Location: Los Angeles, CA
CIK: 0000949509 · Show all filings
Period: Q2 2012 (← Previous) (Next →)
Filing Date: Jul 8, 2013
Total Value: $5.796B (54.2% shares, 45.8% debt)
| Ticker | Issuer | Shares | Value | % | Share Price | Est. Cost/Share | Unrealized @ Report Date | Class | CUSIP |
|---|---|---|---|---|---|---|---|---|---|
| — | CHARTER COMMUNICATIONS I | 16,480,036 | $1.168B | 20.2% | $70.87 | — | — | D CL A NEW | 16117M305 |
| — | DELPHI AUTOMOTIVE PLC | 19,217,976 | $490M | 8.5% | $25.50 | — | — | SHS | G27823106 |
| — | CIT GROUP INC | 8,158,249 | $291M | 5.0% | $35.64 | — | — | COM | 125581801 |
| — | EXCO RESOURCES INC | 36,778,946 | $279M | 4.8% | $7.59 | — | — | COM | 269279402 |
| FBP | FIRST BANCORP/PUERTO RIC | 50,684,485 | $201M | 3.5% | $3.96 | — | — | COM NEW | 318672706 |
| — | SPIRIT AIRLINES INC | 9,394,927 | $183M | 3.2% | $19.46 | — | — | COM | 848577102 |
| — | GILEAD SCIENCES INC | 97,875,000 | $127M | 2.2% | $1.30 | — | — | NOTE 1.625% 5/0 | 375558AP8 |
| — | MGM RESORTS INTL | 100,665,000 | $103M | 1.8% | $1.02 | — | — | NOTE 4.250% 4/1 | 55303QAE0 |
| — | OMNICARE INC | 102,510,000 | $94.64M | 1.6% | $0.92 | — | — | NOTE 3.750% 4/0 | 681904AP3 |
| — | SANDISK CORP | 91,005,000 | $93.95M | 1.6% | $1.03 | — | — | NOTE 1.500% 8/1 | 80004CAD3 |
| — | US STEEL CORP | 80,070,000 | $81.87M | 1.4% | $1.02 | — | — | NEW NOTE 4.000% | 912909AE8 |
| — | CEMEX SAB DE CV | 91,976,000 | $81.58M | 1.4% | $0.89 | — | — | NOTE 4.875% 3/1 | 151290AV5 |
| — | ON SEMICONDUCTOR CORP | 68,445,000 | $73.7M | 1.3% | $1.08 | — | — | NOTE 2.625%12/1 | 682189AH8 |
| — | CRIMSON EXPLORATION INC | 15,524,819 | $71.26M | 1.2% | $4.59 | — | — | COM NEW | 22662K207 |
| — | COVANTA HOLDING CORP | 56,135,000 | $66.13M | 1.1% | $1.18 | — | — | NOTE 3.250% 6/0 | 22282EAC6 |
| — | BROOKDALE SENIOR LIVING | 60,350,000 | $56.89M | 1.0% | $0.94 | — | — | NOTE 2.750% 6/1 | 112463AA2 |
| — | UNITED THERAPEUTICS CORP | 46,960,000 | $56.01M | 1.0% | $1.19 | — | — | DEL NOTE 1.000% | 91307CAE2 |
| — | HELIX ENERGY SOLUTIONS | 53,750,000 | $55.48M | 1.0% | $1.03 | — | — | NOTE 3.250% 3/1 | 42330PAG2 |
| — | ANNALY CAPITAL MGMT | 55,500,000 | $55.23M | 1.0% | $1.00 | — | — | NOTE 5.000% 5/1 | 035710AB8 |
| — | HOLOGIC INC | 47,319,000 | $49.92M | 0.9% | $1.06 | — | — | FRNT 2.000%12/1 | 436440AB7 |
