0000009015-12-000006.txt : 20120214
0000009015-12-000006.hdr.sgml : 20120214
20120214091648
ACCESSION NUMBER: 0000009015-12-000006
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20111231
FILED AS OF DATE: 20120214
DATE AS OF CHANGE: 20120214
EFFECTIVENESS DATE: 20120214
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: 12602937
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
babson13fdec2011.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: 12/31/2011
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 February 13, 2012
--------------------------------------------------------------------------
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: 1249
Form 13F Information Table Value Total: $1,870,361
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 CO. COM 88579Y101 2281 27911 SH SOLE 27911 0 0
3M COMPANY COM 88579Y101 107 1300 SH SOLE 1300 0 0
A E S CORPORATION COM 00130H105 103 8700 SH SOLE 8700 0 0
A G L RESOURCES, INC. COM 001204106 311 7353 SH SOLE 7353 0 0
A M R CORPORATION COM 001765106 7 19000 SH SOLE 19000 0 0
ABBOTT LABORATORIES COM 002824100 9586 170463 SH SOLE 170463 0 0
ABITIBIBOWATER INC. COM 003687209 1200 82470 SH SOLE 82470 0 0
ABRAXAS PETROLEUM CORP COM 003830106 33 10130 SH SOLE 10130 0 0
ACCENTURE PLC COM G1151C101 4067 76400 SH SOLE 76400 0 0
ACE LTD COM H0023R105 504 7200 SH SOLE 7200 0 0
ACE LTD. COM H0023R105 2257 32189 SH SOLE 32189 0 0
ACTIVISION BLIZZARD, INC. COM 00507V109 468 38000 SH SOLE 38000 0 0
ACTUANT CORPORATION COM 00508X203 234 10300 SH SOLE 10300 0 0
ADELPHIA RECOVERY TRUST COM 00685R409 0 1783299 SH SOLE 1783299 0 0
ADOBE SYSTEMS INC. COM 00724F101 1059 37484 SH SOLE 37484 0 0
ADVANCE AUTO PARTS INC. COM 00751Y106 316 4540 SH SOLE 4540 0 0
ADVANCE AUTO STORES CO., INC. COM 00751Y106 1031 14800 SH SOLE 14800 0 0
ADVANCED MICRO DEVICES INC. COM 007903107 204 37636 SH SOLE 37636 0 0
ADVANCED MICRO DEVICES INC. CONV 007903AL1 24406 25000000 PRN SOLE 25000000 0 0
ADVANCED MICRO DEVICES, INC. CONV 007903AL1 2441 2500000 PRN SOLE 2500000 0 0
AES CORP., THE COM 00130H105 648 54745 SH SOLE 54745 0 0
AETNA INC. COM 00817Y108 1356 32157 SH SOLE 32157 0 0
AETNA, INC. COM 00817Y108 333 7898 SH SOLE 7898 0 0
AFLAC INC. COM 001055102 1203 27807 SH SOLE 27807 0 0
AFLAC, INC. COM 001055102 112 2600 SH SOLE 2600 0 0
AGCO CORP. COM 001084102 334 7770 SH SOLE 7770 0 0
AGCO CORPORATION COM 001084102 79 1828 SH SOLE 1828 0 0
AGILENT TECHNOLOGIES INC. COM 00846U101 899 25749 SH SOLE 25749 0 0
AGL RESOURCES INC. COM 001204106 169 4020 SH SOLE 4020 0 0
AIR PRODUCTS & CHEMICALS, INC. COM 009158106 102 1200 SH SOLE 1200 0 0
AIR PRODUCTS AND CHEMICALS INC COM 009158106 235 2758 SH SOLE 2758 0 0
AIR TRANSPORT SVCS GROUP, INC. COM 00922R105 330 70000 SH SOLE 70000 0 0
AIRGAS INC. COM 009363102 130 1664 SH SOLE 1664 0 0
AIRGAS, INC. COM 009363102 2592 33200 SH SOLE 33200 0 0
ALABAMA AIRCRAFT IND, INC. COM 01023E100 9 903448 SH SOLE 903448 0 0
ALASKA AIR GROUP, INC. COM 011659109 255 3400 SH SOLE 3400 0 0
ALCOA INC. COM 013817101 1176 135900 SH SOLE 135900 0 0
ALCOA, INC. COM 013817101 138 16000 SH SOLE 16000 0 0
ALERE INC. COM 01449J105 219 9500 SH SOLE 9500 0 0
ALERE INC. CONV 01449JAA3 2843 3000000 PRN SOLE 3000000 0 0
ALEXANDRIA RE EQUITIES REIT 015271109 1527 22140 SH SOLE 22140 0 0
ALEXANDRIA REAL ESTATE EQUITIE REIT 015271109 110 1600 SH SOLE 1600 0 0
ALLERGAN INC. COM 018490102 216 2470 SH SOLE 2470 0 0
ALLIANCE DATA SYSTEMS COM 018581108 208 2000 SH SOLE 2000 0 0
ALLIANCE DATA SYSTEMS CORPORAT COM 018581108 530 5100 SH SOLE 5100 0 0
ALLIANT ENERGY CORP. COM 018802108 159 3600 SH SOLE 3600 0 0
ALLIANT ENERGY CORPORATION COM 018802108 327 7400 SH SOLE 7400 0 0
