-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, BkwC9rykHVyncDqpPqodqvHEMQ+7CPwULqY/kzS9iLnIYcjG/il6fRofv3opCXWD XDE3ygrb742ZOuiBMw3vRw== 0001264130-06-000053.txt : 20060515 0001264130-06-000053.hdr.sgml : 20060515 20060515131404 ACCESSION NUMBER: 0001264130-06-000053 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20060331 FILED AS OF DATE: 20060515 DATE AS OF CHANGE: 20060515 EFFECTIVENESS DATE: 20060515 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ASCEND CAPITAL LLC CENTRAL INDEX KEY: 0001165501 IRS NUMBER: 880440610 STATE OF INCORPORATION: CA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-10128 FILM NUMBER: 06838898 BUSINESS ADDRESS: STREET 1: 1 MONTGOMERY ST STREET 2: STE 3300 CITY: SAN FRANCISCO STATE: CA ZIP: 94104 BUSINESS PHONE: 4152177733 MAIL ADDRESS: STREET 1: 1 MONTGOMERY ST STREET 2: STE 3300 CITY: SAN FRANCISCO STATE: CA ZIP: 94104 13F-HR 1 form13fhr_acq12006.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F Report for the Calendar Year or Quarter Ended: March 31, 2006 Check here if Amendment [ ] Amendment Number: ________ Institutional Investment Manager Filing this Report : Name: Ascend Capital, LLC Address: 600 Montgomery Street, 37th Floor, San Francisco, CA 94111 Form 13F File Number: 028-10128 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all the information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Benjamin D. Slavet Title: Chief Financial Officer Phone: 415-217-8304 Signature, Place, and Date of Signing: /s/ Benjamin D. Slavet San Francisco, California May 15, 2006 ---------------------- ------------------------- --------------- [Signature] [City, State] [Date] Report Type: [X] 13F HOLDINGS REPORT [ ] 13F NOTICE [ ] 13F COMBINATION REPORT List of Other Managers Reporting for this Manager: None Form 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: Five Form 13F Information Table Entry Total: 407 Form 13F Information Table Value Total: $833,655 (in thousands) List of Other Included Managers: No. 1 Form 13F File Number: 028-11218 Name: Ascend Capital Limited Partnership No. 2 Form 13F File Number: 028-11221 Name: Ascend Partners Fund II LP No. 3 Form 13F File Number: 028-11220 Name: Ascend Partners Fund I, Ltd. No. 4 Form 13F File Number: 028-11219 Name: Ascend Partners Fund II, Ltd. No. 5 Form 13F File Number: 028-11223 Name: Malcolm P. Fairbairn
Market Name of Title of CUSIP Value SH/Prn SH/ Put/ Investment Other Voting Authority Issuer Class (x $1000) Amount Prn Call Discretion Managers Sole Shared None ACUITY BRANDS INC COM 00508Y102 859 21,478 SH Defined 1,2,5 21,478 ACUITY BRANDS INC COM 00508Y102 572 14,301 SH Defined 1,4,5 14,301 ACUITY BRANDS INC COM 00508Y102 1,842 46,041 SH Defined 1,3,5 46,041 ACUITY BRANDS INC COM 00508Y102 970 24,256 SH Defined 1,5 24,256 ADVANCED MICRO DEVICES INC COM 007903107 840 25,324 SH Defined 1,2,5 25,324 ADVANCED MICRO DEVICES INC COM 007903107 559 16,863 SH Defined 1,4,5 16,863 ADVANCED MICRO DEVICES INC COM 007903107 1,800 54,287 SH Defined 1,3,5 54,287 ADVANCED MICRO DEVICES INC COM 007903107 946 28,526 SH Defined 1,5 28,526 ALCOA INC COM 013817101 6,037 197,535 SH Defined 1,2,5 197,535 ALCOA INC COM 013817101 4,019 131,528 SH Defined 1,4,5 131,528 ALCOA INC COM 013817101 12,940 423,443 SH Defined 1,3,5 423,443 ALCOA INC COM 013817101 6,817 223,079 SH Defined 1,5 223,079 ALPHA NATURAL RESOURCES INC COM 02076X102 1,647 71,166 SH Defined 1,2,5 71,166 ALPHA NATURAL RESOURCES INC COM 02076X102 1,096 47,382 SH Defined 1,4,5 47,382 ALPHA NATURAL RESOURCES INC COM 02076X102 3,533 152,661 SH Defined 1,3,5 152,661 ALPHA NATURAL RESOURCES INC COM 02076X102 1,856 80,191 SH Defined 1,5 80,191 AMERICAN COMMERCIAL LINES INC COM 025195207 923 19,564 SH Defined 1,2,5 19,564 AMERICAN COMMERCIAL LINES INC COM 025195207 615 13,027 SH Defined 1,4,5 13,027 AMERICAN COMMERCIAL LINES INC COM 025195207 1,979 41,934 SH Defined 