|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
Credit
Rating
|
|
|
(000s)
|
|
|
|
(Moodys/S&P)
|
|
Value*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks
0.4%
|
|
|
|
|
|
|
|
2
|
|
Fifth Third Bancorp, 8.50%, 6/30/13, Ser.
G (f)
|
|
Ba1/BB
|
|
|
$224,400
|
|
|
|
(j)
|
Wells Fargo & Co., 7.50%, 3/15/13,
Ser. L (f)
|
|
Ba1/A-
|
|
|
235,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
459,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services &
Supplies
1.2%
|
|
|
|
|
|
|
|
9
|
|
Avery Dennison Corp., 7.875%, 11/15/20
|
|
NR/BB+
|
|
|
345,510
|
|
|
29
|
|
United Rentals, Inc., 6.50%, 8/1/28
|
|
Caa2/CCC
|
|
|
937,063
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,282,573
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance
0.4%
|
|
|
|
|
|
|
|
1
|
|
SLM Corp., 7.25%, 12/15/10
|
|
Ba3/BB-
|
|
|
392,533
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services
1.9%
|
|
|
|
|
|
|
|
5
|
|
AMG Capital Trust I, 5.10%, 4/15/36
|
|
NR/BB
|
|
|
200,100
|
|
|
|
|
Bank of America Corp.,
|
|
|
|
|
|
|
|
1
|
|
7.25%, 1/30/13, Ser. L (f)
|
|
Ba3/BB
|
|
|
462,504
|
|
|
7
|
|
10.00%, 2/24/11, Ser. SLB (Schlumberger Ltd.) (d)
|
|
A2/A
|
|
|
414,222
|
|
|
4
|
|
Citigroup, Inc., 7.50%, 12/15/12
|
|
NR/NR
|
|
|
502,488
|
|
|
26
|
|
JP Morgan Chase & Co.,
|
|
|
|
|
|
|
|
|
|
10.00%, 1/20/11, Ser. SYMC (Symantec Corp.) (d)
|
|
Aa3/A
|
|
|
404,404
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,983,718
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products
0.8%
|
|
|
|
|
|
|
|
10
|
|
Bunge Ltd., 4.875%, 12/1/11 (f)
|
|
Ba1/BB
|
|
|
800,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables
0.1%
|
|
|
|
|
|
|
|
4
|
|
Newell Financial Trust I, 5.25%, 12/1/27
(f)
|
|
WR/BB
|
|
|
148,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance
0.9%
|
|
|
|
|
|
|
|
22
|
|
American International Group, Inc., 8.50%,
8/1/11
|
|
Ba2/NR
|
|
|
200,380
|
|
|
5
|
|
Assured Guaranty Ltd., 8.50%, 6/1/12
|
|
NR/NR
|
|
|
369,200
|
|
|
14
|
|
XL Capital Ltd., 10.75%, 8/15/11
|
|
Baa2/BBB-
|
|
|
370,037
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
939,617
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining0.8%
|
|
|
|
|
|
|
|
17
|
|
Vale
Capital Ltd., 5.50%,
6/15/10, Ser. RIO (Compania Vale do Rio Doce) (d)
|
|
NR/NR
|
|
|
869,209
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities
1.3%
|
|
|
|
|
|
|
|
30
|
|
AES Trust III, 6.75%, 10/15/29
|
|
B3/B
|
|
|
1,290,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable
Fuels
0.9%
|
|
|
|
|
|
|
|
5
|
|
ATP Oil & Gas Corp., 8.00%, 10/1/14
(f)(g)(h)
|
|
NR/NR
|
|
|
347,800
|
|
|
7
|
|
Chesapeake Energy Corp., 5.00%, 11/15/10
(f)
|
|
NR/B
|
|
|
525,113
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
872,913
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
1.6%
|
|
|
|
|
|
|
|
5
|
|
Merck & Co., Inc., 6.00%, 8/13/10
|
|
A2/A-
|
|
|
1,177,524
|
|
|
|
(j)
|
Mylan, Inc., 6.50%, 11/15/10
|
|
NR/B
|
|
|
441,672
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,619,196
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment
Trust
1.4%
|
|
|
|
|
|
|
|
11
|
|
