-----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, Q+QqUThLvOfrS1eLkJzYJXFuXixSwTDcdHWsfDID6aI1aL6a8xE9gTNFcfSZnNYQ OXNHt7htS7wwGLDD/djDTQ== 0001085146-05-000217.txt : 20050511 0001085146-05-000217.hdr.sgml : 20050511 20050510173937 ACCESSION NUMBER: 0001085146-05-000217 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20050331 FILED AS OF DATE: 20050511 DATE AS OF CHANGE: 20050510 EFFECTIVENESS DATE: 20050511 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AQR CAPITAL MANAGEMENT LLC CENTRAL INDEX KEY: 0001167557 IRS NUMBER: 133987414 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-10120 FILM NUMBER: 05818195 BUSINESS ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 BUSINESS PHONE: 203-742-3600 MAIL ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 13F-HR 1 aqr1q05.txt AQR CAPITAL MANAGEMENT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 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: AQR Capital Management, LLC Address: Two Greenwich Plaza, 3rd Floor Greenwich, CT 06830 13F File Number: 28-10120 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Clifford S. Asness Title: Managing Member Phone: 203-742-3600 Signature, Place, and Date of Signing: /s/ Clifford S. Asness Greenwich, CT May 09, 2005 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 1 Form13F Information Table Entry Total: 978 Form13F Information Table Value Total: $3,156,106 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. No. 13F File Number Name 01 28-10014 CNH Partners, LLC FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3M CO COM 88579Y101 223 2600 SH SOLE 2600 0 0 AARON RENTS INC COM 002535201 352 17600 SH SOLE 17600 0 0 ABBOTT LABS COM 002824100 1044 22400 SH SOLE 22400 0 0 ACCREDO HEALTH INC COM 00437V104 1146 25800 SH SOLE 01 25800 0 0 ACE LTD ORD G0070K103 1011 24500 SH SOLE 24500 0 0 ACTIVISION INC NEW COM NEW 004930202 6543 442133 SH SOLE 442133 0 0 ACXIOM CORP COM 005125109 1103 52700 SH SOLE 52700 0 0 ADOBE SYS INC COM 00724F101 671 10000 SH SOLE 10000 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 5277 104600 SH SOLE 104600 0 0 ADVANCED ENERGY INDS NOTE 5.000% 9/0 007973AC4 987 1000000 PRN SOLE 01 0 0 0 ADVANCED MEDICAL OPTICS INC COM 00763M108 3937 108700 SH SOLE 108700 0 0 ADVANCED MICRO DEVICES INC COM 007903107 10602 657700 SH SOLE 657700 0 0 ADVANCED MICRO DEVICES INC NOTE 4.500%12/0 007903AF4 2255 1000000 PRN SOLE 01 0 0 0 AEROFLEX INC COM 007768104 269 28800 SH SOLE 28800 0 0 AEROPOSTALE COM 007865108 217 6650 SH SOLE 6650 0 0 AES CORP COM 00130H105 7931 484200 SH SOLE 484200 0 0 AETNA INC NEW COM 00817Y108 24037 320700 SH SOLE 320700 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 10509 197400 SH SOLE 197400 0 0 AGCO CORP COM 001084102 8537 467800 SH SOLE 467800 0 0 AGERE SYS INC NOTE 6.500%12/1 00845VAA8 4618 4500000 PRN SOLE 01 0 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 384 17300 SH SOLE 17300 0 0 AGILENT TECHNOLOGIES INC DBCV 3.000%12/0 00846UAB7 988 1000000 PRN SOLE 01 0 0 0 AGILYSYS INC COM 00847J105 317 16088 SH SOLE 16088 0 0 AIRTRAN HLDGS INC NOTE 7.000% 7/0 00949PAB4 5390 5000000 PRN SOLE 01 0 0 0 AK STL HLDG CORP COM 001547108 6797 614500 SH SOLE 614500 0 0 ALAMOSA HLDGS INC COM 011589108 210 17887 SH SOLE 17887 0 0 ALASKA AIR GROUP INC COM 011659109 7269 246889 SH SOLE 246889 0 0 ALKERMES INC NOTE 2.500% 9/0 01642TAE8 1925 2000000 PRN SOLE 01 0 0 0 ALLEGHENY ENERGY INC COM 017361106 8237 398700 SH SOLE 398700 0 0 ALLERGAN INC COM 018490102 250 3600 SH SOLE 3600 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 1196 29600 SH SOLE 29600 0 0 ALLIANCE IMAGING INC COM NEW 018606202 143 15100 SH SOLE 15100 0 0 ALLIANT ENERGY CORP COM 018802108 275 10300 SH SOLE 10300 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 2229 31200 SH SOLE 31200 0 0 ALLIED WASTE INDS INC SDCV 4.250% 4/1 019589AD2 419 500000 PRN SOLE 01 0 0 0 ALLMERICA FINL CORP COM 019754100 10516 292500 SH SOLE 292500 0 0 ALLSCRIPTS HEALTHCARE SOLUTI DBCV 3.500% 7/1 01988PAB4 2899 2000000 PRN SOLE 01 0 0 0 ALLSTATE CORP COM 020002101 643 11900 SH SOLE 11900 0 0 ALPHARMA INC CL A 020813101 2395 194400 