0001010549-13-000047.txt : 20130204 0001010549-13-000047.hdr.sgml : 20130204 20130204130553 ACCESSION NUMBER: 0001010549-13-000047 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20121231 FILED AS OF DATE: 20130204 DATE AS OF CHANGE: 20130204 EFFECTIVENESS DATE: 20130204 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: 13569084 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 tds13f123112.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: December 31, 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: Nancy Haraf Title: Vice President & Director Phone: 212-827-7504 Signature, Place, and Date of Signing: /S/ Nancy Haraf New York, NY January 30, 2013 [Signature] [City, State] [Date] Report Type (Check only one): [ X ] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report) [ ] 13F NOTICE (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) List of Other Managers Reporting for this Manager: Form 13F File Number Name None FORM 13F SUMMARY PAGE Report summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 555 Form 13F Information Table Value Total: $ 3,413,845 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 Value SH INVESTMENT VOTING AUTHORITY Name of Issuer CLASS CUSIPS (x$1000) Shares PRN DISCRETION SOLE SHARED NONE ---- -- ------ ----- ------ ----- ------ --- ---------- ---- ------ ---- -------------------------------------------------------------------------------------------------------------- 3M CO COM 88579Y101 14,765 159,017 SH SOLE 159,017 ABBOTT LABS COM 002824100 12,374 394,833 SH SOLE 394,833 ABBVIE INC COM 00287Y109 13,487 394,833 SH SOLE 394,833 ABERCROMBIE & FITCH CO COM 002896207 953 19,865 SH SOLE 19,865 ACCENTURE PLC IRELAND COM G1151C101 10,607 159,502 SH SOLE 159,502 ACE LTD COM H0023R105 6,774 84,884 SH SOLE 84,884 ADOBE SYS INC COM 00724F101 4,660 123,668 SH SOLE 123,668 ADVANCED MICRO DEVICES INC COM 007903107 363 151,160 SH SOLE 151,160 AES CORP COM 00130H105 1,650 154,242 SH SOLE 154,242 AETNA INC NEW COM 00817Y108 3,870 83,578 SH SOLE 83,578 AFLAC INC COM 001055102 6,222 117,129 SH SOLE 117,129 AGILENT TECHNOLOGIES INC COM 00846U101 3,564 87,044 SH SOLE 87,044 AGL RES INC COM 001204106 1,176 29,425 SH SOLE 29,425 AIR PRODS & CHEMS INC COM 009158106 4,467 53,169 SH SOLE 53,169 AIRGAS INC COM 009363102 1,602 17,553 SH SOLE 17,553 AKAMAI TECHNOLOGIES INC COM 00971T101 1,813 44,327 SH SOLE 44,327 ALCOA INC COM 013817101 2,314 266,571 SH SOLE 266,571 ALEXION PHARMACEUTICALS INC COM 015351109 4,554 48,540 SH SOLE 48,540 ALLEGHENY TECHNOLOGIES INC COM 01741R102 814 26,807 SH SOLE 26,807 ALLERGAN INC COM 018490102 7,047 76,823 SH SOLE 76,823 ALLSTATE CORP COM 020002101 4,834 120,340 SH SOLE 120,340 ALTERA CORP COM 021441100 2,758 80,074 SH SOLE 80,074 ALTRIA GROUP INC COM 02209S103 15,894 505,863 SH SOLE 505,863 AMAZON COM INC COM 023135106 22,730 90,507 SH SOLE 90,507 AMEREN CORP COM 023608102 1,862 60,617 SH SOLE 60,617 AMERICAN ELEC PWR INC COM 025537101 5,173 121,208 SH SOLE 121,208 AMERICAN EXPRESS CO COM 025816109 13,979 243,193 SH SOLE 243,193 AMERICAN INTL GROUP INC COM 026874784 13,018 368,770 SH SOLE 368,770 AMERICAN TOWER CORP NEW COM 03027X100 7,631 98,758 SH SOLE 98,758 AMERIPRISE FINL INC COM 03076C106 3,220 51,411 SH SOLE 51,411 AMERISOURCEBERGEN CORP COM 03073E105 2,540 58,828 SH SOLE 58,828 AMGEN INC COM 031162100 16,546 191,683 SH SOLE 191,683 AMPHENOL CORP NEW COM 032095101 2,592 40,060 SH SOLE 40,060 ANADARKO PETE CORP COM 032511107 9,276 124,830 SH SOLE 124,830 ANALOG DEVICES INC COM 032654105 3,166 75,269 SH SOLE 75,269 AON PLC COM G0408V102 4,426 79,599 SH SOLE 79,599 APACHE CORP COM 037411105 7,673 97,747 SH SOLE 97,747 APARTMENT INVT & MGMT CO COM 03748R101 984 36,349 SH SOLE 36,349 APOLLO GROUP INC COM 037604105 523 24,992 SH SOLE 24,992 APPLE INC COM 037833100 125,254 234,984 SH SOLE 234,984 APPLIED MATLS INC COM 038222105 3,422 299,161 SH SOLE 299,161 ARCHER DANIELS MIDLAND CO COM 039483102 4,506 164,504 SH SOLE 164,504 ASSURANT INC COM 04621X108 682 19,661 SH SOLE 19,661 AT&T INC COM 00206R102 47,828 1,418,819 SH SOLE 1,418,819 AUTODESK INC COM 052769106 1,984 56,137 SH SOLE 56,137 AUTOMATIC DATA PROCESSING IN COM 053015103 6,913 121,262 SH SOLE 121,262 AUTONATION INC COM 05329W102 387 9,737 SH SOLE 9,737 AUTOZONE INC COM 053332102 3,272 9,233 SH SOLE 9,233 AVALONBAY CMNTYS INC COM 053484101 3,874 28,573 SH SOLE 28,573 AVERY DENNISON CORP