0001405086-12-000028.txt : 20120214
0001405086-12-000028.hdr.sgml : 20120214
20120213175411
ACCESSION NUMBER: 0001405086-12-000028
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20111231
FILED AS OF DATE: 20120214
DATE AS OF CHANGE: 20120213
EFFECTIVENESS DATE: 20120214
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: ASCEND CAPITAL LLC
CENTRAL INDEX KEY: 0001165501
IRS NUMBER: 880440610
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: 13F-HR
SEC ACT: 1934 Act
SEC FILE NUMBER: 028-10128
FILM NUMBER: 12600828
BUSINESS ADDRESS:
STREET 1: 50 CALIFORNIA STREET, SUITE 2940
CITY: SAN FRANCISCO
STATE: CA
ZIP: 94111
BUSINESS PHONE: (415) 217-8300
MAIL ADDRESS:
STREET 1: 50 CALIFORNIA STREET, SUITE 2940
CITY: SAN FRANCISCO
STATE: CA
ZIP: 94111
13F-HR
1
f001.txt
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F
FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: December 31, 2011
Check here if Amendment [ ] Amendment Number: _________
This Amendment (Check only one.): [ ] is a restatement.
[ ] adds new holding entries.
Institutional Investment Manager Filing this Report :
Name: Ascend Capital, LLC
Address: 50 California Street, Suite 2940, 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 Operating Officer and Chief Financial Officer
Phone: 415-217-8304
Signature, Place, and Date of Signing:
/s/ Benjamin D. Slavet San Francisco, California February 13, 2012
---------------------- ------------------------- ---------------
[Signature] [City, State] [Date]
Report Type (Check only one.):
[ X ] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
manager are reported in this report.)
[ ] 13F NOTICE. (Check here if no holdings are reported in this report, and
all holdings are reported by other reporting manager(s).)
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this
reporting manager are reported in this report and a portion are reported
by other reporting manager(s).)
List of Other Managers Reporting for this Manager: None
Form 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: Five (5)
Form 13F Information Table Entry Total: 363
Form 13F Information Table Value Total: $748,321 (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. 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
No. 6
Form 13F File Number: 028-12400
Name: Ascend Partners Fund II BPO Ltd
13F INFORMATION TABLE
VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY
NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETN MANAGERS SOLE SHARED NONE
ACACIA RESH CORP ACACIA TCH COM 003881307 $2,027 55,526 SH DEFINED 1,5 55,526 0 0
ACACIA RESH CORP ACACIA TCH COM 003881307 $1,166 31,936 SH DEFINED 1,2,5 31,936 0 0
ACACIA RESH CORP ACACIA TCH COM 003881307 $874 23,932 SH DEFINED 1,4,5 23,932 0 0
ACACIA RESH CORP ACACIA TCH COM 003881307 $428 11,733 SH DEFINED 1,6,5 11,733 0 0
ACTUANT CORP SDCV 2.672%11/1 00508XAB0 $188 155,000 SH DEFINED 1,5 155,000 0 0
ACTUANT CORP SDCV 2.672%11/1 00508XAB0 $428 353,000 SH DEFINED 1,2,5 353,000 0 0
ACTUANT CORP SDCV 2.672%11/1 00508XAB0 $416 343,000 SH DEFINED 1,4,5 343,000 0 0
ACTUANT CORP SDCV 2.672%11/1 00508XAB0 $136 112,000 SH DEFINED 1,6,5 112,000 0 0
ADVANCED MICRO DEVICES NOTE 5.750% 8/1 007903AN7 $2,496 2,470,000 SH DEFINED 1,5 2,470,000 0 0
ADVANCED MICRO DEVICES NOTE 5.750% 8/1 007903AN7 $3,636 3,598,000 SH DEFINED 1,2,5 3,598,000 0 0
ADVANCED MICRO DEVICES NOTE 5.750% 8/1 007903AN7 $3,119 3,086,000 SH DEFINED 1,4,5 3,086,000 0 0
ADVANCED MICRO DEVICES NOTE 5.750% 8/1 007903AN7 $1,283 1,270,000 SH DEFINED 1,6,5 1,270,000 0 0
AIR PRODS & CHEMS INC COM 009158106 $779 9,144 SH DEFINED 1,5 9,144 0 0
AIR PRODS & CHEMS INC COM 009158106 $448 5,264 SH DEFINED 1,2,5 5,264 0 0
AIR PRODS & CHEMS INC COM 009158106 $336 3,942 SH DEFINED 1,4,5 3,942 0 0
