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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 16May2013. The numbers for CDS Contracts and Notional are provided by DTCC on week ending 10May2013.
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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 | | | 13,899 | (666) | 88,773,144,144 | (1,965,253,980) | | 106.81 | 0.22 | Price |
| *MARKIT CDX.NA.IG | | | 23,470 | (651) | 350,089,325,675 | 10,820,661 | | 71.50 | (1.44) | Spread |
| *MARKIT ITRAXX ASIA EX-JAPAN IG | | | 5,580 | 23 | 9,385,877,500 | 14,200,000 | | 102.50 | (1.00) | Spread |
| *MARKIT ITRAXX EUROPE | | | 38,156 | 60 | 409,967,949,994 | (6,552,026,753) | | 94.38 | (2.25) | Spread |
| 3M COMPANY | Americas | INDUSTRIALS | 892 | 1 | 423,020,776 | (348,376) | 100 | 14.50 | 0 | ConvSpread |
| ABB INTERNATIONAL FINANCE LIMITED | Europe | INDUSTRIALS | 2,110 | 5 | 431,045,258 | (9,800,266) | 100 | 30.00 | 0 | ConvSpread |
| ABBOTT LABORATORIES | Americas | HEALTHCARE | 1,133 | (1) | 533,921,687 | (5,843,559) | 100 | 44.50 | 0 | ConvSpread |
| ABU DHABI | Europe | GOVERNMENT | 1,522 | (5) | 1,332,395,773 | 39,980,331 | 100 | 65.00 | (0.50) | ConvSpread |
| ACCOR | Europe | CONSUMER SERVICES | 2,360 | (17) | 860,726,804 | (5,243,284) | 100 | 112.00 | (3.50) | ConvSpread |
| ACE LIMITED | Americas | FINANCIALS | 2,180 | 18 | 1,489,453,799 | (2,726,729) | 100 | 30.50 | 0 | ConvSpread |
| ACOM CO., LTD. | Japan | FINANCIALS | 1,544 | 4 | 383,463,395 | (1,021,423) | 100 | 82.00 | (1.00) | ConvSpread |
| ADECCO S.A. | Europe | INDUSTRIALS | 2,160 | (23) | 649,897,241 | (6,388,661) | 100 | 104.00 | (6.50) | ConvSpread |
| ADVANCED MICRO DEVICES, INC. | Americas | TECHNOLOGY | 1,994 | 24 | 513,018,049 | (1,255,985) | 500 | 3.75 | 0 | Upfront |
| AEGON N.V. | Europe | FINANCIALS | 3,972 | (11) | 1,401,587,402 | (26,603,661) | 100 | 155.00 | (8.00) | ConvSpread |
| AEON CO., LTD. | Japan | CONSUMER SERVICES | 562 | 6 | 289,752,947 | (22,387,050) | 100 | 47.00 | 0 | ConvSpread |
| AETNA INC. | Americas | HEALTHCARE | 1,843 | 17 | 734,944,313 | (32,530,120) | 100 | 39.50 | 1.00 | ConvSpread |
| AGRIUM INC. | Americas | BASIC MATERIALS | 1,344 | (4) | 356,071,511 | (10,219,644) | 100 | 103.50 | 0 | ConvSpread |
| AIR PRODUCTS AND CHEMICALS, INC. | Americas | BASIC MATERIALS | 826 | (3) | 213,257,781 | 540,675 | 100 | 47.00 | 0 | ConvSpread |
| AK STEEL CORPORATION | Americas | BASIC MATERIALS | 1,962 | (53) | 392,618,188 | 13,649,460 | 500 | 19.25 | (0.50) | Upfront |
| AKTIEBOLAGET ELECTROLUX | Europe | CONSUMER GOODS | 2,735 | (19) | 856,078,901 | (58,731,683) | 100 | 51.50 | 0 | ConvSpread |
| AKTIEBOLAGET SKF | Europe | INDUSTRIALS | 371 | 0 | 174,432,273 | (1,298,315) | 100 | 65.00 | 0 | ConvSpread |
| AKTIEBOLAGET VOLVO | Europe | INDUSTRIALS | 3,376 | 0 | 1,103,352,264 | (12,478,929) | 100 | 147.50 | 2.50 | ConvSpread |
| AKZO NOBEL N.V. | Europe | BASIC MATERIALS | 3,163 | 6 | 985,865,147 | 49,187,066 | 100 | 90.50 | (5.00) | ConvSpread |
| ALCATEL LUCENT | Europe | TECHNOLOGY | 3,121 | 6 | 627,851,766 | (18,991,609) | 500 | 6.75 | (0.25) | Upfront |
| ALCATEL-LUCENT USA INC. | Americas | TECHNOLOGY | 1,199 | 8 | 311,989,306 | 5,605,693 | 500 | 6.75 | (0.13) | Upfront |
| ALCOA INC. | Americas | BASIC MATERIALS | 3,721 | 20 | 1,630,140,388 | 70,768,817 | 100 | 270.00 | 7.00 | ConvSpread |
| ALL NIPPON AIRWAYS CO., LTD. | Japan | INDUSTRIALS | 830 | 11 | 386,883,389 | (9,234,881) | 100 | 160.00 | (10.00) | ConvSpread |
| ALLEGHENY ENERGY SUPPLY COMPANY, LLC | Americas | UTILITIES | 844 | 0 | 262,728,814 | (266,371) | 100 | 122.00 | (5.50) | ConvSpread |
| ALLIANCE BOOTS HOLDINGS LIMITED | Europe | CONSUMER SERVICES | 2,146 | 2 | 355,409,597 | (16,456,532) | 500 | 70.00 | (10.00) | ConvSpread |
| ALLIANZ SE | Europe | FINANCIALS | 4,547 | (17) | 2,062,643,200 | (26,406,749) | 100 | 76.50 | (2.50) | ConvSpread |
| ALLIED WASTE NORTH AMERICA, INC. | Americas | INDUSTRIALS | 554 | 0 | 135,834,751 | (171,126) | 100 | 40.00 | 0 | ConvSpread |
| ALLTEL CORPORATION | Americas | TELECOMMUNICATIONS SERVICES | 2,207 | 4 | 600,132,833 | 9,824,774 | 100 | 16.50 | 0 | ConvSpread |
| ALLY FINANCIAL INC. | Americas | FINANCIALS | 3,087 | 24 | 1,105,100,038 | 46,860,256 | 500 | 166.00 | (2.50) | ConvSpread |
| ALSTOM | Europe | INDUSTRIALS | 1,939 | 14 | 874,247,337 | (14,780,750) | 100 | 165.00 | (5.00) | ConvSpread |
| ALTADIS SA | Europe | CONSUMER GOODS | 2,331 | 1 | 978,861,315 | (8,794,743) | 100 | 47.50 | 7.00 | ConvSpread |
| ALTRIA GROUP, INC. | Americas | CONSUMER GOODS | 2,851 | 22 | 1,443,413,361 | (11,816,085) | 100 | 44.50 | (1.00) | ConvSpread |
| AMCOR LTD | Australia NZ | INDUSTRIALS | 1,613 | (2) | 498,073,678 | (983,898) | 100 | 86.50 | (2.00) | ConvSpread |
| AMERICAN AXLE & MANUFACTURING, INC. | Americas | CONSUMER GOODS | 2,264 | 15 | 453,795,928 | 3,559,294 | 500 | 336.00 | (4.00) | ConvSpread |
| AMERICAN ELECTRIC POWER COMPANY, INC. | Americas | UTILITIES | 1,747 | (6) | 698,119,718 | 8,106,866 | 100 | 24.50 | (1.50) | ConvSpread |
| AMERICAN EXPRESS COMPANY | Americas | FINANCIALS | 2,561 | (16) | 1,237,751,447 | (30,809,312) | 100 | 37.50 | (0.50) | ConvSpread |
| AMERICAN INTERNATIONAL GROUP, INC. | Americas | FINANCIALS | 3,739 | (16) | 1,414,949,954 | (27,860,940) | 100 | 95.00 | 0 | ConvSpread |
| AMERISOURCEBERGEN CORPORATION | Americas | CONSUMER SERVICES | 829 | (1) | 279,077,281 | (343,561) | 100 | 60.00 | 0 | ConvSpread |
| AMGEN INC. | Americas | HEALTHCARE | 1,885 | 13 | 778,701,699 | 73,295,113 | 100 | 36.50 | 0 | ConvSpread |
| AMKOR TECHNOLOGY, INC. | Americas | TECHNOLOGY | 1,135 | 27 | 331,749,069 | 11,792,132 | 500 | 432.50 | (12.50) | ConvSpread |
| AMP GROUP HOLDINGS LIMITED | Australia NZ | FINANCIALS | 366 | 0 | 151,601,069 | (176,893) | 100 | 97.00 | (3.00) | ConvSpread |
| ANADARKO PETROLEUM CORPORATION | Americas | ENERGY | 2,704 | (4) | 1,830,968,869 | 10,845,687 | 100 | 87.50 | (3.00) | ConvSpread |
| ANGLO AMERICAN PLC | Europe | BASIC MATERIALS | 2,581 | 10 | 1,525,507,609 | 11,077,982 | 100 | 152.00 | (3.00) | ConvSpread |
| ANHEUSER-BUSCH INBEV | Europe | CONSUMER GOODS | 675 | 3 | 1,146,823,609 | 6,712,330 | 100 | 48.50 | 0 | ConvSpread |
| AON CORPORATION | Americas | FINANCIALS | 1,472 | 14 | 598,783,344 | (12,962,078) | 100 | 48.00 | (3.00) | ConvSpread |
| APACHE CORPORATION | Americas | ENERGY | 1,618 | (2) | 745,275,330 | 29,678,990 | 100 | 61.50 | 1.00 | ConvSpread |
| ARAB REPUBLIC OF EGYPT | Europe | GOVERNMENT | 979 | 0 | 414,855,000 | 0.00 | 100 | 640.00 | 10.00 | ConvSpread |
| ARAMARK CORPORATION | Americas | CONSUMER SERVICES | 1,084 | 8 | 294,316,850 | 29,298,689 | 500 | 242.50 | 13.00 | ConvSpread |
| ARCELORMITTAL | Europe | BASIC MATERIALS | 4,923 | 38 | 2,692,141,297 | 10,007,379 | 100 | 357.00 | (13.00) | ConvSpread |
| ARCHER-DANIELS-MIDLAND COMPANY | Americas | CONSUMER GOODS | 1,177 | 0 | 577,813,947 | (283,570) | 100 | 70.50 | 0 | ConvSpread |
| ARDAGH PACKAGING FINANCE PUBLIC LIMITED COMPANY | Europe | INDUSTRIALS | 594 | 8 | 242,863,016 | (11,569,537) | 500 | 414.00 | (8.50) | ConvSpread |
| ARGENTINE REPUBLIC | Americas | GOVERNMENT | 3,381 | 7 | 1,501,043,053 | (26,017,270) | 500 | 51.00 | 0.50 | Upfront |
| ARROW ELECTRONICS, INC. | Americas | INDUSTRIALS | 2,496 | 14 | 864,071,257 | 22,504,161 | 100 | 147.50 | (7.50) | ConvSpread |
| ASHLAND INC. | Americas | BASIC MATERIALS | 656 | 0 | 207,339,868 | (136,421) | 100 | 165.00 | 0 | ConvSpread |
| ASSA ABLOY AB | Europe | INDUSTRIALS | 543 | 0 | 253,764,936 | (2,210,870) | 100 | 50.00 | 0 | ConvSpread |
| ASSICURAZIONI GENERALI - SOCIETA PER AZIONI | Europe | FINANCIALS | 4,597 | (11) | 1,660,180,000 | (29,765,006) | 100 | 221.00 | (7.00) | ConvSpread |
| ASSURED GUARANTY CORP. | Americas | FINANCIALS | 2,004 | 7 | 1,042,278,443 | 190,850 | 500 | 275.00 | (2.50) | ConvSpread |
| ASSURED GUARANTY MUNICIPAL CORP. | Americas | FINANCIALS | 3,239 | 18 | 917,018,576 | 11,614,219 | 500 | 270.00 | (2.50) | ConvSpread |
| ASTRAZENECA PLC | Europe | HEALTHCARE | 1,288 | 3 | 681,702,576 | 642,873 | 100 | 51.00 | 0.50 | ConvSpread |
| AT&T CORP. | Americas | TELECOMMUNICATIONS SERVICES | 851 | 4 | 204,973,403 | 451,031 | 100 | 39.00 | 0 | ConvSpread |
| AT&T INC. | Americas | TELECOMMUNICATIONS SERVICES | 3,053 | 33 | 2,206,659,193 | (12,413,372) | 100 | 57.50 | 0 | ConvSpread |
| ATLANTIA S.P.A. | Europe | INDUSTRIALS | 2,288 | 0 | 691,871,938 | (687,954) | 100 | 150.00 | (7.00) | ConvSpread |
| ATLAS COPCO AKTIEBOLAG | Europe | INDUSTRIALS | 565 | 0 | 232,884,897 | (2,257,080) | 100 | 45.00 | (5.00) | ConvSpread |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED | Australia NZ | FINANCIALS | 1,923 | (1) | 1,220,451,657 | (3,282,460) | 100 | 72.50 | (1.00) | ConvSpread |
| AUTOZONE, INC. | Americas | CONSUMER SERVICES | 2,943 | 12 | 1,419,505,597 | 28,187,136 | 100 | 61.50 | 0 | ConvSpread |
| AVALONBAY COMMUNITIES, INC. | Americas | FINANCIALS | 993 | 5 | 326,441,060 | 25,072,795 | 100 | 57.50 | 0 | ConvSpread |
| AVIS BUDGET CAR RENTAL, LLC | Americas | CONSUMER SERVICES | 881 | 3 | 350,656,291 | (5,819,228) | 500 | 260.00 | 0 | ConvSpread |
| AVIS BUDGET GROUP, INC. | Americas | CONSUMER SERVICES | 2,137 | 12 | 423,128,848 | 14,836,488 | 500 | 250.50 | (14.50) | ConvSpread |
| AVIVA PLC | Europe | FINANCIALS | 4,052 | (5) | 1,435,552,009 | (28,966,694) | 100 | 137.00 | (6.00) | ConvSpread |
| AVNET, INC. | Americas | CONSUMER GOODS | 1,650 | (16) | 604,397,402 | 19,629,419 | 100 | 163.50 | (7.00) | ConvSpread |
| AVON PRODUCTS, INC. | Americas | CONSUMER GOODS | 1,911 | (16) | 508,347,430 | (6,035,180) | 100 | 152.00 | (7.00) | ConvSpread |
| AXA | Europe | FINANCIALS | 5,440 | 3 | 3,358,338,385 | (24,676,977) | 100 | 138.00 | (5.00) | ConvSpread |
| BAE SYSTEMS PLC | Europe | INDUSTRIALS | 1,876 | (20) | 689,598,406 | 253,454 | 100 | 75.00 | (4.50) | ConvSpread |
| BAKER HUGHES INCORPORATED | Americas | ENERGY | 998 | 1 | 422,714,085 | (4,049,566) | 100 | 62.00 | (1.00) | ConvSpread |
| BANCA MONTE DEI PASCHI DI SIENA S.P.A. | Europe | FINANCIALS | 4,687 | 34 | 1,009,602,949 | 13,496,285 | 500 | 585.00 | (10.00) | ConvSpread |
| BANCO BILBAO VIZCAYA ARGENTARIA, SOCIEDAD ANONIMA | Europe | FINANCIALS | 6,357 | (8) | 2,011,807,784 | 14,873,151 | 500 | 240.50 | N/A | ConvSpread |
| BANCO COMERCIAL PORTUGUES, S.A. | Europe | FINANCIALS | 3,030 | 5 | 392,550,478 | (20,427,969) | 500 | 475.00 | (15.00) | ConvSpread |
| BANCO ESPIRITO SANTO, S.A. | Europe | FINANCIALS | 4,021 | 2 | 601,460,336 | (27,374,261) | 500 | 445.00 | (15.00) | ConvSpread |
| BANCO POPOLARE SOCIETA COOPERATIVA | Europe | FINANCIALS | 2,777 | 3 | 743,246,071 | (5,609,343) | 500 | 480.00 | (20.00) | ConvSpread |
| BANCO SANTANDER, S.A. | Europe | FINANCIALS | 7,569 | 10 | 2,085,518,477 | 31,279,672 | 500 | 226.50 | N/A | ConvSpread |
| BANK OF AMERICA CORPORATION | Americas | FINANCIALS | 7,155 | 37 | 4,137,863,778 | (113,359,142) | 100 | 91.00 | 1.00 | ConvSpread |
| BANK OF SCOTLAND PLC | Europe | FINANCIALS | 3,435 | (5) | 995,219,168 | (12,277,714) | 100 | 67.00 | (3.00) | ConvSpread |
| BANQUE CENTRALE DE TUNISIE | Europe | GOVERNMENT | 334 | 2 | 278,927,572 | 3,362,600 | 100 | 392.50 | N/A | ConvSpread |
| BARCLAYS BANK PLC | Europe | FINANCIALS | 6,272 | 29 | 3,964,381,742 | (41,240,560) | 100 | 125.50 | (6.00) | ConvSpread |
| BARRICK GOLD CORPORATION | Americas | BASIC MATERIALS | 2,200 | 12 | 1,250,277,059 | 60,419,417 | 100 | 197.00 | 22.00 | ConvSpread |
| BASF PERSONAL CARE AND NUTRITION GMBH | Europe | BASIC MATERIALS | 1,103 | 0 | 144,374,503 | (1,261,218) | 100 | 31.00 | 0 | ConvSpread |
| BASF SCHWEIZ AG | Europe | BASIC MATERIALS | 2,757 | 0 | 771,287,581 | (12,084,002) | 100 | 20.00 | 2.50 | ConvSpread |
| BASF SE | Europe | BASIC MATERIALS | 2,712 | (17) | 1,239,029,784 | 29,873,442 | 100 | 38.50 | (1.50) | ConvSpread |
| BAUSCH & LOMB INCORPORATED | Americas | HEALTHCARE | 984 | 2 | 261,268,014 | (176,836) | 500 | 110.00 | (2.00) | ConvSpread |
| BAXTER INTERNATIONAL INC. | Americas | HEALTHCARE | 1,525 | 7 | 674,314,921 | (7,518,622) | 100 | 26.50 | 0 | ConvSpread |
| BAYER AKTIENGESELLSCHAFT | Europe | HEALTHCARE | 2,517 | (8) | 853,620,662 | (1,488,604) | 100 | 42.50 | (2.00) | ConvSpread |
| BAYERISCHE MOTOREN WERKE AKTIENGESELLSCHAFT | Europe | CONSUMER GOODS | 3,559 | (2) | 1,774,890,929 | (15,200,994) | 100 | 68.00 | (2.00) | ConvSpread |
| BCE INC. | Americas | TELECOMMUNICATIONS SERVICES | 520 | (8) | 216,202,193 | 917,125 | 100 | 52.00 | 0 | ConvSpread |
| BEAM INC. | Americas | CONSUMER GOODS | 2,147 | 4 | 839,866,751 | 175,616 | 100 | 49.50 | (2.00) | ConvSpread |
| BEAZER HOMES USA, INC. | Americas | CONSUMER GOODS | 1,994 | 20 | 321,479,575 | 5,712,644 | 500 | 377.50 | (15.00) | ConvSpread |
| BELLSOUTH CORPORATION | Americas | TELECOMMUNICATIONS SERVICES | 1,730 | 17 | 540,950,706 | 1,511,171 | 100 | 39.50 | 0 | ConvSpread |
| BELO CORP. | Americas | CONSUMER SERVICES | 3,047 | 11 | 775,818,894 | 422,171 | 500 | 155.50 | (3.00) | ConvSpread |
| BERKSHIRE HATHAWAY INC. | Americas | FINANCIALS | 3,448 | 17 | 6,933,921,296 | (139,574,275) | 100 | 77.50 | (1.00) | ConvSpread |
| BERTELSMANN SE & CO. KGAA | Europe | CONSUMER SERVICES | 2,445 | (6) | 712,905,739 | (5,707,998) | 100 | 68.00 | 0 | ConvSpread |
| BEST BUY CO., INC. | Americas | CONSUMER SERVICES | 1,778 | 26 | 368,052,807 | (45,565,229) | 500 | 281.00 | (6.50) | ConvSpread |
| BHP BILLITON LIMITED | Australia NZ | BASIC MATERIALS | 2,610 | 2 | 1,397,373,376 | (801,366) | 100 | 65.50 | 0 | ConvSpread |
| BLOCK FINANCIAL LLC | Americas | FINANCIALS | 2,234 | 1 | 659,846,624 | (11,127,594) | 500 | 150.00 | (2.50) | ConvSpread |
| BNP PARIBAS | Europe | FINANCIALS | 4,647 | 13 | 2,304,932,208 | (26,685,909) | 100 | 127.50 | (5.00) | ConvSpread |
