-----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, GFeh77b72kBDzOpq7t3BnzaBUMYOecZ8xHeZmgPSCzOGSecuO0DVQ6bhd/mFh8VW 5FEDTJQZIZOfThenHJO9Iw== 0001085146-08-001569.txt : 20081112 0001085146-08-001569.hdr.sgml : 20081111 20081112164041 ACCESSION NUMBER: 0001085146-08-001569 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20080930 FILED AS OF DATE: 20081112 DATE AS OF CHANGE: 20081112 EFFECTIVENESS DATE: 20081112 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CONNING Asset Management Co. CENTRAL INDEX KEY: 0000801051 STANDARD INDUSTRIAL CLASSIFICATION: INVESTMENT ADVICE [6282] IRS NUMBER: 431719355 STATE OF INCORPORATION: CT FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-04513 FILM NUMBER: 081181360 BUSINESS ADDRESS: STREET 1: CONNING ASSET MANAGEMENT CO. STREET 2: ONE FINANCIAL PLAZA CITY: HARTFORD STATE: CT ZIP: 06103-2627 BUSINESS PHONE: 8602992112 MAIL ADDRESS: STREET 1: CONNING ASSET MANAGEMENT CO. STREET 2: ONE FINANCIAL PLAZA CITY: HARTFORD STATE: CT ZIP: 06103-2627 FORMER COMPANY: FORMER CONFORMED NAME: CONNING CORP DATE OF NAME CHANGE: 19970407 13F-HR 1 conn3q08.txt CONNING ASSET MANAGEMENT COMPANY UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2008 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: Conning Asset Management Company Address: One Financial Plaza Hartford, CT 06103-4105 13F File Number: 28-04513 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: Gary Hutchins Title: Senior Vice President Phone: (860) 299-2117 Signature, Place, and Date of Signing: /s/ Gary Hutchins Hartford, CT November 03, 2008 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form13F Information Table Entry Total: 528 Form13F Information Table Value Total: $633,342 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3M CO COM 88579Y101 3330 48744 SH SOLE 48744 0 0 A D C TELECOMMUNICATIONS FRNT 6/1 000886AB7 0 2000000 PRN SOLE 2000000 0 0 A D C TELECOMMUNICATIONS COM NEW 000886309 103 12243 SH SOLE 12243 0 0 AAR CORP NOTE 1.750% 2/0 000361AH8 0 950000 PRN SOLE 950000 0 0 ABBOTT LABS COM 002824100 5951 103350 SH SOLE 103350 0 0 ACE LTD SHS H0023R105 403 7451 SH SOLE 7451 0 0 ADOBE SYS INC COM 00724F101 1064 26957 SH SOLE 26957 0 0 ADVANCED MEDICAL OPTICS INC NOTE 2.500% 7/1 00763MAG3 0 1211000 PRN SOLE 1211000 0 0 ADVANCED MICRO DEVICES INC COM 007903107 170 32330 SH SOLE 32330 0 0 AES CORP COM 00130H105 385 32904 SH SOLE 32904 0 0 AETNA INC NEW COM 00817Y108 884 24488 SH SOLE 24488 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 495 9772 SH SOLE 9772 0 0 AFLAC INC COM 001055102 1946 33129 SH SOLE 33129 0 0 AGERE SYS INC NOTE 6.500%12/1 00845VAA8 0 558000 PRN SOLE 558000 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 634 21379 SH SOLE 21379 0 0 AIR PRODS & CHEMS INC COM 009158106 1300 18978 SH SOLE 18978 0 0 ALCATEL-LUCENT SPONSORED ADR 013904305 48 12448 SH SOLE 12448 0 0 ALCOA INC COM 013817101 1186 52536 SH SOLE 52536 0 0 ALLEGHENY ENERGY INC COM 017361106 305 8293 SH SOLE 8293 0 0 ALLERGAN INC COM 018490102 841 16323 SH SOLE 16323 0 0 ALLERGAN INC NOTE 1.500% 4/0 018490AL6 0 1880000 PRN SOLE 1880000 0 0 ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 177 15894 SH SOLE 15894 0 0 ALLSTATE CORP COM 020002101 2227 48278 SH SOLE 48278 0 0 ALTERA CORP COM 021441100 324 15648 SH SOLE 15648 0 0 ALTRIA GROUP INC COM 02209S103 1991 100362 SH SOLE 100362 0 0 AMAZON COM INC COM 023135106 1150 15802 SH SOLE 15802 0 0 AMDOCS LTD NOTE 0.500% 3/1 02342TAD1 0 1880000 PRN SOLE 1880000 0 0 AMEREN CORP COM 023608102 416 10667 SH SOLE 10667 0 0 AMERICAN CAP LTD COM 02503Y103 215 8444 SH SOLE 8444 0 0 AMERICAN ELEC PWR INC COM 025537101 753 20345 SH SOLE 20345 0 0 AMERICAN EXPRESS CO COM 025816109 2935 82845 SH SOLE 82845 0 0 AMERICAN INTL GROUP INC COM 026874107 449 134713 SH SOLE 134713 0 0 AMERICAN TOWER CORP CL A 029912201 747 20771 SH SOLE 20771 0 0 AMERIPRISE FINL INC COM 03076C106 623 16301 SH SOLE 16301 0 0 AMERISOURCEBERGEN CORP COM 03073E105 317 8423 SH SOLE 8423 0 0 AMGEN INC NOTE 0.125% 2/0 031162AN0 0 1000000 PRN SOLE 1000000 0 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 0 1880000 PRN SOLE 1880000 0 0 AMGEN INC COM 031162100 3879 65442 SH SOLE 65442 0 0 ANADARKO PETE CORP COM 032511107 1743 35936 SH SOLE 35936 0 0 ANALOG DEVICES INC COM 032654105 373 14171 SH SOLE 14171 0 0 ANHEUSER BUSCH COS INC COM 035229103 1902 29316 SH SOLE 29316 