Delaware Enhanced Global Dividend and Income Fund

Holdings as of 12/31/2009 (all share classes)

Portfolio holdings are as of the date noted above and are subject to change at any time. Holdings may not be representative of current or future investments and may not include the entire investment portfolio. Holdings information is made available to the public 30 calendar days after the most recent quarter-end.

Holdings data is for informational purposes only, and is not intended as a recommendation, offer, or solicitation for the purchase or sale of any specific security. By accessing the portfolio holdings, you agree not to reproduce, distribute or disseminate the portfolio holdings, in whole or part. In no event shall the Delaware Family of Funds or its affiliates have any liability relating to the use of the portfolio holdings.

Unlike the Fund's regulatory filings, the portfolio data and its presentation in this document is not required to conform to Generally Accepted Accounting Principles (GAAP) and Securities and Exchange Commission (SEC) presentation requirements. Therefore, it may differ from that provided in the complete portfolio of investments in the annual and semiannual report to shareholders filed with the SEC on Form N-CSR, and the complete portfolio of investments filed in the first and third quarter on Form N-Q.

SEC description # Holdings Portfolio % Market value Income rate Maturity date Nasdaq symbol
ABBOTT LABORATORIES 10,900.000.37$588,491.001.60N/AABT
ACCELLENT INC 100,000.000.06$96,750.0010.5012/01/201300430XAB3
ACHMEA HYPOTHEEKBANK NV 110,000.000.07$109,908.923.2011/03/2014ACHMEA
ADVANCED MICRO DEVICES INC 840,000.000.48$760,200.006.0005/01/2015AMD CB1
AES CORP/THE 30,000.000.02$30,937.508.0010/15/2017AES
AES CORP/THE 105,000.000.07$107,100.007.7503/01/2014AES
AFFINION GROUP INC 100,000.000.07$105,250.0011.5010/15/2015AFFINI
AGRIUM INC 14,100.000.55$867,150.000.11N/AAGU
AHMAT 2009-ADV3 A1 40,000.000.03$40,152.002.1910/06/2021AHMAT
ALASKA COMMUNICATIONS SYSTEMS 1,000,000.000.58$918,750.005.7503/01/2013ALSK CB
ALCATEL-LUCENT USA INC 45,000.000.03$44,831.252.7506/15/2023ALUFP CB1
ALGOMA ACQUISITION CORP 160,000.000.09$137,000.009.8806/15/2015AGACN
ALLIANCE HEALTHCARE SERVICES I 5,987.000.02$34,185.770.00N/AAIQ
ALLIANCE HEALTHCARE SERVICES I 65,000.000.04$63,700.008.0012/01/2016AIQ
ALLIANCE ONE INTERNATIONAL INC 35,000.000.02$36,925.0010.0007/15/2016AOI
ALLIANCE ONE INTERNATIONAL INC 170,000.000.11$179,350.0010.0007/15/2016AOI
ALLIED WASTE NORTH AMERICA INC 10,000.000.01$10,627.926.8806/01/2017AW
ALLIED WASTE NORTH AMERICA INC 105,000.000.07$111,968.127.1205/15/2016AW
ALLISON TRANSMISSION 144A 200,000.000.13$211,000.0011.0011/01/2015019736AA5
ALLSTATE CORP/THE 20,000.000.38$600,800.000.80N/AALL
AMEREN CORP 15,000.000.01$16,863.748.8805/15/2014AEE
AMERICAN AXLE & MANUFACTURING 50,000.000.03$51,000.009.2501/15/2017AXL
AMERICAN AXLE & MFG INC 85,000.000.05$72,250.007.8803/01/201702406PAF7
AMERICAN ELECTRIC POWER CO INC 17,000.000.38$591,430.001.64N/AAEP
AMERICAN TOWER CORP 50,000.000.04$55,625.007.0010/15/2017AMT
AMERICAN TRANSMISSION SYSTEMS 30,000.000.02$29,688.815.2501/15/2022FE
AMH HOLDINGS INC 85,000.000.05$82,450.0011.2503/01/2014SIDE
AMTT 2007-1A AFX 75,000.000.05$77,062.505.4204/15/2037AMTT
AMTT 2007-1A D 25,000.000.02$25,500.005.9604/15/2037AMTT
ANADARKO PETROLEUM CORP 9,500.000.38$592,990.000.36N/AAPC
ANNALY CAPITAL MANAGEMENT INC 2,600.000.03$45,110.002.76N/ANLY
ANTERO RESOURCES FINANCE CORP 110,000.000.07$112,750.009.3812/01/2017ANTERO
AQUILEX HOLDINGS LLC/AQUILEX F 100,000.000.06$100,250.0011.1212/15/2016AQUILE
ARCELORMITTAL 9,737.000.28$444,452.350.75N/AMT NA
ARCELORMITTAL 40,000.000.03$51,820.969.8506/01/2019MTNA
ARCELORMITTAL 50,000.000.03$51,676.256.1206/01/2018MTNA
ARCHER-DANIELS-MIDLAND CO 19,300.000.38$604,283.000.56N/AADM
ARVINMERITOR INC 170,000.000.10$163,200.008.1209/15/2015ARM
ARVINMERITOR INC 380,000.000.18$284,050.004.0002/15/2027ARM CB
ASAHI GLASS CO LTD 77,000.000.46$732,901.8516.00N/A5201 JP
ASHTEAD CAPITAL 144A 100,000.000.06$100,625.009.0008/15/2016045054AA1
ASSOCIATED MATERIALS LLC/ASSOC 15,000.000.01$15,900.009.8811/15/2016SIDE
ASTELLAS PHARMA INC 17,500.000.41$653,325.82125.00N/A4503 JP
ASTRAZENECA PLC 6,816.000.20$320,301.541.26N/AAZN LN
AT&T INC 21,300.000.38$597,039.001.64N/AT
AUCTION PASS THROUGH TRUST 200,000.000.00$0.000.00N/A050698208
AUSTRALIAN DOLLAR 1,811,576.961.03$1,627,248.880.00N/AAUD
AUTOLIV INC 20,800.000.57$901,888.000.00N/AALV
AVIS BUDGET CAR RENTAL LLC/AVI 125,000.000.07$117,500.008.0005/15/2016053773AF4
AVIS BUDGET CAR RENTAL LLC/AVI 185,000.000.11$176,675.007.8805/15/2014CAR
AXA SA 26,358.000.39$618,039.220.39N/ACS FP
BAC CAPITAL TRUST XIV 205,000.000.09$142,987.505.6312/31/204905518VAA3
BACM 2004-3 A5 50,000.000.03$50,366.265.4006/10/2039BACM
BACM 2004-5 A3 475,000.000.30$478,033.264.5611/10/2041BACM
BACM 2005-1 A3 80,124.140.05$80,114.374.8811/10/2042BACM
BACM 2005-6 A4 180,000.000.11$176,774.635.1809/10/2047BACM
BACM 2005-6 AM 25,000.000.01$21,327.565.1809/10/2047BACM
BACM 2007-4 AM 40,000.000.02$28,870.945.8102/10/2051BACM
BAE SYSTEMS HOLDINGS INC 30,000.000.02$30,943.085.2008/15/201505523UAD2
BANCO NACIONAL DE DESENVOLVIME 500,000.000.34$538,125.006.3706/16/2018BNDES
BANCO SANTANDER SA 47,117.000.49$777,561.200.64N/ASAN SM
BANK OF AMERICA 140,000.000.09$134,979.321.28N/A060505DR2
BANK OF AMERICA CORP 20,000.000.01$19,279.808.1212/29/2049060505DT8
BANK OF NEW YORK MELLON CORP/T 21,500.000.38$601,355.000.36N/ABK
BARBADOS GOVERNMENT INTERNATIO 2,000,000.001.08$1,699,492.006.6212/05/2035BARBAD
BARCLAYS BANK PLC 100,000.000.06$101,929.106.0512/04/2017BACR
BAUSCH & LOMB INC 205,000.000.14$217,300.009.8811/01/2015BOL
BAYERISCHE MOTOREN WERKE AG 16,932.000.49$774,603.390.30N/ABMW GR
BB&T CORP 23,000.000.37$583,510.000.60N/ABBT
BEAZER HOMES USA INC 130,000.000.08$127,400.008.6205/15/201107556QAE5
