-----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, HdEAjW/RRS1DPbjAqT99h/gXaX7BIOX9Pj8czM4ZS9lv3vnPkiT8d/72Jwx7Cexj AsLDzrZ/jy7xoDzxmTPteQ== 0001085146-08-000430.txt : 20080214 0001085146-08-000430.hdr.sgml : 20080214 20080214164419 ACCESSION NUMBER: 0001085146-08-000430 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20071231 FILED AS OF DATE: 20080214 DATE AS OF CHANGE: 20080214 EFFECTIVENESS DATE: 20080214 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AQR CAPITAL MANAGEMENT LLC CENTRAL INDEX KEY: 0001167557 IRS NUMBER: 133987414 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-10120 FILM NUMBER: 08617908 BUSINESS ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 BUSINESS PHONE: 203-742-3600 MAIL ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 13F-HR 1 aqr4q07.txt AQR CAPITAL MANAGEMENT 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, 2007 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: AQR Capital Management, LLC Address: Two Greenwich Plaza, 3rd Floor Greenwich, CT 06830 13F File Number: 28-10120 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 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: Clifford S. Asness Title: Managing Member Phone: 203-742-3600 Signature, Place, and Date of Signing: /s/ Clifford S. Asness Greenwich, CT February 06, 2008 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form13F Information Table Entry Total: 1517 Form13F Information Table Value Total: $12,624,233 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3COM CORP COM 885535104 11052 2445115 SH SOLE 26438 0 0 3M CO COM 88579Y101 11282 133801 SH SOLE 1062 0 0 A D C TELECOMMUNICATIONS COM NEW 000886309 15319 985163 SH SOLE 11700 0 0 ABBOTT LABS COM 002824100 500 8900 SH SOLE 8600 0 0 ABITIBIBOWATER INC COM 003687100 20132 976829 SH SOLE 500 0 0 ABM INDS INC COM 000957100 1472 72215 SH SOLE 500 0 0 ACADIA RLTY TR COM SH BEN INT 004239109 330 12875 SH SOLE 100 0 0 ACCENTURE LTD BERMUDA CL A G1150G111 36088 1001600 SH SOLE 19942 0 0 ACCURIDE CORP COM 004398103 697 88663 SH SOLE 15646 0 0 ACE LTD ORD G0070K103 11120 179994 SH SOLE 3900 0 0 ACTUANT CORP SDCV 2.000%11/1 00508XAB0 39665 22750000 PRN SOLE 0 0 0 ACTUANT CORP CL A NEW 00508X203 269 7900 SH SOLE 1000 0 0 ACTUATE CORP COM 00508B102 101 12970 SH SOLE 1200 0 0 ACUITY BRANDS INC COM 00508Y102 13166 292569 SH SOLE 100 0 0 ADAMS RESPIRATORY THERAPEUTI COM 00635P107 5015 83939 SH SOLE 100 0 0 ADMINISTAFF INC COM 007094105 14209 502425 SH SOLE 200 0 0 ADOBE SYS INC COM 00724F101 1000 23400 SH SOLE 6900 0 0 ADTRAN INC COM 00738A106 5091 238100 SH SOLE 100 0 0 ADVANCE AMER CASH ADVANCE CT COM 00739W107 4175 410940 SH SOLE 7092 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 650 17100 SH SOLE 2300 0 0 ADVANCED ENERGY INDS COM 007973100 13110 1002286 SH SOLE 30300 0 0 ADVANCED MICRO DEVICES INC COM 007903107 228 30400 SH SOLE 30400 0 0 ADVANTA CORP CL B 007942204 3597 445758 SH SOLE 13400 0 0 AEROPOSTALE COM 007865108 35111 1324925 SH SOLE 5700 0 0 AETNA INC NEW COM 00817Y108 13640 236271 SH SOLE 800 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 290 6437 SH SOLE 100 0 0 AFLAC INC COM 001055102 720 11500 SH SOLE 300 0 0 AGCO CORP COM 001084102 11320 166523 SH SOLE 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0 0 ALESCO FINL INC COM 014485106 244 74330 SH SOLE 3800 0 0 ALEXANDERS INC COM 014752109 310 877 SH SOLE 34 0 0 ALEXANDRIA REAL ESTATE EQ IN COM 015271109 4010 39440 SH SOLE 1100 0 0 ALFA CORP COM 015385107 5517 254611 SH SOLE 1900 0 0 ALLETE INC COM NEW 018522300 364 9200 SH SOLE 2168 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 9402 125372 SH SOLE 124672 0 0 ALLIANCE ONE INTL INC COM 018772103 141 34600 SH SOLE 34600 0 0 ALLIANT ENERGY CORP COM 018802108 4183 102807 SH SOLE 2130 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 11153 98040 SH SOLE 11848 0 0 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 5192 3500000 PRN SOLE 0 0 0 ALLIANT TECHSYSTEMS INC NOTE 3.000% 8/1 018804AK0 13519 8500000 PRN SOLE 0 0 0 ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 1364 123751 SH SOLE 4600 0 0 ALLIED WRLD ASSUR COM HLDG L SHS G0219G203 5147 102600 SH SOLE 8335 0 0 ALLSCRIPTS HEALTHCARE SOLUTI DBCV 3.500% 7/1 01988PAB4 39549 22000000 PRN SOLE 0 0 0 ALLSTATE CORP COM 020002101 33030 632400 SH SOLE 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0 0 ATMEL CORP COM 049513104 7878 1823554 SH SOLE 37494 0 0 ATMOS ENERGY CORP COM 049560105 1015 36202 SH SOLE 5000 0 0 ATP OIL & GAS CORP COM 00208J108 667 13200 SH SOLE 10700 0 0 ATWOOD OCEANICS INC COM 050095108 1053 10500 SH SOLE 100 0 0 AUTODESK INC COM 052769106 22733 456849 SH SOLE 3600 0 0 AUTOLIV INC COM 052800109 3300 62600 SH SOLE 2800 0 0 AUTOMATIC DATA PROCESSING IN COM 053015103 9769 219371 SH SOLE 800 0 0 AUTONATION INC COM 05329W102 5210 332717 SH SOLE 4800 0 0 AUTOZONE INC COM 053332102 10592 88333 SH SOLE 1000 0 0 AVALONBAY CMNTYS INC COM 053484101 1773 18834 SH SOLE 427 0 0 AVATAR HLDGS INC NOTE 4.500% 4/0 053494AF7 12248 12500000 PRN SOLE 0 0 0 AVENTINE RENEWABLE ENERGY COM 05356X403 578 45300 SH SOLE 38000 0 0 AVIS BUDGET GROUP COM 053774105 2943 226400 SH SOLE 20200 0 0 AVISTA CORP COM 05379B107 5157 239401 SH SOLE 4700 0 0 AVNET INC COM 053807103 11117 317900 SH SOLE 10157 0 0 AVX CORP NEW COM 002444107 18648 1389570 SH SOLE 24200 0 0 AXCAN PHARMA INC COM 054923107 5819 252996 SH SOLE 252996 0 0 AXIS CAPITAL HOLDINGS SHS G0692U109 23822 611300 SH SOLE 10127 0 0 BALLY TECHNOLOGIES INC COM 05874B107 457 9200 SH SOLE 100 0 0 BANCFIRST CORP COM 05945F103 595 13879 SH SOLE 9035 0 0 BANCO BILBAO VIZCAYA ARGENTA SPONSORED ADR 05946K101 10139 418096 SH SOLE 10600 0 0 BANCORPSOUTH INC COM 059692103 10909 462070 SH SOLE 19800 0 0 BANK FLA CORP NAPLES COM 062128103 217 18870 SH SOLE 18870 0 0 BANK HAWAII CORP COM 062540109 13880 271404 SH SOLE 9400 0 0 BANK OF AMERICA CORPORATION COM 060505104 53397 1294155 SH SOLE 30853 0 0 BANK OF NEW YORK MELLON CORP COM 064058100 24242 497179 SH SOLE 2890 0 0 BANKRATE INC COM 06646V108 216 4500 SH SOLE 500 0 0 BANKUNITED FINL CORP NOTE 3.125% 3/0 06652BAE3 13608 20900000 PRN SOLE 0 0 0 BANKUNITED FINL CORP CL A 06652B103 1080 156500 SH SOLE 100 0 0 BARD C R INC COM 067383109 739 7800 SH SOLE 7800 0 0 BARNES & NOBLE INC COM 067774109 21281 617732 SH SOLE 2599 0 0 BAXTER INTL INC COM 071813109 12672 218300 SH 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HEALTH INC COM 14149Y108 9719 168300 SH SOLE 700 0 0 CARDINAL STATE BANK DURHAM N COM 141546101 324 20987 SH SOLE 20987 0 0 CAREER EDUCATION CORP COM 141665109 737 29300 SH SOLE 2600 0 0 CARNIVAL CORP PAIRED CTF 143658300 343 7700 SH SOLE 700 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 29689 394964 SH SOLE 2400 0 0 CARRIER ACCESS CORP COM 144460102 775 322950 SH SOLE 322950 0 0 CASCADE CORP COM 147195101 1100 23680 SH SOLE 5746 0 0 CATERPILLAR INC DEL COM 149123101 32308 445264 SH SOLE 2300 0 0 CATO CORP NEW CL A 149205106 4416 281992 SH SOLE 18700 0 0 CB RICHARD ELLIS GROUP INC CL A 12497T101 284 13200 SH SOLE 13200 0 0 CBIZ INC NOTE 3.125% 6/0 124805AB8 1076 1000000 PRN SOLE 0 0 0 CBRE REALTY FINANCE INC COM 12498B307 63 11880 SH SOLE 741 0 0 CBRL GROUP INC COM 12489V106 22543 695998 SH SOLE 2300 0 0 CBS CORP NEW CL B 124857202 10707 392900 SH SOLE 12314 0 0 CEC ENTMT INC COM 125137109 4021 154900 SH SOLE 1604 0 0 CEDAR SHOPPING CTRS INC COM NEW 150602209 904 88370 SH SOLE 2900 0 0 CELANESE CORP DEL COM SER A 150870103 16787 396664 SH SOLE 400 0 0 CELGENE CORP COM 151020104 786 17000 SH SOLE 17000 0 0 CELGENE CORP NOTE 1.750% 6/0 151020AC8 102402 26830000 PRN SOLE 0 0 0 CENTENE CORP DEL COM 15135B101 10526 383611 SH SOLE 300 0 0 CENTENNIAL COMMUNCTNS CORP N CL A NEW 15133V208 740 79700 SH SOLE 600 0 0 CENTERPOINT ENERGY INC COM 15189T107 2727 159200 SH SOLE 5624 0 0 CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 3069 2000000 PRN SOLE 0 0 0 CENTRAL EUROPEAN DIST CORP COM 153435102 557 9590 SH SOLE 2000 0 0 CENTRAL PAC FINL CORP COM 154760102 2817 152600 SH SOLE 7500 0 0 CENTURY ALUM CO COM 156431108 4624 85720 SH SOLE 1500 0 0 CENTURY ALUM CO NOTE 1.750% 8/0 156431AE8 25677 14000000 PRN SOLE 0 0 0 CENTURYTEL INC COM 156700106 9934 239600 SH SOLE 4900 0 0 CEPHALON INC NOTE 2.000% 6/0 156708AP4 68469 41500000 PRN SOLE 0 0 0 CERADYNE INC COM 156710105 8127 173163 SH SOLE 100 0 0 CERADYNE INC NOTE 2.875%12/1 156710AA3 25040 23500000 PRN SOLE 0 0 0 CF INDS HLDGS INC COM 125269100 40934 371921 SH SOLE 4700 0 0 CHARLES RIV LABS INTL INC COM 159864107 43468 660608 SH SOLE 3882 0 0 CHARLES RIVER ASSOCIATES DBCV 2.875% 6/1 159852AB8 43570 32150000 PRN SOLE 0 0 0 CHARLOTTE RUSSE HLDG INC COM 161048103 9708 601086 SH SOLE 200 0 0 CHARMING SHOPPES INC COM 161133103 286 52800 SH SOLE 3437 0 0 CHECKPOINT SYS INC COM 162825103 2806 108000 SH SOLE 3960 0 0 CHEMED CORP NEW COM 16359R103 1656 29626 SH SOLE 100 0 0 CHEMICAL FINL CORP COM 163731102 1631 68570 SH SOLE 1900 0 0 CHEMTURA CORP COM 163893100 2402 307900 SH SOLE 248601 0 0 CHEVRON CORP NEW COM 166764100 81776 876200 SH SOLE 20010 0 0 CHIQUITA BRANDS INTL INC COM 170032809 3787 205930 SH SOLE 4200 0 0 CHITTENDEN