0001085146-11-001186.txt : 20111114
0001085146-11-001186.hdr.sgml : 20111111
20111114073517
ACCESSION NUMBER: 0001085146-11-001186
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110930
FILED AS OF DATE: 20111114
DATE AS OF CHANGE: 20111114
EFFECTIVENESS DATE: 20111114
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: EULAV ASSET MANAGEMENT, LLC
CENTRAL INDEX KEY: 0001432083
IRS NUMBER: 133139843
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0430
FILING VALUES:
FORM TYPE: 13F-HR
SEC ACT: 1934 Act
SEC FILE NUMBER: 028-13540
FILM NUMBER: 111197743
BUSINESS ADDRESS:
STREET 1: 220 E. 42ND STREET - 6TH FLOOR
STREET 2: C/O HOWARD BRECHER
CITY: NEW YORK
STATE: NY
ZIP: 10017
BUSINESS PHONE: 212-907-1883
MAIL ADDRESS:
STREET 1: 220 E. 42ND STREET - 6TH FLOOR
STREET 2: C/O HOWARD BRECHER
CITY: NEW YORK
STATE: NY
ZIP: 10017
13F-HR
1
eulav3q2011.txt
EULAV ASSET MANAGEMENT
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: September 30, 2011
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: EULAV Asset Management
Address: 7 Times Square
New York, NY 10036
13F File Number: 028-13540
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: Mitchell E. Appel
Title: Chief Executive Officer
Phone: 212-907-1827
Signature, Place, and Date of Signing:
/s/ Mitchell E. Appel New York, NY October 31, 2011
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
Form 13F Information Table Entry Total: 631
Form 13F Information Table Value Total: $1,424,757 (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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
AAR CORP NOTE 1.750% 2/0 000361AH8 241 250000 PRN DEFINED 0 250000 0
ABB LTD SPONSORED ADR 000375204 1452 85000 SH DEFINED 0 85000 0
ABOVENET INC COM 00374N107 343 6400 SH DEFINED 0 6400 0
ACACIA RESH CORP ACACIA TCH COM 003881307 2080 57800 SH DEFINED 0 57800 0
ACCENTURE PLC IRELAND SHS CLASS A G1151C101 8281 157200 SH DEFINED 0 157200 0
ACE LTD SHS H0023R105 303 5000 SH DEFINED 0 5000 0
ACME PACKET INC COM 004764106 2939 69000 SH DEFINED 0 69000 0
ACTIVISION BLIZZARD INC COM 00507V109 857 72000 SH DEFINED 0 72000 0
ACTUANT CORP CL A NEW 00508X203 948 48000 SH DEFINED 0 48000 0
ACUITY BRANDS INC COM 00508Y102 3824 106100 SH DEFINED 0 106100 0
ADOBE SYS INC COM 00724F101 544 22500 SH DEFINED 0 22500 0
ADVANCED MICRO DEVICES INC NOTE 5.750% 8/1 007903AN7 1010 1000000 PRN DEFINED 0 1000000 0
ADVENT SOFTWARE INC COM 007974108 2327 111600 SH DEFINED 0 111600 0
ADVISORY BRD CO COM 00762W107 523 8100 SH DEFINED 0 8100 0
AETNA INC NEW COM 00817Y108 2180 60000 SH DEFINED 0 60000 0
AFFILIATED MANAGERS GROUP COM 008252108 4363 55900 SH DEFINED 0 55900 0
AFLAC INC COM 001055102 3729 106700 SH DEFINED 0 106700 0
AGCO CORP COM 001084102 346 10000 SH DEFINED 0 10000 0