BEAZER HOMES USA INC 170,000.000.10$158,525.004.6206/15/2024BZH CB
BECKMAN COULTER INC 40,000.000.03$43,660.486.0006/01/2015BEC
BECKMAN COULTER INC 40,000.000.03$45,410.207.0006/01/2019BEC
BIOMET INC 125,000.000.09$138,750.0011.6210/15/2017BMET
BLACKSTONE GROUP LP 4,000.000.03$52,480.001.20N/ABX
BP PLC 59,264.000.36$573,268.730.38N/ABP/ LN
BRISTOL-MYERS SQUIBB CO 22,700.000.36$573,175.001.24N/ABMY
BRISTOW GROUP INC 875,000.000.50$788,593.753.0006/15/2038BRS CB
BRITISH LAND CO PLC 27,905.000.14$215,229.410.29N/ABLND LN
BRITISH POUNDS 63,917.020.07$103,299.490.00N/APOUNDS
BSARM 2007-1 3A2 233,059.450.02$32,289.455.7402/25/2047BSARM
BSCMS 2005-PW10 A4 100,000.000.06$97,999.685.4012/11/2040BSCMS
BSCMS 2005-T20 A4A 230,000.000.14$225,722.005.1510/12/204207387BCL5
BSCMS 2006-PW12 A4 25,000.000.02$25,385.895.7209/11/2038BSCMS
BSCMS 2006-PW14 A4 60,000.000.04$57,653.645.2012/11/2038BSCMS
BSCMS 2007-PW15 A4 75,000.000.04$64,723.055.3302/11/2044BSCMS
BSCMS 2007-T28 A4 65,000.000.04$62,601.275.7409/11/2042BSCMS
BUILDING MAT COR 155,000.000.10$154,225.007.7508/01/2014120111BC2
BURLINGTON COAT FACTORY INVEST 215,000.000.14$216,075.0014.5010/15/2014BCFACT
BURLINGTON COAT FACTORY WAREHO 70,000.000.05$72,625.0011.1204/15/2014121579AB2
BWAY CORP 195,000.000.13$207,187.5010.0004/15/2014BWY
C8 CAPITAL SPV 144A 140,000.000.06$97,387.926.6412/31/204912518TAA4
CABLEVISION SYSTEMS CORP 75,000.000.05$78,468.758.6209/15/2017CVC
CALIFORNIA ST 70,000.000.04$66,462.907.3010/01/2039CAS
CALIFORNIA ST 110,000.000.07$108,450.107.5504/01/2039CAS
CALIFORNIA STEEL INDUSTRIES IN 135,000.000.08$127,237.506.1203/15/2014CALSTL
CAMBRIDGE INDUSTRIAL TRUST 1,170,000.000.24$372,289.990.05N/ACREIT SP
CAMDEN PROPERTY TRUST 3,900.000.10$165,243.001.80N/ACPT
CANADIAN DOLLAR -69,326.99-0.04-$65,984.850.00N/ACANDOLLAR
CAPITAL ONE CAPITAL V 200,000.000.15$233,103.0010.2508/15/2039COF
CAPITAL ONE FINANCIAL CORP 150,000.000.11$169,995.757.3805/23/2014COF
CARAT 2007-3 A3A 44,196.200.03$44,826.075.0209/15/2011CARAT
CARDINAL HEALTH INC 18,200.000.37$586,768.000.70N/ACAH
CARDTRONICS INC 85,000.000.06$87,868.759.2508/15/2013CATM
CAREFUSION CORP 105,000.000.07$112,607.256.3808/01/2019CAH
CARROLS CORP 50,000.000.03$51,000.009.0001/15/2013TAST
CASELLA WASTE SYSTEMS INC 305,000.000.19$302,712.509.7502/01/2013CWST
CASH 6,383,966.804.05$6,383,966.800.0012/15/2038US-CASH
CCH II LLC / CCH II CAPITAL CO 115,000.000.09$135,987.5013.5011/30/2016CHTR
CEMEX FINANCE LLC 140,000.000.09$147,350.009.5012/14/2016CEMEX
CENGAGE LEARNING ACQUISITIONS 80,000.000.05$76,900.0010.7501/15/2015TLACQ
CENTURY ALUMINUM CO 30,000.000.02$28,837.501.7508/01/2024CENX CB
CENTURY ALUMINUM CO 111,100.000.07$108,878.008.0005/15/2014CENX
CFAT 2007-A A3A 8,206.510.01$8,353.405.3406/25/2012CFAT
CFAT 2008-A A3 60,000.000.04$61,406.094.9404/25/2014CFAT
CGI GROUP INC 120,921.001.04$1,638,904.530.00N/AGIB/A CN
CHAIT 2005-A7 A7 45,000.000.03$46,639.464.5503/15/2013CHAIT
CHARTER COMMUNICATIONS OPERATI 125,000.000.09$140,625.0010.8809/15/2014CHTR
CHESAPEAKE ENERGY CORP 140,000.000.10$154,350.009.5002/15/2015CHK
CHESAPEAKE ENERGY CORP 750,000.000.36$570,937.502.2512/15/2038CHK CB
CHEVRON CORP 7,700.000.38$592,823.002.72N/ACVX
CHIMERA INVESTMENT CORP 12,100.000.03$46,948.000.48N/ACIM
CHUNGHWA TELECOM CO LTD 33,902.000.40$629,560.141.06N/ACHT
CIE DE SAINT-GOBAIN 16,056.000.55$869,824.851.00N/ASGO FP
CINCINNATI BELL INC 100,000.000.06$102,000.008.2510/15/2017CBB
CITIGROUP CAPITAL XXI 100,000.000.06$96,750.008.3012/21/2057173094AA1
CITIGROUP INC 65,000.000.04$66,442.746.0101/15/2015C
CITIGROUP INC 80,000.000.05$85,284.166.5008/19/2013C
CITIZENS COMMUNICATIONS CO 120,000.000.07$114,000.007.1203/15/2019CZN
CITY NATIONAL CAPITAL TRUST I 140,000.000.09$149,076.209.6202/01/2040CYN
CLEAR CHANNEL COMMUNICATIONS I 155,000.000.08$122,450.0010.7508/01/2016CCU
CLEARWIRE COMMUNICATIONS LLC/C 140,000.000.09$142,800.0012.0012/01/2015CLWR
CLEARWIRE CORP 140,000.000.09$142,800.0012.0012/01/2015CLWR
CMLTI 2007-AR8 1A3A 82,650.400.04$58,983.755.8208/25/2037CMLTI
CMSI 2006-4 3A1 34,822.690.02$33,342.735.5008/25/2021CMSI
CMSI 2007-1 2A1 201,739.460.11$172,535.335.5001/25/2022CMSI
CNH 2008-A A3 11,000.030.01$11,146.564.1205/15/2012CNH
CNH 2008-A A4A 30,000.000.02$31,074.554.9308/15/2014CNH
CNH 2008-B A3A 25,514.510.02$25,936.044.7807/16/2012CNH
CNH 2009-C A3 15,000.000.01$14,941.481.8512/16/2013CNH
CNOOC LTD 503,000.000.50$783,614.600.40N/A883 HK
COCA-COLA AMATIL LTD 81,275.000.53$837,989.230.58N/ACCL AU
COLUMBUS INTERNATIONAL INC 130,000.000.09$137,150.0011.5011/20/2014COLUIF
COMCAST 45,000.000.03$46,277.424.9506/15/201620030NAG6
COMCAST CORP 45,000.000.03$50,470.526.5001/15/2015CMCSA
COMERICA INC 20,100.000.38$594,357.000.20N/ACMA
COMM 2005-C6 A5A 95,000.000.06$92,240.225.1206/10/2044COMM
COMPLETE PRODUCTION SERVICES I 130,000.000.08$128,862.508.0012/15/2016CPX
CONOCOPHILLIPS 11,700.000.38$597,519.002.00N/ACOP
COPANO ENERGY LLC / COPANO ENE 125,000.000.08$125,937.507.7506/01/2018CPNO
CORIO NV 2,648.000.11$180,168.822.64N/ACORA NA
CORNELL COS INC 60,000.000.04$61,575.0010.7507/01/2012CRN
CORPORATE OFFICE PROPERTIES LP 330,000.000.20$320,925.003.5009/15/2026OFC CVB
COTT BEVERAGES INC 85,000.000.06$87,975.008.3811/15/2017BCB
COX COMMUNICATIONS INC 10,000.000.01$10,626.216.9506/01/2038COXENT
COX COMMUNICATIONS INC 25,000.000.02$26,499.335.8812/01/2016COXENT
CPM HOLDINGS INC 40,000.000.03$42,400.0010.6209/01/2014CPMH
CRICKET COMMUNICATIONS INC 300,000.000.19$303,000.009.3811/01/2014LEAP
CRMSI 2006-3 A5 100,000.000.04$62,247.185.9511/25/2036CRMSI
CS INTERNATIONAL FOR CITY OF K 1,000,000.000.47$740,000.008.2511/26/2012CITKIE
CVS CAREMARK CORP 15,000.000.01$16,442.946.6003/15/2019CVS
CVS CAREMARK CORP 18,400.000.38$592,664.000.30N/ACVS
CVS PASS-THROUGH TRUST 129,116.050.09$142,430.508.3507/10/2031CVS
CXHE 2005-D AF4 89,362.160.06$88,481.765.2710/25/2035CXHE
