0000009015-11-000014.txt : 20110506
0000009015-11-000014.hdr.sgml : 20110506
20110506145304
ACCESSION NUMBER: 0000009015-11-000014
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110331
FILED AS OF DATE: 20110506
DATE AS OF CHANGE: 20110506
EFFECTIVENESS DATE: 20110506
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BABSON CAPITAL MANAGEMENT LLC
CENTRAL INDEX KEY: 0000009015
IRS NUMBER: 041054788
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: 13F-HR
SEC ACT: 1934 Act
SEC FILE NUMBER: 028-00060
FILM NUMBER: 11818860
BUSINESS ADDRESS:
STREET 1: 470 ATLANTIC AVENUE
STREET 2: 10TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-761-6662
MAIL ADDRESS:
STREET 1: 470 ATLANTIC AVENUE
STREET 2: 10TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: BABSON DAVID L & CO INC
DATE OF NAME CHANGE: 19920929
13F-HR
1
babson13fmar2011.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: 03/31/2011
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
Form 13F File Number: 28-00060
The institutional 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: Ruth Howe
Title: Managing Director
Phone: (413) 226-1243
Signature, Place, and Date of Signing:
/s/ Ruth Howe, Springfield, MA May 6, 2011
--------------------------------------------------------------------------
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) for this quarter.
Babson Capital Management LLC (Babson Capital) is an indirect wholly-owned
subsidiary of Massachusetts Mutual Life Insurance Company (MassMutual).
Wherever Babson Capital has indicated that it exercises investment discretion
with respect to the positions reported on this Form 13F, such positions shall
be deemed reported on behalf of MassMutual to the extent that MassMutual is
deemed to share investment discretion over the positions as a result of
MassMutual's indirect ownership interest in Babson Capital.
--------------------------------------------------------------------------
Report Type (Check only one):
[X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
manager are reported in this report)
[ ] 13F NOTICE. (Check here if no holdings reported are in this report,
and all holdings are reported by other reporting manager(s))
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for
this reporting manager are reported in this report and a portion are
reported by other reporting manager(s))
FORM 13F COVER PAGE
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 753
Form 13F Information Table Value Total: $1,746,481
List of Other Included Managers:
Form 13F File Number Name
