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Proc-Type: 2001,MIC-CLEAR
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<SEC-DOCUMENT>0000950137-08-012022.txt : 20080925
<SEC-HEADER>0000950137-08-012022.hdr.sgml : 20080925
<ACCEPTANCE-DATETIME>20080925164053
ACCESSION NUMBER:		0000950137-08-012022
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20080731
FILED AS OF DATE:		20080925
DATE AS OF CHANGE:		20080925
EFFECTIVENESS DATE:		20080925

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			CALAMOS GLOBAL TOTAL RETURN FUND
		CENTRAL INDEX KEY:			0001285650
		IRS NUMBER:				203377281
		FISCAL YEAR END:			1031

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21547
		FILM NUMBER:		081089074

	BUSINESS ADDRESS:	
		STREET 1:		2020 CALAMOS COURT
		STREET 2:		C/O CALAMOS ADVISORS LLC
		CITY:			NAPERVILLE
		STATE:			IL
		ZIP:			60563
		BUSINESS PHONE:		6302451046

	MAIL ADDRESS:	
		STREET 1:		2020 CALAMOS COURT
		STREET 2:		C/O CALAMOS ADVISORS LLC
		CITY:			NAPERVILLE
		STATE:			IL
		ZIP:			60563
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>c35089nvq.htm
<DESCRIPTION>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
<TEXT>
<HTML>
<HEAD>
<TITLE>nvq</TITLE>
</HEAD>
<BODY bgcolor="#FFFFFF">
<!-- PAGEBREAK -->
<DIV style="font-family: 'Times New Roman',Times,serif">


<DIV style="width: 100%; border-bottom: 2pt solid black; font-size: 1pt">&nbsp;</DIV>
<DIV style="width: 100%; border-bottom: 1pt solid black; font-size: 1pt">&nbsp;</DIV>




<DIV align="center" style="font-size: 14pt; margin-top: 12pt"><B>UNITED STATES<BR>
SECURITIES AND EXCHANGE COMMISSION</B>
</DIV>

<DIV align="center" style="font-size: 12pt"><B>Washington, D.C. 20549</B>
</DIV>

<DIV align="center" style="font-size: 18pt; margin-top: 12pt"><B>FORM N-Q</B>
</DIV>


<DIV align="center" style="font-size: 12pt; margin-top: 12pt"><B>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED<BR>
MANAGEMENT INVESTMENT COMPANIES</B>
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 12pt">INVESTMENT COMPANY ACT FILE NUMBER: &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 811-21547
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt">EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Calamos Global Total Return Fund

</DIV>
<DIV align="center">
<TABLE style="font-size: 10pt" cellspacing="0" border="0" cellpadding="0" width="100%">
<!-- Begin Table Head -->
<TR valign="bottom">
    <TD width="38%">&nbsp;</TD>
    <TD width="5%">&nbsp;</TD>
    <TD width="55%">&nbsp;</TD>
</TR>
<!-- End Table Head -->
<!-- Begin Table Body -->
<TR valign="bottom">
    <TD nowrap><DIV style="margin-left:15px; text-indent:-15px" >ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">2020 Calamos Court, Naperville</TD>
</TR>
<TR valign="bottom">
    <TD><DIV style="margin-left:15px; text-indent:-15px">&nbsp;</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">Illinois 60563</TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR valign="bottom">
    <TD nowrap><DIV style="margin-left:15px; text-indent:-15px">NAME AND ADDRESS OF AGENT FOR SERVICE:</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">John P. Calamos, Sr., President</TD>
</TR>
<TR valign="bottom">
    <TD><DIV style="margin-left:15px; text-indent:-15px">&nbsp;</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">Calamos Advisors LLC</TD>
</TR>
<TR valign="bottom">
    <TD><DIV style="margin-left:15px; text-indent:-15px">&nbsp;</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">2020 Calamos Court,</TD>
</TR>
<TR valign="bottom">
    <TD><DIV style="margin-left:15px; text-indent:-15px">&nbsp;</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">Naperville, Illinois</TD>
</TR>
<TR valign="bottom">
    <TD><DIV style="margin-left:15px; text-indent:-15px">&nbsp;</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">60563</TD>
</TR>
<!-- End Table Body -->
</TABLE>
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 12pt">REGISTRANT&#146;S TELEPHONE NUMBER, INCLUDING AREA CODE: &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (630)&nbsp;245-7200
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt">DATE OF FISCAL YEAR END: &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; October&nbsp;31, 2008

</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">DATE OF REPORTING PERIOD:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;July&nbsp;31, 2008

</DIV>

<DIV style="width: 100%; border-bottom: 1pt solid black; margin-top: 10pt; font-size: 1pt">&nbsp;</DIV>
<DIV style="width: 100%; border-bottom: 2pt solid black; font-size: 1pt">&nbsp;</DIV>





<P align="center" style="font-size: 10pt"><!-- Folio -->&nbsp;<!-- /Folio -->
</DIV>

<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="width: 87%; margin-left: 6%"><!-- BEGIN PAGE WIDTH -->
</DIV><!-- END PAGE WIDTH -->
<DIV style="width: 92%; margin-left: 4%"><!-- BEGIN PAGE WIDTH -->

<DIV style="margin-top: 12pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 22pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <FONT style="font-family: 'Times New Roman', Times">Global Total
    Return Fund
    </FONT>
</DIV>

<DIV style="margin-top: 30pt; font-size: 1pt">&nbsp;</DIV>



<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #FFFFFF; background: #000000">

    <B><FONT style="font-family: Arial, Helvetica">&#160;<A name='101'>SCHEDULE
    OF INVESTMENTS JULY&#160;31, 2008 (UNAUDITED)</FONT></B></A>
</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <BR>
</DIV>