ALLIANT TECHSYSTEMS INC. COM 018804104 989 17300 SH SOLE 17300 0 0
ALLIANT TECHSYSTEMS, INC. COM 018804104 114 2000 SH SOLE 2000 0 0
ALLIED NEVADA GOLD CORP COM 019344100 388 12800 SH SOLE 12800 0 0
ALLIED WORLD ASSURANCE COMPANY COM H01531104 214 3400 SH SOLE 3400 0 0
ALLIED WORLD ASSURANCE HOLDING COM H01531104 57 900 SH SOLE 900 0 0
ALLSTATE CORP. COM 020002101 822 29995 SH SOLE 29995 0 0
ALLSTATE CORPORATION COM 020002101 133 4839 SH SOLE 4839 0 0
ALPHA NATURAL RESOURCES LLC COM 02076X102 697 34171 SH SOLE 34171 0 0
ALPHA NATURAL RESOURCES, LLC COM 02076X102 27 1310 SH SOLE 1310 0 0
ALTERA CORP. COM 021441100 234 6289 SH SOLE 6289 0 0
ALTRIA GROUP INC. COM 02209S103 5603 188986 SH SOLE 188986 0 0
ALTRIA GROUP, INC. COM 02209S103 863 29100 SH SOLE 29100 0 0
AMAZON.COM INC. COM 023135106 1094 6326 SH SOLE 6326 0 0
AMDOCS LTD COM G02602103 51 1800 SH SOLE 1800 0 0
AMDOCS LTD. COM G02602103 228 8000 SH SOLE 8000 0 0
AMEREN CORP. COM 023608102 1367 41246 SH SOLE 41246 0 0
AMEREN CORPORATION COM 023608102 479 14488 SH SOLE 14488 0 0
AMERICAN CAMPUS COMMUNITIES IN REIT 024835100 355 8450 SH SOLE 8450 0 0
AMERICAN CAPITAL AGENCY CORP REIT 02503X105 1786 63560 SH SOLE 63560 0 0
AMERICAN CAPITAL LTD COM 02503Y103 26 3900 SH SOLE 3900 0 0
AMERICAN CAPITAL LTD. COM 02503Y103 107 15900 SH SOLE 15900 0 0
AMERICAN ELECTRIC POWER CO. COM 025537101 237 5747 SH SOLE 5747 0 0
AMERICAN ELECTRIC POWER CO. IN COM 025537101 1950 47210 SH SOLE 47210 0 0
AMERICAN EXPRESS COMPANY COM 025816109 4998 105980 SH SOLE 105980 0 0
AMERICAN FINANCIAL GROUP COM 025932104 84 2282 SH SOLE 2282 0 0
AMERICAN FINANCIAL GROUP, INC. COM 025932104 350 9500 SH SOLE 9500 0 0
AMERICAN INTERNATIONAL GROUP I COM 026874784 212 9161 SH SOLE 9161 0 0
AMERICAN INTL GROUP, INC. COM 026874784 13 555 SH SOLE 555 0 0
AMERICAN MEDIA INC. COM 02744L209 0 15870 SH SOLE 15870 0 0
AMERICAN NATIONAL INSURANCE COM 028591105 51 698 SH SOLE 698 0 0
AMERICAN NATIONAL INSURANCE CO COM 028591105 210 2880 SH SOLE 2880 0 0
AMERICAN WATER WORKS CO. INC. COM 030420103 223 7000 SH SOLE 7000 0 0
AMERICAN WATER WORKS CO., INC. COM 030420103 54 1700 SH SOLE 1700 0 0
AMERIGROUP CORP. COM 03073T102 290 4900 SH SOLE 4900 0 0
AMERIGROUP CORPORATION COM 03073T102 71 1200 SH SOLE 1200 0 0
AMERIPRISE FINANCIAL INC. COM 03076C106 488 9816 SH SOLE 9816 0 0
AMERIPRISE FINANCIAL, INC. COM 03076C106 67 1357 SH SOLE 1357 0 0
AMERISOURCEBERGEN CORP. COM 03073E105 1218 32790 SH SOLE 32790 0 0
AMERISOURCEBERGEN CORPORATION COM 03073E105 1079 29000 SH SOLE 29000 0 0
AMETEK INC. COM 031100100 213 5050 SH SOLE 5050 0 0
AMGEN INC. COM 031162100 4984 77626 SH SOLE 77626 0 0
AMGEN INC. CONV 031162AE0 37363 47142857 PRN SOLE 47142857 0 0
AMGEN, INC. COM 031162100 674 10500 SH SOLE 10500 0 0
AMGEN, INC. CONV 031162AE0 634 800000 PRN SOLE 800000 0 0
AMR CORP. COM 001765106 84 239300 SH SOLE 239300 0 0
ANADARKO PETROLEUM CORP. COM 032511107 1236 16183 SH SOLE 16183 0 0
ANALOG DEVICES INC. COM 032654105 407 11358 SH SOLE 11358 0 0
ANALOG DEVICES, INC. COM 032654105 29 800 SH SOLE 800 0 0
ANNALY CAPITAL MANAGEMENT, INC REIT 035710409 714 44760 SH SOLE 44760 0 0
ANNALY CAPITAL MGMT, INC. REIT 035710409 2043 127990 SH SOLE 127990 0 0
ANSYS, INC. COM 03662Q105 223 3900 SH SOLE 3900 0 0
ANTHRACITE CAPITAL, INC. REIT 037023108 0 10000 SH SOLE 10000 0 0
AON CORP. COM 037389103 764 16329 SH SOLE 16329 0 0
AON CORPORATION COM 037389103 85 1821 SH SOLE 1821 0 0
APACHE CORP. COM 037411105 2077 22934 SH SOLE 22934 0 0
APACHE CORPORATION COM 037411105 115 1270 SH SOLE 1270 0 0
APARTMENT INVESTMENT AND MANAG REIT 03748R101 164 7162 SH SOLE 7162 0 0
APARTMENT INVT & MGMT CO. REIT 03748R101 937 40930 SH SOLE 40930 0 0
APOLLO GROUP INC. COM 037604105 1267 23531 SH SOLE 23531 0 0
