UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: December 31, 2005
Check here if Amendment [ ]; Amendment Number:
This Amendment (Check only one.): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Value Line Inc
Address: 220 East 42nd Street
New York, NY 10017
13F File Number: 28-00401
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: David Henigson
Title: Vice President
Phone: 212-907-1600
Signature, Place, and Date of Signing:
/s/ David Henigson New York, NY January 25, 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: 0
Form13F Information Table Entry Total: 1377
Form13F Information Table Value Total: $2,948,978 (thousands)
List of Other Included Managers:
Provide a numbered list of the name(s) and Form 13F file number(s) of all
institutional managers with respect to which this report is filed, other
than the manager filing this report.
NONE
FORM 13F INFORMATION TABLE
VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY
NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
21ST CENTY INS GROUP COM 90130N103 405 25000 SH DEFINED 0 25000 0
3COM CORP COM 885535104 108 30000 SH DEFINED 0 30000 0
AAR CORP COM 000361105 2476 103400 SH DEFINED 0 103400 0
AARON RENTS INC COM 002535201 2347 111350 SH DEFINED 0 111350 0
ABN AMRO HLDG NV SPONSORED ADR 000937102 589 22550 SH DEFINED 0 20000 2550
ACCENTURE LTD BERMUDA CL A G1150G111 11779 408000 SH DEFINED 0 408000 0
ACCO BRANDS CORP COM 00081T108 23 929 SH DEFINED 0 753 176
ACE LTD ORD G0070K103 59 1100 SH DEFINED 0 0 1100
ACTIVISION INC NEW COM NEW 004930202 50 3666 SH DEFINED 0 3666 0
ACTUANT CORP CL A NEW 00508X203 5608 100500 SH DEFINED 0 100500 0
ACTUANT CORP SDCV 2.000%11/1 00508XAB0 291 200000 PRN DEFINED 0 200000 0
ADAMS RESPIRATORY THERAPEUTI COM 00635P107 203 5000 SH DEFINED 0 5000 0
ADAPTEC INC NOTE 0.750%12/2 00651FAG3 858 1000000 PRN DEFINED 0 1000000 0
ADELPHIA COMMUNICATIONS C 006848303 3 10000 SH DEFINED 0 10000 0
ADMINISTAFF INC COM 007094105 664 15800 SH DEFINED 0 15800 0
ADOBE SYS INC COM 00724F101 2513 68000 SH DEFINED 0 68000 0
ADTRAN INC COM 00738A106 10399 350000 SH DEFINED 0 350000 0
ADVANCE AUTO PARTS INC COM 00751Y106 3859 88800 SH DEFINED 0 88800 0
ADVANCED MEDICAL OPTICS INC COM 00763M108 3348 80100 SH DEFINED 0 80100 0
ADVANCED MEDICAL OPTICS INC NOTE 2.500% 7/1 00763MAG3 254 250000 PRN DEFINED 0 250000 0
ADVANCED MICRO DEVICES INC DBCV 4.750% 2/0 007903AE7 197 150000 PRN DEFINED 0 150000 0
ADVISORY BRD CO COM 00762W107 11064 232100 SH DEFINED 0 232100 0
AES TR III PFD CV 6.75% 00808N202 311 7000 SH DEFINED 0 7000 0
AETNA INC NEW COM 00817Y108 5168 54800 SH DEFINED 0 53750 1050
AFFILIATED COMPUTER SERVICES CL A 008190100 118 2000 SH DEFINED 0 2000 0
AFFILIATED MANAGERS GROUP COM 008252108 4125 51400 SH DEFINED 0 51400 0
AFLAC INC COM 001055102 2938 63300 SH DEFINED 0 63300 0
AGERE SYS INC NOTE 6.500%12/1 00845VAA8 1968 2000000 PRN DEFINED 0 2000000 0
AGILENT TECHNOLOGIES INC COM 00846U101 6452 193800 SH DEFINED 0 193800 0
AGL RES INC COM 001204106 2673 76800 SH DEFINED 0 76800 0
AGNICO EAGLE MINES LTD COM 008474108 494 25000 SH DEFINED 0 25000 0
AGRIUM INC COM 008916108 440 20000 SH DEFINED 0 20000 0
AIR PRODS & CHEMS INC COM 009158106 355 6000 SH DEFINED 0 6000 0
AIRGAS INC COM 009363102 4409 134000 SH DEFINED 0 134000 0
ALABAMA NATL BANCORP DELA COM 010317105 667 10300 SH DEFINED 0 10300 0
ALAMOSA DEL INC 011588AG5 505 500000 PRN DEFINED 0 500000 0
ALAMOSA HLDGS INC COM 011589108 3620 194500 SH DEFINED 0 194500 0
ALASKA COMMUNICATIONS SYS GR COM 01167P101 77 7600 SH DEFINED 0 7600 0
ALBEMARLE CORP COM 012653101 479 12500 SH DEFINED 0 12500 0
ALBERTSONS INC 7 25% cvt pfd 268 12200 SH DEFINED 0 11800 400
ALBERTSONS INC COM 013104104 132 6200 SH DEFINED 0 6200 0
ALCON INC COM SHS H01301102 11405 88000 SH DEFINED 0 88000 0
ALDILA INC COM NEW 014384200 109 4300 SH DEFINED 0 4300 0
ALERIS INTL INC COM 014477103 4433 137500 SH DEFINED 0 137500 0
ALEXANDER & BALDWIN INC COM 014482103 906 16700 SH DEFINED 0 16700 0
ALFA CORP COM 015385107 77 4800 SH DEFINED 0 4800 0
ALKERMES INC COM 01642T108 918 48000 SH DEFINED 0 48000 0
ALLEGHANY CORP DEL COM 017175100 114 400 SH DEFINED 0 400 0
ALLEGHENY TECHNOLOGIES I 01741RAB8 868 800000 PRN DEFINED 0 800000 0
ALLEGHENY TECHNOLOGIES INC COM 01741R102 2360 65400 SH DEFINED 0 65400 0
ALLERGAN INC COM 018490102 10602 98200 SH DEFINED 0 98200 0
ALLIANCE RES PARTNER L P UT LTD PART 01877R108 744 20000 SH DEFINED 0 20000 0
ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 162 150000 PRN DEFINED 0 150000 0
ALLIANT TECHSYSTEMS INC COM 018804104 933 12250 SH DEFINED 0 12000 250
ALLIED WASTE INDS INC PFD SR C CONV 019589605 145 3000 SH DEFINED 0 3000 0
ALLSCRIPTS HEALTHCARE SOLUTI COM 01988P108 2961 221000 SH DEFINED 0 221000 0
ALLSTATE CORP COM 020002101 2595 48000 SH DEFINED 0 48000 0
Alltel Corporation 885571AD1 245 228000 PRN DEFINED 0 228000 0
ALTRIA GROUP INC COM 02209S103 207 2775 SH DEFINED 0 2100 675
ALVARION LTD SHS M0861T100 262 30000 SH DEFINED 0 30000 0
ALZA CORP SDCV 7/2 02261WAB5 248 300000 PRN DEFINED 0 300000 0
AMBASSADORS GROUP INC COM 023177108 396 17300 SH DEFINED 0 17300 0
AMDOCS LTD NOTE 0.500% 3/1 02342TAD1 179 200000 PRN DEFINED 0 200000 0
AMEDISYS INC COM 023436108 4262 100900 SH DEFINED 0 100900 0
AMERADA HESS CORP PFD CV ACES 7% 023551401 252 4000 SH DEFINED 0 4000 0
AMERADA HESS CORP COM 023551104 1420 11200 SH DEFINED 0 11200 0
AMERCO COM 023586100 555 7700 SH DEFINED 0 7700 0
AMERICA MOVIL S A DE C V SPON ADR L SHS 02364W105 995 34000 SH DEFINED 0 34000 0
AMERICAN CAPITAL STRATEGIES COM 024937104 47 1300 SH DEFINED 0 1000 300
AMERICAN CASINO & ENTMT P 02504RAA5 638 600000 PRN DEFINED 0 600000 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 21 900 SH DEFINED 0 0 900
AMERICAN ECOLOGY CORP COM NEW 025533407 289 20000 SH DEFINED 0 20000 0
AMERICAN ELEC PWR INC COM 025537101 742 20000 SH DEFINED 0 20000 0
AMERICAN FINL GROUP INC OHIO COM 025932104 1264 33000 SH DEFINED 0 33000 0
AMERICAN GREETINGS CORP CL A 026375105 220 10000 SH DEFINED 0 10000 0
AMERICAN HEALTHWAYS INC COM 02649V104 6308 139400 SH DEFINED 0 139400 0
AMERICAN HOME MTG INVT CORP COM 02660R107 853 26200 SH DEFINED 0 26200 0
AMERICAN INTL GROUP INC COM 026874107 1071 15700 SH DEFINED 0 15700 0
AMERICAN MED SYS HLDGS INC COM 02744M108 1976 110800 SH DEFINED 0 110800 0
AMERICAN PHARMACEUTICALS PTN COM 02886P109 543 14000 SH DEFINED 0 13450 550
AMERICAN RETIREMENT CORP COM 028913101 744 29600 SH DEFINED 0 29600 0
AMERICAN SCIENCE & ENGR INC COM 029429107 449 7200 SH DEFINED 0 7200 0
AMERICAN STD COS INC DEL COM 029712106 799 20000 SH DEFINED 0 20000 0
AMERICAN STD COS INC DEL 029712AA4 544 500000 PRN DEFINED 0 500000 0
AMERICAN STS WTR CO COM 029899101 770 25000 SH DEFINED 0 25000 0
AMERICAN TOWER CORP CL A 029912201 4720 174167 SH DEFINED 0 174167 0
AMERICAN TOWER CORP NOTE 3.000% 8/1 029912AR3 288 200000 PRN DEFINED 0 200000 0
AMERICANWEST BANCORPORATION COM 03058P109 139 5900 SH DEFINED 0 5900 0
AMERISTAR CASINOS INC COM 03070Q101 1703 75000 SH DEFINED 0 75000 0
AMERITRADE HLDG CORP NEW COM 03074K100 888 37000 SH DEFINED 0 37000 0
AMETEK INC NEW COM 031100100 6092 143200 SH DEFINED 0 143200 0
AMGEN INC COM 031162100 13444 170480 SH DEFINED 0 169140 1340
AMPHENOL CORP NEW CL A 032095101 4090 92400 SH DEFINED 0 92400 0
AMSOUTH BANCORPORATION COM 032165102 3 100 SH DEFINED 0 0 100
ANADARKO PETE CORP COM 032511107 1355 14300 SH DEFINED 0 14100 200
ANADIGICS INC COM 032515108 60 10000 SH DEFINED 0 10000 0
ANCHOR BANCORP WIS INC COM 032839102 725 23900 SH DEFINED 0 23900 0
ANDREW CORP NOTE 3.250% 8/1 034425AB4 150 150000 PRN DEFINED 0 150000 0
ANGLO AMERN PLC ADR 03485P102 1370 39400 SH DEFINED 0 37400 2000
ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 1233 25000 SH DEFINED 0 25000 0
ANHEUSER BUSCH COS INC COM 035229103 1519 35350 SH DEFINED 0 35000 350
ANIXTER INTL INC COM 035290105 4487 114700 SH DEFINED 0 114700 0
ANIXTER INTL INC NOTE 7/0 035290AG0 151 250000 PRN DEFINED 0 250000 0
ANNTAYLOR STORES CORP COM 036115103 104 3000 SH DEFINED 0 3000 0
ANSOFT CORP COM 036384105 518 15200 SH DEFINED 0 15200 0
ANSYS INC COM 03662Q105 4431 103800 SH DEFINED 0 103800 0
ANTEON INTL CORP COM 03674E108 1609 29600 SH DEFINED 0 29600 0
AON CORP COM 037389103 144 4000 SH DEFINED 0 4000 0
AON CORP DBCV 3.500%11/1 037389AT0 338 200000 PRN DEFINED 0 200000 0
APACHE CORP COM 037411105 4512 65850 SH DEFINED 0 64380 1470
APEX SILVER MINES LTD ORD G04074103 557 35000 SH DEFINED 0 35000 0
APPLE COMPUTER INC COM 037833100 11359 158000 SH DEFINED 0 158000 0
APPLEBEES INTL INC COM 037899101 3335 147650 SH DEFINED 0 144750 2900
APPLERA CORP COM CE GEN GRP 038020202 110 10000 SH DEFINED 0 10000 0
APPLERA CORP COM AP BIO GRP 038020103 664 25000 SH DEFINED 0 25000 0
APPLIED INDL TECHNOLOGIES IN COM 03820C105 2557 75900 SH DEFINED 0 75900 0
APPLIED MATLS INC COM 038222105 14 800 SH DEFINED 0 0 800
APTARGROUP INC COM 038336103 1138 21800 SH DEFINED 0 21800 0
AQUA AMERICA INC COM 03836W103 4646 170200 SH DEFINED 0 170200 0
AQUANTIVE INC COM 03839G105 3927 155600 SH DEFINED 0 155600 0
AQUILA INC PIES 6.75% 03840P409 191 6000 SH DEFINED 0 6000 0
ARBITRON INC COM 03875Q108 581 15300 SH DEFINED 0 15300 0
ARCH CAP GROUP LTD ORD G0450A105 1916 35000 SH DEFINED 0 35000 0
ARCH COAL INC COM 039380100 6797 85500 SH DEFINED 0 85500 0
ARCHER DANIELS MIDLAND CO COM 039483102 752 30500 SH DEFINED 0 26800 3700
ARCO CHEM CO 001920AB3 674 600000 PRN DEFINED 0 600000 0
ARENA RESOURCES INC COM 040049108 135 4900 SH DEFINED 0 4900 0
ARKANSAS BEST CORP DEL COM 040790107 734 16800 SH DEFINED 0 16800 0
ARMOR HOLDINGS INC COM 042260109 2380 55800 SH DEFINED 0 55500 300
ARTHROCARE CORP COM 043136100 13333 316400 SH DEFINED 0 316400 0
ASPECT MED SYS INC COM 045235108 292 8500 SH DEFINED 0 8500 0
ASPEN INSURANCE HOLDINGS LTD SHS G05384105 379 16000 SH DEFINED 0 16000 0
ASSOCIATED BANC CORP COM 045487105 1575 48400 SH DEFINED 0 48400 0
ASSURANT INC COM 04621X108 1087 25000 SH DEFINED 0 25000 0
ASTA FDG INC COM 046220109 566 20700 SH DEFINED 0 20700 0
ATI TECHNOLOGIES INC COM 001941103 272 16000 SH DEFINED 0 16000 0
ATP OIL & GAS CORP COM 00208J108 481 13000 SH DEFINED 0 13000 0
AUDIOCODES LTD ORD M15342104 278 25000 SH DEFINED 0 25000 0
AUTODESK INC COM 052769106 5259 122500 SH DEFINED 0 122500 0
AUTOLIV INC COM 052800109 1612 35500 SH DEFINED 0 35500 0
AVI BIOPHARMA INC COM 002346104 104 30000 SH DEFINED 0 30000 0
AVIALL INC NEW COM 05366B102 2822 98000 SH DEFINED 0 98000 0
AVNET INC COM 053807103 706 29500 SH DEFINED 0 29500 0
AVNET INC 053807AK9 542 500000 PRN DEFINED 0 500000 0
AVNET INC DBCV 2.000% 3/1 053807AL7 240 250000 PRN DEFINED 0 250000 0
AVON PRODS INC COM 054303102 110 3850 SH DEFINED 0 3850 0
BAKER HUGHES INC COM 057224107 9 150 SH DEFINED 0 0 150
BALL CORP COM 058498106 2860 72000 SH DEFINED 0 72000 0
BANCO ITAU HLDG FINANCIERA S SP ADR 500 PFD 059602201 1573 65500 SH DEFINED 0 65500 0
BANCO SANTANDER CHILE NEW SP ADR REP COM 05965X109 731 16400 SH DEFINED 0 16400 0
BANCOLOMBIA S A SPON ADR PREF 05968L102 1009 35000 SH DEFINED 0 35000 0
BANCORPSOUTH INC COM 059692103 936 42400 SH DEFINED 0 42400 0
BANK HAWAII CORP COM 062540109 7087 137500 SH DEFINED 0 137500 0
BANK MONTREAL QUE COM 063671101 520 9300 SH DEFINED 0 9300 0
BANK OF AMERICA CORPORATION COM 060505104 5 100 SH DEFINED 0 0 100
BANK OF THE OZARKS INC COM 063904106 768 20800 SH DEFINED 0 20800 0
BANKATLANTIC BANCORP CL A 065908501 304 21700 SH DEFINED 0 21700 0
BANTA CORP COM 066821109 3850 77300 SH DEFINED 0 77300 0