AIR PRODS & CHEMS INC COM 009158106 $165 1,932 SH DEFINED 1,6,5 1,932 0 0
ALERE INC COM 01449J105 $552 23,927 SH DEFINED 1,5 23,927 0 0
ALERE INC COM 01449J105 $318 13,793 SH DEFINED 1,2,5 13,793 0 0
ALERE INC COM 01449J105 $238 10,321 SH DEFINED 1,4,5 10,321 0 0
ALERE INC COM 01449J105 $117 5,059 SH DEFINED 1,6,5 5,059 0 0
ALPHA NATURAL RESOURCES COM 02076X102 $8,891 435,170 SH DEFINED 1,5 435,170 0 0
ALPHA NATURAL RESOURCES COM 02076X102 $4,558 223,110 SH DEFINED 1,4,5 223,110 0 0
ALPHA NATURAL RESOURCES COM 02076X102 $1,889 92,438 SH DEFINED 1,6,5 92,438 0 0
AMERICAN WTR WKS CO INC COM 030420103 $5,390 169,178 SH DEFINED 1,5 169,178 0 0
AMERICAN WTR WKS CO INC COM 030420103 $3,103 97,401 SH DEFINED 1,2,5 97,401 0 0
AMERICAN WTR WKS CO INC COM 030420103 $2,190 68,737 SH DEFINED 1,4,5 68,737 0 0
AMERICAN WTR WKS CO INC COM 030420103 $1,139 35,757 SH DEFINED 1,6,5 35,757 0 0
ANADARKO PETE CORP COM 032511107 $2,476 32,437 SH DEFINED 1,5 32,437 0 0
ANADARKO PETE CORP COM 032511107 $1,425 18,674 SH DEFINED 1,2,5 18,674 0 0
ANADARKO PETE CORP COM 032511107 $1,067 13,984 SH DEFINED 1,4,5 13,984 0 0
ANADARKO PETE CORP COM 032511107 $523 6,856 SH DEFINED 1,6,5 6,856 0 0
ARCH COAL INC COM 039380100 $8,971 618,317 SH DEFINED 1,5 618,317 0 0
ARCH COAL INC COM 039380100 $5,165 355,989 SH DEFINED 1,2,5 355,989 0 0
ARCH COAL INC COM 039380100 $3,868 266,580 SH DEFINED 1,4,5 266,580 0 0
ARCH COAL INC COM 039380100 $1,896 130,685 SH DEFINED 1,6,5 130,685 0 0
ASHLAND INC NEW COM 044209104 $2,367 41,413 SH DEFINED 1,5 41,413 0 0
ASHLAND INC NEW COM 044209104 $1,363 23,841 SH DEFINED 1,2,5 23,841 0 0
ASHLAND INC NEW COM 044209104 $1,021 17,854 SH DEFINED 1,4,5 17,854 0 0
ASHLAND INC NEW COM 044209104 $500 8,753 SH DEFINED 1,6,5 8,753 0 0
AVATAR HLDGS INC NOTE 7.500% 2/1 053494AG5 $6,121 6,784,000 SH DEFINED 1,5 6,784,000 0 0
AVATAR HLDGS INC NOTE 7.500% 2/1 053494AG5 $5,506 6,102,000 SH DEFINED 1,2,5 6,102,000 0 0
AVATAR HLDGS INC NOTE 7.500% 2/1 053494AG5 $4,084 4,526,000 SH DEFINED 1,4,5 4,526,000 0 0
AVATAR HLDGS INC NOTE 7.500% 2/1 053494AG5 $2,345 2,599,000 SH DEFINED 1,6,5 2,599,000 0 0
AVNET INC COM 053807103 $1,368 44,004 SH DEFINED 1,5 44,004 0 0
AVNET INC COM 053807103 $788 25,334 SH DEFINED 1,2,5 25,334 0 0
AVNET INC COM 053807103 $590 18,972 SH DEFINED 1,4,5 18,972 0 0
AVNET INC COM 053807103 $289 9,300 SH DEFINED 1,6,5 9,300 0 0
BARNES GROUP INC COM 067806109 $5,574 231,175 SH DEFINED 1,5 231,175 0 0
BARNES GROUP INC COM 067806109 $3,209 133,093 SH DEFINED 1,2,5 133,093 0 0
BARNES GROUP INC COM 067806109 $2,403 99,667 SH DEFINED 1,4,5 99,667 0 0
BARNES GROUP INC COM 067806109 $1,178 48,859 SH DEFINED 1,6,5 48,859 0 0
BAXTER INTL INC COM 071813109 $1,004 20,278 SH DEFINED 1,5 20,278 0 0
BAXTER INTL INC COM 071813109 $578 11,675 SH DEFINED 1,2,5 11,675 0 0
BAXTER INTL INC COM 071813109 $433 8,744 SH DEFINED 1,4,5 8,744 0 0
BAXTER INTL INC COM 071813109 $212 4,286 SH DEFINED 1,6,5 4,286 0 0
BEST BUY INC SDCV 2.250% 1/1 086516AF8 $2,260 2,257,000 SH DEFINED 1,5 2,257,000 0 0
BEST BUY INC SDCV 2.250% 1/1 086516AF8 $2,168 2,165,000 SH DEFINED 1,2,5 2,165,000 0 0
BEST BUY INC SDCV 2.250% 1/1 086516AF8 $1,797 1,795,000 SH DEFINED 1,4,5 1,795,000 0 0
BEST BUY INC SDCV 2.250% 1/1 086516AF8 $784 783,000 SH DEFINED 1,6,5 783,000 0 0
BIG LOTS INC COM 089302103 $1,701 45,046 SH DEFINED 1,5 45,046 0 0
BIG LOTS INC COM 089302103 $979 25,926 SH DEFINED 1,2,5 25,926 0 0
BIG LOTS INC COM 089302103 $733 19,421 SH DEFINED 1,4,5 19,421 0 0
BIG LOTS INC COM 089302103 $360 9,521 SH DEFINED 1,6,5 9,521 0 0
BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 $1,093 1,314,000 SH DEFINED 1,5 1,314,000 0 0
BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 $1,215 1,461,000 SH DEFINED 1,2,5 1,461,000 0 0
BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 $639 768,000 SH DEFINED 1,4,5 768,000 0 0
BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 $380 457,000 SH DEFINED 1,6,5 457,000 0 0
BPZ RESOURCES INC COM 055639108 $1,480 521,120 SH DEFINED 1,5 521,120 0 0
BPZ RESOURCES INC COM 055639108 $641 225,726 SH DEFINED 1,4,5 225,726 0 0
BPZ RESOURCES INC COM 055639108 $314 110,657 SH DEFINED 1,6,5 110,657 0 0
BRINKER INTL INC COM 109641100 $1,220 45,596 SH DEFINED 1,5 45,596 0 0
BRINKER INTL INC COM 109641100 $702 26,241 SH DEFINED 1,2,5 26,241 0 0
BRINKER INTL INC COM 109641100 $496 18,526 SH DEFINED 1,4,5 18,526 0 0
BRINKER INTL INC COM 109641100 $258 9,637 SH DEFINED 1,6,5 9,637 0 0
BRITISH AMERN TOB PLC SPONSORED ADR 110448107 $5,394 56,848 SH DEFINED 1,5 56,848 0 0
BRITISH AMERN TOB PLC SPONSORED ADR 110448107 $3,105 32,727 SH DEFINED 1,2,5 32,727 0 0
BRITISH AMERN TOB PLC SPONSORED ADR 110448107 $2,191 23,097 SH DEFINED 1,4,5 23,097 0 0
BRITISH AMERN TOB PLC SPONSORED ADR 110448107 $1,140 12,015 SH DEFINED 1,6,5 12,015 0 0
CA INC COM 12673P105 $2,922 144,563 SH DEFINED 1,5 144,563 0 0
CA INC COM 12673P105 $1,683 83,231 SH DEFINED 1,2,5 83,231 0 0
CA INC COM 12673P105 $1,260 62,327 SH DEFINED 1,4,5 62,327 0 0
CA INC COM 12673P105 $618 30,554 SH DEFINED 1,6,5 30,554 0 0
CAL DIVE INTL INC NOTE 3.250%12/1 127914AB5 $1,666 1,667,536 SH DEFINED 1,5 1,667,536 0 0
CAL DIVE INTL INC NOTE 3.250%12/1 127914AB5 $2,148 2,150,307 SH DEFINED 1,2,5 2,150,307 0 0
CAL DIVE INTL INC NOTE 3.250%12/1 127914AB5 $1,814 1,816,004 SH DEFINED 1,4,5 1,816,004 0 0
CAL DIVE INTL INC NOTE 3.250%12/1 127914AB5 $772 772,846 SH DEFINED 1,6,5 772,846 0 0
CAREFUSION CORP COM 14170T101 $4,459 175,462 SH DEFINED 1,5 175,462 0 0
CAREFUSION CORP COM 14170T101 $2,567 101,020 SH DEFINED 1,2,5 101,020 0 0
CAREFUSION CORP COM 14170T101 $1,922 75,648 SH DEFINED 1,4,5 75,648 0 0
CAREFUSION CORP COM 14170T101 $942 37,085 SH DEFINED 1,6,5 37,085 0 0
CARRIAGE SVCS INC COM 143905107 $319 56,981 SH DEFINED 1,5 56,981 0 0
CARRIAGE SVCS INC COM 143905107 $184 32,838 SH DEFINED 1,2,5 32,838 0 0
CARRIAGE SVCS INC COM 143905107 $138 24,573 SH DEFINED 1,4,5 24,573 0 0
CARRIAGE SVCS INC COM 143905107 $67 12,046 SH DEFINED 1,6,5 12,046 0 0
CEMEX SAB DE CV SPON ADR NEW 151290889 $628 116,471 SH DEFINED 1,5 116,471 0 0
CEMEX SAB DE CV SPON ADR NEW 151290889 $6,739 1,250,359 SH DEFINED 1,4,5 1,250,359 0 0
CEMEX SAB DE CV SPON ADR NEW 151290889 $2,252 417,903 SH DEFINED 1,6,5 417,903 0 0
CEMEX SAB DE CV COM 151290889 $547 101,400 SH PUT DEFINED 1,5 101,400 0 0
CEMEX SAB DE CV COM 151290889 $1,075 199,400 SH PUT DEFINED 1,2,5 199,400 0 0
CEMEX SAB DE CV COM 151290889 $2,916 541,000 SH PUT DEFINED 1,4,5 541,000 0 0
CEMEX SAB DE CV COM 151290889 $761 141,200 SH PUT DEFINED 1,6,5 141,200 0 0
CHEFS WHSE INC COM 163086101 $725 40,577 SH DEFINED 1,5 40,577 0 0
CHEFS WHSE INC COM 163086101 $417 23,353 SH DEFINED 1,2,5 23,353 0 0
CHEFS WHSE INC COM 163086101 $312 17,494 SH DEFINED 1,4,5 17,494 0 0
CHEFS WHSE INC COM 163086101 $153 8,576 SH DEFINED 1,6,5 8,576 0 0
COMCAST CORP NEW COM 20030N101 $2,138 90,171 SH DEFINED 1,5 90,171 0 0
COMCAST CORP NEW COM 20030N101 $1,230 51,895 SH DEFINED 1,2,5 51,895 0 0
COMCAST CORP NEW COM 20030N101 $922 38,876 SH DEFINED 1,4,5 38,876 0 0
COMCAST CORP NEW COM 20030N101 $452 19,058 SH DEFINED 1,6,5 19,058 0 0
CONSOL ENERGY INC COM 20854P109 $1,155 31,479 SH DEFINED 1,5 31,479 0 0
CONSOL ENERGY INC COM 20854P109 $665 18,123 SH DEFINED 1,2,5 18,123 0 0
CONSOL ENERGY INC COM 20854P109 $498 13,571 SH DEFINED 1,4,5 13,571 0 0
CONSOL ENERGY INC COM 20854P109 $244 6,653 SH DEFINED 1,6,5 6,653 0 0
CORN PRODS INTL INC COM 219023108 $6,490 123,395 SH DEFINED 1,5 123,395 0 0
CORN PRODS INTL INC COM 219023108 $2,811 53,449 SH DEFINED 1,4,5 53,449 0 0