| — | AVIS BUDGET GROUP INC | 38,750,000 | $48.27M | 0.8% | $1.25 | — | — | NOTE 3.500%10/0 | 053774AB1 |
| — | GENERAL MOTORS CO | 1,427,400 | $47.39M | 0.8% | $33.20 | — | — | JR PFD CNV SRB | 37045V209 |
| — | MENTOR GRAPHICS CORP | 44,006,000 | $47.31M | 0.8% | $1.08 | — | — | SDCV 4.000% 4/0 | 587200AK2 |
| — | LIFEPOINT HOSPITALS INC | 41,967,000 | $45.11M | 0.8% | $1.07 | — | — | NOTE 3.500% 5/1 | 53219LAH2 |
| — | LIBERTY INTERACTIVE LLC | 35,170,000 | $42.68M | 0.7% | $1.21 | — | — | NEW DEB 3.125% 3 | 530718AF2 |
| — | MEDICIS PHARMACEUTICAL | 42,100,000 | $41.91M | 0.7% | $1.00 | — | — | NOTE 1.375% 6/0 | 584690AC5 |
| — | FIFTH THIRD BANCORP | 270,380 | $36.99M | 0.6% | $136.80 | — | — | PFD DEP1/250 | 316773209 |
| — | HOLOGIC INC | 39,500,000 | $36.78M | 0.6% | $0.93 | — | — | DEBT 2.000% 3/0 | 436440AC5 |
| — | MOLINA HEALTHCARE INC | 33,250,000 | $36.57M | 0.6% | $1.10 | — | — | NOTE 3.750%10/0 | 60855RAA8 |
| — | RTI INTERNATIONAL METALS | 35,625,000 | $36.43M | 0.6% | $1.02 | — | — | NOTE 3.000%12/0 | 74973WAA5 |
| — | CHART INDUSTRIES INC | 29,443,000 | $36.22M | 0.6% | $1.23 | — | — | NOTE 2.000% 8/0 | 16115QAC4 |
| — | RYLAND GROUP | 32,000,000 | $35.3M | 0.6% | $1.10 | — | — | NOTE 1.625% 5/1 | 783764AQ6 |
| — | TELEFLEX INC | 30,115,000 | $35.16M | 0.6% | $1.17 | — | — | NOTE 3.875% 8/0 | 879369AA4 |
| — | BPZ RESOURCES INC | 42,720,000 | $34.78M | 0.6% | $0.81 | — | — | MTNF 6.500% 3/0 | 055639AB4 |
| — | KNIGHT CAPITAL GROUP INC | 36,935,000 | $34.47M | 0.6% | $0.93 | — | — | NOTE 3.500% 3/1 | 499005AE6 |
| — | DFC GLOBAL CORP | 28,690,000 | $32.81M | 0.6% | $1.14 | — | — | NOTE 3.000% 4/0 | 256664AC7 |
| — | METLIFE INC | 514,300 | $31.82M | 0.5% | $61.87 | — | — | UNIT 99/99/9999 | 59156R116 |
| — | OMNICARE CAP TRUST II | 720,260 | $31.64M | 0.5% | $43.93 | — | — | PFD B TR 4.00% | 68214Q200 |
| — | CEMEX SAB DE CV | 35,575,000 | $30.34M | 0.5% | $0.85 | — | — | NOTE 3.250% 3/1 | 151290BB8 |
| — | LAM RESEARCH CORP | 31,280,000 | $30.14M | 0.5% | $0.96 | — | — | NOTE 0.500% 5/1 | 512807AJ7 |
| — | CAESARS ENTERTAINMENT CORP | 2,537,957 | $28.93M | 0.5% | $11.40 | — | — | COM | 127686103 |
| — | MICRON TECHNOLOGY INC | 32,724,000 | $28.8M | 0.5% | $0.88 | — | — | DEBT 1.875% 6/0 | 595112AK9 |
