-----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, Jr/boSW/to3XTrUCL8L0GYnlmCOv+LVroiHfbXEprZwV0ia4eWMIAlNLzD2gJXJt CeuIX6QwTXO5Dkfd6e0sdQ== 0001085146-06-000385.txt : 20060516 0001085146-06-000385.hdr.sgml : 20060516 20060516171605 ACCESSION NUMBER: 0001085146-06-000385 CONFORMED SUBMISSION TYPE: 13F-HR/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20060331 FILED AS OF DATE: 20060516 DATE AS OF CHANGE: 20060516 EFFECTIVENESS DATE: 20060516 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/A SEC ACT: 1934 Act SEC FILE NUMBER: 028-10120 FILM NUMBER: 06846925 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/A 1 aqrwmin1q06.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: March 31, 2006 Check here if Amendment [ X]; Amendment Number: 1 This Amendment (Check only one.): [ X] 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 May 16, 2006 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: 1 Form13F Information Table Entry Total: 1980 Form13F Information Table Value Total: $11,266,186 (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. No. 13F File Number Name 1 28-10114 CNH Partners, LLC 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 - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 1ST SOURCE CORP COM 336901103 287 9568 SH SOLE 9568 0 0 3COM CORP COM 885535104 130 25400 SH SOLE 25400 0 0 A D C TELECOMMUNICATIONS COM NEW 000886309 136 5300 SH SOLE 1400 0 0 A D C TELECOMMUNICATIONS FRNT 6/1 000886AB7 19569 17500000 PRN SOLE 1 0 0 0 AAR CORP COM 000361105 1154 40500 SH SOLE 40500 0 0 ABBOTT LABS COM 002824100 3246 76400 SH SOLE 34800 0 0 ABERCROMBIE & FITCH CO CL A 002896207 257 4400 SH SOLE 2500 0 0 ABGENIX INC COM 00339B107 38 1700 SH SOLE 1700 0 0 ABGENIX INC COM 00339B107 3998 177700 SH SOLE 1 177700 0 0 ABGENIX INC NOTE 1.750%12/1 00339BAD9 38507 21000000 PRN SOLE 1 0 0 0 ABX AIR INC COM 00080S101 1401 205800 SH SOLE 205800 0 0 ACADIA RLTY TR COM SH BEN INT 004239109 200 8486 SH SOLE 8486 0 0 ACCENTURE LTD BERMUDA CL A G1150G111 2767 92000 SH SOLE 92000 0 0 ACCO BRANDS CORP COM 00081T108 91 4112 SH SOLE 2326 0 0 ACE LTD ORD G0070K103 567 10900 SH SOLE 5500 0 0 ACTIVISION INC NEW COM NEW 004930202 3261 236500 SH SOLE 236400 0 0 ACTUANT CORP SDCV 2.000%11/1 00508XAB0 46772 29200000 PRN SOLE 1 0 0 0 ACUITY BRANDS INC COM 00508Y102 1040 26000 SH SOLE 26000 0 0 ACXIOM CORP COM 005125109 1333 51600 SH SOLE 51600 0 0 ACXIOM CORP COM 005125109 11194 433208 SH SOLE 1 433208 0 0 ADAMS RESPIRATORY THERAPEUTI COM 00635P107 12 300 SH SOLE 300 0 0 ADE CORP MASS COM 00089C107 295 9613 SH SOLE 9613 0 0 ADE CORP MASS COM 00089C107 13200 431100 SH SOLE 1 431100 0 0 ADMINISTAFF INC COM 007094105 5475 100700 SH SOLE 99800 0 0 ADOBE SYS INC COM 00724F101 516 14758 SH SOLE 5800 0 0 ADOBE SYS INC COM 00724F101 12969 371082 SH SOLE 1 371082 0 0 ADOLOR CORP COM 00724X102 10 400 SH SOLE 400 0 0 ADTRAN INC COM 00738A106 2597 99200 SH SOLE 94200 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 7108 170700 SH SOLE 160800 0 0 ADVANCED MICRO DEVICES INC COM 007903107 4185 126200 SH SOLE 115600 0 0 ADVANCED POWER TECHNOLOGY IN COM 00761E108 5993 408539 SH SOLE 1 408539 0 0 ADVANTA CORP CL B 007942204 963 26103 SH SOLE 26103 0 0 ADVENT SOFTWARE INC COM 007974108 34 1200 SH SOLE 900 0 0 AES CORP COM 00130H105 227 13300 SH SOLE 12500 0 0 AETNA INC NEW COM 00817Y108 34339 698800 SH SOLE 691000 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 18757 314400 SH SOLE 105400 0 0 AFFYMETRIX INC COM 00826T108 72 2200 SH SOLE 1300 0 0 AFFYMETRIX INC NOTE 0.750%12/1 00826TAF5 5643 4750000 PRN SOLE 1 0 0 0 AFLAC INC COM 001055102 117 2600 SH SOLE 1400 0 0 AGCO CORP NOTE 1.750%12/3 001084AL6 23688 22015000 PRN SOLE 1 0 0 0 AGERE SYS INC NOTE 6.500%12/1 00845VAA8 4449 4500000 PRN SOLE 1 0 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 11455 305000 SH SOLE 151900 0 0 AGILYSYS INC COM 00847J105 1286 85244 SH SOLE 85244 0 0 AGL RES INC COM 001204106 184 5100 SH SOLE 3400 0 0 AIR PRODS & CHEMS INC COM 009158106 7 100 SH SOLE 100 0 0 AIRGAS INC COM 009363102 20 500 SH SOLE 500 0 0 AIRTRAN HLDGS INC NOTE 7.000% 7/0 00949PAB4 21278 11393000 PRN SOLE 1 0 0 0 AK STL HLDG CORP COM 001547108 3214 214200 SH SOLE 212300 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 605 18400 SH SOLE 18400 0 0 AKAMAI TECHNOLOGIES INC NOTE 1.000%12/1 00971TAE1 55415 25500000 PRN SOLE 1 0 0 0 ALAMO GROUP INC COM 011311107 17 800 SH SOLE 800 0 0 ALASKA AIR GROUP INC COM 011659109 11299 318707 SH SOLE 318707 0 0 ALBEMARLE FIRST BK VA COM 012684106 73 4850 SH SOLE 1 4850 0 0 ALBERTO CULVER CO COM 013068101 400 9050 SH SOLE 50 0 0 ALBERTSONS INC COM 013104104 21175 824900 SH SOLE 1 824900 0 0 ALBERTSONS INC COM 013104104 832 32400 SH SOLE 32400 0 0 ALCOA INC COM 013817101 232 7600 SH SOLE 5100 0 0 ALDERWOODS GROUP INC COM 014383103 229 12800 SH SOLE 12800 0 0 ALEXANDER & BALDWIN INC COM 014482103 129 2700 SH SOLE 500 0 0 ALEXANDERS INC COM 014752109 202 699 SH SOLE 699 0 0 ALEXANDRIA REAL ESTATE EQ IN COM 015271109 1007 10573 SH SOLE 10573 0 0 ALKERMES INC NOTE 2.500% 9/0 01642TAE8 3213 2000000 PRN SOLE 1 0 0 0 ALKERMES INC COM 01642T108 39 1800 SH SOLE 1800 0 0 ALLEGHENY ENERGY INC COM 017361106 9011 266200 SH SOLE 55100 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 44 709 SH SOLE 609 0 0 ALLERGAN INC COM 018490102 3619 33369 SH SOLE 22769 0 0 ALLERGAN INC COM 018490102 11753 108319 SH SOLE 1 108319 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 1235 26400 SH SOLE 26400 0 0 ALLIANCE RES PARTNER L P UT LTD PART 01877R108 264 7294 SH SOLE 7294 0 0 ALLIANT ENERGY CORP COM 018802108 506 16100 SH SOLE 11600 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 3511 45500 SH SOLE 11300 0 0 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 5393 5000000 PRN SOLE 1 0 0 0 ALLIANT TECHSYSTEMS INC NOTE 3.000% 8/1 018804AK0 21553 18500000 PRN SOLE 1 0 0 0 ALLIED CAP CORP NEW COM 01903Q108 15 500 SH SOLE 500 0 0 ALLIED WASTE INDS INC SDCV 4.250% 4/1 019589AD2 468 500000 PRN SOLE 1 0 0 0 ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 134 11000 SH SOLE 11000 0 0 ALLSCRIPTS HEALTHCARE SOLUTI DBCV 3.500% 7/1 01988PAB4 51741 29595000 PRN SOLE 1 0 0 0 ALLSTATE CORP COM 020002101 2001 38400 SH SOLE 27800 0 0 ALLTEL CORP COM 020039103 4830 74600 SH SOLE 3700 0 0 ALPHA NATURAL RESOURCES INC COM 02076X102 14 600 SH SOLE 600 0 0 ALPHARMA INC CL A 020813101 22235 828964 SH SOLE 828964 0 0 ALTEON INC COM 02144G107 0 400 SH SOLE 400 0 0 ALTRIA GROUP INC COM 02209S103 17916 252800 SH SOLE 251000 0 0 AMAZON COM INC COM 023135106 69 1900 SH SOLE 1900 0 0 AMB PROPERTY CORP COM 00163T109 1325 24400 SH SOLE 19900 0 0 AMBAC FINL GROUP INC COM 023139108 32 400 SH SOLE 400 0 0 AMBASSADORS GROUP INC COM 023177108 21 818 SH SOLE 818 0 0 AMCORE FINL INC COM 023912108 685 21645 SH SOLE 21645 0 0 AMERCO COM 023586100 7473 75496 SH SOLE 75496 0 0 AMERICA MOVIL S A DE C V SPON ADR L SHS 02364W105 8906 260000 SH SOLE 260000 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 14 800 SH SOLE 800 0 0 AMERICAN CAMPUS CMNTYS INC COM 024835100 156 6000 SH SOLE 6000 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 3060 102500 SH SOLE 69600 0 0 AMERICAN ELEC PWR INC COM 025537101 10958 322100 SH SOLE 316400 0 0 AMERICAN EXPRESS CO COM 025816109 589 11200 SH SOLE 6000 0 0 AMERICAN EXPRESS CO DBCV 1.850%12/0 025816AS8 20750 20000000 PRN SOLE 1 0 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 3112 74800 SH SOLE 74800 0 0 AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 16108 32500000 PRN SOLE 1 0 0 0 AMERICAN GREETINGS CORP CL A 026375105 7394 342000 SH SOLE 342000 0 0 AMERICAN HOME MTG INVT CORP COM 02660R107 1108 35515 SH SOLE 35515 0 0 AMERICAN INTL GROUP INC COM 026874107 3867 58500 SH SOLE 53800 0 0 AMERICAN PHYSICIANS CAPITAL COM 028884104 1044 21731 SH SOLE 21731 0 0 AMERICAN PWR CONVERSION CORP COM 029066107 46 2000 SH SOLE 1900 0 0 AMERICAN RETIREMENT CORP COM 028913101 533 20826 SH SOLE 20826 0 0 AMERICAN SCIENCE & ENGR INC COM 029429107 121 1300 SH SOLE 1300 0 0 AMERICAN STD COS INC DEL COM 029712106 26 600 SH SOLE 600 0 0 AMERICAN TOWER CORP CL A 029912201 182 6000 SH SOLE 6000 0 0 AMERICAN TOWER CORP NOTE 3.250% 8/0 029912AK8 5097 2000000 PRN SOLE 1 0 0 0 AMERICREDIT CORP COM 03060R101 6383 207700 SH SOLE 205700 0 0 AMERICREDIT CORP NOTE 1.750%11/1 03060RAM3 21099 12500000 PRN SOLE 1 0 0 0 AMERIPRISE FINL INC COM 03076C106 122 2700 SH SOLE 2700 0 0 AMERIS BANCORP COM 03076K108 52 2186 SH SOLE 2186 0 0 AMERISOURCEBERGEN CORP COM 03073E105 48305 1000706 SH SOLE 981306 0 0 AMERISTAR CASINOS INC COM 03070Q101 5470 212111 SH SOLE 212111 0 0 AMERON INTL INC COM 030710107 293 4000 SH SOLE 4000 0 0 AMERUS GROUP CO COM 03072M108 3521 58441 SH SOLE 57341 0 0 AMETEK INC NEW COM 031100100 27 600 SH SOLE 500 0 0 AMGEN INC COM 031162100 8723 119900 SH SOLE 119300 0 0 AMGEN INC NOTE 3/0 031162AL4 1503 2000000 PRN SOLE 1 0 0 0 AMPHENOL CORP NEW CL A 032095101 2520 48300 SH SOLE 48300 0 0 AMR CORP COM 001765106 2002 74000 SH SOLE 74000 0 0 AMR CORP NOTE 4.250% 9/2 001765BA3 3379 2000000 PRN SOLE 1 0 0 0 AMSOUTH BANCORPORATION COM 032165102 495 18300 SH SOLE 7300 0 0 AMYLIN PHARMACEUTICALS INC NOTE 2.500% 4/1 032346AD0 22089 14482000 PRN SOLE 1 0 0 0 AMYLIN PHARMACEUTICALS INC COM 032346108 494 10084 SH SOLE 10084 0 0 ANADARKO PETE CORP COM 032511107 38433 380500 SH SOLE 130000 0 0 ANALOG DEVICES INC COM 032654105 77 2000 SH SOLE 2000 0 0 ANALYSTS INTL CORP COM 032681108 1186 425085 SH SOLE 1 425085 0 0 ANCHOR BANCORP WIS INC COM 032839102 130 4300 SH SOLE 4300 0 0 ANDERSONS INC COM 034164103 266 3404 SH SOLE 3404 0 0 ANDREW CORP COM 034425108 517 42100 SH SOLE 3100 0 0 ANDREW CORP NOTE 3.250% 8/1 034425AB4 16877 15650000 PRN SOLE 1 0 0 0 ANDRX CORP DEL ANDRX GROUP 034553107 1403 59100 SH SOLE 59100 0 0 ANDRX CORP DEL ANDRX GROUP 034553107 14595 614800 SH SOLE 1 614800 0 0 ANHEUSER BUSCH COS INC COM 035229103 17 400 SH SOLE 400 0 0 ANIXTER INTL INC NOTE 7/0 035290AG0 1665 2300000 PRN SOLE 1 0 0 0 ANNTAYLOR STORES CORP COM 036115103 1439 39100 SH SOLE 36000 0 0 ANSOFT CORP COM 036384105 17 409 SH SOLE 409 0 0 ANSYS INC COM 03662Q105 916 16914 SH SOLE 16914 0 0 ANTEON INTL CORP COM 03674E108 18638 341600 SH SOLE 1 341600 0 0 ANTHRACITE CAP INC COM 037023108 546 49807 SH SOLE 49807 0 0 AON CORP COM 037389103 13306 320500 SH SOLE 320500 0 0 AON CORP DBCV 3.500%11/1 037389AT0 54186 28000000 PRN SOLE 1 0 0 0 APACHE CORP COM 037411105 3400 51900 SH SOLE 43700 0 0 APPLE COMPUTER INC COM 037833100 8750 139500 SH SOLE 109100 0 0 APPLEBEES INTL INC COM 037899101 665 27100 SH SOLE 27100 0 0 APPLERA CORP COM AP BIO GRP 038020103 22433 826600 SH SOLE 824200 0 0 APPLIED INDL TECHNOLOGIES IN COM 03820C105 7240 162314 SH SOLE 162314 0 0 APPLIED MATLS INC COM 038222105 380 21700 SH SOLE 7100 0 0 APPLIED SIGNAL TECHNOLOGY IN COM 038237103 59 3000 SH SOLE 3000 0 0 APRIA HEALTHCARE GROUP INC COM 037933108 85 3700 SH SOLE 2000 0 0 APRIA HEALTHCARE GROUP INC NOTE 3.375% 9/0 037933AB4 9182 9500000 PRN SOLE 1 0 0 0 APTARGROUP INC COM 038336103 72 1300 SH SOLE 1300 0 0 AQUA AMERICA INC COM 03836W103 401 14400 SH SOLE 7400 0 0 AQUANTIVE INC NOTE 2.250% 8/1 03839GAB1 37518 19615000 PRN SOLE 1 0 0 0 AQUANTIVE INC COM 03839G105 5887 250066 SH SOLE 250066 0 0 ARBOR RLTY TR INC COM 038923108 575 21286 SH SOLE 21286 0 0 ARCH COAL INC COM 039380100 251 3300 SH SOLE 900 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 31884 947500 SH SOLE 944800 0 0 ARCHSTONE SMITH TR COM 039583109 176 3600 SH SOLE 2500 0 0 ARDEN RLTY INC COM 039793104 1259 27900 SH SOLE 27900 0 0 ARGONAUT GROUP INC COM 040157109 185 5178 SH SOLE 5178 0 0 ARIAD PHARMACEUTICALS INC COM 04033A100 1 100 SH SOLE 100 0 0 ARKANSAS BEST CORP DEL COM 040790107 3500 89504 SH SOLE 89504 0 0 ARMOR HOLDINGS INC COM 042260109 363 6224 SH SOLE 6224 0 0 ARMOR HOLDINGS INC NOTE 2.000%11/0 042260AC3 52935 43365000 PRN SOLE 1 0 0 0 ARRIS GROUP INC COM 04269Q100 128 9370 SH SOLE 9370 0 0 ARROW ELECTRS INC COM 042735100 19043 590100 SH SOLE 346400 0 0 ARTESYN TECHNOLOGIES INC COM 043127109 5173 472418 SH SOLE 1 472418 0 0 ARTESYN TECHNOLOGIES INC NOTE 5.500% 8/1 043127AB5 9070 6665000 PRN SOLE 1 0 0 0 ARVINMERITOR INC COM 043353101 5558 372751 SH SOLE 359951 0 0 ASBURY AUTOMOTIVE GROUP INC COM 043436104 16 800 SH SOLE 800 0 0 