SH SOLE 194400 0 0 ALPHASMART INC COM 02081F104 217 59281 SH SOLE 01 59281 0 0 ALTRIA GROUP INC COM 02209S103 8546 130700 SH SOLE 130700 0 0 AMAZON COM INC COM 023135106 222 6500 SH SOLE 6500 0 0 AMERADA HESS CORP COM 023551104 22985 238900 SH SOLE 238900 0 0 AMERCO COM 023586100 291 6300 SH SOLE 6300 0 0 AMEREN CORP COM 023608102 309 6300 SH SOLE 6300 0 0 AMERICA MOVIL S A DE C V SPON ADR L SHS 02364W105 5469 106000 SH SOLE 106000 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 5360 218800 SH SOLE 218800 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 532 18000 SH SOLE 18000 0 0 AMERICAN EXPRESS CO COM 025816109 447 8700 SH SOLE 8700 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 979 31800 SH SOLE 31800 0 0 AMERICAN GREETINGS CORP CL A 026375105 10530 413300 SH SOLE 413300 0 0 AMERICAN GREETINGS CORP NOTE 7.000% 7/1 026375AJ4 7543 4000000 PRN SOLE 01 0 0 0 AMERICAN INTL GROUP INC COM 026874107 2051 37000 SH SOLE 37000 0 0 AMERICAN INTL GROUP INC DBCV 11/0 026874AP2 661 1000000 PRN SOLE 01 0 0 0 AMERICAN PAC BK AUMSVILLE OR CL B 02837P307 209 17700 SH SOLE 01 17700 0 0 AMERICAN PHYSICIANS CAPITAL COM 028884104 217 6300 SH SOLE 6300 0 0 AMERICAN STD COS INC DEL COM 029712106 2468 53100 SH SOLE 53100 0 0 AMERICAN TOWER CORP NOTE 3.250% 8/0 029912AK8 3198 2000000 PRN SOLE 01 0 0 0 AMERICREDIT CORP COM 03060R101 7995 341100 SH SOLE 341100 0 0 AMERIGROUP CORP COM 03073T102 2131 58300 SH SOLE 58300 0 0 AMERISOURCEBERGEN CORP COM 03073E105 20567 359003 SH SOLE 359003 0 0 AMERISTAR CASINOS INC COM 03070Q101 5917 108200 SH SOLE 108200 0 0 AMETEK INC NEW COM 031100100 2012 50000 SH SOLE 50000 0 0 AMGEN INC NOTE 3/0 031162AE0 1454 2000000 PRN SOLE 01 0 0 0 AMKOR TECHNOLOGY INC COM 031652100 41 10500 SH SOLE 10500 0 0 ANADARKO PETE CORP COM 032511107 12397 162900 SH SOLE 162900 0 0 ANDRX CORP DEL ANDRX GROUP 034553107 2957 130400 SH SOLE 130400 0 0 ANIXTER INTL INC NOTE 6/2 035290AC9 356 1000000 PRN SOLE 01 0 0 0 ANNTAYLOR STORES CORP COM 036115103 1677 65550 SH SOLE 65550 0 0 ANSYS INC COM 03662Q105 647 18900 SH SOLE 18900 0 0 AON CORP COM 037389103 650 28500 SH SOLE 28500 0 0 AON CORP DBCV 3.500%11/1 037389AT0 5888 5000000 PRN SOLE 01 0 0 0 APACHE CORP COM 037411105 5003 81700 SH SOLE 81700 0 0 APPLE COMPUTER INC COM 037833100 1396 33500 SH SOLE 33500 0 0 APPLERA CORP COM AP BIO GRP 038020103 4079 206600 SH SOLE 206600 0 0 APPLIED INDL TECHNOLOGIES IN COM 03820C105 212 7800 SH SOLE 7800 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 16058 653300 SH SOLE 653300 0 0 ARGOSY GAMING CO COM 040228108 7875 171500 SH SOLE 01 171500 0 0 ARGOSY GAMING CO COM 040228108 4615 100500 SH SOLE 100500 0 0 ARKANSAS BEST CORP DEL COM 040790107 469 12400 SH SOLE 12400 0 0 ARM HLDGS PLC SPONSORED ADR 042068106 270 45000 SH SOLE 01 45000 0 0 ARMOR HOLDINGS INC COM 042260109 356 9600 SH SOLE 9600 0 0 ARRIS GROUP INC NOTE 4.500% 3/1 04269QAB6 1452 1000000 PRN SOLE 01 0 0 0 ARROW ELECTRS INC COM 042735100 484 19100 SH SOLE 19100 0 0 ARROW ELECTRS INC DBCV 2/2 042735AY6 533 1000000 PRN SOLE 01 0 0 0 ARTESYN TECHNOLOGIES INC NOTE 5.500% 8/1 043127AB5 5466 4165000 PRN SOLE 01 0 0 0 ARVINMERITOR INC COM 043353101 894 57800 SH SOLE 57800 0 0 ASHLAND INC COM 044204105 10094 149600 SH SOLE 149600 0 0 ASPECT COMMUNICATIONS CORP COM 04523Q102 2095 201300 SH SOLE 201300 0 0 AT&T CORP COM NEW 001957505 5717 304900 SH SOLE 01 304900 0 0 AT&T CORP COM NEW 001957505 587 31300 SH SOLE 31300 0 0 ATMEL CORP COM 049513104 4554 1543500 SH SOLE 1543500 0 0 ATMI INC NOTE 5.250%11/1 00207RAC5 5342 4700000 PRN SOLE 01 0 0 0 ATP OIL & GAS CORP COM 00208J108 212 9800 SH SOLE 9800 0 0 AUGUST TECHNOLOGY CORP COM 05106U105 2462 210081 SH SOLE 01 210081 0 0 AUTODESK INC COM 052769106 11024 370410 SH SOLE 370410 0 0 AUTONATION INC COM 05329W102 8730 460900 SH SOLE 460900 0 0 AVAYA INC COM 053499109 3559 304600 SH SOLE 304600 0 0 AVID TECHNOLOGY INC COM 05367P100 730 13502 SH SOLE 13502 0 0 AVISTA CORP COM 05379B107 420 24000 SH SOLE 24000 0 0 AVNET INC COM 053807103 468 25400 SH SOLE 25400 0 0 AVNET INC DBCV 2.000% 3/1 053807AL7 917 1000000 PRN SOLE 01 0 0 0 AVON PRODS INC COM 