Blackthorn Investment

Blackthorn Investment as of June 30, 2012

Portfolio Holdings for Blackthorn Investment

Blackthorn Investment holds 0 positions in its portfolio as reported in the June 2012 quarterly 13F filing

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FORM 13F INFORMATION TABLE
                                     TITLE OF                            VALUE      SHRS/         INVEST    OTHER   VOTING
NAME OF ISSUER                       CLASS                CUSIP          x $1000    PUT/CALL      DISCRE    MNGRS   AUTHOR
1ST UNITED BANCORP  INC.             COM                  33740N105         155       25,000           SOLE      NA      SOLE
ACE LIMITED                          COM                  H0023R105       2,761       37,250           SOLE      NA      SOLE
AG MORTGAGE INVESTMENT TR            COM                  001228105         645       30,000           SOLE      NA      SOLE
ALCATEL-LUCENT ADS                   SPONSORED ADR        013904305         163      100,000           SOLE      NA      SOLE
ALEXANDRIA REAL ESTATE EQ            COM                  015271109       2,182       30,000           SOLE      NA      SOLE
ALLIANCE BANCORP INC OF P            COM                  01890A108         271       22,200           SOLE      NA      SOLE
AMER CMPS COMM                       COM                  024835100       3,149       70,000           SOLE      NA      SOLE
AMERICAN ASSETS TRUST INC            COM                  024013104       2,086       86,020           SOLE      NA      SOLE
AMERICAN CAP STRATEGIES L            COM                  02503Y103         704       70,000           SOLE      NA      SOLE
AMERICAN CAPITAL MORTGAGE            COM                  02504A104         954       40,000           SOLE      NA      SOLE
AMERICAN REA CAP                     COM                  02917L101       1,959      179,361           SOLE      NA      SOLE
AON PLC                              COM                  G0408V102         936       20,000           SOLE      NA      SOLE
APOLLO INVT CORP                     COM                  03761U106         307       40,000           SOLE      NA      SOLE
APOLLO RESIDENTIAL MORTGA            COM                  03763V102       1,639       85,000           SOLE      NA      SOLE
APPLE INC                            COM                  037833100       1,168        2,000           SOLE      NA      SOLE
ARES CAPITAL CORP                    COM                  04010L103         239       15,000           SOLE      NA      SOLE
ARLINGTON ASSET INVT CORP            COM                  041356205         487       22,424           SOLE      NA      SOLE
ATLAS PIPELINE PARTNERS L            COM                  049392103       2,339       75,000           SOLE      NA      SOLE
ATWOOD OCEANICS INC                  COM                  050095108       1,324       35,000           SOLE      NA      SOLE
AVALONBAY COMMUNITIES INC            COM                  053484101       1,132        8,000           SOLE      NA      SOLE
BANK MUTUAL CORP                     COM                  063750103         466      105,700           SOLE      NA      SOLE
BANK OF COMMERCE HLDS                COM                  06424J103         312       76,463           SOLE      NA      SOLE
BANKFINANCIAL CORP                   COM                  06643P104         320       42,463           SOLE      NA      SOLE
BASIC ENERGY SVCS INC NEW            COM                  06985P100       1,548      150,000           SOLE      NA      SOLE
BERRY PETE CO       CL A             COM                  085789105       1,071       27,000           SOLE      NA      SOLE
BHP BILLITON LTD     ADR             SPONSORED ADR        088606108       4,898       75,000           SOLE      NA      SOLE
BLACKROCK INC                        COM                  09247X101       1,359        8,000           SOLE      NA      SOLE
BMC SOFTWARE INC                     COM                  055921100         320        7,500           SOLE      NA      SOLE
BOFI HOLDINGINC                      COM                  05566U108         593       30,000           SOLE      NA      SOLE
BOSTON PROPERTIES INC  MA            COM                  101121101       2,276       21,000           SOLE      NA      SOLE
BRE PROPERTIES INC  CL A             CL A                 05564E106       2,601       52,000           SOLE      NA      SOLE
BROADCOM CORP       CL A             COM                  111320107         506       15,000           SOLE      NA      SOLE
BROCADE COMMUNICATIONS SY            COM                  111621306          64       13,000           SOLE      NA      SOLE
CAMERON INTL CORP                    COM                  13342B105       5,979      140,000           SOLE      NA      SOLE
CAPE BANCORP INC                     COM                  139209100         127       15,300           SOLE      NA      SOLE
CAPITAL ONE FINL    CORP             COM                  14040H105         820       15,000           SOLE      NA      SOLE