0 0 ANIXTER INTL INC COM 035290105 234 3929 SH SOLE 3929 0 0 AON CORP COM 037389103 692 15384 SH SOLE 15384 0 0 APACHE CORP COM 037411105 1870 17931 SH SOLE 17931 0 0 APARTMENT INVT & MGMT CO CL A 03748R101 245 6985 SH SOLE 6985 0 0 APOLLO GROUP INC CL A 037604105 845 14246 SH SOLE 14246 0 0 APPLE INC COM 037833100 7859 69147 SH SOLE 69147 0 0 APPLIED BIOSYSTEMS INC DEL COM 038149100 290 8466 SH SOLE 8466 0 0 APPLIED MATLS INC COM 038222105 1622 107190 SH SOLE 107190 0 0 ARCHER DANIELS MIDLAND CO UNIT 99/99/9999 039483201 391 13000 SH SOLE 13000 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 1534 70032 SH SOLE 70032 0 0 ASSURANT INC COM 04621X108 255 4632 SH SOLE 4632 0 0 AT&T INC COM 00206R102 10338 370256 SH SOLE 370256 0 0 AUTODESK INC COM 052769106 381 11342 SH SOLE 11342 0 0 AUTOMATIC DATA PROCESSING IN COM 053015103 1138 26615 SH SOLE 26615 0 0 AUTOZONE INC COM 053332102 381 3088 SH SOLE 3088 0 0 AVALONBAY CMNTYS INC COM 053484101 446 4528 SH SOLE 4528 0 0 AVERY DENNISON CORP COM 053611109 226 5088 SH SOLE 5088 0 0 AVNET INC DBCV 2.000% 3/1 053807AL7 0 810000 PRN SOLE 810000 0 0 AVON PRODS INC COM 054303102 1345 32346 SH SOLE 32346 0 0 BAKER HUGHES INC COM 057224107 992 16388 SH SOLE 16388 0 0 BANK OF AMERICA CORPORATION COM 060505104 13757 393051 SH SOLE 393051 0 0 BANK OF NEW YORK MELLON CORP COM 064058100 2307 70797 SH SOLE 70797 0 0 BARD C R INC COM 067383109 594 6258 SH SOLE 6258 0 0 BARR PHARMACEUTICALS INC COM 068306109 357 5471 SH SOLE 5471 0 0 BAXTER INTL INC COM 071813109 2262 34467 SH SOLE 34467 0 0 BB&T CORP COM 054937107 1133 29974 SH SOLE 29974 0 0 BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 0 170000 PRN SOLE 170000 0 0 BECTON DICKINSON & CO COM 075887109 1259 15692 SH SOLE 15692 0 0 BED BATH & BEYOND INC COM 075896100 482 15360 SH SOLE 15360 0 0 BERKSHIRE HATHAWAY INC DEL CL B 084670207 308 70 SH SOLE 70 0 0 BEST BUY INC COM 086516101 997 26582 SH SOLE 26582 0 0 BIOGEN IDEC INC COM 09062X103 845 16802 SH SOLE 16802 0 0 BJ SVCS CO COM 055482103 276 14453 SH SOLE 14453 0 0 BLACK & DECKER CORP COM 091797100 241 3968 SH SOLE 3968 0 0 BLACKROCK DIVID ACHIEVRS TM COM 09250N107 906 93355 SH SOLE 93355 0 0 BLOCK H & R INC COM 093671105 363 15940 SH SOLE 15940 0 0 BMC SOFTWARE INC COM 055921100 275 9588 SH SOLE 9588 0 0 BOEING CO COM 097023105 2377 41451 SH SOLE 41451 0 0 BORDERS GROUP INC COM 099709107 85 13000 SH SOLE 13000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 0 100000 PRN SOLE 100000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 2.875% 2/1 10112RAK0 0 50000 PRN SOLE 50000 0 0 BOSTON PROPERTIES INC COM 101121101 654 6988 SH SOLE 6988 0 0 BOSTON SCIENTIFIC CORP COM 101137107 898 73179 SH SOLE 73179 0 0 BP PLC SPONSORED ADR 055622104 216 4300 SH SOLE 4300 0 0 BRANDYWINE OPER PARTNERSHIP NOTE 3.875%10/1 105340AH6 0 2050000 PRN SOLE 2050000 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 2698 129406 SH SOLE 129406 0 0 BROADCOM CORP CL A 111320107 438 23504 SH SOLE 23504 0 0 BROWN FORMAN CORP CL B 115637209 236 3287 SH SOLE 3287 0 0 BURLINGTON NORTHN SANTA FE C COM 12189T104 1940 20994 SH SOLE 20994 0 0 C H ROBINSON WORLDWIDE INC COM NEW 12541W209 378 7422 SH SOLE 7422 0 0 CA INC COM 12673P105 389 19478 SH SOLE 19478 0 0 CALAMOS STRATEGIC TOTL RETN COM SH BEN INT 128125101 819 94822 SH SOLE 94822 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 333 8630 SH SOLE 8630 0 0 CAMPBELL SOUP CO COM 134429109 413 10697 SH SOLE 10697 0 0 CAPITAL ONE FINL CORP COM 14040H105 1550 30388 SH SOLE 30388 0 0 CARDINAL HEALTH INC COM 14149Y108 1135 23034 SH SOLE 23034 0 0 CARNIVAL CORP PAIRED CTF 143658300 760 21493 SH SOLE 21493 0 0 CARNIVAL CORP DBCV 4/2 143658AV4 0 600000 PRN SOLE 600000 0 0 CATERPILLAR INC DEL COM 149123101 2238 37550 SH SOLE 37550 0 0 CBS CORP NEW CL B 124857202 587 40228 SH SOLE 40228 0 0 CELGENE CORP COM 151020104 1299 20530 SH SOLE 20530 0 0 CENTERPOINT ENERGY INC COM 15189T107 238 16319 SH SOLE 16319 0 0 CHESAPEAKE ENERGY CORP COM 165167107 817 22790 SH SOLE 22790 0 0 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 0 910000 PRN SOLE 910000 0 0 CHEVRON CORP NEW COM 166764100 10309 124983 SH SOLE 124983 0 0 CHUBB CORP COM 171232101 2423 44140 SH SOLE 44140 0 0 CIGNA CORP COM 125509109 592 17420 SH SOLE 17420 0 0 CINCINNATI FINL CORP COM 172062101 221 7772 SH SOLE 7772 0 0 CISCO SYS INC COM 17275R102 9070 402031 SH SOLE 