13F-HR 1 march13f.txt 13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 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: Lehman Brothers Holdings Inc. Address: 745 Seventh Avenue New York, New York 10019 Form 13F File Number: 28-3182 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 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: James J. Killerlane III Title: Vice President Phone: 212 526-1695 Signature, Place and Date of Signing: /s/ James J. Killerlane III New York, NY May 12, 2008 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 another 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).) FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 1 Form 13F Information Table Entry Total: 2518 Form 13F Information Table Value Total 21,783,158 (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. No. Form 13F File Number Name 1 28-1159 Lehman Brothers Inc. Please note that confidential information has been omitted from this report and filed separately with the Securities and Exchange Commission.
TITLE OF VALUE SHRS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY NAME OF ISSUER CLASS CUSIP (X$1000) PRN AMT PRN CALL DISCRETION MANAGERS SOLE SHARED NONE ABB LTD ADR 000375204 27,449 1,019,671 SH DEFINED 1 1,019,671 - - AIRMEDIA GROUP INC ADR 009411109 18,434 1,159,392 SH DEFINED 1 1,159,392 - - ALCATEL-LUCENT ADR 013904305 1,670 289,953 SH DEFINED 1 289,953 - - ALLIANZ SE ADR 018805101 239 12,200 SH DEFINED 1 12,200 - - ALUMINUM CORP CHINA LTD ADR 022276109 1,478 36,581 SH DEFINED 1 36,581 - - AMDOCS LIMITED ADR G02602103 506 17,856 SH DEFINED 1 17,856 - - AMERICA MOVIL S A B DE C V ADR 02364W105 33,650 528,352 SH DEFINED 1 528,352 - - ANGLO AMERICAN PLC ADR 03485P201 1,517 50,971 SH DEFINED 1 50,971 - - ANGLOGOLD ASHANTI LTD (NEW) ADR 035128206 6,235 183,604 SH DEFINED 1 183,604 - - ARACRUZ CELLULOSE SA ADR 038496204 1,743 25,544 SH DEFINED 1 25,544 - - ARCELORMITTAL SA LUXEMBOURG ADR 03938L104 7,191 87,914 SH DEFINED 1 87,914 - - ASE TEST LTD-ORD ADR Y02516105 299 20,600 SH DEFINED 1 20,600 - - ASML HOLDING N V ADR N07059186 7,310 294,640 SH DEFINED 1 294,640 - - ASTRAZENECA PLC ADR 046353108 6,271 165,090 SH DEFINED 1 165,090 - - AU OPTRONICS CORP ADR 002255107 269 15,705 SH DEFINED 1 15,705 - - AXA-UAP-SPONSORED ADR ADR 054536107 1,835 50,835 SH DEFINED 1 49,337 - 1,498 BAIDU.COM INC ADR 056752108 144,332 602,313 SH DEFINED 1 602,313 - - BANCO BILBAO VIZCAYA ADR 05946K101 1,810 82,312 SH DEFINED 1 82,312 - - BANCO BRADESCO S A ADR 059460303 23,890 860,602 SH DEFINED 1 860,602 - - BANCO ITAU HOLDING ADR 059602201 33,682 1,479,897 SH DEFINED 1 1,479,897 - - BHP BILLITON LTD ADR 088606108 64,115 973,665 SH DEFINED 1 973,665 - - BP P L C SPONSORED ADR ADR 055622104 18,891 311,486 SH DEFINED 1 311,486 - - BRITISH AMERICAN TOBACCO ADR 110448107 749 9,890 SH DEFINED 1 9,890 - - BT GROUP PLC ADR 05577E101 346 8,034 SH DEFINED 1 8,034 - - CANON INC-ADR NEW ADR 138006309 980 21,155 SH DEFINED 1 21,155 - - CEMEX S A B DE C V ADR 151290889 4,941 189,186 SH DEFINED 1 189,186 - - CEMIG (COMPANHIA ENERGETICA ADR 204409601 2,465 136,695 SH DEFINED 1 136,695 - - CGG VERITAS ADR 204386106 206 4,162 SH DEFINED 1 4,162 - - CHINA LIFE INSURANCE CO LTD ADR 16939P106 2,720 52,264 SH DEFINED 1 52,264 - - CHINA MED TECHNOLOGIES INC ADR 169483104 346 8,437 SH DEFINED 1 8,437 - - CHINA MOBILE LIMITED ADR 16941M109 3,489 46,520 SH DEFINED 1 46,520 - - CHINA NETCOM GROUP CORP ADR 16940Q101 1,130 19,500 SH DEFINED 1 19,500 - - CHINA PETE & CHEM CORP ADR 16941R108 3,595 41,822 SH DEFINED 1 41,822 - - CHINA UNICOM LTD ADR 16945R104 268 12,600 SH DEFINED 1 12,600 - - CHUNGHWA TELECOM CO LTD ADR 17133Q304 261 10,032 SH DEFINED 1 10,032 - - COMPANHIA BRASILEIRA DE ADR 20440T201 361 8,822 SH DEFINED 1 8,822 - - COMPANHIA DE BEBIDAS DAS ADR 20441W203 5,104 67,571 SH DEFINED 1 67,571 - - COMPANHIA DE SANEAMENTO ADR 20441A102 715 16,136 SH DEFINED 1 16,136 - - COMPANHIA PARANAENSE DE ADR 20441B407 841 51,551 SH DEFINED 1 51,551 - - COMPANHIA SIDERURGICA ADR 20440W105 13,978 388,394 SH DEFINED 1 388,394 - - COMPANHIA VALE DO RIO DOCE ADR 204412100 1,093 37,497 SH DEFINED 1 37,497 - - COMPANHIA VALE DO RIO DOCE ADR 204412209 153,718 4,437,599 SH DEFINED 1 4,437,599 - - COMPANIA DE MINAS BUENAVEN- ADR 204448104 1,409 20,572 SH DEFINED 1 20,572 - - CREDIT SUISSE GROUP ADR 225401108 946 18,600 SH DEFINED 1 18,600 - - CTRIP.COM INTL LTD ADR 22943F100 119,669 2,257,069 SH DEFINED 1 2,257,069 - - DESARROLLADORA HOMEX SAB DE ADR 25030W100 766 13,200 SH DEFINED 1 13,200 - - DEUTSCHE TELEKOM AG ADR 251566105 1,717 103,588 SH DEFINED 1 103,588 - - DIAGEO PLC-SPONSORED ADR ADR 25243Q205 805 9,900 SH DEFINED 1 3,700 - 6,200 DR REDDYS LABS LTD ADR 256135203 2,651 183,142 SH DEFINED 1 183,142 - - ELAN CORP PLC-ADR ADR 284131208 4,557 218,504 SH DEFINED 1 218,504 - - EMBRAER-EMPRESA BRASILEIRA ADR 29081M102 1,988 50,340 SH DEFINED 1 50,340 - - ENEL SOCIETA PER AZIONI ADR 29265W108 289 5,445 SH DEFINED 1 5,445 - - ENERSIS SA-SPONSORED ADR ADR 29274F104 257 14,549 SH DEFINED 1 14,549 - - ENI S P A SPONSORED ADR ADR 26874R108 1,757 25,802 SH DEFINED 1 25,802 - - ERICSSON L M TEL CO ADR 294821608 7,596 386,598 SH DEFINED 1 386,598 - - FLAMEL TECHNOLOGIES SA ADR 338488109 259 27,830 SH DEFINED 1 27,830 - - FOCUS MEDIA HLDG LTD ADR 34415V109 9,792 278,598 