Part III

 
CONTENT

[Federal Register: August 6, 2004 (Volume 69, Number 151)]

[Notices]

[Page 48032-48038]

From the Federal Register Online via GPO Access [wais.access.gpo.gov]

[DOCID:fr06au04-124]

[[Page 48032]]

SECURITIES AND EXCHANGE COMMISSION

[Release No. 50104/July 28, 2004]

Securities Exchange Act of 1934; Order Suspending the Operation of Short Sale Price Provisions for Designated Securities and Time Periods

The Securities and Exchange Commission (``Commission''), by this Order, is establishing a Pilot (``Pilot'') suspending the provisions of Rule 10a-1(a) under the Securities Exchange Act of 1934 (the ``Act'') \1\ and any short sale price test of any exchange or national securities association for: (1) Short sales \2\ in the stocks identified in Appendix A to this Order; (2) short sales in any security included in the Russell 1000 index effected between 4:15 p.m. EST and the open of the consolidated tape \3\ on the following day; and (3) short sales in any security not included in paragraphs (1) and (2) above effected in the period between the close of the consolidated tape and the open of the consolidated tape the following day. The Commission is establishing this Pilot for a one-year period commencing on January 3, 2005. The Commission may issue subsequent orders that affect the operation of the Pilot. The Commission finds that the Pilot is necessary and appropriate in the public interest and consistent with the protection of investors.\4\

\1\ 17 CFR 240.10a-1.

\2\ ``Short sale'' is defined in Rule 200 of Regulation SHO, 17 CFR 242.200.

\3\ The term ``consolidated tape'' refers to the effective transaction reporting plan of the Consolidated Tape Association.

\4\ In addition, pursuant to Section 3(f) of the Act, the Commission has considered the Pilot's impact on efficiency, competition, and capital formation. 15 U.S.C. 78c(f).

  1. Short Selling In Designated Securities

    During the term of the Pilot, all short selling in the securities identified in Appendix A to this Order shall be effected without regard to the provisions of Rule 10a-1(a) and any short sale price test of any exchange or national securities association. As discussed below, the Commission has selected a subset of stocks from the Russell 3000 index for inclusion in the Pilot, after giving due consideration to the liquidity, volatility, market depth and trading market of these securities.

    A pilot that includes a subset of securities from the Russell 3000 provides a balanced and targeted approach to assessing the efficacy of a price test for short sales for a broad range of securities. The average daily dollar volume for the securities in the Russell 3000 index in 2003 was $22.9 million dollars.

    We selected the securities to be included in the Pilot by first excluding the 32 securities in the Russell 3000 index as of June 25, 2004 that are not Nasdaq national market securities (``NNM''), listed on the American Stock Exchange (``Amex''), or listed on the New York Stock Exchange (``NYSE'') because short sales in these securities are currently not subject to a price test. We also excluded issuers whose initial public offerings commenced after April 30, 2004.\5\ We then sorted the remaining securities into three groups--Amex, Nasdaq NNM and NYSE--and ranked the securities in each group by average daily dollar volume over the one year prior to the issuance of this order from highest to lowest for the period.\6\ In each group, we then selected every third stock from the remaining stocks.\7\

    \5\ Similarly, we excluded spin-offs commencing after April 30, 2004.

    \6\ Securities selected for inclusion in the Pilot will remain in the Pilot even if during the term of the Pilot they cease being included in the Russell 3000 index.

    \7\ In each group, we started our selection with the second stock in order to have a more representative daily dollar volume sample. The most representative stock in a group of three stocks ranked by volume would be the middle stock. Thus, to select the most representative sample for the pilot, we would select the second stock of every three stocks; in other words, every third stock starting with the second.

    The Pilot stocks consist of 50% NYSE listed securities, 2.2% Amex listed securities, and 47.8% Nasdaq NNM securities. The Pilot stocks include stocks that have associated options trading on a registered options exchange or Nasdaq (63.7% of Pilot stocks) and associated securities futures (2.8% of Pilot stocks).\8\

    \8\ The percentage of the stocks selected for the Pilot that are NYSE or Amex listed, or Nasdaq NNM, or for which there are associated options or securities futures, are representational of the Russell 3000 index as a whole. Specifically, the Russell 3000 index is composed of 49.9% NYSE listed securities, 2.2% Amex listed securities, 47.9% Nasdaq NNM securities, 63% with associated options, and 3.4% with associated single stock futures.

    The Pilot includes securities with varying levels of liquidity, which will enable us to examine whether the absence of a short sale price test affects less liquid and more liquid securities differently. We do not believe that there is sufficient volatility in these securities so as to make them inappropriate for inclusion in the Pilot. In addition, these securities have significant market depth, and are traded on exchanges or other organized markets with high levels of transparency and surveillance, which will enhance the ability of the Commission and self-regulatory organizations (``SROs'') to monitor trading behavior during the Pilot and surveil for manipulative short selling.