Alexandria Real Estate Equities, Inc.,
7.00%, 4/20/13 (f)
|
|
NR/NR
|
|
|
240,643
|
|
|
60
|
|
FelCor Lodging Trust, Inc., 1.95%,
12/31/49, Ser. A (a)
|
|
Caa3/C
|
|
|
1,230,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,470,643
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless
Telecommunication Services
1.2%
|
|
|
|
|
|
|
|
23
|
|
Crown Castle International Corp., 6.25%,
8/15/12
|
|
NR/NR
|
|
|
1,255,516
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Preferred Stock
(cost-$21,546,971)
|
|
|
|
|
14,366,565
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000s)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE BONDS & NOTES7.6%
|
|
|
|
|
|
|
|
|
|
Auto Components
0.4%
|
|
|
|
|
|
|
|
$325
|
|
BorgWarner, Inc., 3.50%, 4/15/12
|
|
NR/BBB
|
|
|
419,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services &
Supplies
0.6%
|
|
|
|
|
|
|
|
650
|
|
Bowne & Co., Inc., 6.00%, 10/1/33 (i)
|
|
B3/CCC+
|
|
|
644,312
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment
1.0%
|
|
|
|
|
|
|
|
400
|
|
EnerSys, 3.375%, 6/1/38 (i)
|
|
B2/BB
|
|
|
362,500
|
|
|
785
|
|
JA Solar Holdings Co., Ltd., 4.50%,
5/15/13
|
|
NR/NR
|
|
|
665,287
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,027,787
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment &
Services
0.3%
|
|
|
|
|
|
|
|
375
|
|
Hornbeck Offshore Services, Inc., 1.625%,
11/15/26 (i)
|
|
NR/BB-
|
|
|
298,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables
0.5%
|
|
|
|
|
|
|
|
475
|
|
Stanley
Black & Decker,
Inc., zero coupon, 5/17/12, VRN
|
|
Baa1/A-
|
|
|
503,928
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software &
Services
0.3%
|
|
|
|
|
|
|
|
275
|
|
VeriSign, Inc., 3.25%, 8/15/37
|
|
NR/NR
|
|
|
258,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services
0.5%
|
|
|
|
|
|
|
|
475
|
|
Alliance Data Systems Corp., 1.75%, 8/1/13
|
|
NR/NR
|
|
|
499,344
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery
0.3%
|
|
|
|
|
|
|
|
250
|
|
Titan International, Inc., 5.625%, 1/15/17
(g)(h)
|
|
NR/NR
|
|
|
311,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media
0.7%
|
|
|
|
|
|
|
|
310
|
|
Liberty Media LLC, 3.125%, 3/30/23
|
|
B1/BB-
|
|
|
328,988
|
|
|
400
|
|
Regal Entertainment Group, 6.25%, 3/15/11
(g)(h)
|
|
NR/NR
|
|
|
409,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
738,488
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities
1.1%
|
|
|
|
|
|
|
|
425
|
|
PG&E Corp., 9.50%, 6/30/10
|
|
NR/NR
|
|
|
1,171,406
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
0.5%
|
|
|
|
|
|
|
|
450
|
|
Biovail Corp., 5.375%, 8/1/14 (g)(h)
|
|
NR/NR
|
|
|
537,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment
Trust
0.4%
|
|
|
|
|
|
|
|
400
|
|
Health Care REIT, Inc., 4.75%, 12/1/26
|
|
Baa2/BBB-
|
|
|
428,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors &
Semiconductor Equipment
0.5%
|
|
|
|
|
|
|
|
600
|
|
Micron Technology, Inc., 1.875%, 6/1/14
|
|
NR/B
|
|
|
540,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software
0.3%
|
|
|
|
|
|
|
|
250
|
|
Rovi Corp., 2.625%, 2/15/40 (g)(h)
|
|
NR/NR
|
|
|
253,750
|
|
|
|
|
|
|
|
|
|
|
|