13F-HR 1 junie.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2006 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: Babson Capital Management LLC Address: 470 Atlantic Avenue Boston, MA 02210 13F File Number 0028-00060 The institutional manger 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: Robert J. Guerin Senior Compliance Officer Title: Phone: (617) 761-379 Signature, Place and Date of Signing: /s/Robert J. Guerin Boston, MA August 14, 2006 Report Type (Check only one.): [X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: 0 FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Mangers: 0 Form 13F Information Entry Total: 595 Form 13F Information Table Value Total: 1549241 List of Other Included Mangers: VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE COM "3M COMPANY" 88579Y101 4814 59600 SH SOLE 59600 "A B X Air, Inc." COM 00080S101 284 47000 SH SOLE 47000 "A G Edwards, Inc." COM 281760108 266 4800 SH SOLE 4800 A M R Corporation COM 1765106 262 10300 SH SOLE 10300 A M R Corporation COM 1765106 446 17564 SH SOLE 17564 "A T & T, Inc." COM 00206R102 15962 572306 SH SOLE 572306 A V X Corporation COM 2444107 270 17100 SH SOLE 17100 "ABAXIS, INC." COM 2567105 4333 193700 SH SOLE 193700 Abbott Laboratories COM 2824100 13087 300100 SH SOLE 300100 Ace Ltd COM G0070K103 1771 35000 SH SOLE 35000 Actuant Corp COM 00508X203 69 3446550 SH SOLE 3446550 "Adaptec, Inc." COM 00651F108 75 325500 SH SOLE 325500 "Advanced Micro Devices, Inc." COM 7903107 70 1706958 SH SOLE 1706958 Advanta Corp. COM 7942204 234 6500 SH SOLE 6500 "Aetna, Inc." COM 00817Y108 1254 31400 SH SOLE 31400 "Aflac, Inc." COM 1055102 932 20100 SH SOLE 20100 Agco Corporation COM 1084102 547 20800 SH SOLE 20800 "Agilent Technologies, Inc." COM 00846U101 2597 82300 SH SOLE 82300 "Airgas, Inc." COM 9363102 332 8900 SH SOLE 8900 "Alcoa, Inc." COM 13817101 757 23400 SH SOLE 23400 Alexandria Real Estate Equitie COM 15271109 1215 13700 SH SOLE 13700 "Allegheny Energy, Inc." COM 17361106 493 13300 SH SOLE 13300 "Allegheny Technologies, Inc." COM 01741R102 457 6600 SH SOLE 6600 Alliant Energy Corporation COM 18802108 230 6700 SH SOLE 6700 "Alliant Techsystems, Inc." COM 18804104 260 3400 SH SOLE 3400 Allied Capital Corporation COM 01903Q108 115 4000 SH SOLE 4000 "Allied Waste Industries, Inc." COM 19589308 399 35100 SH SOLE 35100 Allstate Corporation COM 20002101 8199 149800 SH SOLE 149800 Alltel Corporation COM 20039103 217 3400 SH SOLE 3400 Altera Corporation COM 21441100 486 27700 SH SOLE 27700 "Altria Group, Inc." COM 02209S103 11176 152200 SH SOLE 152200 "Ambac, Inc." COM 23139108 1930 23800 SH SOLE 23800 AMERICAN CAPITAL STRATEGIES COM 24937104 208 6200 SH SOLE 6200 American Electric Power Co. COM 2553710 12983 87100 SH SOLE 87100 American Express Company COM 25816109 4236 79600 SH SOLE 79600 American Financial Group COM 25932104 429 10000 SH SOLE 10000 American Home Mortgage Investm COM 02660R107 435 11800 SH SOLE 11800 "American Intl Group, Inc." COM 26874107 14314 242400 SH SOLE 242400 American Standard Companies COM 29712106 606 14000 SH SOLE 14000 AmeriCredit Corporation COM 03060R101 517 18500 SH SOLE 18500 Amerigroup Corp. COM 03073T102 792 25500 SH SOLE 25500 "Ameriprise Financial, Inc." COM 03076C106 122 2740 SH SOLE 2740 AmerisourceBergen Corporation COM 3.07E+108 2356 56200 SH SOLE 56200 "Amgen, Inc." COM 31162100 7521 115300 SH SOLE 115300 Amsouth Bancorporation COM 32165102 1656 62600 SH SOLE 62600 ANADARKO PETROLEUM CORP COM 32511107 2189 45900 SH SOLE 45900 "Analog Devices, Inc." COM 32654105 897 27900 SH SOLE 27900 "Anheuser-Busch Companies, Inc." COM 35229103 3852 84500 SH SOLE 84500 Ann Taylor Stores Corporation COM 36115103 447 10300 SH SOLE 10300 Ansoft Corporation COM 36384105 225 11000 SH SOLE 11000 "Anthracite Optical, Inc." COM 37023108 6080 500000 SH SOLE 500000 Aon Corporation COM 37389103 1260 36200 SH SOLE 36200 APARTMENT INVT & MGMT CO. COM 03748R101 582 13400 SH SOLE 13400 "Apple Computer, Inc." COM 37833100 2302 40300 SH SOLE 40300 Applera Corp./Applied Bio Grp COM 38020103 2617 80900 SH SOLE 80900 "Applied Materials, Inc." COM 38222105 2066 126900 SH SOLE 126900 Arbor Realty Trust COM 38923108 328 13100 SH SOLE 13100 Archer-Daniels-Midland Company COM 39483102 3406 82500 SH SOLE 82500 Archstone-Smith Opr Trust COM 39583109 4439 87257 SH SOLE 87257 ARISTOTLE CORPORATION COM 40448201 236 28389 SH SOLE 28389 "Arrow Electronics, Inc." COM 42735100 319 9900 SH SOLE 9900 "ASPEN TECHNOLOGY, INC." COM 45327103 656 50000 SH SOLE 50000 "ASSURANT, INC." COM 04621X108 503 10400 SH SOLE 10400 "Atlas Air Worldwide Hldg, Inc." COM 49164205 7118 145138 SH SOLE 145138 Atmel Corporation COM 49513104 225 40500 SH SOLE 40500 "Autodesk, Inc." COM 52769106 624 18100 SH SOLE 18100 "Autoliv, Inc." COM 52800109 351 6200 SH SOLE 6200 Automatic