Stevens Capital Management as of Sept. 30, 2007
Portfolio Holdings for Stevens Capital Management
Stevens Capital Management holds 0 positions in its portfolio as reported in the September 2007 quarterly 13F filing
{S} {C}
VALUE SHRS/PRN SH/ PUT/ INV OTHER VOTING AUTHORITY
NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) AMOUNT PRN CALL DISCR MANAGERS SOLE
21ST CENTY INS GROUP COM 90130N103 1073 48756 SH SOLE 48756
3M CO COM 88579Y101 5956 63644 SH SOLE 63644
99 CENTS ONLY STORES COM 65440K106 926 90210 SH SOLE 90210
A D C TELECOMMUNICATIONS COM NEW 000886309 2649 135086 SH SOLE 135086
ABB LTD SPONSORED ADR 000375204 696 26533 SH SOLE 26533
ABX AIR INC COM 00080S101 272 38438 SH SOLE 38438
ACERGY S A SPONSORED ADR 00443E104 445 14997 SH SOLE 14997
ACI WORLDWIDE INC COM 004498101 920 41164 SH SOLE 41164
ACME PACKET INC COM 004764106 429 27808 SH SOLE 27808
ACTUANT CORP SDCV 2.000%11/1 00508XAB0 834 500000 PRN SOLE 500000
ADAPTEC INC COM 00651F108 310 81217 SH SOLE 81217
ADAPTEC INC NOTE 0.750%12/2 00651FAG3 463 500000 PRN SOLE 500000
ADOBE SYS INC COM 00724F101 10851 248540 SH SOLE 248540
AEGON N V ORD AMER REG 007924103 637 33465 SH SOLE 33465
AEROPOSTALE COM 007865108 1783 93559 SH SOLE 93559
AES CORP COM 00130H105 4845 241757 SH SOLE 241757
AFLAC INC COM 001055102 3808 66754 SH SOLE 66754
AGCO CORP NOTE 1.250%12/1 001084AM4 688 500000 PRN SOLE 500000
AGL RES INC COM 001204106 4080 102978 SH SOLE 102978
AGNICO EAGLE MINES LTD COM 008474108 1455 29211 SH SOLE 29211
AIRTRAN HLDGS INC COM 00949P108 607 61678 SH SOLE 61678
AKAMAI TECHNOLOGIES INC COM 00971T101 4201 146218 SH SOLE 146218
ALABAMA NATL BANCORP DELA COM 010317105 4169 53510 SH SOLE 53510
ALASKA AIR GROUP INC COM 011659109 851 36852 SH SOLE 36852
ALBERTO CULVER CO NEW COM 013078100 3269 131866 SH SOLE 131866
ALCAN INC COM 013716105 8130 81234 SH SOLE 81234
ALEXANDER & BALDWIN INC COM 014482103 916 18273 SH SOLE 18273
ALEXION PHARMACEUTICALS INC NOTE 1.375% 2/0 015351AF6 1066 500000 PRN SOLE 500000
ALFA CORP COM 015385107 6120 336635 SH SOLE 336635
ALLEGHENY ENERGY INC COM 017361106 4900 93761 SH SOLE 93761
ALLERGAN INC NOTE 1.500% 4/0 018490AL6 1152 1000000 PRN SOLE 1000000
ALLIANCE DATA SYSTEMS CORP COM 018581108 1471 18993 SH SOLE 18993
ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 715 500000 PRN SOLE 500000
ALLIANT TECHSYSTEMS INC NOTE 3.000% 8/1 018804AK0 766 500000 PRN SOLE 500000
ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 2204 172871 SH SOLE 172871
ALLSCRIPTS HEALTHCARE SOLUTI DBCV 3.500% 7/1 01988PAB4 2226 905000 PRN SOLE 905000
ALLTEL CORP COM 020039103 1695 24327 SH SOLE 24327
ALPHARMA INC NOTE 2.125% 3/1 020813AH4 450 500000 PRN SOLE 500000
ALTERA CORP COM 021441100 4369 181455 SH SOLE 181455
ALTRA HOLDINGS INC COM 02208R106 706 42344 SH SOLE 42344
ALUMINUM CORP CHINA LTD SPON ADR H SHS 022276109 2303 32891 SH SOLE 32891
AMAZON COM INC NOTE 4.750% 2/0 023135AF3 613 500000 PRN SOLE 500000
AMBAC FINL GROUP INC COM 023139108 4906 77985 SH SOLE 77985
AMDOCS LTD NOTE 0.500% 3/1 02342TAD1 263 250000 PRN SOLE 250000
AMERICAN CAMPUS CMNTYS INC COM 024835100 1079 36841 SH SOLE 36841
AMERICAN ELEC PWR INC COM 025537101 4903 106408 SH SOLE 106408
AMERICAN EXPRESS CO COM 025816109 4656 78417 SH SOLE 78417
AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 249 500000 PRN SOLE 500000
AMERICAN FINL RLTY TR COM 02607P305 999 124122 SH SOLE 124122
AMERICAN TOWER CORP NOTE 3.000% 8/1 029912AR3 1084 500000 PRN SOLE 500000
AMERIS BANCORP COM 03076K108 608 33621 SH SOLE 33621
AMKOR TECHNOLOGY INC NOTE 2.500% 5/1 031652AX8 1271 1222000 PRN SOLE 1222000
AMR CORP NOTE 4.500% 2/1 001765BB1 1198 1000000 PRN SOLE 1000000
AMYLIN PHARMACEUTICALS INC NOTE 3.000% 6/1 032346AE8 547 500000 PRN SOLE 500000
ANALOG DEVICES INC COM 032654105 6330 175044 SH SOLE 175044
ANDREW CORP COM 034425108 6041 436209 SH SOLE 436209
ANHEUSER BUSCH COS INC COM 035229103 5540 110818 SH SOLE 110818
ANWORTH MORTGAGE ASSET CP COM 037347101 791 146675 SH SOLE 146675
AON CORP DBCV 3.500%11/1 037389AT0 1042 500000 PRN SOLE 500000
APEX SILVER MINES LTD NOTE 2.875% 3/1 03760XAB7 435 481000 PRN SOLE 481000
APOLLO GROUP INC CL A 037604105 1211 20135 SH SOLE 20135
APPALACHIAN BANCSHARES INC COM 037675105 352 24900 SH SOLE 24900
APPLE INC COM 037833100 29020 189004 SH SOLE 189004
APPLEBEES INTL INC COM 037899101 3170 127417 SH SOLE 127417
APPLERA CORP COM AP BIO GRP 038020103 694 20039 SH SOLE 20039
APPLIED MATLS INC COM 038222105 1063 51366 SH SOLE 51366
APPLIX INC COM 038316105 1578 88768 SH SOLE 88768
APTIMUS INC COM 03833V108 639 104359 SH SOLE 104359
AQUILA INC COM 03840P102 8558 2134077 SH SOLE 2134077
ARCHER DANIELS MIDLAND CO COM 039483102 4195 126815 SH SOLE 126815
ARCHSTONE SMITH OPER TR NOTE 4.000% 7/1 039584AC1 1045 1000000 PRN SOLE 1000000
ARMSTRONG WORLD INDS INC NEW COM 04247X102 552 13610 SH SOLE 13610
ARROW INTL INC COM 042764100 3176 69813 SH SOLE 69813
ARVINMERITOR INC COM 043353101 1168 69425 SH SOLE 69425
ASE TEST LTD ORD Y02516105 3072 213747 SH SOLE 213747
ASIAINFO HLDGS INC COM 04518A104 378 41703 SH SOLE 41703
ASTRAZENECA PLC SPONSORED ADR 046353108 773 15431 SH SOLE 15431
AT^T INC COM 00206R102 3342 78995 SH SOLE 78995
AUBURN NATL BANCORP COM 050473107 627 25600 SH SOLE 25600
AUTHORIZE NET HLDGS INC COM 052686102 6916 392267 SH SOLE 392267
AUTOLIV INC COM 052800109 1189 19899 SH SOLE 19899
AUTOMATIC DATA PROCESSING IN COM 053015103 3475 75659 SH SOLE 75659
AUTOZONE INC COM 053332102 3581 30831 SH SOLE 30831
AVALONBAY CMNTYS INC COM 053484101 6403 54238 SH SOLE 54238
AVAYA INC COM 053499109 498 29351 SH SOLE 29351
AVNET INC DBCV 2.000% 3/1 053807AL7 1280 1000000 PRN SOLE 1000000
BACK YD BURGERS INC COM 05635W101 713 125100 SH SOLE 125100
BANK MUTUAL CORP NEW COM 063750103 375 31784 SH SOLE 31784
BANK OF NEW YORK MELLON CORP COM 064058100 674 15259 SH SOLE 15259
BANKFINANCIAL CORP COM 06643P104 726 45912 SH SOLE 45912
