0001010549-12-001084.txt : 20121016
0001010549-12-001084.hdr.sgml : 20121016
20121016121316
ACCESSION NUMBER: 0001010549-12-001084
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20120930
FILED AS OF DATE: 20121016
DATE AS OF CHANGE: 20121016
EFFECTIVENESS DATE: 20121016
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: 121145698
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
tdsec13f093012.txt
TD SECURITIES (USA) LLC
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, 2012
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, NY October 16, 2012
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: 521
Form 13F Information Table Value Total: $ 3,158,246
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
------------------------------------------------------------------------------------------------------------------------------------
TITLE OF SH INVESTMENT VOTING AUTHORITY
Name of Issuer CLASS CUSIPS Value Shares PRN DISCRETION SOLE SHARED NONE
---- -- ------ ----- ------ ----- ------ --- ---------- ---- ------ ----
------------------------------------------------------------------------------------------------------------------------------------
3M CO COM COM 88579Y101 13,821 149,546 sh sole 149,546
ABBOTT LABS COM COM 002824100 25,296 368,955 sh sole 368,955
ABERCROMBIE & FITCH CO CL A COM 002896207 659 19,419 sh sole 19,419
ACCENTURE PLC IRELAND SHS CLASS A COM G1151C101 10,451 149,234 sh sole 149,234
ACE LTD SHS COM H0023R105 6,028 79,741 sh sole 79,741
ADOBE SYS INC COM COM 00724F101 3,753 115,608 sh sole 115,608
ADVANCED MICRO DEVICES INC COM COM 007903107 477 141,400 sh sole 141,400
AES CORP COM COM 00130H105 1,601 145,958 sh sole 145,958
AETNA INC NEW COM COM 00817Y108 3,111 78,562 sh sole 78,562
AFLAC INC COM COM 001055102 5,271 110,080 sh sole 110,080
AGILENT TECHNOLOGIES INC COM COM 00846U101 3,149 81,909 sh sole 81,909
AGL RES INC COM COM 001204106 1,130 27,615 sh sole 27,615
AIR PRODS & CHEMS INC COM COM 009158106 4,117 49,785 sh sole 49,785
AIRGAS INC COM COM 009363102 1,341 16,291 sh sole 16,291
AKAMAI TECHNOLOGIES INC COM COM 00971T101 1,595 41,689 sh sole 41,689
ALCOA INC COM COM 013817101 2,220 250,838 sh sole 250,838
ALEXION PHARMACEUTICALS INC COM COM 015351109 5,192 45,384 sh sole 45,384
ALLEGHENY TECHNOLOGIES INC COM COM 01741R102 804 25,193 sh sole 25,193
ALLERGAN INC COM COM 018490102 6,621 72,297 sh sole 72,297
ALLSTATE CORP COM COM 020002101 4,516 114,008 sh sole 114,008
ALPHA NATURAL RESOURCES INC COM COM 02076X102 340 51,812 sh sole 51,812
ALTERA CORP COM COM 021441100 2,556 75,205 sh sole 75,205
ALTRIA GROUP INC COM COM 02209S103 15,958 477,926 sh sole 477,926
AMAZON COM INC COM COM 023135106 21,625 85,030 sh sole 85,030
AMEREN CORP COM COM 023608102 1,863 57,028 sh sole 57,028
AMERICAN ELEC PWR INC COM COM 025537101 5,009 114,001 sh sole 114,001
AMERICAN EXPRESS CO COM COM 025816109 13,185 231,883 sh sole 231,883
AMERICAN INTL GROUP INC COM NEW COM 026874784 8,990 274,180 sh sole 274,180
AMERICAN TOWER CORP NEW COM COM 03027X100 6,632 92,896 sh sole 92,896
AMERIPRISE FINL INC COM COM 03076C106 2,808 49,534 sh sole 49,534
AMERISOURCEBERGEN CORP COM COM 03073E105 2,290 59,146 sh sole 59,146
AMGEN INC COM COM 031162100 15,279 181,199 sh sole 181,199
AMPHENOL CORP NEW CL A COM 032095101 2,228 37,847 sh sole 37,847
ANADARKO PETE CORP COM COM 032511107 8,215 117,486 sh sole 117,486
ANALOG DEVICES INC COM COM 032654105 2,754 70,275 sh sole 70,275
AON PLC SHS CL A ADDED COM G0408V102 3,964 75,806 sh sole 75,806
APACHE CORP COM COM 037411105 7,952 91,961 sh sole 91,961
APARTMENT INVT & MGMT CO CL A COM 03748R101 890 34,231 sh sole 34,231
APOLLO GROUP INC CL A COM 037604105 690 23,738 sh sole 23,738
APPLE INC COM COM 037833100 147,051 220,381 sh sole 220,381
APPLIED MATLS INC COM COM 038222105 3,248 290,901 sh sole 290,901
ARCHER DANIELS MIDLAND CO COM COM 039483102 4,209 154,845 sh sole 154,845
ASSURANT INC COM COM 04621X108 712 19,076 sh sole 19,076
AT&T INC COM COM 00206R102 51,132 1,356,286 sh sole 1,356,286
AUTODESK INC COM COM 052769106 1,780 53,337 sh sole 53,337
AUTOMATIC DATA PROCESSING IN COM COM 053015103 6,681 113,899 sh sole 113,899
AUTONATION INC COM COM 05329W102 396 9,064 sh sole 9,064
AUTOZONE INC COM COM 053332102 3,252 8,798 sh sole 8,798
AVALONBAY CMNTYS INC COM COM 053484101 3,099 22,790 sh sole 22,790
AVERY DENNISON CORP COM COM 053611109 759 23,843 sh sole 23,843
