FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: September 30,2006
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: CNA Financial Corporation
Address: CNA Plaza
Chicago,IL 60685
13F File Number: 28-346
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: Lynne Gugenheim
Title: Senior Vice President and Deputy General Counsel
Phone: (312) 822 4921
Signature, Place, and Date of Signing:
November 14,2006
Chicago, Illinois,60685
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES EXCHANGE
ACT OF 1934
Report Type (Check only one.):
[ X ] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[ ] 13F COMBINATION REPORT.
List of Other Managers Reporting for this Manager:
Assets reported herein are described as having shared
investment discretion among Loews Corporation, CNA
Financial Corporation,The Continental Corporation,
Continental Casualty Company and Continental Assurance
Company. Each of the foregoing entities specifically disclaims
ownership of any securities in this report which are not
beneficially owned by that entity and states that such
assets are solely under the control of its board of directors.
The characterization of shared investment discretion with parent
holding companies is made solely as a consequence of SEC
interpretations regarding control of the subsidiary through
share ownership. Loews Corporation owns approximately 90%
of the outstanding shares of CNA Financial Corporation;
CNA Financial Corporation owns 100% of the outstanding
shares of Continental Casualty Company and The Continental
Corporation; and Continental Casualty Company owns 100%
of the outstanding shares of Continental Assurance Company.
Loews Corporation will report separately on securities over which
it has investment discretion which are not part of this report.
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 4
Form 13F Information Table Entry Total: 618
Form 13F Information Table Value Total: 1,350,735 (in thousands)
List of Other Included Managers:
No. 13F File Number Name
1 28-172 The Continental Corporation
2 28-217 Loews Corporation
3 28-386 Continental Assurance Company
4 28-387 Continental Casualty Company
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
3M CO COM 88579Y101 900 12,100 SH DEFINED 1,2 12,100
ABBOTT LABORATORIES COM 002824100 107 2,200 SH DEFINED 1,2 2,200
ACCO BRANDS CORP COM 00081T108 1 47 SH DEFINED 1,2 47
ACE LTD ORD G0070K103 22 400 SH DEFINED 1,2 400
ACTUANT CORPORATION SDCV 00508XAB0 1,024 750,000 PRN DEFINED 2,3 18,792
ADC TELECOMMUNICATIONS COM 000886309 2 157 SH DEFINED 1,2 157
ADOBE SYSTEMS INC COM 00724F101 217 5,785 SH DEFINED 1,2 5,785
ADVANCED MEDICAL OPTICS NOTE 00763MAG3 1,031 1,000,000 PRN DEFINED 2,3 19,905
ADVANCED MICRO DEVICES COM 007903107 12 500 SH DEFINED 1,2 500
AES CORP COM 00130H105 18 900 SH DEFINED 1,2 900
AETNA INC COM 00817Y108 32 800 SH DEFINED 1,2 800
AFFILIATED COMPUTER SVCS CL A 008190100 10 200 SH DEFINED 1,2 200
AFLAC INC COM 001055102 32 700 SH DEFINED 1,2 700
AFTERMARKET TECHNOLOGY COM 008318107 1,120 63,075 SH DEFINED 2 63,075
AGILENT TECHNOLOGIES INC COM 00846U101 20 600 SH DEFINED 1,2 600
AIR PRODUCTS & CHEMICALS COM 009158106 3,578 53,910 SH DEFINED 1,2 53,910
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ALBERTO-CULVER CO COM 013068101 8 150 SH DEFINED 1,2 150
ALCOA INC COM 013817101 34 1,200 SH DEFINED 1,2 1,200
ALCON INC COM SHS H01301102 160 1,400 SH DEFINED 2 1,400
ALLEGHENY ENERGY INC COM 017361106 8 200 SH DEFINED 1,2 200
ALLEGHENY TECHNOLOGIES COM 01741R102 6 100 SH DEFINED 1,2 100
ALLERGAN INC COM 018490102 23 200 SH DEFINED 1,2 200
ALLSTATE CORP COM 020002101 3,991 63,625 SH DEFINED 1,2 63,625
ALLTEL CORP COM 020039103 28 500 SH DEFINED 1,2 500
ALPHA NATURAL RESOURCES COM 02076X102 788 50,000 SH DEFINED 2 50,000
ALTERA CORPORATION COM 021441100 9 500 SH DEFINED 1,2 500
ALTRIA GROUP INC COM 02209S103 1,378 18,000 SH DEFINED 1,2 18,000
AMAZON.COM INC COM 023135106 658 20,500 SH DEFINED 1,2 20,500
AMAZON.COM INC NOTE 023135AF3 1,166 1,200,000 PRN DEFINED 2,3 15,379
AMBAC FINANCIAL GROUP INC COM 023139108 17 200 SH DEFINED 1,2 200
AMDOCS LIMITED NOTE 02342TAD1 532 500,000 PRN DEFINED 2,3 11,596
AMEREN CORPORATION COM 023608102 16 300 SH DEFINED 1,2 300
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
AMERICAN ELECTRIC POWER COM 025537101 3,363 92,480 SH DEFINED 1,2 92,480
AMERICAN EQUITY INVT LIFE COM 025676206 833 67,875 SH DEFINED 2 67,875
AMERICAN EXPRESS CO COM 025816109 937 16,700 SH DEFINED 1,2 16,700
AMERICAN HOME MTGE INVES COM 02660R107 1,110 31,825 SH DEFINED 2 31,825
AMERICAN INTERNATIONAL COM 026874107 11,437 172,612 SH DEFINED 1,2 172,612
AMERICAN MEDICAL SYSTEMS NOTE 02744MAA6 304 260,000 PRN DEFINED 2,3 13,398
AMERICAN NATIONAL INS COM 028591105 626 5,400 SH DEFINED 2 5,400
AMERICAN POWER CONVER COM 029066107 4 200 SH DEFINED 1,2 200
AMERICAN STANDARD COS INC COM 029712106 13 300 SH DEFINED 1,2 300
AMERIPRISE FINANCIAL INC COM 03076C106 16 340 SH DEFINED 1,2 340
AMERISOURCEBERGEN CORP COM 03073E105 1,546 34,200 SH DEFINED 1,2 34,200
AMGEN INC COM 031162100 1,431 20,008 SH DEFINED 1,2 20,008
AMSOUTH BANCORPORATION COM 032165102 15 500 SH DEFINED 1,2 500
ANADARKO PETROLEUM CORP COM 032511107 13,184 300,800 SH DEFINED 1,2 300,800
ANALOG DEVICES COM 032654105 15 500 SH DEFINED 1,2 500
ANDREW CORP COM 034425108 2 200 SH DEFINED 1,2 200