Data Processing COM 53015103 10174 224350 SH SOLE 224350 "Autozone, Inc." COM 53332102 291 3300 SH SOLE 3300 "Avalon Bay Communities, Inc." COM 53484101 3220 29112 SH SOLE 29112 "Avaya, Inc." COM 53499109 548 48000 SH SOLE 48000 Avery Dennison Corporation COM 53611109 459 7900 SH SOLE 7900 Avista Corp. COM 05379B107 224 9800 SH SOLE 9800 "AXSYS TECHNOLOGIES, INC." COM 54615109 1239 82193 SH SOLE 82193 AZZ INCORPORATED COM 2474104 4091 156100 SH SOLE 156100 B B & T Corporation COM 54937107 2543 61139 SH SOLE 61139 "B M C Software, Inc." COM 55921100 2158 90300 SH SOLE 90300 B P Amoco plc COM 55622104 6961 100000 SH SOLE 100000 "B R E Properties, Inc." COM 5564E106 341 6200 SH SOLE 6200 "Baker Hughes, Inc." COM 5722410 73094 37800 SH SOLE 37800 Ball Corporation COM 58498106 385 10400 SH SOLE 10400 Bally Total Fitness Hld Corp. COM 05873K108 157 23178 SH SOLE 23178 BancorpSouth Inc COM 59692103 575 21100 SH SOLE 21100 Bank of America Corporation COM 60505104 37702 783822 SH SOLE 783822 "Bank of New York Company, Inc." COM 64057102 254 7900 SH SOLE 7900 "Barnes & Noble, Inc." COM 67774109 347 9500 SH SOLE 9500 "BARR PHARMACEUTICALS, INC." COM 68306109 292 6125 SH SOLE 6125 "Bausch & Lomb, Inc." COM 71707103 392 8000 SH SOLE 8000 "Baxter International, Inc." COM 71813109 2503 68100 SH SOLE 68100 Beacon Power Corporation COM 73677106 949 735525 SH SOLE 735525 "Bear Stearns Companies, Inc." COM 73902108 4132 29500 SH SOLE 29500 Becton Dickinson and Company COM 75887109 1516 24800 SH SOLE 24800 Bellsouth Corporation COM 79860102 8547 236100 SH SOLE 236100 BEMA GOLD COM 08135F107 803 160000 SH SOLE 160000 "Bemis Company, Inc." COM 81437105 472 15400 SH SOLE 15400 "Best Buy Company, Inc." COM 86516101 2717 49550 SH SOLE 49550 "BEVERLY HILLS BANCORP, INC." COM 87866109 178 18500 SH SOLE 18500 "Big Lots, Inc." COM 89302103 1582 92600 SH SOLE 92600 "BIioMed Realty Trust, Inc." Common Stock 09063H107 1237 41300 SH SOLE 41300 "Bioenvision, Inc." COM 09059N101 178 33420 SH SOLE 33420 "BIOGEN IDEC, INC." COM 09062X103 1839 39700 SH SOLE 39700 Black & Decker Corporation COM 91797100 684 8100 SH SOLE 8100 Boeing Company COM 97023105 9788 119500 SH SOLE 119500 Bolt Technologies COM 97698104 8166 676546 SH SOLE 676546 "Boston Properties, Inc." COM 101121101 2376 26288 SH SOLE 26288 Bristol-Myers Squibb Company COM 110122108 411 15900 SH SOLE 15900 Broadcom Corporation Common St ock Clas111320107 691 23000 SH SOLE 23000 Brocade Communications Systems COM 111621108 562 91500 SH SOLE 91500 Brown-Forman Corporation Common St ock Clas115637209 516 7200 SH SOLE 7200 BRUKER BIOSCIENCES CORP. COM 116794108 133 24900 SH SOLE 24900 "Bucyrus International, Inc." COM 118759109 215 4250 SH SOLE 4250 Burlington Northern Santa Fe COM 12189T104 2449 30900 SH SOLE 30900 C A M Commerce Solutions Inc. COM 131916108 2165 98603 SH SOLE 98603 "C A, INC." COM 12673P105 980 47674 SH SOLE 47674 C B S Corp Common St ock Clas124857202 2575 95200 SH SOLE 95200 "C H Robinson Worldwide, Inc." COM 12541W209 203 3800 SH SOLE 3800 "C I T Group, Inc." COM 125581108 2750 52600 SH SOLE 52600 C S X Corporation COM 126408103 2663 37800 SH SOLE 37800 Cadence Design System COM 127387108 446 26000 SH SOLE 26000 Callon Petroleum Company COM 13123X102 1450 74950 SH SOLE 74950 "CAL-MAINE FOODS, INC." COM 128030202 156 22700 SH SOLE 22700 Camden Property Trust COM 133131102 1478 20090 SH SOLE 20090 Campbell Soup Company COM 134429109 1351 36400 SH SOLE 36400 Capital One Financial Corp. COM 14040H105 5897 69011 SH SOLE 69011 Capital Trust Common St ock Clas14052H506 274 7700 SH SOLE 7700 "CAPITALSOURCE, INC." COM 14055X102 624 26600 SH SOLE 26600 Cardiac Science Corp. COM 14141A108 1601 202942 SH SOLE 202942 "Cardinal Health, Inc." COM 14149Y108 1891 29400 SH SOLE 29400 "Caremark Rx, Inc." COM 141705103 1965 39400 SH SOLE 39400 CARPENTER TECHNOLOGY CORP. COM 144285103 347 3000 SH SOLE 3000 CASCADE BANCORP COM 147154108 228 8000 SH SOLE 8000 "Cash America Intl, Inc." COM 14754D100 256 8000 SH SOLE 8000 "Castle Brands, Inc." COM 148435100 3958 510685 SH SOLE 510685 "Caterpillar, Inc." COM 149123101 544 7300 SH SOLE 7300 "Cavco Industries, Inc." COM 149568107 258 5800 SH SOLE 5800 "Celadon Group, Inc." COM 150838100 3903 177075 SH SOLE 177075 "Centerpoint Energy, Inc." COM 15189T107 430 34400 SH SOLE 34400 "Centurytel, Inc." COM 156700106 1159 31200 SH SOLE 31200 Ceridian Corporation COM 156779100 247 10100 SH SOLE 10100 Chesapeake Energy Corporation COM 165167107 1410 46600 SH SOLE 46600 Chevron Corporation COM 166764100 23060 371579 SH SOLE 371579 CHICAGO MERCANTILE EXCHANGE COM 167760107 295 600 SH SOLE 600 Chubb Corporation COM 171232101 3463 69400 SH SOLE 69400 Ciena Corporation COM 171779101 284 59100 SH SOLE 59100 Cigna Corporation COM 125509109 2729 27700 SH SOLE 27700 Cincinnati Financial