1,3,5 41,934 AMERICAN COMMERCIAL LINES INC COM 025195207 1,043 22,095 SH Defined 1,5 22,095 AMERICAN STANDARD COMPANIES COM 029712106 3,474 81,047 SH Defined 1,2,5 81,047 AMERICAN STANDARD COMPANIES COM 029712106 2,313 53,965 SH Defined 1,4,5 53,965 AMERICAN STANDARD COMPANIES COM 029712106 7,446 173,736 SH Defined 1,3,5 173,736 AMERICAN STANDARD COMPANIES COM 029712106 3,923 91,528 SH Defined 1,5 91,528 ANHEUSER BUSCH COMPANIES INC COM 035229103 2,132 49,859 SH Defined 1,2,5 49,859 ANHEUSER BUSCH COMPANIES INC COM 035229103 1,420 33,204 SH Defined 1,4,5 33,204 ANHEUSER BUSCH COMPANIES INC COM 035229103 4,567 106,775 SH Defined 1,3,5 106,775 ANHEUSER BUSCH COMPANIES INC COM 035229103 2,406 56,259 SH Defined 1,5 56,259 APOLLO INVT CORPORATION COM 03761U106 2,887 162,080 SH Defined 1,2,5 162,080 APOLLO INVT CORPORATION COM 03761U106 1,922 107,920 SH Defined 1,4,5 107,920 APOLLO INVT CORPORATION COM 03761U106 6,188 347,440 SH Defined 1,3,5 347,440 APOLLO INVT CORPORATION COM 03761U106 3,251 182,560 SH Defined 1,5 182,560 APPLIED MATLS INC COM 038222105 1,755 100,209 SH Defined 1,2,5 100,209 APPLIED MATLS INC COM 038222105 1,170 66,793 SH Defined 1,4,5 66,793 APPLIED MATLS INC COM 038222105 3,765 215,039 SH Defined 1,3,5 215,039 APPLIED MATLS INC COM 038222105 1,983 113,256 SH Defined 1,5 113,256 ASE TEST LTD ORD Y02516105 533 59,265 SH Defined 1,2,5 59,265 ASE TEST LTD ORD Y02516105 356 39,517 SH Defined 1,4,5 39,517 ASE TEST LTD ORD Y02516105 1,143 127,027 SH Defined 1,3,5 127,027 ASE TEST LTD ORD Y02516105 601 66,827 SH Defined 1,5 66,827 ASHLAND INC COM 044209104 1,512 21,273 SH Defined 1,2,5 21,273 ASHLAND INC COM 044209104 1,007 14,165 SH Defined 1,4,5 14,165 ASHLAND INC COM 044209104 3,241 45,602 SH Defined 1,3,5 45,602 ASHLAND INC COM 044209104 1,703 23,960 SH Defined 1,5 23,960 ASML HLDG NV N Y SHS N07059111 1,238 60,780 SH Defined 1,2,5 60,780 ASML HLDG NV N Y SHS N07059111 824 40,470 SH Defined 1,4,5 40,470 ASML HLDG NV N Y SHS N07059111 2,654 130,290 SH Defined 1,3,5 130,290 ASML HLDG NV N Y SHS N07059111 1,398 68,640 SH Defined 1,5 68,640 AUTODESK INC COM 052769106 647 16,799 SH Defined 1,2,5 16,799 AUTODESK INC COM 052769106 431 11,186 SH Defined 1,4,5 11,186 AUTODESK INC COM 052769106 1,387 36,012 SH Defined 1,3,5 36,012 AUTODESK INC COM 052769106 729 18,921 SH Defined 1,5 18,921 AVAYA INC COM 053499109 847 74,943 SH Defined 1,2,5 74,943 AVAYA INC COM 053499109 564 49,901 SH Defined 1,4,5 49,901 AVAYA INC COM 053499109 1,816 160,702 SH Defined 1,3,5 160,702 AVAYA INC COM 053499109 954 84,454 SH Defined 1,5 84,454 BECKMAN COULTER INC COM 075811109 2,531 46,388 SH Defined 1,2,5 46,388 BECKMAN COULTER INC COM 075811109 1,686 30,887 SH Defined 1,4,5 30,887 BECKMAN COULTER INC COM 075811109 5,426 99,439 SH Defined 1,3,5 99,439 BECKMAN COULTER INC COM 075811109 2,859 52,387 SH Defined 1,5 52,387 BED BATH & BEYOND INC COM 075896100 1,089 28,364 SH Defined 1,2,5 28,364 BED BATH & BEYOND INC COM 075896100 725 18,886 SH Defined 1,4,5 18,886 BED BATH & BEYOND INC COM 075896100 2,335 60,802 SH Defined 1,3,5 60,802 BED BATH & BEYOND INC COM 075896100 1,227 31,948 SH Defined 1,5 31,948 CENTRAL EUROPEAN DIST CORP COM 153435102 384 9,998 SH Defined 1,2,5 9,998 CENTRAL EUROPEAN DIST CORP COM 153435102 758 19,719 SH Defined 1,4,5 19,719 CENTRAL EUROPEAN DIST CORP COM 153435102 780 20,283 SH Defined 1,3,5 20,283 CERADYNE INC COM 156710105 1,011 20,260 SH Defined 1,2,5 20,260 CERADYNE INC COM 156710105 673 13,490 SH Defined 1,4,5 13,490 CERADYNE INC COM 156710105 2,167 43,430 SH Defined 1,3,5 43,430 CERADYNE INC COM 156710105 1,139 22,820 SH Defined 1,5 22,820 CF INDUSTRIES HOLDINGS INC COM 125269100 1,058 62,258 SH Defined 1,2,5 62,258 CF INDUSTRIES HOLDINGS INC COM 125269100 704 41,455 SH Defined 1,4,5 41,455 CF INDUSTRIES HOLDINGS INC COM 125269100 2,268 133,470 SH Defined 1,3,5 133,470 CF INDUSTRIES HOLDINGS INC COM 125269100 