BANNER CORP COM 06652V109 2339 68021 SH SOLE 68021
BARD C R INC COM 067383109 1721 19510 SH SOLE 19510
BEARINGPOINT INC COM 074002106 228 56331 SH SOLE 56331
BEAZER HOMES USA INC COM 07556Q105 1627 197248 SH SOLE 197248
BECTON DICKINSON & CO COM 075887109 1309 15956 SH SOLE 15956
BENEFICIAL MUTUAL BANCORP IN COM 08173R104 323 33179 SH SOLE 33179
BERKLEY W R CORP COM 084423102 370 12500 SH SOLE 12500
BEST BUY INC COM 086516101 5626 122247 SH SOLE 122247
BEST BUY INC SDCV 2.250% 1/1 086516AF8 547 500000 PRN SOLE 500000
BIOVAIL CORP COM 09067J109 524 30188 SH SOLE 30188
BIW LTD COM 05547U102 751 32300 SH SOLE 32300
BJS WHOLESALE CLUB INC COM 05548J106 1542 46512 SH SOLE 46512
BLACKBAUD INC COM 09227Q100 414 16399 SH SOLE 16399
BMC SOFTWARE INC COM 055921100 748 23941 SH SOLE 23941
BOARDWALK BANCORP INC COM 09661Q103 1281 59100 SH SOLE 59100
BOB EVANS FARMS INC COM 096761101 1040 34466 SH SOLE 34466
BORDERS GROUP INC COM 099709107 1781 133596 SH SOLE 133596
BOSTON PROPERTIES INC COM 101121101 8086 77829 SH SOLE 77829
BOWATER INC COM 102183100 893 59837 SH SOLE 59837
BOYD GAMING CORP COM 103304101 574 13395 SH SOLE 13395
BP PLC SPONSORED ADR 055622104 1451 20917 SH SOLE 20917
BRE PROPERTIES INC CL A 05564E106 1320 23598 SH SOLE 23598
BRIDGE CAP HLDGS COM 108030107 1160 52100 SH SOLE 52100
BRINKS CO COM 109696104 868 15536 SH SOLE 15536
BROOKFIELD ASSET MGMT INC CL A LTD VT SH 112585104 534 13879 SH SOLE 13879
BROOKFIELD PPTYS CORP COM 112900105 2556 102670 SH SOLE 102670
BROOKLINE BANCORP INC DEL COM 11373M107 1145 98749 SH SOLE 98749
BROWN & BROWN INC COM 115236101 1578 60016 SH SOLE 60016
BRUNSWICK CORP COM 117043109 2184 95545 SH SOLE 95545
BUILDING MATLS HLDG CORP COM 120113105 565 53408 SH SOLE 53408
BUSINESS OBJECTS S A SPONSORED ADR 12328X107 1775 39563 SH SOLE 39563
C COR INC COM 125010108 320 27880 SH SOLE 27880
C D W CORP COM 12512N105 1329 15244 SH SOLE 15244
CAMCO FINL CORP COM 132618109 424 31700 SH SOLE 31700
CAMDEN PPTY TR SH BEN INT 133131102 1959 30492 SH SOLE 30492
CANADIAN NAT RES LTD COM 136385101 2575 33987 SH SOLE 33987
CAPITAL ONE FINL CORP COM 14040H105 3733 56189 SH SOLE 56189
CARDIAC SCIENCE CORP COM 14141A108 309 30700 SH SOLE 30700
CARDINAL FINL CORP COM 14149F109 1135 113592 SH SOLE 113592
CARDINAL HEALTH INC COM 14149Y108 3321 53104 SH SOLE 53104
CARDINAL STATE BANK DURHAM N COM 141546101 859 52600 SH SOLE 52600
CAREER EDUCATION CORP COM 141665109 1666 59538 SH SOLE 59538
CARLISLE COS INC COM 142339100 1196 24610 SH SOLE 24610
CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 628 500000 PRN SOLE 500000
CAROLINA NATL CORP COM 144060100 234 12300 SH SOLE 12300
CBS CORP NEW CL B 124857202 913 28983 SH SOLE 28983
CENTENNIAL BK HLDGS INC DEL COM 151345303 566 88395 SH SOLE 88395
CENTER BANCORP INC COM 151408101 269 22380 SH SOLE 22380
CENTERPOINT ENERGY INC COM 15189T107 3789 236358 SH SOLE 236358
CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 716 500000 PRN SOLE 500000
CENTEX CORP COM 152312104 7135 268530 SH SOLE 268530
CENTRAL VA BANKSHARES INC COM 155792104 321 16900 SH SOLE 16900
CENTURY ALUM CO NOTE 1.750% 8/0 156431AE8 895 500000 PRN SOLE 500000
CENTURYTEL INC COM 156700106 3670 79410 SH SOLE 79410
CEPHALON INC NOTE 6/1 156708AL3 674 500000 PRN SOLE 500000
CEPHALON INC NOTE 2.000% 6/0 156708AP4 2046 1219000 PRN SOLE 1219000
CHAMPION ENTERPRISES INC COM 158496109 441 40146 SH SOLE 40146
CHAMPS ENTMT INC DEL COM 158787101 1359 244900 SH SOLE 244900
CHARLES RIV LABS INTL INC NOTE 2.250% 6/1 159864AB3 1280 1000000 PRN SOLE 1000000
CHARTER COMMUNICATIONS INC D NOTE 5.875%11/1 16117MAE7 374 291000 PRN SOLE 291000
CHECKFREE CORP NEW COM 162813109 3410 73280 SH SOLE 73280
CHEESECAKE FACTORY INC COM 163072101 3407 145162 SH SOLE 145162
CHEMTURA CORP COM 163893100 1337 150412 SH SOLE 150412
CHENIERE ENERGY INC COM NEW 16411R208 1206 30800 SH SOLE 30800
CHESAPEAKE ENERGY CORP COM 165167107 675 19146 SH SOLE 19146
CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 1016 1000000 PRN SOLE 1000000
CHICAGO BRIDGE & IRON CO N V N Y REGISTRY SH 167250109 529 12289 SH SOLE 12289
CHICOS FAS INC COM 168615102 1270 90402 SH SOLE 90402
CHINA LIFE INS CO LTD SPON ADR REP H 16939P106 2667 30933 SH SOLE 30933
CHINA MOBILE LIMITED SPONSORED ADR 16941M109 1229 14978 SH SOLE 14978
CHINA PRECISION STEEL INC COM 16941J106 323 41503 SH SOLE 41503
CHINA UNICOM LTD SPONSORED ADR 16945R104 359 17250 SH SOLE 17250
CHITTENDEN CORP COM 170228100 5532 157346 SH SOLE 157346
CHOICEPOINT INC COM 170388102 659 17378 SH SOLE 17378
CIENA CORP NOTE 0.875% 6/1 171779AE1 1123 1000000 PRN SOLE 1000000
CIGNA CORP COM 125509109 2094 39303 SH SOLE 39303
CITY HLDG CO COM 177835105 1192 32741 SH SOLE 32741
CKE RESTAURANTS INC NOTE 4.000%10/0 12561EAG0 1897 1000000 PRN SOLE 1000000
CLEAR CHANNEL COMMUNICATIONS COM 184502102 587 15683 SH SOLE 15683
CLOROX CO DEL COM 189054109 1710 28030 SH SOLE 28030
CMS ENERGY CORP NOTE 2.875%12/0 125896AW0 641 500000 PRN SOLE 500000
CMS ENERGY CORP NOTE 3.375% 7/1 125896AY6 1654 1028000 PRN SOLE 1028000
CNA FINL CORP COM 126117100 968 24627 SH SOLE 24627
COACH INC COM 189754104 1435 30352 SH SOLE 30352
COCA COLA CO COM 191216100 8349 145275 SH SOLE 145275
COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 2602 32607 SH SOLE 32607
COGNOS INC COM 19244C109 797 19179 SH SOLE 19179
COINMACH SVC CORP CL A 19259W206 4121 343700 SH SOLE 343700
COLDWATER CREEK INC COM 193068103 997 91827 SH SOLE 91827
COLLECTIVE BRANDS INC COM 19421W100 488 22142 SH SOLE 22142
COMCAST HOLDINGS CORP ZONES CV2% PCS 200300507 650 15550 PRN SOLE 15550
COMERICA INC COM 200340107 5749 112113 SH SOLE 112113
COMMERCE GROUP INC MASS COM 200641108 1145 38855 SH SOLE 38855
COMMERCIAL METALS CO COM 201723103 1993 62966 SH SOLE 62966
COMMSCOPE INC COM 203372107 2113 42055 SH SOLE 42055
COMMSCOPE INC SDCV 1.000% 3/1 203372AD9 1161 500000 PRN SOLE 500000
COMMUNITY BKS INC MILLERSBUR COM 203628102 2767 92888 SH SOLE 92888