SH DEFINED 1 278,598 - - FOMENTO ECONOMICO MEXICANO ADR 344419106 3,002 71,858 SH DEFINED 1 71,858 - - FRESENIUS MEDICAL CARE AG ADR 358029106 286 5,700 SH DEFINED 1 5,700 - - GERDAU SA-SPONSORED ADR ADR 373737105 13,568 443,854 SH DEFINED 1 443,854 - - GLAXOSMITHKLINE PLC ADR 37733W105 15,055 354,820 SH DEFINED 1 354,820 - - GMARKET INC ADR 38012G100 23,613 1,102,389 SH DEFINED 1 1,102,389 - - GOL LINHAS AEREAS ADR 38045R107 966 64,926 SH DEFINED 1 64,926 - - GOLD FIELDS LTD NEW ADR 38059T106 17,513 1,266,374 SH DEFINED 1 1,266,374 - - GRUPO TELEVISA SA DE CV ADR 40049J206 788 32,532 SH DEFINED 1 32,532 - - HARMONY GOLD MINING CO LTD ADR 413216300 2,935 247,967 SH DEFINED 1 247,967 - - HDFC BK LTD ADR 40415F101 5,136 52,289 SH DEFINED 1 52,289 - - HEAD N V ADR 422070102 47 22,500 SH DEFINED 1 22,500 - - HSBC HOLDINGS PLC ADR 404280406 6,306 76,631 SH DEFINED 1 76,631 - - HUANENG POWER INTL INC ADR 443304100 335 10,981 SH DEFINED 1 10,981 - - ICICI BANK LTD ADR 45104G104 36,622 958,966 SH DEFINED 1 958,966 - - INFINEON TECHNOLOGIES AG ADR 45662N103 1,372 195,519 SH DEFINED 1 195,519 - - INFOSYS TECHNOLOGIES LTD ADR 456788108 37,572 1,050,387 SH DEFINED 1 1,050,387 - - ING GROEP NV-SPONSORED ADR ADR 456837103 567 15,173 SH DEFINED 1 15,173 - - JA SOLAR HLDGS CO LTD ADR 466090107 509 27,414 SH DEFINED 1 27,414 - - KOOKMIN BK NEW ADR 50049M109 988 17,639 SH DEFINED 1 17,639 - - KOREA ELECTRIC POWER CORP ADR 500631106 271 18,076 SH DEFINED 1 18,076 - - KUBOTA CORPORATION ADR 501173207 1,087 34,924 SH DEFINED 1 34,924 - - LAN AIRLINES S A ADR 501723100 196 13,929 SH DEFINED 1 13,929 - - LDK SOLAR CO LTD ADR 50183L107 1,559 57,767 SH DEFINED 1 57,767 - - LG DISPLAY CO LTD ADR 50186V102 350 15,688 SH DEFINED 1 15,688 - - LUXOTTICA GROUP SPA ADR 55068R202 398 15,832 SH DEFINED 1 15,832 - - MAGYAR TELEKOM ADR 559776109 408 16,655 SH DEFINED 1 16,655 - - MAHANAGAR TEL NIGAM LTD ADR 559778402 966 195,658 SH DEFINED 1 195,658 - - MATSUSHITA ELECTRIC ADR 576879209 593 27,326 SH DEFINED 1 27,326 - - MELCO PBL ENTMT MACAU LTD ADR 585464100 3,524 309,684 SH DEFINED 1 309,684 - - MITSUBISHI UFJ FINL GROUP ADR 606822104 106 12,200 SH DEFINED 1 12,200 - - MIZUHO FINL GROUP INC ADR 60687Y109 2,205 300,000 SH DEFINED 1 300,000 - - MOBILE TELESYSTEMS OJSC ADR 607409109 9,071 119,593 SH DEFINED 1 119,593 - - NETEASE.COM INC ADR 64110W102 1,394 72,590 SH DEFINED 1 72,590 - - NISSAN MOTOR CO LTD ADR 654744408 373 22,390 SH DEFINED 1 22,390 - - NOAH EDUCATION HOLDINGS LIMITED ADR 65487R303 19,555 3,517,066 SH DEFINED 1 3,517,066 - - NOKIA CORPORATION ADR 654902204 12,846 403,584 SH DEFINED 1 403,584 - - NOVARTIS AG-SPONSORED ADR ADR 66987V109 1,066 20,826 SH DEFINED 1 20,826 - - OPEN JT STK CO-VIMPEL ADR 68370R109 13,673 457,470 SH DEFINED 1 457,470 - - ORBOTECH LTD-ORD ADR M75253100 392 21,420 SH DEFINED 1 21,420 - - PETROCHINA CO ADS EACH REPR ADR 71646E100 7,459 59,529 SH DEFINED 1 59,529 - - PETROLEO BRASILEIRO SA ADR 71654V101 1,552 18,336 SH DEFINED 1 18,336 - - PETROLEO BRASILEIRO SA ADR 71654V408 114,188 1,118,290 SH DEFINED 1 1,118,290 - - POSCO ADR 693483109 1,469 12,355 SH DEFINED 1 12,355 - - QIMONDA AG ADR 746904101 3,834 889,717 SH DEFINED 1 889,717 - - RANDGOLD RESOURCES LTD ADR 752344309 4,607 99,429 SH DEFINED 1 99,429 - - REED ELSEVIER PLC ADR 758205207 211 4,148 SH DEFINED 1 4,148 - - RIO TINTO PLC ADR 767204100 1,639 3,981 SH DEFINED 1 3,981 - - ROSTELECOM LONG DISTANCE ADR 778529107 216 3,000 SH DEFINED 1 3,000 - - ROYAL DUTCH SHELL PLC ADR 780259206 4,093 59,345 SH DEFINED 1 59,345 - - ROYAL KPN NV ADR 780641205 1,895 112,065 SH DEFINED 1 112,065 - - RYANAIR HOLDINGS PLC ADR 783513104 1,939 68,585 SH DEFINED 1 68,585 - - SANOFI AVENTIS ADR 80105N105 13,227 352,345 SH DEFINED 1 352,345 - - SAP AKTIENGESELLSCHAFT ADR 803054204 373 7,526 SH DEFINED 1 7,526 - - SASOL LTD-SPONSORED ADR ADR 803866300 1,968 40,684 SH DEFINED 1 40,684 - - SATYAM COMPUTER SVCS LTD ADR 804098101 5,373 237,885 SH DEFINED 1 237,885 - - SHANDA INTERACTIVE ADR 81941Q203 1,946 66,873 SH DEFINED 1 66,873 - - SHIRE PLC ADR 82481R106 31,410 541,928 SH DEFINED 1 541,928 - - SIEMENS A G ADR 826197501 1,515 13,907 SH DEFINED 1 13,907 - - SILICON MOTION TECHNOLOGY ADR 82706C108 145 10,285 SH DEFINED 1 10,285 - - SILICONWARE PRECISION INDS ADR 827084864 407 48,466 SH DEFINED 1 48,466 - - SK TELECOM CO LTD ADR 78440P108 1,384 64,057 SH DEFINED 1 64,057 - - SOCIEDAD QUIMICA MINERA DE ADR 833635105 817 34,946 SH DEFINED 1 34,946 - - SONY CORP-ADR NEW ADR 835699307 1,628 40,636 SH DEFINED 1 40,636 - - SPREADTRUM COMMUNICATIONS ADR 849415203 235 27,019 SH DEFINED 1 27,019 - - STATOILHYDRO ASA ADR 85771P102 2,199 73,641 SH DEFINED 1 73,641 - - STERLITE INDUSTRIES INDIA ADR 859737207 4,493 252,158 SH DEFINED 1 252,158 - - STMICROELECTRONICS N V ADR 861012102 1,266 118,804 SH DEFINED 1 118,804 - - SUNTECH PWR HLDGS CO LTD ADR 86800C104 11,557 284,960 SH DEFINED 1 284,960 - - TAIWAN SEMICONDUCTOR MFG CO ADR 874039100 3,015 293,666 SH DEFINED 1 293,666 - - TATA COMMUNICATIONS LTD ADR 876564105 200 8,092 SH DEFINED 1 8,092 - - TATA MOTORS LTD ADR 876568502 1,959 125,441 SH DEFINED 1 125,441 - - TDK CORP-AMERICAN DEP SHS- ADR 872351408 208 3,541 SH DEFINED 1 3,541 - - TELE NORTE LESTE ADR 879246106 256 9,682 SH DEFINED 1 9,682 - - TELEFONICA SA ADR 879382208 406 4,701 SH DEFINED 1 4,701 - - TELEFONOS DE MEXICO SADE ADR 879403780 2,535 67,430 SH DEFINED 1 67,430 - - TEVA PHARMACEUTICAL ADR 881624209 13,224 286,313 SH DEFINED 1 273,813 - 12,500 TIM PARTICIPACOES S A ADR 88706P106 426 13,215 SH DEFINED 1 13,215 - - TOTAL S.A. ADR 89151E109 8,688 117,400 SH DEFINED 1 117,400 - - TOYOTA MOTOR CORP-ADR NEW ADR 892331307 1,368 13,561 SH DEFINED 1 13,561 - - TRINA SOLAR LTD ADR 89628E104 1,371 44,627 SH DEFINED 1 44,627 - - TURKCELL ILETISIM ADR 900111204 806 38,600 SH DEFINED 1 38,600 - - UNIBANCO-UNIAO DE BANCOS ADR 90458E107 22,157 189,967 SH DEFINED 1 189,967 - - UNILEVER N V ADR 904784709 1,327 39,363 SH DEFINED 1 39,363 - - UNILEVER PLC ADR 904767704 1,715 50,873 SH DEFINED 1 50,873 - - VIVO PARTICIPACOES S A ADR 92855S101 6,064 1,017,483 SH DEFINED 1 1,017,483 - - VODAFONE GROUP PLC ADR 92857W209 18,130 614,372 SH DEFINED 1 614,372 - - VOTORANTIM CELULOSE E PAPEL ADR 92906P106 5,140 180,305 SH DEFINED 1 180,305 - - WIMM BILL DANN FOODS OJSC ADR 97263M109 1,146 11,191 SH DEFINED 1 11,191 - - WIPRO LTD-ADR ADR 97651M109 915 79,376 SH DEFINED 1 79,376 - - WPP GROUP PLC ADR 929309409 817 13,715 SH DEFINED 1 13,715 - - ADC TELECOMMUNICATIONS INC CBONDCNV 000886AB7 489 586,000 PRN DEFINED 1 586,000 - - ADVANCED MICRO DEVICES INC CBONDCNV 007903AL1 2,500 89,031 PRN DEFINED 1 89,031 - - ADVANCED MICRO DEVICES INC NOTE 5.750%CBONDCNV 007903AN7 220,793 10,968,355 PRN DEFINED 1 10,968,355 - - ALLERGAN INC CBONDCNV 018490AL6 1,336 1,212,000 PRN DEFINED 1 1,212,000 - - ALPHARMA INC CBONDCNV 020813AH4 437 416,000 PRN DEFINED 1 416,000 - - ALZA CORP CBONDCNV 02261WAB5 38 43,000 PRN DEFINED 1 43,000 - - AMAZON COM INC CBONDCNV 023135AF3 5,130 4,875,000 PRN DEFINED 1 4,875,000 - - AMDOCS LTD CBONDCNV 02342TAD1 233 236,000 PRN DEFINED 1 236,000 - - AMERICAN TOWER CORP CBONDCNV 029912AR3 5,171 2,630,000 PRN DEFINED 1 2,630,000 - - AMGEN INC CBONDCNV 031162AN0 22,533 24,865,000 PRN DEFINED 1 24,865,000 - - AMGEN INC SR CV 0.375%13 CBONDCNV 031162AQ3 635 732,000 PRN DEFINED 1 732,000 - - AMR CORP DEL CBONDCNV 001765BB1 2,309 2,406,000 PRN DEFINED 1 2,406,000 - - APOGENT TECHNOLOGIES INC CBONDCNV 03760AAK7 40,693 20,860,000 PRN DEFINED 1 20,860,000 - - ARCHER DANIELS MIDLAND CO CBONDCNV 039483AW2 12,942 11,145,000 PRN DEFINED 1 11,145,000 - - ATHEROGENICS INC CBONDCNV 047439AD6 854 6,101,000 PRN DEFINED 1 6,101,000 - - AVNET INC CBONDCNV 053807AL7 47 42,000 PRN DEFINED 1 42,000 - - BECKMAN COULTER INC CBONDCNV 075811AD1 289 265,000 PRN DEFINED 1 265,000 - - BELL MICROPRODUCTS INC CBONDCNV 078137AC0 164 230,000 PRN DEFINED 1 230,000 - - BIOMARIN PHARMACEUTICAL INC CBONDCNV 09061GAC5 56 25,000 PRN DEFINED 1 25,000 - - BOSTON PPTYS LTD PARTNERSHIP CBONDCNV 10112RAK0 1,668 1,766,000 PRN DEFINED 1 1,766,000 - - BOSTON PPTYS LTD PARTNERSHIP CBONDCNV 10112RAG9 34 30,000 PRN DEFINED 1 30,000 - - BRISTOL MYERS SQUIBB CO CBONDCNV 110122AN8 2,377 2,398,000 PRN DEFINED 1 2,398,000 - - CADENCE DESIGN SYS INC CBONDCNV 127387AB4 492 500,000 PRN DEFINED 1 500,000 - - CADENCE DESIGN SYSTEM INC SR N CBONDCNV 127387AF5 253 298,000 PRN DEFINED 1 298,000 - - CAL DIVE INTL INC CBONDCNV 127914AB5 9,058 7,410,000 PRN DEFINED 1 7,410,000 - - CAMERON INTL CORP CBONDCNV 13342BAB1 8,904 6,355,000 PRN DEFINED 1 6,355,000 - - CARNIVAL CORP CBONDCNV 143658AV4 22,706 35,000,000 PRN DEFINED 1 35,000,000 - - CHENIERE ENERGY INC CBONDCNV 16411RAE9 23 30,000 PRN DEFINED 1 30,000 - - CHESAPEAKE ENERGY CORP CBONDCNV 165167BZ9 21,525 20,000,000 PRN DEFINED 1 20,000,000 - - CHESAPEAKE ENERGY CORP CBONDCNV 165167CA3 10,237 10,000,000 PRN DEFINED 1 10,000,000 - - CHESAPEAKE ENERGY CORP CBONDCNV 165167BW6 4,810 4,670,000 PRN DEFINED 1 4,670,000 - - CORE LABORATORIES LP CBONDCNV 21868FAB9 68 50,000 PRN DEFINED 1 50,000 - - COUNTRYWIDE FINL CORP CBONDCNV 222372AN4 35,296 39,883,000 PRN DEFINED 1 39,883,000 - - COVANTA HOLDING CORPORATION CBONDCNV 22282EAA0 5,362 4,842,000 PRN DEFINED 1 4,842,000 - - CSG SYS INTL INC CBONDCNV 126349AB5 3,826 4,753,000 PRN DEFINED 1 4,753,000 - - CYPRESS SEMICONDUCTOR CORP SR CBONDCNV 232806AK5 10,062 8,483,000 PRN DEFINED 1 8,483,000 - - DECODE GENETICS INC CBONDCNV 243586AB0 10,013 22,565,000 PRN DEFINED 1 22,565,000 - - DEVELOPERS DIVERSIFIED RLTY CO CBONDCNV 251591AS2 845 1,000,000 PRN DEFINED 1 1,000,000 - - EASTMAN KODAK CO CBONDCNV 277461BE8 1,884 1,945,000 PRN DEFINED 1 1,945,000 - - ELECTRONIC DATA SYS CORP CBONDCNV 285661AF1 1,016 1,044,000 PRN DEFINED 1 1,044,000 - - ELECTRONICS FOR IMAGING INC CBONDCNV 286082AA0 1,479 1,500,000 PRN DEFINED 1 1,500,000 - - EMC CORP CBONDCNV 268648AK8 208 177,000 PRN DEFINED 1 177,000 - - ENCYSIVE PHARMACEUTICALS INC CBONDCNV 29256XAB3 15,388 16,009,000 PRN DEFINED 1 16,009,000 - - ENZON PHARMACEUTICALS INC CBONDCNV 293904AE8 6,194 5,500,000 PRN DEFINED 1 5,500,000 - - EPICOR SOFTWARE CORP CBONDCNV 29426LAA6 12,705 14,500,000 PRN DEFINED 1 14,500,000 - - FINISAR CORP CBONDCNV 31787AAF8 349 500,000 PRN DEFINED 1 500,000 - - FISHER SCIENTIFIC INTL INC CBONDCNV 338032AW5 642 265,000 PRN DEFINED 1 265,000 - - FLEETWOOD ENTERPRISES INC CBONDCNV 339099AD5 299 325,000 PRN DEFINED 1 325,000 - - FORD MTR CO DEL CBONDCNV 345370CF5 17,909 20,886,000 PRN DEFINED 1 20,886,000 - - FREEPORT MCMORAN COPPER INC CBONDCNV 35671DAK1 26 20,000 PRN DEFINED 1 20,000 - - GENZYME CORP CBONDCNV 372917AN4 2,351 2,029,000 PRN