CAPITALSOURCE INC                    COM                  14055X102         538       80,000           SOLE      NA      SOLE
CARDINAL FINL CORP                   COM                  14149F109         499       40,600           SOLE      NA      SOLE
CATHAY GEN BANCORP                   COM                  149150104         248       15,000           SOLE      NA      SOLE
CELANESE CORP       SER A            COM SER A            150870103       2,597       75,000           SOLE      NA      SOLE
CENOVUS ENRG                         COM                  15135U109       3,975      125,000           SOLE      NA      SOLE
CENTRAL PAC FINL CORP                COM                  154760409         353       25,000           SOLE      NA      SOLE
CHARTER FINANCIAL CORP  W            COM                  16122M100         619       63,775           SOLE      NA      SOLE
CHESAPEAKE LODGING TRUST             SH BEN INT           165240102       1,137       66,021           SOLE      NA      SOLE
CHICAGO BRIDGE      & IRO            COM                  167250109       3,336       87,876           SOLE      NA      SOLE
CHICOPEE BANCORP                     COM                  168565109         478       33,000           SOLE      NA      SOLE
CIENA CORP                           COM                  171779309         516       31,494           SOLE      NA      SOLE
CISCO SYSTEMS INC                    COM                  17275R102         859       50,000           SOLE      NA      SOLE
CITIZENS REP BANCORP INC             COM                  174420307       1,028       60,000           SOLE      NA      SOLE
COBALT INTL ENERGY INC               COM                  19075F106       1,763       75,000           SOLE      NA      SOLE
COBIZ FINANCIAL INC                  COM                  190897108         792      126,500           SOLE      NA      SOLE
COLLECTIVE BRANDS   INC              COM                  19421W100       2,741      127,975           SOLE      NA      SOLE
COMSTOCK RES INC                     COM                  205768203         411       25,000           SOLE      NA      SOLE
CONCHO RESOURCES INC                 COM                  20605P101       1,064       12,500           SOLE      NA      SOLE
CONSOL ENERGY INC                    COM                  20854P109       4,838      160,000           SOLE      NA      SOLE
CORESITE REALTY CORP                 COM                  21870Q105         850       32,927           SOLE      NA      SOLE
CORNING INC                          COM                  219350105         388       30,000           SOLE      NA      SOLE
CUBESMART                            COM                  229663109       1,440      123,401           SOLE      NA      SOLE
CVR PARTNERS LP                      COM                  126633106         606       25,000           SOLE      NA      SOLE
DDR CORP                             COM                  23317H102         717       49,000           SOLE      NA      SOLE
DECKERS OUTDOOR CORP                 COM                  243537107       2,201       50,000           SOLE      NA      SOLE
DIAMOND OFFSHORE DRILLING            COM                  25271C102       6,652      112,500           SOLE      NA      SOLE
EASTERN VIRGINIA BANCSHAR            COM                  277196101         176       47,434           SOLE      NA      SOLE
EAST-WEST BANCORP INC                COM                  27579R104         938       40,000           SOLE      NA      SOLE
EBAY INC                             COM                  278642103         630       15,000           SOLE      NA      SOLE
ELECTRONIC ARTS INC                  COM                  285512109         185       15,000           SOLE      NA      SOLE
ELLINGTON FINANCIAL LLC              COM                  288522303         810       38,300           SOLE      NA      SOLE
EMC CORP MASS                        COM                  268648102         349       13,624           SOLE      NA      SOLE
ENBRIDGE ENERGY PARTNERS             COM                  29250R106       1,077       35,000           SOLE      NA      SOLE
ENERGY SELECT SECTOR SPDR            SBI INT-ENERGY       81369Y506         299        4,500           SOLE      NA      SOLE
ENTERPRISE FINL SVCS CORP            COM                  293712105         164       15,000           SOLE      NA      SOLE
ENTERTAINMENT PROPERTIES             COM SH BEN INT       29380T105       2,138       52,000           SOLE      NA      SOLE
EOG RES INC                          COM                  26875P101      13,967      155,000           SOLE      NA      SOLE
EQUITY ONE INC                       COM                  294752100         742       35,000           SOLE      NA      SOLE
ESSA BANCORP                         COM                  29667D104         648       60,000           SOLE      NA      SOLE
EV ENERGY PARTNERS L P               COM                  26926V107       1,009       20,000           SOLE      NA      SOLE