AVON PRODS INC COM COM 054303102 1,621 101,599 sh sole 101,599
BAKER HUGHES INC COM COM 057224107 4,673 103,327 sh sole 103,327
BALL CORP COM COM 058498106 1,540 36,396 sh sole 36,396
BANK OF AMERICA CORPORATION COM COM 060505104 22,373 2,533,715 sh sole 2,533,715
BANK OF NEW YORK MELLON CORP COM COM 064058100 6,282 277,733 sh sole 277,733
BARD C R INC COM COM 067383109 1,916 18,312 sh sole 18,312
BAXTER INTL INC COM COM 071813109 7,752 128,648 sh sole 128,648
BB&T CORP COM COM 054937107 5,450 164,355 sh sole 164,355
BEAM INC COM COM 073730103 2,140 37,193 sh sole 37,193
BECTON DICKINSON & CO COM COM 075887109 3,684 46,897 sh sole 46,897
BED BATH & BEYOND INC COM COM 075896100 3,438 54,569 sh sole 54,569
BEMIS INC COM COM 081437105 764 24,270 sh sole 24,270
BERKSHIRE HATHAWAY INC DEL CL B NEW COM 084670702 38,026 431,132 sh sole 431,132
BEST BUY INC COM COM 086516101 1,075 62,515 sh sole 62,515
BIG LOTS INC COM COM 089302103 415 14,015 sh sole 14,015
BIOGEN IDEC INC COM COM 09062X103 8,293 55,569 sh sole 55,569
BLACKROCK INC COM COM 09247X101 5,356 30,041 sh sole 30,041
BLOCK H & R INC COM COM 093671105 1,104 63,699 sh sole 63,699
BMC SOFTWARE INC COM COM 055921100 1,431 34,491 sh sole 34,491
BOEING CO COM COM 097023105 11,075 159,080 sh sole 159,080
BORGWARNER INC COM COM 099724106 1,859 26,904 sh sole 26,904
BOSTON PROPERTIES INC COM COM 101121101 3,922 35,455 sh sole 35,455
BOSTON SCIENTIFIC CORP COM COM 101137107 1,915 333,606 sh sole 333,606
BRISTOL MYERS SQUIBB CO COM COM 110122108 13,323 394,755 sh sole 394,755
BROADCOM CORP CL A COM 111320107 4,182 120,925 sh sole 120,925
BROWN FORMAN CORP CL B COM 115637209 2,322 35,590 sh sole 35,590
C H ROBINSON WORLDWIDE INC COM NEW COM 12541W209 2,223 37,973 sh sole 37,973
CA INC COM COM 12673P105 2,074 80,513 sh sole 80,513
CABLEVISION SYS CORP CL A NY CABLVS COM 12686C109 804 50,715 sh sole 50,715
CABOT OIL & GAS CORP COM COM 127097103 2,217 49,383 sh sole 49,383
CAMERON INTERNATIONAL CORP COM COM 13342B105 3,246 57,886 sh sole 57,886
CAMPBELL SOUP CO COM COM 134429109 1,474 42,333 sh sole 42,333
CAPITAL ONE FINL CORP COM COM 14040H105 7,787 136,582 sh sole 136,582
CARDINAL HEALTH INC COM COM 14149Y108 3,124 80,174 sh sole 80,174
CAREFUSION CORP COM COM 14170T101 1,481 52,174 sh sole 52,174
CARMAX INC COM COM 143130102 1,519 53,670 sh sole 53,670
CARNIVAL CORP PAIRED CTF COM 143658300 3,831 105,127 sh sole 105,127
CATERPILLAR INC DEL COM COM 149123101 13,215 153,588 sh sole 153,588
CBRE GROUP INC CL A COM 12504L109 1,307 70,982 sh sole 70,982
CBS CORP NEW CL B COM 124857202 5,084 139,926 sh sole 139,926
CELGENE CORP COM COM 151020104 7,749 101,433 sh sole 101,433
CENTERPOINT ENERGY INC COM COM 15189T107 2,140 100,473 sh sole 100,473
CENTURYLINK INC COM COM 156700106 5,914 146,385 sh sole 146,385
CERNER CORP COM COM 156782104 2,649 34,220 sh sole 34,220
CF INDS HLDGS INC COM COM 125269100 3,276 14,742 sh sole 14,742
CHESAPEAKE ENERGY CORP COM COM 165167107 2,303 122,024 sh sole 122,024
CHEVRON CORP NEW COM COM 166764100 53,772 461,326 sh sole 461,326
CHIPOTLE MEXICAN GRILL INC COM COM 169656105 2,362 7,437 sh sole 7,437
CHUBB CORP COM COM 171232101 4,766 62,484 sh sole 62,484
CIGNA CORPORATION COM COM 125509109 3,198 67,801 sh sole 67,801
CINCINNATI FINL CORP COM COM 172062101 1,303 34,378 sh sole 34,378
CINTAS CORP COM COM 172908105 1,048 25,290 sh sole 25,290
CISCO SYS INC COM COM 17275R102 23,743 1,243,721 sh sole 1,243,721
CITIGROUP INC COM NEW COM 172967424 22,558 689,427 sh sole 689,427
CITRIX SYS INC COM COM 177376100 3,367 43,975 sh sole 43,975
CLIFFS NATURAL RESOURCES INC COM COM 18683K101 1,310 33,486 sh sole 33,486
CLOROX CO DEL COM COM 189054109 2,197 30,490 sh sole 30,490
CME GROUP INC COM COM 12572Q105 4,622 80,669 sh sole 80,669
CMS ENERGY CORP COM COM 125896100 1,467 62,303 sh sole 62,303
COACH INC COM COM 189754104 3,757 67,063 sh sole 67,063
COCA COLA CO COM COM 191216100 34,524 910,202 sh sole 910,202
COCA COLA ENTERPRISES INC NE COM COM 19122T109 2,035 65,072 sh sole 65,072
COGNIZANT TECHNOLOGY SOLUTIO CL A COM 192446102 4,907 70,187 sh sole 70,187
COLGATE PALMOLIVE CO COM COM 194162103 11,236 104,793 sh sole 104,793
COMCAST CORP NEW CL A COM 20030N101 22,503 629,109 sh sole 629,109
COMERICA INC COM COM 200340107 1,413 45,497 sh sole 45,497
COMPUTER SCIENCES CORP COM COM 205363104 1,176 36,511 sh sole 36,511
CONAGRA FOODS INC COM COM 205887102 2,634 95,466 sh sole 95,466
CONOCOPHILLIPS COM COM 20825C104 16,327 285,533 sh sole 285,533