| — | OLD REPUBLIC INTL CORP | 31,323,000 | $28.64M | 0.5% | $0.91 | — | — | NOTE 3.750% 3/1 | 680223AH7 |
| — | VOLCANO CORP | 23,690,000 | $28.63M | 0.5% | $1.21 | — | — | NOTE 2.875% 9/0 | 928645AA8 |
| — | LAM RESEARCH CORP | 28,297,000 | $28.04M | 0.5% | $0.99 | — | — | NOTE 1.250% 5/1 | 512807AL2 |
| — | COMTECH TELECOMMUNICATIO | 24,820,000 | $26.49M | 0.5% | $1.07 | — | — | NOTE 3.000% 5/0 | 205826AF7 |
| — | NETAPP INC | 23,000,000 | $26.46M | 0.5% | $1.15 | — | — | NOTE 1.750% 6/0 | 64110DAB0 |
| — | APACHE CORP | 520,200 | $26.14M | 0.5% | $50.25 | — | — | PFD CONV SER D | 037411808 |
| — | IXIA | 25,500,000 | $26.13M | 0.5% | $1.02 | — | — | NOTE 3.000%12/1 | 45071RAB5 |
| VSH | VISHAY INTERTECHNOLOGY I | 2,750,000 | $25.93M | 0.4% | $9.43 | — | — | COM | 928298108 |
| — | INTEL CORP | 22,375,000 | $25.4M | 0.4% | $1.14 | — | — | SDCV 2.950%12/1 | 458140AD2 |
| GTY | GETTY REALTY CORP | 1,312,728 | $25.14M | 0.4% | $19.15 | — | — | COM | 374297109 |
| — | STEEL DYNAMICS INC | 23,151,000 | $24.6M | 0.4% | $1.06 | — | — | NOTE 5.125% 6/1 | 858119AP5 |
| — | TRANSOCEAN INC | 24,214,000 | $24.24M | 0.4% | $1.00 | — | — | NOTE 1.500%12/1 | 893830AW9 |
| — | BARNES GROUP INC | 22,062,000 | $24M | 0.4% | $1.09 | — | — | NOTE 3.375% 3/1 | 067806AD1 |
| — | ICAHN ENTERPRISES LP | 23,725,000 | $23.9M | 0.4% | $1.01 | — | — | FRNT 8/1 | 451102AB3 |
| — | ALLIANCE HEALTHCARE SERV | 23,782,451 | $23.73M | 0.4% | $1.00 | — | — | IN COM NEW | 018606202 |
| — | LINEAR TECHNOLOGY CORP | 22,130,000 | $23.04M | 0.4% | $1.04 | — | — | NOTE 3.000% 5/0 | 535678AC0 |
| — | CHEMED CORP | 21,255,000 | $21.29M | 0.4% | $1.00 | — | — | NEW NOTE 1.875% | 16359RAC7 |
| — | GOLDCORP INC | 18,370,000 | $20.76M | 0.4% | $1.13 | — | — | NOTE 2.000% 8/0 | 380956AB8 |
| — | WABASH NATIONAL CORP | 20,550,000 | $19.87M | 0.3% | $0.97 | — | — | NOTE 3.375% 5/0 | 929566AH0 |
| — | GROUP 1 AUTOMOTIVE INC | 19,035,000 | $19.75M | 0.3% | $1.04 | — | — | FRNT 2.250% 6/1 | 398905AE9 |
| — | ANNALY CAPITAL MGMT | 15,500,000 | $19.07M | 0.3% | $1.23 | — | — | NOTE 4.000% 2/1 | 035710AA0 |
| — | CHESAPEAKE ENERGY CORP | 20,225,000 | $18.71M | 0.3% | $0.93 | — | — | NOTE 2.750%11/1 | 165167BW6 |
| VALE | VALE SA | 930,549 | $18.7M | 0.3% | $20.10 | — | — | ADR | 91912E105 |
| — | INSULET CORPORATION | 16,741,000 | $18.6M | 0.3% | $1.11 | — | — | NOTE 3.750% 6/1 | 45784PAC5 |