Corp. COM 172062101 1665 35420 SH SOLE 35420 Circuit City Stores COM 172737108 471 17300 SH SOLE 17300 "Cisco Systems, Inc." COM 17275R102 13157 673700 SH SOLE 673700 "Citigroup, Inc." COM 172967101 38187 791600 SH SOLE 791600 Citizens Communications Co. COM 17453B101 394 30200 SH SOLE 30200 "Citrix Systems, Inc." COM 177376100 1064 26500 SH SOLE 26500 Clear Channel Communications COM 184502102 2009 64900 SH SOLE 64900 Coca-Cola Company COM 191216100 9413 218800 SH SOLE 218800 "Coca-Cola Enterprises, Inc." COM 191219104 919 45100 SH SOLE 45100 Colgate-Palmolive Company COM 194162103 2989 49900 SH SOLE 49900 Colonial Bancgroup COM 195493309 208 8100 SH SOLE 8100 Colonial Properties Trust Common St ock REIT195872106 1205 24400 SH SOLE 24400 Comcast Corporation COM 20030N101 7101 216900 SH SOLE 216900 "Comerica, Inc." COM 200340107 967 18600 SH SOLE 18600 Commerce Bancorporation COM 200519106 7450 208870 SH SOLE 208870 "Compass Bancshares, Inc." COM 20449H109 817 14700 SH SOLE 14700 Computer Sciences Corporation COM 205363104 1807 37300 SH SOLE 37300 Compuware Corporation COM 205638109 285 42500 SH SOLE 42500 "ConAgra Foods, Inc." COM 205887102 1660 75100 SH SOLE 75100 ConocoPhillips COM 20825C104 1388 21174 SH SOLE 21174 "Consolidated Edison, Inc." COM 209115104 1462 32900 SH SOLE 32900 Constellation Energy Group COM 210371100 512 9400 SH SOLE 9400 Convergys Corporation COM 212485106 289 14800 SH SOLE 14800 Cooper Industries Ltd Common St ock ClasG24182100 641 6900 SH SOLE 6900 "Corning, Inc." COM 219350105 2881 119100 SH SOLE 119100 Corporate Office Properties COM 22002T108 576 13700 SH SOLE 13700 "CORUS BANKSHARES, INC." COM 220873103 778 29700 SH SOLE 29700 Countrywide Financial Corp COM 22237210 45430 142594 SH SOLE 142594 "Coventry Health Care, Inc." COM 222862104 479 8725 SH SOLE 8725 Crane Company COM 224399105 645 15500 SH SOLE 15500 "Crosstex Energy, Inc." COM 22765Y104 3089 32484 SH SOLE 32484 "Crosstex Energy, Inc." COM 22765Y104 565 5943 SH SOLE 5943 "Cummins, Inc." COM 231021106 1638 13400 SH SOLE 13400 "Cytec Industries, Inc." COM 232820100 762 14200 SH SOLE 14200 "D J O, Inc." COM 23325G10 4298 8100 SH SOLE 8100 D T E Energy Company COM 233331107 1006 24700 SH SOLE 24700 Danaher Corporation COM 235851102 1203 18700 SH SOLE 18700 "Darden Restaurants, Inc." COM 237194105 544 13800 SH SOLE 13800 Darwin Professional Underwrite COM 237502109 7267 411470 SH SOLE 411470 Dean Foods Company COM 242370104 785 21100 SH SOLE 21100 Deerfield Triarc Capital Corp Common Stock 244572301 3894 300000 SH SOLE 300000 Del Monte Corporation COM 24522P103 557 49600 SH SOLE 49600 "Dell, Inc." COM 24702R101 579 23700 SH SOLE 23700 Devon Energy Corporation COM 25179M103 3564 59000 SH SOLE 59000 DiamondRock Hospitality Co. COM 252784301 278 18800 SH SOLE 18800 "DIODES, INC." COM 254543101 541 13050 SH SOLE 13050 "DIRECTV GROUP, INC." COM 25459L106 182 11000 SH SOLE 11000 Distributed Energy Systems Cor COM 25475V104 72 14000 SH SOLE 14000 "DITECH NETWORKS, INC." COM 25500T108 106 12100 SH SOLE 12100 "Dollar Tree Stores, Inc." COM 25674710 6543 20500 SH SOLE 20500 "Dominion Resources, Inc." COM 25746U109 2221 29700 SH SOLE 29700 Dover Corporation COM 260003108 1661 33600 SH SOLE 33600 Dow Chemical Company COM 260543103 11096 284300 SH SOLE 284300 "Drew Industries, Inc." COM 26168L205 279 8600 SH SOLE 8600 Duke Energy Corporation COM 26441C105 5000 170236 SH SOLE 170236 Duke Realty Corporation COM 264411505 390 11100 SH SOLE 11100 "Dyncorp International, Inc." Common St ock Clas26817C101 42 4000 SH SOLE 4000 "Dynegy, Inc." COM 26816Q101 126 23000 SH SOLE 23000 E C C Capital Corp. Common St ock REIT26826M108 976 800000 SH SOLE 800000 "E G L, Inc." COM 26848410 2452 9000 SH SOLE 9000 E I du Pont de Nemours & Co. COM 263534109 3815 91700 SH SOLE 91700 E M C Corporation COM 268648102 2079 189500 SH SOLE 189500 E*Trade Financial Corp. COM 269246104 714 31300 SH SOLE 31300 "EAGLE MATERIALS, INC." COM 26969P108 233 4900 SH SOLE 4900 Eaton Corporation COM 278058102 2307 30600 SH SOLE 30600 "Ebay, Inc." COM 278642103 343 11700 SH SOLE 11700 Edison International COM 281020107 1658 42500 SH SOLE 42500 El Paso Corporation COM 28336L109 2685 179000 SH SOLE 179000 Electronic Data Systems Corp. COM 285661104 768 31900 SH SOLE 31900 Eli Lilly and Company COM 532457108 232 4200 SH SOLE 4200 Embarq Corporation COM 2.91E+109 743 18116 SH SOLE 18116 "EMC Insurance Group, Inc." COM 268664109 293 10200 SH SOLE 10200 Emerson Electric Company COM 291011104 2875 34300 SH SOLE 34300 "Entegris, Inc." COM 29362U104 4009 420700 SH SOLE 420700 Entergy Corporation COM 29364G103 9339 132000 SH SOLE 132000 "Enzon, Inc." COM 293904108 989 131200 SH SOLE 131200 "Equifax, Inc." COM 294429105 1624 47300 SH SOLE 47300 Equity Office Properties Trust COM 294741103 2216 60700 SH SOLE 60700 Equity