CONSOL ENERGY INC COM COM 20854P109 1,608 53,525 sh sole 53,525
CONSOLIDATED EDISON INC COM COM 209115104 4,123 68,847 sh sole 68,847
CONSTELLATION BRANDS INC CL A COM 21036P108 1,120 34,616 sh sole 34,616
COOPER INDUSTRIES PLC SHS COM G24140108 2,822 37,600 sh sole 37,600
CORNING INC COM COM 219350105 4,604 350,077 sh sole 350,077
COSTCO WHSL CORP NEW COM COM 22160K105 10,176 101,630 sh sole 101,630
COVENTRY HEALTH CARE INC COM COM 222862104 1,312 31,461 sh sole 31,461
COVIDIEN PLC SHS COM G2554F113 6,708 112,884 sh sole 112,884
CROWN CASTLE INTL CORP COM COM 228227104 4,416 68,885 sh sole 68,885
CSX CORP COM COM 126408103 5,074 244,512 sh sole 244,512
CUMMINS INC COM COM 231021106 3,839 41,631 sh sole 41,631
CVS CAREMARK CORPORATION COM COM 126650100 14,483 299,105 sh sole 299,105
DANAHER CORP DEL COM COM 235851102 7,574 137,340 sh sole 137,340
DARDEN RESTAURANTS INC COM COM 237194105 1,680 30,133 sh sole 30,133
DAVITA INC COM COM 23918K108 2,072 20,000 sh sole 20,000
DEAN FOODS CO NEW COM COM 242370104 711 43,468 sh sole 43,468
DEERE & CO COM COM 244199105 7,595 92,077 sh sole 92,077
DELL INC COM COM 24702R101 3,378 342,571 sh sole 342,571
DENBURY RES INC COM NEW COM 247916208 1,486 91,956 sh sole 91,956
DENTSPLY INTL INC NEW COM COM 249030107 1,272 33,343 sh sole 33,343
DEVON ENERGY CORP NEW COM COM 25179M103 5,351 88,451 sh sole 88,451
DIAMOND OFFSHORE DRILLING IN COM COM 25271C102 1,075 16,337 sh sole 16,337
DISCOVER FINL SVCS COM COM 254709108 4,809 121,047 sh sole 121,047
DISCOVERY COMMUNICATNS NEW COM SER A COM 25470F104 3,465 58,110 sh sole 58,110
DISNEY WALT CO COM DISNEY COM 254687106 22,053 421,827 sh sole 421,827
DOLLAR TREE INC COM COM 256746108 2,614 54,139 sh sole 54,139
DOMINION RES INC VA NEW COM COM 25746U109 7,137 134,813 sh sole 134,813
DONNELLEY R R & SONS CO COM COM 257867101 449 42,379 sh sole 42,379
DOVER CORP COM COM 260003108 2,557 42,985 sh sole 42,985
DOW CHEM CO COM COM 260543103 8,156 281,640 sh sole 281,640
DR PEPPER SNAPPLE GROUP INC COM COM 26138E109 2,204 49,489 sh sole 49,489
DTE ENERGY CO COM COM 233331107 2,420 40,379 sh sole 40,379
DU PONT E I DE NEMOURS & CO COM COM 263534109 10,996 218,731 sh sole 218,731
DUKE ENERGY CORP NEW COM COM 26441C204 10,728 165,562 sh sole 165,562
DUN & BRADSTREET CORP DEL NE COM COM 26483E100 840 10,555 sh sole 10,555
E TRADE FINANCIAL CORP COM NEW COM 269246401 532 60,388 sh sole 60,388
EASTMAN CHEM CO COM COM 277432100 2,051 35,970 sh sole 35,970
EATON CORP COM COM 278058102 3,750 79,357 sh sole 79,357
EBAY INC COM COM 278642103 13,200 272,679 sh sole 272,679
ECOLAB INC COM COM 278865100 4,012 61,898 sh sole 61,898
EDISON INTL COM COM 281020107 3,500 76,602 sh sole 76,602
EDWARDS LIFESCIENCES CORP COM COM 28176E108 2,919 27,191 sh sole 27,191
ELECTRONIC ARTS INC COM COM 285512109 950 74,853 sh sole 74,853
EMERSON ELEC CO COM COM 291011104 8,255 171,014 sh sole 171,014
ENSCO PLC SHS CLASS A ADDED COM G3157S106 2,976 54,540 sh sole 54,540
ENTERGY CORP NEW COM COM 29364G103 2,889 41,692 sh sole 41,692
EOG RES INC COM COM 26875P101 7,113 63,479 sh sole 63,479
EQT CORP COM COM 26884L109 2,074 35,154 sh sole 35,154
EQUIFAX INC COM COM 294429105 1,313 28,180 sh sole 28,180
EQUITY RESIDENTIAL SH BEN INT COM 29476L107 4,072 70,778 sh sole 70,778
EXELON CORP COM COM 30161N101 7,140 200,678 sh sole 200,678
EXPEDIA INC DEL COM NEW COM 30212P303 1,274 22,034 sh sole 22,034
EXPEDITORS INTL WASH INC COM COM 302130109 1,799 49,486 sh sole 49,486
EXPRESS SCRIPTS HLDG CO COM ADDED COM 30219G108 11,946 190,613 sh sole 190,613
EXXON MOBIL CORP COM COM 30231G102 99,240 1,085,183 sh sole 1,085,183
F M C CORP COM NEW COM 302491303 1,787 32,273 sh sole 32,273
F5 NETWORKS INC COM COM 315616102 1,946 18,586 sh sole 18,586
FAMILY DLR STORES INC COM COM 307000109 1,512 22,812 sh sole 22,812
FASTENAL CO COM COM 311900104 2,723 63,345 sh sole 63,345
FEDERATED INVS INC PA CL B COM 314211103 456 22,046 sh sole 22,046
FEDEX CORP COM COM 31428X106 5,810 68,662 sh sole 68,662
FIDELITY NATL INFORMATION SV COM COM 31620M106 1,838 58,872 sh sole 58,872
FIFTH THIRD BANCORP COM COM 316773100 3,350 216,000 sh sole 216,000
FIRST HORIZON NATL CORP COM COM 320517105 563 58,498 sh sole 58,498
FIRST SOLAR INC COM COM 336433107 312 14,090 sh sole 14,090
FIRSTENERGY CORP COM COM 337932107 4,336 98,312 sh sole 98,312
FISERV INC COM COM 337738108 2,361 31,889 sh sole 31,889
FLIR SYS INC COM COM 302445101 710 35,529 sh sole 35,529