402031 0 0 CIT GROUP INC COM 125581108 87 12564 SH SOLE 12564 0 0 CIT GROUP INC UNIT 99/99/9999 125581405 88 10000 SH SOLE 10000 0 0 CIT GROUP INC 8.75%PFD SER C 125581603 757 23000 SH SOLE 23000 0 0 CITIGROUP INC COM 172967101 5926 288951 SH SOLE 288951 0 0 CITRIX SYS INC COM 177376100 481 19032 SH SOLE 19032 0 0 CLOROX CO DEL COM 189054109 440 7014 SH SOLE 7014 0 0 CME GROUP INC COM 12572Q105 1111 2990 SH SOLE 2990 0 0 CMS ENERGY CORP COM 125896100 192 15393 SH SOLE 15393 0 0 COACH INC COM 189754104 433 17276 SH SOLE 17276 0 0 COCA COLA CO COM 191216100 5731 108374 SH SOLE 108374 0 0 COCA COLA ENTERPRISES INC COM 191219104 235 14013 SH SOLE 14013 0 0 COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 320 14004 SH SOLE 14004 0 0 COHEN & STEERS REIT & UTIL I COM 19247Y108 725 57804 SH SOLE 57804 0 0 COHEN & STEERS SELECT UTIL F COM 19248A109 438 27574 SH SOLE 27574 0 0 COLGATE PALMOLIVE CO COM 194162103 1962 26035 SH SOLE 26035 0 0 COMCAST CORP NEW CL A 20030N101 2922 148878 SH SOLE 148878 0 0 COMERICA INC COM 200340107 251 7665 SH SOLE 7665 0 0 COMPUTER SCIENCES CORP COM 205363104 457 11382 SH SOLE 11382 0 0 COMPUWARE CORP COM 205638109 132 13647 SH SOLE 13647 0 0 CONAGRA FOODS INC COM 205887102 465 23897 SH SOLE 23897 0 0 CONOCOPHILLIPS COM 20825C104 7741 105683 SH SOLE 105683 0 0 CONSOL ENERGY INC COM 20854P109 413 9007 SH SOLE 9007 0 0 CONSOLIDATED EDISON INC COM 209115104 584 13597 SH SOLE 13597 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 220 9066 SH SOLE 9066 0 0 COOPER INDS LTD CL A G24182100 438 10975 SH SOLE 10975 0 0 CORNING INC COM 219350105 1545 98791 SH SOLE 98791 0 0 COSTCO WHSL CORP NEW COM 22160K105 1778 27384 SH SOLE 27384 0 0 COVENTRY HEALTH CARE INC COM 222862104 224 6897 SH SOLE 6897 0 0 COVIDIEN LTD COM G2552X108 1518 28229 SH SOLE 28229 0 0 CSX CORP COM 126408103 1117 20475 SH SOLE 20475 0 0 CUMMINS INC COM 231021106 537 12284 SH SOLE 12284 0 0 CVS CAREMARK CORPORATION COM 126650100 3854 114485 SH SOLE 114485 0 0 D R HORTON INC COM 23331A109 175 13425 SH SOLE 13425 0 0 DANAHER CORP DEL COM 235851102 2535 36529 SH SOLE 36529 0 0 DARDEN RESTAURANTS INC COM 237194105 202 7066 SH SOLE 7066 0 0 DEERE & CO COM 244199105 2040 41205 SH SOLE 41205 0 0 DELL INC COM 24702R101 1827 110878 SH SOLE 110878 0 0 DEUTSCHE TELEKOM AG SPONSORED ADR 251566105 305 20000 SH SOLE 20000 0 0 DEVELOPERS DIVERSIFIED RLTY NOTE 3.000% 3/1 251591AS2 0 1050000 PRN SOLE 1050000 0 0 DEVON ENERGY CORP NEW COM 25179M103 2036 22324 SH SOLE 22324 0 0 DIAGEO P L C SPON ADR NEW 25243Q205 207 3000 SH SOLE 3000 0 0 DIRECTV GROUP INC COM 25459L106 933 35619 SH SOLE 35619 0 0 DISCOVER FINL SVCS COM 254709108 381 27569 SH SOLE 27569 0 0 DISNEY WALT CO COM DISNEY 254687106 3746 122044 SH SOLE 122044 0 0 DOMINION RES INC VA NEW COM 25746U109 1435 33550 SH SOLE 33550 0 0 DONNELLEY R R & SONS CO COM 257867101 260 10596 SH SOLE 10596 0 0 DOVER CORP COM 260003108 389 9603 SH SOLE 9603 0 0 DOW CHEM CO COM 260543103 2254 70937 SH SOLE 70937 0 0 DTE ENERGY CO COM 233331107 436 10855 SH SOLE 10855 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 2516 62420 SH SOLE 62420 0 0 DUKE ENERGY CORP NEW COM 26441C105 1451 83262 SH SOLE 83262 0 0 DYNEGY INC DEL CL A 26817G102 256 71501 SH SOLE 71501 0 0 E M C CORP MASS COM 268648102 2181 182399 SH SOLE 182399 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 0 100000 PRN SOLE 100000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AK8 0 850000 PRN SOLE 850000 0 0 E TRADE FINANCIAL CORP COM 269246104 71 25308 SH SOLE 25308 0 0 EASTMAN CHEM CO COM 277432100 218 3952 SH SOLE 3952 0 0 EASTMAN KODAK CO COM 277461109 220 14292 SH SOLE 14292 0 0 EATON CORP COM 278058102 449 7998 SH SOLE 7998 0 0 EBAY INC COM 278642103 1661 74232 SH SOLE 74232 0 0 ECOLAB INC COM 278865100 423 8727 SH SOLE 8727 0 0 EDISON INTL COM 281020107 643 16106 SH SOLE 16106 0 0 EL PASO CORP COM 28336L109 574 44987 SH SOLE 44987 0 0 ELECTRONIC ARTS INC COM 285512109 579 15657 SH SOLE 15657 0 0 EMBARQ CORP COM 29078E105 391 9646 SH SOLE 9646 0 0 EMERSON ELEC CO COM 291011104 3292 80709 SH SOLE 80709 0 0 ENSCO INTL INC COM 26874Q100 375 6500 SH SOLE 6500 0 0 ENTERGY CORP NEW COM 29364G103 1105 12416 SH SOLE 12416 0 0 EOG RES INC COM 26875P101 1124 12564 SH SOLE 12564 0 0 EQUIFAX INC COM 294429105 223 6470 SH SOLE 6470 0 0 EQUITY RESIDENTIAL SH BEN INT 29476L107 735 16540 SH SOLE 16540 0 0 ERP