€¦ · 2 contents generali investments sicav audited annual report at 31.12.2010 4 management and...

GENERALI INVESTMENTS SICAVAudited annual report at 31.12.2010RCS Luxembourg N B86432

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Contents

GENERALI INVESTMENTS SICAV Audited annual report at 31.12.2010

Management and Administration4

Board of Directors4

Manager's Report5

Independent Auditor's Report16

Notes to the Financial Statements116

Additional Information132

Equity Funds

Euro Equities OpportunityStatement of Net Assets18Statement of Operations and Changes in Net Assets26Key Figures and Changes in number of shares34Portfolio58

High Conviction EuropeStatement of Net Assets18Statement of Operations and Changes in Net Assets26Key Figures and Changes in number of shares35Portfolio60

Central and Eastern European EquitiesStatement of Net Assets18Statement of Operations and Changes in Net Assets26Key Figures and Changes in number of shares35-36Portfolio61

Italian EquitiesStatement of Net Assets18Statement of Operations and Changes in Net Assets26Key Figures and Changes in number of shares36-37Portfolio63

German EquitiesStatement of Net Assets19Statement of Operations and Changes in Net Assets27Key Figures and Changes in number of shares37Portfolio64

Global Multi UtilitiesStatement of Net Assets19Statement of Operations and Changes in Net Assets27Key Figures and Changes in number of shares38Portfolio65

European Value EquitiesStatement of Net Assets19Statement of Operations and Changes in Net Assets27Key Figures and Changes in number of shares38-39Portfolio67

Capital Markets StrategiesStatement of Net Assets19Statement of Operations and Changes in Net Assets27

Key Figures and Changes in number of shares39Portfolio69

Small & Mid Cap Euro EquitiesStatement of Net Assets19Statement of Operations and Changes in Net Assets27Key Figures and Changes in number of shares40Portfolio71

North American Equities Fund of FundsStatement of Net Assets20Statement of Operations and Changes in Net Assets28Key Figures and Changes in number of shares40-41Portfolio73

FuturStatement of Net Assets20Statement of Operations and Changes in Net Assets28Key Figures and Changes in number of shares41-42Portfolio74

Bond Funds

Euro BondsStatement of Net Assets20Statement of Operations and Changes in Net Assets28Key Figures and Changes in number of shares42Portfolio76

Euro Bonds 1/3 YearsStatement of Net Assets20Statement of Operations and Changes in Net Assets28Key Figures and Changes in number of shares43Portfolio77

Euro Bonds 3/5 YearsStatement of Net Assets20Statement of Operations and Changes in Net Assets28Key Figures and Changes in number of shares43-44Portfolio78

Euro Bonds 5/7 YearsStatement of Net Assets21Statement of Operations and Changes in Net Assets29Key Figures and Changes in number of shares44Portfolio79

Euro Bonds 10+ YearsStatement of Net Assets21Statement of Operations and Changes in Net Assets29Key Figures and Changes in number of shares45Portfolio80

US BondsStatement of Net Assets21Statement of Operations and Changes in Net Assets29Key Figures and Changes in number of shares45-46Portfolio81

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Contents

Contents

Central and Eastern European BondsStatement of Net Assets21Statement of Operations and Changes in Net Assets29Key Figures and Changes in number of shares46-47Portfolio82

Euro Corporate BondsStatement of Net Assets21Statement of Operations and Changes in Net Assets29Key Figures and Changes in number of shares47-48Portfolio83

Short Term Euro Corporate BondsStatement of Net Assets22Statement of Operations and Changes in Net Assets30Key Figures and Changes in number of shares48Portfolio88

European High Yield BondsStatement of Net Assets22Statement of Operations and Changes in Net Assets30Key Figures and Changes in number of shares49Portfolio92

Euro Convertible BondsStatement of Net Assets22Statement of Operations and Changes in Net Assets30Key Figures and Changes in number of shares49-50Portfolio95

Euro Inflation Linked BondsStatement of Net Assets22Statement of Operations and Changes in Net Assets30Key Figures and Changes in number of shares50-51Portfolio97

Tactical Bond AllocationStatement of Net Assets22Statement of Operations and Changes in Net Assets30Key Figures and Changes in number of shares51Portfolio98

Absolute Return Funds

Absolute Return Multi StrategiesStatement of Net Assets23Statement of Operations and Changes in Net Assets31Key Figures and Changes in number of shares52Portfolio101

Absolute Return Credit StrategiesStatement of Net Assets23Statement of Operations and Changes in Net Assets31Key Figures and Changes in number of shares52-53Portfolio103

Absolute Return Global Macro StrategiesStatement of Net Assets23

Statement of Operations and Changes in Net Assets31Key Figures and Changes in number of shares53-54Portfolio107

Absolute Return Interest Rate StrategiesStatement of Net Assets23Statement of Operations and Changes in Net Assets31Key Figures and Changes in number of shares54-55Portfolio109

Monetary Funds

Euro LiquidityStatement of Net Assets23Statement of Operations and Changes in Net Assets31Key Figures and Changes in number of shares55Portfolio110

Guaranteed Funds

GaranT 1Statement of Net Assets24Statement of Operations and Changes in Net Assets32Key Figures and Changes in number of shares55-56Portfolio111

GaranT 2Statement of Net Assets24Statement of Operations and Changes in Net Assets32Key Figures and Changes in number of shares56Portfolio112




Flexible Funds

Advantage Global MultiassetStatement of Net Assets25Statement of Operations and Changes in Net Assets33Key Figures and Changes in number of shares57

Subscriptions can only be received on the basis of the latest prospectus accompanied by the latest annual report aswell as by the latest semi-annual report, if published after the latest annual report.


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Management and Administration

Investment Managers Generali Investments Italy S.p.A. Società di Gestione del Risparmio Via Machiavelli 4, I - 34132 Trieste

Generali Investments France 7, boulevard Haussmann F - 75009 Paris

Generali Investments Deutschland Kapitalanlagegesellschaft mbH Unter Sachsenhausen 27, D - 50667 Cologne

Generali Capital Management GmbH Hoher Markt 3, A - 1010 Vienna

GFC Advisors Corp. 2 Wall Street N.Y. 10005 New York (since May 17, 2010 and until December 21, 2010)

Management Company Generali Fund Management S.A. 5, allée Scheffer L - 2520 Luxembourg Registered Office 5, allée Scheffer L - 2520 Luxembourg

Custodian, Paying Agent and Domiciliation Agent CACEIS Bank Luxembourg 5, allée Scheffer L - 2520 Luxembourg

Central Administration, Registrar and Transfer Agent CACEIS Bank Luxembourg 5, allée Scheffer L - 2520 Luxembourg

Legal Advisor Bonn Schmitt Steichen Avocats 22-24, rives de Clausen L - 2165 Luxembourg

Réviseur d’entreprises agréé Ernst & Young S.A. 7, rue Gabriel Lippmann Parc d’Activité Syrdall 2, L - 5365 Munsbach

Board of Directors Chairman

Mr Philippe Setbon Chairman of the Management Board and Chief Executive Officer Generali Investments S.p.A. Via Machiavelli 4, I - 34132 Trieste, Italy

and

Chief Executive Officer and Investments Director Generali Investments France 7, boulevard Haussmann F - 75009 Paris, France Directors

Mr Amerigo Borrini Chief Risk Officer Assicurazioni Generali S.p.A. Piazza Duca degli Abruzzi, 2 I - 34132 Trieste, Italy

Mr Carlo Cavazzoni Deputy General Manager Generali Investments Italy S.p.A. Società di Gestione del Risparmio Via Machiavelli 4, I - 34132 Trieste, Italy

Mr Christian Ferry General Manager BSI S.A. Via Magatti 2, CH - 6901 Lugano, Switzerland

Mr Heinz Gawlak Chief Executive Officer Generali Investments Deutschland Kapitalanlagegesellschaft mbH Unter Sachsenhausen 27, D - 50667 Cologne, Germany

Mr Luca Passoni Chief Executive Officer Generali Investments Italy S.p.A. Società di Gestione del Risparmio Via Machiavelli 4, I - 34132 Trieste, Italy

Manager’s Report

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Manager’s Report

Macro-economic Background

The Global Economy and Financial Markets in 2010 In 2010, global recovery continued, albeit at different rates in different areas. In developed countries, the stimulus created by the measures taken during the 2008-09 crisis gradually waned, hindering the pattern of growth from the middle of the year and driving those in charge of economic policy to launch new support measures. But the event that had a serious impact on the financial markets in 2010 was the sovereign debt crisis with peripheral countries of the Euro Area at its epicentre: uncertainty over the sustainability of the tax situation, low levels of competition and the difficulty involved in quickly recreating the necessary conditions for high levels of growth gradually made the market inaccessible for Greece and Ireland, who had to request support from the European Union and the International Monetary Fund. Spanish, Portuguese and Italian bonds were also under constant pressure, with interest rates on the rise and the yield spread with German bonds widening steadily. In emerging countries however, growth was systematically greater than in developed economies, and these countries achieved their potential growth rates. On the microeconomic front, 2010 saw progressively stronger company results both in terms of profit and turnover rewarding those companies with exposure to international markets. Against this backdrop, the stock markets, having experienced a bullish trend until April, subsequently fluctuated with wide trading ranges until autumn, to then regain momentum in the final months of the year and close at their peak for the cycle. In the first eight months of the year, the bond yields for the benchmark government bonds (Treasury and Bund) dropped to an all-time low, dragged down by a backdrop of uncertain growth and by recurring fears concerning the sovereign debt crisis in the Euro Area. Then, the improvement in the global economic situation drove yields up. Within this context, securities spreads for peripheral countries of the Euro Area continued to widen, demonstrating high volatility. The Euro/US dollar exchange rate, which had weakened as a result of the increase in political risk in the Euro Area during the first quarter, started to become stronger in the summer months and then fluctuated within a wide range. At a macroeconomic level, global growth occurred in various phases: in the first quarter, it approached its potential level, then in the following months growth suffered an extremely weak phase and finally, during the last months of the year, the economic situation started to improve. This fluctuation in growth was more pronounced in developed economies, slowed down by the massive reduction in borrowing and persistent lending difficulties. Nevertheless, faced with a more severe weakening of the economy than expected, the authorities in the United States intervened quickly: the Federal Reserve Bank approved a new monetary policy expansionary manoeuvre and the Obama Administration and the mostly Republican Congress reached an agreement for the extension of the Bush era tax relief. In the Euro Area, the sovereign debt crisis drove many countries to adopt restrictive fiscal policies with a view to reducing their deficit levels immediately and their public debt in the medium term. During the whole year, measures by European authorities followed one after the other in an attempt to contain the sovereign debt crisis: the European Council of 16-17 December finally launched the European Stability Mechanism to provide a permanent means of handling any crises. International trade continued to expand and, in many cases, returned to pre-recession levels, with countries more open to international markets, such as Germany, benefiting the most. With the move towards more restrictive fiscal policies in many European countries, economic support to the economies again shifted towards adjusting monetary policy, with the European Central Bank demonstrating on several occasions its readiness to intervene to alleviate tensions. Inflationary pressures disappeared and the Central Banks were able to keep official rates low and stable. Conversely, in many emerging countries, the pace of growth made the monetary authorities raise interest levels to combat pressures on prices which had begun to emerge. However, the considerable influx of foreign capital caused by the expansive monetary policies of developed countries hampered more restrictive policies and drove the authorities of many emerging economies to use administrative measures and the appreciation of their currencies to control capital flows and resist inflationary pressures. Although they exhibited a high level of volatility, the stock markets appreciated and generally attained their highest levels at the end of the year, owing to the prospect of the global situation holding up well and the continued improvement of company results. The only exception was the peripheral markets of the Euro Area (Spain, Ireland, Greece, Portugal and Italy) which were hampered by the uncertainties of the debt crisis. Moreover, in emerging markets, prices continued to benefit from the influx of foreign capital. At the end of 2010, the MSCI World Index in Euro recorded a positive performance of 17.50%, whilst in the United States, the Standard & Poor's 500 Index rose by 20.90% and the Nasdaq by 27.80%, bringing them close to pre-crisis levels. The stock exchanges in European countries also regained momentum: the benchmark index for the whole area (DJ STOXX 600) rose by 8.60% whilst the benchmark index for the Euro Area (DJ EURO STOXX) remained practically unchanged (-0.10%); the Dax index posted an increase of 16.10%, but the Italian Stock Exchange (FTSE MIB Index) recorded a negative performance of 13.70%. The small caps outperformed the large cap indexes: the MSCI Europe Small Cap Index gave a return of 27.70%. During the period, stock exchanges in emerging countries showed a generally positive performance in all areas (Asia, Latin America and Eastern Europe): the MSCI Emerging Market Index rose by 24.80%. The European market sectors that performed the best were the car industry, the goods and services for industry sector, the consumer goods sector and commodities, whilst banking, utilities, the energy sector and insurance logged below average performances.


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The bond markets were dominated by the sovereign debt crisis in the peripheral countries of the Euro Area at first and then - during the summer - by the growing uncertainty over the slowdown in global growth: during this phase, benchmark market yields fell, mirroring investor preference on the increase of political risk in the Euro Area but also anticipating the advent of a less lively growth trend than during the first six months. Next, came the improvement of the global situation and the establishment of an institutional framework within the European Union to contain the debt crisis which pushed yields progressively higher. 10-year rates - which were 3.39% (Germany) and 3.83% (United States) at the beginning of the year - reached their lowest levels at the end of August at 2.12% and 2.47% respectively, closing the year at 2.96% and 3.29%. Conversely, bond yields in countries considered to be at risk of defaulting increased enormously, taking spreads to their highest levels since the Monetary Union came into existence. Italian Treasury securities of all maturities were also under strong pressure, and the spread with German bonds widened reaching a peak of close to two percentage points. Floating-rate securities issued by Italy (CCTs - Italian Treasury notes) were not able to escape the sales rush either, and demonstrated extreme volatility, closing the year with price adjustments amounting to in excess of four percentage points on five year maturities. In this context, the spreads of non-financial corporate bonds showed resistance and continued to narrow owing to their solid foundations (improving cash flows, low interest rates and a reduced bankruptcy rate). The foreign exchange markets were also affected by expectations over the economic situation and the effects of the sovereign debt crisis. Up to June, the Euro grew weaker with respect to every currency: the exchange rate, which stood at about 1.45 against the US dollar at the beginning of the year, reached a low of 1.19 at the beginning of June. Following the approval of extremely restrictive fiscal measures in most countries of the European Union, the Euro first stabilised and then grew stronger. During the final months of the year, the approval of new expansive monetary policy measures by the United States on the one hand and the re-emergence of fears at various instances over sovereign debt in the Euro Area on the other led the exchange rate to fluctuate within a wide range - between 1.30 and 1.40 US dollars per Euro - and to close the year at 1.34. The Yen grew steadily stronger dropping from 95 to 81 yen to the US dollar at the beginning of the year whilst in many emerging markets, there was an influx of capital which led to generalised currency appreciation, only partly countered by a strengthening of administrative control measures. Finally, commodity prices were bullish until April, then weakened and then rose again reflecting improvements in the global economic situation, reaching a peak at the end of the year. The price of petrol rose to 91.50 US dollars a barrel compared to 82.50 US dollars at the end of 2009.

Economic Outlook The readiness demonstrated by the authorities to renew measures to support economic activity has encouraged the principal international bodies to revise 2011 growth forecasts upwards. Nevertheless, growth forecasts continue to be prudent due to the high level of unemployment, the continued reduction of leverage and the restrictive nature of credit terms which could impede progress in consumer spending and investment in developed economies. In particular, the principal international bodies continue to highlight the fragility of the Euro Area which could still be influenced by the sovereign debt crisis which does not yet seem to have been overcome. The economies of emerging countries are, however, forecast to grow steadily owing to investment expenditure and the expansion of domestic consumption.

Portfolio performance review Equity sub-funds

Europe The Euro Equities Opportunity sub-fund achieved a positive performance of 1.69%, outperforming its benchmark. During the first quarter, the portfolio was repositioned to be overweight in stocks with a high exposure to emerging markets (Volkswagen, Reed Elsevier, Heineken). Later in the year, we also increased our weight in energy (Statoil, Premier Oil, etc). In the following quarter, the sub-fund benefitted from its overweight stance in cyclicals (consumer discretionary, energy) and the underweight in financials. After the Basel III rules were softened at the end of July, the weight in financials was slightly increased. Later in the year, the sub-fund was mainly overweight in materials and consumer discretionary (in particular automobiles) and underweight in consumer staples. We benefitted in particular from the good performance of BASF (+29.07%) and Siemens (+19.72%), during the last quarter. The High Conviction Europe sub-fund recorded a performance of 7.47%, underperforming its benchmark. The sub-fund maintained a defensive position in terms of sector allocation during the first part of the year, underweighting financials and overweighting energy, pharma and telecoms. In the last part of the year, the exposure to financials and industrials was increased, and the equity allocation was between 95.00% and 100.00%.

Manager’s Report

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Over the past year, the ongoing recovery of the world economy was overshadowed by strong regional differences and concerns around an escalation of the sovereign credit crisis. After only modest gains in financial markets over the first three quarters of 2010, rising optimism about the economic recovery triggered a more pronounced increase in yields and equities towards year end. The total return for European equities was 11.60% (S&P 15.10%). In contrast, some Euro Area peripheral countries (Greece, Ireland, and Spain) continued to lag behind significantly, causing the marked underperformance of Euro denominated stocks within the MS European index. Continued recession fears weighed on financial markets until well into autumn. On equity markets, for much of the year there was no consistent development due to renewed recession fears and the sovereign credit crisis. Only in the last quarter did equity markets began to rally, albeit with remarkable regional distinctions. The German stock index DAX noted strong price gains (16.00%), surpassing the S&P500 and the European DJ STOXX 600. The Central and Eastern European Equities sub-fund closed the year with a performance of 19.07% outperforming its benchmark by 492 bps. On a country-basis, Poland remained the largest weighting in the sub-fund, followed by the Czech Republic, Austria, Hungary and Turkey. We trimmed our positions in Hungarian and Czech stocks in favour of Polish and Turkish equities. From an industry point of view, the exposure to banks, oil & gas, and pharmaceutical stocks was reduced, adding mining and utility stocks. We kept our underweight position in banks, and continued to overweight telecommunication, oil & gas, and utility stocks in the sub-fund. The cash level of the sub-fund at the end of 2010 was 5.00%. During 2010, the Italian Equities sub-fund registered a negative performance of 5.45% versus -13.23% achieved by its benchmark, representing a 7.78% over performance. This result was achieved with 23.82% volatility, lower than the benchmark’s 25.68%. The over performance was mainly due to stock picking and the sector allocation, especially in the second quarter of the year when the market fell with increasing volatility due to pressure coming from the Euro Area sovereign debt crisis, and from the uncertainties tied to the global economic perspectives, and finally, during the last quarter, when the sub-fund achieved a positive performance while the broader market was flat. During the period, the total equity exposure varied mainly between 95.00% and 100.00% of the NAV. In 2010, the German Equities sub-fund recorded a performance of 16.00% in line with its benchmark, the German DAX index (+16.06%). Germany was an exception amongst the Euro zone countries, which suffered seriously from the debt crisis, causing the Euro STOXX 50 to lose 5.00% in 2010. Over the course of the year, particularly the cyclical sectors such as automotives, (BMW, Daimler and Volkswagen) achieved considerable returns. As the sub-fund had no position in BMW in 2010, it could not participate in the stock’s extraordinary performance, losing performance in comparison to the benchmark. Still, the sub-fund was almost neutral on the whole automotive sector. A negative impact came from the sub-fund’s position in the pharmaceutical company Merck, which accumulated a loss due to problems with the approval of a medical drug, and their liquid crystal production. The Lanxess stock, which gained 124.57% in 2010, had a positive influence on the sub-fund’s performance, even though it was not held throughout the entire year. Also contributing to additional positive results were companies such as Infineon, Siemens, BASF and Linde. Additionally, we remained invested in TUI (+79.79%), thus benefiting from the recovery of the shipping industry and the tourism sector. Generally, we are still focused on mega trends such as world trade (e.g. Hamburger Hafen) and wind and solar energy, as well as commodities (e.g. Aurubis), for which we see long term opportunities for sustainable growth. The European Value Equities sub-fund showed a performance of 1.55% and outperformed its benchmark by 292 bps. At the beginning of the year, the sub-fund was remodelled towards a high dividend strategy. During the second quarter, as markets fell, the sub-fund benefitted from its underweight in financials and overweight in telecoms and consumer discretionary. The portfolio was rebalanced in the middle of August, to augment our dividend yield from around 4.50%, to just below 5.00%, in order to obtain a more concentrated portfolio and a more neutral sector allocation. During the course of the second half of the year, we moved towards a sector allocation with an overweight position in energy and an underweight position mainly in financials, but also in healthcare and materials. The Capital Markets Strategies sub-fund registered a positive performance of 0.46% whilst the official benchmark recorded 0.31%. Excluding the down marking of Ecolutions during the last quarter, the sub-fund’s performance would have been around 1.36%. Until the middle of May, the sub-fund was ahead of the benchmark, as the market was down around 6.00% and the sub-fund around 0.00%. Later in May, the market held steady against important technical levels, and we anticipated a rebound, and thus held a mostly high equity exposure. As the markets continued their decline, falling to around -13.00% YTD, the sub-fund ended up losing 8.00% in a short space of time. In June, the portfolio had an equity exposure that was too low to benefit from the recovery of the markets. The subsequent recovery of the sub-fund was slow but steady, benefitting in particular from overweight positions in materials and automobiles. In the 2nd half of the year, important positions in the portfolio such as BASF (+32.34%), Arcelor Mittal (+26.95%), Renault (+41.30%), Siemens (+25.24%) performed very well. The Small & Mid Cap Euro Equities sub-fund significantly outperformed its benchmark, with an appreciation of 26.23%. 2010 was a good year for European small & mid caps, which gained 12.53%, whilst large caps (DJ EURO STOXX Large index) lost 0.11%. Cyclical stocks were the clear winners: Rhodia (chemicals) +97.00% in 2010, after a gain of 180.00% in 2009; Zodiac (aeronautic equipment) +93.00%, Outotec (equipment for minerals and metals industries) +87.00%, Kemira (chemicals) +71.00%, Tognum (engine) +70.00%. On the flipside, banks (Banco de Valencia -37.00%, Credito Valtellinese -40.00%, Bankinter -42.00%, Banca Popolare di Milano -47.00%); renewable energy companies (Solarworld -51.00%, Gamesa -51.00%) and defensive stocks (Biomerieux -10.00%, Indra -22.00%) massively underperformed. The sub-fund’s outperformance was mainly due to stock picking. Some of our bets performed particularly well over the year: Ipsos (market research) +68.00%, GFK (market research) +56.00%, Bureau Veritas (testing, inspection and certification) +56.00%, UBM (medias) +49.00%,


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Symrise (ingredients for chemical and food industries) +37.00%, Wincor Nixdorf (banking machines and cash registers) +28.00%, Alten (R&D consulting) +26.00%. The Futur sub-fund’s performance was 11.15% compared to 8.86% for the benchmark. The outperformance was due to strong bets on certification companies, which all performed strongly (Bureau Veritas +54.00%), luxury companies (LVMH and Swatch, both +61.00%), Accor (+33.00%) and Intercontinental (+42.00%) in the hotel sector, industrial gases (Linde +35.00% and Air Liquide +23.00%) and finally on energy, particularly thanks to Royal Dutch Shell (+17.00%), Technip (+41.00%) and BG (+33.00%).

North America The North American Equities Fund of Funds sub-fund recorded a positive performance of 20.50%, in line with its benchmark. During the year the sub-fund maintained an equity exposure between 97.00% and 104.00%. In the first quarter, the sub-fund benefited from high exposure to the financial and consumer discretionary sector: Investors were encouraged by the confirmation by the Federal Reserve Bank to keep interest rates at a low level for a long time. However, tensions in the European sovereign debt and the difficulties of the labor market in the United States have led to a significant and sudden correction in the stock market until the end of August. In this period the sub-fund underperformed its benchmark because of the growth orientation of the major positions in the portfolio. In September, the Federal Reserve Bank's announcement to implement the so-called QE II (Quantitative easing) has triggered a rally until the end of the year: the portfolio beta has been increased in order to benefit of this positive trend in equity markets, and the technology sector has been overweighed; this helped the sub-fund to outperform its benchmark. The fund selection activities maintained a strong focus on quality of selected UCITS and related underlying securities. The sub-fund was set up with the best selected funds through the process of Fund Selection.

Global World In 2010, the Global Multi Utilities sub-fund showed a positive performance of 10.33%, on level with the benchmark (+10.76%). This overall healthy performance has been achieved despite the sub-fund’s investment in BP, whose stock suffered considerably following the Deepwater Horizon incident in April 2010. In the wake of this disaster, the sub-fund’s performance fell below that of the benchmark, prompting the investment management team to use all their expertise to get performance back on track. Still, BP and its partners managed to regain some of their losses, with BP closing the year with a negative performance of 19.55% and Anardarko even achieving a positive return of 30.49%. Another important factor in 2010 was the oil price, which soared to new highs, exceeding the average oil price from 2009 by 18 US dollars. The strong oil price had a positive impact on oil production and related services, shown in the positive performances of Saipem (+52.86%), Schlumberger (+37.20%) and Occidental (+28.97%). The strong positions in these companies have supported the sub-fund’s performance significantly. Reflecting negatively on the sub-fund’s performance was the US dollar’s appreciation of 8.00% against the Euro, given the sub-fund’s underweight in US dollar. Negative inputs also derived from the sub-fund’s investments in renewable energy companies, Solarworld, as well Gamesa losing 51.00% in 2010. Vestas Wind also ended the year with a loss of 45.00%.

Bonds sub-funds The Euro Bonds sub-fund showed a performance of 1.84% whilst the official benchmark recorded 1.16%. During 2010, the crisis of peripheral Euro government bonds was impressive, as a consequence of fiscal deficits accumulated by these countries, Greece, Ireland and Portugal in particular. European authorities set up, in order to reduce tensions on markets and avoid a default of governments, a special purpose vehicle worth €440 bln, together with a package of €250 bln provided by the International Monetary Fund. The European Central Bank started to buy sovereign government bonds (Greece, Portugal and Ireland) in the secondary market, and provided full liquidity by special operations to the banking system. Despite tensions on rates, the economic growth, on average, of the Euro Area was positive, especially for Germany, whilst inflation was under control. During the year, the 10-year German rate moved from 3.40% to 2.10% and back up to 3.00% toward the end of year, whilst the 2-year rate moved from 1.30% to 0.50% and then up to 1.00%. The 10-year spread with Italian BTPs widened from 80 bps in the first few months of the year, to 200 bps in December. The sub-fund’s duration was, on average, neutral versus the benchmark’s, but in various periods the portfolio kept a tactical active exposure in interest rates risk and the positioning on the yield curve favoured longer maturities. The sub-fund overweighted Italian government bonds, and was invested in German and French bonds, avoiding other countries, including bonds issued by Greece, Ireland or Portugal. During 2010, the Euro Bonds 1/3 Years, Euro Bonds 3/5 Years, Euro Bonds 5/7 Years and Euro Bonds 10+ Years sub-funds performed respectively at 1.12%, 2.22%, 1.53%, 1.93% and all under- or outperforming the benchmark. The crisis of peripheral Euro government bonds was impressive, as a consequence of fiscal deficits accumulated by these countries, Greece, Ireland and Portugal in particular. European authorities set up, in order to reduce tensions on markets and avoid a default of governments, a special purpose vehicle with €440 bln, together with a package of €250 bln provided by the International Monetary Fund. The European Central Bank started to buy sovereign government bonds (Greece, Portugal and Ireland) in the secondary market, and provided full liquidity by special operations to the banking system. Despite tensions on rates, the economic growth, on average, of the Euro Area was positive, especially for Germany, while inflation was under control. The sub-fund’s duration was, on average, neutral versus the benchmark’s, but in various periods the portfolio kept a

Manager’s Report

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tactical active exposure in interest rates risk and the positioning on the yield curve favoured longer maturities. The sub-funds overweighted Italian government bonds, and was invested in German and French bonds, avoiding other countries, including bonds issued by Greece, Ireland or Portugal. The US Bonds sub-fund showed a positive performance of 13.31% in line with its benchmark. The sub-fund’s duration was, on average, neutral versus the benchmark’s, but in various periods the portfolio kept a tactical active exposure in interest rates risk and the positioning on the yield curve favoured flattening strategies in the first three quarters, reversing the positioning in the last three months. During the year the sub-fund maintained a full exposure to the US dollar, except for the June-July period. The US economy continued to recover in 2010, albeit at a sluggish pace. The deepest global recession in over 60 years was followed by a subdued recovery, with unemployment still running at historically high levels and elevated household indebtedness depressing consumer spending. The economic growth softened during the year in the face of fiscal tightening and a global manufacturing sector. Against this backdrop the Federal Reserve Bank continued to support the market with unconventional measures (such as low rate policy, quantitative easing, and longer-term Treasury purchases), helping the recovery in business spending and hiring, the surge in productivity and profits. Also the weaker US dollar helped to boost activity in trade-sensitive industries. During the year, the 10-year US rates moved from 3.80% to 2.40% and back up to 3.30% toward the end of year, whilst the 2-year rate moved from 1.10% to 0.30% and then up to 0.60%. The Central and Eastern European Bonds sub-fund closed the year with a performance of 8.18%. In the first half of the year, CEE markets were governed by the negative news from some of the “Old EU” member countries. Their debt levels became a major focus of market participants. And so did newer countries of CEE, despite their usually lower levels of debt, with Hungary being the big exception. But the region delivered its own interesting developments as well. Poland is again expected to outperform the region in GDP growth. Being a less open economy than other CEE countries, solid private consumption remained in place when the export part of the growth didn’t show, at the outset, the hoped revival. But Poland missed the opportunity to use this relative positive development to decrease its budget deficit (currently a big theme around the world), so it remains to be cleared in the near future. The Czech Republic remained on course for recovery, with Germany’s growth really supporting it. Hungary faced a new parliamentary election, which led to the change in the political leader of the country. The new government proved to be slightly inexperienced with regards to communication, which led to some misunderstandings on the markets. This connected to the current political heading of the Hungarian government and the rather weaker economy, is expected to continue to hold Hungarian Forint in a range trading at around 270-280 (if supported by the CB) in contrary to Polish Zloty and Czech Koruna which are both expected to appreciate. Central banks are expected to slowly start their hiking cycle. The Central and Eastern European Bonds closed the year with a performance of 8.18%. The sources of this performance were both the FX appreciation and rising bond prices. Czech Koruna, Turkish Lira and Polish Zloty appreciated between 4.00-5.00% each. Hungarian Forint and Romanian Lev were weaker performing currencies, depreciating by 2.50% and 1.20%, respectively. Bond prices were supported by the relative stable spread development (Poland and Czech Republic) and the decreasing asset swap levels. Hungarian yields remained volatile. The sub-fund’s largest exposures were Poland (over 50.00%), Hungary (around 15.00%) and Czech Republic (around 20.00%). The sub-fund increased its Euro exposure to over 5.00%, whilst maintaining some small off benchmark FX bets in Turkish Lira and Romanian Lev. The Euro Corporate Bonds sub-fund returned 4.35%, while the benchmark closed at 4.72%. The first part of 2010 was dominated by the sovereign debt crisis. We started to underweight corporate peripherals in January, especially those with a strong domestic bias (revenues and profits coming predominantly from the domestic market, such as small local banks, utilities, telecom). During April, when the volatility of credit spreads reached its maximum level, we decided to keep up to 10.00% of cash, underweighting risky assets. Before the announcements of the rescue package for Greece, provided by the International Monetary Fund, we reversed our risk profile adding a long position on the ITRX Main index, with the aim of capturing the rebound of the spreads. After this very important event, corporate spreads started to move in an ever decreasing trading range, and consequently we decided to align the portfolio more closely with the benchmark. During September and October, we slightly increased the risk profile of the sub-fund, in order to benefit from the announcements of the 2nd quantitative easing package of the Federal Reserve Bank. We also increased the exposure to callable subordinated financials thanks to the clarifications given by the Basel III committee on the probability of the call of those types of instruments. The last quarter was again dominated by sovereign risk, and this had a detrimental impact on corporate bonds YTD excess returns figures. Interest rates on core government bonds also moved significantly higher, affecting negatively the asset class. The Short Term Euro Corporate Bonds sub-fund gave a total return of 2.45% whilst the benchmark closed at 3.22%. The first part of 2010 was dominated by the sovereign debt crisis. We started to underweight corporate peripherals in January, especially those with a strong domestic bias (revenues and profits coming predominantly from the domestic market, such as small local banks, utilities, telecom). We started the year with a strong bet on subordinated financials with a short average life to first call date, considering the indications and the consensus surrounding those types of instruments after the indications of the Basel III committee. We reduced, progressively, this overweight during the sovereign inspired sell-off in spring, bringing the allocation of the sub-fund closer to that of the benchmark. We maintained a marginal short duration positioning during the whole course of the year, while having overall higher credit risk than the benchmark (as measured by the spread differential). We continued to adjust the allocation of the portfolio in terms of duration buckets, closing the gap from beginning of the year on the 2-3 year bucket, with the strongest roll-down component. The last quarter was again dominated by sovereign risk, and this had a detrimental impact on short-term corporate bonds YTD excess returns figures, minimal if compared to the whole market (short duration corporate bond excess return is positive YTD).


10

The European High Yield Bonds sub-fund in 2010, the broad European high yield bonds market returned 13.63%, whilst the non-financial index returned 14.29%. 2010 was the third best year on record for the European high yield market, matching 2004’s performance. In 2010, Euro-denominated high yield new issuance totaled €39.70 bln, much better than the second best year on record (€29.10 bln in 2006). Including the funding in currencies other than the Euro by European issuers, we totaled €46.70 bln. The last reading (November 2010) of the global default rate, stood at 3.30%, back at a level consistent with a late 2008 scenario, and down about 10.00% year-on-year. Whilst the United States shows a similar value, the default rate in Europe is even lower at 1.95% (-9.50% year-on-year). We have evidence that the current cycle is recovering faster when compared to previous cycles. The sub-fund returned +13.63% in 2010, outperforming, in relative terms, its official benchmark by 1.00% before management fees. The sub-fund ended the year in the second quarterile of its Morningstar category, ranking even better in risk-adjusted terms. In 2010, we focused on our core investment universe of BB-B corporates, whilst opportunistically taking a few bets on financials. The Euro Convertible Bonds sub-fund closed the year with a performance of 1.29%. We saw a number of new issues in Euro over the first quarter of the year, for a total amount of €1.80 bln participated in three - BCP/Portugal Telecom, Industrivarden and SAS. We took some profits through selling positions in Suedzucker, Qiagen, Industrivarden and SAS. Holdings were increased in Arcelor and Vinci, which have a high level of delta. During the short sell off in February, we bought some bonds with high yields low delta and an investment grade rating. All risky assets showed poor performance in the second quarter. We participated in three new issues during the second quarter - Gecina, BES/EDP and Beni Stabili. We took profit on high delta bonds, namely MTU, Unibail, Cap Gemini, and Gedeon Richter. The third quarter was a quarter of recovery. We took profits on some names such as KFW/Dtel, Artemis/PPR, and BCP/Portugal Telecom. Following the improvement in Greek government bonds, we sold half of our position. We reinvested a part of the cash in Espirito 2025, Gedeon Richter and UCB 2015. The equity market was quite volatile in the last quarter, but finished the period with a positive performance. The peripheral debt credit spread widened sharply in this final quarter of the year. Both low equity exposure and the high credit exposure to the peripheral debt, were negative contributors to performance. We took some profit on Gecina and Artemis/Vinci. We bought Cable+ Wireless, Michelin and Parpublica/Galp. The sub-fund suffered in October due to a default on ATEC Industries, which made up 1.00% of the portfolio before the default. In 2010, the Euro Inflation Linked Bonds sub-fund gave a negative performance of 0.96% in line with its benchmark. The sub-fund kept a full investment in inflation linked bonds during the year, with a small overweight in Italian linkers, especially in the shortest part of the curve (3 - 5 years). After a strong performance in the first half of 2010, government bond markets have sold off sharply since the start of the fourth quarter, as investors became more confident about the economic recovery. Even the renewed contagion amongst European peripheral markets - Ireland had to request international aid at the end of November - couldn’t prevent rates rising. Concerns about the inflationary impact of the second round of quantitative easing and the rally in commodity prices, pushed breakevens wider in the last quarter of 2010, but outperformance of linked bonds against nominal bonds was limited by the sharp rise of real yields. On a full year basis, inflation linked bond indices finished 2010 in negative territory (-1.20% for Barclays Eurozone All CPI Maturities). The Tactical Bond Allocation sub-fund launched on April 19, 2010 recorded since inception a negative performance of 0.79%. During 2010 the global recovery, which started in the second half of the year, has strengthened certitude, pushing the global growth rate above 4.00%. Developing countries such as China, India, Brazil and, more generally, the Asian region, quickly recovered to pre-crisis levels. By contrast, developed countries, whilst again showing positive growth rates, have not yet showed the growth dynamic of the typical post-recessionary phases. Global interest rates have shown a downward trend for most of the year, with periods of very high volatility. The escalation of the European debt crisis, the weak economic recovery in the advanced world, and the absence of inflationary pressures, all contributed to this dynamic. In the final part of the year, improving economic data led to a partial recovery in market interest rates. The sub-fund has been allocated, on average, as 65.00% in government bonds and 35.00% in corporate bonds (increased during the course of the year). High yield risk has been allocated at 10.00% of NAV and around 12.00% of NAV for Emerging Markets bonds (both in Euro rather than a small part in local currency). The sub-fund’s duration was kept longer than the benchmark’s in the first period and neutral in the year end (around 2 yrs). In terms of performance, we moved close to that of the benchmark, with no strong direction due to the high volatility of peripheral government bonds, but benefiting from the positive momentum on credit spreads. We avoided Greek, Iris and Portuguese positions, although there was a small presence in that of the benchmark.

Absolute Return sub-funds The Absolute Return Multi Strategies sub-fund gave a performance of 3.27% outperforming its benchmark. During 2010 the global recovery, which started in the second half of the year, has strengthened, pushing the global growth rate above 4.00%. However, this is an uneven recovery. Developing countries quickly recovered to pre-crisis levels, but by contrast, developed countries, while again showing positive growth rates, have not yet shown the growth dynamic of the typical post-recessionary phases. The recovery in developed economies was sustained by strong public intervention, in the wake of actions taken during the previous two years. One of the themes of 2010, which will resurface in 2011, is the assessment of the degree of dependence of the recovery process on public support. Despite the recovery phase, some risk factors remain evident. The housing market in the United States and the UK is still in a difficult condition. Credit conditions remain depressed, and the deleveraging process in the household and financial sectors has not yet finished. Employment levels remain very low. Public finances, finally, represent the greatest risk to the recovery. Virtually all developed countries will be asked to implement

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restrictive fiscal manoeuvers in the coming years, in an attempt to achieve adequate primary budget surpluses and consequently, stabilize debt to GDP ratios. This could negatively affect growth. The Absolute Return Credit Strategies sub-fund closed the year 2010 with an exceptional total return of 36.23%. The explanation of such a result can be found in events of the recent past, and particularly in the absurd depressed levels reached by the European structured credit market during the big sub-prime and liquidity related crisis. In 2010, we assisted to the return to normality of many of the ABS prices, particularly those linked to stable, performing asset classes, such as residential mortgages, consumer loans, and credit cards. Those deals were well structured to resist the type of stress that has occurred since 2007, such as high delinquency levels, marginally higher unemployment figures across Europe and declining real estate valuations. Some degree of uncertainty remains on leveraged asset classes where the refinancing risk represents the major source of risk, such as CLO or CMBS. Those recovered as well, in some cases also brilliantly, but there are many differences among deals and some of them will continue to underperform going forward. The sub-fund benefited from the price recovery and by the carry trade on the 25.00-30.00% corporate bond component, which contributed positively to the overall performance. Since mid-July, we started to buy ABS, selecting those tranches able to generate mid-single digit returns in unfavourable scenarios. We selectively purchased senior CMBS deals or high-mezzanine tranches of non conforming RMBS. The Absolute Return Global Macro Strategies sub-fund returned 1.50% in 2010, with most of the return accumulated in the latter part of the year. During 2010 the global recovery, which started in the second half of the year, has strengthened, pushing the global growth rate above 4.00%. However, this is an uneven recovery. Developing countries quickly recovered to pre-crisis levels, but by contrast, developed countries, while again showing positive growth rates, have not yet shown the growth dynamic of the typical post-recessionary phases. The recovery in developed economies was sustained by strong public intervention, in the wake of actions taken during the previous two years. One of the themes of 2010, which will resurface in 2011, is the assessment of the degree of dependence of the recovery process on public support. Despite the recovery phase, some risk factors remain evident. The housing market in the United States and the UK is still in a difficult condition. Credit conditions remain depressed, and the deleveraging process in the household and financial sectors has not yet finished. Employment levels remain very low. Public finances, finally, represent the greatest risk to the recovery. Virtually all developed countries will be asked to implement restrictive fiscal manoeuvers in the coming years in an attempt to achieve adequate primary budget surpluses and consequently, stabilize debt to GDP ratios. This could negatively affect growth. The Absolute Return Interest Rate Strategies sub-fund recorded a negative performance of 0.92% underperforming its benchmark. During 2010, the crisis of peripheral Euro government bonds was impressive, as a consequence of fiscal deficits accumulated by these countries, especially Greece, Ireland and Spain. In order to reduce tensions on the markets and avoid a default of governments, European authorities set up a special purpose vehicle worth €440 bln, together with a package of €250 bln provided by the International Monetary Fund. The European Central Bank started to buy sovereign government bonds (Greece, Portugal, and Ireland) in the secondary market, and provided full liquidity by special operations to the banking system. Despite tensions on rates, the economic growth, on average, of the Euro Area was positive, especially for Germany, while inflation was under control. During the year, the 10-year German rates moved from 3.40% to 2.10% and back up to 3.00% towards the end of year, whilst the 2-year rate moved from to 1.30% to 0.50%, and then back up to 1.00%. The 10-year spread with Italian BTPs widened from 80 bps in the first few months of the year, to 200 bps in December. The sub-fund’s duration was managed tactically during the year, more on core markets, namely via German and US bond futures. Foreign exchange positions were taken occasionally, in order to keep the volatility of the sub-fund contained.

Monetary sub-funds The Euro Liquidity sub-fund showed a performance of 0.33% in line with the official benchmark. During 2010, the crisis of peripheral Euro government bonds was impressive, as a consequence of fiscal deficits accumulated by these countries, Greece, Ireland and Portugal in particular. European authorities set up, in order to reduce tensions on markets and avoid a default of governments, a special purpose vehicle worth €440 bln, together with a package of €250 bln provided by the International Monetary Fund. The European Central Bank started to buy sovereign government bonds (Greece, Portugal and Ireland) in the secondary market and provided full liquidity by special operations to the banking system. Despite tensions on rates, the economic growth, on average, of the Euro Area was positive, especially for Germany, whilst inflation was under control. During the year, the 2-year German rates moved from 1.30% to 0.50% and back up to 1.00% towards the end of year, whilst the EURIBOR 3M rate moved from to 0.70% to 1.00% at the end of the year. The 2-year spread with Italian BTPs widened from 50 bps in the first few months of the year to 200 bps in December. The sub-fund’s duration was, on average, at 0.5 years, but in various periods the portfolio kept a tactical active exposure in interest rates risk and the positioning on the yield curve favoured longer maturities, up to 3 years. The sub-fund, overweighted Italian government bonds, and was invested in German and French bonds avoiding other countries, including bonds issued by Greece, Ireland or Portugal.