APOLLO GROUP, INC. COM 037604105 205 3800 SH SOLE 3800 0 0
APPLE, INC. COM 037833100 27686 68360 SH SOLE 68360 0 0
APPLIED MATERIALS INC. COM 038222105 1821 170080 SH SOLE 170080 0 0
APPLIED MATERIALS, INC. COM 038222105 261 24400 SH SOLE 24400 0 0
APPROACH RESOURCES, INC. COM 03834A103 812 27591 SH SOLE 27591 0 0
APTARGROUP, INC. COM 038336103 318 6100 SH SOLE 6100 0 0
ARCH CAPITAL GROUP LTD COM G0450A105 78 2100 SH SOLE 2100 0 0
ARCH CAPITAL GROUP LTD. COM G0450A105 328 8800 SH SOLE 8800 0 0
ARCH COAL INC. COM 039380100 2027 139700 SH SOLE 139700 0 0
ARCH COAL, INC. COM 039380100 339 23400 SH SOLE 23400 0 0
ARCHER DANIELS MIDLAND CO. COM 039483102 77 2702 SH SOLE 2702 0 0
ARCHER DANIELS MIDLAND COMPANY COM 039483102 2283 79800 SH SOLE 79800 0 0
ARCHSTONE-SMITH TRUST CONV 039584AC1 28650 30000000 PRN SOLE 30000000 0 0
ARK RESTAURANTS CORP. COM 040712101 1216 90825 SH SOLE 90825 0 0
ASSURANT INC. COM 04621X108 435 10591 SH SOLE 10591 0 0
ASSURANT, INC. COM 04621X108 39 952 SH SOLE 952 0 0
ASTEX PHARMACEUTICALS, INC. COM 04624B103 24 12500 SH SOLE 12500 0 0
ASTRAZENECA PLC ADR 046353108 222 4800 SH SOLE 4800 0 0
AT&T INC COM 00206R102 1596 52776 SH SOLE 52776 0 0
AT&T INC. COM 00206R102 12805 423447 SH SOLE 423447 0 0
ATWOOD OCEANICS INC COM 050095108 12 300 SH SOLE 300 0 0
ATWOOD OCEANICS, INC. COM 050095108 227 5700 SH SOLE 5700 0 0
AUTODESK, INC. COM 052769106 377 12431 SH SOLE 12431 0 0
AUTOMATIC DATA PROCESSING INC. COM 053015103 1354 25060 SH SOLE 25060 0 0
AUTOZONE INC. COM 053332102 1260 3878 SH SOLE 3878 0 0
AUXILIUM PHARMACEUTICALS, INC. COM 05334D107 463 23198 SH SOLE 23198 0 0
AVAGO TECHNOLOGIES LTD COM Y0486S104 505 17500 SH SOLE 17500 0 0
AVALON BAY COMMUNITIES, INC. REIT 053484101 3916 29985 SH SOLE 29985 0 0
AVALONBAY COMMUNITIES, INC. REIT 053484101 627 4801 SH SOLE 4801 0 0
AVERY DENNISON CORP. COM 053611109 244 8494 SH SOLE 8494 0 0
AVERY DENNISON CORPORATION COM 053611109 11 400 SH SOLE 400 0 0
AVON PRODUCTS INC. COM 054303102 399 22802 SH SOLE 22802 0 0
B A S F SE ADR 055262505 300 4300 SH SOLE 4300 0 0
B B & T CORPORATION COM 054937107 193 7664 SH SOLE 7664 0 0
B H P BILLITON LTD ADR 088606108 3298 46700 SH SOLE 46700 0 0
B O K FINANCIAL CORPORATION COM 05561Q201 60 1100 SH SOLE 1100 0 0
B R E PROPERTIES, INC. REIT 05564E106 1567 31060 SH SOLE 31060 0 0
B T U INTERNATIONAL, INC. COM 056032105 702 269856 SH SOLE 269856 0 0
BABSON CAP PARTN INVS TRUST COM 05616B100 756 47673 SH SOLE 47673 0 0
BALL CORPORATION COM 058498106 322 9020 SH SOLE 9020 0 0
BANCO SANTANDER-CHILE S.A. ADR 05965X109 310 4100 SH SOLE 4100 0 0
BANK OF AMERICA CORP. COM 060505104 2659 478225 SH SOLE 478225 0 0
BANK OF AMERICA CORPORATION COM 060505104 362 65066 SH SOLE 65066 0 0
BANK OF NEW YORK MELLON CORP. COM 064058100 1580 79351 SH SOLE 79351 0 0
BARD (C.R.) INC. COM 067383109 1111 12989 SH SOLE 12989 0 0
BAXTER INTERNATIONAL INC. COM 071813109 2285 46193 SH SOLE 46193 0 0
BAXTER INTERNATIONAL, INC. COM 071813109 178 3600 SH SOLE 3600 0 0
BB&T CORP. COM 054937107 1261 50086 SH SOLE 50086 0 0
BEAM INC COM 073730103 359 6994 SH SOLE 6994 0 0
BEAM, INC. COM 073730103 66 1296 SH SOLE 1296 0 0
BECKMAN COULTER INC. CONV 075811AD1 9565 8000000 PRN SOLE 8000000 0 0
BECTON DICKINSON & CO. COM 075887109 1022 13667 SH SOLE 13667 0 0
BED BATH & BEYOND INC. COM 075896100 1318 22739 SH SOLE 22739 0 0
BEMIS CO. INC. COM 081437105 132 4390 SH SOLE 4390 0 0
BEMIS COMPANY, INC. COM 081437105 438 14564 SH SOLE 14564 0 0
BERKSHIRE HATHAWAY INC. COM 084670702 10880 142595 SH SOLE 142595 0 0
BERKSHIRE HATHAWAY, INC. COM 084670702 1412 18500 SH SOLE 18500 0 0
BEST BUY CO. INC. COM 086516101 1537 65786 SH SOLE 65786 0 0
BEST BUY COMPANY, INC. COM 086516101 568 24300 SH SOLE 24300 0 0