OPER LTD PARTNERSHIP NOTE 3.850% 8/1 26884AAV5 0 550000 PRN SOLE 550000 0 0 ESSEX PPTY TR INC COM 297178105 204 1728 SH SOLE 1728 0 0 EXELON CORP COM 30161N101 3277 52325 SH SOLE 52325 0 0 EXPEDITORS INTL WASH INC COM 302130109 296 8490 SH SOLE 8490 0 0 EXPRESS SCRIPTS INC COM 302182100 977 13241 SH SOLE 13241 0 0 EXXON MOBIL CORP COM 30231G102 24062 309833 SH SOLE 309833 0 0 FEDERAL HOME LN MTG CORP COM 313400301 55 32382 SH SOLE 32382 0 0 FEDERAL NATL MTG ASSN COM 313586109 87 56930 SH SOLE 56930 0 0 FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 349 4078 SH SOLE 4078 0 0 FEDEX CORP COM 31428X106 1613 20404 SH SOLE 20404 0 0 FIFTH THIRD BANCORP COM 316773100 372 31258 SH SOLE 31258 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 697 6500 SH SOLE 6500 0 0 FIRST MARBLEHEAD CORP COM 320771108 181 72781 SH SOLE 72781 0 0 FIRSTENERGY CORP COM 337932107 2198 32813 SH SOLE 32813 0 0 FISERV INC COM 337738108 387 8186 SH SOLE 8186 0 0 FLEXTRONICS INTL LTD NOTE 1.000% 8/0 33938EAL1 0 1080000 PRN SOLE 1080000 0 0 FLUOR CORP NEW COM 343412102 501 9002 SH SOLE 9002 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 602 115843 SH SOLE 115843 0 0 FOREST LABS INC COM 345838106 642 22697 SH SOLE 22697 0 0 FORTUNE BRANDS INC COM 349631101 449 7830 SH SOLE 7830 0 0 FPL GROUP INC COM 302571104 1211 24076 SH SOLE 24076 0 0 FRANKLIN RES INC COM 354613101 722 8187 SH SOLE 8187 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 1122 19738 SH SOLE 19738 0 0 FRONTIER COMMUNICATIONS CORP COM 35906A108 179 15525 SH SOLE 15525 0 0 GAMESTOP CORP NEW CL A 36467W109 221 6460 SH SOLE 6460 0 0 GANNETT INC COM 364730101 294 17377 SH SOLE 17377 0 0 GAP INC DEL COM 364760108 408 22960 SH SOLE 22960 0 0 GENERAL DYNAMICS CORP COM 369550108 1713 23272 SH SOLE 23272 0 0 GENERAL ELECTRIC CO COM 369604103 15701 615729 SH SOLE 615729 0 0 GENERAL GROWTH PPTYS INC COM 370021107 170 11246 SH SOLE 11246 0 0 GENERAL MLS INC COM 370334104 1220 17756 SH SOLE 17756 0 0 GENERAL MTRS CORP COM 370442105 270 28576 SH SOLE 28576 0 0 GENUINE PARTS CO COM 372460105 328 8148 SH SOLE 8148 0 0 GENWORTH FINL INC COM CL A 37247D106 183 21311 SH SOLE 21311 0 0 GENZYME CORP COM 372917104 1203 14874 SH SOLE 14874 0 0 GILEAD SCIENCES INC COM 375558103 2087 45731 SH SOLE 45731 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 3969 31007 SH SOLE 31007 0 0 GOODRICH CORP COM 382388106 262 6308 SH SOLE 6308 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 172 11257 SH SOLE 11257 0 0 GOOGLE INC CL A 38259P508 4641 11489 SH SOLE 11489 0 0 GRAINGER W W INC COM 384802104 303 3483 SH SOLE 3483 0 0 HALLIBURTON CO COM 406216101 1487 45917 SH SOLE 45917 0 0 HANCOCK JOHN TAX-ADV DIV INC COM 41013V100 251 22300 SH SOLE 22300 0 0 HANOVER COMPRESSOR CO NOTE 4.750% 1/1 410768AE5 0 33000 PRN SOLE 33000 0 0 HARLEY DAVIDSON INC COM 412822108 430 11517 SH SOLE 11517 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 791 19290 SH SOLE 19290 0 0 HASBRO INC COM 418056107 246 7088 SH SOLE 7088 0 0 HCP INC COM 40414L109 362 9010 SH SOLE 9010 0 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 0 2050000 PRN SOLE 2050000 0 0 HEINZ H J CO COM 423074103 1069 21396 SH SOLE 21396 0 0 HERCULES OFFSHORE INC NOTE 3.375% 6/0 427093AA7 0 500000 PRN SOLE 500000 0 0 HERSHEY CO COM 427866108 421 10648 SH SOLE 10648 0 0 HESS CORP COM 42809H107 1334 16249 SH SOLE 16249 0 0 HEWLETT PACKARD CO COM 428236103 6327 136830 SH SOLE 136830 0 0 HOME DEPOT INC COM 437076102 2525 97530 SH SOLE 97530 0 0 HONEYWELL INTL INC COM 438516106 2449 58940 SH SOLE 58940 0 0 HOSPIRA INC COM 441060100 471 12320 SH SOLE 12320 0 0 HOSPITALITY PPTYS TR NOTE 3.800% 3/1 44106MAK8 0 550000 PRN SOLE 550000 0 0 HOST HOTELS & RESORTS INC COM 44107P104 301 22612 SH SOLE 22612 0 0 HUDSON CITY BANCORP COM 443683107 411 22299 SH SOLE 22299 0 0 HUMANA INC COM 444859102 345 8366 SH SOLE 8366 0 0 HUNTINGTON BANCSHARES INC COM 446150104 137 17095 SH SOLE 17095 0 0 ILLINOIS TOOL WKS INC COM 452308109 1092 24561 SH SOLE 24561 0 0 ING CLARION GLB RE EST INCM COM 44982G104 122 13902 SH SOLE 13902 0 0 INGERSOLL-RAND COMPANY LTD CL A G4776G101 586 18799 SH SOLE 18799 0 0 INTEGRYS ENERGY GROUP INC COM 45822P105 1244 24910 SH SOLE 24910 0 0 INTEL CORP COM 458140100 7932 423496 SH SOLE 423496 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 235 2910 SH SOLE 2910 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 