|
|
|
|
|
|
|
|
Principal
Amount
(000)
|
|
|
|
Credit Rating
(Moodys/S&P)
|
|
|
Value*
|
|
|
|
|
|
|
|
|
CONVERTIBLE
BONDS & NOTES 11.5%
|
|
|
|
|
|
|
|
Aerospace
& Defense0.1%
|
|
|
|
|
|
$1,500
|
|
Triumph Group, Inc.,
2.625%, 10/1/26
|
|
NR/NR
|
|
|
$2,205,000
|
|
|
|
|
|
|
|
|
|
|
Auto
Components0.2%
|
|
|
|
|
|
2,200
|
|
BorgWarner, Inc., 3.50%,
4/15/12
|
|
NR/BBB
|
|
|
3,148,750
|
|
|
|
|
|
|
|
|
|
|
Communications
Equipment0.1%
|
|
|
|
|
|
1,300
|
|
Finisar Corp., 5.00%,
10/15/29
|
|
NR/NR
|
|
|
2,068,625
|
|
|
|
|
|
|
|
|
|
|
Computers
& Peripherals0.6%
|
|
|
|
|
|
8,125
|
|
Maxtor Corp., 2.375%,
8/15/12
|
|
NR/B
|
|
|
9,506,250
|
|
|
|
|
|
|
|
|
|
|
Diversified
Consumer Services0.3%
|
|
|
|
|
|
3,435
|
|
Coinstar, Inc., 4.00%,
9/1/14
|
|
NR/BB
|
|
|
4,547,081
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified
Telecommunication Services0.4%
|
|
|
|
|
|
6,495
|
|
tw telecom, Inc., 2.375%,
4/1/26
|
|
B3/B-
|
|
|
7,347,469
|
|
|
|
|
|
|
|
|
|
|
Electrical
Equipment1.6%
|
|
|
|
|
|
9,780
|
|
EnerSys, 3.375%, 6/1/38 (d)
|
|
B2/BB
|
|
|
9,364,350
|
7,510
|
|
General Cable Corp.,
0.875%, 11/15/13
|
|
Ba3/B+
|
|
|
6,787,162
|
13,315
|
|
JA Solar Holdings Co.,
Ltd., 4.50%, 5/15/13
|
|
NR/NR
|
|
|
11,667,269
|
1,000
|
|
SunPower Corp., 4.75%,
4/15/14
|
|
NR/NR
|
|
|
888,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,707,531
|
|
|
|
|
|
|
|
|
|
|
Energy
Equipment & Services0.3%
|
|
|
|
|
|
6,480
|
|
Hornbeck Offshore Services,
Inc., 1.625%, 11/15/26 (d)
|
|
NR/BB-
|
|
|
5,710,824
|
|
|
|
|
|
|
|
|
|
|
Food
Products0.3%
|
|
|
|
|
|
3,680
|
|
Tyson Foods, Inc., 3.25%,
10/15/13
|
|
NR/BB
|
|
|
4,793,200
|
|
|
|
|
|
|
|
|
|
|
Health
Care Equipment & Supplies0.2%
|
|
|
|
|
|
3,000
|
|
Inverness Medical Innovations,
Inc., 3.00%, 5/15/16
|
|
NR/B-
|
|
|
3,198,750
|
|
|
|
|
|
|
|
|
|
|
Hotels,
Restaurants & Leisure0.9%
|
|
|
|
|
|
4,495
|
|
International Game
Technology, 3.25%, 5/1/14 (e)(f)
|
|
Baa2/BBB
|
|
|
5,747,981
|
1,402
|
|
Mandalay Resort Group,
1.021%, 3/21/33, FRN (c)(g)(j)
|
|
Caa1/CCC+
|
|
|
1,513,970
|
7,955
|
|
MGM Mirage, 4.25%, 4/15/15
(e)(f)
|
|
Caa1/CCC+
|
|
|
8,700,781
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,962,732
|
|
|
|
|
|
|
|
|
|
|
Household
Durables0.5%
|
|
|
|
|
|
6,820
|
|
Lennar Corp., 2.00%,
12/1/20 (e)(f)
|
|
B3/BB-
|
|
|
6,869,019
|
750
|
|
Newell Rubbermaid, Inc.,
5.50%, 3/15/14
|
|
NR/BBB-
|
|
|
1,555,313
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,424,332
|
|
|
|
|
|
|
|
|
|
|
Internet
Software & Services0.3%
|
|
|
|
|
|
4,200
|
|
Equinix, Inc., 2.50%,
4/15/12
|
|
NR/B-
|
|
|
4,536,000
|
|
|
|
|
|
|
|
|
|
|
IT
Services0.6%
|
|
|
|
|
|
7,655
|
|
Alliance Data Systems
Corp., 1.75%, 8/1/13
|
|
NR/NR
|
|
|
8,458,775
|
2,540
|
|
DST Systems, Inc., 4.125%,
8/15/23, FRN
|
|
NR/NR
|
|
|