EVERBANK FINANCIAL CORP              COM                  29977G102         217       20,000           SOLE      NA      SOLE
EXTRA SPACE STORAGE INC              COM                  30225T102       1,000       32,680           SOLE      NA      SOLE
F5 NETWORKS INC                      COM                  315616102         299        3,000           SOLE      NA      SOLE
FACEBOOK INC                         COM                  30303M102         233        7,500           SOLE      NA      SOLE
FIFTH THIRD BANCORP                  COM                  316773100       1,162       86,687           SOLE      NA      SOLE
FINANCIAL SELECT SECTOR S            SBI INT-FINL         81369Y605       2,927      200,000           SOLE      NA      SOLE
FIRST CALIFORNIA    FINAN            COM                  319395109         475       69,100           SOLE      NA      SOLE
FIRST COMMONWEALTH FINANC            COM                  319829107         808      120,000           SOLE      NA      SOLE
FIRST DEFIANCE FINANCIAL             COM                  32006W106         491       28,700           SOLE      NA      SOLE
FIRST MIDWEST BANCORP INC            COM                  320867104         494       45,000           SOLE      NA      SOLE
FLOTEK INDS INC DEL                  COM                  343389102       5,604      600,000           SOLE      NA      SOLE
FLUOR CORP (NEW)                     COM                  343412102         987       20,000           SOLE      NA      SOLE
FORBES ENERGY SERVICES LT            COM                  345143101       1,293      275,000           SOLE      NA      SOLE
FORTINET INC                         COM                  34959E109         232       10,000           SOLE      NA      SOLE
FORUM ENERGY TECHNOLOGIES            COM                  34984V100         394       20,000           SOLE      NA      SOLE
FOX CHASE BANCORP   INC              COM                  35137T108         433       30,000           SOLE      NA      SOLE
FRANKLIN RESOURCES INC.              COM                  354613101         666        6,000           SOLE      NA      SOLE
FULTON FINL CORP PA                  COM                  360271100         999      100,000           SOLE      NA      SOLE
GASFRAC ENERGY      SERVI            COM                  367257201          54       17,661           SOLE      NA      SOLE
GAYLORD ENTMT CO NEW                 COM                  367905106         964       25,000           SOLE      NA      SOLE
GENESCO INC                          COM                  371532102       1,504       25,000           SOLE      NA      SOLE
GOLUB CAPITAL BDC INC                COM                  38173M102         226       15,000           SOLE      NA      SOLE
HAMPDEN BANCORP INC                  COM                  40867E107         512       39,539           SOLE      NA      SOLE
HANMI FINL CORP                      COM                  410495204         848       80,900           SOLE      NA      SOLE
HEALTH CARE REIT INC                 COM                  42217K106       2,478       42,500           SOLE      NA      SOLE
HERITAGE COMM CORP                   COM                  426927109         390       60,000           SOLE      NA      SOLE
HERITAGE FINANCIAL  GROUP            COM                  42726X102         386       30,000           SOLE      NA      SOLE
HIGHWOODS PROPERTIES INC             COM                  431284108       2,154       64,000           SOLE      NA      SOLE
HILLTOP HLDGS INC                    COM                  432748101         258       25,000           SOLE      NA      SOLE
HOME BANCORP INC                     COM                  43689E107         394       23,000           SOLE      NA      SOLE
HOME BANCSHARES INC/CONWA            COM                  436893200         917       30,000           SOLE      NA      SOLE
HORIZON TECHNOLOGY FINANC            COM                  44045A102         247       15,000           SOLE      NA      SOLE
HUDSON VALLEY HOLDING COR            COM                  444172100         453       25,000           SOLE      NA      SOLE
HYATT HOTELS CORP                    COM                  448579102       2,230       60,000           SOLE      NA      SOLE
INFINERA CORP                        COM                  45667G103         157       22,900           SOLE      NA      SOLE
INTERCONTINENTAL HOTELS G            SPONSORED ADR        45857P301         362       15,000           SOLE      NA      SOLE
INVESCO MORTGAGE CAPITAL             COM                  46131B100       1,100       60,000           SOLE      NA      SOLE
INVESTORS REAL ESTATE TR             SH BEN INT           461730103         436       55,000           SOLE      NA      SOLE
ISHARES IBOXX INV   GRADE            IBOXX INV CPBD       464287242         470        4,000           SOLE      NA      SOLE
JDS UNIPHASE CORP                    COM                  46612J507         398       36,149           SOLE      NA      SOLE