    The remaining stocks in the Russell 3000 index will function as the control group.\9\ The securities in the control group are similar to the stocks in the Pilot group in terms of the percentage of NYSE, Amex, and Nasdaq securities, as well as securities for which there are associated options and single stock futures.\10\

    \9\ Like the group of pilot stocks, the control group will exclude any securities as to which there is currently no price test (i.e., securities that are not exchange-listed or Nasdaq NNM).

    \10\ Specifically, the control group is composed of 49.9% NYSE listed securities, 2.2% Amex listed securities, 47.9% Nasdaq securities, 62.7% with associated options, and 3.7% with associated single stock futures.

    We are establishing the Pilot as part of the Commission's review of short sale regulation.\11\ The Pilot is in the public interest because it will assist us in assessing whether changes to short sale regulation are necessary in light of current market practices and the purposes underlying short sale regulation.\12\ The Pilot will enable us to obtain empirical data to help assess whether short sale regulation should be removed, in part or in whole, for actively-traded securities, or if retained, should be applied to additional securities. The Pilot will allow us to study trading behavior in the absence of a short sale price test on the stocks selected by comparing the trading behavior of the control group stocks to that of the Pilot stocks through empirical analysis. We will examine, among other things, the impact of price tests on market quality (including volatility and liquidity), whether any price changes are caused by short selling, costs imposed by a price test, and the use of alternative means to establish short positions.

    \11\ See Securities Exchange Act Release No. 50103 (July 28, 2004) (``Adopting Release'').

    \12\ Adopting Release.

    We do not believe that any variations in prices and trading activity between the Pilot stocks and similar securities not subject to the price test will be problematic. The risk of any adverse impact on the Pilot securities is expected to be small, particularly relative to the benefits of obtaining empirical data regarding trading behavior in the absence of a short sale price test.\13\ A large number of Pilot

    [[Page 48033]]

    stocks are actively traded, and as we have previously stated, we believe that actively traded securities are less susceptible to manipulation.\14\ In addition, the Commission and the SROs will monitor trading activity during the Pilot and surveil for manipulative short selling.

    \13\ The general anti-fraud and anti-manipulation provisions of the federal securities laws will continue to apply to trading in these securities, thus prohibiting trading activity designed to improperly influence the price of a security. See, e.g., Section 17(a) of the Securities Act of 1933, 15 U.S.C. 77q(a), and Sections 9(a), 10(b), and 15(c) of the Act, 15 U.S.C. 78i(a), 78j(b) and 78o(c), and Rules 10b-5 and 15c1-2 thereunder, 17 CFR 240.10b-5 and 240.15c1-2. Moreover, the Commission expects that SROs will actively monitor trading in the Pilot securities to identify any improper or abusive short selling during the course of the Pilot.

    \14\ See Securities Exchange Act Release No. 38067, 62 FR 520 (Jan. 3, 1997) (adopting anti-manipulation rules including an exception to the rules for trading activity in securities with high average daily trading volume (``ADTV'')).

    We believe that a one-year Pilot will allow the Commission sufficient time to gather and analyze data necessary to reach conclusions regarding trading behavior in the absence of short sale price restrictions. The Commission, however, may, by further order, terminate, extend the period of, or modify the Pilot as it determines necessary or appropriate in the public interest or for the protection of investors. In addition, the Pilot will suspend only the operation of short sale price tests. All other short sale rules, including the other provisions of Rule 10a-1,\15\ the marking, locate and delivery requirements adopted under Regulation SHO,\16\ and applicable SRO rules, will remain in effect.

    \15\ 17 CFR 240.10a-1.

    \16\ 17 CFR 242.200, 242.203.

  2. Short Selling During After-Hours Trading

    During the Pilot, short sales: (1) In any security included in the Russell 1000 index effected after 4:15 p.m. e.s.t. and the open of the consolidated tape on the following day; and (2) in any security not included either in paragraph (1) or in the designated securities described in Section I above effected between the close of the consolidated tape and the open of the consolidated tape on the following day, shall be effected without regard to the provisions of Rule 10a-1(a) and any short sale price test of any exchange or national securities association.

    Securities in the Russell 1000 index are appropriate for inclusion in a Pilot examining short sales between 4:15 p.m. and the close of the consolidated tape.\17\ The Russell 1000 index represents a broad range of securities; it comprises 1,000 of the largest companies in the Russell 3000 index (approximately 92% of the total market capitalization of the Russell 3000 index).\18\ Although there is limited trading volume in these securities after 4:15 p.m., we believe the liquidity is sufficient to allow us to examine the impact of removing short sale price tests.

    \17\ Regular trading-hours are between 9:30 a.m. and 4:00 p.m. e.s.t. See Electronic Communication Networks and After-Hours Trading Report by the Division of Market Regulation, June 2000, at 4. However, trade reporting can be delayed and continue past 4:00 p.m. Therefore, for purposes of the Pilot we have set 4:15 p.m. as the end of regular trading activity.

    \18\ Securities selected for inclusion in this portion of the after-hours Pilot will remain in the Pilot even if during the term of the Pilot they cease being included in the Russell 1000 index.