Residential COM 29476L107 2583 57748 SH SOLE 57748 "Essex Property Trust, Inc." COM 297178105 1083 9700 SH SOLE 9700 "Estee Lauder Companies, Inc." Com Stock 518439104 7616 116900 SH SOLE 116900 Exelon Corporation COM 30161N101 9445 166200 SH SOLE 166200 "Expedia, Inc." COM 30212P105 225 15000 SH SOLE 15000 "Express Scripts, Inc." COM 302182100 890 12400 SH SOLE 12400 Exxon Corporation COM 30231G102 60798 991000 SH SOLE 991000 "F P L Group, Inc." COM 302571104 2268 54800 SH SOLE 54800 Fairchild Semiconductor Corp. COM 303726103 391 21500 SH SOLE 21500 Family Dollar Stores COM 307000109 1292 52900 SH SOLE 52900 Federal Realty Investment Tr COM 313747206 1743 24900 SH SOLE 24900 "Federated Dept Stores, Inc." COM 31410H101 3345 91386 SH SOLE 91386 FedEx Corporation COM 31428X106 1917 16400 SH SOLE 16400 FHLMC COM 313400301 3500 61400 SH SOLE 61400 Fidelity National Financial COM 316326107 413 10600 SH SOLE 10600 FIDELITY NATIONAL TITLE COM 31620R105 214 10900 SH SOLE 10900 Fieldstone Investment Corp. Common Stock 31659U300 6795 741800 SH SOLE 741800 FIRST BANCORP PUERTO RICO COM 318672102 119 12800 SH SOLE 12800 FIRST CASH FINANCIAL SERVICES COM 31942D107 701 35500 SH SOLE 35500 First Data Corporation COM 319963104 2883 64000 SH SOLE 64000 First Industrial Realty Trust COM 32054K103 1161 30600 SH SOLE 30600 First Potomac Realty Trust Common St ock REIT33610F109 626 21000 SH SOLE 21000 FirstEnergy Corporation COM 337932107 2488 45900 SH SOLE 45900 "Fiserv, Inc." COM 337738108 1229 27100 SH SOLE 27100 "Fisher Scientific Intl, Inc." COM 338032204 970 13280 SH SOLE 13280 FNMA COM 313586109 1467 30500 SH SOLE 30500 Ford Motor Company COM 345370860 563 81200 SH SOLE 81200 "Forrester Resh, Inc." COM 346563109 3461 123700 SH SOLE 123700 "Fortune Brands, Inc." COM 349631101 568 8000 SH SOLE 8000 Freeport-McMoran Copper & Gold COM 35671D857 266 4800 SH SOLE 4800 "Freescale Semiconductor, Inc." Common Stock 35687M206 2909 98936 SH SOLE 98936 "FREIGHTCAR AMERICA, INC." COM 357023100 205 3700 SH SOLE 3700 Friedman Billings Ramsey-A COM 358434108 3840 350000 SH SOLE 350000 "Gannett Company, Inc." COM 364730101 677 12100 SH SOLE 12100 "Gap, Inc." COM 364760108 1425 81900 SH SOLE 81900 "Gardner Denver, Inc." COM 365558105 693 18000 SH SOLE 18000 "Gartner Group, Inc." COM 366651107 5671 399400 SH SOLE 399400 General Dynamics Corp COM 369550108 7587 115900 SH SOLE 115900 General Electric Company COM 369604103 28514 865100 SH SOLE 865100 General Growth Properties COM 370021107 3282 72846 SH SOLE 72846 "General Mills, Inc." COM 370334104 4066 78700 SH SOLE 78700 General Motors Corporation COM 370442105 4180 140300 SH SOLE 140300 Genesco Inc COM 371532102 261 7700 SH SOLE 7700 "Genlyte Group, Inc." COM 372302109 1223 16880 SH SOLE 16880 "GenTek, Inc." COM 37245X203 1424 53042 SH SOLE 53042 Genuine Parts Company COM 372460105 525 12600 SH SOLE 12600 "GENWORTH FINANCIAL, INC." Common Stock Clas 37247D106 2101 60300 SH SOLE 60300 "Geo Specialty Chemicals, Inc." COM 37246R106 523 104500 SH SOLE 104500 Georgia Gulf Corporation COM 373200203 20 800 SH SOLE 800 "Global Payments, Inc." COM 37940X102 214 4400 SH SOLE 4400 "Goldman Sachs Group, Inc." COM 38141G104 9056 60200 SH SOLE 60200 Goodyear Tire & Rubber Company COM 382550101 268 24100 SH SOLE 24100 "GOOGLE, INC." Common St ock Clas38259P508 3187 7600 SH SOLE 7600 "Grainger W W, Inc." COM 384802104 451 6000 SH SOLE 6000 "Great Plains Energy, Inc." COM 391164100 209 7517 SH SOLE 7517 H C A Incorporated COM 404119109 1614 37400 SH SOLE 37400 H M S Holdings Corp COM 40425J101 3375 314800 SH SOLE 314800 H R P T PROPERTIES TRUST COM 40426W101 203 17600 SH SOLE 17600 "Harley-Davidson, Inc." COM 412822108 1262 23000 SH SOLE 23000 "Harrah's Entertainment, Inc." COM 413619107 890 12500 SH SOLE 12500 Hartford Financial Svcs Group COM 416515104 3951 46700 SH SOLE 46700 "Hasbro, Inc." COM 418056107 596 32900 SH SOLE 32900 Health Care Property Investors COM 421915109 318 11900 SH SOLE 11900 Heinz H J Company COM 423074103 3331 80800 SH SOLE 80800 "Hercules, Inc." COM 427056106 2651 173700 SH SOLE 173700 Hess Corporation COM 42809H107 597 11300 SH SOLE 11300 Hewitt Associates LLC Common St ock Clas42822Q100 207 9200 SH SOLE 9200 Hewlett-Packard Company COM 428236103 13683 431900 SH SOLE 431900 Highland Hospitality Corp Common St ock REIT430141101 179 12700 SH SOLE 12700 Hilton Hotels Corporation COM 432848109 732 25900 SH SOLE 25900 Hittite Microwave Corp COM 43365Y104 6898 190767 SH SOLE 190767 HOLLY CORPORATION COM 435758305 429 8900 SH SOLE 8900 "Home Depot, Inc." COM 437076102 1364 38100 SH SOLE 38100 "Honeywell International, Inc." COM 438516106 9749 241900 SH SOLE 241900 "Hospira, Inc." COM 441060100 673 15680 SH SOLE 15680 Hospitality Properties Trust COM 44106M102 281 6400 SH SOLE 6400 "Host Hotels & Resorts, Inc." COM 