12

Guaranteed sub-funds The performance of the GaranT 1 sub-fund was 0.17% for 2010. The sub-fund’s NAV per share increased slightly from 105.061 to 105.235 over the year. The portfolio was allocated to short-dated “covered bonds” and European government issues. In December, the fixed bonds’ weight was around 77.00% and approximately 23.00% were invested in FRNs and cash. The duration was below one year and reflected the end of the first guarantee cycle on September 30, 2011. There has been no equity exposure since October 2008. In spring 2010, market participants had serious doubts about the creditworthiness of Greece. The IWF, the European Union and the European Central Bank issued a €750 bln aid package to support European Countries such as Greece, Ireland, and further countries which needed help to solve their debt problems. As a result, the Euro was under pressure, and dropped below 1.20 versus the US dollar. But following the aid package announcement, the Euro recovered. European government bonds experienced very heterogeneous performances. Whilst core markets such as France and Germany performed quite well, peripheral bonds recorded negative returns. Overall, the European bond market showed a meager 1.10% performance. The DJ EURO STOXX 50 lost 5.37% over the year due to the high uncertainty in European financial markets. However, the automobile sector was the best performing sector showing a positive return of approximately 44.00%. In the United States, the Federal Reserve Bank introduced the second massive quantitative easing program, with the aim of buying additional longer-dated US Treasury bonds. Hence, 10-year Treasuries were purchased in bulk and the yield decreased temporarily below 2.50%. US stocks performed well with a 15.00% annual return. The performance of the GaranT 2 sub-fund was -0.30% for 2010. The sub-fund’s NAV per share decreased slightly from 99.743 to 99.448 over the course of the year. The portfolio was allocated to short-dated Italian government issues. In December, the fixed bonds weighting was around 98.00%, with approximately 2.00% invested in cash. The duration was below two years and reflected the end of the first guarantee cycle on September 30, 2012. There has been no equity exposure since February 2010. In spring 2010, market participants had serious doubts about the creditworthiness of Greece. In the following months, the IWF, the European Union and the European Central Bank issued a €750 bln aid package to support European countries such as Greece, Ireland, and further states which may need help to solve their debt problems. As a result, the Euro was under pressure and dropped below 1.20 versus the US dollar, but following the announcement of the aid package, the Euro recovered. European government bonds experienced very heterogeneous performances. Whilst core markets such as France and Germany performed quite well, peripheral bonds recorded negative returns. Overall, the European bond market showed a meager 1.10% performance. Moreover, the DJ EURO STOXX 50 lost 5.37% over the year due to the high uncertainty in European financial markets. However, the automobile sector was the best performing sector, with a positive return of around 44.00%. In the United States, the Federal Reserve Bank introduced the second round of quantitative easing, with the aim of buying more longer-dated US Treasury bonds. Hence, 10-year Treasury bonds were purchased in bulk and the yield decreased temporarily below 2.50%. US stocks performed well, with a 15.00% annual return. The performance of the GaranT 3 sub-fund was 0.27% for 2010. The sub-fund’s NAV per share increased slightly from 106.072 to 106.359 over the course of the year. The portfolio was allocated to short-dated “covered bonds” and European government issues. In December, the fixed bonds weighting was around 98.00%, with approximately 2.00% invested in cash. The duration was below three years and reflected the end of the first guarantee cycle on September 30, 2013. At the end of the year the equity exposure was 0.50%. In spring 2010, market participants had serious doubts about the creditworthiness of Greece. In the following months, the IWF, the European Union and the European Central Bank issued a €750 bln aid package to support European countries such as Greece, Ireland, and further states which may need help to solve their debt problems. As a result, the Euro was under pressure and dropped below 1.20 versus the US dollar, but following the announcement of the aid package, the Euro recovered. European government bonds experienced very heterogeneous performances. Whilst core markets such as France and Germany performed quite well, peripheral bonds recorded negative returns. Overall, the European bond market showed meager 1.10% performance. Moreover, the DJ EURO STOXX 50 lost 5.37% over the year due to the high uncertainty in European financial markets. However, the automobile sector was the best performing sector, with a positive return of around 44.00%. In the United States, the Federal Reserve Bank introduced the second round of quantitative easing, with the aim of buying more longer-dated US Treasury bonds. Hence, 10-year Treasuries were purchased in bulk and the yield decreased temporarily below 2.50%. US stocks performed well, with about 15.00% annual return. The performance of the GaranT 4 sub-fund was -0.79% for 2010. The sub-fund’s NAV per share decreased slightly from 100.213 to 99.419 over the course of the year. The portfolio was allocated to short-dated “covered bonds” and European government issues. In December, the fixed bonds weighting was around 92.00%, with approximately 8.00% invested in FRNs and cash. The duration was below four years and reflected the end of the first guarantee cycle on September 30, 2014. At the end of the year the equity exposure was 6.40%. In spring 2010, market participants had serious doubts about the creditworthiness of Greece. In the following months, the IWF, the European Union and the European Central Bank issued a €750 bln aid package to support European countries such as Greece, Ireland, and further states which may need help to solve their debt problems. As a result, the Euro was under pressure and dropped below 1.20 versus the US dollar, but following the announcement of the aid package, the Euro recovered. European government bonds experienced very heterogeneous performances. Whilst core markets such as France and Germany performed quite well, peripheral bonds recorded negative returns. Overall, the European bond market showed meager a 1.10% performance. Moreover, the DJ EURO STOXX 50 lost 5.37% over the year due to the high uncertainty in European financial markets. However, the automobile sector was the best performing sector, with a positive return of around 44.00%. In the United States, the Federal Reserve Bank introduced the second round of quantitative easing, with the aim of

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buying more longer-dated US Treasury bonds. Hence, 10-year Treasuries were purchased in bulk and the yield decreased temporarily below 2.50%. US stocks performed well, with about 15.00% annual return. The GaranT 5 sub-fund was launched on October 1, 2010 and the sub-fund’s NAV lost 2.98%, dropping from 100.000 on October 1, 2010 to 97.023 on December 31, 2010. The portfolio was allocated to Euro government issuers. The weighting of fixed bonds was at approximately 87.00%, with 13.00% invested in FRNs and cash. At the end of the year the equity exposure was 11.23%. The US economy strengthened during the fourth quarter of 2010, led by improved business confidence. ISM and regional PMI surveys rose again, following the decline registered in the third quarter. The national accounts data showed a further improvement in productivity and reduced labour costs, factors leading to an improvement in margins, which ultimately should lead to more investments and better employment figures. Household spending grew further, supported by the recovery in disposable income, but government transfers remain crucial. The Obama administration announced an extension of the Bush tax cuts and agreed with the new Republican majority the extension of unemployment benefits. Moreover, a new fiscal stimulus package, with a 2.00% reduction of payroll tax, was approved. However, structural obstacles to recovery have not faded. Unemployment remains high (9.80%) and the deleveraging process involving households and the financial sector continues. This means reduced access to credit, especially for small firms. Moreover, the fiscal position of the United States is worsening, where the fiscal deficit remains at historical highs (11.00% of GDP) and debt to GDP ratio is moving towards the 100.00% mark. In this context, the Federal Reserve Bank announced details of the second tranche of its quantitative easing program $600 bln of US Treasury securities will be bought until June. The effect of such measures on the real economy should be limited, while risky assets, especially equities and commodities, will benefit the most. Given the absence of inflationary pressures (core inflation slowed further), policy rates will remain unchanged in the coming quarters. In Europe, the decoupling between core and periphery countries continues. Ireland, as a result of soaring interest rates on government bonds, was forced to ask the support of the EFSF and the International Monetary Fund, and an €85 bln package was approved in exchange for a tough fiscal consolidation plan. The sovereign debt crisis remains the major theme in the Euro Area for years to come.


14

Performance table

Performance 2010

NAV per share on

31.12.2010

NAV per share on

31.12.2009 Performance

(%)

Euro Equities Opportunity A Capitalisation 105.833 104.072 1.69DJ EURO STOXX 50 Index -5.37High Conviction Europe A Capitalisation 94.477 87.912 7.47DJ STOXX 600 Index 9.43Central and Eastern European Equities A Capitalisation 273.414 229.629 19.07Nomura Central and Eastern Europe ex Russia Index (in EUR) 14.14Italian Equities A Capitalisation 88.965 94.098 -5.45S&P/MIB Index -13.23German Equities B Capitalisation 92.189 79.480 15.99DAX Index 16.06European Value Equities A Capitalisation 128.576 126.614 1.55DJ STOXX TMI Value Index -1.37Capital Markets Strategies A Capitalisation 125.292 124.718 0.46DJ Euro STOXX Index 0.31Small & Mid Cap Euro Equities A Distribution (1) 85.606 69.100 26.23DJ EURO STOXX Small Index 12.60Futur A Distribution (2) 90.440 83.844 11.15MSCI Europe Index 8.86North American Equities Fund of Funds A Distribution 85.254 70.753 20.50MSCI North America Index 21.24Global Multi Utilities A Distribution (3) 201.837 186.407 10.33FTSE Global Utilities/FTSE Global Energy/FTSE Global Telecoms Index 10.76Euro Bonds A Capitalisation 146.247 143.605 1.84JPMorgan EMU Government Bond Index 1.16Euro Bonds 1/3 Years A Capitalisation 108.362 107.165 1.12JPMorgan EMU Government Bond 1-3 years Index 0.89Euro Bonds 3/5 Years A Capitalisation 111.428 109.012 2.22JPMorgan EMU Government Bond 3-5 years Index 1.57Euro Bonds 5/7 Years A Capitalisation 111.294 109.622 1.53JPMorgan EMU Government Bond 5-7 years Index 1.24Euro Bonds 10+ Years A Capitalisation 112.985 110.842 1.93JPMorgan EMU Government Bond 10+ years Index 2.13US Bonds A Capitalisation 106.607 94.081 13.31JPMorgan U.S. Government Bond Index 13.51Central and Eastern European Bonds A Capitalisation 153.540 141.928 8.18Merrill Lynch Eastern Europe Governments ex Russia Index (in EUR) 9.51Euro Corporate Bonds A Capitalisation 156.003 149.498 4.35Barclays Capital Euro Corporate Bond Index 4.72Short Term Euro Corporate Bonds A Capitalisation 105.434 102.908 2.45Barcap Euro Aggregate Corporate 1-3 years Index 3.22European High Yield Bonds A Capitalisation 157.572 138.670 13.63Merrill Lynch Euro High Yield Constrained Index 13.00Euro Convertible Bonds A Capitalisation 118.511 116.998 1.29Exane Eurozone Convertible Bond 5.03Euro Inflation Linked Bonds A Capitalisation 107.149 108.192 -0.96Barclays Capital Global Inflation-Linked:Eurozone Bond Index -0.87Tactical Bond Allocation B Capitalisation (5) 99.207 100.000 -0.79JPMorgan EMU Government Bond 1-3 years Index -0.20

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Performance 2010

NAV per share on

31.12.2010

NAV per share on

31.12.2009 Performance

(%)

Absolute Return Multi Strategies A Capitalisation 117.535 113.810 3.27EONIA 0.44Absolute Return Credit Strategies A Distribution (4) 83.980 62.895 34.92Absolute Return Global Macro Strategies A Capitalisation 117.694 115.953 1.50EONIA 0.44Absolute Return Interest Rate Strategies A Capitalisation 101.913 102.864 -0.92EONIA 0.44Euro Liquidity A Capitalisation 124.724 124.309 0.33EONIA Capitalization Index Capital 5 Day (EONACAPL) rate 0.31GaranT 1 D Capitalisation 105.235 105.061 0.17GaranT 2 D Capitalisation 99.448 99.743 -0.30GaranT 3 D Capitalisation 106.359 106.072 0.27GaranT 4 D Capitalisation 99.419 100.213 -0.79GaranT 5 D Capitalisation (6) 97.023 100.000 -2.98

(1) Fund performance includes dividend of 1.51 EUR per share in date 25.10.2010 (payment date) (2) Fund performance includes dividend of 1.26 EUR per share in date 25.10.2010 (payment date) (3) Fund performance includes dividend of 3.52 EUR per share in date 25.10.2010 (payment date) (4) Fund performance includes dividend of 0.93 EUR per share in date 25.10.2010 (payment date) (5) Sub-fund launched during the year. Performance since inception on 19.04.2010 (6) Sub-fund launched during the year. Performance since inception on 01.10.2010 Past performance is not a guarantee of future results.


16

Independent Auditor’s Report

To the Shareholders of GENERALI INVESTMENTS SICAV We have audited the accompanying financial statements of GENERALI INVESTMENTS SICAV (the “SICAV”) and of each of its sub-funds, which comprise the Statement of Net Assets and the Portfolio as at December 31, 2010 and the Statement of Operations and Changes in Net Assets for the year then ended and a summary of significant accounting policies and other explanatory notes to the financial statements. Board of Directors of the SICAV’s responsibility for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation and presentation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the “réviseur d’entreprises agréé” Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier”. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgement of the “réviseur d’entreprises agréé”, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the “réviseur d’entreprises agréé” considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control.

An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of GENERALI INVESTMENTS SICAV and of each of its sub-funds as of December 31, 2010 and of the results of their operations and changes in their Net Assets for the year then ended in accordance with the Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.

Without qualifying our opinion, we draw your attention to Note 2 to the financial statements relating to the valuation of securities in the context of the liquidity crisis and the associated risks. This note explains that in the absence of a liquid market, illiquid securities have been valued at fair value by the Board of Directors on the basis of mathematical models or other alternative valuation methods, including in some cases the last available information communicated by counterparties or service providers. Actual results in the future could differ from such estimates and the differences may be material to the valuation retained. For each sub-fund significantly concerned, the proportion of those assets in terms of the sub-funds' respective Net Asset Value as of December 31, 2010, as assessed by the Board of Directors of the SICAV, are disclosed in Note 17, which also explains why capital transactions are monitored for the sub-fund GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies.

Independent Auditor’s Report

17

Other matter Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole.

ERNST & YOUNG

Société Anonyme

Cabinet de révision agréé

Bernard LHOEST

Luxembourg, March 14, 2011

18


Statement of Net Assets

Statement of Net Assets at 31.12.2010

EUR

Combined

Note

Assets 3,810,743,911.86

Securities portfolio at market value 3,601,849,141.24

Cost price 3,628,173,697.68

Unrealised profit/(loss) on the securitiesportfolio

(26,324,556.44)

Options purchased at market value 197,700.00

Options purchased at cost 258,060.00

Cash at banks and liquidities 161,726,036.15

Interest receivable 34,661,457.04

Brokers receivable 2,696,556.37

Subscribers receivable 4,139,060.16

Dividends receivable 393,937.35

Net unrealised appreciation on forward foreignexchange contracts

9 1,828,693.85

Net unrealised appreciation on financial futures 8 2,213,911.55

Net unrealised appreciation on swaps 10 755,976.67

Other assets 281,441.48

Liabilities 21,619,286.56

Brokers payable 4,809,483.13

Accrued performance fees 7 315,266.17

Subscribers payable 6,576,077.04

Net unrealised depreciation on forward foreignexchange contracts

9 388,448.68

Net unrealised depreciation on financial futures 8 218,753.11

Net unrealised depreciation on swaps 10 211,717.66

Accrued management fees 5 6,444,414.63

Accrued custody and administration fees 6 490,730.93

Other liabilities 2,164,395.21

Net asset value 3,789,124,625.30

EUR

Euro EquitiesOpportunity

80,814,764.64

76,240,453.11

75,653,937.39

586,515.72

0.00

0.00

1,896,979.32

0.00

2,635,966.17

21,400.00

0.00

0.00

0.00

0.00

19,966.04

2,964,124.20

2,456,912.46

0.00

368,335.54

0.00

0.00

0.00

118,024.75

9,957.33

10,894.12

77,850,640.44

EUR

High ConvictionEurope

132,569,059.45

128,287,014.77

118,404,099.01

9,882,915.76

0.00

0.00

4,178,827.79

0.00

0.00

32,600.00

40,511.97

0.00

0.00

0.00

30,104.92

226,272.30

0.00

0.00

3,561.09

0.00

0.00

0.00

189,950.69

16,325.41

16,435.11

132,342,787.15

EUR

Central and EasternEuropean Equities

60,834,406.91

57,772,589.03

54,560,531.50

3,212,057.53

0.00

0.00

2,941,148.76

0.00

0.00

120,669.12

0.00

0.00

0.00

0.00

0.00

314,779.18

0.00

0.00

115,186.32

0.00

0.00

0.00

182,622.95

7,469.47

9,500.44

60,519,627.73

EUR

Italian Equities

23,134,287.86

21,684,221.83

23,911,684.68

(2,227,462.85)

0.00

0.00

1,389,475.83

0.00

60,590.20

0.00

0.00

0.00

0.00

0.00

0.00

70,325.27

0.00

0.00

33,123.67

0.00

0.00

0.00

30,021.74

3,108.70

4,071.16

23,063,962.59

The accompanying notes form an integral part of these financial statements.

19



EUR

German Equities

Note

Assets 97,707,156.36

Securities portfolio at market value 95,295,855.00

Cost price 80,419,090.80


14,876,764.20

Options purchased at market value 0.00

Options purchased at cost 0.00


Interest receivable 0.00

Brokers receivable 0.00

Subscribers receivable 45,060.28

Dividends receivable 0.00


9 0.00

Net unrealised appreciation on financial futures 8 0.00

Net unrealised appreciation on swaps 10 0.00

Other assets 0.00

Liabilities 213,943.48

Brokers payable 0.00

Accrued performance fees 7 0.00

Subscribers payable 0.00


9 0.00

Net unrealised depreciation on financial futures 8 0.00

Net unrealised depreciation on swaps 10 0.00

Accrued management fees 5 188,783.72


Other liabilities 13,279.16

Net asset value 97,493,212.88

EUR

Global Multi Utilities

64,215,028.35

57,612,761.25

46,254,755.39

11,358,005.86

0.00

0.00

6,536,740.59

0.00

0.00

3,150.30

44,521.62

0.00

0.00

0.00

17,854.59

141,735.04

0.00

0.00

32,288.03

0.00

0.00

0.00

92,968.43

7,699.84

8,778.74

64,073,293.31

EUR

European ValueEquities

46,833,231.74

44,816,949.21

45,041,289.56

(224,340.35)

0.00

0.00

1,938,860.62

0.00

0.00

0.00

64,592.15

0.00

0.00

0.00

12,829.76

598,899.81

479,949.31

0.00

0.00

67,932.02

0.00

0.00

39,351.42

5,778.50

5,888.56

46,234,331.93

EUR

Capital MarketsStrategies

162,402,927.18

149,228,836.06

141,848,935.06

7,379,901.00

197,700.00

258,060.00

10,789,397.27

7,363.42

0.00

0.00

128,678.09

1,530,446.74

488,270.00

0.00

32,235.60

522,068.72

269,695.94

0.00

19,535.08

0.00

0.00

0.00

191,878.19

20,153.53

20,805.98

161,880,858.46

EUR

Small & Mid CapEuro Equities

109,118,979.30

104,839,303.16

85,473,764.09

19,365,539.07

0.00

0.00

4,185,685.51

0.00

0.00

52,738.60

35,232.50

0.00

0.00

0.00

6,019.53

171,784.35

0.00

0.00

115.75

0.00

0.00

0.00

144,895.46

13,439.76

13,333.38

108,947,194.95



20




EUR

North AmericanEquities Fund of

Funds

Note

Assets 27,543,015.63


Cost price 23,543,896.90


2,390,051.37









9 0.00

Net unrealised appreciation on financial futures 8 10,333.53


Other assets 17,257.13




Subscribers payable 58,851.83


9 0.00







EUR

Futur

34,289,939.35

33,813,186.40

33,993,162.73

(179,976.33)

0.00

0.00

457,603.57

0.00

0.00

0.00

19,149.38

0.00

0.00

0.00

0.00

46,582.13

0.00

0.00

0.00

0.00

0.00

0.00

38,286.54

4,161.50

4,134.09

34,243,357.22

EUR

Euro Bonds

445,432,006.54

422,555,725.07

430,380,764.75

(7,825,039.68)

0.00

0.00

16,480,630.31

5,593,515.43

0.00

482,135.73

0.00

0.00

320,000.00

0.00

0.00

1,235,224.43

0.00

0.00

478,468.33

0.00

0.00

0.00

642,222.57

57,595.17

56,938.36

444,196,782.11

EUR

Euro Bonds 1/3Years

167,881,564.83

156,766,450.00

158,204,369.62

(1,437,919.62)

0.00

0.00

8,071,915.35

1,602,256.98

0.00

1,371,942.50

0.00

0.00

69,000.00

0.00

0.00

519,336.46

0.00

0.00

394,499.11

0.00

0.00

0.00

82,457.81

20,761.95

21,617.59

167,362,228.37

EUR

Euro Bonds 3/5Years

64,464,662.95

61,092,680.00

62,353,208.03

(1,260,528.03)

0.00

0.00

2,799,134.47

530,125.76

0.00

42,722.72

0.00

0.00

0.00

0.00

0.00

586,502.08

0.00

0.00

513,260.86

0.00

12,300.00

0.00

42,184.43

8,803.83

9,952.96

63,878,160.87


21



EUR

Euro Bonds 5/7Years

Note

Assets 2,445,290.95


Cost price 2,307,233.82


(53,839.54)



Cash at banks and liquidities 152,070.56

Interest receivable 39,826.11


Subscribers receivable 0.00



9 0.00



Other assets 0.00






9 0.00




Accrued custody and administration fees 6 278.40

Other liabilities 345.60


EUR

Euro Bonds 10+Years

3,135,451.01

2,943,015.33

3,055,840.24

(112,824.91)

0.00

0.00

148,976.63

43,459.05

0.00

0.00

0.00

0.00

0.00

0.00

0.00

3,037.41

0.00

0.00

0.00

0.00

0.00

0.00

2,147.19

373.04

517.18

3,132,413.60

EUR

US Bonds

13,539,774.55

13,081,634.93

13,002,505.73

79,129.20

0.00

0.00

337,259.01

120,634.00

0.00

246.61

0.00

0.00

0.00

0.00

0.00

90,099.56

0.00

0.00

71,421.71

0.00

0.00

0.00

14,759.46

1,722.66

2,195.73

13,449,674.99

EUR

Central and EasternEuropean Bonds

73,547,910.07

69,632,130.03

67,658,252.09

1,973,877.94

0.00

0.00

2,348,081.85

1,562,623.72

0.00

5,074.47

0.00

0.00

0.00

0.00

0.00

169,293.32

0.00

0.00

40,503.81

0.00

0.00

0.00

108,682.15

9,430.95

10,676.41

73,378,616.75

EUR

Euro CorporateBonds

271,870,545.52

262,842,507.15

260,309,659.01

2,532,848.14

0.00

0.00

1,286,665.04

7,351,461.66

0.00

244,737.76

0.00

0.00

0.00

0.00

145,173.91

1,932,272.13

0.00

0.00

1,327,752.50

0.00

88,845.00

0.00

437,018.91

36,325.97

42,329.75

269,938,273.39



22




EUR

Short Term EuroCorporate Bonds

Note

Assets 125,924,126.01


Cost price 122,564,190.65


(1,310,347.13)









9 0.00



Other assets 0.00






9 0.00

Net unrealised depreciation on financial futures 8 44,425.00






EUR

European High YieldBonds

146,638,637.33

140,912,204.00

136,989,940.27

3,922,263.73

0.00

0.00

2,278,542.21

3,068,998.19

0.00

76,987.34

0.00

85,364.67

0.00

216,540.92

0.00

1,965,294.68

1,602,925.42

0.00

92,191.32

0.00

0.00

0.00

229,180.62

18,347.31

22,650.01

144,673,342.65

EUR

Euro ConvertibleBonds

106,816,538.09

94,495,890.09

97,797,408.95

(3,301,518.86)

0.00

0.00

11,320,011.04

881,853.54

0.00

4,336.41

0.00

114,447.01

0.00

0.00

0.00

502,786.15

0.00

0.00

244,490.00

0.00

0.00

110,208.03

118,979.83

13,629.95

15,478.34

106,313,751.94

EUR

Euro InflationLinked Bonds

88,192,132.15

86,759,459.53

84,139,593.08

2,619,866.45

0.00

0.00

648,763.86

715,184.03

0.00

68,724.73

0.00

0.00

0.00

0.00

0.00

218,749.39

0.00

0.00

127,343.69

0.00

0.00

0.00

67,866.63

11,249.39

12,289.68

87,973,382.76

EUR

Tactical BondAllocation

32,058,681.63

28,633,958.79

29,186,674.83

(552,716.04)

0.00

0.00

2,926,024.98

444,251.16

0.00

50,685.30

0.00

3,761.40

0.00

0.00

0.00

56,279.04

0.00

2,445.44

0.00

0.00

0.00

0.00

43,282.35

3,848.05

6,703.20

32,002,402.59


23



EUR

Absolute ReturnMulti Strategies

Note

Assets 119,876,803.38


Cost price 95,791,571.07


2,355,098.22









9 0.00

Net unrealised appreciation on financial futures 8 907,162.63

Net unrealised appreciation on swaps 10 346,707.01

Other assets 0.00



Accrued performance fees 7 301,478.79



9 309,965.10







EUR

Absolute ReturnCredit Strategies

426,123,363.94

411,578,826.54

499,500,105.76

(87,921,279.22)

0.00

0.00

12,119,430.75

2,338,866.20

0.00

0.00

0.00

86,240.45

0.00

0.00

0.00

3,540,178.27

0.00

0.00

47,327.88

0.00

0.00

101,509.63

2,069,858.61

52,358.76

1,269,123.39

422,583,185.67

EUR

Absolute ReturnGlobal Macro

Strategies

55,077,228.09

47,455,258.50

48,160,773.63

(705,515.13)

0.00

0.00

6,259,255.25

893,931.79

0.00

5,408.42

0.00

0.00

270,645.39

192,728.74

0.00

204,003.82

0.00

11,341.94

60,888.96

10,551.56

0.00

0.00

82,808.83

7,959.74

30,452.79

54,873,224.27

EUR

Absolute ReturnInterest Rate

Strategies

13,837,074.69

11,768,018.35

11,768,577.55

(559.20)

0.00

0.00

2,039,996.44

20,626.32

0.00

0.00

0.00

8,433.58

0.00

0.00

0.00

29,758.90

0.00

0.00

0.00

0.00

7,183.11

0.00

17,446.34

1,865.22

3,264.23

13,807,315.79

EUR

Euro Liquidity

571,151,534.91

540,593,890.00

542,518,437.53

(1,924,547.53)

0.00

0.00

27,209,346.55

1,890,006.26

0.00

1,309,792.10

0.00

0.00

148,500.00

0.00

0.00

2,659,835.43

0.00

0.00

2,217,773.46

0.00

0.00

0.00

282,658.41

79,544.76

79,858.80

568,491,699.48



24




EUR

GaranT 1

Note

Assets 67,520,053.35


Cost price 64,744,869.76


1,004,584.49



Cash at banks and liquidities 819,170.54

Interest receivable 951,428.56





9 0.00



Other assets 0.00






9 0.00







EUR

GaranT 2

60,763,761.12

58,957,715.00

58,620,801.39

336,913.61

0.00

0.00

1,175,739.83

627,315.61

0.00

2,990.68

0.00

0.00

0.00

0.00

0.00

242,043.34

0.00

0.00

20,596.88

0.00

0.00

0.00

154,933.79

7,617.96

58,894.71

60,521,717.78

EUR

GaranT 3

48,885,316.37

47,066,069.00

46,747,780.81

318,288.19

0.00

0.00

1,306,168.53

498,814.54

0.00

14,264.30

0.00

0.00

0.00

0.00

0.00

162,040.64

0.00

0.00

0.00

0.00

3,300.00

0.00

122,233.09

6,007.87

30,499.68

48,723,275.73

EUR

GaranT 4

42,213,885.74

39,944,423.00

40,707,557.00

(763,134.00)

0.00

0.00

1,647,212.15

622,250.59

0.00

0.00

0.00

0.00

0.00

0.00

0.00

261,662.68

0.00

0.00

88,052.21

0.00

31,350.00

0.00

106,667.99

5,244.41

30,348.07

41,952,223.06

EUR

GaranT 5

23,884,189.44

21,840,806.50

22,558,435.00

(717,628.50)

0.00

0.00

1,617,160.64

296,431.94

0.00

129,790.36

0.00

0.00

0.00

0.00

0.00

107,847.70

0.00

0.00

0.00

0.00

31,350.00

0.00

54,990.35

2,698.65

18,808.70

23,776,341.74


25



EUR

Advantage GlobalMultiasset (Note 1)

Note

Assets 582.43

Securities portfolio at market value 0.00

Cost price 0.00


0.00



Cash at banks and liquidities 582.43






9 0.00



Other assets 0.00

Liabilities 582.43





9 0.00



Accrued management fees 5 0.00

Accrued custody and administration fees 6 0.00

Other liabilities 582.43

Net asset value 0.00



26


Statement of Operations and Changes in Net Assets

Statement of Operations and Changes in NetAssets for the year ended 31.12.2010

EUR

Combined

Income 133,293,683.60

Net dividends 20,067,378.75

Net interest on bonds 111,488,457.13

Bank interest on cash account 248,156.76

Other financial income 205,946.05

Interest on swaps 124,878.58

Securities lending income 13 1,158,866.33

Expenses 36,603,636.73

Management fees 5 24,765,701.85

Custody & sub-custody fees 6 1,221,863.85

Taxe d'abonnement 4 729,053.08

Administrative expenses 6 798,660.70

Performance fees 7 403,129.21

Domiciliation fees 67,048.90

Professional and legal fees 1,323,617.06

Bank interest on overdrafts 23,479.21

Brokers fees 4,255,394.87

Interest on swaps 1,428,932.15

Other expenses 1,586,755.85

Net profit/(loss) from investments 96,690,046.87

Net realised profit/(loss) on:- sales of securities 2,962,919.47

- options 187,770.96

- forward foreign exchange contracts (15,299,014.34)

- financial futures (29,766,171.89)

- swaps (8,993,666.09)

- foreign exchange 21,087,563.78

Net realised profit/(loss) 66,869,448.76Movement in net unrealisedappreciation/(depreciation) on:- securities 152,306,691.83

- options (60,360.00)

- forward foreign exchange contracts (465,090.06)

- financial futures 884,752.11

- swaps 8,033,170.02

Increase/(decrease) in net assets as a result ofoperations 227,568,612.66

Dividends paid 15 (27,962,672.71)

Subscription capitalisation shares 1,659,401,013.55

Subscription distribution shares 126,324,183.97

Redemption capitalisation shares (1,845,599,035.74)

Redemption distribution shares (329,990,459.56)

Increase/(decrease) in net assets (190,258,357.83)

Net assets at the beginning of the year/period 3,979,382,983.13

Net assets at the end of the year/period 3,789,124,625.30

Note EUR

Euro EquitiesOpportunity

2,543,610.99

2,374,972.31

0.00

2,786.83

0.00

0.00

165,851.85

900,526.90

530,171.49

26,028.22

10,926.15

16,994.34

0.00

1,490.98

11,999.04

981.14

271,226.19

0.00

30,709.35

1,643,084.09

(3,746,408.26)

0.00

0.00

0.00

0.00

43,315.30

(2,060,008.87)

2,398,249.61

0.00

0.00

0.00

0.00

338,240.74

0.00

16,485,832.65

0.00

(28,976,601.79)

(4,320,084.22)

(16,472,612.62)

94,323,253.06

77,850,640.44

EUR

High ConvictionEurope

3,255,646.62

2,900,870.87

0.00

6,486.49

84,290.12

0.00

263,999.14

1,384,165.17

805,239.87

39,096.95

13,203.57

25,541.53

0.00

1,999.99

19,220.45

1,180.78

442,396.86

0.00

36,285.17

1,871,481.45

2,054,344.76

0.00

0.00

876,590.00

0.00

1,650,874.07

6,453,290.28

3,062,108.69

0.00

0.00

0.00

0.00

9,515,398.97

(1,912,359.92)

7,677,336.12

283.35

(7,011,767.43)

(4,917,184.20)

3,351,706.89

128,991,080.26

132,342,787.15

EUR

Central and EasternEuropean Equities

1,859,558.17

1,829,538.52

0.00

30,019.65

0.00

0.00

0.00

949,986.67

738,168.38

16,999.78

14,742.21

11,105.88

0.00

826.48

8,365.38

0.00

125,032.63

0.00

34,745.93

909,571.50

3,392,661.98

0.00

0.00

0.00

0.00

97,019.35

4,399,252.83

4,867,722.42

0.00

0.00

0.00

0.00

9,266,975.25

(230,314.77)

10,195,944.11

2,000,000.00

(13,585,009.72)

0.00

7,647,594.87

52,872,032.86

60,519,627.73

EUR

Italian Equities

683,144.25

680,687.69

0.00

2,456.56

0.00

0.00

0.00

322,996.13

185,809.93

10,988.74

3,967.42

7,178.63

0.00

727.87

5,921.92

0.00

93,055.91

0.00

15,345.71

360,148.12

(5,783,989.70)

0.00

0.00

(199,101.42)

0.00

0.00

(5,622,943.00)

2,593,054.92

0.00

0.00

(62,250.00)

0.00

(3,092,138.08)

0.00

574,707.21

0.00

(23,878,409.45)

0.00

(26,395,840.32)

49,459,802.91

23,063,962.59


27



EUR

German Equities

Income 1,840,738.01

Net dividends 1,836,154.22

Net interest on bonds 0.00


Other financial income 0.00

Interest on swaps 0.00

Securities lending income 13 0.00

Expenses 891,744.44

Management fees 5 736,506.75

Custody & sub-custody fees 6 26,823.02



Performance fees 7 0.00


Professional and legal fees 13,039.86

Bank interest on overdrafts 0.00

Brokers fees 49,698.67


Other expenses 32,052.57

Net profit/(loss) from investments 948,993.57

Net realised profit/(loss) on:- sales of securities (933,488.41)

- options 0.00

- forward foreign exchange contracts 0.00

- financial futures 0.00

- swaps 0.00

- foreign exchange 0.00

Net realised profit/(loss) 15,505.16Movement in net unrealisedappreciation/(depreciation) on:- securities 13,131,715.37

- options 0.00



- swaps 0.00


Dividends paid 15 0.00

Subscription capitalisation shares 3,361,683.98

Subscription distribution shares 0.00

Redemption capitalisation shares (1,380,349.90)

Redemption distribution shares 0.00

Increase/(decrease) in net assets 15,128,554.61

Net assets at the beginning of the year/period 82,364,658.27

Net assets at the end of the year/period 97,493,212.88

Note EUR


1,597,699.42

1,489,508.51

0.00

3,461.77

0.00

0.00

104,729.14

519,908.29

406,486.04

18,477.59

10,185.12

12,074.95

0.00

933.45

9,100.19

0.00

33,761.54

0.00

28,889.41

1,077,791.13

(488,833.97)

0.00

0.00

0.00

0.00

(320,091.24)

268,865.92

5,526,858.73

0.00

0.00

0.00

0.00

5,795,724.65

(814,649.16)

5,046,931.82

0.00

(4,388,530.04)

0.00

5,639,477.27

58,433,816.04

64,073,293.31

EUR

European ValueEquities

1,610,029.97

1,533,224.27

0.00

849.64

0.00

0.00

75,956.06

507,327.70

183,597.05

13,873.10

4,789.30

9,066.14

0.00

697.77

6,875.65

170.13

275,545.37

0.00

12,713.19

1,102,702.27

(376,449.44)

27,420.32

0.00

30,843.00

0.00

(1,231,106.82)

(446,590.67)

1,217,510.76

0.00

(67,932.02)

0.00

0.00

702,988.07

0.00

10,776,762.26

0.00

(10,677,587.55)

0.00

802,162.78

45,432,169.15

46,234,331.93

EUR

Capital MarketsStrategies

4,008,119.48

3,435,938.51

221,333.36

16,696.16

3,189.39

0.00

330,962.06

3,014,773.60

904,099.26

51,203.12

17,548.48

33,433.15

0.00

2,877.01

25,804.20

3,779.47

1,918,740.29

0.00

57,288.62

993,345.88

5,582,641.96

160,350.64

(4,219,352.90)

(12,837,059.58)

0.00

4,649,782.17

(5,670,291.83)

4,534,658.71

(60,360.00)

564,131.28

639,975.43

0.00

8,113.59

(2,621,424.79)

1,270,557.42

0.00

(22,192,196.19)

0.00

(23,534,949.97)

185,415,808.43

161,880,858.46

EUR

Small & Mid CapEuro Equities

2,700,713.16

2,479,895.40

0.00

3,449.68

0.00

0.00

217,368.08

823,435.26

584,031.98

30,820.32

10,655.39

20,148.48

0.00

1,567.72

14,911.71

1,307.41

132,921.52

0.00

27,070.73

1,877,277.90

2,855,520.54

0.00

0.00

0.00

0.00

(123,339.62)

4,609,458.82

19,052,017.74

0.00

0.00

0.00

0.00

23,661,476.56

(1,940,591.60)

1,365,538.30

17,176,896.37

(287,616.42)

(15,337,458.99)

24,638,244.22

84,308,950.73

108,947,194.95

Statement of Operations and Changes in Net Assets for the year ended 31.12.2010


28




EUR

North AmericanEquities Fund of

Funds

Income 17,425.40

Net dividends 17,362.82

Net interest on bonds 0.00

Bank interest on cash account 62.58




Expenses 224,081.81






Domiciliation fees 370.39






Net profit/(loss) from investments (206,656.41)


- options 0.00



- swaps 0.00


Net realised profit/(loss) 3,085,562.53Movement in net unrealisedappreciation/(depreciation) on:- securities 1,294,858.93

- options 0.00



- swaps 0.00





Redemption capitalisation shares (843,245.67)





Note EUR

Futur

675,096.07

674,480.03

0.00

616.04

0.00

0.00

0.00

207,681.02

156,729.61

9,536.94

3,281.04

6,232.01

0.00

464.31

4,638.28

125.41

17,754.70

0.00

8,918.72

467,415.05

(1,465,551.59)

0.00

0.00

0.00

0.00

(145,836.45)

(1,143,972.99)

4,665,746.10

0.00

0.00

0.00

0.00

3,521,773.11

(441,000.00)

1,837,603.07

441,000.00

(204,938.93)

0.00

5,154,437.25

29,088,919.97

34,243,357.22

EUR

Euro Bonds

15,098,677.08

0.00

15,083,462.07

15,215.01

0.00

0.00

0.00

3,160,121.60

2,548,032.24

131,171.11

85,165.43

85,822.50

0.00

6,617.34

62,541.40

8.06

74,813.21

0.00

165,950.31

11,938,555.48

10,880,737.17

0.00

0.00

(5,195,270.48)

0.00

0.00

17,624,022.17

(13,704,375.58)

0.00

0.00

337,655.96

0.00

4,257,302.55

(2,954,084.39)

253,568,512.26

2,089,179.54

(166,972,190.48)

(20,035.03)

89,968,684.45

354,228,097.66

444,196,782.11

EUR

Euro Bonds 1/3Years

4,193,454.05

0.00

4,189,123.79

4,330.26

0.00

0.00

0.00

619,570.41

371,776.73

45,160.75

21,396.11

29,574.41

0.00

2,007.51

20,846.33

0.00

34,519.36

0.00

94,289.21

3,573,883.64

791,618.27

0.00

0.00

(1,420,095.90)

0.00

0.00

2,945,406.01

(1,940,060.82)

0.00

0.00

9,550.16

0.00

1,014,895.35

(527,721.44)

133,539,023.30

5,731,871.19

(71,158,185.30)

(5,151,316.43)

63,448,566.67

103,913,661.70

167,362,228.37

EUR

Euro Bonds 3/5Years

1,972,626.10

0.00

1,970,508.87

2,117.23

0.00

0.00

0.00

267,533.15

162,476.37

19,355.54

9,519.03

12,682.57

0.00

883.89

9,152.74

0.00

15,555.69

0.00

37,907.32

1,705,092.95

1,154,061.14

0.00

0.00

(203,019.33)

0.00

0.00

2,656,134.76

(1,669,577.15)

0.00

0.00

39,027.11

0.00

1,025,584.72

(112,000.00)

44,393,536.75

5,592,450.00

(32,433,701.24)

(5,232,650.00)

13,233,220.23

50,644,940.64

63,878,160.87


29



EUR

Euro Bonds 5/7Years

Income 64,078.20

Net dividends 0.00

Net interest on bonds 64,078.20





Expenses 7,848.66


Custody & sub-custody fees 6 604.15

Taxe d'abonnement 4 357.26

Administrative expenses 6 395.07



Professional and legal fees 286.28


Brokers fees 278.67




Net realised profit/(loss) on:- sales of securities 49,308.53

- options 0.00



- swaps 0.00


Net realised profit/(loss) 106,887.56Movement in net unrealisedappreciation/(depreciation) on:- securities (96,778.11)

- options 0.00



- swaps 0.00

Increase/(decrease) in net assets as a result ofoperations 13,499.77


Subscription capitalisation shares 899,530.06




Increase/(decrease) in net assets 718,792.93



Note EUR

Euro Bonds 10+Years

121,749.39

0.00

121,749.39

0.00

0.00

0.00

0.00

12,804.57

8,118.38

872.51

592.03

570.08

0.00

53.91

435.49

0.00

445.67

0.00

1,716.50

108,944.82

84,422.05

0.00

0.00

8,469.23

0.00

0.00

201,836.10

(189,619.05)

0.00

0.00

2,928.11

0.00

15,145.16

0.00

2,313,920.87

0.00

(2,529,132.28)

0.00

(200,066.25)

3,332,479.85

3,132,413.60

EUR

US Bonds

683,177.43

0.00

679,124.05

0.00

4,053.38

0.00

0.00

99,677.61

74,975.91

5,094.07

2,805.30

3,323.99

0.00

374.11

2,641.64

12.82

1,606.26

0.00

8,843.51

583,499.82

350,576.65

0.00

(13,740.75)

36,910.18

0.00

197,012.85

1,154,258.75

1,082,751.80

0.00

0.00

(134,715.22)

0.00

2,102,295.33

0.00

6,065,006.41

0.00

(16,944,157.29)

0.00

(8,776,855.55)

22,226,530.54

13,449,674.99

EUR

Central and EasternEuropean Bonds

3,425,930.03

0.00

3,406,890.65

19,039.38

0.00

0.00

0.00

582,289.77

486,255.11

23,252.99

12,245.50

15,205.73

0.00

1,238.64

11,426.17

0.00

859.78

0.00

31,805.85

2,843,640.26

1,038,357.67

0.00

514.02

0.00

0.00

1,364,030.11

5,246,542.06

648,070.63

0.00

0.00

0.00

0.00

5,894,612.69

(1,630,193.93)

13,961,074.97

23,571.57

(13,478,737.61)

(3,999,999.90)

770,327.79

72,608,288.96

73,378,616.75

EUR

Euro CorporateBonds

13,809,722.71

0.00

13,800,963.60

6,425.32

2,333.79

0.00

0.00

2,148,682.41

1,756,531.58

89,773.32

61,188.66

58,816.45

0.00

4,163.78

44,840.43

0.00

5,942.60

2,222.23

125,203.36

11,661,040.30

4,430,924.62

0.00

0.00

(82,466.99)

479,673.83

1,231.36

16,490,403.12

(5,198,085.83)

0.00

0.00

(88,845.00)

0.00

11,203,472.29

(2,890,885.99)

201,990,420.03

8,452,524.85

(151,960,318.50)

(41,112,301.59)

25,682,911.09

244,255,362.30

269,938,273.39



30




EUR

Short Term EuroCorporate Bonds

Income 4,636,874.06

Net dividends 0.00






Expenses 803,233.45














- options 0.00


- financial futures (86,850.00)

- swaps 0.00


Net realised profit/(loss) 3,163,619.86Movement in net unrealisedappreciation/(depreciation) on:- securities (1,550,516.87)

- options 0.00



- swaps 0.00


Dividends paid 15 (922.40)


Subscription distribution shares 79,510.35


Redemption distribution shares (59,254.90)




Note EUR

European High YieldBonds

11,854,174.34

0.00

11,842,869.57

6,549.27

3,366.61

1,388.89

0.00

1,272,434.73

1,047,748.42

47,818.89

27,464.14

31,255.61

0.00

2,591.72

24,021.03

1,809.37

2,578.80

32,614.16

54,532.59

10,581,739.61

4,111,414.55

0.00

(380,448.85)

(40,160.00)

(645,146.19)

674,007.05

14,301,406.17

4,417,615.67

0.00

120,322.78

0.00

216,540.92

19,055,885.54

(3,934,060.80)

25,944,949.82

8,019,993.72

(28,644,656.54)

(37,521,003.95)

(17,078,892.21)

161,752,234.86

144,673,342.65

EUR

Euro ConvertibleBonds

3,244,790.85

0.00

3,231,017.33

13,773.52

0.00

0.00

0.00

694,456.25

542,791.40

34,939.76

17,524.47

22,841.75

0.00

1,826.68

17,625.61

3,234.67

14,501.93

0.00

39,169.98

2,550,334.60

2,432,867.63

0.00

0.00

693,700.00

0.00

301,499.09

5,978,401.32

(5,850,462.06)

0.00

142,180.76

294,000.00

(131,344.26)

432,775.76

(1,747,008.85)

30,870,476.83

7,367,197.78

(35,623,940.81)

(5,860,990.02)

(4,561,489.31)

110,875,241.25

106,313,751.94

EUR

Euro InflationLinked Bonds

1,746,725.20

0.00

1,745,825.07

900.13

0.00

0.00

0.00

410,031.28

304,438.56

26,792.54

13,006.65

17,505.77

0.00

1,457.01

13,248.90

0.00

1,941.88

0.00

31,639.97

1,336,693.92

(879,131.58)

0.00

0.00

(64,500.00)

0.00

0.00

393,062.34

(1,469,767.59)

0.00

0.00

0.00

0.00

(1,076,705.25)

(635,388.06)

14,600,744.58

1,054,632.17

(15,615,379.71)

(38,839.77)

(1,710,936.04)

89,684,318.80

87,973,382.76

EUR

Tactical BondAllocation

564,541.44

0.00

563,699.29

842.15

0.00

0.00

0.00

145,514.45

106,654.38

5,444.24

2,351.83

3,571.85

2,465.88

1,406.70

12,300.71

0.00

1,946.11

750.00

8,622.75

419,026.99

(10,642.94)

0.00

54,631.70

(108,006.13)

1,092.65

(27,106.72)

328,995.55

(552,716.04)

0.00

3,761.40

0.00

0.00

(219,959.09)

0.00

36,419,419.18

7,953.78

(4,205,011.28)

