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 08Oct2013. The numbers for CDS Contracts and Notional are provided by DTCC on week ending 27Sep2013.
Reference EntityRegionIndustry# of CDS Contracts
Outstanding
# of CDS Contracts
(Weekly Δ)
Net Notional CDS ($)Net Notional CDS
(Weekly Δ $)
Fixed
Coupon
PriceDaily
Change
Price Type
*MARKIT CDX.NA.HY15,17145894,518,186,934772,062,714104.72(0.16)Price
*MARKIT CDX.NA.IG22,581(557)344,775,102,76613,355,562,78382.001.19Spread
*MARKIT ITRAXX ASIA EX-JAPAN IG5,9537510,547,804,50084,325,000149.50(1.00)Spread
*MARKIT ITRAXX EUROPE32,655(4,038)354,472,156,20017,584,672,38499.000.25Spread
3M COMPANYAmericasINDUSTRIALS853(1)419,073,122597,92210017.501.00ConvSpread
ABB INTERNATIONAL FINANCE LIMITEDEuropeINDUSTRIALS1,7202398,468,266244,57010030.000ConvSpread
ABBOTT LABORATORIESAmericasHEALTHCARE967(2)491,679,970(10,799)10031.500ConvSpread
ABU DHABIEuropeGOVERNMENT1,565(36)1,262,411,086(2,400,092)10061.00(0.50)ConvSpread
ABU DHABI NATIONAL ENERGY COMPANYEuropeGOVERNMENT4301389,533,737(1,493)10082.500ConvSpread
ACCOREuropeCONSUMER SERVICES1,906(14)719,143,441(22,381,901)100129.001.00ConvSpread
ACE LIMITEDAmericasFINANCIALS1,984(29)1,387,286,148(8,011,135)10038.502.00ConvSpread
ACOM CO., LTD.JapanFINANCIALS1,297(2)362,706,6556,456,83110095.000ConvSpread
ADECCO S.A.EuropeINDUSTRIALS1,76611714,821,814(64,620)100111.001.00ConvSpread
ADVANCED MICRO DEVICES, INC.AmericasTECHNOLOGY1,865(21)477,005,562(44,043,591)5003.00(0.50)Upfront
AEGON N.V.EuropeFINANCIALS3,33441,293,117,626(52,454,589)100162.50(2.00)ConvSpread
AEON CO., LTD.JapanCONSUMER SERVICES514(3)292,686,547(22,003,099)10047.00(3.00)ConvSpread
AETNA INC.AmericasHEALTHCARE1,6846645,716,3442,497,93110039.500ConvSpread
AGRIUM INC.AmericasBASIC MATERIALS1,26516290,309,440(6,002,554)100121.000ConvSpread
AIR PRODUCTS AND CHEMICALS, INC.AmericasBASIC MATERIALS7002198,040,9924,992,09610077.00(3.00)ConvSpread
AK STEEL CORPORATIONAmericasBASIC MATERIALS2,156(72)336,364,5647,449,40550021.750Upfront
AKTIEBOLAGET ELECTROLUXEuropeCONSUMER GOODS2,278(5)828,121,83113,563,42510072.500ConvSpread
AKTIEBOLAGET SKFEuropeINDUSTRIALS3301131,961,785(14,844)10062.50N/AConvSpread
AKTIEBOLAGET VOLVOEuropeINDUSTRIALS2,925151,276,431,64227,576,872100133.000ConvSpread
AKZO NOBEL N.V.EuropeBASIC MATERIALS2,634(8)1,088,628,336(17,985,216)100106.502.00ConvSpread
ALCATEL LUCENTEuropeTECHNOLOGY3,27543568,066,38842,917,940500417.5052.00ConvSpread
ALCATEL-LUCENT USA INC.AmericasTECHNOLOGY1,1018272,631,8018,798,396500400.00(10.00)ConvSpread
ALCOA INC.AmericasBASIC MATERIALS3,563(9)1,525,109,40122,895,108100308.000.50ConvSpread
ALLEGHENY ENERGY SUPPLY COMPANY, LLCAmericasUTILITIES713(4)221,098,429(3,740)100122.000ConvSpread
ALLIANCE BOOTS HOLDINGS LIMITEDEuropeCONSUMER SERVICES1,91012382,211,952(232,228)50095.000ConvSpread
ALLIANZ SEEuropeFINANCIALS3,877172,033,999,206(3,029,887)10072.000.50ConvSpread
ALLIED WASTE NORTH AMERICA, INC.AmericasINDUSTRIALS416(26)90,285,215(861)10040.000ConvSpread
ALLTEL CORPORATIONAmericasTELECOMMUNICATIONS SERVICES1,886(5)637,986,8814,405,81510015.50(2.00)ConvSpread
ALLY FINANCIAL INC.AmericasFINANCIALS3,168411,099,988,55378,171,042500233.500ConvSpread
ALSTOMEuropeINDUSTRIALS1,706(27)1,125,694,3303,445,290100185.50(5.50)ConvSpread
ALTADIS SAEuropeCONSUMER GOODS1,884(6)922,478,140(8,837,699)10041.000ConvSpread
ALTRIA GROUP, INC.AmericasCONSUMER GOODS2,600171,427,065,8448,993,40610053.50(1.00)ConvSpread
AMCOR LTDAustralia NZINDUSTRIALS1,361(18)527,645,2773,636,385100103.000ConvSpread
AMERICAN AXLE & MANUFACTURING, INC.AmericasCONSUMER GOODS2,3095365,384,5246,764,893500332.505.00ConvSpread
AMERICAN ELECTRIC POWER COMPANY, INC.AmericasUTILITIES1,5579733,796,7236,497,72810040.501.00ConvSpread
AMERICAN EXPRESS COMPANYAmericasFINANCIALS2,388251,124,429,73519,992,53910047.00(2.00)ConvSpread
AMERICAN INTERNATIONAL GROUP, INC.AmericasFINANCIALS3,31181,332,511,82312,257,40010098.503.00ConvSpread
AMERISOURCEBERGEN CORPORATIONAmericasCONSUMER SERVICES697(9)224,642,6024,052,22310052.00(1.50)ConvSpread
AMGEN INC.AmericasHEALTHCARE1,86853764,076,78023,076,75110048.50(1.00)ConvSpread
AMKOR TECHNOLOGY, INC.AmericasTECHNOLOGY1,130(22)363,886,3071,651,489500445.00(10.00)ConvSpread
AMP GROUP HOLDINGS LIMITEDAustralia NZFINANCIALS301(12)183,683,645(4,807)100125.00N/AConvSpread
ANA HOLDINGS INC.JapanINDUSTRIALS1,004(1)465,858,363(4,399,485)100135.005.00ConvSpread
ANADARKO PETROLEUM CORPORATIONAmericasENERGY2,528(19)1,717,893,35016,553,06210081.502.00ConvSpread
ANGLO AMERICAN PLCEuropeBASIC MATERIALS2,307131,611,372,10035,684,675100175.00(3.00)ConvSpread
ANHEUSER-BUSCH INBEVEuropeCONSUMER GOODS5701871,678,5049,158,41710051.502.00ConvSpread
AON CORPORATIONAmericasFINANCIALS1,371(22)650,973,889(9,701,767)10052.502.50ConvSpread
APACHE CORPORATIONAmericasENERGY1,435(1)577,946,60413,998,08510072.502.00ConvSpread
ARAB REPUBLIC OF EGYPTEuropeGOVERNMENT898(17)240,446,740275100687.50(2.50)ConvSpread
ARAMARK CORPORATIONAmericasCONSUMER SERVICES971(89)182,451,696457,990500210.000ConvSpread
ARCELORMITTALEuropeBASIC MATERIALS4,264362,263,448,403(109,249,082)100365.00(5.00)ConvSpread
ARCELORMITTAL FINANCEEuropeBASIC MATERIALS184N/A119,628,966N/A100125.000ConvSpread
ARCHER-DANIELS-MIDLAND COMPANYAmericasCONSUMER GOODS1,07611383,442,772(3,815)10070.002.50ConvSpread
ARDAGH PACKAGING FINANCE PUBLIC LIMITED COMPANYEuropeINDUSTRIALS57125296,656,20023,017,537500535.00(0.50)ConvSpread
ARGENTINE REPUBLICAmericasGOVERNMENT2,915(10)946,059,1283,253,65950045.50(2.00)Upfront
ARROW ELECTRONICS, INC.AmericasINDUSTRIALS2,296(5)700,027,89024,335,290100102.00(6.00)ConvSpread
ASHLAND INC.AmericasBASIC MATERIALS549(3)168,768,042(467)100170.000ConvSpread
ASSA ABLOY ABEuropeINDUSTRIALS3554159,675,589(22,919)10057.501.00ConvSpread
ASSICURAZIONI GENERALI - SOCIETA PER AZIONIEuropeFINANCIALS3,9691071,866,524,03513,090,237100222.000ConvSpread
ASSURED GUARANTY CORP.AmericasFINANCIALS1,99634958,477,971(33,974,247)500450.00(3.00)ConvSpread
ASSURED GUARANTY MUNICIPAL CORP.AmericasFINANCIALS3,066(7)1,037,324,636(8,767,366)500490.00(3.00)ConvSpread
ASTRAZENECA PLCEuropeHEALTHCARE1,1480689,360,108(4,339,747)10051.500ConvSpread
AT&T CORP.AmericasTELECOMMUNICATIONS SERVICES7416210,850,541(598)10040.000ConvSpread
AT&T INC.AmericasTELECOMMUNICATIONS SERVICES2,854121,767,734,95636,721,65610073.500.50ConvSpread
ATLANTIA S.P.A.EuropeINDUSTRIALS2,05913645,309,53917,033,421100162.50(4.50)ConvSpread
ATLAS COPCO AKTIEBOLAGEuropeINDUSTRIALS4735185,320,042(20,932)10067.507.50ConvSpread
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITEDAustralia NZFINANCIALS1,673(30)1,152,008,893(11,690)100107.50N/AConvSpread
AUTOZONE, INC.AmericasCONSUMER SERVICES2,61901,396,761,553(6,354,613)10064.500ConvSpread
AVALONBAY COMMUNITIES, INC.AmericasFINANCIALS9240302,920,2044,993,14510065.501.00ConvSpread
AVIS BUDGET CAR RENTAL, LLCAmericasCONSUMER SERVICES761(57)333,186,829(3,698,260)500317.505.00ConvSpread
AVIS BUDGET GROUP, INC.AmericasCONSUMER SERVICES2,003(63)293,591,653(5,786,584)500317.502.50ConvSpread
AVIVA PLCEuropeFINANCIALS3,271161,157,258,625(30,573,384)100137.500ConvSpread
AVNET, INC.AmericasCONSUMER GOODS1,5933552,855,1136,850,462100109.00(9.00)ConvSpread
AVON PRODUCTS, INC.AmericasCONSUMER GOODS1,92634511,091,814(1,006,503)100172.50(2.50)ConvSpread
AXAEuropeFINANCIALS4,439803,248,417,85924,714,415100127.500.50ConvSpread
BAE SYSTEMS PLCEuropeINDUSTRIALS1,542(8)792,344,401(2,580,255)10078.000.50ConvSpread
BAKER HUGHES INCORPORATEDAmericasENERGY9310393,390,134(945)10063.003.00ConvSpread
BANCA ITALEASE S.P.A.EuropeFINANCIALS236058,464,607(7,904)100280.000ConvSpread
BANCA MONTE DEI PASCHI DI SIENA S.P.A.EuropeFINANCIALS4,36434916,032,222(2,767,234)500525.00(37.50)ConvSpread
BANCA POPOLARE DI MILANO SOC. COOP. A R.L.EuropeFINANCIALS3991174,411,1374,035,047500395.00(5.00)ConvSpread
BANCO BILBAO VIZCAYA ARGENTARIA, SOCIEDAD ANONIMAEuropeFINANCIALS5,567261,780,149,001(16,428,040)500211.50(1.00)ConvSpread
BANCO COMERCIAL PORTUGUES, S.A.EuropeFINANCIALS2,6112397,760,206(2,764,148)500550.00(30.00)ConvSpread
BANCO DE SABADELL, S.A.EuropeFINANCIALS1,0193402,178,4695,740,225500280.000ConvSpread
BANCO ESPIRITO SANTO, S.A.EuropeFINANCIALS3,4041607,063,57610,073,587500465.00(30.00)ConvSpread
BANCO POPOLARE SOCIETA COOPERATIVAEuropeFINANCIALS2,55818776,822,439(8,068,054)500465.00(15.00)ConvSpread
BANCO POPULAR ESPANOL, S.A.EuropeFINANCIALS985(9)295,476,633(1,391,664)500335.00N/AConvSpread
BANCO SANTANDER, S.A.EuropeFINANCIALS6,852322,009,215,599118,434,660500200.50(1.00)ConvSpread
BANK OF AMERICA CORPORATIONAmericasFINANCIALS6,590153,486,215,20195,122,288100109.002.50ConvSpread
BANK OF SCOTLAND PLCEuropeFINANCIALS2,6739550,287,702(2,752,019)10075.008.50ConvSpread
BANKINTER S.A.EuropeFINANCIALS380(13)246,068,412(2,062,102)500255.00(0.50)ConvSpread
BANQUE CENTRALE DE TUNISIEEuropeGOVERNMENT2970228,561,3812,269100405.005.00ConvSpread
BARCLAYS BANK PLCEuropeFINANCIALS5,5491143,938,306,611402,333,861100122.500ConvSpread
BARRICK GOLD CORPORATIONAmericasBASIC MATERIALS2,509391,178,385,89528,267,271100280.002.00ConvSpread
BASF PERSONAL CARE AND NUTRITION GMBHEuropeBASIC MATERIALS8993134,251,480(13,196)10034.000ConvSpread
BASF SCHWEIZ AGEuropeBASIC MATERIALS2,13612751,050,9611,404,98610022.50N/AConvSpread
BASF SEEuropeBASIC MATERIALS2,277211,183,222,53791,416,92810053.502.00ConvSpread
BAUSCH & LOMB INCORPORATEDAmericasHEALTHCARE872(14)210,120,2254,994,74550042.5010.00ConvSpread
BAXTER INTERNATIONAL INC.AmericasHEALTHCARE1,39210630,973,60616,594,99010024.500ConvSpread
BAYER AKTIENGESELLSCHAFTEuropeHEALTHCARE2,01214916,801,18512,302,32710051.500ConvSpread
BAYERISCHE LANDESBANKEuropeFINANCIALS3801340,042,882(1,260,026)10082.500ConvSpread
BAYERISCHE MOTOREN WERKE AKTIENGESELLSCHAFTEuropeCONSUMER GOODS2,912561,594,292,34135,724,58710061.501.00ConvSpread
BCE INC.AmericasTELECOMMUNICATIONS SERVICES4473185,997,390(1,422)10056.000ConvSpread
BEAM INC.AmericasCONSUMER GOODS1,986(20)857,239,5211,301,18310063.001.50ConvSpread
BEAZER HOMES USA, INC.AmericasCONSUMER GOODS1,873(60)344,246,9206,596,659500512.505.00ConvSpread
BELLSOUTH CORPORATIONAmericasTELECOMMUNICATIONS SERVICES1,51313545,192,892987,06810036.000ConvSpread
BELO CORP.AmericasCONSUMER SERVICES2,767(177)693,668,774(13,348,429)500142.50(2.00)ConvSpread