CYPRESS SHARPRIDGE INVESTMENTS 8,200.000.07$110,782.001.40N/ACYS
CYTEC INDUSTRIES 37,000.000.02$39,053.436.0010/01/2015232820AG5
DANISH KRONE 8,407.620.00$1,617.410.00N/ADKK
DCENT 2007-A1 A1 100,000.000.07$107,469.795.6503/16/2020DCENT
DELTA AIR LINES INC 60,000.000.04$62,625.009.5009/15/2014DAL
DELTA AIR LINES INC/OLD 90,000.000.06$90,450.007.9211/18/2010DAL
DENBURY RESOURCES INC 10,000.000.01$10,100.007.5004/01/201324823UAE8
DENBURY RESOURCES INC 105,000.000.07$112,612.509.7503/01/2016DNR
DEUTSCHE POST AG 41,076.000.51$796,637.630.60N/ADPW GR
DEVELOPERS DIVERSIFIED REALTY 1,925.000.02$35,824.250.00N/ADDR I PFD
DEVELOPERS DIVERSIFIED REALTY 45,000.000.03$47,033.159.6203/15/2016DDR
DEVON ENERGY CORP 8,300.000.39$610,050.000.64N/ADVN
DIGICEL GROUP 144A 100,000.000.06$99,000.009.1201/15/201525380WAB2
DIGICEL GROUP LTD 100,000.000.06$98,000.008.2509/01/2017DLLTD
DIGICEL GROUP LTD 1,100,000.000.68$1,072,500.008.8801/15/2015DLLTD
DIGITAL REALTY TRUST INC 2,650.000.04$66,925.750.00N/ADLR A PFD
DIGITAL REALTY TRUST INC 4,400.000.14$221,232.001.80N/ADLR
DIGITAL REALTY TRUST LP 380,000.000.31$496,375.005.5004/15/2029DLR CB
DIRECTV 1,900.000.04$63,365.000.00N/ADTV
DIRECTV HOLDINGS LLC/DIRECTV F 110,000.000.08$120,328.457.6205/15/2016DTV
DISH DBS CORP 55,000.000.04$57,956.257.8809/01/2019DISH
DISH DBS CORP 80,000.000.05$84,300.007.8809/01/2019DISH
DJO FINANCE LLC / DJO FINANCE 130,000.000.09$137,800.0010.8811/15/2014REABLE
DOLE FOOD CO INC 91,000.000.07$109,882.5013.8803/15/2014DOLEFC
DOLLAR FINANCIAL CORP 140,000.000.09$143,850.0010.3812/15/2016DLLR
DON QUIJOTE CO LTD 25,600.000.39$621,606.8823.00N/A7532 JP
DOW CHEMICAL CO/THE 22,000.000.39$607,860.000.60N/ADOW
DOW CHEMICAL CO/THE 55,000.000.04$65,732.878.5505/15/2019DOW
DRUMMOND CO INC 135,000.000.09$142,256.259.0010/15/2014DRUMCO
DUANE READE INC 65,000.000.04$70,850.0011.7508/01/2015DRD
DUKE ENERGY CORP 34,400.000.38$592,024.000.96N/ADUK
DUKE REALTY CORP 8,600.000.07$104,662.000.68N/ADRE
DUNKN 2006-1 A2 150,000.000.09$144,672.755.7806/20/2031DUNKN
DYNEGY HOLDINGS INC 210,000.000.12$183,225.007.7506/01/2019DYN
E*TRADE FINANCIAL CORP 111,000.000.08$126,678.7512.5011/30/2017ETFC
EASTMAN KODAK 35,000.000.02$29,050.007.2511/15/2013277461BD0
EDISON INTERNATIONAL 16,800.000.37$584,304.001.24N/AEIX
EDISON MISSION ENERGY 80,000.000.05$75,600.007.5006/15/2013EIX
EI DU PONT DE NEMOURS & CO 18,100.000.39$609,427.001.64N/ADD
EKSPORTFINANS ASA 110,000.000.07$108,438.003.0011/17/2014EXPT
EL PASO CORP 44,000.000.03$44,187.486.8806/15/2014EP
EL PASO CORP 205,000.000.13$204,342.367.0006/15/2017EP
ELWOOD ENERGY LLC 167,845.000.10$155,180.938.1607/05/2026ELWOOD
EMC CORP/MASSACHUSETTS 52,500.000.58$917,175.000.00N/AEMC
ENBRIDGE ENERGY PARTNERS LP 60,000.000.05$76,096.149.8803/01/2019EEP
ENERGY FUTURE HOLDINGS CORP 100,000.000.05$82,250.0011.3811/01/2017TXU
ENERGY FUTURE HOLDINGS TERM B2 167,773.630.09$136,683.503.7410/10/2014LN363469
ENERGY TRANSFER PARTNERS LP 45,000.000.04$55,668.749.7003/15/2019ETP
ENTERPRISE PRODUCTS OPER LP 20,000.000.01$20,578.605.0003/01/2015293791AR0
ENTERPRISE PRODUCTS OPERATING 70,000.000.05$83,615.289.7501/31/2014EPD
ENTERPRISE PRODUCTS OPERATING 75,000.000.05$73,215.538.3808/01/2066EPD
ENTERTAINMENT PROPERTIES TRUST 8,236.000.18$290,483.722.60N/AEPR
EQUITY LIFESTYLE PROPERTIES IN 2,300.000.07$116,081.001.20N/AELS
ESPRIT HOLDINGS LTD 91,730.940.39$608,580.821.48N/A330 HK
EURO 120,507.530.11$172,524.600.00N/AEURO
EURONET WORLDWIDE INC 900,000.000.54$844,875.003.5010/15/2025EEFT CB
EUROPEAN BANK FOR RECONSTRUCTI 41,000,000.000.60$952,337.867.0007/30/2012EBRD
EUROPEAN INVESTMENT BANK 230,000.000.14$226,443.742.3803/14/2014EIB
EUROPEAN INVESTMENT BANK 1,800,000.000.68$1,068,366.6111.2502/14/2013EIB
EUROPEAN INVESTMENT BANK 6,880,000.000.58$911,178.478.0010/21/2013EIB
EVRAZ GROUP SA 280,000.000.18$280,000.009.5004/24/2018EVRAZ
EVRAZ GROUP SA 1,000,000.000.61$960,000.008.2511/10/2015EVRAZ
EXPORT DEVELOPMENT CANADA 130,000.000.08$131,813.113.1204/24/2014EDC
EXXON MOBIL CORP 8,600.000.37$586,434.001.68N/AXOM
FEDERAL HOME LOAN MORTGAGE COR 32,000.000.02$28,800.000.00N/A313400657
FEDERAL NATIONAL MORTGAGE ASSO 20,000.000.02$35,600.000.00N/A313586745
FEDERATED RETAIL 105,000.000.06$89,250.006.3803/15/2037314275AC2
FEDERATIVE REPUBLIC OF BRAZIL 2,000,000.000.73$1,153,184.1710.2501/10/2028BRAZIL
FELCOR LODGING TRUST INC 130,000.000.08$131,787.5010.0010/01/2014FCH
FGCI E01386 24,658.140.02$25,992.825.0006/01/2018FG
FGCI J08248 153,200.970.10$160,736.255.0012/01/2022FG
FGLMC A10635 81,486.140.06$94,363.679.0009/01/2030FG
FGLMC G01639 65,844.370.05$72,491.287.0011/01/2033FG
FGLMC G01864 1,107,328.260.72$1,140,086.685.0001/01/2034FG
FGLMC JAN TBA 50,000.000.03$51,265.605.0001/01/2040FGLMC
FGLMC JAN TBA 70,000.000.04$67,495.334.0001/01/2040FGLMC
FGP6 P60101 82,762.880.05$86,638.676.0001/01/2017FG
FHARM 1G1067 25,603.980.02$27,018.855.6807/01/2036FH
FHARM 1H1348 67,397.150.05$71,170.345.8210/01/2036FH
FHASI 2007-AR2 1A1 123,855.020.05$84,500.955.8408/25/2037FHASI
FHASI 2007-AR3 2A2 91,450.670.04$61,917.786.2811/25/2037FHASI
FHLB DN 1/4/10 659,000.000.42$658,999.950.0001/04/20100104PFDIS
FHR 2557 WE 60,000.000.04$63,611.835.0001/15/2018FHR
FHR 3094 US 64,741.780.04$57,845.256.7509/15/2034FHR
FHR 3131 MC 40,000.000.03$42,393.495.5004/15/2033FHR
FHR 3173 PE 65,000.000.04$68,662.396.0004/15/2035FHR
FHR 3337 PB 25,000.000.02$26,272.895.5007/15/2030FHR
FIH ERHVERVSBANK A/S 105,000.000.07$103,087.741.7512/06/2012FINDAN
FINMECCANICA SPA 41,848.000.42$669,135.440.41N/AFNC IM
FIRST DATA CORP 280,000.000.17$262,500.009.8809/24/2015FDC
FIXED INCOME PASS-THROUGH TRUS 500,000.000.00$0.000.0001/15/2087PFPASS
FLEXTRONICS INTERNATIONAL 6,400.000.03$46,784.000.00N/AFLEX
FLEXTRONICS INTERNATIONAL LTD 140,000.000.09$138,250.001.0008/01/2010FLEX CB
FMG FINANCE PTY LTD 130,000.000.09$144,462.5010.6209/01/201630250BAC3
FNARM 745545 36,492.070.02$38,245.065.3704/01/2036FN