9683 82788 SH SOLE 82788 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 784 45618 SH SOLE 45618 0 0 INTERNATIONAL GAME TECHNOLOG DBCV 2.600%12/1 459902AP7 0 1880000 PRN SOLE 1880000 0 0 INTERPUBLIC GROUP COS INC COM 460690100 177 22885 SH SOLE 22885 0 0 INTL PAPER CO COM 460146103 658 25147 SH SOLE 25147 0 0 INTUIT COM 461202103 509 16118 SH SOLE 16118 0 0 INTUITIVE SURGICAL INC COM NEW 46120E602 393 1630 SH SOLE 1630 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 0 571000 PRN SOLE 571000 0 0 ISTAR FINL INC COM 45031U101 42 16100 SH SOLE 16100 0 0 ISTAR FINL INC FRNT 10/0 45031UBF7 0 1850000 PRN SOLE 1850000 0 0 ITT CORP NEW COM 450911102 595 10706 SH SOLE 10706 0 0 JABIL CIRCUIT INC COM 466313103 96 10019 SH SOLE 10019 0 0 JACOBS ENGR GROUP INC DEL COM 469814107 264 4869 SH SOLE 4869 0 0 JANUS CAP GROUP INC COM 47102X105 228 9383 SH SOLE 9383 0 0 JDS UNIPHASE CORP COM PAR $0.001 46612J507 204 24094 SH SOLE 24094 0 0 JOHNSON & JOHNSON COM 478160104 11273 162715 SH SOLE 162715 0 0 JOHNSON CTLS INC COM 478366107 1566 51623 SH SOLE 51623 0 0 JPMORGAN & CHASE & CO COM 46625H100 10151 217371 SH SOLE 217371 0 0 JUNIPER NETWORKS INC COM 48203R104 843 40032 SH SOLE 40032 0 0 KELLOGG CO COM 487836108 728 12971 SH SOLE 12971 0 0 KEYCORP NEW COM 493267108 276 23153 SH SOLE 23153 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 553 6500 SH SOLE 6500 0 0 KIMBERLY CLARK CORP COM 494368103 1567 24172 SH SOLE 24172 0 0 KIMCO REALTY CORP COM 49446R109 418 11314 SH SOLE 11314 0 0 KING PHARMACEUTICALS INC NOTE 1.250% 4/0 495582AJ7 0 1200000 PRN SOLE 1200000 0 0 KING PHARMACEUTICALS INC COM 495582108 115 12050 SH SOLE 12050 0 0 KLA-TENCOR CORP COM 482480100 281 8870 SH SOLE 8870 0 0 KOHLS CORP COM 500255104 848 18392 SH SOLE 18392 0 0 KRAFT FOODS INC CL A 50075N104 2673 81631 SH SOLE 81631 0 0 KROGER CO COM 501044101 913 33238 SH SOLE 33238 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 634 6446 SH SOLE 6446 0 0 LABORATORY CORP AMER HLDGS COM NEW 50540R409 401 5765 SH SOLE 5765 0 0 LANDAMERICA FINL GROUP INC DBCV 3.125%11/1 514936AB9 0 1100000 PRN SOLE 1100000 0 0 LAUDER ESTEE COS INC CL A 518439104 283 5675 SH SOLE 5675 0 0 LEGG MASON INC COM 524901105 265 6960 SH SOLE 6960 0 0 LEHMAN BROS HLDGS INC COM 524908100 7 32120 SH SOLE 32120 0 0 LEUCADIA NATL CORP COM 527288104 362 7964 SH SOLE 7964 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 0 1118740 PRN SOLE 1118740 0 0 LILLY ELI & CO COM 532457108 2354 53461 SH SOLE 53461 0 0 LIMITED BRANDS INC COM 532716107 264 15224 SH SOLE 15224 0 0 LINCOLN NATL CORP IND COM 534187109 564 13166 SH SOLE 13166 0 0 LINEAR TECHNOLOGY CORP COM 535678106 505 16470 SH SOLE 16470 0 0 LOCKHEED MARTIN CORP COM 539830109 1956 17832 SH SOLE 17832 0 0 LOEWS CORP COM 540424108 709 17942 SH SOLE 17942 0 0 LORILLARD INC COM 544147101 378 5316 SH SOLE 5316 0 0 LOWES COS INC COM 548661107 2378 100379 SH SOLE 100379 0 0 LSI CORPORATION COM 502161102 163 30415 SH SOLE 30415 0 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AG2 0 289000 PRN SOLE 289000 0 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 0 289000 PRN SOLE 289000 0 0 M & T BK CORP COM 55261F104 415 4652 SH SOLE 4652 0 0 MACQUARIE INFRASTR CO LLC MEMBERSHIP INT 55608B105 148 11200 SH SOLE 11200 0 0 MACYS INC COM 55616P104 464 25810 SH SOLE 25810 0 0 MARATHON OIL CORP COM 565849106 1399 35078 SH SOLE 35078 0 0 MARRIOTT INTL INC NEW CL A 571903202 397 15200 SH SOLE 15200 0 0 MARSH & MCLENNAN COS INC COM 571748102 837 26340 SH SOLE 26340 0 0 MARSHALL & ILSLEY CORP NEW COM 571837103 256 12722 SH SOLE 12722 0 0 MASCO CORP COM 574599106 327 18227 SH SOLE 18227 0 0 MASTERCARD INC CL A 57636Q104 339 1910 SH SOLE 1910 0 0 MATTEL INC COM 577081102 326 18055 SH SOLE 18055 0 0 MAXTOR CORP NOTE 6.800% 4/3 577729AC0 0 3050000 PRN SOLE 3050000 0 0 MBIA INC COM 55262C100 173 14570 SH SOLE 14570 0 0 MCCORMICK & CO INC COM NON VTG 579780206 242 6299 SH SOLE 6299 0 0 MCDONALDS CORP COM 580135101 3828 62047 SH SOLE 62047 0 0 MCG CAPITAL CORP COM 58047P107 31 12000 SH SOLE 12000 0 0 MCGRAW HILL COS INC COM 580645109 608 19221 SH SOLE 19221 0 0 MCKESSON CORP COM 58155Q103 756 14050 SH SOLE 14050 0 0 MEADWESTVACO CORP COM 583334107 202 8649 SH SOLE 8649 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 1445 32108 SH SOLE 32108 0 0 MEDTRONIC INC COM 585055106 3239 64651 SH SOLE 64651 0 0 MEDTRONIC