BERKSHIRE HATHAWAY INC.AmericasFINANCIALS3,187(6)5,732,730,3149,457,44610073.500ConvSpread
BERTELSMANN SE & CO. KGAAEuropeCONSUMER SERVICES1,96110675,500,280(7,111,903)10065.50(1.00)ConvSpread
BEST BUY CO., INC.AmericasCONSUMER SERVICES1,547(287)390,092,389(6,000,540)500227.500ConvSpread
BHP BILLITON LIMITEDAustralia NZBASIC MATERIALS2,192(30)1,209,049,046(80,018,492)10075.000.50ConvSpread
BLOCK FINANCIAL LLCAmericasFINANCIALS2,18217658,210,7581,475,996500160.00(5.00)ConvSpread
BNP PARIBASEuropeFINANCIALS4,110892,283,229,199(39,028,165)100111.500ConvSpread
BOEING CAPITAL CORPORATIONAmericasFINANCIALS1,4585787,310,321(3,772)10016.00(0.50)ConvSpread
BOLIVARIAN REPUBLIC OF VENEZUELAAmericasGOVERNMENT3,5791301,780,071,369(14,644,149)500970.00(20.00)ConvSpread
BOMBARDIER INC.AmericasINDUSTRIALS2,351(10)583,966,1289,469,845500285.0010.00ConvSpread
BORGWARNER INC.AmericasCONSUMER GOODS1,3342335,462,3351,993,52210080.000ConvSpread
BOSTON PROPERTIES LIMITED PARTNERSHIPAmericasFINANCIALS1,012(3)379,183,11071,10710082.501.00ConvSpread
BOSTON SCIENTIFIC CORPORATIONAmericasHEALTHCARE2,3398920,261,811(23,674,761)10075.500ConvSpread
BOUYGUESEuropeTELECOMMUNICATIONS SERVICES1,66230847,266,9553,734,400100114.00(1.00)ConvSpread
BOYD GAMING CORPORATIONAmericasCONSUMER SERVICES1,486(47)334,422,084(4,754,104)500517.500ConvSpread
BP P.L.C.EuropeENERGY2,136(3)1,246,918,838(17,099,756)10071.503.50ConvSpread
BRIDGESTONE CORPORATIONJapanCONSUMER GOODS3280212,074,4322,369,09110030.000ConvSpread
BRISA - CONCESSAO RODOVIARIA, S.A.EuropeINDUSTRIALS6408232,719,778861,0915006.50(0.13)Upfront
BRISTOL-MYERS SQUIBB COMPANYAmericasHEALTHCARE1,64522520,974,24613,418,39510023.50(1.00)ConvSpread
BRITISH AIRWAYS PLCEuropeINDUSTRIALS2,83646506,479,50235,014,569500290.500.50ConvSpread
BRITISH AMERICAN TOBACCO P.L.C.EuropeCONSUMER GOODS2,196(1)957,807,342203,69910048.50(3.50)ConvSpread
BRITISH SKY BROADCASTING GROUP PLCEuropeCONSUMER SERVICES1,4756556,887,793(8,874,140)10063.50(1.00)ConvSpread
BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANYEuropeTELECOMMUNICATIONS SERVICES3,39881,367,784,809(26,593,428)10066.500ConvSpread
BRUNSWICK CORPORATIONAmericasCONSUMER GOODS2,4923776,322,282(241,251)100145.002.50ConvSpread
BURLINGTON NORTHERN SANTA FE, LLCAmericasINDUSTRIALS1,5848991,933,9271,999,05310020.50(1.00)ConvSpread
CA, INC.AmericasTECHNOLOGY1,375(27)394,271,689(3,553,460)10077.00(1.00)ConvSpread
CABLE & WIRELESS LIMITEDEuropeTELECOMMUNICATIONS SERVICES1,23415336,796,189(113,993)500315.00N/AConvSpread
CADBURY HOLDINGS LIMITEDEuropeCONSUMER GOODS1,92515277,913,952(16,548)10030.500ConvSpread
CAESARS ENTERTAINMENT OPERATING COMPANY, INC.AmericasCONSUMER SERVICES5,542(593)1,450,646,548(24,579,345)50057.250Upfront
CAIXA D'ESTALVIS I PENSIONS DE BARCELONAEuropeFINANCIALS863(3)524,069,4331,416,818100175.000ConvSpread
CAMPBELL SOUP COMPANYAmericasCONSUMER GOODS1,511(19)714,226,79121,452,91110057.50(2.00)ConvSpread
CANADIAN NATIONAL RAILWAY COMPANYAmericasINDUSTRIALS4034200,156,611(7,793)10021.500ConvSpread
CANADIAN NATURAL RESOURCES LIMITEDAmericasENERGY1,60921786,810,120(1,916,898)10072.002.50ConvSpread
CANON INC.JapanTECHNOLOGY3170320,302,8553,618,59910027.50(2.00)ConvSpread
CAP GEMINIEuropeTECHNOLOGY825(1)238,619,098(18,841)100111.000ConvSpread
CAPITAL ONE BANK (USA), NATIONAL ASSOCIATIONAmericasFINANCIALS1,932(27)801,395,175373,94110047.501.00ConvSpread
CAPITAL ONE FINANCIAL CORPORATIONAmericasFINANCIALS1,7594723,187,54010,728,85510091.004.50ConvSpread
CARDINAL HEALTH, INC.AmericasCONSUMER SERVICES1,82211854,667,5087,502,49310043.500ConvSpread
CARGILL, INCORPORATEDAmericasCONSUMER GOODS1,09415437,880,50945,705,72110055.00(0.50)ConvSpread
CARLSBERG BREWERIES A/SEuropeCONSUMER GOODS5405261,408,1608,311,51510094.00(5.00)ConvSpread
CARNIVAL CORPORATIONAmericasCONSUMER SERVICES2,631321,388,112,43626,234,82610093.501.00ConvSpread
CARREFOUREuropeCONSUMER SERVICES2,783(16)1,277,755,82476,86810096.00(1.50)ConvSpread
CASINO GUICHARD-PERRACHONEuropeCONSUMER SERVICES2,508(24)1,130,759,41545,258,505100132.50(2.00)ConvSpread
CATERPILLAR FINANCIAL SERVICES CORPORATIONAmericasFINANCIALS9918477,058,99510,557,92810080.00(0.50)ConvSpread
CATERPILLAR INC.AmericasINDUSTRIALS2,36932,175,505,008370,002,75510073.500ConvSpread
CBS CORPORATIONAmericasCONSUMER SERVICES3,065(27)1,330,985,75335,637,48410074.50(3.00)ConvSpread
CELESTICA INC.AmericasCONSUMER GOODS466(5)77,670,041(1,308)100102.500ConvSpread
CELLCO PARTNERSHIPAmericasTELECOMMUNICATIONS SERVICES193(3)133,907,390(1,042)10040.000ConvSpread
CENTERPOINT ENERGY RESOURCES CORP.AmericasUTILITIES321(2)179,361,080(3,038)10055.500ConvSpread
CENTERPOINT ENERGY, INC.AmericasUTILITIES720(4)303,237,6093,236,05710058.000ConvSpread
CENTEX CORPORATIONAmericasCONSUMER GOODS3,312(8)1,371,047,26512,500,80750050.00(4.50)ConvSpread
CENTRICA PLCEuropeUTILITIES2,1261779,766,4009,723,34410060.50(3.00)ConvSpread
CENTURYLINK, INC.AmericasTELECOMMUNICATIONS SERVICES3,418131,019,181,709(24,510,808)100261.00(4.00)ConvSpread
CHESAPEAKE ENERGY CORPORATIONAmericasENERGY2,635(4)1,104,168,85813,493,816500272.002.00ConvSpread
CHEVRON CORPORATIONAmericasENERGY761(2)268,625,285(9,915)10018.000ConvSpread
CHUBU ELECTRIC POWER COMPANY, INCORPORATEDJapanUTILITIES41010268,387,592(7,071,809)100100.0010.00ConvSpread
CIGNA CORPORATIONAmericasHEALTHCARE1,61517628,806,983(2,766,807)10044.50(1.00)ConvSpread
CIR S.P.A. - COMPAGNIE INDUSTRIALI RIUNITEEuropeUTILITIES92922241,729,75610,519,843500432.00(8.00)ConvSpread
CISCO SYSTEMS, INC.AmericasTECHNOLOGY5917403,760,0972,16310038.50(0.50)ConvSpread
CITIGROUP INC.AmericasFINANCIALS5,15002,559,508,53756,177,00410097.50(1.00)ConvSpread
CLARIANT AGEuropeBASIC MATERIALS2,91734777,273,876(13,467,306)100130.50(4.50)ConvSpread
CLEAR CHANNEL COMMUNICATIONS, INC.AmericasCONSUMER SERVICES4,706(1,019)995,298,82414,217,60950032.000.50Upfront
CMS ENERGY CORPORATIONAmericasUTILITIES1,156(19)446,515,759(4,901)10072.00(0.50)ConvSpread
CNA FINANCIAL CORPORATIONAmericasFINANCIALS1,237(11)442,317,4583,506,08710068.000ConvSpread
COCA-COLA REFRESHMENTS USA, INC.AmericasCONSUMER GOODS1,0700246,032,730793,39110024.00(5.00)ConvSpread
CODERE FINANCE (LUXEMBOURG) S.A.EuropeFINANCIALS2,98412430,880,2976,703,40550051.50(0.75)Upfront
COLES GROUP LIMITEDAustralia NZCONSUMER SERVICES1,022(13)526,385,5055,652,47110044.00(0.50)ConvSpread
COLGATE-PALMOLIVE COMPANYAmericasCONSUMER GOODS4241168,356,172(1,000,982)10025.00(4.00)ConvSpread
COLT TECHNOLOGY SERVICES GROUP LIMITEDEuropeTECHNOLOGY6062140,128,673(18,818)100155.000ConvSpread
COMCAST CABLE COMMUNICATIONS, LLCAmericasCONSUMER SERVICES2,149(22)773,704,734(5,373)10021.500ConvSpread
COMCAST CORPORATIONAmericasCONSUMER SERVICES955(6)735,429,816(205,541)10044.50(3.00)ConvSpread
COMMERCIAL METALS COMPANYAmericasBASIC MATERIALS8864201,737,592993,652500275.000ConvSpread
COMMERZBANK AKTIENGESELLSCHAFTEuropeFINANCIALS5,99992,366,389,11439,790,457100149.50(1.00)ConvSpread
COMMONWEALTH BANK OF AUSTRALIAAustralia NZFINANCIALS1,529(28)1,000,901,9129,970,780100107.50N/AConvSpread
COMMONWEALTH OF AUSTRALIAAustralia NZGOVERNMENT2,134(127)3,564,935,953(50,004,208)10042.00(0.50)ConvSpread
COMMUNITY HEALTH SYSTEMS, INC.AmericasHEALTHCARE884(10)255,255,32616,001,445500398.00(2.00)ConvSpread
COMPAGNIE DE SAINT-GOBAINEuropeINDUSTRIALS3,027(13)1,067,001,538(42,020,430)100139.00(1.00)ConvSpread
COMPASS GROUP PLCEuropeCONSUMER SERVICES2,39111792,009,9772,999,20610049.001.00ConvSpread
COMPUTER SCIENCES CORPORATIONAmericasTECHNOLOGY3,49341,558,927,5136,500,069500110.00(4.00)ConvSpread
CON-WAY INC.AmericasINDUSTRIALS1,07920533,075,550(15,998,645)100170.000ConvSpread
CONAGRA FOODS, INC.AmericasCONSUMER GOODS1,843(18)685,899,83668,453,60110065.00(0.50)ConvSpread
CONOCOPHILLIPSAmericasENERGY1,90911876,949,7778,997,31910030.50(1.00)ConvSpread
CONSOLIDATED EDISON COMPANY OF NEW YORK, INC.AmericasUTILITIES553(1)227,240,616(3,570)10042.000ConvSpread
CONSTELLATION BRANDS, INC.AmericasCONSUMER GOODS1,227(6)333,799,3621,996,371100125.00(4.50)ConvSpread
CONTINENTAL AKTIENGESELLSCHAFTEuropeCONSUMER GOODS5,079511,594,341,353(30,097,661)500119.00(6.00)ConvSpread
CONVATEC HEALTHCARE E S.A.EuropeHEALTHCARE626(2)244,151,971487,611500500.500ConvSpread
COOPER TIRE & RUBBER COMPANYAmericasCONSUMER GOODS1,29317189,467,654(17,708,898)500412.5047.50ConvSpread
COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK B.A.EuropeFINANCIALS1,839301,260,419,35669,496,06610092.00(0.50)ConvSpread
CORNING INCORPORATEDAmericasTECHNOLOGY1,06118382,444,58415,495,10910065.000ConvSpread
COSTCO WHOLESALE CORPORATIONAmericasCONSUMER SERVICES6590514,979,258(1,955)10035.002.00ConvSpread
COVIDIEN LTD.AmericasHEALTHCARE8992115,765,3131,06510061.003.00ConvSpread
COX COMMUNICATIONS, INC.AmericasCONSUMER SERVICES2,146(21)753,063,03212,542,691100112.00(3.00)ConvSpread
CREDIT AGRICOLE SAEuropeFINANCIALS4,459252,163,463,52841,104,187300139.50N/AConvSpread
CREDIT SUISSE GROUP LTDEuropeFINANCIALS3,177181,565,981,529(26,285,407)10096.00(0.50)ConvSpread
CROWN LIMITEDAustralia NZCONSUMER SERVICES805(2)324,339,2004,727,411100139.50(3.00)ConvSpread
CSC HOLDINGS, LLCAmericasCONSUMER SERVICES872(76)360,692,322(1,397)500280.00(10.00)ConvSpread
CSR LIMITEDAustralia NZINDUSTRIALS940(15)380,639,665(2,008,884)100112.000ConvSpread
CSX CORPORATIONAmericasINDUSTRIALS2,11228888,485,26711,475,42110034.503.50ConvSpread
CUMMINS INC.AmericasINDUSTRIALS1,0083377,650,4264,315,65910045.000ConvSpread
CVS CAREMARK CORPORATIONAmericasCONSUMER SERVICES1,80217779,367,61033,199,64410035.500ConvSpread
CYTEC INDUSTRIES INC.AmericasBASIC MATERIALS1,39839431,523,46323,429,176100108.00(2.00)ConvSpread
CZECH REPUBLICEuropeGOVERNMENT1,159(1)631,703,513(30,462)10060.000ConvSpread
D.R. HORTON, INC.AmericasCONSUMER GOODS2,683(29)1,114,129,52022,485,080100223.007.50ConvSpread
DAIMLER AGEuropeCONSUMER GOODS4,467372,899,708,917(118,296,472)10068.50(2.00)ConvSpread
DANAHER CORPORATIONAmericasINDUSTRIALS7943294,488,893(2,586)10043.000.50ConvSpread
DANONEEuropeCONSUMER GOODS1,480(16)936,488,704(80,183)10055.501.50ConvSpread
DANSKE BANK A/SEuropeFINANCIALS927(7)576,719,48626,973,050100115.0011.00ConvSpread
DARDEN RESTAURANTS, INC.AmericasCONSUMER SERVICES2,786(15)1,109,742,12222,158,225100201.006.00ConvSpread