AGCO CORP NOTE 1.250%12/1 001084AM4 111 100000 PRN DEFINED 0 100000 0
AGILENT TECHNOLOGIES INC COM 00846U101 1594 51000 SH DEFINED 0 51000 0
AGL RES INC COM 001204106 2575 63200 SH DEFINED 0 63200 0
AGRIUM INC COM 008916108 1400 21000 SH DEFINED 0 21000 0
AIR PRODS & CHEMS INC COM 009158106 4429 58000 SH DEFINED 0 58000 0
AIRGAS INC COM 009363102 957 15000 SH DEFINED 0 15000 0
AKORN INC COM 009728106 608 78000 SH DEFINED 0 78000 0
ALBEMARLE CORP COM 012653101 4593 113700 SH DEFINED 0 113700 0
ALERE INC NOTE 3.000% 5/1 01449JAA3 870 1000000 PRN DEFINED 0 1000000 0
ALEXION PHARMACEUTICALS INC COM 015351109 18808 293600 SH DEFINED 0 293600 0
ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 121 100000 PRN DEFINED 0 100000 0
ALLERGAN INC COM 018490102 7299 88600 SH DEFINED 0 88600 0
ALLIANCE DATA SYSTEMS CORP COM 018581108 3829 41300 SH DEFINED 0 41300 0
ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 316 250000 PRN DEFINED 0 250000 0
ALLIANT TECHSYSTEMS INC NOTE 3.000% 8/1 018804AK0 151 150000 PRN DEFINED 0 150000 0
ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 142 150000 PRN DEFINED 0 150000 0
ALTERA CORP COM 021441100 1640 52000 SH DEFINED 0 52000 0
AMDOCS LTD ORD G02602103 542 20000 SH DEFINED 0 20000 0
AMERICAN ELEC PWR INC COM 025537101 989 26000 SH DEFINED 0 26000 0
AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 150 150000 PRN DEFINED 0 150000 0
AMERICAN STS WTR CO COM 029899101 848 25000 SH DEFINED 0 25000 0
AMERICAN TOWER CORP CL A 029912201 3820 71000 SH DEFINED 0 71000 0
AMERIPRISE FINL INC COM 03076C106 590 15000 SH DEFINED 0 15000 0
AMETEK INC NEW COM 031100100 10074 305550 SH DEFINED 0 305550 0
AMGEN INC COM 031162100 2528 46000 SH DEFINED 0 46000 0
AMPHENOL CORP NEW CL A 032095101 5035 123500 SH DEFINED 0 123500 0
AMR CORP NOTE 6.250%10/1 001765BC9 739 1250000 PRN DEFINED 0 1250000 0
ANALOG DEVICES INC COM 032654105 1656 53000 SH DEFINED 0 53000 0
ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 496 12000 SH DEFINED 0 12000 0
ANIXTER INTL INC COM 035290105 1788 37700 SH DEFINED 0 37700 0
ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 866 850000 PRN DEFINED 0 850000 0
ANSYS INC COM 03662Q105 10584 215826 SH DEFINED 0 215826 0
APACHE CORP PFD CONV SER D 037411808 1996 39000 SH DEFINED 0 39000 0
APPLE INC COM 037833100 4233 11100 SH DEFINED 0 11100 0
APTARGROUP INC COM 038336103 7277 162900 SH DEFINED 0 162900 0
ARBITRON INC COM 03875Q108 1145 34600 SH DEFINED 0 34600 0
ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 105 100000 PRN DEFINED 0 100000 0
ARCH CAP GROUP LTD ORD G0450A105 6489 198600 SH DEFINED 0 198600 0
ARIBA INC COM NEW 04033V203 2444 88200 SH DEFINED 0 88200 0
ARROW ELECTRS INC COM 042735100 556 20000 SH DEFINED 0 20000 0
ARUBA NETWORKS INC COM 043176106 1715 82000 SH DEFINED 0 82000 0