FLOWSERVE CORP COM COM 34354P105 1,533 12,004 sh sole 12,004
FLUOR CORP NEW COM COM 343412102 2,210 39,267 sh sole 39,267
FMC TECHNOLOGIES INC COM COM 30249U101 2,595 56,054 sh sole 56,054
FORD MTR CO DEL COM PAR $0.01 COM 345370860 8,841 896,696 sh sole 896,696
FOREST LABS INC COM COM 345838106 1,957 54,956 sh sole 54,956
FOSSIL INC COM COM 349882100 1,089 12,858 sh sole 12,858
FRANKLIN RES INC COM COM 354613101 4,065 32,498 sh sole 32,498
FREEPORT-MCMORAN COPPER & GO COM COM 35671D857 8,834 223,190 sh sole 223,190
FRONTIER COMMUNICATIONS CORP COM COM 35906A108 1,150 234,757 sh sole 234,757
GAMESTOP CORP NEW CL A COM 36467W109 609 29,018 sh sole 29,018
GANNETT INC COM COM 364730101 966 54,421 sh sole 54,421
GAP INC DEL COM COM 364760108 2,508 70,088 sh sole 70,088
GENERAL DYNAMICS CORP COM COM 369550108 5,156 77,975 sh sole 77,975
GENERAL ELECTRIC CO COM COM 369604103 56,375 2,482,382 sh sole 2,482,382
GENERAL MLS INC COM COM 370334104 6,074 152,425 sh sole 152,425
GENUINE PARTS CO COM COM 372460105 2,225 36,452 sh sole 36,452
GENWORTH FINL INC COM CL A COM 37247D106 604 115,573 sh sole 115,573
GOLDMAN SACHS GROUP INC COM COM 38141G104 12,044 105,943 sh sole 105,943
GOODYEAR TIRE & RUBR CO COM COM 382550101 701 57,527 sh sole 57,527
GOOGLE INC CL A COM 38259P508 46,990 62,279 sh sole 62,279
GRAINGER W W INC COM COM 384802104 2,940 14,111 sh sole 14,111
HALLIBURTON CO COM COM 406216101 7,349 218,135 sh sole 218,135
HARLEY DAVIDSON INC COM COM 412822108 2,271 53,594 sh sole 53,594
HARMAN INTL INDS INC COM COM 413086109 728 15,772 sh sole 15,772
HARRIS CORP DEL COM COM 413875105 1,364 26,634 sh sole 26,634
HARTFORD FINL SVCS GROUP INC COM COM 416515104 1,991 102,443 sh sole 102,443
HASBRO INC COM COM 418056107 1,040 27,240 sh sole 27,240
HCP INC COM COM 40414L109 4,492 100,984 sh sole 100,984
HEALTH CARE REIT INC COM COM 42217K106 3,455 59,828 sh sole 59,828
HEINZ H J CO COM COM 423074103 4,212 75,286 sh sole 75,286
HELMERICH & PAYNE INC COM COM 423452101 1,183 24,851 sh sole 24,851
HERSHEY CO COM COM 427866108 2,527 35,643 sh sole 35,643
HESS CORP COM COM 42809H107 3,753 69,854 sh sole 69,854
HEWLETT PACKARD CO COM COM 428236103 7,886 462,241 sh sole 462,241
HOME DEPOT INC COM COM 437076102 21,396 354,421 sh sole 354,421
HONEYWELL INTL INC COM COM 438516106 10,965 183,523 sh sole 183,523
HORMEL FOODS CORP COM COM 440452100 922 31,517 sh sole 31,517
HOSPIRA INC COM COM 441060100 1,274 38,829 sh sole 38,829
HOST HOTELS & RESORTS INC COM COM 44107P104 2,726 169,874 sh sole 169,874
HUDSON CITY BANCORP COM COM 443683107 889 111,734 sh sole 111,734
HUMANA INC COM COM 444859102 2,668 38,034 sh sole 38,034
HUNTINGTON BANCSHARES INC COM COM 446150104 1,392 201,801 sh sole 201,801
ILLINOIS TOOL WKS INC COM COM 452308109 6,030 101,404 sh sole 101,404
INGERSOLL-RAND PLC SHS COM G47791101 3,021 67,406 sh sole 67,406
INTEGRYS ENERGY GROUP INC COM COM 45822P105 955 18,299 sh sole 18,299
INTEL CORP COM COM 458140100 26,676 1,176,195 sh sole 1,176,195
INTERCONTINENTALEXCHANGE INC COM COM 45865V100 2,280 17,093 sh sole 17,093
INTERNATIONAL BUSINESS MACHS COM COM 459200101 52,394 252,562 sh sole 252,562
INTERNATIONAL FLAVORS&FRAGRA COM COM 459506101 1,140 19,137 sh sole 19,137
INTERNATIONAL GAME TECHNOLOG COM COM 459902102 822 62,807 sh sole 62,807
INTERPUBLIC GROUP COS INC COM COM 460690100 1,143 102,781 sh sole 102,781
INTL PAPER CO COM COM 460146103 3,735 102,834 sh sole 102,834
INTUIT COM COM 461202103 3,822 64,911 sh sole 64,911
INTUITIVE SURGICAL INC COM NEW COM 46120E602 4,659 9,401 sh sole 9,401
INVESCO LTD SHS COM G491BT108 2,616 104,666 sh sole 104,666
IRON MTN INC COM COM 462846106 1,212 35,527 sh sole 35,527
JABIL CIRCUIT INC COM COM 466313103 823 43,981 sh sole 43,981
JACOBS ENGR GROUP INC DEL COM COM 469814107 1,232 30,463 sh sole 30,463
JDS UNIPHASE CORP COM PAR $0.001 COM 46612J507 675 54,508 sh sole 54,508
JOHNSON & JOHNSON COM COM 478160104 44,666 648,178 sh sole 648,178
JOHNSON CTLS INC COM COM 478366107 4,406 160,797 sh sole 160,797
JOY GLOBAL INC COM COM 481165108 1,396 24,899 sh sole 24,899
JPMORGAN CHASE & CO COM COM 46625H100 36,152 893,094 sh sole 893,094
JUNIPER NETWORKS INC COM COM 48203R104 2,118 123,813 sh sole 123,813
KELLOGG CO COM COM 487836108 2,998 58,030 sh sole 58,030
KEYCORP NEW COM COM 493267108 1,939 221,821 sh sole 221,821
KIMBERLY CLARK CORP COM COM 494368103 7,963 92,827 sh sole 92,827
KIMCO RLTY CORP COM COM 49446R109 1,940 95,693 sh sole 95,693
