-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GzY6shJa6ZqA+/c4skYohMamdCZKy0ZMs+6/wy1Ae828zt5BvHF7V3HtAnjTinyZ ZhOctxCJUYP1AYTYqgnSUw== 0000929638-05-000064.txt : 20050304 0000929638-05-000064.hdr.sgml : 20050304 20050304142230 ACCESSION NUMBER: 0000929638-05-000064 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20041231 FILED AS OF DATE: 20050304 DATE AS OF CHANGE: 20050304 EFFECTIVENESS DATE: 20050304 FILER: COMPANY DATA: COMPANY CONFORMED NAME: F&C Asset Management plc CENTRAL INDEX KEY: 0001319184 IRS NUMBER: 000000000 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11312 FILM NUMBER: 05660823 BUSINESS ADDRESS: STREET 1: 80 GEORGE STREET CITY: EDINBURGH STATE: X0 ZIP: EH2 3BU BUSINESS PHONE: 00 44 131 465 1000 MAIL ADDRESS: STREET 1: 80 GEORGE STREET CITY: EDINBURGH STATE: X0 ZIP: EH2 3BU 13F-HR 1 fandc31dec04.txt HOLDINGS REPORT 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, 2004 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: F&C Asset Management plc Address: 80 George Street Edinburgh EH2 3BU, United Kingdom Form 13F File Number: _______________ 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: Marrack Tonkin Title: Company Secretary Phone: 0131 465 1000 Signature, Place, and Date of Signing: /s/ Marrack Tonkin Edinburgh, UK March 4, 2005 - ------------------------- ------------------------ -------------- [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: None Form 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: None Form 13F Information Table Entry Total: 716 Form 13F Information Table Value Total: $11,947,274 (thousands) 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.
FORM 13F INFORMATION TABLE 1 of 2 Name of Reporting Manager: MDT Advisers, Inc. Column 1 Column 2 Column 3 Column 4 Column 5 Column 6 Column 7 Column 8 Title of CUSIP Value Amount and Investment Other Voting Authority Name of Issuer Class Number ($1,000) Type of Security Discretion Managers (Shares) Shares or Principal SH/ PUT/ Amount PRN CALL Sole Shared None ENCANA NPV 292505104 2,990 43,670 sole 43,670 SUN LIFE FINANCIAL NPV 866796105 1,123 27,950 SH sole 27,950 AVAYA USD0.01 053499109 2,009 116,790 SH sole 116,790 0% 06/07/2010 ADT NOTES USD1000 000945AC9 3,432 1,767,000 PRN sole 1,767,000 AK STEEL CORP 7.75% 15/06/2012 001546AG5 7,268 7,000,000 PRN sole 7,000,000 AMB PROPERTIES CORPORATION USD0.01 COM STK 00163T109 28,637 709,000 SH sole 709,000 ANR PIPELINE 8.875% 15/03/2010 001814AV4 4,604 4,000,000 PRN sole 4,000,000 TIME WARNER INC 6.75% 15/04/2011 00184AAB1 22,730 20,000,000 PRN sole 20,000,000 TIME WARNER INC 7.7% 01/05/2032 00184AAG0 12,338 10,000,000 PRN sole 10,000,000 AT&T CORP 7.3% 15/11/2011 001957BC2 11,613 10,000,000 PRN sole 10,000,000 ABBOTT LABORATORIES COM STK NPV 002824100 20,859 447,151 SH sole 447,151 ACTUANT CORPORATION USD0.20 CLASS A 00508X203 9,328 178,930 SH sole 178,930 ADVANCED MICRO DEVICES 7.75% 01/11/2012 007903AG2 5,297 5,000,000 PRN sole 5,000,000 LION CONNECTICUT HOLDING 7.75% 17/07/2016 008117AE3 2,315 2,145,000 PRN sole 2,145,000 AETNA INC NEW COM USD0.001 00817Y108 8,865 70,920 SH sole 70,920 USD0.01 CLASS A AFLAC INC COM 008190100 39,486 656,469 SH sole 656,469 AIR PRODUCTS & CHEMICALS INC COM USD1 009158106 18,463 318,539 SH sole 318,539 AIRGAS INC USD0.01 COM 009363102 9,338 352,360 SH sole 352,360 COM STK NPV US ALCAN INC LISTING 013716105 8,475 172,920 SH sole 172,920 ALCOA INC COM STK USD1 013817101 9,444 300,631 SH sole 300,631 ALGOMA STEEL INC 11% 31/12/2009 01566MAB1 5,563 5,000,000 PRN sole 5,000,000 ALLIANCE IMAGING 7.25% 15/12/2012 018606AE3 4,071 4,000,000 PRN sole 4,000,000 2.75% 15/02/2024 ALLIANT TECHSYSTEMS CNV 018804AH7 4,667 5,510,000 PRN sole 5,510,000 ALLIED CAPITAL CORPORATION USD0.0001 COM 01903Q108 8,968 347,180 SH sole 347,180 ALLIED WASTE NORTH AMERICA 6.5% 15/11/2010 01958XBA4 7,031 7,000,000 PRN sole 7,000,000 ALLSTATE CORPORATION COM STK USD0.01 020002101 78,113 1,510,598 SH sole 1,510,598 ALLTEL CORP COM STK USD1 020039103 38,793 660,300 SH sole 660,300 7.75% 17/05/2005 ALLTEL CORP CNV PRF USD50 020039822 7,029 132,900 PRN sole 132,900 ALTRIA GROUP INC USD0.333333 COM 02209S103 58,024 950,425 SH sole 950,425 0% 28/07/2020 ALZA CORPORATION CNV SUB USD 02261WAB5 5,553 7,960,000 PRN sole 7,960,000 AMBAC FINANCIAL USD0.01 023139108 1,174 14,280 SH sole 14,280 ADR EACH REP 20 AMERICA MOVIL SA SHS'L'NPV 02364W105 51,695 987,476 SH sole 987,476 AMERICAN CAPITAL STRATEGIES COM USD0.01 024937104 8,867 265,720 SH sole 265,720 AMER CASINO & ENTERTAIN 7.85% 01/02/2012 02504RAC1 2,190 2,000,000 PRN sole 2,000,000 AMERICAN ELECTRIC POWER INC USD6.50 COM 025537101 1,315 38,240 SH sole 38,240 AMERICAN EXPRESS CO COM USD0.20 025816109 77,753 1,379,570 SH sole 1,379,570 AMERICAN INTERNATIONAL GROUP COM STK USD2.50 026874107 112,055 1,706,595 SH sole 1,706,595 AMERICAN STD COS INC DEL Usd0.01 02971206 1,034 25,000 SH sole 25,000 AMERICAN STANDARD INC 7.375% 01/02/2008 029717AC9 3,384 3,000,000 PRN sole 3,000,000 AMGEN USD0.001 031162100 4,832 75,310 SH sole 75,310 PAGE TOTAL: 710,724 0% CNV 01/03/2032 AMGEN INC USD1000 031162AE0 5,930 11,360,000 PRN sole 11,360,000 ANADARKO PETROLEUM COM USD0.10 032511107 15,752 243,092 SH sole 243,092 ANALOG DEVICES INC. COM STK USD0.1666 032654105 2,326 58,140 SH sole 58,140 ANDREW CORPORATION COM USD0.01 034425108 6,157 451,720 SH sole 451,720 3.25% 15/08/2013 ANDREW CORPORATION REGS CNV 034425AB4 8,066 7,669,400 PRN sole 7,669,400 SPON ORD RUB0.10 TATNEFT ADR LDN QUOTE 03737P306 2,895 99,815 SH sole 99,815 3.5% 15/11/2012 AON CORP CNV REGS 037389AT0 5,392 5,340,000 PRN sole 5,340,000 APACHE CORP USD1.25 037411105 14,314 283,110 SH sole 283,110 APOLLO INVESTMENT CORP NPV 03761U106 8,278 550,000 SH sole 550,000 APPLE COMPUTER COMPANY COM NPV 037833100 743 11,150 SH sole 11,150 APPLERA CORP Com App Bio Grp 038020103 984 47,000 SH sole 47,000 APPLIED MATERIALS INC COM USD0.01 038222105 20,708 1,210,980 SH sole 1,210,980 ARAMARK CORP CLS B USD.01 B Shares 038521100 32,298 1,218,323 SH sole 1,218,323 ARCH WESTERN FINANCE 6.75% 01/07/2013 03939RAC4 5,380 5,000,000 PRN sole 5,000,000 ARCHSTONE SMITH TR USD0.01 039583109 49,567 1,294,190 SH sole 1,294,190 ARDENT HEALTH SERVICES 10% 15/08/2013 03979PAB1 2,185 2,000,000 PRN sole 2,000,000 ARGOSY GAMING 7% 15/01/2014 040228AL2 3,426 3,000,000 PRN sole 3,000,000 ARMOR HOLDINGS 2% 01/11/2024 CNV 042260AC3 5,458 6,000,000 PRN sole 6,000,000 AUTOLIV USD1 052800109 1,604 33,200 SH sole 33,200 AUTOMATIC DATA PROCESSING INC COM STOCK USD0.10 053015103 7,604 171,505 SH sole 171,505 AVERY DENNISON USD1 053611109 5,834 97,180 SH sole 97,180 AVON PRODUCTS INC USD 0.25 COM 054303102 62,038 1,603,451 SH sole 1,603,451 BRE PROPERTIES USD0.01 CLASS A INCORPORATED COM STK 05564E106 15,105 376,300 SH sole 376,300 BALL CORP COM NPV 058498106 16,173 368,070 SH sole 368,070 ADR EACH REP 500 BANCO ITAU SA PREF 059602201 11,994 159,601 SH sole 159,601 ADR REP 1039 COM BANCO SANTANDER NPV 05965X109 339 10,000 SH sole 10,000 ADR (EACH ADR BANCOLOMBIA SA REP 4 PREF SHS) 05968L102 2,930 207,650 SH sole 207,650 COM STOCK USD BANK OF AMERICA CORP 0.01 