DEFINED 1 2,029,000 - - GREATBATCH INC CBONDCNV 39153LAB2 211 252,000 PRN DEFINED 1 252,000 - - HUMAN GENOME SCIENCES INC CBONDCNV 444903AK4 1,545 2,000,000 PRN DEFINED 1 2,000,000 - - HUTCHINSON TECHNOLOGY INC CBONDCNV 448407AE6 1,797 2,000,000 PRN DEFINED 1 2,000,000 - - ILLUMINA INC CBONDCNV 452327AB5 1,918 1,063,000 PRN DEFINED 1 1,063,000 - - IMCLONE SYS INC CBONDCNV 45245WAF6 94 100,000 PRN DEFINED 1 100,000 - - INTERPUBLIC GROUP COS INC CBONDCNV 460690AZ3 935 950,000 PRN DEFINED 1 950,000 - - INVITROGEN CORP CBONDCNV 46185RAK6 11 11,000 PRN DEFINED 1 11,000 - - JAZZ TECHNOLOGIES INC NOTE 8.000%12/3 CBONDCNV 47214EAA0 3,000 409,278 PRN DEFINED 1 409,278 - - JDS UNIPHASE CORP CBONDCNV 46612JAB7 124 129,000 PRN DEFINED 1 129,000 - - JETBLUE AIRWAYS CORP CBONDCNV 477143AC5 15,480 20,040,000 PRN DEFINED 1 20,040,000 - - L-3 COMMUNICATIONS CORP CBONDCNV 502413AW7 7,462 5,976,000 PRN DEFINED 1 5,976,000 - - LAMAR ADVERTISING CO NT CV 2.8 CBONDCNV 512815AH4 9,314 9,257,000 PRN DEFINED 1 9,257,000 - - LAWSON SOFTWARE INC NEW CBONDCNV 52078PAA0 1,053 1,144,000 PRN DEFINED 1 1,144,000 - - LBH "HBC SYN CONVERT" CBONDCNV 524908MN7 603 625,000 PRN DEFINED 1 625,000 - - LEVEL 3 COMMUNICATIONS INC CBONDCNV 52729NBA7 48 70,000 PRN DEFINED 1 70,000 - - LEVEL 3 COMMUNICATIONS INC CBONDCNV 52729NAS9 1,659 2,055,000 PRN DEFINED 1 2,055,000 - - LEVEL 3 COMMUNICATIONS INC CBONDCNV 52729NAG5 2,267 2,555,000 PRN DEFINED 1 2,555,000 - - LIBERTY MEDIA CORP CBONDCNV 530718AF2 2,755 2,783,000 PRN DEFINED 1 2,783,000 - - LIBERTY MEDIA INC CBONDCNV 530715AR2 4,025 5,964,000 PRN DEFINED 1 5,964,000 - - LOCKHEED MARTIN CORP CBONDCNV 539830AP4 341 249,000 PRN DEFINED 1 249,000 - - LSI LOGIC CBONDCNV 502161AJ1 28 30,000 PRN DEFINED 1 30,000 - - LUCENT TECHNOLOGIES INC CBONDCNV 549463AG2 3,006 3,392,000 PRN DEFINED 1 3,392,000 - - LUCENT TECHNOLOGIES INC CBONDCNV 549463AH0 888 1,158,000 PRN DEFINED 1 1,158,000 - - MAXTOR CORP CBONDCNV 577729AE6 10,950 8,000,000 PRN DEFINED 1 8,000,000 - - MEDTRONIC INC CBONDCNV 585055AL0 1,047 994,000 PRN DEFINED 1 994,000 - - MEDTRONIC INC CBONDCNV 585055AM8 5,111 4,857,000 PRN DEFINED 1 4,857,000 - - MOLSON COORS BREWING CO CBONDCNV 60871RAA8 15,998 13,020,000 PRN DEFINED 1 13,020,000 - - NABORS INDUSTRIES INC ZCPN CBONDCNV 629568AF3 35,052 50,800,000 PRN DEFINED 1 50,800,000 - 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- EAST WEST BANCORP INC COMMON 27579R104 452 25,470 SH DEFINED 1 25,470 - - EASTMAN CHEMICAL CO COMMON 277432100 1,894 30,332 SH DEFINED 1 30,332 - - EASTMAN KODAK CO COMMON 277461109 96,752 5,475,525 SH DEFINED 1 5,475,525 - - EATON CORP COMMON 278058102 8,181 102,697 SH DEFINED 1 102,697 - - EATON VANCE CORP-NON VTG COMMON 278265103 3,040 99,661 SH DEFINED 1 38,095 - 61,566 EATON VANCE FLOATING RATE COMMON 278279104 1,410 99,725 SH DEFINED 1 99,725 - - EATON VANCE LIMITED DURATION COMMON 27828H105 437 31,058 SH DEFINED 1 31,058 - - EATON VANCE SENIOR FLOATING COMMON 27828Q105 1,986 143,962 SH DEFINED 1 143,962 - - EATON VANCE SR INCOME TR-SBI COMMON 27826S103 102 15,832 SH DEFINED 1 15,832 - - EBAY INC COMMON 278642103 14,097 472,434 SH DEFINED 1 472,434 - - ECHELON CORP COMMON 27874N105 277 20,554 SH DEFINED 1 20,554 - - ECLIPSYS CORP COMMON 278856109 239 12,201 SH DEFINED 1 12,201 - - ECOLAB INC COMMON 278865100 6,199 142,737 SH DEFINED 1 142,737 - - EDDIE BAUER HLDGS INC COMMON 071625107 1,394 358,457 SH DEFINED 1 358,457 - - EDGE PETROLEUM CORP-DEL COMMON 279862106 84 21,037 SH DEFINED 1 21,037 - - EDISON INTERNATIONAL COMMON 281020107 13,806 281,650 SH DEFINED 1 281,650 - - EDWARDS LIFESCIENCES CORP COMMON 28176E108 526 11,828 SH DEFINED 1 11,828 - - EINSTEIN NOAH RESTAURANT COMMON 28257U104 141 16,533 SH DEFINED 1 16,533 - - EL PASO CORPORATION COMMON 28336L109 10,666 641,004 SH DEFINED 1 631,004 - 10,000 EL PASO ELECTRIC CO NEW COMMON 283677854 723 33,869 SH DEFINED 1 33,869 - - ELDORADO GOLD CORP COMMON 284902103 7,135 1,046,264 SH DEFINED 1 1,046,264 - - ELECTRONIC ARTS INC COMMON 285512109 6,206 124,334 SH DEFINED 1 124,334 - - ELECTRONIC DATA SYSTEMS CORP COMMON 285661104 2,795 167,881 SH DEFINED 1 167,881 - - ELECTRONICS FOR IMAGING INC COMMON 286082102 311 20,900 SH DEFINED 1 20,900 - - ELI LILLY & CO COMMON 532457108 47,056 912,123 SH DEFINED 1 912,123 - - ELIXIR GAMING TECHNOLOGIES INC COMMON 28661G105 345 178,095 SH DEFINED 1 178,095 - - ELLIS PERRY INTERNATIONAL INC COMMON 288853104 495 22,711 SH DEFINED 1 22,711 - - EMBARQ CORPORATION COMMON 29078E105 3,169 79,042 SH DEFINED 1 79,042 - - EMC CORP-MASS COMMON 268648102 26,239 1,829,798 SH DEFINED 1 1,829,798 - - EMCOR GROUP INC COMMON 29084Q100 275 12,420 SH DEFINED 1 12,420 - - EMCORE CORP COMMON 290846104 346 60,190 SH DEFINED 1 60,190 - - EMERSON ELECTRIC CO COMMON 291011104 13,090 254,390 SH DEFINED 1 254,390 - - EMPIRE RESORTS INC COMMON 292052107 22 16,520 SH DEFINED 1 16,520 - - EMULEX CORP NEW COMMON 292475209 946 58,277 SH DEFINED 1 58,277 - - ENBRIDGE INC COMMON 29250N105 386 9,402 SH DEFINED 1 9,402 - - ENCANA CORP COMMON 292505104 5,945 78,482 SH DEFINED 1 78,482 - - ENCORE ACQUISITION CO COMMON 29255W100 2,777 68,964 SH DEFINED 1 68,964 - - ENCORE WIRE CORP COMMON 292562105 607 33,385 SH DEFINED 1 33,385 - - ENDO PHARMACEUTICALS HLDGS INC COMMON 29264F205 613 25,643 SH DEFINED 1 25,643 - - ENDURANCE SPECIALTY COMMON