DDR CORP.AmericasFINANCIALS819(2)422,618,678(4,010,154)100124.002.00ConvSpread
DE US, INC.AmericasCONSUMER SERVICES2,428(16)533,612,2791,981,54810051.000ConvSpread
DEAN FOODS COMPANYAmericasCONSUMER GOODS1,361(15)335,467,20627,303,887500290.0015.00ConvSpread
DEERE & COMPANYAmericasINDUSTRIALS1,63640912,093,4874,088,19310034.500.50ConvSpread
DELHAIZE AMERICA, LLCAmericasCONSUMER SERVICES1,130(11)312,626,7834,855,44810085.00(5.00)ConvSpread
DELL INC.AmericasTECHNOLOGY2,4491241,279,367,665156,699,603100404.50(10.50)ConvSpread
DELUXE CORPORATIONAmericasINDUSTRIALS520(7)176,324,584113100315.0010.00ConvSpread
DEUTSCHE BAHN AKTIENGESELLSCHAFTEuropeCONSUMER SERVICES58431518,184,9767,147,39310040.002.00ConvSpread
DEUTSCHE BANK AKTIENGESELLSCHAFTEuropeFINANCIALS6,043484,267,062,046(100,677,744)100102.00(0.50)ConvSpread
DEUTSCHE LUFTHANSA AKTIENGESELLSCHAFTEuropeINDUSTRIALS3,615191,303,619,6735,017,629100157.002.00ConvSpread
DEUTSCHE POST AGEuropeINDUSTRIALS1,665(2)606,124,382(52,861)10041.500ConvSpread
DEUTSCHE TELEKOM AGEuropeTELECOMMUNICATIONS SERVICES4,00162,499,411,554(60,864,800)10065.50(1.00)ConvSpread
DEVON ENERGY CORPORATIONAmericasENERGY1,748(1)687,280,49634,180,70510088.004.50ConvSpread
DEXIA CREDIT LOCALEuropeFINANCIALS1,0044432,144,914(1,678,563)500335.000ConvSpread
DIAMOND OFFSHORE DRILLING, INC.AmericasENERGY1,0547292,477,3529,056,95910052.000ConvSpread
DILLARD'S, INC.AmericasCONSUMER SERVICES1,216(91)287,590,9953,499,163500174.50(5.50)ConvSpread
DIRECTV HOLDINGS LLCAmericasCONSUMER SERVICES1,189(36)652,549,5109,743,980100137.00(5.00)ConvSpread
DISH DBS CORPORATIONAmericasCONSUMER SERVICES1,548(92)728,402,237(1,468,861)500265.005.00ConvSpread
DIXONS RETAIL PLCEuropeCONSUMER SERVICES3,46437680,435,9648,480,353500277.50(3.00)ConvSpread
DNB BANK ASAEuropeFINANCIALS304(2)228,614,143(32,302)10070.000ConvSpread
DOLE FOOD COMPANY, INC.AmericasCONSUMER GOODS580(3)165,605,235(9,678)500420.0010.00ConvSpread
DOMINION RESOURCES, INC.AmericasUTILITIES1,8031530,917,553(63,189,209)10032.501.00ConvSpread
DOVER CORPORATIONAmericasINDUSTRIALS3883169,839,938(2,063)10052.00(6.00)ConvSpread
DP WORLD LIMITEDEuropeGOVERNMENT347(1)317,428,875(9,730)100165.000ConvSpread
DPL INC.AmericasUTILITIES358(11)90,917,419(1,131)100200.00N/AConvSpread
DTE ENERGY COMPANYAmericasUTILITIES626(2)298,267,597(4,462)10061.000ConvSpread
DUBAIEuropeGOVERNMENT1,260(13)566,195,0000.00500200.000ConvSpread
DUKE ENERGY CAROLINAS, LLCAmericasUTILITIES1,4275622,792,480(4,692)10021.501.50ConvSpread
DUKE REALTY LIMITED PARTNERSHIPAmericasFINANCIALS519(9)187,257,209(3,472)100115.001.00ConvSpread
E. I. DU PONT DE NEMOURS AND COMPANYAmericasBASIC MATERIALS1,79830953,315,684(258,309)10056.50(1.00)ConvSpread
E.ON SEEuropeUTILITIES2,82351,579,048,342(6,916,188)10082.500.50ConvSpread
EAST JAPAN RAILWAY COMPANYJapanCONSUMER SERVICES2820164,364,5411,799,43410025.00(2.00)ConvSpread
EASTMAN CHEMICAL COMPANYAmericasBASIC MATERIALS2,67213880,243,348(57,291,989)10094.50(3.00)ConvSpread
EATON CORPORATIONAmericasINDUSTRIALS8170237,921,018(2,184)10065.00(4.50)ConvSpread
EDISON S.P.A.EuropeUTILITIES1,1374497,438,657(67,784)10065.001.00ConvSpread
EDP - ENERGIAS DE PORTUGAL, S.A.EuropeUTILITIES3,526431,189,892,32644,812,728500330.00(0.50)ConvSpread
EFIH FINANCE INC.AmericasUTILITIES1,945(12)97,408,022(4,428)50042.00(0.50)Upfront
EILEME 2 AB (PUBL)EuropeTELECOMMUNICATIONS SERVICES4679248,340,2025,849,1485001.630.25Upfront
EL PASO LLCAmericasENERGY1,183(19)688,234,7844,999,374100195.000ConvSpread
ELECTRICITE DE FRANCEEuropeUTILITIES2,563(27)1,390,442,41228,510,93210075.50(0.50)ConvSpread
ELI LILLY AND COMPANYAmericasHEALTHCARE730(2)479,253,016984,81010031.500ConvSpread
EMBARQ CORPORATIONAmericasTELECOMMUNICATIONS SERVICES2,57831,077,870,1532,199,202100220.505.50ConvSpread
EMERSON ELECTRIC CO.AmericasINDUSTRIALS425(2)144,876,0027,001,01010046.00(1.00)ConvSpread
EMI GROUP LIMITEDEuropeCONSUMER SERVICES906(2)148,486,088(15,031)10094.0015.00ConvSpread
ENBRIDGE ENERGY PARTNERS, L.P.AmericasENERGY4460271,828,2621,61810097.000ConvSpread
ENBRIDGE INC.AmericasENERGY1,00926776,391,719(41,011,619)10086.000ConvSpread
ENBW ENERGIE BADEN-WUERTTEMBERG AGEuropeUTILITIES1,266(8)433,802,31919,630,63210082.500.50ConvSpread
ENCANA CORPORATIONAmericasENERGY1,238(5)706,143,79819,740,172100141.5011.50ConvSpread
ENDESA, S.A.EuropeUTILITIES1,55314697,429,864(1,435,797)10096.001.00ConvSpread
ENEL S.P.A.EuropeUTILITIES3,306382,493,233,63990,719,713100201.00(4.50)ConvSpread
ENERGY FUTURE INTERMEDIATE HOLDING COMPANY LLCAmericasUTILITIES2,061(10)208,661,9792,998,69050042.000Upfront
ENERGY TRANSFER PARTNERS, L.P.AmericasENERGY5897368,786,3249,623,015100120.000ConvSpread
ENI S.P.A.EuropeENERGY1,43291,210,192,920(9,619,875)100112.00(3.50)ConvSpread
ENTERGY CORPORATIONAmericasUTILITIES1,334(21)370,077,269(24,611,677)100155.5010.50ConvSpread
EOP OPERATING LIMITED PARTNERSHIPAmericasFINANCIALS1,733(20)449,410,992(5,509)10050.000ConvSpread
ERAC USA FINANCE LLCAmericasCONSUMER SERVICES416(3)220,784,824(2,214)10085.00N/AConvSpread
ERP OPERATING LIMITED PARTNERSHIPAmericasFINANCIALS1,1705479,894,974(28,586,871)10066.501.00ConvSpread
ERSTE GROUP BANK AGEuropeFINANCIALS4532301,627,5752,666,403100150.000ConvSpread
EUROPEAN AERONAUTIC DEFENCE AND SPACE COMPANY EADS N.V.EuropeINDUSTRIALS2,713(19)1,478,739,242(13,720,729)10072.000.50ConvSpread
EVEREST REINSURANCE HOLDINGS, INC.AmericasFINANCIALS377(1)174,113,203(1,072)10065.500ConvSpread
EVONIK DEGUSSA GMBHEuropeBASIC MATERIALS1,39411293,000,0105,319,52510030.00(12.50)ConvSpread
EXELON CORPORATIONAmericasUTILITIES2,50724893,813,771(21,835,481)10070.501.00ConvSpread
EXELON GENERATION COMPANY, LLCAmericasUTILITIES1,1762757,721,5211,392,626100142.000ConvSpread
EXPEDIA, INC.AmericasCONSUMER SERVICES1,92519691,912,32346,078,429100176.003.00ConvSpread
EXPERIAN FINANCE PLCEuropeCONSUMER SERVICES2,19712912,531,519(16,673,957)10051.003.00ConvSpread
EXXON MOBIL CORPORATIONAmericasENERGY418(2)364,562,077(4,688)10015.000ConvSpread
FCE BANK PLCEuropeFINANCIALS6542201,001,380112,078500117.001.00ConvSpread
FEDERAL REPUBLIC OF GERMANYEuropeGOVERNMENT4,202(29)13,117,574,816(10,560,351)2524.000ConvSpread
FEDERATIVE REPUBLIC OF BRAZILAmericasGOVERNMENT9,3555714,468,194,736370,312,696100164.00(6.00)ConvSpread
FEDEX CORPORATIONAmericasINDUSTRIALS1,116(12)498,830,364(5,821,705)10075.000ConvSpread
FIAT INDUSTRIAL S.P.A.EuropeINDUSTRIALS9239589,898,134(14,331,018)500224.50(5.50)ConvSpread
FIAT S.P.A.EuropeCONSUMER GOODS3,477211,228,327,934(641,202)500445.500.50ConvSpread
FIFTH & PACIFIC COMPANIES, INC.AmericasCONSUMER SERVICES3,796(140)503,607,53913,066,576500165.00(10.00)ConvSpread
FINMECCANICA S.P.A.EuropeINDUSTRIALS2,79444657,092,557(3,123,156)500302.503.00ConvSpread
FIRST DATA CORPORATIONAmericasINDUSTRIALS3,25723659,658,89010,272,7785006.380.13Upfront
FIRSTENERGY CORP.AmericasUTILITIES1,90910860,190,851(16,752,404)100162.00(0.50)ConvSpread
FKI LIMITEDEuropeINDUSTRIALS1,1020208,547,4341,033,39910090.500.50ConvSpread
FLEXTRONICS INTERNATIONAL LTD.AmericasINDUSTRIALS1,679(64)238,369,22023,305,541100147.502.50ConvSpread
FORD MOTOR COMPANYAmericasCONSUMER GOODS2,433(24)1,459,697,18623,741,984500124.50(1.00)ConvSpread
FORD MOTOR CREDIT COMPANY LLCAmericasFINANCIALS1,810(3)770,263,591(7,927,602)500119.50(5.00)ConvSpread
FOREST OIL CORPORATIONAmericasENERGY1,399(7)418,429,80413,999,091500500.0042.50ConvSpread
FORTUM OYJEuropeUTILITIES1,2966782,581,8711,759,34310060.505.00ConvSpread
FOSTER'S GROUP PTY LTDAustralia NZCONSUMER GOODS969(9)385,538,140(4,211)10041.001.00ConvSpread
FREEPORT-MCMORAN COPPER & GOLD INC.AmericasBASIC MATERIALS1,36114667,527,118(17,647,435)100175.00(5.00)ConvSpread
FREEPORT-MCMORAN CORPORATIONAmericasBASIC MATERIALS1,022(3)429,434,842(15,555)10032.500ConvSpread
FREESCALE SEMICONDUCTOR, INC.AmericasTECHNOLOGY1,587(3)421,980,429(1,615,067)500455.00(5.00)ConvSpread
FRENCH REPUBLICEuropeGOVERNMENT6,23911411,742,114,28525,758,7172567.001.00ConvSpread
FRESENIUS SE & CO. KGAAEuropeHEALTHCARE1,90112654,822,874955,890100161.00(2.00)ConvSpread
FRONTIER COMMUNICATIONS CORPORATIONAmericasTELECOMMUNICATIONS SERVICES2,985(8)635,171,24418,015,812500367.50(7.50)ConvSpread
FUJITSU LIMITEDJapanTECHNOLOGY1,032(4)629,255,2206,795,96210071.501.50ConvSpread
GANNETT CO., INC.AmericasCONSUMER SERVICES3,858(232)915,687,720187,615500188.00(6.50)ConvSpread
GAS NATURAL SDG, S.A.EuropeUTILITIES2,83111,272,906,02158,542,281100163.00(2.00)ConvSpread
GATX CORPORATIONAmericasFINANCIALS1,24418430,203,544(4,001,744)10098.500ConvSpread
GDF SUEZEuropeUTILITIES2,600(24)1,700,824,802(9,660,293)10078.50(0.50)ConvSpread
GECINAEuropeFINANCIALS1,27018435,570,933(1,813,460)100125.000ConvSpread
GENERAL DYNAMICS CORPORATIONAmericasINDUSTRIALS449(3)175,020,0042,73610033.00(0.50)ConvSpread
GENERAL ELECTRIC CAPITAL CORPORATIONAmericasFINANCIALS5,123(6)7,425,574,272(99,551,673)10085.50(2.00)ConvSpread
GENERAL MILLS, INC.AmericasCONSUMER GOODS1,467(6)643,736,988(10,301,830)10034.50(3.00)ConvSpread
GENERAL MOTORS COMPANYAmericasCONSUMER GOODS73711513,500,000(37,700,000)500179.00(2.00)ConvSpread
GENON ENERGY, INC.AmericasUTILITIES1,096(25)309,596,0002,197,500500480.000ConvSpread
GENON NORTH AMERICA, LLCAmericasUTILITIES556(11)132,788,780(1,035)100119.502.00ConvSpread
GENWORTH HOLDINGS, INC.AmericasFINANCIALS2,219(4)757,120,7494,969,325500180.000ConvSpread
GEORGIA-PACIFIC LLCAmericasCONSUMER GOODS1,234(2)327,316,667(3,424)10080.00(3.00)ConvSpread
GKN HOLDINGS PLCEuropeCONSUMER GOODS2,56719842,111,846(150,733)100140.00(3.00)ConvSpread
GLAXOSMITHKLINE PLCEuropeHEALTHCARE8420725,153,554960,72510046.500ConvSpread
GLENCORE INTERNATIONAL AGEuropeBASIC MATERIALS3,414951,725,762,84710,255,079100199.502.00ConvSpread
GOODRICH CORPORATIONAmericasINDUSTRIALS1,4722653,861,80310,812,55910014.501.00ConvSpread
GPT RE LIMITED AS RESPONSIBLE ENTITY OF THE GENERAL PROPERTY TRUSTAustralia NZFINANCIALS602(8)327,048,0921,156,829100114.00(1.00)ConvSpread
GROHE HOLDING GMBHEuropeCONSUMER GOODS1,91521274,172,858(8,759,698)50085.00(5.50)ConvSpread
GROUPE AUCHANEuropeCONSUMER SERVICES1,4493681,688,494(7,793,469)10065.500ConvSpread
H. J. HEINZ COMPANYAmericasCONSUMER GOODS2,2216905,690,581435,116100169.502.00ConvSpread
HALLIBURTON COMPANYAmericasENERGY1,74612632,627,10914,999,96510037.500ConvSpread