BILL BARRETT CORP. COM 06846N104 654 19200 SH SOLE 19200 0 0
BIMINI CAPITAL MGMT, INC. REIT 090319401 77 211628 SH SOLE 211628 0 0
BIO-RAD LABORATORIES COM 090572207 48 500 SH SOLE 500 0 0
BIO-RAD LABORATORIES INC. COM 090572207 202 2100 SH SOLE 2100 0 0
BIOGEN IDEC INC. COM 09062X103 2323 21118 SH SOLE 21118 0 0
BIOMED REALTY TRUST, INC. REIT 09063H107 335 18510 SH SOLE 18510 0 0
BLACKROCK, INC. COM 09247X101 1477 8290 SH SOLE 8290 0 0
BLOCK H & R, INC. COM 093671105 70 4300 SH SOLE 4300 0 0
BLYTH INC. COM 09643P207 222 3900 SH SOLE 3900 0 0
BMC SOFTWARE INC. COM 055921100 1181 36061 SH SOLE 36061 0 0
BOEING CO. COM 097023105 2840 38725 SH SOLE 38725 0 0
BOEING COMPANY COM 097023105 22 300 SH SOLE 300 0 0
BOISE INC COM 09746Y105 2126 298600 SH SOLE 298600 0 0
BOK FINANCIAL CORP. COM 05561Q201 258 4700 SH SOLE 4700 0 0
BORGWARNER INC. COM 099724106 200 3140 SH SOLE 3140 0 0
BOSTON PROPERTIES INC REIT 101121101 4904 49240 SH SOLE 49240 0 0
BOSTON PROPERTIES LP REIT 101121101 643 6448 SH SOLE 6448 0 0
BOSTON SCIENTIFIC CORP. COM 101137107 539 100851 SH SOLE 100851 0 0
BOSTON SCIENTIFIC CORPORATION COM 101137107 67 12600 SH SOLE 12600 0 0
BRANDYWINE REALTY TRUST REIT 105368203 230 24270 SH SOLE 24270 0 0
BRANDYWINE REALTY TRUST INC REIT 105368203 282 29700 SH SOLE 29700 0 0
BRE PROPERTIES INC REIT 05564E106 111 2200 SH SOLE 2200 0 0
BRINKER INTERNATIONAL COM 109641100 265 9900 SH SOLE 9900 0 0
BRINKER INTERNATIONAL, INC. COM 109641100 16 600 SH SOLE 600 0 0
BRISTOL-MYERS SQUIBB CO. COM 110122108 6185 175533 SH SOLE 175533 0 0
BRISTOL-MYERS SQUIBB COMPANY COM 110122108 782 22200 SH SOLE 22200 0 0
BROADCOM CORPORATION COM 111320107 728 24779 SH SOLE 24779 0 0
BROADRIDGE FINANCIAL SOLUTIONS COM 11133T103 1762 78196 SH SOLE 78196 0 0
BROCADE COMMUNICATIONS SYSTEMS COM 111621306 655 126200 SH SOLE 126200 0 0
BROOKDALE SENIOR LIVING, INC CONV 112463AA2 2603 3000000 PRN SOLE 3000000 0 0
BROOKFIELD PROPERTIES CORP. REIT 112900105 518 33120 SH SOLE 33120 0 0
BROWN-FORMAN CORP. COM 115637209 286 3567 SH SOLE 3567 0 0
BROWN-FORMAN CORPORATION COM 115637209 16 200 SH SOLE 200 0 0
BUCKEYE TECHNOLOGIES, INC. COM 118255108 823 24600 SH SOLE 24600 0 0
BUNGE LIMITED COM G16962105 1722 30100 SH SOLE 30100 0 0
BUNGE LTD. COM G16962105 172 3000 SH SOLE 3000 0 0
C A, INC. COM 12673P105 97 4800 SH SOLE 4800 0 0
C B L & ASSOCIATES PROPERTIES REIT 124830100 314 20020 SH SOLE 20020 0 0
C F INDUSTRIES HOLDINGS, INC. COM 125269100 1736 11969 SH SOLE 11969 0 0
C I T GROUP, INC. COM 125581801 2443 70087 SH SOLE 70087 0 0
C M S ENERGY CORPORATION COM 125896100 60 2700 SH SOLE 2700 0 0
C R BARD, INC. COM 067383109 504 5900 SH SOLE 5900 0 0
C S X CORPORATION COM 126408103 219 10400 SH SOLE 10400 0 0
C.H. ROBINSON WORLDWIDE, INC. COM 12541W209 250 3571 SH SOLE 3571 0 0
CA, INC. COM 12673P105 1201 59420 SH SOLE 59420 0 0
CABLEVISION SYSTEMS CORP. COM 12686C109 321 22600 SH SOLE 22600 0 0
CADENCE DESIGN SYSTEMS, INC. COM 127387108 564 54200 SH SOLE 54200 0 0
CALIFORNIA COASTAL COMM, INC. COM 129915203 0 95892 SH SOLE 95892 0 0
CALIFORNIA COASTAL COMMUNITIES COM 129915203 0 339507 SH SOLE 339507 0 0
CAMDEN PROPERTY TRUST REIT 133131102 1701 27310 SH SOLE 27310 0 0
CAMPBELL SOUP COMPANY COM 134429109 1441 43361 SH SOLE 43361 0 0
CAPITAL ONE FINANCIAL CORP. COM 14040H105 2663 62992 SH SOLE 62992 0 0
CARDINAL HEALTH INC. COM 14149Y108 1540 37914 SH SOLE 37914 0 0
CARDINAL HEALTH, INC. COM 14149Y108 309 7600 SH SOLE 7600 0 0
CAREER EDUCATION CORPORATION COM 141665109 96 12000 SH SOLE 12000 0 0
CAREFUSION CORP. COM 14170T101 288 11329 SH SOLE 11329 0 0
CAREFUSION CORPORATION COM 14170T101 28 1100 SH SOLE 1100 0 0
CARNIVAL CORP. COM 143658300 592 18144 SH SOLE 18144 0 0