054303102 421 9800 SH SOLE 9800 0 0 AXCAN PHARMA INC NOTE 4.250% 4/1 054923AB3 2585 2000000 PRN SOLE 01 0 0 0 AXCELIS TECHNOLOGIES INC COM 054540109 277 38000 SH SOLE 38000 0 0 AZTAR CORP COM 054802103 7522 263400 SH SOLE 263400 0 0 BAKER HUGHES INC COM 057224107 395 8900 SH SOLE 8900 0 0 BANK HAWAII CORP COM 062540109 2738 60500 SH SOLE 60500 0 0 BANK NEW YORK INC COM 064057102 317 10900 SH SOLE 10900 0 0 BANK OF AMERICA CORPORATION COM 060505104 7430 168470 SH SOLE 168470 0 0 BANKATLANTIC BANCORP CL A 065908501 276 15900 SH SOLE 15900 0 0 BANTA CORP COM 066821109 1977 46200 SH SOLE 46200 0 0 BARD C R INC COM 067383109 504 7400 SH SOLE 7400 0 0 BARNES & NOBLE INC COM 067774109 6927 200800 SH SOLE 200800 0 0 BAUSCH & LOMB INC COM 071707103 15122 206300 SH SOLE 206300 0 0 BAUSCH & LOMB INC FRNT 8/0 071707AM5 716 500000 PRN SOLE 01 0 0 0 BAXTER INTL INC COM 071813109 619 18200 SH SOLE 18200 0 0 BEAR STEARNS COS INC COM 073902108 19665 196830 SH SOLE 196830 0 0 BEAZER HOMES USA INC COM 07556Q105 15700 314900 SH SOLE 314900 0 0 BECKMAN COULTER INC COM 075811109 4219 63500 SH SOLE 63500 0 0 BECTON DICKINSON & CO COM 075887109 5999 102700 SH SOLE 102700 0 0 BED BATH & BEYOND INC COM 075896100 296 8100 SH SOLE 8100 0 0 BELDEN CDT INC COM 077454106 299 32100 SH SOLE 01 32100 0 0 BELL MICROPRODUCTS INC NOTE 3.750% 3/0 078137AC0 246 250000 PRN SOLE 01 0 0 0 BELLSOUTH CORP COM 079860102 1212 46100 SH SOLE 46100 0 0 BELMONT BANCORP COM 080162100 773 130870 SH SOLE 01 130870 0 0 BELO CORP COM SER A 080555105 374 15500 SH SOLE 15500 0 0 BEMIS INC COM 081437105 352 11300 SH SOLE 11300 0 0 BENCHMARK ELECTRS INC COM 08160H101 2441 76700 SH SOLE 76700 0 0 BERKLEY W R CORP COM 084423102 1393 28100 SH SOLE 28100 0 0 BEST BUY INC COM 086516101 216 4000 SH SOLE 4000 0 0 BEVERLY ENTERPRISES INC COM NEW 087851309 7116 574900 SH SOLE 574900 0 0 BEVERLY ENTERPRISES INC COM NEW 087851309 619 50000 SH SOLE 01 50000 0 0 BEVERLY ENTERPRISES INC NOTE 2.750%11/0 087851AR2 7804 4550000 PRN SOLE 01 0 0 0 BIG LOTS INC COM 089302103 2323 193300 SH SOLE 193300 0 0 BIO RAD LABS INC CL A 090572207 1033 21200 SH SOLE 21200 0 0 BIOMET INC COM 090613100 243 6700 SH SOLE 6700 0 0 BISYS GROUP INC NOTE 4.000% 3/1 055472AB0 1985 2000000 PRN SOLE 01 0 0 0 BJ SVCS CO NOTE 0.500% 4/2 055482AF0 1645 2000000 PRN SOLE 01 0 0 0 BJ SVCS CO COM 055482103 18646 359400 SH SOLE 359400 0 0 BJS WHOLESALE CLUB INC COM 05548J106 723 23300 SH SOLE 23300 0 0 BLACK & DECKER CORP COM 091797100 308 3900 SH SOLE 3900 0 0 BLACK BOX CORP DEL COM 091826107 1115 29800 SH SOLE 29800 0 0 BLOUNT INTL INC NEW COM 095180105 526 31000 SH SOLE 31000 0 0 BLUE MARTINI SOFTWARE INC COM NEW 095698502 1099 281000 SH SOLE 01 281000 0 0 BLUEGREEN CORP COM 096231105 337 26300 SH SOLE 26300 0 0 BOEING CO COM 097023105 1549 26500 SH SOLE 26500 0 0 BORDERS GROUP INC COM 099709107 5013 188300 SH SOLE 188300 0 0 BOSTON PROPERTIES INC COM 101121101 433 7200 SH SOLE 7200 0 0 BOSTON SCIENTIFIC CORP COM 101137107 214 7300 SH SOLE 7300 0 0 BOYD GAMING CORP COM 103304101 7287 139700 SH SOLE 139700 0 0 BRIGHTPOINT INC COM NEW 109473405 286 15250 SH SOLE 15250 0 0 BRINKS CO COM 109696104 1834 53000 SH SOLE 53000 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 1036 40700 SH SOLE 40700 0 0 BROCADE COMMUNICATIONS SYS I NOTE 2.000% 1/0 111621AB4 955 1000000 PRN SOLE 01 0 0 0 BROOKFIELD HOMES CORP COM 112723101 1869 44300 SH SOLE 44300 0 0 BROOKSTONE INC COM 114537103 196 12100 SH SOLE 12100 0 0 BRUNSWICK CORP COM 117043109 4207 89800 SH SOLE 89800 0 0 BUILDING MATLS HLDG CORP COM 120113105 716 16057 SH SOLE 16057 0 0 BURLINGTON NORTHN SANTA FE C COM 12189T104 15622 289700 SH SOLE 289700 0 0 BURLINGTON RES INC COM 122014103 2038 40700 SH SOLE 40700 0 0 CABLE DESIGN TECHNOLOGIES CO SDCV 4.000% 7/1 126924AB5 2721 2000000 PRN SOLE 01 0 0 0 CABLEVISION SYS CORP CL A NY CABLVS 12686C109 210 7500 SH SOLE 7500 0 0 CAESARS ENTMT INC COM 127687101 12011 606900 SH SOLE 01 606900 0 0 CAL DIVE INTL INC COM 127914109 4502 99400 SH SOLE 99400 0 0 CAPITAL AUTOMOTIVE REIT NOTE 6.000% 5/1 139733AB5 555 500000 PRN SOLE 01 0 0 0 CARDINAL HEALTH INC COM 14149Y108 