Free CDS Pricing Report
Markit Group has developed this free "Last Quote for the most Liquid Credit Default Swaps" pricing report to address a public interest in CDS prices. This Last Quote report is based on the most recent price quote any active dealer in the CDS market provided to its institutional customers before 4:00PM Eastern. In total, 1000 CDS (based on DTCC's Top 1000), as well as several Markit CDS Indices, are contained in this pricing report. The report is intended to provide the general public an indication of where CDS trades could last be made on each trading day. However, as those prices represent the view of a single dealer and often precede the market close by several hours, they are not appropriate for end of day mark to market purposes.
Data and pricing (5 year tenor only) as of 30Jan2012. The numbers for CDS Contracts and Notional are provided by DTCC on week ending 20Jan2012.
Reference Entity	Region	Industry	# of CDS Contracts Outstanding	# of CDS Contracts (Weekly Δ)	Net Notional CDS ($)	Net Notional CDS (Weekly Δ $)	Fixed Coupon	Price	Daily Change	Price Type
*MARKIT CDX.NA.HY			14,588	7	149,211,197,898	991,919,442		97.34	(0.29)	Price
*MARKIT CDX.NA.IG			29,002	(129)	377,701,265,084	(1,058,437,070)		102.63	2.13	Spread
*MARKIT ITRAXX ASIA EX-JAPAN IG			5,834	41	9,361,890,000	(136,000,000)		187.00	5.50	Spread
*MARKIT ITRAXX EUROPE			36,907	398	471,999,308,817	6,938,795,311		146.50	4.50	Spread
3I GROUP PLC	Europe	FINANCIALS	1,273	2	935,317,441	24,818,430	100	272.50	(2.50)	ConvSpread
3M COMPANY	Americas	INDUSTRIALS	977	(17)	642,244,339	1,374,977	100	31.50	(2.00)	ConvSpread
ABB INTERNATIONAL FINANCE LIMITED	Europe	FINANCIALS	2,218	6	700,950,883	11,303,324	100	70.00	5.00	ConvSpread
ABBOTT LABORATORIES	Americas	HEALTH CARE	1,275	4	686,547,951	13,364,655	100	70.50	4.00	ConvSpread
ABU DHABI	Europe	GOVERNMENT	1,559	10	1,418,696,129	153,319,806	100	138.50	1.00	ConvSpread
ABU DHABI NATIONAL ENERGY COMPANY	Europe	GOVERNMENT	543	2	507,099,802	3,433,042	100	187.50	(2.50)	ConvSpread
ACCOR	Europe	CONSUMER SERVICES	3,058	46	1,175,332,571	54,968,887	100	160.00	(8.00)	ConvSpread
ACE LIMITED	Americas	FINANCIALS	2,485	17	1,592,420,774	19,339,192	100	63.50	2.50	ConvSpread
ACOM CO., LTD.	Japan	FINANCIALS	1,805	3	658,943,162	1,774,471	100	190.00	0	ConvSpread
ADECCO S.A.	Europe	INDUSTRIALS	2,697	4	715,229,110	27,468,496	100	150.00	N/A	ConvSpread
ADVANCED MICRO DEVICES, INC.	Americas	TECHNOLOGY	1,637	29	439,531,614	12,136,284	500	(1.69)	0	Upfront
AEGON N.V.	Europe	FINANCIALS	4,212	(28)	1,572,644,979	43,934,037	100	220.00	10.00	ConvSpread
AEON CO., LTD.	Japan	CONSUMER SERVICES	363	2	302,376,229	(251,355)	100	97.50	0	ConvSpread
AETNA INC.	Americas	HEALTH CARE	2,078	(10)	912,204,660	13,533,648	100	59.50	3.00	ConvSpread
AGRIUM INC.	Americas	BASIC MATERIALS	1,491	0	377,128,171	1,617,127	100	105.00	0	ConvSpread
AIR PRODUCTS AND CHEMICALS, INC.	Americas	BASIC MATERIALS	1,131	4	369,434,905	13,494,899	100	75.00	6.00	ConvSpread
AK STEEL CORPORATION	Americas	BASIC MATERIALS	1,310	6	385,622,775	438,504	500	9.25	0.50	Upfront
AKTIEBOLAGET ELECTROLUX	Europe	CONSUMER GOODS	3,505	16	1,391,299,938	3,465,820	100	99.00	4.00	ConvSpread
AKTIEBOLAGET VOLVO	Europe	INDUSTRIALS	3,988	28	1,462,296,572	21,458,878	100	228.00	6.00	ConvSpread
AKZO NOBEL N.V.	Europe	BASIC MATERIALS	3,730	16	1,080,713,108	4,030,386	100	108.00	(7.00)	ConvSpread
ALCATEL LUCENT	Europe	TECHNOLOGY	3,581	34	819,384,644	22,474,413	500	27.50	2.00	Upfront
ALCATEL-LUCENT USA INC.	Americas	TECHNOLOGY	1,217	35	286,242,255	6,918,926	500	22.00	2.00	Upfront
ALCOA INC.	Americas	BASIC MATERIALS	4,336	26	2,029,374,729	(50,126,223)	100	285.00	8.00	ConvSpread
ALL NIPPON AIRWAYS CO., LTD.	Japan	CONSUMER SERVICES	578	12	257,813,127	(2,881,636)	500	375.00	0	ConvSpread
ALLEGHENY ENERGY SUPPLY COMPANY, LLC	Americas	UTILITIES	976	4	376,557,683	31,740,611	100	190.00	2.00	ConvSpread
ALLIANCE & LEICESTER PUBLIC LIMITED COMPANY	Europe	FINANCIALS	401	1	270,006,272	13,449,492	100	180.00	0	ConvSpread
ALLIANCE BOOTS HOLDINGS LIMITED	Europe	CONSUMER SERVICES	2,882	4	696,749,759	6,244,173	500	355.00	10.00	ConvSpread
ALLIANZ SE	Europe	FINANCIALS	4,576	(19)	2,537,486,019	70,532,448	100	107.00	12.00	ConvSpread
ALLTEL CORPORATION	Americas	TELECOMMUNICATIONS	2,735	0	880,352,165	(2,726,920)	100	16.50	(1.50)	ConvSpread
ALLY FINANCIAL INC.	Americas	FINANCIALS	4,089	12	1,629,553,843	25,427,207	500	(0.84)	0.53	Upfront
ALSTOM	Europe	INDUSTRIALS	2,127	1	640,649,555	25,785,623	100	260.00	0	ConvSpread
ALTADIS SA	Europe	CONSUMER GOODS	2,871	2	991,417,526	12,466,504	100	40.50	0	ConvSpread
ALTRIA GROUP, INC.	Americas	CONSUMER GOODS	3,248	21	1,592,301,527	40,594,365	100	93.00	1.00	ConvSpread
AMCOR LTD	Australia NZ	INDUSTRIALS	1,977	4	690,949,944	(5,638,431)	100	112.00	(2.00)	ConvSpread
AMERICAN AXLE & MANUFACTURING, INC.	Americas	CONSUMER GOODS	2,593	13	567,656,717	4,091,914	500	2.75	0.75	Upfront
AMERICAN ELECTRIC POWER COMPANY, INC.	Americas	UTILITIES	2,039	17	777,077,771	(4,064,842)	100	63.50	1.00	ConvSpread
AMERICAN EXPRESS COMPANY	Americas	FINANCIALS	3,016	11	1,575,441,162	(4,043,653)	100	90.00	10.00	ConvSpread
AMERICAN INTERNATIONAL GROUP, INC.	Americas	FINANCIALS	4,363	31	2,281,911,575	8,185,438	500	345.00	22.50	ConvSpread
AMERISOURCEBERGEN CORPORATION	Americas	CONSUMER SERVICES	991	2	272,086,315	(4,256,791)	100	67.00	2.50	ConvSpread
AMGEN INC.	Americas	HEALTH CARE	2,109	0	1,026,754,328	1,605,425	100	75.50	5.00	ConvSpread
AMKOR TECHNOLOGY, INC.	Americas	TECHNOLOGY	1,219	17	394,189,428	1,760,200	500	(0.42)	0	Upfront
AMP GROUP HOLDINGS LIMITED	Australia NZ	FINANCIALS	406	2	179,862,466	(9,083,843)	100	165.00	6.50	ConvSpread
ANADARKO PETROLEUM CORPORATION	Americas	OIL & GAS	2,975	28	1,585,973,408	41,193,371	100	144.00	3.50	ConvSpread
ANGLO AMERICAN PLC	Europe	BASIC MATERIALS	2,838	74	1,248,116,001	63,968,735	100	165.00	7.50	ConvSpread
ANHEUSER-BUSCH INBEV	Europe	CONSUMER GOODS	395	(3)	668,599,412	7,404,682	100	117.50	7.50	ConvSpread
AON CORPORATION	Americas	FINANCIALS	1,653	2	706,395,477	6,265,147	100	75.00	9.00	ConvSpread
APACHE CORPORATION	Americas	OIL & GAS	1,784	39	788,056,398	34,857,108	100	72.00	(0.50)	ConvSpread
ARAB REPUBLIC OF EGYPT	Europe	GOVERNMENT	1,018	54	705,398,198	(9,005,853)	100	572.50	12.50	ConvSpread
ARAMARK CORPORATION	Americas	CONSUMER SERVICES	1,303	14	317,854,404	2,971,276	500	390.00	5.00	ConvSpread
ARCELORMITTAL	Europe	BASIC MATERIALS	6,094	123	3,118,755,435	116,142,953	500	500.00	12.50	ConvSpread
ARCHER-DANIELS-MIDLAND COMPANY	Americas	CONSUMER GOODS	1,373	7	530,968,638	19,754,712	100	80.00	7.00	ConvSpread
ARGENTINE REPUBLIC	Americas	GOVERNMENT	5,292	17	2,305,784,987	61,180,203	500	790.00	N/A	ConvSpread
ARROW ELECTRONICS, INC.	Americas	INDUSTRIALS	2,945	16	867,119,179	(1,286,688)	100	129.00	(1.00)	ConvSpread
ASSICURAZIONI GENERALI - SOCIETA PER AZIONI	Europe	FINANCIALS	4,477	(30)	2,350,728,205	35,135,448	100	280.00	20.00	ConvSpread
ASSURED GUARANTY CORP.	Americas	FINANCIALS	1,927	65	1,578,726,942	8,569,931	500	15.25	0	Upfront
ASSURED GUARANTY MUNICIPAL CORP.	Americas	FINANCIALS	3,692	101	1,428,930,754	62,575,130	500	5.75	(0.25)	Upfront
ASTRAZENECA PLC	Europe	HEALTH CARE	1,271	0	954,147,355	12,359,580	100	58.00	6.50	ConvSpread
AT&T CORP.	Americas	TELECOMMUNICATIONS	1,020	0	304,425,024	929,353	100	33.00	0	ConvSpread
AT&T INC.	Americas	TELECOMMUNICATIONS	3,455	18	2,245,692,389	(15,811,633)	100	82.50	4.00	ConvSpread
ATLANTIA S.P.A.	Europe	INDUSTRIALS	2,235	1	625,351,195	8,876,895	100	250.00	0	ConvSpread
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED	Australia NZ	FINANCIALS	2,015	10	1,167,109,395	(115,463,329)	100	157.00	(6.00)	ConvSpread
AUTOZONE, INC.	Americas	CONSUMER SERVICES	3,391	11	1,837,776,101	19,850,787	100	56.50	1.00	ConvSpread
AVALONBAY COMMUNITIES, INC.	Americas	FINANCIALS	1,018	0	292,702,724	756,946	100	85.00	(2.00)	ConvSpread
AVIS BUDGET CAR RENTAL, LLC	Americas	CONSUMER SERVICES	1,010	1	479,880,840	2,807,269	500	2.75	(0.25)	Upfront
AVIS BUDGET GROUP, INC.	Americas	CONSUMER SERVICES	2,329	15	643,645,434	(30,272,048)	500	3.25	0	Upfront
AVIVA PLC	Europe	FINANCIALS	3,935	(11)	1,959,684,817	57,167,357	100	155.00	10.00	ConvSpread
AVNET, INC.	Americas	INDUSTRIALS	1,791	5	555,308,943	24,550,617	100	174.00	4.00	ConvSpread
AVON PRODUCTS, INC.	Americas	CONSUMER GOODS	1,760	12	520,380,571	5,461,886	100	228.00	(7.00)	ConvSpread
AXA	Europe	FINANCIALS	5,450	9	3,016,640,503	30,187,547	100	250.00	17.50	ConvSpread
BAA FUNDING LIMITED	Europe	INDUSTRIALS	2,523	9	697,260,740	(3,090,137)	100	225.00	15.00	ConvSpread
BAE SYSTEMS PLC	Europe	INDUSTRIALS	2,245	(6)	906,930,680	40,158,668	100	180.00	0.50	ConvSpread
BAKER HUGHES INCORPORATED	Americas	OIL & GAS	1,010	1	530,406,027	828,425	100	81.00	1.00	ConvSpread
BANCA MONTE DEI PASCHI DI SIENA S.P.A.	Europe	FINANCIALS	4,108	114	1,411,484,927	5,969,666	500	455.00	10.00	ConvSpread
BANCA NAZIONALE DEL LAVORO S.P.A.	Europe	FINANCIALS	281	1	168,510,013	(12,951,716)	100	213.00	20.00	ConvSpread
BANCO BILBAO VIZCAYA ARGENTARIA, SOCIEDAD ANONIMA	Europe	FINANCIALS	5,131	13	2,373,142,468	(85,429,038)	500	262.50	7.50	ConvSpread
BANCO COMERCIAL PORTUGUES, S.A.	Europe	FINANCIALS	2,805	25	687,510,704	(24,560,402)	500	25.00	1.50	Upfront
BANCO ESPIRITO SANTO, S.A.	Europe	FINANCIALS	3,931	48	1,290,284,071	(27,587,196)	500	17.50	1.50	Upfront
BANCO POPOLARE SOCIETA COOPERATIVA	Europe	FINANCIALS	2,374	96	622,757,404	(1,197,805)	500	695.00	50.00	ConvSpread
BANCO SANTANDER, S.A.	Europe	FINANCIALS	5,983	37	2,729,933,829	(36,355,753)	500	257.50	12.50	ConvSpread
BANK OF AMERICA CORPORATION	Americas	FINANCIALS	8,780	57	5,770,000,518	118,070,267	500	280.50	5.50	ConvSpread
BANK OF SCOTLAND PLC	Europe	FINANCIALS	3,855	3	1,460,131,076	27,120,399	100	158.00	13.00	ConvSpread
BANQUE CENTRALE DE TUNISIE	Europe	GOVERNMENT	321	(7)	251,967,216	(29,167,503)	100	270.00	5.00	ConvSpread
BARCLAYS BANK PLC	Europe	FINANCIALS	5,282	60	3,494,381,364	182,205,669	100	174.00	21.50	ConvSpread
BARRICK GOLD CORPORATION	Americas	BASIC MATERIALS	1,696	(6)	737,168,674	(32,147,474)	100	115.00	5.00	ConvSpread
BASF SE	Europe	BASIC MATERIALS	3,187	15	1,358,862,483	23,007,286	100	77.00	6.00	ConvSpread
BAUSCH & LOMB INCORPORATED	Americas	HEALTH CARE	1,044	18	306,475,119	13,362,811	500	340.00	2.00	ConvSpread
BAXTER INTERNATIONAL INC.	Americas	HEALTH CARE	1,748	13	836,684,951	12,464,678	100	30.50	0	ConvSpread
BAYER AKTIENGESELLSCHAFT	Europe	HEALTH CARE	3,141	17	967,217,458	(11,377,045)	100	75.00	2.50	ConvSpread
BAYERISCHE MOTOREN WERKE AKTIENGESELLSCHAFT	Europe	CONSUMER GOODS	4,504	8	2,353,128,421	65,798,221	100	120.50	5.00	ConvSpread
BCE INC.	Americas	TELECOMMUNICATIONS	796	0	285,211,860	109,918	100	59.50	0	ConvSpread
BEAZER HOMES USA, INC.	Americas	CONSUMER GOODS	2,108	19	459,293,858	(6,585,849)	500	15.75	1.00	Upfront
BELLSOUTH CORPORATION	Americas	TELECOMMUNICATIONS	1,974	2	718,201,054	699,994	100	52.50	2.50	ConvSpread
BELO CORP.	Americas	CONSUMER SERVICES	3,495	13	1,002,034,656	13,555,637	500	240.00	(12.50)	ConvSpread
BERKSHIRE HATHAWAY INC.	Americas	FINANCIALS	3,098	6	5,200,027,236	21,235,156	100	157.00	7.00	ConvSpread
BERTELSMANN AG	Europe	CONSUMER SERVICES	2,966	11	947,885,279	16,532,122	100	119.50	4.50	ConvSpread
BEST BUY CO., INC.	Americas	CONSUMER SERVICES	996	35	558,345,823	(12,005,052)	100	440.50	5.50	ConvSpread
BHP BILLITON LIMITED	Australia NZ	BASIC MATERIALS	2,844	6	1,686,539,402	(19,333,525)	100	96.00	0	ConvSpread