    Moreover, we believe securities in the Russell 1000 index are less susceptible to manipulative short selling in the absence of a price test after 4:15 p.m. than securities of issuers with a lower market capitalization. A subset of the Russell 3000, the Russell 1000 securities generally trade on exchanges or other organized market centers, and we believe that as a result, the investment community widely follows Russell 1000 index securities. Any aberrations in price are likely to be observed and addressed quickly. In addition, while after-hours trading has grown in recent years, the volume is relatively small compared to the volume of trading occurring during regular trading hours when liquidity is greatest and prices reflect active market interest.\19\ Thus, the impact of any manipulative short selling after hours would be less than the effect of such activity during regular market hours because after-hours prices are not widely viewed as indicative of normal market prices. Further, we do not believe that there is sufficient volatility in these securities after hours so as to make them inappropriate for inclusion in the Pilot. The lack of significant market depth in these securities after hours will allow us to examine what effect, if any, removing a short sale price test has where information on buy and sell orders is not as readily available.

    \19\ For example, based on a sample of a trading day in January of 2000, only 3% of the share volume in NYSE-listed securities was effected after 4 p.m. Similarly, share volume from post-4:00 p.m. trades in Nasdaq securities for the same date accounted for only 3% of the daily total. A vast majority of this after-hours trading volume in both markets was effected shortly after the regular session closed through market structured after-market execution opportunities, i.e., crossing-sessions. Electronic Communication Networks and After-Hours Trading Report at 12-13.

    This portion of the Pilot will allow us to examine whether removing a price test after the close of regular trading in securities included in the Russell 1000 index would benefit investors and the markets by increasing liquidity and pricing efficiency in these securities in the after-hours market. We will also be able to study whether the absence of a short sale price test enhances a broker-dealer's ability to facilitate customer orders in a security at a specific reference price, such as the closing price or volume weighted average price, that are often executed in the after-market.

    For these reasons, we believe that it is appropriate that the Pilot include the suspension of all price tests for all securities included in the Russell 1000 index for short sales effected between 4:15 p.m. and the open of the consolidated tape the following day.\20\

    \20\ The consolidated tape operates from 8 a.m. to 8 p.m. e.s.t. See Securities Exchange Act Release No. 44983 (October 25, 2001), 66 FR 55225, 55227 (November 1, 2001). The NASD's short sale rule, Rule 3350, is currently not applicable beyond traditional market hours (9:30 a.m. to 4 p.m. Eastern Time). See NASD Notice to Members 94- 68.

    We are also removing the price tests during the one-year Pilot period for short sales in any other security effected when the consolidated tape is not operating. This portion of the Pilot is important because it will allow us to study the effect of removal of a price test on a broader segment of the market than the other parts of the Pilot while the consolidated tape is not operating. It will also allow us to study whether, and to what extent, removal of the price test after hours will affect regular trading in the security on the following day. Moreover, we do not believe this portion of the Pilot will pose any threat to liquidity or increase volatility in these securities after-hours. Historically, the Commission has found that there is little evidence that significant trading activity occurs when the consolidated tape is not operating,\21\ and there is little transparency or market depth. Nevertheless, the Commission and the SROs will monitor the trading and our analysis of data obtained from the Pilot will also focus on the impact of after-hours short selling.

    \21\ Electronic Communication Networks and After-Hours Trading Report at 13.

  3. Conclusion

    The Commission finds that establishing the Pilot for the reasons stated above is necessary and appropriate in the public interest and consistent with the protection of investors. The Pilot will allow the Commission to obtain empirical data and study the effects of short selling in the absence of price test restrictions.

    Accordingly,

    1. It is hereby ordered that the suspension of the short sale price tests described below in Paragraph B shall commence on January 3, 2005, and shall terminate on December 31, 2005. The Commission from time to time may issue further orders affecting the operation of this Order.

      [[Page 48034]]

    2. It is further ordered that the provisions of Rule 10a-1(a) and any short sale price test of any exchange or national securities association are suspended with respect to:

      (1) Short sales in the securities set forth in Appendix A to this Order;

      (2) Short sales in any security included in the Russell 1000 index effected between 4:15 p.m. e.s.t. and the open of the consolidated tape on the following day; and

      (3) Short sales in any security not included in paragraphs (1) and (2) above effected between the close of the consolidated tape and the open of the consolidated tape on the following day.

      All other provisions of Rule 10a-1 shall remain in effect.

    3. It is further ordered that no self-regulatory organization shall have a rule that is not in conformity with or conflicts with the provisions of Paragraph B. All other provisions of the rules of any self-regulatory organization shall remain in effect.

      By the Commission. Jill M. Peterson, Assistant Secretary.