28-00548 Massachusetts Mutual Life Insurance Company
Central Index Key (CIK) Number : 0000225602
FORM 13F INFORMATION TABLE
VOTING AUTHORITY
TITLE OF VALUE SHARES/ SH/ PUT/ INVEST. OTHER
NAME OF ISSUER CLASS CUSIP (X$1000) PRN AMT PRN CALL DISCRET. MGRS SOLE SHARED NONE
-------------------------------- -------- --------- ---------- ------- --- ---- -------- ----- ---- ------ ----
3M COMPANY COM 88579Y101 4291 45896 SH SOLE 45896 0 0
A E S CORPORATION COM 00130H105 937 72127 SH SOLE 72127 0 0
A M R CORPORATION COM 001765106 106 16300 SH SOLE 16300 0 0
AARON'S, INC. COM 002535300 302 11950 SH SOLE 11950 0 0
ABBOTT LABORATORIES COM 002824100 4673 95319 SH SOLE 95319 0 0
ABERCROMBIE & FITCH CO. COM 002896207 472 8049 SH SOLE 8049 0 0
ABITIBIBOWATER, INC COM 003687209 2887 107447 SH SOLE 107447 0 0
ABRAXAS PETROLEUM CORP COM 003830106 59 10130 SH SOLE 10130 0 0
ACTIVISION BLIZZARD, INC. COM 00507V109 445 40600 SH SOLE 40600 0 0
ADELPHIA RECOVERY TRUST COM 00685R409 0 8174644 SH SOLE 8174644 0 0
ADOBE SYSTEMS, INC. COM 00724F101 707 21323 SH SOLE 21323 0 0
ADVANCE AUTO STORES CO., INC. COM 00751Y106 364 5540 SH SOLE 5540 0 0
ADVANCED MICRO DEVICES, INC. COM 007903107 248 28826 SH SOLE 28826 0 0
ADVANCED MICRO DEVICES, INC. CONV 007903AL1 28359 27500000 PRN SOLE 27500000 0 0
AETNA, INC. COM 00817Y108 1912 51114 SH SOLE 51114 0 0
AFLAC, INC. COM 001055102 2091 39617 SH SOLE 39617 0 0
AGCO CORPORATION COM 001084102 292 5298 SH SOLE 5298 0 0
AGILENT TECHNOLOGIES, INC. COM 00846U101 1014 22644 SH SOLE 22644 0 0
AIR PRODUCTS & CHEMICALS, INC. COM 009158106 1320 14629 SH SOLE 14629 0 0
AIR TRANSPORT SVCS GROUP, INC. COM 00922R105 591 70000 SH SOLE 70000 0 0
ALABAMA AIRCRAFT IND, INC. COM 01023E100 226 903448 SH SOLE 903448 0 0
ALBEMARLE CORPORATION COM 012653101 209 3500 SH SOLE 3500 0 0
ALCOA, INC. COM 013817101 2083 117933 SH SOLE 117933 0 0
ALCON, INC. COM H01301102 331 2000 SH SOLE 2000 0 0
ALEXANDRIA RE EQUITIES REIT 015271109 234 3000 SH SOLE 3000 0 0
ALLERGAN, INC. COM 018490102 836 11754 SH SOLE 11754 0 0
ALLIANCE DATA SYSTEMS COM 018581108 215 2500 SH SOLE 2500 0 0
ALLIANT ENERGY CORPORATION COM 018802108 343 8800 SH SOLE 8800 0 0
ALLIANT TECHSYSTEMS, INC. COM 018804104 3668 51900 SH SOLE 51900 0 0
ALLIED WORLD ASSURANCE HOLDING COM CH0121038 539 8600 SH SOLE 8600 0 0
ALLSTATE CORPORATION COM 020002101 796 25015 SH SOLE 25015 0 0
ALPHA NATURAL RESOURCES, LLC COM 02076X102 469 7892 SH SOLE 7892 0 0
ALTERA CORPORATION COM 021441100 949 21579 SH SOLE 21579 0 0
ALTRIA GROUP, INC. COM 02209S103 4467 171555 SH SOLE 171555 0 0
AMAZON.COM, INC. COM 023135106 1767 9808 SH SOLE 9808 0 0