BNP PARIBAS	Europe	FINANCIALS	4,417	44	2,471,997,114	91,084,306	100	220.00	20.00	ConvSpread
BOEING CAPITAL CORPORATION	Americas	FINANCIALS	1,871	13	879,294,488	10,176,294	100	81.00	(7.50)	ConvSpread
BOLIVARIAN REPUBLIC OF VENEZUELA	Americas	GOVERNMENT	5,124	(34)	2,445,895,544	(48,792,556)	500	14.38	N/A	Upfront
BOMBARDIER INC.	Americas	INDUSTRIALS	2,674	(52)	942,764,218	28,465,675	500	365.00	15.00	ConvSpread
BORGWARNER INC.	Americas	CONSUMER GOODS	1,821	2	518,875,120	14,172,754	100	125.50	(2.50)	ConvSpread
BOSTON PROPERTIES LIMITED PARTNERSHIP	Americas	FINANCIALS	1,267	32	700,031,965	(20,452,163)	100	125.00	0	ConvSpread
BOSTON SCIENTIFIC CORPORATION	Americas	HEALTH CARE	2,896	(4)	985,939,534	(37,776,326)	100	105.00	0.50	ConvSpread
BOUYGUES	Europe	INDUSTRIALS	2,022	2	517,561,454	39,865,924	100	140.00	2.00	ConvSpread
BOYD GAMING CORPORATION	Americas	CONSUMER SERVICES	1,384	15	470,674,429	30,226,762	500	15.50	0.50	Upfront
BP P.L.C.	Europe	OIL & GAS	2,834	15	1,542,003,121	53,621,772	100	115.00	2.00	ConvSpread
BRIDGESTONE CORPORATION	Japan	CONSUMER GOODS	393	6	393,885,556	(488,155)	100	53.00	1.00	ConvSpread
BRISA - CONCESSAO RODOVIARIA, S.A.	Europe	INDUSTRIALS	317	1	216,955,723	1,707,980	500	19.00	1.50	Upfront
BRISTOL-MYERS SQUIBB COMPANY	Americas	HEALTH CARE	2,002	17	734,550,403	34,173,673	100	32.50	2.00	ConvSpread
BRITISH AIRWAYS PLC	Europe	CONSUMER SERVICES	3,481	(3)	931,474,180	42,310,858	500	7.25	0.50	Upfront
BRITISH AMERICAN TOBACCO P.L.C.	Europe	CONSUMER GOODS	3,678	16	1,395,277,650	29,989,437	100	57.00	0.50	ConvSpread
BRITISH SKY BROADCASTING GROUP PLC	Europe	CONSUMER SERVICES	1,976	(3)	431,658,582	(6,396,917)	100	100.00	2.50	ConvSpread
BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY	Europe	TELECOMMUNICATIONS	5,119	(2)	2,048,820,355	49,000,729	100	112.00	4.00	ConvSpread
BROOKFIELD ASSET MANAGEMENT INC.	Americas	FINANCIALS	428	0	205,185,871	1,120,427	100	235.00	0	ConvSpread
BRUNSWICK CORPORATION	Americas	CONSUMER GOODS	2,758	15	841,722,547	(17,646,092)	100	272.00	(3.00)	ConvSpread
BURLINGTON NORTHERN SANTA FE, LLC	Americas	INDUSTRIALS	2,046	14	935,149,255	14,842,117	100	21.50	(2.00)	ConvSpread
CA, INC.	Americas	TECHNOLOGY	1,775	(2)	547,055,259	9,133,749	100	139.50	(2.50)	ConvSpread
CABLE & WIRELESS LIMITED	Europe	TELECOMMUNICATIONS	1,756	13	429,535,703	(11,923,419)	500	1.50	0.90	Upfront
CABLE & WIRELESS WORLDWIDE PLC	Europe	TELECOMMUNICATIONS	1,769	11	257,540,807	(2,541,746)	500	12.00	1.00	Upfront
CADBURY HOLDINGS LIMITED	Europe	CONSUMER GOODS	2,943	16	496,145,801	16,622,110	100	23.00	(12.00)	ConvSpread
CAESARS ENTERTAINMENT OPERATING COMPANY, INC.	Americas	CONSUMER SERVICES	4,526	36	1,267,036,255	(3,626,886)	500	42.00	1.50	Upfront
CAMPBELL SOUP COMPANY	Americas	CONSUMER GOODS	1,901	26	790,422,757	13,792,354	100	52.50	2.00	ConvSpread
CANADIAN NATIONAL RAILWAY COMPANY	Americas	INDUSTRIALS	522	0	287,180,732	1,593,043	100	28.50	1.00	ConvSpread
CANADIAN NATURAL RESOURCES LIMITED	Americas	OIL & GAS	1,945	12	1,037,837,263	20,646,840	100	129.00	1.00	ConvSpread
CANON INC.	Japan	TECHNOLOGY	228	1	295,039,542	(257,141)	100	50.00	0	ConvSpread
CAP GEMINI	Europe	TECHNOLOGY	1,361	3	309,454,883	20,654,663	100	202.50	2.50	ConvSpread
CAPITAL ONE BANK (USA), NATIONAL ASSOCIATION	Americas	FINANCIALS	2,522	37	978,100,891	28,210,621	100	90.00	10.00	ConvSpread
CAPITAL ONE FINANCIAL CORPORATION	Americas	FINANCIALS	2,232	10	877,969,814	22,626,714	100	127.50	12.50	ConvSpread
CARDINAL HEALTH, INC.	Americas	CONSUMER SERVICES	2,159	(18)	781,790,470	(313,737)	100	35.50	1.00	ConvSpread
CARGILL, INCORPORATED	Americas	CONSUMER GOODS	1,517	9	668,508,254	7,344,556	100	85.00	0	ConvSpread
CARLSBERG BREWERIES A/S	Europe	CONSUMER GOODS	552	1	307,107,995	14,376,152	100	135.50	8.00	ConvSpread
CARNIVAL CORPORATION	Americas	CONSUMER SERVICES	3,112	45	1,527,686,810	25,307,335	100	144.50	1.50	ConvSpread
CARREFOUR	Europe	CONSUMER SERVICES	3,824	18	1,621,075,953	34,187,367	100	207.50	2.50	ConvSpread
CASINO GUICHARD-PERRACHON	Europe	CONSUMER SERVICES	3,948	20	1,549,812,514	28,730,085	100	199.50	(5.50)	ConvSpread
CATERPILLAR FINANCIAL SERVICES CORPORATION	Americas	FINANCIALS	1,105	3	726,068,733	11,121,152	100	112.00	2.00	ConvSpread
CATERPILLAR INC.	Americas	INDUSTRIALS	2,680	3	1,857,037,817	(6,333,764)	100	93.00	3.50	ConvSpread
CBS CORPORATION	Americas	CONSUMER SERVICES	3,797	16	1,703,598,443	6,933,722	100	91.50	1.00	ConvSpread
CELESTICA INC.	Americas	INDUSTRIALS	609	16	161,021,045	5,921,192	100	142.50	(2.50)	ConvSpread
CENTERPOINT ENERGY RESOURCES CORP.	Americas	UTILITIES	550	0	281,581,866	691,947	100	125.50	(4.00)	ConvSpread
CENTERPOINT ENERGY, INC.	Americas	UTILITIES	1,153	1	505,896,903	1,164,959	100	140.00	3.00	ConvSpread
CENTEX CORPORATION	Americas	CONSUMER GOODS	4,207	16	1,784,622,936	(7,294,553)	100	285.00	N/A	ConvSpread
CENTRICA PLC	Europe	UTILITIES	3,343	6	982,729,321	25,947,665	100	92.00	3.50	ConvSpread
CENTURYLINK, INC.	Americas	TELECOMMUNICATIONS	3,718	24	1,706,474,481	11,497,933	100	230.00	12.50	ConvSpread
CHESAPEAKE ENERGY CORPORATION	Americas	OIL & GAS	2,313	45	960,996,289	(27,354,953)	500	513.00	13.00	ConvSpread
CHEVRON CORPORATION	Americas	OIL & GAS	928	6	438,934,677	2,136,784	100	50.00	0	ConvSpread
CHUBU ELECTRIC POWER COMPANY, INCORPORATED	Japan	UTILITIES	279	1	243,916,300	2,398,540	100	127.50	(18.00)	ConvSpread
CIGNA CORPORATION	Americas	HEALTH CARE	1,913	6	739,696,725	12,498,650	100	95.00	5.50	ConvSpread
CIR S.P.A. - COMPAGNIE INDUSTRIALI RIUNITE	Europe	UTILITIES	1,107	9	190,883,221	(3,973,424)	500	9.00	N/A	Upfront
CISCO SYSTEMS, INC.	Americas	TECHNOLOGY	610	(1)	689,243,964	11,976,060	100	90.50	1.00	ConvSpread
CITIGROUP INC.	Americas	FINANCIALS	5,559	52	3,455,622,297	21,836,396	100	232.50	12.50	ConvSpread
CLARIANT AG	Europe	BASIC MATERIALS	3,952	74	1,148,517,799	56,437,569	100	245.00	5.00	ConvSpread
CLEAR CHANNEL COMMUNICATIONS, INC.	Americas	CONSUMER SERVICES	5,462	18	1,459,870,945	(2,611,714)	500	37.50	(0.25)	Upfront
CMS ENERGY CORPORATION	Americas	UTILITIES	1,553	5	498,765,317	3,856,179	100	185.50	8.00	ConvSpread
CNA FINANCIAL CORPORATION	Americas	FINANCIALS	1,642	12	590,693,712	(1,553,662)	100	185.00	(12.50)	ConvSpread
CNOOC LIMITED	Asia Ex-Japan	OIL & GAS	474	2	209,966,723	(7,318,179)	100	160.00	N/A	ConvSpread
COCA-COLA REFRESHMENTS USA, INC.	Americas	CONSUMER GOODS	1,568	17	404,904,337	1,382,865	100	29.50	1.00	ConvSpread
CODERE FINANCE (LUXEMBOURG) S.A.	Europe	FINANCIALS	1,896	20	354,958,753	22,301,326	500	8.50	1.00	Upfront
COLES GROUP LIMITED	Australia NZ	CONSUMER SERVICES	1,452	1	703,676,694	7,943,750	100	78.00	(2.00)	ConvSpread
COLGATE-PALMOLIVE COMPANY	Americas	CONSUMER GOODS	631	16	316,745,740	6,383,979	100	41.50	(8.50)	ConvSpread
COLT TECHNOLOGY SERVICES GROUP LIMITED	Europe	TELECOMMUNICATIONS	954	2	189,685,066	(232,672)	100	175.00	N/A	ConvSpread
COMCAST CABLE COMMUNICATIONS, LLC	Americas	CONSUMER SERVICES	2,899	16	1,188,468,404	14,948,559	100	14.00	3.50	ConvSpread
COMCAST CORPORATION	Americas	CONSUMER SERVICES	1,081	4	949,670,525	14,217,007	100	91.50	0	ConvSpread
COMMERCIAL METALS COMPANY	Americas	BASIC MATERIALS	1,116	(27)	312,142,326	5,786,623	500	450.00	10.00	ConvSpread
COMMERZBANK AKTIENGESELLSCHAFT	Europe	FINANCIALS	5,687	67	2,145,211,240	60,913,680	100	207.00	17.00	ConvSpread
COMMONWEALTH BANK OF AUSTRALIA	Australia NZ	FINANCIALS	1,742	12	1,404,860,369	(29,451,059)	100	157.00	(6.00)	ConvSpread
COMMONWEALTH OF AUSTRALIA	Australia NZ	GOVERNMENT	3,216	4	5,107,901,305	11,393,036	100	77.50	2.50	ConvSpread
COMMUNITY HEALTH SYSTEMS, INC.	Americas	HEALTH CARE	1,236	4	469,843,844	(5,790,793)	500	7.00	0.50	Upfront
COMPAGNIE DE SAINT-GOBAIN	Europe	INDUSTRIALS	4,169	(3)	1,473,286,489	74,267,443	100	167.00	7.00	ConvSpread
COMPAGNIE FINANCIERE MICHELIN	Europe	CONSUMER GOODS	3,122	7	782,675,153	16,067,759	100	182.00	2.00	ConvSpread
COMPASS GROUP PLC	Europe	CONSUMER SERVICES	3,824	12	1,263,188,361	32,002,666	100	55.00	N/A	ConvSpread
COMPUTER SCIENCES CORPORATION	Americas	TECHNOLOGY	4,099	79	1,992,724,005	(10,374,462)	500	420.00	15.00	ConvSpread
CON-WAY INC.	Americas	INDUSTRIALS	1,220	(64)	651,707,233	(39,970)	100	220.00	(10.00)	ConvSpread
CONAGRA FOODS, INC.	Americas	CONSUMER GOODS	2,420	38	900,091,991	16,784,695	100	53.50	(1.00)	ConvSpread
CONOCOPHILLIPS	Americas	OIL & GAS	2,401	12	1,299,277,482	16,372,436	100	75.50	1.00	ConvSpread
CONSTELLATION BRANDS, INC.	Americas	CONSUMER GOODS	1,253	5	285,499,712	(2,470,743)	100	218.00	(2.00)	ConvSpread
CONSTELLATION ENERGY GROUP, INC.	Americas	UTILITIES	2,651	6	1,842,422,313	(6,825,023)	100	113.00	0	ConvSpread
CONTINENTAL AKTIENGESELLSCHAFT	Europe	CONSUMER GOODS	6,380	43	2,240,656,452	41,455,896	500	390.00	10.00	ConvSpread
COOPER TIRE & RUBBER COMPANY	Americas	CONSUMER GOODS	1,747	11	345,030,102	(3,032,041)	500	1.22	0.97	Upfront
COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK B.A.	Europe	FINANCIALS	1,670	6	1,276,947,120	5,572,736	100	120.00	7.50	ConvSpread
CORNING INCORPORATED	Americas	TECHNOLOGY	1,390	(1)	525,686,677	(4,631,557)	100	105.00	0	ConvSpread
CORUS GROUP LIMITED	Europe	BASIC MATERIALS	1,381	0	143,329,951	1,473,391	500	625.00	N/A	ConvSpread
COSTCO WHOLESALE CORPORATION	Americas	CONSUMER SERVICES	889	6	587,508,253	11,792,651	100	50.50	(4.50)	ConvSpread
COVIDIEN LTD.	Americas	HEALTH CARE	1,393	0	214,205,228	676,052	100	64.00	4.00	ConvSpread
COX COMMUNICATIONS, INC.	Americas	CONSUMER SERVICES	2,662	14	740,958,232	4,457,488	100	52.50	0	ConvSpread
CREDIT AGRICOLE SA	Europe	FINANCIALS	4,154	39	2,567,012,869	(4,060,988)	100	240.00	32.50	ConvSpread
CREDIT SUISSE GROUP LTD	Europe	FINANCIALS	3,454	40	2,602,453,573	132,871,884	100	135.00	10.00	ConvSpread
CROWN LIMITED	Australia NZ	CONSUMER SERVICES	1,072	5	474,474,227	(9,507,612)	100	167.50	(5.00)	ConvSpread
CSC HOLDINGS, LLC	Americas	CONSUMER SERVICES	1,160	46	487,336,145	(12,300,766)	500	415.00	15.00	ConvSpread
CSR LIMITED	Australia NZ	INDUSTRIALS	1,246	3	499,097,928	3,787,006	100	119.00	1.00	ConvSpread
CSX CORPORATION	Americas	INDUSTRIALS	2,622	17	959,931,211	21,524,075	100	43.50	(2.00)	ConvSpread
CUMMINS INC.	Americas	INDUSTRIALS	1,373	(22)	563,704,536	(5,096,361)	100	65.00	1.00	ConvSpread
CVS CAREMARK CORPORATION	Americas	CONSUMER SERVICES	2,199	(16)	888,046,480	665,541	100	54.50	(1.00)	ConvSpread
CYTEC INDUSTRIES INC.	Americas	BASIC MATERIALS	1,836	(3)	365,367,117	2,131,116	100	150.00	(5.00)	ConvSpread
CZECH REPUBLIC	Europe	GOVERNMENT	1,052	3	922,128,568	(7,549,055)	100	144.00	3.50	ConvSpread
D.R. HORTON, INC.	Americas	CONSUMER GOODS	3,087	10	1,296,879,858	8,728,467	100	195.00	10.00	ConvSpread
DAIMLER AG	Europe	CONSUMER GOODS	6,123	(6)	2,652,488,344	(60,948,882)	100	131.50	3.00	ConvSpread
DANAHER CORPORATION	Americas	INDUSTRIALS	1,047	33	481,292,960	934,266	100	77.50	1.50	ConvSpread
DANONE	Europe	CONSUMER GOODS	2,283	14	1,004,118,936	27,902,189	100	75.00	0	ConvSpread
DANSKE BANK A/S	Europe	FINANCIALS	826	5	501,346,717	15,843,260	100	227.00	N/A	ConvSpread
DARDEN RESTAURANTS, INC.	Americas	CONSUMER SERVICES	2,945	29	1,279,140,890	45,003,389	100	115.00	(2.00)	ConvSpread
DEAN FOODS COMPANY	Americas	CONSUMER GOODS	1,514	6	424,891,917	11,054,241	500	5.00	0.50	Upfront
DEERE & COMPANY	Americas	INDUSTRIALS	1,888	6	875,219,733	4,887,257	100	48.50	(1.00)	ConvSpread
DELHAIZE AMERICA, LLC	Americas	CONSUMER SERVICES	1,563	2	270,119,361	(1,093,295)	100	75.00	(5.00)	ConvSpread