CORP COM 170228100 40707 1142821 SH SOLE 3000 0 0 CHOICEPOINT INC COM 170388102 3387 93000 SH SOLE 2638 0 0 CHORDIANT SOFTWARE INC COM NEW 170404305 222 26000 SH SOLE 400 0 0 CHUBB CORP COM 171232101 1204 22052 SH SOLE 500 0 0 CIENA CORP COM NEW 171779309 362 10600 SH SOLE 0 0 0 CIENA CORP NOTE 0.250% 5/0 171779AB7 7800 7500000 PRN SOLE 0 0 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 2095 2000000 PRN SOLE 0 0 0 CIGNA CORP COM 125509109 41903 779887 SH SOLE 2900 0 0 CIMAREX ENERGY CO COM 171798101 5318 125050 SH SOLE 20905 0 0 CINCINNATI BELL INC NEW COM 171871106 843 177500 SH SOLE 7200 0 0 CINTAS CORP COM 172908105 430 12800 SH SOLE 12800 0 0 CIRCUIT CITY STORE INC COM 172737108 263 62700 SH SOLE 8342 0 0 CISCO SYS INC COM 17275R102 41797 1544044 SH SOLE 1800 0 0 CIT GROUP INC COM 125581108 7294 303558 SH SOLE 13200 0 0 CITIGROUP INC COM 172967101 47443 1611500 SH SOLE 34323 0 0 CITIZENS REPUBLIC BANCORP IN COM 174420109 6213 428188 SH SOLE 25390 0 0 CITY HLDG CO COM 177835105 1461 43169 SH SOLE 1800 0 0 CITY NATL CORP COM 178566105 9777 164177 SH SOLE 11800 0 0 CKE RESTAURANTS INC COM 12561E105 9279 702983 SH SOLE 5490 0 0 CKE RESTAURANTS INC NOTE 4.000%10/0 12561EAG0 2734 1750000 PRN SOLE 0 0 0 CKX INC COM 12562M106 12496 1041351 SH SOLE 1668 0 0 CLAYMONT STEEL HOLDINGS INC COM 18382P104 5395 231047 SH SOLE 229947 0 0 CLEAR CHANNEL COMMUNICATIONS COM 184502102 6521 188907 SH SOLE 900 0 0 CLEARWIRE CORP CL A 185385309 234 17100 SH SOLE 3600 0 0 CLECO CORP NEW COM 12561W105 756 27200 SH SOLE 2200 0 0 CLEVELAND CLIFFS INC COM 185896107 11311 112214 SH SOLE 1700 0 0 CME GROUP INC COM 12572Q105 15229 22200 SH SOLE 100 0 0 CMGI INC COM NEW 125750307 4846 370172 SH SOLE 11930 0 0 CMS ENERGY CORP COM 125896100 4298 247300 SH SOLE 4199 0 0 CMS ENERGY CORP NOTE 3.375% 7/1 125896AY6 9564 5750000 PRN SOLE 0 0 0 CNA FINL CORP COM 126117100 19967 592132 SH SOLE 6645 0 0 COACH INC COM 189754104 1927 63015 SH SOLE 300 0 0 COCA COLA CO COM 191216100 11452 186600 SH SOLE 3246 0 0 COCA COLA ENTERPRISES INC COM 191219104 2830 108733 SH SOLE 5000 0 0 COGNOS INC COM 19244C109 12868 223514 SH SOLE 223514 0 0 COHEN & STEERS INC COM 19247A100 1388 46300 SH SOLE 46300 0 0 COHERENT INC COM 192479103 584 23296 SH SOLE 1000 0 0 COLDWATER CREEK INC COM 193068103 93 13900 SH SOLE 13900 0 0 COLEY PHARMACEUTICAL GROUP I COM 19388P106 2267 283435 SH SOLE 283435 0 0 COLLECTIVE BRANDS INC COM 19421W100 7035 404531 SH SOLE 22600 0 0 COLONIAL BANCGROUP INC COM 195493309 2936 216817 SH SOLE 12900 0 0 COLONIAL PPTYS TR COM SH BEN INT 195872106 204 9000 SH SOLE 6900 0 0 COLUMBUS MCKINNON CORP N Y COM 199333105 640 19620 SH SOLE 200 0 0 COMCAST CORP NEW CL A SPL 20030N200 636 35100 SH SOLE 35100 0 0 COMERICA INC COM 200340107 8634 198355 SH SOLE 7296 0 0 COMFORT SYS USA INC COM 199908104 1604 125536 SH SOLE 6784 0 0 COMMERCE BANCORP INC NJ COM 200519106 38313 1004531 SH SOLE 702 0 0 COMMERCE BANCSHARES INC COM 200525103 2532 56451 SH SOLE 2520 0 0 COMMERCE GROUP INC MASS COM 200641108 18695 519592 SH SOLE 4300 0 0 COMMERCIAL METALS CO COM 201723103 20815 706781 SH SOLE 6100 0 0 COMMSCOPE INC COM 203372107 21400 434865 SH SOLE 337 0 0 COMMSCOPE INC SDCV 1.000% 3/1 203372AD9 55360 24250000 PRN SOLE 0 0 0 COMMUNITY BK SYS INC COM 203607106 1039 52310 SH SOLE 19829 0 0 COMPUCREDIT CORP NOTE 3.625% 5/3 20478NAB6 4782 9500000 PRN SOLE 0 0 0 COMPUTER ASSOC INTL INC NOTE 1.625%12/1 204912AQ2 24352 18500000 PRN SOLE 0 0 0 COMPUTER SCIENCES CORP COM 205363104 29913 604677 SH SOLE 7110 0 0 COMPUTER TASK GROUP INC COM 205477102 540 97603 SH SOLE 97603 0 0 COMPUWARE CORP COM 205638109 11975 1348487 SH SOLE 26000 0 0 COMSTOCK RES INC COM NEW 205768203 1476 43400 SH SOLE 4900 0 0 COMTECH TELECOMMUNICATIONS C COM NEW 205826209 9986 184900 SH SOLE 2900 0 0 COMTECH TELECOMMUNICATIONS C NOTE 2.000% 2/0 205826AD2 41650 23750000 PRN SOLE 0 0 0 CON-WAY INC COM 205944101 9982 240290 SH SOLE 4400 0 0 CONAGRA FOODS INC COM 205887102 19931 837779 SH SOLE 15204 0 0 CONCEPTUS INC NOTE 2.250% 2/1 206016AA5 970 1000000 PRN SOLE 0 0 0 CONMED CORP COM 207410101 1639 70939 SH SOLE 200 0 0 CONOCOPHILLIPS COM 20825C104 56027 634504 SH SOLE 4751 0 0 CONSECO INC COM NEW 208464883 10281 818518 SH SOLE 10800 0 0 CONSOLIDATED EDISON INC COM 209115104 3513 71906 SH SOLE 71400 0 0 CONSOLIDATED GRAPHICS INC COM 209341106 808 16897 SH SOLE 100 0 0 CONSTELLATION BRANDS INC CL A 21036P108 217 9200 SH SOLE 4100 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 390 3800 SH SOLE 2800 0 0 CONTINENTAL AIRLS INC CL B 210795308 730 32800 SH SOLE 300 0 0 CONVERGYS CORP COM 212485106 14917 906241 SH SOLE 30900 0 0 COOPER TIRE & RUBR CO COM 216831107 18350 1106749 SH SOLE 6400 0 0 CORN PRODS INTL INC COM 219023108 6667 181420 SH SOLE 4433 0 0 CORNING INC COM 219350105 1351 56300 SH SOLE 9600 0 0 CORPORATE EXECUTIVE BRD CO COM 21988R102 1034 17200 SH SOLE 17200 0 0 CORPORATE OFFICE PPTYS TR SH BEN INT 22002T108 2708 85981 SH SOLE 2400 0 0 CORUS BANKSHARES INC COM 220873103 3676 344520 SH SOLE 12900 0 0 CORVEL CORP COM 221006109 974 42300 SH SOLE 2464 0 0 COUNTRYWIDE FINANCIAL CORP COM 222372104 432 48300 SH SOLE 13000 0 0 COUSINS PPTYS INC COM 222795106 437 19788 SH SOLE 100 0 0 COVAD COMMUNICATIONS GROUP I COM 222814204 7514 8737275 SH SOLE 8737275 0 0 COVENTRY HEALTH CARE INC COM 222862104 11021 186003 SH SOLE 2000 0 0 COVIDIEN LTD COM G2552X108 4985 112550 SH SOLE 100 0 0 CPI CORP COM 125902106 537 22800 SH SOLE 147 0 0 CRANE CO COM 224399105 5554 129455 SH SOLE 2300 0 0 CRAY INC COM NEW 225223304 208 34760 SH SOLE 6799 0 0 CREE INC COM 225447101 481 17500 SH SOLE 17500 0 0 CROWN HOLDINGS INC COM 228368106 15157 590931 SH SOLE 13100 0 0 CRYSTAL RIV CAP INC COM 229393301 878 60780 SH SOLE 2000 0 0 CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 21075 24500000 PRN SOLE 0 0 0 CSG SYS INTL INC COM 126349109 17253 1172052 SH SOLE 3700 0 0 CSK AUTO CORP COM 125965103 1452 289901 SH SOLE 8400 0 0 CSS INDS INC COM 125906107 3526 96080 SH SOLE 9200 0 0 CSX CORP COM 126408103 27151 617345 SH SOLE 10200 0 0 CTS CORP COM 126501105 182 18300 SH SOLE 2000 0 0 CUBIC CORP COM 229669106 13893 354420 SH SOLE 3300 0 0 CULLEN FROST BANKERS INC COM 229899109 441 8700 SH SOLE 8700 0 0 CUMMINS INC COM 231021106 13399 105200 SH SOLE 800 0 0 CUMULUS MEDIA INC CL A 231082108 4771 593423 SH SOLE 592023 0 0 CURTISS WRIGHT CORP COM 231561101 6916 137764 SH SOLE 5200 0 0 CV THERAPEUTICS INC NOTE 2.750% 5/1 126667AF1 10751 13000000 PRN SOLE 0 0 0 CVS CAREMARK CORPORATION COM 126650100 253 6375 SH SOLE 2500 0 0 CYBERSOURCE CORP COM 23251J106 11390 640944 SH SOLE 645 0 0 CYMER INC COM 232572107 8570 220134 SH SOLE 300 0 0 DANAHER CORP DEL COM 235851102 15149 172657 SH SOLE 3200 0 0 DARDEN RESTAURANTS INC COM 237194105 1890 68200 SH SOLE 57900 0 0 DCT INDUSTRIAL TRUST INC COM 233153105 3406 365800 SH SOLE 12000 0 0 DECKERS OUTDOOR CORP COM 243537107 12987 83752 SH SOLE 100 0 0 DECODE GENETICS INC NOTE 3.500% 4/1 243586AB0 1846 2750000 PRN SOLE 0 0 0 DEERE & CO COM 244199105 25853 277628 SH SOLE 2600 0 0 DELEK US HLDGS INC COM 246647101 744 36800 SH SOLE 2500 0 0 DELL INC COM 24702R101 29264 1193954 SH SOLE 14200 0 0 DELPHI FINL GROUP INC CL A 247131105 1312 37200 SH SOLE 1900 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 211 14200 SH SOLE 14200 0 0 DELTA PETE CORP NOTE 3.750% 5/0 247907AD0 1933 2000000 PRN SOLE 0 0 0 DELUXE CORP COM 248019101 315 9573 SH SOLE 1400 0 0 DENNYS CORP COM 24869P104 104 27725 SH SOLE 900 0 0 DENTSPLY INTL INC NEW COM 249030107 5591 124200 SH SOLE 2300 0 0 DEVELOPERS DIVERSIFIED RLTY COM 251591103 934 24400 SH SOLE 613 0 0 DEVON ENERGY CORP NEW COM 25179M103 44987 505987 SH SOLE 6900 0 0 DEVRY INC DEL COM 251893103 218 4200 SH SOLE 200 0 0 DIAMOND MGMT & TECHNOLOGY CO COM 25269L106 276 38000 SH SOLE 600 0 0 DIAMOND OFFSHORE DRILLING IN COM 25271C102 270 1900 SH SOLE 1110 0 0 DIAMONDROCK HOSPITALITY CO COM 252784301 3209 214223 SH SOLE 6700 0 0 DICKS SPORTING GOODS INC NOTE 1.606% 2/1 253393AB8 2496 2500000 PRN SOLE 0 0 0 DIEBOLD INC COM 253651103 345 11900 SH SOLE 7700 0 0 DIGITAL RLTY TR INC COM 253868103 1257 32747 SH SOLE 100 0 0 DILLARDS INC CL A 254067101 4524 240872 SH SOLE 13600 0 0 DIODES INC NOTE 2.250%10/0 254543AA9 4116 4000000 PRN SOLE 0 0 0 DIONEX CORP COM 254546104 1003 12100 SH SOLE 7600 0 0 DIRECTV GROUP INC COM 25459L106 271 11700 SH SOLE 5100 0 0 DISCOVER FINL SVCS COM 254709108 1109 73525 SH SOLE 3500 0 0 DISNEY WALT CO COM DISNEY 254687106 40984 1269645 SH SOLE 10400 0 0 DOLBY LABORATORIES INC COM 25659T107 15810 317971 SH SOLE 7900 0 0 DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 1179 49800 SH SOLE 6726 0 0 DOLLAR TREE STORES INC COM 256747106 9281 358053 SH SOLE 4900 0 0 DOMINION RES INC VA NEW COM 25746U109 1433 30200 SH SOLE 3295 0 0 DOMINOS PIZZA INC COM 25754A201 6509 491966 SH SOLE 11300 0 0 DOUGLAS EMMETT INC COM 25960P109 298 13200 SH SOLE 8100 0 0 DOVER CORP COM 260003108 1277 27700 SH SOLE 4100 0 0 DOW CHEM CO COM 260543103 14792 375253 SH SOLE 10100 0 0 DOWNEY FINL CORP COM 261018105 2449 78730 SH SOLE 2500 0 0 DRESS BARN INC COM 261570105 15701 1255072 SH SOLE 11500 0 0 