KINDER MORGAN INC DEL COM COM 49456B101 4,764 134,109 sh sole 134,109
KLA-TENCOR CORP COM COM 482480100 1,868 39,151 sh sole 39,151
KOHLS CORP COM COM 500255104 2,597 50,706 sh sole 50,706
KRAFT FOODS INC CL A COM 50075N104 17,252 417,215 sh sole 417,215
KROGER CO COM COM 501044101 3,015 128,071 sh sole 128,071
L-3 COMMUNICATIONS HLDGS INC COM COM 502424104 1,592 22,198 sh sole 22,198
LABORATORY CORP AMER HLDGS COM NEW COM 50540R409 2,083 22,530 sh sole 22,530
LAM RESEARCH CORP COM COM 512807108 1,362 42,856 sh sole 42,856
LAUDER ESTEE COS INC CL A COM 518439104 3,475 56,446 sh sole 56,446
LEGG MASON INC COM COM 524901105 698 28,266 sh sole 28,266
LEGGETT & PLATT INC COM COM 524660107 828 33,037 sh sole 33,037
LEUCADIA NATL CORP COM COM 527288104 1,059 46,565 sh sole 46,565
LIFE TECHNOLOGIES CORP COM COM 53217V109 2,014 41,211 sh sole 41,211
LILLY ELI & CO COM COM 532457108 11,382 240,068 sh sole 240,068
LIMITED BRANDS INC COM COM 532716107 2,763 56,097 sh sole 56,097
LINCOLN NATL CORP IND COM COM 534187109 1,588 65,635 sh sole 65,635
LINEAR TECHNOLOGY CORP COM COM 535678106 1,724 54,124 sh sole 54,124
LOCKHEED MARTIN CORP COM COM 539830109 5,913 63,324 sh sole 63,324
LOEWS CORP COM COM 540424108 3,031 73,461 sh sole 73,461
LORILLARD INC COM COM 544147101 3,576 30,707 sh sole 30,707
LOWES COS INC COM COM 548661107 8,109 268,166 sh sole 268,166
LSI CORPORATION COM COM 502161102 906 131,068 sh sole 131,068
LYONDELLBASELL INDUSTRIES N SHS - A - COM N53745100 4,119 79,735 sh sole 79,735
M & T BK CORP COM COM 55261F104 2,694 28,306 sh sole 28,306
MACYS INC COM COM 55616P104 3,560 94,632 sh sole 94,632
MARATHON OIL CORP COM COM 565849106 4,901 165,747 sh sole 165,747
MARATHON PETE CORP COM COM 56585A102 4,342 79,537 sh sole 79,537
MARRIOTT INTL INC NEW CL A COM 571903202 2,314 59,178 sh sole 59,178
MARSH & MCLENNAN COS INC COM COM 571748102 4,341 127,947 sh sole 127,947
MASCO CORP COM COM 574599106 1,263 83,938 sh sole 83,938
MASTERCARD INC CL A COM 57636Q104 11,392 25,232 sh sole 25,232
MATTEL INC COM COM 577081102 2,842 80,114 sh sole 80,114
MCCORMICK & CO INC COM NON VTG COM 579780206 1,935 31,187 sh sole 31,187
MCDONALDS CORP COM COM 580135101 21,749 237,047 sh sole 237,047
MCGRAW HILL COS INC COM COM 580645109 3,595 65,859 sh sole 65,859
MCKESSON CORP COM COM 58155Q103 4,773 55,482 sh sole 55,482
MEAD JOHNSON NUTRITION CO COM COM 582839106 3,510 47,901 sh sole 47,901
MEADWESTVACO CORP COM COM 583334107 1,249 40,817 sh sole 40,817
MEDTRONIC INC COM COM 585055106 10,342 239,841 sh sole 239,841
MERCK & CO INC NEW COM COM 58933Y105 32,293 716,038 sh sole 716,038
METLIFE INC COM COM 59156R108 8,605 249,723 sh sole 249,723
METROPCS COMMUNICATIONS INC COM COM 591708102 870 74,322 sh sole 74,322
MICROCHIP TECHNOLOGY INC COM COM 595017104 1,491 45,547 sh sole 45,547
MICRON TECHNOLOGY INC COM COM 595112103 1,432 239,210 sh sole 239,210
MICROSOFT CORP COM COM 594918104 52,826 1,773,884 sh sole 1,773,884
MOLEX INC COM COM 608554101 851 32,370 sh sole 32,370
MOLSON COORS BREWING CO CL B COM 60871R209 1,648 36,584 sh sole 36,584
MONSANTO CO NEW COM COM 61166W101 11,404 125,291 sh sole 125,291
MONSTER BEVERAGE CORP COM COM 611740101 1,954 36,078 sh sole 36,078
MOODYS CORP COM COM 615369105 2,008 45,472 sh sole 45,472
MORGAN STANLEY COM NEW COM 617446448 5,442 325,105 sh sole 325,105
MOSAIC CO NEW COM COM 61945C103 3,745 65,001 sh sole 65,001
MOTOROLA SOLUTIONS INC COM NEW COM 620076307 3,403 67,311 sh sole 67,311
MURPHY OIL CORP COM COM 626717102 2,330 43,392 sh sole 43,392
MYLAN INC COM COM 628530107 2,328 95,418 sh sole 95,418
NABORS INDUSTRIES LTD SHS COM G6359F103 958 68,282 sh sole 68,282
NASDAQ OMX GROUP INC COM COM 631103108 649 27,867 sh sole 27,867
NATIONAL OILWELL VARCO INC COM COM 637071101 8,032 100,265 sh sole 100,265
NETAPP INC COM COM 64110D104 1,378 41,918 sh sole 41,918
NETFLIX INC COM COM 64110L106 711 13,058 sh sole 13,058
NEWELL RUBBERMAID INC COM COM 651229106 1,296 67,913 sh sole 67,913
NEWFIELD EXPL CO COM COM 651290108 994 31,752 sh sole 31,752
NEWMONT MINING CORP COM COM 651639106 4,686 83,660 sh sole 83,660
NEWS CORP CL A COM 65248E104 11,741 478,638 sh sole 478,638
NEXTERA ENERGY INC COM COM 65339F101 6,991 99,402 sh sole 99,402
NIKE INC CL B COM 654106103 8,205 86,451 sh sole 86,451
NISOURCE INC COM COM 65473P105 1,707 66,991 sh sole 66,991
NOBLE CORPORATION BAAR NAMEN -AKT COM H5833N103 2,125 59,395 sh sole 59,395