      Appendix A

      The following securities are subject to this Order:

      Ticker symbol

      Company name

      A............................. AGILENT TECHNOLOGIES INC AAI........................... AIRTRAN HOLDINGS INC AAON.......................... AAON INC ABC........................... AMERISOURCEBERGEN CORP ABCO.......................... ADVISORY BOARD CO ABCW.......................... ANCHOR BANCORP INC ABGX.......................... ABGENIX INC ABK........................... AMBAC FINANCIAL GRP INC ABMD.......................... ABIOMED INC ABR........................... ARBOR REALTY TRUST INC ABRX.......................... ABLE LABORATORIES INC ABT........................... ABBOTT LABORATORIES ACAI.......................... ATLANTIC COAST AIRLINES ACAP.......................... AMERICAN PHYSICIANS CAP ACMR.......................... A C MOORE ARTS & CRAFTS ACTI.......................... ACTIVCARD CORP ACV........................... ALBERTO CULVER CO AD............................ ADVO INC ADIC.......................... ADVANCED DIGITAL INFO ADLR.......................... ADOLOR CORP ADVNB......................... ADVANTA CORP AEIS.......................... ADVANCED ENERGY INDS INC AES........................... AES CORP AF............................ ASTORIA FINANCIAL CORP AFC........................... ALLMERICA FINANCIAL CORP AFCO.......................... APPLIED FILMS CORP AFFX.......................... AFFYMETRIX INC AFR........................... AMERICAN FINANCIAL RLTY AGE........................... EDWARDS AG INC AGII.......................... ARGONAUT GROUP INC AGN........................... ALLERGAN INC AGP........................... AMERIGROUP CORP AGR.B......................... AGERE SYSTEMS INC AGYS.......................... AGILYSYS INC AHC........................... AMERADA HESS CORP AHG........................... APRIA HEALTHCARE GROUP AHR........................... ANTHRACITE CAPITAL INC AHS........................... AMN HEALTHCARE SERVICES AINV.......................... APOLLO INVESTMENT CORP AIQ........................... ALLIANCE IMAGING INC AKAM.......................... AKAMAI TECHNOLOGIES ALD........................... ALLIED CAPITAL CORP ALEX.......................... ALEXANDER & BALDWIN INC ALGN.......................... ALIGN TECHNOLOGY INC ALKS.......................... ALKERMES INC ALL........................... ALLSTATE CORP ALOG.......................... ANALOGIC CORP ALSC.......................... ALLIANCE SEMICONDUCTOR ALX........................... ALEXANDERS INC AMD........................... ADVANCED MICRO DEVICES AMED.......................... AMEDISYS INC AML........................... AMLI RESIDENTIAL PPTYS AMMD.......................... AMERICAN MEDICAL SYSTEMS AMRI.......................... ALBANY MOLECULAR RESRCH AMTD.......................... AMERITRADE HOLDING CORP ANDW.......................... ANDREW CORP ANEN.......................... ANAREN INC ANH........................... ANWORTH MORTGAGE ASSET ANSI.......................... ADVANCED NEUROMODULATION ANSR.......................... ANSWERTHINK INC ANSS.......................... ANSYS INC AOS........................... SMITH A O CORP AOT........................... APOGENT TECHNOLOGIES APC........................... ANADARKO PETROLEUM CORP APCC.......................... AMERICAN PWR CONVERSION APH........................... AMPHENOL CORP APOG.......................... APOGEE ENTERPRISES INC APOL.......................... APOLLO GROUP INC APPB.......................... APPLEBEES INTERNATIONAL APPX.......................... AMERICAN PHARMA PARTNERS APSG.......................... APPLIED SIGNAL TECH ARE........................... ALEXANDRIA REAL ESTATE ARTC.......................... ARTHROCARE CORP ARW........................... ARROW ELECTRONICS INC ARXX.......................... AEROFLEX INC ASBC.......................... ASSOCIATED BANC CORP ASCA.......................... AMERISTAR CASINOS INC ASGR.......................... AMERICA SERVICE GROUP ASKJ.......................... ASK JEEVES INC ASTE.......................... ASTEC INDUSTRIES INC ATAC.......................... AFTERMARKET TECHNOLOGY ATG........................... AGL RESOURCES INC ATI........................... ALLEGHENY TECHNOLOGIES ATK........................... ALLIANT TECHSYSTEMS ATMI.......................... ATMI INC ATML.......................... ATMEL CORP ATN........................... ACTION PERFORMANCE COS ATR........................... APTARGROUP INC ATRX.......................... ATRIX LABS INC AUGT.......................... AUGUST TECHNOLOGY CORP AV............................ AVAYA INC AVID.......................... AVID TECHNOLOGY INC AVTR.......................... AVATAR HOLDINGS INC AVX........................... AVX CORP AVY........................... AVERY DENNISON CORP AWBC.......................... AMERICANWEST BANCORP AWE........................... AT&T WIRELESS SERVICES AWR........................... AMERICAN STATES WATER CO AXE........................... ANIXTER INTERNATIONAL AYI........................... ACUITY BRANDS INC AZR........................... AZTAR CORP B............................. BARNES GROUP INC BBA........................... BOMBAY CO INC BBOX.......................... BLACK BOX CORP BBT........................... BB&T CORP BC............................ BRUNSWICK CORP BCSI.......................... BLUE COAT SYSTEMS INC BDG........................... BANDAG INC BDN........................... BRANDYWINE REALTY TRUST BEAS.......................... BEA SYSTEMS INC BEAV.......................... BE AEROSPACE INC BEBE.......................... BEBE STORES INC BEC........................... BECKMAN COULTER INC BEN........................... FRANKLIN RESOURCES INC BF.B.......................... BROWN FORMAN CORP BFS........................... SAUL CENTERS INC BGFV.......................... BIG 5 SPORTING GOODS BGP........................... BORDERS GROUP INC BHS........................... BROOKFIELD HOMES CORP BIIB.......................... BIOGEN IDEC INC BIO........................... BIO-RAD LABORATORIES INC BIOV.......................... BIOVERIS CORPORATION BJ............................ BJS WHOLESALE CLUB INC BLC........................... BELO CORP BLS........................... BELLSOUTH CORP BMC........................... BMC SOFTWARE INC BNI........................... BURLINGTON NORTHERN BOBE.......................... BOB EVANS FARMS INC BPOP.......................... POPULAR INC BR............................ BURLINGTON RESOURCES INC BRCD.......................... BROCADE COMMUNICATIONS BRCM.......................... BROADCOM CORP BRL........................... BARR PHARMACEUTICALS IN BRO........................... BROWN & BROWN INC BRW........................... BRISTOL WEST HLDGS INC BRY........................... BERRY PETROLEUM CO BSBN.......................... BSB BANCORP BSC........................... BEAR STEARNS COS INC BSTE.......................... BIOSITE INC BSX........................... BOSTON SCIENTIFIC CO BTRX.......................... BARRIER THERAPEUTICS INC BWS........................... BROWN SHOE INC BXS........................... BANCORPSOUTH INC BYD........................... BOYD GAMING CORP CAC........................... CAMDEN NATIONAL CORP CACH.......................... CACHE INC CAH........................... CARDINAL HEALTH INC CAI........................... CACI INTERNATIONAL INC CAKE.......................... CHEESECAKE FACTORY INC CAL........................... CONTINENTAL AIRLINES INC CALM.......................... CAL MAINE FOODS INC CAM........................... COOPER CAMERON CORP CAMD.......................... CALIFORNIA MICRO DEVICES CARS.......................... CAPITAL AUTOMOTIVE REIT CASY.......................... CASEYS GENERAL STORES CATY.......................... CATHAY GENERAL BANCORP CB............................ CHUBB CORP CBB........................... CINCINNATI BELL INC CBSH.......................... COMMERCE BANCSHARES INC CBSS.......................... COMPASS BANCSHARES INC CBT........................... CABOT CORP CBU........................... COMMUNITY BANK SYSTEMS CCCG.......................... CCC INFORMATION SVCS CCE........................... COCA COLA ENTERPRISE CCRN.......................... CROSS COUNTRY HEALTHCARE CCRT.......................... COMPUCREDIT CORP CCU........................... CLEAR CHANNEL COMM INC CDE........................... COEUR D ALENE MINES CORP CDI........................... CDI CORP CDIS.......................... CAL DIVE INTERNATIONAL CDT........................... CABLE DESIGN TECHNOLOGY CEG........................... CONSTELLATION ENERGY GRP CENT.......................... CENTRAL GARDEN & PET CO CERN.......................... CERNER CORP CEY........................... CERTEGY INC CFBX.......................... COMMUNITY FIRST BANK CFC........................... COUNTRYWIDE FINANCIAL CG............................ LOEWS CORP--CAROLINA GR CGC........................... CASCADE NATURAL GAS CORP