12875 230749 SH SOLE 230749 0 0 CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 1355 1000000 PRN SOLE 01 0 0 0 CASCADE CORP COM 147195101 270 7700 SH SOLE 7700 0 0 CATERPILLAR INC DEL COM 149123101 658 7200 SH SOLE 7200 0 0 CATO CORP NEW CL A 149205106 378 11700 SH SOLE 11700 0 0 CBRL GROUP INC NOTE 4/0 12489VAB2 1721 3500000 PRN SOLE 01 0 0 0 CEDARA SOFTWARE CORP COM 150644102 3155 312700 SH SOLE 01 312700 0 0 CELGENE CORP COM 151020104 1355 39800 SH SOLE 39800 0 0 CEMEX S A SPON ADR 5 ORD 151290889 2638 72780 SH SOLE 72780 0 0 CENDANT CORP COM 151313103 11356 552900 SH SOLE 552900 0 0 CENTENE CORP DEL COM 15135B101 570 19000 SH SOLE 19000 0 0 CENTERPOINT ENERGY INC COM 15189T107 602 50100 SH SOLE 50100 0 0 CENTEX CORP COM 152312104 3660 63900 SH SOLE 63900 0 0 CENTRAL GARDEN & PET CO COM 153527106 255 5800 SH SOLE 5800 0 0 CENTRAL PAC FINL CORP COM 154760102 636 18900 SH SOLE 01 18900 0 0 CERNER CORP COM 156782104 2809 53500 SH SOLE 53500 0 0 CHARLES RIV LABORATORIES INC DBCV 3.500% 2/0 159863AL3 1820 1500000 PRN SOLE 01 0 0 0 CHARLES RIV LABS INTL INC COM 159864107 8685 184648 SH SOLE 184648 0 0 CHARLES RIVER ASSOCIATES DBCV 2.875% 6/1 159852AB8 2846 2000000 PRN SOLE 01 0 0 0 CHARMING SHOPPES INC COM 161133103 229 28200 SH SOLE 28200 0 0 CHARMING SHOPPES INC NOTE 4.750% 6/0 161133AC7 1065 1000000 PRN SOLE 01 0 0 0 CHENIERE ENERGY INC COM NEW 16411R208 238 3700 SH SOLE 3700 0 0 CHESAPEAKE ENERGY CORP COM 165167107 6851 312300 SH SOLE 312300 0 0 CHESTER VALLEY BANCORP COM 166335109 1342 52615 SH SOLE 01 52615 0 0 CHEVRONTEXACO CORP COM 166764100 3907 67000 SH SOLE 67000 0 0 CHICAGO MERCANTILE HLDGS INC CL A 167760107 388 2000 SH SOLE 2000 0 0 CHINA MOBILE HONG KONG LTD SPONSORED ADR 16941M109 6961 424200 SH SOLE 424200 0 0 CHINA PETE & CHEM CORP SPON ADR H SHS 16941R108 2377 58300 SH SOLE 58300 0 0 CHINA TELECOM CORP LTD SPON ADR H SHS 169426103 2038 58500 SH SOLE 58500 0 0 CHIQUITA BRANDS INTL INC COM 170032809 2247 83900 SH SOLE 83900 0 0 CHIRON CORP DBCV 1.625% 8/0 170040AG4 928 1000000 PRN SOLE 01 0 0 0 CIGNA CORP COM 125509109 9466 106000 SH SOLE 106000 0 0 CIMAREX ENERGY CO COM 171798101 347 8900 SH SOLE 8900 0 0 CIRCUIT CITY STORE INC COM 172737108 5216 325000 SH SOLE 01 325000 0 0 CIRCUIT CITY STORE INC COM 172737108 10615 661400 SH SOLE 661400 0 0 CISCO SYS INC COM 17275R102 2539 141900 SH SOLE 141900 0 0 CIT GROUP INC COM 125581108 22573 594000 SH SOLE 594000 0 0 CITIGROUP INC COM 172967101 9697 215800 SH SOLE 215800 0 0 CITIZENS COMMUNICATIONS CO COM 17453B101 133 10300 SH SOLE 10300 0 0 CITRIX SYS INC COM 177376100 1307 54900 SH SOLE 54900 0 0 CKE RESTAURANTS INC NOTE 4.000%10/0 12561EAG0 10486 5500000 PRN SOLE 01 0 0 0 CLEAR CHANNEL COMMUNICATIONS COM 184502102 393 11400 SH SOLE 11400 0 0 CLOROX CO DEL COM 189054109 1537 24400 SH SOLE 24400 0 0 CLOSURE MED CORP COM 189093107 5776 216333 SH SOLE 01 216333 0 0 CMGI INC COM 125750109 26 13000 SH SOLE 13000 0 0 CMS ENERGY CORP NOTE 3.375% 7/1 125896AT7 2028 1500000 PRN SOLE 01 0 0 0 CMS ENERGY CORP COM 125896100 7235 554800 SH SOLE 554800 0 0 CNA FINL CORP COM 126117100 1215 43300 SH SOLE 43300 0 0 CNET NETWORKS INC COM 12613R104 147 15600 SH SOLE 15600 0 0 CNF INC COM 12612W104 17350 370800 SH SOLE 370800 0 0 CNOOC LTD SPONSORED ADR 126132109 2866 52400 SH SOLE 52400 0 0 COACH INC COM 189754104 418 7400 SH SOLE 7400 0 0 COCA COLA ENTERPRISES INC COM 191219104 1284 62600 SH SOLE 62600 0 0 COEUR D ALENE MINES CORP IDA COM 192108108 184 50000 SH SOLE 01 50000 0 0 COEUR D ALENE MINES CORP IDA NOTE 1.250% 1/1 192108AQ1 1802 2250000 PRN SOLE 01 0 0 0 COLDWATER CREEK INC COM 193068103 250 13525 SH SOLE 13525 0 0 COLONIAL BANCGROUP INC COM 195493309 823 40100 SH SOLE 40100 0 0 COMCAST CORP NEW CL A SPL 20030N200 629 18800 SH SOLE 18800 0 0 COMERICA INC COM 200340107 606 11000 SH SOLE 11000 0 0 COMMERCIAL METALS CO COM 201723103 10727 316500 SH SOLE 316500 0 0 COMMUNITY BK NORTHN VA COM 203566104 1551 77000 SH SOLE 01 77000 0 0 COMPASS MINERALS INTL INC COM 20451N101 414 16300 SH SOLE 16300 0 0 COMPUTER ASSOC INTL INC NOTE 1.625%12/1 204912AQ2 1426 1000000 PRN SOLE 01 0 0 0 COMPUTER ASSOC