0.00

32,002,402.59

0.00

32,002,402.59


31



EUR

Absolute ReturnMulti Strategies

Income 4,706,173.38

Net dividends 814,745.60






Expenses 2,200,362.43





Performance fees 7 360,223.75









- options 0.00

- forward foreign exchange contracts (4,412,764.42)

- financial futures (2,722,347.58)

- swaps (2,406,313.59)



- options 0.00

- forward foreign exchange contracts (539,404.59)

- financial futures 1,690,137.94

- swaps 2,058,289.24


Dividends paid 15 (1,333,897.94)


Subscription distribution shares 38,280,260.00






Note EUR

Absolute ReturnCredit Strategies

12,359,847.25

0.00

12,228,221.22

25,429.44

3,750.00

102,446.59

0.00

6,298,896.61

5,895,235.38

119,151.16

44,314.99

77,928.53

0.00

5,557.61

57,527.81

504.44

1,547.60

0.00

97,129.09

6,060,950.64

(19,918,289.57)

0.00

(313,009.38)

8,482.00

(28,958.48)

(2,165,202.47)

(16,356,027.26)

127,836,026.70

0.00

60,268.81

0.00

73,479.62

111,613,747.87

(4,236,168.67)

7,471.09

0.00

(3,319,673.30)

(6,543,227.25)

97,522,149.74

325,061,035.93

422,583,185.67

EUR

Absolute ReturnGlobal Macro

Strategies

6,448,538.49

0.00

6,413,410.44

25,138.70

0.00

9,989.35

0.00

2,060,327.50

894,895.40

47,151.46

30,662.71

30,668.53

26,247.88

4,213.92

37,576.44

936.50

52,362.33

859,730.98

75,881.35

4,388,210.99

4,657,865.23

0.00

(7,330,631.36)

(3,201,174.79)

(6,394,014.31)

9,417,385.22

1,537,640.98

(5,915,847.80)

0.00

(757,496.65)

(1,463,727.67)

5,816,204.50

(783,226.64)

0.00

69,477,193.26

30,006,859.30

(190,067,525.30)

(141,355,482.37)

(232,722,181.75)

287,595,406.02

54,873,224.27

EUR

Absolute ReturnInterest Rate

Strategies

310,760.59

0.00

307,449.43

3,311.16

0.00

0.00

0.00

179,862.36

119,614.33

7,323.23

2,596.74

4,762.72

14,191.70

678.81

4,210.39

815.41

11,589.15

0.00

14,079.88

130,898.23

(229,775.62)

0.00

322,179.15

(67,873.63)

0.00

(22,174.57)

133,253.56

(53,168.20)

0.00

9,078.17

246.44

0.00

89,409.97

0.00

7,295,810.46

0.00

(37,178,987.07)

0.00

(29,793,766.64)

43,601,082.43

13,807,315.79

EUR

Euro Liquidity

20,326,579.54

0.00

20,303,645.73

22,933.81

0.00

0.00

0.00

2,552,336.79

1,464,068.11

224,465.00

142,774.53

146,586.22

0.00

13,121.10

116,432.33

3.49

142,792.54

0.00

302,093.47

17,774,242.75

(13,068,116.83)

0.00

993,608.45

(5,107,129.37)

0.00

(655,732.46)

(63,127.46)

1,504,225.63

0.00

0.00

(31,500.00)

0.00

1,409,598.17

0.00

507,509,486.67

0.00

(826,135,571.78)

0.00

(317,216,486.94)

885,708,186.42

568,491,699.48



32




EUR

GaranT 1

Income 2,058,291.28

Net dividends 0.00






Expenses 1,217,674.40









Brokers fees 309.54




Net realised profit/(loss) on:- sales of securities 226,643.12

- options 0.00



- swaps 0.00



- options 0.00



- swaps 0.00

Increase/(decrease) in net assets as a result ofoperations 120,626.63









Note EUR

GaranT 2

2,147,456.22

0.00

2,049,406.92

586.54

97,462.76

0.00

0.00

888,281.17

623,399.14

17,806.02

29,326.89

11,643.80

0.00

869.30

181,816.04

0.00

178.50

0.00

23,241.48

1,259,175.05

626,783.00

0.00

0.00

(54,800.00)

0.00

0.00

1,831,158.05

(2,051,030.00)

0.00

0.00

(24,250.00)

0.00

(244,121.95)

0.00

11,392,936.08

0.00

(3,898,816.07)

0.00

7,249,998.06

53,271,719.72

60,521,717.78

EUR

GaranT 3

1,428,601.11

0.00

1,420,171.68

929.43

7,500.00

0.00

0.00

626,390.01

472,605.90

13,499.77

22,544.25

8,829.54

0.00

639.16

86,570.45

0.00

1,016.50

0.00

20,684.44

802,211.10

270,074.44

0.00

0.00

(93,091.19)

0.00

0.00

979,194.35

(841,025.94)

0.00

0.00

(108,650.00)

0.00

29,518.41

0.00

14,489,015.45

0.00

(3,825,147.54)

0.00

10,693,386.32

38,029,889.41

48,723,275.73

EUR

GaranT 4

1,149,558.39

0.00

1,148,544.09

1,014.30

0.00

0.00

0.00

520,659.19

383,809.13

10,960.75

18,657.29

7,173.11

0.00

464.63

81,689.30

35.37

1,804.97

0.00

16,064.64

628,899.20

(156,959.15)

0.00

0.00

(122,639.44)

0.00

0.00

349,300.61

(649,537.50)

0.00

0.00

(150,150.00)

0.00

(450,386.89)

0.00

19,422,212.36

0.00

(3,780,087.81)

0.00

15,191,737.66

26,760,485.40

41,952,223.06

EUR

GaranT 5

147,405.09

0.00

145,666.07

1,739.02

0.00

0.00

0.00

85,859.92

57,736.34

1,673.80

2,972.04

1,069.19

0.00

505.04

18,989.27

0.00

487.50

0.00

2,426.74

61,545.17

(25,955.00)

0.00

0.00

46,190.55

0.00

0.00

81,780.72

(717,628.50)

0.00

0.00

(31,350.00)

0.00

(667,197.78)

0.00

24,692,131.89

0.00

(248,592.37)

0.00

23,776,341.74

0.00

23,776,341.74


33



EUR

Advantage GlobalMultiasset (Note 1)

Income 2,169.84

Net dividends 0.00

Net interest on bonds 2,169.84





Expenses 2,161.02


Custody & sub-custody fees 6 22.82

Taxe d'abonnement 4 25.17

Administrative expenses 6 15.19



Professional and legal fees 23.92


Brokers fees 54.02


Other expenses 519.23

Net profit/(loss) from investments 8.82


- options 0.00



- swaps 0.00


Net realised profit/(loss) (11,298.91)Movement in net unrealisedappreciation/(depreciation) on:- securities 0.00

- options 0.00



- swaps 0.00

Increase/(decrease) in net assets as a result ofoperations (11,298.91)


Subscription capitalisation shares 220,830.93




Increase/(decrease) in net assets 0.00

Net assets at the beginning of the year/period 0.00

Net assets at the end of the year/period 0.00

Note



34



Key Figures and Changes in number of shares

Euro Equities Opportunity

Class A

Capitalisation shares343,046.072

105.83

472,497.121

104.07

819,650.593

82.67

Number of shares

Net asset value per share

Distribution shares0.000

0.00

0.00

45,516.254

102.43

1.53

0.000

0.00

0.00

Number of shares


Dividend per share (Note 15)

EUR EUR EUR

Class B


89.82

325,402.595

88.59

219,372.912

70.59

Number of shares


EUR EUR EUR

Class C


76.03

40,055.586

75.15

21,400.586

60.01

Number of shares


EUR EUR EUR

Class D


119.92

55,133.390

119.59

28,874.972

96.37

Number of shares


EUR EUR EUR

Class E


115.72

17,726.088

115.98

10,582.751

93.88

Number of shares


EUR EUR EUR

Total Net Assets 77,850,640.44 94,323,253.06 88,310,263.78

31.12.200831.12.200931.12.2010Year ending at:

EUR

Class ACapitalisation shares 472,497.121 102,772.287 232,223.336 343,046.072

Distribution shares 45,516.254 0.000 45,516.254 0.000

Class BCapitalisation shares 325,402.595 32,984.043 29,768.815 328,617.823

Class CCapitalisation shares 40,055.586 24,439.000 0.000 64,494.586

Class DCapitalisation shares 55,133.390 11,779.562 16,774.547 50,138.405

Class ECapitalisation shares 17,726.088 155.877 8,258.850 9,623.115

Shares issued Shares redeemed Sharesoutstanding at

31.12.2010

Sharesoutstanding at

01.01.2010

35


High Conviction Europe

Class A


94.48

55,683.936

87.91

377,879.936

73.42

Number of shares


Distribution shares1,256,564.220

85.89

1.50

1,314,813.749

81.40

0.91

1,771,346.439

68.80

1.85

Number of shares



EUR EUR EUR

Class B


86.17

132,378.319

80.43

182,650.039

67.38

Number of shares


EUR EUR EUR

Class C


108.52

50,851.593

101.50

92,046.572

85.20

Number of shares


EUR EUR EUR

Class D


110.33

8,419.753

104.04

10,889.376

88.07

Number of shares


EUR EUR EUR

Class E


106.37

3,205.351

100.81

4,753.644

85.76

Number of shares



103.61

0.47

602.862

98.67

1.10

966.306

84.93

0.85

Number of shares



EUR EUR EUR

Total Net Assets 132,342,787.15 128,991,080.26 171,200,842.67

31.12.200831.12.200931.12.2010Year ending at:

EUR


Class ACapitalisation shares 55,683.936 0.000 0.000 55,683.936

Distribution shares 1,314,813.749 0.000 58,249.529 1,256,564.220


Class CCapitalisation shares 50,851.593 23,115.000 10,995.024 62,971.569

Class DCapitalisation shares 8,419.753 851.796 4,621.541 4,650.008


Distribution shares 602.862 2.896 0.000 605.758


31.12.2010


01.01.2010

Central and Eastern European Equities

Class A


273.41

24,538.541

229.63

25,704.492

167.11

Number of shares


EUR EUR EUR

Total Net Assets 60,519,627.73 52,872,032.86 46,546,436.83

31.12.200831.12.200931.12.2010Year ending at:

EUR

36




Class A

Distribution shares42,415.243

252.50

5.43

34,223.692

216.78

0.00

82,360.088

157.75

6.40

Number of shares



EUR EUR EUR

Class B


283.03

16,015.370

238.44

18,298.971

174.07

Number of shares


EUR EUR EUR

Class C


194.95

70,767.107

164.56

49,764.107

120.36

Number of shares


EUR EUR EUR

Class D


234.22

85,972.375

199.48

92,643.347

147.22

Number of shares


EUR EUR EUR

Class E


226.40

37,184.281

193.75

44,858.938

143.66

Number of shares


EUR EUR EUR

Total Net Assets 60,519,627.73 52,872,032.86 46,546,436.83

31.12.200831.12.200931.12.2010Year ending at:

EUR

Class ACapitalisation shares 24,538.541 0.000 7,821.000 16,717.541

Distribution shares 34,223.692 8,191.551 0.000 42,415.243




Class ECapitalisation shares 37,184.281 2,315.532 15,840.796 23,659.017


31.12.2010


01.01.2010

Italian Equities

Class A


88.97

372,186.557

94.10

546,529.046

77.36

Number of shares


EUR EUR EUR

Class B


100.05

94,958.926

106.17

155,533.197

87.63

Number of shares


EUR EUR EUR

Class D


85.82

38,046.447

92.09

41,409.441

76.79

Number of shares


EUR EUR EUR

Total Net Assets 23,063,962.59 49,459,802.91 59,914,701.47

31.12.200831.12.200931.12.2010Year ending at:

EUR

37


Italian Equities

Class E


83.20

9,507.984

89.63

10,982.919

75.06

Number of shares


EUR EUR EUR

Total Net Assets 23,063,962.59 49,459,802.91 59,914,701.47

31.12.200831.12.200931.12.2010Year ending at:

EUR







31.12.2010


01.01.2010

German Equities

Class A

Capitalisation shares0.000

0.00

0.000

0.00

400,000.000

65.42

Number of shares


EUR EUR EUR

Class B


92.19

873,500.000

79.48

237,500.000

65.21

Number of shares


EUR EUR EUR

Class D


89.35

162,591.605

77.86

41,385.977

64.59

Number of shares


EUR EUR EUR

Class E


100.26

3,180.017

87.79

104.621

73.16

Number of shares


EUR EUR EUR

Total Net Assets 97,493,212.88 82,364,658.27 44,336,095.09

31.12.200831.12.200931.12.2010Year ending at:

EUR

Class ACapitalisation shares 0.000 0.000 0.000 0.000

Class BCapitalisation shares 873,500.000 0.000 0.000 873,500.000


Class ECapitalisation shares 3,180.017 7,114.516 141.133 10,153.400


31.12.2010


01.01.2010

38




Class A


201.84

3.52

231,434.420

186.41

3.86

231,434.420

157.54

7.81

Number of shares



EUR EUR EUR

Class B


0.00

0.000

0.00

1,468.581

74.75

Number of shares


EUR EUR EUR

Class C


108.74

43,514.104

99.06

24,746.000

82.33

Number of shares


EUR EUR EUR

Class D


175.20

51,583.178

161.08

50,039.639

135.09

Number of shares


EUR EUR EUR

Class E


179.36

16,137.074

165.67

16,356.075

139.60

Number of shares


EUR EUR EUR

Total Net Assets 64,073,293.31 58,433,816.04 47,651,435.20

31.12.200831.12.200931.12.2010Year ending at:

EUR

Class ADistribution shares 231,434.420 0.000 0.000 231,434.420

Class BCapitalisation shares 0.000 0.000 0.000 0.000

Class CCapitalisation shares 43,514.104 25,869.000 682.104 68,701.000




31.12.2010


01.01.2010

European Value Equities

Class A


128.58

350,416.000

126.61

350,416.000

98.17

Number of shares


EUR EUR EUR

Class D


71.78

8,976.178

71.61

940.191

56.28

Number of shares


EUR EUR EUR

Class E


69.49

6,055.727

69.67

405.019

55.03

Number of shares


EUR EUR EUR

Total Net Assets 46,234,331.93 45,432,169.15 34,475,283.96

31.12.200831.12.200931.12.2010Year ending at:

EUR

39






31.12.2010


01.01.2010


Capital Markets Strategies

Class A


125.29

115,858.799

124.72

459,531.788

126.93

Number of shares



113.37

1.97

1,330,672.482

114.88

3.20

1,519,589.836

120.19

5.04

Number of shares



EUR EUR EUR

Class B


110.15

50,706.773

110.10

62,585.092

112.55

Number of shares


EUR EUR EUR

Class C


121.32

16,794.072

121.51

37,962.991

124.43

Number of shares


EUR EUR EUR

Class D


111.08

72,518.635

112.16

46,562.749

115.83

Number of shares


EUR EUR EUR

Class E


106.14

21,812.465

107.64

12,676.371

111.72

Number of shares


EUR EUR EUR

Total Net Assets 161,880,858.46 185,415,808.43 259,538,761.29

31.12.200831.12.200931.12.2010Year ending at:

EUR


Distribution shares 1,330,672.482 0.000 0.000 1,330,672.482






31.12.2010


01.01.2010

40



Small & Mid Cap Euro Equities

Class A


85.61

1.51

1,210,160.000

69.10

1.15

1,209,660.000

49.61

1.21

Number of shares



EUR EUR EUR

Class B


106.12

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Class C


89.04

1,000.000

70.89

1,000.000

50.24

Number of shares


EUR EUR EUR

Class D


86.90

6,209.073

69.77

2,388.385

49.86

Number of shares


EUR EUR EUR

Class E


85.36

2,645.518

68.88

2,090.221

49.48

Number of shares


EUR EUR EUR

Total Net Assets 108,947,194.95 84,308,950.73 60,288,551.41

31.12.200831.12.200931.12.2010Year ending at:

EUR

Class ADistribution shares 1,210,160.000 244,314.175 205,125.772 1,249,348.403


Class CCapitalisation shares 1,000.000 0.000 0.000 1,000.000




31.12.2010


01.01.2010

North American Equities Fund of Funds

Class A


85.25

314,000.000

70.75

356,000.000

54.06

Number of shares


EUR EUR EUR

Class C


83.04

1,000.000

69.40

1,000.000

53.40

Number of shares


EUR EUR EUR

Class D


81.42

5,116.904

68.48

2,351.254

53.01

Number of shares


EUR EUR EUR

Total Net Assets 27,421,793.70 22,716,223.34 19,484,322.55

31.12.200831.12.200931.12.2010Year ending at:

EUR

41



Class E


112.01

846.289

94.66

836.945

73.65

Number of shares


EUR EUR EUR

Total Net Assets 27,421,793.70 22,716,223.34 19,484,322.55

31.12.200831.12.200931.12.2010Year ending at:

EUR


Class ADistribution shares 314,000.000 0.000 124,000.000 190,000.000



Class ECapitalisation shares 846.289 2,958.805 900.250 2,904.844


31.12.2010


01.01.2010

Futur

Class A


90.45

1.26

350,000.000

82.57

1.27

350,000.000

65.61

1.41

Number of shares



EUR EUR EUR

Class B


94.44

5.000

85.29

5.000

66.90

Number of shares


EUR EUR EUR

Class C


89.88

10.000

81.28

10.000

63.86

Number of shares


EUR EUR EUR

Class D


90.90

2,202.497

83.13

184.320

66.06

Number of shares


EUR EUR EUR

Class E


100.54

39.850

92.12

39.850

73.33

Number of shares


EUR EUR EUR

Total Net Assets 34,243,357.22 29,088,919.97 22,979,272.67

31.12.200831.12.200931.12.2010Year ending at:

EUR

Class ADistribution shares 350,000.000 5,173.141 0.000 355,173.141

Class BCapitalisation shares 5.000 18,800.000 0.000 18,805.000

Class CCapitalisation shares 10.000 100.000 0.000 110.000


31.12.2010


01.01.2010

42




Class ECapitalisation shares 39.850 0.000 0.000 39.850


31.12.2010


01.01.2010

Euro Bonds

Class A


146.25

107,138.000

143.61

171,880.000

136.00

Number of shares



105.71

2.61

1,131,833.097

106.26

6.84

1,179,416.936

107.13

6.00

Number of shares



EUR EUR EUR

Class B

Capitalisation shares1,110,400.102

141.73

811,499.807

139.49

539,912.670

132.41

Number of shares


EUR EUR EUR

Class C


116.97

194,044.234

115.32

293,509.387

109.66

Number of shares


EUR EUR EUR

Class D


121.12

649,141.983

120.07

442,623.582

114.80

Number of shares



121.12

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Class E


119.32

42,686.765

118.56

64,081.882

113.60

Number of shares


EUR EUR EUR

Total Net Assets 444,196,782.11 354,228,097.66 311,494,924.67

31.12.200831.12.200931.12.2010Year ending at:

EUR


Distribution shares 1,131,833.097 18,594.922 0.000 1,150,428.019

Class BCapitalisation shares 811,499.807 1,189,028.740 890,128.445 1,110,400.102






31.12.2010


01.01.2010

43


Euro Bonds 1/3 Years

Class A


108.36

132,306.000

107.17

101,972.000

101.29

Number of shares



101.46

2.11

250,000.000

102.41

4.75

250,000.000

101.30

0.00

Number of shares



EUR EUR EUR

Class B


108.15

502,471.405

107.07

350,347.246

101.29

Number of shares


EUR EUR EUR

Class D


103.52

81,688.261

102.88

0.000

0.00

Number of shares



102.65

0.85

0.000

0.00

0.00

0.000

0.00

0.00

Number of shares



EUR EUR EUR

Class E


103.04

18,827.991

102.62

0.000

0.00

Number of shares


EUR EUR EUR

Total Net Assets 167,362,228.37 103,913,661.70 71,138,370.97

31.12.200831.12.200931.12.2010Year ending at:

EUR



Distribution shares 250,000.000 55,145.336 50,000.000 255,145.336

Class BCapitalisation shares 502,471.405 1,041,953.324 531,549.806 1,012,874.923





31.12.2010


01.01.2010


Class A


111.43

70,784.000

109.01

20,128.000

102.00

Number of shares



109.25

2.24

50,000.000

104.17

4.83

50,000.000

102.00

0.00

Number of shares



EUR EUR EUR

Class B


111.22

338,129.463

108.91

131,084.001

101.99

Number of shares


EUR EUR EUR

Total Net Assets 63,878,160.87 50,644,940.64 20,522,520.67

31.12.200831.12.200931.12.2010Year ending at:

EUR

44




Class D


105.58

5,950.924

103.76

0.000

0.00

Number of shares


EUR EUR EUR

Class E


105.40

2,682.699

103.77

0.000

0.00

Number of shares


EUR EUR EUR

Total Net Assets 63,878,160.87 50,644,940.64 20,522,520.67

31.12.200831.12.200931.12.2010Year ending at:

EUR







31.12.2010


01.01.2010


Class A


111.29

15,000.000

109.62

15,000.000

102.88

Number of shares


EUR EUR EUR

Class D


103.11

561.723

102.03

0.000

0.00

Number of shares


EUR EUR EUR

Class E


101.46

223.633

100.56

0.000

0.00

Number of shares


EUR EUR EUR

Total Net Assets 2,442,928.64 1,724,135.71 1,543,143.80

31.12.200831.12.200931.12.2010Year ending at:

EUR


Class DCapitalisation shares 561.723 7,968.591 1,097.979 7,432.335



31.12.2010


01.01.2010

45


Euro Bonds 10+ Years

Class A


112.99

15,000.000

110.84

15,000.000

105.77

Number of shares


EUR EUR EUR

Class B


0.00

15,000.000

104.68

30,865.542

99.94

Number of shares


EUR EUR EUR

Class D


108.08

906.235

106.53

0.000

0.00

Number of shares


EUR EUR EUR

Class E


107.82

29.955

106.38

0.000

0.00

Number of shares


EUR EUR EUR

Total Net Assets 3,132,413.60 3,332,479.85 4,671,136.29

31.12.200831.12.200931.12.2010Year ending at:

EUR



Class BCapitalisation shares 15,000.000 937.857 15,937.857 0.000


Class ECapitalisation shares 29.955 1,294.069 1,155.689 168.335


31.12.2010


01.01.2010

US Bonds

Class A


106.61

216,034.116

94.08

316,034.116

97.21

Number of shares


EUR EUR EUR

Class B


0.00

0.000

0.00

56,000.000

91.79

Number of shares


EUR EUR EUR

Class D


115.50

12,929.493

103.03

13,229.203

107.62

Number of shares


EUR EUR EUR

Class E


114.43

5,578.008

102.15

6,335.341

106.75

Number of shares


EUR EUR EUR

Total Net Assets 13,449,674.99 22,226,530.54 37,960,589.83

31.12.200831.12.200931.12.2010Year ending at:

EUR

46








31.12.2010


01.01.2010

Central and Eastern European Bonds

Class A


153.54

55,224.205

141.93

55,224.205

135.48

Number of shares



106.57

3.69

478,588.062

101.87

2.50

478,588.062

99.70

10.40

Number of shares



EUR EUR EUR

Class B


147.41

20,103.639

136.42

12,184.310

130.41

Number of shares


EUR EUR EUR

Class C


151.36

5,044.431

140.38

73,983.495

134.36

Number of shares


EUR EUR EUR

Class D


151.02

61,453.836

140.99

168,519.416

135.91

Number of shares



150.13

0.74

0.000

0.00

0.00

0.000

0.00

0.00

Number of shares



EUR EUR EUR

Class E


149.18

27,960.474

139.54

39,789.122

134.77

Number of shares


EUR EUR EUR

Total Net Assets 73,378,616.75 72,608,288.96 94,992,581.86

31.12.200831.12.200931.12.2010Year ending at:

EUR


Distribution shares 478,588.062 0.000 36,827.664 441,760.398






31.12.2010


01.01.2010

47




31.12.2010


01.01.2010


Euro Corporate Bonds

Class A


156.00

323,235.149

149.50

470,137.669

130.80

Number of shares



114.36

4.70

706,802.188

114.03

3.84

1,076,714.669

103.15

2.95

Number of shares



EUR EUR EUR

Class B


116.21

316,011.446

111.65

197,403.429

97.97

Number of shares


EUR EUR EUR

Class C


113.40

250,907.000

109.11

1,305.364

95.86

Number of shares



105.68

4.06

129,140.117

105.53

3.56

0.000

0.00

0.00

Number of shares



EUR EUR EUR

Class D


123.03

293,170.296

119.04

22,275.475

105.19

Number of shares



121.34

1.54

0.000

0.00

0.00

0.000

0.00

0.00

Number of shares



EUR EUR EUR

Class E


121.34

35,273.771

117.67

9,888.902

104.21

Number of shares


EUR EUR EUR

Total Net Assets 269,938,273.39 244,255,362.30 195,393,868.44

31.12.200831.12.200931.12.2010Year ending at:

EUR









31.12.2010


01.01.2010

48





31.12.2010


01.01.2010

Short Term Euro Corporate Bonds

Class A


105.43

150,225.000

102.91

0.000

0.00

Number of shares


EUR EUR EUR

Class B


105.10

333,403.165

102.81

0.000

0.00

Number of shares


EUR EUR EUR

Class C


103.87

72,726.000

101.79

0.000

0.00

Number of shares


EUR EUR EUR

Class D


102.13

76,205.974

100.67

0.000

0.00

Number of shares



100.94

1.18

0.000

0.00

0.00

0.000

0.00

0.00

Number of shares



EUR EUR EUR

Class E


101.97

15,026.050

100.73

0.000

0.00

Number of shares


EUR EUR EUR

Total Net Assets 125,510,154.76 66,323,849.25 0.00

31.12.200831.12.200931.12.2010Year ending at:

EUR








31.12.2010


01.01.2010

49


European High Yield Bonds

Class A


157.57

198,158.386

138.67

358,562.386

93.08

Number of shares



120.68

6.18

884,273.816

111.67

6.30

1,294,077.342

79.22

4.91

Number of shares



EUR EUR EUR

Class B


112.68

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Class C


121.20

17.864

106.88

17.864

71.90

Number of shares


EUR EUR EUR

Class D


157.51

214,125.748

139.97

222,163.234

94.87

Number of shares



156.19

1.14

0.000

0.00

0.00

0.000

0.00

0.00

Number of shares



EUR EUR EUR

Class E


140.29

44,471.501

124.93

55,848.231

84.84

Number of shares


EUR EUR EUR

Total Net Assets 144,673,342.65 161,752,234.86 161,709,992.67

31.12.200831.12.200931.12.2010Year ending at:

EUR




Class BCapitalisation shares 0.000 155,007.893 22,345.833 132,662.060

Class CCapitalisation shares 17.864 0.000 0.000 17.864





31.12.2010


01.01.2010

Euro Convertible Bonds

Class A


118.51

119,210.582

117.00

133,285.256

97.25

Number of shares


EUR EUR EUR

Total Net Assets 106,313,751.94 110,875,241.25 81,398,882.18

31.12.200831.12.200931.12.2010Year ending at:

EUR

50




Class A


110.13

2.39

730,966.044

111.04

1.36

730,966.044

93.45

3.98

Number of shares



EUR EUR EUR

Class B


120.12

55,315.098

118.75

0.000

0.00

Number of shares


EUR EUR EUR

Class D


97.59

79,374.493

97.20

1,309.876

81.58

Number of shares


EUR EUR EUR

Class E


99.73

14,849.751

99.55

260.872

83.67

Number of shares


EUR EUR EUR

Total Net Assets 106,313,751.94 110,875,241.25 81,398,882.18

31.12.200831.12.200931.12.2010Year ending at:

EUR







31.12.2010


01.01.2010

Euro Inflation Linked Bonds

Class A


107.15

217,872.339

108.19

289,644.901

99.39

Number of shares



102.17

1.27

500,000.000

104.40

2.59

500,000.000

98.31

1.06

Number of shares



EUR EUR EUR

Class B


108.16

32,772.273

109.46

80,010.654

100.76

Number of shares


EUR EUR EUR

Class D


105.66

76,017.711

107.23

2,518.574

99.04

Number of shares



105.20

0.46

0.000

0.00

0.00

0.000

0.00

0.00

Number of shares



EUR EUR EUR

Total Net Assets 87,973,382.76 89,684,318.80 86,315,701.35

31.12.200831.12.200931.12.2010Year ending at:

EUR

51



Class E


105.72

20,207.899

107.50

635.082

99.44

Number of shares


EUR EUR EUR

Total Net Assets 87,973,382.76 89,684,318.80 86,315,701.35

31.12.200831.12.200931.12.2010Year ending at:

EUR



Distribution shares 500,000.000 5,972.985 0.000 505,972.985



Distribution shares 0.000 3,947.350 372.072 3,575.278



31.12.2010


01.01.2010

Tactical Bond Allocation

Class B


99.21

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Class D


98.98

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Class E


99.22

0.000

0.00

0.000

0.00

Number of shares



99.17

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Total Net Assets 32,002,402.59 0.00 0.00

31.12.200831.12.200931.12.2010Period ending at:

EUR

Class BCapitalisation shares 0.000 343,849.243 41,340.008 302,509.235

Class DCapitalisation shares 0.000 17,793.471 0.849 17,792.622

Class ECapitalisation shares 0.000 2,769.066 527.500 2,241.566



31.12.2010


19.04.2010

52



Absolute Return Multi Strategies

Class A


117.54

481,475.523

113.81

36,054.799

106.50

Number of shares



112.00

1.84

591,189.481

110.33

1.32

570,756.499

104.50

1.62

Number of shares



EUR EUR EUR

Class B


104.64

2,250.000

101.15

0.000

0.00

Number of shares


EUR EUR EUR

Class C


114.00

21,268.422

110.94

17,577.165

104.29

Number of shares


EUR EUR EUR

Class D


109.18

87,050.653

106.70

22,065.844

100.82

Number of shares


EUR EUR EUR

Class E


107.68

16,628.214

105.45

4,703.752

99.75

Number of shares


EUR EUR EUR

Total Net Assets 118,900,392.00 133,653,879.89 68,013,125.85

31.12.200831.12.200931.12.2010Year ending at:

EUR








31.12.2010


01.01.2010

Absolute Return Credit Strategies

Class A


56.67

0.006

56.67

390,186.006

67.25

Number of shares



83.89

0.93

4,649,628.701

62.90

2.05

4,969,299.271

65.40

2.35

Number of shares



EUR EUR EUR

Total Net Assets 422,583,185.67 325,061,035.93 395,852,110.88

31.12.200831.12.200931.12.2010Year ending at:

EUR

53



Class B


93.12

30,036.056

68.35

101,242.167

68.89

Number of shares


EUR EUR EUR

Class C


92.34

299,950.295

67.92

300,348.799

68.59

Number of shares


EUR EUR EUR

Class D


89.45

135,961.336

65.89

223,555.082

66.66

Number of shares


EUR EUR EUR

Class E


88.47

18,948.762

65.30

32,687.982

66.20

Number of shares


EUR EUR EUR

Total Net Assets 422,583,185.67 325,061,035.93 395,852,110.88

31.12.200831.12.200931.12.2010Year ending at:

EUR


Class ACapitalisation shares 0.006 0.000 0.000 0.006

Distribution shares 4,649,628.701 0.000 94,608.627 4,555,020.074

Class BCapitalisation shares 30,036.056 0.000 13,435.061 16,600.995


Class DCapitalisation shares 135,961.336 83.640 26,138.923 109,906.053



31.12.2010


01.01.2010

Absolute Return Global Macro Strategies

Class A


117.69

476,876.559

115.95

519,893.303

110.71

Number of shares



0.00

0.00

1,045,983.342

106.79

1.31

2,094,657.810

103.19

7.23

Number of shares



EUR EUR EUR

Class B


113.68

226,462.395

112.30

264,992.348

106.77

Number of shares


EUR EUR EUR

Class C


113.94

67,757.537

112.78

159,984.594

108.22

Number of shares


EUR EUR EUR

Total Net Assets 54,873,224.27 287,595,406.02 335,629,825.82

31.12.200831.12.200931.12.2010Year ending at:

EUR

54




Class D


112.71

200,044.305

111.85

120,487.927

107.57

Number of shares



112.44

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Class E


110.74

591,484.281

110.15

31,672.269

106.31

Number of shares


EUR EUR EUR

Total Net Assets 54,873,224.27 287,595,406.02 335,629,825.82

31.12.200831.12.200931.12.2010Year ending at:

EUR


Distribution shares 1,045,983.342 280,133.137 1,326,116.479 0.000







31.12.2010


01.01.2010

Absolute Return Interest Rate Strategies

Class A


101.91

157,794.920

102.86

137,131.920

101.09

Number of shares


EUR EUR EUR

Class B


101.11

252,095.421

102.39

96,268.619

100.91

Number of shares


EUR EUR EUR

Class D


101.22

12,706.326

102.87

2,148.081

101.88

Number of shares


EUR EUR EUR

Class E


100.40

2,457.258

102.29

81.077

101.60

Number of shares


EUR EUR EUR

Total Net Assets 13,807,315.79 43,601,082.43 23,805,009.95

31.12.200831.12.200931.12.2010Year ending at:

EUR

55





Class ECapitalisation shares 2,457.258 162.128 1,742.434 876.952


31.12.2010


01.01.2010


Euro Liquidity

Class A


124.72

928,983.736

124.31

1,329,741.736

121.41

Number of shares


EUR EUR EUR

Class B


123.38

3,752,072.290

123.11

2,662,506.955

120.38

Number of shares


EUR EUR EUR

Class D


114.69

2,546,631.181

114.65

1,261,584.179

112.32

Number of shares


EUR EUR EUR

Class E


113.02

144,316.829

113.25

142,832.407

111.19

Number of shares


EUR EUR EUR

Total Net Assets 568,491,699.48 885,708,186.42 639,536,227.85

31.12.200831.12.200931.12.2010Year ending at:

EUR

Class ACapitalisation shares 928,983.736 1,279,172.000 1,386,314.363 821,841.373

Class BCapitalisation shares 3,752,072.290 2,157,785.060 3,241,298.152 2,668,559.198

Class DCapitalisation shares 2,546,631.181 707,913.344 2,109,477.342 1,145,067.183



31.12.2010


01.01.2010

GaranT 1

Class D


105.24

673,182.869

105.06

694,054.847

101.11

Number of shares


EUR EUR EUR

Total Net Assets 67,172,076.00 70,725,441.37 70,178,083.88

31.12.200831.12.200931.12.2010Year ending at:

EUR

56





31.12.2010


01.01.2010

GaranT 2

Class D


99.45

534,089.322

99.74

431,993.796

94.41

Number of shares


EUR EUR EUR

Total Net Assets 60,521,717.78 53,271,719.72 40,784,324.01

31.12.200831.12.200931.12.2010Year ending at:

EUR



31.12.2010


01.01.2010

GaranT 3

Class D


106.36

358,529.976

106.07

237,225.510

100.09

Number of shares


EUR EUR EUR

Total Net Assets 48,723,275.73 38,029,889.41 23,744,697.50

31.12.200831.12.200931.12.2010Year ending at:

EUR



31.12.2010


01.01.2010

GaranT 4

Class D


99.42

267,035.319

100.21

0.000

0.00

Number of shares


EUR EUR EUR

Total Net Assets 41,952,223.06 26,760,485.40 0.00

31.12.200831.12.200931.12.2010Year ending at:

EUR



31.12.2010


01.01.2010

57


GaranT 5

Class D


97.02

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Total Net Assets 23,776,341.74 0.00 0.00

31.12.200831.12.200931.12.2010Period ending at:

EUR




31.12.2010


01.10.2010

Advantage Global Multiasset (Note 1)

Class D


0.00

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Class E


0.00

0.000

0.00

0.000

0.00

Number of shares


EUR EUR EUR

Total Net Assets 0.00 0.00 0.00

31.12.200831.12.200921.12.2010Period ending at:

EUR

Class DCapitalisation shares 0.000 2,209.174 2,209.174 0.000



21.12.2010


11.06.2010

58


>>>

ALLIANZ SE REG SHS EUR 17,075 1,518,479.75 1.95

Transferable securities admitted to an official stock exchange listing and/or dealt in on another regulated market

SharesGermany

AXEL SPRINGER AG REG SHS EUR 8,664 1,057,008.00 1.36

BASF SE REG SHS EUR 52,218 3,117,414.60 4.00

BAYER AG REG SHS EUR 25,000 1,382,500.00 1.78

CELESIO AG REG SHS EUR 84,989 1,580,795.40 2.03

DAIMLER AG REG SHS EUR 41,800 2,120,514.00 2.72

DEUTSCHE BANK AG REG SHS EUR 42,000 1,642,200.00 2.11

DEUTSCHE TELEKOM AG REG SHS EUR 161,000 1,554,455.00 2.00

E.ON AG REG SHS EUR 115,000 2,637,525.00 3.39

MUENCHENER RUECKVERSICHERUNGS AG REG SHS EUR 12,172 1,380,913.40 1.77

RWE AG EUR 9,256 461,781.84 0.59

SAP AG EUR 63,712 2,427,427.20 3.12

SIEMENS AG REG SHS EUR 47,000 4,356,900.00 5.59

25,237,914.19 32.41

AIR LIQUIDE SA PRIME FIDELITE EUR 6,610 632,577.00 0.81France

AXA SA EUR 110,631 1,392,291.14 1.79

BNP PARIBAS SA EUR 48,000 2,324,400.00 3.00

CAP GEMINI SA EUR 20,110 716,519.30 0.92

CASINO GUICHARD PERRACHON SA EUR 9,181 670,304.81 0.86

FRANCE TELECOM SA EUR 79,000 1,240,300.00 1.59

GDF SUEZ SA EUR 50,036 1,362,980.64 1.75

L'OREAL SA EUR 4,358 367,379.40 0.47

LVMH MOET HENNESSY LOUIS VUITTON SA EUR 11,806 1,456,270.10 1.87

MICHELIN SA REG SHS EUR 7,248 392,406.72 0.50

SCHNEIDER ELECTRIC SA EUR 14,804 1,683,214.80 2.16

SOCIETE GENERALE SA EUR 50,000 2,043,250.00 2.62

TOTAL SA EUR 107,658 4,319,238.96 5.56

VINCI SA EUR 36,192 1,488,215.04 1.91

VIVENDI SA EUR 40,748 835,945.22 1.07

20,925,293.13 26.88

BANCO BILBAO VIZCAYA ARGENTARIA SA REG SHS EUR 288,000 2,177,280.00 2.80Spain

BANCO SANTANDER SA REG SHS EUR 277,137 2,197,142.14 2.83

IBERDROLA SA EUR 176,066 1,015,548.69 1.30

TELEFONICA SA EUR 124,000 2,103,660.00 2.70

7,493,630.83 9.63

ASML HOLDING NV EUR 56,000 1,624,280.00 2.09The Netherlands

HEINEKEN NV EUR 14,271 531,594.75 0.68

ING GROEP NV EUR 204,432 1,485,198.48 1.91

ROYAL PHILIPS ELECTRONICS NV EUR 40,855 938,030.80 1.20

UNILEVER NV EUR 70,000 1,656,900.00 2.13

6,236,004.03 8.01

NOKIA OYJ EUR 465,000 3,599,100.00 4.62Finland

3,599,100.00 4.62

ACTELION LTD REG SHS CHF 58,000 2,386,562.73 3.07Switzerland

SYNGENTA AG REG SHS CHF 4,300 945,149.88 1.21

3,331,712.61 4.28

ARCELORMITTAL SA REG SHS EUR 87,300 2,488,923.00 3.20Luxembourg

2,488,923.00 3.20

ENI SPA EUR 97,370 1,591,025.80 2.05Italy

INTESA SANPAOLO SPA EUR 346,717 703,835.51 0.90

2,294,861.31 2.95

Description Currency Quantity Market value in EUR % of NAVStatement of Investments as at 31.12.2010


PortfolioEquity FundsEuro Equities Opportunity

59

AEGIS GROUP PLC GBP 250,000 407,034.01 0.52United Kingdom

Total shares 72,014,473.11 92.50

Total transferable securities admitted to an official stock exchange listing and/or dealt in on anotherregulated market

72,014,473.11 92.50

407,034.01 0.52

DB X-TRACKERS SICAV STOXX 600 BANKS ETF -1C- CAP EUR 114,000 4,225,980.00 5.43

Shares/Units of UCITS/UCIS

Shares/Units in investment fundsLuxembourg

Total Shares/Units in investment funds 4,225,980.00 5.43

Total Shares/Units of UCITS/UCIS 4,225,980.00 5.43

4,225,980.00 5.43

Total securities portfolio 76,240,453.11 97.93


>>|

Portfolio


60


ACEA SPA EUR 200,000 1,720,000.00 1.30


SharesItaly

AUTOGRILL SPA EUR 280,000 2,959,600.00 2.24

ENI SPA EUR 443,500 7,246,790.00 5.48

FIAT SPA EUR 180,000 2,777,400.00 2.10

PARMALAT SPA EUR 1,400,000 2,870,000.00 2.17

SAIPEM SPA EUR 195,821 7,214,045.64 5.45

24,787,835.64 18.74

ALTEN SA EUR 20,700 505,080.00 0.38France

CASINO GUICHARD PERRACHON SA EUR 14,800 1,080,548.00 0.82


SANOFI-AVENTIS SA EUR 65,000 3,162,250.00 2.39

SOCIETE GENERALE SA EUR 84,100 3,436,746.50 2.60

SOITEC EUR 66,700 538,269.00 0.41

TELEPERFORMANCE SA EUR 21,800 547,616.00 0.41

TOTAL SA EUR 173,500 6,960,820.00 5.25

VINCI SA EUR 65,000 2,672,800.00 2.02

24,218,579.50 18.30

AURUBIS AG EUR 13,500 596,430.00 0.45Germany


BRENNTAG AG REG SHS EUR 9,809 748,426.70 0.57



DEUTSCHE BOERSE AG REG SHS EUR 130,300 6,749,540.00 5.10

DEUTSCHE LUFTHANSA AG REG SHS EUR 150,000 2,453,250.00 1.85

DEUTSCHE POST AG REG SHS EUR 221,500 2,813,050.00 2.13

FRESENIUS SE EUR 28,500 1,825,995.00 1.38

HAMBURGER HAFEN&LOGISTIK AG REG SHS EUR 40,000 1,382,000.00 1.04

22,826,403.70 17.25

ABB LTD REG SHS CHF 177,000 2,963,039.46 2.24Switzerland

ACTELION LTD REG SHS CHF 66,000 2,715,743.79 2.05

GIVAUDAN SA REG.SHS CHF 3,200 2,594,872.62 1.96

NESTLE SA REG SHS CHF 196,300 8,637,326.21 6.53

SGS SA REG SHS CHF 865 1,090,721.69 0.82

18,001,703.77 13.60

AEGIS GROUP PLC GBP 690,000 1,123,413.87 0.85United Kingdom

BG GROUP PLC GBP 197,223 3,016,795.41 2.28

HSBC HOLDINGS PLC GBP 672,600 5,131,697.55 3.88

TESCO PLC GBP 490,000 2,439,069.47 1.84

XSTRATA PLC GBP 173,600 3,087,965.70 2.33

14,798,942.00 11.18

IMTECH NV EUR 41,200 1,146,802.00 0.87The Netherlands

RANDSTAD HOLDING NV EUR 28,500 1,122,900.00 0.85

ROYAL PHILIPS ELECTRONICS NV EUR 232,100 5,329,016.00 4.02

7,598,718.00 5.74


5,168,863.00 3.91

TELENOR ASA NOK 415,800 5,039,355.66 3.81Norway

5,039,355.66 3.81

SOLVAY SA EUR 61,900 4,954,476.00 3.74Belgium

4,954,476.00 3.74

RYANAIR HOLDING PLC EUR 239,500 892,137.50 0.67Ireland

Total shares 128,287,014.77 96.94


128,287,014.77 96.94

892,137.50 0.67



>>|The accompanying notes form an integral part of these financial statements.