NOBLE ENERGY INC COM COM 655044105 3,877 41,823 sh sole 41,823
NORDSTROM INC COM COM 655664100 1,983 35,928 sh sole 35,928
NORFOLK SOUTHERN CORP COM COM 655844108 4,779 75,102 sh sole 75,102
NORTHEAST UTILS COM COM 664397106 2,821 73,791 sh sole 73,791
NORTHERN TR CORP COM COM 665859104 2,389 51,470 sh sole 51,470
NORTHROP GRUMMAN CORP COM COM 666807102 3,861 58,126 sh sole 58,126
NRG ENERGY INC COM NEW COM 629377508 1,146 53,580 sh sole 53,580
NUCOR CORP COM COM 670346105 2,856 74,652 sh sole 74,652
NVIDIA CORP COM COM 67066G104 1,943 145,648 sh sole 145,648
NYSE EURONEXT COM COM 629491101 1,426 57,854 sh sole 57,854
O REILLY AUTOMOTIVE INC NEW COM COM 67103H107 2,339 27,969 sh sole 27,969
OCCIDENTAL PETE CORP DEL COM COM 674599105 16,386 190,406 sh sole 190,406
OMNICOM GROUP INC COM COM 681919106 3,221 62,465 sh sole 62,465
ONEOK INC NEW COM COM 682680103 2,328 48,193 sh sole 48,193
ORACLE CORP COM COM 68389X105 28,195 895,365 sh sole 895,365
OWENS ILL INC COM NEW COM 690768403 728 38,818 sh sole 38,818
PACCAR INC COM COM 693718108 3,326 83,092 sh sole 83,092
PALL CORP COM COM 696429307 1,734 27,317 sh sole 27,317
PARKER HANNIFIN CORP COM COM 701094104 2,935 35,115 sh sole 35,115
PATTERSON COMPANIES INC COM COM 703395103 685 19,995 sh sole 19,995
PAYCHEX INC COM COM 704326107 2,527 75,921 sh sole 75,921
PEABODY ENERGY CORP COM COM 704549104 1,406 63,084 sh sole 63,084
PENNEY J C INC COM COM 708160106 813 33,463 sh sole 33,463
PEOPLES UNITED FINANCIAL INC COM COM 712704105 1,003 82,594 sh sole 82,594
PEPCO HOLDINGS INC COM COM 713291102 1,017 53,808 sh sole 53,808
PEPSICO INC COM COM 713448108 25,893 365,873 sh sole 365,873
PERKINELMER INC COM COM 714046109 790 26,808 sh sole 26,808
PERRIGO CO COM COM 714290103 2,401 20,669 sh sole 20,669
PFIZER INC COM COM 717081103 43,639 1,756,107 sh sole 1,756,107
PG&E CORP COM COM 69331C108 4,279 100,276 sh sole 100,276
PHILIP MORRIS INTL INC COM COM 718172109 35,645 396,320 sh sole 396,320
PHILLIPS 66 COM ADDED COM 718546104 6,835 147,405 sh sole 147,405
PINNACLE WEST CAP CORP COM COM 723484101 1,360 25,763 sh sole 25,763
PIONEER NAT RES CO COM COM 723787107 3,019 28,916 sh sole 28,916
PITNEY BOWES INC COM COM 724479100 652 47,176 sh sole 47,176
PLUM CREEK TIMBER CO INC COM COM 729251108 1,665 37,985 sh sole 37,985
PNC FINL SVCS GROUP INC COM COM 693475105 7,853 124,459 sh sole 124,459
PPG INDS INC COM COM 693506107 4,124 35,911 sh sole 35,911
PPL CORP COM COM 69351T106 3,965 136,494 sh sole 136,494
PRAXAIR INC COM COM 74005P104 7,281 70,086 sh sole 70,086
PRECISION CASTPARTS CORP COM COM 740189105 5,583 34,181 sh sole 34,181
PRICE T ROWE GROUP INC COM COM 74144T108 3,777 59,671 sh sole 59,671
PRICELINE COM INC COM NEW COM 741503403 7,244 11,708 sh sole 11,708
PRINCIPAL FINL GROUP INC COM COM 74251V102 1,757 65,221 sh sole 65,221
PROCTER & GAMBLE CO COM COM 742718109 44,914 647,546 sh sole 647,546
PROGRESSIVE CORP OHIO COM COM 743315103 2,733 131,765 sh sole 131,765
PROLOGIS INC COM COM 74340W103 3,795 108,325 sh sole 108,325
PRUDENTIAL FINL INC COM COM 744320102 5,973 109,575 sh sole 109,575
PUBLIC STORAGE COM COM 74460D109 4,713 33,863 sh sole 33,863
PUBLIC SVC ENTERPRISE GROUP COM COM 744573106 3,827 118,936 sh sole 118,936
PULTE GROUP INC COM COM 745867101 1,230 79,384 sh sole 79,384
QEP RES INC COM COM 74733V100 1,324 41,808 sh sole 41,808
QUALCOMM INC COM COM 747525103 25,025 400,458 sh sole 400,458
QUANTA SVCS INC COM COM 74762E102 1,238 50,110 sh sole 50,110
QUEST DIAGNOSTICS INC COM COM 74834L100 2,367 37,311 sh sole 37,311
RALPH LAUREN CORP CL A COM 751212101 2,172 14,364 sh sole 14,364
RANGE RES CORP COM COM 75281A109 2,669 38,193 sh sole 38,193
RAYTHEON CO COM NEW COM 755111507 4,461 78,040 sh sole 78,040
RED HAT INC COM COM 756577102 2,584 45,376 sh sole 45,376
REGIONS FINANCIAL CORP NEW COM COM 7591EP100 2,396 332,274 sh sole 332,274
REPUBLIC SVCS INC COM COM 760759100 1,938 70,435 sh sole 70,435
REYNOLDS AMERICAN INC COM COM 761713106 3,342 77,116 sh sole 77,116
ROBERT HALF INTL INC COM COM 770323103 888 33,348 sh sole 33,348
ROCKWELL AUTOMATION INC COM COM 773903109 2,308 33,179 sh sole 33,179
ROCKWELL COLLINS INC COM COM 774341101 1,794 33,438 sh sole 33,438
ROPER INDS INC NEW COM COM 776696106 2,525 22,982 sh sole 22,982
ROSS STORES INC COM COM 778296103 3,401 52,652 sh sole 52,652
ROWAN COMPANIES PLC SHS CL A ADDED COM G7665A101 987 29,215 sh sole 29,215
RYDER SYS INC COM COM 783549108 469 12,002 sh sole 12,002