| BOEING CAPITAL CORPORATION | Americas | FINANCIALS | 1,577 | 20 | 724,632,313 | (1,539,602) | 100 | 11.50 | (2.00) | ConvSpread |
| BOLIVARIAN REPUBLIC OF VENEZUELA | Americas | GOVERNMENT | 3,670 | 21 | 2,260,802,413 | 66,089,593 | 500 | 805.00 | (10.00) | ConvSpread |
| BOMBARDIER INC. | Americas | INDUSTRIALS | 2,436 | 65 | 638,092,056 | (13,550,892) | 500 | 237.50 | 0 | ConvSpread |
| BORGWARNER INC. | Americas | CONSUMER GOODS | 1,495 | (2) | 371,464,912 | (5,207,003) | 100 | 95.50 | 0 | ConvSpread |
| BOSTON PROPERTIES LIMITED PARTNERSHIP | Americas | FINANCIALS | 1,127 | 4 | 433,178,333 | 3,605,155 | 100 | 55.50 | 0 | ConvSpread |
| BOSTON SCIENTIFIC CORPORATION | Americas | HEALTHCARE | 2,513 | 4 | 937,743,576 | (33,367,861) | 100 | 88.50 | 0 | ConvSpread |
| BOUYGUES | Europe | TELECOMMUNICATIONS SERVICES | 1,929 | 1 | 708,057,212 | (13,638,064) | 100 | 112.00 | (3.00) | ConvSpread |
| BOYD GAMING CORPORATION | Americas | CONSUMER SERVICES | 1,511 | 17 | 423,947,142 | 3,242,041 | 500 | 2.75 | 0.50 | Upfront |
| BP P.L.C. | Europe | ENERGY | 2,454 | (16) | 1,388,668,330 | (49,166,092) | 100 | 60.00 | (0.50) | ConvSpread |
| BRIDGESTONE CORPORATION | Japan | CONSUMER GOODS | 376 | 0 | 232,278,308 | (6,491,967) | 100 | 28.00 | 0 | ConvSpread |
| BRISA - CONCESSAO RODOVIARIA, S.A. | Europe | INDUSTRIALS | 578 | 11 | 274,597,610 | (6,422,299) | 500 | 1.50 | (0.75) | Upfront |
| BRISTOL-MYERS SQUIBB COMPANY | Americas | HEALTHCARE | 1,764 | 4 | 477,233,843 | 2,010,804 | 100 | 26.50 | 1.00 | ConvSpread |
| BRITISH AIRWAYS PLC | Europe | INDUSTRIALS | 2,788 | 9 | 592,777,204 | (12,075,395) | 500 | 260.00 | 0 | ConvSpread |
| BRITISH AMERICAN TOBACCO P.L.C. | Europe | CONSUMER GOODS | 2,809 | (5) | 1,050,591,680 | (8,207,302) | 100 | 44.00 | 1.00 | ConvSpread |
| BRITISH SKY BROADCASTING GROUP PLC | Europe | CONSUMER SERVICES | 1,763 | (5) | 530,021,984 | 28,820,262 | 100 | 68.00 | (0.50) | ConvSpread |
| BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY | Europe | TELECOMMUNICATIONS SERVICES | 4,039 | 1 | 1,363,449,142 | 4,485,770 | 100 | 73.00 | (3.00) | ConvSpread |
| BROOKFIELD ASSET MANAGEMENT INC. | Americas | FINANCIALS | 359 | 0 | 173,816,979 | (585,389) | 100 | 167.50 | 0 | ConvSpread |
| BRUNSWICK CORPORATION | Americas | CONSUMER GOODS | 2,497 | 14 | 920,906,636 | 13,083,413 | 100 | 160.00 | 2.50 | ConvSpread |
| BURLINGTON NORTHERN SANTA FE, LLC | Americas | INDUSTRIALS | 1,797 | 4 | 971,039,287 | 2,933,386 | 100 | 16.50 | 0 | ConvSpread |
| CA, INC. | Americas | TECHNOLOGY | 1,497 | 11 | 416,007,711 | (2,590,607) | 100 | 97.00 | (1.00) | ConvSpread |
| CABLE & WIRELESS LIMITED | Europe | TELECOMMUNICATIONS SERVICES | 1,281 | 4 | 328,981,914 | (5,168,147) | 500 | 295.00 | (5.00) | ConvSpread |
| CABLE & WIRELESS WORLDWIDE PLC | Europe | TELECOMMUNICATIONS SERVICES | 1,251 | 0 | 184,897,352 | (1,822,440) | 500 | 45.00 | 0 | ConvSpread |
| CADBURY HOLDINGS LIMITED | Europe | CONSUMER GOODS | 2,461 | (2) | 270,550,672 | (2,223,853) | 100 | 26.50 | 2.00 | ConvSpread |
| CAESARS ENTERTAINMENT OPERATING COMPANY, INC. | Americas | CONSUMER SERVICES | 5,368 | 75 | 1,361,354,034 | 40,098,356 | 500 | 48.50 | 0.25 | Upfront |
| CAMPBELL SOUP COMPANY | Americas | CONSUMER GOODS | 1,669 | 23 | 664,399,487 | (11,719,321) | 100 | 48.50 | (1.00) | ConvSpread |
| CANADIAN NATIONAL RAILWAY COMPANY | Americas | INDUSTRIALS | 460 | 0 | 186,634,061 | (483,857) | 100 | 26.50 | 0 | ConvSpread |
| CANADIAN NATURAL RESOURCES LIMITED | Americas | BASIC MATERIALS | 1,709 | (4) | 877,849,501 | (6,393,632) | 100 | 80.00 | (0.50) | ConvSpread |
| CANON INC. | Japan | TECHNOLOGY | 323 | 0 | 334,970,133 | (8,562,531) | 100 | 28.50 | 0 | ConvSpread |
| CAP GEMINI | Europe | TECHNOLOGY | 993 | (1) | 347,180,767 | (2,517,320) | 100 | 132.00 | 2.50 | ConvSpread |
| CAPITAL ONE BANK (USA), NATIONAL ASSOCIATION | Americas | FINANCIALS | 2,099 | (34) | 724,182,513 | 4,406,829 | 100 | 39.50 | 2.50 | ConvSpread |
| CAPITAL ONE FINANCIAL CORPORATION | Americas | FINANCIALS | 1,933 | (15) | 740,030,825 | 16,555,004 | 100 | 77.00 | 0 | ConvSpread |
| CARDINAL HEALTH, INC. | Americas | CONSUMER SERVICES | 1,955 | 25 | 886,465,230 | 42,502,515 | 100 | 44.50 | 0 | ConvSpread |
| CARGILL, INCORPORATED | Americas | CONSUMER GOODS | 1,273 | 0 | 525,626,310 | (16,367,200) | 100 | 60.50 | 0 | ConvSpread |
| CARLSBERG BREWERIES A/S | Europe | CONSUMER GOODS | 535 | 2 | 277,235,268 | (8,823,663) | 100 | 87.00 | 2.00 | ConvSpread |
| CARNIVAL CORPORATION | Americas | CONSUMER SERVICES | 2,837 | (9) | 1,441,052,675 | (32,204,118) | 100 | 72.50 | 0.50 | ConvSpread |
| CARREFOUR | Europe | CONSUMER SERVICES | 3,184 | 58 | 1,245,916,045 | (40,561,915) | 100 | 95.50 | (5.00) | ConvSpread |
| CASINO GUICHARD-PERRACHON | Europe | CONSUMER SERVICES | 3,035 | 43 | 1,151,216,302 | (20,336,082) | 100 | 100.50 | (3.00) | ConvSpread |
| CATERPILLAR FINANCIAL SERVICES CORPORATION | Americas | FINANCIALS | 1,102 | (1) | 519,771,654 | (222,659) | 100 | 72.50 | 0 | ConvSpread |
| CATERPILLAR INC. | Americas | INDUSTRIALS | 2,560 | (9) | 1,904,523,131 | (116,315,300) | 100 | 66.50 | 0 | ConvSpread |
| CBS CORPORATION | Americas | CONSUMER SERVICES | 3,334 | (9) | 1,231,991,658 | 241,482 | 100 | 67.50 | 1.00 | ConvSpread |
| CELESTICA INC. | Americas | CONSUMER GOODS | 564 | (2) | 135,394,751 | 20,080,987 | 100 | 120.00 | 10.00 | ConvSpread |
| CELLCO PARTNERSHIP | Americas | TELECOMMUNICATIONS SERVICES | 216 | 1 | 133,601,156 | 4,925,256 | 100 | 53.00 | 0 | ConvSpread |
| CENTERPOINT ENERGY RESOURCES CORP. | Americas | UTILITIES | 438 | 0 | 204,889,987 | (152,240) | 100 | 47.50 | 4.50 | ConvSpread |
| CENTERPOINT ENERGY, INC. | Americas | UTILITIES | 894 | 0 | 408,767,654 | (569,237) | 100 | 50.00 | (3.00) | ConvSpread |
| CENTEX CORPORATION | Americas | CONSUMER GOODS | 3,623 | 4 | 1,339,014,958 | (2,790,958) | 500 | 45.00 | 0 | ConvSpread |
| CENTRICA PLC | Europe | UTILITIES | 2,633 | (3) | 901,919,855 | (8,383,788) | 100 | 50.00 | (1.50) | ConvSpread |
| CENTURYLINK, INC. | Americas | TELECOMMUNICATIONS SERVICES | 3,645 | 23 | 1,295,189,849 | (47,686,218) | 100 | 229.00 | 2.00 | ConvSpread |
| CHESAPEAKE ENERGY CORPORATION | Americas | ENERGY | 2,988 | 31 | 1,325,876,505 | (12,244,544) | 500 | 290.00 | (8.00) | ConvSpread |
| CHEVRON CORPORATION | Americas | ENERGY | 871 | (3) | 304,204,844 | (846,444) | 100 | 17.00 | (1.00) | ConvSpread |
| CHORUS LIMITED | Australia NZ | TELECOMMUNICATIONS SERVICES | 1,762 | (2) | 340,688,925 | (470,039) | 100 | 151.50 | N/A | ConvSpread |
| CHUBU ELECTRIC POWER COMPANY, INCORPORATED | Japan | UTILITIES | 378 | (7) | 192,179,097 | (5,164,801) | 100 | 67.50 | (3.00) | ConvSpread |
| CIGNA CORPORATION | Americas | HEALTHCARE | 1,698 | 2 | 716,164,208 | (4,066,482) | 100 | 46.50 | 1.00 | ConvSpread |
| CIR S.P.A. - COMPAGNIE INDUSTRIALI RIUNITE | Europe | UTILITIES | 1,000 | 0 | 209,478,912 | (4,767,096) | 500 | 3.75 | 0.25 | Upfront |
| CISCO SYSTEMS, INC. | Americas | TECHNOLOGY | 605 | 3 | 381,019,751 | (7,240,013) | 100 | 38.50 | 3.00 | ConvSpread |
| CITIGROUP INC. | Americas | FINANCIALS | 5,423 | 22 | 2,761,198,275 | (31,053,610) | 100 | 86.00 | 0.50 | ConvSpread |
| CLARIANT AG | Europe | BASIC MATERIALS | 3,584 | 53 | 693,753,247 | (25,533,442) | 100 | 137.50 | (2.00) | ConvSpread |
| CLEAR CHANNEL COMMUNICATIONS, INC. | Americas | CONSUMER SERVICES | 6,067 | 137 | 1,173,736,283 | 33,393,351 | 500 | 24.00 | (4.00) | Upfront |
| CMS ENERGY CORPORATION | Americas | UTILITIES | 1,285 | (1) | 439,363,414 | (402,173) | 100 | 62.50 | (2.00) | ConvSpread |
| CNA FINANCIAL CORPORATION | Americas | FINANCIALS | 1,373 | 12 | 469,267,662 | 3,001,392 | 100 | 61.50 | 0 | ConvSpread |
| COCA-COLA REFRESHMENTS USA, INC. | Americas | CONSUMER GOODS | 1,234 | 0 | 292,350,610 | (527,276) | 100 | 25.00 | 0 | ConvSpread |
| CODERE FINANCE (LUXEMBOURG) S.A. | Europe | FINANCIALS | 2,140 | 12 | 292,145,047 | (4,422,755) | 500 | 37.00 | (1.00) | Upfront |
| COLES GROUP LIMITED | Australia NZ | CONSUMER SERVICES | 1,138 | 4 | 624,266,921 | (4,113,043) | 100 | 28.50 | (1.00) | ConvSpread |
| COLGATE-PALMOLIVE COMPANY | Americas | CONSUMER GOODS | 536 | 1 | 217,223,359 | (5,708,758) | 100 | 28.50 | 3.00 | ConvSpread |
| COMCAST CABLE COMMUNICATIONS, LLC | Americas | CONSUMER SERVICES | 2,603 | 5 | 782,645,865 | (39,638,510) | 100 | 22.50 | 0 | ConvSpread |
| COMCAST CORPORATION | Americas | CONSUMER SERVICES | 1,096 | 6 | 795,031,401 | 1,469,494 | 100 | 36.50 | 0 | ConvSpread |
| COMMERCIAL METALS COMPANY | Americas | BASIC MATERIALS | 964 | (6) | 280,004,341 | (619,972) | 500 | 295.00 | 10.00 | ConvSpread |
| COMMERZBANK AKTIENGESELLSCHAFT | Europe | FINANCIALS | 6,782 | (2) | 2,565,927,999 | (33,802,851) | 100 | 152.50 | (5.00) | ConvSpread |
| COMMONWEALTH BANK OF AUSTRALIA | Australia NZ | FINANCIALS | 1,799 | (1) | 911,533,086 | (114,003,217) | 100 | 72.50 | (1.00) | ConvSpread |
| COMMONWEALTH OF AUSTRALIA | Australia NZ | GOVERNMENT | 3,580 | 8 | 3,469,072,068 | 75,721,564 | 100 | 38.00 | (0.50) | ConvSpread |
| COMMUNITY HEALTH SYSTEMS, INC. | Americas | HEALTHCARE | 932 | 3 | 366,439,199 | 1,398,872 | 500 | 247.00 | 2.00 | ConvSpread |
| COMPAGNIE DE SAINT-GOBAIN | Europe | INDUSTRIALS | 3,557 | (8) | 1,192,172,570 | (33,356,292) | 100 | 129.50 | (1.50) | ConvSpread |
| COMPAGNIE FINANCIERE MICHELIN | Europe | FINANCIALS | 2,471 | (38) | 738,037,178 | (2,347,536) | 100 | 97.00 | (0.50) | ConvSpread |
| COMPASS GROUP PLC | Europe | CONSUMER SERVICES | 2,822 | (18) | 846,358,636 | (4,893,373) | 100 | 53.00 | 1.50 | ConvSpread |
| COMPUTER SCIENCES CORPORATION | Americas | TECHNOLOGY | 3,756 | 14 | 1,692,754,162 | 8,691,604 | 500 | 138.50 | 1.00 | ConvSpread |
| CON-WAY INC. | Americas | INDUSTRIALS | 1,126 | 0 | 545,798,996 | 1,628 | 100 | 190.00 | 0 | ConvSpread |
| CONAGRA FOODS, INC. | Americas | CONSUMER GOODS | 2,078 | 14 | 490,041,814 | 1,583,196 | 100 | 49.50 | (1.00) | ConvSpread |
| CONOCOPHILLIPS | Americas | ENERGY | 2,138 | 54 | 969,743,993 | (4,535,923) | 100 | 31.50 | 2.50 | ConvSpread |
| CONSOLIDATED EDISON COMPANY OF NEW YORK, INC. | Americas | UTILITIES | 672 | 0 | 265,630,602 | (180,828) | 100 | 37.00 | 0 | ConvSpread |
| CONSTELLATION BRANDS, INC. | Americas | CONSUMER GOODS | 1,166 | 6 | 326,641,777 | (1,238,526) | 100 | 132.50 | (7.00) | ConvSpread |
| CONTINENTAL AKTIENGESELLSCHAFT | Europe | CONSUMER GOODS | 5,781 | (8) | 1,538,763,017 | (23,408,417) | 500 | 138.00 | (4.50) | ConvSpread |
| COOPER TIRE & RUBBER COMPANY | Americas | CONSUMER GOODS | 1,306 | 34 | 256,454,892 | (14,853,744) | 500 | 209.00 | (10.00) | ConvSpread |
| COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK B.A. | Europe | FINANCIALS | 1,851 | 7 | 1,184,620,014 | (12,672,594) | 100 | 93.00 | (1.50) | ConvSpread |
| CORNING INCORPORATED | Americas | TECHNOLOGY | 1,245 | 5 | 383,610,564 | (29,048,777) | 100 | 78.00 | 0 | ConvSpread |
| COSTCO WHOLESALE CORPORATION | Americas | CONSUMER SERVICES | 726 | (5) | 524,790,054 | (177,025) | 100 | 30.00 | (3.50) | ConvSpread |
| COVIDIEN LTD. | Americas | HEALTHCARE | 985 | 0 | 127,207,280 | (56,135) | 100 | 54.00 | 0 | ConvSpread |
| COX COMMUNICATIONS, INC. | Americas | CONSUMER SERVICES | 2,359 | 1 | 755,783,898 | (147,257) | 100 | 34.50 | 0 | ConvSpread |
| CREDIT AGRICOLE SA | Europe | FINANCIALS | 4,864 | 0 | 2,385,514,625 | (9,407,872) | 100 | 153.50 | N/A | ConvSpread |
| CREDIT SUISSE GROUP LTD | Europe | FINANCIALS | 3,796 | 9 | 1,546,579,931 | 25,607,396 | 100 | 92.50 | (1.00) | ConvSpread |
| CROWN LIMITED | Australia NZ | CONSUMER SERVICES | 927 | 0 | 330,653,149 | 2,408 | 100 | 139.50 | (3.00) | ConvSpread |
| CSC HOLDINGS, LLC | Americas | CONSUMER SERVICES | 1,031 | 4 | 382,774,403 | (46,759,990) | 500 | 302.50 | (2.50) | ConvSpread |
| CSR LIMITED | Australia NZ | INDUSTRIALS | 1,124 | 6 | 423,260,387 | (7,631,706) | 100 | 95.00 | 0 | ConvSpread |
| CSX CORPORATION | Americas | INDUSTRIALS | 2,310 | (9) | 862,314,574 | (926,499) | 100 | 28.50 | 0.50 | ConvSpread |
| CUMMINS INC. | Americas | INDUSTRIALS | 1,140 | 1 | 392,054,727 | (4,172,341) | 100 | 55.00 | 2.00 | ConvSpread |
| CVS CAREMARK CORPORATION | Americas | CONSUMER SERVICES | 1,945 | 9 | 771,987,237 | 12,749,541 | 100 | 30.50 | (1.00) | ConvSpread |
| CYTEC INDUSTRIES INC. | Americas | BASIC MATERIALS | 1,599 | 16 | 545,094,079 | (11,925,965) | 100 | 115.00 | 0 | ConvSpread |
| CZECH REPUBLIC | Europe | GOVERNMENT | 1,243 | (5) | 633,482,073 | (8,714,384) | 100 | 50.00 | 0 | ConvSpread |
| D.R. HORTON, INC. | Americas | CONSUMER GOODS | 2,506 | (3) | 1,303,477,170 | (10,771,894) | 100 | 155.00 | (3.00) | ConvSpread |
| DAIMLER AG | Europe | CONSUMER GOODS | 5,131 | 2 | 2,890,021,777 | (23,426,319) | 100 | 79.00 | (2.00) | ConvSpread |
| DANAHER CORPORATION | Americas | INDUSTRIALS | 916 | (3) | 396,103,718 | (4,039,574) | 100 | 53.00 | 0 | ConvSpread |
| DANONE | Europe | CONSUMER GOODS | 1,870 | (10) | 1,090,713,719 | (6,334,999) | 100 | 51.50 | 0 | ConvSpread |
| DARDEN RESTAURANTS, INC. | Americas | CONSUMER SERVICES | 2,885 | 3 | 1,116,172,385 | 54,113,158 | 100 | 147.00 | 0 | ConvSpread |
| DDR CORP. | Americas | FINANCIALS | 793 | 0 | 474,996,495 | (10,546,701) | 100 | 99.00 | 0.50 | ConvSpread |
| DE US, INC. | Americas | CONSUMER SERVICES | 2,796 | 7 | 574,452,270 | (14,926,858) | 100 | 63.00 | (4.00) | ConvSpread |
| DEAN FOODS COMPANY | Americas | CONSUMER GOODS | 1,327 | 44 | 404,592,645 | (8,960,094) | 500 | 252.50 | 12.50 | ConvSpread |
| DEERE & COMPANY | Americas | INDUSTRIALS | 1,741 | 1 | 991,134,893 | (7,820,220) | 100 | 29.50 | 0 | ConvSpread |
| DELHAIZE AMERICA, LLC | Americas | CONSUMER SERVICES | 1,270 | 2 | 307,038,926 | (4,437,276) | 100 | 95.00 | 0 | ConvSpread |