DRESS BARN INC NOTE 2.500%12/1 261570AB1 20665 14900000 PRN SOLE 0 0 0 DRESSER-RAND GROUP INC COM 261608103 35443 907628 SH SOLE 300 0 0 DREW INDS INC COM NEW 26168L205 2236 81600 SH SOLE 800 0 0 DRS TECHNOLOGIES INC COM 23330X100 385 7100 SH SOLE 2600 0 0 DST SYS INC DEL COM 233326107 206 2500 SH SOLE 2500 0 0 DST SYS INC DEL DBCV 3.625% 8/1 233326AD9 2559 1500000 PRN SOLE 0 0 0 DST SYS INC DEL DBCV 4.125% 8/1 233326AB3 44885 25500000 PRN SOLE 0 0 0 DTE ENERGY CO COM 233331107 2150 48900 SH SOLE 5590 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 7553 171300 SH SOLE 5670 0 0 DUKE REALTY CORP COM NEW 264411505 730 28000 SH SOLE 640 0 0 DUN & BRADSTREET CORP DEL NE COM 26483E100 15044 169739 SH SOLE 1800 0 0 DYCOM INDS INC COM 267475101 313 11732 SH SOLE 700 0 0 DYNCORP INTL INC CL A 26817C101 12710 472845 SH SOLE 200 0 0 E M C CORP MASS COM 268648102 1957 105600 SH SOLE 9500 0 0 E TRADE FINANCIAL CORP COM 269246104 138 39000 SH SOLE 39000 0 0 E Z EM INC COM NEW 269305405 7089 341976 SH SOLE 900 0 0 EARTHLINK INC COM 270321102 5233 740218 SH SOLE 11900 0 0 EARTHLINK INC NOTE 3.250%11/1 270321AA0 12941 12500000 PRN SOLE 0 0 0 EAST WEST BANCORP INC COM 27579R104 1182 48801 SH SOLE 8200 0 0 EASTGROUP PPTY INC COM 277276101 594 14200 SH SOLE 200 0 0 EASTMAN CHEM CO COM 277432100 3870 63346 SH SOLE 1700 0 0 EASTMAN KODAK CO COM 277461109 1328 60700 SH SOLE 2080 0 0 EATON CORP COM 278058102 834 8600 SH SOLE 1200 0 0 EBAY INC COM 278642103 5891 177500 SH SOLE 2593 0 0 ECOLAB INC COM 278865100 2315 45200 SH SOLE 13400 0 0 EDISON INTL COM 281020107 37091 694975 SH SOLE 9349 0 0 EDUCATION RLTY TR INC COM 28140H104 577 51340 SH SOLE 1700 0 0 EDWARDS LIFESCIENCES CORP COM 28176E108 14782 321416 SH SOLE 6700 0 0 EL PASO ELEC CO COM NEW 283677854 1336 52255 SH SOLE 25200 0 0 ELECTRONIC ARTS INC COM 285512109 748 12800 SH SOLE 12800 0 0 ELECTRONIC CLEARING HOUSE IN COM PAR.01 NEW 285562500 5728 344867 SH SOLE 344867 0 0 ELECTRONIC DATA SYS NEW COM 285661104 19167 924612 SH SOLE 6400 0 0 ELECTRONICS FOR IMAGING INC COM 286082102 814 36200 SH SOLE 30935 0 0 EMBARQ CORP COM 29078E105 30892 623700 SH SOLE 10441 0 0 EMCOR GROUP INC COM 29084Q100 15851 670794 SH SOLE 10400 0 0 EMERGENCY MEDICAL SVCS CORP CL A 29100P102 559 19100 SH SOLE 200 0 0 EMERSON ELEC CO COM 291011104 2822 49800 SH SOLE 4344 0 0 EMS TECHNOLOGIES INC COM 26873N108 305 10100 SH SOLE 200 0 0 EMULEX CORP COM NEW 292475209 381 23340 SH SOLE 8156 0 0 ENCYSIVE PHARMACEUTICALS INC FRNT 2.500% 3/1 29256XAB3 1245 2500000 PRN SOLE 0 0 0 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 1307 49000 SH SOLE 47800 0 0 ENDURANCE SPECIALTY HLDGS LT SHS G30397106 4436 106300 SH SOLE 5430 0 0 ENERGEN CORP COM 29265N108 16934 263643 SH SOLE 100 0 0 ENERGY EAST CORP COM 29266M109 1255 46107 SH SOLE 2700 0 0 ENERGY PARTNERS LTD COM 29270U105 546 46200 SH SOLE 2800 0 0 ENERGY TRANSFER EQUITY L P COM UT LTD PTN 29273V100 500 14200 SH SOLE 14200 0 0 ENERGY TRANSFER PRTNRS L P UNIT LTD PARTN 29273R109 991 18400 SH SOLE 14100 0 0 ENPRO INDS INC COM 29355X107 7268 237131 SH SOLE 5100 0 0 ENPRO INDS INC DBCV 3.937%10/1 29355XAB3 232 197000 PRN SOLE 0 0 0 ENSCO INTL INC COM 26874Q100 3971 66600 SH SOLE 693 0 0 ENTERGY CORP NEW COM 29364G103 18611 155714 SH SOLE 1214 0 0 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 2979 63383 SH SOLE 1900 0 0 EOG RES INC COM 26875P101 12620 141400 SH SOLE 1300 0 0 EPICOR SOFTWARE CORP NOTE 2.375% 5/1 29426LAA6 4534 5000000 PRN SOLE 0 0 0 EQUIFAX INC COM 294429105 3346 92025 SH SOLE 92025 0 0 EQUITABLE RES INC COM 294549100 1257 23600 SH SOLE 7000 0 0 EQUITY LIFESTYLE PPTYS INC COM 29472R108 370 8100 SH SOLE 374 0 0 EQUITY ONE COM 294752100 1985 86200 SH SOLE 2500 0 0 EQUITY RESIDENTIAL SH BEN INT 29476L107 2458 67400 SH SOLE 1573 0 0 ERIE INDTY CO CL A 29530P102 208 4000 SH SOLE 1900 0 0 ESTERLINE TECHNOLOGIES CORP COM 297425100 228 4400 SH SOLE 4400 0 0 ETHAN ALLEN INTERIORS INC COM 297602104 1711 60036 SH SOLE 3900 0 0 EURONET WORLDWIDE INC NOTE 3.500%10/1 298736AF6 11719 11250000 PRN SOLE 0 0 0 EV3 INC COM 26928A200 8219 646646 SH SOLE 646646 0 0 EVEREST RE GROUP LTD COM G3223R108 11124 110800 SH SOLE 2107 0 0 EXAR CORP COM 300645108 1833 229970 SH SOLE 229970 0 0 EXIDE TECHNOLOGIES COM NEW 302051206 773 96657 SH SOLE 25392 0 0 EXPEDIA INC DEL COM 30212P105 21531 680939 SH SOLE 6595 0 0 EXPRESS SCRIPTS INC COM 302182100 9125 124995 SH SOLE 2300 0 0 EXTERRAN HLDGS INC COM 30225X103 47998 586773 SH SOLE 2400 0 0 EXTRA SPACE STORAGE INC COM 30225T102 1902 133100 SH SOLE 4500 0 0 EXXON MOBIL CORP COM 30231G102 161381 1722500 SH SOLE 2200 0 0 EZCORP INC CL A NON VTG 302301106 315 27863 SH SOLE 1384 0 0 F M C CORP COM NEW 302491303 1384 25380 SH SOLE 700 0 0 F N B CORP VA COM 302930102 766 32968 SH SOLE 32968 0 0 FACTSET RESH SYS INC COM 303075105 23321 418695 SH SOLE 5200 0 0 FAIR ISAAC CORP COM 303250104 206 6400 SH SOLE 6400 0 0 FAIRCHILD SEMICONDUCTOR INTL COM 303726103 229 15900 SH SOLE 8500 0 0 FAMILY DLR STORES INC COM 307000109 18365 955000 SH SOLE 12200 0 0 FEDERAL HOME LN MTG CORP COM 313400301 11486 337133 SH SOLE 1700 0 0 FEDERAL NATL MTG ASSN COM 313586109 15748 393900 SH SOLE 6647 0 0 FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 1339 16300 SH SOLE 351 0 0 FEDERATED INVS INC PA CL B 314211103 13155 319600 SH SOLE 8618 0 0 FEDEX CORP COM 31428X106 1513 16966 SH SOLE 7900 0 0 FEI CO NOTE 6/1 30241LAD1 10050 9659000 PRN SOLE 0 0 0 FELCOR LODGING TR INC COM 31430F101 578 37090 SH SOLE 200 0 0 FIDELITY NATIONAL FINANCIAL CL A 31620R105 571 39100 SH SOLE 5542 0 0 FIDELITY NATL INFORMATION SV COM 31620M106 204 4900 SH SOLE 4900 0 0 FIFTH THIRD BANCORP COM 316773100 201 8000 SH SOLE 1400 0 0 FINANCIAL FED CORP COM 317492106 2849 127800 SH SOLE 4613 0 0 FIRST AMERN CORP CALIF COM 318522307 4084 119700 SH SOLE 3996 0 0 FIRST BANCORP P R COM 318672102 1414 194008 SH SOLE 50808 0 0 FIRST CHARTER CORP COM 319439105 11259 377066 SH SOLE 2200 0 0 FIRST CONSULTING GROUP INC COM 31986R103 6830 528191 SH SOLE 528191 0 0 FIRST CTZNS BANCSHARES INC N CL A 31946M103 2319 15897 SH SOLE 1400 0 0 FIRST HORIZON NATL CORP COM 320517105 309 17000 SH SOLE 7800 0 0 FIRST IND CORP COM 32054R108 10570 330302 SH SOLE 600 0 0 FIRST INDUSTRIAL REALTY TRUS COM 32054K103 2072 59873 SH SOLE 1200 0 0 FIRST MARBLEHEAD CORP COM 320771108 613 40052 SH SOLE 11700 0 0 FIRST MIDWEST BANCORP DEL COM 320867104 578 18900 SH SOLE 16151 0 0 FIRST NIAGARA FINL GP INC COM 33582V108 8932 741844 SH SOLE 10844 0 0 FIRST POTOMAC RLTY TR COM 33610F109 825 47730 SH SOLE 1500 0 0 FIRST SOLAR INC COM 336433107 374 1400 SH SOLE 1400 0 0 FIRSTENERGY CORP COM 337932107 13365 184748 SH SOLE 810 0 0 FIRSTFED FINL CORP COM 337907109 13270 370464 SH SOLE 5600 0 0 FIRSTMERIT CORP COM 337915102 5718 285772 SH SOLE 13500 0 0 FISERV INC COM 337738108 15933 287140 SH SOLE 1100 0 0 FISHER SCIENTIFIC INTL INC NOTE 2.500%10/0 338032AW5 43285 17500000 PRN SOLE 0 0 0 FLAGSTAR BANCORP INC COM 337930101 1303 187000 SH SOLE 20700 0 0 FLEXTRONICS INTL LTD ORD Y2573F102 34794 2885057 SH SOLE 2870657 0 0 FLIR SYS INC NOTE 3.000% 6/0 302445AB7 64422 22400000 PRN SOLE 0 0 0 FLIR SYS INC COM 302445101 363 11600 SH SOLE 1400 0 0 FLOWERS FOODS INC COM 343498101 9266 395800 SH SOLE 500 0 0 FLOWSERVE CORP COM 34354P105 2780 28900 SH SOLE 27800 0 0 FLUOR CORP NEW COM 343412102 1020 7000 SH SOLE 2100 0 0 FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 1302 500000 PRN SOLE 0 0 0 FMC TECHNOLOGIES INC COM 30249U101 244 4300 SH SOLE 4300 0 0 FNB CORP PA COM 302520101 375 25500 SH SOLE 14038 0 0 FOOT LOCKER INC COM 344849104 581 42500 SH SOLE 36400 0 0 FORD MTR CO DEL NOTE 4.250%12/1 345370CF5 7460 7500000 PRN SOLE 0 0 0 FOREST LABS INC COM 345838106 15469 424393 SH SOLE 7200 0 0 FOREST OIL CORP COM PAR $0.01 346091705 12917 254071 SH SOLE 254071 0 0 FORESTAR REAL ESTATE GROUP I COM 346233109 1837 81282 SH SOLE 733 0 0 FORTUNE BRANDS INC COM 349631101 249 3442 SH SOLE 1600 0 0 FOSSIL INC COM 349882100 5768 137400 SH SOLE 200 0 0 FOSTER WHEELER LTD SHS NEW G36535139 1581 10200 SH SOLE 2300 0 0 FOUNDRY NETWORKS INC COM 35063R100 8987 512981 SH SOLE 400 0 0 FPL GROUP INC COM 302571104 637 9400 SH SOLE 8900 0 0 FRANKLIN RES INC COM 354613101 2540 22200 SH SOLE 3500 0 0 FRANKLIN STREET PPTYS CORP COM 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33000 SH SOLE 14900 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 7279 257925 SH SOLE 4600 0 0 GOOGLE INC CL A 38259P508 15780 22820 SH SOLE 810 0 0 GRACE W R & CO DEL NEW COM 38388F108 10062 384355 SH SOLE 3283 0 0 GRAFTECH INTL LTD COM 384313102 38994 2196870 SH SOLE 18900 0 0 GRAINGER W W INC COM 384802104 17452 199404 SH SOLE 2400 0 0 GRAMERCY CAP CORP COM 384871109 1184 48700 SH SOLE 1100 0 0 GRANITE CONSTR INC COM 387328107 10957 302854 SH SOLE 6300 0 0 GRANT PRIDECO INC COM 38821G101 3521 63437 SH SOLE 63437 0 0 GREAT ATLANTIC & PAC TEA INC COM 390064103 9774 311975 SH SOLE 800 0 0 GREAT LAKES BANCORP INC NEW COM 390914109 4851 378425 SH SOLE 378425 0 0 GREATER COMMUNITY BANCORP COM 39167M108 4586 280488 SH SOLE 280488 0 0 GREEN BANKSHARES INC COM NEW 394361208 1529 79641 SH SOLE 79641 0 