ASHLAND INC NEW COM 044209104 32006 450300 SH SOLE 450300 0 0 ASM INTL NV NOTE 4.250%12/0 00207DAG7 7615 7000000 PRN SOLE 1 0 0 0 ASSOCIATED BANC CORP COM 045487105 1583 46600 SH SOLE 41500 0 0 ASSURANT INC COM 04621X108 6077 123400 SH SOLE 123400 0 0 ASTEC INDS INC COM 046224101 293 8175 SH SOLE 8175 0 0 ASTORIA FINL CORP COM 046265104 1997 64500 SH SOLE 64500 0 0 ASYST TECHNOLOGY CORP COM 04648X107 111 10700 SH SOLE 10700 0 0 AT&T INC COM 00206R102 10269 379767 SH SOLE 122831 0 0 ATARI INC COM 04651M105 9 14074 SH SOLE 14074 0 0 ATHEROGENICS INC NOTE 1.500% 2/0 047439AD6 10101 11500000 PRN SOLE 1 0 0 0 ATHEROGENICS INC NOTE 4.500% 9/0 047439AB0 12813 9493000 PRN SOLE 1 0 0 0 ATI TECHNOLOGIES INC COM 001941103 4649 270600 SH SOLE 270600 0 0 ATLANTIC LIBERTY FINL CORP COM 048668107 1358 57793 SH SOLE 1 57793 0 0 ATLANTIC RLTY TR SH BEN INT 048798102 1829 79815 SH SOLE 1 79815 0 0 ATMEL CORP COM 049513104 7081 1500500 SH SOLE 1500500 0 0 ATMOS ENERGY CORP COM 049560105 1511 57402 SH SOLE 57402 0 0 ATWOOD OCEANICS INC COM 050095108 1020 10100 SH SOLE 10100 0 0 AUDIOVOX CORP CL A 050757103 9 750 SH SOLE 750 0 0 AUTODESK INC COM 052769106 14483 376010 SH SOLE 108100 0 0 AUTOLIV INC COM 052800109 57 1000 SH SOLE 1000 0 0 AUTOMATIC DATA PROCESSING IN COM 053015103 4723 103400 SH SOLE 98600 0 0 AUTONATION INC COM 05329W102 39692 1841800 SH SOLE 1801900 0 0 AUTOZONE INC COM 053332102 6869 68900 SH SOLE 68900 0 0 AVANT IMMUNOTHERAPEUTICS INC COM 053491106 1 400 SH SOLE 400 0 0 AVATAR HLDGS INC NOTE 4.500% 4/0 053494AF7 20033 16550000 PRN SOLE 1 0 0 0 AVAYA INC COM 053499109 5113 452500 SH SOLE 77400 0 0 AVERY DENNISON CORP COM 053611109 1386 23700 SH SOLE 600 0 0 AVIALL INC NEW COM 05366B102 52 1385 SH SOLE 1385 0 0 AVISTA CORP COM 05379B107 1327 64300 SH SOLE 64300 0 0 AVNET INC COM 053807103 10794 425300 SH SOLE 160200 0 0 AVNET INC DBCV 2.000% 3/1 053807AL7 989 1000000 PRN SOLE 1 0 0 0 AVOCENT CORP COM 053893103 111 3500 SH SOLE 1100 0 0 AXCELIS TECHNOLOGIES INC COM 054540109 742 126642 SH SOLE 126642 0 0 AXONYX INC COM 05461R101 0 314 SH SOLE 314 0 0 AZTAR CORP COM 054802103 227 5400 SH SOLE 1 5400 0 0 AZTAR CORP COM 054802103 4341 103400 SH SOLE 103400 0 0 BAKER HUGHES INC COM 057224107 554 8100 SH SOLE 1800 0 0 BALL CORP COM 058498106 105 2400 SH SOLE 1600 0 0 BANCFIRST CORP COM 05945F103 807 18509 SH SOLE 18509 0 0 BANCORPSOUTH INC COM 059692103 2345 97660 SH SOLE 97660 0 0 BANDAG INC COM 059815100 180 4300 SH SOLE 2000 0 0 BANK HAWAII CORP COM 062540109 3871 72600 SH SOLE 65400 0 0 BANK OF AMERICA CORPORATION COM 060505104 1172 25746 SH SOLE 1 25746 0 0 BANK OF AMERICA CORPORATION COM 060505104 16418 360543 SH SOLE 360543 0 0 BANK OF THE OZARKS INC COM 063904106 4 100 SH SOLE 100 0 0 BANKUNITED FINL CORP NOTE 3.125% 3/0 06652BAE3 15652 16900000 PRN SOLE 1 0 0 0 BANNER CORP COM 06652V109 18 514 SH SOLE 514 0 0 BANTA CORP COM 066821109 5049 97132 SH SOLE 97132 0 0 BARD C R INC COM 067383109 936 13800 SH SOLE 2700 0 0 BARNES & NOBLE INC COM 067774109 49322 1066400 SH SOLE 1066400 0 0 BARNES GROUP INC COM 067806109 1078 26600 SH SOLE 26600 0 0 BARR PHARMACEUTICALS INC COM 068306109 3363 53400 SH SOLE 37100 0 0 BAUSCH & LOMB INC COM 071707103 26544 416700 SH SOLE 142100 0 0 BAUSCH & LOMB INC FRNT 8/0 071707AM5 653 500000 PRN SOLE 1 0 0 0 BAXTER INTL INC COM 071813109 2084 53700 SH SOLE 52000 0 0 BB&T CORP COM 054937107 1728 44100 SH SOLE 36500 0 0 BE AEROSPACE INC COM 073302101 541 21514 SH SOLE 21514 0 0 BEA SYS INC COM 073325102 1710 130200 SH SOLE 130200 0 0 BEACON ROOFING SUPPLY INC COM 073685109 45 1100 SH SOLE 1100 0 0 BEAR STEARNS COS INC COM 073902108 25636 184830 SH SOLE 184830 0 0 BEAZER HOMES USA INC COM 07556Q105 1077 16391 SH SOLE 16391 0 0 BEAZER HOMES USA INC NOTE 4.625% 6/1 07556QAL9 32502 22600000 PRN SOLE 1 0 0 0 BEBE STORES INC COM 075571109 1 50 SH SOLE 50 0 0 BECKMAN COULTER INC COM 075811109 2014 36900 SH SOLE 36900 0 0 BECTON DICKINSON & CO COM 075887109 26332 427600 SH SOLE 130600 0 0 BED BATH & BEYOND INC COM 075896100 38 1000 SH SOLE 1000 0 0 BELDEN CDT INC COM 077454106 438 16100 SH SOLE 1 16100 0 0 BELL MICROPRODUCTS INC NOTE 3.750% 3/0 078137AC0 24786 28343000 PRN SOLE 1 0 0 0 BELLSOUTH CORP COM 079860102 5742 165700 SH SOLE 1 165700 0 0 BELLSOUTH CORP COM 079860102 877 25300 SH SOLE 25300 0 0 BELO CORP COM SER A 080555105 990 49800 SH SOLE 32800 0 0 BEMIS INC COM 081437105 117 3700 SH SOLE 3700 0 0 BENCHMARK ELECTRS INC COM 08160H101 2934 76500 SH SOLE 76000 0 0 BERKLEY W R CORP COM 084423102 5986 103100 SH SOLE 101700 0 0 BERRY PETE CO CL A 085789105 48 700 SH SOLE 700 0 0 BEST BUY INC COM 086516101 4070 72800 SH SOLE 72800 0 0 BIG LOTS INC COM 089302103 2176 155900 SH SOLE 155900 0 0 BIO RAD LABS INC CL A 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SH SOLE 4400 0 0 BOEING CO COM 097023105 6195 79500 SH SOLE 79500 0 0 BON-TON STORES INC COM 09776J101 1060 32763 SH SOLE 32763 0 0 BORDERS GROUP INC COM 099709107 8254 326980 SH SOLE 326580 0 0 BORG WARNER INC COM 099724106 60 1000 SH SOLE 1000 0 0 BOSTON BEER INC CL A 100557107 81 3100 SH SOLE 3100 0 0 BOSTON SCIENTIFIC CORP COM 101137107 120 5200 SH SOLE 3200 0 0 BOWATER INC COM 102183100 33 1100 SH SOLE 1100 0 0 BP PRUDHOE BAY RTY TR UNIT BEN INT 055630107 304 4300 SH SOLE 4300 0 0 BRANDYWINE RLTY TR SH BEN INT NEW 105368203 1523 47918 SH SOLE 47918 0 0 BRANDYWINE RLTY TR SH BEN INT NEW 105368203 7602 239361 SH SOLE 1 239361 0 0 BRIGGS & STRATTON CORP COM 109043109 46 1300 SH SOLE 1300 0 0 BRIGHTPOINT INC COM NEW 109473405 11107 357591 SH SOLE 357591 0 0 BRINKER INTL INC COM 109641100 3516 83200 SH SOLE 64600 0 0 BRINKS CO COM 109696104 1112 21900 SH SOLE 21900 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 701 28500 SH SOLE 600 0 0 BROADCOM CORP CL A 111320107 544 12600 SH SOLE 4900 0 0 BROOKFIELD HOMES CORP COM 112723101 1384 26661 SH SOLE 26661 0 0 BROOKLINE BANCORP INC DEL COM 11373M107 2 100 SH SOLE 100 0 0 BROOKS AUTOMATION INC COM 114340102 16 1100 SH SOLE 1100 0 0 BROWN & BROWN INC COM 115236101 7 200 SH SOLE 200 0 0 BROWN FORMAN CORP CL B 115637209 7206 93600 SH SOLE 92400 0 0 BROWN SHOE INC NEW COM 115736100 782 14900 SH SOLE 14900 0 0 BRUKER BIOSCIENCES CORP COM 116794108 8 1500 SH SOLE 1500 0 0 BRUNSWICK CORP COM 117043109 3891 100100 SH SOLE 96800 0 0 BUCKLE INC COM 118440106 78 1899 SH SOLE 1899 0 0 BUCYRUS INTL INC NEW CL A 118759109 2 40 SH SOLE 40 0 0 BUILDING MATLS HLDG CORP COM 120113105 10123 283657 SH SOLE 283657 0 0 BURLINGTON COAT FACTORY COM 121579106 8693 191237 SH SOLE 191237 0 0 BURLINGTON COAT FACTORY COM 121579106 11040 242900 SH SOLE 1 242900 0 0 BURLINGTON NORTHN SANTA FE C COM 12189T104 37292 447500 SH SOLE 447500 0 0 BURLINGTON RES INC COM 122014103 5657 61551 SH SOLE 61551 0 0 BURLINGTON RES INC COM 122014103 21875 238000 SH SOLE 1 238000 0 0 C D W CORP COM 12512N105 2290 38900 SH SOLE 38400 0 0 C H ROBINSON WORLDWIDE INC COM NEW 12541W209 1498 30500 SH SOLE 30500 0 0 CA INC COM 12673P105 90 3300 SH SOLE 2800 0 0 CABLE DESIGN TECHNOLOGIES CO SDCV 4.000% 7/1 126924AB5 16243 10250000 PRN SOLE 1 0 0 0 CABOT CORP COM 127055101 959 28200 SH SOLE 14300 0 0 CABOT OIL & GAS CORP COM 127097103 43 900 SH SOLE 900 0 0 CACHE INC COM NEW 127150308 3 150 SH SOLE 150 0 0 CACI INTL INC CL A 127190304 7 100 SH SOLE 100 0 0 CADENCE DESIGN SYSTEM INC NOTE 8/1 127387AB4 1222 1000000 PRN SOLE 1 0 0 0 CALIFORNIA COASTAL CMNTYS IN COM NEW 129915203 4 100 SH SOLE 100 0 0 CALLAWAY GOLF CO COM 131193104 22 1300 SH SOLE 800 0 0 CAMDEN NATL CORP COM 133034108 46 1209 SH SOLE 1209 0 0 CAMDEN PPTY TR SH BEN INT 133131102 1283 17796 SH SOLE 17796 0 0 CAMPBELL SOUP CO COM 134429109 816 25200 SH SOLE 2400 0 0 CANDELA CORP COM 136907102 1073 49700 SH SOLE 49700 0 0 CAP ROCK ENERGY CORP COM 13910R102 277 13000 SH SOLE 1 13000 0 0 CAPITAL BK CORP COM 139793103 1124 69158 SH SOLE 1 69158 0 0 CAPITAL CROSSING BK COM 140071101 140 4400 SH SOLE 4400 0 0 CAPITAL ONE FINL CORP COM 14040H105 845 10500 SH SOLE 3400 0 0 CAPITAL TITLE GROUP INC COM 140919101 3331 432034 SH SOLE 1 432034 0 0 CAPITAL TRUST INC MD CL A NEW 14052H506 261 8400 SH SOLE 8400 0 0 CAPITALSOURCE INC COM 14055X102 52 2100 SH SOLE 2100 0 0 CAPITALSOURCE INC DBCV 1.250% 3/1 14055XAB8 13074 13000000 PRN SOLE 1 0 0 0 CAPITALSOURCE INC DBCV 3.500% 7/1 14055XAD4 35260 34500000 PRN SOLE 1 0 0 0 CAPITOL BANCORP LTD COM 14056D105 481 10287 SH SOLE 10287 0 0 CARDINAL HEALTH INC COM 14149Y108 38457 516049 SH SOLE 504149 0 0 CAREER EDUCATION CORP COM 141665109 5962 158000 SH SOLE 76600 0 0 CAREMARK RX INC COM 141705103 591 12000 SH SOLE 11000 0 0 CARMAX INC COM 143130102 2735 83700 SH SOLE 80200 0 0 CARNIVAL CORP DBCV 1.132% 4/2 143658AV4 10544 15000000 PRN SOLE 1 0 0 0 CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 7407 6000000 PRN SOLE 1 0 0 0 CARNIVAL CORP PAIRED CTF 143658300 985 20800 SH SOLE 10700 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 19 200 SH SOLE 200 0 0 CARRAMERICA RLTY CORP COM 144418100 279 6246 SH SOLE 6246 0 0 CARRAMERICA RLTY CORP COM 144418100 5527 123900 SH SOLE 1 123900 0 0 CASCADE BANCORP COM 147154108 4 125 SH SOLE 125 0 0 CASCADE CORP COM 147195101 1993 37709 SH SOLE 37709 0 0 CASTLE A M & CO COM 148411101 908 30745 SH SOLE 30745 0 0 CASTLE ENERGY CORP COM PAR$0.50N 148449309 6345 261532 SH SOLE 1 261532 0 0 CATALINA MARKETING CORP COM 148867104 63 2700 SH SOLE 2000 0 0 CATERPILLAR INC DEL COM 149123101 2572 35800 SH SOLE 28800 0 0 CATHAY GENERAL BANCORP COM 149150104 8 200 SH SOLE 200 0 0 CATO CORP NEW CL A 149205106 2740 114848 SH SOLE 114848 0 0 CAVCO INDS INC DEL COM 149568107 131 2690 SH SOLE 2690 0 0 CB RICHARD ELLIS GROUP INC CL A 12497T101 14381 178200 SH SOLE 154200 0 0 CBIZ INC COM 124805102 102 12800 SH SOLE 12800 0 0 CBOT HLDGS INC CL A 14984K106 24 200 SH SOLE 200 0 0 CBRL GROUP INC COM 12489V106 3038 69174 SH SOLE 17074 0 0 CBS CORP NEW CL B 124857202 10212 425902 SH SOLE 422552 0 0 CELGENE CORP COM 151020104 2472 55900 SH SOLE 55900 0 0 CELGENE CORP NOTE 1.750% 6/0 151020AC8 132632 36177000 PRN SOLE 1 0 0 0 CEMEX S A SPON ADR 5 ORD 151290889 5456 83580 SH SOLE 83580 0 0 CENDANT CORP COM 151313103 49 2800 SH SOLE 2800 0 0 CENTENE CORP DEL COM 15135B101 15 500 SH SOLE 500 0 0 CENTENNIAL COMMUNCTNS CORP N CL A NEW 15133V208 741 101077 SH SOLE 101077 0 0 CENTER FINL CORP CALIF COM 15146E102 257 10586 SH SOLE 10586 0 0 CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 5824 5250000 PRN SOLE 1 0 0 0 CENTERPOINT ENERGY INC COM 15189T107 413 34600 SH SOLE 18400 0 0 CENTEX CORP COM 152312104 440 7100 SH SOLE 2100 0 0 CENTRAL FGHT LINES INC NEV COM 153491105 1679 860815 SH SOLE 1 860815 0 0 CENTRAL PAC FINL CORP COM 154760102 256 6966 SH SOLE 6966 0 0 CENTRAL PAC FINL CORP COM 154760102 694 18900 SH SOLE 1 18900 0 0 CENTURY ALUM CO NOTE 1.750% 8/0 156431AE8 31232 21000000 PRN SOLE 1 0 0 0 CENTURY ALUM CO COM 156431108 30 700 SH SOLE 700 0 0 CENTURYTEL INC COM 156700106 4859 124200 SH SOLE 4100 0 0 CENVEO INC COM 15670S105 325 19600 SH SOLE 19600 0 0 CEPHALON INC COM 156708109 1169 19400 SH SOLE 9800 0 0 CEPHALON INC NOTE 2.000% 6/0 156708AP4 50177 35500000 PRN SOLE 1 0 0 0 CERADYNE INC COM 156710105 50 1000 SH SOLE 1000 0 0 CERADYNE INC NOTE 2.875%12/1 156710AA3 36165 32502000 PRN SOLE 1 0 0 0 CERES GROUP INC COM 156772105 1 100 SH SOLE 100 0 0 CERIDIAN CORP NEW COM 156779100 204 8000 SH SOLE 1900 0 0 CFC INTL INC COM 125252106 2450 147769 SH SOLE 1 147769 0 0 CHAPARRAL STL CO DEL COM 159423102 26 400 SH SOLE 400 0 0 CHARLES RIV LABS INTL INC COM 159864107 2154 43948 SH SOLE 42948 0 0 CHARLES RIVER ASSOCIATES DBCV 2.875% 6/1 159852AB8 53390 38150000 PRN SOLE 1 0 0 0 CHARLOTTE RUSSE HLDG INC COM 161048103 1348 63000 SH SOLE 63000 0 0 CHARMING SHOPPES INC COM 161133103 1029 69186 SH SOLE 69186 0 0 CHARMING SHOPPES INC NOTE 4.750% 6/0 161133AC7 29598 18926000 PRN SOLE 1 0 0 0 CHARTER COMMUNICATIONS INC D CL A 16117M107 68 62354 SH SOLE 62354 0 0 CHECK POINT SOFTWARE TECH LT ORD M22465104 4220 210797 SH SOLE 198100 0 0 CHECKERS DRIVE-IN RESTAURANT COM NEW 162809305 7504 506000 SH SOLE 1 506000 0 0 CHECKFREE CORP NEW COM 162813109 3782 74900 SH SOLE 74900 0 0 CHEESECAKE FACTORY INC COM 163072101 6 150 SH SOLE 150 0 0 CHEMED CORP NEW COM 16359R103 42 700 SH SOLE 700 0 0 CHEMICAL FINL CORP COM 163731102 190 5870 SH SOLE 5870 0 0 CHEMTURA