marking-to-market on a daily basis to reflect the market value of the contracts at the end of each business days trading. Variation margin
payments are made or received on a daily basis, depending upon whether losses or gains are incurred. The frequency of those margin payments may differ
depending on where the contract is traded. When a contract is closed, the SICAV records a realised gain or loss equal to the difference between the proceeds
from, or cost of, the closing transaction and the initial cost of the contract in Net Realised Gain/(Loss) on Financial Futures Contracts in the Combined
Statement of Operations and Changes in Net Assets.
Unrealised gains or losses are recorded under Unrealised Net Gain/(Loss) on Financial Futures Contracts in the Combined Statement of Net Assets.
Daily margin calls are recorded under Net Realised Gain/(Loss) on Financial Futures Contracts in the Combined Statement of Operations and Changes in
Net Assets.
h) Option Contracts
The SICAV writes options on securities, futures and interest rate swaps (swaptions). These options are settled in cash and subject the SICAV to unlimited
risk of loss. The SICAV, however, is not subject to credit risk on written options as the counterparty has already performed its obligation by paying the
premium at the inception of the contract. As of 30 June 2011, the SICAV had written options contracts outstanding as listed on its Schedule of Investments.
Options purchased are recorded as investments; options written or sold are recorded as liabilities. When the exercise of an option results in a cash
settlement, the difference between the premium and the settlement proceeds is accounted for as a realised gain or loss. When securities are acquired or
delivered upon exercise of an option, the acquisition cost or sale proceeds are adjusted by the amount of the premium. When an option is closed, the
difference between the premium and the cost to close the position is accounted for as a realised gain or loss. When an option expires, the premium is
accounted for as a realised gain for options written or as a realised loss for options purchased.
For options on futures, where the investment manager is based in the United Kingdom, variation margin payments are made or received daily, depending
upon whether losses or gains are incurred on the underlying futures contract.
The market values are recorded under Derivatives Instruments at Market Value in the Combined Statement of Net Assets.
i) To Be Announced Securities (TBAs)
TBAs are related to mortgage backed securities issued by government sponsored agencies. These agencies usually pool mortgage loans and sell interests in
the pools created. TBAs relate to future pools of these agencies that are bought and sold for future settlement for which either the interest rate or the
maturity date is not yet fixed. TBAs are separately disclosed in the Schedule of Investments.
Certain Sub-Funds may enter into Dollar Rolls, principally using To Be Announced (TBA) Securities, in which the Sub-Funds sell mortgage-backed securities
for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The
Sub-Funds account for such Dollar Rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase.
The Sub-Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such Dollar Rolls. The market
value of the securities that the Sub-Funds are required to purchase may decline below the agreed upon repurchase price of those securities.
Certain Sub-Funds had TBAs outstanding as of 30 June 2011, which are included in Amounts Receivable on Sale of TBAs and Amounts Payable on Purchase of
TBAs in the Combined Statement of Net Assets.
j) Interest Rate Swaps
An interest rate swap is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interest
payments (usually fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged.
The market values are recorded under Derivatives Instruments at Market Value in the Combined Statement of Net Assets. The changes in such amounts are
recorded under Net Change in Unrealised Gain/(Loss) on Derivatives Instruments and the Realised under Net Realised Gain/(Loss) on Derivatives
Instruments in the Combined Statement of Operations and Changes in Net Assets.
25

As at 30 June 2011
k) Inflation Rate Swaps

An inflation rate swap is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interest
payments (usually fixed/floating on inflation indexes) based on a notional amount that serves as a computation basis and that is usually not exchanged.
l) Total Return Swaps
The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the returns
generated by a security, instrument, basket or index thereof. The payments made by the SICAV to the counterparty and vice versa are calculated by
reference to a specific security, index, or instruments and an agreed upon notional amount. Any such underlying security or instrument must be a
transferable security and any such index must be an index of a regulated market.
A Total Return Swap will exchange the total performance on a specific basket of securities, selected by the Investment Manager against a reference rate plus
a spread. The total performance will include interests, dividends, gains and losses on the underlying securities during the contract period according to the
type of underlying. The risk of this type of instrument will depend on the uncertain evolution, at the time of the contract conclusion, of the Performance of the
underlying. These underlying securities are listed on a primary exchange.
The value of the underlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers.
The relevant indices include, but are not limited to, currencies, interest rates, prices and total return on interest rates indices, fixed income indices and stock
indices.
included in the Combined Statement of Operations and Changes in Net Assets under Net Change in Unrealised Gain/(Loss) on Derivatives Instruments.
When a contract is closed, the Realised Gain/(Loss) is recorded under Net Realised Gain/(Loss) on Derivatives Instruments in the Combined Statement of
Operations and Changes in Net Assets.
The JPMorgan Investment Funds - Global Select 130/30 Fund, JPMorgan Investment Funds - Global Total Return Fund and the JPMorgan Investment Funds Highbridge Statistical Market Neutral Fund have each entered into Total Return Swaps (long/short, together the Swaps) on a basket of securities with
selected prime brokers. The Swaps are comprised of positions in a diversified selection of stocks which is continuously monitored and amended by the
Investment Manager.
m) Credit Default Swaps
A Credit Default Swap is a credit derivative transaction in which two parties enter into an agreement, whereby one party pays the other a periodic payment
for the specified life of the agreement. The other party makes no payments unless a credit event, relating to a predetermined reference asset, occurs. If such
an event occurs, the party will then make a payment to the first party, and the swap will terminate. The value of the underlying securities shall be taken into
account for the calculation of the investment and borrowing powers applicable to individual issuers.
n) Price Lock Swaps
The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the price
difference generated on a security, instrument, basket or index thereof. The payments made by the SICAV to the counterparty and vice versa are calculated
by the price difference (current asset price and locked price) of a specific security, index, or other instruments and an agreed upon notional amount. Any
such underlying security or instrument must be a transferable security and any such index must be an index of a regulated market. The value of the
underlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers. The relevant
indices include, but are not limited to, currencies, interest rates, and other asset prices.
The market values are recorded under Derivatives Instruments at Market Value in the Combined Statement of Net Assets.
The changes in such amounts are recorded under Net Change in Unrealised Gain/(Loss) on Derivatives Instruments and the Realised under Net Realised
Gain/(Loss) on Derivatives Instruments in the Combined Statement of Operations and Changes in Net Assets.
o) Variance Swap
A variance swap is an instrument which allows the SICAV to trade future realized (or historical) volatility against current implied volatility.
3. Fees and Expenses
a) All Sub-Funds - Share Classes A, B, C, D and T
The fees and expenses charged to these Classes of shares are set at a fixed percentage of the total net assets of each Class of shares. This fixed percentage
covers all fees and expenses connected with the management of these Classes of shares, including Investment Management Fees, shareholder servicing
fees and Other Operating and Administrative Expenses, which include but are not limited to Custody, Registrar and Transfer Agent Fees; it does not cover
taxes paid on investment, brokerages expense, extraordinary costs or performance fee, if any. No other costs are charged to these Classes of shares, and the
Management Company absorbs any difference that may arise between the actual costs of the operations of these Classes of shares and the fixed percentage.
To the extent that the actual operating costs are less than the fixed percentage, the excess is paid to the Management Company and included within
Investment Management Fees. To the extent that actual operating costs exceed the fixed percentage, the amount borne by the Management Company will
be separately disclosed as a Fee Waiver in the Combined Statement of Net Assets and the Combined Statement of Operations and Changes in Net Assets.
This fixed annual rate of fees and expenses is categorised as a Total Expense Ratio. The fixed annual rates of fees for each Class of shares are shown in the
Appendix.
26

As at 30 June 2011
b) All Sub-Funds - Share Class I

The maximum total fees and expenses to be borne by Class I shareholders of any Sub-Fund will not exceed a capped percentage of the total net assets
attributable to that Class. These capped fees and expenses comprise Investment Management Fees plus other Operating and Administrative Expenses,
limited to Custody, Fiduciary, Accounting, Transfer Agency Fees, Taxes and Sundry Expenses; it does not cover performance fees, if any.
This capped annual rate of fees and expenses is categorised as a Capped Expense Ratio. The capped annual rates of fees for each Class of shares are shown in
the Appendix.
c) All Sub-Funds - Share Class X
The Class X shares of each Sub-Fund are charged a pro-rata share of the Custody and Accounting Fees allocable to that Sub-Fund.
The Management Company pays all other Operating and Administrative Expenses allocable to such Class to the exclusion of performance fees, if any. The
maximum Operating and Administrative Expenses to be borne by the Class X shareholders of any Sub-Fund will not exceed a capped percentage of the total
net assets attributable to that Class, as set out in the Appendix.
The Annual Management Fee that would normally be payable in respect of the X Share Class are administratively levied and collected by the Global
Distributor directly from the shareholder or through the relevant J.P.Morgan Chase & Co entity.
Sub-Funds may invest in UCITS and other UCIs managed by the Management Company, the Investment Manager or any other member of JPMorgan Chase &
Co. The avoidance of a double-charge of the Annual Management and Advisory Fee on such assets is achieved by either a) excluding the assets from the net
assets on which the Annual Management and Advisory Fee is calculated; or b) investing in UCITS or UCIs via classes that do not accrue an Annual
Management and Advisory Fee or other equivalent fees payable to the relevant Investment Managers group; or c) the Annual Management and Advisory
Fee being netted off by a rebate to the SICAV or Sub-Fund of the Annual Management and Advisory Fee (or equivalent) charged to the underlying UCITS or
UCIs; or d) charging only the difference between the Annual Management and Advisory Fee of the SICAV or Sub-Fund and the Annual Management and
Advisory Fee (or equivalent) charged to the underlying UCITS or UCIs.
The Management Company may decide from time to time, in order to protect the interests of the SICAVs shareholders, to reduce the fees payable to the
Management Company.
d) Performance Fees
Pursuant to the Investment Management Agreement, as set out in the Appendix to the Prospectus, the Investment Manager is entitled to receive from the
net assets of certain Sub-Funds or Classes, an annual performance-based incentive fee (the Performance Fee) if the performance of the Sub-Fund exceeds
the return from the benchmark, subject to the operation of a Claw-Back Mechanism or of a High Water Mark as defined in Appendix V and as specified in
Appendix III for each Sub-Fund. On each Valuation Day, an accrual for the previous Valuation Days Performance Fee is made, when appropriate, and the
final Performance Fee is payable annually. Pursuant to the provisions of the relevant Investment Management Agreement, the Investment Manager may be
entitled to receive the performance Fee from the Management Company.
On each Valuation Day, the net asset value of each Class of each Sub-Fund for which a Performance Fee applies, which includes an accrual for all fees and
expenses (including the Annual Management and Advisory Fee, and the Operating and Administrative Expenses to be borne by the relevant Class at the rate
set out in the Appendix to the Prospectus), is adjusted for any dividend distributions and for subscriptions and redemptions dealt with on that Valuation Day,
if any, and any Performance Fee accrued through that day in respect of such Class is added back (the Adjusted net asset value). For purposes of calculating
the Performance Fee, the Share Class Return is computed on each Valuation Day, as the difference between the net asset value (adjusted by adding back
any accrued Performance Fee) on such day and the Adjusted net asset value on the previous Valuation Day, expressed as a return based on the previous
Valuation Days Adjusted net asset value for that Class.
High Water Mark Method
If the Share Class Return exceeds the Benchmark Return and the cumulative Share Class Return exceeds the High Water Mark Return (as set out in the
Appendix to the Prospectus), the Performance Fee accrual is increased by the Performance Fee Rate multiplied by the Excess Return multiplied by the
previous Valuation Days Adjusted net asset value for that Class. If the Share Class Return does not exceed the Benchmark Return, the Performance Fee
accrual is reduced (but not below zero) by the Performance Fee Rate multiplied by the negative Excess Return multiplied by the previous Valuation Days
Adjusted net asset value for that Class. Following a period of negative Excess Return whereby the Performance Fee accrual has been reduced to zero, no new
Performance Fee is accrued until such time as the cumulative Share Class Return exceeds the greater of the High Water Mark Return and the cumulative
Benchmark Return since the beginning of the SICAV accounting year. The Performance Fee accrued on any Valuation Day is reflected in the Net Asset Value
per Share on the basis of which subscriptions and redemptions may be accepted.
Claw-Back mechanism
The purpose of the Claw-Back Mechanism is to ensure that the Management Company will only become entitled to a Performance Fee when it outperforms
the cumulative Benchmark Return (as defined in Appendix V of the prospectus) accrued since the last Valuation Day of the last year in which a Performance
Fee was paid.
As at 30 June 2011, the Performance Fee rate and the benchmarks are as follows:
Sub-Fund or Share Class
Performance Benchmark
Fee Rate
Claw-Back Mechanism method

JPMorgan Investment Funds Japan Focus Fund
10%
10%
Morgan Stanley Capital International (MSCI) World Index (Total Return Net)
Tokyo Stock Price Index (TOPIX) (Total Return Net)
10%
10%
10%
10%
10%
20%
20%
20%
20%
LIBOR one-month Euro deposits (Total Return Gross)

British Bankers Association (BBA) LIBOR one-month Euro deposits
British Bankers Association (BBA) LIBOR one-month Euro deposits
British Bankers Association (BBA) LIBOR one-month Euro deposits hedged into SEK
British Bankers Association (BBA) LIBOR one-month US Dollar deposits
European Overnight Index Average (EONIA) (Total Return Gross)
British Bankers Association (BBA) LIBOR GBP Overnight Index (Total Return Gross)
British Bankers Association (BBA) LIBOR SEK Spot Next Index (Total Return Gross)
British Bankers Association (BBA) LIBOR USD Overnight Index (Total Return Gross)
High Water Mark Return method

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR) (SEK hedged)
JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (GBP hedged)
JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (SEK hedged)
JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (USD hedged)
27

As at 30 June 2011

JPMorgan Investment Funds - Income Opportunity Fund (SEK hedged)
JPMorgan Investment Funds - Income Opportunity Fund (GBP hedged)
JPMorgan Investment Funds - Income Opportunity Fund (EUR hedged)
JPMorgan Investment Funds - Income Opportunity Fund (USD hedged to BRL)
20%
20%
20%
20%
20%
British Bankers Association (BBA) LIBOR USD Overnight Index

British Bankers Association (BBA) LIBOR SEK Spot Next Index
British Bankers Association (BBA) LIBOR GBP Overnight Index
European Overnight Index Average (EONIA)
British Bankers Association (BBA) LIBOR USD Overnight Index hedged to BRL
4. Distribution Policy
It is intended that all those Share Classes with the suffix (dist) will pay dividends if appropriate so that these Share Classes of the Fund continue to qualify as
distributing Share Classes for the purposes of United Kingdom tax legislation relating to offshore funds (the requirement for this is that an annual
distribution of at least 85% of the net investment income attributable to such Classes of Shares needs to be paid, computed broadly in accordance with the
definition of net taxable income under United Kingdom corporation tax principles (subject to the application of any de minimis threshold)) for the period
ending 30 June 2011. In subsequent years these Share Classes may pay dividends and may also seek to meet the conditions to qualify as reporting Share
Classes for the purposes of the United Kingdom tax legislation relating to offshore funds.
Classes of Shares with the suffix (mth) will normally distribute all, or substantially all, of the net investment income on a monthly basis, based on the net
investment income earned over the course of the prior month for Shares in issue at the dividend record date.
Share Classes with the suffix (inc), (div) or (mth) may pay dividends but will not qualify as distributing for the purposes of United Kingdom tax
legislation relating to offshore funds.
Those Classes of Shares with the suffix (acc) will not normally pay dividends.
During the period ended 30 June 2011, the SICAV paid dividends as follows:
Class name
Currency
Dividend Amount
per Share
Payment Date
USD
USD
EUR
EUR
EUR
EUR
USD
EUR
USD
USD
EUR
USD
USD
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
USD
EUR
USD
EUR
EUR
USD
USD
EUR
EUR
GBP
EUR
GBP
EUR
JPY
USD
JPY
JPY
GBP
GBP
USD
USD
EUR
EUR
EUR
USD
0.60
0.41
1.40
1.13
1.25
2.22
2.74
2.41
2.96
3.02
2.07
2.55
0.42
0.65
0.55
2.00
1.66
0.28
0.29
3.68
3.70
4.52
1.71
1.77
0.02
0.05
4.40
3.99
0.30
0.42
0.77
0.78
1.98
2.46
2.76
0.29
700
0.02
100
200
0.20
0.03
0.62
0.58
1.41
1.14
1.27
0.58
25 January 2011
22 February 2011
22 February 2011
22 February 2011
22 February 2011
22 March 2011
22 March 2011
22 March 2011
22 March 2011
22 March 2011
22 March 2011
22 March 2011
22 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
31 March 2011
26 April 2011
25 May 2011
25 May 2011
25 May 2011
25 May 2011
22 June 2011
5. Taxation
Under current law and practice in the Grand Duchy of Luxembourg, the SICAV is not liable to any income tax, nor are dividends distributed by the SICAV liable to any
withholding tax. However, the SICAV, with the exception of those share Classes identified in the Appendix, is liable to an asset based tax of 0.05% per annum, such
tax being payable quarterly and calculated on the total net assets of each Sub-Fund at the end of the relevant quarter. For those Sub-Funds share Classes identified
in the Appendix, the rate is 0.01% per annum. No tax is payable on the portion of assets invested in other undertakings for collective investment already subject to
the Taxe dabonnement.
All share Classes (except share Class A (acc)) of JPMorgan Investment Funds - Euro Liquid Market Fund are exempted from the Taxe dabonnement.
28

As at 30 June 2011
No stamp duty or other tax is payable on the issue of shares in the SICAV in the Grand Duchy of Luxembourg. No tax is payable on realised or unrealised
capital appreciation of the assets of the SICAV in the Grand Duchy of Luxembourg. Although the SICAVs realised capital gains, whether short or long-term,
are not expected to become taxable in another country, the shareholders must be aware and recognise that such a possibility is not totally excluded. The
regular income of the SICAV from some of its securities, as well as interest earned on cash deposits in certain countries, may be subject to withholding taxes
at varying rates, which normally cannot be recovered.
Following recent case law precedent within Europe, the SICAV has instigated proceedings to reclaim tax witheld by certain Member States of the European Union on
dividend payments it has received. The decision to initiate proceedings against any particular Member State is the result of an analysis of the likely costs and
potential benefits of doing so. The likelihood of successfully reclaiming such amounts together with the estimated time to complete proceedings varies across
Member States. Any costs associated with this decision have been charged to the relevant Sub-Funds and have been included within total costs for the purposes of
determining the relevant expense cap or TER and no amount has been recorded in the SICAV for any possible amounts to be received under this action.
6. Statement of Changes in Investments
A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the period under review, may be obtained
free of charge upon request at the registered office of the SICAV. Additional information on investments within each Sub-Funds portfolio is available to
shareholders at the registered office of the SICAV.
7. Value of Financial Instruments and Associated Risks
The SICAV entered into forward foreign exchange, financial futures contracts, options and swaps which, to varying degrees, represent a market risk in excess
of the amount reflected on the Combined Statement of Net Assets. The amount of the contracts represents the extent of the SICAVs participation in these
financial instruments. Market risks associated with such contracts arise due to the possible movements in foreign exchange rates, indices, and security
values underlying these instruments. Other market and credit risks include the possibility that there may be an illiquid market for the contracts, that a
change in the value of the contracts may not directly correlate with changes in the value of the underlying currencies, indices, or securities, or that the
counterparty to a contract defaults on its obligation to perform under the terms of the contract.
8. Securities Lending
The SICAV may lend portions of its securities portfolio to third parties for the purpose of generating additional capital or income or for reducing costs or risk,
to the maximum extent allowed by and within the limits set forth in (i) article 11 of the Grand Ducal regulation of 8 February 2008 relating to certain
definitions of the Luxembourg Law, (ii) CSSF Circular 08/356 relating to the rules applicable to undertakings for collective investments when they use certain
techniques and instruments relating to transferable securities and money market instruments (CSSF Circular 08/356) and (iii) any other applicable laws,
regulations, circulars or CSSF positions. A significant proportion of the income generated from the securities lending program is credited to participating
Sub-Funds, with a portion of the income shared between the Management Company for oversight of the program and JPMorgan Chase Bank, N.A. for its role
as securities lending agent for the Fund. Borrowers of securities lent by participating Sub-Funds are approved by the Management Company after
appropriate assessment of such borrowers status and financial standing. The income earned from the securities lending program is detailed in the
Combined Statement of Operations and Changes in Net Assets. As at 30 June 2011, the SICAV valuation of securities on loan is USD 547,643,905 as detailed
below and received collateral as security with a market value of USD 566,544,461.
The table below provides the USD valuation of securities on loan at a Sub-Fund level as at 30 June 2011:
USD
29,658,611
1,878,099
433,329
21,977,463
16,800,404
40,607,615
234,201
83,017,648
5,551,716
272,602
595,450
163,833,131
207,721
4,003,289
167,307,897
138,848
1,933,861
1,336,027
1,299,985
9. Transactions with Connected Parties

All transactions with connected parties were carried out on an arms length basis.
JPMorgan Chase & Co. and its affiliates are counterparties for all securities lending activity and for certain forward foreign exchange contracts, financial
futures contracts and swaps contracts. The Investment Managers, Custodian, Corporate, Administrative and Domiciliary Agent, Management Company and
Global Distributor and other related Agents of the SICAV are considered as connected parties.
29

As at 30 June 2011
10. Soft Commission Arrangements

The Investment Managers of the SICAV may enter into soft commission arrangements with brokers in respect of services used to support investment
decision-making for the benefit of the SICAV.
The investment related services received under soft commission arrangements comprise:
- research and advisory services;
- economic and political analysis;
- portfolio analysis, including valuation and performance measurement;
- market analysis;
- data and quotation services;
- computer hardware and software incidental to the above goods and services; and
- investment-related publications.
The Investment Managers do not make direct payments for these services, but transact an agreed amount of business with the brokers on behalf of the
SICAV and commission is paid on these transactions.
11. Information for German Registered Shareholders
A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the period under review, may be obtained
free of charge upon request at the registered office of the SICAV and at the office of the German paying and information agent, J.P. Morgan Bank AG,
Junghofstrae 14, D-60311 Frankfurt am Main. Additional information on investments within each Sub-Funds portfolio is available to shareholders at the
registered office of the SICAV and at the office of the German paying and information agent.
12. Information for Swiss Registered Shareholders
J.P. Morgan (Suisse) S.A. was authorised by the Swiss Financial Market Authority (FINMA) as Swiss representative of the SICAV and acts also as paying agent.
The prospectus, the simplified prospectus, the articles, the annual and semi-annual reports of the SICAV, as well as the list of the purchases and sales which
the SICAV has undertaken during the financial period may be obtained, on simple request and free of charge, at the head office of the Swiss Representative,
J.P. Morgan (Suisse) S.A., 8 rue de la Confdration, CH-1211 Geneva, Switzerland.
Payments/compensations (trailer fees) can be paid out from the management fee for the distribution/marketing of the investment fund to distributors.
Reimbursements/rebates can be granted out of the management fee to institutional investors who hold the Sub-Fund shares for the economic benefit of third parties.
13. Authorization of Sub-Funds in Hong Kong
Certain share classes of the following Sub-Funds are authorized in Hong Kong and are available to Hong Kong residents:
JPMorgan Investments Fund - Global High Yield Bond Fund
14. Significant Events

With effect from 3 January 2011, all share classes of the Sub-Funds were de-listed from the official list of the Luxembourg Stock Exchange.
Effective 1 March 2011, the JPMorgan Investment Funds - Global Income Fund changed its benchmarks as follows:
- 10% Emerging Markets Global hedged to Euro, 45% Merrill Lynch High Yield BB-B constrained hedged Euro, 10% FTSE EPRA/NAREIT Developed Index
hedged Euro, 25% MSCI World hedged Euro and 10% Citigroup Euro Broad Investment Grade was replaced by 35% MSCI World Index - Total Return Net Hedged to EUR, 40% Barclays Capital U.S. High Yield 2% Issuer Cap Index - Total Return Gross - Hedged to EUR, 25% Barclays Capital Global Credit Index Total Return Gross - Hedged to EUR.
15. Subsequent Event
Effective 1 July 2011, the JPMorgan Investment Funds - Europe Bond Fund changed its benchmark from J.P. Morgan EMU Index in EUR (Total Return Gross) to
J.P. Morgan EMU Government Bond Investment Grade Index, in EUR (Total Return Gross).
30

Schedule of Investments (Market Value Expressed in USD)
As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
UKRAINE
2,600,000 NAK Naftogaz Ukraine
Transferable Securities Admitted to an Official Exchange Listing
Maturity/
Coupon
30.09.14/9.500%
Market
Value
%
of
Net
Assets
2,850,848
2.38
2,850,848
2.38
Bonds
LUXEMBOURG
2,600,000 Evraz Group
3,200,000 MHP
3,000,000 SB Capital for Sberbank
2,400,000 UBS Luxembourg for Vimpel
Communications
900,000 VTB Capital for VTB Bank
2,500,000 Willow No 2 for Yasar Holdings
CAYMAN ISLANDS
1,300,000 Central China Real Estate
1,950,000 Kaisa Group Holdings
2,900,000 Kuwait Projects
900,000 Vale Overseas
10.11.15/8.250%
29.04.15/10.250%
07.07.15/5.499%
23.05.16/8.250%
04.03.15/6.465%
07.10.15/9.625%
20.10.15/12.250%
28.04.15/13.500%
17.10.16/8.875%
11.01.16/6.250%
BRAZIL
1,800,000 Banco do Nordeste do Brasil
2,000,000 BES Investimento do Brasil
2,700,000 JBS
09.11.15/3.625%
25.03.15/5.625%
04.08.16/10.500%
MEXICO
3,000,000 Desarrolladora Homex
2,800,000 Urbi Desarrollos Urbanos
28.09.15/7.500%
19.04.16/8.500%
UNITED KINGDOM
3,100,000 Biz Finance for Ukreximbank
2,200,000 Oschadbank
UNITED ARAB EMIRATES

2,000,000 Abu Dhabi National Energy
2,950,000 Dubai Electricity & Water
Authority
IRELAND
3,280,000 Koks Finance
2,050,000 Novatek Finance
NETHERLANDS
1,000,000 DTEK Finance
1,000,000 Listrindo Capital
2,900,000 Metinvest
ARGENTINA
3,000,000 City of Buenos Aires
CYPRUS
3,000,000 Alfa MTN Issuance
KAZAKHSTAN
3,000,000 Kazatomprom
TURKEY
3,000,000 Akbank
SOUTH AFRICA
2,400,000 African Bank
2.42
2.85
2.65
2.19
0.80
2.22
15,749,132
13.13
1,345,227
1,960,462
3,248,841
1,017,549
1.12
1.63
2.71
0.85
7,572,079
6.31
SOUTH KOREA
900,000 Hyundai Motor Manufacturing
900,000 Woori Bank
15.04.15/4.500%
14.04.15/7.630%
1,779,255
1,859,320
3,017,669
1.48
1.55
2.52
CHILE
1,800,000 Telefonica Moviles Chile
09.11.15/2.875%
SINGAPORE
2,000,000 Sigma Capital
HONG KONG
2,000,000 Bangkok Bank Hongkong
5.55
3,047,025
2,887,444
2.54
2.41
5,934,469
4.95
3,239,934
2,244,880
2.70
1.87
5,484,814
4.57
27.10.16/5.875%
2,165,230
1.81
22.04.15/8.500%
3,276,653
2.73
5,441,883
4.54
3,314,768
2,116,225
2.77
1.76
5,430,993
4.53
CAYMAN ISLANDS
3,000,000 Country Garden Holdings
1,700,000 TGI International
1,056,475
1,098,115
3,171,875
0.88
0.92
2.64
THAILAND
3,000,000 True Move
5,326,465
4.44
27.04.15/8.375%
10.03.16/8.250%
15.06.16/6.000%
2,632,992
954,158
2,661,350
6,656,244
AUSTRALIA
1,000,000 PTTEP Australia International
Finance Proprietary
30.04.15/9.000%
18.10.15/3.250%
2,372,950
1.98
2,372,950
1.98
2,144,770
1.79
2,144,770
1.79
1,978,582
1.65
1,978,582
1.65
938,799
1,011,276
0.78
0.85
1,950,075
1.63
1,774,332
1.48
1,774,332
1.48
1,015,736
0.85
1,015,736
0.85
Total Bonds
91,071,197
75.91
Total Transferable Securities Admitted to an

Official Exchange Listing
91,071,197
75.91
2,831,101
3,226,170
2.36
2.69
6,057,271
5.05
3,172,500
1,896,741
2.65
1.58
5,069,241
4.23
19.07.15/4.152%
Transferable Securities Dealt in on Another Regulated Market
23.06.16/7.750%
03.02.16/5.326%
28.04.15/9.500%
29.01.15/9.250%
20.05.15/10.250%
06.04.15/12.500%
BRITISH VIRGIN ISLANDS

2,900,000 Star Energy Geothermal Wayang
Windu
12.02.15/11.500%
BERMUDA
1,500,000 China Oriental Group
1,700,000 Noble Group
2,899,455
3,421,072
3,180,105
3,397,500
2.83
3,397,500
2.83
3,300,563
2.75
Bonds
MEXICO
2,650,000 Corporacion GEO
3,000,000 Financiera Independencia
BARBADOS
2,800,000 Columbus International
BERMUDA
3,060,000 Digicel Group
25.09.14/8.875%
30.03.15/10.000%
22.04.17/11.250%
03.10.17/9.500%
01.08.14/10.375%
20.11.14/11.500%
15.01.15/8.875%
3,300,563
2.75
1,531,252
1,772,785
1.27
1.47
Investment Funds
3,304,037
2.74
LUXEMBOURG
619 JPMorgan Liquidity Funds - US Dollar Liquidity Fund
(JPM US Dollar Liquidity X (acc))
3,207,450
2.67
3,207,450
2.67
3,196,575
2.66
Total Transferable Securities Dealt in on Another

Regulated Market
3,196,575
2.66
Total Investments
Total Bonds
18.08.15/8.000%
05.08.15/4.875%
18.03.15/8.000%
20.05.15/6.250%
22.07.15/5.125%
2,981,700
2,981,700
Total Investment Funds
2.48
Cash
2.48
Other Assets/(Liabilities)
Total Net Assets
31
3,249,990
2.71
3,249,990
2.71
3,170,706
2.64
3,170,706
2.64
3,141,931
2.62
3,141,931
2.62
20,689,139
17.25
8,727,246
7.27
8,727,246
7.27
8,727,246
7.27
29,416,385
24.52
120,487,582
100.43
26,251
0.02
(545,994)
(0.45)
119,967,839
100.00

Schedule of Investments (Market Value Expressed in USD) (continued)
As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Allocation of Portfolio as at 30 June 2011 (Unaudited)

Fixed Income Securities
Luxembourg
Cayman Islands
Mexico
Brazil
Bermuda
United Kingdom
United Arab Emirates
Ireland
Netherlands
Argentina
British Virgin Islands
Thailand
Cyprus
Kazakhstan
Barbados
Turkey
Ukraine
South Africa
Singapore
Hong Kong
South Korea
Chile
Australia
Total Fixed Income Securities
Investment Funds
Luxembourg
Cash and Other Assets/(Liabilities)
Total
Allocation of Portfolio as at 31 December 2010

Cayman Islands
Luxembourg
Mexico
Brazil
Bermuda
Netherlands
Argentina
Thailand
United Kingdom
Kazakhstan
Cyprus
Barbados
Turkey
Ukraine
Singapore
Hongkong
South Korea
Chile
Australia
Bahrain
Investment Funds
Luxembourg
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
13.13
10.54
10.00
5.55
5.36
4.57
4.54
4.53
4.44
2.83
2.75
2.71
2.67
2.66
2.64
2.48
2.38
1.98
1.79
1.65
1.63
1.48
0.85
93.16
7.27
7.27
(0.43)
100.00
% of
Net Assets
14.13
13.57
10.81
5.92
5.69
4.65
4.64
2.95
2.92
2.84
2.82
2.82
2.76
2.75
2.69
2.51
1.89
1.71
1.71
1.53
0.88
0.80
92.99
1.78
1.78
5.23
100.00
32
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD)
As at 30 June 2011
Settlement
Date
Currency
14-Jul-11
14-Jul-11
EUR
USD
Amount
Purchased
Currency
59,089,459
61,269
USD
EUR
Total
Amount
Sold
Unrealised
Gain/
(Loss)
85,595,690
43,102
(127,414)
(1,074)
(128,488)
33

Schedule of Investments (Market Value Expressed in EUR)
As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
IRELAND
2,500,000 Regency Assets
500,000 Scaldis Capital

Bonds
UNITED STATES OF AMERICA
2,000,000 Wells Fargo Bank
1,000,000 Wells Fargo & Co.
GERMANY
800,000 German Treasury Bill
1,000,000 KfW - Kreditanstalt fuer
Wiederaufbau
IRELAND
1,000,000 GE Capital European Funding
2,000,306
1,000,157
1.76
0.88
3,000,463
2.64
13.07.11/0.000%
799,869
0.71
04.07.11/5.000%
1,004,020
0.88
1,803,889
1.59
1,001,310
0.88
19.09.11/1.569%*
01.08.11/1.485%*
06.09.11/2.136%*
Name of Securities
1,001,310
0.88
Total Bonds
5,805,662
5.11

5,805,662
5.11
UNITED KINGDOM
1,000,000 Lloyds Banking Group
1,000,000 Rhein Main Securitisation
FINLAND
1,000,000 Pohjola Bank
Maturity/
Coupon
19.07.11/0.000%
20.07.11/0.000%
02.08.11/0.000%
25.07.11/0.000%
18.07.11/0.000%
31.08.11/0.000%
AUSTRALIA
1,000,000 Commonwealth Bank of
Australia
500,000 Macquarie Bank
05.07.11/0.000%
17.08.11/0.000%
AUSTRIA
1,000,000 Austria (Republic of)
04.07.11/0.000%

Bonds
NETHERLANDS
1,500,000 Rabobank Nederland
FRANCE
1,000,000 BT Cades
JAPAN
1,000,000 Toyota Motor
18.01.12/1.432%*
17.11.11/1.073%
Total Bonds
1,500,000
1.32
1,500,000
1.32
1,000,000
0.88
1,000,000
0.88
2,500,000
2.20
SWITZERLAND
1,000,000 Mont Blanc Capital
NETHERLANDS ANTILLES
1,000,000 Schlumberger
11.07.11/0.000%
15.07.11/0.000%
10.08.11/0.000%
Commercial Papers
FRANCE
1,000,000 Antalis
500,000 Banque Fdrative du Crdit
Mutuel
1,000,000 Banque Fdrative du Crdit
Mutuel
1,000,000 BPCE
500,000 BPCE
500,000 Caisse des Dpts et
Consignations
1,000,000 lectricit de France
4,000,000 France (Government of)
1,000,000 Socit Gnrale
GERMANY
2,000,000 Erste Abwicklungsanstalt
1,000,000 FMS Wertmanagement
2,000,000 State of Baden-Wrttemberg
SWEDEN
1,000,000
1,000,000
1,000,000
1,000,000
Nordea Bank
Svenska Handelsbanken
NETHERLANDS
1,000,000 ING Groep
2,000,000 Paccar
500,000 Unilever
ITALY
3,000,000 Ente Nazionale Idrocarburi
15.07.11/0.000%
999,507
18.08.11/0.000%
499,116
0.44
07.09.11/0.000%
01.08.11/0.000%
11.08.11/0.000%
997,468
998,799
499,228
0.88
0.88
0.44
20.07.11/0.000%
07.07.11/0.000%
18.07.11/0.000%
15.08.11/0.000%
499,789
999,800
3,997,735
998,356
0.44
0.88
3.52
0.88
10,489,798
9.24
1,999,395
999,309
1,999,378
1.76
0.88
1.76
4,998,082
4.40
11.07.11/0.000%
26.07.11/0.000%
11.07.11/0.000%
15.08.11/0.000%
17.08.11/0.000%
09.11.11/0.000%
30.11.11/0.000%
12.07.11/0.000%
06.07.11/0.000%
11.07.11/0.000%
15.07.11/0.000%

1,000,000 General Electric Company
0.88
998,393
998,308
994,422
993,528
0.88
0.88
0.88
0.87
3,984,651
3.51
999,607
1,999,681
499,837
0.88
1.76
0.44
3,499,125
3.08
2,998,636
2.64
2,998,636
2.64
HONG KONG
500,000 BCA Interest
02.12.11/0.000%
Market
Value
%
of
Net
Assets
2,498,389
499,665
2.20
0.44
2,998,054
2.64
998,804
999,109
0.88
0.88
1,997,913
1.76
999,449
997,754
0.88
0.88
1,997,203
1.76
999,894
499,122
0.88
0.44
1,499,016
1.32
999,915
0.88
999,915
0.88
999,700
0.88
999,700
0.88
999,511
0.88
999,511
0.88
998,527
0.88
998,527
0.88
993,421
0.88
993,421
0.88
499,829
0.44
499,829
0.44
39,953,381
35.19
15.09.11/0.000%
26.09.11/1.352%
01.09.11/0.000%
09.09.11/0.000%
07.11.11/1.113%
996,982
1,000,000
997,607
997,326
1,000,000
0.87
0.88
0.88
0.88
0.88
4,991,915
4.39
15.08.11/1.373%
14.10.11/0.000%
05.12.11/0.000%
07.09.11/1.115%
1,000,000
995,428
993,165
999,840
0.88
0.88
0.87
0.88
3,988,433
3.51
997,328
998,194
1,000,000
0.88
0.88
0.88
2,995,522
2.64
998,308
999,849
0.88
0.88
1,998,157
1.76
11.07.11/0.000%
Total Commercial Papers

Certificates of Deposit
FRANCE
1,000,000
1,000,000
1,000,000
1,000,000
1,000,000
BNP Paribas
BNP Paribas
Crdit Agricole
Crdit Agricole
HSBC France
UNITED KINGDOM
1,000,000 Barclays Bank
1,000,000 HSBC Bank
NETHERLANDS
1,000,000 ING Groep
SWEDEN
1,000,000 Nordea Bank
1,000,000 Skandinaviska Enskilda Banken
34
07.09.11/0.000%
06.09.11/0.000%
17.11.11/1.363%
17.08.11/0.000%
06.07.11/0.000%

Schedule of Investments (Market Value Expressed in EUR) (continued)
As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
JAPAN
500,000 Mitsubishi UFJ Financial Group
1,000,000 Mizuho Financial Group
Maturity/
Coupon
18.07.11/0.000%
08.07.11/0.000%
Total Certificates of Deposit
Market
Value
499,710
999,784
%
of
Net
Assets
Quantity/
Nominal
Value
0.44
0.88
1,499,494
1.32
15,473,521
13.62

Regulated Market
57,926,902
51.01
Total Investments
63,732,564
56.12
9,000,000
9,000,000
7,500,000
7,500,000
7.93
7.93
6.60
6.60
33,000,000
29.06
5,400,000
2,700,000
11,000,000
11,000,000
4.75
2.38
9.69
9.69

France
Netherlands
Germany
United Kingdom
Sweden
Ireland
Italy
Japan
Finland
Australia
Austria
Switzerland
Netherlands Antilles
Hong Kong
Cash Equivalents, Cash and Other Assets/(Liabilities)
Time Deposits
UNITED KINGDOM
5,400,000 Bank of Scotland
11,000,000 Citibank/London
11,000,000 Citibank/London
FRANCE
9,000,000 Crdit Agricole
01.07.11/1.000%
04.07.11/0.900%
01.07.11/0.700%
04.07.11/0.650%
01.07.11/0.500%
04.07.11/0.500%
01.07.11/1.050%
04.07.11/0.750%
01.07.11/0.700%
01.07.11/1.050%
04.07.11/0.700%
30,100,000
26.51
9,000,000
10,000,000
10,000,000
7.92
8.81
8.81
29,000,000
25.54
Total Time Deposits
92,100,000
81.11
Total Cash Equivalents
92,100,000
81.11
Total Investments plus Total Cash Equivalents
155,832,564
137.23
Cash
Total Net Assets
173,655
0.15
(42,444,007)
(37.38)
113,562,212
100.00
Maturity/
Coupon
Cash Equivalents
NETHERLANDS
9,000,000 ING Bank
9,000,000 ING Bank
Name of Securities
Total

France
Netherlands
United Kingdom
Sweden
Japan
Australia
Ireland
Denmark
Jersey
Belgium
Switzerland
Spain
Total
* Variable coupon rates are those quoted as at 30 June 2011.
35
Market
Value
%
of
Net
Assets
% of
Net Assets
14.51
7.04
5.99
5.27
5.27
3.52
3.52
2.64
2.20
1.76
1.32
0.88
0.88
0.88
0.44
56.12
43.88
100.00
% of
Net Assets
21.27
14.79
9.53
7.40
6.16
5.54
4.32
2.47
2.47
2.33
1.23
1.23
1.23
79.97
20.03
100.00

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
RUSSIA
371,950 Russian (Republic of)
Maturity/
Coupon
31.03.30/7.500%*
Market
Value
%
of
Net
Assets
303,407
0.90
303,407
0.90
79,210
94,707
112,061
0.23
0.28
0.33
285,978
0.84
0.32
0.30
Bonds
ITALY
970,000
1,800,000
2,411,000
780,000
1,943,000
200,000
FRANCE
150,000
1,230,000
810,000
451,000
878,000
400,000
588,000
200,000
SPAIN
1,605,000
300,000
7,000
255,000
505,000
660,000
125,000
Italy (Republic of)

Italy (Republic of)
Italy (Republic of)
Italy (Republic of)
Italy (Republic of)
Telecom Italia
Arkema
France (Government of)
GCE Covered Bonds
Ixis Corporate & Investment Bank
Socit des Autoroutes
Paris-Rhin-Rhone
Spain (Kingdom of)

Spain (Kingdom of)
Spain (Kingdom of)
Spain (Kingdom of)
Spain (Kingdom of)
Spain (Kingdom of)
Telefonica Emisiones
NETHERLANDS
550,000 LeasePlan
85,000 Linde Finance
1,441,000 Netherlands (Kingdom of)
405,000 Netherlands (Kingdom of)
15.12.13/3.750%
01.08.14/4.250%
01.08.17/5.250%
01.09.20/4.000%
01.02.37/4.000%
25.01.16/5.125%
25.10.17/4.000%
25.10.20/2.500%
25.10.32/5.750%
25.04.35/4.750%
25.04.60/4.000%
14.01.15/2.750%
24.07.18/4.375%*
12.01.17/5.000%
31.01.14/4.250%
30.04.16/3.250%
30.07.18/4.100%
30.04.20/4.000%
31.10.20/4.850%
30.07.41/4.700%
16.02.21/5.462%
22.05.14/3.250%
01.06.21/3.875%
15.07.18/4.000%
15.01.42/3.750%
BELGIUM
530,000 Belgium (Kingdom of)
1,115,000 Belgium (Kingdom of)
28.03.14/4.000%
28.03.18/4.000%
28.09.21/4.250%
AUSTRIA
890,000 Austria (Republic of)
15.03.19/4.350%
15.03.26/4.850%
SOUTH AFRICA
8,000,000 South Africa (Republic of)
IRELAND
260,000 GE Capital European Funding
562,000 Ireland (Republic of)
15.09.15/13.500%
04.04.16/3.750%
18.10.19/5.900%
978,040
1,830,941
2,540,750
743,048
1,550,664
203,248
2.89
5.40
7.50
2.19
4.58
0.60
7,846,691
23.16
148,257
1,146,078
999,690
493,214
838,560
396,922
571,913
0.44
3.38
2.95
1.46
2.47
1.17
1.69
205,673
0.61
4,800,307
14.17
1,616,476
281,366
6,597
232,719
485,623
544,265
87,598
4.77
0.83
0.02
0.69
1.43
1.61
0.26
3,254,644
9.61
565,646
84,439
1,536,798
397,883
1.67
0.25
4.54
1.17
2,584,766
7.63
548,243
1,133,961
475,481
1.62
3.35
1.40
2,157,685
6.37
957,627
272,277
2.83
0.80
1,229,904
3.63
990,205
2.92
990,205
2.92
261,618
381,368
0.77
1.13
642,986
SOUTH KOREA
915,000,000 Korea (Republic of)
FINLAND
390,000 Finland (Government of)
MEXICO
70,000 Mexico (United Mexican States)
10.06.12/4.000%
15.09.14/3.125%
15.04.20/3.375%
05.12.24/10.000%
PORTUGAL
110,000 Portugal (Republic of)
594,567
1.76
1.76
403,111
152,043
1.19
0.45
555,154
1.64
510,720
1.51
510,720
1.51
01.01.13/10.000%
354,654
1.05
354,654
1.05
28.05.15/5.000%
30.05.17/4.875%
106,821
103,938
210,759
0.62
UNITED KINGDOM
200,000 Barclays Bank
13.04.16/3.625%
203,264
0.60
203,264
0.60
13.06.17/5.250%
SWEDEN
150,000 Skandinaviska Enskilda Banken A Shares
19.05.16/3.750%
NORWAY
100,000 DnB NOR Bank
177,043
0.52
177,043
0.52
149,888
0.44
149,888
0.44
99,171
0.29
99,171
0.29
Total Bonds
26,951,793
79.56
Total Transferable Securities Admitted to an Official

Exchange Listing
26,951,793
79.56
778,250
960,513
2.30
2.83
1,738,763
5.13
24.02.21/4.375%

Bonds
UNITED KINGDOM
1,100,000 Aire Valley Mortgages 2006-1X
2B2
20.09.66/1.724%*
1,013,199 Granite Master Issuer 2006-2 A5 20.12.54/1.389%

78,115 Asset Backed Funding
Certificates 2005-HE2 M1
194,312 Credit Suisse First Boston
Mortgage Securities 2004-3 2A1
96,068 Equity One ABS 2004-3 AF4
126,644 Morgan Stanley ABS Capital I
2004-SD2 A
285,000 Morgan Stanley Capital I
2005-HQ7 A4
130,000 Park Place Securities
2005-WHQ3 M1
370,604 Residential Asset Mortgage
Products 2004-RS11 M1
225,000 Wachovia Bank Commercial
Mortgage Trust 2005-C21 A4
157,215 Wells Fargo Mortgage Backed
Securities Trust 2005-2 2A1
FRANCE
172,000 French Treasury Bill
25.06.35/0.674%*
53,146
0.16
25.04.19/5.000%
25.07.34/5.100%*
140,289
65,084
0.42
0.19
25.04.34/0.636%*
71,812
0.21
14.11.42/5.374%*
213,776
0.63
81,177
0.24
25.06.35/0.606%*
25.11.34/0.814%*
208,393
0.62
15.10.44/5.380%*
169,938
0.50
25.04.20/4.750%
28.07.11/0.000%
113,081
0.33
1,116,696
3.30
171,902
0.51
171,902
0.51
SPAIN
583 Fondo de Titulizacion de Activos
Santander Auto 1 A
25.11.21/1.493%*
BRAZIL
830 Brazil (Republic of)

100,000 BMW US Capital
100,000 HSBC Finance
CANADA
170,000 Xstrata Finance Canada 144A
1.90
594,567
15.10.15/3.350%
14.06.19/4.750%
15.06.20/4.800%
Total Bonds
36
574
0.00
574
0.00
3,027,935
8.94

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Investment Funds
LUXEMBOURG
142 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM
Euro Liquidity X (acc))

1,973,423
5.82
1,973,423
5.82
1,973,423
5.82

Regulated Market
5,001,358
14.76
Total Investments
31,953,151
94.32
Cash
Total Net Assets
572,217
1.69
1,351,762
3.99
33,877,130
100.00

Italy
France
Spain
Netherlands
Belgium
United Kingdom
Austria
South Africa
Ireland
South Korea
Finland
Mexico
Brazil
Russia
Portugal
Canada
Sweden
Norway
Investment Funds
Luxembourg
Total

Italy
France
United Kingdom
Spain
Belgium
Netherlands
Greece
Austria
Ireland
Mexico
South Korea
South Africa
Finland
Portugal
Sweden
Luxembourg
Israel
Brazil
Singapore
Russia
Germany
Canada
Jersey
Australia
Investment Funds
Luxembourg
Total
37
% of
Net Assets
23.16
14.68
9.61
7.63
6.37
5.73
3.92
3.63
2.92
1.90
1.76
1.64
1.51
1.05
0.90
0.84
0.52
0.44
0.29
88.50
5.82
94.32
5.68
100.00
% of
Net Assets
23.38
10.70
8.12
8.10
7.70
6.31
4.52
3.84
3.03
2.21
1.71
1.68
1.65
1.54
1.50
1.28
1.23
1.15
1.03
0.95
0.90
0.88
0.78
0.67
0.64
95.50
0.96
0.96
3.54
100.00

Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in EUR)
As at 30 June 2011
Expiration
Date
Number of
Contracts Security Description
Currency
Notional
Value
Unrealised
Gain/
(Loss)
1,285,460
4,026,240
430,560
534,082
(3,791,102)
(247,715)
(423,873)
(880)
(2,963)
(160)
44
(810)
65
648
Bond Futures
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
11
32
4
4
(25)
(3)
(5)
Euro-Bobl Future
Euro-Bund Future
Euro-Schatz Future
Long Gilt Future
US 2 Year Note Future
EUR
EUR
EUR
GBP
USD
USD
USD
Total
(4,056)
Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR)
Settlement
Date
Currency
Amount
Purchased
Currency
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
10-Aug-11
AUD
AUD
CAD
CAD
CHF
CHF
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
JPY
JPY
JPY
NOK
NOK
NOK
NOK
NZD
SEK
SEK
SEK
SEK
USD
USD
USD
USD
54,871
72,057
301,544
65,607
85,942
136,316
207,410
128,408
527,748
586,385
825,904
198,017
91,381
77,065
309,730
1,677,916
982,338
54,475
410,264
18,286,808
13,247,296
15,147,663
798,579
4,876,718
2,090,795
526,346
131,120
552,548
4,567,605
949,430
2,042,978
184,591
521,213
58,235
350,000
CHF
USD
EUR
SEK
AUD
NZD
AUD
CAD
CHF
GBP
JPY
MXN
NOK
NZD
SEK
USD
ZAR
AUD
EUR
CHF
EUR
USD
AUD
EUR
SEK
USD
EUR
CHF
EUR
JPY
USD
CHF
EUR
GBP
SEK
Total
Amount
Sold
Unrealised
Gain/
(Loss)
48,874
75,466
210,936
425,602
97,014
201,249
286,372
182,560
640,377
522,689
96,637,247
3,396,656
718,999
137,670
2,821,717
2,447,605
9,773,303
83,497
460,525
191,086
115,301
188,889
138,592
620,063
2,440,959
97,755
73,169
74,872
506,412
11,831,284
320,996
154,558
365,020
36,453
2,282,084
385
1,012
4,904
522
(1,065)
(3,098)
(4,140)
(2,265)
1,679
7,860
(3,934)
(1,532)
(916)
(1,660)
1,847
(15,683)
(9,811)
(1,387)
(6,435)
54
(1,545)
(625)
131
5,952
2,054
(75)
1,811
(1,218)
(8,032)
1,997
803
757
(4,371)
(51)
(6,823)
(42,898)
38

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
906,718 Unione di Banche Italiane

Shares
UNITED KINGDOM
12,000 Anglo American
500,000 Ashtead Group
1,190,000 Barratt Developments
130,000 Berkeley Group Holdings
705,000 BowLeven
980,000 BP
175,000 British Land
1,960,000 BT Group
810,000 Capital & Counties Properties
190,000 Computacenter
170,000 Croda International
320,000 Drax Group
385,000 Electrocomponents
410,000 Filtrona
770,000 GKN
540,000 Great Portland Estates
385,000 IMI
68,000 Johnson Matthey
315,000 Kingfisher
225,000 Northumbrian Water Group
235,000 Persimmon
291,090 Renishaw
550,000 Rexam
120,000 SABMiller
495,000 Segro
360,000 Tate & Lyle
5,950,000 Taylor Wimpey
145,000 United Utilities Group
53,000 Victrex
870,000 William Hill
175,000 Xstrata
1,450,332 Yule Catto & Co.
FRANCE
55,866
1,223,702
117,005
443,817
320,866
68,600
146,537
81,954
69,009
499,631
42,511
67,374
53,625
155,258
39,950
173,886
192,857
Aeroports de Paris
Alcatel-Lucent
Alstom
Altran Technologies
AXA
BNP Paribas
Cie Gnrale de Gophysique-Veritas
Eiffage
Eurazeo
Groupe Eurotunnel Registered Shares
ICADE
Ipsen
Pernod-Ricard
Peugeot
PPR
Thals
Vivendi
408,194
937,166
1,505,837
1,857,132
2,593,914
4,970,703
1,174,500
4,353,362
1,748,472
1,006,266
3,533,302
1,775,998
1,143,218
1,658,947
1,957,674
2,608,447
4,469,390
1,465,220
933,618
1,032,224
1,250,831
5,662,063
2,345,570
2,990,857
1,695,983
2,451,952
2,487,132
951,504
881,130
2,193,151
2,639,358
3,632,828
0.17
0.39
0.63
0.78
1.08
2.08
0.49
1.82
0.73
0.42
1.48
0.75
0.47
0.69
0.82
1.09
1.87
0.61
0.39
0.43
0.52
2.37
0.98
1.25
0.71
1.02
1.04
0.40
0.37
0.91
1.10
1.52
70,315,943
29.38
3,624,586
4,903,374
4,964,522
2,482,934
4,987,862
3,625,510
3,711,782
3,725,629
3,443,894
3,860,899
3,613,860
1,640,052
3,650,522
4,785,440
4,901,865
5,134,854
3,681,640
1.52
2.05
2.07
1.04
2.08
1.51
1.55
1.56
1.44
1.61
1.51
0.69
1.53
2.00
2.04
2.15
1.54
66,739,225
GERMANY
71,513
84,967
632,634
90,941
63,220
88,487
196,257
138,598
37,399
NETHERLANDS
79,497 Koninklijke DSM
395,728 Reed Elsevier
SPAIN
341,864 Gas Natural SDG
JERSEY
690,000 Cape
DENMARK
587,172 TDC
ISLE OF MAN
572,000 Lamprell
SWITZERLAND
266,949 ABB Registered Shares
130 EFG International
22,588 Geberit Registered Shares
436,883 OC Oerlikon Registered Shares
274,317 Schmolz + Bickenbach Registered Shares
43,610 Sulzer Registered Shares
ITALY
656,726 Fiat
452,030 Finmeccanica
1,308,053 Intesa Sanpaolo
3,469,103
1.45
14,527,242
6.07
3,554,311
3,638,719
1.48
1.52
7,193,030
3.00
4,880,963
2.04
4,880,963
2.04
4,209,201
1.76
4,209,201
1.76
3,704,122
1.55
3,704,122
1.55
2,369,479
0.99
2,369,479
0.99
Total Shares
235,297,420
98.32

235,297,420
98.32

Investment Funds
LUXEMBOURG
7,005,288 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM
Euro Liquidity X (dist))
7,005,288
2.93
7,005,288
2.93
7,005,288
2.93

Regulated Market
7,005,288
2.93
Other Transferable Securities

Shares
AUSTRIA
951,684 Immofinanz*
0.00
0.00
Total Shares
0.00
Total Other Transferable Securities
0.00
242,302,708
101.25
27.89
Total Investments
Bilfinger Berger
Fraport Frankfurt Airport Services Worldwide
Infineon Technologies
K+S
Merck KGaA
Porsche Automobil Holding Preference Shares
Suedzucker
ThyssenKrupp
Volkswagen
%
of
Net
Assets
Market
Value
4,868,963
4,724,165
4,897,852
4,828,512
4,726,643
4,826,966
4,793,087
4,948,988
4,710,404
2.03
1.97
2.05
2.02
1.97
2.02
2.00
2.07
1.97
43,325,580
18.10
4,753,294
997
3,658,824
2,399,509
2,334,788
4,885,223
1.99
0.00
1.53
1.00
0.98
2.04
18,032,635
7.54
4,950,072
3,745,069
2,362,998
2.07
1.56
0.99
8,977,277
3.75
(11,961,733)
(5.00)
Total Net Assets
239,318,252
100.00
Cash
* This Security is submitted to a fair valuation.
39

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities

Shares
Industrials
Consumer Discretionary
Materials
Financials
Information Technology
Consumer Staples
Energy
Telecommunication Services
Investment Companies
Utilities
Health Care
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
24.56
16.71
15.00
12.75
7.36
5.80
5.70
4.91
2.93
2.87
2.66
101.25
(1.25)
100.00
% of
Net Assets
Shares and Rights

Materials
Industrials
Energy
Financials
Consumer Staples
Total Shares and Rights
20.68
20.65
20.54
15.37
12.53
7.33
2.09
1.69
100.88
(0.88)
Total
100.00
40
Name of Securities
Market
Value
%
of
Net
Assets

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
NETHERLANDS
97,827 EADS
728,853 ING Groep - CVA
303,137 Koninklijke KPN
237,677 Royal Dutch Shell - A Shares
297,750 Vimetco Registered Shares GDR

Shares
UNITED KINGDOM
518,236 Aegis Group
931,617 Afren
61,203 ASOS
153,261 AstraZeneca
1,042,068 Barratt Developments
176,015 BG Group
1,414,303 BP
306,914 Brammer
119,345 British American Tobacco
2,406,206 BT Group
603,976 Cairn Energy
522,843 Centrica
320,877 Dominos Pizza UK & IRL
140,715 Greene King
453,482 HSBC Holdings
245,012 Inchcape
142,808 Intercontinental Hotels Group
277,313 International Power
3,179,722 ITV
336,289 J Sainsbury
289,635 Persimmon
175,129 Petropavlovsk
592,247 Premier Farnell
747,194 Prudential
94,900 Rio Tinto
265,844 SABMiller
551,780 Salamander Energy
811,398 SIG
133,744 Soco International
90,497 Standard Chartered
465,780 Tate & Lyle
216,083 Travis Perkins
4,014,255 Vodafone Group
68,491 Weir Group
237,842 Xstrata
FRANCE
343,776
82,362
133,554
113,202
31,978
117,333
62,215
35,752
169,484
72,095
106,728
225,527
222,820
Alcatel-Lucent
Atos Origin
AXA
BNP Paribas
Cap Gemini
Crdit Agricole
LOral
PPR
Sanofi-Aventis
Schneider Electric
Socit Tlvision Franaise 1
Suez Environnement
Total
SWITZERLAND
112,338 Compagnie Financiere Richemont - Bearer A Shares
32,765 Crdit Suisse Group Registered Shares
4,763 Georg Fischer Registered Shares
76,993 Nestl Registered Shares
123,309 Novartis Registered Shares
77,640 Roche Holding - Genussschein
521,767 UBS Registered Shares
21,566 Zurich Financial Services
GERMANY
41,543
138,813
76,404
35,532
1,442,300
33,853
256,743
44,627
117,682
349,776
Allianz Registered Shares

Bayer Registered Shares
Bayerische Motoren Werke
Brenntag
Commerzbank
Continental
E.ON
Hamburger Hafen und Logistik
Henkel & Co. KGaA Non Voting Preference Shares
916,889
1,602,922
1,627,129
5,236,239
1,318,643
2,747,633
7,173,551
1,098,237
3,584,092
5,344,432
2,710,377
1,863,671
1,429,839
769,216
3,080,379
1,132,434
2,013,249
981,886
2,492,623
1,221,019
3,435,266
1,541,635
1,412,182
1,627,270
5,886,686
4,687,501
6,625,845
1,706,812
1,192,790
526,585
1,627,145
3,172,417
2,361,471
7,313,135
1,606,864
3,587,143
0.28
0.49
0.50
1.61
0.40
0.85
2.20
0.34
1.10
1.64
0.83
0.57
0.44
0.24
0.95
0.35
0.62
0.30
0.77
0.38
1.06
0.47
0.43
0.50
1.81
1.44
2.04
0.53
0.37
0.16
0.50
0.97
0.72
2.24
0.50
1.10
96,655,207
29.70
1,377,510
3,180,820
2,076,097
5,982,726
1,293,830
1,203,250
5,543,356
4,386,770
9,311,451
8,265,692
1,327,963
3,086,337
8,808,075
0.42
0.98
0.63
1.84
0.40
0.37
1.70
1.35
2.86
2.54
0.41
0.95
2.71
55,843,877
17.16
8,390,170
5,052,565
880,026
1,782,748
3,289,176
5,151,485
8,881,997
6,508,331
3,748,044
2.58
1.55
0.27
0.55
1.01
1.58
2.73
2.00
1.15
43,684,542
13.42
3,983,143
7,670,112
5,211,517
2,839,540
4,269,929
2,437,924
4,104,975
1,330,554
5,607,253
2,707,966
1.23
2.36
1.60
0.87
1.31
0.75
1.26
0.41
1.72
0.83
40,162,913
12.34
Name of Securities
SWEDEN
128,025
759,911
136,403
447,256
Intrum Justitia
Nordea Bank
Tele2 - B Shares
Telefonaktiebolaget LM Ericsson - B Shares
Market
Value
2,252,467
6,113,254
3,014,546
5,766,733
550,390
%
of
Net
Assets
0.69
1.88
0.93
1.77
0.17
17,697,390
5.44
1,295,455
5,601,507
1,855,953
4,449,945
0.40
1.72
0.57
1.37
13,202,860
4.06
2,994,050
5,631,954
1,036,932
2,492,067
0.92
1.73
0.32
0.76
ITALY
672,216
1,390,606
1,084,373
1,736,027
Enel
Snam Rete Gas
Telecom Italia
UniCredit
12,155,003
3.73
647,789
2,640,182
4,351,907
2,956,363
0.20
0.81
1.34
0.91
10,596,241
3.26
1,005,841
1,628,684
1,456,396
2,209,989
1,780,149
0.31
0.50
0.45
0.68
0.54
8,081,059
2.48
1,057,906
1,373,793
4,594,638
0.33
0.42
1.41
7,026,337
2.16
2,245,553
4,145,057
0.69
1.27
SPAIN
112,757
330,767
549,622
176,394
FINLAND
227,206
47,741
161,687
307,263
76,303
Antena 3 de Television
BBVA
BSCH
Telefonica
Nokia
Nokian Renkaat
Outokumpu
Stora Enso - R Shares
Wartsila
JERSEY
195,564 Glencore International
696,258 Highland Gold Mining
214,390 Shire
BELGIUM
84,111 KBC Groep
38,939 Solvay
41
6,390,610
1.96
DENMARK
63,543 Carlsberg - B Shares
111,531 Danske Bank
4,742,879
1,418,231
1.46
0.43
6,161,110
1.89
IRELAND
64,923 Paddy Power
2,419,031
0.74
2,419,031
0.74
NORWAY
959,340 Norske Skogindustrier
128,325 Petroleum Geo-Services
1,093,848
1,267,286
0.34
0.39
2,361,134
0.73
GUERNSEY
517,376 Resolution
1,655,903
0.51
1,655,903
0.51

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
AUSTRIA
13,659 Palfinger
339,768
0.11
339,768
0.11
Total Shares
324,432,985
99.69

324,432,985
99.69
Total Investments
324,432,985
99.69
(183,242)
(0.06)
Bank Overdraft
Total Net Assets

Shares
Financials
Consumer Staples
Health Care
Energy
Materials
Industrials
Utilities
Total Shares
Bank Overdraft and Other Assets/(Liabilities)
Total

Shares
Financials
Materials
Consumer Staples
Energy
Health Care
Industrials
Utilities
Total Shares
Total
%
of
Net
Assets
Market
Value
1,190,091
0.37
325,439,834
100.00
Quantity/
Nominal
Value
% of
Net Assets
21.26
13.15
10.38
10.19
9.93
9.69
7.94
6.61
5.73
4.81
99.69
0.31
100.00
% of
Net Assets
20.03
14.29
11.26
9.85
9.18
7.61
7.56
7.54
6.17
5.29
0.76
99.54
0.46
100.00
42
Name of Securities
Market
Value
%
of
Net
Assets

As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
EUR
1,103,505
2,730
Equity Futures
Sep-11
39 DJ Euro Stoxx 50 Index Future
Total
2,730
Settlement
Date
Currency
Amount
Purchased
Currency
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
CHF
EUR
EUR
EUR
EUR
EUR
GBP
NOK
EUR
EUR
EUR
EUR
EUR
GBP
NOK
SEK
978,921
7,751,597
755,294
19,248,900
983,906
2,818,904
823,216
2,929,649
4,317,949
1,777,098
14,946,759
1,242,779
2,457,996
7,433,882
19,255,407
47,303,320
EUR
CHF
DKK
GBP
NOK
SEK
EUR
EUR
CHF
DKK
GBP
NOK
SEK
EUR
EUR
EUR
Total
Amount
Sold
Unrealised
Gain/
(Loss)
820,759
9,473,739
5,633,708
17,185,451
7,719,501
25,431,392
924,808
375,292
5,337,193
13,250,454
13,090,471
9,780,814
22,618,849
8,378,211
2,444,743
5,288,596
(17,513)
(22,002)
18
238,072
(8,058)
41,542
(14,152)
1,171
(63,335)
548
462,856
(13,621)
(11,416)
(153,021)
28,723
(124,258)
345,554
43

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
367,038
748,688
133,645
213,590
261,028
336,089
145,000
842,537
305,874
50,297
271,478
298,097
505,909
74,712
55,050
225,251
1,185,364
156,586
118,110
278,775
222,347
74,014
381,775
60,557
84,486
256,298
300,501
294,404
942,772
395,174
83,471
157,532
296,124
86,846
105,378
439,368
201,320
433,419
122,057
87,795
537,908
176,866
1,061,194
381,056
204,369
189,569
34,168
6,097,986
157,584
403,140
496,113
588,294

Shares and Rights
UNITED KINGDOM
456,289 Aberdeen Asset Management
81,558 Admiral Group
82,304 Anglo Pacific Group
101,234 Antofagasta
222,498 Ashmore Group
175,979 AstraZeneca
119,843 Atkins (WS)
484,904 Aviva
152,221 Babcock International Group
292,869 Balfour Beatty
437,900 BBA Aviation
164,006 Berendsen
197,135 BHP Billiton
278,593 Bodycote
2,216,171 BP
235,336 Brewin Dolphin Holdings
135,677 British Sky Broadcasting Group
1,233,599 BT Group
136,990 Bunzl
172,414 Capita Group
245,325 Capital Shopping Centres Group
204,896 Carillion
803,185 Centrica
312,936 Chesnara
450,154 Cineworld Group
47,312 City of London Investment Group
34,564 Clarkson
91,887 Close Brothers Group
283,237 Collins Stewart Hawkpoint
611,401 Communisis
336,651 Compass Group
196,893 Computacenter
84,333 Costain Group
169,123 Daily Mail & General Trust - A Shares
198,815 Dairy Crest Group
332,677 Diageo
266,342 Diploma
72,089 Domino Printing Sciences
165,496 Drax Group
471,013 DS Smith
288,575 Electrocomponents
381,616 F&C Asset Management
976,371 Fiberweb
284,461 Filtrona
425,511 G4S
376,918 GKN
623,688 GlaxoSmithKline
51,611 Go-Ahead Group
151,783 Greene King
186,051 Greggs
158,125 Halma
234,559 Hammerson
521,416 Hansteen Holdings
617,723 Hays
144,686 Hill & Smith Holdings
1,480,462 HSBC Holdings
219,336 ICAP
103,245 IMI
138,555 Imperial Tobacco Group
177,028 Inmarsat
288,651 Intermediate Capital Group
407,750 International Power
278,370 Interserve
218,825 Investec
391,755 ITE Group
354,876 J Sainsbury
108,559 Jardine Lloyd Thompson Group
25,094 John Menzies
1,055,865 Kcom Group
57,131 Kier Group
536,020 Kingfisher
523,798 Ladbrokes
174,598 Land Securities Group
1,300,116 Legal & General Group
543,648 Logica
296,990 London & Stamford Property
100,434 London Stock Exchange Group
91,231 Majestic Wine
471,908 Man Group
1,119,202
1,490,778
290,914
1,555,370
977,799
6,012,411
996,200
2,335,872
1,195,468
989,830
1,044,550
974,633
5,320,030
1,139,111
11,240,743
383,699
7,451,199
1,483,453
1,271,519
2,739,951
1,173,587
1,366,927
1,081,236
849,337
2,862,949
818,638
1,007,058
223,724
479,049
780,077
221,281
207,147
2,235,204
1,042,772
205,223
862,306
817,203
4,678,905
1,098,888
545,020
918,502
1,307,190
856,894
313,337
637,194
1,150,990
1,313,167
958,289
9,170,206
903,708
829,719
1,075,799
720,439
1,238,884
501,775
697,971
558,143
10,056,374
1,139,434
1,198,551
3,153,313
1,082,370
1,019,476
1,443,726
1,012,263
1,216,898
944,228
1,288,506
812,041
137,295
906,540
855,649
1,588,692
880,379
1,637,239
1,689,041
807,003
426,897
1,114,816
482,243
1,217,281
0.19
0.25
0.05
0.26
0.16
1.00
0.17
0.39
0.20
0.16
0.17
0.16
0.89
0.19
1.87
0.06
1.24
0.25
0.21
0.46
0.20
0.23
0.18
0.14
0.48
0.14
0.17
0.04
0.08
0.13
0.04
0.03
0.37
0.17
0.03
0.14
0.14
0.78
0.18
0.09
0.15
0.22
0.14
0.05
0.11
0.19
0.22
0.16
1.53
0.15
0.14
0.18
0.12
0.21
0.08
0.12
0.09
1.68
0.19
0.20
0.53
0.18
0.17
0.24
0.17
0.20
0.16
0.21
0.14
0.02
0.15
0.14
0.26
0.15
0.27
0.28
0.13
0.07
0.19
0.08
0.20
FRANCE
250,401
121,135
79,763
189,196
14,103
13,808
10,857
29,839
12,088
28,271
28,552
26,410
11,594
143,023
64,685
63,359
3,290
93,885
8,348
9,657
81,321
83,914
252,956
15,749
71,786
63,172
181,408
44
Name of Securities
Maturity/
Coupon
Marks & Spencer Group

Marstons
Mecom Group
Meggitt
Melrose
Mitie Group
Mondi
Moneysupermarket.com Group
Morgan Crucible
Morgan Sindall Group
N Brown Group
National Express Group
National Grid
New World Resources - A Shares
Next
Northumbrian Water Group
Old Mutual
Pearson
Pennon Group
Premier Farnell
Primary Health Properties
Provident Financial
Prudential
Rathbone Brothers
Reckitt Benckiser Group
Restaurant Group
Rexam
RPC Group
RSA Insurance Group
Sage Group
Savills
Scottish & Southern Energy
Segro
Severn Trent
Smiths Group
Stagecoach Group
Standard Chartered
Standard Life
Sthree
Stobart Group
TalkTalk Telecom Group
Tate & Lyle
Tesco
TUI Travel
Tullett Prebon
United Utilities Group
Vitec Group
Vodafone Group
WH Smith
William Hill
WM Morrison Supermarkets
Workspace Group
AXA
BNP Paribas
CNP Assurances
Crdit Agricole
Euler Herms
Foncire Des Rgions
Gecina
GL Events
ICADE
Mercialys
Nexity
Rallye
Rubis
Sanofi
SCOR
Sequana
Socit de la Tour Eiffel
Socit Gnrale
Societ Immobilire de Location pour lIndustrie et le
Commerce
Societe Internationale de Plantations dHeveas
Socit Tlvision Franaise 1
Suez Environnement
Total
Unibail-Rodamco
Veolia Environnement
Vinci
Vivendi
Market
Value
%
of
Net
Assets
1,468,671
850,090
325,784
903,331
1,041,883
891,474
998,017
931,953
1,041,566
351,752
790,661
832,082
3,403,765
762,156
1,407,221
1,033,375
1,743,847
2,032,549
907,327
765,968
786,111
784,304
3,007,773
750,888
3,172,704
833,201
1,281,539
1,156,051
1,397,908
1,266,315
358,931
2,419,467
1,014,589
1,396,272
1,399,903
1,245,124
3,619,753
999,823
530,254
139,259
854,710
1,204,630
4,672,020
949,421
791,316
1,243,971
230,261
11,109,258
853,499
1,016,261
1,625,439
196,064
0.25
0.14
0.05
0.15
0.17
0.15
0.17
0.16
0.17
0.06
0.13
0.14
0.57
0.13
0.24
0.17
0.29
0.34
0.15
0.13
0.13
0.13
0.50
0.13
0.53
0.14
0.21
0.19
0.23
0.21
0.06
0.40
0.17
0.23
0.23
0.21
0.60
0.17
0.09
0.02
0.14
0.20
0.78
0.16
0.13
0.21
0.04
1.85
0.14
0.17
0.27
0.03
206,622,216
34.42
3,892,484
6,401,985
1,192,058
1,940,205
827,705
1,005,844
1,044,661
773,427
1,027,601
824,312
940,574
761,929
1,013,374
7,857,684
1,257,315
641,668
208,323
3,809,853
0.65
1.07
0.20
0.32
0.14
0.17
0.17
0.13
0.17
0.14
0.16
0.13
0.17
1.31
0.21
0.11
0.03
0.63
821,861
877,870
1,011,837
1,148,363
9,999,351
2,493,854
1,382,419
2,777,199
3,463,079
0.14
0.14
0.17
0.19
1.66
0.41
0.23
0.46
0.58
59,396,835
9.89

As at 30 June 2011
Quantity/
Nominal
Value
GERMANY
58,820
82,436
11,075
24,867
114,395
13,831
25,107
32,320
117,115
17,518
37,408
30,331
83,567
162,776
93,635
170,928
11,274
24,639
31,150
8,522
15,390
38,313
97,065
28,940
17,500
57,296
Name of Securities
Maturity/
Coupon

Alstria Office REIT
Amadeus Fire
Axel Springer
BASF
Bilfinger Berger
Cewe Color Holding
Comdirect Bank
Daimler Registered Shares
Delticom
Deutsche Boerse
Deutsche Euroshop
Deutsche Lufthansa Registered Shares
Deutsche Post Registered Shares
DIC Asset
Drillisch
Fielmann
GSW Immobilien
Hannover Rueckversicherung Registered Shares
Hochtief
Hugo Boss Preference Shares
Indus Holding
KHD Humboldt Wedag International
Muenchener Rueckversicherungs Registered Shares
Pfeiffer Vacuum Technology
ProSiebenSat.1 Media Preference Shares
SWITZERLAND
17,201 Baloise Holding Registered Shares
2,736 Banque Cantonale Vaudoise Registered Shares
2,516 Bossard Holding - Bearer Shares
6,880 EMS-Chemie Holding Registered Shares
5,382 Inficon Holding Registered Shares
99,159 Mobilezone Holding - Bearer Shares
16,664 Orior
20,756 Swiss Prime Site Registered Shares
4,568 Swisscom Registered Shares
33,315 Vontobel Holding Registered Shares
953 Walter Meier Registered Shares
NETHERLANDS
43,490 Accell Group
49,719 Beter Bed Holding
78,660 BinckBank
25,234 Corio
66,234 Delta Lloyd
25,716 Eurocommercial Properties - CVA
21,339 Exact Holding
35,120 Koninklijke Boskalis Westminster
32,323 Koninklijke DSM
24,412 Macintosh Retail Group
58,230 Mediq
39,078 Randstad Holding
716,121 Royal Dutch Shell - B Shares
71,416 SBM Offshore
10,016 TKH Group
16,088 Vastned Retail
12,910 Wereldhave
76,360 Wolters Kluwer
Market
Value
%
of
Net
Assets
5,639,662
863,105
332,776
847,156
7,666,753
941,684
815,350
247,797
6,060,701
1,285,033
1,957,374
825,534
1,252,251
2,142,132
815,374
1,372,894
867,647
572,118
1,110,186
491,975
1,063,449
918,746
572,392
3,040,147
1,513,400
1,119,564
0.94
0.14
0.05
0.14
1.28
0.16
0.13
0.04
1.01
0.21
0.33
0.14
0.21
0.36
0.14
0.23
0.14
0.10
0.18
0.08
0.18
0.16
0.09
0.51
0.25
0.19
44,335,200
7.39
1,220,961
1,135,164
326,737
969,375
773,764
761,810
15,950,793
10,037,978
734,792
1,222,998
1,438,448
770,718
169,261
3,231,875
0.20
0.19
0.05
0.16
0.13
0.13
2.66
1.67
0.12
0.20
0.24
0.13
0.03
0.54
38,744,674
6.45
862,298
915,824
745,539
1,150,986
1,077,462
881,737
450,413
1,139,293
1,445,161
2,118,437
403,774
771,693
1,243,462
17,440,521
1,309,769
222,280
788,071
903,377
1,170,026
0.14
0.15
0.12
0.19
0.18
0.15
0.08
0.19
0.24
0.35
0.07
0.13
0.21
2.91
0.22
0.04
0.13
0.15
0.19
35,040,123
5.84
1,474,172
1,072,916
1,295,744
702,050
4,607,737
777,616
4,786,708
1,234,203
13,339
823,099
845,828
1,226,354
1,112,095
1,222,672
1,005,749
0.24
0.18
0.22
0.12
0.77
0.13
0.80
0.21
0.00
0.14
0.14
0.20
0.18
0.20
0.17
Quantity/
Nominal
Value
101,815
54,892
255,033
557,693
71,332
418,641
31,552
125,133
Name of Securities
Gas Natural SDG

Grupo Catalana Occidente
Grupo Empresarial Ence
Iberdrola
Indra Sistemas
Mapfre
Red Elctrica
Repsol YPF
Abertis Infraestructuras
Acciona
ACS Actividades de Construccion y Servicios
Almirall
BBVA
Bolsas y Mercados Espaoles
BSCH
CaixaBank
CaixaBank - Rights
15.07.11
Duro Felguera
Ebro Foods
Enagas
Endesa
Ferrovial
Fomento de Construcciones y Contratas
Market
Value
1,453,664
910,933
689,227
3,369,023
1,012,736
1,062,930
1,303,334
2,964,088
%
of
Net
Assets
0.24
0.15
0.11
0.56
0.16
0.18
0.22
0.50
34,966,217
5.82
204,520
401,414
1,335,895
800,403
926,948
782,530
765,608
301,332
4,028,322
5,098,741
1,224,382
735,338
449,234
813,087
2,774,461
847,687
850,336
865,756
775,618
1,043,123
1,586,401
464,821
445,564
2,393,460
1,172,811
152,114
518,184
0.03
0.07
0.22
0.13
0.16
0.13
0.13
0.05
0.67
0.85
0.20
0.12
0.08
0.14
0.46
0.14
0.14
0.14
0.13
0.17
0.26
0.08
0.07
0.40
0.20
0.03
0.09
31,758,090
5.29
580,826
158,850
1,053,882
1,088,181
651,240
1,715,573
706,679
799,795
864,547
1,062,828
880,075
1,412,271
946,601
1,035,852
1,002,844
955,447
976,888
1,912,425
769,159
1,174,014
1,278,194
546,655
1,560,838
510,370
1,191,323
836,484
0.10
0.03
0.17
0.18
0.11
0.29
0.12
0.13
0.14
0.18
0.15
0.23
0.16
0.17
0.17
0.16
0.16
0.32
0.13
0.19
0.21
0.09
0.26
0.09
0.20
0.14
25,671,841
4.28
453,483
723,060
1,052,224
801,697
898,285
692,614
656,057
528,382
945,834
888,910
3,261,402
774,088
1,097,990
1,566,472
0.08
0.12
0.18
0.13
0.15
0.11
0.11
0.09
0.16
0.15
0.54
0.13
0.18
0.26
ITALY
26,884
165,055
91,437
78,394
602,501
86,611
139,901
100,578
904,428
316,005
147,783
501,424
267,640
53,829
1,535,821
686,664
63,887
97,550
246,228
138,529
391,704
58,894
173,169
2,502,965
367,537
39,500
95,167
FINLAND
36,404
23,780
92,649
73,377
40,639
86,514
287,268
91,041
73,050
33,203
31,286
36,101
88,015
58,243
64,141
107,414
63,229
85,971
60,114
292,407
177,712
148,346
124,320
45,447
51,064
48,268
Aeroporto di Venezia Marco Polo - SAVE

Arnoldo Mondadori Editore
Atlantia
Autostrada Torino-Milano
Banca Carige
Banca Generali
Benetton Group
Cairo Communication
Enel
ENI
Finmeccanica
Hera
Immobiliare Grande Distribuzione
Industria Macchine Automatiche
Intesa Sanpaolo
Iren
Lottomatica
MARR
Mediolanum
Recordati
Snam Rete Gas
Societa Iniziative Autostradali e Servizi
Sogefi
Telecom Italia
Terna Rete Elettrica Nazionale
Vittoria Assicurazioni
Zignago Vetro
Ahlstrom
Alma Media
Amer Sports - A Shares
Elisa
Fiskars
Fortum
F-Secure
Huhtamaki
Kemira
Kesko - B Shares
Konecranes
Metso
Neste Oil
Orion - B Shares
PKC Group
Pohjola Bank - A Shares
Rautaruukki
Sampo - A Shares
Sanoma
Sponda
Technopolis
UPM-Kymmene
Uponor
Wartsila
YIT
SPAIN
96,006
14,749
40,057
97,507
577,266
38,002
604,535
256,511
256,511
143,522
53,508
74,044
48,452
141,677
48,145
Maturity/
Coupon
SWEDEN
34,342
30,051
63,787
64,444
124,351
103,300
161,653
52,218
39,761
57,001
442,448
156,853
113,280
73,837
45
AF - B Shares
Axfood
Betsson
Bilia - A Shares
Billerud
Duni
HIQ International
Intrum Justitia
Mekonomen
NCC - B Shares
Nordea Bank
Peab
Svenska Cellulosa - B Shares
Svenska Handelsbanken - A Shares

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
99,717 Tele2 - B Shares

85,386 Wihlborgs Fastigheter
NORWAY
29,835
114,727
6,675
87,494
73,659
191,555
27,396
114,372
300,564
40,156
1,255,917
64,914
75,307
37,392
170,644
189,000
104,866
BELGIUM
607,432
44,059
54,983
8,137
12,828
29,476
18,732
13,541
22,965
21,296
19,658
25,766
28,968
20,855
PORTUGAL
312,117
387,219
189,350
188,653
550,145
346,743
363,450
174,979
188,652
1,135,313
224,169
JERSEY
668,699
94,529
195,609
516,518
163,702
780,018
BERMUDA
177,117
7,087
179,201
122,571
69,230
27,413
IRELAND
136,666
41,754
54,383
716,756
342,409
Aker - A Shares
Atea
Bonheur
BWG Homes
Cermaq
DnB NOR
Fred Olsen Energy
Gjensidige Forsikring
Grieg Seafood
Leroy Seafood Group
Marine Harvest
Sparebank 1 Nord-Norge
SpareBank 1 SMN
SpareBank 1 SR Bank
Statoil
Statoil Fuel & Retail
Telenor
Ageas
Arseus
Belgacom
Cofinimmo
Compagnie Maritime Belge
Elia System Operator
EVS Broadcast Equipement
Gimv
Groupe Bruxelles Lambert
Mobistar
Recticel
Telenet Group Holding
Tessenderlo Chemie
Warehouses De Pauw
Banco BPI Registered Shares

Banco Espirito Santo Registered Shares
Brisa-Auto Estradas de Portugal
Cimpor Cimentos de Portugal SGPS Registered
Shares
EDP - Energias de Portugal
Mota-Engil SGPS
Portucel Empresa Produtora de Pasta e Papel
Portugal Telecom SGPS Registered Shares
REN - Redes Energeticas Nacionais
Sonae
Zon Multimedia Servicos de Telecomunicacoes e
Multimedia SGPS
Beazley
Charter International
Experian
Henderson Group
Informa
Regus
Catlin Group
HAL Trust
Hiscox
Lancashire Holdings
Seadrill
Stolt-Nielsen
CRH
DCC
Irish Continental Group
Total Produce
United Drug
Market
Value
%
of
Net
Assets
1,356,789
852,341
0.23
0.14
16,549,628
2.76
550,350
853,527
115,408
236,751
820,219
1,832,623
666,827
968,503
486,820
638,787
704,380
318,342
474,827
246,940
2,977,773
1,261,534
1,175,808
0.09
0.14
0.02
0.04
0.14
0.30
0.11
0.16
0.08
0.11
0.12
0.05
0.08
0.04
0.50
0.21
0.20
14,329,419
2.39
1,122,838
500,951
1,352,169
796,694
239,499
869,837
868,134
593,570
1,401,095
1,110,693
149,892
837,395
859,625
806,984
0.19
0.09
0.22
0.13
0.04
0.15
0.15
0.10
0.23
0.18
0.02
0.14
0.15
0.13
11,509,376
1.92
313,678
974,630
792,524
0.05
0.16
0.13
997,125
1,339,878
541,266
827,757
1,189,682
455,972
818,561
0.16
0.22
0.09
0.14
0.20
0.08
0.14
719,470
0.12
8,970,543
1.49
912,008
829,954
1,709,311
869,857
774,911
952,962
0.15
0.14
0.28
0.15
0.13
0.16
6,049,003
1.01
784,439
645,023
820,131
880,586
1,674,400
432,552
0.13
0.11
0.13
0.15
0.28
0.07
5,237,131
0.87
2,076,640
819,213
851,502
290,286
814,077
0.35
0.14
0.14
0.05
0.13
4,851,718
0.81
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
GREECE
2,513 GEK Terna Holding Real Estate Construction
117,419 Hellenic Exchanges Holding Clearing Settlement and
Registry
140,753 Hellenic Petroleum
48,076 Metka
102,323 Motor Oil Hellas Corinth Refineries
96,566 OPAP
77,472 Public Power
29,878 Thessaloniki Water Supply & Sewage
AUSTRIA
54,615
25,252
37,447
47,380
25,744
EVN
Flughafen Wien
Oesterreichische Post
OMV
Semperit Holding
DENMARK
6,776
34,594
3,061
180,698
East Asiatic
Royal UNIBREW
SimCorp
TDC
LUXEMBOURG
12,525 RTL Group
80,694 SES
GUERNSEY
496,307 Resolution
ISLE OF MAN
623,672 Shaft Sinkers Holdings
CYPRUS
162,091 ProSafe
GABONESE REPUBLIC
1,915 Total Gabon
FAROE ISLANDS
113,134 Bakkafrost
CAYMAN ISLANDS
59,767 Phoenix Group Holdings
0.00
0.10
0.15
0.06
0.15
0.17
0.13
0.02
4,701,370
0.78
651,147
891,585
823,085
1,415,951
880,702
0.11
0.15
0.14
0.23
0.15
4,662,470
0.78
128,769
1,575,703
417,553
1,139,917
0.02
0.26
0.07
0.19
3,261,942
0.54
852,452
1,552,351
0.14
0.26
2,404,803
0.40
1,588,470
0.26
1,588,470
0.26
1,117,574
0.19
1,117,574
0.19
841,368
0.14
841,368
0.14
676,072
0.11
676,072
0.11
669,705
0.11
669,705
0.11
402,444
0.07
402,444
0.07
564,358,232
94.01