| DELL INC. | Americas | TECHNOLOGY | 2,169 | 31 | 1,228,085,512 | (5,040,623) | 100 | 320.00 | (3.00) | ConvSpread |
| DELUXE CORPORATION | Americas | INDUSTRIALS | 511 | 2 | 179,150,624 | (1,294,741) | 100 | 310.00 | (2.50) | ConvSpread |
| DEUTSCHE BAHN AKTIENGESELLSCHAFT | Europe | CONSUMER SERVICES | 591 | 0 | 507,996,713 | (5,159,937) | 100 | 46.50 | 6.50 | ConvSpread |
| DEUTSCHE BANK AKTIENGESELLSCHAFT | Europe | FINANCIALS | 7,182 | (20) | 4,442,522,081 | (16,298,210) | 100 | 94.00 | (2.50) | ConvSpread |
| DEUTSCHE LUFTHANSA AKTIENGESELLSCHAFT | Europe | INDUSTRIALS | 3,651 | 47 | 1,241,360,658 | 22,816,693 | 100 | 127.00 | (3.50) | ConvSpread |
| DEUTSCHE POST AG | Europe | INDUSTRIALS | 1,984 | (19) | 519,307,187 | (20,207,983) | 100 | 45.50 | (0.50) | ConvSpread |
| DEUTSCHE TELEKOM AG | Europe | TELECOMMUNICATIONS SERVICES | 4,746 | 30 | 2,474,452,860 | (40,487,940) | 100 | 73.00 | 0 | ConvSpread |
| DEVON ENERGY CORPORATION | Americas | ENERGY | 1,945 | 42 | 670,118,932 | 1,637,993 | 100 | 90.50 | 0 | ConvSpread |
| DEXIA CREDIT LOCAL | Europe | FINANCIALS | 1,251 | 0 | 552,298,451 | (5,016,248) | 500 | 390.00 | 0 | ConvSpread |
| DIAMOND OFFSHORE DRILLING, INC. | Americas | ENERGY | 1,130 | 0 | 310,097,161 | (497,271) | 100 | 47.00 | (1.50) | ConvSpread |
| DILLARD'S, INC. | Americas | CONSUMER SERVICES | 1,192 | 28 | 266,888,471 | 2,405,817 | 500 | 162.50 | (0.50) | ConvSpread |
| DIRECTV HOLDINGS LLC | Americas | CONSUMER SERVICES | 1,188 | 8 | 652,433,688 | 14,841,203 | 100 | 92.50 | 0 | ConvSpread |
| DISH DBS CORPORATION | Americas | CONSUMER SERVICES | 1,537 | 13 | 824,899,947 | 8,291,087 | 500 | 322.50 | 10.00 | ConvSpread |
| DIXONS RETAIL PLC | Europe | CONSUMER SERVICES | 3,477 | (15) | 703,902,929 | 19,073,881 | 500 | 280.00 | (52.50) | ConvSpread |
| DOLE FOOD COMPANY, INC. | Americas | CONSUMER GOODS | 621 | (1) | 191,905,645 | 1,306,193 | 500 | 162.50 | (2.50) | ConvSpread |
| DOMINION RESOURCES, INC. | Americas | UTILITIES | 2,042 | 3 | 619,257,698 | (5,004,706) | 100 | 23.50 | (3.50) | ConvSpread |
| DONG ENERGY A/S | Europe | GOVERNMENT | 319 | 0 | 213,458,473 | (1,796,091) | 100 | 83.00 | N/A | ConvSpread |
| DOVER CORPORATION | Americas | INDUSTRIALS | 407 | 0 | 176,151,600 | (88,734) | 100 | 57.00 | 0 | ConvSpread |
| DUBAI | Europe | GOVERNMENT | 1,340 | 0 | 388,410,458 | 65,565 | 500 | 207.50 | 10.00 | ConvSpread |
| DUKE ENERGY CAROLINAS, LLC | Americas | UTILITIES | 1,567 | 12 | 655,016,068 | 15,036,517 | 100 | 14.50 | (1.50) | ConvSpread |
| DUKE REALTY LIMITED PARTNERSHIP | Americas | FINANCIALS | 520 | 8 | 209,436,404 | 130,207 | 100 | 92.00 | (1.00) | ConvSpread |
| E. I. DU PONT DE NEMOURS AND COMPANY | Americas | BASIC MATERIALS | 1,902 | 6 | 1,038,098,972 | (38,449,015) | 100 | 26.00 | (2.50) | ConvSpread |
| E.ON SE | Europe | UTILITIES | 3,351 | (8) | 1,562,160,304 | (7,674,012) | 100 | 58.00 | (2.50) | ConvSpread |
| EAST JAPAN RAILWAY COMPANY | Japan | CONSUMER SERVICES | 302 | 0 | 235,814,227 | (5,486,739) | 100 | 28.00 | 2.00 | ConvSpread |
| EASTMAN CHEMICAL COMPANY | Americas | BASIC MATERIALS | 2,883 | 9 | 997,376,969 | 57,073,020 | 100 | 87.50 | (1.00) | ConvSpread |
| EDISON S.P.A. | Europe | UTILITIES | 1,434 | (3) | 367,435,091 | (12,630,012) | 100 | 66.00 | (1.50) | ConvSpread |
| EDP - ENERGIAS DE PORTUGAL, S.A. | Europe | UTILITIES | 4,039 | 8 | 1,199,281,310 | (15,340,633) | 500 | 275.00 | (2.00) | ConvSpread |
| EL PASO LLC | Americas | ENERGY | 1,267 | 1 | 692,656,327 | (11,785,959) | 100 | 149.50 | (3.00) | ConvSpread |
| ELECTRICITE DE FRANCE | Europe | UTILITIES | 3,092 | 8 | 1,558,763,918 | (55,200,161) | 100 | 70.00 | (1.50) | ConvSpread |
| ELI LILLY AND COMPANY | Americas | HEALTHCARE | 796 | 1 | 538,208,355 | (1,028,059) | 100 | 29.50 | (1.00) | ConvSpread |
| EMBARQ CORPORATION | Americas | TELECOMMUNICATIONS SERVICES | 2,778 | 18 | 1,239,421,797 | 10,783,836 | 100 | 161.50 | 2.00 | ConvSpread |
| EMERSON ELECTRIC CO. | Americas | INDUSTRIALS | 503 | 0 | 157,455,836 | (178,861) | 100 | 54.00 | 0 | ConvSpread |
| ENBRIDGE ENERGY PARTNERS, L.P. | Americas | ENERGY | 503 | (2) | 180,462,035 | 203,120 | 100 | 100.00 | 6.00 | ConvSpread |
| ENBRIDGE INC. | Americas | ENERGY | 1,090 | 5 | 969,338,466 | (287,184) | 100 | 87.00 | (1.00) | ConvSpread |
| ENBW ENERGIE BADEN-WUERTTEMBERG AG | Europe | UTILITIES | 1,472 | 2 | 513,930,136 | (30,138,098) | 100 | 58.00 | (2.50) | ConvSpread |
| ENCANA CORPORATION | Americas | ENERGY | 1,356 | 1 | 747,973,298 | 4,603,446 | 100 | 125.00 | 4.50 | ConvSpread |
| ENDESA, S.A. | Europe | UTILITIES | 1,949 | 0 | 884,132,197 | 5,104,935 | 100 | 91.00 | 1.00 | ConvSpread |
| ENEL S.P.A. | Europe | UTILITIES | 4,030 | (22) | 2,650,668,256 | (14,771,355) | 100 | 181.00 | (3.50) | ConvSpread |
| ENERGY FUTURE HOLDINGS CORP. | Americas | UTILITIES | 2,532 | 9 | 239,266,143 | (14,137,309) | 500 | 23.50 | (0.50) | Upfront |
| ENERGY FUTURE INTERMEDIATE HOLDING COMPANY LLC | Americas | UTILITIES | 2,570 | 6 | 249,406,268 | 34,691,091 | 500 | 15.75 | (0.25) | Upfront |
| ENERGY TRANSFER PARTNERS, L.P. | Americas | ENERGY | 645 | (5) | 371,509,480 | (2,525,506) | 100 | 107.00 | (1.00) | ConvSpread |
| ENI S.P.A. | Europe | ENERGY | 1,655 | (14) | 1,201,708,726 | (11,886,227) | 100 | 95.00 | (5.00) | ConvSpread |
| ENTERGY CORPORATION | Americas | UTILITIES | 1,539 | 1 | 556,342,755 | (6,365,463) | 100 | 134.50 | (0.50) | ConvSpread |
| ERAC USA FINANCE LLC | Americas | CONSUMER SERVICES | 487 | 0 | 267,988,479 | (122,735) | 100 | 79.00 | 1.00 | ConvSpread |
| ERP OPERATING LIMITED PARTNERSHIP | Americas | FINANCIALS | 1,293 | 0 | 555,914,924 | (431,681) | 100 | 55.50 | (1.00) | ConvSpread |
| EUROPEAN AERONAUTIC DEFENCE AND SPACE COMPANY EADS N.V. | Europe | INDUSTRIALS | 3,218 | 3 | 1,395,484,181 | 10,657,228 | 100 | 73.00 | (1.50) | ConvSpread |
| EVONIK DEGUSSA GMBH | Europe | BASIC MATERIALS | 1,808 | 1 | 388,213,173 | (4,000,055) | 100 | 45.00 | 15.00 | ConvSpread |
| EXELON CORPORATION | Americas | UTILITIES | 2,807 | 6 | 1,166,044,395 | (12,319,406) | 100 | 50.50 | (1.00) | ConvSpread |
| EXELON GENERATION COMPANY, LLC | Americas | UTILITIES | 1,193 | 3 | 751,879,117 | 10,360,338 | 100 | 141.00 | 1.00 | ConvSpread |
| EXPEDIA, INC. | Americas | CONSUMER SERVICES | 1,911 | 19 | 683,948,920 | (19,834,966) | 100 | 151.50 | (3.00) | ConvSpread |
| EXPERIAN FINANCE PLC | Europe | CONSUMER SERVICES | 2,718 | (3) | 918,976,864 | (15,175,419) | 100 | 50.00 | (0.50) | ConvSpread |
| EXXON MOBIL CORPORATION | Americas | ENERGY | 503 | 5 | 408,380,418 | (288,942) | 100 | 13.00 | 0 | ConvSpread |
| FCE BANK PLC | Europe | FINANCIALS | 796 | (2) | 240,743,459 | (9,422,598) | 500 | 125.00 | 2.00 | ConvSpread |
| FEDERAL REPUBLIC OF GERMANY | Europe | GOVERNMENT | 5,535 | 9 | 14,080,960,191 | 36,324,322 | 25 | 33.00 | (1.50) | ConvSpread |
| FEDERATIVE REPUBLIC OF BRAZIL | Americas | GOVERNMENT | 9,090 | 96 | 17,337,449,475 | (32,588,204) | 100 | 123.00 | 3.00 | ConvSpread |
| FEDEX CORPORATION | Americas | INDUSTRIALS | 1,260 | (1) | 557,941,688 | (5,378,526) | 100 | 65.50 | 4.50 | ConvSpread |
| FIAT INDUSTRIAL S.P.A. | Europe | INDUSTRIALS | 786 | 10 | 479,039,247 | (13,809,945) | 500 | 230.50 | (4.50) | ConvSpread |
| FIAT S.P.A. | Europe | CONSUMER GOODS | 3,781 | 32 | 1,041,537,591 | (21,062,636) | 500 | 430.00 | (17.50) | ConvSpread |
| FIFTH & PACIFIC COMPANIES, INC. | Americas | CONSUMER SERVICES | 4,147 | 17 | 645,730,229 | 17,560,686 | 500 | 177.50 | 3.00 | ConvSpread |
| FINMECCANICA S.P.A. | Europe | INDUSTRIALS | 2,892 | 0 | 739,395,382 | (14,083,920) | 500 | 294.50 | 2.00 | ConvSpread |
| FIRST DATA CORPORATION | Americas | INDUSTRIALS | 3,512 | 39 | 780,516,713 | (3,225,730) | 500 | 16.38 | 10.25 | Upfront |
| FIRST INDUSTRIAL, L.P. | Americas | FINANCIALS | 380 | 0 | 170,451,229 | (538,943) | 100 | 205.00 | 0 | ConvSpread |
| FIRSTENERGY CORP. | Americas | UTILITIES | 2,006 | 5 | 941,465,188 | (2,589,972) | 100 | 132.00 | (2.50) | ConvSpread |
| FKI LIMITED | Europe | INDUSTRIALS | 1,294 | 0 | 261,692,022 | (1,564,429) | 100 | 90.00 | 0 | ConvSpread |
| FLEXTRONICS INTERNATIONAL LTD. | Americas | INDUSTRIALS | 1,855 | (2) | 228,038,557 | (4,505,603) | 100 | 165.00 | (15.00) | ConvSpread |
| FORD MOTOR COMPANY | Americas | CONSUMER GOODS | 2,665 | 4 | 1,552,870,169 | (9,729,173) | 500 | 150.00 | (2.50) | ConvSpread |
| FORD MOTOR CREDIT COMPANY LLC | Americas | FINANCIALS | 1,857 | (1) | 491,466,430 | (118,007) | 500 | 130.00 | (2.50) | ConvSpread |
| FOREST OIL CORPORATION | Americas | ENERGY | 1,380 | 40 | 540,376,822 | (1,602,993) | 500 | 2.25 | (0.63) | Upfront |
| FORTUM OYJ | Europe | UTILITIES | 1,599 | (8) | 825,545,285 | (12,016,453) | 100 | 59.50 | 1.50 | ConvSpread |
| FOSTER'S GROUP PTY LTD | Australia NZ | CONSUMER GOODS | 1,186 | (1) | 483,602,556 | (4,474,322) | 100 | 28.50 | (1.00) | ConvSpread |
| FRANCE TELECOM | Europe | TELECOMMUNICATIONS SERVICES | 4,560 | 19 | 2,088,114,932 | (39,712,978) | 100 | 106.00 | 0.50 | ConvSpread |
| FREEPORT-MCMORAN COPPER & GOLD INC. | Americas | BASIC MATERIALS | 1,325 | 11 | 613,262,076 | 30,851,341 | 100 | 158.00 | 8.00 | ConvSpread |
| FREEPORT-MCMORAN CORPORATION | Americas | BASIC MATERIALS | 1,167 | (3) | 317,623,957 | (1,027,495) | 100 | 33.00 | 1.00 | ConvSpread |
| FREESCALE SEMICONDUCTOR, INC. | Americas | TECHNOLOGY | 1,781 | (3) | 510,273,383 | (3,177,870) | 500 | 447.50 | (7.50) | ConvSpread |
| FRENCH REPUBLIC | Europe | GOVERNMENT | 7,455 | 26 | 14,837,257,174 | 82,848,056 | 25 | 69.00 | (1.50) | ConvSpread |
| FRESENIUS SE & CO. KGAA | Europe | HEALTHCARE | 2,118 | 4 | 691,961,989 | (3,597,711) | 100 | 135.00 | (2.00) | ConvSpread |
| FRONTIER COMMUNICATIONS CORPORATION | Americas | TELECOMMUNICATIONS SERVICES | 3,048 | 44 | 699,957,628 | (46,245,300) | 500 | 375.50 | (2.00) | ConvSpread |
| FUJITSU LIMITED | Japan | TECHNOLOGY | 1,118 | 1 | 653,477,485 | (11,121,638) | 100 | 60.00 | 5.00 | ConvSpread |
| GANNETT CO., INC. | Americas | CONSUMER SERVICES | 4,163 | 31 | 1,021,304,428 | (15,811,131) | 500 | 170.00 | 4.00 | ConvSpread |
| GAS NATURAL SDG, S.A. | Europe | UTILITIES | 3,458 | 0 | 1,232,562,635 | (25,285,391) | 100 | 151.00 | (2.50) | ConvSpread |
| GATX CORPORATION | Americas | FINANCIALS | 1,302 | 0 | 496,806,652 | (119,851) | 100 | 98.50 | 0 | ConvSpread |
| GDF SUEZ | Europe | UTILITIES | 3,112 | 2 | 1,747,442,353 | 576,702 | 100 | 72.00 | (1.50) | ConvSpread |
| GECINA | Europe | FINANCIALS | 1,407 | 6 | 475,868,077 | 12,653,716 | 100 | 120.00 | (3.00) | ConvSpread |
| GENERAL DYNAMICS CORPORATION | Americas | INDUSTRIALS | 521 | 1 | 201,328,383 | 4,290,533 | 100 | 38.50 | 3.00 | ConvSpread |
| GENERAL ELECTRIC CAPITAL CORPORATION | Americas | FINANCIALS | 5,565 | (33) | 8,113,581,533 | (14,021,913) | 100 | 82.00 | (0.50) | ConvSpread |
| GENERAL MILLS, INC. | Americas | CONSUMER GOODS | 1,632 | 7 | 644,649,930 | (6,668,569) | 100 | 31.50 | 0 | ConvSpread |
| GENERAL MOTORS COMPANY | Americas | CONSUMER GOODS | 652 | 4 | 609,750,000 | 0.00 | 500 | 190.50 | 5.50 | ConvSpread |
| GENON ENERGY, INC. | Americas | UTILITIES | 1,100 | 8 | 333,110,345 | (12,701,311) | 500 | 332.50 | 0 | ConvSpread |
| GENON NORTH AMERICA, LLC | Americas | UTILITIES | 651 | 0 | 161,172,639 | (53,763) | 100 | 105.00 | (5.00) | ConvSpread |
| GENWORTH FINANCIAL, INC. | Americas | FINANCIALS | 2,270 | 30 | 866,131,746 | (55,371,257) | 500 | 160.00 | (0.50) | ConvSpread |
| GEORGIA-PACIFIC LLC | Americas | CONSUMER GOODS | 1,400 | (1) | 369,493,309 | (1,090,351) | 100 | 90.00 | 2.00 | ConvSpread |
| GKN HOLDINGS PLC | Europe | CONSUMER GOODS | 2,987 | (2) | 908,623,978 | (1,312,180) | 100 | 151.00 | (0.50) | ConvSpread |
| GLAXOSMITHKLINE PLC | Europe | HEALTHCARE | 982 | 0 | 667,742,720 | (4,131,835) | 100 | 42.00 | (1.50) | ConvSpread |
| GLENCORE INTERNATIONAL AG | Europe | BASIC MATERIALS | 3,865 | 24 | 2,090,828,867 | 47,593,989 | 100 | 188.00 | (2.00) | ConvSpread |
| GOODRICH CORPORATION | Americas | INDUSTRIALS | 1,674 | 9 | 688,260,922 | (6,237,280) | 100 | 10.50 | (3.00) | ConvSpread |
| GPT RE LIMITED AS RESPONSIBLE ENTITY OF THE GENERAL PROPERTY TRUST | Australia NZ | FINANCIALS | 748 | (2) | 382,903,619 | (2,668,119) | 100 | 116.00 | 0 | ConvSpread |
| GROHE HOLDING GMBH | Europe | CONSUMER GOODS | 1,841 | (26) | 335,946,865 | 21,884,199 | 500 | 250.00 | (5.00) | ConvSpread |
| GROUPE AUCHAN | Europe | CONSUMER SERVICES | 1,851 | 56 | 710,597,086 | 8,855,932 | 100 | 59.50 | (1.00) | ConvSpread |
| H. J. HEINZ COMPANY | Americas | CONSUMER GOODS | 2,405 | (17) | 1,088,614,967 | (44,337,819) | 100 | 142.50 | (1.00) | ConvSpread |
| HALLIBURTON COMPANY | Americas | ENERGY | 1,931 | 42 | 661,741,567 | 7,204,891 | 100 | 37.50 | (3.00) | ConvSpread |
| HAMMERSON PLC | Europe | FINANCIALS | 1,458 | 0 | 410,358,007 | (3,642,553) | 100 | 95.00 | (2.00) | ConvSpread |
| HANKYU HANSHIN HOLDINGS, INC. | Japan | CONSUMER SERVICES | 688 | 4 | 324,312,494 | 4,162,431 | 100 | 37.00 | (1.00) | ConvSpread |
| HANSON LIMITED | Europe | INDUSTRIALS | 2,355 | 1 | 703,296,696 | 4,077,811 | 100 | 117.50 | 0 | ConvSpread |
| HASBRO, INC. | Americas | CONSUMER GOODS | 1,054 | 0 | 221,504,688 | (5,008,480) | 100 | 99.00 | (1.00) | ConvSpread |
| HAVAS | Europe | CONSUMER SERVICES | 1,281 | 3 | 303,897,307 | 5,395,657 | 100 | 122.50 | (5.50) | ConvSpread |
| HCA INC. | Americas | HEALTHCARE | 2,151 | 9 | 640,253,796 | 8,405,960 | 500 | 225.00 | 2.00 | ConvSpread |
| HCP, INC. | Americas | FINANCIALS | 1,216 | (8) | 621,169,193 | (21,625,851) | 100 | 67.50 | (3.00) | ConvSpread |
| HEALTH CARE REIT, INC. | Americas | FINANCIALS | 694 | 1 | 468,570,704 | 418,570 | 100 | 78.50 | (4.00) | ConvSpread |
| HEALTH MANAGEMENT ASSOCIATES, INC. | Americas | HEALTHCARE | 1,286 | 3 | 201,896,328 | 13,446,470 | 500 | 290.00 | 0 | ConvSpread |
