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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F
FORM 13f Cover Page
Report for the Calendar Year or Quarter Ended June 30, 2006
If amended report check here: |_| Amendment Number: ____
This Amendment (Check only one): |_| is a restatement
|_| adds new holding
entries.
PRIOR FILINGS FOR THE NOMURA GROUP WERE REPORTED UNDER THE NAME NOMURA
SECURITIES COMPANY, WITH CIK NUMBER 0000110097. SUBSEQUENT FILINGS WILL
BE MADE UNDER THE NAME NOMURA HOLDINGS, INC., CIK NUMBER 0001163653.
NOMURA HOLDINGS, INC. (NHI) IS THE PARENT HOLDING COMPANY OF A NUMBER
OF OPERATING SUBSIDIARIES, SOME OF WHICH ARE OR MAY BE INSTITUTIONAL
INVESTMENT MANAGERS FOR THE PURPOSES OF THE REPORTING REQUIREMENTS UNDER
SECTION 13(F) OF THE SECURITIES EXCHANGE ACT OF 1934 (THE ACT) AND THE RULES
PROMULGATED THEREUNDER. NHI ITSELF DOES NOT DIRECTLY EXERCISE INVESTMENT
DISCRETION WITH RESPECT TO ANY SECTION 13(F) SECURITIES POSITIONS. IN
THAT NHI'S OWNERSHIP INTEREST IN SUCH OPERATING SUBSIDIARIES IS DEEMED THE
EXERCISE OF INVESTMENT DISCRETION REGARDING CERTAIN OF SUCH SUBSIDIARIES'
MANAGED ACCOUNTS, THE INFORMATION REQUIRED BY FORM 13F IS REPORTED BY NHI
ON BEHALF OF CERTAIN OF NHI'S OPERATING SUBSIDIARIES WHICH ARE INSTITUTIONAL
INVESTMENT MANAGERS SUBJECT TO SECTION 13(F)OF THE ACT.
Nomura Holdings Inc.
--------------------------------------------------------------------------------
Name of Institutional Investment Manager
1-9-1, Nihonbashi, Chuo-ku, Tokyo 103-8011, Japan
--------------------------------------------------------------------------------
Business Address (Street) (City) (State) (Zip)
13F File Number: 001-15270
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, and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
David A. Leibowitz Head of Compliance and Surveillance 212-667-9387
--------------------------------------------------------------------------------
Name (Title) (Phone)
/s/ David A.Leibowitz
------------------------------------------
(Manual Signature of Person Duly
Authorized to Submit This Report)
New York, NY August 1, 2006
------------------------------------------
(Place and Date of Signing)
Report Type:
[ ] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[X] 13F COMBINATION REPORT.
Form 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 4
Form 13F Information Table Entry Total: 1231
Form 13F Information Table Value Total: $13,248,950
(thousands)
List of Other Included Managers:
Name and 13F file numbers of ALL Institutional Investment Managers with respect
to which this schedule is filed (other than the one filing this report): (List
in alphabetical order).
13F File No.: Name:
------------- ---------------------
6. 28-05739 Global Funds Management, S.A.
------------- ---------------------
2. 28-04985 Nomura International plc
------------- ---------------------
4. 28-04993 Nomura Securities (Bermuda)
------------- ---------------------
1. 28-04983 Nomura Securities International, Inc.