| — | ENTERTAINMENT PROPERTIES | 977,821 | $18.48M | 0.3% | $18.90 | — | — | PFD C CNV 5.75% | 29380T402 |
| — | SAFEWAY INC | 1,000,000 | $18.15M | 0.3% | $18.15 | — | — | COM | 786514208 |
| — | PHH CORP | 17,975,000 | $17.95M | 0.3% | $1.00 | — | — | NOTE 4.000% 9/0 | 693320AN3 |
| — | NUVASIVE INC | 18,215,000 | $17.93M | 0.3% | $0.98 | — | — | NOTE 2.750% 7/0 | 670704AC9 |
| — | HERCULES OFFSHORE LLC | 17,333,000 | $17.41M | 0.3% | $1.00 | — | — | NOTE 3.375% 6/0 | 427093AD1 |
| — | STERLITE INDUSTRIES LTD | 18,718,000 | $16.81M | 0.3% | $0.90 | — | — | NOTE 4.000%10/3 | 859737AB4 |
| — | OMNICARE INC | 16,815,000 | $16.06M | 0.3% | $0.96 | — | — | DBCV 3.250%12/1 | 681904AL2 |
| — | GREATBATCH INC. | 16,000,000 | $15.91M | 0.3% | $0.99 | — | — | SDCV 2.250% 6/1 | 39153LAB2 |
| — | RADISYS CORP | 15,413,000 | $15.17M | 0.3% | $0.98 | — | — | NOTE 2.750% 2/1 | 750459AE9 |
| — | KINROSS GOLD CORP | 14,959,000 | $14.94M | 0.3% | $1.00 | — | — | NOTE 1.750% 3/1 | 496902AD9 |
| — | NASH FINCH CO | 31,052,000 | $14.64M | 0.3% | $0.47 | — | — | FRNT 1.631% 3/1 | 631158AD4 |
| — | FIVE STAR QUALITY CARE I | 15,039,000 | $14.57M | 0.3% | $0.97 | — | — | NOTE 3.750%10/1 | 33832DAB2 |
| — | LEVEL 3 COMMUNICATIONS I | 650,000 | $14.4M | 0.2% | $22.15 | — | — | COM NEW | 52729N308 |
| — | EXTERRAN ENERGY LLC | 14,480,000 | $14.23M | 0.2% | $0.98 | — | — | NOTE 4.750% 1/1 | 410768AE5 |
| — | ALCATEL-LUCENT USA INC | 18,200,000 | $14.15M | 0.2% | $0.78 | — | — | DBCV 2.875% 6/1 | 549463AG2 |
| — | AAR CORP | 15,019,000 | $14.14M | 0.2% | $0.94 | — | — | NOTE 1.625% 3/0 | 000361AK1 |
| — | PROSPECT CAPITAL CORP | 13,950,000 | $13.96M | 0.2% | $1.00 | — | — | NOTE 5.500% 8/1 | 74348TAD4 |
| — | MEDIVATION INC | 11,000,000 | $13.19M | 0.2% | $1.20 | — | — | NOTE 2.625% 4/0 | 58501NAA9 |
| — | STANLEY BLACK & DECKER I | 108,760 | $12.74M | 0.2% | $117.13 | — | — | UNIT 99/99/9999 | 854502309 |
| — | PROVIDENCE SERVICE CORP | 12,655,000 | $12.72M | 0.2% | $1.00 | — | — | NOTE 6.500% 5/1 | 743815AB8 |
| — | CUMULUS MEDIA INC | 3,985,983 | $12M | 0.2% | $3.01 | — | — | CL A | 231082108 |
| — | HEADWATERS INC | 11,805,000 | $11.04M | 0.2% | $0.94 | — | — | NOTE 2.500% 2/0 | 42210PAD4 |