FNARM 847965 30,492.100.02$32,051.865.1411/01/2035FN
FNARM 868367 159,972.270.11$169,223.086.3004/01/2036FN
FNARM 889354 67,806.380.05$71,427.175.1503/01/2038FN
FNARM 893917 44,158.020.03$46,726.756.0310/01/2036FN
FNARM 894000 28,780.700.02$30,500.846.0910/01/2036FN
FNCI 960472 71,679.440.05$75,955.435.5001/01/2023FN
FNCI JAN TBA 500,000.000.32$502,890.504.0001/01/2024FNCI
FNCL 872832 54,214.790.04$58,179.256.5006/01/2036FN
FNCL 888678 185,677.830.12$190,909.695.0012/01/2036FN
FNCL 889842 39,724.220.03$40,843.535.0012/01/2036FN
FNCL 894049 39,876.880.03$42,792.886.5010/01/2036FN
FNCL 899952 30,342.620.02$31,173.885.0012/01/2037FN
FNCL 955230 55,323.270.04$59,308.286.5012/01/2037FN
FNCL 961408 22,591.740.01$23,209.395.0002/01/2038FN
FNR 2001-50 BA 176,493.300.12$194,280.517.0010/25/2041FNR
FNR 2003-122 AJ 105,799.990.07$109,139.114.5002/25/2028FNR
FORD MOTOR CO 270,000.000.15$239,962.507.4507/16/2031F
FORD MOTOR CREDIT CO LLC 120,000.000.08$121,355.887.8006/01/2012F
FORD MOTOR CREDIT CO LLC 255,000.000.19$296,004.0012.0005/15/2015F
FREEPORT-MCMORAN C & G 120,000.000.08$131,580.128.3804/01/201735671DAS4
FREESCALE SEMICONDUCTOR INC 165,000.000.10$152,212.508.8812/15/2014FSL
FRONTIER COMMUNICATIONS CORP 25,700.000.13$200,717.001.00N/AFTR
G2SF 2671 110,033.320.07$117,720.966.0011/20/2028G2
G2SF 536606 224,747.220.15$243,620.266.5002/20/2030G2
GALAXY ENTERTAINMENT FINANCE C 305,000.000.19$306,525.009.8812/15/2012GALENT
GAP INC/THE 28,400.000.38$594,980.000.34N/AGPS
GAYLORD ENTERTAINMENT 80,000.000.05$74,800.006.7511/15/2014367905AD8
GAYLORD ENTERTAINMENT CO 655,000.000.43$670,556.253.7510/01/2014GET CB
GAZ CAPITAL SA 1,000,000.000.70$1,097,500.008.6204/28/2034GAZPRU
GCCFC 2004-GG1 A7 25,000.000.02$25,375.065.3206/10/2036GCCFC
GCI INC 140,000.000.09$141,925.008.6211/15/2019GNCMA
GENERAL ELECTRIC CAPITAL CORP 250,000.000.16$259,977.756.0008/07/2019GE
GENERAL ELECTRIC CO 38,300.000.37$579,479.000.40N/AGE
GENERAL MARITIME CORP 80,000.000.05$83,700.0012.0011/15/2017GMR
GEOEYE INC 500.000.01$13,940.000.00N/AGEOY
GEOEYE INC 80,000.000.05$82,700.009.6210/01/2015GEOY
GLOBAL CASH ACCESS LLC/GLOBAL 40,000.000.03$40,050.008.7503/15/2012GLCASH
GLOBAL CROSSING LTD 125,000.000.09$137,812.5012.0009/15/2015GLBC
GMAC LLC 110,000.000.07$108,900.006.6205/15/2012GMAC
GMAC LLC 135,000.000.08$133,650.006.0012/15/2011GMAC
GMAC LLC 175,000.000.11$174,125.006.8809/15/2011GMAC
GMAC LLC 293,000.000.18$290,070.006.8808/28/2012GMAC
GNSF 132922 61,195.050.04$69,153.2312.0005/15/2015GN
GNSF 207895 81,049.870.06$91,620.059.5009/15/2017GN
GNSF 780863 124,871.980.09$140,306.897.5012/15/2023GN
GNSF 781481 93,246.550.07$105,052.467.5001/15/2032GN
GOLDMAN SACHS GROUP 80,000.000.05$84,153.205.1201/15/201538141GEA8
GOLDMAN SACHS GROUP INC 20,000.000.01$21,153.225.9501/18/201838141GFG4
GOLDMAN SACHS GROUP INC 30,000.000.02$32,221.566.2509/01/201738144LAB6
GOODMAN GROUP 247,237.000.09$139,873.260.00N/AGMG AU
GOVERNMENT PROPERTIES INCOME T 3,852.000.06$88,518.961.60N/AGOV
GRAHAM PACKAGING 305,000.000.20$312,625.009.8810/15/201438470RAD3
GRAPHIC PACKAGING INTERNATIONA 60,000.000.04$63,900.009.5006/15/2017GPK
GRAPHIC PACKAGING INTERNATIONA 60,000.000.04$63,900.009.5006/15/2017GPK
GREGGS PLC 75,172.000.33$527,206.140.00N/AGRG LN
GRUPO TELEVISA SA 10,000,000.000.40$627,604.668.4905/11/2037TELVIS
GSMS 2004-GG2 A6 60,000.000.04$58,960.595.4008/10/2038GSMS
GSMS 2005-GG4 A4A 420,000.000.26$406,629.804.7507/10/2039GSMS
GSMS 2006-GG6 A4 60,000.000.03$54,720.815.5504/10/2038GSMS
GSMS 2007-GG10 A4 70,000.000.04$60,105.145.8108/10/2045GSMS
GSR 2006-AR1 3A1 167,153.080.08$122,284.265.3501/25/2036GSR
GXS WORLDWIDE INC 140,000.000.09$138,250.009.7506/15/2015GXSWLD
HARRAH'S OPERATING CO INC 225,000.000.12$181,687.5010.0012/15/2018HET
HARRAHS CHESTER DOWNS TERM LOA 105,000.000.07$105,918.7512.3812/31/2016HET
HART 2007-A A3A 8,476.980.01$8,626.905.0401/17/2012HART
HART 2008-A A3 30,000.000.02$31,256.014.9312/17/2012HART
HCA INC/DE 175,000.000.12$188,343.759.2511/15/2016HCA
HDMOT 2005-2 A2 34,844.610.02$35,141.924.0702/15/2012HDMOT
HDMOT 2006-2 A2 68,140.040.04$70,122.685.3503/15/2013HDMOT
HEADWATERS INC 140,000.000.09$146,650.0011.3811/01/2014HW
HELIX ENERGY SOLUTIONS GROUP I 235,000.000.15$242,050.009.5001/15/2016HLX
HERCULES OFFSHORE INC 140,000.000.09$148,400.0010.5010/15/2017HERO
HERTZ CORP/THE 140,000.000.10$150,150.0010.5001/01/2016HTZ
HEXION SPECIALTY 114,000.000.07$112,290.009.7511/15/2014428303AH4
HILCORP ENERGY I LP/HILCORP FI 220,000.000.14$216,700.007.7511/01/2015HILCRP
HJ HEINZ CO 13,900.000.38$594,364.001.68N/AHNZ
HOLLY CORP 115,000.000.08$121,612.509.8806/15/2017HOC
HOLOGIC INC 990,000.000.54$850,162.502.0012/15/2037HOLX CB
HOME DEPOT INC 19,200.000.35$555,456.000.90N/AHD
HONEYWELL INTERNATIONAL INC 15,000.000.37$588,000.001.21N/AHON
HONG KONG DOLLAR 60,041.550.00$7,743.600.00N/AHKONGDOL
HOSPIRA INC 155,000.000.11$171,753.496.4005/15/2015HSP
HUGHES NETWORK SYSTEMS LLC/HNS 260,000.000.17$269,750.009.5004/15/2014HUGH
ICELAND KRONA 139,374.000.00$1,112.010.00N/AICELANDKR
ILFC E-CAPITAL TRUST II 50,000.000.02$26,500.006.2512/21/2065AIG
ILLINOIS POWER CO 125,000.000.10$155,676.889.7511/15/2018AEE
ING INDUSTRIAL FUND 307,371.000.08$131,554.210.00N/AIIF AU
ING UK REAL ESTATE INCOME TRUS 317,470.000.17$272,993.500.05N/AIRET LN
INGLES MARKETS INC 115,000.000.08$120,175.008.8805/15/2017IMKTA
INNOPHOS HOLDINGS INC 115,000.000.07$117,300.009.5004/15/2012IPHS
INTEL CORP 29,600.000.38$603,840.000.63N/AINTC
INTEL CORP 125,000.000.09$144,218.753.2508/01/2039INTC CB2
INTELSAT 135,000.000.08$127,237.506.5011/01/201345820EAH5
INTELSAT BERMUDA LTD 435,000.000.28$438,262.5011.2502/04/2017INTEL
INTELSAT JACKSON HLDG 130,000.000.09$141,375.0011.2506/15/2016INTEL
INTER-AMERICAN DEVELOPMENT BAN 2,081,000.000.76$1,195,667.629.0008/06/2010IADB
INTERFACE INC 25,000.000.02$24,718.759.5002/01/2014458665AJ5