DELL INC.	Americas	TECHNOLOGY	1,366	(8)	1,023,217,692	11,393,934	100	116.50	3.50	ConvSpread
DEUTSCHE BAHN AKTIENGESELLSCHAFT	Europe	CONSUMER SERVICES	533	5	557,163,486	15,328,381	100	67.50	(3.50)	ConvSpread
DEUTSCHE BANK AKTIENGESELLSCHAFT	Europe	FINANCIALS	6,191	29	4,830,551,863	108,903,073	100	155.50	15.50	ConvSpread
DEUTSCHE LUFTHANSA AKTIENGESELLSCHAFT	Europe	CONSUMER SERVICES	4,213	30	1,418,640,502	12,521,736	100	260.00	7.50	ConvSpread
DEUTSCHE POST AG	Europe	INDUSTRIALS	2,322	17	812,958,743	33,230,831	100	92.00	0	ConvSpread
DEUTSCHE TELEKOM AG	Europe	TELECOMMUNICATIONS	5,775	54	3,400,561,494	166,563,670	100	124.00	4.00	ConvSpread
DEVON ENERGY CORPORATION	Americas	OIL & GAS	1,985	48	629,839,093	20,601,207	100	68.50	1.00	ConvSpread
DEXIA CREDIT LOCAL	Europe	FINANCIALS	1,210	1	1,022,037,607	23,290,255	500	735.00	(50.00)	ConvSpread
DIAGEO PLC	Europe	CONSUMER GOODS	2,611	12	937,297,500	273,996	100	75.00	2.00	ConvSpread
DIAMOND OFFSHORE DRILLING, INC.	Americas	OIL & GAS	1,319	1	477,713,765	12,807,005	100	80.00	1.00	ConvSpread
DILLARD'S, INC.	Americas	CONSUMER SERVICES	1,405	3	254,262,585	2,830,633	500	340.00	15.00	ConvSpread
DIRECTV HOLDINGS LLC	Americas	CONSUMER SERVICES	1,137	20	787,926,957	2,524,787	100	177.00	0	ConvSpread
DISH DBS CORPORATION	Americas	CONSUMER SERVICES	1,606	10	578,531,187	(1,726,363)	500	297.50	17.50	ConvSpread
DIXONS RETAIL PLC	Europe	CONSUMER SERVICES	4,840	66	1,029,046,366	19,424,775	500	10.00	0.75	Upfront
DOLE FOOD COMPANY, INC.	Americas	CONSUMER GOODS	825	6	276,893,435	2,255,098	500	620.00	5.00	ConvSpread
DOMINION RESOURCES, INC.	Americas	UTILITIES	2,337	21	705,656,099	22,074,054	100	56.50	(1.00)	ConvSpread
DOVER CORPORATION	Americas	INDUSTRIALS	396	42	223,314,435	(7,425,130)	100	77.50	1.50	ConvSpread
DPL INC.	Americas	UTILITIES	525	2	138,861,576	(8,605,128)	100	210.00	(10.00)	ConvSpread
DTE ENERGY COMPANY	Americas	UTILITIES	970	2	324,599,136	2,150,969	100	137.50	4.00	ConvSpread
DUBAI	Europe	GOVERNMENT	1,171	7	489,549,021	10,051,484	500	435.00	5.00	ConvSpread
DUKE ENERGY CAROLINAS, LLC	Americas	OIL & GAS	1,820	13	885,646,760	9,400,365	100	41.50	(1.00)	ConvSpread
DUKE REALTY LIMITED PARTNERSHIP	Americas	FINANCIALS	556	4	208,019,618	23,431,179	100	199.50	12.00	ConvSpread
E. I. DU PONT DE NEMOURS AND COMPANY	Americas	BASIC MATERIALS	2,095	13	1,396,483,831	12,273,602	100	60.50	1.00	ConvSpread
E.ON AG	Europe	UTILITIES	4,077	0	2,044,961,740	36,370,153	100	116.00	4.50	ConvSpread
EAST JAPAN RAILWAY COMPANY	Japan	CONSUMER SERVICES	243	2	352,945,385	(588,613)	100	45.00	0	ConvSpread
EASTMAN CHEMICAL COMPANY	Americas	BASIC MATERIALS	3,011	16	1,317,046,581	(12,152,075)	100	100.00	(16.00)	ConvSpread
EASTMAN KODAK COMPANY	Americas	CONSUMER GOODS	4,404	(13)	772,738,780	(16,016,871)	500	71.75	(1.00)	Upfront
EATON CORPORATION	Americas	INDUSTRIALS	989	(26)	372,152,692	(605,818)	100	90.00	2.00	ConvSpread
EDISON S.P.A.	Europe	UTILITIES	1,850	(7)	557,459,437	3,842,881	100	185.00	0	ConvSpread
EDP - ENERGIAS DE PORTUGAL, S.A.	Europe	UTILITIES	3,305	72	1,315,328,258	34,745,251	500	14.50	(1.50)	Upfront
EL PASO CORPORATION	Americas	OIL & GAS	1,615	1	847,137,354	(9,511,677)	100	225.00	5.00	ConvSpread
ELECTRICITE DE FRANCE	Europe	UTILITIES	3,714	1	1,750,421,641	36,797,824	100	139.00	4.00	ConvSpread
ELI LILLY AND COMPANY	Americas	HEALTH CARE	1,001	4	627,171,983	20,871,529	100	71.00	(1.50)	ConvSpread
EMBARQ CORPORATION	Americas	TELECOMMUNICATIONS	3,090	23	1,509,815,861	12,867,774	100	225.00	12.50	ConvSpread
EMERSON ELECTRIC CO.	Americas	INDUSTRIALS	529	33	294,238,965	2,178,954	100	60.00	0	ConvSpread
ENBRIDGE ENERGY PARTNERS, L.P.	Americas	OIL & GAS	517	4	278,846,765	13,539,991	100	160.00	(2.50)	ConvSpread
ENBRIDGE INC.	Americas	UTILITIES	1,204	8	765,410,946	(6,902,692)	100	133.00	0.50	ConvSpread
ENBW ENERGIE BADEN-WUERTTEMBERG AG	Europe	UTILITIES	1,937	5	864,870,799	5,217,915	100	124.00	4.00	ConvSpread
ENCANA CORPORATION	Americas	OIL & GAS	1,507	72	541,454,049	(10,996,495)	100	207.50	5.00	ConvSpread
ENDESA, S.A.	Europe	UTILITIES	2,279	15	1,471,461,129	29,704,029	100	157.50	10.00	ConvSpread
ENEL S.P.A.	Europe	UTILITIES	4,706	11	2,604,307,900	42,956,492	100	302.50	17.50	ConvSpread
ENERGY FUTURE HOLDINGS CORP.	Americas	UTILITIES	2,545	51	634,129,149	7,781,951	500	54.00	1.50	Upfront
ENERGY TRANSFER PARTNERS, L.P.	Americas	OIL & GAS	712	1	444,780,810	5,092,545	100	264.50	(1.00)	ConvSpread
ENI S.P.A.	Europe	OIL & GAS	1,232	11	699,838,597	2,377,707	100	138.00	(2.50)	ConvSpread
ENTERGY CORPORATION	Americas	UTILITIES	1,736	5	470,423,843	(8,385,183)	100	247.50	2.50	ConvSpread
EOP OPERATING LIMITED PARTNERSHIP	Americas	FINANCIALS	2,373	(1)	806,430,504	(15,723,309)	100	135.00	(17.50)	ConvSpread
ERC IRELAND FINANCE LIMITED	Europe	FINANCIALS	1,969	17	285,491,405	11,151,343	500	(19.56)	N/A	Upfront
ERP OPERATING LIMITED PARTNERSHIP	Americas	FINANCIALS	1,411	(14)	533,581,006	9,619,136	100	135.00	7.50	ConvSpread
ERSTE GROUP BANK AG	Europe	FINANCIALS	652	13	515,741,513	10,106,280	100	325.00	5.00	ConvSpread
EUROPEAN AERONAUTIC DEFENCE AND SPACE COMPANY EADS N.V.	Europe	INDUSTRIALS	3,714	3	1,616,575,366	51,897,679	100	150.00	3.50	ConvSpread
EVEREST REINSURANCE HOLDINGS, INC.	Americas	FINANCIALS	452	0	244,363,144	249,438	100	115.00	13.00	ConvSpread
EXELON CORPORATION	Americas	UTILITIES	1,147	5	432,608,403	3,771,052	100	123.00	(1.00)	ConvSpread
EXELON GENERATION COMPANY, LLC	Americas	UTILITIES	1,339	9	939,263,683	6,133,023	100	210.50	5.50	ConvSpread
EXPEDIA, INC.	Americas	CONSUMER SERVICES	2,005	4	899,028,120	(2,255,485)	100	205.00	10.00	ConvSpread
EXPERIAN FINANCE PLC	Europe	CONSUMER SERVICES	3,451	9	1,103,259,645	18,702,331	100	55.00	(5.00)	ConvSpread
EXXON MOBIL CORPORATION	Americas	OIL & GAS	473	0	496,662,061	(6,042,901)	100	35.00	0	ConvSpread
FAIRFAX MEDIA LIMITED	Australia NZ	CONSUMER SERVICES	429	0	242,083,367	2,135,298	500	475.00	5.00	ConvSpread
FCE BANK PLC	Europe	FINANCIALS	1,155	3	457,480,797	(109,695,637)	500	260.00	5.00	ConvSpread
FEDERAL REPUBLIC OF GERMANY	Europe	GOVERNMENT	3,885	(929)	19,222,547,384	314,337,822	25	88.50	2.50	ConvSpread
FEDERATIVE REPUBLIC OF BRAZIL	Americas	GOVERNMENT	11,526	(48)	17,801,106,790	(335,190,081)	100	146.50	0.50	ConvSpread
FEDEX CORPORATION	Americas	INDUSTRIALS	1,374	5	693,918,541	1,331,893	100	95.00	0	ConvSpread
FIAT S.P.A.	Europe	CONSUMER GOODS	3,790	30	837,334,481	5,653,570	500	11.50	1.75	Upfront
FINMECCANICA S.P.A.	Europe	INDUSTRIALS	2,602	10	672,056,702	6,500,929	500	620.00	15.00	ConvSpread
FIRST DATA CORPORATION	Americas	INDUSTRIALS	3,539	(389)	1,111,655,717	7,987,302	500	16.00	1.00	Upfront
FIRST INDUSTRIAL, L.P.	Americas	FINANCIALS	515	3	222,736,879	(3,980,294)	500	382.50	0	ConvSpread
FIRSTENERGY CORP.	Americas	UTILITIES	2,234	15	976,900,387	3,284,811	100	137.00	(0.50)	ConvSpread
FLEXTRONICS INTERNATIONAL LTD.	Americas	INDUSTRIALS	2,101	5	381,329,326	(352,922)	100	197.50	0	ConvSpread
FORD MOTOR COMPANY	Americas	CONSUMER GOODS	3,145	25	1,253,492,842	11,748,105	500	345.00	17.50	ConvSpread
FORD MOTOR CREDIT COMPANY LLC	Americas	FINANCIALS	2,632	(24)	690,971,106	(35,565,908)	100	262.50	5.00	ConvSpread
FOREST OIL CORPORATION	Americas	OIL & GAS	1,404	21	332,017,367	(11,777,258)	500	574.69	12.70	ConvSpread
FORTIS BANK	Europe	FINANCIALS	884	2	445,744,346	9,428,694	100	195.00	5.00	ConvSpread
FORTUM OYJ	Europe	UTILITIES	1,937	5	856,184,467	42,539,572	100	82.00	2.00	ConvSpread
FOSTER'S GROUP LIMITED	Australia NZ	CONSUMER GOODS	1,418	4	520,618,123	(4,661,109)	100	78.00	0	ConvSpread
FRANCE TELECOM	Europe	TELECOMMUNICATIONS	5,375	7	1,962,544,213	82,744,893	100	123.00	3.00	ConvSpread
FREEPORT-MCMORAN COPPER & GOLD INC.	Americas	BASIC MATERIALS	1,331	(18)	993,147,336	(20,992,797)	100	140.00	5.00	ConvSpread
FREESCALE SEMICONDUCTOR, INC.	Americas	TECHNOLOGY	2,388	83	519,207,029	31,889,168	500	11.75	1.25	Upfront
FRENCH REPUBLIC	Europe	GOVERNMENT	5,637	(1,674)	22,028,882,960	291,145,092	25	172.50	7.00	ConvSpread
FRESENIUS SE & CO. KGAA	Europe	HEALTH CARE	2,536	13	836,225,862	7,175,799	100	202.50	7.50	ConvSpread
FRONTIER COMMUNICATIONS CORPORATION	Americas	TELECOMMUNICATIONS	3,282	33	891,270,974	9,165,017	500	10.25	1.25	Upfront
FUJITSU LIMITED	Japan	TECHNOLOGY	673	12	442,658,721	(751,233)	100	76.00	0	ConvSpread
GANNETT CO., INC.	Americas	CONSUMER SERVICES	4,659	36	1,501,685,212	(4,414,145)	500	290.00	17.50	ConvSpread
GAS NATURAL SDG, S.A.	Europe	UTILITIES	4,189	15	1,534,387,153	20,471,954	100	237.50	20.00	ConvSpread
GATX CORPORATION	Americas	FINANCIALS	1,653	2	760,511,804	12,808,181	100	162.50	(3.00)	ConvSpread
GDF SUEZ	Europe	UTILITIES	3,932	15	2,515,193,518	39,108,853	100	130.00	2.00	ConvSpread
GECINA	Europe	FINANCIALS	1,656	4	452,977,467	7,915,008	100	265.00	25.00	ConvSpread
GENERAL DYNAMICS CORPORATION	Americas	INDUSTRIALS	598	(27)	340,644,731	(3,732,811)	100	64.50	(1.00)	ConvSpread
GENERAL ELECTRIC CAPITAL CORPORATION	Americas	FINANCIALS	7,254	11	10,553,485,052	4,118,449	100	199.00	14.00	ConvSpread
GENERAL MILLS, INC.	Americas	CONSUMER GOODS	1,874	52	649,485,198	5,209,112	100	36.50	(2.00)	ConvSpread
GENERAL MOTORS COMPANY	Americas	CONSUMER GOODS	353	18	425,100,000	(1,950,000)	500	385.00	5.00	ConvSpread
GENON ENERGY, INC.	Americas	UTILITIES	1,258	14	382,709,342	(14,497,426)	500	18.50	1.00	Upfront
GENON NORTH AMERICA, LLC	Americas	UTILITIES	790	1	204,599,258	(2,834,995)	100	180.00	3.00	ConvSpread
GENTING BHD.	Asia Ex-Japan	CONSUMER SERVICES	488	1	213,700,153	5,445,194	100	155.00	N/A	ConvSpread
GENWORTH FINANCIAL, INC.	Americas	FINANCIALS	2,077	17	728,242,710	5,587,697	500	4.00	0	Upfront
GEORGIA-PACIFIC LLC	Americas	CONSUMER GOODS	1,818	(5)	586,905,942	(2,696,642)	100	139.00	4.00	ConvSpread
GKN HOLDINGS PLC	Europe	CONSUMER GOODS	3,723	25	1,112,720,860	13,844,569	100	237.00	10.00	ConvSpread
GLAXOSMITHKLINE PLC	Europe	HEALTH CARE	1,040	1	575,764,566	(12,946,716)	100	57.00	4.50	ConvSpread
GLENCORE INTERNATIONAL AG	Europe	BASIC MATERIALS	4,824	108	2,142,420,850	119,040,632	100	355.50	13.00	ConvSpread
GOODRICH CORPORATION	Americas	INDUSTRIALS	1,948	13	798,046,981	3,032,208	100	13.00	1.50	ConvSpread
GPT RE LIMITED AS RESPONSIBLE ENTITY OF THE GENERAL PROPERTY TRUST	Australia NZ	FINANCIALS	748	3	457,259,065	429,756	100	240.00	(3.00)	ConvSpread
GROHE HOLDING GMBH	Europe	INDUSTRIALS	2,419	14	450,744,700	11,762,743	500	11.00	1.00	Upfront
GROUPE AUCHAN	Europe	CONSUMER SERVICES	2,192	3	637,375,803	(15,747,378)	100	112.50	7.50	ConvSpread
GS CALTEX CORPORATION	Asia Ex-Japan	OIL & GAS	675	3	354,330,920	5,725,788	100	185.00	N/A	ConvSpread
H. J. HEINZ COMPANY	Americas	CONSUMER GOODS	2,074	25	894,625,927	(1,761,673)	100	55.50	0.50	ConvSpread
HALLIBURTON COMPANY	Americas	OIL & GAS	2,147	30	787,414,898	8,653,226	100	92.00	1.00	ConvSpread
HAMMERSON PLC	Europe	FINANCIALS	1,594	3	449,286,930	10,613,865	100	190.00	5.00	ConvSpread
HANKYU HANSHIN HOLDINGS, INC.	Japan	CONSUMER SERVICES	356	11	295,629,965	(3,834,344)	100	90.00	1.00	ConvSpread
HANNOVER RUECKVERSICHERUNG AG	Europe	FINANCIALS	4,590	21	1,542,337,721	15,069,933	100	105.00	7.00	ConvSpread
HANSON LIMITED	Europe	INDUSTRIALS	3,060	5	1,025,142,205	14,993,882	100	212.50	7.00	ConvSpread
HASBRO, INC.	Americas	CONSUMER GOODS	1,298	2	392,189,857	685,521	100	172.00	2.00	ConvSpread
HAVAS	Europe	CONSUMER SERVICES	1,650	6	433,381,701	7,015,746	100	350.00	25.00	ConvSpread
HCA INC.	Americas	HEALTH CARE	2,527	4	802,386,170	7,929,927	500	(0.63)	(0.42)	Upfront
HCP, INC.	Americas	FINANCIALS	1,511	39	793,258,425	(3,070,799)	100	155.00	2.50	ConvSpread