<DIV style="margin-top: 9pt; font-size: 1pt">&nbsp;</DIV>



<TABLE border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF"><!-- TABLE 01 -->
<!-- Table Width Row BEGIN -->
<TR style="font-size: 1pt" valign="bottom">
    <TD width="10%" align="right">&nbsp;</TD>	<!-- colindex=01 type=lead -->
    <TD width="1%" align="right">&nbsp;</TD>	<!-- colindex=01 type=body -->
    <TD width="10%" align="left">&nbsp;</TD>	<!-- colindex=01 type=hang1 -->
    <TD width="9%">&nbsp;</TD>	<!-- colindex=02 type=gutter -->
    <TD width="53%">&nbsp;</TD>	<!-- colindex=02 type=maindata -->
    <TD width="2%">&nbsp;</TD>	<!-- colindex=03 type=gutter -->
    <TD width="7%" align="right">&nbsp;</TD>	<!-- colindex=03 type=lead -->
    <TD width="1%" align="right">&nbsp;</TD>	<!-- colindex=03 type=body -->
    <TD width="7%" align="left">&nbsp;</TD>	<!-- colindex=03 type=hang1 -->
</TR>
<!-- Table Width Row END -->
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">PRINCIPAL<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">AMOUNT</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE</FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><FONT style="font-size: 9pt">CORPORATE BONDS
    (29.1%)</FONT></B>
</DIV>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Consumer Discretionary (10.2%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,809,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    DIRECTV Financing Company, Inc. <FONT face="symbol">m</FONT><BR>
    8.375%, 03/15/13
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    $
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,876,838
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    878,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Expedia, Inc.-<BR>
    7.456%, 08/15/18
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    851,660
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    878,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    General Motors Corp. <FONT face="symbol">m</FONT><BR>
    7.200%, 01/15/11
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    579,480
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,646,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Goodyear Tire&#160;&#038; Rubber Company
    <FONT face="symbol">m</FONT><BR>
    7.857%, 08/15/11
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,641,885
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,756,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Liberty Media Corp.-<BR>
    8.250%, 02/01/30
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,564,264
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,756,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Mandalay Resort Group <FONT face="symbol">m</FONT><BR>
    7.625%, 07/15/13
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,448,700
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,634,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    McDonald&#146;s Corp.-<BR>
    5.350%, 03/01/18
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,584,636
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,756,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Royal Caribbean Cruises, Ltd. <FONT face="symbol">m</FONT><BR>
    7.500%, 10/15/27
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,360,900
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,756,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Service Corp. International <FONT face="symbol">m</FONT><BR>
    7.500%, 04/01/27
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,444,310
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    13,352,673
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Consumer Staples (5.8%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,634,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Anheuser-Busch Companies, Inc.-<BR>
    5.000%, 03/01/19
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,288,561
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,317,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Del Monte Foods Company <FONT face="symbol">m</FONT><BR>
    8.625%, 12/15/12
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,353,218
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,634,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Diageo, PLC-<BR>
    5.500%, 09/30/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,574,393
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Pilgrim&#146;s Pride Corp. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,317,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    8.375%, 05/01/17
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,014,090
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    439,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    7.625%, 05/01/15
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    373,150
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    7,603,412
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Energy (0.6%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    658,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Petr&#243;leo Brasileiro, SA <FONT face="symbol">m</FONT><BR>
    8.375%, 12/10/18
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    768,215
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Financials (0.6%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    808,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Leucadia National Corp <FONT face="symbol">m</FONT><BR>
    8.125%, 09/15/15
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    809,010
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Health Care (1.2%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,580,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    HCA, Inc. <FONT face="symbol">m</FONT><BR>
    9.250%, 11/15/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,631,350
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Industrials (3.3%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,634,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    General Electric Company-<BR>
    5.250%, 12/06/17
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,556,487
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,580,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    H&#038;E Equipment Service, Inc. <FONT face="symbol">m</FONT><BR>
    8.375%, 07/15/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,366,700
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    $
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    360,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    SPX Corp.* <FONT face="symbol">m</FONT><BR>
    7.625%, 12/15/14
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    368,550
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    4,291,737
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Information Technology (1.9%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,371,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    SunGard Data Systems, Inc. <FONT face="symbol">m</FONT><BR>
    9.125%, 08/15/13
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,436,202
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Materials (1.4%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,756,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Mosaic Company* <FONT face="symbol">m</FONT><BR>
    7.625%, 12/01/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,852,580
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Telecommunication Services (3.4%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,493,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Citizens Communications Company <FONT face="symbol">m</FONT><BR>
    9.000%, 08/15/31
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,328,770
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,634,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Verizon Communications, Inc.-<BR>
    5.500%, 04/01/17
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,531,092
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    658,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Windstream Corp.-<BR>
    8.625%, 08/01/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    669,515
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    4,529,377
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Utilities (0.7%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    878,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    TXU Corp.* <FONT face="symbol">m</FONT><BR>
    10.250%, 11/01/15
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    882,390
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    <B>TOTAL CORPORATE BONDS<BR>
    </B>(Cost $40,728,636)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    38,156,946
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><FONT style="font-size: 9pt">CONVERTIBLE BONDS
    (19.7%)</FONT></B>
</DIV>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Consumer Discretionary (1.2%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    650,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Adidas, AG <FONT face="symbol">m</FONT><BR>
    2.500%, 10/08/18
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,583,392
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Energy (7.3%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    3,400,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Petroleum Geo-Services, ASA <FONT face="symbol">m</FONT><BR>
    2.700%, 12/03/12
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,979,250
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,700,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    SeaDrill, Ltd <FONT face="symbol">m</FONT><BR>
    3.625%, 11/08/12
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,924,228
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,700,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Subsea 7, Inc. <FONT face="symbol">m</FONT><BR>
    2.800%, 06/06/11
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,823,250
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,700,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Transocean, Inc. <FONT face="symbol">m</FONT><BR>
    1.625%, 12/15/37
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,825,375
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    9,552,103
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Financials (1.6%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,000,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Banco Espirito Santo, SA <FONT face="symbol">m</FONT><BR>
    1.250%, 02/26/11
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,055,000
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Health Care (1.5%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,800,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Teva Pharmaceutical Industries, Ltd.
    <FONT face="symbol">m</FONT><BR>
    1.750%, 02/01/26
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,991,250
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Industrials (1.3%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,175,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Quanta Services, Inc.* <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    3.750%, 04/30/26
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,759,562
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Information Technology (5.2%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Cap Gemini, SA <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,000,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    1.000%, 01/01/12
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,472,499
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,800,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    2.500%, 01/01/10
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,488,850
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    4,000,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Intel Corp. <FONT face="symbol">m</FONT><BR>
    2.950%, 12/15/35
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    3,895,000
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    6,856,349
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
</TABLE>
<DIV style="margin-top: 1pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <FONT style="font-size: 8pt">See accompanying Notes to Schedule
    of Investments
    </FONT>
</DIV>

<P align="left" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV><!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="width: 92%; margin-left: 4%"><!-- BEGIN PAGE WIDTH -->

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <FONT style="font-family: 'Times New Roman', Times">Global Total
    Return Fund<BR>
    <BR>
    <BR>
    </FONT>
</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #FFFFFF; background: #000000">

    <B><FONT style="font-family: Arial, Helvetica">&#160;SCHEDULE OF
    INVESTMENTS JULY&#160;31, 2008 (UNAUDITED)</FONT></B>
</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <BR>
</DIV>
<DIV style="margin-top: 9pt; font-size: 1pt">&nbsp;</DIV>

<TABLE border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF"><!-- TABLE 01 -->
<!-- Table Width Row BEGIN -->
<TR style="font-size: 1pt" valign="bottom">
    <TD width="10%" align="right">&nbsp;</TD>	<!-- colindex=01 type=lead -->
    <TD width="1%" align="right">&nbsp;</TD>	<!-- colindex=01 type=body -->
    <TD width="10%" align="left">&nbsp;</TD>	<!-- colindex=01 type=hang1 -->
    <TD width="9%">&nbsp;</TD>	<!-- colindex=02 type=gutter -->
    <TD width="53%">&nbsp;</TD>	<!-- colindex=02 type=maindata -->
    <TD width="2%">&nbsp;</TD>	<!-- colindex=03 type=gutter -->
    <TD width="7%" align="right">&nbsp;</TD>	<!-- colindex=03 type=lead -->
    <TD width="1%" align="right">&nbsp;</TD>	<!-- colindex=03 type=body -->
    <TD width="7%" align="left">&nbsp;</TD>	<!-- colindex=03 type=hang1 -->
</TR>
<!-- Table Width Row END -->
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">PRINCIPAL<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">AMOUNT</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE </FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Telecommunication Services (1.6%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,700,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    NII Holdings, Inc. <FONT face="symbol">m</FONT><BR>
    2.750%, 08/15/25
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    $
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,127,125
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    <B>TOTAL CONVERTIBLE BONDS<BR>
    </B>(Cost $26,096,035)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    25,924,781
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><FONT style="font-size: 9pt">SYNTHETIC CONVERTIBLE SECURITIES
    (4.7%)</FONT></B>
</DIV>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><I><FONT style="font-size: 9pt">Corporate Bonds
    (4.0%)</FONT></I></B>
</DIV>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Consumer Discretionary (1.4%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    251,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    DIRECTV Financing Company, Inc. <FONT face="symbol">m</FONT><BR>
    8.375%, 03/15/13
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    260,412
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    122,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Expedia, Inc.-<BR>
    7.456%, 08/15/18
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    118,340
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    122,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    General Motors Corp <FONT face="symbol">m</FONT><BR>
    7.200%, 01/15/11
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    80,520
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    229,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Goodyear Tire &#038; Rubber Company
    <FONT face="symbol">m</FONT><BR>
    7.857%, 08/15/11
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    228,428
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    244,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Liberty Media Corp.-<BR>
    8.250%, 02/01/30
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    217,358
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    244,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Mandalay Resort Group <FONT face="symbol">m</FONT><BR>
    7.625%, 07/15/13
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    201,300
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    366,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    McDonald&#146;s Corp.-<BR>
    5.350%, 03/01/18
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    359,141
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    244,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Royal Caribbean Cruises, Ltd. <FONT face="symbol">m</FONT><BR>
    7.500%, 10/15/27
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    189,100
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    244,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Service Corp. International <FONT face="symbol">m</FONT><BR>
    7.500%, 04/01/27
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    200,690
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,855,289
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Consumer Staples (0.8%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    366,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Anheuser-Busch Companies, Inc.-<BR>
    5.000%, 03/01/19
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    318,001
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    183,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Del Monte Foods Company <FONT face="symbol">m</FONT><BR>
    8.625%, 12/15/12
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    188,032
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    366,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Diageo, PLC-<BR>
    5.500%, 09/30/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    357,717
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Pilgrim&#146;s Pride Corp. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    183,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    8.375%, 05/01/17
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    140,910
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    61,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    7.625%, 05/01/15
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    51,850
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,056,510
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Energy (0.1%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    92,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Petr&#243;leo Brasileiro, SA <FONT face="symbol">m</FONT><BR>
    8.375%, 12/10/18
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    107,410
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Financials (0.1%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    112,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Leucadia National Corp. <FONT face="symbol">m</FONT><BR>
    8.125%, 09/15/15
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    112,140
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Health Care (0.2%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    220,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    HCA, Inc. <FONT face="symbol">m</FONT><BR>
    9.250%, 11/15/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    227,150
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Industrials (0.4%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    366,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    General Electric Company-<BR>
    5.250%, 12/06/17
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    355,229
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    220,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    H&#038;E Equipment Service, Inc. <FONT face="symbol">m</FONT><BR>
    8.375%, 07/15/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    190,300
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    50,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    SPX Corp.* <FONT face="symbol">m</FONT><BR>
    7.625%, 12/15/14
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    51,188
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    596,717
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Information Technology (0.2%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    329,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    SunGard Data Systems, Inc. <FONT face="symbol">m</FONT><BR>
    9.125%, 08/15/13
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    338,047
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Materials (0.2%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    244,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Mosaic Company* <FONT face="symbol">m</FONT><BR>
    7.625%, 12/01/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    257,420
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Telecommunication Services (0.5%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    207,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Citizens Communications Company <FONT face="symbol">m</FONT><BR>
    9.000%, 08/15/31
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    184,230
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    366,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Verizon Communications, Inc.-<BR>
    5.500%, 04/01/17
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    351,701
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    92,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Windstream Corp.-<BR>
    8.625%, 08/01/16
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    93,610
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    629,541
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Utilities (0.1%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    122,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    TXU Corp.* <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    10.250%, 11/01/15
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    122,610
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    TOTAL CORPORATE BONDS
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    5,302,834
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">NUMBER OF<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">CONTRACTS</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE</FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><I><FONT style="font-size: 9pt">Options (0.7%)</FONT></I></B>
</DIV>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Industrials (0.2%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    130
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;CHF
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    ABB, Ltd.#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 06/18/10, Strike $24.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    96,625
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    90
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Alliant Techsystems, Inc.#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 01/17/09, Strike $110.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    31,950
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    165
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Honeywell International, Inc.#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 01/17/09, Strike $55.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    43,312
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    30
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    MAN, AG#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 12/18/09, Strike $84.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    25,597
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    35
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Siemens, AG#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 12/18/09, Strike $76.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    76,160
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    273,644
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Information Technology (0.4%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    110
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Apple, Inc.#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 01/17/09, Strike $190.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    100,925
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    235
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Cisco Systems, Inc.#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 01/17/09, Strike $30.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    4,700
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    415
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    eBay, Inc.#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 01/16/10, Strike $25.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    218,913
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
</TABLE>
<DIV style="margin-top: 1pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <FONT style="font-size: 8pt">See accompanying Notes to Schedule
    of Investments
    </FONT>
</DIV>