High Conviction Europe

61>>>

BANK MILLENNIUM SA PLN 300,000 372,778.83 0.62


SharesPoland

BANK ZACHODNI WBK PLN 26,467 1,433,587.47 2.37

CYFROWY POLSAT SA PLN 161,003 657,403.55 1.09

EUROCASH SA PLN 90,547 604,787.78 1.00

GLOBE TRADE CENTER SA PLN 45,000 276,748.58 0.46

GRUPA PEKAO SA PLN 14,365 660,047.76 1.09

KGHM POLSKA MIEDZ SA PLN 62,000 2,623,768.12 4.34

NETIA SA PLN 450,000 598,865.78 0.99

NG2 SA PLN 46,743 809,387.30 1.34

PBG SA PLN 13,200 705,330.81 1.17

PEKAES SA PLN 120,000 282,797.73 0.47

PGE POLSKA GRUPA ENERGETYCZNA SA PLN 144,000 832,241.97 1.38

PKO BANK POLSKI SA PLN 367,500 4,103,402.65 6.77

POLISH OIL AND GAS COMPANY SA PLN 2,332,865 2,105,017.44 3.48

POLISH TELECOM SA PLN 633,000 2,662,827.98 4.39

POLSKI KONCERN NAFTOWY ORLEN SA PLN 25,000 296,156.27 0.49

POWSZECHNY ZAKLAD UBEZPIECZEN SA PLN 15,000 1,345,179.58 2.22

TAURON POLSKA ENERGIA SA PLN 721,967 1,197,364.30 1.98

ZAKLADY AZOTOWE PULAWY SA PLN 17,273 370,493.33 0.61

21,938,187.23 36.26

DO & CO RESTAURANTS & CATERING AG TRY 10,000 295,707.40 0.49Austria

ERSTE GROUP BANK AG CZK 23,750 839,572.62 1.39

ERSTE GROUP BANK AG EUR 55,250 1,941,485.00 3.20

EVN AG EUR 56,500 705,402.50 1.17

HIRSCH SERVO AG EUR 2,469 72,835.50 0.12

IMMOFINANZ AG EUR 462,500 1,474,912.50 2.44

INTERCELL AG EUR 34,800 403,680.00 0.67

OMV AG EUR 113,000 3,514,300.00 5.80

STRABAG SE EUR 46,971 962,905.50 1.59

VERBUND AG -A- EUR 31,907 889,567.16 1.47

WIENERBERGER AG EUR 44,000 628,760.00 1.04

11,729,128.18 19.38

CEZ AS CZK 102,000 3,172,243.96 5.24Czech Republic

KOMERCNI BANKA AS CZK 9,900 1,743,947.73 2.88

PHILIP MORRIS CR AS CZK 1,100 447,401.35 0.74

TELEFONICA O2 CZECH REPUBLIC AS CZK 189,000 2,863,920.72 4.73

8,227,513.76 13.59

EGIS PLC HUF 2,500 179,602.97 0.30Hungary

MAGYAR TELEKOM TELECOMM. PLC HUF 225,000 412,858.80 0.68

MOL HUNGARIAN OIL AND GAS PLC -A- HUF 27,000 2,006,348.92 3.32

OTP BANK PLC HUF 132,000 2,368,280.43 3.91

RICHTER GEDEON PLC HUF 2,078 315,890.19 0.52

5,282,981.31 8.73

EMLAK KONUT GAYRIMENKUL YATIRIM ORTAKLIGI AS TRY 700,000 682,066.07 1.13Turkey

HACI OMER SABANCI HOLDING AS TRY 250,000 884,698.35 1.46

KOZA ALTIN IZLETMELERI AS TRY 64,333 656,475.10 1.08

REYSAS GAYRIMENKUL YATIRIM ORTAKLIGI AS TRY 800,000 372,300.46 0.62

TURK HAVA YOLLARI AO TRY 335,714 885,320.87 1.47

TURKIYE HALK BANKASI AS TRY 25,000 158,760.94 0.26

YAPI VE KREDI BANKASI AS TRY 80,000 190,416.17 0.31

3,830,037.96 6.33

AMREST HOLDINGS SE PLN 15,500 339,886.58 0.56The Netherlands

NEW WORLD RESOURCES BV CZK 170,000 1,829,881.04 3.02

VIMETCO NV REG SHS USD 65,000 144,368.32 0.24

2,314,135.94 3.82

CROATIAN TELEKOM INC HRK 30,000 1,176,234.89 1.94Croatia

1,176,234.89 1.94

APRANGA AB EUR 190,000 393,490.00 0.65Lithuania


Portfolio



62


TEO LT EUR 1,000,000 717,000.00 1.18

1,110,490.00 1.83

KERNEL HOLDING SA PLN 36,988 685,221.93 1.13Luxembourg

PEGAS NONWOVENS SA CZK 21,000 390,364.03 0.65

1,075,585.96 1.78

KRKA DD EUR 14,500 912,775.00 1.51Slovenia

912,775.00 1.51

VTION WIRELESS TECHNOLOGY AG EUR 17,301 175,518.65 0.29Germany

Total shares 57,772,588.88 95.46


57,772,588.88 95.46

175,518.65 0.29

IMMOEAST AG XX.XX.XX RIGHT EUR 145,000 0.15 0.00

Other transferable securities

Options, Warrants, RightsAustria

Total Options, Warrants, Rights 0.15 0.00

Total other transferable securities 0.15 0.00

0.15 0.00




63

ASSICURAZIONI GENERALI SPA EUR 130,300 1,851,563.00 8.03


SharesItaly

ATLANTIA SPA EUR 37,000 564,990.00 2.45

AUTOGRILL SPA EUR 35,700 377,349.00 1.64

BANCA MONTE DEI PASCHI DI SIENA SPA EUR 242,000 205,942.00 0.89

BANCA POP DI MILANO SCARL EUR 39,300 102,966.00 0.45

BUZZI UNICEM SPA EUR 44,500 380,030.00 1.65

DANIELI AND C.OFFICINE MECCANICHE SPA RISP NON CONV EUR 22,600 291,992.00 1.27

ENEL SPA EUR 202,800 758,472.00 3.29

ENI SPA EUR 132,000 2,156,880.00 9.35

EXOR SPA EUR 34,500 851,460.00 3.69

FIAT SPA EUR 73,100 1,127,933.00 4.89

FINMECCANICA SPA EUR 34,900 296,824.50 1.29

GEMINA SPA EUR 393,250 209,012.38 0.91

INTESA SANPAOLO SPA EUR 967,225 1,963,466.75 8.51

INTESA SANPAOLO SPA RISP NON CONV EUR 62,500 111,437.50 0.48

ITALCEMENTI FABBRICHE RIUNITE CEMENTO SPA EUR 37,800 239,085.00 1.04

ITALCEMENTI FABBRICHE RIUNITE CEMENTO SPA RISP NON CONV EUR 40,500 140,940.00 0.61

LUXOTTICA GROUP SPA EUR 18,350 418,380.00 1.81

MEDIASET SPA EUR 70,000 316,925.00 1.37

MEDIOBANCA SPA EUR 143,000 952,380.00 4.13

PIRELLI AND C SPA EUR 73,500 444,675.00 1.93

PRYSMIAN SPA EUR 17,250 219,937.50 0.95

SAIPEM SPA EUR 29,900 1,101,516.00 4.78

SNAM RETE GAS SPA EUR 186,800 694,896.00 3.01

SOL SPA EUR 23,000 113,390.00 0.49

TELECOM ITALIA SPA EUR 1,077,300 1,041,749.10 4.52

UBI BANCA SCPA EUR 117,050 766,677.50 3.32

UNICREDIT SPA EUR 1,288,200 1,994,133.60 8.65

19,695,002.83 85.40

TENARIS SA REG SHS EUR 61,000 1,119,350.00 4.85Luxembourg

1,119,350.00 4.85

STMICROELECTRONICS NV EUR 110,600 869,869.00 3.77The Netherlands

Total shares 21,684,221.83 94.02


21,684,221.83 94.02

869,869.00 3.77



>>|

Portfolio


Italian Equities

64


ADIDAS AG REG SHS EUR 34,000 1,662,260.00 1.71


SharesGermany

ALLIANZ SE REG SHS EUR 63,000 5,602,590.00 5.75

AURUBIS AG EUR 42,000 1,855,560.00 1.90



BEIERSDORF AG EUR 36,000 1,494,900.00 1.53

BMW AG EUR 30,000 1,765,500.00 1.81





EDEL AG EUR 345,100 786,482.90 0.81

E.ON AG REG SHS EUR 211,000 4,839,285.00 4.96

FIELMANN AG EUR 12,000 853,680.00 0.88

FRESENIUS MEDICAL CARE AG & CO KGAA EUR 61,800 2,671,614.00 2.74

GEA GROUP AG EUR 45,000 973,350.00 1.00

HAMBURGER HAFEN&LOGISTIK AG REG SHS EUR 30,000 1,036,500.00 1.06

HEIDELBERGCEMENT AG EUR 40,000 1,876,000.00 1.92

HENKEL AG & CO KGAA EUR 45,000 2,094,075.00 2.15

INFINEON TECHNOLOGIES AG REG SHS EUR 170,000 1,183,710.00 1.21

K+S AG EUR 49,730 2,802,782.80 2.87

LANXESS AG EUR 34,000 2,009,400.00 2.06

LINDE AG EUR 27,200 3,088,560.00 3.17

MAN SE EUR 44,000 3,915,560.00 4.02

MERCK KGAA EUR 10,300 616,455.00 0.63

METRO AG EUR 32,800 1,767,264.00 1.81

MUENCHENER RUECKVERSICHERUNGS AG REG SHS EUR 20,800 2,359,760.00 2.42

PFEIFFER VACUUM TECHNOLOGY AG EUR 10,000 880,000.00 0.90

PORSCHE AUTOMOBIL HLDG SE EUR 10,000 596,600.00 0.61

PUMA AG EUR 2,000 496,000.00 0.51

RWE AG EUR 52,000 2,594,280.00 2.66

SAP AG EUR 106,200 4,046,220.00 4.15


SMA SOLAR TECHNOLOGY AG EUR 10,000 695,000.00 0.71

TUI AG REG SHS EUR 150,000 1,575,000.00 1.62

VOLKSWAGEN AG EUR 11,777 1,429,727.80 1.47

WACKER CHEMIE AG EUR 7,300 953,380.00 0.98

93,430,530.00 95.84

QIAGEN NV EUR 127,500 1,865,325.00 1.91The Netherlands

Total shares 95,295,855.00 97.75


95,295,855.00 97.75

1,865,325.00 1.91




German Equities

65>>>

ANADARKO PETROLEUM CORP USD 33,000 1,878,083.12 2.93


SharesUnited States of America

CONOCOPHILLIPS CO USD 29,500 1,510,314.71 2.36

DOMINION RESOURCES INC USD 40,000 1,291,974.10 2.02

EXXON MOBIL CORP USD 37,200 2,054,654.42 3.20

FRONTIER COMMUNICATIONS CORP USD 11,042 80,308.48 0.13

OCCIDENTAL PETROLEUM CORP USD 43,000 3,160,088.84 4.92

VERIZON COMMUNICATIONS INC USD 46,000 1,231,561.51 1.92

11,206,985.18 17.48

BG GROUP PLC GBP 264,000 4,038,240.92 6.30United Kingdom

BHP BILLITON PLC GBP 74,000 2,241,566.72 3.50

BP PLC GBP 250,000 1,365,084.88 2.13

BT GROUP PLC GBP 750,000 1,594,820.09 2.49

CLIPPER WINDPOWER PLC GBP 40,000 30,129.21 0.05

9,269,841.82 14.47

EDF ENERGIES NOUVELLES SA EUR 18,000 570,240.00 0.89France

ETABLISSEMENTS MAUREL ET PROM SA EUR 30,000 317,400.00 0.50


GDF SUEZ SA EUR 48,821 1,329,884.04 2.08

SUEZ ENVIRONNEMENT COMPANY SA EUR 36,250 565,318.75 0.88

TOTAL SA EUR 61,000 2,447,320.00 3.81

VALLOUREC SA EUR 21,614 1,728,255.44 2.70

VEOLIA ENVIRONNEMENT SA EUR 30,487 679,402.80 1.06

8,815,321.03 13.76

ENI SPA EUR 76,500 1,250,010.00 1.95Italy

SAIPEM SPA EUR 138,400 5,098,656.00 7.96

6,348,666.00 9.91

ACTIVA RESOURCES AG EUR 40,500 83,430.00 0.13Germany


E.ON AG REG SHS EUR 51,300 1,176,565.50 1.84

NORDEX SE EUR 23,000 126,615.00 0.20

SOLARWORLD AG EUR 70,000 522,550.00 0.82

WACKER CHEMIE AG EUR 11,000 1,436,600.00 2.24

5,489,170.50 8.57

ABENGOA SA EUR 50,000 918,750.00 1.43Spain

EDP RENOVAVEIS SA EUR 16,563 72,545.94 0.11

GAMESA CORPORACION TECNOLOGICA SA EUR 80,000 456,960.00 0.71

IBERDROLA SA EUR 243,000 1,401,624.00 2.20


4,207,079.94 6.57

STATOIL ASA NOK 100,000 1,771,925.34 2.77Norway

TELENOR ASA NOK 175,000 2,120,940.94 3.31

3,892,866.28 6.08

CENOVUS ENERGY INC CAD 47,800 1,186,135.48 1.85Canada

ENBRIDGE INC CAD 29,000 1,237,007.19 1.93

ENCANA CORP CAD 47,800 1,042,143.31 1.63

3,465,285.98 5.41

SCHLUMBERGER LTD USD 20,000 1,255,232.65 1.96The Netherlands Antilles

1,255,232.65 1.96

VESTAS WIND SYSTEMS AS DKK 40,000 944,894.56 1.47Denmark

944,894.56 1.47

GALP ENERGIA SA REG SHS -B- EUR 65,000 943,150.00 1.47Portugal

943,150.00 1.47

TOKYO GAS CO LTD JPY 225,000 747,414.78 1.17Japan

747,414.78 1.17


Portfolio



66


TRANSOCEAN LTD USD 13,293 691,872.53 1.08Switzerland

691,872.53 1.08

HELLENIC TELECOMMUNICATIONS ORGANISATION SA EUR 54,000 329,940.00 0.51Greece

Total shares 57,607,721.25 89.91

329,940.00 0.51

ETABLISSEMENTS MAUREL ET PROM SA BONS SOUSCRIPTION 30.06.14 WAR EUR 30,000 5,040.00 0.01

Options, Warrants, RightsFrance

Total Options, Warrants, Rights 5,040.00 0.01


57,612,761.25 89.92

5,040.00 0.01




67>>>

AVIVA PLC GBP 120,400 548,040.10 1.19


SharesUnited Kingdom

BP PLC GBP 399,600 2,181,951.68 4.71

BRITISH AMERICAN TOBACCO PLC GBP 11,500 332,160.03 0.72

CAPITAL SHOPPING CENTRES GROUP PLC GBP 49,900 243,558.49 0.53

CLOSE BROTHERS GROUP PLC GBP 14,000 138,629.12 0.30

GLAXOSMITHKLINE PLC GBP 35,500 517,926.88 1.12

ICG PLC GBP 61,000 236,521.24 0.51

J SAINSBURY PLC GBP 211,200 930,263.86 2.01

LAND SECURITIES GROUP PLC REIT GBP 29,400 228,944.90 0.50

LEGAL & GENERAL GROUP PLC GBP 212,200 240,490.87 0.52

RATHBONE BROTHERS PLC GBP 11,200 139,910.77 0.30

ROYAL DUTCH SHELL PLC -B- GBP 84,000 2,077,733.36 4.49

RSA INSURANCE GROUP PLC GBP 129,400 189,387.80 0.41

SEGRO PLC (REIT) GBP 58,600 198,490.99 0.43

STANDARD LIFE PLC GBP 122,200 306,013.33 0.66

TULLETT PREBON PLC GBP 42,900 190,302.10 0.41

8,700,325.52 18.81

AXA SA EUR 50,500 635,542.50 1.37France


CREDIT AGRICOLE SA EUR 62,900 603,902.90 1.31


GDF SUEZ SA EUR 33,500 912,540.00 1.97

LAFARGE SA EUR 6,000 283,590.00 0.61

SANOFI-AVENTIS SA EUR 38,900 1,892,485.00 4.09

TOTAL SA EUR 26,800 1,075,216.00 2.33

8,218,906.40 17.77

ABERTIS INFRAESTRUCTURAS SA -A- EUR 73,000 982,215.00 2.12Spain

BANCO BILBAO VIZCAYA ARGENTARIA SA REG SHS EUR 53,300 402,948.00 0.87

IBERDROLA SA EUR 121,500 700,812.00 1.52

RED ELECTRICA CORPORACION SA EUR 12,900 454,080.00 0.98


4,677,645.00 10.11

ALLIANZ SE REG SHS EUR 4,900 435,757.00 0.94Germany

DEUTSCHE BANK AG REG SHS EUR 23,100 903,210.00 1.95

DEUTSCHE BOERSE AG REG SHS EUR 8,900 461,020.00 1.00

DEUTSCHE POST AG REG SHS EUR 74,000 939,800.00 2.03


E.ON AG REG SHS EUR 40,300 924,280.50 2.00

4,672,049.50 10.11

ATLANTIA SPA EUR 66,200 1,010,874.00 2.19Italy

ENI SPA EUR 98,300 1,606,222.00 3.48

IREN SPA EUR 377,800 473,383.40 1.02

MEDIASET SPA EUR 217,900 986,542.25 2.13

4,077,021.65 8.82

CREDIT SUISSE GROUP AG REG SHS CHF 38,900 1,177,660.53 2.56Switzerland

NOVARTIS AG REG SHS CHF 10,700 472,526.72 1.02

ROCHE HOLDING AG GENUSSSCHEIN CHF 8,500 935,867.56 2.02

VONTOBEL HOLDING AG CHF 8,100 231,744.76 0.50

ZURICH FINANCIAL SERVICES AG REG SHS CHF 3,900 759,125.61 1.64

3,576,925.18 7.74


ORION CORP(NEW)-A- EUR 34,300 562,520.00 1.22

SAMPO OYJ -A- EUR 27,100 543,355.00 1.18

2,513,781.00 5.44

HOLMEN AB -B- SEK 22,300 549,572.28 1.19Sweden

PEAB AB -B- SEK 46,200 294,414.92 0.64

SKANSKA AB -B- SEK 31,800 471,845.28 1.02

1,315,832.48 2.85


Portfolio


European Value Equities

68


MARINE HARVEST ASA NOK 1,195,500 943,011.38 2.04Norway

943,011.38 2.04

CRH PLC EUR 59,600 924,992.00 2.00Ireland

924,992.00 2.00

SES SA EUR 31,900 572,286.00 1.24Luxembourg

572,286.00 1.24

HENDERSON GROUP PLC GBP 137,400 217,337.04 0.47Jersey Island

217,337.04 0.47

LIECHTENSTEINISCHE LANDESBANK AG CHF 2,400 140,802.06 0.30Liechtenstein

140,802.06 0.30

BINCKBANK NV EUR 12,000 139,020.00 0.30The Netherlands

Total shares 40,689,935.21 88.00


40,689,935.21 88.00

139,020.00 0.30




DB X-TRACKERS SICAV STOXX 600 IND. GOODS ETF -1C- CAP EUR 27,400 1,394,660.00 3.02

3,233,332.00 7.00

LYXOR ETF STOXX EUROPE AUTOMOBILES PARTS FCP CAP/DIS EUR 26,200 893,682.00 1.93France



893,682.00 1.93




69>>>

AXA SA EUR 218,756 2,753,044.26 1.70


SharesFrance


DANONE SA EUR 56,000 2,674,560.00 1.65


RENAULT SA EUR 195,000 8,470,800.00 5.23

TOTAL SA EUR 252,000 10,110,240.00 6.24

VIVENDI SA EUR 211,500 4,338,922.50 2.68

39,462,316.76 24.37

ALTIRA AG REG SHS EUR 45,299 577,562.25 0.36Germany

ARAGON AG EUR 94,508 1,204,977.00 0.74





E.ON AG REG SHS EUR 209,000 4,793,415.00 2.96

SAP AG EUR 43,500 1,657,350.00 1.02


TOM TAILOR HOLDING AG REG SHS EUR 127,454 2,038,626.73 1.26

WIRECARD AG EUR 102,000 1,045,500.00 0.65

XING AG EUR 56,000 2,035,600.00 1.26

34,602,664.98 21.37

GENERAL MOTORS CO USD 67,839 1,880,614.35 1.16United States of America

NEWMONT MINING CORP USD 204,017 9,382,140.01 5.80

VALERO ENERGY CORP USD 224,700 3,914,740.25 2.42

15,177,494.61 9.38

ACTELION LTD REG SHS CHF 115,000 4,731,977.82 2.92Switzerland

NESTLE SA REG SHS CHF 58,000 2,552,037.29 1.58

SYNGENTA AG REG SHS CHF 8,500 1,868,319.54 1.15

9,152,334.65 5.65


6,436,073.16 3.98


6,386,240.00 3.95

GAZPROM OAO ADR USD 292,000 5,597,289.56 3.46Russia

5,597,289.56 3.46

AEGIS GROUP PLC GBP 500,000 814,068.02 0.50United Kingdom

GLAXOSMITHKLINE PLC GBP 271,000 3,953,751.67 2.45

4,767,819.69 2.95

BANCO BILBAO VIZCAYA ARGENTARIA SA REG SHS EUR 602,000 4,551,120.00 2.81Spain

4,551,120.00 2.81

ASML HOLDING NV EUR 115,000 3,335,575.00 2.06The Netherlands

3,335,575.00 2.06

HELLENIC TELECOMMUNICATIONS ORGANISATION SA EUR 465,024 2,841,296.64 1.76Greece

Total shares 132,310,225.05 81.74

2,841,296.64 1.76

COLONIA REAL ESTATE AG CV 5.875 10-15 11/05S EUR 149,804 929,031.91 0.57

Convertible bondsGermany

Total convertible bonds 929,031.91 0.57


133,239,256.96 82.31

929,031.91 0.57


Portfolio


Capital Markets Strategies

70


ECOLUTIONS GMBH&CO KGAA (Note 17) EUR 1,000,000 3,140,000.00 1.94


SharesGermany

Total shares 3,140,000.00 1.94

Total other transferable securities 3,140,000.00 1.94

3,140,000.00 1.94




DB X-TRACKERS SICAV STOXX 600 IND. GOODS ETF -1C- CAP EUR 130,000 6,617,000.00 4.09



12,849,579.10 7.94

HERMES MAR 180 18.03.11 CALL EUR 300 197,700.00 0.12

Derivative instruments



Total derivative instruments 197,700.00 0.12

197,700.00 0.12




71>>>

ALTEN SA EUR 60,000 1,464,000.00 1.34


SharesFrance

ARKEMA SA EUR 40,000 2,133,200.00 1.96

ATOS ORIGIN SA EUR 14,000 564,900.00 0.52

BIC EUR 10,000 655,400.00 0.60

BOURBON SA EUR 23,000 800,400.00 0.73

CASINO GUICHARD PERRACHON SA EUR 27,268 1,990,836.68 1.83

CELLECTIS SA REG SHS EUR 28,255 203,436.00 0.19

CFAO SA EUR 80,700 2,598,943.50 2.39

EDENRED SA EUR 60,000 1,078,500.00 0.99

ERAMET SA EUR 2,000 515,000.00 0.47

EURAZEO SA EUR 32,550 1,812,058.50 1.66

FONCIERE DES REGIONS SA EUR 11,243 812,644.04 0.75

GECINA SA REG SHS EUR 9,100 755,937.00 0.69

HAVAS SA EUR 150,000 582,300.00 0.53

ICADE SA EUR 12,000 916,200.00 0.84

ILIAD SA EUR 10,000 814,200.00 0.75

IMERYS SA EUR 18,672 942,749.28 0.87

IPSOS SA EUR 120,000 4,261,200.00 3.90

M6 METROPOLE TELEVISION SA EUR 95,000 1,704,775.00 1.56

NEXANS SA EUR 30,000 1,762,500.00 1.62

PAGES JAUNES SA EUR 160,000 1,089,120.00 1.00

RALLYE SA EUR 60,270 1,935,571.05 1.78

RHODIA SA EUR 70,000 1,743,350.00 1.60

TELEPERFORMANCE SA EUR 107,000 2,687,840.00 2.46

T.F.1 SA EUR 70,000 936,250.00 0.86

UBISOFT ENTERTAINMENT EUR 160,000 1,281,600.00 1.18

VALEO SA EUR 37,000 1,561,400.00 1.43

VIVALIS SA EUR 25,348 186,561.28 0.17

VIVENDI SA EUR 110,000 2,256,650.00 2.07

WENDEL SA EUR 30,000 2,065,500.00 1.90

ZODIAC AEROSPACE SA EUR 36,000 2,013,120.00 1.85

44,126,142.33 40.49

BILFINGER BERGER SE EUR 19,000 1,200,800.00 1.10Germany

BRENNTAG AG REG SHS EUR 10,000 763,000.00 0.70

FRAPORT AG EUR 28,000 1,320,480.00 1.21

GFK SE EUR 125,459 4,717,258.40 4.34

KLOECKNER AND CO SE EUR 40,000 840,200.00 0.77

MTU AERO ENGINES HOLDING AG EUR 35,000 1,771,350.00 1.63

PUMA AG EUR 7,000 1,736,000.00 1.59

RHEINMETALL AG EUR 20,000 1,203,400.00 1.10

SGL CARBON SE EUR 40,000 1,080,600.00 0.99

SOFTWARE AG EUR 14,000 1,537,200.00 1.41

STADA ARZNEIMITTEL AG REG SHS EUR 23,000 583,740.00 0.54

SYMRISE AG EUR 100,000 2,052,500.00 1.88

TOGNUM AG EUR 51,000 1,005,975.00 0.92

UNITED INTERNET AG REG SHS EUR 120,000 1,459,800.00 1.34


WINCOR NIXDORF AG EUR 35,200 2,147,552.00 1.98

24,725,855.40 22.70

AEGIS GROUP PLC GBP 1,200,000 1,953,763.25 1.79United Kingdom

KESA ELECTRICALS PLC GBP 1,350,000 2,503,041.89 2.30

MICHAEL PAGE INTERNATIONAL PLC GBP 100,000 645,460.34 0.59

STHREE PLC GBP 300,000 1,287,328.35 1.18

6,389,593.83 5.86

ACERINOX SA REG SHS EUR 40,000 525,000.00 0.48Spain

BOLSAS Y MERCADOS ESPANOLES SA EUR 63,000 1,123,290.00 1.03

EBRO FOODS SA EUR 81,473 1,289,717.59 1.18

EDP RENOVAVEIS SA EUR 130,000 569,400.00 0.52

FOMENTO DE CONSTRUCCIONES Y CONTRATAS SA FCC EUR 10,000 196,600.00 0.18

GRIFOLS SA -A- EUR 50,000 510,000.00 0.47

INDRA SISTEMAS SA EUR 40,000 511,400.00 0.47


Portfolio


Small & Mid Cap Euro Equities

72


PROSEGUR CIA DE SEGURIDAD SA REG SHS EUR 34,000 1,432,420.00 1.32

6,157,827.59 5.65

KESKO CORP EUR 30,000 1,047,900.00 0.96Finland

KONECRANES OYJ EUR 30,000 926,700.00 0.85

OUTOKUMPU OYJ EUR 80,000 1,110,400.00 1.02

RAUTARUUKKI OYJ EUR 50,000 875,500.00 0.80

YIT OYJ EUR 72,000 1,342,800.00 1.24

5,303,300.00 4.87

IMTECH NV EUR 80,000 2,226,800.00 2.04The Netherlands

KONINKLIJKE VOPAK NV EUR 46,000 1,639,670.00 1.51

3,866,470.00 3.55

ANDRITZ AG EUR 30,400 2,091,216.00 1.92Austria

BWIN INTERACTIVE ENTERTAINMENT AG EUR 13,000 383,370.00 0.35

WIENERBERGER AG EUR 70,000 1,000,300.00 0.92

3,474,886.00 3.19

BANCA CARIGE SPA EUR 250,000 392,000.00 0.36Italy

DAVIDE CAMPARI - MILANO SPA EUR 120,000 584,400.00 0.54

PIRELLI AND C SPA EUR 127,272 769,995.60 0.71

PRYSMIAN SPA EUR 120,000 1,530,000.00 1.40

3,276,395.60 3.01

INFORMA PLC GBP 150,000 721,362.77 0.66Jersey Island

UNITED BUSINESS MEDIA LIMITED GBP 180,000 1,444,463.76 1.33

2,165,826.53 1.99

RYANAIR HOLDING PLC EUR 550,000 2,048,750.00 1.88Ireland

2,048,750.00 1.88

BEKAERT SA EUR 12,000 1,034,400.00 0.95Belgium

MOBISTAR SA EUR 12,000 575,520.00 0.53

1,609,920.00 1.48

JERONIMO MARTINS SGPS SA EUR 96,693 1,120,188.41 1.03Portugal

1,120,188.41 1.03

SGS SA REG SHS CHF 450 567,427.47 0.52Switzerland

Total shares 104,832,583.16 96.22

567,427.47 0.52

ETABLISSEMENTS MAUREL ET PROM SA BONS SOUSCRIPTION 30.06.14 WAR EUR 40,000 6,720.00 0.01




104,839,303.16 96.23

6,720.00 0.01




73

JP MORGAN FD US VALUE -C-ACC- USD CAP USD 306,182 3,045,222.29 11.11



MORGAN STANLEY INV FD US GROWTH -Z- CAP USD 181,406 3,658,985.05 13.33

NORDEA 1 SICAV NORTH AMERICAN VALUE FD -BI BASE CURRENCY- CAP USD 115,333 2,872,472.31 10.48

OYSTER SICAV US VALUE -USD2- CAP USD 2,957 2,746,749.31 10.02

12,323,428.96 44.94

LEGG MASON GLOBAL FD PLC CLEARBRIDGE US AGGRESSIVE GROWTH -PREM-CAP

USD 26,374 2,266,042.92 8.26Ireland

POWERSHARES GLOBAL FD IRELAND PLC EQQQ USD DIS USD 102,800 4,246,827.29 15.49

VANGUARD INV SERIES PLC US OPP FD -INS- CAP USD 18,242 3,708,204.59 13.52

10,221,074.80 37.27

THREADNEEDLE INV FD ICVC AMERICAN SMALLER CIE (US) -2- INS CAP USD 1,972,943 3,389,444.51 12.36United Kingdom



3,389,444.51 12.36



>>|

Portfolio



74


>>>

ACCOR SA EUR 7,500 250,275.00 0.73


SharesFrance

AIR LIQUIDE SA EUR 4,576 437,923.20 1.28

ALSTOM SA EUR 7,500 269,287.50 0.79

BIOMERIEUX SA EUR 2,500 190,600.00 0.56

BNP PARIBAS SA EUR 7,975 386,189.38 1.13

BUREAU VERITAS SA EUR 7,500 420,900.00 1.23

CAP GEMINI SA EUR 8,600 306,418.00 0.89

CARREFOUR SA EUR 10,384 326,992.16 0.95

CIE DE SAINT-GOBAIN SA EUR 13,614 530,401.44 1.55

DANONE SA EUR 8,328 397,745.28 1.16

EDENRED SA EUR 7,500 134,812.50 0.39

EDF ENERGIES NOUVELLES SA EUR 11,125 352,440.00 1.03

EDF SA EUR 5,078 157,544.95 0.46

ESSILOR INTERNATIONAL SA EUR 9,500 467,922.50 1.37

FAIVELEY TRANSPORT EUR 3,922 243,556.20 0.71

FRANCE TELECOM SA EUR 14,300 224,510.00 0.66

GDF SUEZ SA EUR 16,828 458,394.72 1.34

LVMH MOET HENNESSY LOUIS VUITTON SA EUR 7,100 875,785.00 2.55

MICHELIN SA REG SHS EUR 7,057 382,065.98 1.12

NEXANS SA EUR 4,100 240,875.00 0.70

PEUGEOT SA EUR 14,200 406,049.00 1.19

RENAULT SA EUR 8,000 347,520.00 1.01

RHODIA SA EUR 23,000 572,815.00 1.67

SAFT GROUPE SA REG SHS EUR 12,051 327,907.71 0.96

SANOFI-AVENTIS SA EUR 6,700 325,955.00 0.95

SCHNEIDER ELECTRIC SA EUR 7,000 795,900.00 2.32

SOCIETE GENERALE SA EUR 6,230 254,588.95 0.74

SODEXO SA EUR 4,116 216,913.20 0.63

SUEZ ENVIRONNEMENT COMPANY SA EUR 16,850 262,775.75 0.77

TECHNIP SA (EX TECHNIP-COFLEXIP) EUR 5,200 367,224.00 1.07

TOTAL SA EUR 14,300 573,716.00 1.68

VEOLIA ENVIRONNEMENT SA EUR 7,528 167,761.48 0.49

VIVENDI SA EUR 9,318 191,158.77 0.56

11,864,923.67 34.64

ANGLO AMERICAN PLC GBP 6,000 235,425.00 0.69United Kingdom

BARCLAYS PLC GBP 40,000 122,509.99 0.36

BG GROUP PLC GBP 25,000 382,409.18 1.12

BHP BILLITON PLC GBP 9,346 283,103.82 0.83

FIRSTGROUP PLC GBP 20,100 92,446.72 0.27

HSBC HOLDINGS PLC GBP 80,000 610,371.40 1.78

INTERCONTINENTAL HOTELS GROUP PLC GBP 35,000 511,443.30 1.49

INTERTEK GROUP PLC GBP 20,000 415,551.31 1.21

LLOYDS BANKING GROUP PLC GBP 171,000 132,725.88 0.39

MARKS AND SPENCER GROUP PLC GBP 63,400 274,185.99 0.80

MORRISON SUPERMARKETS PLC GBP 100,000 309,867.32 0.90

RECKITT BENCKISER GROUP PLC GBP 4,000 165,757.00 0.48

ROYAL DUTCH SHELL PLC -B- GBP 39,000 964,661.92 2.81

SMITH AND NEPHEW PLC GBP 40,000 314,966.10 0.92

STANDARD CHARTERED PLC GBP 12,415 251,695.27 0.74

TESCO PLC GBP 32,000 159,286.17 0.47

VODAFONE GROUP PLC GBP 296,000 572,825.77 1.67

XSTRATA PLC GBP 24,000 426,907.70 1.25

6,226,139.84 18.18

ADIDAS AG REG SHS EUR 4,200 205,338.00 0.60Germany

ALLIANZ SE REG SHS EUR 2,923 259,942.39 0.76

BAYER AG REG SHS EUR 6,100 337,330.00 0.99

BEIERSDORF AG EUR 3,700 153,642.50 0.45

DEUTSCHE BANK AG REG SHS EUR 3,877 151,590.70 0.44

DEUTSCHE TELEKOM AG REG SHS EUR 26,400 254,892.00 0.74

FRESENIUS SE EUR 6,500 416,455.00 1.22

HEIDELBERGCEMENT AG EUR 3,030 142,107.00 0.41

INFINEON TECHNOLOGIES AG REG SHS EUR 49,000 341,187.00 1.00

K+S AG EUR 5,800 326,888.00 0.95



Futur

75

LINDE AG EUR 7,200 817,560.00 2.40

MUENCHENER RUECKVERSICHERUNGS AG REG SHS EUR 3,200 363,040.00 1.06

Q CELLS SE EUR 4,000 10,040.00 0.03

SAP AG EUR 9,200 350,520.00 1.02

SIEMENS AG REG SHS EUR 6,000 556,200.00 1.62

SMA SOLAR TECHNOLOGY AG EUR 3,600 250,200.00 0.73

SOLARWORLD AG EUR 10,500 78,382.50 0.23

VOSSLOH AG EUR 5,000 477,500.00 1.39

5,492,815.09 16.04

ABB LTD REG SHS CHF 34,000 569,171.42 1.66Switzerland

CREDIT SUISSE GROUP AG REG SHS CHF 4,000 121,096.20 0.35

HOLCIM LTD REG SHS CHF 6,825 387,516.07 1.13

NESTLE SA REG SHS CHF 12,400 545,607.97 1.59

NOVARTIS AG REG SHS CHF 7,200 317,961.91 0.93

ROCHE HOLDING AG GENUSSSCHEIN CHF 5,800 638,591.98 1.87

SGS SA REG SHS CHF 450 567,427.47 1.66

THE SWATCH GROUP SA CHF 1,500 502,451.18 1.47

ZURICH FINANCIAL SERVICES AG REG SHS CHF 1,000 194,647.59 0.57

3,844,471.79 11.23

ASML HOLDING NV EUR 12,100 350,960.50 1.03The Netherlands

ING GROEP NV EUR 13,368 97,118.52 0.28

KONINKLIJKE DSM NV EUR 4,600 196,052.00 0.57

QIAGEN NV EUR 16,400 239,932.00 0.70

REED ELSEVIER NV EUR 23,000 213,624.00 0.62

ROYAL PHILIPS ELECTRONICS NV EUR 20,200 463,792.00 1.36

1,561,479.02 4.56

ATLAS COPCO AB -A- SEK 23,700 447,684.99 1.30Sweden

SANDVIK AB SEK 22,000 321,046.33 0.94

TELEFON AB L.M.ERICSSON SEK 20,000 173,980.80 0.51

VOLVO AB -B- SEK 28,200 371,971.62 1.09

1,314,683.74 3.84

ABENGOA SA EUR 12,800 235,200.00 0.69Spain

ACCIONA SA EUR 4,100 217,300.00 0.63

BANCO BILBAO VIZCAYA ARGENTARIA SA REG SHS EUR 31,806 240,453.36 0.70

IBERDROLA RENOVABLES SA EUR 110,000 292,160.00 0.85

TELEFONICA SA EUR 18,000 305,370.00 0.90

1,290,483.36 3.77

DNB NOR ASA NOK 48,278 505,493.25 1.48Norway

NORSK HYDRO ASA NOK 55,000 299,610.07 0.87

RENEWABLE ENERGY CORPORATION AS NOK 74,639 169,755.54 0.50

974,858.86 2.85

WPP PLC GBP 45,000 414,566.31 1.21Jersey Island

414,566.31 1.21

ARCELORMITTAL SA REG SHS EUR 10,600 302,206.00 0.88Luxembourg

302,206.00 0.88

VESTAS WIND SYSTEMS AS DKK 11,000 259,846.01 0.76Denmark

259,846.01 0.76

UNICREDIT SPA EUR 108,781 168,392.99 0.49Italy

168,392.99 0.49

HANSEN TRANSMISSIONS INTERNATIONAL NV GBP 142,000 98,319.72 0.29Belgium

Total shares 33,813,186.40 98.74


33,813,186.40 98.74

98,319.72 0.29



>>|

Portfolio


76


ITALY BTP 2.25 10-13 01/11S EUR 29,000,000 28,206,850.00 6.35


BondsItaly

ITALY BTP 2.50 09-12 01/07S EUR 20,000,000 19,952,000.00 4.49

ITALY BTP 3.00 10-15 15/04S EUR 25,000,000 24,364,750.00 5.49

ITALY BTP 3.00 10-15 15/06S EUR 15,000,000 14,564,700.00 3.28

ITALY BTP 3.50 09-14 01/06S EUR 34,000,000 34,086,360.00 7.67

ITALY BTP 3.75 06-21 01/08S EUR 18,000,000 16,638,840.00 3.75

ITALY BTP 4.00 06-17 01/02S EUR 20,000,000 19,918,000.00 4.48

ITALY BTP 4.25 04-14 01/08S EUR 10,000,000 10,264,500.00 2.31

ITALY BTP 4.25 08-13 15/04S EUR 10,000,000 10,284,700.00 2.32

ITALY BTP 4.25 09-20 01/03S EUR 25,000,000 24,273,500.00 5.46

ITALY BTP 5.00 09-25 01/03S EUR 10,000,000 9,986,500.00 2.25

ITALY BTP 5.00 09-40 01/09S EUR 33,000,000 31,121,640.00 7.01

ITALY BTP 5.25 98-29 01/11S EUR 14,000,000 14,035,700.00 3.16

ITALY INFL. INDEX 2.10 10-21 15/09S EUR 43,000,000 40,413,755.07 9.09

298,111,795.07 67.11

GERMANY 2.50 10-21 04/01A EUR 15,000,000 14,414,850.00 3.25Germany

GERMANY 3.50 09-19 04/07A EUR 10,000,000 10,513,300.00 2.37

GERMANY 4.00 05-37 04/01A EUR 10,000,000 10,859,000.00 2.44

GERMANY 4.75 08-40 04/07A EUR 8,000,000 9,922,080.00 2.23

GERMANY 6.25 94-24 04/01A EUR 20,000,000 26,378,400.00 5.94

GERMANY -06- 3.75 06-17 04/01A EUR 10,000,000 10,834,300.00 2.44

GERMANY -155- 2.50 09-14 10/10A EUR 40,000,000 41,522,000.00 9.35

Total bonds 422,555,725.07 95.13


422,555,725.07 95.13

124,443,930.00 28.02




Bond FundsEuro Bonds

77

ITALY BTP 2.00 09-12 15/12S EUR 3,000,000 2,952,060.00 1.76


BondsItaly

ITALY BTP 2.25 10-13 01/11S EUR 20,000,000 19,453,000.00 11.62

ITALY BTP 2.50 09-12 01/07S EUR 5,000,000 4,988,000.00 2.98

ITALY BTP 3.00 09-12 01/03S EUR 8,800,000 8,839,600.00 5.28

ITALY BTP 3.00 10-15 15/06S EUR 5,000,000 4,854,900.00 2.90

ITALY BTP 3.50 09-14 01/06S EUR 8,000,000 8,020,320.00 4.79

ITALY BTP 3.75 08-13 15/12S EUR 13,000,000 13,170,170.00 7.87

ITALY BTP 5.00 01-12 01/02S EUR 15,000,000 15,408,150.00 9.21

ITALY CTZS 0.00 10-12 30/04 EUR 22,000,000 21,257,060.00 12.71

98,943,260.00 59.12


GERMANY 4.00 06-16 04/07A EUR 9,000,000 9,878,040.00 5.90

GERMANY -06- 3.75 06-17 04/01A EUR 2,000,000 2,166,860.00 1.29

GERMANY -152- 3.50 08-13 12/04A EUR 26,000,000 27,505,400.00 16.44

GERMANY -153- 4.00 08-13 11/10A EUR 1,000,000 1,080,270.00 0.65

GERMANY -154- 2.25 09-14 11/04A EUR 5,000,000 5,160,700.00 3.08

Total bonds 156,766,450.00 93.67


156,766,450.00 93.67

57,823,190.00 34.55



>>|

Portfolio



78


ITALY BTP 2.00 10-13 01/06S EUR 4,000,000 3,903,520.00 6.11


BondsItaly

ITALY BTP 2.25 10-13 01/11S EUR 4,500,000 4,376,925.00 6.85

ITALY BTP 3.00 10-15 15/04S EUR 5,000,000 4,872,950.00 7.63

ITALY BTP 3.00 10-15 15/06S EUR 7,000,000 6,796,860.00 10.64

ITALY BTP 3.50 09-14 01/06S EUR 7,000,000 7,017,780.00 10.99

ITALY BTP 3.75 06-16 01/08S EUR 1,000,000 992,150.00 1.55

ITALY BTP 3.75 08-13 15/12S EUR 6,500,000 6,585,085.00 10.31

ITALY BTP 4.00 06-17 01/02S EUR 1,000,000 995,900.00 1.56

ITALY BTP 4.25 04-14 01/08S EUR 6,000,000 6,158,700.00 9.64

ITALY BTP 4.25 08-13 15/04S EUR 2,000,000 2,056,940.00 3.22

ITALY BTP 4.75 02-13 01/02S EUR 2,500,000 2,592,700.00 4.06

46,349,510.00 72.56


GERMANY 4.00 06-16 04/07A EUR 3,000,000 3,292,680.00 5.15

GERMANY -06- 3.75 06-17 04/01A EUR 1,000,000 1,083,430.00 1.70

GERMANY -153- 4.00 08-13 11/10A EUR 2,000,000 2,160,540.00 3.38

GERMANY -155- 2.50 09-14 10/10A EUR 2,000,000 2,076,100.00 3.25

GERMANY -156- 2.50 10-15 27/02A EUR 4,000,000 4,137,920.00 6.48

Total bonds 61,092,680.00 95.64


61,092,680.00 95.64

14,743,170.00 23.08





79

ITALY BTP 2.25 10-13 01/11S EUR 250,000 243,162.50 9.95


BondsItaly

ITALY BTP 3.00 10-15 15/06S EUR 330,000 320,423.40 13.12

ITALY BTP 3.75 06-16 01/08S EUR 340,000 337,331.00 13.81

ITALY BTP 4.00 06-17 01/02S EUR 280,000 278,852.00 11.41

ITALY BTP 4.50 07-18 01/02S EUR 380,000 384,267.40 15.73

ITALY INFL. INDEX 2.10 10-21 15/09S EUR 100,000 93,985.48 3.85

1,658,021.78 67.87

GERMANY 3.25 09-20 04/01A EUR 50,000 51,409.50 2.10Germany

GERMANY -06- 3.75 06-17 04/01A EUR 300,000 325,029.00 13.31

GERMANY -07- 4.00 07-18 04/01A EUR 200,000 218,934.00 8.96

Total bonds 2,253,394.28 92.24


2,253,394.28 92.24

595,372.50 24.37



>>|

Portfolio



80


ITALY BTP 3.75 10-21 01/03S EUR 250,000 229,912.50 7.34


BondsItaly

ITALY BTP 5.00 07-39 01/08S EUR 200,000 189,564.00 6.05

ITALY BTP 5.00 09-25 01/03S EUR 370,000 369,500.50 11.80

ITALY BTP 5.00 09-40 01/09S EUR 550,000 518,694.00 16.55

ITALY BTP 6.00 99-31 01/05S EUR 250,000 270,140.00 8.62

ITALY BTP 6.50 97-27 01/11S EUR 300,000 342,858.00 10.95

ITALY INFL. INDEX 2.55 09-41 15/09S EUR 230,000 205,813.33 6.57

2,126,482.33 67.88


GERMANY 4.25 07-39 04/07A EUR 150,000 171,777.00 5.48

GERMANY 4.75 98-28 04/07A EUR 350,000 408,191.00 13.04

Total bonds 2,943,015.33 93.95


2,943,015.33 93.95

816,533.00 26.07




Euro Bonds 10+ Years

81

BIRD EMTN 5.00 06-16 01/04S USD 1,800,000 1,528,352.05 11.36


BondsUnited States of America

USA TREASURY BONDS 5.25 99-29 15/02S USD 550,000 470,320.50 3.50

USA TREASURY BONDS 6.25 93-23 15/08S USD 1,400,000 1,315,760.99 9.78


USA TREASURY NOTES - F2019- 3.375 09-19 15/11S USD 1,350,000 1,032,929.91 7.68

USA TREASURY NOTES -E2017- 4.75 07-17 15/08S USD 2,000,000 1,702,256.82 12.66

USA TREASURY NOTES -R2013- 2.75 08-13 31/10S USD 5,000,000 3,952,717.96 29.39

Total bonds 13,081,634.93 97.26


13,081,634.93 97.26

13,081,634.93 97.26



>>|

Portfolio


US Bonds

82


POLAND -1- 4.50 03-13 05/02A EUR 500,000 519,795.00 0.71


BondsPoland

POLAND -1012- 0.00 10-12 25/10 PLN 8,000,000 1,854,931.32 2.53

POLAND -1013- 5.00 02-13 24/10A PLN 22,000,000 5,560,801.52 7.57

POLAND -1015- 6.25 04-15 24/10A PLN 15,000,000 3,917,958.41 5.34

POLAND -1017- 5.25 06-17 25/10A PLN 14,500,000 3,571,805.92 4.87

POLAND -1019- 5.50 08-19 25/10A PLN 17,000,000 4,157,597.99 5.67

POLAND -112- 0.00 09-12 25/07 PLN 8,000,000 1,879,228.73 2.56

POLAND -112- 0.00 09-12 25/01 PLN 12,000,000 2,891,705.10 3.94

POLAND -412- 4.75 06-12 25/04A PLN 19,000,000 4,811,848.78 6.55

POLAND -413- 5.25 07-13 25/04A PLN 18,000,000 4,578,011.35 6.24

POLAND -414- 5.75 08-14 25/04A PLN 10,000,000 2,572,602.39 3.51

POLAND -415- 5.50 09-15 25/04A PLN 3,000,000 761,255.20 1.04

POLAND -711- 0.00 08-11 25/07 PLN 3,000,000 739,478.26 1.01

POLAND -922- 5.75 01-22 23/09A PLN 10,000,000 2,453,635.79 3.34

40,270,655.76 54.88

CZECH REPUBLIC -40- 3.70 03-13 16/06A CZK 30,000,000 1,235,116.08 1.68Czech Republic