INC NOTE 1.500% 4/1 585055AL0 0 1880000 PRN SOLE 1880000 0 0 MEMC ELECTR MATLS INC COM 552715104 278 9822 SH SOLE 9822 0 0 MERCK & CO INC COM 589331107 3700 117238 SH SOLE 117238 0 0 MERRILL LYNCH & CO INC COM 590188108 1715 67782 SH SOLE 67782 0 0 METLIFE INC COM 59156R108 2613 46660 SH SOLE 46660 0 0 MICROCHIP TECHNOLOGY INC COM 595017104 225 7649 SH SOLE 7649 0 0 MICRON TECHNOLOGY INC COM 595112103 186 45863 SH SOLE 45863 0 0 MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 0 1075000 PRN SOLE 1075000 0 0 MICROSOFT CORP COM 594918104 13256 496661 SH SOLE 496661 0 0 MILLIPORE CORP COM 601073109 200 2901 SH SOLE 2901 0 0 MOLSON COORS BREWING CO CL B 60871R209 243 5189 SH SOLE 5189 0 0 MONSANTO CO NEW COM 61166W101 4548 45944 SH SOLE 45944 0 0 MOODYS CORP COM 615369105 339 9957 SH SOLE 9957 0 0 MORGAN STANLEY COM NEW 617446448 1409 61269 SH SOLE 61269 0 0 MOTOROLA INC COM 620076109 1102 154315 SH SOLE 154315 0 0 MURPHY OIL CORP COM 626717102 609 9490 SH SOLE 9490 0 0 MYLAN INC COM 628530107 414 36241 SH SOLE 36241 0 0 NABORS INDS INC NOTE 0.940% 5/1 629568AP1 0 1250000 PRN SOLE 1250000 0 0 NABORS INDUSTRIES LTD SHS G6359F103 441 17711 SH SOLE 17711 0 0 NATIONAL CITY CORP COM 635405103 61 34850 SH SOLE 34850 0 0 NATIONAL CITY CORP NOTE 4.000% 2/0 635405AW3 0 1150000 PRN SOLE 1150000 0 0 NATIONAL OILWELL VARCO INC COM 637071101 1184 23577 SH SOLE 23577 0 0 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 0 750000 PRN SOLE 750000 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 196 11382 SH SOLE 11382 0 0 NATIONAL WESTMINSTER BK PLC SPON ADR C 638539882 1159 125000 SH SOLE 125000 0 0 NETAPP INC COM 64110D104 315 17275 SH SOLE 17275 0 0 NEW YORK TIMES CO CL A 650111107 164 11491 SH SOLE 11491 0 0 NEWELL RUBBERMAID INC COM 651229106 242 14013 SH SOLE 14013 0 0 NEWMONT MINING CORP COM 651639106 867 22358 SH SOLE 22358 0 0 NEWS CORP CL A 65248E104 1776 148156 SH SOLE 148156 0 0 NIKE INC CL B 654106103 1870 27951 SH SOLE 27951 0 0 NISOURCE INC COM 65473P105 199 13496 SH SOLE 13496 0 0 NOBLE CORPORATION SHS G65422100 1070 24376 SH SOLE 24376 0 0 NOBLE ENERGY INC COM 655044105 382 6866 SH SOLE 6866 0 0 NOKIA CORP SPONSORED ADR 654902204 233 12500 SH SOLE 12500 0 0 NORDSTROM INC COM 655664100 267 9271 SH SOLE 9271 0 0 NORFOLK SOUTHERN CORP COM 655844108 1253 18929 SH SOLE 18929 0 0 NORTHERN TR CORP COM 665859104 728 10086 SH SOLE 10086 0 0 NORTHROP GRUMMAN CORP COM 666807102 1064 17571 SH SOLE 17571 0 0 NORTHWESTERN CORP COM NEW 668074305 3034 120730 SH SOLE 120730 0 0 NOVELL INC COM 670006105 94 18322 SH SOLE 18322 0 0 NUCOR CORP COM 670346105 581 14709 SH SOLE 14709 0 0 NUVEEN QUALITY PFD INCOME FD COM 67072C105 60 10000 SH SOLE 10000 0 0 NVIDIA CORP COM 67066G104 290 27115 SH SOLE 27115 0 0 NYSE EURONEXT COM 629491101 431 11012 SH SOLE 11012 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 3309 46971 SH SOLE 46971 0 0 OFFICE DEPOT INC COM 676220106 309 53178 SH SOLE 53178 0 0 OMNICOM GROUP INC COM 681919106 734 19033 SH SOLE 19033 0 0 OPNET TECHNOLOGIES INC COM 683757108 195 16000 SH SOLE 16000 0 0 ORACLE CORP COM 68389X105 5797 285403 SH SOLE 285403 0 0 PACCAR INC COM 693718108 815 21351 SH SOLE 21351 0 0 PALL CORP COM 696429307 205 5951 SH SOLE 5951 0 0 PARKER HANNIFIN CORP COM 701094104 895 16884 SH SOLE 16884 0 0 PAYCHEX INC COM 704326107 536 16226 SH SOLE 16226 0 0 PEABODY ENERGY CORP COM 704549104 588 13076 SH SOLE 13076 0 0 PENNEY J C INC COM 708160106 367 10999 SH SOLE 10999 0 0 PEPSICO INC COM 713448108 5914 82981 SH SOLE 82981 0 0 PFIZER INC COM 717081103 7732 419315 SH SOLE 419315 0 0 PG&E CORP COM 69331C108 660 17621 SH SOLE 17621 0 0 PHILIP MORRIS INTL INC COM 718172109 4854 100912 SH SOLE 100912 0 0 PITNEY BOWES INC COM 724479100 849 25537 SH SOLE 25537 0 0 PLACER DOME INC DBCV 2.750%10/1 725906AK7 0 675000 PRN SOLE 675000 0 0 PLUM CREEK TIMBER CO INC COM 729251108 610 12227 SH SOLE 12227 0 0 PNC FINL SVCS GROUP INC COM 693475105 1613 21589 SH SOLE 21589 0 0 PPG INDS INC COM 693506107 820 14062 SH SOLE 14062 0 0 PPL CORP COM 69351T106 847 22875 SH SOLE 22875 0 0 PRAXAIR INC COM 74005P104 1288 17958 SH SOLE 17958 0 0 PRECISION CASTPARTS CORP COM 740189105 496 6292 SH SOLE 6292 0 0 PRICE T ROWE GROUP INC COM 74144T108 698 13003 SH SOLE 13003 0 0 PRINCIPAL FINANCIAL GROUP IN COM 74251V102 585 13446 SH SOLE 13446 0 0 PROCTER & GAMBLE CO COM 742718109 10990 157695 SH SOLE 