CARNIVAL CORPORATION COM 143658300 55 1700 SH SOLE 1700 0 0
CASEY'S GENERAL STORES INC COM 147528103 1473 28600 SH SOLE 28600 0 0
CASH AMERICA INTL, INC. COM 14754D100 573 12300 SH SOLE 12300 0 0
CATERPILLAR INC. COM 149123101 4402 48589 SH SOLE 48589 0 0
CBIZ, INC. COM 124805102 101 16600 SH SOLE 16600 0 0
CBRE GROUP INC COM 12504L109 335 22000 SH SOLE 22000 0 0
CBRE GROUP INC. COM 12504L109 87 5779 SH SOLE 5779 0 0
CBS CORP. COM 124857202 1732 63812 SH SOLE 63812 0 0
CBS CORPORATION COM 124857202 624 23000 SH SOLE 23000 0 0
CCS MEDICAL HOLDINGS INC COM 12503E106 85 28471 SH SOLE 28471 0 0
CELANESE CORP. COM 150870103 1045 23600 SH SOLE 23600 0 0
CELANESE CORPORATION COM 150870103 239 5390 SH SOLE 5390 0 0
CELGENE CORP. COM 151020104 1187 17556 SH SOLE 17556 0 0
CENTERPOINT ENERGY INC. COM 15189T107 1013 50485 SH SOLE 50485 0 0
CENTERPOINT ENERGY, INC. COM 15189T107 125 6200 SH SOLE 6200 0 0
CENTURYLINK INC COM 156700106 211 5669 SH SOLE 5669 0 0
CENTURYLINK, INC. COM 156700106 1690 45413 SH SOLE 45413 0 0
CERNER CORPORATION COM 156782104 258 4200 SH SOLE 4200 0 0
CF INDUSTRIES HOLDINGS, INC. COM 125269100 2948 20334 SH SOLE 20334 0 0
CHARLES SCHWAB CORP. COM 808513105 242 21429 SH SOLE 21429 0 0
CHASE PACKAGING CORP. COM 161635107 0 19082 SH SOLE 19082 0 0
CHESAPEAKE ENERGY CORP. COM 165167107 599 26830 SH SOLE 26830 0 0
CHESAPEAKE ENERGY CORP. CONV 165167CA3 55661 62017174 PRN SOLE 62017174 0 0
CHESAPEAKE ENERGY CORPORATION COM 165167107 38 1700 SH SOLE 1700 0 0
CHESAPEAKE ENERGY CORPORATION CONV 165167CA3 2244 2500000 PRN SOLE 2500000 0 0
CHEVRON CORP. COM 166764100 2658 24981 SH SOLE 24981 0 0
CHEVRON CORPORATION COM 166764100 21112 198425 SH SOLE 198425 0 0
CHICAGO BRIDGE & IRON COMPANY COM 167250109 963 25500 SH SOLE 25500 0 0
CHIMERA INVESTMENT CORP REIT 16934Q109 568 226210 SH SOLE 226210 0 0
CHUBB CORP., THE COM 171232101 1693 24458 SH SOLE 24458 0 0
CHUBB CORPORATION COM 171232101 241 3480 SH SOLE 3480 0 0
CHURCH & DWIGHT CO. INC. COM 171340102 295 6460 SH SOLE 6460 0 0
CHURCH & DWIGHT CO., INC. COM 171340102 1084 23700 SH SOLE 23700 0 0
CIA DE MINAS BUENAVENTURA SA ADR 204448104 939 24500 SH SOLE 24500 0 0
CIGNA CORP. COM 125509109 935 22242 SH SOLE 22242 0 0
CIGNA CORPORATION COM 125509109 97 2300 SH SOLE 2300 0 0
CINCINNATI FINANCIAL CORP. COM 172062101 303 9936 SH SOLE 9936 0 0
CINEMARK HOLDINGS INC. COM 17243V102 5029 272000 SH SOLE 272000 0 0
CISCO SYSTEMS INC. COM 17275R102 9563 528945 SH SOLE 528945 0 0
CISCO SYSTEMS, INC. COM 17275R102 1650 91300 SH SOLE 91300 0 0
CIT GROUP, INC. COM 125581801 63 1800 SH SOLE 1800 0 0
CITIGROUP INC. COM 172967424 5828 221566 SH SOLE 221566 0 0
CITIGROUP, INC. COM 172967424 3384 128626 SH SOLE 128626 0 0
CITRIX SYSTEMS, INC. COM 177376100 578 9521 SH SOLE 9521 0 0
CLEAN ENERGY FUELS CORP. COM 184499101 2492 200000 SH SOLE 200000 0 0
CLIFFS NATURAL RESOURCES INC. COM 18683K101 1106 17746 SH SOLE 17746 0 0
CLIFFS NATURAL RESOURCES, INC. COM 18683K101 2569 41200 SH SOLE 41200 0 0
CLOROX CO. COM 189054109 981 14741 SH SOLE 14741 0 0
CLOROX COMPANY COM 189054109 486 7300 SH SOLE 7300 0 0
CLOUD PEAK ENERGY INC COM 18911Q102 793 41000 SH SOLE 41000 0 0
CME GROUP INC. COM 12572Q105 1091 4481 SH SOLE 4481 0 0
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FASTENAL COMPANY COM 311900104 192 4400 SH SOLE 4400 0 0
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HARSCO CORP. COM 415864107 185 9000 SH SOLE 9000 0 0
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HEALTH NET, INC. COM 42222G108 200 6600 SH SOLE 6600 0 0
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HERBALIFE LTD COM G4412G101 31 600 SH SOLE 600 0 0
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HESS CORPORATION COM 42809H107 704 12400 SH SOLE 12400 0 0
