-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, KbBwiSbiH6QJoVJo5WFMmZDlC2e3OhoaMfse/lZ0Qb/d4TqUWHvjpcLZRfnZ+nc9 Xw3Umy8uC4valb7ZK5asBQ== 0001089355-08-000021.txt : 20080512 0001089355-08-000021.hdr.sgml : 20080512 20080512131859 ACCESSION NUMBER: 0001089355-08-000021 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20080331 FILED AS OF DATE: 20080512 DATE AS OF CHANGE: 20080512 EFFECTIVENESS DATE: 20080512 FILER: COMPANY DATA: COMPANY CONFORMED NAME: TD Securities (USA) LLC CENTRAL INDEX KEY: 0001335977 IRS NUMBER: 222203727 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11451 FILM NUMBER: 08822131 BUSINESS ADDRESS: STREET 1: 31 WEST 52ND STREET CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 212-827-7431 MAIL ADDRESS: STREET 1: 31 WEST 52ND STREET CITY: NEW YORK STATE: NY ZIP: 10019 13F-HR 1 n10435.txt FORM13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 2008 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: TD Securities (USA) LLC Address: 31 West 52nd Street New York, New York 10019 Form 13F File Number: 28-11451 This 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: Peter Stroud Title: Vice President & Director Phone: 212-827-7508 Signature, Place, and Date of Signing: /S/ Peter Stroud New York, May 12, 2008 [Signature] [City, State] [Date] Report Type (Check only one): [X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report) [ ] 13F NOTICE (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) List of Other Managers Reporting for this Manager: Form 13F File Number Name None FORM 13F SUMMARY PAGE Report summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 619 Form 13F Information Table Value Total: $2,514,742,000 LIST OF OTHER INCLUDED MANAGERS: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. No. Form 13F File Number Name FORM 13F-HR NAME OF REPORTING MANAGER: TD SECURITIES (USA) LLC
- ------------------------------------------------------------------------------------------------------------------------------------ Item 8: Item 6: Item 7: Voting Authority Investment Discretion Managers (Shares) ------------------------------------------------------ (b) Shared- Item 4: Item 5: As Item 2: Item 3: Fair Market Shares or Defined (c) Item 1: Title of CUSIP Value Principal (a) in Shared- See (a) (b) (c) Name of Issuer Class Number (x$1000) Amount Sole Instr.V other Instr. V Sole Shared None - ------------------------------------------------------------------------------------------------------------------------------------ * 3M CO COM COM 88579Y101 3,829 48,382 sh sole 48,382 * ABBOTT LABS COM COM 002824100 5,828 105,670 sh sole 105,670 * ABERCROMBIE & FITCH CO CL A COM 002896207 433 5,916 sh sole 5,916 * ABITIBIBOWATER INC COM ADDED COM 003687100 126 9,756 sh sole 9,756 * ACCENTURE LTD BERMUDA CL A COM G1150G111 77 2,200 sh sole 2,200 * ACE LTD ORD COM G0070K103 1,243 22,570 sh sole 22,570 * ADOBE SYS INC COM COM 00724F101 1,385 38,924 sh sole 38,924 * ADVANCED MICRO DEVICES INC COM COM 007903107 244 41,426 sh sole 41,426 * ADVANTAGE ENERGY INCOME FD TR UNIT COM 00762L101 26 2,300 sh sole 2,300 * AES CORP COM COM 00130H105 763 45,755 sh sole 45,755 * AETNA INC NEW COM COM 00817Y108 1,429 33,947 sh sole 33,947 * AFFILIATED COMPUTER SERVICES CL A COM 008190100 329 6,565 sh sole 6,565 * AFLAC INC COM COM 001055102 2,110 32,481 sh sole 32,481 * AGILENT TECHNOLOGIES INC COM COM 00846U101 745 24,984 sh sole 24,984 * AGRIUM INC COM COM 008916108 20 1,600 sh sole 1,600 * AIR PRODS & CHEMS INC COM COM 009158106 1,349 14,664 sh sole 14,664 * AK STL HLDG CORP COM COM 001547108 109 2,000 sh sole 2,000 * AKAMAI TECHNOLOGIES INC COM COM 00971T101 322 11,420 sh sole 11,420 * ALCOA INC COM COM 013817101 2,008 55,691 sh sole 55,691 * ALLEGHENY ENERGY INC COM COM 017361106 577 11,429 sh sole 11,429 * ALLEGHENY TECHNOLOGIES