AT&T INC COM 00206R102 2282 80000 SH DEFINED 0 80000 0
ATWOOD OCEANICS INC COM 050095108 344 10000 SH DEFINED 0 10000 0
AUTOMATIC DATA PROCESSING IN COM 053015103 707 15000 SH DEFINED 0 15000 0
AUTOZONE INC COM 053332102 13278 41600 SH DEFINED 0 41600 0
AVAGO TECHNOLOGIES LTD SHS Y0486S104 2438 74400 SH DEFINED 0 74400 0
AVALONBAY CMNTYS INC COM 053484101 1082 9490 SH DEFINED 0 9490 0
AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 338 350000 PRN DEFINED 0 350000 0
AVNET INC COM 053807103 391 15000 SH DEFINED 0 15000 0
AVON PRODS INC COM 054303102 980 50000 SH DEFINED 0 50000 0
AZZ INC COM 002474104 2086 53800 SH DEFINED 0 53800 0
B & G FOODS INC NEW COM 05508R106 183 11000 SH DEFINED 0 11000 0
BABCOCK & WILCOX CO NEW COM 05615F102 235 12000 SH DEFINED 0 12000 0
BAIDU INC SPON ADR REP A 056752108 2288 21400 SH DEFINED 0 21400 0
BALCHEM CORP COM 057665200 582 15600 SH DEFINED 0 15600 0
BALL CORP COM 058498106 3006 96900 SH DEFINED 0 96900 0
BANCOLOMBIA S A SPON ADR PREF 05968L102 1950 35000 SH DEFINED 0 35000 0
BANK MONTREAL QUE COM 063671101 3613 64700 SH DEFINED 0 64700 0
BANK NOVA SCOTIA HALIFAX COM 064149107 1384 27600 SH DEFINED 0 27600 0
BARD C R INC COM 067383109 3221 36800 SH DEFINED 0 36800 0
BARRETT BILL CORP NOTE 5.000% 3/1 06846NAA2 250 250000 PRN DEFINED 0 250000 0
BARRICK GOLD CORP COM 067901108 2892 62000 SH DEFINED 0 62000 0
BAXTER INTL INC COM 071813109 561 10000 SH DEFINED 0 10000 0
BCE INC COM NEW 05534B760 2210 59000 SH DEFINED 0 59000 0
BE AEROSPACE INC COM 073302101 1967 59400 SH DEFINED 0 59400 0
BECTON DICKINSON & CO COM 075887109 1796 24500 SH DEFINED 0 24500 0
BED BATH & BEYOND INC COM 075896100 3628 63300 SH DEFINED 0 63300 0
BHP BILLITON LTD SPONSORED ADR 088606108 1860 28000 SH DEFINED 0 28000 0
BIO RAD LABS INC CL A 090572207 1443 15900 SH DEFINED 0 15900 0
BIOGEN IDEC INC COM 09062X103 2795 30000 SH DEFINED 0 30000 0
BIO-REFERENCE LABS INC COM $.01 NEW 09057G602 387 21000 SH DEFINED 0 21000 0
BLACKBAUD INC COM 09227Q100 539 24200 SH DEFINED 0 24200 0
BLACKBOARD INC COM 091935502 2112 47300 SH DEFINED 0 47300 0
BLACKROCK INC COM 09247X101 8244 55700 SH DEFINED 0 55700 0
BMC SOFTWARE INC COM 055921100 617 16000 SH DEFINED 0 16000 0
BOARDWALK PIPELINE PARTNERS UT LTD PARTNER 096627104 256 10000 SH DEFINED 0 10000 0
BOEING CO COM 097023105 1694 28000 SH DEFINED 0 28000 0
BORGWARNER INC COM 099724106 5200 85900 SH DEFINED 0 85900 0
BOSTON BEER INC CL A 100557107 233 3200 SH DEFINED 0 3200 0
BRE PROPERTIES INC CL A 05564E106 677 16000 SH DEFINED 0 16000 0
BRF-BRASIL FOODS S A SPONSORED ADR 10552T107 1192 68000 SH DEFINED 0 68000 0
BRINKER INTL INC COM 109641100 4397 210200 SH DEFINED 0 210200 0
BRISTOL MYERS SQUIBB CO COM 110122108 2699 86000 SH DEFINED 0 86000 0
BRISTOW GROUP INC COM 110394103 424 10000 SH DEFINED 0 10000 0