COM 053611109 869 24,884 SH SOLE 24,884 AVON PRODS INC COM 054303102 1,550 107,941 SH SOLE 107,941 BAKER HUGHES INC COM 057224107 4,485 109,827 SH SOLE 109,827 BALL CORP COM 058498106 1,720 38,432 SH SOLE 38,432 BANK COM 064058100 7,502 291,908 SH SOLE 291,908 BANK OF AMERICA CORPORATION COM 060505104 31,230 2,692,261 SH SOLE 2,692,261 BARD C R INC COM 067383109 1,869 19,126 SH SOLE 19,126 BAXTER INTL INC COM 071813109 9,148 137,230 SH SOLE 137,230 BB&T CORP COM 054937107 5,087 174,766 SH SOLE 174,766 BEAM INC COM 073730103 2,428 39,747 SH SOLE 39,747 BECTON DICKINSON & CO COM 075887109 3,847 49,197 SH SOLE 49,197 BED BATH & BEYOND INC COM 075896100 3,201 57,250 SH SOLE 57,250 BEMIS INC COM 081437105 864 25,807 SH SOLE 25,807 BERKSHIRE HATHAWAY INC DEL COM 084670702 40,870 455,629 SH SOLE 455,629 BEST BUY INC COM 086516101 791 66,712 SH SOLE 66,712 BIG LOTS INC COM 089302103 411 14,454 SH SOLE 14,454 BIOGEN IDEC INC COM 09062X103 8,668 59,096 SH SOLE 59,096 BLACKROCK INC COM 09247X101 6,477 31,336 SH SOLE 31,336 BLOCK H & R INC COM 093671105 1,259 67,775 SH SOLE 67,775 BMC SOFTWARE INC COM 055921100 1,412 35,613 SH SOLE 35,613 BOEING CO COM 097023105 12,775 169,521 SH SOLE 169,521 BORGWARNER INC COM 099724106 2,093 29,227 SH SOLE 29,227 BOSTON PROPERTIES INC COM 101121101 3,987 37,678 SH SOLE 37,678 BOSTON SCIENTIFIC CORP COM 101137107 1,965 342,956 SH SOLE 342,956 BRISTOL MYERS SQUIBB CO COM 110122108 13,438 412,321 SH SOLE 412,321 BROADCOM CORP COM 111320107 4,304 129,613 SH SOLE 129,613 BROWN FORMAN CORP COM 115637209 2,395 37,865 SH SOLE 37,865 C H ROBINSON WORLDWIDE INC COM 12541W209 2,545 40,263 SH SOLE 40,263 CA INC COM 12673P105 1,841 83,743 SH SOLE 83,743 CABLEVISION SYS CORP COM 12686C109 805 53,909 SH SOLE 53,909 CABOT OIL & GAS CORP COM 127097103 2,607 52,411 SH SOLE 52,411 CAMERON INTERNATIONAL CORP COM 13342B105 3,480 61,630 SH SOLE 61,630 CAMPBELL SOUP CO COM 134429109 1,562 44,764 SH SOLE 44,764 CAPITAL ONE FINL CORP COM 14040H105 8,417 145,299 SH SOLE 145,299 CARDINAL HEALTH INC COM 14149Y108 3,495 84,876 SH SOLE 84,876 CAREFUSION CORP COM 14170T101 1,584 55,433 SH SOLE 55,433 CARMAX INC COM 143130102 2,146 57,158 SH SOLE 57,158 CARNIVAL CORP COM 143658300 4,095 111,370 SH SOLE 111,370 CATERPILLAR INC DEL COM 149123101 14,632 163,339 SH SOLE 163,339 CBRE GROUP INC COM 12504L109 1,500 75,371 SH SOLE 75,371 CBS CORP NEW COM 124857202 5,616 147,601 SH SOLE 147,601 CELGENE CORP COM 151020104 8,317 105,651 SH SOLE 105,651 CENTERPOINT ENERGY INC COM 15189T107 2,055 106,774 SH SOLE 106,774 CENTURYLINK INC COM 156700106 6,100 155,939 SH SOLE 155,939 CERNER CORP COM 156782104 2,827 36,417 SH SOLE 36,417 CF INDS HLDGS INC COM 125269100 3,190 15,702 SH SOLE 15,702 CHESAPEAKE ENERGY CORP COM 165167107 2,152 129,506 SH SOLE 129,506 CHEVRON CORP NEW COM 166764100 52,869 488,895 SH SOLE 488,895 CHIPOTLE MEXICAN GRILL INC COM 169656105 2,342 7,875 SH SOLE 7,875 CHUBB CORP COM 171232101 4,928 65,424 SH SOLE 65,424 CIGNA CORPORATION COM 125509109 3,818 71,418 SH SOLE 71,418 CINCINNATI FINL CORP COM 172062101 1,432 36,578 SH SOLE 36,578 CINTAS CORP COM 172908105 1,084 26,513 SH SOLE 26,513 CISCO SYS INC COM 17275R102 26,060 1,326,211 SH SOLE 1,326,211 CITIGROUP INC COM 172967424 28,979 732,526 SH SOLE 732,526 CITRIX SYS INC COM 177376100 3,066 46,633 SH SOLE 46,633 CLIFFS NATURAL RESOURCES INC COM 18683K101 1,373 35,602 SH SOLE 35,602 CLOROX CO DEL COM 189054109 2,386 32,592 SH SOLE 32,592 CME GROUP INC COM 12572Q105 3,885 76,608 SH SOLE 76,608 CME GROUP INC COM 12572Q105 444 8,750 SH SOLE 8,750 CMS ENERGY CORP COM 125896100 1,607 65,912 SH SOLE 65,912 COACH INC COM 189754104 3,934 70,873 SH SOLE 70,873 COCA COLA CO COM 191216100 34,927 963,499 SH SOLE 963,499 COCA COLA ENTERPRISES INC NE COM 19122T109 2,139 67,405 SH SOLE 67,405 COGNIZANT TECHNOLOGY SOLUTIO COM 192446102 5,553 74,991 SH SOLE 74,991 COLGATE PALMOLIVE CO COM 194162103 11,597 110,937 SH SOLE 110,937 COMCAST CORP NEW COM 20030N101 24,812 663,765 SH SOLE 663,765 COMERICA INC COM 200340107 1,442 47,539 SH SOLE 47,539 COMPUTER SCIENCES CORP COM 205363104 1,555 38,814 SH SOLE 38,814 CONAGRA FOODS INC COM 205887102 3,003 101,804 SH SOLE 101,804 CONOCOPHILLIPS COM 20825C104 17,583 303,215 SH SOLE 303,215 CONSOL ENERGY INC COM 20854P109 1,826 56,892 SH SOLE 56,892 CONSOLIDATED EDISON INC COM 209115104 4,064 73,164 SH SOLE 73,164 CONSTELLATION BRANDS INC COM 21036P108 