| Security | Rate | Maturity Date | Par Value | Book Value | Market Value | Yield |
|
| ABGENIX INC | 3.50 | 3/15/2007 | 4,000,000.00 | 3,242,981.73 | 2,830,000.00 | 4.95 |
| ADVANCED MICRO DEVICES INC | 4.75 | 2/1/2022 | 5,000,000.00 | 4,964,817.33 | 3,906,250.00 | 6.08 |
| AFFYMETRIX INC | 5.00 | 10/1/2006 | 3,750,000.00 | 3,940,945.19 | 3,323,625.00 | 5.64 |
| ALLIED WASTE NORTH AMER INC | 10.00 | 8/1/2009 | 5,000,000.00 | 5,199,618.88 | 4,912,500.00 | 10.18 |
| ANTEC CORP | 4.50 | 5/15/2003 | 8,350,000.00 | 8,184,865.58 | 7,494,125.00 | 5.01 |
| BARNES + NOBLE INC | 5.25 | 3/15/2009 | 6,500,000.00 | 7,486,363.09 | 6,849,375.00 | 4.98 |
| BEA SYS INC | 4.00 | 12/15/2006 | 7,970,000.00 | 8,087,505.69 | 6,406,286.00 | 4.98 |
| BJ SVCS CO | 0.40 | 4/24/2022 | 2,000,000.00 | 1,632,547.99 | 1,588,600.00 | 0.50 |
| BURR BROWN CORP | 4.25 | 2/15/2007 | 1,000,000.00 | 1,206,611.58 | 1,004,900.00 | 4.23 |
| CALPINE CORP | 4.00 | 12/26/2006 | 10,000,000.00 | 10,000,000.00 | 7,225,000.00 | 5.54 |
| CALPINE CORP | 4.00 | 12/26/2006 | 100,000,000.00 | 114,078,820.78 | 72,250,000.00 | 5.54 |
| CHARTER COMM INC | 5.75 | 10/15/2005 | 10,000,000.00 | 10,712,891.56 | 5,150,000.00 | 11.17 |
| CHARTER COMMUNICATIONS HLDGS | 9.63 | 11/15/2009 | 5,000,000.00 | 4,967,101.56 | 3,325,000.00 | 14.47 |
| COMCAST CORP | 0.00 | 12/19/2020 | 5,200,000.00 | 4,027,445.26 | 3,939,000.00 | 0.00 |
| CORNING INC | 3.50 | 11/1/2008 | 5,587,000.00 | 6,519,381.76 | 3,785,192.50 | 5.17 |
| COSTCO COS INC | 0.01 | 8/19/2017 | 2,000,000.00 | 1,712,228.38 | 1,763,800.00 | 0.01 |
| CYMER INC | 3.50 | 2/15/2009 | 2,000,000.00 | 2,040,000.00 | 2,040,000.00 | 3.43 |
| DIAMOND OFFSHORE DRILLING INC | 1.50 | 4/15/2031 | 8,500,000.00 | 7,860,629.33 | 7,821,700.00 | 1.63 |
| DURA PHARMACEUTICALS INC | 3.50 | 7/15/2002 | 1,150,000.00 | 1,142,180.00 | 1,142,180.00 | 3.52 |
| ECHOSTAR COMMUNICATIONS CORP | 5.75 | 5/15/2008 | 10,000,000.00 | 9,877,927.27 | 7,762,500.00 | 7.41 |
| ELAN FIN CORP LTD | 0.01 | 12/14/2018 | 16,700,000.00 | 9,357,308.28 | 8,016,000.00 | 0.02 |
| ELAN FIN CORP LTD | 0.01 | 12/14/2018 | 5,500,000.00 | 3,346,602.24 | 2,640,000.00 | 0.02 |
| EXTREME NETWORKS INC | 3.50 | 12/1/2006 | 3,000,000.00 | 2,980,496.38 | 2,501,250.00 | 4.20 |
| HANOVER COMPRESS HC | 4.75 | 3/15/2008 | 3,000,000.00 | 3,053,100.75 | 2,368,500.00 | 6.02 |
| HUMAN GENOME SCIENCES INC | 5.00 | 2/1/2007 | 6,500,000.00 | 6,500,000.00 | 4,923,750.00 | 6.60 |
| INTERNATIONAL RECTIFIER CORP | 4.25 | 7/15/2007 | 4,500,000.00 | 3,779,853.30 | 3,705,750.00 | 5.16 |
| INTERNATIONAL RECTIFIER CORP | 4.25 | 7/15/2007 | 3,000,000.00 | 3,000,000.00 | 2,470,500.00 | 5.16 |
| INVITROGEN CORP | 2.25 | 12/15/2006 | 4,000,000.00 | 4,000,000.00 | 3,115,000.00 | 2.89 |
| INVITROGEN INC | 2.25 | 12/15/2006 | 3,400,000.00 | 2,645,833.05 | 2,647,750.00 | 2.89 |
| IVAX CORPORATION | 5.50 | 5/15/2007 | 5,000,000.00 | 4,319,186.69 | 4,113,000.00 | 6.69 |
| KERR MCGEE CORP | 5.25 | 2/15/2010 | 8,000,000.00 | 8,161,888.18 | 8,841,600.00 | 4.75 |