      [[Page 48035]]

      CGX........................... CONSOLIDATED GRAPHIC CHCO.......................... CITY HOLDING CO CHE........................... CHEMED CORPORATION CHFC.......................... CHEMICAL FINANCIAL CORP CHH........................... CHOICE HOTELS INTL INC CHK........................... CHESAPEAKE ENERGY CORP CHRD.......................... CHORDIANT SOFTWARE INC CHRS.......................... CHARMING SHOPPES INC CHTT.......................... CHATTEM INC CHUX.......................... O CHARLEYS INC CI............................ CIGNA CORP CIA........................... CITIZENS INC CIMA.......................... CIMA LABS INC CK............................ CROMPTON CORP CKEC.......................... CARMIKE CINEMAS INC CKFR.......................... CHECKFREE CORP CKH........................... SEACOR HOLDINGS INC CKR........................... CKE RESTAURANTS INC CL............................ COLGATE PALMOLIVE CO CLE........................... CLAIRES STORES INC CLFC.......................... CENTER FINANCIAL CORP CLRS.......................... CLARUS CORP CLSR.......................... CLOSURE MEDICAL CORP CLZR.......................... CANDELA CORP CMLS.......................... CUMULUS MEDIA INC CMPC.......................... COMPUCOM SYSTEMS INC CMS........................... CMS ENERGY CORP CMTL.......................... COMTECH TELECOMM CMTY.......................... COMMUNITY BANKS INC CNA........................... CNA FINANCIAL CORP CNB........................... COLONIAL BANCGROUP INC CNMD.......................... CONMED CORP CNT........................... CENTERPOINT PPTYS TRUST COCO.......................... CORINTHIAN COLLEGES INC COKE.......................... COCA COLA BOTTLING COLB.......................... COLUMBIA BKG SYSTEM INC COO........................... COOPER COMPANIES INC COP........................... CONOCOPHILLIPS CORI.......................... CORILLIAN CORP COSI.......................... COSI INC COST.......................... COSTCO WHOLESALE CORP CPB........................... CAMPBELL SOUP CO CPHD.......................... CEPHEID INC CPKI.......................... CALIFORNIA PIZZA KITCHEN CPRT.......................... COPART INC CPS........................... CHOICEPOINT INC CPWM.......................... COST PLUS INC CRA........................... APPLERA CORP CELERA CRD.B......................... CRAWFORD & CO CRN........................... CORNELL COMPANIES INC CRS........................... CARPENTER TECHNOLOGY CRWN.......................... CROWN MEDIA HOLDINGS INC CSC........................... COMPUTER SCIENCES CORP CSE........................... CAPITALSOURCE INC CSS........................... CSS INDUSTRIES INC CSTR.......................... COINSTAR INC CSX........................... CSX CORP CTB........................... COOPER TIRE & RUBBER CO CTBI.......................... COMMUNITY TRUST BANCORP CTCO.......................... COMMONWEALTH TEL ENT CTIC.......................... CELL THERAPEUTICS INC CTL........................... CENTURYTEL INC CTO........................... CONSOLIDATED TOMOKA LAND CTR........................... CATO CORP CTS........................... CTS CORP CTSH.......................... COGNIZANT TECH SOLUTIONS CTXS.......................... CITRIX SYSTEMS INC CUB........................... CUBIC CORP CUNO.......................... CUNO INC CUZ........................... COUSINS PROPERTIES INC CV............................ CENTRAL VERMONT PUB SVC CVTX.......................... CV THERAPEUTICS INC CYPB.......................... CYPRESS BIOSCIENCES INC CYTK.......................... CYTOKINETICS INC DAR........................... DARLING INTERNATIONAL DBRN.......................... DRESS BARN INC DCI........................... DONALDSON INC DCLK.......................... DOUBLECLICK INC DCN........................... DANA CORP DDIC.......................... DDI CORP DDS........................... DILLARDS INC DECK.......................... DECKERS OUTDOOR CORP DGII.......................... DIGI INTL INC DGIN.......................... DIGITAL INSIGHT CORP DHC........................... DANIELSON HOLDING CORP DIS........................... DISNEY WALT CO DJO........................... DJ ORTHOPEDICS INC DKS........................... DICKS SPORTING GOODS INC DLTR.......................... DOLLAR TREE STORES INC DMRC.......................... DIGIMARC CORP DOV........................... DOVER CORP DOVP.......................... DOV PHARMACEUTICAL INC DP............................ DIAGNOSTIC PRODUCTS CORP DPMI.......................... DUPONT PHOTOMASKS INC DPTR.......................... DELTA PETROLEUM CORP DRE........................... DUKE REALTY CORP DRXR.......................... DREXLER TECHNOLOGY CORP DSS........................... QUANTUM CORP DTAS.......................... DIGITAS INC DTPI.......................... DIAMONDCLUSTER INTL INC DTSI.......................... DIGITAL THEATRE SYSTEMS DUSA.......................... DUSA PHARMACEUTICALS INC DV............................ DEVRY INC DVD........................... DOVER MOTORSPORTS INC EAC........................... ENCORE ACQUISITION CO EAS........................... ENERGY EAST CORP EASI.......................... ENGINEERED SUPPORT SYS EBAY.......................... EBAY INC EBF........................... ENNIS BUSINESS FORMS INC ECLG.......................... ECOLLEGE COM ECSI.......................... ENDOCARDIAL SOLUTIONS ED............................ CONSOLIDATED EDISON INC EDLG.......................... EDUCATION LENDING GROUP EDS........................... ELECTRONIC DATA SYSTEMS EFD........................... EFUNDS CORP EFII.......................... ELECTRONICS FOR IMAGING EFX........................... EQUIFAX INC EGN........................... ENERGEN CORP EGOV.......................... NIC INC EIX........................... EDISON INTERNATIONAL EL............................ ESTEE LAUDER COMPANIES ELNK.......................... EARTHLINK INC ELON.......................... ECHELON CORP ELY........................... CALLAWAY GOLF CO EMC........................... E M C CORP ENDP.......................... ENDO PHARMACEUTICALS ENMC.......................... ENCORE MEDICAL CORP ENTG.......................... ENTEGRIS INC ENZ........................... ENZO BIOCHEM INC EOG........................... EOG RESOURCES INC EOP........................... EQUITY OFFICE PPTYS TR EPAX.......................... AMBASSADORS GROUP INC EPEX.......................... EDGE PETROLEUM CORP EPIC.......................... EPICOR SOFTWARE CORP EPIX.......................... EPIX MEDICAL INC EQR........................... EQUITY RESIDENTIAL EQT........................... EQUITABLE RESOURCES INC ERES.......................... ERESEARCHTECHNOLOGY INC ESCA.......................... ESCALADE INC ESIO.......................... ELECTRO SCIENTIFIC INDS ESL........................... ESTERLINE TECHNOLOGIES ESPD.......................... ESPEED INC ESS........................... ESSEX PROPERTY TRUST INC ESST.......................... ESS TECHNOLOGY INC ESV........................... ENSCO INTERNATIONAL INC ET............................ E TRADE FINANCIAL CORP ETM........................... ENTERCOM COMMUNICATIONS ETR........................... ENTERGY CORP EV............................ EATON VANCE CORP EXLT.......................... EXULT INC EYET.......................... EYETECH PHARMACEUTICALS FAC........................... FIRST ACCEPTANCE CORP FADV.......................... FIRST ADVANTAGE CORP FBC........................... FLAGSTAR BANCORP INC FBTX.......................... FRANKLIN BANK CORP FCE.A......................... FOREST CITY ENTRPRS FCH........................... FELCOR LODGING TRUST INC FCNCA......................... FIRST CITIZENS BANCSHRS FCX........................... FREEPORT-MCMORAN C&G FD............................ FEDERATED DEPT STORE FDS........................... FACTSET RESEARCH SYSTEMS FFFL.......................... FIDELITY BANKSHARES INC FFIN.......................... FIRST FINL BANKSHARES FIC........................... FAIR ISAAC CORP FIF........................... FINANCIAL FED CORP FINL.......................... FINISH LINE INC FISI.......................... FINANCIAL INSTNS INC FL............................ FOOT LOCKER INC FLB........................... FIRST NATL BANKSHARES FLO........................... FLOWERS FOODS INC FLR........................... FLUOR CORP FLYR.......................... NAVIGANT INTERNATIONAL FMER.......................... FIRSTMERIT CORP FMKT.......................... FREEMARKETS INC FOBB.......................... FIRST OAK BROOK BANCSHRS FOE........................... FERRO CORP FON........................... SPRINT FON GROUP FORR.......................... FORRESTER RESEARCH INC FPIC.......................... FPIC INSURANCE GROUP INC FPL........................... FPL GROUP INC FR............................ FIRST INDUSTRIAL RLTY TR FRED.......................... FREDS INC FRK........................... FLORIDA ROCK INDUSTRIES FRME.......................... FIRST MERCHANTS CORP FRNT.......................... FRONTIER AIRLINES INC FRT........................... FEDERAL REALTY INVT FRX........................... FOREST LABS INC FSH........................... FISHER SCIENTIFIC INTL FSLA.......................... FIRST SENTINEL BANCORP FTBK.......................... FRONTIER FINANCIAL CORP FTI........................... FMC TECHNOLOGIES INC FUL........................... FULLER H B CO G............................. GILLETTE CO GAS........................... NICOR INC GBBK.......................... GREATER BAY BANCORP GBCI.......................... GLACIER BANCORP INC GBND.......................... GENERAL BINDING CORP GBP........................... GABLES RESIDENTIAL TRUST GBX........................... GREENBRIER COMPANIES INC GCO........................... GENESCO INC GDI........................... GARDNER DENVER INC GDYS.......................... GOODYS FAMILY CLOTHING GEF........................... GREIF INC GERN.......................... GERON CORP GET........................... GAYLORD ENTMT CO GGG........................... GRACO INC GGP........................... GENERAL GROWTH PPTYS INC GIFI.......................... GULF ISLAND FABRICATION GISX.......................... GLOBAL IMAGING SYSTEMS GKSRA......................... G&K SERVICES INC GLT........................... GLATFELTER GLW........................... CORNING INC GMRK.......................... GULFMARK OFFSHORE INC GMT........................... GATX CORP GPC........................... GENUINE PARTS CO GPI........................... GROUP 1 AUTOMOTIVE INC GPP........................... GOVERNMENT PPTYS TRUST GPT........................... GREENPOINT FINANCIAL GRC........................... GORMAN RUPP CO

