Interim Report -15-

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  UNAUDITED SCHEDULE OF INVESTMENTS - CONSOLIDATED 
 
 
As at 30 June 2009 
 
 
+-------------------------------------+---------------+--------------------+---------------+ 
|                                     |      Nominal  |                    |    % of Net   | 
+-------------------------------------+---------------+--------------------+---------------+ 
|                                     |      Holdings |    Market Value EUR  |  Asset Value  | 
|                                     |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Collateralised Debt Obligations     |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
|                                     |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Region of trade                     |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
| North America                       |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
|                                     |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Country of incorporation            |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Cayman Islands (December 2008:      |               |                    |               | 
| 35.90%)                             |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
| ACA 0% Bond 09/01/2021              |    2,200,000  |           599,152  |         1.07  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Bering CDO I                        |    2,000,000  |                -   |           -   | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Capital Source Advisors             |    1,500,000  |           450,968  |         0.80  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| CIFC Funding 2006-II                |    3,000,000  |           981,285  |         1.75  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Denali Capital CLO VI               |    2,000,000  |           430,328  |         0.77  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| E*Trade CDO I                       |    2,000,000  |                -   |           -   | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Eaton Vance CDO VIII                |    1,500,000  |           593,733  |         1.06  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| FM Leveraged Capital                |    3,000,000  |           456,208  |         0.81  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Foxe Basin CLO                      |    3,000,000  |           188,215  |         0.34  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Gale Force 0% Bond 15/04/2018       |    2,000,000  |           740,883  |         1.32  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Gale Force 1 CLO                    |    2,000,000  |           452,714  |         0.81  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Gale Force 2 CLO Income Note        |   17,000,000  |         6,297,508  |         11.20 | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Gale Force 3 CLO Income Note        |    7,000,000  |         2,749,795  |          4.89 | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Hudson Straits CLO                  |    6,750,000  |         1,696,824  |         3.02  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Inwood Park CDO                     |    9,000,000  |          1,523,473 |         2.71  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Longstreet CDO                      |    2,000,000  |                -   |           -   | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Mountain View Funding CLO           |    2,500,000  |         1,162,977  |         2.07  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Navigator CLO                       |      750,000  |            27,109  |         0.05  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| NYLIM Flatiron CLO                  |    2,000,000  |           743,878  |          1.32 | 
+-------------------------------------+---------------+--------------------+---------------+ 
| One Wall Street CLO                 |    2,000,000  |                -   |             - | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Prospect Park CDO Ltd FRN           |    3,000,000  |         1,019,570  |          1.82 | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Westbrook CLO                       |    5,000,000  |         1,639,753  |         2.92  | 
+-------------------------------------+---------------+--------------------+---------------+ 
|                                     |               |        21,754,373  |         38.73 | 
+-------------------------------------+---------------+--------------------+---------------+ 
|                                     |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
| United States (December 2008:       |               |                    |               | 
| 11.46%)                             |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Beach Street IV Synthetic CLO       |    1,500,000  |           536,199  |         0.95  | 
+-------------------------------------+---------------+--------------------+---------------+ 
| Chicago (Aces 2008-3 A June 20,     |    4,000,000  |         1,368,837  |         2.44  | 
| 2012)                               |               |                    |               | 
+-------------------------------------+---------------+--------------------+---------------+