CORN PRODS INTL INC COM 219023108 $1,378 26,202 SH DEFINED 1,6,5 26,202 0 0
CROWN HOLDINGS INC COM 228368106 $3,784 112,701 SH DEFINED 1,5 112,701 0 0
CROWN HOLDINGS INC COM 228368106 $2,179 64,888 SH DEFINED 1,2,5 64,888 0 0
CROWN HOLDINGS INC COM 228368106 $1,632 48,590 SH DEFINED 1,4,5 48,590 0 0
CROWN HOLDINGS INC COM 228368106 $800 23,821 SH DEFINED 1,6,5 23,821 0 0
DARLING INTL INC COM 237266101 $2,995 225,411 SH DEFINED 1,5 225,411 0 0
DARLING INTL INC COM 237266101 $1,725 129,763 SH DEFINED 1,2,5 129,763 0 0
DARLING INTL INC COM 237266101 $1,292 97,184 SH DEFINED 1,4,5 97,184 0 0
DARLING INTL INC COM 237266101 $633 47,642 SH DEFINED 1,6,5 47,642 0 0
DEXCOM INC COM 252131107 $2,510 269,547 SH DEFINED 1,5 269,547 0 0
DEXCOM INC COM 252131107 $1,445 155,186 SH DEFINED 1,2,5 155,186 0 0
DEXCOM INC COM 252131107 $1,082 116,212 SH DEFINED 1,4,5 116,212 0 0
DEXCOM INC COM 252131107 $530 56,970 SH DEFINED 1,6,5 56,970 0 0
DFC GLOBAL CORP COM 23324T107 $5,041 279,162 SH DEFINED 1,5 279,162 0 0
DFC GLOBAL CORP COM 23324T107 $2,902 160,703 SH DEFINED 1,2,5 160,703 0 0
DFC GLOBAL CORP COM 23324T107 $2,174 120,354 SH DEFINED 1,4,5 120,354 0 0
DFC GLOBAL CORP COM 23324T107 $1,066 59,001 SH DEFINED 1,6,5 59,001 0 0
DIGITALGLOBE INC COM 25389M877 $1,039 60,708 SH DEFINED 1,5 60,708 0 0
DIGITALGLOBE INC COM 25389M877 $598 34,951 SH DEFINED 1,2,5 34,951 0 0
DIGITALGLOBE INC COM 25389M877 $448 26,173 SH DEFINED 1,4,5 26,173 0 0
DIGITALGLOBE INC COM 25389M877 $220 12,831 SH DEFINED 1,6,5 12,831 0 0
EAGLE MATERIALS INC COM 26969P108 $1,896 73,885 SH DEFINED 1,5 73,885 0 0
EAGLE MATERIALS INC COM 26969P108 $1,091 42,536 SH DEFINED 1,2,5 42,536 0 0
EAGLE MATERIALS INC COM 26969P108 $817 31,854 SH DEFINED 1,4,5 31,854 0 0
EAGLE MATERIALS INC COM 26969P108 $401 15,616 SH DEFINED 1,6,5 15,616 0 0
ENERGIZER HLDGS INC COM 29266R108 $4,608 59,467 SH DEFINED 1,5 59,467 0 0
ENERGIZER HLDGS INC COM 29266R108 $2,653 34,236 SH DEFINED 1,2,5 34,236 0 0
ENERGIZER HLDGS INC COM 29266R108 $1,986 25,638 SH DEFINED 1,4,5 25,638 0 0
ENERGIZER HLDGS INC COM 29266R108 $974 12,569 SH DEFINED 1,6,5 12,569 0 0
GARDNER DENVER INC COM 365558105 $5,027 65,230 SH DEFINED 1,5 65,230 0 0
GARDNER DENVER INC COM 365558105 $2,894 37,555 SH DEFINED 1,2,5 37,555 0 0
GARDNER DENVER INC COM 365558105 $2,167 28,123 SH DEFINED 1,4,5 28,123 0 0
GARDNER DENVER INC COM 365558105 $1,062 13,787 SH DEFINED 1,6,5 13,787 0 0
GEOEYE INC COM 37250W108 $994 44,759 SH DEFINED 1,5 44,759 0 0
GEOEYE INC COM 37250W108 $431 19,388 SH DEFINED 1,4,5 19,388 0 0
GEOEYE INC COM 37250W108 $211 9,504 SH DEFINED 1,6,5 9,504 0 0
GOLAR LNG LTD BERMUDA COM G9456A100 $3,774 84,923 SH DEFINED 1,5 84,923 0 0
GOLAR LNG LTD BERMUDA COM G9456A100 $2,173 48,890 SH DEFINED 1,2,5 48,890 0 0
GOLAR LNG LTD BERMUDA COM G9456A100 $1,627 36,613 SH DEFINED 1,4,5 36,613 0 0
GOLAR LNG LTD BERMUDA COM G9456A100 $798 17,949 SH DEFINED 1,6,5 17,949 0 0
HALLIBURTON CO COM 406216101 $6,617 191,730 SH DEFINED 1,5 191,730 0 0
HALLIBURTON CO COM 406216101 $3,812 110,447 SH DEFINED 1,2,5 110,447 0 0
HALLIBURTON CO COM 406216101 $2,854 82,711 SH DEFINED 1,4,5 82,711 0 0
HALLIBURTON CO COM 406216101 $1,399 40,546 SH DEFINED 1,6,5 40,546 0 0
HERBALIFE LTD COM G4412G101 $3,261 63,114 SH DEFINED 1,5 63,114 0 0
HERBALIFE LTD COM G4412G101 $1,877 36,336 SH DEFINED 1,2,5 36,336 0 0
HERBALIFE LTD COM G4412G101 $1,406 27,211 SH DEFINED 1,4,5 27,211 0 0
HERBALIFE LTD COM G4412G101 $689 13,339 SH DEFINED 1,6,5 13,339 0 0
HERSHEY CO COM 427866108 $1,672 27,053 SH DEFINED 1,5 27,053 0 0
HERSHEY CO COM 427866108 $962 15,565 SH DEFINED 1,2,5 15,565 0 0
HERSHEY CO COM 427866108 $721 11,664 SH DEFINED 1,4,5 11,664 0 0
HERSHEY CO COM 427866108 $353 5,718 SH DEFINED 1,6,5 5,718 0 0