BARD C R INC COM 067383109 5247 79600 SH DEFINED 0 79600 0
BARNES & NOBLE INC COM 067774109 1451 34000 SH DEFINED 0 34000 0
BARNWELL INDS INC COM 068221100 316 12600 SH DEFINED 0 12600 0
BARR PHARMACEUTICALS INC COM 068306109 10060 161500 SH DEFINED 0 161500 0
BARRETT BUSINESS SERVICES IN COM 068463108 245 9800 SH DEFINED 0 9800 0
BAUSCH & LOMB INC FRNT 8/0 071707AM5 269 200000 PRN DEFINED 0 200000 0
BAXTER INTL INC CORP UNITS 7% 071813406 914 17000 SH DEFINED 0 17000 0
BB&T CORP COM 054937107 126 3000 SH DEFINED 0 3000 0
BCE INC COM 05534B109 1071 44700 SH DEFINED 0 44500 200
BE AEROSPACE INC COM 073302101 1804 82000 SH DEFINED 0 82000 0
BEAR STEARNS COS INC 07387EEW3 1916 2000000 PRN DEFINED 0 2000000 0
BEAR STEARNS COS INC COM 073902108 4321 37400 SH DEFINED 0 37400 0
BECTON DICKINSON & CO COM 075887109 1802 30000 SH DEFINED 0 30000 0
BED BATH & BEYOND INC COM 075896100 4728 130800 SH DEFINED 0 130500 300
BELDEN CDT INC COM 077454106 6450 264000 SH DEFINED 0 264000 0
BERKLEY W R CORP COM 084423102 17063 358325 SH DEFINED 0 357725 600
BEST BUY INC SDCV 2.250% 1/1 086516AF8 266 250000 PRN DEFINED 0 250000 0
BEST BUY INC COM 086516101 59 1350 SH DEFINED 0 1350 0
BHP BILLITON LTD SPONSORED ADR 088606108 1504 45000 SH DEFINED 0 42500 2500
BIO RAD LABS INC CL A 090572207 1099 16800 SH DEFINED 0 16800 0
BIOGEN IDEC INC COM 09062X103 113 2500 SH DEFINED 0 2000 500
BIOMET INC COM 090613100 2024 55350 SH DEFINED 0 54750 600
BIOSITE INC COM 090945106 99 1750 SH DEFINED 0 1750 0
BIOVAIL CORP COM 09067J109 9990 421000 SH DEFINED 0 421000 0
BISYS GROUP INC NOTE 4.000% 3/1 055472AB0 990 1000000 PRN DEFINED 0 1000000 0
BJ SVCS CO COM 055482103 9589 261500 SH DEFINED 0 261500 0
BJS RESTAURANTS INC COM 09180C106 446 19500 SH DEFINED 0 19500 0
BLACK & DECKER CORP COM 091797100 3252 37400 SH DEFINED 0 37400 0
BLACK HILLS CORP COM 092113109 796 23000 SH DEFINED 0 23000 0
BLACKROCK INC CL A 09247X101 3634 33500 SH DEFINED 0 33500 0
BLUEWATER FIN LTD 09623YAB9 1075 1000000 PRN DEFINED 0 1000000 0
BMC SOFTWARE INC COM 055921100 10040 490000 SH DEFINED 0 490000 0
BOEING CO COM 097023105 112 1600 SH DEFINED 0 1600 0
BOK FINL CORP COM NEW 05561Q201 198 4353 SH DEFINED 0 4353 0
BOOKHAM INC COM 09856E105 46 8000 SH DEFINED 0 8000 0
BORG WARNER INC COM 099724106 4432 73100 SH DEFINED 0 73100 0
BOSTON SCIENTIFIC CORP COM 101137107 622 25400 SH DEFINED 0 25000 400
BOYD GAMING CORP COM 103304101 5948 124800 SH DEFINED 0 124800 0
BOYD GAMING CORP 103304BC4 509 500000 PRN DEFINED 0 500000 0
BP PLC SPONSORED ADR 055622104 1047 16300 SH DEFINED 0 16150 150
BP PRUDHOE BAY RTY TR UNIT BEN INT 055630107 839 12600 SH DEFINED 0 12600 0
BRADY CORP CL A 104674106 1635 45200 SH DEFINED 0 45200 0
BRIGHT HORIZON FAMILY SOLUTI COM 109195107 1904 51400 SH DEFINED 0 51400 0
BRIGHTPOINT INC COM NEW 109473405 12257 442000 SH DEFINED 0 442000 0
BRINKS CO COM 109696104 3148 65700 SH DEFINED 0 65300 400
BRISTOL MYERS SQUIBB CO COM 110122108 57 2500 SH DEFINED 0 2500 0
BRL UNVL EQUIP 2001 ALP 111201AB5 872 835000 PRN DEFINED 0 835000 0
BRODER BROS CO 112013AA5 724 750000 PRN DEFINED 0 750000 0
BROOKFIELD PPTYS CORP COM 112900105 1139 38700 SH DEFINED 0 38700 0
BROOKLINE BANCORP INC DEL COM 11373M107 88 6200 SH DEFINED 0 6200 0
BROWN & BROWN INC COM 115236101 3207 105000 SH DEFINED 0 105000 0
BROWN FORMAN CORP CL B 115637209 2787 40200 SH DEFINED 0 40200 0
BUILDING MATLS HLDG CORP COM 120113105 3908 57300 SH DEFINED 0 57300 0
BUNGE LIMITED COM G16962105 592 10450 SH DEFINED 0 10200 250
BURLINGTON COAT FACTORY COM 121579106 2324 57800 SH DEFINED 0 57800 0
BURLINGTON NORTHN SANTA FE C COM 12189T104 3668 51800 SH DEFINED 0 51800 0
BURLINGTON RES INC COM 122014103 862 10000 SH DEFINED 0 10000 0
C H ROBINSON WORLDWIDE INC COM NEW 12541W209 13094 353600 SH DEFINED 0 353600 0
CABELAS INC COM 126804301 679 40900 SH DEFINED 0 40000 900
CABOT CORP COM 127055101 537 15000 SH DEFINED 0 15000 0
CACI INTL INC CL A 127190304 69 1200 SH DEFINED 0 1000 200
CADBURY SCHWEPPES PLC ADR 127209302 1034 27000 SH DEFINED 0 27000 0
CAL DIVE INTL INC COM 127914109 15246 424800 SH DEFINED 0 423600 1200
CALIFORNIA WTR SVC GROUP COM 130788102 768 20100 SH DEFINED 0 20100 0
CANADIAN NAT RES LTD COM 136385101 2158 43500 SH DEFINED 0 43500 0
CANADIAN NATL RY CO COM 136375102 1956 24450 SH DEFINED 0 24450 0
CANADIAN PAC RY LTD COM 13645T100 1080 25750 SH DEFINED 0 25750 0
CANON INC ADR 138006309 59 1000 SH DEFINED 0 1000 0
CAPITALSOURCE INC DBCV 3.500% 7/1 14055XAD4 192 200000 PRN DEFINED 0 200000 0
CAPITALSOURCE INC COM 14055X102 45 2000 SH DEFINED 0 2000 0
CAPTARIS INC COM 14071N104 18 5000 SH DEFINED 0 5000 0
CARAUSTAR INDS INC 140909AD4 510 500000 PRN DEFINED 0 500000 0
CARBO CERAMICS INC COM 140781105 729 12900 SH DEFINED 0 12900 0
CAREMARK RX INC COM 141705103 7886 152277 SH DEFINED 0 152277 0
CARLISLE COS INC COM 142339100 553 8000 SH DEFINED 0 8000 0
CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 138 100000 PRN DEFINED 0 100000 0
CARNIVAL CORP NOTE 10/2 143658AS1 89 100000 PRN DEFINED 0 100000 0
CARRIZO OIL & CO INC COM 144577103 136 5500 SH DEFINED 0 5500 0
CARTER INC COM 146229109 2719 46200 SH DEFINED 0 46200 0
CASCADE CORP COM 147195101 722 15400 SH DEFINED 0 15400 0
CASTLE A M & CO COM 148411101 391 17900 SH DEFINED 0 17900 0
CATERPILLAR FINL SVCS MTN 14912LZ46 243 250000 PRN DEFINED 0 250000 0
CATHAY GENERAL BANCORP COM 149150104 467 13000 SH DEFINED 0 13000 0
CATO CORP NEW CL A 149205106 1858 86600 SH DEFINED 0 86600 0
CAVCO INDS INC DEL COM 149568107 429 11200 SH DEFINED 0 11200 0
CB RICHARD ELLIS GROUP INC CL A 12497T101 942 16000 SH DEFINED 0 16000 0
CBL & ASSOC PPTYS INC COM 124830100 1825 46200 SH DEFINED 0 46200 0
CELGENE CORP COM 151020104 5035 77700 SH DEFINED 0 77700 0
CEMEX S A SPON ADR 5 ORD 151290889 2225 37500 SH DEFINED 0 37500 0
CENTER FINL CORP CALIF COM 15146E102 440 17500 SH DEFINED 0 17500 0
CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAC1 294 250000 PRN DEFINED 0 250000 0
CENTERPOINT PPTYS TR COM 151895109 49 1000 SH DEFINED 0 1000 0
CENTRAL EUROPEAN DIST CORP COM 153435102 2382 59350 SH DEFINED 0 57950 1400
CENTRAL EUROPEAN MEDIA ENTRP CL A NEW G20045202 811 14000 SH DEFINED 0 14000 0
CENTRAL GARDEN & PET CO COM 153527106 1879 40900 SH DEFINED 0 40900 0
CERADYNE INC COM 156710105 9305 212450 SH DEFINED 0 212450 0
CERNER CORP COM 156782104 12982 142800 SH DEFINED 0 142800 0
CERUS CORP COM 157085101 125 12300 SH DEFINED 0 12300 0
CHAMPION ENTERPRISES INC COM 158496109 6388 469000 SH DEFINED 0 469000 0
CHARLES & COLVARD LTD COM 159765106 450 22300 SH DEFINED 0 22300 0
CHARLES RIV LABS INTL INC COM 159864107 1740 41068 SH DEFINED 0 41068 0
CHARMING SHOPPES INC COM 161133103 145 11000 SH DEFINED 0 11000 0
CHARTER COMMUNICATIONS H 16117PAZ3 555 750000 PRN DEFINED 0 750000 0
CHATTEM INC COM 162456107 1568 43100 SH DEFINED 0 43100 0
CHECKFREE CORP NEW COM 162813109 7803 170000 SH DEFINED 0 170000 0
CHECKPOINT SYS INC COM 162825103 3700 150100 SH DEFINED 0 150100 0
CHEESECAKE FACTORY INC COM 163072101 3978 106400 SH DEFINED 0 106400 0
CHEMED CORP NEW COM 16359R103 4431 89200 SH DEFINED 0 89200 0
CHEMFIRST INC 16361A106 0 666 SH DEFINED 0 666 0
CHESAPEAKE ENERGY CORP COM 165167107 8504 268000 SH DEFINED 0 268000 0
CHESAPEAKE ENERGY CORP PFD CONV 165167842 97 1000 SH DEFINED 0 1000 0
CHESAPEAKE ENERGY CORP 165167883 296 150 SH DEFINED 0 150 0
CHEVRON CORP NEW COM 166764100 987 17380 SH DEFINED 0 16500 880
CHICAGO BRIDGE & IRON CO N V N Y REGISTRY SH 167250109 166 6600 SH DEFINED 0 6600 0
CHICAGO MERCANTILE HLDGS INC CL A 167760107 7975 21700 SH DEFINED 0 21700 0
CHICOS FAS INC COM 168615102 7310 166400 SH DEFINED 0 166400 0
CHIQUITA BRANDS INTL INC COM 170032809 500 25000 SH DEFINED 0 25000 0
CHOICE HOTELS INTL INC COM 169905106 7609 182200 SH DEFINED 0 182200 0
CHUBB CORP 171232507 281 8000 SH DEFINED 0 8000 0
CHURCH & DWIGHT INC DBCV 5.250% 8/1 171340AC6 301 250000 PRN DEFINED 0 250000 0
CHURCH & DWIGHT INC COM 171340102 3040 92050 SH DEFINED 0 89800 2250
CIBER INC SDCV 2.875%12/1 17163BAB8 1146 1350000 PRN DEFINED 0 1350000 0
CIGNA CORP COM 125509109 2860 25600 SH DEFINED 0 25600 0
CIMAREX ENERGY CO COM 171798101 4226 98250 SH DEFINED 0 97600 650
CISCO SYS INC COM 17275R102 1318 77000 SH DEFINED 0 77000 0
CIT GROUP INC COM 125581108 3107 60000 SH DEFINED 0 60000 0
CITIGROUP INC COM 172967101 1616 33299 SH DEFINED 0 31299 2000
CITY NATL CORP COM 178566105 4202 58000 SH DEFINED 0 58000 0
CKE RESTAURANTS INC COM 12561E105 946 70000 SH DEFINED 0 70000 0
CLAIRES STORES INC COM 179584107 4424 151400 SH DEFINED 0 149400 2000
CLARCOR INC COM 179895107 4041 136000 SH DEFINED 0 136000 0
CLEAR CHANNEL COMMUNICATIONS COM 184502102 22 700 SH DEFINED 0 700 0
CNF INC COM 12612W104 2487 44500 SH DEFINED 0 44500 0
COACH INC COM 189754104 11496 344800 SH DEFINED 0 344800 0
COCA COLA CO COM 191216100 24 600 SH DEFINED 0 600 0
COEUR D ALENE MINES CORP IDA COM 192108108 328 82000 SH DEFINED 0 82000 0
COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 8135 161830 SH DEFINED 0 160280 1550
COGNOS INC COM 19244C109 746 21500 SH DEFINED 0 20800 700
COLDWATER CREEK INC COM 193068103 4347 142400 SH DEFINED 0 142400 0
COLGATE PALMOLIVE CO COM 194162103 99 1800 SH DEFINED 0 1800 0
COLONIAL BANCGROUP INC COM 195493309 1536 64500 SH DEFINED 0 64500 0
COLUMBUS MCKINNON CORP N Y COM 199333105 44 2000 SH DEFINED 0 2000 0
COMCAST CORP NEW CL A SPL 20030N200 123 4800 SH DEFINED 0 3900 900
COMMERCE BANCORP INC NJ COM 200519106 75 2186 SH DEFINED 0 2186 0
COMMERCE BANCSHARES INC COM 200525103 2176 41749 SH DEFINED 0 41749 0
COMMERCE GROUP INC MASS COM 200641108 1753 30600 SH DEFINED 0 30600 0
COMMONWEALTH TEL ENTERPRISES NOTE 3.250% 7/1 203349AB1 196 200000 PRN DEFINED 0 200000 0
COMMUNITY HEALTH SYS INC NEW COM 203668108 2840 74062 SH DEFINED 0 74062 0
COMMUNITY HEALTH SYS INC NEW NOTE 4.250%10/1 203668AA6 191 167000 PRN DEFINED 0 167000 0
COMPAGNIE GENERALE DES GE 204386AB2 264 250000 PRN DEFINED 0 250000 0
COMPANHIA DE BEBIDAS DAS AME SPON ADR PFD 20441W203 1103 29000 SH DEFINED 0 29000 0
COMPANIA DE TELECOMUNICS CHI SPON ADR NEW 204449300 326 37000 SH DEFINED 0 37000 0
COMPASS BANCSHARES INC COM 20449H109 3378 70000 SH DEFINED 0 70000 0
COMPUCREDIT CORP COM 20478N100 2519 65500 SH DEFINED 0 65500 0
COMPUTER PROGRAMS & SYS INC COM 205306103 518 12500 SH DEFINED 0 12500 0
COMPUTER SCIENCES CORP COM 205363104 558 11025 SH DEFINED 0 10700 325
COMPUWARE CORP COM 205638109 224 25000 SH DEFINED 0 25000 0
COMSTOCK RES INC COM NEW 205768203 1281 42000 SH DEFINED 0 42000 0
COMTECH TELECOMMUNICATIONS C COM NEW 205826209 3183 104200 SH DEFINED 0 104200 0
COMVERSE TECHNOLOGY INC DEBT 5/1 205862AL9 377 250000 PRN DEFINED 0 250000 0
CONAGRA FOODS INC COM 205887102 775 38200 SH DEFINED 0 38200 0
CONOCOPHILLIPS COM 20825C104 4189 72000 SH DEFINED 0 72000 0
CONSECO INC PFD B CV 5.50% 208464867 142 5000 SH DEFINED 0 5000 0
CONSOL ENERGY INC COM 20854P109 3657 56100 SH DEFINED 0 56100 0
CONSOLIDATED WATER CO INC ORD G23773107 110 5400 SH DEFINED 0 5400 0
CONSOLIDATION COAL CO 210297AB3 772 750000 PRN DEFINED 0 750000 0
CONSTELLATION BRANDS INC CL A 21036P108 2919 111300 SH DEFINED 0 110000 1300
CONSTELLATION BRANDS INC PFD 1/40 A5.75 21036P306 1054 27000 SH DEFINED 0 27000 0
CONVERGYS CORP COM 212485106 396 25000 SH DEFINED 0 25000 0
COOPER CAMERON CORP COM 216640102 41 1000 SH DEFINED 0 1000 0
COOPER CAMERON CORP DBCV 1.500% 5/1 216640AE2 326 250000 PRN DEFINED 0 250000 0
CORE LABORATORIES N V COM N22717107 22 600 SH DEFINED 0 0 600