0 GREENHILL & CO INC COM 395259104 406 6100 SH SOLE 2500 0 0 GREIF INC CL A 397624107 7178 109812 SH SOLE 7900 0 0 GREY WOLF INC FRNT 4/0 397888AF5 15607 14500000 PRN SOLE 0 0 0 GREY WOLF INC COM 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COM 426281101 240 9869 SH SOLE 3400 0 0 HERBALIFE LTD COM USD SHS G4412G101 1567 38900 SH SOLE 4610 0 0 HERCULES INC COM 427056106 637 32900 SH SOLE 1200 0 0 HERSHA HOSPITALITY TR SH BEN INT A 427825104 739 77800 SH SOLE 2500 0 0 HERSHEY CO COM 427866108 2021 51300 SH SOLE 600 0 0 HESS CORP COM 42809H107 2784 27600 SH SOLE 7500 0 0 HEWITT ASSOCS INC COM 42822Q100 29662 774660 SH SOLE 100 0 0 HEWLETT PACKARD CO COM 428236103 44902 889500 SH SOLE 15906 0 0 HIGHWOODS PPTYS INC COM 431284108 1661 56531 SH SOLE 1200 0 0 HILLENBRAND INDS INC COM 431573104 1154 20700 SH SOLE 20200 0 0 HLTH CORPORATION COM 40422Y101 308 23000 SH SOLE 200 0 0 HOLLY CORP COM PAR $0.01 435758305 12230 240330 SH SOLE 200 0 0 HOLOGIC INC COM 436440101 30801 448729 SH SOLE 200 0 0 HOME DEPOT INC COM 437076102 9593 356100 SH SOLE 12033 0 0 HOME PROPERTIES INC COM 437306103 1358 30268 SH SOLE 600 0 0 HONEYWELL INTL INC COM 438516106 28377 460884 SH SOLE 10400 0 0 HOOKER FURNITURE CORP COM 439038100 211 10500 SH SOLE 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SOLE 3300 0 0 JOS A BANK CLOTHIERS INC COM 480838101 10161 357140 SH SOLE 100 0 0 JP MORGAN CHASE & CO COM 46625H100 41553 951961 SH SOLE 23251 0 0 JUNIPER NETWORKS INC COM 48203R104 4253 128100 SH SOLE 300 0 0 KAISER ALUMINUM CORP COM PAR $0.01 483007704 382 4800 SH SOLE 483 0 0 KAYDON CORP COM 486587108 13467 246924 SH SOLE 6400 0 0 KAYDON CORP NOTE 4.000% 5/2 486587AB4 9902 5266000 PRN SOLE 0 0 0 KB HOME COM 48666K109 3057 141529 SH SOLE 2000 0 0 KBR INC COM 48242W106 283 7300 SH SOLE 3100 0 0 KELLOGG CO COM 487836108 7560 144200 SH SOLE 3965 0 0 KELLWOOD CO COM 488044108 6155 369868 SH SOLE 1100 0 0 KELLY SVCS INC CL A 488152208 498 26670 SH SOLE 7092 0 0 KENDLE INTERNATIONAL INC NOTE 3.375% 7/1 48880LAA5 2452 2000000 PRN SOLE 0 0 0 KENNAMETAL INC COM 489170100 4510 119112 SH SOLE 4900 0 0 KEY ENERGY SVCS INC COM 492914106 7873 547100 SH SOLE 7100 0 0 KEYCORP NEW COM 493267108 16080 685725 SH SOLE 3700 0 0 KILROY RLTY CORP COM 49427F108 429 7800 SH SOLE 5900 0 0 KIMBERLY CLARK CORP COM 494368103 16433 236996 SH SOLE 9615 0 0 KIMCO REALTY CORP COM 49446R109 1936 53200 SH SOLE 1226 0 0 KINDRED HEALTHCARE INC COM 494580103 11735 469773 SH SOLE 13200 0 0 KINETIC CONCEPTS INC COM NEW 49460W208 12657 236314 SH SOLE 100 0 0 KING PHARMACEUTICALS INC COM 495582108 16266 1588440 SH SOLE 21600 0 0 KITE RLTY GROUP TR COM 49803T102 550 36050 SH SOLE 1200 0 0 KNBT BANCORP INC COM 482921103 11552 749189 SH SOLE 1205 0 0 KNIGHT CAPITAL GROUP INC CL A 499005106 27952 1941084 SH SOLE 26500 0 0 KNOLL INC COM NEW 498904200 2150 130840 SH SOLE 4100 0 0 KORN FERRY INTL COM NEW 500643200 2612 138815 SH SOLE 3407 0 0 KRAFT FOODS INC CL A 50075N104 33619 1030316 SH SOLE 7100 0 0 KROGER CO COM 501044101 35021 1311158 SH SOLE 13200 0 0 KULICKE & SOFFA INDS INC COM 501242101 1911 278600 SH SOLE 9800 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 7174 67716 SH SOLE 3400 0 0 LA Z BOY INC COM 505336107 133 16800 SH SOLE 16800 0 0 LANCASTER COLONY CORP COM 513847103 671 16900 SH SOLE 14400 0 0 LANDAMERICA FINL GROUP INC DBCV 3.250% 5/1 514936AD5 18465 21500000 PRN SOLE 0 0 0 LANDAMERICA FINL GROUP INC COM 514936103 23199 693540 SH SOLE 14100 0 0 LANDSTAR SYS INC COM 515098101 10886 258277 SH SOLE 500 0 0 LAS VEGAS SANDS CORP COM 517834107 319 3100 SH SOLE 3100 0 0 LASALLE HOTEL PPTYS COM SH BEN INT 517942108 2858 89608 SH SOLE 2900 0 0 LAWSON SOFTWARE INC NEW COM 52078P102 8151 796000 SH SOLE 400 0 0 LCA-VISION INC COM PAR $.001 501803308 2285 114400 SH SOLE 5800 0 0 LEAR CORP COM 521865105 2463 89053 SH SOLE 3900 0 0 LEE ENTERPRISES INC COM 523768109 2614 178400 SH SOLE 100 0 0 LEHMAN BROS HLDGS INC COM 524908100 1021 15600 SH SOLE 6100 0 0 LENNOX INTL INC COM 526107107 33498 808730 SH SOLE 200 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 22120 10200000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 5.250%12/1 52729NBF6 725 750000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 3.500% 6/1 52729NBK5 1747 2000000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 2.875% 7/1 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LOEWS CORP CAROLNA GP STK 540424207 1902 22300 SH SOLE 700 0 0 LONGS DRUG STORES CORP COM 543162101 2380 50640 SH SOLE 4900 0 0 LORAL SPACE & COMMUNICATNS L COM 543881106 1730 50506 SH SOLE 3600 0 0 LOWES COS INC COM 548661107 500 22100 SH SOLE 4159 0 0 LOWES COS INC NOTE 2/1 548661CF2 2265 3000000 PRN SOLE 0 0 0 LSI CORPORATION COM 502161102 706 133028 SH SOLE 14700 0 0 LTC PPTYS INC COM 502175102 1517 60572 SH SOLE 1600 0 0 LTX CORP COM 502392103 115 36120 SH SOLE 5632 0 0 LUBRIZOL CORP COM 549271104 10536 194540 SH SOLE 5700 0 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 9144 11000000 PRN SOLE 0 0 0 M & F WORLDWIDE CORP COM 552541104 1500 27864 SH SOLE 100 0 0 M & T BK CORP COM 55261F104 6030 73930 SH SOLE 5900 0 0 MACERICH CO COM 554382101 1222 17200 SH SOLE 347 0 0 MACYS INC COM 55616P104 9910 383053 SH SOLE 2700 0 0 MADDEN STEVEN LTD COM 556269108 756 37795 SH SOLE 100 0 0 MAGELLAN HEALTH SVCS INC COM NEW 559079207 10538 225997 SH SOLE 2157 0 0 MAGUIRE PPTYS INC COM 559775101 1612 54700 SH SOLE 1400 0 0 MANITOWOC INC COM 563571108 8166 167240 SH SOLE 3900 0 0 MANOR CARE INC NEW NOTE 2.125% 4/1 564055AK7 48394 22479000 PRN SOLE 0 0 0 MANPOWER INC COM 56418H100 1486 26122 SH SOLE 491 0 0 MANTECH INTL CORP CL A 564563104 1147 26172 SH SOLE 22107 0 0 MARATHON OIL CORP COM 565849106 48978 804770 SH SOLE 10100 0 0 MARKWEST ENERGY PARTNERS L P UNIT LTD PARTN 570759100 257 7600 SH SOLE 500 0 0 MARKWEST HYDROCARBON INC COM 570762104 15621 249336 SH SOLE 90 0 0 MARRIOTT INTL INC NEW CL A 571903202 827 24200 SH SOLE 600 0 0 MARSH & MCLENNAN COS INC COM 571748102 524 19800 SH SOLE 19800 0 0 MARSHALL & ILSLEY CORP NEW COM 571837103 350 13200 SH SOLE 13200 0 0 MARTEK BIOSCIENCES CORP COM 572901106 799 27000 SH SOLE 2520 0 0 MARVEL ENTERTAINMENT INC COM 57383T103 422 15790 SH SOLE 4800 0 0 MASCO CORP COM 574599106 5388 249345 SH SOLE 15300 0 0 MASSEY ENERGY CORP COM 576206106 5551 155270 SH SOLE 300 0 0 MASTEC INC COM 576323109 4340 426720 SH SOLE 10500 0 0 MASTERCARD INC CL A 57636Q104 14225 66100 SH SOLE 77 0 0 MATTEL INC COM 577081102 1009 52985 SH SOLE 4309 0 0 MATTSON TECHNOLOGY INC COM 577223100 466 54439 SH SOLE 200 0 0 MAX CAPITAL GROUP LTD SHS G6052F103 1246 44500 SH SOLE 3700 0 0 MAXIMUS INC COM 577933104 3133 81150 SH SOLE 1223 0 0 MBIA INC COM 55262C100 281 15100 SH SOLE 5100 0 0 MCAFEE INC COM 579064106 27780 740789 SH SOLE 12300 0 0 MCCORMICK & CO INC COM NON VTG 579780206 1736 45800 SH SOLE 2500 0 0 MCDERMOTT INTL INC COM 580037109 14303 242300 SH SOLE 4780 0 0 MCDONALDS CORP COM 580135101 10134 172028 SH SOLE 6184 0 0 MCG CAPITAL CORP COM 58047P107 2033 175392 SH SOLE 2500 0 0 MCGRAW HILL COS INC COM 580645109 451 10300 SH SOLE 10300 0 0 MCKESSON CORP COM 58155Q103 4647 70934 SH SOLE 1161 0 0 MCMORAN EXPLORATION CO NOTE 6.000% 7/0 582411AB0 541 500000 PRN SOLE 0 0 0 MEADWESTVACO CORP COM 583334107 423 13500 SH SOLE 13500 0 0 MEDCATH CORP COM 58404W109 1456 59283 SH SOLE 100 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 12949 127700 SH SOLE 3538 0 0 MEDIA GEN INC CL A 584404107 3623 170510 SH SOLE 18300 0 0 MEDICAL PPTYS TRUST INC COM 58463J304 1129 110834 SH SOLE 3200 0 0 MEDICINES CO COM 584688105 725 37814 SH SOLE 100 0 0 MEDTRONIC INC COM 585055106 5801 115400 SH SOLE 2053 0 0 MEMC ELECTR MATLS INC COM 552715104 27200 307384 SH SOLE 3000 0 0 MENS WEARHOUSE INC COM 587118100 297 11000 SH SOLE 11000 0 0 MENTOR CORP MINN NOTE 2.750% 1/0 587188AC7 29177 21000000 PRN SOLE 0 0 0 MENTOR CORP MINN COM 587188103 888 22719 SH SOLE 1000 0 0 MERCK & CO INC COM 589331107 41363 711800 SH SOLE 11000 0 0 MEREDITH CORP COM 589433101 462 8400 SH SOLE 800 0 0 MERIDIAN BIOSCIENCE INC COM 589584101 2698 89700 SH SOLE 600 0 0 MERRILL LYNCH & CO INC COM 590188108 22000 409828 SH SOLE 900 0 0 METAL MGMT INC COM NEW 591097209 15874 348639 SH SOLE 3600 0 0 METHODE ELECTRS INC COM 591520200 833 50692 SH SOLE 3942 0 0 METLIFE INC COM 59156R108 18511 300400 SH SOLE 5374 0 0 METTLER TOLEDO INTERNATIONAL COM 592688105 38097 334772 SH SOLE 5000 0 0 MF GLOBAL LTD SHS G60642108 434 13800 SH SOLE 13800 0 0 MFA MTG INVTS INC COM 55272X102 1932 208830 SH SOLE 6500 0 0 MGI PHARMA INC COM 552880106 5201 128337 SH SOLE 200 0 0 MGIC INVT CORP WIS COM 552848103 3290 146700 SH SOLE 4600 0 0 MGM MIRAGE COM 552953101 2882 34303 SH SOLE 300 0 0 MICREL INC COM 594793101 2301 272300 SH SOLE 2688 0 0 MICROCHIP TECHNOLOGY INC COM 595017104 694 22100 SH SOLE 22100 0 0 MICRON TECHNOLOGY INC COM 595112103 554 76400 SH SOLE 24300 0 0 MICROS SYS INC COM 594901100 808 11518 SH SOLE 100 0 0 MICROSOFT CORP COM 594918104 109264 3069200 SH SOLE 65377 0 0 MICROSTRATEGY INC CL A NEW 594972408 8367 87980 SH SOLE 100 0 0 MID-AMER APT CMNTYS INC COM 59522J103 627 14660 SH SOLE 100 0 0 MIDLAND