KBR INC                              COM                  48242W106       2,965      120,000           SOLE      NA      SOLE
KEYCORP NY                           COM                  493267108         387       50,000           SOLE      NA      SOLE
KILROY REALTY CORPORATION            COM                  49427F108       1,985       41,000           SOLE      NA      SOLE
KINDER MORGAN HOLDCO LLC             COM                  49456B101      12,888      400,000           SOLE      NA      SOLE
KIRBY CORP                           COM                  497266106       1,177       25,000           SOLE      NA      SOLE
LASALLE HOTEL PROPERTIES             COM SH BEN INT       517942108       1,526       52,356           SOLE      NA      SOLE
LEXINGTON REALTY    TRUST            COM                  529043101         468       55,300           SOLE      NA      SOLE
LIBERTY PROPERTY TRUST               SH BEN INT           531172104       2,468       67,000           SOLE      NA      SOLE
MACERICH CO                          COM                  554382101       2,480       42,000           SOLE      NA      SOLE
MB FINANCIAL INC                     COM                  55264U108         431       20,000           SOLE      NA      SOLE
MERIDIAN INTERSTATE BANCO            COM                  58964Q104         492       35,374           SOLE      NA      SOLE
METRO BANCORP INC   PA               COM                  59161R101         481       40,000           SOLE      NA      SOLE
METROCORP BANCSHARES INC             COM                  591650106         427       40,000           SOLE      NA      SOLE
MICROFINANCIAL INC                   COM                  595072109         512       63,149           SOLE      NA      SOLE
MICROSOFT CORP                       COM                  594918104         918       30,000           SOLE      NA      SOLE
MICROSTRATEGY INC                    COM                  594972408         519        4,000           SOLE      NA      SOLE
MID-AMERICA APARTMENT COM            COM                  59522J103       1,911       28,000           SOLE      NA      SOLE
MIDSTATES PETROLEUM COMPA            COM                  59804T100         194       20,000           SOLE      NA      SOLE
NARA BANCORP INC                     COM                  073295107         871       80,000           SOLE      NA      SOLE
NATIONAL RETAIL PPTY INC             COM                  637417106       1,449       51,231           SOLE      NA      SOLE
NATIONSTAR MORTGAGE HOLDI            COM                  63861C109       1,076       50,000           SOLE      NA      SOLE
NAUGATUCK VY FINL CORP               COM                  63906P107         256       33,300           SOLE      NA      SOLE
NEW WESTFIELD FINANCIAL              COM                  96008P104         219       30,000           SOLE      NA      SOLE
NEWBRIDGE BANCRP                     COM                  65080T102          66       15,000           SOLE      NA      SOLE
NEWCASTLE INVT CORP NEW              COM                  65105M108         201       30,000           SOLE      NA      SOLE
NEWPORT BANCORP INC                  COM                  651754103         387       28,343           SOLE      NA      SOLE
NOBLE CORPORATION                    COM                  H5833N103       5,205      160,000           SOLE      NA      SOLE
NOBLE ENERGY INC                     COM                  655044105       9,330      110,000           SOLE      NA      SOLE
NOKIA CORP           ADR             SPONSORED ADR        654902204         414      200,000           SOLE      NA      SOLE
NORTH VY BANCORP                     COM                  66304M204         462       35,000           SOLE      NA      SOLE
NORTHERN OIL AND GAS                 COM                  665531109       7,332      460,000           SOLE      NA      SOLE
NORTHRIM BANCORP    INC              COM                  666762109         220       10,236           SOLE      NA      SOLE
OCEAN SHORE HOLDING CO               COM                  67501R103         222       17,400           SOLE      NA      SOLE
OIL STS INTL INC                     COM                  678026105      11,246      169,876           SOLE      NA      SOLE
OLD NATIONAL BANCORPEVANS            COM                  680033107         360       30,000           SOLE      NA      SOLE
OMEGA HEALTHCARE INVESTOR            COM                  681936100       1,755       78,000           SOLE      NA      SOLE
ONEOK PARTNERS LP UNIT               UNIT LTD PARTN       68268N103         677       12,600           SOLE      NA      SOLE
ORACLE CORP                          COM                  68389X105         891       30,000           SOLE      NA      SOLE
ORITANI FINANCIAL   CORP             COM                  68633D103         288       20,000           SOLE      NA      SOLE
PACIFIC PREMIER BANCORP              COM                  69478X105         444       52,850           SOLE      NA      SOLE