ANHEUSER-BUSCH COS INC. COM 035229103 2,689 56,600 SH DEFINED 1,2 56,600
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ANSYS INC COM 03662Q105 107 2,412 SH DEFINED 2,4 2,412
AON CORP COM 037389103 1,368 40,375 SH DEFINED 1,2 40,375
APACHE CORP COM 037411105 30 480 SH DEFINED 1,2 480
APARTMENT INVT & MGMT CO CL A 03748R101 5 100 SH DEFINED 1,2 100
APOLLO GROUP INC-CL A CL A 037604105 15 300 SH DEFINED 1,2 300
APPLE COMPUTER INC COM 037833100 92 1,200 SH DEFINED 1,2 1,200
APPLIED BIOSYSTEMS GROUP GRP 038020103 7 200 SH DEFINED 1,2 200
AQUILA INC COM 03840P102 2,818 650,768 SH DEFINED 2 650,768
ARCHER-DANIELS-MIDLAND CO COM 039483102 34 900 SH DEFINED 1,2 900
ARCHSTONE-SMITH TRUST COM 039583109 16 300 SH DEFINED 1,2 300
ARIZONA STAR RESOURCE COM 04059G106 40,981 4,550,100 SH DEFINED 2,4 4,550,100
ARMOR HOLDINGS INC NOTE 042260AC3 1,234 1,000,000 PRN DEFINED 2,3 18,515
ARVINMERITOR INC COM 043353101 951 66,750 SH DEFINED 2 66,750
ASHLAND INC COM 044209104 6 100 SH DEFINED 1,2 100
AT&T INC COM 00206R102 180 5,541 SH DEFINED 1,2 5,541
ATLAS PIPELINE HOLDINGS LP COM 04939R108 2,691 130,000 SH DEFINED 2,4 130,000
ATLAS PIPELINE PARTNERS INT 049392103 2,604 60,050 SH DEFINED 2,4 60,050
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ATWOOD OCEANICS INC COM 050095108 899 20,000 SH DEFINED 2 20,000
AUTODESK INC COM 052769106 10 300 SH DEFINED 1,2 300
AUTOMATIC DATA PROCESSING COM 053015103 38 800 SH DEFINED 1,2 800
AUTONATION INC COM 05329W102 6 300 SH DEFINED 1,2 300
AUTOZONE INC COM 053332102 1,735 16,800 SH DEFINED 1,2 16,800
AVAYA INC COM 053499109 7 600 SH DEFINED 1,2 600
AVERY DENNISON CORP COM 053611109 12 200 SH DEFINED 1,2 200
AVIS BUDGET GROUP INC COM 053774105 3 150 SH DEFINED 1,2 150
AVON PRODUCTS INC COM 054303102 21 700 SH DEFINED 1,2 700
AXIS CAPITAL HOLDINGS LTD SHS G0692U109 1,648 47,500 SH DEFINED 2 47,500
BAKER HUGHES INC COM 057224107 34 500 SH DEFINED 1,2 500
BALL CORP COM 058498106 8 200 SH DEFINED 1,2 200
BANK OF AMERICA CORP COM 060505104 7,363 137,440 SH DEFINED 1,2 137,440
BANK OF NEW YORK CO INC COM 064057102 4,640 131,600 SH DEFINED 1,2 131,600
BARD (C.R.) INC COM 067383109 15 200 SH DEFINED 1,2 200
BARRICK GOLD CORP COM 067901108 1,008 32,801 SH DEFINED 2 32,801
BAUSCH & LOMB INC COM 071707103 5 100 SH DEFINED 1,2 100
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
BAUSCH & LOMB INC FRNT 071707AM5 933 800,000 PRN DEFINED 2,3 13,021
BAXTER INTERNATIONAL INC COM 071813109 41 900 SH DEFINED 1,2 900
BB&T CORP COM 054937107 35 800 SH DEFINED 1,2 800
BEAR STEARNS COMPANIES INC COM 073902108 28 200 SH DEFINED 1,2 200
BEARINGPOINT INC COM 074002106 467 59,450 SH DEFINED 2 59,450
BECTON DICKINSON & CO COM 075887109 28 400 SH DEFINED 1,2 400
BED BATH & BEYOND INC COM 075896100 972 25,400 SH DEFINED 1,2 25,400
BELLSOUTH CORP COM 079860102 111 2,600 SH DEFINED 1,2 2,600
BEMIS COMPANY COM 081437105 3 100 SH DEFINED 1,2 100
BEST BUY CO INC COM 086516101 40 750 SH DEFINED 1,2 750
BIG LOTS INC COM 089302103 2 100 SH DEFINED 1,2 100
BIOGEN IDEC INC COM 09062X103 21 460 SH DEFINED 1,2 460
BIOMARIN PHARMACEUTICAL NOTE 09061GAB7 1,756 1,600,000 PRN DEFINED 2,3 114,172
BIOMARIN PHARMACEUTICAL NOTE 09061GAC5 890 800,000 PRN DEFINED 2,3 48,265
BIOMET INC COM 090613100 13 400 SH DEFINED 1,2 400
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
BJ SERVICES CO COM 055482103 18 600 SH DEFINED 1,2 600
BLACK & DECKER CORP COM 091797100 8 100 SH DEFINED 1,2 100
BMC SOFTWARE INC COM 055921100 8 300 SH DEFINED 1,2 300
BOEING CO COM 097023105 1,672 21,200 SH DEFINED 1,2 21,200
BOSTON SCIENTIFIC CORP COM 101137107 736 49,764 SH DEFINED 1,2 49,764
BOWNE & CO INC COM 103043105 842 58,950 SH DEFINED 2 58,950
BRISTOL-MYERS SQUIBB CO COM 110122108 3,360 134,825 SH DEFINED 1,2 134,825
BROADCOM CORP-CL A CL A 111320107 18 600 SH DEFINED 1,2 600
BROWN-FORMAN CORP -CL B CL B 115637209 15 200 SH DEFINED 1,2 200
BRUNSWICK CORP COM 117043109 3 100 SH DEFINED 1,2 100
BUCKEYE GP HOLDINGS LP COM 118167105 3,654 235,000 SH DEFINED 2,4 235,000
BURLINGTON NORTHERN SANTA FECOM 12189T104 44 600 SH DEFINED 1,2 600
CA INC COM 12673P105 2,241 94,602 SH DEFINED 1,2 94,602
CAL DIVE INTERNATIONAL NOTE 127914AB5 934 700,000 PRN DEFINED 2,3 21,784
CALUMET SPECIALTY PRODUCTS LTD PART131476103 6,678 209,000 SH DEFINED 2,4 209,000
CAMPBELL SOUP CO COM 134429109 18 500 SH DEFINED 1,2 500
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
CAPITAL ONE FINANCIAL CORP COM 14040H105 31 400 SH DEFINED 1,2 400
CARDINAL HEALTH INC COM 14149Y108 39 600 SH DEFINED 1,2 600
CAREMARK RX INC COM 141705103 40 700 SH DEFINED 1,2 700
CARNIVAL CORP PAIRED C143658300 38 800 SH DEFINED 1,2 800
CARNIVAL CORP DBCV 143658AV4 2,570 3,600,000 PRN DEFINED 2,3 43,848
CATERPILLAR INC COM 149123101 66 1,000 SH DEFINED 1,2 1,000
CBS CORP-CLASS B CL B 124857202 32 1,150 SH DEFINED 1,2 1,150
CENTERPOINT ENERGY INC COM 15189T107 6 400 SH DEFINED 1,2 400
CENTEX CORP COM 152312104 4,641 88,200 SH DEFINED 1,2 88,200
CENTURYTEL INC COM 156700106 8 200 SH DEFINED 1,2 200
CENTURYTEL INC DBCV 156700AH9 3,798 3,600,000 PRN DEFINED 2,3 88,988
CERADYNE INC NOTE 156710AA3 406 400,000 PRN DEFINED 2,3 6,841
CERNER CORP COM 156782104 208 4,580 SH DEFINED 1,2 4,580
CHESAPEAKE ENERGY CORP COM 165167107 1,458 50,300 SH DEFINED 2 50,300
CHESAPEAKE ENERGY CORP NOTE 165167BW6 102 100,000 PRN DEFINED 2,3 2,560