AMDOCS LTD COM G02602103 476 16500 SH SOLE 16500 0 0
AMEREN CORPORATION COM 023608102 574 20461 SH SOLE 20461 0 0
AMERICAN EAGLE OUTFITTERS COM 02553E106 399 25100 SH SOLE 25100 0 0
AMERICAN ELECTRIC POWER CO. COM 025537101 1514 43090 SH SOLE 43090 0 0
AMERICAN EXPRESS COMPANY COM 025816109 3276 72482 SH SOLE 72482 0 0
AMERICAN FINANCIAL GROUP COM 025932104 504 14382 SH SOLE 14382 0 0
AMERICAN INTL GROUP, INC. COM 026874784 706 20118 SH SOLE 20118 0 0
AMERICAN TOWER CORPORATION COM 029912201 585 11300 SH SOLE 11300 0 0
AMERICAN WATER WORKS CO., INC. COM 030420103 291 10400 SH SOLE 10400 0 0
AMERIPRISE FINANCIAL, INC. COM 03076C106 2142 35077 SH SOLE 35077 0 0
AMERISOURCEBERGEN CORPORATION COM 03073E105 895 22649 SH SOLE 22649 0 0
AMETEK, INC. COM 031100100 270 6150 SH SOLE 6150 0 0
AMGEN, INC. COM 031162100 5544 103705 SH SOLE 103705 0 0
AMGEN, INC. CONV 031162AE0 14053 17942857 PRN SOLE 17942857 0 0
AMPHENOL CORPORATION COM 032095101 239 4405 SH SOLE 4405 0 0
ANADARKO PETROLEUM CORP. COM 032511107 2284 27900 SH SOLE 27900 0 0
ANALOG DEVICES, INC. COM 032654105 1040 26433 SH SOLE 26433 0 0
ANNALY CAPITAL MGMT, INC. REIT 035710409 567 32460 SH SOLE 32460 0 0
ANTHRACITE CAPITAL, INC. REIT 037023108 0 10000 SH SOLE 10000 0 0
AON CORPORATION COM 037389103 970 18299 SH SOLE 18299 0 0
APACHE CORPORATION COM 037411105 2356 18001 SH SOLE 18001 0 0
APARTMENT INVT & MGMT CO. REIT 03748R101 250 9775 SH SOLE 9775 0 0
APOLLO GROUP, INC. COM 037604105 1306 31320 SH SOLE 31320 0 0
APPLE, INC. COM 037833100 23931 68677 SH SOLE 68677 0 0
APPLIED MATERIALS, INC. COM 038222105 1792 114757 SH SOLE 114757 0 0
APPROACH RESOURCES, INC. COM 03834A103 430 12796 SH SOLE 12796 0 0
APTARGROUP, INC. COM 038336103 241 4800 SH SOLE 4800 0 0
AQUA AMERICA, INC. COM 03836W103 232 10100 SH SOLE 10100 0 0
ARCH CAPITAL GROUP LTD COM G0450A105 288 2900 SH SOLE 2900 0 0
ARCHER DANIELS MIDLAND COMPANY COM 039483102 1889 52486 SH SOLE 52486 0 0
ARCHSTONE-SMITH OPR TRUST CONV 039584AC1 28650 30000000 PRN SOLE 30000000 0 0
ARES CAPITAL CORPORATION COM 04010L103 187 11100 SH SOLE 11100 0 0
ARK RESTAURANTS CORP. COM 040712101 1289 90825 SH SOLE 90825 0 0
ARROW ELECTRONICS, INC. COM 042735100 662 15800 SH SOLE 15800 0 0
ASHLAND, INC. COM 044209104 329 5700 SH SOLE 5700 0 0
ASPEN INSURANCE HOLDINGS LTD COM G05384105 300 10900 SH SOLE 10900 0 0
ASSOCIATED BANC-CORPORATION COM 045487105 150 10131 SH SOLE 10131 0 0
ASSURANT, INC. COM 04621X108 1353 35138 SH SOLE 35138 0 0
ASSURED GUARANTY LTD COM G0585R106 184 12350 SH SOLE 12350 0 0