CZECH REPUBLIC -41- 4.60 03-18 18/08A CZK 51,580,000 2,189,340.67 2.98


CZECH REPUBLIC -46- 3.75 05-20 12/09A CZK 10,000,000 392,369.87 0.53







13,190,207.75 17.98

FHB MTGE BANK CO PLC 8.25 03-13 10/09A HUF 124,100,000 454,268.36 0.62Hungary

HUNGARY 3.625 04-11 28/10A EUR 1,000,000 996,386.00 1.36

HUNGARY -A- 6.50 08-19 24/06A HUF 700,000,000 2,288,248.23 3.12

HUNGARY -A- 7.50 04-20 12/11A HUF 100,000,000 346,175.44 0.47

HUNGARY -A- 8.00 04-15 12/02A HUF 150,000,000 539,839.05 0.74

HUNGARY -B- 6.75 06-17 24/02A HUF 204,770,000 691,607.33 0.94

HUNGARY -B- 7.25 06-12 12/06A HUF 200,000,000 716,079.76 0.98

HUNGARY -C- 5.50 03-14 12/02A HUF 500,000,000 1,681,015.83 2.29

HUNGARY -C- 5.50 05-16 12/02A HUF 500,000,000 1,616,560.85 2.20

HUNGARY -C- 6.00 07-12 24/10A HUF 250,000,000 875,918.81 1.19

HUNGARY -D- 6.75 02-13 12/02A HUF 350,000,000 1,235,387.65 1.68

11,441,487.31 15.59

KFW EMTN 9.75 10-13 16/07A TRY 500,000 259,131.78 0.35Germany

LANDESBANK BADEN-WUERTT 4.75 07-11 22/06A PLN 5,000,000 1,255,576.56 1.71

1,514,708.34 2.06

SLOVAKIA -216- 4.35 10-25 14/10A EUR 1,000,000 941,876.00 1.28Slovakia

941,876.00 1.28

ICO 10.25 06-11 16/03A TRY 1,768,000 864,300.32 1.18Spain

864,300.32 1.18

PKO FINANCE AB 3.733 10-15 21/10A EUR 500,000 468,961.00 0.64Sweden

Total bonds 68,692,196.48 93.61

468,961.00 0.64

GENERAL ELECTRIC CAP CORP FL.R 10-15 03/03S CZK 12,000,000 476,873.28 0.65

Floating rate bondsUnited States of America

476,873.28 0.65

OESTERREICHISCHE VOLKSBANKEN AG -231- FL.R 08-11 03/06S RON 2,000,000 463,060.27 0.63Austria

Total floating rate bonds 939,933.55 1.28


69,632,130.03 94.89

463,060.27 0.63




Central and Eastern European Bonds

83>>>

ADECCO INT FIN SERVICES BV -1- 7.625 09-14 28/04A EUR 273,000 309,462.98 0.11


BondsThe Netherlands

AEGON NV -45- 7.00 09-12 29/04A EUR 966,000 1,023,441.26 0.38

AKZO NOBEL NV 7.25 09-15 27/03A EUR 750,000 870,479.25 0.32

ALLIANZ FIN II BV 4.00 06-16 23/11A EUR 2,000,000 2,063,928.00 0.76

BMW FINANCE NV EMTN 8.875 08-13 19/09A EUR 1,000,000 1,173,974.00 0.43

CORIO NV 4.625 10-18 22/01A EUR 250,000 251,110.50 0.09

DAIMLER INTL FIN BV 7.875 09-14 16/01A EUR 1,400,000 1,618,150.80 0.60

DELTA LLOYD NV EMTN -1- 4.25 10-17 17/11A EUR 367,000 360,010.11 0.13

DEUTSCHE TEL INTL FIN BV 6.00 09-17 20/01A EUR 2,500,000 2,823,960.00 1.06

DEUTSCHE TEL INTL FIN BV EMTN 4.375 09-14 02/06A EUR 1,500,000 1,589,634.00 0.59

DIAGEO CAPITAL BV -2008/1- 5.50 08-13 01/07A EUR 500,000 541,445.50 0.20

EDP FINANCE BV EMTN -17- 4.75 09-16 26/09A EUR 400,000 378,242.40 0.14

ENBW INTL FIN BV EMTN -14- 6.125 09-39 07/07A EUR 516,000 586,368.98 0.22

E.ON INTL FIN BV -37- 5.50 09-16 19/01A EUR 2,500,000 2,795,630.00 1.04

HEIDELBERGCEMENT FIN BV EMTN 7.50 09-14 31/10S EUR 400,000 434,258.40 0.16

ING GROEP NV -8- 4.75 07-17 31/05A EUR 2,000,000 2,069,988.00 0.77

KONINKLIJKE DSM NV -3- 5.25 07-17 17/10A EUR 500,000 550,058.50 0.20

KONINKLIJKE KPN NV -19- 6.25 09-14 04/02A EUR 2,000,000 2,218,120.00 0.82

KONINKLIJKE KPN NV -21- 5.625 09-24 30/09A EUR 672,000 712,854.91 0.26

LANXESS FINANCE BV -1- 7.75 09-14 09/04A EUR 300,000 344,387.10 0.13

LINDE FINANCE BV EMTN 4.75 07-17 24/04A EUR 1,000,000 1,083,888.00 0.40

PORTUGAL TEL INTL FIN BV -18- 6.00 09-13 30/04A EUR 700,000 734,489.00 0.27

RABOBANK NEDERLAND NV - 2160A- 4.125 10-20 14/01A EUR 2,500,000 2,511,512.50 0.93

RABOBANK NEDERLAND NV SUB 5.875 09-19 20/05A EUR 1,000,000 1,094,705.00 0.41

REPSOL INTL FIN BV 4.625 04-14 08/10A EUR 750,000 776,803.50 0.29

RWE FINANCE BV -11091- 5.00 09-15 10/02A EUR 1,500,000 1,634,764.50 0.61

RWE FINANCE BV -11092- 6.50 09-21 10/08A EUR 1,500,000 1,785,636.00 0.66

SCHLUMBERGER FIN BV -1- 4.50 09-14 25/03A EUR 2,000,000 2,138,524.00 0.79

SHELL INTL FIN BV -13- 4.375 09-18 14/05A EUR 1,000,000 1,066,984.00 0.40

TENNET HOLDING BV 6.655 10-XX 02/09A EUR 600,000 633,274.20 0.23

THYSSENKRUPP FIN NEDERLAND BV -1- 6.75 09-13 25/02A EUR 750,000 809,307.75 0.30

TNT NV 5.375 07-17 14/11A EUR 500,000 522,974.50 0.19

VOLKSWAGEN INTERNATIONAL FINANCE NV -A 11/09- 3.50 09-15 02/02A EUR 1,500,000 1,542,723.00 0.57

ZIGGO FIN BV 6.125 10-17 15/11S EUR 300,000 300,565.80 0.11

39,351,656.44 14.57

ANGLO AMERICAN CAP PLC -25- 5.875 08-15 17/04A EUR 500,000 555,451.00 0.21United Kingdom

ANGLO AMERICAN CAP PLC -28- 4.25 09-13 30/09A EUR 400,000 420,120.40 0.16

BARCLAYS BANK PLC -196- 5.25 09-14 27/05A EUR 2,000,000 2,137,084.00 0.79

BARCLAYS BANK PLC -206- 6.00 10-21 14/01A EUR 500,000 485,731.00 0.18

BAT INTL FIN PLC -34- 5.875 08-15 12/03A EUR 1,700,000 1,893,607.90 0.70

BAT INTL FIN PLC -36- 4.875 09-21 24/02A EUR 350,000 367,053.75 0.14

BRITISH TELECOM PLC -20091- 6.125 09-14 11/07A EUR 700,000 773,173.80 0.29

CREDIT SUISSE LONDON -27- 3.875 10-17 25/01A EUR 3,500,000 3,522,239.00 1.30

GLAXOSMITHKLINE CAP PLC EMTN 4.00 05-25 16/06A EUR 500,000 494,999.00 0.18

HSBC HOLDINGS PLC SUB -16- 6.00 09-19 10/06A EUR 2,157,000 2,296,391.81 0.85

IMPERIAL TOBACCO FIN PLC 7.25 08-14 15/09A EUR 500,000 573,966.00 0.21

IMPERIAL TOBACCO FIN PLC 8.375 09-16 17/02A EUR 700,000 854,595.00 0.32

LLOYDS TSB BANK PLC EMTN -3872- 6.375 09-16 17/06A EUR 2,248,000 2,418,497.31 0.90

LLOYDS TSB BANK PLC -3997- 6.50 10-20 24/03A EUR 600,000 554,852.40 0.21

NATIONAL GRID GAS PLC EMTN -66- 5.125 08-13 14/05A EUR 1,350,000 1,443,691.35 0.53

NATIONAL GRID PLC EMTN -52- 6.50 09-14 22/04A EUR 1,500,000 1,687,623.00 0.63

NATIONWIDE BUILDING SOCIETY -1- 3.50 05-15 07/12A EUR 1,500,000 1,511,461.50 0.56

ROYAL BANK OF SCOTLAND GROUP PLC -2958- 5.25 08-13 15/05A EUR 1,900,000 1,970,364.60 0.73

ROYAL BANK OF SCOTLAND GROUP PLC -3121- 5.375 09-19 30/09A EUR 600,000 574,155.00 0.21

ROYAL BANK OF SCOTLAND PLC -3149- 4.875 10-17 20/01A EUR 1,495,000 1,441,348.93 0.53

ROYAL BANK OF SCOTLAND PLC -3203- 4.875 10-15 15/07A EUR 833,000 838,992.60 0.31

TESCO PLC EMTN -61- 5.125 07-47 10/04A EUR 450,000 451,466.10 0.17

TESCO PLC -67- 5.125 09-15 24/02A EUR 300,000 330,267.90 0.12

UBS AG LONDON 5.625 09-14 19/05A EUR 4,000,000 4,338,212.00 1.61

VODAFONE GROUP PLC -41- 6.25 09-16 15/01A EUR 1,500,000 1,711,278.00 0.63

VODAFONE GROUP PLC -43- 4.65 10-22 20/01A EUR 750,000 764,461.50 0.28

34,411,084.85 12.75

AHOLD FIN USA LLC EMTN 5.875 01-12 14/03A EUR 500,000 523,190.50 0.19United States of America


Portfolio


Euro Corporate Bonds

84


>>>

AMERICAN HONDA FIN CORP -400- 3.875 09-14 16/09A EUR 750,000 786,375.75 0.29

BANK OF AMERICA CORP -381- 4.625 10-17 07/08A EUR 1,850,000 1,772,422.10 0.66

BMW US CAPITAL LLC 5.00 08-15 28/05A EUR 500,000 545,200.00 0.20

BMW US CAPITAL LLC 6.375 09-12 23/07A EUR 1,563,000 1,671,608.18 0.62

BRISTOL MYERS SQUIBB CO 4.625 06-21 15/11A EUR 500,000 528,960.50 0.20

CARGILL INC 6.25 08-15 24/07A EUR 500,000 568,949.00 0.21

CITIGROUP INC -58- 6.40 08-13 27/03A EUR 3,000,000 3,203,529.00 1.20

CITIGROUP INC -63- 7.375 09-14 16/06A EUR 1,640,000 1,821,800.56 0.67

GOLDMAN SACHS GROUP INC 5.125 07-14 16/10A EUR 2,000,000 2,091,496.00 0.77

GOLDMAN SACHS GROUP INC -C- 5.375 08-13 15/02A EUR 2,000,000 2,101,878.00 0.78

HSBC FINANCE CORP -152- 3.75 05-15 04/11A EUR 1,800,000 1,819,864.80 0.67

JP MORGAN CHASE & CO -48- 5.25 08-13 08/05A EUR 1,650,000 1,751,141.70 0.65

KRAFT FOODS INC 5.75 08-12 20/03A EUR 1,000,000 1,046,286.00 0.39

MERCK AND CO INC 5.375 07-14 01/10A EUR 500,000 551,942.00 0.20

MERRILL LYNCH & CO INC EMTN -6655- 6.75 08-13 21/05A EUR 1,000,000 1,063,500.00 0.39

MORGAN STANLEY 4.50 09-14 29/10A EUR 1,800,000 1,832,160.60 0.68

MORGAN STANLEY EMTN 5.375 10-20 10/08A EUR 600,000 580,023.00 0.21

NYSE EURONEXT INC EMTN 5.375 08-15 30/06A EUR 350,000 378,519.40 0.14

PFIZER INC 5.75 09-21 03/06A EUR 550,000 628,308.45 0.23

PROCTER AND GAMBLE CO 4.125 05-20 07/12A EUR 500,000 522,287.00 0.19

PROCTER AND GAMBLE CO 4.875 07-27 11/05A EUR 500,000 527,310.00 0.20

ROCHE HLDGS INC -2- 5.625 09-16 04/03A EUR 1,500,000 1,689,439.50 0.63

SES GLOBAL AMERICAS HLDG 4.875 09-14 09/07A EUR 1,000,000 1,065,305.00 0.39

SWISS RE TREASURY US CORP EMTN -142- 6.00 09-12 18/05A EUR 1,217,000 1,282,596.30 0.48

TOYOTA MOTOR CREDIT CORP -501- 6.625 09-16 03/02A EUR 1,000,000 1,176,390.00 0.44

WELLS FARGO AND CO 4.125 06-16 03/11A EUR 800,000 807,360.80 0.30

ZURICH FINANCE USA INC -15- 4.875 09-12 14/04A EUR 1,369,000 1,418,800.11 0.53

33,756,644.25 12.51

ALSTOM SA 4.125 10-17 01/02A EUR 1,000,000 1,009,746.00 0.37France

AUTOROUTES DU SUD FRANCE 4.125 10-20 13/04A EUR 300,000 297,864.30 0.11

AUTOROUTES DU SUD FRANCE EMTN 7.375 09-19 20/03A EUR 800,000 986,164.80 0.37

AXA SA EMTN -29- 4.50 09-15 23/01A EUR 1,000,000 1,048,062.00 0.39

BANQUE PSA FINANCE -376- 3.75 09-11 11/03A EUR 800,000 803,236.00 0.30




BOUYGUES SA 3.641 10-19 29/10A EUR 750,000 725,438.25 0.27

BOUYGUES SA 6.125 08-15 03/07A EUR 800,000 903,701.60 0.33

BPCE SA EMTN 3.75 10-17 21/07A EUR 1,500,000 1,480,305.00 0.55

CARREFOUR SA EMTN -48- 4.00 10-20 09/04A EUR 1,500,000 1,486,291.50 0.55

CASINO GUICHARD PERRACHON SA EMTN 5.50 09-15 30/01A EUR 400,000 434,068.80 0.16

CIE DE SAINT GOBAIN SA EMTN -10- 4.00 10-18 08/10A EUR 700,000 689,922.80 0.26

CREDIT AGRICOLE SA -232- 5.971 08-18 01/02A EUR 2,000,000 2,145,110.00 0.78

CROWN EURO HLDGS 7.125 10-18 15/08S EUR 300,000 313,929.60 0.12

EUTELSAT SA 4.125 10-17 27/03A EUR 250,000 250,638.50 0.09

FRANCE TELECOM SA EMTN 8.125 03-33 28/01A EUR 1,200,000 1,647,067.20 0.61

HSBC FRANCE SA EMTN 4.875 09-14 15/01A EUR 1,500,000 1,606,330.50 0.60

ITALCEMENTI FINANCE EMTN -1- 5.375 10-20 19/03A EUR 300,000 292,987.50 0.11

LAFARGE SA EMTN -1- 7.625 09-14 27/05A EUR 383,000 427,587.33 0.16

NATIXIS SA EMTN 4.375 03-13 20/06A EUR 500,000 507,207.50 0.19

PPR SA 8.625 09-14 03/04A EUR 500,000 587,056.50 0.22

RCI BANQUE SA EMTN 4.00 10-13 11/07A EUR 685,000 701,727.02 0.26

RCI BANQUE SA -232- 5.25 08-11 27/05A EUR 1,400,000 1,419,425.00 0.53

RCI BANQUE SA -248- 2.875 10-12 23/07A EUR 937,000 945,215.62 0.35

SCHNEIDER ELECTRIC SA -7- 5.375 07-15 08/01A EUR 1,500,000 1,657,189.50 0.61

SOCIETE GENERALE SA -25967/1- 3.00 10-15 31/03A EUR 1,000,000 994,469.00 0.37

SUEZ ENVIRONNEMENT SA 5.50 09-24 22/07A EUR 500,000 553,625.00 0.21

VEOLIA ENVIRONNEMENT SA 5.25 09-14 24/04A EUR 946,000 1,025,750.64 0.38

VEOLIA ENVIRONNEMENT SA -12- 6.125 03-33 25/11A EUR 800,000 876,390.40 0.32

VIVENDI SA 4.25 09-16 01/12A EUR 300,000 306,144.00 0.11

VIVENDI SA -3- 4.875 09-19 02/12A EUR 800,000 816,204.80 0.30

28,640,637.29 10.61

ATLANTIA SPA EMTN -5- 5.625 09-16 06/05A EUR 1,200,000 1,290,313.20 0.48Italy

A2A SPA EMTN 4.50 09-16 02/11A EUR 450,000 454,001.40 0.17

BANCO POPOLARE SOCIETA COOPERATIVA -64- 3.75 09-12 07/08A EUR 2,500,000 2,514,135.00 0.93

BANCO POPOLARE SOCIETA COOPERATIVA -72- 4.125 09-14 22/10A EUR 750,000 749,934.00 0.28


ENEL SPA EMTN -35- 5.25 07-17 20/06A EUR 1,000,000 1,070,703.00 0.40

ENI SPA -5- 5.00 09-16 28/01A EUR 2,000,000 2,160,866.00 0.80



85>>>

EXOR SPA EMTN 5.375 07-17 12/06A EUR 1,000,000 1,023,443.00 0.38

GRUPPO EDIT L'ESPRESSO SPA 5.125 04-14 27/10A EUR 850,000 854,378.35 0.32

HERA SPA 4.50 09-19 03/12A EUR 400,000 390,820.00 0.14

INTESA SANPAOLO SPA 2.625 09-12 04/12A EUR 2,500,000 2,495,982.50 0.92

INTESA SANPAOLO SPA -443- 6.625 08-18 08/05A EUR 300,000 297,629.70 0.11

INTESA SANPAOLO SPA -508- 5.375 08-13 19/12A EUR 1,300,000 1,378,088.40 0.51

ITALY BTP 3.00 10-15 15/06S EUR 3,000,000 2,912,940.00 1.08

MONTE DEI PASCHI DI SIENA SPA -2008/10- 6.00 08-11 20/06A EUR 2,000,000 2,035,086.00 0.75

TELECOM ITALIA SPA EMTN -24- 5.25 10-22 10/02A EUR 1,000,000 965,551.00 0.36

UBI BANCA SPCA -65- 4.939 09-14 25/06A EUR 1,350,000 1,394,529.75 0.52

UNICREDIT SPA -219- 5.75 07-17 26/09A EUR 500,000 497,952.00 0.18

UNICREDIT SPA -373- 5.25 09-14 14/01A EUR 1,500,000 1,579,491.00 0.59

24,448,788.70 9.06

BAYERISCHE LDBK -788- 3.50 09-13 08/10A EUR 500,000 516,592.50 0.19Germany

DAIMLER AG EMTN 4.625 09-14 02/09A EUR 10,000 10,691.24 0.00

DAIMLER AG -6- EMTN 4.125 10-17 19/01A EUR 1,000,000 1,039,958.00 0.39

DEUTSCHE BANK AG EMTN 5.125 07-17 31/08A EUR 3,000,000 3,276,525.00 1.21

DEUTSCHE LUFTHANSA AG -2- 6.50 09-16 07/07A EUR 300,000 332,329.20 0.12

EWE AG 5.25 09-21 16/07A EUR 280,000 299,377.68 0.11

GERMANY 1.00 10-12 14/12A EUR 7,000,000 7,018,620.00 2.59

MAN SE -1- 5.375 09-13 20/05A EUR 1,607,000 1,722,021.03 0.64

MERCK FIN SERVICES GMBH 4.50 10-20 24/03A EUR 436,000 447,447.18 0.17


METRO AG EMTN 7.625 09-15 05/03A EUR 778,000 914,793.40 0.34

RHEINMETALL AG 4.00 10-17 22/09A EUR 1,000,000 988,816.00 0.37

17,179,016.43 6.36

ABERTIS INFRAESTRUCTURAS SA 4.625 09-16 14/10A EUR 400,000 370,264.80 0.14Spain

GAS NATURAL CAP MKTS SA -10- 4.50 10-20 27/01A EUR 250,000 222,252.50 0.08

IBERDROLA FINANZAS SAU -82- 4.875 09-14 04/03A EUR 1,000,000 1,040,731.00 0.39

SANTANDER INTL DEBT SA EMTN -141- 3.50 10-15 10/03A EUR 3,050,000 2,917,706.25 1.08

SANTANDER INTL DEBT SA -153- 3.50 10-14 12/08A EUR 1,000,000 968,162.00 0.36

TELEFONICA EMISIONES SA -17- 5.431 09-14 03/02A EUR 2,500,000 2,653,287.50 0.98

TELEFONICA EMISIONES SA -24- 3.661 10-17 18/09A EUR 1,500,000 1,425,910.50 0.53

9,598,314.55 3.56

BANESTO FIN PRODUCTS PLC -496- 4.00 09-12 08/05A EUR 1,000,000 1,000,411.00 0.37Ireland

CATERPILLAR INTL FIN LTD -53- 5.125 09-12 04/06A EUR 250,000 262,191.50 0.10

GE CAP EUR FUNDING 4.25 07-14 06/02A EUR 2,100,000 2,192,091.30 0.81



8,418,738.80 3.12

ARCELORMITTAL SA 8.25 09-13 03/06A EUR 600,000 671,755.80 0.25Luxembourg

ARCELORMITTAL SA 9.375 09-16 03/06A EUR 500,000 611,254.50 0.23

CONVATEC HEALTHCARE E SA 7.375 10-17 15/12S EUR 334,000 339,566.78 0.13

ENEL FIN INTL SA -41- 5.00 09-22 14/09A EUR 1,842,000 1,871,459.10 0.68

FIAT FIN & TRADE LTD SA 9.00 09-12 30/07A EUR 751,000 808,474.79 0.30

GLENCORE FINANCE EUR. SA 7.125 08-15 23/04A EUR 400,000 443,104.00 0.16

GLENCORE FINANCE EUR. SA -6- 5.25 06-13 11/10A EUR 500,000 527,959.50 0.20


HOLCIM FINANCE SA EMTN 4.375 04-14 09/12A EUR 400,000 420,528.40 0.16

MICHELIN LUXBG SCS -1- 8.625 09-14 24/04A EUR 719,000 845,024.16 0.31

SUNRISE COMM. INTL SA 7.00 10-17 31/12S EUR 300,000 314,937.60 0.12

7,560,165.13 2.80

INVESTOR AB -32- 4.875 09-21 18/11A EUR 450,000 476,813.70 0.18Sweden

SWEDBANK AB EMTN -136- 3.125 10-13 04/03A EUR 2,278,000 2,315,530.05 0.86

TELIASONERA AB -66- 4.75 09-21 16/11A EUR 442,000 462,686.05 0.17

VATTENFALL AB 6.75 08-19 31/01A EUR 1,200,000 1,443,706.80 0.53

VOLVO TREASURY AB -248- EMTN 7.875 09-12 01/10A EUR 750,000 824,099.25 0.31

5,522,835.85 2.05

BHP BILLITON FIN LTD -6- 6.375 09-16 04/04A EUR 600,000 697,646.40 0.26Australia

NATIONAL AUSTRALIA BANK LTD 4.75 09-16 15/07A EUR 1,500,000 1,602,519.00 0.59

TELSTRA CORP LTD 4.75 07-17 21/03A EUR 500,000 536,239.50 0.20

TELSTRA CORP LTD -31- 4.25 10-20 23/03A EUR 1,200,000 1,209,100.80 0.45

WESFARMERS LTD EMTN -1- 3.875 10-15 10/07A EUR 300,000 309,864.30 0.11

WESTPAC BANKING CORP -663- 4.875 07-12 28/09A EUR 1,000,000 1,053,444.00 0.39

5,408,814.00 2.00


Portfolio


86


>>>

ANHEUSER-BUSCH INBEV NV 4.00 10-18 26/04A EUR 900,000 915,609.38 0.34Belgium

ELIA SYSTEM OP SA/NV 4.50 09-13 22/04A EUR 850,000 893,089.05 0.33


2,476,343.63 0.92

OMV AG 6.25 09-14 07/04A EUR 2,000,000 2,222,746.00 0.82Austria

2,222,746.00 0.82

DANSKE BANK AS -432- 4.75 09-14 04/06A EUR 1,000,000 1,059,205.00 0.39Denmark

DONG ENERGY AS 4.875 09-21 16/12A EUR 1,000,000 1,030,534.00 0.38

2,089,739.00 0.77

TELENOR ASA -EMTN- 4.875 07-17 29/05A EUR 1,000,000 1,084,936.00 0.40Norway

1,084,936.00 0.40

NESTE OIL 4.875 10-15 06/07A EUR 1,000,000 1,032,692.00 0.38Finland

1,032,692.00 0.38

BANCO ESPIRITO SANTO SA 5.625 09-14 05/06A EUR 700,000 613,795.70 0.23Portugal

613,795.70 0.23

XSTRATA CANADA FINANCE CORP 6.25 08-15 27/05A EUR 500,000 556,255.50 0.21Canada

556,255.50 0.21

AMERICA MOVIL SAB DE CV 3.75 10-17 28/06A EUR 450,000 451,030.50 0.17Mexico

451,030.50 0.17

CEZ AS EMTN -9- 5.00 09-21 19/10A EUR 357,000 364,016.84 0.13Czech Republic

364,016.84 0.13

VOTO VOTORANTIM LTD 5.25 10-17 28/04A EUR 200,000 199,812.50 0.07Cayman Islands

Total bonds 225,388,063.96 83.49

199,812.50 0.07

ALLIANZ IARD SA FL.R 05-XX 10/06A EUR 1,000,000 873,749.00 0.32

Floating rate bondsFrance

AXA SA FL.R 10-40 16/04A EUR 500,000 449,736.00 0.17

AXA SA SUB -26- FLR 07-17 05/10A EUR 900,000 770,519.70 0.29

BFCM EMTN -105- FL.R 05-15 28/10A EUR 500,000 417,321.50 0.15

BNP PARIBAS SA SUB FL.R 06-XX 12/04A EUR 2,000,000 1,754,166.00 0.66

BPCE SA FL.R 10-XX 17/03A EUR 1,000,000 978,610.00 0.37

CNP ASSURANCES SA FL.R 10-40 14/09A EUR 350,000 330,073.10 0.12

CNP ASSURANCES SA FL.R 06-XX 22/12A EUR 1,000,000 801,815.00 0.30

GROUPAMA SA FL.R 07-XX 22/10A EUR 500,000 379,800.50 0.14

SOCIETE GENERALE SA FL.R 05-49 29/01A EUR 350,000 282,843.75 0.10

SOCIETE GENERALE SA FL.R 08-XX 22/05A EUR 750,000 736,560.00 0.27

SOLVAY FINANCE FRANCE SA FL.R 06-04 02/06A EUR 400,000 410,213.60 0.15

VINCI SA FL.R 06-XX 13/02A EUR 400,000 405,979.60 0.15

8,591,387.75 3.19

ANTONVENETA CAP TRUST II FL.R 01-XX 27/06Q EUR 1,500,000 1,409,907.00 0.52United States of America

BANK OF AMERICA CORP SUB -150- FL.R 06-18 28/03A EUR 500,000 450,837.00 0.17

CITIGROUP INC SUB EMTN -20- FL.R 05-30 25/02A EUR 1,000,000 791,363.00 0.29

CREDIT SUISSE GROUP FINANCE (US) FL.R 05-20 14/09A EUR 700,000 653,951.20 0.24

GE CAP TRUST IV FL.R 09-66 15/09A EUR 500,000 421,276.50 0.16

JP MORGAN CHASE & CO SUB. FL.R 04-19 12/11A EUR 850,000 835,655.40 0.31

JP MORGAN CHASE & CO -4- FL.R 06-18 31/03A EUR 700,000 692,955.20 0.26

SG CAPITAL TRUST III SUB FL.R 03-49 10/11A EUR 300,000 270,136.20 0.10

UNICREDITO ITALIANO CAPITAL TRUST III FL.R 05-XX 27/10A EUR 1,500,000 1,114,929.00 0.41

6,641,010.50 2.46

ASSICURAZIONI GENERALI SPA SUB FL.R 00-22 20/07A EUR 2,000,000 2,026,584.00 0.74Italy

BANCA DELLE MARCHE SPA -20- FL.R 07-17 01/06Q EUR 1,000,000 877,750.00 0.33

BANCA POP DI MILANO SCARL SUB FL.R 08-XX 25/06A EUR 350,000 344,750.00 0.13

CENTRO LEASING BANCA SPA EMTN -2- FL.R 07-17 17/07Q EUR 1,500,000 1,305,000.00 0.48

INTESA SANPAOLO SPA FL.R 08-XX 20/06A EUR 500,000 474,125.50 0.18

5,028,209.50 1.86

BAYER AG SUB FL.R 05-XX 29/07A EUR 500,000 497,947.50 0.18Germany

COMMERZBANK AG SUB. FL.R 06-16 13/09A EUR 1,000,000 845,133.00 0.32

DEUTSCHE BANK AG FL.R 04-14 16/01Q EUR 613,000 593,831.49 0.22



87

DEUTSCHE BANK AG EMTN FL.R 05-17 09/03A EUR 500,000 491,423.00 0.18

HENKEL AG & CO KGAA SUB FL.R 05-04 25/11A EUR 750,000 760,931.25 0.28

MUENCHENER RUECK. AG FL.R 03-23 21/06A EUR 800,000 835,730.40 0.31

RWE FL.R 10-XX 28/09A EUR 400,000 385,646.00 0.14

4,410,642.64 1.63

ALLIANZ FIN II BV SUB FL.R 05-XX 28/02A EUR 800,000 707,692.00 0.26The Netherlands

ELM BV/SWISS REA. FL.R 06-XX 15/06Q EUR 1,000,000 275,000.00 0.10

LINDE FINANCE BV SUB FL.R 03-XX 03/07A EUR 750,000 781,078.50 0.30

SIEMENS FIN NV FL.R 06-66 14/09A EUR 600,000 604,867.80 0.22

2,368,638.30 0.88

AVIVA PLC FL.R 04-XX 29/11A EUR 500,000 403,019.00 0.15United Kingdom

AVIVA PLC SUB FL.R 03-XX 29/09A EUR 300,000 256,541.70 0.10

BARCLAYS BANK PLC -160- FL.R 07-17 30/05Q EUR 1,000,000 925,350.00 0.34

IMPERIAL TOBACCO FIN PLC EMTN -25- FL.R 09-12 25/06A EUR 625,000 651,826.87 0.24

2,236,737.57 0.83

NORDEA BANK AB SUB -NB104- FL.R 08-18 10/09A EUR 2,000,000 2,152,480.00 0.80Sweden

2,152,480.00 0.80

ARCELORMITTAL SA -1- FL.R 10-17 17/11A EUR 166,000 166,533.03 0.06Luxembourg

ECONOMY LUXBG SA SUB FL.R 06-16 31/10S EUR 1,000,000 990,000.00 0.37

HANNOVER FINANCE SA FL.R 10-40 14/09A EUR 650,000 604,105.45 0.22

1,760,638.48 0.65

DANSKE BANK AS EMTN FL.R 03-16 20/06A EUR 750,000 719,464.50 0.26Denmark

DONG ENERGY AS SUB FL.R 05-XX 29/06 EUR 500,000 504,192.50 0.19

1,223,657.00 0.45

CLOVERIE PLC SUB FL.R 09-39 24/07A EUR 1,050,000 1,123,262.70 0.42Ireland

1,123,262.70 0.42

BAA FUNDING LTD A5 -1- FL.R 08-14 15/02A EUR 600,000 610,036.80 0.23Jersey Island

610,036.80 0.23

CREDIT SUISSE GROUP FINANCE LTD FL.R 06-18 23/01A EUR 500,000 491,894.50 0.18Guernsey

491,894.50 0.18

RESONA BANK LTD SUB FL.R 05-XX 15/09A EUR 481,000 479,196.25 0.18Japan

479,196.25 0.18

BANCO BILBAO VIZCAYA ARGENTARIA SA FL.R 04-19 20/10A EUR 400,000 336,651.20 0.12Spain

Total floating rate bonds 37,454,443.19 13.88


262,842,507.15 97.37

336,651.20 0.12



>>|

Portfolio


88


>>>

ABN AMRO BANK NV EMTN -9- 2.75 10-13 29/10A EUR 400,000 401,248.00 0.32


BondsThe Netherlands

ADECCO INT FIN SERVICES BV 4.50 06-13 25/04A EUR 800,000 829,220.00 0.66

AEGON NV -45- 7.00 09-12 29/04A EUR 600,000 635,677.80 0.51

BMW FINANCE NV 6.125 09-12 02/04A EUR 1,500,000 1,581,708.00 1.26

BMW FINANCE NV EMTN 2.875 10-13 18/04A EUR 1,000,000 1,021,159.00 0.81

DAIMLER INTL FIN BV 7.875 09-14 16/01A EUR 1,000,000 1,155,822.00 0.92

DEUTSCHE TEL INTL FIN BV -2- 8.125 02-12 29/05A EUR 1,600,000 1,740,296.00 1.39

DIAGEO CAPITAL BV -2008/1- 5.50 08-13 01/07A EUR 500,000 541,445.50 0.43

E.ON INTL FIN BV -44- 4.125 09-13 26/03A EUR 1,300,000 1,363,837.80 1.09

HEIDELBERGCEMENT FIN BV EMTN 7.50 09-14 31/10S EUR 162,000 175,874.65 0.14

IBERDROLA INTL BV EMTN 4.875 03-13 18/02A EUR 500,000 520,955.50 0.42

ING BANK NV 2.25 10-13 23/09A EUR 2,000,000 1,989,618.00 1.59

ING BANK NV SUB 5.50 01-12 04/01A EUR 600,000 614,427.00 0.49

KONINKLIJKE KPN NV -15- EMTN 5.00 07-12 13/11A EUR 500,000 528,118.00 0.42

LANXESS FINANCE BV 4.125 05-12 21/06A EUR 500,000 515,826.00 0.41

LINDE FINANCE BV EMTN 4.375 07-12 24/04A EUR 300,000 311,342.40 0.25

METRO FINANCE BV EMTN 4.75 07-12 29/05A EUR 300,000 312,258.30 0.25



REPSOL INTL FIN BV 5.00 03-13 22/07A EUR 400,000 420,182.40 0.33

SIEMENS FIN NV 4.125 09-13 20/02A EUR 700,000 733,093.90 0.58

SNS BANK NV -908- 3.625 10-13 18/07A EUR 400,000 403,310.00 0.32

TELEFONICA EUROPE BV EMTN -16- 5.125 03-13 14/02A EUR 700,000 737,144.10 0.59

THYSSENKRUPP FIN NEDERLAND BV -1- 6.75 09-13 25/02A EUR 800,000 863,261.60 0.69

VOLKSWAGEN INTERNATIONAL FINANCE NV -A03/09- 5.625 09-12 09/02A EUR 1,750,000 1,824,315.50 1.45

VOLKSWAGEN INTERNATIONAL FINANCE NV -A08/09- 5.375 09-13 15/11A EUR 500,000 541,727.00 0.43

20,429,428.10 16.28

BANCA MONTE DEI PASCHI DI SIENA SPA -2007/22- 5.00 07-12 25/10A EUR 1,000,000 1,031,394.00 0.82Italy

BANCO POPOLARE SOCIETA COOPERATIVA -64- 3.75 09-12 07/08A EUR 1,600,000 1,609,046.40 1.28


INTESA SANPAOLO SPA 2.625 09-12 04/12A EUR 3,600,000 3,594,214.80 2.86

ITALY BTP 2.50 09-12 01/07S EUR 4,900,000 4,888,240.00 3.89

MEDIOBANCA SPA -227- 4.875 07-12 20/12A EUR 500,000 521,103.50 0.42

TELECOM ITALIA SPA 6.25 02-12 01/02A EUR 1,750,000 1,827,350.00 1.46

TELECOM ITALIA SPA EMTN -21- 6.75 09-13 21/03A EUR 800,000 865,102.40 0.69

UNICREDIT SPA SUB EMTN -5- 6.10 02-12 28/02A EUR 400,000 412,528.00 0.33

UNICREDIT SPA -382- 4.125 09-12 27/04A EUR 1,000,000 1,023,182.00 0.82

16,266,267.60 12.96

ANGLIAN WATER SERV. FIN. PLC EMTN 4.625 03-13 07/10A EUR 600,000 636,649.20 0.51United Kingdom

ANGLO AMERICAN CAP PLC -28- 4.25 09-13 30/09A EUR 400,000 420,120.40 0.33

AVIVA PLC SUB 5.75 01-21 14/11A EUR 400,000 393,106.40 0.31

BARCLAYS BANK PLC SUB EMTN 4.875 03-13 31/03A EUR 750,000 771,672.75 0.61

BAT INTL FIN PLC -28- 3.625 05-12 29/06A EUR 1,000,000 1,029,368.00 0.82

CREDIT SUISSE LONDON EMTN -15- 6.125 08-13 05/08A EUR 500,000 545,713.50 0.43

GLAXOSMITHKLINE CAP PLC EMTN -10- 5.125 07-12 13/12A EUR 1,000,000 1,065,701.00 0.85

HSBC HOLDINGS PLC 5.375 02-12 20/12A EUR 750,000 785,181.75 0.63

LLOYDS TSB BANK PLC EMTN -3931- 3.25 09-12 26/11A EUR 2,000,000 2,015,766.00 1.60

NATIONAL GRID PLC EMTN 4.125 06-13 21/03A EUR 800,000 835,265.60 0.67

NATIONWIDE BUILDING SOCIETY EMTN 3.875 06-13 05/12A EUR 800,000 827,220.00 0.66

OTE PLC -6- 5.375 08-11 14/02A EUR 600,000 600,088.20 0.48

REXAM PLC 4.375 06-13 15/03A EUR 300,000 311,925.30 0.25


SCOTTISH & SOUTHERN ENERGY PLC -1- 6.125 08-13 29/07A EUR 500,000 548,317.00 0.44


UBS AG LONDON EMTN 6.25 08-13 03/09A EUR 1,000,000 1,093,194.00 0.87

UBS AG LONDON EMTN 4.625 09-12 06/07A EUR 1,000,000 1,038,521.00 0.83



15,641,360.60 12.46

AIR PRODUCTS & CHEMICALS INC 4.25 04-12 10/04A EUR 350,000 361,403.00 0.29United States of America

CARGILL INC 4.375 06-13 29/04A EUR 500,000 525,628.00 0.42

CITIGROUP INC EMTN 3.95 06-13 10/10A EUR 1,200,000 1,221,357.60 0.97



Short Term Euro Corporate Bonds

89>>>

CITIGROUP INC -58- 6.40 08-13 27/03A EUR 400,000 427,137.20 0.34

CL CAPITAL TRUST I 7.047 02-XX 26/04A EUR 500,000 488,399.00 0.39

DAIMLER FIN NORTH AMERICA LLC EMTN 4.375 06-13 21/03A EUR 500,000 525,371.50 0.42

GOLDMAN SACHS GROUP INC 5.125 03-13 24/04A EUR 1,000,000 1,047,187.00 0.83

GOLDMAN SACHS GROUP INC -381- 3.125 05-12 04/10A EUR 1,000,000 1,016,614.00 0.81

JP MORGAN CHASE & CO -48- 5.25 08-13 08/05A EUR 1,000,000 1,061,298.00 0.85

KRAFT FOODS INC 5.75 08-12 20/03A EUR 1,000,000 1,046,286.00 0.83

MERRILL LYNCH & CO INC EMTN -6655- 6.75 08-13 21/05A EUR 1,200,000 1,276,200.00 1.02

MORGAN STANLEY -G- EMTN 3.75 06-13 01/03A EUR 400,000 404,878.80 0.32

PHILIP MORRIS INTL INC -1- 4.25 09-12 23/03A EUR 800,000 825,596.80 0.66

ROCHE HLDGS INC -1- 4.625 09-13 04/03A EUR 1,500,000 1,587,729.00 1.26

SWISS RE TREASURY US CORP EMTN -142- 6.00 09-12 18/05A EUR 800,000 843,120.00 0.67

TOYOTA MOTOR CREDIT CORP -500- 5.25 09-12 03/02A EUR 1,000,000 1,038,990.00 0.83

WELLS FARGO BANK NA -I- 6.00 08-13 23/05A EUR 500,000 539,286.50 0.43

14,236,482.40 11.34

BANQUE PSA FINANCE -374- 8.50 09-12 04/05A EUR 900,000 968,823.90 0.78France



BFCM EMTN SUB 6.50 01-13 19/07A EUR 500,000 540,471.50 0.43

BNP PARIBAS SA -12877- 3.25 09-12 27/03A EUR 750,000 765,732.75 0.61

CARREFOUR SA EMTN -35- 3.625 05-13 06-05A EUR 500,000 518,605.50 0.41

CASINO GUICHARD PERRACHON SA 6.375 08-13 04/04A EUR 350,000 380,637.60 0.30

CASINO GUICHARD PERRACHON SA EMTN 6.00 02-12 27/02A EUR 250,000 262,389.25 0.21

CIE DE SAINT GOBAIN SA -6- 7.25 08-13 16/09A EUR 750,000 842,851.50 0.68

FRANCE TELECOM SA EMTN 7.25 03-13 28/01A EUR 486,000 537,921.81 0.43

LVMH MOET HENNESSY LOUIS VUITTON SA 4.375 09-14 12/05A EUR 500,000 532,477.50 0.42

PPR SA EMTN -6- 4.00 05-13 29/01A EUR 500,000 516,685.00 0.41

RCI BANQUE SA EMTN 4.00 10-13 11/07A EUR 458,000 469,183.90 0.37

RCI BANQUE SA EMTN -246- 3.375 10-13 23/01A EUR 500,000 506,527.50 0.40


SANOFI AVENTIS SA -10- 3.50 09-13 17/05A EUR 400,000 414,627.20 0.33

SFR SA 3.375 05-12 18/07A EUR 800,000 817,726.40 0.66

VEOLIA ENVIRONNEMENT SA 4.875 03-13 28/05A EUR 300,000 319,457.70 0.25


VIVENDI SA 7.75 09-14 23/01A EUR 350,000 401,315.95 0.32

10,842,840.09 8.64

AKZO NOBEL SWEDEN FIN AB 7.75 08-14 31/01A EUR 500,000 573,743.00 0.46Sweden

SECURITAS AB EMTN -5- 6.50 09-13 02/04A EUR 500,000 544,926.50 0.43

SVENSKA HANDELSBANKEN AB -271- 3.00 09-12 20/08A EUR 600,000 613,258.80 0.49

SWEDBANK AB EMTN -136- 3.125 10-13 04/03A EUR 2,747,000 2,792,256.83 2.22

VATTENFALL AB EMTN 5.75 08-13 05/12A EUR 600,000 661,414.80 0.53

5,185,599.93 4.13

BBVA SENIOR FIN. SA UNIPERSONAL -108- 2.75 10-12 10/09A EUR 1,000,000 982,008.00 0.78Spain

CAJA MADRID 5.125 08-11 11/04A EUR 500,000 501,504.50 0.40

GAS NATURAL CAP MKTS SA -5- 3.125 09-12 02/11A EUR 500,000 504,333.00 0.40

SANTANDER INTL DEBT SA 5.625 08-12 14/02A EUR 1,200,000 1,227,812.40 0.98

TELEFONICA EMISIONES SA 5.58 08-13 12/06A EUR 700,000 747,186.30 0.60

3,962,844.20 3.16

BAYER AG 4.50 06-13 23/05A EUR 350,000 371,227.15 0.30Germany

BAYERISCHE LDBK -788- 3.50 09-13 08/10A EUR 678,000 700,499.43 0.56

DAIMLER AG EMTN 4.625 09-14 02/09A EUR 593,000 633,990.53 0.51

DEUTSCHE BANK AG 5.125 03-13 31/01A EUR 1,000,000 1,041,718.75 0.82

MAN SE -1- 5.375 09-13 20/05A EUR 500,000 535,787.50 0.43


3,552,075.81 2.83

ANZ BANKING GROUP LTD 2.625 09-12 16/11A EUR 1,556,000 1,581,509.07 1.27Australia