| HEATHROW FUNDING LIMITED | Europe | INDUSTRIALS | 2,458 | 1 | 763,098,803 | (6,521,853) | 100 | 103.00 | (4.00) | ConvSpread |
| HEIDELBERGCEMENT AG | Europe | INDUSTRIALS | 3,208 | 24 | 785,612,244 | (1,690,235) | 500 | 174.00 | (8.00) | ConvSpread |
| HEINEKEN N.V. | Europe | CONSUMER GOODS | 450 | 0 | 336,394,357 | (3,174,661) | 100 | 59.00 | (0.50) | ConvSpread |
| HELLENIC TELECOMMUNICATIONS ORGANISATION SOCIETE ANONYME | Europe | TELECOMMUNICATIONS SERVICES | 4,842 | 40 | 825,794,053 | 18,792,224 | 500 | 485.00 | (5.00) | ConvSpread |
| HENKEL AG & CO. KGAA | Europe | CONSUMER GOODS | 1,664 | (14) | 811,214,187 | 438,553 | 100 | 45.50 | (4.00) | ConvSpread |
| HESS CORPORATION | Americas | ENERGY | 1,577 | 15 | 526,221,767 | 14,085,247 | 100 | 122.00 | (24.50) | ConvSpread |
| HEWLETT-PACKARD COMPANY | Americas | TECHNOLOGY | 2,726 | (25) | 1,292,269,730 | (17,911,618) | 100 | 190.00 | (3.50) | ConvSpread |
| HILTON WORLDWIDE, INC. | Americas | CONSUMER SERVICES | 1,614 | 1 | 272,213,100 | (3,007,529) | 500 | 245.00 | N/A | ConvSpread |
| HITACHI, LTD. | Japan | INDUSTRIALS | 1,057 | 1 | 443,761,056 | (10,531,451) | 100 | 41.00 | 2.00 | ConvSpread |
| HOLCIM LTD | Europe | INDUSTRIALS | 2,727 | (25) | 1,471,665,180 | (24,364,422) | 100 | 110.00 | (1.00) | ConvSpread |
| HONDA MOTOR CO., LTD. | Japan | CONSUMER GOODS | 1,072 | 3 | 634,829,662 | (11,456,453) | 100 | 32.00 | 0.50 | ConvSpread |
| HONEYWELL INTERNATIONAL INC. | Americas | INDUSTRIALS | 1,656 | (3) | 769,632,360 | (8,326,552) | 100 | 17.50 | 0 | ConvSpread |
| HOSPITALITY PROPERTIES TRUST | Americas | FINANCIALS | 426 | 0 | 180,271,868 | (1,324,075) | 100 | 140.00 | 0 | ConvSpread |
| HOST HOTELS & RESORTS, L.P. | Americas | FINANCIALS | 1,325 | 5 | 524,524,981 | 17,211,747 | 100 | 115.00 | (2.00) | ConvSpread |
| HP ENTERPRISE SERVICES, LLC | Americas | TECHNOLOGY | 1,421 | 0 | 310,941,447 | (1,088,546) | 100 | 67.50 | 0 | ConvSpread |
| HSBC BANK PLC | Europe | FINANCIALS | 2,928 | (4) | 1,563,387,798 | (15,468,897) | 100 | 79.00 | (4.50) | ConvSpread |
| HSBC FINANCE CORPORATION | Americas | FINANCIALS | 2,079 | 1 | 1,171,065,678 | (8,757,994) | 100 | 41.50 | 4.00 | ConvSpread |
| HUMANA INC. | Americas | HEALTHCARE | 875 | 2 | 212,690,761 | (3,062,600) | 100 | 99.00 | (0.50) | ConvSpread |
| HUNGARY | Europe | GOVERNMENT | 6,219 | 13 | 1,653,495,700 | (2,108,585) | 500 | 275.00 | (3.00) | ConvSpread |
| HUSKY ENERGY INC. | Americas | ENERGY | 549 | 1 | 175,338,286 | 4,841,855 | 100 | 72.00 | 1.00 | ConvSpread |
| HUTCHISON WHAMPOA LIMITED | Asia Ex-Japan | CONSUMER SERVICES | 3,786 | 8 | 1,470,798,021 | 11,350,910 | 100 | 84.00 | (1.00) | ConvSpread |
| IBERDROLA, S.A. | Europe | UTILITIES | 2,573 | (19) | 1,051,030,997 | (14,457,309) | 100 | 150.00 | (1.50) | ConvSpread |
| ILLINOIS TOOL WORKS INC. | Americas | INDUSTRIALS | 297 | 0 | 138,958,090 | (142,931) | 100 | 48.00 | 0 | ConvSpread |
| IMPERIAL CHEMICAL INDUSTRIES LIMITED | Europe | BASIC MATERIALS | 1,615 | 6 | 459,055,349 | (9,163,796) | 100 | 22.00 | 2.00 | ConvSpread |
| IMPERIAL TOBACCO GROUP PLC | Europe | CONSUMER GOODS | 2,861 | (14) | 1,143,652,914 | (5,943,968) | 100 | 69.50 | (2.00) | ConvSpread |
| INEOS GROUP HOLDINGS LIMITED | Europe | BASIC MATERIALS | 2,217 | 7 | 295,291,683 | (9,531,783) | 500 | 106.00 | 1.00 | ConvSpread |
| INFINEON TECHNOLOGIES HOLDING B.V. | Europe | TECHNOLOGY | 832 | 2 | 184,639,216 | 2,923,306 | 500 | 165.00 | 10.00 | ConvSpread |
| ING VERZEKERINGEN N.V. | Europe | FINANCIALS | 674 | 2 | 489,589,331 | (4,869,320) | 100 | 67.50 | 0.50 | ConvSpread |
| INGERSOLL-RAND COMPANY | Americas | INDUSTRIALS | 2,729 | 6 | 1,587,862,715 | (4,699,643) | 100 | 25.50 | 0 | ConvSpread |
| INTELSAT S.A. | Americas | TELECOMMUNICATIONS SERVICES | 1,221 | (7) | 428,590,390 | 11,554,720 | 500 | 95.00 | 0 | ConvSpread |
| INTERNATIONAL BUSINESS MACHINES CORPORATION | Americas | TECHNOLOGY | 1,980 | 13 | 1,026,772,178 | 52,035,294 | 100 | 31.00 | 0.50 | ConvSpread |
| INTERNATIONAL GAME TECHNOLOGY | Americas | CONSUMER SERVICES | 551 | 0 | 241,425,090 | (295,044) | 100 | 137.50 | (7.50) | ConvSpread |
| INTERNATIONAL LEASE FINANCE CORPORATION | Americas | FINANCIALS | 4,162 | 11 | 1,401,840,524 | (41,903,847) | 500 | 235.00 | 1.50 | ConvSpread |
| INTERNATIONAL PAPER COMPANY | Americas | BASIC MATERIALS | 3,241 | (7) | 1,591,495,735 | 3,029,731 | 100 | 87.50 | (2.00) | ConvSpread |
| INTERVAL ACQUISITION CORP. | Americas | CONSUMER SERVICES | 2,997 | (9) | 748,853,700 | 14,463,253 | 100 | 97.50 | 4.50 | ConvSpread |
| INTESA SANPAOLO SPA | Europe | FINANCIALS | 6,046 | 48 | 1,771,004,737 | (13,935,440) | 500 | 249.50 | N/A | ConvSpread |
| INVENSYS PLC | Europe | INDUSTRIALS | 1,059 | 2 | 135,942,996 | (2,404,870) | 100 | 67.50 | 0 | ConvSpread |
| INVESTOR AKTIEBOLAG | Europe | FINANCIALS | 1,114 | 0 | 449,717,369 | (4,137,926) | 100 | 75.50 | 0 | ConvSpread |
| IRELAND | Europe | GOVERNMENT | 3,544 | 7 | 2,459,337,429 | (58,958,114) | 100 | 147.50 | (10.50) | ConvSpread |
| IRON MOUNTAIN INCORPORATED | Americas | INDUSTRIALS | 652 | 1 | 231,684,844 | (1,701,312) | 100 | 235.00 | 0 | ConvSpread |
| ISS A/S | Europe | INDUSTRIALS | 1,311 | 6 | 232,305,194 | (3,684,029) | 500 | 88.00 | 3.00 | ConvSpread |
| ISS GLOBAL A/S | Europe | FINANCIALS | 639 | 3 | 162,428,775 | (6,074,113) | 500 | 222.00 | (5.50) | ConvSpread |
| ISTAR FINANCIAL INC. | Americas | FINANCIALS | 3,342 | 15 | 1,052,907,524 | 56,074,634 | 500 | 315.00 | (10.00) | ConvSpread |
| ITOCHU CORPORATION | Japan | INDUSTRIALS | 1,084 | 8 | 841,379,792 | (11,090,000) | 100 | 65.00 | 1.00 | ConvSpread |
| ITV PLC | Europe | CONSUMER SERVICES | 3,280 | 0 | 723,419,248 | (6,694,346) | 500 | 129.50 | (3.50) | ConvSpread |
| J SAINSBURY PLC | Europe | CONSUMER SERVICES | 2,269 | 21 | 614,443,449 | 25,609,277 | 100 | 115.00 | (3.00) | ConvSpread |
| J. C. PENNEY COMPANY, INC. | Americas | CONSUMER SERVICES | 5,556 | 32 | 1,430,954,221 | 26,186,486 | 500 | 6.38 | (0.62) | Upfront |
| JAGUAR LAND ROVER AUTOMOTIVE PLC | Europe | CONSUMER GOODS | 410 | N/A | 295,576,448 | N/A | 500 | 260.00 | (5.00) | ConvSpread |
| JAPAN | Japan | GOVERNMENT | 8,373 | 109 | 9,124,625,630 | (127,489,567) | 100 | 63.00 | 6.00 | ConvSpread |
| JAPAN TOBACCO INC. | Japan | CONSUMER GOODS | 588 | 1 | 403,438,428 | (3,423,592) | 100 | 35.00 | 0 | ConvSpread |
| JEMENA LIMITED | Australia NZ | UTILITIES | 612 | 0 | 316,431,763 | (437,253) | 100 | 72.00 | 0 | ConvSpread |
| JFE HOLDINGS, INC. | Japan | BASIC MATERIALS | 1,422 | 29 | 1,113,061,872 | 23,778,487 | 100 | 105.00 | (4.00) | ConvSpread |
| JFE STEEL CORPORATION | Japan | BASIC MATERIALS | 1,154 | 8 | 574,425,110 | (17,680,479) | 100 | 97.50 | (1.50) | ConvSpread |
| JOHN DEERE CAPITAL CORPORATION | Americas | FINANCIALS | 649 | 0 | 269,063,766 | (204,822) | 100 | 38.00 | 0 | ConvSpread |
| JOHNSON & JOHNSON | Americas | HEALTHCARE | 1,077 | 3 | 887,414,554 | 3,546,946 | 100 | 23.50 | 1.00 | ConvSpread |
| JOHNSON CONTROLS, INC. | Americas | CONSUMER GOODS | 1,641 | 6 | 771,590,224 | (20,316,176) | 100 | 90.00 | 0 | ConvSpread |
| JPMORGAN CHASE & CO. | Americas | FINANCIALS | 6,562 | 20 | 3,982,681,449 | (116,618,954) | 100 | 76.50 | 0 | ConvSpread |
| JSC "GAZPROM" | Europe | GOVERNMENT | 4,581 | 6 | 1,957,639,022 | (113,348,564) | 100 | 192.00 | 6.00 | ConvSpread |
| JTI (UK) FINANCE PLC | Europe | FINANCIALS | 1,210 | (2) | 440,112,932 | (4,131,326) | 100 | 30.00 | (1.50) | ConvSpread |
| K. HOVNANIAN ENTERPRISES, INC. | Americas | CONSUMER GOODS | 3,074 | 30 | 687,115,549 | (33,776,823) | 500 | 445.00 | (10.00) | ConvSpread |
| KABEL DEUTSCHLAND VERTRIEB UND SERVICE GMBH | Europe | CONSUMER SERVICES | 2,445 | 10 | 380,354,861 | (321,634) | 500 | 180.00 | 20.00 | ConvSpread |
| KAJIMA CORPORATION | Japan | INDUSTRIALS | 502 | 3 | 223,638,997 | (7,809,510) | 100 | 80.00 | 0 | ConvSpread |
| KAWASAKI HEAVY INDUSTRIES, LTD. | Japan | INDUSTRIALS | 1,038 | 21 | 603,937,029 | (20,438,853) | 100 | 88.00 | 3.00 | ConvSpread |
| KAWASAKI KISEN KAISHA, LTD. | Japan | INDUSTRIALS | 576 | 0 | 180,945,154 | (4,694,522) | 100 | 235.00 | 0 | ConvSpread |
| KB HOME | Americas | CONSUMER GOODS | 2,494 | 12 | 526,280,079 | (12,070,592) | 500 | 237.50 | (7.50) | ConvSpread |
| KELDA GROUP LIMITED | Europe | UTILITIES | 1,467 | (2) | 280,755,345 | (4,858,413) | 100 | 110.00 | 0 | ConvSpread |
| KELLOGG COMPANY | Americas | CONSUMER GOODS | 600 | 8 | 293,459,703 | 21,235,511 | 100 | 47.00 | (1.00) | ConvSpread |
| KERR-MCGEE CORPORATION | Americas | ENERGY | 891 | 0 | 215,083,953 | (199,090) | 100 | 105.00 | 0 | ConvSpread |
| KIMBERLY-CLARK CORPORATION | Americas | CONSUMER GOODS | 1,544 | 2 | 610,663,924 | (114,735) | 100 | 33.00 | 0 | ConvSpread |
| KIMCO REALTY CORPORATION | Americas | FINANCIALS | 1,262 | 2 | 552,671,345 | 8,143,068 | 100 | 61.50 | (2.00) | ConvSpread |
| KINDER MORGAN ENERGY PARTNERS, L.P. | Americas | ENERGY | 1,532 | 4 | 605,635,914 | (16,865,665) | 100 | 71.00 | 1.00 | ConvSpread |
| KINDER MORGAN, INC. | Americas | ENERGY | 1,744 | 47 | 753,616,011 | 6,543,341 | 100 | 165.00 | 1.00 | ConvSpread |
| KINGDOM OF BELGIUM | Europe | GOVERNMENT | 3,642 | 104 | 3,462,740,399 | (37,980,011) | 100 | 65.00 | (1.50) | ConvSpread |
| KINGDOM OF DENMARK | Europe | GOVERNMENT | 1,693 | 0 | 1,922,029,319 | (1,831,230) | 25 | 29.50 | (2.00) | ConvSpread |
| KINGDOM OF NORWAY | Europe | GOVERNMENT | 582 | 0 | 886,601,077 | (2,098,080) | 25 | 17.50 | 0 | ConvSpread |
| KINGDOM OF SAUDI ARABIA | Europe | GOVERNMENT | 307 | 0 | 445,550,000 | 0.00 | 100 | 64.50 | (3.00) | ConvSpread |
| KINGDOM OF SPAIN | Europe | GOVERNMENT | 10,017 | 22 | 11,249,306,493 | (63,812,345) | 100 | 227.50 | (5.50) | ConvSpread |
| KINGDOM OF SWEDEN | Europe | GOVERNMENT | 1,403 | 0 | 1,756,822,638 | (4,403,347) | 25 | 19.50 | (0.50) | ConvSpread |
| KINGDOM OF THAILAND | Asia Ex-Japan | GOVERNMENT | 1,986 | 22 | 770,170,024 | (30,348,834) | 100 | 83.50 | (0.50) | ConvSpread |
| KINGDOM OF THE NETHERLANDS | Europe | GOVERNMENT | 1,924 | 11 | 3,197,295,099 | 25,778,258 | 25 | 57.50 | (1.00) | ConvSpread |
| KINGFISHER PLC | Europe | CONSUMER SERVICES | 3,102 | 63 | 829,195,957 | 4,353,676 | 100 | 81.50 | 1.00 | ConvSpread |
| KINTETSU CORPORATION | Japan | CONSUMER SERVICES | 834 | 1 | 418,411,413 | (11,025,067) | 100 | 80.00 | (5.00) | ConvSpread |
| KLEPIERRE | Europe | FINANCIALS | 473 | 0 | 196,793,162 | (2,164,782) | 100 | 100.00 | (3.00) | ConvSpread |
| KOBE STEEL, LTD. | Japan | BASIC MATERIALS | 2,088 | 49 | 1,015,766,991 | 299,159 | 100 | 285.00 | (10.00) | ConvSpread |
| KOHL'S CORPORATION | Americas | CONSUMER SERVICES | 2,462 | 35 | 830,810,320 | 3,056,420 | 100 | 157.00 | (12.50) | ConvSpread |
| KOMATSU LTD. | Japan | INDUSTRIALS | 723 | 5 | 629,478,289 | (15,909,705) | 100 | 37.00 | 0.50 | ConvSpread |
| KONINKLIJKE AHOLD N.V. | Europe | CONSUMER SERVICES | 2,392 | 2 | 817,184,324 | 16,967,131 | 100 | 82.00 | (3.50) | ConvSpread |
| KONINKLIJKE DSM N.V. | Europe | BASIC MATERIALS | 3,000 | (1) | 1,271,869,924 | (14,448,443) | 100 | 51.50 | 2.00 | ConvSpread |
| KONINKLIJKE KPN N.V. | Europe | TELECOMMUNICATIONS SERVICES | 4,360 | 3 | 1,479,671,014 | (36,935,898) | 100 | 149.00 | (7.50) | ConvSpread |
| KONINKLIJKE PHILIPS ELECTRONICS N.V. | Europe | CONSUMER GOODS | 2,819 | 12 | 1,158,156,911 | (4,825,508) | 100 | 64.00 | N/A | ConvSpread |
| L'AIR LIQUIDE SOCIETE ANONYME POUR L'ETUDE ET L'EXPLOITATION DES PROCEDES GEORGES CLAUDE | Europe | BASIC MATERIALS | 1,513 | 3 | 469,201,503 | (11,010,290) | 100 | 39.50 | (0.50) | ConvSpread |
| L-3 COMMUNICATIONS CORPORATION | Americas | INDUSTRIALS | 796 | (4) | 267,542,212 | 19,574,594 | 100 | 70.00 | 0 | ConvSpread |
| LADBROKES PLC | Europe | CONSUMER SERVICES | 1,978 | 5 | 506,387,507 | 22,168 | 100 | 215.00 | (2.00) | ConvSpread |
| LAFARGE | Europe | INDUSTRIALS | 4,479 | 3 | 1,473,505,097 | 10,067,447 | 100 | 205.00 | (13.00) | ConvSpread |
| LANXESS AKTIENGESELLSCHAFT | Europe | BASIC MATERIALS | 1,965 | 15 | 927,200,100 | (25,124,933) | 100 | 118.50 | (3.00) | ConvSpread |
| LEBANESE REPUBLIC | Europe | GOVERNMENT | 406 | 8 | 666,667,500 | 145,000,000 | 100 | 435.00 | 5.00 | ConvSpread |
| LEGAL & GENERAL GROUP PLC | Europe | FINANCIALS | 823 | 0 | 255,399,092 | (2,669,807) | 100 | 114.50 | (0.50) | ConvSpread |
| LEND LEASE CORPORATION LTD | Australia NZ | INDUSTRIALS | 775 | 1 | 364,380,418 | 16,376,272 | 100 | 171.50 | (5.50) | ConvSpread |
| LENNAR CORPORATION | Americas | CONSUMER GOODS | 4,577 | 14 | 1,297,917,298 | (18,951,645) | 500 | 190.00 | (5.00) | ConvSpread |
| LEVEL 3 COMMUNICATIONS, INC. | Americas | TELECOMMUNICATIONS SERVICES | 881 | (50) | 261,945,569 | (28,207,868) | 500 | 387.50 | 5.00 | ConvSpread |
| LEVI STRAUSS & CO. | Americas | CONSUMER GOODS | 1,271 | 50 | 247,381,337 | 12,328,194 | 500 | 228.00 | 3.00 | ConvSpread |
| LEXMARK INTERNATIONAL, INC. | Americas | TECHNOLOGY | 835 | 7 | 340,795,092 | 10,195,099 | 100 | 205.00 | 0 | ConvSpread |
| LIBERTY INTERACTIVE LLC | Americas | CONSUMER SERVICES | 2,085 | 4 | 580,644,012 | (2,191,343) | 500 | 155.00 | 0 | ConvSpread |
| LIBERTY MUTUAL GROUP INC. | Americas | FINANCIALS | 1,057 | 0 | 347,973,176 | (285,794) | 100 | 155.50 | 43.00 | ConvSpread |
| LIBERTY MUTUAL INSURANCE COMPANY | Americas | FINANCIALS | 1,358 | 2 | 368,446,389 | (123,522) | 100 | 63.00 | 0 | ConvSpread |
| LINCOLN NATIONAL CORPORATION | Americas | FINANCIALS | 1,122 | (9) | 733,514,529 | 6,085,626 | 100 | 113.00 | 0 | ConvSpread |
| LINDE AKTIENGESELLSCHAFT | Europe | BASIC MATERIALS | 2,389 | (16) | 942,647,763 | (15,933,488) | 100 | 44.50 | 1.00 | ConvSpread |
| LLOYDS TSB BANK PLC | Europe | FINANCIALS | 4,623 | 11 | 1,997,406,474 | 1,444,494 | 100 | 137.50 | (1.00) | ConvSpread |
