ARKET ESTIMATED CURRENT SHORT(S) VALUE ANNUAL INCOME YIELD I 01 4,000,000 MASCO CORP CVT 45.87500 1,835,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 130.62500 3,918,750.00 79,750 .00 2.010 02.6250 05/15/2023 01 2,700,000 RPM INTL INC SR NT CV 33 53.87500 1,454,625.00 37,503.00 2.5

NVITROGEN CORP CVT 144A 111.25000 194,667.50 03.2500 06/15/2025 01 4,000,000 MASCO CORP CVT 47.37500 1,895,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 121.00000 3,630,000.00 02.6250 05/15/2023 01 2,700,000 RPM INTL INC SR NT CV 33 54.75000 1,478,250.00 01.3890 05/13/2033 01 4,000,000

INC NT CVT 02.0000 09/01/2021 01 175,000 INVITROGEN CORP CVT 144A 03.2500 06/15/2025 01 4,000,000 MASCO CORP CVT 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 02.6250 05/15/2023 01 2,700,000 RPM INTL INC SR NT CV 33 01.3890 05/13/2033 01 4,000,000 SUPERVALU INC SR CVT BOND 11/02/2031 01 3,000

BONDS 01 11/15/05 INTEREST DUKE ENERGY CORP CVT 17,500.00 01.7500 05/15/2023 INTEREST CREDIT 11/15/05 ON 2000000 BONDS 01 11/15/05 INTEREST PPL ENERGY SUPPLY LLC CVT 39,375.00 02.6250 05/15/2023 INTEREST CREDIT 11/15/05 ON 3000000 BONDS 01 11/15/05 INTEREST CENTERPOINT ENERGY INC CVT SER B 37,500.00 0

CVT 144.00000 2,304,000.00 32,000.00 1.389 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 45.37500 1,815,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 119.00000 3,570,000.00 78,750.00 2.206 02.6250 05/15/2023 01 3,830,000 RPM INTL INC SR NT CV 33 54.62500 2,092,137.50 53,198.70 2.543

INS HLDGS INC NT CVT 138.00000 2,208,000.00 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 45.50000 1,820,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 118.82700 3,564,810.00 02.6250 05/15/2023 01 3,830,000 RPM INTL INC SR NT CV 33 52.00000 1,991,600.00 01.3890 05/13/2033 01 4,000,000

CVT 142.00000 2,272,000.00 32,000.00 1.408 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 45.18870 1,807,548.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 125.69400 3,770,820.00 78,750.00 2.088 02.6250 05/15/2023 01 2,700,000 RPM INTL INC SR NT CV 33 53.35000 1,440,450.00 37,503.00 2.604

L AMOUNTS IN US DOLLAR ••* TYPE LONG OR DESCRIPTION SHORT(S) INV REP 20ST PORTFOLIO 01 4,000,000 MASCO CORP CVT 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 02.6250 05/15/2023 01 3,830,000 RPM INTL INC SR NT CV 33 01.3890 05/13/2033 01 4,000,000 SUPERVALU INC SR CVT BOND 11/02/2031 01 500,0

TH TYPE DATE TRANSACTION QUANTITY DESCRIPTION PRICE DEBIT CREDIT 01 12/06 MRKD/MARKET MARK TO MARKET 112,858.97 01 12/06 TND -3,000,000 PPL ENERGY SUPPLY LLC CVT "CONTRA" 3,000,000.00 02.6250 05/15/2023 TENDER CREDIT 03 12/06 MRKD/MARKET MARK TO MARKET 112,858.97 03 12/06 JOURNAL -1,400 RPM INCORP

15/2033 HCC INS HLDGS INC NT CVT 151.50000 2,424,000.00 32,000.00 1.320 02.0000 09/01/2021 MASCO CORP CVT 45.75000 1,830,000.00 07/20/2031 PPL ENERGY SUPPLY LLC CVT 127.00000 3,810,000.00 78,750.00 2.067 02.6250 05/15/2023 RPM INTL INC SR NT CV 33 53.62500 2,053,837.50 53,198.70 2.590 01.3890 05/13