| — | SANDISK CORP | 11,000,000 | $10.92M | 0.2% | $0.99 | — | — | NOTE 1.000% 5/1 | 80004CAC5 |
| — | HANWHA SOLARONE CO LTD | 15,353,000 | $10.67M | 0.2% | $0.69 | — | — | L NOTE 3.500% 1/ | 83415UAB4 |
| — | RADIAN GROUP INC | 17,380,000 | $10.43M | 0.2% | $0.60 | — | — | NOTE 3.000%11/1 | 750236AK7 |
| — | RAIT FINANCIAL TRUST | 12,042,000 | $10.26M | 0.2% | $0.85 | — | — | NOTE 7.000% 4/0 | 749227AA2 |
| — | RF MICRO DEVICES INC | 10,000,000 | $9.923M | 0.2% | $0.99 | — | — | NOTE 1.000% 4/1 | 749941AJ9 |
| — | LIVE NATION ENTERTAINMEN | 10,084,000 | $9.757M | 0.2% | $0.97 | — | — | NOTE 2.875% 7/1 | 538034AB5 |
| — | APOLLO INVESTMENT CORP | 9,750,000 | $9.725M | 0.2% | $1.00 | — | — | NOTE 5.750% 1/1 | 03761UAE6 |
| — | STEWART ENTERPRISES | 9,250,000 | $9.244M | 0.2% | $1.00 | — | — | NOTE 3.125% 7/1 | 860370AH8 |
| — | JEFFERIES GROUP INC | 9,832,000 | $8.941M | 0.2% | $0.91 | — | — | NEW DBCV 3.875% | 472319AG7 |
| — | GREENBRIER COS INC | 8,835,000 | $8.832M | 0.2% | $1.00 | — | — | NOTE 2.375% 5/1 | 393657AD3 |
| — | CHENIERE ENERGY INC | 8,535,000 | $8.596M | 0.1% | $1.01 | — | — | NOTE 2.250% 8/0 | 16411RAE9 |
| — | SUNPOWER CORP | 9,834,000 | $8.589M | 0.1% | $0.87 | — | — | DBCV 4.500% 3/1 | 867652AE9 |
| — | GENON ENERGY INC | 5,000,000 | $8.55M | 0.1% | $1.71 | — | — | COM | 37244E107 |
| — | NAVISTAR INTL CORP | 9,000,000 | $8.428M | 0.1% | $0.94 | — | — | NOTE 3.000%10/1 | 63934EAL2 |
| — | AAR CORP | 8,290,000 | $8.309M | 0.1% | $1.00 | — | — | NOTE 1.750% 2/0 | 000361AH8 |
| — | GOODRICH PETROLEUM CORP | 8,792,000 | $8.238M | 0.1% | $0.94 | — | — | NOTE 5.000%10/0 | 382410AC2 |
| — | GENERAL CABLE CORP | 8,500,000 | $8.13M | 0.1% | $0.96 | — | — | NEW NOTE 0.875%1 | 369300AD0 |
| — | GOLDCORP INC | 217,510 | $8.122M | 0.1% | $37.34 | — | — | COM | 380956409 |
| — | RAMBUS INC | 8,000,000 | $7.995M | 0.1% | $1.00 | — | — | NOTE 5.000% 6/1 | 750917AC0 |
| — | ARCELORMITTAL | 7,255,000 | $7.484M | 0.1% | $1.03 | — | — | NOTE 5.000% 5/1 | 03938LAK0 |
| — | RENTECH INC | 7,509,000 | $7.468M | 0.1% | $0.99 | — | — | NOTE 4.000% 4/1 | 760112AA0 |
| — | HOLOGIC INC | 7,500,000 | $7.384M | 0.1% | $0.98 | — | — | FRNT 2.000%12/1 | 436440AA9 |
| — | MERITOR INC | 8,000,000 | $7.013M | 0.1% | $0.88 | — | — | FRNT 4.625% 3/0 | 043353AF8 |
| — | SPARTAN STORES INC | 6,934,000 | $6.82M | 0.1% | $0.98 | — | — | NOTE 3.375% 5/1 | 846822AE4 |