060505104 113,922 2,426,982 SH sole 2,426,982 BANK OF AMERICA CORP 4.25% 01/10/2010 060505BP8 36,854 36,550,000 PRN sole 36,550,000 BANK OF NEW YORK CO INC COM STK USD7.50 064057102 11,319 338,984 SH sole 338,984 BK OF NOVA SCOTIA NPV 064149107 1,529 37,460 SH sole 37,460 BANK POLSKA KASA OPIEKI GRUPA 1GDR REPS 1 ORD 064451206 6,381 137,610 SH sole 137,610 BANKUNITED USD0.01 COM FINANCIAL CORP CLASS A 06652B103 13,957 436,700 SH sole 436,700 BARD C.R. INC USD0.25 067383109 21,949 343,764 SH sole 343,764 BAUSCH & LOMB INC COM USD0.40 071707103 62,761 973,967 SH sole 973,967 BCP CAYLUX HOLDINGS 9.625% 15/06/2014 07329UAA0 3,410 3,000,000 PRN sole 3,000,000 BEAR STEARNS COMPANIES INC COM USD1 073902108 26,626 260,246 SH sole 260,246 BECTON DICKINSON & CO USD1 COM 075887109 15,338 270,470 SH sole 270,470 BED BATH & BEYOND USD0.01 075896100 1,450 36,400 SH sole 36,400 BELLSOUTH CORP COM STK USD1 079860102 20,064 721,962 SH sole 721,962 BEST BUY COMPANY INC USD0.1 086516101 57,529 968,338 SH sole 968,338 2.25% 15/01/2022 BEST BUY CNV BD REGS 086516AF8 8,168 9,620,000 PRN sole 9,620,000 BEVERLY ENTERPRISES 7.875% 15/06/2014 087851AS0 3,227 3,000,000 PRN sole 3,000,000 BIOGEN IDEC INC USD0.0005 09062X103 11,035 165,520 SH sole 165,520 BOEING CO COM STK USD5 097023105 31,019 599,970 SH sole 599,970 BOISE CASCADE LLC 7.125% 15/10/2014 097395AD9 3,224 3,000,000 PRN sole 3,000,000 BOMBARDIER CAPITAL INC 7.5% 17/10/2005 09774LAE8 5,176 5,000,000 PRN sole 5,000,000 BOSTON PROPERTIES INCORPORATEDUSD0.01 COM STK 101121101 44,450 688,400 SH sole 688,400 BOSTON SCIENTIFIC USD0.01 COM STK 101137107 513 14,500 SH sole 14,500 BRASIL TELECOM SPON ADR REP PARTICIPACOES 5000 PRF NPV 105530109 4,349 114,357 SH sole 114,357 PAGE TOTAL: 817,731 BRAZIL FEDERAL 12% 15/04/2010 REPUBLIC OF USD1000 105756AV2 10,103 8,000,000 PRN sole 8,000,000 BRAZIL FEDERAL REPUBLIC OF FRN 29/06/2009 105756BC3 57,825 48,800,000 PRN sole 48,800,000 BRAZIL FEDERAL REPUBLIC OF 10.5% 14/07/2014 105756BD1 18,561 15,000,000 PRN sole 15,000,000 0% 10/10/2021 BRINKER INTL INC CNV USD1000 109641AC4 6,704 13,000,000 PRN sole 13,000,000 BRISTOL-MYERS SQUIBB CO COM STK USD0.10 110122108 21,696 847,827 SH sole 847,827 BURLINGTON NORTH SANTA FE COR USD0.01 COM 12189T104 18,893 399,590 SH sole 399,590 BURLINGTON RESOURCES INC COM USD0.01 122014103 11,387 261,764 SH sole 261,764 CBL & ASSOCIATES PROPERTIES INUSD0.01 COM STK 124830100 4,946 64,800 SH sole 64,800 CB RICHARD ELLIS A USD0.01 A Shares 12497T101 7,341 219,060 SH sole 219,060 CIGNA CORP COM USD0.25 125509109 20,661 253,320 SH sole 253,320 CIT GROUP USD0.01 COM 125581108 84,591 1,846,561 SH sole 1,846,561 CIT GROUP INC 5.125% 30/09/14 125581AK4 13,913 13,700,000 PRN sole 13,700,000 CIT GROUP INC FRN 19/04/2006 12560PDF5 30,506 30,500,000 PRN sole 30,500,000 CNA SURETY CORPORATION COM STK NPV 12612L108 7,839 589,380 SH sole 589,380 0% CNV CSX CORPORATION 30/10/2021 USD 126408GA5 4,279 5,860,000 PRN sole 5,860,000 CVS CORP USD0.01 126650100 29,077 645,622 SH sole 645,622 CADENCE DESIGN SYSTEMS INC USD 0.01 127387108 10,412 755,100 SH sole 755,100 CALIFORNIA STEEL INDUSTRY 6.125% 15/03/2014 13077QAE3 2,021 2,000,000 PRN sole 2,000,000 CALPINE GENERATING CO FRN 01/04/2009 13135BAA4 5,150 5,000,000 PRN sole 5,000,000 CAMDEN PROPERTY USD0.01 SHS BEN TRUST INT COM STK 133131102 17,248 339,200 SH sole 339,200 CAMPBELL SOUP CO CAP STK USD0.0375 134429109 1,562 51,930 SH sole 51,930 CAPITAL ONE BANK 5% 15/06/2009 14040EHL9 15,479 15,000,000 PRN sole 15,000,000 CAPITAL ONE FINANCIAL CORP USD0.01 14040H105 15,177 180,267 SH sole 180,267 CAPITALSOURCE INC USD0.01 COM 14055X102 11,549 450,070 SH sole 450,070 CARDINAL HEALTH NPV 14149Y108 585 10,240 SH sole 10,240 CAREMARK RX INC USD0.001 COM 141705103 1,277 35,110 SH sole 35,110 COM USD0.01 CARNIVAL CORP PAIRED STOCK 143658300 30,968 537,370 SH sole 537,370 CARRAMERICA REALTY CORP USD0.01 COM STK 144418100 8,713 265,000 SH sole 265,000 CATELLUS DEVELOPMENT CORP USD0.01 COM STOCK 149113102 27,574 902,300 SH sole 902,300 CATERPILLAR INC COM STK USD1 149123101 1,352 13,520 SH sole 13,520 CEMEX SA SPON ADR EACH REP 5 151290889 23,019 632,229 SH sole 632,229 CENDANT CORPORATION USD0.01 151313103 54,588 2,337,779 SH sole 2,337,779 CENTERPOINT PROPERTIES TRUST USD0.001 COM STK 151895109 23,500 490,800 SH sole 490,800 CHAMPION HOME BUILDERS 11.25% 15/04/2007 158501AB2 5,617 5,000,000 PRN sole 5,000,000 CHARTER COMM OPT 8% 30/04/2012 161175AA2 5,291 5,000,000 PRN sole 5,000,000 CHECKERS DRIVE-IN RESTAURANT USD0.001 COM 162809305 9,093 678,600 SH sole 678,600 CHEROKEE INTERNATIONAL CORP USD0.001 164450108 6,795 707,070 SH sole 707,070 CHESAPEAKE ENERGY CORPORATION 7% 15/08/2014 165167BJ5 3,289 3,000,000 PRN sole 3,000,000 CHEVRONTEXACO CORPORATION COM STK USD1.50 166764100 66,822 1,273,532 SH sole 1,273,532 CHINA FINANCE ONLINE ADR 169379104 1,310 120,000 SH sole 120,000 CHIQUITA BRANDS INTL 7.5% 01/11/2014 170032AP1 5,183 5,000,000 PRN sole 5,000,000 CHIRON CORP USD0.01 170040109 6,276 188,300 SH sole 188,300 CHUBB CORP COM STK USD1 171232101 25,898 336,780 SH sole 336,780 CHUNGHWA TELECOM ADR ADR 17133Q205 625 29,700 PRN sole 29,700 CINCINNATI BELL INC 7.25% 15/07/2013 171871AB2 5,329 5,000,000 PRN sole 5,000,000 CINCINNATI FINANCIAL CORP COM STK USD2 172062101 15,113 341,450 SH sole 341,450 CINEMARK USA INC 9% 01/02/2013 172441AN7 4,734 4,000,000 PRN sole 4,000,000 CINGULAR WIRELESS LLC 5.625% 15/12/2006 17248RAC0 5,353 5,146,000 PRN sole 5,146,000 CISCO SYSTEMS COM STK NPV 17275R102 97,119 5,029,419 SH sole 5,029,419 CITIGROUP INC USD0.01 ORD 172967101 192,808 4,003,499 SH sole 4,003,499 5% 15/9/14 USD CITIGROUP INC 144A SUB NTS 172967CP4 19,007 18,691,000 PRN sole 18,691,000 PAGE TOTAL: 1,074,158 CITIGROUP INC 5.85% 11/12/2034 172967CT6 15,939 15,500,000 PRN sole 15,500,000 CITGO PETROLEUM CORP 6% 15/10/2011 17302XAE6 5,107 5,000,000 PRN sole 5,000,000 CITIZENS COM USD0.25 COMMUNICATIONS CLASS B 17453B101 11,151 809,211 SH sole 809,211 CITIZENS COMMUNICATIONS 9.25% 15/05/2011 17453BAB7 3,560 3,000,000 PRN sole 3,000,000 CITIZENS COMMUNICATIONS 9% 15/08/2031 17453BAJ0 5,864 5,000,000 PRN sole 5,000,000 CLEAR CHANNEL COMMUNICATIONS COM STK USD0.10 184502102 657 20,660 SH sole 20,660 COACH INC USD0.01 189754104 6,794 120,500 SH sole 120,500 THE COCA-COLA COMPANY USD0.25 ORD SHS 191216100 36,167 868,961 SH sole 868,961 COGNIZANT TECH SOLUT USD.01 192446102 16,675 393,932 SH sole 393,932 COLGATE-PALMOLIVE CO COM STK USD1 194162103 9,945 194,410 SH sole 194,410 COLOMBIA REPUBLIC OF 8.375% 15/02/27 195325AL9 3,540 3,500,000 PRN sole 3,500,000 COLOMBIA REPUBLIC OF 8.25% 22/12/2014 195325BE4 3,219 3,000,000 PRN sole 3,000,000 CLASS A COM USD1 COMCAST CORPORATION ORD SHS 20030N101 19,716 592,433 SH sole 592,433 SPL A COM USD1 COMCAST CORPORATION ORD SHS 20030N200 1,494 45,337 SH sole 45,337 COMCAST CORP 7.05% 15/03/2033 20030NAC5 13,335 11,460,000 PRN sole 11,460,000 COMCAST CORP 5.5% 15/03/2011 20030NAD3 23,133 21,620,000 PRN sole 21,620,000 COMMUNITY HEALTH SYSTEMS INC USD0.01 203668108 11,477 411,650 SH sole 411,650 SPON ADR REP CEMIG CIA ENERG MG 1000 PF LEVEL 1 