COMMUNITY CAP CORP S C COM 20363C102 853 41600 SH SOLE 41600
COMMUNITY FINL CORP VA COM 20365L100 619 66600 SH SOLE 66600
COMMUNITY HEALTH SYS INC NEW COM 203668108 2755 87615 SH SOLE 87615
COMMUNITY TR BANCORP INC COM 204149108 1779 59219 SH SOLE 59219
COMMUNITY WEST BANCSHARES COM 204157101 289 27100 SH SOLE 27100
COMMVAULT SYSTEMS INC COM 204166102 369 19918 SH SOLE 19918
COMPANHIA VALE DO RIO DOCE SPON ADR PFD 204412100 685 24074 SH SOLE 24074
COMPUTER ASSOC INTL INC NOTE 1.625%12/1 204912AQ2 1336 1000000 PRN SOLE 1000000
COMTECH TELECOMMUNICATIONS C NOTE 2.000% 2/0 205826AD2 663 384000 PRN SOLE 384000
CON-WAY INC COM 205944101 717 15589 SH SOLE 15589
CONAGRA FOODS INC COM 205887102 2357 90186 SH SOLE 90186
CONOCOPHILLIPS COM 20825C104 4203 47887 SH SOLE 47887
CONSECO INC COM NEW 208464883 452 28228 SH SOLE 28228
CONSOLIDATED EDISON INC COM 209115104 3394 73310 SH SOLE 73310
CONSTELLATION BRANDS INC CL A 21036P108 596 24609 SH SOLE 24609
CONTINENTAL AIRLS INC CL B 210795308 444 13452 SH SOLE 13452
COOPER CAMERON CORP DBCV 1.500% 5/1 216640AE2 1341 500000 PRN SOLE 500000
COOPER INDS LTD CL A G24182100 1339 26200 SH SOLE 26200
COPART INC COM 217204106 1378 40063 SH SOLE 40063
CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 1776 1250000 PRN SOLE 1250000
CORNING INC COM 219350105 7827 317516 SH SOLE 317516
COUSINS PPTYS INC COM 222795106 1270 43240 SH SOLE 43240
COVANTA HLDG CORP DBCV 1.000% 2/0 22282EAA0 1531 1500000 PRN SOLE 1500000
COVIDIEN LTD COM G2552X108 534 12876 SH SOLE 12876
COWEN GROUP INC COM 223621103 412 29805 SH SOLE 29805
CRESCENT BKG CO COM 225646108 649 20000 SH SOLE 20000
CRESCENT FINL CORP COM 225744101 293 26300 SH SOLE 26300
CSG SYS INTL INC COM 126349109 888 41803 SH SOLE 41803
CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 493 500000 PRN SOLE 500000
CUMULUS MEDIA INC CL A 231082108 1482 144963 SH SOLE 144963
CV THERAPEUTICS INC NOTE 2.750% 5/1 126667AF1 243 296000 PRN SOLE 296000
CVS CAREMARK CORPORATION COM 126650100 8814 222396 SH SOLE 222396
CYMER INC COM 232572107 2224 57921 SH SOLE 57921
CYTYC CORP COM 232946103 7406 155419 SH SOLE 155419
DADE BEHRING HLDGS INC COM 23342J206 3186 41733 SH SOLE 41733
DELL INC COM 24702R101 11442 414573 SH SOLE 414573
DELTA PETE CORP COM NEW 247907207 327 18199 SH SOLE 18199
DENDREON CORP COM 24823Q107 523 68070 SH SOLE 68070
DEUTSCHE TELEKOM AG SPONSORED ADR 251566105 953 48559 SH SOLE 48559
DIAMONDROCK HOSPITALITY CO COM 252784301 260 14921 SH SOLE 14921
DICKS SPORTING GOODS INC NOTE 1.606% 2/1 253393AB8 589 500000 PRN SOLE 500000
DIGITAL RIV INC COM 25388B104 1653 36942 SH SOLE 36942
DISCOVER FINL SVCS COM 254709108 731 35127 SH SOLE 35127
DISNEY WALT CO COM DISNEY 254687106 7039 204680 SH SOLE 204680
DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 605 500000 PRN SOLE 500000
DOCUMENT SCIENCES CORP COM 25614R105 318 34600 SH SOLE 34600
DOLLAR TREE STORES INC COM 256747106 527 12992 SH SOLE 12992
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 574 500000 PRN SOLE 500000
DONNELLEY R R & SONS CO COM 257867101 2489 68080 SH SOLE 68080
DOVER CORP COM 260003108 1353 26561 SH SOLE 26561
DOW CHEM CO COM 260543103 12755 296224 SH SOLE 296224
DPL INC COM 233293109 1527 58160 SH SOLE 58160
DST SYS INC DEL DBCV 4.125% 8/1 233326AB3 670 370000 PRN SOLE 370000
DST SYS INC DEL DBCV 3.625% 8/1 233326AD9 1305 737000 PRN SOLE 737000
DUCKWALL-ALCO STORES INC NEW COM 264142100 751 20386 SH SOLE 20386
DWS GLOBAL COMMODITIES STK F COM 23338Y100 1035 52800 SH SOLE 52800
DYCOM INDS INC COM 267475101 1159 37834 SH SOLE 37834
DYNEGY INC DEL CL A 26817G102 212 22910 SH SOLE 22910
E M C CORP MASS COM 268648102 4959 238432 SH SOLE 238432
E M C CORP MASS NOTE 1.750%12/0 268648AM4 1428 1000000 PRN SOLE 1000000
EAGLE BANCORP INC MD COM 268948106 1127 85000 SH SOLE 85000
EARTHLINK INC NOTE 3.250%11/1 270321AA0 546 500000 PRN SOLE 500000
EASTMAN CHEM CO COM 277432100 1851 27746 SH SOLE 27746
EASTMAN KODAK CO NOTE 3.375%10/1 277461BE8 530 500000 PRN SOLE 500000
EATON VANCE CORP COM NON VTG 278265103 1631 40820 SH SOLE 40820
EDISON INTL COM 281020107 1152 20770 SH SOLE 20770
EDWARDS AG INC COM 281760108 6971 83232 SH SOLE 83232
ELECTRONIC DATA SYS NEW COM 285661104 7755 355095 SH SOLE 355095
EMPLOYERS HOLDINGS INC COM 292218104 219 10650 SH SOLE 10650
ENCANA CORP COM 292505104 1359 21974 SH SOLE 21974
ENCORE ACQUISITION CO COM 29255W100 2175 68727 SH SOLE 68727
ENSCO INTL INC COM 26874Q100 3444 61398 SH SOLE 61398
ENTERCOM COMMUNICATIONS CORP CL A 293639100 541 28011 SH SOLE 28011
EOG RES INC COM 26875P101 5978 82643 SH SOLE 82643
EPIC BANCORP COM 294250105 581 45400 SH SOLE 45400
EPICOR SOFTWARE CORP NOTE 2.375% 5/1 29426LAA6 977 1000000 PRN SOLE 1000000
EQUIFAX INC COM 294429105 1867 48988 SH SOLE 48988
EQUINIX INC DBCV 2.500% 2/1 29444UAE6 1398 613000 PRN SOLE 613000
EQUITABLE RES INC COM 294549100 1980 38171 SH SOLE 38171
EQUITY LIFESTYLE PPTYS INC COM 29472R108 1166 22513 SH SOLE 22513
ERICSSON L M TEL CO ADR B SEK 10 294821608 2637 66260 SH SOLE 66260
ESSA BANCORP INC COM 29667D104 531 47600 SH SOLE 47600
EXELON CORP COM 30161N101 5773 76606 SH SOLE 76606
EXPRESS SCRIPTS INC COM 302182100 2164 38763 SH SOLE 38763
EXPRESSJET HOLDINGS INC NOTE 4.250% 8/0 30218UAB4 289 300000 PRN SOLE 300000
F N B CORP VA COM 302930102 1101 36600 SH SOLE 36600
F N B UNITED CORP COM 302519103 721 44960 SH SOLE 44960
F5 NETWORKS INC COM 315616102 1048 28192 SH SOLE 28192
FACTORY CARD OUTLET & PARTY COM 303051106 2186 134200 SH SOLE 134200
FAIR ISAAC CORP COM 303250104 2215 61344 SH SOLE 61344
FAIRFAX FINL HLDGS LTD DBCV 5.000% 7/1 303901AL6 594 500000 PRN SOLE 500000
FAMILY DLR STORES INC COM 307000109 4112 154807 SH SOLE 154807
FEDERAL HOME LN MTG CORP COM 313400301 6874 116484 SH SOLE 116484
FEDERAL NATL MTG ASSN COM 313586109 19194 315641 SH SOLE 315641
FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 3759 42424 SH SOLE 42424