------------- ---------------------
1Page 1 06-01-31 16:19:43
FORM 13F
INFORMATION TABLE
QUARTER ENDING
06/30/2006
NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 * ACE LTD G0070K103 12,430 000000245703 SH DEFINED 01 SOLE
* BUNGE LIMITED G16962105 1,241 000000024700 SH DEFINED 01 SOLE
* COOPER INDS LTD G24182100 6,169 000000066396 SH DEFINED 01 SOLE
* EVEREST RE GROUP LTD G3223R108 760 000000008780 SH DEFINED 01 SOLE
* GARMIN LTD G37260109 465 000000004411 SH DEFINED 01 SOLE
* INGERSOLL-RAND COMPANY LTD G4776G101 10,226 000000239049 SH DEFINED 01 SOLE
* MARVELL TECHNOLOGY GRO UP LTD G5876H105 1,790 000000040382 SH DEFINED 01 SOLE
* NABORS INDUSTRIES LTD G6359F103 7,766 000000229852 SH DEFINED 01 SOLE
* NOBLE CORPORATION G65422100 7,298 000000098068 SH DEFINED 01 SOLE
UTI WORLDWIDE INC G87210103 578 000000022943 SH DEFINED 01 SOLE
* TRANSOCEAN INC G90078109 18,670 000000232447 SH DEFINED 01 SOLE
* WEATHERFORD INTERNATIO NAL LT G95089101 12,445 000000250816 SH DEFINED 01 SOLE
* WILLIS GROUP HOLDINGS LTD G96655108 349 000000010900 SH DEFINED 01 SOLE
* XL CAP LTD G98255105 8,327 000000135855 SH DEFINED 01 SOLE
* ALCON INC H01301102 1,064 000000010800 SH DEFINED 01 SOLE
* MILLICOM INTL CELLULAR S A L6388F110 478 000000010527 SH DEFINED 01 SOLE
* CHECK POINT SOFTWARE T ECH LT M22465104 944 000000053652 SH DEFINED 01 SOLE
LIPMAN ELECTRONIC EN GINEERIN M6772H101 3,405 000000120000 SH DEFINED 01 SOLE
* KERZNER INTERNATIONAL LTD P6065Y107 17,964 000000226600 SH DEFINED 01 SOLE
* ROYAL CARIBBEAN CRUISE S LTD V7780T103 225 000000005900 SH DEFINED 01 SOLE
* FLEXTRONICS INTL LTD Y2573F102 788 000000074212 SH DEFINED 01 SOLE
* A D C TELECOMMUNICATIO NS 000886309 1,599 000000094868 SH DEFINED 01 SOLE
* ADE CORP MASS 00089C107 5,685 000000175000 SH DEFINED 01 SOLE
* AFLAC INC 001055102 17,007 000000366940 SH DEFINED 01 SOLE
* AFLAC INC 001055102 231 000000005000 SH DEFINED 01 SOLE
* AGCO CORP 001084102 234 000000008927 SH DEFINED 01 SOLE
* AGL RES INC 001204106 209 000000005486 SH DEFINED 01 SOLE
* AES CORP 00130H105 8,610 000000466714 SH DEFINED 01 SOLE
AMB PROPERTY CORP 00163T109 290 000000005739 SH DEFINED 01 SOLE
* ATI TECHNOLOGIES INC 001941103 368 000000025228 SH DEFINED 01 SOLE
* AT&T INC 00206R102 74,940 000002687014 SH DEFINED 01 SOLE
* ABBOTT LABS 002824100 47,303 000001084690 SH DEFINED 01 SOLE
* ABERCROMBIE & FITCH CO 002896207 351 000000006345 SH DEFINED 01 SOLE
* ABRAXIS BIOSCIENCE INC 00383E106 352 000000014800 SH DEFINED 01 SOLE
ACCESS INTEGRATED TE CHNLGS I 004329108 287 000000029269 SH DEFINED 01 SOLE
* ACTIVISION INC NEW 004930202 938 000000082469 SH DEFINED 01 SOLE
ACTUANT CORP 00508X203 719 000000014400 SH DEFINED 01 SOLE
* ACUITY BRANDS INC 00508Y102 303 000000007800 SH DEFINED 01 SOLE
* ACXIOM CORP 005125109 221 000000008877 SH DEFINED 01 SOLE
ADAPTEC INC 00651FAG3 9,056 000010500000 PRN DEFINED 01 SOLE
* ADESA INC 00686U104 209 000000009402 SH DEFINED 01 SOLE
* ADOBE SYS INC 00724F101 13,923 000000458600 SH DEFINED 01 SOLE
* ADTRAN INC 00738A106 725 000000032348 SH DEFINED 01 SOLE
* ADVANCE AUTO PARTS INC 00751Y106 220 000000007641 SH DEFINED 01 SOLE