INTERFACE INC 40,000.000.03$44,900.0011.3811/01/2013IFSIA
INTERNATIONAL BANK FOR RECONST 4,250,000.000.20$320,757.605.7508/20/2012B4T0JM3
INTERNATIONAL BANK FOR RECONST 7,000,000.000.60$952,774.639.7508/02/2010IBRD
INTERNATIONAL BUSINESS MACHINE 4,600.000.38$602,140.002.20N/AIBM
INTERNATIONAL COAL GROUP INC 180,000.000.11$173,925.0010.2507/15/2014ICOUS
INTERNATIONAL FINANCE CORP 130,000.000.08$130,423.543.0004/22/2014IFC
INTERNATIONAL GAME TECHNOLOGY 540,000.000.42$660,825.003.2505/01/2014IGT CB
INTERNATIONAL LEASE FINANCE CO 30,000.000.02$23,862.935.8805/01/2013AIG
INTERNATIONAL LEASE FINANCE CO 65,000.000.04$56,453.675.3503/01/2012AIG
INTERNATIONAL LEASE FINANCE CO 70,000.000.04$57,592.166.3803/25/2013AIG
INTERNATIONAL LEASE FINANCE CO 90,000.000.05$74,986.295.5509/05/2012AIG
INTERNATIONAL LEASE FINANCE CO 135,000.000.07$110,183.905.2501/10/201345974VZX9
INTERNATIONAL LEASE FINANCE CO 145,000.000.07$116,816.506.6211/15/2013AIG
INTERNATIONAL LEASE FINANCE CO 165,000.000.08$129,529.625.6209/20/2013AIG
INTERPUBLIC GROUP OF COS INC 105,000.000.07$104,868.754.2503/15/2023IPG CB
INTERTAPE POLYMER US INC 85,000.000.05$73,206.258.5008/01/2014ITP
INVERNESS MEDICAL INNOVATIONS 160,000.000.10$164,400.009.0005/15/2016IMA
INVERNESS MEDICAL INNOVATIONS 980,000.000.72$1,129,450.003.0005/15/2016IMA CB
J. C. PENNEY COMPANY, INC 5-YE 55,000.000.00$945.991.0003/20/2015/JCP
J.C PENNEY COMPANY, INC 5-YEAR 25,000.000.00$430.001.0003/20/2015/JCP1
JAPAN BANK FOR INTERNATIONAL C 100,000.000.06$99,618.902.1211/05/2012JFCORP
JAPANESE YEN 9,017,232.820.06$96,881.360.00N/AYENS
JBS USA LLC/JBS USA FINANCE IN 170,000.000.12$193,375.0011.6205/01/2014JBSUS
JDOT 2008-A A3 30,070.960.02$30,458.824.1806/15/2012JDOT
JEFFERIES GROUP 5,000.000.00$3,995.726.2501/15/2036472319AC6
JEFFERIES GROUP INC 95,000.000.05$81,160.216.4506/08/2027JEF
JEFFERIES GROUP INC 615,000.000.39$610,387.503.8811/01/2029JEF CB1
JOHNSON & JOHNSON 9,200.000.38$592,572.001.96N/AJNJ
JOHNSONDIVERSEY HOLDINGS INC 290,000.000.19$292,900.0010.5005/15/2020JONDIV
JP MORGAN CHASE CAPITAL XXV 85,000.000.05$84,714.496.8010/01/2037JPM
JPM CHASE CAPITAL XXII 35,000.000.02$32,218.386.4502/02/203748123QAA1
JPMC CAPITAL XVIII 20,000.000.01$19,488.406.9508/17/2036481227AA4
JPMCC 2005-LDP3 A4A 35,000.000.02$33,211.814.9408/15/2042JPMCC
JPMCC 2005-LDP5 A4 150,000.000.09$148,495.745.1812/15/2044JPMCC
JPMORGAN CHASE & CO 14,100.000.37$587,547.000.20N/AJPM
JSG FUNDING PLC 200,000.000.12$193,250.007.7504/01/201546627TAD4
K HOVNANIAN ENTERPRISES INC 35,000.000.02$25,200.006.2501/15/2015442488AU6
K HOVNANIAN ENTERPRISES INC 65,000.000.03$46,800.007.5005/15/2016442488AZ5
K HOVNANIAN ENTERPRISES INC 65,000.000.04$68,250.0010.6210/15/2016HOV
KANSAS CITY SOUTHERN DE MEXICO 250,000.000.17$260,625.009.3805/01/2012KSU
KAZKOMMERTS FINANCE 2 BV 1,000,000.000.49$770,000.008.6207/27/2016KKB
KB HOME 17,000.000.15$232,560.000.25N/AKBH
KEY ENERGY SERVICES INC 250,000.000.16$251,875.008.3812/01/2014KEG
KIMBERLY-CLARK CORP 9,200.000.37$586,132.002.40N/AKMB
KIMCO REALTY CORP 16,900.000.15$228,657.000.64N/AKIM
KINDER MORGAN ENER PART 45,000.000.04$55,462.559.0002/01/2019KMP
KONINKLIJKE PHILIPS ELECTRONIC 32,743.000.61$966,578.890.70N/APHIA NA
KOREA SOUTHERN POWER CO LTD 630,000.000.41$650,645.735.3804/18/2013KOSPO
KRAFT FOODS INC 21,700.000.37$589,806.001.16N/AKFT
KREDITANSTALT FUER WIEDERAUFBA 115,000.000.08$118,296.483.5003/10/2014KFW
KREDITANSTALT FUER WIEDERAUFBA 120,000.000.08$118,783.682.7510/21/2014KFW
L-3 COMMUNICATIONS HOLDINGS IN 25,000.000.02$26,375.003.0008/01/2035LLL CB1
L-3 COMMUNICATIONS HOLDINGS IN 460,000.000.31$485,300.003.0008/01/2035LLL CB
LABRANCHE & CO INC 350,000.000.21$338,187.5011.0005/15/2012LAB
LAFARGE SA 8,390.000.44$690,036.012.00N/ALG FP
LANDRY'S RESTAURANTS INC 205,000.000.14$218,325.0011.6212/01/2015LNY
LANDWIRTSCHAFTLICHE RENTENBANK 50,000.000.03$51,437.053.2503/15/2013RENTEN
LANDWIRTSCHAFTLICHE RENTENBANK 115,000.000.08$121,346.974.1207/15/2013RENTEN
LAZARD GROUP 50,000.000.03$50,391.856.8506/15/2017LAZ
LAZARD GROUP LLC 9,000.000.01$9,353.667.1205/15/2015LAZ
LBUBS 2004-C4 A4 475,000.000.30$473,263.595.2206/15/2029LBUBS
LEAP WIRELESS INTERNATIONAL IN 300,000.000.16$249,750.004.5007/15/2014LEAP CB1
LEVEL 3 COMMUNICATIONS INC 750,000.000.45$715,312.505.2512/15/2011LVLT CNV
LEVEL 3 FINANCING INC 100,000.000.07$106,500.0012.2503/15/2013LVLT
LEVEL 3 FINANCING INC 105,000.000.06$99,750.009.2511/01/2014527298AM5
LEVERAGE SEC G3 -40,000,000.00-25.37-$40,000,000.001.5006/30/2010G3LEV
LEXINGTON REALTY TRUST 28,070.000.11$170,665.600.40N/ALXP
LINDE AG 5,656.000.43$678,038.111.80N/ALIN GR
LINEAR TECHNOLOGY CORP 310,000.000.20$312,325.003.0005/01/2027LLTC CB2
LINK REIT/THE 33,000.000.05$84,203.550.92N/A823 HK
LONG TERM RECEIVABLES -496,111.29-0.31-$496,111.290.00N/ASECNCAHUS
LOWE'S COS INC 24,900.000.37$582,411.000.36N/ALOW
LUCENT TECHNOLOGIES CAPITAL TR 1,000.000.49$770,250.000.00N/ALUTHP
LUCENT TECHNOLOGIES INC 60,000.000.03$43,275.006.4503/15/2029ALUFP
LUKOIL INTERNATIONAL FINANCE B 1,000,000.000.63$987,500.006.3606/07/2017LUKOIL
M-FOODS HOLDINGS INC 65,000.000.04$67,843.759.7510/01/2013MICFOO
M/I HOMES INC 90,000.000.05$85,275.006.8804/01/2012MHO
MACDERMID INC 280,000.000.18$281,400.009.5004/15/2017MRD
MACK-CALI REALTY CORP 8,300.000.18$286,931.001.80N/ACLI
MACQUARIE COUNTRYWIDE TRUST 355,587.000.12$184,543.520.06N/AMCW AU
MACY'S INC 5-YR CDS 03/20/2015 55,000.00-0.00-$2,147.391.0003/20/2015/M
MACY'S RETAIL HOLDINGS INC 45,000.000.03$40,050.007.8808/15/2036M
MACY'S, INC 5-YR CDS 03/20/201 25,000.00-0.00-$976.091.0003/20/2015/M1
MARATHON OIL CORP 18,800.000.37$586,936.000.96N/AMRO
MARINER ENERGY INC 270,000.000.17$260,550.008.0005/15/2017ME
MARKWEST ENERGY PARTNERS LP / 125,000.000.08$129,375.008.7504/15/2018MWE
MARM 2006-2 4A1 85,425.300.05$73,856.734.9902/25/2036MARM
MARSH & MCLENNAN COS INC 27,100.000.38$598,368.000.80N/AMMC
MATS 2007-1 A4 25,000.000.02$24,726.430.2912/15/2013MATS