INC COM COM 01741R102 592 8,297 sh sole 8,297 * ALLERGAN INC COM COM 018490102 1,178 20,887 sh sole 20,887 * ALLIED WASTE INDS INC COM PAR$.01NEW COM 019589308 249 23,080 sh sole 23,080 * ALLSTATE CORP COM COM 020002101 1,840 38,287 sh sole 38,287 * ALTERA CORP COM COM 021441100 388 21,029 sh sole 21,029 * ALTRIA GROUP INC COM COM 02209S103 3,199 144,117 sh sole 144,117 * AMAZON COM INC COM COM 023135106 1,503 21,086 sh sole 21,086 * AMBAC FINL GROUP INC COM COM 023139108 113 19,583 sh sole 19,583 * AMEREN CORP COM COM 023608102 628 14,256 sh sole 14,256 * AMERICAN CAPITAL STRATEGIES COM COM 024937104 455 13,334 sh sole 13,334 * AMERICAN ELEC PWR INC COM COM 025537101 1,139 27,361 sh sole 27,361 * AMERICAN EXPRESS CO COM COM 025816109 3,456 79,057 sh sole 79,057 * AMERICAN INTL GROUP INC COM COM 026874107 7,459 172,457 sh sole 172,457 * AMERICAN TOWER CORP CL A COM 029912201 1,085 27,684 sh sole 27,684 * AMERIPRISE FINL INC COM COM 03076C106 805 15,530 sh sole 15,530 * AMERISOURCEBERGEN CORP COM COM 03073E105 456 11,135 sh sole 11,135 * AMGEN INC COM COM 031162100 3,107 74,360 sh sole 74,360 * AMKOR TECHNOLOGY INC COM COM 031652100 68 6,400 sh sole 6,400 * ANADARKO PETE CORP COM COM 032511107 2,041 32,374 sh sole 32,374 * ANALOG DEVICES INC COM COM 032654105 593 20,074 sh sole 20,074 * ANHEUSER BUSCH COS INC COM COM 035229103 2,321 48,911 sh sole 48,911 * ANSYS INC COM COM 03662Q105 69 2,000 sh sole 2,000 * AON CORP COM COM 037389103 840 20,906 sh sole 20,906 * APACHE CORP COM COM 037411105 2,775 22,969 sh sole 22,969 * APARTMENT INVT & MGMT CO CL A COM 03748R101 224 6,250 sh sole 6,250 * APOLLO GROUP INC CL A COM 037604105 405 9,380 sh sole 9,380 * APPLE INC COM COM 037833100 8,625 60,102 sh sole 60,102 * APPLERA CORP COM AP BIO GRP COM 038020103 376 11,445 sh sole 11,445 * APPLIED MATLS INC COM COM 038222105 1,805 92,521 sh sole 92,521 * ARCHER DANIELS MIDLAND CO COM COM 039483102 1,812 44,015 sh sole 44,015 * ASHLAND INC NEW COM COM 044209104 181 3,835 sh sole 3,835 * ASSURANT INC COM COM 04621X108 398 6,533 sh sole 6,533 * AT&T INC COM COM 00206R102 15,804 412,647 sh sole 412,647 * ATLAS ENERGY RESOURCES LLC COM COM 049303100 28 900 sh sole 900 * ATMEL CORP COM COM 049513104 75 21,500 sh sole 21,500 * AUTODESK INC COM COM 052769106 498 15,815 sh sole 15,815 * AUTOMATIC DATA PROCESSING IN COM COM 053015103 1,515 35,735 sh sole 35,735 * AUTONATION INC COM COM 05329W102 139 9,258 sh sole 9,258 * AUTOZONE INC COM COM 053332102 332 2,919 sh sole 2,919 * AVALONBAY CMNTYS INC COM COM 053484101 508 5,259 sh sole 5,259 * AVERY DENNISON CORP COM COM 053611109 359 7,285 sh sole 7,285 * AVON PRODS INC COM COM 054303102 1,153 29,168 sh sole 29,168 * BAKER HUGHES INC COM COM 057224107 1,420 20,724 sh sole 20,724 * BALL CORP COM COM 058498106 306 6,667 sh sole 6,667 * BANK OF AMERICA CORPORATION COM COM 060505104 11,513 303,688 sh sole 303,688 * BANK OF NEW YORK MELLON CORP COM COM 064058100 3,256 78,024 sh sole 78,024 * BARD C R INC COM COM 067383109 659 6,833 sh sole 6,833 * BARR PHARMACEUTICALS INC COM COM 068306109 356 7,372 sh sole 7,372 * BAXTER INTL INC COM COM 071813109 2,508 43,374 sh sole 43,374 * BB&T CORP COM COM 054937107 1,198 37,367 sh sole 37,367 * BEAR STEARNS COS INC COM COM 073902108 85 8,059 sh sole 8,059 * BECTON DICKINSON & CO COM COM 075887109 1,433 16,687 sh sole 16,687 * BED BATH & BEYOND INC COM COM 075896100 529 17,927 sh sole 17,927 * BEMIS INC COM COM 081437105 173 6,821 sh sole 6,821 * BERRY PETE CO CL A COM 085789105 56 1,200 sh sole 1,200 * BEST BUY INC COM COM 086516101 999 24,101 sh sole 24,101 * BHP BILLITON LTD SPONSORED ADR COM 088606108 105 1,600 sh sole 1,600 * BIG LOTS INC COM COM 089302103 138 6,173 sh sole 6,173 * BIOGEN IDEC INC COM COM 09062X103 1,255 20,347 sh sole 20,347 * BJ SVCS CO COM COM 055482103 571 20,032 sh sole 20,032 * BLACK & DECKER CORP COM COM 091797100 275 4,163 sh sole 4,163 * BLOCK H & R INC COM COM 093671105 461 22,226 sh sole 22,226 * BMC SOFTWARE INC COM COM 055921100 428 13,150 sh sole 13,150 * BOEING CO COM COM 097023105 3,888 52,279 sh sole 52,279 * BOSTON PROPERTIES INC COM COM 101121101 750 8,143 sh sole 8,143 * BOSTON SCIENTIFIC CORP COM COM 101137107 1,181 91,799 sh sole 91,799 * BRISTOL MYERS SQUIBB CO COM COM 110122108 2,882 135,306 sh sole 135,306 * BROADCOM CORP CL A COM 111320107 616 31,970 sh sole 31,970 * BROWN FORMAN CORP CL B COM 115637209 383 5,790 sh sole 5,790 * BRUNSWICK CORP COM COM 117043109 96 6,001 sh sole 6,001 * BURLINGTON NORTHN SANTA FE C COM COM 12189T104 1,865 20,224 sh sole 20,224 * C H ROBINSON WORLDWIDE INC COM NEW COM 12541W209 638 11,734 sh sole 11,734 * CA INC COM COM 12673P105 600 26,667 sh sole 26,667 * CAMERON INTERNATIONAL CORP COM COM 13342B105 622 14,940 sh sole 14,940 * CAMPBELL SOUP CO COM COM 134429109 512 15,071 sh sole 15,071 * CANADIAN NAT RES LTD COM COM 136385101 27 400 sh sole 400 * CAPITAL ONE FINL CORP COM COM 14040H105 1,255 25,500 sh sole 25,500 * CARDINAL HEALTH INC COM COM 14149Y108 1,279 24,355 sh sole 24,355 * CARNIVAL CORP PAIRED CTF COM 143658300 1,209 29,872 sh sole 29,872 * CARRIZO OIL & CO INC COM COM 144577103 30 500 sh sole 500 * CATERPILLAR INC DEL COM COM 149123101 3,340 42,661 sh sole 42,661 * CB RICHARD ELLIS GROUP INC CL A COM 12497T101 257 11,862 sh sole 11,862 * CBS CORP NEW CL B COM 124857202 1,027 46,513 sh sole 46,513 * CELANESE CORP DEL COM SER A COM 150870103 109 2,800 sh sole 2,800 * CELESTICA INC SUB VTG SHS COM 15101Q108 76 11,300 sh sole 11,300 * CELGENE CORP COM COM 151020104 1,822 29,722 sh sole 29,722 * CENTERPOINT ENERGY INC COM COM 15189T107 319 22,369 sh sole 22,369 * CENTEX CORP COM COM 152312104 203 8,381 sh sole 8,381 * CENTURYTEL INC COM COM 156700106 243 7,303 sh sole 7,303 * CF INDS HLDGS INC COM COM 125269100 104 1,000 sh sole 1,000 * CHESAPEAKE ENERGY CORP COM COM 165167107 1,472 31,904 sh sole 31,904 * CHEVRON CORP NEW COM COM 166764100 12,122 142,007 sh sole 142,007 * CHUBB CORP COM COM 171232101 1,254 25,339 sh sole 25,339 * CIENA CORP COM NEW COM 171779309 183 5,949 sh sole 5,949 * CIGNA CORP COM COM 125509109 776 19,131 sh sole 19,131 * CIMAREX ENERGY CO COM COM 171798101 55 1,000 sh sole 1,000 * CINCINNATI FINL CORP COM COM 172062101 430 11,309 sh sole 11,309 * CINTAS CORP COM COM 172908105 255 8,927 sh sole 8,927 * CISCO SYS INC COM COM 17275R102 9,818 407,545 sh sole 407,545 * CIT GROUP INC COM COM 125581108 155 13,057 sh sole 13,057 * CITIGROUP INC COM COM 172967101 7,624 355,950 sh sole 355,950 * CITIZENS COMMUNICATIONS CO COM COM 17453B101 235 22,411 sh sole 22,411 * CITRIX SYS INC COM COM 177376100 372 12,686 sh sole 12,686 * CLEAR CHANNEL COMMUNICATIONS COM COM 184502102 994 34,018 sh sole 34,018 * CLOROX CO DEL COM COM 189054109 537 9,473 sh sole 9,473 * CME GROUP INC COM COM 12572Q105 1,699 3,621 sh sole 3,621 * CMS ENERGY CORP COM COM 125896100 209 15,406 sh sole 15,406 * CNET NETWORKS INC COM COM 12613R104 75 10,600 sh sole 10,600 * COACH INC COM COM 189754104 725 24,054 sh sole 24,054 * COCA COLA CO COM COM 191216100 8,316 136,626 sh sole 136,626 * COCA COLA ENTERPRISES INC COM COM 191219104 476 19,659 sh sole 19,659 * COGNIZANT TECHNOLOGY SOLUTIO CL A COM 192446102 569 19,740 sh sole 19,740 * COLGATE PALMOLIVE CO COM COM 194162103 2,713 34,826 sh sole 34,826 * COMCAST CORP NEW CL A COM 20030N101 3,981 205,832 sh sole 205,832 * COMERICA INC COM COM 200340107 362 10,312 sh sole 10,312 * COMPANHIA SIDERURGICA NACION SPONSORED ADR COM 20440W105 205 5,700 sh sole 5,700 * COMPANHIA VALE DO RIO DOCE SPONSORED ADR COM 204412209 229 6,600 sh sole 6,600 * COMPUTER SCIENCES CORP COM COM 205363104 456 11,181 sh sole 11,181 * COMPUWARE CORP COM COM 205638109 138 18,767 