CHEVRON CORP COM 166764100 2,322 35,807 SH DEFINED 1,2 35,807
CHUBB CORP COM 171232101 31 600 SH DEFINED 1,2 600
CIBER INC COM 17163B102 1,250 188,575 SH DEFINED 2 188,575
CIGNA CORP COM 125509109 23 200 SH DEFINED 1,2 200
CINCINNATI FINANCIAL CORP COM 172062101 11 220 SH DEFINED 1,2 220
CINTAS CORP COM 172908105 8 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
CIRCUIT CITY STORES INC COM 172737108 5 200 SH DEFINED 1,2 200
CISCO SYSTEMS INC COM 17275R102 398 17,300 SH DEFINED 1,2 17,300
CIT GROUP INC COM 125581108 3,030 62,300 SH DEFINED 1,2 62,300
CITIGROUP INC COM 172967101 6,336 127,565 SH DEFINED 1,2 127,565
CITIZENS COMMUNICATIONS CO COM 17453B101 6 400 SH DEFINED 1,2 400
CITRIX SYSTEMS INC COM 177376100 7 200 SH DEFINED 1,2 200
CLOROX COMPANY COM 189054109 13 200 SH DEFINED 1,2 200
CMS ENERGY CORP COM 125896100 4 300 SH DEFINED 1,2 300
CNA SURETY CORPORATION COM 12612L108 553,988 27,425,147 SH DEFINED 1,2,4 27,425,147
COACH INC COM 189754104 1,049 30,500 SH DEFINED 1,2 30,500
COCA-COLA CO/THE COM 191216100 514 11,500 SH DEFINED 1,2 11,500
COCA-COLA ENTERPRISES COM 191219104 10 500 SH DEFINED 1,2 500
COLGATE-PALMOLIVE CO COM 194162103 50 800 SH DEFINED 1,2 800
COMCAST CORP CL A SPL CL A 20030N200 7,546 205,000 SH DEFINED 2 205,000
COMCAST CORP-CL A CLA 20030N101 3,801 103,002 SH DEFINED 1,2 103,002
COMERICA INC COM 200340107 1,449 25,450 SH DEFINED 1,2 25,450
COMMERCE BANCORP INC/NJ COM 200519106 567 15,440 SH DEFINED 1,2 15,440
COMPASS BANCSHARES INC COM 20449H109 11 200 SH DEFINED 1,2 200
COMPUTER SCIENCES CORP COM 205363104 702 14,300 SH DEFINED 1,2 14,300
COMPUWARE CORP COM 205638109 4 500 SH DEFINED 1,2 500
COMVERSE TECHNOLOGY INC COM 205862402 6 300 SH DEFINED 1,2 300
CONAGRA FOODS INC COM 205887102 17 700 SH DEFINED 1,2 700
CONMED CORP COM 207410101 1,052 49,825 SH DEFINED 2 49,825
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
CONOCOPHILLIPS COM 20825C104 3,718 62,454 SH DEFINED 1,2 62,454
CONSOLIDATED EDISON INC COM 209115104 18 400 SH DEFINED 1,2 400
CONSTELLATION BRANDS CL A 21036P108 9 300 SH DEFINED 1,2 300
CONSTELLATION ENERGY GROUP COM 210371100 18 300 SH DEFINED 1,2 300
COOPER INDUSTRIES LTD-CL A CL A G24182100 17 200 SH DEFINED 1,2 200
COOPER TIRE & RUBBER COM 216831107 1 100 SH DEFINED 1,2 100
COPANO ENERGY LLC COM 217202100 7,101 132,019 SH DEFINED 2,4 132,019
CORNING INC COM 219350105 49 2,000 SH DEFINED 1,2 2,000
COSTCO WHOLESALE CORP COM 22160K105 35 700 SH DEFINED 1,2 700
COUNTRYWIDE FINANCIAL CORP COM 222372104 718 20,498 SH DEFINED 1,2 20,498
CSX CORP COM 126408103 1,202 36,600 SH DEFINED 1,2 36,600
CUMMINS INC COM 231021106 12 100 SH DEFINED 1,2 100
CVS CORP COM 126650100 960 29,900 SH DEFINED 1,2 29,900
CYMER INC NOTE 232572AE7 2,481 2,400,000 PRN DEFINED 2,3 48,000
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
DANAHER CORP COM 235851102 27 400 SH DEFINED 1,2 400
DARDEN RESTAURANTS INC COM 237194105 8 200 SH DEFINED 1,2 200
DCP MIDSTREAM PARTNERS LP LTD PART23311P100 2,825 100,900 SH DEFINED 2,4 100,900
DEERE & CO COM 244199105 34 400 SH DEFINED 1,2 400
DEL MONTE FOODS CO COM 24522P103 688 65,825 SH DEFINED 2 65,825
DELL INC COM 24702R101 327 14,300 SH DEFINED 1,2 14,300
DELPHI FINANCIAL GROUP CLA 247131105 775 19,438 SH DEFINED 2 19,438
DEVON ENERGY CORPORATION COM 25179M103 44 700 SH DEFINED 1,2 700
DIAGEO PLC ADR 25243Q205 2,515 35,400 SH DEFINED 2 35,400
DIAMONDS TRUST SERIES I SER 252787106 70,044 600,000 SH DEFINED 2 600,000
DILLARDS INC CL A 254067101 3 100 SH DEFINED 1,2 100
DISNEY (WALT) CO NOTE 254687AU0 2,250 2,000,000 PRN DEFINED 2,3 67,889
DOLLAR GENERAL CORP COM 256669102 5 400 SH DEFINED 1,2 400
DOMINION RESOURCES INC/VA COM 25746U109 38 500 SH DEFINED 1,2 500
DOVER CORP COM 260003108 14 300 SH DEFINED 1,2 300
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
DOW CHEMICAL COM 260543103 1,446 37,100 SH DEFINED 1,2 37,100
DPL INC COM 233293109 4,035 148,790 SH DEFINED 2 148,790
DR HORTON INC COM 23331A109 10 400 SH DEFINED 1,2 400
DST SYSTEMS INC DBCV 233326AB3 689 500,000 PRN DEFINED 2,3 10,187
DTE ENERGY COMPANY COM 233331107 12 300 SH DEFINED 1,2 300
DU PONT (E.I.) DE NEMOURS COM 263534109 60 1,400 SH DEFINED 1,2 1,400
DUKE ENERGY CORP COM 26441C105 1,266 41,906 SH DEFINED 1,2 41,906
DYNEGY INC-CL A CL A 26816Q101 2 400 SH DEFINED 1,2 400
E*TRADE FINANCIAL CORP COM 269246104 12 500 SH DEFINED 1,2 500
EASTMAN CHEMICAL CO COM 277432100 5 100 SH DEFINED 1,2 100
EASTMAN KODAK CO COM 277461109 9 400 SH DEFINED 1,2 400
EATON CORP COM 278058102 14 200 SH DEFINED 1,2 200
EBAY INC COM 278642103 664 23,400 SH DEFINED 1,2 23,400
ECOLAB INC COM 278865100 13 300 SH DEFINED 1,2 300
EDISON INTERNATIONAL COM 281020107 21 500 SH DEFINED 1,2 500
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
EL PASO CORP COM 28336L109 12 900 SH DEFINED 1,2 900
ELECTRONIC ARTS INC COM 285512109 275 4,920 SH DEFINED 1,2 4,920
ELECTRONIC DATA SYSTEMS COM 285661104 17 700 SH DEFINED 1,2 700
ELI LILLY & CO COM 532457108 91 1,600 SH DEFINED 1,2 1,600
EMBARQ CORP COM 29078E105 10 206 SH DEFINED 1,2 206
EMC CORP/MASS COM 268648102 41 3,400 SH DEFINED 1,2 3,400
EMERSON ELECTRIC CO COM 291011104 50 600 SH DEFINED 1,2 600
ENCANA CORP COM 292505104 5,509 118,000 SH DEFINED 2 118,000
ENDURANCE SPECIALTY HOLD SHS G30397106 882 25,000 SH DEFINED 2 25,000