564,358,232
94.01
Total Investments
564,358,232
94.01
Cash
Total Net Assets
46
4,963
576,527
919,117
379,079
869,234
1,035,670
778,594
138,186
35,422,983
5.90
512,600
0.09
600,293,815
100.00

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon

Shares and Rights
Financials
Industrials
Energy
Consumer Staples
Utilities
Materials
Health Care
Total

Shares
Financials
Industrials
Consumer Staples
Utilities
Materials
Health Care
Energy
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
25.89
11.07
9.84
9.52
9.25
6.83
6.72
6.32
5.94
2.63
94.01
5.99
100.00
% of
Net Assets
24.40
13.39
11.18
10.05
9.82
7.46
6.98
6.77
6.01
3.35
99.41
0.59
100.00
47
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
21,504,200
12,293,657
193,800
107,250
Equity Futures
Sep-11
Sep-11
760 DJ Euro Stoxx 50 Index Future

189 FTSE 100 Index Future
EUR
GBP
Total
301,050
Settlement
Date
Currency
24-Aug-11
24-Aug-11
24-Aug-11
24-Aug-11
24-Aug-11
24-Aug-11
CHF
DKK
EUR
EUR
GBP
SEK
Amount
Purchased
Currency
44,350,575
57,922,654
45,330,988
9,642,225
2,697,137
103,506,561
EUR
EUR
GBP
NOK
EUR
EUR
Total
Amount
Sold
Unrealised
Gain/
(Loss)
37,090,142
7,768,263
39,635,013
75,890,522
3,044,970
11,241,941
(636,818)
(828)
1,451,689
(94,233)
(59,012)
46,841
707,639
48

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
BELGIUM
1,140,000 Belgium (Kingdom of)
Maturity/
Coupon
28.03.18/4.000%
Market
Value
%
of
Net
Assets
1,159,386
1.76
1,159,386
1.76
Bonds
JAPAN
250,000,000
790,000,000
553,100,000
220,000,000
287,000,000
164,500,000
109,000,000
67,000,000
Japan (Government of)

20.03.13/0.600%
20.09.14/1.500%
20.03.20/1.300%
20.09.20/0.800%
20.06.25/1.900%
20.12.28/1.900%
20.09.35/2.500%
20.09.39/2.200%
ITALY
1,540,000
760,000
675,000
1,020,000
Italy (Republic of)

Italy (Republic of)
Italy (Republic of)
Italy (Republic of)
01.02.17/4.000%
01.03.20/4.250%
01.09.20/4.000%
01.02.37/4.000%

245,000 AT&T
745,000 Bank of America
205,000 Citigroup
350,000 Citigroup Funding
350,000 General Electric Capital
350,000 HSBC Finance
245,000 Kraft Foods
245,000 Morgan Stanley
240,000 Tennessee Valley Authority
245,000 Verizon Communications
UNITED KINGDOM
300,000 Legal & General Group
275,000 UK Treasury
120,000 UK Treasury
336,000 UK Treasury
175,000 UK Treasury
780,000 UK Treasury
NETHERLANDS
800,000 LeasePlan
1,120,000 Netherlands (Kingdom of)
SOUTH AFRICA
135,000 South Africa (Republic of)
FRANCE
80,000
345,000
405,000
329,000
400,000

Socit des Autoroutes
Paris-Rhin-Rhone
GERMANY
150,000 Germany (Federal Republic of)
1,058,245 Germany (Federal Republic of)
15.05.21/4.450%
15.06.12/3.125%
28.05.15/5.000%
09.08.20/5.375%
10.12.12/2.250%
28.09.12/2.000%
30.05.17/4.875%
10.02.20/5.375%
25.01.21/5.750%
15.09.39/5.250%
01.04.21/4.600%
13.04.16/3.625%
08.06.25/4.000%*
07.03.14/2.250%
07.09.15/4.750%
07.06.32/4.250%
07.09.34/4.500%
07.12.42/4.500%
22.05.14/3.250%
01.06.21/3.875%
15.07.18/4.000%
2,159,765
7,041,047
4,884,161
1,851,457
2,574,448
1,435,125
1,026,860
596,366
3.27
10.67
7.40
2.81
3.90
2.17
1.56
0.90
SOUTH KOREA
1,706,000,000 Korea (Republic of)
21,569,229
32.68
DENMARK
3,900,000 Denmark (Kingdom of)
1,532,290
740,918
643,022
814,039
2.32
1.12
0.98
1.23
3,730,269
5.65
172,221
528,804
240,347
147,943
248,099
246,716
363,782
185,086
174,894
175,299
174,614
0.26
0.80
0.36
0.22
0.38
0.37
0.55
0.28
0.27
0.27
0.27
2,657,805
4.03
406,528
275,573
313,026
148,558
376,054
201,668
906,300
0.62
0.42
0.47
0.22
0.57
0.31
1.37
2,627,707
3.98
822,757
149,009
1,194,458
1.25
0.22
1.81
2,166,224
3.28
MEXICO
140,000 Mexico (United Mexican States) 05.12.24/10.000%
Spain (Kingdom of)

Spain (Kingdom of)
Spain (Kingdom of)
Spain (Kingdom of)
15.11.17/4.000%
CANADA
250,000 Xstrata Canada Financial
300,000 Suncor Energy
27.05.20/7.375%
01.06.18/6.100%
SWEDEN
3,525,000 Sweden (Kingdom of)
12.08.17/3.750%
RUSSIA
INTERNATIONAL AGENCIES
165,000 Eurasian Development Bank
144A
01.01.13/10.000%
31.03.30/7.500%*
29.09.14/7.375%
70,000 Peru (Republic of)
LUXEMBOURG
80,000 Telecom Italia Capital
21.11.33/8.750%
0.62
1,328,195
2.01
0.62
399,520
0.61
399,520
0.61
352,799
0.53
352,799
0.53
126,751
0.19
126,751
0.19

178,897 ACE Securities 2005-HE4 M1
424,066 Aegis Asset Backed Securities
Trust 2004-3 A1
14,908 Ally Auto Receivables Trust
2010-1 A2
400,000 Bear Stearns Commercial
Mortgage Securities
2005-T18 A4
1,100,000 Citibank Omni Master Trust
2009-A8 A8
1,727,058 Countrywide Alternative Loan
Trust 2005-J14 A3
216,906 Crdit Suisse First Boston
Mortgage Securities
2005-C2 AAB
208,514 Daimler Chrysler Auto Trust
2007-A A4
512,704 Fannie Mae REMICS 2006-78 BC
1,248,093 Fannie Mae REMICS 2010-116 BI
925,000 First National Master Note Trust
2009-3 A
49
65,913
0.10
65,913
0.10
68.04
411,347
0.17
0.61
0.51
0.59
0.13
0.62
407,110
68.04
12.01.17/5.000%
115,822
404,033
337,671
386,575
84,094
0.84
407,110
44,903,631
Bonds
31.01.14/4.250%
31.10.19/4.300%
30.04.20/4.000%
31.10.20/4.850%
16.02.21/5.462%
551,544
44,903,631
0.12
0.65
0.67
0.48
2.09
0.48
0.36
Total Bonds
82,393
425,794
442,909
314,221
1,377,455
315,184
236,360

25.04.21/3.750%
25.10.32/5.750%
25.04.35/4.750%
25.04.60/4.000%
2.54
0.85
0.85
0.08
2.97
0.24
1.85
563,687
563,687
0.08
1,958,768
159,470
1,217,985
1.55
1.55
54,608
1,676,664
1,021,439
1,021,439
54,608
04.06.38/7.721%
2.81
0.16
04.01.14/4.250%
04.07.34/4.750%
1.68
1.68
PERU
1,856,635
102,133
15.09.15/13.500%
09.03.20/5.500%
1,108,558
1,108,558
BRAZIL
SPAIN
115,000
431,000
370,000
402,000
120,000
10.06.12/4.000%
25.07.35/0.686%*
115,701
0.17
25.09.34/0.546%*
260,420
0.39
15.04.12/0.750%
10,305
0.02
25.06.35/0.666%*
60,738
0.09
13.02.42/4.933%*
296,838
0.45
16.05.16/2.287%*
769,621
1.17
25.12.35/5.500%
940,850
1.43
25.04.19/5.000%
156,602
0.24
77,131
0.12
08.03.13/5.280%
25.01.34/6.500%
25.08.20/5.000%
146,377
362,640
102,364
0.22
0.55
0.15
15.07.15/1.537%*
644,500
0.98
15.04.37/4.681%

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
398,513 First Union National Bank

Commercial Mortgage
2002-C1 A2
430,000 Freddie Mac
705,000 Freddie Mac REMICS 3800 KE
559,986 Harborview Mortgage Loan
Trust 2005-9 2A1A
259,966 Indymac Index Mortgage Loan
Trust 2005-16IP A1
1,598,483 Indymac Index Mortgage Loan
Trust 2005-AR8 2A1A
286,354 JP Morgan Mortgage Trust
2005-S2 1A1
790,000 LB-UBS Commercial Mortgage
Trust 2006-C6 A4
2004-SD2 A
2005-HQ7 A4
2006-IQ12 A4
270,000 NBC Universal Media 144A
2005-WHQ3 M1
129,664 Residential Funding Mortgage
Securities I 2006-S12 2A2
224,996 Structured Asset Securities
2005-WF4 A4
228,000 US Treasury (i)
795,000 US Treasury
890,000 US Treasury
300,000 US Treasury
565,000 US Treasury
1,075,000 US Treasury (i)
300,000 US Treasury
720,000 US Treasury
160,000 US Treasury
240,000 US Treasury
660,000 US Treasury
1,200,000 US Treasury
300,000 US Treasury
40,000 US Treasury
530,000 US Treasury
455,000 US Treasury
685,000 US Treasury
265,000 Wells Fargo Home Equity Trust
2004-2 AI6
CANADA
187,000 Canada (Government of)
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
Market
Value
%
of
Net
Assets

12.02.34/6.141%
30.07.14/1.000%
15.02.26/3.500%
279,791
297,168
479,893
0.42
0.45
0.73
20.06.35/0.526%*
309,643
0.47
25.07.45/0.506%*
116,624
0.18
25.04.35/0.416%*
699,910
1.06
25.08.20/4.500%
199,583
0.30
15.09.39/5.372%
597,236
0.90
Total Investments
25.04.34/0.636%*
85,189
0.13
14.11.42/5.374%*
255,031
0.39
15.12.43/5.332%
01.04.21/4.375%
191,174
184,765
90,544
0.14
25.11.34/0.806%*
247,064
0.38
25.12.36/6.000%
88,076
0.13
25.11.35/0.546%*
21.07.11/0.000%
31.12.14/2.625%
30.04.16/2.000%
31.05.16/1.750%
30.11.17/2.250%
15.02.19/8.875%
15.08.19/3.625%
15.05.20/3.500%
15.08.20/2.625%
15.11.20/2.625%
15.02.21/3.625%
15.05.21/3.125%
15.02.31/5.375%
15.02.36/4.500%
15.08.39/4.500%
15.08.40/3.875%
15.11.40/4.250%
15.02.41/4.750%
138,487
157,569
579,948
625,966
208,125
390,336
1,073,480
221,529
520,843
107,224
160,072
476,762
828,805
243,098
418,641
28,191
334,461
306,688
501,960
0.21
0.24
0.88
0.95
0.32
0.59
1.63
0.33
0.79
0.16
0.24
0.72
1.26
0.37
0.63
0.04
0.51
0.46
0.76
15.10.44/5.380%*
302,112
0.46
25.05.34/5.000%*
187,572
0.28
25.04.20/4.750%
129,236
0.20
16,006,883
24.26
179,163
124,436
0.27
0.19
Total Bonds

2,350,000 Lehman Brothers Holdings
(Defaulted)
303,599
0.46
16,310,482
24.72

Regulated Market
1,500,138
2.27
1,500,138
2.27
1,500,138
2.27
17,810,620
26.99
0.63
0.63
Total Bonds
418,236
0.63
418,236
0.63
63,132,487
95.66
1,557,119
2.36
Cash
Total Net Assets
03.04.09/0.000%
1,304,542
1.98
65,994,148
100.00

(i) Security partially or totally held as collateral against financial futures contracts by the broker.
Investment Funds
LUXEMBOURG
418,236
418,236
0.29
0.28
25.06.35/0.606%*
01.06.33/5.750%
01.06.37/5.000%
Bonds
50

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon

Japan
Italy
United Kingdom
Netherlands
South Africa
France
Germany
Spain
Belgium
South Korea
Mexico
Canada
Denmark
Sweden
Brazil
Russia
International Agencies
Peru
Luxembourg
Investment Funds
Luxembourg
Total

Japan
Italy
United Kingdom
France
Spain
Netherlands
Germany
Belgium
South Korea
South Africa
Canada
Israel
Mexico
Denmark
Cayman Islands
Bermuda
Brazil
Sweden
Russia
Jersey
Australia
Investment Funds
Luxembourg
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
32.68
28.92
5.65
3.98
3.28
2.97
2.54
2.09
2.01
1.76
1.68
1.55
1.30
0.85
0.62
0.61
0.53
0.19
0.10
0.08
93.39
2.27
2.27
4.34
100.00
% of
Net Assets
29.58
28.42
6.11
5.41
4.17
2.61
2.49
2.42
1.69
1.66
1.63
1.30
1.19
1.11
0.82
0.72
0.72
0.61
0.59
0.56
0.42
0.41
0.20
94.84
0.59
0.59
4.57
100.00
51
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
76,673
235,992
622,685
(1,402,320)
1,384,020
3,982,680
1,735,768
(7,430,561)
743,144
3,645,311
680,962
(434,997)
(126)
(356)
451
612
(1,280)
(1,480)
144
(2,484)
(5,384)
19,719
(5,313)
7,884
Bond Futures
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
1
3
7
(12)
11
37
13
(49)
9
43
8
(5)
Australia 3 Year Bond Future

Canada 10 Year Bond Future
Euro-Bobl Future
Euro-Bund Future
Euro-Schatz Future
Long Gilt Future
US Long Bond Future
US Ultra Bond Future
AUD
AUD
CAD
EUR
EUR
EUR
GBP
USD
USD
USD
USD
USD
Total
12,387
Settlement
Date
Currency
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
06-Jul-11
04-Aug-11
04-Aug-11
04-Aug-11
04-Aug-11
04-Aug-11
04-Aug-11
04-Aug-11
04-Aug-11
04-Aug-11
04-Aug-11
04-Aug-11
04-Aug-11
AUD
CAD
CAD
CAD
CHF
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
JPY
JPY
JPY
JPY
NOK
NOK
NOK
NOK
NOK
NZD
NZD
SEK
SEK
SEK
USD
USD
USD
AUD
EUR
EUR
EUR
EUR
EUR
GBP
GBP
GBP
JPY
USD
USD
Amount
Purchased
Currency
152,541
252,965
110,522
121,103
252,662
492,580
232,816
795,674
587,205
5,037,014
23,639,647
277,933
248,279
218,662
493,272
20,404,621
1,833,655
670,000
121,235
20,566,306
78,048,098
17,496,346
73,512,096
1,416,084
2,774,074
7,851,141
3,909,842
1,045,429
181,063
202,699
5,667,885
1,581,257
4,581,055
313,972
2,314,701
630,000
107,087
124,253
79,188
540,723
145,870
496,393
99,993
902,241
59,134
18,967,619
171,113
238,713
EUR
EUR
NOK
SEK
NZD
AUD
CAD
CHF
DKK
GBP
JPY
MXN
NOK
NZD
SEK
USD
ZAR
EUR
USD
CHF
EUR
SEK
USD
AUD
CHF
EUR
SEK
USD
AUD
EUR
EUR
JPY
USD
CAD
EUR
SEK
NZD
AUD
CHF
JPY
MXN
USD
CHF
EUR
SEK
EUR
CHF
EUR
Total
Amount
Sold
Unrealised
Gain/
(Loss)
112,559
180,728
622,369
784,773
372,011
668,381
331,022
971,042
4,377,765
4,395,010
2,770,723,227
4,644,800
1,951,129
383,489
4,484,889
29,330,485
18,226,979
753,172
199,243
216,257
678,424
1,397,847
909,742
245,197
422,517
1,008,773
4,565,601
193,965
139,292
115,466
634,532
19,745,792
721,131
306,831
1,601,359
4,100,252
138,415
170,437
95,608
62,945,973
2,472,472
713,969
133,432
1,011,370
611,985
165,761
142,233
164,975
535
313
(892)
951
(5,737)
(2,956)
(4,089)
(997)
308
175,456
(123,462)
4,453
(2,490)
(940)
3,395
131,059
(24,456)
(12,049)
(3,614)
(1,037)
(9,045)
(2,627)
1,653
214
9,893
298
3,821
293
413
608
(15,438)
3,368
1,928
(2,571)
(1,412)
(12,401)
(13)
(1,731)
664
313
558
2,458
1,074
(12,850)
(1,344)
(2,918)
1,561
170
100,688
52

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
AUSTRIA

Bonds
JAPAN
590,000,000
147,000,000
140,000,000
187,000,000
105,000,000
79,000,000

20.09.14/1.500%
20.03.20/1.300%
20.09.20/0.800%
20.06.25/1.900%
20.12.28/1.900%
20.09.35/2.500%
Name of Securities
7,608,266
1,878,136
1,704,679
2,426,986
1,325,369
1,076,801
13.19
3.25
2.95
4.21
2.30
1.87
16,020,237
27.77
DENMARK
2,600,000 Denmark (Kingdom of)
POLAND
1,200,000 Poland (Government of)
Maturity/
Coupon
15.03.19/4.350%
15.03.26/4.850%
15.11.17/4.000%
25.04.14/5.750%
ITALY
625,000
482,000
690,000
710,000
Italy (Republic of)

Italy (Republic of)
Italy (Republic of)
Italy (Republic of)
UNITED KINGDOM
330,000 UK Treasury
145,000 UK Treasury
155,000 UK Treasury
510,000 UK Treasury

145,000 AT&T
125,000 Citigroup
350,000 Citigroup Funding
160,000 Kraft Foods
SOUTH AFRICA
100,000 South Africa (Republic of)
NETHERLANDS
500,000 LeasePlan
610,000 Netherlands (Kingdom of)
FRANCE
249,000 France (Government of)
709,000 France (Government of)
200,000 Socit des Autoroutes
Paris-Rhin-Rhone
15.12.13/3.750%
01.03.20/4.250%
01.09.20/4.000%
01.02.37/4.000%
13.04.16/3.625%
08.06.25/4.000%*
07.09.15/4.750%
07.06.32/4.250%
07.09.34/4.500%
07.12.42/4.500%
15.05.21/4.450%
15.06.12/3.125%
28.05.15/5.000%
09.08.20/5.375%
10.12.12/2.250%
28.09.12/2.000%
10.02.20/5.375%
26.01.20/5.500%
25.01.21/5.750%
15.09.39/5.250%
01.04.21/4.600%
15.09.15/13.500%
09.03.20/5.500%
911,777
679,871
951,031
819,835
1.58
1.18
1.65
1.42
SWEDEN
2,530,000 Sweden (Kingdom of)
3,362,514
5.83
441,138
199,357
591,087
234,802
258,436
857,375
0.76
0.35
1.02
0.41
0.45
1.49
CANADA
100,000 Xstrata Canada Financial
2,582,195
4.48
147,472
374,848
270,470
130,519
358,962
356,962
174,885
81,209
103,284
142,668
149,522
0.26
0.64
0.47
0.23
0.62
0.62
0.30
0.14
0.18
0.25
0.26
2,290,801
3.97
1,737,122
109,460
3.01
0.19
1,846,582
3.20
744,004
143,729
941,253
1.29
0.25
1.63
1,828,986
3.17
01.06.18/6.100%
27.05.20/7.375%
%
of
Net
Assets
396,981
173,657
0.69
0.30
570,638
0.99
543,713
0.94
543,713
0.94
445,009
0.77
445,009
0.77
422,762
0.73
422,762
0.73
205,187
182,410
0.35
0.32
387,597
0.67
BRAZIL
RUSSIA
233,550 Russian Foreign Bond Eurobond
FINLAND
GERMANY
90,000 Germany (Federal Republic of)
144A
01.01.13/10.000%
31.03.30/7.500%*
15.09.14/3.125%
04.01.31/5.500%
29.09.14/7.375%
343,118
0.60
343,118
0.60
275,642
0.48
275,642
0.48
239,278
0.41
239,278
0.41
162,470
0.28
162,470
0.28
111,145
0.19
111,145
0.19
PERU
22.05.14/3.250%
01.06.21/3.875%
15.07.18/4.000%
12.08.17/3.750%
Market
Value
LUXEMBOURG
21.11.33/8.750%
04.06.38/7.721%
61,307
0.11
61,307
0.11
49,381
0.09
49,381
0.09
25.04.35/4.750%
25.04.60/4.000%
393,987
979,737
0.68
1.70
Total Bonds
38,132,661
66.11
12.01.17/5.000%
297,578
0.52

38,132,661
66.11
1,671,302
2.90
575,592
69,453
270,689
605,230
70,975
1.00
0.12
0.47
1.05
0.12
1,591,939
2.76
1,319,526
2.29
1,319,526
2.29
SPAIN
395,000
50,000
205,000
435,000
70,000
Spain (Kingdom of)

Spain (Kingdom of)
Spain (Kingdom of)
Spain (Kingdom of)
31.01.14/4.250%
30.07.19/4.600%
30.04.20/4.000%
31.10.20/4.850%
16.02.21/5.462%
MEXICO
125,000 Mexico (United Mexican States) 05.12.24/10.000%
BELGIUM
SOUTH KOREA
1,023,000,000 Korea (Republic of)
28.03.18/4.000%
10.06.12/4.000%
1,044,733
1.81
1,044,733
1.81
961,786
1.67
961,786
Bonds
282,711 Aegis Asset Backed Securities
Trust 2004-3 A1
2010-1 A2
675,000 Citibank Omni Master Trust
2009-A8 A8
863,529 Countrywide Alternative Loan
Trust 2005-J14 A3
Mortgage Securities
2005-C2 AAB
136,527 Daimler Chrysler Auto Trust
2007-A A4
768,057 Fannie Mae REMICS 2010-116 BI
1.67
53
25.07.35/0.689%*
105,727
0.18
25.09.34/0.546%*
251,193
0.44
8,771
0.02
48,333
0.08
16.05.16/2.287%*
683,300
1.18
25.12.35/5.500%
680,634
1.18
25.04.19/5.000%
127,451
0.22
15.04.37/4.681%
171,116
0.30
08.03.13/5.280%
25.08.20/5.000%
138,669
91,142
0.24
0.16
15.04.12/0.750%
25.06.35/0.666%*

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities

Commercial Mortgage
2002-C1 A2
265,000 Freddie Mac
625,000 Freddie Mac REMICS 3800 KE
320,000 Greenwich Capital Commercial
Funding 2005-GG3 A4
1,177,860 Harborview Mortgage Loan
Trust 2005-11 2A1A
Trust 2004-AR14 2A1A
2005-S2 1A1
Trust 2006-C6 A4
2004-SD2 A
2005-HQ7 A4
2006-IQ12 A4
170,000 NBC Universal Media 144A
2005-WHQ3 M1
2005-WF4 A4
160,000 US Treasury
80,000 US Treasury
560,000 US Treasury
545,000 US Treasury
190,000 US Treasury
370,000 US Treasury
515,000 US Treasury
185,000 US Treasury
320,000 US Treasury
720,000 US Treasury
468,000 US Treasury
224,000 US Treasury
275,000 US Treasury
265,000 US Treasury
1,039,324 WaMu Mortgage Pass Through
Certificates 2005-AR9 A1A
2004-2 AI6
CANADA
UNITED KINGDOM
187,902 Themeleion Mortgage
Finance 2 A
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
Market
Value
%
of
Net
Assets

12.02.34/6.141%
30.07.14/1.000%
15.02.26/3.500%
260,239
264,974
615,543
0.45
0.46
1.07
10.08.42/4.799%*
342,495
0.59
19.08.45/0.496%*
845,459
1.47
25.01.35/0.546%*
436,549
0.76
25.08.20/4.500%
178,895
0.31
15.09.39/5.372%
519,560
0.90
Total Investments
25.04.34/0.639%*
78,945
0.14
14.11.42/5.374%*
238,759
0.41
15.12.43/5.332%
01.04.21/4.375%
173,553
168,317
72,278
0.13
25.11.34/0.806%*
230,021
0.40
25.12.36/6.000%
75,596
0.13
25.11.35/0.545%*
21.07.11/0.000%
15.02.14/4.000%
31.12.14/2.625%
31.10.15/1.250%
30.04.16/2.000%
31.05.16/1.750%
31.12.17/2.750%
15.08.19/3.625%
15.05.20/3.500%
15.02.21/3.625%
15.05.21/3.125%
15.02.31/5.375%
15.02.36/4.500%
15.08.39/4.500%
15.11.40/4.250%
15.02.41/4.750%
124,368
159,984
201,072
84,438
556,587
554,601
190,713
380,955
550,225
193,629
334,450
719,494
548,693
799,703
228,410
268,189
280,962
0.22
0.28
0.35
0.15
0.96
0.96
0.33
0.66
0.95
0.33
0.58
1.25
0.95
1.39
0.40
0.46
0.49
15.10.44/5.380%*
278,658
0.48
25.07.45/0.506%*
856,096
1.48
25.05.34/5.000%*
148,496
0.26
01.06.12/3.750%
01.06.33/5.750%
01.06.37/5.000%
12.01.40/1.454%*
Total Bonds

(Defaulted)
100,504
0.17
14,367,746
24.91
953,113
199,615
115,740
1.65
0.35
0.20
1,268,468
2.20
212,457
0.37
212,457
0.37
15,848,671
27.48

Regulated Market
900,012
1.56
900,012
1.56
900,012
1.56
16,748,683
29.04
0.89
0.89
Total Bonds
515,000
0.89
515,000
0.89
55,396,344
96.04
1,444,461
2.50
Total Net Assets
03.04.09/0.000%
840,685
1.46
57,681,490
100.00

Investment Funds
LUXEMBOURG
64 JPMorgan Liquidity Funds - US Dollar Liquidity Fund
(JPM US Dollar Liquidity X (acc))
515,000
515,000
Cash
0.30
0.29
25.06.35/0.606%*
25.04.20/4.750%
Bonds
54

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Allocation of Portfolio as at 30 June 2011

Japan
Italy
United Kingdom
South Africa
Netherlands
France
Canada
Spain
Mexico
Belgium
South Korea
Austria
Denmark
Poland
Sweden
Brazil
Russia
Finland
Germany
Peru
Luxembourg
Investment Funds
Luxembourg
Total

Japan
Italy
United Kingdom
France
Germany
Netherlands
Canada
Spain
Mexico
South Africa
Belgium
South Korea
Austria
Israel
Denmark
Bermuda
Poland
Sweden
Brazil
Cayman Islands
Russia
Jersey
Australia
Finland
Switzerland
Investment Funds
Luxembourg
Total
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
29.77
27.77
5.83
4.85
3.20
3.17
2.90
2.87
2.76
2.29
1.81
1.67
0.99
0.94
0.77
0.73
0.60
0.48
0.41
0.28
0.19
0.11
0.09
94.48
1.56
1.56
3.96
100.00
% of
Net Assets
31.11
23.69
5.36
4.85
3.11
3.04
2.92
2.88
2.37
1.91
1.72
1.64
1.56
1.15
1.12
0.86
0.72
0.70
0.67
0.57
0.47
0.47
0.41
0.41
0.38
0.33
0.18
94.60
1.86
1.86
3.54
100.00
55
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in USD)
As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
113,815
514,818
676,316
1,638,384
2,024,606
3,499,969
965,921
(7,240,407)
(1,911,500)
2,943,750
(615,781)
(125,875)
(172)
373
(463)
(1,042)
(752)
(7,445)
992
(5,156)
(13,936)
10,421
6,289
1,773
Bond Futures
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
1
4
4
9
13
2
5
(33)
(16)
24
(5)
(1)

Euro-Bobl Future
Euro-Bund Future
Euro-Schatz Future
Japan 10 Year Bond Future
Long Gilt Future
US Long Bond Future
AUD
CAD
EUR
EUR
EUR
JPY
GBP
USD
USD
USD
USD
USD
Total
(9,118)

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD) (continued)
As at 30 June 2011
Settlement
Date
Currency
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
AUD
CAD
CAD
CAD
CHF
CHF
DKK
EUR
EUR
EUR
EUR
GBP
JPY
JPY
MXN
NOK
NOK
NOK
NZD
PLN
SEK
SEK
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
ZAR
AUD
CAD
EUR
EUR
EUR
GBP
GBP
GBP
JPY
JPY
NOK
USD
USD
USD
USD
USD
USD
USD
USD
Amount
Purchased
Currency
666,649
61,677
73,448
1,113,432
168,842
834,851
2,898,361
62,971
137,393
285,458
9,192,295
2,511,939
8,312,355
1,411,832,580
8,127,650
1,084,275
2,375,125
6,378,794
513,192
1,189,180
965,104
7,724,256
340,186
1,280,979
1,095,576
553,028
13,914,037
4,141,823
17,268,795
700,112
1,620,305
217,131
431,585
437,869
1,710,383
11,813,389
70,323
66,781
96,473
316,463
782,091
39,728
381,483
240,192
7,959,417
6,491,005
9,105,909
612,229
1,115,178
1,003,982
559,213
12,463,020
4,006,663
16,717,048
797,036
USD
AUD
SEK
USD
NZD
USD
USD
CHF
NOK
SEK
USD
USD
AUD
USD
USD
AUD
SEK
USD
USD
USD
JPY
USD
AUD
CAD
CHF
DKK
EUR
GBP
JPY
MXN
NOK
NZD
PLN
SEK
ZAR
USD
NZD
USD
CHF
JPY
USD
AUD
EUR
USD
CHF
USD
USD
AUD
CAD
CHF
DKK
EUR
GBP
JPY
MXN
56
Amount
Sold
Unrealised
Gain/
(Loss)
706,172
59,946
475,944
1,127,487
248,578
1,003,813
559,580
77,145
1,079,675
2,595,337
13,233,861
4,026,364
98,353
17,397,228
689,117
187,729
2,773,538
1,164,453
418,810
426,843
12,052,329
1,220,115
320,621
1,248,557
926,547
2,898,361
9,678,118
2,511,939
1,408,092,606
8,127,650
8,758,519
264,614
1,189,180
2,844,541
11,813,389
1,726,005
90,901
69,103
115,853
36,840,908
1,114,213
60,845
427,169
382,696
82,420
80,921
1,681,041
579,504
1,102,378
834,851
2,898,361
8,662,415
2,502,301
1,356,715,527
9,440,903
8,971
(445)
835
25,391
(5,544)
(12,892)
2,581
(462)
(1,994)
2,840
65,223
(6,422)
(2,369)
120,615
3,257
240
3,351
21,706
6,376
5,218
2,975
576
(3,758)
(11,810)
(4,183)
(9,133)
(87,918)
121,881
(202,643)
7,739
(8,373)
(2,105)
(477)
(11,664)
(32,157)
16,535
(12)
(8)
1,916
267
16,310
(1,465)
(7,205)
1,548
927
(370)
9,104
(7,037)
(25,406)
12,869
(2,555)
(58,617)
3,635
(119,399)
(5,076)

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD) (continued)
As at 30 June 2011
Settlement
Date
Currency
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
USD
USD
USD
USD
Amount
Purchased
Currency
168,743
425,579
404,482
1,718,820
NZD
PLN
SEK
ZAR
Total
Amount
Sold
Unrealised
Gain/
(Loss)
206,146
1,189,180
2,593,481
11,813,389
(1,704)
(5,146)
(4,659)
(16,232)
(196,354)
57

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
7,614
9,897
5,970
4,246
7,230
10,700
18,812
6,600
6,310
3,701
17,609
5,323
4,730
4,148
3,977
23,535
7,050
2,474
49,645
7,093
22,573
3,144
5,508
563
1,500
8,640
6,746
8,365
9,420
8,150
3,617
47
13,209
4,444
6,794
64,606
7,459
6,290
12,450
10,307
3,627
3,541
5,472
4,950
15,350
11,240
6,951
2,530
6,824
15,803
4,976
4,126
4,809
40,478
4,797

Shares
3,849 Abercrombie & Fitch - A Shares
4,883 Agilent Technologies
9,545 Altria Group
1,912 Amazon.com
25,960 American Capital
5,310 American Express
7,410 American Financial Group
4,438 Ameriprise Financial
7,760 AmerisourceBergen
6,154 Amgen
4,528 Anadarko Petroleum
6,272 Analog Devices
3,899 Anixter International
2,310 Apache
4,422 Apple
6,030 Arrow Electronics
10,029 Aruba Networks
14,480 AT&T
3,622 Autoliv
4,450 Baxter International
9,128 BB&T
7,730 BE Aerospace
3,465 Biogen Idec
12,821 Brinker International
10,760 Bristol-Myers Squibb
4,783 Cabot Oil & Gas
5,593 Capital One Financial
3,470 Caterpillar
10,436 CBS - Non voting B Shares
11,014 Chevron
6,418 Cigna
29,164 Citigroup
2,648 Cliffs Natural Resources
9,975 Coca-Cola
12,669 Coca-Cola Enterprises
4,741 Cognizant Technology Solutions - A Shares
13,561 Comcast - A Shares
6,490 Comerica
4,941 Cooper
13,623 CSX
3,162 Cummins
4,572 Danaher
3,120 DaVita
3,428 Deere & Co.
20,267 Dell
2,491 Devon Energy
12,395 Discover Financial Services
8,726 Dow Chemical
11,010 East West Bancorp
16,548 El Paso
8,392 Eli Lilly & Co.
8,958 EMC/Massachusetts
6,696 Endo Pharmaceuticals Holdings
11,644 Express
11,292 Exxon Mobil
9,610 Fortinet
2,475 Fossil
7,524 Freeport-McMoRan Copper & Gold
3,857 Gardner Denver
26,237 General Electric
8,430 Georgia Gulf
3,341 Goodrich
6,080 Guess?
7,210 Hain Celestial Group
6,203 Halliburton
3,136 Hansen Natural
15,609 Hartford Financial Services Group
3,790 Helmerich & Payne
4,410 Hess
4,185 Humana
788 Huntington Ingalls Industries
16,677 Intel
5,076 International Business Machines
19,067 Interpublic Group of Companies
8,447 Jazz Pharmaceuticals
3,365 JM Smucker
13,942 Johnson & Johnson
5,945 Kansas City Southern
11,940 Kroger
8,176 Lincoln National
4,620 Littelfuse
180,791
174,230
172,349
266,300
175,028
186,934
183,528
176,112
223,143
248,078
239,630
168,542
177,575
195,684
1,019,733
169,353
202,888
314,250
196,189
183,462
167,343
218,808
261,291
218,077
214,367
221,439
202,096
251,907
208,056
776,883
228,446
833,488
168,057
464,158
256,427
241,400
236,803
153,834
264,560
246,548
225,209
167,368
186,831
192,931
231,897
135,676
229,807
213,649
152,687
230,175
216,956
168,560
184,772
176,811
632,909
179,301
199,705
272,728
222,474
340,101
137,999
219,023
179,120
165,269
217,771
174,113
282,706
171,786
227,000
236,533
18,961
252,025
602,728
162,027
192,923
178,745
643,210
241,050
204,288
160,570
185,426
0.18
0.17
0.17
0.26
0.17
0.18
0.18
0.17
0.22
0.24
0.24
0.16
0.17
0.19
1.00
0.17
0.20
0.31
0.19
0.18
0.16
0.21
0.26
0.21
0.21
0.22
0.20
0.25
0.20
0.76
0.22
0.81
0.16
0.45
0.25
0.24
0.23
0.15
0.26
0.24
0.22
0.16
0.18
0.19
0.23
0.13
0.22
0.21
0.15
0.23
0.21
0.16
0.18
0.17
0.62
0.18
0.20
0.27
0.22
0.33
0.14
0.21
0.18
0.16
0.21
0.17
0.28
0.17
0.22
0.23
0.02
0.25
0.59
0.16
0.19
0.17
0.63
0.24
0.20
0.16
0.18
Name of Securities
Ltd Brands
Macys
Marathon Oil
Mead Johnson Nutrition
Medicis Pharmaceutical - A Shares
Merck & Co.
MetroPCS Communications
Moodys
Motorola Solutions
National Oilwell Varco
News - B Shares
Norfolk Southern
Northrop Grumman
Occidental Petroleum
Oil States International
Oracle
Owens Corning
Parker Hannifin
Pfizer
Philip Morris International
Pier 1 Imports
Pioneer Natural Resources
PNC Financial Services Group
priceline.com
Pricesmart
Principal Financial Group
Prudential Financial
Qualcomm
Reynolds American
Riverbed Technology
Ross Stores
Rovi
RPC
SanDisk
Sothebys
Sprint Nextel
State Street
Stone Energy
Tesoro
TIBCO Software
Time Warner Cable
United Technologies
UnitedHealth Group
Universal Health Services - B Shares
US Bancorp
Valero Energy
Veeco Instruments
VF
Viacom - B Shares
Vishay Intertechnology
Watson Pharmaceuticals
Weight Watchers International
WellPoint
Wells Fargo & Co.
Zimmer Holdings
UNITED KINGDOM
114,595 Afren
36,353 ARM Holdings
51,827 Ashmore Group
8,152 AstraZeneca
52,220 Aviva
105,412 Barclays
24,930 BG Group
28,673 British Land
104,980 BT Group
19,676 Burberry Group
17,269 Cookson Group
44,724 Ferrexpo
58,023 GKN
14,313 IMI
43,988 Inchcape
44,133 International Personal Finance
21,219 Prudential
7,238 Renishaw
13,044 Rio Tinto
416,070 Taylor Wimpey
16,645 Travis Perkins
58
Maturity/
Coupon
Market
Value
%
of
Net
Assets
203,052
200,115
214,439
197,649
190,513
260,058
226,430
173,479
200,877
198,690
220,470
276,608
227,747
299,507
215,610
533,130
182,359
152,106
706,322
324,880
181,133
195,526
224,645
198,473
51,956
181,925
294,836
324,951
240,603
223,599
200,468
1,865
222,120
125,548
206,001
234,651
232,171
132,291
193,782
205,128
195,407
214,562
195,492
177,955
268,467
195,963
231,276
190,076
243,416
164,709
236,342
217,700
264,190
782,926
209,107
0.20
0.20
0.21
0.19
0.19
0.25
0.22
0.17
0.20
0.20
0.22
0.27
0.22
0.29
0.21
0.52
0.18
0.15
0.69
0.32
0.18
0.19
0.22
0.19
0.05
0.18
0.29
0.32
0.24
0.22
0.20
0.00
0.22
0.12
0.20
0.23
0.23
0.13
0.19
0.20
0.19
0.21
0.19
0.17
0.26
0.19
0.22
0.19
0.24
0.16
0.23
0.21
0.26
0.77
0.21
32,964,908
32.26
136,451
197,170
236,944
227,761
278,517
251,553
294,121
389,163
409,417
192,437
233,171
316,016
127,313
231,695
147,520
166,157
209,060
203,310
204,330
177,253
173,306
167,172
140,788
644,297
410,701
173,920
181,905
0.13
0.19
0.23
0.22
0.27
0.25
0.29
0.38
0.40
0.19
0.23
0.31
0.13
0.23
0.14
0.16
0.20
0.20
0.20
0.17
0.17
0.16
0.14
0.63
0.40
0.17
0.18

As at 30 June 2011
Quantity/
Nominal
Value
12,770
8,315
358,520
11,454
34,127
Name of Securities
Maturity/
Coupon
Tullow Oil
Unilever
Vodafone Group
Weir Group
Xstrata
Market
Value
%
of
Net
Assets
174,729
183,903
653,149
268,722
514,705
0.17
0.18
0.64
0.26
0.51
8,316,656
8.13
174,288
206,871
217,115
202,877
266,244
213,140
301,809
269,426
320,891
318,672
185,019
203,265
278,598
305,297
177,015
235,119
157,038
223,079
0.17
0.20
0.21
0.20
0.26
0.21
0.30
0.27
0.31
0.31
0.18
0.20
0.27
0.30
0.17
0.23
0.15
0.22
4,255,763
4.16
197,814
373,329
431,045
0.19
0.37
0.42
184,904
197,950
269,449
682,355
266,561
300,860
230,229
487,089
189,855
0.18
0.19
0.26
0.67
0.26
0.29
0.23
0.48
0.19
3,811,440
3.73
314,391
279,480
297,259
253,004
213,092
250,246
225,323
221,373
185,698
208,941
183,105
211,393
385,289
0.31
0.27
0.29
0.25
0.21
0.24
0.22
0.22
0.18
0.20
0.18
0.21
0.38
Quantity/
Nominal
Value
FRANCE
49,367
24,016
8,156
2,754
1,610
2,196
12,420
2,325
7,414
3,119
12,322
4,047
GERMANY
4,691
5,058
4,358
85,460
2,959
6,190
29,104
10,675
3,301
1,739
3,000
2,232
2,734
Asics
Hitachi
Honda Motor
ITOCHU
JX Holdings
KDDI
Komatsu
Marubeni
Mitsubishi
Mitsubishi Electric
Mitsui & Co.
Nippon Sheet Glass
Nippon Telegraph & Telephone
ORIX
Sanrio
SMC
Sumitomo
Sumitomo Electric Industries
Alcatel-Lucent
AXA
BNP Paribas
Compagnie Gnrale des Etablissements Michelin
Registered - B Shares
LVMH Moet Hennessy Louis Vuitton
PPR
Sanofi-Aventis
Schneider Electric
Socit Gnrale
Technip
Total
Valeo
BASF
Bayerische Motoren Werke
Commerzbank
Continental
Deutsche Bank Registered Shares
Kloeckner & Co.
Lanxess
Linde
Rheinmetall
Siemens Registered Shares
Volkswagen Preference Shares
SWITZERLAND
4,502 ACE
1,660 Swiss Life Holding Registered Shares
7,480 TE Connectivity
NETHERLANDS
9,612 Chicago Bridge & Iron - NY Shares
CANADA
6,155
3,019
5,775
34,020
4,670
BCE
First Quantum Minerals
Imax
Lundin Mining
TELUS Non Voting
3,228,594
3.16
204,805
245,347
283,950
633,074
619,470
186,908
191,646
295,850
0.20
0.24
0.28
0.62
0.61
0.18
0.19
0.29
2,661,050
2.61
255,638
294,183
696,259
0.25
0.29
0.68
1,246,080
1.22
167,286
300,166
130,121
176,647
168,905
Maturity/
Coupon
3,300 Toronto-Dominion Bank
CAYMAN ISLANDS
206,000 Agile Property Holdings
2,423 Baidu China ADR
643 ENN Energy Holdings
6,334 Herbalife
138,800 Sands China
244,000 Xinyi Glass Holdings
JAPAN
17,000
51,000
8,200
28,400
57,600
43
14,100
59,000
18,700
40,000
15,600
95,000
8,400
4,570
6,600
1,900
16,800
22,300
Name of Securities
AUSTRALIA
17,953 BHP Billiton
7,994 Flight Centre
15,816 Iluka Resources
CHINA
356,000
114,059
164,000
84,000
China Construction Bank - H Shares **

China Merchants Bank - H Shares **
China National Building Material - H Shares **
Yanzhou Coal Mining - H Shares **
Market
Value
192,099
%
of
Net
Assets
0.19
1,135,224
1.11
220,456
232,227
1,505
253,343
257,326
167,184
0.22
0.23
0.00
0.25
0.25
0.16
1,132,041
1.11
582,975
129,169
196,552
0.57
0.13
0.19
908,696
0.89
204,087
190,743
222,117
220,634
0.20
0.19
0.22
0.21
837,581
0.82
247,861
256,357
242,388
30,651
0.24
0.25
0.24
0.03
777,257
0.76
294,043
291,344
181,048
0.28
0.29
0.18
766,435
0.75
128,411
158,063
203,982
197,220
0.13
0.15
0.20
0.19
687,676
0.67
201,822
194,296
265,783
0.20
0.19
0.26
661,901
0.65
133,125
185,927
169,944
170,108
0.13
0.18
0.17
0.17
659,104
0.65
197,405
175,232
241,049
0.19
0.17
0.24
613,686
0.60
175,563
326,802
0.17
0.32
502,365
0.49
235,374
239,921
0.24
0.23
475,295
0.47
242,898
117,086
0.24
0.11
359,984
0.35
ITALY
55,649
141,908
58,100
38,278
Enel
Intesa Sanpaolo
Prada
Telecom Italia Preference Shares
IRELAND
7,090 Accenture - A Shares
7,849 Covidien
10,840 Warner Chilcott - A Shares
JERSEY
21,050
9,552
9,518
22,866
Cape
Petrofac
Shire
WPP
INDIA
28,948 Federal Bank
5,682 ICICI Bank ADR
55,064 Yes Bank
FINLAND
3,403
5,450
23,628
13,549
Metso
Nokian Renkaat
UPM-Kymmene
HONG KONG
82,400 AIA Group
107,000 SJM Holdings
50,100 Wharf Holdings
BELGIUM
6,576 KBC Groep
3,070 Solvay
SWEDEN
23,657 Telefonaktiebolaget LM Ericsson - B Shares
19,884 Volvo - B Shares
SINGAPORE
9,218 Avago Technologies
142,000 Yangzijiang Shipbuilding Holdings
0.16
0.29
0.13
0.17
0.17
59

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
SOUTH KOREA
1,167 Hyundai Motor
3,822 Kia Motors
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

179,211
178,737
0.18
0.17
357,948
0.35
245,462
0.24
Bonds
NETHERLANDS
688,755 Holland Euro-Denominated
Mortgage Backed Series 11 A
SPAIN
30,752 BBVA
DENMARK
INDONESIA
429,500 Bank Rakyat Indonesia
245,462
0.24
232,505
0.23
232,505
0.23
225,819
0.22
225,819
0.22
222,185
0.22
UNITED KINGDOM
399,786 Paragon Mortgages 9X AB
9,628 Prominent CMBS Funding 1 A1
18.09.40/1.614%*
15.05.41/1.780%*
20.12.32/1.724%*
Total Bonds
662,657
0.65
662,657
0.65
349,188
9,499
0.34
0.01
358,687
0.35
1,021,344
1.00
Investment Funds
RUSSIA
22,041 Gazprom OAO ADR
GUERNSEY
68,872 Resolution
222,185
0.22
220,430
0.22
220,430
0.22

144,358 iShares MSCI Emerging Markets Index Fund
4,724,798
4.62
4,724,798
4.62
4,724,798
4.62

Regulated Market
5,746,142
5.62
89,847,470
87.93
Total Investments
BRAZIL
6,041 Tim Participaoes Preference Shares ADR
204,338
0.20
204,338
0.20
175,296
0.17
175,296
0.17
Cash Equivalents
Time Deposits
AUSTRIA
4,699 Voestalpine
FRANCE
7,600,000
7.44
7,600,000
7.44
Total Time Deposits
7,600,000
7.44
7,600,000
7.44
97,447,470
95.37
01.07.11/1.000%
GREECE
12,131 Folli - Follie
TAIWAN
5,000 HTC
Total Shares
120,582
0.12
120,582
0.12
116,276
0.11
116,276
0.11
68,122,577
66.67
5,990,248
5.86
5,990,248
5.86
Bonds
Cash
5,428,063
5.31
(698,662)
(0.68)
102,176,871
100.00
Total Net Assets
AUSTRALIA
4,800,000 Australia (Commonwealth of)
20.08.20/4.000%
FRANCE
113,000 Sanofi-Aventis
4,500,000 Socit Financement de
lEconomie Francaise
17.05.13/3.500%
115,939
0.11
16.01.14/3.250%
4,624,072
4.53
4,740,011
4.64

995,000 Roche Holdings
2,000,000 Verizon Wireless Capital
04.03.15/5.500%
01.02.14/5.550%
1,212,404
1,523,828
1.19
1.49
Total Bonds
2,736,232
2.68
13,466,491
13.18

** Hong Kong Registered Shares.
Convertible Bonds
GERMANY
2,400,000 KfW - Kreditanstalt fuer
Wiederaufbau
27.06.13/3.250%
Total Convertible Bonds

2,512,260
2.46
2,512,260
2.46
2,512,260
2.46
84,101,328
82.31
60

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon

Australia
France
Germany
Netherlands
United Kingdom
Shares
Financials
Industrials
Health Care
Energy
Materials
Consumer Staples
Utilities
Total Shares
Total

Australia
France
Germany
Netherlands
United Kingdom
Shares
Financials
Industrials
Energy
Health Care
Materials
Consumer Staples
Utilities
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
5.86
4.64
2.68
2.46
0.65
0.35
16.64
13.04
9.81
8.06
8.06
7.68
7.35
5.77
4.62
3.76
2.67
0.47
71.29
12.07
100.00
% of
Net Assets
5.27
4.28
2.59
2.22
0.62
0.32
15.30
12.02
9.89
8.13
6.88
6.84
5.54
4.59
3.24
2.99
2.92
0.84
63.88
20.82
100.00
61
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
14,019,083
(10,008,867)
16,266,078
581
(2,494)
(4,787)
Bond Futures
Sep-11
Sep-11
Sep-11
105 Long Gilt Future

(66) US 2 Year Note Future
197 US 5 Year Note Future
GBP
USD
USD
(6,700)
Total Bond Futures

Equity Futures
Jul-11
Jul-11
Jul-11
Jul-11
Jul-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
39
68
36
(26)
(208)
15
(408)
4
166
(92)
25
(292)
(31)
(50)
26
AMX Index Future

CAC 40 10 Euro Future
Hang Seng Index Future
IBEX 35 Index Future
OMX Index Future
Dax Index Future
DJ Euro Stoxx 50 Index Future
FTSE 100 Index Future
Nasdaq 100 E-Mini Future
Russell 2000 Mini Future
S&P 60 Index Future
SP 500 Emini Future
SPI 200 Future
Swiss Market Index Future
Topix Index Future
EUR
EUR
HKD
EUR
SEK
EUR
EUR
GBP
USD
USD
CAD
USD
AUD
CHF
JPY
2,636,400
2,689,230
3,585,350
(2,654,860)
(2,529,904)
2,762,531
(11,544,360)
260,183
5,304,348
(5,237,931)
2,712,881
(13,241,262)
(2,644,788)
(2,523,645)
1,894,110
19,890
24,310
49,717
(36,141)
(34,347)
16,594
(104,041)
2,323
40,443
(30,839)
5,368
(79,718)
(47,136)
(20,714)
11,749
(182,542)
Total Equity Futures

Total
(189,242)
Settlement
Date
Currency
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
CAD
CHF
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
HKD
JPY
JPY
JPY
NOK
NOK
USD
USD
Amount
Purchased
Currency
834,298
451,767
6,993,807
1,906,314
3,054,717
10,517,904
1,987,232
8,289,993
615,867
47,253,709
4,692,106
254,615,516
1,788,928,921
644,809,529
20,599,144
140,261,474
16,108,221
8,259,225
EUR
JPY
AUD
CAD
CHF
GBP
HKD
JPY
SEK
USD
EUR
EUR
NOK
USD
EUR
JPY
EUR
JPY
Total
Amount
Sold
Unrealised
Gain/
(Loss)
610,001
42,013,850
9,660,902
2,649,896
3,926,274
9,271,585
22,182,583
991,305,118
5,526,108
68,028,563
421,365
2,165,548
120,698,177
8,060,839
2,638,535
2,090,136,040
11,252,472
676,004,882
(12,877)
10,324
(156,950)
9,731
(168,348)
259,396
15,839
(216,609)
12,554
209,508
(4,372)
19,362
(153,177)
(41,111)
7,541
81,470
(113,058)
(89,392)
(330,169)
62

Schedule of Investments - Outstanding Financial Option Contracts (Expressed in EUR)
As at 30 June 2011
Expiration
Date
29-Sep-11
16-Dec-11
16-Dec-11
16-Dec-11
20-Jul-11
17-Sep-11
Number of
177
722
3,369
1,347
1,021
45
Currency
H-Shares Index, Put Option, Strike Price 11,600

Socit Gnrale, Call Option, Strike Price 64
BBVA, Call Option, Strike Price 10.57
UniCredit, Call Option, Strike Price 2.4
VIX Index, Call Option, Strike Price 27.5
S&P 500 Index, Call Option, Strike Price 1,325
HKD
EUR
EUR
EUR
USD
USD
Total
63
Market
Value
Unrealised
Gain/
(Loss)
(27,833)
2,166
23,583
5,725
17,642
92,062
(9,840)
(38,872)
(16,508)
(32,530)
(71,428)
33,528
113,345
(135,650)

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
JAPAN
252,000 Komatsu
Market
Value
%
of
Net
Assets
5,394,032
0.44
5,394,032
0.44
Shares
UNITED KINGDOM
292,173 BG Group
275,237 BHP Billiton
2,457,303 BP
1,926,154 Centrica
1,483,240 HSBC Holdings
1,045,720 National Grid
1,896,888 Northumbrian Water Group
162,794 Unilever

26,906 Apple
176,543 Chevron
133,821 Coca-Cola
284,811 Dow Chemical
225,838 EI du Pont de Nemours & Co.
279,695 General Motors Preference Shares
155,481 Newmont Mining
176,861 Union Pacific
159,672 United Technologies
7,962 Wells Fargo & Co Preference Shares
GERMANY
55,378
1,588,272
258,857
119,747
361,532
46,925

Commerzbank
Deutsche Wohnen - Bearer Shares
Fresenius Medical Care & Co. KGaA
ThyssenKrupp
4,560,885
7,427,748
12,463,799
9,161,094
6,865,766
10,075,244
6,834,385
7,035,623
8,702,281
10,041,237
3,600,517
12,054,089
SOUTH AFRICA
264,880 Impala Platinum Holdings
0.38
0.61
1.02
0.75
0.56
0.83
0.55
0.58
0.71
0.82
0.30
1.00
98,822,668
8.11
6,204,643
12,452,636
6,226,975
6,973,377
8,426,488
9,379,550
5,752,964
12,806,944
9,675,118
5,814,046
0.51
1.02
0.51
0.57
0.69
0.77
0.47
1.06
0.79
0.48
83,712,741
6.87
5,309,643
4,702,079
3,065,514
6,154,397
12,909,404
6,612,906
0.43
0.39
0.25
0.50
1.06
0.55
38,753,943
3.18
CAYMAN ISLANDS
3,082,000 China Resources Land
AUSTRALIA
811,543 Fortescue Metals Group
NETHERLANDS
1,219,649 Koninklijke KPN
1,647,542 Vimetco Registered Shares GDR
JERSEY
1,501,778 WPP
SPAIN
755,750 Telefonica
SINGAPORE
7,084,000 Singapore Telecommunications
CANADA
385,709 Barrick Gold
HONG KONG
2,951,000 Hang Lung Properties
108,984 Schlumberger
GUERNSEY
2,026,446 Resolution
78,290
19,333,174
0.01
1.58
19,411,464
1.59
12,128,799
3,045,479
0.99
0.25
15,174,278
1.24
12,952,875
1.07
12,952,875
1.07
12,666,370
1.04
12,666,370
1.04
12,579,288
1.03
12,579,288
1.03
12,007,004
0.99
12,007,004
0.99
0.40
0.40
3,834,770
0.31
3,834,770
0.31
3,816,258
0.31
3,816,258
0.31
5,958
1,603
0.00
0.00
TAIWAN
793 MediaTek
924 Taiwan Semiconductor Manufacturing
Total Shares
7,561
0.00
345,395,203
28.34
20,384,205
11,308,891
47,861,640
89,475,394
1.67
0.93
3.93
7.34
169,030,130
13.87
Bonds
27,027,000 European Investment Bank
UNITED KINGDOM
31,600,000 UK Treasury
14.08.13/6.000%
20.05.14/5.375%
15.04.19/4.250%
15.01.21/3.625%
16.08.13/2.500%
ITALY
100,500,000 Italy Buoni Poliennali Del Tesoro 01.11.15/3.000%
FRANCE
1,425 Sanofi
489,076 Total
4,902,449
4,902,449
AUSTRALIA
LUXEMBOURG
37,500,000 European Financial Stability
Facility

22,400,000 Verizon Wireless Capital
CAYMAN ISLANDS
15,000,000 Hutchison Whampoa
International 10 Registered
Shares
FRANCE
1,603,000 Sanofi
20.08.20/4.000%
05.07.21/3.375%
01.02.14/5.550%
28.10.15/6.000%*
17.05.13/3.500%
Total Bonds
100,333,485
8.24
100,333,485
8.24
96,571,556
7.92
96,571,556
7.92
43,678,895
3.58
43,678,895
3.58
36,841,688
3.02
36,841,688
3.02
17,066,870
1.40
17,066,870
1.40
10,626,223
0.87
10,626,223
0.87
1,644,689
0.13
1,644,689
0.13
475,793,536
39.03
27,174,453
13,426,056
2.23
1.10
40,600,509
3.33
Convertible Bonds
8,373,530
0.69
8,373,530
0.69
6,500,172
0.54
6,500,172
0.54
6,485,800
0.53
6,485,800
0.53
NETHERLANDS
29,100,000 Portugal Telecom International
Finance
28.08.14/4.125%
12,600,000 Wereldhave
16.09.14/4.375%

18,650,000 Swiss Re America Holding
64
21.11.21/3.250%*
12,861,971
1.06
12,861,971
1.06

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
SINGAPORE
18,250,000 CapitaLand
SWITZERLAND
7,030,000 Swiss Prime Site
CHANNEL ISLANDS
5,500,000 QBE Funding Trust
Maturity/
Coupon
03.09.16/2.875%
20.01.15/1.875%
12.05.30/0.000%

Market
Value
%
of
Net
Assets
10,118,878
0.83
10,118,878
0.83
6,026,854
0.49
6,026,854
0.49
2,385,354
0.20
2,385,354
0.20
71,993,566
5.91
893,182,305
73.28
Quantity/
Nominal
Value
Name of Securities
UNITED KINGDOM
Maturity/
Coupon
%
of
Net
Assets
Market
Value
20,000,000
1.64
20,000,000
1.64
Total Time Deposits
110,825,587
9.09
110,825,587
9.09
1,128,527,762
92.59
01.07.11/1.000%

Cash
64,873,254
5.32
25,451,376
2.09
1,218,852,392
100.00
Total Net Assets

Bonds
UNITED KINGDOM
2,082,438 Granite Master Issuer 2005-2 A5
7,356,240 Granite Master Issuer 2006-1X
A6
8,276,054 Paragon Mortgages 11X A2B
1,599,142 Paragon Mortgages 9X AB
370,664 Prominent CMBS Funding 1 A1
NETHERLANDS
15,764,840 Holland Euro-Denominated
Mortgage Backed Series 11 A
28.02.15/2.375%
69,781,338
69,781,338
5.73
20.12.54/1.569%*
1,974,152
0.16
20.12.54/1.489%*
15.10.41/1.567%*
15.05.41/1.780%*
20.12.32/1.724%*
6,973,715
7,076,308
1,396,750
365,704
0.57
0.58
0.11
0.03
17,786,629
1.45
18.09.40/1.614%*
Total Bonds
5.73
15,167,478
1.25
15,167,478
1.25
102,735,445
8.43

United Kingdom
Italy
Netherlands
Australia
Luxembourg
Cayman Islands
Singapore
Switzerland
Channel Islands
France
Shares
Materials
Financials
Energy
Industrials
Utilities
Consumer Staples
Health Care
Total Shares
Convertible Bonds
26,348,000 Liberty Media
30.03.23/3.125%

Regulated Market
Total Investments
21,784,425
1.79
21,784,425
1.79
21,784,425
1.79
124,519,870
10.22
1,017,702,175
83.50
Total
Cash Equivalents
Time Deposits
FRANCE
NETHERLANDS
01.07.11/1.000%
01.07.11/0.030%
60,000,000
4.92
60,000,000
4.92
30,825,587
2.53
30,825,587
2.53
65
% of
Net Assets
13.87
9.98
9.69
7.92
4.58
3.58
3.02
0.87
0.83
0.49
0.20
0.13
55.16
5.10
4.73
4.54
4.06
2.94
2.54
1.85
1.56
0.51
0.51
28.34
16.50
100.00

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon

Japan
United Kingdom
Australia
Netherlands
Germany
Cayman Islands
Singapore
France
Shares
Industrials
Materials
Consumer Staples
Health Care
Energy
Financials
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
15.75
6.28
5.83
4.39
2.61
2.49
1.23
0.67
0.66
0.37
0.10
40.38
9.02
6.27
5.53
5.15
3.23
3.23
2.17
2.08
0.67
37.35
22.27
100.00
66
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

As at 30 June 2011
Expiration
Date
Number of
Notional
Value
Unrealised
Gain/
(Loss)
(66,245,296)
(80,646,060)
(165,837,350)
(775,348,928)
(191,103,130)
577,452,702
163,242
265,540
98,850
270,113
406,487
23,920
Currency
Bond Futures
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
(864)
(781)
(1,318)
(7,203)
(158)
4,325

Euro Buxl 30 Year Bond Future
Euro-Bund Future
Euro-Schatz Future
Long Gilt Future
AUD
EUR
EUR
EUR
JPY
GBP
1,228,152
Total Bond Futures

Equity Futures
Sep-11
Sep-11
Sep-11
Dec-12
(1,782)
(661)
(1,158)
(627)

DJ Euro Stoxx 50 Index Dividend Future
EUR
GBP
USD
EUR
(50,421,690)
(42,995,278)
(65,929,608)
(7,690,155)
(356,401)
18,833
(388,174)
(21,945)
(747,687)

Total
480,465
Settlement
Date
Currency
14-Jul-11
14-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
EUR
SEK
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
HKD
JPY
NOK
NOK
SEK
USD
USD
USD
Amount
Purchased
Amount
Sold
Unrealised
Gain/
(Loss)
16,201,134
68,258,797
103,758,941
15,927,039
221,969,968
187,536,496
11,680,886,200
48,073,964
395,370,930
19,606,471
5,365,258
734,703,324
95,453,024
7,136,030,016
3,404,656
1,840,963
6,599,046
60,697,157
3,166
(682,195)
301,438
47,480
7,126,208
396,093
2,549,905
375,835
5,382,191
(464,953)
(32,986)
(1,953,056)
678,199
(85,788)
17,031
(27,963)
(45,614)
(216,647)
Currency
1,772,337
618,830,837
77,101,201
11,446,773
252,724,014
17,062,685
102,786,104
27,448,830
278,795,427
17,300,000
60,000,000
10,770,470,848
748,361,250
476,040,000
31,341,319
1,930,010
7,767,522
87,458,221
SEK
EUR
AUD
CAD
GBP
HKD
JPY
SGD
USD
EUR
EUR
NOK
EUR
JPY
EUR
AUD
CHF
EUR
Total
13,368,344
Schedule of Investments - Outstanding Credit Default Swaps (Expressed in EUR)
Termination
Date
Counterparty
Referenced Obligation
Protection
Buyer/
Seller
Currency
20-Jun-16
Credit Suisse
iTraxx Europe Series 15 Version 1
Buyer
EUR
Total
67
Nominal
Market
Value
Unrealised
Gain/
(Loss)
182,000,000
835,249
835,249
835,249
835,249

Schedule of Investments - Outstanding Financial Option Contracts (Expressed in EUR)
As at 30 June 2011
Expiration
Date
20-Jul-11
20-Jul-11
20-Jul-11
20-Jul-11
17-Aug-11
08-Sep-11
08-Sep-11
17-Sep-11
29-Sep-11
16-Dec-11
16-Dec-11
16-Dec-11
16-Dec-11
Number of
28,000
29,066
(28,000)
19,000
9,500
10,488
(5,244)
538
2,187
64,125
3,000
10,535
28,944
Market
Value
Unrealised
Gain/
(Loss)
725,714
502,229
(290,286)
886,408
623,769
1,317,848
(1,460,765)
1,100,653
(326,861)
448,875
257,175
31,605
123,012
(2,099,153)
(2,184,093)
1,175,184
(311,490)
57,649
(641,118)
478,087
400,857
(126,174)
(757,012)
(1,287,698)
(567,204)
(1,146,700)
3,939,376
(7,008,865)
Variance
Amount
Market
Value
Unrealised
Gain/
(Loss)
13,240,933
13,162
8,671,736
9
5,383
5,380
11,479
31,447
3,808
3,760
6,575
6,754
(753,730)
(2,208)
(1,503,372)
3,388
2,208,193
2,279,193
2,032,515
(1,697,851)
4,559
(59,299)
14,601
(55,769)
(753,730)
(2,208)
(1,503,372)
3,388
2,208,193
2,279,193
2,032,515
(1,697,851)
4,559
(59,299)
14,601
(55,769)
2,470,220
2,470,220
Currency
VIX Index, Call Option, Strike Price 25

VIX Index, Put Option, Strike Price 17
KOSPI 200 Index, Put Option, Strike Price 245
FTSE 100 Index, Call Option, Strike Price 6,800
USD
USD
USD
USD
USD
USD
USD
USD
HKD
EUR
GBP
EUR
EUR
Total
Schedule of Investments - Outstanding Variance Swaps (Expressed in EUR)
Termination
Date
Counterparty
Description
Currency
08-Dec-11
08-Dec-11
08-Dec-11
16-Dec-11
16-Dec-11
16-Dec-11
16-Dec-11
29-Dec-11
16-Mar-12
16-Mar-12
16-Mar-12
16-Mar-12
BNP Paribas
BNP Paribas
BNP Paribas
BNP Paribas
BNP Paribas
BNP Paribas
BNP Paribas
BNP Paribas
Merrill Lynch
Merrill Lynch
Merrill Lynch
Merrill Lynch
KOSPI 200 Index,Volatility Strike 23.80

S&P 500 Index,Volatility Strike 25.30
Hang Sang China Enterprises Index,Volatility Strike 33.95
DJ Euro Stoxx 50, Volatility Strike 0.25
KRW
KRW
KRW
USD
USD
USD
USD
HKD
EUR
EUR
USD
USD
Total
68

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
JAPAN
10,500 Komatsu
325,181
0.43
325,181
0.43
Shares
UNITED KINGDOM
11,648 BG Group
10,363 BHP Billiton
105,760 BP
73,039 Centrica
39,653 National Grid
71,929 Northumbrian Water Group
6,266 Unilever
261,274 Vodafone Group

1,162 Apple
7,706 Chevron
5,842 Coca-Cola
10,555 Dow Chemical
4,640 Newmont Mining
7,638 Union Pacific
72 Wells Fargo & Co Preference Shares
GERMANY
2,273
67,808
11,094
5,172
15,812
2,037

Commerzbank
Deutsche Wohnen - Bearer Shares
Fresenius Medical Care & Co. KGaA
ThyssenKrupp
FRANCE
21,121 Total
SINGAPORE
306,000 Singapore Telecommunications
263,078
404,631
776,134
570,510
376,683
536,415
380,569
385,999
477,440
537,434
200,512
688,681
SOUTH AFRICA
8,955 Impala Platinum Holdings
0.35
0.53
1.02
0.75
0.49
0.70
0.50
0.51
0.63
0.70
0.26
0.90
5,598,086
7.34
387,701
786,436
393,313
373,911
447,212
589,227
248,402
800,233
593,263
76,070
0.51
1.03
0.52
0.49
0.59
0.77
0.33
1.05
0.77
0.10
4,695,768
6.16
AUSTRALIA
33,815 Fortescue Metals Group
CAYMAN ISLANDS
114,000 China Resources Land
0.42
0.38
0.25
0.50
1.07
0.54
2,412,692
3.16
1,207,994
1.58
1,207,994
1.58
786,181
1.03
786,181
1.03
CANADA
16,836 Barrick Gold
NETHERLANDS
JERSEY
58,402 WPP
HONG KONG
105,000 Hang Lung Properties
4,541 Schlumberger
GUERNSEY
80,783 Resolution
779,709
1.02
779,709
1.02
758,293
0.99
758,293
0.99
746,604
0.98
746,604
0.98
728,805
0.96
728,805
0.96
431,074
0.57
431,074
0.57
230,070
0.30
230,070
0.30
205,227
0.27
205,227
0.27
Total Shares
761
0.00
761
0.00
19,912,199
26.10
1,134,887
644,818
2,181,864
1.49
0.84
2.86
Bonds
600,000 European Investment Bank
3,500,000 Inter-American Development
Bank
14.08.13/6.000%
20.05.14/5.375%
15.01.21/3.625%
15.08.17/2.375%
UNITED KINGDOM
700,000 RBS
1,250,000 UK Treasury
11.04.16/0.990%
16.08.13/2.500%
ITALY
4,200,000 Italy (Republic of)
01.11.15/3.000%

3,000,000 Goldman Sachs Group
600,000 Verizon Wireless Capital
LUXEMBOURG
1,500,000 European Financial Stability
facility
SPAIN
32,154 Telefonica
0.31
0.31
TAIWAN
70 MediaTek
315,320
290,449
190,088
384,594
816,902
415,339
239,802
239,802
AUSTRALIA
FRANCE
48,000 Sanofi
1,000,000 Socit Financement de
lEconomie Francaise
CAYMAN ISLANDS
500,000 Hutchison Whampoa
International 10
15.06.12/3.250%
01.02.14/5.550%
05.07.21/3.375%
3,501,628
4.59
7,463,197
9.78
610,575
5,742,385
0.80
7.53
6,352,960
8.33
5,839,235
7.65
5,839,235
7.65
3,084,570
661,425
4.04
0.87
3,745,995
4.91
2,132,176
2.79
2,132,176
2.79
1,805,623
2.37
1,805,623
2.37
17.05.13/3.500%
71,255
0.09
22.09.14/2.875%
1,049,050
1.38
1,120,305
1.47
20.08.20/4.000%
28.10.15/6.000%
Total Bonds
512,485
0.67
512,485
0.67
28,971,976
37.97
1,621,334
770,853
2.13
1.01
2,392,187
3.14
Convertible Bonds
391,866
0.51
391,866
0.51
374,086
0.49
374,086
0.49
NETHERLANDS
Finance
500,000 Wereldhave
69
28.08.14/4.125%
16.09.14/4.375%

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
SINGAPORE
500,000 CapitaLand
500,000 CapitaLand
Maturity/
Coupon
03.09.16/2.875%
05.03.18/3.125%
Market
Value
401,110
429,377
830,487

580,000 Swiss Re America Holding
SWITZERLAND
275,000 Swiss Prime Site
21.11.21/3.250%
20.01.15/1.875%

Exchange Listing
%
of
Net
Assets
Quantity/
Nominal
Value
0.53
0.56
578,736
0.76
0.76
341,108
0.45
341,108
0.45
4,142,518
5.44
53,026,693
69.51

United Kingdom
Italy
Netherlands
Luxembourg
Australia
France
Singapore
Cayman Islands
Switzerland
Shares
Materials
Energy
Financials
Industrials
Utilities
Consumer Staples
Health Care
Total Shares

Bonds
28.02.15/2.375%
Total Bonds
3,766,500
4.94
3,766,500
4.94
3,766,500
4.94
887,618
1.16
887,618
1.16
887,618
1.16
Convertible Bonds
742,000 Liberty Media
Total
30.03.23/3.125%

Regulated Market
4,654,118
6.10
Total Investments
57,680,811
75.61
Cash
18,511,360
24.27
Total Net Assets
93,347
0.12
76,285,518
100.00
Maturity/
Coupon
1.09
578,736
Name of Securities

Japan
United Kingdom
Australia
France
Netherlands
Singapore
Germany
Cayman Islands
Shares
Industrials
Materials
Consumer Staples
Health Care
Energy
Financials
Total Shares
Total
70
Market
Value
%
of
Net
Assets
% of
Net Assets
11.77
9.78
8.33
7.65
3.14
2.79
2.37
1.47
1.09
0.67
0.45
49.51
4.61
4.49
3.93
3.88
2.77
2.25
1.63
1.53
0.51
0.50
26.10
24.39
100.00
% of
Net Assets
14.88
5.75
4.61
3.99
2.24
1.49
1.47
1.09
0.94
0.67
0.32
37.45
9.02
6.40
5.31
4.98
3.12
3.05
2.06
1.82
0.67
0.00
36.43
26.12
100.00

As at 30 June 2011
Expiration
Date
Number of
Notional
Value
Unrealised
Gain/
(Loss)
(4,215,493)
(3,585,641)
(10,558,894)
(47,657,219)
(10,499,907)
33,999,026
10,388
11,806
6,294
16,603
22,334
1,408
Currency
Bond Futures
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
(38)
(24)
(58)
(306)
(6)
176

Euro Buxl 30 Year Bond Future
Euro-Bund Future
Euro-Schatz Future
Long Gilt Future
AUD
EUR
EUR
EUR
JPY
GBP
68,833
Total Bond Futures

Equity Futures
Sep-11
Sep-11
Sep-11
Dec-12
(79)
(29)
(47)
(29)

DJ Euro Stoxx 50 Index Dividend Future
EUR
GBP
USD
EUR
(3,234,151)
(2,729,234)
(3,871,625)
(514,623)
(22,860)
(3,301)
(22,795)
(1,469)
(50,425)

Total
18,408
Settlement
Date
Currency
Amount
Purchased
Currency
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
EUR
EUR
GBP
HKD
JPY
NOK
NOK
USD
USD
USD
USD
USD
USD
USD
USD
58,928
3,359,006
900,000
2,000,000
447,513,311
20,120,000
30,412,872
3,630,050
726,608
344,641
26,800,367
14,549,850
862,112
6,100,814
1,786,466
AUD
USD
USD
USD
NOK
JPY
USD
AUD
CAD
CHF
EUR
GBP
HKD
JPY
SGD
Amount
Sold
Unrealised
Gain/
(Loss)
80,625
4,822,486
1,446,622
256,988
30,526,940
301,606,848
5,457,838
3,460,157
714,514
290,713
18,923,158
9,037,123
6,721,972
492,267,120
2,218,076
(1,082)
34,826
(6,637)
38
(117,347)
(5,243)
191,479
(73,475)
(12,894)
(454)
(563,588)
90,602
(1,747)
(7,691)
(19,827)
Total
(493,040)
Schedule of Investments - Outstanding Credit Default Swaps (Expressed in USD)
Termination
Date
Counterparty
Protection
Buyer/
Seller
Currency
20-Jun-16
Credit Suisse
iTraxx Europe Series 15 Version 1
Buyer
EUR
Total
71
Nominal
Market
Value
Unrealised
Gain/
(Loss)
7,000,000
46,480
46,480
46,480
46,480

Schedule of Investments - Outstanding Financial Option Contracts (Expressed in USD)
As at 30 June 2011
Expiration
Date
Number of
20-Jul-11
20-Jul-11
20-Jul-11
20-Jul-11
17-Aug-11
08-Sep-11
08-Sep-11
17-Sep-11
29-Sep-11
16-Dec-11
16-Dec-11
16-Dec-11
16-Dec-11
1,260
1,212
(1,260)
840
550
438
(219)
24
94
2,392
115
358
1,067
Currency

FTSE 100 Index, Call Option, Strike Price 6,800
USD
USD
USD
USD
USD
USD
USD
USD
HKD
EUR
GBP
EUR
EUR
Total
Market
Value
Unrealised
Gain/
(Loss)
47,250
30,300
(18,900)
56,700
52,250
79,605
(88,238)
71,040
(20,534)
24,226
14,264
1,554
6,561
(136,672)
(131,769)
76,518
(19,925)
4,829
(38,763)
28,914
25,873
(7,787)
(47,924)
(71,419)
(27,888)
(65,143)
256,078
(411,156)
Schedule of Investments - Outstanding Variance Swaps (Expressed in USD)
Termination
Date
Counterparty
Description
Currency
08-Dec-11
08-Dec-11
16-Dec-11
16-Dec-11
16-Dec-11
29-Dec-11
16-Mar-12
16-Mar-12
16-Mar-12
16-Mar-12
BNP Paribas
BNP Paribas
BNP Paribas
BNP Paribas
BNP Paribas
BNP Paribas
Merrill Lynch
Merrill Lynch
Merrill Lynch
Merrill Lynch

Hang Sang China Enterprises Index,Volatility Strike 33.95
KRW
KRW
USD
USD
USD
HKD
EUR
EUR
USD
USD
Total
72
Variance
Amount
Market
Value
Unrealised
Gain/
(Loss)
254,952
499,922
163
158
433
951
163
161
290
281
(63,922)
(41,164)
96,600
96,808
110,885
(74,275)
282
(3,674)
(3,465)
903
(63,922)
(41,164)
96,600
96,808
110,885
(74,275)
282
(3,674)
(3,465)
903
118,978
118,978

As at 30 June 2011
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value

Shares
25,100 Apache Preference Shares
4,474 Bank of America Preference Shares
18,242 Citigroup Preference Shares
49,300 Goodyear Tire & Rubber Preference Shares
37,150 Health Care REIT Preference Shares
13,350 MetLife Preference Shares
84,800 NextEra Energy Preference Shares
54,950 PPL Preference Shares
2,272 Wells Fargo & Co Preference Shares
NETHERLANDS
23,350 Nielsen Holdings Preference Shares
ISLE OF MAN
27,050 AngloGold Ashanti Holdings Finance Preference
Shares
BERMUDA
11,000 Bunge Preference Shares
1,649,321
4,439,326
2,175,906
5,053,212
2,726,290
1,922,327
1,093,432
4,388,400
3,012,084
2,400,425
0.31
0.83
0.41
0.95
0.51
0.36
0.21
0.82
0.57
0.45
28,860,723
5.42
1,414,134
0.27
1,414,134
0.27
1,347,766
0.25
1,347,766
0.25
1,124,200
0.21
1,124,200
0.21
32,746,823
6.15
7,650,430
6,276,785
4,733,297
4,275,965
1,973,782
5,887,464
6,141,443
2,405,272
8,149,490
1,461,859
2,660,393
9,134,617
1,193,623
2,377,314
1.44
1.18
0.89
0.80
0.37
1.11
1.15
0.45
1.53
0.27
0.50
1.71
0.22
0.45
64,321,734
12.07
9,540,136
5,895,574
3,538,371
4,679,261
6,000,422
3,908,291
3,325,034
7,504,254
834,261
5,772,462
2,703,071
12,718
5,450,896
1,493,657
1.79
1.11
0.67
0.88
1.13
0.73
0.62
1.41
0.16
1.08
0.51
0.00
1.02
0.28
60,658,408
11.39
07.04.18/2.500%
16.06.15/2.625%
01.02.12/2.750%
15.06.14/1.750%
2,584,967
7,549,847
830,112
4,082,228
0.48
1.42
0.16
0.77
28.08.14/4.125%
26.05.14/5.750%
08.11.17/2.000%
16.09.14/4.375%
1,621,334
1,720,513
2,764,936
2,158,388
0.30
0.32
0.52
0.41
Total Shares
Name of Securities
Maturity/
Coupon
CAYMAN ISLANDS
5,200,000 China Overseas Finance
Investment Cayman
4,300,000 EFG Ora Funding III
10,000,000 Hengdeli Holdings
15,000,000 Intime Department Store Group
19,800,000 Soho China
2,200,000 Subsea 7
1,700,000 TPK Holding
14.05.14/0.000%
29.10.14/1.700%
20.10.15/2.500%
27.10.13/1.750%
02.07.14/3.750%
11.10.13/2.250%
20.04.14/0.000%
UNITED KINGDOM
900,000 Anglo American
1,000,000 Misys
3,400,000 TUI Travel
5,800,000 Vedanta Resources Jersey
3,800,000 Vedanta Resources Jersey II
17.12.14/3.500%
07.05.14/4.000%
22.11.15/2.500%
05.10.14/6.000%
13.07.16/5.500%
30.03.17/4.000%
SINGAPORE
10,500,000
4,900,000
800,000
4,250,000
CapitaLand
Olam International
OSIM International
Yanlord Land Group
BRITISH VIRGIN ISLANDS

6,100,000 Billion Express Investments
5,700,000 Newford Capital
14,720,000 Power Regal Group
22,150,000 Sherson
Market
Value
%
of
Net
Assets
6,848,842
3,305,677
1,464,310
2,276,127
3,408,346
2,690,523
1,832,489
1.29
0.62
0.27
0.43
0.64
0.51
0.34
21,826,314
4.10
1,010,813
1,666,237
2,182,545
5,483,231
6,622,962
3,857,988
0.19
0.31
0.41
1.03
1.24
0.73
20,823,776
3.91
8,423,300
6,305,638
625,098
3,520,035
1.58
1.18
0.12
0.66
18,874,071
3.54
7,136,054
5,576,595
2,194,485
3,216,009
1.34
1.05
0.41
0.60
18,123,143
3.40
22.11.11/0.000%
31.12.49/2.774%*
2,308,132
1,736,079
0.43
0.32
28.01.15/3.000%
15.11.25/5.050%
20.12.13/2.250%
1,152,032
5,363,971
956,939
0.22
1.01
0.18
22.12.17/2.500%
11.02.15/5.250%
4,047,947
1,634,782
0.76
0.31
17,199,882
3.23
1,615,638
2,616,922
366,800
761,600
2,744,217
4,123,455
0.30
0.49
0.07
0.15
0.52
0.77
12,228,632
2.30
03.09.16/2.875%
15.10.16/6.000%
05.07.16/2.750%
13.07.14/5.850%
18.10.15/0.750%
12.05.16/0.000%
02.06.14/2.250%
04.06.14/0.000%
Convertible Bonds
FRANCE
37,832,400
93,125,296
1,388,900
6,497,300
6,561,300
6,874,800
4,950,000
1,732,400
3,498,700
1,173,100
2,637,200
17,961,200
1,019,300
764,800
JAPAN
683,000,000
463,000,000
275,000,000
350,000,000
319,000,000
305,000,000
246,000,000
483,000,000
61,000,000
450,000,000
152,000,000
1,000,000
410,000,000
110,000,000
Air France-KLM
Alcatel-Lucent
AXA
Cap Gemini
Club Mediterranee
Eurazeo
Foncire Des Rgions
Iliad
Misarte
Nexans
Nexans
Peugeot
Pierre & Vacances
Unibail-Rodamco
Aeon
Asahi Group Holdings
Asahi Glass
Asahi Glass
Hitachi
Nidec
Nippon Meat Packers
ORIX
Sawai Pharmaceutical
Sekisui House
Softbank
Takashimaya
Unicharm
Unicharm
NETHERLANDS
1,900,000 Celesio Finance
6,500,000 Lukoil International Finance
500,000 MTU Aero Engines Finance
3,475,000 Pargesa Netherlands
Finance
2,200,000 Q-Cells International Finance
1,700,000 Salzgitter Finance
1,400,000 Wereldhave
01.04.15/4.970%
01.01.15/5.000%
01.01.17/3.750%
01.01.14/3.500%
01.11.15/6.110%
10.06.14/6.250%
01.01.17/3.340%
01.01.12/2.200%
01.01.16/3.250%
01.01.13/1.500%
01.01.16/4.000%
01.01.16/4.450%
01.10.15/4.000%
01.01.15/3.500%
22.11.12/0.000%
26.05.28/0.000%
14.11.12/0.000%
14.11.14/0.000%
12.12.14/0.100%
18.09.15/0.000%
03.03.14/0.000%
31.03.14/1.000%
17.09.15/0.000%
05.07.16/0.000%
31.03.13/1.500%
14.11.14/0.000%
24.09.13/0.000%
24.09.15/0.000%
23,312,325
LUXEMBOURG
1,945,000 Actelion Finance
2,250,000 Ageasfinlux
900,000 Controlinveste International
Finance
5,550,000 Espirito Santo Financial Group
700,000 Intralot Luxembourg
2,450,000 Kloeckner & Co. Financial
Services
1,500,000 TMK Bonds
INDIA
1,200,000
2,200,000
262,000
560,000
2,100,000
3,566,000
JSW Steel
Larsen & Toubro
Suzlon Energy
Suzlon Energy
Tata Motors
Tata Steel
TAIWAN
9,400,000 Hon Hai Precision Industry