CORP COM 163893100 71 6000 SH SOLE 6000 0 0 CHESAPEAKE ENERGY CORP COM 165167107 166 5300 SH SOLE 3800 0 0 CHEVRON CORP NEW COM 166764100 9146 157800 SH SOLE 157800 0 0 CHICAGO MERCANTILE HLDGS INC CL A 167760107 761 1700 SH SOLE 1700 0 0 CHICOS FAS INC COM 168615102 736 18100 SH SOLE 14900 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 12 200 SH SOLE 200 0 0 CHINA MOBILE HONG KONG LTD SPONSORED ADR 16941M109 10316 388700 SH SOLE 388700 0 0 CHINA PETE & CHEM CORP SPON ADR H SHS 16941R108 2043 35000 SH SOLE 35000 0 0 CHINA TELECOM CORP LTD SPON ADR H SHS 169426103 1802 50900 SH SOLE 50900 0 0 CHIPOTLE MEXICAN GRILL INC CL A 169656105 553 10000 SH SOLE 10000 0 0 CHIQUITA BRANDS INTL INC COM 170032809 1466 87400 SH SOLE 87400 0 0 CHIRON CORP COM 170040109 6271 136900 SH SOLE 1 136900 0 0 CHIRON CORP DBCV 1.625% 8/0 170040AG4 10330 10500000 PRN SOLE 1 0 0 0 CHIRON CORP DBCV 2.750% 6/3 170040AJ8 10051 10102000 PRN SOLE 1 0 0 0 CHITTENDEN CORP COM 170228100 691 23839 SH SOLE 23839 0 0 CHOICEPOINT INC COM 170388102 67 1500 SH SOLE 1500 0 0 CHUBB CORP COM 171232101 353 3700 SH SOLE 1500 0 0 CIENA CORP COM 171779101 1283 246200 SH SOLE 246200 0 0 CIGNA CORP COM 125509109 50928 389900 SH SOLE 389900 0 0 CINCINNATI BELL INC NEW COM 171871106 1140 252100 SH SOLE 252100 0 0 CINCINNATI FINL CORP COM 172062101 682 16200 SH SOLE 700 0 0 CINERGY CORP COM 172474108 4655 102500 SH SOLE 1 102500 0 0 CINTAS CORP COM 172908105 17 400 SH SOLE 400 0 0 CIRCLE GROUP HLDGS INC COM 172570103 0 300 SH SOLE 300 0 0 CIRCUIT CITY STORE INC COM 172737108 37795 1543900 SH SOLE 1529100 0 0 CIRRUS LOGIC INC COM 172755100 592 69737 SH SOLE 69737 0 0 CISCO SYS INC COM 17275R102 5850 270000 SH SOLE 270000 0 0 CIT GROUP INC COM 125581108 15104 282200 SH SOLE 281700 0 0 CITIGROUP INC COM 172967101 25059 530600 SH SOLE 530600 0 0 CITIZENS BKG CORP MICH COM 174420109 1268 47210 SH SOLE 47210 0 0 CITIZENS COMMUNICATIONS CO COM 17453B101 151 11400 SH SOLE 11400 0 0 CITY HLDG CO COM 177835105 1123 30519 SH SOLE 30519 0 0 CITY NATL CORP COM 178566105 1751 22800 SH SOLE 21500 0 0 CKE RESTAURANTS INC NOTE 4.000%10/0 12561EAG0 5086 2500000 PRN SOLE 1 0 0 0 CKX INC COM 12562M106 293 22400 SH SOLE 22400 0 0 CLAIRES STORES INC COM 179584107 7782 214300 SH SOLE 214200 0 0 CLEAN HARBORS INC COM 184496107 632 21289 SH SOLE 21289 0 0 CLEAR CHANNEL COMMUNICATIONS COM 184502102 4663 160800 SH SOLE 160800 0 0 CLEVELAND CLIFFS INC COM 185896107 1203 13809 SH SOLE 13809 0 0 CLICK COMMERCE INC COM NEW 18681D208 213 8900 SH SOLE 8900 0 0 CLOROX CO DEL COM 189054109 604 10100 SH SOLE 3800 0 0 CMGI INC COM 125750109 20 13000 SH SOLE 13000 0 0 CMS ENERGY CORP COM 125896100 6608 510351 SH SOLE 484851 0 0 CMS ENERGY CORP NOTE 3.375% 7/1 125896AY6 10129 7750000 PRN SOLE 1 0 0 0 CNA FINL CORP COM 126117100 5458 171400 SH SOLE 171400 0 0 CNET NETWORKS INC COM 12613R104 7 500 SH SOLE 500 0 0 CNOOC LTD SPONSORED ADR 126132109 3885 49700 SH SOLE 49700 0 0 CNS INC COM 126136100 159 7363 SH SOLE 7363 0 0 COACH INC COM 189754104 2241 64800 SH SOLE 55400 0 0 COAST DISTR SYS COM 190345108 5 700 SH SOLE 1 700 0 0 COCA COLA CO COM 191216100 1080 25800 SH SOLE 4500 0 0 COCA COLA ENTERPRISES INC COM 191219104 3480 171100 SH SOLE 171100 0 0 COEUR D ALENE MINES CORP IDA COM 192108108 26 3900 SH SOLE 3900 0 0 COEUR D ALENE MINES CORP IDA COM 192108108 328 50000 SH SOLE 1 50000 0 0 COEUR D ALENE MINES CORP IDA NOTE 1.250% 1/1 192108AQ1 17464 16750000 PRN SOLE 1 0 0 0 COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 2118 35600 SH SOLE 34200 0 0 COHERENT INC COM 192479103 866 24640 SH SOLE 24640 0 0 COLDWATER CREEK INC COM 193068103 558 20098 SH SOLE 20098 0 0 COLGATE PALMOLIVE CO COM 194162103 754 13200 SH SOLE 13200 0 0 COLONIAL BANCGROUP INC COM 195493309 2985 119400 SH SOLE 114200 0 0 COLONIAL PPTYS TR COM SH BEN INT 195872106 1209 24109 SH SOLE 24109 0 0 COLUMBIA BKG SYS INC COM 197236102 217 6505 SH SOLE 6505 0 0 COLUMBUS MCKINNON CORP N Y COM 199333105 307 11400 SH SOLE 11400 0 0 COMCAST CORP NEW CL A SPL 20030N200 705 27000 SH SOLE 27000 0 0 COMCAST CORP NEW CL A 20030N101 785 30000 SH SOLE 6200 0 0 COMERICA INC COM 200340107 1194 20600 SH SOLE 20600 0 0 COMFORT SYS USA INC COM 199908104 234 17305 SH SOLE 17305 0 0 COMMERCE BANCORP INC NJ COM 200519106 209 5700 SH SOLE 5700 0 0 COMMERCE BANCSHARES INC COM 200525103 444 8600 SH SOLE 8600 0 0 COMMERCE GROUP INC MASS COM 200641108 344 6500 SH SOLE 6500 0 0 COMMERCIAL CAP BANCORP INC COM 20162L105 0 1 SH SOLE 1 1 0 0 COMMERCIAL METALS CO COM 201723103 36249 677746 SH SOLE 677146 0 0 COMMONWEALTH TEL ENTERPRISES NOTE 3.250% 7/1 203349AC9 17049 17080000 PRN SOLE 1 0 0 0 COMMONWEALTH TEL ENTERPRISES COM 203349105 45 1300 SH SOLE 1300 0 0 COMMSCOPE INC COM 203372107 1458 51060 SH SOLE 51060 0 0 COMMSCOPE INC SDCV 1.000% 3/1 203372AD9 37644 27500000 PRN SOLE 1 0 0 0 COMMUNITY BK SYS INC COM 203607106 383 17178 SH SOLE 17178 0 0 COMMUNITY HEALTH SYS INC NEW COM 203668108 4710 130300 SH SOLE 104600 0 0 COMMUNITY TR BANCORP INC COM 204149108 193 5689 SH SOLE 5689 0 0 COMPASS BANCSHARES INC COM 20449H109 2353 46500 SH SOLE 46500 0 0 COMPUCREDIT CORP COM 20478N100 44 1200 SH SOLE 1200 0 0 COMPUCREDIT CORP NOTE 3.625% 5/3 20478NAB6 13362 12500000 PRN SOLE 1 0 0 0 COMPUTER ASSOC INTL INC NOTE 1.625%12/1 204912AQ2 35509 25500000 PRN SOLE 1 0 0 0 COMPUTER HORIZONS CORP COM 205908106 0 409894 SH SOLE 1 409894 0 0 COMPUTER PROGRAMS & SYS INC COM 205306103 17 334 SH SOLE 334 0 0 COMPUTER SCIENCES CORP COM 205363104 5604 100900 SH SOLE 85900 0 0 COMPUWARE CORP COM 205638109 17319 2212000 SH SOLE 2188500 0 0 COMTECH TELECOMMUNICATIONS C COM NEW 205826209 573 19638 SH SOLE 19638 0 0 COMTECH TELECOMMUNICATIONS C NOTE 2.000% 2/0 205826AD2 34343 31750000 PRN SOLE 1 0 0 0 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 1268 53900 SH SOLE 12200 0 0 CONAGRA FOODS INC COM 205887102 152 7100 SH SOLE 7100 0 0 CONEXANT SYSTEMS INC COM 207142100 244 70910 SH SOLE 70910 0 0 CONMED CORP NOTE 2.500%11/1 207410AD3 12769 15500000 PRN SOLE 1 0 0 0 CONNETICS CORP NOTE 2.250% 5/3 208192AB0 24503 24900000 PRN SOLE 1 0 0 0 CONOCOPHILLIPS COM 20825C104 11038 174800 SH SOLE 174800 0 0 CONSECO INC COM NEW 208464883 3383 136300 SH SOLE 136300 0 0 CONSOL ENERGY INC COM 20854P109 5294 71400 SH SOLE 71400 0 0 CONSOLIDATED EDISON INC COM 209115104 6861 157700 SH SOLE 139600 0 0 CONSOLIDATED GRAPHICS INC COM 209341106 327 6304 SH SOLE 6304 0 0 CONSOLIDATED TOMOKA LD CO COM 210226106 309 4988 SH SOLE 4988 0 0 CONSTELLATION BRANDS INC CL A 21036P108 493 19700 SH SOLE 9400 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 21748 397506 SH SOLE 1 397506 0 0 CONTINENTAL AIRLS INC CL B 210795308 5550 206312 SH SOLE 204712 0 0 CONVERGYS CORP COM 212485106 46 2500 SH SOLE 2500 0 0 COOPER INDS LTD CL A G24182100 295 3400 SH SOLE 3200 0 0 COOPER TIRE & RUBR CO COM 216831107 227 15800 SH SOLE 8700 0 0 COPART INC COM 217204106 33 1200 SH SOLE 600 0 0 CORINTHIAN COLLEGES INC COM 218868107 37 2600 SH SOLE 2600 0 0 CORNING INC COM 219350105 5498 204200 SH SOLE 201800 0 0 CORPORATE EXECUTIVE BRD CO COM 21988R102 91 900 SH SOLE 600 0 0 CORPORATE OFFICE PPTYS TR SH BEN INT 22002T108 1002 21895 SH SOLE 21895 0 0 CORUS BANKSHARES INC COM 220873103 3528 59337 SH SOLE 59337 0 0 COSI INC COM 22122P101 1 100 SH SOLE 100 0 0 COSTCO WHSL CORP NEW COM 22160K105 282 5200 SH SOLE 4100 0 0 COUNTRYWIDE FINANCIAL CORP COM 222372104 356 9703 SH SOLE 9703 0 0 COUSINS PPTYS INC COM 222795106 893 26749 SH SOLE 26749 0 0 COVANTA HLDG CORP COM 22282E102 2 132 SH SOLE 132 0 0 COVENTRY HEALTH CARE INC COM 222862104 4766 88285 SH SOLE 81285 0 0 CRANE CO COM 224399105 53 1300 SH SOLE 1300 0 0 CREDENCE SYS CORP COM 225302108 297 40500 SH SOLE 20900 0 0 CREDENCE SYS CORP NOTE 1.500% 5/1 225302AF5 1873 2000000 PRN SOLE 1 0 0 0 CROWN CASTLE INTL CORP COM 228227104 287 10100 SH SOLE 10100 0 0 CROWN HOLDINGS INC COM 228368106 7546 425400 SH SOLE 425400 0 0 CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 32827 32600000 PRN SOLE 1 0 0 0 CSG SYS INTL INC COM 126349109 2757 118600 SH SOLE 118600 0 0 CSK AUTO CORP COM 125965103 5358 386287 SH SOLE 386287 0 0 CSX CORP COM 126408103 27687 463000 SH SOLE 463000 0 0 CTS CORP COM 126501105 484 36200 SH SOLE 36200 0 0 CTS CORP NOTE 2.125% 5/0 126501AC9 19895 19500000 PRN SOLE 1 0 0 0 CUBIST PHARMACEUTICALS INC COM 229678107 158 6900 SH SOLE 6900 0 0 CULLEN FROST BANKERS INC COM 229899109 699 13000 SH SOLE 1400 0 0 CUMMINS INC COM 231021106 3847 36600 SH SOLE 34400 0 0 CV THERAPEUTICS INC COM 126667104 9 400 SH SOLE 400 0 0 CV THERAPEUTICS INC NOTE 2.750% 5/1 126667AF1 11699 8500000 PRN SOLE 1 0 0 0 CV THERAPEUTICS INC NOTE 3.250% 8/1 126667AG9 1066 1000000 PRN SOLE 1 0 0 0 CVS CORP COM 126650100 170 5700 SH SOLE 3700 0 0 CYBERONICS INC COM 23251P102 26 1000 SH SOLE 1000 0 0 CYBERSOURCE CORP COM 23251J106 2 200 SH SOLE 200 0 0 CYMER INC COM 232572107 5115 112553 SH SOLE 112553 0 0 CYPRESS SEMICONDUCTOR CORP COM 232806109 300 17700 SH SOLE 100 0 0 CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 3735 3000000 PRN SOLE 1 0 0 0 CYTYC CORP COM 232946103 330 11700 SH SOLE 3700 0 0 CYTYC CORP NOTE 2.250% 3/1 232946AB9 1374 1250000 PRN SOLE 1 0 0 0 D R HORTON INC COM 23331A109 178 5367 SH SOLE 2767 0 0 DADE BEHRING HLDGS INC COM 23342J206 27900 781306 SH SOLE 779006 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 928 1000000 PRN SOLE 1 0 0 0 DARDEN RESTAURANTS INC COM 237194105 38362 935000 SH SOLE 920600 0 0 DEAN FOODS CO NEW COM 242370104 21650 557551 SH SOLE 167400 0 0 DECKERS OUTDOOR CORP COM 243537107 8 200 SH SOLE 200 0 0 DECODE GENETICS INC NOTE 3.500% 4/1 243586AB0 3220 3750000 PRN SOLE 1 0 0 0 DEERE & CO COM 244199105 12577 159100 SH SOLE 158100 0 0 DELL INC COM 24702R101 1548 52000 SH SOLE 52000 0 0 DENBURY RES INC COM NEW 247916208 4306 135964 SH SOLE 1164 0 0 DENNYS CORP COM 24869P104 3 700 SH SOLE 700 0 0 DENTSPLY INTL INC NEW COM 249030107 1390 23900 SH SOLE 11200 0 0 DEVCON INTL CORP COM 251588109 64 6400 SH SOLE 1 6400 0 0 DEVELOPERS DIVERSIFIED RLTY COM 251591103 391 7150 SH SOLE 7150 0 0 DEVON ENERGY CORP NEW COM 25179M103 29832 487700 SH SOLE 487700 0 0 DEVRY INC DEL COM 251893103 153 6700 SH SOLE 3500 0 0 DIAMOND OFFSHORE DRILLING IN DBCV 1.500% 4/1 25271CAE2 7353 4000000 PRN SOLE 1 0 0 0 DICKS SPORTING GOODS INC NOTE 1.606% 2/1 253393AB8 5738 7500000 PRN SOLE 1 0 0 0 DIEBOLD INC COM 253651103 1040 25300 SH SOLE 23500 0 0 DIGITAL INSIGHT CORP COM 25385P106 670 18400 SH SOLE 18400 0 0 DIGITAL RIV INC COM 25388B104 70 1600 SH SOLE 1600 0 0 DIGITAL RIV INC NOTE 1.250% 1/0 25388BAB0 26035 22500000 PRN SOLE 1 0 0 0 DIGITAL RLTY TR INC COM 253868103 472 16786 SH SOLE 16786 0 0 DILLARDS INC CL A 254067101 17430 669409 SH SOLE 666609 0 0 DIODES INC COM 254543101 18 438 SH SOLE 438 0 0 DISNEY WALT CO COM DISNEY 254687106 1772 63500 SH SOLE 63500 0 0 DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 1071 1000000 PRN SOLE 1 0 0 0 DOBSON COMMUNICATIONS CORP CL A 256069105 355 44300 SH SOLE 44300 0 0 DOLLAR GEN CORP COM 256669102 640 36200 SH SOLE 34500 0 0 DOLLAR TREE STORES INC COM 256747106 25 900 SH SOLE 800 0 0 DOMINION RES INC VA NEW COM 25746U109 966 14000 SH SOLE 5700 0 0 DONALDSON INC COM 257651109 321 9500 SH SOLE 5000 0 0 DONNELLEY R R & SONS CO COM 257867101 3151 96300 SH SOLE 73400 0 0 DORAL FINL CORP COM 25811P100 1125 97400 SH SOLE 97400 0 0 DOVER CORP COM 260003108 544 11200 SH SOLE 6300 0 0 DOW CHEM CO COM 260543103 4847 119400 SH SOLE 97000 0 0 DOW JONES & CO INC COM 260561105 303 7700 SH SOLE 4100 0 0 DOWNEY FINL CORP COM 261018105 8530 126734 SH SOLE 126734 0 0 DPL INC COM 233293109 186 6900 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266605AB0 2559 1250000 PRN SOLE 1 0 0 0 DYCOM INDS INC COM 267475101 55 2600 SH SOLE 1600 0 0 DYNAMIC MATLS CORP COM 267888105 354 9919 SH SOLE 9919 0 0 DYNEGY INC NEW SDCV 4.750% 8/1 26816QAB7 33508 24650000 PRN SOLE 1 0 0 0 DYNEGY INC NEW CL A 26816Q101 98 20400 SH SOLE 9100 0 0 E M C CORP MASS COM 268648102 6707 492060 SH SOLE 1 492060 0 0 E M C CORP MASS COM 268648102 514 37700 SH SOLE 16100 0 0 E Z EM INC COM NEW 269305405 75 3373 SH SOLE 3373 0 0 EAGLE MATERIALS INC CL B 26969P207 710 11124 SH SOLE 11124 0 0 EAGLE MATERIALS INC COM 26969P108 38 600 SH SOLE 600 0 0 EARTHLINK INC COM 270321102 3 300 SH SOLE 