44107P104 2033 92967 SH SOLE 92967 "Humana, Inc." COM 444859102 703 13100 SH SOLE 13100 "Huntington Bancshares, Inc." COM 446150104 474 20100 SH SOLE 20100 I B M Corporation COM 459200101 14565 189600 SH SOLE 189600 I H O P Corp. COM 449623107 375 7800 SH SOLE 7800 "I M S Health, Inc." COM 449934108 1101 41000 SH SOLE 41000 "I T C\DeltaCom, Inc." COM 45031T872 48 35040 SH SOLE 35040 "I T T Industries, Inc." COM 450911102 881 17800 SH SOLE 17800 "II - VI, Inc." COM 902104108 6515 356000 SH SOLE 356000 "Illinois Tool Works, Inc." COM 452308109 1565 32948 SH SOLE 32948 IMMUCOR INC COM 452526106 392 20400 SH SOLE 20400 Indymac Mortgage Holdings COM 456607100 679 14800 SH SOLE 14800 Innkeepers USA Trust COM 4576J0104 907 52500 SH SOLE 52500 Intel Corporation COM 458140100 2924 154300 SH SOLE 154300 International Game Technology COM 459902102 1199 31600 SH SOLE 31600 Intersil Corporation COM 46069S109 205 8800 SH SOLE 8800 Intervideo Inc. COM 46114Y101 252 25800 SH SOLE 25800 "Intuit, Inc." COM 461202103 2295 38000 SH SOLE 38000 IShares MSCI ETF Equit y Austra464286103 415 20000 SH SOLE 20000 IShares MSCI ETF Equit y Japan 464286848 404 29600 SH SOLE 29600 IShares Trust ETF Equit y 464287622 34084 493400 SH SOLE 493400 "Istar Financial, Inc." COM 45031U101 680 18000 SH SOLE 18000 J L G Industries COM 466210101 263 11700 SH SOLE 11700 J P Morgan Chase & Co. COM 46625H100 14640 348564 SH SOLE 348564 "Jackson Products, Inc." COM 468694104 1 12735 SH SOLE 12735 "Janus Capital Group, Inc." COM 47102X105 344 19200 SH SOLE 19200 JetBlue Airways Corporation COM 477143101 21235 1749195 SH SOLE 1749195 Johnson & Johnson COM 478160104 10792 180100 SH SOLE 180100 "Johnson Controls, Inc." COM 478366107 1743 21200 SH SOLE 21200 "Jones Apparel Group, Inc." COM 480074103 2877 90500 SH SOLE 90500 JONES LANG LASALLE INC COM 48020Q107 455 5200 SH SOLE 5200 Jones Soda Co. COM 48023P106 2370 263300 SH SOLE 263300 Kaman Corporation COM 483548103 1949 107100 SH SOLE 107100 Kerr-McGee Corporation COM 492386107 2086 30078 SH SOLE 30078 Keycorp COM 493267108 1638 45900 SH SOLE 45900 KeySpan Gas East Corporation COM 49337W100 723 17900 SH SOLE 17900 "Keystone North America, Inc." Common Stock 493525208 766 127009 SH SOLE 127009 Kilroy Realty Corporation COM 49427F108 915 12663 SH SOLE 12663 Kimberly-Clark Corporation COM 49436810 32918 47300 SH SOLE 47300 Kimco Realty Corporation COM 49446R109 2977 81575 SH SOLE 81575 "Kinder Morgan, Inc." COM 49455P101 1099 11000 SH SOLE 11000 "Kinetic Concepts, Inc." COM 49460W208 13 300 SH SOLE 300 "King Pharmaceuticals, Inc." COM 495582108 828 48700 SH SOLE 48700 Kirby Corporation COM 497266106 280 7100 SH SOLE 7100 Kohl's Corporation COM 500255104 2312 39100 SH SOLE 39100 "KOMAG, INC." COM 500453204 480 10400 SH SOLE 10400 "Kraft Foods, Inc." COM 50075N104 346 11200 SH SOLE 11200 Kroger Company COM 501044101 275 30700 SH SOLE 30700 L S I Logic Corporation COM 502161102 1094 14500 SH SOLE 14500 "L-3 Communications Hldgs, Inc." COM 502424104 1301 20900 SH SOLE 20900 Laboratory Corp. of America COM 50540R409 382 10200 SH SOLE 10200 "Ladish Company, Inc." COM 505754200 414 10700 SH SOLE 10700 "Leggett & Platt, Inc." COM 524660107 642 25700 SH SOLE 25700 "Lehman Brothers Holdings, Inc." COM 524908100 7616 116900 SH SOLE 116900 Leucadia National Corporation COM 527288104 242 8300 SH SOLE 8300 "Lexmark International, Inc." Common Stock 529771107 2127 38100 SH SOLE 38100 "LIBERTY GLOBAL, INC." Common St ock Clas 530555101 872 40569 SH SOLE 40569 "LIBERTY GLOBAL, INC." Common St ock Seri 530555309 627 30489 SH SOLE 30489 Liberty Media Holding Corp Capital A Common 53071M302 499 5960 SH SOLE 5960 "Limited Brands, Inc." COM 532716107 1039 40600 SH SOLE 40600 Lincoln National Corporation COM 534187109 3954 70055 SH SOLE 70055 "Liz Claiborne, Inc." COM 53932010 12754 74300 SH SOLE 74300 Lockheed Martin Corporation COM 539830109 3817 53200 SH SOLE 53200 Lodgenet Entertainment Corp COM 540211109 2984 160000 SH SOLE 160000 Loews Corporation COM 540424108 1687 47600 SH SOLE 47600 Loews Corporation COM 540424207 473 9200 SH SOLE 9200 Loral Space & Communications COM 543881106 3353 118223 SH SOLE 118223 Louisiana-Pacific Corporation COM 546347105 385 17600 SH SOLE 17600 "Lowe's Companies, Inc." COM 548661107 5381 88700 SH SOLE 88700 "Lucent Technologies, Inc." COM 549463107 1029 425200 SH SOLE 425200 Lyondell Chemical Company COM 552078107 421 18600 SH SOLE 18600 M & T Bank Corporation COM 55261F104 861 7300 SH SOLE 7300 "M B I A, Inc." COM 55262C100 1344 22950 SH SOLE 22950 "M F R I, Inc." COM 552721102 2714 263265 SH SOLE 263265 M G I C Investment Corporation COM 552848103 1937 29800 SH SOLE 29800 M V C Capital Inc COM 553829102 2863 213000 SH SOLE 213000 Macerich Company COM 554382101 1516 21600 SH SOLE 21600 Mac-Gray Corporation COM 