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 NEOWARE INC COM 64065P102 349 21547 SH SOLE 21547 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 NEWELL RUBBERMAID INC COM 651229106 5128 177930 SH SOLE 177930 NEWMONT MINING CORP COM 651639106 2104 47032 SH SOLE 47032 NEXCEN BRANDS INC COM 653351106 446 66420 SH SOLE 66420 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 NORDSTROM INC COM 655664100 2444 52125 SH SOLE 52125 NORTH PITTSBURGH SYS INC COM 661562108 3173 133530 SH SOLE 133530 NORTH VALLEY BANCORP COM 66304M105 5987 262598 SH SOLE 262598 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 PRIDE INTL INC 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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 RELIANT ENERGY INC COM 75952B105 552 21553 SH SOLE 21553 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 ROSS STORES INC COM 778296103 537 20941 SH SOLE 20941 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 SL GREEN RLTY CORP COM 78440X101 6583 56374 SH SOLE 56374 SLADES FERRY BANCORP COM 830896106 236 15800 SH SOLE 15800 SMITHWAY MTR XPRESS CORP CL A 832653109 328 34200 SH SOLE 34200 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 SONOCO PRODS CO COM 835495102 1596 52895 SH SOLE 52895 SOTHEBYS COM 835898107 920 19258 SH SOLE 19258 SOUTHCOAST FINANCIAL CORP COM 84129R100 271 14818 SH SOLE 14818 SOUTHWESTERN ENERGY CO COM 845467109 3588 85737 SH SOLE 85737 SOVEREIGN BANCORP INC COM 845905108 6034 354119 SH SOLE 354119 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 STARBUCKS CORP COM 855244109 2331 88955 SH SOLE 88955 STATS CHIPPAC LTD SPONSORED ADR 85771T104 481 44610 SH SOLE 44610 STERLING FINL CORP COM 859317109 2108 122916 SH SOLE 122916 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 SUNOCO INC COM 86764P109 1055 14899 SH SOLE 14899 SUNTECH PWR HLDGS CO LTD ADR 86800C104 1263 31657 SH SOLE 31657 SUNTRUST BKS INC COM 867914103 1792 23676 SH SOLE 23676 SUPERIOR BANCORP COM 86806M106 400 45300 SH SOLE 45300 SUPERIOR ENERGY SVCS INC COM 868157108 4134 116657 SH SOLE 116657 SUPERVALU INC COM 868536103 7064 181091 SH SOLE 181091 SWISS HELVETIA FD INC COM 870875101 1309 72400 SH SOLE 72400 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 TECK COMINCO LTD CL B 878742204 792 16598 SH SOLE 16598 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 TELEFONOS DE MEXICO S A B SPON ADR ORD L 879403780 3746 113950 SH SOLE 113950 TELETECH HOLDINGS INC COM 879939106 836 34961 SH SOLE 34961 TEMPLE INLAND INC COM 879868107 5000 95001 SH SOLE 95001 TEMPLETON DRAGON FD INC COM 88018T101 345 10900 SH SOLE 10900 TERADYNE INC COM 880770102 2085 151096 SH SOLE 151096 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 TIDELANDS BANCSHARES INC COM 886374107 852 65000 SH SOLE 65000 TIDEWATER INC COM 886423102 3725 59281 SH SOLE 59281 TIERONE CORP COM 88650R108 2456 92782 SH SOLE 92782 TIMBERLAND BANCORP INC COM 887098101 459 29300 SH SOLE 29300 TIME WARNER CABLE INC CL A 88732J108 491 14964 SH SOLE 14964 TIME WARNER INC COM 887317105 4250 231494 SH SOLE 231494 TIME WARNER TELECOM INC CL A 887319101 347 15789 SH SOLE 15789 TITANIUM METALS CORP COM NEW 888339207 