| LOCKHEED MARTIN CORPORATION | Americas | INDUSTRIALS | 1,729 | 22 | 1,234,564,952 | 11,691,800 | 100 | 47.50 | (1.00) | ConvSpread |
| LOEWS CORPORATION | Americas | FINANCIALS | 1,834 | 6 | 637,259,348 | 8,593,039 | 100 | 30.50 | 0 | ConvSpread |
| LOUISIANA-PACIFIC CORPORATION | Americas | CONSUMER GOODS | 3,466 | 11 | 761,492,727 | (8,753,236) | 500 | 151.00 | 0 | ConvSpread |
| LOWE'S COMPANIES, INC. | Americas | CONSUMER SERVICES | 1,671 | 5 | 1,102,193,133 | (6,136,162) | 100 | 35.50 | (1.00) | ConvSpread |
| LVMH MOET HENNESSY LOUIS VUITTON | Europe | CONSUMER GOODS | 2,198 | (22) | 669,622,861 | (7,152,483) | 100 | 55.50 | (2.00) | ConvSpread |
| M.D.C. HOLDINGS, INC. | Americas | CONSUMER GOODS | 1,947 | 4 | 847,017,734 | (8,976,912) | 100 | 140.00 | 0 | ConvSpread |
| MACQUARIE BANK LIMITED | Australia NZ | FINANCIALS | 1,543 | (2) | 655,808,163 | (10,004,832) | 100 | 109.50 | 0 | ConvSpread |
| MACY'S, INC. | Americas | CONSUMER SERVICES | 3,386 | 2 | 1,384,674,308 | (2,088,759) | 100 | 80.00 | (0.50) | ConvSpread |
| MALAYSIA | Asia Ex-Japan | GOVERNMENT | 2,493 | 26 | 1,434,459,477 | (66,000,817) | 100 | 77.50 | 1.00 | ConvSpread |
| MANOR CARE, INC. | Americas | HEALTHCARE | 973 | 1 | 441,096,870 | (296,876) | 100 | 188.00 | 8.00 | ConvSpread |
| MARATHON OIL CORPORATION | Americas | ENERGY | 1,017 | 0 | 243,576,457 | (342,642) | 100 | 83.00 | (3.00) | ConvSpread |
| MARKS AND SPENCER P.L.C. | Europe | CONSUMER SERVICES | 3,581 | 13 | 1,125,554,882 | (34,501,473) | 100 | 175.00 | (5.00) | ConvSpread |
| MARRIOTT INTERNATIONAL, INC. | Americas | CONSUMER SERVICES | 2,473 | 2 | 1,295,109,427 | (62,944) | 100 | 52.50 | 1.50 | ConvSpread |
| MARSH & MCLENNAN COMPANIES, INC. | Americas | FINANCIALS | 2,258 | 4 | 842,460,185 | 868,291 | 100 | 39.00 | (1.00) | ConvSpread |
| MARTIN MARIETTA MATERIALS, INC. | Americas | INDUSTRIALS | 438 | 0 | 246,607,094 | (223,181) | 100 | 133.00 | 5.00 | ConvSpread |
| MARUBENI CORPORATION | Japan | ENERGY | 1,107 | 29 | 566,127,668 | (44,542,927) | 100 | 83.00 | 1.00 | ConvSpread |
| MASCO CORPORATION | Americas | CONSUMER GOODS | 2,977 | 1 | 1,193,346,699 | (7,745,301) | 500 | 149.00 | 4.50 | ConvSpread |
| MATTEL, INC. | Americas | CONSUMER GOODS | 1,271 | (2) | 334,978,830 | (1,174,025) | 100 | 54.00 | (1.00) | ConvSpread |
| MBIA INC. | Americas | FINANCIALS | 3,997 | 87 | 1,203,268,517 | 9,655,416 | 500 | 240.00 | 0 | ConvSpread |
| MBIA INSURANCE CORPORATION | Americas | FINANCIALS | 7,678 | 326 | 2,262,552,265 | 187,090,562 | 500 | 4.25 | 0.25 | Upfront |
| MCDONALD'S CORPORATION | Americas | CONSUMER SERVICES | 1,784 | 13 | 823,085,856 | 10,201,159 | 100 | 15.50 | (1.00) | ConvSpread |
| MCKESSON CORPORATION | Americas | HEALTHCARE | 1,862 | 4 | 626,716,781 | (9,745,216) | 100 | 26.50 | 0 | ConvSpread |
| MEADWESTVACO CORPORATION | Americas | INDUSTRIALS | 3,323 | 11 | 1,169,412,576 | (9,033,810) | 100 | 108.00 | (10.00) | ConvSpread |
| MEDIACOM LLC | Americas | CONSUMER SERVICES | 646 | (1) | 137,907,275 | (703,886) | 500 | 350.00 | 15.00 | ConvSpread |
| MEDTRONIC, INC. | Americas | HEALTHCARE | 984 | 1 | 526,977,803 | 181,157 | 100 | 46.50 | 0 | ConvSpread |
| MELIA HOTELS INTERNATIONAL, S.A. | Europe | CONSUMER SERVICES | 1,866 | 4 | 460,242,405 | (1,498,187) | 500 | 2.00 | (1.00) | Upfront |
| MERCK & CO., INC. | Americas | HEALTHCARE | 802 | 0 | 218,351,665 | (687,380) | 100 | 42.50 | 1.00 | ConvSpread |
| MERCK KOMMANDITGESELLSCHAFT AUF AKTIEN | Europe | HEALTHCARE | 385 | 4 | 285,458,530 | 3,536,611 | 100 | 53.00 | 0 | ConvSpread |
| MERCK SHARP & DOHME CORP. | Americas | HEALTHCARE | 1,192 | 0 | 366,104,267 | (382,246) | 100 | 14.50 | 1.00 | ConvSpread |
| MERITOR, INC. | Americas | CONSUMER GOODS | 2,246 | 27 | 433,679,212 | (16,462,068) | 500 | 843.95 | 0.02 | ConvSpread |
| MERRILL LYNCH & CO., INC. | Americas | FINANCIALS | 3,673 | 15 | 2,308,926,112 | 14,615,073 | 100 | 83.00 | 0 | ConvSpread |
| METLIFE, INC. | Americas | FINANCIALS | 3,564 | (73) | 4,001,469,079 | (79,197,185) | 100 | 106.00 | 0 | ConvSpread |
| METRO AG | Europe | CONSUMER SERVICES | 3,007 | 14 | 1,369,895,147 | (22,614,972) | 100 | 148.00 | 0.50 | ConvSpread |
| METSA BOARD CORPORATION | Europe | BASIC MATERIALS | 1,961 | 39 | 361,158,936 | (20,406,947) | 500 | 294.00 | (8.50) | ConvSpread |
| METSO OYJ | Europe | INDUSTRIALS | 1,480 | (2) | 448,322,433 | (4,313,324) | 100 | 150.00 | (2.50) | ConvSpread |
| MGIC INVESTMENT CORPORATION | Americas | FINANCIALS | 4,363 | 35 | 1,157,389,529 | 15,751,890 | 500 | 380.00 | (2.50) | ConvSpread |
| MGM RESORTS INTERNATIONAL | Americas | CONSUMER SERVICES | 2,893 | 17 | 1,179,706,146 | 6,335,723 | 500 | 347.50 | 2.50 | ConvSpread |
| MITSUBISHI CHEMICAL CORPORATION | Japan | BASIC MATERIALS | 334 | 0 | 305,959,799 | (7,921,732) | 100 | 58.00 | 2.00 | ConvSpread |
| MITSUBISHI CORPORATION | Japan | BASIC MATERIALS | 820 | 2 | 999,190,318 | (25,479,492) | 100 | 43.00 | 0 | ConvSpread |
| MITSUBISHI ESTATE COMPANY, LIMITED | Japan | FINANCIALS | 511 | 3 | 358,186,516 | (9,273,957) | 100 | 32.00 | (3.00) | ConvSpread |
| MITSUBISHI HEAVY INDUSTRIES, LTD. | Japan | INDUSTRIALS | 590 | 4 | 373,011,603 | (9,587,563) | 100 | 34.00 | (3.00) | ConvSpread |
| MITSUI & CO., LTD. | Japan | ENERGY | 915 | 1 | 583,250,073 | (14,737,325) | 100 | 39.00 | (0.50) | ConvSpread |
| MITSUI CHEMICALS, INC. | Japan | BASIC MATERIALS | 1,089 | 48 | 674,016,939 | 17,177,682 | 100 | 210.00 | 0 | ConvSpread |
| MITSUI FUDOSAN CO., LTD. | Japan | FINANCIALS | 540 | 1 | 302,451,142 | (10,609,798) | 100 | 38.00 | (3.00) | ConvSpread |
| MITSUI O.S.K. LINES, LTD. | Japan | INDUSTRIALS | 1,569 | 8 | 897,745,568 | (30,936,373) | 100 | 155.00 | (6.00) | ConvSpread |
| MITSUI SUMITOMO INSURANCE COMPANY, LIMITED | Japan | FINANCIALS | 381 | 0 | 336,372,579 | (5,415,775) | 100 | 36.00 | (1.00) | ConvSpread |
| MIZUHO CORPORATE BANK, LTD. | Japan | FINANCIALS | 1,905 | 3 | 868,366,266 | (6,176,624) | 100 | 88.00 | 3.00 | ConvSpread |
| MOHAWK INDUSTRIES, INC. | Americas | CONSUMER GOODS | 1,658 | 0 | 657,787,649 | (5,718) | 100 | 103.00 | (1.50) | ConvSpread |
| MOLSON COORS BREWING COMPANY | Americas | CONSUMER GOODS | 555 | 0 | 203,914,601 | (287,917) | 100 | 75.00 | 0 | ConvSpread |
| MONDELEZ INTERNATIONAL, INC. | Americas,Europe | CONSUMER GOODS | 4,935 | 21 | 1,201,030,027 | 427,226 | 100 | 32.50 | 1.00 | ConvSpread |
| MONSANTO COMPANY | Americas | BASIC MATERIALS | 560 | (4) | 376,315,167 | (20,953,578) | 100 | 31.50 | (3.50) | ConvSpread |
| MORGAN STANLEY | Americas | FINANCIALS | 6,701 | 29 | 3,795,992,905 | (56,794,712) | 100 | 117.00 | (0.50) | ConvSpread |
| MOTOROLA SOLUTIONS, INC. | Americas | TECHNOLOGY | 2,920 | 1 | 1,082,448,796 | 15,411,955 | 100 | 84.50 | 4.00 | ConvSpread |
| MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AKTIENGESELLSCHAFT IN MUENCHEN | Europe | FINANCIALS | 5,237 | (21) | 1,099,083,969 | 454,878 | 100 | 59.50 | (2.50) | ConvSpread |
| MURPHY OIL CORPORATION | Americas | ENERGY | 590 | 3 | 173,030,182 | (21,424,631) | 100 | 126.50 | 4.50 | ConvSpread |
| NABORS INDUSTRIES, INC. | Americas | ENERGY | 2,560 | 40 | 1,013,446,767 | (23,215,155) | 100 | 153.00 | 1.50 | ConvSpread |
| NALCO COMPANY | Americas | UTILITIES | 872 | (2) | 113,319,517 | (1,122,483) | 100 | 50.00 | 0 | ConvSpread |
| NATIONAL AUSTRALIA BANK LIMITED | Australia NZ | FINANCIALS | 1,606 | (20) | 1,068,574,575 | (100,588,135) | 100 | 72.50 | (1.00) | ConvSpread |
| NATIONAL GRID PLC | Europe | UTILITIES | 2,098 | (12) | 757,994,183 | (1,130,538) | 100 | 58.00 | 0 | ConvSpread |
| NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION | Americas | FINANCIALS | 1,872 | 2 | 856,052,099 | 24,767,377 | 100 | 40.50 | (0.50) | ConvSpread |
| NEC CORPORATION | Japan | TECHNOLOGY | 1,009 | 2 | 239,485,542 | (3,205,823) | 100 | 100.00 | 0 | ConvSpread |
| NEW ALBERTSON'S, INC. | Americas | CONSUMER SERVICES | 2,524 | 58 | 524,019,064 | (8,368,029) | 500 | 7.25 | (1.13) | Upfront |
| NEW ZEALAND | Australia NZ | GOVERNMENT | 445 | 2 | 501,736,384 | (537,633) | 100 | 39.00 | 0 | ConvSpread |
| NEWELL RUBBERMAID INC. | Americas | CONSUMER GOODS | 2,447 | 6 | 1,026,672,716 | 53,673,345 | 100 | 64.50 | (1.00) | ConvSpread |
| NEWMONT MINING CORPORATION | Americas | BASIC MATERIALS | 958 | 1 | 475,155,786 | 18,344,787 | 100 | 182.00 | 15.00 | ConvSpread |
| NEWS AMERICA INCORPORATED | Americas | CONSUMER SERVICES | 2,208 | 1 | 706,088,358 | (11,377,479) | 100 | 30.50 | (1.00) | ConvSpread |
| NEXEN INC. | Americas | ENERGY | 869 | (7) | 225,540,742 | (282,473) | 100 | 22.00 | 0 | ConvSpread |
| NEXT PLC | Europe | CONSUMER SERVICES | 2,569 | 36 | 1,031,962,038 | (30,426,546) | 100 | 73.50 | (3.50) | ConvSpread |
| NIPPON PAPER GROUP, INC. | Japan | BASIC MATERIALS | 1,580 | 37 | 987,186,777 | (22,723,056) | 100 | 235.00 | 5.00 | ConvSpread |
| NIPPON STEEL & SUMITOMO METAL CORPORATION | Japan | BASIC MATERIALS | 1,963 | 13 | 1,184,344,228 | (29,937,387) | 100 | 75.00 | (3.00) | ConvSpread |
| NIPPON YUSEN KABUSHIKI KAISHA | Japan | INDUSTRIALS | 1,055 | 5 | 845,227,481 | (52,171,824) | 100 | 88.00 | 3.00 | ConvSpread |
| NISOURCE FINANCE CORP. | Americas | UTILITIES | 735 | 2 | 252,156,364 | (4,525,111) | 100 | 67.50 | 0 | ConvSpread |
| NISSAN MOTOR CO., LTD. | Japan | CONSUMER GOODS | 1,542 | (2) | 966,160,752 | 6,622,879 | 100 | 44.00 | 1.50 | ConvSpread |
| NOBLE CORPORATION | Americas | ENERGY | 691 | 28 | 208,078,122 | (8,417,320) | 100 | 147.50 | 6.50 | ConvSpread |
| NOBLE ENERGY, INC. | Americas | ENERGY | 630 | 2 | 239,225,462 | (13,046,815) | 100 | 70.00 | (4.50) | ConvSpread |
| NOKIA OYJ | Europe | TECHNOLOGY | 4,082 | 23 | 1,143,947,100 | (9,869,765) | 500 | 1.00 | (0.25) | Upfront |
| NOMURA SECURITIES CO., LTD. | Japan | FINANCIALS | 391 | 0 | 295,483,877 | (6,461,199) | 100 | 140.00 | N/A | ConvSpread |
| NORBORD INC. | Americas | CONSUMER GOODS | 1,624 | 6 | 485,162,457 | (3,084,069) | 500 | 205.00 | 0 | ConvSpread |
| NORDSTROM, INC. | Americas | CONSUMER SERVICES | 3,050 | 4 | 1,573,837,798 | (28,587,619) | 100 | 56.00 | (0.50) | ConvSpread |
| NORFOLK SOUTHERN CORPORATION | Americas | INDUSTRIALS | 2,140 | (7) | 1,297,180,964 | 6,541,833 | 100 | 24.00 | 1.00 | ConvSpread |
| NORSKE SKOGINDUSTRIER ASA | Europe | BASIC MATERIALS | 3,729 | 102 | 873,322,083 | (789,075) | 500 | 36.00 | (0.50) | Upfront |
| NORTHROP GRUMMAN CORPORATION | Americas | INDUSTRIALS | 1,543 | 29 | 684,361,601 | 6,146,343 | 100 | 34.50 | 1.00 | ConvSpread |
| NOVA CHEMICALS CORPORATION | Americas | BASIC MATERIALS | 1,144 | (12) | 314,370,417 | 1,024,629 | 500 | 137.00 | (3.00) | ConvSpread |
| NOVARTIS AG | Europe | HEALTHCARE | 1,037 | 0 | 398,558,446 | (3,570,914) | 100 | 27.50 | 2.50 | ConvSpread |
| NRG ENERGY, INC. | Americas | UTILITIES | 1,463 | 5 | 543,835,588 | (45,704,903) | 500 | 310.00 | 0.50 | ConvSpread |
| NUCOR CORPORATION | Americas | BASIC MATERIALS | 1,915 | 6 | 992,793,056 | 19,898,427 | 100 | 75.00 | 5.00 | ConvSpread |
| NXP B.V. | Europe | TECHNOLOGY | 2,395 | 12 | 343,453,730 | (15,710,191) | 500 | 275.00 | (15.00) | ConvSpread |
| OBAYASHI CORPORATION | Japan | INDUSTRIALS | 611 | 7 | 335,748,810 | (26,512,269) | 100 | 55.00 | (2.50) | ConvSpread |
| OCCIDENTAL PETROLEUM CORPORATION | Americas | ENERGY | 1,020 | 23 | 240,187,713 | 20,657,963 | 100 | 54.50 | (1.00) | ConvSpread |
| OFFICE DEPOT, INC. | Americas | CONSUMER SERVICES | 1,453 | 3 | 361,480,591 | (3,647,129) | 500 | 285.00 | (3.00) | ConvSpread |
| OJI HOLDINGS CORPORATION | Japan | BASIC MATERIALS | 1,226 | 7 | 1,050,007,468 | (72,130,089) | 100 | 88.00 | 0 | ConvSpread |
| OLD MUTUAL PUBLIC LIMITED COMPANY | Europe | FINANCIALS | 1,058 | 1 | 392,666,379 | (10,723,692) | 100 | 125.00 | 0 | ConvSpread |
| OLIN CORPORATION | Americas | BASIC MATERIALS | 2,214 | 8 | 674,260,074 | (17,527,035) | 100 | 111.00 | (6.00) | ConvSpread |
| OMNICOM GROUP INC. | Americas | CONSUMER SERVICES | 2,200 | 12 | 903,213,483 | 13,582,905 | 100 | 46.50 | 0 | ConvSpread |
| ONEOK PARTNERS, L.P. | Americas | ENERGY | 474 | 0 | 298,655,435 | (748,490) | 100 | 95.00 | 0 | ConvSpread |
| ONEOK, INC. | Americas | ENERGY | 1,293 | 2 | 472,826,895 | (197,678) | 100 | 85.00 | 0 | ConvSpread |
| ONO FINANCE II PUBLIC LIMITED COMPANY | Europe | FINANCIALS | 2,261 | 24 | 462,011,035 | 15,262,752 | 500 | 476.14 | (3.36) | ConvSpread |
| ORIX CORPORATION | Japan | FINANCIALS | 1,737 | 4 | 706,023,615 | (8,347,426) | 100 | 81.50 | (2.00) | ConvSpread |
| OWENS-ILLINOIS, INC. | Americas | INDUSTRIALS | 757 | 1 | 197,468,297 | (1,710,162) | 500 | 192.50 | 0 | ConvSpread |
| PACIFIC GAS AND ELECTRIC COMPANY | Americas | UTILITIES | 642 | (9) | 527,299,430 | (1,670,459) | 100 | 60.00 | (1.50) | ConvSpread |
| PACKAGING CORPORATION OF AMERICA | Americas | INDUSTRIALS | 1,178 | 1 | 473,281,399 | (1,981,216) | 100 | 96.00 | (1.50) | ConvSpread |
| PACTIV LLC | Americas | INDUSTRIALS | 1,500 | 4 | 318,315,885 | 1,763,871 | 500 | 383.00 | 1.00 | ConvSpread |
| PANASONIC CORPORATION | Japan | CONSUMER GOODS | 1,569 | 8 | 732,873,904 | (51,049,004) | 100 | 105.00 | 7.00 | ConvSpread |
| PARKER DRILLING COMPANY | Americas | ENERGY | 602 | 4 | 168,715,432 | 893,784 | 500 | 398.00 | 8.00 | ConvSpread |
| PEABODY ENERGY CORPORATION | Americas | ENERGY | 612 | 0 | 183,103,498 | (1,143,061) | 500 | 315.00 | (5.00) | ConvSpread |
| PEARSON PLC | Europe | CONSUMER SERVICES | 3,242 | 17 | 1,029,027,741 | 6,421,152 | 100 | 69.00 | (0.50) | ConvSpread |
| PEOPLE'S REPUBLIC OF CHINA | Asia Ex-Japan | GOVERNMENT | 7,576 | 63 | 7,119,300,584 | 104,330,735 | 100 | 74.00 | (1.00) | ConvSpread |
| PEPCO HOLDINGS, INC. | Americas | UTILITIES | 604 | (1) | 97,675,814 | (374,854) | 100 | 68.00 | 0 | ConvSpread |