1,191 70,117 SH Defined 1,5 70,117 CHARTERED SEMICONDUCTOR MFG ADR 16133R106 256 26,520 SH Defined 1,2,5 26,520 CHARTERED SEMICONDUCTOR MFG ADR 16133R106 171 17,658 SH Defined 1,4,5 17,658 CHARTERED SEMICONDUCTOR MFG ADR 16133R106 550 56,856 SH Defined 1,3,5 56,856 CHARTERED SEMICONDUCTOR MFG ADR 16133R106 289 29,866 SH Defined 1,5 29,866 CISCO SYS INC. COM 17275R102 2,194 101,240 SH Defined 1,2,5 101,240 CISCO SYS INC. COM 17275R102 1,461 67,410 SH Defined 1,4,5 67,410 CISCO SYS INC. COM 17275R102 4,703 217,020 SH Defined 1,3,5 217,020 CISCO SYS INC. COM 17275R102 2,478 114,330 SH Defined 1,5 114,330 COGNOS INC COM 19244C109 686 17,626 SH Defined 1,2,5 17,626 COGNOS INC COM 19244C109 457 11,736 SH Defined 1,4,5 11,736 COGNOS INC COM 19244C109 1,470 37,785 SH Defined 1,3,5 37,785 COGNOS INC COM 19244C109 772 19,853 SH Defined 1,5 19,853 COMPANHIA VALE DO RIO DOCE SPON ADR PFD 204412100 1,121 25,932 SH Defined 1,2,5 25,932 COMPANHIA VALE DO RIO DOCE SPON ADR PFD 204412100 746 17,267 SH Defined 1,4,5 17,267 COMPANHIA VALE DO RIO DOCE SPON ADR PFD 204412100 2,403 55,595 SH Defined 1,3,5 55,595 COMPANHIA VALE DO RIO DOCE SPON ADR PFD 204412100 1,263 29,206 SH Defined 1,5 29,206 COMSTOCK RES INC COM NEW 205768203 1,360 45,808 SH Defined 1,2,5 45,808 COMSTOCK RES INC COM NEW 205768203 906 30,501 SH Defined 1,4,5 30,501 COMSTOCK RES INC COM NEW 205768203 2,915 98,195 SH Defined 1,3,5 98,195 COMSTOCK RES INC COM NEW 205768203 1,536 51,732 SH Defined 1,5 51,732 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 2,267 96,340 SH Defined 1,2,5 96,340 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 1,509 64,148 SH Defined 1,4,5 64,148 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 4,859 206,521 SH Defined 1,3,5 206,521 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 2,553 108,509 SH Defined 1,5 108,509 CONSECO INC COM NEW 208464883 6,707 270,222 SH Defined 1,2,5 270,222 CONSECO INC COM NEW 208464883 4,466 179,925 SH Defined 1,4,5 179,925 CONSECO INC COM NEW 208464883 14,377 579,256 SH Defined 1,3,5 579,256 CONSECO INC COM NEW 208464883 7,574 305,166 SH Defined 1,5 305,166 CONSECO INC PFD B CV 5.50% 208464867 470 15,747 SH Defined 1,2,5 15,747 CONSECO INC PFD B CV 5.50% 208464867 313 10,485 SH Defined 1,4,5 10,485 CONSECO INC PFD B CV 5.50% 208464867 1,008 33,757 SH Defined 1,3,5 33,757 CONSECO INC PFD B CV 5.50% 208464867 531 17,783 SH Defined 1,5 17,783 COPA HOLDINGS SA CL A P31076105 2,221 97,189 SH Defined 1,2,5 97,189 COPA HOLDINGS SA CL A P31076105 1,479 64,712 SH Defined 1,4,5 64,712 COPA HOLDINGS SA CL A P31076105 4,761 208,340 SH Defined 1,3,5 208,340 COPA HOLDINGS SA CL A P31076105 2,507 109,702 SH Defined 1,5 109,702 CORNING INC COM 219350105 533 19,800 SH Defined 1,2,5 19,800 CORNING INC COM 219350105 355 13,200 SH Defined 1,4,5 13,200 CORNING INC COM 219350105 1,146 42,567 SH Defined 1,3,5 42,567 CORNING INC COM 219350105 602 22,357 SH Defined 1,5 22,357 CREDENCE SYS CORP NOTE 1.5000% 5/1 225302AF5 647 695,800 PRN Defined 1,2,5 695,800 CREDENCE SYS CORP NOTE 1.5000% 5/1 225302AF5 1,044 1,122,600 PRN Defined 1,4,5 1,122,600 CREDENCE SYS CORP NOTE 1.5000% 5/1 225302AF5 1,099 1,181,600 PRN Defined 1,3,5 1,181,600 CSK AUTO CORP COM 125965103 925 66,702 SH Defined 1,2,5 66,702 CSK AUTO CORP COM 125965103 617 44,513 SH Defined 1,4,5 44,513 CSK AUTO CORP COM 125965103 1,987 143,269 SH Defined 1,3,5 143,269 CSK AUTO CORP COM 125965103 1,047 75,516 SH Defined 1,5 75,516 DEALERTRACK HLDGS INC COM 242309102 1,880 88,218 SH Defined 1,2,5 88,218 DEALERTRACK HLDGS INC COM 242309102 1,251 58,707 SH Defined 1,4,5 58,707 DEALERTRACK HLDGS INC COM 242309102 4,031 189,149 SH Defined 1,3,5 189,149 DEALERTRACK HLDGS INC COM 242309102 2,122 99,584 SH Defined 1,5 99,584 DENNYS CORP COM 24869P104 907 190,444 SH Defined 1,2,5 190,444 DENNYS CORP COM 24869P104 604 126,806 SH Defined 1,4,5 126,806 DENNYS CORP COM 24869P104 