BRISTOW GROUP INC NOTE 3.000% 6/1 110394AC7 249 250000 PRN DEFINED 0 250000 0
BRITISH AMERN TOB PLC SPONSORED ADR 110448107 3881 45800 SH DEFINED 0 45800 0
BROWN FORMAN CORP CL B 115637209 379 5400 SH DEFINED 0 5400 0
BUCKLE INC COM 118440106 3404 88500 SH DEFINED 0 88500 0
BUFFALO WILD WINGS INC COM 119848109 1884 31500 SH DEFINED 0 31500 0
BUNGE LIMITED COM G16962105 2506 43000 SH DEFINED 0 43000 0
C H ROBINSON WORLDWIDE INC COM NEW 12541W209 4766 69600 SH DEFINED 0 69600 0
CABOT OIL & GAS CORP COM 127097103 1610 26000 SH DEFINED 0 26000 0
CACI INTL INC NOTE 2.125% 5/0 127190AD8 385 350000 PRN DEFINED 0 350000 0
CAL DIVE INTL INC NOTE 3.250%12/1 127914AB5 1666 1700000 PRN DEFINED 0 1700000 0
CALIFORNIA WTR SVC GROUP COM 130788102 496 28000 SH DEFINED 0 28000 0
CAMPBELL SOUP CO COM 134429109 486 15000 SH DEFINED 0 15000 0
CANADIAN NAT RES LTD COM 136385101 468 16000 SH DEFINED 0 16000 0
CANADIAN NATL RY CO COM 136375102 8216 123400 SH DEFINED 0 123400 0
CANADIAN PAC RY LTD COM 13645T100 289 6000 SH DEFINED 0 6000 0
CANON INC ADR 138006309 950 21000 SH DEFINED 0 21000 0
CAPITAL ONE FINL CORP COM 14040H105 1704 43000 SH DEFINED 0 43000 0
CARDTRONICS INC COM 14161H108 481 21000 SH DEFINED 0 21000 0
CARLISLE COS INC COM 142339100 603 18900 SH DEFINED 0 18900 0
CASEYS GEN STORES INC COM 147528103 1851 42400 SH DEFINED 0 42400 0
CATALYST HEALTH SOLUTIONS IN COM 14888B103 3588 62200 SH DEFINED 0 62200 0
CAVIUM INC COM 14964U108 551 20400 SH DEFINED 0 20400 0
CDN IMPERIAL BK OF COMMERCE COM 136069101 573 8200 SH DEFINED 0 8200 0
CELANESE CORP DEL COM SER A 150870103 2033 62500 SH DEFINED 0 62500 0
CENTERPOINT ENERGY INC COM 15189T107 392 20000 SH DEFINED 0 20000 0
CENTURYLINK INC COM 156700106 1093 33000 SH DEFINED 0 33000 0
CERADYNE INC COM 156710105 350 13000 SH DEFINED 0 13000 0
CERNER CORP COM 156782104 6181 90200 SH DEFINED 0 90200 0
CF INDS HLDGS INC COM 125269100 2924 23700 SH DEFINED 0 23700 0
CHARLES RIV LABS INTL INC NOTE 2.250% 6/1 159864AB3 1228 1250000 PRN DEFINED 0 1250000 0
CHART INDS INC COM PAR $0.01 16115Q308 1392 33000 SH DEFINED 0 33000 0
CHECK POINT SOFTWARE TECH LT ORD M22465104 6611 125300 SH DEFINED 0 125300 0
CHESAPEAKE ENERGY CORP COM 165167107 1584 62000 SH DEFINED 0 62000 0
CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 476 500000 PRN DEFINED 0 500000 0
CHEVRON CORP NEW COM 166764100 3981 43000 SH DEFINED 0 43000 0
CHICAGO BRIDGE & IRON CO N V N Y REGISTRY SH 167250109 3307 115500 SH DEFINED 0 115500 0
CHIPOTLE MEXICAN GRILL INC COM 169656105 7634 25200 SH DEFINED 0 25200 0
CHURCH & DWIGHT INC COM 171340102 9547 216000 SH DEFINED 0 216000 0
CINTAS CORP COM 172908105 844 30000 SH DEFINED 0 30000 0
CITIGROUP INC UNIT 99/99/9999 172967416 1433 18000 SH DEFINED 0 18000 0
CLARCOR INC COM 179895107 6774 163700 SH DEFINED 0 163700 0