| RIO | RIO TINTO PLC | 141,200 | $6.804M | 0.1% | $48.19 | — | — | SPONSORED ADR | 767204100 |
| — | MGIC INVESTMENT CORP | 10,000,000 | $6.725M | 0.1% | $0.67 | — | — | NOTE 5.000% 5/0 | 552848AD5 |
| — | ALBANY INTL CORP | 7,007,000 | $6.665M | 0.1% | $0.95 | — | — | FRNT 2.250% 3/1 | 012348AC2 |
| — | AMER EQUITY INVT LIFE | 6,465,000 | $6.63M | 0.1% | $1.03 | — | — | NOTE 5.250%12/0 | 025676AE7 |
| — | SUNPOWER CORP | 7,350,000 | $6.591M | 0.1% | $0.90 | — | — | DBCV 4.750% 4/1 | 867652AC3 |
| — | DRYSHIPS INC | 8,630,000 | $6.316M | 0.1% | $0.73 | — | — | NOTE 5.000%12/0 | 262498AB4 |
| — | ISTAR FINANCIAL INC | 6,201,000 | $6.2M | 0.1% | $1.00 | — | — | FRNT 10/0 | 45031UBF7 |
| — | AMERICA MOVIL SAB DE CV | 232,661 | $6.089M | 0.1% | $26.17 | — | — | SPON ADR L SHS | 02364W105 |
| — | TATA MOTORS LTD | 266,000 | $5.844M | 0.1% | $21.97 | — | — | SPONSORED ADR | 876568502 |
| — | ALLIANCE ONE INTL INC | 5,926,000 | $5.701M | 0.1% | $0.96 | — | — | NOTE 5.500% 7/1 | 018772AQ6 |
| BVN | CIA DE MINAS BUENAVENTUR | 145,712 | $5.571M | 0.1% | $38.23 | — | — | SPONSORED ADR | 204448104 |
| UMC | UNITED MICROELECTRONICS | 2,459,221 | $5.484M | 0.1% | $2.23 | — | — | SPON ADR NEW | 910873405 |
| — | CARRIZO OIL & GAS INC | 5,220,000 | $5.201M | 0.1% | $1.00 | — | — | NOTE 4.375% 6/0 | 144577AA1 |
| — | GOLDEN STAR RESOURCES | 5,200,000 | $5.034M | 0.1% | $0.97 | — | — | CDA DEBT 5.000% | 38119TAE4 |
| — | HAWAIIAN HOLDINGS INC | 4,649,000 | $5.026M | 0.1% | $1.08 | — | — | NOTE 5.000% 3/1 | 419879AD3 |
| — | ALCATEL-LUCENT USA INC | 5,000,000 | $4.943M | 0.1% | $0.99 | — | — | DBCV 2.875% 6/1 | 549463AH0 |
| — | EAGLE BULK SHIPPING INC | 1,543,750 | $4.878M | 0.1% | $3.16 | — | — | SHS NEW | Y2187A119 |
| — | GT ADVANCED TECHNOLOGIES | 891,977 | $4.71M | 0.1% | $5.28 | — | — | COM | 36191U106 |
| — | HILLTOP HOLDINGS INC | 4,226,000 | $4.694M | 0.1% | $1.11 | — | — | NOTE 7.500% 8/1 | 00828UAB9 |
| — | SALIX PHARMACEUTICALS LT | 3,454,000 | $4.682M | 0.1% | $1.36 | — | — | NOTE 2.750% 5/1 | 795435AC0 |
| — | GENCO SHIPPING & TRADING | 1,512,532 | $4.613M | 0.1% | $3.05 | — | — | SHS | Y2685T107 |
| — | INTERPUBLIC GROUP COS | 4,145,000 | $4.506M | 0.1% | $1.09 | — | — | NOTE 4.750% 3/1 | 460690BE9 |