1283 38234 SH SOLE 38234 TJX COS INC NEW NOTE 2/1 872540AL3 486 500000 PRN SOLE 500000 TORCHMARK CORP COM 891027104 2867 46000 SH SOLE 46000 TOTAL SYS SVCS INC COM 891906109 290 10444 SH SOLE 10444 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 TRINITY INDS INC COM 896522109 3269 87073 SH SOLE 87073 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 UBS AG SHS NEW H89231338 2739 51430 SH SOLE 51430 UIL HLDG CORP COM 902748102 1697 53875 SH SOLE 53875 UNILEVER N V N Y SHS NEW 904784709 423 13725 SH SOLE 13725 UNION PAC CORP COM 907818108 4851 42905 SH SOLE 42905 UNITED FINANCIAL BANCORP INC COM 91030R103 270 21500 SH SOLE 21500 UNITED RENTALS INC COM 911363109 1411 43867 SH SOLE 43867 UNITED RETAIL GROUP INC COM 911380103 3069 225801 SH SOLE 225801 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 UNUM GROUP COM 91529Y106 2946 120412 SH SOLE 120412 USEC INC COM 90333E108 361 35179 SH SOLE 35179 UST INC COM 902911106 1540 31044 SH SOLE 31044 V F CORP COM 918204108 5604 69399 SH SOLE 69399 VALASSIS COMMUNICATIONS INC COM 918866104 319 35815 SH SOLE 35815 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 VARIAN MED SYS INC COM 92220P105 3111 74268 SH SOLE 74268 VECTREN CORP COM 92240G101 461 16877 SH SOLE 16877 VENTAS INC COM 92276F100 5964 144054 SH SOLE 144054 VERTEX PHARMACEUTICALS INC COM 92532F100 577 15014 SH SOLE 15014 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 WABCO HLDGS INC COM 92927K102 958 20486 SH SOLE 20486 WAL MART STORES INC COM 931142103 1324 30323 SH SOLE 30323 WALTER INDS INC COM 93317Q105 947 35189 SH SOLE 35189 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 WASTE MGMT INC DEL COM 94106L109 5984 158559 SH SOLE 158559 WAUWATOSA HLDGS INC COM 94348P108 260 15998 SH SOLE 15998 WEB COM INC COM NEW 94732Q100 3663 512300 SH SOLE 512300 WEINGARTEN RLTY INVS NOTE 3.950% 8/0 948741AF0 1014 1000000 PRN SOLE 1000000 WESCO INTL INC DBCV 2.625%10/1 95082PAE5 1205 1000000 PRN SOLE 1000000 WESTERN ASSET INFL MGMT FD I COM 95766U107 618 38700 SH SOLE 38700 WESTERN UN CO COM 959802109 893 42593 SH SOLE 42593 WESTFIELD FINANCIAL INC NEW COM 96008P104 743 76487 SH SOLE 76487 WHIRLPOOL CORP COM 963320106 7509 84272 SH SOLE 84272 WILLIAMS SCOTSMAN INTL INC COM 96950G102 295 10642 SH SOLE 10642 WILMINGTON TRUST CORP COM 971807102 1256 32287 SH SOLE 32287 WILSHIRE ENTERPRISES INC COM 971889100 226 51900 SH SOLE 51900 WMS INDS INC NOTE 2.750% 7/1 929297AE9 682 269000 PRN SOLE 269000 WYETH COM 983024100 4791 107549 SH SOLE 107549 WYETH DBCV 1/1 983024AD2 523 500000 PRN SOLE 500000 WYNDHAM WORLDWIDE CORP COM 98310W108 399 12183 SH SOLE 12183 XILINX INC COM 983919101 5079 194306 SH SOLE 194306 XM SATELLITE RADIO HLDGS INC CL A 983759101 8653 610625 SH SOLE 610625 YARDVILLE NATL BANCORP COM 985021104 8486 252323 SH SOLE 252323 YELLOW ROADWAY CORP NOTE 3.375%11/2 985577AB1 982 1000000 PRN SOLE 1000000 YELLOW ROADWAY CORP NOTE 5.000% 8/0 985577AA3 1608 1500000 PRN SOLE 1500000 ZALE CORP NEW COM 988858106 419 18114 SH SOLE 18114 ZIMMER HLDGS INC COM 98956P102 4043 49917 SH SOLE 49917 ZIONS BANCORPORATION COM 989701107 1826 26595 SH SOLE 26595 ZWEIG FD COM 989834106 1260 241905 SH SOLE 241905