300 0 0 EAST WEST BANCORP INC COM 27579R104 4 100 SH SOLE 100 0 0 EASTGROUP PPTY INC COM 277276101 19 400 SH SOLE 400 0 0 EASTMAN CHEM CO COM 277432100 6970 136200 SH SOLE 132500 0 0 EASTMAN KODAK CO COM 277461109 1143 40200 SH SOLE 38400 0 0 EASTMAN KODAK CO NOTE 3.375%10/1 277461BE8 31609 29500000 PRN SOLE 1 0 0 0 EATON CORP COM 278058102 124 1700 SH SOLE 1700 0 0 EATON VANCE 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108 32400 SH SOLE 32400 0 0 ESSEX PPTY TR INC COM 297178105 223 2053 SH SOLE 2053 0 0 ESTERLINE TECHNOLOGIES CORP COM 297425100 907 21200 SH SOLE 21200 0 0 EURONET WORLDWIDE INC DBCV 1.625%12/1 298736AD1 15552 12500000 PRN SOLE 1 0 0 0 EURONET WORLDWIDE INC NOTE 3.500%10/1 298736AF6 22461 19000000 PRN SOLE 1 0 0 0 EVEREST RE GROUP LTD COM G3223R108 1354 14500 SH SOLE 3600 0 0 EVERGREEN RES INC NOTE 4.750%12/1 299900AB6 3651 2000000 PRN SOLE 1 0 0 0 EVERGREEN SOLAR INC NOTE 4.375% 7/0 30033RAB4 4617 2150000 PRN SOLE 1 0 0 0 EXCEL TECHNOLOGY INC COM 30067T103 9450 320681 SH SOLE 1 320681 0 0 EXELON CORP COM 30161N101 1661 31400 SH SOLE 18500 0 0 EXPONENT INC COM 30214U102 3 109 SH SOLE 109 0 0 EXPRESS SCRIPTS INC COM 302182100 16841 191600 SH SOLE 89400 0 0 EXPRESSJET HOLDINGS INC CL A 30218U108 2483 333809 SH SOLE 333809 0 0 EXXON MOBIL CORP COM 30231G102 31568 518700 SH SOLE 515700 0 0 F M C CORP COM NEW 302491303 17144 276565 SH SOLE 272165 0 0 FACTSET RESH SYS INC COM 303075105 49 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BANCORP OH COM 320209109 2 100 SH SOLE 100 0 0 FIRST FINL BANKSHARES COM 32020R109 0 1 SH SOLE 1 0 0 FIRST FINL CORP IND COM 320218100 16 537 SH SOLE 537 0 0 FIRST HORIZON NATL CORP COM 320517105 5798 139200 SH SOLE 138700 0 0 FIRST HORIZON PHARMACEUTICAL NOTE 1.750% 3/0 32051KAB2 5394 4500000 PRN SOLE 1 0 0 0 FIRST IND CORP COM 32054R108 363 12978 SH SOLE 12978 0 0 FIRST INDUSTRIAL REALTY TRUS COM 32054K103 1117 26167 SH SOLE 26167 0 0 FIRST MERCHANTS CORP COM 320817109 49 1863 SH SOLE 1863 0 0 FIRST MIDWEST BANCORP DEL COM 320867104 843 23033 SH SOLE 23033 0 0 FIRST NATIONAL BANCSHS FL IN COM 32110J108 3377 100000 SH SOLE 1 100000 0 0 FIRST NIAGARA FINL GP INC COM 33582V108 1 132 SH SOLE 132 0 0 FIRST REGL BANCORP COM 33615C101 168 1895 SH SOLE 1895 0 0 FIRSTBANK NW CORP COM 33762X106 2234 121485 SH SOLE 1 121485 0 0 FIRSTENERGY CORP COM 337932107 1927 39400 SH SOLE 37000 0 0 FIRSTFED FINL CORP COM 337907109 702 11752 SH SOLE 11752 0 0 FIRSTMERIT CORP COM 337915102 548 22200 SH SOLE 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INDPT BANCORP COM 344905104 5614 215193 SH SOLE 1 215193 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 4030 506300 SH SOLE 500100 0 0 FOREST LABS INC COM 345838106 183 4100 SH SOLE 4100 0 0 FOREST OIL CORP COM PAR $0.01 346091705 577 15522 SH SOLE 15522 0 0 FORTUNE BRANDS INC COM 349631101 653 8100 SH SOLE 500 0 0 FOSTER WHEELER LTD SHS NEW G36535139 52 1100 SH SOLE 1100 0 0 FOUNDATION COAL HLDGS INC COM 35039W100 16 400 SH SOLE 400 0 0 FOUNDRY NETWORKS INC COM 35063R100 15 800 SH SOLE 800 0 0 FPL GROUP INC COM 302571104 80 2000 SH SOLE 2000 0 0 FRANKLIN RES INC COM 354613101 1263 13400 SH SOLE 2900 0 0 FREEPORT-MCMORAN COPPER & GO NOTE 7.000% 2/1 35671DAK1 50460 25500000 PRN SOLE 1 0 0 0 FREESCALE SEMICONDUCTOR INC CL B 35687M206 20778 748206 SH SOLE 748206 0 0 FREIGHTCAR AMER INC COM 357023100 6 100 SH SOLE 100 0 0 FRONTIER AIRLINES INC NEW DBCV 5.000%12/1 359065AA7 18937 19279000 PRN SOLE 1 0 0 0 FRONTIER OIL CORP COM 35914P105 42605 717850 SH SOLE 389650 0 0 FROZEN FOOD EXPRESS INDS INC COM 359360104 93 8905 SH SOLE 8905 0 0 FULLER H B CO COM 359694106 15058 293288 SH SOLE 293288 0 0 FULTON FINL CORP PA COM 360271100 0 9 SH SOLE 9 0 0 FULTON FINL CORP PA COM 360271100 1399 81368 SH SOLE 1 81368 0 0 FURNITURE BRANDS INTL INC COM 360921100 2522 102900 SH SOLE 101600 0 0 GALLAGHER ARTHUR J & CO COM 363576109 434 15600 SH SOLE 2900 0 0 GAMESTOP CORP NEW CL A 36467W109 23 480 SH SOLE 480 0 0 GAMESTOP CORP NEW CL B 36467W208 2777 64113 SH SOLE 64113 0 0 GANNETT INC COM 364730101 761 12700 SH SOLE 9700 0 0 GAP INC DEL COM 364760108 7312 391400 SH SOLE 158900 0 0 GARTNER INC COM 366651107 127 9100 SH SOLE 4100 0 0 GASCO ENERGY INC NOTE 5.500%10/0 367220AB6 28160 17600000 PRN SOLE 1 0 0 0 GATEWAY INC COM 367626108 101 46200 SH SOLE 25300 0 0 GATX CORP COM 361448103 4241 102679 SH SOLE 99979 0 0 GATX CORP NOTE 5.000% 8/1 361448AE3 33713 19750000 PRN SOLE 1 0 0 0 GEHL CO COM 368483103 244 7397 SH SOLE 7397 0 0 GEN-PROBE INC NEW COM 36866T103 39 700 SH SOLE 700 0 0 GENCORP 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263900 SH SOLE 257900 0 0 GENWORTH FINL INC COM CL A 37247D106 4226 126400 SH SOLE 126100 0 0 GENZYME CORP COM 372917104 1546 23000 SH SOLE 21000 0 0 GEO GROUP INC COM 36159R103 20 600 SH SOLE 600 0 0 GEORGIA GULF CORP COM PAR $0.01 373200203 49 1900 SH SOLE 1900 0 0 GERMAN AMERN BANCORP COM 373865104 0 10 SH SOLE 10 0 0 GETTY IMAGES INC COM 374276103 255 3400 SH SOLE 3400 0 0 GETTY IMAGES INC SDCV 0.500% 6/0 374276AH6 33419 20500000 PRN SOLE 1 0 0 0 GEVITY HR INC COM 374393106 102 4200 SH SOLE 4200 0 0 GFI GROUP INC COM 361652209 2477 47700 SH SOLE 47700 0 0 GIANT INDS INC COM 374508109 536 7697 SH SOLE 7697 0 0 GLENAYRE TECHNOLOGIES INC COM 377899109 104 19795 SH SOLE 19795 0 0 GLIMCHER RLTY TR SH BEN INT 379302102 99 3466 SH SOLE 3466 0 0 GLOBAL IMAGING SYSTEMS COM 37934A100 4 100 SH SOLE 100 0 0 GLOBAL INDS LTD COM 379336100 919 63400 SH SOLE 63400 0 0 GLOBAL PMTS INC COM 37940X102 5121 96600 SH SOLE 75600 0 0 GLOBAL SIGNAL INC COM 37944Q103 590 12000 SH SOLE 12000 0 0 GOLD BANC CORP INC COM 379907108 8384 457661 SH SOLE 1 457661 0 0 GOLD KIST INC COM 380614107 5213 412425 SH SOLE 412425 0 0 GOLDCORP INC NEW COM 380956409 0 250 SH SOLE 1 250 0 0 GOLDEN TELECOM INC COM 38122G107 12 400 SH SOLE 400 0 0 GOLDEN WEST FINL CORP DEL COM 381317106 1066 15700 SH SOLE 4800 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 25726 163900 SH SOLE 61400 0 0 GOODRICH CORP COM 382388106 514 11800 SH SOLE 11700 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 10337 713790 SH SOLE 430790 0 0 GOOGLE INC CL A 38259P508 8112 20800 SH SOLE 20800 0 0 GRACE W R & CO DEL NEW COM 38388F108 1424 107100 SH SOLE 107100 0 0 GRAFTECH INTL LTD DBCV 1.625% 1/1 384313AB8 368 500000 PRN SOLE 1 0 0 0 GRAINGER W W INC COM 384802104 14323 190100 SH SOLE 190100 0 0 GRAMERCY CAP CORP COM 384871109 96 3878 SH SOLE 3878 0 0 GRANITE CONSTR INC COM 387328107 902 18550 SH SOLE 17750 0 0 GRANT PRIDECO INC COM 38821G101 43 1000 SH SOLE 1000 0 0 GRAY TELEVISION INC COM 389375106 1 100 SH SOLE 100 0 0 GREAT AMERN FINL RES INC COM 389915109 792 40115 SH SOLE 40115 0 0 GREAT ATLANTIC & PAC TEA INC COM 390064103 23656 677171 SH SOLE 677171 0 0 GREATER BAY BANCORP COM 391648102 2166 78113 SH SOLE 77413 0 0 GREENBRIER COS INC COM 393657101 944 23565 SH SOLE 23565 0 0 GREENHILL & CO INC COM 395259104 1936 29290 SH SOLE 29290 0 0 GREIF INC CL A 397624107 1397 20419 SH SOLE 20419 0 0 GREY GLOBAL GROUP INC SDCV 5.000%10/1 39787MAB4 3750 3000000 PRN SOLE 1 0 0 0 GREY WOLF INC COM 397888108 41 5500 SH SOLE 5500 0 0 GREY WOLF INC FRNT 4/0 397888AF5 27636 20000000 PRN SOLE 1 0 0 0 GREY WOLF INC NOTE 3.750% 5/0 397888AD0 19525 15550000 PRN SOLE 1 0 0 0 GRIFFON CORP NOTE 4.000% 7/1 398433AC6 26276 22500000 PRN SOLE 1 0 0 0 GROUP 1 AUTOMOTIVE INC COM 398905109 752 15800 SH SOLE 15800 0 0 GRUPO TELEVISA SA DE CV SP ADR REP ORD 40049J206 2325 116800 SH SOLE 116800 0 0 GTC BIOTHERAPEUTICS INC COM 36238T104 1 600 SH SOLE 600 0 0 GTECH HLDGS CORP COM 400518106 2493 73200 SH SOLE 73200 0 0 GTECH HLDGS CORP COM 400518106 19521 573300 SH SOLE 1 573300 0 0 GUESS INC COM 401617105 7323 187200 SH SOLE 187200 0 0 GUIDANT CORP COM 401698105 18297 234400 SH SOLE 1 234400 0 0 GUITAR CTR MGMT INC COM 402040109 24 500 SH SOLE 500 0 0 GUITAR CTR MGMT INC NOTE 4.000% 7/1 402040AC3 2099 1500000 PRN SOLE 1 0 0 0 GYMBOREE CORP COM 403777105 55 2100 SH SOLE 2100 0 0 HAEMONETICS CORP COM 405024100 14276 281200 SH SOLE 280200 0 0 HALLIBURTON CO COM 406216101 10785 147700 SH SOLE 147700 0 0 HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 47497 24000000 PRN SOLE 1 0 0 0 HANCOCK HLDG CO COM 410120109 770 16584 SH SOLE 16584 0 0 HANMI FINL CORP COM 410495105 6 328 SH SOLE 328 0 0 HANOVER COMPRESSOR CO COM 410768105 17 900 SH SOLE 900 0 0 HANOVER COMPRESSOR CO NOTE 4.750% 1/1 410768AE5 29567 21325000 PRN SOLE 1 0 0 0 HANOVER INS GROUP INC COM 410867105 19928 380204 SH SOLE 380204 0 0 HANSEN NAT CORP COM 411310105 12901 102329 SH SOLE 102329 0 0 HARLAND JOHN H CO COM 412693103 2895 73668 SH SOLE 73668 0 0 HARLEY DAVIDSON INC COM 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COM 449295104 57 2600 SH SOLE 2600 0 0 IDENTIX INC COM 451906101 159 20000 SH SOLE 1 20000 0 0 IDEXX LABS INC COM 45168D104 9 100 SH SOLE 100 0 0 IKON OFFICE SOLUTIONS INC COM 451713101 8138 571087 SH SOLE 571087 0 0 ILLUMINA INC COM 452327109 9 400 SH SOLE 400 0 0 IMAGE ENTMT INC COM NEW 452439201 607 164180 SH SOLE 1 164180 0 0 IMATION CORP COM 45245A107 21125 492300 SH SOLE 489600 0 0 IMMUCOR INC COM 452526106 372 12957 SH SOLE 12957 0 0 IMPAC MTG HLDGS INC COM 45254P102 822 85400 SH SOLE 85400 0 0 INCO LTD DBCV 1.000% 3/1 453258AT2 1821 1140000 PRN SOLE 1 0 0 0 INCO LTD NOTE 3/2 453258AM7 26520 20000000 PRN SOLE 1 0 0 0 INCO LTD SDCV 3.500% 3/1 453258AR6 85675 44300000 PRN SOLE 1 0 0 0 INDEPENDENCE CMNTY BK CORP COM 453414104 2 45 SH SOLE 45 0 0 INDYMAC BANCORP INC COM 456607100 3385 82732 SH SOLE 82732 0 0 INFINITY PPTY & CAS CORP COM 45665Q103 2285 54739 SH SOLE 54739 0 0 INFORMATICA CORP COM 45666Q102 2446 157200 SH SOLE 157200 0 0 INGERSOLL-RAND COMPANY LTD CL A G4776G101 4072 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SOLE 4200 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 11926 144600 SH SOLE 144600 0 0 INTERNATIONAL FLAVORS&FRAGRA COM 459506101 69 2000 SH SOLE 1200 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 271 7700 SH SOLE 6500 0 0 INTERNATIONAL GAME TECHNOLOG DBCV 1/2 459902AL6 13136 17500000 PRN SOLE 1 0 0 0 INTERNATIONAL RECTIFIER CORP COM 460254105 128 3100 SH SOLE 3100 0 0 INTERNET SEC SYS INC COM 46060X107 14 600 SH SOLE 600 0 0 INTERPUBLIC GROUP COS INC COM 460690100 246 25700 SH SOLE 13200 0 0 INTERPUBLIC GROUP COS INC NOTE 4.500% 3/1 460690AT7 4173 4000000 PRN SOLE 1 0 0 0 INTEVAC INC COM 461148108 764 26500 SH SOLE 26500 0 0 INTL PAPER CO COM 460146103 311 9000 SH SOLE 7100 0 0 INTRADO INC COM 46117A100 12290 473057 SH SOLE 1 473057 0 0 INTUIT COM 461202103 14107 265200 SH SOLE 250700 0 0 INTUITIVE SURGICAL INC COM NEW 46120E602 12 100 SH SOLE 100 0 0 INVESTMENT TECHNOLOGY GRP NE COM 46145F105 8021 161034 SH SOLE 161034 0 0 INVESTORS FINL SERVICES CORP COM 461915100 70 1500 SH SOLE 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THE BOX INC COM 466367109 13219 303909 SH SOLE 217809 0 0 JACOBS ENGR GROUP INC DEL COM 469814107 217 2500 SH SOLE 1600 0 0 JACUZZI BRANDS INC COM 469865109 1230 124955 SH SOLE 124955 0 0 JAKKS PAC INC COM 47012E106 1439 53817 SH SOLE 53817 0 0 JAKKS PAC INC NOTE 4.625% 6/1 47012EAB2 26163 17750000 PRN SOLE 1 0 0 0 JAMES MONROE BANCORP INC COM 470338104 911 39480 SH SOLE 1 39480 0 0 JARDEN CORP COM 471109108 13 400 SH SOLE 400 0 0 JDS UNIPHASE CORP NOTE 11/1 46612JAB7 6273 6000000 PRN SOLE 1 0 0 0 JEFFERSON PILOT CORP COM 475070108 816 13900 SH SOLE 13900 0 0 JEFFERSON PILOT CORP COM 475070108 5152 87800 SH SOLE 1 87800 0 0 JETBLUE AWYS CORP COM 477143101 199 18600 SH SOLE 9300 0 0 JLG INDS INC COM 466210101 12543 407374 SH SOLE 407374 0 0 JOHNSON & JOHNSON COM 478160104 25181 425200 SH SOLE 414400 0 0 JONES APPAREL GROUP INC COM 480074103 3092 87400 SH SOLE 47000 0 0 JONES LANG LASALLE INC COM 48020Q107 62 800 SH SOLE 800 0 0 JORGENSEN EARLE M CO COM 480829100 76 5000 SH SOLE 5000 0 0 JORGENSEN EARLE M CO COM 480829100 4125 272300 SH SOLE 1 272300 0 0 JOY GLOBAL INC COM 481165108 11464 191802 SH SOLE 189152 0 0 JP MORGAN CHASE & CO COM 46625H100 18869 453136 SH SOLE 453136 0 0 JUNIPER NETWORKS INC COM 48203R104 82 4300 SH SOLE 3700 0 0 JUNIPER NETWORKS INC NOTE 6/1 48203RAC8 18339 17000000 PRN SOLE 1 0 0 0 K V PHARMACEUTICAL CO NOTE 2.500% 5/1 482740AC1 4345 4000000 PRN SOLE 1 0 0 0 K-SWISS INC CL A 482686102 3 100 SH SOLE 100 0 0 