BHP BILLITON FIN LTD -5- 4.75 09-12 04/04A EUR 500,000 519,308.50 0.41

TELSTRA CORP LTD EMTN -29- 6.00 08-13 08/04A EUR 300,000 326,428.50 0.26

WESTPAC BANKING CORP -663- 4.875 07-12 28/09A EUR 800,000 842,755.20 0.67

3,270,001.27 2.61

GE CAP EUR FUNDING 4.875 08-13 06/03A EUR 3,000,000 3,157,554.00 2.52Ireland

3,157,554.00 2.52

ARCELORMITTAL SA 8.25 09-13 03/06A EUR 400,000 447,837.20 0.36Luxembourg




Portfolio


90


>>>

GAZ CAPITAL SA LOAN PART.4.56 05-12 09/12A EUR 750,000 776,013.75 0.61


PROLOGIS INTL FDG SA 7.625 07-14 23/10A EUR 200,000 208,087.80 0.17

SES SA EMTN -2- 4.375 06-13 21/10A EUR 400,000 420,991.20 0.34

2,847,409.35 2.27

CEZ AS 4.125 06-13 17/10A EUR 600,000 630,248.40 0.50Czech Republic

CEZ AS -1- 5.125 07-12 12/10A EUR 500,000 527,681.50 0.42

1,157,929.90 0.92

ANHEUSER-BUSCH INBEV NV 7.375 09-13 30/01A EUR 500,000 552,961.50 0.44Belgium


1,078,308.00 0.86

BANCO SANTANDER TOTTA SA 3.75 09-12 12/06A EUR 750,000 728,628.00 0.58Portugal

728,628.00 0.58

TELEKOM FINANZMANAGEMENT GMBH EMTN 5.00 03-13 22/07A EUR 500,000 531,244.00 0.42Austria

531,244.00 0.42

ABB INTL FINANCE LTD -114- 4.625 06-13 06/06A EUR 500,000 530,785.00 0.42Guernsey

530,785.00 0.42

BOMBARDIER INC 7.25 06-16 15/11S EUR 200,000 212,644.20 0.17Canada

XSTRATA FINANCE CANADA LTD 4.875 07-12 14/06A EUR 300,000 312,388.50 0.25

525,032.70 0.42

THAMES WATER UTILITIES CAYMAN FIN. LTD EMTN -5- 6.125 09-13 04/02A EUR 400,000 431,642.00 0.34Cayman Islands

Total bonds 104,375,432.95 83.16

431,642.00 0.34

BANK OF AMERICA CORP -169- FL.R 07-17 23/05A EUR 500,000 453,958.50 0.36

Floating rate bondsUnited States of America

BNP PARIBAS CAP TRUST IV SUB.FL.R 02-XX 24/01A EUR 750,000 735,628.50 0.59

CITIGROUP INC EMTN SUB -53- FL.R 07-17 31/05A EUR 500,000 459,962.00 0.37

JP MORGAN CHASE & CO -4- FL.R 06-18 31/03A EUR 600,000 593,961.60 0.47

JP MORGAN CHASE BANK NY SUB FL.R 07-17 31/05A EUR 700,000 703,899.70 0.56

SG CAPITAL TRUST III SUB FL.R 03-49 10/11A EUR 1,000,000 900,454.00 0.72

ZURICH FINANCE USA INC SUB -6- SUB FL.R 03-23 02/10A EUR 400,000 409,555.20 0.33

4,257,419.50 3.40

AVIVA PLC SUB FL.R 03-23 02/10A EUR 400,000 393,252.00 0.31United Kingdom


LLOYDS TSB BANK PLC SUB -3704- FL.R 08-18 05/03A EUR 500,000 485,313.50 0.39

PRUDENTIAL PLC SUB -2- FL.R 01-21 19/12A EUR 167,000 164,374.76 0.13

ROYAL BANK OF SCOTLAND PLC -1133- FLR 03-16 28/01A EUR 200,000 168,922.00 0.13

1,941,908.36 1.55

ALLIANZ FIN II BV SUB FL.R 02-22 31/05A EUR 1,400,000 1,433,608.40 1.14The Netherlands

LINDE FINANCE BV SUB FL.R 03-XX 03/07A EUR 400,000 416,575.20 0.33

1,850,183.60 1.47

CREDIT SUISSE GROUP CAP V GUERNSEY FL.R 01-XX 07/11A EUR 400,000 405,175.20 0.32Guernsey

CREDIT SUISSE GROUP FINANCE LTD FL.R 06-18 23/01A EUR 1,300,000 1,278,925.70 1.02

1,684,100.90 1.34

BAA FUNDING LTD A5 -1- FL.R 08-14 15/02A EUR 500,000 508,364.00 0.41Jersey Island

HSBC CAP FDG LP FL.R 00-XX 31/12A EUR 500,000 514,837.50 0.40

UBS AG JERSEY BRANCH FL.R 06-18 25/09A EUR 400,000 395,978.40 0.32

1,419,179.90 1.13

ASSICURAZIONI GENERALI SPA SUB FL.R 00-22 20/07A EUR 1,000,000 1,013,292.00 0.81Italy

1,013,292.00 0.81

SANTANDER ISSUANCES SA -18- FL.R 07-17 24/10A EUR 1,000,000 919,827.00 0.73Spain

919,827.00 0.73

DANSKE BANK AS EMTN FL.R 03-16 20/06A EUR 300,000 287,785.80 0.23Denmark

DANSKE BANK AS EMTN SUB -316- FL.R 08-14 18/08A EUR 600,000 602,625.00 0.48

890,410.80 0.71

NORDEA BANK AB SUB -NB104- FL.R 08-18 10/09A EUR 800,000 860,992.00 0.69Sweden

860,992.00 0.69



91

COMMERZBANK AG SUB. FL.R 06-16 13/09A EUR 600,000 507,079.80 0.40Germany

DEUTSCHE BANK AG FL.R 04-14 16/01Q EUR 307,000 297,400.11 0.24

804,479.91 0.64

BBVA BANCOMER SA CAYMAN ISLANDS BRANCH FL.R 07-17 17/05A EUR 700,000 658,000.00 0.52Cayman Islands

658,000.00 0.52

FORTIS BANQUE SA SUB FL.R 01-XX 26/09A EUR 600,000 578,616.60 0.46Belgium



121,253,843.52 96.61

578,616.60 0.46



>>|

Portfolio


92


>>>

BEVERAGE PACKAGING HLDGS II SA 8.00 07-16 15/12S EUR 1,000,000 1,003,333.00 0.69


BondsLuxembourg

BEVERAGE PACKAGING HLDGS II SA 9.50 07-17 15/06S EUR 1,000,000 1,030,250.00 0.71

CODERE FIN LUXBG SA 8.25 05-15 15/06S EUR 1,250,000 1,250,781.25 0.86

CONVATEC HEALTHCARE E SA 7.375 10-17 15/12S EUR 1,666,000 1,693,767.22 1.17

CONVATEC HEALTHCARE E SA 10.875 10-18 15/12S EUR 1,500,000 1,508,125.50 1.04

FIAT FIN & TRADE LTD SA 7.625 09-14 15/09A EUR 3,000,000 3,215,292.00 2.23

LIGHTHOUSE INTL CO 8.00 04-14 30/04S EUR 2,500,000 936,585.00 0.65

OXEA FINANCE & CY SCA 9.625 10-17 15/07S EUR 1,500,000 1,671,850.50 1.16

PROLOGIS INTL FDG SA 7.625 07-14 23/10A EUR 1,000,000 1,040,439.00 0.72

R&R ICE CREAM PLC 8.375 10-17 15/11A EUR 2,000,000 2,071,234.00 1.44

SUNRISE COMM. HLDG SA 8.50 10-18 31/12S EUR 1,500,000 1,576,660.50 1.09

SUNRISE COMM. INTL SA 7.00 10-17 31/12S EUR 500,000 524,896.00 0.36

TELENET FIN. LUXBG SCA 6.375 10-20 15/11S EUR 1,000,000 1,014,440.00 0.70

WIND ACQUISITION FINANCE SA 11.75 09-17 15/07S EUR 4,000,000 4,473,524.00 3.10

WIND ACQUISITION HLDGS FINANCE SA 12.25 09-17 15/07S EUR 500,000 578,750.00 0.40

23,589,927.97 16.32

CONTI-GUMMI FINANCE BV 7.50 10-17 15/09S EUR 1,000,000 1,039,418.00 0.72The Netherlands

GMAC INTL FIN BV 7.50 10-15 21/04A EUR 1,500,000 1,557,105.00 1.08

HEIDELBERGCEMENT FIN BV 8.00 09-17 31/01S EUR 1,000,000 1,068,750.00 0.74

HEIDELBERGCEMENT FIN BV EMTN 7.50 09-14 31/10S EUR 3,000,000 3,256,938.00 2.25

INTERGEN NV 8.50 07-17 30/06S EUR 400,000 430,472.00 0.30

INTERXION HOLDING NV 9.50 10-17 12/02S EUR 1,000,000 1,068,750.00 0.74

MAGYAR TELECOM BV 9.50 09-16 15/12S EUR 500,000 501,875.00 0.35

NEW WORLD RESOURCES BV 7.375 07-15 15/05S EUR 1,500,000 1,503,750.00 1.04

PHOENIX PIB FIN BV 9.625 10-14 15/07S EUR 1,000,000 1,088,056.00 0.75

POLISH TEL. HLDG BV 11.25 10-17 15/05S EUR 1,500,000 1,554,450.00 1.07

UPC HOLDING BV 8.00 06-16 01/11S EUR 1,500,000 1,569,984.00 1.09

UPC HOLDING BV 9.75 09-18 15/04S EUR 2,000,000 2,173,125.00 1.50

ZIGGO BOND CO BV 8.00 10-18 15/05S EUR 2,000,000 2,068,866.00 1.43

18,881,539.00 13.06

CMA CGM 5.50 07-12 16/05S EUR 1,500,000 1,515,375.00 1.05France

CROWN EURO HLDGS 7.125 10-18 15/08S EUR 1,500,000 1,569,648.00 1.08

NEXANS SA EMTN 5.75 07-17 02/05A EUR 2,000,000 1,990,000.00 1.38

NOVASEP HOLDING 9.625 09-16 15/12S EUR 500,000 354,245.00 0.24

PERNOD RICARD SA 4.875 10-16 18/03A EUR 3,000,000 3,038,880.00 2.11

PICARD BONDCO SA 9.00 10-18 01/10S EUR 2,000,000 2,122,630.00 1.47

RHODIA SA 7.00 10-18 15/05S EUR 2,500,000 2,640,000.00 1.82

TEREOS EUROPE 6.375 07-14 15/04S EUR 1,500,000 1,553,904.00 1.07

WENDEL SA 4.875 06-16 26/05A EUR 1,500,000 1,409,062.50 0.97

WENDEL SA 4.875 07-15 21/09A EUR 1,500,000 1,458,375.00 1.01

17,652,119.50 12.20

BRITISH AIRWAYS PLC 8.75 01-16 23/08S GBP 1,000,000 1,217,034.59 0.84United Kingdom

CEVA GROUP PLC SUB 10.00 06-16 01/12S EUR 1,500,000 1,365,000.00 0.94

FCE BANK PLC EMTN -MC- 7.125 07-13 15/01A EUR 2,000,000 2,094,766.00 1.45

INEOS FINANCE PLC 9.25 10-15 15/05S EUR 2,500,000 2,674,450.00 1.85

INEOS GROUP HLDGS PLC 7.875 06-16 15/02S EUR 1,500,000 1,374,063.00 0.95

INFINIS PLC 9.125 09-14 15/12S GBP 1,000,000 1,223,037.26 0.85

ISS FINANCING PLC 11.00 09-14 15/06S EUR 1,000,000 1,103,036.00 0.76

KERLING PLC 10.625 10-17 01/02S EUR 2,500,000 2,741,875.00 1.90

PIPE HOLDING PLC 9.50 10-15 01/11S GBP 1,000,000 1,198,111.13 0.83

THOMAS COOK GROUP PLC 6.75 10-15 22/06A EUR 1,500,000 1,508,906.25 1.04

16,500,279.23 11.41

HAPAG-LLOYD AG EMTN 9.00 10-15 15/10S EUR 2,250,000 2,421,562.50 1.67Germany

IKB DEUTSCHLAND IND. AG SUB EMTN 4.50 03-13 09/07A EUR 1,500,000 1,153,200.00 0.80

KUKA AG 8.75 10-17 15/11S EUR 1,250,000 1,297,658.75 0.90

NORDENIA HLDGS GMBH 9.75 10-17 15/07S EUR 1,500,000 1,661,998.50 1.15

UNITY MEDIA GMBH 8.125 09-17 01/12S EUR 4,000,000 4,244,268.00 2.93

10,778,687.75 7.45

ARDAGH GLASS FIN PLC 9.25 09-16 01/07S EUR 1,000,000 1,096,964.00 0.76Ireland

ARDAGH PACK. FIN. PLC 7.375 10-17 15/10S EUR 2,000,000 2,031,200.00 1.40



European High Yield Bonds

93>>>

INAER AVIATION FIN LTD 9.50 10-17 01/08S EUR 1,000,000 962,500.00 0.67

NARA CABLE FUNDING LTD 8.875 10-18 01/12S EUR 1,100,000 1,052,791.30 0.73

SMURFIT KAPPA ACQUISITIONS 7.25 09-17 15/11S EUR 2,500,000 2,607,292.50 1.79

WILLOW N 2 IRELAND PLC 9.625 10-15 07/10S USD 1,500,000 1,168,187.40 0.81

8,918,935.20 6.16

AGCO CORP SUB 6.875 04-14 15/04S EUR 750,000 757,500.00 0.52United States of America

CEDC FIN CORP INTL INC 8.875 09-16 01/12S EUR 2,000,000 2,096,462.00 1.44

KRONOS INTL INC 6.50 06-13 15/04S EUR 500,000 501,696.50 0.35

NALCO COMPANY 6.875 10-19 15/01S EUR 375,000 388,535.16 0.27

OWENS BROCKWAY GLASS CONTAINER INC 6.75 04-14 01/12S EUR 1,750,000 1,789,375.00 1.24

5,533,568.66 3.82

STENA AB 6.125 07-17 01/02S EUR 1,500,000 1,441,515.00 1.00Sweden

TVN FINANCE CORP II AB 10.75 09-17 15/11S EUR 3,000,000 3,321,051.00 2.29

4,762,566.00 3.29

CAMPOFRIO FOOD GROUP SA 8.25 09-16 31/10S EUR 1,750,000 1,807,706.25 1.25Spain

OBRASCON HUARTE LAIN SA 7.375 10-15 28/04S EUR 2,000,000 1,917,126.00 1.32

3,724,832.25 2.57

DUBAI HLDG COMMERCIAL OP MTN LTD 4.75 07-14 30/01A EUR 2,750,000 2,210,290.50 1.53Cayman Islands

GOL FINANCE REG SHS 9.25 10-20 20/07S USD 1,000,000 780,567.69 0.54

2,990,858.19 2.07

SEAT PAGINE GIALLE SPA 10.50 10-17 31/07S EUR 3,000,000 2,522,499.00 1.74Italy

2,522,499.00 1.74

TDC AS EMTN 5.875 09-15 16/12A EUR 2,000,000 2,177,500.00 1.51Denmark

2,177,500.00 1.51

AGROKOR D.D EMTN 10.00 09-16 07/12S EUR 2,000,000 2,158,600.00 1.49Croatia

2,158,600.00 1.49

ROYAL CARIBBEAN CRUISES LTD 5.625 07-14 27/01A EUR 2,000,000 2,002,000.00 1.38Liberia

2,002,000.00 1.38

BOMBARDIER INC 7.25 06-16 15/11S EUR 750,000 797,415.75 0.55Canada

BOMBARDIER INC EMTN 6.125 10-21 15/05S EUR 1,000,000 972,196.00 0.67

1,769,611.75 1.22

PE PAPER ESCROW GMBH EMTN 11.75 09-14 01/08S EUR 1,000,000 1,148,571.00 0.79Austria

1,148,571.00 0.79

PEERMONT GLOBAL LTD 7.75 07-14 30/04S EUR 1,000,000 867,917.00 0.60South Africa

867,917.00 0.60

NORSKE SKOGINDUSTRIER ASA 7.00 07-17 26/06A EUR 1,000,000 786,667.00 0.54Norway

Total bonds 126,766,679.50 87.62

786,667.00 0.54

EDCON PROPRIETARY LTD FL.R 07-14 15/06Q EUR 3,000,000 2,546,280.00 1.76

Floating rate bondsSouth Africa

2,546,280.00 1.76

REXAM PLC FL.R 07-67 29/06A EUR 2,000,000 1,935,512.00 1.34United Kingdom

1,935,512.00 1.34

EUROPCAR GROUPE SA SUB FL.R 06-13 15/05Q EUR 2,000,000 1,922,956.00 1.33France

1,922,956.00 1.33

LOTTOMATICA SPA EMTN FL.R 06-66 31/03A EUR 1,500,000 1,471,251.00 1.02Italy

1,471,251.00 1.02

LECTA SA FL.R 07-14 15/02Q EUR 1,500,000 1,406,875.50 0.97Luxembourg

1,406,875.50 0.97

ING VERZEKERINGEN NV FL.R 01-21 21/06A EUR 1,500,000 1,357,500.00 0.94The Netherlands

1,357,500.00 0.94

PREGIS CORP FL.R 09-13 15/04Q EUR 1,000,000 956,900.00 0.66United States of America

956,900.00 0.66


Portfolio


94


VERSATEL AG FL.R 07-14 15/06Q EUR 1,000,000 901,250.00 0.62Germany



139,265,204.00 96.26

901,250.00 0.62

DIAMOND FIN. PLC (PK) FL.R 07-14 14/05S (Note 17) EUR 3,000,000 1,647,000.00 1.14


Floating rate bondsIreland



1,647,000.00 1.14




95>>>

GREECE 4.10 07-12 20/08A EUR 8,150,000 7,174,852.50 6.75


BondsGreece

Total bonds 7,174,852.50 6.75

7,174,852.50 6.75

AIR FRANCE KLM SA CV 2.75 05-20 01/04A EUR 105,000 2,259,999.14 2.13

Convertible bondsFrance

AXA SA CV SUB 3.75 00-17 01/01A EUR 15,600 3,606,560.15 3.39

EURAZEO SA CV(DANONE) 6.25 09-14 10/06A EUR 44,000 2,563,895.37 2.41

MICHELIN SA -ML- CV 0.00 07-17 01/01 EUR 28,800 3,241,497.60 3.05

NEOPOST SA CV 3.75 09-15 01/02A EUR 4,500 391,323.95 0.37

NEXANS SA CV 1.50 06-13 01/01A EUR 18,420 1,541,386.21 1.45

PUBLICIS GROUPE SA CV 1.00 02-18 18/01A EUR 82,000 4,010,440.16 3.77

RHODIA SA CV 0.50 07-14 01/01A EUR 30,000 1,468,924.77 1.38

19,084,027.35 17.95

BES FINANCE LTD CV 1.25 08-11 26/02S USD 8,900,000 6,608,729.10 6.21Cayman Islands

BES FINANCE LTD CV 3.00 10-15 19/05S EUR 4,200,000 3,507,000.00 3.30

EFG ORA FUNDING LTD III CV 1.70 09-14 29/10A EUR 1,550,000 988,698.50 0.93

11,104,427.60 10.44

PARPUBLICA SGPS SA CV 3.25 07-14 18/12A EUR 10,250,000 9,336,212.50 8.78Portugal

PARPUBLICA SGPS SA CV 5.25 10-17 28/09A EUR 1,500,000 1,558,650.00 1.47

10,894,862.50 10.25

ARCELORMITTAL SA CV 7.25 09-14 01/04S EUR 196,667 6,346,635.71 5.97Luxembourg

INTRALOT SA CV 2.25 06-13 20/12S EUR 1,000,000 928,210.00 0.87

7,274,845.71 6.84

KFW CV 1.50 09-14 30/07A EUR 2,000,000 2,292,320.00 2.16Germany

KFW CV 3.25 08-13 27/06A EUR 2,000,000 2,078,420.00 1.95

SALZGITTER FIN BV CV 1.125 09-16 06/10A EUR 2,200,000 2,144,150.80 2.02

6,514,890.80 6.13

BENI STABILI SPA CV 3.875 10-15 23/04S EUR 3,900,000 3,815,643.00 3.59Italy

SIAS SPA CV 2.625 05-17 30/06A EUR 1,501,500 1,411,725.32 1.33

5,227,368.32 4.92

PORTUGAL TEL INTL FIN BV CV 4.125 07-14 28/08S EUR 3,900,000 3,917,526.60 3.68The Netherlands

3,917,526.60 3.68

UCB SA CV 4.50 09-15 22/10S EUR 3,200,000 3,502,688.00 3.29Belgium

3,502,688.00 3.29

HUNGARIAN STATE HLDG CIE CV 4.40 09-14 25/09A EUR 3,300,000 3,116,952.30 2.93Hungary

3,116,952.30 2.93

CABLE & WIRELESS COMM. PLC CV 5.75 09-14 24/11S GBP 1,600,000 1,921,928.27 1.81United Kingdom

3I GROUP PLC CV 3.625 08-11 29/05S GBP 1,000,000 1,168,341.15 1.10

3,090,269.42 2.91

LA CAIXA CV 3.50 08-11 19/06S EUR 2,200,000 2,189,352.00 2.06Spain

2,189,352.00 2.06

SHIRE PLC CV 2.75 07-14 09/05S USD 2,000,000 1,559,712.39 1.47Jersey Island

1,559,712.39 1.47

A TEC INDUSTRIE AG CV 2.75 07-14 10/05A EUR 6,000 460,080.00 0.43Austria

Total convertible bonds 77,937,002.99 73.30

460,080.00 0.43

BANK OF NEW YORK LUXBG SA CV FL.R 08-XX 30/12Q EUR 2,000,000 1,106,760.00 1.04

Floating rate bondsLuxembourg

ESPIRITO SANTO FIN GROUP SA CV FL.R 05-25 15/11A EUR 5,600,000 4,138,904.00 3.89

FORTFINLUX SA CV FL.R 02-XX 07/05Q EUR 3,000,000 1,466,937.00 1.38

6,712,601.00 6.31


Portfolio



96


FORTIS BANQUE SA SUB CV FL.R 07-XX 19/12Q EUR 4,000,000 2,006,800.00 1.89Belgium

2,006,800.00 1.89

MAGNOLIA FIN PLC CV FL.R 06-XX 20/06Q EUR 800,000 656,633.60 0.62Jersey Island



94,487,890.09 88.87

656,633.60 0.62

LANDSBANKI ISLANDS HF(DEFAULTED) 07-10 23/12A EUR 1,600,000 8,000.00 0.01


Convertible bondsIceland

Total convertible bonds 8,000.00 0.01

Total other transferable securities 8,000.00 0.01

8,000.00 0.01




97



BondsItaly








37,588,655.24 42.73

FRANCE OAT INFL. INDEX 1.00 05-17 25/07A EUR 3,500,000 3,866,587.81 4.40France

FRANCE OAT INFL. INDEX 1.10 10-22 25/07A EUR 2,200,000 2,134,791.86 2.43








35,452,749.02 40.30

GERMANY INFL. INDEX 1.50 06-16 15/04A EUR 4,500,000 5,216,018.56 5.93Germany

GERMANY INFL. INDEX 1.75 09-20 15/04A EUR 3,700,000 4,046,473.71 4.60

GERMANY INFL. INDEX 2.25 07-13 15/04A EUR 3,900,000 4,455,563.00 5.06

Total bonds 86,759,459.53 98.62


86,759,459.53 98.62

13,718,055.27 15.59



>>|

Portfolio



98


>>>

ACEA SPA 4.875 04-14 23/07A EUR 200,000 210,350.00 0.66


BondsItaly

ATLANTIA SPA EMTN -5- 5.625 09-16 06/05A EUR 100,000 107,526.10 0.34

BANCA MONTE DEI PASCHI DI SIENA SPA 2.50 10-13 23/09A EUR 200,000 196,246.60 0.61


ENEL SPA 5.25 07-15 14/01A EUR 100,000 106,839.90 0.33

ITALY 2.125 09-12 05/10S USD 400,000 301,285.95 0.94

ITALY BOT (185GG) 0.00 10-11 31/01 EUR 3,000,000 2,997,974.67 9.36

ITALY BTP 2.00 09-12 15/12S EUR 100,000 98,402.00 0.31

ITALY BTP 2.00 10-13 01/06S EUR 1,100,000 1,073,468.00 3.34

ITALY BTP 3.00 09-12 01/03S EUR 1,000,000 1,004,500.00 3.14

ITALY BTP 3.00 10-15 01/11S EUR 1,000,000 963,770.00 3.01

ITALY BTP 5.00 01-12 01/02S EUR 800,000 821,768.00 2.57

ITALY BTP 5.00 09-40 01/09S EUR 1,000,000 943,080.00 2.95

ITALY CTZS 0.00 10-12 31/08 EUR 500,000 477,825.00 1.49

MONTE DEI PASCHI DI SIENA SPA -2008/10- 6.00 08-11 20/06A EUR 200,000 203,508.60 0.64

9,704,187.42 30.31

ABBEY NTL TREASURY SERV. PLC -12- 2.50 10-13 18/03A EUR 200,000 200,284.80 0.63United Kingdom

ALLIED DOMECQ FIN. SERV. PLC -3- 6.625 01-11 18/04S GBP 200,000 234,138.71 0.73

FCE BANK PLC EMTN 7.875 07-11 15/02A GBP 200,000 233,251.06 0.73

NATIONAL GRID PLC EMTN 4.125 06-13 21/03A EUR 200,000 208,816.40 0.65

SABMILLER PLC 4.50 09-15 20/01A EUR 200,000 211,009.60 0.66


UNITED KINGDOM 2.75 09-15 22/01S GBP 400,000 475,203.43 1.48

1,775,951.80 5.55

TURKEY 0.00 09-11 02/02 TRY 2,550,000 1,229,416.83 3.84Turkey

TURKEY 0.00 09-11 11/05 TRY 940,000 445,697.66 1.39

1,675,114.49 5.23

BBVA SENIOR FIN. SA UNIPERSONAL -108- 2.75 10-12 10/09A EUR 200,000 196,401.60 0.61Spain

SANTANDER INTL DEBT SA 5.625 08-12 14/02A EUR 200,000 204,635.40 0.64

SPAIN 2.50 10-13 31/10A EUR 1,000,000 963,280.00 3.01

SPAIN 3.375 08-11 18/07A USD 400,000 303,252.52 0.95

1,667,569.52 5.21

ABN AMRO BANK NV EMTN -9- 2.75 10-13 29/10A EUR 200,000 200,624.00 0.63The Netherlands

AEGON NV -45- 7.00 09-12 29/04A EUR 200,000 211,892.60 0.66

AKZO NOBEL NV 4.25 03-11 14/06A EUR 200,000 202,597.60 0.63

BMW FINANCE NV -554- 5.25 09-11 04/02A EUR 200,000 200,707.00 0.63

DAIMLER INTL FIN BV 7.75 09-12 26/03A EUR 200,000 214,390.00 0.67

DAIMLER INTL FIN BV 7.00 01-11 21/03A EUR 200,000 202,427.20 0.63

DEUTSCHE TEL INTL FIN BV -2- 8.125 02-12 29/05A EUR 200,000 217,537.00 0.68

ROYAL PHILIPS ELECTRONICS NV 6.125 01-11 16/05A EUR 200,000 203,539.00 0.64

1,653,714.40 5.17

BELGIUM -59- 2.75 10-16 28/03A EUR 1,400,000 1,361,836.00 4.26Belgium

1,361,836.00 4.26

POLAND 3.875 10-15 16/07S USD 300,000 230,091.10 0.72Poland

POLAND -1012- 0.00 10-12 25/10 PLN 1,100,000 255,053.06 0.80

POLAND -112- 0.00 09-12 25/07 PLN 2,500,000 587,258.98 1.83

1,072,403.14 3.35

ITALCEMENTI FINANCE EMTN -1- 5.375 10-20 19/03A EUR 200,000 195,325.00 0.61France

PPR SA EMTN -6- 4.00 05-13 29/01A EUR 200,000 206,674.00 0.65


SFR SA 3.375 05-12 18/07A EUR 200,000 204,431.60 0.64


1,021,156.00 3.19

BMW US CAPITAL LLC 6.375 09-12 23/07A EUR 200,000 213,897.40 0.67United States of America

CITIGROUP INC EMTN 3.625 06-11 28/03A EUR 200,000 200,942.00 0.63

KRAFT FOODS INC 5.75 08-12 20/03A EUR 200,000 209,257.20 0.65

MORGAN STANLEY -G- 6.50 08-11 15/04A EUR 200,000 202,674.60 0.63



Tactical Bond Allocation

99>>>

NYSE EURONEXT INC EMTN 5.375 08-15 30/06A EUR 100,000 108,148.40 0.34

934,919.60 2.92

KABEL DEUTSCHLAND GMBH 10.75 04-14 01/07S EUR 180,800 189,623.04 0.59Germany

THYSSENKRUPP AG 8.00 09-14 18/06A EUR 100,000 113,714.80 0.36

VOLKSWAGEN LEASING GMBH -F16/07- 4.875 07-12 18/10A EUR 200,000 210,330.40 0.66

513,668.24 1.61

SLOVENIA -59- 4.00 05-16 17/02A EUR 496,587 508,933.14 1.59Slovenia

508,933.14 1.59

MEXICO 9.00 03-12 20/12S MXN 7,700,000 503,127.62 1.57Mexico

503,127.62 1.57

CATERPILLAR INTL FIN LTD -53- 5.125 09-12 04/06A EUR 200,000 209,753.20 0.66Ireland

GE CAP EUR FUNDING 4.875 08-13 06/03A EUR 200,000 210,503.60 0.65

420,256.80 1.31

QATAR DIAR FIN QSC 3.50 10-15 21/07S USD 500,000 376,847.62 1.18Qatar

376,847.62 1.18

BEI 8.00 10-15 23/11A TRY 500,000 249,268.00 0.78Supranational

249,268.00 0.78

BHP BILLITON FIN LTD -5- 4.75 09-12 04/04A EUR 200,000 207,723.40 0.65Australia

207,723.40 0.65

NESTE OIL 4.875 10-15 06/07A EUR 200,000 206,538.40 0.65Finland

206,538.40 0.65

FIAT FIN & TRADE LTD SA -123CS- 5.625 06-11 15/11S EUR 200,000 204,470.40 0.64Luxembourg

204,470.40 0.64

XSTRATA CANADA FINANCE CORP -3- 5.875 08-11 27/05A EUR 200,000 203,403.60 0.64Canada

203,403.60 0.64

BRAZIL 9.50 01-11 24/01A EUR 200,000 200,942.20 0.63Brazil

200,942.20 0.63

TELENOR ASA 4.50 06-14 28/03A EUR 100,000 106,824.60 0.33Norway

Total bonds 24,568,856.39 76.77

106,824.60 0.33

EDISON SPA EMTN FL.R 04-11 19/07Q EUR 200,000 200,096.00 0.63

Floating rate bondsItaly

ITALY FL.R 10-15 15/12S EUR 830,000 798,774.57 2.49

TELECOM ITALIA SPA -11- FL.R 05-12 06/12Q EUR 200,000 196,842.00 0.62

UNICREDIT SPA -422- FL.R 10-12 14/09Q EUR 250,000 249,655.75 0.77

1,445,368.32 4.51

BNP PARIBAS CAP TRUST IV SUB.FL.R 02-XX 24/01A EUR 200,000 196,167.60 0.61United States of America

CREDIT SUISSE GROUP FINANCE (US) FL.R 05-20 14/09A EUR 200,000 186,843.20 0.58

GOLDMAN SACHS GROUP INC -C- FL.R 06-11 11/05Q EUR 200,000 199,722.80 0.63

INTESA PREFERRED SECURITIES INVESTORS TRUST FL.R 01-XX 12/07A EUR 200,000 196,087.40 0.61

778,821.00 2.43

SPAIN FL.R 09-12 29/10Q EUR 600,000 568,296.00 1.78Spain

568,296.00 1.78

HSBC BANK PLC SUB.-2118- FL.R 06-16 29/03Q EUR 200,000 197,385.40 0.62United Kingdom


405,970.00 1.27

HSBC CAP FDG LP FL.R 00-XX 31/12A EUR 200,000 205,935.00 0.64Jersey Island

UBS AG JERSEY BRANCH FL.R 06-18 25/09A EUR 200,000 197,989.20 0.62

403,924.20 1.26

RHODIA SA FL.R 06-13 15/10Q EUR 85,607 85,445.68 0.27France

SOCIETE GENERALE SA SUB FL.R 04-16 15/03Q EUR 200,000 196,277.20 0.61

281,722.88 0.88


Portfolio


100


ING VERZEKERINGEN NV FL.R 01-21 21/06A EUR 200,000 181,000.00 0.57The Netherlands



28,633,958.79 89.47

181,000.00 0.57




101>>>



SharesGermany



DEUTSCHE POST AG REG SHS EUR 160,000 2,032,000.00 1.71

K+S AG EUR 50,000 2,818,000.00 2.36


10,883,760.00 9.15

CLEAN ENERGY FUELS CORP USD 137,000 1,445,091.10 1.22United States of America

INTEL CORP USD 75,000 1,186,944.74 1.00

JOHNSON AND JOHNSON USD 60,000 2,798,072.58 2.35

MICROSOFT CORP USD 100,000 2,096,822.77 1.76

OFFICE DEPOT INC USD 560,000 2,331,576.57 1.96

PROCTER AND GAMBLE CO USD 16,000 774,341.21 0.65

10,632,848.97 8.94

AUTOGRILL SPA EUR 156,000 1,648,920.00 1.39Italy

GEMINA SPA EUR 1,800,000 956,700.00 0.80

PARMALAT SPA EUR 1,000,000 2,050,000.00 1.73

4,655,620.00 3.92

BG GROUP PLC GBP 150,000 2,294,455.07 1.93United Kingdom

2,294,455.07 1.93

GIVAUDAN SA REG.SHS CHF 2,000 1,621,795.39 1.36Switzerland

NESTLE SA REG SHS CHF 15,000 660,009.64 0.56

2,281,805.03 1.92

FRANCE TELECOM SA EUR 100,000 1,570,000.00 1.33France

MEDICA EUR 5,663 77,016.80 0.06

1,647,016.80 1.39


1,425,500.00 1.20


Total shares 35,059,405.87 29.49

1,238,400.00 1.04

BEI 6.50 09-19 07/08S AUD 10,000,000 7,585,409.62 6.38

BondsSupranational

BEI 9.625 05-15 01/04A TRY 12,000,000 6,264,874.32 5.27

13,850,283.94 11.65


GERMANY 1.50 09-11 10/06A EUR 3,000,000 3,013,860.00 2.53

HAPAG-LLOYD AG EMTN 9.00 10-15 15/10S EUR 230,000 247,537.50 0.21

SOLARWORLD AG 6.125 10-17 21/01A EUR 1,000,000 955,387.00 0.80

TUI AG 5.125 05-12 10/12S EUR 1,000,000 1,002,483.00 0.84

9,217,667.50 7.75

ANHEUSER BUSCH INBEV WORLDWIDE INC 9.75 10-15 17/11S BRL 7,000,000 3,236,855.48 2.72United States of America


6,597,371.59 5.55

CONTI-GUMMI FINANCE BV 8.50 10-15 15/07S EUR 500,000 543,111.00 0.46The Netherlands

TENNET HOLDING BV 6.655 10-XX 02/09A EUR 2,000,000 2,110,914.00 1.77

2,654,025.00 2.23

FIAT FIN & TRADE LTD SA 5.75 09-12 18/12A EUR 850,000 873,417.50 0.73Luxembourg

GLENCORE FINANCE EUR. SA EMTN -5- 8.00 06-XX 28/02Q USD 2,250,000 1,693,683.18 1.43

2,567,100.68 2.16


Portfolio


Absolute Return FundsAbsolute Return Multi Strategies

102



RCI BANQUE SA -232- 5.25 08-11 27/05A EUR 1,000,000 1,013,875.00 0.85

1,181,981.54 0.99

BANCA MONTE DEI PASCHI DI SIENA SPA EMTN 5.75 06-16 30/09A GBP 1,000,000 1,015,945.30 0.85Italy

1,015,945.30 0.85

GOLD FIELDS OROGEN HLDG 4.875 10-20 07/10S USD 1,200,000 853,564.83 0.72British Virgin Islands

853,564.83 0.72

GOL FINANCE REG SHS 9.25 10-20 20/07S USD 1,000,000 780,567.69 0.66Cayman Islands

780,567.69 0.66

COSAN OVERSEAS LTD 8.25 10-15 05/11Q USD 700,000 532,530.20 0.45Brazil

532,530.20 0.45

TURKEY 9.50 03-11 18/01A EUR 500,000 502,197.50 0.42Turkey

502,197.50 0.42

AVIVA PLC SUB 5.75 01-21 14/11A EUR 500,000 491,383.00 0.41United Kingdom

491,383.00 0.41

SINO FOREST CORP 6.25 10-17 21/10S USD 375,000 284,101.61 0.24Canada

Total bonds 40,528,720.38 34.08

284,101.61 0.24

DEUTSCHE BOERSE AG FL.R 08-38 13/06A EUR 1,500,000 1,585,972.50 1.33

Floating rate bondsGermany

DEUTSCHE POSTBANK AG FL.R 05-15 04/11Q EUR 2,000,000 1,809,250.00 1.51

IKB DEUTSCHLAND IND. AG EMTN FL.R 07-12 24/01Q GBP 750,000 802,842.00 0.68

4,198,064.50 3.52

ABN AMRO BANK NV EMTN -12- FL.R 05-15 22/06Q EUR 1,000,000 877,290.00 0.74The Netherlands

RABOBANK NEDERLAND NV SUB FL.R 09-XX 04/06S USD 3,000,000 2,925,953.17 2.46

3,803,243.17 3.20

DEN NORSKE BANK ASA FL.R 01-XX 29/06S USD 4,000,000 3,038,876.68 2.56Norway

3,038,876.68 2.56

STANDARD CHART. BANK SUB FL.R 09-XX 24/12S USD 3,000,000 2,468,029.66 2.08United Kingdom

2,468,029.66 2.08


EUROCLEAR FINANCE 2 SA FL.R 05-XX 15/06A EUR 1,350,000 1,125,900.00 0.95

1,402,786.24 1.18

HSBC CAP FDG LP FL.R 00-XX 31/12A EUR 1,000,000 1,029,675.00 0.87Jersey Island

1,029,675.00 0.87

CNP ASSURANCES SA FL.R 10-40 14/09A EUR 1,000,000 943,066.00 0.79France

943,066.00 0.79

IF P&C INSURANCE CO LTD EMTN SUB FL.R 01-21 30/03A EUR 350,000 350,959.00 0.30Sweden



92,822,826.50 78.07

350,959.00 0.30

GLOBAL X CHINA CONSUMER ETF DIS USD 40,000 539,171.81 0.45


Shares/Units in investment fundsUnited States of America

ISHARES TRUST MSCI ALL CTRY ASIA EX-JAPAN INDEX FD DIS USD 100,000 4,784,670.98 4.03



5,323,842.79 4.48




103>>>

LLOYDS TSB BANK PLC -4116- 3.75 10-15 07/09A EUR 5,000,000 4,874,320.00 1.15


BondsUnited Kingdom


ROYAL BANK OF SCOTLAND PLC -3149- 4.875 10-17 20/01A EUR 1,196,000 1,153,079.14 0.27

10,457,961.89 2.47

BANCO POPOLARE SOCIETA COOPERATIVA -72- 4.125 09-14 22/10A EUR 2,100,000 2,099,815.20 0.50Italy

INTESA SANPAOLO SPA 8.375 09-XX 14/10A EUR 2,600,000 2,494,567.40 0.59

UNIPOL GRUPPO FINANZIARIO SPA -1- 5.00 09-17 11/01A EUR 1,450,000 1,440,486.55 0.34

6,034,869.15 1.43

FIAT FIN & TRADE LTD SA 7.625 09-14 15/09A EUR 2,678,000 2,870,183.99 0.68Luxembourg

FIAT FIN & TRADE LTD SA 9.00 09-12 30/07A EUR 1,716,000 1,847,327.19 0.44

4,717,511.18 1.12

ABERTIS INFRAESTRUCTURAS SA 4.625 09-16 14/10A EUR 700,000 647,963.40 0.15Spain

GAS NATURAL CAP MKTS SA -3- 5.25 09-14 09/07A EUR 1,950,000 1,985,392.50 0.47

2,633,355.90 0.62

HEIDELBERGCEMENT FIN BV EMTN 7.50 09-14 31/10S EUR 2,154,000 2,338,481.48 0.55The Netherlands

2,338,481.48 0.55

GOLDMAN SACHS GROUP INC -C- 5.125 09-19 23/10A EUR 2,200,000 2,165,361.00 0.51United States of America

2,165,361.00 0.51

RCI BANQUE SA EMTN 4.00 10-13 11/07A EUR 1,142,000 1,169,886.49 0.28France


1,800,366.49 0.43

NESTE OIL 4.875 10-15 06/07A EUR 1,500,000 1,549,038.00 0.37Finland

1,549,038.00 0.37

MERCK FIN SERVICES GMBH 4.50 10-20 24/03A EUR 327,000 335,585.38 0.08Germany

Total bonds 32,032,530.47 7.58

335,585.38 0.08

BANCA POP DI MILANO SCARL SUB FL.R 08-XX 25/06A EUR 3,000,000 2,955,000.00 0.70


CENTRO LEASING BANCA SPA EMTN -2- FL.R 07-17 17/07Q EUR 8,500,000 7,395,000.00 1.74

EXOR SPA FL.R 06-11 09/06Q EUR 5,000,000 4,938,500.00 1.17

VENETO BANCA SCARL SUB FL.R 07-17 21/06Q EUR 1,000,000 801,503.00 0.19

16,090,003.00 3.80

AXA SA EMTN SUB -21- FL.R 06-XX 06/07A EUR 4,050,000 3,471,307.65 0.82France

CREDIT AGRICOLE SA FL.R 09-XX 26/10A EUR 1,850,000 1,846,340.70 0.44

GROUPAMA SA SUB FL.R 09-39 27/10A EUR 2,700,000 2,639,544.30 0.62

SOCIETE GENERALE SA FL.R 09-XX 04/09A EUR 2,600,000 2,728,918.40 0.65

10,686,111.05 2.53

ANTONVENETA CAP TRUST II FL.R 01-XX 27/06Q EUR 1,000,000 939,938.00 0.22United States of America

ANZ CAP TRUST III SUB FL.R 04-53 15/12Q EUR 2,000,000 1,567,858.00 0.37

BANCA ITALEASE CAP TRUST FL.R 06-XX 06/06Q EUR 6,000,000 2,925,000.00 0.70

5,432,796.00 1.29

ELM BV/SWISS REA. FL.R 06-XX 15/06Q EUR 13,500,000 3,712,500.00 0.88The Netherlands

SNS REAAL GROUP NV -14- FL.R 05-12 15/06Q EUR 1,500,000 1,393,575.00 0.33

5,106,075.00 1.21

SATURNS INV EUR PLC -2007 3- FL.R 07-11 18/01Q EUR 4,511,427 3,383,570.14 0.80Ireland