AT&T INC COM 00206R102 15939 520884 SH SOLE 520884 0 0
ATMEL CORPORATION COM 049513104 442 32400 SH SOLE 32400 0 0
ATMOS ENERGY CORPORATION COM 049560105 203 5948 SH SOLE 5948 0 0
AUTODESK, INC. COM 052769106 796 18028 SH SOLE 18028 0 0
AUTOLIV, INC. COM 052800109 980 13200 SH SOLE 13200 0 0
AUTOMATIC DATA PROCESSING COM 053015103 1661 32391 SH SOLE 32391 0 0
AUTOZONE, INC. COM 053332102 1157 4237 SH SOLE 4237 0 0
AUXILIUM PHARMACEUTICALS, INC. COM 05334D107 498 23198 SH SOLE 23198 0 0
AVALON BAY COMMUNITIES, INC. REIT 053484101 807 6718 SH SOLE 6718 0 0
AVERY DENNISON CORPORATION COM 053611109 613 14591 SH SOLE 14591 0 0
AVON PRODUCTS, INC. COM 054303102 468 17285 SH SOLE 17285 0 0
AXIS CAPITAL HOLDINGS LTD COM G0692U109 408 11700 SH SOLE 11700 0 0
B B & T CORPORATION COM 054937107 1159 42240 SH SOLE 42240 0 0
B M C SOFTWARE, INC. COM 055921100 832 16705 SH SOLE 16705 0 0
B T U INTERNATIONAL, INC. COM 056032105 2968 269856 SH SOLE 269856 0 0
BAKER HUGHES, INC. COM 057224107 1967 26772 SH SOLE 26772 0 0
BALL CORPORATION COM 058498106 890 24818 SH SOLE 24818 0 0
BALLY TOTAL FITNESS HLD CORP. WAR 05873K116 0 456864 SH SOLE 456864 0 0
BALLY TOTAL FITNESS HLD CORP. COM 05873K207 1562 260392 SH SOLE 260392 0 0
BANCO SANTANDER CHILE ADR 05965X109 356 4100 SH SOLE 4100 0 0
BANK OF AMERICA CORPORATION COM 060505104 10145 761122 SH SOLE 761122 0 0
BANK OF NEW YORK MELLON CORP. COM 064058100 3463 115903 SH SOLE 115903 0 0
BAXTER INTERNATIONAL, INC. COM 071813109 2191 40764 SH SOLE 40764 0 0
BECKMAN COULTER, INC. COM 075811109 249 3000 SH SOLE 3000 0 0
BECTON DICKINSON AND COMPANY COM 075887109 1456 18272 SH SOLE 18272 0 0
BED BATH & BEYOND, INC. COM 075896100 909 18825 SH SOLE 18825 0 0
BEMIS COMPANY, INC. COM 081437105 230 6982 SH SOLE 6982 0 0
BERKSHIRE HATHAWAY, INC. COM 084670702 11877 142015 SH SOLE 142015 0 0
BEST BUY COMPANY, INC. COM 086516101 1000 34829 SH SOLE 34829 0 0
BIG LOTS, INC. COM 089302103 356 8206 SH SOLE 8206 0 0
BIMINI CAPITAL MGMT, INC. REIT 090319401 163 211628 SH SOLE 211628 0 0
BIOGEN IDEC, INC. COM 09062X103 1939 26410 SH SOLE 26410 0 0
BLACKROCK, INC. COM 09247X101 1388 6900 SH SOLE 6900 0 0
BLOCK H & R, INC. COM 093671105 762 45493 SH SOLE 45493 0 0
BLOUNT INTERNATIONAL, INC. COM 095180105 5094 318800 SH SOLE 318800 0 0
BOEING COMPANY COM 097023105 907 12258 SH SOLE 12258 0 0
BOISE INC COM 09746Y105 141 15400 SH SOLE 15400 0 0
BORG-WARNER, INC. COM 099724106 258 3240 SH SOLE 3240 0 0
BOSTON PROPERTIES INC REIT 101121101 917 9676 SH SOLE 9676 0 0
BRANDYWINE REALTY TRUST REIT 105368203 160 13200 SH SOLE 13200 0 0