204409601 9,966 408,630 SH sole 408,630 COMPANHIA ENERGETICA DE MINA SP ADR N-V PFD 204409601 876 35,800 PRN sole 35,800 CIA BRAZILIERA DE DISTRIBUICAO(PAO DE ACUCAR)ADR-REP1000 PRF 20440T201 39,034 1,548,976 SH sole 1,548,976 COMPANIA VALE DO SPON ADR-EACH RIO DOCE REPR 1 PREF SHS 204412100 12,938 536,392 SH sole 536,392 COMPANIA VALE DO NPV ADR REPR 1 RIO DOCE COM 204412209 30,225 1,041,899 SH sole 1,041,899 CIA SANEAMENTO BASICO SAOPAUL SPONS ADR EACH REPR 250 COM 20441A102 1,783 119,600 SH sole 119,600 COMP BEBIDAS AM ADR ADR 20441W203 5,168 182,500 PRN sole 182,500 COMPANIA DE MINAS BUENAVENTURA-SPON ADR (EACH REP 2'B'SHS) 204448104 3,828 167,600 SH sole 167,600 TELECOMUNICACIONES ADS REP 4 A DE CHILE SHARES 204449300 3,243 289,000 SH sole 289,000 COMPUTER ASSOCIATES INTERN INCCOM STK USD0.10 204912109 110,597 3,561,910 SH sole 3,561,910 COMPUTER ASSOCIATES 5% 15/03/2007 INTL SNR CNV NTS USD 204912AR0 4,224 4,645,000 PRN sole 4,645,000 CONCORD COMMUNICATIONS INC USD0.01 206186108 7,077 637,580 SH sole 637,580 CONNS INC USD0.01 208242107 5,000 297,610 SH sole 297,610 CONOCOPHILLIPS USD1.25 COM 20825C104 19,678 226,704 SH sole 226,704 CONSOLE ENERGY INC 7.875% 01/03/2012 20854PAB5 2,302 2,000,000 PRN sole 2,000,000 CONSOLIDATED NATURAL GAS 5% 01/12/2014 209615CA9 15,056 15,000,000 PRN sole 15,000,000 CORNING INC COM STK USD1 219350105 453 38,530 SH sole 38,530 COSTCO WHOLESALE CORPORATION USD0.01 22160K105 17,662 364,838 SH sole 364,838 COUNTRYWIDE FINANCIAL CORP USD0.05 ORD SHS 222372104 35,124 949,813 SH sole 949,813 COUNTRYWIDE HOME LOAN FRN 17/02/2006 22237LNX6 25,056 25,000,000 PRN sole 25,000,000 COUNTRYWIDE HOME LOAN 4.125% 15/09/2009 22237LPM8 17,633 17,500,000 PRN sole 17,500,000 COUSINS PROPERTIES INC COM STK USD1 222795106 34,790 1,149,320 SH sole 1,149,320 COM STK USD0.33 COX RADIO INC CLASS A 224051102 5,517 335,590 SH sole 335,590 CREDIT SUISSE FB USA INC 4.875% 15/01/2015 22541LAR4 19,786 20,000,000 PRN sole 20,000,000 CROWN CASTLE INTL CORP 10.75% 01/08/2011 228227AJ3 3,403 3,000,000 PRN sole 3,000,000 CROWN CASTLE INTL CORP 7.5% 01/12/2013 228227AW4 3,266 3,000,000 PRN sole 3,000,000 DAVITA USD0.001 23918K108 4,227 107,000 SH sole 107,000 DEERE & CO COM STK USD1 244199105 18,801 252,770 SH sole 252,770 DELHAIZE AMERICA INC 8.125% 15/04/2011 246688AE5 4,751 4,000,000 PRN sole 4,000,000 DELL INC COM USD0.01 24702R101 98,058 2,326,976 SH sole 2,326,976 DENBURY RESOURCES INC USD0.001 247916208 6,744 245,700 SH sole 245,700 DEVELOPERS DIVERSIFIED REALTY NPV 251591103 24,118 543,800 SH sole 543,800 DEVON ENERGY CORPORATION USD0.10 25179M103 44,131 1,134,176 SH sole 1,134,176 PAGE TOTAL: 822,288 DEX MEDIA WEST LLC/FIN 5.875% 15/11/2011 252126AG2 6,739 6,700,000 PRN sole 6,700,000 DIAGNOSTICOS DA ADR REP 3 COMMON AMERICA SA SHARES 25246T206 4,110 154,500 SH sole 154,500 1.25% 01/01/2024 DB DIGITAL RIVER CNV 25388BAA2 7,185 7,500,000 PRN sole 7,500,000 DIRECTV GROUP INC USD 0.01 25459L106 18,658 1,146,147 SH sole 1,146,147 DISNEY WALT CO COM STK USD 0.01 254687106 25,357 912,530 SH sole 912,530 2.125% 15/04/2023 CNV DB WALT DISNEY HLDG SNR NTS 254687AU0 15,104 16,840,000 PRN sole 16,840,000 DISTRIBUCION & ADR (EACH REP 15 SERVICIO ORD SHARES) 254753106 9,707 538,378 SH sole 538,378 EACH REPRESENTS1/2 DR REDDYS LABS INR5 ADR 256135203 1,086 55,000 SH sole 55,000 DOLE FOODS 8.625% 01/05/2009 256605AJ5 5,521 5,000,000 PRN sole 5,000,000 DOMINION RESOURCES VIR COM NPV 25746U109 6,976 102,992 SH sole 102,992 8.75% 15/05/2006 DOMINION RESOURCES CNV 25746U406 2,787 50,500 PRN sole 50,500 2.125% DOMINION RESOURCES 15/12/2023 CNV 25746UAT6 226 220,000 PRN sole 220,000 RR DONNELLEY & SONS CO USD1.25 257867101 661 18,760 SH sole 18,760 DORAL FINANCIAL CORP USD1 25811P100 15,520 315,380 SH sole 315,380 DOW CHEMICALS 260543103 19,491 393,756 SH sole 393,756 DOW JONES CDX HY 10.5% 29/12/2009 26056RAD0 2,057 2,000,000 PRN sole 2,000,000 DRESSER RAND GROUP INC 7.375% 01/11/2014 261608AA1 3,112 3,000,000 PRN sole 3,000,000 DU PONT DE NEMOURS USD0.30 COM 263534109 5,606 114,610 SH sole 114,610 E.I. DU PONT DE NEMOURS 4.125% 30/04/2010 263534BM0 9,065 9,000,000 PRN sole 9,000,000 DUKE ENERGY CORPORATION COM STK NPV 264399106 64,387 2,542,935 SH sole 2,542,935 DUKE REALTY CORPORATION USD0.01 COM STK 264411505 32,506 952,150 SH sole 952,150 DUN & BRADSTREET CORP USD0.01 26483E100 15,811 265,730 SH sole 265,730 DYNERGY HOLDINGS INC FRN 15/07/2008 26816LAH5 3,248 3,000,000 PRN sole 3,000,000 DYNEGY HOLDINGS INC 9.875% 15/07/2010 26816LAL6 3,503 3,000,000 PRN sole 3,000,000 EFES BREWERIES INTL LTD GDR 26843E204 753 25,100 SH sole 25,100 ETRADE 8.0% 15/06/2011 269246AE4 3,250 3,000,000 PRN sole 3,000,000 EATON CORP USD0.5 278058102 763 10,550 SH sole 10,550 EBAY INC USD0.001 COM 278642103 71,216 612,240 SH sole 612,240 ECHOSTAR DBS CORP 5.75% 01/10/2008 27876GAN8 6,190 6,000,000 PRN sole 6,000,000 ECOLAB INC COM STK USD1 278865100 24,598 701,707 SH sole 701,707 ADR-EACH CNV ELAN CORPORATION PLC INTO 1 ORDEUR0.05 284131208 30,938 1,135,763 SH sole 1,135,763 EMERSON ELECTRIC CO COM STK USD1 291011104 16,030 228,732 SH sole 228,732 ENCANA CORPORATION 6.5% 15/08/2034 292505AD6 33,765 30,000,000 PRN sole 30,000,000 ENBRIDGE NPV 29250N105 1,619 27,120 SH sole 27,120 ENERGIZER HOLDINGS USD0.01 COM 29266R108 17,406 350,580 SH sole 350,580 SPONS ADR REP 50 ENERSIS SA COM NPV 29274F104 11,881 1,401,100 SH sole 1,401,100 ENTERGY CORP COM STK USD0.01 29364G103 977 14,450 SH sole 14,450 EQUIFAX INC COM USD1.25 294429105 21,901 779,400 SH sole 779,400 EQUITY OFFICE PROPERTIES TRUSTUSD 0.01 COM STK 294741103 23,252 798,500 SH sole 798,500 USD0.01 SHS OF EQUITY RESIDENTIAL BENEFICIAL INT 29476L107 16,447 454,600 SH sole 454,600 EUROPEAN BANK RECON & DEV 0% 12/05/2005 29874QAZ7 2,753 3,000,000 PRN sole 3,000,000 EXELON CORPORATION NPV COM 30161N101 15,316 347,704 SH sole 347,704 EXPORT IMPORT BANK KOREA 4.5% 12/08/2009 302154AK5 8,186 8,000,000 PRN sole 8,000,000 EXXON MOBIL CORP NPV 30231G102 249,608 4,870,386 SH sole 4,870,386 FMC TECHNOLOGIES INC I SHS 30249U101 5,716 177,560 SH sole 177,560 FPL GROUP INC COM STK USD0.01 302571104 1,287 17,194 SH sole 17,194 FAIRFAX FINANCIAL HLDGS 7.75% 26/04/2012 303901AN2 1,059 1,000,000 PRN sole 1,000,000 FREDDIE MAC COM USD0.21 313400301 35,064 475,954 SH sole 475,954 FEDERAL NATIONAL MORT ASSOC NPV 313586109 72,565 1,019,180 SH sole 1,019,180 FEDERATED DEPARTMENT STORE COM USD0.01 31410H101 32,740 566,923 SH sole 566,923 PAGE TOTAL: 983,702 FEDEX CORPORATION USD 0.10 COM 31428X106 15,597 158,490 SH sole 158,490 FIFTH THIRD BANCORP NPV COM 316773100 566 12,043 SH sole 12,043 FINLAY FINE JEWELRY CORP 8.375% 01/06/2012 317887AD9 2,183 2,000,000 PRN sole 2,000,000 FIRST DATA CORP COM STK USD0.01 319963104 29,264 688,083 SH sole 688,083 FIRSTCITY FINANCIAL USD0.01 33761X107 944 94,250 SH sole 94,250 FIRSTENERGY CORP USD0.1 337932107 471 11,920 SH sole 11,920 FIRST ENERGY CORP 7.375% 15/11/31 337932AC1 17,278 15,000,000 PRN sole 15,000,000 FISHER SCIENTIFIC INTL USD 0.01 338032204 52,879 848,110 SH sole 848,110 FISHER SCIENTIFIC INTL 6.75% 15/08/2014 338032AY1 2,210 2,000,000 PRN