ENERGY TRANSFER EQUITY LTD PART29273V100 6,665 227,800 SH DEFINED 2,4 227,800
ENTERGY CORP COM 29364G103 5,366 68,590 SH DEFINED 1,2 68,590
ENTERPRISE PRODUCTS COM 293792107 6,482 242,300 SH DEFINED 2,4 242,300
EOG RESOURCES INC COM 26875P101 26 400 SH DEFINED 1,2 400
EQUIFAX INC COM 294429105 7 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
EQUITY OFFICE PROPERTIES COM 294741103 24 600 SH DEFINED 1,2 600
EQUITY RESIDENTIAL INT 29476L107 20 400 SH DEFINED 1,2 400
EXELON CORP COM 30161N101 4,635 76,562 SH DEFINED 1,2 76,562
EXPEDITORS INTERNATIONAL COM 302130109 410 9,200 SH DEFINED 1,2 9,200
EXPRESS SCRIPTS INC COM 302182100 15 200 SH DEFINED 1,2 200
EXPRESSJET HOLDINGS NOTE 30218UAB4 1,284 1,400,000 PRN DEFINED 2,3 76,923
EXXON MOBIL CORP COM 30231G102 1,953 29,100 SH DEFINED 1,2 29,100
FANNIE MAE COM 313586109 3,877 69,350 SH DEFINED 1,2 69,350
FEDERATED DEPARTMENT STORES COM 31410H101 37 848 SH DEFINED 1,2 848
FEDERATED INVESTORS INC CL B 314211103 3 100 SH DEFINED 1,2 100
FEDEX CORP COM 31428X106 54 500 SH DEFINED 1,2 500
FEI COMPANY NOTE 30241LAD1 779 800,000 PRN DEFINED 2,3 29,485
FIRST AMERICAN CORP COM 318522307 2,801 66,150 SH DEFINED 2 66,150
FIRST DATA CORP COM 319963104 2,486 59,199 SH DEFINED 1,2 59,199
FIRST HORIZON NATIONAL CORP COM 320517105 8 200 SH DEFINED 1,2 200
FIRSTENERGY CORP COM 337932107 28 500 SH DEFINED 1,2 500
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
FISERV INC COM 337738108 14 300 SH DEFINED 1,2 300
FISHER SCIENTIFIC INTL NOTE 338032AW5 1,208 700,000 PRN DEFINED 2,3 14,748
FISHER SCIENTIFIC INTL INC COM 338032204 16 200 SH DEFINED 1,2 200
FLIR SYSTEMS INC NOTE 302445AB7 1,183 870,000 PRN DEFINED 2,3 19,602
FLUOR CORP COM 343412102 8 100 SH DEFINED 1,2 100
FMC CORP (NEW) COM 302491303 775 12,100 SH DEFINED 2 12,100
FORD MOTOR CO COM 345370860 21 2,600 SH DEFINED 1,2 2,600
FOREST LABORATORIES INC COM 345838106 25 500 SH DEFINED 1,2 500
FORTUNE BRANDS INC COM 349631101 15 200 SH DEFINED 1,2 200
FPL GROUP INC COM 302571104 27 600 SH DEFINED 1,2 600
FRANKLIN RESOURCES INC COM 354613101 32 300 SH DEFINED 1,2 300
FREDDIE MAC COM 313400301 2,917 43,975 SH DEFINED 1,2 43,975
FREEPORT-MCMORAN COPPER CL B 35671D857 16 300 SH DEFINED 1,2 300
FREESCALE SEMICONDUCTOR CL B 35687M206 21 564 SH DEFINED 1,2 564
GANNETT CO COM 364730101 3,514 61,840 SH DEFINED 1,2 61,840
GAP INC/THE COM 364760108 19 1,000 SH DEFINED 1,2 1,000
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
GENENTECH INC COM 368710406 1,088 13,160 SH DEFINED 1,2 13,160
GENERAL DYNAMICS CORP COM 369550108 43 600 SH DEFINED 1,2 600
GENERAL ELECTRIC CO COM 369604103 5,614 159,035 SH DEFINED 1,2 159,035
GENERAL MILLS INC COM 370334104 28 500 SH DEFINED 1,2 500
GENERAL MOTORS CORP COM 370442105 27 800 SH DEFINED 1,2 800
GENESIS ENERGY L.P. COM 371927104 4,312 275,900 SH DEFINED 2,4 275,900
GENUINE PARTS CO COM 372460105 13 300 SH DEFINED 1,2 300
GENZYME CORP COM 372917104 553 8,200 SH DEFINED 1,2 8,200
GENZYME CORP NOTE 372917AN4 932 850,000 PRN DEFINED 2,3 11,931
GILEAD SCIENCES INC COM 375558103 289 4,200 SH DEFINED 1,2 4,200
GLOBAL IMAGING SYSTEMS INC COM 37934A100 1,048 47,500 SH DEFINED 2 47,500
GOLDEN WEST FINANCIAL CORP COM 381317106 31 400 SH DEFINED 1,2 400
GOLDMAN SACHS GROUP INC COM 38141G104 118 700 SH DEFINED 1,2 700
GOODRICH CORP COM 382388106 8 200 SH DEFINED 1,2 200
GOODYEAR TIRE & RUBBER CO COM 382550101 3 200 SH DEFINED 1,2 200
GOOGLE INC CL A 38259P508 3,135 7,800 SH DEFINED 1,2 7,800
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
H&R BLOCK INC COM 093671105 13 600 SH DEFINED 1,2 600
HALLIBURTON CO COM 406216101 893 31,400 SH DEFINED 1,2 31,400
HANESBRANDS INC COM 410345102 244 10,830 SH DEFINED 1,2 10,830
HANGER ORTHOPEDIC GROUP INC COM 41043F208 362 55,075 SH DEFINED 2 55,075
HARLEY-DAVIDSON INC COM 412822108 25 400 SH DEFINED 1,2 400
HARRAHS ENTERTAINMENT INC COM 413619107 20 300 SH DEFINED 1,2 300
HARTFORD FINANCIAL SVCS GRP COM 416515104 43 500 SH DEFINED 1,2 500
HASBRO INC COM 418056107 883 38,825 SH DEFINED 1,2 38,825
HCA INC COM 404119109 1,818 36,450 SH DEFINED 1,2 36,450
HEALTH MGMT ASSOCIATES INC-ACL A 421933102 6 300 SH DEFINED 1,2 300
HENRY SCHEIN INC NOTE 806407AB8 1,112 900,000 PRN DEFINED 2,3 19,422
HERCULES INC COM 427056106 2 100 SH DEFINED 1,2 100
HERSHEY CO/THE COM 427866108 16 300 SH DEFINED 1,2 300
HESS CORP LTD PART42809H107 25 600 SH DEFINED 1,2 600
HEWLETT-PACKARD CO COM 428236103 1,251 34,085 SH DEFINED 1,2 34,085
HILAND PARTNERS LP LTD PART431291103 5,011 107,600 SH DEFINED 2,4 107,600
HILTON HOTELS CORP COM 432848109 981 35,210 SH DEFINED 1,2 35,210
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
HJ HEINZ CO COM 423074103 21 500 SH DEFINED 1,2 500
HOME DEPOT INC COM 437076102 3,812 105,100 SH DEFINED 1,2 105,100
HONEYWELL INTERNATIONAL INC COM 438516106 49 1,200 SH DEFINED 1,2 1,200
HORACE MANN EDUCATORS COM 440327104 979 50,900 SH DEFINED 2 50,900
HORMEL FOODS CORP COM 440452100 183 5,100 SH DEFINED 2 5,100
HOSPIRA INC COM 441060100 8 220 SH DEFINED 1,2 220
HOST HOTELS & RESORTS INC COM 44107P104 4 183 SH DEFINED 1,2 183
HUB INTERNATIONAL LIMITED COM 44332P101 623 21,550 SH DEFINED 2 21,550
HUGOTON ROYALTY TRUST INT 444717102 1 29 SH DEFINED 1,2 29
HUMANA INC COM 444859102 13 200 SH DEFINED 1,2 200
HUNTINGTON BANCSHARES INC COM 446150104 7 300 SH DEFINED 1,2 300