1,822,000 Chesapeake Energy
1,012,000 DR Horton
JERSEY
2,550,000 International Power Finance
Jersey III
600,000 London Mining Jersey
2,000,000 Shire
GERMANY
4,100,000 KfW - Kreditanstalt fr
Wiederaufbau
4.38
73
28.06.12/0.000%
22.10.14/3.500%
12.06.12/7.500%
11.10.12/7.500%
12.07.12/0.000%
21.11.14/4.500%
12.10.13/0.000%
15.11.35/2.750%
15.05.37/2.500%
15.05.14/2.000%
05.06.15/4.750%
15.02.16/8.000%
09.05.14/2.750%
30.07.14/1.500%
9,454,097
1.77
9,454,097
1.77
2,011,032
4,436,212
1,120,790
0.38
0.83
0.21
7,568,034
1.42
3,940,960
653,802
2,328,360
0.74
0.12
0.44
6,923,122
1.30
6,707,557
1.26
6,707,557
1.26

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
AUSTRIA
1,100,000 Immofinanz
1,000,000 Steinhoff Finance Holding
19.11.17/1.250%
22.05.16/5.000%
31.03.18/4.500%
SOUTH KOREA
2,400,000 Hynix Semiconductor
3,400,000 SK Telecom
14.05.15/2.650%
07.04.14/1.750%
PORTUGAL
4,000,000 Parpublica - Participaes
Publicas
SWEDEN
3,200,000 Industrivarden
ISLE OF MAN
4,700,000 AngloGold Ashanti Holdings
Finance
SWITZERLAND
3,175,000 Swiss Prime Site

2,600,000 Aabar Investments
MALAYSIA
3,000,000 YTL Finance Labuan
BERMUDA
1,200,000 Aquarius Platinum
11,800,000 Yue Yuen Industrial Holdings
SPAIN
1,150,000 Abengoa
550,000 Fomento de Construcciones y
Contratas
28.09.17/5.250%
27.02.15/2.500%
22.05.14/3.500%
20.01.15/1.875%
27.05.16/4.000%
18.03.15/1.875%
18.12.15/4.000%
17.11.11/0.000%
Market
Value
1,698,987
1,531,852
3,369,635
1.24
2,563,104
3,999,148
0.48
0.75
6,562,252
1.23
5,847,994
1.10
5,847,994
1.10
5,563,613
1.04
5,563,613
1.04
5,439,357
1.02
5,439,357
1.02
3,938,244
0.74
3,938,244
0.74
3,787,146
0.71
3,787,146
0.71
3,172,230
0.60
3,172,230
0.60
1,282,848
1,719,994
0.24
0.32
3,002,842
0.56
03.02.17/4.500%
1,635,725
0.31
30.10.14/6.500%
753,158
0.14
19.12.49/3.494%*

Quantity/
Nominal
Value
2,510,000
850,000
2,857,000
2,219,000
438,000
3,621,000
1,004,000
2,701,000
3,465,000
2,237,000
5,171,000
2,155,000
949,000
677,000
962,000
4,466,000
837,000
1,180,000
2,081,000
1,399,000
436,000
7,560,000
1,202,000
2,228,000
1,896,000
3,837,000
3,288,000
883,000
1,362,000
2,983,000
4,774,000
0.32
0.29
0.63
6,600,474
2,388,883
BELGIUM
2,250,000 Fortis Bank
%
of
Net
Assets
CANADA
1,753,000 Goldcorp
2,000,000 Petrominerales
1,847,447
0.35
1,847,447
0.35
336,171,577
63.11
368,918,400
69.26
01.05.14/3.250%
15.03.18/3.125%
15.05.16/0.500%
15.05.18/1.250%
15.12.20/2.750%
30.03.23/3.125%
15.02.24/1.500%
15.04.15/4.250%
01.06.14/1.875%
01.06.27/1.875%
15.06.13/0.000%
15.03.12/1.250%
15.06.28/5.125%
01.06.13/1.750%
15.02.12/3.000%
15.07.14/1.250%
15.05.41/2.625%
15.12.26/2.625%
15.12.41/4.750%
15.03.15/3.250%
15.10.12/3.750%
15.08.17/1.500%
01.05.13/1.875%
15.12.26/1.500%
17.05.12/0.000%*
15.06.13/1.000%
01.02.26/0.250%
15.10.13/3.250%
15.08.37/3.250%
15.04.25/3.875%
15.03.37/3.125%
27.10.17/3.375%
01.08.14/2.000%
25.08.16/2.625%
MEXICO
1,700,000 Cemex SAB de
2,000,000 Cemex SAB de 144A
15.03.15/4.875%
15.03.16/3.250%
LUXEMBOURG
2,458,000 ArcelorMittal
15.05.14/5.000%
SOUTH KOREA
2,000,000 Lotte Shopping
SWEDEN
9,000,000 SAS
CAYMAN ISLANDS
1,200,000 Polarcus
1,069
2,325,674
1,523,116
847,561
4,671,557
1,659,922
1,731
2,257,637
592,625
7,843,625
7,186,418
1,163,750
515,845
4,321,125
1,056,825
1,664,356
6,061,756
3,504,305
9,101,070
Maturity/
Coupon
Market
Value
%
of
Net
Assets
2,991,267
847,875
2,842,772
2,201,536
473,962
4,331,621
1,157,110
2,886,694
3,387,037
2,292,925
5,288,252
2,370,500
1,058,135
1,098,432
1,173,640
5,794,635
887,894
1,416,000
2,538,820
1,613,327
534,645
7,947,450
1,326,707
2,272,560
2,179,215
4,633,178
3,678,450
1,140,174
1,581,623
3,374,519
5,913,793
0.56
0.16
0.53
0.41
0.09
0.81
0.22
0.54
0.64
0.43
0.99
0.44
0.20
0.21
0.22
1.09
0.17
0.26
0.48
0.30
0.10
1.49
0.25
0.43
0.41
0.87
0.69
0.21
0.30
0.63
1.11
137,534,715
25.82
5,104,208
0.96
5,104,208
0.96
2,204,398
2,281,410
0.41
0.43
4,485,808
0.84
1,666,000
1,955,000
0.31
0.37
3,621,000
0.68
3,361,315
0.63
3,361,315
0.63
0.45
Convertible Bonds
15.02.14/0.875%
15.05.36/3.750%
15.06.17/0.875%
15.03.15/4.000%
15.01.16/2.875%
15.11.40/1.750%
01.12.13/1.750%
15.10.14/3.000%
15.11.13/0.875%
01.05.13/0.625%
01.05.14/1.000%
01.05.16/1.625%
01.12.26/4.750%
01.12.29/3.000%
15.12.37/2.000%
01.06.16/2.500%
15.03.16/0.250%
15.12.35/2.950%
01.08.39/3.250%
International Game Technology

James River Coal 144A
Lam Research 144A
Lam Research 144A
Lennar 144A
Liberty Media
Life Technologies
MGM Resorts International
Micron Technology
Micron Technology
Microsoft 144A
Mylan
National Retail Properties
NetApp
Newmont Mining
Newmont Mining
Novellus Systems 144A
ON Semiconductor
Peabody Energy
ProLogis
Rayonier TRS Holdings
SanDisk
SBA Communications
SESI
Stanley Black & Decker
Symantec
Teva Pharmaceutical Finance
Tyson Foods
VeriSign
Vornado Realty
Xilinx
BERMUDA
4,300,000 Seadrill

1,000 Archer-Daniels-Midland
1,973,000 Boston Properties
1,796,000 Ciena
708,000 Ciena 144A
4,190,000 Dendreon
1,598,000 Developers Diversified Realty
2,018,000 Equinix
550,000 General Cable
6,550,000 Gilead Sciences
6,438,000 Gilead Sciences 144A
1,000,000 Gilead Sciences 144A
452,000 Health Care REIT
3,841,000 Health Care REIT
924,000 Hologic
1,580,000 Iconix Brand Group 144A
5,668,000 Illumina 144A
3,394,000 Intel
7,656,000 Intel
Name of Securities
0.00
0.44
0.29
0.16
0.88
0.31
0.00
0.42
0.11
1.47
1.35
0.22
0.10
0.81
0.20
0.31
1.14
0.66
1.71
FINLAND
500,000 Talvivaara Mining
NORWAY
400,000 Marine Harvest
74
05.07.16/0.000%
01.04.15/7.500%
27.04.16/2.875%
16.12.15/4.000%
23.02.15/4.500%
2,039,300
0.38
2,039,300
0.38
1,289,179
0.25
1,289,179
0.25
1,083,966
0.20
1,083,966
0.20
754,214
0.14
754,214
0.14
640,599
0.12
640,599
0.12
159,914,304
30.02

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
%
of
Net
Assets
Market
Value
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Investment Funds
LUXEMBOURG
10,620,319 JPMorgan Liquidity Funds - US Dollar Liquidity Fund
(JPM US Dollar Liquidity X (dist))

10,620,319
1.99
10,620,319
1.99
10,620,319
1.99

Regulated Market
170,534,623
32.01
Total Investments
539,453,023
101.27
234,482
0.04
(6,982,062)
(1.31)
Total Net Assets
532,705,443
100.00
Cash

Japan
France
Luxembourg
United Kingdom
Singapore
Cayman Islands
Netherlands
Jersey
Germany
India
Bermuda
Portugal
Canada
South Korea
Malaysia
Isle of Man
Spain
Australia
Norway
Switzerland
Belgium
Taiwan
Bahamas
Mexico
Sweden
Austria
Italy
Finland
Shares
Financials
Energy
Total Shares

France
Japan
Netherlands
Cayman Islands
United Kingdom
Luxembourg
Singapore
India
Taiwan
South Korea
Bermuda
Jersey
Sweden
Germany
Austria
Portugal
Isle of Man
Canada
Switzerland
Mexico
Malaysia
Spain
Belgium
Finland
Norway
Shares
Financials
Utilities
Energy
Materials
Consumer Staples
Total Shares
Total
% of
Net Assets
27.24
12.07
11.39
4.38
4.30
3.91
3.86
3.54
3.40
2.30
1.77
1.61
1.52
1.30
1.29
1.26
1.24
1.10
1.02
0.84
0.74
0.71
0.68
0.60
0.45
0.35
0.14
0.12
93.13
Total
2.26
1.99
1.73
1.39
0.31
0.25
0.21
8.14
(1.27)
100.00
75
% of
Net Assets
26.36
12.33
11.34
5.01
4.53
4.38
4.10
3.21
2.95
2.41
2.19
2.13
2.02
1.95
1.34
1.18
1.14
1.06
0.86
0.76
0.74
0.66
0.55
0.51
0.33
0.28
0.24
0.22
0.21
0.14
0.08
95.21
2.02
1.66
0.85
0.63
5.16
(0.37)
100.00

As at 30 June 2011
Settlement
Date
Currency
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
AUD
CHF
EUR
GBP
HKD
JPY
SGD
USD
USD
USD
USD
USD
USD
USD
Amount
Purchased
Currency
1,841,484
2,939,376
9,083,386
748,098
10,879,346
782,620,172
2,716,510
1,953,115
12,790,615
141,944,610
9,061,533
14,342,814
63,428,249
13,362,826
USD
USD
USD
USD
USD
USD
USD
AUD
CHF
EUR
GBP
HKD
JPY
SGD
Total
Amount
Sold
Unrealised
Gain/
(Loss)
1,941,219
3,490,681
13,019,112
1,211,739
1,396,494
9,755,220
2,203,237
1,841,484
10,739,768
98,328,872
5,531,092
111,617,698
5,093,847,519
16,463,375
29,785
(1,456)
115,977
(14,795)
1,641
(43,747)
8,955
(17,889)
41,833
(244,493)
211,876
(1,485)
219,093
(44,140)
261,155
76

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
SINGAPORE
139,000 Singapore Airlines

Shares
28,584 Abbott Laboratories
13,785 Chevron
33,032 Coca-Cola
17,864 ConocoPhillips
92,276 Frontier Communications
40,091 Mattel
14,521 McDonalds
41,154 Merck & Co.
22,737 Oneok
25,453 Paychex
80,719 Pfizer
31,766 Sysco
67,521 Time Warner
59,426 Wells Fargo & Co.
68,978 Xcel Energy
FRANCE
19,314
21,741
23,899
33,020
8,757
22,015
12,854
17,835
50,558
21,112
5,332
BNP Paribas
Bouygues
Compagnie de Saint-Gobain
GDF Suez
PPR
Sanofi
Schneider Electric
Sodexho
Suez Environnement
Total
Unibail-Rodamco
GERMANY
12,440
24,842
21,300
18,321
80,426
11,269

BASF
Deutsche Boerse
Deutsche Telekom Registered Shares
UNITED KINGDOM
272,772 Centrica
1,502,232
1,115,153
1,406,828
2,223,879
1,338,639
2,609,365
745,129
1,667,663
1,099,496
1,228,114
1,447,180
1,688,791
774,535
1,661,601
989,511
2,435,820
1,614,198
1,663,037
1,671,682
1.48
1.10
1.38
2.20
1.32
2.58
0.74
1.65
1.09
1.21
1.43
1.67
0.76
1.65
0.98
2.40
1.60
1.64
1.65
28,882,853
28.53
1,476,865
946,667
1,537,695
1,196,405
1,554,617
1,749,971
2,132,239
1,388,544
1,001,056
1,207,479
1,221,607
1.46
0.93
1.52
1.18
1.53
1.73
2.10
1.37
0.99
1.20
1.21
15,413,145
15.22
1,725,726
2,408,876
1,594,827
1,387,017
1,248,299
1,544,204
1.70
2.38
1.58
1.37
1.23
1.53
THAILAND
74,500 Siam Cement Registered Shares
9,908,949
9.79
SOUTH AFRICA
153,285 African Bank Investments
AUSTRALIA
97,172 QBE Insurance Group
330,702 Tatts Group
CHINA
750,000 Angang Steel - H Shares *
1,710,000 China Construction Bank - H Shares *
HONG KONG
FINLAND
81,975 UPM-Kymmene
NORWAY
100,626 DnB NOR
SWEDEN
PANAMA
34,406 Carnival
SOUTH KOREA
52,816 KT ADR
NETHERLANDS
36,280 Unilever - CVA
SWITZERLAND
%
of
Net
Assets
1,606,197
1,428,485
1.59
1.41
3,034,682
3.00
1,795,182
853,517
1.77
0.85
2,648,699
2.62
820,130
1,418,353
0.81
1.40
2,238,483
2.21
1,728,024
1.71
1,728,024
1.71
1,489,092
1.47
1,489,092
1.47
1,392,879
1.38
1,392,879
1.38
1,390,849
1.37
1,390,849
1.37
1,287,989
1.27
1,287,989
1.27
1,020,933
1.01
1,020,933
1.01
981,670
0.97
981,670
0.97
774,399
0.76
0.76
Total Shares
97,629,068
96.43

97,629,068
96.43
1.90
0.72
1.39
1.56
0.97
1.80
8,446,983
8.34
1,546,287
1,468,397
2,021,900
1.53
1.44
2.00
5,036,584
4.97
935,175
2,378,419
1,184,607
0.93
2.35
1.17
4,498,201
4.45
Total Investments
1,903,347
1,467,579
930,791
1.88
1.45
0.92
4,301,717
4.25
Total Net Assets
1,160,667
1,992,270
1.14
1.97
* Hong Kong Registered Shares.
3,152,937
3.11

Investment Funds
LUXEMBOURG
ITALY
295,355 Enel
62,865 ENI
448,152 UniCredit
Market
Value
774,399
1,928,523
724,943
1,406,764
1,576,948
984,415
1,825,390
JAPAN
18,300 Daito Trust Construction
30,600 Nippon Telegraph & Telephone
149,500 Sumitomo
Name of Securities
77
2,000,000
1.98
2,000,000
1.98
2,000,000
1.98

Regulated Market
2,000,000
1.98
99,629,068
98.41
Bank Overdraft
(182,134)
(0.18)
1,795,974
1.77
101,242,908
100.00

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities

Shares
Financials
Industrials
Health Care
Utilities
Materials
Energy
Consumer Staples
Total Shares
Total

Shares
Financials
Industrials
Consumer Staples
Health Care
Energy
Utilities
Materials
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
20.76
10.28
10.16
10.09
9.93
8.76
8.76
8.42
6.25
3.02
1.98
98.41
1.59
100.00
% of
Net Assets
17.10
10.95
9.90
9.82
9.70
9.42
8.61
8.11
7.31
6.01
1.43
98.36
1.64
100.00
78
Name of Securities
Market
Value
%
of
Net
Assets

As at 30 June 2011
Settlement
Date
Currency
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
11-Jul-11
EUR
EUR
GBP
GBP
USD
USD
USD
USD
USD
USD
USD
USD
USD
Amount
Purchased
Currency
65,056
7,507,185
53,046
87,670
402,664
570,942
565,942
2,136,960
274,165
615,354
271,787
194,836
496,011
HKD
USD
EUR
USD
AUD
CHF
EUR
GBP
HKD
JPY
NOK
SEK
SGD
Total
Amount
Sold
Unrealised
Gain/
(Loss)
729,538
10,985,124
59,567
142,694
377,482
475,996
393,435
1,301,158
2,132,333
49,328,203
1,455,356
1,199,085
609,442
359
(125,540)
(1,282)
(2,403)
(1,964)
5,953
(3,185)
54,839
151
3,279
1,259
5,406
(279)
(63,407)
79

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
JAPAN
55,000,000
70,000,000
44,800,000
5,000,000

Bonds
60,000 Altria Group
50,000 American Express Credit
90,000 American International Group
135,000 Anheuser-Busch InBev
Worldwide
50,000 Apache
65,000 AT&T
60,000 AT&T
320,000 BA Credit Card Trust
125,000 Citigroup
30,000 Citigroup
100,000 Crdit Suisse/New York
50,000 Darden Restaurants
25,000 Energy Transfer Partners
90,000 Entergy Arkansas
50,000 Enterprise Products Operating
25,000 Georgia Power
60,000 Goldman Sachs Group
40,000 HCP
40,000 Home Depot
55,000 Kinder Morgan Energy Partners
115,000 Kraft Foods
50,000 MetLife
55,000 Nevada Power
35,000 Nisource Finance
145,000 Philip Morris International
95,000 Plains All American Pipeline
180,000 Prudential Financial
150,000 SES Global Americas Holdings
55,000 Time Warner
20,000 Time Warner Entertainment
65,000 UnitedHealth Group
60,000 Wal-Mart Stores
45,000 Watson Pharmaceuticals
75,000 Williams Partners
50,000 Xcel Energy
UNITED KINGDOM
100,000 Abbey National Treasury
Services
Services
Services
50,000 Anglo American Capital
100,000 Bank of Scotland
100,000 BAT International Finance
75,000 British Telecommunications
200,000 Lloyds TSB Bank
235,000 Nationwide Building Society
350,000 Network Rail Infrastructure
Finance
150,000 RBS
100,000 Standard Chartered Bank
100,000 UBS/London
125,000 UK Treasury
189,000 West Bromwich Building Society
05.05.21/4.750%
25.08.14/5.125%
15.12.20/6.400%
15.01.19/7.750%
01.02.42/5.250%
15.05.21/4.450%
15.05.36/6.800%
18.09.13/5.450%*
04.12.19/5.500%
28.05.15/5.000%
04.09.19/7.375%
09.08.20/5.375%
01.02.39/6.500%
15.05.13/5.000%
15.02.18/6.000%
15.10.37/6.800%
01.06.41/6.050%
15.02.21/3.750%
15.04.38/7.550%
14.01.38/5.875%
01.03.37/5.650%
18.01.18/5.950%
01.02.41/6.250%
01.02.21/5.375%
01.04.41/5.950%
01.03.41/6.375%
10.02.20/5.375%
15.02.19/7.717%
13.05.14/6.000%
26.01.20/5.500%
15.03.19/7.125%
15.06.41/5.950%
17.03.14/6.875%
16.05.18/5.650%
01.05.18/6.500%
15.06.19/7.375%
09.07.14/4.875%
15.09.39/5.250%
29.03.41/6.250%
15.07.33/8.375%
15.10.40/5.700%
01.11.18/8.750%
01.04.21/4.600%
15.04.41/5.625%
15.08.19/6.125%
15.11.20/4.125%
15.05.20/4.700%
41,494
37,713
66,249
0.20
0.18
0.32
117,713
33,872
45,691
45,762
365,939
167,059
80,116
143,390
21,650
28,168
73,762
104,678
38,196
16,756
59,376
41,690
82,620
17,918
44,709
17,179
28,567
28,270
39,043
86,877
41,727
143,150
70,160
45,912
23,800
114,989
27,326
74,800
147,245
158,040
51,129
39,128
17,563
44,602
27,084
81,962
42,618
35,099
50,063
36,188
0.57
0.16
0.22
0.22
1.77
0.81
0.39
0.69
0.10
0.14
0.36
0.51
0.19
0.08
0.29
0.20
0.40
0.09
0.22
0.08
0.14
0.14
0.19
0.42
0.20
0.69
0.34
0.22
0.12
0.56
0.13
0.36
0.71
0.77
0.25
0.19
0.09
0.22
0.13
0.40
0.21
0.17
0.24
0.17
3,147,042
15.25
18.03.13/2.500%
99,856
0.48
30.06.14/3.125%
198,681
0.96
08.06.15/3.375%
01.05.18/6.875%
15.01.14/3.875%
20.01.17/4.000%
07.10.19/4.000%
12.12.19/6.375%
07.12.16/8.750%
10.06.19/6.000%
08.06.25/4.000%*
17.03.15/3.375%
21.01.21/6.375%
14.09.15/2.875%
99,435
62,650
102,299
173,069
50,397
125,087
100,680
116,383
45,929
200,200
53,657
230,511
0.48
0.30
0.50
0.84
0.24
0.61
0.49
0.56
0.22
0.97
0.26
1.12
17.06.13/3.500%
15.03.16/4.000%
28.03.18/1.828%*
06.10.14/3.000%
07.09.39/4.250%
15.01.16/6.250%
05.04.12/2.000%
255,025
151,682
96,680
101,172
138,992
112,460
210,664
1.24
0.74
0.47
0.49
0.67
0.55
1.02
2,725,509
13.21
Name of Securities

FRANCE
150,000 BNP Paribas Home Loan Covered
Bonds
200,000 Caisse dAmortissement de la
Dette Sociale
100,000 Caisse Refinancement de
lHabitat
50,000 Casino Guichard Perrachon
100,000 Cie de St-Gobain
200,000 Credit Agricole Home Loan
150,000 RCI Banque
200,000 Socit des Autoroutes
Paris-Rhin-Rhone
NETHERLANDS
100,000 Adecco International Financial
Services
100,000 Allianz Finance II
40,000 Deutsche Telekom International
Finance
100,000 ING Bank
450,000 LeasePlan
GERMANY
46,000
191,000
120,000
160,000
Deutsche Pfandbriefbank
Eurohypo
Germany (Federal Republic of)
KfW - Kreditanstalt fuer
Wiederaufbau
60,000 Merck Financial Services
SOUTH AFRICA
MEXICO
100,000 America Movil
SOUTH KOREA
503,000,000 Korea (Republic of)
SPAIN
100,000 BBVA Senior Finance
150,000 Fund for Ordered Bank
Restructuring
80,000 Telefonica Emisiones
Maturity/
Coupon
Market
Value
%
of
Net
Assets
490,199
589,100
395,607
47,104
2.37
2.85
1.92
0.23
1,522,010
7.37
12.01.17/3.375%
150,307
0.73
25.04.15/3.625%
207,681
1.01
08.04.19/5.000%
12.11.18/4.481%
15.12.16/5.625%
21.07.14/3.500%
27.01.15/4.375%
108,570
50,121
119,495
204,565
151,510
0.53
0.24
0.58
0.99
0.74
20.09.14/1.500%
20.09.20/0.800%
20.03.20/1.300%
20.09.35/2.500%
205,673
0.99
1,197,922
5.81
13.04.18/4.750%
08.07.41/5.750%*
101,556
96,190
0.49
0.47
31.05.16/4.750%
30.09.14/3.000%
22.05.14/3.250%
01.06.21/3.875%
42,456
100,953
462,801
49,670
0.21
0.49
2.24
0.24
853,626
4.14
15.09.14/3.125%
26.05.14/2.750%
04.07.42/3.250%
46,625
191,435
109,361
0.22
0.93
0.53
21.01.19/3.875%
24.03.20/4.500%
166,536
61,112
0.81
0.30
575,069
2.79
12.01.17/5.000%
15.09.15/13.500%
30.03.20/5.000%
05.12.24/10.000%
569,368
2.76
569,368
2.76
72,480
291,840
0.35
1.42
364,320
1.77
326,849
1.58
326,849
1.58
15.04.16/4.875%
99,492
0.48
19.11.14/3.000%
16.02.21/5.462%
142,012
56,063
0.69
0.27
297,567
1.44
194,102
101,375
0.94
0.49
10.06.12/4.000%
FINLAND
200,000 Nordea Bank Finland
100,000 OP Mortgage Bank
16.11.15/2.250%
19.11.14/3.125%
SWEDEN
90,000 Vattenfall
100,000 Volvo Treasury
19.05.14/4.250%
31.05.17/5.000%
295,477
1.43
93,835
105,136
0.45
0.51
198,971
0.96
117,506
80,848
0.57
0.39
198,354
0.96
BRAZIL
100,000 Brazil (Republic of)
80
01.01.13/10.000%
17.01.17/6.000%

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
CANADA
95,000 Canadian Natural Resources
55,000 Encana
Maturity/
Coupon
01.12.14/4.900%
15.08.37/6.625%
15.06.38/6.500%
DENMARK
80,000 Carlsberg Breweries
50,000 DONG Energy
13.10.17/3.375%
07.05.14/4.875%
RUSSIA
31.03.30/7.500%*
ITALY
100,000 Intesa Sanpaolo
CAYMAN ISLANDS
144A
LUXEMBOURG
55,000 ArcelorMittal
02.03.20/3.750%*
15.09.19/5.625%
29.09.14/7.375%
01.03.41/6.750%
Market
Value
%
of
Net
Assets
72,415
41,432
37,708
0.35
0.20
0.18
151,555
0.73
77,871
52,882
Quantity/
Nominal
Value
685,527 Harborview Mortgage Loan Trust

2005-11 2A1A
2005-S2 1A1
Trust 2005-C1 A4
Trust 2006-C6 A4
100,000 LG&E and KU Energy 144A
230,000 Metropolitan Life Global
Funding I 144A
2004-SD2 A
2005-HQ7 A4
80,000 NBC Universal 144A
412,889 New Century Home Equity Loan
Trust 2005-4 A2B
35,000 Oracle
40,000 Oracle 144A
2005-WHQ3 M1
35,000 State of California
20,000 State of Illinois
2005-WF4 A4
35,000 US Treasury
125,000 US Treasury
235,000 US Treasury
95,000 US Treasury
35,000 US Treasury
275,000 US Treasury
40,000 US Treasury
94,000 US Treasury
65,000 US Treasury
50,000 US Treasury
40,000 US Treasury
2004-2 AI6
0.38
0.25
130,753
0.63
98,784
0.48
98,784
0.48
95,379
0.46
95,379
0.46
88,456
0.43
88,456
0.43
76,819
0.37
76,819
0.37
37,087
0.18
37,087
0.18
PERU
ISLE OF MAN
20,000 AngloGold Ashanti Holdings
21.11.33/8.750%
23,540
0.11
23,540
0.11
13,721
0.07
13,721
0.07
Total Bonds
12,988,178
62.93

12,988,178
62.93
15.04.20/5.375%

Bonds
2010-1 A2
38,200 Banc of America Mortgage
Securities 2004-5 3A2
45,000 Barrick North America
Finance 144A
55,000 Cisco Systems
380,000 Citibank Omni Master Trust
2009-A8 A8
50,000 Comcast
54,444 CSFB Mortgage Securities
2005-C2 AAB
58,745 CSFB Mortgage Securities Corp
2004-3 2A1
45,000 DCP Midstream 144A
115,000 Fannie Mae
254,284 Fannie Mae Pool No: 889183
160,766 Fannie Mae Pool No: AC6082
113,810 Fannie Mae REMICS 2006-78 BC
130,000 Federal Home Loan Banks
Commercial Mortgage
2002-C1 A2
140,000 Freddie Mac
115,000 Freddie Mac
75,000 Gilead Sciences
Funding 2005-GG3 A4
36,537
0.18
3,031
0.02
25.06.35/0.666%*
16,703
0.08
25.06.19/4.750%
27,122
0.13
30.05.41/5.700%
15.01.40/5.500%
30,403
38,008
0.15
0.18
16.05.16/2.287%*
15.11.17/6.300%
265,869
40,123
1.29
0.19
15.04.37/4.681%
38,566
0.19
25.04.19/5.000%
15.03.19/9.750%
22.02.13/1.750%
01.09.21/5.500%
01.11.24/4.500%
25.01.34/6.500%
25.08.20/5.000%
11.07.11/0.090%*
42,413
40,828
81,170
190,606
118,404
80,499
35,434
89,851
0.21
0.20
0.39
0.92
0.57
0.39
0.17
0.44
12.02.34/6.141%
30.07.14/1.000%
18.10.16/5.125%
01.04.21/4.500%
85,650
96,752
91,620
52,154
0.41
0.47
0.44
0.25
10.08.42/4.799%*
118,359
0.57
25.07.35/0.686%*
15.04.12/0.750%
Name of Securities
FRANCE
110,000 BNP Paribas
360,000 Dexia Credit Local
UNITED KINGDOM
200,000 AWG Parent
35,000 PPL WEM Holdings 144A
%
of
Net
Assets
340,095
1.65
25.01.35/0.546%*
167,624
0.81
25.08.20/4.500%
61,335
0.30
15.02.30/4.742%
191,145
0.93
15.09.39/5.372%
15.11.15/2.125%
177,659
67,423
0.86
0.33
10.04.13/5.125%
169,203
0.82
25.04.34/0.636%*
26,754
0.13
14.11.42/5.374%*
30.04.20/5.150%
01.04.21/4.375%
82,510
58,441
37,637
0.40
0.28
0.18
25.09.35/0.456%*
08.07.39/6.125%
15.07.40/5.375%
273,813
26,835
27,820
1.33
0.13
0.14
25.06.35/0.606%*
24,978
0.12
25.11.34/0.806%*
77,342
0.38
25.12.36/6.000%
01.04.39/7.550%
01.06.33/5.100%
26,124
27,742
11,760
0.13
0.13
0.06
25.11.35/0.546%*
21.07.11/0.000%
31.07.11/4.875%
31.01.12/4.750%
31.03.16/2.250%
30.04.16/2.000%
31.05.16/1.750%
15.02.17/4.625%
15.11.20/2.625%
15.05.21/3.125%
15.08.25/6.875%
15.02.31/5.375%
15.08.39/4.500%
15.11.40/4.250%
15.02.41/4.750%
38,203
62,889
24,290
74,530
89,051
165,283
65,906
79,070
23,344
189,934
37,227
76,171
45,810
33,702
29,312
0.19
0.30
0.12
0.36
0.43
0.80
0.32
0.38
0.11
0.92
0.18
0.37
0.22
0.16
0.14
15.10.44/5.380%*
15.06.16/3.676%
245,466
114,364
1.19
0.55
25.05.34/5.000%*
53,086
0.26
25.04.20/4.750%
36,348
0.18
4,980,328
24.13
76,988
249,710
0.37
1.21
326,698
1.58
261,637
25,108
1.26
0.12
286,745
1.38
121,678
58,663
0.59
0.29
180,341
0.88
23.02.16/3.600%
23.09.11/2.375%
21.08.23/6.875%*
01.05.21/5.375%
01.06.33/5.750%
01.06.37/5.000%
SWEDEN
115,000 Svenska Handelsbanken 144A
10.06.14/4.875%
Total Bonds
Market
Value
19.08.45/0.496%*
CANADA
BELGIUM
25,000 Delhaize Group
81
Maturity/
Coupon
01.10.40/5.700%
86,060
0.42
86,060
0.42
16,157
0.08
16,157
0.08
5,876,329
28.47

As at 30 June 2011
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
%
of
Net
Assets
Market
Value
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Investment Funds
LUXEMBOURG

Regulated Market

500,004
2.42
500,004
2.42
500,004
2.42
6,376,333
30.89

United Kingdom
France
Japan
Netherlands
Germany
South Africa
Mexico
Canada
South Korea
Spain
Finland
Sweden
Brazil
Denmark
Russia
Italy
Cayman Islands
Luxembourg
Peru
Belgium
Isle of Man
Investment Funds
Luxembourg

Bonds
750,000 Lehman Brothers Holdings
(Defaulted)
520,000 Lehman Brothers Holdings
Capital Trust VII (Defaulted)
03.04.09/0.000%
31.12.49/5.857%
133,480
0.65
216
0.00
133,696
0.65
Total Bonds
133,696
0.65
133,696
0.65
19,498,207
94.47
Total Investments
Cash
Total Net Assets
951,117
4.61
189,694
0.92
20,639,018
100.00
Total


United Kingdom
France
Japan
Netherlands
Canada
Mexico
Sweden
Germany
South Korea
South Africa
Cayman Islands
Finland
Israel
Brazil
Luxembourg
Spain
Denmark
Russia
Bermuda
Isle of Man
Belgium
Investment Funds
Luxembourg
Total
82
% of
Net Assets
40.03
14.59
7.39
7.37
4.14
2.79
2.76
1.77
1.61
1.58
1.44
1.43
1.38
0.96
0.63
0.48
0.46
0.43
0.37
0.18
0.11
0.08
0.07
92.05
2.42
2.42
5.53
100.00
% of
Net Assets
43.69
13.24
4.78
4.55
4.18
2.40
1.97
1.84
1.83
1.41
1.27
1.26
1.24
1.00
0.87
0.85
0.81
0.55
0.45
0.34
0.28
0.26
0.22
89.29
2.58
2.58
8.13
100.00

Schedule of Investments - Outstanding To be Announced Securities (Expressed in EUR)
As at 30 June 2011
Maturity
Date
Name of Securities
Coupon
Nominal
Value
Market
Value
Unrealised
Gain/
(Loss)
3.500%
4.000%
4.500%
5.000%
5.500%
6.000%
4.500%
5.000%
5.500%
6.000%
4.500%
5.000%
5.500%
6.000%
4.000%
4.000%
4.000%
4.500%
180,000
520,000
490,000
460,000
400,000
200,000
480,000
420,000
210,000
135,000
690,000
510,000
455,000
600,000
140,000
180,000
655,000
20,000
126,721
374,395
350,044
337,356
298,537
151,817
350,157
314,234
159,680
104,051
493,813
374,576
340,028
455,580
96,807
126,838
453,981
14,279
(464)
(780)
(1,840)
(509)
(875)
22
(104)
(317)
(295)
(11)
(2,728)
(1,220)
(1,672)
(2,024)
(862)
(485)
(2,442)
(10)
4,922,894
(16,616)
To be Announced Securities - Long Positions

25-Jul-26
25-Jul-26
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
25-Jul-39
25-Jul-39
25-Jul-39
25-Jul-39
15-Jul-41
15-Jul-41
25-Jul-41
25-Aug-41
Fannie Mae
Fannie Mae
Freddie Mac
Freddie Mac
Freddie Mac
Freddie Mac
Ginnie Mae
Ginnie Mae
Ginnie Mae
Ginnie Mae
Fannie Mae
Fannie Mae
Fannie Mae
Fannie Mae
Freddie Mac
Ginnie Mae
Fannie Mae
Fannie Mae
Total
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
157,328
355,820
(1,285,460)
629,100
(3,336,170)
(1,568,860)
1,186,846
170,241
(260,998)
(238)
258
880
(400)
(2,527)
(5,291)
(1,123)
(2,619)
3,677
Bond Futures
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
2
4
(11)
5
(22)
(19)
14
2
(3)

Euro-Bobl Future
Euro-Bund Future
US Long Bond Future
AUD
CAD
EUR
EUR
USD
USD
USD
USD
USD
Total
(7,383)

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR) (continued)
As at 30 June 2011
Settlement
Date
Currency
Amount
Purchased
Currency
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
AUD
CAD
CAD
CAD
CAD
CHF
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
JPY
54,504
30,990
160,418
31,169
37,043
77,107
123,824
120,410
319,782
1,980,694
1,953,154
90,735
62,917
74,622
153,237
9,580,522
561,236
33,265
5,429,044
CAD
AUD
EUR
NOK
SEK
NZD
AUD
CAD
CHF
GBP
JPY
MXN
NOK
NZD
SEK
USD
ZAR
USD
AUD
83
Amount
Sold
Unrealised
Gain/
(Loss)
56,375
30,120
113,852
176,582
240,039
113,521
168,103
169,786
388,440
1,726,908
228,261,529
1,516,233
494,422
130,866
1,393,207
13,775,413
5,578,102
54,670
64,237
67
(155)
956
(389)
291
(1,750)
(821)
(1,103)
1,101
70,480
(4,484)
1,457
(631)
(321)
1,054
58,989
(7,482)
(992)
(1,070)

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR) (continued)
As at 30 June 2011
Settlement
Date
Currency
Amount
Purchased
Currency
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
05-Jul-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
03-Aug-11
JPY
JPY
JPY
NOK
NOK
NOK
NOK
NZD
SEK
SEK
SEK
SEK
USD
USD
USD
AUD
AUD
EUR
EUR
EUR
EUR
EUR
GBP
GBP
JPY
JPY
NOK
USD
5,809,442
4,019,119
15,287,942
537,720
3,052,665
1,191,697
265,353
127,247
341,808
2,398,238
538,611
1,315,405
34,415
14,041,599
200,000
32,594
33,509
48,156
113,855
43,363
176,287
9,405,959
28,724
210,995
4,618,660
4,380,547
192,565
247,775
CHF
EUR
USD
AUD
EUR
SEK
USD
EUR
CHF
EUR
JPY
USD
CAD
EUR
SEK
GBP
NZD
AUD
CAD
CHF
JPY
USD
CHF
EUR
EUR
SEK
CHF
EUR
Total
Amount
Sold
Unrealised
Gain/
(Loss)
61,070
34,399
188,696
93,100
390,654
1,391,598
49,236
71,420
46,419
268,982
6,726,231
207,999
33,459
9,748,044
1,301,602
21,447
43,314
66,049
160,418
52,356
20,521,729
13,536,806
38,330
236,263
40,372
352,823
29,385
173,226
(279)
70
688
82
1,707
1,162
74
1,450
(746)
(7,017)
1,148
(84)
(158)
(42,525)
(3,938)
361
(4)
(671)
(967)
364
109
41,253
309
(2,757)
(721)
(899)
593
(1,816)
101,985
84

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
67,608 RBC

Shares
53,042 Aflac
170,174 Citigroup
73,226 Hartford Financial Services Group
6,693 Mastercard - A Shares
116,226 MetLife
33,063 PNC Financial Services Group
75,238 State Street
127,766 US Bancorp
UNITED KINGDOM
831,064 Barclays
321,356 Prudential
2,185,827 RBS Group
SWITZERLAND
58,857 ACE
FRANCE
154,515 AXA
52,537 BNP Paribas
73,053 Socit Gnrale
CHINA
4,234,450 China Construction Bank - H Shares *
1,698,550 China Merchants Bank - H Shares *
GERMANY
32,383 Allianz Registered Shares
640,429 Commerzbank
AUSTRIA
89,150 ANZ Banking Group
66,829 National Australia Bank
116,108 Westpac Banking
HONG KONG
638,400 AIA Group
251,000 Henderson Land Development
115,000 Sun Hung Kai Properties
1.39
1.08
1.08
3.45
0.62
3.99
2.37
1.09
1.15
2.87
2.18
1.10
2.28
1.92
1.83
4.37
57,865,131
32.77
3,355,013
6,348,934
2,534,427
3,663,089
1,325,117
1,666,645
1.90
3.60
1.44
2.07
0.75
0.94
18,893,225
10.70
3,873,968
3,816,726
2,508,744
3,454,727
2.19
2.16
1.42
1.96
13,654,165
7.73
3,475,241
4,017,295
4,289,173
1.97
2.27
2.43
11,781,709
6.67
3,512,249
4,109,800
1.99
2.33
7,622,049
4.32
306
347
148
289,100
39,500
Advance Residence Investment

Japan Retail Fund Investment
Kenedix Realty Investment
Mitsubishi UFJ Financial Group
Sumitomo Mitsui Financial Group
NETHERLANDS
BELGIUM
63,674 KBC Groep
AUSTRALIA
68,134 Macquarie Group
GUERNSEY
445,585 Resolution
ITALY
989,238 UniCredit
BERMUDA
37,900 Invesco
13,866 Everest Re Group
SOUTH KOREA
7,531 Samsung Fire & Marine Insurance
SOUTH AFRICA
CAYMAN ISLANDS
1,603,498
2,257,578
3,602,223
0.91
1.28
2.04
7,463,299
4.23
4,492,298
2,743,213
2.55
1.55
7,235,511
4.10
2,104,769
1,836,328
2,769,887
1.19
1.04
1.57
6,710,984
3.80
2,212,821
1,616,665
1,674,987
5,504,473
MEXICO
319,448 Grupo Financiero Banorte - O Shares
CANADA
62,384 Manulife Financial
3,838,961
2.17
4,907,118
2.78
638,236
532,803
568,348
1,402,545
1,209,089
0.36
0.30
0.32
0.79
0.69
4,351,021
2.46
3,815,023
2.16
3,815,023
2.16
2,459,553
1.39
2,459,553
1.39
2,282,378
1.29
2,282,378
1.29
2,063,396
1.17
2,063,396
1.17
2,054,601
1.16
2,054,601
1.16
883,260
1,133,268
0.50
0.64
2,016,528
1.14
1,745,573
1.00
1,745,573
1.00
1,738,637
0.98
1,738,637
0.98
1,692,225
0.96
1,692,225
0.96
1,459,985
0.84
1,459,985
0.84
Total Shares
172,291,375
97.59

172,291,375
97.59

Investment Funds
LUXEMBOURG
1.25
0.92
0.95
3.12
3,050,000
1.72
3,050,000
1.72
3,050,000
1.72

Regulated Market
3,050,000
1.72
175,341,375
99.31
741,832
0.42
Total Investments
SPAIN
161,342 BBVA
271,600 BSCH
%
of
Net
Assets
JAPAN
2,459,292
1,904,663
1,909,451
6,095,515
1,096,782
7,036,695
4,184,242
1,918,887
2,029,217
5,069,197
3,850,534
1,951,048
4,017,952
3,388,343
3,233,119
7,720,194
INDIA
102,033 Housing Development Finance
771,634 Infrastructure Development Finance
515,807 Yes Bank
Market
Value
1,863,299
3,111,492
1.06
1.76
Cash
4,974,791
2.82
1,068,157
0.61
Total Net Assets

85
470,009
0.27
176,553,216
100.00

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities

Shares
Financials
Industrials
Total Shares
Total

Shares
Financials
Industrials
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
96.44
1.72
1.15
99.31
0.69
100.00
% of
Net Assets
96.86
1.46
1.08
99.40
0.60
100.00
86
Name of Securities
Market
Value
%
of
Net
Assets

As at 30 June 2011
Settlement
Date
Currency
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
19-Aug-11
AUD
CAD
CHF
CHF
EUR
GBP
JPY
NOK
SEK
SGD
USD
USD
USD
USD
USD
Amount
Purchased
Currency
5,479,899
11,353,858
824,704
324,677
961,884
668,665
715,458,962
4,259,825
21,993,510
3,978,729
931,507
4,199,023
3,663,104
5,286,217
5,140,491
USD
USD
EUR
JPY
USD
USD
USD
USD
USD
USD
CAD
CHF
EUR
GBP
HKD
Total
Amount
Sold
Unrealised
Gain/
(Loss)
5,791,464
11,639,014
680,994
30,838,244
1,366,082
1,088,410
8,918,155
784,456
3,476,873
3,230,904
913,823
3,525,205
2,543,029
3,228,003
39,997,509
51,861
103,160
(4,723)
2,767
23,667
(18,945)
(38,678)
5,324
(10,651)
9,235
(13,570)
13,461
(11,115)
123,341
(650)
234,484
87

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
845,000
1,105,000
775,000
590,000
2,565,000
2,120,000
3,900,000
2,840,000
3,800,000
1,470,000
6,360,000
1,990,000
80,000
9,365,000
2,495,000
3,145,000
2,135,000
765,000
3,095,000
3,570,000
1,025,000
1,615,000
1,915,000
1,720,000

Shares
71,806 Dex One
187,414
0.01
187,414
0.01
187,414
0.01
15.03.15/10.625%
15.08.15/7.625%
15.10.17/8.000%
15.03.29/6.450%
01.03.17/7.875%
01.08.16/8.750%
15.08.16/9.000%
01.11.15/9.750%
15.01.18/7.625%
15.03.17/7.000%
15.09.17/8.625%
15.12.18/7.250%
15.08.20/6.625%
01.12.15/8.875%
15.10.20/8.375%
01.05.15/7.000%
01.05.16/7.000%
01.05.17/7.000%
15.08.16/7.625%
15.07.15/8.875%
01.09.16/7.250%
15.05.17/7.250%
01.06.17/7.750%
15.01.15/9.000%
15.02.19/6.500%
15.02.21/6.750%
01.11.18/6.375%
01.11.20/6.625%
01.03.16/9.750%
15.02.20/8.250%
15.06.17/7.000%
01.06.28/6.950%
15.01.32/7.750%
01.05.16/9.500%
5,368,545
2,407,900
3,391,900
7,502,700
6,474,076
4,752,394
4,462,350
5,037,188
1,956,375
1,600,950
1,618,337
320,075
4,033,700
3,593,035
7,099,325
317,443
18,001,076
7,389,934
2,707,180
7,932,912
5,407,144
2,138,850
2,753,100
2,319,144
3,154,150
793,000
2,052,562
383,800
1,144,156
4,583,616
602,308
1,813,429
973,602
2,165,525
0.33
0.15
0.21
0.46
0.40
0.29
0.28
0.31
0.12
0.10
0.10
0.02
0.25
0.22
0.44
0.02
1.11
0.46
0.17
0.49
0.33
0.13
0.17
0.14
0.20
0.05
0.13
0.02
0.07
0.28
0.04
0.11
0.06
0.13
01.12.20/10.000%
15.09.18/7.500%
4,492,790
1,249,662
0.28
0.08
15.07.17/7.625%
15.04.15/7.000%
15.08.17/6.625%
15.05.18/5.000%
15.02.14/8.500%
15.06.19/7.250%
15.03.15/6.625%
15.04.20/8.500%
01.04.17/7.125%
15.10.17/7.750%
01.05.16/7.125%
15.05.16/10.500%
15.08.20/8.250%
15.08.20/8.750%
01.10.18/7.875%
15.12.16/8.000%
15.11.16/9.250%
15.11.16/9.625%
15.02.17/9.875%
15.04.16/6.125%
01.10.18/7.250%
15.09.22/7.750%
01.01.14/7.875%
15.03.15/6.375%
30.06.16/5.500%
01.03.15/8.750%
15.05.16/5.750%
15.05.19/6.250%
15.12.20/8.250%
15.07.18/8.750%
15.08.21/8.375%
01.05.16/8.000%
01.05.17/7.500%
15.01.20/7.500%
01.04.17/7.950%
2,539,375
6,578,966
7,835,855
11,077,465
401,450
3,730,140
1,871,287
2,174,075
1,845,390
4,403,775
1,558,520
300,436
4,784,400
3,229,548
1,096,950
8,601,089
16,366,937
11,520,105
180,630
7,417,280
1,939,600
3,470,950
732,468
1,675,875
4,571,269
883,836
1,049,034
823,567
1,694,550
7,448,662
2,533,512
1,280,750
5,730,187
3,077,525
3,948,499
0.16
0.41
0.48
0.69
0.02
0.23
0.12
0.13
0.11
0.27
0.10
0.02
0.30
0.20
0.07
0.53
1.01
0.71
0.01
0.46
0.12
0.22
0.05
0.10
0.28
0.06
0.06
0.05
0.11
0.46
0.16
0.08
0.35
0.19
0.24
Total Shares
Bonds
4,788,000 ACCO Brands
3,170,000 AES
8,430,000 Alcatel-Lucent USA
6,470,000 American Axle & Manufacturing
4,365,000 Arch Coal
4,260,000 Ashtead Capital 144A
4,975,000 Avaya
1,850,000 B&G Foods
1,560,000 Belden
1,495,000 Cablevision Systems
295,000 Chesapeake Energy
3,495,000 Chiquita Brands International
7,135,000 Cincinnati Bell
316,651 CIT Group
18,046,192 CIT Group
7,427,069 CIT Group
2,536,000 Clean Harbors
7,730,000 Community Health Systems
4,955,000 Constellation Brands
2,520,000 Corrections Corp. of Amercia
2,135,000 Crown Castle International
3,170,000 Dana Holding
800,000 Dana Holding
2,050,000 DaVita
380,000 DaVita
1,025,000 Denbury Resources
4,210,000 Denbury Resources
530,000 El Paso
1,710,000 El Paso
835,000 El Paso
1,940,000 Encore Acquisition
4,215,000 Energy Future Intermediate
Holding
1,285,000 EXCO Resources
2,390,000 Fidelity National Information
Services
6,100,000 Ford Motor Credit
370,000 Forest Oil
3,657,000 Forest Oil
1,795,000 Frontier Communications
1,990,000 Frontier Communications
1,796,000 General Cable
4,135,000 Geo Group
1,504,000 Glatfelter
267,000 Goodyear Tire & Rubber
4,430,000 Goodyear Tire & Rubber
2,930,000 Goodyear Tire & Rubber
1,030,000 Graphic Packaging International
8,055,000 Hanesbrands
15,350,000 HCA
10,817,000 HCA
162,000 HCA
7,132,000 Health Management Associates
1,865,000 Healthsouth
3,290,000 Healthsouth
500,000 Hertz
1,635,000 Host Hotels & Resorts
4,635,000 Huntsman International
826,000 Inergy & Inergy Finance
1,080,000 International Lease Finance
865,000 International Lease Finance
1,580,000 International Lease Finance
7,145,000 Iron Mountain
2,410,000 Iron Mountain
1,175,000 Jarden
5,490,000 Jarden
2,945,000 Jarden
3,490,000 JC Penney
3,250,000
3,852,000
3,950,000
875,000
2,210,000
1,390,000
1,630,000
3,920,000
1,812,000
1,200,000
1,230,000
1,031,000
11,251,000
815,000
2,775,000
4,045,000
1,110,000
19,675,000
7,295,000
4,509,000
795,000
970,000
5,800,000
4,720,000
1,500,000
2,430,000
5,120,000
1,385,000
Name of Securities
JC Penney
Key Energy Services
Lear
Lear
Ltd Brands
Manitowoc
Manitowoc
MarkWest Energy Partners
Masco
Masco
MetroPCS Wireless
Mueller Water Products
Parker Drilling
PetroHawk Energy
PetroHawk Energy
Petrohawk Energy
Plains Exploration & Production
PolyOne
Qwest Communications
International
International
RailAmerica
Regions Bank
Regions Financial
Rite Aid
Rite Aid
Rite Aid
Rite Aid
RSC Equipment Rental
Service Corp. International
Scotts Miracle-Gro
Sealy Mattress
Spirit Aerosystems
Sprint Capital
Sprint Capital
Supervalu
Tenet Healthcare
Tenet Healthcare
Tenet Healthcare
Tenet Healthcare
Terex
Unit
United Rentals North America
Vulcan Materials
LUXEMBOURG
5,438,000 MagnaChip Semiconductor
Finance
2,300,000 Wind Acquisition Finance 144A
BERMUDA
3,120,000 Aircastle
LIBERIA
2,330,000 Royal Caribbean Cruises
GERMANY
1,415,000 Kinove German Bondco 144A
CANADA
1,290,000 Nova Chemicals
88
Maturity/
Coupon
15.02.18/5.750%
01.03.21/6.750%
15.03.18/7.875%
15.03.20/8.125%
01.04.21/6.625%
15.02.18/9.500%
01.11.20/8.500%
15.04.18/8.750%
03.10.16/6.125%
15.03.20/7.125%
01.09.18/7.875%
01.04.13/6.750%
01.04.16/6.875%
01.06.16/7.500%
15.11.17/11.125%
01.09.20/8.750%
01.04.18/9.125%
01.08.14/10.500%
01.06.15/7.875%
15.08.18/7.250%
15.06.15/7.750%
15.03.17/7.000%
15.09.20/7.375%
15.02.14/7.500%
01.10.15/8.000%
01.07.17/9.250%
15.05.18/7.500%
15.06.15/5.750%
01.03.17/7.500%
15.06.17/9.500%
15.10.19/10.250%
15.08.20/8.000%
01.12.14/9.500%
01.04.16/6.750%
15.06.17/7.000%
15.01.18/7.250%
15.06.14/8.250%
01.10.18/7.625%
15.05.19/7.000%
01.10.17/7.500%
01.05.19/6.900%
15.03.32/8.750%
01.05.16/8.000%
01.02.15/9.250%
01.05.18/10.000%
01.07.19/8.875%
01.08.20/8.000%
15.11.17/8.000%
15.05.21/6.625%
15.12.19/9.250%
15.09.20/8.375%
01.12.16/6.500%
15.04.18/10.500%
15.02.18/7.250%
01.08.18/9.750%
15.06.16/7.250%
15.06.18/9.625%
Market
Value
857,840
1,093,950
836,899
639,306
2,618,903
2,302,850
4,138,875
3,109,800
3,890,052
1,512,043
6,765,450
1,999,950
75,400
8,955,281
2,844,300
3,412,325
2,241,750
854,187
3,243,947
3,659,250
1,067,281
1,659,412
2,003,569
%
of
Net
Assets
0.05
0.07
0.05
0.04
0.16
0.14
0.26
0.19
0.24
0.09
0.42
0.12
0.00
0.55
0.18
0.21
0.14
0.05
0.20
0.23
0.07
0.10
0.12
1,747,950
0.11
3,534,375
4,242,015
4,048,541
862,624
2,186,629
1,247,525
1,790,962
4,223,800
1,875,420
1,293,000
1,331,475
1,100,592
11,307,255
892,425
2,934,562
4,287,700
1,147,462
21,249,000
7,440,900
4,954,264
902,325
1,071,850
5,843,500
4,779,000
1,507,500
2,654,775
5,107,200
1,382,173
0.22
0.26
0.25
0.05
0.14
0.08
0.11
0.26
0.12
0.08
0.08
0.07
0.70
0.06
0.18
0.27
0.07
1.31
0.46
0.31
0.06
0.07
0.36
0.30
0.09
0.16
0.32
0.09
437,097,609
27.03
5,968,205
2,386,250
0.37
0.15
8,354,455
0.52
3,455,400
0.21
3,455,400
0.21
2,516,400
0.16
2,516,400
0.16
1,464,525
0.09
1,464,525
0.09
1,444,800
0.09
1,444,800
0.09
Total Bonds
454,333,189
28.10

454,520,603
28.11
01.11.19/8.625%

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

Bonds
2,880,000 Accellent
4,575,000 Accellent
3,470,000 AES
1,285,000 Aleris International 144A
5,010,000 Allison Transmission 144A
8,945,000 Ally Financial
15,430,000 Ally Financial 144A
1,445,000 AMC Entertainment
4,105,000 AMC Entertainment 144A
558,000 American Axle & Manufacturing
Holdings 144A
1,560,000 American Tire Distributors
3,580,000 Amkor Technology
2,720,000 Amsted Industries 144A
2,515,000 Arch Coal 144A
1,370,000 Arch Coal 144A
1,405,000 Ashland
2,825,000 Aspect Software
6,736,000 Associated Materials 144A
3,405,000 Atkore International 144A
3,635,000 Audatex North America 144A
2,932,084 Avaya
4,685,000 Avaya 144A
2,140,000 Avis Budget Car Rental
6,450,000 Bank of America
155,000 Bausch & Lomb
2,166,000 Belden
3,020,000 Berry Plastics
19,385,000 Biomet
2,645,000 Bon-Ton Department Stores
5,030,000 BreitBurn Energy Partners
4,000,000 Brigham Exploration
1,045,000 Brigham Exploration 144A
1,625,000 Buccaneer Merger Sub 144A
3,615,000 Building Materials Corp of
America 144A
3,110,000 Building Materials of
America 144A
6,865,000 Bumble Bee Acquisition 144A
3,875,000 BWAY Holding
14,515,000 Caesars Entertainment
Operating
Operating
4,165,000 Calpine 144A
3,345,000 Calpine 144A
3,130,000 Calpine 144A
1,555,000 Calumet Finance 144A
4,910,000 Case New Holland 144A
580,000 CCH II Capital
4,790,000 CCO Holdings Capital
1,360,000 CCO Holdings Capital 144A
5,035,000 Central Garden and Pet
5,585,000 Cequel Communications
Holdings I and Cequel
Capital 144A
700,000 Chemtura 144A
4,870,000 Chrysler Group 144A
4,195,000 Chrysler Group 144A
735,000 Cinemark USA 144A
1,550,000 CIT Group 144A
3,555,000 Citigroup Capital XXI
4,775,000 CityCenter Finance 144A
4,215,000 Claires Stores 144A
1,810,000 Clean Harbors 144A
7,655,000 Clear Channel
Communications 144A
12,295,000 Clear Channel Worldwide
Holdings
1,490,000 Clearwater Paper
8,640,000 Clearwire Communications 144A
5,155,000 Cloud Peak Energy Resources
2,843,000 Cogent Communications
Group 144A
4,834,000 CommScope 144A
2,400,000 Consol Energy
150,000 Consol Energy
01.02.17/8.375%
01.11.17/10.000%
15.04.16/9.750%
15.02.18/7.625%
15.05.19/7.125%
01.12.14/6.750%
01.12.17/6.250%
01.06.19/8.750%
01.12.20/9.750%
2,991,600
4,483,500
3,912,425
1,291,425
4,884,750
9,258,075
15,347,372
1,520,862
4,166,575
0.19
0.28
0.24
0.08
0.30
0.57
0.95
0.09
0.26
15.01.17/9.250%
01.06.17/9.750%
01.05.18/7.375%
15.03.18/8.125%
15.06.19/7.000%
15.06.21/7.250%
01.06.17/9.125%
15.05.17/10.625%
01.11.17/9.125%
01.01.18/9.875%
15.06.18/6.750%
01.11.15/10.125%
01.04.19/7.000%
15.05.16/7.750%
15.03.18/9.625%
15.01.19/8.250%
31.12.18/8.000%*
01.11.15/9.875%
15.06.19/9.250%
15.01.21/9.750%
15.10.17/10.375%
15.03.14/10.250%
15.10.20/8.625%
01.10.18/8.750%
01.06.19/6.875%
15.01.19/9.125%
609,615
1,684,800
3,651,600
2,883,200
2,521,287
1,378,562
1,587,650
3,051,000
6,651,800
3,558,225
3,671,350
2,990,726
4,544,450
2,184,576
2,926,450
4,419,162
6,622,144
164,687
2,417,797
2,940,725
21,323,500
2,621,856
5,344,375
4,320,000
1,037,162
1,677,812
0.04
0.10
0.23
0.18
0.16
0.09
0.10
0.19
0.41
0.22
0.23
0.18
0.28
0.14
0.18
0.27
0.41
0.01
0.15
0.18
1.32
0.16
0.33
0.27
0.06
0.10
15.08.18/6.875%
3,687,300
0.23
01.05.21/6.750%
15.12.17/9.000%
15.06.18/10.000%
3,110,000
6,933,650
4,247,969
0.19
0.43
0.26
01.06.17/11.250%
15,984,644
0.99
15.12.18/10.000%
15.10.17/7.250%
31.07.20/7.875%
15.02.21/7.500%
01.05.19/9.375%
01.12.17/7.875%
30.11.16/13.500%
30.10.17/7.250%
30.04.18/7.875%
15.01.19/7.000%
15.01.19/7.000%
01.03.18/8.250%
3,005,410
4,227,475
3,462,075
3,169,125
1,589,987
5,401,000
685,850
4,933,700
7,675,125
1,550,400
1,383,800
5,223,812
0.19
0.26
0.21
0.20
0.10
0.33
0.04
0.31
0.47
0.10
0.09
0.32
15.11.17/8.625%
01.09.18/7.875%
15.06.19/8.000%
15.06.21/8.250%
15.06.21/7.375%
01.04.18/6.625%
21.12.57/8.300%*
15.01.16/7.625%
15.03.19/8.875%
15.08.16/7.625%
5,836,325
735,000
4,748,250
4,079,637
731,325
1,611,039
3,643,875
4,942,125
3,951,562
1,932,175
0.36
0.05
0.29
0.25
0.05
0.10
0.23
0.31
0.24
0.12
01.03.21/9.000%
7,367,937
0.46
15.12.17/9.250%
15.06.16/10.625%
01.11.18/7.125%
01.12.15/12.000%
01.12.17/12.000%
15.12.17/8.250%
13,278,600
1,681,837
1,467,750
9,255,600
1,895,975
5,541,625
0.82
0.10
0.09
0.57
0.12
0.34
15.02.18/8.375%
15.01.19/8.250%
01.04.17/8.000%
01.04.20/8.250%
2,921,182
4,954,850
2,604,000
163,875
0.18
0.31
0.16
0.01
Quantity/
Nominal
Value
Name of Securities
2,515,000
630,000
3,940,000
745,000
3,600,000
5,931,000
3,945,000
11,920,000
13,220,000
5,405,000
5,195,000
1,994,000
4,095,000
1,875,000
575,000
1,505,000
3,855,000
3,805,000
Cricket Communications
Cricket Communications 144A
Crosstex Energy
Crown Americas
Crown Americas 144A
Del Monte Foods 144A
DineEquity 144A
DISH DBS
DISH DBS
DISH DBS 144A
Diversey
DJO Finance
DJO Finance 144A
Dole Food 144A
Ducommun 144A
Dunkin Finance 144A
Eagle Parent 144A
Eagle Rock Energy
Partners 144A
Easton-Bell Sports
EH Holding 144A
EH Holding 144A
Endo Pharmaceuticals
Holdings 144A
Energy Future Holdings
EV Energy Partners 144A
First Data 144A
First Data 144A
First Data 144A
First Data 144A
First Data 144A
Freescale Semiconductor 144A
GCI
Geo Group 144A
Giraffe Acquisition 144A
GMX Resources 144A
Graham Packaging
Graham Packaging
Graham Packaging
Great Lakes Dredge
& Dock 144A
Griffon 144A
GWR Operating Partnership
GXS Worldwide
Hanesbrands
HCA Holding 144A
Hertz 144A
Hertz 144A
Hexion US Finance
Hillman Group
Hillman Group 144A
Host Hotels & Resorts
Huntsman International
iGate 144A
Inergy & Inergy Finance
Inergy & Inergy Finance 144A
Integra Telecom Holdings 144A
Interactive Data 144A
Interline Brands
International Lease Finance
International Lease
Finance 144A
ITC Deltacom
J Crew Group 144A
James River Escrow 144A
JDA Software Group
Level 3 Communications 144A
Level 3 Escrow 144A
Level 3 Financing 144A
Libbey Glass
Linn Energy
Linn Energy 144A
Linn Energy 144A
Longview Fibre Paper &
Packaging 144A
Lyondell Chemical
Mantech International
Marina District Finance 144A
MEMC Electronic Materials 144A
Michael Foods 144A
5,405,000
3,005,000
1,505,000
1,715,000
1,375,000
4,295,000
3,125,000
8,615,000
4,219,000
8,795,000
5,934,000
3,570,000
5,660,000
3,590,000
2,890,000
2,365,000
5,241,000
2,585,000
1,485,000
3,625,000
1,755,000
3,710,000
3,410,000
3,730,000
4,925,000
455,000
12,870,000
5,860,000
1,905,000
3,150,000
3,080,000
1,115,000
3,052,000
1,645,000
755,000
4,180,000
1,965,000
2,920,000
1,587,000
6,510,000
4,160,000
5,865,000
11,915,000
930,000
2,000,000
4,470,000
4,480,000
675,000
1,110,000
2,270,000
5,535,000
4,753,000
2,695,000
1,505,000
2,840,000
1,050,000
3,559,043
2,400,000
1,715,000
6,460,000
3,845,000
7,815,000
4,200,000
89
Maturity/
Coupon
Market
Value
%
of
Net
Assets
15.10.20/7.750%
15.10.20/7.750%
15.02.18/8.875%
15.05.17/7.625%
01.02.21/6.250%
15.02.19/7.625%
30.10.18/9.500%
01.02.16/7.125%
01.09.19/7.875%
01.06.21/6.750%
15.11.19/8.250%
15.11.14/10.875%
15.04.18/7.750%
01.10.16/8.000%
15.07.18/9.750%
01.12.18/9.625%
01.05.19/8.625%
2,452,125
614,250
4,205,950
799,012
3,627,000
6,019,965
4,280,325
12,635,200
14,310,650
5,553,637
6,117,112
2,133,580
4,089,881
1,971,094
592,969
1,525,679
3,734,531
0.15
0.04
0.26
0.05
0.22
0.37
0.26
0.78
0.89
0.34
0.38
0.13
0.25
0.12
0.04
0.09
0.23
01.06.19/8.375%
01.12.16/9.750%
15.06.19/6.500%
15.06.21/7.625%
3,809,756
5,999,550
3,057,587
1,531,337
0.24
0.37
0.19
0.09
15.07.19/7.000%
15.01.20/10.000%
15.04.19/8.000%
15.06.19/7.375%
15.08.20/8.875%
15.01.21/8.250%
15.01.21/12.625%
15.01.22/8.750%
15.03.18/10.125%
15.04.18/9.250%
01.02.20/8.050%
15.11.19/8.625%
15.02.21/6.625%
01.12.18/9.125%
15.02.19/11.375%
15.10.14/9.875%
01.01.17/8.250%
01.10.18/8.250%
1,745,012
1,458,744
4,332,581
3,144,531
9,174,975
4,092,430
9,256,738
5,748,563
3,944,850
6,070,350
3,545,125
3,171,775
2,341,350
4,939,643
2,339,425
1,533,263
4,032,813
1,961,213
0.11
0.09
0.27
0.19
0.57
0.25
0.57
0.36
0.24
0.38
0.22
0.20
0.14
0.31
0.14
0.09
0.25
0.12
01.02.19/7.375%
01.04.18/7.125%
01.04.17/10.875%
15.06.15/9.750%
15.12.20/6.375%
15.05.21/7.750%
15.10.18/7.500%
15.04.19/6.750%
15.11.20/9.000%
01.06.18/10.875%
01.06.18/10.875%
15.05.17/9.000%
15.03.20/8.625%
15.03.21/8.625%
01.05.16/9.000%
01.10.18/7.000%
01.08.21/6.875%
15.04.16/10.750%
01.08.18/10.250%
15.11.18/7.000%
15.09.15/8.625%
15.03.17/8.750%
3,672,900
3,427,050
4,037,725
4,998,875
440,213
13,320,450
5,918,600
1,876,425
3,216,938
3,337,950
1,208,381
3,448,760
1,784,825
824,838
4,200,900
1,973,587
2,923,650
1,606,838
7,112,175
4,232,800
6,312,206
12,942,669
0.23
0.21
0.25
0.31
0.03
0.82
0.37
0.12
0.20
0.21
0.07
0.21
0.11
0.05
0.26
0.12
0.18
0.10
0.44
0.26
0.39
0.80
01.09.18/7.125%
01.04.16/10.500%
01.03.19/8.125%
01.04.19/7.875%
15.12.14/8.000%
01.02.19/11.875%
01.07.19/8.125%
01.04.19/9.375%
15.02.15/10.000%
15.04.20/8.625%
15.05.19/6.500%
01.02.21/7.750%
990,450
2,100,000
4,310,354
4,457,600
742,500
1,198,800
2,281,350
5,694,131
5,168,888
2,907,231
1,478,663
2,946,500
0.06
0.13
0.27
0.28
0.05
0.07
0.14
0.35
0.32
0.18
0.09
0.18
01.06.16/8.000%
01.05.18/11.000%
15.04.18/7.250%
15.10.15/9.500%
15.08.18/9.875%
01.04.19/7.750%
15.03.20/9.000%
15.07.18/9.750%
1,055,250
3,972,782
2,520,000
1,777,169
6,653,800
3,806,550
8,596,500
4,494,000
0.07
0.25
0.16
0.11
0.41
0.24
0.53
0.28

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
870,000
5,480,000
3,935,000
1,290,000
3,110,000
650,000
2,085,000
3,540,000
5,702,242
1,770,000
6,410,000
3,825,000
455,000
3,865,000
1,251,000
3,090,000
4,980,000
5,251,000
55,000
1,225,000
4,870,000
4,180,000
6,026,000
4,575,000
1,605,000
4,700,000
1,350,000
6,185,000
6,090,000
5,380,000
3,050,000
9,355,000
1,150,000
2,490,000
2,528,000
1,195,000
2,560,000
2,430,000
1,625,000
1,535,000
597,000
3,335,000
623,000
775,000
9,973,000
2,065,000
2,310,000
2,510,000
4,539,014
5,225,000
4,650,000
2,930,000
12,265,000
4,025,000
3,857,626
5,250,000
Michaels Stores
Michaels Stores 144A
Mission Broadcasting
Mylan 144A
Mylan 144A
Nalco 144A
NewPage
Nexeo Solutions 144A
Noranda Aluminium Acquisition
NRG Energy
NRG Energy 144A
Oshkosh
Oshkosh
Packaging Dynamics 144A
PAETEC Holding
PAETEC Holding
PAETEC Holding 144A
Petco Animal Supplies 144A
Petrohawk Energy 144A
PH Glatfelter
Pinafore 144A
Ply Gem Industries 144A
Polymer Group 144A
Polypore International
Quebecor Printing
Radiation Therapy Services
Rain CII Carbon 144A
RBS Global/Rexnord
Realogy 144A
Reichhold Industries 144A
Reynolds Group Issuer 144A
Sally Holdings
SandRidge Energy 144A
SandRidge Energy 144A
SBA Telecommunications
SBA Telecommunications
Sealy Mattress 144A
Sequa 144A
Sequa 144A
ServiceMaster 144A
Simmons Bedding 144A
Sinclair Television Group
Sinclair Television Group 144A
Solo Cup Operating
Spectrum Brands
Spectrum Brands 144A
SSI Investments II
Stewart Enterprises 144A
Sungard Data Systems
SunGard Data Systems
Surgical Care Affiliates 144A
Texas Competitive Electric
Holdings 144A
Travelport
Travelport
Travelport
Trilogy International
Partnerse 144A
Uncle Acquisition 2010
United Surgical Partners
International
United Surgical Partners
International
US Oncology
Vail Resorts 144A
Valeant Pharmaceuticals
International 144A
International 144A
International 144A
International 144A
International 144A
Venoco 144A
Vertellus Specialties 144A
Visant
Visteon 144A
Vulcan Materials
Windstream
Windstream
Windstream
1,095,000
510,000
1,730,000
275,000
2,995,000
3,690,000
3,440,000
4,940,000
4,493,000
915,000
1,555,000
7,880,000
1,215,000
3,255,000
1,145,000
3,045,000
6,830,000
1,555,000
1,385,000
6,275,000
4,205,000
1,545,000
Maturity/
Coupon
Market
Value
%
of
Net
Assets
01.11.16/0.000%
01.11.18/7.750%
15.04.17/8.875%
15.07.17/7.625%
15.07.20/7.875%
15.01.19/6.625%
31.12.14/11.375%
01.03.18/8.375%
15.05.15/4.417%
01.09.20/8.250%
15.01.18/7.625%
01.03.17/8.250%
01.03.20/8.500%
01.02.16/8.750%
15.07.15/9.500%
30.06.17/8.875%
01.12.18/9.875%
01.12.18/9.250%
01.06.19/6.250%
01.05.16/7.125%
01.10.18/9.000%
15.02.18/8.250%
01.02.19/7.750%
15.11.17/7.500%
01.08.27/6.500%
15.04.17/9.875%
01.12.18/8.000%
01.05.18/8.500%
15.02.19/7.875%
15.08.14/9.000%
15.05.18/8.500%
15.04.19/9.000%
15.02.21/6.875%
15.02.21/8.250%
01.02.21/8.250%
15.11.14/9.250%
01.06.18/8.000%
15.03.21/7.500%
15.08.16/8.000%
15.08.19/8.250%
15.04.16/10.875%
01.12.15/11.750%
01.12.15/13.500%
15.07.15/10.750%
15.07.15/11.250%
15.10.18/8.375%
01.11.17/9.250%
01.11.13/10.500%
28.08.19/12.000%
15.06.18/9.500%
01.06.18/11.125%
15.04.19/6.500%
15.08.15/10.250%
15.11.18/7.375%
15.07.15/8.875%
901,538
5,475,452
4,161,263
1,401,263
3,389,900
667,875
1,923,413
3,601,950
5,445,641
1,800,975
6,401,988
4,102,313
491,969
3,942,300
1,302,604
3,252,225
5,154,300
5,605,443
53,419
1,269,406
5,271,775
3,950,100
6,071,195
4,866,656
80,250
4,711,750
1,444,500
6,563,831
5,998,650
4,855,450
2,996,625
9,214,675
1,121,250
2,328,150
2,496,400
1,249,833
2,598,400
2,445,188
1,736,719
1,650,125
662,670
3,635,150
685,300
821,500
10,648,770
2,168,250
2,541,000
2,616,675
5,015,610
5,747,500
5,161,500
2,940,988
12,724,938
4,030,031
3,982,999
0.06
0.34
0.26
0.09
0.21
0.04
0.12
0.22
0.34
0.11
0.40
0.25
0.03
0.24
0.08
0.20
0.32
0.35
0.00
0.08
0.33
0.24
0.38
0.30
0.00
0.29
0.09
0.41
0.37
0.30
0.19
0.57
0.07
0.14
0.15
0.08
0.16
0.15
0.11
0.10
0.04
0.23
0.04
0.05
0.66
0.13
0.16
0.16
0.31
0.36
0.32
0.18
0.79
0.25
0.25
01.10.20/11.500%
01.09.14/4.879%*
01.09.14/9.875%
01.03.16/9.000%
5,171,250
938,963
473,025
1,552,675
0.32
0.06
0.03
0.10
15.08.16/10.250%
15.02.19/8.625%
280,500
3,092,338
0.02
0.19
01.05.17/8.875%
3,874,500
0.24
01.05.17/9.250%
15.08.17/9.125%
01.05.19/6.500%
3,612,000
111,150
4,515,465
0.22
0.01
0.28
15.07.16/6.500%
903,563
0.06
01.10.17/6.750%
1,523,900
0.09
01.12.18/6.875%
7,702,700
0.48
01.10.20/7.000%
1,169,438
0.07
15.07.22/7.250%
15.02.19/8.875%
01.10.15/9.375%
01.10.17/10.000%
15.04.19/6.750%
15.06.21/7.500%
01.09.18/8.125%
01.10.21/7.750%
01.04.23/7.500%
3,141,075
1,143,569
3,159,188
7,000,750
1,488,913
1,374,117
6,698,563
4,404,738
1,552,725
0.19
0.07
0.20
0.43
0.09
0.08
0.41
0.27
0.10
Quantity/
Nominal
Value
3,555,000
660,000
355,000
1,440,000
4,499,000
775,000
2,935,000
Name of Securities
WMG Acquisition
Wynn Las Vegas Capital
Yankee Candle
YCC Holdings 144A
Zayo Group
LUXEMBOURG
820,000 Aguila 3 144A
4,804,000 Intelsat Jackson Holdings
3,050,000 Intelsat Jackson Holdings 144A
3,420,000 Intelsat Luxembourg
3,880,000 Intelsat Luxembourg 144A
CANADA
2,525,000
3,235,000
9,995,000
861,000
3,500,000
1,400,000
Novelis
Novelis
Quebecor Media
Quebecor Media
Trinidad Drilling 144A
Videotron Ltee
Maturity/
Coupon
15.06.16/9.500%
01.11.17/7.875%
01.05.20/7.875%
15.08.20/7.750%
15.02.17/9.750%
15.02.16/10.250%
15.03.17/10.250%
31.01.18/7.875%
15.06.16/11.250%
01.04.19/7.250%
15.10.20/7.250%
04.02.17/11.250%
04.02.17/11.500%
04.02.17/11.500%
15.07.17/11.750%
15.12.17/8.375%
15.12.20/8.750%
15.03.16/7.750%
15.03.16/7.750%
15.01.19/7.875%
15.12.15/6.375%
UNITED KINGDOM
8,410,000 Ineos Finance 144A
5,763,000 Ineos Group Holdings 144A
1,225,000 Virgin Media Finance
15.05.15/9.000%
15.02.16/8.500%
15.10.19/8.375%
NETHERLANDS
278,000 NXP Funding 144A
7,280,000 NXP Funding 144A
5,200,000 Sensata Technologies 144A
15.07.13/10.000%
01.08.18/9.750%
15.05.19/6.500%
IRELAND
905,000 Ardagh Packaging Finance 144A 15.10.17/7.375%
6,875,000 Ardagh Packaging Finance 144A 15.10.20/9.125%
3,298,680 AWAS Aviation Capital 144A
15.10.16/7.000%
CAYMAN ISLANDS
7,005,000 UPCB Finance III 144A
BERMUDA
1,805,000 Digicel 144A
2,505,000 Digicel Group 144A
01.07.20/6.625%
01.09.17/8.250%
15.04.18/10.500%
AUSTRALIA
2,793,000 FMG Resources August 2006 Pty
144A
01.11.15/7.000%
755,000 FMG Resources August 2006 Pty
144A
01.02.16/6.375%
1,005,000 FMG Resources August 2006 Pty
144A
01.02.18/6.875%
90
Market
Value
%
of
Net
Assets
3,768,300
721,050
388,725
1,564,200
4,743,791
780,813
3,243,175
0.23
0.04
0.02
0.10
0.29
0.05
0.20
901,597,604
55.77
828,200
5,098,245
3,008,063
3,352,563
3,642,300
3,696,850
4,151,600
6,934,563
0.05
0.31
0.19
0.21
0.22
0.23
0.26
0.43
30,712,384
1.90
2,689,125
3,485,713
10,394,800
895,440
3,640,000
1,449,000
0.17
0.22
0.64
0.05
0.22
0.09
22,554,078
1.39
8,872,550
5,690,963
1,366,261
0.55
0.35
0.09
15,929,774
0.99
312,750
8,126,300
5,213,000
0.02
0.50
0.32
13,652,050
0.84
932,150
7,218,750
3,397,640
0.06
0.45
0.21
11,548,540
0.72
6,934,950
0.43
6,934,950
0.43
1,881,713
2,818,125
0.12
0.17
4,699,838
0.29
2,855,843
0.18
756,888
0.05
1,025,100
0.06
4,637,831
0.29
Total Bonds
1,012,267,049
62.62

Regulated Market
1,012,267,049
62.62

As at 30 June 2011
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
%
of
Net
Assets
Market
Value
Quantity/
Nominal
Value

Bonds
507,101 iPCS
1,412,000 Steinway Musical
Instruments 144A
01.05.14/3.523%
488,085
0.03
01.03.14/7.000%
1,438,475
0.09
1,926,560
0.12
Total Bonds
1,926,560
0.12
1,926,560
0.12
1,468,714,212
90.85
113,858,470
7.04
Total Investments
Cash
Total Net Assets
34,075,362
2.11
1,616,648,044
100.00

Luxembourg
Canada
United Kingdom
Netherlands
Ireland
Bermuda
Cayman Islands
Australia
Liberia
Germany
Shares
Total Shares
Total

Luxembourg
Canada
United Kingdom
Netherlands
Bermuda
Ireland
Liberia
Shares
Total Shares
Total
% of
Net Assets
82.92
2.42
1.48
0.99
0.84
0.72
0.50
0.43
0.29
0.16
0.09
90.84
0.01
0.01
9.15
100.00
% of
Net Assets
74.42
2.44
1.96
1.18
0.79
0.64
0.59
0.23
82.25
0.04
0.04
17.71
100.00
91
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

As at 30 June 2011
Settlement
Date
Currency
27-Jul-11
27-Jul-11
EUR
USD
Amount
Purchased
Currency
554,772,833
23,300,652
USD
EUR
Amount
Sold
Unrealised
Gain/
(Loss)
788,847,773
16,281,726
13,258,444
(239,926)
Total
13,018,518
Schedule of Investments - Outstanding Credit Default Swaps (Expressed in USD)
Termination
Date
Counterparty
Protection
Buyer/
Seller
Currency
20-Dec-15
20-Dec-15
20-Jun-16
Credit Suisse
Deutsche Bank
Barclays Bank
CDX.NA.HY_S15.V1
CDX.NA.HY_S15.V1
CDX.NA.HY_S16.V1
Seller
Seller
Seller
USD
USD
USD
Total
92
Nominal
Market
Value
Unrealised
Gain/
(Loss)
25,000,000
25,000,000
25,000,000
608,358
608,358
218,904
(353,448)
(402,059)
(425,193)
1,435,620
(1,180,700)

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Shares
FRANCE
37,572
42,020
48,656
64,289
16,943
41,994
25,691
34,472
95,890
40,823
6,217
GERMANY
23,818
47,083
41,625
35,831
230,567
23,004
BNP Paribas
Bouygues
Compagnie de Saint-Gobain
GDF Suez
PPR
Sanofi-Aventis
Schneider Electric
Sodexho
Suez Environnement
Total
Unibail-Rodamco

BASF
Deutsche Boerse
Deutsche Telekom Registered Shares
1,987,017
1,270,102
289,401
1,481,942
1,970,494
115,409
98,879
58,770
2,906,024
2,017,188
240,052
73,948
238,071
3,478,308
1,049,100
261,472
105,996
658,244
440,645
276,244
2,431,335
470,073
349,011
90,104
388,720
1,664,246
1,755,332
1,908,950
148,831
1,366,313
183,541
2,070,367
1,314,494
229,808
2,232,545
1,350,627
430,657
443,426
437,348
420,214
452,233
254,622
1,314,615
451,277
3,342,183
20,085
2,151,610
463,002
207,263
214,061
2,248,007
2,199,634
0.53
0.34
0.08
0.39
0.53
0.03
0.03
0.02
0.78
0.54
0.06
0.02
0.06
0.93
0.28
0.07
0.03
0.18
0.12
0.07
0.66
0.13
0.09
0.02
0.10
0.45
0.47
0.51
0.04
0.37
0.05
0.56
0.35
0.06
0.60
0.36
0.11
0.12
0.12
0.11
0.12
0.07
0.36
0.12
0.90
0.01
0.58
0.12
0.06
0.06
0.60
0.59
52,021,840
13.96
1,985,680
1,264,592
2,163,732
1,609,957
2,078,906
2,307,150
2,945,473
1,854,938
1,312,255
1,613,733
984,462
0.53
0.34
0.58
0.43
0.56
0.62
0.79
0.50
0.35
0.43
0.27
20,120,878
5.40
2,283,670
3,155,503
2,154,094
1,874,857
2,473,407
2,178,709
0.61
0.85
0.58
0.51
0.66
0.58
14,120,240
3.79
Maturity/
Coupon
UNITED KINGDOM
533,379 Centrica
24,520 Land Securities Group

1,852 Bank of America Preference Shares
36,300 Brandywine Realty Trust
27,936 Chevron
6,000 Citigroup Capital XIII Preference Shares
3,000 CoBank ACB 144A Preference Shares
1,500 CoBank ACB Preference Shares
62,452 Coca-Cola
66,600 DCT Industrial Trust
7,700 Duke Realty
8,100 EastGroup Properties
6,000 GMAC Capital Trust I Preference Shares
26,000 HCP
25,375 HCP Preference Shares
7,600 Health Care REIT
26,925 Kilroy Realty Preference Shares
15,400 Liberty Property Trust
7,540 M/I HOMES Preference Shares
17,100 Mack-Cali Realty
87,800 Mattel
30,029 McDonalds
78,543 Merck & Co.
8,800 National Retail Properties
38,200 NextEra Energy Preference Shares
12,700 Omega Healthcare Investors
40,330 Oneok
62,500 Paychex
21,500 Pennsylvania Real Estate Investment Trust
156,918 Pfizer
35,650 PPL Preference Shares
25,700 ProLogis Preference Shares
25,525 PS Business Parks Preference Shares
24,550 Public Storage Preference Shares - M Shares
13,900 Regency Centers
26,225 Regency Centers Preference Shares
15,700 Senior Housing Properties Trust
61,061 Sysco
25,525 Taubman Centers Preference Shares
134,044 Time Warner
3,325 US Concrete
26,925 Vornado Realty Trust Preference Shares
9,300 Washington Real Estate Investment Trust
12,300 Weingarten Realty Investors
131,320 Xcel Energy
Name of Securities
Market
Value
2,538,040
898,277
996,027
1,901,227
2,108,115
229,929
1,089,648
2,622,939
%
of
Net
Assets
0.68
0.24
0.27
0.51
0.57
0.06
0.29
0.70
12,384,202
3.32
367,601
1,985,612
715,276
583,918
1,983,353
323,981
528,064
258,332
2,659,360
0.10
0.53
0.19
0.16
0.53
0.09
0.14
0.07
0.71
9,405,497
2.52
471,679
728,026
1,249,775
574,873
3,140,493
1,584,103
665,510
291,306
0.13
0.20
0.34
0.15
0.84
0.42
0.18
0.08
JAPAN
255
34,000
674
220
59,800
84
139
87
284,500
Advance Residence Investment

Daito Trust Construction
Kenedix Realty Investment
Nomura Real Estate Residential Fund
Orix JREIT
Premier Investment
Sumitomo
NETHERLANDS
10,341 Corio
21,233 Eurocommercial Properties - CVA
40,663 Nieuwe Steen Investment Funds
13,586 Vastned Retail
4,163 Wereldhave
AUSTRALIA
118,885
783,724
1,563,009
184,328
203,563
639,404
117,696
277,284
CFS Retail Property Trust

Commonwealth Property Office Fund
Dexus Property Group
QBE Insurance Group
Stockland
Tatts Group
Westfield Group
Westfield Retail Trust
ITALY
569,991 Enel
129,032 ENI
1,046,753 UniCredit
SINGAPORE
164,000
327,061
803,055
418,000
259,000
1,029,000
Ascendas Real Estate Investment Trust