HAMMERSON PLCEuropeFINANCIALS1,21016348,861,585(387,813)10092.00(1.00)ConvSpread
HANKYU HANSHIN HOLDINGS, INC.JapanCONSUMER SERVICES629(1)353,708,02834,301,81310045.00(3.00)ConvSpread
HANNOVER RUECK SEEuropeFINANCIALS53259436,763,23072,001,985100100.50(0.50)ConvSpread
HANSON LIMITEDEuropeINDUSTRIALS2,0741624,522,14131,861100120.0010.00ConvSpread
HASBRO, INC.AmericasCONSUMER GOODS936(5)223,935,568(6,500,042)10082.50(2.50)ConvSpread
HAVASEuropeCONSUMER SERVICES1,1918307,460,428(13,158,831)100132.00(3.00)ConvSpread
HCA INC.AmericasHEALTHCARE2,0553618,126,6214,726,057500275.00(10.00)ConvSpread
HCP, INC.AmericasFINANCIALS1,1492600,875,220(3,327,879)100110.504.00ConvSpread
HEALTH CARE REIT, INC.AmericasFINANCIALS7080416,271,789(8,019)100108.502.00ConvSpread
HEALTH MANAGEMENT ASSOCIATES, INC.AmericasHEALTHCARE1,188(40)233,328,78312,001,448500235.000ConvSpread
HEATHROW FUNDING LIMITEDEuropeINDUSTRIALS1,87812660,598,788(3,890,088)100103.001.00ConvSpread
HEIDELBERGCEMENT AGEuropeINDUSTRIALS3,18545792,481,8335,906,861500202.50(2.50)ConvSpread
HEINEKEN N.V.EuropeCONSUMER GOODS422(2)248,655,098(13,215,591)10065.00(0.50)ConvSpread
HELLENIC TELECOMMUNICATIONS ORGANISATION SOCIETE ANONYMEEuropeTELECOMMUNICATIONS SERVICES4,20751765,197,359(33,782,196)500475.005.00ConvSpread
HENKEL AG & CO. KGAAEuropeCONSUMER GOODS1,36320550,803,80622,907,45010047.500ConvSpread
HESS CORPORATIONAmericasENERGY1,360(5)450,286,48718,712,955100109.000ConvSpread
HEWLETT-PACKARD COMPANYAmericasTECHNOLOGY2,642(20)1,193,904,93021,777,485100180.00(4.00)ConvSpread
HITACHI, LTD.JapanINDUSTRIALS9354355,364,1239,797,98910043.501.50ConvSpread
HOLCIM LTDEuropeINDUSTRIALS2,319(4)1,206,878,823(3,703,292)100138.000ConvSpread
HONDA MOTOR CO., LTD.JapanCONSUMER GOODS941(3)596,214,2655,262,20110031.500.50ConvSpread
HONEYWELL INTERNATIONAL INC.AmericasINDUSTRIALS1,4936781,558,3061,232,38010023.00(1.00)ConvSpread
HOSPITALITY PROPERTIES TRUSTAmericasFINANCIALS4278185,062,33481,308100155.000ConvSpread
HOST HOTELS & RESORTS, L.P.AmericasFINANCIALS1,443(4)472,455,562(11,516,033)100131.003.00ConvSpread
HP ENTERPRISE SERVICES, LLCAmericasTECHNOLOGY1,200(9)342,921,75011,968,34510082.000ConvSpread
HSBC BANK PLCEuropeFINANCIALS2,567361,757,734,650(24,533,383)10090.500ConvSpread
HSBC FINANCE CORPORATIONAmericasFINANCIALS1,8361967,403,410(11,062,464)10042.508.50ConvSpread
HUMANA INC.AmericasHEALTHCARE8017187,694,650(14,001,902)10096.000ConvSpread
HUNGARYEuropeGOVERNMENT5,482(83)1,602,209,613(1,045,770)500273.50(1,281.12)ConvSpread
HUNTSMAN INTERNATIONAL LLCAmericasBASIC MATERIALS486(17)89,865,0000.00500280.000ConvSpread
HUSKY ENERGY INC.AmericasENERGY4861173,565,16770910074.00(6.00)ConvSpread
HUTCHISON WHAMPOA LIMITEDAsia Ex-JapanCONSUMER SERVICES3,188(27)1,516,333,24160,608,62910093.000ConvSpread
IBERDROLA, S.A.EuropeUTILITIES2,174(9)968,923,384(15,007,148)100163.003.00ConvSpread
ILLINOIS TOOL WORKS INC.AmericasINDUSTRIALS260(2)95,401,736(1,408)10043.00(1.00)ConvSpread
IMPERIAL CHEMICAL INDUSTRIES LIMITEDEuropeBASIC MATERIALS1,2847364,693,719(31,349)10022.000ConvSpread
IMPERIAL TOBACCO GROUP PLCEuropeCONSUMER GOODS2,43971,073,431,915(48,016,231)10081.50(1.00)ConvSpread
INEOS GROUP HOLDINGS LIMITEDEuropeBASIC MATERIALS2,0011257,924,562(10,171,699)500110.000ConvSpread
INFINEON TECHNOLOGIES HOLDING B.V.EuropeTECHNOLOGY825(2)230,571,968(6,325,580)500118.000.50ConvSpread
ING BANK N.V.EuropeFINANCIALS2,237(2)1,348,620,571(11,001,527)100111.500ConvSpread
ING VERZEKERINGEN N.V.EuropeFINANCIALS6040455,870,361(42,739)10080.000ConvSpread
INGERSOLL-RAND COMPANYAmericasINDUSTRIALS2,51991,588,780,008(7,516)10021.500ConvSpread
INTERNATIONAL BUSINESS MACHINES CORPORATIONAmericasTECHNOLOGY1,828131,041,365,58019,886,30410040.500.50ConvSpread
INTERNATIONAL GAME TECHNOLOGYAmericasCONSUMER SERVICES5156217,964,428(2,733)100130.007.50ConvSpread
INTERNATIONAL LEASE FINANCE CORPORATIONAmericasFINANCIALS3,956(19)1,241,360,18158,410,408500293.50(1.50)ConvSpread
INTERNATIONAL PAPER COMPANYAmericasBASIC MATERIALS3,049381,574,704,64027,840,72010091.500ConvSpread
INTERVAL ACQUISITION CORP.AmericasCONSUMER SERVICES2,716(42)858,800,84010,914,04610077.000ConvSpread
INTESA SANPAOLO SPAEuropeFINANCIALS5,570361,880,998,02450,267,371500250.501.50ConvSpread
INVENSYS PLCEuropeINDUSTRIALS8221122,544,793(18,741)10065.000ConvSpread
INVESTOR AKTIEBOLAGEuropeFINANCIALS8625392,337,773(44,329)10062.50(2.50)ConvSpread
IRELANDEuropeGOVERNMENT3,24262,167,678,282(238,662)100135.00(0.50)ConvSpread
IRON MOUNTAIN INCORPORATEDAmericasINDUSTRIALS612(33)199,580,956(669)100341.001.00ConvSpread
ISS A/SEuropeINDUSTRIALS1,266(5)189,424,650(10,437,284)500102.502.50ConvSpread
ISS GLOBAL A/SEuropeFINANCIALS67319251,813,29815,788,851500227.502.00ConvSpread
ISTAR FINANCIAL INC.AmericasFINANCIALS3,171(46)851,767,983136,721500360.002.50ConvSpread
ITOCHU CORPORATIONJapanINDUSTRIALS915(2)786,018,4623,299,09510065.000ConvSpread
ITV PLCEuropeCONSUMER SERVICES3,01332743,061,6708,149,231500122.002.00ConvSpread
J SAINSBURY PLCEuropeCONSUMER SERVICES1,8876652,829,021(7,794,047)100113.500.50ConvSpread
J. C. PENNEY COMPANY, INC.AmericasCONSUMER SERVICES5,635(556)1,756,454,412(27,850,567)50027.00(0.75)Upfront
JAGUAR LAND ROVER AUTOMOTIVE PLCEuropeCONSUMER GOODS46415382,238,00810,928,116500275.00(2.50)ConvSpread
JAPANJapanGOVERNMENT6,675(210)9,189,101,30730,166,80810063.000ConvSpread
JAPAN TOBACCO INC.JapanCONSUMER GOODS4690337,058,6933,129,65110035.004.00ConvSpread
JEMENA LIMITEDAustralia NZUTILITIES555(5)275,086,826(1,038)100120.00(2.50)ConvSpread
JFE HOLDINGS, INC.JapanBASIC MATERIALS1,70841,508,614,37921,985,169100110.002.00ConvSpread
JFE STEEL CORPORATIONJapanBASIC MATERIALS991(3)494,314,7396,882,106100104.00(1.00)ConvSpread
JOHN DEERE CAPITAL CORPORATIONAmericasFINANCIALS6046236,360,3454,998,20510045.000ConvSpread
JOHNSON & JOHNSONAmericasHEALTHCARE1,030(1)761,329,912(5,018,830)10022.500ConvSpread
JOHNSON CONTROLS, INC.AmericasCONSUMER GOODS1,55021704,468,84616,525,17910073.500.50ConvSpread
JPMORGAN CHASE & CO.AmericasFINANCIALS6,137464,114,048,13353,785,87510090.50(1.00)ConvSpread
JSC "GAZPROM"EuropeGOVERNMENT4,378401,627,461,804(20,961,980)100235.00(1.00)ConvSpread
JTI (UK) FINANCE PLCEuropeFINANCIALS99114401,882,361(10,518,920)10034.500ConvSpread
K. HOVNANIAN ENTERPRISES, INC.AmericasCONSUMER GOODS2,708(110)486,976,566(4,000,050)500572.50(5.00)ConvSpread
KABEL DEUTSCHLAND VERTRIEB UND SERVICE GMBHEuropeCONSUMER SERVICES2,316(14)256,438,235(6,943,653)50053.503.00ConvSpread
KAJIMA CORPORATIONJapanINDUSTRIALS4781181,170,181212,26710090.000ConvSpread
KAWASAKI HEAVY INDUSTRIES, LTD.JapanINDUSTRIALS9198607,963,33916,967,69110080.004.00ConvSpread
KAWASAKI KISEN KAISHA, LTD.JapanINDUSTRIALS584(7)206,678,173(2,723,387)100255.000ConvSpread
KB HOMEAmericasCONSUMER GOODS2,819(25)661,023,8549,862,581500360.000.50ConvSpread
KBC BANKEuropeFINANCIALS3430285,442,326(38,168)100150.000ConvSpread
KELDA GROUP LIMITEDEuropeUTILITIES1,0835354,731,449(43,417)100115.000ConvSpread
KELLOGG COMPANYAmericasCONSUMER GOODS497(2)232,150,673(1,951,169)10055.002.00ConvSpread
KERINGEuropeCONSUMER SERVICES2,345(12)888,052,10015,357,17410090.00(0.50)ConvSpread
KERR-MCGEE CORPORATIONAmericasENERGY785(8)191,038,734(1,342)100100.000ConvSpread
KIMBERLY-CLARK CORPORATIONAmericasCONSUMER GOODS1,4489522,627,042(1,009,384)10035.00(3.00)ConvSpread
KIMCO REALTY CORPORATIONAmericasFINANCIALS1,1412550,331,842(511,496)10090.503.00ConvSpread
KINDER MORGAN ENERGY PARTNERS, L.P.AmericasENERGY1,49332683,265,716(25,922,962)10092.50(3.00)ConvSpread
KINDER MORGAN, INC.AmericasENERGY1,67015585,519,76911,509,224100200.500ConvSpread
KINGDOM OF BELGIUMEuropeGOVERNMENT3,123263,165,861,8542,029,95510057.000.50ConvSpread
KINGDOM OF DENMARKEuropeGOVERNMENT1,498(44)1,934,507,674(34,859)2522.00(0.50)ConvSpread
KINGDOM OF NORWAYEuropeGOVERNMENT559(2)797,031,040(27,437)2515.501.00ConvSpread
KINGDOM OF SAUDI ARABIAEuropeGOVERNMENT3110475,550,0000.0010063.000ConvSpread
KINGDOM OF SPAINEuropeGOVERNMENT7,5921789,258,670,529(62,584,835)100213.002.00ConvSpread
KINGDOM OF SWEDENEuropeGOVERNMENT1,330(3)1,666,048,563(61,421)2517.500.50ConvSpread
KINGDOM OF THAILANDAsia Ex-JapanGOVERNMENT1,727(14)722,439,0593,382,702100130.004.00ConvSpread
KINGDOM OF THE NETHERLANDSEuropeGOVERNMENT1,74043,124,571,883(47,322,850)2548.501.00ConvSpread
KINGFISHER PLCEuropeCONSUMER SERVICES2,586(16)980,258,01212,860,56210086.502.50ConvSpread
KINTETSU CORPORATIONJapanCONSUMER SERVICES8224467,937,99234,532,636100110.00(3.00)ConvSpread
KLEPIERREEuropeFINANCIALS415(13)177,714,2383,355,474100110.002.00ConvSpread
KOBE STEEL, LTD.JapanBASIC MATERIALS2,293271,532,961,95421,033,665100250.002.50ConvSpread
KOHL'S CORPORATIONAmericasCONSUMER SERVICES2,355(5)908,298,9079,005,531100145.50(2.50)ConvSpread
KOMATSU LTD.JapanINDUSTRIALS6328551,207,7655,878,29010041.500ConvSpread
KONINKLIJKE AHOLD N.V.EuropeCONSUMER SERVICES1,9623763,799,8692,965,94810084.50(1.00)ConvSpread
KONINKLIJKE DSM N.V.EuropeBASIC MATERIALS2,48471,168,119,456(26,345,175)10052.50(1.00)ConvSpread
KONINKLIJKE KPN N.V.EuropeTELECOMMUNICATIONS SERVICES3,668(20)1,660,998,92865,519,901100133.00(1.00)ConvSpread
KONINKLIJKE PHILIPS N.V.EuropeCONSUMER GOODS2,332(17)1,035,637,103(8,149,007)10058.00(2.00)ConvSpread
L BRANDS, INC.AmericasCONSUMER SERVICES4,046(51)1,302,427,744(35,647)100192.500ConvSpread
L'AIR LIQUIDE SOCIETE ANONYME POUR L'ETUDE ET L'EXPLOITATION DES PROCEDES GEORGES CLAUDEEuropeBASIC MATERIALS1,2393420,214,49418,977,21610043.002.50ConvSpread
L-3 COMMUNICATIONS CORPORATIONAmericasINDUSTRIALS686(2)251,445,945(7,482)10070.000ConvSpread
LADBROKES PLCEuropeCONSUMER SERVICES1,84211481,282,993(9,759,069)100328.503.50ConvSpread
LAFARGEEuropeINDUSTRIALS4,0761321,626,134,57212,972,970100240.50(2.00)ConvSpread
LANXESS AKTIENGESELLSCHAFTEuropeBASIC MATERIALS1,727(12)1,130,856,72233,427,734100147.00(3.00)ConvSpread
LEBANESE REPUBLICEuropeGOVERNMENT363(13)628,035,000(4,717,500)500395.00(5.00)ConvSpread
LEGAL & GENERAL GROUP PLCEuropeFINANCIALS7100247,914,942(33,242)100100.000ConvSpread
LEND LEASE CORPORATION LTDAustralia NZINDUSTRIALS678(13)338,484,031452,216100210.0010.00ConvSpread
LENNAR CORPORATIONAmericasCONSUMER GOODS4,347(27)1,170,630,97011,606,188500260.002.50ConvSpread