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HUNTSMAN CORP. COM 447011107 155 15500 SH SOLE 15500 0 0
HUNTSMAN CORPORATION COM 447011107 21 2100 SH SOLE 2100 0 0
HYATT HOTELS CORP COM 448579102 45 1200 SH SOLE 1200 0 0
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IBM CORPORATION COM 459200101 18683 101603 SH SOLE 101603 0 0
IDEX CORP. COM 45167R104 247 6650 SH SOLE 6650 0 0
IDEX CORPORATION COM 45167R104 111 3000 SH SOLE 3000 0 0
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PRIME SUCCESSION ACQ CO. COM 741572101 0 228575 SH SOLE 228575 0 0
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PRINCIPAL FINANCIAL GROUP COM 74251V102 81 3300 SH SOLE 3300 0 0
PRINCIPAL FINANCIAL GROUP, INC COM 74251V102 550 22357 SH SOLE 22357 0 0
PROASSURANCE CORPORATION COM 74267C106 319 4000 SH SOLE 4000 0 0
PROCTER & GAMBLE CO. COM 742718109 10146 152090 SH SOLE 152090 0 0
PROCTER & GAMBLE COMPANY COM 742718109 1356 20331 SH SOLE 20331 0 0
PROGRESS ENERGY INC. COM 743263105 553 9868 SH SOLE 9868 0 0
PROGRESS ENERGY, INC. COM 743263105 58 1033 SH SOLE 1033 0 0
PROGRESSIVE CORP., THE COM 743315103 1054 54032 SH SOLE 54032 0 0
PROGRESSIVE CORPORATION COM 743315103 121 6200 SH SOLE 6200 0 0
PROLOGIS COM 74340W103 851 29792 SH SOLE 29792 0 0
PROLOGIS INC COM 74340W103 4479 156676 SH SOLE 156676 0 0
PROTECTIVE LIFE CORP. COM 743674103 257 11380 SH SOLE 11380 0 0
PROTECTIVE LIFE CORPORATION COM 743674103 63 2786 SH SOLE 2786 0 0
PRUDENTIAL FINANCIAL, INC. COM 744320102 1912 38133 SH SOLE 38133 0 0
PUBLIC SERVICE ENTERPRISE GROU COM 744573106 1696 51345 SH SOLE 51345 0 0
PUBLIC SERVICE ENTERPRISE GRP COM 744573106 208 6300 SH SOLE 6300 0 0
PUBLIC STORAGE REIT 74460D109 7291 54228 SH SOLE 54228 0 0
PULTE GROUP, INC. COM 745867101 10 1645 SH SOLE 1645 0 0
PULTEGROUP, INC. COM 745867101 83 13269 SH SOLE 13269 0 0
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QEP RESOURCES INC. COM 74733V100 188 6382 SH SOLE 6382 0 0
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QUALCOM, INC. COM 747525103 6425 117468 SH SOLE 117468 0 0
QUEST DIAGNOSTIC, INC. COM 74834L100 6 100 SH SOLE 100 0 0
QUEST DIAGNOSTICS INC. COM 74834L100 553 9520 SH SOLE 9520 0 0
QUESTAR CORP. COM 748356102 304 15300 SH SOLE 15300 0 0
QUESTAR CORPORATION COM 748356102 73 3700 SH SOLE 3700 0 0
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R.R. DONNELLEY & SONS COMPANY COM 257867101 478 33127 SH SOLE 33127 0 0
RADIOSHACK CORP. COM 750438103 588 60570 SH SOLE 60570 0 0
RADIOSHACK CORPORATION COM 750438103 142 14600 SH SOLE 14600 0 0
RALPH LAUREN CORPORATION COM 751212101 605 4378 SH SOLE 4378 0 0
RANDGOLD RESOURCES LTD ADR 752344309 1011 9900 SH SOLE 9900 0 0
RAYONIER INC. REIT 754907103 364 8165 SH SOLE 8165 0 0
RAYONIER, INC. REIT 754907103 689 15435 SH SOLE 15435 0 0
RAYTHEON CO. COM 755111507 964 19915 SH SOLE 19915 0 0
RAYTHEON COMPANY COM 755111507 130 2688 SH SOLE 2688 0 0
REALTY INCOME CORP COM 756109104 585 16750 SH SOLE 16750 0 0
REALTY INCOME CORP. COM 756109104 133 3800 SH SOLE 3800 0 0
RED HAT INC. COM 756577102 585 14158 SH SOLE 14158 0 0
REDWOOD TRUST INC REIT 758075402 106 10450 SH SOLE 10450 0 0
REGENCY CENTERS CORP. REIT 758849103 113 3000 SH SOLE 3000 0 0
REGENCY CENTERS CORPORATION REIT 758849103 1127 29970 SH SOLE 29970 0 0
REGIONS FINANCIAL CORP. COM 7591EP100 345 80302 SH SOLE 80302 0 0
REINSURANCE GROUP OF AMERICA COM 759351604 78 1493 SH SOLE 1493 0 0
REINSURANCE GROUP OF AMERICA, COM 759351604 337 6450 SH SOLE 6450 0 0
RENT-A-CENTER, INC. COM 76009N100 274 7400 SH SOLE 7400 0 0
REPUBLIC SERVICES INC. COM 760759100 952 34564 SH SOLE 34564 0 0
REPUBLIC SERVICES, INC. COM 760759100 79 2875 SH SOLE 2875 0 0