sh sole 18,767 * COMSTOCK RES INC COM NEW COM 205768203 56 1,400 sh sole 1,400 * CONAGRA FOODS INC COM COM 205887102 798 33,320 sh sole 33,320 * CONOCOPHILLIPS COM COM 20825C104 8,135 106,751 sh sole 106,751 * CONSOL ENERGY INC COM COM 20854P109 883 12,760 sh sole 12,760 * CONSOLIDATED EDISON INC COM COM 209115104 739 18,614 sh sole 18,614 * CONSTELLATION BRANDS INC CL A COM 21036P108 235 13,289 sh sole 13,289 * CONSTELLATION ENERGY GROUP I COM COM 210371100 1,074 12,169 sh sole 12,169 * CONVERGYS CORP COM COM 212485106 130 8,650 sh sole 8,650 * COOPER INDS LTD CL A COM G24182100 484 12,058 sh sole 12,058 * CORNING INC COM COM 219350105 2,588 107,657 sh sole 107,657 * COSTCO WHSL CORP NEW COM COM 22160K105 1,933 29,750 sh sole 29,750 * COUNTRYWIDE FINANCIAL CORP COM COM 222372104 218 39,720 sh sole 39,720 * COVENTRY HEALTH CARE INC COM COM 222862104 426 10,563 sh sole 10,563 * COVIDIEN LTD COM COM G2552X108 1,509 34,108 sh sole 34,108 * CSX CORP COM COM 126408103 1,548 27,603 sh sole 27,603 * CUMMINS INC COM COM 231021106 647 13,824 sh sole 13,824 * CVS CAREMARK CORPORATION COM COM 126650100 3,965 97,866 sh sole 97,866 * D R HORTON INC COM COM 23331A109 295 18,746 sh sole 18,746 * DANAHER CORP DEL COM COM 235851102 1,324 17,415 sh sole 17,415 * DARDEN RESTAURANTS INC COM COM 237194105 319 9,808 sh sole 9,808 * DEAN FOODS CO NEW COM COM 242370104 208 10,338 sh sole 10,338 * DEERE & CO COM COM 244199105 2,399 29,821 sh sole 29,821 * DELL INC COM COM 24702R101 3,125 156,897 sh sole 156,897 * DEVELOPERS DIVERSIFIED RLTY COM COM 251591103 341 8,138 sh sole 8,138 * DEVON ENERGY CORP NEW COM COM 25179M103 3,170 30,380 sh sole 30,380 * DILLARDS INC CL A COM 254067101 67 3,892 sh sole 3,892 * DIRECTV GROUP INC COM COM 25459L106 1,207 48,700 sh sole 48,700 * DISCOVER FINL SVCS COM COM 254709108 536 32,751 sh sole 32,751 * DISNEY WALT CO COM DISNEY COM 254687106 4,040 128,759 sh sole 128,759 * DOMINION RES INC VA NEW COM COM 25746U109 1,605 39,289 sh sole 39,289 * DONNELLEY R R & SONS CO COM COM 257867101 446 14,706 sh sole 14,706 * DOVER CORP COM COM 260003108 549 13,129 sh sole 13,129 * DOW CHEM CO COM COM 260543103 2,367 64,244 sh sole 64,244 * DTE ENERGY CO COM COM 233331107 433 11,139 sh sole 11,139 * DU PONT E I DE NEMOURS & CO COM COM 263534109 2,875 61,486 sh sole 61,486 * DUKE ENERGY CORP NEW COM COM 26441C105 1,541 86,313 sh sole 86,313 * DYNEGY INC DEL CL A COM 26817G102 267 33,873 sh sole 33,873 * E M C CORP MASS COM COM 268648102 2,060 143,623 sh sole 143,623 * E TRADE FINANCIAL CORP COM COM 269246104 122 31,589 sh sole 31,589 * EASTMAN CHEM CO COM COM 277432100 340 5,438 sh sole 5,438 * EASTMAN KODAK CO COM COM 277461109 348 19,719 sh sole 19,719 * EATON CORP COM COM 278058102 798 10,019 sh sole 10,019 * EBAY INC COM COM 278642103 2,276 76,262 sh sole 76,262 * ECOLAB INC COM COM 278865100 520 11,981 sh sole 11,981 * EDISON INTL COM COM 281020107 1,092 22,271 sh sole 22,271 * EL PASO CORP COM COM 28336L109 797 47,915 sh sole 47,915 * ELDORADO GOLD CORP NEW COM COM 284902103 104 15,200 sh sole 15,200 * ELECTRONIC ARTS INC COM COM 285512109 996 19,942 sh sole 19,942 * ELECTRONIC DATA SYS NEW COM COM 285661104 580 34,834 sh sole 34,834 * EMBARQ CORP COM COM 29078E105 421 10,490 sh sole 10,490 * EMERSON ELEC CO COM COM 291011104 2,769 53,801 sh sole 53,801 * ENCORE ACQUISITION CO COM COM 29255W100 28 700 sh sole 700 * ENERGY TRANSFER EQUITY L P COM UT LTD PTN COM 29273V100 25 800 sh sole 800 * ENERPLUS RES FD UNIT TR G NEW COM 29274D604 26 600 sh sole 600 * ENSCO INTL INC COM COM 26874Q100 615 9,815 sh sole 9,815 * ENTERGY CORP NEW COM COM 29364G103 1,424 13,051 sh sole 13,051 * EOG RES INC COM COM 26875P101 2,025 16,872 sh sole 16,872 * EQUIFAX INC COM COM 294429105 306 8,887 sh sole 8,887 * EQUITY RESIDENTIAL SH BEN INT COM 29476L107 764 18,417 sh sole 18,417 * EXELON CORP COM COM 30161N101 3,676 45,228 sh sole 45,228 * EXPEDIA INC DEL COM COM 30212P105 312 14,231 sh sole 14,231 * EXPEDITORS INTL WASH INC COM COM 302130109 659 14,590 sh sole 14,590 * EXPRESS SCRIPTS INC COM COM 302182100 1,112 17,287 sh sole 17,287 * EXXON MOBIL CORP COM COM 30231G102 30,960 366,042 sh sole 366,042 * FAMILY DLR STORES INC COM COM 307000109 187 9,585 sh sole 9,585 * FEDERAL HOME LN MTG CORP COM COM 313400301 1,118 44,151 sh sole 44,151 * FEDERAL NATL MTG ASSN COM COM 313586109 1,761 66,900 sh sole 66,900 * FEDERATED INVS INC PA CL B COM 314211103 231 5,890 sh sole 5,890 * FEDEX CORP COM COM 31428X106 1,958 21,131 sh sole 21,131 * FIDELITY NATL INFORMATION SV COM COM 31620M106 447 11,712 sh sole 11,712 * FIFTH THIRD BANCORP COM COM 316773100 762 36,408 sh sole 36,408 * FIRST HORIZON NATL CORP COM COM 320517105 121 8,615 sh sole 8,615 * FIRSTENERGY CORP COM COM 337932107 1,430 20,835 sh sole 20,835 * FISERV INC COM COM 337738108 542 11,261 sh sole 11,261 * FLEXTRONICS INTL LTD ORD COM Y2573F102 88 7,700 sh sole 7,700 * FLUOR CORP NEW COM COM 343412102 854 6,047 sh sole 6,047 * FORD MTR CO DEL COM PAR $0.01 COM 345370860 863 150,903 sh sole 150,903 * FOREST LABS INC COM COM 345838106 851 21,267 sh sole 21,267 * FORTUNE BRANDS INC COM COM 349631101 734 10,555 sh sole 10,555 * FPL GROUP INC COM COM 302571104 1,746 27,835 sh sole 27,835 * FRANKLIN RES INC COM COM 354613101 1,044 10,765 sh sole 10,765 * FREEPORT-MCMORAN COPPER & GO COM COM 35671D857 2,901 30,146 sh sole 30,146 * GAMESTOP CORP NEW CL A COM 36467W109 570 11,026 sh sole 11,026 * GANNETT INC COM COM 364730101 456 15,702 sh sole 15,702 * GAP INC DEL COM COM 364760108 612 31,085 sh sole 31,085 * GARTNER INC COM COM 366651107 38 3,800 sh sole 3,800 * GENERAL DYNAMICS CORP COM COM 369550108 2,292 27,486 sh sole 27,486 * GENERAL ELECTRIC CO COM COM 369604103 25,267 682,711 sh sole 682,711 * GENERAL GROWTH PPTYS INC COM COM 370021107 696 18,238 sh sole 18,238 * GENERAL MLS INC COM COM 370334104 1,379 23,037 sh sole 23,037 * GENERAL MTRS CORP COM COM 370442105 737 38,687 sh sole 38,687 * GENUINE PARTS CO COM COM 372460105 454 11,292 sh sole 11,292 * GENWORTH FINL INC COM CL A COM 37247D106 670 29,592 sh sole 29,592 * GENZYME CORP COM COM 372917104 1,362 18,270 sh sole 18,270 * GILEAD SCIENCES INC COM COM 375558103 3,272 63,501 sh sole 63,501 * GOLDMAN SACHS GROUP INC COM COM 38141G104 4,465 26,994 sh sole 26,994 * GOODRICH CORP COM COM 382388106 491 8,537 sh sole 8,537 * GOODYEAR TIRE & RUBR CO COM COM 382550101 423 16,409 sh sole 16,409 * GOOGLE INC CL A COM 38259P508 6,985 15,858 sh sole 15,858 * GRAINGER W W INC COM COM 384802104 348 4,559 sh sole 4,559 * HALLIBURTON CO COM COM 406216101 2,335 59,373 sh sole 59,373 * HARLEY DAVIDSON INC COM COM 412822108 611 16,296 sh sole 16,296 * HARMAN INTL INDS INC COM COM 413086109 179 4,116 sh sole 4,116 * HARTFORD FINL SVCS GROUP INC COM COM 416515104 1,627 21,478 sh sole 21,478 * HASBRO INC COM COM 418056107 272 9,738 sh sole 9,738 * HCP INC COM COM 40414L109 542 16,022 sh sole 16,022 * HEINZ H J CO COM COM 423074103 1,011 21,535 sh sole 21,535 * HERCULES INC COM COM 427056106 243 13,266 sh sole 13,266 * HERSHEY CO COM COM 427866108 432 11,471 sh sole 11,471 * HESS CORP COM COM 42809H107 1,682 19,071 sh sole 19,071 * HEWLETT PACKARD CO COM COM 428236103 7,697 168,574 sh sole 168,574 * HITACHI LIMITED ADR 10 COM COM 433578507 71 1,200 sh sole 1,200 * HOME DEPOT INC COM COM 437076102 3,228 115,394 sh sole 115,394 * HONEYWELL INTL INC COM COM 438516106 2,872 50,897 sh sole 50,897 * HOSPIRA INC COM COM 441060100 464 10,852 sh sole 10,852 * HOST HOTELS & RESORTS INC COM COM 44107P104 570 35,816 sh sole 35,816 * HUDSON CITY BANCORP COM COM 443683107 627 35,465 sh sole 35,465 * HUMANA INC COM COM 444859102 521 11,612 sh sole 11,612 * HUNTINGTON BANCSHARES