INTL INC COM 204912109 1356 50000 SH SOLE 50000 0 0 COMPUTER NETWORK TECHNOLOGY COM 204925101 2251 487247 SH SOLE 01 487247 0 0 COMPUTER SCIENCES CORP COM 205363104 418 9100 SH SOLE 9100 0 0 COMPUWARE CORP COM 205638109 332 46000 SH SOLE 46000 0 0 COMTECH TELECOMMUNICATIONS C NOTE 2.000% 2/0 205826AD2 4015 3250000 PRN SOLE 01 0 0 0 CONAGRA FOODS INC COM 205887102 724 26800 SH SOLE 26800 0 0 CONOCOPHILLIPS COM 20825C104 3428 31800 SH SOLE 31800 0 0 CONSOLIDATED GRAPHICS INC COM 209341106 279 5300 SH SOLE 5300 0 0 CONSTELLATION BRANDS INC CL A 21036P108 8274 156500 SH SOLE 156500 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 5790 112000 SH SOLE 112000 0 0 CONTINENTAL AIRLS INC CL B 210795308 3492 290012 SH SOLE 290012 0 0 COOPER COS INC COM NEW 216648402 474 6500 SH SOLE 6500 0 0 COOPER INDS LTD CL A G24182100 594 8300 SH SOLE 8300 0 0 CORN PRODS INTL INC COM 219023108 4345 167200 SH SOLE 167200 0 0 CORNERSTONE RLTY INCOME TR I COM 21922V102 7210 726800 SH SOLE 01 726800 0 0 CORNING INC NOTE 3.500%11/0 219350AK1 3053 2654000 PRN SOLE 01 0 0 0 CORUS BANKSHARES INC COM 220873103 320 6700 SH SOLE 6700 0 0 COUNTRYWIDE FINANCIAL CORP COM 222372104 18417 567399 SH SOLE 567399 0 0 COVENTRY HEALTH CARE INC COM 222862104 1488 21867 SH SOLE 21867 0 0 CREO INC COM 225606102 9826 611800 SH SOLE 01 611800 0 0 CROWN CASTLE INTL CORP COM 228227104 1574 98000 SH SOLE 98000 0 0 CROWN HOLDINGS INC COM 228368106 6302 405000 SH SOLE 405000 0 0 CSK AUTO CORP COM 125965103 400 22700 SH SOLE 22700 0 0 CSX CORP COM 126408103 208 5000 SH SOLE 5000 0 0 CTI MOLECULAR IMAGING INC COM 22943D105 7171 353790 SH SOLE 01 353790 0 0 CTS CORP COM 126501105 471 36200 SH SOLE 36200 0 0 CUMMINS INC COM 231021106 22195 315500 SH SOLE 315500 0 0 CUMULUS MEDIA INC CL A 231082108 603 42300 SH SOLE 42300 0 0 CVS CORP COM 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0 0 MICRON TECHNOLOGY INC COM 595112103 2375 229700 SH SOLE 229700 0 0 MICRON TECHNOLOGY INC NOTE 2.500% 2/0 595112AG8 2065 2000000 PRN SOLE 01 0 0 0 MICROS SYS INC COM 594901100 418 11400 SH SOLE 11400 0 0 MICROSOFT CORP COM 594918104 7981 330200 SH SOLE 330200 0 0 MICROSTRATEGY INC CL A NEW 594972408 206 3800 SH SOLE 3800 0 0 MICROTUNE INC DEL COM 59514P109 61 14200 SH SOLE 14200 0 0 MILACRON INC COM 598709103 476 155945 SH SOLE 155945 0 0 MILLENNIUM PHARMACEUTICALS I COM 599902103 227 26900 SH SOLE 26900 0 0 MILLIPORE CORP COM 601073109 6154 141800 SH SOLE 141800 0 0 MINE SAFETY APPLIANCES CO COM 602720104 845 21800 SH SOLE 21800 0 0 MISSION RESOURCES CORP COM 605109107 255 36000 SH SOLE 36000 0 0 MOHAWK INDS INC COM 608190104 362 4300 SH SOLE 4300 0 0 MOLSON COORS BREWING CO CL B 60871R209 3611 46800 SH SOLE 46800 0 0 MONSANTO CO NEW COM 61166W101 7528 116700 SH SOLE 116700 0 0 MONSTER WORLDWIDE INC COM 611742107 207 7400 SH SOLE 7400 0 0 MOODYS CORP COM 615369105 283 3500 SH SOLE 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NATIONWIDE FINL SVCS INC CL A 638612101 259 7200 SH SOLE 7200 0 0 NAVISTAR INTL CORP NEW NOTE 2.500%12/1 63934EAG3 3611 3000000 PRN SOLE 01 0 0 0 NBTY INC COM 628782104 2793 111300 SH SOLE 111300 0 0 NCR CORP NEW COM 62886E108 4075 120800 SH SOLE 120800 0 0 NEIGHBORCARE INC COM 64015Y104 3911 133700 SH SOLE 133700 0 0 NEIGHBORCARE INC COM 64015Y104 10188 348300 SH SOLE 01 348300 0 0 NEIMAN MARCUS GROUP INC CL A 640204202 760 8300 SH SOLE 8300 0 0 NEW CENTURY FINANCIAL CORP M COM 6435EV108 2499 53400 SH SOLE 53400 0 0 NEW PLAN EXCEL RLTY TR INC NOTE 3.750% 6/0 648053AB2 1627 1500000 PRN SOLE 01 0 0 0 NEWCASTLE INVT CORP COM 65105M108 205 6900 SH SOLE 6900 0 0 NEWELL RUBBERMAID INC COM 651229106 327 14900 SH SOLE 14900 0 0 NEWFIELD EXPL CO COM 651290108 13092 176300 SH SOLE 176300 0 0 NEWMONT MINING CORP COM 651639106 338 8000 SH SOLE 8000 0 0 NEWS CORP CL B 65248E203 201 11414 SH SOLE 11414 0 0 NEWS CORP CL A 65248E104 9788 578492 SH SOLE 578492 0 0 NEXTEL COMMUNICATIONS INC CL A 65332V103 4917 173000 SH SOLE 173000 0 0 NEXTEL COMMUNICATIONS INC CL A 65332V103 12334 434000 SH SOLE 01 434000 0 0 NII HLDGS INC CL B NEW 62913F201 5877 102200 SH SOLE 102200 0 0 NII HLDGS INC NOTE 3.500% 