1,339 37,837 SH SOLE 37,837 CORNING INC COM 219350105 4,659 369,156 SH SOLE 369,156 COSTCO WHSL CORP NEW COM 22160K105 10,669 108,023 SH SOLE 108,023 COVENTRY HEALTH CARE INC COM 222862104 1,506 33,595 SH SOLE 33,595 COVIDIEN PLC COM G2554F113 6,828 118,258 SH SOLE 118,258 CROWN CASTLE INTL CORP COM 228227104 5,284 73,232 SH SOLE 73,232 CSX CORP COM 126408103 5,083 257,623 SH SOLE 257,623 CUMMINS INC COM 231021106 4,785 44,158 SH SOLE 44,158 CVS CAREMARK CORPORATION COM 126650100 15,057 311,421 SH SOLE 311,421 D R HORTON INC COM 23331A109 1,380 69,751 SH SOLE 69,751 DANAHER CORP DEL COM 235851102 8,125 145,341 SH SOLE 145,341 DARDEN RESTAURANTS INC COM 237194105 1,448 32,128 SH SOLE 32,128 DAVITA HEALTHCARE PARTNERS I COM 23918K108 2,315 20,942 SH SOLE 20,942 DEAN FOODS CO NEW COM 242370104 764 46,280 SH SOLE 46,280 DEERE & CO COM 244199105 8,455 97,838 SH SOLE 97,838 DELL INC COM 24702R101 3,693 364,514 SH SOLE 364,514 DELPHI AUTOMOTIVE PLC COM G27823106 2,822 73,769 SH SOLE 73,769 DENBURY RES INC COM 247916208 1,566 96,663 SH SOLE 96,663 DENTSPLY INTL INC NEW COM 249030107 1,404 35,447 SH SOLE 35,447 DEVON ENERGY CORP NEW COM 25179M103 4,896 94,075 SH SOLE 94,075 DIAMOND OFFSHORE DRILLING IN COM 25271C102 1,180 17,367 SH SOLE 17,367 DIRECTV COM 25490A309 7,570 150,916 SH SOLE 150,916 DISCOVER FINL SVCS COM 254709108 4,861 126,088 SH SOLE 126,088 DISCOVERY COMMUNICATNS NEW COM 25470F104 3,787 59,655 SH SOLE 59,655 DISNEY WALT CO COM 254687106 22,040 442,657 SH SOLE 442,657 DOLLAR GEN CORP NEW COM 256677105 2,892 65,599 SH SOLE 65,599 DOLLAR TREE INC COM 256746108 2,302 56,755 SH SOLE 56,755 DOMINION RES INC VA NEW COM 25746U109 7,435 143,531 SH SOLE 143,531 DOVER CORP COM 260003108 2,938 44,715 SH SOLE 44,715 DOW CHEM CO COM 260543103 9,682 299,556 SH SOLE 299,556 DR PEPPER SNAPPLE GROUP INC COM 26138E109 2,296 51,979 SH SOLE 51,979 DTE COM 233331107 2,581 42,979 SH SOLE 42,979 DU PONT E I DE NEMOURS & CO COM 263534109 10,475 232,922 SH SOLE 232,922 DUKE ENERGY CORP NEW COM 26441C204 11,224 175,924 SH SOLE 175,924 DUN & BRADSTREET CORP DEL NE COM 26483E100 876 11,134 SH SOLE 11,134 E M C CORP MASS COM 268648102 13,313 526,222 SH SOLE 526,222 E TRADE FINANCIAL CORP COM 269246401 576 64,312 SH SOLE 64,312 EASTMAN CHEM CO COM 277432100 2,607 38,316 SH SOLE 38,316 EATON CORP PLC COM G29183103 6,252 115,345 SH SOLE 115,345 EBAY INC COM 278642103 14,842 290,909 SH SOLE 290,909 ECOLAB INC COM 278865100 4,734 65,843 SH SOLE 65,843 EDISON INTL COM 281020107 3,678 81,384 SH SOLE 81,384 EDWARDS LIFESCIENCES CORP COM 28176E108 2,599 28,819 SH SOLE 28,819 ELECTRONIC ARTS INC COM 285512109 1,107 76,210 SH SOLE 76,210 EMERSON ELEC CO COM 291011104 9,580 180,891 SH SOLE 180,891 ENSCO PLC COM G3157S106 3,440 58,027 SH SOLE 58,027 ENTERGY CORP NEW COM 29364G103 2,830 44,390 SH SOLE 44,390 EOG RES INC COM 26875P101 8,172 67,657 SH SOLE 67,657 EQT CORP COM 26884L109 2,205 37,380 SH SOLE 37,380 EQUIFAX INC COM 294429105 1,617 29,878 SH SOLE 29,878 EQUITY RESIDENTIAL COM 29476L107 4,555 80,372 SH SOLE 80,372 EXELON CORP COM 30161N101 6,346 213,386 SH SOLE 213,386 EXPEDIA INC DEL COM 30212P303 1,428 23,245 SH SOLE 23,245 EXPEDITORS INTL WASH INC COM 302130109 2,065 52,206 SH SOLE 52,206 EXPRESS SCRIPTS HLDG CO COM 30219G108 11,012 203,926 SH SOLE 203,926 EXXON MOBIL CORP COM 30231G102 98,571 1,138,892 SH SOLE 1,138,892 F M C CORP COM 302491303 2,009 34,324 SH SOLE 34,324 F5 NETWORKS INC COM 315616102 1,918 19,743 SH SOLE 19,743 FAMILY DLR STORES INC COM 307000109 1,518 23,936 SH SOLE 23,936 FASTENAL CO COM 311900104 3,145 67,364 SH SOLE 67,364 FEDEX CORP COM 31428X106 6,692 72,961 SH SOLE 72,961 FIDELITY NATL INFORMATION SV COM 31620M106 2,167 62,247 SH SOLE 62,247 FIFTH THIRD BANCORP COM 316773100 3,405 224,170 SH SOLE 224,170 FIRST COM 320517105 612 61,730 SH SOLE 61,730 FIRST SOLAR INC COM 336433107 463 15,009 SH SOLE 15,009 FIRSTENERGY CORP COM 337932107 4,363 104,473 SH SOLE 104,473 FISERV INC COM 337738108 2,636 33,349 SH SOLE 33,349 FLIR SYS INC COM 302445101 836 37,479 SH SOLE 37,479 FLOWSERVE CORP COM 34354P105 1,833 12,487 SH SOLE 12,487 FLUOR CORP NEW COM 343412102 2,443 41,592 SH SOLE 41,592 FMC TECHNOLOGIES INC COM 30249U101 2,544 59,386 SH SOLE 59,386 FORD MTR CO DEL COM 345370860 12,333 952,362 SH SOLE 952,362 FOREST LABS INC COM 345838106 2,065 58,479 SH SOLE 58,479 FOSSIL INC COM 349882100 1,256 13,490 SH SOLE 13,490 FRANKLIN