2,635,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,094,025
|
|
|
|
|
|
|
|
|
|
|
Machinery0.5%
|
|
|
|
|
|
6,035
|
|
AGCO Corp., 1.25%, 12/15/36
|
|
NR/BB+
|
|
|
6,585,694
|
790
|
|
Titan International, Inc.,
5.625%, 1/15/17 (e)(f)
|
|
NR/NR
|
|
|
1,115,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,701,569
|
|
|
|
|
|
|
|
|
|
|
Media0.2%
|
|
|
|
|
|
3,765
|
|
Liberty Media LLC, 3.125%,
3/30/23
|
|
B1/BB-
|
|
|
4,169,738
|
|
|
|
|
|
|
|
|
|
|
Metals
& Mining0.5%
|
|
|
|
|
|
4,350
|
|
United States Steel Corp.,
4.00%, 5/15/14
|
|
Ba2/BB
|
|
|
8,096,437
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas
& Consumable Fuels0.6%
|
|
|
|
|
|
9,675
|
|
Peabody Energy Corp.,
4.75%, 12/15/41
|
|
Ba3/B+
|
|
|
10,630,406
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals0.6%
|
|
|
|
|
|
5,975
|
|
Biovail Corp., 5.375%,
8/1/14 (e)(f)
|
|
NR/NR
|
|
|
7,752,562
|
2,000
|
|
Valeant Pharmaceuticals
International, 4.00%, 11/15/13
|
|
NR/B
|
|
|
2,935,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,687,562
|
|
|
|
|
|
|
|
|
|
|
Real
Estate Investment Trust1.0%
|
|
|
|
|
|
2,950
|
|
Boston Properties LP,
3.75%, 5/15/36
|
|
NR/A-
|
|
|
3,178,625
|
4,900
|
|
Digital Realty Trust LP,
4.125%, 8/15/26 (e)(f)
|
|
NR/NR
|
|
|
8,997,625
|
5,000
|
|
Health Care REIT, Inc.,
4.75%, 12/1/26
|
|
Baa2/BBB-
|
|
|
5,450,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,626,250
|
|
|
|
|
|
|
|
|
|
|
Road &
Rail0.2%
|
|
|
|
|
|
1,500
|
|
Hertz Global Holdings,
Inc., 5.25%, 6/1/14
|
|
NR/CCC+
|
|
|
2,859,375
|
|
|
|
|
|
|
|
|
|
|
Semiconductors
& Semiconductor Equipment0.4%
|
|
|
|
|
|
6,785
|
|
Advanced Micro Devices,
Inc., 5.75%, 8/15/12
|
|
NR/B-
|
|
|
6,852,850
|
|
|
|
|
|
|
|
|
|
|
Software0.8%
|
|
|
|
|
|
5,000
|
|
Lawson Software, Inc.,
2.50%, 4/15/12
|
|
NR/NR
|
|
|
4,987,500
|
7,500
|
|
Nuance Communications, Inc.,
2.75%, 8/15/27
|
|
NR/B-
|
|
|
8,568,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,556,250
|
|
|
|
|
|
|
|
|
|
|
Thrifts
& Mortgage Finance0.3%
|
|
|
|
|
|
3,000
|
|
MGIC Investment Corp.,
5.00%, 5/1/17
|
|
NR/CCC+
|
|
|
3,352,500
|
1,000
|
|
The PMI Group, Inc., 4.50%,
4/15/20
|
|
NR/CCC+
|
|
|
958,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,311,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Bonds
& Notes (cost-$179,719,721)
|
|
|
|
|
197,742,256
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS 2.7%
|
|
|
|
|
|
|
|
Time
Deposits
2.7%
|
|
|
|
|
|
22,195
|
|
BNP Paribas, Paris, 0.03%,
5/3/10,
|
|
|
|
|
22,195,157
|
23,356
|
|
Societe Generale, Paris,
0.03%, 5/3/10,
|
|
|
|
|
23,356,466
|
|
|
|
|
|
|
|
|
|
|
Total Short Term
Investments (cost-$45,551,623)
|
|
|
|
|
45,551,623
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments, before call options written
(cost-$1,966,495,430)
101.1%
|
|
|
|
|
1,734,673,005
|
|
|
|
|
|
|
|
|