9/1 62913FAD4 2240 1000000 PRN SOLE 01 0 0 0 NIKE INC CL B 654106103 342 4100 SH SOLE 4100 0 0 NISOURCE INC COM 65473P105 1803 79100 SH SOLE 79100 0 0 NORDSTROM INC COM 655664100 6934 125200 SH SOLE 125200 0 0 NORFOLK SOUTHERN CORP COM 655844108 660 17800 SH SOLE 17800 0 0 NORTH FORK BANCORPORATION NY COM 659424105 211 7600 SH SOLE 7600 0 0 NORTHEAST PA FINL CORP COM 663905107 2147 94157 SH SOLE 01 94157 0 0 NOVELL INC COM 670006105 1182 198303 SH SOLE 198303 0 0 NRG ENERGY INC COM NEW 629377508 6987 204600 SH SOLE 204600 0 0 NS GROUP INC COM 628916108 266 8500 SH SOLE 8500 0 0 NSTAR COM 67019E107 271 5000 SH SOLE 5000 0 0 NTL INC DEL COM 62940M104 3273 51400 SH SOLE 51400 0 0 NU SKIN ENTERPRISES INC CL A 67018T105 3647 162000 SH SOLE 162000 0 0 NUCOR CORP COM 670346105 1497 26000 SH SOLE 26000 0 0 NVR INC COM 62944T105 8244 10500 SH SOLE 10500 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 5557 78100 SH SOLE 78100 0 0 OCEANEERING INTL INC COM 675232102 2205 58800 SH SOLE 58800 0 0 ODYSSEY RE HLDGS CORP DBCV 4.375% 6/1 67612WAB4 5919 5000000 PRN SOLE 01 0 0 0 OFFICE DEPOT INC COM 676220106 4337 195500 SH SOLE 195500 0 0 OFFICEMAX INC DEL COM 67622P101 4475 133578 SH SOLE 133578 0 0 OHIO CAS CORP COM 677240103 363 15800 SH SOLE 15800 0 0 OLD REP INTL CORP COM 680223104 4703 201900 SH SOLE 201900 0 0 OM GROUP INC COM 670872100 5828 191600 SH SOLE 191600 0 0 OMNIVISION TECHNOLOGIES INC COM 682128103 843 55600 SH SOLE 55600 0 0 ONEOK INC NEW COM 682680103 2671 86700 SH SOLE 86700 0 0 ORACLE CORP COM 68389X105 1491 119400 SH SOLE 119400 0 0 OREGON STL MLS INC COM 686079104 686 29800 SH SOLE 29800 0 0 OSI PHARMACEUTICALS INC NOTE 3.250% 9/0 671040AD5 1136 1000000 PRN SOLE 01 0 0 0 OVERNITE CORP COM 690322102 675 21100 SH SOLE 21100 0 0 OVERSEAS SHIPHOLDING GROUP I COM 690368105 22220 353200 SH SOLE 353200 0 0 OVERSTOCK COM INC DEL COM 690370101 400 9300 SH SOLE 9300 0 0 OWENS ILL INC COM NEW 690768403 7198 286300 SH SOLE 286300 0 0 PACIFICARE HEALTH SYS DEL COM 695112102 18259 320800 SH SOLE 320800 0 0 PACIFICARE HEALTH SYS DEL DBCV 3.000%10/1 695112AG7 2761 1000000 PRN SOLE 01 0 0 0 PACTIV CORP COM 695257105 5048 216200 SH SOLE 216200 0 0 PALMONE INC COM 69713P107 5033 198300 SH SOLE 198300 0 0 PALOMAR MED TECHNOLOGIES INC COM NEW 697529303 219 8100 SH SOLE 8100 0 0 PAR PHARMACEUTICAL COS INC COM 69888P106 2802 83800 SH SOLE 83800 0 0 PARAMETRIC TECHNOLOGY CORP COM 699173100 785 140600 SH SOLE 140600 0 0 PATINA OIL & GAS CORP COM 703224105 12152 303800 SH SOLE 01 303800 0 0 PAYLESS SHOESOURCE INC COM 704379106 930 58900 SH SOLE 58900 0 0 PEABODY ENERGY CORP COM 704549104 445 9600 SH SOLE 9600 0 0 PENN ENGR & MFG CORP COM NON VTG 707389300 3392 187900 SH SOLE 01 187900 0 0 PENN NATL GAMING INC COM 707569109 4467 152000 SH SOLE 152000 0 0 PENNEY J C INC COM 708160106 23723 456900 SH SOLE 456900 0 0 PENNROCK FINL SVCS CORP COM 708352109 300 8585 SH SOLE 01 8585 0 0 PEP BOYS MANNY MOE & JACK COM 713278109 3608 205300 SH SOLE 205300 0 0 PEP BOYS MANNY MOE & JACK NOTE 4.250% 6/0 713278AP4 1010 1000000 PRN SOLE 01 0 0 0 PEPSI BOTTLING GROUP INC COM 713409100 303 10900 SH SOLE 10900 0 0 PEPSIAMERICAS INC COM 71343P200 267 11800 SH SOLE 11800 0 0 PEPSICO INC COM 713448108 1687 31800 SH SOLE 31800 0 0 PERINI CORP COM 713839108 182 13100 SH SOLE 13100 0 0 PERKINELMER INC COM 714046109 562 27200 SH SOLE 27200 0 0 PERRIGO CO COM 714290103 279 14562 SH SOLE 14562 0 0 PETROCHINA CO LTD SPONSORED ADR 71646E100 4331 68500 SH SOLE 68500 0 0 PETROLEUM DEV CORP COM 716578109 563 14900 SH SOLE 14900 0 0 PETSMART INC COM 716768106 1219 42400 SH SOLE 42400 0 0 PFIZER INC COM 717081103 4613 175600 SH SOLE 175600 0 0 PG&E CORP COM 69331C108 24893 730000 SH SOLE 730000 0 0 PHARMION CORP COM 71715B409 233 8000 SH SOLE 8000 0 0 PHELPS DODGE CORP COM 717265102 13836 136000 SH SOLE 136000 0 0 PHH CORP COM NEW 693320202 548 25040 SH SOLE 25040 0 0 PHOENIX COS INC NEW COM 71902E109 437 34200 SH SOLE 34200 0 0 PIER 1 IMPORTS INC COM 720279108 315 17300 SH SOLE 17300 0 0 PILGRIMS PRIDE CORP COM 721467108 5775 161700 SH SOLE 161700 0 0 PINNACLE SYS INC COM 723481107 7478 1337800 