| PEPSICO, INC. | Americas | CONSUMER GOODS | 627 | 1 | 283,575,938 | (25,139,983) | 100 | 44.50 | 0 | ConvSpread |
| PERNOD RICARD | Europe | CONSUMER GOODS | 2,273 | 7 | 813,559,674 | 23,810,201 | 100 | 78.00 | (1.50) | ConvSpread |
| PETROLEO BRASILEIRO S/A PETROBRAS | Americas | ENERGY | 1,551 | 29 | 3,516,101,205 | 171,817,795 | 100 | 194.00 | 10.50 | ConvSpread |
| PETROLEOS DE VENEZUELA, S.A. | Americas | ENERGY | 385 | 6 | 588,300,000 | 55,950,000 | 500 | 985.00 | (25.00) | ConvSpread |
| PETROLEOS MEXICANOS | Americas | ENERGY | 3,451 | 8 | 1,066,248,915 | (10,091,206) | 100 | 122.00 | 12.00 | ConvSpread |
| PEUGEOT SA | Europe | CONSUMER GOODS | 4,945 | 35 | 1,609,823,548 | (699,978) | 500 | 6.00 | (0.75) | Upfront |
| PFIZER INC. | Americas | HEALTHCARE | 1,586 | 15 | 865,119,840 | (12,846,796) | 100 | 34.50 | 1.00 | ConvSpread |
| PHH CORPORATION | Americas | INDUSTRIALS | 433 | 2 | 219,079,469 | (912,994) | 500 | 260.00 | (10.00) | ConvSpread |
| PHILIP MORRIS INTERNATIONAL INC. | Americas | CONSUMER GOODS | 240 | 0 | 470,521,265 | (580,906) | 100 | 40.50 | (1.50) | ConvSpread |
| PILKINGTON GROUP LIMITED | Europe | CONSUMER GOODS | 695 | 0 | 208,738,517 | (1,680,966) | 100 | 162.50 | 37.50 | ConvSpread |
| PIONEER NATURAL RESOURCES COMPANY | Americas | ENERGY | 1,227 | 1 | 233,546,251 | 21,655,587 | 100 | 94.00 | (2.00) | ConvSpread |
| PITNEY BOWES INC. | Americas | TECHNOLOGY | 2,546 | (18) | 1,190,521,254 | 15,930,764 | 100 | 217.00 | (3.00) | ConvSpread |
| PLAINS ALL AMERICAN PIPELINE, L.P. | Americas | ENERGY | 372 | 1 | 305,218,211 | (65,827) | 100 | 68.00 | (0.50) | ConvSpread |
| POLYONE CORPORATION | Americas | BASIC MATERIALS | 664 | (6) | 161,469,092 | (1,661,187) | 500 | 232.50 | (2.50) | ConvSpread |
| PORSCHE AUTOMOBIL HOLDING SE | Europe | CONSUMER GOODS | 1,195 | (7) | 560,576,306 | (5,406,555) | 100 | 51.00 | 0 | ConvSpread |
| PORTUGAL TELECOM INTERNATIONAL FINANCE B.V. | Europe | TELECOMMUNICATIONS SERVICES | 4,672 | (17) | 1,034,493,870 | (20,097,163) | 500 | 370.00 | (5.00) | ConvSpread |
| PORTUGUESE REPUBLIC | Europe | GOVERNMENT | 5,080 | 37 | 4,115,849,679 | (101,381,969) | 100 | 331.00 | (7.00) | ConvSpread |
| POSTNL N.V. | Europe | INDUSTRIALS | 2,791 | (88) | 968,428,646 | (3,052,239) | 100 | 240.00 | (5.50) | ConvSpread |
| POTASH CORPORATION OF SASKATCHEWAN INC. | Americas | BASIC MATERIALS | 898 | (3) | 321,827,065 | (83,926) | 100 | 65.00 | 0 | ConvSpread |
| PPG INDUSTRIES, INC. | Americas | BASIC MATERIALS | 2,013 | (5) | 542,083,463 | (4,798,228) | 100 | 57.50 | 5.00 | ConvSpread |
| PPL ENERGY SUPPLY, LLC | Americas | UTILITIES | 1,119 | 1 | 452,105,667 | (4,284,290) | 100 | 145.00 | 0 | ConvSpread |
| PPR | Europe | CONSUMER SERVICES | 2,851 | 3 | 1,151,412,541 | (61,394,023) | 100 | 74.00 | (2.50) | ConvSpread |
| PRAXAIR, INC. | Americas | BASIC MATERIALS | 491 | (5) | 200,722,390 | 43,002 | 100 | 35.00 | (2.50) | ConvSpread |
| PRIDE INTERNATIONAL, INC. | Americas | ENERGY | 748 | (1) | 205,850,317 | (153,680) | 100 | 69.00 | 0 | ConvSpread |
| PROGRESS ENERGY, INC. | Americas | UTILITIES | 1,668 | 1 | 718,242,105 | (14,901,916) | 100 | 14.50 | (2.00) | ConvSpread |
| PROLOGIS, L.P. | Americas | FINANCIALS | 1,660 | 1 | 726,148,787 | 8,193,820 | 100 | 88.00 | 2.00 | ConvSpread |
| PROSIEBENSAT.1 MEDIA AG | Europe | CONSUMER SERVICES | 724 | 0 | 138,413,977 | (1,106,383) | 500 | 240.00 | 0 | ConvSpread |
| PRUDENTIAL FINANCIAL, INC. | Americas | FINANCIALS | 1,564 | (7) | 937,016,931 | 2,549,983 | 100 | 111.00 | 0 | ConvSpread |
| PRUDENTIAL PUBLIC LIMITED COMPANY | Europe | FINANCIALS | 1,739 | (1) | 416,855,539 | 32,160,887 | 100 | 115.50 | 0.50 | ConvSpread |
| PSEG POWER LLC | Americas | UTILITIES | 953 | 0 | 260,853,359 | (951,763) | 100 | 117.00 | 0 | ConvSpread |
| PUBLICIS GROUPE SA | Europe | CONSUMER SERVICES | 2,073 | (1) | 722,148,410 | 474,490 | 100 | 63.00 | 0.50 | ConvSpread |
| PULTEGROUP, INC. | Americas | CONSUMER GOODS | 4,042 | 9 | 1,217,045,774 | (1,013,955) | 500 | 162.50 | (2.50) | ConvSpread |
| QANTAS AIRWAYS LIMITED | Australia NZ | INDUSTRIALS | 3,039 | (1) | 1,304,532,549 | 148,963 | 100 | 170.00 | (4.00) | ConvSpread |
| QBE INSURANCE GROUP LIMITED | Australia NZ | FINANCIALS | 1,087 | 14 | 509,178,262 | (33,142,899) | 100 | 135.00 | (5.00) | ConvSpread |
| QUEST DIAGNOSTICS INCORPORATED | Americas | HEALTHCARE | 1,498 | 11 | 610,000,731 | (11,203,862) | 100 | 92.50 | 0 | ConvSpread |
| QWEST CAPITAL FUNDING, INC. | Americas | TELECOMMUNICATIONS SERVICES | 625 | (23) | 146,280,715 | (977,052) | 100 | 115.00 | 0 | ConvSpread |
| QWEST CORPORATION | Americas | TELECOMMUNICATIONS SERVICES | 1,002 | (5) | 517,771,100 | (4,485,114) | 100 | 97.00 | 0 | ConvSpread |
| R.R. DONNELLEY & SONS COMPANY | Americas | INDUSTRIALS | 3,810 | 26 | 1,367,631,469 | 10,045,533 | 500 | 386.50 | (1.00) | ConvSpread |
| RADIAN GROUP INC. | Americas | FINANCIALS | 4,633 | 33 | 1,132,537,818 | (41,521,247) | 500 | 302.50 | 0 | ConvSpread |
| RADIOSHACK CORPORATION | Americas | CONSUMER SERVICES | 4,040 | 49 | 809,296,813 | 26,106,945 | 500 | 18.50 | (0.75) | Upfront |
| RALLYE | Europe | CONSUMER SERVICES | 1,987 | 11 | 657,808,898 | (17,717,584) | 500 | 317.50 | (12.50) | ConvSpread |
| RAYTHEON COMPANY | Americas | INDUSTRIALS | 1,477 | 15 | 744,341,466 | (1,048,272) | 100 | 34.50 | 1.00 | ConvSpread |
| REALOGY GROUP LLC | Americas | FINANCIALS | 1,193 | 11 | 333,846,018 | (639,347) | 500 | 297.50 | 0 | ConvSpread |
| REED ELSEVIER PLC | Europe | CONSUMER SERVICES | 2,619 | (4) | 824,397,328 | (5,914,524) | 100 | 59.00 | 1.00 | ConvSpread |
| RENAULT | Europe | CONSUMER GOODS | 4,242 | 21 | 1,106,553,246 | 6,881,052 | 100 | 231.00 | (4.00) | ConvSpread |
| RENTOKIL INITIAL PLC | Europe | INDUSTRIALS | 2,433 | 0 | 781,619,452 | (9,596,447) | 100 | 155.00 | (4.00) | ConvSpread |
| REPSOL, S.A. | Europe | ENERGY | 2,968 | 7 | 800,277,003 | (17,952,791) | 100 | 125.50 | (4.50) | ConvSpread |
| REPUBLIC OF AUSTRIA | Europe | GOVERNMENT | 2,787 | 98 | 4,336,039,450 | 11,474,221 | 100 | 38.50 | 0 | ConvSpread |
| REPUBLIC OF BULGARIA | Europe | GOVERNMENT | 1,906 | 31 | 510,394,141 | 31,342,218 | 500 | 107.00 | 2.00 | ConvSpread |
| REPUBLIC OF CHILE | Americas | GOVERNMENT | 620 | 24 | 896,777,647 | (56,603,131) | 100 | 69.50 | 1.50 | ConvSpread |
| REPUBLIC OF COLOMBIA | Americas | GOVERNMENT | 2,640 | 62 | 1,754,947,392 | (8,434,030) | 100 | 81.75 | 2.75 | ConvSpread |
| REPUBLIC OF CROATIA | Europe | GOVERNMENT | 1,491 | 5 | 660,691,344 | 4,868,922 | 100 | 292.50 | 9.50 | ConvSpread |
| REPUBLIC OF CYPRUS | Europe | GOVERNMENT | 309 | 1 | 280,916,990 | (701,546) | 100 | 28.50 | (3.00) | Upfront |
| REPUBLIC OF FINLAND | Europe | GOVERNMENT | 880 | 0 | 2,179,423,018 | (5,424,912) | 25 | 29.50 | 1.00 | ConvSpread |
| REPUBLIC OF ICELAND | Europe | GOVERNMENT | 848 | 0 | 438,723,812 | (1,953,842) | 100 | 150.00 | 10.00 | ConvSpread |
| REPUBLIC OF INDONESIA | Asia Ex-Japan | GOVERNMENT | 4,978 | 16 | 3,320,685,734 | 13,001,967 | 100 | 140.00 | 0 | ConvSpread |
| REPUBLIC OF ITALY | Europe | GOVERNMENT | 14,419 | 119 | 19,758,626,570 | (1,362,502,246) | 100 | 235.00 | (5.00) | ConvSpread |
| REPUBLIC OF KAZAKHSTAN | Europe | GOVERNMENT | 1,442 | (7) | 712,207,159 | 992,787 | 100 | 145.00 | 5.50 | ConvSpread |
| REPUBLIC OF KOREA | Asia Ex-Japan | GOVERNMENT | 8,366 | 25 | 5,789,139,441 | (129,858,724) | 100 | 70.00 | 0.50 | ConvSpread |
| REPUBLIC OF LATVIA | Europe | GOVERNMENT | 1,143 | (8) | 511,745,477 | (768,422) | 100 | 111.00 | 1.00 | ConvSpread |
| REPUBLIC OF LITHUANIA | Europe | GOVERNMENT | 950 | (6) | 440,727,645 | (814,318) | 100 | 108.50 | 0.50 | ConvSpread |
| REPUBLIC OF PANAMA | Americas | GOVERNMENT | 1,001 | 6 | 518,318,525 | (5,119,807) | 100 | 80.50 | 2.50 | ConvSpread |
| REPUBLIC OF PERU | Americas | GOVERNMENT | 2,244 | 9 | 1,576,674,345 | 11,320,661 | 100 | 92.50 | 2.50 | ConvSpread |
| REPUBLIC OF POLAND | Europe | GOVERNMENT | 3,794 | 4 | 1,312,475,162 | (27,930,817) | 100 | 78.00 | 2.00 | ConvSpread |
| REPUBLIC OF SLOVENIA | Europe | GOVERNMENT | 917 | 11 | 750,749,750 | 11,199,991 | 100 | 287.50 | 2.50 | ConvSpread |
| REPUBLIC OF SOUTH AFRICA | Europe | GOVERNMENT | 5,684 | 14 | 3,339,763,643 | 31,535,700 | 100 | 159.50 | 3.00 | ConvSpread |
| REPUBLIC OF THE PHILIPPINES | Asia Ex-Japan | GOVERNMENT | 5,084 | 34 | 2,455,118,200 | (58,750,721) | 100 | 85.50 | (2.00) | ConvSpread |
| REPUBLIC OF TURKEY | Europe | GOVERNMENT | 9,050 | 67 | 7,883,121,994 | (13,760,170) | 100 | 122.00 | 4.50 | ConvSpread |
| REPUBLIC SERVICES, INC. | Americas | INDUSTRIALS | 1,080 | (2) | 680,516,214 | (9,547,078) | 100 | 63.00 | 0 | ConvSpread |
| RESONA BANK, LIMITED | Japan | FINANCIALS | 721 | 0 | 248,360,152 | (1,028,602) | 100 | 125.00 | 0 | ConvSpread |
| REXAM PLC | Europe | INDUSTRIALS | 1,809 | 0 | 523,162,921 | (3,952,294) | 100 | 85.00 | (5.00) | ConvSpread |
| REYNOLDS AMERICAN INC. | Americas | CONSUMER GOODS | 1,548 | 5 | 691,022,496 | 42,228 | 100 | 64.00 | (2.00) | ConvSpread |
| RHODIA | Europe | BASIC MATERIALS | 1,672 | 0 | 241,876,271 | (2,790,347) | 100 | 55.00 | 5.00 | ConvSpread |
| RICOH COMPANY, LTD. | Japan | TECHNOLOGY | 659 | 14 | 716,541,783 | (19,555,353) | 100 | 55.00 | 0 | ConvSpread |
| RIO TINTO ALCAN INC. | Americas | BASIC MATERIALS | 1,976 | (14) | 774,754,208 | 4,674,533 | 100 | 92.50 | 7.50 | ConvSpread |
| RIO TINTO LIMITED | Australia NZ | BASIC MATERIALS | 2,705 | (1) | 1,307,194,394 | (11,882,290) | 100 | 102.00 | 1.50 | ConvSpread |
| RITE AID CORPORATION | Americas | CONSUMER SERVICES | 1,505 | 42 | 366,488,100 | (6,385,300) | 500 | 405.00 | (3.00) | ConvSpread |
| ROGERS COMMUNICATIONS INC. | Americas | TELECOMMUNICATIONS SERVICES | 570 | 6 | 475,081,586 | (28,849) | 100 | 50.50 | (2.00) | ConvSpread |
| ROHM AND HAAS COMPANY | Americas | BASIC MATERIALS | 2,050 | (9) | 740,890,759 | (4,253,115) | 100 | 45.00 | 6.50 | ConvSpread |
| ROLLS-ROYCE PLC | Europe | INDUSTRIALS | 1,681 | 0 | 826,193,104 | 2,346,715 | 100 | 61.00 | (0.50) | ConvSpread |
| ROMANIA | Europe | GOVERNMENT | 1,925 | (8) | 1,036,238,170 | (1,758,123) | 100 | 180.00 | 5.00 | ConvSpread |
| ROYAL & SUN ALLIANCE INSURANCE PLC | Europe | FINANCIALS | 1,729 | (42) | 226,105,018 | (23,424,041) | 100 | 70.50 | (1.50) | ConvSpread |
| ROYAL CARIBBEAN CRUISES LTD. | Americas | CONSUMER SERVICES | 3,014 | 28 | 985,648,127 | (6,839,161) | 500 | 190.00 | 7.50 | ConvSpread |
| ROYAL DUTCH SHELL PLC | Europe | ENERGY | 1,391 | 3 | 1,107,766,482 | 7,712,409 | 100 | 43.00 | (7.00) | ConvSpread |
| RPM INTERNATIONAL INC. | Americas | BASIC MATERIALS | 1,177 | (7) | 502,784,326 | (668,550) | 100 | 105.50 | 0 | ConvSpread |
| RUSSIAN FEDERATION | Europe | GOVERNMENT | 8,989 | 51 | 5,251,197,969 | 57,021,600 | 100 | 138.00 | 6.50 | ConvSpread |
| RWE AKTIENGESELLSCHAFT | Europe | UTILITIES | 2,626 | (2) | 1,360,412,224 | (24,524,307) | 100 | 71.00 | (1.50) | ConvSpread |
| RYDER SYSTEM, INC. | Americas | INDUSTRIALS | 2,332 | 3 | 1,057,799,748 | (212,004) | 100 | 89.00 | (1.50) | ConvSpread |
| SABMILLER PLC | Europe | CONSUMER GOODS | 902 | 1 | 629,349,459 | (10,464,584) | 100 | 50.50 | (1.00) | ConvSpread |
| SABRE HOLDINGS CORPORATION | Americas | CONSUMER SERVICES | 2,296 | 3 | 580,568,893 | 4,709,206 | 500 | 320.00 | (10.00) | ConvSpread |
| SAFEWAY INC. | Americas | CONSUMER SERVICES | 3,572 | 12 | 1,797,392,051 | 6,649,424 | 100 | 170.00 | (8.50) | ConvSpread |
| SAFEWAY LIMITED | Europe | CONSUMER SERVICES | 2,312 | 34 | 633,009,695 | 17,222,288 | 100 | 77.00 | (1.50) | ConvSpread |
| SAKS INCORPORATED | Americas | CONSUMER SERVICES | 1,288 | 23 | 338,167,719 | (11,580,671) | 500 | 217.00 | 2.00 | ConvSpread |
| SANOFI | Europe | HEALTHCARE | 2,511 | (4) | 1,620,736,853 | 12,707,242 | 100 | 40.00 | (0.50) | ConvSpread |
| SCANDINAVIAN AIRLINES SYSTEM DENMARK-NORWAY-SWEDEN | Europe | INDUSTRIALS | 1,672 | 2 | 277,024,262 | 3,697,024 | 500 | 2.00 | 0 | Upfront |
| SCANIA AKTIEBOLAG | Europe | INDUSTRIALS | 1,664 | (1) | 519,777,761 | 1,687,899 | 100 | 78.50 | 1.50 | ConvSpread |
| SCHLUMBERGER N.V. | Americas | ENERGY | 568 | 15 | 180,492,473 | 467,479 | 100 | 42.50 | 2.00 | ConvSpread |
| SCHNEIDER ELECTRIC SA | Europe | INDUSTRIALS | 1,556 | 4 | 516,656,179 | (3,462,073) | 100 | 76.00 | (1.00) | ConvSpread |
| SCOR SE | Europe | FINANCIALS | 1,303 | 1 | 219,687,992 | 3,248,683 | 100 | 102.00 | (1.50) | ConvSpread |
| SEAGATE TECHNOLOGY HDD HOLDINGS | Americas | TECHNOLOGY | 633 | (2) | 207,387,855 | (15,844,899) | 500 | 180.00 | 0 | ConvSpread |
| SEALED AIR CORPORATION | Americas | INDUSTRIALS | 1,893 | 2 | 368,818,135 | (909,866) | 100 | 183.00 | 3.50 | ConvSpread |
| SEARS ROEBUCK ACCEPTANCE CORP. | Americas | FINANCIALS | 1,944 | 37 | 390,271,774 | 2,730,205 | 500 | 4.00 | (0.25) | Upfront |
| SECURITAS AB | Europe | INDUSTRIALS | 1,149 | (1) | 365,315,715 | (2,800,892) | 100 | 110.00 | 0 | ConvSpread |
| SEMPRA ENERGY | Americas | UTILITIES | 1,821 | 6 | 966,447,186 | (2,677,286) | 100 | 35.50 | (1.50) | ConvSpread |
| SES | Europe | TELECOMMUNICATIONS SERVICES | 1,216 | 1 | 387,059,849 | (3,647,795) | 100 | 58.00 | 1.00 | ConvSpread |
| SHARP CORPORATION | Japan | CONSUMER GOODS | 1,657 | 12 | 356,467,615 | (5,619,832) | 100 | 19.00 | 0 | Upfront |
| SHIMIZU CORPORATION | Japan | INDUSTRIALS | 556 | 7 | 308,508,190 | (22,022,943) | 100 | 56.00 | (1.50) | ConvSpread |
| SIEMENS AKTIENGESELLSCHAFT | Europe | INDUSTRIALS | 3,379 | (1) | 2,149,536,664 | 12,650,577 | 100 | 51.50 | 3.50 | ConvSpread |
| SIMON PROPERTY GROUP, L.P. | Americas | FINANCIALS | 2,296 | 3 | 1,064,986,933 | (16,444,573) | 100 | 49.50 | 1.00 | ConvSpread |
| SINGTEL OPTUS PTY LIMITED | Australia NZ | TELECOMMUNICATIONS SERVICES | 504 | (2) | 186,335,559 | (257,278) | 100 | 59.00 | 0 | ConvSpread |