* ADVANCED DIGITAL INFOR MATION 007525108 3,177 000000270000 SH DEFINED 01 SOLE
ADVANCED MEDICAL OPT ICS INC 00763MAJ7 5,781 000005000000 PRN DEFINED 01 SOLE
1Page 2 06-08-10 09:07:09
0 FORM 13F
INFORMATION TABLE
QUARTER ENDING
06/30/2006
NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 * ADVANCED MEDICAL OPTIC S INC 00763M108 513 000000010120 SH DEFINED 01 SOLE
* AEROPOSTALE 007865108 278 000000009636 SH DEFINED 01 SOLE
* ADVANCED MICRO DEVICES INC 007903107 9,630 000000394362 SH DEFINED 01 SOLE
* ADVANTA CORP 007942105 4,266 000000130122 SH DEFINED 01 SOLE
* ADVENT SOFTWARE INC 007974108 299 000000008313 SH DEFINED 01 SOLE
* AETNA INC NEW 00817Y108 15,669 000000392421 SH DEFINED 01 SOLE
* AFFILIATED COMPUTER SE RVICES 008190100 10,061 000000194943 SH DEFINED 01 SOLE
* AFFILIATED MANAGERS GR OUP 008252108 364 000000004200 SH DEFINED 01 SOLE
* AFFYMETRIX INC 00826T108 543 000000021213 SH DEFINED 01 SOLE
AGERE SYS INC 00845VAA8 9,887 000010000000 PRN DEFINED 01 SOLE
* AGILENT TECHNOLOGIES I NC 00846U101 12,958 000000410590 SH DEFINED 01 SOLE
* AGNICO EAGLE MINES LTD 008474108 277 000000008400 SH DEFINED 01 SOLE
* AGRIUM INC 008916108 306 000000013200 SH DEFINED 01 SOLE
* AIR PRODS & CHEMS INC 009158106 10,127 000000158440 SH DEFINED 01 SOLE
* AIRGAS INC 009363102 401 000000010782 SH DEFINED 01 SOLE
* AIRTRAN HLDGS INC 00949P108 225 000000015156 SH DEFINED 01 SOLE
* AIRSPAN NETWORKS INC 00950H102 25 000000010604 SH DEFINED 01 SOLE
* AKAMAI TECHNOLOGIES IN C 00971T101 291 000000008055 SH DEFINED 01 SOLE
* ALASKA AIR GROUP INC 011659109 242 000000006150 SH DEFINED 01 SOLE
* ALBEMARLE CORP 012653101 211 000000004422 SH DEFINED 01 SOLE
* ALBERTO CULVER CO 013068101 3,120 000000064059 SH DEFINED 01 SOLE
* ALCAN INC 013716105 276 000000005900 SH DEFINED 01 SOLE
* ALCOA INC 013817101 19,556 000000604337 SH DEFINED 01 SOLE
ALDERWOODS GROUP INC 014383103 973 000000050000 SH DEFINED 01 SOLE
* ALEXANDER & BALDWIN IN C 014482103 738 000000016692 SH DEFINED 01 SOLE
ALLEGHANY CORP DEL 017175100 248 000000000900 SH DEFINED 01 SOLE
* ALLEGHENY ENERGY INC 017361106 4,699 000000126785 SH DEFINED 01 SOLE
* ALLEGHENY TECHNOLOGIES INC 01741R102 4,573 000000066049 SH DEFINED 01 SOLE
* ALLERGAN INC 018490102 11,545 000000107637 SH DEFINED 01 SOLE
* ALLIANCE DATA SYSTEMS CORP 018581108 217 000000003706 SH DEFINED 01 SOLE
* ALLIANT ENERGY CORP 018802108 430 000000012537 SH DEFINED 01 SOLE
* ALLIANT TECHSYSTEMS IN C 018804104 200 000000002623 SH DEFINED 01 SOLE
* ALLIED CAP CORP NEW 01903Q108 201 000000007000 SH DEFINED 01 SOLE
* ALLIED WASTE INDS INC 019589308 2,145 000000188832 SH DEFINED 01 SOLE
* ALLSTATE CORP 020002101 24,282 000000443673 SH DEFINED 01 SOLE
* ALLTEL CORP 020039103 17,791 000000278732 SH DEFINED 01 SOLE
* ALTERA CORP 021441100 6,169 000000351537 SH DEFINED 01 SOLE
* ALTRIA GROUP INC 02209S103 107,744 000001467307 SH DEFINED 01 SOLE
ALTUS PHARMACEUTICAL S INC 02216N105 22,415 000001194236 SH DEFINED 02 SOLE
AMAZON COM INC 023135AF3 9,587 000010000000 PRN DEFINED 01 SOLE
* AMAZON COM INC 023135106 8,983 000000232253 SH DEFINED 01 SOLE