SAFEWAY INC COM NEW COM 786514208 906 56,301 sh sole 56,301
SAIC INC COM COM 78390X101 803 66,685 sh sole 66,685
SALESFORCE COM INC COM COM 79466L302 4,594 30,084 sh sole 30,084
SANDISK CORP COM COM 80004C101 2,445 56,287 sh sole 56,287
SCANA CORP NEW COM COM 80589M102 1,491 30,884 sh sole 30,884
SCHLUMBERGER LTD COM COM 806857108 22,563 311,952 sh sole 311,952
SCHWAB CHARLES CORP NEW COM COM 808513105 3,295 257,623 sh sole 257,623
SCRIPPS NETWORKS INTERACT IN CL A COM COM 811065101 1,245 20,328 sh sole 20,328
SEAGATE TECHNOLOGY PLC SHS COM G7945M107 2,576 83,108 sh sole 83,108
SEALED AIR CORP NEW COM COM 81211K100 635 41,069 sh sole 41,069
SEMPRA ENERGY COM COM 816851109 3,407 52,831 sh sole 52,831
SHERWIN WILLIAMS CO COM COM 824348106 2,980 20,011 sh sole 20,011
SIGMA ALDRICH CORP COM COM 826552101 2,045 28,411 sh sole 28,411
SIMON PPTY GROUP INC NEW COM COM 828806109 10,820 71,274 sh sole 71,274
SLM CORP COM COM 78442P106 1,735 110,371 sh sole 110,371
SMUCKER J M CO COM NEW COM 832696405 2,222 25,740 sh sole 25,740
SNAP ON INC COM COM 833034101 980 13,634 sh sole 13,634
SOUTHERN CO COM COM 842587107 9,479 205,662 sh sole 205,662
SOUTHWEST AIRLS CO COM COM 844741108 1,532 174,708 sh sole 174,708
SOUTHWESTERN ENERGY CO COM COM 845467109 2,846 81,839 sh sole 81,839
SPDR S&P 500 ETF TR TR UNIT COM 78462F103 1,267 8,797 sh sole 8,797
SPECTRA ENERGY CORP COM COM 847560109 4,506 153,486 sh sole 153,486
SPRINT NEXTEL CORP COM SER 1 COM 852061100 3,894 705,367 sh sole 705,367
ST JUDE MED INC COM COM 790849103 3,111 73,834 sh sole 73,834
STANLEY BLACK & DECKER INC COM COM 854502101 3,014 39,527 sh sole 39,527
STAPLES INC COM COM 855030102 1,848 160,442 sh sole 160,442
STARBUCKS CORP COM COM 855244109 9,067 178,667 sh sole 178,667
STARWOOD HOTELS&RESORTS WRLD COM COM 85590A401 2,677 46,182 sh sole 46,182
STATE STR CORP COM COM 857477103 4,726 112,629 sh sole 112,629
STERICYCLE INC COM COM 858912108 1,822 20,132 sh sole 20,132
STRYKER CORP COM COM 863667101 3,783 67,960 sh sole 67,960
SUNOCO INC COM COM 86764P109 1,152 24,604 sh sole 24,604
SUNTRUST BKS INC COM COM 867914103 3,579 126,596 sh sole 126,596
SYMANTEC CORP COM COM 871503108 2,975 165,259 sh sole 165,259
SYSCO CORP COM COM 871829107 4,312 137,905 sh sole 137,905
TARGET CORP COM COM 87612E106 9,772 153,964 sh sole 153,964
TE CONNECTIVITY LTD REG SHS COM H84989104 3,421 100,582 sh sole 100,582
TECO ENERGY INC COM COM 872375100 849 47,855 sh sole 47,855
TENET HEALTHCARE CORP COM COM 88033G100 614 97,973 sh sole 97,973
TERADATA CORP DEL COM COM 88076W103 2,990 39,647 sh sole 39,647
TERADYNE INC COM COM 880770102 627 44,097 sh sole 44,097
TESORO CORP COM COM 881609101 1,377 32,871 sh sole 32,871
TEXAS INSTRS INC COM COM 882508104 7,369 267,483 sh sole 267,483
TEXTRON INC COM COM 883203101 1,729 66,050 sh sole 66,050
THERMO FISHER SCIENTIFIC INC COM COM 883556102 5,057 85,954 sh sole 85,954
TIFFANY & CO NEW COM COM 886547108 1,731 27,968 sh sole 27,968
TIME WARNER CABLE INC COM COM 88732J207 6,848 72,036 sh sole 72,036
TIME WARNER INC COM NEW COM 887317303 10,113 223,107 sh sole 223,107
TITANIUM METALS CORP COM NEW COM 888339207 222 17,290 sh sole 17,290
TJX COS INC NEW COM COM 872540109 7,752 173,074 sh sole 173,074
TORCHMARK CORP COM COM 891027104 1,152 22,441 sh sole 22,441
TOTAL SYS SVCS INC COM COM 891906109 902 38,041 sh sole 38,041
TRAVELERS COMPANIES INC COM COM 89417E109 6,185 90,613 sh sole 90,613
TRIPADVISOR INC COM COM 896945201 849 25,776 sh sole 25,776
TYCO INTERNATIONAL LTD SHS COM H89128104 2,988 108,118 sh sole 108,118
TYSON FOODS INC CL A COM 902494103 1,090 68,067 sh sole 68,067
UNION PAC CORP COM COM 907818108 13,215 111,333 sh sole 111,333
UNITED PARCEL SERVICE INC CL B COM 911312106 12,094 168,988 sh sole 168,988
UNITED STATES STL CORP NEW COM COM 912909108 647 33,905 sh sole 33,905
UNITED TECHNOLOGIES CORP COM COM 913017109 15,439 197,206 sh sole 197,206
UNITEDHEALTH GROUP INC COM COM 91324P102 13,453 242,797 sh sole 242,797
UNUM GROUP COM COM 91529Y106 1,266 65,844 sh sole 65,844
URBAN OUTFITTERS INC COM COM 917047102 964 25,661 sh sole 25,661
US BANCORP DEL COM NEW COM 902973304 15,284 445,597 sh sole 445,597
V F CORP COM COM 918204108 3,295 20,675 sh sole 20,675
VALERO ENERGY CORP NEW COM COM 91913Y100 4,109 129,695 sh sole 129,695
VARIAN MED SYS INC COM COM 92220P105 1,570 26,024 sh sole 26,024
VENTAS INC COM COM 92276F100 4,323 69,446 sh sole 69,446
VERISIGN INC COM COM 92343E102 1,791 36,785 sh sole 36,785