3,383,570.14 0.80

WUERTTEM LEBENSVERS AG FL.R 06-26 01/06A EUR 2,000,000 1,740,200.00 0.41Germany

1,740,200.00 0.41

CREDIT SUISSE GROUP CAP V GUERNSEY FL.R 01-XX 07/11A EUR 1,585,000 1,605,506.73 0.38Guernsey

1,605,506.73 0.38


Portfolio



104


>>>

AVIVA PLC SUB FL.R 03-XX 29/09A EUR 1,000,000 855,139.00 0.20United Kingdom


855,139.00 0.20

ARRMF 2010-1 PLC A2B FL.R 10-47 16/05Q EUR 10,000,000 9,952,277.40 2.35

Mortgage and asset backed securitiesUnited Kingdom

BUSINESS MORTGAGE FIN. 4 PLC A FL.R 06-45 15/08Q GBP 2,949,008 3,024,497.87 0.72

CARDS 2004-1 PLC FL.R 04-13 15/09Q EUR 7,000,000 6,914,320.91 1.63

CARDS 2004-1 PLC B FL.R 04-13 15/09Q EUR 6,500,000 6,407,131.12 1.52

DECO LTD A2 -7 E2- FL.R 06-18 27/01Q EUR 2,303,101 2,081,134.43 0.49

DECO LTD B -7 E2- FL.R 06-18 27/01Q EUR 7,715,350 5,863,666.29 1.39

DECO 12 UK 4 PLC -A1- FL.R 07-20 27/01Q GBP 1,803,675 1,856,443.77 0.44

DECO 6 UK LARGE LOAN 2 PLC A1 FL.R 05-17 27/07Q GBP 3,229,499 3,311,550.80 0.78

DECO 8 UK CONDUIT 2 PLC A2 FL.R 06-18 27/04Q GBP 6,579,635 5,642,649.72 1.34

DECO 8 UK CONDUIT 2 PLC E FL.R 06-36 27/01Q GBP 4,984,572 462,096.02 0.11

EURO. LOAN CONDUIT N 22 PLC A2 FL.R 05-14 25/07Q GBP 1,061,311 1,211,225.57 0.29

EURO. PRIME REAL ESTATE N 1 PLC A FL.R 05-14 27/04Q GBP 1,790,757 1,846,889.92 0.44

EURO 27X A FL.R 07-17 25/07Q GBP 250,000 249,145.37 0.06

GRANITE MASTER ISSUER PLC C3 -2006 3- FL.R 06-54 20/12Q EUR 3,000,000 1,670,785.35 0.40



GRANITE MASTER ISSUER PLC M -2- FL.R 05-54 21/12Q EUR 4,000,000 2,796,666.68 0.66

GRANITE MTGES 04-1 PLC C -2- FL.R 04-44 20/03Q EUR 2,000,000 1,331,537.50 0.32

GRANITE MTGES 04-1 PLC M -2- FL.R 04-44 20/03Q EUR 2,000,000 1,516,645.12 0.36

LEEK FIN N 18 PLC BA FL.R 06-37 21/12Q GBP 4,200,000 4,652,608.44 1.10

LEEK FIN N 18 PLC CC FL.R 06-38 21/09Q EUR 4,800,000 3,369,216.10 0.80

MALL FUNDING PLC FL.R 05-14 22/04Q GBP 5,768,208 5,648,730.59 1.34

MARS LTD M FL.R 04-36 20/03Q EUR 1,033,963 909,584.55 0.22

MORTGAGES 6 PLC B FL.R 04-37 31/01Q GBP 1,663,367 1,547,155.87 0.37

OPERA FINANCE PLC FL.R 05-17 02/02Q GBP 1,000,000 916,010.46 0.22

PARAGON MTGES 7 PLC A1C FL.R 04-34 15/05Q EUR 658,257 567,334.49 0.13

RES MTGE SECURITIES 16 PLC M1B FL.R 03-36 11/12Q USD 509,200 354,779.34 0.08

RMAC 2005-NS1X PLC A2C FL.R 05-37 12/06Q EUR 5,747,031 4,908,554.27 1.16

SHERWOOD CASTLE FUND 2004-1 PLC B FL.R 04-16 15/03Q EUR 10,000,000 8,788,494.10 2.07

SPS 05-1 PLC C1C FL.R 05-43 10/06Q GBP 2,100,000 1,831,534.85 0.43

WINDERMERE VIII CMBS PLC -A2- FL.R 06-15 20/04Q GBP 4,000,681 4,257,441.47 1.01

WINDERMERE XIV CMBS LTD FL.R 07-14 22/04Q EUR 1,782,591 1,110,161.97 0.26

106,456,090.08 25.20

AMSTEL LOAN CORP 2006-1 BV D FL.R 06-16 25/05Q EUR 4,654,371 4,214,905.56 1.00The Netherlands

AMSTEL LOAN CORP 2006-1 BV E FL.R 06-16 25/05Q EUR 2,792,623 1,907,989.70 0.45

AMSTEL LOAN CORP 2006-1 BV F FL.R 06-16 25/05Q EUR 4,151,333 2,781,392.84 0.66

AMSTEL LOAN CORP 2007-1 BV D FL.R 07-17 25/03Q EUR 7,795,953 6,364,382.44 1.52

ATOMIUM MTGE FIN 2003-1 BV B FL.R 03-34 01/07M EUR 3,000,000 2,688,000.00 0.64

AVOCA CLO II BV A2 FL.R 04-20 15/01S EUR 2,500,000 2,056,500.05 0.49

CELF LOAN PARTNERS BV B FL.R 05-21 18/07S EUR 8,000,000 5,904,800.00 1.41

CLOCK FINANCE BV -2007 1- D FL.R 07-15 25/02Q EUR 1,500,000 1,377,929.43 0.33

DELPHINUS 2006-I BV D FL.R 06-96 25/09Q EUR 6,000,000 5,723,187.60 1.36

DUTCH MTGE PORTFOLIO LOANS V BV C FL.R 05-51 28/12Q EUR 1,600,000 1,518,541.20 0.36

EURO GALAXY CLO BV C FL.R 06-21 23/10Q EUR 2,000,000 1,320,000.00 0.31

EURO GALAXY CLO II BV B FL.R 07-22 29/10S EUR 5,000,000 3,650,000.00 0.86

GROSVENOR PLACE CLO I BV C FL.R 06-21 20/07Q EUR 3,500,000 2,345,000.00 0.55

GROSVENOR PLACE CLO II BV E FL.R 07-23 28/03S EUR 985,863 483,073.00 0.11

GROSVENOR PLACE CLO II BV SUB FL.R 07-23 28/03S EUR 1,000,000 350,000.00 0.08

HARBOURMASTER CLO 4 BV A3 FL.R 04-19 11/10Q EUR 2,000,000 1,340,000.00 0.32

HARBOURMASTER PRO-RATA CLO 1 BV A3 FL.R 06-21 07/12Q EUR 10,000,000 5,000,000.00 1.19

HERMES V BV C FL.R 02-34 18/10Q EUR 1,000,000 997,268.38 0.24

HERMES VIII BV B FL.R 04-38 18/05Q EUR 3,000,000 2,750,991.84 0.65

HSAME CLO2006-II FL.R 07-23 25/01S EUR 5,000,000 2,800,000.00 0.66

LAMBDA FIN BV B2 FL.R 05-29 15/11Q EUR 1,000,000 884,990.00 0.21

LAMBDA FIN BV D2 FL.R 05-29 15/11Q EUR 4,000,000 3,101,200.00 0.73

LEOPARD CLO III BV B FL.R 05-20 21/04S EUR 2,000,000 1,500,000.00 0.35

MESDAG DELTA BV C FL.R 07-20 25/01Q EUR 3,354,063 1,790,063.58 0.42

MORGAN STANLEY INV MGT GARDA BV E FL.R 07-22 15/04Q EUR 3,000,000 1,410,000.00 0.33

MORGAN STANLEY INV MGT GARDA BV G FL.R 07-22 15/04Q EUR 1,000,000 220,000.00 0.05

SMILE 2005 SYNTHETIC BV FL.R 05-15 20/01Q EUR 1,144,267 1,032,849.10 0.24

SMILE 2005 SYNTHETIC BV E -05- FL.R 05-15 20/01Q EUR 2,345,875 1,914,978.20 0.45

STICHTING MARS 2006 E FL.R 06-14 28/08Q EUR 400,000 339,600.00 0.08

67,767,642.92 16.05



105>>>

ASSET BACKED EUR SA C -2- FL.R 05-15 01/10Q EUR 4,500,000 4,351,969.67 1.03Italy

ASTI FINANCE SRL -B- FL.R 06-41 27/09Q EUR 4,000,000 3,559,479.00 0.84

BIPIELLE RES SRL C FL.R 04-40 30/12Q EUR 1,000,000 793,391.96 0.19

CORDUSIO RMBS SRL FL.R 05-33 30/06Q EUR 1,000,000 848,148.77 0.20

INTESABCI SECURITIZATION -C- FL.R 03-23 28/08Q EUR 1,400,000 1,376,024.39 0.33

ITALEASE FIN SPA C -1- FL.R 05-20 14/09Q EUR 1,210,309 1,077,441.45 0.25

ITALFINANCE SV SRL B -1- FL.R 05-23 14/03Q EUR 1,565,360 1,353,308.09 0.32

ITALFINANCE SV SRL C -1- FL.R 05-23 14/03Q EUR 1,565,154 1,142,453.15 0.27

ITALFINANCE SV2 A -2007 1- FL.R 07-26 14/01Q EUR 1,810,930 1,682,802.64 0.40

ITALFINANCE SV2 B -2007 1- FL.R 07-26 14/01Q EUR 4,115,161 3,168,673.97 0.75

ITALFINANCE SV2 C -2007 1- FL.R 07-26 14/01Q EUR 10,123,498 6,786,937.28 1.61

ITALFINANCE SV2 D -2007 1- FL.R 07-26 14/01Q EUR 1,647,246 726,756.78 0.17

JUMP SRL B -1- FL.R 05-26 27/04Q EUR 3,000,000 2,497,545.00 0.59

JUMP SRL B -2- FL.R 06-26 27/04Q EUR 1,000,000 868,150.00 0.21

LEASIMPRESA FIN SRL C -2006 1- FL.R 06-25 22/12Q EUR 1,250,657 1,051,427.14 0.25

LOCAT SV 2 SRL B FL.R 04-24 12/12Q EUR 10,000,000 7,754,264.60 1.82

LOCAT SV 3 SRL A2 FL.R 05-26 12/12Q EUR 467,433 455,506.80 0.11

LOCAT SV 3 SRL C FL.R 05-26 12/12Q EUR 3,500,000 2,213,691.66 0.52

LOCAT SV 3 SRL C FL.R 06-28 12/12Q EUR 5,000,000 2,275,000.00 0.54

LOMBARDA LEASE FIN 4 SRL B FL.R 05-20 30/07Q EUR 4,835,308 4,423,073.45 1.05

PATRIMONIO UNO CMBS SRL E FL.R 06-21 31/12S EUR 6,000,000 3,600,000.00 0.85

PATRIMONIO UNO CMBS SRL F FL.R 06-21 31/12S EUR 3,600,000 2,268,000.00 0.54

SESTANTE FIN SRL A1 FL.R 06-46 23/07Q EUR 3,467,582 3,197,110.42 0.76

SUNRISE SRL B -2- FL.R 07-30 27/08Q EUR 3,700,000 2,259,849.00 0.53

TRICOLORE FIN SRL B FL.R 05-20 15/07Q EUR 2,500,000 2,280,999.95 0.54

62,012,005.17 14.67

BLUEBONNET FIN PLC C FL.R 06-16 20/12Q EUR 1,500,000 1,192,500.00 0.28Ireland

EATON VANCE CDO X PLC F1 FL.R 07-27 22/02Q EUR 2,000,000 640,000.00 0.15

EUROCASTLE CDO III PLC B FL.R 05-60 20/12Q EUR 2,500,000 150,000.00 0.04

GRAPHITE MTGES PLC C -2- FL.R 06-46 10/12Q EUR 3,500,000 2,673,125.00 0.63

JUNO ECLIPSE LTD -2007-2- FL.R 07-22 20/11Q EUR 5,370,163 4,171,580.30 0.98

LUSITANO MTGES 4 PLC C FL.R 05-48 15/09Q EUR 2,835,905 1,503,515.19 0.36

MAGELLAN MTGES 3 PLC D FL.R 05-58 15/05Q EUR 3,144,632 814,868.06 0.19

PB DOMICILE 2006-1 PLC D FL.R 06-52 26/11Q EUR 2,500,000 1,471,400.00 0.35

PELICAN MTGES 1 PLC B -2- FL.R 03-36 25/09Q EUR 2,000,000 1,217,800.00 0.29

PREPS 2007-1 PLC B1 FL.R 07-16 07/03S EUR 5,000,000 308,500.00 0.07

PROVENTUS EUR ABS CDO PLC B FL.R 07-12 15/06Q EUR 3,000,000 600,000.00 0.14

PROVENTUS EUR ABS CDO PLC C FL.R 07-12 15/06Q EUR 2,000,000 200,000.00 0.05

PROVIDE -A 2005-1- PLC C FL.R 05-48 25/08Q EUR 2,000,000 1,979,475.74 0.47

PROVIDE -A 2005-1- PLC D FL.R 05-48 25/08Q EUR 2,000,000 1,965,676.82 0.47

RADAMANTIS (EUR LOAN CONDUIT 24) PLC E FL.R 06-15 25/10Q GBP 3,000,000 2,323,344.34 0.55

SILENUS (EUR LOAN CONDUIT 25) LTD A FL.R 07-19 15/05Q EUR 2,835,175 2,401,712.22 0.57

SILENUS (EUR LOAN CONDUIT 25) LTD B FL.R 07-19 15/05Q EUR 4,338,412 3,083,786.29 0.73

SILENUS (EUR LOAN CONDUIT 25) LTD C FL.R 07-19 15/05Q EUR 4,054,196 2,118,073.95 0.50

TALISMAN 7 FIN PLC A FL.R 07-17 22/04Q EUR 2,309,747 1,922,694.27 0.45

TALISMAN 7 FIN PLC F FL.R 07-17 22/04Q EUR 386,426 54,026.92 0.01

TAURUS CMBS PAN EUR PLC -2006 3- C FL.R 06-15 30/05Q EUR 854,757 538,497.05 0.13

TITAN EUR 2006-2 PLC E FL.R 06-16 23/01Q EUR 881,470 125,180.42 0.03

TITAN EUR 2006-3 PLC A FL.R 06-16 24/07Q EUR 4,266,518 3,404,681.25 0.80

WINDERMERE VII CMBS PLC -C- FL.R 06-16 15/04Q EUR 1,030,412 490,084.79 0.12

WINDERMERE VII CMBS PLC -D- FL.R 06-16 15/04Q EUR 4,121,650 2,204,415.43 0.52

ZOO ABS 4 PLC -F- FL.R 07-96 10/11S EUR 2,000,000 623,800.00 0.15

38,178,738.04 9.03

ALPHA DIV PAYMENT RIGHTS FIN CO SA A FL.R 06-11 15/03Q USD 500,000 366,632.20 0.09Luxembourg

ALZETTE EURO CLO SA FL.R 04-20 15/12Q EUR 2,815,276 2,618,206.62 0.62

EELF SA C FL.R 06-22 18/05Q EUR 4,500,000 3,096,000.14 0.73

EMC SA C FL.R 06-13 30/04Q EUR 2,601,592 1,307,885.27 0.31

WINDERMERE IX SA FL.R 06-16 22/08Q EUR 5,295,569 2,965,518.65 0.70

WINDERMERE IX SA A1 FL.R 06-16 22/08Q EUR 4,189,261 3,734,005.99 0.88

14,088,248.87 3.33

BANCAJA 6 B FL.R 03-36 20/02Q EUR 560,164 333,297.82 0.08Spain

BANKINTER 1 -B- FL.R 99-24 22/04S EUR 270,270 259,237.60 0.06

BBVA 3 FTPYME -B- FL.R 04-28 21/04Q EUR 649,185 418,189.04 0.10

BBVA 3 FTPYME -C- FL.R 04-28 21/04Q EUR 1,601,324 808,508.54 0.19

CM BANCAJA 1 -C- FL.R 05-36 22/12Q EUR 1,733,455 951,624.85 0.23

GC PASTOR HIPOTECARIO 5 D FL.R 07-46 30/06Q EUR 3,500,000 0.04 0.00

HIPOTEBANSA X B FL.R 02-34 18/03Q EUR 989,504 790,811.12 0.19

RURAL HIPOTECARIO VI -B- FL.R 04-36 17/10Q EUR 6,178,014 3,530,426.10 0.84


Portfolio


106


TDA CAM 3 -B- FL.R 04-33 26/04Q EUR 1,500,000 770,775.00 0.18

TDA 18-MIXTO -B2- FL.R 03-45 22/06Q EUR 700,000 231,931.00 0.05

UCI 16 -C- FL.R 06-49 16/06Q EUR 4,000,000 396,194.68 0.09

8,490,995.79 2.01

COMET B -2004 7- FL.R 04-14 17/10Q EUR 7,000,000 6,543,108.53 1.55United States of America

6,543,108.53 1.55

PPCRE 2006-1 -D- FL.R 06-14 22/04Q EUR 2,631,973 2,579,227.93 0.61France

2,579,227.93 0.61

KKR 2007-1X A FL.R 07-21 15/05Q USD 1,682,574 1,152,795.14 0.27Cayman Islands

1,152,795.14 0.27

TEMPO CDO I FL.R 03-XX 18/11S EUR 1,000,000 40,000.00 0.01Jersey Island

Total mortgage and asset backed securities 307,308,852.47 72.73


384,240,783.86 90.93

40,000.00 0.01

CURZON FUND LTD B FL.R 07-40 30/01Q (Note 17) EUR 21,400,000 18,558,080.00 4.40


Mortgage and asset backed securitiesJersey Island

18,558,080.00 4.40

DUNCANNON CRE CDO 1 PLC B FL.R 07-47 20/06Q (Note 17) EUR 8,000,000 260,000.00 0.06Ireland

EUCON 2007-1 E2 FL.R 07-28 15/03Q EUR 4,660,024 3,891,120.04 0.92

SHAMROCK CAP PLC B1 FL.R 07-12 20/06Q EUR 5,000,000 2,884,000.00 0.68

7,035,120.04 1.66

GS MTGE SEC. CORP A3 -2006 3- FL.R 06-36 25/03M USD 4,000,000 1,744,842.64 0.41United States of America

Total mortgage and asset backed securities 27,338,042.68 6.47


1,744,842.64 0.41




107>>>

GERMANY 0.50 10-12 15/06A EUR 4,000,000 3,989,280.00 7.27


BondsGermany

GERMANY 0.75 10-12 14/09A EUR 3,000,000 2,998,800.00 5.46

GERMANY 1.00 10-12 16/03A EUR 4,000,000 4,018,320.00 7.32

GERMANY 1.25 09-11 11/03A EUR 3,000,000 3,006,060.00 5.48

GERMANY 1.25 09-11 16/12A EUR 3,000,000 3,018,180.00 5.50

GERMANY 1.50 09-11 10/06A EUR 2,000,000 2,009,240.00 3.66

HAPAG-LLOYD AG EMTN 9.00 10-15 15/10S EUR 100,000 107,625.00 0.20

SOLARWORLD AG 6.125 10-17 21/01A EUR 1,000,000 955,387.00 1.74

20,102,892.00 36.63

BEI 6.50 09-19 07/08S AUD 5,000,000 3,792,704.81 6.91Supranational

BEI 9.625 05-15 01/04A TRY 7,000,000 3,654,510.02 6.66

7,447,214.83 13.57

ANHEUSER BUSCH INBEV WORLDWIDE INC 9.75 10-15 17/11S BRL 3,000,000 1,387,223.78 2.53United States of America


3,254,177.17 5.93

FIAT FIN & TRADE LTD SA 5.75 09-12 18/12A EUR 1,700,000 1,746,835.00 3.19Luxembourg

GLENCORE FINANCE EUR. SA EMTN -5- 8.00 06-XX 28/02Q USD 1,000,000 752,748.08 1.37

2,499,583.08 4.56

AVIVA PLC SUB 5.75 01-21 14/11A EUR 250,000 245,691.50 0.45United Kingdom

DEPFA FUNDING II LP 6.50 03-XX 30/10A EUR 1,000,000 155,000.00 0.28

LSE GROUP PLC 9.125 09-19 18/10S GBP 750,000 1,071,658.26 1.95

1,472,349.76 2.68


VIVENDI SA 3.875 05-12 15/02A EUR 500,000 512,337.00 0.93

1,383,000.25 2.52

BANCA MONTE DEI PASCHI DI SIENA SPA EMTN 5.75 06-16 30/09A GBP 500,000 507,972.65 0.93Italy

UNICREDIT SPA -315- 6.70 08-18 05/06A EUR 250,000 247,062.75 0.45

755,035.40 1.38

GOL FINANCE REG SHS 9.25 10-20 20/07S USD 500,000 390,283.85 0.71Cayman Islands

390,283.85 0.71

GOLD FIELDS OROGEN HLDG 4.875 10-20 07/10S USD 500,000 355,652.01 0.65British Virgin Islands

355,652.01 0.65

COSAN OVERSEAS LTD 8.25 10-15 05/11Q USD 300,000 228,227.22 0.42Brazil

228,227.22 0.42

SINO FOREST CORP 6.25 10-17 21/10S USD 125,000 94,700.54 0.17Canada

Total bonds 37,983,116.11 69.22

94,700.54 0.17

RABOBANK NEDERLAND NV SUB FL.R 09-XX 04/06S USD 1,835,000 1,789,708.03 3.25

Floating rate bondsThe Netherlands

1,789,708.03 3.25

AXA SA SUB -20- FL.R 05-XX 29/01A EUR 1,595,000 1,118,978.63 2.04France

CNP ASSURANCES SA FL.R 10-40 14/09A EUR 500,000 471,533.00 0.86

1,590,511.63 2.90

DEN NORSKE BANK ASA FL.R 01-XX 29/06S USD 2,000,000 1,519,438.33 2.77Norway

1,519,438.33 2.77

STANDARD CHART. BANK SUB FL.R 09-XX 24/12S USD 1,500,000 1,234,014.84 2.25United Kingdom

1,234,014.84 2.25

DEUTSCHE POSTBANK AG FL.R 05-15 04/11Q EUR 1,000,000 904,625.00 1.65Germany

IKB DEUTSCHLAND IND. AG EMTN FL.R 07-12 24/01Q GBP 250,000 267,614.00 0.49

1,172,239.00 2.14


Portfolio



108


MEDIOBANCA SPA EMTN FL.R 06-18 11/10A GBP 1,000,000 1,095,949.94 2.00Italy

1,095,949.94 2.00


EUROCLEAR FINANCE 2 SA FL.R 05-XX 15/06A EUR 500,000 417,000.00 0.76

555,443.12 1.01

HSBC CAP FDG LP FL.R 00-XX 31/12A EUR 500,000 514,837.50 0.94Jersey Island



47,455,258.50 86.48

514,837.50 0.94




109

ITALY BOT (12 MESI) 0.00 10-11 14/01 EUR 1,200,000 1,196,100.58 8.66


BondsItaly

ITALY BOT (12 MESI) 0.00 10-11 15/02 EUR 3,000,000 2,991,157.38 21.66

ITALY BOT (12 MESI) 0.00 10-11 15/03 EUR 1,000,000 995,203.01 7.21

ITALY BOT (181GG) 0.00 10-11 28/02 EUR 2,000,000 1,994,242.84 14.44

ITALY BOT (185GG) 0.00 10-11 31/01 EUR 2,600,000 2,595,237.74 18.80

9,771,941.55 70.77


Total bonds 10,170,869.55 73.66

398,928.00 2.89

ITALY CCT FL.R 04-11 01/11S EUR 1,600,000 1,597,148.80 11.57




11,768,018.35 85.23

1,597,148.80 11.57



>>|

Portfolio


Absolute Return Interest Rate Strategies

110


ITALY BTP 2.25 10-13 01/11S EUR 20,000,000 19,453,000.00 3.42


BondsItaly

ITALY BTP 2.50 09-12 01/07S EUR 10,000,000 9,976,000.00 1.75

ITALY BTP 4.00 07-12 15/04S EUR 10,000,000 10,188,100.00 1.79

ITALY BTP 5.00 01-12 01/02S EUR 20,000,000 20,544,200.00 3.61

ITALY BTP 5.25 01-11 01/08S EUR 35,000,000 35,651,000.00 6.27

ITALY CTZS 0.00 09-11 30/06 EUR 25,000,000 24,797,000.00 4.36

ITALY CTZS 0.00 09-11 30/09 EUR 90,000,000 88,662,600.00 15.60

ITALY CTZS 0.00 09-11 31/03 EUR 45,000,000 44,851,500.00 7.89

ITALY CTZS 0.00 10-12 30/04 EUR 100,000,000 96,623,000.00 17.00

350,746,400.00 61.69

GERMANY 0.00 10-11 28/09 EUR 80,000,000 79,505,200.00 13.99Germany

GERMANY 1.25 09-11 16/09A EUR 65,000,000 65,304,850.00 11.49

GERMANY 1.25 09-11 16/12A EUR 15,000,000 15,090,900.00 2.65

Total bonds 510,647,350.00 89.82

159,900,950.00 28.13





540,593,890.00 95.09

29,946,540.00 5.27




Monetary FundsEuro Liquidity

111

BUNDESLAENDER SCHATZ -19- 3.75 04-11 07/09A EUR 4,000,000 4,076,624.00 6.07


BondsGermany

EUROHYPO AG 3.00 06-12 18/01A EUR 6,500,000 6,610,760.00 9.85

EUROHYPO AG 2.75 05-11 21/09A EUR 2,700,000 2,729,997.00 4.06

KFW 3.375 08-12 16/01A EUR 2,000,000 2,050,194.00 3.05

LANDESBANK BADEN-WUERTT -1117- 3.875 06-12 19/06A EUR 2,200,000 2,263,800.00 3.37

STATE BERLIN -218- 3.875 06-12 02/08A EUR 5,000,000 5,205,660.00 7.75

22,937,035.00 34.15

CIF EUROMORTGAGE SA -16- 3.25 04-11 01/12A EUR 750,000 763,290.75 1.14France

CIF EUROMORTGAGE SA -2- 4.625 02-12 11/10A EUR 4,000,000 4,209,752.00 6.26

4,973,042.75 7.40

ABN AMRO BANK NV -11- 3.75 06-12 12/01A EUR 4,500,000 4,605,615.00 6.86The Netherlands

4,605,615.00 6.86

DEPFA ACS BANK 3.25 05-12 15/02A EUR 4,000,000 3,982,892.00 5.93Ireland

3,982,892.00 5.93

BANCO POPULAR ESPANOL SA 3.00 05-12 18/10A EUR 3,500,000 3,453,782.50 5.14Spain

3,453,782.50 5.14

GREECE 3.90 06-11 20/08A EUR 3,300,000 3,180,342.00 4.73Greece

3,180,342.00 4.73

ITALY BTP 3.75 06-11 15/09S EUR 3,000,000 3,034,860.00 4.52Italy

3,034,860.00 4.52

CAIXA GERAL DE DEPOSITOS SA 3.875 08-11 12/12A EUR 3,000,000 2,951,646.00 4.39Portugal

2,951,646.00 4.39

AUSTRIA 5.00 02-12 15/07A EUR 2,700,000 2,866,239.00 4.27Austria

Total bonds 51,985,454.25 77.39

2,866,239.00 4.27

BAYERISCHE LDBK -30065- FL.R 05-13 09/08Q EUR 3,000,000 2,989,425.00 4.45

Floating rate bondsGermany

BERLIN-HANN HYPOTHEKENBANK AG FL.R 05-11 03/02Q EUR 5,000,000 5,000,990.00 7.45

DUESSELD HYPK AG FL.R 07-11 16/02Q EUR 2,500,000 2,499,702.50 3.72

10,490,117.50 15.62

AYT CEDULAS CAJAS GLB FL.R 05-12 14/12Q EUR 3,500,000 3,273,882.50 4.87Spain



65,749,454.25 97.88

3,273,882.50 4.87



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Portfolio


Guaranteed FundsGaranT 1

112


ITALY BTP 2.50 09-12 01/07S EUR 8,500,000 8,479,600.00 14.01


BondsItaly

ITALY BTP 3.75 08-13 15/12S EUR 5,500,000 5,571,995.00 9.21

ITALY BTP 4.00 07-12 15/04S EUR 7,500,000 7,641,075.00 12.63

ITALY BTP 4.25 07-12 15/10S EUR 7,500,000 7,686,750.00 12.70

ITALY BTP 4.25 08-13 15/04S EUR 8,400,000 8,639,148.00 14.27

ITALY BTP 4.75 02-13 01/02S EUR 7,500,000 7,778,100.00 12.85

ITALY BTP 5.00 01-12 01/02S EUR 7,700,000 7,909,517.00 13.07

ITALY BTPS STRIP 0.00 02-12 01/08 EUR 3,000,000 2,875,380.00 4.75

ITALY BTPS STRIP 0.00 98-12 01/11 EUR 2,500,000 2,376,150.00 3.93

Total bonds 58,957,715.00 97.42


58,957,715.00 97.42

58,957,715.00 97.42

GENERALI INVESTMENTS SICAV GARANT 2 -D- CAP SEP 100 28.09.12 PUT EUR 200,000 0.00 0.00

Derivative instruments

Options, Warrants, RightsLuxembourg

Total Options, Warrants, Rights 0.00 0.00

Total derivative instruments 0.00 0.00

0.00 0.00




GaranT 2

113

ITALY BTP 2.00 10-13 01/06S EUR 1,000,000 975,880.00 2.00


BondsItaly

ITALY BTP 2.25 10-13 01/11S EUR 500,000 486,325.00 1.00

ITALY BTP 3.50 09-14 01/06S EUR 3,000,000 3,007,620.00 6.17

ITALY BTP 3.75 08-13 15/12S EUR 6,000,000 6,078,540.00 12.48

ITALY BTP 4.25 03-13 01/08S EUR 5,000,000 5,140,950.00 10.55

ITALY BTP 4.25 08-13 15/04S EUR 4,000,000 4,113,880.00 8.44

ITALY BTPS STRIP 0.00 02-13 01/08 EUR 1,000,000 923,370.00 1.90

ITALY STRIP 0.00 98-13 01/11 EUR 1,000,000 913,810.00 1.88

21,640,375.00 44.42

BNP PARIBAS HOME LOAN CVD BDS SA 4.75 08-13 28/05A EUR 500,000 532,915.00 1.09France

CIE DE FIN FONCIER SA -431- 4.50 07-13 09/01A EUR 500,000 526,441.00 1.08

CIF EUROMORTGAGE SA EMTN -27- 3.625 06-13 25/03A EUR 500,000 518,833.00 1.06

FRANCE OAT 4.00 02-13 25/10A EUR 6,000,000 6,436,080.00 13.21

FRANCE OAT 4.00 03-14 25/04A EUR 3,500,000 3,773,735.00 7.75

FRANCE OAT STRIP 8.50 0.00 91-13 25/10 EUR 1,000,000 963,000.00 1.98

12,751,004.00 26.17


GERMANY -302- 3.75 03-13 04/07A EUR 5,000,000 5,338,550.00 10.95

5,886,810.00 12.08

AUSTRIA 3.40 09-14 20/10A EUR 5,000,000 5,271,650.00 10.82Austria

5,271,650.00 10.82

SPAIN 4.20 03-13 30/07A EUR 1,500,000 1,516,230.00 3.11Spain

Total bonds 47,066,069.00 96.60


47,066,069.00 96.60

1,516,230.00 3.11



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Portfolio


GaranT 3

114


ITALY BTP 3.00 10-15 15/06S EUR 3,500,000 3,398,430.00 8.10


BondsItaly

ITALY BTP 3.50 09-14 01/06S EUR 1,000,000 1,002,540.00 2.39

ITALY BTP 3.75 06-16 01/08S EUR 2,500,000 2,480,375.00 5.91

ITALY BTP 4.25 04-14 01/08S EUR 4,000,000 4,105,800.00 9.79

ITALY BTP 4.25 04-15 01/02S EUR 5,500,000 5,632,935.00 13.43

16,620,080.00 39.62

BNP PARIBAS HOME LOAN CVD BDS SA -3- EMTN 4.50 07-14 30/05A EUR 500,000 534,592.00 1.27France

CRH SA 5.00 02-13 25/10A EUR 500,000 540,129.00 1.29

FRANCE BTAN 2.50 09-14 12/01A EUR 5,500,000 5,671,710.00 13.52

FRANCE OAT 3.00 04-15 25/10A EUR 2,500,000 2,589,125.00 6.17

9,335,556.00 22.25


GERMANY -153- 4.00 08-13 11/10A EUR 3,500,000 3,780,945.00 9.01

6,487,795.00 15.46

AUSTRIA EMTN 3.50 04-15 15/07A EUR 4,000,000 4,221,480.00 10.06Austria

4,221,480.00 10.06

SPAIN STRIP 3.15 05-16 31/01A EUR 1,500,000 1,403,490.00 3.35Spain

Total bonds 38,068,401.00 90.74

1,403,490.00 3.35





39,944,423.00 95.21

1,876,022.00 4.47




GaranT 4

115

ITALY BTP 3.00 10-15 15/04S EUR 1,000,000 974,590.00 4.10


BondsItaly

ITALY BTP 3.00 10-15 15/06S EUR 3,000,000 2,912,940.00 12.24

ITALY BTP 3.75 05-15 01/08S EUR 1,000,000 1,002,240.00 4.22

ITALY BTP 3.75 06-16 01/08S EUR 1,500,000 1,488,225.00 6.25

ITALY BTP 4.00 06-17 01/02S EUR 1,000,000 995,900.00 4.19

ITALY BTP 5.25 02-17 01/08S EUR 1,000,000 1,060,000.00 4.46

8,433,895.00 35.46

FRANCE OAT 3.00 04-15 25/10A EUR 2,500,000 2,589,125.00 10.89France

FRANCE OAT 3.25 05-16 25/04A EUR 3,000,000 3,130,620.00 13.17

5,719,745.00 24.06

AUSTRIA EMTN 3.50 04-15 15/07A EUR 500,000 527,685.00 2.22Austria

AUSTRIA EMTN 4.00 05-16 15/09A EUR 2,000,000 2,147,720.00 9.03

2,675,405.00 11.25


GERMANY 3.50 05-16 04/01A EUR 1,000,000 1,073,310.00 4.51

2,669,085.00 11.23

SPAIN STRIP 3.15 05-16 31/01A EUR 1,000,000 935,660.00 3.94Spain

Total bonds 20,433,790.00 85.94

935,660.00 3.94





21,840,806.50 91.86

1,407,016.50 5.92



>>|

Portfolio


GaranT 5


116

Notes to the Financial Statements as at December 31, 2010 1. Organisation GENERALI INVESTMENTS SICAV ( the “SICAV”) is an investment company, qualifying as a “Société d’Investissement à Capital Variable“ incorporated on March 14, 2002 for an unlimited duration under part I of the Luxembourg law of December 20, 2002 on undertakings for collective investments and pursuant to the law of August 10, 1915 on commercial companies. The SICAV is registered at the Luxembourg Commercial Register under the number B86432 and is established at 5, Allée Scheffer, L - 2520 Luxembourg. The SICAV has an umbrella structure and on December 31, 2010, the number of activated sub-funds in the SICAV amounted to thirty four. Three new sub-funds were launched during the year in order to fill out the product range and one of them has been closed during the same year. The total Net Asset Value of the SICAV decreased by EUR 190 million from EUR 3,979 million as at the end of 2009 to EUR 3,789 million as at the end of 2010. The Management Company of the SICAV, Generali Fund Management S.A. has been designated as management company of the following mutual funds: GENERALI KOMFORT, GENERALI FONDSSTRATEGIE AKTIEN GLOBAL, GENERALI BELGIUM FCP - FIS, GP & G FUND, VOBA FUND, VDL US$ CORPORATE BOND FUND, GENERALI VERMÖGENSSTRATEGIE and the following “Société d’Investissement à Capital Variable”: GENERALI MULTINATIONAL PENSION SOLUTIONS SICAV, BG SICAV and BG SELECTION SICAV. New sub-funds Three sub-funds were launched during the year ending December 31, 2010 : Sub-funds name Currency Effective launch date

GENERALI INVESTMENTS SICAV - Tactical Bond Allocation EUR 19.04.2010 GENERALI INVESTMENTS SICAV - GaranT 5 EUR 01.10.2010GENERALI INVESTMENTS SICAV - Advantage Global Multiasset EUR 11.06.2010 Liquidation In its Circular Resolution dated December 22, 2010, the Board of Directors has decided to liquidate the sub-fund GENERALI INVESTMENTS SICAV - Advantage Global Multiasset with effective date on December 21, 2010. As at December 31, 2010, thirty four sub-funds were available to the investors :

Sub-funds name Currency 1. Equity sub-funds GENERALI INVESTMENTS SICAV - Euro Equities Opportunity (“Euro Equities Opportunity”) EUR

GENERALI INVESTMENTS SICAV - High Conviction Europe (“High Conviction Europe”) EUR

GENERALI INVESTMENTS SICAV - Central and Eastern European Equities

(“Central and Eastern European Equities”) EUR

GENERALI INVESTMENTS SICAV - Italian Equities (“Italian Equities”) EUR

GENERALI INVESTMENTS SICAV - German Equities (“German Equities”) EUR

GENERALI INVESTMENTS SICAV - Global Multi Utilities (“Global Multi Utilities”) EUR

GENERALI INVESTMENTS SICAV - European Value Equities (“European Value Equities”) EUR

GENERALI INVESTMENTS SICAV - Capital Markets Strategies (“Capital Markets Strategies”) EUR

GENERALI INVESTMENTS SICAV - Small & Mid Cap Euro Equities (“Small & Mid Cap Euro Equities”) EUR

GENERALI INVESTMENTS SICAV - North American Equities Fund of Funds (“North American Equities Fund of Funds”) EUR

GENERALI INVESTMENTS SICAV - Futur (“Futur”) EUR 2. Bond/ Debt sub-funds

GENERALI INVESTMENTS SICAV - Euro Bonds (“Euro Bonds”) EUR

GENERALI INVESTMENTS SICAV - Euro Bonds 1/3 Years (“Euro Bonds 1/3 Years”) EUR


Notes to the Financial Statements

117


GENERALI INVESTMENTS SICAV - Euro Bonds 10+ Years (“Euro Bonds 10+ Years”) EUR

GENERALI INVESTMENTS SICAV - US Bonds (“US Bonds”) EUR

GENERALI INVESTMENTS SICAV - Central and Eastern European Bonds (“Central and Eastern European Bonds”) EUR

GENERALI INVESTMENTS SICAV - Euro Corporate Bonds (“Euro Corporate Bonds”) EUR

GENERALI INVESTMENTS SICAV - Short Term Euro Corporate Bonds

(“Short Term Euro Corporate Bonds”) EUR

GENERALI INVESTMENTS SICAV - European High Yield Bonds (“European High Yield Bonds”) EUR

GENERALI INVESTMENTS SICAV - Euro Convertible Bonds (“Euro Convertible Bonds”) EUR

GENERALI INVESTMENTS SICAV - Euro Inflation Linked Bonds (“Euro Inflation Linked Bonds”) EUR

GENERALI INVESTMENTS SICAV - Tactical Bond Allocation (“Tactical Bond Allocation”) EUR 3. Absolute Return sub-funds

GENERALI INVESTMENTS SICAV - Absolute Return Multi Strategies (“Absolute Return Multi Strategies”) EUR

GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies (“Absolute Return Credit Strategies”) EUR

GENERALI INVESTMENTS SICAV - Absolute Return Global Macro Strategies (“Absolute Return Global Macro Strategies”) EUR

GENERALI INVESTMENTS SICAV - Absolute Return Interest Rate Strategies (“Absolute Return Interest Rate Strategies”) EUR

4. Monetary sub-fund

GENERALI INVESTMENTS SICAV - Euro Liquidity (“Euro Liquidity”) EUR 5. Guaranteed sub-funds

GENERALI INVESTMENTS SICAV - GaranT 1 (“GaranT 1”) EUR




GENERALI INVESTMENTS SICAV - GaranT 5 (“GaranT 5”) EUR The SICAV may issue different Classes of Shares (Class A-B-C-D-E), as determined by the Board of Directors which may differ inter alia in their fee structure and distribution policy applying to them. These Classes of Shares will be sub-divided into accumulation of income or distribution of income categories. In addition Class CHK and DHK may be issued only for the sub-funds distributed in Hong Kong. The investment policy of the SICAV is to invest in a range of diversified securities, conforming to the investment policy of each particular sub-fund, with the objective of long term capital growth.

2. Summary of significant accounting principles Presentation of the financial statements The SICAV’s financial statements are prepared in accordance with the Luxembourg regulations relating to undertakings for collective investment in transferable securities. a) Securities portfolio The value of any transferable securities which are listed on a stock exchange or dealt in on another regulated market is determined according to their last available price. In the event that the assets are neither listed on a stock exchange nor dealt in on another regulated market or if the price as determined above is not representative of the fair market value in the opinion of the Board of Directors of the SICAV, the value of such assets shall be assessed on the basis of their foreseeable sales prices estimated prudently and in good faith by the Board of Directors of the SICAV. The valuation criteria used by the Board of Directors of the SICAV to estimate the valuation of those illiquid securities might be determined with prudence on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, i.e. where the fair values of financial instruments or securities recorded in the Statement of Net Assets cannot be derived from active markets at the date of the Net Asset Value calculation, they are determined using a variety of valuation techniques that include the use of mathematical models. Valuation techniques include net present value techniques, comparison to similar instruments for which market observable prices exist, options pricing models and other relevant


118

valuation models, including valuation models provided by counterparties or service providers as well as broker statements in order to reflect what is believed to be the fair value of those securities at the portfolio's valuation point. The input to these models is taken from observable markets where possible, but where this is not feasible, a degree of judgement is required in establishing fair values. The judgements include considerations of liquidity and model inputs such as correlation and volatility for longer dated instruments. Use of available information and application of judgement are inherent in the formation of estimates. Actual results in the future could differ from such estimates and the differences may be material to the valuation retained. Money market instruments and fixed interest securities with a maturity of less than 60 days may be valued on the basis of their discounted cost. This method consists in taking into account a fixed daily discount to reach the redemption price at the maturity date. Units or shares issued by open-ended investment funds are valued at their last available Net Asset Value or in accordance with the first paragraph above where such securities are listed. Shares or units in exchange traded funds which are listed or quoted on a recognised securities exchange are determined according to their last available price. b) Cash at Bank and Liquidities The value of any cash on hand and broker accounts are deemed to be the full amount thereof, unless in any case the same is unlikely to be paid or received in full, in which case the value thereof is arrived at after making such discount as may be considered appropriate in such case to reflect the true value thereof. c) Conversion of items expressed in foreign currencies The SICAV’s financial statements are expressed in EUR. Net Assets of each sub-fund expressed in foreign currencies are therefore converted and combined in EUR at the exchange rate in force at the close of the financial year. Transaction and acquisition costs denominated in foreign currencies are converted into the accounting currency of each sub-fund based on the exchange rate in force on the date of the transaction or acquisition. Assets and liabilities denominated in foreign currencies are converted into the accounting currency of each sub-fund based on the exchange rate in force at the end of the financial period. Any resulting gains or losses are recognised in the Statement of Operations and Changes in Net Assets. As at December 31, 2010, the rates of exchange used were the following:

d) Dividend and Interest Income Dividend income is accounted for on an ex-dividend basis, net of withholding tax. Interest income is recognised on an accrual basis.

e) Allocation of Costs and Expenses Specific costs or expenses are charged to each sub-fund. Non-specific costs and expenses are usually distributed between the sub-funds in proportion to their respective Net Assets. f) Formation expenses Formation expenses have been totally amortised.

1EUR = 1.3082 AUD 1EUR = 108.3736 JPY 1.9561 BGN 3.4529 LTL 2.2102 BRL 0.7098 LVL 1.3279 CAD 16.4477 MXN 1.2443 CHF 7.8220 NOK 25.1765 CZK 1.7213 NZD 7.4548 DKK 3.9675 PLN 15.6465 EEK 4.2915 RON 0.8630 GBP 8.9838 SEK 10.3424 HKD 2.0629 TRY 7.3873 HRK 1.3282 USD 279.5750 HUF 8.8539 ZAR


119

g) Financial Futures contracts Open financial futures contracts are valued at their last known price on the valuation date or on the closing date. The unrealised appreciation or depreciation on futures is disclosed in the accounts (Note 8). h) Forward foreign exchange contracts Outstanding forward foreign exchange contracts are valued at the closing date by reference to the rate of exchange applicable to the outstanding life of the contract. The unrealised appreciation or depreciation is disclosed in the accounts (Note 9). i) Options Options are valued at their last known price on the valuation date or on the closing date. The unrealised appreciation or depreciation on options is disclosed in the accounts (Note 11). j) 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 fixed periodic coupon for the specified life of the agreement. The other party makes no payments unless a credit event, relating to a predetermined reference asset or basket of assets, occurs. If such an event occurs, the party will then make a payment to the first party, and the swap will terminate. The Credit Default Swaps are revalued at each Net Asset Value calculation. The unrealised appreciation or depreciation on Credit Default Swap is disclosed in the accounts (Note 10). k) Foreign Exchange Swaps A Foreign Exchange Swap is a transaction involving the exchange of cash flows and principal in one currency for those in another with an agreement to reverse the principal swap at a future date. The Foreign Exchange Swaps are revalued at each Net Asset Value calculation. The unrealised appreciation or depreciation on Foreign Exchange Swap is disclosed in the accounts (Note 10). l) Brokers fees The transactions fees, i.e. fees charged by the brokers for securities transactions and similar transactions are recorded separately in the Statement of Operations and Changes in Net Assets in the account “Brokers fees”.