sole 2,000,000 FLUOR CORPORATION USD0.01 343412102 4,317 79,190 SH sole 79,190 FOMENTO ECONOMICO MEXICANO S SPON ADR UNITS 344419106 542 10,300 PRN sole 10,300 FORD MOTOR COMPANY USD0.01 COM STOCK 345370860 234 15,890 SH sole 15,890 7.45% 16/07/2031 FORD MOTOR CO USD1000 345370CA6 15,319 14,875,000 PRN sole 14,875,000 FOREST OIL CORPORATION COM STK USDO.01 346091705 6,334 200,070 SH sole 200,070 FOUNDATION PA COAL 7.25% 01/08/2014 CO 144A 350472AA4 2,200 2,000,000 PRN sole 2,000,000 FRANKLIN RESOURCES USD.1 354613101 1,263 18,110 SH sole 18,110 FREDS INC NPV CLASS A 356108100 13,187 758,328 SH sole 758,328 FREEPORT-MCMORAN USD0.10 CLASS B COPPER&GOLD COM 35671D857 5,457 142,790 SH sole 142,790 FREESCALE USD0.01 COM STK SEMICONDUCTOR CLASS B 35687M206 1,885 102,909 SH sole 102,909 FREESCALE SEMI B SHS USD0.01 B Shs 35687M206 265 14,436 SH sole 14,436 FREESCALE SEMICONDUCTOR 7.125% 15/07/2014 35687MAF4 3,349 3,000,000 PRN sole 3,000,000 FRIEDMAN BILLINGS RAMSAY A USD0.01 358434108 245 12,660 SH sole 12,660 FURNITURE BRANDS INTL INC COM USD1 360921100 8,043 321,080 SH sole 321,080 ARTHUR J GALLAGHER & CO COM STK USD1 363576109 5,765 177,820 SH sole 177,820 GANNETT USD1 364730101 6,547 80,076 SH sole 80,076 GAP INC USD0.05 364760108 15,992 757,220 SH sole 757,220 GAYLORD ENTERTAINMENT CO 6.75% 15/11/2014 367905AC0 2,031 2,000,000 PRN sole 2,000,000 GENERAL DYNAMICS COPORATION COM USD1 369550108 12,180 116,460 SH sole 116,460 GENERAL ELECTRIC COMMON STOCK (US) USD0.16 369604103 216,364 5,929,400 SH sole 5,929,400 GENERAL GROWTH PROPERTIES USD0.10 COM STK 370021107 25,828 712,680 SH sole 712,680 GENERAL MILLS 0% 28/10/2022 370334AU8 5,229 10,666,550 PRN sole 10,666,550 GENL MOTORS ACCEPT CORP 6.875% 28/08/2012 370425SE1 58,276 55,960,000 PRN sole 55,960,000 DB GENERAL MOTORS 4.5% 0603/2032 CORP CNV PRF SER A 370442741 6,320 7,850,000 PRN sole 7,850,000 GENESEE & WYOMING INC USD0.01 CL A COM 371559105 7,386 263,700 SH sole 263,700 GENESIS HEALTHCARE CORP COM USD0.01 37184D101 8,365 240,035 SH sole 240,035 DB GENWORTH 6% 16/05/2007 FINANCIAL INC CNV BD 37247D304 6,274 193,100 PRN sole 193,100 GEORGIA PACIFIC CP USD0.80 373298108 16,651 444,380 SH sole 444,380 GEORGIA PACIFIC 8.125% 15/05/2011 373298BV9 8,156 7,000,000 PRN sole 7,000,000 GILEAD SCIENCES INC USD0.001 375558103 51,227 1,463,690 SH sole 1,463,690 GILLETTE CO COM STK USD1 375766102 60,388 1,349,160 SH sole 1,349,160 GOLDEN WEST FINANCIA USD0.10 381317106 680 11,060 SH sole 11,060 GOLDMAN SACHS GROUP INC USD0.01 38141G104 43,675 419,818 SH sole 419,818 GOLDMAN SACHS GROUP LP 5% 01/10/2014 38143UAW1 35,305 35,000,000 PRN sole 35,000,000 GOODRICH CORPORATION USD5 COM 382388106 12,550 384,980 SH sole 384,980 GRAHAM PACKAGING CO 9.875% 15/10/2014 38470RAB7 5,476 5,000,000 PRN sole 5,000,000 GRAINGER W.W INC USD0.50 COM 384802104 20,017 300,690 SH sole 300,690 GRANITE MORTGAGES FRN 20/07/2043 2 PLC 1B 38741QAD8 303 300,000 PRN sole 300,000 GRAPHIC PACKAGING INTL 9.5% 15/08/2013 38869PAD6 3,534 3,000,000 PRN sole 3,000,000 SPON ADR REP 20 GRUPO TELEVISA SA ORD PTG CERTS 40049J206 25,297 418,337 SH sole 418,337 GRUPO TELEVISA SA DE CV SP ADR REP ORD 40049J206 757 12,514 PRN sole 12,514 GTECH HOLDINGS USD.01 400518106 3,593 138,600 SH sole 138,600 PAGE TOTAL: 848,195 GUIDANT CORP COM STK NPV 401698105 1,099 16,480 SH sole 16,480 GULFMARK OFFSHORE INC 7.75% 15/07/2014 402629AC3 1,094 1,000,000 PRN sole 1,000,000 HCA INC 7.875% 01/02/2011 404119AC3 6,813 6,000,000 PRN sole 6,000,000 HCC INSURANCE HOLDINGS INC USD1 404132102 9,258 279,520 SH sole 279,520 DB HCC INSURANCE HOLDINGS 2% 01/09/2021 CNV 404132AC6 6,907 7,570,000 PRN sole 7,570,000 8.875% CNV FRF HSBC BANK CANADA 15/11/05 40429C409 16,490 352,350 PRN sole 352,350 HAIN CELESTIAL USD0.01 405217100 1,240 60,000 SH sole 60,000 HALLIBURTON CO COM STK USD2.50 406216101 58,211 1,484,259 SH sole 1,484,259 HARLEY-DAVIDSON USD0.01 412822108 1,782 29,328 SH sole 29,328 HARTE-HANKS INC USD1 COM STK 416196103 7,965 306,940 SH sole 306,940 HARTFORD FINANCIAL SERVICES USD0.01 COM STK 416515104 1,328 18,975 SH sole 18,975 HARVARD BIOSCIENCE INC COM USD0.01 416906105 5,680 1,226,708 SH sole 1,226,708 HARVEST NATURAL RESOURCES INC USD0.01 COM 41754V103 8,263 480,430 SH sole 480,430 HASBRO INC COM USD0.50 418056107 15,920 821,463 SH sole 821,463 HEALTHSOUTH CORP 6.875% 15/06/2005 421924AJ0 8,113 8,000,000 PRN sole 8,000,000 DO HEALTH 1.5% 01/08/2023 MANAGEMENT ASSOC CNV 421933AF9 2,760 2,775,000 PRN sole 2,775,000 HEALTHTRONICS INC COM NPV 42222L107 6,719 630,870 SH sole 630,870 HJ HEINZ CO USD0.25 423074103 26,542 663,560 SH sole 663,560 HERBST GAMING 8.125% 01/06/2012 42703XAE9 2,867 2,663,410 PRN sole 2,663,410 HERSHEY FOODS USD1 427866108 31,980 575,802 SH sole 575,802 HERTZ CORP 6.35% 15/06/2010 428040BU2 17,269 16,727,000 PRN sole 16,727,000 HERTZ CORP FRN 05/08/2008 428040BV0 8,995 9,000,000 PRN sole 9,000,000 HEWLETT PACKARD CO COM USD0.01 428236103 27,976 1,334,748 SH sole 1,334,748 HILTON HOTELS 7.625% 01/12/2012 432848AX7 4,709 4,000,000 PRN sole 4,000,000 HOME DEPOT INC COM STK USD0.05 437076102 18,017 421,570 SH sole 421,570 HONEYWELL INTL INC COM STK USD1.00 438516106 62,026 1,752,135 SH sole 1,752,135 HOST MARRIOTT CORPORATION USD1 COM STK 44107P104 6,227 360,800 SH sole 360,800 HOUSEHOLD FINANCE CORP 4.125% 16/11/2009 441812KH6 17,981 18,000,000 PRN sole 18,000,000 K. HOVNANIAN ENTERPRISES 6.375% 15/12/2014 442488AS1 4,021 4,000,000 PRN sole 4,000,000 11.675% HUNTSMAN LLC 15/10/2010 44701RAE0 8,483 7,000,000 PRN sole 7,000,000 IMS HEALTH INC USD0.01 COM 449934108 1,476 63,611 SH sole 63,611 IASIS HEALTHCARE 8.75% 15/06/2014 45072PAB8 6,562 6,000,000 PRN sole 6,000,000 ITT INDUSTRIES USD1 450911102 3,397 40,230 SH sole 40,230 ADR EACH 1 REP 1 ICON PLC SHR SPON 45103T107 460 12,000 SH sole 12,000 ADR REP 2 ORD ICICI BANK INR10 SPON 45104G104 20,893 1,039,940 SH sole 1,039,940 FRN 10/09/2034 ICONS LTD 1A A 45104SAA6 5,000 5,000,000 PRN sole 5,000,000 ILLINOIS TOOL WORKS INC COM STK NPV 452308109 56,471 609,502 SH sole 609,502 0% 29/03/2021 DB INCO LTD LYON CNV USD1000 453258AM7 5,284 6,600,000 PRN sole 6,600,000 INERGY LP / INERGY FIN 6.875% 15/12/2014 45661TAA9 3,020 3,000,000 PRN sole 3,000,000 INFOSYS TECHNOLOGIES LIMITED ADR 456788108 10,358 149,471 SH sole 149,471 INMARSAT FINANCE PLC 7.625% 30/06/2012 45763PAB2 9,632 9,000,000 PRN sole 9,000,000 INSIGHT COMMUNICATIONS CO USD0.01 45768V108 7,322 791,550 SH sole 791,550 INTEL CORP COM STK USD0.001 458140100 110,146 4,705,069 SH sole 4,705,069 INTEGRATED ALARM SERVICES 12% 15/11/2011 45890MAB5 5,323 5,000,000 PRN sole 5,000,000 INTL BUSINESS MACHINES CORP CAP STK USD0.50 459200101 173,510 1,761,354 SH sole 1,761,354 INTERNATIONAL PAPER CO COM USD1 460146103 18,894 450,171 SH sole 450,171 DB INTERNATIONAL 0% 20/06/2021 PAPER CO CNV USD1000 460146BM4 3,409 7,080,000 PRN sole 7,080,000 INVITROGEN CORP COM USD0.01 46185R100 10,193 151,710 SH sole 151,710 DB INVITROGEN 2% 01/08/2023 CNV 46185RAJ9 5,571 5,700,000 PRN sole 5,700,000 IONA TECHNOLOGIES ADS REP 1 ORD PLC EUR0.0025 46206P109 1,878 371,787 SH sole 371,787 PAGE TOTAL: 855,535 IRON