<P align="left" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV><!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="width: 92%; margin-left: 4%"><!-- BEGIN PAGE WIDTH -->

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV>

<DIV align="right" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <FONT style="font-family: 'Times New Roman', Times">Global Total
    Return Fund<BR>
    <BR>
    <BR>
    </FONT>
</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #FFFFFF; background: #000000">

    <B><FONT style="font-family: Arial, Helvetica">&#160;SCHEDULE OF
    INVESTMENTS JULY&#160;31, 2008 (UNAUDITED)</FONT></B>
</DIV>

<DIV align="right" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <BR>
</DIV>
<DIV style="margin-top: 9pt; font-size: 1pt">&nbsp;</DIV>

<TABLE border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF"><!-- TABLE 01 -->
<!-- Table Width Row BEGIN -->
<TR style="font-size: 1pt" valign="bottom">
    <TD width="10%" align="right">&nbsp;</TD>	<!-- colindex=01 type=lead -->
    <TD width="1%" align="right">&nbsp;</TD>	<!-- colindex=01 type=body -->
    <TD width="10%" align="left">&nbsp;</TD>	<!-- colindex=01 type=hang1 -->
    <TD width="9%">&nbsp;</TD>	<!-- colindex=02 type=gutter -->
    <TD width="53%">&nbsp;</TD>	<!-- colindex=02 type=maindata -->
    <TD width="2%">&nbsp;</TD>	<!-- colindex=03 type=gutter -->
    <TD width="7%" align="right">&nbsp;</TD>	<!-- colindex=03 type=lead -->
    <TD width="1%" align="right">&nbsp;</TD>	<!-- colindex=03 type=body -->
    <TD width="7%" align="left">&nbsp;</TD>	<!-- colindex=03 type=hang1 -->
</TR>
<!-- Table Width Row END -->
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">NUMBER OF<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">CONTRACTS
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE </FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    40
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Google, Inc.#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 01/17/09, Strike $710.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    $
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    11,000
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    130
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    QUALCOMM, Inc.#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 01/16/10, Strike $45.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    200,525
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    536,063
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Materials (0.1%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    130
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;CAD
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Teck Cominco, Ltd.#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 01/16/10, Strike $46.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    126,007
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    TOTAL OPTIONS
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    935,714
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    <B>TOTAL SYNTHETIC CONVERTIBLE SECURITIES<BR>
    </B>(Cost $7,952,851)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    6,238,548
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">NUMBER OF<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">SHARES</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE</FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><FONT style="font-size: 9pt">CONVERTIBLE PREFERRED STOCKS
    (13.3%)</FONT></B>
</DIV>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Consumer Staples (0.6%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    20,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Archer Daniels Midland Company <FONT face="symbol">m</FONT><BR>
    6.250%
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    780,000
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Financials (5.2%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    14,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    American International Group, Inc.
    <FONT face="symbol">m</FONT><BR>
    8.500%
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    805,280
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,700
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Bank of America Corp. <FONT face="symbol">m</FONT><BR>
    7.250%
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,519,100
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    60,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Citigroup, Inc. <FONT face="symbol">m</FONT><BR>
    6.500%
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,647,500
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    SLM Corp. <FONT face="symbol">m</FONT><BR>
    7.250%
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    887,375
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    6,859,255
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Health Care (2.7%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    30
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Bayer, AG@
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    6.625%
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    3,494,456
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Materials (4.8%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    47,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Cia Vale do Rio Doce <FONT face="symbol">m</FONT><BR>
    5.500%
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,720,125
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    450
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;CHF
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Givaudan, SA <FONT face="symbol">m</FONT><BR>
    5.375%
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    3,562,498
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    6,282,623
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    <B>TOTAL CONVERTIBLE PREFERRED STOCKS<BR>
    </B>(Cost $19,920,558)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    17,416,334
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">NUMBER OF<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">UNITS</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE</FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><FONT style="font-size: 9pt">STRUCTURED EQUITY-LINKED
    SECURITIES (1.4%)</FONT></B>
</DIV>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Energy (0.6%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    15,300
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Bank of America Corp. (Noble Corp.)*
    <FONT face="symbol">m</FONT><BR>
    12.000% 12/26/08
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    833,391
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Information Technology (0.8%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    20,500
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Credit Suisse Group (QUALCOMM, Inc.)*
    <FONT face="symbol">m</FONT><BR>
    12.000% 12/24/08
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,068,665
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    <B>TOTAL STRUCTURED EQUITY-LINKED SECURITIES<BR>
    </B>(Cost $1,963,509)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,902,056
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">NUMBER OF<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">SHARES</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE</FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><FONT style="font-size: 9pt">COMMON STOCKS (65.9%)</FONT></B>
</DIV>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Consumer Discretionary (0.9%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    20,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Nike, Inc. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,173,600
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Consumer Staples (6.9%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    100,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;GBP
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    British American Tobacco, PLC <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    3,608,745
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    24,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    <FONT style="white-space: nowrap">Coca-Cola</FONT>
    Company <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,236,000
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    18,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    InBev, NV <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,206,420
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    70,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;CHF
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Nestle Holdings, Inc. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    3,070,547
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    9,121,712
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Energy (4.8%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    250,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;GBP
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    BP, PLC <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,565,857
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    16,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;CAD
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Canadian Natural Resources, Ltd. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,250,217
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    30,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Chevron Corp. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,536,800
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    6,352,874
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Financials (13.7%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    105,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;AUD
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Australian Stock Exchange, Ltd. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    3,386,415
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    96,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    EFG Eurobank Ergasias <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,381,653
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    40,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    JPMorgan Chase&#160;&#038; Company <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,625,200
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    135,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;AUD
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    QBE Insurance Group, Ltd. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,849,835
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    140,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;GBP
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Schroders, PLC <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,653,835
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    625,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;SGD
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Singapore Exchange, Ltd. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    3,071,967
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    65,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;GBP
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Standard Chartered, PLC <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,978,996
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    17,947,901
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Health Care (12.5%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    29,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Alcon, Inc. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    5,000,470
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    63,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;AUD
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    CSL, Ltd. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,037,012
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    37,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Johnson&#160;&#038; Johnson <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,533,390
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    60,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Merck&#160;&#038; Company, Inc. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,974,000
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    38,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;DKK
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Novo Nordisk, AS - B Shares <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,409,416
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    72,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Pfizer, Inc. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,344,240
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    6,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;CHF
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Roche Holding, AG <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,108,571
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    16,407,099
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Industrials (5.3%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    41,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;CHF
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    ABB, Ltd.# <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,074,879
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    215,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;GBP
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    BAE Systems, PLC <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,907,817
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    80,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;JPY
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Komatsu, Ltd. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,986,739
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    16,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Siemens, AG <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,955,094
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    6,924,529
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
</TABLE>
<DIV style="margin-top: 1pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <FONT style="font-size: 8pt">See accompanying Notes to Schedule
    of Investments
    </FONT>
</DIV>