BRINKER INTERNATIONAL, INC. COM 109641100 311 12300 SH SOLE 12300 0 0
BRISTOL-MYERS SQUIBB COMPANY COM 110122108 4193 158691 SH SOLE 158691 0 0
BROADCOM CORPORATION COM 111320107 547 13902 SH SOLE 13902 0 0
BROADRIDGE FINANCIAL SOLUTIONS COM 11133T103 1217 53596 SH SOLE 53596 0 0
BROWN-FORMAN CORPORATION COM 115637209 579 8464 SH SOLE 8464 0 0
BUCKEYE TECHNOLOGIES, INC. COM 118255108 4788 175800 SH SOLE 175800 0 0
BUNGE LIMITED COM G16962105 253 3500 SH SOLE 3500 0 0
C A, INC. COM 12673P105 1785 73842 SH SOLE 73842 0 0
C B RICHARD ELLIS GROUP, INC. REIT 12497T101 512 19174 SH SOLE 19174 0 0
C F INDUSTRIES HOLDINGS, INC. COM 125269100 1507 11012 SH SOLE 11012 0 0
C H ROBINSON WORLDWIDE, INC. COM 12541W209 406 5488 SH SOLE 5488 0 0
C I T GROUP, INC. COM 125581801 2170 50987 SH SOLE 50987 0 0
C M S ENERGY CORPORATION COM 125896100 588 29905 SH SOLE 29905 0 0
C N A FINANCIAL CORPORATION COM 126117100 349 11800 SH SOLE 11800 0 0
C R BARD, INC. COM 067383109 735 7404 SH SOLE 7404 0 0
C S X CORPORATION COM 126408103 4027 51239 SH SOLE 51239 0 0
CABLEVISION SYSTEMS CORP. COM 12686C109 890 25700 SH SOLE 25700 0 0
CABOT CORPORATION COM 127055101 267 5774 SH SOLE 5774 0 0
CADENCE DESIGN SYSTEM COM 127387108 282 28900 SH SOLE 28900 0 0
CALIFORNIA COASTAL COMM, INC. COM 129915203 0 435399 SH SOLE 435399 0 0
CALPINE CORPORATION COM 131347304 262 16483 SH SOLE 16483 0 0
CAMERON INTERNATIONAL CORP. COM 13342B105 497 8713 SH SOLE 8713 0 0
CAMPBELL SOUP COMPANY COM 134429109 253 7681 SH SOLE 7681 0 0
CAPITAL ONE FINANCIAL CORP. COM 14040H105 3116 59991 SH SOLE 59991 0 0
CAPITALSOURCE, INC. REIT 14055X102 124 17600 SH SOLE 17600 0 0
CARDINAL HEALTH, INC. COM 14149Y108 1492 36313 SH SOLE 36313 0 0
CAREER EDUCATION CORPORATION COM 141665109 227 10000 SH SOLE 10000 0 0
CAREFUSION CORPORATION COM 14170T101 530 18820 SH SOLE 18820 0 0
CARMAX, INC COM 143130102 447 13900 SH SOLE 13900 0 0
CARNIVAL CORPORATION COM 143658300 1095 28533 SH SOLE 28533 0 0
CATERPILLAR, INC. COM 149123101 4485 40274 SH SOLE 40274 0 0
CBS CORPORATION COM 124857202 1683 67198 SH SOLE 67198 0 0
CELGENE CORPORATION COM 151020104 505 8795 SH SOLE 8795 0 0
CENTERPOINT ENERGY, INC. COM 15189T107 328 18643 SH SOLE 18643 0 0
CENTURYTEL INC COM 156700106 1550 37321 SH SOLE 37321 0 0
CEPHALON, INC. COM 156708109 1048 13835 SH SOLE 13835 0 0
CERNER CORPORATION COM 156782104 222 2000 SH SOLE 2000 0 0
CHARLES SCHWAB CORPORATION COM 808513105 385 21326 SH SOLE 21326 0 0
CHART INDUSTRIES COM 16115Q308 3639 66100 SH SOLE 66100 0 0
CHASE PACKAGING CORP. COM 161635107 0 19082 SH SOLE 19082 0 0