MOUNTAIN INC USD0.01 462846106 6,487 213,376 SH sole 213,376 IRON MOUNTAIN 8.625% 01/04/2013 462846AA4 6,533 6,000,000 PRN sole 6,000,000 MCSI TAIWAN ISHARES INC INDEX FUND 464286731 399 33,105 SH sole 33,105 ISHARES MSCI MALAYSIA MALAYSIAN INDEX 464286830 2,823 397,673 SH sole 397,673 ISHARES TRUST S&P 500 464287200 78,784 650,300 SH sole 650,300 JPMORGAN CHASE & CO USD1 46625H100 36,493 935,481 SH sole 935,481 JP MORGAN CHASE & CO 5.125% 15/09/2014 46625HBV1 15,300 15,000,000 PRN sole 15,000,000 JABIL CIRCUIT USD.001 466313103 1,759 68,740 SH sole 68,740 JEAN COUTU GROUP 8.5% 01/08/2014 PJC INC 144A 47215QAA2 6,393 6,000,000 PRN sole 6,000,000 JOHNSON & JOHNSON USD1 478160104 203,532 3,209,275 SH sole 3,209,275 JOHNSON CONTROLS USD0.167 478366107 950 14,980 SH sole 14,980 JONES LANG LASALLE INC USD0.01 48020Q107 6,956 186,250 SH sole 186,250 JOSTENS IH CORP 7.675% 01/10/2012 481087AA2 5,317 5,000,000 PRN sole 5,000,000 ADR REP 0.5 ORD KT CORPORATION KRW5000 48268K101 5,952 273,900 SH sole 273,900 KABEL DEUTSCHLAND 10.625% GMBH 01/07/2014 48282BAC7 604 500,000 PRN sole 500,000 KB HOME USD1 48666K109 11,559 110,700 SH sole 110,700 KB HOME & BROAD HOME CRP 6.375% 15/08/2011 48666KAK5 4,328 4,000,000 PRN sole 4,000,000 KEYCORP USD1 COM 493267108 14,927 440,580 SH sole 440,580 KILROY REALTY CORPORATION USD0.01 COM STK 49427F108 20,203 473,700 SH sole 473,700 KIMBERLEY CLARK CORP COM STK USD1.25 494368103 19,777 300,703 SH sole 300,703 KIMCO REALTY CORPORATION USD0.01 COM STK 49446R109 38,389 664,050 SH sole 664,050 KIRBY CORP COM STK USD0.10 497266106 11,176 252,050 SH sole 252,050 KNIGHT-RIDDER USD.021 499040103 875 13,070 SH sole 13,070 GDR-3 GDR REPR 1 KOMERCNI BANKA SH CZK500 REG 500459409 5,161 106,410 SH sole 106,410 KRW5000 ORD SP KOOKMIN BANK ADR EA REP1 50049M109 6,821 175,058 SH sole 175,058 KOREA ELECTRIC ADR-EACH ADS POWER CORP REPR 1/2 KSWN5000 500631106 1,008 76,400 SH sole 76,400 REPUBLIC OF KOREA 4.875% 22/09/2014 50064FAD6 29,931 30,000,000 PRN sole 30,000,000 INVISTA 9.25% 01/05/2012 500657AA9 1,987 1,750,000 PRN sole 1,750,000 KROGER COMPANY COM STK USD1.00 501044101 2,607 148,800 SH sole 148,800 LG PHILIPS LCD ADR NPV KRW5000 50186V102 468 26,000 SH sole 26,000 LKQ CORPORATION USD0.01 501889208 9,406 470,540 SH sole 470,540 L 3 COMMUNICATIONS CORP 5.875% 15/01/2015 502413AR8 3,031 3,000,000 PRN sole 3,000,000 L3 COMMUNICATIONS COM USD0.01 502424104 3,322 45,350 SH sole 45,350 LAFARGE NORTH AMERICA INC COM USD1 505862102 15,989 311,620 SH sole 311,620 CLASS A SHARES LAMAR ADVERTISING CO OF USD0.001 512815101 9,946 232,770 SH sole 232,770 LANDRYS RESTAURANTS 7.5% 15/12/2014 51508LAA1 4,965 5,000,000 PRN sole 5,000,000 LAS VEGAS SANDS USD0.001 517834107 4,221 88,000 SH sole 88,000 ESTEE LAUDER COMPANIES INC USD0.01 518439104 14,565 319,000 SH sole 319,000 LAUREATE EDUCATION INC USD0.01 518613104 7,008 158,950 SH sole 158,950 LEAR CORP USD0.01 521865105 18,282 299,710 SH sole 299,710 0% 20/02/2022 SR DB LEAR CORPORATION CNV NT USD 521865AG0 6,976 16,400,000 PRN sole 16,400,000 LEGGETT & PLATT USD.01 524660107 928 32,660 SH sole 32,660 LEGRAND S.A 8.5% 15/02/2025 524671AA2 6,084 5,000,000 PRN sole 5,000,000 11.625% LEVI STRAUSS & CO 15/01/2008 52736RAK8 5,966 5,000,000 PRN sole 5,000,000 LEVI STRAUSS & CO 9.75% 15/01/2015 52736RAP7 3,969 4,000,000 PRN sole 4,000,000 LEXMARK USD0.01 CLASS A INTERNATIONAL INC COM STK 529771107 8,092 95,220 SH sole 95,220 DB LIBERTY MEDIA 3.25% SR DEB CORP 15/03/2031 USD 530715AR2 10,175 12,840,000 PRN sole 12,840,000 LIBERTY MEDIA CORP USD0.01 CLASS A 530718105 41,623 3,790,790 SH sole 3,790,790 0.75% 30/03/2023 DB LIBERTY MEDIA CNV REGS 530718AF2 3,511 4,320,000 PRN sole 4,320,000 LIBERTY MEDIA INTL CLASS A USD0.01 530719103 609 13,180 SH sole 13,180 PAGE TOTAL: 726,168 LIBERTY PROPERTY TRUST USD0.001 COM STK 531172104 18,177 421,250 SH sole 421,250 LIFEPOINT HOSPITALS INC USD0.01 53219L109 7,215 207,200 SH sole 207,200 LILLY ELI & CO. COM STK NPV 532457108 2,508 44,195 SH sole 44,195 LIMITED BRANDS INC COM USD0.5 532716107 18,131 789,330 SH sole 789,330 LINCOLN NATIONAL CORP COM NPV 534187109 15,802 338,580 SH sole 338,580 LINEAR TECHNOLOGY COM NPV 535678106 42,717 1,102,091 SH sole 1,102,091 NPV CLASS A COM LITHIA MOTORS INC STK 536797103 10,519 393,520 SH sole 393,520 LOCKHEED MARTIN CORPORATION NPV 539830109 21,417 385,560 SH sole 385,560 LOWES COS INC USD0.50 548661107 1,201 21,349 SH sole 21,349 0.861% DB LOWES COMPANIES 19/10/2021 CNV 548661CG0 4,960 5,835,000 PRN sole 5,835,000 LUCENT TECHNOLOGIES INC COM STK USD0.01 549463107 4,287 1,143,260 SH sole 1,143,260 LUCENT TECHNOLOGIES 5.5% 15/11/2008 549463AD9 4,093 4,000,000 PRN sole 4,000,000 WILLIAM LYON HOMES 7.625% 15/12/2012 552075AD5 7,784 8,000,000 PRN sole 8,000,000 MBIA INCORPORATED USD1 55262C100 19,943 315,210 SH sole 315,210 MBNA CORPORATION COM USD0.01 55262L100 19,534 693,195 SH sole 693,195 MCI INC 5.908% 01/05/2007 552691AA5 6,216 6,000,000 PRN sole 6,000,000 MGM MIRAGE USD.01 552953101 4,500 61,880 SH sole 61,880 MSDW RELIANCE C/W UNITARY INDUSTRIES 20/01/2006 55353X195 1,111 90,435 SH sole 90,435 MSDW GAS AUTHORITY UNITARY C/W OF INDIA 02/03/2007 55353X260 3,519 663,104 SH sole 663,104 MACERICH COMPANY USD0.01 COM STK 554382101 39,790 633,800 SH sole 633,800 MACK CALI REALTY CORPORATION USD0.01 554489104 11,095 241,100 SH sole 241,100 MAGNACHIP SEMICONDUCTOR 6.875% 15/12/2011 55932RAC1 2,063 2,000,000 PRN sole 2,000,000 MAGUIRE PROPERTIES USD0.01 COM 559775101 11,461 418,600 SH sole 418,600 ADS (EACH REP 5 MATAV SHARES HUF100) 559776109 5,207 213,300 SH sole 213,300 10.25% MANDALAY RESORT 01/08/2007 USD 562567AB3 7,065 6,000,000 PRN sole 6,000,000 MANITOWOC CO INC 10.5% 01/08/2012 563571AE8 4,794 4,000,000 PRN sole 4,000,000 0% 17/08/2021 CV DB MANPOWER INC DEB USD1000 56418HAC4 4,459 8,070,000 PRN sole 8,070,000 MAPICS INC USD0.01 564910107 5,742 545,810 SH sole 545,810 MARATHON OIL GROUP COM STK USD1 565849106 14,742 392,480 SH sole 392,480 MARSHALL & ILSLEY USD1 571834100 1,157 26,170 SH sole 26,170 MARRIOTT INTERNATIONAL NEW A USD0.01 CLASS A 571903202 28,812 457,556 SH sole 457,556 MARTIN MARIETTS MATERIALS USD0.01 573284106 10,102 188,300 SH sole 188,300 MASCO CORP USD1 COM 574599106 18,042 493,892 SH sole 493,892 DB MASCO CORP 0% 20/07/2031 CNV 574599BB1 15,226 37,900,000 PRN sole 37,900,000 MATTEL INC USD1 577081102 20,455 1,050,063 SH sole 1,050,063 MAY DEPARTMENT STORES CO USD0.50 COM STK 577778103 555 18,880 SH sole 18,880 MCAFEE INC COM USD0.01 579064106 55,768 1,928,359 SH sole 1,928,359 MCDONALDS CORP COM STK USD0.01 580135101 29,376 916,540 SH sole 916,540 MCGRAW-HILL COMPANIES INC USD1 580645109 37,119 405,541 SH sole 405,541 MEADWESTVACO CORP COM USD0.01 583334107 18,298 540,100 SH sole 540,100 MEDCO HEALTH SOLUTIONS USD0.01 58405U102 26,634 640,230 SH sole 640,230 MEDTRONIC INC COM STK USD0.10 585055106 50,102 1,008,708 SH sole 1,008,708 1.25% 15/09/21 DBMEDTRONIC INC USD CNV 585055AB2 6,729 9,110,000 PRN sole 9,110,000 MELLON FINANCIAL CORP COM USD0.50 58551A108 877 28,236 SH sole 28,236 MENTOR GRAPHICS CORP CP NPV COM 587200106 10,170 666,450 SH sole 