LEVEL 3 COMMUNICATIONS, INC.AmericasTELECOMMUNICATIONS SERVICES1,048(8)238,281,305(1,699,689)500370.50(9.50)ConvSpread
LEVI STRAUSS & CO.AmericasCONSUMER GOODS1,091(34)236,787,498(843)500261.50(3.50)ConvSpread
LEXMARK INTERNATIONAL, INC.AmericasTECHNOLOGY8038271,301,112(5,010,110)100285.000ConvSpread
LIBERTY INTERACTIVE LLCAmericasCONSUMER SERVICES1,973(40)559,572,476(10,809,186)500215.0015.00ConvSpread
LIBERTY MUTUAL GROUP INC.AmericasFINANCIALS957(31)353,714,6538,517,506100136.009.00ConvSpread
LIBERTY MUTUAL INSURANCE COMPANYAmericasFINANCIALS1,200(1)272,126,948(5,429)10073.000ConvSpread
LINCOLN NATIONAL CORPORATIONAmericasFINANCIALS1,0584714,194,773(7,011,477)100121.50(1.00)ConvSpread
LINDE AKTIENGESELLSCHAFTEuropeBASIC MATERIALS1,9288919,895,82016,038,71010047.501.00ConvSpread
LOCKHEED MARTIN CORPORATIONAmericasINDUSTRIALS1,58921,129,764,100(20,597,518)10039.502.50ConvSpread
LOEWS CORPORATIONAmericasFINANCIALS1,71019640,053,9804,999,94010041.50(1.00)ConvSpread
LOUISIANA-PACIFIC CORPORATIONAmericasCONSUMER GOODS3,197(93)654,461,653(26,141,111)500170.00(4.50)ConvSpread
LOWE'S COMPANIES, INC.AmericasCONSUMER SERVICES1,583121,144,163,3995,088,64710034.500ConvSpread
LVMH MOET HENNESSY LOUIS VUITTONEuropeCONSUMER GOODS1,799(15)717,354,8071,734,00410060.000ConvSpread
M.D.C. HOLDINGS, INC.AmericasCONSUMER GOODS1,8315733,677,16266,276,673100180.00(8.00)ConvSpread
MACQUARIE BANK LIMITEDAustralia NZFINANCIALS1,173(13)568,415,97035,292100133.00N/AConvSpread
MACY'S, INC.AmericasCONSUMER SERVICES3,238451,513,249,155(19,669,760)100105.50(2.00)ConvSpread
MALAYSIAAsia Ex-JapanGOVERNMENT2,234271,688,273,98199,648,181100125.000ConvSpread
MANOR CARE, INC.AmericasHEALTHCARE8970409,807,032(4,651)100150.000ConvSpread
MARATHON OIL CORPORATIONAmericasENERGY8554251,401,1642,742,42210084.004.00ConvSpread
MARKS AND SPENCER P.L.C.EuropeCONSUMER SERVICES3,03923965,530,200(38,245,159)100162.00(2.00)ConvSpread
MARRIOTT INTERNATIONAL, INC.AmericasCONSUMER SERVICES2,336(16)1,387,179,878(6,646)10067.50(1.00)ConvSpread
MARSH & MCLENNAN COMPANIES, INC.AmericasFINANCIALS2,16022662,991,52814,229,87610047.500ConvSpread
MARTIN MARIETTA MATERIALS, INC.AmericasINDUSTRIALS3885281,442,330(9,642)100104.50(3.00)ConvSpread
MARUBENI CORPORATIONJapanENERGY1,0075603,115,63732,627,85110085.000ConvSpread
MASCO CORPORATIONAmericasCONSUMER GOODS2,838211,145,494,571589,432500175.000.50ConvSpread
MATTEL, INC.AmericasCONSUMER GOODS1,18520344,756,260(3,527,729)10060.004.50ConvSpread
MBIA INC.AmericasFINANCIALS3,483(7)1,298,988,155(18,891,562)500605.002.50ConvSpread
MBIA INSURANCE CORPORATIONAmericasFINANCIALS6,54371,546,150,267(182,203,475)50017.750.50Upfront
MCDONALD'S CORPORATIONAmericasCONSUMER SERVICES1,597(5)747,232,0083,914,06710019.501.00ConvSpread
MCKESSON CORPORATIONAmericasHEALTHCARE1,7939690,685,26110,136,73810028.505.00ConvSpread
MEADWESTVACO CORPORATIONAmericasINDUSTRIALS3,091451,039,397,344(11,562,011)100103.002.00ConvSpread
MEDCO HEALTH SOLUTIONS, INC.AmericasHEALTHCARE4973147,580,343(6,947)10020.50N/AConvSpread
MEDIACOM LLCAmericasCONSUMER SERVICES590(8)166,567,219(502,026)500300.000ConvSpread
MEDIOBANCA BANCA DI CREDITO FINANZIARIO SOCIETA PER AZIONIEuropeFINANCIALS4510429,099,291(11,513)500190.000ConvSpread
MEDTRONIC, INC.AmericasHEALTHCARE839(4)426,627,626(2,953)10037.00(0.50)ConvSpread
MELIA HOTELS INTERNATIONAL, S.A.EuropeCONSUMER SERVICES1,8654560,991,75315,460,2595002.25(0.38)Upfront
MERCK & CO., INC.AmericasHEALTHCARE6951238,790,779(14,122)10045.500ConvSpread
MERCK KOMMANDITGESELLSCHAFT AUF AKTIENEuropeHEALTHCARE2890247,302,799(30,827)10053.00(4.50)ConvSpread
MERCK SHARP & DOHME CORP.AmericasHEALTHCARE1,0527353,042,4123,786,64710014.000ConvSpread
MERITOR, INC.AmericasCONSUMER GOODS2,11931428,271,34027,865,576500422.503.00ConvSpread
MERRILL LYNCH & CO., INC.AmericasFINANCIALS3,22821,862,245,53818,284,180100107.001.50ConvSpread
METLIFE, INC.AmericasFINANCIALS3,223(6)3,662,939,7324,992,198100101.50(1.00)ConvSpread
METRO AGEuropeCONSUMER SERVICES2,587241,131,289,500(33,744,119)100142.00(1.50)ConvSpread
METSA BOARD CORPORATIONEuropeBASIC MATERIALS1,78018279,340,605(18,700,292)500260.00(0.50)ConvSpread
METSO OYJEuropeINDUSTRIALS1,32620403,217,107(5,582,400)100140.00(2.50)ConvSpread
MGIC INVESTMENT CORPORATIONAmericasFINANCIALS4,038(41)1,044,572,73744,341,949500420.00(2.50)ConvSpread
MGM RESORTS INTERNATIONALAmericasCONSUMER SERVICES2,779(42)938,662,69924,550,656500302.50(2.50)ConvSpread
MITSUBISHI CHEMICAL CORPORATIONJapanBASIC MATERIALS346(2)342,696,628(11,268,320)10065.000ConvSpread
MITSUBISHI CORPORATIONJapanBASIC MATERIALS696(6)907,031,6009,864,38510045.000ConvSpread
MITSUBISHI ESTATE COMPANY, LIMITEDJapanFINANCIALS457(3)302,570,6376,395,99610031.501.00ConvSpread
MITSUBISHI HEAVY INDUSTRIES, LTD.JapanINDUSTRIALS4931296,456,269(6,808,366)10032.00(4.00)ConvSpread
MITSUI & CO., LTD.JapanENERGY764(3)495,647,23763,46010042.00(1.00)ConvSpread
MITSUI CHEMICALS, INC.JapanBASIC MATERIALS1,457151,049,667,46828,332,152100210.002.50ConvSpread
MITSUI FUDOSAN CO., LTD.JapanFINANCIALS468(4)296,890,8776,583,20510043.502.00ConvSpread
MITSUI O.S.K. LINES, LTD.JapanINDUSTRIALS1,520(17)1,024,772,29931,576,590100165.00(2.50)ConvSpread
MITSUI SUMITOMO INSURANCE COMPANY, LIMITEDJapanFINANCIALS3200297,913,0203,104,57810036.000ConvSpread
MOHAWK INDUSTRIES, INC.AmericasCONSUMER GOODS1,5164570,739,015(14,675,066)10092.50(8.00)ConvSpread
MOLSON COORS BREWING COMPANYAmericasCONSUMER GOODS455(5)219,172,435(5,004,687)10077.505.50ConvSpread
MONDELEZ INTERNATIONAL, INC.Americas,EuropeCONSUMER GOODS4,084(31)1,260,801,92318,023,56310040.504.00ConvSpread
MONSANTO COMPANYAmericasBASIC MATERIALS47611384,252,283486,68310038.50(4.50)ConvSpread
MORGAN STANLEYAmericasFINANCIALS6,183703,150,702,624(3,053,680)100136.500ConvSpread
MOTOROLA SOLUTIONS, INC.AmericasTECHNOLOGY2,75621,133,132,096(1,934,498)10080.00(1.50)ConvSpread
MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AKTIENGESELLSCHAFT IN MUENCHENEuropeFINANCIALS4,368591,233,847,86337,763,07610068.500.50ConvSpread
MURPHY OIL CORPORATIONAmericasENERGY5500135,866,298(3,894)100114.503.00ConvSpread
NABORS INDUSTRIES, INC.AmericasENERGY2,427211,086,680,41121,678,746100169.006.00ConvSpread
NALCO COMPANYAmericasUTILITIES8163136,341,478(5,500,292)10060.000ConvSpread
NATIONAL AUSTRALIA BANK LIMITEDAustralia NZFINANCIALS1,355(21)854,644,387(303,659)100107.50N/AConvSpread
NATIONAL GRID PLCEuropeUTILITIES1,773(21)709,796,271(4,815,955)10058.503.50ConvSpread
NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATIONAmericasFINANCIALS1,73218738,929,10215,585,38810050.504.00ConvSpread
NATIXISEuropeFINANCIALS340(1)386,774,581(51,622)100139.00(3.00)ConvSpread
NEC CORPORATIONJapanTECHNOLOGY94812317,522,05610,860,501100143.005.00ConvSpread
NESTLE S.A.EuropeCONSUMER GOODS1,366(1)719,393,4881,804,11110029.001.50ConvSpread
NEW ALBERTSON'S, INC.AmericasCONSUMER SERVICES2,132(112)395,764,633(50,966,245)50011.000.50Upfront
NEW ZEALANDAustralia NZGOVERNMENT416(4)531,639,118(7,499)10042.50(2.50)ConvSpread
NEWELL RUBBERMAID INC.AmericasCONSUMER GOODS2,27322959,689,07113,586,11910065.500ConvSpread
NEWMONT MINING CORPORATIONAmericasBASIC MATERIALS1,1655537,581,23734,914,782100297.50(2.50)ConvSpread
NEWS AMERICA INCORPORATEDAmericasCONSUMER SERVICES2,050(21)728,466,45438,961,47410050.501.00ConvSpread
NEXEN INC.AmericasENERGY7104105,299,0615,733,78110027.00(3.00)ConvSpread
NEXT PLCEuropeCONSUMER SERVICES2,167(1)983,518,704(18,173,684)10075.500ConvSpread
NIPPON PAPER INDUSTRIES CO.,LTD.JapanBASIC MATERIALS1,866151,454,530,90474,622,146100230.007.50ConvSpread
NIPPON STEEL & SUMITOMO METAL CORPORATIONJapanBASIC MATERIALS1,651221,086,841,27930,523,39110070.000ConvSpread
NIPPON YUSEN KABUSHIKI KAISHAJapanINDUSTRIALS1,0313802,077,23512,478,05410092.000ConvSpread
NISOURCE FINANCE CORP.AmericasUTILITIES6343201,575,36377,89510073.003.50ConvSpread
NISSAN MOTOR CO., LTD.JapanCONSUMER GOODS1,2190911,097,5727,043,70810044.00(2.00)ConvSpread
NOBLE CORPORATIONAmericasENERGY625(1)158,660,4182,301,063100151.500ConvSpread
NOBLE ENERGY, INC.AmericasENERGY5863238,601,608(175)10079.000.50ConvSpread
NOKIA OYJEuropeTECHNOLOGY4,105(25)950,593,9988,760,718500222.502.50ConvSpread
NOMURA HOLDINGS, INC.JapanFINANCIALS3231382,911,6333,898,819100120.00N/AConvSpread
NOMURA SECURITIES CO., LTD.JapanFINANCIALS3360206,029,1171,806,122100115.000ConvSpread
NORBORD INC.AmericasCONSUMER GOODS1,454(16)521,333,261(4,999,096)500215.000ConvSpread
NORDEA BANK ABEuropeFINANCIALS4592408,618,1776,035,26210065.00(4.00)ConvSpread
NORDSTROM, INC.AmericasCONSUMER SERVICES2,681181,512,105,8304,500,34010071.500ConvSpread
NORFOLK SOUTHERN CORPORATIONAmericasINDUSTRIALS1,972251,219,713,786(8,499,823)10032.50(2.00)ConvSpread
NORSKE SKOGINDUSTRIER ASAEuropeBASIC MATERIALS3,77839799,719,40422,639,79450040.500.25Upfront
NORTHROP GRUMMAN CORPORATIONAmericasINDUSTRIALS1,37414662,678,89219,002,38010035.500ConvSpread
NOVA CHEMICALS CORPORATIONAmericasBASIC MATERIALS1,100(9)297,859,298(3,544,654)500160.000ConvSpread
NOVARTIS AGEuropeHEALTHCARE9183354,999,701(52,477)10029.501.00ConvSpread
NRG ENERGY, INC.AmericasUTILITIES1,366(85)424,236,6419,999,799500375.503.00ConvSpread
NUCOR CORPORATIONAmericasBASIC MATERIALS1,679(2)887,020,97324,988,27510075.000ConvSpread
NXP B.V.EuropeTECHNOLOGY2,318(9)358,705,7635,592,747500277.500ConvSpread
OBAYASHI CORPORATIONJapanINDUSTRIALS5492326,530,084(13,663,090)10066.001.00ConvSpread
OCCIDENTAL PETROLEUM CORPORATIONAmericasENERGY932(5)306,556,676(6,230)10070.000.50ConvSpread
OFFICE DEPOT, INC.AmericasCONSUMER SERVICES1,2854286,221,4467,071,286500277.00(3.00)ConvSpread
OJI HOLDINGS CORPORATIONJapanBASIC MATERIALS1,34131,341,545,31112,973,569100110.002.00ConvSpread
OLD MUTUAL PUBLIC LIMITED COMPANYEuropeFINANCIALS9449408,255,01310,134,986100150.000ConvSpread
OLIN CORPORATIONAmericasBASIC MATERIALS2,16017455,507,2801,230,245100155.500.50ConvSpread
OMNICOM GROUP INC.AmericasCONSUMER SERVICES1,9789766,340,0914,029,30210040.50(2.00)ConvSpread
ONEOK PARTNERS, L.P.AmericasENERGY4394210,060,327987,181100115.000ConvSpread
ONEOK, INC.AmericasENERGY1,2946405,480,066(12,701,995)100128.000ConvSpread
ONO FINANCE II PUBLIC LIMITED COMPANYEuropeFINANCIALS2,468(11)430,591,0884,335,361500360.002.00ConvSpread
ORANGEEuropeTELECOMMUNICATIONS SERVICES3,766241,861,905,74625,745,665100102.500ConvSpread
