Top Ten Holdings by underlying common stock
                                              % of Net Assets
The Walt Disney Company                                   3.7
Teva Pharmaceutical Industries Ltd.                       2.6
Nuveen Investments, Inc.                                  2.4
The St. Paul Travelers Companies, Inc.                    2.4
Washington Mutual, Inc.                                   2.3
Celanese Corp.                                            2.1
U.S. Bancorp                                              2.1
EchoStar Communications Corp.                             2.0
Genworth Financial, Inc.                                  2.0
The TJX Companies, Inc.                                   2.0
Major Industry Exposure
                                              % of Net Assets
Technology                                               14.7
Financial and Insurance                                  14.0
Energy                                                   10.4
Pharmaceuticals                                           9.6
Banking/Savings and Loan                                  8.9
Entertainment                                             5.7
Aerospace and Defense                                     4.4
Telecommunications                                        4.2
Retail                                                    3.9
Health Care                                               3.8
Portfolio Composition
                                              % of Net Assets
Convertible Bonds and Notes                              59.3
Convertible Preferred Stocks                             22.2
Mandatory Convertible Securities                         13.8
Cash and Equivalents                                      4.7
      TOTAL NET ASSETS                                  100.0