CO COM 597486109 524 8100 SH SOLE 500 0 0 MIDWEST AIR GROUP INC COM 597911106 12588 850554 SH SOLE 1297 0 0 MILLENNIUM PHARMACEUTICALS I COM 599902103 433 28880 SH SOLE 20200 0 0 MILLIPORE CORP COM 601073109 256 3500 SH SOLE 2100 0 0 MINDSPEED TECHNOLOGIES INC NOTE 3.750%11/1 602682AB2 12530 14000000 PRN SOLE 0 0 0 MINE SAFETY APPLIANCES CO COM 602720104 332 6400 SH SOLE 2800 0 0 MIRANT CORP NEW COM 60467R100 52037 1334954 SH SOLE 17391 0 0 MKS INSTRUMENT INC COM 55306N104 799 41770 SH SOLE 34200 0 0 MOHAWK INDS INC COM 608190104 2812 37800 SH SOLE 300 0 0 MOLEX INC COM 608554101 945 34600 SH SOLE 800 0 0 MOLINA HEALTHCARE INC COM 60855R100 2477 64003 SH SOLE 2400 0 0 MOLSON COORS BREWING CO CL B 60871R209 19881 385140 SH SOLE 6000 0 0 MONACO COACH CORP COM 60886R103 268 30170 SH SOLE 11625 0 0 MONEYGRAM INTL INC COM 60935Y109 7993 520049 SH SOLE 200 0 0 MONMOUTH REAL ESTATE INVT CO CL A 609720107 159 19663 SH SOLE 19663 0 0 MONSANTO CO NEW COM 61166W101 18194 162900 SH SOLE 4200 0 0 MONTPELIER RE HOLDINGS LTD SHS G62185106 1133 66600 SH SOLE 7400 0 0 MOODYS CORP COM 615369105 353 9900 SH SOLE 100 0 0 MORGAN STANLEY COM NEW 617446448 14653 275900 SH SOLE 6859 0 0 MOSAIC CO COM 61945A107 774 8200 SH SOLE 800 0 0 MOTOROLA INC COM 620076109 4896 305209 SH SOLE 2300 0 0 MOVADO GROUP INC COM 624580106 599 23700 SH SOLE 2115 0 0 MOVE INC COM COM 62458M108 43 17700 SH SOLE 17700 0 0 MPS GROUP INC COM 553409103 15640 1429631 SH SOLE 37600 0 0 MUELLER INDS INC COM 624756102 18359 633282 SH SOLE 16800 0 0 MURPHY OIL CORP COM 626717102 806 9500 SH SOLE 9300 0 0 MYERS INDS INC COM 628464109 4762 329107 SH SOLE 1205 0 0 NABORS INDUSTRIES LTD SHS G6359F103 362 13200 SH SOLE 13200 0 0 NACCO INDS INC CL A 629579103 13381 134222 SH SOLE 4280 0 0 NASH FINCH CO COM 631158102 2690 76250 SH SOLE 100 0 0 NASH FINCH CO FRNT 1.631% 3/1 631158AD4 3414 7500000 PRN SOLE 0 0 0 NATCO GROUP INC CL A 63227W203 5188 95800 SH SOLE 100 0 0 NATIONAL CITY CORP COM 635405103 31510 1914366 SH SOLE 16014 0 0 NATIONAL FINL PARTNERS CORP COM 63607P208 859 18832 SH SOLE 1879 0 0 NATIONAL FUEL GAS CO N J COM 636180101 16033 343468 SH SOLE 13600 0 0 NATIONAL HEALTH INVS INC COM 63633D104 1331 47700 SH SOLE 1400 0 0 NATIONAL OILWELL VARCO INC COM 637071101 2916 39700 SH SOLE 8800 0 0 NATIONAL PENN BANCSHARES INC COM 637138108 248 16376 SH SOLE 13977 0 0 NATIONAL RETAIL PROPERTIES I COM 637417106 3776 161486 SH SOLE 4700 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 6181 273026 SH SOLE 6500 0 0 NATIONWIDE FINL SVCS INC CL A 638612101 31249 694269 SH SOLE 8309 0 0 NATIONWIDE HEALTH PPTYS INC COM 638620104 2327 74180 SH SOLE 600 0 0 NATROL INC COM 638789107 1962 450924 SH SOLE 450924 0 0 NAVTEQ CORP COM 63936L100 20827 275490 SH SOLE 378 0 0 NBTY INC COM 628782104 37411 1365367 SH SOLE 12200 0 0 NCR CORP NEW COM 62886E108 21464 855130 SH SOLE 2700 0 0 NEKTAR THERAPEUTICS NOTE 3.250% 9/2 640268AH1 17793 22000000 PRN SOLE 0 0 0 NETFLIX INC COM 64110L106 325 12200 SH SOLE 500 0 0 NETMANAGE INC COM NEW 641144308 1712 285286 SH SOLE 285286 0 0 NETWORK APPLIANCE INC COM 64120L104 2523 101100 SH SOLE 2200 0 0 NEW JERSEY RES COM 646025106 3781 75590 SH SOLE 315 0 0 NEW YORK CMNTY BANCORP INC COM 649445103 4638 263800 SH SOLE 263700 0 0 NEW YORK TIMES CO CL A 650111107 458 26100 SH SOLE 26100 0 0 NEWBRIDGE BANCORP COM 65080T102 332 30770 SH SOLE 400 0 0 NEWCASTLE INVT CORP COM 65105M108 1372 105892 SH SOLE 3200 0 0 NEWELL RUBBERMAID INC COM 651229106 644 24867 SH SOLE 1470 0 0 NEWFIELD EXPL CO COM 651290108 3076 58376 SH SOLE 1600 0 0 NEWMARKET CORP COM 651587107 4107 73752 SH SOLE 181 0 0 NEWPARK RES INC COM PAR $.01NEW 651718504 195 35790 SH SOLE 35790 0 0 NEWS CORP CL A 65248E104 1821 88869 SH SOLE 900 0 0 NEXTEST SYS CORP COM 653339101 5103 256567 SH SOLE 256567 0 0 NICOR INC COM 654086107 9303 219660 SH SOLE 18000 0 0 NII HLDGS INC CL B NEW 62913F201 527 10900 SH SOLE 3300 0 0 NIKE INC CL B 654106103 22127 344443 SH SOLE 2500 0 0 NISOURCE INC COM 65473P105 6198 328100 SH SOLE 11080 0 0 NOBLE CORPORATION SHS G65422100 5572 98600 SH SOLE 3436 0 0 NOBLE ENERGY INC COM 655044105 52920 665490 SH SOLE 10500 0 0 NORDSTROM INC COM 655664100 2416 65783 SH SOLE 200 0 0 NORFOLK SOUTHERN CORP COM 655844108 33080 655827 SH SOLE 7800 0 0 NORTH PITTSBURGH SYS INC COM 661562108 1792 78964 SH SOLE 834 0 0 NORTH VALLEY BANCORP COM 66304M105 503 38400 SH SOLE 38400 0 0 NORTHEAST UTILS COM 664397106 8551 273104 SH SOLE 8700 0 0 NORTHERN TR CORP COM 665859104 1363 17800 SH SOLE 8800 0 0 NORTHROP GRUMMAN CORP COM 666807102 23404 297610 SH SOLE 6000 0 0 NORTHSTAR RLTY FIN CORP COM 66704R100 1156 129610 SH SOLE 4000 0 0 NORTHWEST AIRLS CORP COM 667280408 207 14300 SH SOLE 14300 0 0 NORTHWEST NAT GAS CO COM 667655104 8178 168070 SH SOLE 2218 0 0 NORTHWESTERN CORP COM NEW 668074305 2340 79309 SH SOLE 3000 0 0 NOVAMED INC DEL NOTE 1.000% 6/1 66986WAA6 2931 3500000 PRN SOLE 0 0 0 NOVATEL WIRELESS INC COM NEW 66987M604 941 58100 SH SOLE 200 0 0 NOVELL INC COM 670006105 8481 1234535 SH SOLE 31000 0 0 NOVELLUS SYS INC COM 670008101 25983 942428 SH SOLE 3769 0 0 NRG ENERGY INC COM NEW 629377508 5283 121900 SH SOLE 1573 0 0 NSTAR COM 67019E107 888 24511 SH SOLE 14000 0 0 NUCOR CORP COM 670346105 5935 100225 SH SOLE 1800 0 0 NVIDIA CORP COM 67066G104 3013 88563 SH SOLE 550 0 0 NVR INC COM 62944T105 20541 39200 SH SOLE 125 0 0 NYMAGIC INC COM 629484106 247 10700 SH SOLE 3363 0 0 NYMEX HOLDINGS INC COM 62948N104 868 6500 SH SOLE 1000 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 50402 654659 SH SOLE 1300 0 0 OCWEN FINL CORP COM NEW 675746309 2094 377897 SH SOLE 11500 0 0 ODYSSEY RE HLDGS CORP COM 67612W108 15642 426100 SH SOLE 7900 0 0 OFFICE DEPOT INC COM 676220106 344 24724 SH SOLE 800 0 0 OGE ENERGY CORP COM 670837103 7928 218470 SH SOLE 300 0 0 OIL STS INTL INC NOTE 2.375% 7/0 678026AB1 18331 14200000 PRN SOLE 0 0 0 OIL STS INTL INC COM 678026105 3675 107700 SH SOLE 5600 0 0 OLD NATL BANCORP IND COM 680033107 5075 339270 SH SOLE 38800 0 0 OLD REP INTL CORP COM 680223104 5014 325400 SH SOLE 4878 0 0 OLIN CORP COM PAR $1 680665205 5031 260274 SH SOLE 6600 0 0 OM GROUP INC COM 670872100 15981 277741 SH SOLE 7900 0 0 OMEGA FINL CORP COM 682092101 3707 126694 SH SOLE 125194 0 0 OMEGA HEALTHCARE INVS INC COM 681936100 487 30347 SH SOLE 200 0 0 OMNICOM GROUP INC COM 681919106 1907 40125 SH SOLE 2200 0 0 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 9601 6720000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP COM 682189105 4710 530454 SH SOLE 500 0 0 ONEOK INC NEW COM 682680103 8000 178700 SH SOLE 9268 0 0 ONEOK PARTNERS LP UNIT LTD PARTN 68268N103 294 4800 SH SOLE 4800 0 0 OPENWAVE SYS INC COM NEW 683718308 57 21840 SH SOLE 21840 0 0 OPTIONSXPRESS HLDGS INC COM 684010101 216 6400 SH SOLE 6400 0 0 ORACLE CORP COM 68389X105 1364 60400 SH SOLE 19100 0 0 ORBITAL SCIENCES CORP COM 685564106 1194 48677 SH SOLE 400 0 0 ORIENTAL FINL GROUP INC COM 68618W100 1403 104592 SH SOLE 16100 0 0 OSCIENT PHARMACEUTICALS CORP NOTE 3.500% 4/1 68812RAC9 900 2000000 PRN SOLE 0 0 0 OTTER TAIL CORP COM 689648103 671 19407 SH SOLE 5463 0 0 OVERSEAS SHIPHOLDING GROUP I COM 690368105 5616 75452 SH SOLE 2100 0 0 OWENS ILL INC COM NEW 690768403 10276 207600 SH SOLE 900 0 0 OXFORD INDS INC COM 691497309 2262 87773 SH SOLE 1300 0 0 P C CONNECTION COM 69318J100 456 40160 SH SOLE 400 0 0 PACCAR INC COM 693718108 3552 65200 SH SOLE 65200 0 0 PACER INTL INC TENN COM 69373H106 1894 129739 SH SOLE 3526 0 0 PACIFIC CAP BANCORP NEW COM 69404P101 3295 163690 SH SOLE 1781 0 0 PACIFIC SUNWEAR CALIF INC COM 694873100 287 20347 SH SOLE 1000 0 0 PACTIV CORP COM 695257105 4134 155237 SH SOLE 6800 0 0 PALL CORP COM 696429307 496 12300 SH SOLE 12300 0 0 PALM HARBOR HOMES NOTE 3.250% 5/1 696639AB9 11948 16900000 PRN SOLE 0 0 0 PALM INC NEW COM 696643105 458 72237 SH SOLE 3800 0 0 PANTRY INC NOTE 3.000%11/1 698657AL7 1765 2000000 PRN SOLE 0 0 0 PAR PHARMACEUTICAL COS INC COM 69888P106 6380 265820 SH SOLE 6271 0 0 PARK ELECTROCHEMICAL CORP COM 700416209 4147 146845 SH SOLE 1500 0 0 PARKER DRILLING CO COM 701081101 10102 1338021 SH SOLE 14100 0 0 PARKER HANNIFIN CORP COM 701094104 5589 74214 SH SOLE 2400 0 0 PARKWAY PPTYS INC COM 70159Q104 1230 33250 SH SOLE 1100 0 0 PARTNERRE LTD COM G6852T105 29108 352700 SH SOLE 8345 0 0 PATTERSON COMPANIES INC COM 703395103 21602 636300 SH SOLE 11400 0 0 PATTERSON UTI ENERGY INC COM 703481101 24249 1242250 SH SOLE 15791 0 0 PAYCHEX INC COM 704326107 12246 338100 SH SOLE 6310 0 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 4433 3500000 PRN SOLE 0 0 0 PEDIATRIX MED GROUP COM 705324101 593 8700 SH SOLE 3900 0 0 PENN NATL GAMING INC COM 707569109 9942 166956 SH SOLE 165956 0 0 PENNEY J C INC COM 708160106 9717 220894 SH SOLE 2400 0 0 PENNSYLVANIA RL ESTATE INVT SH BEN INT 709102107 2148 72366 SH SOLE 2296 0 0 PEOPLES UNITED FINANCIAL INC COM 712704105 198 11101 SH SOLE 11100 0 0 PEOPLESUPPORT INC COM 712714302 4202 307155 SH SOLE 305055 0 0 PEP BOYS MANNY MOE & JACK COM 713278109 6743 587388 SH SOLE 14800 0 0 PEPCO HOLDINGS INC COM 713291102 1088 37100 SH SOLE 37100 0 0 PEPSI BOTTLING GROUP INC COM 713409100 37418 