G30397106 1,085 29,658 SH DEFINED 1 29,658 - - ENERGEN CORP COMMON 29265N108 4,335 69,586 SH DEFINED 1 69,586 - - ENERGIZER HOLDINGS INC COMMON 29266R108 2,036 22,512 SH DEFINED 1 22,512 - - ENERGY CONVERSION DEVICES INC COMMON 292659109 2,416 80,822 SH DEFINED 1 80,822 - - ENERGY EAST CORPORATION COMMON 29266M109 10,615 440,124 SH DEFINED 1 440,124 - - ENERPLUS RESOURCES FUND COMMON 29274D604 823 18,965 SH DEFINED 1 18,965 - - ENERSYS COMMON 29275Y102 1,414 59,122 SH DEFINED 1 59,122 - - ENPRO INDUSTRIES INC COMMON 29355X107 292 9,374 SH DEFINED 1 9,374 - - ENSCO INTERNATIONAL INC COMMON 26874Q100 1,939 30,980 SH DEFINED 1 30,980 - - ENTEGRIS INC COMMON 29362U104 73 10,263 SH DEFINED 1 10,263 - - ENTERCOM COMMUNICATIONS CORP COMMON 293639100 164 16,606 SH DEFINED 1 16,606 - - ENTERGY CORP NEW COMMON 29364G103 9,337 85,602 SH DEFINED 1 85,602 - - ENTRAVISION COMMUNICATIONS COMMON 29382R107 94 14,264 SH DEFINED 1 14,264 - - ENTREMED INC COMMON 29382F103 137 199,594 SH DEFINED 1 199,594 - - ENTRUST INC COMMON 293848107 371 148,768 SH DEFINED 1 148,768 - - EOG RES INC COMMON 26875P101 20,401 170,010 SH DEFINED 1 170,010 - - EPICOR SOFTWARE CORP COMMON 29426L108 1,953 174,459 SH DEFINED 1 174,459 - - EPIQ SYSTEMS INC COMMON 26882D109 264 17,045 SH DEFINED 1 17,045 - - EQUIFAX INC COMMON 294429105 2,315 67,158 SH DEFINED 1 67,158 - - EQUINIX INC COMMON 29444U502 1,875 28,200 SH DEFINED 1 28,200 - - EQUITABLE RESOURCES INC COMMON 294549100 2,921 49,604 SH DEFINED 1 49,604 - - EQUITY LIFESTYLE PROPERTIES COMMON 29472R108 846 17,136 SH DEFINED 1 17,136 - - ESMARK INCORPORATED COMMON 296475106 134 11,909 SH DEFINED 1 11,909 - - ESTEE LAUDER COMPANIES INC COMMON 518439104 2,239 48,845 SH DEFINED 1 48,845 - - ESTERLINE TECHNOLOGIES CORP COMMON 297425100 533 10,599 SH DEFINED 1 10,599 - - ETHAN ALLEN INTERIORS INC COMMON 297602104 567 19,947 SH DEFINED 1 19,947 - - EV ENERGY PARTNERS, L.P. COMMON 26926V107 29,908 1,165,993 SH DEFINED 1 1,165,993 - - EV3 INC COMMON 26928A200 180 22,189 SH DEFINED 1 22,189 - - EVEREST RE GROUP LTD COMMON G3223R108 3,064 34,233 SH DEFINED 1 34,233 - - EVERGREEN ENERGY INC COMMON 30024B104 26 17,210 SH DEFINED 1 17,210 - - EVERGREEN SOLAR INC COMMON 30033R108 2,120 228,714 SH DEFINED 1 228,714 - - EXACTECH INC COMMON 30064E109 211 8,400 SH DEFINED 1 8,400 - - EXAR CORPORATION COMMON 300645108 234 28,503 SH DEFINED 1 28,503 - - EXCELL MARITIME CARRIES LTD COMMON V3267N107 2,202 75,027 SH DEFINED 1 75,027 - - EXCO RESOURCES INC COMMON 269279402 740 40,048 SH DEFINED 1 40,048 - - EXELON CORP COMMON 30161N101 25,747 316,811 SH DEFINED 1 316,691 - 120 EXPEDIA INC DEL COMMON 30212P105 2,396 109,495 SH DEFINED 1 109,245 - 250 EXPEDITORS INTERNATIONAL OF COMMON 302130109 1,753 38,815 SH DEFINED 1 38,815 - - EXPRESSJET HOLDINGS INC COMMON 30218U108 562 213,732 SH DEFINED 1 213,732 - - EXTERRAN HLDGS INC COMMON 30225X103 3,254 50,430 SH DEFINED 1 50,430 - - EXTRA SPACE STORAGE INC COMMON 30225T102 168 10,395 SH DEFINED 1 10,395 - - EXXON MOBIL CORP COMMON 30231G102 171,377 2,026,214 SH DEFINED 1 2,019,014 - 7,200 F N B CORP-PA COMMON 302520101 710 45,540 SH DEFINED 1 45,540 - - F5 NETWORKS INC COMMON 315616102 2,862 157,542 SH DEFINED 1 157,542 - - FACTSET RESEARCH SYSTEMS INC COMMON 303075105 409 7,609 SH DEFINED 1 7,609 - - FAIR ISAAC INC COMMON 303250104 555 25,820 SH DEFINED 1 25,820 - - FAIRCHILD SEMICONDUCTOR INTL COMMON 303726103 2,194 184,085 SH DEFINED 1 184,085 - - FAIRFAX FINANCIAL HOLDINGS COMMON 303901102 6,991 24,000 SH DEFINED 1 24,000 - - FAIRPOINT COMMUNICATIONS INC COMMON 305560104 2,713 300,873 SH DEFINED 1 296,873 - 4,000 FALCONSTOR SOFTWARE INC COMMON 306137100 194 25,583 SH DEFINED 1 25,583 - - FAMILY DOLLAR STORES INC COMMON 307000109 3,918 200,958 SH DEFINED 1 200,958 - - FANNIE MAE COMMON 313586109 26,970 1,024,727 SH DEFINED 1 1,024,727 - - FASTENAL CO COMMON 311900104 3,835 83,498 SH DEFINED 1 83,498 - - FCSTONE GROUP INC COMMON 31308T100 266 9,633 SH DEFINED 1 9,633 - - FEDERAL SIGNAL CORP COMMON 313855108 293 21,053 SH DEFINED 1 21,053 - - FEDERATED INVESTORS INC (PA.) COMMON 314211103 1,139 29,086 SH DEFINED 1 29,086 - - FEDEX CORP COMMON 31428X106 15,910 171,693 SH DEFINED 1 171,693 - - FEI CO COMMON 30241L109 608 27,889 SH DEFINED 1 27,889 - - FERRO CORP COMMON 315405100 468 31,522 SH DEFINED 1 31,522 - - FIDELITY NATIONAL FINANCIAL COMMON 31620R105 448 24,456 SH DEFINED 1 24,456 - - FIDELITY NATIONAL INFORMATION COMMON 31620M106 1,165 30,564 SH DEFINED 1 30,564 - - FIFTH THIRD BANCORP COMMON 316773100 7,651 365,764 SH DEFINED 1 365,764 - - FINANCIAL FEDERAL CORP COMMON 317492106 715 32,789 SH DEFINED 1 32,789 - - FINISAR CORP COMMON 31787A101 132 103,224 SH DEFINED 1 103,224 - - FIRST AMERICAN CORP COMMON 318522307 713 21,012 SH DEFINED 1 21,012 - - FIRST BANCORP P R COMMON 318672102 198 19,551 SH DEFINED 1 19,551 - - FIRST CASH FINANCIAL SERVICES COMMON 31942D107 205 19,886 SH DEFINED 1 19,886 - - FIRST CHARTER CORP-N.C. COMMON 319439105 30,425 1,139,144 SH DEFINED 1 1,139,144 - - FIRST COMMONWEALTH FINANCIAL COMMON 319829107 793 68,466 SH DEFINED 1 68,466 - - FIRST COMMUNITY BANCORP CALIF COMMON 31983B101 2,192 81,649 SH DEFINED 1 81,649 - - FIRST FINANCIAL BANCORP-OHIO COMMON 320209109 161 12,036 SH DEFINED 1 12,036 - - FIRST HORIZON NATL CORP COMMON 320517105 1,255 89,599 SH DEFINED 1 89,599 - - FIRST MERCHANTS CORP COMMON 320817109 336 11,802 SH DEFINED 1 11,802 - - FIRST MIDWEST BANCORP INC-DEL COMMON 320867104 691 24,884 SH DEFINED 1 24,884 - - FIRST NIAGARA FINANCIAL GROUP COMMON 33582V108 369 27,167 SH DEFINED 1 27,167 - - FIRST SOLAR INC COMMON 336433107 19,480 84,282 SH DEFINED 1 84,282 - - FIRSTENERGY CORP COMMON 337932107 13,810 201,260 SH DEFINED 1 201,260 - - FIRSTFED FINANCIAL CORP DEL COMMON 337907109 559 20,614 SH DEFINED 1 20,614 - - FIRSTMERIT CORP COMMON 337915102 768 37,193 SH DEFINED 1 37,193 - - FISERV INC COMMON 337738108 1,643 34,181 SH DEFINED 1 34,181 - - FLAGSTONE REINSURANCE HOLDINGS LTD. COMMON G3529T105 191,543 15,830,000 SH DEFINED 1 15,830,000 - - FLEETWOOD ENTERPRISES INC COMMON 339099103 94 20,646 SH DEFINED 1 20,646 - - FLEXTRONICS INTERNATIONAL COMMON Y2573F102 33,874 3,607,473 SH DEFINED 1 3,607,473 - - FLIR SYSTEMS INC COMMON 302445101 8,655 287,647 SH DEFINED 1 120,116 - 167,531 FLOW INTERNATIONAL CORP COMMON 343468104 123 13,316 SH DEFINED 1 13,316 - - FLOWERS FOODS INC COMMON 343498101 224 9,059 SH DEFINED 1 9,059 - - FLOWSERVE CORP COMMON 34354P105 590 5,656 SH DEFINED 1 5,656 - - FLUOR CORP NEW COMMON 343412102 12,566 89,021 SH DEFINED 1 89,021 - - FMC CORP NEW COMMON 302491303 1,380 24,878 SH DEFINED 1 24,878 - - FMC TECHNOLOGIES INC COMMON 30249U101 820 14,428 SH DEFINED 1 14,428 - - FOOT LOCKER INC COMMON 344849104 1,569 133,311 SH DEFINED 1 133,311 - - FORCE PROTECTION INC NEW COMMON 345203202 4,933 2,454,241 SH DEFINED 1 2,454,241 - - FORD MOTOR CO DEL COMMON 345370860 18,154 3,173,899 SH DEFINED 1 3,173,899 - - FOREST CITY ENTERPRISES INC COMMON 345550107 579 15,736 SH DEFINED 1 15,736 - - FOREST LABORATORIES INC COMMON 345838106 10,842 270,997 SH DEFINED 1 270,997 - - FOREST OIL CORP COMMON 346091705 3,377 68,980 SH DEFINED 1 68,980 - - FORMFACTOR INC COMMON 346375108 2,354 123,251 SH DEFINED 1 123,251 - - FORTRESS INVT GROUP LLC COMMON 34958B106 10,289 837,894 SH DEFINED 1 837,894 - - FORTUNE BRANDS INC COMMON 349631101 11,337 163,125 SH DEFINED 1 163,125 - - FOSSIL INC COMMON 349882100 7,501 245,635 SH DEFINED 1 245,635 - - FOSTER WHEELER LTD COMMON G36535139 4,237 74,838 SH DEFINED 1 74,838 - - FOUNDRY NETWORKS INC COMMON 35063R100 357 30,862 SH DEFINED 1 30,862 - - FPL GROUP INC COMMON 302571104 14,802 235,938 SH DEFINED 1 235,938 - - FRANKLIN RESOURCES INC COMMON 354613101 14,266 147,090 SH DEFINED 1 147,090 - - FRANKLIN STREET PROPERTIES COMMON 35471R106 169 11,820 SH DEFINED 1 11,820 - - FREDDIE MAC-VOTING COMMON COMMON 313400301 26,642 1,052,243 SH DEFINED 1 1,045,601 - 6,642 FREEPORT MCMORAN COPPER & GOLD COMMON 35671D857 83,010 862,719 SH DEFINED 1 862,719 - - FREMONT GENERAL CORP COMMON 357288109 13 13,110 SH DEFINED 1 13,110 - - FRESH DEL MONTE PRODUCE INC COMMON G36738105 481 13,223 SH DEFINED 1 13,223 - - FRONTIER AIRLINES HOLDINGS INC COMMON 359059102 448 177,242 SH DEFINED 1 177,242 - - FRONTIER FINANCIAL CORP-WASH COMMON 35907K105 631 35,734 SH DEFINED 1 35,734 - - FRONTIER OIL CORP COMMON 35914P105 5,816 213,355 SH DEFINED 1 213,355 - - FRONTLINE LTD COMMON G3682E127 934 20,305 SH DEFINED 1 20,305 - - FTD GROUP INC COMMON 30267U108 261 19,485 SH DEFINED 1 19,485 - - FTI CONSULTING INC COMMON 302941109 895 12,610 SH DEFINED 1 12,610 - - FUEL TECH INC COMMON 359523107 203 9,930 SH DEFINED 1 9,930 - - FUELCELL ENERGY INC COMMON 35952H106 106 16,089 SH DEFINED 1 16,089 - - FULTON FINANCIAL CORP-PA COMMON 360271100 272 22,211 SH DEFINED 1 22,211 - - FURNITURE BRANDS INTERNATIONAL COMMON 360921100 574 49,060 SH DEFINED 1 49,060 - - FX ENERGY INC COMMON 302695101 190 44,739 SH DEFINED 1 44,739 - - GABELLI DIVIDEND & INCOME FUND COMMON 36242H104 9,451 531,300 SH DEFINED 1 531,300 - - GAIAM INC COMMON 36268Q103 282 16,310 SH DEFINED 1 16,310 - - GALLAGHER ARTHUR J & CO COMMON 363576109 227 9,614 SH DEFINED 1 9,614 - - GAMCO INVESTORS INC COMMON 361438104 3,385 67,235 SH DEFINED 1 67,235 - - GAMESTOP CORP COMMON 36467W109 10,240 198,033 SH DEFINED 1 198,033 - - GAMMON GOLD INC COMMON 36467T106 332 44,326 SH DEFINED 1 44,326 - - GANNETT CO INC COMMON 364730101 3,483 119,908 SH DEFINED 1 119,908 - - GAP INC COMMON 364760108 4,010 203,777 SH DEFINED 1 203,777 - - GARMIN LTD COMMON G37260109 4,964 91,916 SH DEFINED 1 91,916 - - GASCO ENERGY INC COMMON 367220100 44 18,200 SH DEFINED 1 18,200 - - GATX CORP COMMON 361448103 598 15,319 SH DEFINED 1 15,319 - - GAYLORD ENTERTAINMENT CO NEW COMMON 367905106 1,262 41,668 SH DEFINED 1 41,668 - - GEMSTAR TV GUIDE INTL INC COMMON 36866W106 2,454 522,143 SH DEFINED 1 522,143 - - GEN PROBE INC COMMON 36866T103 1,739 36,098 SH DEFINED 1 36,098 - - GENCO SHIPPING & TRADING COMMON Y2685T107 2,257 40,008 SH DEFINED 1 40,008 - - GENCORP INC COMMON 368682100 586 57,004 SH DEFINED 1 57,004 - - GENELABS TECHNOLOGIES INC COMMON 368706206 2,699 3,032,952 SH DEFINED 1 3,032,952 - - GENENTECH INC COMMON 368710406 13,295 163,784 SH DEFINED 1 163,784 - - GENERAL CABLE CORP-DEL NEW COMMON 369300108 1,442 24,428 SH DEFINED 1 24,428 - - GENERAL DYNAMICS CORP COMMON 369550108 7,434 89,171 SH DEFINED 1 89,171 - - GENERAL ELECTRIC CO COMMON 369604103 624,644 16,877,712 SH DEFINED 1 16,846,668 - 31,044 GENERAL MARITIME CORP COMMON Y2692M103 612 25,960 SH DEFINED 1 25,960 - - GENERAL MILLS INC COMMON 370334104 86,372 1,442,433 SH DEFINED 1 1,442,433 - - GENERAL MOLY INC COMMON 370373102 1,395 174,699 SH DEFINED 1 174,699 - - GENERAL MOTORS CORP COMMON 370442105 31,828 1,670,773 SH DEFINED 1 1,670,773 - - GENEREX BIOTECHNOLOGY CORP DEL COMMON 371485103 33 30,797 SH DEFINED 1 30,797 - - GENESCO INC COMMON 371532102 1,340 58,001 SH DEFINED 1 58,001 - - GENESEE & WYOMING INC-CL A COMMON 371559105 1,188 34,559 SH DEFINED 1 34,559 - - GENPACT LTD COMMON G3922B107 443 36,237 SH DEFINED 1 36,237 - - GENTEX CORP COMMON 371901109 1,370 79,927 SH DEFINED 1 79,927 - - GENUINE PARTS CO COMMON 372460105 1,296 32,233 SH DEFINED 1 32,233 - - GENVEC INC COMMON 37246C109 90 51,233 SH DEFINED 1 51,233 - - GENWORTH FINANCIAL INC COMMON 37247D106 4,198 185,460 SH DEFINED 1 185,460 - - GENZYME CORPORATION COMMON 372917104 19,394 260,195 SH DEFINED 1 260,195 - - GEO GROUP INC COMMON 36159R103 731 25,704 SH DEFINED 1 25,704 - - GEORGIA GULF CORP NEW COMMON 373200203 148 21,421 SH DEFINED 1 21,421 - - GERDAU AMERISTEEL CORP COMMON 37373P105 186 15,800 SH DEFINED 1 15,800 - - GERON CORP COMMON 374163103 211 43,261 SH DEFINED 1 43,261 - - GETTY IMAGES INC COMMON 374276103 300 9,391 SH DEFINED 1 9,391 - - GEVITY HR INC COMMON 374393106 136 15,815 SH DEFINED 1 15,815 - - GFI GROUP INC COMMON 361652209 500 8,732 SH DEFINED 1 8,732 - - GIGAMEDIA LTD COMMON Y2711Y104 4,380 280,960 SH DEFINED 1 280,960 - - GILEAD SCIENCES INC COMMON 375558103 24,355 472,653 SH DEFINED 1 472,393 - 260 GLATFELTER COMMON 377316104 385 25,522 SH DEFINED 1 25,522 - - GLG PARTNERS, INC. COMMON 37929X107 399,605 33,665,140 SH DEFINED 1 33,665,140 - - GLOBAL CASH ACCESS HLDGS INC COMMON 378967103 94 16,064 SH DEFINED 1 16,064 - - GLOBAL INDUSTRIES LTD COMMON 379336100 4,805 298,653 SH DEFINED 1 298,653 - - GLOBAL PAYMENTS INC COMMON 37940X102 6,265 151,480 SH DEFINED 1 96,710 - 54,770 GLOBAL SOURCES LTD COMMON G39300101 430 29,007 SH DEFINED 1 29,007 - - GOLDCORP INC COMMON 380956409 87,703 2,263,323 SH DEFINED 1 2,263,323 - - GOLDEN STAR RESOURCES LTD COMMON 38119T104 3,587 1,045,884 SH DEFINED 1 1,045,884 - - GOLDMAN SACHS GROUP INC COMMON 38141G104 134,876 815,503 SH DEFINED 1 815,503 - - GOODRICH CORPORATION COMMON 382388106 2,037 35,432 SH DEFINED 1 35,432 - - GOODYEAR TIRE & RUBBER CO COMMON 382550101 16,288 631,351 SH DEFINED 1 631,351 - - GOOGLE INC COMMON 38259P508 155,037 351,982 SH DEFINED 1 351,982 - - GP STRATEGIES CORP COMMON 36225V104 1,197 126,100 SH DEFINED 1 126,100 - - GRACO INC COMMON 384109104 722 19,928 SH DEFINED 1 19,928 - - GRAFTECH INTERNATIONAL LTD COMMON 384313102 1,423 87,787 SH DEFINED 1 87,787 - - GRANITE CONSTRUCTION INC COMMON 387328107 2,093 63,994 SH DEFINED 1 35,087 - 28,907 GRANT PRIDECO INC COMMON 38821G101 1,094 22,228 SH DEFINED 1 22,228 - - GRAPHIC PACKAGING HOLDING COMMON 388689101 267 91,738 SH DEFINED 1 91,738 - - GRAY TELEVISION INC COMMON 389375106 88 15,541 SH DEFINED 1 15,541 - - GREAT ATLANTIC & PACIFIC TEA COMMON 390064103 1,593 60,779 SH DEFINED 1 60,779 - - GREAT LAKES DREDGE & DOCK COMMON 390607109 58 11,407 SH DEFINED 1 11,407 - - GREAT PLAINS ENERGY INC COMMON 391164100 804 32,624 SH DEFINED 1 32,624 - - GREAT WOLF RESORTS INC COMMON 391523107 114 17,954 SH DEFINED 1 17,954 - - GREATER CHINA FUND INC COMMON 39167B102 182 10,000 SH DEFINED 1 10,000 - - GREEN MOUNTAIN COFFEE ROASTERS COMMON 393122106 1,385 43,779 SH DEFINED 1 43,779 - - GREENBRIER COMPANIES INC COMMON 393657101 224 8,453 SH DEFINED 1 8,453 - - GREENHILL & CO INC COMMON 395259104 275 3,965 SH DEFINED 1 3,965 - - GREY WOLF INC COMMON 397888108 86 12,765 SH DEFINED 1 12,765 - - GROUP 1 AUTOMOTIVE INC COMMON 398905109 4,667 198,800 SH DEFINED 1 198,800 - - GRUBB & ELLIS CO NEW COMMON 400095204 123 18,041 SH DEFINED 1 18,041 - - GUARANTY FINANCIAL GROUP INC COMMON 40108N106 158 14,965 SH DEFINED 1 14,965 - - GUESS INC COMMON 401617105 2,441 60,340 SH DEFINED 1 60,340 - - GUIDANCE SOFTWARE INC COMMON 401692108 191 21,410 SH DEFINED 1 21,410 - - GULFMARK OFFSHORE INC. COMMON 402629109 119,232 2,178,953 SH DEFINED 1 2,178,953 - - GYMBOREE CORP COMMON 403777105 236 5,929 SH DEFINED 1 5,929 - - H & R BLOCK INC COMMON 093671105 4,430 213,399 SH DEFINED 1 213,399 - - H J HEINZ CO COMMON 423074103 12,321 262,335 SH DEFINED 1 262,335 - - H&E EQUIPMENT SERVICES COMMON 404030108 653 51,959 SH DEFINED 1 51,959 - - HAEMONETICS CORP-MASS COMMON 405024100 1,128 18,944 SH DEFINED 1 18,944 - - HAIN CELESTIAL GROUP INC COMMON 405217100 1,383 46,909 SH DEFINED 1 46,909 - - HALLIBURTON CO COMMON 406216101 24,537 623,890 SH DEFINED 1 623,890 - - HALLMARK FINL SVCS INC COMMON 40624Q203 177 15,863 SH DEFINED 1 15,863 - - HALOZYME THERAPEUTICS INC COMMON 40637H109 11,574 1,819,830 SH DEFINED 1 1,819,830 - - HANDLEMAN CO COMMON 410252100 2 10,136 SH DEFINED 1 10,136 - - HANESBRANDS INC COMMON 410345102 1,465 50,197 SH DEFINED 1 50,197 - - HANMI FINL CORP COMMON 410495105 335 45,428 SH DEFINED 1 45,428 - - HANOVER INSURANCE GROUP INC COMMON 410867105 726 17,657 SH DEFINED 1 17,657 - 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COMMON 98973P101 3,384 1,151,011 SH DEFINED 1 1,151,011 - - ZOLTEK COMPANIES INC COMMON 98975W104 782 29,511 SH DEFINED 1 29,511 - - ZORAN CORP COMMON 98975F101 301 22,104 SH DEFINED 1 22,104 - - ZUMIEZ INC COMMON 989817101 1,483 94,528 SH DEFINED 1 94,528 - - ZWEIG TOTAL RETURN FUND INC COMMON 989837109 158 34,189 