CORNING INC COM 219350105 14051 714700 SH DEFINED 0 714700 0
CORPORATE EXECUTIVE BRD CO COM 21988R102 5777 64400 SH DEFINED 0 64400 0
CORRECTIONS CORP AMER NEW COM NEW 22025Y407 1664 37000 SH DEFINED 0 37000 0
CORUS BANKSHARES INC COM 220873103 371 6600 SH DEFINED 0 6600 0
COSI INC COM 22122P101 282 34000 SH DEFINED 0 34000 0
COSTCO COMPANIES INC NOTE 8/1 22160QAC6 112 100000 PRN DEFINED 0 100000 0
COSTCO WHSL CORP NEW COM 22160K105 213 4300 SH DEFINED 0 4300 0
COVANCE INC COM 222816100 4641 95600 SH DEFINED 0 95600 0
COVANTA HLDG CORP COM 22282E102 723 48000 SH DEFINED 0 48000 0
COVENTRY HEALTH CARE INC COM 222862104 5050 88650 SH DEFINED 0 88650 0
CP HOLDRS DEP RCPTS CP 12616K106 7231 65500 SH DEFINED 0 65500 0
CRA INTL INC COM 12618T105 486 10200 SH DEFINED 0 10200 0
CRESCENT REAL ESTATE EQUI 22575UAB8 263 250000 PRN DEFINED 0 250000 0
CRESCENT REAL ESTATE EQUITIE COM 225756105 793 40000 SH DEFINED 0 40000 0
CROWN CASTLE INTL CORP COM 228227104 1668 62000 SH DEFINED 0 62000 0
CRUCELL N V SPONSORED ADR 228769105 461 18000 SH DEFINED 0 18000 0
CSG SYS INTL INC 126349AA7 195 200000 PRN DEFINED 0 200000 0
CSX CORP COM 126408103 8377 165000 SH DEFINED 0 165000 0
CSX CORP DBCV 10/3 126408GA5 287 300000 PRN DEFINED 0 300000 0
CUBIC CORP COM 229669106 893 44750 SH DEFINED 0 41900 2850
CULLEN FROST BANKERS INC COM 229899109 929 17300 SH DEFINED 0 17300 0
CUMMINS CAP TR I 231029307 190 2000 SH DEFINED 0 2000 0
CUMMINS INC COM 231021106 99 1100 SH DEFINED 0 1100 0
CURATIVE HEALTH SRVCS INC 23126WAB6 458 500000 PRN DEFINED 0 500000 0
CURTISS WRIGHT CORP COM 231561101 1092 20000 SH DEFINED 0 20000 0
CUTERA INC COM 232109108 158 6000 SH DEFINED 0 6000 0
CVS CORP COM 126650100 1802 68200 SH DEFINED 0 68200 0
CYPRESS SEMICONDUCTOR CORP COM 232806109 596 41800 SH DEFINED 0 41000 800
CYTYC CORP COM 232946103 1242 44000 SH DEFINED 0 44000 0
CYTYC CORP NOTE 2.250% 3/1 232946AB9 110 100000 PRN DEFINED 0 100000 0
DADE BEHRING HLDGS INC COM 23342J206 4792 117200 SH DEFINED 0 117200 0
DAKTRONICS INC COM 234264109 503 17000 SH DEFINED 0 17000 0
DANAHER CORP DEL COM 235851102 5098 91400 SH DEFINED 0 91400 0
DANAHER CORP DEL NOTE 1/2 235851AF9 123 150000 PRN DEFINED 0 150000 0
DARDEN RESTAURANTS INC COM 237194105 3324 85500 SH DEFINED 0 85500 0
DAVITA INC COM 23918K108 6181 122056 SH DEFINED 0 122056 0
DEAN FOODS CO NEW COM 242370104 4401 116850 SH DEFINED 0 116850 0
DECODE GENETICS INC NOTE 3.500% 4/1 243586AB0 165 200000 PRN DEFINED 0 200000 0
DELHAIZE AMERICA INC 246688AD7 1508 1500000 PRN DEFINED 0 1500000 0
DELL INC COM 24702R101 198 6600 SH DEFINED 0 4400 2200
DELPHI FINL GROUP INC CL A 247131105 3299 71700 SH DEFINED 0 71700 0
DELTA PETE CORP COM NEW 247907207 174 8000 SH DEFINED 0 8000 0
DENBURY RES INC COM NEW 247916208 5545 243400 SH DEFINED 0 243400 0
DENTSPLY INTL INC NEW COM 249030107 3168 59000 SH DEFINED 0 59000 0
DESWELL INDS INC COM 250639101 15 1400 SH DEFINED 0 0 1400
DEUTSCHE TELEKOM AG SPONSORED ADR 251566105 499 30000 SH DEFINED 0 30000 0
DEVELOPERS DIVERSIFIED RLTY COM 251591103 160 3400 SH DEFINED 0 3400 0
DEVON ENERGY CORP NEW COM 25179M103 1849 29563 SH DEFINED 0 27988 1575
DICKS SPORTING GOODS INC COM 253393102 1293 38900 SH DEFINED 0 38900 0
DIEBOLD INC COM 253651103 1165 30650 SH DEFINED 0 30000 650
DILLARD DEPT STORES INC 254063AQ3 260 250000 PRN DEFINED 0 250000 0
DIME BANCORP INC NEW *W EXP 99/99/999 25429Q110 0 800 SH DEFINED 0 0 800
DIODES INC COM 254543101 2361 76050 SH DEFINED 0 76050 0
DISCOVERY HOLDING CO CL A COM 25468Y107 0 0 SH DEFINED 0 0 0
DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 250 250000 PRN DEFINED 0 250000 0
DJ ORTHOPEDICS INC COM 23325G104 2074 75200 SH DEFINED 0 75200 0
DOLLAR GEN CORP 256669AC6 1646 1500000 PRN DEFINED 0 1500000 0
DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 1392 38600 SH DEFINED 0 38600 0
DOMINION RES INC VA NEW COM 25746U109 1420 18400 SH DEFINED 0 18400 0
DONALDSON INC COM 257651109 1148 36100 SH DEFINED 0 36000 100
DONNELLEY R R & SONS CO COM 257867101 1409 41200 SH DEFINED 0 41200 0
DOVER CORP COM 260003108 97 2400 SH DEFINED 0 2400 0
DOW CHEM CO COM 260543103 495 11300 SH DEFINED 0 11000 300
DOW JONES CDX NA HY 3 TR 26056RAA6 1010 1000000 PRN DEFINED 0 1000000 0
DOW JONES CDX NA HY 3 TR 26056RAC2 1011 1000000 PRN DEFINED 0 1000000 0
DRESS BARN INC COM 261570105 9293 240700 SH DEFINED 0 240700 0
DREW INDS INC COM NEW 26168L205 880 31200 SH DEFINED 0 31200 0
DRS TECHNOLOGIES INC COM 23330X100 5476 106500 SH DEFINED 0 106200 300
DST SYS INC DEL DBCV 3.625% 8/1 233326AD9 239 200000 PRN DEFINED 0 200000 0
DST SYS INC DEL COM 233326107 90 1500 SH DEFINED 0 0 1500
DU PONT E I DE NEMOURS & CO COM 263534109 215 5050 SH DEFINED 0 5050 0
DUKE ENERGY CORP NOTE 1.750% 5/1 264399EJ1 175 150000 PRN DEFINED 0 150000 0
DUN & BRADSTREET CORP DEL NE COM 26483E100 3716 55500 SH DEFINED 0 55500 0
DYCOM INDS INC COM 267475101 1024 46525 SH DEFINED 0 45500 1025
E TRADE FINANCIAL CORP COM 269246104 12151 582500 SH DEFINED 0 582500 0
EAGLE MATERIALS INC COM 26969P108 5763 47100 SH DEFINED 0 47100 0
EASTMAN KODAK CO NOTE 3.375%10/1 277461BE8 143 150000 PRN DEFINED 0 150000 0
EASTMAN KODAK CO COM 277461109 772 33000 SH DEFINED 0 33000 0
EATON CORP COM 278058102 1811 27000 SH DEFINED 0 27000 0
EATON VANCE CORP COM NON VTG 278265103 1196 43700 SH DEFINED 0 43700 0
EBAY INC COM 278642103 2706 62600 SH DEFINED 0 62400 200
ECHOSTAR COMMUNICATIONS NEW CL A 278762109 12 450 SH DEFINED 0 0 450
ECOLAB INC COM 278865100 6093 168000 SH DEFINED 0 168000 0
EDO CORP COM 281347104 1304 48200 SH DEFINED 0 48200 0
EDUCATION MGMT CORP COM 28139T101 1897 56600 SH DEFINED 0 55100 1500
EDWARDS LIFESCIENCES CORP DBCV 3.875% 5/1 28176eab4 303 300000 PRN DEFINED 0 300000 0
EDWARDS LIFESCIENCES CORP COM 28176E108 291 7000 SH DEFINED 0 7000 0
ELECTRONIC ARTS INC COM 285512109 10 200 SH DEFINED 0 0 200
ELECTRONIC DATA SYS NEW NOTE 3.875% 7/1 285661AF1 150 150000 PRN DEFINED 0 150000 0
EMBRAER-EMPRESA BRASILEIRA D SP ADR PFD SHS 29081M102 1075 27500 SH DEFINED 0 27500 0
ENBRIDGE INC COM 29250N105 775 24800 SH DEFINED 0 24800 0
ENCANA CORP COM 292505104 1421 31475 SH DEFINED 0 29000 2475
ENCORE ACQUISITION CO COM 29255W100 288 9000 SH DEFINED 0 9000 0
ENCYSIVE PHARMACEUTICALS INC COM 29256X107 466 59000 SH DEFINED 0 59000 0
ENDURANCE SPECIALTY HLDGS LT SHS G30397106 645 18000 SH DEFINED 0 18000 0
ENERGEN CORP COM 29265N108 7380 203200 SH DEFINED 0 203200 0
ENERGIZER HLDGS INC COM 29266R108 2987 60000 SH DEFINED 0 60000 0
ENERGY CORP AMER 292660AC1 726 726000 PRN DEFINED 0 726000 0
ENGINEERED SUPPORT SYS INC COM 292866100 3434 82462 SH DEFINED 0 82462 0
ENPRO INDS INC COM 29355X107 1288 47800 SH DEFINED 0 47800 0
ENTERGY CORP NEW COM 29364G103 2883 42000 SH DEFINED 0 42000 0
ENZON INC 293904AA6 449 500000 PRN DEFINED 0 500000 0
EOG RES INC COM 26875P101 14131 192600 SH DEFINED 0 192600 0
EQUIFAX INC COM 294429105 931 24500 SH DEFINED 0 24000 500
EQUINIX INC COM NEW 29444U502 2058 50500 SH DEFINED 0 50500 0
EQUISTAR CHEMICALS LP / 29444NAF9 543 500000 PRN DEFINED 0 500000 0
EQUITABLE RES INC COM 294549100 6054 165000 SH DEFINED 0 165000 0
ESCO TECHNOLOGIES INC COM 296315104 4138 93000 SH DEFINED 0 93000 0
ESSEX PPTY TR INC COM 297178105 212 2300 SH DEFINED 0 2300 0
ESTERLINE TECHNOLOGIES CORP COM 297425100 2559 68800 SH DEFINED 0 68800 0
EURONET WORLDWIDE INC COM 298736109 1915 68900 SH DEFINED 0 68900 0
EVEREST RE GROUP LTD COM G3223R108 6744 67200 SH DEFINED 0 67200 0
EVERGREEN SOLAR INC COM 30033R108 75 31000 SH DEFINED 0 30000 1000
EXELON CORP COM 30161N101 4384 82500 SH DEFINED 0 82500 0
EXPEDITORS INTL WASH INC COM 302130109 10052 148900 SH DEFINED 0 148700 200
EXPRESS SCRIPTS INC COM 302182100 15713 187500 SH DEFINED 0 187500 0
EXPRESSJET HOLDINGS INC NOTE 4.250% 8/0 30218UAB4 1439 1750000 PRN DEFINED 0 1750000 0
F5 NETWORKS INC COM 315616102 938 16400 SH DEFINED 0 16400 0
FACTSET RESH SYS INC COM 303075105 1344 32650 SH DEFINED 0 32650 0
FAIR ISAAC CORP COM 303250104 7553 171000 SH DEFINED 0 171000 0
FAIR ISAAC CORP NOTE 1.500% 8/1 303250AD6 111 100000 PRN DEFINED 0 100000 0
FAIRCHILD SEMICONDUCTOR CORP NOTE 5.000%11/0 303727AJ0 244 250000 PRN DEFINED 0 250000 0
FAIRMONT HOTELS RESORTS INC COM 305204109 37 875 SH DEFINED 0 875 0
FASTENAL CO COM 311900104 12944 330800 SH DEFINED 0 330800 0
FEDERAL FARM CR BKS CONS 31331S2L6 0 2500000 PRN DEFINED 0 2500000 0
FEDERAL HOME LN BKS 3133X6TG1 2938 3000000 PRN DEFINED 0 3000000 0
FEDERAL HOME LN BKS 3133XCSA2 0 4000000 PRN DEFINED 0 4000000 0
FEDERAL HOME LN BKS 3133XC4D2 0 2000000 PRN DEFINED 0 2000000 0
FEDERAL HOME LN BKS 3133XAU96 0 3000000 PRN DEFINED 0 3000000 0
Federal Home LN BKS 3133XAMY0 978 1000000 PRN DEFINED 0 0 1000000
FEDERAL HOME LN BKS 3133XAGY7 7336 7450000 PRN DEFINED 0 7450000 0
FEDERAL HOME LN BKS 3133X8BW1 1970 2000000 PRN DEFINED 0 2000000 0
FEDERAL HOME LN BKS 3133X76B5 1972 2000000 PRN DEFINED 0 2000000 0
FEDERAL HOME LN BKS 3133X6RV0 3000 3000000 PRN DEFINED 0 3000000 0
FEDERAL HOME LN BKS 3133X6MV5 8885 9000000 PRN DEFINED 0 9000000 0
FEDERAL HOME LN BKS 3133X4ZC8 237 250000 PRN DEFINED 0 250000 0
FEDERAL HOME LN BKS 3133X4XR7 2004 2000000 PRN DEFINED 0 2000000 0
FEDERAL HOME LN BKS 3133X4VT5 3893 4000000 PRN DEFINED 0 4000000 0
FEDERAL HOME LN BKS 3133X06Q7 971 1000000 PRN DEFINED 0 1000000 0
FEDERAL HOME LN BKS 3133MQSS4 8938 9000000 PRN DEFINED 0 9000000 0
FEDERAL HOME LN BKS 3133X82V3 978 1000000 PRN DEFINED 0 1000000 0
FEDERAL HOME LN MTG CORP 3134A4EW0 2084 2000000 PRN DEFINED 0 2000000 0
FEDERAL HOME LN MTG CORP 3134A4RU0 3948 4000000 PRN DEFINED 0 4000000 0
FEDERAL HOME LN MTG CORP 3134A4SA3 2947 3000000 PRN DEFINED 0 3000000 0
FEDERAL HOME LN MTG CORP 3134A4QD9 4073 4000000 PRN DEFINED 0 4000000 0
FEDERAL HOME LN MTG CORP 3128X3H55 0 4000000 PRN DEFINED 0 4000000 0
FEDERAL HOME LN MTG CORP 3134A4NW0 6007 6000000 PRN DEFINED 0 6000000 0
FEDERAL HOME LN MTG CORP 3134A4JT2 2623 2500000 PRN DEFINED 0 2500000 0
FEDERAL NATL MTG ASSN 313586810 276 3 SH DEFINED 0 3 0
FEDERAL NATL MTG ASSN 31359MDU4 617 600000 PRN DEFINED 0 600000 0
FEDERAL NATL MTG ASSN 31359MFG3 1090 1000000 PRN DEFINED 0 1000000 0
FEDERAL NATL MTG ASSN 31359MMP5 8047 8000000 PRN DEFINED 0 8000000 0
FEDERAL NATL MTG ASSN 31359MQM8 5829 6000000 PRN DEFINED 0 6000000 0
FEDERAL NATL MTG ASSN MTN 3136F54B4 3940 4000000 PRN DEFINED 0 4000000 0
FEDERATED DEPT STORES INC DE COM 31410H101 1293 19500 SH DEFINED 0 19500 0
FEDEX CORP COM 31428X106 4389 42450 SH DEFINED 0 42450 0
FERRELLGAS PARTNERS L.P. UNIT LTD PART 315293100 433 21000 SH DEFINED 0 21000 0
FHLMC REMIC SERIES 2624 31393RHC7 618 4000000 PRN DEFINED 0 4000000 0
FIDELITY BANKSHARES INC NEW COM 31604Q107 298 9100 SH DEFINED 0 9100 0
FIDELITY NATL FINL INC COM 316326107 4711 128056 SH DEFINED 0 128056 0
FIDELITY NATL TITLE GROUP IN CL A 31620R105 546 22408 SH DEFINED 0 22408 0
FIFTH THIRD BANCORP COM 316773100 78 2081 SH DEFINED 0 2081 0
FINANCIAL FED CORP COM 317492106 1845 41500 SH DEFINED 0 41500 0
FINANCIAL FED CORP DBCV 2.000% 4/1 317492AF3 216 200000 PRN DEFINED 0 200000 0
FIRST ADVANTAGE CORP CL A 31845F100 69 2600 SH DEFINED 0 2600 0
FIRST AMERN CORP CALIF COM 318522307 557 12300 SH DEFINED 0 12000 300
FIRST CMNTY BANCORP CALIF COM 31983B101 816 15000 SH DEFINED 0 15000 0
FIRST DATA CORP 319963AK0 237 250000 PRN DEFINED 0 250000 0
FIRST FINL BANKSHARES COM 32020R109 278 7916 SH DEFINED 0 7916 0
FIRST MARBLEHEAD CORP COM 320771108 36 1100 SH DEFINED 0 400 700
FIRST MIDWEST BANCORP DEL COM 320867104 2189 62423 SH DEFINED 0 62423 0