948242 SH SOLE 20000 0 0 PEPSIAMERICAS INC COM 71343P200 533 16000 SH SOLE 16000 0 0 PEPSICO INC COM 713448108 34912 459972 SH SOLE 8966 0 0 PERFORMANCE FOOD GROUP CO COM 713755106 2021 75199 SH SOLE 22739 0 0 PERINI CORP COM 713839108 17902 432213 SH SOLE 2500 0 0 PERKINELMER INC COM 714046109 15792 606914 SH SOLE 100 0 0 PEROT SYS CORP CL A 714265105 3744 277300 SH SOLE 36600 0 0 PERRIGO CO COM 714290103 368 10510 SH SOLE 800 0 0 PETSMART INC COM 716768106 259 11000 SH SOLE 11000 0 0 PFF BANCORP INC COM 69331W104 7256 602620 SH SOLE 26800 0 0 PFIZER INC COM 717081103 60589 2665600 SH SOLE 57400 0 0 PG&E CORP COM 69331C108 34366 797538 SH SOLE 18930 0 0 PHARMANET DEV GROUP INC COM 717148100 2037 51960 SH SOLE 200 0 0 PHARMION CORP COM 71715B409 16072 255677 SH SOLE 100 0 0 PHH CORP COM NEW 693320202 6028 341711 SH SOLE 4300 0 0 PHILADELPHIA CONS HLDG CORP COM 717528103 366 9300 SH SOLE 9300 0 0 PHILLIPS VAN HEUSEN CORP COM 718592108 531 14400 SH SOLE 1126 0 0 PHOENIX COS INC NEW COM 71902E109 2966 249860 SH SOLE 15700 0 0 PINNACLE AIRL CORP COM 723443107 506 33199 SH SOLE 400 0 0 PINNACLE ENTMT INC COM 723456109 217 9200 SH SOLE 1700 0 0 PINNACLE GAS RESOURCES INC COM 723464301 278 60642 SH SOLE 60642 0 0 PINNACLE WEST CAP CORP COM 723484101 611 14400 SH SOLE 10800 0 0 PIPER JAFFRAY COS COM 724078100 13026 281218 SH SOLE 1440 0 0 PITNEY BOWES INC COM 724479100 2130 56000 SH SOLE 56000 0 0 PLAINS EXPL& PRODTN CO COM 726505100 44080 816297 SH SOLE 1859 0 0 PLANTRONICS INC NEW COM 727493108 385 14800 SH SOLE 600 0 0 PLATINUM UNDERWRITER HLDGS L COM G7127P100 2447 68800 SH SOLE 4200 0 0 PLEXUS CORP COM 729132100 17576 669316 SH SOLE 300 0 0 PLUM CREEK TIMBER CO INC COM 729251108 1768 38400 SH SOLE 896 0 0 PMI GROUP INC COM 69344M101 8789 661790 SH SOLE 22300 0 0 PNC FINL SVCS GROUP INC COM 693475105 15920 242500 SH SOLE 900 0 0 PNM RES INC COM 69349H107 830 38700 SH SOLE 2300 0 0 POLYCOM INC COM 73172K104 1029 37048 SH SOLE 29989 0 0 POLYONE CORP COM 73179P106 568 86331 SH SOLE 11000 0 0 POPULAR INC COM 733174106 382 36000 SH SOLE 100 0 0 PORTLAND GEN ELEC CO COM NEW 736508847 7892 284098 SH SOLE 12691 0 0 POST PPTYS INC COM 737464107 3164 90092 SH SOLE 2600 0 0 POTLATCH CORP NEW COM 737630103 4090 92025 SH SOLE 2800 0 0 POWERWAVE TECHNOLOGIES INC NOTE 1.875%11/1 739363AD1 7417 9500000 PRN SOLE 0 0 0 PPG INDS INC COM 693506107 386 5500 SH SOLE 700 0 0 PRAXAIR INC COM 74005P104 1304 14700 SH SOLE 6300 0 0 PRE PAID LEGAL SVCS INC COM 740065107 3017 54500 SH SOLE 1000 0 0 PRECISION CASTPARTS CORP COM 740189105 1193 8600 SH SOLE 3900 0 0 PREFERRED BK LOS ANGELES CA COM 740367107 466 17900 SH SOLE 500 0 0 PRICELINE COM INC COM NEW 741503403 6977 60745 SH SOLE 200 0 0 PRIDE INTL INC DEL COM 74153Q102 1193 35177 SH SOLE 2758 0 0 PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 2716 2000000 PRN SOLE 0 0 0 PRINCIPAL FINANCIAL GROUP IN COM 74251V102 6161 89500 SH SOLE 1500 0 0 PRINTRONIX INC COM 742578107 3257 205625 SH SOLE 205625 0 0 PROASSURANCE CORP DBCV 3.900% 6/3 74267CAB2 4750 3500000 PRN SOLE 0 0 0 PROCTER & GAMBLE CO COM 742718109 33821 460649 SH SOLE 10232 0 0 PROGRESS ENERGY INC COM 743263105 3225 66600 SH SOLE 2000 0 0 PROGRESSIVE CORP OHIO COM 743315103 291 15200 SH SOLE 15200 0 0 PROLOGIS SH BEN INT 743410102 4782 75443 SH SOLE 1439 0 0 PROTECTIVE LIFE CORP COM 743674103 295 7200 SH SOLE 2600 0 0 PROVIDENT BANKSHARES CORP COM 743859100 2229 104185 SH SOLE 18205 0 0 PROVIDIAN FINL CORP NOTE 4.000% 5/1 74406AAC6 17439 18169000 PRN SOLE 0 0 0 PRUDENTIAL FINL INC COM 744320102 6811 73200 SH SOLE 2566 0 0 PS BUSINESS PKS INC CALIF COM 69360J107 349 6650 SH SOLE 295 0 0 PSS WORLD MED INC COM 69366A100 7013 358370 SH SOLE 400 0 0 PSS WORLD MED INC NOTE 2.250% 3/1 69366AAB6 24293 19750000 PRN SOLE 0 0 0 PSYCHIATRIC SOLUTIONS INC COM 74439H108 322 9900 SH SOLE 3200 0 0 PUBLIC STORAGE COM 74460D109 2850 38820 SH SOLE 693 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 7162 72900 SH SOLE 71500 0 0 PUGET ENERGY INC NEW COM 745310102 11825 431100 SH SOLE 380311 0 0 PVF CAPITAL CORP COM 693654105 2195 196854 SH SOLE 196854 0 0 QIAGEN N V ORD N72482107 8114 385452 SH SOLE 385452 0 0 QLOGIC CORP COM 747277101 2372 167010 SH SOLE 1400 0 0 QUALCOMM INC COM 747525103 1722 43772 SH SOLE 351 0 0 QUANEX CORP COM 747620102 15053 290042 SH SOLE 2400 0 0 QUANEX CORP DBCV 2.500% 5/1 747620AE2 43630 20975000 PRN SOLE 0 0 0 QUANTA SVCS INC COM 74762E102 21209 808262 SH SOLE 300 0 0 QUANTA SVCS INC SDCV 4.500%10/0 74762EAC6 26308 11000000 PRN SOLE 0 0 0 QUEST DIAGNOSTICS INC COM 74834L100 450 8500 SH SOLE 8500 0 0 QUESTAR CORP COM 748356102 7893 145900 SH SOLE 1115 0 0 QUICKSILVER RESOURCES INC DBCV 1.875%11/0 74837RAB0 15203 7500000 PRN SOLE 0 0 0 QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 23341 17500000 PRN SOLE 0 0 0 QWEST COMMUNICATIONS INTL IN COM 749121109 2660 379404 SH SOLE 11200 0 0 RADIATION THERAPY SVCS INC COM 750323206 8714 281917 SH SOLE 648 0 0 RADIO ONE INC CL D NON VTG 75040P405 178 75000 SH SOLE 400 0 0 RADIOSHACK CORP COM 750438103 35605 2111811 SH SOLE 300 0 0 RAIT FINANCIAL TRUST COM 749227104 1314 152385 SH SOLE 5000 0 0 RALCORP HLDGS INC NEW COM 751028101 1143 18800 SH SOLE 100 0 0 RAMBUS INC DEL NOTE 2/0 750917AB2 5858 5500000 PRN SOLE 0 0 0 RAMCO-GERSHENSON PPTYS TR COM SH BEN INT 751452202 316 14800 SH SOLE 300 0 0 RAYMOND JAMES FINANCIAL INC COM 754730109 255 7800 SH SOLE 7800 0 0 RAYTHEON CO COM NEW 755111507 43530 717137 SH SOLE 13300 0 0 RC2 CORP COM 749388104 769 27410 SH SOLE 100 0 0 REALNETWORKS INC COM 75605L104 162 26600 SH SOLE 26600 0 0 REALTY INCOME CORP COM 756109104 6170 228365 SH SOLE 7200 0 0 REDDY ICE HLDGS INC COM 75734R105 309 12200 SH SOLE 500 0 0 REDWOOD TR INC COM 758075402 1820 53141 SH SOLE 1600 0 0 REGAL BELOIT CORP COM 758750103 1114 24780 SH SOLE 14200 0 0 REGAL ENTMT GROUP CL A 758766109 320 17700 SH SOLE 9100 0 0 REGAL ENTMT GROUP NOTE 3.750% 5/1 758766AB5 4977 3500000 PRN SOLE 0 0 0 REGENCY CTRS CORP COM 758849103 1154 17900 SH SOLE 326 0 0 REGIS CORP MINN COM 758932107 540 19300 SH SOLE 12500 0 0 REINSURANCE GROUP AMER INC COM 759351109 559 10655 SH SOLE 500 0 0 RELIANCE STEEL & ALUMINUM CO COM 759509102 1995 36800 SH SOLE 400 0 0 RELIANT ENERGY INC COM 75952B105 14145 539075 SH SOLE 17400 0 0 RENAISSANCERE HOLDINGS LTD COM G7496G103 5657 93900 SH SOLE 8300 0 0 RENT A CTR INC NEW COM 76009N100 5448 375196 SH SOLE 15833 0 0 RENTECH INC COM 760112102 1791 989527 SH SOLE 200 0 0 REPUBLIC SVCS INC COM 760759100 12847 409800 SH SOLE 6600 0 0 RESEARCH IN MOTION LTD COM 760975102 873 7700 SH SOLE 1800 0 0 RESOURCE CAP CORP COM 76120W302 315 33800 SH SOLE 1300 0 0 RESOURCES CONNECTION INC COM 76122Q105 376 20700 SH SOLE 20700 0 0 RESPIRONICS INC COM 761230101 4041 61706 SH SOLE 700 0 0 RESTORATION HARDWARE INC DEL COM 760981100 4877 742349 SH SOLE 742349 0 0 REUTERS GROUP PLC SPONSORED ADR 76132M102 32845 431656 SH SOLE 431656 0 0 REYNOLDS AMERICAN INC COM 761713106 224 3400 SH SOLE 3000 0 0 RF MICRODEVICES INC COM 749941100 24212 4240308 SH SOLE 6200 0 0 RIO TINTO PLC SPONSORED ADR 767204100 479 1141 SH SOLE 1141 0 0 RIVERBED TECHNOLOGY INC COM 768573107 4284 160200 SH SOLE 800 0 0 RIVIERA HLDGS CORP COM 769627100 2562 83169 SH SOLE 83169 0 0 RLI CORP COM 749607107 2056 36200 SH SOLE 11200 0 0 ROBBINS & MYERS INC COM 770196103 20662 273194 SH SOLE 300 0 0 ROCK-TENN CO CL A 772739207 6085 239458 SH SOLE 5583 0 0 ROCKWELL AUTOMATION INC COM 773903109 13432 194785 SH SOLE 1200 0 0 ROCKWELL COLLINS INC COM 774341101 1080 15000 SH SOLE 100 0 0 ROFIN SINAR TECHNOLOGIES INC COM 775043102 20258 421068 SH SOLE 17600 0 0 ROHM & HAAS CO COM 775371107 1093 20600 SH SOLE 9300 0 0 ROSETTA RESOURCES INC COM 777779307 429 21640 SH SOLE 2374 0 0 ROSS STORES INC COM 778296103 6909 270206 SH SOLE 1600 0 0 RPM INTL INC COM 749685103 698 34400 SH SOLE 25200 0 0 RTI INTL METALS INC COM 74973W107 324 4700 SH SOLE 100 0 0 RUDDICK CORP COM 781258108 1522 43900 SH SOLE 41500 0 0 RURAL CELLULAR CORP CL A 781904107 5969 135380 SH SOLE 463 0 0 RYDER SYS INC COM 783549108 8791 187007 SH SOLE 11500 0 0 SAFECO CORP COM 786429100 7160 128600 SH SOLE 17600 0 0 SAFETY INS GROUP INC COM 78648T100 1278 34906 SH SOLE 9140 0 0 SAFEWAY INC COM NEW 786514208 7786 227607 SH SOLE 4133 0 0 SAIA INC COM 78709Y105 1749 131471 SH SOLE 300 0 0 SAIC INC COM 78390X101 28365 1409790 SH SOLE 26600 0 0 SAIFUN SEMICONDUCTORS LTD ORD SHS M8233P102 7756 885379 SH SOLE 885379 0 0 SAKS INC COM 79377W108 635 30600 SH SOLE 30600 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 23380 13183000 PRN SOLE 0 0 0 SALESFORCE COM INC COM 79466L302 1254 20000 SH SOLE 400 0 0 SAN JUAN BASIN RTY TR UNIT BEN INT 798241105 551 16519 SH SOLE 2300 0 0 SANMINA SCI CORP COM 800907107 138 75660 SH SOLE 48200 0 0 SARA LEE CORP COM 803111103 20851 1298331 SH SOLE 15941 0 0 SAUER-DANFOSS INC COM 804137107 814 32478 SH SOLE 300 0 0 SAUL CTRS INC COM 804395101 214 4009 SH SOLE 158 0 0 SAVIENT PHARMACEUTICALS INC COM 80517Q100 2247 97814 SH SOLE 200 0 0 SAVVIS INC COM NEW 805423308 5418 194127 SH SOLE 200 0 0 SCANA CORP NEW COM 80589M102 4261 101100 SH SOLE 1200 