RESOURCE CAPITAL CORPORATION COM 76120W302 197 35000 SH SOLE 35000 0 0
REYNOLDS AMERICAN INC. COM 761713106 1250 30212 SH SOLE 30212 0 0
REYNOLDS AMERICAN, INC. COM 761713106 109 2624 SH SOLE 2624 0 0
RIO TINTO PLC ADR 767204100 2378 48600 SH SOLE 48600 0 0
ROCK-TENN CO. COM 772739207 12464 216000 SH SOLE 216000 0 0
ROCK-TENN COMPANY COM 772739207 98 1700 SH SOLE 1700 0 0
ROCKWELL AUTOMATION INC. COM 773903109 656 8929 SH SOLE 8929 0 0
ROCKWELL AUTOMATION, INC. COM 773903109 103 1400 SH SOLE 1400 0 0
ROCKWELL COLLINS INC. COM 774341101 306 5524 SH SOLE 5524 0 0
ROCKWOOD HOLDINGS, INC. COM 774415103 548 13900 SH SOLE 13900 0 0
ROGERS COMMUNICATIONS, INC. COM 775109200 474 12292 SH SOLE 12292 0 0
ROPER INDUSTRIES INC. COM 776696106 619 7126 SH SOLE 7126 0 0
ROPER INDUSTRIES, INC. COM 776696106 35 400 SH SOLE 400 0 0
ROSS STORES INC. COM 778296103 187 3934 SH SOLE 3934 0 0
ROSS STORES, INC. COM 778296103 694 14600 SH SOLE 14600 0 0
ROYAL GOLD, INC. COM 780287108 958 14200 SH SOLE 14200 0 0
RPC, INC. COM 749660106 11 600 SH SOLE 600 0 0
RYDER SYSTEM INC. COM 783549108 271 5100 SH SOLE 5100 0 0
RYDER SYSTEM, INC. COM 783549108 31 584 SH SOLE 584 0 0
S B A COMMUNICATIONS CORP. COM 78388J106 198 4600 SH SOLE 4600 0 0
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S P X CORPORATION COM 784635104 24 400 SH SOLE 400 0 0
SAFEWAY INC. COM 786514208 849 40310 SH SOLE 40310 0 0
SAFEWAY, INC. COM 786514208 84 4000 SH SOLE 4000 0 0
SAIC INC. COM 78390X101 971 78959 SH SOLE 78959 0 0
SAIC, INC. COM 78390X101 64 5200 SH SOLE 5200 0 0
SALESFORCE.COM, INC. COM 79466L302 466 4595 SH SOLE 4595 0 0
SANDISK CORP. COM 80004C101 1217 24721 SH SOLE 24721 0 0
SARA LEE CORP. COM 803111103 433 22940 SH SOLE 22940 0 0
SARA LEE CORPORATION COM 803111103 8 400 SH SOLE 400 0 0
SBA COMMUNICATIONS CORP. COM 78388J106 63 1470 SH SOLE 1470 0 0
SCHLUMBERGER LTD. COM 806857108 4827 70684 SH SOLE 70684 0 0
SCICLONE PHARMACEUTICALS INC COM 80862K104 76 17700 SH SOLE 17700 0 0
SCRIPPS NETWORKS INTERACTIVE I COM 811065101 459 10795 SH SOLE 10795 0 0
SEALED AIR CORP. COM 81211K100 2457 142822 SH SOLE 142822 0 0
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SERVICE CORP. INTERNATIONAL COM 817565104 262 24600 SH SOLE 24600 0 0
SERVICE CORP. INTL COM 817565104 63 5900 SH SOLE 5900 0 0
SHERWIN-WILLIAMS CO. COM 824348106 151 1689 SH SOLE 1689 0 0
SHERWIN-WILLIAMS COMPANY COM 824348106 232 2600 SH SOLE 2600 0 0
SIEMENS AG ADR 826197501 287 3000 SH SOLE 3000 0 0
SIGMA-ALDRICH CORP. COM 826552101 769 12314 SH SOLE 12314 0 0
SIMON PROPERTY GROUP, INC REIT 828806109 3013 23374 SH SOLE 23374 0 0
SIMON PROPERTY GROUP, INC. REIT 828806109 9349 72510 SH SOLE 72510 0 0
SIRIUS XM RADIO INC. COM 82967N108 167 91700 SH SOLE 91700 0 0
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SLM CORPORATION COM 78442P106 720 53648 SH SOLE 53648 0 0
SMITHFIELD FOODS INC. COM 832248108 246 10100 SH SOLE 10100 0 0
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SOLECTRON CORPORATION CONV 834182AL1 5440 8000000 PRN SOLE 8000000 0 0
SOLUTIA INC. COM 834376501 173 10000 SH SOLE 10000 0 0
SOUTHERN CO. COM 842587107 3249 70197 SH SOLE 70197 0 0
SOUTHERN COMPANY COM 842587107 1704 36801 SH SOLE 36801 0 0
SOUTHERN COPPER CORP. COM 84265V105 4274 141600 SH SOLE 141600 0 0
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SOUTHERN UNION COMPANY COM 844030106 51 1200 SH SOLE 1200 0 0
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SPECTRA ENERGY CORPORATION COM 847560109 138 4500 SH SOLE 4500 0 0
SPECTRASCIENCE, INC. COM 84760E301 9 157715 SH SOLE 157715 0 0
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SPRINT NEXTEL CORPORATION COM 852061100 190 80900 SH SOLE 80900 0 0