| SLM CORPORATION | Americas | FINANCIALS | 2,877 | (9) | 1,202,319,880 | 40,123,399 | 500 | 276.00 | 0.50 | ConvSpread |
| SLOVAK REPUBLIC | Europe | GOVERNMENT | 1,024 | (1) | 890,994,050 | (500,245) | 100 | 87.50 | 0 | ConvSpread |
| SMBC CONSUMER FINANCE CO.,LTD. | Japan | FINANCIALS | 1,861 | 2 | 349,219,847 | (12,045,690) | 100 | 60.00 | 0 | ConvSpread |
| SMITHFIELD FOODS, INC. | Americas | CONSUMER GOODS | 1,588 | 63 | 390,738,838 | 4,681,001 | 500 | 252.50 | 13.00 | ConvSpread |
| SMITHS GROUP PLC | Europe | INDUSTRIALS | 1,080 | 0 | 307,589,214 | (1,512,705) | 100 | 90.00 | (4.00) | ConvSpread |
| SMURFIT KAPPA FUNDING PUBLIC LIMITED COMPANY | Europe | INDUSTRIALS | 1,797 | 17 | 209,853,013 | (716,438) | 500 | 112.00 | 2.00 | ConvSpread |
| SOCIALIST REPUBLIC OF VIETNAM | Asia Ex-Japan | GOVERNMENT | 1,169 | 0 | 506,195,000 | 0.00 | 100 | 192.50 | 0 | ConvSpread |
| SOCIETE AIR FRANCE | Europe | INDUSTRIALS | 2,651 | 6 | 706,461,725 | (21,514,823) | 500 | 435.00 | 0 | ConvSpread |
| SOCIETE GENERALE | Europe | FINANCIALS | 4,703 | 11 | 2,005,620,896 | 47,655,515 | 100 | 156.50 | N/A | ConvSpread |
| SODEXO | Europe | CONSUMER SERVICES | 1,718 | (27) | 696,114,708 | (4,873,604) | 100 | 58.50 | 1.00 | ConvSpread |
| SOFTBANK CORP. | Japan | TECHNOLOGY | 792 | 9 | 423,797,337 | (11,865,278) | 100 | 140.00 | 0 | ConvSpread |
| SOLVAY | Europe | BASIC MATERIALS | 1,998 | (5) | 522,144,987 | (46,220,437) | 100 | 95.50 | (4.00) | ConvSpread |
| SOMPO JAPAN INSURANCE INC. | Japan | FINANCIALS | 309 | 0 | 365,632,253 | (8,911,516) | 100 | 38.50 | 0 | ConvSpread |
| SONY CORPORATION | Japan | CONSUMER GOODS | 2,449 | 18 | 982,733,928 | (12,652,221) | 100 | 148.00 | 1.00 | ConvSpread |
| SOUTHWEST AIRLINES CO. | Americas | INDUSTRIALS | 3,339 | 17 | 1,187,726,601 | (20,047,424) | 100 | 93.50 | 0 | ConvSpread |
| SPECTRA ENERGY CAPITAL, LLC | Americas | ENERGY | 1,370 | (2) | 616,010,517 | (3,275,905) | 100 | 92.00 | (3.00) | ConvSpread |
| SPRINGLEAF FINANCE CORPORATION | Americas | FINANCIALS | 911 | 4 | 568,614,298 | 6,727,841 | 500 | 377.50 | (15.00) | ConvSpread |
| SPRINT NEXTEL CORPORATION | Americas | TELECOMMUNICATIONS SERVICES | 4,244 | 17 | 1,350,915,514 | (34,508,721) | 500 | 312.50 | 2.50 | ConvSpread |
| SSE PLC | Europe | UTILITIES | 457 | 2 | 355,477,133 | (9,429,198) | 100 | 100.50 | 0 | ConvSpread |
| STANDARD CHARTERED BANK | Europe | FINANCIALS | 2,206 | 10 | 875,273,037 | 13,923,449 | 100 | 101.00 | (4.50) | ConvSpread |
| STANDARD PACIFIC CORP. | Americas | CONSUMER GOODS | 1,497 | 3 | 399,456,412 | 3,872,251 | 500 | 222.50 | (5.00) | ConvSpread |
| STANLEY BLACK & DECKER, INC. | Americas | CONSUMER GOODS | 1,674 | 0 | 690,763,121 | (434,237) | 100 | 62.00 | 0 | ConvSpread |
| STAPLES, INC. | Americas | CONSUMER SERVICES | 1,711 | 9 | 776,074,511 | 25,761,389 | 100 | 214.00 | (2.50) | ConvSpread |
| STARWOOD HOTELS & RESORTS WORLDWIDE, INC. | Americas | CONSUMER SERVICES | 2,679 | (9) | 1,339,688,038 | (8,843,789) | 100 | 68.00 | 2.00 | ConvSpread |
| STATE OF CALIFORNIA | Americas | GOVERNMENT | 877 | (1) | 740,100,000 | (14,000,000) | 100 | 63.00 | (4.00) | ConvSpread |
| STATE OF FLORIDA | Americas | GOVERNMENT | 308 | 1 | 229,500,000 | 0.00 | 100 | 35.00 | (2.00) | ConvSpread |
| STATE OF ILLINOIS | Americas | GOVERNMENT | 484 | 2 | 351,700,000 | 0.00 | 100 | 120.00 | (1.00) | ConvSpread |
| STATE OF ISRAEL | Europe | GOVERNMENT | 1,574 | 14 | 1,723,787,267 | 22,104,877 | 100 | 121.00 | 1.00 | ConvSpread |
| STATE OF NEW JERSEY | Americas | GOVERNMENT | 339 | 0 | 307,981,000 | 0.00 | 100 | 58.00 | 4.00 | ConvSpread |
| STATE OF NEW YORK | Americas | GOVERNMENT | 215 | 0 | 320,700,000 | 0.00 | 100 | 32.00 | (2.00) | ConvSpread |
| STATE OF QATAR | Europe | GOVERNMENT | 1,283 | (8) | 1,045,577,275 | (260,409) | 100 | 67.00 | (1.50) | ConvSpread |
| STATE OF TEXAS | Americas | GOVERNMENT | 155 | 0 | 160,400,000 | 0.00 | 100 | 31.00 | 0 | ConvSpread |
| STATOIL ASA | Europe | ENERGY | 1,086 | 1 | 733,927,767 | (8,687,187) | 100 | 42.00 | (2.50) | ConvSpread |
| STENA AKTIEBOLAG | Europe | INDUSTRIALS | 1,743 | 25 | 705,830,329 | (7,876,936) | 500 | 366.00 | (4.00) | ConvSpread |
| STMICROELECTRONICS N.V. | Europe | TECHNOLOGY | 2,732 | (17) | 806,427,723 | 30,033,189 | 100 | 85.00 | 2.00 | ConvSpread |
| STORA ENSO OYJ | Europe | BASIC MATERIALS | 3,824 | 67 | 1,280,442,423 | (24,355,915) | 500 | 287.50 | (5.00) | ConvSpread |
| SUEDZUCKER AKTIENGESELLSCHAFT MANNHEIM/OCHSENFURT | Europe | CONSUMER GOODS | 1,696 | (5) | 660,640,242 | (6,276,624) | 100 | 49.00 | (0.50) | ConvSpread |
| SUMITOMO CHEMICAL COMPANY, LIMITED | Japan | BASIC MATERIALS | 625 | 1 | 378,548,007 | (9,801,145) | 100 | 85.00 | 3.00 | ConvSpread |
| SUMITOMO CORPORATION | Japan | INDUSTRIALS | 840 | (1) | 407,131,586 | (17,225,157) | 100 | 41.00 | (1.00) | ConvSpread |
| SUMITOMO MITSUI BANKING CORPORATION | Japan | FINANCIALS | 1,300 | 2 | 358,987,878 | (8,038,132) | 100 | 109.00 | 4.00 | ConvSpread |
| SUMITOMO REALTY & DEVELOPMENT CO., LTD. | Japan | FINANCIALS | 708 | 11 | 547,682,612 | (15,753,025) | 100 | 65.00 | 0 | ConvSpread |
| SUNCOR ENERGY INC. | Americas | ENERGY | 897 | 3 | 399,379,767 | (306,190) | 100 | 81.00 | 3.00 | ConvSpread |
| SUNGARD DATA SYSTEMS INC. | Americas | TECHNOLOGY | 970 | 3 | 242,579,293 | (1,676,397) | 500 | 330.00 | 0 | ConvSpread |
| SUNOCO, INC. | Americas | ENERGY | 1,503 | 29 | 369,938,537 | (4,807,303) | 100 | 60.00 | 3.50 | ConvSpread |
| SUNRISE COMMUNICATIONS HOLDINGS S.A. | Europe | FINANCIALS | 560 | 6 | 235,124,778 | (12,124,505) | 500 | 375.00 | (20.00) | ConvSpread |
| SUPERVALU INC. | Americas | CONSUMER SERVICES | 3,623 | 60 | 727,401,738 | 8,576,821 | 500 | 375.00 | (15.00) | ConvSpread |
| SVENSKA CELLULOSA AKTIEBOLAGET SCA | Europe | CONSUMER GOODS | 2,098 | (27) | 565,983,278 | 2,583,485 | 100 | 68.00 | 0 | ConvSpread |
| SWEDISH MATCH AB | Europe | CONSUMER GOODS | 1,409 | (6) | 303,640,092 | 4,544,011 | 100 | 64.50 | (0.50) | ConvSpread |
| SWISS CONFEDERATION | Europe | GOVERNMENT | 96 | 0 | 501,440,241 | (2,829,130) | 25 | 35.00 | 0 | ConvSpread |
| SWISS REINSURANCE COMPANY LTD | Europe | FINANCIALS | 5,428 | (45) | 1,380,505,689 | (33,387,564) | 100 | 80.50 | (6.50) | ConvSpread |
| SWISSCOM LTD. | Europe | TELECOMMUNICATIONS SERVICES | 695 | 0 | 376,873,865 | (4,352,370) | 100 | 48.00 | 0 | ConvSpread |
| SYNGENTA AG | Europe | BASIC MATERIALS | 1,423 | (1) | 508,618,033 | (3,011,401) | 100 | 42.50 | 0.50 | ConvSpread |
| TABCORP HOLDINGS LIMITED | Australia NZ | CONSUMER SERVICES | 359 | (1) | 182,141,467 | 14,927,879 | 100 | 152.00 | (3.00) | ConvSpread |
| TAISEI CORPORATION | Japan | INDUSTRIALS | 677 | 4 | 301,107,823 | (1,766,401) | 100 | 65.00 | 4.00 | ConvSpread |
| TALISMAN ENERGY INC. | Americas | ENERGY | 1,002 | 11 | 338,046,360 | 1,991,639 | 100 | 120.00 | 1.00 | ConvSpread |
| TARGET CORPORATION | Americas | CONSUMER SERVICES | 2,247 | 7 | 1,016,095,687 | 6,025,231 | 100 | 30.50 | (6.00) | ConvSpread |
| TATE & LYLE PUBLIC LIMITED COMPANY | Europe | CONSUMER GOODS | 2,320 | (4) | 773,420,387 | (4,149,852) | 100 | 58.00 | 0.50 | ConvSpread |
| TDC A/S | Europe | TELECOMMUNICATIONS SERVICES | 1,113 | 2 | 195,990,000 | (8,349,667) | 100 | 92.00 | (3.50) | ConvSpread |
| TE CONNECTIVITY LTD. | Americas | CONSUMER GOODS | 1,082 | 0 | 195,424,664 | (239,095) | 100 | 63.50 | 0 | ConvSpread |
| TECHNIP | Europe | ENERGY | 889 | 2 | 354,370,748 | 9,601,923 | 100 | 100.00 | (2.00) | ConvSpread |
| TECK RESOURCES LIMITED | Americas | ENERGY | 743 | 11 | 433,555,567 | 9,748,853 | 100 | 167.50 | 12.00 | ConvSpread |
| TECO ENERGY, INC. | Americas | UTILITIES | 616 | 0 | 95,494,296 | (440,336) | 100 | 48.00 | 0 | ConvSpread |
| TELECOM CORPORATION OF NEW ZEALAND LIMITED | Australia NZ | TELECOMMUNICATIONS SERVICES | 1,767 | 0 | 309,792,529 | (394,027) | 100 | 52.00 | 0 | ConvSpread |
| TELECOM ITALIA SPA | Europe | TELECOMMUNICATIONS SERVICES | 5,632 | 8 | 2,510,588,186 | (100,890,956) | 100 | 275.00 | 1.00 | ConvSpread |
| TELEFONAKTIEBOLAGET L M ERICSSON | Europe | TECHNOLOGY | 2,236 | 2 | 878,608,604 | 35,484,628 | 100 | 85.00 | 2.50 | ConvSpread |
| TELEFONICA, S.A. | Europe | TELECOMMUNICATIONS SERVICES | 4,813 | 17 | 2,878,335,635 | 25,754,282 | 100 | 185.00 | (2.00) | ConvSpread |
| TELEKOM AUSTRIA AKTIENGESELLSCHAFT | Europe | TELECOMMUNICATIONS SERVICES | 2,535 | 7 | 979,991,931 | (14,780,908) | 100 | 129.00 | (2.00) | ConvSpread |
| TELEKOMUNIKACJA POLSKA SPOLKA AKCYJNA | Europe | TELECOMMUNICATIONS SERVICES | 433 | 0 | 183,737,835 | (1,640,958) | 100 | 113.00 | 0 | ConvSpread |
| TELENOR ASA | Europe | TELECOMMUNICATIONS SERVICES | 2,167 | (4) | 754,933,263 | (4,453,791) | 100 | 38.50 | (2.00) | ConvSpread |
| TELIASONERA AKTIEBOLAG | Europe | TELECOMMUNICATIONS SERVICES | 3,216 | (5) | 1,065,343,016 | (12,185,812) | 100 | 38.50 | (2.00) | ConvSpread |
| TELSTRA CORPORATION LIMITED | Australia NZ | TELECOMMUNICATIONS SERVICES | 3,151 | 2 | 1,063,087,453 | (15,120,868) | 100 | 63.50 | (3.00) | ConvSpread |
| TELUS CORPORATION | Americas | TELECOMMUNICATIONS SERVICES | 1,288 | (4) | 482,787,523 | (370,877) | 100 | 25.50 | (4.00) | ConvSpread |
| TEMPLE-INLAND INC. | Americas | INDUSTRIALS | 2,900 | 0 | 802,818,704 | (673,742) | 100 | 24.50 | (2.50) | ConvSpread |
| TENET HEALTHCARE CORPORATION | Americas | HEALTHCARE | 1,427 | 11 | 347,023,245 | 14,457,781 | 500 | 245.00 | 2.00 | ConvSpread |
| TESCO PLC | Europe | CONSUMER SERVICES | 2,896 | (7) | 1,365,547,496 | (13,634,374) | 100 | 70.50 | (3.00) | ConvSpread |
| TESORO CORPORATION | Americas | ENERGY | 1,402 | 2 | 424,172,297 | (1,815,790) | 500 | 182.00 | (5.00) | ConvSpread |
| TEVA PHARMACEUTICAL INDUSTRIES LIMITED | Americas | HEALTHCARE | 343 | 0 | 203,622,413 | (159,893) | 100 | 67.50 | (10.50) | ConvSpread |
| TEXAS COMPETITIVE ELECTRIC HOLDINGS COMPANY LLC | Americas | UTILITIES | 4,062 | 44 | 904,585,913 | 18,519,048 | 500 | 85.50 | (1.00) | Upfront |
| TEXAS INSTRUMENTS INCORPORATED | Americas | TECHNOLOGY | 758 | 1 | 254,528,612 | (4,341,333) | 100 | 39.50 | 0 | ConvSpread |
| TEXTRON FINANCIAL CORPORATION | Americas | INDUSTRIALS | 2,085 | (6) | 826,144,309 | (1,568,909) | 100 | 29.50 | 2.00 | ConvSpread |
| TEXTRON INC. | Americas | INDUSTRIALS | 1,432 | 12 | 505,600,375 | (67,426) | 100 | 119.00 | (13.00) | ConvSpread |
| THALES | Europe | INDUSTRIALS | 1,452 | (3) | 421,045,264 | (3,962,493) | 100 | 71.00 | (3.50) | ConvSpread |
| THE AES CORPORATION | Americas | UTILITIES | 1,252 | 3 | 355,075,268 | 4,225,936 | 500 | 215.00 | (2.00) | ConvSpread |
| THE ALLSTATE CORPORATION | Americas | FINANCIALS | 1,875 | 18 | 626,631,482 | (10,287,080) | 100 | 35.50 | 0 | ConvSpread |
| THE BANK OF TOKYO-MITSUBISHI UFJ, LTD. | Japan | FINANCIALS | 1,720 | 6 | 603,571,639 | (3,458,589) | 100 | 104.00 | 1.00 | ConvSpread |
| THE BLACK & DECKER CORPORATION | Americas | CONSUMER GOODS | 1,898 | 1 | 704,557,414 | (5,242,888) | 100 | 33.00 | 0 | ConvSpread |
| THE BOEING COMPANY | Americas | INDUSTRIALS | 1,176 | 15 | 743,600,117 | 4,033,198 | 100 | 41.50 | 1.00 | ConvSpread |
| THE CHUBB CORPORATION | Americas | FINANCIALS | 1,508 | 8 | 557,145,472 | (3,876,670) | 100 | 29.50 | 0 | ConvSpread |
| THE CITY OF NEW YORK | Americas | GOVERNMENT | 356 | 0 | 397,000,000 | 0.00 | 100 | 58.00 | 2.00 | ConvSpread |
| THE CLOROX COMPANY | Americas | CONSUMER GOODS | 907 | 0 | 263,012,704 | (581,428) | 100 | 48.00 | 0 | ConvSpread |
| THE COCA-COLA COMPANY | Americas | CONSUMER GOODS | 492 | 0 | 470,485,134 | 118,436 | 100 | 33.50 | 0 | ConvSpread |
| THE COMMONWEALTH OF MASSACHUSETTS | Americas | GOVERNMENT | 101 | 0 | 154,000,000 | 0.00 | 100 | 41.00 | (2.00) | ConvSpread |
| THE DOW CHEMICAL COMPANY | Americas | BASIC MATERIALS | 2,879 | (9) | 1,479,482,472 | (18,126,352) | 100 | 87.50 | (2.00) | ConvSpread |
| THE GAP, INC. | Americas | CONSUMER SERVICES | 3,020 | 22 | 765,682,299 | 19,489,201 | 100 | 85.00 | (3.50) | ConvSpread |
| THE GOLDMAN SACHS GROUP, INC. | Americas | FINANCIALS | 6,354 | 12 | 4,205,404,398 | (16,499,014) | 100 | 102.50 | 0 | ConvSpread |
| THE GOODYEAR TIRE & RUBBER COMPANY | Americas | CONSUMER GOODS | 1,866 | 57 | 512,051,712 | (15,263,216) | 500 | 435.00 | (10.00) | ConvSpread |
| THE HARTFORD FINANCIAL SERVICES GROUP, INC. | Americas | FINANCIALS | 2,324 | 2 | 851,462,827 | (62,378,008) | 100 | 92.00 | 0 | ConvSpread |
| THE HERSHEY COMPANY | Americas | CONSUMER GOODS | 913 | 7 | 347,552,573 | (774,063) | 100 | 40.00 | 0 | ConvSpread |
| THE HERTZ CORPORATION | Americas | CONSUMER SERVICES | 1,833 | 7 | 308,304,793 | 7,309,465 | 500 | 205.00 | (2.50) | ConvSpread |
| THE HILLSHIRE BRANDS COMPANY | Americas | CONSUMER GOODS | 3,017 | 29 | 891,888,432 | 9,366,063 | 100 | 87.00 | (0.50) | ConvSpread |
| THE HOME DEPOT, INC. | Americas | CONSUMER SERVICES | 2,800 | 5 | 1,144,505,924 | 3,044,266 | 100 | 30.50 | (1.00) | ConvSpread |
| THE INTERPUBLIC GROUP OF COMPANIES, INC. | Americas | CONSUMER SERVICES | 1,113 | 1 | 261,862,123 | (2,134,071) | 100 | 109.00 | (10.50) | ConvSpread |
| THE JONES GROUP INC. | Americas | CONSUMER GOODS | 3,788 | 18 | 1,033,216,647 | 26,218,134 | 500 | 286.00 | (4.50) | ConvSpread |
| THE KANSAI ELECTRIC POWER COMPANY, INCORPORATED | Japan | UTILITIES | 401 | 7 | 224,261,870 | (5,823,691) | 100 | 90.00 | 5.00 | ConvSpread |
| THE KROGER CO. | Americas | CONSUMER SERVICES | 2,981 | 9 | 1,345,073,157 | (2,458,182) | 100 | 66.50 | (3.00) | ConvSpread |
| THE LUBRIZOL CORPORATION | Americas | BASIC MATERIALS | 840 | 0 | 248,332,587 | (552,839) | 100 | 23.00 | 0 | ConvSpread |
| THE MCCLATCHY COMPANY | Americas | CONSUMER SERVICES | 3,330 | 12 | 699,089,349 | (9,640,728) | 500 | 8.75 | 0.25 | Upfront |
| THE NEIMAN MARCUS GROUP, INC. | Americas | CONSUMER SERVICES | 2,084 | 21 | 250,979,052 | 3,284,100 | 500 | 204.50 | (0.50) | ConvSpread |