<P align="left" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV><!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="width: 92%; margin-left: 4%"><!-- BEGIN PAGE WIDTH -->

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <FONT style="font-family: 'Times New Roman', Times">Global Total
    Return Fund<BR>
    <BR>
    <BR>
    </FONT>
</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #FFFFFF; background: #000000">

    <B><FONT style="font-family: Arial, Helvetica">&#160;SCHEDULE OF
    INVESTMENTS JULY&#160;31, 2008 (UNAUDITED)</FONT></B>
</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <BR>
</DIV>
<DIV style="margin-top: 9pt; font-size: 1pt">&nbsp;</DIV>

<TABLE border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF"><!-- TABLE 01 -->
<!-- Table Width Row BEGIN -->
<TR style="font-size: 1pt" valign="bottom">
    <TD width="10%" align="right">&nbsp;</TD>	<!-- colindex=01 type=lead -->
    <TD width="1%" align="right">&nbsp;</TD>	<!-- colindex=01 type=body -->
    <TD width="10%" align="left">&nbsp;</TD>	<!-- colindex=01 type=hang1 -->
    <TD width="9%">&nbsp;</TD>	<!-- colindex=02 type=gutter -->
    <TD width="53%">&nbsp;</TD>	<!-- colindex=02 type=maindata -->
    <TD width="2%">&nbsp;</TD>	<!-- colindex=03 type=gutter -->
    <TD width="7%" align="right">&nbsp;</TD>	<!-- colindex=03 type=lead -->
    <TD width="1%" align="right">&nbsp;</TD>	<!-- colindex=03 type=body -->
    <TD width="7%" align="left">&nbsp;</TD>	<!-- colindex=03 type=hang1 -->
</TR>
<!-- Table Width Row END -->
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">NUMBER OF<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">SHARES </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE </FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Information Technology (20.3%)</I></B>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    80,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;GBP
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Autonomy Corp. PLC <FONT face="symbol">m</FONT>#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    $
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,685,492
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    37,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;JPY
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Canon, Inc. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,691,094
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    130,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Dell, Inc.# <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    3,194,100
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    90,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Infosys Technologies, Ltd. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    3,545,100
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    34,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Microsoft Corp. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    874,480
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    15,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;JPY
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Nintendo Company, Ltd. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    7,277,789
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    175,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Nokia Corp. <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    4,776,180
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    37,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;EUR
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    SAP, AG <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,142,418
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    240,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
    &#160;HKD
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Vtech Holdings <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,457,375
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    26,644,028
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Telecommunication Services (1.5%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    38,000
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    America Movil, SA de CV <FONT face="symbol">m
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,918,620
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    <B>TOTAL COMMON STOCKS<BR>
    </B>(Cost $77,279,086)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    86,490,363
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">NUMBER OF<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">CONTRACTS</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE</FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><FONT style="font-size: 9pt">PUT OPTIONS (3.8%)</FONT></B>
</DIV>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Financials (3.8%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    SPDR Trust&#160;Series&#160;1#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    3,750
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Put, 08/16/08, Strike $133.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2,409,375
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,615
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Put, 08/16/08, Strike $132.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,444,787
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,600
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Put, 12/20/08, Strike $128.50
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1,200,000
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    <B>TOTAL PUT OPTIONS<BR>
    </B>(Cost $2,763,187)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    5,054,162
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">NUMBER OF<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">SHARES</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE</FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><FONT style="font-size: 9pt">INVESTMENT IN AFFILIATED FUND
    (6.8%)</FONT></B>
</DIV>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    8,879,822
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Calamos Government Money Market Fund&#160;-<BR>
    Class I Shares! <FONT face="symbol">&#87;</FONT><BR>
    (Cost $8,879,822)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    8,879,822
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="5" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: 0pt; margin-left: 12pt">
    <B>TOTAL INVESTMENTS (144.7%)<BR>
    </B>(Cost $185,583,684)
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    190,063,012
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD colspan="5">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD colspan="5" valign="top" style="font-family: Arial, Helvetica">
    LIABILITIES, LESS OTHER ASSETS (-44.7%)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (58,722,915
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD colspan="5">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="5" valign="top" style="font-family: Arial, Helvetica">
    <B><FONT style="font-size: 9pt">NET ASSETS APPLICABLE TO COMMON
    SHAREHOLDERS (100.0%)</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    $
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    131,340,097
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD colspan="5">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">NUMBER OF<BR>
    </FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
&nbsp;
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">CONTRACTS</FONT></B>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="3" nowrap align="center" valign="bottom">
    <B><FONT style="font-family: Arial, Helvetica">VALUE</FONT></B>
</TD>
</TR>
<TR style="font-size: 1pt" valign="bottom" align="center">
<TD colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
&nbsp;
</TD>
</TR>
<TR style="line-height: 4pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD colspan="9" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B><FONT style="font-size: 9pt">WRITTEN OPTIONS
    (-0.5%)</FONT></B>
</DIV>
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD colspan="5" valign="bottom" style="font-family: Arial, Helvetica">
    <B><I>Financials (-0.5%)</I></B>
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    iShares MSCI EAFE Index Fund#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    2,560
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 12/20/08, Strike $74.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (217,600
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,850
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 09/20/08, Strike $72.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (37,000
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    1,050
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 12/20/08, Strike $69.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (259,875
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    490
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 12/20/08, Strike $73.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (52,675
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    SPDR Trust&#160;Series&#160;1#
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    575
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 09/20/08, Strike $142.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (6,900
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    235
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 09/20/08, Strike $135.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (21,855
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    180
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 12/20/08, Strike $140.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (30,600
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    180
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 12/20/08, Strike $136.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (51,120
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
    125
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Call, 09/20/08, Strike $140.00
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (2,750
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (680,375
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    <B>TOTAL WRITTEN OPTIONS<BR>
    </B>(Premium $1,836,933)
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    (680,375
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    )
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 3px double #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
</TABLE>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <B><FONT style="font-family: Arial, Helvetica">NOTES TO SCHEDULE
    OF INVESTMENTS</FONT></B>
</DIV>



<TABLE width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF"><!-- TABLE 06 -->

<TR>
    <TD width="2%"></TD>
    <TD width="1%"></TD>
    <TD width="97%"></TD>
</TR>

<TR>
    <TD valign="top">
    <FONT style="font-size: 8pt">*
    </FONT></TD>
    <TD></TD>
    <TD valign="top">
    <FONT style="font-size: 8pt">Securities issued and sold pursuant
    to a Rule&#160;144A transaction are excepted from the
    registration requirement of the Securities Act of 1933, as
    amended. These securities may only be sold to qualified
    institutional buyers (&#147;QIBs&#148;), such as the fund. Any
    resale of these securities must generally be effected through a
    sale that is registered under the Act or otherwise exempted or
    excepted from such registration requirements. At July&#160;31,
    2008, the value of 144A securities that could not be exchanged
    to the registered form is $5,436,794 or 4.1% of net assets
    applicable to common shareholders.
    </FONT></TD>
</TR>




<TR>
    <TD valign="top">
    <FONT style="font-size: 8pt">#
    </FONT></TD>
    <TD></TD>
    <TD valign="top">
    <FONT style="font-size: 8pt">Non-income producing security.
    </FONT></TD>
</TR>