HEALTH CARE REIT, INC.	Americas	FINANCIALS	773	7	372,978,774	9,241,462	100	182.50	7.50	ConvSpread
HEALTH MANAGEMENT ASSOCIATES, INC.	Americas	HEALTH CARE	1,458	13	276,513,276	10,639,077	500	2.00	0.25	Upfront
HEIDELBERGCEMENT AG	Europe	INDUSTRIALS	3,611	17	964,067,570	23,942,231	500	385.00	0	ConvSpread
HEINEKEN N.V.	Europe	CONSUMER GOODS	508	0	418,986,814	5,203,272	100	114.50	12.00	ConvSpread
HELLENIC REPUBLIC	Europe	GOVERNMENT	4,089	(259)	3,206,671,492	(15,768,357)	100	63.50	0	Upfront
HELLENIC TELECOMMUNICATIONS ORGANISATION SOCIETE ANONYME	Europe	TELECOMMUNICATIONS	4,667	61	1,021,762,899	(21,159,424)	500	34.00	3.00	Upfront
HENKEL AG & CO. KGAA	Europe	BASIC MATERIALS	2,187	13	1,037,516,773	26,377,708	100	68.50	2.50	ConvSpread
HESS CORPORATION	Americas	OIL & GAS	1,705	3	861,437,064	5,936,422	100	158.00	(1.50)	ConvSpread
HEWLETT-PACKARD COMPANY	Americas	TECHNOLOGY	2,263	17	1,224,962,075	5,768,206	100	96.50	(1.00)	ConvSpread
HITACHI, LTD.	Japan	INDUSTRIALS	870	18	464,610,346	1,986,157	100	71.00	0	ConvSpread
HOLCIM LTD	Europe	INDUSTRIALS	2,901	9	1,206,639,230	42,922,543	100	250.00	9.50	ConvSpread
HONDA MOTOR CO., LTD.	Japan	CONSUMER GOODS	1,051	16	833,239,343	(309,084)	100	66.00	0	ConvSpread
HONEYWELL INTERNATIONAL INC.	Americas	INDUSTRIALS	1,845	13	790,705,356	22,626,412	100	32.50	0	ConvSpread
HOSPITALITY PROPERTIES TRUST	Americas	FINANCIALS	512	9	264,754,498	(5,556,632)	100	240.00	(12.50)	ConvSpread
HOST HOTELS & RESORTS, L.P.	Americas	FINANCIALS	1,529	5	747,511,954	3,265,415	100	240.00	(5.00)	ConvSpread
HP ENTERPRISE SERVICES, LLC	Americas	TECHNOLOGY	1,768	1	535,434,143	(5,437,635)	100	32.50	5.00	ConvSpread
HSBC BANK PLC	Europe	FINANCIALS	2,651	4	1,503,628,448	5,327,177	100	126.00	6.00	ConvSpread
HSBC FINANCE CORPORATION	Americas	FINANCIALS	2,339	5	1,571,376,801	(173,150)	100	197.50	10.00	ConvSpread
HUMANA INC.	Americas	HEALTH CARE	1,052	1	306,496,561	3,386,880	100	130.00	8.00	ConvSpread
HUNTSMAN INTERNATIONAL LLC	Americas	BASIC MATERIALS	768	3	178,741,444	(4,662,675)	500	530.00	5.00	ConvSpread
HUSKY ENERGY INC.	Americas	OIL & GAS	630	18	304,224,280	2,685,220	100	135.00	0	ConvSpread
HUTCHISON WHAMPOA LIMITED	Asia Ex-Japan	CONSUMER SERVICES	4,635	13	2,282,402,217	17,705,314	100	160.00	3.00	ConvSpread
HYUNDAI MOTOR COMPANY	Asia Ex-Japan	CONSUMER GOODS	922	(18)	436,819,731	(25,245,754)	100	180.00	N/A	ConvSpread
IBERDROLA, S.A.	Europe	UTILITIES	2,975	(4)	1,313,966,816	21,698,467	100	242.50	15.00	ConvSpread
ILLINOIS TOOL WORKS INC.	Americas	INDUSTRIALS	285	0	207,409,760	254,845	100	68.00	4.00	ConvSpread
IMPERIAL TOBACCO GROUP PLC	Europe	CONSUMER GOODS	3,381	2	1,456,480,460	44,072,240	100	113.00	0.50	ConvSpread
INEOS GROUP HOLDINGS LIMITED	Europe	BASIC MATERIALS	3,008	26	565,083,411	14,049,698	500	13.25	1.25	Upfront
INFINEON TECHNOLOGIES HOLDING B.V.	Europe	TECHNOLOGY	1,078	6	230,030,069	(530,409)	500	225.00	N/A	ConvSpread
ING VERZEKERINGEN N.V.	Europe	FINANCIALS	602	2	818,970,763	14,001,071	100	137.50	0	ConvSpread
INGERSOLL-RAND COMPANY	Americas	INDUSTRIALS	2,685	13	1,870,127,540	8,918,198	100	32.00	1.50	ConvSpread
INTELSAT S.A.	Americas	TELECOMMUNICATIONS	1,541	3	401,826,310	(8,213,712)	500	320.00	10.00	ConvSpread
INTERNATIONAL BUSINESS MACHINES CORPORATION	Americas	TECHNOLOGY	2,333	19	1,351,342,012	22,239,338	100	38.50	0	ConvSpread
INTERNATIONAL GAME TECHNOLOGY	Americas	CONSUMER SERVICES	603	0	303,930,721	934,692	100	135.00	2.00	ConvSpread
INTERNATIONAL LEASE FINANCE CORPORATION	Americas	FINANCIALS	4,852	38	2,233,635,520	5,014,384	500	1.23	1.23	Upfront
INTERNATIONAL PAPER COMPANY	Americas	BASIC MATERIALS	3,662	16	1,675,279,227	187,564	100	118.00	(5.50)	ConvSpread
INTERNATIONAL POWER PLC	Europe	UTILITIES	1,196	2	291,519,357	(8,576,166)	100	145.00	5.00	ConvSpread
INTERVAL ACQUISITION CORP.	Americas	CONSUMER SERVICES	2,917	25	1,372,073,907	25,640,841	100	95.00	0	ConvSpread
INTESA SANPAOLO SPA	Europe	FINANCIALS	5,323	133	2,211,295,864	193,625,468	500	360.00	10.00	ConvSpread
INVENSYS PLC	Europe	INDUSTRIALS	1,262	1	258,644,996	4,515,209	100	135.00	0	ConvSpread
INVESTOR AKTIEBOLAG	Europe	FINANCIALS	1,147	0	421,570,556	6,604,479	100	95.00	0	ConvSpread
IRELAND	Europe	GOVERNMENT	2,690	(244)	3,610,958,432	45,693,300	100	617.50	5.00	ConvSpread
IRON MOUNTAIN INCORPORATED	Americas	INDUSTRIALS	831	3	265,389,074	1,980,178	500	315.00	10.00	ConvSpread
ISS A/S	Europe	INDUSTRIALS	1,935	6	291,252,639	2,184,306	500	0.20	0.41	Upfront
ISS GLOBAL A/S	Europe	FINANCIALS	755	1	183,685,227	852,028	100	290.00	N/A	ConvSpread
ISTAR FINANCIAL INC.	Americas	FINANCIALS	4,093	106	1,374,168,094	(53,915,040)	500	8.50	0	Upfront
ITOCHU CORPORATION	Japan	INDUSTRIALS	936	8	827,102,487	14,198,171	100	142.50	0	ConvSpread
ITV PLC	Europe	CONSUMER SERVICES	3,865	6	958,010,282	10,557,292	500	270.00	5.00	ConvSpread
J SAINSBURY PLC	Europe	CONSUMER SERVICES	3,003	15	875,676,507	40,176,056	100	118.00	(2.00)	ConvSpread
J. C. PENNEY COMPANY, INC.	Americas	CONSUMER SERVICES	3,235	32	1,148,279,294	21,793,542	100	300.50	3.00	ConvSpread
JAPAN	Japan	GOVERNMENT	6,860	73	9,000,777,675	30,628,052	100	136.00	4.00	ConvSpread
JAPAN TOBACCO INC.	Japan	CONSUMER GOODS	811	2	747,064,963	30,534	100	52.50	0.50	ConvSpread
JEMENA LIMITED	Australia NZ	UTILITIES	714	3	341,532,150	(17,386,191)	100	79.00	0	ConvSpread
JFE HOLDINGS, INC.	Japan	BASIC MATERIALS	281	5	474,600,728	(6,901,102)	100	145.50	(3.50)	ConvSpread
JFE STEEL CORPORATION	Japan	BASIC MATERIALS	814	20	879,906,024	(4,317,658)	100	146.00	(3.00)	ConvSpread
JOHN DEERE CAPITAL CORPORATION	Americas	INDUSTRIALS	648	2	345,099,837	(7,609,083)	100	70.00	7.00	ConvSpread
JOHNSON & JOHNSON	Americas	HEALTH CARE	1,248	1	1,250,559,194	3,103,200	100	42.50	2.00	ConvSpread
JOHNSON CONTROLS, INC.	Americas	CONSUMER GOODS	1,801	10	804,248,306	(10,206,032)	100	143.00	3.00	ConvSpread
JPMORGAN CHASE & CO.	Americas	FINANCIALS	7,942	92	5,580,196,172	31,522,306	100	127.50	8.00	ConvSpread
JSC "GAZPROM"	Europe	GOVERNMENT	5,723	(26)	2,472,000,061	95,495,958	100	290.00	4.50	ConvSpread
JSC VTB BANK	Europe	GOVERNMENT	2,325	6	1,773,721,815	(11,508,089)	100	445.00	(5.00)	ConvSpread
JTI (UK) FINANCE PLC	Europe	FINANCIALS	1,613	(1)	679,662,354	26,099,026	100	37.00	2.50	ConvSpread
K. HOVNANIAN ENTERPRISES, INC.	Americas	CONSUMER GOODS	3,648	19	954,645,276	(3,834,108)	500	49.75	1.25	Upfront
KAJIMA CORPORATION	Japan	INDUSTRIALS	469	3	250,683,194	(6,713,461)	100	220.00	5.00	ConvSpread
KAWASAKI HEAVY INDUSTRIES, LTD.	Japan	INDUSTRIALS	460	5	331,175,362	(275,257)	100	164.50	(1.00)	ConvSpread
KAWASAKI KISEN KAISHA, LTD.	Japan	INDUSTRIALS	352	(9)	289,929,611	(9,347,646)	500	495.00	0	ConvSpread
KB HOME	Americas	CONSUMER GOODS	3,194	20	815,730,634	(6,797,056)	500	4.25	1.00	Upfront
KBC BANK	Europe	FINANCIALS	336	0	331,986,470	5,906,763	500	380.00	0	ConvSpread
KELLOGG COMPANY	Americas	CONSUMER GOODS	616	3	283,668,830	(2,844,636)	100	60.50	0.50	ConvSpread
KERR-MCGEE CORPORATION	Americas	OIL & GAS	1,029	0	255,644,667	864,390	100	112.50	N/A	ConvSpread
KIMBERLY-CLARK CORPORATION	Americas	CONSUMER GOODS	1,737	4	943,053,606	3,322,372	100	61.50	1.50	ConvSpread
KIMCO REALTY CORPORATION	Americas	FINANCIALS	1,619	(11)	664,195,529	(24,755,761)	100	162.00	4.00	ConvSpread
KINDER MORGAN ENERGY PARTNERS, L.P.	Americas	OIL & GAS	1,672	2	710,256,173	2,738,209	100	190.00	1.00	ConvSpread
KINDER MORGAN KANSAS, INC.	Americas	OIL & GAS	1,868	6	847,049,500	19,580,500	100	270.00	7.50	ConvSpread
KINGDOM OF BELGIUM	Europe	GOVERNMENT	2,947	(404)	5,376,028,300	(36,746,784)	100	243.00	3.00	ConvSpread
KINGDOM OF DENMARK	Europe	GOVERNMENT	1,845	(293)	2,911,043,876	(25,498,551)	25	125.50	5.50	ConvSpread
KINGDOM OF NORWAY	Europe	GOVERNMENT	403	(87)	1,124,863,183	(21,138,700)	25	36.00	(8.50)	ConvSpread
KINGDOM OF SAUDI ARABIA	Europe	GOVERNMENT	238	6	437,050,000	51,350,000	100	140.00	2.50	ConvSpread
KINGDOM OF SPAIN	Europe	GOVERNMENT	5,961	(1,503)	14,432,191,953	18,364,764	100	379.50	20.50	ConvSpread
KINGDOM OF SWEDEN	Europe	GOVERNMENT	1,129	(209)	2,993,064,518	(5,409,433)	25	63.50	1.00	ConvSpread
KINGDOM OF THAILAND	Asia Ex-Japan	GOVERNMENT	2,582	9	1,152,460,318	14,041,066	100	170.50	2.50	ConvSpread
KINGDOM OF THE NETHERLANDS	Europe	GOVERNMENT	1,208	(305)	3,281,792,464	49,248,525	25	106.50	3.50	ConvSpread
KINGFISHER PLC	Europe	CONSUMER SERVICES	3,717	0	1,219,458,104	41,713,725	100	117.50	2.50	ConvSpread
KINTETSU CORPORATION	Japan	CONSUMER SERVICES	554	15	414,310,586	5,739,821	100	350.00	0	ConvSpread
KLEPIERRE	Europe	FINANCIALS	419	0	118,399,622	2,646,027	100	205.00	0	ConvSpread
KOBE STEEL, LTD.	Japan	BASIC MATERIALS	777	3	735,828,082	2,647,010	100	167.00	(3.00)	ConvSpread
KOHL'S CORPORATION	Americas	CONSUMER SERVICES	2,190	(1)	780,660,110	(3,792,413)	100	175.00	0	ConvSpread
KOMATSU LTD.	Japan	INDUSTRIALS	314	2	542,698,096	5,870,243	100	65.00	(2.00)	ConvSpread
KONINKLIJKE AHOLD N.V.	Europe	CONSUMER SERVICES	2,822	(2)	759,255,960	(13,183,770)	100	117.50	2.50	ConvSpread
KONINKLIJKE DSM N.V.	Europe	BASIC MATERIALS	3,907	37	1,476,917,201	71,250,409	100	65.00	1.50	ConvSpread
KONINKLIJKE KPN N.V.	Europe	TELECOMMUNICATIONS	4,827	(17)	1,430,306,514	30,670,788	100	132.00	2.00	ConvSpread
KONINKLIJKE PHILIPS ELECTRONICS N.V.	Europe	CONSUMER GOODS	3,381	14	1,532,413,545	29,425,365	100	93.50	3.50	ConvSpread
KOREA ELECTRIC POWER CORPORATION	Asia Ex-Japan	GOVERNMENT	1,142	4	377,766,981	(3,358,721)	100	165.00	N/A	ConvSpread
KRAFT FOODS INC.	Americas,Europe	CONSUMER GOODS	5,596	52	1,788,459,570	30,236,490	100	52.50	0	ConvSpread
KT CORPORATION	Asia Ex-Japan	TELECOMMUNICATIONS	685	3	295,775,323	6,264,747	100	165.00	N/A	ConvSpread
L'AIR LIQUIDE SOCIETE ANONYME POUR L'ETUDE ET L'EXPLOITATION DES PROCEDES GEORGES CLAUDE	Europe	BASIC MATERIALS	1,803	4	593,928,541	4,064,084	100	63.50	7.50	ConvSpread
L-3 COMMUNICATIONS CORPORATION	Americas	INDUSTRIALS	1,079	(3)	380,532,453	(3,506,046)	100	200.00	5.00	ConvSpread
LADBROKES PLC	Europe	CONSUMER SERVICES	2,608	2	594,924,973	1,537,632	100	280.00	(10.00)	ConvSpread
LAFARGE	Europe	INDUSTRIALS	5,130	46	1,583,687,925	(15,015,254)	100	370.00	15.50	ConvSpread
LANXESS AKTIENGESELLSCHAFT	Europe	BASIC MATERIALS	2,178	(3)	668,427,342	54,639,345	100	150.00	6.00	ConvSpread
LEBANESE REPUBLIC	Europe	GOVERNMENT	342	(8)	471,350,000	(9,450,000)	100	500.00	20.00	ConvSpread
LEGAL & GENERAL GROUP PLC	Europe	FINANCIALS	739	1	343,703,850	123,711	100	150.00	5.00	ConvSpread
LEND LEASE CORPORATION LTD	Australia NZ	FINANCIALS	771	9	385,295,252	5,498,669	100	430.00	5.00	ConvSpread
LENNAR CORPORATION	Americas	CONSUMER GOODS	5,071	42	1,605,777,937	64,849,346	500	300.00	20.00	ConvSpread
LEVEL 3 COMMUNICATIONS, INC.	Americas	TELECOMMUNICATIONS	1,112	8	313,543,742	(11,038,913)	500	7.25	1.25	Upfront
LEVI STRAUSS & CO.	Americas	CONSUMER GOODS	1,316	9	315,025,055	20,607,745	500	4.25	0.50	Upfront
LEXMARK INTERNATIONAL, INC.	Americas	TECHNOLOGY	811	1	345,354,936	(5,143,074)	100	180.00	(20.00)	ConvSpread
LIBERTY MUTUAL GROUP INC.	Americas	FINANCIALS	1,239	3	451,282,251	3,699,090	100	270.00	20.00	ConvSpread
LIBERTY MUTUAL INSURANCE COMPANY	Americas	FINANCIALS	1,689	18	684,971,726	(64,969)	100	190.00	(12.50)	ConvSpread
LIMITED BRANDS, INC.	Americas	CONSUMER SERVICES	4,513	25	1,504,385,768	(2,850,911)	100	185.00	(2.50)	ConvSpread
LINCOLN NATIONAL CORPORATION	Americas	FINANCIALS	1,360	13	669,703,894	6,871,996	100	297.50	15.00	ConvSpread