RES INC COM 354613101 4,333 34,467 SH SOLE 34,467 FREEPORT-MCMORAN COPPER & GO COM 35671D857 8,110 237,123 SH SOLE 237,123 FRONTIER COMMUNICATIONS CORP COM 35906A108 1,067 249,405 SH SOLE 249,405 GAMESTOP CORP NEW COM 36467W109 760 30,275 SH SOLE 30,275 GANNETT INC COM 364730101 1,034 57,391 SH SOLE 57,391 GAP INC DEL COM 364760108 2,305 74,246 SH SOLE 74,246 GARMIN LTD COM H2906T109 1,113 27,273 SH SOLE 27,273 GENERAL COM 369604103 54,981 2,619,379 SH SOLE 2,619,379 GENERAL DYNAMICS CORP COM 369550108 5,742 82,893 SH SOLE 82,893 GENERAL MLS INC COM 370334104 6,513 161,181 SH SOLE 161,181 GENUINE PARTS CO COM 372460105 2,464 38,757 SH SOLE 38,757 GENWORTH FINL INC COM 37247D106 923 122,859 SH SOLE 122,859 GILEAD SCIENCES INC COM 375558103 13,900 189,247 SH SOLE 189,247 GOLDMAN SACHS GROUP INC COM 38141G104 14,076 110,348 SH SOLE 110,348 GOODYEAR TIRE & RUBR CO COM 382550101 845 61,192 SH SOLE 61,192 GOOGLE INC COM 38259P508 47,166 66,490 SH SOLE 66,490 GRAINGER W W INC COM 384802104 3,020 14,921 SH SOLE 14,921 HALLIBURTON CO COM 406216101 8,042 231,813 SH SOLE 231,813 HARLEY DAVIDSON INC COM 412822108 2,760 56,509 SH SOLE 56,509 HARMAN INTL INDS INC COM 413086109 756 16,946 SH SOLE 16,946 HARRIS CORP DEL COM 413875105 1,388 28,357 SH SOLE 28,357 HARTFORD FINL SVCS GROUP INC COM 416515104 2,446 108,990 SH SOLE 108,990 HASBRO INC COM 418056107 1,037 28,892 SH SOLE 28,892 HCP INC COM 40414L109 5,102 112,930 SH SOLE 112,930 HEALTH CARE REIT INC COM 42217K106 3,976 64,864 SH SOLE 64,864 HEINZ H J CO COM 423074103 4,620 80,094 SH SOLE 80,094 HELMERICH & PAYNE INC COM 423452101 1,479 26,408 SH SOLE 26,408 HERSHEY CO COM 427866108 2,698 37,364 SH SOLE 37,364 HESS CORP COM 42809H107 3,931 74,224 SH SOLE 74,224 HEWLETT PACKARD CO COM 428236103 6,999 491,137 SH SOLE 491,137 HOME DEPOT INC COM 437076102 23,099 373,474 SH SOLE 373,474 HONEYWELL INTL INC COM 438516106 12,420 195,685 SH SOLE 195,685 HORMEL FOODS CORP COM 440452100 1,045 33,491 SH SOLE 33,491 HOSPIRA INC COM 441060100 1,289 41,264 SH SOLE 41,264 HOST HOTELS & RESORTS INC COM 44107P104 2,837 181,037 SH SOLE 181,037 HUDSON CITY BANCORP COM 443683107 965 118,752 SH SOLE 118,752 HUMANA INC COM 444859102 2,712 39,515 SH SOLE 39,515 HUNTINGTON BANCSHARES INC COM 446150104 1,365 213,692 SH SOLE 213,692 ILLINOIS TOOL WKS INC COM 452308109 6,476 106,499 SH SOLE 106,499 INGERSOLL-RAND PLC COM G47791101 3,353 69,916 SH SOLE 69,916 INTEGRYS ENERGY GROUP INC COM 45822P105 1,017 19,470 SH SOLE 19,470 INTEL CORP COM 458140100 25,642 1,242,953 SH SOLE 1,242,953 INTERCONTINENTALEXCHANGE INC COM 45865V100 2,250 18,172 SH SOLE 18,172 INTERNATIONAL BUSINESS MACHS COM 459200101 50,819 265,303 SH SOLE 265,303 INTERNATIONAL FLAVORS&FRAGRA COM 459506101 1,356 20,383 SH SOLE 20,383 INTERNATIONAL GAME TECHNOLOG COM 459902102 942 66,476 SH SOLE 66,476 INTERPUBLIC GROUP COS INC COM 460690100 1,187 107,756 SH SOLE 107,756 INTL PAPER CO COM 460146103 4,370 109,687 SH SOLE 109,687 INTUIT COM 461202103 4,136 69,505 SH SOLE 69,505 INTUITIVE SURGICAL INC COM 46120E602 4,868 9,928 SH SOLE 9,928 INVESCO LTD COM G491BT108 2,894 110,916 SH SOLE 110,916 IRON MTN INC COM 462846106 1,294 41,663 SH SOLE 41,663 JABIL CIRCUIT INC COM 466313103 902 46,735 SH SOLE 46,735 JACOBS ENGR GROUP INC DEL COM 469814107 1,383 32,498 SH SOLE 32,498 JDS UNIPHASE CORP COM 46612J507 791 58,444 SH SOLE 58,444 JOHNSON & JOHNSON COM 478160104 48,525 692,227 SH SOLE 692,227 JOHNSON CTLS INC COM 478366107 5,244 170,805 SH SOLE 170,805 JOY GLOBAL INC COM 481165108 1,687 26,444 SH SOLE 26,444 JPMORGAN CHASE & CO COM 46625H100 41,752 949,555 SH SOLE 949,555 JUNIPER NETWORKS INC COM 48203R104 2,533 128,784 SH SOLE 128,784 KELLOGG CO COM 487836108 3,450 61,772 SH SOLE 61,772 KEYCORP NEW COM 493267108 1,964 233,223 SH SOLE 233,223 KIMBERLY CLARK CORP COM 494368103 8,253 97,747 SH SOLE 97,747 KIMCO RLTY CORP COM 49446R109 1,967 101,825 SH SOLE 101,825 KINDER MORGAN INC DEL COM 49456B101 5,581 157,959 SH SOLE 157,959 KLA-TENCOR CORP COM 482480100 1,986 41,593 SH SOLE 41,593 KOHLS CORP COM 500255104 2,272 52,853 SH SOLE 52,853 KRAFT FOODS GROUP INC COM 50076Q106 6,729 147,978 SH SOLE 147,978 KROGER CO COM 501044101 3,339 128,341 SH SOLE 128,341 L-3 COMMUNICATIONS HLDGS INC COM 502424104 1,801 23,504 SH SOLE 23,504 LABORATORY CORP AMER HLDGS COM 50540R409 2,047 23,633 SH SOLE 23,633 LAM RESEARCH CORP COM 512807108 1,547 42,805 SH SOLE 42,805 