<TR>
    <TD valign="top">
    <FONT style="font-size: 8pt"><FONT>&#126;</FONT>
    </FONT></TD>
    <TD></TD>
    <TD valign="top">
    <FONT style="font-size: 8pt">Security, or portion of security,
    is held in a segregated account as collateral for written
    options aggregating a total value of $17,791,705.
    </FONT></TD>
</TR>




<TR>
    <TD valign="top">
    <FONT style="font-size: 8pt"><FONT face="symbol">m</FONT>
    </FONT></TD>
    <TD></TD>
    <TD valign="top">
    <FONT style="font-size: 8pt">Security, or portion of security,
    is held in a segregated account as collateral for a margin loan
    aggregating a total value of $154,652,699.
    </FONT></TD>
</TR>




<TR>
    <TD valign="top">
    <FONT style="font-size: 8pt"><FONT face="symbol">&#87;</FONT>
    </FONT></TD>
    <TD></TD>
    <TD valign="top">
    <FONT style="font-size: 8pt">Investment in an affiliated fund.
    During the period from November&#160;1, 2007, through
    July&#160;31, 2008, the fund had net purchases of $6,927,363 and
    received $87,591 in dividend payments from the affiliated fund.
    As of October&#160;31, 2007, the fund had holdings of $1,952,459
    of the affiliated fund.
    </FONT></TD>
</TR>

</TABLE>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <B><FONT style="font-family: Arial, Helvetica">FOREIGN CURRENCY
    ABBREVIATIONS</FONT></B>
</DIV>

<TABLE border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF"><!-- TABLE 01 -->
<!-- Table Width Row BEGIN -->
<TR style="font-size: 1pt" valign="bottom">
    <TD width="7%">&nbsp;</TD>	<!-- colindex=01 type=maindata -->
    <TD width="4%">&nbsp;</TD>	<!-- colindex=02 type=gutter -->
    <TD width="89%">&nbsp;</TD>	<!-- colindex=02 type=maindata -->
</TR>
<!-- Table Width Row END -->
<TR valign="bottom">
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B>AUD</B>
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Australian Dollar
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B>CAD</B>
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Canadian Dollar
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B>CHF</B>
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Swiss Franc
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B>DKK</B>
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Danish Krone
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B>EUR</B>
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    European Monetary Unit
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B>GBP</B>
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    British Pound Sterling
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B>HKD</B>
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Hong Kong Dollar
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B>JPY</B>
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Japanese Yen
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="top" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -8pt; margin-left: 8pt">
    <B>SGD</B>
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD align="left" valign="bottom" style="font-family: Arial, Helvetica">
    Singapore Dollar
</TD>
</TR>
</TABLE>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <I>Note: Value for securities denominated in foreign currencies
    is shown in U.S.&#160;dollars. The principal amount for such
    securities is shown in the respective foreign currency. The date
    shown on options represents the expiration date of the option
    contract. The option contract may be exercised at any date on or
    before the date shown.</I>
</DIV>
<DIV style="margin-top: 1pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <FONT style="font-size: 8pt">See accompanying Notes to Schedule
    of Investments
    </FONT>
</DIV>

<P align="left" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV><!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="width: 92%; margin-left: 4%"><!-- BEGIN PAGE WIDTH -->
</DIV><!-- END PAGE WIDTH -->
<DIV style="width: 87%; margin-left: 6%"><!-- BEGIN PAGE WIDTH -->

<DIV style="margin-top: 12pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="right" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <FONT style="font-family: 'Times New Roman', Times">Global Total
    Return Fund
    </FONT>
</DIV>

<DIV style="margin-top: 38pt; font-size: 1pt">&nbsp;</DIV>

<TABLE border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<!-- Table Width Row BEGIN -->
<TR style="font-size: 1pt" valign="bottom">
    <TD width="85%">&nbsp;</TD>	<!-- colindex=01 type=maindata -->
    <TD width="1%">&nbsp;</TD>	<!-- colindex=02 type=gutter -->
    <TD width="14%">&nbsp;</TD>	<!-- colindex=02 type=maindata -->
</TR>
<!-- Table Width Row END -->
<TR style="font-size: 11pt" valign="bottom" align="center">
<TD colspan="3" align="left" valign="bottom">
    <B><FONT style="font-size: 12pt; font-family: Arial, Helvetica">COUNTRY
    ALLOCATION AS OF JULY&#160;31, 2008</FONT></B>
</TD>
</TR>
<TR style="font-size: 8pt" valign="bottom" align="center">
<TD nowrap align="left" valign="bottom">
    <FONT style="font-size: 11pt; font-family: Arial, Helvetica">Country
    </FONT>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="center" valign="bottom">
    <FONT style="font-size: 11pt; font-family: Arial, Helvetica">%
    of Portfolio&#160;&#160;
    </FONT>
</TD>
</TR>
<TR style="line-height: 7pt; font-size: 1pt">
<TD>&nbsp;
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    United States
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    42.0%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    United Kingdom
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    9.6%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Switzerland
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    8.3%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Japan
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    6.1%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Germany
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    5.1%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Australia
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    4.6%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Finland
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2.6%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Bermuda
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2.4%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Cayman Islands
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2.0%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Brazil
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2.0%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    India
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    2.0%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Singapore
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1.7%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Norway
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1.7%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    France
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1.6%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Denmark
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1.3%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Greece
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1.3%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Portugal
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1.1%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Israel
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1.1%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Mexico
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    1.1%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Liberia
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    0.9%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Canada
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    0.8%
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Belgium
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    0.7%
</TD>
</TR>
<TR valign="bottom" style="font-size: 2pt">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    <DIV style="font-size: 3pt; margin-left: 0%; width: 100%; border-bottom: 1pt solid #000000"></DIV><!-- callerid=208 iwidth=74 length=-33 -->
</TD>
</TR>
<TR valign="bottom" style="line-height: 7pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Total:
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    100.0%
</TD>
</TR>
<TR valign="bottom" style="font-size: 2pt">
<TD nowrap align="left" valign="bottom" style="font-family: Arial, Helvetica">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom" style="font-family: Arial, Helvetica">
    <DIV style="font-size: 3pt; margin-left: 0%; width: 100%; border-bottom: 1pt solid #000000"></DIV><!-- callerid=208 iwidth=74 length=-33 --><DIV style="font-size: 4pt; margin-left: 0%; width: 100%; border-bottom: 1pt solid #000000"></DIV><!-- callerid=208 iwidth=74 length=-33 -->
</TD>
</TR>
</TABLE>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV>

<P align="left" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV><!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="width: 87%; margin-left: 6%"><!-- BEGIN PAGE WIDTH -->

<DIV style="margin-top: 12pt; font-size: 1pt">&nbsp;</DIV>

<TABLE width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

<TR>
    <TD width="9%"></TD>
    <TD width="91%"></TD>
</TR>

<TR valign="top">
    <TD>
    <B><FONT style="font-family: Arial, Helvetica">NOTE&#160;1&#160;&#150;
    </FONT></B>
</TD>
    <TD>
    <B><FONT style="font-family: Arial, Helvetica">ORGANIZATION AND
    SIGNIFICANT ACCOUNTING POLICIES</FONT></B>
</TD>
</TR>