Ascott Residence Trust
Cambridge Industrial Trust
CapitaCommercial Trust
Singapore Airlines
Singapore Telecommunications
SWITZERLAND
CHINA
1,538,000 Angang Steel - H Shares **
3,345,000 China Construction Bank - H Shares **
HONG KONG
FINLAND
160,389 UPM-Kymmene
93
8,705,765
2.34
160,265
544,968
1,017,292
2,353,614
515,616
1,140,584
755,554
556,326
0.04
0.15
0.27
0.63
0.14
0.31
0.20
0.15
7,044,219
1.89
2,538,740
2,081,931
1,502,614
0.68
0.56
0.40
6,123,285
1.64
188,762
216,294
224,862
342,308
2,068,523
1,827,229
0.05
0.06
0.06
0.09
0.56
0.49
4,867,978
1.31
1,913,639
2,618,730
0.52
0.70
4,532,369
1.22
1,162,397
1,917,613
0.31
0.52
3,080,010
0.83
2,515,569
0.68
2,515,569
0.68
2,013,684
0.54
2,013,684
0.54

As at 30 June 2011
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
SWEDEN
PANAMA
72,591 Carnival
NORWAY
195,661 DnB NOR
SOUTH KOREA
103,125 KT ADR
THAILAND
142,400 Siam Cement Registered Shares
Market
Value
%
of
Net
Assets
1,990,007
0.53
1,990,007
0.53
1,878,180
0.50
1,878,180
0.50
1,871,905
0.50
1,871,905
0.50
1,377,756
0.37
1,377,756
0.37
1,296,868
0.35
1,296,868
0.35
Quantity/
Nominal
Value
450,000
600,000
125,000
250,000
140,000
50,000
50,000
250,000
485,000
100,000
200,000
45,000
500,000
54,000
600,000
125,000
30,000
450,000
50,000
300,000
SOUTH AFRICA
ISLE OF MAN
28,350 AngloGold Ashanti Holdings Finance Preference
Shares
CANADA
21,269 First Capital Realty
38,231 RioCan Real Estate Investment Trust
BELGIUM
8,072 Befimmo Sicafi
2,184 Cofinimmo
Total Shares
1,045,653
0.28
1,045,653
0.28
976,286
0.26
976,286
0.26
250,331
710,458
0.07
0.19
960,789
0.26
492,674
213,835
0.13
0.06
706,509
0.19
159,039,489
42.68
108,494
171,925
104,405
71,094
735,436
26,905
490,743
117,805
87,037
86,719
352,886
188,124
52,537
174,949
69,223
136,071
147,101
25,884
86,827
214,086
402,305
54,973
28,152
80,298
144,538
87,424
6,998
46,011
98,019
82,930
241,861
1,998,241
1,404,698
1,274,506
219,710
104,062
52,971
182,470
0.03
0.05
0.03
0.02
0.20
0.01
0.13
0.03
0.02
0.02
0.09
0.05
0.01
0.05
0.02
0.04
0.04
0.01
0.02
0.06
0.11
0.01
0.01
0.02
0.04
0.02
0.00
0.01
0.03
0.02
0.06
0.54
0.38
0.34
0.06
0.03
0.01
0.05
309,000
15,000
100,000
150,000
135,000
950,000
100,000
750,000
1,000,000
100,000
250,000
125,000
25,000
50,000
350,000
25,000
150,000
250,000
75,000
40,000
900,000
175,000
750,000
38,000
2,175,000
1,903,000
750,000
33,000
50,000
350,000
740,000
400,000
500,000
297,000
250,000
725,000
268,000
105,000
200,000
94,000
150,000
235,000
1,000,000
175,000
100,000
60,000
245,000
100,000
815,000
325,000
110,000
982,000
298,000
600,000
75,000
200,000
450,000
460,000
50,000
281,000
40,000
75,000
Bonds
140,000 ACCO Brands
250,000 ACCO Brands
145,000 Advanced Micro Devices
100,000 Advanced Micro Devices
1,000,000 AES
38,000 AK Steel
800,000 Alcatel-Lucent USA
175,000 Alliance One International
125,000 Alpha Natural Resources
125,000 Alpha Natural Resources
250,000 Arch Coal
75,000 Arch Coal
250,000 Avaya
100,000 Ball
175,000 Bill Barrett
200,000 Cablevision Systems
35,000 Cablevision Systems
125,000 Carriage Services
300,000 CB Richard Ellis Services
600,000 Cenveo
70,000 CF Industries
35,000 CF Industries
10,000 Chiquita Brands International
65,000 Chiquita Brands International
150,000 Cincinnati Bell
110,000 Cinemark USA
350,000 CIT Group
2,900,000 CIT Group
1,990,000 Citigroup Funding
307,000 Comstock Resources
150,000 Comstock Resources
75,000 Concho Resources/Midland
265,000 Concho Resources/Midland
15.03.15/10.625%
15.08.15/7.625%
15.12.17/8.125%
01.08.20/7.750%
15.10.17/8.000%
15.05.20/7.625%
15.03.29/6.450%
15.07.16/10.000%
01.06.19/6.000%
01.06.21/6.250%
15.05.58/8.175%*
01.08.16/8.750%
01.10.20/7.250%
01.11.15/9.750%
15.05.21/5.750%
15.07.16/9.875%
15.04.18/7.750%
15.04.20/8.000%
15.01.15/7.875%
15.10.20/6.625%
01.02.18/8.875%
01.05.18/6.875%
01.05.20/7.125%
15.02.15/9.500%
15.08.18/6.875%
15.02.21/6.125%
01.11.14/7.500%
01.12.15/8.875%
15.03.18/8.750%
15.06.19/8.625%
01.05.16/7.000%
01.05.17/7.000%
27.07.20/11.000%
15.07.15/8.875%
15.10.17/8.375%
01.04.19/7.750%
15.01.21/7.000%
15.01.22/6.500%
94
Name of Securities
Constellation Brands
Constellation Brands
Continental Resources
Corrections Corp. of Amercia
Covanta Holding
DaVita
DaVita
Denbury Resources
Denbury Resources
Developers Diversified Realty
DR Horton
DR Horton
Dynegy Holdings
Edison Mission Energy
Edison Mission Energy
El Paso
El Paso Pipeline Partners
Operating
Energy Future Intermediate
Holding
Fidelity National Information
Services
Fidelity National Information
Services
Ford Holdings
Ford Motor
Ford Motor
Ford Motor
Ford Motor
Ford Motor Credit
Ford Motor Credit
Ford Motor Credit
Ford Motor Credit
Ford Motor Credit
Forest City Enterprises
Forest Oil
Frontier Communications
Frontier Oil
FTI Consulting
Geo Group
Glatfelter
Global Geophysical Services
Goodyear Tire & Rubber
Graphic Packaging International
Hanesbrands
Harland Clarke Holdings
HCA
HCA
Health Management Associates
Hexcel
Holly
Iron Mountain
Iron Mountain
Jarden
Jarden
K Hovnanian Enterprises
Kemet
Key Energy Services
Lender Processing Services
Lennar
Lennar
Ltd Brands
Mac-Gray
Mandalay Resort Group
McClatchy
Media General
MetroPCS Wireless
MetroPCS Wireless
Newfield Exploration
Newfield Exploration
Nextel Communications
Omnicare
Patriot Coal
Penn Virginia
Penn Virginia
Penn Virginia Resource Partners
Maturity/
Coupon
01.09.16/7.250%
15.05.17/7.250%
01.10.20/7.375%
01.06.17/7.750%
01.12.20/7.250%
01.11.18/6.375%
01.11.20/6.625%
01.03.16/9.750%
15.02.20/8.250%
01.09.20/7.875%
15.01.16/5.625%
15.04.16/6.500%
01.06.19/7.750%
15.06.16/7.750%
15.05.19/7.200%
15.06.14/6.875%
Market
Value
339,263
450,980
92,010
187,944
101,982
34,655
34,867
193,351
364,547
78,969
140,996
32,579
250,976
33,506
328,257
96,955
%
of
Net
Assets
0.09
0.12
0.02
0.05
0.03
0.01
0.01
0.05
0.10
0.02
0.04
0.01
0.07
0.01
0.09
0.03
01.04.20/6.500%
23,237
0.01
01.12.20/10.000%
331,518
0.09
15.07.17/7.625%
15.07.20/7.875%
01.03.30/9.300%
01.08.26/7.500%
16.07.31/7.450%
15.06.43/7.750%
15.02.47/9.980%
15.04.15/7.000%
15.12.16/8.000%
15.08.17/6.625%
15.05.18/5.000%
15.01.20/8.125%
01.02.17/6.500%
15.06.19/7.250%
15.04.17/8.250%
15.03.19/7.125%
15.04.20/8.500%
15.11.18/6.875%
01.10.16/7.750%
15.10.17/7.750%
01.05.16/7.125%
01.05.17/10.500%
15.08.20/8.250%
15.06.17/9.500%
15.12.16/8.000%
15.05.15/9.500%
15.11.16/9.250%
15.11.16/9.625%*
15.04.16/6.125%
01.02.15/6.750%
15.06.17/9.875%
01.06.16/6.750%
30.06.16/5.500%
15.12.20/8.250%
15.07.18/8.750%
15.08.21/8.375%
01.05.17/7.500%
15.01.20/7.500%
15.10.16/10.625%
01.05.18/10.500%
01.03.21/6.750%
01.07.16/8.125%
01.06.17/12.250%
01.06.18/6.950%
01.04.21/6.625%
15.08.15/7.625%
15.07.13/7.625%
01.11.20/6.750%
15.02.17/11.500%
15.02.17/11.750%
01.09.18/7.875%
15.11.20/6.625%
15.07.15/6.625%
01.06.16/7.500%
15.01.17/7.625%
01.03.18/11.375%
01.09.14/6.625%
01.02.20/6.875%
01.08.15/7.375%
01.06.20/7.750%
30.04.18/8.250%
15.06.16/10.375%
15.04.19/7.250%
15.04.18/8.250%
36,718
0.01
220,306
272,310
10,754
77,391
106,123
112,492
707,242
77,873
554,026
687,545
80,188
165,014
87,961
18,806
35,491
264,548
18,272
108,339
182,528
53,716
29,029
668,694
132,768
554,246
24,097
1,596,017
1,402,184
539,102
23,321
38,878
249,883
504,423
296,260
361,129
216,948
180,623
521,941
183,841
80,373
136,849
63,667
127,259
159,985
707,371
123,976
68,862
42,263
180,622
67,561
597,203
221,355
72,034
649,735
197,026
467,435
52,798
146,043
311,426
340,677
35,940
214,608
26,765
53,781
0.06
0.07
0.00
0.02
0.03
0.03
0.19
0.02
0.15
0.18
0.02
0.04
0.02
0.01
0.01
0.07
0.00
0.03
0.05
0.01
0.01
0.18
0.04
0.15
0.01
0.43
0.38
0.14
0.01
0.01
0.07
0.14
0.08
0.10
0.06
0.05
0.14
0.05
0.02
0.04
0.02
0.03
0.04
0.19
0.03
0.02
0.01
0.05
0.02
0.16
0.06
0.02
0.17
0.05
0.13
0.01
0.04
0.08
0.09
0.01
0.06
0.01
0.01

As at 30 June 2011
Quantity/
Nominal
Value
250,000
250,000
100,000
375,000
50,000
35,000
35,000
135,000
325,000
325,000
650,000
125,000
850,000
254,000
10,000
100,000
750,000
500,000
15,000
850,000
162,000
250,000
1,250,000
238,000
280,000
470,000
19,000
35,000
35,000
150,000
100,000
575,000
2,500,000
230,000
20,000
100,000
120,000
1,430,000
154,000
279,000
200,000
1,200,000
250,000
49,000
35,000
100,000
40,000
15,000
85,000
480,000
115,000
275,000
150,000
Name of Securities
PetroHawk Energy
Petrohawk Energy
Pinnacle Entertainment
Pinnacle Entertainment
PolyOne
QEP Resources
Quiksilver
Qwest
International
RailAmerica
Range Resources
Range Resources
Rite Aid
Rite Aid
Rite Aid
Rite Aid
Scotts Miracle-Gro
Sealy Mattress
Select Medical
Smithfield Foods
Springleaf Finance
Sprint Capital
Sprint Nextel
Sprint Nextel
Standard Pacific
Standard Pacific
Supervalu
Swift Energy
Swift Energy
Tenet Healthcare
Tenet Healthcare
Texas Industries
Triumph Group
Triumph Group
Tyson Foods
Unit
United States Steel
Vulcan Materials
Wachovia Capital Trust III
Wendys/Arbys Restaurants
KAZAKHSTAN
2,575,000 KazMunayGas National
RUSSIA
1,760,000 Russian (Republic of)
BRAZIL
2,255,000 Brazil (Republic of)
Maturity/
Coupon
Market
Value
01.06.15/7.875%
15.08.18/7.250%
01.08.17/8.625%
15.05.20/8.750%
15.03.17/6.650%
15.01.20/7.500%
01.04.20/7.625%
01.05.21/6.625%
15.09.20/7.375%
01.03.21/6.875%
15.04.15/6.875%
15.06.15/7.625%
181,608
176,173
74,242
270,733
37,600
27,518
25,277
93,247
235,015
236,980
434,368
98,224
0.05
0.05
0.02
0.07
0.01
0.01
0.01
0.03
0.06
0.06
0.12
0.03
01.10.15/8.000%
01.07.17/9.250%
01.08.20/6.750%
01.06.21/5.750%
01.03.17/7.500%
15.06.17/9.500%
15.10.19/10.250%
15.08.20/8.000%
01.12.14/9.500%
15.01.18/7.250%
15.06.14/8.250%
01.02.15/7.625%
01.04.15/6.750%
01.04.16/6.750%
15.06.17/7.000%
01.10.18/7.625%
15.05.19/7.000%
15.11.21/8.000%
01.07.17/7.750%
15.12.17/6.900%
15.03.32/8.750%
01.12.16/6.000%
15.08.17/8.375%
15.09.16/10.750%
15.05.18/8.375%
01.05.16/8.000%
01.06.17/7.125%
15.01.20/8.875%
01.02.15/9.250%
01.08.20/8.000%
15.08.20/9.250%
15.11.17/8.000%
15.07.18/8.625%
01.04.16/6.850%
15.05.21/6.625%
15.06.16/10.875%
15.12.19/9.250%
01.04.20/7.375%
01.12.16/6.500%
31.12.49/5.570%*
15.07.16/10.000%
638,888
193,329
7,119
67,215
516,963
314,117
11,499
628,102
115,886
184,452
864,697
165,318
208,038
350,173
14,215
26,489
25,581
113,004
72,053
363,249
1,863,531
158,627
15,177
77,502
82,317
1,010,281
108,177
205,367
150,588
835,608
165,521
35,983
26,640
76,395
27,785
11,611
63,644
342,164
79,284
176,526
114,689
0.17
0.05
0.00
0.02
0.14
0.08
0.00
0.17
0.03
0.05
0.23
0.04
0.06
0.09
0.00
0.01
0.01
0.03
0.02
0.10
0.50
0.04
0.00
0.02
0.02
0.27
0.03
0.06
0.04
0.22
0.04
0.01
0.01
0.02
0.01
0.00
0.02
0.09
0.02
0.05
0.03
42,020,440
11.28
2,212,176
0.59
23.01.15/11.750%
24.06.28/12.750%
17.08.40/11.000%
2,212,176
0.59
2,163,340
0.58
2,163,340
0.58
2,125,406
0.57
2,125,406
ARGENTINA
365,000 Argentina (Republic of)
2,075,584 Argentina (Republic of)
26,019 Argentina (Republic of)
EL SALVADOR
2,080,000 El Salvador (Republic of)
%
of
Net
Assets
12.09.13/7.000%
02.06.17/8.750%
31.12.33/8.280%
24.01.23/7.750%
Quantity/
Nominal
Value
0.07
0.40
0.00
1,758,539
0.47
1,629,390
0.44
1,629,390
0.44
31.12.49/5.926%*
19.07.27/10.250%
19.07.27/10.250%
COLOMBIA
1,420,000 Colombia (Republic of)
25.02.20/11.750%
LUXEMBOURG
250,000 MagnaChip Semiconductor
Finance
1,535,000 RSHB Capital for OJSC Russian
Agricultural Bank
SRI LANKA
1,840,000 Sri Lanka (Republic of)
PERU
1,580,000 Peru (Republic of)
DOMINICAN REPUBLIC
1,202,275 Dominican Republic
513,699 Dominican Republic 144A
BELARUS
2,090,000 Belarus (Republic of)

1,460,000 Dubai Electricity & Water
Authority
UKRAINE
1,535,000 Ukraine (Government of)
GHANA
1,360,000 Ghana (Republic of)
VENEZUELA
1,640,000 Venezuela (Republic of)
IRELAND
600,000 Elan Finance
450,000 VIP Finance Ireland for Vimpel
Communications 144A
URUGUAY
605,000 Uruguay (Republic of)
95
Maturity/
Coupon
UNITED KINGDOM
250,000 Barclays Bank 144A
1,000,000 Deutsche Bank/London
440,000 Deutsche Bank/London
1,880,000 Eurasian Development Bank
0.57
261,447
1,481,421
15,671
Name of Securities
Market
Value
%
of
Net
Assets
160,151
966,700
425,348
0.04
0.26
0.12
1,552,199
0.42
1,521,236
0.41
1,521,236
0.41
1,434,854
0.39
1,434,854
0.39
15.04.18/10.500%
189,636
0.05
11.06.14/9.000%
1,215,333
0.33
1,404,969
0.38
29.09.14/7.375%
22.01.15/7.400%
06.02.15/9.875%
23.01.18/9.040%
23.01.18/9.040%
26.01.18/8.950%
22.04.15/8.500%
23.09.20/7.750%
04.10.17/8.500%
23.08.22/12.750%
1,388,110
0.37
1,388,110
0.37
1,363,860
0.37
1,363,860
0.37
937,041
400,406
0.25
0.11
1,337,447
0.36
1,284,133
0.34
1,284,133
0.34
1,120,825
0.30
1,120,825
0.30
1,101,326
0.30
1,101,326
0.30
1,063,246
0.29
1,063,246
0.29
1,015,472
0.27
1,015,472
0.27
15.10.16/8.750%
438,021
0.12
02.02.21/7.748%
320,482
0.08
758,503
0.20
21.03.36/7.625%
528,604
0.14
528,604
0.14
503,187
13,108
0.13
0.00
MEXICO
750,000 Cemex SAB de 144A
30.09.15/5.246%*
08.04.33/7.500%
BERMUDA
175,000 Aircastle
200,000 Seadrill
01.08.18/9.750%
05.10.15/6.500%
516,295
0.13
133,955
134,886
0.03
0.04
268,841
0.07

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
GERMANY
200,000 Unitymedia Hessen & Co. 144A
JAPAN
200,000 eAccess 144A
FRANCE
170,000 CMA CGM 144A
NORWAY
100,000 Sevan Marine
Maturity/
Coupon
01.12.17/8.125%
01.04.18/8.250%
15.04.17/8.500%
14.05.13/3.417%*
Total Bonds
Market
Value
%
of
Net
Assets
147,785
0.04
147,785
0.04
138,577
0.04
138,577
0.04
100,021
0.03
100,021
0.03
54,429
0.01
54,429
0.01
70,010,023
18.79
1,215,949
221,115
1,226,103
0.32
0.06
0.33
2,663,167
0.71
1,174,276
208,692
0.31
0.06
Quantity/
Nominal
Value
250,000 American Airlines 2011-1 Class B

Pass Through Trust
76,000 American Petroleum Tankers/AP
Tankers
160,000 American Standard
Americas 144A
45,000 AmeriGas Finance
240,000 Ameristar Casinos 144A
18,000 AMGH Merger 144A
675,000 Amkor Technology
100,000 Amkor Technology 144A
809,000 Appleton Papers 144A
250,000 Arch Coal 144A
1,260,000 Argent Securities 2004-W7 M2
500,000 Armored Autogroup 144A
Certificates 2004-OPT3 M1
Certificates 2005-OPT1 A2C
50,000 Atkore International 144A
75,000 Audatex North America 144A
500,000 Avaya
680,000 Avaya 144A
150,000 Avis Budget Car Rental
45,000 Avis Budget Car Rental
113,000 Aviv Healthcare Capital 144A
92,152 Banc of America Alternative
Loan Trust 2004-12 2CB1
Loan Trust 2005-12 5A1
Loan Trust 2006-5 CB7
1,295,020 Banc of America Funding
2007-4 8A1
120,000 B-Corp Merger Sub 144A
100,000 BE Aerospace
20,000 Berry Plastics
2,310,000 Biomet
125,000 Block Communications 144A
575,000 Boise Paper Holdings
35,000 Bresnan Broadband
Holdings 144A
40,000 Brigham Exploration
55,000 Brigham Exploration 144A
275,000 Brightstar 144A
1,000,000 Brown Shoe 144A
120,000 Building Materials of
America 144A
875,000 Bumble Bee Acquisition 144A
100,000 Burger King
Operating
130,000 Calfrac Holdings 144A
500,000 Calpine 144A
90,000 Calpine 144A
300,000 Calpine Construction
Finance 144A
50,000 Calumet Specialty Products
Partners/Calumet Finance 144A
450,000 Capella Healthcare 144A
25,000 Carrizo Oil & Gas
650,000 Case New Holland 144A
145,000 Casella Waste Systems
75,000 Casella Waste Systems 144A
215,768 Catalent Pharma Solutions
125,000 CCH II Capital
647,000 CCO Holdings
1,400,000 CCO Holdings
50,000 CCO Holdings 144A
90,000 CDRT Merger Sub 144A
50,000 Celanese US Holdings
Convertible Bonds
UNITED KINGDOM
1,100,000 Cable & Wireless Worldwide
200,000 SVG Capital
1,100,000 TUI Travel
24.11.14/5.750%
05.06.16/8.250%
05.10.14/6.000%
AUSTRALIA
1,600,000 CFS Retail Property Trust
267,000 Western Areas
21.08.14/5.075%
02.07.14/6.375%
INDIA
1,600,000 Jaiprakash Power Ventures
180,000 Suzlon Energy
13.02.15/5.000%
12.06.12/0.000%
AUSTRIA
SOUTH KOREA
1,000,000 STX Pan Ocean
SPAIN
350,000 Abengoa
100,000 Fomento de Construcciones y
Contratas
BERMUDA
400,000 Petroplus Finance
NETHERLANDS
200,000 Q-Cells International Finance
31.03.18/4.500%
1,382,968
0.37
1,104,352
152,390
0.30
0.04
1,256,742
0.34
1,188,238
0.32
1,188,238
0.32
648,651
0.17
648,651
0.17
03.02.17/4.500%
344,078
0.09
30.10.14/6.500%
94,646
0.03
438,724
0.12
20.11.14/4.500%
16.10.15/4.000%
26.05.14/5.750%

253,707
0.07
253,707
0.07
108,104
0.03
108,104
0.03
7,940,301
2.13
236,989,813
63.60

Bonds
950,000 Accellent
600,000 ACE Cash Express 144A
175,000 AES 144A
50,000 Aleris International 144A
150,000 Allbritton Communications
435,000 Ally Financial
600,000 Ally Financial 144A
85,000 Alta Mesa Holdings 144A
800,000 AMC Entertainment
105,000 American Achievement 144A
01.02.17/8.375%
01.02.19/11.000%
01.07.21/7.375%
15.02.18/7.625%
15.05.18/8.000%
01.12.14/6.750%
15.09.20/7.500%
01.11.31/8.000%
01.12.17/6.250%
15.10.18/9.625%
01.06.19/8.750%
15.04.16/10.875%
682,042
414,694
123,069
34,731
105,088
1,609,531
1,420,413
320,562
412,473
59,042
582,681
64,589
Name of Securities
0.18
0.11
0.03
0.01
0.03
0.43
0.38
0.09
0.11
0.02
0.16
0.02
96
Maturity/
Coupon
Market
Value
%
of
Net
Assets
31.01.18/7.000%
163,286
01.05.15/10.250%
55,023
0.01
15.01.16/10.750%
20.05.21/6.500%
15.04.21/7.500%
01.11.18/9.250%
01.05.18/7.375%
01.06.21/6.625%
15.06.15/10.500%
15.06.19/7.000%
15.06.21/7.250%
25.05.34/0.786%*
01.11.18/9.250%
106,853
31,164
171,269
13,156
475,861
66,783
585,705
173,869
86,827
680,150
342,123
0.03
0.01
0.05
0.00
0.13
0.02
0.16
0.05
0.02
0.18
0.09
0.04
25.09.33/0.686%*
199,269
0.05
25.07.35/0.546%*
01.01.18/9.875%
15.06.18/6.750%
01.11.15/10.125%*
01.04.19/7.000%
15.05.16/7.750%
15.03.18/9.625%
15.01.19/8.250%
15.02.19/7.750%
144,078
36,027
52,355
353,855
446,487
105,691
871,495
31,452
80,151
0.04
0.01
0.01
0.09
0.12
0.03
0.23
0.01
0.02
25.01.35/6.000%
66,310
0.02
25.01.21/5.250%
214,953
0.06
25.05.20/5.500%
177,580
0.05
25.07.20/5.500%
114,483
0.03
25.05.21/6.000%
70,027
0.02
25.06.46/6.000%
262,970
0.07
25.11.34/5.500%
879,217
0.24
25.09.37/6.000%
31.12.49/8.000%*
01.06.19/8.250%
01.10.20/6.875%
15.11.15/8.250%
15.05.18/9.500%
15.01.21/9.750%
15.10.17/10.375%*
15.12.15/8.250%
01.04.20/8.000%
135,009
515,615
82,628
72,074
14,670
76,276
67,561
1,756,229
87,777
419,273
0.04
0.14
0.02
0.02
0.00
0.02
0.02
0.47
0.02
0.11
15.12.18/8.000%
01.10.18/8.750%
01.06.19/6.875%
01.12.16/9.500%
15.05.19/7.125%
25,098
29,858
37,728
204,323
663,510
0.01
0.01
0.01
0.05
0.18
01.05.21/6.750%
15.12.17/9.000%
15.10.18/9.875%
82,939
610,810
73,783
0.02
0.16
0.02
01.06.17/11.250%
01.12.20/7.500%
15.02.21/7.500%
15.01.23/7.875%
1,903,947
90,187
349,898
63,370
0.51
0.02
0.09
0.02
01.06.16/8.000%
223,676
0.06
01.05.19/9.375%
01.07.17/9.250%
15.08.39/10.250%
15.10.18/8.625%
01.12.17/7.875%
15.07.14/11.000%
15.02.19/7.750%
15.04.15/9.500%*
30.11.16/13.500%
30.10.17/7.250%
30.04.18/7.875%
15.01.19/7.000%
30.04.20/8.125%
30.04.21/6.500%
15.01.19/7.000%
01.06.19/8.125%
15.10.18/6.625%
35,335
327,349
98,692
17,797
494,177
111,868
52,420
149,875
101,902
461,935
1,022,290
86,833
235,132
236,613
35,076
61,427
36,372
0.01
0.09
0.03
0.00
0.13
0.03
0.01
0.04
0.03
0.12
0.27
0.02
0.06
0.06
0.01
0.02
0.01

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
500,000 Central Garden and Pet

150,000 Cenveo 144A
774,000 Cequel Communications
Capital 144A
200,000 Chrysler Group 144A
200,000 Chrysler Group 144A
360,000 Chemtura 144A
250,000 Chukchansi Economic
Development Authority 144A
810,000 CIT Group 144A
320,000 CIT Group 144A
95,000 Citgo Petroleum 144A
497,583 Citigroup Mortgage Loan Trust
2005-9 2A2
2005-OPT1 M4
2005-WF2 AF4
2005-WF2 AF7
2007-WFH2 A2
70,938 Citimortgage Alternative Loan
Trust 2006-A1 2A1
75,000 CityCenter Holdings 144A
450,000 CityCenter Holdings 144A
70,000 CKE Holdings 144A
225,000 CKE Restaurants
615,000 Clear Channel
Communications 144A
Holdings
336,000 Clearwire Communications 144A
85,000 Cloud Peak Energy
Resources/Cloud Peak Energy
Finance
230,000 CNG Holdings 144A
250,000 CNL Income Properties 144A
133,000 Colt Defense
90,000 Columbus McKinnon
249,000 Commercial Barge Line
35,000 Commercial Vehicle Group 144A
120,000 Community Choice
Financial 144A
35,000 Consol Energy 144A
100,000 Constar International
29,182 Continental Airlines 2003-ERJ1
181,583 Continental Airlines
2006-ERJ1 144A
25,000 Continental Resources
Trust 2004-28CB 2A4
Trust 2005-28CB 1A5
Trust 2005-50CB 4A1
Trust 2005-70CB A5
Trust 2005-J11 5A1
Trust 2005-J6 2A1
Trust 2007-25 2A1
287,127 Countrywide Asset-Backed
Certificates 2003-BC1 A1
167,659 Countrywide Home Loan
Mortgage Pass Through Trust
2005-20 A7
161,088 Countrywide Home Loan
2006-15 A1
220,000 CPI International
Acquisition 144A
33,000 CPM Holdings 144A
2,445,723 Credit Suisse First Boston
Mortgage Securities
2005-10 11A1
15,000 Cricket Communications
500,000 Crosstex Energy
78,000 CSC Holdings
Maturity/
Coupon
Market
Value
%
of
Net
Assets
01.03.18/8.250%
15.08.16/10.500%
359,875
102,118
0.10
0.03
15.11.17/8.625%
15.06.19/8.000%
15.06.21/8.250%
01.09.18/7.875%
557,691
135,363
135,306
261,257
0.15
0.04
0.04
0.07
15.11.13/8.000%
02.05.17/7.000%
01.04.18/6.625%
01.07.17/11.500%
140,823
557,737
228,911
76,001
0.04
0.15
0.06
0.02
25.11.35/5.500%
330,856
0.09
25.02.35/0.886%*
359,629
0.10
25.08.35/4.964%*
127,377
0.03
25.08.35/5.249%*
361,501
0.10
25.03.37/0.336%*
201,728
0.05
25.03.21/5.250%
15.01.16/7.625%
15.01.17/10.750%*
14.03.16/10.500%*
15.07.18/11.375%
15.03.19/8.875%
48,770
53,679
337,491
46,930
168,340
812,109
0.01
0.01
0.09
0.01
0.05
0.22
01.03.21/9.000%
403,808
0.11
15.12.17/9.250%
01.12.15/12.000%
01.12.15/12.000%
1,343,609
248,833
925,502
0.36
0.07
0.25
15.12.17/8.250%
15.02.15/12.250%
15.04.19/7.250%
15.11.17/8.750%
01.02.19/7.875%
15.07.17/12.500%
15.04.19/7.875%
63,154
172,876
158,102
78,940
63,293
193,610
24,311
0.02
0.05
0.04
0.02
0.02
0.05
0.01
01.05.19/10.750%
01.04.17/8.000%
01.04.20/8.250%
01.03.21/6.375%
15.02.12/0.000%
02.07.18/7.875%
01.09.19/9.558%
01.04.21/9.798%
84,390
44,996
94,348
24,069
31,102
20,119
60,186
89,142
0.02
0.01
0.03
0.01
0.01
0.01
0.02
0.02
01.11.19/9.318%
01.04.21/7.125%
125,502
18,316
0.03
0.00
25.01.35/5.750%
321,591
0.09
25.08.35/5.500%
74,176
0.02
25.11.20/5.000%
149,814
0.04
25.12.35/5.500%
102,789
0.03
25.11.20/5.500%
340,536
0.09
25.07.25/5.500%
31,673
0.01
25.11.22/6.000%
482,284
0.13
25.03.33/0.986%*
153,777
0.04
25.12.27/5.250%
109,411
0.03
25.10.36/6.250%
94,922
0.03
15.02.18/8.000%
01.09.14/10.875%
143,311
24,861
0.04
0.01
25.11.20/5.500%
15.05.16/7.750%
15.10.20/7.750%
15.02.18/8.875%
15.02.19/8.625%
1,634,845
11,015
303,705
368,905
60,784
Quantity/
Nominal
Value
10,000
830,000
180,000
45,000
183,922
350,000
225,000
1,000,000
2,243,000
1,110,000
250,000
350,000
125,000
162,000
300,000
250,000
250,000
75,000
55,000
100,000
130,000
230,000
35,000
594,375
232,000
215,000
58,222
750,000
254,000
700,000
16,000
123,000
1,950,000
1,094,993
214,222
190,173
70,000
50,000
58,000
75,000
615,000
625,000
280,000
20,000
20,000
90,000
25,000
75,000
500,000
50,000
250,000
30,000
700,000
250,000
500,000
30,000
630,000
1,263,777
180,000
500,000
1,009,000
425,000
180,000
50,000
250,000
295,000
80,000
40,000
850,000
195,000
700,000
85,000
75,000
150,000
0.44
0.00
0.08
0.10
0.02
97
Name of Securities
Dave & Busters

Del Monte Foods 144A
Delta Air Lines 144A
Delta Air Lines 2002-1G2
Delta Air Lines 2007-1 C
Deluxe 144A
DineEquity 144A
DISH DBS
DISH DBS
DISH DBS 144A
DJO Finance
DJO Finance 144A
Downstream Development
Authority of the Quapaw Tribe of
Oklahoma 144A
DuPont Fabros Technology
Dynegy Roseton/Danskammer
Pass Through Trust Series B
Eastman Kodak 144A
Easton-Bell Sports
EH Holding 144A
EH Holding 144A
Holdings 144A
Holdings 144A
Energy XXI Gulf Coast 144A
Equinix
Equity One ABS 2003-2 M1
Exterran Holdings 144A
Ferrellgas Finance 144A
FGI Holding
FGI Operating
First Data
First Data 144A
First Data 144A
First Data 144A
First Data 144A
First Franklin Mortgage Loan
Asset Backed Certificates
2005-FF11 A2D
First Horizon Alternative
Mortgage Securities
2005-FA1 1A4
First Horizon Asset Securities
2005-8 2A1
First Industrial
First Wind Capital 144A
Fisher Communications
Foresight Energy 144A
Gannett
Gannett 144A
Gannett 144A
GCI
Genesis Energy 144A
Geo Group 144A
Giant Funding 144A
Graham Packaging
Graham Packaging
Great Lakes Dredge & Dock 144A
Griffon 144A
GSR Mortgage Loan Trust
2006-9F 8A1
HCA Holding 144A
Hertz 144A
Hilcorp Energy I 144A
Hilcorp Energy I 144A
Holly Energy Partners
HSN
HUB International Holdings 144A
Huntington Ingalls
Industries 144A
Huntington Ingalls
Industries 144A
IASIS Healthcare 144A
iGate 144A
ILFC E-Capital Trust II 144A
Ingles Markets
Maturity/
Coupon
Market
Value
%
of
Net
Assets
01.06.18/11.000%
15.02.19/7.625%
15.09.14/9.500%
02.07.12/6.417%
10.08.14/8.954%
15.03.19/7.000%
30.10.18/9.500%
01.02.16/7.125%
01.09.19/7.875%
01.06.21/6.750%
15.11.14/10.875%
15.04.18/7.750%
7,395
582,265
133,372
32,035
131,098
239,486
168,729
731,320
1,676,464
770,061
184,884
241,602
0.00
0.16
0.04
0.01
0.04
0.06
0.05
0.20
0.45
0.21
0.05
0.06
01.07.19/10.500%
15.12.17/8.500%
86,179
122,744
0.02
0.03
08.11.16/7.670%
01.03.18/9.750%
01.12.16/9.750%
15.06.19/6.500%
15.06.21/7.625%
184,539
164,150
190,932
52,485
38,584
0.05
0.04
0.05
0.01
0.01
15.07.19/7.000%
15.01.22/7.250%
15.06.19/7.750%
01.03.18/8.125%
25.09.33/5.050%*
01.12.18/7.250%
01.05.21/6.500%
01.10.15/11.250%*
01.08.15/10.250%
24.09.15/9.875%
15.08.20/8.875%
15.01.21/8.250%
15.01.21/12.625%
15.01.22/8.750%*
25.11.35/0.526%*
70,325
0.02
91,647
154,992
26,428
347,022
162,754
140,426
40,593
555,301
177,806
515,257
10,754
90,007
1,308,462
0.02
0.04
0.01
0.09
0.04
0.04
0.01
0.15
0.05
0.14
0.00
0.02
0.35
651,567
0.17
25.03.35/5.500%
139,471
0.04
25.02.21/5.250%
01.06.14/6.420%
01.06.18/10.250%
15.09.14/8.625%
15.08.17/9.625%
15.03.18/10.125%
15.04.18/9.250%
01.02.20/8.050%
01.08.20/10.750%
15.04.22/8.750%
15.11.17/9.375%
01.09.15/6.375%
01.09.18/7.125%
15.11.19/8.625%
15.12.18/7.875%
15.02.21/6.625%
01.02.18/8.250%
01.12.18/9.125%
01.01.17/8.250%
01.10.18/8.250%
01.02.19/7.375%
01.04.18/7.125%
130,447
51,273
35,076
40,688
55,271
469,693
463,291
191,292
15,551
15,067
68,735
17,884
52,290
379,272
34,299
171,061
21,409
451,958
192,228
386,184
20,527
437,606
0.04
0.01
0.01
0.01
0.01
0.13
0.12
0.05
0.00
0.00
0.02
0.00
0.01
0.10
0.01
0.05
0.01
0.12
0.05
0.10
0.01
0.12
25.08.21/5.500%
15.05.15/6.000%*
15.05.21/7.750%
15.04.19/6.750%
15.02.20/8.000%
15.04.21/7.625%
15.03.18/8.250%
01.08.16/11.250%
15.06.15/10.250%
834,737
104,503
357,674
681,686
312,835
129,696
36,631
195,684
207,969
0.22
0.03
0.10
0.18
0.08
0.03
0.01
0.05
0.06
15.03.18/6.875%
56,675
0.02
15.03.21/7.125%
15.05.19/8.375%
01.05.16/9.000%
21.12.65/6.250%*
01.10.18/7.000%
01.08.21/6.875%
15.05.17/8.875%
28,476
577,937
135,449
411,238
59,336
51,902
111,319
0.01
0.16
0.04
0.11
0.02
0.01
0.03

As at 30 June 2011
Quantity/
Nominal
Value
146,000
360,000
400,000
1,680,000
50,000
350,000
400,000
35,000
345,000
165,000
260,722
85,000
250,000
100,000
200,000
125,000
45,000
250,000
200,000
96,000
135,000
230,000
720,000
1,000,000
450,000
75,000
50,000
90,000
392,571
200,000
102,000
175,000
750,000
461,504
244,981
944,707
160,000
269,000
722,000
1,450,000
100,000
150,000
795,000
410,079
60,000
215,000
767,411
610,000
260,000
550,000
300,000
100,000
25,000
50,000
137,000
425,000
1,301,515
850,000
222,000
100,000
60,000
100,000
50,000
50,000
135,000
150,000
351,154
110,000
20,000
163,448
65,210
950,000
90,000
100,000
345,000
Name of Securities
Intcomex
International Wire Group 144A
Isle of Capri Casinos 144A
J Crew Group 144A
JBS USA Finance 144A
JMC Steel Group 144A
JP Morgan Mortgage Trust
2006-S3 2A4
Kennedy-Wilson 144A
Knowledge Learning 144A
Kratos Defense & Security
Solutions
Kratos Defense & Security
Solutions 144A
Lamar Media
Landrys Holdings 144A
Landrys Restaurants
Level 3 Escrow 144A
Level 3 Financing
Level 3 Financing
Libbey Glass
Liberty Mutual Group 144A
Liberty Tire Recycling 144A
LifePoint Hospitals 144A
Linn Energy 144A
Long Beach Mortgage Loan Trust
2004-3 M2
Lyondell Chemical
Lyondell Chemical 144A
M/I Homes
MASTR Alternative Loans Trust
2005-3 1A1
2005-5 3A1
2006-3 3A1
McJunkin Red Man 144A
Mediacom
MGM Resorts International 144A
Michael Foods 144A
Midwest Generation
Mobile Mini
Morgan Stanley ABS Capital I
2004-NC7 M3
Morgan Stanley Mortgage Loan
Trust 2004-9 1A
Multiplan 144A
Murray Energy 144A
Mylan 144A
Mylan 144A
Nationwide Mutual
Insurance 144A
NB Capital Trust II
NB Capital Trust IV
Nebraska Book
Needle Merger Sub 144A
New Century Home Equity Loan
Trust 2005-A A6
NewPage
Nexeo Solutions Finance 144A
Nexstar Broadcasting
NFR Energy 144A
NFR Energy 144A
Nielsen Finance 144A
NII Capital
NII Capital
NII Capital
Nortek 144A
Northern Tier Energy and
Norther Tier Finance 144A
Northwest Airlines 2007-1 A
Northwest Airlines 2007-1 B
NRG Energy 144A
NRG Energy 144A
NRG Energy 144A
Oil States International 144A
Maturity/
Coupon
Market
Value
%
of
Net
Assets
15.12.14/13.250%
01.08.18/10.250%
15.09.15/8.625%
15.03.17/8.750%
15.04.15/9.750%
15.03.19/7.750%
01.03.19/8.125%
01.04.19/7.875%
01.06.21/7.250%
15.03.18/8.250%
103,684
271,832
297,543
1,261,292
36,631
245,292
265,957
24,069
231,961
115,751
0.03
0.07
0.08
0.34
0.01
0.07
0.07
0.01
0.06
0.03
25.08.21/5.500%
01.04.19/8.750%
01.02.15/7.750%
178,470
59,409
169,981
0.05
0.02
0.05
01.06.17/10.000%
73,608
0.02
01.06.17/10.000%
15.04.18/7.875%
01.06.14/11.500%
01.12.15/11.625%
01.07.19/8.125%
01.11.14/9.250%
01.02.18/10.000%
01.04.19/9.375%
15.02.15/10.000%
15.03.37/7.800%
15.06.58/10.750%*
01.10.16/11.000%
01.10.20/6.625%
15.05.19/6.500%
147,216
90,930
31,102
184,452
138,922
68,154
99,161
163,536
541,176
687,701
413,419
55,077
35,422
61,116
0.04
0.02
0.01
0.05
0.04
0.02
0.03
0.04
0.15
0.18
0.11
0.01
0.01
0.02
25.07.34/0.786%*
01.05.18/11.000%
01.11.17/8.000%
15.11.18/8.625%
15.08.18/9.875%
227,557
153,567
78,273
120,045
532,363
0.06
0.04
0.02
0.03
0.14
25.04.35/5.500%
301,985
0.08
25.08.35/5.750%
145,730
0.04
25.06.21/5.500%
15.12.16/9.500%
15.08.19/9.125%
01.04.19/7.750%
15.03.20/9.000%
01.11.16/10.000%
15.07.18/9.750%
01.11.18/7.750%
02.01.16/8.560%
01.12.20/7.875%
587,937
112,244
197,076
494,025
1,101,503
73,905
110,931
548,096
290,515
42,921
0.16
0.03
0.05
0.13
0.30
0.02
0.03
0.15
0.08
0.01
25.07.34/0.836%*
123,647
0.03
25.11.34/5.914%*
01.09.18/9.875%
15.10.15/10.250%
15.07.17/7.625%
15.07.20/7.875%
513,113
450,064
189,584
412,923
226,008
0.14
0.12
0.05
0.11
0.06
15.08.39/9.375%
15.12.26/7.830%
15.04.27/8.250%
15.03.12/8.625%
15.03.19/8.125%
86,114
17,603
35,551
71,490
294,476
0.02
0.00
0.01
0.02
0.08
25.08.35/4.954%*
31.12.14/11.375%
01.03.18/8.375%
15.04.17/8.875%
15.02.17/9.750%
15.02.17/9.750%
15.10.18/7.750%
15.08.16/10.000%
15.12.19/8.875%
01.04.21/7.625%
15.05.15/4.417%*
15.04.21/8.500%
845,461
541,953
156,122
73,090
40,018
67,388
36,372
40,260
103,453
108,339
231,781
70,515
0.23
0.14
0.04
0.02
0.01
0.02
0.01
0.01
0.03
0.03
0.06
0.02
01.12.17/10.500%
01.11.19/7.027%
01.11.17/8.028%
15.01.18/7.625%
15.05.19/7.625%
15.05.21/7.875%
01.06.19/6.500%
15,309
115,227
45,408
662,754
61,738
68,597
240,237
0.00
0.03
0.01
0.18
0.02
0.02
0.06
Quantity/
Nominal
Value
Name of Securities
50,000 Omega Healthcare

Investors 144A
15,000 Omnova Solutions 144A
85,000 OnCure Holdings
125,000 Oppenheimer Holdings 144A
670,000 Option One Mortgage Loan Trust
2004-3 M2
820,000 PAETEC Holding
500,000 PAETEC Holding 144A
2005-WHQ3 M1
500,000 Peninsula Gaming
255,000 Petrohawk Energy 144A
175,000 PH Glatfelter
65,000 PHI
300,000 Pilgrims Pride 144A
180,000 Pioneer Drilling
125,000 Pittsburgh Glass Works 144A
75,000 Plastipak Holdings 144A
40,000 ProQuest 144A
75,000 Quality Distribution 144A
110,000 Qwest Communications
International
90,000 Radiation Therapy Services
350,000 RadioShack 144A
60,000 Rain CII Carbon 144A
700,000 RBS Global/Rexnord
45,000 Real Mex Restaurants
190,000 Regency Energy Partners
612,792 Renaissance Home Equity Loan
Trust 2003-3 M1
Trust 2003-4 M2F
Trust 2005-4 A3
100,000 Rent-A-Center
1,309,778 Residential Accredit Loans
2006-QS4 A2
329,443 Residential Asset Securitization
Trust 2004-A6 A1
1,924,733 Residential Asset Securitization
Trust 2005-A8CB A11
100,000 Reynolds Group Issuer 144A
1,700,000 Reynolds Group Issuer 144A
80,000 RR Donnelley & Sons Co.
465,000 RR Donnelley & Sons Co.
580,000 RSC Equipment Rental
25,000 Sabra Health Care/Sabra Capital
89,000 Salem Communications
150,000 San Pasqual Casino 144A
538,000 Sears Holdings 144A
450,000 Seminole Hard Rock
Entertainment 144A
25,000 Seminole Indian Tribe of
Florida 144A
200,000 Seneca Gaming 144A
250,000 ServiceMaster 144A
300,000 Shingle Springs Tribal Gaming
Authority 144A
250,000 Simmons Foods 144A
100,000 Sinclair Television Group
111,000 Sinclair Television Group 144A
235,000 Sirius XM Radio 144A
75,000 Sitel Finance
160,000 Sizzling Platter 144A
515,000 SM Energy 144A
3,000 Smithfield Foods
377,360 Spectrum Brands
1,000,000 Spectrum Brands 144A
50,000 Speedway Motorsports
70,000 Speedy Cash 144A
310,000 SquareTwo Financial
110,000 Standard Pacific
300,000 Steel Dynamics
50,000 Stream Global Services
2,412,479 Structured Asset Investment
Loan Trust 2004-7 M1
2003-35 B1
1,750,000 Sungard Data Systems
250,000 SunGard Data Systems
98
Maturity/
Coupon
Market
Value
%
of
Net
Assets
15.10.22/6.750%
01.11.18/7.875%
15.05.17/11.750%
15.04.18/8.750%
34,169
10,017
60,951
90,066
0.01
0.00
0.02
0.02
25.11.34/0.756%*
30.06.17/8.875%
01.12.18/9.875%
403,477
596,503
357,674
0.11
0.16
0.10
25.06.35/0.606%*
15.08.17/10.750%
01.06.19/6.250%
01.05.16/7.125%
15.10.18/8.625%
15.12.18/7.875%
15.03.18/9.875%
15.04.16/8.500%
15.12.15/8.500%
15.10.18/9.000%
01.11.18/9.875%
40,589
378,737
171,178
125,337
47,171
187,519
133,739
88,986
54,169
28,476
52,744
0.01
0.10
0.05
0.03
0.01
0.05
0.04
0.02
0.01
0.01
0.01
01.04.18/7.125%
15.04.17/9.875%
15.05.19/6.750%
01.12.18/8.000%
01.05.18/8.500%
01.01.13/14.000%
15.07.21/6.500%
82,014
62,360
234,043
44,372
511,024
30,325
133,290
0.02
0.02
0.06
0.01
0.14
0.01
0.04
25.12.33/0.916%*
297,824
0.08
25.03.34/5.744%*
276,364
0.07
25.02.36/5.565%*
15.11.20/6.625%
574,991
68,770
0.15
0.02
25.04.36/6.000%
634,562
0.17
25.11.34/0.806%*
107,419
0.03
25.08.19/5.000%
227,750
0.06
25.07.35/6.000%
1,165,722
0.31
25.12.36/6.000%
15.10.16/8.500%
15.05.18/8.750%
15.04.19/7.125%
15.04.19/9.000%
15.02.21/6.875%
15.05.18/7.250%
15.06.20/7.625%
01.02.21/8.250%
01.11.18/8.125%
15.12.16/9.625%
15.09.13/8.000%
15.10.18/6.625%
134,353
72,226
509,296
295,530
1,157,342
67,388
55,699
320,928
395,860
17,300
65,127
103,155
342,095
0.04
0.02
0.14
0.08
0.31
0.02
0.01
0.09
0.11
0.00
0.02
0.03
0.09
15.03.14/2.747%*
292,670
0.08
01.10.17/7.750%
01.12.18/8.250%
15.07.15/10.750%*
17,970
143,991
183,157
0.00
0.04
0.05
15.06.15/9.375%
01.11.17/10.500%
15.10.18/8.375%
01.11.17/9.250%
01.09.15/9.750%
01.04.18/11.500%
15.04.16/12.250%
15.02.19/6.625%
15.07.14/10.000%
28.08.19/12.000%*
15.06.18/9.500%
01.02.19/6.750%
15.05.18/10.750%
01.04.17/11.625%
15.01.21/8.375%
15.03.20/7.625%
01.10.14/11.250%
145,834
184,020
72,571
84,429
178,664
47,819
112,797
357,725
2,405
278,116
760,272
34,800
49,711
222,829
73,461
221,565
36,977
0.04
0.05
0.02
0.02
0.05
0.01
0.03
0.10
0.00
0.07
0.20
0.01
0.01
0.06
0.02
0.06
0.01
25.08.34/1.236%*
1,337,688
0.36
25.12.33/5.538%*
15.08.15/10.250%
15.11.18/7.375%
286,443
1,255,831
173,005
0.08
0.34
0.05

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
485,000 Targa Resources Partners 144A

200,000 Texas Competitive Electric
Holdings
500,000 Texas Competitive Electric
Holdings 144A
50,000 Titan International 144A
110,000 Tops Markets
300,000 Toys R US Property
250,000 TransUnion Financing
75,000 Trimas
280,000 Tutor Perini
160,000 TW Telecom Holdings
84,818 United Airlines Pass Through
Trust 2007
250,000 United Surgical Partners
International
International
270,000 Universal City Development
Partners
450,000 Univision Communications 144A
250,000 US Oncology
620,000 Vail Resorts 144A
175,000 Valassis Communications 144A
700,000 Valeant Pharmaceuticals
International 144A
International 144A
International 144A
International 144A
International 144A
150,000 Vanguard Health Holding Co II
60,000 Vanguard Health Holding Co II
35,000 Venoco 144A
180,000 Verso Paper Holdings
500,000 Visant
205,000 Vulcan Materials
50,000 VWR Funding 144A
241,000 W&T Offshore 144A
75,000 WCA Waste 144A
70,000 Western Refining 144A
75,000 Windstream
125,000 Windstream
1,425,000 Windstream
121,000 WMG Acquisition
32,000 WMG Holdings
150,000 Wynn Las Vegas Capital
50,000 XM Satellite Radio 144A
75,000 XM Satellite Radio 144A
50,000 Yonkers Racing 144A
250,000 Zayo Group/Zayo Capital
LUXEMBOURG
225,000 Aperam 144A
200,000 Calcipar 144A
500,000 Intelsat Jackson Holdings
100,000 Intelsat Jackson Holdings
50,000 Intelsat Jackson Holdings 144A
645,492 Intelsat Luxembourg
370,000 Intelsat Luxembourg 144A
400,000 Wind Acquisition Finance 144A
Maturity/
Coupon
Market
Value
01.02.21/6.875%
325,993
0.09
01.11.15/10.250%
83,284
0.02
01.10.20/11.500%
01.10.17/7.875%
15.10.15/10.125%
01.12.17/8.500%
15.06.18/11.375%
15.12.17/9.750%
01.11.18/7.625%
01.03.18/8.000%
340,395
36,286
81,064
217,196
195,468
56,761
185,299
118,464
0.09
0.01
0.02
0.06
0.05
0.02
0.05
0.03
02.07.22/6.636%
58,916
0.02
01.05.17/9.250%*
181,429
0.05
01.05.17/8.875%
290,286
0.08
15.11.16/10.875%
15.05.19/6.875%
01.11.20/7.875%
15.08.17/9.125%
01.05.19/6.500%
01.02.21/6.625%
223,002
305,111
281,992
3,888
430,660
119,864
0.06
0.08
0.08
0.00
0.12
0.03
15.07.16/6.500%
477,762
0.13
01.10.17/6.750%
565,574
0.15
01.12.18/6.875%
440,828
0.12
01.10.20/7.000%
33,262
0.01
15.07.22/7.250%
01.02.18/8.000%
01.02.19/7.750%
15.02.19/8.875%
01.07.14/11.500%
01.10.17/10.000%
15.06.21/7.500%
30.06.17/10.750%
15.06.19/8.500%
15.06.19/7.500%
333,483
106,784
41,936
24,160
132,184
354,218
141,120
35,163
168,651
52,031
0.09
0.03
0.01
0.01
0.04
0.09
0.04
0.01
0.05
0.01
25.05.22/5.500%
15.06.17/11.250%
01.08.13/8.125%
01.11.17/7.875%
01.09.18/8.125%
15.06.16/9.500%
15.12.14/9.500%*
01.11.17/7.875%
01.05.20/7.875%
15.08.20/7.750%
01.08.13/13.000%
01.11.18/7.625%
15.07.16/11.375%
15.03.17/10.250%
109,226
54,610
56,465
91,842
1,048,547
88,651
22,823
113,357
131,662
26,211
40,568
54,132
37,668
190,932
0.03
0.01
0.02
0.02
0.28
0.02
0.01
0.03
0.04
0.01
0.01
0.01
0.01
0.05
99,363,521
26.67
157,454
139,614
363,146
916,646
73,349
726,399
34,169
477,366
736,082
273,629
315,859
0.04
0.04
0.10
0.25
0.02
0.19
0.01
0.13
0.20
0.07
0.08
01.04.18/7.750%
01.05.18/6.875%
15.06.16/9.500%
15.06.16/11.250%
01.11.19/8.500%
15.10.20/7.250%
01.04.21/7.500%
04.02.17/11.500%*
04.02.17/11.250%
04.02.17/11.500%*
15.07.17/11.750%
4,213,713
CANADA
750,000
35,000
65,000
120,000
275,000
55,000
1,200,000
50,000
62,000
100,000
Cascades
Cascades
Essar Steel Algoma 144A
Garda World Security 144A
Novelis
Precision Drilling
Quebecor Media
Taseko Mines
Telesat Canada
Thompson Creek Metals 144A
%
of
Net
Assets
15.12.17/7.750%
15.01.20/7.875%
15.03.15/9.375%
15.03.17/9.750%
15.12.20/8.750%
15.11.20/6.625%
15.03.16/7.750%
15.04.19/7.750%
01.11.15/11.000%
01.06.18/7.375%
539,102
25,309
45,150
87,915
204,798
38,584
862,563
35,076
46,708
66,351
Quantity/
Nominal
Value
Name of Securities
190,000 Trinidad Drilling 144A
Maturity/
Coupon
15.01.19/7.875%
IRELAND
200,000 Ardagh Packaging Finance 144A 15.10.17/7.375%
1,800,000 Ardagh Packaging Finance 144A 15.10.20/9.125%
NETHERLANDS
100,000 Bluewater Holding
1,100,000 NXP/NXP Funding 144A
200,000 VimpelCom Holdings 144A
MARSHALL ISLANDS
109,000 General Maritime
75,000 Navios Maritime
Acquisition 144A
90,000 Navios South American
Logisitcs 144A
307,000 Navios Maritime Holdings
300,000 Ocean Rig UDW
CAYMAN ISLANDS
175,000 MCE Finance
130,000 Seagate HDD Cayman 144A
175,000 UPCB Finance III 144A
BERMUDA
300,000 Catlin Insurance 144A
350,000 Digicel 144A
155,000 Global Crossing
AUSTRALIA
105,000 Boart Longyear
Management 144A
125,000 FMG Resources August
2006 Pty 144A
2006 Pty 144A
FRANCE
220,000 Cie Generale de Geophysique Veritas 144A
150,000 Pernod-Ricard 144A
200,000 Rhodia 144A
UNITED KINGDOM
250,000 Ineos Finance 144A
300,000 Virgin Media Finance
17.07.14/3.276%*
01.08.18/9.750%
01.03.22/7.504%
137,272
%
of
Net
Assets
0.04
2,088,828
0.56
142,378
1,306,286
0.04
0.35
1,448,664
0.39
55,984
848,654
138,168
0.01
0.23
0.04
1,042,806
0.28
15.11.17/12.000%
60,142
0.02
01.11.17/8.625%
50,865
0.01
15.04.19/9.250%
01.11.17/8.875%
27.04.16/9.500%
64,381
217,755
207,088
0.02
0.06
0.05
600,231
0.16
137,442
92,995
34,126
206,310
120,208
0.04
0.02
0.01
0.06
0.03
591,081
0.16
196,461
252,186
125,207
0.05
0.07
0.03
573,854
0.15
15.05.18/10.250%
15.12.18/7.750%
01.05.20/6.875%
01.11.21/7.000%
01.07.20/6.625%
31.12.49/7.249%*
01.09.17/8.250%
15.09.15/12.000%
01.04.21/7.000%
74,749
0.02
01.11.15/7.000%
88,602
0.03
01.02.18/6.875%
01.06.21/6.500%
07.04.21/5.750%
15.09.20/6.875%
15.05.15/9.000%
15.10.19/8.375%
MEXICO
200,000 Kansas City Southern de Mexico 01.02.18/8.000%
de Mexico 144A
15.12.20/6.625%
de Mexico 144A
15.06.21/6.125%
BAHAMAS
210,000 Ultrapetrol Bahamas
Market
Value
24.11.14/9.000%
270,527
0.07
433,878
0.12
147,113
108,920
162,422
0.04
0.03
0.04
418,455
0.11
182,293
231,322
0.05
0.06
413,615
0.11
150,672
0.04
31,345
0.01
31,180
0.01
213,197
0.06
146,023
0.04
146,023
0.04
1.13
AUSTRIA
200,000 Sappi Papier Holding 144A
0.15
0.01
0.01
0.02
0.05
0.01
0.23
0.01
0.01
0.02
Total Bonds
99
15.04.21/6.625%
133,282
0.03
133,282
0.03
111,681,148
29.97

As at 30 June 2011
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Convertible Bonds
1,895,000 Apollo Investment 144A
414,000 Ares Capital 144A
1,079,000 Knight Capital Group
200,000 Stewart Enterprises
125,000 Stewart Enterprises
15,000 US Concrete 144A
MEXICO
1,900,000 Cemex SAB de
BERMUDA
2,300,000 Frontline/Bermuda
15.01.16/5.750%
01.06.16/5.125%
15.03.15/3.500%
15.07.14/3.125%
15.07.16/3.375%
31.08.15/9.500%
15.03.15/4.875%
14.04.15/4.500%
CAYMAN ISLANDS
300,000 Polarcus
1,473,000 Suntech Power Holdings
27.04.16/2.875%
15.03.13/3.000%
MARSHALL ISLANDS
1,509,000 DryShips
01.12.14/5.000%
SWEDEN
4,000,000 SAS
01.04.15/7.500%
1,295,007
290,611
694,487
140,996
86,611
12,493
0.35
0.08
0.19
0.04
0.02
0.00
2,520,205
0.69
1,286,934
0.35
1,286,934
0.35
1,273,191
0.34
1,273,191
0.34
187,298
872,998
0.05
0.23
1,060,296
0.28
939,964
0.25
939,964
0.25
396,011
0.11
396,011
0.11
7,476,601
2.01
Investment Funds
LUXEMBOURG
7,748,733 JPMorgan US Dollar Liquidity
Fund - Morgan (dist)
31.12.49/0.000%

Regulated Market
5,355,589
1.44
5,355,589
1.44
5,355,589
1.44
124,513,338
33.42

Bonds
20,000 Western Refining 144A
14,860
0.00
14,860
0.00
Total Bonds
14,860
0.00
14,860
0.00
361,518,011
97.02
15.06.14/10.750%*
Total Investments
Cash
Total Net Assets
8,843,693
2.37
2,256,221
0.61
372,617,925
100.00

** Hong Kong Registered Shares.
100
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon

Luxembourg
United Kingdom
Bermuda
Kazakhstan
Ireland
Russia
Brazil
Canada
Mexico
Australia
Argentina
Cayman Islands
El Salvador
Marshall Islands
Colombia
Sri Lanka
Peru
Dominican Republic
Austria
Belarus
India
Netherlands
Ukraine
Ghana
Venezuela
South Korea
Uruguay
France
Spain
Sweden
Germany
Bahamas
Japan
Norway
Shares
Financials
Utilities
Industrials
Health Care
Materials
Energy
Consumer Staples
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
Name of Securities

Mexico
United Kingdom
Luxembourg
Kazakhstan
Bermuda
Dominican Republic
Canada
Venezuela
Argentina
France
Russia
Peru
El Salvador
Ghana
Brazil
Netherlands
Ireland
Spain
Sri Lanka
Germany
Sweden
Australia
Cayman Islands
India
Uruguay
Jersey
Marshall Islands
Italy
Norway
Bahamas
Shares
Financials
Health Care
Consumer Staples
Industrials
Energy
Utilities
Materials
Total Shares
38.63
1.51
1.24
0.63
0.59
0.59
0.58
0.57
0.56
0.54
0.49
0.47
0.44
0.44
0.41
0.41
0.39
0.37
0.37
0.36
0.35
0.34
0.34
0.31
0.30
0.30
0.29
0.27
0.17
0.14
0.14
0.12
0.11
0.04
0.04
0.04
0.01
52.90
13.37
3.95
3.86
3.85
3.83
3.74
3.48
3.17
2.24
1.44
1.19
44.12
2.98
Total
100.00
101
Maturity/
Coupon
Market
Value
%
of
Net
Assets
% of
Net Assets
34.92
1.36
1.28
1.13
1.02
0.98
0.88
0.86
0.86
0.77
0.73
0.71
0.70
0.67
0.62
0.61
0.58
0.49
0.47
0.47
0.38
0.36
0.35
0.26
0.23
0.23
0.19
0.18
0.17
0.13
0.10
0.09
0.05
52.83
11.89
4.38
3.81
3.64
3.63
3.63
3.21
2.93
2.68
2.33
0.85
42.98
4.19
100.00

As at 30 June 2011
Settlement
Date
Currency
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
EUR
GBP
USD
USD
USD
USD
USD
USD
USD
USD
USD
Amount
Purchased
Currency
301,066,601
1,100,739
9,808,107
4,439,655
7,301,072
27,329,562
5,335,021
9,602,906
1,791,646
1,583,189
5,020,597
USD
USD
AUD
CHF
EUR
GBP
HKD
JPY
NOK
SEK
SGD
Total
Amount
Sold
Unrealised
Gain/
(Loss)
440,639,723
1,795,723
9,201,714
3,702,970
5,059,270
16,699,041
41,508,876
767,854,288
9,600,000
9,788,297
6,184,723
(3,584,301)
(23,786)
(34,602)
30,583
(11,432)
421,054
574
51,859
5,262
25,735
(10,976)
(3,130,030)
102

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
1,399
2,118
737
3,193
1,814
2,535
7,027
Shares
UNITED KINGDOM
42,661 Aegis Group
1,966 BG Group
18,993 Cairn Energy
35,370 Centrica
169,073 Lloyds Banking Group
16,495 Man Group
11,125 Prudential
3,924 Rio Tinto
3,735 Tullow Oil
90,619
187,686
310,938
171,142
387,701
138,999
158,593
112,359
208,936
183,231
135,168
131,251
313,717
340,889
202,814
135,242
131,022
255,316
201,664
245,657
191,261
81,024
91,819
92,168
193,258
246,654
180,265
103,208
165,952
122,851
111,826
161,135
107,592
259,379
282,565
207,690
246,975
93,725
372,284
173,543
0.44
0.91
1.50
0.83
1.87
0.67
0.77
0.54
1.01
0.88
0.65
0.63
1.51
1.65
0.98
0.65
0.63
1.23
0.97
1.20
0.92
0.39
0.44
0.44
0.93
1.19
0.87
0.50
0.80
0.59
0.55
0.78
0.53
1.25
1.36
1.00
1.19
0.45
1.80
0.84
7,528,118
36.34
109,205
44,403
92,768
123,318
182,413
309,569
187,735
131,423
61,562
126,812
280,432
199,843
73,942
332,456
0.53
0.21
0.45
0.60
0.88
1.49
0.91
0.63
0.30
0.61
1.35
0.96
0.36
1.61
2,255,881
10.89
LOral
Pernod-Ricard
PPR
Sanofi-Aventis
Schneider Electric
Sodexo
Suez Environnement
SWITZERLAND
3,245 ACE
1,315 Holcim Registered Shares
2,369 Tyco International
GERMANY
1,509
1,791
3,298
16,491
2,695
592
1,504
Adidas
BASF
Commerzbank
Lanxess
IRELAND
4,314 Covidien
1,995 Paddy Power
NETHERLANDS
JERSEY
10,544 Experian
12,364 Glencore International
5,400 Shire
Astellas Pharma
Bridgestone
Citizen Holdings
Dai-ichi Life Insurance
Fujitsu
Japan Tobacco
JFE Holdings
JS Group
JX Holdings
Mitsubishi Electric
Mitsubishi Heavy Industries
Nissan Motor
ORIX
Toshiba
Toto
Yamada Denki
%
of
Net
Assets
135,275
77,939
92,812
115,703
102,178
70,631
207,370
82,114
81,950
131,080
46,107
126,298
109,762
90,857
94,137
85,030
80,212
1,729,455
0.65
0.38
0.45
0.56
0.49
0.34
1.00
0.40
0.40
0.63
0.22
0.61
0.53
0.44
0.45
0.41
0.39
8.35
180,351
208,611
130,839
253,811
300,909
197,362
139,136
0.87
1.00
0.63
1.23
1.45
0.96
0.67
1,411,019
6.81
249,150
213,586
235,113
98,762
232,714
171,115
116,875
1.20
1.03
1.14
0.48
1.12
0.83
0.57
1,317,315
6.37
118,913
173,669
263,661
70,638
201,787
48,184
306,662
0.57
0.84
1.27
0.34
0.97
0.23
1.48
1,183,514
5.70
159,793
231,683
107,550
0.77
1.12
0.52
499,026
2.41
233,632
48,949
203,421
1.13
0.24
0.97
486,002
2.34
133,309
96,770
167,442
0.64
0.47
0.81
397,521
1.92
228,009
128,802
1.10
0.62
356,811
1.72
CANADA
1,585 First Quantum Minerals
8,273 Kinross Gold
3,429 Schlumberger
SWEDEN
JAPAN
3,500
3,400
15,600
83
18,000
46
54
3,000
3,200
19,600
4,000
27,000
10,500
940
18,000
11,000
990
Market
Value
FRANCE

2,904 Adobe Systems
4,048 Aflac
1,543 Amazon.com
1,162 Apple
475 Autozone
5,979 BB&T
1,300 Becton Dickinson & Co.
1,915 Biogen Idec
5,529 Broadcom - A Shares
2,163 Celgene
3,074 Chevron
8,244 Citigroup
1,558 Colgate-Palmolive
1,931 EOG Resources
3,811 Fluor
2,594 Juniper Networks
2,079 Lam Research
304 Mastercard - A Shares
4,431 MetLife
2,361 Occidental Petroleum
2,427 Oneok
3,149 Oracle
3,294 Paccar
23,378 Sprint Nextel
2,353 St Jude Medical
3,578 State Street
3,454 Sysco
7,190 Time Warner
2,697 Union Pacific
4,824 Xilinx
Name of Securities
FINLAND
11,326 Stora Enso - R Shares
6,752 UPM-Kymmene
295,906
1.43
295,906
1.43
253,747
1.23
253,747
1.23
117,864
122,651
0.57
0.59
240,515
1.16
137,534
80,652
0.67
0.38
218,186
1.05
107,950
108,282
0.52
0.52
ITALY
23,471 Snam Rete Gas
38,832 UniCredit
INDIA
6,869 Housing Development Finance
15,505 Yes Bank
BELGIUM
1,316 Solvay
103
216,232
1.04
202,687
0.98
202,687
0.98

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
INDONESIA
16,500 Gudang Garam
216,500 Perusahaan Gas Negara
Market
Value
95,893
102,224
198,117
SOUTH KOREA
256 Samsung Electronics
DENMARK
%
of
Net
Assets
Quantity/
Nominal
Value
0.47
0.49
0.96
197,910
0.96
197,910
0.96
192,769
0.93
192,769
0.93
ISRAEL
3,455 Teva Pharmaceutical Industries ADR
PANAMA
4,365 Carnival
TAIWAN
20,899 Hon Hai Precision Industry Registered Shares GDR
165,546
0.80
165,546
0.80
HONG KONG
52,000 China Overseas Land & Investment
CAYMAN ISLANDS
MEXICO
15,770 Grupo Financiero Banorte - O Shares
BERMUDA
2,556 Invesco
NORWAY
ISLE OF MAN
9,872 Lamprell
GUERNSEY
4,818 Resolution
0.79
142,165
0.69
142,165
0.69
24,196
97,993
14,494
0.12
0.47
0.07
136,683
0.66
Shares
Financials
Consumer Staples
Health Care
Industrials
Energy
Materials
Utilities
Total Shares
126,990
0.61
126,990
0.61
111,252
0.54
111,252
0.54
93,612
0.45
93,612
0.45
72,074
0.35
72,074
0.35
59,568
0.29
59,568
0.29
59,512
0.29
59,512
0.29
59,168
0.29
59,168
0.29
22,311
0.11
22,311
0.11
Total Shares
20,393,016
98.46
20,393,016
98.46
Total Investments
20,393,016
98.46
5,827
0.03
Total Net Assets
Total
0.79

Exchange Listing
Cash
Shares
Financials
Health Care
Materials
Industrials
Energy
Consumer Staples
Utilities
Total Shares
163,404
SPAIN
10,996 BBVA
163,404
CHINA
10,000 China Merchants Bank - H Shares *
9,500 Ping An Insurance Group Co. of China - H Shares *
4,000 ZTE - H Shares *
Name of Securities
314,161
1.51
20,713,004
100.00
104
Total
Market
Value
%
of
Net
Assets
% of
Net Assets
19.29
14.16
13.06
11.14
10.34
9.65
7.48
6.87
3.58
2.89
98.46
1.54
100.00
% of
Net Assets
22.14
14.35
14.27
8.98
8.65
7.93
6.89
6.86
3.96
2.88
96.91
3.09
100.00

As at 30 June 2011
Settlement
Date
Currency
Amount
Purchased
Currency
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Jul-11
07-Sep-11
07-Sep-11
07-Sep-11
07-Sep-11
AUD
CAD
CHF
CHF
EUR
EUR
GBP
GBP
HKD
HKD
JPY
JPY
NOK
SEK
SGD
USD
USD
USD
USD
USD
USD
USD
USD
USD
EUR
GBP
SGD
USD
1,223,030
952,636
75,980
430,839
66,023
1,086,601
64,514
623,088
1,135,335
4,044,559
7,690,475
61,449,248
445,197
2,237,845
85,959
210,281
262,553
710,777
3,430,517
2,168,223
743,612
637,022
89,641
36,903
79,357
71,415
109,465
141,557
USD
USD
SEK
USD
SEK
USD
HKD
USD
EUR
USD
CHF
USD
USD
USD
AUD
AUD
CAD
CHF
EUR
GBP
HKD
JPY
NOK
SGD
USD
USD
USD
JPY
Total
Amount
Sold
Unrealised
Gain/
(Loss)
1,314,692
997,832
541,559
500,064
595,301
1,572,838
813,074
1,023,974
98,884
519,952
79,375
759,766
83,934
368,106
65,604
197,147
254,775
624,218
2,321,245
1,315,013
5,775,078
51,340,334
491,358
45,339
113,954
114,130
88,193
11,430,437
(3,028)
(11,506)
4,609
11,318
1,449
(845)
(1,240)
(26,851)
2,835
(223)
1,210
2,695
(1,158)
(14,491)
(359)
(1,154)
(1,232)
(30,134)
72,356
63,820
1,509
(8)
(1,718)
(18)
639
65
954
(321)
69,173
105

Schedule of Investments - Outstanding Total Return Swaps (Expressed in USD) (Please refer to note 2l)
As at 30 June 2011
Economic
Exposure
(in contract
currency)
Currency
- AUD
(196,562) AUD
11,363 CAD
- CAD
141,570 CHF
Sub-Fund Receives
Sub-Fund Pays
Counterparty
Performance of the underlying basket
AUD-1M-LIBOR + 0.25%
UBS
AUD-1D-LIBID
UBS
CAD-1M-LIBOR + 0.25%
UBS
CAD-1M-LIBOR
UBS
CHF-1M-LIBOR + 0.25%
UBS
CHF-1D-LIBID
UBS
CHF-1M-LIBOR + 0.25%
UBS
(317,311) DKK
CHF-1D-LIBID
UBS
970,743 EUR
EUR-1M-LIBOR + 0.25%
UBS
(137,866) CHF
- DKK
(577,794) EUR
EUR-1D-LIBID
UBS
GBP-1M-LIBOR + 0.25%
UBS
(334,178) GBP
GBP-1D-LIBID
UBS
3,188,955 HKD
HKD-1D-ON-BANKS + 0.40%
UBS
HKD-1D-ON-BANKS
UBS
486,763 GBP
(2,724,770) HKD
90,570,500 JPY
(76,546,200) JPY
196,449 NOK
- NOK
- SEK
(501,927) SEK
- TRY
(136,172) TRY
531,980 USD
(1,379,215) USD
JPY-1M-LIBOR + 0.40%
UBS
JPY-1D-LIBID
UBS
NOK-1D-ON-BANKS + 0.25%
UBS
NOK-1D-ON-BANKS
UBS
SEK-1M-LIBOR + 0.25%
UBS
SEK-1D-LIBID
UBS
TRY-1D-ON-UBS + 0.50%
UBS
TRY-1D-ON-UBS
UBS
USD-1M-LIBOR + 0.25%
UBS
USD-1D-FUNDS-FED
UBS
Total
Unrealised
Gain/
(Loss)
(216,626)
11,758
8,121
(60,820)
587,612
249,133
87,705
103,765
36,419
(79,329)
(2,582)
(584,170)
140,986
Net Geographic Distribution based on Economic Exposure of Swap Portfolio

(expressed in Sub-Fund Currency)
% of Total
Net Assets
United Kingdom
Germany
Italy
Cayman Islands
Netherlands
Japan
Guernsey
Jersey
Norway
Switzerland
Canada
China
Spain
Ireland
Denmark
Sweden
Austria
Turkey
France
Hong Kong
Finland
Australia
2.88%
1.54%
1.13%
1.08%
0.51%
0.35%
0.26%
0.26%
0.18%
0.06%
0.06%
(0.02%)
(0.21%)
(0.27%)
(0.30%)
(0.38%)
(0.40%)
(0.40%)
(0.67%)
(0.77%)
(0.91%)
(1.01%)
(3.86%)
106

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
166,000
27,930
47,000
55,700

Shares
11,454 3M
37,553 Adobe Systems
15,215 Aflac
21,189 Air Products & Chemicals
73,148 Alcoa
12,399 Amazon.com
19,872 Apache
18,565 Apple
11,889 Biogen Idec
18,788 Campbell Soup
73,712 CBS - B Shares
28,705 Celgene
36,467 Citigroup
8,297 Citrix Systems
31,441 Coca-Cola
5,895 DaVita
15,495 Deere & Co.
16,879 Dendreon
10,462 EOG Resources
17,270 Exxon Mobil
15,058 Gannett
21,333 General Mills
36,641 General Motors
53,746 Halliburton
41,238 Honeywell International
10,363 Humana
32,355 Johnson Controls
22,525 Kohls
15,002 Kroger
3,668 Mastercard - A Shares
5,777 McKesson
65,083 Merck & Co.
28,464 MetLife
132,814 Microsoft
14,834 Mylan
18,619 NextEra Energy
51,071 Norfolk Southern
61,260 NV Energy
14,814 Oneok
50,821 Oracle
22,032 Paccar
43,139 Procter & Gamble
389 Rovi
212,214 Sprint Nextel
9,673 St Jude Medical
57,376 Staples
20,583 State Street
25,410 Sysco
13,969 Thermo Fisher Scientific
101,657 Time Warner
14,775 Walt Disney
1,081,487
2,065,622
1,171,841
705,443
2,009,883
1,166,345
2,498,584
2,435,612
6,194,212
1,416,744
1,297,149
651,286
2,126,223
1,741,819
2,182,900
1,507,910
657,039
2,116,765
1,553,774
985,844
510,743
1,261,758
684,950
2,613,900
1,092,599
1,400,511
214,878
794,548
1,108,207
1,014,118
2,730,028
2,455,517
847,434
1,349,042
1,141,905
371,374
1,112,083
482,322
2,288,644
1,241,457
3,421,953
804,950
364,546
1,064,355
3,839,773
936,359
1,100,310
1,665,658
1,109,972
2,706,541
790,121
22,331
1,115,185
459,709
903,959
926,955
791,522
900,651
3,667,276
2,520,513
1,690,160
2,190,674
1,034,804
570,980
1,073,952
0.49
0.94
0.54
0.32
0.92
0.53
1.14
1.11
2.83
0.65
0.59
0.30
0.97
0.80
1.00
0.69
0.30
0.97
0.71
0.45
0.23
0.58
0.31
1.19
0.50
0.64
0.10
0.36
0.51
0.46
1.25
1.12
0.39
0.62
0.52
0.17
0.51
0.22
1.05
0.57
1.56
0.37
0.17
0.49
1.75
0.43
0.50
0.76
0.51
1.24
0.36
0.01
0.51
0.21
0.41
0.42
0.36
0.41
1.67
1.15
0.77
1.00
0.47
0.26
0.49
95,955,709
43.83
819,381
706,309
1,021,507
791,467
577,415
910,125
1,699,684
1,399,829
996,042
948,113
918,492
914,322
1,039,894
0.37
0.32
0.47
0.36
0.26
0.42
0.78
0.64
0.46
0.43
0.42
0.42
0.48
JAPAN
21,200
16,500
37,800
25,500
38,700
237
237
45,200
188,000
35,900
49,400
24,300
57,900
Astellas Pharma
Benesse Holdings
Electric Power Development
FUJIFILM Holdings
Izumi
Japan Tobacco
KDDI
Komatsu
Minebea
Otsuka Holdings
Shiseido
Softbank
Sony Financial Holdings
Name of Securities
Sumitomo Heavy Industries

Sumitomo Real Estate Sales
Toyota Motor
Yakult Honsha
UNITED KINGDOM
1,168,224 Afren
328,460 Barclays
219,010 Centrica
38,716 Hikma Pharmaceuticals
280,279 Kingfisher
904,769 Lloyds Banking Group
71,017 Prudential
307,996 Salamander Energy
FRANCE
11,718
14,122
10,267
4,821
17,271
18,565
24,550
52,421
6,103
GERMANY
9,862
18,643
339,603
15,149
20,327
32,634
14,108
BNP Paribas
Lafarge
LOral
PPR
Sanofi-Aventis
Schneider Electric
Socit Gnrale
Suez Environnement
Unibail-Rodamco

Commerzbank
Continental
Hamburger Hafen und Logistik
Henkel & Co. KGaA Non Voting Preference Shares
SWITZERLAND
17,314 ACE
2,671 Georg Fischer Registered Shares
NETHERLANDS
486,455 Vimetco Registered Shares GDR
Market
Value
%
of
Net
Assets
1,148,272
1,289,157
1,921,521
1,603,720
0.52
0.59
0.88
0.73
18,705,250
8.55
2,908,203
1,325,996
1,115,266
1,129,498
472,453
1,409,795
3,363,441
1,201,912
703,290
809,512
1,378,442
2,127,742
1.33
0.61
0.51
0.52
0.22
0.64
1.53
0.55
0.32
0.37
0.63
0.97
17,945,550
8.20
896,029
893,101
1,323,563
855,865
1,372,871
3,079,587
1,441,408
1,037,943
1,398,250
0.41
0.41
0.60
0.39
0.63
1.41
0.66
0.47
0.64
12,298,617
5.62
1,368,096
1,490,428
1,454,655
1,578,448
1,521,974
1,407,760
972,588
0.63
0.68
0.66
0.72
0.70
0.64
0.44
9,793,949
4.47
2,279,965
1,139,607
1,156,956
1,446,461
782,704
1,426,834
917,807
1.04
0.52
0.53
0.66
0.36
0.65
0.42
9,150,334
4.18
1,134,610
3,246,824
1,301,024
0.52
1.48
0.60
5,682,458
2.60
2,031,427
914,044
1,044,115
0.93
0.41
0.48
3,989,586
1.82
890,648
845,571
946,512
630,972
0.40
0.39
0.43
0.29
ITALY
315,230 Enel
155,987 Snam Rete Gas
502,715 UniCredit
JERSEY
235,276
108,036
30,525
71,198
Black Earth Farming SDR

Glencore International
Shire
United Business Media
AUSTRIA
44,897 Intercell
25,867 Palfinger
23,480 Schoeller-Bleckmann Oilfield Equipment
SINGAPORE
417,000 CapitaLand
521,000 Overseas Union Enterprise
107
3,313,703
1.51
190,785
930,964
2,020,487
0.09
0.43
0.92
3,142,236
1.44
986,470
1,213,404
0.45
0.55

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
783,612
0.36
2,983,486
1.36
Name of Securities
AUSTRALIA
26,017 Macquarie Group
INDIA
12,681 Infosys Technologies
50,430 Reliance Capital
200,504 Yes Bank
CAYMAN ISLANDS
698,000 Belle International Holdings
CHINA
1,048,000 Angang Steel - H Shares *
599,150 China Merchants Bank - H Shares *
SOUTH KOREA
2,953 Samsung Electronics
BERMUDA
6,814 Everest Re Group
55,008 Genpact
795,659 Sylvania Platinum
823,825
653,875
1,400,253
0.38
0.30
0.63
2,877,953
1.31
1,464,649
1,144,952
0.67
0.52
2,609,601
1.19
1,145,995
1,449,699
0.52
0.67
2,595,694
1.19
TAIWAN
118,366 Hon Hai Precision Industry Registered Shares GDR
2,282,919
1.04
1.04
556,908
944,212
469,620
0.25
0.43
0.22
1,970,740
0.90
1,023,490
935,588
0.47
0.43
%
of
Net
Assets
871,527
0.40
871,527
0.40
805,185
0.37
805,185
0.37
ISRAEL
2,282,919
Market
Value
GREECE
108,474 Sidenor Steel Products Manufacturing
LUXEMBOURG
9,312 Millicom International Cellular SDR
754,278
0.34
754,278
0.34
419,829
0.19
419,829
0.19
974,002
0.45
974,002
0.45
Total Shares
216,858,086
99.07

216,858,086
99.07

Investment Funds
FINLAND
442,120 Ruukki Group
27,717 Wartsila
DENMARK
1,959,078
0.90
1,862,349
0.85
1,862,349
0.85
896,754
946,665
0.41
0.43
LUXEMBOURG
1,400,000
0.64
1,400,000
0.64
1,400,000
0.64

Regulated Market
1,400,000
0.64
218,258,086
99.71
Total Investments
SPAIN
78,277 BSCH
39,039 Telefonica
1,843,419
0.84
21,238 Schlumberger
1,832,733
0.84
1,832,733
0.84
INDONESIA
2,213,000 Perusahaan Gas Negara
1,052,000 XL Axiata
1,044,902
751,210
0.48
0.34
1,796,112
0.82
CANADA
12,000 First Quantum Minerals
1,726,250
0.79
1,726,250
0.79
894,027
559,509
0.41
0.25
1,453,536
0.66
IRELAND
16,647 Covidien
25,438 XL Group
HONG KONG
6,144,000 IRC
ISLE OF MAN
228,280 Lamprell
BELGIUM
34,293 KBC Groep
NORWAY
Cash
1,106,925
0.51
(470,618)
(0.22)
218,894,393
100.00
Total Net Assets
1,401,334
0.64
1,401,334
0.64
1,368,196
0.63
1,368,196
0.63
1,324,645
0.61
1,324,645
0.61
1,167,828
0.53
1,167,828
0.53
108

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities

Shares
Utilities
Materials
Consumer Staples
Industrials
Health Care
Total Shares
Total

Shares
Financials
Industrials
Energy
Consumer Staples
Health Care
Materials
Utilities
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
58.06
16.32
12.97
6.49
4.57
0.64
0.43
0.23
99.71
0.29
100.00
% of
Net Assets
17.83
14.46
12.32
11.46
10.38
7.78
7.03
6.26
5.50
4.35
1.79
99.16
0.84
100.00
109
Name of Securities
Market
Value
%
of
Net
Assets