157695 0 0 PROGRESS ENERGY INC COM 743263105 565 13103 SH SOLE 13103 0 0 PROGRESSIVE CORP OHIO COM 743315103 704 40435 SH SOLE 40435 0 0 PROLOGIS SH BEN INT 743410102 693 16793 SH SOLE 16793 0 0 PROLOGIS NOTE 2.250% 4/0 743410AQ5 0 2150000 PRN SOLE 2150000 0 0 PRUDENTIAL FINL INC COM 744320102 1606 22307 SH SOLE 22307 0 0 PUBLIC STORAGE COM 74460D109 748 7551 SH SOLE 7551 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 843 25700 SH SOLE 25700 0 0 PULTE HOMES INC COM 745867101 173 12352 SH SOLE 12352 0 0 QCR HOLDINGS INC COM 74727A104 133 10000 SH SOLE 10000 0 0 QUALCOMM INC COM 747525103 4319 100521 SH SOLE 100521 0 0 QUEST DIAGNOSTICS INC COM 74834L100 888 17194 SH SOLE 17194 0 0 QUESTAR CORP COM 748356102 348 8498 SH SOLE 8498 0 0 QWEST COMMUNICATIONS INTL IN COM 749121109 274 84691 SH SOLE 84691 0 0 RANGE RES CORP COM 75281A109 257 5990 SH SOLE 5990 0 0 RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 0 120000 PRN SOLE 120000 0 0 RAYTHEON CO COM NEW 755111507 1188 22193 SH SOLE 22193 0 0 RECKSON OPER PARTNERSHIP L P DEB 4.000% 6/1 75621LAJ3 0 150000 PRN SOLE 150000 0 0 REGENCY CTRS CORP COM 758849103 333 5000 SH SOLE 5000 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 340 35414 SH SOLE 35414 0 0 REYNOLDS AMERICAN INC COM 761713106 452 9305 SH SOLE 9305 0 0 RF MICRODEVICES INC COM 749941100 58 20000 SH SOLE 20000 0 0 ROCKWELL AUTOMATION INC COM 773903109 280 7508 SH SOLE 7508 0 0 ROCKWELL COLLINS INC COM 774341101 387 8042 SH SOLE 8042 0 0 ROHM & HAAS CO COM 775371107 454 6484 SH SOLE 6484 0 0 ROYAL BK SCOTLAND GROUP PLC SP ADR L RP PF 780097788 2730 300000 SH SOLE 300000 0 0 ROYAL BK SCOTLAND GROUP PLC SP ADR PREF M 780097796 185 20000 SH SOLE 20000 0 0 SAFEWAY INC COM NEW 786514208 515 21697 SH SOLE 21697 0 0 SANDISK CORP COM 80004C101 213 10912 SH SOLE 10912 0 0 SANMINA SCI CORP COM 800907107 45 31839 SH SOLE 31839 0 0 SARA LEE CORP COM 803111103 641 50717 SH SOLE 50717 0 0 SCHERING PLOUGH CORP PFD CONV MAN07 806605705 1712 10000 SH SOLE 10000 0 0 SCHERING PLOUGH CORP COM 806605101 1705 92285 SH SOLE 92285 0 0 SCHLUMBERGER LTD COM 806857108 5377 68855 SH SOLE 68855 0 0 SCHWAB CHARLES CORP NEW COM 808513105 1385 53287 SH SOLE 53287 0 0 SEARS HLDGS CORP COM 812350106 377 4035 SH SOLE 4035 0 0 SEMPRA ENERGY COM 816851109 641 12702 SH SOLE 12702 0 0 SHERWIN WILLIAMS CO COM 824348106 291 5091 SH SOLE 5091 0 0 SHIRE LIMITED SPONSORED ADR 82481R106 239 5000 SH SOLE 5000 0 0 SIGMA ALDRICH CORP COM 826552101 607 11586 SH SOLE 11586 0 0 SIMON PPTY GROUP INC NEW COM 828806109 1284 13232 SH SOLE 13232 0 0 SIMON PPTY GROUP INC NEW PFD CONV I 6% 828806802 936 11900 SH SOLE 11900 0 0 SINCLAIR BROADCAST GROUP INC NOTE 4.875% 7/1 829226AU3 0 804000 PRN SOLE 804000 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 187 22416 SH SOLE 22416 0 0 SLM CORP COM 78442P106 278 22568 SH SOLE 22568 0 0 SMITH INTL INC COM 832110100 594 10125 SH SOLE 10125 0 0 SOUTHERN CO COM 842587107 1449 38438 SH SOLE 38438 0 0 SOUTHWEST AIRLS CO COM 844741108 619 42637 SH SOLE 42637 0 0 SOUTHWESTERN ENERGY CO COM 845467109 384 12580 SH SOLE 12580 0 0 SOVEREIGN BANCORP INC COM 845905108 89 22613 SH SOLE 22613 0 0 SPECTRA ENERGY CORP COM 847560109 984 41328 SH SOLE 41328 0 0 SPRINT NEXTEL CORP COM SER 1 852061100 1769 289942 SH SOLE 289942 0 0 ST JUDE MED INC DBCV 1.220%12/1 790849AD5 0 500000 PRN SOLE 500000 0 0 ST JUDE MED INC COM 790849103 733 16852 SH SOLE 16852 0 0 STAPLES INC COM 855030102 1792 79646 SH SOLE 79646 0 0 STARBUCKS CORP COM 855244109 792 53264 SH SOLE 53264 0 0 STARWOOD HOTELS&RESORTS WRLD COM 85590A401 273 9711 SH SOLE 9711 0 0 STATE STR CORP COM 857477103 1644 28897 SH SOLE 28897 0 0 STRYKER CORP COM 863667101 1500 24083 SH SOLE 24083 0 0 SUN MICROSYSTEMS INC COM NEW 866810203 551 72457 SH SOLE 72457 0 0 SUNOCO INC COM 86764P109 250 7018 SH SOLE 7018 0 0 SUNTRUST BKS INC COM 867914103 1106 24588 SH SOLE 24588 0 0 SUPERVALU INC COM 868536103 225 10391 SH SOLE 10391 0 0 SYCAMORE NETWORKS INC COM 871206108 249 77000 SH SOLE 77000 0 0 SYMANTEC CORP COM 871503108 1452 74150 SH SOLE 74150 0 0 SYSCO CORP COM 871829107 1146 37177 SH SOLE 37177 0 0 TARGET CORP COM 87612E106 1966 40086 SH SOLE 40086 0 0 TECH DATA CORP DBCV 2.750%12/1 878237AE6 0 1200000 PRN SOLE 1200000 0 0 TECO ENERGY INC COM 872375100 166 10578 SH SOLE 10578 0 0 TELLABS INC COM 879664100 237 58485 SH SOLE 58485 0 0 TENET HEALTHCARE