KAMAN CORP COM 483548103 1971 78364 SH SOLE 78364 0 0 KANSAS CITY LIFE INS CO COM 484836101 31 600 SH SOLE 600 0 0 KAYDON CORP NOTE 4.000% 5/2 486587AB4 10359 7266000 PRN SOLE 1 0 0 0 KB HOME COM 48666K109 1890 29100 SH SOLE 28800 0 0 KCS ENERGY INC COM 482434206 1451 55766 SH SOLE 55766 0 0 KEANE INC SDCV 2.000% 6/1 486665AB8 15958 15900000 PRN SOLE 1 0 0 0 KELLOGG CO COM 487836108 1511 34300 SH SOLE 9000 0 0 KELLWOOD CO COM 488044108 104 3300 SH SOLE 3300 0 0 KELLY SVCS INC CL A 488152208 68 2500 SH SOLE 1200 0 0 KEMET CORP COM 488360108 18 1900 SH SOLE 1000 0 0 KENNAMETAL INC COM 489170100 6118 100076 SH SOLE 96176 0 0 KERR MCGEE CORP COM 492386107 7486 78400 SH SOLE 75600 0 0 KERYX BIOPHARMACEUTICALS INC COM 492515101 2 100 SH SOLE 100 0 0 KERZNER INTL LTD NOTE 2.375% 4/1 492520AB7 37026 27450000 PRN SOLE 1 0 0 0 KEYCORP NEW COM 493267108 4088 111100 SH SOLE 89200 0 0 KEYSPAN CORP COM 49337W100 7152 175000 SH SOLE 157700 0 0 KEYSPAN CORP COM 49337W100 16908 413700 SH SOLE 1 413700 0 0 KFX INC COM 48245L107 31 1700 SH SOLE 1700 0 0 KILROY RLTY CORP COM 49427F108 2816 36451 SH SOLE 36451 0 0 KIMBERLY CLARK CORP COM 494368103 2642 45700 SH SOLE 30300 0 0 KINDER MORGAN ENERGY PARTNER UT LTD PARTNER 494550106 67 1400 SH SOLE 1400 0 0 KINDER MORGAN INC KANS COM 49455P101 1412 15348 SH SOLE 1 15348 0 0 KINDER MORGAN INC KANS COM 49455P101 1150 12500 SH SOLE 1900 0 0 KINDRED HEALTHCARE INC COM 494580103 8702 345977 SH SOLE 345977 0 0 KINETIC CONCEPTS INC COM NEW 49460W208 62 1500 SH SOLE 1500 0 0 KING PHARMACEUTICALS INC COM 495582108 26 1500 SH SOLE 1500 0 0 KLA-TENCOR CORP COM 482480100 18845 389700 SH SOLE 63800 0 0 KNAPE & VOGT MFG CO COM 498782101 914 49350 SH SOLE 1 49350 0 0 KNIGHT CAPITAL GROUP INC CL A 499005106 1603 115000 SH SOLE 115000 0 0 KNIGHT RIDDER INC COM 499040103 19722 312000 SH SOLE 1 312000 0 0 KOMAG INC COM NEW 500453204 201 4200 SH SOLE 4200 0 0 KOMAG INC NOTE 2.000% 2/0 500453AE5 13575 7445000 PRN SOLE 1 0 0 0 KOPIN CORP COM 500600101 90 18000 SH SOLE 18000 0 0 KORN FERRY INTL COM NEW 500643200 3212 157500 SH SOLE 149900 0 0 KOS PHARMACEUTICALS INC COM 500648100 263 5500 SH SOLE 5500 0 0 KRAFT FOODS INC CL A 50075N104 21 700 SH SOLE 700 0 0 KROGER CO COM 501044101 5811 285400 SH SOLE 284900 0 0 KRONOS INC COM 501052104 67 1800 SH SOLE 1800 0 0 KULICKE & SOFFA INDS INC NOTE 1.000% 6/3 501242AP6 5841 6250000 PRN SOLE 1 0 0 0 KYPHON INC COM 501577100 33 900 SH SOLE 900 0 0 L S B BANCSHARES N C COM 502158108 4 200 SH SOLE 200 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 978 11400 SH SOLE 1700 0 0 LA BARGE INC COM 502470107 235 15787 SH SOLE 15787 0 0 LABOR READY INC COM NEW 505401208 37 1546 SH SOLE 1546 0 0 LABORATORY CORP AMER HLDGS COM NEW 50540R409 801 13700 SH SOLE 13700 0 0 LAIDLAW INTL INC COM 50730R102 16850 619547 SH SOLE 619547 0 0 LAM RESEARCH CORP COM 512807108 43191 1004400 SH SOLE 882600 0 0 LAMAR ADVERTISING CO CL A 512815101 21 400 SH SOLE 300 0 0 LAMAR ADVERTISING CO NOTE 2.875%12/3 512815AG6 6680 5750000 PRN SOLE 1 0 0 0 LANDAMERICA FINL GROUP INC COM 514936103 15569 229482 SH SOLE 229482 0 0 LANDAMERICA FINL GROUP INC DBCV 3.250% 5/1 514936AD5 39446 29000000 PRN SOLE 1 0 0 0 LANDRYS RESTAURANTS INC COM 51508L103 1059 30000 SH SOLE 30000 0 0 LANDSTAR SYS INC COM 515098101 57 1300 SH SOLE 1300 0 0 LAS VEGAS SANDS CORP COM 517834107 17 300 SH SOLE 300 0 0 LASALLE HOTEL PPTYS COM SH BEN INT 517942108 906 22084 SH SOLE 22084 0 0 LAUDER ESTEE COS INC CL A 518439104 164 4400 SH SOLE 4000 0 0 LCA-VISION INC COM PAR $.001 501803308 5 100 SH SOLE 100 0 0 LEAR CORP COM 521865105 76 4300 SH SOLE 500 0 0 LEAR CORP NOTE 2/2 521865AG0 463 1000000 PRN SOLE 1 0 0 0 LEE ENTERPRISES INC COM 523768109 290 8700 SH SOLE 3800 0 0 LEGG MASON INC COM 524901105 702 5600 SH SOLE 1500 0 0 LEGGETT & PLATT INC COM 524660107 27 1100 SH SOLE 100 0 0 LEHMAN BROS HLDGS INC COM 524908100 47593 329300 SH SOLE 320600 0 0 LENNAR CORP CL A 526057104 3490 57800 SH SOLE 57800 0 0 LENNAR CORP NOTE 4/0 526057AF1 857 1000000 PRN SOLE 1 0 0 0 LENNOX INTL INC COM 526107107 14675 491467 SH SOLE 490667 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 23442 16593000 PRN SOLE 1 0 0 0 LEVEL 3 COMMUNICATIONS INC COM 52729N100 842 162400 SH SOLE 162400 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 2.875% 7/1 52729NBA7 1345 1500000 PRN SOLE 1 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 5.250%12/1 52729NBF6 1373 1000000 PRN SOLE 1 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 10.000% 5/0 52729NBE9 4695 3000000 PRN SOLE 1 0 0 0 LEXINGTON CORP PPTYS TR COM 529043101 57 2788 SH SOLE 2788 0 0 LEXMARK INTL NEW CL A 529771107 6169 135900 SH SOLE 114400 0 0 LIBERTY GLOBAL INC COM SER A 530555101 767 37493 SH SOLE 22893 0 0 LIBERTY GLOBAL INC COM SER C 530555309 730 36950 SH SOLE 22350 0 0 LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 748 1000000 PRN SOLE 1 0 0 0 LIBERTY MEDIA CORP NEW COM SER A 530718105 37 4500 SH SOLE 4500 0 0 LIBERTY PPTY TR SH BEN INT 531172104 1306 27700 SH SOLE 27700 0 0 LIFECELL CORP COM 531927101 695 30836 SH SOLE 30836 0 0 LIFEPOINT HOSPITALS INC COM 53219L109 37 1200 SH SOLE 1200 0 0 LIGAND PHARMACEUTICALS INC NOTE 6.000%11/1 53220KAB4 29072 14000000 PRN SOLE 1 0 0 0 LILLY ELI & CO COM 532457108 1062 19200 SH SOLE 1300 0 0 LIMITED BRANDS INC COM 532716107 32 1300 SH SOLE 1000 0 0 LINCARE HLDGS INC COM 532791100 448 11500 SH SOLE 2000 0 0 LINCOLN NATL CORP IND COM 534187109 3953 72400 SH SOLE 49800 0 0 LINEAR TECHNOLOGY CORP COM 535678106 298 8500 SH SOLE 2900 0 0 LIONS GATE ENTMNT CORP NOTE 4.875%12/1 535919AC8 27119 14264000 PRN SOLE 1 0 0 0 LIVE NATION INC COM 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INC COM 502175102 333 14312 SH SOLE 14312 0 0 LUBRIZOL CORP COM 549271104 3985 93000 SH SOLE 85300 0 0 LUBYS INC COM 549282101 167 13394 SH SOLE 13394 0 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AG2 18659 17500000 PRN SOLE 1 0 0 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AH0 16723 15000000 PRN SOLE 1 0 0 0 LYON WILLIAM HOMES COM 552074106 688 7205 SH SOLE 7205 0 0 LYONDELL CHEMICAL CO COM 552078107 271 13600 SH SOLE 4500 0 0 M D C HLDGS INC COM 552676108 2643 41104 SH SOLE 41104 0 0 M-SYSTEMS FIN INC NOTE 1.000% 3/1 55375VAB8 4350 4000000 PRN SOLE 1 0 0 0 M/I HOMES INC COM 55305B101 362 7712 SH SOLE 7712 0 0 MACERICH CO COM 554382101 244 3300 SH SOLE 1700 0 0 MACROVISION CORP COM 555904101 11 500 SH SOLE 300 0 0 MADDEN STEVEN LTD COM 556269108 32 900 SH SOLE 900 0 0 MAF BANCORP INC COM 55261R108 767 17532 SH SOLE 17532 0 0 MAF BANCORP INC COM 55261R108 2878 65764 SH SOLE 1 65764 0 0 MAGELLAN HEALTH SVCS INC COM NEW 559079207 6089 150479 SH SOLE 150479 0 0 MAGUIRE PPTYS INC COM 559775101 44 1200 SH SOLE 1200 0 0 MAIN STR BKS INC NEW COM 56034R102 8862 342428 SH SOLE 1 342428 0 0 MAIN STR RESTAURANT GROUP IN COM NEW 560345308 865 169884 SH SOLE 1 169884 0 0 MAINSOURCE FINANCIAL GP INC COM 56062Y102 530 28056 SH SOLE 1 28056 0 0 MANOR CARE INC NEW COM 564055101 3246 73200 SH SOLE 73200 0 0 MANOR CARE INC NEW NOTE 2.125% 4/1 564055AK7 27408 18928000 PRN SOLE 1 0 0 0 MANPOWER INC COM 56418H100 1246 21800 SH SOLE 21800 0 0 MANTECH INTL CORP CL A 564563104 348 10472 SH SOLE 10472 0 0 MANUGISTICS GROUP INC COM 565011103 5 2290 SH SOLE 2290 0 0 MARATHON OIL CORP COM 565849106 14169 186025 SH SOLE 186025 0 0 MARINER ENERGY INC COM 56845T305 213 10361 SH SOLE 10361 0 0 MARRIOTT INTL INC NEW CL A 571903202 528 7700 SH SOLE 3600 0 0 MARSH & MCLENNAN COS INC COM 571748102 672 22900 SH SOLE 6400 0 0 MARSHALL & ILSLEY CORP COM 571834100 1111 25500 SH SOLE 6100 0 0 MARTEK BIOSCIENCES CORP COM 572901106 46 1400 SH SOLE 1400 0 0 MARTIN MARIETTA MATLS INC COM 573284106 867 8100 SH SOLE 8100 0 0 MARVEL ENTERTAINMENT INC COM 57383T103 4315 214500 SH SOLE 212500 0 0 MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 525 9700 SH SOLE 2200 0 0 MASSEY ENERGY CORP COM 576206106 14 400 SH SOLE 400 0 0 MATRIXONE INC COM 57685P304 12195 1703200 SH SOLE 1 1703200 0 0 MATTEL INC COM 577081102 10663 588200 SH SOLE 214300 0 0 MATTSON TECHNOLOGY INC COM 577223100 144 11971 SH SOLE 11971 0 0 MAVERICK TUBE CORP NOTE 4.000% 6/1 577914AB0 58062 30745000 PRN SOLE 1 0 0 0 MAVERICK TUBE CORP COM 577914104 16 300 SH SOLE 300 0 0 MAXIM INTEGRATED PRODS INC COM 57772K101 249 6700 SH SOLE 2700 0 0 MAXIMUS INC COM 577933104 234 6500 SH SOLE 6500 0 0 MAXTOR CORP COM NEW 577729205 37 3900 SH SOLE 3900 0 0 MAXTOR CORP COM NEW 577729205 22455 2348800 SH SOLE 1 2348800 0 0 MAXTOR CORP NOTE 6.800% 4/3 577729AC0 1389 1214000 PRN SOLE 1 0 0 0 MAYTAG CORP COM 578592107 17 800 SH SOLE 800 0 0 MAYTAG CORP COM 578592107 2334 109400 SH SOLE 1 109400 0 0 MB FINANCIAL INC NEW COM 55264U108 991 27992 SH SOLE 27992 0 0 MBIA INC COM 55262C100 12 200 SH SOLE 200 0 0 MCAFEE INC COM 579064106 12711 522400 SH SOLE 148000 0 0 MCCLATCHY CO CL A 579489105 5186 106161 SH SOLE 1 106161 0 0 MCDATA CORP NOTE 2.250% 2/1 580031AD4 2624 3000000 PRN SOLE 1 0 0 0 MCDONALDS CORP COM 580135101 632 18400 SH SOLE 7800 0 0 MCKESSON CORP COM 58155Q103 34136 654800 SH SOLE 648000 0 0 MCMORAN EXPLORATION CO NOTE 6.000% 7/0 582411AB0 1348 1000000 PRN SOLE 1 0 0 0 MDU RES GROUP INC COM 552690109 421 12600 SH SOLE 6700 0 0 MEADWESTVACO CORP COM 583334107 606 22200 SH SOLE 12400 0 0 MEDAREX INC COM 583916101 22 1700 SH SOLE 1700 0 0 MEDAREX INC NOTE 2.250% 5/1 583916AG6 2785 2500000 PRN SOLE 1 0 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 1048 18322 SH SOLE 1000 0 0 MEDIA GEN INC CL A 584404107 242 5200 SH SOLE 2700 0 0 MEDICINES CO COM 584688105 14 700 SH SOLE 700 0 0 MEDICIS PHARMACEUTICAL CORP CL A NEW 584690309 2824 86613 SH SOLE 1 86613 0 0 MEDICIS PHARMACEUTICAL CORP NOTE 1.500% 6/0 584690AB7 2216 2230000 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5220 143800 SH SOLE 3300 0 0 MICRON TECHNOLOGY INC COM 595112103 1770 120200 SH SOLE 109000 0 0 MICROS SYS INC COM 594901100 2170 47100 SH SOLE 47100 0 0 MICROSEMI CORP COM 595137100 31 1066 SH SOLE 1066 0 0 MICROSOFT CORP COM 594918104 18385 675700 SH SOLE 649900 0 0 MICROSTRATEGY INC CL A NEW 594972408 948 8994 SH SOLE 8994 0 0 MID-AMER APT CMNTYS INC COM 59522J103 648 11847 SH SOLE 11847 0 0 MID-STATE BANCSHARES COM 595440108 169 5734 SH SOLE 5734 0 0 MILACRON INC COM 598709103 208 129145 SH SOLE 129145 0 0 MILLENNIUM CHEMICALS INC DBCV 4.000%11/1 599903AB7 25545 16000000 PRN SOLE 1 0 0 0 MILLENNIUM PHARMACEUTICALS I COM 599902103 533 52800 SH SOLE 43900 0 0 MILLER HERMAN INC COM 600544100 3 100 SH SOLE 100 0 0 MILLIPORE CORP COM 601073109 13924 190600 SH SOLE 190600 0 0 MINDSPEED TECHNOLOGIES INC NOTE 3.750%11/1 602682AB2 34390 19000000 PRN SOLE 1 0 0 0 MINE SAFETY APPLIANCES CO COM 602720104 356 8497 SH SOLE 8497 0 0 MOHAWK INDS INC COM 608190104 977 12100 SH SOLE 6200 0 0 MOLEX 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62541B101 1181 20205 SH SOLE 20205 0 0 MYLAN LABS INC COM 628530107 37 1600 SH SOLE 1600 0 0 MYOGEN INC COM 62856E104 383 10600 SH SOLE 10600 0 0 NABI BIOPHARMACEUTICALS NOTE 2.875% 4/1 629519AB5 2512 3000000 PRN SOLE 1 0 0 0 NACCO INDS INC CL A 629579103 6586 42779 SH SOLE 42779 0 0 NASDAQ STOCK MARKET INC COM 631103108 2012 50290 SH SOLE 50290 0 0 NASH FINCH CO FRNT 1.631% 3/1 631158AD4 4642 11500000 PRN SOLE 1 0 0 0 NATIONAL CITY CORP COM 635405103 1 23 SH SOLE 1 23 0 0 NATIONAL CITY CORP COM 635405103 5770 165300 SH SOLE 65800 0 0 NATIONAL FINL PARTNERS CORP COM 63607P208 367 6500 SH SOLE 6500 0 0 NATIONAL FUEL GAS CO N J COM 636180101 1806 55200 SH SOLE 55200 0 0 NATIONAL HEALTH INVS INC COM 63633D104 399 15730 SH SOLE 15730 0 0 NATIONAL HEALTH REALTY INC COM 635905102 4 200 SH SOLE 200 0 0 NATIONAL HEALTHCARE CORP COM 635906100 8 209 SH SOLE 209 0 0 NATIONAL INSTRS CORP COM 636518102 124 3800 SH SOLE 1200 0 0 NATIONAL OILWELL VARCO INC COM 637071101 45 700 SH SOLE 500 0 0 NATIONAL R V HLDGS INC COM 637277104 756 118100 SH SOLE 1 118100 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 23378 839800 SH SOLE 323100 0 0 NATIONAL WESTN LIFE INS CO CL A 638522102 168 721 SH SOLE 721 0 0 NATIONWIDE FINL SVCS INC CL A 638612101 215 5000 SH SOLE 5000 0 0 NATIONWIDE HEALTH PPTYS INC COM 638620104 1186 55182 SH SOLE 55182 0 0 NATURES SUNSHINE PRODUCTS IN COM 639027101 103 8289 SH SOLE 8289 0 0 NAVISTAR INTL CORP NEW COM 63934E108 1636 