HUTCHINSON TECH NOTE 448407AE6 934 1,000,000 PRN DEFINED 2,3 33,512
IDACORP INC COM 451107106 865 22,875 SH DEFINED 2 22,875
ILLINOIS TOOL WORKS COM 452308109 36 800 SH DEFINED 1,2 800
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
IMS HEALTH INC COM 449934108 8 300 SH DEFINED 1,2 300
INCO LTD COM 453258402 1,131 14,831 SH DEFINED 2 14,831
INGERSOLL-RAND CO LTD CL A G4776G101 23 600 SH DEFINED 1,2 600
INTEGRA LIFESCIENCES HLD NOTE 457985AB5 745 635,000 PRN DEFINED 2,3 18,596
INTEL CORP COM 458140100 1,210 58,800 SH DEFINED 1,2 58,800
INTERPUBLIC GROUP COS NOTE 460690AT7 981 930,000 PRN DEFINED 2,3 74,879
INTERPUBLIC GROUP OF COS COM 460690100 6 614 SH DEFINED 1,2 614
INTL BUSINESS MACHINES COM 459200101 8,382 102,300 SH DEFINED 1,2 102,300
INTL FLAVORS & FRAGRANCES COM 459506101 4 100 SH DEFINED 1,2 100
INTL GAME TECHNOLOGY COM 459902102 21 500 SH DEFINED 1,2 500
INTUIT INC COM 461202103 19 600 SH DEFINED 1,2 600
INVITROGEN INC NOTE 46185RAJ9 966 900,000 PRN DEFINED 2,3 13,189
IPC HOLDINGS LTD ORD G4933P101 2,772 91,125 SH DEFINED 2 91,125
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ISHARES MSCI JAPAN INDEX MSCI JAP464286848 23,695 1,750,000 SH DEFINED 2 1,750,000
ITT CORP COM 450911102 21 400 SH DEFINED 1,2 400
J.C. PENNEY CO INC COM 708160106 27 400 SH DEFINED 1,2 400
JABIL CIRCUIT INC COM 466313103 9 300 SH DEFINED 1,2 300
JANUS CAPITAL GROUP INC COM 47102X105 6 300 SH DEFINED 1,2 300
JER INVESTORS TRUST INC COM 46614H301 618 36,000 SH DEFINED 2,4 36,000
JOHNSON & JOHNSON COM 478160104 2,780 42,810 SH DEFINED 1,2 42,810
JOHNSON CONTROLS INC COM 478366107 1,729 24,100 SH DEFINED 1,2 24,100
JONES APPAREL GROUP INC COM 480074103 6 200 SH DEFINED 1,2 200
JPMORGAN CHASE & CO COM 46625H100 2,097 44,662 SH DEFINED 1,2 44,662
KB HOME COM 48666K109 4 100 SH DEFINED 1,2 100
KELLOGG CO COM 487836108 25 500 SH DEFINED 1,2 500
KELLY SERVICES INC CL A 488152208 1,331 48,571 SH DEFINED 2 48,571
KENNAMETAL INC COM 489170100 695 12,275 SH DEFINED 2 12,275
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
KEYCORP COM 493267108 22 600 SH DEFINED 1,2 600
KEYSPAN CORP COM 49337W100 12 300 SH DEFINED 1,2 300
KIMBERLY-CLARK CORP COM 494368103 46 700 SH DEFINED 1,2 700
KINDER MORGAN INC COM 49455P101 21 200 SH DEFINED 1,2 200
KINDER MORGAN MANAGE SHS 49455U100 2,126 50,349 SH DEFINED 2,4 50,349
KOHLS CORP COM 500255104 32 500 SH DEFINED 1,2 500
KROGER CO COM 501044101 23 1,000 SH DEFINED 1,2 1,000
L-3 COMMUNICATIONS HOLDINGS COM 502424104 799 10,200 SH DEFINED 1,2 10,200
LABORATORY CRP OF AMER COM 50540R409 13 200 SH DEFINED 1,2 200
LEAR SEATING CORP COM 521865105 2,835 136,950 SH DEFINED 2 136,950
LEGGETT & PLATT INC COM 524660107 8 300 SH DEFINED 1,2 300
LEHMAN BROTHERS HOLDINGS INCCOM 524908100 2,053 27,800 SH DEFINED 1,2 27,800
LEVEL 3 COMMUNICATIONS NOTE 52729NAS9 1,011 1,150,000 PRN DEFINED 2,3 8,528
LEVEL 3 COMMUNICATIONS NOTE 52729NBA7 706 700,000 PRN DEFINED 2,3 97,493
LEVEL 3 COMMUNICATIONS NOTE 52729NBK5 3,173 2,700,000 PRN DEFINED 2,3 494,506
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
LEXMARK INTERNATIONAL INC CL A 529771107 12 200 SH DEFINED 1,2 200
LIBERTY MEDIA DEB 530718AF2 3,084 2,800,000 PRN DEFINED 2,3 160,742
LIMITED BRANDS INC COM 532716107 13 500 SH DEFINED 1,2 500
LINCARE HOLDINGS DBCV 532791AB6 920 950,000 PRN DEFINED 2,3 17,814
LINCOLN NATIONAL CORP COM 534187109 6,238 100,479 SH DEFINED 1,2 100,479
LINEAR TECHNOLOGY CORP COM 535678106 12 400 SH DEFINED 1,2 400
LIZ CLAIBORNE INC COM 539320101 8 200 SH DEFINED 1,2 200
LOCKHEED MARTIN CORP COM 539830109 52 600 SH DEFINED 1,2 600
LORAL SPACE AND COMM COM 543881106 550 20,900 SH DEFINED 2 20,900
LOUISIANA-PACIFIC CORP COM 546347105 2 100 SH DEFINED 1,2 100
LOWES COS INC COM 548661107 62 2,200 SH DEFINED 1,2 2,200
LSI LOGIC CORP COM 502161102 4 500 SH DEFINED 1,2 500
LUCENT TECHNOLOGIES INC COM 549463107 3,412 1,458,275 SH DEFINED 1,2 1,458,275
M & T BANK CORP COM 55261F104 24 200 SH DEFINED 1,2 200
MAGELLAN MIDSTREAM HOLD COM 55907R108 3,713 165,000 SH DEFINED 2,4 165,000
MAGELLAN MIDSTREAM PART COM 559080106 4,199 113,800 SH DEFINED 2,4 113,800
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
MAGNA INTERNATIONAL INC CL A 559222401 1,647 22,550 SH DEFINED 2 22,550
MANOR CARE INC COM 564055101 5 100 SH DEFINED 1,2 100
MARATHON OIL CORP COM 565849106 40 523 SH DEFINED 1,2 523
MARKWEST ENERGY PARTNER LTD PART570759100 7,350 150,000 SH DEFINED 2,4 150,000
MARKWEST HYDROCARBON INC COM 570762104 4,528 161,700 SH DEFINED 2,4 161,700
MARRIOTT INTERNATIONAL CLA 571903202 1,607 41,600 SH DEFINED 1,2 41,600
MARSHALL & ILSLEY CORP COM 571834100 14 300 SH DEFINED 1,2 300
MARTIN MIDSTREAM PARTNER INT 573331105 4,482 135,805 SH DEFINED 2,4 135,805
MASCO CORP COM 574599106 16 600 SH DEFINED 1,2 600
MASTERCARD INC-CLASS A COM 57636Q104 1,421 20,200 SH DEFINED 2 20,200
MATTEL INC COM 577081102 10 500 SH DEFINED 1,2 500
MAVERICK TUBE CORP NOTE 577914AB0 1,437 650,000 PRN DEFINED 2,3 22,268
MAXIM INTEGRATED PRODUCTS COM 57772K101 14 500 SH DEFINED 1,2 500
MBIA INC COM 55262C100 4,006 65,200 SH DEFINED 1,2 65,200
MCCLATCHY CO-CLASS A CLA 579489105 2 51 SH DEFINED 1,2 51
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
MCCORMICK & CO COM 579780206 8 200 SH DEFINED 1,2 200
MCDONALDS CORP COM 580135101 2,574 65,800 SH DEFINED 1,2 65,800
MCGRAW-HILL COMPANIES INC COM 580645109 29 500 SH DEFINED 1,2 500