FIRST REP BK SAN FRANCISCO COM 336158100 2167 58550 SH DEFINED 0 58550 0
FIRSTFED FINL CORP COM 337907109 2083 38200 SH DEFINED 0 38200 0
FISERV INC COM 337738108 117 2700 SH DEFINED 0 2250 450
FISHER SCIENTIFIC INTL INC COM NEW 338032204 7398 119600 SH DEFINED 0 119600 0
FLIR SYS INC COM 302445101 4752 212800 SH DEFINED 0 212800 0
FLORIDA EAST COAST INDS COM 340632108 424 10000 SH DEFINED 0 10000 0
FLORIDA ROCK INDS INC COM 341140101 6370 129850 SH DEFINED 0 129850 0
FLOWERS FOODS INC COM 343498101 4529 164350 SH DEFINED 0 164350 0
FLOWSERVE CORP COM 34354P105 1108 28000 SH DEFINED 0 28000 0
FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 357 250000 PRN DEFINED 0 250000 0
FM PL#802813 31405X3W1 0 2785530 PRN DEFINED 0 2785530 0
FMC TECHNOLOGIES INC COM 30249U101 5313 123800 SH DEFINED 0 123800 0
FNMA POOL 380188 31377LJ95 0 10000000 PRN DEFINED 0 10000000 0
FNMA TBA 30YR 01F0506B7 2887 3000000 PRN DEFINED 0 3000000 0
FORD MTR CO CAP TR I 345343206 78 2000 SH DEFINED 0 2000 0
FORD MTR CO CAP TR II PFD TR CV6.5% 345395206 83 3000 SH DEFINED 0 3000 0
FORDING INC 345425100 60 1743 SH DEFINED 0 1743 0
FOREST CITY ENTERPRISES INC CL A 345550107 971 25600 SH DEFINED 0 25600 0
FOREST LABS INC COM 345838106 1064 26150 SH DEFINED 0 26150 0
FORTUNE BRANDS INC COM 349631101 3320 42550 SH DEFINED 0 41800 750
FORWARD AIR CORP COM 349853101 10583 288750 SH DEFINED 0 288750 0
FORWARD INDS INC N Y COM NEW 349862300 205 23000 SH DEFINED 0 23000 0
FPL GROUP INC COM 302571104 0 1 SH DEFINED 0 1 0
FPL GROUP INC PFD 302571401 372 6000 SH DEFINED 0 6000 0
FRANKLIN RES INC COM 354613101 9222 98100 SH DEFINED 0 98100 0
FREEPORT-MCMORAN COPPER & 35671D790 234 200 SH DEFINED 0 200 0
FREEPORT-MCMORAN COPPER & GO NOTE 7.000% 2/1 35671DAK1 180 100000 PRN DEFINED 0 100000 0
FREESCALE SEMICONDUCTOR INC CL B 35687M206 15 589 SH DEFINED 0 534 55
FRESH DEL MONTE PRODUCE INC ORD G36738105 455 20000 SH DEFINED 0 20000 0
FRONTIER OIL CORP COM 35914P105 3809 101500 SH DEFINED 0 101000 500
FULTON FINL CORP PA COM 360271100 903 51327 SH DEFINED 0 51327 0
GALLAGHER ARTHUR J & CO COM 363576109 93 3000 SH DEFINED 0 3000 0
GAMESTOP CORP NEW CL A 36467W109 2679 84200 SH DEFINED 0 83400 800
GANNETT INC COM 364730101 909 15000 SH DEFINED 0 15000 0
GARDNER DENVER INC COM 365558105 5078 103000 SH DEFINED 0 103000 0
GATX CORP NOTE 7.500% 2/0 361448AC7 292 250000 PRN DEFINED 0 250000 0
GAYLORD ENTMT CO NEW COM 367905106 3936 90300 SH DEFINED 0 90300 0
GENENTECH INC COM NEW 368710406 15392 166400 SH DEFINED 0 166400 0
GENERAL DYNAMICS CORP COM 369550108 60 530 SH DEFINED 0 0 530
GENERAL ELEC CAP CORP 369622485 851 36700 SH DEFINED 0 36700 0
GENERAL ELEC CAP CORP MT 36962GXZ2 176 150000 PRN DEFINED 0 150000 0
GENERAL ELEC CAP CORP MTN 36962GE75 244 250000 PRN DEFINED 0 250000 0
GENERAL ELECTRIC CO COM 369604103 2770 79025 SH DEFINED 0 76000 3025
GENERAL GROWTH PPTYS INC COM 370021107 2241 47700 SH DEFINED 0 47700 0
GENERAL MLS INC COM 370334104 1359 27550 SH DEFINED 0 27000 550
GENESCO INC COM 371532102 4213 108600 SH DEFINED 0 108600 0
GENESEE & WYO INC CL A 371559105 2981 79400 SH DEFINED 0 79400 0
GENESIS HEALTHCARE CORP COM 37184D101 267 7300 SH DEFINED 0 7300 0
GENESIS MICROCHIP INC DEL COM 37184C103 1067 59000 SH DEFINED 0 59000 0
GENLYTE GROUP INC COM 372302109 2068 38600 SH DEFINED 0 38600 0
GENWORTH FINL INC COM CL A 37247D106 726 21000 SH DEFINED 0 21000 0
GENWORTH FINL INC 37247D304 304 8000 SH DEFINED 0 8000 0
GENZYME CORP COM 372917104 2612 36900 SH DEFINED 0 36700 200
GENZYME CORP NOTE 1.250%12/0 372917AN4 282 250000 PRN DEFINED 0 250000 0
GEON CO 37246WAC9 456 500000 PRN DEFINED 0 500000 0
GETTY IMAGES INC COM 374276103 3428 38400 SH DEFINED 0 38400 0
GIANT INDS INC COM 374508109 743 14300 SH DEFINED 0 14300 0
GILDAN ACTIVEWEAR INC COM 375916103 831 19400 SH DEFINED 0 19400 0
GILEAD SCIENCES INC COM 375558103 11476 218300 SH DEFINED 0 218300 0
GLACIER BANCORP INC NEW COM 37637Q105 547 18218 SH DEFINED 0 18218 0
GLADSTONE COML CORP COM 376536108 99 6000 SH DEFINED 0 6000 0
GLOBAL PMTS INC COM 37940X102 7448 159800 SH DEFINED 0 159400 400
GLOBAL SIGNAL INC COM 37944Q103 259 6000 SH DEFINED 0 6000 0
GMH CMNTYS TR COM 36188G102 333 21500 SH DEFINED 0 21500 0
GMX RES INC COM 38011M108 144 4000 SH DEFINED 0 4000 0
GNMA PASS-THRU M SINGLE F 36202EB32 650 665113 PRN DEFINED 0 0 665113
GNMA PASS-THRU M SINGLE F 36202EBN8 532 544562 PRN DEFINED 0 0 544562
GNMA PASS-THRU X SINGLE F 36290YF60 495 501154 PRN DEFINED 0 0 501154
GOLD KIST INC 380616AA0 551 500000 PRN DEFINED 0 500000 0
GOLDCORP INC NEW COM 380956409 446 20000 SH DEFINED 0 20000 0
GOLDEN WEST FINL CORP DEL COM 381317106 7405 112200 SH DEFINED 0 112200 0
GOLDMAN SACHS GROUP INC 38141GDB7 250 250000 PRN DEFINED 0 250000 0
GOODYEAR TIRE & RUBR CO COM 382550101 9752 561100 SH DEFINED 0 561100 0
GOODYEAR TIRE & RUBR CO 382550AQ4 234 150000 PRN DEFINED 0 150000 0
GOOGLE INC CL A 38259P508 2074 5000 SH DEFINED 0 5000 0
GRACO INC COM 384109104 4559 124975 SH DEFINED 0 124975 0
GRAHAM CORP COM 384556106 72 3200 SH DEFINED 0 3200 0
GRANITE CONSTR INC COM 387328107 144 4000 SH DEFINED 0 4000 0
GREEN MTN COFFEE ROASTERS IN COM 393122106 97 2400 SH DEFINED 0 2400 0
GRIFFON CORP COM 398433102 726 30500 SH DEFINED 0 30500 0
GTECH HLDGS CORP COM 400518106 508 16000 SH DEFINED 0 16000 0
GUESS INC COM 401617105 15272 429000 SH DEFINED 0 429000 0
GUITAR CTR MGMT INC COM 402040109 4191 83800 SH DEFINED 0 83800 0
GULFMARK OFFSHORE INC 402629AC3 618 600000 PRN DEFINED 0 600000 0
GYMBOREE CORP COM 403777105 10062 430000 SH DEFINED 0 430000 0
HAEMONETICS CORP COM 405024100 5907 120900 SH DEFINED 0 120900 0
HALLIBURTON CO COM 406216101 31 500 SH DEFINED 0 500 0
HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 599 350000 PRN DEFINED 0 350000 0
HANCOCK HLDG CO COM 410120109 1104 29200 SH DEFINED 0 29200 0
HANMI FINL CORP COM 410495105 1050 58800 SH DEFINED 0 58800 0
HANOVER COMPRESSOR CAP TR 41076M302 197 4000 SH DEFINED 0 4000 0
HANOVER INS GROUP INC COM 410867105 21 500 SH DEFINED 0 500 0
HANSEN NAT CORP COM 411310105 8117 103000 SH DEFINED 0 103000 0
HARBOR FLA BANCSHARES INC COM 411901101 1375 37100 SH DEFINED 0 37100 0
HARLEY DAVIDSON INC COM 412822108 21 400 SH DEFINED 0 200 200
HARMAN INTL INDS INC COM 413086109 8826 90200 SH DEFINED 0 90200 0
HARMONIC INC COM 413160102 73 15000 SH DEFINED 0 15000 0
HARMONY GOLD MNG LTD SPONSORED ADR 413216300 522 40000 SH DEFINED 0 40000 0
HARRAHS ENTMT INC COM 413619107 3208 45000 SH DEFINED 0 45000 0
HARRIS CORP DEL DBCV 3.500% 8/1 413875AH8 193 100000 PRN DEFINED 0 100000 0
HARRIS CORP DEL COM 413875105 3221 74900 SH DEFINED 0 74900 0
HARSCO CORP COM 415864107 3666 54300 SH DEFINED 0 54300 0
HARTE-HANKS INC COM 416196103 2437 92350 SH DEFINED 0 92350 0
HARTFORD FINL 7% CVT PFD 416515500 386 5000 SH DEFINED 0 5000 0
HASBRO INC COM 418056107 404 20000 SH DEFINED 0 20000 0
HASBRO INC DBCV 2.750%12/0 418056AN7 265 250000 PRN DEFINED 0 250000 0
HCA INC COM 404119109 126 2500 SH DEFINED 0 2500 0
HCC INS HLDGS INC COM 404132102 4307 145100 SH DEFINED 0 145100 0
HDFC BANK LTD ADR REPS 3 SHS 40415F101 931 18300 SH DEFINED 0 18300 0
HEADWATERS INC 42210PAA0 131 100000 PRN DEFINED 0 100000 0
HEADWATERS INC COM 42210P102 1014 28600 SH DEFINED 0 25900 2700
HEALTH CARE REIT INC 42217K403 994 40000 SH DEFINED 0 40000 0
HEALTH NET INC COM 42222G108 1031 20000 SH DEFINED 0 20000 0
HEALTHCARE SVCS GRP INC COM 421906108 470 22700 SH DEFINED 0 22700 0
HEALTHEXTRAS INC COM 422211102 2314 92200 SH DEFINED 0 92200 0
HEARTLAND EXPRESS INC COM 422347104 1773 87400 SH DEFINED 0 87400 0
HELEN OF TROY CORP LTD COM G4388N106 10 650 SH DEFINED 0 250 400
HERBALIFE LTD COM USD SHS G4412G101 2319 71300 SH DEFINED 0 71300 0
HERSHEY CO COM 427866108 2597 47000 SH DEFINED 0 47000 0
HEWLETT PACKARD CO COM 428236103 14372 502000 SH DEFINED 0 502000 0
HEXCEL CORP NEW COM 428291108 1498 83000 SH DEFINED 0 83000 0
HIBBETT SPORTING GOODS INC COM 428565105 2724 95662 SH DEFINED 0 95662 0
HILTON HOTELS CORP 432848AS8 1095 1000000 PRN DEFINED 0 1000000 0
HNI CORP COM 404251100 385 7000 SH DEFINED 0 7000 0
HOLLY CORP COM PAR $0.01 435758305 589 10000 SH DEFINED 0 10000 0
HOLOGIC INC COM 436440101 5445 143600 SH DEFINED 0 143600 0
HOME DEPOT INC COM 437076102 9059 223800 SH DEFINED 0 223400 400
HONEYWELL INTL INC COM 438516106 48 1300 SH DEFINED 0 700 600
HORMEL FOODS CORP COM 440452100 490 15000 SH DEFINED 0 15000 0
HOSPIRA INC COM 441060100 1159 27100 SH DEFINED 0 27100 0
HOST MARRIOTT FINL TR 441079407 359 5727 SH DEFINED 0 5727 0
HOST MARRIOTT L P 44108EAT5 292 250000 PRN DEFINED 0 250000 0
HSBC HLDGS PLC SPON ADR NEW 404280406 841 10450 SH DEFINED 0 10150 300
HUANENG PWR INTL INC SPON ADR N 443304100 786 30000 SH DEFINED 0 30000 0
HUB GROUP INC CL A 443320106 1506 42600 SH DEFINED 0 42600 0
HUB INTERNATIONAL LTD COM 44332P101 346 13400 SH DEFINED 0 13400 0
HUDSON CITY BANCORP COM 443683107 2032 167673 SH DEFINED 0 167673 0
HUDSON HIGHLAND GROUP INC COM 443792106 326 18800 SH DEFINED 0 18800 0
HUGHES SUPPLY INC COM 444482103 1470 41000 SH DEFINED 0 41000 0
HUMANA INC COM 444859102 3817 70250 SH DEFINED 0 70000 250
HUNT J B TRANS SVCS INC COM 445658107 4899 216400 SH DEFINED 0 216400 0
HUNTINGTON BANCSHARES INC COM 446150104 2090 88000 SH DEFINED 0 88000 0
HUNTSMAN CORP PFD MND CV 5% 447011206 1117 27600 SH DEFINED 0 26400 1200
HURCO COMPANIES INC COM 447324104 361 11700 SH DEFINED 0 11700 0
HYDRIL COM 448774109 1797 28700 SH DEFINED 0 28700 0
HYPERION SOLUTIONS CORP COM 44914M104 1730 48300 SH DEFINED 0 48300 0
IASIS HEALTHCARE CORP 450725AB2 533 500000 PRN DEFINED 0 500000 0
IBERIABANK CORP COM 450828108 638 12500 SH DEFINED 0 12500 0
ICICI BK LTD ADR 45104G104 1843 64000 SH DEFINED 0 64000 0
IDENTIX INC COM 451906101 251 50000 SH DEFINED 0 50000 0
IDEX CORP COM 45167R104 4360 106050 SH DEFINED 0 106050 0
IDEXX LABS INC COM 45168D104 4797 66650 SH DEFINED 0 66650 0
IHOP CORP COM 449623107 1360 29000 SH DEFINED 0 29000 0
IMCO RECYCLING INC 449681AC9 546 500000 PRN DEFINED 0 500000 0
IMMUCOR INC COM 452526106 2317 99175 SH DEFINED 0 99175 0
INCO LTD COM 453258402 1303 29900 SH DEFINED 0 28200 1700
INCYTE CORP NOTE 3.500% 2/1 45337CAE2 230 300000 PRN DEFINED 0 300000 0
INDYMAC BANCORP INC COM 456607100 1623 41600 SH DEFINED 0 41600 0
INFOSYS TECHNOLOGIES LTD SPONSORED ADR 456788108 3598 44500 SH DEFINED 0 44500 0
ING GROEP N V SPONSORED ADR 456837103 696 20000 SH DEFINED 0 20000 0
INGERSOLL-RAND COMPANY LTD CL A G4776G101 161 4000 SH DEFINED 0 4000 0
INGRAM MICRO INC CL A 457153104 7294 366000 SH DEFINED 0 366000 0
INTEL CORP COM 458140100 15 600 SH DEFINED 0 0 600
INTERCHANGE FINL SVCS S B N COM 458447109 72 4200 SH DEFINED 0 4200 0
INTERGRAPH CORP COM 458683109 14684 294800 SH DEFINED 0 294800 0
INTERMAGNETICS GEN CORP COM 458771102 798 25000 SH DEFINED 0 25000 0
INTERMUNE INC NOTE 0.250% 3/0 45884XAC7 132 150000 PRN DEFINED 0 150000 0
INTERNATIONAL FLAVORS&FRAGRA COM 459506101 13 400 SH DEFINED 0 400 0
INTERNATIONAL GAME TECHNOLOG COM 459902102 117 3800 SH DEFINED 0 3800 0
INTERNET SEC SYS INC COM 46060X107 7416 354000 SH DEFINED 0 354000 0
INTERSIL CORP CL A 46069S109 10300 414000 SH DEFINED 0 414000 0
INTL PAPER CO COM 460146103 84 2500 SH DEFINED 0 2500 0
INTUITIVE SURGICAL INC COM NEW 46120E602 10589 90300 SH DEFINED 0 90300 0
INVESTMENT TECHNOLOGY GRP NE COM 46145F105 4891 138000 SH DEFINED 0 138000 0
INVITROGEN CORP NOTE 2.000% 8/0 46185RAF7 163 150000 PRN DEFINED 0 150000 0
INVITROGEN CORP COM 46185R100 37 550 SH DEFINED 0 250 300