CHESAPEAKE ENERGY CORPORATION COM 165167107 1962 58521 SH SOLE 58521 0 0
CHESAPEAKE ENERGY CORPORATION CONV 165167CA3 69518 64517174 PRN SOLE 64517174 0 0
CHEVRON CORP. COM 166764100 24723 230142 SH SOLE 230142 0 0
CHICAGO BRIDGE & IRON COMPANY COM 167250109 480 11800 SH SOLE 11800 0 0
CHIMERA INVESTMENT CORP REIT 16934Q109 256 64600 SH SOLE 64600 0 0
CHUBB CORPORATION COM 171232101 1856 30267 SH SOLE 30267 0 0
CIGNA CORPORATION COM 125509109 1325 29884 SH SOLE 29884 0 0
CIMAREX ENERGY COMPANY COM 171798101 311 2700 SH SOLE 2700 0 0
CINCINNATI FINANCIAL CORP. COM 172062101 569 17329 SH SOLE 17329 0 0
CINEMARK HOLDINGS, INC. COM 17243V102 1935 100000 SH SOLE 100000 0 0
CINTAS CORPORATION COM 172908105 373 12320 SH SOLE 12320 0 0
CISCO SYSTEMS, INC. COM 17275R102 6845 399134 SH SOLE 399134 0 0
CITIGROUP, INC. COM 172967101 14474 3274552 SH SOLE 3274552 0 0
CITRIX SYSTEMS, INC. COM 177376100 619 8420 SH SOLE 8420 0 0
CLEAN ENERGY FUELS CORP. COM 184499101 3276 200000 SH SOLE 200000 0 0
CLIFFS NATURAL RESOURCES, INC. COM 18683K101 1488 15142 SH SOLE 15142 0 0
CME GROUP, INC. COM 12572Q105 1438 4770 SH SOLE 4770 0 0
CNH GLOBAL NV COM NL0000298 228 4700 SH SOLE 4700 0 0
COACH, INC. COM 189754104 1357 26093 SH SOLE 26093 0 0
COCA-COLA COMPANY COM 191216100 10194 153641 SH SOLE 153641 0 0
COCA-COLA ENTERPRISES, INC. COM 19122T109 1743 63841 SH SOLE 63841 0 0
COGNIZANT TECH SOLUTIONS CORP. COM 192446102 386 4747 SH SOLE 4747 0 0
COLGATE-PALMOLIVE COMPANY COM 194162103 1155 14299 SH SOLE 14299 0 0
COMCAST CORPORATION COM 20030N101 7005 283376 SH SOLE 283376 0 0
COMERICA, INC. COM 200340107 488 13302 SH SOLE 13302 0 0
COMMUNITY HEALTH SYSTEMS, INC. COM 203668108 348 8700 SH SOLE 8700 0 0
COMPUTER SCIENCES CORPORATION COM 205363104 1494 30652 SH SOLE 30652 0 0
COMPUWARE CORPORATION COM 205638109 303 26321 SH SOLE 26321 0 0
CONAGRA FOODS, INC. COM 205887102 868 36589 SH SOLE 36589 0 0
CONOCOPHILLIPS COM 20825C104 14363 179843 SH SOLE 179843 0 0
CONSOLIDATED EDISON, INC. COM 209115104 1292 25490 SH SOLE 25490 0 0
CONSTELLATION BRANDS, INC. COM 21036P108 971 47906 SH SOLE 47906 0 0
CONSTELLATION ENERGY GROUP COM 210371100 409 13165 SH SOLE 13165 0 0
COOPER COMPANIES COM 216648402 487 7000 SH SOLE 7000 0 0
CORE MARK HOLDING, INC. COM 218681104 243 7380 SH SOLE 7380 0 0
CORN PRODUCTS INTL INC COM 219023108 268 5156 SH SOLE 5156 0 0
CORNING, INC. COM 219350105 2994 145136 SH SOLE 145136 0 0
COSTCO WHOLESALE CORPORATION COM 22160K105 2335 31855 SH SOLE 31855 0 0
COVENTRY HEALTH CARE, INC. COM 222862104 606 18977 SH SOLE 18977 0 0
CROWN HOLDINGS, INC. COM 228368106 7150 185340 SH SOLE 185340 0 0