| TX | TERNIUM SA | 224,900 | $4.424M | 0.1% | $19.67 | — | — | SPONSORED ADR | 880890108 |
| — | EXIDE TECHNOLOGIES | 4,845,000 | $4.264M | 0.1% | $0.88 | — | — | FRNT 9/1 | 302051AL1 |
| — | TTM TECHNOLOGIES | 4,184,000 | $4.206M | 0.1% | $1.01 | — | — | NOTE 3.250% 5/1 | 87305RAC3 |
| — | ISIS PHARMACEUTICALS INC | 4,000,000 | $4.073M | 0.1% | $1.02 | — | — | DEL NOTE 2.625% | 464337AE4 |
| — | AV HOMES INC | 4,000,000 | $4.022M | 0.1% | $1.01 | — | — | NOTE 7.500% 2/1 | 053494AG5 |
| — | INTEROIL CORP | 4,250,000 | $4.007M | 0.1% | $0.94 | — | — | NOTE 2.750%11/1 | 460951AC0 |
| PBR | PETROLEO BRASILEIRO SA | 180,129 | $3.435M | 0.1% | $19.07 | — | — | PETRO SPONSORED | 71654V408 |
| — | EXTERRAN HOLDINGS INC | 3,500,000 | $3.405M | 0.1% | $0.97 | — | — | NOTE 4.250% 6/1 | 30225XAA1 |
| — | STILLWATER MINING COMPAN | 3,401,000 | $3.364M | 0.1% | $0.99 | — | — | NOTE 1.875% 3/1 | 86074QAF9 |
| — | COGENT COMMUNICATIONS GR | 3,500,000 | $3.34M | 0.1% | $0.95 | — | — | NOTE 1.000% 6/1 | 19239VAB0 |
| — | FURNITURE BRANDS INTERNA | 2,600,000 | $3.224M | 0.1% | $1.24 | — | — | COM | 360921100 |
| — | COMMONWEALTH REIT | 140,711 | $3.089M | 0.1% | $21.95 | — | — | 6.50% PFD CUM CO | 203233408 |
| — | SUNTECH POWER HLDGS CO | 3,885,000 | $2.652M | 0.0% | $0.68 | — | — | NOTE 3.000% 3/1 | 86800CAE4 |
| — | CENTRAL EUR DISTR CORP | 3,000,000 | $2.616M | 0.0% | $0.87 | — | — | NOTE 3.000% 3/1 | 153435AA0 |
| — | SYMANTEC CORP | 2,500,000 | $2.558M | 0.0% | $1.02 | — | — | NOTE 1.000% 6/1 | 871503AF5 |
| — | GOLDEN STAR RESOURCES | 2,500,000 | $2.502M | 0.0% | $1.00 | — | — | CDA DBCV 4.000%1 | 38119TAC8 |
| — | HORNBECK OFFSHORE SERV | 1,837,000 | $1.928M | 0.0% | $1.05 | — | — | N FRNT 1.625%11/ | 440543AE6 |
| — | WSP HOLDINGS LTD | 1,408,800 | $1.86M | 0.0% | $1.32 | — | — | ADR NEW | 92934F203 |
| — | USEC INC | 3,500,000 | $1.744M | 0.0% | $0.50 | — | — | NOTE 3.000%10/0 | 90333EAC2 |
| — | VERISIGN INC | 1,068,000 | $1.494M | 0.0% | $1.40 | — | — | SDCV 3.250% 8/1 | 92343EAD4 |
| — | NEWMONT MINING CORP | 825,000 | $1.037M | 0.0% | $1.26 | — | — | NOTE 1.250% 7/1 | 651639AH9 |
| — | XILINX INC | 737,000 | $947K | 0.0% | $1.28 | — | — | NOTE 2.625% 6/1 | 983919AF8 |
| — | LIBERTY INTERACTIVE LLC | 1,075,000 | $917K | 0.0% | $0.85 | — | — | DEB 3.250% 3/1 | 530715AR2 |