IOS CAPITAL 462230AB9 1071 1043000 PRN DEFINED 0 1043000 0
IPSCO INC COM 462622101 2655 32000 SH DEFINED 0 32000 0
IRIS INTL INC COM 46270W105 125 5700 SH DEFINED 0 5700 0
IRON MTN INC COM 462846106 3690 87400 SH DEFINED 0 87400 0
ISLIP N Y UN FREE SCH DIS 464776MA8 33 30000 PRN DEFINED 0 0 30000
ISPAT INLAND ULC 46489NAB8 818 750000 PRN DEFINED 0 750000 0
ITRON INC COM 465741106 14146 353300 SH DEFINED 0 353300 0
ITT EDUCATIONAL SERVICES INC COM 45068B109 59 1000 SH DEFINED 0 0 1000
ITT INDS INC IND COM 450911102 8719 84800 SH DEFINED 0 84800 0
IVANHOE MINES LTD COM 46579N103 431 60000 SH DEFINED 0 60000 0
J & J SNACK FOODS CORP COM 466032109 95 1600 SH DEFINED 0 1600 0
J2 GLOBAL COMMUNICATIONS INC COM NEW 46626E205 543 12700 SH DEFINED 0 12700 0
JABIL CIRCUIT INC COM 466313103 10797 291100 SH DEFINED 0 291100 0
JACK IN THE BOX INC COM 466367109 363 10400 SH DEFINED 0 10400 0
JACOBS ENGR GROUP INC DEL COM 469814107 4215 62100 SH DEFINED 0 62100 0
JARDEN CORP COM 471109108 6556 217450 SH DEFINED 0 217450 0
JLG INDS INC COM 466210101 15287 334800 SH DEFINED 0 334800 0
JLG INDS INC 466210AB7 528 500000 PRN DEFINED 0 500000 0
JOHNSON & JOHNSON COM 478160104 4544 75600 SH DEFINED 0 75000 600
JOHNSON CTLS INC COM 478366107 7437 102000 SH DEFINED 0 102000 0
JOS A BANK CLOTHIERS INC COM 480838101 3547 81700 SH DEFINED 0 81700 0
JOURNAL COMMUNICATIONS INC CL A 481130102 42 3000 SH DEFINED 0 3000 0
JOY GLOBAL INC COM 481165108 6267 156675 SH DEFINED 0 155550 1125
JUNIPER NETWORKS INC NOTE 6/1 48203RAC8 119 100000 PRN DEFINED 0 100000 0
JUNIPER NETWORKS INC COM 48203R104 6824 306000 SH DEFINED 0 306000 0
K-SWISS INC CL A 482686102 3299 101700 SH DEFINED 0 101700 0
K2 INC COM 482732104 303 30000 SH DEFINED 0 30000 0
KANSAS CITY SOUTHERN COM NEW 485170302 3591 147000 SH DEFINED 0 147000 0
KEANE INC COM 486665102 121 11000 SH DEFINED 0 11000 0
KELLWOOD CO DBCV 3.500% 6/1 488044AF5 1196 1500000 PRN DEFINED 0 1500000 0
KERR MCGEE CORP COM 492386107 151 1659 SH DEFINED 0 1526 133
KERZNER INTERNATIONAL LTD SHS P6065Y107 2750 40000 SH DEFINED 0 40000 0
KEYCORP NEW COM 493267108 724 22000 SH DEFINED 0 22000 0
KEYSTONE AUTOMOTIVE INDS INC COM 49338N109 220 7000 SH DEFINED 0 7000 0
KINDER MORGAN ENERGY PARTNER UT LTD PARTNER 494550106 19 400 SH DEFINED 0 0 400
KINDER MORGAN INC KANS COM 49455P101 3218 35000 SH DEFINED 0 35000 0
KING PHARMACEUTICALS INC COM 495582108 7 400 SH DEFINED 0 0 400
KING PHARMACEUTICALS INC DBCV 2.750%11/1 495582AG3 777 800000 PRN DEFINED 0 800000 0
KIRBY CORP COM 497266106 3855 73900 SH DEFINED 0 73900 0
KNIGHT TRANSN INC COM 499064103 3271 157800 SH DEFINED 0 157800 0
KNOT INC COM 499184109 69 6000 SH DEFINED 0 6000 0
KORN FERRY INTL COM NEW 500643200 1542 82500 SH DEFINED 0 82500 0
KOS PHARMACEUTICALS INC COM 500648100 1273 24600 SH DEFINED 0 24600 0
KRAFT FOODS INC CL A 50075N104 10 350 SH DEFINED 0 0 350
KT CORP SPONSORED ADR 48268K101 6 300 SH DEFINED 0 0 300
KYPHON INC COM 501577100 5108 125100 SH DEFINED 0 125100 0
L-3 COMMUNICATIONS HLDGS 502424AE4 148 150000 PRN DEFINED 0 150000 0
L-3 COMMUNICATIONS HLDGS INC COM 502424104 3008 40454 SH DEFINED 0 39104 1350
LABOR READY INC COM NEW 505401208 521 25000 SH DEFINED 0 25000 0
LABORATORY CORP AMER HLDGS COM NEW 50540R409 1012 18800 SH DEFINED 0 16600 2200
LADISH INC COM NEW 505754200 349 15600 SH DEFINED 0 15600 0
LAIDLAW INTL INC COM 50730R102 822 35400 SH DEFINED 0 35400 0
LAKELAND FINL CORP COM 511656100 69 1700 SH DEFINED 0 1700 0
LAMAR ADVERTISING CO NOTE 2.875%12/3 512815AG6 211 200000 PRN DEFINED 0 200000 0
LAMSON & SESSIONS CO COM 513696104 6080 243000 SH DEFINED 0 243000 0
LAN AIRLINES S A SPONSORED ADR 501723100 180 4800 SH DEFINED 0 4800 0
LAND O LAKES INC 514666AE6 32 30000 PRN DEFINED 0 30000 0
LANDSTAR SYS INC COM 515098101 5874 140720 SH DEFINED 0 140720 0
LASALLE HOTEL PPTYS COM SH BEN INT 517942108 1799 49000 SH DEFINED 0 49000 0
LASERCARD CORP COM 51807U101 450 30000 SH DEFINED 0 30000 0
LAUDER ESTEE COS INC CL A 518439104 37 1100 SH DEFINED 0 0 1100
LCA-VISION INC COM PAR $.001 501803308 11897 250400 SH DEFINED 0 250400 0
LEAR CORP COM 521865105 57 2000 SH DEFINED 0 2000 0
LEE ENTERPRISES INC COM 523768109 469 12700 SH DEFINED 0 12700 0
LEGG MASON INC COM 524901105 11371 95000 SH DEFINED 0 95000 0
LEHMAN BROS HLDGS INC 524908639 1270 50000 SH DEFINED 0 50000 0
LEHMAN BROS HLDGS INC COM 524908100 2692 21000 SH DEFINED 0 21000 0
LENNAR CORP CL A 526057104 891 14600 SH DEFINED 0 14600 0
LENNOX INTL INC COM 526107107 3683 130600 SH DEFINED 0 130600 0
LEUCADIA NATL CORP COM 527288104 1766 37200 SH DEFINED 0 37200 0
LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 231 200000 PRN DEFINED 0 200000 0
LEXAR MEDIA INC COM 52886P104 328 40000 SH DEFINED 0 40000 0
LIBERTY CORP S C COM 530370105 47 1000 SH DEFINED 0 1000 0
LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 188 250000 PRN DEFINED 0 250000 0
LIBERTY MEDIA CORP NEW COM SER A 530718105 708 90000 SH DEFINED 0 90000 0
LIBERTY MEDIA CORP NEW DEB 0.750% 3/3 530718AF2 214 200000 PRN DEFINED 0 200000 0
LIFELINE SYS INC COM 532192101 486 13300 SH DEFINED 0 13300 0
LIMITED BRANDS INC COM 532716107 63 2800 SH DEFINED 0 2800 0
LINCARE HLDGS INC COM 532791100 629 15000 SH DEFINED 0 15000 0
LINCOLN ELEC HLDGS INC COM 533900106 873 22000 SH DEFINED 0 22000 0
LINCOLN NATL CORP IND COM 534187109 1326 25000 SH DEFINED 0 25000 0
LIZ CLAIBORNE INC COM 539320101 716 20000 SH DEFINED 0 20000 0
LKQ CORP COM 501889208 526 15200 SH DEFINED 0 15200 0
LO-JACK CORP COM 539451104 109 4500 SH DEFINED 0 0 4500
LOCKHEED MARTIN CORP COM 539830109 954 15000 SH DEFINED 0 15000 0
LOEWS CORP COM 540424108 1575 16600 SH DEFINED 0 16600 0
LOGITECH INTERNATIONAL S A SPONSORED ADR 541419107 1412 30200 SH DEFINED 0 30200 0
LONE STAR TECHNOLOGIES I 542312AB9 788 750000 PRN DEFINED 0 750000 0
LONE STAR TECHNOLOGIES INC COM 542312103 52 1000 SH DEFINED 0 1000 0
LONGS DRUG STORES CORP COM 543162101 2802 77000 SH DEFINED 0 77000 0
LOWES COS INC COM 548661107 3993 59900 SH DEFINED 0 58600 1300
LOWES COS INC NOTE 0.861%10/1 548661CG0 290 250000 PRN DEFINED 0 250000 0
LUBRIZOL CORP COM 549271104 938 21600 SH DEFINED 0 21000 600
LUBRIZOL CORP 549271AC8 1196 1175000 PRN DEFINED 0 1175000 0
LUCENT TECHNOLOGIES CAP T 549462307 410 400 SH DEFINED 0 400 0
LUFKIN INDS INC COM 549764108 140 2800 SH DEFINED 0 2800 0
LUMENIS LTD M6778Q105 0 16 SH DEFINED 0 16 0
LYON WILLIAM HOMES INC 552075AA1 516 500000 PRN DEFINED 0 500000 0
M & T BK CORP COM 55261F104 3839 35200 SH DEFINED 0 35200 0
MACATAWA BK CORP COM 554225102 47 1300 SH DEFINED 0 1300 0
MACERICH CO COM 554382101 2014 30000 SH DEFINED 0 30000 0
MAF BANCORP INC COM 55261R108 339 8200 SH DEFINED 0 8200 0
MAGNA INTL INC CL A 559222401 72 1000 SH DEFINED 0 1000 0
MAGYAR TELEKOM LTD SPONSORED ADR 559776109 66 3000 SH DEFINED 0 3000 0
MANITOWOC INC COM 563571108 1984 39500 SH DEFINED 0 39500 0
MANOR CARE INC NEW COM 564055101 199 5000 SH DEFINED 0 5000 0
MANTECH INTL CORP CL A 564563104 6659 239000 SH DEFINED 0 239000 0
MANULIFE FINL CORP COM 56501R106 3263 55500 SH DEFINED 0 55500 0
MARATHON OIL CORP COM 565849106 1177 19300 SH DEFINED 0 19300 0
MARCUS CORP COM 566330106 47 2000 SH DEFINED 0 2000 0
MARINEMAX INC COM 567908108 158 5000 SH DEFINED 0 5000 0
MARKEL CORP COM 570535104 729 2300 SH DEFINED 0 2300 0
MARSH & MCLENNAN COS INC COM 571748102 95 3000 SH DEFINED 0 3000 0
MARSHALL & ILSLEY CORP COM 571834100 2668 62000 SH DEFINED 0 62000 0
MARTEN TRANS LTD COM 573075108 97 5325 SH DEFINED 0 5325 0
MARTIN MARIETTA MATLS INC COM 573284106 1872 24400 SH DEFINED 0 24400 0
MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 20153 359300 SH DEFINED 0 359300 0
MASSEY ENERGY CO 576203AD5 762 750000 PRN DEFINED 0 750000 0
MASSY ENERGY CORP 343861AK6 668 650000 PRN DEFINED 0 650000 0
MASTEC INC COM 576323109 335 32000 SH DEFINED 0 32000 0
MATRIA HEALTHCARE INC COM NEW 576817209 2434 62800 SH DEFINED 0 62800 0
MATTEL INC COM 577081102 237 15000 SH DEFINED 0 15000 0
MATTHEWS INTL CORP CL A 577128101 1584 43500 SH DEFINED 0 43500 0
MB FINANCIAL INC NEW COM 55264U108 543 15350 SH DEFINED 0 15350 0
MBNA CORP COM 55262L100 16 600 SH DEFINED 0 600 0
MCAFEE INC COM 579064106 38 1400 SH DEFINED 0 1400 0
MCCLATCHY CO CL A 579489105 1158 19600 SH DEFINED 0 19600 0
MCDERMOTT INTL INC COM 580037109 13071 293000 SH DEFINED 0 293000 0
MCGRATH RENTCORP COM 580589109 95 3400 SH DEFINED 0 3400 0
MCGRAW HILL COS INC COM 580645109 2840 55000 SH DEFINED 0 55000 0
MCMORAN EXPLORATION CO NOTE 5.250%10/0 582411AE4 124 100000 PRN DEFINED 0 100000 0
MEADE INSTRUMENTS CORP COM 583062104 11 4000 SH DEFINED 0 4000 0
MEDCO HEALTH SOLUTIONS INC COM 58405U102 1004 18000 SH DEFINED 0 18000 0
MEDIACOM COMMUNICATIONS CORP NOTE 5.250% 7/0 58446KAA3 1494 1500000 PRN DEFINED 0 1500000 0
MEDIACOM LLC / MEDIACOM 58445MAJ1 732 750000 PRN DEFINED 0 750000 0
MEDIS TECHNOLOGIES LTD COM 58500P107 294 20000 SH DEFINED 0 20000 0
MEDTRONIC INC COM 585055106 7234 125650 SH DEFINED 0 124550 1100
MEMC ELECTR MATLS INC COM 552715104 1573 70950 SH DEFINED 0 66500 4450
MENS WEARHOUSE INC COM 587118100 1964 66700 SH DEFINED 0 66700 0
MENTOR CORP MINN COM 587188103 2465 53500 SH DEFINED 0 53500 0
MENTOR GRAPHICS CORP NOTE 6.875% 6/1 587200AB2 497 500000 PRN DEFINED 0 500000 0
MERCANTILE BANKSHARES CORP COM 587405101 169 3000 SH DEFINED 0 3000 0
MERCURY COMPUTER 584378AB4 890 1000000 PRN DEFINED 0 1000000 0
MERCURY GENL CORP NEW COM 589400100 1782 30600 SH DEFINED 0 29500 1100
MEREDITH CORP COM 589433101 1947 37200 SH DEFINED 0 37200 0
MERGE TECHNOLOGIES INC COM 589981109 1169 46700 SH DEFINED 0 46700 0
MERIDIAN BIOSCIENCE INC COM 589584101 501 24900 SH DEFINED 0 24900 0
MERITAGE CORP 59001AAB8 533 500000 PRN DEFINED 0 500000 0
MESA AIR GROUP INC NOTE 2.482% 6/1 590479AB7 119 250000 PRN DEFINED 0 250000 0
METLIFE INC COM 59156R108 3148 64250 SH DEFINED 0 64100 150
METLIFE INC 59156R603 104 4000 SH DEFINED 0 4000 0
METLIFE INC 59156R702 689 25000 SH DEFINED 0 25000 0
MGM MIRAGE COM 552953101 2787 76000 SH DEFINED 0 76000 0
MICHAELS STORES INC COM 594087108 3201 90500 SH DEFINED 0 90500 0
MICROCHIP TECHNOLOGY INC COM 595017104 6912 215000 SH DEFINED 0 215000 0
MICROS SYS INC COM 594901100 4557 94300 SH DEFINED 0 94300 0
MICROSEMI CORP COM 595137100 686 24800 SH DEFINED 0 24800 0
MICROSOFT CORP COM 594918104 1849 70700 SH DEFINED 0 67200 3500
MIDDLEBY CORP COM 596278101 3036 35100 SH DEFINED 0 35100 0
MIDLAND CO COM 597486109 350 9700 SH DEFINED 0 9700 0
MOBILE MINI INC COM 60740F105 512 10800 SH DEFINED 0 10800 0
MOBILE TELESYSTEMS OJSC SPONSORED ADR 607409109 70 2000 SH DEFINED 0 0 2000
MOLECULAR DEVICES CORP COM 60851C107 8997 311000 SH DEFINED 0 311000 0
MONEYGRAM INTL INC COM 60935Y109 861 33000 SH DEFINED 0 33000 0
MONRO MUFFLER BRAKE INC COM 610236101 79 2600 SH DEFINED 0 2600 0
MONSANTO CO NEW COM 61166W101 3644 47000 SH DEFINED 0 47000 0
MONSTER WORLDWIDE INC COM 611742107 8654 212000 SH DEFINED 0 212000 0
MOODYS CORP COM 615369105 4422 72000 SH DEFINED 0 72000 0
MOOG INC CL A 615394202 2246 79150 SH DEFINED 0 79150 0
MORGAN STANLEY COM NEW 617446448 1135 20000 SH DEFINED 0 20000 0
MOSAIC CO COM 61945A107 293 20000 SH DEFINED 0 20000 0
MOTOROLA INC COM 620076109 11431 506000 SH DEFINED 0 506000 0
MPS GROUP INC COM 553409103 7122 521000 SH DEFINED 0 521000 0
MSC INDL DIRECT INC CL A 553530106 9713 241500 SH DEFINED 0 241500 0
MSRB:N Y C T B P2/11/11 6497165U7 17 15000 PRN DEFINED 0 0 15000
MTS SYS CORP COM 553777103 1394 40300 SH DEFINED 0 40300 0