CUMMINS, INC. COM 231021106 1445 13190 SH SOLE 13190 0 0
CVR ENERGY INC COM 12662P108 1737 75000 SH SOLE 75000 0 0
CVS CAREMARK CORPORATION COM 126650100 2819 82140 SH SOLE 82140 0 0
D E I HOLDINGS, INC. COM 23319E206 4250 2471523 SH SOLE 2471523 0 0
D R HORTON, INC. COM 23331A109 461 39537 SH SOLE 39537 0 0
D T E ENERGY COMPANY COM 233331107 562 11477 SH SOLE 11477 0 0
DAISY SYS CORPORATION COM 234050102 0 15203 SH SOLE 15203 0 0
DANA HOLDING CORP COM 235825205 1739 100000 SH SOLE 100000 0 0
DANAHER CORPORATION COM 235851102 1793 34530 SH SOLE 34530 0 0
DARDEN RESTAURANTS, INC. COM 237194105 468 9524 SH SOLE 9524 0 0
DAVITA, INC. COM 23918K108 397 4646 SH SOLE 4646 0 0
DEAN FOODS COMPANY COM 242370104 406 40595 SH SOLE 40595 0 0
DEERE & COMPANY COM 244199105 2453 25319 SH SOLE 25319 0 0
DELL, INC. COM 24702R101 2529 174337 SH SOLE 174337 0 0
DELTA AIR LINES, INC. COM 247361702 349 35695 SH SOLE 35695 0 0
DENBURY RESOURCES, INC. COM 247916208 472 19395 SH SOLE 19395 0 0
DENTSPLY INTERNATIONAL, INC. COM 249030107 203 5465 SH SOLE 5465 0 0
DEVELOPERS DIVERSIFIED REALTY REIT 251591103 141 10100 SH SOLE 10100 0 0
DEVON ENERGY CORPORATION COM 25179M103 3781 41210 SH SOLE 41210 0 0
DEVRY, INC. COM 251893103 218 3956 SH SOLE 3956 0 0
DEX ONE CORP COM 25212W100 280 57772 SH SOLE 57772 0 0
DIAMOND OFFSHORE DRILL, INC. COM 25271C102 780 10061 SH SOLE 10061 0 0
DIEBOLD, INC. COM 253651103 234 6600 SH SOLE 6600 0 0
DIGITALGLOBE, INC. COM 25389M877 5606 200000 SH SOLE 200000 0 0
DIRECTV COM 25490A101 2602 55585 SH SOLE 55585 0 0
DISCOVER FINANCIAL SERVICES COM 254709108 1658 68754 SH SOLE 68754 0 0
DISCOVERY COMMUNICATIONS, INC. COM 25470F104 559 14000 SH SOLE 14000 0 0
DISH NETWORK CORP. COM 25470M109 404 16600 SH SOLE 16600 0 0
DOLLAR TREE, INC. COM 256746108 304 5470 SH SOLE 5470 0 0
DOMINION RESOURCES, INC. COM 25746U109 2214 49531 SH SOLE 49531 0 0
DOMTAR CORPORATION COM 257559203 569 6200 SH SOLE 6200 0 0
DOVER CORPORATION COM 260003108 1091 16595 SH SOLE 16595 0 0
DOW CHEMICAL COMPANY COM 260543103 5051 133833 SH SOLE 133833 0 0
DR PEPPER SNAPPLE GROUP COM 26138E109 1571 42303 SH SOLE 42303 0 0
DST SYSTEMS, INC. COM 233326107 318 6020 SH SOLE 6020 0 0
DUKE ENERGY CORPORATION COM 26441C105 2471 136183 SH SOLE 136183 0 0
DUKE REALTY CORPORATION REIT 264411505 153 10900 SH SOLE 10900 0 0
DUN & BRADSTREET CORP. COM 26483E100 375 4673 SH SOLE 4673 0 0
E C C CAPITAL CORP. REIT 26826M108 110 1200000 SH SOLE 1200000 0 0
E I DU PONT DE NEMOURS & CO. COM 263534109 4227 76893 SH SOLE 76893 0 0
E M C CORPORATION COM 268648102 3953 148861 SH SOLE 148861 0 0