CORP COM 88033G100 129 23312 SH SOLE 23312 0 0 TERADYNE INC COM 880770102 99 12724 SH SOLE 12724 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 0 1800000 PRN SOLE 1800000 0 0 TEXAS INSTRS INC COM 882508104 1561 72607 SH SOLE 72607 0 0 TEXTRON INC COM 883203101 426 14553 SH SOLE 14553 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 1152 20948 SH SOLE 20948 0 0 TIBCO SOFTWARE INC COM 88632Q103 73 10000 SH SOLE 10000 0 0 TIFFANY & CO NEW COM 886547108 224 6316 SH SOLE 6316 0 0 TIME WARNER CABLE INC CL A 88732J108 318 13133 SH SOLE 13133 0 0 TIME WARNER INC COM 887317105 4459 340137 SH SOLE 340137 0 0 TJX COS INC NEW COM 872540109 711 23300 SH SOLE 23300 0 0 TORCHMARK CORP COM 891027104 275 4594 SH SOLE 4594 0 0 TRANSOCEAN INC NEW SHS G90073100 1934 17607 SH SOLE 17607 0 0 TRANSOCEAN SEDCO FOREX INC NOTE 1.500%12/1 893830AV1 0 1050000 PRN SOLE 1050000 0 0 TRANSOCEAN SEDCO FOREX INC NOTE 1.500%12/1 893830AW9 0 700000 PRN SOLE 700000 0 0 TRANSWITCH CORP COM 894065101 8 14000 SH SOLE 14000 0 0 TRAVELERS COMPANIES INC COM 89417E109 1732 38316 SH SOLE 38316 0 0 TW TELECOM INC COM 87311L104 104 10000 SH SOLE 10000 0 0 TYCO ELECTRONICS LTD COM NEW G9144P105 746 26969 SH SOLE 26969 0 0 TYCO INTL LTD BERMUDA SHS G9143X208 948 27056 SH SOLE 27056 0 0 TYSON FOODS INC CL A 902494103 176 14706 SH SOLE 14706 0 0 UNION PAC CORP COM 907818108 2699 37922 SH SOLE 37922 0 0 UNISYS CORP COM 909214108 50 18143 SH SOLE 18143 0 0 UNITED PARCEL SERVICE INC CL B 911312106 3877 61654 SH SOLE 61654 0 0 UNITED STATES STL CORP NEW COM 912909108 477 6147 SH SOLE 6147 0 0 UNITED TECHNOLOGIES CORP COM 913017109 3607 60054 SH SOLE 60054 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 526 5000 SH SOLE 5000 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1941 76432 SH SOLE 76432 0 0 UNUM GROUP COM 91529Y106 433 17243 SH SOLE 17243 0 0 US BANCORP DEL COM NEW 902973304 3910 108542 SH SOLE 108542 0 0 US BANCORP DEL DBCV 2/0 902973AT3 0 1850000 PRN SOLE 1850000 0 0 UST INC COM 902911106 407 6115 SH SOLE 6115 0 0 V F CORP COM 918204108 354 4575 SH SOLE 4575 0 0 VALERO ENERGY CORP NEW COM 91913Y100 815 26906 SH SOLE 26906 0 0 VARIAN MED SYS INC COM 92220P105 314 5504 SH SOLE 5504 0 0 VERISIGN INC COM 92343E102 1124 43091 SH SOLE 43091 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 6351 197914 SH SOLE 197914 0 0 VIACOM INC NEW CL B 92553P201 979 39427 SH SOLE 39427 0 0 VORNADO RLTY TR SH BEN INT 929042109 614 6746 SH SOLE 6746 0 0 VORNADO RLTY TR DBCV 2.850% 4/0 929042AC3 0 3150000 PRN SOLE 3150000 0 0 VULCAN MATLS CO COM 929160109 405 5438 SH SOLE 5438 0 0 WACHOVIA CORP NEW COM 929903102 695 198697 SH SOLE 198697 0 0 WAL MART STORES INC COM 931142103 7860 131244 SH SOLE 131244 0 0 WALGREEN CO COM 931422109 1786 57690 SH SOLE 57690 0 0 WASHINGTON MUT INC COM 939322103 6 78935 SH SOLE 78935 0 0 WASHINGTON POST CO CL B 939640108 245 440 SH SOLE 440 0 0 WASTE MGMT INC DEL COM 94106L109 780 24776 SH SOLE 24776 0 0 WATERS CORP COM 941848103 471 8092 SH SOLE 8092 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 904 35976 SH SOLE 35976 0 0 WELLPOINT INC COM 94973V107 2162 46235 SH SOLE 46235 0 0 WELLS FARGO & CO NEW COM 949746101 6459 172113 SH SOLE 172113 0 0 WESTERN UN CO COM 959802109 919 37263 SH SOLE 37263 0 0 WEYERHAEUSER CO COM 962166104 867 14309 SH SOLE 14309 0 0 WHIRLPOOL CORP COM 963320106 587 7407 SH SOLE 7407 0 0 WILLIAMS COS INC DEL COM 969457100 827 34965 SH SOLE 34965 0 0 WINDSTREAM CORP COM 97381W104 255 23289 SH SOLE 23289 0 0 WOODWARD GOVERNOR CO COM 980745103 495 14038 SH SOLE 14038 0 0 WRIGLEY WM JR CO COM 982526105 868 10937 SH SOLE 10937 0 0 WYETH COM 983024100 2932 79383 SH SOLE 79383 0 0 WYNDHAM WORLDWIDE CORP COM 98310W108 369 23465 SH SOLE 23465 0 0 XCEL ENERGY INC COM 98389B100 627 31347 SH SOLE 31347 0 0 XEROX CORP COM 984121103 700 60742 SH SOLE 60742 0 0 XILINX INC COM 983919101 709 30240 SH SOLE 30240 0 0 XL CAP LTD CL A G98255105 214 11951 SH SOLE 11951 0 0 XTO ENERGY INC COM 98385X106 1172 25197 SH SOLE 25197 0 0 YAHOO INC COM 984332106 1144 66102 SH SOLE 66102 0 0 YELLOW ROADWAY CORP NOTE 3.375%11/2 985577AB1 0 1475000 PRN SOLE 1475000 0 0 YUM BRANDS INC COM 988498101 1911 58608 SH SOLE 58608 0 0 ZIMMER HLDGS INC COM 98956P102 1234 19116 SH SOLE 19116 0 0 ZIONS BANCORPORATION COM 989701107 337 8714 SH SOLE 8714 0 0
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