As at 30 June 2011
Settlement
Date
Currency
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
23-Aug-11
AUD
CAD
EUR
GBP
JPY
SEK
USD
USD
USD
USD
USD
USD
USD
Amount
Purchased
Currency
6,781,186
10,047,619
3,102,750
531,355
167,367,653
17,562,034
388,900
1,433,137
14,174,762
1,573,421
1,249,190
1,035,335
1,601,385
USD
USD
USD
USD
USD
USD
CHF
DKK
EUR
HKD
JPY
NOK
SGD
Total
Amount
Sold
Unrealised
Gain/
(Loss)
7,110,263
10,213,870
4,430,188
856,599
2,082,260
2,706,228
329,235
7,531,957
9,982,067
12,263,672
100,033,786
5,760,565
1,980,436
116,762
176,244
52,189
(6,793)
(5,030)
60,901
(2,021)
(26,001)
(245,797)
(2,952)
7,653
(32,385)
(11,414)
81,356
110

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
GREECE
37,170 Folli Follie Group
%
of
Net
Assets
Market
Value
369,469
0.62
369,469
0.62
Total Shares
42,786,771
72.10

Exchange Listing
42,786,771
72.10
Total Investments
42,786,771
72.10
Cash
15,863,549
26.73
Shares
9,100 Apache
4,200 Apple
23,600 Celgene
32,000 Chevron
19,402 China Security & Surveillance Technology
21,560 Citigroup
20,700 Dow Chemical
26,100 Emerson Electric
33,400 Georgia Gulf
57,708 Guess?
60,600 Hewlett-Packard
78,150 Merck & Co.
21,600 MetLife
43,300 Microsoft
48,400 Time Warner
22,094 Veeco Instruments
15,000 VF
UNITED KINGDOM
40,000 Xstrata
1,801,657
770,876
968,539
567,872
601,232
989,769
2,257,152
67,921
1,292,268
616,170
506,823
1,002,167
546,760
1,700,110
1,531,282
675,397
1,899,399
651,128
771,071
594,438
643,564
664,320
1,206,780
735,118
1,126,931
3.03
1.30
1.63
0.96
1.01
1.67
3.81
0.11
2.18
1.04
0.85
1.69
0.92
2.86
2.58
1.14
3.20
1.10
1.30
1.00
1.08
1.12
2.03
1.24
1.90
24,188,744
40.75
1,905,461
1,870,982
1,505,343
603,282
3.21
3.15
2.54
1.02
5,885,068
9.92
376,197
858,900
1,910,154
2,466,672
0.63
1.45
3.22
4.16
5,611,923
9.46
1,332,563
1,911,916
919,350
2.25
3.22
1.55
4,163,829
7.02
391,685
588,388
0.66
0.99
980,073
1.65
Total Net Assets

Shares
Energy
Health Care
Financials
Consumer Staples
Materials
Industrials
Total Shares
Total
FRANCE
9,741
7,000
34,768
62,400

Atos
PPR
Sanofi
Total
NETHERLANDS
60,000 Wolters Kluwer
INDIA
193,700 Infrastructure Development Finance
121,900 Yes Bank
Shares
Health Care
Energy
Financials
Consumer Staples
Materials
Industrials
Total Shares
Total
ITALY
41,600 ENI
BERMUDA
7,500,000 China Hongxing Sports
CAYMAN ISLANDS
33,500 Perfect World ADR
671,216
1.13
671,216
1.13
485,442
0.82
485,442
0.82
431,007
0.73
431,007
0.73
111
694,018
1.17
59,344,338
100.00
% of
Net Assets
14.70
14.33
12.55
11.23
6.87
4.79
3.15
2.79
1.69
72.10
27.90
100.00
% of
Net Assets
18.01
16.97
11.81
10.18
7.42
4.92
3.65
1.38
1.22
75.56
24.44
100.00

As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
(20,270,015)
(122,034)
Equity Futures
Sep-11
(447) SP 500 Emini Future
USD
Total
(122,034)
Settlement
Date
Currency
Amount
Purchased
Currency
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
22-Jul-11
EUR
EUR
EUR
GBP
SGD
USD
8,932,603
510,197
25,385,806
306,111
926,666
815,222
GBP
SGD
USD
EUR
EUR
EUR
Amount
Sold
Unrealised
Gain/
(Loss)
7,956,373
926,666
36,732,785
347,458
526,637
573,588
129,306
(11,658)
(16,238)
(8,762)
(4,783)
(9,833)
Total
78,032
Schedule of Investments - Outstanding Total Return Swaps (Expressed in EUR) (Please refer to note 2l)
Economic
Exposure
(in contract
currency)
-
Currency
Sub-Fund Receives
Sub-Fund Pays
USD
USD-1M-LIBOR + 0.40%
UBS
USD
USD-1M-LIBOR
UBS
Counterparty
Unrealised
Gain/
(Loss)
4,249
(302,548)
Total
4,249
% of Total
Net Assets
Net Geographic Distribution based on Economic Exposureof Swap Portfolio

(0.35%)
112

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

Bonds
NETHERLANDS
13,000,000 Dutch Treasury Bill
GERMANY
10,000,000
10,000,000
10,000,000
20,000,000
8,500,000
German Treasury Bill

Germany (Federal Republic of)
NRW Bank
BELGIUM
10,000,000 Belgium Treasury Bill
20,000,000 Belgium Treasury Bill
UNITED KINGDOM
20,000,000 HSBC Bank
IRELAND
6,000,000 GE Capital European Funding
AUSTRALIA
Australia

4,000,000 Wells Fargo & Co.
29.07.11/0.000%
31.08.11/0.000%
31.10.11/0.000%
13.07.11/0.000%
14.09.11/0.000%
07.12.11/0.000%
04.07.11/5.000%
15.08.11/1.420%*
14.07.11/0.000%
18.08.11/0.000%
05.07.11/1.299%*
05.05.12/1.502%*
06.09.11/2.136%*
29.07.11/5.875%
12,990,086
29,948,834
49,793,747
1.44
3.32
5.53
92,732,667
10.29
9,998,008
9,984,798
9,947,669
20,007,000
8,500,892
1.11
1.11
1.10
2.22
0.94
58,438,367
6.48
9,996,285
19,968,222
1.11
2.22
29,964,507
3.33
2,529,987
19,968,960
0.28
2.21
22,498,947
2.49
6,007,230
0.67
6,007,230
0.67
4,191,934
0.47
4,191,934
0.47
4,000,300
0.44
4,000,300
0.44
Total Bonds
217,833,952
24.17

217,833,952
24.17
01.08.11/1.485%*
Quantity/
Nominal
Value
Name of Securities
8,000,000
10,000,000
5,000,000
1,500,000
NETHERLANDS
7,000,000 ING Groep
5,000,000 Paccar
6,000,000 Paccar
6,000,000 Unilever
UNITED KINGDOM
FINLAND
AUSTRALIA
Australia
7,000,000 Macquarie Bank
DENMARK
9,000,000 Danske Bank
HONG KONG
8,000,000 BCA Interest
7,000,000 Schlumberger
GERMANY
5,000,000 FMS Wertmanagement
Maturity/
Coupon
17.08.11/0.000%
28.10.11/0.000%
09.11.11/0.000%
30.11.11/0.000%
01.08.11/0.000%
06.07.11/0.000%
29.08.11/0.000%
11.07.11/0.000%
02.08.11/0.000%
17.08.11/0.000%
28.07.11/0.000%
16.08.11/0.000%
31.08.11/0.000%
05.07.11/0.000%
17.08.11/0.000%
13.07.11/0.000%
11.07.11/0.000%
10.08.11/0.000%
26.07.11/0.000%

Bonds
FRANCE
10,000,000
60,000,000
30,000,000
30,000,000
30,000,000
Market
Value
%
of
Net
Assets
7,986,616
9,952,118
4,972,048
1,490,436
0.89
1.10
0.55
0.16
40,372,301
4.48
6,992,031
4,999,155
5,987,403
5,997,939
0.78
0.55
0.66
0.67
23,976,528
2.66
9,987,923
9,982,124
1.11
1.11
19,970,047
2.22
4,995,448
4,991,495
8,980,311
0.55
0.55
1.00
18,967,254
2.10
4,999,344
6,987,840
0.55
0.78
11,987,184
1.33
8,996,675
1.00
8,996,675
1.00
7,997,088
0.89
7,997,088
0.89
6,989,978
0.78
6,989,978
0.78
4,996,140
0.55
4,996,140
0.55
215,658,449
23.93
3,993,910
7,975,540
10,002,000
7,981,107
7,997,600
0.44
0.89
1.11
0.88
0.89
BT Cades
French Treasury Bill
NETHERLANDS
17.11.11/1.073%
07.07.11/0.000%
21.07.11/0.000%
18.08.11/0.000%
15.09.11/0.000%
18.01.12/1.432%*
Total Bonds
10,000,000
59,989,698
29,983,546
29,958,831
29,926,756
1.11
6.66
3.33
3.32
3.32
159,858,831
17.74
15,000,510
1.66
15,000,510
1.66
174,859,341
19.40
FRANCE
4,000,000
8,000,000
10,000,000
8,000,000
8,000,000
BNP Paribas
BNP Paribas
BNP Paribas
Crdit Agricole
HSBC France
UNITED KINGDOM
09.08.11/0.000%
15.09.11/0.000%
26.09.11/1.353%
01.09.11/0.000%
07.11.11/1.113%
25.07.11/0.000%
15.08.11/1.373%
14.10.11/0.000%
05.12.11/0.000%
37,950,157
4.21
4,995,584
8,000,000
7,963,279
4,965,792
0.56
0.89
0.88
0.55
25,924,655
2.88
7,978,991
4,990,960
9,051,374
0.89
0.55
1.01
22,021,325
2.45
Commercial Papers
FRANCE
Mutuel
Mutuel
11,000,000 BPCE
5,000,000 BPCE
5,500,000 BPCE
5,000,000 Caisse des Dpts et
Consignations
15,000,000 lectricit de France
SWEDEN
8,000,000 Bank of America Securities
18.08.11/0.000%
6,987,507
0.78
07.09.11/0.000%
01.08.11/0.000%
11.08.11/0.000%
01.09.11/0.000%
5,985,228
10,987,297
4,992,179
5,486,779
0.66
1.22
0.55
0.61
20.07.11/0.000%
07.07.11/0.000%
15.08.11/0.000%
4,997,599
14,996,939
16,971,726
0.56
1.66
1.88
71,405,254
7.92
7,984,087
7,986,996
0.89
0.89
24.08.11/0.000%
15.08.11/0.000%
NETHERLANDS
8,000,000 ING Groep
SWEDEN
JAPAN
5,000,000 Bank of Tokyo-Mitsubishi
113
07.09.11/0.000%
06.09.11/0.000%
17.11.11/1.363%
17.08.11/0.000%
25.08.11/0.000%
9,983,270
1.11
9,983,270
1.11
4,991,538
0.55
4,991,538
0.55

As at 30 June 2011
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
CANADA
8,500,000 Bank of Montreal
29.07.11/1.280%
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
8,500,034
0.94
0.94
109,370,979
12.14

France
Netherlands
Luxembourg
United Kingdom
Germany
Sweden
Belgium
Finland
Australia
Denmark
Canada
Hong Kong
Ireland
Japan
69,900,000
7.76
69,900,000
7.76
69,900,000
7.76

Regulated Market
569,788,769
63.23
1,193,750
0.13

Bonds
(Defaulted)
Maturity/
Coupon
8,500,034
Investment Funds
LUXEMBOURG
69,900,000 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM
Euro Liquidity X (dist))
Name of Securities
Total
05.04.11/0.000%
1,193,750
0.13
Total Bonds
1,193,750
0.13
1,193,750
0.13
788,816,471
87.53

Netherlands
France
United Kingdom
Belgium
Sweden
Australia
Germany
Japan
Denmark
Finland
Spain
Ireland
Total Investments
Cash Equivalents
Time Deposits
BELGIUM
70,000,000 KBC Groep
70,000,000
7.77
70,000,000
7.77
Total Time Deposits
70,000,000
7.77
70,000,000
7.77
858,816,471
95.30
53,752,241
5.96
01.07.11/1.450%
Cash
(11,390,215)
(1.26)
Total Net Assets
901,178,497
100.00
114
Total
Market
Value
%
of
Net
Assets
% of
Net Assets
29.87
17.06
7.76
7.59
7.03
5.59
3.33
2.10
1.80
1.00
0.94
0.89
0.78
0.67
0.57
0.55
87.53
12.47
100.00
% of
Net Assets
23.51
21.73
11.83
4.29
4.29
3.97
3.86
3.45
2.04
1.61
1.29
1.02
0.64
83.53
16.47
100.00

As at 30 June 2011
Settlement
Date
Currency
12-Jul-11
12-Jul-11
12-Jul-11
12-Jul-11
12-Jul-11
14-Jul-11
14-Jul-11
27-Jul-11
27-Jul-11
11-Aug-11
15-Aug-11
EUR
EUR
GBP
GBP
USD
EUR
SEK
EUR
USD
EUR
EUR
Amount
Purchased
Currency
2,396,962
2,451,272
842,850
73,096,783
13,394,709
2,467,431
1,455,174,316
655,198
21,560,488
2,763
24,983
GBP
USD
EUR
EUR
EUR
SEK
EUR
USD
EUR
GBP
SEK
Total
Amount
Sold
Unrealised
Gain/
(Loss)
2,099,528
3,545,005
954,314
81,924,792
9,350,065
22,545,883
160,341,874
938,213
15,129,403
2,478
229,394
74,389
547
(21,922)
(1,062,407)
(90,066)
5,410
(1,436,194)
6,287
(217,196)
20
(43)
(2,741,175)
115

Schedule of Investments - Outstanding Total Return Swaps (Expressed in EUR) (Please refer to note 2l)
As at 30 June 2011
Economic
Exposure
(in contract
currency)
Currency
Sub-Fund Receives
Sub-Fund Pays
Counterparty
4,394,429 CHF
CHF-1M-LIBOR +0.40%
Merrill Lynch
(3,097,083) CHF
20,776,497 CHF
CHF-1M-LIBOR -0.35%

CHF-1M-LIBOR +0.40%
Merrill Lynch
Morgan Stanley
(17,289,449) CHF
13,499,496 DKK
CHF-1M-LIBOR - variable spread


DKK-1M-CIBOR-DKNA13 +0.45%
Morgan Stanley
Merrill Lynch
(10,915,899) DKK
40,695,943 DKK
DKK-1M-CIBOR-DKNA13 -0.35%

DKK-1M-CIBOR-DKNA13 +0.40%
Merrill Lynch
Morgan Stanley
(53,714,663) DKK
28,778,665 EUR
DKK-1M-CIBOR-DKNA13 - variable spread


EUR-1M-EURIBOR + 0.45%
Morgan Stanley
Merrill Lynch
(29,290,020) EUR
109,485,040 EUR
EUR-1M-EURIBOR - 0.35%

EUR-1M-EURIBOR + 0.40%
Merrill Lynch
Morgan Stanley
(112,823,617) EUR
15,650,992 GBP
EUR-1M-EURIBOR - variable spread


GBP-1M-LIBOR +0.45%
Morgan Stanley
Merrill Lynch
(16,238,993) GBP
50,482,944 GBP
GBP-1M-LIBOR -0.35%

GBP-1M-LIBOR +0.40%
Merrill Lynch
Morgan Stanley
(47,803,956) GBP
12,296,205 NOK
GBP-1M-LIBOR - variable spread


NOK-1M-NIBOR-NIBR + 0.45%
Morgan Stanley
Merrill Lynch
(15,745,939) NOK
26,774,894 NOK
NOK-1M-NIBOR-NIBR - 0.35%

NOK-1M-NIBOR-NIBR + 0.40%
Merrill Lynch
Morgan Stanley
(18,272,522) NOK
31,698,417 SEK
NOK-1M-NIBOR-NIBR - variable spread


SEK-1M-STIBOR-SIDE +0.45%
Morgan Stanley
Merrill Lynch
(34,130,059) SEK
81,829,822 SEK
SEK-1M-STIBOR-SIDE -0.35%

SEK-1M-STIBOR-SIDE +0.40%
Merrill Lynch
Morgan Stanley
(74,697,494) SEK
711,332,525 USD
SEK-1M-STIBOR-SIDE - variable spread


USD-1M-LIBOR +0.35%
Morgan Stanley
Morgan Stanley
(709,508,218) USD
168,766,212 USD
USD-1M-LIBOR - variable spread


USD-LIBOR + 0.30%
Morgan Stanley
Merrill Lynch
(168,869,080) USD
USD-1M-LIBOR
Merrill Lynch
Unrealised
Gain/
(Loss)
3,896
205,684
139,781
781,071
(201,611)
(729,034)
(577,260)
(890,906)
(59,459)
(166,979)
(109,572)
194,383
(5,343,464)
(1,056,316)
Total
Net Geographic Distribution based on Economic Exposure of Swap Portfolio

Austria
Switzerland
Italy
Ireland
United Kingdom
Norway
Guernsey
Germany
Netherlands
France
Sweden
Germany
Cyprus
Bermuda
Jersey
Denmark
Belgium
Luxembourg
Portugal
Finland
Spain
(7,809,786)
% of Total
Net Assets
0.16%
0.44%
0.27%
0.20%
0.18%
0.13%
0.13%
0.12%
0.07%
0.06%
0.06%
0.06%
0.00%
(0.01%)
(0.04%)
(0.05%)
(0.16%)
(0.16%)
(0.21%)
(0.25%)
(0.29%)
(0.36%)
116

As at 30 June 2011
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
Market
Value
%
of
Net
Assets

Shares and Warrants
96,479 AbitibiBowater
10,900 Ally Financial 144A Preference Shares
1,109 Dex One
167,968 General Motors - Warrants
10.07.16
167,968 General Motors - Warrants
10.07.19
60,000 GMAC Capital Trust I
33,775 iPATH S&P 500 VIX Short-Term Futures
111,544 M/I HOMES Preference Shares
4,957 Quad/Graphics
140,343 US Concrete
157,500 WisdomTree Dreyfus Chinese Yuan Fund
NETHERLANDS
10,129 LyondellBasell Industries - A Shares
1,942,122
10,240,891
2,889
11,120,300
3,576,039
2,641,297
1,940,800
458,193
311,477
188,912
108,437
55,195
16,628
1,371
1,533,600
721,265
1,928,596
191,588
1,226,598
4,003,650
0.03
0.14
0.00
0.15
0.05
0.03
0.03
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.02
0.01
0.03
0.00
0.01
0.05
42,209,848
0.56
388,751
0.00
388,751
0.00
42,598,599
0.56
15.03.15/10.625%
15.08.15/7.625%
15.10.17/8.000%
15.03.29/6.450%
01.03.17/7.875%
22.05.38/8.625%*
15.09.17/6.375%
01.08.16/8.750%
15.08.16/9.000%
01.11.15/9.750%
15.01.18/7.625%
01.07.20/5.625%
15.07.15/6.875%
15.04.17/9.750%
01.02.18/8.875%
15.08.20/6.625%
01.11.14/7.500%
01.12.15/8.875%
15.10.20/8.375%
01.05.14/7.000%
01.05.15/7.000%
01.05.16/7.000%
01.05.17/7.000%
15.08.16/7.625%
15.07.15/8.875%
01.09.16/7.250%
15.03.13/6.250%
31.01.14/6.750%
01.06.17/7.750%
15.01.15/9.000%
15.02.19/6.500%
15.02.21/6.750%
01.11.18/6.375%
01.11.20/6.625%
01.03.16/9.750%
15.03.14/13.875%
01.06.19/7.750%
15.10.26/7.625%
15.06.16/7.750%
15.05.17/7.000%
15.05.19/7.200%
15.06.14/6.875%
01.05.16/9.500%
2,382,656
1,208,925
1,782,309
2,600,492
2,348,447
9,837,221
11,515,843
3,919,500
1,696,950
16,756,875
613,350
3,092,865
445,000
6,575,933
2,328,300
843,753
3,037,500
4,752,149
2,484,523
9,074,243
457,612
8,236,547
1,773,816
831,582
5,524,886
2,945,173
426,734
1,043,246
962,623
2,423,025
1,134,300
332,069
927,599
221,969
654,615
785,232
8,390,366
473,960
3,240,896
1,829,475
3,854,922
864,123
1,038,112
0.03
0.02
0.02
0.04
0.03
0.13
0.15
0.05
0.02
0.22
0.01
0.04
0.01
0.09
0.03
0.01
0.04
0.06
0.03
0.12
0.01
0.11
0.02
0.01
0.07
0.04
0.01
0.01
0.01
0.03
0.01
0.01
0.01
0.00
0.01
0.01
0.11
0.01
0.04
0.02
0.05
0.01
0.01
01.12.20/10.000%
15.09.18/7.500%
895,360
466,949
0.01
0.01
15.07.17/7.625%
982,812
0.01
15.07.20/7.875%
207,187
0.00
Total Shares and Warrants

Bonds
1,675,000 AES
2,930,000 Alcatel-Lucent USA
2,345,000 American Axle & Manufacturing
5,900,000 American International Group
10,050,000 Anadarko Petroleum
3,600,000 Arch Coal
1,620,000 Ashtead Capital 144A
16,550,000 Avaya
580,000 B&G Foods
500,000 Beazer Homes USA
4,500,000 Catalent Pharma Solutions
2,400,000 Cenveo
2,510,000 Cincinnati Bell
8,973,294 CIT Group
456,817 CIT Group
8,238,030 CIT Group
1,779,243 CIT Group
779,000 Clean Harbors
425,000 Corrections Corp. of America
1,020,000 Corrections Corp. of America
885,000 Corrections Corp. of America
2,225,000 Crown Castle International
1,140,000 Dana Holding
335,000 Dana Holding
925,000 DaVita
220,000 DaVita
585,000 Denbury Resources
653,000 Dole Food
11,553,000 Dynegy Holdings
697,000 Dynegy Holdings
3,610,000 Edison Mission Energy
770,000 El Paso
930,000 Encore Acquisition
840,000 Energy Future Intermediate
Holding
480,000 EXCO Resources
925,000 Fidelity National Information
Services
195,000 Fidelity National Information
Services
Quantity/
Nominal
Value
Name of Securities
5,191,000
150,000
750,000
550,000
500,000
1,000,000
2,400,000
7,150,000
2,735,000
4,380,000
120,000
1,365,000
1,185,000
570,000
1,655,000
2,200,000
2,140,000
1,550,000
1,700,000
4,100,000
65,000
2,410,000
315,000
625,000
1,240,000
6,490,000
2,593,000
1,808,000
5,000,000
8,654,000
2,940,000
935,000
935,000
3,045,000
359,000
1,590,000
966,000
380,000
270,000
800,000
1,245,000
2,960,000
410,000
1,970,000
1,765,000
1,445,000
250,000
7,488,000
435,000
465,000
420,000
2,660,000
600,000
1,565,000
985,000
1,305,000
1,740,000
3,565,000
2,025,000
250,000
5,715,000
6,445,000
1,095,000
2,650,000
515,000
13,750,000
750,000
2,250,000
515,000
Ford Holdings
Ford Motor
Ford Motor
Ford Motor
Ford Motor Credit
Ford Motor Credit
Ford Motor Credit
Ford Motor Credit
Ford Motor Credit
Ford Motor Credit
Forest Oil
Forest Oil
General Cable
Genworth Financial
Geo Group
Glatfelter
Global Geophysical Services
Goldman Sachs Group
Graphic Packaging International
Hanesbrands
HCA
HCA
HCA
HCA
Health Management Associates
Healthsouth
Healthsouth
Iron Mountain
Iron Mountain
Jabil Circuit
Jarden
Jarden
JC Penney
JC Penney
K Hovnanian Enterprises
Key Energy Services
Lear
Lear
Lennar
Ltd Brands
Macys Retail Holdings
Manitowoc
Manitowoc
Masco
MetroPCS Wireless
Morgan Stanley
Mueller Water Products
Nextel Communications
Owens-Brockway Glass
Container
Parker Drilling
Peabody Energy
PEP Boys-Manny Moe & Jack
PetroHawk Energy
PetroHawk Energy
PetroHawk Energy
PolyOne
Quiksilver
International
International
RailAmerica
Rite Aid
795,000
963,000
1,859,000
311,000
1,965,000
635,000
835,000
1,010,000
955,000
3,410,000
2,370,000
2,245,000
1,625,000
270,000
117
Maturity/
Coupon
Market
Value
%
of
Net
Assets
01.03.30/9.300%
01.08.26/7.500%
15.06.43/7.750%
15.02.47/9.980%
01.06.12/7.800%
01.06.14/8.000%
15.04.15/7.000%
15.12.16/8.000%
15.08.17/6.625%
15.05.18/5.000%
15.02.14/8.500%
15.06.19/7.250%
15.03.15/6.625%
15.04.20/8.500%
01.04.17/7.125%
15.06.20/7.700%
15.10.17/7.750%
01.05.16/7.125%
01.05.17/10.500%
01.08.15/3.700%
15.05.16/10.500%
15.08.20/8.250%
15.08.20/8.750%
01.10.18/7.875%
15.12.16/8.000%
15.05.15/9.500%
15.03.14/5.750%
15.01.15/6.375%
15.11.16/9.250%
15.11.16/9.625%*
15.04.16/6.125%
01.10.18/7.250%
15.09.22/7.750%
15.03.15/6.375%
01.01.15/7.375%
30.06.16/5.500%
01.03.15/8.750%
15.05.16/5.750%
15.05.19/6.250%
15.12.20/8.250%
01.01.16/6.625%
15.07.18/8.750%
15.07.16/7.750%
01.05.16/8.000%
01.05.17/7.500%
01.04.17/7.950%
15.02.18/5.750%
15.10.16/10.625%
01.03.21/6.750%
15.03.18/7.875%
15.03.20/8.125%
01.06.17/12.250%
01.04.21/6.625%
15.07.15/8.375%
15.02.18/9.500%
01.11.20/8.500%
15.04.18/8.750%
15.03.20/7.125%
01.09.18/7.875%
01.04.13/6.750%
15.07.15/6.625%
01.06.16/7.500%
15.01.17/7.625%
15.11.17/11.125%
01.03.18/11.375%
24.07.15/4.000%
01.09.20/8.750%
01.08.15/7.375%
6,618,811
155,590
767,722
663,091
524,150
1,095,650
2,585,112
8,055,976
2,923,141
4,357,114
130,049
1,389,747
1,233,668
623,355
1,700,512
2,273,568
2,260,621
1,606,187
1,785,000
4,176,752
73,140
2,590,750
346,443
665,625
1,325,827
5,954,575
2,634,644
1,847,613
5,308,500
9,225,856
3,057,600
972,400
979,062
3,103,571
368,872
1,568,137
1,033,620
373,282
261,137
857,288
1,246,251
3,093,200
452,025
2,147,300
1,845,016
1,634,476
254,052
7,431,840
430,650
503,495
456,412
3,265,150
614,076
1,842,365
1,069,956
1,384,931
1,905,300
3,679,312
2,146,905
251,279
5,414,848
6,169,798
1,047,477
3,021,000
580,498
14,069,550
813,750
2,252,936
0.09
0.00
0.01
0.01
0.01
0.02
0.03
0.11
0.04
0.06
0.00
0.02
0.02
0.01
0.02
0.03
0.03
0.02
0.02
0.06
0.00
0.03
0.01
0.01
0.02
0.08
0.04
0.03
0.07
0.12
0.04
0.01
0.01
0.04
0.01
0.02
0.01
0.01
0.00
0.01
0.02
0.04
0.01
0.03
0.03
0.02
0.00
0.10
0.01
0.01
0.01
0.04
0.01
0.03
0.01
0.02
0.03
0.05
0.03
0.00
0.07
0.08
0.01
0.04
0.01
0.19
0.01
0.03
15.05.16/7.375%
01.04.18/9.125%
01.11.16/7.375%
15.12.14/7.500%
01.08.14/10.500%
01.06.15/7.875%
15.08.18/7.250%
15.06.15/7.750%
15.03.17/7.000%
15.09.20/7.375%
15.04.15/6.875%
558,517
834,750
1,090,602
1,912,446
349,097
2,065,294
647,436
864,818
1,036,432
999,169
3,297,027
0.01
0.01
0.02
0.03
0.01
0.03
0.01
0.01
0.01
0.01
0.04
15.02.14/7.500%
2,408,512
0.03
15.02.14/7.500%
01.07.17/9.250%
01.03.15/8.625%
2,281,481
1,789,531
249,542
0.03
0.02
0.00

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
6,630,000
15,360,000
295,000
1,515,000
13,279,000
895,000
2,680,000
4,570,000
2,815,000
155,000
940,000
1,688,000
3,000,000
670,000
1,780,000
12,597,000
655,000
7,950,000
865,000
Rite Aid
Rite Aid
Rite Aid
Rite Aid
Scotts Miracle-Gro
Sealy Mattress
Select Medical
Smithfield Foods
Smithfield Foods
Solutia
Spirit Aerosystems
Springleaf Finance
Sprint Capital
Sprint Capital
Starwood Hotels & Resorts
Worldwide
Starwood Hotels & Resorts
Worldwide
SUPERVALU
Tenet Healthcare
Tenet Healthcare
Tenet Healthcare
Tenet Healthcare
Terex
Triumph Group
Unit
Vulcan Materials
Wachovia Capital Trust III
Whiting Petroleum
WMG Acquisition
880,000
2,905,000
1,625,000
720,000
405,000
2,470,000
1,885,000
405,000
535,000
2,250,000
1,730,000
885,000
515,000
2,019,000
215,000
3,075,000
UNITED KINGDOM
630,000 Avis Finance
3,650,000 Barclays Bank 144A
8,000,000 Barclays Bank 144A
1,688,000 RBS
1,000,000 Towergate Finance 144A
3,250,000 Towergate Finance 144A
NORWAY
44,500,000 Boa Deep C
3,100,000 Sevan Marine
LUXEMBOURG
2,300,000 MagnaChip Semiconductor
Finance
LIBERIA
1,600,000
116,000
2,212,000
2,456,000
Royal Caribbean Cruises

MARSHALL ISLANDS
23,000,000 Teekay Offshore Partners
IRELAND
2,800,000 Elan Finance
NETHERLANDS
2,675,000 RBS
Maturity/
Coupon
01.03.17/7.500%
15.06.17/9.500%
15.10.19/10.250%
15.08.20/8.000%
01.12.14/9.500%
15.01.18/7.250%
15.06.14/8.250%
01.02.15/7.625%
01.04.15/6.750%
15.06.17/7.000%
15.05.19/7.000%
15.05.13/7.750%
01.07.17/7.750%
01.11.17/8.750%
01.10.17/7.500%
15.12.17/6.900%
01.05.19/6.900%
15.03.32/8.750%
15.10.14/7.875%
15.05.18/6.750%
01.05.16/8.000%
01.02.15/9.250%
01.05.18/10.000%
01.07.19/8.875%
01.08.20/8.000%
15.11.17/8.000%
15.07.18/8.625%
15.05.21/6.625%
15.06.16/10.875%
15.12.19/9.250%
15.09.20/8.375%
01.12.16/6.500%
15.08.11/5.570%*
01.10.18/6.500%
15.04.14/7.375%
31.07.13/4.000%*
15.12.16/5.926%*
15.12.17/7.434%*
14.10.16/0.561%*
15.02.18/8.500%
15.02.19/10.500%
27.04.16/8.220%*
14.05.13/3.417%*
15.04.18/10.500%
15.02.18/7.250%
15.06.13/7.000%
01.12.13/6.875%
15.07.15/11.875%
15.06.16/7.250%
29.11.13/7.560%*
15.10.16/8.750%
09.03.15/0.952%*
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
6,612,033
13,961,626
327,204
1,619,747
13,743,765
955,412
2,682,332
4,592,850
3,026,125
167,787
994,050
1,839,920
3,127,500
728,622
1,886,800
11,514,036
674,955
8,574,075
0.09
0.19
0.00
0.02
0.18
0.01
0.04
0.06
0.04
0.00
0.01
0.02
0.04
0.01
0.03
0.15
0.01
0.11
989,703
0.01
977,627
2,969,447
1,770,267
811,159
445,939
2,488,525
1,920,938
446,006
537,675
2,520,000
1,874,161
882,155
513,710
1,875,146
223,600
3,110,132
0.01
0.04
0.02
0.01
0.01
0.03
0.02
0.01
0.01
0.03
0.02
0.01
0.01
0.02
0.00
0.04
416,489,313
5.50
0.01
0.04
0.11
0.02
0.02
0.07
20,623,301
0.27
8,028,159
2,441,250
0.11
0.03
10,469,409
0.14
2,524,250
5,904,250
0.03
0.08
8,428,500
0.11
1,705,672
124,326
2,737,173
2,649,619
0.02
0.00
0.04
0.04
7,216,790
0.10
4,335,038
0.06
4,335,038
0.06
2,957,500
0.04
2,957,500
0.04
2,361,115
0.03
2,361,115
FRANCE
363,000 CMA CGM 144A
1,660,000 CMA CGM 144A
BERMUDA
1,200,000 Aircastle
MEXICO
1,000,000 Cemex SAB de 144A
CANADA
625,000 Nova Chemicals
GERMANY
550,000 Kinove German Bondco 144A
908,517
3,383,021
8,163,360
1,468,729
1,576,394
5,123,280
0.03
Maturity/
Coupon
Name of Securities
15.04.17/8.500%
15.04.19/8.875%
01.08.18/9.750%
30.09.15/5.246%*
01.11.19/8.625%
15.06.18/9.625%
Market
Value
%
of
Net
Assets
309,009
2,036,101
0.00
0.03
2,345,110
0.03
1,329,000
0.02
1,329,000
0.02
970,715
0.01
970,715
0.01
700,000
0.01
700,000
0.01
569,250
0.01
569,250
0.01
Total Bonds
478,795,041
6.33

521,393,640
6.89
2,384,375
3,911,437
0.03
0.05
6,295,812
0.08
6,295,812
0.08
15.10.18/10.250%
01.02.17/8.375%
01.11.17/10.000%
01.02.19/11.000%
25.07.35/0.686%*
15.04.16/9.750%
02.01.29/9.670%
30.11.14/9.000%
15.02.18/7.625%
15.05.19/7.125%
01.12.14/6.750%
01.12.17/6.250%
01.06.19/8.750%
01.12.20/9.750%
15.10.12/10.500%
01.08.16/13.000%
7,478,831
1,319,212
1,607,200
3,205,000
3,964,770
2,531,237
2,840,000
5,100,000
331,650
1,911,000
4,160,700
5,251,726
358,297
1,761,025
1,602,525
927,081
0.10
0.02
0.02
0.04
0.05
0.03
0.04
0.07
0.00
0.03
0.05
0.07
0.00
0.02
0.02
0.01
0.01

Shares
50,000 CoBank ACB 144A Preference Shares
69,000 CoBank ACB Preference Shares
Total Shares
Bonds
6,885,000 AbitibiBowater 144A
1,270,000 Accellent
1,640,000 Accellent
3,205,000 ACE Cash Express 144A
4,237,028 ACE Securities 2005-HE4 M1
2,245,000 AES
4,000,000 AES Eastern Energy
5,000,000 Affinia Group
330,000 Aleris International 144A
1,960,000 Allison Transmission 144A
5,280,000 Ally Financial 144A
340,000 AMC Entertainment
1,735,000 AMC Entertainment 144A
1,500,000 American Airlines
806,158 American Airlines
979,525 American Airlines Pass Through
Trust 2009-1A
640,057 American Airlines Pass Through
Trust 2001-01
176,000 American Axle & Manufacturing
Holdings 144A
1,229,236 American Home Mortgage
Assets 2006-2 2A1
950,000 American Standard
Americas 144A
1,305,000 American Tire Distributors
1,330,000 Ameristar Casinos 144A
900,000 Amkor Technology
1,170,000 Amsted Industries 144A
4,150,000 Appleton Papers 144A
1,215,000 Ashland
1,115,000 Aspect Software
Certificates 2005-OPT1 A2C
1,765,185 Asset Backed Securities Corp
Home Equity 2005-HE4 M1
2,100,000 Associated Materials 144A
1,405,000 Atkore International 144A
1,345,000 Audatex North America 144A
925,781 Avaya
118
02.07.19/10.375%
1,131,352
23.05.19/7.377%
550,449
0.01
15.01.17/9.250%
192,280
0.00
25.09.46/0.376%*
652,325
0.01
15.01.16/10.750%
01.06.17/9.750%
15.04.21/7.500%
01.05.18/7.375%
15.03.18/8.125%
15.06.15/10.500%
15.06.19/7.000%
15.06.21/7.250%
01.06.17/9.125%
15.05.17/10.625%
917,937
1,409,400
1,373,225
918,000
1,240,200
4,347,125
759,719
507,525
1,372,950
1,204,200
0.01
0.02
0.02
0.01
0.02
0.06
0.01
0.01
0.02
0.02
25.06.35/0.666%*
905,148
0.01
25.07.35/0.546%*
868,580
0.01
25.05.35/0.606%*
01.11.17/9.125%
01.01.18/9.875%
15.06.18/6.750%
01.11.15/10.125%*
1,727,299
2,073,750
1,464,712
1,358,450
947,953
0.02
0.03
0.02
0.02
0.01

As at 30 June 2011
Quantity/
Nominal
Value
1,630,000
1,395,000
1,525,000
820,000
5,859,594
3,004,170
3,197,625
3,832,872
2,268,782
3,360,575
15,702,655
2,200,000
1,777,231
3,307,449
9,251,792
25,000,000
10,000,000
7,097,000
1,245,000
70,000
3,227,000
2,710,000
7,120,000
1,415,000
1,830,000
1,475,000
320,000
735,000
1,500,000
1,100,000
2,445,000
2,020,000
13,905,000
475,000
285,000
1,440,000
1,160,000
555,000
1,740,000
5,250,736
200,000
840,000
3,145,000
730,000
575,000
1,669,630
1,735,000
917,000
2,215,000
440,000
400,000
1,545,000
1,535,000
6,350,000
260,000
595,000
4,700,000
1,500,000
1,041,367
1,500,000
1,181,341
2,760,881
1,585,341
Name of Securities
Avaya 144A
Avis Budget Car Rental
Banc of America Alternative
Banc of America Funding
2006-1 2A1
Banc of America Funding
2006-3 4A19
Banc of America Large Loan
2010-HLTN HLTN
Banc of America Merrill Lynch
Commercial Mortgage
2005-3 A4
Banc of America Mortgage
Bank of America
Bank of America
Bank of America
Bausch & Lomb
Belden
Berry Plastics
Berry Plastics
Biomet
Bon-Ton Department Stores
BreitBurn Energy Partners /
BreitBurn Finance
Brigham Exploration
Brigham Exploration 144A
Buccaneer Merger Sub 144A
Building Materials Corp of
America 144A
Building Materials Corp of
America 144A
Bumble Bee Acquisition 144A
BWAY Holding
Caesars Entertainment
Operating
Caesars Entertainment
Operating
Calpine 144A
Calpine 144A
Calpine 144A
Calumet Specialty Products
Partners/Calumet Finance 144A
Case New Holland 144A
Catalent Pharma Solutions
CCH II Capital
CCO Holdings Capital
CCO Holdings Capital 144A
Centex Home Equity 2005-C AF6
Central Garden and Pet
Cenveo 144A
Cequel Communications
Capital 144A
Charter Communications
Operating Capital 144A
Chemtura 144A
Chrysler Group Co-Issuer 144A
Chrysler Group Co-Issuer 144A
Chukchansi Economic
Cinemark USA 144A
CIT Group 144A
CIT Group 144A
Citgo Petroleum 144A
Citicorp Mortgage Securities
2007-2 1A5
Citicorp Residential Mortgage
Securities 2006-1 A4
Citigroup Mortgage Loan Trust
2005-WF2 AF4
2006-4 1A1
2007-AMC1 A2A
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
01.04.19/7.000%
15.05.16/7.750%
15.03.18/9.625%
15.01.19/8.250%
1,548,500
1,422,147
1,636,516
829,225
0.02
0.02
0.02
0.01
25.02.34/6.000%
6,185,323
0.08
25.01.35/6.000%
3,127,668
0.04
0.04
25.03.35/6.000%
2,977,954
25.05.21/6.000%
3,687,985
0.05
25.01.36/5.500%
2,190,092
0.03
25.03.36/5.750%
3,361,917
0.04
15.11.15/1.937%*
14,779,423
0.20
10.07.43/4.668%
2,352,032
0.03
25.11.35/5.500%
1,717,392
0.02
3,320,197
0.04
25.12.20/5.250%
8,183,053
25,000,100
10,000,240
7,394,542
1,320,945
78,137
3,179,757
2,649,025
7,832,000
1,406,185
0.11
0.33
0.13
0.10
0.02
0.00
0.04
0.04
0.10
0.02
15.10.20/8.625%
01.10.18/8.750%
01.06.19/6.875%
15.01.19/9.125%
1,948,950
1,593,000
317,600
758,887
0.03
0.02
0.00
0.01
15.08.18/6.875%
1,530,000
0.02
01.05.21/6.750%
15.12.17/9.000%
15.06.18/10.000%
1,100,000
2,469,450
2,214,425
0.01
0.03
0.03
01.06.17/11.250%
15,260,737
0.20
15.12.18/10.000%
15.10.17/7.250%
31.07.20/7.875%
15.02.21/7.500%
425,424
289,275
1,490,400
1,174,500
0.01
0.00
0.02
0.02
01.05.19/9.375%
01.12.17/7.875%
15.04.15/9.500%*
30.11.16/13.500%
30.10.17/7.250%
30.04.18/7.875%
15.01.19/7.000%
15.01.19/7.000%
25.06.35/4.638%*
01.03.18/8.250%
15.08.16/10.500%
567,487
1,914,000
5,276,990
235,900
867,720
3,322,692
733,705
583,625
1,648,579
1,806,777
903,245
0.01
0.03
0.07
0.00
0.01
0.04
0.01
0.01
0.02
0.02
0.01
25.09.37/6.000%
08.07.11/0.260%
26.08.11/0.190%
30.01.18/8.000%*
01.11.15/9.875%
15.06.19/9.250%
15.05.18/9.500%
15.01.21/9.750%
15.10.17/10.375%*
15.03.14/10.250%
15.11.17/8.625%
2,309,137
0.03
30.04.12/8.000%
01.09.18/7.875%
15.06.19/8.000%
15.06.21/8.250%
457,600
420,000
1,512,941
1,502,512
0.01
0.01
0.02
0.02
15.11.13/8.000%
15.06.21/7.375%
01.04.18/6.625%
02.05.16/7.000%
01.07.17/11.500%
5,175,250
258,700
615,825
4,694,125
1,736,250
0.07
0.00
0.01
0.06
0.02
25.02.37/5.750%
1,045,295
0.01
25.07.36/5.939%*
1,468,430
0.02
25.08.35/4.964%*
1,083,140
0.01
25.12.20/5.500%
2,503,749
0.03
25.12.36/0.236%*
1,296,374
0.02
119
Name of Securities
2,979,316 Citimortgage Alternative Loan

Trust 2006-A1 1A5
Trust 2006-A1 1A6
Trust 2007-A1 1A7
Trust 2007-A6 1A5
890,000 Clean Harbors 144A
10,400,000 Clear Channel
Communications 144A
Holdings
120,000 Clearwater Paper
14,021,000 Clearwire
Communications/Clearwire
Finance 144A
6,850,000 Clearwire
Finance 144A
665,000 Clearwire
Finance 144A
1,640,000 Cloud Peak Energy
Resources/Cloud Peak Energy
Finance
6,020,000 CNG Holdings 144A
5,150,000 CNL Income Properties 144A
1,185,000 Cogent Communications
Group 144A
3,450,000 Colt Defense/Colt Finance
2,300,000 Comerica Bank
1,285,000 CommScope 144A
920,000 Community Choice
Financial 144A
4,585,000 Constar International
4,394,270 Continental Airlines 2003-ERJ1
2,528,374 Continental Airlines
2006-ERJ1 144A
Trust 2004-5CB 2A1
Trust 2005-28CB 1A5
Trust 2005-28CB 1A6
Trust 2005-50CB 4A1
Trust 2005-70CB A5
Trust 2005-J11 5A1
Trust 2005-J3 3A1
Trust 2005-J6 2A1
Trust 2006-19CB A15
Trust 2006-24CB A1
Trust 2006-24CB A23
Trust 2006-28CB A17
Trust 2006-31CB A3
Trust 2006-41CB 2A17
Trust 2006-J3 2A1
Trust 2007-5CB 1A31
Trust 2008-2R 2A1
1,250,000 Countrywide Asset-Backed
Certificates 2005-12 1A4
2,852,222 Countrywide Home Loan
2005-10 A1
2005-20 A7
2005-21 A2
Maturity/
Coupon
Market
Value
%
of
Net
Assets
25.04.36/5.500%
2,481,224
0.03
25.04.36/6.000%
815,379
0.01
25.01.37/6.000%
773,689
0.01
25.06.37/6.000%
15.01.16/7.625%
15.01.17/10.750%*
15.03.19/8.875%
15.08.16/7.625%
3,341,395
1,781,120
8,816,519
1,189,100
950,075
0.04
0.02
0.12
0.02
0.01
01.03.21/9.000%
9,880,000
0.13
15.12.17/9.250%
15.06.16/10.625%
01.11.18/7.125%
5,319,000
1,489,950
123,600
0.07
0.02
0.00
01.12.15/12.000%
15,023,501
0.20
01.12.15/12.000%
7,338,062
0.10
01.12.17/12.000%
696,587
0.01
15.12.17/8.250%
15.02.15/12.250%
15.04.19/7.250%
1,763,000
6,546,750
4,712,250
0.02
0.09
0.06
15.02.18/8.375%
15.11.17/8.750%
24.08.11/0.408%*
15.01.19/8.250%
1,220,550
2,962,687
2,300,775
1,323,550
0.02
0.04
0.03
0.02
01.05.19/10.750%
01.04.17/8.000%
01.04.20/8.250%
15.02.12/0.000%
02.07.18/7.875%
01.09.19/9.558%
01.04.21/9.798%
936,100
694,419
513,268
2,063,250
4,383,285
3,428,766
6,589,847
0.01
0.01
0.01
0.03
0.06
0.05
0.09
0.03
01.11.19/9.318%
2,528,374
25.05.19/5.000%
1,806,109
0.02
25.08.35/5.500%
1,546,422
0.02
25.08.35/5.500%
5,881,395
0.08
25.11.20/5.000%
1,333,686
0.02
25.12.35/5.500%
8,766,776
0.12
25.11.20/5.500%
2,158,043
0.03
25.09.34/6.500%
2,336,847
0.03
25.07.25/5.500%
4,826,998
0.06
25.08.36/6.000%
2,693,979
0.04
25.06.36/6.000%
2,504,901
0.03
25.06.36/6.000%
4,969,997
0.07
25.10.36/6.000%
919,088
0.01
25.11.36/6.000%
4,477,802
0.06
25.01.37/6.000%
1,019,003
0.01
25.12.20/4.750%
721,545
0.01
25.04.37/5.500%
1,106,112
0.01
25.08.37/6.000%
430,962
0.01
25.02.36/5.323%*
1,217,011
0.02
25.05.35/5.500%
2,827,462
0.04
25.12.27/5.250%
2,770,283
0.04
25.10.35/5.500%
1,025,168
0.01

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities

2006-15 A1
2006-20 1A36
2007-16 A1
2007-17 1A1
3,064,952 Crdit Suisse First Boston
Mortgage Securities
2003-AR24 2A4
Mortgage Securities
2004-AR3 6M1
2,149,293 Credit-Based Asset Servicing
and Securitization
2005-CB4 AF4
220,000 Cricket Communications 144A
2,305,000 Crosstex Energy
675,000 Dave & Busters
2,205,000 Del Monte Foods 144A
1,471,378 Delta Air Lines 2007-1 C
1,285,201 Deutsche ALT-A Securities
Alternate Loan Trust 2005-1 2A1
1,395,000 DineEquity 144A
7,600,000 Discover Bank
3,945,000 DISH DBS
5,880,000 DISH DBS
2,115,000 DISH DBS 144A
1,820,000 Diversey
725,000 DJO Finance
1,460,000 DJO Finance 144A
1,310,000 Dole Food 144A
5,000,000 Downstream Development
Authority of the Quapaw Tribe
of Oklahoma 144A
230,000 Ducommun 144A
1,160,000 Dunkin Brands 144A
1,510,000 Eagle Parent 144A
1,320,000 Eagle Rock Energy Partners /
Eagle Rock Energy Finance 144A
2,585,000 Easton-Bell Sports
1,065,000 EH Holding 144A
530,000 EH Holding 144A
620,000 Endo Pharmaceuticals
Holdings 144A
1,240,000 Energy Future Holdings
1,535,000 EV Energy Partners / EV Energy
Finance 144A
30,000,000 Fannie Mae Discount Notes
2,566,783 Fannie Mae Interest
Strip366 18
3,482,105 Fannie Mae Interest Strip 377 2
5,085,976 Fannie Mae Interest Strip 379 2
Strip 390 C7
Strip 390 C8
4,967,483 Fannie Mae REMICS 2003-22 IO
7,807,091 Fannie Mae REMICS 2003-80 DI
2,780,196 Fannie Mae REMICS 2004-17 DS
2,556,705 Fannie Mae REMICS 2004-41 SA
5,089,717 Fannie Mae REMICS
2004-60 SW
1,664,923 Fannie Mae REMICS 2004-61 NS
4,381,152 Fannie Mae REMICS 2004-72 S
3,942,171 Fannie Mae REMICS 2004-92 SQ
2,306,261 Fannie Mae REMICS 2005-13 AS
4,721,651 Fannie Mae REMICS 2005-23 SG
18,436,466 Fannie Mae REMICS 2005-74 SE
8,567,563 Fannie Mae REMICS 2005-79 NS
2006-106 CS
2,748,671 Fannie Mae REMICS 2006-108 S
2006-113 PQ
4,604,937 Fannie Mae REMICS 2006-20 IG
5,259,260 Fannie Mae REMICS 2006-3 SB
14,616,653 Fannie Mae REMICS 2006-43 SD
24,610,811 Fannie Mae REMICS 2006-58 SI
2,268,377 Fannie Mae REMICS 2006-72 XI
7,221,073 Fannie Mae REMICS 2007-109 GI
4,852,595 Fannie Mae REMICS 2007-30 UI
20,742,617 Fannie Mae REMICS 2007-33 SD
20,043,729 Fannie Mae REMICS 2007-36 SB
Maturity/
Coupon
Market
Value
%
of
Net
Assets
25.10.36/6.250%
3,868,359
0.05
25.02.37/5.750%
2,587,403
0.03
25.10.37/6.500%
11,267,793
0.15
25.10.37/6.000%
9,225,631
0.12
25.10.33/2.714%*
2,603,579
0.03
Quantity/
Nominal
Value
Name of Securities
10,828,087
7,815,757
13,072,434
3,303,141
12,696,719
18,516,425
7,787,230
28,609,829
Fannie Mae REMICS 2007-55 S

Fannie Mae REMICS 2008-17 KS
Fannie Mae REMICS 2008-36 AI
Fannie Mae REMICS 2008-71 SB
Fannie Mae REMICS 2008-87 AS
Fannie Mae REMICS
2009-110 SD
Fannie Mae REMICS 2009-87 SG
Fannie Mae REMICS 2009-87 SX
Fannie Mae REMICS 2009-95 HI
Fannie Mae REMICS
2010-107 PS
Fannie Mae REMICS
2010-107 SP
Fannie Mae REMICS 2010-131 SA
Fannie Mae REMICS
2010-139 SA
Fannie Mae REMICS 2010-99 SD
Federal Home Loan Mortgage
FGI Holding
FireKeepers Development
Authority 144A
First Data
First Data 144A
First Data 144A
First Data 144A
First Data 144A
First Data 144A
First Horizon Alternative
Mortgage Securities
2006-FA7 A1
First Horizon Asset Securities
2007-5 A4
Freddie Mac REMICS 3045 DI
Freddie Mac REMICS 3155 PS
Freddie Mac REMICS 3171 ST
Freddie Mac REMICS 3181 PS
Freddie Mac REMICS 3218 AS
Freddie Mac REMICS 3236 IS
Freddie Mac REMICS 3311 IA
Freddie Mac REMICS 3311 IB
Freddie Mac REMICS 3311 IC
Freddie Mac REMICS 3311 ID
Freddie Mac REMICS 3311 IE
Freddie Mac REMICS 3370 SH
Freddie Mac REMICS 3612 JI
Freddie Mac REMICS 3751 MI
Freddie Mac REMICS 3754 NS
Freddie Mac REMICS 3762 CS
Freddie Mac REMICS 3762 JS
Freddie Mac REMICS 3767 DS
Freddie Mac REMICS 3803 DS
GCI
General Electric Capital
General Motors
Genworth Life Institutional
Funding Trust
Georgia-Pacific 144A
Georgia-Pacific 144A
GMX Resources 144A
Goodman Networks 144A
Government National Mortgage
Association 2001-57 SF
Association 2003-42 SE
Association 2003-46 SB
Association 2003-82
Association 2004-11 SB
Association 2009-78 SD
Graham Packaging
Graham Packaging
Graham Packaging
Great Lakes Dredge &
Dock 144A
Greenpoint Mortgage Funding
Trust 2005-AR4 4A1A
Griffon 144A
GSAA Trust 2005-15 M2
GWR Operating Partnership
35,201,374
9,393,466
13,402,654
27,392,210
12,736,505
25.04.34/1.286%*
770,217
0.01
22,655,614
36,628,112
25.08.35/5.028%*
15.10.20/7.750%
15.10.20/7.750%
15.02.18/8.875%
01.06.18/11.000%
15.02.19/7.625%
10.08.14/8.954%
2,139,816
869,067
214,500
2,460,587
722,250
2,238,075
1,517,432
0.03
0.01
0.00
0.03
0.01
0.03
0.02
28,187,437
40,000,000
5,615,898
4,283,000
25.02.20/5.586%*
30.10.18/9.500%
18.11.19/8.700%
01.02.16/7.125%
01.09.19/7.875%
01.06.21/6.750%
15.11.19/8.250%
15.11.14/10.875%
15.04.18/7.750%
01.10.16/8.000%
1,314,651
1,513,575
9,217,052
4,174,244
6,358,661
2,122,931
2,143,050
775,750
1,458,175
1,377,137
0.02
0.02
0.12
0.06
0.08
0.03
0.03
0.01
0.02
0.02
01.07.19/10.500%
15.07.18/9.750%
01.12.18/9.625%
01.05.19/8.625%
4,987,500
236,613
1,175,938
1,458,660
0.07
0.00
0.02
0.02
01.06.19/8.375%
01.12.16/9.750%
15.06.19/6.500%
15.06.21/7.625%
1,321,650
2,856,425
1,078,312
537,950
0.02
0.04
0.01
0.01
15.07.19/7.000%
15.01.20/10.000%
630,850
1,315,522
0.01
0.02
15.04.19/8.000%
20.10.11/0.000%
1,548,431
29,985,773
0.02
0.40
01.10.35/4.000%
01.10.36/5.000%
01.05.37/5.500%
246,674
782,585
1,037,897
0.00
0.01
0.01
25.07.23/4.000%
1,139,887
0.02
25.07.23/4.500%
25.04.33/6.000%
25.10.31/5.500%
25.11.32/6.964%*
25.02.32/6.964%*
2,144,443
1,084,572
903,216
284,013
276,436
0.03
0.01
0.01
0.00
0.00
25.04.34/6.864%*
25.08.34/7.514%*
25.09.34/6.314%*
25.05.34/6.464%*
25.03.35/5.914%*
25.04.35/6.514%*
25.09.35/5.914%*
25.09.35/5.904%*
957,583
290,960
796,811
687,443
315,609
868,892
2,630,412
1,141,624
0.01
0.00
0.01
0.01
0.00
0.01
0.04
0.02
451,488
525,051
0.01
0.01
1,124,792
749,249
897,671
2,156,776
3,792,989
314,607
1,202,790
790,731
3,371,304
3,297,312
0.02
0.01
0.01
0.03
0.05
0.00
0.02
0.01
0.04
0.04
25.11.36/6.404%*
25.11.36/7.014%*
25.07.36/6.464%*
25.04.36/6.464%*
25.07.35/6.514%*
25.06.36/6.414%*
25.07.36/6.354%*
25.08.36/6.314%*
25.12.37/5.884%*
25.04.37/5.914%*
25.04.37/5.916%*
25.04.37/6.414%*
120
183,000
575,000
3,225,000
7,878,000
2,805,000
1,996,000
1,549,090
4,073,919
24,961,164
10,696,584
3,794,628
3,932,535
3,563,818
3,629,770
6,862,614
6,862,614
6,862,614
6,862,614
10,019,932
3,069,365
14,750,654
16,928,719
35,744,470
3,031,661
9,899,960
18,693,914
24,158,270
5,905,000
4,135,000
1,300,000
1,775,000
3,000,000
4,000,000
1,650,000
1,330,000
970,000
1,935,000
1,010,000
3,250,000
1,950,397
1,608,160
810,779
2,836,858
5,462,866
7,242,724
2,200,000
1,245,000
995,000
1,600,000
1,897,697
1,095,000
1,834,000
1,340,000
Maturity/
Coupon
Market
Value
%
of
Net
Assets
25.06.37/6.574%*
25.11.37/6.164%*
25.05.38/6.774%*
25.11.36/6.614%*
25.07.38/5.914%*
25.10.29/6.299%*
25.07.33/7.464%*
1,927,731
1,138,089
1,826,854
661,603
1,854,913
1,846,106
1,258,976
0.03
0.02
0.02
0.01
0.02
0.02
0.02
25.01.40/6.064%*
25.11.39/6.064%*
25.11.39/6.064%*
25.12.38/6.000%
4,153,441
5,174,510
1,307,516
2,213,518
0.06
0.07
0.02
0.03
25.06.40/6.444%*
4,959,253
0.07
25.06.40/6.464%*
25.11.40/6.414%*
2,306,143
4,286,587
0.03
0.06
25.12.40/5.844%*
25.03.39/5.906%*
04.02.13/0.140%*
01.10.15/11.250%*
6,268,638
4,351,379
39,991,040
5,665,037
0.08
0.06
0.53
0.08
01.05.15/13.875%
24.09.15/9.875%
15.06.19/7.375%
15.08.20/8.875%
15.01.21/12.625%
15.01.21/8.250%
15.01.22/8.750%*
4,961,149
185,348
576,437
3,434,625
8,340,832
2,727,862
1,937,807
0.07
0.00
0.01
0.05
0.11
0.04
0.03
1,115,179
0.01
25.11.37/6.250%
15.10.35/6.543%*
15.05.36/6.963%*
15.06.36/6.298%*
15.07.36/6.283%*
15.09.36/6.393%*
15.11.36/6.463%*
15.05.37/6.223%*
15.05.37/6.223%*
15.05.37/6.223%*
15.05.37/6.223%*
15.05.37/6.223%*
15.10.37/6.263%*
15.05.24/4.500%
15.02.34/4.000%
15.11.34/6.463%*
15.04.35/6.513%*
15.04.35/6.513%*
15.02.39/6.513%*
15.11.35/6.413%*
15.03.18/10.125%
15.04.18/9.250%
01.02.20/8.050%
15.11.19/8.625%
15.08.11/0.331%*
15.07.23/8.250%
3,477,622
4,057,869
1,873,951
599,535
708,457
650,554
581,274
1,089,067
1,089,067
1,089,067
1,089,067
1,590,994
502,205
1,988,865
2,177,287
5,786,712
528,302
1,718,567
3,279,776
4,241,786
6,525,025
4,434,787
1,285,004
1,948,062
3,000,819
120,000
0.05
0.05
0.03
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.02
0.01
0.03
0.03
0.08
0.01
0.02
0.04
0.06
0.09
0.06
0.02
0.03
0.04
0.00
03.05.13/5.875%
01.05.16/8.250%
15.01.17/7.125%
01.12.18/9.125%
15.02.19/11.375%
01.07.18/12.125%
1,741,836
1,510,198
1,026,945
1,807,609
914,050
3,233,750
0.02
0.02
0.01
0.02
0.01
0.04
17.05.29/8.015%*
437,778
0.01
16.01.30/6.414%*
279,767
0.00
16.06.33/7.094%*
171,060
0.00
16.09.33/6.414%
444,831
0.01
20.02.34/7.015%*
1,131,160
0.01
20.09.32/6.014%*
15.10.14/9.875%
01.01.17/8.250%
01.10.18/8.250%
1,238,470
2,271,500
1,385,062
1,111,912
0.02
0.03
0.02
0.01
01.02.19/7.375%
1,584,000
0.02
25.10.45/0.496%*
01.04.18/7.125%
25.01.36/0.656%*
01.04.17/10.875%
1,070,853
1,100,475
10,006
1,450,550
0.01
0.01
0.00
0.02
25.12.36/5.750%

As at 30 June 2011
Quantity/
Nominal
Value
1,655,000
1,760,000
220,000
104,296
357,634
483,384
100,296
7,908,000
2,400,000
4,500,000
4,914,000
2,775,000
60,000
920,000
1,280,000
210,000
1,300,000
2,400,000
1,558,390
115,000
1,150,000
11,600,000
840,000
435,000
1,470,000
6,680,000
5,643,000
1,118,480
266,545
1,260,000
170,000
3,000,000
615,000
2,100,000
1,525,000
3,130,000
2,145,000
1,095,000
1,329,999
7,750,000
1,145,000
1,595,000
1,585,000
8,081,000
946,000
1,230,000
2,276,000
2,116,136
690,000
1,800,000
3,015,000
6,451,321
2,566,050
3,250,000
790,000
6,609,000
5,150,000
5,340,000
1,515,000
2,400,000
11,300,000
1,800,000
980,000
540,000
990,000
1,200,000
370,000
8,050,000
832,000
875,000
540,000
2,515,000
3,733,050
Name of Securities
GXS Worldwide
Hanesbrands
Hanesbrands
Harborview Mortgage Loan
Trust 2005-11 2A1A
Trust 2005-16 2A1A
Trust 2005-8 1A2A
Trust 2005-9 2A1A
Hartford Life Institutional
Funding
HCA Holdings 144A
Helix Energy Solutions
Group 144A
Hertz 144A
Hertz 144A
Hexion US Finance
Hillman Group
Hillman Group 144A
Home Equity Asset Trust
2005-2 M2
Homer City Funding
Homer City Funding
HSN
HUB International
Holdings 144A
iGate 144A
ILFC E-Capital Trust I 144A
ILFC E-Capital Trust II 144A
Impac CMB Trust 2005-5 A1
Indymac Index Mortgage Loan
Intcomex
Integra Telecom Holdings 144A
Interline Brands
International Lease
Finance 144A
iPCS
Isle of Capri Casinos
ITC Deltacom
J Crew Group 144A
JB Poindexter & Co.
JBS USA
JDA Software Group
Jefferson Smurfit
JP Morgan Alternative Loan
Trust 2006-A4 A1
Kennedy-Wilson 144A
Landrys Holdings 144A
Landrys Restaurants
Lehman Mortgage Trust
2005-1 7A1
Lehman Mortgage Trust
2006-4 3A1
Level 3 Communications 144A
Level 3 Escrow 144A
Level 3 Financing
Level 3 Financing
Libbey Glass
Liberty Tire Recycling 144A
Linn Energy
Linn Energy 144A
Linn Energy 144A
Long Beach Mortgage Loan
Trust 2004-3 M1
Longview Fibre Paper &
Packaging 144A
Lyondell Chemical
Lyondell Chemical 144A
Mantech International
2005-5 3A1
Maturity/
Coupon
Market
Value
%
of
Net
Assets
1,679,825
1,755,600
212,210
0.02
0.02
0.00
19.08.45/0.496%*
74,863
0.00
19.01.36/0.426%*
209,521
0.00
19.09.35/0.516%*
322,982
0.00
20.06.35/0.526%*
15.05.15/6.000%*
80,240
6,642,720
0.00
0.09
15.08.13/0.581%*
15.05.21/7.750%
2,375,479
4,657,500
0.03
0.06
15.01.16/9.500%
15.10.18/7.500%
15.04.19/6.750%
15.11.20/9.000%
01.06.18/10.875%
01.06.18/10.875%
5,061,420
2,802,750
58,650
939,550
1,387,200
227,588
0.07
0.04
0.00
0.01
0.02
0.00
25.07.35/0.666%*
01.10.19/8.137%
01.10.26/8.734%
15.05.17/9.000%
01.08.16/11.250%
1,213,078
2,208,000
1,410,343
129,902
1,302,375
0.02
0.03
0.02
0.00
0.02
15.06.15/10.250%
15.03.20/8.625%
15.03.21/8.625%
01.05.16/9.000%
21.12.65/5.740%*
21.12.65/6.250%*
25.08.35/0.506%*
11,832,000
917,347
475,238
1,477,350
5,665,308
4,796,550
824,615
0.16
0.01
0.01
0.02
0.08
0.06
0.01
25.07.35/0.486%*
01.10.18/7.000%
01.08.21/6.875%
15.12.14/13.250%
15.04.16/10.750%
01.08.18/10.250%
15.11.18/7.000%
15.09.15/8.625%
15.03.17/8.750%
173,354
1,272,600
170,213
3,082,500
622,688
2,294,250
1,551,688
3,368,663
2,330,006
0.00
0.02
0.00
0.04
0.01
0.03
0.02
0.04
0.03
01.09.18/7.125%
01.05.14/3.523%*
01.03.14/7.000%
01.04.16/10.500%
01.03.19/8.125%
01.04.19/7.875%
15.03.14/8.750%
01.05.14/11.625%
15.12.14/8.000%
01.10.12/8.250%
1,166,175
1,280,124
7,677,266
1,202,250
1,534,390
1,577,075
8,182,013
1,092,630
1,353,000
71,125
0.02
0.02
0.10
0.02
0.02
0.02
0.11
0.01
0.02
0.00
25.09.36/5.950%*
01.04.19/8.750%
01.06.14/11.500%
01.12.15/11.625%
2,107,322
697,763
1,800,000
3,218,513
0.03
0.01
0.02
0.04
25.11.20/5.500%
6,370,593
0.08
2,471,642
3,510,000
793,950
6,788,600
5,473,163
5,493,525
1,647,563
2,388,000
15,020,356
1,912,500
1,060,551
530,550
1,027,125
0.03
0.05
0.01
0.09
0.07
0.07
0.02
0.03
0.20
0.03
0.01
0.01
0.01
25.07.34/0.756%*
950,872
0.01
01.06.16/8.000%
01.05.18/11.000%
01.11.17/8.000%
15.04.18/7.250%
15.10.15/9.500%
15.08.18/9.875%
371,850
8,943,067
923,761
918,750
557,280
2,582,905
0.01
0.12
0.01
0.01
0.01
0.03
15.06.15/9.750%
15.12.14/3.770%*
15.12.20/6.375%
Quantity/
Nominal
Value
3,025,000
1,415,000
1,600,000
2,800,000
1,800,000
2,100,000
25.08.21/5.000%
01.02.19/11.875%
01.07.19/8.125%
01.11.14/9.250%
01.02.18/10.000%
01.04.19/9.375%
15.02.15/10.000%
15.03.37/7.800%
15.06.58/10.750%*
01.10.16/11.000%
15.04.20/8.625%
15.05.19/6.500%
01.02.21/7.750%
1,680,000
9,350,000
1,450,000
14,645,000
5,000,000
1,720,000
4,100,792
2,086,878
769,166
3,750,000
360,000
1,975,000
275,000
4,900,000
825,000
1,043,000
7,601,000
412,754
3,275,000
1,000,000
3,700,000
22,237,000
1,255,000
1,565,000
2,500,000
455,000
5,180,354
8,556,258
1,015,000
1,945,000
1,610,000
1,520,000
1,380,000
650,000
1,330,000
1,850,000
2,325,000
3,500,000
2,000,000
6,137,000
250,000
1,670,000
580,000
5,000,000
325,000
1,500,000
1,050,000
440,000
2,120,000
1,325,000
2,800,000
3,500,000
1,626,932
745,000
1,840,000
1,755,000
1,100,000
2,440,000
590,000
3,500,000
2,065,000
2,150,000
2,670,000
725,117
1,835,030
317,987
946,783
25.08.35/5.750%
3,212,949
0.04
121
Name of Securities
McJunkin Red Man 144A

MetLife Capital Trust X 144A
Metropolitan Life Global
Funding I 144A
Funding I 144A
Funding I 144A
MGM Resorts International 144A
Michael Foods 144A
Michaels Stores
Michaels Stores
Midwest Generation
Morgan Stanley ABS Capital I
2004-OP1 M1
Morgan Stanley Capital I
2004-HQ3 A3
Multiplan 144A
Mylan 144A
Mylan 144A
Nalco 144A
Nationwide Mutual
Insurance 144A
NBC Acquisition
Nebraska Book
Nebraska Book
New Century Home Equity Loan
Trust 2003-5 AI7
New Enterprise Stone &
Lime 144A
NewPage
NewPage
NewPage
Nexeo Solutions Finance 144A
Nexstar Broadcasting
NFR Energy 144A
NII Capital
Northwest Airlines 2007-1 A
NRG Energy
NRG Energy 144A
OnCure Holdings
Oshkosh
Packaging Dynamics 144A
PAETEC Holding
PAETEC Holding
PAETEC Holding 144A
Park Place Securities
2005-WHQ3 M1
Park Place Securities
2005-WHQ3 M2
PE Paper Escrow GmbH 144A
Peninsula Gaming
Peninsula Gaming 144A
Petco Animal Supplies 144A
Petrohawk Energy 144A
Pilgrims Pride 144A
Pittsburgh Glass Works 144A
Plastipak Holdings 144A
Polymer Group 144A
Polypore International
Pricoa Global Funding I 144A
Pricoa Global Funding I 144A
Prime Mortgage Trust
2006-1 2A5
Quebecor
Quebecor Printing
Quebecor World Capital
International
Radiation Therapy Services
Rain CII Carbon 144A
RBS Global
Real Mex Restaurants
Realogy 144A
Reichhold Industries 144A
Renaissance Home Equity Loan
Trust 2005-4 A3
Residential Accredit Loans
2003-QS20 CB
2005-QO4 2A1
2006-QS18 3A3
Maturity/
Coupon
Market
Value
%
of
Net
Assets
15.12.16/9.500%
01.04.19/7.750%
08.04.38/9.250%
3,070,375
1,400,850
1,960,000
0.04
0.02
0.03
09.11.11/5.125%
2,846,309
0.04
10.04.13/5.125%
1,915,918
0.03
18.09.13/5.200%
15.03.20/9.000%
01.11.16/10.000%
15.07.18/9.750%
01.11.16/0.000%*
01.11.16/11.375%
01.11.18/7.750%
02.01.16/8.560%
2,283,935
1,846,505
9,997,862
1,551,500
15,175,881
5,350,000
1,715,700
4,203,311
0.03
0.02
0.13
0.02
0.20
0.07
0.02
0.06
25.11.34/0.766%*
1,714,249
0.02
13.01.41/4.490%
01.09.18/9.875%
15.07.17/7.625%
15.07.20/7.875%
15.01.19/6.625%
779,023
4,003,125
391,050
2,152,750
282,563
0.01
0.05
0.01
0.03
0.00
15.08.39/9.375%
15.03.13/11.000%
01.12.11/10.000%
15.03.12/8.625%
6,105,101
66,000
1,040,393
5,738,755
0.08
0.00
0.01
0.08
25.11.33/5.150%*
01.09.18/11.000%
01.05.12/6.523%
01.05.12/10.000%
31.12.14/11.375%
01.03.18/8.375%
15.04.17/8.875%
15.02.17/9.750%
15.08.16/10.000%
15.05.15/4.417%*
01.11.19/7.027%
01.09.20/8.250%
15.01.18/7.625%
15.05.17/11.750%
01.03.17/8.250%
01.02.16/8.750%
15.07.15/9.500%
30.06.17/8.875%
01.12.18/9.875%
416,415
0.01
3,049,844
266,250
1,026,750
20,513,633
1,276,963
1,654,988
2,412,500
530,075
4,947,238
8,727,383
1,032,763
1,963,234
1,670,375
1,630,200
1,407,600
676,813
1,399,825
1,914,750
0.04
0.00
0.01
0.27
0.02
0.02
0.03
0.01
0.07
0.12
0.01
0.03
0.02
0.02
0.02
0.01
0.02
0.03
25.06.35/0.606%*
2,100,576
0.03
25.06.35/0.636%*
01.08.14/12.000%
15.08.17/10.750%
15.08.17/10.750%
01.12.18/9.250%
01.06.19/6.250%
15.12.18/7.875%
15.04.16/8.500%
15.12.15/8.500%
15.02.18/8.250%
15.02.18/8.250%
01.02.19/7.750%
15.11.17/7.500%
25.06.12/4.625%
26.06.12/0.377%*
2,585,538
2,270,000
6,725,845
273,125
1,782,725
563,325
4,521,875
334,750
1,567,500
992,250
415,800
2,135,900
1,411,125
2,884,314
3,483,613
0.03
0.03
0.09
0.00
0.02
0.01
0.06
0.00
0.02
0.01
0.01
0.03
0.02
0.04
0.05
25.06.36/6.000%
15.01.15/9.750%
01.08.27/6.500%
15.11.13/6.125%
1,494,994
37,250
92,000
87,750
0.02
0.00
0.00
0.00
01.04.18/7.125%
15.04.17/9.875%
01.12.18/8.000%
01.05.18/8.500%
01.01.13/14.000%
15.02.19/7.875%
15.08.14/9.000%
1,186,625
2,446,100
631,300
3,696,875
2,013,375
2,117,750
2,409,675
0.02
0.03
0.01
0.05
0.03
0.03
0.03
664,014
0.01
1,899,489
0.03
25.12.45/0.466%*
172,988
0.00
25.12.21/5.750%
850,320
0.01
25.02.36/5.565%*
25.11.18/5.000%

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
1,950,352 Residential Accredit Loans

2007-QS4 5A2
1,399,181 Residential Asset Securitization
Trust 2004-A6 A1
6,191,287 Residential Funding Mortgage
2,410,000 Revlon Consumer Products
7,800,000 Roseton Danskammer Pass
Through Trust Series B
2,988,000 Rouse
12,725,000 RR Donnelley & Sons Co.
2,750,000 RSC Equipment Rental
615,000 RSC Equipment Rental
225,000 RSC Equipment Rental 144A
2,035,000 Sally Holdings
595,000 SandRidge Energy 144A
945,000 SandRidge Energy 144A
2,121,202 Saxon Asset Securities Trust
2002-3 AF6
510,000 SBA Telecommunications
150,000 SBA Telecommunications
2,008,000 Sealy Mattress 144A
1,853,000 Sequa 144A
2,760,000 ServiceMaster 144A
225,750 SG Mortgage Securities Trust
2006-OPT2 A3A
4,715,000 Shingle Springs Tribal Gaming
Authority 144A
5,080,000 Simmons Bedding 144A
205,000 Sinclair Television Group
670,000 Sinclair Television Group 144A
2,750,000 Sirius XM Radio 144A
4,747,000 Sitel
3,825,000 Sizzling Platter 144A
5,396,000 Smurfit-Stone Container
Enterprises
985,000 Solo Cup Operating
15,137,452 Spectrum Brands
3,155,000 Spectrum Brands 144A
1,060,000 Speedy Cash 144A
3,750,000 SquareTwo Financial
1,670,000 SSI Investments II/SSI Co-Issuer
455,000 Steinway Musical
Instruments 144A
660,000 Stewart Enterprises 144A
4,785,000 Stone and Webster
200,000 Stream Global Services
5,043,020 Structured Asset Securities
2005-WF4 A4
225,000 Sugarhouse HSP Gaming Prop
Mezz 144A
6,640,000 Sungard Data Systems
910,000 SunGard Data Systems
1,229,846 Surgical Care Affiliates 144A
4,805,000 Texas Competitive Electric
Holdings 144A
1,745,000 Tomkins 144A
5,500,000 Toys R US
75,000 Travelport
585,000 Travelport
855,000 Travelport
110,000 Trilogy International
Finance 144A
1,000,000 TRW Automotive 144A
1,080,000 UCI International
503,693 United Airlines Pass Through
Trust 2009-2B
International
1,845,000 United Surgical Partners
International
4,250,000 Universal City Development
Partners
3,355,000 US Oncology
2,792,000 USI Holdings 144A
1,615,000 Vail Resorts 144A
1,360,000 Valeant Pharmaceuticals
International 144A
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
25.04.22/5.500%
1,630,275
0.02
25.08.19/5.000%
1,399,504
0.02
25.10.36/6.000%
15.11.15/9.750%
15.05.18/8.500%
15.04.19/9.000%
15.02.21/6.875%
15.02.21/8.250%
5,204,449
2,594,775
1,179,000
3,536,150
463,125
962,623
0.07
0.03
0.02
0.05
0.01
0.01
08.11.16/7.670%
15.09.12/7.200%
15.06.20/7.625%
15.11.19/10.250%
01.02.21/8.250%
15.07.17/10.000%
15.11.14/9.250%
01.06.18/8.000%
15.03.21/7.500%
6,942,000
3,129,930
12,706,803
3,018,125
607,313
251,438
2,126,575
603,925
950,906
0.09
0.04
0.17
0.04
0.01
0.00
0.03
0.01
0.01
25.05.31/5.407%*
15.08.16/8.000%
15.08.19/8.250%
15.04.16/10.875%
01.12.15/11.750%
15.07.15/10.750%*
2,089,604
545,063
161,250
2,228,880
2,019,770
2,925,600
0.03
0.01
0.00
0.03
0.03
0.04
25.10.36/0.236%*
223,125
0.00
15.06.15/9.375%
15.07.15/11.250%
15.10.18/8.375%
01.11.17/9.250%
01.04.15/8.750%
01.04.18/11.500%
15.04.16/12.250%
15.07.14/10.000%
3,316,225
5,359,400
215,250
737,335
3,040,125
4,379,108
3,901,500
44,080
0.04
0.07
0.00
0.01
0.04
0.06
0.05
0.00
15.03.17/8.000%
01.11.13/10.500%
28.08.19/12.000%*
15.06.18/9.500%
15.05.18/10.750%
01.04.17/11.625%
01.06.18/11.125%
175,370
1,023,986
16,141,595
3,470,500
1,089,150
3,900,000
1,853,700
0.00
0.01
0.21
0.05
0.01
0.05
0.02
01.03.14/7.000%
15.04.19/6.500%
01.07.12/8.375%
01.10.14/11.250%
462,394
662,475
149,531
214,000
0.01
0.01
0.00
0.00
25.11.35/0.546%*
4,491,064
0.06
15.04.16/8.625%
15.08.15/10.250%
15.11.18/7.375%
15.07.15/8.875%*
230,625
6,894,212
911,138
1,269,816
0.00
0.09
0.01
0.02
01.10.20/11.500%
01.10.18/9.000%
15.04.13/7.875%
01.09.14/4.879%*
01.09.14/9.875%
01.03.16/9.000%
4,732,925
1,875,875
5,817,653
64,313
539,557
767,363
0.06
0.03
0.08
0.00
0.01
0.01
15.08.16/10.250%
15.03.17/7.250%
15.02.19/8.625%
112,200
1,110,000
1,115,100
0.00
0.01
0.01
15.01.16/12.000%
554,062
0.01
1,008,000
0.01
01.05.17/8.875%
01.05.17/9.250%*
1,937,250
0.03
15.11.16/10.875%
15.05.21/8.500%
15.08.17/9.125%
10.11.11/0.000%
29.02.12/0.875%
15.05.41/4.375%
15.05.15/9.750%
01.05.19/6.500%
5,078,750
735,375
75,488
9,022,197
10,048,633
24,511,163
2,805,960
1,623,075
0.07
0.01
0.00
0.12
0.13
0.32
0.04
0.02
15.07.16/6.500%
1,343,000
0.02
Name of Securities
Maturity/
Coupon

International 144A
International 144A
International 144A
445,000 Venoco 144A
1,510,000 Vertellus Specialties 144A
1,994,000 Viasystems 144A
2,850,000 Visant
575,000 Visteon 144A
515,000 Vulcan Materials
1,307,479 Washington Mutual Alternative
Mortgage Pass-Through
2,120,800 Washington Mutual Alternative
Mortgage Pass-Through
14,502,480 Wells Fargo Alternative Loan
Trust 2007-PA3 3A6
4,310,000 Wells Fargo Home Equity Trust
2004-2 AI6
5,608,851 Wells Fargo Mortgage Backed
Securities Trust 2006-1 A3
1,500,000 Western Refining 144A
4,000,000 Western Refining 144A
510,000 Windstream
2,410,000 Windstream
605,000 Windstream
1,555,000 WMG Acquisition
325,000 WMG Holdings
9,000,000 XM Satellite Radio 144A
2,100,000 Yankee Candle
315,000 YCC Holdings/Yankee
Finance 144A
1,200,000 Yonkers Racing 144A
1,685,000 Zayo Group/Zayo Capital
LUXEMBOURG
345,000 Aguila 3 144A
2,120,000 Intelsat Luxembourg 144A
756,162 Wind Acquisition Finance 144A
31.01.18/7.875%
15.06.16/9.500%
15.06.16/11.250%
01.04.19/7.250%
15.10.20/7.250%
04.02.17/11.250%
04.02.17/11.500%*
04.02.17/11.500%*
15.07.17/11.750%
15.07.17/12.250%*
CANADA
3,000,000 Abitibi-Consolidated Co. of
Canada
2,715,000 Gateway Casinos &
Entertainment 144A
1,320,000 Novelis
1,675,000 Novelis
4,915,000 Quebecor Media
255,000 Quebecor Media
1,125,000 Telesat Canada/Telesat
4,425,000 Telesat Canada/Telesat
1,350,000 Trinidad Drilling 144A
1,230,000 Videotron Ltee
UNITED KINGDOM
4,725,000 Ineos Finance 144A
1,560,000 Ineos Group Holdings 144A
7,150,000 Lloyds TSB Bank
500,000 Virgin Media Finance
122
Market
Value
%
of
Net
Assets
01.10.17/6.750%
1,239,700
0.02
01.12.18/6.875%
3,061,500
0.04
15.07.22/7.250%
15.02.19/8.875%
01.10.15/9.375%
15.01.15/12.000%
01.10.17/10.000%
15.04.19/6.750%
15.06.21/7.500%
1,051,850
444,444
1,566,625
2,223,310
2,921,250
550,563
512,940
0.01
0.01
0.02
0.03
0.04
0.01
0.01
25.10.35/5.500%
1,187,603
0.02
0.02
25.02.36/5.750%
1,770,742
25.07.37/6.500%
10,656,314
0.14
25.05.34/5.000%*
4,413,905
0.06
25.03.21/5.000%
5,591,517
0.07
25.09.36/6.000%
1,311,358
0.02
25.09.36/6.000%
1,727,795
0.02
25.08.37/6.000%
657,890
0.01
25.08.37/6.000%
751,685
0.01
25.04.22/5.500%
2,935,149
0.04
25.05.22/5.500%
15.06.14/10.750%*
15.06.17/11.250%
01.09.18/8.125%
01.10.21/7.750%
01.04.23/7.500%
15.06.16/9.500%
15.12.14/9.500%*
01.11.17/7.875%
01.05.20/7.875%
15.08.20/7.750%
01.08.13/13.000%
15.02.17/9.750%
3,111,901
1,612,500
4,515,000
542,959
2,524,475
608,025
1,648,362
335,379
21,868
1,017,785
612,203
10,565,325
2,220,750
0.04
0.02
0.06
0.01
0.03
0.01
0.02
0.00
0.00
0.01
0.01
0.14
0.03
15.02.16/10.250%*
15.07.16/11.375%
15.03.17/10.250%
315,895
1,308,000
1,861,925
0.00
0.02
0.02
1,405,637,129
18.58
352,393
5,122,821
2,355,420
1,139,119
2,478,750
1,464,375
20,932,391
2,268,400
7,024,090
870,694
0.00
0.07
0.03
0.02
0.03
0.02
0.28
0.03
0.09
0.01
44,008,453
0.58
01.04.15/8.375%
33,750
0.00
15.11.17/8.875%
15.12.17/8.375%
15.12.20/8.750%
15.03.16/7.750%
15.03.16/7.750%
01.11.15/11.000%
01.11.17/12.500%
15.01.19/7.875%
15.12.15/6.375%
2,994,175
1,405,800
1,804,813
5,111,600
265,200
1,226,250
5,332,125
1,411,191
1,273,050
0.04
0.02
0.02
0.07
0.00
0.02
0.07
0.02
0.02
20,857,954
0.28
4,984,875
1,543,565
7,136,236
565,063
0.07
0.02
0.09
0.01
15.05.15/9.000%
15.02.16/8.500%
13.01.20/5.800%
15.08.16/9.500%

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
1,190,000 Virgin Media Finance
FRANCE
6,940,000 CMA CGM 144A
NETHERLANDS
1,800,000 Bluewater Holding
1,616,000 NXP/NXP Funding
970,000 NXP/NXP Funding
3,505,000 NXP/NXP Funding 144A
1,865,000 Sensata Technologies 144A
MARSHALL ISLANDS
8,927,000 General Maritime
450,000 Navios Logistics
Finance US 144A
701,000 Navios Maritime Acquisition
Finance US 144A
IRELAND
360,000
2,375,000
1,209,040
3,500,000
BERMUDA
2,325,000
1,015,000
895,000
3,300,000
Ardagh Packaging Finance 144A

Ardagh Packaging Finance 144A
AWAS Aviation Capital 144A
Elan Finance 144A
Catlin Insurance 144A