LAUDER ESTEE COS INC COM 518439104 3,589 59,963 SH SOLE 59,963 LEGG MASON INC COM 524901105 753 29,292 SH SOLE 29,292 LEGGETT & PLATT INC COM 524660107 961 35,292 SH SOLE 35,292 LENNAR CORP COM 526057104 1,586 41,011 SH SOLE 41,011 LEUCADIA NATL CORP COM 527288104 1,177 49,493 SH SOLE 49,493 LIFE TECHNOLOGIES CORP COM 53217V109 2,109 42,976 SH SOLE 42,976 LILLY ELI & CO COM 532457108 12,581 255,094 SH SOLE 255,094 LIMITED BRANDS INC COM 532716107 2,814 59,792 SH SOLE 59,792 LINCOLN NATL CORP IND COM 534187109 1,779 68,703 SH SOLE 68,703 LINEAR TECHNOLOGY CORP COM 535678106 1,982 57,794 SH SOLE 57,794 LOCKHEED MARTIN CORP COM 539830109 6,191 67,087 SH SOLE 67,087 LOEWS CORP COM 540424108 3,165 77,677 SH SOLE 77,677 LORILLARD INC COM 544147101 3,772 32,328 SH SOLE 32,328 LOWES COS INC COM 548661107 9,978 280,926 SH SOLE 280,926 LSI CORPORATION COM 502161102 979 138,232 SH SOLE 138,232 LYONDELLBASELL INDUSTRIES N COM N53745100 5,413 94,823 SH SOLE 94,823 M & T BK CORP COM 55261F104 2,991 30,377 SH SOLE 30,377 MACYS INC COM 55616P104 3,853 98,739 SH SOLE 98,739 MARATHON OIL CORP COM 565849106 5,410 176,462 SH SOLE 176,462 MARATHON PETE CORP COM 56585A102 5,338 84,734 SH SOLE 84,734 MARRIOTT INTL INC NEW COM 571903202 2,292 61,488 SH SOLE 61,488 MARSH & MCLENNAN COS INC COM 571748102 4,687 135,979 SH SOLE 135,979 MASCO CORP COM 574599106 1,486 89,210 SH SOLE 89,210 MASTERCARD INC COM 57636Q104 13,117 26,700 SH SOLE 26,700 MATTEL INC COM 577081102 3,139 85,717 SH SOLE 85,717 MCCORMICK & CO INC COM 579780206 2,103 33,100 SH SOLE 33,100 MCDONALDS CORP COM 580135101 22,122 250,785 SH SOLE 250,785 MCGRAW HILL COS INC COM 580645109 3,792 69,364 SH SOLE 69,364 MCKESSON CORP COM 58155Q103 5,717 58,963 SH SOLE 58,963 MEAD JOHNSON NUTRITION CO COM 582839106 3,341 50,705 SH SOLE 50,705 MEADWESTVACO CORP COM 583334107 1,392 43,670 SH SOLE 43,670 MEDTRONIC INC COM 585055106 10,363 252,626 SH SOLE 252,626 MERCK & CO INC NEW COM 58933Y105 31,089 759,390 SH SOLE 759,390 METLIFE INC COM 59156R108 8,978 272,541 SH SOLE 272,541 METROPCS COMMUNICATIONS INC COM 591708102 787 79,126 SH SOLE 79,126 MICROCHIP TECHNOLOGY INC COM 595017104 1,584 48,616 SH SOLE 48,616 MICRON TECHNOLOGY INC COM 595112103 1,614 254,186 SH SOLE 254,186 MICROSOFT CORP COM 594918104 50,577 1,892,132 SH SOLE 1,892,132 MOLEX INC COM 608554101 943 34,508 SH SOLE 34,508 MOLSON COORS BREWING CO COM 60871R209 1,666 38,927 SH SOLE 38,927 MONDELEZ INTL INC COM 609207105 11,306 443,902 SH SOLE 443,902 MONSANTO CO NEW COM 61166W101 12,640 133,544 SH SOLE 133,544 MONSTER BEVERAGE CORP COM 611740101 1,969 37,236 SH SOLE 37,236 MOODYS CORP COM 615369105 2,437 48,433 SH SOLE 48,433 MORGAN STANLEY COM 617446448 6,600 345,213 SH SOLE 345,213 MOSAIC CO NEW COM 61945C103 3,914 69,119 SH SOLE 69,119 MOTOROLA SOLUTIONS INC COM 620076307 3,902 70,072 SH SOLE 70,072 MURPHY OIL CORP COM 626717102 2,746 46,114 SH SOLE 46,114 MYLAN INC COM 628530107 2,798 101,803 SH SOLE 101,803 NABORS INDUSTRIES LTD COM G6359F103 1,048 72,530 SH SOLE 72,530 NASDAQ OMX GROUP INC COM 631103108 731 29,243 SH SOLE 29,243 NATIONAL COM 637071101 7,289 106,646 SH SOLE 106,646 NETAPP INC COM 64110D104 3,002 89,492 SH SOLE 89,492 NETFLIX INC COM 64110L106 1,287 13,874 SH SOLE 13,874 NEWELL RUBBERMAID INC COM 651229106 1,600 71,846 SH SOLE 71,846 NEWFIELD EXPL CO COM 651290108 905 33,787 SH SOLE 33,787 NEWMONT MINING CORP COM 651639106 5,758 123,997 SH SOLE 123,997 NEWS CORP COM 65248E104 12,864 503,661 SH SOLE 503,661 NEXTERA ENERGY INC COM 65339F101 7,314 105,704 SH SOLE 105,704 NIKE INC COM 654106103 9,408 182,324 SH SOLE 182,324 NISOURCE INC COM 65473P105 1,926 77,372 SH SOLE 77,372 NOBLE CORPORATION BAAR COM H5833N103 2,198 63,123 SH SOLE 63,123 NOBLE ENERGY INC COM 655044105 4,520 44,428 SH SOLE 44,428 NORDSTROM INC COM 655664100 2,032 37,987 SH SOLE 37,987 NORFOLK SOUTHERN CORP COM 655844108 4,882 78,953 SH SOLE 78,953 NORTHEAST UTILS COM 664397106 3,064 78,412 SH SOLE 78,412 NORTHERN TR CORP COM 665859104 2,734 54,510 SH SOLE 54,510 NORTHROP GRUMMAN CORP COM 666807102 4,143 61,307 SH SOLE 61,307 NRG ENERGY INC COM 629377508 1,851 80,502 SH SOLE 80,502 NUCOR CORP COM 670346105 3,426 79,333 SH SOLE 79,333 NVIDIA CORP COM 67066G104 1,918 156,079 SH SOLE 156,079 NYSE EURONEXT COM 629491101 1,915 60,704 SH SOLE 60,704 O REILLY AUTOMOTIVE INC NEW COM 67103H107 2,560 28,631 SH SOLE 28,631 OCCIDENTAL PETE CORP DEL COM 674599105 