PEBBLEBROOK HOTEL TRUST              COM                  70509V100       1,503       64,500           SOLE      NA      SOLE
PENNANTPARK INVT CORP                COM                  708062104         320       30,900           SOLE      NA      SOLE
PETROLEO BRASIL                      SPONSORED ADR        71654V408       5,631      300,000           SOLE      NA      SOLE
PETROQUEST ENERGY   INC              COM                  716748108         600      120,000           SOLE      NA      SOLE
PHILLIPS 66 WI                       COM                  718546104       4,986      150,000           SOLE      NA      SOLE
PIONEER NATURAL RESOURCES            COM                  723787107       7,277       82,500           SOLE      NA      SOLE
PLAINS EXPLORATION & PROD            COM                  726505100      12,313      350,000           SOLE      NA      SOLE
PNC FINANCIAL SERVICES GR            COM                  693475105       1,222       20,000           SOLE      NA      SOLE
POST PROPERTIES INC                  COM                  737464107       1,762       36,000           SOLE      NA      SOLE
PROLOGIS INC                         COM                  74340W103       1,695       51,000           SOLE      NA      SOLE
PROVIDENT FINANCIAL HOLDI            COM                  743868101         577       50,000           SOLE      NA      SOLE
PS BUSINESS PARKS INC                COM                  69360J107       2,438       36,000           SOLE      NA      SOLE
QEP RESOURCES                        COM                  74733V100       7,493      250,000           SOLE      NA      SOLE
RANGE RES CORP                       COM                  75281A109       4,418       71,400           SOLE      NA      SOLE
REGIONS FINANCIAL   CORP             COM                  7591EP100         776      115,000           SOLE      NA      SOLE
RENTECH NITROGEN PARTNERS            COM UNIT             760113100         688       25,000           SOLE      NA      SOLE
RESOLUTE ENERGY     CORP             COM                  76116A108       2,871      300,000           SOLE      NA      SOLE
RF MICRO DEVICES INC                 COM                  749941100         202       47,500           SOLE      NA      SOLE
RIVERBED TECH INC                    COM                  768573107         266       16,500           SOLE      NA      SOLE
RLJ LODGING TRUST                    COM                  74965L101       1,725       95,128           SOLE      NA      SOLE
ROYAL DUTCH SHELL PLC ADR            SPONS ADR A          780259206       6,743      100,000           SOLE      NA      SOLE
SANDRIDGE ENERGY INC                 COM                  80007P307         669      100,000           SOLE      NA      SOLE
SAVANNAH BANCORP INC                 COM                  804748101         208       42,890           SOLE      NA      SOLE
SENIOR HOUSING PROPERTIES            COM                  81721M109         770       34,487           SOLE      NA      SOLE
SIGNATURE BANK                       COM                  82669G104         457        7,500           SOLE      NA      SOLE
SIMON PROPERTY GROUP INC             COM                  828806109       2,273       14,600           SOLE      NA      SOLE
SL GREEN REALTY CORPORATI            COM                  78440X101         802       10,000           SOLE      NA      SOLE
SOUTHERN CONN BANCORP INC            COM                  84264A102          24       18,600           SOLE      NA      SOLE
SOUTHWEST BANCORP INC OKL            COM                  844767103         471       50,000           SOLE      NA      SOLE
SOVRAN SELF STORAGE INC              COM                  84610H108       1,002       20,000           SOLE      NA      SOLE
SP BANCORP INC                       COM                  78468K106         256       20,000           SOLE      NA      SOLE
SPDR BARCLAYS CAPTL HIGH             BRCLYS YLD ETF       78464A417         316        8,000           SOLE      NA      SOLE
SPDR S^P 500 ETF    TRUST            TR UNIT              78462F103         749        5,500           SOLE      NA      SOLE
SPECTRA ENERGY CORP                  COM                  847560109       1,860       64,000           SOLE      NA      SOLE
SPRINT NEXTEL CORP                   COM                  852061100         163       50,000           SOLE      NA      SOLE
STARWOOD HOTELS &   RESOR            COM                  85590A401       1,485       28,000           SOLE      NA      SOLE
STATE STR CORP                       COM                  857477103         670       15,000           SOLE      NA      SOLE
STERLING BANCORP                     COM                  859158107         499       50,000           SOLE      NA      SOLE
STERLING FINL CORP WASH              COM                  859319303         482       25,500           SOLE      NA      SOLE
SUFFOLK BANCORP                      COM                  864739107         205       15,794           SOLE      NA      SOLE