Digicel 144A
Digicel Group 144A
Stratus Technologies Bermuda
CAYMAN ISLANDS
2,465,000 UPCB Finance III 144A
AUSTRALIA
1,000,000 FMG Resources August
2006 Pty 144A
2006 Pty 144A
Maturity/
Coupon
15.10.19/8.375%
16.05.12/5.500%
17.07.14/3.276%*
15.10.13/3.028%*
15.10.15/9.500%
01.08.18/9.750%
15.05.19/6.500%
Market
Value
%
of
Net
Assets
1,327,594
0.02
15,557,333
0.21
10,317,270
0.14
10,317,270
0.14
1,458,000
1,611,960
1,038,647
3,912,456
1,869,663
0.02
0.02
0.01
0.05
0.03
9,890,726
0.13
15.11.17/12.000%
7,126,513
0.09
15.04.19/9.250%
465,750
0.01
01.11.17/8.625%
687,856
0.01
15.10.17/7.375%
15.10.20/9.125%
15.10.16/7.000%
15.10.16/8.750%
19.01.17/7.249%*
01.09.17/8.250%
15.04.18/10.500%
29.03.15/12.000%
8,280,119
0.11
370,800
2,493,750
1,245,311
3,688,125
0.00
0.03
0.02
0.05
7,797,986
0.10
2,202,938
1,058,138
1,001,541
3,147,375
0.03
0.02
0.01
0.04
7,409,992
0.10
2,449,828
0.03
2,449,828
0.03
01.02.16/6.375%
1,002,485
0.01
01.02.18/6.875%
813,324
0.01
1,815,809
0.02
1,534,022,599
20.28
19,997,403
19,996,909
24,991,994
14,991,629
34,970,919
6,494,074
24,973,998
49,996,449
49,995,619
19,995,171
9,999,746
23,912,840
24,994,059
69,988,202
22,999,273
13,999,539
99,995,862
38,966,475
24,982,408
49,994,844
24,996,843
14,497,550
24,997,810
24,992,972
19,993,646
14,998,140
34,996,325
24,984,808
24,975,561
9,989,947
0.26
0.26
0.33
0.20
0.46
0.09
0.33
0.66
0.66
0.26
0.13
0.32
0.33
0.93
0.30
0.19
1.32
0.52
0.33
0.66
0.33
0.19
0.33
0.33
0.26
0.20
0.46
0.33
0.33
0.13
01.07.20/6.625%
Total Bonds
Commercial Papers
20,000,000 Amsterdam Funding
15,000,000 Atlantis One Funding
50,000,000 Charta
50,000,000 Charta
20,000,000 Charta
10,000,000 Fairway Finance
70,000,000 Govco
23,000,000 Ing (US) Funding
14,000,000 Intesa Funding
100,000,000 Intesa Funding
39,000,000 Kells Funding
25,000,000 Kells Funding
50,000,000 Manhattan Asset Funding
25,000,000 Metlife Short Term Funding
25,000,000 Metlife Short Term Funding
20,000,000 Natixis US Finance
15,000,000 Nordea North America
10,000,000 Northern Pines Funding
21.07.11/0.000%
25.07.11/0.000%
29.08.11/0.000%
23.08.11/0.000%
23.09.11/0.000%
04.10.11/0.000%
10.11.11/0.000%
11.07.11/0.000%
13.07.11/0.000%
12.08.11/0.000%
05.07.11/0.000%
20.07.11/0.000%
16.08.11/0.000%
25.07.11/0.000%
05.07.11/0.000%
05.07.11/0.000%
06.07.11/0.000%
19.09.11/0.000%
26.10.11/0.220%
18.07.11/0.000%
22.07.11/0.000%
28.07.11/0.000%
12.07.11/0.000%
15.08.11/0.000%
08.08.11/0.000%
12.07.11/0.000%
18.07.11/0.000%
06.09.11/0.000%
02.11.11/0.000%
28.09.11/0.000%
Quantity/
Nominal
Value
Name of Securities
10,000,000
20,940,000
48,036,000
20,000,000
12,996,000
15,000,000
20,000,000
19,000,000
25,000,000
50,000,000
1,000,000
20,000,000
36,928,000
48,000,000
15,000,000
Northern Pines Funding

Old Line Funding
Old Line Funding
Private Export Funding
Regency Markets No.1
Socit Gnrale North America
Straight Funding
Straight Funding
Straight Funding
Straight Funding
Straight Funding
Tasman Funding
Thames Asset Global
Securitization
Thunder Bay Funding
Thunder Bay Funding
Toyota Motor Credit
Toyota Motor Credit
UOB Funding
Versailles
Versailles
Windmill Funding
Working Capital Management
45,479,000
30,018,000
25,000,000
37,444,000
5,000,000
10,000,000
70,000,000
10,000,000
49,000,000
AUSTRALIA
7,360,000 ANZ Banking Group
10,000,000 ANZ Banking Group
Australia
Australia
Australia
Australia
Australia
43,000,000 Liberty Funding
15,000,000 Liberty Funding
10,000,000 Suncorp-Metway
78,000,000 Suncorp-Metway
10,000,000 Westpac Banking
GERMANY
85,275,000
40,000,000
29,000,000
20,000,000
5,000,000
10,000,000
5,000,000
20,000,000
10,000,000
50,000,000
Commerzbank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Erste Abwicklungsanstalt
NRW Bank
NRW Bank
NRW Bank
NRW Bank
NRW Bank
FRANCE
20,000,000 BNP Paribas
25,000,000 Caisse dAmortissement de la
Dette Sociale
76,000,000 Caisse dAmortissement de la
Dette Sociale
25,000,000 LMA
6,000,000 Natixis
SWITZERLAND
25,000,000 Crdit Suisse
123
Maturity/
Coupon
Market
Value
%
of
Net
Assets
03.11.11/0.000%
24.08.11/0.000%
31.08.11/0.000%
31.10.11/0.000%
13.07.11/0.000%
20.07.11/0.000%
10.08.11/0.000%
23.08.11/0.000%
27.07.11/0.000%
01.08.11/0.000%
10.08.11/0.000%
23.08.11/0.000%
24.08.11/0.000%
25.07.11/0.000%
9,986,700
20,934,177
48,020,945
19,984,283
12,995,323
14,998,444
19,996,064
18,993,234
24,996,396
49,991,461
999,804
19,995,141
36,918,301
47,993,532
0.13
0.28
0.64
0.26
0.17
0.20
0.26
0.25
0.33
0.66
0.01
0.26
0.49
0.64
18.07.11/0.000%
05.07.11/0.000%
16.09.11/0.000%
23.08.11/0.000%
30.08.11/0.000%
11.07.11/0.000%
17.08.11/0.000%
14.09.11/0.000%
21.07.11/0.000%
13.07.11/0.000%
14,998,754
45,477,369
30,006,826
24,992,415
37,431,168
4,999,506
9,996,225
69,962,640
9,998,702
48,996,156
0.20
0.60
0.40
0.33
0.50
0.07
0.13
0.93
0.13
0.65
1,509,324,581
19.95
7,353,095
9,989,657
0.10
0.13
06.07.11/0.000%
14,999,419
0.20
07.07.11/0.000%
14,998,962
0.20
04.11.11/0.000%
19,980,847
0.27
12.12.11/0.000%
59,937,105
0.79
15.12.11/0.000%
24.08.11/0.000%
14.09.11/0.000%
06.07.11/0.000%
14.07.11/0.000%
22.08.11/0.000%
26.09.11/0.000%
03.10.11/0.000%
04.11.11/0.000%
12.12.11/0.000%
19,978,415
42,987,381
14,994,557
9,999,621
77,993,724
9,996,733
49,959,667
19,982,677
29,969,309
9,989,515
0.27
0.57
0.20
0.13
1.03
0.13
0.66
0.26
0.40
0.13
413,110,684
5.47
85,273,273
39,987,571
28,969,255
19,976,778
4,991,606
9,999,617
4,999,462
19,998,309
9,989,034
49,946,943
1.13
0.53
0.38
0.26
0.07
0.13
0.07
0.26
0.13
0.66
274,131,848
3.62
09.08.11/0.000%
26.10.11/0.000%
19,987,624
39,946,245
0.26
0.53
07.07.11/0.000%
24,998,196
0.33
16.12.11/0.000%
17.08.11/0.000%
30.08.11/0.000%
26.08.11/0.000%
02.08.11/0.000%
15.08.11/0.000%
75,911,290
49,984,498
24,989,502
5,997,407
11,497,333
19,993,611
1.00
0.66
0.33
0.08
0.15
0.27
273,305,706
3.61
24,976,106
49,999,028
29,998,427
69,986,622
0.33
0.66
0.40
0.92
174,960,183
2.31
23.11.11/0.000%
08.12.11/0.000%
05.07.11/0.000%
29.08.11/0.000%
16.11.11/0.000%
01.12.11/0.000%
14.12.11/0.000%
06.07.11/0.000%
11.07.11/0.000%
14.07.11/0.000%
28.11.11/0.000%
14.12.11/0.000%
26.10.11/0.000%
05.07.11/0.000%
13.07.11/0.000%
12.08.11/0.000%

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
UNITED KINGDOM
50,000,000 BNZ International Funding
15,830,000 Thames Asset Global
Securitization
Securitization
Securitization
BELGIUM
25,000,000 Royal Park Investments
SWEDEN
30,000,000 Svenska Handelsbanken
LUXEMBOURG
25,000,000 Banque et Caisse dEpargne de
lEtat
FINLAND
25,000,000 BNP Paribas/Finland
Maturity/
Coupon
22.09.11/0.000%
24.08.11/0.000%
Market
Value
39,967,278
49,984,168
%
of
Net
Assets
Quantity/
Nominal
Value
15,828,042
0.21
29.07.11/0.000%
35,993,550
0.47
18.08.11/0.000%
01.07.11/0.000%
13.07.11/0.000%
20.07.11/0.000%
15.07.11/0.000%
08.12.11/0.000%
08.07.11/0.000%
06.09.11/0.000%
07.11.11/0.000%
24,994,114
0.33
166,767,152
2.20
24,999,819
9,999,028
21,996,709
0.33
0.13
0.29
56,995,556
0.75
29,996,471
9,989,433
0.40
0.13
39,985,904
0.53
24,998,901
0.33
24,998,901
0.33
24,984,096
0.33
24,984,096
0.33
24,960,939
0.33
24,960,939
0.33
CANADA
21,000,000 Toyota Motor Credit/Canada
05.08.11/0.000%
20,995,115
0.28
20,995,115
0.28
JAPAN
20,000,000 Sumitomo Trust & Banking
08.07.11/0.000%
19,999,079
0.27
19,999,079
0.27
NEW ZEALAND
10,000,000 ASB Finance
01.08.11/0.000%
9,998,193
0.13
9,998,193
0.13
3,034,517,937
40.11
18,000,000
25,000,000
10,000,000
9,994,238
25,000,000
40,000,000
25,000,000
20,000,000
50,000,000
25,000,000
20,000,000
30,000,000
20,000,000
25,000,000
50,000,000
15,000,000
25,000,000
20,000,000
24,998,765
0.24
0.33
0.13
0.13
0.33
0.53
0.33
0.27
0.66
0.33
0.27
0.40
0.26
0.33
0.66
0.20
0.33
0.26
0.33
477,993,003
6.32
20,000,000
25,000,000
15,000,000
10,000,000
36,000,000
10,000,044
100,000,702
10,000,080
0.27
0.33
0.20
0.13
0.48
0.13
1.32
0.13
JAPAN
18,000,000
25,000,000
10,000,000
10,000,000
25,000,000
40,000,000
25,000,000
20,000,000
50,000,000
25,000,000
20,000,000
30,000,000
20,000,000
25,000,000
50,000,000
15,000,000
25,000,000
20,000,000
25,000,000
Bank of Tokyo-Mitsubishi
Mitsubishi Trust & Banking
Mitsubishi Trust & Banking
Mizuho Corporate Bank
Norinchukin Bank
Norinchukin Bank
Norinchukin Bank
Norinchukin Bank
Norinchukin Bank
Shizuoka Bank
Sumitomo Mitsui Banking
Sumitomo Trust & Banking

20,000,000 Bank of Nova Scotia/Houston
25,000,000 BNP Paribas/New York
36,000,000 Crdit Industriel et Commercial
26.07.11/0.400%
07.08.11/0.190%
08.08.11/0.400%
22.08.11/0.000%
01.07.11/0.240%
25.07.11/0.230%
01.07.11/0.200%
07.07.11/0.200%
12.07.11/0.190%
05.07.11/0.230%
06.07.11/0.220%
11.07.11/0.220%
14.07.11/0.210%
18.07.11/0.220%
08.07.11/0.210%
01.07.11/0.200%
05.07.11/0.180%
25.08.11/0.350%
08.07.11/0.000%
21.07.11/0.180%*
26.09.11/0.550%
05.10.11/0.490%
04.11.11/0.440%
18.07.11/0.260%
01.08.11/0.245%
19.08.11/0.225%
26.08.11/0.300%
Maturity/
Coupon
Crdit Industriel et Commercial

Deutsche Bank/New York
DnB NOR Bank/New York
Natixis/New York
RBC/New York
Socit Gnrale/New York
/New York
50,000,000 The Bank of
Tokyo-Mitsubishi/New York
50,000,000 UBS/Stamford Branch
06.09.11/0.285%
04.10.11/0.350%
14.07.11/0.210%
27.07.11/0.195%
01.08.11/0.190%
17.10.11/0.320%*
20.07.11/0.230%*
12.08.11/0.250%
10,000,000
10,000,000
20,000,000
11,000,000
25,000,000
10,000,000
20,000,000
25,000,000
2,000,000
0.53
0.66
20.07.11/0.000%
Name of Securities
2,000,000
0.03
50,000,000
50,000,000
0.66
0.66
459,000,922
6.07
40,000,000
30,000,000
15,000,032
10,000,099
10,000,000
25,000,000
50,000,000
5,000,000
25,000,173
20,000,000
20,000,000
15,000,000
15,000,000
25,000,000
25,000,000
15,000,000
50,000,000
20,000,000
0.53
0.40
0.20
0.13
0.13
0.33
0.66
0.07
0.33
0.26
0.26
0.20
0.20
0.33
0.33
0.20
0.66
0.27
415,000,304
5.49
100,000,258
9,000,000
25,000,000
25,000,000
25,000,000
18,981,151
4,000,075
10,000,000
1.32
0.12
0.33
0.33
0.33
0.25
0.06
0.13
216,981,484
2.87
16.09.11/0.280%
01.11.11/0.440%
14.07.11/0.320%
55,000,616
5,000,000
25,000,098
0.73
0.07
0.33
01.08.11/0.410%
10,000,045
0.13
03.08.11/0.410%
25,000,234
0.33
09.03.12/0.360%
26.08.11/0.250%
11.08.11/0.260%
20,000,701
20,000,000
25,000,147
0.27
0.26
0.33
185,001,841
2.45
NETHERLANDS
100,000,000 ABN Amro Bank
9,000,000 ING Bank
25,000,000 ING Bank
25,000,000 ING Bank
25,000,000 ING Bank
19,000,000 Nederlandse Waterschapsbank
18.07.11/0.195%
01.07.11/0.330%
11.08.11/0.270%
22.08.11/0.260%
02.09.11/0.260%
28.10.11/0.000%
06.09.11/0.460%
03.11.11/0.280%
NORWAY
10,000,000 DnB NOR Bank
124
0.13
0.13
0.27
0.15
0.33
0.13
0.26
0.33
18.07.11/0.190%
29.08.11/0.190%
22.09.11/0.350%
07.11.11/0.270%
15.07.11/0.300%
09.09.11/0.295%
08.07.11/0.310%
15.07.11/0.280%
11.08.11/0.250%
16.08.11/0.580%
19.08.11/0.570%
22.08.11/0.530%
23.08.11/0.510%
26.08.11/0.350%
16.09.11/0.465%
29.09.11/0.330%
05.08.11/0.250%
15.08.11/0.240%
09.09.11/0.220%
29.07.11/0.200%
AUSTRALIA
Australia
Australia
25,000,000 National Australia Bank
2,000,000 Rabobank Nederland Australia
10,000,096
10,000,000
20,000,000
11,000,000
25,000,000
10,000,000
20,000,000
25,000,000
%
of
Net
Assets
25.07.11/0.424%
UNITED KINGDOM
15,000,000 Clydesdale Bank
10,000,000 Clydesdale Bank
10,000,000 Crdit Agricole/London
5,000,000 HSBC Bank
20,000,000 RBS
FRANCE
Mutuel
25,000,000 BPCE
Consignations
Consignations
Consignations
Market
Value
06.07.11/0.240%
10,000,000
0.13
12.12.11/0.230%
07.09.11/0.340%
29.09.11/0.340%
01.11.11/0.250%
28.11.11/0.300%
12.12.11/0.283%
10.08.11/0.000%
31.08.11/0.220%
01.11.11/0.290%
37,000,000
25,000,000
30,000,381
3,000,000
10,000,000
10,000,116
1,999,096
15,000,000
36,000,000
0.49
0.33
0.40
0.04
0.13
0.13
0.03
0.20
0.47
177,999,593
2.35
10,000,015
50,000,000
49,981,070
0.13
0.66
0.66
109,981,085
1.45
11.07.11/0.220%
05.08.11/0.195%
09.09.11/0.000%

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
DENMARK
105,000,000 Danske Bank
CANADA
31,000,000
25,000,000
20,000,000
10,750,000
15,000,000
Bank of Nova Scotia

Bank of Nova Scotia
Bank of Nova Scotia
Bank of Nova Scotia
National Bank of Canada
SWEDEN
FINLAND
20,000,000 Nordea Bank/Finland
SWITZERLAND
15,000,000 Crdit Suisse
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
26.08.11/0.190%
31.08.11/0.190%
01.09.11/0.190%
06.09.11/0.430%
06.07.11/0.230%
105,000,321
1.39
105,000,321
1.39
31,000,000
25,000,000
20,000,000
10,750,000
15,000,000
0.41
0.33
0.26
0.14
0.20
101,750,000
1.34

647,000 US Concrete 144A
08.07.11/0.210%
25.08.11/0.350%
07.09.11/0.320%
27.10.11/0.280%

350,208 Advent Claymore Global Convertible Securities &
Income Fund
137,000 Dreyfus High Yield Strategies Fund
305,100 ING Prime Rate Trust
259,000 Invesco Van Kampen Senior Income Trust
399,500 Nuveen Multi-Strategy Income and Growth Fund 2
801,000 Nuveen Municipal Value Fund
50,700 SPDR Barclays Capital High Yield Bond

Total Investments
779,635
0.01
19,423,676
0.26
7,464,432,184
98.67
240,432,781
3.18
(139,643,065)
(1.85)
45,000,000
0.59
Total Net Assets
7,565,221,900
100.00
20,000,000
0.26
20,000,000
0.26
15,000,000
0.20
15,000,000
0.20
2,328,708,553
30.78
3,144,870
665,820
1,874,840
1,301,475
3,647,435
7,405,245
2,030,282
0.04
0.01
0.02
0.02
0.05
0.10
0.03
20,069,967
0.27
0.27
15.02.16/10.625%*
3,700,000
0.05
15.11.12/3.917%*
14.03.16/10.500%*
15.08.15/13.750%
1,018,750
2,328,000
1,100,000
0.01
0.03
0.01
61,636
0.00

Bonds
01.09.21/5.912%
465,476
0.01
01.12.31/8.250%
1,235,986
0.02
01.11.16/10.400%
15.11.14/4.136%*
30.06.17/10.750%
30.06.17/10.750%
1,288,337
5,610,000
1,325,085
407,000
0.02
0.07
0.02
0.01
18,540,270
0.25
8,438
1,451
73,778
20,104
0.00
0.00
0.00
0.00
103,771
0.00
18,644,041
0.25
20.06.13/6.000%
01.04.28/7.500%
01.08.29/8.500%
01.08.30/8.850%
0.01
0.01
91.52
25.11.35/0.486%*
779,635
779,635
0.20
0.39
6,923,614,868

Regulated Market
Total Bonds
%
of
Net
Assets
15,000,000
30,000,000
20,069,967
Abitibi Consolidated (Defaulted)

31.08.15/9.500%
Cash
CANADA
750,000
129,000
6,558,000
1,787,000
Market
Value
Convertible Bonds
20.07.11/0.185%
Investment Funds

4,000,000 ACL I 144A
1,250,000 Chukchansi Economic
2,400,000 CKE Holdings 144A
1,000,000 CNG Holdings 144A
82,957 Lehman XS Trust 2005-5N 3A1A
(Defaulted)
1,025,000 Mashantucket Western Pequot
Tribe 144A
1,109,000 Nationwide Mutual
Insurance 144A
1,136,401 United Airlines Pass Through
Trust 2009-1
6,000,000 USI Holdings 144A
Maturity/
Coupon
Name of Securities
125

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon

United Kingdom
Australia
Japan
France
Germany
Netherlands
Switzerland
Canada
Norway
Denmark
Sweden
Luxembourg
Belgium
Finland
Marshall Islands
Ireland
New Zealand
Bermuda
Liberia
Cayman Islands
Mexico
Shares and Warrants
Financials
Materials
Industrials
Total

Japan
United Kingdom
France
Australia
Germany
Canada
Sweden
Switzerland
Netherlands
Jersey
Luxembourg
Denmark
Ireland
Belgium
Finland
Marshall Islands
Liberia
Bermuda
Norway
Shares
Financials
Materials
Industrials
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
50.36
8.17
7.84
6.59
6.23
3.63
3.03
2.51
1.91
1.59
1.39
1.12
1.02
0.75
0.59
0.33
0.17
0.14
0.13
0.12
0.10
0.03
0.01
97.76
0.30
0.30
0.27
0.04
0.00
0.91
1.33
100.00
% of
Net Assets
58.49
8.46
5.88
4.23
3.67
2.34
1.70
1.59
1.59
1.54
1.27
1.06
1.02
0.95
0.75
0.74
0.53
0.25
0.16
0.07
0.05
96.34
0.32
0.29
0.29
0.09
0.00
0.99
2.67
100.00
126
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

Schedule of Investments - Outstanding To be Announced Securities (Expressed in USD)
As at 30 June 2011
Maturity
Date
Name of Securities
Coupon
Nominal
Value
Market
Value
Unrealised
Gain/
(Loss)
5.500%
4.500%
3.500%
4.500%
133,220,000
56,187,500
33,315,000
79,974,000
144,075,125
58,180,400
31,956,373
82,610,639
(849,991)
(25,285)
166,575
(431,413)
316,822,537
(1,140,113)
(144,075,125)
(36,081,863)
(143,850,180)
(66,819,403)
(559,757)
(13,043)
714,862
(572,619)

25-Jun-39
25-Jul-39
25-Jul-41
25-Aug-41
Fannie Mae
Fannie Mae
Fannie Mae
Fannie Mae
Total To be Announced Securities - Long Positions

To be Announced Securities - Short Positions
25-Jun-39
25-Jul-39
25-Aug-39
25-Jul-41
Fannie Mae
Fannie Mae
Fannie Mae
Fannie Mae
5.500%
5.500%
5.500%
4.000%
(133,220,000)
(33,370,500)
(133,291,000)
(66,632,000)
Total To be Announced Securities - Short Positions

Total
(390,826,571)
(430,557)
(74,004,034)
(1,570,670)
Notional
Value
Unrealised
Gain/
(Loss)
(329,779,335)
(100,828,328)
(191,454,212)
(5,665,906)
193,852
(447,907)
1,331,070
111,406
Expiration
Date
Number of
Currency
Bond Futures
Sep-11
Sep-11
Sep-11
Sep-11
(1,503)
(844)
(1,561)
(46)

US Long Bond Future
USD
USD
USD
USD
1,188,421
Total Bond Futures

Interest Rate Futures
Jul-11
Sep-11
Sep-11
Oct-11
Nov-11
Dec-11
Dec-11
Mar-12
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
Jun-13
Jun-14
Dec-14
263
(167)
(770)
189
189
(661)
(137)
(434)
(1,134)
(441)
(433)
(999)
(192)
(192)
4
565
Fed Fund 30 Day Future

90 Day Bank Bill Future
90 Day Euro$ Future
90 Day Bank Bill Future
90 Day Euro$ Future
90 Day Euro$ Future
90 Day Euro$ Future
90 Day Euro$ Future
90 Day Euro$ Future
90 Day Euro$ Future
90 Day Euro$ Future
90 Day Euro$ Future
90 Day Euro$ Future
USD
AUD
USD
USD
USD
AUD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
109,485,248
(177,098,141)
(191,821,438)
78,640,134
78,632,259
(700,935,134)
(34,100,156)
(107,954,788)
(471,462,777)
(109,569,206)
(107,384,000)
(247,165,088)
(47,384,400)
(47,263,200)
974,325
136,931,281
90,872
34,528
(43,313)
53,161
76,787
(391,262)
4,281
(124,425)
(479,101)
25,869
(219,813)
(658,324)
(217,438)
69,000
(275)
263,469
(1,515,984)
Total Interest Rate Futures

Total
(327,563)
127

As at 30 June 2011
Settlement
Date
Currency
05-Jul-11
05-Jul-11
12-Jul-11
12-Jul-11
12-Jul-11
12-Jul-11
12-Jul-11
12-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
29-Jul-11
29-Jul-11
02-Aug-11
11-Aug-11
11-Aug-11
14-Sep-11
14-Sep-11
28-Sep-11
29-Sep-11
BRL
USD
EUR
GBP
SEK
USD
USD
USD
USD
USD
USD
USD
EUR
USD
BRL
EUR
SEK
AUD
USD
USD
USD
Amount
Purchased
Currency
34,199,502
21,413,083
3,544,961,908
407,619,657
1,319,538,586
173,995,249
10,120,797
3,922,546
3,129,016
10,717,714
17,503,891
12,466,346
13,150,000
19,236,872
33,236,047
1,072,844
1,119,309
4,957,000
10,422,390
13,347,559
23,626,988
USD
BRL
USD
USD
USD
EUR
GBP
SEK
CAD
EUR
GBP
NOK
USD
EUR
USD
USD
USD
USD
AUD
GBP
EUR
Amount
Sold
Unrealised
Gain/
(Loss)
20,855,115
34,199,502
5,171,167,933
667,281,022
211,692,826
121,192,455
6,247,926
24,903,520
2,990,000
7,500,000
10,628,000
67,880,000
18,812,300
13,150,000
20,692,775
1,546,222
175,782
5,139,913
9,914,000
8,342,000
16,683,000
1,025,472
(467,506)
(43,334,424)
(15,013,508)
(3,246,536)
(1,311,214)
122,950
(11,440)
33,917
(130,106)
497,755
(148,271)
199,141
225,432
421,643
4,217
711
128,518
(114,473)
11,770
(448,915)
Total
(61,554,867)
Schedule of Investments - Outstanding Swaptions (Expressed in USD)
Maturity
Date
Counterparty
Long/
Short
Description
Currency
12-Jul-11
Credit Suisse
Long
Interest Rate Swap 14/07/2021 Call Strike 3.590%
USD
Notional
Amount
Market
Value
Unrealised
Gain/
(Loss)
49,973,000
11,624
(275,721)
11,624
(275,721)
Total

Schedule of Investments - Outstanding Credit Default Swaps (Expressed in USD) (continued)
As at 30 June 2011
Termination
Date
Counterparty
Protection
Buyer/
Seller
Currency
20-Dec-11
20-Dec-11
20-Dec-11
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Mar-15
20-Mar-15
20-Mar-16
20-Mar-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
Deutsche Bank
Deutsche Bank
UBS
Barclays Bank
Barclays Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Barclays Bank
Barclays Bank
Deutsche Bank
UBS
UBS
Credit Suisse
Credit Suisse
Deutsche Bank
Citibank
Morgan Stanley
Morgan Stanley
Citibank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Morgan Stanley
Morgan Stanley
UBS
UBS
Bank of America
Bank of America
BNP Paribas
BNP Paribas
Morgan Stanley
ABX.HE.PENAAA
CMBX_1
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
K Hovnanian Enterprises 8.625% 15/01/2017
Belgium (Kingdom of) 4.250% 28/09/2014
CMBX 05-1
Italy (Republic of) 6.875% 27/09/2023
Netherlands (Kingdom of) 3.250% 15/07/2015
CDXEM 15-1
CDXEM 15-1
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
128
Nominal
Market
Value
Unrealised
Gain/
(Loss)
3,000,000
4,300,000
3,350,000
1,700,000
1,650,000
3,400,000
3,350,000
3,350,000
1,650,000
3,400,000
3,350,000
3,350,000
3,400,000
6,800,000
4,250,000
2,900,000
4,550,000
5,700,000
55,150,000
63,050,000
3,400,000
6,750,000
3,350,000
5,050,000
5,050,000
1,650,000
1,650,000
3,400,000
6,750,000
3,400,000
8,450,000
3,400,000
3,350,000
3,400,000
466,533
165,164
49,567
59,275
57,532
118,551
116,807
153,027
75,371
576,547
568,068
568,068
576,547
1,153,094
49,333
2,369,139
147,524
(171,325)
(7,154,856)
(8,179,760)
893,622
1,774,103
880,481
1,327,292
1,327,292
433,670
433,670
893,622
1,774,103
(291,802)
(725,213)
(291,802)
(287,510)
(291,802)
119,247
(662,227)
713
27,636
19,490
72,273
70,745
(10,751)
(3,920)
374,908
336,360
249,353
362,158
614,761
93,712
(95,861)
(20,253)
(65,685)
258,223
444,080
155,539
325,665
148,599
51,465
207,174
75,482
75,711
164,039
303,165
44,033
111,836
44,999
30,149
44,999

As at 30 June 2011
Termination
Date
Counterparty
Protection
Buyer/
Seller
Currency
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Dec-17
20-Dec-17
20-Dec-17
20-Dec-17
25-May-46
25-May-46
25-May-46
25-May-46
25-May-46
25-May-46
15-Mar-49
15-Mar-49
15-Mar-49
15-Mar-49
15-Mar-49
15-Mar-49
13-Dec-49
13-Dec-49
13-Dec-49
15-Feb-51
17-Feb-51
11-Oct-52
12-Oct-52
12-Oct-52
12-Oct-52
12-Oct-52
12-Oct-52
20-Sep-11
20-Dec-11
20-Dec-11
20-Dec-11
20-Dec-11
20-Mar-12
20-Mar-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Jun-12
20-Sep-12
20-Sep-12
20-Dec-12
20-Dec-12
UBS
UBS
UBS
UBS
Bank of America
Deutsche Bank
Deutsche Bank
Deutsche Bank
Citibank
Deutsche Bank
UBS
UBS
BNP Paribas
HSBC
Barclays Bank
Barclays Bank
Citibank
Citibank
Barclays Bank
Barclays Bank
Barclays Bank
BNP Paribas
Morgan Stanley
Morgan Stanley
Barclays Bank
Barclays Bank
Deutsche Bank
UBS
UBS
Citibank
Deutsche Bank
HSBC
Morgan Stanley
Morgan Stanley
UBS
UBS
Credit Suisse
Credit Suisse
Morgan Stanley
UBS
RBS
Citibank
Citibank
Deutsche Bank
RBS
RBS
Deutsche Bank
Morgan Stanley
Deutsche Bank
Morgan Stanley
Morgan Stanley
Morgan Stanley
Citibank
Barclays Bank
Morgan Stanley
Citibank
Citibank
Credit Suisse
Deutsche Bank
RBS
Citibank
Morgan Stanley
RBS
Morgan Stanley
Deutsche Bank
UBS
Barclays Bank
Deutsche Bank
Deutsche Bank
Morgan Stanley
Barclays Bank
Barclays Bank
Citibank
Bank of America
Barclays Bank
BNP Paribas
BNP Paribas
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Morgan Stanley
UBS
Credit Suisse
Barclays Bank
Citibank
Citibank
Gannett 6.375% 01/04/2012

Gannett 6.375% 01/04/2012
Lennar 6.5% 15/04/2016
MBIA Global Funding 0.484% 20/03/2015
MCDXNA 16-1
MCDXNA 16-1
MCDXNA 16-1
MCDXNA 16-1
Mexico (United Mexican States) 7.5% 08/04/2033
Alcoa 5.720% 23/02/2019
AutoZone 5.500% 15/11/2015
Computer Sciences 6.5% 15/03/2018
Computer Sciences 6.5% 15/03/2018
Darden Restaurants 6% 15/08/2035
Germany (Federal Republic of) 6.000% 20/06/2016
Home Depot 5.875% 16/12/2036
KB Home 6.25% 15/06/2015
Kroger 6.150% 15/01/2020
Kroger 6.150% 15/01/2020
Kroger 6.150% 15/01/2020
Kroger 6.150% 15/01/2020
Lennar 6.5% 15/04/2016
Lincoln National 6.5% 15/12/2011
Ltd Brands 6.9% 15/07/2017
Whirlpool 7.75% 15/07/2016
Whirlpool 7.75% 15/07/2016
Whirlpool 7.75% 15/07/2016
CMDX_NA_09-4
CMDX_NA_09-4
CMDX_NA_09-4
CMDX_NA_09-4
ABX.HE.PENAAA
AXHAAA 06-2
AXHAAA 06-2
AXHAAA 06-2
AXHAAA 06-2
AXHAAA 06-2
CMBX_NA_BBB-1
CMBX-02-1
CMNAA 02-1
CMNAA 02-1
CMNAA 02-1
CMNAJ 02-1
CMBX 04-1
CMNAA 03-1
CMNAA 03-1
CMNAJ 05-1
CMBX-04-1
CMNAJSV1
Cablevision Systems 8.000% 15/04/2012
CMBX_NA_AAA-1
CMBX_NA_BBB-1
CMNAJSV1
CMNAJSV1
Texas Competitive Electric Holdings 10.250% 01/11/2015
Energy Future Holdings 5.550% 15/11/2014
Realogy 10.5% 15/04/2014
Dixons Retail 8.750% 03/08/2015
Dixons Retail 8.750% 03/08/2015
Dixons Retail 8.750% 03/08/2015
Rite Aid 7.7% 15/02/2027
Block Financial 5.125% 30/10/2014
Caesars Entertainment Operating 5.625% 01/06/2015
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Buyer
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
EUR
EUR
EUR
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
129
Nominal
Market
Value
Unrealised
Gain/
(Loss)
22,100,000
6,800,000
6,750,000
3,150,000
8,500,000
8,300,000
8,400,000
16,900,000
14,150,000
17,350,000
25,300,000
17,000,000
8,500,000
8,500,000
17,050,000
50,350,000
17,000,000
34,000,000
17,000,000
8,450,000
8,600,000
8,500,000
8,500,000
8,500,000
17,050,000
8,450,000
17,050,000
49,700,000
17,050,000
8,400,000
8,400,000
8,400,000
8,400,000
8,500,000
6,700,000
8,500,000
32,750,000
8,500,000
17,000,000
16,350,000
2,500,000
5,500,000
4,100,000
6,300,000
9,900,000
2,200,000
6,700,000
20,000
2,670,000
2,630,000
5,350,000
7,250,000
2,900,000
5,350,000
2,670,000
4,000,000
3,850,000
4,000,000
5,000,000
7,300,000
2,700,000
5,350,000
3,500,000
4,750,000
13,100,000
2,800,000
3,150,000
6,000,000
4,900,000
6,300,000
1,650,000
3,000,000
1,650,000
1,000,000
1,600,000
1,650,000
1,650,000
4,100,000
6,700,000
1,700,000
1,650,000
3,250,000
1,650,000
2,800,000
1,400,000
2,900,000
2,900,000
(1,896,711)
(583,603)
(347,044)
946,576
127,576
124,574
126,075
253,652
47,935
58,776
1,166,426
(238,536)
340,462
340,462
195,486
438,062
147,906
295,811
(307,250)
386,065
(42,889)
(42,390)
(42,390)
(42,390)
(821,478)
287,181
579,461
1,689,102
989,732
41,697
41,697
41,697
41,697
270,524
213,237
270,524
998,701
259,205
518,410
498,588
388,777
855,310
637,595
979,719
1,539,558
342,124
5,698,085
7,185
959,248
944,878
1,922,089
1,260,829
2,257,828
2,738,734
1,366,807
1,194,536
2,997,462
476,770
(345,127)
280,395
2,013,968
637,679
417,173
(34,266)
(141,660)
41,255
(51,211)
(96,712)
(122,095)
(157,853)
13,921
25,311
13,921
(41,705)
(66,729)
(68,814)
(68,814)
(170,992)
(279,426)
(70,899)
(68,814)
(135,543)
(68,814)
(206,163)
12,772
118,637
(54,389)
271,247
78,248
79,980
(324,362)
17,274
274
3,931
47,672
(10,533)
(21,334)
294,365
(10,298)
(5,493)
3,240
(28,484)
(14,170)
(19,952)
(9,568)
(35,081)
57,309
(5,118)
(852)
3,359
(588)
(99,913)
23,661
47,743
150,734
144,196
859
859
859
(3,279)
1,798
(8,554)
812
74,586
53,909
116,396
65,640
(72,359)
(401,889)
(444,480)
(333,770)
(1,402,160)
(407,888)
128,571
(3,163)
(128,487)
(369,914)
(190,670)
356,555
(202,741)
(296,508)
(181,352)
(622,524)
(80,399)
(703,137)
102,684
(175,388)
18,983
(41,200)
(412,117)
384,658
18,451
154,033
252,852
33,288
57,572
755,647
77,251
141,059
77,251
(5,733)
34,605
(26,189)
(9,460)
51,661
(167,760)
(37,135)
27,436
(78,668)
(9,460)
1,201,615
37,661
132,670
25,361

As at 30 June 2011
Termination
Date
Counterparty
Protection
Buyer/
Seller
Currency
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Dec-12
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Mar-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
Credit Suisse
Barclays Bank
Barclays Bank
Barclays Bank
Barclays Bank
Citibank
UBS
UBS
Deutsche Bank
Deutsche Bank
Morgan Stanley
Morgan Stanley
UBS
Credit Suisse
Deutsche Bank
Deutsche Bank
UBS
Barclays Bank
Citibank
Citibank
Citibank
Deutsche Bank
Morgan Stanley
UBS
Bank of America
Bank of America
Citibank
Deutsche Bank
UBS
Morgan Stanley
RBS
Barclays Bank
Citibank
Citibank
Citibank
Citibank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Morgan Stanley
Morgan Stanley
Morgan Stanley
RBS
RBS
RBS
Credit Suisse
Credit Suisse
Morgan Stanley
Citibank
Citibank
Citibank
Deutsche Bank
Deutsche Bank
UBS
Barclays Bank
Barclays Bank
Morgan Stanley
RBS
Barclays Bank
Barclays Bank
Bank of America
Bank of America
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Morgan Stanley
Morgan Stanley
Morgan Stanley
Morgan Stanley
UBS
UBS
Barclays Bank
Barclays Bank
Barclays Bank
Citibank
Citibank
Citibank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank

First Data 9.875% 24/09/2015
First Data 9.875% 24/09/2015
First Data 9.875% 24/09/2015
First Data 9.875% 24/09/2015
First Data 9.875% 24/09/2015
First Data 9.875% 24/09/2015
First Data 9.875% 24/09/2015
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Liz Claiborne 5% 08/07/2013
Clear Channel Communications 6.875% 15/06/2018
Dixons Retail 8.750% 03/08/2015
Dixons Retail 8.750% 03/08/2015
Dynegy Holdings 8.375% 01/05/2016
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
EUR
EUR
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
130
Nominal
Market
Value
Unrealised
Gain/
(Loss)
1,450,000
1,400,000
2,900,000
2,900,000
550,000
1,400,000
10,600,000
2,900,000
1,400,000
2,800,000
1,450,000
1,450,000
850,000
1,450,000
2,900,000
1,450,000
2,900,000
550,000
2,850,000
2,900,000
2,900,000
2,800,000
2,900,000
2,900,000
2,900,000
2,900,000
2,800,000
2,850,000
1,450,000
7,500,000
4,700,000
6,300,000
1,700,000
1,700,000
6,300,000
1,700,000
3,100,000
3,100,000
7,900,000
3,150,000
6,300,000
7,900,000
3,150,000
3,150,000
1,550,000
3,150,000
1,600,000
1,600,000
3,250,000
3,150,000
1,450,000
2,900,000
1,400,000
2,900,000
2,900,000
3,400,000
7,200,000
2,900,000
7,200,000
2,800,000
4,200,000
1,550,000
5,150,000
13,600,000
6,800,000
3,200,000
4,650,000
3,400,000
6,800,000
1,600,000
1,600,000
2,200,000
7,450,000
3,400,000
3,150,000
1,650,000
6,900,000
1,650,000
1,700,000
1,650,000
1,700,000
1,700,000
1,750,000
1,650,000
3,350,000
3,400,000
1,700,000
(27,194)
49,778
103,113
103,113
19,556
49,778
376,894
103,113
8,981
17,962
9,302
9,302
5,453
(137,088)
(274,176)
(137,088)
(274,176)
5,633
29,190
29,702
29,702
28,678
29,702
29,702
127,011
127,011
122,631
124,821
63,505
(221,032)
(139,173)
(186,550)
(50,101)
(50,101)
(186,550)
(50,101)
(91,360)
(91,795)
(233,928)
(93,275)
(186,550)
(233,928)
(93,275)
(93,275)
(45,897)
(93,275)
(47,378)
(47,154)
(95,781)
(93,275)
(202,109)
(404,218)
(195,139)
6,077
6,077
7,600
15,087
6,077
15,087
(86,565)
(129,847)
(47,920)
(159,217)
(1,004,247)
(502,124)
(168,677)
(245,109)
(179,219)
(358,438)
(84,338)
(84,338)
(115,965)
(392,701)
(179,219)
(166,041)
(86,974)
(363,709)
(167,020)
(172,081)
(167,020)
(172,081)
(172,081)
(177,142)
(167,020)
(339,100)
(344,161)
(172,081)
14,493
97,028
91,029
94,654
29,410
97,028
490,255
137,751
35,231
73,573
16,149
10,309
22,335
355,711
700,144
355,711
635,699
41,689
194,648
180,341
206,118
214,956
173,494
194,841
111,346
104,679
103,915
103,623
55,954
(82,491)
(66,714)
(134,925)
(26,490)
(7,128)
(161,175)
(30,503)
(22,902)
(52,183)
(173,581)
(72,713)
(72,801)
(125,303)
(50,400)
(51,713)
(25,446)
(64,838)
(18,489)
(8,042)
(62,378)
(73,150)
(112,692)
(225,787)
(109,001)
65,285
66,090
(15,539)
164,087
65,285
162,087
272,769
356,653
(35,864)
(215,009)
28,804
29,433
(25,566)
(121,108)
(46,052)
(157,272)
(8,783)
(5,227)
(54,854)
(211,624)
(80,052)
(10,291)
(48,474)
(156,709)
(13,478)
(21,442)
18,835
(15,067)
(7,983)
288
(12,561)
(59,468)
(59,884)
(3,970)

As at 30 June 2011
Termination
Date
Counterparty
Protection
Buyer/
Seller
Currency
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Jun-13
20-Sep-13
20-Sep-13
20-Sep-13
20-Sep-13
20-Sep-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Dec-13
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
Deutsche Bank
Deutsche Bank
UBS
Barclays Bank
Barclays Bank
Barclays Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
UBS
UBS
UBS
UBS
Deutsche Bank
Bank of America
Bank of America
Bank of America
Bank of America
Bank of America
Citibank
Deutsche Bank
UBS
Deutsche Bank
Deutsche Bank
UBS
Barclays Bank
Barclays Bank
Deutsche Bank
Deutsche Bank
BNP Paribas
Citibank
Citibank
Morgan Stanley
UBS
Barclays Bank
Deutsche Bank
Deutsche Bank
Morgan Stanley
Citibank
Deutsche Bank
Morgan Stanley
UBS
Barclays Bank
Citibank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
UBS
UBS
Barclays Bank
Citibank
Citibank
Citibank
Citibank
Citibank
Morgan Stanley
Barclays Bank
Barclays Bank
Barclays Bank
Barclays Bank
Barclays Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Morgan Stanley
Morgan Stanley
Morgan Stanley
Morgan Stanley
RBS
UBS
UBS
Barclays Bank
Deutsche Bank
Eastman Kodak 7.250% 15/11/2013

Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Lennar 6.5% 15/04/2016
Level 3 Communications 9% 15/10/2013
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
First Data 9.875% 24/09/2015
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
131
Nominal
Market
Value
Unrealised
Gain/
(Loss)
1,650,000
3,350,000
1,700,000
6,300,000
1,650,000
4,700,000
3,150,000
1,700,000
3,350,000
1,600,000
5,100,000
1,700,000
1,650,000
1,650,000
1,650,000
1,650,000
1,650,000
1,700,000
14,175,000
2,800,000
8,400,000
3,350,000
4,350,000
1,700,000
1,650,000
3,450,000
7,100,000
1,700,000
1,700,000
1,700,000
1,700,000
1,650,000
3,200,000
7,000,000
1,650,000
1,650,000
2,900,000
2,800,000
2,850,000
4,350,000
2,800,000
5,550,000
2,850,000
2,800,000
4,200,000
2,900,000
6,700,000
2,900,000
2,900,000
1,450,000
2,900,000
5,800,000
5,750,000
7,150,000
2,800,000
4,300,000
1,450,000
2,900,000
2,850,000
2,850,000
4,550,000
3,150,000
6,300,000
8,200,000
2,850,000
4,750,000
3,150,000
3,000,000
1,500,000
4,950,000
2,950,000
2,900,000
5,000,000
1,650,000
1,650,000
5,850,000
2,950,000
3,200,000
2,950,000
2,100,000
1,550,000
900,000
1,500,000
2,950,000
5,850,000
4,750,000
9,900,000
(167,020)
(339,100)
(172,081)
(1,068,308)
(279,795)
(796,991)
(534,154)
(288,273)
(568,068)
(271,316)
(864,820)
(288,273)
(279,795)
(279,795)
(279,795)
(279,795)
(279,795)
(288,273)
839,650
111,565
(33,140)
(25,496)
(33,107)
(12,938)
(12,558)
(26,257)
(54,037)
(12,938)
(12,938)
(21,062)
(21,062)
(20,443)
(198,026)
(433,181)
(326,306)
(326,306)
(29,179)
(386,099)
(392,993)
(599,832)
(386,099)
91,434
(86,363)
(84,848)
(127,272)
(75,260)
(173,876)
(75,260)
(75,260)
(47,208)
(94,417)
(188,833)
(187,205)
(233,805)
(91,161)
(140,610)
(47,415)
(94,417)
(223,295)
(223,295)
(356,489)
(246,800)
(493,600)
(642,463)
(223,295)
(743,584)
(493,563)
(470,060)
(235,030)
(775,599)
(462,226)
(454,391)
(783,433)
(258,533)
(258,533)
(916,617)
(462,226)
(500,941)
(462,226)
(329,042)
(242,864)
(141,018)
(235,030)
(462,226)
(916,617)
(1,195,324)
(2,491,307)
10,814
(58,538)
19,405
(944,933)
(25,878)
(627,765)
(410,341)
(130,551)
(19,041)
(75,983)
(162,171)
(39,884)
(47,191)
(9,378)
(10,753)
(62,316)
(2,962)
(2,343)
(183,528)
342,176
(51,807)
(46,899)
(36,128)
(16,716)
(30,433)
(55,966)
(69,814)
(23,799)
(24,744)
(2,882)
(2,645)
(8,755)
(92,248)
14,041
(14,639)
(12,347)
62,654
(255,821)
(301,556)
(416,769)
(248,821)
415,184
64,845
85,485
86,228
280,796
56,902
300,935
294,490
29,320
58,639
117,278
126,649
140,577
135,561
54,085
14,210
63,875
(73,274)
(74,066)
(252,850)
(171,550)
(335,224)
(446,574)
(59,816)
(350,390)
(242,875)
(282,560)
(147,530)
(266,849)
(256,545)
(252,600)
(339,683)
(99,720)
(99,949)
(683,429)
(286,045)
(212,941)
(286,045)
(220,542)
(90,017)
(88,393)
(108,780)
(286,045)
(596,492)
(986,192)
(1,919,307)

As at 30 June 2011
Termination
Date
Counterparty
Protection
Buyer/
Seller
Currency
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Mar-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
20-Jun-14
Deutsche Bank
Deutsche Bank
UBS
UBS
UBS
UBS
UBS
UBS
UBS
UBS
UBS
UBS
Bank of America
Barclays Bank
BNP Paribas
BNP Paribas
UBS
UBS
Bank of America
Deutsche Bank
UBS
Credit Suisse
Deutsche Bank
Deutsche Bank
UBS
UBS
UBS
Bank of America
BNP Paribas
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Morgan Stanley
Morgan Stanley
Bank of America
Bank of America
Barclays Bank
Deutsche Bank
Barclays Bank
Citibank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
Morgan Stanley
Morgan Stanley
UBS
UBS
Bank of America
Bank of America
BNP Paribas
BNP Paribas
Morgan Stanley
UBS
UBS
Barclays Bank
Barclays Bank
Barclays Bank
Barclays Bank
Deutsche Bank
Deutsche Bank
Deutsche Bank
UBS
UBS
Bank of America
Bank of America
Bank of America
Citibank
Morgan Stanley
Morgan Stanley
Morgan Stanley
UBS
UBS
UBS
UBS
Citibank
Citibank
Deutsche Bank
Bank of America
Citibank
Deutsche Bank
Deutsche Bank
UBS
UBS
Bank of America

Level 3 Communications 15.000% 15/01/2013
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Rite Aid 7.7% 15/02/2027
Boyd Gaming 6.75% 15/04/2014
Boyd Gaming 6.75% 15/04/2014
Boyd Gaming 6.75% 15/04/2014
Boyd Gaming 6.75% 15/04/2014
Boyd Gaming 6.75% 15/04/2014
Boyd Gaming 6.75% 15/04/2014
Boyd Gaming 6.75% 15/04/2014
Boyd Gaming 6.75% 15/04/2014
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Gannett 6.375% 01/04/2012
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Realogy 10.5% 15/04/2014
Rite Aid 7.7% 15/02/2027
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
132
Nominal
Market
Value
Unrealised
Gain/
(Loss)
4,750,000
12,600,000
4,850,000
3,150,000
9,450,000
3,250,000
3,300,000
3,150,000
3,150,000
3,150,000
5,000,000
1,600,000
1,550,000
1,450,000
2,900,000
2,850,000
2,900,000
2,900,000
11,400,000
2,950,000
15,100,000
1,650,000
19,100,000
1,700,000
3,350,000
2,000,000
1,600,000
3,450,000
1,550,000
17,000,000
11,850,000
10,150,000
3,400,000
16,850,000
6,300,000
6,300,000
3,300,000
1,700,000
1,650,000
3,400,000
1,550,000
3,400,000
3,350,000
5,050,000
5,790,000
6,750,000
1,650,000
1,650,000
3,400,000
7,760,000
8,450,000
3,400,000
3,400,000
3,350,000
3,400,000
6,800,000
22,100,000
3,400,000
3,350,000
3,350,000
1,650,000
3,350,000
1,700,000
1,600,000
3,400,000
6,800,000
6,400,000
1,650,000
6,500,000
1,700,000
6,550,000
1,700,000
2,100,000
16,350,000
6,500,000
3,400,000
4,900,000
3,350,000
3,250,000
3,400,000
2,800,000
3,350,000
1,700,000
6,800,000
1,700,000
1,700,000
10,000,000
(1,195,324)
(3,170,754)
(1,219,797)
(792,688)
(2,378,065)
(817,390)
(829,965)
(792,240)
(792,688)
(792,688)
132,213
42,308
40,986
38,342
76,684
75,361
76,684
76,684
(323,084)
(84,022)
(430,078)
(74,550)
(865,693)
(76,809)
(151,359)
(90,649)
(72,519)
(89,327)
(40,132)
(440,162)
(306,819)
(262,802)
(88,032)
(436,278)
(163,119)
(613,259)
(342,128)
(176,248)
(171,064)
(352,496)
(269,982)
(592,219)
(583,510)
(879,620)
(1,008,515)
(1,175,730)
(287,401)
(287,401)
(592,219)
(1,351,654)
783,120
315,102
315,102
310,468
315,102
630,203
2,048,161
(937,603)
(923,815)
(923,815)
(455,013)
(923,815)
(468,802)
(441,225)
(937,603)
(1,875,206)
(335,141)
(86,403)
(340,377)
(89,022)
(342,996)
(89,022)
(109,968)
(856,180)
(340,377)
(178,044)
(256,592)
(124,373)
(120,660)
(126,229)
(124,214)
(148,613)
(75,416)
(301,663)
(75,416)
(75,416)
(574,789)
(985,532)
(2,521,504)
(655,985)
(669,751)
(2,007,940)
(478,848)
(508,674)
(486,865)
(641,313)
(642,188)
200,963
64,086
62,083
123,932
253,100
196,486
224,100
237,795
(277,167)
22,916
(39,995)
(14,279)
301,529
12,913
12,419
24,907
4,592
(73,515)
(952)
(404,745)
(235,376)
(221,921)
(42,227)
(379,643)
(70,369)
(347,259)
(125,795)
(71,415)
(63,814)
(126,301)
(147,705)
(134,636)
(128,003)
(20,419)
(201,936)
(275,730)
(69,463)
(65,567)
(160,136)
(291,121)
(115,616)
(40,415)
(46,520)
(35,971)
(46,520)
(88,588)
(287,996)
(451,214)
(411,544)
(443,183)
(27,847)
(311,975)
(149,816)
(113,892)
(442,714)
(767,373)
(285,363)
(73,799)
(291,627)
(21,730)
(321,162)
(25,744)
(12,551)
(769,888)
(291,627)
(55,738)
(129,328)
15,676
15,208
(19,979)
(75,603)
9,116
(18,277)
(76,885)
(8,360)
(34,805)
(26,178)

As at 30 June 2011
Termination
Date
Counterparty
Protection
Buyer/
Seller
Currency
20-Sep-14
20-Sep-14
20-Sep-14
20-Sep-14
20-Sep-14
20-Sep-14
20-Sep-14
20-Sep-14
20-Sep-14
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Mar-15
20-Dec-15
20-Dec-15
20-Dec-15
20-Dec-15
20-Dec-15
20-Dec-15
20-Dec-15
20-Dec-15
20-Dec-15
20-Dec-15
20-Mar-16
20-Mar-16
20-Mar-16
20-Mar-16
20-Mar-16
20-Mar-16
20-Mar-16
20-Mar-16
20-Mar-16
20-Mar-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Jun-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
20-Sep-16
25-Jan-38
25-Jan-38
13-Dec-49
13-Dec-49
17-Feb-51
17-Feb-51
17-Feb-51
17-Feb-51
12-Oct-52
12-Oct-52
12-Oct-52
12-Oct-52
Barclays Bank
Deutsche Bank
Morgan Stanley
Morgan Stanley
Morgan Stanley
UBS
UBS
Citibank
Barclays Bank
Deutsche Bank
Morgan Stanley
Citibank
Morgan Stanley
UBS
UBS
Citibank
Citibank
Citibank
Citibank
Deutsche Bank
Deutsche Bank
UBS
UBS
Deutsche Bank
BNP Paribas
UBS
Citibank
Deutsche Bank
UBS
BNP Paribas
BNP Paribas
BNP Paribas
UBS
UBS
UBS
UBS
BNP Paribas
BNP Paribas
BNP Paribas
Credit Suisse
Credit Suisse
Deutsche Bank
Morgan Stanley
Morgan Stanley
UBS
UBS
UBS
Barclays Bank
BNP Paribas
Deutsche Bank
Deutsche Bank
Barclays Bank
Deutsche Bank
Morgan Stanley
Morgan Stanley
UBS
UBS
Barclays Bank
UBS
Barclays Bank
UBS
Deutsche Bank
UBS
Citibank
UBS
UBS
Barclays Bank
BNP Paribas
Morgan Stanley
Morgan Stanley
Barclays Bank
Barclays Bank
Citibank
Citibank
Barclays Bank
Morgan Stanley
Morgan Stanley
Credit Suisse
RBS
Citibank
Citibank
Citibank
RBS
Deutsche Bank

Realogy 10.5% 15/04/2014
SUPERVALU 8% 01/05/2016
CMBX 02-1
CMBX 02-1
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Eastman Kodak 7.250% 15/11/2013
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
Knight Ridder 5.750% 01/09/2017
SUPERVALU 8% 01/05/2016
SUPERVALU 7.5% 15/05/2012
SUPERVALU 7.5% 15/05/2012
SUPERVALU 7.5% 15/05/2012
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
SUPERVALU 8% 01/05/2016
CDX_NA_16-1
Levi Strauss & Co. 8.875% 01/04/2016
Levi Strauss & Co. 8.875% 01/04/2016
SUPERVALU 8% 01/05/2016
Amkor Technology 9.250% 01/06/2016
Clorox 3.550% 01/11/2015
Clorox 3.550% 01/11/2015
Clorox 3.550% 01/11/2015
ConAgra Foods 7.000% 01/10/2028
Copper Tire & Rubber 7.625% 15/03/2027
Freeport-McMoRan Copper & Gold 8.375% 01/04/2017
Freeport-McMoRan Copper & Gold 8.375% 01/04/2017
Georgia-Pacific 7.750% 15/11/2029
Macys Retail Holdings 7.450% 15/07/2017
MetLife 5.000% 15/06/2015
MetLife 5.000% 15/06/2015
MetLife 5.000% 15/06/2015
Safeway 7.250% 01/02/2031
Safeway 7.250% 01/02/2031
Safeway 7.250% 01/02/2031
Safeway 7.250% 01/02/2031
Standard Pacific 10.75% 15/09/2016
Standard Pacific 10.75% 15/09/2016
ABX_HE_PEN_07_2
ABX_HE_PEN_07_2
CMBX_NA_A3
CMBX_NA_A3
CMBX_NA_AAA_4
CMBX_NA_AAA-4
CMBX_NA_AAA-4
CMNAJ 04-1
ABX_07_2
CMBX 02-1
CMBX-04-1
Mediacom Capital 9.125% 15/08/2019
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
Seller
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Total
133
Nominal
Market
Value
Unrealised
Gain/
(Loss)
3,150,000
3,250,000
7,850,000
3,250,000
3,250,000
2,900,000
8,200,000
3,350,000
2,400,000
5,550,000
5,550,000
750,000
1,450,000
4,300,000
1,300,000
1,450,000
2,900,000
1,450,000
4,400,000
2,850,000
2,850,000
5,750,000
2,850,000
2,750,000
2,950,000
3,150,000
2,800,000
2,800,000
2,800,000
1,450,000
1,450,000
1,450,000
2,800,000
7,250,000
2,800,000
2,900,000
1,600,000
2,950,000
2,500,000
3,150,000
950,000
9,150,000
2,850,000
1,550,000
3,150,000
4,300,000
31,500,000
2,940,000
2,070,000
1,550,000
3,400,000
32,050,000
5,050,000
3,400,000
8,500,000
17,000,000
10,050,000
17,050,000
8,500,000
8,150,000
17,150,000
8,500,000
17,050,000
18,700,000
6,800,000
49,700,000
8,600,000
8,500,000
8,500,000
8,500,000
17,050,000
8,450,000
10,000,000
14,000,000
5,350,000
2,670,000
5,350,000
4,000,000
3,500,000
6,950,000
3,300,000
4,900,000
4,000,000
5,000,000
(363,675)
(375,220)
(906,301)
(375,220)
(375,220)
(335,231)
(946,709)
(177,760)
(52,464)
(2,798,632)
(2,798,631)
(159,556)
(227,196)
(914,786)
(276,563)
(141,908)
(283,815)
(141,908)
(430,616)
(278,922)
(278,922)
(13,053)
(6,470)
(202,481)
(229,787)
(78,927)
(191,136)
(191,136)
(191,136)
(98,981)
(98,981)
(98,981)
(191,136)
(494,904)
(191,136)
(197,962)
(124,630)
(229,787)
(194,384)
(245,366)
(73,999)
(711,446)
(221,998)
(120,736)
(245,366)
(334,944)
77,256
(79,266)
(55,810)
(134,597)
36,956
1,394,911
219,791
147,978
(16,833)
(33,667)
(19,903)
(133,504)
530,976
(196,690)
(413,892)
(210,290)
(54,926)
(582,178)
(211,701)
(1,547,286)
(96,279)
(95,159)
(95,159)
(95,159)
211,262
104,702
(5,668,615)
(7,936,060)
(3,394,971)
(1,694,313)
(340,816)
(254,816)
(222,964)
(2,234,428)
(1,870,643)
(2,470,864)
(1,286,003)
(220,620)
(168,112)
(235,741)
(606,475)
(251,088)
(239,803)
(58,120)
(623,265)
13,469
50,203
3,926
3,926
(82,160)
(135,765)
(416,105)
(93,660)
(73,838)
(182,315)
(73,234)
(266,227)
(130,880)
(143,943)
691,322
329,197
1,122,484
15,227
220,761
(58,913)
(58,913)
(58,913)
707
(2,717)
505
(48,802)
(108,238)
(86,524)
(19,934)
27,592
5,803
36,519
21,071
23,903
(346,717)
13,523
16,611
75,321
(500)
12,087
(104,978)
(96,378)
13,083
(39,472)
(18,757)
1,605
66,425
(11,716)
7,790
8,332
(70,542)
9,890
(119,008)
(242,099)
2,428
95,067
(12,065)
17,947
(20,490)
(28,827)
(5,911)
(7,959)
6,282
(25,425)
42,206
1,005,330
1,157,733
334,627
173,676
139,331
685,145
449,969
13,596
174,452
(168,204)
746,865
(51,176)
(80,513,744)
(22,023,443)

Schedule of Investments - Outstanding Interest Rate Swaps (Expressed in USD)
As at 30 June 2011
Termination
Date
Nominal
Market
Value
Unrealised
Gain/
(Loss)
USD
52,508,000
(558,234)
(558,234)
USD
69,095,000
491,134
491,134
USD
158,258,769
516,291
516,291
USD
81,233,000
(274,223)
(274,223)
(381,171)
Counterparty
Description
Currency
Receive floating rate USD LIBOR 3 months

Pay fixed rate 2.152%
Receive fixed rate 2.618%
Pay floating rate USD LIBOR 3 months
16-Jun-16
Deutsche Bank
10-Jul-16
Barclays Bank
09-Aug-16
Deutsche Bank
15-May-18
Deutsche Bank
15-May-18
Deutsche Bank
16-Jun-21
Deutsche Bank
10-Jul-21
Barclays Bank
30-Jun-41
Citibank
09-Aug-41
Deutsche Bank
USD
33,205,000
(381,171)
USD
28,950,000
322,653
322,653
USD
37,385,000
(370,551)
(370,551)
USD
23,020,000
400,202
400,202
USD
42,657,340
(238,707)
(238,707)
(92,606)
(92,606)
Total
Schedule of Investments - Outstanding Future Option Contracts (Expressed in USD)
Expiration
Date
26-Aug-11
16-Sep-11
16-Dec-11
16-Dec-11
Number of
333
671
(1,007)
1,007
Currency
US Treasury Bond, Put, Strike Price 121

1 Year Euro Dollar, Put, Strike Price 98.625
USD
USD
USD
USD
Total
134
Market
Value
Unrealised
Gain/
(Loss)
398,039
41,938
(182,519)
276,925
117,070
(16,775)
18,881
(33,563)
534,383
85,614

Schedule of Investments (Market Value Expressed in JPY)
As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets

Shares
JAPAN
705,000
165,000
85,500
87,600
416,800
3,737
34,300
341,000
1,563,000
26,100
128,100
85,300
128,000
407,000
429,000
636,000
1,254,000
1,689
213,200
123,100
350,300
1,289,000
712
665,000
1,031,000
396,000
1,665,500
16,700
745,000
1,709,000
110,200
1,146,000
855,000
761,900
20,250
727,700
211,500
236,000
16,150
206,500
459,200
443,000
278,000
147,400
67,300
490,600
741,000
543,000
238,000
130,000
342,400
133,200
60,500
671,000
945,000
339,000
334,300
6,493
48,880
Amada
Astellas Pharma
Benesse Holdings
Capcom
Citizen Holdings
Denki Kagaku Kogyo
DIC
East Japan Railway
Elpida Memory
FUJIFILM Holdings
Fujitsu
Fukuoka Financial Group
Hitachi
Hokuhoku Financial Group
Japan Tobacco
JFE Holdings
JSR
JX Holdings
Kawasaki Kisen Kaisha
KDDI
Marubeni
Minebea
Mitsubishi Electric
Nintendo
Nippon Sheet Glass
Nippon Steel
Nippon Yusen
Nishi-Nippon City Bank
Nissan Motor
Nitori Holdings
Nomura Holdings
Nomura Real Estate Holdings
Obayashi
ORIX
Otsuka Holdings
Panasonic
Ricoh
Seiko Epson
Shiseido
Sony
Sumitomo
Sumitomo Chemical
Sumitomo Realty & Development
Sumitomo Rubber Industries
Sundrug
Suzuken
Tokyo Gas
Toshiba
Toto
Toyota Motor
Yahoo! Japan
Yamada Denki
433,575,000
513,975,000
294,975,000
162,147,600
199,855,600
419,851,950
233,583,000
131,626,000
297,751,500
119,929,500
279,001,800
80,096,700
320,192,000
186,202,500
143,286,000
300,828,000
198,759,000
522,745,500
470,319,200
190,989,650
188,811,700
360,275,500
411,536,000
354,112,500
440,237,000
367,884,000
651,210,500
250,917,500
185,877,500
443,485,500
426,198,500
340,935,000
201,780,000
641,900,750
154,710,000
288,533,050
282,141,000
82,364,000
125,808,500
439,535,250
450,016,000
394,491,500
385,586,000
220,878,900
142,541,400
534,754,000
296,029,500
302,722,500
587,146,000
232,635,000
332,641,600
339,393,600
111,925,000
243,908,500
398,317,500
211,197,000
1,101,518,500
179,304,195
319,186,400
2.27
2.69
1.54
0.85
1.05
2.20
1.22
0.69
1.56
0.63
1.46
0.42
1.68
0.98
0.75
1.58
1.04
2.73
2.46
1.00
0.99
1.89
2.15
1.85
2.30
1.93
3.41
1.31
0.97
2.32
2.23
1.78
1.05
3.36
0.81
1.51
1.48
0.43
0.66
2.30
2.34
2.06
2.02
1.16
0.75
2.80
1.55
1.58
3.07
1.22
1.74
1.78
0.59
1.28
2.08
1.10
5.76
0.94
1.67
18,922,137,345
99.02
Total Shares
18,922,137,345
99.02

18,922,137,345
99.02
Total Investments
18,922,137,345
99.02
Cash
203,761,499
1.07
(16,656,641)
(0.09)
19,109,242,203
100.00
Total Net Assets
135
Shares
Industrials
Financials
Materials
Consumer Staples
Health Care
Utilities
Energy
Total Shares
Total

Shares
Industrials
Financials
Materials
Consumer Staples
Health Care
Utilities
Total Shares
Total
% of
Net Assets
20.47
19.25
17.61
11.65
10.68
5.67
5.58
4.38
2.74
0.99
99.02
0.98
100.00
% of
Net Assets
19.99
19.96
17.21
11.64
10.63
5.78
4.80
4.54
3.85
98.40
1.60
100.00

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in JPY)
As at 30 June 2011
Settlement
Date
Currency
14-Jul-11
14-Jul-11
EUR
JPY
Amount
Purchased
Currency
1,194,913
6,370,819
JPY
EUR
Total
Amount
Sold
Unrealised
Gain/
(Loss)
140,171,038
54,916
(882,566)
(30,678)
(913,244)
136

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value

Shares
JAPAN
3,000
6,000
3,000
600
3,000
4,000
1,300
13,000
1,300
900
5,000
500
4,000
3,000
2,100
4,000
1,600
900
1,400
2,000
1,200
1,000
500
1,500
11
2,000
1,500
3,000
3,400
800
700
2,000
2,200
500
700
800
600
6,000
900
700
5,000
4,000
700
900
19,000
1,400
3,000
3,700
300
2,500
7
5,000
2,800
500
5,000
1,000
6,000
2,100
9,500
600
10,000
4
2,000
2,600
14
800
200
1,000
600
1,000
1,000
600
2,000
6,000
6,000
1,500
Aichi
Aichi Machine Industry
Aichi Steel
Aisin Seiki
Ajinomoto
Amada
AOKI Holdings
Aozora Bank
Arcs
Asahi
Asahi Kasei
Autobacs Seven
Bando Chemical Industries
Belluna
Bridgestone
Calsonic Kansei
Canon
Cawachi
Century Tokyo Leasing
Chugoku Marine Paints
Circle K Sunkus
Cocokara Fine
Cosmos Pharmaceutical
Credit Saison
CyberAgent
Daihatsu Motor
Daiichikosho
Dainippon Screen Manufacturing
DCM Holdings
Dena
Don Quijote
Eagle Industry
EDION
Exedy
Fanuc
FCC
Ferrotec
Fuji Heavy Industries
Fuji Machine Manufacturing
Fukuda Denshi
Fukuyama Transporting
Fuyo General Lease
HIS
Hitachi
Hitachi Capital
Hokuetsu Kishu Paper
Honda Motor
Idemitsu Kosan
Iida Home Max
Inpex
ITOCHU
Itochu Enex
Japan Petroleum Exploration
JFE Shoji Holdings
JGC
J-Oil Mills
JSP
JX Holdings
Ks Holdings
Kajima
Kakaku.com
Kaken Pharmaceutical
Kanto Auto Works
KDDI
Keihin
Keyence
Komatsu
Kyocera
KYORIN Holdings
Lintec
Macnica
Makino Milling Machine
Marubeni
Marudai Food
Megmilk Snow Brand
14,852
24,530
20,417
23,041
35,511
30,523
20,154
29,921
20,308
16,739
33,501
20,985
16,180
19,505
48,139
23,947
75,637
17,621
25,101
15,572
18,619
25,243
21,078
25,088
38,311
33,811
24,214
25,405
22,991
34,320
24,237
24,964
20,677
17,045
116,384
19,103
13,482
46,380
19,129
20,619
20,721
21,168
23,581
22,138
111,508
18,847
18,258
141,743
31,863
21,744
51,331
51,678
15,512
23,327
24,226
27,229
17,607
35,006
63,534
25,870
28,538
28,017
27,955
23,695
100,403
16,785
56,381
30,970
60,748
19,803
28,023
13,612
18,463
39,643
18,425
27,582
0.27
0.44
0.37
0.41
0.64
0.55
0.36
0.54
0.36
0.30
0.60
0.38
0.29
0.35
0.86
0.43
1.36
0.32
0.45
0.28
0.33
0.45
0.38
0.45
0.69
0.61
0.44
0.46
0.41
0.62
0.44
0.45
0.37
0.31
2.09
0.34
0.24
0.83
0.34
0.37
0.37
0.38
0.42
0.40
2.00
0.34
0.33
2.54
0.57
0.39
0.92
0.93
0.28
0.42
0.43
0.49
0.32
0.63
1.14
0.46
0.51
0.50
0.50
0.43
1.80
0.30
1.01
0.56
1.09
0.35
0.50
0.24
0.33
0.71
0.33
0.49
137
1,800
1,100
3,000
3,400
7,000
3,000
4,000
39,700
620
4,500
7,000
57,900
5,000
1,200
2,000
1,000
800
2,000
3,000
10,000
1,000
8,000
9,000
2,000
6,000
2,400
16,000
6,800
2,000
3,000
700
3,000
54
1,000
5,000
900
410
1,100
3,000
3,000
800
4,000
4,000
3,000
4,000
3,000
3,800
3,000
2,000
900
17,000
1,000
46
200
3,100
3,900
2,500
2,000
4,200
16,430
1,400
6,000
1,300
700
300
800
1,800
800
5,000
1,300
6,000
4,000
6,000
5,400
1,300
3,000
11
1,200
2,700
1,700
Name of Securities
Meiko Network Japan

Ministop
Mitsuba
Mitsubishi
Mitsubishi Chemical Holdings
Mitsubishi Electric
Mitsubishi Gas Chemical
Mitsubishi UFJ Lease & Finance
Mitsui & Co.
Mitsui Chemicals
Mizuho Financial Group
Morinaga Milk Industry
Nabtesco
Nagase & Co.
NEC Capital Solutions
NEC Networks and System Integration
NGK Spark Plug
Nippo
Nippon Light Metal
Nippon Paper Group
Nippon Road
Nippon Sheet Glass
Nippon Shokubai
Nippon Soda
Nishimatsu Construction
Nissan Motor
Nissin Electric
Nittetsu Mining
Nitto Denko
NSK
NTT DoCoMo
Oiles
Okumura
Omron
ORIX
Osaka Steel
Press Kogyo
Ricoh
Ricoh Leasing
Ryobi
Sakai Chemical Industry
Sakata INX
Sanden
Sanyo Special Steel
Sapporo Hokuyo Holdings
Seino Holdings
Sekisui Jushi
Shimachu
Shinsei Bank
Ship Healthcare Holdings
SKY Perfect JSAT Holdings
SMC
Softbank
Sumitomo
Sumitomo Metal Mining
Sumitomo Mitsui Trust Holdings
Tachi-S
Taihei Kogyo
Takamatsu Construction Group
Takata
Takeda Pharmaceutical
Tamron
Teikoku Piston Ring
THK
Toagosei
Tokyo Seimitsu
Tosoh
Toyo Ink SC Holdings
Toyo Tire & Rubber
Toyota Motor
Toyota Tsusho
Tsubakimoto Chain
TV Asahi
Unipres
U-Shin
Valor
Market
Value
15,879
19,736
27,527
84,415
49,333
34,580
29,109
192,601
23,809
77,219
25,318
94,470
21,217
28,848
24,480
13,208
11,132
27,433
24,121
20,411
22,104
23,972
27,862
24,245
26,354
115,168
23,525
71,084
18,872
13,475
35,263
29,704
95,812
19,703
18,115
24,835
39,629
21,742
15,094
33,147
17,768
17,842
18,041
13,921
20,547
18,965
15,819
21,441
20,262
21,882
16,980
18,370
18,892
35,809
116,642
52,745
36,184
32,632
128,561
56,877
25,804
25,982
18,130
21,336
13,828
19,073
21,541
20,235
25,033
25,026
23,934
19,182
15,113
220,771
22,114
18,370
16,624
30,918
22,395
23,698
%
of
Net
Assets
0.28
0.35
0.49
1.51
0.88
0.62
0.52
3.46
0.43
1.39
0.46
1.69
0.38
0.52
0.44
0.24
0.20
0.49
0.43
0.37
0.40
0.43
0.50
0.44
0.47
2.07
0.42
1.28
0.34
0.24
0.63
0.53
1.72
0.35
0.32
0.45
0.71
0.39
0.27
0.59
0.32
0.32
0.32
0.25
0.37
0.34
0.28
0.38
0.36
0.39
0.30
0.33
0.34
0.64
2.09
0.95
0.65
0.59
2.31
1.02
0.46
0.47
0.33
0.38
0.25
0.34
0.39
0.36
0.45
0.45
0.43
0.34
0.27
3.96
0.40
0.33
0.30
0.56
0.40
0.43

As at 30 June 2011
Quantity/
Nominal
Value
600
2,000
3,000
1,200
3,000
Name of Securities
Yachiyo Bank
Yaskawa Electric
Yokohama Rubber
Yorozu
Zeon
Quantity/
Nominal
Value
16,829
22,284
17,197
26,376
27,899
0.30
0.40
0.31
0.47
0.50
5,413,641
97.12
Total Shares
5,413,641
97.12

Exchange Listing
5,413,641
97.12
Total Investments
5,413,641
97.12
Cash
244,506
4.39
(83,765)
(1.51)
5,574,382
100.00
Total Net Assets

Shares
Industrials
Financials
Materials
Consumer Staples
Energy
Health Care
Total Shares
Total

Shares
Industrials
Financials
Materials
Energy
Utilities
Health Care
Consumer Staples
Total Shares
Total
%
of
Net
Assets
Market
Value
% of
Net Assets
28.01
20.37
14.02
11.73
7.68
7.48
3.31
3.05
1.47
97.12
2.88
100.00
% of
Net Assets
26.86
24.42
14.30
12.12
8.51
6.20
2.26
1.76
1.33
0.97
98.73
1.27
100.00
138
Name of Securities
Market
Value
%
of
Net
Assets

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets

Shares
JAPAN
290,000
85,200
569,000
69,300
78,000
130,400
2,066
61,300
342,000
403,000
662,000
128,500
1,483,000
23,200
394,700
1,097
103,100
666,600
703,000
650,000
544,000
891,000
921,000
1,265,700
262,600
833,000
491,000
2,530,600
162,000
142,200
936,000
1,057,000
94,700
691,000
733,000
410,800
1,397,000
465,600
28,140
367,100
343,900
1,672,000
309,500
160,400
1,482,000
179,000
177,500
1,103,930
85,500
123,300
131,600
117,300
163,200
43,800
77 Bank
Astellas Pharma
Bank of Yokohama
Benesse Holdings
Chiba Bank
Coca-Cola West
Fujikura
Hitachi Capital
Idemitsu Kosan
ITOCHU
Japan Tobacco
JFE Holdings
JX Holdings
Kobe Steel
Marubeni
Mazda Motor
Mitsubishi Materials
Mitsui & Co.
Mitsui Mining & Smelting
Mitsui OSK Lines
Nippon Electric Glass
Nippon Paper Group
Nippon Sheet Glass
Nippon Steel
Nippon Yusen
Nissan Motor
Nisshin Steel
Nomura Holdings
ORIX
Resona Holdings
Shinsei Bank
Sumitomo
Sumitomo Metal Industries
Sumitomo Metal Mining
Suzuken
Suzuki Motor
Tokio Marine Holdings
Tokyo Steel Manufacturing
Toyota Motor
Yakult Honsha
101,355,000
265,398,000
227,600,000
239,085,000
39,234,000
200,620,400
232,115,100
133,511,400
213,066,000
147,699,500
221,108,000
139,422,500
235,055,500
198,592,000
328,785,100
339,521,500
227,438,600
359,297,400
196,488,500
117,975,000
289,680,000
188,446,500
231,631,500
494,888,700
363,175,800
224,493,500
211,375,500
332,773,900
166,374,000
253,329,300
233,532,000
274,291,500
366,252,250
205,572,500
172,988,000
346,099,000
214,439,500
184,610,400
219,210,600
138,580,250
115,378,450
134,596,000
337,355,000
187,106,600
267,501,000
235,385,000
437,892,500
307,996,470
158,175,000
222,618,150
295,310,400
99,118,500
537,744,000
101,637,900
0.79
2.07
1.78
1.87
0.31
1.57
1.81
1.04
1.67
1.15
1.73
1.09
1.84
1.55
2.57
2.66
1.78
2.81
1.54
0.93
2.26
1.47
1.81
3.87
2.84
1.76
1.65
2.60
1.30
1.98
1.83
2.14
2.86
1.61
1.35
2.71
1.68
1.44
1.71
1.09
0.90
1.05
2.64
1.46
2.09
1.84
3.43
2.41
1.24
1.74
2.31
0.77
4.20
0.80
12,712,928,170
99.40
Total Shares
12,712,928,170
99.40

12,712,928,170
99.40
Total Investments
12,712,928,170
99.40
Cash
133,103,263
1.04
(55,754,261)
(0.44)
12,790,277,172
100.00
Total Net Assets
139
Shares
Financials
Industrials
Materials
Consumer Staples
Energy
Health Care
Utilities
Total Shares
Total

Shares
Financials
Industrials
Materials
Energy
Consumer Staples
Health Care
Total Shares
Total
% of
Net Assets
31.51
19.96
16.78
13.25
5.03
4.36
3.31
2.86
1.30
1.04
99.40
0.60
100.00
% of
Net Assets
32.93
23.34
17.01
6.02
5.34
5.14
5.13
2.47
1.99
99.37
0.63
100.00

Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in JPY)
As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
33,980,000
(150,000)
Equity Futures
Sep-11
4 Topix Index Future
JPY
Total
(150,000)
140

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value

Shares
JAPAN
382,000
473,000
267,300
631,000
123,800
129,000
66,500
588,800
130,100
3,741
119,400
51,600
329,000
3,096,000
109,000
140,200
243,000
34,100
398,000
254,400
411,000
339,000
441,000
374,000
48,600
1,017,000
1,092,000
146,800
437,000
186,700
2,251
344,900
49,000
311,000
108,700
1,579,200
68,100
1,285,000
988
51,200
47,900
663,000
624,000
656,000
97,000
634,000
220,000
883,000
2,686,160
388,100
391,000
27,800
660,000
1,115,000
1,013,000
109,100
848,000
877,900
25,950
78,800
109,700
153,000
92,180
593,000
9,900
386,800
177,100
337,000
238,500
117,900
409,700
5,200
229,700
263,200
440,500
533,000
832,000
664,000
1,579,000
363,400
868,000
Ajinomoto
Amada
Astellas Pharma
Bank of Yokohama
Benesse Holdings
Canon
Capcom
Citizen Holdings
Coca-Cola West
Daikin Industries
Daiwa House Industry
DIC
East Japan Railway
Elpida Memory
Fanuc
FUJIFILM Holdings
Fujitsu
H2O Retailing
Hino Motors
Hisamitsu Pharmaceutical
Hitachi
Honda Motor
Itoham Foods
Izumi
Japan Tobacco
JFE Holdings
JGC
Joyo Bank
JSR
JX Holdings
Kansai Electric Power
KDDI
Komatsu
Kyushu Electric Power
Marubeni
Maruha Nichiro Holdings
Minebea
Mitsubishi
Mitsubishi Electric
Mitsubishi Estate
Mitsubishi Heavy Industries
Mitsui & Co.
Mitsui OSK Lines
Nintendo
Nippon Express
Nippon Sheet Glass
Nippon Steel
Nissan Motor
Nitori Holdings
Nitto Denko
Nomura Real Estate Holdings
Onward Holdings
ORIX
Osaka Gas
Otsuka
Otsuka Holdings
Panasonic
Ricoh
Sega Sammy Holdings
Seiko Epson
Shiseido
Softbank
Sony
Sumitomo
Sumitomo Bakelite
Sumitomo Chemical
Sumitomo Metal Industries
364,428,000
290,895,000
832,639,500
252,400,000
427,110,000
491,490,000
123,091,500
282,329,600
200,158,850
420,301,350
338,797,500
351,396,000
333,112,500
589,788,000
500,855,000
305,355,600
228,177,000
456,940,000
247,954,000
636,381,600
188,032,500
113,226,000
274,743,000
174,284,000
166,455,000
481,041,000
173,082,000
453,245,000
142,462,000
224,506,750
696,684,500
760,849,400
107,530,500
104,807,000
168,648,050
851,188,800
108,619,500
359,157,500
571,064,000
127,795,200
69,335,250
353,047,500
80,808,000
280,112,000
194,097,000
588,986,000
309,430,000
332,891,000
1,050,288,560
536,742,300
168,325,500
417,695,000
214,830,000
278,192,500
262,873,500
421,944,250
200,128,000
739,630,750
198,258,000
319,928,000
146,339,800
103,504,500
718,082,200
180,865,000
49,401,000
823,303,800
173,558,000
300,098,500
80,016,750
182,509,200
568,253,900
7,792,200
696,565,250
557,457,600
480,145,000
286,221,000
332,384,000
370,180,000
285,009,500
896,507,800
242,172,000
1.05
0.84
2.39
0.73
1.23
1.41
0.35
0.81
0.58
1.21
0.97
1.01
0.96
1.70
1.44
0.88
0.66
1.32
0.71
1.83
0.54
0.32
0.79
0.50
0.48
1.38
0.50
1.30
0.41
0.65
2.01
2.19
0.31
0.30
0.48
2.45
0.31
1.03
1.64
0.37
0.20
1.02
0.23
0.81
0.56
1.70
0.89
0.96
3.02
1.54
0.48
1.20
0.62
0.80
0.76
1.21
0.58
2.13
0.57
0.92
0.42
0.30
2.07
0.52
0.14
2.37
0.50
0.86
0.23
0.53
1.64
0.02
2.01
1.60
1.38
0.82
0.96
1.07
0.82
2.58
0.70
141
215,000
321,500
97,400
89,700
157,400
109,000
93,300
198,700
851,000
262,000
1,416,000
326,000
457,600
1,035,000
49,700
6,191
9,000
52,060
Name of Securities
Sumitomo Realty & Development

Sumitomo Rubber Industries
Sundrug
Suzuken
Suzuki Motor
Taiyo Yuden
Tohoku Electric Power
Tokio Marine Holdings
Tokyo Gas
Tokyu
Toshiba
Toto
Toyota Motor
Ube Industries
West Japan Railway
Yahoo! Japan
Yakult Honsha
Yamada Denki
384,742,500
312,337,250
248,175,200
165,945,000
284,185,700
113,523,500
108,321,300
445,882,800
309,338,500
87,770,000
596,844,000
203,098,000
1,507,792,000
249,435,000
156,058,000
170,964,465
20,884,500
339,951,800
1.11
0.90
0.71
0.48
0.82
0.33
0.31
1.28
0.89
0.25
1.72
0.58
4.34
0.72
0.45
0.49
0.06
0.98
34,124,182,325
98.20
Total Shares
34,124,182,325
98.20

34,124,182,325
98.20
Total Investments
34,124,182,325
98.20
Cash
649,798,212
1.87
(23,737,449)
(0.07)
34,750,243,088
100.00
Total Net Assets

Shares
Industrials
Financials
Materials
Health Care
Consumer Staples
Utilities
Energy
Total Shares
Total

Shares
Industrials
Financials
Materials
Consumer Staples
Utilities
Health Care
Energy
Total Shares
Total
%
of
Net
Assets
Market
Value
% of
Net Assets
21.42
19.72
16.95
9.95
8.95
5.72
5.07
4.86
3.11
2.45
98.20
1.80
100.00
% of
Net Assets
21.43
20.18
17.14
9.88
9.67
5.12
4.60
4.28
4.26
2.33
98.89
1.11
100.00

Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in JPY)
As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
458,730,000
5,551,727
Equity Futures
Sep-11
54 Topix Index Future
JPY
Total
5,551,727
142

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value

Shares
JAPAN
36,800
64,400
85,000
33,100
25,800
21,200
223,000
26,000
97,000
37,400
114,000
60,500
720
70,000
16,800
28,400
112,000
53,000
24,300
24,700
19,600
72,000
69,600
24,000
41,200
14,900
83,000
19,800
33,200
57,000
10,500
140,000
72,000
149,000
12,500
73,000
79,000
28,300
27,700
331,000
28,600
58,300
16,100
4,700
46,100
21,200
12,600
76,600
126
134,700
58,800
93,000
109,000
20,000
221,100
11,800
55,000
50,100
22,900
242
17,500
49,000
85,000
8,800
189,000
31,600
39,500
29,800
13,900
157,000
125,000
18,400
20,200
20,500
58,000
59,900
109,000
ADEKA
Aichi
Aichi Machine Industry
Aisan Industry
AOKI Holdings
Aoyama Trading
Aozora Bank
Arcs
Bando Chemical Industries
Bank of the Ryukyus
Bank of Yokohama
Belluna
BIC Camera
Calsonic Kansei
Cawachi
Century Tokyo Leasing
Chiba Bank
Chugoku Marine Paints
Cocokara Fine Holdings
Credit Saison
Daiichikosho
Dainichiseika Color & Chemicals Manufacturing
DCM Holdings
Eagle Industry
EDION
Fuji Machine Manufacturing
FUJIFILM Holdings
Fujitec
Fukuda Denshi
Fukuyama Transporting
Furukawa-Sky Aluminum
Fuyo General Lease
Gunma Bank
Hanwa
Heiwa
Heiwado
Hitachi
Hitachi Capital
Honda Motor
IBJ Leasing
Idemitsu Kosan
Iida Home Max
Imasen Electric Industrial
Inaba Denki Sangyo
Inabata & Co.
Inpex
ITOCHU
Itochu Enex
JFE Shoji Holdings
J-Oil Mills
JSP
JX Holdings
Kadokawa Group Holdings
Kansai Electric Power
Kanto Auto Works
Kato Sangyo
KDDI
Keihin
Kinden
Krosaki Harima
Ks Holdings
Kurabo Industries
Kuroda Electric
Kyowa Exeo
Kyushu Electric Power
Macnica
Marubeni
Marudai Food
Matsumotokiyoshi Holdings
Megmilk Snow Brand
Ministop
Mitsuba
Mitsubishi
Mitsubishi Chemical Holdings
29,936,800
25,695,600
28,007,500
28,002,600
32,237,100
29,287,800
41,366,500
32,734,000
31,622,000
38,073,200
45,600,000
31,702,000
30,978,000
33,775,000
26,510,400
41,038,000
56,336,000
33,257,500
49,438,350
33,295,600
25,499,600
28,260,000
37,932,000
24,144,000
31,209,000
32,452,200
51,709,000
33,917,400
83,049,800
26,305,500
24,927,000
46,760,000
30,708,000
42,614,000
33,937,500
30,879,000
27,966,000
35,134,450
27,561,500
156,563,000
31,031,000
180,001,250
31,386,950
40,232,000
32,316,100
24,136,200
26,926,200
38,223,400
74,466,000
112,205,100
26,254,200
36,316,500
25,778,500
26,870,000
119,172,900
29,576,700
87,725,000
36,798,450
34,075,200
139,876,000
29,592,500
33,516,000
29,112,500
30,580,000
30,334,500
29,040,400
32,113,500
43,135,500
25,416,150
83,602,500
30,937,500
31,546,800
29,936,400
29,643,000
42,891,000
119,859,900
61,912,000
0.38
0.33
0.36
0.36
0.42
0.38
0.54
0.42
0.41
0.49
0.59
0.41
0.40
0.44
0.34
0.53
0.73
0.43
0.64
0.43
0.33
0.37
0.49
0.31
0.40
0.42
0.67
0.44
1.08
0.34
0.33
0.60
0.39
0.55
0.44
0.40
0.36
0.46
0.36
2.03
0.40
2.33
0.41
0.52
0.42
0.31
0.35
0.50
0.97
1.45
0.34
0.47
0.33
0.34
1.54
0.38
1.14
0.48
0.44
1.81
0.38
0.43
0.38
0.40
0.39
0.38
0.42
0.56
0.33
1.08
0.40
0.41
0.39
0.38
0.56
1.55
0.80
143
93,000
124,000
760,600
11,380
90,700
167,000
1,320,100
83,000
41,100
20,700
14,300
26,100
37,000
33,000
45,000
65,000
232,000
16,800
157,000
115,000
46,500
222,000
116,900
47,000
63,300
23,000
66,000
76,000
1,074
69,800
9,660
18,800
59,000
87,000
71,000
74,000
16,000
94,000
24,100
111,000
73,000
84,000
106,000
35,200
74,000
79,700
55,000
32,000
15,600
308,000
160,000
101,900
84,700
319,120
68,000
82,000
73,000
27,500
81,000
39,200
114,000
86,000
16,300
30,000
41,600
15,000
74,000
25,800
89,000
165,000
109,900
30,800
15,500
17,900
20,100
47,700
34,700
18,600
11,400
68,000
Name of Securities
Mitsubishi Gas Chemical

Mitsubishi Steel Manufacturing
Mitsubishi UFJ Lease & Finance
Mitsui & Co.
Mitsui Chemicals
Morinaga Milk Industry
Nagase & Co.
NEC Capital Solutions
NEC Mobiling
NEC Networks and System Integration
Nippo
Nippon Densetsu Kogyo
Nippon Electric Glass
Nippon Flour Mills
Nippon Light Metal
Nippon Paper Group
Nippon Sheet Glass
Nippon Soda
Nishimatsu Construction
Nissan Motor
Nissan Shatai
Nissen
Nitta
Nittetsu Mining
NOF
NTT DoCoMo
Okabe
ORIX
Osaka Steel
Pacific Industrial
Press Kogyo
Rengo
Ricoh
Ricoh Leasing
Riken
Riso Kagaku
Ryobi
Sakai Chemical Industry
Sakata INX
Sanden
Sanoh Industrial
Sanyo Special Steel
Seino Holdings
Sekisui Jushi
Shimachu
Shinsei Bank
Sumikin Bussan
Sumitomo
Sumitomo Seika Chemicals
Sumitomo Warehouse
T RAD
Tachi-S
Taihei Kogyo
Teikoku Piston Ring
Toagosei
Toei
Tokai Corp/Gifu
Tokai Rubber Industries
Topre
Torii Pharmaceutical
Toshiba TEC
Touei Housing
Toyo Ink Manufacturing
Toyo Tire & Rubber
Toyota Motor
Toyota Tsusho
Trusco Nakayama
TS Tech
Unipres
U-Shin
Valor
Xebio
Yachiyo Bank
Yokohama Rubber
Market
Value
54,544,500
33,976,000
297,394,600
35,221,100
125,438,100
48,680,500
173,593,150
28,386,000
40,545,150
22,035,150
38,753,000
29,271,150
23,976,000
28,149,000
46,215,000
24,082,500
38,164,000
29,929,200
39,171,500
40,710,000
179,838,750
26,307,000
98,488,250
29,093,000
29,845,950
36,075,500
23,892,000
26,676,000
153,582,000
29,316,000
75,251,400
29,948,400
21,948,000
35,278,500
37,630,000
65,897,000
28,640,000
32,289,000
31,968,650
39,904,500
26,535,500
31,416,000
43,884,000
24,006,400
37,703,000
26,739,350
31,680,000
26,128,000
30,568,200
24,794,000
31,120,000
111,071,000
208,954,900
89,034,480
30,192,000
29,807,000
28,324,000
40,851,250
28,269,000
37,808,400
45,999,000
31,691,000
28,769,500
32,100,000
35,484,800
22,717,500
25,937,000
25,116,300
34,398,500
33,495,000
362,120,500
42,226,800
24,280,750
27,261,700
41,737,650
31,887,450
38,985,450
33,666,000
25,769,700
31,416,000
%
of
Net
Assets
0.70
0.44
3.85
0.46
1.63
0.63
2.25
0.37
0.53
0.29
0.50
0.38
0.31
0.36
0.60
0.32
0.49
0.39
0.51
0.53
2.33
0.34
1.28
0.38
0.39
0.47
0.31
0.35
1.99
0.38
0.97
0.39
0.28
0.46
0.49
0.85
0.37
0.42
0.41
0.52
0.34
0.41
0.57
0.31
0.49
0.35
0.41
0.34
0.40
0.32
0.40
1.44
2.71
1.15
0.39
0.39
0.37
0.53
0.37
0.49
0.60
0.41
0.37
0.42
0.46
0.29
0.34
0.33
0.45
0.43
4.69
0.55
0.31
0.35
0.54
0.41
0.50
0.44
0.33
0.41

Schedule of Investments (Market Value Expressed in JPY) (continued)
As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
18,000 Yorozu
226,000 Yuasa Trading
Quantity/
Nominal
Value
31,887,000
28,476,000
0.41
0.37
7,601,376,280
98.48
Total Shares
7,601,376,280
98.48

7,601,376,280
98.48
Total Investments
7,601,376,280
98.48
Cash
300,889,079
3.90
(183,817,757)
(2.38)
7,718,447,602
100.00
Total Net Assets

Shares
Financials
Industrials
Materials
Consumer Staples
Energy
Utilities
Health Care
Total Shares
Total

Shares
Financials
Industrials
Materials
Energy
Health Care
Consumer Staples
Utilities
Total Shares
Total
%
of
Net
Assets
Market
Value
% of
Net Assets
30.46
19.36
17.97
12.08
6.13
3.64
3.07
3.03
2.12
0.62
98.48
1.52
100.00
% of
Net Assets
27.62
20.38
19.38
13.86
5.80
4.62
3.45
2.69
1.15
0.43
99.38
0.62
100.00
144
Name of Securities
Market
Value
%
of
Net
Assets

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value

Shares and Warrants
SOUTH KOREA
165,000 Samsung Engineering
63,700 Samsung Electronics
95,336 Samsung C&T
62,000 OCI
133,000 Mando
525,000 Lock & Lock
350,000 KT&G
642,000 KB Financial Group
93,000 Hyundai Heavy Industries
180,000 Daewoo Shipbuilding & Marine Engineering
29,000 Amorepacific
CHINA
92,000,000
12,500,000
41,000,000
43,000,000
14,000,000
6,500,000
5,200,000
Agricultural Bank of China - H Shares *

BBMG - H Shares *
China Construction Bank - H Shares *
China Eastern Airlines - H Shares *
China National Building Material - H Shares *
Jiangxi Copper - H Shares *
Yanzhou Coal Mining - H Shares *
39,442,077
49,245,505
7,316,712
23,414,029
27,557,829
21,325,974
21,780,764
30,392,489
38,604,842
7,632,047
32,250,890
3.09
3.87
0.57
1.84
2.16
1.67
1.71
2.38
3.03
0.60
2.53
298,963,158
23.45
48,409,853
18,664,148
34,007,299
19,062,488
27,434,049
21,611,542
19,761,510
188,950,889
HONG KONG
9,500,000
10,900,000
2,200,000
30,000,000
2,900,000
BOC Hong Kong Holdings

CNOOC
Hutchison Whampoa
Poly Hong Kong Investments
Wharf Holdings
27,557,727
25,463,166
23,760,328
19,717,821
20,187,798
3.80
1.45
2.67
1.51
2.15
1.70
1.55
9.15
1.00
1.62
1.32
13,329,690
19,017,118
18,113,672
14,407,194
1.05
1.49
1.42
1.13
115,119,100
9.03
24,634,465
15,755,440
27,128,808
14,817,232
23,845,083
1.93
1.24
2.13
1.16
1.87
106,181,028
8.33
16,630,700
13,213,355
34,255,700
13,860,298
18,631,922
1.30
1.04
2.69
1.09
1.46
96,591,975
7.58
CAYMAN ISLANDS
21,000,000 China Resources Cement Holdings
15,000,000 China Resources Land
4,000,000 China Shineway Pharmaceutical Group
9,500,000 Sands China
12,800,000 Sany Heavy Equipment International Holdings
19,739,023
27,003,585
7,925,678
25,482,505
14,605,451
1.55
2.12
0.62
2.00
1.14
94,756,242
7.43
INDONESIA
4,000,000 Astra International
20,000,000 Bank Danamon Indonesia
12,878,242 United Tractors
29,740,600
14,048,382
37,459,882
2.33
1.10
2.94
81,248,864
6.37
TAIWAN
22,500,000
4,300,000
7,300,000
25,000,000
9,500,000
SINGAPORE
10,500,000
2,800,000
3,800,000
27,000,000
8,000,000
Advanced Semiconductor Engineering

Delta Electronics
Formosa Chemicals & Fibre
Taishin Financial Holding
Taiwan Semiconductor Manufacturing
Cosco
Fraser and Neave
Keppel
Midas Holdings
Overseas Union Enterprise
Krung Thai Bank - NVDR

Krung Thai Bank (Foreign)
PTT Chemical (Foreign)
Siam Cement - NVDR
%
of
Net
Assets
Market
Value
5,965,998
9,322,652
13,447,489
36,790,607
0.47
0.73
1.05
2.89
65,526,746
5.14
20,226,668
21,129,679
1.59
1.66
41,356,347
3.25
MALAYSIA
11,022,000 Petronas Chemicals Group
25,898,689
2.03
25,898,689
2.03
ISLE OF MAN
10,500,000 Genting Singapore
16,545,195
1.30
16,545,195
1.30
1,247,825,073
97.89

1,247,825,073
97.89
Total Investments
1,247,825,073
97.89
Cash
2.16
2.00
1.86
1.55
1.58
12,767,118
20,685,416
16,798,892
Ambuja Cements
Bharti Airtel
HDFC Bank
Hindalco Industries Warrants 21.09.2012
21.09.12
6,500,000 Infrastructure Development Finance
5,000,000 Mundra Port and Special Economic Zone
650,000 Tata Motors
Maturity/
Coupon
BERMUDA
18,000,000 Brilliance China Automotive Holdings
7,500,000 China Yurun Food Group
14.83
116,686,840
INDIA
4,250,000
2,350,000
300,000
3,300,000
THAILAND
9,755,600
15,244,400
2,800,000
3,200,000
Name of Securities
Total Net Assets
23,444,485
1.84
3,461,065
0.27
1,274,730,623
100.00
145

Shares and Warrants
Financials
Materials
Industrials
Consumer Staples
Energy
Health Care
Total

Shares and Warrants
Financials
Industrials
Materials
Consumer Staples
Health Care
Total
% of
Net Assets
31.01
18.59
16.84
11.97
7.67
7.57
2.00
1.62
0.62
97.89
2.11
100.00
% of
Net Assets
32.18
19.30
17.86
11.22
7.59
7.47
0.77
96.39
3.61
100.00

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
Name of Securities
COLOMBIA
249,000,000 Colombia (Republic of)
Maturity/
Coupon
28.06.27/9.850%
Market
Value
%
of
Net
Assets
180,379
0.45
180,379
0.45
Shares
3,328 Dex One
Total Shares
8,686
0.02
8,686
0.02
8,686
0.02
Bonds
70,000 Altria Group
95,000 American Express Credit
35,000 Anadarko Petroleum
95,000 Anheuser-Busch InBev Worldwide
60,000 Apache
105,000 Arch Coal
75,000 AT&T
80,000 AT&T
125,000 Citigroup
100,000 Citigroup
80,000 Constellation Brands
90,000 Dominion Resources
45,000 Energy Transfer Partners
70,000 Entergy Arkansas
100,000 Enterprise Products Operating
100,000 Ford Motor Credit
40,000 Georgia Power
173,000 HCA
55,000 HCP
105,000 Host Hotels & Resorts
100,000 Host Hotels & Resorts
200,000 Iron Mountain
110,000 Jarden
70,000 Kinder Morgan Energy Partners
250,000 Kraft Foods
265,000 MGM Resorts International
40,000 Nevada Power
50,000 Nisource Finance
400,000 Sealy Mattress
175,000 Sprint Capital
30,000 Time Warner
345,000 Verizon Wireless Capital
65,000 Watson Pharmaceuticals
50,000 WellPoint
70,000 Williams Partners
MEXICO
CANADA
135,000 Canadian Natural Resources
65,000 Encana
UNITED KINGDOM
150,000 Standard Chartered 144A
27.05.40/5.300%
05.05.21/4.750%
25.08.14/5.125%
15.12.20/6.400%
15.09.17/6.375%
15.01.20/5.375%
01.02.42/5.250%
01.08.16/8.750%
15.05.21/4.450%
15.05.38/6.400%
15.05.14/7.375%
01.04.15/4.500%
01.05.18/5.650%
21.11.17/6.125%
09.08.20/5.375%
01.09.16/7.250%
15.05.13/5.000%
15.08.19/5.200%
01.06.41/6.050%
15.02.21/3.750%
15.04.38/7.550%
15.08.17/6.625%
06.12.17/5.250%
16.09.20/4.375%
14.01.38/5.875%
01.03.37/5.650%
18.01.18/5.950%
01.04.18/6.150%
01.02.41/6.250%
15.11.16/9.625%*
01.02.21/5.375%
15.03.15/6.375%
01.06.16/6.750%
01.01.16/6.625%
01.05.17/7.500%
01.03.41/6.375%
11.08.17/6.500%
01.06.16/7.500%
02.11.15/3.450%
01.04.18/6.625%
15.05.41/5.450%
15.06.41/5.950%
16.05.18/5.650%
15.06.19/7.375%
15.06.14/8.250%
15.03.32/8.750%
29.03.41/6.250%
15.10.40/5.700%
01.04.21/4.600%
15.11.13/7.375%
15.04.41/5.625%
15.08.19/6.125%
15.08.40/5.800%
15.11.20/4.125%
05.12.24/10.000%
01.12.14/4.900%
15.08.37/6.625%
01.06.39/6.850%
21.01.21/6.375%
18.11.14/5.500%
45,022
70,041
103,674
74,551
40,105
104,993
58,809
114,319
76,279
85,256
174,551
135,675
68,296
137,881
104,416
87,264
106,722
98,666
43,639
66,817
120,637
106,879
33,230
59,246
59,770
41,479
43,125
81,613
19,884
184,432
56,832
107,020
103,298
200,201
114,987
71,895
294,134
253,685
164,212
109,900
39,803
49,193
84,723
88,767
400,348
188,738
30,880
89,352
51,559
392,429
41,108
73,354
50,543
67,605
0.11
0.18
0.26
0.19
0.10
0.26
0.15
0.29
0.19
0.21
0.44
0.34
0.17
0.35
0.26
0.22
0.27
0.25
0.11
0.17
0.30
0.27
0.08
0.15
0.15
0.11
0.11
0.21
0.05
0.46
0.14
0.27
0.26
0.51
0.29
0.18
0.74
0.64
0.41
0.28
0.10
0.12
0.22
0.22
1.01
0.48
0.08
0.23
0.13
0.99
0.10
0.19
0.13
0.17
5,671,837
14.30
422,248
1.06
422,248
1.06
148,889
70,846
56,877
0.38
0.18
0.14
276,612
0.70
56,931
164,475
0.14
0.42
221,406
0.56
LUXEMBOURG
65,000 ArcelorMittal
01.03.41/6.750%
04.06.38/7.721%
63,416
49,381
0.16
0.12
112,797
0.28
CAYMAN ISLANDS
15.09.19/5.625%
101,320
0.26
101,320
0.26
PERU
21.11.33/8.750%
34,059
0.09
34,059
0.09
SPAIN
30,000 Telefonica Emisiones
ISLE OF MAN
30,000 AngloGold Ashanti Holdings
16.02.21/5.462%
30,418
0.08
30,418
0.08
29,778
0.07
29,778
0.07
Total Bonds
7,080,854
17.85

Exchange Listing
7,089,540
17.87
01.12.14/6.750%
15.06.42/5.650%
103,500
39,803
0.26
0.10
25.11.35/5.500%
46,838
0.12
30.05.41/5.700%
29,326
0.07
11.12.38/5.243%
15.10.17/10.375%
01.06.17/11.250%
01.12.17/7.875%
30.10.17/7.250%
54,297
165,000
109,750
220,000
211,765
0.14
0.42
0.28
0.55
0.53
15.04.20/5.375%

Bonds
100,000 Ally Financial
40,000 Amgen
30,000 Barrick North America
Finance 144A
55,000 Bear Stearns Commercial
Mortgage Securities
2006-PW14 AM
150,000 Biomet
100,000 Caesars Entertainment Operating
200,000 Case New Holland 144A
205,000 CCO Holdings Capital
Trust 2007-A1 1A7
200,000 Clear Channel Worldwide
Holdings
1,170,548 Countrywide Asset-Backed
Certificates 2003-5 MF1
265,556 Countrywide Asset-Backed
Certificates 2005-4 AF3
65,000 DCP Midstream 144A
75,000 DirecTV Holdings
275,000 DISH DBS
36,072 Fannie Mae Interest Strip 366 18
144,242 Fannie Mae Interest Strip 390 C7
186,186 Fannie Mae Interest Strip 390 C8
141,847 Fannie Mae Pool No: AA9363
63,223 Fannie Mae REMICS 2003-22 IO
168,989 Fannie Mae REMICS 2008-17 KS
194,910 Fannie Mae REMICS 2008-71 SB
170,028 Fannie Mae REMICS 2009-95 HI
1,004,000 Federal Farm Credit Discount
Notes
370,000 Freddie Mac
465,334 Freddie Mac Gold Pool
No: G01589
364,874 Freddie Mac Non Gold Pool
No: 1G1999
395,504 Freddie Mac Non Gold Pool
No: 1J0453
146
25.01.37/6.000%
442,108
1.11
15.12.17/9.250%
216,000
0.54
25.01.34/5.413%*
752,936
1.90
25.10.35/4.456%*
15.03.19/9.750%
01.03.21/5.000%
01.02.16/7.125%
01.10.35/4.000%
25.07.23/4.000%
25.07.23/4.500%
01.12.17/5.000%
01.03.35/7.500%
01.09.21/5.500%
01.07.37/5.000%
01.09.37/6.000%
01.02.35/5.000%
01.11.37/6.000%
01.01.38/6.000%
01.08.39/4.500%
25.04.33/6.000%
25.11.37/6.164%*
25.10.29/6.299%*
25.12.38/6.000%
25.08.20/5.000%
261,831
85,326
77,735
290,980
3,467
12,381
19,110
176,690
74,725
509,130
266,551
314,503
169,252
135,943
111,151
146,878
13,804
24,607
19,433
28,081
68,104
0.66
0.22
0.20
0.73
0.01
0.03
0.05
0.45
0.19
1.28
0.67
0.79
0.43
0.34
0.28
0.37
0.03
0.06
0.05
0.07
0.17
06.07.11/0.000%
30.07.14/1.000%
1,003,996
369,963
2.53
0.93
01.09.33/5.000%
497,227
1.25
01.06.37/5.379%*
392,211
0.99
01.06.37/5.537%*
427,051
1.08

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
135,327 Freddie Mac REMICS 3612 JI

150,000 Freescale Semiconductor 144A
463,822 GE Capital Commercial Mortgage
2002-1A A3
155,000 Georgia-Pacific
265,593 Ginnie Mae I Pool No: 713334
Funding 2005-GG3 A4
1,843,485 GSAA Trust 2006-11 2A2
2,178,582 Indymac Index Mortgage Loan
Trust 2007-FLX3 A1
Funding I 144A
Funding I 144A
60,000 Midamerican Energy Holdings
2006-IQ12 A4
666,818 Morgan Stanley Dean Witter
Capital I 2002-TOP7 A2
35,000 Oncor Electric Delivery
45,000 Oracle
45,000 Oracle 144A
200,000 PAETEC Holding
49,397 Residential Accredit Loans
2006-QS18 3A3
250,000 Spectrum Brands 144A
80,000 State of California
50,000 State of Illinois
155,000 Steinway Musical
Instruments 144A
250,000 US Treasury
757,000 US Treasury
490,000 US Treasury
675,000 US Treasury
70,000 US Treasury
101,000 US Treasury
527,000 US Treasury
35,000 US Treasury
250,000 US Treasury
45,000 US Treasury
111,000 US Treasury
International 144A
55,000 Windstream
UNITED KINGDOM
190,000 HSBC Bank 144A
100,000 PPL WEM Holdings 144A
NETHERLANDS
80,000 NXP/NXP Funding 144A
150,000 NXP/NXP Funding 144A
CAYMAN ISLANDS
217,976 Helios Finance 2007-S1 B1
CANADA
125,000 Quebecor Media
70,000 Xstrata Finance Canada 144A
ITALY
100,000 Intesa Sanpaolo 144A
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
15.05.24/4.500%
15.04.18/9.250%
18,246
160,875
0.05
0.41
10.12.35/6.269%
15.08.11/0.331%*
15.06.15/7.700%
15.05.39/4.500%
473,445
90,025
177,825
280,325
1.19
0.23
0.45
0.71
FRANCE
80,000 RCI Banque 144A
BELGIUM
35,000 Delhaize Group
10.08.42/4.799%*
25.07.36/0.346%*
524,445
865,015
1.32
2.18
25.06.37/0.426%*
1,408,096
3.55
Commercial Papers
1,000,000 Atlantic Asset Securitisation
1,000,000 Gotham Funding
1,000,000 ING (US) Funding
1,000,000 Old Line Funding
1,000,000 Windmill Funding
10.04.13/5.125%
106,440
0.27
18.09.13/5.200%
15.09.37/6.500%
146,824
67,831
0.37
0.17
15.12.43/5.332%
113,894
0.29
15.01.39/5.980%
01.04.21/4.375%
30.09.40/5.250%
08.07.39/6.125%
15.07.40/5.375%
15.07.15/9.500%
684,872
143,565
33,753
49,919
45,283
208,250
1.73
0.36
0.09
0.13
0.11
0.52
25.12.21/5.750%
15.04.19/9.000%
15.04.19/7.125%
15.06.18/9.500%
01.04.39/7.550%
01.06.33/5.100%
44,364
132,975
128,375
275,000
91,744
42,538
0.11
0.34
0.32
0.69
0.23
0.11
01.03.14/7.000%
10.11.11/0.000%
31.05.13/0.500%
15.05.14/1.000%
30.04.16/2.000%
31.05.16/1.750%
31.05.18/2.375%
15.05.21/3.125%
15.02.31/5.375%
15.02.39/3.500%
15.08.39/4.500%
15.02.41/4.750%
15.05.41/4.375%
15.05.40/4.375%
15.08.40/3.875%
157,519
129,959
250,298
762,559
1,027,793
491,837
673,418
1,013,287
82,070
86,600
537,375
37,108
249,219
44,845
101,348
0.40
0.33
0.63
1.92
2.59
1.24
1.70
2.55
0.20
0.22
1.35
0.09
0.63
0.11
0.26
Maturity/
Coupon
Name of Securities
12.04.16/4.600%
01.10.40/5.700%
Total Bonds
UNITED KINGDOM
Securitization
29.08.11/0.000%
01.07.11/0.000%
08.09.11/0.000%
29.07.11/0.000%
01.09.11/0.000%
19.08.11/0.000%
08.09.11/0.000%
29.07.11/0.000%

Regulated Market

82,815 CVS Pass Through Trust 144A
CAYMAN ISLANDS
10,000,000 Links Finance 144A**
10.01.32/7.507%
52.41
0.48
0.26
293,594
0.74
90,000
167,437
0.23
0.42
257,437
0.65
103,915
0.26
103,915
0.26
7,998,092
20.15
29,988,883
75.58
98,635
0.25
98,635
0.25
0.25
189,801
103,793
24.02.21/6.500%
2.52
2.52
93.70
20,795,323
0.53
999,827
999,827
37,177,058
0.13
0.15
208,733
17.63
0.25
51,834
58,554
0.33
0.20
6,998,265
98,635
25.09.36/6.000%
01.09.18/8.125%
130,000
78,733
2.52
2.52
2.52
2.52
2.51
2.52
2.52
98,635
Total Investments
15.03.16/7.750%
15.11.16/5.800%
999,685
1,000,000
999,661
999,863
999,678
999,755
999,623
Total Bonds
0.55
55.43
0.00
1.25
0.52
0.55
21,990,791
0.00
0.33
217,019
0.08
0.08
130,275
20.10.14/0.886%*
32,727
32,727
15.06.10/0.000%
497,213
206,835
217,019
0.21
0.21
Bonds
15.10.44/5.380%*
15.06.16/3.676%
15.07.13/10.000%
01.08.18/9.750%
82,043
82,043
15.07.22/7.250%
24.05.16/3.100%
01.05.21/5.375%
%
of
Net
Assets
Market
Value
Cash
2,706,081
6.82
(206,493)
(0.52)
39,676,646
100.00
Total Net Assets

** This security is submitted to a fair valuation.
147

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon

United Kingdom
Canada
Mexico
Cayman Islands
Netherlands
Colombia
Luxembourg
Italy
France
Peru
Belgium
Spain
Isle Of Man
Shares
Total Shares
Total

France
Jersey
Cayman Islands
Mexico
Canada
United Kingdom
Netherlands
Isle of Man
Belgium
Bermuda
Shares
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
84.59
3.82
1.23
1.06
0.81
0.65
0.45
0.28
0.26
0.21
0.09
0.08
0.08
0.07
93.68
0.02
0.02
6.30
100.00
% of
Net Assets
74.57
4.90
2.45
1.59
1.51
1.44
1.13
0.64
0.39
0.23
0.19
89.04
0.06
0.06
10.90
100.00
148
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets

Schedule of Investments - Outstanding To be Announced Securities (Expressed in USD)
As at 30 June 2011
Maturity
Date
Name of Securities
Coupon
Nominal
Value
Market
Value
Unrealised
Gain/
(Loss)
4.500%
5.000%
3.500%
4.000%
4.500%
5.000%
5.500%
6.000%
4.500%
5.000%
5.500%
6.000%
4.500%
5.000%
5.500%
6.000%
4.000%
4.000%
4.000%
640,000
70,000
300,000
730,000
840,000
230,000
600,000
400,000
645,000
660,000
340,000
225,000
870,000
480,000
855,000
420,000
460,000
310,000
3,310,000
678,700
75,031
305,578
760,455
868,219
244,052
647,906
439,313
680,777
714,450
374,053
250,910
900,858
510,075
924,469
461,409
460,216
316,055
3,319,309
(98)
(1,609)
(1,381)
(4,894)
(1,222)
(3,844)
63
(302)
(837)
(691)
(105)
(2,460)
(1,743)
(5,410)
(2,051)
(4,097)
(1,211)
(16,630)
12,931,836
(48,524)

25-Jul-24
25-Jul-24
25-Jul-26
25-Jul-26
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
15-Jul-39
25-Jul-39
25-Jul-39
25-Jul-39
25-Jul-39
15-Jul-41
15-Jul-41
25-Jul-41
Fannie Mae
Fannie Mae
Fannie Mae
Fannie Mae
Freddie Mac
Freddie Mac
Freddie Mac
Freddie Mac
Ginnie Mae
Ginnie Mae
Ginnie Mae
Ginnie Mae
Fannie Mae
Fannie Mae
Fannie Mae
Fannie Mae
Freddie Mac
Ginnie Mae
Fannie Mae
Total
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
1,092,256
(2,180,345)
(1,097,031)
(1,433,625)
1,839,844
369,469
6,511
(6,179)
(453)
4,977
7,273
(4,609)
Bond Futures
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
Sep-11
6
(14)
(5)
(12)
15
3
Euro-Bund Future
Euro-Schatz Future
US Long Bond Future
EUR
EUR
USD
USD
USD
USD
Total
7,520
Settlement
Date
Currency
Amount
Purchased
Currency
Amount
Sold
Unrealised
Gain/
(Loss)
21-Sep-11
21-Sep-11
CZK
USD
3,075,000
180,420
USD
EUR
183,065
126,000
(310)
(1,456)
Total
(1,766)
149

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
35,900
92,000
36,400
7,900
94,800
49,100
69,100
33,700
92,600
57,750
17,800
69,300
26,200
12,000
26,000
85,250
19,200
116,400
16,100
75,300
53,900
309,800
37,600

Shares
14,900 Alaska Air Group
14,600 Alliance Data Systems
37,250 American Electric Power
31,000 AMERIGROUP
32,300 Amgen
10,700 Apache
100 Apollo Investment
23,900 Apple
19,500 Assurant
40,900 AT&T
8,400 Autoliv
6,100 AutoZone
26,800 Biogen Idec
88,100 CBS Non Voting - B Shares
22,204 CenturyLink
72,880 Chevron
122,900 Chimera Investment
30,500 Cigna
113,770 Citigroup
7,400 Cliffs Natural Resources
30,500 Coca-Cola Enterprises
29,300 Complete Production Services
78,700 Constellation Brands - A Shares
11,800 Cooper
38,400 CSX
23,600 Cummins
33,700 Darling International
6,500 Dell
152,700 Discover Financial Services
17,500 Eastman Chemical
43,700 Endo Pharmaceuticals Holdings
30,300 Energen
25,600 Energizer Holdings
109,290 Exxon Mobil
93,800 Ford Motor
61,300 Gannett
12,600 H&R Block
35,700 Harris
29,900 Humana
102,500 Huntington Bancshares
52,500 IAC/InterActive
5,600 Joy Global
48,900 KBR
20,700 Kimberly-Clark
34,000 Kinetic Concepts
13,100 Lam Research
64,600 Lincoln National
21,500 Lorillard
63,350 Macys
54,900 MetLife
135,700 Microsoft
17,500 National Oilwell Varco
25,350 Norfolk Southern
55,100 Oracle
12,000 Parker Hannifin
30,000 Patterson-UTI Energy
200,600 Pfizer
40,000 PNC Financial Services Group
38,900 PPG Industries
24,900 ProLogis
33,700 Protective Life
30,300 Qualcomm
78,600 RR Donnelley & Sons
18,000 SanDisk
59,900 Sempra Energy
8,410 Simon Property Group
54,000 SLM
20,400 Sothebys
1,026,908
1,364,735
1,392,777
2,196,195
3,812,356
1,883,897
1,311,445
1,015
7,974,235
706,875
1,284,260
658,308
1,785,043
2,369,347
2,924,014
2,004,970
2,629,684
2,541,244
893,933
7,437,768
430,764
1,570,750
4,704,390
679,505
893,193
973,346
1,636,960
914,146
1,005,504
2,431,980
606,768
107,607
4,096,177
1,778,787
1,744,723
1,710,132
1,857,792
8,862,872
1,278,963
964,988
83,051
874,751
341,769
202,671
1,613,819
3,656,063
2,445,072
667,787
2,000,250
8,189,706
516,096
1,840,107
1,372,410
1,969,960
578,562
1,835,609
2,348,875
1,853,304
2,394,464
3,496,311
1,359,313
1,905,939
3,886,284
1,805,903
1,067,460
923,850
4,129,351
3,976,200
2,360,400
3,495,165
887,063
774,595
1,618,816
1,703,012
1,539,381
735,750
3,131,872
968,243
915,030
857,780
894,948
0.46
0.61
0.62
0.99
1.71
0.85
0.59
0.00
3.58
0.32
0.58
0.30
0.80
1.06
1.31
0.90
1.18
1.14
0.40
3.34
0.19
0.71
2.11
0.31
0.40
0.44
0.73
0.41
0.45
1.09
0.27
0.05
1.84
0.80
0.78
0.77
0.83
3.98
0.57
0.43
0.04
0.39
0.15
0.09
0.72
1.64
1.10
0.30
0.90
3.68
0.23
0.83
0.62
0.88
0.26
0.82
1.05
0.83
1.07
1.57
0.61
0.86
1.74
0.81
0.48
0.41
1.85
1.79
1.06
1.57
0.40
0.35
0.73
0.76
0.69
0.33
1.41
0.44
0.41
0.39
0.40
Name of Securities
SunTrust Banks
Symantec
Timken
TRW Automotive Holdings
Tyson Foods - A Shares
United Continental Holdings
UnitedHealth Group
Universal Health Services - B Shares
Valero Energy
Verizon Communications
VF
Viacom - B Shares
Vishay Intertechnology
WABCO Holdings
Walgreen
Wal-Mart Stores
Weight Watchers International
Wells Fargo & Co.
Westlake Chemical
Windstream
Wyndham Worldwide
Xerox
Xilinx
SWITZERLAND
28,800 Allied World Assurance Co Holdings
BERMUDA
17,800 Endurance Specialty Holdings
37,400 Freescale Semiconductor Holdings I
41,600 Signet Jewelers
CAYMAN ISLANDS
31,500 Herbalife
IRELAND
8,900 Covidien
52,100 Warner Chilcott - A Shares
150
Market
Value
%
of
Net
Assets
919,040
1,811,020
1,813,812
466,653
1,855,710
1,124,881
3,571,779
1,752,906
2,335,835
2,130,108
1,934,860
3,576,573
395,096
829,860
1,090,180
4,496,511
1,465,728
3,257,454
841,950
976,265
1,813,196
3,204,881
1,352,660
0.42
0.81
0.82
0.21
0.83
0.50
1.60
0.79
1.05
0.95
0.87
1.61
0.18
0.37
0.49
2.02
0.66
1.46
0.37
0.44
0.81
1.44
0.61
204,682,306
91.87
1,648,512
4,070,138
0.74
1.83
5,718,650
2.57
741,103
668,151
1,936,064
0.33
0.30
0.87
3,345,318
1.50
1,822,905
0.82
1,822,905
0.82
477,975
1,258,997
0.21
0.57
1,736,972
0.78
Total Shares
217,306,151
97.54

217,306,151
97.54
Total Investments
217,306,151
97.54
Cash
8,069,966
3.62
(2,594,151)
(1.16)
222,781,966
100.00
Total Net Assets

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities

Shares
Financials
Energy
Health Care
Industrials
Consumer Staples
Materials
Utilities
Total Shares
Total

Shares
Financials
Energy
Health Care
Industrials
Consumer Staples
Materials
Utilities
Total Shares
Total
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
% of
Net Assets
16.94
16.00
12.93
12.87
12.74
11.84
6.30
3.48
2.41
2.03
97.54
2.46
100.00
% of
Net Assets
18.31
18.18
13.52
12.58
11.30
8.69
5.86
4.59
2.53
1.39
96.95
3.05
100.00
151
Name of Securities
Market
Value
%
of
Net
Assets

As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
4,987,500
125,025
Equity Futures
Sep-11
76 SP 500 Emini Future
USD
Total
125,025
Settlement
Date
Currency
Amount
Purchased
Currency
14-Jul-11
14-Jul-11
15-Aug-11
EUR
USD
EUR
20,411,649
1,998,914
197,373
USD
EUR
USD
Total
Amount
Sold
Unrealised
Gain/
(Loss)
29,777,276
1,383,713
284,293
(253,424)
(2,518)
910
(255,032)
152

As at 30 June 2011
Quantity/
Nominal
Value
Name of Securities
Maturity/
Coupon
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
134,500
50,773
87,344
52,549
46,599
263,660
802,948
395,116
38,956
56,150
51,220
38,507
383,468
217,107
438,919
35,317
51,867
101,600
1,160,915
396,336
1,804,573
689,641
86,330
100,220
58,901
300,305
19,340
10,000
311,930
221,591
48,350
314,496
8,316
314,874
34,439
731,251
557,359
273,319
797,992
46,213
4,000
680,166
28,300
242,883
315,927
13,570
60,185
171,327
118,683
3,627,925
224,402
56,185
30,200
208,656
49,062
225,404
165,891
80,840
28,230
1,393,216
120,158
460,869
316,834
240,114
120,252
952,293
11,956
19,120
78,051
257,097
41,990
1,529,784
348,226
396,817
260,846
116,728

Shares
220,606 3M
284,595 Adobe Systems
185,069 Aflac
66,374 AGL Resources
157,399 Air Products & Chemicals
744,284 Alcoa
7,740 Alexandria Real Estate Equities
147,481 Amazon.com
51,219 American Tower - A Shares
58,091 American Water Works
92,429 Analog Devices
80,303 Apache
255,551 Apple
483,594 AT&T
27,123 Autozone
57,970 Baker Hughes
103,701 BB&T
131,000 Becton Dickinson & Co.
56,760 Berkshire Hathaway - B Shares
226,583 Biogen Idec
160 CA
96,393 Cameron International
271,405 Campbell Soup
258,676 Cardinal Health
345,816 Celgene
306,843 CenterPoint Energy
471,637 Chevron
1,591,738 Cisco Systems
788,474 Citigroup
53,557 Citrix Systems
13,210 CME Group
102,059 Coach
633,889 Coca-Cola
367,790 Comcast - A Shares
114,756 Constellation Energy Group
53,958 Crown Holdings
332,213 CSX
150,996 CVS Caremark
22,990 Darden Restaurants
87,092 DaVita
169,296 Dendreon
162,345 Devon Energy
37,013 Dicks Sporting Goods
351,024 Dow Chemical
4,200 Dr Pepper Snapple Group
163,355 Emerson Electric
223,715 EOG Resources
599,469 Exxon Mobil
407,457 Fifth Third Bancorp
94,997 First American Financial
139,393 FirstEnergy
231,273 Fluor
311,790 Gannett
305,490 General Mills
144,022 Georgia Gulf
17,749 Google - A Shares
48,740 Halliburton
172,479 HCP
165,410 Hewlett-Packard
339,200 Home Depot
124,823 Humana
20,829,619
33,898,028
8,880,787
8,580,724
2,707,064
14,930,082
11,867,608
598,573
29,719,634
11,278,079
2,687,205
1,729,369
3,593,640
9,842,337
85,264,591
15,184,852
7,937,003
4,189,782
26,874,488
2,750,669
11,322,330
4,372,507
24,721,338
15,556,877
3,649
4,791,696
9,408,254
11,677,928
9,271,735
20,984,115
5,938,946
48,132,914
24,616,228
32,603,400
4,241,179
3,825,484
6,446,046
42,676,577
15,619,882
15,161,361
9,292,214
19,344,845
4,343,515
2,080,620
8,698,997
5,638,946
1,142,143
7,545,651
6,870,032
12,793,598
1,429,627
12,435,025
175,602
25,488,478
3,277,345
9,075,187
23,363,676
48,613,939
5,193,039
1,508,077
6,108,898
14,907,858
8,510,984
1,871,535
4,449,243
8,313,773
11,377,975
23,477,107
3,411,161
23,613,114
8,942,212
2,475,748
6,317,906
6,047,390
12,229,856
21,426,316
10,207,401
1.01
1.64
0.43
0.42
0.13
0.73
0.58
0.03
1.44
0.55
0.13
0.08
0.17
0.48
4.12
0.74
0.38
0.20
1.30
0.13
0.55
0.21
1.20
0.75
0.00
0.23
0.45
0.57
0.45
1.01
0.29
2.33
1.19
1.58
0.20
0.18
0.31
2.06
0.76
0.73
0.45
0.93
0.21
0.10
0.42
0.27
0.05
0.36
0.33
0.62
0.07
0.60
0.01
1.23
0.16
0.44
1.13
2.35
0.25
0.07
0.30
0.72
0.41
0.09
0.21
0.40
0.55
1.13
0.16
1.14
0.43
0.12
0.31
0.29
0.59
1.04
0.49
Name of Securities
Huntington Bancshares
IntercontinentalExchange
International Business Machines
Intersil - A Shares
ITT Educational Services
Johnson & Johnson
Johnson Controls
Juniper Networks
Kellogg
KLA-Tencor
Kohls
Kroger
Lam Research
Lennar - A Shares
Lowes
Mastercard - A Shares
Mattel
McKesson
Merck & Co.
MetLife
Microsoft
Morgan Stanley
Motorola Mobility Holdings
Mylan
National Oilwell Varco
NextEra Energy
Nike - B Shares
Noble Energy
Norfolk Southern
Northeast Utilities
Novellus Systems
NV Energy
NVR
Occidental Petroleum
Oneok
Oracle
Paccar
PepsiCo
Pfizer
Philip Morris International
Polo Ralph Lauren
Procter & Gamble
ProLogis
Prudential Financial
Qualcomm
Regency Centers
SanDisk
Sempra Energy
Southwestern Energy
Sprint Nextel
St Jude Medical
Staples
Starwood Hotels & Resorts Worldwide
State Street
SVB Financial Group
Sysco
Target
TD Ameritrade Holding
Thermo Fisher Scientific
Time Warner
Union Pacific
United Technologies
UnitedHealth Group
US Bancorp
VeriFone Systems
Verizon Communications
VF
Visa - A Shares
Wal-Mart Stores
Walt Disney
WellPoint
Wells Fargo & Co.
Williams
Xilinx
Yum! Brands
Zions Bancorporation
565,560 Schlumberger
153
Maturity/
Coupon
Market
Value
%
of
Net
Assets
876,268
6,349,164
15,005,699
671,051
3,699,495
17,599,305
33,478,917
12,341,448
2,152,903
2,270,706
2,596,598
953,241
16,935,864
4,032,763
10,259,732
10,707,585
1,422,452
8,482,584
40,823,576
17,286,195
46,494,823
15,816,916
1,923,432
2,462,907
4,575,135
17,166,935
1,730,640
899,000
23,452,457
7,795,571
1,723,194
4,807,071
6,066,938
32,894,887
2,557,957
23,966,752
28,079,746
19,208,859
16,426,665
3,062,536
530,260
42,673,615
1,008,187
15,358,707
17,756,677
593,552
2,460,062
8,957,832
5,084,973
19,064,746
10,664,705
885,195
1,673,080
9,396,823
2,937,587
7,021,335
7,731,350
1,569,509
1,820,129
50,260,267
12,588,954
40,404,385
16,377,149
6,076,085
5,350,011
35,125,327
1,299,617
1,644,033
4,116,800
9,935,514
3,337,575
42,811,005
10,512,943
14,275,492
14,403,916
2,793,885
0.04
0.31
0.73
0.03
0.18
0.85
1.62
0.60
0.11
0.11
0.13
0.05
0.82
0.20
0.50
0.52
0.07
0.41
1.97
0.84
2.25
0.77
0.09
0.12
0.22
0.83
0.08
0.04
1.13
0.38
0.08
0.23
0.29
1.59
0.12
1.16
1.36
0.93
0.79
0.15
0.03
2.06
0.05
0.74
0.86
0.03
0.12
0.43
0.25
0.92
0.52
0.04
0.08
0.45
0.14
0.34
0.37
0.08
0.09
2.43
0.61
1.95
0.79
0.29
0.26
1.70
0.06
0.08
0.20
0.48
0.16
2.07
0.51
0.69
0.70
0.14
1,894,274,862
91.59
48,805,000
2.36
48,805,000
2.36

As at 30 June 2011
Quantity/
Nominal
Value
Maturity/
Coupon
Name of Securities
SWITZERLAND
184,781 ACE
IRELAND
377,955 Covidien
116,510 XL Group
BERMUDA
35,480
35,750
263,190
252,762
295,681
23,964
44,079
Axis Capital Holdings

Everest Re Group
Freescale Semiconductor Holdings
Genpact
Invesco
Marvell Technology Group
RenaissanceRe Holdings
PANAMA
450,865 Carnival
Market
Value
%
of
Net
Assets
Quantity/
Nominal
Value
12,162,285
8,862,584
13,915,775
0.59
0.43
0.67
34,940,644
1.69
7,243,024
20,298,073
2,562,637
0.35
0.99
0.12
30,103,734
1.46
1,104,315
2,921,847
4,709,785
4,338,660
6,890,846
347,837
3,058,862
0.05
0.14
0.23
0.21
0.33
0.02
0.15
23,372,152
1.13
16,878,131
0.82
16,878,131
0.82
Name of Securities
Maturity/
Coupon

Shares
Financials
Health Care
Energy
Industrials
Consumer Staples
Materials
Utilities
Total Shares
Total

ISRAEL
5,157,475
0.25
5,157,475
0.25
331,912
0.02
LIBERIA
8,851 Royal Caribbean Cruises
331,912
0.02
Total Shares
2,053,863,910
99.32

2,053,863,910
99.32
1,349,303
0.07

Bonds

Shares
Financials
Energy
Health Care
Industrials
Consumer Staples
Materials
Utilities
Total Shares
Total

30.06.12/0.625%
1,349,303
0.07
Total Bonds
1,349,303
0.07

Regulated Market
1,349,303
0.07
2,055,213,213
99.39
Total Investments
Cash
15,612,684
0.75
(2,919,999)
(0.14)
2,067,905,898
100.00
Total Net Assets
154
Market
Value
%
of
Net
Assets
% of
Net Assets
0.07
0.07
17.55
14.52
13.50
13.00
12.85
9.42
7.71
3.81
3.51
3.45
99.32
0.61
100.00
% of
Net Assets
0.16
0.16
18.36
14.45
13.85
12.65
9.99
9.40
8.75
4.59
3.39
3.39
98.82
1.02
100.00

As at 30 June 2011
Expiration
Date
Number of
Currency
Notional
Value
Unrealised
Gain/
(Loss)
13,256,250
370,563
Equity Futures
Sep-11
202 SP 500 Emini Future
USD
Total
370,563
Settlement
Date
Currency
14-Jul-11
14-Jul-11
15-Aug-11
EUR
USD
EUR
Amount
Purchased
Currency
213,706,632
137,367,724
70,499
USD
EUR
USD
Total
Amount
Sold
Unrealised
Gain/
(Loss)
311,883,755
96,055,602
101,545
(2,773,844)
(1,569,184)
325
(4,342,703)
155

Appendix - Unaudited Additional Disclosures (continued)
#
1. Fund Total Expense Ratios (continued)
For the
For the
period
period
ended
ended
30 Jun 11 30 Jun 11***
For the
year
ended
31 Dec 10
For the
year
ended
31 Dec 09
For the
year
ended
31 Dec 08
For the
year
ended
31 Dec 07
Capped
Expense
Ratio
30 Jun 11
Inception
Date
31-May-10
31-May-10
15-Jun-10
30-Jun-10
30-Jun-10
31-May-10
31-May-10

1.40%
1.40%
0.85%
0.85%
0.70%
1.90%
1.90%
1.40%
1.40%
0.85%
0.85%
0.70%
1.90%
1.90%

0.65%
0.26%
0.75%
-
0.65%
0.26%
0.75%
-
0.65%
0.25%
0.75%
-
0.65%
0.25%
0.75%
-
0.65%
0.25%
0.05%
- 16-Jan-95
- 18-Dec-03
- 10-Oct-08
0.05% 08-May-02

0.90%
0.90%
0.60%
0.50%
1.25%
0.09%
0.90%
0.90%
0.60%
0.50%
1.25%
0.10%
0.90%
0.90%
0.60%
0.50%
1.25%
0.10%
0.90%
0.90%
0.60%
0.50%
1.25%
0.10%
1.00%
1.00%
0.60%
0.54%
1.40%
0.09%
0.10%
01-Jul-97
18-Oct-05
23-Sep-97
16-Jun-98
16-Jul-01
30-Apr-98

1.90%
1.90%
1.15%
1.00%
2.90%
0.12%
1.90%
1.90%
1.15%
1.00%
2.90%
0.13%
1.90%
1.90%
1.15%
1.00%
2.90%
0.14%
1.90%
1.90%
1.15%
1.00%
2.90%
-
1.90%
1.90%
1.15%
0.95%
2.90%
0.11%
0.15%
27-May-03
15-May-06
13-Oct-03
06-Nov-03
27-May-03
27-May-03

1.90%
1.90%
1.90%
1.15%
0.85%
2.65%
2.65%
0.77%
0.12%
0.12%
1.90%
1.90%
1.90%
1.15%
0.85%
2.65%
2.65%
0.57%
0.13%
0.13%
1.90%
1.90%
1.90%
1.15%
0.85%
2.65%
2.65%
0.15%
0.15%
1.90%
1.90%
1.90%
1.15%
0.85%
2.65%
2.65%
0.15%
0.15%
1.90%
1.90%
1.90%
1.15%
0.63%
2.65%
2.65%
0.12%
0.02%
0.81%
0.15%
0.15%
29-Aug-97
24-Oct-07
15-May-06
13-Oct-03
07-Jan-98
19-Mar-07
20-Dec-07
13-Apr-10
21-May-01
24-Oct-07

1.90%
1.90%
1.90%
1.15%
0.85%
2.65%
0.76%
0.11%
1.90%
1.90%
1.90%
1.15%
0.85%
2.65%
0.11%
1.90%
1.90%
1.90%
1.15%
0.85%
2.65%
0.15%
1.90%
1.90%
1.90%
0.85%
2.65%
0.15%
1.90%
1.90%
1.90%
0.63%
2.65%
0.09%
0.81%
0.15%
27-Feb-05
15-May-06
04-Apr-07
04-Apr-07
20-Apr-07
12-Dec-05
05-May-11
21-May-07

1.00%
1.00%
0.70%
0.55%
1.40%
0.10%
1.00%
1.00%
0.70%
0.55%
1.40%
0.10%
1.00%
1.00%
0.70%
0.55%
1.40%
0.10%
1.00%
1.00%
0.70%
0.55%
1.40%
0.10%
1.00%
1.00%
0.70%
0.53%
1.40%
0.08%
0.10%
08-Jan-99
15-May-06
07-May-97
07-May-97
03-Apr-01
18-Jun-98

1.20%
1.00%
0.70%
0.55%
1.40%
0.10%
1.20%
1.00%
0.55%
1.40%
0.10%
1.20%
1.00%
0.55%
1.40%
0.10%
1.20%
1.00%
0.70%
0.55%
1.40%
0.10%
1.20%
1.00%
0.70%
0.54%
1.40%
0.09%
- 04-Apr-03
- 06-Nov-97
- 15-May-09
- 26-May-98
- 13-Nov-01
0.10% 03-Sep-98
156

#
For the
For the
period
period
ended
ended
30 Jun 11 30 Jun 11***
For the
year
ended
31 Dec 10
For the
year
ended
31 Dec 09
For the
year
ended
31 Dec 08
For the
year
ended
31 Dec 07
Capped
Expense
Ratio
30 Jun 11
Inception
Date
23-Oct-98
01-Jun-06
01-Jun-06
10-Dec-98
01-Dec-99
12-Dec-01
27-Jun-11
25-Apr-06

1.45%
1.45%
1.45%
0.95%
0.75%
2.15%
2.15%
0.10%
1.45%
1.45%
1.45%
0.95%
0.75%
2.15%
2.15%
0.10%
1.45%
1.45%
1.45%
0.95%
0.75%
2.15%
0.10%
1.45%
1.45%
1.45%
0.95%
0.75%
2.15%
0.10%
1.45%
1.45%
1.45%
0.95%
0.75%
2.15%
0.10%
1.45%
1.45%
1.45%
0.95%
0.75%
2.15%
0.08%
0.10%

1.45%
1.45%
1.45%
1.45%
0.95%
0.75%
1.90%
1.90%
0.69%
0.69%
1.90%
0.09%
1.45%
1.45%
1.45%
1.45%
0.95%
0.75%
1.90%
1.90%
0.69%
0.70%
1.90%
0.09%
1.45%
1.45%
1.45%
1.45%
0.95%
0.75%
1.90%
1.90%
0.71%
0.71%
0.10%
1.45%
1.45%
1.45%
1.45%
0.95%
0.75%
1.90%
1.90%
0.71%
0.71%
0.10%
1.45%
1.45%
1.45%
1.45%
0.95%
0.75%
1.90%
1.90%
0.70%
0.69%
0.09%
1.45%
1.45%
1.45%
1.45%
0.95%
0.74%
1.90%
0.69%
0.09%
- 15-Sep-95
31-Jul-06
- 01-Jun-06
- 01-Jun-06
- 30-Jun-95
- 16-May-97
- 31-May-01
- 12-Aug-08
0.71% 30-May-08
0.71% 22-Sep-06
27-Jun-11
0.10% 19-Nov-04

JPM Global Capital Preservation (USD) B (acc) - USD**
1.45%
0.95%
1.90%
-
1.45%
1.90%
-
1.45%
1.90%
-
1.45%
1.90%
0.10%
1.45%
0.95%
0.75%
1.90%
0.10%
0.75%
0.10%
28-Nov-05
30-Jan-06
05-Jan-06
28-Nov-05
19-Nov-04

1.90%
1.65%
1.00%
0.95%
2.15%
0.85%
-
1.90%
1.65%
1.00%
0.95%
2.15%
0.91%
-
1.90%
1.65%
1.00%
0.95%
2.15%
0.91%
0.11%
1.65%
1.00%
2.15%
0.89%
-
1.65%
2.15%
0.76%
0.14%
0.91%
0.15%
17-Aug-09
15-Jun-04
23-May-08
09-Aug-05
28-Dec-04
01-Mar-07
15-Jun-04

1.90%
1.90%
1.90%
1.90%
1.90%
0.80%
2.65%
2.65%
0.14%
1.90%
1.90%
1.90%
1.90%
1.90%
0.80%
2.65%
2.65%
-
1.90%
1.90%
1.90%
1.90%
0.80%
2.65%
2.65%
-
1.90%
1.90%
2.65%
2.65%
-
1.90%
1.90%
2.65%
2.65%
-
0.15%
28-Nov-07
04-Oct-10
28-Nov-07
12-Oct-09
12-Feb-09
02-Apr-09
28-Nov-07
28-Nov-07
13-Jan-10

1.10%
1.10%
0.75%
0.60%
1.40%
0.10%
-
1.10%
1.10%
0.75%
0.60%
1.40%
0.10%
-
1.10%
1.10%
0.75%
0.60%
1.40%
0.10%
-
1.10%
1.10%
0.75%
0.60%
1.40%
0.10%
-
1.10%
1.10%
0.75%
0.58%
1.40%
0.09%
-
- 12-Dec-00
- 15-May-06
- 02-Jan-01
- 30-May-00
- 30-May-01
0.10% 30-May-00
0.10% 09-Sep-04

1.90%
1.90%
1.90%
1.15%
1.05%
2.90%
0.14%
1.90%
1.90%
1.90%
1.15%
1.05%
2.90%
0.15%
1.90%
1.90%
1.90%
1.15%
1.05%
2.90%
0.20%
1.90%
1.90%
1.90%
1.15%
1.05%
2.90%
0.19%
1.90%
1.90%
1.90%
1.15%
0.99%
2.90%
0.17%
0.20%
157
11-Dec-00
14-Sep-06
15-May-06
10-Dec-07
28-Dec-00
12-Jul-01
07-Feb-02

#
For the
For the
period
period
ended
ended
30 Jun 11 30 Jun 11***
For the
year
ended
31 Dec 10
For the
year
ended
31 Dec 09
For the
year
ended
31 Dec 08
For the
year
ended
31 Dec 07
Capped
Expense
Ratio
30 Jun 11
Inception
Date

1.25%
1.25%
1.25%
1.25%
0.90%
0.60%
0.60%
1.65%
1.65%
0.53%
0.53%
0.08%
0.09%
1.25%
1.25%
1.25%
1.25%
0.90%
0.60%
0.60%
1.65%
1.65%
0.54%
0.54%
0.10%
1.25%
1.25%
1.25%
1.25%
0.90%
0.60%
0.60%
1.65%
0.56%
0.56%
0.10%
1.25%
1.25%
1.25%
1.25%
0.90%
0.60%
0.60%
1.65%
0.54%
0.09%
1.25%
1.25%
0.90%
0.59%
1.65%
0.08%
0.56%
0.56%
0.10%
0.10%
02-Sep-08
24-Mar-00
15-May-06
17-Sep-08
24-Mar-00
18-Aug-08
24-Mar-00
17-Sep-10
18-Apr-01
19-Nov-09
09-Mar-07
06-Jan-11
24-Mar-00

1.45%
1.05%
0.75%
1.80%
1.80%
1.45%
0.75%
1.80%
-
1.45%
1.80%
-
1.45%
-
11-Dec-08
11-Apr-11
16-Feb-10
08-Jul-09
28-Jun-11

1.90%
1.90%
1.90%
1.00%
2.90%
-
1.90%
2.36%
1.90%
1.00%
2.90%
-
1.90%
1.90%
1.00%
2.90%
-
1.90%
1.90%
1.90%
1.00%
2.90%
-
1.90%
1.90%
1.90%
1.00%
2.90%
-
1.90%
1.90%
1.00%
2.90%
0.04%
- 29-May-98
- 09-Dec-08
- 15-May-06
10-Jul-98
- 06-Feb-01
0.15% 03-Feb-00

1.90%
1.90%
1.15%
0.80%
0.80%
2.65%
0.11%
1.90%
1.90%
1.15%
0.80%
2.65%
0.11%
1.90%
1.90%
1.15%
0.80%
2.65%
0.15%
1.90%
1.90%
1.15%
0.80%
2.65%
0.14%
1.90%
1.90%
1.15%
0.79%
2.65%
0.15%
0.15%
05-Dec-97
15-May-06
05-Dec-97
26-Mar-98
05-Apr-11
15-Apr-02
22-Sep-99

1.65%
1.65%
1.65%
1.00%
0.80%
2.65%
-
1.65%
1.65%
1.65%
1.00%
0.80%
2.65%
-
1.65%
1.65%
1.65%
0.80%
2.65%
-
1.65%
1.65%
1.65%
1.00%
0.80%
2.65%
-
1.65%
1.65%
1.65%
1.00%
0.73%
2.65%
-
0.76%
29-Apr-04
01-Jun-06
01-Jun-06
17-Mar-05
10-Nov-04
29-Apr-04
30-Nov-06

JPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged)*
1.90%
1.90%
1.90%
1.90%
1.90%
1.90%
1.90%
1.15%
1.00%
1.00%
1.00%
1.00%
2.65%
2.65%
2.65%
0.91%
0.95%
2.65%
0.14%
-
1.90%
1.90%
1.90%
1.90%
1.90%
1.90%
1.90%
1.15%
1.00%
1.00%
1.00%
2.65%
2.65%
2.65%
0.92%
0.77%
0.22%
-
1.90%
1.90%
1.90%
1.90%
1.90%
1.90%
1.90%
1.15%
1.00%
1.00%
1.00%
2.65%
2.65%
2.65%
0.96%
0.15%
0.11%
1.90%
1.90%
1.90%
1.90%
1.90%
1.90%
1.90%
1.15%
1.00%
1.00%
2.65%
2.65%
2.65%
0.92%
0.12%
-
1.90%
1.90%
1.90%
1.90%
1.15%
1.00%
2.65%
0.90%
0.10%
-
0.96%
0.96%
0.15%
0.15%
06-Nov-06
12-Aug-08
06-Nov-06
24-Jul-08
08-Feb-07
11-Jul-08
23-Apr-07
08-Feb-07
18-Jan-07
26-Apr-10
23-Jun-08
01-Apr-09
06-Nov-06
06-Nov-08
18-Aug-08
28-Nov-06
16-Mar-10
27-Jun-11
20-Nov-06
12-Mar-09
158

#
For the
For the
period
period
ended
ended
30 Jun 11 30 Jun 11***
For the
year
ended
31 Dec 10
For the
year
ended
31 Dec 09
For the
year
ended
31 Dec 08
For the
year
ended
31 Dec 07
Capped
Expense
Ratio
30 Jun 11
Inception
Date
14-Oct-08
19-Jul-07
02-Jul-09
19-Jul-07
06-Feb-08
18-Nov-09
26-Jun-09
22-Oct-09
29-Apr-10
18-Jan-08
18-Mar-10
17-Feb-09
19-Jul-07
05-Oct-10
19-Jan-11
12-Mar-09
17-Nov-09
09-Dec-09
24-May-11

JPM Income Opportunity I (acc) - USD*
1.20%
1.20%
1.20%
1.20%
1.20%
0.80%
0.80%
0.70%
0.70%
0.70%
0.70%
0.70%
1.45%
1.45%
0.61%
0.09%
0.10%
0.09%
0.10%
1.36%
1.60%
1.39%
1.35%
1.60%
1.34%
1.15%
1.27%
0.83%
1.14%
1.48%
1.09%
1.51%
1.95%
3.30%
0.17%
0.25%
0.84%
0.10%
1.20%
1.20%
1.20%
1.20%
1.20%
0.80%
0.80%
0.70%
0.70%
0.70%
0.70%
0.70%
1.45%
1.45%
0.09%
0.09%
0.09%
-
1.20%
1.20%
1.20%
0.80%
0.80%
0.70%
0.70%
0.10%
0.10%
-
1.20%
1.20%
1.20%
0.70%
1.45%
-
1.20%
1.20%
1.45%
1.20%
1.45%
1.45%
-
0.66%
0.10%
0.10%
0.10%
0.10%

1.90%
1.90%
1.90%
1.90%
0.95%
0.95%
2.90%
0.10%
1.90%
1.90%
1.90%
0.95%
2.90%
0.15%
1.90%
1.90%
1.90%
0.95%
2.90%
0.15%
1.90%
1.90%
1.90%
2.90%
0.86%
0.12%
1.90%
1.90%
1.90%
2.90%
0.86%
0.11%
- 15-May-06
- 27-Dec-04
18-Apr-11
- 08-May-07
- 02-Apr-09
18-Apr-11
26-Jul-06
0.91% 19-May-06
0.15% 20-Dec-04

1.90%
1.90%
1.90%
0.95%
2.65%
2.65%
0.15%
1.90%
1.90%
1.90%
2.65%
0.13%
1.90%
1.90%
1.90%
0.95%
2.65%
2.65%
0.91%
0.15%
1.90%
1.90%
1.90%
0.95%
2.65%
0.14%
1.90%
1.90%
1.90%
0.20%
2.65%
2.65%
0.56%
0.06%
0.91%
0.15%
03-Apr-07
03-Apr-07
03-Apr-07
03-Apr-07
03-Apr-07
03-Apr-07
31-May-07
31-May-07

1.90%
1.90%
1.15%
0.95%
2.90%
0.88%
0.13%
2.69%
2.14%
1.47%
3.04%
1.28%
0.47%
1.90%
1.90%
2.90%
0.90%
0.14%
1.90%
1.90%
2.90%
0.91%
0.15%
1.90%
2.50%
0.91%
0.15%
0.91%
0.15%
15-Feb-08
24-Nov-09
13-May-11
17-Jan-11
15-Feb-08
02-Jul-08
16-Jun-08

1.90%
1.90%
1.15%
0.95%
2.65%
0.83%
0.09%
1.90%
1.90%
1.15%
0.95%
2.65%
0.85%
0.10%
1.90%
1.90%
1.15%
0.95%
2.65%
0.91%
0.15%
1.90%
1.90%
1.15%
0.95%
2.65%
0.86%
0.11%
1.90%
1.90%
1.15%
0.89%
2.65%
0.85%
0.10%
- 02-Apr-97
- 15-May-06
04-Jul-97
- 03-Jun-99
- 22-Mar-02
0.91% 17-Nov-06
0.15% 26-May-98

1.90%
1.90%
1.90%
0.95%
2.65%
2.65%
0.15%
1.90%
1.90%
1.90%
0.95%
2.65%
2.65%
0.14%
1.90%
1.90%
1.90%
0.95%
2.65%
2.65%
0.15%
1.90%
1.90%
1.90%
2.65%
2.65%
-
1.90%
1.90%
1.90%
2.65%
2.65%
-
0.15%
159
30-Nov-07
30-Nov-07
30-Nov-07
02-Apr-09
30-Nov-07
30-Nov-07
30-Apr-09

#
For the
For the
period
period
ended
ended
30 Jun 11 30 Jun 11***
For the
year
ended
31 Dec 10
For the
year
ended
31 Dec 09
For the
year
ended
31 Dec 08
For the
year
ended
31 Dec 07
Capped
Expense
Ratio
30 Jun 11
Inception
Date

1.90%
1.90%
1.15%
1.00%
2.65%
0.87%
0.12%
0.20%
1.90%
1.90%
1.15%
1.00%
2.65%
0.96%
0.13%
-
1.90%
1.90%
1.15%
1.00%
2.65%
0.96%
0.20%
-
1.90%
1.90%
1.15%
1.00%
2.65%
0.90%
0.17%
-
1.90%
1.90%
1.15%
0.97%
2.65%
0.92%
0.17%
-
0.96%
0.20%
0.20%
12-Dec-97
15-May-06
31-Dec-97
14-Dec-00
12-Mar-02
26-Jun-06
29-Jun-98
23-May-11

JPM US Bond I (acc) - USD*
1.10%
1.10%
0.75%
0.60%
1.35%
-
1.10%
1.10%
0.75%
0.60%
1.35%
-
1.10%
1.10%
0.75%
0.60%
1.35%
-
1.10%
1.10%
0.75%
0.60%
1.35%
-
1.10%
1.10%
0.75%
0.57%
1.35%
0.08%
0.56%
0.10%
15-May-97
15-May-06
15-May-97
12-Feb-98
13-Nov-01
23-Apr-07
06-Apr-98

1.90%
1.90%
1.90%
0.85%
2.40%
2.40%
0.13%
1.90%
1.90%
1.90%
0.85%
2.40%
2.40%
0.15%
1.90%
1.90%
1.90%
0.85%
2.40%
2.40%
0.15%
1.90%
1.90%
0.85%
2.40%
2.40%
0.12%
1.90%
1.90%
0.67%
2.40%
2.40%
0.12%
0.15%
27-Dec-06
27-Dec-06
25-Aug-09
22-Mar-07
27-Dec-06
27-Dec-06
21-May-07

1.90%
1.90%
1.90%
1.90%
1.15%
0.85%
0.85%
2.40%
2.40%
0.72%
0.07%
1.90%
1.90%
1.90%
1.90%
1.15%
0.85%
0.85%
2.40%
2.40%
0.72%
0.08%
1.90%
1.90%
1.90%
1.90%
1.15%
0.85%
0.85%
2.40%
2.40%
0.81%
0.15%
1.90%
1.90%
1.90%
1.90%
1.15%
0.85%
0.85%
2.40%
2.40%
0.77%
0.12%
1.90%
1.90%
1.90%
1.15%
0.80%
2.40%
2.40%
0.50%
0.12%
0.81%
0.15%
17-Mar-97
10-Jun-08
15-Mar-07
15-May-06
29-Oct-97
03-Feb-08
19-Sep-08
01-Feb-02
15-Mar-07
15-May-07
06-Apr-98
Expense ratios are calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Fund Association.
# The capped expense ratios and total expense ratios for some share classes may have changed over the previous five years. All details concerning these changes have been disclosed in previous years
financial statements.
* Share Class inactive as at end of the period
** Share Class reactivated as at end of the period
*** These figures include the Performance Fees.
160

2. Summary of Investment Objectives of the Sub-Funds

Emerging Markets Corporate Bond Portfolio Fund I
Seeks to achieve a return profile comparable to that achieved by holding, from purchase to maturity, a five-year below investment grade emerging market
corporate bond, but with increased diversification by investing primarily in a portfolio of below investment grade emerging market corporate fixed and
floating rate debt securities, with maturity dates within twelve months of the termination of the Principal Investment Period.
Euro Liquid Market Fund
Seeks to achieve a competitive level of total return in the reference currency and a high degree of liquidity by investing primarily in EUR denominated
short-term fixed and floating rate debt securities.
Europe Bond Fund
Seeks to achieve a return in excess of the European bond markets by investing primarily in European fixed and floating rate debt securities, using derivative
strategies where appropriate.
Europe Recovery Fund
Seeks to provide long-term capital growth by investing primarily in European companies that the Investment Manager believes to be in recovery situations.
Europe Select Equity Fund
Seeks to achieve a return in excess of the European equity markets by investing primarily in European companies.
Europe Strategic Dividend Fund
Seeks to provide long term returns by investing primarily in high dividend-yielding equities of European companies.
Global Bond Fund (EUR)
Seeks to achieve a return in excess of global government bond markets by investing primarily in global fixed and floating rate debt securities, using
derivative strategies where appropriate.
Global Bond Fund (USD)
Seeks to achieve a return in excess of global government bond markets by investing primarily in global fixed and floating rate debt securities, using
Global Capital Appreciation Fund
Seeks to achieve capital appreciation in excess of its cash benchmark by investing primarily in securities, globally, using derivative strategies where
appropriate.
Global Capital Preservation Fund (EUR)
Seeks to achieve, over a medium-term horizon (2 to 3 years), a return in excess of its cash benchmark from a portfolio of securities, globally, using derivative
Global Capital Preservation Fund (USD)
Seeks to achieve, over a medium-term horizon (2 to 3 years), a return in excess of its cash benchmark from a portfolio of securities, globally, using derivative
Global Convertibles Fund (USD)
Seeks to provide a return by investing primarily in a diversified portfolio of convertible securities and warrants, globally.
Global Dividend Fund
Seeks to provide long-term capital growth by investing primarily in companies, globally, that generate high and rising income.
Global Enhanced Bond Fund
Seeks to achieve a return in excess of global non-government bond markets by investing primarily in global fixed and floating rate debt securities, using
Global Financials Fund
Seeks to achieve a high return by investing primarily in companies from the financial, banking, insurance and property sectors (Financial Companies),
globally.
Global High Yield Bond Fund
Seeks to achieve a return in excess of global bond markets by investing primarily in below investment grade global fixed and floating rate debt securities,
using derivative strategies where appropriate.
Global Income Fund
Seeks to provide regular income by investing primarily in a portfolio of income generating securities, globally, and through the use of financial derivative
instruments.
Global Select 130/30 Fund
Seeks to provide long-term capital growth primarily through exposure to companies, globally, by direct investment in securities of such companies and
through the use of financial derivative instruments.
Global Select Equity Fund
Seeks to achieve a return in excess of the global equity markets by investing primarily in companies, globally.
Global Total Return Fund
Seeks to achieve a total return in EUR in excess of its cash benchmark from a concentrated portfolio of securities, globally.
Highbridge Statistical Market Neutral Fund
Seeks to provide a total return in all market environments in excess of the return on short-term instruments, through a market neutral strategy. Derivatives
will be used where appropriate to gain exposure primarily to European and US equity securities.
161

2. Summary of Investment Objectives of the Sub-Funds (continued)

Income Opportunity Fund
Seeks to achieve a return in excess of the benchmark by exploiting investment opportunities in, amongst others, the fixed income and currency markets,
using derivative strategies where appropriate.
Japan 50 Equity Fund
Seeks to achieve a return in excess of the Japanese equity market primarily from a concentrated portfolio of medium to large sized Japanese companies.
Japan Behavioural Finance Equity Fund
Seeks to provide long-term capital growth by investing primarily in Japanese companies.
Japan Focus Fund
Seeks to provide superior long-term capital growth by investing primarily in an aggressively managed portfolio of Japanese companies.
Japan Select Equity Fund
Seeks to achieve a return in excess of the Japanese equity market by investing primarily in Japanese companies.
Japan Strategic Value Fund
Seeks to provide long-term capital growth by investing primarily in a value style biased portfolio of Japanese companies.
JF Asia ex-Japan Fund
Seeks to provide long-term capital growth by investing primarily in companies in Asia (excluding Japan).
US Bond Fund
Seeks to achieve a return in excess of US bond markets by investing primarily in US fixed and floating rate debt securities, using derivative strategies where
appropriate.
US Equity Fund
Seeks to maximise long-term capital growth by investing primarily in an actively managed portfolio of medium to large capitalisation US companies.
US Select Equity Fund
Seeks to achieve a return in excess of the US equity market by investing primarily in US companies.
162

3. Performance and Volatility

Performance
Returns for periods greater than one year are annualised. Fund performance includes reinvestment of income and is net of all expenses.
Past performance is no indication of current or future performance.
The performance data do not take into account the commissions and costs incurred on the issue and redemption of units.
Volatility
The standard deviation (D) of the price is calculated on a daily basis throughout each Funds financial period. The details below relate to the period from 1 January
2011 to 30 June 2011.
If D is equal to or less than 0.1 then volatility will be Low
If D is greater than 0.1 but less than or equal to 1.0 then volatility will be Medium
If D is greater than 1.0 but less than or equal to 2.4 then volatility will be High
If D is greater than 2.4 then volatility will be Very High
Performance (continued)
3 Months
6 Months
9 Months
1 Year
2 Years
3 Years
4 Years
5 Years
Volatility

1.33%
1.56%
1.48%
1.70%
1.52%
1.21%
1.43%
5.72%
5.98%
6.00%
6.27%
6.08%
5.47%
5.73%
7.89%
8.63%
8.31%
9.07%
8.43%
7.49%
8.23%
11.59%
12.09%
12.19%
12.69%
12.36%
11.04%
11.54%
Medium
Medium
Medium
Medium
Medium
Medium
Medium

0.11%
0.21%
0.08%
-
0.15%
0.36%
0.10%
-
0.17%
0.49%
0.11%
-
0.17%
0.57%
0.11%
-
0.12%
0.49%
0.06%
-
0.87%
1.26%
-
1.63%
-
1.31%
-
Low
Low
Low
Low

0.70%
0.71%
0.77%
0.80%
0.61%
0.90%
-0.32%
-0.32%
-0.17%
-0.12%
-0.49%
0.08%
-4.15%
-4.15%
-3.94%
-3.86%
-4.40%
-3.56%
-1.46%
-1.46%
-1.17%
-1.06%
-1.80%
-0.66%
5.74%
5.75%
6.08%
6.19%
5.36%
6.65%
1.84%
1.85%
2.16%
2.27%
1.48%
2.70%
-1.34%
-1.31%
-1.06%
-0.95%
-1.68%
-0.55%
-1.07%
-0.40%
-0.85%
-0.76%
-1.34%
-0.44%
Medium
Medium
Medium
Medium
Medium
Medium

JPM Europe Recovery B (acc) - EUR**
-4.10%
-4.10%
-3.92%
-3.88%
-4.34%
-3.67%
-7.01%
-7.02%
-4.19%
-6.60%
-7.48%
-6.19%
4.82%
4.82%
5.53%
4.04%
6.22%
15.15%
15.14%
16.19%
14.00%
17.20%
19.82%
19.75%
1.69%
21.09%
18.44%
22.31%
1.18%
0.81%
-7.59%
2.13%
0.16%
-10.15%
-5.73%
-5.90%
-10.54%
-5.02%
-6.49%
-11.82%
-4.59%
-4.72%
-8.43%
-4.01%
-5.19%
-9.46%
Medium
Medium
Medium
Medium
Medium
Medium

-0.67%
1.34%
-0.66%
-0.49%
-0.41%
-0.85%
1.15%
-0.38%
-0.23%
-0.22%
-0.29%
7.71%
-0.32%
0.08%
0.23%
-0.65%
7.31%
0.26%
0.58%
1.96%
4.63%
11.07%
4.61%
5.22%
5.45%
4.05%
10.45%
5.51%
6.01%
6.27%
12.83%
33.17%
12.79%
13.67%
14.01%
12.00%
32.17%
14.08%
14.81%
17.06%
18.93%
20.86%
18.84%
19.97%
20.39%
17.91%
19.81%
21.38%
19.87%
0.74%
15.97%
-5.09%
1.51%
1.83%
-0.02%
14.88%
2.57%
2.38%
-6.75%
-9.83%
-6.20%
-5.96%
-5.42%
-
-5.40%
-7.86%
-4.96%
-4.77%
-4.33%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium

JPM Europe Strategic Dividend B (acc) - EUR**
JPM Europe Strategic Dividend I (acc) - EUR***
-0.37%
-0.38%
-0.38%
-0.18%
-0.12%
-0.56%
0.06%
0.79%
0.70%
0.70%
1.17%
1.31%
0.42%
1.66%
5.69%
5.60%
5.60%
6.28%
6.52%
5.10%
7.09%
14.44%
14.34%
14.33%
15.63%
13.57%
16.69%
19.61%
19.35%
19.34%
21.08%
18.58%
22.85%
3.71%
2.65%
2.66%
4.90%
2.89%
6.13%
-4.78%
-5.36%
-5.37%
-
-3.82%
-4.16%
-4.30%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
1.56%
1.57%
1.64%
1.68%
1.46%
1.79%
1.35%
1.35%
1.50%
1.58%
1.16%
1.80%
-0.79%
-0.79%
-0.57%
-0.45%
-1.08%
-0.12%
1.73%
1.73%
2.03%
2.18%
1.32%
2.64%
5.50%
5.50%
5.83%
6.00%
5.06%
6.51%
-0.98%
-0.98%
-0.69%
-0.54%
-1.37%
-0.10%
-3.16%
-3.05%
-2.90%
-2.76%
-3.50%
-2.35%
-2.53%
-2.06%
-2.32%
-2.20%
-2.80%
-1.88%
Medium
Medium
Medium
Medium
Medium
Medium

163

3 Months
6 Months
9 Months
1 Year
2 Years
3 Years
4 Years
5 Years
Volatility
1.15%
1.21%
1.32%
1.11%
1.43%
0.93%
1.03%
1.26%
0.83%
1.48%
-1.21%
-1.05%
-0.72%
-1.35%
-0.38%
1.66%
1.87%
2.33%
1.46%
2.79%
5.11%
5.33%
5.83%
4.89%
6.33%
-1.41%
-1.22%
-0.78%
-1.60%
-0.34%
-3.99%
-3.82%
-3.44%
-4.16%
-3.04%
-3.19%
-3.06%
-2.75%
-3.33%
-2.43%
Medium
Medium
Medium
Medium
Medium
Medium

JPM Global Capital Appreciation T (acc) - EUR***
0.09%
0.09%
0.09%
0.22%
0.31%
-0.08%
0.43%
0.84%
0.83%
0.83%
1.09%
1.47%
0.48%
1.52%
3.11%
3.10%
3.09%
3.50%
3.94%
2.56%
4.16%
10.40%
10.40%
10.40%
10.96%
11.49%
9.63%
11.91%
10.80%
10.75%
10.75%
11.41%
11.81%
9.95%
12.46%
3.56%
3.05%
3.32%
4.11%
4.44%
2.79%
5.08%
1.12%
0.71%
0.92%
1.65%
1.94%
0.40%
2.69%
0.90%
0.57%
0.78%
1.32%
1.56%
0.32%
2.15%
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium

JPM Global Capital Preservation (EUR) T (acc) - EUR***
-1.62%
0.35%
-1.63%
-1.62%
-1.50%
-1.45%
-1.73%
-1.52%
-1.44%
-1.44%
-1.29%
-3.06%
4.70%
-3.02%
-3.02%
-2.82%
-2.72%
-3.28%
-2.83%
-2.69%
-2.65%
-2.40%
-1.92%
4.11%
-1.88%
-1.88%
-1.55%
-1.40%
-2.25%
-1.56%
-1.43%
-1.31%
-0.91%
0.93%
19.10%
0.97%
0.98%
1.44%
1.65%
0.47%
1.18%
1.60%
1.75%
2.32%
2.74%
4.21%
2.77%
2.77%
3.27%
3.49%
2.27%
2.44%
3.49%
3.56%
4.19%
0.13%
15.08%
0.09%
0.14%
0.64%
0.85%
-0.32%
0.87%
0.86%
1.53%
1.03%
12.64%
1.00%
1.02%
1.53%
1.75%
0.58%
1.75%
2.45%
0.82%
10.11%
0.80%
1.01%
1.22%
1.40%
0.47%
1.50%
1.96%
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium

JPM Global Capital Preservation (USD) B (acc) - USD***
-1.66%
-1.78%
-
-2.58%
-2.80%
-
-1.52%
-1.83%
-
2.46%
2.02%
-
3.19%
2.72%
-
0.55%
0.10%
-
1.75%
1.29%
-
1.40%
1.03%
-
Medium
Medium
Medium
Medium
Medium

-1.49%
-1.42%
-1.27%
-1.26%
-1.55%
-1.22%
-
0.99%
1.12%
1.44%
1.47%
0.87%
1.54%
-
5.09%
5.29%
5.79%
5.83%
4.89%
5.93%
-
10.54%
10.81%
11.53%
11.58%
10.26%
11.72%
-
11.10%
11.90%
11.96%
10.50%
12.08%
-
4.01%
4.75%
3.45%
4.89%
-
1.07%
0.86%
0.55%
-
0.44%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium

0.75%
-1.24%
-0.55%
0.75%
-0.54%
-0.97%
0.57%
-0.72%
1.19%
5.30%
-2.51%
1.12%
5.20%
1.07%
-1.98%
4.91%
0.75%
-
10.23%
6.30%
10.12%
6.23%
4.68%
9.61%
5.70%
-
29.03%
16.81%
28.90%
16.74%
10.53%
28.06%
15.95%
-
18.68%
15.14%
14.94%
18.29%
17.66%
14.17%
-
0.55%
-11.60%
-0.21%
-12.09%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
1.83%
1.83%
1.97%
1.76%
2.09%
-
2.40%
2.39%
2.65%
2.25%
2.91%
-
1.47%
1.47%
1.87%
1.25%
2.24%
-
5.05%
5.05%
5.58%
4.74%
6.11%
-
12.07%
12.04%
12.70%
11.70%
13.35%
-
1.30%
1.18%
1.83%
0.99%
2.37%
-
-1.80%
-1.86%
-1.33%
-2.08%
-0.85%
-
-1.44%
-1.02%
-1.06%
-1.66%
-0.68%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium
-3.94%
-5.84%
-3.95%
-3.69%
-3.75%
-4.18%
-3.51%
1.46%
-6.08%
1.45%
2.01%
1.88%
0.96%
2.35%
4.30%
-1.75%
4.29%
5.03%
4.95%
3.52%
5.67%
18.49%
0.40%
18.48%
19.66%
19.49%
17.31%
20.59%
13.16%
11.45%
13.13%
14.30%
14.24%
11.92%
15.39%
-4.16%
-13.17%
-5.87%
-3.39%
-3.41%
-5.02%
-2.61%
-10.81%
-15.19%
-11.55%
-10.31%
-11.36%
-9.79%
-8.65%
-12.15%
-9.24%
-8.25%
-9.09%
-7.84%
Medium
Medium
Medium
Medium
Medium
Medium
Medium


