|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
Credit Rating
|
|
|
|
(000)
|
|
|
|
(Moodys/S&P)
|
|
Value*
|
|
|
|
|
|
|
|
|
CONVERTIBLE
PREFERRED STOCK 12.5%
|
|
|
|
|
|
|
|
|
|
Automobiles
0.3%
|
|
|
|
|
|
|
|
60
|
|
General Motors Corp., 6.25%, 7/15/33, Ser. C
|
|
WR/NR
|
|
|
$292,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets
0.2%
|
|
|
|
|
|
|
|
|
|
Lehman Brothers Holdings, Inc. (c) (d) (e),
|
|
|
|
|
|
|
|
42
|
|
6.00%, 10/12/10, Ser. GIS (General Mills, Inc.)
|
|
WR/NR
|
|
|
135,833
|
|
|
9
|
|
28.00%, 3/6/09, Ser. RIG (Transocean, Inc.)
|
|
WR/NR
|
|
|
126,771
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
262,604
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals
0.4%
|
|
|
|
|
|
|
|
12
|
|
Celanese Corp., 4.25%, 12/31/49
|
|
NR/NR
|
|
|
448,636
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks
0.4%
|
|
|
|
|
|
|
|
2
|
|
Fifth Third Bancorp, 8.50%, 12/31/49, Ser. G
|
|
Baa3/BB
|
|
|
207,264
|
|
|
-(j)
|
|
Wells Fargo & Co., 7.50%, 12/31/49, Ser. L
|
|
Ba1/A-
|
|
|
223,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
430,264
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies
1.0%
|
|
|
|
|
|
|
|
6
|
|
Avery Dennison Corp., 7.875%, 11/15/20
|
|
NR/BB+
|
|
|
245,160
|
|
|
29
|
|
United Rentals, Inc., 6.50%, 8/1/28
|
|
Caa2/CCC
|
|
|
844,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,089,785
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance
0.5%
|
|
|
|
|
|
|
|
1
|
|
SLM Corp., 7.25%, 12/15/10
|
|
Ba3/BB-
|
|
|
543,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services
2.0%
|
|
|
|
|
|
|
|
1
|
|
Bank of America Corp., 7.25%, 12/31/49, Ser. L
|
|
Ba3/B
|
|
|
745,938
|
|
|
29
|
|
Vale Capital Ltd., 5.50%, 6/15/10,
|
|
|
|
|
|
|
|
|
|
Ser. RIO (Compania Vale do Rio Doce) (e)
|
|
NR/NR
|
|
|
1,517,424
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,263,362
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities
1.2%
|
|
|
|
|
|
|
|
30
|
|
AES Trust III, 6.75%, 10/15/29
|
|
B3/B
|
|
|
1,369,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products
0.8%
|
|
|
|
|
|
|
|
10
|
|
Bunge Ltd., 4.875%, 12/31/49
|
|
Ba1/BB
|
|
|
862,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance
0.8%
|
|
|
|
|
|
|
|
5
|
|
Assured Guaranty Ltd., 8.50%, 6/1/12
|
|
NR/NR
|
|
|
486,772
|
|
|
14
|
|
XL Capital Ltd., 10.75%, 8/15/11
|
|
Baa2/BBB-
|
|
|
386,066
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
872,838
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery
1.1%
|
|
|
|
|
|
|
|
1
|
|
Stanley Works, 5.125%, 5/17/12, VRN
|
|
A3/BBB+
|
|
|
1,199,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels
0.5%
|
|
|
|
|
|
|
|
7
|
|
Chesapeake Energy Corp., 5.00%, 12/31/49
|
|
NR/B
|
|
|
549,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
1.5%
|
|
|
|
|
|
|
|
5
|
|
Merck & Co., Inc., 6.00%, 8/13/10
|
|
A2/A-
|
|
|
1,204,837
|
|
|
-(j)
|
|
Mylan, Inc., 6.50%, 11/15/10
|
|
NR/B
|
|
|
417,079
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,621,916
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts
(REIT)
0.6%
|
|
|
|
|
|
|
|
60
|
|
FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A
|
|
Caa3/C
|
|
|
645,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services
1.2%
|
|
|
|
|
|
|
|
23
|
|
Crown Castle International Corp., 6.25%, 8/15/12
|
|
NR/NR
|
|
|
1,313,813
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Preferred Stock (cost-$20,463,186)
|
|
|
|
|
13,765,118
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
|
|
(000)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE
BONDS & NOTES 7.4%
|
|
|
|
|
|
|
|
|
|
Auto Components
0.4%
|
|
|
|
|
|
|
|
$325
|
|
BorgWarner, Inc., 3.50%, 4/15/12
|
|
NR/BBB
|
|
|
387,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies
0.6%
|
|
|
|
|
|
|
|
650
|
|
Bowne & Co., Inc., 6.00%, 10/1/33 (f)
|
|
B3/CCC+
|
|
|
622,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment
0.4%
|
|
|
|
|
|
|
|
810
|
|
Nortel Networks Corp., 2.125%, 4/15/14 (d)
|
|
WR/NR
|
|
|
492,075
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals
1.3%
|
|
|
|
|
|
|
|
1,400
|
|
Maxtor Corp., 6.80%, 4/30/10
|
|
Ba3/NR
|
|
|
1,434,999
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment
0.8%
|
|
|
|
|
|
|
|
400
|
|
EnerSys, 3.375%, 6/1/38 (f)
|
|
B2/BB
|
|
|
355,000
|
|
|
785
|
|
JA Solar Holdings Co., Ltd., 4.50%, 5/15/13
|
|
NR/NR
|
|
|
584,825
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
939,825
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services
0.3%
|
|
|
|
|
|
|
|
375
|
|
Hornbeck Offshore Services, Inc., 1.625%, 11/15/26 (f)
|
|
NR/BB-
|
|
|
316,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services
0.2%
|
|
|
|
|
|
|
|
275
|
|
VeriSign, Inc., 3.25%, 8/15/37
|
|
NR/NR
|
|
|
230,313
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services
0.6%
|
|
|
|
|
|
|
|
650
|
|
Alliance Data Systems Corp., 1.75%, 8/1/13
|
|
NR/NR
|
|
|
639,438
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities
1.1%
|
|
|
|
|
|
|
|
425
|
|
PG&E Corp., 9.50%, 6/30/10
|
|
NR/NR
|
|
|
1,227,188
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
0.5%
|
|
|
|
|
|
|
|
450
|
|
Biovail Corp., 5.375%, 8/1/14 (g) (h)
|
|
NR/NR
|
|
|
532,688
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts
(REIT)
0.4%
|
|
|
|
|
|
|
|
500
|
|
Developers Diversified Realty Corp., 3.00%, 3/15/12
|
|
NR/BB
|
|
|
459,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment
0.8%
|
|
|
|
|
|
|
|
450
|
|
Advanced Micro Devices, Inc., 5.75%, 8/15/12
|
|
NR/B-
|
|
|
442,688
|
|
|
275
|
|
Micron Technology, Inc., 4.25%, 10/15/13
|
|
NR/NR
|
|
|
453,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
896,438
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Bonds & Notes (cost-$8,804,750)
|
|
|
|
|
8,179,152
|
|
|
|
|
|
|
|
|
|
|
|