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 3572 2500000 PRN SOLE 0 0 0 SCHEIN HENRY INC COM 806407102 24273 395325 SH SOLE 7600 0 0 SCHERING PLOUGH CORP COM 806605101 482 18100 SH SOLE 17800 0 0 SCHLUMBERGER LTD COM 806857108 10162 103300 SH SOLE 2417 0 0 SCHNITZER STL INDS CL A 806882106 2136 30900 SH SOLE 700 0 0 SCHOOL SPECIALTY INC NOTE 3.750% 8/0 807863AE5 11739 11700000 PRN SOLE 0 0 0 SCHWAB CHARLES CORP NEW COM 808513105 15087 590495 SH SOLE 19700 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 419 11200 SH SOLE 3800 0 0 SCPIE HLDGS INC COM 78402P104 7881 286879 SH SOLE 286879 0 0 SEABOARD CORP COM 811543107 6519 4435 SH SOLE 55 0 0 SEACOR HOLDINGS INC COM 811904101 20674 222926 SH SOLE 2892 0 0 SEAGATE TECHNOLOGY SHS G7945J104 6684 262100 SH SOLE 4424 0 0 SEALED AIR CORP NEW COM 81211K100 2485 107408 SH SOLE 2200 0 0 SEALY CORP COM 812139301 461 41225 SH SOLE 35229 0 0 SEARS HLDGS CORP COM 812350106 7628 74751 SH SOLE 600 0 0 SELECTIVE INS GROUP INC COM 816300107 5802 252374 SH SOLE 5567 0 0 SEMPRA ENERGY COM 816851109 4053 65505 SH SOLE 3443 0 0 SEMTECH CORP COM 816850101 2739 176500 SH SOLE 400 0 0 SENIOR HSG PPTYS TR SH BEN INT 81721M109 4428 195242 SH SOLE 6100 0 0 SENSIENT TECHNOLOGIES CORP COM 81725T100 608 21500 SH SOLE 300 0 0 SEPRACOR INC COM 817315104 1797 68453 SH SOLE 934 0 0 SEPRACOR INC NOTE 12/1 817315AT1 13004 12741000 PRN SOLE 0 0 0 SEPRACOR INC NOTE 12/1 817315AU8 2834 2700000 PRN SOLE 0 0 0 SERVICE CORP INTL COM 817565104 2028 144350 SH SOLE 110550 0 0 SHAW GROUP INC COM 820280105 1837 30400 SH SOLE 25300 0 0 SHERWIN WILLIAMS CO COM 824348106 27570 475023 SH SOLE 8642 0 0 SHOE CARNIVAL INC COM 824889109 888 62960 SH SOLE 4971 0 0 SIERRA HEALTH SVCS INC COM 826322109 40381 962372 SH SOLE 2800 0 0 SILICON LABORATORIES INC COM 826919102 468 12500 SH SOLE 3200 0 0 SILICON VY BANCSHARES NOTE 6/1 827064AC0 4498 3000000 PRN SOLE 0 0 0 SIMON PPTY GROUP INC NEW COM 828806109 4960 57100 SH SOLE 1306 0 0 SIMPSON MANUFACTURING CO INC COM 829073105 941 35400 SH SOLE 500 0 0 SINA CORP NOTE 7/1 82922RAB9 5325 3000000 PRN SOLE 0 0 0 SINCLAIR BROADCAST GROUP INC NOTE 3.000% 5/1 829226AW9 3144 3500000 PRN SOLE 0 0 0 SIRIUS SATELLITE RADIO INC NOTE 3.500% 6/0 82966UAA1 45238 20550000 PRN SOLE 0 0 0 SKECHERS U S A INC CL A 830566105 1015 52000 SH SOLE 46700 0 0 SKYWEST INC COM 830879102 1286 47900 SH SOLE 47900 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 1720 202352 SH SOLE 8700 0 0 SL GREEN RLTY CORP COM 78440X101 1832 19600 SH SOLE 299 0 0 SLADES FERRY BANCORP COM 830896106 1161 51151 SH SOLE 51151 0 0 SLM CORP COM 78442P106 1619 80400 SH SOLE 2269 0 0 SMITH A O COM 831865209 8104 231200 SH SOLE 7000 0 0 SMITH INTL INC COM 832110100 5347 72400 SH SOLE 500 0 0 SMITHFIELD FOODS INC COM 832248108 9688 335000 SH SOLE 800 0 0 SMUCKER J M CO COM NEW 832696405 7947 154500 SH SOLE 2300 0 0 SMURFIT-STONE CONTAINER CORP COM 832727101 11435 1082827 SH SOLE 8600 0 0 SNAP ON INC COM 833034101 1428 29609 SH SOLE 1200 0 0 SOHU COM INC COM 83408W103 551 10100 SH SOLE 100 0 0 SONIC AUTOMOTIVE INC CL A 83545G102 3643 188147 SH SOLE 9900 0 0 SONOCO PRODS CO COM 835495102 5643 172668 SH SOLE 1800 0 0 SONOSITE INC NOTE 3.750% 7/1 83568GAA2 560 500000 PRN SOLE 0 0 0 SONUS NETWORKS INC COM 835916107 71 12100 SH SOLE 12100 0 0 SOTHEBYS COM 835898107 9012 236545 SH SOLE 200 0 0 SOUTH FINL GROUP INC COM 837841105 4614 295200 SH SOLE 1700 0 0 SOUTHERN CO COM 842587107 3813 98400 SH SOLE 97600 0 0 SOUTHERN COPPER CORP COM 84265V105 15570 148100 SH SOLE 2367 0 0 SOUTHERN UN CO NEW COM 844030106 2735 93150 SH SOLE 5704 0 0 SOUTHWEST GAS CORP COM 844895102 3670 123279 SH SOLE 4300 0 0 SOVRAN SELF STORAGE INC COM 84610H108 1788 44600 SH SOLE 1400 0 0 SPARTAN STORES INC COM 846822104 637 27859 SH SOLE 15626 0 0 SPARTECH CORP COM NEW 847220209 7352 521425 SH SOLE 13600 0 0 SPHERION CORP COM 848420105 238 32700 SH SOLE 12512 0 0 SPIRIT AEROSYSTEMS HLDGS INC COM CL A 848574109 259 7500 SH SOLE 7500 0 0 SPRINT NEXTEL CORP COM SER 1 852061100 361 27500 SH SOLE 26400 0 0 SPSS INC COM 78462K102 4035 112358 SH SOLE 300 0 0 SPX CORP COM 784635104 4944 48069 SH SOLE 24041 0 0 SRA INTL INC CL A 78464R105 3098 105207 SH SOLE 3300 0 0 ST JUDE MED INC COM 790849103 740 18200 SH SOLE 1600 0 0 ST MARY LD & EXPL CO COM 792228108 421 10900 SH SOLE 10900 0 0 STAMPS COM INC COM NEW 852857200 222 18200 SH SOLE 16000 0 0 STANCORP FINL GROUP INC COM 852891100 984 19522 SH SOLE 10500 0 0 STANDARD MTR PRODS INC COM 853666105 87 10700 SH SOLE 9917 0 0 STAPLES INC COM 855030102 221 9600 SH SOLE 9600 0 0 STARBUCKS CORP COM 855244109 440 21500 SH SOLE 21300 0 0 STARWOOD HOTELS&RESORTS WRLD COM 85590A401 8732 198313 SH SOLE 800 0 0 STATE STR CORP COM 857477103 23853 293758 SH SOLE 3900 0 0 STEEL DYNAMICS INC COM 858119100 1972 33100 SH SOLE 1700 0 0 STEEL DYNAMICS INC NOTE 4.000%12/1 858119AD2 112181 16000000 PRN SOLE 0 0 0 STEELCASE INC CL A 858155203 7722 486570 SH SOLE 6900 0 0 STERIS CORP COM 859152100 29635 1027579 SH SOLE 300 0 0 STERLING BANCSHARES INC COM 858907108 901 80700 SH SOLE 68950 0 0 STERLING FINL CORP COM 859317109 16332 994670 SH SOLE 4200 0 0 STEWART ENTERPRISES INC CL A 860370105 2889 324601 SH SOLE 10100 0 0 STEWART INFORMATION SVCS COR COM 860372101 2905 111346 SH SOLE 1310 0 0 STONE ENERGY CORP COM 861642106 2376 50640 SH SOLE 400 0 0 STRATEGIC HOTELS & RESORTS I COM 86272T106 2777 165980 SH SOLE 5208 0 0 STRYKER CORP COM 863667101 5741 76840 SH SOLE 300 0 0 STUDENT LN CORP COM 863902102 385 3500 SH SOLE 100 0 0 STURM RUGER & CO INC COM 864159108 1445 174472 SH SOLE 17400 0 0 SUBURBAN PROPANE PARTNERS L UNIT LTD PARTN 864482104 5008 123645 SH SOLE 10200 0 0 SUN MICROSYSTEMS INC COM NEW 866810203 2308 127311 SH SOLE 8151 0 0 SUNCOM WIRELESS HLDGS INC CL A NEW 86722Q207 6601 247414 SH SOLE 247414 0 0 SUNPOWER CORP COM CL A 867652109 861 6600 SH SOLE 1200 0 0 SUNSTONE HOTEL INVS INC NEW COM 867892101 2530 138320 SH SOLE 4400 0 0 SUNTRUST BKS INC COM 867914103 2656 42505 SH SOLE 500 0 0 SUPERIOR ESSEX INC COM 86815V105 5913 246357 SH SOLE 100 0 0 SUPERVALU INC COM 868536103 589 15700 SH SOLE 10600 0 0 SUSQUEHANNA BANCSHARES INC P COM 869099101 11779 638781 SH SOLE 11658 0 0 SVB FINL GROUP COM 78486Q101 1552 30800 SH SOLE 100 0 0 SWIFT ENERGY CO COM 870738101 15962 362529 SH SOLE 3154 0 0 SWS GROUP INC COM 78503N107 1560 123139 SH SOLE 7753 0 0 SYBASE INC COM 871130100 2145 82233 SH SOLE 3111 0 0 SYKES ENTERPRISES INC COM 871237103 5310 294977 SH SOLE 300 0 0 SYMANTEC CORP COM 871503108 4396 272357 SH SOLE 7100 0 0 SYMMETRICOM INC COM 871543104 58 12300 SH SOLE 12300 0 0 SYMMETRICOM INC NOTE 3.250% 6/1 871543AB0 2603 3000000 PRN SOLE 0 0 0 SYNCHRONOSS TECHNOLOGIES INC COM 87157B103 4348 122700 SH SOLE 300 0 0 SYNOPSYS INC COM 871607107 384 14800 SH SOLE 6000 0 0 SYSCO CORP COM 871829107 986 31600 SH SOLE 15500 0 0 SYSTEMAX INC COM 871851101 9992 491728 SH SOLE 200 0 0 TAKE-TWO INTERACTIVE SOFTWAR COM 874054109 1847 100094 SH SOLE 400 0 0 TANGER FACTORY OUTLET CTRS I COM 875465106 483 12800 SH SOLE 100 0 0 TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 6850 6000000 PRN SOLE 0 0 0 TASER INTL INC COM 87651B104 2697 187400 SH SOLE 500 0 0 TCF FINL CORP COM 872275102 19669 1097010 SH SOLE 31200 0 0 TECH DATA CORP COM 878237106 18733 496646 SH SOLE 3600 0 0 TECHNE CORP COM 878377100 4119 62365 SH SOLE 200 0 0 TECHNITROL INC COM 878555101 17499 612290 SH SOLE 12600 0 0 TECO ENERGY INC COM 872375100 488 28380 SH SOLE 300 0 0 TEEKAY CORPORATION COM Y8564W103 543 10200 SH SOLE 400 0 0 TEKELEC COM 879101103 363 29070 SH SOLE 6766 0 0 TELEDYNE TECHNOLOGIES INC COM 879360105 493 9246 SH SOLE 200 0 0 TELEFLEX INC COM 879369106 18540 294244 SH SOLE 4100 0 0 TELEPHONE & DATA SYS INC COM 879433100 17033 272085 SH SOLE 4700 0 0 TELLABS INC COM 879664100 4744 725448 SH SOLE 19800 0 0 TEMPLE INLAND INC COM 879868107 5147 246856 SH SOLE 2200 0 0 TEMPUR PEDIC INTL INC COM 88023U101 1010 38900 SH SOLE 100 0 0 TENNANT CO COM 880345103 1949 43998 SH SOLE 9260 0 0 TENNECO INC COM 880349105 645 24747 SH SOLE 22752 0 0 TERADATA CORP DEL COM 88076W103 341 12430 SH SOLE 3300 0 0 TERADYNE INC COM 880770102 35355 3419250 SH SOLE 10200 0 0 TEREX CORP NEW COM 880779103 6532 99622 SH SOLE 900 0 0 TERRA INDS INC COM 880915103 22664 474530 SH SOLE 300 0 0 TERRA NITROGEN CO L P COM UNIT 881005201 12640 84530 SH SOLE 1500 0 0 TESORO CORP COM 881609101 22286 467220 SH SOLE 7900 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 1803 38800 SH SOLE 200 0 0 TEXAS INSTRS INC COM 882508104 8430 252400 SH SOLE 4591 0 0 TEXTRON INC COM 883203101 2175 30500 SH SOLE 2800 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 706 12238 SH SOLE 2700 0 0 THOMAS & BETTS CORP COM 884315102 15084 307576 SH SOLE 3600 0 0 THORATEC CORP NOTE 1.379% 5/1 885175AB5 26298 39500000 PRN SOLE 0 0 0 THQ INC COM NEW 872443403 383 13600 SH SOLE 12500 0 0 TIBCO SOFTWARE INC COM 88632Q103 24143 2991691 SH SOLE 13100 0 0 TIDEWATER INC COM 886423102 34667 631910 SH SOLE 12800 0 0 TIERONE CORP COM 88650R108 14668 662198 SH SOLE 800 0 0 TIM HORTONS INC COM 88706M103 1126 30500 SH SOLE 2700 0 0 TIME WARNER INC COM 