MULTI FINELINE ELECTRONIX IN COM 62541B101 771 16000 SH DEFINED 0 16000 0
MURPHY OIL CORP COM 626717102 810 15000 SH DEFINED 0 15000 0
MYLAN LABS INC COM 628530107 499 25000 SH DEFINED 0 25000 0
NABORS INDS INC NOTE 6/1 629568AL0 177 150000 PRN DEFINED 0 150000 0
NATIONAL FUEL GAS CO N J COM 636180101 624 20000 SH DEFINED 0 20000 0
NATUS MEDICAL INC DEL COM 639050103 50 3100 SH DEFINED 0 3100 0
NAVISTAR FINL CORP NOTE 4.750% 4/0 638902AM8 1253 1400000 PRN DEFINED 0 1400000 0
NBT BANCORP INC COM 628778102 380 17600 SH DEFINED 0 17600 0
NBTY INC COM 628782104 583 35900 SH DEFINED 0 35000 900
NCI BUILDING SYS INC COM 628852105 1975 46500 SH DEFINED 0 46500 0
NEBHELP INC 639532AW0 5000 5000000 PRN DEFINED 0 5000000 0
NELNET ED LN FDG 2004-2 64031RBB4 5000 5000000 PRN DEFINED 0 5000000 0
NEUROMETRIX INC COM 641255104 409 15000 SH DEFINED 0 15000 0
NEW RIV PHARMACEUTICALS INC COM 648468205 581 11200 SH DEFINED 0 11200 0
NEW YORK CMNTY BANCORP INC COM 649445103 9 533 SH DEFINED 0 0 533
NEWELL RUBBERMAID INC COM 651229106 690 29000 SH DEFINED 0 29000 0
NEWFIELD EXPL CO COM 651290108 1122 22400 SH DEFINED 0 22400 0
NEWMONT MINING CORP COM 651639106 977 18300 SH DEFINED 0 18000 300
NEWPARK RES INC 651718AB4 316 316000 PRN DEFINED 0 316000 0
NEWS CORP CL B 65248E203 711 42800 SH DEFINED 0 42800 0
NEXEN INC COM 65334H102 1095 23000 SH DEFINED 0 23000 0
NEXTEL PARTNERS INC NOTE 1.500%11/1 65333FAS6 328 150000 PRN DEFINED 0 150000 0
NICE SYS LTD SPONSORED ADR 653656108 1782 37000 SH DEFINED 0 37000 0
NICOR INC COM 654086107 79 2000 SH DEFINED 0 2000 0
NII HLDGS INC CL B NEW 62913F201 8360 191400 SH DEFINED 0 191400 0
NII HLDGS INC NOTE 2.875% 2/0 62913FAC6 432 250000 PRN DEFINED 0 250000 0
NIKE INC CL B 654106103 2864 33000 SH DEFINED 0 33000 0
NMT MED INC COM 629294109 274 17100 SH DEFINED 0 17100 0
NOBLE CORPORATION SHS G65422100 141 2000 SH DEFINED 0 2000 0
NOBLE ENERGY INC COM 655044105 167 4154 SH DEFINED 0 4154 0
NORDSTROM INC COM 655664100 11961 319800 SH DEFINED 0 319400 400
NORFOLK SOUTHERN CORP COM 655844108 883 19700 SH DEFINED 0 19700 0
NORTH FORK BANCORPORATION NY COM 659424105 1117 40836 SH DEFINED 0 40836 0
NORTHERN BORDER PARTNERS L P UNIT LTD PARTN 664785102 168 4000 SH DEFINED 0 4000 0
NORTHROP GRUMMAN CORP COM 666807102 100 1668 SH DEFINED 0 1668 0
NORTHWEST NAT GAS CO COM 667655104 1839 53800 SH DEFINED 0 53800 0
NORWEST FINL INC 669383DK4 151 142000 PRN DEFINED 0 142000 0
NORWEST FINL INC 669383DR9 112 110000 PRN DEFINED 0 110000 0
NOVELIS INC COM 67000X106 1118 53500 SH DEFINED 0 51500 2000
NOVELL INC COM 670006105 265 30000 SH DEFINED 0 30000 0
NOVELLUS SYS INC COM 670008101 610 25300 SH DEFINED 0 25000 300
NUCO2 INC COM 629428103 78 2800 SH DEFINED 0 2800 0
NUTRI SYS INC NEW COM 67069D108 4286 119000 SH DEFINED 0 119000 0
NVIDIA CORP COM 67066G104 14807 405000 SH DEFINED 0 405000 0
NYC MUN WTR & SWR P6/05 649706Y93 10 10000 PRN DEFINED 0 0 10000
NYC TFA SER A C5/09 649716GE1 16 15000 PRN DEFINED 0 0 15000
NYS DORM AUTH LEASE 64982PGT3 15 15000 PRN DEFINED 0 0 15000
O REILLY AUTOMOTIVE INC COM 686091109 5896 184200 SH DEFINED 0 184200 0
O2MICRO INTERNATIONAL LTD SPONS ADR 67107W100 275 27000 SH DEFINED 0 27000 0
OAKLEY INC COM 673662102 1234 84000 SH DEFINED 0 84000 0
OCCIDENTAL PETE CORP DEL COM 674599105 403 5050 SH DEFINED 0 5050 0
ODYSSEY RE HLDGS CORP COM 67612W108 386 15400 SH DEFINED 0 15400 0
OFFICEMAX INC DEL COM 67622P101 0 1 SH DEFINED 0 1 0
OFFSHORE LOGISTICS INC COM 676255102 1263 43250 SH DEFINED 0 43000 250
OIL STS INTL INC COM 678026105 2199 69400 SH DEFINED 0 69400 0
OLD DOMINION FGHT LINES INC COM 679580100 2128 78950 SH DEFINED 0 78950 0
OLD REP INTL CORP COM 680223104 735 28000 SH DEFINED 0 28000 0
OM GROUP INC COM 670872100 11 600 SH DEFINED 0 600 0
OM GROUP INC 670872AB6 782 800000 PRN DEFINED 0 800000 0
OMI CORP NEW COM Y6476W104 847 46650 SH DEFINED 0 45700 950
OMNICARE CAP TR I PIERS 68214L201 225 3000 SH DEFINED 0 3000 0
OMNICARE INC COM 681904108 3593 62800 SH DEFINED 0 62800 0
OMNICOM GROUP INC COM 681919106 775 9100 SH DEFINED 0 9000 100
OMNIVISION TECHNOLOGIES INC COM 682128103 499 25000 SH DEFINED 0 25000 0
ONEOK INC NEW COM 682680103 1079 40500 SH DEFINED 0 40500 0
ONLINE RES CORP COM 68273G101 385 34800 SH DEFINED 0 34800 0
OPEN JT STK CO-VIMPEL COMMUN SPONSORED ADR 68370R109 1128 25500 SH DEFINED 0 25500 0
OPTION CARE INC COM 683948103 435 32550 SH DEFINED 0 32550 0
ORCKIT COMMUNICATIONS LTD SHS NEW M7531S206 471 19300 SH DEFINED 0 19300 0
ORIENT-EXPRESS HOTELS LTD CL A G67743107 438 13900 SH DEFINED 0 13900 0
ORIENTAL FINL GROUP INC COM 68618W100 0 0 SH DEFINED 0 0 0
OSHKOSH TRUCK CORP COM 688239201 5708 128000 SH DEFINED 0 128000 0
OSI SYSTEMS INC COM 671044105 552 30000 SH DEFINED 0 30000 0
OVERSEAS SHIPHOLDING GROUP I COM 690368105 53 1050 SH DEFINED 0 0 1050
OWENS & MINOR INC NEW COM 690732102 2395 87000 SH DEFINED 0 87000 0
OXFORD INDS INC COM 691497309 11771 215200 SH DEFINED 0 215200 0
PACIFIC CAP BANCORP NEW COM 69404P101 178 5000 SH DEFINED 0 5000 0
PACIFICARE HEALTH SYS DEL COM 695112102 3696 40700 SH DEFINED 0 40700 0
PALL CORP COM 696429307 591 22000 SH DEFINED 0 22000 0
PALMONE INC 69713P107 73 2500 SH DEFINED 0 2500 0
PALOMAR MED TECHNOLOGIES INC COM NEW 697529303 4009 114400 SH DEFINED 0 114400 0
PAN PACIFIC RETAIL PPTYS INC COM 69806L104 1946 29100 SH DEFINED 0 29100 0
PANERA BREAD CO CL A 69840W108 5550 84500 SH DEFINED 0 84500 0
PANTRY INC COM 698657103 3942 83900 SH DEFINED 0 83900 0
PAPA JOHNS INTL INC COM 698813102 261 4400 SH DEFINED 0 4400 0
PARALLEL PETE CORP DEL COM 699157103 92 5400 SH DEFINED 0 5400 0
PARAMETRIC TECHNOLOGY CORP COM 699173100 12 2000 SH DEFINED 0 0 2000
PARAMOUNT RES LTD 699320AA5 859 750000 PRN DEFINED 0 750000 0
PARAMOUNT RES LTD 699320AB3 496 400000 PRN DEFINED 0 400000 0
PARLUX FRAGRANCES INC COM 701645103 1450 47500 SH DEFINED 0 47500 0
PARTNERRE LTD COM G6852T105 985 15000 SH DEFINED 0 15000 0
PATTERSON COMPANIES INC COM 703395103 47 1400 SH DEFINED 0 0 1400
PAXAR CORP COM 704227107 805 41000 SH DEFINED 0 41000 0
PAYCHEX INC COM 704326107 7548 198000 SH DEFINED 0 198000 0
PAYLESS SHOESOURCE INC 704379AB2 784 750000 PRN DEFINED 0 750000 0
PEABODY ENERGY CORP COM 704549104 9198 111600 SH DEFINED 0 111600 0
PEDIATRIX MED GROUP COM 705324101 1240 14000 SH DEFINED 0 14000 0
PEMEX PRJ FDG MSTR TRMTN MTNF 70645JAJ1 531 500000 PRN DEFINED 0 500000 0
PENGROWTH ENERGY TR TRUST UNIT A 706902301 1551 65915 SH DEFINED 0 65200 715
PENN NATL GAMING INC COM 707569109 5279 160200 SH DEFINED 0 160200 0
PENN VA CORP COM 707882106 626 10900 SH DEFINED 0 10900 0
PENNEY J C INC 708160BB1 115 112000 PRN DEFINED 0 112000 0
PENNEY J C INC COM 708160106 2324 41800 SH DEFINED 0 41500 300
PENTAIR INC COM 709631105 2002 58000 SH DEFINED 0 58000 0
PEOPLES BK BRIDGEPORT CONN COM 710198102 93 3000 SH DEFINED 0 3000 0
PEP BOYS MANNY MOE & JACK NOTE 4.250% 6/0 713278AP4 583 600000 PRN DEFINED 0 600000 0
PEPCO HOLDINGS INC COM 713291102 447 20000 SH DEFINED 0 20000 0
PEPSICO INC COM 713448108 981 16600 SH DEFINED 0 16600 0
PETCO ANIMAL SUPPLIES COM NEW 716016209 896 40800 SH DEFINED 0 40000 800
PETMED EXPRESS INC COM 716382106 139 9800 SH DEFINED 0 9800 0
PETROCHINA CO LTD SPONSORED ADR 71646E100 246 3000 SH DEFINED 0 3000 0
PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 2566 36000 SH DEFINED 0 36000 0
PETROLEUM GEO SVCS ASA NE 716599AB1 679 600000 PRN DEFINED 0 600000 0
PETROLEUM HELICOPTERS IN 716604AB9 263 250000 PRN DEFINED 0 250000 0
PETSMART INC COM 716768106 59 2300 SH DEFINED 0 2300 0
PFF BANCORP INC COM 69331W104 1476 48350 SH DEFINED 0 48350 0
PFIZER INC COM 717081103 1473 63150 SH DEFINED 0 60250 2900
PHARMACEUTICAL PROD DEV INC COM 717124101 5885 95000 SH DEFINED 0 95000 0
PHELPS DODGE CORP COM 717265102 129 900 SH DEFINED 0 800 100
PHILADELPHIA CONS HLDG CORP COM 717528103 2533 26200 SH DEFINED 0 26200 0
PHILLIPS VAN HEUSEN CORP COM 718592108 3784 116800 SH DEFINED 0 116800 0
PHILLIPS VAN HEUSEN CORP 718592AH1 519 500000 PRN DEFINED 0 500000 0
PHOENIX COS INC NEW COM 71902E109 48 3500 SH DEFINED 0 3500 0
PIONEER DRILLING CO 840553101 198 13000 SH DEFINED 0 13000 0
PIONEER NAT RES CO COM 723787107 31 600 SH DEFINED 0 0 600
PLAINS ALL AMERN PIPELINE L UNIT LTD PARTN 726503105 594 15000 SH DEFINED 0 15000 0
PLANTRONICS INC NEW COM 727493108 991 35000 SH DEFINED 0 35000 0
PLEXUS CORP COM 729132100 10483 461000 SH DEFINED 0 461000 0
PLIANT CORP 729136AC5 98 500000 PRN DEFINED 0 500000 0
PNC FINL SVCS GROUP INC COM 693475105 1329 21500 SH DEFINED 0 21500 0
PNM RES INC 69349H206 94 2000 SH DEFINED 0 2000 0
POGO PRODUCING CO COM 730448107 1245 25000 SH DEFINED 0 25000 0
POLARIS INDS INC COM 731068102 1375 27400 SH DEFINED 0 27000 400
POLO RALPH LAUREN CORP CL A 731572103 3806 67800 SH DEFINED 0 67800 0
POLYCOM INC COM 73172K104 306 20000 SH DEFINED 0 20000 0
POLYMEDICA CORP COM 731738100 2430 72600 SH DEFINED 0 72600 0
POLYONE CORP 73179PAB2 490 500000 PRN DEFINED 0 500000 0
PORTFOLIO RECOVERY ASSOCS IN COM 73640Q105 93 2000 SH DEFINED 0 2000 0
POTLATCH CORP COM 737628107 56 1100 SH DEFINED 0 1100 0
POWERWAVE TECHNOLOGIES INC COM 739363109 10395 827000 SH DEFINED 0 825000 2000
POWERWAVE TECHNOLOGIES INC NOTE 1.875%11/1 739363AD1 252 200000 PRN DEFINED 0 200000 0
PPL CORP COM 69351T106 882 30000 SH DEFINED 0 30000 0
PPL ENERGY SUPPLY LLC NOTE 2.625% 5/1 69352JAE7 240 200000 PRN DEFINED 0 200000 0
PRAXAIR INC COM 74005P104 7700 145400 SH DEFINED 0 145400 0
PRECISION CASTPARTS CORP COM 740189105 5585 107800 SH DEFINED 0 107800 0
PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 329 250000 PRN DEFINED 0 250000 0
PRIMEWEST ENERGY TR TR UNIT NEW 741930309 1592 51500 SH DEFINED 0 51500 0
PRINCIPAL FINANCIAL GROUP IN COM 74251V102 3107 65500 SH DEFINED 0 65500 0
PRINCIPAL LIFE INCOME FUN 74254PAF9 2902 3000000 PRN DEFINED 0 3000000 0
PRIVATE EXPT FDG CORP 742651CQ3 9097 9000000 PRN DEFINED 0 9000000 0
PRIVATEBANCORP INC COM 742962103 2198 61800 SH DEFINED 0 61800 0
PROASSURANCE CORP COM 74267C106 4465 91800 SH DEFINED 0 91800 0
PROCTER & GAMBLE CO COM 742718109 127 2200 SH DEFINED 0 2200 0
PROGRESS ENERGY INC COM 743263105 878 20000 SH DEFINED 0 20000 0
PROGRESS SOFTWARE CORP COM 743312100 2844 100200 SH DEFINED 0 100200 0
PROGRESSIVE CORP OHIO COM 743315103 4741 40600 SH DEFINED 0 40600 0
PROLOGIS SH BEN INT 743410102 4088 87500 SH DEFINED 0 87500 0
PROQUEST COMPANY COM 74346P102 698 25000 SH DEFINED 0 25000 0
PROSPERITY BANCSHARES INC COM 743606105 356 12400 SH DEFINED 0 12400 0
PROTEIN DESIGN LABS INC 74369LAE3 133 100000 PRN DEFINED 0 100000 0
PROVIDENCE SVC CORP COM 743815102 115 4000 SH DEFINED 0 4000 0
PROVIDENT BANKSHARES CORP COM 743859100 32 957 SH DEFINED 0 957 0
PROVIDENT ENERGY TR TR UNIT 74386K104 313 40000 SH DEFINED 0 40000 0
PRUDENTIAL FINL INC COM 744320102 9407 128534 SH DEFINED 0 128534 0
PSS WORLD MED INC NOTE 2.250% 3/1 69366AAB6 248 250000 PRN DEFINED 0 250000 0
PSS WORLD MED INC COM 69366A100 386 26000 SH DEFINED 0 26000 0
PSYCHIATRIC SOLUTIONS INC COM 74439H108 4447 75700 SH DEFINED 0 75700 0
PUERTO RICO ELEC:MBIA 745268L67 11 10000 PRN DEFINED 0 0 10000
PXRE CAP TR I 693673AC9 491 500000 PRN DEFINED 0 500000 0
QUALCOMM INC COM 747525103 8185 190000 SH DEFINED 0 190000 0
QUALITY SYS INC COM 747582104 2310 30100 SH DEFINED 0 30100 0
QUANEX CORP COM 747620102 665 13300 SH DEFINED 0 13300 0
QUANTA SVCS INC COM 74762E102 9259 703000 SH DEFINED 0 703000 0
QUANTA SVCS INC NOTE 4.000% 7/0 74762EAA0 965 1000000 PRN DEFINED 0 1000000 0