15,505 202,383 SH SOLE 202,383 OMNICOM GROUP INC COM 681919106 3,297 65,998 SH SOLE 65,998 ONEOK INC NEW COM 682680103 2,185 51,104 SH SOLE 51,104 ORACLE CORP COM 68389X105 31,285 938,925 SH SOLE 938,925 OWENS ILL INC COM 690768403 874 41,099 SH SOLE 41,099 PACCAR INC COM 693718108 3,987 88,179 SH SOLE 88,179 PALL CORP COM 696429307 1,672 27,748 SH SOLE 27,748 PARKER HANNIFIN CORP COM 701094104 3,169 37,257 SH SOLE 37,257 PATTERSON COMPANIES INC COM 703395103 715 20,900 SH SOLE 20,900 PAYCHEX INC COM 704326107 2,516 80,806 SH SOLE 80,806 PEABODY ENERGY CORP COM 704549104 1,784 67,041 SH SOLE 67,041 PENNEY J C INC COM 708160106 702 35,605 SH SOLE 35,605 PENTAIR LTD COM H6169Q108 2,582 52,539 SH SOLE 52,539 PEOPLES UNITED FINANCIAL INC COM 712704105 1,050 86,830 SH SOLE 86,830 PEPCO HOLDINGS INC COM 713291102 1,124 57,316 SH SOLE 57,316 PEPSICO INC COM 713448108 26,440 386,384 SH SOLE 386,384 PERKINELMER INC COM 714046109 910 28,668 SH SOLE 28,668 PERRIGO CO COM 714290103 2,293 22,037 SH SOLE 22,037 PETSMART INC COM 716768106 1,835 26,845 SH SOLE 26,845 PFIZER INC COM 717081103 46,125 1,839,108 SH SOLE 1,839,108 PG&E CORP COM 69331C108 4,315 107,401 SH SOLE 107,401 PHILIP MORRIS INTL INC COM 718172109 34,901 417,281 SH SOLE 417,281 PHILLIPS 66 COM 718546104 8,301 156,327 SH SOLE 156,327 PINNACLE WEST CAP CORP COM 723484101 1,397 27,396 SH SOLE 27,396 PIONEER NAT RES CO COM 723787107 3,281 30,785 SH SOLE 30,785 PITNEY BOWES INC COM 724479100 534 50,143 SH SOLE 50,143 PLUM CREEK TIMBER CO INC COM 729251108 1,791 40,355 SH SOLE 40,355 PNC FINL SVCS GROUP INC COM 693475105 7,704 132,115 SH SOLE 132,115 PPG INDS INC COM 693506107 5,186 38,312 SH SOLE 38,312 PPL CORP COM 69351T106 4,160 145,304 SH SOLE 145,304 PRAXAIR INC COM 74005P104 8,123 74,219 SH SOLE 74,219 PRECISION CASTPARTS CORP COM 740189105 6,885 36,348 SH SOLE 36,348 PRICE T ROWE GROUP INC COM 74144T108 4,146 63,655 SH SOLE 63,655 PRICELINE COM INC COM 741503403 7,740 12,459 SH SOLE 12,459 PRINCIPAL FINL GROUP INC COM 74251V102 1,966 68,931 SH SOLE 68,931 PROCTER & GAMBLE CO COM 742718109 46,368 682,991 SH SOLE 682,991 PROGRESSIVE CORP OHIO COM 743315103 2,932 138,979 SH SOLE 138,979 PROLOGIS INC COM 74340W103 4,201 115,140 SH SOLE 115,140 PRUDENTIAL FINL INC COM 744320102 6,181 115,898 SH SOLE 115,898 PUBLIC STORAGE COM 74460D109 5,222 36,025 SH SOLE 36,025 PUBLIC SVC ENTERPRISE GROUP COM 744573106 3,867 126,380 SH SOLE 126,380 PULTE GROUP INC COM 745867101 1,542 84,920 SH SOLE 84,920 QEP RES INC COM 74733V100 1,347 44,502 SH SOLE 44,502 QUALCOMM INC COM 747525103 26,399 425,649 SH SOLE 425,649 QUANTA SVCS INC COM 74762E102 1,453 53,243 SH SOLE 53,243 QUEST DIAGNOSTICS INC COM 74834L100 2,314 39,712 SH SOLE 39,712 RALPH LAUREN CORP COM 751212101 2,295 15,306 SH SOLE 15,306 RANGE RES CORP COM 75281A109 2,553 40,626 SH SOLE 40,626 RAYTHEON CO COM 755111507 4,742 82,392 SH SOLE 82,392 RED HAT INC COM 756577102 2,557 48,290 SH SOLE 48,290 REGIONS FINL CORP NEW COM 7591EP100 2,513 352,965 SH SOLE 352,965 REPUBLIC SVCS INC COM 760759100 2,191 74,700 SH SOLE 74,700 REYNOLDS AMERICAN INC COM 761713106 3,355 80,977 SH SOLE 80,977 ROBERT HALF INTL INC COM 770323103 1,119 35,163 SH SOLE 35,163 ROCKWELL AUTOMATION INC COM 773903109 2,923 34,801 SH SOLE 34,801 ROCKWELL COLLINS INC COM 774341101 2,037 35,017 SH SOLE 35,017 ROPER INDS INC NEW COM 776696106 2,740 24,577 SH SOLE 24,577 ROSS STORES INC COM 778296103 3,008 55,544 SH SOLE 55,544 ROWAN COMPANIES PLC COM G7665A101 970 31,015 SH SOLE 31,015 RYDER COM 783549108 638 12,776 SH SOLE 12,776 SAFEWAY INC COM 786514208 1,083 59,852 SH SOLE 59,852 SAIC INC COM 78390X101 802 70,888 SH SOLE 70,888 SALESFORCE COM INC COM 79466L302 5,486 32,633 SH SOLE 32,633 SANDISK CORP COM 80004C101 2,631 60,395 SH SOLE 60,395 SCANA CORP NEW COM 80589M102 1,503 32,928 SH SOLE 32,928 SCHLUMBERGER LTD COM 806857108 22,978 331,619 SH SOLE 331,619 SCHWAB COM 808513105 3,934 273,923 SH SOLE 273,923 SCRIPPS NETWORKS INTERACT IN COM 811065101 1,258 21,719 SH SOLE 21,719 SEAGATE TECHNOLOGY PLC COM G7945M107 2,558 83,928 SH SOLE 83,928 SEALED AIR CORP NEW COM 81211K100 851 48,594 SH SOLE 48,594 SEMPRA ENERGY COM 816851109 3,986 56,190 SH SOLE 56,190 SHERWIN WILLIAMS CO COM 824348106 3,289 21,380 SH SOLE 21,380 SIGMA ALDRICH CORP COM 826552101 2,211 30,052 SH SOLE 30,052 SIMON PPTY GROUP INC NEW COM 828806109 12,217 77,276 SH SOLE 77,276 SLM CORP COM 78442P106 