ENERGY 03. CHENIERE ENERGY INC 02. (SI CHENIERE ENERGY INC 02. EDO CORP CVT SR SUB 04. HCC INS HLDGS INC N 02. MASCO CORP CVT 07/20/2031 PPL ENERGY SUPPLY LLC CVT 02.6250 05/15/2023 RPM INTL INC SR NT CV 33 01.3890 05/13/2033 UNISOURCE ENERGY CORP CVT 144A 04.5000 03/01/2035 VALASSIS COMMUNICATIONS IN

CVT 144.75000 2,316,000.00 32,000.00 1.382 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 46.00000 1,840,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 119.25000 3,577,500.00 78,750.00 2.201 02.6250 05/15/2023 01 3,830,000 RPM INTL INC SR NT CV 33 55.25000 2,116,075.00 53,198.70 2.514

INS HLDGS INC NT CVT 138.87500 2,222,000.00 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 45.87500 1,835,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 128.25000 3,847,500.00 02.6250 05/15/2023 01 3,830,000 RPM INTL INC SR NT CV 33 53.75000 2,058,625.00 01.3890 05/13/2033 01 4,000,000

INS HLDGS INC NT CVT 145.50000 2,328,000.00 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 45.37500 1,815,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 119.50000 3,585,000.00 02.6250 05/15/2023 01 3,830,000 RPM INTL INC SR NT CV 33 57.50000 2,202,250.00 01.3890 05/13/2033 01 4,000,000

IRE TO CITIBANK FUT MGN 03 11/20 MRKD/MARKET MARK TO MARKET 143,435.23 01 11/21 MRKD/MARKET MARK TO MARKET 69,253.10 01 11/21 CNG 3,000,000 PPL ENERGY SUPPLY LLC CVT "CONTRA" 02.6250 05/15/2023 CONVERSION RECEIVE 01 11/21 CNG 3,000,000 PPL ENERGY SUPPLY CVT "CONTRA" 02.6250 05/15/2023 CONVERSION RECEIV

CVT 142.12500 2,274,000.00 32,000.00 1.407 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 46.75000 1,870,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT "CONTRA" 146.00000 4,380,000.00 78,750.00 1.798 02.6250 05/15/2023 01 3,000,000 PPL ENERGY SUPPLY CVT "CONTRA" 146.00000 4,380,000.00

CVT 157.75000 2,524,000.00 32,000.00 1.268 02.0000 09/01/2021 01 4,000,000 MASCO CORP CVT 46.12500 1,845,000.00 07/20/2031 01 3,000,000 PPL ENERGY SUPPLY LLC CVT 116.05000 3,481,500.00 78,750.00 2.262 CREDIT SUISSE 02.6250 05/15/2023 CREDIT SUISSE SECURITIES(USA) LLC ELEVEN MADISON AVENUE NEW YORK

15/2033 HCC INS HLDGS INC NT CVT 163.75000 2,620,000.00 32,000.00 1.221 02.0000 09/01/2021 MASCO CORP CVT 46.00000 1,840,000.00 07/20/2031 PPL ENERGY SUPPLY LLC CVT 118.62500 3,558,750.00 78,750.00 2.213 02.6250 05/15/2023 RPM INTL INC SR NT CV 33 53.12500 2,034,687.50 53,198.70 2.615 01.3890 05/13

TROGEN CORP CVT 144A MASCO CORP CVT 02.2500 08/01/2012 02.1250 04/15/2023 01.7500 05/15/2023 06.2500 07/15/2033 03.2500 06/15/2025 07/20/2031 PPL ENERGY SUPPLY LLC CVT RPM INTL INC SR NT CV 33 SUPERVALU INC SR CVT BOND TJX COS INC CONV VORNADO RLTY L P DEB EXC OTHER ASSETS 01 3,000,000 * * * EFTA015935

01.3890 05/13/2033 INTEREST CREDIT 11/13/05 ON 2700000 BONDS DUKE ENERGY CORP CVT 01.7500 05/15/2023 INTEREST CREDIT 11/15/05 ON 2000000 BONDS PPL ENERGY SUPPLY LLC CVT 02.6250 05/15/2023 INTEREST CREDIT 11/15/05 ON 3000000 BONDS CENTERPOINT ENERGY INC CVT SER B 03.7500 05/15/2023 INTEREST CREDIT 11/15/05