QUANTA SVCS INC SDCV 4.500%10/0 74762EAC6 917 700000 PRN DEFINED 0 700000 0
QUANTUM CORP COM DSSG 747906204 137 45000 SH DEFINED 0 45000 0
QUEST DIAGNOSTICS INC COM 74834L100 2337 45400 SH DEFINED 0 45200 200
QUESTAR CORP COM 748356102 10068 133000 SH DEFINED 0 133000 0
QUIKSILVER INC COM 74838C106 2602 188000 SH DEFINED 0 188000 0
R H DONNELLEY CORP COM NEW 74955W307 6402 103900 SH DEFINED 0 103900 0
RADIOSHACK CORP COM 750438103 841 40000 SH DEFINED 0 40000 0
RADYNE CORP COM NEW 750611402 254 17400 SH DEFINED 0 17400 0
RAE SYS INC COM 75061P102 88 25000 SH DEFINED 0 25000 0
RANGE RES CORP COM 75281A109 8254 313350 SH DEFINED 0 313350 0
RARE HOSPITALITY INTL INC COM 753820109 3083 101450 SH DEFINED 0 101450 0
RAVEN INDS INC COM 754212108 459 15900 SH DEFINED 0 15900 0
RAYMOND JAMES FINANCIAL INC COM 754730109 358 9500 SH DEFINED 0 9500 0
RAYTHEON CO COM NEW 755111507 24 600 SH DEFINED 0 600 0
RC2 CORP COM 749388104 1478 41600 SH DEFINED 0 41600 0
RCN CORP 749361AD3 705 1000000 PRN DEFINED 0 1000000 0
RED ROBIN GOURMET BURGERS IN COM 75689M101 1045 20500 SH DEFINED 0 20500 0
REINSURANCE GROUP AMER INC PFD TR INC EQ 759351307 122 2000 SH DEFINED 0 2000 0
RENAL CARE GROUP INC COM 759930100 6664 140850 SH DEFINED 0 140850 0
REPSOL YPF S A SPONSORED ADR 76026T205 735 25000 SH DEFINED 0 25000 0
REPUBLIC BANCORP INC COM 760282103 452 37941 SH DEFINED 0 37941 0
REPUBLIC SVCS INC COM 760759100 3969 105700 SH DEFINED 0 105700 0
RES-CARE INC 760943AF7 527 500000 PRN DEFINED 0 500000 0
RESMED INC COM 761152107 12121 316400 SH DEFINED 0 316400 0
RESOURCES CONNECTION INC COM 76122Q105 2862 109600 SH DEFINED 0 109600 0
RESPIRONICS INC COM 761230101 3900 105200 SH DEFINED 0 105200 0
REYNOLDS AMERICAN INC COM 761713106 153 1600 SH DEFINED 0 1600 0
RIMAGE CORP COM 766721104 90 3100 SH DEFINED 0 3100 0
RITCHIE BROS AUCTIONEERS COM 767744105 93 2200 SH DEFINED 0 2200 0
RLI CORP COM 749607107 3157 63300 SH DEFINED 0 63300 0
ROADWAY CORP 769742AB3 1600 1500000 PRN DEFINED 0 1500000 0
ROCKWELL AUTOMATION INC COM 773903109 118 2000 SH DEFINED 0 1000 1000
ROCKWELL COLLINS INC COM 774341101 4303 92600 SH DEFINED 0 92600 0
ROFIN SINAR TECHNOLOGIES INC COM 775043102 196 4500 SH DEFINED 0 4500 0
ROLLINS INC COM 775711104 1257 63800 SH DEFINED 0 63800 0
ROPER INDS INC NEW NOTE 1.481% 1/1 776696AA4 137 250000 PRN DEFINED 0 250000 0
ROPER INDS INC NEW COM 776696106 4567 115600 SH DEFINED 0 115600 0
ROTECH HEALTHCARE INC 778669AB7 1050 1000000 PRN DEFINED 0 1000000 0
ROWAN COS INC COM 779382100 1135 31850 SH DEFINED 0 30500 1350
ROYAL BK CDA MONTREAL QUE COM 780087102 2378 30500 SH DEFINED 0 30500 0
ROYAL CARIBBEAN CRUISES 780153AE2 506 500000 PRN DEFINED 0 500000 0
ROYAL CARIBBEAN CRUISES LTD NOTE 5/1 780153AM4 71 100000 PRN DEFINED 0 100000 0
ROYAL CARIBBEAN CRUISES LTD COM V7780T103 811 18000 SH DEFINED 0 18000 0
RPC INC COM 749660106 119 4500 SH DEFINED 0 4500 0
RSA SEC INC COM 749719100 258 23100 SH DEFINED 0 22500 600
RUSH ENTERPRISES INC CL A 781846209 298 20000 SH DEFINED 0 20000 0
RYDER SYS INC COM 783549108 984 24000 SH DEFINED 0 24000 0
RYERSON TULL INC NEW NOTE 3.500%11/0 78375PAD9 255 200000 PRN DEFINED 0 200000 0
S & T BANCORP INC COM 783859101 527 14300 SH DEFINED 0 14300 0
SAFECO CORP COM 786429100 678 12000 SH DEFINED 0 12000 0
SALTON INC 795757AD5 250 500000 PRN DEFINED 0 500000 0
SANDISK CORP COM 80004C101 1885 30000 SH DEFINED 0 30000 0
SANOFI AVENTIS SPONSORED ADR 80105N105 1836 41825 SH DEFINED 0 40900 925
SARA LEE CORP COM 803111103 567 30000 SH DEFINED 0 30000 0
SASOL LTD SPONSORED ADR 803866300 178 5000 SH DEFINED 0 5000 0
SATYAM COMPUTER SERVICES LTD ADR 804098101 842 23000 SH DEFINED 0 23000 0
SAVIENT PHARMACEUTICALS INC COM 80517Q100 168 45000 SH DEFINED 0 45000 0
SBS BROADCASTING SA L8137F102 87 1600 SH DEFINED 0 1600 0
SCANA CORP NEW COM 80589M102 158 4000 SH DEFINED 0 4000 0
SCHEIN HENRY INC COM 806407102 5499 126000 SH DEFINED 0 126000 0
SCHERING PLOUGH CORP PFD CONV MAND 806605606 269 5000 SH DEFINED 0 5000 0
SCHLUMBERGER LTD COM 806857108 9657 99400 SH DEFINED 0 99400 0
SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 2 200000 PRN DEFINED 0 200000 0
SCHWAB CHARLES CORP NEW COM 808513105 9990 681000 SH DEFINED 0 681000 0
SCIENTIFIC GAMES CORP CL A 80874P109 3094 113400 SH DEFINED 0 113400 0
SCIENTIFIC GAMES CORP SDCV 0.750%12/0 80874PAD1 161 150000 PRN DEFINED 0 150000 0
SCOTIA PACIFIC CO 1998-E 80927GAH9 599 768000 PRN DEFINED 0 768000 0
SCOTTISH PWR PLC SPON ADR FINAL 81013T705 748 20000 SH DEFINED 0 20000 0
SCOTTS MIRACLE GRO CO CL A 810186106 6107 135000 SH DEFINED 0 135000 0
SCP POOL CORP COM 784028102 4863 130650 SH DEFINED 0 130650 0
SEARS HLDGS CORP COM 812350106 3454 29900 SH DEFINED 0 29900 0
SEITEL INC 816074AD0 564 500000 PRN DEFINED 0 500000 0
SELECTIVE INS GROUP INC COM 816300107 2713 51100 SH DEFINED 0 51100 0
SEMCO ENERGY INC COM 78412D109 22 4000 SH DEFINED 0 4000 0
SEMPRA ENERGY COM 816851109 3027 67500 SH DEFINED 0 67500 0
SENIOR HSG PPTYS TR 81721MAA7 548 500000 PRN DEFINED 0 500000 0
SEPRACOR INC SDCV 5.000% 2/1 817315AL8 298 300000 PRN DEFINED 0 300000 0
SERACARE LIFE SCIENCES INC COM 81747Q100 34 3800 SH DEFINED 0 3800 0
SERONO S A SPONSORED ADR 81752M101 397 20000 SH DEFINED 0 20000 0
SERVICEMASTER CO COM 81760N109 84 7000 SH DEFINED 0 7000 0
SFBC INTL INC COM 784121105 879 54900 SH DEFINED 0 54900 0
SHAW GROUP INC COM 820280105 291 10000 SH DEFINED 0 10000 0
SHUFFLE MASTER INC COM 825549108 5350 212827 SH DEFINED 0 212827 0
SIEBEL SYS INC COM 826170102 3 300 SH DEFINED 0 0 300
SIERRA HEALTH SVCS INC COM 826322109 8044 100600 SH DEFINED 0 100600 0
SIGMA ALDRICH CORP COM 826552101 2620 41400 SH DEFINED 0 41400 0
SILGAN HOLDINGS INC COM 827048109 2171 60100 SH DEFINED 0 60100 0
SILICON STORAGE TECHNOLOGY I COM 827057100 101 20000 SH DEFINED 0 20000 0
SIMON PPTY GROUP INC NEW PFD CONV I 6% 828806802 193 3000 SH DEFINED 0 3000 0
SIMPSON MANUFACTURING CO INC COM 829073105 4046 111300 SH DEFINED 0 111300 0
SK TELECOM LTD SPONSORED ADR 78440P108 51 2500 SH DEFINED 0 2500 0
SKYWORKS SOLUTIONS INC NOTE 4.750%11/1 83088MAB8 146 150000 PRN DEFINED 0 150000 0
SL GREEN RLTY CORP COM 78440X101 76 1000 SH DEFINED 0 1000 0
SLM CORP COM 78442P106 11 200 SH DEFINED 0 0 200
SLM CORP MTN BOOK ENTRY 78442FCB2 9539 10000000 PRN DEFINED 0 10000000 0
SLM CORP MTN BOOK ENTRY 78442FDE5 337 350000 PRN DEFINED 0 350000 0
SMITHFIELD FOODS INC COM 832248108 612 20000 SH DEFINED 0 20000 0
SMITHFIELD FOODS INC 832248AC2 620 600000 PRN DEFINED 0 600000 0
SNAP ON INC COM 833034101 856 22800 SH DEFINED 0 22800 0
SOCIEDAD QUIMICA MINERA DE C SPON ADR SER B 833635105 109 1000 SH DEFINED 0 1000 0
SOMANETICS CORP COM NEW 834445405 118 3700 SH DEFINED 0 3700 0
SONAT INC 835415AJ9 621 610000 PRN DEFINED 0 610000 0
SONIC CORP COM 835451105 6643 225200 SH DEFINED 0 225200 0
SONOCO PRODS CO COM 835495102 588 20000 SH DEFINED 0 20000 0
SOUTH JERSEY INDS INC COM 838518108 1241 42600 SH DEFINED 0 42600 0
SOUTHERN CO COM 842587107 1796 52000 SH DEFINED 0 52000 0
SOUTHERN COPPER CORP COM 84265v105 10 200 SH DEFINED 0 0 200
SOUTHERN UN CO NEW COM 844030106 3225 136500 SH DEFINED 0 136500 0
SOUTHERN UN CO NEW 844030304 144 2000 SH DEFINED 0 2000 0
SOUTHWESTERN ENERGY CO COM 845467109 15756 438400 SH DEFINED 0 438400 0
SOVEREIGN CAP TR IV 846048205 219 5000 SH DEFINED 0 5000 0
SPECTRUM PHARMACEUTICALS INC COM 84763A108 85 20000 SH DEFINED 0 20000 0
SPINNAKER EXPL CO 84855W109 26 400 SH DEFINED 0 0 400
SPORTSMANS GUIDE INC COM NEW 848907200 91 3800 SH DEFINED 0 3800 0
SPRINT NEXTEL CORP COM FON 852061100 0 1 SH DEFINED 0 1 0
SRA INTL INC CL A 78464R105 2718 89000 SH DEFINED 0 89000 0
ST JOE CO COM 790148100 907 13500 SH DEFINED 0 13500 0
ST JUDE MED INC COM 790849103 8002 159400 SH DEFINED 0 159400 0
ST MARY LD & EXPL CO COM 792228108 736 20000 SH DEFINED 0 20000 0
ST PAUL TRAVELERS INC COM 792860108 40 904 SH DEFINED 0 0 904
STANCORP FINL GROUP INC COM 852891100 3566 71400 SH DEFINED 0 71400 0
STAPLES INC COM 855030102 5355 235800 SH DEFINED 0 235800 0
STARWOOD HOTELS&RESORTS WRLD PAIRED CTF 85590A203 1724 27000 SH DEFINED 0 27000 0
STARWOOD HOTELS&RESORTS WRLD NOTE 3.500% 5/1 85590AAJ3 192 150000 PRN DEFINED 0 150000 0
STATE AUTO FINL CORP COM 855707105 361 9900 SH DEFINED 0 9900 0
STATE STR CORP COM 857477103 169 3051 SH DEFINED 0 3051 0
STATION CASINOS INC COM 857689103 5987 88300 SH DEFINED 0 88300 0
STEELCASE INC CL A 858155203 7614 481000 SH DEFINED 0 481000 0
STERICYCLE INC COM 858912108 8732 148300 SH DEFINED 0 148300 0
STERIS CORP COM 859152100 600 24000 SH DEFINED 0 24000 0
STRYKER CORP COM 863667101 67 1500 SH DEFINED 0 0 1500
STUDENT LN CORP COM 863902102 1088 5200 SH DEFINED 0 5200 0
SUN LIFE FINL INC COM 866796105 726 18100 SH DEFINED 0 18100 0
SUNCOR ENERGY INC COM 867229106 5082 80500 SH DEFINED 0 80500 0
SUNOCO INC COM 86764P109 3527 45000 SH DEFINED 0 45000 0
SUNRISE SENIOR LIVING INC COM 86768K106 3526 104600 SH DEFINED 0 104600 0
SUPERIOR ENERGY SVCS INC COM 868157108 1200 57000 SH DEFINED 0 56000 1000
SUPERTEX INC COM 868532102 363 8200 SH DEFINED 0 8200 0
SUPERVALU INC COM 868536103 130 4000 SH DEFINED 0 4000 0
SVB FINL GROUP COM 78486Q101 3696 78900 SH DEFINED 0 78900 0
SYBRON DENTAL SPECIALTIES IN COM 871142105 3957 99400 SH DEFINED 0 99400 0
SYMANTEC CORP COM 871503108 147 8400 SH DEFINED 0 8000 400
SYNERON MEDICAL LTD ORD SHS M87245102 914 28800 SH DEFINED 0 28800 0
SYNGENTA AG SPONSORED ADR 87160A100 917 36800 SH DEFINED 0 36800 0
SYSCO CORP COM 871829107 6 200 SH DEFINED 0 0 200
TAKE-TWO INTERACTIVE SOFTWAR COM 874054109 531 30000 SH DEFINED 0 30000 0
TALISMAN ENERGY INC COM 87425E103 5513 104250 SH DEFINED 0 104000 250
TALX CORP COM 874918105 763 16700 SH DEFINED 0 16700 0
TARGET CORP COM 87612E106 55 1000 SH DEFINED 0 1000 0
TARGET CORP 87612EAJ5 254 250000 PRN DEFINED 0 250000 0
TAUBMAN CTRS INC COM 876664103 841 24200 SH DEFINED 0 24200 0
TAYLOR CAP GROUP INC COM 876851106 81 2000 SH DEFINED 0 2000 0
TD BANKNORTH INC COM 87235A101 683 23520 SH DEFINED 0 23520 0
TDC A/S SPONSORED ADR 87236N102 448 15000 SH DEFINED 0 15000 0
TECHNE CORP COM 878377100 3802 67800 SH DEFINED 0 67800 0
TECHNICAL OLYMPIC USA IN 878483AD8 492 500000 PRN DEFINED 0 500000 0
TECHNICAL OLYMPIC USA INC COM 878483106 844 40000 SH DEFINED 0 40000 0
TECHNICAL OLYMPIC USA INC 878483AJ5 446 500000 PRN DEFINED 0 500000 0
TECO ENERGY INC COM 872375100 349 20300 SH DEFINED 0 20000 300
TEEKAY SHIPPING CORP 879006AA2 303 300000 PRN DEFINED 0 300000 0
TEKELEC NOTE 2.250% 6/1 879101AE3 196 200000 PRN DEFINED 0 200000 0
TEKNI-PLEX INC 87910PAE0 1055 1000000 PRN DEFINED 0 1000000 0
TELECOM CORP NEW ZEALAND LTD SPONSORED ADR 879278208 1567 47950 SH DEFINED 0 44500 3450
TELEDYNE TECHNOLOGIES INC COM 879360105 2977 102300 SH DEFINED 0 102300 0
TELEFLEX INC COM 879369106 910 14000 SH DEFINED 0 14000 0
TELEFONOS DE MEXICO S A SPON ADR ORD L 879403780 1251 50700 SH DEFINED 0 48900 1800
TELKONET INC COM 879604106 145 35000 SH DEFINED 0 35000 0
TELUS CORP NON-VTG SHS 87971M202 93 2300 SH DEFINED 0 2300 0
TEMPLE INLAND INC COM 879868107 9 200 SH DEFINED 0 0 200
TENARIS S A SPONSORED ADR 88031M109 3916 34200 SH DEFINED 0 34200 0
TENNANT CO COM 880345103 6240 120000 SH DEFINED 0 120000 0
TEREX CORP NEW COM 880779103 2625 44200 SH DEFINED 0 44200 0
TESORO CORP COM 881609101 985 16000 SH DEFINED 0 16000 0
TETRA TECH INC NEW COM 88162G103 503 32100 SH DEFINED 0 30500 1600
TETRA TECHNOLOGIES INC DEL COM 88162F105 427 14000 SH DEFINED 0 14000 0
TEVA PHARMACEUTICAL FIN II L DBCV 0.500% 2/0 88164RAA5 238 200000 PRN DEFINED 0 200000 0