MATTEL INC 29,700.000.38$593,406.000.75N/AMAT
MAY DEPT STORES 15,000.000.01$13,125.006.7007/15/2034577778CE1
MBNAS 2005-A4 A4 30,000.000.02$29,901.890.2711/15/2012MBNAS
MCGRAW-HILL COS INC/THE 19,500.000.41$653,445.000.90N/AMHP
MDC PARTNERS INC 70,000.000.05$73,150.0011.0011/01/2016MDCA
MEAD JOHNSON NUTRITION CO 0.320.00$14.160.80N/AMJN
MEDIACOM LLC / MEDIACOM CAPITA 65,000.000.04$66,625.009.1208/15/2019MCCC
MEDTRONIC INC 525,000.000.35$550,593.751.6204/15/2013MDT CB1
MERCK & CO INC/NJ 26,742.000.62$977,152.681.52N/AMRK
MERITAGE HOMES CORP 35,000.000.02$32,375.006.2503/15/2015MTH
MERITAGE HOMES CORP 160,000.000.10$153,600.007.0005/01/201459001AAH5
METLIFE CAPITAL TRUST X 125,000.000.09$142,500.009.2504/08/2038MET
METLIFE INC 155,000.000.09$137,950.006.4012/15/203659156RAP3
METLIFE INC 5YR CDS 09/20/14 25,000.000.00$3,763.245.0009/20/2014/MET
METRO AG 12,261.000.48$753,618.631.18N/AMEO GR
METROPCS WIRELESS INC 218,000.000.14$221,815.009.2511/01/2014GWIR
MEXICAN BONOS 40,000,000.002.11$3,321,124.079.5012/18/2014MBONO
MEXICAN PESO 1,928,648.920.09$147,478.410.00N/APESOS
MGM MIRAGE 60,000.000.03$46,950.006.6207/15/2015MGM
MGM MIRAGE 95,000.000.07$109,487.5013.0011/15/2013MGM
MGM MIRAGE 130,000.000.06$101,725.007.6201/15/2017MGM
MGM MIRAGE 175,000.000.09$137,375.007.5006/01/2016MGM
MIDCONTINENT EXPRESS PIPELINE 50,000.000.03$51,373.606.7009/15/2019MCEXPP
MIRANT AMERICAS GENERATION LLC 215,000.000.13$205,325.008.5010/01/2021MIR
MITSUBISHI ESTATE CO LTD 10,549.000.11$168,532.5412.00N/A8802 JP
MITSUBISHI UFJ FINANCIAL GROUP 143,489.000.45$707,251.6912.00N/A8306 JP
MLCFC 2007-7 A4 150,000.000.08$125,739.335.7506/12/2050MLCFC
MOBILE MINI INC 2,394.000.02$33,731.460.00N/AMINI
MOBILE MINI INC 145,000.000.09$137,750.006.8805/01/2015MINI
MOHEGAN TRIBAL GAMING AUTHORIT 40,000.000.02$26,200.006.8802/15/2015608328AR1
MOHEGAN TRIBAL GAMING AUTHORIT 95,000.000.04$65,193.757.1208/15/2014608328AP5
MOMENTIVE PERFORMANCE MATERIAL 65,000.000.05$71,825.0012.5006/15/2014MOMENT
MORGAN STANLEY 100,000.000.07$103,453.305.3810/15/201561746SBR9
MORGAN STANLEY 160,000.000.11$170,629.446.0004/28/201561747YCE3
MORGAN STANLEY 2,000,000.000.68$1,078,600.1110.0905/03/2017MS
MOTOROLA INC 73,200.000.36$568,032.000.00N/AMOT
MSC 2005-IQ9 A4 350,000.000.22$343,256.274.6607/15/2056MSC
MSC 2006-HQ9 A4 315,000.000.20$308,569.245.7307/12/2044MSC
MSC 2007-IQ14 A4 150,000.000.08$126,395.185.6904/15/2049MSC
MSC 2007-T27 A4 160,000.000.10$154,475.985.6506/13/2042MSC
MURRAY ENERGY CORP 110,000.000.07$110,000.0010.2510/15/2015MURREN
MYLAN INC/PA 1,000.000.72$1,139,000.000.00N/AMYL A
NATIONAL AUSTRALIA BANK LTD 100,000.000.06$100,946.503.3807/08/2014NAB
NATIONAL GRID PLC 70,172.000.49$765,808.310.41N/ANG/ LN
NATIONAL OILWELL VARCO INC 13,500.000.38$595,215.000.40N/ANOV
NATIONAL RETAIL PROPERTIES INC 335,000.000.23$357,612.505.1206/15/2028NNN CB1
NATIONWIDE HEALTH PROPERTIES I 2,800.000.06$98,504.001.76N/ANHP
NAVISTAR INTERNATIONAL CORP 140,000.000.09$144,200.008.2511/01/2021NAV
NEW TURKISH LIRA 1,796,083.990.76$1,200,430.420.00N/ATURKYLIRA
NEWPAGE CORP 140,000.000.09$142,100.0011.3812/31/2014NEWPAG
NEXEN INC 60,000.000.04$69,008.227.5007/30/2039NXY
NIBC BANK NV 100,000.000.06$97,418.602.8012/02/2014NIBCAP
NIELSEN FINANCE LLC / NIELSEN 40,000.000.03$44,900.0011.5005/01/2016VNU
NIELSEN FINANCE LLC / NIELSEN 85,000.000.06$95,943.7511.6202/01/2014VNU
NIELSEN FINANCE LLC / NIELSEN 95,000.000.06$87,162.500.0008/01/201665409QAJ1
NIELSEN FINANCE LLC/CO 110,000.000.07$115,225.0010.0008/01/2014VNU
NII CAPITAL CORP 200,000.000.13$210,500.0010.0008/15/2016NIHD
NII HOLDINGS INC 1,000,000.000.59$922,500.003.1206/15/2012NIHD CB
NOBLE ENERGY INC 45,000.000.03$53,926.978.2503/01/2019NBL
NOKIA OYJ 57,470.000.47$742,102.150.40N/ANOK1V FH
NORANDA ALUMINIUM ACQUISITION 181,673.000.09$141,932.035.2705/15/2015NRNDA
NORCRAFT COS LP/NORCRAFT FINAN 100,000.000.07$103,000.0010.5012/15/2015NORCFT
NORCRAFT HOLDINGS LP/NORCRAFT 66,000.000.04$63,690.009.7509/01/2012NORCFT
NORDEA BANK AB 67,976.000.44$688,343.810.20N/ANDA SS
NORDIC INVESTMENT BANK 2,600,000.000.57$902,475.600.0001/26/2016NIB
NORDIC TELEPHONE CO HOLDINGS A 110,000.000.07$116,875.008.8805/01/2016TDCDC
NORDSTROM INC 35,000.000.02$38,874.997.0001/15/2038JWN
NORSKE SKOGINDUSTRIER ASA 150,000.000.05$81,000.007.1210/15/2033NSINO
NORTHROP GRUMMAN CORP 10,600.000.38$592,010.001.72N/ANOC
NORTHWESTERN CORP 3,800.000.06$98,876.001.34N/ANWE
NORWEGIAN CRUISE LINE 70,000.000.04$69,475.0011.7511/15/2016NWCRLN
NOVARTIS AG 14,851.000.51$810,218.632.00N/ANOVN VX
NOVASEP HOLDING SAS 140,000.000.09$137,200.009.7512/15/2016NOVASP
NOVELIS INC/GA 30,000.000.02$28,725.008.2502/15/201567000XAB2
NOVELIS INC/GA 105,000.000.07$113,006.2511.5002/15/2015HINDAL
NOVO NORDISK A/S 8,156.000.33$519,956.756.00N/ANOVOB DC
NRG ENERGY INC 115,000.000.07$115,431.257.3802/01/2016NRG
NUCOR CORP 13,100.000.39$611,115.001.44N/ANUE
NUVEEN INVESTMENTS INC 250,000.000.14$228,125.0010.5011/15/2015NUVINV
OCCIDENTAL PETROLEUM CORP 7,300.000.38$593,855.001.32N/AOXY
OPTI CANADA INC 255,000.000.13$210,375.007.8812/15/2014OPCCN
ORION POWER HOLDINGS INC 205,000.000.13$211,150.0012.0005/01/2010RRI
ORIX JREIT INC 17.000.05$84,930.8524,968.00N/A8954 JP
OSI RESTAURANT PARTNERS INC 127,000.000.07$112,712.5010.0006/15/2015OSI
PAETEC HOLDING CORP 105,000.000.07$106,837.508.8806/30/2017PAET
PAKISTAN GOVERNMENT INTERNATIO 2,000,000.001.02$1,610,000.006.8806/01/2017PKSTAN
PARKWAY PROPERTIES INC/MD 3,500.000.05$72,870.001.30N/APKY
PARMALAT SPA 280,178.000.50$782,260.450.10N/APLT IM
PEABODY ENERGY CORP 790,000.000.51$801,850.004.7512/15/2041BTU CB
PEMEX PROJECT FUNDING MASTER T 1,000,000.000.60$953,401.006.6206/15/2035PEMEX
PENNSYLVANIA ELECTRIC CO 70,000.000.04$69,077.055.2004/01/2020FE
PETROBRAS INTERNATIONAL FINANC 45,000.000.03$46,002.925.7501/20/2020PETBRA
PETROHAWK ENERGY CORP 55,000.000.04$55,825.007.8806/01/2015HAWK