LINDE AKTIENGESELLSCHAFT	Europe	BASIC MATERIALS	3,095	6	948,071,315	18,384,165	100	57.50	2.50	ConvSpread
LIZ CLAIBORNE, INC.	Americas	CONSUMER GOODS	3,579	35	1,019,258,452	7,217,372	500	427.50	22.50	ConvSpread
LLOYDS TSB BANK PLC	Europe	FINANCIALS	3,356	41	1,572,453,840	53,971,339	100	253.50	16.00	ConvSpread
LOCKHEED MARTIN CORPORATION	Americas	INDUSTRIALS	1,835	11	1,342,717,237	7,863,916	100	90.00	0	ConvSpread
LOEWS CORPORATION	Americas	FINANCIALS	2,064	16	636,373,692	(1,684,345)	100	67.00	3.00	ConvSpread
LOUISIANA-PACIFIC CORPORATION	Americas	INDUSTRIALS	3,313	17	1,162,752,883	7,094,367	100	265.00	0	ConvSpread
LOWE'S COMPANIES, INC.	Americas	CONSUMER SERVICES	1,818	(3)	1,090,577,754	42,467,708	100	84.50	2.50	ConvSpread
LVMH MOET HENNESSY LOUIS VUITTON	Europe	CONSUMER GOODS	2,666	12	853,823,949	27,891,505	100	82.00	2.00	ConvSpread
M-REAL OYJ	Europe	BASIC MATERIALS	2,453	13	510,253,687	12,677,229	500	13.00	0.50	Upfront
M.D.C. HOLDINGS, INC.	Americas	CONSUMER GOODS	2,081	(16)	827,571,285	10,649,991	100	275.00	0	ConvSpread
MACQUARIE BANK LIMITED	Australia NZ	FINANCIALS	1,869	4	665,593,863	(6,068,991)	100	255.00	(5.00)	ConvSpread
MACY'S, INC.	Americas	CONSUMER SERVICES	4,219	23	1,883,891,124	9,730,779	100	115.00	0	ConvSpread
MALAYSIA	Asia Ex-Japan	GOVERNMENT	2,616	11	1,135,157,643	5,418,313	100	137.50	3.00	ConvSpread
MAN GROUP PLC	Europe	FINANCIALS	973	11	428,967,364	7,340,690	100	310.00	N/A	ConvSpread
MANOR CARE, INC.	Americas	HEALTH CARE	1,187	0	548,774,417	1,123,379	100	275.00	0	ConvSpread
MARATHON OIL CORPORATION	Americas	OIL & GAS	1,157	2	294,882,409	1,155,221	100	129.00	(1.50)	ConvSpread
MARKS AND SPENCER P.L.C.	Europe	CONSUMER SERVICES	4,228	(2)	1,627,581,686	7,078,235	100	198.00	1.00	ConvSpread
MARRIOTT INTERNATIONAL, INC.	Americas	CONSUMER SERVICES	2,740	16	1,426,940,401	38,242,870	100	100.00	(5.00)	ConvSpread
MARSH & MCLENNAN COMPANIES, INC.	Americas	FINANCIALS	2,734	17	1,068,606,932	(19,067,807)	100	52.50	4.50	ConvSpread
MARTIN MARIETTA MATERIALS, INC.	Americas	INDUSTRIALS	541	5	260,342,712	(8,084,087)	100	230.00	5.00	ConvSpread
MARUBENI CORPORATION	Japan	INDUSTRIALS	862	8	873,388,670	(451,412)	100	240.00	0	ConvSpread
MASCO CORPORATION	Americas	INDUSTRIALS	3,356	24	1,772,244,926	37,219,618	500	315.00	10.00	ConvSpread
MATTEL, INC.	Americas	CONSUMER GOODS	1,596	9	614,717,815	(68,260)	100	103.00	(2.00)	ConvSpread
MBIA INC.	Americas	FINANCIALS	4,236	164	1,253,344,856	(38,821,364)	500	9.25	0.50	Upfront
MBIA INSURANCE CORPORATION	Americas	FINANCIALS	8,029	164	3,418,700,943	32,258,827	500	27.75	1.00	Upfront
MCDONALD'S CORPORATION	Americas	CONSUMER SERVICES	2,082	28	1,079,294,157	28,525,907	100	21.50	(0.50)	ConvSpread
MCKESSON CORPORATION	Americas	CONSUMER SERVICES	2,368	33	751,438,548	52,331,409	100	32.50	2.00	ConvSpread
MEADWESTVACO CORPORATION	Americas	INDUSTRIALS	3,396	(158)	1,534,167,351	2,247,966	100	118.00	(4.00)	ConvSpread
MEDCO HEALTH SOLUTIONS, INC.	Americas	HEALTH CARE	769	2	328,554,676	5,602,196	100	37.50	0	ConvSpread
MEDIACOM LLC	Americas	CONSUMER SERVICES	971	41	246,336,738	(4,077,239)	500	540.00	20.00	ConvSpread
MEDIOBANCA BANCA DI CREDITO FINANZIARIO SOCIETA PER AZIONI	Europe	FINANCIALS	514	20	363,248,533	(6,724,798)	500	385.00	0	ConvSpread
MEDTRONIC, INC.	Americas	HEALTH CARE	1,168	1	823,427,240	11,682,819	100	77.00	2.50	ConvSpread
MELIA HOTELS INTERNATIONAL, S.A.	Europe	CONSUMER SERVICES	2,399	10	520,821,892	14,826,063	500	11.50	0	Upfront
MERCK & CO., INC.	Americas	HEALTH CARE	1,074	0	386,199,227	1,786,237	100	67.00	(3.50)	ConvSpread
MERCK KOMMANDITGESELLSCHAFT AUF AKTIEN	Europe	HEALTH CARE	413	(1)	366,770,614	176,944	100	102.50	(2.50)	ConvSpread
MERITOR, INC.	Americas	CONSUMER GOODS	2,366	21	417,209,590	(3,315,925)	500	16.75	1.25	Upfront
MERRILL LYNCH & CO., INC.	Americas	FINANCIALS	4,753	0	3,255,042,534	17,442,311	500	312.50	2.50	ConvSpread
METLIFE, INC.	Americas	FINANCIALS	4,046	43	4,609,045,168	9,054,133	100	282.50	17.50	ConvSpread
METRO AG	Europe	CONSUMER SERVICES	3,438	39	1,531,820,671	6,176,364	100	213.00	8.00	ConvSpread
METSO OYJ	Europe	INDUSTRIALS	1,574	(1)	448,920,948	5,908,282	100	178.00	6.00	ConvSpread
MGIC INVESTMENT CORPORATION	Americas	FINANCIALS	4,240	93	1,504,220,775	19,515,701	500	35.50	0	Upfront
MGM RESORTS INTERNATIONAL	Americas	CONSUMER SERVICES	3,452	32	1,004,483,957	(18,137,987)	500	6.50	0.50	Upfront
MITSUBISHI CORPORATION	Japan	INDUSTRIALS	776	6	753,610,233	(5,902,684)	100	77.00	0	ConvSpread
MITSUBISHI ESTATE COMPANY, LIMITED	Japan	FINANCIALS	469	3	421,437,804	8,553,262	100	76.00	1.00	ConvSpread
MITSUBISHI HEAVY INDUSTRIES, LTD.	Japan	INDUSTRIALS	539	5	737,265,013	(7,161,839)	100	77.00	0	ConvSpread
MITSUI & CO., LTD.	Japan	INDUSTRIALS	932	2	825,326,177	(401,245)	100	77.00	0	ConvSpread
MITSUI CHEMICALS, INC.	Japan	BASIC MATERIALS	338	1	318,971,282	(263,342)	100	100.00	0	ConvSpread
MITSUI FUDOSAN CO., LTD.	Japan	FINANCIALS	455	2	399,042,040	(320,855)	100	85.00	1.00	ConvSpread
MITSUI O.S.K. LINES, LTD.	Japan	INDUSTRIALS	710	21	949,713,300	32,475,959	100	220.00	5.00	ConvSpread
MITSUI SUMITOMO INSURANCE COMPANY, LIMITED	Japan	FINANCIALS	393	3	655,828,804	(6,939,670)	100	65.00	0	ConvSpread
MIZUHO CORPORATE BANK, LTD.	Japan	FINANCIALS	1,904	9	758,765,840	(10,170,495)	100	160.00	5.00	ConvSpread
MOHAWK INDUSTRIES, INC.	Americas	CONSUMER GOODS	1,863	0	762,704,179	2,613,516	100	195.00	5.00	ConvSpread
MOLSON COORS BREWING COMPANY	Americas	CONSUMER GOODS	654	25	316,744,232	10,575,531	100	74.50	0	ConvSpread
MONSANTO COMPANY	Americas	BASIC MATERIALS	705	(14)	533,820,501	8,043,648	100	75.00	0	ConvSpread
MORGAN STANLEY	Americas	FINANCIALS	7,203	68	4,088,452,161	(108,637,447)	500	300.00	10.00	ConvSpread
MOTOROLA SOLUTIONS, INC.	Americas	TECHNOLOGY	3,285	36	1,230,408,727	(8,483,327)	100	101.50	5.00	ConvSpread
MTR CORPORATION LIMITED	Asia Ex-Japan	CONSUMER SERVICES	364	0	146,307,923	115,069	100	90.00	N/A	ConvSpread
MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AKTIENGESELLSCHAFT IN MUENCHEN	Europe	FINANCIALS	5,135	28	1,544,926,194	54,027,379	100	77.00	7.50	ConvSpread
MURPHY OIL CORPORATION	Americas	OIL & GAS	555	17	257,331,984	(1,984,007)	100	120.50	1.00	ConvSpread
NABORS INDUSTRIES, INC.	Americas	OIL & GAS	2,619	(1)	1,217,170,394	(26,718,076)	100	185.50	14.00	ConvSpread
NALCO COMPANY	Americas	UTILITIES	1,124	1	227,666,563	(2,810,798)	100	70.00	0	ConvSpread
NATIONAL AUSTRALIA BANK LIMITED	Australia NZ	FINANCIALS	1,624	10	1,709,335,177	(9,956,883)	100	157.00	(6.00)	ConvSpread
NATIONAL GRID PLC	Europe	UTILITIES	2,544	(11)	912,885,543	(11,989,425)	100	70.00	0	ConvSpread
NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION	Americas	FINANCIALS	2,222	252	973,380,612	(4,647,686)	100	93.00	(2.00)	ConvSpread
NATIXIS	Europe	FINANCIALS	537	1	597,225,474	3,173,091	100	210.00	N/A	ConvSpread
NEC CORPORATION	Japan	TECHNOLOGY	768	10	287,999,006	3,737,663	100	208.00	3.00	ConvSpread
NESTLE S.A.	Europe	CONSUMER GOODS	2,131	12	1,072,100,144	(16,726,959)	100	38.00	0	ConvSpread
NEW ALBERTSON'S, INC.	Americas	CONSUMER SERVICES	2,039	6	476,658,576	(14,575,704)	500	13.50	0.50	Upfront
NEW ZEALAND	Australia NZ	GOVERNMENT	380	0	585,495,713	798,002	100	87.00	2.00	ConvSpread
NEWELL RUBBERMAID INC.	Americas	CONSUMER GOODS	2,816	13	1,187,328,559	(5,451,845)	100	102.00	(5.00)	ConvSpread
NEWMONT MINING CORPORATION	Americas	BASIC MATERIALS	773	(41)	516,063,759	(4,558,626)	100	105.00	(2.50)	ConvSpread
NEWS AMERICA INCORPORATED	Americas	CONSUMER SERVICES	2,509	17	834,279,374	19,009,941	100	70.50	(2.00)	ConvSpread
NEXEN INC.	Americas	OIL & GAS	1,396	42	405,916,248	(9,984,622)	100	180.00	2.00	ConvSpread
NEXT PLC	Europe	CONSUMER SERVICES	2,848	13	795,652,667	503,175	100	154.50	1.50	ConvSpread
NIPPON PAPER GROUP, INC.	Japan	BASIC MATERIALS	607	2	648,280,519	(543,745)	100	172.50	0	ConvSpread
NIPPON STEEL CORPORATION	Japan	BASIC MATERIALS	1,263	56	1,273,472,727	39,243,548	100	150.00	(2.00)	ConvSpread
NIPPON YUSEN KABUSHIKI KAISHA	Japan	INDUSTRIALS	609	18	800,262,894	(671,221)	100	215.00	5.00	ConvSpread
NISOURCE FINANCE CORP.	Americas	OIL & GAS	990	2	307,497,931	1,514,709	100	137.50	10.00	ConvSpread
NISSAN MOTOR CO., LTD.	Japan	CONSUMER GOODS	1,278	21	1,037,046,964	10,683,038	100	115.00	2.00	ConvSpread
NOBLE CORPORATION	Americas	OIL & GAS	542	1	272,858,539	(4,619,692)	100	102.50	0	ConvSpread
NOBLE ENERGY, INC.	Americas	OIL & GAS	596	1	271,915,493	(349,572)	100	133.00	1.00	ConvSpread
NOBLE GROUP LIMITED	Asia Ex-Japan	BASIC MATERIALS	1,476	3	631,826,692	(3,707,604)	500	550.00	N/A	ConvSpread
NOKIA OYJ	Europe	TECHNOLOGY	2,010	7	1,005,716,577	4,849,757	100	332.50	15.00	ConvSpread
NOMURA SECURITIES CO., LTD.	Japan	FINANCIALS	548	2	691,398,383	(29,531)	100	290.00	0	ConvSpread
NORBORD INC.	Americas	INDUSTRIALS	1,694	0	581,707,565	548,477	500	(0.43)	1.05	Upfront
NORDEA BANK AB	Europe	FINANCIALS	347	2	450,181,089	20,641,255	100	130.00	N/A	ConvSpread
NORDSTROM, INC.	Americas	CONSUMER SERVICES	3,254	18	1,779,763,510	6,195,104	100	96.50	1.50	ConvSpread
NORFOLK SOUTHERN CORPORATION	Americas	INDUSTRIALS	2,378	17	1,330,146,265	7,487,708	100	37.50	1.00	ConvSpread
NORSKE SKOGINDUSTRIER ASA	Europe	BASIC MATERIALS	4,033	19	667,451,390	(2,856,179)	500	33.50	0.50	Upfront
NORTHROP GRUMMAN CORPORATION	Americas	INDUSTRIALS	1,854	(14)	806,319,102	7,821,805	100	59.00	(2.50)	ConvSpread
NOVA CHEMICALS CORPORATION	Americas	BASIC MATERIALS	1,472	(72)	414,388,430	17,602,086	500	310.00	0	ConvSpread
NOVARTIS AG	Europe	HEALTH CARE	1,118	1	417,167,719	(11,181,624)	100	36.00	(0.50)	ConvSpread
NRG ENERGY, INC.	Americas	UTILITIES	1,503	32	608,993,148	19,306,451	500	8.25	1.00	Upfront
NUCOR CORPORATION	Americas	BASIC MATERIALS	2,152	6	1,251,522,268	(3,724,865)	100	105.00	2.50	ConvSpread
NXP B.V.	Europe	TECHNOLOGY	2,313	18	412,973,693	22,742,054	500	7.50	0.50	Upfront
OBAYASHI CORPORATION	Japan	INDUSTRIALS	442	4	284,125,997	(237,381)	100	143.50	1.00	ConvSpread
OCCIDENTAL PETROLEUM CORPORATION	Americas	OIL & GAS	1,171	25	423,842,139	13,245,800	100	58.00	1.50	ConvSpread
OFFICE DEPOT, INC.	Americas	CONSUMER SERVICES	1,630	4	466,711,645	(24,907,595)	500	8.75	(0.25)	Upfront
OJI PAPER CO., LTD.	Japan	BASIC MATERIALS	247	5	267,517,882	(5,425,686)	100	65.00	0	ConvSpread
OLD MUTUAL PUBLIC LIMITED COMPANY	Europe	FINANCIALS	1,228	(1)	559,769,353	21,005,037	100	170.00	0	ConvSpread
OLIN CORPORATION	Americas	BASIC MATERIALS	2,427	11	986,021,811	16,033,003	100	155.00	(15.00)	ConvSpread
OMNICOM GROUP INC.	Americas	CONSUMER SERVICES	2,388	26	979,609,340	30,265,432	100	57.50	2.00	ConvSpread
ONEOK PARTNERS, L.P.	Americas	OIL & GAS	546	1	288,912,434	1,543,232	100	163.00	0.50	ConvSpread
ONEOK, INC.	Americas	UTILITIES	1,335	1	592,107,056	(2,725,296)	100	122.00	(3.00)	ConvSpread
ONO FINANCE II PUBLIC LIMITED COMPANY	Europe	FINANCIALS	2,275	35	363,367,179	20,100,703	500	18.00	3.00	Upfront
ORACLE AMERICA, INC.	Americas	TECHNOLOGY	1,038	0	248,873,988	150,524	100	25.00	0	ConvSpread
ORIX CORPORATION	Japan	FINANCIALS	1,985	19	969,556,750	5,424,581	100	235.00	0	ConvSpread
OWENS-ILLINOIS, INC.	Americas	INDUSTRIALS	825	7	267,932,851	3,624,824	500	400.00	10.00	ConvSpread
PACIFIC GAS AND ELECTRIC COMPANY	Americas	UTILITIES	884	99	698,848,878	22,704,765	100	139.50	2.00	ConvSpread
PACKAGING CORPORATION OF AMERICA	Americas	INDUSTRIALS	1,173	1	403,461,699	12,327,119	100	113.00	(4.00)	ConvSpread
PACTIV CORPORATION	Americas	INDUSTRIALS	1,449	2	461,730,532	(1,559,159)	500	2.00	(0.03)	Upfront