MCKESSON CORP COM 58155Q103 21 400 SH DEFINED 1,2 400
MEADWESTVACO CORP COM 583334107 8 300 SH DEFINED 1,2 300
MEDCO HEALTH SOLUTIONS COM 58405U102 25 411 SH DEFINED 1,2 411
MEDIACOM COMMUNICATIONS CL A 58446K105 1,424 200,000 SH DEFINED 2 200,000
MEDTRONIC INC COM 585055106 2,505 53,950 SH DEFINED 1,2 53,950
MEDTRONIC INC NOTE 585055AM8 973 1,000,000 PRN DEFINED 2,3 17,811
MELLON FINANCIAL CORP COM 58551A108 23 600 SH DEFINED 1,2 600
MENS WEARHOUSE NOTE 587118AC4 684 500,000 PRN DEFINED 2,3 17,565
MEREDITH CORP COM 589433101 5 100 SH DEFINED 1,2 100
MERRILL LYNCH & CO INC COM 590188108 110 1,400 SH DEFINED 1,2 1,400
METLIFE INC COM 59156R108 2,687 47,400 SH DEFINED 1,2 47,400
MGIC INVESTMENT CORP COM 552848103 12 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
MI DEVELOPMENTS INC CL A 55304X104 1,153 31,625 SH DEFINED 2 31,625
MICRON TECHNOLOGY INC COM 595112103 14 800 SH DEFINED 1,2 800
MICROSOFT CORP COM 594918104 10,446 382,205 SH DEFINED 1,2 382,205
MILACRON INC COM 598709103 81 91,150 SH DEFINED 2 91,150
MILLIPORE CORP COM 601073109 6 100 SH DEFINED 1,2 100
MOLEX INC COM 608554101 8 200 SH DEFINED 1,2 200
MOLSON COORS BREWING CO CL B 60871R209 7 100 SH DEFINED 1,2 100
MONSANTO CO COM 61166W101 40 852 SH DEFINED 1,2 852
MONSTER WORLDWIDE INC COM 611742107 7 200 SH DEFINED 1,2 200
MOODYS CORP COM 615369105 26 400 SH DEFINED 1,2 400
MORGAN STANLEY COM 617446448 3,946 54,125 SH DEFINED 1,2 54,125
MOTOROLA INC COM 620076109 1,163 46,500 SH DEFINED 1,2 46,500
MYLAN LABORATORIES INC COM 628530107 6 300 SH DEFINED 1,2 300
NABORS INDUSTRIES LTD SHS G6359F103 12 400 SH DEFINED 1,2 400
NATIONAL CITY CORP COM 635405103 29 800 SH DEFINED 1,2 800
NATIONAL OILWELL VARCO INC COM 637071101 18 300 SH DEFINED 1,2 300
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
NATIONAL SEMICONDUCTOR COM 637640103 12 500 SH DEFINED 1,2 500
NBTY INC COM 628782104 754 25,775 SH DEFINED 2 25,775
NCI BUILDING SYSTEMS INC COM 628852105 428 7,350 SH DEFINED 2 7,350
NCO GROUP INC COM 628858102 558 21,300 SH DEFINED 2 21,300
NCR CORPORATION COM 62886E108 12 300 SH DEFINED 1,2 300
NETWORK APPLIANCE INC COM 64120L104 1,022 27,605 SH DEFINED 1,2 27,605
NEWELL RUBBERMAID INC COM 651229106 11 400 SH DEFINED 1,2 400
NEWMONT MINING CORP COM 651639106 26 600 SH DEFINED 1,2 600
NEWS CORP-CL A CL A 65248E104 6,762 344,106 SH DEFINED 1,2 344,106
NICOR INC COM 654086107 4 100 SH DEFINED 1,2 100
NII HOLDINGS INC NOTE 62913FAF9 920 650,000 PRN DEFINED 2,3 12,979
NIKE INC -CL B CL B 654106103 35 400 SH DEFINED 1,2 400
NISOURCE INC COM 65473P105 2,857 131,400 SH DEFINED 1,2 131,400
NOBLE CORP SHS G65422100 13 200 SH DEFINED 1,2 200
NORDSTROM INC COM 655664100 17 400 SH DEFINED 1,2 400
NORFOLK SOUTHERN CORP COM 655844108 26 600 SH DEFINED 1,2 600
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
NORTEL NETWORKS NOTE 656568AB8 9,741 10,200,000 PRN DEFINED 2,3,4 1,020,000
NORTH FORK BANCORP COM 659424105 20 700 SH DEFINED 1,2 700
NORTHERN TRUST CORP COM 665859104 1,250 21,400 SH DEFINED 1,2 21,400
NORTHROP GRUMMAN CORP COM 666807102 37 548 SH DEFINED 1,2 548
NOVELL INC COM 670006105 3 500 SH DEFINED 1,2 500
NOVELL INC DBCV 670006AC9 2,434 2,600,000 PRN DEFINED 2,3 225,655
NOVELLUS SYSTEMS INC COM 670008101 6 200 SH DEFINED 1,2 200
NUCOR CORP COM 670346105 20 400 SH DEFINED 1,2 400
NVIDIA CORP COM 67066G104 12 400 SH DEFINED 1,2 400
OCCIDENTAL PETROLEUM CORP COM 674599105 58 1,200 SH DEFINED 1,2 1,200
OFFICE DEPOT INC COM 676220106 16 400 SH DEFINED 1,2 400
OFFICEMAX INC COM 67622P101 4 100 SH DEFINED 1,2 100
OLD REPUBLIC INTL CORP COM 680223104 1,504 67,922 SH DEFINED 2 67,922
OMNICOM GROUP COM 681919106 28 300 SH DEFINED 1,2 300
ONEOK PARTNERS LP LTD PART68268N103 2,531 45,000 SH DEFINED 2,4 45,000
ORACLE CORP COM 68389X105 5,442 306,752 SH DEFINED 1,2 306,752
P G & E CORP COM 69331C108 3,911 93,900 SH DEFINED 1,2 93,900
PACCAR INC COM 693718108 26 450 SH DEFINED 1,2 450
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
PACIFIC ENERGY PARTNERS COM 69422R105 4,316 122,600 SH DEFINED 2,4 122,600
PACTIV CORPORATION COM 695257105 6 200 SH DEFINED 1,2 200
PALL CORP COM 696429307 6 200 SH DEFINED 1,2 200
PANTRY INC NOTE 698657AL7 891 660,000 PRN DEFINED 2,3 13,175
PARAMETRIC TECHNOLOGY COM 699173209 2 120 SH DEFINED 1,2 120
PARKER HANNIFIN CORP COM 701094104 16 200 SH DEFINED 1,2 200
PAYCHEX INC COM 704326107 18 500 SH DEFINED 1,2 500
PEOPLES ENERGY CORP COM 711030106 4 100 SH DEFINED 1,2 100
PEPSI BOTTLING GROUP INC COM 713409100 11 300 SH DEFINED 1,2 300
PEPSICO INC COM 713448108 1,592 24,400 SH DEFINED 1,2 24,400
PERKINELMER INC COM 714046109 4 200 SH DEFINED 1,2 200
PETRO-CANADA COM 71644E102 2,420 60,000 SH DEFINED 2 60,000
PFIZER INC COM 717081103 3,273 115,400 SH DEFINED 1,2 115,400
PHARMACEUTICAL HOLDRS DEPOSIT71712A206 46,800 600,000 SH DEFINED 2 600,000
PHARMANET DEVELOPMENT COM 784121105 1,025 52,825 SH DEFINED 2 52,825
PHELPS DODGE CORP COM 717265102 34 400 SH DEFINED 1,2 400
PHH CORP COM 693320202 828 30,225 SH DEFINED 2 30,225
PIKE ELECTRIC CORP COM 721283109 907 60,875 SH DEFINED 2 60,875
PINNACLE WEST CAPITAL COM 723484101 9 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
PITNEY BOWES INC COM 724479100 13 300 SH DEFINED 1,2 300
PLUM CREEK TIMBER CO COM 729251108 10 300 SH DEFINED 1,2 300