SH SOLE 01 1337800 0 0 PINNACLE WEST CAP CORP COM 723484101 2292 53900 SH SOLE 53900 0 0 PITNEY BOWES INC COM 724479100 749 16600 SH SOLE 16600 0 0 PMA CAP CORP CL A 693419202 149 18600 SH SOLE 18600 0 0 PMI GROUP INC COM 69344M101 2939 77300 SH SOLE 77300 0 0 PMI GROUP INC DBCV 2.500% 7/1 69344MAE1 1026 1000000 PRN SOLE 01 0 0 0 PNC FINL SVCS GROUP INC COM 693475105 1457 28300 SH SOLE 28300 0 0 POGO PRODUCING CO COM 730448107 3782 76800 SH SOLE 76800 0 0 POINTE FINANCIAL CORP COM 73084P100 2908 73800 SH SOLE 01 73800 0 0 POLARIS INDS INC COM 731068102 3273 46600 SH SOLE 46600 0 0 POPE & TALBOT INC COM 732827100 223 12700 SH SOLE 12700 0 0 PPG INDS INC COM 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447800 SH SOLE 01 447800 0 0 PRUDENTIAL FINL INC COM 744320102 19240 335200 SH SOLE 335200 0 0 PSYCHIATRIC SOLUTIONS INC COM 74439H108 295 6400 SH SOLE 6400 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 2268 41700 SH SOLE 01 41700 0 0 PULITZER INC COM 745769109 3333 52300 SH SOLE 01 52300 0 0 PULTE HOMES INC COM 745867101 3881 52700 SH SOLE 52700 0 0 QLT INC NOTE 3.000% 9/1 746927AB8 202 200000 PRN SOLE 01 0 0 0 QUALCOMM INC COM 747525103 2754 75200 SH SOLE 75200 0 0 QUALITY DINING INC COM 74756P105 150 46983 SH SOLE 01 46983 0 0 QUANEX CORP COM 747620102 4860 91150 SH SOLE 91150 0 0 QUIKSILVER INC COM 74838C106 1690 58200 SH SOLE 58200 0 0 QUINTON CARDIOLOGY SYS INC COM 748773108 1149 138620 SH SOLE 01 138620 0 0 R & G FINANCIAL CORP CL B 749136107 508 16300 SH SOLE 16300 0 0 RALCORP HLDGS INC NEW COM 751028101 1178 24900 SH SOLE 24900 0 0 RAYTHEON CO COM NEW 755111507 436 11300 SH SOLE 11300 0 0 REALTY INCOME CORP COM 756109104 206 9000 SH SOLE 9000 0 0 REEBOK INTL LTD DBCV 2.000% 5/0 758110AH3 1063 1000000 PRN SOLE 01 0 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 249 7700 SH SOLE 7700 0 0 REGIS CORP MINN COM 758932107 3348 81800 SH SOLE 81800 0 0 RELIANCE STEEL & ALUMINUM CO COM 759509102 1088 27200 SH SOLE 27200 0 0 RELIANT ENERGY INC COM 75952B105 2914 256100 SH SOLE 256100 0 0 RELIANT ENERGY INC NOTE 5.000% 8/1 75952BAD7 5579 4000000 PRN SOLE 01 0 0 0 RENT A CTR INC NEW COM 76009N100 7484 274050 SH SOLE 274050 0 0 RENT WAY INC COM 76009U104 158 19400 SH SOLE 19400 0 0 REPUBLIC SVCS INC COM 760759100 1430 42700 SH SOLE 42700 0 0 RES-CARE INC COM 760943100 142 11443 SH SOLE 11443 0 0 RESOURCE AMERICA INC CL A 761195205 224 6400 SH SOLE 6400 0 0 RESPIRONICS INC COM 761230101 1328 22800 SH SOLE 22800 0 0 RETEK INC COM 76128Q109 3705 330200 SH SOLE 01 330200 0 0 REWARDS NETWORK INC SDCV 3.250%10/1 761557AA5 1118 1500000 PRN SOLE 01 0 0 0 REYNOLDS AMERICAN INC COM 761713106 10010 124200 SH SOLE 124200 0 0 RF MICRODEVICES INC NOTE 1.500% 7/0 749941AE0 1871 2000000 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HENRY INC COM 806407102 8666 241800 SH SOLE 241800 0 0 SCHERING PLOUGH CORP COM 806605101 243 13400 SH SOLE 13400 0 0 SCHLUMBERGER LTD COM 806857108 803 11400 SH SOLE 11400 0 0 SCIENTIFIC ATLANTA INC COM 808655104 240 8500 SH SOLE 8500 0 0 SCIENTIFIC GAMES CORP CL A 80874P109 592 25900 SH SOLE 25900 0 0 SCOTTISH ANNUITY & LIFE HLDG NOTE 4.500%12/0 81013RAC9 5697 5000000 PRN SOLE 01 0 0 0 SCOTTS CO CL A 810186106 3132 44600 SH SOLE 44600 0 0 SCP POOL CORP COM 784028102 733 23025 SH SOLE 23025 0 0 SCS TRANSN INC COM 81111T102 186 10020 SH SOLE 10020 0 0 SEABOARD CORP COM 811543107 322 300 SH SOLE 300 0 0 SEABULK INTL INC COM 81169P101 1832 88106 SH SOLE 01 88106 0 0 SELECTICA INC COM 816288104 1555 482846 SH SOLE 01 482846 0 0 SEMPRA ENERGY COM 816851109 9185 230500 SH SOLE 230500 0 0 SEPRACOR INC NOTE 12/1 817315AT1 1854 1000000 PRN SOLE 01 0 0 0 SEROLOGICALS CORP SDCV 4.750% 8/1 817523AB9 1793 1000000 PRN SOLE 01 0 0 0 SERVICE CORP INTL COM 817565104 4839 646900 SH SOLE 646900 0 0 SERVICEMASTER CO COM 81760N109 714 52900 SH SOLE 52900 0 0 SHERWIN WILLIAMS CO COM 824348106 8680 197300 SH SOLE 197300 0 0 SHOPKO STORES INC COM 824911101 4868 219100 SH SOLE 219100 0 0 SIERRA HEALTH SVCS INC COM 826322109 19893 311600 SH SOLE 311600 0 0 SIERRA PAC RES NEW NOTE 7.250% 2/1 826428AF1 13808 5475000 PRN SOLE 01 0 0 0 