ORIX CORPORATIONJapanFINANCIALS1,460(8)762,060,780(12,744,042)10095.000ConvSpread
OWENS CORNINGAmericasINDUSTRIALS31610100,297,6582,764100105.000ConvSpread
OWENS-ILLINOIS, INC.AmericasINDUSTRIALS700(11)154,315,3044,362,452500185.00(0.50)ConvSpread
PACIFIC GAS AND ELECTRIC COMPANYAmericasUTILITIES507(7)419,098,841(12,199,544)10076.00(2.00)ConvSpread
PACKAGING CORPORATION OF AMERICAAmericasINDUSTRIALS998(10)412,008,553(45,117,643)100101.006.00ConvSpread
PACTIV LLCAmericasINDUSTRIALS1,403(23)295,851,812(1,244,231)500425.00(10.00)ConvSpread
PANASONIC CORPORATIONJapanCONSUMER GOODS1,332(19)776,341,2197,173,064100105.00(2.00)ConvSpread
PARKER DRILLING COMPANYAmericasENERGY537(8)140,807,6061,598,519500325.000ConvSpread
PEABODY ENERGY CORPORATIONAmericasENERGY655(7)166,378,8818,988,502500405.000ConvSpread
PEARSON PLCEuropeCONSUMER SERVICES2,71561,035,577,343(21,399,217)10064.00(1.00)ConvSpread
PEOPLE'S REPUBLIC OF CHINAAsia Ex-JapanGOVERNMENT5,657(16)7,107,308,245(87,836,062)10085.00(0.50)ConvSpread
PEPCO HOLDINGS, INC.AmericasUTILITIES4602116,306,842(2,681)10073.000ConvSpread
PEPSICO, INC.AmericasCONSUMER GOODS5575218,706,626(10,125,448)10051.000.50ConvSpread
PERNOD RICARDEuropeCONSUMER GOODS1,942(13)852,618,952(28,504,940)10093.000ConvSpread
PETROLEO BRASILEIRO S/A PETROBRASAmericasENERGY1,57922,893,186,667(8,634,314)100256.00(3.00)ConvSpread
PETROLEOS DE VENEZUELA, S.A.AmericasENERGY4151832,395,000(48,000,000)5001,207.00(10.00)ConvSpread
PETROLEOS MEXICANOSAmericasENERGY3,27511,353,528,100100,962,730100155.00(4.00)ConvSpread
PEUGEOT SAEuropeCONSUMER GOODS4,526201,341,569,40312,105,258500487.50(2.50)ConvSpread
PFIZER INC.AmericasHEALTHCARE1,4672730,426,3355,890,46710031.50(1.00)ConvSpread
PHH CORPORATIONAmericasINDUSTRIALS414(9)199,200,955(12,811)500345.005.00ConvSpread
PHILIP MORRIS INTERNATIONAL INC.AmericasCONSUMER GOODS2230367,544,769(7,556)10044.501.50ConvSpread
PILKINGTON GROUP LIMITEDEuropeCONSUMER GOODS4942149,926,037(17,821)100115.00(17.50)ConvSpread
PIONEER NATURAL RESOURCES COMPANYAmericasENERGY1,1350308,913,364(8,071,729)10080.000ConvSpread
PITNEY BOWES INC.AmericasTECHNOLOGY2,531151,189,943,25150,672,303100187.00(8.00)ConvSpread
PLAINS ALL AMERICAN PIPELINE, L.P.AmericasENERGY3569261,271,474(14,402,985)10077.501.00ConvSpread
POLYONE CORPORATIONAmericasBASIC MATERIALS642(16)163,060,066(499,459)500252.000ConvSpread
PORSCHE AUTOMOBIL HOLDING SEEuropeCONSUMER GOODS96018235,713,136(1,654,468)10060.502.00ConvSpread
PORTUGAL TELECOM INTERNATIONAL FINANCE B.V.EuropeTELECOMMUNICATIONS SERVICES4,319331,108,804,36624,817,199500340.0010.00ConvSpread
PORTUGUESE REPUBLICEuropeGOVERNMENT4,644383,683,744,79871,725,042100435.002.50ConvSpread
POSTNL N.V.EuropeINDUSTRIALS2,5370887,703,673(6,526,950)100217.00(6.00)ConvSpread
POTASH CORPORATION OF SASKATCHEWAN INC.AmericasBASIC MATERIALS835(1)325,633,915(9,997,513)10095.00(6.00)ConvSpread
PPG INDUSTRIES, INC.AmericasBASIC MATERIALS1,87621473,016,9395,985,17410053.000ConvSpread
PPL ENERGY SUPPLY, LLCAmericasUTILITIES979(2)359,265,177(6,626,079)100182.50(2.50)ConvSpread
PRAXAIR, INC.AmericasBASIC MATERIALS40811177,497,820744,41510046.00(1.00)ConvSpread
PRIDE INTERNATIONAL, INC.AmericasENERGY684(2)159,978,190(3,971)10064.000ConvSpread
PROGRESS ENERGY, INC.AmericasUTILITIES1,5076689,537,8565,504,72610022.50(1.50)ConvSpread
PROLOGIS, L.P.AmericasFINANCIALS1,53616685,286,0806,974,969100102.501.00ConvSpread
PROSIEBENSAT.1 MEDIA AGEuropeCONSUMER SERVICES5893149,231,784(5,387,994)500228.0028.00ConvSpread
PRUDENTIAL FINANCIAL, INC.AmericasFINANCIALS1,42551,079,214,0413,486,678100109.50(1.00)ConvSpread
PRUDENTIAL PUBLIC LIMITED COMPANYEuropeFINANCIALS1,4704438,947,366771,706100122.500ConvSpread
PSEG POWER LLCAmericasUTILITIES827(2)246,469,0957,347100113.500ConvSpread
PUBLICIS GROUPE SAEuropeCONSUMER SERVICES1,680(3)717,098,261(9,080,612)10052.50(1.00)ConvSpread
PULTEGROUP, INC.AmericasCONSUMER GOODS4,028(33)1,081,670,321(15,401,676)500235.002.50ConvSpread
QANTAS AIRWAYS LIMITEDAustralia NZINDUSTRIALS2,405(28)936,655,9505,724,827100200.00N/AConvSpread
QBE INSURANCE GROUP LIMITEDAustralia NZFINANCIALS802(8)507,309,71116,864,353100160.005.00ConvSpread
QUEST DIAGNOSTICS INCORPORATEDAmericasHEALTHCARE1,4685675,344,295(12,605,247)10093.500ConvSpread
QWEST CAPITAL FUNDING, INC.AmericasTELECOMMUNICATIONS SERVICES584(11)133,986,6962,000,320100142.007.00ConvSpread
QWEST CORPORATIONAmericasTELECOMMUNICATIONS SERVICES866(6)433,074,049(29,009,828)100117.007.50ConvSpread
R.R. DONNELLEY & SONS COMPANYAmericasINDUSTRIALS3,772951,111,077,468(28,058,576)500346.000.50ConvSpread
RADIAN GROUP INC.AmericasFINANCIALS4,292(21)1,081,786,79119,246,235500400.002.50ConvSpread
RADIOSHACK CORPORATIONAmericasCONSUMER SERVICES4,007(499)820,759,73514,884,69150027.00(0.75)Upfront
RALLYEEuropeCONSUMER SERVICES2,0149753,541,85011,393,921500395.002.50ConvSpread
RAYTHEON COMPANYAmericasINDUSTRIALS1,33118727,903,9131,041,11910033.500ConvSpread
REALOGY GROUP LLCAmericasFINANCIALS1,259(21)337,069,000(3,300,000)500360.00(5.00)ConvSpread
REED ELSEVIER PLCEuropeCONSUMER SERVICES2,139(2)709,943,218(1,761)10054.00(1.00)ConvSpread
RENAULTEuropeCONSUMER GOODS3,644(1)1,384,643,3528,471,872100232.00(0.50)ConvSpread
RENTOKIL INITIAL PLCEuropeINDUSTRIALS2,15219859,197,00764,133,658100130.505.00ConvSpread
REPSOL, S.A.EuropeENERGY2,45422719,141,4008,817,059100132.00(4.50)ConvSpread
REPUBLIC OF AUSTRIAEuropeGOVERNMENT2,52214,223,586,716(312,268)10028.500ConvSpread
REPUBLIC OF BULGARIAEuropeGOVERNMENT1,580(8)533,330,0669,970,571500120.00(2.00)ConvSpread
REPUBLIC OF CHILEAmericasGOVERNMENT6908741,480,92344,995,95010090.001.00ConvSpread
REPUBLIC OF COLOMBIAAmericasGOVERNMENT2,531161,576,829,36327,473,920100125.50(6.50)ConvSpread
REPUBLIC OF CROATIAEuropeGOVERNMENT1,4241727,488,7967,713,551100325.00(27.50)ConvSpread
REPUBLIC OF ESTONIAEuropeGOVERNMENT3220220,361,240(9,418)10065.000ConvSpread
REPUBLIC OF FINLANDEuropeGOVERNMENT832(1)2,188,603,241(53,847)2520.00(2.50)ConvSpread
REPUBLIC OF INDONESIAAsia Ex-JapanGOVERNMENT4,227(31)2,736,226,554(33,221,973)100238.00(2.00)ConvSpread
REPUBLIC OF ITALYEuropeGOVERNMENT11,62423616,915,730,010488,249,017100237.002.00ConvSpread
REPUBLIC OF KAZAKHSTANEuropeGOVERNMENT1,265(9)692,933,6572,240,318100184.000ConvSpread
REPUBLIC OF KOREAAsia Ex-JapanGOVERNMENT6,550(25)7,069,592,788139,215,43210072.001.00ConvSpread
REPUBLIC OF LATVIAEuropeGOVERNMENT991(3)451,136,862(2,009,548)100122.50(1.50)ConvSpread
REPUBLIC OF LITHUANIAEuropeGOVERNMENT870(1)449,815,828(1,609)100122.501.00ConvSpread
REPUBLIC OF PANAMAAmericasGOVERNMENT9433409,205,94723,000,174100123.00(9.00)ConvSpread
REPUBLIC OF PERUAmericasGOVERNMENT2,15591,365,531,57248,398,422100139.00(5.00)ConvSpread
REPUBLIC OF POLANDEuropeGOVERNMENT3,343(23)1,234,224,410(13,006,998)10087.002.00ConvSpread
REPUBLIC OF SLOVENIAEuropeGOVERNMENT9331721,097,442(45,605,191)100350.00(5.00)ConvSpread
REPUBLIC OF SOUTH AFRICAEuropeGOVERNMENT5,751(2)3,623,152,466159,523,913100189.00(1.00)ConvSpread
REPUBLIC OF THE PHILIPPINESAsia Ex-JapanGOVERNMENT3,978(31)1,929,500,3855,574,913100110.500.50ConvSpread
REPUBLIC OF TURKEYEuropeGOVERNMENT9,872(90)8,370,559,034176,193,702100205.50(3.50)ConvSpread
REPUBLIC SERVICES, INC.AmericasINDUSTRIALS1,04419596,062,261(3,736)10062.500ConvSpread
RESONA BANK, LIMITEDJapanFINANCIALS639(4)291,006,347314,709100155.000ConvSpread
REXAM PLCEuropeINDUSTRIALS1,3601354,398,525464,41710090.00(2.00)ConvSpread
REYNOLDS AMERICAN INC.AmericasCONSUMER GOODS1,4901747,689,104(1,328,512)10072.500ConvSpread
RHODIAEuropeBASIC MATERIALS1,475(3)231,592,538(36,330)10047.002.00ConvSpread
RICOH COMPANY, LTD.JapanTECHNOLOGY684(4)824,202,1849,207,19510057.50(2.50)ConvSpread
RIO TINTO ALCAN INC.AmericasBASIC MATERIALS1,874(14)577,794,568(10,900,505)100120.000ConvSpread
RIO TINTO LIMITEDAustralia NZBASIC MATERIALS2,237(29)1,259,353,592(40,854,974)100115.001.00ConvSpread
RITE AID CORPORATIONAmericasCONSUMER SERVICES1,407(298)392,493,12020,999,451500258.00(2.00)ConvSpread
ROGERS COMMUNICATIONS INC.AmericasTELECOMMUNICATIONS SERVICES467(2)354,026,65332410071.000ConvSpread
ROHM AND HAAS COMPANYAmericasBASIC MATERIALS1,8778798,894,79110,994,60810046.00(1.00)ConvSpread
ROLLS-ROYCE PLCEuropeINDUSTRIALS1,414(2)1,003,897,470(10,217,995)10061.00(2.00)ConvSpread
ROMANIAEuropeGOVERNMENT1,688(9)931,658,2972,541,981100190.00(7.50)ConvSpread
ROYAL & SUN ALLIANCE INSURANCE PLCEuropeFINANCIALS1,4504288,768,003(110,134)100102.500ConvSpread
ROYAL CARIBBEAN CRUISES LTD.AmericasCONSUMER SERVICES2,638(241)885,341,517(8,794,445)500225.00(5.00)ConvSpread
ROYAL DUTCH SHELL PLCEuropeENERGY1,19231,012,215,9867,332,89710042.500ConvSpread
RPM INTERNATIONAL INC.AmericasBASIC MATERIALS1,014(8)422,860,8114,860,96610094.00(1.00)ConvSpread
RUSSIAN FEDERATIONEuropeGOVERNMENT9,574(122)5,451,235,30360,921,737100168.50(2.50)ConvSpread
RWE AKTIENGESELLSCHAFTEuropeUTILITIES2,364(19)1,518,083,38236,355,20510093.50(1.00)ConvSpread
RYDER SYSTEM, INC.AmericasINDUSTRIALS2,189231,089,525,38325,211,76810092.502.50ConvSpread
SABMILLER PLCEuropeCONSUMER GOODS91626630,622,778(61,705)10061.00(0.50)ConvSpread
SABRE HOLDINGS CORPORATIONAmericasCONSUMER SERVICES2,081(82)476,242,91611,143,614500365.00(5.50)ConvSpread
SAFEWAY INC.AmericasCONSUMER SERVICES3,100(23)1,182,004,34835,094,334100223.00(2.50)ConvSpread
SAFEWAY LIMITEDEuropeCONSUMER SERVICES1,9877608,971,723(15,164,261)10084.501.00ConvSpread
SAKS INCORPORATEDAmericasCONSUMER SERVICES1,301(84)239,377,0135,679,108500120.50(2.00)ConvSpread
SANOFIEuropeHEALTHCARE2,031(6)1,461,650,814(103,918,143)10042.500ConvSpread
SANTANDER UK PLCEuropeFINANCIALS6170235,239,798(26,682)100140.000ConvSpread
SCANDINAVIAN AIRLINES SYSTEM DENMARK-NORWAY-SWEDENEuropeINDUSTRIALS1,58319263,703,322(36,226)5002.501.00Upfront
SCANIA AKTIEBOLAGEuropeINDUSTRIALS1,2362470,506,7161,450,86810070.000ConvSpread
SCHAEFFLER FINANCE B.V.EuropeFINANCIALS51017503,982,14311,562,078500237.001.50ConvSpread
SCHLUMBERGER N.V.AmericasENERGY4750106,032,373(5,837)10045.00(1.50)ConvSpread
SCHNEIDER ELECTRIC SAEuropeINDUSTRIALS1,286(1)534,193,472408,84710076.000ConvSpread
SCOR SEEuropeFINANCIALS990(2)232,554,5646,726,069100115.000ConvSpread
SEAGATE TECHNOLOGY HDD HOLDINGSAmericasTECHNOLOGY5860144,152,219(6,165,701)500165.0010.00ConvSpread