PANASONIC CORPORATION	Japan	CONSUMER GOODS	337	0	376,089,776	(315,440)	100	95.00	0	ConvSpread
PARKER DRILLING COMPANY	Americas	OIL & GAS	611	13	296,657,499	(2,000,000)	500	345.00	25.00	ConvSpread
PCCW-HKT TELEPHONE LIMITED	Asia Ex-Japan	TELECOMMUNICATIONS	1,425	2	640,993,530	(9,466,897)	100	215.00	N/A	ConvSpread
PEABODY ENERGY CORPORATION	Americas	BASIC MATERIALS	661	(46)	184,481,055	(2,756,858)	100	330.00	5.00	ConvSpread
PEARSON PLC	Europe	CONSUMER SERVICES	3,948	9	1,235,851,356	19,998,658	100	52.00	0	ConvSpread
PEOPLE'S REPUBLIC OF CHINA	Asia Ex-Japan	GOVERNMENT	7,443	(1)	8,851,877,654	(326,492,185)	100	139.50	2.00	ConvSpread
PEPCO HOLDINGS, INC.	Americas	UTILITIES	818	1	206,590,182	2,418,910	100	118.00	0.50	ConvSpread
PEPSICO, INC.	Americas	CONSUMER GOODS	742	9	518,456,495	9,007,835	100	61.50	(0.50)	ConvSpread
PERNOD RICARD	Europe	CONSUMER GOODS	2,594	6	727,849,891	11,044,124	100	135.50	3.00	ConvSpread
PETROLEOS MEXICANOS	Americas	GOVERNMENT	3,843	9	1,730,791,497	73,425,856	100	163.00	N/A	ConvSpread
PETROLIAM NASIONAL BERHAD (PETRONAS)	Asia Ex-Japan	OIL & GAS	990	3	461,860,257	8,048,565	100	133.00	N/A	ConvSpread
PEUGEOT SA	Europe	CONSUMER GOODS	4,643	30	1,833,172,531	27,102,418	100	540.00	30.00	ConvSpread
PFIZER INC.	Americas	HEALTH CARE	1,700	6	1,093,957,428	18,665,944	100	73.00	(5.50)	ConvSpread
PHILIP MORRIS INTERNATIONAL INC.	Americas	CONSUMER GOODS	221	2	591,704,658	1,114,629	100	80.50	3.50	ConvSpread
PIONEER NATURAL RESOURCES COMPANY	Americas	OIL & GAS	1,540	(5)	390,033,251	(6,084,820)	100	145.00	12.50	ConvSpread
PITNEY BOWES INC.	Americas	TECHNOLOGY	2,541	(2)	1,390,581,809	20,891,845	100	272.50	5.00	ConvSpread
POLYONE CORPORATION	Americas	BASIC MATERIALS	890	(80)	230,457,771	(6,750,664)	500	377.00	4.00	ConvSpread
PORSCHE AUTOMOBIL HOLDING SE	Europe	CONSUMER GOODS	1,644	13	1,171,237,902	34,967,663	100	180.00	0	ConvSpread
PORTUGAL TELECOM INTERNATIONAL FINANCE B.V.	Europe	TELECOMMUNICATIONS	4,615	126	1,268,090,081	(11,269,863)	500	16.75	1.75	Upfront
PORTUGUESE REPUBLIC	Europe	GOVERNMENT	3,449	(504)	5,000,745,410	(57,961,357)	100	1,475.00	60.00	ConvSpread
POSCO	Asia Ex-Japan	BASIC MATERIALS	1,566	5	577,117,137	15,008,889	100	165.00	N/A	ConvSpread
POSTNL N.V.	Europe	INDUSTRIALS	2,775	10	1,045,781,115	27,587,383	100	240.00	N/A	ConvSpread
POTASH CORPORATION OF SASKATCHEWAN INC.	Americas	BASIC MATERIALS	1,006	1	466,986,765	278,271	100	100.00	0	ConvSpread
PPG INDUSTRIES, INC.	Americas	BASIC MATERIALS	2,182	(43)	573,106,797	2,992,982	100	75.50	0.50	ConvSpread
PPL ENERGY SUPPLY, LLC	Americas	UTILITIES	1,381	1	561,226,137	494,988	100	214.00	2.00	ConvSpread
PPR	Europe	CONSUMER SERVICES	3,528	21	1,520,946,591	54,400,507	100	152.50	4.50	ConvSpread
PRAXAIR, INC.	Americas	BASIC MATERIALS	610	(33)	266,022,185	451,231	100	60.50	0.50	ConvSpread
PRIDE INTERNATIONAL, INC.	Americas	OIL & GAS	1,032	4	385,201,265	16,023,121	100	100.00	5.00	ConvSpread
PROGRESS ENERGY, INC.	Americas	UTILITIES	1,961	18	672,728,441	31,131,095	100	21.50	0.50	ConvSpread
PROLOGIS, L.P.	Americas	FINANCIALS	2,094	86	940,012,844	3,773,418	100	197.00	14.50	ConvSpread
PROMISE CO., LTD.	Japan	FINANCIALS	2,404	17	595,941,195	(13,376,792)	100	140.00	0	ConvSpread
PROSIEBENSAT.1 MEDIA AG	Europe	CONSUMER SERVICES	1,034	46	223,360,571	72,673,506	500	465.00	10.00	ConvSpread
PRUDENTIAL FINANCIAL, INC.	Americas	FINANCIALS	1,793	8	978,540,730	(29,160,573)	100	239.50	12.00	ConvSpread
PRUDENTIAL PUBLIC LIMITED COMPANY	Europe	FINANCIALS	1,681	1	663,992,296	19,050,577	100	135.00	(15.00)	ConvSpread
PSEG POWER LLC	Americas	UTILITIES	1,182	0	354,817,824	2,312,584	100	190.00	2.00	ConvSpread
PUBLICIS GROUPE SA	Europe	CONSUMER SERVICES	2,412	(2)	688,162,622	16,814,006	100	120.00	5.00	ConvSpread
PULTEGROUP, INC.	Americas	CONSUMER GOODS	4,888	26	1,713,184,129	(11,158,189)	500	365.00	5.00	ConvSpread
QANTAS AIRWAYS LIMITED	Australia NZ	CONSUMER SERVICES	3,803	10	1,326,921,273	25,443,493	100	330.00	2.00	ConvSpread
QBE INSURANCE GROUP LIMITED	Australia NZ	FINANCIALS	1,116	16	615,007,365	(23,290,601)	100	355.00	(5.00)	ConvSpread
QUEST DIAGNOSTICS INCORPORATED	Americas	HEALTH CARE	1,600	25	706,852,722	43,409,375	100	82.50	(1.50)	ConvSpread
QWEST CAPITAL FUNDING, INC.	Americas	TELECOMMUNICATIONS	867	18	189,573,371	(1,763,174)	100	235.00	7.50	ConvSpread
QWEST CORPORATION	Americas	TELECOMMUNICATIONS	1,415	39	664,103,785	6,350,460	100	225.00	5.00	ConvSpread
R.R. DONNELLEY & SONS COMPANY	Americas	INDUSTRIALS	3,757	55	1,537,414,765	38,086,079	500	12.00	1.00	Upfront
RADIAN GROUP INC.	Americas	FINANCIALS	5,539	130	1,668,087,330	18,806,684	500	47.50	0	Upfront
RADIOSHACK CORPORATION	Americas	CONSUMER SERVICES	3,351	30	920,100,817	(47,150,193)	500	8.75	0.25	Upfront
RAIFFEISEN BANK INTERNATIONAL AG	Europe	FINANCIALS	552	(4)	311,798,931	9,269,476	500	335.00	5.00	ConvSpread
RALLYE	Europe	CONSUMER SERVICES	2,095	9	815,532,286	16,451,172	500	4.00	0	Upfront
RAYTHEON COMPANY	Americas	INDUSTRIALS	1,682	14	885,410,225	(4,816,752)	100	59.00	(2.50)	ConvSpread
REALOGY CORPORATION	Americas	FINANCIALS	1,577	25	538,072,264	(15,387,125)	500	22.00	3.50	Upfront
REED ELSEVIER PLC	Europe	CONSUMER SERVICES	3,386	10	1,019,088,808	20,210,767	100	64.00	N/A	ConvSpread
RENAULT	Europe	CONSUMER GOODS	4,593	20	1,398,034,360	(30,796,408)	100	417.50	22.50	ConvSpread
RENTOKIL INITIAL PLC	Europe	INDUSTRIALS	2,591	15	984,421,128	22,807,637	100	190.00	N/A	ConvSpread
REPSOL YPF, S.A.	Europe	OIL & GAS	3,234	13	1,253,067,264	86,374,538	100	165.00	9.00	ConvSpread
REPUBLIC OF AUSTRIA	Europe	GOVERNMENT	2,237	(449)	5,985,763,769	74,127,922	100	174.00	6.50	ConvSpread
REPUBLIC OF BULGARIA	Europe	GOVERNMENT	1,982	(3)	724,692,296	(21,675,017)	500	357.50	20.00	ConvSpread
REPUBLIC OF CHILE	Americas	GOVERNMENT	571	(1)	558,960,415	4,642,486	100	119.50	N/A	ConvSpread
REPUBLIC OF COLOMBIA	Americas	GOVERNMENT	2,996	(35)	1,653,860,588	82,485,562	100	140.00	N/A	ConvSpread
REPUBLIC OF CROATIA	Europe	GOVERNMENT	1,147	4	708,515,237	252,375,858	500	500.00	12.50	ConvSpread
REPUBLIC OF ESTONIA	Europe	GOVERNMENT	401	0	394,226,029	2,648,336	100	135.00	5.00	ConvSpread
REPUBLIC OF FINLAND	Europe	GOVERNMENT	693	(110)	2,622,557,939	26,544,520	25	66.50	1.00	ConvSpread
REPUBLIC OF HUNGARY	Europe	GOVERNMENT	5,977	69	2,346,246,036	(199,772,048)	500	590.00	6.50	ConvSpread
REPUBLIC OF ICELAND	Europe	GOVERNMENT	946	(28)	806,029,093	(10,684,924)	100	270.00	N/A	ConvSpread
REPUBLIC OF INDONESIA	Asia Ex-Japan	GOVERNMENT	5,418	35	2,976,324,638	(52,508,676)	100	180.50	2.50	ConvSpread
REPUBLIC OF ITALY	Europe	GOVERNMENT	8,224	(1,622)	22,202,462,236	760,484,610	500	425.00	20.00	ConvSpread
REPUBLIC OF KAZAKHSTAN	Europe	GOVERNMENT	1,788	(5)	927,116,320	45,639,671	100	265.00	6.50	ConvSpread
REPUBLIC OF KOREA	Asia Ex-Japan	GOVERNMENT	7,806	53	5,022,681,257	85,089,644	100	153.00	2.00	ConvSpread
REPUBLIC OF LATVIA	Europe	GOVERNMENT	1,130	(1)	574,152,292	1,003,938	100	320.00	5.00	ConvSpread
REPUBLIC OF LITHUANIA	Europe	GOVERNMENT	777	1	631,197,203	13,885,985	100	325.00	2.50	ConvSpread
REPUBLIC OF PANAMA	Americas	GOVERNMENT	1,093	(20)	673,993,013	(40,446,951)	100	136.00	N/A	ConvSpread
REPUBLIC OF PERU	Americas	GOVERNMENT	2,725	(14)	1,867,339,376	(24,758,613)	100	167.00	N/A	ConvSpread
REPUBLIC OF POLAND	Europe	GOVERNMENT	3,590	25	1,786,175,116	(19,943,776)	100	245.00	7.00	ConvSpread
REPUBLIC OF SLOVENIA	Europe	GOVERNMENT	496	0	738,079,858	2,188,069	100	397.50	12.50	ConvSpread
REPUBLIC OF SOUTH AFRICA	Europe	GOVERNMENT	5,090	(5)	2,215,786,579	55,283,610	100	190.00	10.50	ConvSpread
REPUBLIC OF THE PHILIPPINES	Asia Ex-Japan	GOVERNMENT	6,224	31	2,430,066,908	(42,600,974)	100	176.50	2.00	ConvSpread
REPUBLIC OF TURKEY	Europe	GOVERNMENT	9,154	30	5,061,078,799	(146,955,093)	100	279.00	4.50	ConvSpread
REPUBLIC SERVICES, INC.	Americas	INDUSTRIALS	1,140	1	731,531,951	453,315	100	120.00	(2.00)	ConvSpread
RESIDENTIAL CAPITAL, LLC	Americas	FINANCIALS	3,873	49	1,203,728,067	37,534,278	500	38.25	0.25	Upfront
RESONA BANK, LIMITED	Japan	FINANCIALS	798	5	311,163,800	1,488,145	100	270.00	5.00	ConvSpread
REXAM PLC	Europe	INDUSTRIALS	2,171	3	712,125,299	11,309,880	100	115.00	0	ConvSpread
REYNOLDS AMERICAN INC.	Americas	CONSUMER GOODS	1,594	3	737,344,779	(10,157,158)	100	170.00	5.50	ConvSpread
RHODIA	Europe	BASIC MATERIALS	2,770	(12)	398,143,423	5,686,120	100	85.00	4.50	ConvSpread
RIO TINTO ALCAN INC.	Americas	BASIC MATERIALS	2,167	15	1,053,668,979	11,420,639	100	15.00	(1.50)	ConvSpread
RIO TINTO LIMITED	Australia NZ	BASIC MATERIALS	2,726	1	1,495,181,278	(63,102,707)	100	147.00	(3.50)	ConvSpread
RITE AID CORPORATION	Americas	CONSUMER SERVICES	1,958	6	634,311,244	7,394,352	500	9.75	0.75	Upfront
ROGERS COMMUNICATIONS INC.	Americas	TELECOMMUNICATIONS	799	2	634,747,677	4,891,883	100	67.50	(7.50)	ConvSpread
ROHM AND HAAS COMPANY	Americas	BASIC MATERIALS	2,347	15	1,059,128,645	13,771,190	100	25.00	N/A	ConvSpread
ROLLS-ROYCE PLC	Europe	INDUSTRIALS	1,904	4	578,865,062	28,702,274	100	90.00	1.00	ConvSpread
ROMANIA	Europe	GOVERNMENT	1,876	2	1,032,826,744	5,169,746	100	407.50	12.50	ConvSpread
ROYAL & SUN ALLIANCE INSURANCE PLC	Europe	FINANCIALS	1,857	0	428,811,431	(8,374,580)	100	125.00	0	ConvSpread
ROYAL CARIBBEAN CRUISES LTD.	Americas	CONSUMER SERVICES	3,265	13	1,491,281,249	(21,775,797)	500	502.50	17.50	ConvSpread
ROYAL DUTCH SHELL PLC	Europe	OIL & GAS	1,191	4	1,567,268,665	17,986,978	100	79.50	1.50	ConvSpread
RPM INTERNATIONAL INC.	Americas	BASIC MATERIALS	1,426	(24)	498,285,401	1,378,188	100	145.00	5.00	ConvSpread
RUSSIAN FEDERATION	Europe	GOVERNMENT	8,554	43	4,079,239,743	17,838,419	100	226.00	8.50	ConvSpread
RWE AKTIENGESELLSCHAFT	Europe	UTILITIES	3,103	2	981,922,100	(15,484,803)	100	138.00	6.00	ConvSpread
RYDER SYSTEM, INC.	Americas	INDUSTRIALS	2,452	(5)	1,386,102,323	9,986,412	100	118.00	(7.00)	ConvSpread
SABMILLER PLC	Europe	CONSUMER GOODS	968	21	566,973,981	32,938,662	100	82.50	(2.50)	ConvSpread
SABRE HOLDINGS CORPORATION	Americas	CONSUMER SERVICES	2,876	18	707,028,848	4,663,024	500	23.00	0.25	Upfront
SAFEWAY INC.	Americas	CONSUMER SERVICES	3,548	5	1,615,477,606	14,648,424	100	113.00	(2.00)	ConvSpread
SAFEWAY LIMITED	Europe	CONSUMER SERVICES	2,848	13	866,050,942	(6,327,540)	100	45.00	0	ConvSpread
SAKS INCORPORATED	Americas	CONSUMER SERVICES	1,373	6	355,683,934	969,623	500	420.00	15.00	ConvSpread
SAMSUNG ELECTRONICS CO., LTD.	Asia Ex-Japan	TECHNOLOGY	1,028	2	355,880,602	2,708,586	100	130.00	N/A	ConvSpread
SANMINA-SCI CORPORATION	Americas	INDUSTRIALS	1,174	(6)	285,779,037	(6,979,881)	500	4.25	0.25	Upfront
SANOFI	Europe	HEALTH CARE	3,072	3	2,059,639,895	9,209,035	100	65.00	0.50	ConvSpread
SANTANDER UK PLC	Europe	FINANCIALS	747	0	320,255,844	4,552,859	100	272.50	7.50	ConvSpread
SANYO ELECTRIC CO., LTD.	Japan	CONSUMER GOODS	324	1	166,109,885	1,185,591	100	96.00	0	ConvSpread
SARA LEE CORPORATION	Americas	CONSUMER GOODS	3,470	51	1,756,566,738	722,230	100	82.50	(1.00)	ConvSpread
SBERBANK	Europe	FINANCIALS	1,693	5	727,139,864	(13,989,909)	100	285.00	10.50	ConvSpread
SCANDINAVIAN AIRLINES SYSTEM DENMARK-NORWAY-SWEDEN	Europe	CONSUMER SERVICES	1,883	18	388,511,312	17,567,806	500	30.25	2.25	Upfront
SCANIA AKTIEBOLAG	Europe	INDUSTRIALS	1,644	2	916,268,816	20,598,671	100	110.00	0	ConvSpread
SCHLUMBERGER N.V.	Americas	OIL & GAS	526	0	278,113,298	822,457	100	65.00	0	ConvSpread
SCHNEIDER ELECTRIC SA	Europe	INDUSTRIALS	1,637	4	513,924,445	20,300,541	100	110.00	5.00	ConvSpread
SCOR SE	Europe	FINANCIALS	1,479	0	327,549,350	6,668,589	100	197.50	0	ConvSpread