1,943 408,242 SH Defined 1,3,5 408,242 DENNYS CORP COM 24869P104 1,021 214,508 SH Defined 1,5 214,508 DSW INC CL A 23334L102 954 30,456 SH Defined 1,2,5 30,456 DSW INC CL A 23334L102 635 20,282 SH Defined 1,4,5 20,282 DSW INC CL A 23334L102 2,034 64,933 SH Defined 1,3,5 64,933 DSW INC CL A 23334L102 1,078 34,404 SH Defined 1,5 34,404 EATON CORP COM 278058102 1,138 15,599 SH Defined 1,2,5 15,599 EATON CORP COM 278058102 758 10,387 SH Defined 1,4,5 10,387 EATON CORP COM 278058102 2,440 33,442 SH Defined 1,3,5 33,442 EATON CORP COM 278058102 1,282 17,572 SH Defined 1,5 17,572 ENDWAVE CORP COM NEW 29264A206 499 33,996 SH Defined 1,2,5 33,996 ENDWAVE CORP COM NEW 29264A206 333 22,636 SH Defined 1,4,5 22,636 ENDWAVE CORP COM NEW 29264A206 1,071 72,876 SH Defined 1,3,5 72,876 ENDWAVE CORP COM NEW 29264A206 564 38,393 SH Defined 1,5 38,393 FLAGSTAR BANCORP INC COM 337930101 229 15,195 SH Defined 1,2,5 15,195 FLAGSTAR BANCORP INC COM 337930101 153 10,118 SH Defined 1,4,5 10,118 FLAGSTAR BANCORP INC COM 337930101 492 32,573 SH Defined 1,3,5 32,573 FLAGSTAR BANCORP INC COM 337930101 259 17,159 SH Defined 1,5 17,159 FOOT LOCKER INC COM 344849104 871 36,468 SH Defined 1,2,5 36,468 FOOT LOCKER INC COM 344849104 580 24,282 SH Defined 1,4,5 24,282 FOOT LOCKER INC COM 344849104 1,867 78,174 SH Defined 1,3,5 78,174 FOOT LOCKER INC COM 344849104 983 41,184 SH Defined 1,5 41,184 FOREST OIL CORP COM 346091705 2,880 77,453 SH Defined 1,2,5 77,453 FOREST OIL CORP COM 346091705 1,917 51,570 SH Defined 1,4,5 51,570 FOREST OIL CORP COM 346091705 6,173 166,043 SH Defined 1,3,5 166,043 FOREST OIL CORP COM 346091705 3,243 87,234 SH Defined 1,5 87,234 FOUNDRY NETWORKS INC COM 35063R100 589 32,416 SH Defined 1,2,5 32,416 FOUNDRY NETWORKS INC COM 35063R100 392 21,584 SH Defined 1,4,5 21,584 FOUNDRY NETWORKS INC COM 35063R100 1,262 69,488 SH Defined 1,3,5 69,488 FOUNDRY NETWORKS INC COM 35063R100 663 36,512 SH Defined 1,5 36,512 FREESCALE SEMICONDUCTOR INC COM CL A 35687M107 685 24,618 SH Defined 1,2,5 24,618 FREESCALE SEMICONDUCTOR INC COM CL A 35687M107 456 16,391 SH Defined 1,4,5 16,391 FREESCALE SEMICONDUCTOR INC COM CL A 35687M107 1,468 52,771 SH Defined 1,3,5 52,771 FREESCALE SEMICONDUCTOR INC COM CL A 35687M107 771 27,728 SH Defined 1,5 27,728 GATX CORP COM 361448103 1,506 36,468 SH Defined 1,2,5 36,468 GATX CORP COM 361448103 1,003 24,283 SH Defined 1,4,5 24,283 GATX CORP COM 361448103 3,228 78,175 SH Defined 1,3,5 78,175 GATX CORP COM 361448103 1,696 41,074 SH Defined 1,5 41,074 GENERAL ELECTRIC CO COM 369604103 5,810 167,063 SH Defined 1,2,5 167,063 GENERAL ELECTRIC CO COM 369604103 3,867 111,191 SH Defined 1,4,5 111,191 GENERAL ELECTRIC CO COM 369604103 12,463 358,333 SH Defined 1,3,5 358,333 GENERAL ELECTRIC CO COM 369604103 6,570 188,894 SH Defined 1,5 188,894 GENESCO INC COM 371532102 709 18,234 SH Defined 1,2,5 18,234 GENESCO INC COM 371532102 472 12,141 SH Defined 1,4,5 12,141 GENESCO INC COM 371532102 1,520 39,088 SH Defined 1,3,5 39,088 GENESCO INC COM 371532102 799 20,537 SH Defined 1,5 20,537 GENESIS HEALTHCARE CORP COM 37184D101 2,537 57,741 SH Defined 1,2,5 57,741 GENESIS HEALTHCARE CORP COM 37184D101 1,689 38,447 SH Defined 1,4,5 38,447 GENESIS HEALTHCARE CORP COM 37184D101 5,439 123,776 SH Defined 1,3,5 123,776 GENESIS HEALTHCARE CORP COM 37184D101 2,864 65,186 SH Defined 1,5 65,186 GENWORTH FINANCIAL INC COM CL A 37247D106 1,355 40,520 SH Defined 1,2,5 40,520 GENWORTH FINANCIAL INC COM CL A 37247D106 902 26,980 SH Defined 1,4,5 26,980 GENWORTH FINANCIAL INC COM CL A 37247D106 2,904 86,860 SH Defined 1,3,5 86,860 GENWORTH FINANCIAL INC COM CL A 37247D106 1,530 45,760 SH Defined 1,5 45,760 GLOBAL INDS LTD COM 379336100 1,909 131,712 SH Defined 1,2,5 131,712 GLOBAL INDS LTD COM 379336100 1,270 87,665 SH Defined 1,4,5 87,665 GLOBAL INDS LTD COM 379336100 4,088 282,152 SH Defined 1,3,5 282,152 GLOBAL INDS LTD COM 379336100 2,156 