* AMBAC FINL GROUP INC 023139108 6,133 000000075626 SH DEFINED 01 SOLE
* AMEREN CORP 023608102 7,603 000000150564 SH DEFINED 01 SOLE
* AMERICAN EAGLE OUTFITT ERS NE 02553E106 244 000000007169 SH DEFINED 01 SOLE
* AMERICAN ELEC PWR INC 025537101 10,371 000000302815 SH DEFINED 01 SOLE
* AMERICAN EXPRESS CO 025816109 47,362 000000889946 SH DEFINED 01 SOLE
1Page 3 06-08-10 09:07:09
0 FORM 13F
INFORMATION TABLE
QUARTER ENDING
06/30/2006
NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 * AMERICAN FINL GROUP IN C OHIO 025932104 234 000000005458 SH DEFINED 01 SOLE
* AMERICAN INTL GROUP IN C 026874107 105,453 000001785827 SH DEFINED 01 SOLE
* AMERICAN MED SYS HLDGS INC 02744M108 225 000000013533 SH DEFINED 01 SOLE
AMERICAN RETIREMENT CORP 028913101 22,939 000000700000 SH DEFINED 01 SOLE
* AMERICAN PWR CONVERSIO N CORP 029066107 2,644 000000135683 SH DEFINED 01 SOLE
* AMERICAN STD COS INC D EL 029712106 5,400 000000124816 SH DEFINED 01 SOLE
AMERICAN TOWER CORP 029912AF9 4,968 000005000000 PRN DEFINED 01 SOLE
* AMERICAN TOWER CORP 029912201 230 000000007400 SH DEFINED 01 SOLE
* AMERICREDIT CORP 03060R101 376 000000013476 SH DEFINED 01 SOLE
* AMERUS GROUP CO 03072M108 1,072 000000018314 SH DEFINED 01 SOLE
* AMERISOURCEBERGEN CORP 03073E105 6,566 000000156632 SH DEFINED 01 SOLE
* AMERIPRISE FINL INC 03076C106 8,072 000000180709 SH DEFINED 01 SOLE
* AMETEK INC NEW 031100100 315 000000006649 SH DEFINED 01 SOLE
* AMGEN INC 031162100 55,785 000000855218 SH DEFINED 01 SOLE
* AMPHENOL CORP NEW 032095101 212 000000003789 SH DEFINED 01 SOLE
* AMSOUTH BANCORPORATION 032165102 6,564 000000248173 SH DEFINED 01 SOLE
* AMYLIN PHARMACEUTICALS INC 032346108 279 000000005669 SH DEFINED 01 SOLE
* ANADARKO PETE CORP 032511107 19,129 000000401127 SH DEFINED 01 SOLE
* ANALOG DEVICES INC 032654105 9,575 000000297922 SH DEFINED 01 SOLE
ANALOGIC CORP 032657207 230 000000004949 SH DEFINED 01 SOLE
* ANDREW CORP 034425108 1,287 000000145361 SH DEFINED 01 SOLE
* ANDRX CORP DEL 034553107 637 000000027500 SH DEFINED 01 SOLE
* ANHEUSER BUSCH COS INC 035229103 25,330 000000555606 SH DEFINED 01 SOLE
* ANIXTER INTL INC 035290105 232 000000004900 SH DEFINED 01 SOLE
* ANNTAYLOR STORES CORP 036115103 426 000000009833 SH DEFINED 01 SOLE
* AON CORP 037389103 7,863 000000225829 SH DEFINED 01 SOLE
* APACHE CORP 037411105 18,078 000000264887 SH DEFINED 01 SOLE
* APARTMENT INVT & MGMT CO 03748R101 3,572 000000082216 SH DEFINED 01 SOLE
* APOLLO GROUP INC 037604105 5,694 000000110207 SH DEFINED 01 SOLE
* APPLE COMPUTER INC 037833100 35,508 000000620026 SH DEFINED 01 SOLE
* APPLE COMPUTER INC 037833100 755 000000013200 SH DEFINED 04 SOLE
* APPLEBEES INTL INC 037899101 618 000000032192 SH DEFINED 01 SOLE
APRIA HEALTHCARE GRO UP INC 037933AB4 8,930 000009500000 PRN DEFINED 01 SOLE
* APRIA HEALTHCARE GROUP INC 037933108 441 000000023381 SH DEFINED 01 SOLE
* APPLERA CORP 038020103 4,283 000000132396 SH DEFINED 01 SOLE
* APPLIED FILMS CORP 038197109 4,273 000000150000 SH DEFINED 01 SOLE
* APPLIED MICRO CIRCUITS CORP 03822W109 116 000000042587 SH DEFINED 01 SOLE
* APPLIED MATLS INC 038222105 18,412 000001130981 SH DEFINED 01 SOLE