PMI GROUP INC COM 69344M101 657 15,000 SH DEFINED 2 15,000
PNC FINANCIAL SERVICES COM 693475105 29 400 SH DEFINED 1,2 400
PPG INDUSTRIES INC COM 693506107 20 300 SH DEFINED 1,2 300
PPL CORPORATION COM 69351T106 20 600 SH DEFINED 1,2 600
PRAXAIR INC COM 74005P104 1,390 23,500 SH DEFINED 1,2 23,500
PRIDE INTERNATIONAL INC NOTE 74153QAD4 966 800,000 PRN DEFINED 2,3 31,124
PRINCIPAL FINANCIAL GROUP COM 74251V102 22 400 SH DEFINED 1,2 400
PROCTER & GAMBLE CO COM 742718109 1,169 18,865 SH DEFINED 1,2 18,865
PROGRESS ENERGY INC COM 743263105 18 400 SH DEFINED 1,2 400
PROGRESSIVE CORP COM 743315103 1,101 44,880 SH DEFINED 1,2 44,880
PROLOGIS INT 743410102 17 300 SH DEFINED 1,2 300
PRUDENTIAL FINANCIAL INC COM 744320102 61 800 SH DEFINED 1,2 800
PUBLIC SERVICE ENTERPRISE COM 744573106 24 400 SH DEFINED 1,2 400
PULTE HOMES INC COM 745867101 9,256 290,515 SH DEFINED 1,2 290,515
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
QUALCOMM INC COM 747525103 1,101 30,300 SH DEFINED 1,2 30,300
QUANTA SERVICES INC SDCV 74762EAC6 1,139 700,000 PRN DEFINED 2,3 62,859
QUEST DIAGNOSTICS COM 74834L100 18 300 SH DEFINED 1,2 300
QWEST COMMUNICATIONS INTL COM 749121109 20 2,300 SH DEFINED 1,2 2,300
R.H. DONNELLEY CORP COM 74955W307 474 8,966 SH DEFINED 2 8,966
RADIO ONE INC -CL D CL D 75040P405 661 105,700 SH DEFINED 2 105,700
RADIOSHACK CORP COM 750438103 1,642 85,075 SH DEFINED 1,2 85,075
RAYTHEON COMPANY COM 755111507 34 700 SH DEFINED 1,2 700
REALOGY CORP COM 75605E100 9 375 SH DEFINED 1,2 375
RED HAT INC DBCV 756577AB8 2,877 2,750,000 PRN DEFINED 2,3 107,457
REGENCY ENERGY PARTNERS LP COM 75885Y107 5,351 221,300 SH DEFINED 2,4 221,300
REGIONS FINANCIAL CORP COM 7591EP100 23 620 SH DEFINED 1,2 620
RENAISSANCERE HOLDINGS COM G7496G103 3,814 68,600 SH DEFINED 2 68,600
RENT-A-CENTER INC COM 76009N100 4,080 139,300 SH DEFINED 2 139,300
REYNOLDS AMERICAN INC COM 761713106 25 400 SH DEFINED 1,2 400
ROBERT HALF INTL INC COM 770323103 7 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ROCKWELL AUTOMATION INC COM 773903109 17 300 SH DEFINED 1,2 300
ROCKWELL COLLINS INC. COM 774341101 16 300 SH DEFINED 1,2 300
ROHM AND HAAS CO COM 775371107 14 300 SH DEFINED 1,2 300
ROWAN COMPANIES INC COM 779382100 6 200 SH DEFINED 1,2 200
RR DONNELLEY & SONS CO COM 257867101 10 300 SH DEFINED 1,2 300
RYDER SYSTEM INC COM 783549108 5 100 SH DEFINED 1,2 100
SAFECO CORP COM 786429100 12 200 SH DEFINED 1,2 200
SAFEWAY INC COM 786514208 18 600 SH DEFINED 1,2 600
SALESFORCE.COM INC COM 79466L302 466 13,000 SH DEFINED 1,2 13,000
SANDISK CORP NOTE 80004CAC5 762 800,000 PRN DEFINED 2,3 9,714
SARA LEE CORP COM 803111103 1,392 86,650 SH DEFINED 1,2 86,650
SCANA CORP COM 80589M102 1,365 33,902 SH DEFINED 2 33,902
SCHERING-PLOUGH CORP COM 806605101 46 2,100 SH DEFINED 1,2 2,100
SCHLUMBERGER LTD COM 806857108 2,384 38,440 SH DEFINED 1,2 38,440
SCHWAB (CHARLES) CORP COM 808513105 29 1,600 SH DEFINED 1,2 1,600
SCHWEITZER-MAUDUIT INTL INC COM 808541106 744 39,225 SH DEFINED 2 39,225
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
SCI SYSTEMS INC NOTE 783890AF3 490 500,000 PRN DEFINED 2,3 12,092
SEALED AIR CORP COM 81211K100 5 100 SH DEFINED 1,2 100
SEALY CORP COM 812139301 864 66,175 SH DEFINED 2 66,175
SEARS HOLDINGS CORP COM 812350106 36 225 SH DEFINED 1,2 225
SEMPRA ENERGY COM 816851109 1,714 34,100 SH DEFINED 1,2 34,100
SENOMYX INC COM 81724Q107 275 17,900 SH DEFINED 2 17,900
SHERWIN-WILLIAMS CO/THE COM 824348106 11 200 SH DEFINED 1,2 200
SIGMA-ALDRICH COM 826552101 8 100 SH DEFINED 1,2 100
SIMON PROPERTY GROUP INC COM 828806109 27 300 SH DEFINED 1,2 300
SLM CORP COM 78442P106 743 14,300 SH DEFINED 1,2 14,300
SNAP-ON INC COM 833034101 4 100 SH DEFINED 1,2 100
SOLECTRON CORP COM 834182107 4 1,300 SH DEFINED 1,2 1,300
SOLECTRON CORP NOTE 834182AT4 1,293 1,660,000 PRN DEFINED 2,3 171,722
SOUTHERN CO COM 842587107 38 1,100 SH DEFINED 1,2 1,100
SOUTHWEST AIRLINES CO COM 844741108 17 1,000 SH DEFINED 1,2 1,000
SOVEREIGN BANCORP INC COM 845905108 11 525 SH DEFINED 1,2 525
SPRINT NEXTEL CORP COM 852061100 3,672 214,128 SH DEFINED 1,2 214,128
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ST JUDE MEDICAL INC COM 790849103 723 20,500 SH DEFINED 1,2 20,500
ST PAUL TRAVELERS COS INC COM 792860108 47 1,007 SH DEFINED 1,2 1,007
STANLEY WORKS/THE COM 854616109 5 100 SH DEFINED 1,2 100
STAPLES INC COM 855030102 245 10,050 SH DEFINED 1,2 10,050
STARBUCKS CORP COM 855244109 1,213 35,630 SH DEFINED 1,2 35,630
STARWOOD HOTELS & RESORTS COM 85590A401 17 300 SH DEFINED 1,2 300
STATE STREET CORP COM 857477103 31 500 SH DEFINED 1,2 500
STEWART INFORMATION SERV COM 860372101 193 5,550 SH DEFINED 2 5,550
STREETTRACKS GOLD TRUST SHS 863307104 5,947 100,000 SH DEFINED 2 100,000
STRYKER CORP COM 863667101 25 500 SH DEFINED 1,2 500
SUN MICROSYSTEMS INC COM 866810104 24 4,800 SH DEFINED 1,2 4,800
SUNOCO INC COM 86764P109 12 200 SH DEFINED 1,2 200
SUNTRUST BANKS INC COM 867914103 39 500 SH DEFINED 1,2 500
SUPERVALU INC COM 868536103 9 291 SH DEFINED 1,2 291
SYMANTEC CORP COM 871503108 36 1,674 SH DEFINED 1,2 1,674
SYMBOL TECHNOLOGIES INC COM 871508107 4 301 SH DEFINED 1,2 3011
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
SYNOVUS FINANCIAL CORP COM 87161C105 12 400 SH DEFINED 1,2 400
SYSCO CORP COM 871829107 30 900 SH DEFINED 1,2 900
T ROWE PRICE GROUP INC COM 74144T108 19 400 SH DEFINED 1,2 400