PETROLEO BRASILEIRO SA 18,800.000.51$796,932.000.38N/APBR/A
PETROLEUM DEVELOPMENT CORP 145,000.000.10$150,256.2512.0002/15/2018PETD
PFIZER INC 31,844.000.37$579,242.360.64N/APFE
PHH 135,000.000.08$125,550.007.1203/01/2013693320AF0
PINNACLE ENTERTAINMENT INC 185,000.000.11$171,125.007.5006/15/2015PNK
PITNEY BOWES INC 25,900.000.37$589,484.001.44N/APBI
PLAINS ALL AMERICAN PIPELINE L 105,000.000.07$105,276.685.7501/15/2020PAA
PLASTIPAK HLDGS 144A 105,000.000.07$108,281.258.5012/15/2015727610AD9
PLASTIPAK HOLDINGS INC 105,000.000.07$116,287.5010.6208/15/2019PLASPK
PNC FINANCIAL SERVICES 15,000.000.01$15,307.190.0805/29/2049PNC PFD
PNC FUNDING 100,000.000.07$102,965.505.2511/15/2015693476AT0
PNC FUNDING CORP 60,000.000.04$59,541.125.6202/01/2017PNC
POPULAR N.A. CAP TRUST I 100,000.000.04$58,647.806.5609/15/2034BPOP
PPL ELECTRIC UTILITIES CORP 40,000.000.03$45,762.247.1211/30/2013PPL
PPR 5,835.000.44$699,476.893.30N/APP FP
PQ CORP TERM LOAN 165,000.000.09$143,137.506.7407/30/2015PQCOR
PREGIS CORP 210,000.000.13$204,487.5013.3810/15/2013PREGIS
PRIDE INTERNATIONAL INC 55,000.000.04$63,800.008.5006/15/2019PDE
PROGRESS ENERGY INC 14,400.000.37$590,544.002.48N/APGN
PROLOGIS 7,050.000.09$145,582.501.68N/APLD G PFD
PROLOGIS 60,000.000.04$59,286.127.3810/30/2019PLD
PROSHARES ULTRASHORT REAL ESTA 2,600.000.01$19,474.000.00N/ASRS
PROVINCE OF ONTARIO CANADA 110,000.000.07$108,979.751.8811/19/2012ONT
PROVINCE OF ONTARIO CANADA 115,000.000.07$110,336.524.0010/07/2019ONT
PSYCHIATRIC SOLUTIONS 140,000.000.09$136,150.007.7507/15/201574439HAD0
PSYCHIATRIC SOLUTIONS INC 60,000.000.04$56,850.007.7507/15/2015PSYS
PUBLIC SERVICE CO OF OKLAHOMA 70,000.000.04$69,631.875.1512/01/2019AEP
PUBLIC SERVICE ENTERPRISE GROU 17,800.000.38$591,850.001.33N/APEG
PUBLICIS GROUPE SA 15,882.000.41$644,908.880.60N/APUB FP
PUGET SOUND ENERGY INC 165,000.000.09$145,789.056.9706/01/2067PSD
QUEST DIAGNOSTICS INC/DE 9,500.000.36$573,610.000.40N/ADGX
QUICKSILVER RESOURCES INC 30,000.000.02$34,200.0011.7501/01/2016KWK
QUICKSILVER RESOURCES INC 115,000.000.07$107,812.507.1204/01/201674837RAC8
QUIKSILVER INC 200,000.000.10$165,000.006.8804/15/2015ZQK
QUINTILES TRANSNATIONAL CORP 65,000.000.04$65,487.509.5012/30/2014QTRN
QWEST CAPITAL FUNDING INC 80,000.000.04$68,400.007.7502/15/2031QUS
QWEST COMMUNICATIONS INTERNATI 85,000.000.05$85,743.757.5002/15/2014QUS
QWEST COMMUNICATIONS INTERNATI 200,000.000.13$208,500.003.5011/15/2025QUS
QWEST CORP 85,000.000.05$79,050.007.2509/15/2025912920AK1
RABOBANK NEDERLAND NV 280,000.000.22$342,339.2011.0012/29/2049RABOBK
RAMCO-GERSHENSON PROPERTIES TR 10,006.000.06$95,457.240.65N/ARPT
RAYONIER TRS HOLDINGS INC 1,250,000.000.85$1,334,375.003.7510/15/2012RYN CB
RBS GLOBAL/REXNORD COR 235,000.000.15$233,825.0011.7508/01/201675524DAD2
REGENCY CENTERS CORP 3,900.000.09$136,734.001.85N/AREG
REGENCY CENTERS LP 35,000.000.02$32,436.465.8806/15/2017REG
REGENCY ENERGY PARTNERS LP/REG 85,000.000.06$88,400.008.3812/15/2013RGNC
REGIONS FINANCIAL CORP 65,000.000.04$64,168.077.7511/10/2014RF
RELIANCE STEEL & ALUMINUM CO 34,000.000.02$28,676.526.8511/15/2036RS
RITE AID CORP 160,000.000.09$141,600.009.3812/15/2015767754BQ6
ROUND ONE CORP 47,082.000.18$279,423.9220.00N/A4680 JP
ROYAL CARIBBEAN CRUISES LTD 125,000.000.08$123,437.506.8812/01/2013780153AP7
RSC EQUIPMENT RENTAL INC 210,000.000.13$211,312.509.5012/01/2014RSC
RSHB CAPTL (RUSS AG BK) 1,000,000.000.72$1,140,000.009.0006/11/2014RSHB
RYERSON INC 65,000.000.04$68,250.0012.2511/01/2015RYI
RYERSON INC 115,000.000.07$106,518.757.6611/01/2014RYI
SAFEWAY INC 27,800.000.38$591,862.000.40N/ASWY
SALLY HOLDINGS LLC 225,000.000.15$243,000.0010.5011/15/2016SBH
SANDISK CORP 340,000.000.18$285,175.001.0005/15/2013SNDK CB
SANDRIDGE ENERGY INC 10,000.000.01$10,050.008.7501/15/2020SD
SANDRIDGE ENERGY INC 185,000.000.12$195,637.509.8805/15/2016SD
SANMINA-SCI CORP 231,000.000.15$231,577.508.1203/01/2016800907AK3
SANOFI-AVENTIS SA 4,915.000.24$386,017.452.20N/ASAN FP
SANTA FE DE BOGOTA DC 1,000,000,000.000.35$543,945.189.7507/26/2028BOGOTA
SAPPI PAPIER HOLDING AG 95,000.000.06$91,062.356.7506/15/2012SAPSJ
SBA COMMUNICATIONS CORP 285,000.000.24$375,487.504.0010/01/2014SBAC CB
SECURITIZED NET CASH - ACR1 1,798,061.061.14$1,798,061.060.00N/ASECCASHAC
SECURITY LENDING COLLATERAL 328,119.860.01$13,945.100.00N/ASECLENDPL
SELECT MEDICAL CORP 140,000.000.09$136,500.007.6202/01/2015SELMED
SEMPRA ENERGY 10,600.000.38$593,388.001.56N/ASRE
SERVICEMASTER CO/THE 135,000.000.09$141,075.0010.7507/15/2015SVM
SHIMAO PROPERTY HOLDINGS LTD 25,500.000.03$47,807.370.23N/A813 HK
SHINGLE SPRINGS 110,000.000.05$84,150.009.3806/15/201582459AAA9
SIMON PROPERTY GROUP INC 8,264.850.42$659,534.710.48N/ASPG
SINCLAIR TELEVISION GROUP INC 95,000.000.06$99,275.009.2511/01/2017SBGI
SINGAPORE AIRLINES LTD 67,000.000.45$709,469.060.40N/ASIA SP
SINGAPORE DOLLAR 337,435.370.15$240,150.430.00N/ASINGDOLL
SINO-FOREST CORP 500,000.000.38$593,125.005.0008/01/2013TRECN
SL GREEN REALTY CORP 3,300.000.11$165,792.000.40N/ASLG
SMITHFIELD FOODS 25,000.000.01$23,187.507.7507/01/2017832248AQ1
SMITHFIELD FOODS 155,000.000.10$151,125.007.7505/15/2013832248AH1
SMITHFIELD FOODS INC 35,000.000.02$38,150.0010.0007/15/2014SFD
SOLO CUP CO 205,000.000.13$201,412.508.5002/15/2014834260AB7
SOUTH AFRICA RAND 2,529,305.070.22$341,336.720.00N/AZAR
SOUTH KOREA WON 441,720.000.00$378.810.00N/ASKOREAWON
SOUTHERN COPPER CORP 1,000,000.000.63$993,338.007.5007/27/2035PCU
SPRINT CAPITAL 450,000.000.27$426,375.008.7503/15/2032852060AT9
SPRINT CAPITAL CORP 55,000.000.03$45,993.756.8811/15/2028S
STANDARD CHARTERED PLC 29,241.000.47$735,132.670.79N/ASTAN LN
STANDARD PACIFIC ESCROW LLC 75,000.000.05$76,875.0010.7509/15/2016SPF
STARWOOD PROPERTY TRUST INC 17,700.000.21$334,353.000.40N/ASTWD
STATE STREET CORP 13,500.000.37$587,790.000.04N/ASTT
STEEL CAPITAL SA FOR OAO SEVER 1,100,000.000.71$1,113,750.009.7507/29/2013CHMFRU