148,771 SH Defined 1,5 148,771 GLOBALSANTAFE CORP COM G3930E101 929 15,296 SH Defined 1,2,5 15,296 GLOBALSANTAFE CORP COM G3930E101 619 10,185 SH Defined 1,4,5 10,185 GLOBALSANTAFE CORP COM G3930E101 1,992 32,790 SH Defined 1,3,5 32,790 GLOBALSANTAFE CORP COM G3930E101 1,049 17,274 SH Defined 1,5 17,274 HARLAND JOHN H CO COM 412693103 796 20,259 SH Defined 1,2,5 20,259 HARLAND JOHN H CO COM 412693103 530 13,488 SH Defined 1,4,5 13,488 HARLAND JOHN H CO COM 412693103 1,707 43,444 SH Defined 1,3,5 43,444 HARLAND JOHN H CO COM 412693103 896 22,809 SH Defined 1,5 22,809 HARLEY DAVIDSON INC COM 412822108 1,640 31,606 SH Defined 1,2,5 31,606 HARLEY DAVIDSON INC COM 412822108 1,092 21,044 SH Defined 1,4,5 21,044 HARLEY DAVIDSON INC COM 412822108 3,515 67,750 SH Defined 1,3,5 67,750 HARLEY DAVIDSON INC COM 412822108 1,847 35,600 SH Defined 1,5 35,600 HEALTHSOUTH CORP COM 421924101 2,831 567,280 SH Defined 1,2,5 567,280 HEALTHSOUTH CORP COM 421924101 1,885 377,720 SH Defined 1,4,5 377,720 HEALTHSOUTH CORP COM 421924101 6,068 1,216,040 SH Defined 1,3,5 1,216,040 HEALTHSOUTH CORP COM 421924101 3,197 640,639 SH Defined 1,5 640,639 HERCULES INC COM 427056106 3,017 218,590 SH Defined 1,5 218,590 HERCULES INC COM 427056106 2,671 193,564 SH Defined 1,2,5 193,564 HERCULES INC COM 427056106 1,779 128,884 SH Defined 1,4,5 128,884 HERCULES INC COM 427056106 5,726 414,932 SH Defined 1,3,5 414,932 HERMAN MILLER INC COM 600544100 1,853 57,185 SH Defined 1,2,5 57,185 HERMAN MILLER INC COM 600544100 1,234 38,077 SH Defined 1,4,5 38,077 HERMAN MILLER INC COM 600544100 3,972 122,583 SH Defined 1,3,5 122,583 HERMAN MILLER INC COM 600544100 2,092 64,560 SH Defined 1,5 64,560 HOME DEPOT INC COM 437076102 1,328 31,405 SH Defined 1,2,5 31,405 HOME DEPOT INC COM 437076102 885 20,911 SH Defined 1,4,5 20,911 HOME DEPOT INC COM 437076102 2,848 67,321 SH Defined 1,3,5 67,321 HOME DEPOT INC COM 437076102 1,500 35,468 SH Defined 1,5 35,468 INVESTOOLS INC COM 46145P103 1,081 131,813 SH Defined 1,2,5 131,813 INVESTOOLS INC COM 46145P103 720 87,767 SH Defined 1,4,5 87,767 INVESTOOLS INC COM 46145P103 2,317 282,559 SH Defined 1,3,5 282,559 INVESTOOLS INC COM 46145P103 1,221 148,859 SH Defined 1,5 148,859 IPAYMENT INC COM 46262E105 6,990 163,121 SH Defined 1,2,5 163,121 IPAYMENT INC COM 46262E105 4,654 108,613 SH Defined 1,4,5 108,613 IPAYMENT INC COM 46262E105 14,983 349,672 SH Defined 1,3,5 349,672 IPAYMENT INC COM 46262E105 7,894 184,216 SH Defined 1,5 184,216 JUPITERMEDIA CORP COM 48207D101 2,602 144,737 SH Defined 1,2,5 144,737 JUPITERMEDIA CORP COM 48207D101 1,733 96,373 SH Defined 1,4,5 96,373 JUPITERMEDIA CORP COM 48207D101 5,579 310,264 SH Defined 1,3,5 310,264 JUPITERMEDIA CORP COM 48207D101 2,939 163,454 SH Defined 1,5 163,454 KERR MCGEE CORP COM 492386107 1,354 14,182 SH Defined 1,2,5 14,182 KERR MCGEE CORP COM 492386107 902 9,443 SH Defined 1,4,5 9,443 KERR MCGEE CORP COM 492386107 2,903 30,401 SH Defined 1,3,5 30,401 KERR MCGEE CORP COM 492386107 1,529 16,016 SH Defined 1,5 16,016 KINDRED HEALTHCARE INC COM 494580103 1,386 55,107 SH Defined 1,2,5 55,107 KINDRED HEALTHCARE INC COM 494580103 923 36,693 SH Defined 1,4,5 36,693 KINDRED HEALTHCARE INC COM 494580103 2,971 118,130 SH Defined 1,3,5 118,130 KINDRED HEALTHCARE INC COM 494580103 1,561 62,070 SH Defined 1,5 62,070 KNOLL INC COM 498904200 1,728 81,064 SH Defined 1,2,5 81,064 KNOLL INC COM 498904200 1,151 53,975 SH Defined 1,4,5 53,975 KNOLL INC COM 498904200 3,705 173,770 SH Defined 1,3,5 173,770 KNOLL INC COM 498904200 1,953 91,616 SH Defined 1,5 91,616 MBIA INC COM 55262C100 426 7,091 SH Defined 1,2,5 7,091 MBIA INC COM 55262C100 284 4,721 SH Defined 1,4,5 4,721 MBIA INC COM 55262C100 914 15,202 SH Defined 1,3,5 15,202 MBIA INC COM 55262C100 480 7,986 SH Defined 1,5 7,986 MCDERMOTT INTL INC COM 580037109 2,851 52,368 SH Defined 1,2,5 52,368 MCDERMOTT INTL INC COM 580037109 1,897 34,840 SH