</TABLE>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <B>Organization.</B> CALAMOS Global Total Return (the
    &#147;Fund&#148;) was organized as a Delaware statutory trust on
    March&#160;30, 2004 and is registered under the Investment
    Company Act of 1940 (the &#147;1940 Act&#148;) as a diversified,
    closed-end management investment company. The Fund commenced
    operations on October&#160;27, 2005.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    The Fund&#146;s investment objective is to provide total return
    through a combination of capital appreciation and current income.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <B>Portfolio Valuation.</B> The valuation of the Fund&#146;s
    portfolio securities is in accordance with policies and
    procedures adopted by and under the ultimate supervision of the
    board of trustees.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    Portfolio securities that are traded on U.S.&#160;securities
    exchanges, except option securities, are valued at the last
    current reported sales price at the time the Fund determines its
    net asset value (&#147;NAV&#148;). Securities traded in the
    over-the-counter market and quoted on The NASDAQ Stock Market
    are valued at the NASDAQ Official Closing Price, as determined
    by NASDAQ, or lacking a NASDAQ Official Closing Price, the last
    current reported sale price on NASDAQ at the time the Fund
    determines its NAV.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    When a most recent last sale or closing price is not available,
    portfolio securities, other than option securities, that are
    traded on a U.S.&#160;securities exchange and other securities
    traded in the over-the-counter market are valued at the mean
    between the most recent bid and asked quotations in accordance
    with guidelines adopted by the board of trustees. Each option
    security traded on a U.S.&#160;securities exchange is valued at
    the mid-point of the consolidated bid/ask quote for the option
    security, also in accordance with guidelines adopted by the
    board of trustees. Each over-the-counter option that is not
    traded through the Options Clearing Corporation is valued based
    on a quotation provided by the counterparty to such option under
    the ultimate supervision of the board of trustees.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    Trading on European and Far Eastern exchanges and
    over-the-counter markets is typically completed at various times
    before the close of business on each day on which the New York
    Stock Exchange (&#147;NYSE&#148;) is open. Each security trading
    on these exchanges or over-the-counter markets may be valued
    utilizing a systematic fair valuation model provided by an
    independent pricing service approved by the board of trustees.
    The valuation of each security that meets certain criteria in
    relation to the valuation model is systematically adjusted to
    reflect the impact of movement in the U.S.&#160;market after the
    foreign markets close. Securities that do not meet the criteria,
    or that are principally traded in other foreign markets, are
    valued as of the last reported sale price at the time the Fund
    determines its NAV, or when reliable market prices or quotations
    are not readily available, at the mean between the most recent
    bid and asked quotations as of the close of the appropriate
    exchange or other designated time, in accordance with guidelines
    adopted by the board of trustees. Trading of foreign securities
    may not take place on every NYSE business day. In addition,
    trading may take place in various foreign markets on Saturdays
    or on other days when the NYSE is not open and on which the
    Fund&#146;s NAV is not calculated.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    If the pricing committee determines that the valuation of a
    security in accordance with the methods described above is not
    reflective of a fair value for such security, the security is
    valued at a fair value by the pricing committee, under the
    ultimate supervision of the board of trustees, following the
    guidelines
    <FONT style="white-space: nowrap">and/or</FONT>
    procedures adopted by the board of trustees.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    Each Fund also may use fair value pricing, pursuant to
    guidelines adopted by the board of trustees and under the
    ultimate supervision of the board of trustees, if trading in the
    security is halted or if the value of a security it holds is
    materially affected by events occurring before the Fund&#146;s
    pricing time but after the close of the primary markets or
    exchanges on which the security is listed. Those procedures may
    utilize valuations furnished by pricing services approved by the
    board of trustees, which may be based on market transactions for
    comparable securities and various relationships between
    securities that are generally recognized by institutional
    traders, a computerized matrix system, or appraisals derived
    from information concerning the securities or similar securities
    received from recognized dealers in those securities.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    When fair value pricing of securities is employed, the prices of
    securities used by the Fund to calculate its NAV may differ from
    market quotations or official closing prices. In light of the
    judgment involved in fair valuations, there can be no assurance
    that a fair value assigned to a particular security is accurate.
</DIV>

<P align="left" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV><!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="width: 87%; margin-left: 6%"><!-- BEGIN PAGE WIDTH -->

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <B>Investment Transactions.</B> Investment transactions are
    recorded on a trade date basis on July&#160;31, 2008.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <B>Foreign Currency Translation.</B> Values of investments and
    other assets and liabilities denominated in foreign currencies
    are translated into U.S.&#160;dollars using a rate quoted by a
    major bank or dealer in the particular currency market, as
    reported by a recognized quotation dissemination service.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    <B>Option Transactions.</B> For hedging and investment purposes,
    the Fund may purchase or write (sell) put and call options. One
    of the risks associated with purchasing an option, is that the
    Fund pays a premium whether or not the option is exercised.
    Additionally, the Fund bears the risk of loss of premium and
    change in value should the counterparty not perform under the
    contract. Put and call options purchased are accounted for in
    the same manner as portfolio securities. The cost of securities
    acquired through the exercise of call options is increased by
    premiums paid. The proceeds from securities sold through the
    exercise of put options are decreased by the premiums paid.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    When a Fund writes an option, an amount equal to the premium
    received by the Fund is recorded as a liability and is
    subsequently adjusted to the current value of the option
    written. Premiums received from writing options that expire
    unexercised are treated by the Fund on the expiration date as
    realized gains from written options. The difference between the
    premium and the amount paid on effecting a closing purchase
    transaction, including brokerage commissions, is also treated as
    a realized gain, or, if the premium is less than the amount paid
    for the closing purchase transaction, as a realized loss. If a
    written call option is exercised, the premium is added to the
    proceeds from the sale of the underlying security or currency in
    determining whether the Fund has realized a gain or loss. If a
    written put option is exercised, the premium reduces the cost
    basis of the securities purchased by the Fund. The Fund as
    writer of an option bears the market risk of an unfavorable
    change in the price of the security underlying the written
    option.
</DIV>

<DIV style="margin-top: 12pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <B><FONT style="font-family: Arial, Helvetica">NOTE&#160;2&#160;&#150;
    INVESTMENTS</FONT></B>
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    The following information is presented on a federal income tax
    basis as of July&#160;31, 2008. Differences between the cost
    basis under U.S.&#160;generally accepted accounting principles
    and federal income tax purposes are primarily due to timing
    differences.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    The cost basis of investments for federal income tax purposes at
    July&#160;31, 2008 was as follows:
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<TABLE border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<!-- Table Width Row BEGIN -->
<TR style="font-size: 1pt" valign="bottom">
    <TD width="86%">&nbsp;</TD>	<!-- colindex=01 type=maindata -->
    <TD width="2%">&nbsp;</TD>	<!-- colindex=02 type=gutter -->
    <TD width="1%" align="right">&nbsp;</TD>	<!-- colindex=02 type=lead -->
    <TD width="10%" align="right">&nbsp;</TD>	<!-- colindex=02 type=body -->
    <TD width="1%" align="left">&nbsp;</TD>	<!-- colindex=02 type=hang1 -->
</TR>
<!-- Table Width Row END -->
<TR valign="bottom" style="background: #CCEEFF">
<TD align="left" valign="bottom">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Cost basis of investments
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom">
    $
</TD>
<TD nowrap align="right" valign="bottom">
    185,864,469
</TD>
<TD nowrap align="left" valign="bottom">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD align="left" valign="bottom">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Gross unrealized appreciation
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom">
    17,110,590
</TD>
<TD nowrap align="left" valign="bottom">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="background: #CCEEFF">
<TD align="left" valign="bottom">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Gross unrealized depreciation
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom">
&nbsp;
</TD>
<TD nowrap align="right" valign="bottom">
    (12,912,047
</TD>
<TD nowrap align="left" valign="bottom">
    )
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
<TR valign="bottom">
<TD align="left" valign="bottom">
<DIV style="text-indent: -10pt; margin-left: 10pt">
    Net unrealized appreciation (depreciation)
</DIV>
</TD>
<TD>
&nbsp;
</TD>
<TD nowrap align="left" valign="bottom">
    $
</TD>
<TD nowrap align="right" valign="bottom">
    4,198,543
</TD>
<TD nowrap align="left" valign="bottom">
&nbsp;
</TD>
</TR>
<TR valign="bottom" style="font-size: 1pt">
<TD>
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD style="border-top: 1px solid #000000">
&nbsp;
</TD>
<TD>
&nbsp;
</TD>
</TR>
</TABLE>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV>

<DIV style="margin-top: 12pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <B><FONT style="font-family: Arial, Helvetica">NOTE&#160;3&#160;&#150;
    FORWARD FOREIGN CURRENCY CONTRACTS</FONT></B>
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    There were no open forward currency contracts at July&#160;31,
    2008.
</DIV>

<DIV style="margin-top: 12pt; font-size: 1pt">&nbsp;</DIV>

<TABLE width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

<TR>
    <TD width="9%"></TD>
    <TD width="91%"></TD>
</TR>

<TR valign="top">
    <TD>
    <B><FONT style="font-family: Arial, Helvetica">NOTE&#160;4&#160;&#150;
    </FONT></B>
</TD>
    <TD>
    <B><FONT style="font-family: Arial, Helvetica">SYNTHETIC
    CONVERTIBLE INSTRUMENTS</FONT></B>
</TD>
</TR>