INC COM COM 446150104 269 25,047 sh sole 25,047 * IAC INTERACTIVECORP COM NEW COM 44919P300 256 12,334 sh sole 12,334 * ILLINOIS TOOL WKS INC COM COM 452308109 1,320 27,364 sh sole 27,364 * IMPERIAL OIL LTD COM NEW COM 453038408 21 400 sh sole 400 * IMS HEALTH INC COM COM 449934108 264 12,546 sh sole 12,546 * INFOSYS TECHNOLOGIES LTD SPONSORED ADR COM 456788108 79 2,200 sh sole 2,200 * INGERSOLL-RAND COMPANY LTD CL A COM G4776G101 832 18,666 sh sole 18,666 * INTEGRYS ENERGY GROUP INC COM COM 45822P105 243 5,216 sh sole 5,216 * INTEL CORP COM COM 458140100 8,381 395,703 sh sole 395,703 * INTERCONTINENTALEXCHANGE INC COM COM 45865V100 628 4,809 sh sole 4,809 * INTERNATIONAL BUSINESS MACHS COM COM 459200101 10,899 94,659 sh sole 94,659 * INTERNATIONAL FLAVORS&FRAGRA COM COM 459506101 245 5,568 sh sole 5,568 * INTERNATIONAL GAME TECHNOLOG COM COM 459902102 861 21,413 sh sole 21,413 * INTERPUBLIC GROUP COS INC COM COM 460690100 271 32,231 sh sole 32,231 * INTL PAPER CO COM COM 460146103 796 29,271 sh sole 29,271 * INTUIT COM COM 461202103 605 22,408 sh sole 22,408 * ITT CORP NEW COM COM 450911102 644 12,424 sh sole 12,424 * JABIL CIRCUIT INC COM COM 466313103 135 14,248 sh sole 14,248 * JACOBS ENGR GROUP INC DEL COM COM 469814107 609 8,273 sh sole 8,273 * JANUS CAP GROUP INC COM COM 47102X105 235 10,084 sh sole 10,084 * JDS UNIPHASE CORP COM PAR $0.001 COM 46612J507 206 15,379 sh sole 15,379 * JOHNSON & JOHNSON COM COM 478160104 12,563 193,670 sh sole 193,670 * JOHNSON CTLS INC COM COM 478366107 1,371 40,575 sh sole 40,575 * JONES APPAREL GROUP INC COM COM 480074103 79 5,900 sh sole 5,900 * JP MORGAN CHASE & CO COM COM 46625H100 9,973 232,199 sh sole 232,199 * JUNIPER NETWORKS INC COM COM 48203R104 896 35,820 sh sole 35,820 * KB HOME COM COM 48666K109 130 5,274 sh sole 5,274 * KELLOGG CO COM COM 487836108 935 17,788 sh sole 17,788 * KEYCORP NEW COM COM 493267108 598 27,250 sh sole 27,250 * KIMBERLY CLARK CORP COM COM 494368103 1,855 28,739 sh sole 28,739 * KIMCO REALTY CORP COM COM 49446R109 677 17,292 sh sole 17,292 * KINDER MORGAN ENERGY PARTNER UT LTD PARTNER COM 494550106 22 400 sh sole 400 * KING PHARMACEUTICALS INC COM COM 495582108 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ELI & CO COM COM 532457108 3,487 67,600 sh sole 67,600 * LIMITED BRANDS INC COM COM 532716107 364 21,264 sh sole 21,264 * LINCOLN NATL CORP IND COM COM 534187109 940 18,076 sh sole 18,076 * LINEAR TECHNOLOGY CORP COM COM 535678106 463 15,093 sh sole 15,093 * LINN ENERGY LLC UNIT LTD LIAB COM 536020100 25 1,300 sh sole 1,300 * LIZ CLAIBORNE INC COM COM 539320101 124 6,806 sh sole 6,806 * LOCKHEED MARTIN CORP COM COM 539830109 2,326 23,420 sh sole 23,420 * LOEWS CORP COM COM 540424108 1,209 30,072 sh sole 30,072 * LOWES COS INC COM COM 548661107 2,294 100,005 sh sole 100,005 * LSI CORPORATION COM COM 502161102 224 45,214 sh sole 45,214 * M & T BK CORP COM COM 55261F104 425 5,275 sh sole 5,275 * MACYS INC COM COM 55616P104 683 29,628 sh sole 29,628 * MANITOWOC INC COM COM 563571108 361 8,849 sh sole 8,849 * MARATHON OIL CORP COM COM 565849106 2,210 48,457 sh sole 48,457 * MARRIOTT INTL INC NEW CL A COM 571903202 706 20,554 sh sole 20,554 * MARSH & MCLENNAN COS INC COM COM 571748102 867 35,617 sh sole 35,617 * MARSHALL & ILSLEY CORP NEW COM ADDED COM 571837103 415 17,909 sh sole 17,909 * MASCO CORP COM COM 574599106 495 24,948 sh sole 24,948 * MATTEL INC COM COM 577081102 492 24,725 sh sole 24,725 * MBIA INC COM COM 55262C100 175 14,343 sh sole 14,343 * MCCORMICK & CO INC COM NON VTG COM 579780206 324 8,774 sh sole 8,774 * MCDONALDS CORP COM COM 580135101 4,390 78,720 sh sole 78,720 * MCGRAW HILL COS INC COM COM 580645109 816 22,080 sh sole 22,080 * MCKESSON CORP COM COM 58155Q103 1,036 19,787 sh sole 19,787 * MEADWESTVACO CORP COM COM 583334107 323 11,871 sh sole 11,871 * MEDCO HEALTH