Defined 1,4,5 34,840 MCDERMOTT INTL INC COM 580037109 6,108 112,181 SH Defined 1,3,5 112,181 MCDERMOTT INTL INC COM 580037109 3,218 59,106 SH Defined 1,5 59,106 MICRON TECHNOLOGY INC COM 595112103 1,290 87,630 SH Defined 1,2,5 87,630 MICRON TECHNOLOGY INC COM 595112103 859 58,345 SH Defined 1,4,5 58,345 MICRON TECHNOLOGY INC COM 595112103 2,764 187,749 SH Defined 1,3,5 187,749 MICRON TECHNOLOGY INC COM 595112103 1,455 98,838 SH Defined 1,5 98,838 MIRANT CORP NEW COM 60467R100 1,832 73,260 SH Defined 1,2,5 73,260 MIRANT CORP NEW COM 60467R100 1,220 48,780 SH Defined 1,4,5 48,780 MIRANT CORP NEW COM 60467R100 3,926 157,043 SH Defined 1,3,5 157,043 MIRANT CORP NEW COM 60467R100 2,068 82,704 SH Defined 1,5 82,704 MORTONS RESTAURANT GRP INC COM 619430101 1,460 84,030 SH Defined 1,2,5 84,030 MORTONS RESTAURANT GRP INC COM 619430101 972 55,950 SH Defined 1,4,5 55,950 MORTONS RESTAURANT GRP INC COM 619430101 3,131 180,131 SH Defined 1,3,5 180,131 MORTONS RESTAURANT GRP INC COM 619430101 1,649 94,889 SH Defined 1,5 94,889 MOTOROLA INC COM 620076109 661 28,839 SH Defined 1,2,5 28,839 MOTOROLA INC COM 620076109 440 19,202 SH Defined 1,4,5 19,202 MOTOROLA INC COM 620076109 1,416 61,821 SH Defined 1,3,5 61,821 MOTOROLA INC COM 620076109 744 32,484 SH Defined 1,5 32,484 NATIONAL SEMICONDUCTOR CORP COM 637640103 638 22,900 SH Defined 1,2,5 22,900 NATIONAL SEMICONDUCTOR CORP COM 637640103 426 15,300 SH Defined 1,4,5 15,300 NATIONAL SEMICONDUCTOR CORP COM 637640103 1,369 49,169 SH Defined 1,3,5 49,169 NATIONAL SEMICONDUCTOR CORP COM 637640103 720 25,868 SH Defined 1,5 25,868 NUTRISYSTEM INC COM 67069D108 1,636 34,423 SH Defined 1,2,5 34,423 NUTRISYSTEM INC COM 67069D108 1,089 22,920 SH Defined 1,4,5 22,920 NUTRISYSTEM INC COM 67069D108 3,507 73,791 SH Defined 1,3,5 73,791 NUTRISYSTEM INC COM 67069D108 1,847 38,866 SH Defined 1,5 38,866 O CHARLEYS INC COM 670823103 815 44,125 SH Defined 1,2,5 44,125 O CHARLEYS INC COM 670823103 542 29,380 SH Defined 1,4,5 29,380 O CHARLEYS INC COM 670823103 1,747 94,624 SH Defined 1,3,5 94,624 O CHARLEYS INC COM 670823103 917 49,690 SH Defined 1,5 49,690 PERFORMANCE FOOD GROUP CO COM 713755106 1,375 44,099 SH Defined 1,2,5 44,099 PERFORMANCE FOOD GROUP CO COM 713755106 919 29,471 SH Defined 1,4,5 29,471 PERFORMANCE FOOD GROUP CO COM 713755106 2,954 94,703 SH Defined 1,3,5 94,703 PERFORMANCE FOOD GROUP CO COM 713755106 1,551 49,727 SH Defined 1,5 49,727 SCHNITZER STL INDS CL A 806882106 1,462 34,116 SH Defined 1,2,5 34,116 SCHNITZER STL INDS CL A 806882106 973 22,718 SH Defined 1,4,5 22,718 SCHNITZER STL INDS CL A 806882106 3,137 73,215 SH Defined 1,3,5 73,215 SCHNITZER STL INDS CL A 806882106 1,648 38,451 SH Defined 1,5 38,451 SEA CONTAINERS LTD CL A 811371707 404 56,017 SH Defined 1,2,5 56,017 SEA CONTAINERS LTD CL A 811371707 269 37,299 SH Defined 1,4,5 37,299 SEA CONTAINERS LTD CL A 811371707 866 120,080 SH Defined 1,3,5 120,080 SEA CONTAINERS LTD CL A 811371707 456 63,261 SH Defined 1,5 63,261 SEAGATE TECHNOLOGY SHS G7945J104 968 36,770 SH Defined 1,2,5 36,770 SEAGATE TECHNOLOGY SHS G7945J104 643 24,416 SH Defined 1,4,5 24,416 SEAGATE TECHNOLOGY SHS G7945J104 2,070 78,630 SH Defined 1,3,5 78,630 SEAGATE TECHNOLOGY SHS G7945J104 1,095 41,584 SH Defined 1,5 41,584 SIGMA DESIGNS INC COM 826565103 1,042 71,405 SH Defined 1,2,5 71,405 SIGMA DESIGNS INC COM 826565103 693 47,529 SH Defined 1,4,5 47,529 SIGMA DESIGNS INC COM 826565103 2,234 153,139 SH Defined 1,3,5 153,139 SIGMA DESIGNS INC COM 826565103 1,176 80,572 SH Defined 1,5 80,572 SILICONWARE PRECISION INDS LTD SPONSD ADR SPL 827084864 569 88,259 SH Defined 1,2,5 88,259 SILICONWARE PRECISION INDS LTD SPONSD ADR SPL 827084864 379 58,837 SH Defined 1,4,5 58,837 SILICONWARE PRECISION INDS LTD SPONSD ADR SPL 827084864 1,221 189,231 SH Defined 1,3,5 189,231 SILICONWARE PRECISION INDS LTD SPONSD ADR SPL 827084864 642 99,609 SH Defined 1,5 99,609 SMART