FEDEX CORP COM 31428X106 19165 182957 SH SOLE 182957
FEI CO NOTE 2.875% 6/0 30241LAF6 634 500000 PRN SOLE 500000
FEI CO NOTE 6/1 30241LAD1 1208 1000000 PRN SOLE 1000000
FELCOR LODGING TR INC COM 31430F101 303 15196 SH SOLE 15196
FELDMAN MALL PPTYS INC COM 314308107 408 54000 SH SOLE 54000
FIBERTOWER CORP COM 31567R100 250 64977 SH SOLE 64977
FIDELITY NATL INFORMATION SV COM 31620M106 5654 127423 SH SOLE 127423
FINISH LINE INC CL A 317923100 250 57550 SH SOLE 57550
FIRST AMERN CORP CALIF COM 318522307 2103 57429 SH SOLE 57429
FIRST CHARTER CORP COM 319439105 3031 100451 SH SOLE 100451
FIRST COMWLTH FINL CORP PA COM 319829107 765 69162 SH SOLE 69162
FIRST HORIZON NATL CORP COM 320517105 3627 136060 SH SOLE 136060
FIRST IND CORP COM 32054R108 6585 210246 SH SOLE 210246
FIRST M & F CORP COM 320744105 649 37000 SH SOLE 37000
FIRST MUTUAL BANCSHARES INC COM 32190E102 2805 105100 SH SOLE 105100
FIRST SEC GROUP INC COM 336312103 748 74800 SH SOLE 74800
FIRST ST BANCORPORATION COM 336453105 1681 85587 SH SOLE 85587
FLEXTRONICS INTL LTD NOTE 1.000% 8/0 33938EAL1 950 1000000 PRN SOLE 1000000
FLIR SYS INC NOTE 3.000% 6/0 302445AB7 2519 1000000 PRN SOLE 1000000
FLORIDA ROCK INDS INC COM 341140101 8127 130060 SH SOLE 130060
FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 1286 500000 PRN SOLE 500000
FLUSHING FINL CORP COM 343873105 1000 59521 SH SOLE 59521
FOOT LOCKER INC COM 344849104 431 28101 SH SOLE 28101
FORD MTR CO DEL COM PAR $0.01 345370860 1569 184859 SH SOLE 184859
FOREST LABS INC COM 345838106 10398 278850 SH SOLE 278850
FOX CHASE BANCORP COM 35137P106 318 24000 SH SOLE 24000
FOXHOLLOW TECHNOLOGIES INC COM 35166A103 6930 262482 SH SOLE 262482
FPL GROUP INC COM 302571104 16293 267633 SH SOLE 267633
FRANKLIN RES INC COM 354613101 15249 119599 SH SOLE 119599
GABELLI GLOBAL MULTIMEDIA TR COM 36239Q109 364 26340 SH SOLE 26340
GALLAGHER ARTHUR J & CO COM 363576109 1628 56192 SH SOLE 56192
GANNETT INC COM 364730101 635 14521 SH SOLE 14521
GATEWAY INC COM 367626108 3022 1607200 SH SOLE 1607200
GATX CORP COM 361448103 1104 25836 SH SOLE 25836
GENCORP INC SDCV 2.250%11/1 368682AL4 693 766000 PRN SOLE 766000
GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 369300AD0 732 500000 PRN SOLE 500000
GENERAL GROWTH PPTYS INC COM 370021107 5260 98089 SH SOLE 98089
GENERAL MLS INC COM 370334104 3304 56949 SH SOLE 56949
GENERAL MTRS CORP DEB SR CV C 33 370442717 1250 51350 PRN SOLE 51350
GENESCO INC COM 371532102 2150 46607 SH SOLE 46607
GENZYME CORP COM 372917104 13049 210599 SH SOLE 210599
GILAT SATELLITE NETWORKS LTD SHS NEW M51474118 288 28278 SH SOLE 28278
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2472 46462 SH SOLE 46462
GLOBALSANTAFE CORP SHS G3930E101 10961 144181 SH SOLE 144181
GOODRICH CORP COM 382388106 5199 76198 SH SOLE 76198
GOOGLE INC CL A 38259P508 6735 11873 SH SOLE 11873
GRACO INC COM 384109104 1537 39312 SH SOLE 39312
GRANITE CONSTR INC COM 387328107 3688 69567 SH SOLE 69567
GRANT PRIDECO INC COM 38821G101 1624 29787 SH SOLE 29787
GREAT LAKES BANCORP INC NEW COM 390914109 367 27300 SH SOLE 27300
GREAT PEE DEE BANCORP INC COM 39115R100 1532 66600 SH SOLE 66600
GREATER BAY BANCORP COM 391648102 6816 245169 SH SOLE 245169
GREEN BANKSHARES INC COM NEW 394361208 1456 39955 SH SOLE 39955
GREENLIGHT CAPITAL RE LTD CLASS A G4095J109 609 30032 SH SOLE 30032
GREY WOLF INC NOTE 3.750% 5/0 397888AD0 280 256000 PRN SOLE 256000
GRUPO TELEVISA SA DE CV SP ADR REP ORD 40049J206 3871 160175 SH SOLE 160175
H & Q HEALTHCARE FD SH BEN INT 404052102 250 14475 SH SOLE 14475
HALLIBURTON CO COM 406216101 6144 160008 SH SOLE 160008
HANCOCK JOHN PATRIOT PREM II COM SH BEN INT 41013T105 396 37422 SH SOLE 37422
HANCOCK JOHN PATRIOT SELCT D COM 41013U102 315 24800 SH SOLE 24800
HANESBRANDS INC COM 410345102 703 25047 SH SOLE 25047
HANMI FINL CORP COM 410495105 1365 88116 SH SOLE 88116
HANOVER INS GROUP INC COM 410867105 699 15825 SH SOLE 15825
HARMAN INTL INDS INC COM 413086109 3307 38217 SH SOLE 38217
HARRAHS ENTMT INC COM 413619107 1748 20107 SH SOLE 20107
HARRINGTON WEST FINL GROUP I COM 41383L104 2098 132900 SH SOLE 132900
HARRIS CORP DEL COM 413875105 1344 23255 SH SOLE 23255
HARTE-HANKS INC COM 416196103 670 34036 SH SOLE 34036
HARTFORD FINL SVCS GROUP INC COM 416515104 4057 43831 SH SOLE 43831
HASBRO INC COM 418056107 1418 50858 SH SOLE 50858
HASBRO INC DBCV 2.750%12/0 418056AN7 661 500000 PRN SOLE 500000
HCC INS HLDGS INC COM 404132102 1205 42059 SH SOLE 42059
HCC INS HLDGS INC NOTE 1.300% 4/0 404132AB8 930 722000 PRN SOLE 722000
HCP INC COM 40414L109 4056 122266 SH SOLE 122266
HEALTH CARE REIT INC NOTE 4.750%12/0 42217KAP1 517 500000 PRN SOLE 500000
HEALTH MGMT ASSOC INC NEW CL A 421933102 628 90555 SH SOLE 90555
HEALTH NET INC COM 42222G108 932 17236 SH SOLE 17236
HEINZ H J CO COM 423074103 672 14550 SH SOLE 14550
HEMOSENSE INC COM 423691104 3679 245600 SH SOLE 245600
HENRY JACK & ASSOC INC COM 426281101 821 31751 SH SOLE 31751
HERCULES INC COM 427056106 258 12261 SH SOLE 12261
HERITAGE FINL CORP WASH COM 42722X106 913 41400 SH SOLE 41400
HERSHA HOSPITALITY TR SH BEN INT A 427825104 209 21154 SH SOLE 21154
HESS CORP COM 42809H107 2130 32019 SH SOLE 32019
HEWLETT PACKARD CO COM 428236103 2438 48957 SH SOLE 48957
HILLENBRAND INDS INC COM 431573104 1512 27485 SH SOLE 27485
HILTON HOTELS CORP COM 432848109 849 18253 SH SOLE 18253
HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 620 300000 PRN SOLE 300000
HLTH CORPORATION COM 40422Y101 237 16750 SH SOLE 16750
HNI CORP COM 404251100 860 23876 SH SOLE 23876
HOME DEPOT INC COM 437076102 6267 193179 SH SOLE 193179
HONDA MOTOR LTD AMERN SHS 438128308 925 27741 SH SOLE 27741
HONEYWELL INTL INC COM 438516106 1158 19474 SH SOLE 19474
HORACE MANN EDUCATORS CORP N COM 440327104 395 20026 SH SOLE 20026
HORIZON OFFSHORE INC COM NEW 44043J204 4475 271183 SH SOLE 271183
HORSEHEAD HLDG CORP COM 440694305 245 10907 SH SOLE 10907
HOST HOTELS & RESORTS INC COM 44107P104 665 29613 SH SOLE 29613