666,450 MERCANTILE BANKSHARES CORP USD2 COM STK 587405101 6,670 127,810 SH sole 127,810 MERCK & CO INC COM STK NPV 589331107 37,066 1,153,301 SH sole 1,153,301 MERISTAR HOSPITALITY 10.5% 15/06/2009 58984NAB3 5,497 5,000,000 PRN sole 5,000,000 MERISTAR HOSPITALITY CORP USD0.01 COM STK 58984Y103 1,817 217,600 SH sole 217,600 DB MERRILL LYNCH 0% 13/03/2032 CV AND COMPANY FRN USD1000 590188A73 14,140 17,250,000 PRN sole 17,250,000 PAGE TOTAL: 714,664 METLIFE INCORPORATED USD0.01 COM 59156R108 27,708 683,994 SH sole 683,994 METLIFE INC 6.375% 15/06/2034 59156RAJ7 21,501 20,000,000 PRN sole 20,000,000 MICHAELS STORES INC COM USD0.10 594087108 23,249 776,000 SH sole 776,000 COM STK MICROSOFT CORP USD0.00005 594918104 178,818 6,692,286 SH sole 6,692,286 MIDLAND COMPANY NPV 597486109 7,834 249,480 SH sole 249,480 MIDWEST GENERATION LLC 8.75% 01/05/2034 59833BAB0 4,617 4,000,000 PRN sole 4,000,000 MOBILE TELESYSTEMS ADR REP 20 607409109 8,947 64,700 SH sole 64,700 MOLEX USD.05 608554101 2,582 86,060 SH sole 86,060 MORGAN STANLEY USD0.01 617446448 7,315 130,390 SH sole 130,390 MORGAN STANLEY 4% 15/01/2010 61746SBC2 32,183 32,350,000 PRN sole 32,350,000 MOTOROLA INC COM STK USD3 620076109 17,414 1,013,031 SH sole 1,013,031 MOTOROLA INC 7.5% 15/05/2025 620076AH2 11,661 10,000,000 PRN sole 10,000,000 MOTOROLA INC 7.625% 15/11/2010 620076AR0 11,678 10,000,000 PRN sole 10,000,000 MUELLER INDUSTRIES COM USD0.01 624756102 5,568 173,080 SH sole 173,080 NVR INC COM USD0.01 62944T105 25,406 33,020 SH sole 33,020 7.875% NATIONAL AUSTRALIA 19/03/2007 EXEC BK USD25 632525309 3,176 83,700 PRN sole 83,700 NATIONAL CITY CORP USD4 635405103 14,453 384,902 SH sole 384,902 NDCHEALTH CORPORATION USD0.125 639480102 5,720 307,690 SH sole 307,690 NEVADA POWER CO 5.875% 15/01/2015 641423BJ6 1,530 1,500,000 PRN sole 1,500,000 NEWELL RUBBERMAID INCORPORATEDUSD1 COM 651229106 17,069 706,210 SH sole 706,210 NEWMONT MINING CORPORATION USD1.60 COM STK 651639106 4,418 99,430 SH sole 99,430 NEWS CORP INC CL A USD0.01 65248E104 57,162 3,063,312 SH sole 3,063,312 NEXTEL COMMUNICATIONS INC-A COM USD0.001 65332V103 1,235 41,018 SH sole 41,018 NORFOLK SOUTHERN CORPORATION 5.257% 17/09/2014 655844AU2 5,213 5,000,000 PRN sole 5,000,000 NORTH FORK BANCORP USD0.01 659424105 435 15,150 SH sole 15,150 NORTHERN TRUST USD1.66 665859104 1,274 26,218 SH sole 26,218 NORTHROP GRUMMAN CORP USD1 COM STK 666807102 16,866 310,317 SH sole 310,317 OCCIDENTAL PETROLEUM CORP USD0.20 COM 674599105 30,231 518,361 SH sole 518,361 OHIO EDISON 5.647% 15/06/2009 67734PAA4 5,254 5,000,000 PRN sole 5,000,000 OLD REPUBLIC INTL CORP COM USD1 680223104 16,252 643,370 SH sole 643,370 OMNICOM GROUP USD0.15 COM STK 681919106 27,855 330,336 SH sole 330,336 0% 15/06/2033 DB OMNICOM GROUP REGS CNV 681919AR7 2,120 2,800,000 PRN sole 2,800,000 VIMPEL SPON ADR 4 REP 3 COMMUNICATIONS ORD RUB 68370R109 21,243 587,801 SH sole 587,801 ORACLE SYSTEMS CORPORATION COM STK USD0.01 68389X105 43,136 3,143,993 SH sole 3,143,993 OREGON STEEL MILLS INC 10% 15/07/2009 686079AC8 5,817 5,000,000 PRN sole 5,000,000 PETRO CANADA 5% 15/11/2014 69320DAA7 10,026 10,000,000 PRN sole 10,000,000 PMI GROUP USD0.01 69344M101 15,650 375,760 SH sole 375,760 2.5% 15/07/2021 DB PMI GROUP INC SR CV DB USD 69344MAE1 3,694 4,130,000 PRN sole 4,130,000 POSCO SPON ADR REP 0.25 ORD LVL111 693483109 4,326 97,454 SH sole 97,454 PACCAR INC COM USD1 693718108 13,900 172,710 SH sole 172,710 PACIFIC ENERGY PRTNR/FIN 7.125% 15/06/2014 69422PAB5 1,602 1,500,000 PRN sole 1,500,000 PACTIV CORPORATION USD0.01 695257105 19,926 788,510 SH sole 788,510 PANAMSAT CORP 9% 15/08/2014 697933AQ2 3,461 3,000,000 PRN sole 3,000,000 PANAMA REPUBLIC OF 7.25% 15/03/2015 698299AU8 3,127 3,000,000 PRN sole 3,000,000 PARK PLACE 7% 15/04/2013 700690AS9 2,244 2,000,000 PRN sole 2,000,000 PAYCHEX INC USD0.01 704326107 5,530 162,370 SH sole 162,370 PEABODY ENERGY CORP 6.875% 15/03/2013 704549AC8 4,430 4,000,000 PRN sole 4,000,000 PENNEY JC CO INC 8% 01/03/2010 708130AA7 5,870 5,000,000 PRN sole 5,000,000 J.C. PENNEY CO INC USD0.5 708160106 15,594 376,850 SH sole 376,850 PENNSYLVANIA REAL EST INV TST USD1 709102107 16,389 383,000 SH sole 383,000 CAP STK PEPSICO INC USD0.016666 713448108 56,335 1,079,627 SH sole 1,079,627 PAGE TOTAL: 849,043 PERU REPUBLIC OF 8.375% 03/05/2016 715638AQ5 567 500,000 PRN sole 500,000 TELEKOMUNIKASI IDR500 SER B ADR INDONESIA REPR 20 715684106 1,003 47,755 SH sole 47,755 PERVASIVE SOFTWARE INC USD0.001 715710109 4,499 927,669 SH sole 927,669 PETROS STOPPING CTR/FINL 9% 15/02/2012 715911AD5 5,481 5,000,000 PRN sole 5,000,000 PETROBRAS ADR ADS 71654V708 2,464 61,945 PRN sole 61,945 PETSMART USD0.0001 716768106 4,693 132,090 SH sole 132,090 PFIZER INC COM STK USD0.05 717081103 183,286 6,818,690 SH sole 6,818,690 PHILIPPINES REPUBLIC OF 8.875% 17/03/2015 718286AW7 23,898 23,250,000 PRN sole 23,250,000 PITNEY BOWES INC COM STK USD2 724479100 16,320 353,100 SH sole 353,100 PLAINS E&P COMPANY 7.125% 15/06/2014 726505AB6 3,294 3,000,000 PRN sole 3,000,000 POTASH CORP OF NPV COM STK US SASKATCHEWAN LISTING 73755L107 15,918 191,670 SH sole 191,670 PRAXAIR INC COM USD0.01 74005P104 33,893 768,028 SH sole 768,028 PRICE COMMUNICATIONS CORP USD0.01 741437305 8,303 447,102 SH sole 447,102 PRIDE INTERNATIONAL INC NPV NEW COM 74153Q102 10,644 518,440 SH sole 518,440 PRIDE INTERNATIONAL INC 7.375% 15/07/2014 74153QAE2 3,399 3,000,000 PRN sole 3,000,000 PRIMUS TELECOM GROUP 12.75% 15/10/2009 741929AJ2 2,925 2,935,000 PRN sole 2,935,000 PRINCIPAL LIFE INC FNDG FRN 14/10/2005 74254PAJ1 9,997 10,000,000 PRN sole 10,000,000 PROASSURANCE CORP USD0.01 COM 74267C106 7,197 184,120 SH sole 184,120 PROCTER & GAMBLE COM NPV 742718109 94,443 1,714,960 SH sole 1,714,960 PROLOGIS SBI USD0.01 743410102 47,705 1,104,800 SH sole 1,104,800 PRUDENTIAL FINANCIAL INC USD0.01 COM 744320102 21,637 393,748 SH sole 393,748 PUBLIC STORAGE INCORPORATED USD0.10 COM STK 74460D109 612 10,970 SH sole 10,970 QUALCOMM INC COM USD0.0001 747525103 50,353 1,186,992 SH sole 1,186,992 QWEST COMMUNICATIONS INT 7.25% 15/02/2011 749121BN8 3,172 3,000,000 PRN sole 3,000,000 QWEST 7.5% 15/02/2014 COMMUNICATIONS INT 144A 749121BQ1 3,114 3,000,000 PRN sole 3,000,000 RBS CAPITAL TRUST III 5.512% 29/09/2049 74927QAA5 26,348 25,400,000 PRN sole 25,400,000 RADIAN GROUP INC USD0.001 750236101 60,803 1,143,116 SH sole 1,143,116 RAYTHEON COMPANY USD0.01 COM 755111507 11,911 306,821 SH sole 306,821 READERS DIGEST ASSN INC 6.5% 03/03/2011 755267AC5 2,143 2,000,000 PRN sole 2,000,000 RECKSON ASSOCIATES REALTY CORPUSD0.01 COM STK 75621K106 22,309 681,200 SH sole 681,200 REEBOK INTERNATIONAL LTD USD0.01 758110100 689 15,670 SH sole 15,670 REFCO FINANCE HOLDINGS 9% 01/08/2012 75866HAA5 2,273 2,000,000 PRN sole 2,000,000 REGENCY CENTERS USD0.01 COM 758849103 33,304 601,700 SH sole 601,700 REGIS CORPORATION COM USD0.05 758932107 5,948 128,890 SH sole 128,890 RELIANT ENERGY INC 6.75% 15/12/2014 75952BAM7 995 1,000,000 PRN sole 1,000,000 RENAL CARE GROUP INC USD0.01 COM 759930100 9,706 269,990 SH sole 269,990 REPUBLIC SERVICES INC ORD USD0.01 760759100 12,590 376,730 SH sole 376,730 REYNOLDS & REYNOLDS CLASS A COM NPV 761695105 6,474 244,390 SH sole 244,390 ROCKWOOD SPECIALTIES GRP 7.5% 15/11/2014 774477AE3 1,316 1,250,000 PRN sole 1,250,000 ROGERS CABLE INC 6.75% 15/03/2015 77509NAN3 513 500,000 PRN sole 500,000 ROGERS WIRELESS INC 6.375% 01/03/2014 77531QAD0 3,048 3,000,000 PRN sole 3,000,000 ROGERS WIRELESS INC 7.25% 15/12/2012 77531QAJ7 533 500,000 PRN sole 500,000 ROHM & HAAS COMPANY COM USD2.50 775371107 16,572 374,680 SH sole 374,680 ROPER INDUSTRIES INC COM STK USD0.01 776696106 9,138 150,400 SH sole 150,400 ADR EA RP6 ROSTELECOM RUR2.5LEV IIBNY 778529107 3,146 288,100 SH sole 288,100 ROUNDYS INC 8.875% 15/06/2012 779268AE1 3,304 3,000,000 PRN sole 3,000,000 ROYAL CARIBBEAN 0% 02/02/2021 CRUISES NTS USD1000 780153AK8 2,236 3,500,000 PRN sole 3,500,000 RURAL CELLULAR CORP 8.25% 15/03/2012 781904AM9 1,622 1,500,000 PRN sole 1,500,000 SBC COMMUNICATION COM STK USD1 78387G103 27,308 1,060,116 SH sole 1,060,116 SBA COMMUNICATIONS CORP 8.5% 01/12/2012 78388JAF3 4,095 4,000,000 PRN sole 4,000,000 PAGE TOTAL: 827,141 COMMON STOCK SCP POOL CORPORATION USD0.001 784028102 10,237 321,115 SH sole 321,115 SPN ADR REP 1/9 SK TELECOM CO LTD OF SHR KRW500 78440P108 34,132 1,546,520 SH sole 1,546,520 SL GREEN REALTY CORPORATION USD0.01 COM STK 78440X101 23,264 384,400 SH sole 384,400 SLM CORP USD0.2 78442PAC0 892 16,700 SH sole 16,700 SPDR TRUST SERIES 1 COM 78462F103 14,637 121,110 SH sole 121,110 SRI/SURGICAL EXPRESS INC COM USD0.001 78464W104 2,024 407,306 SH sole 407,306 SABRE GROUP CLASS A COMMON HOLDINGS INC USD0.01 785905100 21,335 964,060 SH sole 964,060 SAFECO CORP 786429100 16,661 318,754 SH sole 318,754 THE ST JOE COMPANY NPV 790148100 9,702 151,280 SH sole 151,280 SANMINA CORP COM USD0.01 800907107 8,155 962,800 SH sole 962,800 SARA LEE CORPORATION USD0.01 COM 803111103 1,104 47,860 SH sole 47,860 SAXON CAPITAL INC NEW COM USD0.01 80556T106 6,677 279,270 SH sole 279,270 SCHLUMBERGER COM STK USD0.01 806857108 19,045 284,463 SH sole 284,463 DBSCHLUMBERGER 1.5% 01/06/2023 806857AC2 5,408 7,183,000 PRN sole 7,183,000 SCIENTIFIC ATLANTA COM STK USD0.50 808655104 334 10,120 SH sole 10,120 SERVICE CORP INTL 6.5% 15/03/2008 817565AR5 5,257 5,000,000 PRN sole 5,000,000 SHAW GROUP INC NPV COM 820280105 8,490 476,140 SH sole 476,140 SHINHAN FINANCIAL GROUP KRW5000 ADR 824596100 1,270 28,100 SH sole 28,100 SHURGARD STORAGE USD0.001 CL A COM 82567D104 18,075 410,700 SH sole 410,700 SIEBEL COM USD0.001 826170102 4,832 460,600 SH sole 460,600 SILICONWARE PREC ADR ADR NPV 827084864 263 63,923 PRN sole 63,923 SIMON PROPERTY GROUP INC USD0.0001 COM STK 828806109 59,318 917,390 SH sole 917,390 COM USD0.01 CL SONIC AUTOMOTIVE INC 'A' 83545G102 7,426 299,910 SH sole 299,910 SOURCECORP NPV COM 836167106 8,485 447,520 SH sole 447,520 SOUTH AFRICA REPUBLIC OF 6.5% 02/06/2014 836205AJ3 12,383 11,250,000 PRN sole 11,250,000 SOUTHERN COMPANY USD5 COM 842587107 1,464 43,690 SH sole 43,690 SOVEREIGN BANCORP NPV 845905108 513 22,760 SH sole 22,760 SPRINT CAPITAL CORP 8.75% 15/03/2032 852060AT9 14,182 10,460,000 PRN sole 10,460,000 STAPLES INC USD0.0006 855030102 38,127 1,131,020 SH sole 1,131,020 STARBUCKS CORP NPV COM 855244109 2,084 35,720 SH sole 35,720 STARWOOD HOTELS USD0.01 85590A203 1,617 27,690 SH sole 27,690 STARWOOD HOTELS RESORTS 7.875% 01/05/2012 85590AAD6 2,321 2,000,000 PRN sole 2,000,000 STATE BANK OF INDIA EACH REP 2 SHS GDR INR10 REG S 856552203 33,647 922,113 SH sole 922,113 STATE STREET CORPORATION COM USD1 857477103 6,368 127,350 SH sole 127,350 STATER BROS HLDG 8.125% 15/06/12 857555AM8 4,264 4,000,000 PRN sole 4,000,000 STATION CASINOS 6% 01/04/2012 857689AV5 7,235 7,000,000 PRN sole 7,000,000 STENA AB 7% 01/12/2016 858577AM1 1,994 2,000,000 PRN sole 2,000,000 STONE CONTAINER FIN CAN 7.375% 15/07/2014 861594AB5 3,293 3,000,000 PRN sole 3,000,000 COM STK SUN MICROSYSTEMS INC USD0.00067 866810104 20,616 3,832,026 SH sole 3,832,026 SUPERVALU USD1 868536903 912 26,430 SH sole 26,430 SYMANTEC CORPORATION USD0.01 871503108 20,151 780,970 SH sole 780,970 SYSCO CORP COM STK USD1 871829107 1,070 27,510 SH sole 27,510 TJX COS INC USD1 872540109 17,225 685,727 SH sole 685,727 DB TJX XOS 0% 13/02/2021 INCORPORATED CNV NTS USD1000 872540AL3 5,163 7,640,000 PRN sole 7,640,000 TAIWAN FUND INCORPORATED COM USD0.01 874036106 1,574 119,214 SH sole 119,214 ADR (EACH REP 5 TAIWAN SEMICONDUCTOR ORD SHARES) 874039100 635 75,020 SH sole 75,020 TARGET USD0.1667 87612E106 36,475 702,666 SH sole 702,666 TECH OLYMPIC USA INC 7.5% 15/01/2015 878483AK2 6,011 6,000,000 PRN sole 6,000,000 TELECOM ITALIA CAPITAL 5.25% 15/11/2013 87927VAE8 30,443 29,939,000 PRN sole 29,939,000 TELEFONOS DE MEXICO NPV ADR CNV20 SA DE CV SER L 879403780 11,112 290,117 SH sole 290,117 PAGE TOTAL: 567,902 TELEPHONE & DATA SYSTEMS INC COM USD0.01 879433100 14,255 185,710 SH sole 185,710 TELELESTE CELULAR PARTIC ADR 87943B102 1,396 116,830 SH sole 116,830 TELESP CELULAR PARTICIPACOES ADR 87952L108 11,923 1,756,031 SH sole 1,756,031 TELLABS INC COM USD0.01 879664100 13,782 1,602,500 SH sole 1,602,500 TEMBEC INDUSTRIES INC 8.625% 30/06/2009 87971KAA5 5,050 5,000,000 PRN sole 5,000,000 TELUS CORPORATION 7.5% 01/06/2007 87971MAB9 5,457 5,000,000 PRN sole 5,000,000 TENET HEALTHCARE CORP 5.375% 15/11/2006 88033GAR1 4,077 4,000,000 PRN sole 4,000,000 3.75% 15/10/2006 DB TERADYNE INC CNV BD 880770AD4 3,705 4,569,000 PRN sole 4,569,000 TEVA PHARMACEUTICAL INDUSTRIESADR-EACH CNV INTO 1 ORD 881624209 31,374 1,046,500 SH sole 1,046,500 TEVA PHARM ADR ADR 881624209 1,028 37,530 PRN sole 37,530 TEXAS INSTRUMENTS INC USD1 882508104 23,517 955,586 SH sole 955,586 THERAVANCE INC USD0.01 88338T104 621 34,377 SH sole 34,377 3M COMPANY USD0.01 COM 88579Y101 35,275 429,879 SH sole 429,879 TELECELULAR SUL PARTICIPACOES ADR 88706P106 3,928 258,263 SH sole 258,263 TIM HELLAS ADR REPR 1 ORD TELECOMMUNICATION GRD500 88706Q104 7,817 416,920 SH sole 416,920 TIME WARNER INC USD0.01 887317105 22,551 1,160,577 SH sole 1,160,577 TORCHMARK CORP COM USD1 891027104 15,450 270,430 SH sole 270,430 TRACTOR SUPPLY CO USD0.008 892356106 607 16,316 SH sole 16,316 DB TRAVELERS PPTY 4.5% 15/04/2032 CASUALTY CNV USD25 89420G307 13,371 580,580 PRN sole 580,580 TRIAD HOSPITALS INC 7% 15/11/2013 89579KAE9 8,290 8,000,000 PRN sole 8,000,000 TRIZEC PROPERTIES INC USD0.01 COM 89687P107 8,088 428,400 SH sole 428,400 2500 ORD SHARES TURKCELL ILETISIM ADR EA REPR 900111204 2,652 146,937 SH sole 146,937 TURKEY REPUBLIC OF 9% 30/06/2011 900123AU4 23,804 20,890,000 PRN sole 20,890,000 TURKEY REPUBLIC OF 7.25% 15/03/2015 900123AV2 21,015 20,100,000 PRN sole 20,100,000 2.75% 15/01/2018 TYCO INTERNATIONAL CNV BD REGS 902118BF4 6,556 5,925,000 PRN sole 5,925,000 TYCO INTERNATIONAL USD0.20 STK COM 902124106 140,688 3,937,547 SH sole 3,937,547 UST INC COM STK USD0.50 902911106 32,229 670,740 SH sole 670,740 US BANCORP USD1.25 902973304 49,210 1,571,707 SH sole 1,571,707 UNIBANCO BRASIL GDR GDR 90458E107 807 25,439 PRN sole 25,439 UNISYS CORP 8.125% 01/06/2006 909214BF4 2,118 2,000,000 PRN sole 2,000,000 UNISYS CORP 6.875% 15/03/2010 909214BH0 3,270 3,000,000 PRN sole 3,000,000 UNITED MICRO