HOLOGIC INC COM 436440101 $2,212 126,320 SH DEFINED 1,5 126,320 0 0
HOLOGIC INC COM 436440101 $958 54,714 SH DEFINED 1,4,5 54,714 0 0
HOLOGIC INC COM 436440101 $470 26,823 SH DEFINED 1,6,5 26,823 0 0
HOLOGIC INC FRNT 2.000%12/1 436440AA9 $4,038 4,228,000 SH DEFINED 1,5 4,228,000 0 0
HOLOGIC INC FRNT 2.000%12/1 436440AA9 $5,898 6,174,000 SH DEFINED 1,2,5 6,174,000 0 0
HOLOGIC INC FRNT 2.000%12/1 436440AA9 $2,355 2,465,000 SH DEFINED 1,4,5 2,465,000 0 0
HOLOGIC INC FRNT 2.000%12/1 436440AA9 $1,824 1,909,000 SH DEFINED 1,6,5 1,909,000 0 0
HOST HOTELS & RESORTS COM 44107P104 $3,330 225,428 SH DEFINED 1,5 225,428 0 0
HOST HOTELS & RESORTS COM 44107P104 $1,916 129,737 SH DEFINED 1,2,5 129,737 0 0
HOST HOTELS & RESORTS COM 44107P104 $1,435 97,190 SH DEFINED 1,4,5 97,190 0 0
HOST HOTELS & RESORTS COM 44107P104 $704 47,645 SH DEFINED 1,6,5 47,645 0 0
INNOSPEC INC COM 45768S105 $6,466 230,349 SH DEFINED 1,5 230,349 0 0
INNOSPEC INC COM 45768S105 $2,801 99,777 SH DEFINED 1,4,5 99,777 0 0
INNOSPEC INC COM 45768S105 $1,373 48,913 SH DEFINED 1,6,5 48,913 0 0
JAMES RIVER COAL CO NOTE 4.500%12/0 470355AF5 $459 599,000 SH DEFINED 1,5 599,000 0 0
JAMES RIVER COAL CO NOTE 4.500%12/0 470355AF5 $614 803,000 SH DEFINED 1,2,5 803,000 0 0
JAMES RIVER COAL CO NOTE 4.500%12/0 470355AF5 $620 810,000 SH DEFINED 1,4,5 810,000 0 0
JAMES RIVER COAL CO NOTE 4.500%12/0 470355AF5 $220 288,000 SH DEFINED 1,6,5 288,000 0 0
LIBERTY MEDIA CORP COM 530322106 $8,799 112,730 SH DEFINED 1,5 112,730 0 0
LIBERTY MEDIA CORP COM 530322106 $5,063 64,864 SH DEFINED 1,2,5 64,864 0 0
LIBERTY MEDIA CORP COM 530322106 $3,792 48,589 SH DEFINED 1,4,5 48,589 0 0
LIBERTY MEDIA CORP COM 530322106 $1,859 23,817 SH DEFINED 1,6,5 23,817 0 0
LIZ CLAIBORNE INC COM 539320101 $972 112,624 SH DEFINED 1,5 112,624 0 0
LIZ CLAIBORNE INC COM 539320101 $560 64,843 SH DEFINED 1,2,5 64,843 0 0
LIZ CLAIBORNE INC COM 539320101 $419 48,557 SH DEFINED 1,4,5 48,557 0 0
LIZ CLAIBORNE INC COM 539320101 $205 23,804 SH DEFINED 1,6,5 23,804 0 0
LUCENT TECHNOLOGIES DBCV 2.875% 6/1 549463AH0 $7,772 8,880,000 SH DEFINED 1,5 8,880,000 0 0
LUCENT TECHNOLOGIES DBCV 2.875% 6/1 549463AH0 $6,509 7,437,000 SH DEFINED 1,2,5 7,437,000 0 0
LUCENT TECHNOLOGIES DBCV 2.875% 6/1 549463AH0 $4,258 4,865,000 SH DEFINED 1,4,5 4,865,000 0 0
LUCENT TECHNOLOGIES DBCV 2.875% 6/1 549463AH0 $2,700 3,085,000 SH DEFINED 1,6,5 3,085,000 0 0
MACYS INC COM 55616P104 $5,804 180,343 SH DEFINED 1,5 180,343 0 0
MACYS INC COM 55616P104 $3,340 103,789 SH DEFINED 1,2,5 103,789 0 0
MACYS INC COM 55616P104 $2,502 77,752 SH DEFINED 1,4,5 77,752 0 0
MACYS INC COM 55616P104 $1,227 38,116 SH DEFINED 1,6,5 38,116 0 0
MARRIOTT INTL INC NEW COM 571903202 $8,220 281,784 SH DEFINED 1,5 281,784 0 0
MARRIOTT INTL INC NEW COM 571903202 $4,731 162,171 SH DEFINED 1,2,5 162,171 0 0
MARRIOTT INTL INC NEW COM 571903202 $3,544 121,488 SH DEFINED 1,4,5 121,488 0 0
MARRIOTT INTL INC NEW COM 571903202 $1,737 59,557 SH DEFINED 1,6,5 59,557 0 0
MEDCO HEALTH SOLUTIONS COM 58405U102 $6,058 108,376 SH DEFINED 1,5 108,376 0 0
MEDCO HEALTH SOLUTIONS COM 58405U102 $2,477 44,306 SH DEFINED 1,4,5 44,306 0 0
MEDCO HEALTH SOLUTIONS COM 58405U102 $1,286 23,014 SH DEFINED 1,6,5 23,014 0 0
METALS USA HLDGS CORP COM 59132A104 $999 88,828 SH DEFINED 1,5 88,828 0 0
METALS USA HLDGS CORP COM 59132A104 $575 51,110 SH DEFINED 1,2,5 51,110 0 0
METALS USA HLDGS CORP COM 59132A104 $431 38,295 SH DEFINED 1,4,5 38,295 0 0
METALS USA HLDGS CORP COM 59132A104 $211 18,774 SH DEFINED 1,6,5 18,774 0 0
MGM RESORTS INTL COM 552953101 $1,881 180,342 SH DEFINED 1,5 180,342 0 0
MGM RESORTS INTL COM 552953101 $1,083 103,790 SH DEFINED 1,2,5 103,790 0 0
MGM RESORTS INTL COM 552953101 $811 77,752 SH DEFINED 1,4,5 77,752 0 0