59300 SH SOLE 51200 0 0 NAVISTAR INTL CORP NEW NOTE 2.500%12/1 63934EAG3 3020 3000000 PRN SOLE 1 0 0 0 NBC CAP CORP COM 628729105 2 100 SH SOLE 100 0 0 NBT BANCORP INC COM 628778102 12 500 SH SOLE 500 0 0 NCI BUILDING SYS INC COM 628852105 3058 51147 SH SOLE 51147 0 0 NCI BUILDING SYS INC NOTE 2.125%11/1 628852AG0 12478 7950000 PRN SOLE 1 0 0 0 NCO GROUP INC COM 628858102 133 5600 SH SOLE 5600 0 0 NCR CORP NEW COM 62886E108 20954 501400 SH SOLE 420400 0 0 NEKTAR THERAPEUTICS COM 640268108 37 1800 SH SOLE 1800 0 0 NELNET INC CL A 64031N108 621 14900 SH SOLE 14900 0 0 NELSON THOMAS INC COM 640376109 14996 512700 SH SOLE 1 512700 0 0 NET 1 UEPS TECHNOLOGIES INC COM NEW 64107N206 204 7200 SH SOLE 7200 0 0 NETFLIX COM INC COM 64110L106 12 400 SH SOLE 400 0 0 NETGEAR INC COM 64111Q104 1781 93700 SH SOLE 93700 0 0 NETLOGIC MICROSYSTEMS INC COM 64118B100 1940 47085 SH SOLE 47085 0 0 NEUROCRINE BIOSCIENCES INC COM 64125C109 129 2000 SH SOLE 2000 0 0 NEUROMETRIX INC COM 641255104 3190 81900 SH SOLE 81900 0 0 NEUSTAR INC CL A 64126X201 43 1400 SH SOLE 1400 0 0 NEW CENTURY FINANCIAL CORP M COM 6435EV108 292 6359 SH SOLE 6359 0 0 NEW PLAN EXCEL RLTY TR INC COM 648053106 257 9900 SH SOLE 5100 0 0 NEW PLAN EXCEL RLTY TR INC NOTE 3.750% 6/0 648053AB2 1600 1500000 PRN SOLE 1 0 0 0 NEW RIV PHARMACEUTICALS INC COM 648468205 283 8500 SH SOLE 8500 0 0 NEW YORK TIMES CO CL A 650111107 909 35900 SH SOLE 4500 0 0 NEWALLIANCE BANCSHARES INC COM 650203102 1013 70200 SH SOLE 1 70200 0 0 NEWCASTLE INVT CORP COM 65105M108 881 36800 SH 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COM 707569109 1717 40700 SH SOLE 40700 0 0 PENNEY J C INC COM 708160106 43495 720000 SH SOLE 714700 0 0 PENNSYLVANIA RL ESTATE INVT SH BEN INT 709102107 276 6276 SH SOLE 6276 0 0 PENTAIR INC COM 709631105 228 5600 SH SOLE 600 0 0 PEOPLES BANCORP INC COM 709789101 12 405 SH SOLE 405 0 0 PEOPLES ENERGY CORP COM 711030106 504 14115 SH SOLE 12715 0 0 PEP BOYS MANNY MOE & JACK COM 713278109 2493 165000 SH SOLE 165000 0 0 PEP BOYS MANNY MOE & JACK NOTE 4.250% 6/0 713278AP4 982 1000000 PRN SOLE 1 0 0 0 PEPCO HOLDINGS INC COM 713291102 150 6600 SH SOLE 3600 0 0 PEPSI BOTTLING GROUP INC COM 713409100 11789 387899 SH SOLE 215100 0 0 PEPSIAMERICAS INC COM 71343P200 149 6100 SH SOLE 3600 0 0 PEPSICO INC COM 713448108 5081 87900 SH SOLE 79300 0 0 PER-SE TECHNOLOGIES INC COM NEW 713569309 3550 133161 SH SOLE 1 133161 0 0 PER-SE TECHNOLOGIES INC SDCV 3.250% 6/3 713569AB7 15751 9900000 PRN SOLE 1 0 0 0 PEREGRINE PHARMACEUTICALS IN COM 713661106 1 700 SH SOLE 700 0 0 PERFORMANCE FOOD GROUP CO COM 713755106 1088 34900 SH SOLE 34900 0 0 PERINI CORP COM 713839108 670 22041 SH SOLE 22041 0 0 PERKINELMER INC COM 714046109 8599 366400 SH SOLE 360600 0 0 PERMIAN BASIN RTY TR UNIT BEN INT 714236106 492 30400 SH SOLE 30400 0 0 PEROT SYS CORP CL A 714265105 95 6100 SH SOLE 6100 0 0 PETROCHINA CO LTD SPONSORED ADR 71646E100 6717 64000 SH SOLE 64000 0 0 PETROLEUM DEV CORP COM 716578109 354 7800 SH SOLE 7800 0 0 PETSMART INC COM 716768106 20 700 SH SOLE 700 0 0 PFF BANCORP INC COM 69331W104 439 13016 SH SOLE 13016 0 0 PFIZER INC COM 717081103 11183 448800 SH SOLE 438400 0 0 PFSWEB INC COM 717098107 0 120 SH SOLE 120 0 0 PG&E CORP COM 69331C108 5442 139900 SH SOLE 139900 0 0 PHARMACEUTICAL PROD DEV INC COM 717124101 2883 83300 SH SOLE 83300 0 0 PHELPS DODGE CORP COM 717265102 9535 118400 SH SOLE 118400 0 0 PHH CORP COM NEW 693320202 8357 312940 SH SOLE 312940 0 0 PHILLIPS VAN HEUSEN CORP COM 718592108 171 4477 SH SOLE 4477 0 0 PHOENIX COS INC NEW COM 71902E109 1992 122200 SH SOLE 122200 0 0 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PLUM CREEK TIMBER CO INC COM 729251108 321 8700 SH SOLE 4500 0 0 PMA CAP CORP CL A 693419202 5 500 SH SOLE 500 0 0 PMC-SIERRA INC COM 69344F106 18 1500 SH SOLE 1500 0 0 PMI GROUP INC DBCV 2.500% 7/1 69344MAE1 1069 1000000 PRN SOLE 1 0 0 0 PMI GROUP INC COM 69344M101 1056 23000 SH SOLE 23000 0 0 PNC FINL SVCS GROUP INC COM 693475105 3203 47600 SH SOLE 33600 0 0 POGO PRODUCING CO COM 730448107 156 3100 SH SOLE 900 0 0 POLARIS INDS INC COM 731068102 5707 104600 SH SOLE 91800 0 0 POLO RALPH LAUREN CORP CL A 731572103 297 4900 SH SOLE 4900 0 0 POLYCOM INC COM 73172K104 48 2200 SH SOLE 1800 0 0 POST PPTYS INC COM 737464107 929 20878 SH SOLE 20878 0 0 POTLATCH CORP NEW COM 737630103 268 6267 SH SOLE 6267 0 0 POWERWAVE TECHNOLOGIES INC COM 739363109 3480 258000 SH SOLE 229400 0 0 POWERWAVE TECHNOLOGIES INC NOTE 1.875%11/1 739363AD1 17032 12722000 PRN SOLE 1 0 0 0 POZEN INC COM 73941U102 30 1800 SH SOLE 1800 0 0 PPG INDS INC COM 693506107 4560 72000 SH SOLE 71500 0 0 PPL CORP COM 69351T106 444 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41100 0 0 QAD INC COM 74727D108 1 200 SH SOLE 200 0 0 QLOGIC CORP COM 747277101 39 2000 SH SOLE 500 0 0 QLT INC COM 746927102 0 85 SH SOLE 1 85 0 0 QUALCOMM INC COM 747525103 2865 56600 SH SOLE 56600 0 0 QUALITY SYS INC COM 747582104 192 5800 SH SOLE 5800 0 0 QUANEX CORP COM 747620102 18109 271780 SH SOLE 270780 0 0 QUANEX CORP DBCV 2.500% 5/1 747620AE2 48496 26975000 PRN SOLE 1 0 0 0 QUANTA SVCS INC COM 74762E102 6671 416500 SH SOLE 416500 0 0 QUANTA SVCS INC SDCV 4.500%10/0 74762EAC6 23262 15000000 PRN SOLE 1 0 0 0 QUANTUM CORP NOTE 4.375% 8/0 747906AE5 19311 18384000 PRN SOLE 1 0 0 0 QUEST DIAGNOSTICS INC COM 74834L100 318 6200 SH SOLE 5600 0 0 QUESTAR CORP COM 748356102 462 6600 SH SOLE 1900 0 0 QUICKSILVER RESOURCES INC DBCV 1.875%11/0 74837RAB0 13820 9500000 PRN SOLE 1 0 0 0 QUIKSILVER INC COM 74838C106 8 600 SH SOLE 600 0 0 QWEST COMMUNICATIONS INTL IN COM 749121109 6449 948300 SH SOLE 938300 0 0 QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 31300 23500000 PRN SOLE 1 0 0 0 R & G FINANCIAL CORP CL B 749136107 1726 136300 SH SOLE 136300 0 0 R H DONNELLEY CORP COM NEW 74955W307 6405 109997 SH SOLE 1 109997 0 0 RADIAN GROUP INC COM 750236101 1560 25900 SH SOLE 25900 0 0 RADIATION THERAPY SVCS INC COM 750323206 19 762 SH SOLE 762 0 0 RADIOSHACK CORP COM 750438103 33 1700 SH SOLE 1000 0 0 RAINDANCE COMM COM 75086X106 3844 1423600 SH SOLE 1 1423600 0 0 RAIT INVT TR COM 749227104 657 23226 SH SOLE 23226 0 0 RANGE RES CORP COM 75281A109 1 50 SH SOLE 50 0 0 RAYMOND JAMES FINANCIAL INC COM 754730109 213 7200 SH SOLE 3950 0 0 RAYONIER INC COM 754907103 1247 27350 SH SOLE 27350 0 0 RAYTHEON CO COM NEW 755111507 7626 166400 SH SOLE 166400 0 0 RC2 CORP COM 749388104 430 10800 SH SOLE 10800 0 0 READERS DIGEST ASSN INC COM 755267101 313 21200 SH SOLE 11000 0 0 REALNETWORKS INC COM 75605L104 1270 154000 SH SOLE 154000 0 0 REALTY INCOME CORP COM 756109104 380 15697 SH SOLE 15697 0 0 RECKSON ASSOCS RLTY CORP COM 75621K106 9 200 SH SOLE 200 0 0 RED HAT INC COM 756577102 1654 59100 SH SOLE 56700 0 0 REDBACK NETWORKS INC COM NEW 757209507 11 500 SH SOLE 500 0 0 REDWOOD TR INC COM 758075402 863 19941 SH SOLE 19941 0 0 REGAL ENTMT GROUP CL A 758766109 105 5600 SH SOLE 5600 0 0 REGAL ENTMT GROUP NOTE 3.750% 5/1 758766AB5 6031 4892000 PRN SOLE 1 0 0 0 REGALITO COPPER CORP COM 75885H104 1203 203900 SH SOLE 1 203900 0 0 REGENCY CTRS CORP COM 758849103 1559 23200 SH SOLE 22300 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 271 7700 SH SOLE 7700 0 0 REGIS CORP MINN COM 758932107 628 18200 SH SOLE 9200 0 0 RELIANCE STEEL & ALUMINUM CO COM 759509102 9157 97500 SH SOLE 97500 0 0 RELIANT ENERGY INC COM 75952B105 26 2500 SH SOLE 2500 0 0 RELIANT ENERGY INC NOTE 5.000% 8/1 75952BAD7 44299 34900000 PRN SOLE 1 0 0 0 REMINGTON OIL & GAS CORP COM 759594302 78 1803 SH SOLE 1803 0 0 REMINGTON OIL & GAS CORP COM 759594302 21443 496141 SH SOLE 1 496141 0 0 RENT A CTR INC NEW COM 76009N100 5718 223750 SH SOLE 223550 0 0 REPUBLIC BANCORP INC COM 760282103 254 21137 SH SOLE 21137 0 0 REPUBLIC BANCORP KY CL A 760281204 7 341 SH SOLE 341 0 0 REPUBLIC SVCS INC COM 760759100 14368 338000 SH SOLE 318800 0 0 RES-CARE INC COM 760943100 17 891 SH SOLE 891 0 0 RESMED INC COM 761152107 48 1100 SH SOLE 1100 0 0 RESMED INC COM 761152107 1 19 SH SOLE 1 16 0 0 RESPIRONICS INC COM 761230101 4518 116109 SH SOLE 116109 0 0 REWARDS NETWORK INC COM 761557107 1 100 SH SOLE 1 100 0 0 REX STORES CORP COM 761624105 18 1200 SH SOLE 1200 0 0 REYNOLDS & REYNOLDS CO CL A 761695105 2767 97400 SH SOLE 97400 0 0 REYNOLDS AMERICAN INC COM 761713106 7238 68600 SH SOLE 59400 0 0 RF MICRODEVICES INC COM 749941100 4 500 SH SOLE 500 0 0 RF MICRODEVICES INC NOTE 1.500% 7/0 749941AE0 4927 4000000 PRN SOLE 1 0 0 0 RITE AID CORP NOTE 4.750%12/0 767754BA1 3957 4000000 PRN SOLE 1 0 0 0 ROANOKE ELEC STL CORP COM 769841107 7768 240500 SH SOLE 1 240500 0 0 ROBERT HALF INTL INC COM 770323103 197 5100 SH SOLE 1400 0 0 ROCKWELL AUTOMATION INC COM 773903109 906 12600 SH SOLE 12300 0 0 ROCKWELL COLLINS INC COM 774341101 823 14600 SH SOLE 14600 0 0 ROFIN SINAR TECHNOLOGIES INC COM 775043102 2987 55160 SH SOLE 55160 0 0 ROHM & HAAS CO COM 775371107 4031 82500 SH SOLE 72700 0 0 ROLLINS INC COM 775711104 32 1600 SH SOLE 900 0 0 ROPER INDS INC NEW COM 776696106 5 100 SH SOLE 100 0 0 ROSS STORES INC COM 778296103 58 2000 SH SOLE 2000 0 0 ROYAL GOLD INC COM 780287108 328 9077 SH SOLE 9077 0 0 ROYAL GROUP TECHNOLOGIES LTD COM 779915107 1931 208310 SH SOLE 1 208310 0 0 RPC INC COM 749660106 731 32006 SH SOLE 32006 0 0 RPM INTL INC COM 749685103 795 44300 SH SOLE 33200 0 0 RSA SEC INC COM 749719100 27 1500 SH SOLE 1500 0 0 RUBY TUESDAY INC COM 781182100 32 1000 SH SOLE 1000 0 0 RUDDICK CORP COM 781258108 131 5400 SH SOLE 2800 0 0 RUDOLPH TECHNOLOGIES INC COM 781270103 5037 295444 SH SOLE 1 295444 0 0 RYANS RESTAURANT GROUP INC COM 783520109 269 18600 SH SOLE 18600 0 0 RYDER SYS INC COM 783549108 3891 86876 SH SOLE 84176 0 0 RYERSON INC COM 78375P107 415 15500 SH SOLE 15500 0 0 RYERSON INC NOTE 3.500%11/0 78375PAD9 12528 9000000 PRN SOLE 1 0 0 0 RYLAND GROUP INC COM 783764103 7448 107300 SH SOLE 107300 0 0 SABRE HLDGS CORP CL A 785905100 7556 321100 SH SOLE 232000 0 0 SAFECO CORP COM 786429100 9223 183679 SH SOLE 110200 0 0 SAFEGUARD SCIENTIFICS INC COM 786449108 40 16316 SH SOLE 16316 0 0 SAFETY INS GROUP INC COM 78648T100 1769 38744 SH SOLE 38744 0 0 SAFEWAY INC COM NEW 786514208 3131 124600 SH SOLE 124600 0 0 SAKS INC COM 79377W108 6596 341800 SH SOLE 337700 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 19724 17683000 PRN SOLE 1 0 0 0 SALESFORCE COM INC COM 79466L302 7532 207300 SH SOLE 207300 0 0 SAN JUAN BASIN RTY TR UNIT BEN INT 798241105 1941 47400 SH SOLE 47400 0 0 SANDERSON FARMS INC COM 800013104 137 6100 SH SOLE 6100 0 0 SANDISK CORP COM 80004C101 5545 96400 SH SOLE 95900 0 0 SANMINA SCI CORP COM 800907107 2634 642400 SH SOLE 642400 0 0 SANTANDER BANCORP COM 802809103 208 8155 SH SOLE 8155 0 0 SAUER-DANFOSS INC COM 804137107 4 175 SH SOLE 175 0 0 SAUL CTRS INC COM 804395101 98 2239 SH SOLE 2239 0 0 SAVIENT PHARMACEUTICALS INC COM 80517Q100 209 39242 SH SOLE 39242 0 0 SAXON CAP INC NEW COM 80556T106 472 45200 SH SOLE 45200 0 0 SBA COMMUNICATIONS CORP COM 78388J106 140 6000 SH SOLE 6000 0 0 SBS TECHNOLOGIES INC COM 78387P103 980 60500 SH SOLE 1 60500 0 0 SCANA CORP NEW COM 80589M102 1864 47500 SH SOLE 47500 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 3898 3250000 PRN SOLE 1 0 0 0 SCHEIN HENRY INC COM 806407102 17249 360400 SH SOLE 343800 0 0 SCHERING PLOUGH CORP COM 806605101 15 800 SH SOLE 800 0 0 SCHLUMBERGER LTD COM 806857108 6038 47700 SH SOLE 47700 0 0 SCHOLASTIC CORP COM 807066105 388 14500 SH SOLE 7400 0 0 SCHOOL SPECIALTY INC NOTE 3.750% 8/0 807863AE5 21210 21000000 PRN SOLE 1 0 0 0 SCHWAB CHARLES CORP NEW COM 808513105 31 1800 SH SOLE 1800 0 0 SCOTTISH ANNUITY & LIFE HLDG NOTE 4.500%12/0 81013RAC9 3543 3000000 PRN SOLE 1 0 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 448 9800 SH SOLE 2400 0 0 SCP POOL CORP COM 784028102 6 125 SH SOLE 125 0 0 SCRIPPS E W CO OHIO CL A 811054204 1162 26000 SH SOLE 4000 0 0 SCS TRANSN INC COM 81111T102 450 15461 SH SOLE 15461 0 0 SEABOARD CORP COM 811543107 10335 6485 SH SOLE 6485 0 0 SEACOAST BKG CORP FLA COM 811707306 125 4300 SH SOLE 4300 0 0 SEACOR HOLDINGS INC DBCV 2.875%12/1 811904AH4 3660 3000000 PRN SOLE 1 0 0 0 SEAGATE TECHNOLOGY SHS G7945J104 4142 157300 SH SOLE 157300 0 0 SEALED AIR CORP NEW COM 81211K100 168 2900 SH SOLE 700 0 0 SEARS HLDGS CORP COM 812350106 2623 19900 SH SOLE 19900 0 0 SECURITY CAP CORP DEL CL A NEW 814131405 