CLEAN HARBORS INC COM 184496107 2796 54500 SH DEFINED 0 54500 0
CLEARWATER PAPER CORP COM 18538R103 856 25200 SH DEFINED 0 25200 0
CLIFFS NATURAL RESOURCES INC COM 18683K101 1202 23500 SH DEFINED 0 23500 0
CMS ENERGY CORP COM 125896100 792 40000 SH DEFINED 0 40000 0
CNOOC LTD SPONSORED ADR 126132109 1379 8600 SH DEFINED 0 8600 0
COACH INC COM 189754104 4483 86500 SH DEFINED 0 86500 0
COCA COLA CO COM 191216100 1081 16000 SH DEFINED 0 16000 0
COCA COLA FEMSA S A B DE C V SPON ADR REP L 191241108 2201 24800 SH DEFINED 0 24800 0
COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 10609 169200 SH DEFINED 0 169200 0
COHERENT INC COM 192479103 301 7000 SH DEFINED 0 7000 0
COINSTAR INC COM 19259P300 540 13500 SH DEFINED 0 13500 0
COLFAX CORP COM 194014106 425 21000 SH DEFINED 0 21000 0
COMCAST CORP NEW CL A SPL 20030N200 3170 153000 SH DEFINED 0 153000 0
COMMVAULT SYSTEMS INC COM 204166102 1475 39800 SH DEFINED 0 39800 0
COMPANHIA DE BEBIDAS DAS AME SPON ADR PFD 20441W203 3985 130000 SH DEFINED 0 130000 0
COMPANHIA DE SANEAMENTO BASI SPONSORED ADR 20441A102 1845 39800 SH DEFINED 0 39800 0
COMPUTER PROGRAMS & SYS INC COM 205306103 3572 54000 SH DEFINED 0 54000 0
CONAGRA FOODS INC COM 205887102 823 34000 SH DEFINED 0 34000 0
CONCHO RES INC COM 20605P101 2348 33000 SH DEFINED 0 33000 0
CONCUR TECHNOLOGIES INC COM 206708109 3057 82100 SH DEFINED 0 82100 0
CONOCOPHILLIPS COM 20825C104 2849 45000 SH DEFINED 0 45000 0
CORE LABORATORIES N V COM N22717107 5192 57800 SH DEFINED 0 57800 0
CORN PRODS INTL INC COM 219023108 1605 40900 SH DEFINED 0 40900 0
CORNING INC COM 219350105 2287 185000 SH DEFINED 0 185000 0
COSAN LTD SHS A G25343107 189 20000 SH DEFINED 0 20000 0
COSTCO WHSL CORP NEW COM 22160K105 2792 34000 SH DEFINED 0 34000 0
COVENTRY HEALTH CARE INC COM 222862104 663 23000 SH DEFINED 0 23000 0
COVIDIEN PLC SHS G2554F113 662 15000 SH DEFINED 0 15000 0
CPFL ENERGIA S A SPONSORED ADR 126153105 554 25000 SH DEFINED 0 25000 0
CROCS INC COM 227046109 1492 63000 SH DEFINED 0 63000 0
CROWN CASTLE INTL CORP COM 228227104 4531 111400 SH DEFINED 0 111400 0
CROWN HOLDINGS INC COM 228368106 3973 129800 SH DEFINED 0 129800 0
CSX CORP COM 126408103 2128 114000 SH DEFINED 0 114000 0
CTRIP COM INTL LTD AMERICAN DEP SHS 22943F100 4251 132200 SH DEFINED 0 132200 0
CVR ENERGY INC COM 12662P108 592 28000 SH DEFINED 0 28000 0
CVS CAREMARK CORPORATION COM 126650100 581 17300 SH DEFINED 0 17300 0
CYTEC INDS INC COM 232820100 2551 72600 SH DEFINED 0 72600 0
DANAHER CORP DEL COM 235851102 5159 123000 SH DEFINED 0 123000 0
DARDEN RESTAURANTS INC COM 237194105 3116 72900 SH DEFINED 0 72900 0
DAVITA INC COM 23918K108 1335 21300 SH DEFINED 0 21300 0
DECKERS OUTDOOR CORP COM 243537107 4937 53000 SH DEFINED 0 53000 0