STEEL DYNAMICS INC 190,000.000.13$198,787.508.2504/15/2016STLD
STOCKLAND 64,000.000.14$225,486.080.33N/ASGP AU
SUNGARD DATA SYSTEMS INC 250,000.000.17$267,500.0010.2508/15/2015SDSINC
SUNTRUST BANKS INC 28,400.000.37$576,236.000.04N/ASTI
SWEDISH KRONA 35,392.440.00$4,943.980.00N/ASWKRONOR
SWISS FRANC -94,062.48-0.06-$90,842.130.00N/ASWFRANCS
TARGET CORP 12,200.000.37$590,114.000.68N/ATGT
TECHTRONIC INDUSTRIES CO 756,500.000.40$627,090.270.06N/A669 HK
TECK RESOURCES LTD 60,000.000.04$70,200.0010.2505/15/2016TCKCN
TECK RESOURCES LTD 115,000.000.09$138,000.0010.7505/15/2019TCKCN
TELCORDIA TECH 144A 165,000.000.09$147,675.0010.0003/15/201387922RAD4
TELECOM ITALIA CAPITAL 145,000.000.10$151,791.805.2510/01/201587927VAQ1
TELEPERFORMANCE 24,717.000.51$800,926.100.44N/ARCF FP
TELESAT CANADA / TELESAT LLC 120,000.000.08$130,800.0011.0011/01/2015TELSAT
TELESAT CANADA / TELESAT LLC 140,000.000.10$154,700.0012.5011/01/2017TELSAT
TELSTRA CORP LTD 113,434.000.22$348,739.410.40N/ATLS AU
TELUS CORP 23,249.000.48$754,793.121.90N/AT CN
TENET HEALTHCARE 135,000.000.09$136,012.507.3802/01/201388033GAY6
TENNECO INC 70,000.000.05$70,962.508.6211/15/2014TEN
TERREMARK WORLDWIDE INC 125,000.000.09$138,750.0012.0006/15/2017TMRK
TEXAS COMPETITIVE ELECTRIC HOL 220,000.000.11$179,300.0010.5011/01/2015TXU
THERMADYNE HOLDINGS CORP 195,000.000.12$185,493.7510.5002/01/2014THMD
TIME WARNER CABLE INC 60,000.000.05$71,585.468.2504/01/2019TWC
TNK-BP FINANCE SA 2,000,000.001.31$2,070,000.007.8803/13/2018TMENRU
TOMKINS PLC 226,220.000.45$706,675.470.14N/ATOMK LN
TOPS MARKETS LLC 135,000.000.09$139,725.0010.1210/15/2015TOMA
TOTAL SA 8,758.000.36$561,780.582.28N/AFP FP
TOYOTA MOTOR CORP 14,784.000.40$623,709.4820.00N/A7203 JP
TOYS R US PROPERTY CO I 5,000.000.00$5,500.0010.7507/15/2017TOY
TRANS-CANADA PIPELINES 45,000.000.03$42,282.456.3505/15/2067TRP
TRANSOCEAN 7,700.000.40$637,560.000.00N/ARIG
TRANSOCEAN INC 220,000.000.14$212,850.001.5012/15/2037893830AW9
TRAVELERS COS INC/THE 12,100.000.38$603,306.001.32N/ATRV
TRIMAS CORP 115,000.000.07$113,418.759.7512/15/2017TRS
TRW AUTOMOTIVE 144A 100,000.000.06$97,500.007.2503/15/201787264MAB5
TXU CORP 100,000.000.05$71,419.805.5511/15/2014873168AL2
TYCO INTERNATIONAL FINANCE SA 80,000.000.06$96,778.328.5001/15/2019TYC
UNIBAIL-RODAMCO SE 1,399.000.19$306,925.063.75N/AUL FP
UNICREDIT SPA 195,530.000.41$652,939.060.00N/AUCG IM
UNISYS CORP 110,000.000.08$127,600.0012.7510/15/2014UIS
UNITEDHEALTH GROUP INC 10,000.000.01$8,990.895.8003/15/203691324PAR3
UNIVERSAL HOSPITAL SERVICES IN 120,000.000.08$118,800.008.5006/01/2015UHOS
UNIVISION COMMUNICATIONS INC 95,000.000.07$105,093.7512.0007/01/2014UVN
UNIVISION COMMUNICATIONS TERM 85,000.000.05$74,056.252.5309/29/2014LN321128
UPC HOLDING BV 100,000.000.07$106,000.009.8804/15/2018LBTYA
US ONCOLOGY HOLDINGS INC 155,000.000.09$145,700.006.4303/15/2012USON
US TREASURY N/B 225,000.000.14$219,744.682.1211/30/2014T
US TREASURY N/B 400,000.000.25$391,062.804.5008/15/2039T
US TREASURY N/B 470,000.000.29$462,617.711.1212/15/2012T
US TREASURY N/B 2,010,000.001.23$1,934,007.933.3811/15/2019T
USB CAPITAL IX 295,000.000.15$240,056.256.1904/15/2049USB
USG CORP 45,000.000.03$48,262.509.7508/01/2014USG
USG CORP 205,000.000.12$184,500.006.3011/15/2016USG
VALE OVERSEAS LTD 979,000.000.62$980,626.126.8811/21/2036CVRD
VALE SA 13,000.000.24$377,390.000.24N/AVALE
VALLOUREC SA 2,919.000.33$527,401.816.00N/AVK FP
VERISIGN INC 160,000.000.09$143,000.003.2508/15/2037VRSN CB1
VERIZON COMMUNICATIONS INC 17,900.000.38$593,027.001.90N/AVZ
VIASAT INC 70,000.000.05$72,450.008.8809/15/2016VSAT
VIP FINANCE IRELAND LTD FOR OJ 1,155,000.000.79$1,238,737.509.1204/30/2018VIP
VIRGIN MEDIA FINANCE PLC 100,000.000.07$103,375.008.3810/15/2019VMED
VIRGIN MEDIA INC 307,000.000.23$365,330.006.5011/15/2016VMED CB
VISKASE COS INC 135,000.000.09$136,687.509.8801/15/2018VKSC
VIVENDI 85,000.000.06$89,430.545.7504/04/2013VIVFP
VIVENDI SA 31,049.000.58$920,305.051.40N/AVIV FP
VODAFONE GROUP PLC 309,933.000.46$717,388.410.09N/AVOD LN
VORNADO REALTY TRUST 3,700.000.05$81,548.000.00N/AVNO I PFD
WACHOVIA CORP 90,000.000.06$92,153.165.6210/15/2016929903CH3
WALT DISNEY CO/THE 18,000.000.37$580,500.000.35N/ADIS
WASTE MANAGEMENT INC 18,000.000.39$608,580.001.16N/AWM
WELLS FARGO CAPITAL XIII 140,000.000.09$136,500.007.7012/29/2049WFC
WEST CORP/OLD 105,000.000.07$110,250.0011.0010/15/2016952355AF2
WESTFIELD GROUP 16,989.000.12$190,139.351.00N/AWDC AU
WFMBS 2005-AR16 6A4 57,103.220.01$21,661.025.0010/25/2035WFMBS
WFMBS 2005-AR2 2A1 68,182.350.04$60,186.894.4103/25/2035WFMBS
WHITING PETROLEUM CORP 1,500.000.17$269,490.000.00N/AWLL CB
WILLIAMS COS INC/THE 27,400.000.37$577,592.000.44N/AWMB
WIND ACQUISITION 144A 150,000.000.10$161,250.0010.7512/01/201597314XAA2
WIND ACQUISITION FINANCE SA 140,000.000.10$153,650.0011.7507/15/2017WINDIM
WINDSTREAM CORP 45,000.000.03$44,662.507.8811/01/2017WIN
WOODSIDE FINANCE LTD 20,000.000.01$20,478.945.0011/15/2013980236AD5
WOODSIDE FINANCE LTD 50,000.000.03$50,500.304.5011/10/2014WPLAU
WPP FINANCE UK 100,000.000.07$113,839.008.0009/15/2014WPPLN
WPP PLC 42,241.000.26$412,694.560.17N/AWPP LN
XEROX CORP 69,100.000.37$584,586.000.17N/AXRX
XM SATELLITE RADIO HOLDINGS IN 125,000.000.09$136,406.2513.0008/01/2013XMSR
XM SATELLITE RADIO HOLDINGS IN 185,000.000.12$185,925.0010.0006/01/2011SIRI
YALE UNIVERSITY 75,000.000.05$74,805.602.9010/15/2014YALUNI
YANKEE ACQUISITION CORP/MA 145,000.000.09$143,550.009.7502/15/2017YCC
YUE YUEN INDUSTRIAL HOLDINGS L 185,000.000.34$535,599.560.89N/A551 HK
ZIONS BANCORPORATION 15,000.000.01$10,937.195.6505/15/2014ZION
ZIONS BANCORPORATION 80,000.000.04$56,624.245.5011/16/2015ZION
ZIONS BANCORPORATION 215,000.000.10$152,238.066.0009/15/2015989701AJ6



0.05 of the fund was hedged out of DKK/USD FWD 20100104 USD
0.26 of the fund was hedged out of EUR/USD FWD 20100104 USD
0.06 of the fund was hedged out of SEK/USD FWD 20100104 USD