HSBC HLDGS PLC SPON ADR NEW 404280406 2651 28633 SH SOLE 28633
HUNT J B TRANS SVCS INC COM 445658107 3171 120568 SH SOLE 120568
IAMGOLD CORP COM 450913108 295 33993 SH SOLE 33993
IDEX CORP COM 45167R104 1331 36563 SH SOLE 36563
IMAGE ENTMT INC COM NEW 452439201 1506 351100 SH SOLE 351100
IMAGE SENSING SYS INC COM 45244C104 206 16100 SH SOLE 16100
IMATION CORP COM 45245A107 841 34273 SH SOLE 34273
INFINEON TECHNOLOGIES AG SPONSORED ADR 45662N103 901 52472 SH SOLE 52472
INGRAM MICRO INC CL A 457153104 1635 83393 SH SOLE 83393
INTEGRATED DEVICE TECHNOLOGY COM 458118106 2280 147259 SH SOLE 147259
INTEL CORP COM 458140100 10954 423589 SH SOLE 423589
INTERLINE BRANDS INC COM 458743101 565 24575 SH SOLE 24575
INTERNATIONAL BUSINESS MACHS COM 459200101 10542 89491 SH SOLE 89491
INTERNATIONAL GAME TECHNOLOG COM 459902102 1187 27534 SH SOLE 27534
INTERNATIONAL SPEEDWAY CORP CL A 460335201 730 15927 SH SOLE 15927
INTEROIL CORP COM 460951106 588 18600 SH SOLE 18600
INTERPUBLIC GROUP COS INC COM 460690100 686 66082 SH SOLE 66082
INTERPUBLIC GROUP COS INC NOTE 4.500% 3/1 460690AT7 2017 1880000 PRN SOLE 1880000
INTL SECS EXCHANGE HLDGS INC CL A 46031W204 3215 48362 SH SOLE 48362
INVESTOOLS INC COM 46145P103 1160 95982 SH SOLE 95982
INVESTORS BANCORP INC COM 46146P102 501 35390 SH SOLE 35390
INVITROGEN CORP NOTE 3.250% 6/1 46185RAM2 537 500000 PRN SOLE 500000
INVITROGEN CORP NOTE 2.000% 8/0 46185RAJ9 640 500000 PRN SOLE 500000
ISHARES SILVER TRUST ISHARES 46428Q109 1503 10987 SH SOLE 10987
ISHARES TR S^P GBL FIN 464287333 3382 37600 SH SOLE 37600
ISHARES TR DJ US REAL EST 464287739 6124 80060 SH SOLE 80060
ISHARES TR S^P GBL HLTHCR 464287325 5061 84654 SH SOLE 84654
ISOTIS INC COM 46489T109 2011 282400 SH SOLE 282400
ITC HLDGS CORP COM 465685105 2995 60435 SH SOLE 60435
ITT CORP NEW COM 450911102 2437 35881 SH SOLE 35881
JAPAN EQUITY FD INC COM 471057109 411 51400 SH SOLE 51400
JAPAN SMALLER CAPTLZTN FD IN COM 47109U104 387 37300 SH SOLE 37300
JDS UNIPHASE CORP COM PAR $0.001 46612J507 1059 70782 SH SOLE 70782
JEFFERIES GROUP INC NEW COM 472319102 1082 38877 SH SOLE 38877
JEFFERSON BANCSHARES INC TEN COM 472375104 857 78800 SH SOLE 78800
JETBLUE AWYS CORP COM 477143101 649 70424 SH SOLE 70424
JETBLUE AWYS CORP NOTE 3.500% 7/1 477143AB7 483 500000 PRN SOLE 500000
JP MORGAN CHASE & CO COM 46625H100 3129 68279 SH SOLE 68279
JUNIPER NETWORKS INC NOTE 6/1 48203RAC8 1822 1000000 PRN SOLE 1000000
K V PHARMACEUTICAL CO NOTE 2.500% 5/1 482740AC1 315 250000 PRN SOLE 250000
KB HOME COM 48666K109 3322 132543 SH SOLE 132543
KBR INC COM 48242W106 459 11828 SH SOLE 11828
KEARNY FINL CORP COM 487169104 262 20500 SH SOLE 20500
KEYSTONE AUTOMOTIVE INDS INC COM 49338N109 3068 64232 SH SOLE 64232
KIMBERLY CLARK CORP COM 494368103 8919 126948 SH SOLE 126948
KINDRED HEALTHCARE INC COM 494580103 1107 61809 SH SOLE 61809
KINETIC CONCEPTS INC COM NEW 49460W208 1479 26287 SH SOLE 26287
KING PHARMACEUTICALS INC COM 495582108 2586 220657 SH SOLE 220657
KMG AMER CORP COM 482563103 3286 555000 SH SOLE 555000
KNBT BANCORP INC COM 482921103 3326 201059 SH SOLE 201059
KOHLS CORP COM 500255104 7828 136545 SH SOLE 136545
KOREA EQUITY FD INC COM 50063B104 1225 90000 SH SOLE 90000
KOREA FD COM 500634100 1956 42800 SH SOLE 42800
KORN FERRY INTL COM NEW 500643200 556 33700 SH SOLE 33700
KROGER CO COM 501044101 2289 80266 SH SOLE 80266
KT CORP SPONSORED ADR 48268K101 794 31700 SH SOLE 31700
KYPHON INC COM 501577100 3676 52511 SH SOLE 52511
LABORATORY CORP AMER HLDGS COM NEW 50540R409 3907 49941 SH SOLE 49941
LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 525 500000 PRN SOLE 500000
LAIDLAW INTL INC COM 50730R102 3314 94104 SH SOLE 94104
LAM RESEARCH CORP COM 512807108 954 17919 SH SOLE 17919
LAMAR ADVERTISING CO NOTE 2.875%12/3 512815AH4 571 500000 PRN SOLE 500000
LAMSON & SESSIONS CO COM 513696104 2034 75444 SH SOLE 75444
LANDAMERICA FINL GROUP INC DBCV 3.250% 5/1 514936AD5 468 500000 PRN SOLE 500000
LATTICE SEMICONDUCTOR CORP COM 518415104 358 79807 SH SOLE 79807
LEAP WIRELESS INTL INC COM NEW 521863308 4068 49994 SH SOLE 49994
LEGG MASON INC COM 524901105 7464 88556 SH SOLE 88556
LEGGETT & PLATT INC COM 524660107 1596 83297 SH SOLE 83297
LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 2979 1360000 PRN SOLE 1360000
LEVEL 3 COMMUNICATIONS INC COM 52729N100 235 50619 SH SOLE 50619
LEXINGTON REALTY TRUST COM 529043101 333 16655 SH SOLE 16655
LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 486 626000 PRN SOLE 626000
LIBERTY MEDIA CORP NEW DEB 0.750% 3/3 530718AF2 1103 1000000 PRN SOLE 1000000
LILLY ELI & CO COM 532457108 2436 42791 SH SOLE 42791
LINCARE HLDGS INC COM 532791100 2356 64296 SH SOLE 64296
LOCKHEED MARTIN CORP DBCV 8/1 539830AP4 759 500000 PRN SOLE 500000
LOEWS CORP COM 540424108 2412 49891 SH SOLE 49891
LOUISIANA PAC CORP COM 546347105 2341 137958 SH SOLE 137958
LOWES COS INC NOTE 10/1 548661CG0 501 500000 PRN SOLE 500000
LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AH0 1894 2022000 PRN SOLE 2022000
LYONDELL CHEMICAL CO COM 552078107 3192 68862 SH SOLE 68862
MACERICH CO COM 554382101 7038 80356 SH SOLE 80356
MAGNA INTL INC CL A 559222401 1022 10610 SH SOLE 10610
MALAYSIA FD INC COM 560905101 236 24400 SH SOLE 24400
MANOR CARE INC NEW NOTE 2.125% 4/1 564055AK7 2054 991000 PRN SOLE 991000
MANPOWER INC COM 56418H100 1423 22112 SH SOLE 22112
MANULIFE FINL CORP COM 56501R106 1075 26045 SH SOLE 26045
MARATHON OIL CORP COM 565849106 13795 241934 SH SOLE 241934
MARRIOTT INTL INC NEW CL A 571903202 4198 96569 SH SOLE 96569
MARSHALL & ILSLEY CORP COM 571834100 1534 35058 SH SOLE 35058
MASIMO CORP COM 574795100 286 11163 SH SOLE 11163
MAXIM INTEGRATED PRODS INC COM 57772K101 3142 107048 SH SOLE 107048
MAXXAM INC COM 577913106 591 20700 SH SOLE 20700
MCAFEE INC COM 579064106 621 17809 SH SOLE 17809
MCDERMOTT INTL INC COM 580037109 1295 23953 SH SOLE 23953
MCGRAW HILL COS INC COM 580645109 10880 213703 SH SOLE 213703