3. Determination of net asset value of shares The Net Asset Value per share of each Class of shares in each sub-fund is determined by dividing the value of the total Net Assets of that sub-fund properly allocable to such Class by the total number of shares of such Class outstanding on such Valuation Day.

4. Taxation The SICAV is registered in Luxembourg and as a result, is exempt from tax except for the “taxe d’abonnement”. Under current legislation, institutional Classes of Shares or monetary sub-funds are subject to a tax rate of 0.01%, those reserved to retail investors are subject to a tax rate of 0.05%. The tax is calculated and payable quarterly on the Net Assets of the SICAV at the end of the relevant quarter.

5. Management fees The SICAV pays for the various sub-funds and by Class of Shares an aggregate fee (the “Aggregate Fee”) accrued on each valuation day as a percentage of the Net Assets and payable quarterly in arrears. The aggregate fee may be used to pay the Management Company for the portfolio management, the Investment Managers, any Distributors and/or any permanent representatives in places of registration of the SICAV or any sub-fund. For the sub-fund North American Equities Fund of Funds, the maximum level of management fees that may be charged to both the sub-fund and to UCITS and/or UCI in which it invests is 4.00%.


120

For the year ended December 31, 2010, Aggregate fees were detailed as follows:

GENERALI INVESTMENTS SICAV Class A shares

Class B shares

Class C shares

Class D shares

Class E shares

Equity sub-funds

Euro Equities Opportunity 0.30% 0.60% 0.80% 1.60% 2.10%

High Conviction Europe 0.50% 0.80% 1.00% 1.80% 2.30%

Central and Eastern European Equities 0.50% 0.80% 1.00% 1.80% 2.30%

Italian Equities 0.30% 0.60% 0.80% 1.60% 2.10%

German Equities 0.30% 0.60% 0.80% 1.60% 2.10%

Global Multi Utilities 0.30% 0.60% 0.80% 1.60% 2.10%

European Value Equities 0.30% 0.60% 0.80% 1.60% 2.10%

Capital Markets Strategies 0.40% 0.80% 1.00% 1.70% 2.20%

Small & Mid Cap Euro Equities 0.50% 0.80% 1.00% 1.80% 2.30%

North American Equities Fund of Funds 0.30% 0.80% 1.00% 1.60% 2.10%

Futur 0.40% 0.80% 1.00% 2.00% 2.20%

Bond/ Debt sub-funds

Euro Bonds 0.20% 0.40% 0.60% 1.10% 1.30%

Euro Bonds 1/3 Years 0.10% 0.15% 0.25% 0.50% 0.70%

Euro Bonds 3/5 Years 0.10% 0.15% 0.25% 0.50% 0.70%

Euro Bonds 5/7 Years 0.10% 0.15% 0.25% 0.50% 0.70%

Euro Bonds 10+ Years 0.10% 0.15% 0.25% 0.50% 0.70%

US Bonds 0.20% 0.40% 0.60% 1.10% 1.30%

Central and Eastern European Bonds 0.40% 0.50% 0.70% 1.30% 1.50%

Euro Corporate Bonds 0.20% 0.40% 0.60% 1.10% 1.30%

Short Term Euro Corporate Bonds 0.20% 0.40% 0.60% 1.10% 1.30%

European High Yield Bonds 0.40% 0.50% 0.70% 1.30% 1.50%

Euro Convertible Bonds 0.30% 0.40% 0.60% 1.10% 1.30%

Euro Inflation Linked Bonds 0.20% 0.40% 0.60% 0.60% 0.80%

Tactical Bond Allocation 0.40% 0.50% 0.70% 1.30% 1.50%

Absolute Return sub-funds

Absolute Return Multi Strategies 0.25% 0.50% 0.70% 1.10% 1.30%

Absolute Return Credit Strategies 2.10%* 0.50% 0.70% 0.80% 1.00%

Absolute Return Global Macro Strategies 0.20% 0.50% 0.70% 0.85% 1.10%

Absolute Return Interest Rate Strategies 0.20% 0.50% 0.70% 0.80% 1.10%

Monetary sub-fund Euro Liquidity 0.05% 0.15% 0.20% 0.30% 0.50% Guaranteed sub-funds GaranT 1 - - - 1.00% -

GaranT 2 - - - 1.00% -

GaranT 3 - - - 1.00% -

GaranT 4 - - - 1.00% -

GaranT 5 - - - 1.00% - Flexible sub-fund

Advantage Global Multiasset (closed on December 21, 2010) 0.60% 1.00% 1.90% 1.90% 1.90% * Until April 30, 2010, the Aggregate fee was 0.20%.


121

6. Custody and administrative agent fees The Custodian and the Administrative Agent are paid by the SICAV on the basis of business practice in Luxembourg. These fees are calculated on the basis of the daily Net Assets of the sub-funds.

7. Performance fees As set out in the prospectus of the SICAV, the Management Company and/or the Investment Manager is entitled to receive from the Net Assets of certain sub-funds or classes, an annual performance fee equal to the difference between the performance of the Net Asset Value per share over the performance period and the performance of the benchmark provided that the Net Asset Value per share at the end of the performance period exceeds the historical highest Net Asset Value per share at the end of any prior performance period since the launch date of the sub-fund.

GENERALI INVESTMENTS SICAV Share- Class

Performance Fee

Tactical Bond Allocation All Classes 20% per annum of the performance above the JPMorgan EMU Government Bond Index 1-3 years.

Absolute Return Multi Strategies Class A 20% per annum of the performance above the compounded accrued income of the EONIA rate increased by 0.95%.

Class C 20% per annum of the performance above the compounded accrued income of the EONIA rate increased by 0.50%.

Class D 20% per annum of the performance above the compounded accrued income of the EONIA rate increased by 0.10%.

Class E 20% per annum of the performance above the compounded accrued income of the EONIA rate.

Absolute Return Credit Strategies Class A 20% per annum of the performance above the compounded accrued income of the EONIA rate increased by 0.85%.




Absolute Return Global Macro Strategies Class A 20% per annum of the performance above the compounded accrued income of the EONIA rate increased by 0.85%.




Absolute Return Interest Rate Strategies Class A 20% per annum of the performance above the compounded accrued income of the EONIA rate increased by 0.85%.




For the sub-fund Advantage Global Multiasset (closed on December 21, 2010), the Investment Manager was entitled to receive on a monthly basis a performance fee of 0.007% of the Net Asset Value of the sub-fund for each percentage variation of “Return” obtained by the sub-fund. “Return” means the increase, on a yearly percentage basis, of the Net Asset Value per Share calculated on the last business day of each month compared with the Net Asset Value per Share on the last business day of the corresponding month in the previous quarter (except for new sub-funds, the Net Asset Value per Share on the last business day of each month will be


122

compared with the initial price per Share upon the launch of the relevant sub-fund as long as it is not possible to compare it with the Net Asset Value per Share on the last business day of the corresponding month in the previous quarter).

8. Open positions on financial futures At December 31, 2010, the open positions on financial futures were as follows : GENERALI INVESTMENTS SICAV - Capital Markets Strategies

Currency Quantity Buy- Sell

Description Commitment Unrealised appreciation/ (depreciation) (EUR)

EUR 45 B IBEX 35 INDEX JANUARY 11 4,405,950.00 (97,350.00) EUR 15,000 B FRANCE TELECOM DECEMBER 11 2,055,000.00 105,000.00 EUR 1,950 S DJ EURO STOXX 50 INDEX MARCH 11 54,483,000.00 480,620.00 Total : 488,270.00

At December 31, 2010, the net unrealised appreciation on futures contracts amounted to EUR 488,270.00. GENERALI INVESTMENTS SICAV - North American Equities Fund of Funds



USD 3 B S&P 500 INDEX MARCH 11 708,383.53 10,333.53 Total : 10,333.53

At December 31, 2010, the unrealised appreciation on futures contract amounted to EUR 10,333.53. GENERALI INVESTMENTS SICAV - Euro Bonds



EUR 200 S EURO BOBL FUTURE MARCH 11 23,756,000.00 92,000.00 EUR 300 S EURO BUND FUTURE MARCH 11 37,593,000.00 228,000.00 Total : 320,000.00

At December 31, 2010, the unrealised appreciation on futures contracts amounted to EUR 320,000.00. GENERALI INVESTMENTS SICAV - Euro Bonds 1/3 Years



EUR 150 S EURO BOBL FUTURE MARCH 11 17,817,000.00 69,000.00 Total : 69,000.00

At December 31, 2010, the unrealised appreciation on futures contract amounted to EUR 69,000.00. GENERALI INVESTMENTS SICAV - Euro Bonds 3/5 Years



EUR 100 S EURO SCHATZ FUTURE MARCH 11 10,900,500.00 13,500.00 EUR 60 B EURO BOBL FUTURE MARCH 11 7,126,800.00 (25,800.00) Total : (12,300.00)

At December 31, 2010, the net unrealised depreciation on futures contracts amounted to EUR 12,300.00. GENERALI INVESTMENTS SICAV - Euro Corporate Bonds



EUR 431 S EURO SCHATZ FUTURE MARCH 11 46,981,155.00 2,155.00 EUR 100 B EURO BUND FUTURE MARCH 11 12,531,000.00 (91,000.00) Total : (88,845.00)

At December 31, 2010, the net unrealised depreciation on futures contracts amounted to EUR 88,845.00.


123

GENERALI INVESTMENTS SICAV - Short Term Euro Corporate Bonds Currency Quantity Buy-

Sell Description Commitment Unrealised

appreciation/ (depreciation) (EUR)

EUR 215 S EURO SCHATZ FUTURE MARCH 11 23,436,075.00 1,075.00 EUR 50 B EURO BUND FUTURE MARCH 11 6,265,500.00 (45,500.00) Total : (44,425.00)

At December 31, 2010, the net unrealised depreciation on futures contracts amounted to EUR 44,425.00. GENERALI INVESTMENTS SICAV - Absolute Return Multi Strategies



EUR 85 S CAC40 10 EURO INDEX JANUARY 11 3,274,200.00 36,550.00 EUR 200 S EURO SCHATZ FUTURE MARCH 11 21,801,000.00 0.00 USD 140 S S&P 500 INDEX MARCH 11 6,611,579.58 (88,277.37) USD 175 S US 5 YEARS NOTE MARCH 11 15,469,126.45 297,672.60 EUR 70 S IBEX 35 INDEX JANUARY 11 6,853,700.00 115,010.00 JPY 10 S JPN 10 YEARS MARCH 11 12,974,566.86 (30,450.23) USD 225 B NIKKEI 225 INDEX MARCH 11 8,669,157.51 8,470.11 EUR 100 S FTSE MIB INDEX MARCH 11 10,102,500.00 155,425.00 USD 160 S US 2 YEARS NOTE MARCH 11 26,338,277.37 56,467.40 USD 85 S US TREASURY BOND MARCH 11 7,743,562.72 257,985.43 EUR 100 S DJ EURO STOXX 50 INDEX MARCH 11 2,794,000.00 53,000.00 GBP 170 S SHORT GILT FUTURE MARCH 11 21,522,104.41 45,309.69 Total : 907,162.63

At December 31, 2010, the net unrealised appreciation on futures contracts amounted to EUR 907,162.63. GENERALI INVESTMENTS SICAV - Absolute Return Global Macro Strategies



EUR 130 S EURO SCHATZ FUTURE MARCH 11 14,170,650.00 0.00 USD 75 S US 5 YEARS NOTE MARCH 11 6,629,625.62 127,573.97 JPY 8 S JPN 10 YEARS MARCH 11 10,379,653.49 (24,360.19) USD 70 S US 2 YEARS NOTE MARCH 11 11,522,996.35 24,704.49 USD 40 S US TREASURY BOND MARCH 11 3,644,029.51 121,404.91 GBP 80 S SHORT GILT FUTURE MARCH 11 10,128,049.13 21,322.21 Total : 270,645.39

At December 31, 2010, the net unrealised appreciation on futures contracts amounted to EUR 270,645.39. GENERALI INVESTMENTS SICAV - Absolute Return Interest Rate Strategies



EUR 48 B EURO SCHATZ FUTURE MARCH 11 5,232,240.00 0.00 USD 100 S US 5 YEARS NOTE MARCH 11 8,839,500.83 (22,123.45) USD 58 B US 2 YEARS NOTE MARCH 11 9,547,625.55 10,234.72 USD 20 B US TREASURY BOND MARCH 11 1,822,014.76 4,705.62 Total : (7,183.11)

At December 31, 2010, the net unrealised depreciation on futures contracts amounted to EUR 7,183.11. GENERALI INVESTMENTS SICAV - Euro Liquidity



EUR 1,100 S EURO SCHATZ FUTURE MARCH 11 119,905, 500.00 148,500.00 Total : 148,500.00

At December 31, 2010, the unrealised appreciation on futures contract amounted to EUR 148,500.00.


124

GENERALI INVESTMENTS SICAV - GaranT 3 Currency Quantity Buy-

Sell Description Commitment Unrealised

appreciation/ (depreciation) (EUR)

EUR 10 B DJ EURO STOXX 50 INDEX MARCH 11 279,400.00 (3,300.00) Total : (3,300.00)

At December 31, 2010, the unrealised depreciation on futures contract amounted to EUR 3,300.00. GENERALI INVESTMENTS SICAV - GaranT 4



EUR 95 B DJ EURO STOXX 50 INDEX MARCH 11 2,654,300.00 (31,350.00) Total : (31,350.00)

At December 31, 2010, the unrealised depreciation on futures contract amounted to EUR 31,350.00. GENERALI INVESTMENTS SICAV - GaranT 5



EUR 95 B DJ EURO STOXX 50 INDEX MARCH 11 2,654,300.00 (31,350.00) Total : (31,350.00)

At December 31, 2010, the unrealised depreciation on futures contract amounted to EUR 31,350.00.

9. Forward foreign exchange contracts At December 31, 2010, outstanding forward foreign exchange contracts were as follows: GENERALI INVESTMENTS SICAV - European Value Equities

Currency Buy Currency Sell Maturity date Unrealised appreciation/ (depreciation) (EUR)

GBP 1,494,846.00 EUR 1,800,000.00 19.01.2011 (67,932.02) Total : (67,932.02)

At December 31, 2010, the unrealised depreciation on forward foreign exchange contract amounted to EUR 67,932.02. GENERALI INVESTMENTS SICAV - Capital Markets Strategies


EUR 18,912,076.70 USD 23,300,000.00 19.01.2011 1,369,170.47 EUR 18,364,027.49 GBP 15,400,000.00 19.01.2011 520,133.05 GBP 949,188.38 EUR 1,147,000.00 19.01.2011 (47,182.23) GBP 2,800,000.00 EUR 3,364,401.98 19.01.2011 (120,060.13) USD 1,500,000.00 EUR 1,224,669.75 19.01.2011 (95,297.96) USD 21,800,000.00 EUR 17,184,297.65 19.01.2011 (770,772.98) EUR 16,110,948.33 USD 20,620,000.00 19.01.2011 585,864.93 USD 5,520,000.00 EUR 4,319,772.75 19.01.2011 (163,688.22) USD 3,500,000.00 EUR 2,698,666.16 19.01.2011 (63,468.42) EUR 3,080,952.01 USD 4,000,000.00 19.01.2011 69,297.51 EUR 4,700,000.00 USD 5,979,734.80 19.01.2011 197,774.36 GBP 3,069,130.44 EUR 3,540,000.00 19.01.2011 16,196.58 USD 3,487,800.00 EUR 2,500,000.00 19.01.2011 126,008.52 GBP 2,272,738.00 EUR 2,600,000.00 19.01.2011 33,420.09 EUR 2,600,000.00 USD 3,661,970.00 19.01.2011 (157,142.83) GBP 2,455,642.00 EUR 2,800,000.00 19.01.2011 45,351.79 GBP 3,853,000.00 EUR 4,404,359.78 19.01.2011 60,109.25 EUR 2,700,000.00 USD 3,686,040.00 19.01.2011 (75,267.04) Total : 1,530,446.74

At December 31, 2010, the net unrealised appreciation on forward foreign exchange contracts amounted to EUR 1,530,446.74.


125

GENERALI INVESTMENTS SICAV - European High Yield Bonds Currency Buy Currency Sell Maturity date Unrealised appreciation/

(depreciation) (EUR) EUR 1,836,215.65 USD 2,415,000.00 23.03.2011 17,505.71 EUR 3,910,357.13 GBP 3,310,000.00 23.03.2011 76,121.57 GBP 400,000.00 EUR 471,614.69 23.03.2011 (8,262.61) Total : 85,364.67

At December 31, 2010, the net unrealised appreciation on forward foreign exchange contracts amounted to EUR 85,364.67. GENERALI INVESTMENTS SICAV - Euro Convertible Bonds


USD 2,090,124.00 EUR 1,437,499.31 23.02.2016 114,447.01 Total : 114,447.01

At December 31, 2010, the unrealised appreciation on forward foreign exchange contract amounted to EUR 114,447.01. GENERALI INVESTMENTS SICAV - Tactical Bond Allocation


EUR 1,216,540.39 USD 1,600,000.00 23.03.2011 11,597.98 EUR 1,004,170.26 GBP 850,000.00 23.03.2011 19,547.83 GBP 850,000.00 EUR 999,341.61 23.03.2011 (14,717.40) USD 1,600,000.00 EUR 1,217,609.68 23.03.2011 (12,667.01) Total : 3,761.40

At December 31, 2010, the net unrealised appreciation on forward foreign exchange contracts amounted to EUR 3,761.40. GENERALI INVESTMENTS SICAV - Absolute Return Multi Strategies


USD 1,400,000.00 EUR 1,031,307.55 12.01.2011 22,761.84 CAD 6,000,000.00 EUR 4,406,483.41 12.01.2011 111,434.49 EUR 10,511,733.72 USD 14,000,000.00 12.01.2011 (28,962.41) EUR 10,478,571.32 USD 14,000,000.00 12.01.2011 (62,124.44) EUR 22,172,115.75 USD 29,500,000.00 12.01.2011 (38,637.04) EUR 16,209,948.41 GBP 13,700,000.00 12.01.2011 335,100.54 TRY 3,500,000.00 EUR 1,755,679.63 12.01.2011 (60,865.86) USD 14,000,000.00 EUR 10,704,714.28 12.01.2011 (164,016.05) USD 14,000,000.00 EUR 10,716,882.92 12.01.2011 (176,184.55) USD 8,000,000.00 EUR 6,144,440.44 12.01.2011 (121,184.01) USD 2,500,000.00 EUR 1,884,657.46 12.01.2011 (2,390.21) USD 3,000,000.00 EUR 2,245,475.36 12.01.2011 13,245.16 EUR 1,772,870.03 TRY 3,500,000.00 12.01.2011 78,074.55 EUR 7,192,950.91 HUF 2,000,000,000.00 13.01.2011 46,431.73 EUR 13,429,752.99 JPY 1,500,000,000.00 12.01.2011 (412,674.26) INR 400,000,000.00 USD 8,800,880.00 18.01.2011 63,837.90 KRW 7,000,000,000.00 USD 6,111,509.00 18.01.2011 58,809.38 GBP 3,000,000.00 EUR 3,479,067.61 12.01.2011 (2,819.52) BRL 10,000,000.00 EUR 4,430,856.49 02.02.2011 30,197.66 Total : (309,965.10)

At December 31, 2010, the net unrealised depreciation on forward foreign exchange contracts amounted to EUR 309,965.10. GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies


EUR 4,430,162.91 GBP 3,750,000.00 23.03.2011 86,240.45 Total : 86,240.45

At December 31, 2010, the unrealised appreciation on forward foreign exchange contract amounted to EUR 86,240.45.


126

GENERALI INVESTMENTS SICAV - Absolute Return Global Macro Strategies Currency Buy Currency Sell Maturity date Unrealised appreciation/

(depreciation) (EUR) USD 2,700,000.00 EUR 1,988,950.28 12.01.2011 43,897.84 EUR 4,490,816.28 USD 6,000,000.00 12.01.2011 (26,624.76) EUR 3,607,666.29 USD 4,800,000.00 12.01.2011 (6,286.71) EUR 8,992,380.14 GBP 7,600,000.00 12.01.2011 185,895.19 CAD 2,400,000.00 EUR 1,762,593.36 12.01.2011 44,573.80 EUR 4,505,028.74 USD 6,000,000.00 12.01.2011 (12,412.46) USD 6,000,000.00 EUR 4,592,949.82 12.01.2011 (75,507.66) USD 6,000,000.00 EUR 4,587,734.69 12.01.2011 (70,292.59) USD 2,000,000.00 EUR 1,536,110.11 12.01.2011 (30,296.00) USD 700,000.00 EUR 527,704.49 12.01.2011 (669.66) EUR 3,236,827.91 HUF 900,000,000.00 13.01.2011 20,894.28 EUR 5,013,774.45 JPY 560,000,000.00 12.01.2011 (154,065.06) INR 200,000,000.00 USD 4,400,440.00 18.01.2011 31,918.95 KRW 3,000,000,000.00 USD 2,619,218.00 18.01.2011 25,204.12 GBP 2,000,000.00 EUR 2,319,378.40 12.01.2011 (1,879.67) BRL 5,000,000.00 EUR 2,215,428.24 02.02.2011 15,098.83 Total : (10,551.56)

At December 31, 2010, the net unrealised depreciation on forward foreign exchange contracts amounted to EUR 10,551.56.

GENERALI INVESTMENTS SICAV - Absolute Return Interest Rate Strategies Currency Buy Currency Sell Maturity date Unrealised appreciation/

(depreciation) (EUR) GBP 50,000.00 EUR 59,010.98 23.03.2011 (1,092.00) CAD 500,000.00 EUR 373,364.20 23.03.2011 2,666.99 PLN 905,000.00 EUR 225,029.22 23.03.2011 1,955.35 CHF 300,000.00 EUR 237,529.69 23.03.2011 3,859.64 AUD 300,000.00 EUR 224,634.97 23.03.2011 2,511.27 USD 200,000.00 EUR 152,085.47 23.03.2011 (1,467.67) Total : 8,433.58

At December 31, 2010, the net unrealised appreciation on forward foreign exchange contracts amounted to EUR 8,433.58.

10. Swaps

10.1. Credit default swaps

At December 31, 2010, the SICAV was engaged in the following credit default swap contracts :

GENERALI INVESTMENTS SICAV - European High Yield Bonds

Notional Buy/ Sell

Credit default cover CCY Maturity date

Counterparty

Unrealised appreciation/ (depreciation) (EUR)

7,500,000.00

B FRANCE OAT 4.25 03-19 25/4

USD 20.12.2015

Morgan Stanley & Co Intern. PLC

216,540.92

Total : 216,540.92 At December 31, 2010, the unrealised appreciation on credit default swap contracts amounted to EUR 216,540.92.

GENERALI INVESTMENTS SICAV - Absolute Return Multi Strategies

Notional Buy/ Sell


Counterparty


2,000,000.00

B ITRAXX SOVX CE S3 V1 5Y MKT

USD 20.06.2015

BNP Paribas London Branch

67,492.24

4,000,000.00


USD 20.06.2015


134,854.14

5,000,000.00

B FRANCE OAT 4.25 03-19 25/4

USD 20.12.2015

Goldman Sachs Intern.

144,360.63



127

GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies

Notional Buy/ Sell


Counterparty


10,000,000.00

S A2A EMTN 4.50 09-16 02/11

EUR 11.10.2013

Barclays Bank PLC London

(101,509.63)

Total : (101,509.63) At December 31, 2010, the unrealised depreciation on credit default swap contract amounted to EUR 101,509.63. GENERALI INVESTMENTS SICAV - Absolute Return Global Macro Strategies

Notional Buy/ Sell


Counterparty


4,000,000.00


USD 20.06.2015


134,984.52

2,000,000.00

B FRANCE OAT 4.25 03-19 25/4

USD 20.12.2015

Goldman Sachs Intern.

57,744.22


10.2. Foreign exchange swap GENERALI INVESTMENTS SICAV - Euro Convertible Bonds At December 31, 2010, the sub-fund had the following open Foreign exchange swap:

Currency Buy Currency Sell Maturity date Counterparty Unrealised appreciation/ (depreciation) (EUR)

EUR 1,462,852.74 USD 2,090,124.00 23.02.2016 Société Générale (110,208.03) Total : (110,208.03)

At December 31, 2010, the unrealised depreciation on foreign exchange swap contract amounted to EUR 110,208.03. 10.3. Asset Allocation Guarantee Swap GENERALI INVESTMENTS SICAV - GaranT 1 At December 31, 2010, the sub-fund had the following open Asset Allocation Guarantee Swap:

Notional CCY Payer Fixed Leg Amount Maturity date Payer Floating Leg Amount


20,000,000.00 (+ increases on a

monthly basis)

EUR Generali Investments SICAV - GaranT 1

30.09.2011 Commerzbank AG Frankfurt

0.00


128

11. Options GENERALI INVESTMENTS SICAV - GaranT 2 The sub-fund has entered into the following Index put option:

Description Maturity date

CCY Buyer/ Seller

Strike Number of options

Notional Unrealised appreciation/ (depreciation) (EUR)

Index put option DJ Euro Stoxx 50

28.09.2012 EUR B 100.00 200,000.00 20,000,000.00 0.00

Total: 20,000,000.00 GENERALI INVESTMENTS SICAV - GaranT 3 The sub-fund has entered into the following Index put option:


CCY Buyer/ Seller

Notional Premium Unrealised appreciation/ (depreciation) (EUR)


30.09.2013 EUR B 5,000,000.00 0.38% of the Notional amount payable

quarterly

0.00

GENERALI INVESTMENTS SICAV - GaranT 4 The sub-fund has entered into the following Index put option:


CCY Buyer/ Seller




quarterly

0.00

GENERALI INVESTMENTS SICAV - GaranT 5 The sub-fund has entered into the following Index put option:


CCY Buyer/ Seller




quarterly

0.00

12. Investments in related parties During the year, some sub-funds of GENERALI INVESTMENTS SICAV have invested one part of their assets into other UCITS of Generali Group. When the SICAV invests in the units of other UCITS and/or other UCIS that are managed, directly or by delegation, by the same Management Company or by any other company to which the Management Company is linked by common management or control or by way of a direct or indirect stake of more than 10% of the capital or votes, that Management Company or other company may not charge any management fee nor any subscription or redemption fees on account of the SICAV’s investment in the units of other UCITS and/or other UCIS.


129

13. Securities lending The Fund may lend portions of its securities portfolio to third parties. In general, lendings may only be effected via recognised clearing houses, or through the intermediary of prime financial institutions that specialise in such activities and in the modus specified by them. The income earned from the securities lending program is detailed in the Statements of Operations and Changes in Net Assets.

GENERALI INVESTMENTS SICAV

Market value of securities lent in EUR

Currency Collateral cash value in EUR

Euro Equities Opportunity 13,207,333.11 EUR 13,867,699.76

High Conviction Europe 7,070,988.00 EUR 7,424,537.40

Global Multi Utilities 11,765,443.80 EUR 12,353,715.99

European Value Equities 1,933,631.00 EUR 2,030,312.55

Capital Markets Strategies 16,523,846.50 EUR 17,350,038.83

Small & Mid Cap Euro Equities 7,159,862.50 EUR 7,517,855.63

14. Changes in portfolio composition The details of the changes in portfolio composition for the year ended December 31, 2010 are at the disposal of the shareholders at the registered office of the SICAV and are available upon request free of charge.

15. Dividend distribution During the Annual General Meeting of Shareholders on April 27, 2010, it has been decided to pay dividends with an ex-dividend date on May 4, 2010 and a payment date on May 7, 2010. The amounts paid were as follow:

GENERALI INVESTMENTS SICAV Currency Unitary dividend

Class

Euro Corporate Bonds EUR 0.89 A

Euro Corporate Bonds EUR 0.88 C

Euro Convertible Bonds EUR 0.33 A

Absolute Return Multi Strategies EUR 0.13 A In its Circular Resolution dated October 12, 2010, the Board of Directors has decided to pay interim dividends. The ex-dividend date was October 20, 2010 and the payment date was October 25, 2010. The amounts were as follows:


Class

High Conviction Europe EUR 1.50 A

High Conviction Europe EUR 0.47 E

Central and Eastern European Equities EUR 5.43 A

Global Multi Utilities EUR 3.52 A

Capital Markets Strategies EUR 1.97 A

Small & Mid Cap Euro Equities EUR 1.51 A

Futur EUR 1.26 A

Euro Bonds EUR 2.61 A

Euro Bonds 1/3 Years EUR 2.11 A

Euro Bonds 1/3 Years EUR 0.85 D

Euro Bonds 3/5 Years EUR 2.24 A

Central and Eastern European Bonds EUR 3.69 A

Central and Eastern European Bonds EUR 0.74 D

Euro Corporate Bonds EUR 3.81 A

Euro Corporate Bonds EUR 3.18 C

Euro Corporate Bonds EUR 1.54 D


130


Class

Short Term Euro Corporate Bonds EUR 1.18 D

European High Yield Bonds EUR 6.18 A

European High Yield Bonds EUR 1.14 D

Euro Convertible Bonds EUR 2.06 A

Euro Inflation Linked Bonds EUR 1.27 A

Euro Inflation Linked Bonds EUR 0.46 D

Absolute Return Multi Strategies EUR 1.71 A

Absolute Return Credit Strategies EUR 0.93 A

16. Guarantee GENERALI INVESTMENTS SICAV - GaranT 1 The sub-fund has entered into a derivative contract (“Guarantee Contract” - Asset Allocation Guarantee Swap) with a third party bank not connected with Generali group (the "Guarantor"). The Guarantor for the first 5 Year Investment Term is Commerzbank AG, Frankfurt am Main. Within the Guarantee Contract the Guarantor guarantees a balance payment to the sub-fund to ensure that at the end of each 5 Year Investment Term the value of a Share in the sub-fund is not below the guaranteed amount. GENERALI INVESTMENTS SICAV - GaranT 2 The sub-fund has entered into a derivative contract (“Guarantee Contract” - Index put option) with a third party bank not connected with Generali group (the "Guarantor"). The Guarantor for the first 5 Year Investment Term is Banca IMI S.p.A.. Within the Guarantee Contract the Guarantor guarantees a balance payment to the sub-fund to ensure that at the end of each 5 Year Investment Term the value of a Share in the sub-fund is not below the guaranteed amount. GENERALI INVESTMENTS SICAV - GaranT 3 Investments in the sub-fund are guaranteed by Generali Fund Management S.A. acting as guarantor (the “Guarantor”) for the first 5 Year Investment Term. The Guarantor guarantees a balance payment to the sub-fund to ensure that at the end of each 5 Year Investment Term the value of a Share in the sub-fund is not below the guaranteed amount. GENERALI INVESTMENTS SICAV - GaranT 4 Investments in the sub-fund are guaranteed by Generali Fund Management S.A. acting as guarantor (the “Guarantor”) for the first 5 Year Investment Term. The Guarantor guarantees a balance payment to the sub-fund to ensure that at the end of each 5 Year Investment Term the value of a Share in the sub-fund is not below the guaranteed amount. GENERALI INVESTMENTS SICAV - GaranT 5 Investments in the sub-fund are guaranteed by Generali Fund Management S.A. acting as guarantor (the “Guarantor”) for the first 5 Year Investment Term. The Guarantor guarantees a balance payment to the sub-fund to ensure that at the end of each 5 Year Investment Term the value of a Share in the sub-fund is not below the guaranteed amount.

17. Liquidity issues Liquidity risk may result from an inability to sell a financial asset quickly, i.e. illiquid securities, at close to its fair value. Fair values of such illiquid securities, as disclosed in Note 2, have, in the absence of a liquid market, been determined by the Board of Directors as described in the same Note. The valuation methods may include the use of mathematical models or other alternative valuation methods. The liquidity risk increases as the percentage of Net Assets invested in illiquid assets increases. The following criteria are used by the Board of Directors to determine whether assets held are considered as liquid or not: Illiquid bonds are the ones that don’t satisfy the following criteria which applied for liquid bonds: 1/ Sovereign or Government Bonds 2/ If CBBT or BGN price are available 3/ If BVAL score is available and BVAL score >= 7 4/ If BVAL score is not available, and if there are at least 2 reliable price providers (i.e. a trend exists, and the prices are regularly updated)


131

At year-end, percentage of Net Assets of the sub-fund in illiquid securities as assessed by the Board of Directors, and for the sub-fund where the percentage exceeds 10% of the NAV, was as follows: Name of sub-fund % of net assets invested in

illiquid securities GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies 44.90% Notwithstanding that any redemption request has been fully met throughout 2010, nevertheless - to reduce any theoretical liquidity risk, the Board of Directors has resolved, for the sub-fund GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies, effective December 11, 2008, to discontinue the issue of the shares and to decide on appropriate action to be taken in case more than 5 percent of the outstanding shares are tendered for redemption. Following the Note to the Board of Directors dated March 4, 2010, the Board of Directors decided the “fair valuation” of the security DUNCANNON CRE CDO 1 PLC B FL.R 07-47 20/06Q, included in the portfolio of the sub-fund GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies, will be determined on each Valuation Day by themselves following a specific pricing procedure. Following the Note to the Board of Directors dated March 4, 2010, the Board of Directors decided the “fair valuation” of the security CURZON FUND LTD B FL.R 07-40 30/01Q, included in the portfolio of the sub-fund GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies, will be determined on a monthly basis by themselves following a specific pricing procedure. Following the Circular Resolution dated November 17, 2009, the Board of Directors decided the “fair valuation” of the security DIAMOND FIN.PLC (PK) FL.R 07-14 14/05S, included in the portfolio of the sub-fund GENERALI INVESTMENTS SICAV - European High Yield Bonds, will be determined on each Valuation Day by themselves following a specific pricing procedure. Following the Note to the Board of Directors dated November 18, 2010, the Board of Directors decided the “fair valuation” of the security ECOLUTIONS GMBH & CO KGAA, included in the portfolio of the sub-fund GENERALI INVESTMENTS SICAV - Capital Markets Strategies, will be determined following a specific pricing procedure.


132

Additional Information

1. Fund Total Expense Ratio as at December 31, 2010

Class A Class B Class C Class D Class E GENERALI INVESTMENTS

SICAV Cap Dis Cap Cap Dis Cap Dis Cap Dis

Euro Equities Opportunity 0.48% n/a 0.78% 0.99% - 1.88% - 2.39% -

High Conviction Europe 0.68% 0.68% 0.99% 1.19% - 2.03% - 2.53% 2.53%

Central and Eastern European Equities 0.70% 0.70% 1.00% 1.20% - 2.09% - 2.58% -

Italian Equities 0.49% - 0.83% - - 1.93% - 2.34% -

German Equities - - 0.79% - - 1.86% - 2.34% -

Global Multi Utilities - 0.49% - 1.00% - 1.92% - 2.38% -

European Value Equities 0.47% - - - - 1.78% - 2.26% -

Capital Markets Strategies 0.58% 0.58% 1.02% 1.19% - 2.02% - 2.46% -

Small & Mid Cap Euro Equities - 0.68% n/a 1.17% - 2.02% - 2.51% -


- 0.48% - 1.18% - 1.80% - 2.29% -

Futur - 0.58% 0.98% 1.14% - 2.22% - 2.42% -

Euro Bonds 0.38% 0.38% 0.61% 0.79% - 1.33% 1.36%* 1.54% -

Euro Bonds 1/3 Years 0.28% 0.28% 0.39% - - 0.77% 0.86%* 0.98% -

Euro Bonds 3/5 Years 0.28% 0.28% 0.38% - - 0.75% - 0.92% -

Euro Bonds 5/7 Years 0.32% - - - - 0.78% - 0.96% -

Euro Bonds 10+ Years 0.31% - n/a - - 0.79% - 0.92% -

US Bonds 0.39% - - - - 1.47% - 1.53% -

Central and Eastern European Bonds 0.59% 0.59% 0.70% 0.92% - 1.59% 1.67%* 1.77% -

Euro Corporate Bonds 0.38% 0.38% 0.63% 0.80% 0.80% 1.34% 1.57%* 1.57% -

Short Term Euro Corporate Bonds 0.39% - 0.61% 0.79% - 1.36% 1.36%* 1.57% -

European High Yield Bonds 0.59% 0.59% 0.66%* 0.89% - 1.56% 1.67%* 1.77% -

Euro Convertible Bonds 0.47% 0.47% 0.61% - - 1.36% - 1.58% -

Euro Inflation Linked Bonds 0.39% 0.39% 0.60% - - 0.89% 0.79%* 1.08% -

Tactical Bond Allocation - - 0.70%* - - 1.51%* - 1.63%* n/a

% performance fees - - 0.01% - - - - 0.03% -

Absolute Return Multi Strategies 0.44% 0.44% 0.69% 0.92% - 1.38% - 1.60% -

% performance fees 0.31% 0.25% - 0.49% - 0.27% - 0.26% -

Absolute Return Credit Strategies n/a 1.70% 0.69% 0.88% - 1.04% - 1.24% -

% performance fees - - - - - - - - -

Absolute Return Global Macro Strategies 0.41% n/a 0.72% 0.94% - 1.14% n/a 1.39% -

% performance fees 0.03% - - - - 0.01% - 0.01% -


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Class A Class B Class C Class D Class E

GENERALI INVESTMENTS SICAV Cap Dis Cap Cap Dis Cap Dis Cap Dis

Absolute Return Interest Rate Strategies 0.40% - 0.74% - - 1.08% - 1.34% -

% performance fees 0.19% - - - - 0.02% - 0.01% -

Euro Liquidity 0.17% - 0.29% - - 0.48% - 0.71% -

GaranT 1 - - - - - 1.74% - - -

GaranT 2 - - - - - 1.54% - - -

GaranT 3 - - - - - 1.43% - - -

GaranT 4 - - - - - 1.46% - - -

GaranT 5 - - - - - 1.55%* - - -

* Class activated during the last 12 months. Calculation on a yearly basis as an indication only. “n/a” refers to the Classes of Shares closed during the year under review and Classes of Shares which have less than two months of operation.


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2. Portfolio Turnover Ratio as at December 31, 2010 GENERALI INVESTMENTS SICAV - Euro Equities Opportunity: 2.36 GENERALI INVESTMENTS SICAV - High Conviction Europe: 3.83 GENERALI INVESTMENTS SICAV - Central and Eastern European Equities: 0.46 GENERALI INVESTMENTS SICAV - Italian Equities: 1.85 GENERALI INVESTMENTS SICAV - German Equities: 0.32 GENERALI INVESTMENTS SICAV - Global Multi Utilities: 0.23 GENERALI INVESTMENTS SICAV - European Value Equities: 4.01 GENERALI INVESTMENTS SICAV - Capital Markets Strategies: 4.72 GENERALI INVESTMENTS SICAV - Small & Mid Cap Euro Equities: 0.59 GENERALI INVESTMENTS SICAV - North American Equities Fund of Funds: 3.11 GENERALI INVESTMENTS SICAV - Futur: 0.28 GENERALI INVESTMENTS SICAV - Euro Bonds: 1.11 GENERALI INVESTMENTS SICAV - Euro Bonds 1/3 Years: 1.55 GENERALI INVESTMENTS SICAV - Euro Bonds 3/5 Years: 1.84 GENERALI INVESTMENTS SICAV - Euro Bonds 5/7 Years: 1.58 GENERALI INVESTMENTS SICAV - Euro Bonds 10+ Years: 0.72 GENERALI INVESTMENTS SICAV - US Bonds: (0.36) GENERALI INVESTMENTS SICAV - Central and Eastern European Bonds: 0.73 GENERALI INVESTMENTS SICAV - Euro Corporate Bonds: 0.22 GENERALI INVESTMENTS SICAV - Short Term Euro Corporate Bonds: 0.23 GENERALI INVESTMENTS SICAV - European High Yield Bonds: 2.10 GENERALI INVESTMENTS SICAV - Euro Convertible Bonds: 0.81 GENERALI INVESTMENTS SICAV - Euro Inflation Linked Bonds: 0.05 GENERALI INVESTMENTS SICAV - Tactical Bond Allocation: 3.46 GENERALI INVESTMENTS SICAV - Absolute Return Multi Strategies: 3.43 GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies: 0.96 GENERALI INVESTMENTS SICAV - Absolute Return Global Macro Strategies: 1.12 GENERALI INVESTMENTS SICAV - Absolute Return Interest Rate Strategies: 7.45 GENERALI INVESTMENTS SICAV - Euro Liquidity: 1.12 GENERALI INVESTMENTS SICAV - GaranT 1: (0.19) GENERALI INVESTMENTS SICAV - GaranT 2: 0.42 GENERALI INVESTMENTS SICAV - GaranT 3: 0.84 GENERALI INVESTMENTS SICAV - GaranT 4: 0.93 GENERALI INVESTMENTS SICAV - GaranT 5: 0.09


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3. The European Directive on Savings Income 2003/48 The following sub-funds fall within the application of the Savings Directive of June 3, 2003 on the taxation of savings income for the realised and distribution income for the period from January 1, 2010 to April 30, 2011 : GENERALI INVESTMENTS SICAV - Euro Bonds GENERALI INVESTMENTS SICAV - US Bonds GENERALI INVESTMENTS SICAV - Central and Eastern European Bonds GENERALI INVESTMENTS SICAV - Euro Corporate Bonds GENERALI INVESTMENTS SICAV - European High Yield Bonds GENERALI INVESTMENTS SICAV - Euro Convertible Bonds GENERALI INVESTMENTS SICAV - Euro Inflation Linked Bonds GENERALI INVESTMENTS SICAV - Absolute Return Multi Strategies GENERALI INVESTMENTS SICAV - Absolute Return Credit Strategies GENERALI INVESTMENTS SICAV - Absolute Return Global Macro Strategies GENERALI INVESTMENTS SICAV - Absolute Return Interest Rate Strategies GENERALI INVESTMENTS SICAV - Euro Liquidity GENERALI INVESTMENTS SICAV - GaranT 1 GENERALI INVESTMENTS SICAV - GaranT 2 GENERALI INVESTMENTS SICAV - GaranT 3 The following sub-fund falls within the application of the Savings Directive of June 3, 2003 on the taxation of savings income for the realised and distribution income for the period from April 19, 2010 (date of effective launch of the sub-fund) to April 30, 2011 : GENERALI INVESTMENTS SICAV - Tactical Bond Allocation The following sub-fund falls within the application of the Savings Directive of June 3, 2003 on the taxation of savings income for the realised and distribution income for the period from June 11, 2010 (date of effective launch of the sub-fund) to December 21, 2010 (date of liquidation): GENERALI INVESTMENTS SICAV - Advantage Global Multiasset The following sub-fund falls within the application of the Savings Directive of June 3, 2003 on the taxation of savings income for the realised and distribution income for the period from October 1, 2010 (date of effective launch of the sub-fund) to April 30, 2011 : GENERALI INVESTMENTS SICAV - GaranT 5 The following sub-fund falls within the application of the Savings Directive of June 3, 2003 on the taxation of savings income for distribution income for the period from January 1, 2010 to April 30, 2010 and is out of the scope of the application of the Savings Directive of June 3, 2003 on the taxation of savings income for the realised and distribution income for the period from May 1, 2010 to April 30, 2011 : GENERALI INVESTMENTS SICAV - Capital Markets Strategies The following sub-fund falls within the application of the Savings Directive of June 3, 2003 on the taxation of savings income for the realised and distribution income for the period from May 1, 2009 to April 30, 2010 and is out of the scope of the application of the Savings Directive of June 3, 2003 on the taxation of savings income for the realised and distribution income for the period from May 1, 2010 to April 30, 2011 : GENERALI INVESTMENTS SICAV - North American Equities Fund of Funds Based on the investment policy such as described in the prospectus, the Directors resolved that the sub-funds: GENERALI INVESTMENTS SICAV – Euro Bonds 1/3 Years GENERALI INVESTMENTS SICAV – Euro Bonds 3/5 Years GENERALI INVESTMENTS SICAV – Euro Bonds 5/7 Years GENERALI INVESTMENTS SICAV – Euro Bonds 10+ Years GENERALI INVESTMENTS SICAV - Short Term Euro Corporate Bonds GENERALI INVESTMENTS SICAV - GaranT 4 fall within the application of the Savings Directive of June 3, 2003 on the taxation of savings income for the realized and distribution income. This assessment will remain in force as so far as the relevant investment policy of the current Company’s prospectus will not be updated.

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