MGM RESORTS INTL COM 552953101 $398 38,116 SH DEFINED 1,6,5 38,116 0 0
MICHAEL KORS HLDGS LTD COM G60754101 $1,712 62,816 SH DEFINED 1,5 62,816 0 0
MICHAEL KORS HLDGS LTD COM G60754101 $986 36,166 SH DEFINED 1,2,5 36,166 0 0
MICHAEL KORS HLDGS LTD COM G60754101 $738 27,082 SH DEFINED 1,4,5 27,082 0 0
MICHAEL KORS HLDGS LTD COM G60754101 $362 13,276 SH DEFINED 1,6,5 13,276 0 0
MOLEX INC COM 608554200 $13,080 661,315 SH DEFINED 1,5 661,315 0 0
MOLEX INC COM 608554200 $5,666 286,452 SH DEFINED 1,4,5 286,452 0 0
MOLEX INC COM 608554200 $2,778 140,426 SH DEFINED 1,6,5 140,426 0 0
NABORS INDUSTRIES LTD COM G6359F103 $1,893 109,147 SH DEFINED 1,5 109,147 0 0
NABORS INDUSTRIES LTD COM G6359F103 $1,090 62,840 SH DEFINED 1,2,5 62,840 0 0
NABORS INDUSTRIES LTD COM G6359F103 $769 44,346 SH DEFINED 1,4,5 44,346 0 0
NABORS INDUSTRIES LTD COM G6359F103 $400 23,069 SH DEFINED 1,6,5 23,069 0 0
NORDSTROM INC COM 655664100 $4,478 90,092 SH DEFINED 1,5 90,092 0 0
NORDSTROM INC COM 655664100 $2,582 51,934 SH DEFINED 1,2,5 51,934 0 0
NORDSTROM INC COM 655664100 $1,934 38,904 SH DEFINED 1,4,5 38,904 0 0
NORDSTROM INC COM 655664100 $948 19,070 SH DEFINED 1,6,5 19,070 0 0
NU SKIN ENTERPRISES INC CL A 67018T105 $3,282 67,577 SH DEFINED 1,5 67,577 0 0
NU SKIN ENTERPRISES INC CL A 67018T105 $1,890 38,905 SH DEFINED 1,2,5 38,905 0 0
NU SKIN ENTERPRISES INC CL A 67018T105 $1,415 29,135 SH DEFINED 1,4,5 29,135 0 0
NU SKIN ENTERPRISES INC CL A 67018T105 $694 14,283 SH DEFINED 1,6,5 14,283 0 0
ON SEMICONDUCTOR CORP NOTE 4/1 682189AE5 $1,537 1,513,000 SH DEFINED 1,5 1,513,000 0 0
ON SEMICONDUCTOR CORP NOTE 4/1 682189AE5 $2,144 2,110,000 SH DEFINED 1,2,5 2,110,000 0 0
ON SEMICONDUCTOR CORP NOTE 4/1 682189AE5 $2,069 2,036,000 SH DEFINED 1,4,5 2,036,000 0 0
ON SEMICONDUCTOR CORP NOTE 4/1 682189AE5 $714 703,000 SH DEFINED 1,6,5 703,000 0 0
OSI SYSTEMS INC COM 671044105 $528 10,816 SH DEFINED 1,5 10,816 0 0
OSI SYSTEMS INC COM 671044105 $304 6,227 SH DEFINED 1,2,5 6,227 0 0
OSI SYSTEMS INC COM 671044105 $227 4,663 SH DEFINED 1,4,5 4,663 0 0
OSI SYSTEMS INC COM 671044105 $112 2,286 SH DEFINED 1,6,5 2,286 0 0
PANTRY INC NOTE 3.000%11/1 698657AL7 $4,807 4,906,000 SH DEFINED 1,5 4,906,000 0 0
PANTRY INC NOTE 3.000%11/1 698657AL7 $7,218 7,367,000 SH DEFINED 1,2,5 7,367,000 0 0
PANTRY INC NOTE 3.000%11/1 698657AL7 $4,968 5,071,000 SH DEFINED 1,4,5 5,071,000 0 0
PANTRY INC NOTE 3.000%11/1 698657AL7 $2,325 2,373,000 SH DEFINED 1,6,5 2,373,000 0 0
PENN NATL GAMING INC COM 707569109 $2,578 67,717 SH DEFINED 1,5 67,717 0 0
PENN NATL GAMING INC COM 707569109 $1,480 38,882 SH DEFINED 1,2,5 38,882 0 0
PENN NATL GAMING INC COM 707569109 $1,109 29,125 SH DEFINED 1,4,5 29,125 0 0
PENN NATL GAMING INC COM 707569109 $543 14,276 SH DEFINED 1,6,5 14,276 0 0
PERKINELMER INC COM 714046109 $3,066 153,342 SH DEFINED 1,5 153,342 0 0
PERKINELMER INC COM 714046109 $1,766 88,286 SH DEFINED 1,2,5 88,286 0 0
PERKINELMER INC COM 714046109 $1,322 66,112 SH DEFINED 1,4,5 66,112 0 0
PERKINELMER INC COM 714046109 $648 32,410 SH DEFINED 1,6,5 32,410 0 0
PSS WORLD MED INC COM 69366A100 $1,948 80,522 SH DEFINED 1,5 80,522 0 0
PSS WORLD MED INC COM 69366A100 $1,121 46,322 SH DEFINED 1,2,5 46,322 0 0
PSS WORLD MED INC COM 69366A100 $839 34,698 SH DEFINED 1,4,5 34,698 0 0
PSS WORLD MED INC COM 69366A100 $412 17,012 SH DEFINED 1,6,5 17,012 0 0
RANGE RES CORP COM 75281A109 $3,125 50,450 SH DEFINED 1,5 50,450 0 0
RANGE RES CORP COM 75281A109 $1,799 29,045 SH DEFINED 1,2,5 29,045 0 0
RANGE RES CORP COM 75281A109 $1,347 21,751 SH DEFINED 1,4,5 21,751 0 0
RANGE RES CORP COM 75281A109 $660 10,663 SH DEFINED 1,6,5 10,663 0 0
RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 $163 164,000 SH DEFINED 1,5 164,000 0 0
RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 $237 239,000 SH DEFINED 1,2,5 239,000 0 0
RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 $266 268,000 SH DEFINED 1,4,5 268,000 0 0
RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 $61 61,000 SH DEFINED 1,6,5 61,000 0 0
SANCHEZ ENERGY CORP COM 79970Y105 $3,104 179,872 SH DEFINED 1,5 179,872 0 0
SANCHEZ ENERGY CORP COM 79970Y105 $1,787 103,559 SH DEFINED 1,2,5 103,559 0 0
SANCHEZ ENERGY CORP COM 79970Y105 $1,339 77,550 SH DEFINED 1,4,5 77,550 0 0
SANCHEZ ENERGY CORP COM 79970Y105 $656 38,017 SH DEFINED 1,6,5 38,017 0 0
SCHWEITZER-MAUDUIT COM 808541106 $1,348 20,287 SH DEFINED 1,5 20,287 0 0
SCHWEITZER-MAUDUIT COM 808541106 $774 11,642 SH DEFINED 1,2,5 11,642 0 0
SCHWEITZER-MAUDUIT COM 808541106 $581 8,739 SH DEFINED 1,4,5 8,739 0 0
SCHWEITZER-MAUDUIT COM 808541106 $285 4,285 SH DEFINED 1,6,5 4,285 0 0
SEADRILL LIMITED SHS G7945E105 $3,954 119,167 SH DEFINED 1,5 119,167 0 0
SEADRILL LIMITED SHS G7945E105 $2,276 68,609 SH DEFINED 1,2,5 68,609 0 0
SEADRILL LIMITED SHS G7945E105 $1,705 51,377 SH DEFINED 1,4,5 51,377 0 0
SEADRILL LIMITED SHS G7945E105 $836 25,186 SH DEFINED 1,6,5 25,186 0 0
SERVICE CORP INTL COM 817565104 $4,420 415,059 SH DEFINED 1,5 415,059 0 0
SERVICE CORP INTL COM 817565104 $2,545 238,965 SH DEFINED 1,2,5 238,965 0 0
SERVICE CORP INTL COM 817565104 $1,906 178,948 SH DEFINED 1,4,5 178,948 0 0
SERVICE CORP INTL COM 817565104 $934 87,725 SH DEFINED 1,6,5 87,725 0 0
SMUCKER J M CO COM 832696405 $7,031 89,937 SH DEFINED 1,5 89,937 0 0
SMUCKER J M CO COM 832696405 $4,048 51,781 SH DEFINED 1,2,5 51,781 0 0
SMUCKER J M CO COM 832696405 $3,031 38,775 SH DEFINED 1,4,5 38,775 0 0
SMUCKER J M CO COM 832696405 $1,486 19,009 SH DEFINED 1,6,5 19,009 0 0
SOLUTIA INC COM NEW 834376501 $3,115 180,314 SH DEFINED 1,5 180,314 0 0
SOLUTIA INC COM NEW 834376501 $1,794 103,813 SH DEFINED 1,2,5 103,813 0 0
SOLUTIA INC COM NEW 834376501 $1,343 77,740 SH DEFINED 1,4,5 77,740 0 0
SOLUTIA INC COM NEW 834376501 $659 38,110 SH DEFINED 1,6,5 38,110 0 0
SONUS NETWORKS INC COM 835916107 $473 197,202 SH DEFINED 1,5 197,202 0 0
SONUS NETWORKS INC COM 835916107 $272 113,537 SH DEFINED 1,2,5 113,537 0 0
SONUS NETWORKS INC COM 835916107 $204 85,022 SH DEFINED 1,4,5 85,022 0 0
SONUS NETWORKS INC COM 835916107 $100 41,680 SH DEFINED 1,6,5 41,680 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 $10,201 81,282 SH DEFINED 1,5 87,717 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 $4,545 36,213 SH DEFINED 1,4,5 36,213 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 $2,228 17,751 SH DEFINED 1,6,5 17,751 0 0
STEWART ENTERPRISES IN CL A 860370105 $3,751 651,292 SH DEFINED 1,5 651,292 0 0
STEWART ENTERPRISES IN CL A 860370105 $2,160 374,991 SH DEFINED 1,2,5 374,991 0 0
STEWART ENTERPRISES IN CL A 860370105 $1,617 280,802 SH DEFINED 1,4,5 280,802 0 0
STEWART ENTERPRISES IN CL A 860370105 $793 137,657 SH DEFINED 1,6,5 137,657 0 0
SUNTECH PWR HLDGS CO ADR 86800C104 $546 246,995 SH DEFINED 1,5 248,600 0 0
SUNTECH PWR HLDGS CO ADR 86800C104 $338 152,876 SH DEFINED 1,2,5 196,600 0 0
SUNTECH PWR HLDGS CO ADR 86800C104 $257 116,371 SH DEFINED 1,4,5 116,371 0 0
SUNTECH PWR HLDGS CO ADR 86800C104 $125 56,563 SH DEFINED 1,6,5 56,563 0 0
SUPERIOR ENERGY SVCS INC COM 868157108 $1,281 45,052 SH DEFINED 1,5 45,052 0 0
SUPERIOR ENERGY SVCS INC COM 868157108 $738 25,934 SH DEFINED 1,2,5 25,934 0 0
SUPERIOR ENERGY SVCS INC COM 868157108 $552 19,423 SH DEFINED 1,4,5 19,423 0 0
SUPERIOR ENERGY SVCS INC COM 868157108 $271 9,522 SH DEFINED 1,6,5 9,522 0 0
SYNERON MEDICAL LTD ORD SHS M87245102 $439 39,617 SH DEFINED 1,5 39,617 0 0
SYNERON MEDICAL LTD ORD SHS M87245102 $253 22,810 SH DEFINED 1,2,5 22,810 0 0
SYNERON MEDICAL LTD ORD SHS M87245102 $189 17,080 SH DEFINED 1,4,5 17,080 0 0
SYNERON MEDICAL LTD ORD SHS M87245102 $93 8,373 SH DEFINED 1,6,5 8,373 0 0