SEALED AIR CORPORATIONAmericasINDUSTRIALS1,6844404,320,49314,132,500100199.50(3.00)ConvSpread
SEARS ROEBUCK ACCEPTANCE CORP.AmericasFINANCIALS1,895(7)365,984,7328,682,70650014.00(1.00)Upfront
SECURITAS ABEuropeINDUSTRIALS8444304,063,210(36,293)100100.50(2.50)ConvSpread
SEMPRA ENERGYAmericasUTILITIES1,58312732,840,8024,324,17510050.503.00ConvSpread
SESEuropeTELECOMMUNICATIONS SERVICES1,0026427,958,298(51,993)10066.003.00ConvSpread
SHARP CORPORATIONJapanCONSUMER GOODS1,395(31)342,620,575(10,941,332)10018.75(0.75)Upfront
SHIMIZU CORPORATIONJapanINDUSTRIALS5541350,584,6568,948,60310068.000ConvSpread
SIEMENS AKTIENGESELLSCHAFTEuropeINDUSTRIALS2,78931,800,078,560(6,996,113)10046.500.50ConvSpread
SIMON PROPERTY GROUP, L.P.AmericasFINANCIALS2,14661,031,036,0803,178,70810064.50(1.00)ConvSpread
SINGTEL OPTUS PTY LIMITEDAustralia NZTELECOMMUNICATIONS SERVICES450(7)162,308,3781,142,53010076.00(3.00)ConvSpread
SLM CORPORATIONAmericasFINANCIALS2,590(20)1,088,045,467(16,228,124)500320.005.00ConvSpread
SLOVAK REPUBLICEuropeGOVERNMENT1,0030871,216,875(9,625)10084.000ConvSpread
SMBC CONSUMER FINANCE CO.,LTD.JapanFINANCIALS1,445(5)371,732,1155,624,98610072.500ConvSpread
SMITHFIELD FOODS, INC.AmericasCONSUMER GOODS1,461(55)306,540,4722,195,817500275.005.00ConvSpread
SMITHS GROUP PLCEuropeINDUSTRIALS803(2)337,094,640116,93310085.00(9.00)ConvSpread
SMURFIT KAPPA FUNDING PUBLIC LIMITED COMPANYEuropeINDUSTRIALS1,6165172,880,5746,802,427500115.000ConvSpread
SOCIALIST REPUBLIC OF VIETNAMAsia Ex-JapanGOVERNMENT976(1)482,112,400(12,550,000)100265.00(5.50)ConvSpread
SOCIETE AIR FRANCEEuropeINDUSTRIALS2,80535813,222,01314,365,7625000.250.36Upfront
SOCIETE GENERALEEuropeFINANCIALS4,407841,952,658,898(44,186,324)300131.50N/AConvSpread
SODEXOEuropeCONSUMER SERVICES1,4002830,055,003(92,365)10073.00(1.50)ConvSpread
SOFTBANK CORP.JapanTECHNOLOGY721(1)306,221,9392,785,221100175.000ConvSpread
SOLVAYEuropeBASIC MATERIALS1,614(7)560,122,7516,514,461100105.500ConvSpread
SONY CORPORATIONJapanCONSUMER GOODS2,252(11)987,340,405(13,610,845)100152.000ConvSpread
SOUTHWEST AIRLINES CO.AmericasINDUSTRIALS3,05321970,112,812198,173100112.00(0.50)ConvSpread
SPECTRA ENERGY CAPITAL, LLCAmericasENERGY1,2841594,593,518(20,510,540)10095.000ConvSpread
SPRINGLEAF FINANCE CORPORATIONAmericasFINANCIALS910(7)478,672,825875,837500387.00(3.00)ConvSpread
SPRINT NEXTEL CORPORATIONAmericasTELECOMMUNICATIONS SERVICES4,204531,389,848,4611,865,832500347.502.50ConvSpread
SSE PLCEuropeUTILITIES3881245,920,9237,477,333100120.000ConvSpread
STANDARD CHARTERED BANKEuropeFINANCIALS2,344501,483,753,299(1,361,695)100129.502.00ConvSpread
STANDARD LIFE ASSURANCE LIMITEDEuropeFINANCIALS8211273,180,738(6,780,979)100100.000ConvSpread
STANDARD PACIFIC CORP.AmericasCONSUMER GOODS1,496(6)342,813,736(4,702,648)500295.00(2.50)ConvSpread
STANLEY BLACK & DECKER, INC.AmericasCONSUMER GOODS1,560(16)665,121,533(8,321)10062.502.00ConvSpread
STAPLES, INC.AmericasCONSUMER SERVICES1,740(6)636,257,44813,967,738100202.000ConvSpread
STARWOOD HOTELS & RESORTS WORLDWIDE, INC.AmericasCONSUMER SERVICES2,530(40)1,336,165,808(10,843,331)10077.50(2.00)ConvSpread
STATE OF ILLINOISAmericasGOVERNMENT4820353,500,0000.00100177.000ConvSpread
STATE OF ISRAELEuropeGOVERNMENT1,645(17)1,774,364,83537,447,579100120.00(1.00)ConvSpread
STATE OF NEW YORKAmericasGOVERNMENT2150312,400,0000.0010032.50N/AConvSpread
STATE OF QATAREuropeGOVERNMENT1,30071,203,518,34127,471,62310063.000.50ConvSpread
STATOIL ASAEuropeENERGY9878747,914,81713,448,13510041.502.00ConvSpread
STENA AKTIEBOLAGEuropeINDUSTRIALS1,81713699,893,49012,656,489500450.00(2.50)ConvSpread
STMICROELECTRONICS N.V.EuropeTECHNOLOGY2,46315797,625,929(57,274)10088.00(2.00)ConvSpread
STORA ENSO OYJEuropeBASIC MATERIALS3,443201,054,625,74552,881,552500268.00(7.00)ConvSpread
SUEDZUCKER AKTIENGESELLSCHAFT MANNHEIM/OCHSENFURTEuropeCONSUMER GOODS1,51335664,139,08426,961,55310092.00(0.50)ConvSpread
SUMITOMO CHEMICAL COMPANY, LIMITEDJapanBASIC MATERIALS7747402,411,5434,495,36210088.000ConvSpread
SUMITOMO CORPORATIONJapanINDUSTRIALS719(6)431,668,1254,147,21410045.002.00ConvSpread
SUMITOMO MITSUI BANKING CORPORATIONJapanFINANCIALS1,095(1)315,971,9923,712,858100110.500ConvSpread
SUMITOMO REALTY & DEVELOPMENT CO., LTD.JapanFINANCIALS712(2)569,466,3637,195,58710077.002.00ConvSpread
SUNCOR ENERGY INC.AmericasENERGY7494256,688,6473,003,21710070.003.50ConvSpread
SUNGARD DATA SYSTEMS INC.AmericasTECHNOLOGY888(4)197,398,5873,306,328500330.00(7.50)ConvSpread
SUNOCO, INC.AmericasENERGY1,309(13)403,521,114(2,520)10052.500ConvSpread
SUNRISE COMMUNICATIONS HOLDINGS S.A.EuropeFINANCIALS7001329,127,135(4,237,432)500422.50(3.00)ConvSpread
SUPERVALU INC.AmericasCONSUMER SERVICES2,739(388)518,570,02613,995,282500390.00(5.00)ConvSpread
SVENSKA CELLULOSA AKTIEBOLAGET SCAEuropeCONSUMER GOODS1,6463450,519,270(45,370)10065.005.00ConvSpread
SWEDBANK ABEuropeFINANCIALS332(4)421,882,827(54,515)100108.004.00ConvSpread
SWEDISH MATCH ABEuropeCONSUMER GOODS1,089(1)267,596,188(28,766)10066.500ConvSpread
SWISS REINSURANCE COMPANY LTDEuropeFINANCIALS4,494161,412,143,071(792,174)10090.501.00ConvSpread
SWISSCOM LTD.EuropeTELECOMMUNICATIONS SERVICES5785234,236,14425,95610040.000ConvSpread
SYNGENTA AGEuropeBASIC MATERIALS1,1316426,620,686(3,428,069)10043.50(0.50)ConvSpread
TABCORP HOLDINGS LIMITEDAustralia NZCONSUMER SERVICES312(4)167,659,562(10,001,225)100166.00N/AConvSpread
TAISEI CORPORATIONJapanINDUSTRIALS603(2)326,823,7403,407,07510069.001.00ConvSpread
TALISMAN ENERGY INC.AmericasENERGY886(4)284,496,064(3,494,367)100168.0027.50ConvSpread
TARGET CORPORATIONAmericasCONSUMER SERVICES2,098201,034,422,308(6,022,726)10035.500ConvSpread
TATE & LYLE PUBLIC LIMITED COMPANYEuropeCONSUMER GOODS1,9144708,666,142242,50510093.000.50ConvSpread
TDC A/SEuropeTELECOMMUNICATIONS SERVICES9178213,310,0808,088,32810085.00(1.00)ConvSpread
TE CONNECTIVITY LTD.AmericasCONSUMER GOODS972(5)158,366,833(2,332)10052.000ConvSpread
TECHNIPEuropeENERGY686(3)363,393,578(44,417)100104.000ConvSpread
TECK RESOURCES LIMITEDAmericasENERGY7216430,012,184(2,802,892)100170.500ConvSpread
TECO ENERGY, INC.AmericasUTILITIES461166,671,040(3,114)10047.000ConvSpread
TELECOM CORPORATION OF NEW ZEALAND LIMITEDAustralia NZTELECOMMUNICATIONS SERVICES1,430(21)311,239,965137,78210067.00N/AConvSpread
TELECOM ITALIA SPAEuropeTELECOMMUNICATIONS SERVICES5,02502,222,496,19043,792,733100365.002.50ConvSpread
TELEFONAKTIEBOLAGET L M ERICSSONEuropeTECHNOLOGY2,156281,003,814,698(4,055,256)10087.500ConvSpread
TELEFONICA, S.A.EuropeTELECOMMUNICATIONS SERVICES4,200223,022,993,50357,737,402100216.00(2.00)ConvSpread
TELEKOM AUSTRIA AKTIENGESELLSCHAFTEuropeTELECOMMUNICATIONS SERVICES2,08711794,460,03347,605,126100130.50(3.00)ConvSpread
TELEKOMUNIKACJA POLSKA SPOLKA AKCYJNAEuropeTELECOMMUNICATIONS SERVICES3331163,555,439(2,720,421)100110.00N/AConvSpread
TELENOR ASAEuropeTELECOMMUNICATIONS SERVICES1,79716819,057,878(96,986)10040.50(1.00)ConvSpread
TELIASONERA AKTIEBOLAGEuropeTELECOMMUNICATIONS SERVICES2,66181,153,920,348(4,439,545)10040.50(1.00)ConvSpread
TELSTRA CORPORATION LIMITEDAustralia NZTELECOMMUNICATIONS SERVICES2,718(36)895,383,967205,74210071.000.50ConvSpread
TELUS CORPORATIONAmericasTELECOMMUNICATIONS SERVICES1,212(11)384,101,645(5,681,021)10036.000ConvSpread
TEMPLE-INLAND INC.AmericasINDUSTRIALS2,547(7)927,662,2677,021,38710025.002.00ConvSpread
TENET HEALTHCARE CORPORATIONAmericasHEALTHCARE1,395(21)307,907,754(11,412,087)500382.00(8.00)ConvSpread
TESCO PLCEuropeCONSUMER SERVICES2,33171,376,160,940(435,095)10084.501.50ConvSpread
TESORO CORPORATIONAmericasENERGY1,408(5)458,501,1335,000,098500284.00(1.00)ConvSpread
TEXAS COMPETITIVE ELECTRIC HOLDINGS COMPANY LLCAmericasUTILITIES3,54229805,907,0939,480,78150092.500Upfront
TEXAS INSTRUMENTS INCORPORATEDAmericasTECHNOLOGY747(1)264,441,302(2,421)10042.500ConvSpread
TEXTRON FINANCIAL CORPORATIONAmericasINDUSTRIALS1,850(3)775,529,189(6,851)10050.000ConvSpread
TEXTRON INC.AmericasINDUSTRIALS1,237(3)478,242,261(9,809)100120.500ConvSpread
THALESEuropeINDUSTRIALS1,173(13)506,479,181(21,559,585)10067.00(3.50)ConvSpread
THE AES CORPORATIONAmericasUTILITIES1,227(68)316,908,347(1,000,765)500241.000.50ConvSpread
THE ALLSTATE CORPORATIONAmericasFINANCIALS1,7518582,896,477(328,267)10044.500ConvSpread
THE BANK OF TOKYO-MITSUBISHI UFJ, LTD.JapanFINANCIALS1,439(11)567,149,899(5,333,312)100105.500ConvSpread
THE BLACK & DECKER CORPORATIONAmericasCONSUMER GOODS1,6835658,769,379894,86510037.003.50ConvSpread
THE BOEING COMPANYAmericasINDUSTRIALS1,09212770,289,55026,471,98110045.50(1.00)ConvSpread
THE CHUBB CORPORATIONAmericasFINANCIALS1,37410605,907,9748,998,11410035.500ConvSpread
THE CITY OF NEW YORKAmericasGOVERNMENT3530413,000,0000.0010070.001.00ConvSpread
THE CLOROX COMPANYAmericasCONSUMER GOODS8224234,401,574992,29410044.00(1.50)ConvSpread
THE COCA-COLA COMPANYAmericasCONSUMER GOODS4445430,127,303(22,502,083)10029.500.50ConvSpread
THE DOW CHEMICAL COMPANYAmericasBASIC MATERIALS2,599531,542,263,424(41,078,158)10083.50(1.00)ConvSpread
THE GAP, INC.AmericasCONSUMER SERVICES2,763(136)778,357,41048,131,614100102.500ConvSpread
THE GOLDMAN SACHS GROUP, INC.AmericasFINANCIALS5,906413,293,346,686(38,034,967)100128.500ConvSpread
THE GOODYEAR TIRE & RUBBER COMPANYAmericasCONSUMER GOODS1,63016433,399,883(21,597,048)500300.001.00ConvSpread
THE GOVERNOR AND COMPANY OF THE BANK OF IRELANDEuropeFINANCIALS280(6)105,859,760(7,404)500295.00(5.00)ConvSpread
THE HARTFORD FINANCIAL SERVICES GROUP, INC.AmericasFINANCIALS2,167321,029,676,9453,087,099100101.50(1.00)ConvSpread
THE HERSHEY COMPANYAmericasCONSUMER GOODS835(1)238,647,308(3,166)10050.004.00ConvSpread
THE HERTZ CORPORATIONAmericasCONSUMER SERVICES1,851(27)338,386,11932,832,921500287.50(2.50)ConvSpread
THE HILLSHIRE BRANDS COMPANYAmericasCONSUMER GOODS2,689(14)918,921,76520,615,539100110.505.00ConvSpread
THE HOME DEPOT, INC.AmericasCONSUMER SERVICES2,62441,012,543,924(4,001,703)10032.501.00ConvSpread
THE INTERPUBLIC GROUP OF COMPANIES, INC.AmericasCONSUMER SERVICES1,006(20)278,396,375(10,211)100125.000ConvSpread
THE ISRAEL ELECTRIC CORPORATION LTD.EuropeUTILITIES5741422,908,2636,750,835100295.00N/AConvSpread
THE JONES GROUP INC.AmericasCONSUMER GOODS3,4862837,772,13311,662,363500355.005.00ConvSpread
THE KANSAI ELECTRIC POWER COMPANY, INCORPORATEDJapanUTILITIES4513230,981,8023,586,748100130.0015.00ConvSpread