* AQUA AMERICA INC 03836W103 410 000000017998 SH DEFINED 01 SOLE
* AQUILA INC 03840P102 210 000000049953 SH DEFINED 01 SOLE
* ARAMARK CORP 038521100 1,821 000000055000 SH DEFINED 01 SOLE
* ARBITRON INC 03875Q108 283 000000007400 SH DEFINED 01 SOLE
* ARCH COAL INC 039380100 514 000000012140 SH DEFINED 01 SOLE
* ARCHER DANIELS MIDLAND CO 039483102 18,427 000000446394 SH DEFINED 01 SOLE
* ARCHSTONE SMITH TR 039583109 7,701 000000151386 SH DEFINED 01 SOLE
* ARIAD PHARMACEUTICALS INC 04033A100 68 000000015271 SH DEFINED 01 SOLE
1Page 4 06-08-10 09:07:09
0 FORM 13F
INFORMATION TABLE
QUARTER ENDING
06/30/2006
NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 * ARMOR HOLDINGS INC 042260109 334 000000006100 SH DEFINED 01 SOLE
* ARROW ELECTRS INC 042735100 889 000000027638 SH DEFINED 01 SOLE
* ARVINMERITOR INC 043353101 287 000000016700 SH DEFINED 01 SOLE
* ASHLAND INC NEW 044209104 3,541 000000053096 SH DEFINED 01 SOLE
* ASSOCIATED BANC CORP 045487105 814 000000025819 SH DEFINED 01 SOLE
* ASTORIA FINL CORP 046265104 253 000000008312 SH DEFINED 01 SOLE
* ATMEL CORP 049513104 241 000000043447 SH DEFINED 01 SOLE
* ATMEL CORP 049513104 111 000000022100 SH DEFINED 06 SOLE
* AUTODESK INC 052769106 7,734 000000224461 SH DEFINED 01 SOLE
* AUTOMATIC DATA PROCESS ING IN 053015103 18,363 000000404937 SH DEFINED 01 SOLE
* AUTONATION INC 05329W102 2,296 000000107121 SH DEFINED 01 SOLE
* AUTOZONE INC 053332102 4,062 000000046055 SH DEFINED 01 SOLE
* AVAYA INC 053499109 3,287 000000287881 SH DEFINED 01 SOLE
* AVERY DENNISON CORP 053611109 5,088 000000087634 SH DEFINED 01 SOLE
* AVIALL INC NEW 05366B102 19,483 000000410000 SH DEFINED 01 SOLE
* AVID TECHNOLOGY INC 05367P100 339 000000010199 SH DEFINED 01 SOLE
AVNET INC 053807AL7 6,984 000007500000 PRN DEFINED 01 SOLE
* AVNET INC 053807103 832 000000041569 SH DEFINED 01 SOLE
* AVOCENT CORP 053893103 236 000000009006 SH DEFINED 01 SOLE
* AVON PRODS INC 054303102 11,286 000000364081 SH DEFINED 01 SOLE
* AZTAR CORP 054802103 10,392 000000200000 SH DEFINED 01 SOLE
AXCAN PHARMA INC 054923AB3 2,596 000002500000 PRN DEFINED 01 SOLE
* BB&T CORP 054937107 16,851 000000405182 SH DEFINED 01 SOLE
BHP BILLITON PLC 05545E209 18,814 000000480459 SH DEFINED 01 SOLE
* BISYS GROUP INC 055472104 239 000000017467 SH DEFINED 01 SOLE
* BJS WHOLESALE CLUB INC 05548J106 874 000000030834 SH DEFINED 01 SOLE
* BJ SVCS CO 055482103 8,626 000000231527 SH DEFINED 01 SOLE
* BP PLC 055622104 264 000000003800 SH DEFINED 01 SOLE
* BMC SOFTWARE INC 055921100 3,621 000000151528 SH DEFINED 01 SOLE
* BAKER HUGHES INC 057224107 20,707 000000252996 SH DEFINED 01 SOLE
* BALL CORP 058498106 2,983 000000080542 SH DEFINED 01 SOLE
* BANDAG INC 059815100 249 000000006820 SH DEFINED 01 SOLE
* BANK OF AMERICA CORPOR ATION 060505104 149,012 000003097964 SH DEFINED 01 SOLE
* BANK HAWAII CORP 062540109 573 000000011566 SH DEFINED 01 SOLE
* BANK NEW YORK INC 064057102 21,711 000000674262 SH DEFINED 01 SOLE
* BANKRATE INC 06646V108 203 000000005390 SH DEFINED 01 SOLE
* BANTA CORP 066821109 277 000000005995 SH DEFINED 01 SOLE