MODULAR TECHNOLOGIES I ORD SHS G82245104 917 101,299 SH Defined 1,2,5 101,299 SMART MODULAR TECHNOLOGIES I ORD SHS G82245104 610 67,448 SH Defined 1,4,5 67,448 SMART MODULAR TECHNOLOGIES I ORD SHS G82245104 1,965 217,161 SH Defined 1,3,5 217,161 SMART MODULAR TECHNOLOGIES I ORD SHS G82245104 1,033 114,092 SH Defined 1,5 114,092 SOUTHWEST AIRLINES CO COM 844741108 484 26,884 SH Defined 1,2,5 26,884 SOUTHWEST AIRLINES CO COM 844741108 322 17,899 SH Defined 1,4,5 17,899 SOUTHWEST AIRLINES CO COM 844741108 1,037 57,637 SH Defined 1,3,5 57,637 SOUTHWEST AIRLINES CO COM 844741108 545 30,277 SH Defined 1,5 30,277 SPSS INC COM 78462K102 1,370 43,262 SH Defined 1,2,5 43,262 SPSS INC COM 78462K102 911 28,774 SH Defined 1,4,5 28,774 SPSS INC COM 78462K102 2,935 92,717 SH Defined 1,3,5 92,717 SPSS INC COM 78462K102 1,543 48,730 SH Defined 1,5 48,730 STEELCASE INC CL A 858155203 1,396 77,560 SH Defined 1,2,5 77,560 STEELCASE INC CL A 858155203 930 51,659 SH Defined 1,4,5 51,659 STEELCASE INC CL A 858155203 2,997 166,527 SH Defined 1,3,5 166,527 STEELCASE INC CL A 858155203 1,571 87,254 SH Defined 1,5 87,254 SUNSET FINANCIAL RESOURCES I COM 867708109 189 20,701 SH Defined 1,2,5 20,701 SUNSET FINANCIAL RESOURCES I COM 867708109 126 13,747 SH Defined 1,4,5 13,747 SUNSET FINANCIAL RESOURCES I COM 867708109 405 44,394 SH Defined 1,3,5 44,394 SUNSET FINANCIAL RESOURCES I COM 867708109 214 23,436 SH Defined 1,5 23,436 SUPERIOR ENERGY SVCS INC COM 868157108 2,063 76,988 SH Defined 1,2,5 76,988 SUPERIOR ENERGY SVCS INC COM 868157108 1,373 51,262 SH Defined 1,4,5 51,262 SUPERIOR ENERGY SVCS INC COM 868157108 4,421 165,034 SH Defined 1,3,5 165,034 SUPERIOR ENERGY SVCS INC COM 868157108 2,329 86,944 SH Defined 1,5 86,944 SYNERON MEDICAL LTD. ORD SHS M87245102 3,513 120,280 SH Defined 1,2,5 120,280 SYNERON MEDICAL LTD. ORD SHS M87245102 2,535 86,769 SH Defined 1,4,5 86,769 SYNERON MEDICAL LTD. ORD SHS M87245102 7,532 257,864 SH Defined 1,3,5 257,864 SYNERON MEDICAL LTD. ORD SHS M87245102 3,928 134,487 SH Defined 1,5 134,487 TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 813 80,800 SH Defined 1,2,5 80,800 TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 541 53,800 SH Defined 1,4,5 53,800 TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 1,743 173,295 SH Defined 1,3,5 173,295 TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 919 91,339 SH Defined 1,5 91,339 TECHNICAL OLYMPIC USA INC COM 878483106 686 33,729 SH Defined 1,2,5 33,729 TECHNICAL OLYMPIC USA INC COM 878483106 457 22,458 SH Defined 1,4,5 22,458 TECHNICAL OLYMPIC USA INC COM 878483106 1,475 72,461 SH Defined 1,3,5 72,461 TECHNICAL OLYMPIC USA INC COM 878483106 774 38,027 SH Defined 1,5 38,027 TEREX CORP NEW COM 880779103 1,381 17,422 SH Defined 1,2,5 17,422 TEREX CORP NEW COM 880779103 919 11,600 SH Defined 1,4,5 11,600 TEREX CORP NEW COM 880779103 2,960 37,361 SH Defined 1,3,5 37,361 TEREX CORP NEW COM 880779103 1,554 19,617 SH Defined 1,5 19,617 TEXAS INSTRUMENTS INC COM 882508104 698 21,500 SH Defined 1,2,5 21,500 TEXAS INSTRUMENTS INC COM 882508104 464 14,300 SH Defined 1,4,5 14,300 TEXAS INSTRUMENTS INC COM 882508104 1,491 45,928 SH Defined 1,3,5 45,928 TEXAS INSTRUMENTS INC COM 882508104 791 24,365 SH Defined 1,5 24,365 TOREADOR RESOURCES CORP COM 891050106 1,429 45,936 SH Defined 1,2,5 45,936 TOREADOR RESOURCES CORP COM 891050106 952 30,586 SH Defined 1,4,5 30,586 TOREADOR RESOURCES CORP COM 891050106 3,063 98,470 SH Defined 1,3,5 98,470 TOREADOR RESOURCES CORP COM 891050106 1,614 51,876 SH Defined 1,5 51,876 TRANSOCEAN SEDCO FOREX INC COM G90078109 944 11,751 SH Defined 1,2,5 11,751 TRANSOCEAN SEDCO FOREX INC COM G90078109 628 7,824 SH Defined 1,4,5 7,824 TRANSOCEAN SEDCO FOREX INC COM G90078109 2,023 25,189 SH Defined 1,3,5 25,189 TRANSOCEAN SEDCO FOREX INC COM G90078109 1,066 13,271 SH Defined 1,5 13,271 TRONOX INC COM 897051207 49 2,859 SH Defined 1,2,5 