TESORO CORP COM 881609101 $2,631 112,624 SH DEFINED 1,5 112,624 0 0
TESORO CORP COM 881609101 $1,515 64,843 SH DEFINED 1,2,5 64,843 0 0
TESORO CORP COM 881609101 $1,134 48,557 SH DEFINED 1,4,5 48,557 0 0
TESORO CORP COM 881609101 $556 23,804 SH DEFINED 1,6,5 23,804 0 0
TEVA PHARMACEUTICAL ADR 881624209 $2,730 67,629 SH DEFINED 1,5 67,629 0 0
TEVA PHARMACEUTICAL ADR 881624209 $1,571 38,921 SH DEFINED 1,2,5 38,921 0 0
TEVA PHARMACEUTICAL ADR 881624209 $1,177 29,157 SH DEFINED 1,4,5 29,157 0 0
TEVA PHARMACEUTICAL ADR 881624209 $577 14,293 SH DEFINED 1,6,5 14,293 0 0
TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 $5,127 5,229,000 SH DEFINED 1,5 5,229,000 0 0
TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 $4,684 4,777,000 SH DEFINED 1,2,5 4,777,000 0 0
TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 $3,089 3,150,000 SH DEFINED 1,4,5 3,150,000 0 0
TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 $1,808 1,844,000 SH DEFINED 1,6,5 1,844,000 0 0
TRIANGLE PETE CORP COM 89600B201 $2,504 419,367 SH DEFINED 1,5 419,367 0 0
TRIANGLE PETE CORP COM 89600B201 $1,441 241,445 SH DEFINED 1,2,5 241,445 0 0
TRIANGLE PETE CORP COM 89600B201 $1,079 180,805 SH DEFINED 1,4,5 180,805 0 0
TRIANGLE PETE CORP COM 89600B201 $529 88,635 SH DEFINED 1,6,5 88,635 0 0
TRINA SOLAR LIMITED SPON ADR 8962E104 $1,210 181,105 SH DEFINED 1,5 181,105 0 0
TRINA SOLAR LIMITED SPON ADR 8962E104 $592 88,568 SH DEFINED 1,4,5 88,568 0 0
TRINA SOLAR LIMITED SPON ADR 8962E104 $296 44,253 SH DEFINED 1,6,5 44,253 0 0
VALASSIS COMMUNICA COM 918866104 $9,010 468,546 SH DEFINED 1,5 468,546 0 0
VALASSIS COMMUNICA COM 918866104 $5,187 269,752 SH DEFINED 1,2,5 269,752 0 0
VALASSIS COMMUNICA COM 918866104 $3,885 202,007 SH DEFINED 1,4,5 202,007 0 0
VALASSIS COMMUNICA COM 918866104 $1,904 99,029 SH DEFINED 1,6,5 99,029 0 0
VCA ANTECH INC COM 918194101 $1,278 64,705 SH DEFINED 1,5 64,705 0 0
VCA ANTECH INC COM 918194101 $736 37,266 SH DEFINED 1,2,5 37,266 0 0
VCA ANTECH INC COM 918194101 $551 27,901 SH DEFINED 1,4,5 27,901 0 0
VCA ANTECH INC COM 918194101 $270 13,678 SH DEFINED 1,6,5 13,678 0 0
WALTER ENERGY INC COM 93317Q105 $6,809 112,422 SH DEFINED 1,5 112,422 0 0
WALTER ENERGY INC COM 93317Q105 $3,920 64,724 SH DEFINED 1,2,5 64,724 0 0
WALTER ENERGY INC COM 93317Q105 $2,935 48,469 SH DEFINED 1,4,5 48,469 0 0
WALTER ENERGY INC COM 93317Q105 $1,439 23,761 SH DEFINED 1,6,5 23,761 0 0
WALTER ENERGY INC COM 93317Q105 $266 4,400 SH CALL DEFINED 1,5 4,400 0 0
WALTER ENERGY INC COM 93317Q105 $121 2,000 SH CALL DEFINED 1,2,5 2,000 0 0
WALTER ENERGY INC COM 93317Q105 $151 2,500 SH CALL DEFINED 1,4,5 2,500 0 0
WALTER ENERGY INC COM 93317Q105 $67 1,100 SH CALL DEFINED 1,6,5 1,100 0 0
WARNER CHILCOTT PLC SHS A G94368100 $4,803 317,394 SH DEFINED 1,5 317,394 0 0
WARNER CHILCOTT PLC SHS A G94368100 $1,969 130,124 SH DEFINED 1,4,5 130,124 0 0
WARNER CHILCOTT PLC SHS A G94368100 $1,020 67,401 SH DEFINED 1,6,5 67,401 0 0
WEATHERFORD INTL REG SHS H27013103 $3,872 264,484 SH DEFINED 1,5 264,484 0 0
WEATHERFORD INTL REG SHS H27013103 $2,231 152,415 SH DEFINED 1,2,5 152,415 0 0
WEATHERFORD INTL REG SHS H27013103 $1,671 114,146 SH DEFINED 1,4,5 114,146 0 0
WEATHERFORD INTL REG SHS H27013103 $819 55,955 SH DEFINED 1,6,5 55,955 0 0
WI-LAN INC COM 928972108 $2,536 441,888 SH DEFINED 1,5 441,888 0 0
WI-LAN INC COM 928972108 $1,483 258,370 SH DEFINED 1,2,5 258,370 0 0
WI-LAN INC COM 928972108 $1,111 193,476 SH DEFINED 1,4,5 193,476 0 0
WI-LAN INC COM 928972108 $544 94,847 SH DEFINED 1,6,5 94,847 0 0
XEROX CORP COM 984121103 $29,212 3,669,817 SH DEFINED 1,5 3,669,817 0 0
XEROX CORP COM 984121103 $12,654 1,589,717 SH DEFINED 1,4,5 1,589,717 0 0
XEROX CORP COM 984121103 $6,203 779,319 SH DEFINED 1,6,5 779,319 0 0