ELECTRONICS ADR 910873207 1,393 395,647 SH sole 395,647 UNITED MICRO EL ADR ADR 910873207 209 59,283 PRN sole 59,283 UNITED RENTALS NORTH AM 6.5% 15/02/2012 911365AN4 2,009 2,000,000 PRN sole 2,000,000 2.375% US TREASURY 15/01/2025 IL 912810FR4 1,200 1,110,000 PRN sole 1,110,000 UNITED STATES TREASURY 6.625% 15/05/2007 9128272U5 7,067 6,500,000 PRN sole 6,500,000 UNITED STATES 6.50% 15/08/2005 TREASURY USD1000 912827U83 928 885,000 PRN sole 885,000 US TREASURY 3.25% 15/08/2008 912828BG4 1,643 1,630,000 PRN sole 1,630,000 US TREASURY N/B 4% 15/02/2014 912828CA6 10,383 10,373,000 PRN sole 10,373,000 US TREASURY N/B 4.25% 15/08/2014 912828CT5 81,435 79,998,000 PRN sole 79,998,000 US TREASURY N/B 3.375% 15/09/2009 912828CV0 146,867 146,806,000 PRN sole 146,806,000 USA TREASURY 3.375% 15/10/2009 912828CX6 77,006 77,206,000 PRN sole 77,206,000 US TREASURY N/B 2.875% 30/11/2006 912828DD9 4,497 4,500,000 PRN sole 4,500,000 UNITED TECHNOLOGIES CORP COM USD5 913017109 22,846 221,052 SH sole 221,052 UNITED TECHNOLOGIES USD1 913017109 13,088 126,576 SH sole 126,576 UNITED HEALTHCARE GROUP COM STK USD0.01 91324P102 36,318 412,605 SH sole 412,605 UNIVERSAL CITY DEVELOPMT 11.75% 01/04/2010 913405AC0 3,631 3,000,000 PRN sole 3,000,000 0.426% UNIVERSAL HEALTH 23/06/2020 CNV SERVICES BOND 913903AL4 6,867 14,400,000 PRN sole 14,400,000 0.875% 01/03/08 DB UTSTARCOM CNV 918076AB6 9,746 10,400,000 PRN sole 10,400,000 VAIL RESORTS INC COM STK USD0.01 91879Q109 8,294 370,420 SH sole 370,420 PAGE TOTAL: 949,338 VANGUARD HEALTH HLD II 9% 01/10/2014 92203PAA4 3,298 3,000,000 PRN sole 3,000,000 VENEZUELA REPUBLIC OF 10.75% 19/09/2013 922646BJ2 14,219 11,600,000 PRN sole 11,600,000 VENEZUELA REPUBLIC OF 8.50% 08/10/2014 922646BM5 3,232 3,000,000 PRN sole 3,000,000 VENETIAN CASINO 11% 15/06/2010 92264NAF4 4,603 4,000,000 PRN sole 4,000,000 VERIZON COMMS USD0.10 92343V104 40,924 1,010,230 SH sole 1,010,230 VERIZON GLOBAL FDG CORP 7.75% 01/12/2030 92344GAM8 45,789 36,760,000 PRN sole 36,760,000 VERIZON WIRELESS CAPITAL 5.375% 15/12/2006 92344SAE0 21,357 20,590,000 PRN sole 20,590,000 VIACOM INC-CL B USD0.01 925524308 32,866 903,424 SH sole 903,424 VICURON PHARMACEUT USD0.001 926471103 1,120 64,346 SH sole 64,346 VIDEOTRON LTEE 6.875% 15/01/2014 92658TAH1 4,281 4,000,000 PRN sole 4,000,000 DB VISHAY INTERTECHNOLOGY 3.625% 01/08/2023 928298AF5 2,146 2,260,000 PRN sole 2,260,000 VORNADO REALTY TRUST USD0.04 COM STK 929042109 51,217 672,850 SH sole 672,850 WACHOVIA CORPORATION USD3.333 929903102 61,794 1,175,009 SH sole 1,175,009 WALMART STORES INC COM STOCK USD0.10 931142103 98,866 1,874,605 SH sole 1,874,605 WALGREEN CO COM STK USD007812 931422109 5,126 131,801 SH sole 131,801 7.375% WARNER MUSIC GROUP 15/04/2014 144A 934548AA6 2,096 2,000,000 PRN sole 2,000,000 WASHINGTON MUTUAL INC NPV COM 939322103 21,178 501,009 SH sole 501,009 WASHINGTON MUTUAL INC 4.2% 15/01/2010 939322AP8 29,893 30,000,000 PRN sole 30,000,000 DB WASTE CONNECTIONS FRN 01/05/2022 941053AE0 10,161 10,860,000 PRN sole 10,860,000 WEINGARTEN REALTY SHS OF BEN INT INVESTORS USD0.03 948741103 23,488 585,725 SH sole 585,725 WELLPOINT INC USD0.01 COM 94973V107 26,780 232,873 SH sole 232,873 WELLS FARGO & COMPANY COMMON USD 1 2/3 949746101 52,962 852,445 SH sole 852,445 WENDYS INTERNATIONAL INCORPOR USD0.10 COM 950590109 1,968 50,110 SH sole 50,110 WEYERHAEUSER CO COM STK USD1.25 962166104 42,833 637,300 SH sole 637,300 WHIRLPOOL CORP COM USD1 963320106 14,996 216,700 SH sole 216,700 WHOLE FOODS MARKET NPV 966837106 2,656 27,860 SH sole 27,860 WILLIAMS COS INC 8.125% 15/03/2012 969457BK5 9,470 8,000,000 PRN sole 8,000,000 WYETH USD0.333 COM 983024100 15,522 364,440 SH sole 364,440 WYETH USD0.333 983024100 4,982 116,939 SH sole 116,939 WYNN LAS VEGAS LLC CORP 6.625% 01/12/2014 983130AB1 5,040 5,000,000 PRN sole 5,000,000 XEROX CORP COM STK USD1 984121103 16,563 973,680 SH sole 973,680 XEROX CORP 9.75% 15/01/2009 984121BG7 4,899 4,000,000 PRN sole 4,000,000 YAHOO! INC USD0.00017 984332106 38,745 1,028,260 SH sole 1,028,260 ZIMMER HOLDINGS INC USD0.01 COM 98956P102 34,177 426,785 SH sole 426,785 COMMERCE CAPITAL 0% 22/09/2009 993311JG5 1,342 1,600,000 PRN sole 1,600,000 CODELCO INC 7.375% 01/05/2009 EC1315919 9,698 8,500,000 PRN sole 8,500,000 KAZAKHSTAN REPUBLIC 11.125% OF 11/05/2007 EC2526951 4,721 4,000,000 PRN sole 4,000,000 9.75% 15/06/2030 QATAR STATE OF BDS USD REGS EC2682416 21,974 15,000,000 PRN sole 15,000,000 FINL FRN DEUTSCHE BANK 27/03/2012 EC5373153 202 200,000 PRN sole 200,000 9.04% 23/01/2013 DOMINICAN REPUBLIC REGS EC8263948 4,604 5,250,000 PRN sole 5,250,000 NIB FRN 06/02/2007 ED3049043 200 200,000 PRN sole 200,000 DB TAIWAN CEMENT 0% 03/03/09 CNV ED3231914 4,499 5,230,000 PRN sole 5,230,000 CSFB FRN 27/03/2008 ED3812044 255 250,000 PRN sole 250,000 STAN IV LTD FRN 20/07/2011 ED3956759 9,185 9,195,000 PRN sole 9,195,000 0.125% DB SEK/CITI 30/04/2009 CNV ED4170301 6,291 8,700,000 PRN sole 8,700,000 VENEZUELA REPUBLIC OF FRN 20/04/2011 ED4312630 62,061 68,500,000 PRN sole 68,500,000 DB TAISHIN FINANCIAL HLDG 0% 28/10/2005 CNV ED4399892 273 328,000 PRN sole 328,000 ROYAL BANK OF SCOTLAND PLC FRN 24/07/2014 ED4701980 45,351 45,200,000 PRN sole 45,200,000 DB SK TELECOM 0% 27/05/2009 CNV ED4812787 9,484 11,300,000 PRN sole 11,300,000 PEMEX PROJ FDG MASTER TR FRN 15/06/2010 ED5012544 31,369 30,500,000 PRN sole 30,500,000 PAGE TOTAL: 960,756 DB POWERCHIP SEMICONDUCTOR 0% 17/06/2009 CNV ED5057143 3,836 4,700,000 PRN sole 4,700,000 ARIES VERMOGENSVERWALTNG 9.6% 25/10/2014 ED5299448 12,493 10,000,000 PRN sole 10,000,000 AEGON NV FRN 29/07/2049 ED5397291 20,088 20,000,000 PRN sole 20,000,000 UKRAINE REPUBLIC OF FRN 05/08/2009 ED5615254 30,085 28,500,000 PRN sole 28,500,000 EL SALVADOR REPUBLIC OF 7.625% 21/09/2034 ED6156969 1,569 1,500,000 PRN sole 1,500,000 PEMEX PROJ FDG MASTER TR 7.75% 28/09/2049 ED6235847 17,247 17,000,000 PRN sole 17,000,000 DBS BANK LTD SINGAPORE 5% 15/11/2019 ED6271982 29,898 30,000,000 PRN sole 30,000,000 TELECOM ITALIA CAPITAL 4% 15/01/2010 ED6328147 17,332 17,500,000 PRN sole 17,500,000 TELECOM ITALIA CAPITAL 4.95% 30/09/2014 ED6328188 13,849 14,000,000 PRN sole 14,000,000 VTB BANK 7.5% 12/10/2011 ED6370339 1,094 1,000,000 PRN sole 1,000,000 INTERNATIONAL NEDERLAND BANK FRN 14/10/2014 ED6399973 24,980 25,000,000 PRN sole 25,000,000 RABOBANK CAP FD TRST III 5.254% 29/10/2049 ED6554890 9,956 10,000,000 PRN sole 10,000,000 CHINA PEOPLES REPUBLIC OF 3.75% 28/10/2009 ED6643891 2,488 2,500,000 PRN sole 2,500,000 VNESHTORGBANK VTB CAP FRN 22/06/2006 ED7411637 25,024 25,000,000 PRN sole 25,000,000 DB INTL BANK OF TAPEI 0% 22/12/2009 CNV ED7418608 7,088 8,410,000 PRN sole 8,410,000 ACE LIMITED Ord G0070K103 4,244 99,200 SH sole 99,200 ACCENTURE Cl A USD0.00002 G1150G111 4,702 174,100 SH sole 174,100 PERU PDI 5% 07/03/2017 TT3258270 1,717 2,000,000 PRN sole 2,000,000 MINISTRY FINANCE 3% 14/05/2011 RUSSIA USD1000 VII TT3285471 6,918 8,000,000 PRN sole 8,000,000 STANDARD CHARTERED PLC FRN 29/11/2049 ZZ2015472 5,319 6,620,000 PRN sole 6,620,000 PAGE TOTAL: 239,927 GRAND TOTAL: 11,947,274
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