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896239100 299 9900 SH SOLE 9900 0 0 TRINITY INDS INC COM 896522109 816 29400 SH SOLE 3900 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 5859 6500000 PRN SOLE 0 0 0 TRONOX INC COM CL B 897051207 779 90000 SH SOLE 10100 0 0 TRUSTMARK CORP COM 898402102 7443 293483 SH SOLE 6800 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 4084 195408 SH SOLE 56900 0 0 TUPPERWARE BRANDS CORP COM 899896104 9351 283100 SH SOLE 2832 0 0 TUTOGEN MEDICAL INC COM 901107102 4520 432522 SH SOLE 432522 0 0 TYCO ELECTRONICS LTD COM NEW G9144P105 5104 137450 SH SOLE 6000 0 0 TYCO INTL LTD BERMUDA SHS G9143X208 18335 462422 SH SOLE 4361 0 0 TYSON FOODS INC CL A 902494103 4302 280623 SH SOLE 3700 0 0 U S AIRWAYS GROUP INC COM 90341W108 678 46067 SH SOLE 1100 0 0 U S B HLDG INC COM 902910108 5897 297817 SH SOLE 300 0 0 U STORE IT TR COM 91274F104 837 91370 SH SOLE 3100 0 0 UAL CORP COM NEW 902549807 1442 40432 SH SOLE 2600 0 0 UAP HLDG CORP COM 903441103 7816 202488 SH SOLE 100 0 0 UDR INC COM 902653104 526 26500 SH SOLE 507 0 0 UGI CORP NEW COM 902681105 5911 216908 SH SOLE 6100 0 0 ULTRA PETROLEUM CORP COM 903914109 729 10200 SH SOLE 10200 0 0 UMB FINL CORP COM 902788108 4318 112576 SH SOLE 1485 0 0 UNION PAC CORP COM 907818108 12260 97598 SH SOLE 2879 0 0 UNIONBANCAL CORP COM 908906100 15271 312224 SH SOLE 11244 0 0 UNISYS CORP COM 909214108 3044 643650 SH SOLE 12400 0 0 UNIT CORP COM 909218109 20742 448466 SH SOLE 12300 0 0 UNITED FIRE & CAS CO COM 910331107 320 11000 SH SOLE 5418 0 0 UNITED ONLINE INC COM 911268100 2879 243604 SH SOLE 5832 0 0 UNITED PARCEL SERVICE INC CL B 911312106 283 4000 SH SOLE 500 0 0 UNITED RENTALS NORTH AMER IN NOTE 1.875%10/1 911365AH7 13162 13013000 PRN SOLE 0 0 0 UNITED STATES STL CORP NEW COM 912909108 46851 387483 SH SOLE 5100 0 0 UNITED STATIONERS INC COM 913004107 20366 440725 SH SOLE 10500 0 0 UNITED TECHNOLOGIES CORP COM 913017109 9744 127300 SH SOLE 5158 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 1631 16700 SH SOLE 100 0 0 UNITEDHEALTH GROUP INC COM 91324P102 14271 245200 SH SOLE 8642 0 0 UNITRIN INC COM 913275103 11304 235558 SH SOLE 7300 0 0 UNIVERSAL AMERN FINL CORP COM 913377107 885 34600 SH SOLE 4600 0 0 UNIVERSAL CORP VA COM 913456109 33644 656861 SH SOLE 14100 0 0 UNIVERSAL HEALTH RLTY INCM T SH BEN INT 91359E105 442 12480 SH SOLE 400 0 0 UNIVERSAL HLTH SVCS INC CL B 913903100 4993 97520 SH SOLE 6300 0 0 UNUM GROUP COM 91529Y106 637 26790 SH SOLE 12500 0 0 URS CORP NEW COM 903236107 30755 566084 SH SOLE 561084 0 0 URSTADT BIDDLE PPTYS INS CL A 917286205 345 22250 SH SOLE 1800 0 0 US BANCORP DEL COM NEW 902973304 32597 1026998 SH SOLE 29327 0 0 US BIOENERGY CORP COM 90342V109 4258 363662 SH SOLE 185350 0 0 USA MOBILITY INC COM 90341G103 1287 90010 SH SOLE 14300 0 0 USANA HEALTH SCIENCES INC COM 90328M107 3471 93602 SH SOLE 100 0 0 USEC INC COM 90333E108 12556 1395086 SH SOLE 20000 0 0 UTSTARCOM INC COM 918076100 4319 1570418 SH SOLE 1570418 0 0 V F CORP COM 918204108 487 7095 SH SOLE 7095 0 0 VAALCO ENERGY INC COM NEW 91851C201 325 69860 SH SOLE 100 0 0 VAIL RESORTS INC COM 91879Q109 5033 93537 SH SOLE 100 0 0 VALERO ENERGY CORP NEW COM 91913Y100 39702 566925 SH SOLE 4200 0 0 VALMONT INDS INC COM 920253101 379 4250 SH SOLE 550 0 0 VALUECLICK INC COM 92046N102 5414 247195 SH SOLE 600 0 0 VARIAN INC COM 922206107 13920 213164 SH SOLE 200 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 8841 238952 SH SOLE 225 0 0 VECTOR GROUP LTD NOTE 5.000%11/1 92240MAE8 7897 5600000 PRN SOLE 0 0 0 VECTREN CORP COM 92240G101 714 24600 SH SOLE 9897 0 0 VENTANA MED SYS INC COM 92276H106 401 4600 SH SOLE 100 0 0 VENTAS INC COM 92276F100 783 17300 SH SOLE 15300 0 0 VERASUN ENERGY CORP COM 92336G106 263 17200 SH SOLE 6100 0 0 VERISIGN INC COM 92343E102 4565 121387 SH SOLE 4722 0 0 VERIZON COMMUNICATIONS COM 92343V104 39566 905607 SH SOLE 26865 0 0 VIACOM INC NEW CL B 92553P201 1660 37800 SH SOLE 1400 0 0 VIAD CORP COM NEW 92552R406 3736 118299 SH SOLE 3300 0 0 VIRGIN MEDIA INC COM 92769L101 1297 75700 SH SOLE 3500 0 0 VIROPHARMA INC COM 928241108 9256 1165778 SH SOLE 600 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 370 500000 PRN SOLE 0 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 6095 534180 SH SOLE 12300 0 0 VISICU INC COM 92831L204 4141 348861 SH SOLE 348861 0 0 VISUAL SCIENCES INC COM 92845H108 17736 959767 SH SOLE 1112 0 0 VMWARE INC CL A COM 928563402 212 2500 SH SOLE 2500 0 0 VOLT INFORMATION SCIENCES IN COM 928703107 3213 175960 SH SOLE 500 0 0 VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 1693 1500000 PRN SOLE 0 0 0 VORNADO RLTY TR SH BEN INT 929042109 3077 34991 SH SOLE 746 0 0 VORNADO RLTY TR DBCV 2.850% 4/0 929042AC3 1770 2000000 PRN SOLE 0 0 0 VULCAN MATLS CO COM 929160109 3324 42025 SH SOLE 150 0 0 W HLDG CO INC COM 929251106 98 80908 SH SOLE 80908 0 0 WABCO HLDGS INC COM 92927K102 210 4199 SH SOLE 4199 0 0 WABTEC CORP COM 929740108 369 10700 SH SOLE 3700 0 0 WACHOVIA CORP NEW COM 929903102 23804 625927 SH SOLE 4537 0 0 WADDELL & REED FINL INC CL A 930059100 8888 246262 SH SOLE 300 0 0 WAL MART STORES INC COM 931142103 13494 283906 SH SOLE 12251 0 0 WALGREEN CO COM 931422109 1074 28200 SH SOLE 9300 0 0 WALTER INDS INC COM 93317Q105 1516 42200 SH SOLE 3300 0 0 WARNACO GROUP INC COM NEW 934390402 18797 540144 SH SOLE 10700 0 0 WARNER MUSIC GROUP CORP COM 934550104 345 56900 SH SOLE 28900 0 0 WASHINGTON BKG CO OAK HBR WA COM 937303105 3553 225037 SH SOLE 225037 0 0 WASHINGTON FED INC COM 938824109 1856 87900 SH SOLE 9900 0 0 WASHINGTON MUT INC COM 939322103 10448 767691 SH SOLE 14487 0 0 WASHINGTON POST CO CL B 939640108 475 600 SH SOLE 600 0 0 WASHINGTON REAL ESTATE INVT SH BEN INT 939653101 602 19173 SH SOLE 100 0 0 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AJ0 6779 7250000 PRN SOLE 0 0 0 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AK7 3268 3500000 PRN SOLE 0 0 0 WASTE CONNECTIONS INC COM 941053100 924 29901 SH SOLE 20600 0 0 WASTE INDUSTRIES USA INC COM 941057101 6954 191568 SH SOLE 191568 0 0 WASTE MGMT INC DEL COM 94106L109 23862 730410 SH SOLE 13992 0 0 WATERS CORP COM 941848103 2135 27000 SH SOLE 1600 0 0 WATSCO INC COM 942622200 599 16300 SH SOLE 16300 0 0 WATSON WYATT WORLDWIDE INC CL A 942712100 223 4800 SH SOLE 400 0 0 WCI CMNTYS INC NOTE 4.000% 8/1 92923CAK0 11160 15500000 PRN SOLE 0 0 0 WEBMD CORP NOTE 1.750% 6/1 94769MAE5 15578 15500000 PRN SOLE 0 0 0 WEBSENSE INC COM 947684106 14602 859961 SH SOLE 300 0 0 WEBSITE PROS INC COM 94769V105 1382 119025 SH SOLE 119025 0 0 WEBSTER FINL CORP CONN COM 947890109 6610 206754 SH SOLE 13976 0 0 WEIGHT WATCHERS INTL INC NEW COM 948626106 334 7400 SH SOLE 2500 0 0 WEINGARTEN RLTY INVS SH BEN INT 948741103 566 18000 SH SOLE 4200 0 0 WELLCARE HEALTH PLANS INC COM 94946T106 994 23436 SH SOLE 100 0 0 WELLPOINT INC COM 94973V107 29413 335266 SH SOLE 3200 0 0 WELLS FARGO & CO NEW COM 949746101 42807 1417928 SH SOLE 25114 0 0 WENDYS INTL INC COM 950590109 3326 128700 SH SOLE 8303 0 0 WERNER ENTERPRISES INC COM 950755108 1211 71096 SH SOLE 5700 0 0 WESBANCO INC COM 950810101 274 13300 SH SOLE 11365 0 0 WESCO INTL INC DBCV 2.625%10/1 95082PAE5 15487 13400000 PRN SOLE 0 0 0 WEST PHARMACEUTICAL SVSC INC COM 955306105 1571 38700 SH SOLE 200 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 6955 7500000 PRN SOLE 0 0 0 WESTAR ENERGY INC COM 95709T100 11636 448570 SH SOLE 22925 0 0 WESTERN DIGITAL CORP COM 958102105 13045 431800 SH SOLE 8800 0 0 WESTERN REFNG INC COM 959319104 3772 155810 SH SOLE 4500 0 0 WESTERN UN CO COM 959802109 2074 85400 SH SOLE 2300 0 0 WESTWOOD ONE INC COM 961815107 1278 642097 SH SOLE 3200 0 0 WGL HLDGS INC COM 92924F106 11396 347869 SH SOLE 8271 0 0 WHIRLPOOL CORP COM 963320106 482 5900 SH SOLE 1400 0 0 WHITING PETE CORP NEW COM 966387102 340 5900 SH SOLE 5900 0 0 WHITNEY HLDG CORP COM 966612103 3975 152000 SH SOLE 1613 0 0 WILLBROS GROUP INC NOTE 2.750% 3/1 969199AC2 30677 15500000 PRN SOLE 0 0 0 WILLIAMS COS INC DEL COM 969457100 2837 79291 SH SOLE 2600 0 0 WILMINGTON TRUST CORP COM 971807102 5194 147550 SH SOLE 500 0 0 WINDSTREAM CORP COM 97381W104 1060 81400 SH SOLE 21400 0 0 WINN DIXIE STORES INC COM NEW 974280307 810 48030 SH SOLE 12700 0 0 WINTHROP RLTY TR SH BEN INT 976391102 256 48348 SH SOLE 2966 0 0 WINTRUST FINANCIAL CORP COM 97650W108 924 27900 SH SOLE 13000 0 0 WMS INDS INC COM 929297109 348 9501 SH SOLE 9500 0 0 WMS INDS INC NOTE 2.750% 7/1 929297AE9 63250 22500000 PRN SOLE 0 0 0 WOLVERINE WORLD WIDE INC COM 978097103 8110 330766 SH SOLE 2500 0 0 WOODWARD GOVERNOR CO COM 980745103 1115 16415 SH SOLE 81 0 0 WORLD ACCEP CORPORATION NOTE 3.000%10/0 981417AB4 4522 5500000 PRN SOLE 0 0 0 WORTHINGTON INDS INC COM 981811102 8002 447530 SH SOLE 8600 0 0 WRIGLEY WM JR CO COM 982526105 539 9200 SH SOLE 9200 0 0 WYETH COM 983024100 5683 128600 SH SOLE 5887 0 0 WYNDHAM WORLDWIDE CORP COM 98310W108 7445 316000 SH SOLE 8800 0 0 XCEL ENERGY INC COM 98389B100 10655 472069 SH SOLE 23378 0 0 XEROX CORP COM 984121103 12950 799894 SH SOLE 15200 0 0 XILINX INC COM 983919101 3161 144544 SH SOLE 6801 0 0 XM SATELLITE RADIO HLDGS INC CL A 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