DELTA AIR LINES INC DEL COM NEW 247361702 938 125000 SH DEFINED 0 125000 0
DENTSPLY INTL INC NEW COM 249030107 1872 61000 SH DEFINED 0 61000 0
DEVON ENERGY CORP NEW COM 25179M103 2633 47500 SH DEFINED 0 47500 0
DFC GLOBAL CORP COM 23324T107 262 12000 SH DEFINED 0 12000 0
DIAGEO P L C SPON ADR NEW 25243Q205 456 6000 SH DEFINED 0 6000 0
DIAMOND FOODS INC COM 252603105 3846 48200 SH DEFINED 0 48200 0
DIAMOND OFFSHORE DRILLING IN COM 25271C102 1697 31000 SH DEFINED 0 31000 0
DICKS SPORTING GOODS INC COM 253393102 609 18200 SH DEFINED 0 18200 0
DIGITAL RLTY TR INC COM 253868103 1489 27000 SH DEFINED 0 27000 0
DIRECTV COM CL A 25490A101 5157 122000 SH DEFINED 0 122000 0
DISCOVER FINL SVCS COM 254709108 2890 126000 SH DEFINED 0 126000 0
DISH NETWORK CORP CL A 25470M109 376 15000 SH DEFINED 0 15000 0
DISNEY WALT CO COM DISNEY 254687106 2745 91000 SH DEFINED 0 91000 0
DOLLAR TREE INC COM 256746108 1841 24500 SH DEFINED 0 24500 0
DOMINION RES INC VA NEW COM 25746U109 1066 21000 SH DEFINED 0 21000 0
DOMINOS PIZZA INC COM 25754A201 4769 175000 SH DEFINED 0 175000 0
DONALDSON INC COM 257651109 5151 94000 SH DEFINED 0 94000 0
DR PEPPER SNAPPLE GROUP INC COM 26138E109 582 15000 SH DEFINED 0 15000 0
DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 123 200000 PRN DEFINED 0 200000 0
DST SYS INC DEL COM 233326107 657 15000 SH DEFINED 0 15000 0
DST SYS INC DEL DBCV 8/1 233326AE7 228 200000 PRN DEFINED 0 200000 0
DSW INC CL A 23334L102 1247 27000 SH DEFINED 0 27000 0
DU PONT E I DE NEMOURS & CO COM 263534109 1879 47000 SH DEFINED 0 47000 0
DUKE ENERGY CORP NEW COM 26441C105 1999 100000 SH DEFINED 0 100000 0
E M C CORP MASS COM 268648102 2624 125000 SH DEFINED 0 125000 0
E M C CORP MASS NOTE 1.750%12/0 268648AM4 141 100000 PRN DEFINED 0 100000 0
EATON CORP COM 278058102 3202 90200 SH DEFINED 0 90200 0
EATON VANCE CORP COM NON VTG 278265103 1441 64700 SH DEFINED 0 64700 0
ECOLAB INC COM 278865100 4938 101000 SH DEFINED 0 101000 0
EDWARDS LIFESCIENCES CORP COM 28176E108 6871 96400 SH DEFINED 0 96400 0
EL PASO CORP COM 28336L109 175 10000 SH DEFINED 0 10000 0
ELBIT SYS LTD ORD M3760D101 665 16700 SH DEFINED 0 16700 0
EMBRAER S A SP ADR REP 4 COM 29082A107 304 12000 SH DEFINED 0 12000 0
EMERSON ELEC CO COM 291011104 372 9000 SH DEFINED 0 9000 0
ENBRIDGE INC COM 29250N105 757 23700 SH DEFINED 0 23700 0
ENDO PHARMACEUTICALS HLDGS I COM 29264F205 1730 61800 SH DEFINED 0 61800 0
ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 113 100000 PRN DEFINED 0 100000 0
ENERGIZER HLDGS INC COM 29266R108 1794 27000 SH DEFINED 0 27000 0
ENERSYS COM 29275Y102 3203 160000 SH DEFINED 0 160000 0
ENERSYS NOTE 3.375% 6/0 29275YAA0 187 200000 PRN DEFINED 0 200000 0
ENPRO INDS INC COM 29355X107 683 23000 SH DEFINED 0 23000 0
ENSCO PLC SPONSORED ADR 29358Q109 443 10956 SH DEFINED 0 10956 0