51 2900 SH SOLE 1 2900 0 0 SEGUE SOFTWARE INC COM 815807102 2609 302278 SH SOLE 1 302278 0 0 SEI INVESTMENTS CO COM 784117103 450 11100 SH SOLE 1200 0 0 SELECT COMFORT CORP COM 81616X103 40 1000 SH SOLE 1000 0 0 SELECTICA INC COM 816288104 1790 608823 SH SOLE 1 608823 0 0 SELECTIVE INS GROUP INC COM 816300107 1595 30100 SH SOLE 30100 0 0 SEMCO ENERGY INC COM 78412D109 6 1000 SH SOLE 1000 0 0 SEMPRA ENERGY COM 816851109 2694 58000 SH SOLE 58000 0 0 SEMTECH CORP COM 816850101 213 11900 SH SOLE 4200 0 0 SENIOR HSG PPTYS TR SH BEN INT 81721M109 800 44236 SH SOLE 44236 0 0 SENOMYX INC COM 81724Q107 172 10454 SH SOLE 10454 0 0 SENSIENT TECHNOLOGIES CORP COM 81725T100 148 8200 SH SOLE 4000 0 0 SEPRACOR INC NOTE 12/1 817315AU8 6137 3700000 PRN SOLE 1 0 0 0 SEPRACOR INC COM 817315104 508 10400 SH SOLE 3100 0 0 SEPRACOR INC NOTE 12/1 817315AT1 26867 17241000 PRN SOLE 1 0 0 0 SEQUA CORPORATION CL A 817320104 222 2269 SH SOLE 2269 0 0 SEROLOGICALS CORP COM 817523103 104 4243 SH SOLE 4243 0 0 SEROLOGICALS CORP SDCV 4.750% 8/1 817523AB9 41836 24200000 PRN SOLE 1 0 0 0 SERVICE CORP INTL COM 817565104 2555 327600 SH SOLE 327600 0 0 SHANDA INTERACTIVE ENTMT LTD NOTE 10/1 81941QAB0 10582 12000000 PRN SOLE 1 0 0 0 SHAW GROUP INC COM 820280105 12383 407300 SH SOLE 406800 0 0 SHERWIN WILLIAMS CO COM 824348106 13912 281400 SH SOLE 281400 0 0 SHIRE PLC SPONSORED ADR 82481R106 911 19600 SH SOLE 19600 0 0 SHOE CARNIVAL INC COM 824889109 5 200 SH SOLE 200 0 0 SHUFFLE MASTER INC NOTE 1.250% 4/1 825549AB4 33531 25000000 PRN SOLE 1 0 0 0 SHURGARD STORAGE CTRS INC COM 82567D104 486 7300 SH SOLE 7300 0 0 SHURGARD STORAGE CTRS INC COM 82567D104 8043 120716 SH SOLE 1 120716 0 0 SIERRA HEALTH SVCS INC COM 826322109 33080 812768 SH SOLE 812768 0 0 SIERRA HEALTH SVCS INC DBCV 2.250% 3/1 826322AB5 64528 14470000 PRN SOLE 1 0 0 0 SIERRA PAC RES NEW COM 826428104 550 39800 SH SOLE 39800 0 0 SIGMA ALDRICH CORP COM 826552101 158 2400 SH SOLE 1200 0 0 SILGAN HOLDINGS INC COM 827048109 1734 43200 SH SOLE 43200 0 0 SILICON IMAGE INC COM 82705T102 83 8062 SH SOLE 8062 0 0 SILICON LABORATORIES INC COM 826919102 22 400 SH SOLE 400 0 0 SILICON VY BANCSHARES NOTE 6/1 827064AC0 6710 4250000 PRN SOLE 1 0 0 0 SIMON PPTY GROUP INC NEW PFD CONV I 6% 828806802 4161 60000 SH SOLE 1 60000 0 0 SIMON PPTY GROUP INC NEW COM 828806109 488 5800 SH SOLE 3100 0 0 SIMPLETECH INC COM 828823104 105 28212 SH SOLE 28212 0 0 SINA CORP NOTE 7/1 82922RAB9 5518 4500000 PRN SOLE 1 0 0 0 SIRF TECHNOLOGY HLDGS INC COM 82967H101 11 300 SH SOLE 300 0 0 SIRIUS SATELLITE RADIO INC NOTE 3.500% 6/0 82966UAA1 101767 27550000 PRN SOLE 1 0 0 0 SIRIUS SATELLITE RADIO INC COM 82966U103 26 5200 SH SOLE 2100 0 0 SIRIUS SATELLITE RADIO INC NOTE 2.500% 2/1 82966UAC7 8410 6500000 PRN SOLE 1 0 0 0 SITEL CORP COM 82980K107 7 1600 SH SOLE 1600 0 0 SIX FLAGS INC COM 83001P109 103 10200 SH SOLE 10200 0 0 SKECHERS U S A INC CL A 830566105 217 8732 SH SOLE 8732 0 0 SKY FINL GROUP INC COM 83080P103 6 226 SH SOLE 226 0 0 SKYWEST INC COM 830879102 2407 82200 SH SOLE 82200 0 0 SL GREEN RLTY CORP COM 78440X101 1502 14800 SH SOLE 14800 0 0 SLM CORP COM 78442P106 815 15700 SH SOLE 5600 0 0 SMITH A O COM 831865209 1785 33800 SH SOLE 33800 0 0 SMITH INTL INC COM 832110100 1286 33000 SH SOLE 2700 0 0 SMITHFIELD FOODS INC COM 832248108 4890 166700 SH SOLE 166700 0 0 SMURFIT-STONE CONTAINER CORP COM 832727101 34 2500 SH SOLE 2500 0 0 SNAP ON INC COM 833034101 6542 171600 SH SOLE 163600 0 0 SNB BANCSHARES INC TEX COM 78460M209 7653 417300 SH SOLE 1 417300 0 0 SOHU COM INC COM 83408W103 4 150 SH SOLE 150 0 0 SOLECTRON CORP COM 834182107 981 245300 SH SOLE 244900 0 0 SOLECTRON CORP NOTE 0.500% 2/1 834182AT4 776 1000000 PRN SOLE 1 0 0 0 SONIC AUTOMOTIVE INC CL A 83545G102 8825 317952 SH SOLE 317952 0 0 SONOCO PRODS CO COM 835495102 30 900 SH SOLE 900 0 0 SONUS NETWORKS INC COM 835916107 9 1700 SH SOLE 1700 0 0 SOUND FED BANCORP INC COM 83607V104 115 5600 SH SOLE 5600 0 0 SOUND FED BANCORP INC COM 83607V104 5364 260507 SH SOLE 1 260507 0 0 SOURCECORP COM 836167106 5526 229206 SH SOLE 1 229206 0 0 SOUTHERN CO COM 842587107 400 12200 SH SOLE 9900 0 0 SOUTHERN COPPER CORP COM 84265V105 3184 37700 SH SOLE 37700 0 0 SOUTHSIDE BANCSHARES INC COM 84470P109 0 5 SH SOLE 5 0 0 SOUTHWEST AIRLS CO COM 844741108 110 6100 SH SOLE 6100 0 0 SOUTHWEST BANCORP INC OKLA COM 844767103 280 12605 SH SOLE 12605 0 0 SOUTHWEST CMNTY BANCORP COM 84479U109 4537 118463 SH SOLE 1 118463 0 0 SOUTHWEST GAS CORP COM 844895102 226 8100 SH SOLE 8100 0 0 SOUTHWESTERN ENERGY CO COM 845467109 5466 169812 SH SOLE 168112 0 0 SOVRAN SELF STORAGE INC COM 84610H108 23 400 SH SOLE 400 0 0 SPARTAN STORES INC COM 846822104 865 67932 SH SOLE 67932 0 0 SPORTS AUTH INC NEW COM 84917U109 13852 375400 SH SOLE 1 375400 0 0 SPORTS AUTH INC NEW COM 84917U109 2906 78749 SH SOLE 78749 0 0 SPRINT NEXTEL CORP COM FON 852061100 7102 274869 SH SOLE 274869 0 0 SPSS INC COM 78462K102 927 29300 SH SOLE 29300 0 0 SPX CORP COM 784635104 17981 336600 SH SOLE 334400 0 0 ST JUDE MED INC COM 790849103 4174 101800 SH SOLE 7000 0 0 ST MARY LD & EXPL CO COM 792228108 2453 60100 SH SOLE 60100 0 0 ST MARY LD & EXPL CO NOTE 5.750% 3/1 792228AC2 15849 5000000 PRN SOLE 1 0 0 0 ST PAUL TRAVELERS INC COM 792860108 2798 66950 SH SOLE 61550 0 0 STANCORP FINL GROUP INC COM 852891100 32 600 SH SOLE 600 0 0 STANDARD PAC CORP NEW COM 85375C101 3734 111100 SH SOLE 4300 0 0 STANDARD REGISTER CO COM 853887107 77 4971 SH SOLE 4971 0 0 STANDEX INTL CORP COM 854231107 34 1083 SH SOLE 1083 0 0 STANLEY WKS COM 854616109 2944 58100 SH SOLE 57400 0 0 STAPLES INC COM 855030102 314 12300 SH SOLE 12300 0 0 STARBUCKS CORP COM 855244109 15 400 SH SOLE 400 0 0 STARWOOD HOTELS&RESORTS WRLD NOTE 3.500% 5/1 85590AAJ3 5435 4000000 PRN SOLE 1 0 0 0 STATE STR CORP COM 857477103 955 15800 SH SOLE 6500 0 0 STATION CASINOS INC COM 857689103 143 1800 SH SOLE 1800 0 0 STATS CHIPPAC LTD SPONSORED ADR 85771T104 223 28400 SH SOLE 1 28400 0 0 STEEL DYNAMICS INC NOTE 4.000%12/1 858119AD2 71769 21500000 PRN SOLE 1 0 0 0 STEEL DYNAMICS INC COM 858119100 1420 25048 SH SOLE 25048 0 0 STEEL TECHNOLOGIES INC COM 858147101 489 20100 SH SOLE 20100 0 0 STEELCASE INC CL A 858155203 335 18600 SH SOLE 18600 0 0 STEIN MART INC COM 858375108 1132 65025 SH SOLE 65025 0 0 STEPAN CO COM 858586100 3 100 SH SOLE 100 0 0 STERICYCLE INC COM 858912108 838 12400 SH SOLE 400 0 0 STERIS CORP COM 859152100 45 1813 SH SOLE 1813 0 0 STEWART & STEVENSON SVCS INC COM 860342104 11016 301987 SH SOLE 1 301987 0 0 STEWART & STEVENSON SVCS INC COM 860342104 4725 129513 SH SOLE 129513 0 0 STEWART INFORMATION SVCS COR COM 860372101 4923 104586 SH SOLE 104586 0 0 STIFEL FINL CORP COM 860630102 237 5414 SH SOLE 5414 0 0 STONE ENERGY CORP COM 861642106 186 4206 SH SOLE 4206 0 0 STRATAGENE CORP COM 86269H107 3 300 SH SOLE 300 0 0 STRAYER ED INC COM 863236105 20 200 SH SOLE 200 0 0 STRYKER CORP COM 863667101 1073 24200 SH SOLE 4700 0 0 SUN HYDRAULICS CORP COM 866942105 232 10884 SH SOLE 10884 0 0 SUNLINK HEALTH SYSTEMS INC COM 86737U102 55 5400 SH SOLE 1 5400 0 0 SUNOCO INC COM 86764P109 35977 463800 SH SOLE 462900 0 0 SUNRISE SENIOR LIVING INC COM 86768K106 8 200 SH SOLE 200 0 0 SUNSTONE HOTEL INVS INC NEW COM 867892101 38 1300 SH SOLE 1300 0 0 SUNTECH PWR HLDGS CO LTD ADR 86800C104 70 1900 SH SOLE 1900 0 0 SUNTERRA CORP NOTE 3.750% 3/2 86787DAC3 26114 25300000 PRN SOLE 1 0 0 0 SUNTRUST BKS INC COM 867914103 2088 28700 SH SOLE 28700 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 46 1700 SH SOLE 1700 0 0 SUPERIOR ESSEX INC COM 86815V105 2137 84000 SH SOLE 84000 0 0 SUPERTEX INC COM 868532102 1186 31500 SH SOLE 31500 0 0 SUPERVALU INC COM 868536103 13610 441600 SH SOLE 440000 0 0 SUSQUEHANNA BANCSHARES INC P COM 869099101 1888 73271 SH SOLE 73271 0 0 SVB FINL GROUP COM 78486Q101 143 2700 SH SOLE 2700 0 0 SWIFT ENERGY CO COM 870738101 2807 74960 SH SOLE 74960 0 0 SWIFT TRANSN CO COM 870756103 1430 65800 SH SOLE 54700 0 0 SWS GROUP INC COM 78503N107 280 10700 SH SOLE 10700 0 0 SYBASE INC COM 871130100 10148 480451 SH SOLE 474951 0 0 SYBRON DENTAL SPECIALTIES IN COM 871142105 1072 26000 SH SOLE 1100 0 0 SYCAMORE NETWORKS INC COM 871206108 1336 284200 SH SOLE 284200 0 0 SYKES ENTERPRISES INC COM 871237103 4059 286239 SH SOLE 286239 0 0 SYMANTEC CORP COM 871503108 2905 172600 SH SOLE 1000 0 0 SYMBOL TECHNOLOGIES INC COM 871508107 39 3700 SH SOLE 1500 0 0 SYMMETRICOM INC NOTE 3.250% 6/1 871543AB0 20387 21000000 PRN SOLE 1 0 0 0 SYNAPTICS INC COM 87157D109 739 33600 SH SOLE 400 0 0 SYNOPSYS INC COM 871607107 2054 91900 SH SOLE 85000 0 0 SYNOVUS FINL CORP COM 87161C105 1889 69700 SH SOLE 50700 0 0 SYNTEL INC COM 87162H103 11 600 SH SOLE 600 0 0 TALK AMERICA HLDGS INC COM NEW 87426R202 186 21800 SH SOLE 21800 0 0 TALX CORP COM 874918105 65 2250 SH SOLE 2250 0 0 TARGET CORP COM 87612E106 947 18200 SH SOLE 4700 0 0 TAUBMAN CTRS INC COM 876664103 1161 27907 SH SOLE 27907 0 0 TAYLOR CAP GROUP INC COM 876851106 175 4429 SH SOLE 4429 0 0 TCF FINL CORP COM 872275102 44 1700 SH SOLE 1700 0 0 TD BANKNORTH INC COM 87235A101 1396 47558 SH SOLE 1 47558 0 0 TECH DATA CORP COM 878237106 2318 62800 SH SOLE 45100 0 0 TECHNE CORP COM 878377100 8372 139200 SH SOLE 134800 0 0 TECHNICAL OLYMPIC USA INC COM 878483106 1532 75300 SH SOLE 75300 0 0 TECO ENERGY INC COM 872375100 298 18500 SH SOLE 6600 0 0 TEKELEC NOTE 2.250% 6/1 879101AE3 27967 28097000 PRN SOLE 1 0 0 0 TEKTRONIX INC COM 879131100 25 700 SH SOLE 700 0 0 TEL OFFSHORE TR UNIT BEN INT 872382106 43 5000 SH SOLE 1 5000 0 0 TELEFLEX INC COM 879369106 6461 90200 SH SOLE 90200 0 0 TELEFONOS DE MEXICO S A SPON ADR ORD L 879403780 4009 178300 SH SOLE 178300 0 0 TELEPHONE & DATA SYS INC SPL COM 879433860 30 800 SH SOLE 800 0 0 TELIK INC COM 87959M109 6 300 SH SOLE 300 0 0 TELLABS INC COM 879664100 963 60500 SH SOLE 60500 0 0 TEMPLE INLAND INC COM 879868107 58 1300 SH SOLE 1300 0 0 TENET HEALTHCARE CORP COM 88033G100 1293 175100 SH SOLE 171300 0 0 TENNANT CO COM 880345103 1699 32491 SH SOLE 32491 0 0 TENNECO INC COM 880349105 588 27093 SH SOLE 27093 0 0 TEPPCO PARTNERS L P UT LTD PARTNER 872384102 138 3800 SH SOLE 3800 0 0 TERADYNE INC COM 880770102 2703 174300 SH SOLE 160000 0 0 TERADYNE INC SDCV 3.750%10/1 880770AD4 992 1000000 PRN SOLE 1 0 0 0 TEREX CORP NEW COM 880779103 15467 195164 SH SOLE 195164 0 0 TERRA NITROGEN CO L P COM UNIT 881005201 6 300 SH SOLE 300 0 0 TESORO CORP COM 881609101 21667 317062 SH SOLE 317062 0 0 TETRA TECHNOLOGIES INC DEL COM 88162F105 47 1000 SH SOLE 1000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 181 4400 SH SOLE 2200 0 0 TEVA PHARMACEUTICALS FIN B V DBCV 0.375%11/1 88164MAB4 1919 1000000 PRN SOLE 1 0 0 0 TEXAS INDS INC COM 882491103 7 109 SH SOLE 109 0 0 TEXAS INSTRS INC COM 882508104 28505 877900 SH SOLE 877900 0 0 TEXTRON INC COM 883203101 9 100 SH SOLE 100 0 0 THERMO ELECTRON CORP COM 883556102 5679 153100 SH SOLE 153100 0 0 THOMAS & BETTS CORP COM 884315102 9518 185240 SH SOLE 185140 0 0 THOR INDS INC COM 885160101 48 900 SH SOLE 900 0 0 THORATEC CORP COM NEW 885175307 782 40600 SH SOLE 40600 0 0 THORATEC CORP NOTE 1.379% 5/1 885175AB5 27674 41500000 PRN SOLE 1 0 0 0 THORNBURG MTG INC COM 885218107 265 9800 SH SOLE 9800 0 0 THQ INC COM NEW 872443403 9 361 SH SOLE 361 0 0 TIBCO SOFTWARE INC COM 88632Q103 59 7000 SH SOLE 7000 0 0 TIDEWATER INC COM 886423102 1580 28600 SH SOLE 28600 0 0 TIERONE CORP COM 88650R108 149 4400 SH SOLE 4400 0 0 TIFFANY & CO NEW COM 886547108 225 6000 SH SOLE 2500 0 0 TIMBERLAND CO CL A 887100105 202 5900 SH SOLE 3100 0 0 TIME WARNER INC COM 887317105 8255 491700 SH SOLE 474800 0 0 TIME WARNER TELECOM INC CL A 887319101 1285 71600 SH SOLE 71600 0 0 TIMKEN CO COM 887389104 7297 226100 SH SOLE 226100 0 0 TITAN INTL INC ILL COM 88830M102 2586 149800 SH SOLE 1 149800 0 0 TITAN INTL INC ILL NOTE 5.250% 7/2 88830MAB8 29889 20650000 PRN SOLE 1 0 0 0 TITANIUM METALS CORP COM NEW 888339207 10 200 SH SOLE 200 0 0 TJX COS INC NEW COM 872540109 5 200 SH SOLE 200 0 0 TNS INC COM 872960109 6856 323716 SH SOLE 1 323716 0 0 TODCO CL A 88889T107 8055 204363 SH SOLE 204363 0 0 TOLL BROTHERS INC COM 889478103 1327 38300 SH SOLE 38300 0 0 TOO INC COM 890333107 718 20900 SH SOLE 20900 0 0 TORO CO COM 891092108 8968 187800 SH SOLE 66500 0 0 TOWN & CTRY TR SH BEN INT 892081100 4 100 SH SOLE 100 0 0 TOWN & CTRY TR SH