* BARD C R INC 067383109 5,425 000000074061 SH DEFINED 01 SOLE
* BARNES & NOBLE INC 067774109 378 000000010377 SH DEFINED 01 SOLE
* BARR PHARMACEUTICALS I NC 068306109 4,420 000000092692 SH DEFINED 01 SOLE
* BAUSCH & LOMB INC 071707103 2,028 000000041362 SH DEFINED 01 SOLE
* BAXTER INTL INC 071813109 17,002 000000462536 SH DEFINED 01 SOLE
* BEA SYS INC 073325102 247 000000018870 SH DEFINED 01 SOLE
* BEAR STEARNS COS INC 073902108 12,030 000000085886 SH DEFINED 01 SOLE
* BEARINGPOINT INC 074002106 251 000000030100 SH DEFINED 01 SOLE
* BEAZER HOMES USA INC 07556Q105 283 000000006185 SH DEFINED 01 SOLE
1Page 5 06-08-10 09:07:09
0 FORM 13F
INFORMATION TABLE
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06/30/2006
NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 * BECKMAN COULTER INC 075811109 213 000000003841 SH DEFINED 01 SOLE
* BECTON DICKINSON & CO 075887109 10,558 000000172726 SH DEFINED 01 SOLE
* BED BATH & BEYOND INC 075896100 8,738 000000263449 SH DEFINED 01 SOLE
* BELLSOUTH CORP 079860102 100,129 000002766002 SH DEFINED 01 SOLE
* BELO CORP 080555105 504 000000032369 SH DEFINED 01 SOLE
* BEMIS INC 081437105 2,461 000000080399 SH DEFINED 01 SOLE
* BERKLEY W R CORP 084423102 452 000000013265 SH DEFINED 01 SOLE
* BEST BUY INC 086516101 15,133 000000275961 SH DEFINED 01 SOLE
* BHP BILLITON LTD 088606108 202 000000004900 SH DEFINED 01 SOLE
* BIG LOTS INC 089302103 1,490 000000087282 SH DEFINED 01 SOLE
BIOMARIN PHARMACEUTI CAL INC 09061GAB7 14,842 000014035000 PRN DEFINED 01 SOLE
* BIOMET INC 090613100 6,936 000000221674 SH DEFINED 01 SOLE
* BIOGEN IDEC INC 09062X103 12,046 000000260075 SH DEFINED 01 SOLE
* BIOTECH HOLDERS TR 09067D201 137,372 000000778400 SH DEFINED 01 SOLE
* BIOVAIL CORP 09067J109 311 000000013300 SH DEFINED 01 SOLE
* BLACK & DECKER CORP 091797100 5,258 000000062265 SH DEFINED 01 SOLE
* BLACK BOX CORP DEL 091826107 372 000000009731 SH DEFINED 01 SOLE
* BLACK HILLS CORP 092113109 237 000000006911 SH DEFINED 01 SOLE
* BLOCK H & R INC 093671105 5,597 000000234589 SH DEFINED 01 SOLE
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* BOB EVANS FARMS INC 096761101 250 000000008356 SH DEFINED 01 SOLE
* BOEING CO 097023105 45,763 000000558699 SH DEFINED 01 SOLE
* BORDERS GROUP INC 099709107 571 000000030964 SH DEFINED 01 SOLE
* BORG WARNER INC 099724106 241 000000003715 SH DEFINED 01 SOLE
* BOSTON PROPERTIES INC 101121101 5,783 000000063981 SH DEFINED 01 SOLE
* BOSTON SCIENTIFIC CORP 101137107 16,074 000000954556 SH DEFINED 01 SOLE
* BOWATER INC 102183100 226 000000009978 SH DEFINED 01 SOLE
* BOYD GAMING CORP 103304101 931 000000023087 SH DEFINED 01 SOLE
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* BRIGGS & STRATTON CORP 109043109 516 000000016600 SH DEFINED 01 SOLE
* BRIGHTPOINT INC 109473405 322 000000023915 SH DEFINED 01 SOLE
* BRINKER INTL INC 109641100 354 000000009757 SH DEFINED 01 SOLE
* BRINKS CO 109696104 286 000000005079 SH DEFINED 01 SOLE
* BRISTOL MYERS SQUIBB C O 110122108 35,814 000001384925 SH DEFINED 01 SOLE
* BROADBAND HOLDRS TR 11130P104 9,280 000000548800 SH DEFINED 01 SOLE
* BROADCOM CORP 111320107 10,623 000000350266 SH DEFINED 01 SOLE