554153106 170 13800 SH SOLE 13800 Mack-Cali Realty Corporation COM 554489104 842 18334 SH SOLE 18334 "Manitowoc Company, Inc." COM 563571108 352 7900 SH SOLE 7900 "Manor Care, Inc." COM 564055101 854 18200 SH SOLE 18200 "Manpower, Inc." COM 56418H100 362 5600 SH SOLE 5600 Marathon Oil Corporation COM 565849106 3956 47485 SH SOLE 47485 MARINE PRODUCTS CORP. COM 568427108 3302 339400 SH SOLE 339400 Maritrans Inc. COM 570363101 1160 46600 SH SOLE 46600 MWI Veterinary Supply Inc COM 55402X105 4328 118800 SH SOLE 118800 N S T A R COM 6.70E+111 9258 323700 SH SOLE 323700 "Newtek Business Services." Common Stock 652526104 355 212450 SH SOLE 212450 NOVASTAR FINANCIAL Common St ock REIT669947400 10431 10431300 SH SOLE 10431300 NOVATEL INC COM 669954109 454 13300 SH SOLE 13300 "Novell, Inc." COM 670006105 254 38300 SH SOLE 38300 "Novellus Systems, Inc." COM 670008101 353 14300 SH SOLE 14300 Nu Horizons Electronics Corp. COM 669908105 3493 362000 SH SOLE 362000 Nucor Corporation COM 670346105 5040 92900 SH SOLE 92900 NUTRACEUTICAL INTL CORP COM 67060Y101 353 23000 SH SOLE 23000 NVIDIA Corporation COM 67066G104 1175 55200 SH SOLE 55200 O G E Energy Corporation COM 670837103 263 7500 SH SOLE 7500 Occidental Petroleum Corp COM 674599105 5720 55782 SH SOLE 55782 "Office Depot, Inc." COM 676220106 3184 83800 SH SOLE 83800 OFFICEMAX INC COM 67622P101 3798 93200 SH SOLE 93200 Old Republic Intl Corporation COM 680223104 218 10212 SH SOLE 10212 Omnicom Group COM 681919106 1907 21400 SH SOLE 21400 "ONE LIBERTY PROPERTIES, INC." Common Stock 682406103 224 11800 SH SOLE 11800 "Oneok, Inc." COM 682680103 238 7000 SH SOLE 7000 Opteum Inc Common St ock REIT68384A100 3608 400000 SH SOLE 400000 Oracle Systems Corporation COM 68389X105 8399 579610 SH SOLE 579610 Oshkosh Truck Corporation COM 688239201 404 8500 SH SOLE 8500 OYO GOESPACE CORP COM 671074102 8509 149000 SH SOLE 149000 P G & E Corporation COM 69331C108 2950 75100 SH SOLE 75100 "P M C - Sierra, Inc." COM 69344F106 136 14500 SH SOLE 14500 P N C Finl Services Group COM 693475105 2386 34000 SH SOLE 34000 "P P G Industries, Inc." COM 693506107 1571 23800 SH SOLE 23800 P P L Corporation COM 69351T106 2836 87800 SH SOLE 87800 "PACKETEER, INC." COM 695210104 215 19000 SH SOLE 19000 Pactiv Corporation COM 695257105 933 37700 SH SOLE 37700 "Pan Pacific Retail Prop, Inc." COM 69806L104 326 4700 SH SOLE 4700 Parker-Hannifin Corporation COM 701094104 2219 28600 SH SOLE 28600 "Paychex, Inc." COM 704326107 1107 28400 SH SOLE 28400 Pediatrix Medical Group Inc COM 705324101 236 5200 SH SOLE 5200 "Penney (JC) Company, Inc." COM 708160106 1863 27600 SH SOLE 27600 Pension Worldwide Inc COM 709600100 1065 61900 SH SOLE 61900 "Pepco Holdings, Inc." COM 713291102 262 11100 SH SOLE 11100 "Pepsi Bottling Group, Inc." COM 713409100 1074 33400 SH SOLE 33400 "PepsiAmericas, Inc." COM 71343P200 13583 614321 SH SOLE 614321 "Pepsico, Inc." COM 713448108 8772 146100 SH SOLE 146100 Performance Food Group Co COM 713755106 261 8600 SH SOLE 8600 "Perkinelmer, Inc." COM 714046109 416 19900 SH SOLE 19900 "Pfizer, Inc." COM 717081103 28016 1193700 SH SOLE 1193700 Phelps Dodge Corporation COM 717265102 2185 26600 SH SOLE 26600 Pinnacle West Capital COM 723484101 415 10400 SH SOLE 10400 "Pitney Bowes, Inc." COM 724479100 818 19800 SH SOLE 19800 PLUM CREEK TIMBER COMPANY COM 729251108 572 16100 SH SOLE 16100 POOL CORPORATION COM 73278L105 358 8200 SH SOLE 8200 Precision Castparts Corp. COM 740189105 305 5100 SH SOLE 5100 Principal Financial Group COM 74251V102 3890 69900 SH SOLE 69900 Procter & Gamble Company COM 742718109 20953 376848 SH SOLE 376848 Proficient Inc. COM 71375U101 438 35400 SH SOLE 35400 "Progress Energy, Inc." COM 743263105 1458 34000 SH SOLE 34000 Progressive Corporation COM 743315103 4018 156300 SH SOLE 156300 ProLogis Trust COM 743410102 5713 109611 SH SOLE 109611 "Prudential Financial, Inc." COM 744320102 4087 52600 SH SOLE 52600 "Public Storage, Inc." COM 74460D109 2473 32578 SH SOLE 32578 Q Logic Corporation COM 747277101 478 27700 SH SOLE 27700 "Qualcom, Inc." COM 747525103 5005 124900 SH SOLE 124900 "Quality Distribution, Inc." COM 74756M102 2834 213405 SH SOLE 213405 "Quest Diagnostic, Inc." COM 74834L100 911 15200 SH SOLE 15200 Qwest Communications Intl COM 749121109 2656 328300 SH SOLE 328300 R & G Financial Corporation COM 749136107 142 16500 SH SOLE 16500 "R B C Bearings, Inc." COM 75524B104 3434 151279 SH SOLE 151279 "Radian Group, Inc." COM 750236101 488 7900 SH SOLE 7900 RADYNE CORP COM 750611402 2062 181200 SH SOLE 181200 Raytheon Company COM 755111507 4805 107800 SH SOLE 107800 "Realnetworks, Inc." COM 75605L104 146 13600 SH SOLE 13600 Regency Centers Corporation COM 758849103 1833 29500 SH SOLE 29500 REGIONS FINANCIAL CORP. COM 7591EP100 2037 61490 SH SOLE 61490 Reliance Steel & Aluminum Co. COM 759509102 