MDU RES GROUP INC COM 552690109 1639 58877 SH SOLE 58877
MEADWESTVACO CORP COM 583334107 4174 141359 SH SOLE 141359
MEDICAL PPTYS TRUST INC COM 58463J304 221 16574 SH SOLE 16574
MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 556 500000 PRN SOLE 500000
MEDTRONIC INC NOTE 1.500% 4/1 585055AL0 1106 1000000 PRN SOLE 1000000
MEMC ELECTR MATLS INC COM 552715104 639 10858 SH SOLE 10858
MERRILL LYNCH & CO INC COM 590188108 26392 370264 SH SOLE 370264
MEXICO FD INC COM 592835102 3121 73600 SH SOLE 73600
MGIC INVT CORP WIS COM 552848103 376 11624 SH SOLE 11624
MICROCHIP TECHNOLOGY INC COM 595017104 6791 186986 SH SOLE 186986
MICRON TECHNOLOGY INC COM 595112103 6707 604190 SH SOLE 604190
MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 975 1000000 PRN SOLE 1000000
MICROTEK MEDICAL HLDGS INC COM 59515B109 2429 393065 SH SOLE 393065
MIDCAP SPDR TR UNIT SER 1 595635103 1947 12100 SH SOLE 12100
MIDWEST AIR GROUP INC COM 597911106 1536 93400 SH SOLE 93400
MILLENNIUM PHARMACEUTICALS I COM 599902103 2068 203717 SH SOLE 203717
MILLER HERMAN INC COM 600544100 1383 50975 SH SOLE 50975
MIRANT CORP NEW COM 60467R100 1094 26895 SH SOLE 26895
MOHAWK INDS INC COM 608190104 2170 26692 SH SOLE 26692
MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 1111 1000000 PRN SOLE 1000000
MONEYGRAM INTL INC COM 60935Y109 259 11480 SH SOLE 11480
MONSTER WORLDWIDE INC COM 611742107 2189 64257 SH SOLE 64257
MOODYS CORP COM 615369105 5602 111146 SH SOLE 111146
MORGAN STANLEY ASIA PAC FD I COM 61744U106 243 10800 SH SOLE 10800
MORGAN STANLEY INDIA INVS FD COM 61745C105 580 11400 SH SOLE 11400
MORGANS HOTEL GROUP CO COM 61748W108 391 17960 SH SOLE 17960
MPS GROUP INC COM 553409103 461 41329 SH SOLE 41329
MSC INDL DIRECT INC CL A 553530106 1616 31946 SH SOLE 31946
MVC CAPITAL INC COM 553829102 249 13437 SH SOLE 13437
MYLAN LABS INC NOTE 1.250% 3/1 628530AG2 926 1000000 PRN SOLE 1000000
NABORS INDS INC NOTE 6/1 629568AL0 520 500000 PRN SOLE 500000
NABORS INDS INC NOTE 0.940% 5/1 629568AP1 958 1000000 PRN SOLE 1000000
NATIONAL BANKSHARES INC VA COM 634865109 586 30200 SH SOLE 30200
NATIONAL FINL PARTNERS CORP NOTE 0.750% 2/0 63607PAA7 1047 1000000 PRN SOLE 1000000
NATIONAL HOME HEALTH CARE CO COM 636380107 527 42700 SH SOLE 42700
NATIONAL RETAIL PROPERTIES I NOTE 3.950% 9/1 637417AA4 529 500000 PRN SOLE 500000
NAVIGANT CONSULTING INC COM 63935N107 792 62570 SH SOLE 62570
NBTY INC COM 628782104 749 18459 SH SOLE 18459
NCR CORP NEW COM 62886E108 5340 107230 SH SOLE 107230
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NEW GERMANY FD INC COM 644465106 295 16800 SH SOLE 16800
NEW YORK TIMES CO CL A 650111107 426 21535 SH SOLE 21535
NEWALLIANCE BANCSHARES INC COM 650203102 1656 112826 SH SOLE 112826
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NEWMONT MINING CORP COM 651639106 2104 47032 SH SOLE 47032
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NII HLDGS INC NOTE 2.750% 8/1 62913FAF9 1748 1000000 PRN SOLE 1000000
NIKE INC CL B 654106103 647 11024 SH SOLE 11024
NISOURCE INC COM 65473P105 1561 81552 SH SOLE 81552
NOBLE CORPORATION SHS G65422100 3676 74941 SH SOLE 74941
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NORTH PITTSBURGH SYS INC COM 661562108 3173 133530 SH SOLE 133530
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NORTHERN ORION RES INC COM 665575106 7587 1180000 SH SOLE 1180000
NORTHERN STS FINL CORP COM 665751103 1758 79900 SH SOLE 79900
NORTHROP GRUMMAN CORP COM 666807102 6048 77544 SH SOLE 77544
NOVA CHEMICALS CORP COM 66977W109 1064 27568 SH SOLE 27568
NOVARTIS A G SPONSORED ADR 66987V109 2144 39010 SH SOLE 39010
NUCOR CORP COM 670346105 1863 31320 SH SOLE 31320
O REILLY AUTOMOTIVE INC COM 686091109 756 22632 SH SOLE 22632
OAK HILL FINL INC COM 671337103 6374 203900 SH SOLE 203900
OAKLEY INC COM 673662102 3058 105342 SH SOLE 105342
OFFICEMAX INC DEL COM 67622P101 539 15732 SH SOLE 15732
OMNICOM GROUP INC COM 681919106 9101 189248 SH SOLE 189248
ONEBEACON INSURANCE GROUP LT CL A G67742109 297 13761 SH SOLE 13761
OPEN JT STK CO-VIMPEL COMMUN SPONSORED ADR 68370R109 1233 45607 SH SOLE 45607
OPEN TEXT CORP COM 683715106 396 15245 SH SOLE 15245
OPTICAL COMMUNICATION PRODS CL A 68382T101 1470 896500 SH SOLE 896500
ORACLE CORP COM 68389X105 4123 190430 SH SOLE 190430
ORTHOVITA INC COM 68750U102 272 89920 SH SOLE 89920
OSHKOSH TRUCK CORP COM 688239201 726 11716 SH SOLE 11716
OWENS ILL INC COM NEW 690768403 982 23695 SH SOLE 23695
PACIFIC PREMIER BANCORP COM 69478X105 550 52000 SH SOLE 52000
PACTIV CORP COM 695257105 3731 130169 SH SOLE 130169
PALL CORP COM 696429307 3091 79471 SH SOLE 79471
PARKER DRILLING CO NOTE 2.125% 7/1 701081AR2 460 500000 PRN SOLE 500000
PARTNERS TR FINL GROUP INC N COM 70213F102 4735 389104 SH SOLE 389104
PATHMARK STORES INC NEW COM 70322A101 3085 241997 SH SOLE 241997
PAYCHEX INC COM 704326107 7467 182128 SH SOLE 182128
PEABODY ENERGY CORP COM 704549104 1440 30078 SH SOLE 30078
PENNEY J C INC COM 708160106 11017 173854 SH SOLE 173854
PENTAIR INC COM 709631105 1873 56443 SH SOLE 56443
PEOPLES BANCORP INC COM 709789101 1982 75725 SH SOLE 75725
PEOPLES BANCTRUST INC COM 709796106 1220 56000 SH SOLE 56000
PEPCO HOLDINGS INC COM 713291102 347 12815 SH SOLE 12815
PEPSICO INC COM 713448108 8461 115494 SH SOLE 115494
PERKINELMER INC COM 714046109 1750 59923 SH SOLE 59923
PERRIGO CO COM 714290103 838 39261 SH SOLE 39261
PETSMART INC COM 716768106 1309 41020 SH SOLE 41020
PFIZER INC COM 717081103 519 21244 SH SOLE 21244
PG^E CORP COM 69331C108 2153 45046 SH SOLE 45046
PHARMACEUTICAL PROD DEV INC COM 717124101 3230 91133 SH SOLE 91133
PHH CORP COM NEW 693320202 908 34559 SH SOLE 34559
PHILLIPS VAN HEUSEN CORP COM 718592108 3911 74522 SH SOLE 74522
PHOENIX COS INC NEW COM 71902E109 250 17715 SH SOLE 17715
PINNACLE BANCSHARES INC COM 722903101 378 26100 SH SOLE 26100
PITNEY BOWES INC COM 724479100 574 12643 SH SOLE 12643
PLAYTEX PRODS INC COM 72813P100 3109 170073 SH SOLE 170073