SEALED AIR CORPORATION	Americas	INDUSTRIALS	2,033	3	565,500,381	(11,777,441)	100	220.00	0	ConvSpread
SEARS ROEBUCK ACCEPTANCE CORP.	Americas	FINANCIALS	2,345	107	537,300,738	64,008,527	500	31.50	0	Upfront
SECURITAS AB	Europe	INDUSTRIALS	1,341	2	437,030,557	6,519,347	100	100.00	N/A	ConvSpread
SEMPRA ENERGY	Americas	UTILITIES	2,157	14	955,452,470	6,512,299	100	59.50	(1.50)	ConvSpread
SES	Europe	TELECOMMUNICATIONS	1,435	2	517,172,253	12,954,231	100	82.50	0	ConvSpread
SHARP CORPORATION	Japan	CONSUMER GOODS	587	15	433,825,125	(12,709,425)	100	106.00	2.00	ConvSpread
SHAW COMMUNICATIONS INC.	Americas	CONSUMER SERVICES	675	1	218,626,307	1,640,582	100	150.00	(5.00)	ConvSpread
SHIMIZU CORPORATION	Japan	INDUSTRIALS	368	2	312,801,685	(262,363)	100	115.50	1.00	ConvSpread
SIEMENS AKTIENGESELLSCHAFT	Europe	INDUSTRIALS	3,908	5	2,802,025,492	115,631,809	100	72.50	2.50	ConvSpread
SIMON PROPERTY GROUP, L.P.	Americas	FINANCIALS	2,662	(21)	1,059,735,108	(49,387,338)	100	96.50	1.50	ConvSpread
SINGTEL OPTUS PTY LIMITED	Australia NZ	TELECOMMUNICATIONS	571	3	201,178,217	(6,875,850)	100	122.00	3.00	ConvSpread
SK INNOVATION CO., LTD.	Asia Ex-Japan	OIL & GAS	347	0	360,742,995	1,003,937	100	185.00	N/A	ConvSpread
SK TELECOM CO., LTD.	Asia Ex-Japan	TELECOMMUNICATIONS	1,007	2	299,187,925	(1,810,400)	100	170.00	N/A	ConvSpread
SLM CORPORATION	Americas	FINANCIALS	3,216	0	1,545,792,882	58,565,729	500	510.00	15.50	ConvSpread
SLOVAK REPUBLIC	Europe	GOVERNMENT	820	2	795,954,761	35,747,033	100	295.00	17.50	ConvSpread
SMITHFIELD FOODS, INC.	Americas	CONSUMER GOODS	1,892	4	444,826,210	(8,135,584)	500	335.00	5.00	ConvSpread
SMURFIT KAPPA FUNDING PUBLIC LIMITED COMPANY	Europe	INDUSTRIALS	2,691	17	421,728,953	(2,124,884)	500	370.00	10.00	ConvSpread
SOCIALIST REPUBLIC OF VIETNAM	Asia Ex-Japan	GOVERNMENT	1,420	25	736,185,157	29,540,794	100	390.00	(2.00)	ConvSpread
SOCIETE AIR FRANCE	Europe	CONSUMER SERVICES	2,548	18	908,577,232	21,183,437	500	14.50	2.25	Upfront
SOCIETE GENERALE	Europe	FINANCIALS	4,127	63	2,541,952,691	84,524,558	100	280.00	12.50	ConvSpread
SODEXO	Europe	CONSUMER SERVICES	2,385	10	856,873,848	10,209,011	100	67.00	N/A	ConvSpread
SOFTBANK CORP.	Japan	CONSUMER SERVICES	709	8	415,051,155	13,250,613	100	260.00	5.00	ConvSpread
SOLVAY	Europe	BASIC MATERIALS	2,554	6	637,786,583	12,391,565	100	150.00	1.00	ConvSpread
SOMPO JAPAN INSURANCE INC.	Japan	FINANCIALS	364	0	675,045,368	(558,645)	100	81.00	(2.00)	ConvSpread
SONY CORPORATION	Japan	CONSUMER GOODS	1,677	23	739,873,008	(8,374,077)	100	172.00	2.00	ConvSpread
SOUTHERN CALIFORNIA EDISON COMPANY	Americas	UTILITIES	365	2	334,001,752	(5,004,891)	100	129.50	N/A	ConvSpread
SOUTHWEST AIRLINES CO.	Americas	CONSUMER SERVICES	3,792	4	1,687,785,970	14,376,194	100	140.00	(10.00)	ConvSpread
SPECTRA ENERGY CAPITAL, LLC	Americas	OIL & GAS	1,577	4	666,894,467	12,203,162	100	123.00	(2.00)	ConvSpread
SPRINGLEAF FINANCE CORPORATION	Americas	FINANCIALS	909	15	662,446,973	21,717,708	500	17.00	(1.00)	Upfront
SPRINT NEXTEL CORPORATION	Americas	TELECOMMUNICATIONS	5,022	52	1,818,097,574	11,614,042	500	13.00	0	Upfront
STANDARD CHARTERED BANK	Europe	FINANCIALS	1,701	13	654,632,355	29,121,062	100	167.00	22.00	ConvSpread
STANDARD PACIFIC CORP.	Americas	CONSUMER GOODS	1,750	14	359,503,496	(7,539,772)	500	(1.05)	0.21	Upfront
STANLEY BLACK & DECKER, INC.	Americas	CONSUMER GOODS	1,700	16	717,399,842	26,541,244	100	77.50	(2.50)	ConvSpread
STAPLES, INC.	Americas	CONSUMER SERVICES	1,214	2	500,304,884	(15,130,016)	100	177.00	4.50	ConvSpread
STARWOOD HOTELS & RESORTS WORLDWIDE, INC.	Americas	CONSUMER SERVICES	3,611	24	1,326,557,774	25,466,142	100	133.00	1.00	ConvSpread
STATE OF ISRAEL	Europe	GOVERNMENT	1,337	(9)	1,343,715,422	(69,469,105)	100	196.00	3.50	ConvSpread
STATE OF QATAR	Europe	GOVERNMENT	1,265	19	584,252,421	(40,462,503)	100	139.50	2.00	ConvSpread
STATOIL ASA	Europe	OIL & GAS	973	2	819,121,620	23,263,979	100	86.00	8.00	ConvSpread
STENA AKTIEBOLAG	Europe	INDUSTRIALS	1,644	16	479,399,262	8,113,528	500	8.50	1.00	Upfront
STMICROELECTRONICS N.V.	Europe	TECHNOLOGY	3,186	2	1,148,609,975	22,929,243	100	132.00	(3.00)	ConvSpread
STORA ENSO OYJ	Europe	BASIC MATERIALS	4,406	14	1,105,723,332	8,824,481	500	355.00	10.00	ConvSpread
SUEDZUCKER AKTIENGESELLSCHAFT MANNHEIM/OCHSENFURT	Europe	CONSUMER GOODS	2,223	8	770,449,483	49,577,424	100	68.00	(4.00)	ConvSpread
SUMITOMO CORPORATION	Japan	INDUSTRIALS	846	12	731,754,574	59,772,716	100	105.00	0	ConvSpread
SUMITOMO METAL INDUSTRIES, LTD.	Japan	BASIC MATERIALS	229	1	236,268,775	(196,746)	100	150.00	0	ConvSpread
SUMITOMO MITSUI BANKING CORPORATION	Japan	FINANCIALS	1,406	4	562,109,461	6,286,335	100	255.00	5.00	ConvSpread
SUMITOMO REALTY & DEVELOPMENT CO., LTD.	Japan	FINANCIALS	518	7	508,844,207	13,165,423	100	195.00	2.50	ConvSpread
SUNCOR ENERGY INC.	Americas	OIL & GAS	1,076	4	616,195,555	18,617,630	100	132.00	0	ConvSpread
SUNGARD DATA SYSTEMS INC.	Americas	TECHNOLOGY	1,159	11	386,140,136	(8,445,295)	500	(1.26)	0.22	Upfront
SUNOCO, INC.	Americas	OIL & GAS	1,408	4	402,738,094	8,114,504	100	245.00	5.00	ConvSpread
SUPERVALU INC.	Americas	CONSUMER SERVICES	3,112	8	764,691,848	(60,631,926)	500	14.75	0.25	Upfront
SUZUKI MOTOR CORPORATION	Japan	CONSUMER GOODS	295	2	249,253,690	2,782,410	100	67.50	(5.00)	ConvSpread
SVENSKA CELLULOSA AKTIEBOLAGET SCA	Europe	CONSUMER GOODS	2,823	6	822,510,108	11,415,598	100	85.00	0	ConvSpread
SWEDISH MATCH AB	Europe	CONSUMER GOODS	1,579	(1)	551,658,705	9,247,738	100	79.00	(3.50)	ConvSpread
SWIRE PACIFIC LIMITED	Asia Ex-Japan	FINANCIALS	710	1	300,022,925	(216,513)	100	210.00	N/A	ConvSpread
SWISS REINSURANCE COMPANY LTD	Europe	FINANCIALS	5,640	(22)	1,971,031,573	22,297,865	100	109.00	9.00	ConvSpread
SWISSCOM LTD.	Europe	TELECOMMUNICATIONS	787	6	485,842,458	30,918,358	100	100.50	1.00	ConvSpread
SYNGENTA AG	Europe	BASIC MATERIALS	1,757	5	404,577,678	7,486,856	100	56.50	4.00	ConvSpread
TABCORP HOLDINGS LIMITED	Australia NZ	CONSUMER SERVICES	297	2	129,811,664	(7,889,309)	100	145.50	0	ConvSpread
TAISEI CORPORATION	Japan	INDUSTRIALS	545	2	241,681,435	(594,513)	100	200.00	5.00	ConvSpread
TALISMAN ENERGY INC.	Americas	OIL & GAS	1,026	16	397,483,831	8,844,027	100	155.00	7.50	ConvSpread
TARGET CORPORATION	Americas	CONSUMER SERVICES	2,542	(14)	1,082,715,976	24,045,851	100	52.50	2.00	ConvSpread
TATE & LYLE PUBLIC LIMITED COMPANY	Europe	CONSUMER GOODS	2,588	15	927,368,590	10,313,721	100	75.00	3.00	ConvSpread
TDC A/S	Europe	TELECOMMUNICATIONS	1,419	1	411,701,664	12,893,243	100	105.50	5.50	ConvSpread
TE CONNECTIVITY LTD.	Americas	INDUSTRIALS	1,452	1	252,696,215	(4,685,643)	100	107.00	14.00	ConvSpread
TECK RESOURCES LIMITED	Americas	BASIC MATERIALS	685	(56)	358,859,518	837,826	100	142.50	(7.50)	ConvSpread
TECO ENERGY, INC.	Americas	UTILITIES	818	1	190,417,185	1,774,071	100	90.50	(2.00)	ConvSpread
TELECOM CORPORATION OF NEW ZEALAND LIMITED	Australia NZ	TELECOMMUNICATIONS	1,980	3	666,178,477	5,832,091	100	97.00	4.00	ConvSpread
TELECOM ITALIA SPA	Europe	TELECOMMUNICATIONS	6,212	35	2,265,502,392	81,834,451	500	427.50	17.50	ConvSpread
TELEFONAKTIEBOLAGET L M ERICSSON	Europe	TECHNOLOGY	2,123	3	541,894,170	22,358,583	100	145.00	7.50	ConvSpread
TELEFONICA, S.A.	Europe	TELECOMMUNICATIONS	5,399	40	3,311,068,486	37,876,734	100	292.50	12.50	ConvSpread
TELEKOM AUSTRIA AKTIENGESELLSCHAFT	Europe	TELECOMMUNICATIONS	3,113	(15)	1,128,218,650	44,778,091	100	159.50	4.50	ConvSpread
TELEKOM MALAYSIA BERHAD	Asia Ex-Japan	TELECOMMUNICATIONS	568	3	208,144,706	4,296,744	100	132.50	N/A	ConvSpread
TELENOR ASA	Europe	TELECOMMUNICATIONS	2,683	3	1,013,070,347	19,241,887	100	77.00	2.00	ConvSpread
TELEVISION FRANCAISE 1	Europe	CONSUMER SERVICES	444	0	217,973,047	3,999,156	100	87.00	0	ConvSpread
TELIASONERA AKTIEBOLAG	Europe	TELECOMMUNICATIONS	3,885	(5)	1,180,279,542	(375,852)	100	71.00	1.00	ConvSpread
TELSTRA CORPORATION LIMITED	Australia NZ	TELECOMMUNICATIONS	3,659	11	1,309,188,558	(2,271,065)	100	130.00	1.00	ConvSpread
TELUS CORPORATION	Americas	TELECOMMUNICATIONS	1,615	2	554,035,036	3,666,075	100	42.50	(2.50)	ConvSpread
TEMPLE-INLAND INC.	Americas	INDUSTRIALS	3,403	6	1,257,066,349	4,513	100	32.50	2.50	ConvSpread
TENAGA NASIONAL BERHAD	Asia Ex-Japan	UTILITIES	462	4	149,252,004	(11,997,226)	100	142.50	N/A	ConvSpread
TENET HEALTHCARE CORPORATION	Americas	HEALTH CARE	1,647	4	320,264,459	(4,935,548)	500	3.25	1.00	Upfront
TESCO PLC	Europe	CONSUMER SERVICES	3,338	11	1,703,008,757	36,677,734	100	105.00	(2.00)	ConvSpread
TESORO CORPORATION	Americas	OIL & GAS	1,569	15	567,980,193	93,245	500	320.00	15.00	ConvSpread
TEVA PHARMACEUTICAL INDUSTRIES LTD.	Americas	HEALTH CARE	405	1	271,942,046	(1,990,024)	100	80.00	0	ConvSpread
TEXAS COMPETITIVE ELECTRIC HOLDINGS COMPANY LLC	Americas	UTILITIES	2,983	72	1,084,909,466	(10,503,664)	500	73.75	1.00	Upfront
TEXAS INSTRUMENTS INCORPORATED	Americas		762	0	297,397,152	580,198	100	33.50	(4.00)	ConvSpread
TEXTRON FINANCIAL CORPORATION	Americas	FINANCIALS	2,683	23	816,202,690	8,331,494	100	48.00	(1.00)	ConvSpread
TEXTRON INC.	Americas	INDUSTRIALS	1,673	0	506,952,681	9,893,004	100	176.00	(4.00)	ConvSpread
THALES	Europe	INDUSTRIALS	1,725	2	405,076,851	(18,698,075)	100	143.00	(0.50)	ConvSpread
THE AES CORPORATION	Americas	UTILITIES	1,249	10	410,163,638	1,381,473	500	322.00	25.00	ConvSpread
THE ALLSTATE CORPORATION	Americas	FINANCIALS	2,171	19	859,534,313	49,390,957	100	92.50	4.50	ConvSpread
THE BANK OF TOKYO-MITSUBISHI UFJ, LTD.	Japan	FINANCIALS	1,808	4	569,572,943	9,569,354	100	235.00	10.00	ConvSpread
THE BLACK & DECKER CORPORATION	Americas	CONSUMER GOODS	2,185	5	892,580,660	10,645,609	100	40.50	(4.50)	ConvSpread
THE BOEING COMPANY	Americas	INDUSTRIALS	1,166	(50)	686,807,360	2,809,930	100	80.50	(3.00)	ConvSpread
THE CHUBB CORPORATION	Americas	FINANCIALS	1,752	18	843,454,872	3,740,650	100	64.50	8.50	ConvSpread
THE CLOROX COMPANY	Americas	CONSUMER GOODS	1,288	0	368,947,174	550,104	100	73.50	0	ConvSpread
THE COCA-COLA COMPANY	Americas	CONSUMER GOODS	521	18	321,548,101	10,305,521	100	41.50	(3.50)	ConvSpread
THE DOW CHEMICAL COMPANY	Americas	BASIC MATERIALS	3,242	38	1,680,006,875	9,069,927	100	140.00	5.00	ConvSpread
THE GAP, INC.	Americas	CONSUMER SERVICES	3,103	3	902,994,957	(6,755,069)	100	272.50	5.00	ConvSpread
THE GOLDMAN SACHS GROUP, INC.	Americas	FINANCIALS	7,064	75	4,602,231,152	(34,562,420)	100	241.00	11.00	ConvSpread
THE GOODYEAR TIRE & RUBBER COMPANY	Americas	CONSUMER GOODS	1,669	1	466,419,438	(21,788,847)	500	3.50	1.50	Upfront
THE HARTFORD FINANCIAL SERVICES GROUP, INC.	Americas	FINANCIALS	2,553	7	899,623,908	42,751,422	100	292.50	10.00	ConvSpread
THE HERSHEY COMPANY	Americas	CONSUMER GOODS	1,004	15	434,874,147	362,702	100	41.50	(3.50)	ConvSpread
THE HERTZ CORPORATION	Americas	CONSUMER SERVICES	2,082	9	366,819,026	16,164,761	500	(2.12)	0.22	Upfront
THE HOME DEPOT, INC.	Americas	CONSUMER SERVICES	3,071	30	1,475,418,856	(8,440,219)	500	49.50	N/A	ConvSpread
THE HONGKONG LAND COMPANY, LIMITED	Asia Ex-Japan	FINANCIALS	626	2	259,689,531	(2,698,510)	100	210.00	N/A	ConvSpread
THE INTERPUBLIC GROUP OF COMPANIES, INC.	Americas	CONSUMER SERVICES	1,258	0	311,486,281	1,133,680	100	230.00	(5.00)	ConvSpread
THE JONES GROUP INC.	Americas	CONSUMER GOODS	4,035	27	1,452,304,454	(20,488,595)	500	545.00	5.00	ConvSpread
THE KROGER CO.	Americas	CONSUMER SERVICES	3,184	13	1,393,827,042	6,432,407	100	72.50	0	ConvSpread
THE LUBRIZOL CORPORATION	Americas	BASIC MATERIALS	1,027	(17)	340,152,954	5,800,961	100	40.00	N/A	ConvSpread