SH DEFINED 1 34,189 - - ALLIANCEBERNSTEIN HOLDING LP MLP 01881G106 5,696 89,876 SH DEFINED 1 89,876 - - ATLAS PIPELINE HLDGS L P MLP 04939R108 350 12,800 SH DEFINED 1 12,800 - - BOARDWALK PIPELINE PARTNERS LP MLP 096627104 1,161 47,201 SH DEFINED 1 46,013 - 1,188 BUCKEYE PARTNERS LP MLP 118230101 239 5,200 SH DEFINED 1 200 - 5,000 CENTERLINE HOLDING COMPANY MLP 15188T108 122 30,092 SH DEFINED 1 30,092 - - ENBRIDGE ENERGY PARTNERS L P MLP 29250R106 1,611 33,900 SH DEFINED 1 33,900 - - ENERGY TRANSFER EQUITY L P MLP 29273V100 250 8,020 SH DEFINED 1 4,900 - 3,120 ENTERPRISE PRODUCTS PARTNERS MLP 293792107 903 30,427 SH DEFINED 1 18,250 - 12,177 GENESIS ENERGY LP MLP 371927104 3,682 196,520 SH DEFINED 1 192,020 - 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- GENERAL GROWTH PROPERTIES INC REIT 370021107 5,679 148,793 SH DEFINED 1 148,793 - - GLIMCHER REALTY TRUST-SBI REIT 379302102 251 21,068 SH DEFINED 1 21,068 - - GMH COMMUNITIES TRUST REIT 36188G102 8,048 927,229 SH DEFINED 1 927,229 - - GRAMERCY CAPITAL CORP REIT 384871109 368 17,625 SH DEFINED 1 17,625 - - HCP INC REIT 40414L109 3,751 110,963 SH DEFINED 1 110,963 - - HEALTH CARE REIT INC REIT 42217K106 1,246 27,614 SH DEFINED 1 27,614 - - HEALTHCARE REALTY TRUST REIT 421946104 313 12,004 SH DEFINED 1 12,004 - - HIGHWOODS PROPERTIES INC REIT 431284108 952 30,645 SH DEFINED 1 30,645 - - HOME PROPERTIES INC REIT 437306103 2,037 42,461 SH DEFINED 1 42,461 - - HOSPITALITY PROPERTIES TRUST REIT 44106M102 3,266 96,008 SH DEFINED 1 96,008 - - HOST HOTELS & RESORTS INC REIT 44107P104 3,320 208,567 SH DEFINED 1 208,567 - - HRPT PROPERTIES TR-SBI REIT 40426W101 271 40,273 SH DEFINED 1 40,273 - - IMPAC MORTGAGE HOLDINGS INC REIT 45254P102 23 18,348 SH DEFINED 1 18,348 - - ISTAR FINANCIAL INC REIT 45031U101 1,302 92,862 SH DEFINED 1 87,862 - 5,000 JER INVESTORS TRUST INC REIT 46614H301 102 12,118 SH DEFINED 1 12,118 - - KILROY REALTY CORP REIT 49427F108 394 8,037 SH DEFINED 1 8,037 - - KIMCO REALTY CORP REIT 49446R109 8,346 213,078 SH DEFINED 1 213,078 - - LASALLE HOTEL PROPERTIES REIT 517942108 559 19,462 SH DEFINED 1 19,462 - - LEXINGTON REALTY TRUST REIT 529043101 439 30,511 SH DEFINED 1 30,511 - - LIBERTY PROPERTY TRUST-SBI REIT 531172104 1,272 40,895 SH DEFINED 1 40,895 - - LUMINENT MORTGAGE CAPITAL INC REIT 550278303 33 32,292 SH DEFINED 1 32,292 - - MACERICH CO REIT 554382101 4,374 62,259 SH DEFINED 1 62,259 - - MACK-CALI REALTY CORP REIT 554489104 923 25,874 SH DEFINED 1 25,874 - - MAGUIRE PROPERTIES INC REIT 559775101 1,725 120,600 SH DEFINED 1 120,600 - - MEDICAL PROPERTIES TRUST INC REIT 58463J304 147 13,047 SH DEFINED 1 13,047 - - MID-AMERICA APARTMENT REIT 59522J103 1,411 28,318 SH DEFINED 1 28,318 - - MISSION WEST PROPERTIES INC REIT 605203108 121 12,829 SH DEFINED 1 12,829 - - NATIONAL HEALTH INVESTORS INC REIT 63633D104 528 16,905 SH DEFINED 1 16,905 - - NATIONAL RETAIL PROPERTIES INC REIT 637417106 359 16,290 SH DEFINED 1 16,290 - - NATIONWIDE HEALTH PROPERTIES REIT 638620104 974 28,877 SH DEFINED 1 28,877 - - NEWCASTLE INVESTMENT CORP REIT 65105M108 6,012 727,881 SH DEFINED 1 727,881 - - NORTHSTAR REALTY FINANCE CORP REIT 66704R100 174 21,403 SH DEFINED 1 19,903 - 1,500 OMEGA HEALTHCARE INVESTORS INC REIT 681936100 213 12,317 SH DEFINED 1 12,317 - - PENNSYLVANIA REAL ESTATE REIT 709102107 373 15,328 SH DEFINED 1 15,328 - - PLUM CREEK TIMBER CO INC REIT 729251108 2,975 73,118 SH DEFINED 1 65,118 - 8,000 POST PROPERTIES INC REIT 737464107 681 17,655 SH DEFINED 1 17,655 - - POTLATCH CORPORATION REIT 737630103 396 9,617 SH DEFINED 1 9,617 - - PROLOGIS REIT 743410102 16,048 272,662 SH DEFINED 1 272,662 - - PUBLIC STORAGE REIT 74460D109 4,017 45,336 SH DEFINED 1 45,336 - - RAIT FINANCIAL TRUST REIT 749227104 201 29,004 SH DEFINED 1 29,004 - - RAYONIER INC REIT 754907103 1,109 25,532 SH DEFINED 1 25,532 - - REALTY INCOME CORP REIT 756109104 600 23,435 SH DEFINED 1 23,435 - - REDWOOD TRUST INC REIT 758075402 721 19,853 SH DEFINED 1 19,853 - - REGENCY CENTERS CORP REIT 758849103 1,459 22,533 SH DEFINED 1 22,533 - - SENIOR HSG PPTYS TR REIT 81721M109 658 27,781 SH DEFINED 1 27,781 - - SIMON PROPERTY GROUP INC REIT 828806109 17,977 193,493 SH DEFINED 1 193,493 - - SL GREEN REALTY CORP REIT 78440X101 3,007 36,920 SH DEFINED 1 21,559 - 15,361 STRATEGIC HOTELS & RESORTS REIT 86272T106 689 52,549 SH DEFINED 1 52,549 - - SUN COMMUNITIES INC REIT 866674104 8,405 410,016 SH DEFINED 1 410,016 - - SUNSTONE HOTEL INVS INC REIT 867892101 839 52,438 SH DEFINED 1 52,438 - - TAUBMAN CENTERS INC REIT 876664103 3,735 71,691 SH DEFINED 1 71,691 - - THORNBURG MORTGAGE INC REIT 885218107 170 160,947 SH DEFINED 1 160,947 - - VENTAS INC REIT 92276F100 1,658 36,920 SH DEFINED 1 36,920 - - VORNADO REALTY TRUST REIT 929042109 6,366 73,851 SH DEFINED 1 73,851 - - WASHINGTON REAL ESTATE REIT 939653101 325 9,740 SH DEFINED 1 9,740 - - WEINGARTEN REALTY INVESTORS REIT 948741103 1,233 35,814 SH DEFINED 1 35,814 - - WINTHROP REALTY TRUST REIT 976391102 57 14,006 SH DEFINED 1 14,006 - - GLG PARTNERS INC *W EXP 12/28/201 WARRANT 37929X115 37 3,150 SH DEFINED 1 3,150 - - WTS JAZZ TECHNOLOGIES INC WARRANT 47214E110 18 1,316,400 SH DEFINED 1 1,316,400 - - WTS LEHMAN BROS HLDGS INC WARRANT 52520W127 18,446 1,319,500 SH DEFINED 1 1,319,500 - - WTS VIRGIN MEDIA INC WARRANT 92769L119 3 39,039 SH DEFINED 1 39,039 - -