374 4506 SH SOLE 4506 "Res-Care, Inc." COM 760943100 332 16600 SH SOLE 16600 Reynolds & Reynolds Common St ock Clas761695105 595 19400 SH SOLE 19400 Reynolds American Inc COM 761713106 1580 13700 SH SOLE 13700 Rite Aid Corporation COM 767754104 111 26100 SH SOLE 26100 "Robert Half Intl, Inc." COM 770323103 294 7000 SH SOLE 7000 "Rockwell Automation, Inc." COM 773903109 951 13200 SH SOLE 13200 "Rockwell Collins, Inc." COM 774341101 497 8900 SH SOLE 8900 "Rogers Communications, Inc." Common St ock Clas775109200 248 6146 SH SOLE 6146 Rohm and Haas Company COM 775371107 1674 33400 SH SOLE 33400 ROLLINS COM 775711104 240 12200 SH SOLE 12200 "Ryder System, Inc." COM 783549108 1005 17200 SH SOLE 17200 S L Green Realty Corp. COM 78440X101 2472 22578 SH SOLE 22578 S L M Corporation COM 78442P106 1498 28300 SH SOLE 28300 S P X Corporation COM 784635104 498 8900 SH SOLE 8900 Sabre Holdings Corporation COM 785905100 625 28400 SH SOLE 28400 Safeco Corporation COM 786429100 1944 34500 SH SOLE 34500 "Saftey Insurance Group, Inc." COM 78648T100 352 7400 SH SOLE 7400 "Saint Paul Travelers Cos, Inc." COM 792860108 6544 146793 SH SOLE 146793 Sara Lee Corporation COM 803111103 1530 95500 SH SOLE 95500 "Savers, Inc." COM 805168101 6180 2000000 SH SOLE 2000000 Saxon Capital Inc. Common Stock REIT80556T106 10296 900000 SH SOLE 900000 Schlumberger Limited COM 806857108 4694 72100 SH SOLE 72100 SCHNITZER STL INDS CL A COM 806882106 277 7800 SH SOLE 7800 Schwab Charles Corporation COM 808513105 1087 68000 SH SOLE 68000 Sealed Air Corporation COM 81211K100 635 12200 SH SOLE 12200 SEARS HOLDINGS CORP. COM 812350106 2663 17200 SH SOLE 17200 Sempra Energy COM 816851109 1587 34900 SH SOLE 34900 ServiceMaster Company COM 81760N109 107 10400 SH SOLE 10400 Sherwin-Williams Company COM 824348106 1301 27400 SH SOLE 27400 Sigma-Aldrich Corporation COM 826552101 538 7400 SH SOLE 7400 "Simon Property Group, Inc." COM 828806109 4346 52403 SH SOLE 52403 Smurfit-Stone Container Corp. COM 832727101 126 11500 SH SOLE 11500 Snap-On COM 833034101 2939 72700 SH SOLE 72700 Solectron Corporation COM 834182107 872 255100 SH SOLE 255100 Sonoco Products Company COM 835495102 237 7500 SH SOLE 7500 Southern Company COM 842587107 3266 101900 SH SOLE 101900 SOUTHERN COPPER CORP. COM 84265V105 8699 97600 SH SOLE 97600 Southwest Airlines Company COM 844741108 355 21700 SH SOLE 21700 "Sovereign Bancorp, Inc." COM 845905108 470 23165 SH SOLE 23165 Spansion Inc Common St ock Clas84649R101 354 22200 SH SOLE 22200 Sprint Nextel Corporation COM 852061100 423 21147 SH SOLE 21147 Standard Parking Corporation COM 853790103 6572 242700 SH SOLE 242700 STANLEY WORKS COM 854616109 1034 21900 SH SOLE 21900 "Staples, Inc." COM 855030102 1288 52950 SH SOLE 52950 Starbucks Corporation COM 855244109 2492 66000 SH SOLE 66000 Starwood Hotels & Resorts COM 85590A401 809 13400 SH SOLE 13400 State Street Corporation COM 857477103 1324 22800 SH SOLE 22800 "Steel Dynamics, Inc." COM 858119100 1111 16900 SH SOLE 16900 Strategic Hotels & Resorts COM 86272T106 1267 61100 SH SOLE 61100 "Sun Microsystems, Inc." COM 866810104 1584 381600 SH SOLE 381600 "Sunstone Hotels Investors, Inc" Common Stock867892101 1194 41100 SH SOLE 41100 "Suntrust Banks, Inc." COM 867914103 3210 42099 SH SOLE 42099 "Superior Essex, Inc." COM 86815V105 299 10000 SH SOLE 10000 "Supervalu, Inc." COM 868536103 1000 32583 SH SOLE 32583 "Supreme Industries, Inc." Common Stock 868607102 2009 279864 SH SOLE 279864 "T J X Companies, Inc." COM 872540109 1289 56400 SH SOLE 56400 "T T M Technologies, Inc." COM 87305R109 178 12300 SH SOLE 12300 T X U Corporation COM 873168108 2266 37900 SH SOLE 37900 "Taubman Centers, Inc." COM 876664103 650 15900 SH SOLE 15900 "Teco Energy, Inc." COM 872375100 214 14300 SH SOLE 14300 "Tektronix, Inc." COM 879131100 218 7400 SH SOLE 7400 "Teleflex, Inc." COM 879369106 216 4000 SH SOLE 4000 "Tellabs, Inc." COM 879664100 1000 75100 SH SOLE 75100 "Temple-Inland, Inc." COM 879868107 2727 63600 SH SOLE 63600 "Tenneco, Inc." COM 880349105 520 20000 SH SOLE 20000 "Teradyne, Inc." COM 880770102 1036 74400 SH SOLE 74400 Terex Corporation COM 880779103 484 4900 SH SOLE 4900 Tesoro Petroleum Corporation COM 881609101 268 3600 SH SOLE 3600 "Texas Instruments, Inc." COM 882508104 6712 221600 SH SOLE 221600 The Valspar Corporation COM 920355104 293 11100 SH SOLE 11100 Thermo Electron Corporation COM 883556102 594 16400 SH SOLE 16400 Thomas & Betts Corporation COM 884315102 303 5900 SH SOLE 5900 "THORNBURG MORTGAGE, INC." COM 885218107 265 9500 SH SOLE 9500 "TIBCO Software, Inc." COM 88632Q103 306 43400 SH SOLE 43400 "Time Warner, Inc." COM 887317105 9377 542000 SH SOLE 542000 Torchmark Corporation COM 891027104 656 10800 SH SOLE 10800 TRAMMELL CROW COMPANY COM 89288R106 390 11100 SH SOLE 11100 Trans World Entertainment Corp COM 89336Q100 