164

3 Months
6 Months
9 Months
1 Year
2 Years
3 Years
4 Years
5 Years
Volatility

0.25%
0.45%
0.46%
0.26%
0.55%
0.41%
0.62%
0.14%
0.36%
0.43%
0.64%
0.54%
0.75%
3.36%
3.62%
3.57%
3.36%
3.81%
3.69%
3.96%
3.15%
3.42%
3.73%
3.92%
4.22%
7.15%
7.36%
7.29%
7.09%
7.64%
7.68%
7.88%
6.84%
7.04%
7.74%
7.85%
8.28%
13.80%
13.75%
13.67%
13.53%
14.15%
14.54%
14.49%
13.29%
14.63%
14.46%
15.06%
20.89%
20.61%
19.92%
20.13%
21.11%
21.82%
21.54%
20.05%
20.82%
22.26%
4.19%
1.80%
4.59%
4.93%
3.75%
5.51%
-4.72%
-5.40%
-
-3.77%
-4.32%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium

JPM Global Income B (div) - EUR***
JPM Global Income T (div) - EUR***
0.13%
0.30%
0.04%
-
2.65%
1.98%
2.47%
-
6.06%
5.57%
5.79%
-
13.44%
13.12%
13.06%
-
16.24%
-
Medium
Medium
Medium
Medium
Medium

0.91%
-1.17%
0.91%
1.15%
0.65%
-
3.96%
3.95%
4.45%
3.45%
-
11.19%
11.18%
11.96%
10.36%
-
26.57%
26.55%
27.75%
25.32%
-
19.23%
19.20%
20.48%
17.89%
-
0.88%
0.35%
1.82%
-0.12%
-
-3.16%
-3.49%
-2.36%
-4.00%
-
-2.53%
-2.73%
-1.89%
-3.20%
-
Medium
Medium
Medium
Medium
Medium
Medium

JPM Global Select Equity C (acc) - EUR***
-0.95%
-0.96%
-0.76%
-0.68%
-1.13%
-0.51%
3.10%
3.08%
3.48%
3.66%
2.71%
4.01%
9.60%
9.58%
10.22%
10.50%
8.99%
11.08%
26.52%
26.50%
27.47%
27.91%
25.57%
28.76%
20.33%
20.29%
21.37%
21.89%
19.28%
22.86%
0.41%
0.12%
1.17%
1.54%
-0.34%
2.24%
-2.66%
-2.85%
-2.00%
-1.65%
-3.32%
-1.03%
-2.13%
-2.28%
-1.60%
-1.32%
-2.66%
-0.82%
Medium
Medium
Medium
Medium
Medium
Medium
Medium

-0.72%
-0.73%
-0.73%
-0.52%
-0.97%
-
-1.22%
-1.22%
-1.22%
-0.80%
-1.71%
-
0.16%
0.17%
0.15%
0.80%
-0.58%
-
2.81%
2.81%
2.81%
3.68%
1.78%
-
6.03%
6.02%
6.01%
6.95%
4.92%
-
2.35%
2.03%
2.21%
3.24%
1.30%
-
-0.94%
-1.17%
-1.05%
-0.10%
-1.89%
-
-0.76%
-0.93%
-0.84%
-0.08%
-1.51%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium

JPM Highbridge Statistical Market Neutral T (acc) - EUR***
-0.58%
-0.36%
1.43%
-0.79%
1.69%
-0.67%
-0.59%
-0.39%
-0.35%
-0.45%
-0.56%
-0.77%
1.24%
-0.97%
-0.34%
-0.15%
-
0.84%
1.32%
8.92%
0.58%
6.03%
0.80%
0.84%
1.22%
1.29%
1.25%
1.04%
0.46%
8.53%
0.21%
1.32%
1.73%
-
1.63%
2.30%
7.87%
1.36%
6.28%
1.57%
1.62%
2.20%
2.31%
2.26%
2.05%
1.05%
7.28%
0.80%
2.35%
2.98%
-
1.08%
1.81%
19.29%
0.85%
11.72%
1.08%
1.08%
1.84%
2.00%
1.98%
1.77%
0.32%
18.41%
0.10%
2.05%
2.88%
-
-1.61%
-0.56%
-1.94%
1.06%
-1.82%
-1.91%
-1.18%
-1.03%
-0.95%
-1.00%
-2.62%
-1.30%
-2.65%
-0.18%
-
-0.39%
14.33%
-3.32%
-0.33%
0.32%
0.45%
0.64%
0.90%
12.47%
0.22%
11.48%
2.75%
-
0.72%
9.98%
0.18%
9.18%
2.20%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
165
-1.08%
13.32%
1.39%
-

3 Months
6 Months
9 Months
1 Year
2 Years
3 Years
4 Years
5 Years
Volatility

JPM Income Opportunity I (acc) - USD*
JPM Income Opportunity X (dist) - GBP (hedged)***
-0.21%
-0.02%
0.18%
-0.02%
-0.11%
-0.14%
0.06%
-0.12%
5.50%
0.08%
0.27%
0.00%
-0.07%
-0.08%
0.08%
0.27%
0.11%
-
1.21%
1.46%
1.92%
1.46%
1.36%
1.36%
1.62%
1.40%
11.62%
1.65%
2.06%
1.58%
1.37%
1.32%
1.76%
1.99%
1.85%
-
2.74%
3.08%
3.71%
3.10%
3.00%
3.00%
3.31%
3.05%
17.87%
3.36%
3.91%
3.31%
2.95%
3.40%
3.93%
3.75%
-
4.49%
4.78%
5.45%
4.79%
4.76%
4.81%
5.10%
4.92%
29.63%
5.16%
5.77%
5.19%
4.59%
5.32%
5.90%
5.79%
-
7.32%
7.34%
7.34%
7.33%
7.45%
7.75%
7.78%
7.13%
-
7.60%
6.64%
-1.00%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium

JPM Japan 50 Equity A (acc) - EUR (hedged)***
JPM Japan 50 Equity C (acc) - EUR (hedged)***
-2.06%
-1.31%
-2.06%
-1.83%
-2.33%
-1.62%
-7.28%
-13.46%
-8.19%
-6.84%
-7.76%
-6.44%
1.89%
-0.47%
0.89%
2.61%
1.09%
3.27%
-1.15%
-7.89%
-2.13%
-0.21%
-2.17%
0.63%
-3.00%
4.59%
-3.38%
-2.10%
-3.94%
-1.28%
-10.27%
-0.33%
-10.46%
-10.96%
-9.00%
-12.07%
-6.52%
-12.18%
-12.58%
-11.11%
-9.66%
-9.74%
-10.07%
-8.89%
High
High
High
High
High
High
High
High
High

0.91%
-1.09%
0.91%
-1.28%
1.36%
-0.78%
-8.13%
-0.77%
-8.48%
0.09%
13.30%
6.74%
13.30%
6.12%
14.79%
19.34%
1.11%
19.34%
0.35%
21.44%
10.40%
8.77%
10.39%
7.87%
12.55%
-4.68%
-13.52%
-4.78%
-13.97%
-3.13%
-7.36%
-12.80%
-13.12%
-6.07%
-5.88%
-10.24%
-10.49%
-4.85%
High
High
High
High
High
High
High
High

JPM Japan Focus B (acc) - JPY***
-3.13%
-3.11%
-2.92%
-3.36%
-2.89%
-2.71%
-3.17%
-3.15%
-3.53%
-2.64%
-2.26%
7.74%
7.75%
7.21%
8.79%
9.18%
6.55%
6.43%
5.85%
7.95%
8.31%
-1.09%
-1.96%
-0.02%
21.96%
-10.24%
-10.81%
-9.48%
-
High
High
High
High
High
High
High
8.10%
7.39%
-

-2.52%
-2.52%
-2.35%
-2.30%
-2.71%
-2.27%
-2.08%
-7.65%
-7.90%
-7.41%
-7.22%
-8.00%
-7.15%
-6.81%
0.22%
-0.06%
0.69%
0.94%
-0.35%
1.03%
1.60%
-1.86%
-2.14%
-1.23%
-0.93%
-2.61%
-0.82%
-0.07%
-4.03%
-4.12%
-3.39%
-3.15%
-4.72%
-3.05%
-2.34%
-12.10%
-12.14%
-11.64%
-11.49%
-12.57%
-11.42%
-10.92%
-13.11%
-13.13%
-12.76%
-12.64%
-13.46%
-12.60%
-12.22%
-10.48%
-10.51%
-10.21%
-10.11%
-10.77%
-10.08%
-9.78%
High
High
High
High
High
High
High
-1.01%
-0.27%
2.02%
-0.77%
-1.19%
-0.46%
-0.58%
-1.36%
-7.94%
-3.26%
-0.88%
-1.71%
-8.29%
-0.49%
8.29%
5.77%
10.54%
9.07%
7.69%
5.16%
9.71%
7.94%
0.57%
11.10%
8.98%
7.14%
-0.18%
9.85%
-1.41%
6.43%
9.86%
-0.47%
-2.13%
5.58%
0.32%
-8.92%
1.60%
6.47%
-9.47%
0.83%
-
High
High
High
High
High
High
High

JF Asia ex-Japan X (dist) - USD***
-1.33%
-1.33%
-1.14%
-1.11%
-1.51%
-1.07%
-0.88%
-
-1.77%
-1.77%
-1.40%
-1.33%
-2.13%
-1.26%
-0.89%
-
4.38%
4.39%
4.97%
5.09%
3.80%
5.19%
5.78%
-
26.74%
26.74%
27.70%
27.89%
25.80%
28.05%
29.01%
-
20.58%
20.58%
21.64%
21.86%
19.53%
22.03%
23.11%
-
5.01%
3.55%
5.88%
6.05%
4.15%
6.18%
7.06%
-
1.62%
0.62%
2.42%
2.60%
0.84%
2.71%
3.53%
-
1.30%
0.92%
1.93%
2.08%
0.67%
2.16%
2.83%
-
High
High
High
High
High
High
High
High
166

3 Months
6 Months
9 Months
1 Year
2 Years
3 Years
4 Years
5 Years
Volatility

1.97%
1.96%
2.05%
2.09%
1.90%
-
3.23%
3.23%
3.40%
3.48%
3.09%
-
2.88%
2.88%
3.15%
3.26%
2.68%
-
6.72%
6.73%
7.08%
7.25%
6.45%
-
13.38%
13.38%
13.82%
14.01%
13.06%
-
7.43%
7.43%
7.85%
8.04%
7.12%
-
1.41%
1.33%
1.78%
1.96%
1.15%
-
1.13%
1.64%
1.42%
1.57%
0.92%
-
Medium
Medium
Medium
Medium
Medium
Medium

0.43%
0.60%
0.69%
0.69%
0.31%
0.48%
0.88%
7.84%
7.92%
4.97%
8.40%
7.57%
7.67%
8.79%
18.77%
18.93%
16.98%
19.70%
18.32%
18.49%
20.34%
30.04%
29.69%
21.78%
31.41%
29.40%
29.04%
32.34%
23.16%
22.13%
24.71%
22.44%
21.54%
25.78%
2.34%
-11.57%
3.48%
1.82%
-11.89%
4.27%
-2.46%
-8.90%
-2.91%
-9.22%
-
-1.97%
-7.12%
-2.33%
-7.37%
-
Medium
Medium
Medium
Medium
Medium
Medium
Medium
-1.20%
-3.15%
-0.94%
-1.19%
-1.01%
-0.93%
-0.67%
-1.31%
-1.06%
-0.90%
-0.74%
3.32%
-4.35%
3.58%
3.32%
3.71%
3.87%
4.13%
3.07%
3.34%
3.93%
4.26%
13.23%
6.68%
13.56%
13.23%
13.87%
14.13%
14.47%
12.82%
13.14%
14.26%
14.79%
24.66%
5.63%
24.50%
24.66%
25.59%
25.98%
25.82%
24.05%
23.89%
26.15%
26.95%
20.19%
18.29%
19.47%
20.19%
21.25%
21.68%
20.95%
19.50%
18.78%
21.85%
22.79%
3.28%
-8.03%
-11.05%
3.28%
4.12%
4.46%
2.74%
-11.39%
4.57%
5.30%
-0.97%
-0.97%
-0.25%
0.10%
-1.45%
0.81%
-0.78%
-0.78%
-0.20%
0.08%
-1.16%
0.65%
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium
Medium


** Share Class reactivated as at end of the period.
*** No data is applicable for these Share Classes because they were launched or reactivated less than 3 months before the year end.
167

4. Interest Rate Received/(Charged) on Bank Accounts

Basis for Bank Interest Rates
The rates are based on the JPMorgan Chase Treasury rates and consequently may change on a daily basis. The bank interest amount is posted to each of the
Funds bank accounts on a monthly basis on the first business day of the subsequent month based on the bank balances from the prior month.
5. Sub-Fund Share Classes Subject to Taxe dAbonnement Rate of 0.01%
The following Sub-Fund share classes have been subject to an asset based tax of 0.01% per annum:
Share Class Name
JPM Global Dividend X (acc) - USD
6. Sub-Fund Share Classes Exempt from Taxe dAbonnement

The following Sub-Fund share classes have been exempt from an asset based tax:
JPM Euro Liquid Market X (acc) - EUR
168

7. Portfolio Turnover Ratio

The Portfolio Turnover Ratio is an indicator of the relevance of the additional costs incurred by a fund when buying and selling investments according to its
investment policy. The portfolio turnover rate is calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Fund Association as
outlined below:
(Total securities purchases and sales - total subscriptions and redemptions of Sub-Fund units)
Average net Sub-Fund assets in Sub-Fund currency
The Portfolio Turnover Ratio is expressed as a percentage and in the case the outcome of the calculation is negative, a zero value has been published.
Sub-Fund
Portfolio Turnover Ratio
44.59
0.00*
30.96
1303.19
212.38
0.00
44.68
72.29
0.00
133.37
83.35
46.31
49.19
34.25
15.97
0.00
11.59
137.94
86.38
36.48
0.00
0.00
54.53
121.15
72.87
45.30
116.42
134.85
0.00
19.66
56.35
* Due to the fact underlying investments have short term maturity and that they are replaced only at maturity, no portfolio turnover statistics are calculated for the Fund.
169

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
8. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2010 (continued)
JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund I (1)
97,296.841
206,335.742
25,003.001
24,518.818
136,700.000
57,128.940
455,372.255
500.000
2,006.076
3,512.975
4,931.390
96,796.841
204,329.666
25,003.001
24,518.818
136,700.000
53,615.965
450,440.865

149,671.651
325,510.990
146,033.808
57,458.903
305,779.926
130,229.764
140,356.319
575,712.386
197,619.026
66,774.235
55,578.530
78,644.546

331,426.264
84,833.393
1,717.396
82,887.016
47,271.496
299.985
278,114.370
2,148.105
18,725.703
60,580.268
48,401.823
-
427,760.353
24,951.215
19,209.025
140,439.958
48,769.090
159.267
181,780.281
62,030.283
1,234.074
3,027.326
46,904.229
140.718

901,054.841
262,526.879
3,642.463
122,874.958
23,957.363
142,702.264
175,053.680
50,551.663
984.411
55,527.226
6,586.577
86,268.000
243,404.131
54,862.837
3,642.464
90,990.995
13,425.073
12,886.000
832,704.390
258,215.705
984.410
87,411.189
17,118.867
216,084.264

81,906.853
167.709
213.427
145,058.058
881,404.287
83,682.839
34.860
320,005.082
844,138.363
17,796.828
3,246.308
8,331.265
69,681.076
547,041.232
39,820.364
2,064.836
493,728.349
91,306.846
67,683.688
63,866.118
467.508
6,690.413
166,150.898
694,454.700
54,894.654
2,064.836
163,600.001
25,111.648
252,284.453
35,837.563
2,946.509
1,854.279
48,588.236
733,990.819
68,608.549
34.860
330,128.348
386,200.280
659,537.598
1,130,477.610
26,925.104
14,127.651
1,109,029.715
285,026.346
2,080.138
3,089,108.649
44,272.739
67,081.265
52,700.000
799,923.400
310,810.020
420,763.883
1,983,757.332
21,784.060
5,359.651
1,087,888.722
444,041.287
420,763.884
2,235,828.927
49,413.783
75,849.265
52,700.000
821,064.393
151,795.079
2,080.137

392,179.802
32,747.000
14,699.981
117,629.314
43,219.999
1,241.025
182,682.791
4,601.913
1,519.746
19,360.981
85,234.530
-
264,535.257
12,064.000
3,793.107
19,667.879
74,329.282
140.717
310,327.336
25,284.913
12,426.620
117,322.416
54,125.247
1,100.308

2,646.809
212,186.758
3,458.674
48,516.740
236,378.854
6,499.904
83,350.587
71.587
40,839.525
-
5,926.065
122,330.009
39,426.935
-
3,220.648
173,207.336
3,530.261
49,929.330
236,378.854

248,788.129
1,326.278
7,090.965
8,150.331
80,776.490
472,503.724
261,184.709
333,233.395
95.904
129.856
5,637.999
339,107.807
148,784.052
-
376,476.720
6.007
597.046
12,470.982
281,969.351
249,106.932
-
205,544.804
1,416.175
6,623.775
1,317.348
137,914.946
372,180.844
261,184.709

(1) This Sub-Fund was launched on 31 May 2010.
170

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
753,788.748
51,748.678
363,155.336
93,690.115
29,308.795
191,341.288
5,833,712.517
629,273.012
342,485.692
103,595.103
324,263.949
536,037.995
18,717.312
530,682.941
2,153.911
19,618.416
135,191.442
1,213,857.028
433,342.262
283,736.000
124,293.964
84,991.110
622,026.619
30,701.401
423,869.979
21,900.000
25,111.453
224,730.357
2,508,434.257
499,218.267
434,006.000
7,000.001
7,796.737
667,800.124
39,764.589
469,968.298
73,944.026
23,815.758
101,802.373
4,539,135.288
563,397.007
192,215.692
220,889.066
401,458.322

456,584.883
189,760.015
449,596.960
115,053.802
445,996.181
142,816.858
460,185.662
161,996.959
2,425.698
2,935,327.386
320,072.511
228,700.495
378,602.303
148,834.905
195,296.000
1,612.928
2,433,597.219
640,115.804
384,545.546
160,676.400
63,190.243
18,870.000
3,494.671
2,634,526.228
543,145.726
350,309.685
223,346.712
145,018.148
214,166.000
543.955
2,734,398.377
417,042.589
262,936.356
315,931.991
67,007.000
-

JPM Global Dividend X (acc) - USD*
113,331.681
13,863.096
1,161.116
2,662.099
181,010.969
11,586.250
15,640.572
-
630,650.297
10,232.085
152,802.563
12,449.054
10,739.013
59,048.083
11,363.602
20,593.911
155,894.367
358,990.970
959.298
57,536.147
822.585
5,443.625
204,738.872
6,438.174
8,873.778
155,894.367
384,991.008
9,272.787
109,129.512
12,787.585
7,957.487
35,320.180
16,511.678
27,360.705
-

JPM Global Enhanced Bond B (acc) - EUR
149,072.020
41.718
4,319.054
22,947.121
19,404.323
2,242.717
44,386.600
10.821
5,136.721
80,726.413
-
63,432.484
3.000
1,124.341
745.383
54,896.162
2,044.967
130,026.136
49.539
8,331.434
22,201.738
45,234.574
197.750

848,079.803
362,164.761
188,087.896
412,565.384
11,810.617
75,430.963
10,719.673
458,896.279
425,524.595
609,102.535
293,051.972
248,042.087
35,857.184
215.564
567,601.046
192,191.728
94,591.122
367,196.764
26,520.752
44,700.813
750.000
739,375.036
595,497.628
702,599.309
338,420.592
233,331.952
66,587.334
10,185.237

777,810.222
642,374.157
65,167.139
180,599.299
54,221.862
193,934.780
479,981.346
156,321.512
360,000.000
173,754.250
36,133.150
3,850,389.765
1,447,770.532
42,170.547
871,558.816
237,679.217
969,559.756
1,341,285.041
823.395
213,342.629
2,120,040.843
141,712.467
77,448.800
1,345,589.421
1,126,831.458
47,572.760
484,771.314
137,200.575
394,834.838
853,414.357
87,350.576
1,043,054.359
220,073.250
59,216.333
3,282,610.566
963,313.231
59,764.926
567,386.801
154,700.504
768,659.698
967,852.030
823.395
282,313.565
1,436,986.484
95,393.467
54,365.617

148,419.625
195,050.578
113,007.586
166,662.454
945,912.004
125,891.555
65,770.647
119,597.551
135,535.656
100,891.807
1,021,365.031

JPM Global Select 130/30 A (acc) - EUR*
130,051.383
642.508
530.394
36,278.750
39,758.076
56,934.569
1.532
6,363.599
18,779.723
77,128.431
642.508
13,434.809
25,154.917
109,857.521
531.926
29,207.540
33,382.882

171

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
399,254.727
930.918
6,520.808
475,915.617
72,852.701
865,977.872
216,892.267
8,341.777
362.000
509,269.001
31,337.893
53,710.601
168,275.359
6,522.808
280,427.074
39,362.437
576,846.952
447,871.635
9,272.695
360.000
704,757.544
64,828.157
342,841.521

497,735.861
712.913
89.650
171,328.188
443,787.645
402,075.166
6.039
9.027
75,948.088
62,489.316
582,548.767
0.705
219,695.952
165,011.838
317,262.260
718.952
97.972
27,580.324
341,265.123

JPM Highbridge Statistical Market Neutral B (acc) - USD*
JPM Highbridge Statistical Market Neutral I (acc) - EUR
5,814,589.629
187,792.602
163,287.483
382,366.069
41,114.671
427,969.137
82,493.024
906,281.584
1,906.214
4,621,483.619
1,213,931.558
136,664.498
7,831,983.678
40,753.146
50,937.127
587,873.838
64,246.127
13,087.207
1,297,336.999
212,251.134
55,787.694
81,280.858
3,587.340
61,294.236
3,387.993
218,590.242
1,939,910.869
19,917.817
1,201,291.161
12,514.189
715,120.891
20,598.175
11,602.292
68,566.103
295,105.705
129,061.254
34,433.970
4,859,982.903
168,650.137
105,272.099
319,266.534
33,581.624
411,370.683
29,227.787
830,540.103
1,906.214
5,269,925.052
19,917.817
955,263.003
108,337.029
6,028,535.645
40,959.808
53,839.557
459,372.279
148,935.207
89,341.660
47,521.177
2,251,943.725
231,393.599
113,803.078
144,380.393
11,120.387
77,892.690
56,653.230
294,331.723
1,291,469.436
1,459,959.716
40,841.658
2,518,568.924
20,391.513
8,699.862
197,067.662
146,170.498
103,965.721
-
JPMorgan Investment Funds - Income Opportunity Fund (2)

JPM Income Opportunity A (dist) - EUR (hedged)
4,236,097.565
2,477,663.429
35,948.460
266,079.968
1,453,198.893
736,294.982
389,458.985
1,310,487.213
1,914,852.706
383,045.018
623,506.518
1,234,001.877
22,330.000
23,695.001
3,807,948.063
5,241,589.882
522,427.356
458,552.589
1,343,339.075
781,535.414
1,474,552.169
1,530,051.980
125,490.809
6,206,558.027
99,197.377
621,652.494
3,041,490.201
68.985
110,031.619
208,243.273
5,169.999
2,318,583.528
2,666,370.263
53,187.550
75,008.559
269,564.690
520,507.981
872,652.438
1,272,407.889
57,809.483
1,736,940.154
4,171.001
133,505.962
646,743.514
1,058,518.724
30,217.379
-
5,725,462.100
5,052,883.048
505,188.266
649,623.998
2,526,973.278
997,322.415
991,358.716
1,568,131.304
67,681.326
6,384,470.579
95,026.376
871,191.550
3,018,253.205
68.985
285,514.772
200,355.894
28,865.000

296,215.887
52,156.903
4,144.027
219,232.262
4,671.573
935,188.149
1,656,701.688
249,243.333
57,677.916
863,952.324
59,455.657
259,763.972
1,208,144.954
67,404.433
56,802.336
542,551.559
54,775.801
47,967.970
744,772.621
233,995.803
5,019.607
540,633.027
9,351.429
1,146,984.151

20,484.803
21,596.599
17,905.103
337.997
24,004.393
77,848.293
4,478.519
-
82,990.044
1,157.976
12,469.212
20,484.803
16,454.848
17,905.103
3,658.540
11,535.181
233,602.957
8.888
27,762.521
573,560.388
260,808.757
854,699.036
14,512.778
61,055.236
-
448,906.275
36,154.353
283,271.925
-
639,395.718
8.888
6,120.946
351,343.699
260,808.757

(2) This Sub-Fund changed its currency to USD on 4 January 2010.
172

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
2,893,166.755
36,886.412
153,238.804
1,806,306.742
145,641.969
302,140.000
1,292,507.635
1,882,711.508
64,448.098
495,538.751
1,748,637.285
200,529.163
309,578.511
2,873,822.846
93,956.519
491,282.498
1,468,488.600
225,042.189
459,291.435
1,902,055.417
7,377.991
157,495.057
2,086,455.427
121,128.943
302,140.000
1,142,794.711
281,873.842
22,014.211
62,358.574
108,149.600
24,090.318
22,014.211
228,139.000
735,855.363
1,479.396
19,078.493
70,138.204
6,449.860
1,906.133
136,618.421
412,154.296
25,969.493
65,293.896
4,918.370
360.030
50,198.000
605,574.909
23,493.607
55,467.574
112,993.908
25,621.808
23,560.314
314,559.421
1,226,426.524
179,363.561
173,447.124
790,014.329
262,512.205
5,315,048.328
256,141.060
547,735.962
64,336.188
102,616.045
598,637.440
144,209.745
610,501.169
106,163.739
591,999.462
79,646.807
112,950.141
597,490.453
189,850.383
2,042,513.889
176,342.894
1,182,163.024
164,052.942
163,113.028
791,161.316
216,871.567
3,883,035.608
185,961.905

194,447.810
1,542.000
5,922.047
5,400.198
124,600.615
321,239.230
21.226
20,435.305
61,894.321
45,819.497
353,669.672
481.000
21,718.309
56,280.265
85,280.451
162,017.368
1,082.226
4,639.043
11,014.254
85,139.661

928,634.873
111,521.804
2,470.405
72,976.004
10,775.941
30,028.997
1,396.370
609,645.983
94,869.522
25,390.273
326,538.353
22,811.253
27,760.408
120,346.811
507,101.689
114,642.998
4,195.504
118,252.427
6,904.011
22,406.599
-
1,031,179.167
91,748.328
23,665.174
281,261.930
26,683.183
35,382.806
121,743.181
32,867.065
10,765.218
15,361.153
15,097.352
13,765.559
15,379.635
33,377.094
12,120.220
917.957
4,985.936
1,943.735
-
44,987.285
11,683.175
15,361.153
15,097.352
18,751.495
17,323.370
33,377.094
4,287,012.741
303,148.027
1,469,260.818
1,064,409.884
544,175.749
2,343,303.460
148,590.709
345,454.907
540,595.604
808,968.114
119,987.057
5,395,573.381
1,559,729.541
918,499.804
278,108.502
388,748.658
858,318.575
327,104.481
486,366.400
436,206.973
33,538.854
2,070,179.466
539,098.080
1,896,944.505
720,601.283
198,381.620
757,858.524
112,297.125
245,146.370
463,994.244
308,523.554
40,366.386
7,612,406.656
1,323,779.488
490,816.117
621,917.103
734,542.787
2,443,763.511
363,398.065
586,674.937
512,808.333
500,444.560
113,159.525

JPMorgan Investment Funds - US Market Neutral Fund (3)

JPM US Market Neutral A (acc) - USD
JPM US Market Neutral A (acc) - EUR (hedged)
JPM US Market Neutral A (dist) - USD
JPM US Market Neutral A (dist) - GBP
JPM US Market Neutral D (acc) - USD
JPM US Market Neutral D (acc) - EUR (hedged)
JPM US Market Neutral X (acc) - USD
(3) This Sub-Fund was liquidated on 15 December 2010.

* Share Class inactive as at the end of the year.
173

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
337,042.849
904,953.771
79,083.020
119,282.235
512,537.783
361,311.221
306,653.433
1,091,980.564
294,360.433
149,671.651
325,510.990
146,033.808

452,350.578
110,081.452
5,410.046
19,348.792
54,183.395
299.985
244,529.021
3,687.113
141,062.046
29,626.512
-
365,453.335
28,935.172
3,692.650
77,523.822
36,538.411
-
331,426.264
84,833.393
1,717.396
82,887.016
47,271.496
299.985

970,990.677
302,242.860
8,304.238
9,199.300
28,633.652
-
444,229.251
46,221.183
33,460.566
366,584.240
13,821.606
254,223.189
514,165.087
85,937.164
38,122.341
252,908.582
18,497.895
111,520.925
901,054.841
262,526.879
3,642.463
122,874.958
23,957.363
142,702.264

16,656.442
34.860
3,168.062
41,812.041
397,336.432
21,435.173
34.860
101,630.344
844,138.363
94,735.747
2,913.800
1,342.826
155,279.516
638,715.280
109,103.030
327,488.105
-
29,485.336
2,780.951
4,297.461
52,033.499
154,647.425
46,855.364
109,113.367
-
81,906.853
167.709
213.427
145,058.058
881,404.287
83,682.839
34.860
320,005.082
844,138.363
JPMorgan Investment Funds - Europe Select Mega Cap Fund (1)

JPM Europe Select Mega Cap A (acc) - EUR
JPM Europe Select Mega Cap A (dist) - EUR
JPM Europe Select Mega Cap B (acc) - EUR
JPM Europe Select Mega Cap C (acc) - EUR
JPM Europe Select Mega Cap D (acc) - EUR
JPM Europe Select Mega Cap X (acc) - EUR
79,296.459
66.913
3,958.587
3,582.551
63,784.486
26,158.461
1,780.944
487.936
373.021
81,077.403
66.913
3,958.587
3,582.551
64,272.422
26,531.482
JPMorgan Investment Funds - Europe Short Duration Fund (2)

JPM Europe Short Duration A (acc) - EUR
JPM Europe Short Duration B (acc) - EUR
JPM Europe Short Duration D (acc) - EUR
43,248.540
698.381
43,977.048
43,248.540
698.381
43,977.048

792,396.145
4,213.117
2,977.000
46,281.320
97,637.891
10,520.000
969,922.377
25,256.980
12,045.093
1,347,795.816
227,165.575
3,966.000
631,840.912
2,544.993
894.442
285,047.421
39,777.120
12,405.862
1,130,477.610
26,925.104
14,127.651
1,109,029.715
285,026.346
2,080.138

472,540.605
59,817.000
27,087.334
78,462.855
72,246.077
158,235.559
151,301.691
1,753.000
3,231.878
44,434.179
8,794.961
20,962.000
231,662.494
28,823.000
15,619.231
5,267.720
37,821.039
177,956.534
392,179.802
32,747.000
14,699.981
117,629.314
43,219.999
1,241.025

87,594.148
242,922.924
599.999
4,058.676
57,332.850
237,256.664
7,312.128
17,102.368
0.001
713.206
13,723.652
-
92,259.467
47,838.534
600.000
1,313.208
22,539.762
877.810
2,646.809
212,186.758
3,458.674
48,516.740
236,378.854

257,254.745
1,090.551
12,029.440
10,554.878
227,375.399
566,126.126
470,455.401
240,111.053
635.727
2,465.853
6,000.000
262,382.375
107,098.795
-
248,577.669
400.000
7,404.328
8,404.547
408,981.284
200,721.197
209,270.692
248,788.129
1,326.278
7,090.965
8,150.331
80,776.490
472,503.724
261,184.709
(1) This Sub-Fund merged into Europe Select Equity Fund on 12 June 2009.
(2) This Sub-Fund was liquidated on 30 January 2009.
174

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
779,000.924
92,529.997
584,055.737
108,892.993
24,312.469
126,988.318
7,213,438.828
199,813.212
283,473.000
102,378.095
186,997.509
211,954.501
10,375.371
101,351.698
3,268.601
19,465.134
123,914.274
986,402.981
432,757.400
159,634.692
1,217.008
266,351.549
237,166.677
51,156.690
322,252.099
18,471.479
14,468.808
59,561.304
2,366,129.292
3,297.600
100,622.000
129,085.109
753,788.748
51,748.678
363,155.336
93,690.115
29,308.795
191,341.288
5,833,712.517
629,273.012
342,485.692
103,595.103
324,263.949

437,699.978
190,691.876
6,263.113
208,252.618
107,272.997
-
189,367.713
108,204.858
6,263.113
456,584.883
189,760.015
-

JPM Global Convertibles (USD) X (acc) - USD
1,112,950.931
40,000.000
292,900.055
64,597.000
-
2,425.699
3,076,025.578
351,276.184
314,629.446
204,022.223
500,759.374
212,445.001
0.001
1,253,649.123
71,203.673
85,928.951
118,319.975
416,521.469
17,149.001
2,425.698
2,935,327.386
320,072.511
228,700.495
378,602.303
148,834.905
195,296.000
7,500.000
8,608.776
8,189.892
8,569.067
113,421.991
1,161.117
6,111.635
2,662.100
187,104.464
4,333.634
15,594.109
7,590.310
0.001
857.315
0.001
6,093.495
937.276
8,522.604
113,331.681
1,161.116
13,863.096
2,662.099
181,010.969
11,586.250
15,640.572
204,106.306
54.718
4,319.054
66,703.995
49,707.567
2,072.717
31,270.345
1.000
9,508.000
3,764.764
170.000
86,304.631
14.000
9,508.000
43,756.874
34,068.008
-
149,072.020
41.718
4,319.054
22,947.121
19,404.323
2,242.717
92,676.578
659.168
170.000
6,167.953
31,304.831
92,676.578
659.168
170.000
6,167.953
31,304.831

915,853.151
29,053.662
7,859.140
8,906.326
610,657.762
67,827.112
10,938.618
944,086.104
520,643.198
180,228.756
995,002.076
182,551.146
105,485.228
731.055
1,011,859.452
187,532.099
591,343.018
781,398.291
97,881.377
950.000
848,079.803
362,164.761
188,087.896
412,565.384
11,810.617
75,430.963
10,719.673
JPMorgan Investment Funds - Global Healthtech Fund (4)

JPM Global Healthtech A (acc) - USD
JPM Global Healthtech A (dist) - USD
JPM Global Healthtech B (acc) - USD
JPM Global Healthtech C (acc) - USD
JPM Global Healthtech D (acc) - USD
103,860.385
50.000
8,590.893
400.603
33,387.742
95,849.136
2,417.972
2,523.938
44,703.435
4,733.299
199,709.521
2,467.972
11,114.831
45,104.038
38,121.041

107,530.516
395,886.052
85,394.679
1,359.720
8,962.730
2,150.000
416,620.633
86,047.587
131,000.000
36,505.870
1,031,866.355
1,015,940.154
425,892.193
280,755.181
54,691.087
223,086.571
711,382.721
118,452.833
360,000.001
156,254.250
25,061.247
361,586.649
769,452.049
446,119.733
101,515.602
9,431.955
31,301.791
648,022.008
48,178.908
0.001
113,500.000
25,433.967
777,810.222
642,374.157
65,167.139
180,599.299
54,221.862
193,934.780
479,981.346
156,321.512
360,000.000
173,754.250
36,133.150

JPMorgan Investment Funds - Global ex-US Select Small Cap Fund (3)
JPM Global ex-US Select Small Cap A (acc) - EUR
JPM Global ex-US Select Small Cap A (dist) - EUR
JPM Global ex-US Select Small Cap B (acc) - EUR
JPM Global ex-US Select Small Cap C (acc) - EUR
JPM Global ex-US Select Small Cap D (acc) - EUR
(3) This Sub-Fund was liquidated on 9 February 2009.

(4) This Sub-Fund merged into JPMorgan Funds - Global Healthcare Fund on 2 October 2009.
175

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
116,054.160
-
38,963.535
196,449.837
6,598.070
1,399.259
148,419.625
195,050.578

178,493.515
642.508
517.762
566.138
68,716.451
92,150.319
12.632
56,302.318
18,817.031
140,592.451
20,589.706
47,775.406
130,051.383
642.508
530.394
36,278.750
39,758.076

191,000.811
528.464
38,969.659
502,428.557
62,932.873
378,884.834
377,925.276
539.046
17,240.193
410,731.634
23,017.968
523,136.351
169,671.360
136.592
49,689.044
437,244.574
13,098.140
36,043.313
399,254.727
930.918
6,520.808
475,915.617
72,852.701
865,977.872
JPMorgan Investment Funds - Global Short Duration Fund (5)

JPM Global Short Duration A (acc) - USD
JPM Global Short Duration C (acc) - USD
JPM Global Short Duration D (acc) - USD
13,518.138
225,530.507
10,847.808
13,518.138
225,530.507
10,847.808
JPMorgan Investment Funds - Global Teletech Fund (6)

JPM Global Teletech A (acc) - USD
JPM Global Teletech A (dist) - USD
JPM Global Teletech B (acc) - USD
JPM Global Teletech C (acc) - USD
JPM Global Teletech D (acc) - USD
162,385.964
197.561
1,584.053
2,542.079
28,567.742
162,385.964
197.561
1,584.053
2,542.079
28,567.742

531,600.707
87.551
89.650
675.680
9,373.040
577,607.727
71,481.093
625.362
171,078.185
36,979.978
105,345.939
675.680
9,123.037
170,800.060
497,735.861
712.913
89.650
171,328.188
443,787.645
8,399,271.396
56,189.598
257,862.521
294,917.477
84,925.765
392,942.593
78,105.069
803,731.335
1,906.214
3,471,704.609
410,225.603
10,119,774.407
46,631.915
45,469.095
793,769.216
94,625.507
-
5,096,003.886
283,229.360
82,446.597
828,993.308
187,276.457
665,322.601
27,562.596
790,743.463
4,580,064.651
1,143,614.350
177,747.927
4,475,059.844
45,643.924
59,966.811
191,516.000
11,566.468
448,857.146
7,680,685.653
151,626.356
177,021.635
741,544.716
231,087.551
630,296.057
23,174.641
688,193.214
3,430,285.641
339,908.395
41,083.429
6,762,850.573
51,522.693
54,498.779
397,411.378
41,945.848
435,769.939
5,814,589.629
187,792.602
163,287.483
382,366.069
41,114.671
427,969.137
82,493.024
906,281.584
1,906.214
4,621,483.619
1,213,931.558
136,664.498
7,831,983.678
40,753.146
50,937.127
587,873.838
64,246.127
13,087.207
557,538.921
12,908.510
434,396.219
226,050.038
45,525.132
-
2,698,280.792
36,369.764
5,169,247.930
1,072,740.636
277,603.997
770,527.198
399,817.738
1,960,239.245
1,311,014.894
389,787.170
654,877.436
1,234,675.188
48,125.001
25,795.001
778,156.284
421.304
946,058.875
53,937.962
11,524.029
34,232.216
10,358.753
271,436.577
527.681
6,742.152
76,896.050
673.311
25,795.001
2,100.000
2,477,663.429
35,948.460
4,236,097.565
1,453,198.893
266,079.968
736,294.982
389,458.985
1,914,852.706
1,310,487.213
383,045.018
623,506.518
1,234,001.877
22,330.000
23,695.001

JPM Highbridge Statistical Market Neutral B (acc) - USD
JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)
JPM Income Opportunity A (acc) - EUR
JPM Income Opportunity A (acc) - USD (hedged)
JPM Income Opportunity A (inc) - EUR
JPM Income Opportunity B (acc) - USD (hedged)
JPM Income Opportunity B (acc) - EUR
JPM Income Opportunity C (acc) - EUR
JPM Income Opportunity C (acc) - USD (hedged)
JPM Income Opportunity D (acc) - EUR
JPM Income Opportunity X (acc) - USD (hedged)
JPM Income Opportunity X (acc) - EUR

176

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
275,551.609
218,496.308
2,108.030
3,634.907
4,002,103.435
941,904.592
116,484.905
621,653.374
2,177.651
241,630.517
4,992.729
94,513.649
668,704.328
339,879.611
543,933.795
141.654
22,398.255
3,956.063
4,096,617.084
675,420.771
52,156.903
296,215.887
4,144.027
219,232.262
4,671.573
935,188.149

257,054.291
169,510.758
58,534.874
39,570.190
345.561
174,966.493
15,328.003
34,663.087
17,968.264
287.778
-
250,785.695
183,689.042
58,598.035
39,570.190
295.342
150,962.100
21,596.599
20,484.803
17,905.103
337.997
24,004.393

379,060.338
27,111.060
666,719.092
7,525.000
157,300.027
8.888
2,370.333
25,918.206
265,876.153
302,757.408
1,718.872
119,076.910
12,592.396
233,602.957
8.888
27,762.521
573,560.388
260,808.757
5,663,927.019
18,461.567
217,039.531
2,007,056.550
280,901.515
316,242.235
1,736,552.945
2,346,145.854
42,094.795
34,467.052
877,552.863
20,097.132
516,967.800
5,116,906.118
23,669.950
98,267.779
1,078,302.671
155,356.678
14,102.235
961,013.110
2,893,166.755
36,886.412
153,238.804
1,806,306.742
145,641.969
302,140.000
1,292,507.635
120,947.211
21,528.842
22,119.574
22,014.211
21,922.312
-
243,825.000
443,582.890
68,432.000
134,817.999
1,437.422
2,778.171
229,639.000
342,758.000
183,237.890
28,193.000
26,668.399
1,437.422
610.165
1,500.000
22,014.211
281,873.842
62,358.574
108,149.600
22,014.211
24,090.318
228,139.000
936,215.019
58,805.816
52,265.654
615,225.128
214,100.841
2,599,067.020
98,255.743
1,024,816.613
163,826.068
219,251.126
640,927.998
152,120.730
2,945,664.375
250,162.260
734,605.108
43,268.323
98,069.656
466,138.797
103,709.366
229,683.067
92,276.943
1,226,426.524
179,363.561
173,447.124
790,014.329
262,512.205
5,315,048.328
256,141.060
390,580.210
2,617.000
7,133.057
1,988.126
158,561.074
69,757.252
27.119
3,631.072
12,648.196
265,889.652
1,075.000
1,238.129
219.000
46,608.655
194,447.810
1,542.000
5,922.047
5,400.198
124,600.615
JPMorgan Investment Funds - US Disciplined Equity Fund (7)

JPM US Disciplined Equity A (acc) - USD
JPM US Disciplined Equity A (dist) - USD
JPM US Disciplined Equity B (acc) - USD
JPM US Disciplined Equity C (acc) - USD
JPM US Disciplined Equity D (acc) - USD
JPM US Disciplined Equity X (acc) - USD
19,705.527
50.000
2,945.633
285.610
81,240.420
1,237.084
19,705.527
50.000
2,945.633
285.610
81,240.420
1,237.084
JPMorgan Investment Funds - US Dynamic Small Cap Fund (8)

JPM US Dynamic Small Cap A (acc) - USD
JPM US Dynamic Small Cap A (dist) - USD
JPM US Dynamic Small Cap D (acc) - USD
JPM US Dynamic Small Cap X (acc) - USD
158,527.481
11.653
12,154.873
2,259.000
2,330.825
168.725
835.000
160,858.306
11.653
12,323.598
3,094.000
154,664.749
116,895.546
43,918.465
5,665.643
4,888.678
18,421.539
988,133.638
85,880.540
2,470.405
114,062.512
11,217.590
35,790.411
6,827.370
214,163.514
91,254.282
85,004.973
6,107.292
10,650.092
23,852.539
928,634.873
111,521.804
2,470.405
72,976.004
10,775.941
30,028.997
1,396.370



(8) This Sub-Fund was liquidated on 30 April 2009.
177

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
JPMorgan Investment Funds - US Market Neutral Fund
37,831.457
270,330.559
33,330.000
33,495.437
41,002.966
46,332.074
79,899.141
19,795.979
9,415.017
50.000
3,461.018
11,030.533
3,177.654
24,760.371
268,980.358
17,968.847
18,448.085
30,698.425
41,982.972
49,699.701
32,867.065
10,765.218
15,361.153
15,097.352
13,765.559
15,379.635
33,377.094
2,445,478.291
128,571.124
671,764.636
970,474.034
60,215.014
968,170.102
105,153.564
43,091.581
122,179.428
278,833.547
111,799.942
5,423,872.291
243,771.889
3,700,507.621
790,737.208
693,438.694
1,829,239.324
154,678.581
376,833.434
533,443.725
530,134.567
121,740.128
3,582,337.841
69,194.986
2,903,011.439
696,801.358
209,477.959
454,105.966
111,241.436
74,470.108
115,027.549
113,553.013
4,287,012.741
303,148.027
1,469,260.818
1,064,409.884
544,175.749
2,343,303.460
148,590.709
345,454.907
540,595.604
808,968.114
119,987.057
* Share Class inactive as at the end of the year.
178

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
JPMorgan Investment Funds - Asset-Backed Fund (EUR) (1)
JPM Asset-Backed (EUR) A (acc) - EUR
JPM Asset-Backed (EUR) D (acc) - EUR
JPM Asset-Backed (EUR) X (acc) - EUR
67,152.624
43,679.957
250.000
700.923
1,152.747
-
67,853.547
44,832.704
250.000
312,923.669
33,600.000
148,311.853
492,514.589
1,888,990.041
81,660.596
-
468,395.409
1,017,636.270
2,577.576
148,311.853
337,042.849
904,953.771
79,083.020
-
1,886,071.355
203,356.151
125,145.068
598,613.929
181,779.126
369,646.068
263,257.543
10,673.558
50,518.343
9,589.000
27,904.571
27,761.824
1,696,978.320
103,948.257
170,253.365
588,854.137
155,500.302
397,107.907
452,350.578
110,081.452
5,410.046
19,348.792
54,183.395
299.985
90,765.143
6,000.006
12,154.410
7,765.797
6,900.259
98,530.940
6,000.006
19,054.669
1,867,609.469
582,249.708
26,330.550
75,143.706
52,599.259
32,617.701
127,553.645
4,986.864
28,406.408
9,455.888
-
1,024,172.437
284,993.712
46,432.720
65,944.406
33,421.495
32,617.701
970,990.677
302,242.860
8,304.238
9,199.300
28,633.652
-

171,490.663
34.860
54,233.360
89,273.612
267,209.237
41,364.284
34.860
286,597.337
846,138.363
16,939.943
1,412.163
71,372.782
427,482.669
30,010.470
22,051.896
-
171,774.164
52,477.461
118,834.353
297,355.474
49,939.581
207,018.889
2,000.000
16,656.442
34.860
3,168.062
41,812.041
397,336.432
21,435.173
34.860
101,630.344
844,138.363
JPMorgan Investment Funds - Europe Select Mega Cap Fund

266,215.403
83.162
19,005.350
19,407.323
94,398.338
55,435.778
79,336.063
28.789
55,631.691
1,733.144
266,255.007
45.038
15,046.763
15,824.772
86,245.543
31,010.461
79,296.459
66.913
3,958.587
3,582.551
63,784.486
26,158.461
JPMorgan Investment Funds - Europe Short Duration Fund

JPM Europe Short Duration C (acc) - EUR*
JPM Europe Short Duration X (acc) - EUR*
781,894.308
32,658.931
91,090.184
176,185.764
474,308.931
29,927.993
10,324.382
37,789.157
65,954.556
-
768,573.761
42,284.932
128,879.341
198,163.272
474,308.931
43,248.540
698.381
43,977.048
-

904,678.552
3,473.713
3,949.000
23,035.026
176,508.970
9,356.100
361,713.091
1,434.678
6,523.000
87,184.803
26,543.880
1,201.000
473,995.498
695.274
7,495.000
63,938.509
105,414.959
37.100
792,396.145
4,213.117
2,977.000
46,281.320
97,637.891
10,520.000
38,860.236
55,478.218
120.663
2,082.601
38,980.899
57,560.819
3,832,542.165
356,782.394
363,569.282
364,486.796
361,263.906
483,896.744
486,812.287
2,091.268
1,949.284
15,965.183
29,937.012
8,672.217
3,846,813.847
299,056.662
338,431.232
301,989.124
318,954.841
334,333.402
472,540.605
59,817.000
27,087.334
78,462.855
72,246.077
158,235.559

JPMorgan Investment Funds - Europe Corporate Bond Fund (2)
JPM Europe Corporate Bond A (acc) - EUR
JPM Europe Corporate Bond C (acc) - EUR
JPM Europe Corporate Bond D (acc) - EUR
JPM Europe Recovery X (acc) - EUR*
JPMorgan Investment Funds - Flexible Bond Fund (EUR) (3)

JPM Flexible Bond (EUR) A (acc) - EUR
JPM Flexible Bond (EUR) D (acc) - EUR
(1) This Sub-Fund was liquidated on 31 July 2008.

(3) This Sub-Fund was liquidated on 31 July 2008.
179

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
JPM Global Bond (USD) B (acc) - USD
184,618.107
1,194,838.421
181,999.679
413,983.108
105,997.188
560,673.314
3,524.806
58,828.465
62,282.001
37,870.451
-
100,548.765
1,010,743.962
181,399.680
472,206.433
86,534.789
323,416.650
87,594.148
242,922.924
599.999
4,058.676
57,332.850
237,256.664
453,978.284
531.860
4,642.986
434.450
275,088.670
910,732.087
478,505.401
162,842.636
583.579
8,828.864
10,323.998
649,934.188
147,576.878
-
359,566.175
24.888
1,442.410
203.570
697,647.459
492,182.839
8,050.000
257,254.745
1,090.551
12,029.440
10,554.878
227,375.399
566,126.126
470,455.401

1,021,476.576
92,674.229
286,834.864
20,519.145
26,657.330
203,310.337
9,000,257.848
523,616.234
978,296.996
701,787.790
218,299.222
445,135.150
113,153.235
62,031.302
300,720.968
4,712,477.313
202,148.856
376,494.000
418,236.010
655,236.892
944,263.442
218,443.454
147,914.277
24,779.387
64,376.163
377,042.987
6,499,296.333
2,335.644
93,021.000
839,474.149
1,446,536.379
779,000.924
92,529.997
584,055.737
108,892.993
24,312.469
126,988.318
7,213,438.828
199,813.212
283,473.000
102,378.095
186,997.509

JPM Global Capital Preservation (USD) X (acc) - USD
256,549.993
223,365.250
8,334.239
479,055.271
208,530.159
-
297,905.286
241,203.533
2,071.126
437,699.978
190,691.876
6,263.113
1,174,955.684
168,854.472
88,334.000
83,364.000
1,304,157.945
40,633.619
373,446.087
35,322.000
23,498.000
1,366,162.698
633.619
249,400.504
59,059.000
106,862.000
1,112,950.931
40,000.000
292,900.055
64,597.000
-
7,500.000
7,442.598
7,500.000
7,442.598
1,166.178
910.561
1,813.048
220.669
686.579
7,500.000
8,608.776
8,189.892
8,569.067

962,963.395
103.392
4,319.054
178,091.773
154,361.824
55,673.842
177,724.254
15.990
4.291
12,432.660
16.591
936,581.343
64.664
111,392.069
117,086.917
53,617.716
204,106.306
54.718
4,319.054
66,703.995
49,707.567
2,072.717
JPMorgan Investment Funds - Global Ex-US Bond Fund (4)

JPM Global ex-US Bond A (acc) - USD
JPM Global ex-US Bond B (acc) - USD
JPM Global ex-US Bond D (acc) - USD
JPM Global ex-US Bond X (acc) - USD
167,717.153
11,833.584
4,499.407
379,174.033
7,655.949
685.041
2,213.803
175,373.102
11,833.584
5,184.448
381,387.836
JPMorgan Investment Funds - Global ex-US Select Small Cap Fund

165,971.814
491.238
2,033.000
12,730.203
46,872.465
92,950.815
196.498
124.895
5,167.750
5,923.637
166,246.051
28.568
1,987.895
11,730.000
21,491.271
92,676.578
659.168
170.000
6,167.953
31,304.831

963,261.037
20,154.980
330.357
18,900.924
18,804.000
82,008.484
11,518.658
952,725.752
60,040.938
10,638.494
252,603.060
1,197,420.787
59,635.746
2,579.960
1,000,133.638
51,142.256
3,109.711
262,597.658
605,567.025
73,817.118
3,160.000
915,853.151
29,053.662
7,859.140
8,906.326
610,657.762
67,827.112
10,938.618


(4) This Sub-Fund was liquidated on 15 September 2008.
180

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
JPMorgan Investment Funds - Global Healthtech Fund
315,876.920
620.000
947.700
15,486.295
50,186.429
112,379.259
43.804
16,208.000
235,748.607
9,880.853
324,395.794
613.804
8,564.807
250,834.299
26,679.540
103,860.385
50.000
8,590.893
400.603
33,387.742
JPMorgan Investment Funds - Global High Yield Bond Fund (5)

481,167.189
6,901.390
11,863.057
790,179.664
174,004.523
88,242.703
-
1,163,996.906
211,640.467
66,889.369
459,341.332
92,387.365
131,000.000
6,262.791
189,148.053
2,020.434
160,960.898
1,249,278.043
133,147.178
69,789.696
832,900.363
180,344.301
57,999.624
81,617.537
660.714
158,810.898
395,886.052
85,394.679
8,962.730
416,620.633
86,047.587
131,000.000
36,505.870
107,530.516
1,359.720
2,150.000
JPMorgan Investment Funds - Global Income Fund (6)

116,054.160
116,054.160
JPMorgan Investment Funds - Global Select 130/30 Fund (7)

392,648.107
514.111
1,117.113
140,610.354
154,478.593
642.508
3.651
50,279.108
368,633.185
550.975
122,173.011
178,493.515
642.508
517.762
566.138
68,716.451

416,781.099
430.000
16,650.869
19,393.217
80,017.111
565,545.592
153,755.100
756.359
31,769.368
1,779,048.356
48,256.377
1,340.003
379,535.388
657.895
9,450.578
1,296,013.016
65,340.615
188,000.761
191,000.811
528.464
38,969.659
502,428.557
62,932.873
378,884.834
JPMorgan Investment Funds - Global Short Duration Fund

JPM Global Short Duration B (acc) - USD*
JPM Global Short Duration X (acc) - USD*
368,623.811
92,944.753
322,811.321
21,651.558
689,535.523
7,602.041
1,200.000
18,014.900
5,385.923
362,707.714
92,944.753
98,480.814
28,818.650
694,921.446
13,518.138
225,530.507
10,847.808
-
JPMorgan Investment Funds - Global Teletech Fund

JPM Global Teletech C (acc) - USD
842,121.733
145.928
21,834.768
43,707.109
204,659.567
90.076
35.936
270,128.334
8,877.567
884,395.336
38.443
20,286.651
267,586.255
24,016.934
162,385.964
197.561
1,584.053
2,542.079
28,567.742
1,215,250.957
165.481
89.650
675.680
79,770.826
1,104,973.496
23,332.763
393.713
3,674.781
20,572.475
706,983.013
77.930
393.713
74,072.567
547,938.244
531,600.707
87.551
89.650
675.680
9,373.040
577,607.727
7,201.183
50.943
4,999.999
4,420.338
7,201.183
50.943
4,999.999
4,420.338
JPMorgan Investment Funds - Global Total Return Fund (8)

JPM Global Total Return B (acc) - EUR
JPMorgan Investment Funds - Global Total Return Fund (USD) (9)
JPM Global Total Return (USD) A (acc) - USD
JPM Global Total Return (USD) A (dist) - USD
JPM Global Total Return (USD) B (acc) - USD
JPM Global Total Return (USD) D (acc) - USD
(5) This Sub-Fund changed its currency to USD on 1 August 2008.

(6) This Sub-Fund was launched on 11 December 2008.
(7) This Sub-Fund changed its name from Global 50 Equity Fund on 26 March 2008.
(8) This Sub-Fund changed its name from Global Total Return Fund (EUR) on 30 June 2008.
181

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
8,961,629.375
290,093.538
318,583.443
66,777.132
127,647.375
3,979,962.360
9,495,536.762
13,146.401
1,905,496.326
122,924.171
9,883,126.070
73,017.512
509,052.492
375,635.172
97,360.534
435,237.595
58,790.364
1,758,645.641
1,906.214
7,789,642.784
430,660.965
5,378,366.423
117,624.742
46,217.000
635,698.746
44,872.249
10,445,484.049
16,827.914
541,283.509
80,717.695
331,018.212
42,295.002
47,462.427
1,082,561.681
8,297,900.535
20,435.362
4,754,128.778
84,139.228
747.905
1,747,425.856
73,170.913
8,399,271.396
56,189.598
257,862.521
294,917.477
84,925.765
392,942.593
78,105.069
803,731.335
1,906.214
3,471,704.609
410,225.603
10,119,774.407
46,631.915
45,469.095
793,769.216
94,625.507
46,098.232
36,779.770
46,078.837
36,287.100
991,445.012
23,945.584
547,411.312
18,993.292
1,051,942.537
82,250.047
-
480,004.323
11,037.074
113,015.093
55,773.062
825,892.499
82,803.752
36,287.100
557,538.921
12,908.510
434,396.219
226,050.038
45,525.132
-
14,020.477
295,838.031
5,543.400
6,891.078
3,904,448.663
1,536,200.706
365,446.441
1,341,687.750
2,418.654
6,833.598
477,751.772
656,629.823
103,915.309
1,419,029.473
5,854.024
10,089.769
380,097.000
1,250,925.937
275,551.609
218,496.308
2,108.030
3,634.907
4,002,103.435
941,904.592
609,959.032
51,209.878
13,903.611
56,000.000
25,364.349
25,000.000
170,000.000
154,496.360
165,868.475
263,680.357
57,183.858
79,757.277
798.559
60,392.685
56,200.574
518,773.216
145,379.477
12,552.595
96,187.087
25,817.347
25,000.000
230,392.685
35,730.441
257,054.291
169,510.758
58,534.874
39,570.190
345.561
174,966.493
642,746.038
27,449.242
666,719.092
7,852.000
263,685.700
338.182
327.000
379,060.338
27,111.060
666,719.092
7,525.000
6,374,104.274
32,966.386
324,449.705
1,592,991.575
765,192.964
787,429.714
2,642,652.337
6,488,098.586
10,815.140
252,431.526
2,338,763.883
44,104.817
806,774.700
7,198,275.841
25,319.959
359,841.700
1,924,698.908
528,396.266
471,187.479
1,712,874.092
5,663,927.019
18,461.567
217,039.531
2,007,056.550
280,901.515
316,242.235
1,736,552.945
22,014.211
21,528.842
22,119.574
22,014.211
21,528.842
98,933.000
730.095
336.625
120,947.211
21,528.842
22,119.574
22,014.211
21,922.312
1,884,998.195
28,672.246
144,367.778
600,262.426
365,614.994
1,520,321.652
302,239.754
954,132.148
64,959.486
69,353.675
538,229.080
70,846.367
1,686,251.239
63,472.703
1,902,915.324
34,825.916
161,455.799
523,266.378
222,360.520
607,505.871
267,456.714
936,215.019
58,805.816
52,265.654
615,225.128
214,100.841
2,599,067.020
98,255.743
JPMorgan Investment Funds - Income Opportunity Fund (10)

JPM Income Opportunity A (acc) - EUR
JPM Income Opportunity A (acc) - USD (hedged)
JPM Income Opportunity A (inc) - EUR*
JPM Income Opportunity C (acc) - EUR
JPM Income Opportunity D (acc) - EUR
JPM Income Opportunity D (inc) - EUR*
JPM Japan 50 Equity I (acc) - JPY
JPM Japan Behavioural Finance Equity C (acc) - USD
JPMorgan Investment Funds - Japan Focus Fund (11)
JPMorgan Investment Funds - JF Asia ex-Japan Fund (12)
(10) This Sub-Fund changed its name from Highbridge Income Opportunity Fund on 15 July 2008.
(11) This Sub-Fund was launched on 15 February 2008.
(12) This Sub-Fund changed its name from JF Asia Diversified Fund on 31 March 2008.
182

Shares Outstanding
at the Beginning
of the Year
Shares Subscribed
Shares Redeemed
Shares Outstanding
at the End
of the Year
1,467,364.334
5,794.760
135,487.710
471,590.355
613,481.238
3,268,414.513
66,358.319
210.000
774.586
32,033.858
97,235.961
-
1,143,142.443
3,387.760
129,129.239
501,636.087
552,156.125
3,268,414.513
390,580.210
2,617.000
7,133.057
1,988.126
158,561.074
-
186,526.008
50.000
613,752.433
2,410.000
137,527.515
92,998.969
-
7,175.498
3,178.072
9,459.236
54,153.888
1,525.361
173,995.979
613,752.433
2,642.439
146,701.141
65,912.437
288.277
19,705.527
50.000
2,945.633
285.610
81,240.420
1,237.084
176,134.341
5,283.718
19,723.782
103,706.361
2,919,939.155
282,640.931
19,111.964
635.073
8,372.351
1,422.586
-
195,246.305
5,918.791
19,723.782
112,078.712
2,921,361.741
282,640.931
JPMorgan Investment Funds - US Dynamic Small Cap Fund

177,973.633
66.294
18,146.268
3,980.000
48,786.245
25.473
5,241.544
415.000
68,232.397
80.114
11,232.939
2,136.000
158,527.481
11.653
12,154.873
2,259.000

29,196.347
176,354.531
53,343.730
2,234.584
56,303.728
20,566.000
278,942.000
25,736.705
24,882.682
6,365.731
39,090.003
1,132.000
153,473.598
85,195.690
34,307.947
2,934.672
90,505.053
3,276.461
154,664.749
116,895.546
43,918.465
5,665.643
4,888.678
18,421.539
JPMorgan Investment Funds - US Market Neutral Fund

34,156.442
83,457.274
33,330.000
33,319.437
34,500.499
34,290.305
57,300.000
5,938.343
416,237.275
1,726.000
9,316.443
28,815.626
38,355.000
2,263.328
229,363.990
1,550.000
2,813.976
16,773.857
15,755.859
37,831.457
270,330.559
33,330.000
33,495.437
41,002.966
46,332.074
79,899.141
966,840.875
377,857.697
580,591.000
41,266.375
246,358.343
16,115.872
6,621.932
761,977.493
430,573.443
155,335.144
2,840,557.726
1,087,626.963
1,351,782.377
106,437.263
1,406,189.815
120,197.812
53,083.115
155,453.859
109,805.000
77,060.227
26,764.020
1,361,920.310
793,720.024
961,899.343
87,488.624
684,378.056
15,044.248
26,107.406
39,896.363
592,948.946
395,833.728
128,571.124
2,445,478.291
671,764.636
970,474.034
60,215.014
968,170.102
105,153.564
43,091.581
122,179.428
278,833.547
111,799.942
JPMorgan Investment Funds - US Disciplined Equity Fund

JPM US Disciplined Equity A (inc) - USD*
JPM US Disciplined Equity X (acc) - USD
JPMorgan Investment Funds - US Dollar Enhanced Yield Fund (13)
JPM US Dollar Enhanced Yield A (acc) - USD
JPM US Dollar Enhanced Yield B (acc) - USD
JPM US Dollar Enhanced Yield C (acc) - USD
JPM US Dollar Enhanced Yield D (acc) - USD
JPM US Dollar Enhanced Yield I (acc) - USD
JPM US Dollar Enhanced Yield X (acc) - USD

* Share Class inactive as at end of the year.

183

Shares Outstanding at the

Beginning of the Year
Shares Subscribed
Shares Redeemed

End of the Year
JPMorgan Investment Funds - Asset-Backed Fund (EUR)
JPM Asset-Backed (EUR) A (acc) - EUR
JPM Asset-Backed (EUR) D (acc) - EUR
JPM Asset-Backed (EUR) X (acc) - EUR
38,893.846
39,142.010
250.000
153,130.171
14,254.472
-
124,871.393
9,716.525
-
67,152.624
43,679.957
250.000

JPM Euro Liquid Market X (acc) - EUR
148,528.323
136,411.228
530,098.452
45,650.000
11,900.625
365,703.106
12,050.000
-
312,923.669
33,600.000
148,311.853
5,360,084.508
277,401.171
354,881.288
1,362,420.355
402,117.633
1,503,230.293
2,196,038.431
67,555.378
101,037.361
138,167.648
127,941.697
101,622.871
5,670,051.584
141,600.398
330,773.581
901,974.074
348,280.204
1,235,207.096
1,886,071.355
203,356.151
125,145.068
598,613.929
181,779.126
369,646.068
97,210.259
25,639.973
14,570.547
2,861.334
58,947.456
6,000.006
15,066.949
-
65,392.572
25,639.973
17,483.086
2,861.334
90,765.143
6,000.006
12,154.410
-
3,043,691.965
806,048.341
22,489.512
75,491.285
121,959.646
57,666.992
202,906.731
105,464.557
12,828.754
66,945.611
4,558.615
288.076
1,378,989.227
329,263.190
8,987.716
67,293.190
73,919.002
25,337.367
1,867,609.469
582,249.708
26,330.550
75,143.706
52,599.259
32,617.701
43,180.695
1,492.063
84,277.551
-
382,771.340
34.860
90,169.441
111,617.617
648,148.712
553,733.560
34.860
1,291,369.812
849,133.091
254,461.372
37,428.144
22,344.005
380,939.475
(512,369.276)
1,089,050.026
(2,994.728)
171,490.663
34.860
54,233.360
89,273.612
267,209.237
41,364.284
34.860
286,597.337
846,138.363
JPMorgan Investment Funds - Europe Select Mega Cap Fund (1)

206,194.062
38.718
17,275.934
6,539.782
70,097.505
46,479.308
188,843.248
44.444
30,756.852
27,166.524
182,551.163
8,956.470
128,821.907
29,027.436
14,298.983
158,250.330
-
266,215.403
83.162
19,005.350
19,407.323
94,398.338
55,435.778
JPMorgan Investment Funds - Europe Short Duration Fund

JPM Europe Short Duration C (acc) - EUR
JPM Europe Short Duration X (acc) - EUR
786,944.006
73,336.073
90,071.422
83,196.054
543,740.933
1,676,961.251
7,902.000
108,583.619
618,621.030
17,657.427
1,682,010.949
48,579.142
107,564.857
525,631.320
87,089.429
781,894.308
32,658.931
91,090.184
176,185.764
474,308.931
766,313.455
38.718
94,470.289
-
770,385.274
3,960.782
4,719.000
157,552.747
214,960.185
9,356.100
632,020.177
525.787
770.000
134,517.721
132,921.504
-
904,678.552
3,473.713
3,949.000
23,035.026
176,508.970
9,356.100
JPMorgan Investment Funds - Flexible Bond Fund (2)

JPM Flexible Bond (EUR) A (acc) - EUR
JPM Flexible Bond (EUR) D (acc) - EUR
42,530.241
72,460.866
3,670.005
16,982.648
38,860.236
55,478.218
JPMorgan Investment Funds - Global 50 Equity Fund

JPM Global 50 Equity A (acc) - USD
JPM Global 50 Equity A (dist) - USD
JPM Global 50 Equity C (acc) - USD
JPM Global 50 Equity D (acc) - USD
JPM Global 50 Equity X (acc) - USD
349,994.469
512.577
6,294.113
82,227.139
-
528,017.360
1.534
43,340.600
129,335.358
2,897.190
485,363.722
48,517.600
70,952.143
2,897.190
392,648.107
514.111
1,117.113
140,610.354
-

JPMorgan Investment Funds - Europe Corporate Bond Fund
JPM Europe Corporate Bond A (acc) - EUR
JPM Europe Corporate Bond C (acc) - EUR
JPM Europe Corporate Bond D (acc) - EUR
JPM Europe Corporate Bond X (acc) - EUR

(1) This Sub-Fund changed its name from Europe Select Large Cap on 1 November 2007.
(2) This Sub-Fund was launched on 24 April 2007.
184


Shares Subscribed
Shares Redeemed

End of the Year
4,411,443.618
53,756.718
645,255.200
932,426.220
343,272.044
489,023.040
4,528,228.054
349,273.726
183,735.242
765,779.840
335,203.314
467,950.859
5,107,129.507
46,248.050
465,421.160
1,333,719.264
317,211.452
473,077.155
3,832,542.165
356,782.394
363,569.282
364,486.796
361,263.906
483,896.744

JPM Global Bond (USD) B (acc) - USD
180,056.503
2,196,852.675
547,739.534
269,157.912
87,308.984
1,252,658.022
144,376.280
1,145,825.379
23,720.121
509,649.293
72,967.793
151,843.918
139,814.676
2,147,839.633
389,459.976
364,824.097
54,279.589
843,828.626
184,618.107
1,194,838.421
181,999.679
413,983.108
105,997.188
560,673.314

386,080.496
38.945
38.945
434.450
15,239.259
681,618.872
807,970.008
484,315.036
493.915
4,606.041
671,967.833
689,149.301
470,455.401
416,417.248
1.000
2.000
412,118.422
460,036.086
799,920.008
453,978.284
531.860
4,642.986
434.450
275,088.670
910,732.087
478,505.401

1,181,910.800
5,748.622
110,548.522
3,767.739
34,009.313
228,146.489
7,946,544.931
75,012.519
120,854.322
1,001,485.027
102,612.197
218,178.342
18,242.846
1,662.985
116,182.140
4,872,064.264
1,947,278.237
980,636.764
1,161,919.251
15,686.590
41,892.000
1,491.440
9,014.968
141,018.292
3,818,351.347
1,498,674.522
123,194.090
1,021,476.576
92,674.229
286,834.864
20,519.145
26,657.330
203,310.337
9,000,257.848
523,616.234
978,296.996

JPM Global Capital Preservation (USD) B (acc) - USD
JPM Global Capital Preservation (USD) C (acc) - USD
JPM Global Capital Preservation (USD) X (acc) - USD
272,296.841
50,170.154
169,825.168
144,348.847
9,320.803
146,568.381
155,272.265
-
162,315.229
50,170.154
169,825.168
76,255.862
986.564
256,549.993
223,365.250
8,334.239

JPM Global Convertibles (USD) X (acc) - USD
435,496.043
66,025.083
26,513.000
1,243,457.768
174,079.588
225,501.000
56,851.000
503,998.127
71,250.199
137,167.000
-
1,174,955.684
168,854.472
88,334.000
83,364.000
7,442.598
7,500.000
7,442.598
7,500.000
7,442.598
7,500.000
7,442.598
7,500.000
1,251,958.193
38.718
53,401.959
315,546.627
259,266.766
72,997.527
300,000.000
654,283.568
83.674
2,732.833
4,840.839
134,201.128
11,116.317
-
943,278.366
19.000
51,815.738
142,295.693
239,106.070
28,440.002
300,000.000
962,963.395
103.392
4,319.054
178,091.773
154,361.824
55,673.842
-
JPMorgan Investment Funds - Global ex-US Bond Fund

JPM Global ex-US Bond A (acc) - USD
JPM Global ex-US Bond B (acc) - USD
JPM Global ex-US Bond D (acc) - USD
JPM Global ex-US Bond X (acc) - USD
239,783.900
31,165.880
5,290.266
744,673.565
94,041.178
578.603
3,216.071
127,237.750
166,107.925
19,910.899
4,006.930
492,737.282
167,717.153
11,833.584
4,499.407
379,174.033
JPMorgan Investment Funds - Global ex-US Select Small Cap Fund

171,808.937
38.718
787.454
18,817.909
24,925.232
166,562.201
1,337.292
2,088.000
5,704.000
48,273.153
172,399.324
884.772
842.454
11,791.706
26,325.920
165,971.814
491.238
2,033.000
12,730.203
46,872.465
JPMorgan Investment Funds - Global Dividend Fund (3)

JPM Global Enhanced Bond X (inc) - EUR
(3) This Sub-Fund was launched on 28 November 2007.
185


Shares Subscribed
Shares Redeemed

End of the Year
1,272,455.761
1,596.401
50.000
19,268.704
68,048.252
19,073.446
1,052,898.925
20,350.919
1,726.490
18,900.924
9,300.000
101,198.247
3,211.816
1,362,093.649
1,792.340
1,446.133
9,764.704
87,238.015
10,766.604
963,261.037
20,154.980
330.357
18,900.924
18,804.000
82,008.484
11,518.658
JPMorgan Investment Funds - Global Healthtech Fund

399,982.562
50.000
23,904.121
323.894
66,631.945
411,030.638
570.000
5,121.905
17,727.302
24,332.686
495,136.280
28,078.326
2,564.901
40,778.202
315,876.920
620.000
947.700
15,486.295
50,186.429
1,208,051.670
2,992.718
2,394.762
790,358.033
196,705.103
-
1,512,251.305
29,302.672
16,028.096
759,154.974
526,988.135
44,860.000
1,161,611.438
2,239,135.786
25,394.000
6,559.801
759,333.343
549,688.715
44,860.000
1,073,368.735
481,167.189
6,901.390
11,863.057
790,179.664
174,004.523
88,242.703

256,777.976
302.407
36,704.908
87,160.324
106,608.256
582,847.334
509,182.494
1,030.000
6,644.690
55,511.544
56,847.562
58,077.621
349,179.371
902.407
26,698.729
123,278.651
83,438.707
75,379.363
416,781.099
430.000
16,650.869
19,393.217
80,017.111
565,545.592
JPMorgan Investment Funds - Global Short Duration Fund

JPM Global Short Duration B (acc) - USD
JPM Global Short Duration X (acc) - USD
401,477.117
186,864.211
146,858.165
27,276.010
809,203.857
224,977.224
20,889.194
220,839.708
38,214.957
2,814.660
257,830.530
114,808.653
44,886.552
43,839.409
122,482.994
368,623.811
92,944.752
322,811.321
21,651.558
689,535.523
JPMorgan Investment Funds - Global Teletech Fund

JPM Global Teletech X (acc) - USD
271,744.635
50.000
18,096.154
29,355.372
134,191.043
1,038,742.386
295.928
3,738.614
55,251.370
-
468,365.288
200.000
40,899.633
134,191.043
842,121.733
145.928
21,834.768
43,707.109
-
JPMorgan Investment Funds - Global Total Return Fund (EUR)

JPM Global Total Return (EUR) A (acc) - EUR
JPM Global Total Return (EUR) A (dist) - EUR
JPM Global Total Return (EUR) A (inc) - EUR
JPM Global Total Return (EUR) B (acc) - EUR
JPM Global Total Return (EUR) C (acc) - EUR
JPM Global Total Return (EUR) D (acc) - EUR
JPM Global Total Return (EUR) I (acc) - EUR
3,643,032.385
10,821.124
88.945
27,008.229
2,361,680.804
3,915,214.571
30,000.000
2,116,725.872
3,835.528
0.705
1,059.340
1,202,114.431
411,900.335
-
4,544,507.300
14,491.171
27,391.889
3,484,024.409
3,222,141.410
30,000.000
1,215,250.957
165.481
89.650
675.680
79,770.826
1,104,973.496
-
JPMorgan Investment Funds - Global Total Return Fund (USD)

JPM Global Total Return (USD) A (acc) - USD
JPM Global Total Return (USD) A (dist) - USD
JPM Global Total Return (USD) B (acc) - USD
JPM Global Total Return (USD) D (acc) - USD
78,916.629
58.226
77,262.259
32,288.109
9,530.743
213.635
18,928.516
2,115.463
81,246.189
220.918
91,190.776
29,983.234
7,201.183
50.943
4,999.999
4,420.338
51,553.302
36,779.770
46,078.837
36,287.100
5,455.070
-
46,098.232
36,779.770
46,078.837
36,287.100

JPM Global High Yield Bond A (acc) - EUR
JPM Global High Yield Bond A (inc) - EUR
JPM Global High Yield Bond B (acc) - EUR
JPM Global High Yield Bond C (acc) - EUR
JPM Global High Yield Bond D (acc) - EUR
JPM Global High Yield Bond I (inc) - EUR
JPM Global High Yield Bond X (acc) - EUR
JPMorgan Investment Funds - Highbridge Income Opportunity Fund (4)

JPM Highbridge Income Opportunity A (acc) - EUR
JPM Highbridge Income Opportunity A (inc) - EUR
JPM Highbridge Income Opportunity D (acc) - EUR
JPM Highbridge Income Opportunity D (inc) - EUR
(4) This Sub-Fund was launched on 19 July 2007.
186


Shares Subscribed
Shares Redeemed

End of the Year
767,424.034
17,835.017
62,695.925
15,731.928
363,878.731
15,686.000
42,483,599.412
1,006,735.586
5,441,028.622
441,221.911
1,131,067.988
88,209.350
19,731,129.460
18,969,950.469
41,507.049
3,044,193.819
1,159,685.749
34,289,394.071
734,477.065
5,122,445.179
374,444.779
1,003,420.613
88,209.350
15,751,167.100
9,537,109.632
44,092.576
1,502,576.224
1,052,447.578
8,961,629.375
290,093.538
318,583.443
66,777.132
127,647.375
3,979,962.360
9,495,536.762
13,146.401
1,905,496.326
122,924.171
746,698.309
55.337
1,264.061
3,893,656.453
1,312,039.960
16,296.680
982,852.087
10,995.980
7,706.432
10,792.210
270,041.355
2,276.203
1,433,712.365
5,507.917
2,079.415
45,880.609
14,020.477
295,838.031
5,543.400
6,891.078
3,904,448.663
1,536,200.706
721,593.750
52,194.147
13,903.611
56,000.000
25,364.349
25,000.000
170,000.000
154,738.139
111,634.718
984.269
241.779
609,959.032
51,209.878
13,903.611
56,000.000
25,364.349
25,000.000
170,000.000
154,496.360
9,754,393.845
13,368.457
457,824.060
2,720,684.661
1,258,328.826
302,140.000
3,345,904.047
10,787,786.596
34,268.565
768,609.480
1,716,885.885
1,184,458.148
1,031,299.350
121,563.656
14,168,076.167
14,670.636
901,983.835
2,844,578.971
1,677,594.010
546,009.636
824,815.366
6,374,104.274
32,966.386
324,449.705
1,592,991.575
765,192.964
787,429.714
2,642,652.337
22,014.211
21,528.842
22,119.574
22,014.211
21,528.842
22,014.211
21,528.842
22,119.574
22,014.211
21,528.842
JPMorgan Investment Funds - JF Asia Diversified Fund

JF Asia Diversified A (acc) - USD
JF Asia Diversified A (dist) - USD
JF Asia Diversified B (acc) - USD
JF Asia Diversified C (acc) - USD
JF Asia Diversified D (acc) - USD
JF Asia Diversified I (acc) - USD
JF Asia Diversified X (acc) - USD
1,442,883.229
7,877.719
193,182.620
455,510.332
167,254.521
649,062.117
197,907.808
2,234,676.038
23,300.378
51,850.455
318,213.572
422,065.764
1,182,984.759
186,082.785
1,792,561.072
2,505.851
100,665.297
173,461.478
223,705.291
311,725.224
81,750.839
1,884,998.195
28,672.246
144,367.778
600,262.426
365,614.994
1,520,321.652
302,239.754

JPM US Bond I (acc) - USD
JPM US Bond X (acc) - USD
2,086,020.538
542.000
462,859.543
1,918,927.938
456,027.776
4,283,824.370
2,556,709.689
7,409.423
84,366.192
1,084,070.201
499,838.914
34,000.000
629,004.075
3,175,365.893
2,156.663
411,738.025
2,531,407.784
342,385.452
34,000.000
1,644,413.932
1,467,364.334
5,794.760
135,487.710
471,590.355
613,481.238
3,268,414.513
829,679.328
50.000
613,817.433
2,410.000
167,417.656
135,652.241
124,696.410
0.971
96,430.325
46,603.225
767,849.730
65.971
126,320.466
89,256.497
186,526.008
50.000
613,752.433
2,410.000
137,527.515
92,998.969
2,502,966.702
621,260.654
12,832,824.765
95,192.523
1,000.000
5,681,843.580
1,909,816.707
183,989.946
2,154,234.306
98,543.060
13,894,713.503
3,556,983.983
4,236,649.068
799,966.882
14,967,335.289
90,029.222
10,975,774.348
8,956,186.632
176,134.341
5,283.718
19,723.782
103,706.361
2,919,939.155
282,640.931

JPM Japan 50 Equity I (acc) - JPY
JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund (5)
JPM Japan Behavioural Finance Equity C (acc) - USD
JPM Japan Behavioural Finance Equity D (acc) - USD
JPM Japan Behavioural Finance Equity I (inc) - EUR
JPMorgan Investment Funds - Japan Strategic Value Fund (6)
JPMorgan Investment Funds - US Disciplined Equity Fund

JPM US Disciplined Equity A (inc) - USD
JPMorgan Investment Funds - US Dollar Enhanced Yield Fund
JPM US Dollar Enhanced Yield A (acc) - USD
JPM US Dollar Enhanced Yield B (acc) - USD
JPM US Dollar Enhanced Yield C (acc) - USD
JPM US Dollar Enhanced Yield D (acc) - USD
JPM US Dollar Enhanced Yield I (acc) - USD
JPM US Dollar Enhanced Yield X (acc) - USD
(5) This Sub-Fund was launched on 3 April 2007.

(6) This Sub-Fund was launched on 30 November 2007.
187


Shares Subscribed
Shares Redeemed

End of the Year
JPMorgan Investment Funds - US Dynamic Small Cap Fund
392,121.761
50.000
10,706.410
85,497.640
125,100.777
16.294
23,799.832
175,290.000
339,248.905
16,359.974
256,807.640
177,973.633
66.294
18,146.268
3,980.000

9,000.000
14,943.524
1,000.000
14,943.524
-
31,402.691
230,198.130
69,310.149
2,529.401
87,803.418
22,514.000
11,206.344
68,787.123
15,966.419
1,294.817
46,443.214
1,948.000
29,196.347
176,354.531
53,343.730
2,234.584
56,303.728
20,566.000
34,156.442
97,472.430
33,330.000
33,319.437
68,296.681
34,500.499
34,462.644
57,300.000
14,015.156
68,296.681
172.339
-
34,156.442
83,457.274
33,330.000
33,319.437
34,500.499
34,290.305
57,300.000
853,016.590
110,200.000
33,335.000
359,342.951
10,313.388
93,719.443
1,297,392.862
526,852.792
479,991.000
8,206.375
216,458.980
16,854.482
10,136.143
850,977.493
337,319.000
1,183,568.577
148,995.095
9,600.000
275.000
329,443.588
11,051.998
3,514.211
89,000.000
465.000
966,840.875
377,857.697
580,591.000
41,266.375
246,358.343
16,115.872
6,621.932
761,977.493
430,573.443
JPMorgan Investment Funds - US Market Neutral Fund (7)

JPM US Market Neutral C (acc) - EUR (hedged)
(7) This Sub-Fund was launched on 14 June 2007.
188
Language Disclaimer Semi-Annual
For further information concerning JPMorgan Investment Funds, please contact the Global Distributor:
Postal Address: L-2888 Luxembourg
Tel No: (352) 34 101 Fax No: (352) 3410 8000
E-mail: fundinfo@jpmorgan.com
Internet: www.jpmorganassetmanagement.com
CH-EN H62 08/11

GSAA HET 2005-15, Tranche M2 - JPMorgan Investment Funds / Income Oppt&#39;y Fund

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Unaudited Financial Statements and Statistical Information

Notes to the Unaudited Financial Statements

Appendix: Unaudited Additional Disclosures

For additional information please consult www.jpmorganassetmanagement.com

JPMorgan Investment Funds

Andrea L. Hazen (until 31 March 2011)

Robert Van der Meer

Changes to the Composition of the Board of Directors

JPMorgan Investment Funds

Management Company, Registrar and Transfer Agent,

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JPMorgan Investment Funds

Total Net Assets

Historical Total Net Assets

(1) Please refer to Note 2 i).

JPMorgan Investment Funds

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Global Highbridge Statistical

JPMorgan Investment Funds

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JPMorgan Investment Funds

Net Assets at the Beginning of the Period *

Net Investment Income/(Loss)

Net Realised Gain/(Loss) on Sale of Investments

Net Realised Gain/(Loss) for the Period

Net Change in Unrealised Gain/(Loss) on Investments

Net Change in Unrealised Gain/(Loss) for the Period

Increase/(Decrease) in Net Assets as a Result of Operations

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JPMorgan Investment Funds - Euro Liquid Market Fund

JPMorgan Investment Funds - Europe Bond Fund

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JPMorgan Investment Funds - Europe Select Equity Fund

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JPMorgan Investment Funds - Global Capital Appreciation Fund

JPMorgan Investment Funds - Europe Strategic Dividend Fund

JPMorgan Investment Funds

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)

JPMorgan Investment Funds - Global Dividend Fund

JPMorgan Investment Funds - Global Enhanced Bond Fund

JPMorgan Investment Funds - Global Financials Fund

JPMorgan Investment Funds - Global Convertibles Fund (USD)

JPMorgan Investment Funds - Global High Yield Bond Fund

JPMorgan Investment Funds

JPMorgan Investment Funds - Global Select Equity Fund

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JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund

JPMorgan Investment Funds - Income Opportunity Fund

JPMorgan Investment Funds - Japan 50 Equity Fund

JPMorgan Investment Funds

JPMorgan Investment Funds - US Bond Fund

JPMorgan Investment Funds - US Equity Fund

JPMorgan Investment Funds - Japan Select Equity Fund

GSAA HET 2005-15, Tranche M2 - JPMorgan Investment Funds / Income Oppt'y Fund

GSAA HET 2005-15, Tranche M2 - JPMorgan Investment Funds / Income Oppt'y Fund