SPX CORP. COM 784635104 253 4200 SH SOLE 4200 0 0
ST. JOE COMPANY (THE) COM 790148100 156 10660 SH SOLE 10660 0 0
ST. JUDE MEDICAL INC. COM 790849103 936 27280 SH SOLE 27280 0 0
ST. JUDE MEDICAL, INC. COM 790849103 247 7200 SH SOLE 7200 0 0
STAPLES INC. COM 855030102 638 45945 SH SOLE 45945 0 0
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STARBUCKS CORP. COM 855244109 435 9462 SH SOLE 9462 0 0
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STATE STREET CORP. COM 857477103 1744 43251 SH SOLE 43251 0 0
STATE STREET CORPORATION COM 857477103 210 5200 SH SOLE 5200 0 0
STERICYCLE, INC. COM 858912108 307 3936 SH SOLE 3936 0 0
STRYKER CORP. COM 863667101 666 13399 SH SOLE 13399 0 0
STRYKER CORPORATION COM 863667101 75 1500 SH SOLE 1500 0 0
SUNSTONE HOTELS INVEST, INC. REIT 867892101 122 14930 SH SOLE 14930 0 0
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SUPERMEDIA INC COM 868447103 9 3240 SH SOLE 3240 0 0
SUPERMEDIA INC. COM 868447103 348 131952 SH SOLE 131952 0 0
SUPERVALU INC. COM 868536103 903 111145 SH SOLE 111145 0 0
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SUPREME INDUSTRIES, INC. COM 868607102 760 302580 SH SOLE 302580 0 0
SYMANTEC CORP. COM 871503108 1311 83719 SH SOLE 83719 0 0
SYNNEX CORP. COM 87162W100 258 8500 SH SOLE 8500 0 0
SYNOPSIS, INC. COM 871607107 713 26200 SH SOLE 26200 0 0
SYNOPSYS, INC. COM 871607107 98 3600 SH SOLE 3600 0 0
SYSCO CORP. COM 871829107 349 11889 SH SOLE 11889 0 0
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TARGET CORP. COM 87612E106 3461 67572 SH SOLE 67572 0 0
TARGET CORPORATION COM 87612E106 359 7000 SH SOLE 7000 0 0
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TELEFLEX INCORPORATED COM 879369106 185 3020 SH SOLE 3020 0 0
TELEFLEX, INC. COM 879369106 42 681 SH SOLE 681 0 0
TELEPHONE AND DATA SYS, INC. COM 879433100 129 5000 SH SOLE 5000 0 0
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TELLABS, INC. COM 879664100 62 15305 SH SOLE 15305 0 0
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TERADYNE INC COM 880770102 1206 88488 SH SOLE 88488 0 0
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TEXTRON INC. COM 883203101 1491 80650 SH SOLE 80650 0 0
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THERMO FISHER SCIENTIFIC INC. COM 883556102 882 19593 SH SOLE 19593 0 0
THERMO FISHER SCIENTIFIC, INC. COM 883556102 277 6155 SH SOLE 6155 0 0
THOMAS & BETTS CORP. COM 884315102 431 7900 SH SOLE 7900 0 0
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TIME WARNER CABLE INC. COM 88732J207 2280 35869 SH SOLE 35869 0 0
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TIMKEN COMPANY COM 887389104 709 18300 SH SOLE 18300 0 0
TIMKEN COMPANY, THE COM 887389104 93 2400 SH SOLE 2400 0 0
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TRAVELERS COMPANIES, INC., THE COM 89417E109 1671 28240 SH SOLE 28240 0 0
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TRIMAS CORP. COM 896215209 2821 157113 SH SOLE 157113 0 0
TRW AUTOMOTIVE HLDGS CORP. COM 87264S106 127 3900 SH SOLE 3900 0 0
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TYCO INTERNATIONAL LTD COM H89128104 700 15000 SH SOLE 15000 0 0
TYCO INTERNATIONAL LTD. COM H89128104 1813 38800 SH SOLE 38800 0 0
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UDR, INC. REIT 902653104 1727 68830 SH SOLE 68830 0 0
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UNITED ONLINE, INC. COM 911268100 62 11400 SH SOLE 11400 0 0
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VALIDUS HOLDINGS LTD COM G9319H102 44 1400 SH SOLE 1400 0 0
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VALSPAR CORP. COM 920355104 304 7800 SH SOLE 7800 0 0
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