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| 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.
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| 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 |