1,977 115,439 SH SOLE 115,439 SMUCKER J M CO COM 832696405 2,337 27,101 SH SOLE 27,101 SNAP ON INC COM 833034101 1,150 14,555 SH SOLE 14,555 SOUTHERN CO COM 842587107 9,347 218,336 SH SOLE 218,336 SOUTHWEST AIRLS CO COM 844741108 1,888 184,334 SH SOLE 184,334 SOUTHWESTERN ENERGY CO COM 845467109 2,916 87,280 SH SOLE 87,280 SPDR S&P 500 ETF TR COM 78462F103 2,146 15,072 SH SOLE 15,072 SPECTRA ENERGY CORP COM 847560109 4,554 166,315 SH SOLE 166,315 SPRINT NEXTEL CORP COM 852061100 4,255 750,529 SH SOLE 750,529 ST JUDE MED INC COM 790849103 2,782 76,976 SH SOLE 76,976 STANLEY BLACK & DECKER INC COM 854502101 3,118 42,155 SH SOLE 42,155 STAPLES INC COM 855030102 1,919 168,339 SH SOLE 168,339 STARBUCKS CORP COM 855244109 9,959 185,735 SH SOLE 185,735 STARWOOD HOTELS&RESORTS WRLD COM 85590A401 2,809 48,963 SH SOLE 48,963 STATE STR CORP COM 857477103 5,458 116,111 SH SOLE 116,111 STERICYCLE INC COM 858912108 2,001 21,455 SH SOLE 21,455 STRYKER CORP COM 863667101 3,956 72,169 SH SOLE 72,169 SUNTRUST BKS INC COM 867914103 3,816 134,593 SH SOLE 134,593 SYMANTEC CORP COM 871503108 3,260 173,336 SH SOLE 173,336 SYSCO CORP COM 871829107 4,648 146,819 SH SOLE 146,819 TARGET CORP COM 87612E106 9,619 162,570 SH SOLE 162,570 TE CONNECTIVITY LTD COM H84989104 3,918 105,553 SH SOLE 105,553 TECO ENERGY INC COM 872375100 852 50,860 SH SOLE 50,860 TENET HEALTHCARE CORP COM 88033G407 863 26,587 SH SOLE 26,587 TERADATA CORP DEL COM 88076W103 2,614 42,230 SH SOLE 42,230 TERADYNE INC COM 880770102 793 46,924 SH SOLE 46,924 TESORO CORP COM 881609101 1,545 35,070 SH SOLE 35,070 TEXAS INSTRS INC COM 882508104 8,662 279,961 SH SOLE 279,961 TEXTRON INC COM 883203101 1,745 70,388 SH SOLE 70,388 THE ADT CORPORATION COM 00101J106 2,700 58,071 SH SOLE 58,071 THERMO FISHER SCIENTIFIC INC COM 883556102 5,738 89,973 SH SOLE 89,973 TIFFANY & CO NEW COM 886547108 1,707 29,775 SH SOLE 29,775 TIME WARNER CABLE INC COM 88732J207 7,327 75,388 SH SOLE 75,388 TIME WARNER INC COM 887317303 11,313 236,515 SH SOLE 236,515 TJX COS INC NEW COM 872540109 7,732 182,151 SH SOLE 182,151 TORCHMARK CORP COM 891027104 1,225 23,712 SH SOLE 23,712 TOTAL SYS SVCS INC COM 891906109 860 40,141 SH SOLE 40,141 TRAVELERS COMPANIES INC COM 89417E109 6,843 95,280 SH SOLE 95,280 TRIPADVISOR INC COM 896945201 1,149 27,373 SH SOLE 27,373 TYCO INTERNATIONAL LTD COM H89128104 3,403 116,328 SH SOLE 116,328 TYSON FOODS INC COM 902494103 1,391 71,686 SH SOLE 71,686 UNION PAC CORP COM 907818108 14,773 117,504 SH SOLE 117,504 UNITED COM 911312106 13,178 178,732 SH SOLE 178,732 UNITED STATES STL CORP NEW COM 912909108 860 36,048 SH SOLE 36,048 UNITED TECHNOLOGIES CORP COM 913017109 17,273 210,626 SH SOLE 210,626 UNITEDHEALTH GROUP INC COM 91324P102 13,840 255,165 SH SOLE 255,165 UNUM GROUP COM 91529Y106 1,431 68,729 SH SOLE 68,729 URBAN OUTFITTERS INC COM 917047102 1,076 27,333 SH SOLE 27,333 US BANCORP DEL COM 902973304 15,002 469,707 SH SOLE 469,707 V F CORP COM 918204108 3,323 22,008 SH SOLE 22,008 VALERO ENERGY CORP NEW COM 91913Y100 4,718 138,263 SH SOLE 138,263 VARIAN MED SYS INC COM 92220P105 1,919 27,325 SH SOLE 27,325 VENTAS INC COM 92276F100 4,778 73,824 SH SOLE 73,824 VERISIGN INC COM 92343E102 1,506 38,787 SH SOLE 38,787 VERIZON COMMUNICATIONS INC COM 92343V104 30,847 712,891 SH SOLE 712,891 VIACOM INC NEW COM 92553P201 6,086 115,401 SH SOLE 115,401 VISA INC COM 92826C839 19,738 130,215 SH SOLE 130,215 VORNADO RLTY TR COM 929042109 3,389 42,319 SH SOLE 42,319 VULCAN MATLS CO COM 929160109 1,685 32,364 SH SOLE 32,364 WALGREEN CO COM 931422109 7,942 214,593 SH SOLE 214,593 WAL-MART STORES INC COM 931142103 28,507 417,814 SH SOLE 417,814 WASHINGTON POST CO COM 939640108 414 1,134 SH SOLE 1,134 WASTE MGMT INC DEL COM 94106L109 3,675 108,932 SH SOLE 108,932 WATERS CORP COM 941848103 1,893 21,729 SH SOLE 21,729 WATSON PHARMACEUTICALS INC COM 942683103 2,744 31,905 SH SOLE 31,905 WELLPOINT INC COM 94973V107 4,621 75,857 SH SOLE 75,857 WELLS FARGO & CO NEW COM 949746101 41,800 1,222,930 SH SOLE 1,222,930 WESTERN DIGITAL CORP COM 958102105 2,327 54,775 SH SOLE 54,775 WESTERN UN CO COM 959802109 2,028 149,013 SH SOLE 149,013 WEYERHAEUSER CO COM 962166104 3,763 135,278 SH SOLE 135,278 WHIRLPOOL CORP COM 963320106 1,980 19,457 SH SOLE 19,457 WHOLE FOODS MKT INC COM 966837106 3,935 43,090 SH SOLE 43,090 WILLIAMS COS INC DEL COM 969457100 5,511 168,326 SH SOLE 168,326 WINDSTREAM CORP COM 97381W104 