2,859 TRONOX INC COM 897051207 32 1,904 SH Defined 1,4,5 1,904 TRONOX INC COM 897051207 104 6,130 SH Defined 1,3,5 6,130 TRONOX INC COM 897051207 55 3,227 SH Defined 1,5 3,227 TYCO INTERNATIONAL LTD NEW COM 902124106 6,944 258,315 SH Defined 1,2,5 258,315 TYCO INTERNATIONAL LTD NEW COM 902124106 4,623 171,997 SH Defined 1,4,5 171,997 TYCO INTERNATIONAL LTD NEW COM 902124106 14,884 553,733 SH Defined 1,3,5 553,733 TYCO INTERNATIONAL LTD NEW COM 902124106 7,841 291,720 SH Defined 1,5 291,720 U S CONCRETE INC COM 90333L102 532 36,758 SH Defined 1,2,5 36,758 U S CONCRETE INC COM 90333L102 354 24,476 SH Defined 1,4,5 24,476 U S CONCRETE INC COM 90333L102 1,139 78,796 SH Defined 1,3,5 78,796 U S CONCRETE INC COM 90333L102 600 41,511 SH Defined 1,5 41,511 UNITEDHEALTH GROUP COM 91324P102 1,381 24,717 SH Defined 1,2,5 24,717 UNITEDHEALTH GROUP COM 91324P102 919 16,458 SH Defined 1,4,5 16,458 UNITEDHEALTH GROUP COM 91324P102 2,960 52,985 SH Defined 1,3,5 52,985 UNITEDHEALTH GROUP COM 91324P102 1,555 27,840 SH Defined 1,5 27,840 UNIVERSAL TRUCKLOAD SVCS COM 91388P105 684 27,324 SH Defined 1,2,5 27,324 UNIVERSAL TRUCKLOAD SVCS COM 91388P105 456 18,193 SH Defined 1,4,5 18,193 UNIVERSAL TRUCKLOAD SVCS COM 91388P105 1,467 58,573 SH Defined 1,3,5 58,573 UNIVERSAL TRUCKLOAD SVCS COM 91388P105 773 30,857 SH Defined 1,5 30,857 USA TRUCK INC COM 902925106 1,070 43,465 SH Defined 1,2,5 43,465 USA TRUCK INC COM 902925106 712 28,938 SH Defined 1,4,5 28,938 USA TRUCK INC COM 902925106 2,290 93,003 SH Defined 1,3,5 93,003 USA TRUCK INC COM 902925106 1,208 49,074 SH Defined 1,5 49,074 VALERO ENERGY CORP NEW COM 91913Y100 327 5,470 SH Defined 1,2,5 5,470 VALERO ENERGY CORP NEW COM 91913Y100 218 3,642 SH Defined 1,4,5 3,642 VALERO ENERGY CORP NEW COM 91913Y100 701 11,729 SH Defined 1,3,5 11,729 VALERO ENERGY CORP NEW COM 91913Y100 368 6,159 SH Defined 1,5 6,159 VERITAS SOFTWARE CO NOTE 0.250% 8/0 923436AD1 1,080 1,102,500 PRN Defined 1,2,5 1,102,500 VERITAS SOFTWARE CO NOTE 0.250% 8/0 923436AD1 1,658 1,691,500 PRN Defined 1,4,5 1,691,500 VERITAS SOFTWARE CO NOTE 0.250% 8/0 923436AD1 2,162 2,206,000 PRN Defined 1,3,5 2,206,000 W R GRACE & CO DEL COM 38388F108 1,555 116,901 SH Defined 1,2,5 116,901 W R GRACE & CO DEL COM 38388F108 1,035 77,838 SH Defined 1,4,5 77,838 W R GRACE & CO DEL COM 38388F108 3,333 250,595 SH Defined 1,3,5 250,595 W R GRACE & CO DEL COM 38388F108 1,756 132,018 SH Defined 1,5 132,018 WAL MART STORES INC COM 931142103 2,010 42,546 SH Defined 1,2,5 42,546 WAL MART STORES INC COM 931142103 1,338 28,329 SH Defined 1,4,5 28,329 WAL MART STORES INC COM 931142103 4,308 91,203 SH Defined 1,3,5 91,203 WAL MART STORES INC COM 931142103 2,264 47,922 SH Defined 1,5 47,922 WALTER INDUSTRIES INC NEW COM 93317Q105 8,273 124,181 SH Defined 1,2,5 124,181 WALTER INDUSTRIES INC NEW COM 93317Q105 5,508 82,685 SH Defined 1,4,5 82,685 WALTER INDUSTRIES INC NEW COM 93317Q105 17,727 266,085 SH Defined 1,3,5 266,085 WALTER INDUSTRIES INC NEW COM 93317Q105 9,348 140,317 SH Defined 1,5 140,317 WILLIAMS COMPANIES INC COM 969457100 4,045 189,093 SH Defined 1,2,5 189,093 WILLIAMS COMPANIES INC COM 969457100 2,693 125,895 SH Defined 1,4,5 125,895 WILLIAMS COMPANIES INC COM 969457100 8,666 405,148 SH Defined 1,3,5 405,148 WILLIAMS COMPANIES INC COM 969457100 4,562 213,279 SH Defined 1,5 213,279 XILINX INC. COM 983919101 1,702 66,858 SH Defined 1,2,5 66,858 XILINX INC. COM 983919101 1,133 44,517 SH Defined 1,4,5 44,517 XILINX INC. COM 983919101 3,649 143,319 SH Defined 1,3,5 143,319 XILINX INC. COM 983919101 1,917 75,306 SH Defined 1,5 75,306 XL CAPITAL LTD CL A G98255105 3,558 55,496 SH Defined 1,2,5 55,496 XL CAPITAL LTD CL A G98255105 2,369 36,952 SH Defined 1,4,5 36,952 XL CAPITAL LTD CL A G98255105 7,626 118,957 SH Defined 1,3,5 118,957 XL CAPITAL LTD CL A G98255105 4,018 62,675 SH Defined 1,5 62,675
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