TARGET CORP COM 87612E106 1,177 21,300 SH DEFINED 1,2 21,300
TECO ENERGY INC COM 872375100 5 300 SH DEFINED 1,2 300
TEEKAY LNG PARTNERS LP LTD PARTY8564M105 5,058 166,100 SH DEFINED 2,4 166,100
TEKTRONIX INC COM 879131100 3 100 SH DEFINED 1,2 100
TELLABS INC COM 879664100 7 600 SH DEFINED 1,2 600
TEMPLE-INLAND INC COM 879868107 8 200 SH DEFINED 1,2 200
TEMPUR-PEDIC INTERNATIONAL COM 88023U101 825 48,050 SH DEFINED 2 48,050
TEPPCO PARTNERS LP LTD PART872384102 3,151 84,800 SH DEFINED 2,4 84,800
TESORO PETROLEUM CORP COM 881609101 4,638 80,000 SH DEFINED 2 80,000
TEXAS INSTRUMENTS INC COM 882508104 80 2,400 SH DEFINED 1,2 2,400
TEXTRON INC COM 883203101 1,610 18,400 SH DEFINED 1,2 18,400
THE WALT DISNEY CO. COM 254687106 297 9,610 SH DEFINED 1,2 9,610
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
THERMO ELECTRON CORP COM 883556102 8 200 SH DEFINED 1,2 200
THERMO ELECTRON CORP SDCV 883556AJ1 4,211 4,200,000 PRN DEFINED 2,3 100,383
TIFFANY & CO COM 886547108 7 200 SH DEFINED 1,2 200
TIME WARNER INC COM 887317105 120 6,600 SH DEFINED 1,2 6,600
TIME WARNER TELECOM INC DBCV 887319AC5 495 400,000 PRN DEFINED 2,3 21,459
TJX COMPANIES INC COM 872540109 3,431 122,400 SH DEFINED 1,2 122,400
TORCHMARK CORP COM 891027104 2,460 38,975 SH DEFINED 1,2 38,975
TRANSMONTAIGNE PARTNERS COM 89376V100 2,938 95,900 SH DEFINED 2,4 95,900
TRANSOCEAN INC ORD G90078109 37 500 SH DEFINED 1,2 500
TREDEGAR CORP COM 894650100 387 23,125 SH DEFINED 2 23,125
TREX COMPANY INC COM 89531P105 926 38,325 SH DEFINED 2 38,325
TRIBUNE CO COM 896047107 13 400 SH DEFINED 1,2 400
TRONOX INC CL B 897051207 1 40 SH DEFINED 1,2 40
TXU CORP COM 873168108 50 800 SH DEFINED 1,2 800
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
TYCO INTERNATIONAL LTD COM 902124106 5,951 212,615 SH DEFINED 1,2 212,615
UNION PACIFIC CORP COM 907818108 1,582 17,975 SH DEFINED 1,2 17,975
UNITED NATIONAL GROUP LTD COM 90933T109 656 29,200 SH DEFINED 2 29,200
UNITED PARCEL SERVICE CL B 911312106 1,668 23,181 SH DEFINED 1,2 23,181
UNITED STATES STEEL CORP COM 912909108 12 200 SH DEFINED 1,2 200
UNITED STATIONERS INC COM 913004107 891 19,150 SH DEFINED 2 19,150
UNITED TECHNOLOGIES CORP COM 913017109 1,109 17,500 SH DEFINED 1,2 17,500
UNITEDHEALTH GROUP INC COM 91324P102 1,368 27,800 SH DEFINED 1,2 27,800
UNIVERSAL CORP-VA COM 913456109 1,192 32,625 SH DEFINED 2 32,625
UNUMPROVIDENT CORP COM 91529Y106 8 400 SH DEFINED 1,2 400
US BANCORP COM 902973304 4,807 144,710 SH DEFINED 1,2 144,710
USI HOLDINGS CORP COM 90333H101 948 69,950 SH DEFINED 2 69,950
UST INC COM 902911106 11 200 SH DEFINED 1,2 200
VALASSIS COMMUNICATIONS COM 918866104 650 36,850 SH DEFINED 2 36,850
VALERO ENERGY CORP COM 91913Y100 11,365 220,800 SH DEFINED 1,2 220,800
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
VARIAN MEDICAL SYSTEMS INC COM 92220P105 534 10,000 SH DEFINED 1,2 10,000
VERIZON COMMUNICATIONS INC COM 92343V104 145 3,900 SH DEFINED 1,2 3,900
VF CORP COM 918204108 15 200 SH DEFINED 1,2 200
VIACOM INC-CLASS B CL B 92553P201 43 1,150 SH DEFINED 1,2 1,150
VIAD CORP COM 92552R406 1,754 49,525 SH DEFINED 2 49,525
VISHAY INTERTECHNOLOGY NOTE 928298AF5 403 400,000 PRN DEFINED 2,3 18,797
VISTEON CORP COM 92839U107 1 100 SH DEFINED 1,2 100
VULCAN MATERIALS CO COM 929160109 16 200 SH DEFINED 1,2 200
WACHOVIA CORP COM 929903102 125 2,245 SH DEFINED 1,2 2,245
WALGREEN CO COM 931422109 344 7,750 SH DEFINED 1,2 7,750
WAL-MART STORES INC COM 931142103 5,507 111,650 SH DEFINED 1,2 111,650
WASHINGTON MUTUAL INC COM 939322103 808 18,585 SH DEFINED 1,2 18,585
WASTE MANAGEMENT INC COM 94106L109 29 800 SH DEFINED 1,2 800
WATERS CORP COM 941848103 9 200 SH DEFINED 1,2 200
WATSON PHARMACEUTICALS COM 942683103 5 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
WCI COMMUNITIES INC COM 92923C104 1,657 95,000 SH DEFINED 2 95,000
WELLPOINT INC COM 94973V107 462 6,000 SH DEFINED 1,2 6,000
WELLS FARGO & COMPANY COM 949746101 174 4,800 SH DEFINED 1,2 4,800
WENDYS INTERNATIONAL INC COM 950590109 13 200 SH DEFINED 1,2 200
WESCO INTERNATIONAL INC DBCV 95082PAE5 310 200,000 PRN DEFINED 2,3 4,777
WEYERHAEUSER CO COM 962166104 972 15,800 SH DEFINED 1,2 15,800
WHIRLPOOL CORP COM 963320106 3,075 36,558 SH DEFINED 1,2 36,558
WILLIAMS COS INC COM 969457100 6,228 260,910 SH DEFINED 1,2 260,910
WILLIAMS PARTNERS LP COM 96950F104 4,565 126,500 SH DEFINED 2,4 126,500
WINDSTREAM CORP COM 97381W104 7 516 SH DEFINED 1,2 516
WISCONSIN ENERGY CORP COM 976657106 1,731 40,125 SH DEFINED 2 40,125
WRIGLEY WM JR CO COM 982526105 14 300 SH DEFINED 1,2 300
WW GRAINGER INC COM 384802104 7 100 SH DEFINED 1,2 100
WYETH COM 983024100 2,525 49,660 SH DEFINED 1,2 49,660
WYNDHAM WORLDWIDE CORP COM 98310W108 8 300 SH DEFINED 1,2 300
XCEL ENERGY INC COM 98389B100 10 500 SH DEFINED 1,2 500
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
XEROX CORP COM 984121103 4,688 301,300 SH DEFINED 1,2 301,300
XILINX INC COM 983919101 11 500 SH DEFINED 1,2 500
XL CAPITAL LTD CL A G98255105 2,164 31,500 SH DEFINED 1,2 31,500
XTO ENERGY INC COM 98385X106 21 500 SH DEFINED 1,2 500
YAHOO! INC COM 984332106 268 10,600 SH DEFINED 1,2 10,600
YELLOW ROADWAY CORP NOTE 985577AA3 836 670,000 PRN DEFINED 2,3 17,074
YUM! BRANDS INC COM 988498101 21 400 SH DEFINED 1,2 400
ZIMMER HOLDINGS INC COM 98956P102 446 6,600 SH DEFINED 1,2 6,600
ZIONS BANCORPORATION COM 989701107 16 200 SH DEFINED 1,2 200