74 10200 SH SOLE 10200 "Transocean, Inc." COM G90078109 2699 33600 SH SOLE 33600 Tribune Company COM 896047107 772 23800 SH SOLE 23800 "Tricon Global Restaurants, Inc" COM 988498101 1171 23300 SH SOLE 23300 "Twin Disc, Inc." COM 901476101 208 6800 SH SOLE 6800 Tyco International Ltd COM 902124106 4033 146651 SH SOLE 146651 U A L Corporation COM 902549807 226 7300 SH SOLE 7300 U R S Corporation COM 903236107 269 6400 SH SOLE 6400 U S G Corporation COM 903293405 248 3400 SH SOLE 3400 "U S T, Inc." COM 902911106 547 12100 SH SOLE 12100 Union Pacific Corporation COM 907818108 2649 28500 SH SOLE 28500 United Online Inc. COM 911268100 133 11100 SH SOLE 11100 "United Parcel Service, Inc." COM 911312106 4388 53300 SH SOLE 53300 United States Steel Corp. COM 912909108 1024 14600 SH SOLE 14600 United Technologies Corp. COM 913017109 5340 84200 SH SOLE 84200 "UnitedHealth Group, Inc." COM 91324P102 618 13790 SH SOLE 13790 Universal Forest Products COM 913543104 301 4800 SH SOLE 4800 "Univision Communications, Inc." COM 914906102 526 15700 SH SOLE 15700 UnumProvident Corporation COM 91529Y106 625 34500 SH SOLE 34500 US BANCORP COM 902973304 11651 377300 SH SOLE 377300 Usana Health Sciences COM 90328M107 212 5600 SH SOLE 5600 U-Store-It Trust COM 91274F104 598 31700 SH SOLE 31700 V F Corporation COM 918204108 808 11900 SH SOLE 11900 Valero Energy Corporation COM 91913Y100 5400 81184 SH SOLE 81184 "Valmont Industries, Inc." COM 920253101 251 5400 SH SOLE 5400 "Ventas, Inc." Common St ock - RE92276F100 644 18998 SH SOLE 18998 "VeriSign, Inc." COM 9.23E+106 255 11000 SH SOLE 11000 "Verizon Communications, Inc." COM 92343V104 13548 404550 SH SOLE 404550 Viacom Inc Common St ock Clas92553P201 1398 39000 SH SOLE 39000 Virginia Commerce Bancorp COM 92778Q109 240 10050 SH SOLE 10050 "Vishay Intertechnology, Inc." COM 928298108 286 18200 SH SOLE 18200 Vornado Realty Trust COM 929042109 2943 30166 SH SOLE 30166 Vulcan Materials Company COM 929160109 554 7100 SH SOLE 7100 "W J Communications, Inc." COM 929284107 290 196200 SH SOLE 196200 Wachovia Corporation COM 929903102 9909 183235 SH SOLE 183235 "Wal-Mart Stores, Inc." COM 931142103 6185 128400 SH SOLE 128400 Walt Disney Company COM 254687106 13628 454250 SH SOLE 454250 WARNER MUSIC GROUP CORP. COM 934550104 307 10400 SH SOLE 10400 "Washington Mutual, Inc." COM 939322103 6359 139516 SH SOLE 139516 "Waste Management, Inc." COM 94106L109 17653 492000 SH SOLE 492000 Waters Corporation COM 941848103 426 9600 SH SOLE 9600 "Watson Pharmaceuticals, Inc." COM 942683103 317 13600 SH SOLE 13600 Weatherford International Ltd. COM G95089101 1042 21000 SH SOLE 21000 Weingarten Realty Investors COM 948741103 249 6500 SH SOLE 6500 "WELLPOINT, INC." COM 94973V107 5914 81267 SH SOLE 81267 Wells Fargo & Company COM 949746101 21928 326900 SH SOLE 326900 "Wesco International, Inc." COM 95082P105 474 7100 SH SOLE 7100 Westlake Chemical Corporation COM 960413102 361 12100 SH SOLE 12100 Weyerhaeuser Company COM 962166104 11709 188100 SH SOLE 188100 WHEELING PITTSBURGH CORP COM NEW 963142302 537 26980 SH SOLE 26980 Wheeling-Pittsburgh Steel Corp COM 963142302 537 26980 SH SOLE 26980 Whirlpool Corporation COM 963320106 926 11200 SH SOLE 11200 "Williams Companies, Inc." COM 969457100 350 15000 SH SOLE 15000 Willow Grove Bancorp Inc. COM 97111W101 234 14700 SH SOLE 14700 Wisconsin Energy Corp. COM 976657106 242 6000 SH SOLE 6000 WR Berkley Corporation COM 84423102 379 11100 SH SOLE 11100 WSFS FINL CORP COM 929328102 406 6600 SH SOLE 6600 Wyeth COM 983024100 21392 481700 SH SOLE 481700 "XCEL Energy, Inc." COM 98389B100 1153 60100 SH SOLE 60100 Xerox Corporation COM 984121103 1406 101100 SH SOLE 101100 "Xilinx, Inc." COM 983919101 587 25900 SH SOLE 25900 "Yahoo!, Inc." COM 984332106 488 14800 SH SOLE 14800 Zions Bancorporation COM 98970110 7639 8200 SH SOLE 8200 S REPORT SUMMARY 1549241 DATA RECORDS 595 August 14, 2006 Document Control-Filing Desk Securities & Exchange Commission 450 Fifth Street, N.W. Washington D.C. 20549-0104 Dear Sir or Madam: Pursuant to Section 13(f) of the Securities Exchange Act of 1934, I am filing Electronically on behalf of Babson Capital Management LLC ("Babson") Form 13F for the quarter ending June 30, 2006. Babson has indicated that it exercises "sole" investment discretion with respect to the securities positions reported in its Form 13F. Nevertheless, such positions shall also be deemed reported on behalf of Massachusetts Mutual Life Insurance Company ("MassMutual") to the extent that MassMutual may be deemed to "share" investment discretion over the positions as a result of Babson being a wholly-owned indirect subsidiary of MassMutual. If you should have any questions or comments regarding this matter please call me at (617) 761-3779. Sincerely, Sincerely, Robert J. Guerin Senior Compliance Officer