E M C CORPORATION CONV 268648AM4 8525 5000000 PRN SOLE 5000000 0 0
EASTMAN CHEMICAL COMPANY COM 277432100 612 6169 SH SOLE 6169 0 0
EATON CORPORATION COM 278058102 1709 30828 SH SOLE 30828 0 0
EBAY, INC. COM 278642103 2683 86435 SH SOLE 86435 0 0
ECHOSTAR CORPORATION COM 278768106 416 11000 SH SOLE 11000 0 0
ECOLAB, INC. COM 278865100 384 7538 SH SOLE 7538 0 0
EDISON INTERNATIONAL COM 281020107 1505 41138 SH SOLE 41138 0 0
EL PASO CORPORATION COM 28336L109 1204 66845 SH SOLE 66845 0 0
ELECTRONIC COMPONENTS INC COM DB6990727 394 210000 SH SOLE 210000 0 0
ELI LILLY AND COMPANY COM 532457108 4099 116567 SH SOLE 116567 0 0
EMERSON ELECTRIC COMPANY COM 291011104 2287 39137 SH SOLE 39137 0 0
ENDO PHARM HLDGS, INC. COM 29264F205 269 7050 SH SOLE 7050 0 0
ENDURANCE SPECIALTY HOLDINGS COM G30397106 533 10900 SH SOLE 10900 0 0
ENERGEN CORPORATION COM 29265N108 278 4400 SH SOLE 4400 0 0
ENERSYS CAPITAL, INC. CONV 29275YAA0 4609 3706000 PRN SOLE 3706000 0 0
ENTERGY CORPORATION COM 29364G103 1439 21403 SH SOLE 21403 0 0
EQUIFAX, INC. COM 294429105 216 5524 SH SOLE 5524 0 0
EQUITY RESIDENTIAL REIT 29476L107 1403 24895 SH SOLE 24895 0 0
ERIE INDEMNITY COMPANY COM 29530P102 387 5440 SH SOLE 5440 0 0
ESTEE LAUDER COMPANIES, INC. COM 518439104 604 6273 SH SOLE 6273 0 0
EVEREST RE GROUP LTD COM G3223R108 370 4200 SH SOLE 4200 0 0
EXELON CORPORATION COM 30161N101 2834 68709 SH SOLE 68709 0 0
EXPEDIA, INC. COM 30212P105 591 26163 SH SOLE 26163 0 0
EXPEDITORS INTERNATIONAL COM 302130109 431 8604 SH SOLE 8604 0 0
EXPRESS SCRIPTS, INC. COM 302182100 1934 34776 SH SOLE 34776 0 0
EXXON CORPORATION COM 30231G102 32885 390884 SH SOLE 390884 0 0
F M C CORPORATION COM 302491303 432 5100 SH SOLE 5100 0 0
F5 NETWORKS, INC. COM 315616102 607 5920 SH SOLE 5920 0 0
FAIRCHILD SEMICONDUCTOR CORP. COM 303726103 459 25200 SH SOLE 25200 0 0
FAMILY DOLLAR STORES COM 307000109 471 9156 SH SOLE 9156 0 0
FEDERAL-MOGUL CORPORATION COM 313549404 4316 173300 SH SOLE 173300 0 0
FEDERATED INVESTORS, INC. COM 314211103 202 7597 SH SOLE 7597 0 0
FEDEX CORPORATION COM 31428X106 977 10455 SH SOLE 10455 0 0
FIDELITY NATIONAL FINANCIAL IN COM 31620R105 173 12200 SH SOLE 12200 0 0
FIDELITY NATL INFO SVCS, INC. COM 31620M106 734 22460 SH SOLE 22460 0 0
FIFTH THIRD BANCORP COM 316773100 1208 87008 SH SOLE 87008 0 0
FIRST HORIZON NATIONAL CORP. COM 320517105 126 11216 SH SOLE 11216 0 0
FIRST NIAGARA FINANCIAL GROUP COM 33582V108 231 17000 SH SOLE 17000 0 0
FIRST SOLAR, INC. COM 336433107 357 2220 SH SOLE 2220 0 0
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