| — | ENDO HEALTH SOLUTIONS IN | 725,000 | $867K | 0.0% | $1.20 | — | — | NOTE 1.750% 4/1 | 29264FAB2 |
| TSM | TSMC | 54,518 | $778K | 0.0% | $14.27 | — | — | SPONSORED ADR | 874039100 |
| — | AFFILIATED MANAGERS GROU | 712,000 | $772K | 0.0% | $1.08 | — | — | NOTE 3.950% 8/1 | 008252AL2 |
| — | ENTERTAINMENT PROPERTIES | 27,500 | $751K | 0.0% | $27.31 | — | — | CONV PFD 9% SR E | 29380T600 |
| — | TRINITY INDUSTRIES INC | 750,000 | $747K | 0.0% | $1.00 | — | — | NOTE 3.875% 6/0 | 896522AF6 |
| ITUB | ITAU UNIBANCO HOLDING SA | 51,731 | $734K | 0.0% | $14.19 | — | — | SPON ADR REP PF | 465562106 |
| — | LEUCADIA NATL CORP | 637,000 | $703K | 0.0% | $1.10 | — | — | NOTE 3.750% 4/1 | 527288AX2 |
| — | NEWMONT MINING CORP | 500,000 | $666K | 0.0% | $1.33 | — | — | NOTE 1.625% 7/1 | 651639AJ5 |
| HDB | HDFC BANK LTD | 18,972 | $626K | 0.0% | $33.00 | — | — | ADR REPS 3 SHS | 40415F101 |
| — | CIA BRASILEIRA DE DISTRI | 14,215 | $576K | 0.0% | $40.52 | — | — | SPN ADR PFD CL A | 20440T201 |
| — | TYSON FOODS INC | 425,000 | $516K | 0.0% | $1.21 | — | — | NOTE 3.250%10/1 | 902494AP8 |
| — | TELEFONICA BRASIL SA | 18,900 | $485K | 0.0% | $25.66 | — | — | SPONSORED ADR | 87936R106 |
| — | CIA DE BEBIDAS DAS AMERI | 12,383 | $473K | 0.0% | $38.20 | — | — | SPON ADR PFD | 20441W203 |
| INFY | INFOSYS LTD | 9,650 | $438K | 0.0% | $45.39 | — | — | SPONSORED ADR | 456788108 |
| — | MOBILE TELESYSTEMS OJSC | 25,029 | $437K | 0.0% | $17.46 | — | — | SPONSORED ADR | 607409109 |
| SQM | SOCIEDAD QUIMICA Y MINER | 7,289 | $410K | 0.0% | $56.25 | — | — | SPON ADR SER B | 833635105 |
| — | SK TELECOM CO LTD | 32,500 | $397K | 0.0% | $12.22 | — | — | SPONSORED ADR | 78440P108 |
| SCCO | SOUTHERN COPPER CORP | 12,505 | $394K | 0.0% | $31.51 | — | — | COM | 84265V105 |
| PKX | POSCO | 4,795 | $387K | 0.0% | $80.71 | — | — | SPONSORED ADR | 693483109 |
| MLCO | MELCO CROWN ENTERTAINMEN | 33,781 | $374K | 0.0% | $11.07 | — | — | ADR | 585464100 |
| — | ROVI CORP | 201,000 | $194K | 0.0% | $0.97 | — | — | NOTE 2.625% 2/1 | 779376AB8 |
| — | GENERAL MOTORS CO | 8,810 | $97,000 | 0.0% | $11.01 | — | — | *W EXP 07/10/201 | 37045V118 |
| — | GENERAL MOTORS CO | 8,810 | $60,000 | 0.0% | $6.81 | — | — | *W EXP 07/10/201 | 37045V126 |
| GM | GENERAL MOTORS CO | 187 | $4,000 | 0.0% | $21.39 | — | — | COM | 37045V100 |