VERIZON COMMUNICATIONS INC COM COM 92343V104 30,522 669,782 sh sole 669,782
VIACOM INC NEW CL B COM 92553P201 5,964 111,285 sh sole 111,285
VISA INC COM CL A COM 92826C839 16,501 122,886 sh sole 122,886
VORNADO RLTY TR SH BEN INT COM 929042109 3,224 39,774 sh sole 39,774
VULCAN MATLS CO COM COM 929160109 1,439 30,433 sh sole 30,433
WALGREEN CO COM COM 931422109 7,343 201,504 sh sole 201,504
WAL-MART STORES INC COM COM 931142103 29,162 395,153 sh sole 395,153
WASHINGTON POST CO CL B COM 939640108 381 1,049 sh sole 1,049
WASTE MGMT INC DEL COM COM 94106L109 3,285 102,405 sh sole 102,405
WATERS CORP COM COM 941848103 1,718 20,613 sh sole 20,613
WATSON PHARMACEUTICALS INC COM COM 942683103 2,557 30,023 sh sole 30,023
WELLPOINT INC COM COM 94973V107 4,434 76,441 sh sole 76,441
WELLS FARGO & CO NEW COM COM 949746101 39,880 1,154,938 sh sole 1,154,938
WESTERN DIGITAL CORP COM COM 958102105 2,027 52,333 sh sole 52,333
WESTERN UN CO COM COM 959802109 2,580 141,610 sh sole 141,610
WEYERHAEUSER CO COM COM 962166104 3,304 126,392 sh sole 126,392
WHIRLPOOL CORP COM COM 963320106 1,513 18,245 sh sole 18,245
WHOLE FOODS MKT INC COM COM 966837106 3,933 40,376 sh sole 40,376
WILLIAMS COS INC DEL COM COM 969457100 5,151 147,288 sh sole 147,288
WINDSTREAM CORP COM COM 97381W104 1,397 138,223 sh sole 138,223
WISCONSIN ENERGY CORP COM COM 976657106 2,041 54,170 sh sole 54,170
WPX ENERGY INC COM COM 98212B103 776 46,803 sh sole 46,803
WYNDHAM WORLDWIDE CORP COM COM 98310W108 1,755 33,447 sh sole 33,447
WYNN RESORTS LTD COM COM 983134107 2,157 18,685 sh sole 18,685
XCEL ENERGY INC COM COM 98389B100 3,177 114,644 sh sole 114,644
XEROX CORP COM COM 984121103 2,256 307,348 sh sole 307,348
XILINX INC COM COM 983919101 2,058 61,597 sh sole 61,597
XL GROUP PLC SHS COM G98290102 1,727 71,866 sh sole 71,866
XYLEM INC COM COM 98419M100 1,097 43,622 sh sole 43,622
YAHOO INC COM COM 984332106 3,915 245,049 sh sole 245,049
YUM BRANDS INC COM COM 988498101 7,109 107,162 sh sole 107,162
ZIMMER HLDGS INC COM COM 98956P102 2,776 41,056 sh sole 41,056
ZIONS BANCORPORATION COM COM 989701107 894 43,290 sh sole 43,290
ADVANCED MICRO DEVICES INC NOTE
6.000% 5/0 NOTE 007903AL1 1,108 1,100,000 prn sole 1,100,000
ALLIANCE DATA SYSTEMS CORP NOTE
1.750% 8/0 NOTE 018581AD0 4,515 2,500,000 prn sole 2,500,000
ANIXTER INTL INC NOTE 1.000% 2/1 NOTE 035290AJ4 4,295 4,000,000 prn sole 4,000,000
ANNALY CAP MGMT INC NOTE 5.000%
5/1 ADDED NOTE 035710AB8 2,030 2,000,000 prn sole 2,000,000
CADENCE DESIGN SYSTEM INC NOTE
2.625% 6/0 NOTE 127387AJ7 5,298 3,000,000 prn sole 3,000,000
D R HORTON INC NOTE 2.000% 5/1 NOTE 23331ABB4 3,258 2,000,000 prn sole 2,000,000
E M C CORP MASS NOTE 1.750%12/0 NOTE 268648AM4 20,631 2,067,000 prn sole 12,067,000
GENERAL CABLE CORP DEL NEW NOTE
0.875%11/1 NOTE 369300AD0 2,375 2,400,000 prn sole 2,400,000
GILEAD SCIENCES INC NOTE 0.625% 5/0 NOTE 375558AH6 18,158 10,500,000 prn sole 10,500,000
GILEAD SCIENCES INC NOTE 1.625% 5/0 NOTE 375558AP8 11,659 7,500,000 prn sole 7,500,000
HANOVER COMPRESSOR CO NOTE 4.750% 1/1 NOTE 410768AE5 2,993 3,000,000 prn sole 3,000,000
HOLOGIC INC FRNT 2.000%12/1 NOTE 436440AA9 4,433 4,500,000 prn sole 4,500,000
INTERNATIONAL GAME TECHNOLOG NOTE
3.250% 5/0 NOTE 459902AQ5 3,109 3,000,000 prn sole 3,000,000
KINROSS GOLD CORP NOTE 1.750% 3/1 NOTE 496902AD9 2,483 2,500,000 prn sole 2,500,000
L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 NOTE 502413AW7 4,968 5,000,000 prn sole 5,000,000
NETAPP INC NOTE 1.750% 6/0 NOTE 64110DAB0 2,838 2,500,000 prn sole 2,500,000
NEWMONT MINING CORP NOTE 1.250% 7/1 NOTE 651639AH9 2,693 2,000,000 prn sole 2,000,000
OMNICARE INC DBCV 3.250%12/1 NOTE 681904AL2 2,447 2,500,000 prn sole 2,500,000
PROLOGIS NOTE 1.875%11/1 NOTE 74340XAR2 7,582 7,620,000 prn sole 7,620,000
PROLOGIS NOTE 2.625% 5/1 NOTE 74340XAS0 4,000 4,000,000 prn sole 4,000,000
RAYONIER TRS HLDGS INC NOTE 3.750%10/1 NOTE 75508AAB2 14,840 10,921,000 prn sole 10,921,000
SANDISK CORP NOTE 1.000% 5/1 NOTE 80004CAC5 4,701 4,760,000 prn sole 4,760,000
SBA COMMUNICATIONS CORP NOTE 4.000%10/0 NOTE 78388JAM8 8,454 4,000,000 prn sole 4,000,000
TELEFLEX INC NOTE 3.875% 8/0 NOTE 879369AA4 3,736 3,000,000 prn sole 3,000,000
TRANSOCEAN INC NOTE 1.500%12/1 NOTE 893830AW9 24,632 4,793,000 prn sole 24,793,000
VERTEX PHARMACEUTICALS INC NOTE
3.350%10/0 NOTE 92532FAN0 2,571 2,000,000 prn sole 2,000,000
TRANSOCEAN LTD PUT COM H8817H100 1122 25000 PUT sole 25,000