THE KROGER CO.AmericasCONSUMER SERVICES2,6892920,697,47825,265,31910065.500ConvSpread
THE LUBRIZOL CORPORATIONAmericasBASIC MATERIALS7300236,241,987(7,655)10028.000ConvSpread
THE MCCLATCHY COMPANYAmericasCONSUMER SERVICES2,917(260)686,617,7623,994,6725009.750Upfront
THE NEIMAN MARCUS GROUP, INC.AmericasCONSUMER SERVICES1,867(118)233,522,897(9,253,213)500200.00(30.00)ConvSpread
THE NEW YORK TIMES COMPANYAmericasCONSUMER SERVICES2,834(166)840,832,2057,982,715100210.003.00ConvSpread
THE NIELSEN COMPANY B.V.EuropeCONSUMER SERVICES1,4724167,284,765(25,112)10075.00(2.50)ConvSpread
THE PROCTER & GAMBLE COMPANYAmericasCONSUMER GOODS1,359281,260,478,026995,03010034.00(1.50)ConvSpread
THE RANK GROUP PLCEuropeCONSUMER SERVICES94411188,967,767(2,462,830)100183.000ConvSpread
THE ROYAL BANK OF SCOTLAND PUBLIC LIMITED COMPANYEuropeFINANCIALS7,723892,686,260,41619,035,818100148.502.00ConvSpread
THE RYLAND GROUP, INC.AmericasCONSUMER GOODS2,273(4)638,587,727236,856500255.009.50ConvSpread
THE SERVICEMASTER COMPANYAmericasCONSUMER SERVICES553(11)140,495,0031,892500495.000ConvSpread
THE SHERWIN-WILLIAMS COMPANYAmericasCONSUMER GOODS2,107161,511,229,6568,639,45510065.501.00ConvSpread
THE TJX COMPANIES, INC.AmericasCONSUMER SERVICES1,2615825,181,7103,992,90610040.50N/AConvSpread
THE TRAVELERS COMPANIES, INC.AmericasFINANCIALS939(10)354,500,88951010043.50(2.00)ConvSpread
THE WALT DISNEY COMPANYAmericasCONSUMER SERVICES1,725(11)619,041,693(3,588)10020.50(1.50)ConvSpread
THE WESTERN UNION COMPANYAmericasFINANCIALS1,135(2)408,753,104(8,927)100111.000ConvSpread
THE WILLIAMS COMPANIES, INC.AmericasENERGY885(14)295,737,581(2,310,435)100123.000ConvSpread
THOMSON REUTERS GROUP LIMITEDEuropeCONSUMER SERVICES1,43612426,616,23470,21710030.000ConvSpread
THYSSENKRUPP AGEuropeBASIC MATERIALS4,632522,153,330,3198,963,299100303.000.50ConvSpread
TIME WARNER CABLE INC.AmericasCONSUMER SERVICES1,085(23)728,966,90434,552,902100217.00(1.00)ConvSpread
TIME WARNER INC.AmericasCONSUMER SERVICES2,56481,153,458,03051,919,50610054.502.00ConvSpread
TOKIO MARINE & NICHIDO FIRE INSURANCE CO., LTD.JapanFINANCIALS517(1)456,424,1755,065,21810035.000ConvSpread
TOKYO ELECTRIC POWER COMPANY,INCORPORATEDJapanUTILITIES1,1725317,218,660(1,778,032)100380.0020.00ConvSpread
TOLL BROTHERS, INC.AmericasCONSUMER GOODS2,406(3)1,044,714,192(8,229,730)100190.000.50ConvSpread
TOMKINS LIMITEDEuropeINDUSTRIALS1,2461380,489,8749,35350080.00(5.00)ConvSpread
TOSHIBA CORPORATIONJapanINDUSTRIALS1,7479988,646,31122,734,465100112.002.00ConvSpread
TOTAL SAEuropeENERGY1,448(10)1,317,690,46414,534,23010041.502.00ConvSpread
TOYOTA MOTOR CORPORATIONJapanCONSUMER GOODS1,682(1)1,187,460,8326,237,68010032.501.50ConvSpread
TOYOTA MOTOR CREDIT CORPORATIONJapanFINANCIALS7540505,248,076(395,321)10076.002.00ConvSpread
TOYS "R" US, INC.AmericasCONSUMER SERVICES2,029(159)349,835,65110,572,46950017.250.25Upfront
TRANSCANADA PIPELINES LIMITEDAmericasENERGY6105286,884,241(1,450,040)10056.00(4.50)ConvSpread
TRANSOCEAN INC.AmericasENERGY2,73424958,208,68132,594,906100147.001.50ConvSpread
TRW AUTOMOTIVE INC.AmericasCONSUMER GOODS1,69319511,780,5627,993,139100157.504.50ConvSpread
TUI AGEuropeCONSUMER SERVICES2,356(3)484,947,749(1,828,554)500308.500ConvSpread
TYCO INTERNATIONAL LTD.AmericasINDUSTRIALS1,2954228,508,011(805)10055.00(2.00)ConvSpread
TYSON FOODS, INC.AmericasCONSUMER GOODS2,583(26)939,100,42214,464,680100100.50(2.00)ConvSpread
UBS AGEuropeFINANCIALS3,92911,860,290,601(5,852,191)10086.00(0.50)ConvSpread
UKRAINEEuropeGOVERNMENT2,712(13)718,411,687(29,001,990)5001,035.00(12.50)ConvSpread
UNIBAIL-RODAMCO SEEuropeFINANCIALS1,0758421,564,87623,304,48710091.00(1.00)ConvSpread
UNICREDIT BANK AGEuropeFINANCIALS1,3188281,772,3183,352,584100170.000ConvSpread
UNICREDIT, SOCIETA PER AZIONIEuropeFINANCIALS5,320552,833,135,923(19,513,122)500268.500.50ConvSpread
UNILEVER N.V.EuropeCONSUMER GOODS2,3100982,120,337(30,175)10032.001.50ConvSpread
UNION PACIFIC CORPORATIONAmericasINDUSTRIALS1,715181,051,428,10317,320,89510028.500.50ConvSpread
UNIPOL GRUPPO FINANZIARIO S.P.A.EuropeFINANCIALS468(1)224,966,4834,433,652100220.00(5.00)ConvSpread
UNISYS CORPORATIONAmericasTECHNOLOGY8315162,842,583(2,499,323)500295.00(7.50)ConvSpread
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELANDEuropeGOVERNMENT3,638205,842,429,642167,569,24610031.500ConvSpread
UNITED MEXICAN STATESAmericasGOVERNMENT7,650(17)7,812,419,502(8,471,433)100114.00(6.00)ConvSpread
UNITED PARCEL SERVICE, INC.AmericasINDUSTRIALS1,275(7)700,413,9948,996,40210024.00(1.50)ConvSpread
UNITED RENTALS (NORTH AMERICA), INC.AmericasINDUSTRIALS1,37629295,642,279(1,299,321)500282.007.00ConvSpread
UNITED STATES CELLULAR CORPORATIONAmericasTELECOMMUNICATIONS SERVICES3702138,376,275(5,002,218)100205.000ConvSpread
UNITED STATES OF AMERICAAmericasGOVERNMENT886393,389,171,879259,179,5282538.00(2.00)ConvSpread
UNITED STATES STEEL CORPORATIONAmericasBASIC MATERIALS2,306(63)708,334,708(5,269,791)5001.750Upfront
UNITED TECHNOLOGIES CORPORATIONAmericasINDUSTRIALS661(1)375,996,34055510039.500ConvSpread
UNITED UTILITIES PLCEuropeUTILITIES2,072(17)673,446,118(6,610,355)100143.00(2.00)ConvSpread
UNITEDHEALTH GROUP INCORPORATEDAmericasHEALTHCARE1,26613595,268,631(20,001,837)10044.50(1.00)ConvSpread
UNITYMEDIA KABELBW GMBHEuropeTELECOMMUNICATIONS SERVICES3525329,643,008(8,091,114)500372.507.00ConvSpread
UNIVERSAL CORPORATIONAmericasCONSUMER GOODS7894375,650,74124,622,47410087.503.00ConvSpread
UNIVERSAL HEALTH SERVICES, INC.AmericasHEALTHCARE2,787(1)727,707,138(1,516,775)100157.00(4.00)ConvSpread
UNIVISION COMMUNICATIONS INC.AmericasCONSUMER SERVICES723(48)166,329,299(5,003,056)500210.005.00ConvSpread
UNUM GROUPAmericasFINANCIALS951(1)280,240,7278,853,750100146.009.00ConvSpread
UPC HOLDING B.V.EuropeCONSUMER SERVICES2,48012849,078,05928,593,614500407.505.00ConvSpread
UPM-KYMMENE OYJEuropeBASIC MATERIALS3,222291,056,722,24214,610,394500250.000ConvSpread
UST LLCAmericasCONSUMER GOODS1,5047429,318,1109,994,44910020.008.50ConvSpread
V.F. CORPORATIONAmericasCONSUMER GOODS1,46610504,796,008(10,324)10035.50(2.50)ConvSpread
VALE CANADA LIMITEDAmericasBASIC MATERIALS576(2)154,488,1444,614,33410077.500ConvSpread
VALE SAAmericasBASIC MATERIALS7763644,808,685(16,621,448)100207.00(4.00)ConvSpread
VALEOEuropeCONSUMER GOODS3,057(2)1,122,058,52614,205,727100129.001.00ConvSpread
VALERO ENERGY CORPORATIONAmericasENERGY2,163(2)794,002,795(24,302,235)100131.002.50ConvSpread
VATTENFALL AKTIEBOLAGEuropeUTILITIES1,3277600,170,442(74,370)10059.501.50ConvSpread
VEOLIA ENVIRONNEMENTEuropeUTILITIES2,560(26)1,348,712,59816,456,405100118.00(3.50)ConvSpread
VERIZON COMMUNICATIONS INC.AmericasTELECOMMUNICATIONS SERVICES3,057(31)1,340,717,41822,999,35610062.50(0.50)ConvSpread
VIACOM INC.AmericasCONSUMER SERVICES1,671(8)643,290,01538,654,34610055.504.00ConvSpread
VINCIEuropeINDUSTRIALS2,425371,060,896,71016,372,004100102.001.50ConvSpread
VIRGIN MEDIA FINANCE PLCEuropeTELECOMMUNICATIONS SERVICES2,15811516,678,903(14,615,227)500387.500ConvSpread
VIVENDIEuropeTELECOMMUNICATIONS SERVICES2,896(29)1,254,653,751(2,410,364)100135.00(2.00)ConvSpread
VODAFONE GROUP PUBLIC LIMITED COMPANYEuropeTELECOMMUNICATIONS SERVICES3,054(2)1,346,580,180(8,880,179)10066.50(1.00)ConvSpread
VOLKSWAGEN AKTIENGESELLSCHAFTEuropeCONSUMER GOODS3,702332,792,958,192(17,324,968)10067.50(1.00)ConvSpread
VORNADO REALTY L.P.AmericasFINANCIALS1,45718486,635,785(95,280)10090.503.00ConvSpread
VULCAN MATERIALS COMPANYAmericasINDUSTRIALS6720315,752,530(7,000,310)500227.50(4.50)ConvSpread
WAL-MART STORES, INC.AmericasCONSUMER SERVICES1,91341,127,269,179(5,011,809)10027.502.00ConvSpread
WASTE MANAGEMENT, INC.AmericasINDUSTRIALS1,3191644,936,121(9,006,535)10067.500ConvSpread
WEATHERFORD INTERNATIONAL LTD.AmericasENERGY1,146(1)649,430,32110,001,701100147.006.50ConvSpread
WEINGARTEN REALTY INVESTORSAmericasFINANCIALS3014172,828,095(8,235)10090.000ConvSpread
WELLPOINT, INC.AmericasHEALTHCARE6703277,610,170(1,111)10070.000ConvSpread
WELLS FARGO & COMPANYAmericasFINANCIALS4,977233,018,013,59828,565,84810061.501.00ConvSpread
WENDELEuropeFINANCIALS2,22211543,595,8661,393,705500245.00(5.50)ConvSpread
WENDY'S INTERNATIONAL, INC.AmericasCONSUMER SERVICES1,283(23)412,026,102668,752100229.500ConvSpread
WESFARMERS LIMITEDAustralia NZCONSUMER SERVICES927(11)608,793,700(229,120)10073.001.00ConvSpread
WESTPAC BANKING CORPORATIONAustralia NZFINANCIALS1,334(34)855,854,781(7,528,688)100107.500.50ConvSpread
WEYERHAEUSER COMPANYAmericasBASIC MATERIALS3,309(49)1,005,923,597(6,992,824)10096.000.50ConvSpread
WHIRLPOOL CORPORATIONAmericasCONSUMER GOODS3,383541,406,153,88311,841,190100102.501.00ConvSpread
WILLIAMS PARTNERS L.P.AmericasENERGY225N/A172,750,000N/A100109.500ConvSpread
WIND ACQUISITION FINANCE S.A.EuropeTELECOMMUNICATIONS SERVICES2,56759439,452,159(4,546,875)500440.004.50ConvSpread
WINDSTREAM CORPORATIONAmericasTELECOMMUNICATIONS SERVICES2,2900409,810,88523,369,358500377.505.00ConvSpread
WOLTERS KLUWER N.V.EuropeCONSUMER SERVICES2,79531,131,528,371(20,807,005)10073.00(1.50)ConvSpread
WOODSIDE PETROLEUM LTD.Australia NZENERGY653(3)424,880,129(1,649)100113.00(2.00)ConvSpread
WOOLWORTHS LTDAustralia NZCONSUMER SERVICES693(11)283,133,878(90,753)10068.001.00ConvSpread
WPP 2005 LIMITEDEuropeCONSUMER SERVICES1,9150776,649,593(595,164)10075.00(1.00)ConvSpread
WYETH LLCAmericasHEALTHCARE1,3590775,943,8122,75010014.500ConvSpread
WYNDHAM WORLDWIDE CORPORATIONAmericasCONSUMER SERVICES2051148,486,281(14,201)10085.50(2.00)ConvSpread
XCEL ENERGY INC.AmericasUTILITIES2921123,292,175(392)10035.000ConvSpread
XEROX CORPORATIONAmericasTECHNOLOGY1,71831,143,934,50222,999,025100132.502.00ConvSpread
XLIT LTD.AmericasFINANCIALS2,252(1)1,346,458,0083,282,62510060.50(4.00)ConvSpread
XSTRATA CANADA CORPORATIONAmericasBASIC MATERIALS538(1)216,083,7993,512,33910052.500ConvSpread
XTO ENERGY INC.AmericasENERGY7986244,034,9078,251,10410015.000ConvSpread
YUM! BRANDS, INC.AmericasCONSUMER SERVICES1,421(21)519,275,6874,146,44510064.504.00ConvSpread
ZURICH INSURANCE COMPANY LTDEuropeFINANCIALS3,423191,640,005,77434,226,478100112.500ConvSpread
*Net notional amounts listed are for all series and tenors while price quote is for the "On The Run" index

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