</TABLE>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    The Fund may establish a &#147;synthetic&#148; convertible
    instrument by combining separate securities that possess the
    economic characteristics similar to a convertible security,
    i.e., fixed-income securities (&#147;fixed-income
    component&#148;, which may be a convertible or non-convertible
    security) and the right to acquire equity securities
    (&#147;convertible component&#148;). The fixed-income component
    is achieved by investing in fixed-income securities such as
    bonds, preferred stocks, and money market instruments. The
    convertible component is achieved by investing in warrants or
    options to buy common stock at a certain exercise price, or
    options on a stock index. In establishing a synthetic
    instrument, the Fund may pool a basket of fixed-income
    securities and a basket of warrants or options that produce the
    economic characteristics similar to a convertible security.
    Within each basket of fixed-income securities and warrants or
    options, different companies may issue the fixed-income and
    convertible components, which may be purchased separately and at
    different times.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    The Fund may also purchase synthetic securities created by other
    parties, typically investment banks, including convertible
    structured notes. Convertible structured notes are fixed-income
    debentures linked to equity. Convertible structured notes have
    the attributes of a convertible security; however, the
    investment bank that
</DIV>

<P align="left" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV><!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="width: 87%; margin-left: 6%"><!-- BEGIN PAGE WIDTH -->

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    issued the convertible note assumes the credit risk associated
    with the investment, rather than the issuer of the underlying
    common stock into which the note is convertible.
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    Purchasing synthetic convertible securities may offer more
    flexibility than purchasing a convertible security.
</DIV>

<DIV style="margin-top: 12pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <B><FONT style="font-family: Arial, Helvetica">NOTE&#160;5&#160;&#150;
    SECURITIES LENDING</FONT></B>
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    The Fund may loan one or more of its securities to
    broker-dealers and banks. Any such loan must be continuously
    secured by collateral in cash or cash equivalents maintained on
    a current basis in an amount at least equal to the market value
    of the securities loaned by the Fund. The Fund continues to
    receive the equivalent of the interest or dividends paid by the
    issuer on the securities loaned and also receives an additional
    return that may be in the form of a fixed fee or a percentage of
    the collateral. The Fund may pay reasonable fees to persons
    unaffiliated with the Fund for services in arranging these
    loans. The Fund has the right to call a loan and obtain the
    securities loaned at any time on notice of not less than five
    business days. The Fund does not have the right to vote the
    securities loaned during the existence of the loan but could
    call the loan in an attempt to permit voting of the securities
    in certain circumstances. Upon return of the securities loaned,
    the cash or cash equivalent collateral will be returned to the
    borrower. In the event of bankruptcy or other default of the
    borrower, the Fund could experience both delays in liquidating
    the loan collateral or recovering the loaned securities and
    losses, including (a)&#160;possible decline in the value of the
    collateral or in the value of the securities loaned during the
    period while the Fund seeks to enforce its rights thereto,
    (b)&#160;possible subnormal levels of income and lack of access
    to income during this period, and (c)&#160;the expenses of
    enforcing their rights. In an effort to reduce these risks, the
    Fund&#146;s securities lending agent monitors and reports to
    Calamos Advisors on the creditworthiness of the firms to which a
    Fund lends securities. At July&#160;31, 2008, the Fund had
    securities valued at $0 that were on loan to broker-dealers and
    banks and held $0 in cash or cash equivalent collateral.
</DIV>

<DIV style="margin-top: 12pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">

    <B><FONT style="font-family: Arial, Helvetica">NOTE&#160;6&#160;&#150;
    STRUCTURED EQUITY-LINKED SECURITIES</FONT></B>
</DIV>

<DIV style="margin-top: 6pt; font-size: 1pt">&nbsp;</DIV>

<DIV align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
    The Fund may also invest in structured equity-linked securities
    created by third parties, typically investment banks. Structured
    equity-linked securities created by such parties may be designed
    to simulate the characteristics of traditional convertible
    securities or may be designed to alter or emphasize a particular
    feature. Traditional convertible securities typically offer
    stable cash flows with the ability to participate in capital
    appreciation of the underlying common stock. Because traditional
    convertible securities are exercisable at the option of the
    holder, the holder is protected against downside risk.
    Structured equity-linked securities may alter these
    characteristics by offering enhanced yields in exchange for
    reduced capital appreciation or less downside protection, or any
    combination of these features. Structured equity-linked
    instruments may include structured notes, equity-linked notes,
    mandatory convertibles and combinations of securities and
    instruments, such as a debt instrument combined with a forward
    contract.
</DIV>

<P align="left" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">

</DIV><!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="font-family: 'Times New Roman',Times,serif">






<DIV align="left" style="font-size: 10pt; margin-top: 12pt"><B>ITEM 2. CONTROLS AND PROCEDURES.</B>
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">a) The registrant&#146;s principal executive officer and principal financial officer have evaluated the
registrant&#146;s disclosure controls and procedures within 90&nbsp;days of this filing and have concluded
that the registrant&#146;s disclosure controls and procedures were effective, as of that date, in
ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">b) There were no changes in the registrant&#146;s internal controls over financial reporting (as defined
in Rule&nbsp;30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant&#146;s
last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the
registrant&#146;s internal control over financial reporting.
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 12pt"><B>ITEM 3. EXHIBITS.</B>
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt">(a)&nbsp;Certification of Principal Executive Officer.

</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">(b)&nbsp;Certification of Principal Financial Officer.

</DIV>

<P align="center" style="font-size: 10pt"><!-- Folio -->&nbsp;<!-- /Folio -->
</DIV>

<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="font-family: 'Times New Roman',Times,serif">
<!-- link1 "SIGNATURES" -->

<DIV align="center" style="font-size: 10pt; margin-top: 18pt">SIGNATURES
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act
of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt">Calamos Global Total Return Fund

</DIV>
<DIV align="center">
<TABLE style="font-size: 10pt" cellspacing="0" border="0" cellpadding="0" width="100%">
<!-- Begin Table Head -->
<TR valign="bottom">
    <TD width="3%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="35%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="60%">&nbsp;</TD>
</TR>
<!-- End Table Head -->
<!-- Begin Table Body -->
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">By:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">/s/ John P. Calamos, Sr.</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Name:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top"><DIV style="font-size: 1pt; border-top: 1px solid #000000">&nbsp;</DIV>
John P. Calamos, Sr.
</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Title:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">Principal Executive Officer</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Date:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">September&nbsp;24, 2008</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<!-- End Table Body -->
</TABLE>
</DIV>

<DIV align="center">
<TABLE style="font-size: 10pt" cellspacing="0" border="0" cellpadding="0" width="100%">
<!-- Begin Table Head -->
<TR valign="bottom">
    <TD width="3%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="35%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="60%">&nbsp;</TD>
</TR>
<!-- End Table Head -->
<!-- Begin Table Body -->
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">By:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">/s/ Nimish S. Bhatt</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Name:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top"><DIV style="font-size: 1pt; border-top: 1px solid #000000">&nbsp;</DIV>
Nimish S. Bhatt
</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Title:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">Principal Financial Officer</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Date:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">September&nbsp;24, 2008</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<!-- End Table Body -->
</TABLE>
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act
of 1940, this report has been signed by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 12pt">Calamos Global Total Return Fund
</DIV>

<DIV align="center">
<TABLE style="font-size: 10pt" cellspacing="0" border="0" cellpadding="0" width="100%">
<!-- Begin Table Head -->
<TR valign="bottom">
    <TD width="3%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="35%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="60%">&nbsp;</TD>
</TR>
<!-- End Table Head -->
<!-- Begin Table Body -->
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">By:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">/s/ John P. Calamos, Sr.</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Name:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top"><DIV style="font-size: 1pt; border-top: 1px solid #000000">&nbsp;</DIV>
John P. Calamos, Sr.
</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Title:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">Principal Executive Officer</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Date:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">September&nbsp;24, 2008</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<!-- End Table Body -->
</TABLE>
</DIV>

<DIV align="center">
<TABLE style="font-size: 10pt" cellspacing="0" border="0" cellpadding="0" width="100%">
<!-- Begin Table Head -->
<TR valign="bottom">
    <TD width="3%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="35%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="60%">&nbsp;</TD>
</TR>
<!-- End Table Head -->
<!-- Begin Table Body -->
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">By:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">/s/ Nimish S. Bhatt</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Name:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top"><DIV style="font-size: 1pt; border-top: 1px solid #000000">&nbsp;</DIV>
Nimish S. Bhatt
</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Title:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">Principal Financial Officer</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<TR valign="bottom">
    <TD valign="top"><DIV style="margin-left:0px; text-indent:-0px">Date:
</DIV></TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">September&nbsp;24, 2008</TD>
    <TD>&nbsp;</TD>
    <TD align="left" valign="top">&nbsp;</TD>
</TR>
<!-- End Table Body -->
</TABLE>
</DIV>