SOLUTIONS INC COM COM 58405U102 1,567 35,795 sh sole 35,795 * MEDTRONIC INC COM COM 585055106 3,715 76,799 sh sole 76,799 * MEMC ELECTR MATLS INC COM COM 552715104 1,171 16,519 sh sole 16,519 * MERCK & CO INC COM COM 589331107 5,619 148,055 sh sole 148,055 * MEREDITH CORP COM COM 589433101 98 2,557 sh sole 2,557 * MERRILL LYNCH & CO INC COM COM 590188108 2,707 66,448 sh sole 66,448 * METAVANTE TECHNOLOGIES INC COM ADDED COM 591407101 39 3,900 sh sole 3,900 * METLIFE INC COM COM 59156R108 2,921 48,477 sh sole 48,477 * MGIC INVT CORP WIS COM COM 552848103 86 8,135 sh sole 8,135 * MICROCHIP TECHNOLOGY INC COM COM 595017104 423 12,928 sh sole 12,928 * MICRON TECHNOLOGY INC COM COM 595112103 147 24,705 sh sole 24,705 * MICROSOFT CORP COM COM 594918104 15,037 529,831 sh sole 529,831 * MILLICOM INTL CELLULAR S A SHS NEW COM L6388F110 237 2,200 sh sole 2,200 * MILLIPORE CORP COM COM 601073109 252 3,737 sh sole 3,737 * MOLEX INC COM COM 608554101 222 9,593 sh sole 9,593 * MOLSON COORS BREWING CO CL B COM 60871R209 494 9,399 sh sole 9,399 * MONSANTO CO NEW COM COM 61166W101 4,180 37,490 sh sole 37,490 * MONSTER WORLDWIDE INC COM COM 611742107 208 8,583 sh sole 8,583 * MOODYS CORP COM COM 615369105 490 14,062 sh sole 14,062 * MORGAN STANLEY COM NEW COM 617446448 3,450 75,503 sh sole 75,503 * MOTOROLA INC COM COM 620076109 1,354 145,635 sh sole 145,635 * MURPHY OIL CORP COM 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sh sole 33,878 * WATERS CORP COM COM 941848103 382 6,855 sh sole 6,855 * WATSON PHARMACEUTICALS INC COM COM 942683103 209 7,115 sh sole 7,115 * WEATHERFORD INTERNATIONAL LT COM COM G95089101 1,679 23,170 sh sole 23,170 * WELLPOINT INC COM COM 94973V107 1,635 37,047 sh sole 37,047 * WELLS FARGO & CO NEW COM COM 949746101 6,558 225,367 sh sole 225,367 * WENDYS INTL INC COM COM 950590109 138 5,985 sh sole 5,985 * WESTERN DIGITAL CORP COM COM 958102105 65 2,400 sh sole 2,400 * WESTERN UN CO COM COM 959802109 1,090 51,258 sh sole 51,258 * WEYERHAEUSER CO COM COM 962166104 809 12,441 sh sole 12,441 * WHIRLPOOL CORP COM COM 963320106 451 5,193 sh sole 5,193 * WHITING PETE CORP NEW COM COM 966387102 52 800 sh sole 800 * WHOLE FOODS MKT INC COM COM 966837106 315 9,541 sh sole 9,541 * WILLIAMS COS INC DEL COM COM 969457100 1,318 39,976 sh sole 39,976 * WINDSTREAM CORP COM COM 97381W104 371 31,066 sh sole 31,066 * WRIGLEY WM JR CO COM COM 982526105 931 14,808 sh sole 14,808 * WYETH COM COM 983024100 3,819 91,453 sh sole 91,453 * WYNDHAM WORLDWIDE CORP COM COM 98310W108 250 12,076 sh sole 12,076 * XCEL ENERGY INC COM COM 98389B100 586 29,353 sh sole 29,353 * XEROX CORP COM COM 984121103 940 62,759 sh sole 62,759 * XILINX INC COM COM 983919101 465 19,591 sh sole 19,591 * XL CAP LTD CL A COM G98255105 360 12,167 sh sole 12,167 * XTO ENERGY INC COM COM 98385X106 2,157 34,877 sh sole 34,877 * YAHOO INC COM COM 984332106 2,645 91,430 sh sole 91,430 * YUM BRANDS INC COM COM 988498101 1,209 32,497 sh sole 32,497 * ZIMMER HLDGS INC COM COM 98956P102 1,240 15,930 sh sole 15,930 * ZIONS BANCORPORATION COM COM 989701107 335 7,353 sh sole 7,353 ABITIBIBOWATER INC COM ADDED COM 003687100 297 23,000 Put sole 23,000 AIXTRON AKTIENGESELLSCHAFT SPONSORED ADR COM 009606104 72 5,500 sh sole 5,500 ANIXTER INTL INC NOTE 1.000% 2/1 NOTE 035290AJ4 13,934 14,798,163 prn sole 14,798,163 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 NOTE 10112RAG9 8,529 8,585,236 prn sole 8,585,236 BRANDYWINE OPER PARTNERSHIP NOTE 3.875%10/1 NOTE 105340AH6 6,401 6,925,830 prn sole 6,925,830 BRASIL TELECOM SA SPONS ADR PFD COM 10553M101 226 6,900 sh sole 6,900 BRE PROPERTIES INC NOTE 4.125% 8/1 NOTE 05564EBH8 3,053 2,973,847 prn sole 2,973,847 CELLCOM ISRAEL LTD SHS COM M2196U109 223 6,700 sh sole 6,700 CENTURY ALUM CO NOTE 1.750% 8/0 NOTE 156431AE8 14,295 13,363,381 prn sole 13,363,381 