* BROWN & BROWN INC 115236101 224 000000007676 SH DEFINED 01 SOLE
* BROWN FORMAN CORP 115637209 5,714 000000079975 SH DEFINED 01 SOLE
* BRUNSWICK CORP 117043109 3,132 000000094215 SH DEFINED 01 SOLE
* BURLINGTON NORTHN SANT A FE C 12189T104 20,033 000000252785 SH DEFINED 01 SOLE
* CBRL GROUP INC 12489V106 533 000000015718 SH DEFINED 01 SOLE
* C D W CORP 12512N105 552 000000010116 SH DEFINED 01 SOLE
* C H ROBINSON WORLDWIDE INC 12541W209 2,525 000000047375 SH DEFINED 01 SOLE
* CIGNA CORP 125509109 8,936 000000090712 SH DEFINED 01 SOLE
* CIT GROUP INC 125581108 7,404 000000141599 SH DEFINED 01 SOLE
* CMS ENERGY CORP 125896100 2,075 000000160404 SH DEFINED 01 SOLE
1Page 6 06-08-10 09:07:09
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06/30/2006
NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 CPI INTERNATIONAL IN C 12618M100 507 000000035000 SH DEFINED 01 SOLE
* CSG SYS INTL INC 126349109 251 000000010147 SH DEFINED 01 SOLE
* CSX CORP 126408103 11,240 000000159571 SH DEFINED 01 SOLE
* CVS CORP 126650100 17,293 000000563320 SH DEFINED 01 SOLE
CV THERAPEUTICS INC 126667AD6 8,125 000010000000 PRN DEFINED 01 SOLE
* CV THERAPEUTICS INC 126667104 388 000000027812 SH DEFINED 01 SOLE
* CA INC 12673P105 7,651 000000372332 SH DEFINED 01 SOLE
* CABOT CORP 127055101 216 000000006275 SH DEFINED 01 SOLE
* CABOT MICROELECTRONICS CORP 12709P103 232 000000007657 SH DEFINED 01 SOLE
* CADENCE DESIGN SYSTEM INC 127387108 906 000000052931 SH DEFINED 01 SOLE
* CALLAWAY GOLF CO 131193104 471 000000036328 SH DEFINED 01 SOLE
* CAMERON INTERNATIONAL CORP 13342B105 1,083 000000022686 SH DEFINED 01 SOLE
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OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 * INTUIT 461202103 7,735 000000127776 SH DEFINED 01 SOLE
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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06/30/2006
NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 * PHELPS DODGE CORP 717265102 12,023 000000146343 SH DEFINED 01 SOLE
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 * RSA SEC INC 749719100 306 000000011296 SH DEFINED 01 SOLE
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OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
0 * SILICON LABORATORIES I NC 826919102 343 000000009768 SH DEFINED 01 SOLE
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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1Page 25 06-08-10 09:07:09
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QUARTER ENDING
06/30/2006
NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
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1Page 26 06-08-10 09:07:09
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
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NAME OF ISSUER TITLE CUSIP VALUE SHARES SH PUT INVSTMT OTHER VOTING AUTHORITY
OF CLASS X1000 PRN AMT PRN CALL DSCRETN MANAGERS
------------------------------ ---------- --------- ---------- ------------ --- ---- ------- -------- ----------------
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