SUNSTONE HOTEL      INVES            COM                  867892101       1,137      103,420           SOLE      NA      SOLE
SUNTRUST BKS INC                     COM                  867914103         848       35,000           SOLE      NA      SOLE
SUSQUEHANNA BANCSHARES IN            COM                  869099101       1,044      101,604           SOLE      NA      SOLE
SWIFT ENERGY CO                      COM                  870738101       9,136      490,944           SOLE      NA      SOLE
SYMANTEC CORP                        COM                  871503108         943       64,549           SOLE      NA      SOLE
SYNOVUS FINL CORP                    COM                  87161C105         297      150,000           SOLE      NA      SOLE
TAUBMAN CTRS INC                     COM                  876664103       1,389       18,000           SOLE      NA      SOLE
TCF FINL CORP                        COM                  872275102         402       35,000           SOLE      NA      SOLE
TERADYNE INC                         COM                  880770102         246       17,500           SOLE      NA      SOLE
TERRENO REALTY CORP                  COM                  88146M101         573       37,892           SOLE      NA      SOLE
TESCO CAD NPV COM                    COM                  88157K101         900       75,000           SOLE      NA      SOLE
TESORO CORP                          COM                  881609101         874       35,000           SOLE      NA      SOLE
TEXAS INSTRUMENTS INC                COM                  882508104         717       25,000           SOLE      NA      SOLE
THL CREDIT INC                       COM                  872438106         205       15,200           SOLE      NA      SOLE
TOTAL SA             ADR             SPONSORED ADR        89151E109       6,743      150,000           SOLE      NA      SOLE
TRANSOCEAN LTD                       REG SHS              H8817H100       6,710      150,000           SOLE      NA      SOLE
UDR INC                              COM                  902653104       2,765      107,000           SOLE      NA      SOLE
UNIT CORP                            COM                  909218109       4,796      130,000           SOLE      NA      SOLE
US 12MTH NAT GAS                     UNIT BEN INT         91288X109       2,354      135,000           SOLE      NA      SOLE
UTILITIES SELECT SECTOR S            SBI INT-UTILS        81369Y886       1,850       50,000           SOLE      NA      SOLE
VALERO ENERGY CORP                   COM                  91913Y100       2,415      100,000           SOLE      NA      SOLE
VENOCO INC                           COM                  92275P307       1,001      100,000           SOLE      NA      SOLE
VIEWPOINT FINANCIAL GROUP            COM                  92672A101         555       35,500           SOLE      NA      SOLE
WADDELL & REED FINL INC C            COM                  930059100         611       20,194           SOLE      NA      SOLE
WALTER ENERGY                        COM                  93317Q105       1,104       25,000           SOLE      NA      SOLE
WASHINGTON BANKING CO                COM                  937303105         278       20,000           SOLE      NA      SOLE
WEATHERFORD INTL LTD                 COM                  H27013103       1,516      120,000           SOLE      NA      SOLE
WEINGARTEN REALTY INVESTO            SH BEN INT           948741103       3,108      118,000           SOLE      NA      SOLE
WELLS FARGO COMPANY                  COM                  949746101         948       28,355           SOLE      NA      SOLE
WESBANCO INC                         COM                  950810101         319       15,000           SOLE      NA      SOLE
WEST COAST BANCORP ORE NE            COM                  952145209         698       35,500           SOLE      NA      SOLE
WESTERN ALLIANCE BANCORP             COM                  957638109         692       73,900           SOLE      NA      SOLE
WESTERN ASSET MORTGAGE CA            COM                  95790D105       1,949      100,000           SOLE      NA      SOLE
WESTLAKE CHEM                        COM                  960413102       2,986       57,135           SOLE      NA      SOLE
WILLIAMS COMPANIES INC               COM                  969457100       4,323      150,000           SOLE      NA      SOLE
WILSHIRE BANCORP    INC C            COM                  97186T108         547      100,000           SOLE      NA      SOLE
XILINX INC                           COM                  983919101         504       15,000           SOLE      NA      SOLE
YADKIN VY BK & TR CO ELKI            COM                  984314104          40       15,000           SOLE      NA      SOLE
YAHOO INC                            COM                  984332106         447       28,232           SOLE      NA      SOLE
ZIONS BANCORPORATION                 COM                  989701107         583       30,000           SOLE      NA      SOLE