1,216 146,916 SH SOLE 146,916 WISCONSIN ENERGY CORP COM 976657106 2,118 57,478 SH SOLE 57,478 WPX ENERGY INC COM 98212B103 740 49,750 SH SOLE 49,750 WYNDHAM WORLDWIDE CORP COM 98310W108 1,864 35,030 SH SOLE 35,030 WYNN RESORTS LTD COM 983134107 2,232 19,840 SH SOLE 19,840 XCEL ENERGY INC COM 98389B100 3,253 121,794 SH SOLE 121,794 XEROX CORP COM 984121103 2,153 315,646 SH SOLE 315,646 XILINX INC COM 983919101 2,340 65,180 SH SOLE 65,180 XL GROUP PLC COM G98290102 1,882 75,089 SH SOLE 75,089 XYLEM INC COM 98419M100 1,258 46,413 SH SOLE 46,413 YAHOO INC COM 984332106 5,174 259,983 SH SOLE 259,983 YUM BRANDS INC COM 988498101 7,493 112,849 SH SOLE 112,849 ZIMMER HLDGS INC COM 98956P102 2,889 43,340 SH SOLE 43,340 ZIONS BANCORPORATION COM 989701107 985 46,009 SH SOLE 46,009 ADVANCED MICRO DEVICES INC NOTE 007903AL1 920 1,000,000 PRN SOLE 1,000,000 AK STL CORP NOTE 001546AP5 1,121 1,000,000 PRN SOLE 1,000,000 ALLIANCE DATA SYSTEMS CORP NOTE 018581AD0 5,500 3,000,000 PRN SOLE 3,000,000 ALLIANT TECHSYSTEMS INC NOTE 018804AK0 1,049 1,000,000 PRN SOLE 1,000,000 ALPHA NATURAL RESOURCES INC NOTE 02076XAA0 459 500,000 PRN SOLE 500,000 ANNALY CAP MGMT INC NOTE 035710AB8 3,015 3,000,000 PRN SOLE 3,000,000 APOLLO INVT CORP NOTE 03761UAE6 2,053 2,000,000 PRN SOLE 2,000,000 CADENCE DESIGN SYSTEM INC NOTE 127387AF5 1,980 2,000,000 PRN SOLE 2,000,000 CADENCE DESIGN SYSTEM INC NOTE 127387AJ7 5,493 3,000,000 PRN SOLE 3,000,000 CARRIZO OIL & CO INC NOTE 144577AA1 1,993 2,000,000 PRN SOLE 2,000,000 CHARLES RIV LABS INTL INC NOTE 159864AB3 2,989 3,000,000 PRN SOLE 3,000,000 COBALT INTL ENERGY INC NOTE 19075FAA4 3,009 3,000,000 PRN SOLE 3,000,000 COVANTA HLDG CORP NOTE 22282EAC6 2,430 2,000,000 PRN SOLE 2,000,000 E M C CORP MASS NOTE 268648AM4 19,832 12,486,000 PRN SOLE 12,486,000 ELECTRONIC ARTS INC NOTE 285512AA7 2,755 3,000,000 PRN SOLE 3,000,000 ENDO HEALTH SOLUTIONS INC NOTE 29264FAB2 3,292 3,000,000 PRN SOLE 3,000,000 EXTERRAN HLDGS INC NOTE 30225XAD5 2,985 3,000,000 PRN SOLE 3,000,000 FORD MTR CO DEL NOTE 345370CN8 3,477 2,190,000 PRN SOLE 2,190,000 GENERAL NOTE 369300AD0 4,483 4,559,000 PRN SOLE 4,559,000 GILEAD SCIENCES INC NOTE 375558AN3 26,957 16,500,000 PRN SOLE 16,500,000 GILEAD SCIENCES INC NOTE 375558AP8 14,262 8,500,000 PRN SOLE 8,500,000 GREATBATCH INC NOTE 39153LAB2 994 1,000,000 PRN SOLE 1,000,000 GROUP 1 AUTOMOTIVE INC NOTE 398905AE9 5,836 5,000,000 PRN SOLE 5,000,000 HOLOGIC INC NOTE 436440AA9 4,449 4,500,000 PRN SOLE 4,500,000 INTEL CORP NOTE 458140AF7 2,922 2,500,000 PRN SOLE 2,500,000 INTERNATIONAL GAME TECHNOLOG NOTE 459902AQ5 2,579 2,500,000 PRN SOLE 2,500,000 JEFFERIES GROUP INC NEW NOTE 472319AG7 988 1,000,000 PRN SOLE 1,000,000 KINROSS GOLD CORP NOTE 496902AD9 4,541 4,570,000 PRN SOLE 4,570,000 L-3 COMMUNICATIONS CORP NOTE 502413AW7 5,025 5,000,000 PRN SOLE 5,000,000 LAM RESEARCH CORP NOTE 512807AJ7 4,791 5,000,000 PRN SOLE 5,000,000 LIVE NATION ENTERTAINMENT IN NOTE 538034AB5 1,980 2,000,000 PRN SOLE 2,000,000 MEDTRONIC INC NOTE 585055AM8 15,967 16,015,000 PRN SOLE 16,015,000 MERITAGE HOMES CORP NOTE 59001AAR3 3,994 4,000,000 PRN SOLE 4,000,000 MICRON TECHNOLOGY INC NOTE 595112AH6 3,280 3,330,000 PRN SOLE 3,330,000 NETAPP INC NOTE 64110DAB0 3,915 3,500,000 PRN SOLE 3,500,000 NEWMONT MINING CORP NOTE 651639AH9 3,532 3,000,000 PRN SOLE 3,000,000 OMNICARE INC NOTE 681904AL2 2,474 2,500,000 PRN SOLE 2,500,000 OMNICARE INC NOTE 681904AN8 7,390 5,000,000 PRN SOLE 5,000,000 PROLOGIS NOTE 74340XAR2 5,585 5,620,000 PRN SOLE 5,620,000 PROLOGIS NOTE 74340XAS0 1,998 2,000,000 PRN SOLE 2,000,000 PROLOGIS NOTE 74340XAT8 1,919 1,700,000 PRN SOLE 1,700,000 ROVI CORP NOTE 779376AB8 396 400,000 PRN SOLE 400,000 RYLAND GROUP INC NOTE 783764AQ6 2,033 1,500,000 PRN SOLE 1,500,000 SALESFORCE COM INC NOTE 79466LAB0 4,987 2,500,000 PRN SOLE 2,500,000 SANDISK CORP NOTE 80004CAC5 4,712 4,760,000 PRN SOLE 4,760,000 SBA COMMUNICATIONS CORP NOTE 78388JAM8 4,724 2,000,000 PRN SOLE 2,000,000 STILLWATER MNG CO NOTE 86074QAL6 1,748 1,500,000 PRN SOLE 1,500,000 TELEFLEX INC NOTE 879369AA4 1,276 1,000,000 PRN SOLE 1,000,000 TTM TECHNOLOGIES INC NOTE 87305RAC3 4,044 4,047,000 PRN SOLE 4,047,000 VERISIGN INC NOTE 92343EAD4 5,703 4,500,000 PRN SOLE 4,500,000 VOLCANO CORPORATION NOTE 928645AB6 1,004 1,000,000 PRN SOLE 1,000,000 WALTER INVT MGMT CORP NOTE 93317WAA0 2,803 2,650,000 PRN SOLE 2,650,000 TRANSOCEAN LTD COM H8817H950 1,116 25,000 PUT SOLE 25,000