| L 3 COMMUNICATIONS HLDGS INC | 4.00 | 9/15/2011 | 2,000,000.00 | 2,425,620.32 | 2,380,600.00 | 3.36 |
| LAMAR ADVERTISING CO | 5.25 | 9/15/2006 | 5,000,000.00 | 4,984,546.92 | 5,079,500.00 | 5.17 |
| LEAR CORP | 0.01 | 2/20/2022 | 15,000,000.00 | 6,328,676.67 | 6,637,500.00 | 0.02 |
| LIBERTY MEDIA CORP | 3.25 | 3/15/2031 | 8,000,000.00 | 8,098,042.16 | 7,560,000.00 | 3.44 |
| LIFEPOINT HOSPS INC | 4.50 | 6/1/2009 | 5,000,000.00 | 5,069,070.68 | 5,189,500.00 | 4.34 |
| LOWES COS INC | 0.01 | 2/16/2021 | 2,000,000.00 | 1,377,321.42 | 1,637,000.00 | 0.01 |
| LSI LOGIC CORP | 4.00 | 11/1/2006 | 2,000,000.00 | 1,906,417.28 | 1,622,500.00 | 4.93 |
| LSI LOGIC CORP | 4.25 | 3/15/2004 | 2,000,000.00 | 2,254,019.82 | 1,917,600.00 | 4.43 |
| MANUGISTICS GROUP INC | 5.00 | 11/1/2007 | 7,500,000.00 | 5,669,340.87 | 4,893,750.00 | 7.66 |
| MEDIACOM | 5.25 | 7/1/2006 | 6,700,000.00 | 6,753,528.76 | 5,175,750.00 | 6.80 |
| MERCURY INTERACTIVE CORP | 4.75 | 7/1/2007 | 13,000,000.00 | 10,804,162.61 | 10,336,300.00 | 5.97 |
| OMNICOM GROUP INC | 0.00 | 2/7/2031 | 13,500,000.00 | 12,757,677.00 | 12,555,000.00 | 0.00 |
| ONI SYSY CORP | 5.00 | 10/15/2005 | 10,675,000.00 | 7,769,793.84 | 7,525,875.00 | 7.09 |
| PHOTRONICS INC | 4.75 | 12/15/2006 | 2,000,000.00 | 2,348,922.73 | 1,765,000.00 | 5.38 |
| PRIDE INTL INC DEL | 2.50 | 3/1/2007 | 3,000,000.00 | 3,387,690.68 | 3,393,750.00 | 2.21 |
| RATIONAL SOFTWARE CORP | 5.00 | 2/1/2007 | 7,500,000.00 | 7,179,343.81 | 6,075,000.00 | 6.17 |
| RF MICRO DEVICES | 3.75 | 8/15/2005 | 5,000,000.00 | 3,990,101.00 | 3,844,000.00 | 4.88 |
| ROYAL CARIBBEAN CRUISES LTD | 0.00 | 2/2/2021 | 10,000,000.00 | 3,641,245.40 | 3,590,000.00 | 0.00 |
| ROYAL CARIBBEAN CRUISES LTD | 0.01 | 5/18/2021 | 17,500,000.00 | 5,602,427.66 | 7,035,000.00 | 0.02 |
| RURAL CELLULAR CORP | 9.75 | 1/15/2010 | 3,000,000.00 | 3,000,000.00 | 1,440,000.00 | 20.31 |
| SIEBEL SYS INC | 5.50 | 9/15/2006 | 1,000,000.00 | 1,173,131.64 | 1,010,500.00 | 5.44 |
| SONIC AUTOMOTIVE INC | 5.25 | 5/7/2009 | 2,000,000.00 | 2,000,000.00 | 1,774,000.00 | 5.92 |
| SYMANTEC CORP | 3.00 | 11/1/2006 | 1,000,000.00 | 1,000,000.00 | 1,208,750.00 | 2.48 |
| TEVA PHARMACEUTICALS | 1.50 | 10/15/2005 | 5,000,000.00 | 5,000,000.00 | 5,219,000.00 | 1.44 |
| TRANSOCEAN SEDCO FOREX INC | 0.01 | 5/24/2020 | 4,300,000.00 | 2,680,484.87 | 2,606,660.00 | 0.02 |
| TYCO INTL LTD | 0.01 | 11/17/2020 | 27,500,000.00 | 17,553,129.61 | 17,050,000.00 | 0.02 |
| TYCO INTL LTD | 0.00 | 11/17/2020 | 42,500,000.00 | 26,674,590.36 | 26,350,000.00 | 0.00 |
| VERITAS SOFTWARE CORP | 1.86 | 8/13/2006 | 2,500,000.00 | 4,489,507.77 | 2,110,500.00 | 2.20 |
| VERTEX PHARMACEUTICALS INC | 5.00 | 9/19/2007 | 7,000,000.00 | 6,084,526.18 | 5,325,600.00 | 6.57 |
| WELLPOINT HEALTH NETWORKS INC | 0.01 | 7/2/2019 | 750,000.00 | 613,401.21 | 809,100.00 | 0.01 |
| XL CAP LTD | 0.00 | 5/23/2021 | 2,000,000.00 | 1,241,128.86 | 1,239,200.00 | 0.00 |
| | | | | | |
| Total | 501,532,000.00 | $441,886,981.96 | $364,220,068.50 | |
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