THE MCCLATCHY COMPANY	Americas	CONSUMER SERVICES	3,520	8	861,137,844	14,626,298	500	29.50	1.00	Upfront
THE NEIMAN MARCUS GROUP, INC.	Americas	CONSUMER SERVICES	2,384	6	337,016,725	(10,390,346)	500	0.50	0	Upfront
THE NEW YORK TIMES COMPANY	Americas	CONSUMER SERVICES	3,356	13	1,115,820,041	(3,023,480)	100	272.50	13.00	ConvSpread
THE PROCTER & GAMBLE COMPANY	Americas	CONSUMER GOODS	1,751	24	2,016,023,661	(13,697,185)	100	55.50	(1.00)	ConvSpread
THE RANK GROUP PLC	Europe	CONSUMER SERVICES	1,519	0	249,748,017	4,777,815	100	257.50	27.50	ConvSpread
THE ROYAL BANK OF SCOTLAND N.V.	Europe	FINANCIALS	580	10	741,359,602	26,554,302	100	240.00	(27.00)	ConvSpread
THE ROYAL BANK OF SCOTLAND PUBLIC LIMITED COMPANY	Europe	FINANCIALS	5,212	39	3,072,580,986	47,134,122	100	260.00	22.50	ConvSpread
THE RYLAND GROUP, INC.	Americas	CONSUMER GOODS	2,568	7	857,300,814	(4,470,805)	500	300.00	30.00	ConvSpread
THE SERVICEMASTER COMPANY	Americas	CONSUMER SERVICES	666	(1)	288,582,489	(4,906,613)	500	495.00	5.00	ConvSpread
THE SHERWIN-WILLIAMS COMPANY	Americas	INDUSTRIALS	2,700	4	1,876,748,222	24,843,708	100	51.50	0	ConvSpread
THE SOUTHERN COMPANY	Americas	UTILITIES	327	1	218,437,711	126,138	100	95.00	N/A	ConvSpread
THE TJX COMPANIES, INC.	Americas	CONSUMER SERVICES	1,632	(9)	861,148,653	12,928,328	100	86.50	(3.50)	ConvSpread
THE TOKYO ELECTRIC POWER COMPANY, INCORPORATED	Japan	UTILITIES	1,490	12	445,059,443	28,603,035	100	16.73	0.25	Upfront
THE TRAVELERS COMPANIES, INC.	Americas	FINANCIALS	1,393	4	519,990,253	11,929,211	100	91.50	4.50	ConvSpread
THE WALT DISNEY COMPANY	Americas	CONSUMER SERVICES	2,370	18	788,636,985	6,117,329	100	29.50	1.00	ConvSpread
THE WESTERN UNION COMPANY	Americas	FINANCIALS	1,177	1	440,965,174	(386,596)	100	87.00	(3.50)	ConvSpread
THE WILLIAMS COMPANIES, INC.	Americas	UTILITIES	1,419	5	462,990,546	19,069,629	100	170.00	0.50	ConvSpread
THOMSON REUTERS GROUP LIMITED	Europe	CONSUMER SERVICES	2,139	11	603,187,378	2,409,048	100	41.00	4.50	ConvSpread
THYSSENKRUPP AG	Europe	INDUSTRIALS	4,649	123	2,133,091,332	116,492,964	100	315.00	2.50	ConvSpread
TIME WARNER CABLE INC.	Americas	CONSUMER SERVICES	1,040	18	706,762,955	(28,429,013)	100	162.00	0	ConvSpread
TIME WARNER INC.	Americas	CONSUMER SERVICES	3,412	30	1,456,046,561	49,327,215	100	61.50	1.00	ConvSpread
TOKIO MARINE & NICHIDO FIRE INSURANCE CO., LTD.	Japan	FINANCIALS	639	3	913,198,499	(7,233,502)	100	65.00	0	ConvSpread
TOKYO GAS CO., LTD.	Japan	UTILITIES	198	2	369,586,280	12,688,550	100	46.00	0	ConvSpread
TOLL BROTHERS, INC.	Americas	CONSUMER GOODS	3,164	(30)	1,583,338,498	11,955,122	100	155.00	2.50	ConvSpread
TOMKINS LIMITED	Europe	CONSUMER GOODS	1,833	2	510,809,362	1,710,271	500	70.00	0	ConvSpread
TOSHIBA CORPORATION	Japan	INDUSTRIALS	1,309	10	864,276,723	(562,823)	100	134.00	1.00	ConvSpread
TOTAL SA	Europe	OIL & GAS	1,753	0	991,000,046	17,722,610	100	73.50	(0.50)	ConvSpread
TOYOTA MOTOR CORPORATION	Japan	CONSUMER GOODS	1,795	21	1,780,987,796	14,943,039	100	73.00	(1.00)	ConvSpread
TOYOTA MOTOR CREDIT CORPORATION	Japan	CONSUMER GOODS	782	1	603,019,840	(8,459,720)	100	150.00	5.00	ConvSpread
TOYS "R" US, INC.	Americas	CONSUMER SERVICES	1,991	10	354,908,189	(7,981,209)	500	7.50	0.25	Upfront
TRANSCANADA PIPELINES LIMITED	Americas	OIL & GAS	676	2	406,080,205	(1,085,057)	100	88.00	1.00	ConvSpread
TRANSOCEAN INC.	Americas	OIL & GAS	3,349	51	1,380,382,157	(313,126)	100	258.00	20.50	ConvSpread
TRW AUTOMOTIVE INC.	Americas	CONSUMER GOODS	1,768	3	565,288,092	(5,922,489)	500	365.00	20.00	ConvSpread
TUI AG	Europe	CONSUMER SERVICES	3,325	12	687,552,295	(7,778,345)	500	17.00	1.25	Upfront
TYCO INTERNATIONAL LTD.	Americas	INDUSTRIALS	1,883	2	376,345,547	(24,060)	100	85.00	5.00	ConvSpread
TYSON FOODS, INC.	Americas	CONSUMER GOODS	3,081	20	1,137,653,528	21,128,810	100	137.50	5.50	ConvSpread
UBS AG	Europe	FINANCIALS	4,302	26	2,762,817,282	48,091,192	100	170.00	20.00	ConvSpread
UKRAINE	Europe	GOVERNMENT	3,569	(12)	821,735,494	(8,509,299)	500	832.50	5.00	ConvSpread
UNIBAIL-RODAMCO SE	Europe	FINANCIALS	1,194	0	491,498,640	7,438,162	100	190.00	3.00	ConvSpread
UNICREDIT BANK AG	Europe	FINANCIALS	1,620	2	292,574,325	4,596,421	100	310.00	0	ConvSpread
UNICREDIT, SOCIETA PER AZIONI	Europe	FINANCIALS	5,028	128	3,802,052,567	7,678,482	500	375.00	15.00	ConvSpread
UNILEVER N.V.	Europe	CONSUMER GOODS	3,360	2	1,418,559,472	(22,088,148)	100	38.50	1.50	ConvSpread
UNION PACIFIC CORPORATION	Americas	INDUSTRIALS	2,112	23	1,123,791,753	30,824,689	100	37.50	1.00	ConvSpread
UNIPOL GRUPPO FINANZIARIO S.P.A.	Europe	FINANCIALS	525	1	336,262,383	6,119,642	100	475.00	(25.00)	ConvSpread
UNISYS CORPORATION	Americas	TECHNOLOGY	1,179	43	291,390,971	(3,710,451)	500	(1.90)	0.22	Upfront
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND	Europe	GOVERNMENT	4,173	(791)	12,220,816,579	(11,715,394)	100	81.50	3.50	ConvSpread
UNITED MEXICAN STATES	Americas	GOVERNMENT	9,429	(24)	8,314,176,282	(70,614,584)	100	144.50	1.50	ConvSpread
UNITED PARCEL SERVICE, INC.	Americas	INDUSTRIALS	1,404	(2)	749,765,998	1,931,611	100	42.50	2.00	ConvSpread
UNITED RENTALS (NORTH AMERICA), INC.	Americas	INDUSTRIALS	1,184	13	409,443,236	(7,523,518)	500	415.00	5.00	ConvSpread
UNITED STATES CELLULAR CORPORATION	Americas	TELECOMMUNICATIONS	485	0	161,170,321	(241,623)	100	100.00	7.50	ConvSpread
UNITED STATES OF AMERICA	Americas	GOVERNMENT	1,281	(216)	5,026,508,306	52,114,031	100	46.50	2.00	ConvSpread
UNITED STATES STEEL CORPORATION	Americas	BASIC MATERIALS	1,439	(104)	518,742,038	7,306,341	500	5.25	0	Upfront
UNITED TECHNOLOGIES CORPORATION	Americas	INDUSTRIALS	746	3	596,164,004	5,107,147	100	94.50	(0.50)	ConvSpread
UNITED UTILITIES PLC	Europe	UTILITIES	2,684	(3)	769,677,221	(20,427,709)	100	81.00	(1.00)	ConvSpread
UNITEDHEALTH GROUP INCORPORATED	Americas	HEALTH CARE	1,559	(25)	1,082,129,964	13,213,455	100	103.00	4.50	ConvSpread
UNITYMEDIA GMBH	Europe	CONSUMER SERVICES	2,070	10	379,700,487	5,272,183	500	3.00	1.00	Upfront
UNIVERSAL CORPORATION	Americas	CONSUMER GOODS	1,162	0	453,654,067	694,259	100	210.00	(10.00)	ConvSpread
UNIVERSAL HEALTH SERVICES, INC.	Americas	HEALTH CARE	3,414	20	797,038,493	2,088,601	100	199.50	9.00	ConvSpread
UNIVISION COMMUNICATIONS INC.	Americas	CONSUMER SERVICES	1,079	5	265,741,002	(3,705,736)	500	9.00	0.50	Upfront
UNUM GROUP	Americas	FINANCIALS	1,375	2	357,369,920	10,627,196	100	250.00	0	ConvSpread
UPC HOLDING B.V.	Europe	CONSUMER SERVICES	2,961	15	756,206,299	10,266,722	500	6.75	N/A	Upfront
UPM-KYMMENE OYJ	Europe	BASIC MATERIALS	4,142	23	1,281,989,797	35,129,452	500	355.00	10.00	ConvSpread
UST LLC	Americas	CONSUMER GOODS	2,011	2	638,905,424	(7,057,526)	100	33.50	2.00	ConvSpread
V.F. CORPORATION	Americas	CONSUMER GOODS	2,028	14	768,119,415	10,652,657	100	59.50	2.00	ConvSpread
VALE CANADA LIMITED	Americas	BASIC MATERIALS	705	0	231,810,865	(6,830,658)	100	35.00	N/A	ConvSpread
VALEO	Europe	CONSUMER GOODS	4,791	30	1,526,674,068	14,241,871	100	237.00	7.00	ConvSpread
VALERO ENERGY CORPORATION	Americas	OIL & GAS	2,544	14	623,568,573	(51,548,418)	100	178.00	(1.00)	ConvSpread
VATTENFALL AKTIEBOLAG	Europe	UTILITIES	2,078	13	797,473,671	(270,219)	100	75.00	4.50	ConvSpread
VEOLIA ENVIRONNEMENT	Europe	UTILITIES	3,727	21	1,305,191,693	23,208,291	100	225.50	3.50	ConvSpread
VERIZON COMMUNICATIONS INC.	Americas	TELECOMMUNICATIONS	3,851	17	1,372,216,095	29,867,363	100	69.50	2.00	ConvSpread
VIACOM INC.	Americas	CONSUMER SERVICES	1,877	6	734,868,570	5,572,962	100	72.50	0	ConvSpread
VINCI	Europe	INDUSTRIALS	3,002	23	1,274,433,836	39,710,797	100	140.00	6.00	ConvSpread
VIRGIN MEDIA FINANCE PLC	Europe	TELECOMMUNICATIONS	2,693	15	704,119,190	(1,875,026)	500	410.00	20.00	ConvSpread
VIVENDI	Europe	TELECOMMUNICATIONS	4,202	(7)	1,631,606,481	62,153,974	100	167.00	(1.00)	ConvSpread
VODAFONE GROUP PUBLIC LIMITED COMPANY	Europe	TELECOMMUNICATIONS	4,516	(6)	1,713,574,816	16,866,604	100	89.50	(0.50)	ConvSpread
VOLKSWAGEN AKTIENGESELLSCHAFT	Europe	CONSUMER GOODS	5,392	(10)	3,335,570,978	3,196,219	100	127.50	2.00	ConvSpread
VORNADO REALTY L.P.	Americas	FINANCIALS	1,891	20	800,469,712	12,968,807	100	148.00	10.00	ConvSpread
VULCAN MATERIALS COMPANY	Americas	INDUSTRIALS	793	6	423,073,595	(16,967,946)	500	(10.22)	0.26	Upfront
WAL-MART STORES, INC.	Americas	CONSUMER SERVICES	2,444	4	2,163,338,482	16,533,588	100	50.00	(0.50)	ConvSpread
WASTE MANAGEMENT, INC.	Americas	INDUSTRIALS	1,721	2	709,424,736	6,033,979	100	118.00	(2.00)	ConvSpread
WEATHERFORD INTERNATIONAL LTD.	Americas	OIL & GAS	1,187	39	529,042,419	4,315,186	100	224.50	8.50	ConvSpread
WEATHERFORD INTERNATIONAL, INC.	Americas	OIL & GAS	651	36	219,614,292	(4,663,213)	100	209.50	9.50	ConvSpread
WEINGARTEN REALTY INVESTORS	Americas	FINANCIALS	384	24	221,989,199	(7,321,095)	100	152.50	(2.50)	ConvSpread
WELLPOINT, INC.	Americas	HEALTH CARE	826	3	290,005,254	(8,457,202)	100	101.00	2.50	ConvSpread
WELLS FARGO & COMPANY	Americas	FINANCIALS	6,615	80	5,052,322,366	(26,002,535)	100	112.50	5.00	ConvSpread
WENDEL	Europe	FINANCIALS	2,533	8	671,697,082	16,455,819	500	455.00	25.00	ConvSpread
WENDY'S INTERNATIONAL, INC.	Americas	CONSUMER SERVICES	1,738	8	645,092,616	1,478,958	100	250.00	20.00	ConvSpread
WESFARMERS LIMITED	Australia NZ	CONSUMER SERVICES	1,342	3	576,005,812	(2,526,944)	100	88.00	(2.00)	ConvSpread
WESTFIELD MANAGEMENT LTD AS RESPONSIBLE ENTITY OF THE WESTFIELD TRUST	Australia NZ	FINANCIALS	2,102	8	924,471,046	6,304,258	100	240.00	(1.00)	ConvSpread
WESTLB AG	Europe	FINANCIALS	1,575	3	380,685,786	4,997,116	500	270.00	15.00	ConvSpread
WESTPAC BANKING CORPORATION	Australia NZ	FINANCIALS	1,671	15	906,431,055	(17,889,545)	100	162.00	(1.00)	ConvSpread
WEYERHAEUSER COMPANY	Americas	BASIC MATERIALS	3,956	28	1,613,501,562	20,559,587	100	141.00	(2.00)	ConvSpread
WHIRLPOOL CORPORATION	Americas	CONSUMER GOODS	4,197	30	1,894,496,889	(29,921,099)	100	287.50	0	ConvSpread
WIND ACQUISITION FINANCE S.A.	Europe	FINANCIALS	2,450	23	497,191,066	28,145,422	500	19.00	3.50	Upfront
WINDSTREAM CORPORATION	Americas	TELECOMMUNICATIONS	2,717	14	711,347,723	712,997	500	372.50	7.50	ConvSpread
WOLTERS KLUWER N.V.	Europe	CONSUMER SERVICES	4,223	4	1,623,942,127	49,361,252	100	70.50	(1.50)	ConvSpread
WOODSIDE PETROLEUM LTD.	Australia NZ	OIL & GAS	662	5	447,677,225	(1,705,951)	100	170.00	0	ConvSpread
WOOLWORTHS LTD	Australia NZ	CONSUMER SERVICES	883	3	425,948,481	(8,026,102)	100	83.00	(2.00)	ConvSpread
WPP 2005 LIMITED	Europe	CONSUMER SERVICES	3,202	12	988,747,081	68,156,212	100	119.00	2.00	ConvSpread
WYETH LLC	Americas	HEALTH CARE	1,817	22	814,716,058	21,454,379	100	9.50	(3.50)	ConvSpread
XCEL ENERGY INC.	Americas	UTILITIES	478	0	201,700,964	619,882	100	61.00	1.00	ConvSpread
XEROX CORPORATION	Americas	TECHNOLOGY	1,883	13	1,435,682,045	(14,655,811)	100	275.00	(2.50)	ConvSpread
XSTRATA CANADA CORPORATION	Americas	BASIC MATERIALS	842	0	329,069,897	1,672,645	100	67.50	(12.50)	ConvSpread
XSTRATA PLC	Europe	BASIC MATERIALS	2,672	115	1,190,991,947	64,425,901	100	203.00	11.00	ConvSpread
XTO ENERGY INC.	Americas	OIL & GAS	1,067	2	228,040,656	3,694,472	100	35.00	(1.00)	ConvSpread
YUM! BRANDS, INC.	Americas	CONSUMER SERVICES	1,643	35	522,085,903	7,843,465	100	73.50	(6.00)	ConvSpread
ZURICH INSURANCE COMPANY LTD	Europe	FINANCIALS	4,413	(5)	1,654,638,789	(4,784,871)	100	106.00	6.00	ConvSpread

*Net notional amounts listed are for all series and tenors while price quote is for the "On The Run" index

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