| THE NEW YORK TIMES COMPANY | Americas | CONSUMER SERVICES | 3,137 | 12 | 881,634,491 | (7,875,145) | 100 | 220.00 | 5.50 | ConvSpread |
| THE NIELSEN COMPANY B.V. | Europe | CONSUMER SERVICES | 1,667 | 0 | 197,541,221 | (2,160,129) | 100 | 65.00 | N/A | ConvSpread |
| THE PROCTER & GAMBLE COMPANY | Americas | CONSUMER GOODS | 1,568 | 2 | 1,774,776,129 | (5,089,630) | 100 | 32.50 | (2.00) | ConvSpread |
| THE RANK GROUP PLC | Europe | CONSUMER SERVICES | 1,071 | 0 | 213,785,807 | (2,202,969) | 100 | 180.00 | 15.00 | ConvSpread |
| THE ROYAL BANK OF SCOTLAND PUBLIC LIMITED COMPANY | Europe | FINANCIALS | 6,347 | 32 | 2,617,314,344 | (53,190,799) | 100 | 157.50 | (4.00) | ConvSpread |
| THE RYLAND GROUP, INC. | Americas | CONSUMER GOODS | 2,497 | 7 | 819,647,807 | 908,073 | 500 | 190.00 | 0 | ConvSpread |
| THE SERVICEMASTER COMPANY | Americas | CONSUMER SERVICES | 576 | 2 | 212,721,328 | 95,726 | 500 | 465.00 | (35.00) | ConvSpread |
| THE SHERWIN-WILLIAMS COMPANY | Americas | CONSUMER GOODS | 2,301 | 3 | 1,430,465,032 | (17,072,715) | 100 | 33.50 | (2.00) | ConvSpread |
| THE TJX COMPANIES, INC. | Americas | CONSUMER SERVICES | 1,373 | 2 | 801,402,009 | (5,463,044) | 500 | 38.50 | N/A | ConvSpread |
| THE TRAVELERS COMPANIES, INC. | Americas | FINANCIALS | 1,046 | (5) | 361,698,201 | (1,945,863) | 100 | 36.50 | 0 | ConvSpread |
| THE WALT DISNEY COMPANY | Americas | CONSUMER SERVICES | 2,013 | 6 | 636,145,980 | 7,131,854 | 100 | 14.50 | 0.50 | ConvSpread |
| THE WESTERN UNION COMPANY | Americas | FINANCIALS | 1,135 | 6 | 384,039,106 | 3,320,547 | 100 | 177.50 | 0 | ConvSpread |
| THE WILLIAMS COMPANIES, INC. | Americas | ENERGY | 1,034 | 3 | 296,948,291 | (10,352,677) | 100 | 100.00 | (3.00) | ConvSpread |
| THOMSON REUTERS GROUP LIMITED | Europe | CONSUMER SERVICES | 1,835 | 0 | 358,126,665 | (4,278,833) | 100 | 30.00 | 3.00 | ConvSpread |
| THYSSENKRUPP AG | Europe | BASIC MATERIALS | 4,442 | 29 | 1,965,505,256 | (14,355,177) | 100 | 250.00 | (7.50) | ConvSpread |
| TIME WARNER CABLE INC. | Americas | CONSUMER SERVICES | 1,123 | 18 | 608,350,533 | 3,701,264 | 100 | 90.50 | 0 | ConvSpread |
| TIME WARNER INC. | Americas | CONSUMER SERVICES | 2,843 | 4 | 1,159,297,717 | (9,004,829) | 100 | 44.50 | 2.00 | ConvSpread |
| TOKIO MARINE & NICHIDO FIRE INSURANCE CO., LTD. | Japan | FINANCIALS | 609 | 0 | 507,961,918 | (12,841,152) | 100 | 35.00 | (1.00) | ConvSpread |
| TOKYO ELECTRIC POWER COMPANY,INCORPORATED | Japan | UTILITIES | 1,286 | 3 | 201,293,986 | 16,203 | 100 | 200.00 | 0 | ConvSpread |
| TOKYO GAS CO., LTD. | Japan | UTILITIES | 213 | 0 | 287,319,297 | (7,253,800) | 100 | 28.00 | 0 | ConvSpread |
| TOLL BROTHERS, INC. | Americas | CONSUMER GOODS | 2,634 | 3 | 1,222,467,026 | (9,295,141) | 100 | 135.00 | (5.00) | ConvSpread |
| TOMKINS LIMITED | Europe | INDUSTRIALS | 1,540 | (1) | 341,421,466 | (2,358,570) | 500 | 80.00 | 0 | ConvSpread |
| TOSHIBA CORPORATION | Japan | INDUSTRIALS | 1,883 | 7 | 952,927,594 | (45,886,268) | 100 | 85.00 | (2.00) | ConvSpread |
| TOTAL SA | Europe | ENERGY | 1,706 | (20) | 1,212,224,524 | (9,411,695) | 100 | 39.00 | (2.50) | ConvSpread |
| TOYOTA MOTOR CORPORATION | Japan | CONSUMER GOODS | 1,859 | 9 | 1,269,060,674 | (14,089,055) | 100 | 33.00 | (0.50) | ConvSpread |
| TOYOTA MOTOR CREDIT CORPORATION | Japan | FINANCIALS | 826 | 4 | 515,396,708 | 3,291,771 | 100 | 63.50 | N/A | ConvSpread |
| TOYS "R" US, INC. | Americas | CONSUMER SERVICES | 2,226 | 18 | 368,871,228 | (5,475,400) | 500 | 3.50 | (0.38) | Upfront |
| TRANSCANADA PIPELINES LIMITED | Americas | ENERGY | 648 | 0 | 331,967,031 | (46,223) | 100 | 53.00 | (2.50) | ConvSpread |
| TRANSOCEAN INC. | Americas | ENERGY | 2,862 | 70 | 983,480,137 | (8,659,834) | 100 | 128.50 | 0 | ConvSpread |
| TRW AUTOMOTIVE INC. | Americas | CONSUMER GOODS | 1,739 | 3 | 523,959,742 | (1,879,256) | 100 | 162.00 | (6.00) | ConvSpread |
| TUI AG | Europe | CONSUMER SERVICES | 2,521 | 0 | 616,550,405 | (11,499,730) | 500 | 285.00 | 5.00 | ConvSpread |
| TYCO INTERNATIONAL LTD. | Americas | INDUSTRIALS | 1,480 | 0 | 234,417,411 | (207,916) | 100 | 65.00 | 0 | ConvSpread |
| TYSON FOODS, INC. | Americas | CONSUMER GOODS | 2,814 | 24 | 999,219,972 | 10,324,702 | 100 | 96.00 | (3.00) | ConvSpread |
| UBS AG | Europe | FINANCIALS | 4,622 | (6) | 2,118,204,181 | (41,851,126) | 100 | 87.00 | (0.50) | ConvSpread |
| UKRAINE | Europe | GOVERNMENT | 3,018 | (6) | 873,132,541 | 9,873,578 | 500 | 610.00 | 20.00 | ConvSpread |
| UNIBAIL-RODAMCO SE | Europe | FINANCIALS | 1,202 | 0 | 427,102,070 | (3,571,692) | 100 | 89.00 | (2.00) | ConvSpread |
| UNICREDIT BANK AG | Europe | FINANCIALS | 1,671 | 0 | 244,877,889 | (15,642,659) | 100 | 168.00 | 0 | ConvSpread |
| UNICREDIT, SOCIETA PER AZIONI | Europe | FINANCIALS | 5,868 | 31 | 3,421,822,793 | (36,036,205) | 500 | 274.00 | N/A | ConvSpread |
| UNILEVER N.V. | Europe | CONSUMER GOODS | 2,733 | (7) | 1,350,780,625 | 4,380,119 | 100 | 24.50 | 0 | ConvSpread |
| UNION PACIFIC CORPORATION | Americas | INDUSTRIALS | 1,853 | 12 | 1,012,949,539 | (3,294,386) | 100 | 24.00 | 1.00 | ConvSpread |
| UNIPOL GRUPPO FINANZIARIO S.P.A. | Europe | FINANCIALS | 571 | (1) | 213,010,599 | (2,352,862) | 100 | 225.00 | (25.00) | ConvSpread |
| UNISYS CORPORATION | Americas | TECHNOLOGY | 895 | 18 | 241,905,483 | (1,679,019) | 500 | 305.00 | (2.00) | ConvSpread |
| UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND | Europe | GOVERNMENT | 4,153 | (32) | 7,217,142,469 | (19,219,357) | 100 | 47.50 | 0 | ConvSpread |
| UNITED MEXICAN STATES | Americas | GOVERNMENT | 8,030 | 75 | 8,270,858,349 | (255,043,027) | 100 | 81.00 | 3.00 | ConvSpread |
| UNITED PARCEL SERVICE, INC. | Americas | INDUSTRIALS | 1,367 | 3 | 744,523,210 | 1,811,631 | 100 | 25.50 | (3.00) | ConvSpread |
| UNITED RENTALS (NORTH AMERICA), INC. | Americas | INDUSTRIALS | 1,444 | 21 | 326,139,535 | 20,311,144 | 500 | 250.50 | (4.50) | ConvSpread |
| UNITED STATES CELLULAR CORPORATION | Americas | TELECOMMUNICATIONS SERVICES | 398 | 4 | 164,909,636 | 102,338 | 100 | 160.00 | 0 | ConvSpread |
| UNITED STATES OF AMERICA | Americas | GOVERNMENT | 1,000 | 3 | 3,264,099,645 | (33,216,539) | 25 | 30.50 | 0 | ConvSpread |
| UNITED STATES STEEL CORPORATION | Americas | BASIC MATERIALS | 2,227 | (81) | 698,694,052 | 11,022,971 | 500 | 5.50 | (0.50) | Upfront |
| UNITED TECHNOLOGIES CORPORATION | Americas | INDUSTRIALS | 779 | 3 | 479,406,487 | (20,016,390) | 100 | 42.50 | 0 | ConvSpread |
| UNITED UTILITIES PLC | Europe | UTILITIES | 2,449 | (22) | 728,289,949 | (16,216,101) | 100 | 142.50 | (2.50) | ConvSpread |
| UNITEDHEALTH GROUP INCORPORATED | Americas | HEALTHCARE | 1,485 | 1 | 653,281,020 | (2,466,438) | 100 | 45.50 | 1.00 | ConvSpread |
| UNITYMEDIA KABELBW GMBH | Europe | TELECOMMUNICATIONS SERVICES | 229 | N/A | 326,043,624 | N/A | 500 | 340.00 | (2.00) | ConvSpread |
| UNIVERSAL CORPORATION | Americas | CONSUMER GOODS | 907 | 0 | 432,770,872 | (427,694) | 100 | 92.50 | 0 | ConvSpread |
| UNIVERSAL HEALTH SERVICES, INC. | Americas | HEALTHCARE | 3,215 | 8 | 748,622,995 | (15,203,266) | 100 | 145.00 | (1.00) | ConvSpread |
| UNIVISION COMMUNICATIONS INC. | Americas | CONSUMER SERVICES | 769 | 6 | 203,314,344 | (3,739,339) | 500 | 300.00 | (5.00) | ConvSpread |
| UNUM GROUP | Americas | FINANCIALS | 1,042 | 0 | 233,101,304 | (377,169) | 100 | 122.50 | 0 | ConvSpread |
| UPC HOLDING B.V. | Europe | CONSUMER SERVICES | 2,311 | (2) | 834,840,258 | 15,438,396 | 500 | 380.00 | (5.00) | ConvSpread |
| UPM-KYMMENE OYJ | Europe | BASIC MATERIALS | 3,577 | 44 | 1,210,814,424 | 45,310,327 | 500 | 267.50 | 2.00 | ConvSpread |
| UST LLC | Americas | CONSUMER GOODS | 1,683 | 1 | 623,359,962 | 207,456 | 100 | 18.00 | (0.50) | ConvSpread |
| V.F. CORPORATION | Americas | CONSUMER GOODS | 1,640 | 4 | 520,902,313 | 7,216,577 | 100 | 37.00 | (0.50) | ConvSpread |
| VALE CANADA LIMITED | Americas | BASIC MATERIALS | 682 | 2 | 179,122,888 | (937,642) | 100 | 59.00 | 1.00 | ConvSpread |
| VALE SA | Americas | BASIC MATERIALS | 850 | 0 | 624,466,831 | (173,265) | 100 | 167.00 | (6.50) | ConvSpread |
| VALEO | Europe | CONSUMER GOODS | 3,787 | (10) | 1,158,114,560 | (2,526,839) | 100 | 138.00 | 0.50 | ConvSpread |
| VALERO ENERGY CORPORATION | Americas | ENERGY | 2,197 | 106 | 774,193,434 | (33,940,579) | 100 | 99.00 | (1.50) | ConvSpread |
| VATTENFALL AKTIEBOLAG | Europe | UTILITIES | 1,576 | (2) | 528,936,013 | (5,034,922) | 100 | 50.00 | (1.50) | ConvSpread |
| VEOLIA ENVIRONNEMENT | Europe | UTILITIES | 3,184 | 2 | 1,490,293,170 | (27,321,192) | 100 | 124.00 | (3.50) | ConvSpread |
| VERIZON COMMUNICATIONS INC. | Americas | TELECOMMUNICATIONS SERVICES | 3,382 | (9) | 1,447,244,842 | 39,885,159 | 100 | 67.50 | (5.00) | ConvSpread |
| VIACOM INC. | Americas | CONSUMER SERVICES | 1,813 | 2 | 749,517,961 | (669,603) | 100 | 53.50 | (2.00) | ConvSpread |
| VINCI | Europe | INDUSTRIALS | 3,089 | 6 | 947,903,561 | (28,254,554) | 100 | 94.00 | (1.00) | ConvSpread |
| VIRGIN MEDIA FINANCE PLC | Europe | TELECOMMUNICATIONS SERVICES | 2,431 | 11 | 540,202,651 | 15,038,990 | 500 | 360.00 | (15.00) | ConvSpread |
| VIVENDI | Europe | TELECOMMUNICATIONS SERVICES | 3,464 | (9) | 1,313,907,095 | (16,558,263) | 100 | 117.00 | (1.00) | ConvSpread |
| VODAFONE GROUP PUBLIC LIMITED COMPANY | Europe | TELECOMMUNICATIONS SERVICES | 3,713 | 6 | 1,503,001,170 | (35,577,085) | 100 | 63.00 | (4.00) | ConvSpread |
| VOLKSWAGEN AKTIENGESELLSCHAFT | Europe | CONSUMER GOODS | 4,517 | 1 | 3,161,765,611 | 7,700,899 | 100 | 77.00 | (3.00) | ConvSpread |
| VORNADO REALTY L.P. | Americas | FINANCIALS | 1,549 | 0 | 536,475,454 | (1,704,951) | 100 | 64.50 | (5.00) | ConvSpread |
| VULCAN MATERIALS COMPANY | Americas | INDUSTRIALS | 687 | 6 | 391,330,887 | 1,766,653 | 500 | 194.50 | (0.50) | ConvSpread |
| WAL-MART STORES, INC. | Americas | CONSUMER SERVICES | 2,228 | 7 | 1,451,688,731 | (2,679,843) | 100 | 28.50 | (3.00) | ConvSpread |
| WASTE MANAGEMENT, INC. | Americas | INDUSTRIALS | 1,506 | (2) | 738,139,000 | (735,250) | 100 | 73.00 | 0 | ConvSpread |
| WEATHERFORD INTERNATIONAL LTD. | Americas | ENERGY | 1,156 | 26 | 639,139,794 | 11,804,028 | 100 | 158.00 | (4.00) | ConvSpread |
| WEATHERFORD INTERNATIONAL, INC. | Americas | ENERGY | 550 | 1 | 286,583,354 | (406,895) | 100 | 143.00 | 0 | ConvSpread |
| WEINGARTEN REALTY INVESTORS | Americas | FINANCIALS | 321 | 0 | 175,050,931 | (604,839) | 100 | 97.00 | 0 | ConvSpread |
| WELLPOINT, INC. | Americas | HEALTHCARE | 772 | 0 | 257,721,128 | 22,422 | 100 | 70.50 | (1.00) | ConvSpread |
| WELLS FARGO & COMPANY | Americas | FINANCIALS | 5,555 | 6 | 3,533,769,587 | (1,494,405) | 100 | 62.00 | (0.50) | ConvSpread |
| WENDEL | Europe | FINANCIALS | 2,366 | 19 | 565,398,791 | (10,078,808) | 500 | 227.50 | (4.50) | ConvSpread |
| WENDY'S INTERNATIONAL, INC. | Americas | CONSUMER SERVICES | 1,432 | 2 | 411,257,452 | (486,888) | 100 | 260.00 | 10.00 | ConvSpread |
| WESFARMERS LIMITED | Australia NZ | CONSUMER SERVICES | 1,171 | 1 | 708,073,852 | 296,544 | 100 | 64.50 | (1.00) | ConvSpread |
| WESTFIELD MANAGEMENT LTD AS RESPONSIBLE ENTITY OF THE WESTFIELD TRUST | Australia NZ | FINANCIALS | 1,797 | 2 | 662,195,644 | (16,357,420) | 100 | 100.00 | 0 | ConvSpread |
| WESTPAC BANKING CORPORATION | Australia NZ | FINANCIALS | 1,616 | (3) | 883,645,972 | (79,411,601) | 100 | 72.50 | (1.00) | ConvSpread |
| WEYERHAEUSER COMPANY | Americas | BASIC MATERIALS | 3,513 | (29) | 1,080,646,424 | (9,844,884) | 100 | 86.50 | 0 | ConvSpread |
| WHIRLPOOL CORPORATION | Americas | CONSUMER GOODS | 3,514 | 8 | 1,355,846,118 | 18,304,775 | 100 | 94.50 | 0 | ConvSpread |
| WIND ACQUISITION FINANCE S.A. | Europe | TELECOMMUNICATIONS SERVICES | 2,406 | 13 | 456,343,492 | 4,218,312 | 500 | 476.14 | (18.86) | ConvSpread |
| WINDSTREAM CORPORATION | Americas | TELECOMMUNICATIONS SERVICES | 2,458 | (42) | 608,538,596 | 24,388,266 | 500 | 362.50 | 5.00 | ConvSpread |
| WOLTERS KLUWER N.V. | Europe | CONSUMER SERVICES | 3,407 | 3 | 1,174,430,788 | (13,397,605) | 100 | 80.00 | (3.00) | ConvSpread |
| WOODSIDE PETROLEUM LTD. | Australia NZ | ENERGY | 698 | 8 | 412,334,507 | 8,400,096 | 100 | 88.50 | (3.50) | ConvSpread |
| WOOLWORTHS LTD | Australia NZ | CONSUMER SERVICES | 769 | 1 | 261,121,748 | (2,942,961) | 100 | 64.00 | (0.50) | ConvSpread |
| WPP 2005 LIMITED | Europe | CONSUMER SERVICES | 2,422 | 1 | 687,507,860 | (5,902,844) | 100 | 70.00 | 1.00 | ConvSpread |
| WYETH LLC | Americas | HEALTHCARE | 1,540 | 2 | 736,758,024 | (44,645) | 100 | 15.50 | 4.00 | ConvSpread |
| WYNDHAM WORLDWIDE CORPORATION | Americas | CONSUMER SERVICES | 207 | 2 | 173,204,433 | 3,896,541 | 100 | 83.00 | 0 | ConvSpread |
| XCEL ENERGY INC. | Americas | UTILITIES | 355 | 0 | 163,536,751 | 57,044 | 100 | 38.00 | 2.00 | ConvSpread |
| XEROX CORPORATION | Americas | TECHNOLOGY | 1,665 | 7 | 970,473,487 | (18,291,255) | 100 | 158.00 | 0.50 | ConvSpread |
| XLIT LTD. | Americas | FINANCIALS | 2,544 | 23 | 1,084,057,060 | 23,588,402 | 100 | 54.00 | 0 | ConvSpread |
| XSTRATA CANADA CORPORATION | Americas | BASIC MATERIALS | 675 | (5) | 214,878,153 | (384,269) | 100 | 62.50 | (7.00) | ConvSpread |
| XSTRATA PLC | Europe | BASIC MATERIALS | 2,157 | (9) | 815,849,511 | (42,439,474) | 100 | 92.00 | (5.00) | ConvSpread |
| XTO ENERGY INC. | Americas | ENERGY | 910 | 17 | 287,730,570 | (7,083,922) | 100 | 13.00 | 0 | ConvSpread |
| YRC WORLDWIDE INC. | Americas | INDUSTRIALS | 478 | (9) | 122,637,627 | (680,575) | 500 | 31.00 | (1.50) | Upfront |
| YUM! BRANDS, INC. | Americas | CONSUMER SERVICES | 1,498 | 7 | 536,341,654 | 7,737,859 | 100 | 57.50 | 1.00 | ConvSpread |
| ZURICH INSURANCE COMPANY LTD | Europe | FINANCIALS | 4,222 | (6) | 1,628,239,405 | (9,703,890) | 100 | 91.50 | (4.50) | ConvSpread |