PNC FINL SVCS GROUP INC COM 693475105 6406 94063 SH SOLE 94063
POGO PRODUCING CO COM 730448107 6972 131267 SH SOLE 131267
POLO RALPH LAUREN CORP CL A 731572103 5185 66684 SH SOLE 66684
POLYCOM INC COM 73172K104 3232 120315 SH SOLE 120315
POPULAR INC COM 733174106 232 18896 SH SOLE 18896
PORTLAND GEN ELEC CO COM NEW 736508847 1355 48747 SH SOLE 48747
POST PPTYS INC COM 737464107 3580 92506 SH SOLE 92506
POTLATCH CORP NEW COM 737630103 755 16758 SH SOLE 16758
POWERWAVE TECHNOLOGIES INC COM 739363109 482 78253 SH SOLE 78253
PPG INDS INC COM 693506107 7089 93830 SH SOLE 93830
PPL CORP COM 69351T106 8722 188373 SH SOLE 188373
PPL ENERGY SUPPLY LLC NOTE 2.625% 5/1 69352JAE7 741 400000 PRN SOLE 400000
PRECISION CASTPARTS CORP COM 740189105 3207 21673 SH SOLE 21673
PREMIERWEST BANCORP COM 740921101 2102 162931 SH SOLE 162931
PRICELINE COM INC NOTE 0.500% 9/3 741503AK2 675 304000 PRN SOLE 304000
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PROASSURANCE CORP DBCV 3.900% 6/3 74267CAB2 667 500000 PRN SOLE 500000
PROGRESSIVE CORP OHIO COM 743315103 7846 404204 SH SOLE 404204
PROLOGIS SH BEN INT 743410102 5802 87448 SH SOLE 87448
PROTECTIVE LIFE CORP COM 743674103 894 21060 SH SOLE 21060
PUBLIC STORAGE COM 74460D109 8764 111435 SH SOLE 111435
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PVF CAPITAL CORP COM 693654105 4437 287200 SH SOLE 287200
QUALCOMM INC COM 747525103 9514 225121 SH SOLE 225121
QUANEX CORP DBCV 2.500% 5/1 747620AE2 945 500000 PRN SOLE 500000
QUANTA SVCS INC COM 74762E102 1357 51298 SH SOLE 51298
QUANTA SVCS INC SDCV 4.500%10/0 74762EAC6 891 369000 PRN SOLE 369000
QUESTAR CORP COM 748356102 1127 21445 SH SOLE 21445
QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 3175 1917000 PRN SOLE 1917000
RADIOSHACK CORP COM 750438103 2664 128966 SH SOLE 128966
RARE HOSPITALITY INTL INC COM 753820109 3687 96740 SH SOLE 96740
RED HAT INC DBCV 0.500% 1/1 756577AB8 1003 1000000 PRN SOLE 1000000
REGENCY CTRS CORP COM 758849103 3402 44330 SH SOLE 44330
REGIONS FINANCIAL CORP NEW COM 7591EP100 8457 286884 SH SOLE 286884
REGIS CORP MINN COM 758932107 759 23783 SH SOLE 23783
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RENT A CTR INC NEW COM 76009N100 948 52273 SH SOLE 52273
REPUBLIC PROPERTY TR COM 760737106 1421 96894 SH SOLE 96894
RESEARCH IN MOTION LTD COM 760975102 5495 55760 SH SOLE 55760
REYNOLDS AMERICAN INC COM 761713106 2446 38463 SH SOLE 38463
RMR REAL ESTATE FD SH BEN INT 74963F106 254 17500 SH SOLE 17500
ROCKWELL AUTOMATION INC COM 773903109 5483 78882 SH SOLE 78882
ROCKWELL COLLINS INC COM 774341101 2872 39323 SH SOLE 39323
ROGERS COMMUNICATIONS INC CL B 775109200 1393 30601 SH SOLE 30601
ROHM & HAAS CO COM 775371107 5479 98420 SH SOLE 98420
ROMA FINANCIAL CORP COM 77581P109 1036 60583 SH SOLE 60583
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ROWAN COS INC COM 779382100 3202 87530 SH SOLE 87530
ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 1017 12372 SH SOLE 12372
ROYAL DUTCH SHELL PLC SPON ADR B 780259107 6225 75822 SH SOLE 75822
RPM INTL INC COM 749685103 247 10301 SH SOLE 10301
RPM INTL INC NOTE 1.389% 5/1 749685AK9 262 400000 PRN SOLE 400000
RTW INC COM NEW 74974R206 1516 125700 SH SOLE 125700
RUBY TUESDAY INC COM 781182100 1081 58937 SH SOLE 58937
RYDER SYS INC COM 783549108 3295 67249 SH SOLE 67249
RYLAND GROUP INC COM 783764103 2281 106454 SH SOLE 106454
SAIC INC COM 78390X101 529 27549 SH SOLE 27549
SALLY BEAUTY HLDGS INC COM 79546E104 225 26668 SH SOLE 26668
SANDISK CORP COM 80004C101 1406 25510 SH SOLE 25510
SANOFI AVENTIS SPONSORED ADR 80105N105 3372 79500 SH SOLE 79500
SASOL LTD SPONSORED ADR 803866300 606 14097 SH SOLE 14097
SCHLUMBERGER LTD COM 806857108 3927 37396 SH SOLE 37396
SCHLUMBERGER LTD DBCV 2.125% 6/0 806857AD0 2627 1000000 PRN SOLE 1000000
SCIELE PHARMA INC NOTE 2.625% 5/1 808627AA1 277 259000 PRN SOLE 259000
SCIENTIFIC GAMES CORP CL A 80874P109 953 25349 SH SOLE 25349
SCOTTS MIRACLE GRO CO CL A 810186106 2258 52815 SH SOLE 52815
SCPIE HLDGS INC COM 78402P104 1086 48800 SH SOLE 48800
SEACOR HOLDINGS INC DBCV 2.875%12/1 811904AH4 698 500000 PRN SOLE 500000
SEAGATE TECHNOLOGY SHS G7945J104 1648 64434 SH SOLE 64434
SEALED AIR CORP NEW COM 81211K100 2147 83980 SH SOLE 83980
SELECT SECTOR SPDR TR SBI CONS DISCR 81369Y407 1814 49400 SH SOLE 49400
SELECT SECTOR SPDR TR SBI HEALTHCARE 81369Y209 2520 71200 SH SOLE 71200
SELECT SECTOR SPDR TR SBI MATERIALS 81369Y100 4871 115647 SH SOLE 115647
SEMCO ENERGY INC COM 78412D109 7080 897278 SH SOLE 897278
SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 6392 166900 SH SOLE 166900
SEVERN BANCORP ANNAPOLIS MD COM 81811M100 223 16800 SH SOLE 16800
SHAW COMMUNICATIONS INC CL B CONV 82028K200 254 10216 SH SOLE 10216
SHIRE PLC SPONSORED ADR 82481R106 1691 22853 SH SOLE 22853
SIEMENS A G SPONSORED ADR 826197501 1584 11540 SH SOLE 11540
SIERRA HEALTH SVCS INC COM 826322109 3623 85874 SH SOLE 85874
SIERRA PAC RES NEW COM 826428104 432 27445 SH SOLE 27445
SIERRA WIRELESS INC COM 826516106 451 21415 SH SOLE 21415
SIGMA ALDRICH CORP COM 826552101 1656 33982 SH SOLE 33982
SIMON PPTY GROUP INC NEW COM 828806109 1088 10876 SH SOLE 10876
SINGAPORE FD INC COM 82929L109 594 31500 SH SOLE 31500
SIRENZA MICRODEVICES INC COM 82966T106 3438 198845 SH SOLE 198845
SIRIUS SATELLITE RADIO INC NOTE 2.500% 2/1 82966UAC7 543 519000 PRN SOLE 519000
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SMUCKER J M CO COM NEW 832696405 1591 29779 SH SOLE 29779
SOLECTRON CORP COM 834182107 6900 1769300 SH SOLE 1769300
SONIC AUTOMOTIVE INC NOTE 4.250%11/3 83545GAK8 1998 1740000 PRN SOLE 1740000
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SOTHEBYS COM 835898107 920 19258 SH SOLE 19258
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SPANSION INC COM CL A 84649R101 208 24618 SH SOLE 24618
SPECTRA ENERGY CORP COM 847560109 828 33843 SH SOLE 33843
SPX CORP COM 784635104 1097 11847 SH SOLE 11847