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 NOTE 165167BW6 3,344 3,230,115 prn sole 3,230,115 CIENA CORP NOTE 0.875% 6/1 NOTE 171779AE1 3,347 3,810,394 prn sole 3,810,394 CONTINENTAL AIRLS INC CL B COM 210795308 7,877 409,600 Put sole 409,600 CORE LABORATORIES LP NOTE 0.250%10/3 NOTE 21868FAB9 7,037 7,534,446 prn sole 7,534,446 COUNTRYWIDE FINANCIAL CORP DBCV 4/1 ADDED NOTE 222372AN4 4,400 4,487,500 prn sole 4,487,500 COUNTRYWIDE FINANCIAL CORP DBCV 5/1 ADDED NOTE 222372AP9 8,500 8,001,250 prn sole 8,001,250 COVANTA HLDG CORP DBCV 1.000% 2/0 NOTE 22282EAA0 3,328 3,466,626 prn sole 3,466,626 DISNEY WALT CO NOTE 2.125% 4/1 NOTE 254687AU0 5,336 5,570,425 prn sole 5,570,425 ERP OPER LTD PARTNERSHIP NOTE 3.850% 8/1 NOTE 26884AAV5 12,030 11,711,913 prn sole 11,711,913 GANNETT CO INC FRNT 7/1 NOTE 364725AG6 88,110 88,422,750 prn sole 88,422,750 GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 NOTE 369300AD0 6,738 7,173,590 prn sole 7,173,590 GENERAL MTRS CORP COM COM 370442105 7,938 416,700 Put sole 416,700 GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 NOTE 398905AE9 1,597 2,081,026 prn sole 2,081,026 HEALTH MGMT ASSOC INC NEW NOTE 4.375% 8/0 NOTE 421933AF9 9,885 9,705,933 prn sole 9,705,933 HELLENIC TELECOM ORGANIZATN SPONSORED ADR COM 423325307 216 15,300 sh sole 15,300 HOLOGIC INC FRNT 2.000%12/1 ADDED NOTE 436440AA9 2,403 2,497,500 prn sole 2,497,500 HOSPITALITY PPTYS TR NOTE 3.800% 3/1 NOTE 44106MAK8 2,621 2,757,294 prn sole 2,757,294 HOVNANIAN ENTERPRISES INC CL A COM 442487203 4,398 414,900 Put sole 414,900 HOVNANIAN ENTERPRISES INC CL A COM 442487203 4,240 400,000 Call sole 400,000 ILLUMINA INC NOTE 0.625% 2/1 NOTE 452327AB5 4,532 3,627,325 prn sole 3,627,325 ISTAR FINL INC FRNT 10/0 ADDED NOTE 45031UBF7 3,799 4,859,801 prn sole 4,859,801 KB HOME COM COM 4866K109 13,676 553,000 Put sole 553,000 KB HOME COM COM 4866K109 989 40,000 Call sole 40,000 LAMAR ADVERTISING CO NOTE 2.875%12/3 NOTE 512815AH4 2,491 3,020,350 prn sole 3,020,350 MILLENNIUM PHARMACEUTICALS I NOTE 2.250%11/1 NOTE 599902AD5 2,434 2,399,692 prn sole 2,399,692 NABORS INDS INC NOTE 0.940% 5/1 NOTE 629568AP1 8,165 7,663,473 prn sole 7,663,473 NATIONAL RETAIL PROPERTIES I NOTE 3.950% 9/1 NOTE 637417AA4 3,542 3,567,750 prn sole 3,567,750 NRG ENERGY INC COM NEW COM 629377508 12,524 321,200 Put sole 321,200 OMNICARE INC DBCV 3.250%12/1 NOTE 681904AL2 4,603 5,252,334 prn sole 5,252,334 PROLOGIS NOTE 1.875%11/1 ADDED NOTE 743410AR3 25,236 24,111,896 prn sole 24,111,896 PRUDENTIAL FINL INC FRNT 12/1 NOTE 744320AG7 19,352 19,647,750 prn sole 19,647,750 RECKSON OPER PARTNERSHIP L P DEB 4.000% 6/1 NOTE 75621LAJ3 9,421 9,294,180 prn sole 9,294,180 ROYAL KPN NV SPONSORED ADR COM 780641205 206 12,900 sh sole 12,900 SBA COMMUNICATIONS CORP NOTE 0.375%12/0 NOTE 78388JAJ5 2,661 3,026,933 prn sole 3,026,933 SINCLAIR BROADCAST GROUP INC NOTE 4.875% 7/1 NOTE 829226AU3 23,790 24,257,420 prn sole 24,257,420 STANDARD PAC CORP NEW COM COM 85375C101 1,458 300,000 Call sole 300,000 TERRA NITROGEN CO L P COM UNIT COM 881005201 100 900 sh sole 900 TOLL BROTHERS INC COM COM 889478103 1,721 73,300 Put sole 73,300 TRANSOCEAN SEDCO FOREX INC NOTE 1.625%12/1 ADDED NOTE 893830AU3 8,171 8,212,268 prn sole 8,212,268 VORNADO RLTY L P DEB 3.875% 4/1 NOTE 929043AC1 11,152 11,373,035 prn sole 11,373,035 VORNADO RLTY TR DBCV 2.850% 4/0 NOTE 929042AC3 4,232 4,287,360 prn sole 4,287,360 WASHINGTON MUT INC COM COM 939322103 1,030 100,000 Put sole 100,000 WASHINGTON POST CO CL B COM 939640108 276 417 sh sole 417 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 NOTE 939653AK7 3,255 3,268,735 prn sole 3,268,735 WEINGARTEN RLTY INVS NOTE 3.950% 8/0 NOTE 948741AF0 2,834 2,854,881 prn sole 2,854,881 WELLS FARGO & CO NEW DBCV 5/0 NOTE 949746FA4 9,444 9,398,988 prn sole 9,398,988
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