ENTERPRISE PRODS PARTNERS L COM 293792107 2409 60000 SH DEFINED 0 60000 0
EQT CORP COM 26884L109 3949 74000 SH DEFINED 0 74000 0
EQUINIX INC COM NEW 29444U502 6023 67800 SH DEFINED 0 67800 0
EQUINIX INC NOTE 4.750% 6/1 29444UAH9 385 300000 PRN DEFINED 0 300000 0
EQUITY LIFESTYLE PPTYS INC COM 29472R108 1593 25400 SH DEFINED 0 25400 0
EQUITY ONE COM 294752100 159 10000 SH DEFINED 0 10000 0
ESSEX PPTY TR INC COM 297178105 1128 9400 SH DEFINED 0 9400 0
ESTERLINE TECHNOLOGIES CORP COM 297425100 6288 121300 SH DEFINED 0 121300 0
EXPEDITORS INTL WASH INC COM 302130109 1622 40000 SH DEFINED 0 40000 0
EXPRESS SCRIPTS INC COM 302182100 7518 202800 SH DEFINED 0 202800 0
EXXON MOBIL CORP COM 30231G102 4358 60000 SH DEFINED 0 60000 0
EZCORP INC CL A NON VTG 302301106 1912 67000 SH DEFINED 0 67000 0
F M C CORP COM NEW 302491303 7082 102400 SH DEFINED 0 102400 0
F5 NETWORKS INC COM 315616102 789 11100 SH DEFINED 0 11100 0
FACTSET RESH SYS INC COM 303075105 5583 62750 SH DEFINED 0 62750 0
FASTENAL CO COM 311900104 1198 36000 SH DEFINED 0 36000 0
FEDEX CORP COM 31428X106 4359 64400 SH DEFINED 0 64400 0
FEI CO NOTE 2.875% 6/0 30241LAF6 119 100000 PRN DEFINED 0 100000 0
FERRELLGAS PARTNERS L.P. UNIT LTD PART 315293100 298 15000 SH DEFINED 0 15000 0
FIRST CASH FINL SVCS INC COM 31942D107 1292 30800 SH DEFINED 0 30800 0
FIRST FINL BANKSHARES COM 32020R109 311 11874 SH DEFINED 0 11874 0
FLOWERS FOODS INC COM 343498101 7765 399025 SH DEFINED 0 399025 0
FLOWSERVE CORP COM 34354P105 3811 51500 SH DEFINED 0 51500 0
FLUOR CORP NEW COM 343412102 535 11500 SH DEFINED 0 11500 0
FMC TECHNOLOGIES INC COM 30249U101 6745 179400 SH DEFINED 0 179400 0
FOMENTO ECONOMICO MEXICANO S SPON ADR UNITS 344419106 1296 20000 SH DEFINED 0 20000 0
FORD MTR CO DEL COM PAR $0.01 345370860 1209 125000 SH DEFINED 0 125000 0
FORTINET INC COM 34959E109 269 16000 SH DEFINED 0 16000 0
FOSSIL INC COM 349882100 2740 33800 SH DEFINED 0 33800 0
FOSTER WHEELER AG COM H27178104 213 12000 SH DEFINED 0 12000 0
FRANKLIN RES INC COM 354613101 2544 26600 SH DEFINED 0 26600 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 244 8000 SH DEFINED 0 8000 0
FRESENIUS MED CARE AG&CO KGA SPONSORED ADR 358029106 1817 26900 SH DEFINED 0 26900 0
GARDNER DENVER INC COM 365558105 7092 111600 SH DEFINED 0 111600 0
GENERAL CABLE CORP DEL NEW NOTE 1.000%10/1 369300AK4 930 1000000 PRN DEFINED 0 1000000 0
GENERAL DYNAMICS CORP COM 369550108 1820 32000 SH DEFINED 0 32000 0
GENERAL MLS INC COM 370334104 4041 105000 SH DEFINED 0 105000 0
GENERAL MTRS CO JR PFD CNV SRB 37045V209 210 6000 SH DEFINED 0 6000 0
GENESCO INC COM 371532102 515 10000 SH DEFINED 0 10000 0
GENESEE & WYO INC CL A 371559105 2591 55700 SH DEFINED 0 55700 0
GENUINE PARTS CO COM 372460105 4105 80800 SH DEFINED 0 80800 0
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