STAPLES INC COM 855030102 9128 424746 SH SOLE 424746
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STATS CHIPPAC LTD SPONSORED ADR 85771T104 481 44610 SH SOLE 44610
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STMICROELECTRONICS N V NY REGISTRY 861012102 1250 74647 SH SOLE 74647
STRATEGIC HOTELS & RESORTS I COM 86272T106 346 16800 SH SOLE 16800
STREETTRACKS GOLD TR GOLD SHS 863307104 9981 135800 SH SOLE 135800
STRYKER CORP COM 863667101 3469 50445 SH SOLE 50445
SUNAMERICA FOCUSE ALPHA LC F COM 867038101 266 13400 SH SOLE 13400
SUNCOR ENERGY INC COM 867229106 8717 91945 SH SOLE 91945
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SUNTECH PWR HLDGS CO LTD ADR 86800C104 1263 31657 SH SOLE 31657
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SYBASE INC COM 871130100 2144 92699 SH SOLE 92699
SYBASE INC NOTE 1.750% 2/2 871130AB6 536 500000 PRN SOLE 500000
SYMANTEC CORP COM 871503108 2040 105243 SH SOLE 105243
SYNERGY FINANCIAL GROUP INC COM 87162V102 4951 326600 SH SOLE 326600
SYNGENTA AG SPONSORED ADR 87160A100 449 10372 SH SOLE 10372
SYNOVUS FINL CORP COM 87161C105 1613 57497 SH SOLE 57497
TAIWAN FD INC COM 874036106 335 15350 SH SOLE 15350
TAIWAN GREATER CHINA FD SH BEN INT 874037104 608 78300 SH SOLE 78300
TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 590 500000 PRN SOLE 500000
TARGET LOGISTICS INC COM 876123100 1174 483100 SH SOLE 483100
TAUBMAN CTRS INC COM 876664103 2072 37851 SH SOLE 37851
TD AMERITRADE HLDG CORP COM 87236Y108 2662 146127 SH SOLE 146127
TECHNE CORP COM 878377100 717 11369 SH SOLE 11369
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TEEKAY CORPORATION COM Y8564W103 753 12811 SH SOLE 12811
TEKTRONIX INC COM 879131100 2060 74252 SH SOLE 74252
TELEFONICA S A SPONSORED ADR 879382208 1121 13381 SH SOLE 13381
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TELETECH HOLDINGS INC COM 879939106 836 34961 SH SOLE 34961
TEMPLE INLAND INC COM 879868107 5000 95001 SH SOLE 95001
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TERNIUM SA SPON ADR 880890108 348 11083 SH SOLE 11083
TESORO CORP COM 881609101 1256 27300 SH SOLE 27300
TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 1052 1000000 PRN SOLE 1000000
TEVA PHARMACEUTICAL FIN II L DBCV 0.500% 2/0 88164RAA5 1210 1000000 PRN SOLE 1000000
TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 308 300000 PRN SOLE 300000
TFS FINL CORP COM 87240R107 492 38052 SH SOLE 38052
THOMAS & BETTS CORP COM 884315102 1310 22332 SH SOLE 22332
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TIERONE CORP COM 88650R108 2456 92782 SH SOLE 92782
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TIME WARNER CABLE INC CL A 88732J108 491 14964 SH SOLE 14964
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TITANIUM METALS CORP COM NEW 888339207 1283 38234 SH SOLE 38234
TJX COS INC NEW NOTE 2/1 872540AL3 486 500000 PRN SOLE 500000
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TOYOTA MOTOR CORP SP ADR REP2COM 892331307 1840 15746 SH SOLE 15746
TRAVELERS COMPANIES INC COM 89417E109 12370 245726 SH SOLE 245726
TRICO BANCSHARES COM 896095106 856 38434 SH SOLE 38434
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TRONOX INC CL A 897051108 507 54549 SH SOLE 54549
TUPPERWARE BRANDS CORP COM 899896104 393 12487 SH SOLE 12487
TXU CORP COM 873168108 1305 19056 SH SOLE 19056
U S B HLDG INC COM 902910108 9262 398700 SH SOLE 398700
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UNITED THERAPEUTICS CORP DEL NOTE 0.500%10/1 91307CAD4 1073 1000000 PRN SOLE 1000000
UNITEDHEALTH GROUP INC COM 91324P102 22224 458884 SH SOLE 458884
UNIVERSAL ELECTRS INC COM 913483103 511 15729 SH SOLE 15729
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V F CORP COM 918204108 5604 69399 SH SOLE 69399
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VALASSIS COMMUNICATIONS INC NOTE 1.625% 5/2 918866AK0 255 400000 PRN SOLE 400000
VALEANT PHARMACEUTICALS INTL COM 91911X104 1221 78873 SH SOLE 78873
VALUECLICK INC COM 92046N102 237 10542 SH SOLE 10542
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VENTAS INC COM 92276F100 5964 144054 SH SOLE 144054
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VIEWPOINT FINL GROUP COM 926727108 491 26566 SH SOLE 26566
VIGNETTE CORP COM NEW 926734401 283 14084 SH SOLE 14084
VISHAY INTERTECHNOLOGY INC COM 928298108 303 23241 SH SOLE 23241
VIVO PARTICIPACOES S A SPON ADR PFD 92855S101 204 41053 SH SOLE 41053
VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 644 500000 PRN SOLE 500000
VORNADO RLTY TR SH BEN INT 929042109 3016 27580 SH SOLE 27580
VULCAN MATLS CO COM 929160109 1820 20410 SH SOLE 20410
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WASHINGTON BKG CO OAK HBR WA COM 937303105 977 48398 SH SOLE 48398
WASHINGTON GROUP INTL INC COM NEW 938862208 7517 85607 SH SOLE 85607
WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AJ0 469 500000 PRN SOLE 500000
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WAUWATOSA HLDGS INC COM 94348P108 260 15998 SH SOLE 15998
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WHIRLPOOL CORP COM 963320106 7509 84272 SH SOLE 84272
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WILMINGTON TRUST CORP COM 971807102 1256 32287 SH SOLE 32287
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WYETH COM 983024100 4791 107549 SH SOLE 107549
WYETH DBCV 1/1 983024AD2 523 500000 PRN SOLE 500000
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XM SATELLITE RADIO HLDGS INC CL A 983759101 8653 610625 SH SOLE 610625
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YELLOW ROADWAY CORP NOTE 3.375%11/2 985577AB1 982 1000000 PRN SOLE 1000000
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ZALE CORP NEW COM 988858106 419 18114 SH SOLE 18114
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ZIONS BANCORPORATION COM 989701107 1826 26595 SH SOLE 26595
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