BEN INT 892081100 10184 250900 SH SOLE 1 250900 0 0 TRACTOR SUPPLY CO COM 892356106 33 500 SH SOLE 500 0 0 TRADESTATION GROUP INC COM 89267P105 1 100 SH SOLE 100 0 0 TRANS WORLD ENTMT CORP COM 89336Q100 590 105862 SH SOLE 105862 0 0 TRANSACTION SYS ARCHITECTS COM 893416107 1959 62747 SH SOLE 58047 0 0 TRANSOCEAN INC ORD G90078109 723 9000 SH SOLE 7200 0 0 TRIAD HOSPITALS INC COM 89579K109 2912 69500 SH SOLE 3700 0 0 TRIARC COS INC NOTE 5.000% 5/1 895927AD3 2680 2000000 PRN SOLE 1 0 0 0 TRIBUNE CO NEW COM 896047107 1473 53700 SH SOLE 6600 0 0 TRICO BANCSHARES COM 896095106 18 623 SH SOLE 623 0 0 TRIDENT MICROSYSTEMS INC COM 895919108 194 6702 SH SOLE 6702 0 0 TRINITY INDS INC COM 896522109 419 7700 SH SOLE 900 0 0 TRIUMPH GROUP INC NEW COM 896818101 2079 46976 SH SOLE 46976 0 0 TRIZEC HAHN CORP DEB 3.000% 1/2 896938AB3 46667 52288000 PRN SOLE 1 0 0 0 TRUE RELIGION APPAREL INC COM 89784N104 48 2600 SH SOLE 2600 0 0 TRUSTMARK CORP COM 898402102 1977 62474 SH SOLE 62474 0 0 TRUSTREET PPTYS INC COM 898404108 128 8384 SH SOLE 8384 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 8162 350300 SH SOLE 350300 0 0 TUPPERWARE BRANDS CORP COM 899896104 2199 106783 SH SOLE 97483 0 0 TXU CORP COM 873168108 2431 54300 SH SOLE 43800 0 0 TYCO INTL GROUP S A DBCV 3.125% 1/1 902118BG2 14093 11000000 PRN SOLE 1 0 0 0 TYCO INTL LTD NEW COM 902124106 1006 37400 SH SOLE 37400 0 0 TYLER TECHNOLOGIES INC COM 902252105 1 100 SH SOLE 100 0 0 TYSON FOODS INC CL A 902494103 4942 359699 SH SOLE 359699 0 0 U S G CORP COM NEW 903293405 37934 399482 SH SOLE 399482 0 0 U STORE IT TR COM 91274F104 6 300 SH SOLE 300 0 0 UBIQUITEL INC COM 903474302 15 1540 SH SOLE 1540 0 0 UGI CORP NEW COM 902681105 7243 343800 SH SOLE 343800 0 0 UICI COM 902737105 8881 240100 SH SOLE 1 240100 0 0 UICI COM 902737105 6846 185066 SH SOLE 185066 0 0 ULTIMATE SOFTWARE GROUP INC COM 90385D107 3 100 SH SOLE 100 0 0 UMB FINL CORP COM 902788108 2127 30288 SH SOLE 30288 0 0 UMPQUA HLDGS CORP COM 904214103 1 20 SH SOLE 20 0 0 UNDER ARMOUR INC CL A 904311107 10 300 SH SOLE 300 0 0 UNIFIRST CORP MASS COM 904708104 15 464 SH SOLE 464 0 0 UNION PAC CORP COM 907818108 21580 231200 SH SOLE 214000 0 0 UNIONBANCAL CORP COM 908906100 5900 84100 SH SOLE 84100 0 0 UNISOURCE ENERGY CORP COM 909205106 6 200 SH SOLE 200 0 0 UNISYS CORP COM 909214108 75 10900 SH SOLE 10900 0 0 UNIT CORP COM 909218109 12 205 SH SOLE 205 0 0 UNITED AUTO GROUP INC COM 909440109 4562 106093 SH SOLE 106093 0 0 UNITED BANKSHARES INC WEST V COM 909907107 191 5000 SH SOLE 5000 0 0 UNITED FIRE & CAS CO COM 910331107 184 5597 SH SOLE 5597 0 0 UNITED NAT FOODS INC COM 911163103 112 3200 SH SOLE 3200 0 0 UNITED ONLINE INC COM 911268100 1034 80400 SH SOLE 80400 0 0 UNITED PARCEL SERVICE INC CL B 911312106 8 100 SH SOLE 100 0 0 UNITED RENTALS INC COM 911363109 69 2000 SH SOLE 1300 0 0 UNITED RENTALS NORTH AMER IN NOTE 1.875%10/1 911365AH7 12119 7500000 PRN SOLE 1 0 0 0 UNITED STATES STL CORP NEW COM 912909108 22013 362800 SH SOLE 362100 0 0 UNITED STATIONERS INC COM 913004107 8780 165349 SH SOLE 165349 0 0 UNITED TECHNOLOGIES CORP COM 913017109 730 12600 SH SOLE 9300 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 1087 16404 SH SOLE 16404 0 0 UNITEDHEALTH GROUP INC COM 91324P102 7806 139764 SH SOLE 74644 0 0 UNITRIN INC COM 913275103 312 6700 SH SOLE 3400 0 0 UNIVERSAL CORP VA COM 913456109 488 13269 SH SOLE 9569 0 0 UNIVERSAL FST PRODS INC COM 913543104 1225 19300 SH SOLE 19300 0 0 UNUMPROVIDENT CORP COM 91529Y106 24438 1193300 SH SOLE 1188300 0 0 URBAN OUTFITTERS INC COM 917047102 326 13300 SH SOLE 2800 0 0 URS CORP NEW COM 903236107 4 87 SH SOLE 87 0 0 URSTADT BIDDLE PPTYS INS CL A 917286205 44 2429 SH SOLE 2429 0 0 US BANCORP DEL COM NEW 902973304 5099 167200 SH SOLE 167200 0 0 USA MOBILITY INC COM 90341G103 54 1900 SH SOLE 1 1900 0 0 USANA HEALTH SCIENCES INC COM 90328M107 179 4299 SH SOLE 4299 0 0 USEC INC COM 90333E108 1721 142800 SH SOLE 142800 0 0 UTSTARCOM INC COM 918076100 47 7500 SH SOLE 2800 0 0 UTSTARCOM INC NOTE 0.875% 3/0 918076AB6 3459 4000000 PRN SOLE 1 0 0 0 V F CORP COM 918204108 9236 162300 SH SOLE 162300 0 0 VAIL RESORTS INC COM 91879Q109 2439 63800 SH SOLE 63800 0 0 VALASSIS COMMUNICATIONS INC NOTE 1.625% 5/2 918866AK0 6341 10000000 PRN SOLE 1 0 0 0 VALEANT PHARMACEUTICALS INTL COM 91911X104 262 16500 SH SOLE 8600 0 0 VALERO ENERGY CORP NEW COM 91913Y100 1024 17100 SH SOLE 17100 0 0 VALOR COMMUNICATIONS GROUP I COM 920255106 852 64700 SH SOLE 64700 0 0 VALSPAR CORP COM 920355104 134 4800 SH SOLE 4800 0 0 VALUECLICK INC COM 92046N102 3 200 SH SOLE 200 0 0 VARIAN INC COM 922206107 3387 82288 SH SOLE 82288 0 0 VARIAN MED SYS INC COM 92220P105 354 6300 SH SOLE 2600 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 173 6172 SH SOLE 6172 0 0 VECTOR GROUP LTD COM 92240M108 103 5400 SH SOLE 5400 0 0 VECTOR GROUP LTD COM 92240M108 137 7206 SH SOLE 1 7206 0 0 VECTOR GROUP LTD NOTE 5.000%11/1 92240MAE8 13279 10500000 PRN SOLE 1 0 0 0 VECTREN CORP COM 92240G101 72 2700 SH SOLE 1900 0 0 VENTAS INC COM 92276F100 1155 34800 SH SOLE 34800 0 0 VERIFONE HLDGS INC COM 92342Y109 61 2000 SH SOLE 2000 0 0 VERISIGN INC COM 92343E102 159 6600 SH SOLE 6600 0 0 VERITAS DGC INC FRNT 3/1 92343PAE7 9954 5000000 PRN SOLE 1 0 0 0 VERITAS DGC INC COM 92343P107 22928 505153 SH SOLE 504153 0 0 VERIZON COMMUNICATIONS COM 92343V104 8935 262300 SH SOLE 259500 0 0 VERSO TECHNOLOGIES INC COM NEW 925317208 0 40 SH SOLE 40 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 1243 33980 SH SOLE 27580 0 0 VIACOM INC NEW CL B 92553P201 9386 241952 SH SOLE 233752 0 0 VIRGINIA COMM BANCORP INC COM 92778Q109 162 4500 SH SOLE 4500 0 0 VIROPHARMA INC COM 928241108 5806 457200 SH SOLE 457200 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 3631 255000 SH SOLE 120500 0 0 VISTEON CORP COM 92839U107 1761 382900 SH SOLE 382900 0 0 VITAL SIGNS INC COM 928469105 110 2005 SH SOLE 2005 0 0 VITESSE SEMICONDUCTOR CORP SDCV 1.500%10/0 928497AD8 24115 21925000 PRN SOLE 1 0 0 0 VOLT INFORMATION SCIENCES IN COM 928703107 119 3893 SH SOLE 3893 0 0 VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 2263 2000000 PRN SOLE 1 0 0 0 W & T OFFSHORE INC COM 92922P106 5152 127820 SH SOLE 127820 0 0 W HLDG CO INC COM 929251106 226 28769 SH SOLE 28769 0 0 WABASH NATL CORP NOTE 3.250% 8/0 929566AD9 28865 25000000 PRN SOLE 1 0 0 0 WACHOVIA CORP 2ND NEW COM 929903102 9839 175561 SH SOLE 175561 0 0 WACHOVIA CORP 2ND NEW COM 929903102 15158 270441 SH SOLE 1 270441 0 0 WADDELL & REED FINL INC CL A 930059100 74 3200 SH SOLE 1200 0 0 WAL MART STORES INC COM 931142103 3566 75500 SH SOLE 75500 0 0 WALGREEN CO COM 931422109 884 20500 SH SOLE 8100 0 0 WALTER INDS INC COM 93317Q105 292 4385 SH SOLE 4385 0 0 WALTER INDS INC NOTE 3.750% 5/0 93317QAC9 236622 62625000 PRN SOLE 1 0 0 0 WARNACO GROUP INC COM NEW 934390402 2577 107361 SH SOLE 107361 0 0 WASHINGTON FED INC COM 938824109 245 10100 SH SOLE 9500 0 0 WASHINGTON GROUP INTL INC COM NEW 938862208 585 10190 SH SOLE 10190 0 0 WASHINGTON MUT INC COM 939322103 7421 174106 SH SOLE 171506 0 0 WASHINGTON POST CO CL B 939640108 155 200 SH SOLE 100 0 0 WASHINGTON REAL ESTATE INVT SH BEN INT 939653101 124 3400 SH SOLE 3400 0 0 WASTE MGMT INC DEL COM 94106L109 7818 221500 SH SOLE 196400 0 0 WATER PIK TECHNOLOGIES INC COM 94113U100 5789 208900 SH SOLE 1 208900 0 0 WATERS CORP COM 941848103 242 5600 SH SOLE 1800 0 0 WATSCO INC COM 942622200 4070 57300 SH SOLE 57300 0 0 WATSON PHARMACEUTICALS INC COM 942683103 2437 84800 SH SOLE 61100 0 0 WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 3678 4000000 PRN SOLE 1 0 0 0 WATSON WYATT WORLDWIDE INC CL A 942712100 574 17600 SH SOLE 17600 0 0 WCI CMNTYS INC NOTE 4.000% 8/1 92923CAK0 29673 26000000 PRN SOLE 1 0 0 0 WCI CMNTYS INC COM 92923C104 39 1400 SH SOLE 1400 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 32 700 SH SOLE 600 0 0 WEBEX COMMUNICATIONS INC COM 94767L109 3 100 SH SOLE 100 0 0 WEBSENSE INC COM 947684106 6 200 SH SOLE 200 0 0 WEBSTER FINL CORP CONN COM 947890109 4401 90800 SH SOLE 90800 0 0 WEIGHT WATCHERS INTL INC NEW COM 948626106 51 1000 SH SOLE 1000 0 0 WEINGARTEN RLTY INVS SH BEN INT 948741103 285 7000 SH SOLE 3500 0 0 WELLPOINT INC COM 94973V107 3065 39579 SH SOLE 15597 0 0 WELLS FARGO & CO NEW COM 949746101 11924 186700 SH SOLE 185800 0 0 WENDYS INTL INC COM 950590109 645 10400 SH SOLE 10400 0 0 WERNER ENTERPRISES INC COM 950755108 487 26500 SH SOLE 13500 0 0 WESBANCO INC COM 950810101 109 3300 SH SOLE 3300 0 0 WESCO INTL INC COM 95082P105 2462 36200 SH SOLE 35600 0 0 WEST COAST BANCORP ORE NEW COM 952145100 92 3300 SH SOLE 3300 0 0 WEST PHARMACEUTICAL SVSC INC COM 955306105 223 6400 SH SOLE 6400 0 0 WESTAMERICA BANCORPORATION COM 957090103 415 8000 SH SOLE 3800 0 0 WESTAR ENERGY INC COM 95709T100 518 24888 SH SOLE 24888 0 0 WESTERN DIGITAL CORP COM 958102105 13395 689400 SH SOLE 385100 0 0 WESTERN GAS RES INC COM 958259103 10 200 SH SOLE 200 0 0 WESTERN REFNG INC COM 959319104 1796 83100 SH SOLE 83100 0 0 WESTERN SIERRA BANCORP COM 959522103 2058 45400 SH SOLE 1 45400 0 0 WESTERN SILVER CORP COM 959531104 2375 101200 SH SOLE 1 101200 0 0 WESTERN WIRELESS CORP NOTE 4.625% 6/1 95988EAF2 2837 1000000 PRN SOLE 1 0 0 0 WESTLAKE CHEM CORP COM 960413102 272 7900 SH SOLE 7900 0 0 WESTWOOD ONE INC COM 961815107 26 2400 SH SOLE 1300 0 0 WEYERHAEUSER CO COM 962166104 4911 67800 SH SOLE 67800 0 0 WGL HLDGS INC COM 92924F106 1096 36013 SH SOLE 30013 0 0 WHEELING PITTSBURGH CORP COM NEW 963142302 139 7571 SH SOLE 7571 0 0 WHIRLPOOL CORP COM 963320106 39185 428400 SH SOLE 427300 0 0 WHOLE FOODS MKT INC COM 966837106 1714 25800 SH SOLE 25800 0 0 WILD OATS MARKETS INC DBCV 3.250% 5/1 96808BAB3 40096 31470000 PRN SOLE 1 0 0 0 WILEY JOHN & SONS INC CL A 968223206 4 100 SH SOLE 100 0 0 WILLBROS GROUP INC NOTE 2.750% 3/1 969199AC2 23402 21882000 PRN SOLE 1 0 0 0 WILLIAMS COS INC DEL COM 969457100 36 1700 SH SOLE 1700 0 0 WILLIAMS SONOMA INC COM 969904101 4 100 SH SOLE 100 0 0 WILLIS GROUP HOLDINGS LTD SHS G96655108 79 2300 SH SOLE 2300 0 0 WILMINGTON TRUST CORP COM 971807102 1192 27500 SH SOLE 27500 0 0 WILSHIRE BANCORP INC COM 97186T108 63 3400 SH SOLE 3400 0 0 WILSON GREATBATCH TECHNOLOGI SDCV 2.250% 6/1 972232AB8 5108 6000000 PRN SOLE 1 0 0 0 WIND RIVER SYSTEMS INC COM 973149107 427 34300 SH SOLE 18000 0 0 WIND RIVER SYSTEMS INC NOTE 3.750%12/1 973149AE7 756 750000 PRN SOLE 1 0 0 0 WISCONSIN ENERGY CORP COM 976657106 364 9100 SH SOLE 3800 0 0 WMS INDS INC NOTE 2.750% 7/1 929297AE9 47878 30000000 PRN SOLE 1 0 0 0 WOLVERINE WORLD WIDE INC COM 978097103 288 13049 SH SOLE 13049 0 0 WOODWARD GOVERNOR CO COM 980745103 340 10215 SH SOLE 10215 0 0 WORLD AIR HLDGS INC COM 98142V104 482 49139 SH SOLE 49139 0 0 WORTHINGTON INDS INC COM 981811102 136 6800 SH SOLE 3300 0 0 WPS RESOURCES CORP COM 92931B106 3897 79200 SH SOLE 74600 0 0 WRIGLEY WM JR CO COM 982526105 768 12000 SH SOLE 2200 0 0 WYETH COM 983024100 6123 126200 SH SOLE 108100 0 0 WYNN RESORTS LTD DBCV 6.000% 7/1 983134AB3 83560 25000000 PRN SOLE 1 0 0 0 XCEL ENERGY INC COM 98389B100 1214 66900 SH SOLE 66900 0 0 XCEL ENERGY INC NOTE 7.500%11/2 98389BAB6 6025 4000000 PRN SOLE 1 0 0 0 XENOGEN CORP COM 98410R108 106 26800 SH SOLE 1 26800 0 0 XEROX CORP COM 984121103 5333 350800 SH SOLE 216600 0 0 XILINX INC COM 983919101 349 13700 SH SOLE 3000 0 0 XL CAP LTD CL A G98255105 442 6900 SH SOLE 3600 0 0 XM SATELLITE RADIO HLDGS INC CL A 983759101 11 500 SH SOLE 200 0 0 YAHOO INC COM 984332106 1952 60490 SH SOLE 60490 0 0 YAHOO INC FRNT 4/0 984332AB2 7214 4500000 PRN SOLE 1 0 0 0 YARDVILLE NATL BANCORP COM 985021104 4 100 SH SOLE 100 0 0 YELLOW ROADWAY CORP NOTE 5.000% 8/0 985577AA3 23292 18500000 PRN SOLE 1 0 0 0 YELLOW ROADWAY CORP NOTE 3.375%11/2 985577AB1 24095 21500000 PRN SOLE 1 0 0 0 YRC WORLDWIDE INC COM 984249102 7820 205475 SH SOLE 177475 0 0 YUM BRANDS INC COM 988498101 1075 22000 SH SOLE 5500 0 0 ZALE CORP NEW COM 988858106 2476 88300 SH SOLE 88300 0 0 ZEBRA TECHNOLOGIES CORP CL A 989207105 4307 96300 SH SOLE 96300 0 0 ZENITH NATL INS CORP COM 989390109 412 8549 SH SOLE 8549 0 0 ZENITH NATL INS CORP NOTE 5.750% 3/3 989390AH2 3315 1150000 PRN SOLE 1 0 0 0 ZIMMER HLDGS INC COM 98956P102 196 2900 SH SOLE 2200 0 0 ZIONS BANCORPORATION COM 989701107 1448 17500 SH SOLE 4800 0 0
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