TEVA PHARMACEUTICAL INDS LTD ADR 881624209 6925 161000 SH DEFINED 0 161000 0
TEXAS INSTRS INC COM 882508104 10102 315000 SH DEFINED 0 315000 0
TEXTRON INC COM 883203101 2887 37500 SH DEFINED 0 37500 0
THOMAS & BETTS CORP COM 884315102 13029 310500 SH DEFINED 0 308300 2200
THOMAS & BETTS CORP MTN 88431QAC0 2059 2000000 PRN DEFINED 0 2000000 0
THOR INDS INC COM 885160101 1783 44500 SH DEFINED 0 44400 100
TIDEWATER INC COM 886423102 6269 141000 SH DEFINED 0 141000 0
TIERONE CORP COM 88650R108 244 8300 SH DEFINED 0 8300 0
TIM PARTICIPACOES S A SPONS ADR PFD 88706P106 455 18000 SH DEFINED 0 18000 0
TIMBERLAND CO CL A 887100105 1172 36000 SH DEFINED 0 35400 600
TIME WARNER INC COM 887317105 665 38150 SH DEFINED 0 36500 1650
TITAN CORP 888266AE3 803 750000 PRN DEFINED 0 750000 0
TJX COS INC NEW COM 872540109 581 25000 SH DEFINED 0 25000 0
TOM ONLINE INC ADR REG S 889728200 75 3800 SH DEFINED 0 3800 0
TORO CO COM 891092108 6671 152400 SH DEFINED 0 152400 0
TORONTO DOMINION BK ONT COM NEW 891160509 774 14685 SH DEFINED 0 14685 0
TOTAL S A SPONSORED ADR 89151E109 82 650 SH DEFINED 0 0 650
TRACTOR SUPPLY CO COM 892356106 6040 114100 SH DEFINED 0 114100 0
TRANSCANADA CORP COM 89353D107 756 24000 SH DEFINED 0 24000 0
TRANSMONTAIGNE INC 893934AA7 525 500000 PRN DEFINED 0 500000 0
TREEHOUSE FOODS INC COM 89469A104 15 800 SH DEFINED 0 800 0
TRIAD HOSPITALS INC COM 89579K109 59 1500 SH DEFINED 0 0 1500
TRIDENT MICROSYSTEMS INC COM 895919108 3913 217400 SH DEFINED 0 217400 0
TRIMBLE NAVIGATION LTD COM 896239100 3861 108800 SH DEFINED 0 108800 0
TRINITY INDS INC COM 896522109 10665 242000 SH DEFINED 0 242000 0
TRIZETTO GROUP INC COM 896882107 119 7000 SH DEFINED 0 7000 0
TRUE RELIGION APPAREL INC COM 89784N104 85 5500 SH DEFINED 0 5500 0
TRUSTCO BK CORP N Y COM 898349105 196 15800 SH DEFINED 0 15800 0
TSI TELECOMMUNICATIONS S 87287VAB8 548 500000 PRN DEFINED 0 500000 0
TUPPERWARE BRANDS CORP COM 899896104 16 700 SH DEFINED 0 0 700
TURKCELL ILETISIM HIZMETLERI SPON ADR NEW 900111204 230 15000 SH DEFINED 0 15000 0
TXU CORP COM 873168108 8417 167700 SH DEFINED 0 167700 0
TYCO INTL GROUP S A DBCV 2.750% 1/1 902118BF4 507 400000 PRN DEFINED 0 400000 0
U S XPRESS ENTERPRISES INC CL A 90338N103 222 12800 SH DEFINED 0 12800 0
UBIQUITEL INC COM 903474302 2967 300000 SH DEFINED 0 300000 0
UGI CORP NEW COM 902681105 5414 262800 SH DEFINED 0 262800 0
ULSTER CNTY NY AMBAC 903766NS8 11 10000 PRN DEFINED 0 0 10000
ULTIMATE SOFTWARE GROUP INC COM 90385D107 477 25000 SH DEFINED 0 25000 0
ULTRA PETROLEUM CORP COM 903914109 5334 95600 SH DEFINED 0 95600 0
ULTRALIFE BATTERIES INC COM 903899102 300 25000 SH DEFINED 0 25000 0
UMB FINL CORP COM 902788108 454 7100 SH DEFINED 0 7100 0
UMPQUA HLDGS CORP COM 904214103 1290 45200 SH DEFINED 0 45200 0
UNIBANCO-UNIAO DE BANCOS BRA GDR REP PFD UT 90458E107 737 11600 SH DEFINED 0 11600 0
UNILEVER PLC SPON ADR NEW 904767704 401 10000 SH DEFINED 0 10000 0
UNION PAC CORP COM 907818108 966 12000 SH DEFINED 0 12000 0
UNIONBANCAL CORP COM 908906100 2694 39200 SH DEFINED 0 39200 0
UNISYS CORP COM 909214108 157 27000 SH DEFINED 0 27000 0
UNIT CORP COM 909218109 1596 29000 SH DEFINED 0 29000 0
UNITED BANKSHARES INC WEST V COM 909907107 303 8600 SH DEFINED 0 8600 0
UNITED FIRE & CAS CO COM 910331107 1585 39200 SH DEFINED 0 39200 0
UNITED INDL CORP COM 910671106 782 18900 SH DEFINED 0 18900 0
UNITED NAT FOODS INC COM 911163103 3712 140600 SH DEFINED 0 140600 0
UNITED PANAM FINANCIAL CP COM 911301109 96 3700 SH DEFINED 0 3700 0
UNITED RENTALS TR I 91136H306 85 2000 SH DEFINED 0 2000 0
UNITED STATES STL CORP N 912909AA6 458 421000 PRN DEFINED 0 421000 0
UNITED STATES TREAS BDS 912810FB9 9654 8000000 PRN DEFINED 0 8000000 0
UNITED STATES TREAS BDS 912810EM6 1302 1000000 PRN DEFINED 0 1000000 0
UNITED STATES TREAS NTS 9128277F3 1984 2000000 PRN DEFINED 0 2000000 0
UNITED STATES TREAS NTS 9128277L0 760 740000 PRN DEFINED 0 0 740000
UNITED STATES TREAS NTS 912828AP5 2935 3000000 PRN DEFINED 0 3000000 0
UNITED STATES TREAS NTS 912828DC1 494 500000 PRN DEFINED 0 500000 0
UNITED SURGICAL PARTNERS INT COM 913016309 3363 104600 SH DEFINED 0 104600 0
UNITED TECHNOLOGIES CORP COM 913017109 3243 58000 SH DEFINED 0 58000 0
UNITED THERAPEUTICS CORP DEL COM 91307C102 7769 112400 SH DEFINED 0 112400 0
UNITEDHEALTH GROUP INC COM 91324P102 7940 127770 SH DEFINED 0 127120 650
UNIVERSAL FOODS CORP 913538FA7 1524 1500000 PRN DEFINED 0 1500000 0
UNIVERSAL FST PRODS INC COM 913543104 6956 125900 SH DEFINED 0 125900 0
UNIVERSAL HLTH SVCS INC CL B 913903100 93 2000 SH DEFINED 0 2000 0
UNIVERSAL HLTH SVCS INC DBCV 0.426% 6/2 913903AL4 57 100000 PRN DEFINED 0 100000 0
UNIVISION COMMUNICATIONS INC CL A 914906102 129 4400 SH DEFINED 0 1900 2500
UNOCAL CORP 915289102 20 300 SH DEFINED 0 0 300
UNOVA INC COM 91529B106 3143 93000 SH DEFINED 0 93000 0
UNUMPROVIDENT CORP COM 91529Y106 250 11000 SH DEFINED 0 10000 1000
UNUMPROVIDENT CORP 91529Y403 783 18000 SH DEFINED 0 18000 0
URBAN OUTFITTERS INC COM 917047102 6813 269200 SH DEFINED 0 269200 0
URS CORP NEW COM 903236107 3945 104900 SH DEFINED 0 104900 0
US BANCORP DEL COM NEW 902973304 320 10700 SH DEFINED 0 8400 2300
USANA HEALTH SCIENCES INC COM 90328M107 921 24000 SH DEFINED 0 24000 0
USEC INC 90333EAA6 700 700000 PRN DEFINED 0 700000 0
UTI WORLDWIDE INC ORD G87210103 3268 35200 SH DEFINED 0 35200 0
VALEANT PHARMACEUTICALS INTL NOTE 4.000%11/1 91911XAD6 1577 1850000 PRN DEFINED 0 1850000 0
VALENCE TECHNOLOGY INC COM 918914102 54 35000 SH DEFINED 0 35000 0
VALERO ENERGY CORP NEW COM 91913Y100 6945 134587 SH DEFINED 0 134587 0
VALLEY NATL BANCORP COM 919794107 498 20649 SH DEFINED 0 20649 0
VALMONT INDS INC COM 920253101 438 13100 SH DEFINED 0 13100 0
VALUECLICK INC COM 92046N102 235 13000 SH DEFINED 0 13000 0
VARIAN MED SYS INC COM 92220P105 13735 272850 SH DEFINED 0 272850 0
VCA ANTECH INC COM 918194101 3923 139100 SH DEFINED 0 139100 0
VECTOR GROUP LTD 92240MAA6 498 500000 PRN DEFINED 0 500000 0
VEECO INSTRS INC DEL COM 922417100 7331 423000 SH DEFINED 0 423000 0
VENTANA MED SYS INC COM 92276H106 3629 85700 SH DEFINED 0 85700 0
VENTIV HEALTH INC COM 922793104 3510 148600 SH DEFINED 0 148600 0
VERITAS SOFTWARE CO NOTE 0.250% 8/0 923436AD1 2099 2170000 PRN DEFINED 0 2170000 0
VESTA INS GROUP INC 925391AA2 251 500000 PRN DEFINED 0 500000 0
VIACOM INC CL B 925524308 33 1000 SH DEFINED 0 1000 0
VIASAT INC COM 92552V100 7110 266000 SH DEFINED 0 266000 0
VINTAGE PETE INC COM 927460105 1413 26500 SH DEFINED 0 25500 1000
VITAL IMAGES INC COM 92846N104 204 7800 SH DEFINED 0 7800 0
VITESSE SEMICONDUCTOR CORP SDCV 1.500%10/0 928497AD8 775 1000000 PRN DEFINED 0 1000000 0
VODAFONE GROUP PLC NEW SPONSORED ADR 92857W100 1709 79600 SH DEFINED 0 78200 1400
VORNADO RLTY TR SH BEN INT 929042109 167 2000 SH DEFINED 0 2000 0
VULCAN MATLS CO COM 929160109 474 7000 SH DEFINED 0 7000 0
WABTEC CORP COM 929740108 565 21000 SH DEFINED 0 21000 0
WACHOVIA CORP 2ND NEW COM 929903102 16 300 SH DEFINED 0 0 300
WAL MART STORES INC 931142BV4 242 250000 PRN DEFINED 0 250000 0
WALGREEN CO COM 931422109 1248 28200 SH DEFINED 0 26100 2100
WARNACO GROUP INC COM NEW 934390402 401 15000 SH DEFINED 0 15000 0
WASH MUTUAL 5 375% PFD 93933U407 283 5000 SH DEFINED 0 5000 0
WASHINGTON FED INC COM 938824109 1720 74830 SH DEFINED 0 74830 0
WASHINGTON GROUP INTL INC COM NEW 938862208 3655 69000 SH DEFINED 0 69000 0
WASHINGTON MUT INC COM 939322103 2961 68079 SH DEFINED 0 68079 0
WASHINGTON TR BANCORP COM 940610108 236 9000 SH DEFINED 0 9000 0
WASTE CONNECTIONS INC COM 941053100 4249 123300 SH DEFINED 0 123300 0
WASTE CONNECTIONS INC DBCV 5/0 941053AE0 221 200000 PRN DEFINED 0 200000 0
WASTE MGMT INC DEL COM 94106L109 607 20000 SH DEFINED 0 20000 0
WATSCO INC COM 942622200 4886 81700 SH DEFINED 0 81700 0
WATSON PHARMACEUTICALS INC COM 942683103 975 30000 SH DEFINED 0 30000 0
WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 143 150000 PRN DEFINED 0 150000 0
WEBMD CORP 94769M105 6233 632200 SH DEFINED 0 632200 0
WEBMD CORP NOTE 1.750% 6/1 94769MAE5 203 250000 PRN DEFINED 0 250000 0
WEBSENSE INC COM 947684106 5291 80600 SH DEFINED 0 80600 0
WEBSTER FINL CORP CONN COM 947890109 2298 49000 SH DEFINED 0 49000 0
WEINGARTEN RLTY INVS SH BEN INT 948741103 983 26000 SH DEFINED 0 26000 0
WELLPOINT INC COM 94973V107 10903 136649 SH DEFINED 0 136649 0
WELLS FARGO & CO NEW COM 949746101 5885 93660 SH DEFINED 0 93000 660
WENDYS INTL INC COM 950590109 995 18000 SH DEFINED 0 18000 0
WERNER ENTERPRISES INC COM 950755108 2794 141850 SH DEFINED 0 141850 0
WESCO INTL INC COM 95082P105 6931 162200 SH DEFINED 0 162200 0
WEST CORP COM 952355105 986 23400 SH DEFINED 0 23400 0
WESTAMERICA BANCORPORATION COM 957090103 1958 36900 SH DEFINED 0 36900 0
WESTAR ENERGY INC COM 95709T100 452 21000 SH DEFINED 0 21000 0
WESTCORP INC COM 957907108 1925 28900 SH DEFINED 0 28900 0
WESTERN DIGITAL CORP COM 958102105 512 27500 SH DEFINED 0 27500 0
WESTERN GAS RES INC COM 958259103 6734 143000 SH DEFINED 0 143000 0
WESTERN SILVER CORP COM 959531104 113 10000 SH DEFINED 0 10000 0
WH HLDGS CAYMAN IS LTD / 92926XAA3 536 500000 PRN DEFINED 0 500000 0
WHITNEY HLDG CORP COM 966612103 546 19800 SH DEFINED 0 19800 0
WHOLE FOODS MKT INC COM 966837106 7944 102650 SH DEFINED 0 102400 250
WILD OATS MARKETS INC 96808BAA5 1579 1750000 PRN DEFINED 0 1750000 0
WILEY JOHN & SONS INC CL A 968223206 2307 59100 SH DEFINED 0 59100 0
WILLIAMS COS INC DEL 969457845 146 2000 SH DEFINED 0 2000 0
WILMINGTON TRUST CORP COM 971807102 739 19000 SH DEFINED 0 19000 0
WILSHIRE BANCORP INC COM 97186T108 184 10700 SH DEFINED 0 10700 0
WINDMERE DURABLE HLDGS I 973413AA5 728 750000 PRN DEFINED 0 750000 0
WINTRUST FINANCIAL CORP COM 97650W108 1817 33100 SH DEFINED 0 33100 0
WITNESS SYS INC COM 977424100 2730 138800 SH DEFINED 0 138800 0
WMS INDS INC COM 929297109 151 6000 SH DEFINED 0 6000 0
WOLVERINE TUBE INC 978093AE2 388 500000 PRN DEFINED 0 500000 0
WOLVERINE WORLD WIDE INC COM 978097103 3105 138250 SH DEFINED 0 138250 0
WORLD ACCEP CORP DEL COM 981419104 339 11900 SH DEFINED 0 11900 0
WORLD ACCESS INC 98141AAD3 25 500000 PRN DEFINED 0 500000 0
WORLD FUEL SVCS CORP COM 981475106 1494 44300 SH DEFINED 0 44300 0
WPS RESOURCES CORP COM 92931B106 2257 40800 SH DEFINED 0 40800 0
WRIGHT EXPRESS CORP COM 98233Q105 11 500 SH DEFINED 0 0 500
WRIGLEY WM JR CO COM 982526105 3457 52000 SH DEFINED 0 52000 0
WSFS FINL CORP COM 929328102 888 14500 SH DEFINED 0 14500 0
WYETH COM 983024100 83 1800 SH DEFINED 0 1800 0
WYETH DBCV 1/1 983024AD2 309 300000 PRN DEFINED 0 300000 0
XCEL ENERGY INC COM 98389B100 923 50000 SH DEFINED 0 50000 0
XEROX CORP PFD CONV SER C 984121509 245 2000 SH DEFINED 0 2000 0
XO COMMUNICATIONS INC 983764168 0 1868 SH DEFINED 0 1868 0
XO COMMUNICATIONS INC 983764143 0 2490 SH DEFINED 0 2490 0
XO COMMUNICATIONS INC 983764150 0 1868 SH DEFINED 0 1868 0
XTO ENERGY INC COM 98385X106 18512 421305 SH DEFINED 0 421305 0
YAHOO INC FRNT 4/0 984332AB2 287 150000 PRN DEFINED 0 150000 0
YAHOO INC COM 984332106 9364 239000 SH DEFINED 0 239000 0
YANKEE CANDLE INC COM 984757104 92 3600 SH DEFINED 0 3600 0
YANZHOU COAL MNG CO LTD SPON ADR H SHS 984846105 51 1600 SH DEFINED 0 0 1600
YELLOW ROADWAY CORP COM 985577105 1755 39350 SH DEFINED 0 39000 350
YUM BRANDS INC COM 988498101 3000 64000 SH DEFINED 0 64000 0
ZALE CORP NEW COM 988858106 1137 45200 SH DEFINED 0 45200 0
ZENITH NATL INS CORP COM 989390109 3715 80550 SH DEFINED 0 80550 0
ZIMMER HLDGS INC COM 98956P102 118 1750 SH DEFINED 0 1500 250
ZIONS BANCORPORATION COM 989701107 113 1500 SH DEFINED 0 1500 0