SILICON GRAPHICS INC NOTE 6.500% 6/0 827056AE2 867 850000 PRN SOLE 01 0 0 0 SILICON IMAGE INC COM 82705T102 112 11200 SH SOLE 11200 0 0 SILICON STORAGE TECHNOLOGY I COM 827057100 1363 366400 SH SOLE 366400 0 0 SIMON PPTY GROUP INC NEW COM 828806109 727 12000 SH SOLE 12000 0 0 SIMON PPTY GROUP INC NEW PFD CONV I 6% 828806802 3562 63210 SH SOLE 01 63210 0 0 SIMPLETECH INC COM 828823104 86 21735 SH SOLE 21735 0 0 SIRIUS SATELLITE RADIO INC NOTE 3.500% 6/0 82966UAA1 18634 4550000 PRN SOLE 01 0 0 0 SKECHERS U S A INC CL A 830566105 328 21200 SH SOLE 21200 0 0 SKYWORKS SOLUTIONS INC NOTE 4.750%11/1 83088MAB8 4977 5000000 PRN SOLE 01 0 0 0 SMITH INTL INC COM 832110100 4045 64500 SH SOLE 64500 0 0 SMITHFIELD FOODS INC COM 832248108 8726 276600 SH SOLE 276600 0 0 SOLECTRON CORP NOTE 0.500% 2/1 834182AT4 720 1000000 PRN SOLE 01 0 0 0 SONIC AUTOMOTIVE INC CL A 83545G102 3611 159000 SH SOLE 159000 0 0 SOUTHWESTERN ENERGY CO COM 845467109 607 10700 SH SOLE 10700 0 0 SPECTRASITE INC COM 84761M104 249 4300 SH SOLE 4300 0 0 SPX CORP NOTE 2/0 784635AD6 1280 2000000 PRN SOLE 01 0 0 0 ST JUDE MED INC COM 790849103 220 6100 SH SOLE 6100 0 0 ST MARY LD & EXPL CO NOTE 5.750% 3/1 792228AC2 10091 5000000 PRN SOLE 01 0 0 0 ST PAUL TRAVELERS INC COM 792860108 281 7650 SH SOLE 7650 0 0 STANDARD COML CORP COM 853258101 5574 299700 SH SOLE 01 299700 0 0 STANDARD PAC CORP NEW COM 85375C101 5479 75900 SH SOLE 75900 0 0 STANLEY WKS COM 854616109 719 15900 SH SOLE 15900 0 0 STAR SCIENTIFIC INC COM 85517P101 61 11500 SH SOLE 11500 0 0 STATE FINL SVCS CORP CL A 856855101 2333 63132 SH SOLE 01 63132 0 0 STATS CHIPPAC LTD SPONSORED ADR 85771T104 188 28400 SH SOLE 01 28400 0 0 STEEL DYNAMICS INC COM 858119100 3369 97800 SH SOLE 97800 0 0 STEEL DYNAMICS INC NOTE 4.000%12/1 858119AD2 4121 2000000 PRN SOLE 01 0 0 0 STEELCASE INC CL A 858155203 257 18600 SH SOLE 18600 0 0 STEIN MART INC COM 858375108 487 21600 SH SOLE 21600 0 0 STEWART & STEVENSON SVCS INC COM 860342104 548 23900 SH SOLE 23900 0 0 STONE ENERGY CORP COM 861642106 1777 36600 SH SOLE 36600 0 0 STORAGE TECHNOLOGY CORP COM PAR $0.10 862111200 6887 223600 SH SOLE 223600 0 0 SUMMIT FINL CORP COM 866057102 337 15500 SH SOLE 01 15500 0 0 SUNGARD DATA SYS INC COM 867363103 2070 60000 SH SOLE 01 60000 0 0 SUNOCO INC COM 86764P109 1791 17300 SH SOLE 17300 0 0 SUNRISE SENIOR LIVING INC COM 86768K106 1191 24500 SH SOLE 24500 0 0 SUNRISE SENIOR LIVING INC NOTE 5.250% 2/0 86768KAE6 6997 5000000 PRN SOLE 01 0 0 0 SUNTERRA CORP NOTE 3.750% 3/2 86787DAC3 2254 2000000 PRN SOLE 01 0 0 0 SUNTRUST BKS INC COM 867914103 223 3100 SH SOLE 3100 0 0 SUPERVALU INC COM 868536103 5562 166800 SH SOLE 166800 0 0 SYBASE INC COM 871130100 2001 108400 SH SOLE 108400 0 0 SYBRON DENTAL SPECIALTIES IN COM 871142105 894 24900 SH SOLE 24900 0 0 SYMANTEC CORP COM 871503108 1101 51600 SH SOLE 51600 0 0 SYMMETRICOM INC COM 871543104 117 10600 SH SOLE 10600 0 0 TALBOTS INC COM 874161102 211 6600 SH SOLE 6600 0 0 TARGET CORP COM 87612E106 685 13700 SH SOLE 13700 0 0 TASER INTL INC COM 87651B104 175 14600 SH SOLE 14600 0 0 TAUBMAN CTRS INC COM 876664103 216 7800 SH SOLE 7800 0 0 TECH DATA CORP COM 878237106 2205 59500 SH SOLE 59500 0 0 TECH DATA CORP SDCV 2.000%12/1 878237AD8 985 1000000 PRN SOLE 01 0 0 0 TECHNE CORP COM 878377100 2499 62200 SH SOLE 62200 0 0 TECHNICAL OLYMPIC USA INC COM 878483106 229 7600 SH SOLE 7600 0 0 TECNOMATIX TECHNOLOGIES LTD ORD M8743P105 5709 336206 SH SOLE 01 336206 0 0 TEKELEC NOTE 2.250% 6/1 879101AE3 1556 1500000 PRN SOLE 01 0 0 0 TELEFONOS DE MEXICO S A SPON ADR ORD L 879403780 3595 104100 SH SOLE 104100 0 0 TELEPHONE & DATA SYS INC COM 879433100 547 6700 SH SOLE 6700 0 0 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INTL CORP NEW COM 986670107 2104 53700 SH SOLE 53700 0 0 YUM BRANDS INC COM 988498101 285 5500 SH SOLE 5500 0 0 ZALE CORP NEW COM 988858106 416 14000 SH SOLE 14000 0 0 ZENITH NATL INS CORP COM 989390109 296 5700 SH SOLE 5700 0 0 ZENITH NATL INS CORP NOTE 5.750% 3/3 989390AH2 2433 1150000 PRN SOLE 01 0 0 0 ZIONS BANCORPORATION COM 989701107 263 3800 SH SOLE 3800 0 0
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