<P align="center" style="font-size: 10pt"><!-- Folio -->&nbsp;<!-- /Folio -->
</DIV>

</BODY>
</HTML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>c35089exv99wcert.htm
<DESCRIPTION>CERTIFICATION
<TEXT>
<HTML>
<HEAD>
<TITLE>exv99wcert</TITLE>
</HEAD>
<BODY bgcolor="#FFFFFF">
<!-- PAGEBREAK -->

<DIV style="font-family: 'Times New Roman',Times,serif">

<DIV align="center" style="font-size: 10pt; margin-top: 18pt">CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">I, John P. Calamos, Sr., certify that:
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">1. I have reviewed this report on Form N-Q of Calamos Global Total Return Fund;
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or
omit to state a material fact necessary to make the statements made, in light of the circumstances
under which such statements were made, not misleading with respect to the period covered by this
report;
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">3. Based on my knowledge, the schedule of investments included in this report, fairly present in
all material respects the investments of the registrant as of the end of the fiscal quarter for
which the report is filed;
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">4. The registrant&#146;s other certifying officer and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule&nbsp;30a-3(c) under the Investment Company Act of
1940) and internal control over financial reporting (as defined in Rule&nbsp;30a-3(d) under the
Investment Company Act of 1940) for the registrant and have:
</DIV>



<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">a) Designed such disclosure controls and procedures, or caused such disclosure controls and
procedures to be designed under our supervision to ensure that material information relating to
the registrant, including its consolidated subsidiaries, is made known to us by others within
those entities, particularly during the period in which this report is being prepared;
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">b) Designed such internal control over financial reporting, or caused such internal control over
financial reporting to be designed under our supervision, to provide reasonable assurance
regarding the reliability of financial reporting and the preparation of financial statements for
external purposes in accordance with generally accepted accounting principles;
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">c) Evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and
presented in this report our conclusions about the effectiveness of the disclosure controls and
procedures, as of a date within 90&nbsp;days prior to the filing date of this report, based on such
evaluation; and
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">d) Disclosed in this report any change in the registrant&#146;s internal control over financial
reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over
financial reporting; and
</DIV>
<DIV align="left" style="font-size: 10pt; margin-top: 6pt">5. The registrant&#146;s other certifying officer and I have disclosed to the registrant&#146;s auditors and
the audit committee of the registrant&#146;s board of directors (or persons performing the equivalent
functions):
</DIV>



<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">a) All significant deficiencies and material weaknesses in the design or operation of internal
control over financial reporting which are reasonably likely to adversely affect the registrant&#146;s
ability to record, process, summarize, and report financial information; and
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">b) Any fraud, whether or not material, that involves management or other employees who have a
significant role in the registrant&#146;s internal control over financial reporting.
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 12pt">Date:&nbsp;September&nbsp;24, 2008
</DIV>


<TABLE width="100%" border="0" cellspacing="0" cellpadding="0" style="font-size: 10pt">
<TR>
    <TD width="48%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="35%">&nbsp;</TD>
    <TD width="15%">&nbsp;</TD>
</TR>
<TR>
    <TD valign="top" align="left">&nbsp;</TD>
    <TD colspan="3" align="left">&nbsp;</TD>
    <TD>&nbsp;</TD>
</TR><TR>
    <TD align="left">&nbsp;</TD>
    <TD colspan="3" style="border-bottom: 1px solid #000000" align="left">                                                   /s/ John P. Calamos, Sr.
&nbsp;</TD>
    <TD>&nbsp;</TD>
</TR><TR>
    <TD align="left">&nbsp;</TD>
    <TD colspan="3" align="left">Principal Executive Officer&nbsp;</TD>
    <TD>&nbsp;</TD>
</TR><TR>
    <TD align="left">&nbsp;</TD>
    <TD colspan="3" align="left">&nbsp;</TD>
    <TD>&nbsp;</TD>
</TR>

</TABLE>

<P align="center" style="font-size: 10pt"><!-- Folio -->&nbsp;<!-- /Folio -->
</DIV>

<!-- PAGEBREAK -->
<P><HR noshade><P>
<H5 align="left" style="page-break-before:always">&nbsp;</H5><P>

<DIV style="font-family: 'Times New Roman',Times,serif">


<TABLE width="100%" border="0" cellspacing="0" cellpadding="0" style="font-size: 10pt">
<TR>
    <TD width="48%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="35%">&nbsp;</TD>
    <TD width="15%">&nbsp;</TD>
</TR>

</TABLE>

<DIV align="center" style="font-size: 10pt; margin-top: 18pt">CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">I, Nimish S. Bhatt, certify that:
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">1. I have reviewed this report on Form N-Q of Calamos Global Total Return Fund;
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or
omit to state a material fact necessary to make the statements made, in light of the circumstances
under which such statements were made, not misleading with respect to the period covered by this
report;
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">3. Based on my knowledge, the schedule of investments included in this report, fairly present in
all material respects the investments of the registrant as of the end of the fiscal quarter for
which the report is filed;
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">4. The registrant&#146;s other certifying officer and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule&nbsp;30a-3(c) under the Investment Company Act of
1940) and internal control over financial reporting (as defined in Rule&nbsp;30a-3(d) under the
Investment Company Act of 1940) for the registrant and have:
</DIV>




<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">a) Designed such disclosure controls and procedures, or caused such disclosure controls and
procedures to be designed under our supervision to ensure that material information relating to
the registrant, including its consolidated subsidiaries, is made known to us by others within
those entities, particularly during the period in which this report is being prepared;
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">b) Designed such internal control over financial reporting, or caused such internal control over
financial reporting to be designed under our supervision, to provide reasonable assurance
regarding the reliability of financial reporting and the preparation of financial statements for
external purposes in accordance with generally accepted accounting principles;
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">c) Evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and
presented in this report our conclusions about the effectiveness of the disclosure controls and
procedures, as of a date within 90&nbsp;days prior to the filing date of this report based on such
evaluation; and
</DIV>


<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">d) Disclosed in this report any change in the registrant&#146;s internal control over financial
reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over
financial reporting; and
</DIV>
<DIV align="left" style="font-size: 10pt; margin-top: 6pt">5. The registrant&#146;s other certifying officer and I have disclosed to the registrant&#146;s auditors and
the audit committee of the registrant&#146;s board of directors (or persons performing the equivalent
functions):
</DIV>



<DIV align="left" style="font-size: 10pt; margin-top: 6pt; margin-left: 2%">a) All significant deficiencies and material weaknesses in the design or operation of internal
control over financial reporting which are reasonably likely to adversely affect the registrant&#146;s
ability to record, process, summarize, and report financial information; and
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 6pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Any fraud, whether or not material, that involves management or other employees who have a
significant role in the registrant&#146;s internal control over financial reporting.
</DIV>

<DIV align="left" style="font-size: 10pt; margin-top: 12pt">Date:&nbsp;September&nbsp;24, 2008
</DIV>

<TABLE width="100%" border="0" cellspacing="0" cellpadding="0" style="font-size: 10pt">
<TR>
    <TD width="48%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="1%">&nbsp;</TD>
    <TD width="35%">&nbsp;</TD>
    <TD width="15%">&nbsp;</TD>
</TR>
<TR>
    <TD valign="top" align="left">&nbsp;</TD>
    <TD colspan="3" align="left">&nbsp;</TD>
    <TD>&nbsp;</TD>
</TR><TR>
    <TD align="left">&nbsp;</TD>
    <TD colspan="3" style="border-bottom: 1px solid #000000" align="left">                                                   /s/ Nimish S. Bhatt
&nbsp;</TD>
    <TD>&nbsp;</TD>
</TR><TR>
    <TD align="left">&nbsp;</TD>
    <TD colspan="3" align="left">Principal Financial Officer&nbsp;</TD>
    <TD>&nbsp;</TD>
</TR><TR>
    <TD align="left">&nbsp;</TD>
    <TD colspan="3" align="left">&nbsp;</TD>
    <TD>&nbsp;</TD>
</TR>
<TR>
    <TD colspan="5">&nbsp;</TD>
</TR>
</TABLE>


<P align="center" style="font-size: 10pt"><!-- Folio -->&nbsp;<!-- /Folio -->
</DIV>



</BODY>
</HTML>
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
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