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      GS............................ GOLDMAN SACHS GROUP INC GT............................ GOODYEAR TIRE & RUBBER GTI........................... GRAFTECH INTL LTD GTK........................... GTECH HOLDINGS CORP GTY........................... GETTY REALTY CORP GW............................ GREY WOLF INC GWR........................... GENESEE & WYOMING INC GWW........................... GRAINGER W W INC GY............................ GENCORP INC HARB.......................... HARBOR FLORIDA BANCSHRS HAS........................... HASBRO INC HBAN.......................... HUNTINGTON BANCSHARES HBEK.......................... HUMBOLDT BANCORP HBHC.......................... HANCOCK HOLDING CO HC............................ HANOVER COMPRESSOR CO HCA........................... HCA INC HCP........................... HEALTH CARE PROPERTY INV HD............................ HOME DEPOT INC HDI........................... HARLEY DAVIDSON INC HET........................... HARRAHS ENTMT INC HH............................ HOOPER HOLMES INC HHS........................... HARTE HANKS INC HIH........................... HIGHLAND HOSPITALITY HIW........................... HIGHWOODS PROPERTIES INC HLR........................... HOLLINGER INTERNATIONAL HLTH.......................... WEBMD CORP HME........................... HOME PROPERTIES INC HMX........................... HARTMARX CORP HNR........................... HARVEST NATURAL RES HOMS.......................... HOMESTORE INC HOTT.......................... HOT TOPIC INC HP............................ HELMERICH & PAYNE INC HRB........................... BLOCK H & R INC HRH........................... HILB ROGAL & HOBBS CO HSY........................... HERSHEY FOODS CORP HTCH.......................... HUTCHINSON TECHNOLOGY HTLD.......................... HEARTLAND EXPRESS INC HUG........................... HUGHES SUPPLY INC HVT........................... HAVERTY FURNITURE INC HYC........................... HYPERCOM CORP IAAI.......................... INSURANCE AUTO AUCTIONS ICBC.......................... INDEPENDENCE CMNTY BANK ICCI.......................... INSIGHT COMMUNICATIONS ICOS.......................... ICOS CORP ICST.......................... INTEGRATED CIRCUIT SYS IDA........................... IDACORP INC IDC........................... INTERACTIVE DATA CORP IDNX.......................... IDENTIX INC IES........................... INTEGRATED ELECTRICAL IFLO.......................... I-FLOW CORP IFSIA......................... INTERFACE INC IGT........................... INTL GAME TECHNOLOGY IHI........................... INFORMATION HOLDINGS INC ILA........................... AQUILA INC ILE........................... ISOLAGEN INC ILXO.......................... ILEX ONCOLOGY INC IMCL.......................... IMCLONE SYSTEMS INC IMDC.......................... INAMED CORP IMKTA......................... INGLES MARKETS INC IMMC.......................... IMMUNICON CORP IN............................ INFONET SVCS CORP INCY.......................... INCYTE CORP INDB.......................... INDEPENDENT BANK MA INET.......................... INET TECHNOLOGIES INC INHO.......................... INDEPENDENCE HOLDING CO INSU.......................... INSITUFORM TECHNOLOGIES INT........................... WORLD FUEL SVCS CORP INTC.......................... INTEL CORP INTU.......................... INTUIT IO............................ INPUT/OUTPUT INC ION........................... IONICS INC IPAS.......................... IPASS INC ISIS.......................... ISIS PHARMACEUTICALS ISRG.......................... INTUITIVE SURGICAL INC ISSC.......................... INNOVATIVE SOLUTIONS IT............................ GARTNER INC ITCD.......................... ITC DELTACOM INC ITLA.......................... ITLA CAPITAL CORP ITW........................... ILLINOIS TOOL WORKS INC IUSA.......................... INFOUSA INC IVD........................... IVAX DIAGNOSTICS INC JBL........................... JABIL CIRCUIT INC JBLU.......................... JETBLUE AIRWAYS CORP JCI........................... JOHNSON CONTROLS INC JCOM.......................... J2 GLOBAL COMMUNICATIONS JEF........................... JEFFERIES GROUP INC JJSF.......................... J & J SNACK FOODS CO JJZ........................... JACUZZI BRANDS INC JKHY.......................... HENRY JACK & ASSOCIATES JLG........................... JLG INDUSTRIES INC JNJ........................... JOHNSON & JOHNSON JOYG.......................... JOY GLOBAL INC JUPM.......................... JUPITERMEDIA CORP KBH........................... KB HOME KERX.......................... KERYX BIOPHARMACEUTICALS KEX........................... KIRBY CORP KEYS.......................... KEYSTONE AUTOMOTIVE INDS KFED.......................... K FED BANCORP KLAC.......................... KLA-TENCOR CORP KMRT.......................... KMART HOLDING CORP KNGT.......................... KNIGHT TRANSN INC KNTA.......................... KINTERA INC KO............................ COCA COLA CO KOPN.......................... KOPIN CORP KR............................ KROGER CO KRB........................... MBNA CORP KRI........................... KNIGHT RIDDER INC KROL.......................... KROLL INC KRT........................... KRAMONT REALTY TRUST KSE........................... KEYSPAN CORP KSS........................... KOHLS CORP KSWS.......................... K-SWISS INC KTO........................... K2 INC KYPH.......................... KYPHON INC L............................. LIBERTY MEDIA CORP LABS.......................... LABONE INC LACO.......................... LAKES ENTERTAINMENT INC LAWS.......................... LAWSON PRODUCTS INC LBY........................... LIBBEY INC LCI........................... LANNETT CO INC LEG........................... LEGGETT & PLATT INC LEND.......................... ACCREDITED HOME LENDERS LEXG.......................... LEXICON GENETICS INC LFB........................... LONGVIEW FIBRE CO LG............................ LACLEDE GROUP INC LHO........................... LASALLE HOTEL PROPERTIES LIFC.......................... LIFECELL CORP LIN........................... LINENS N THINGS INC LIZ........................... LIZ CLAIBORNE INC LKQX.......................... LKQ CORP LLY........................... LILLY ELI & CO LNET.......................... LODGENET ENTMT CORP LNR........................... LNR PROPERTY CORP LPNT.......................... LIFEPOINT HOSPITALS LPX........................... LOUISIANA PACIFIC CORP LSCC.......................... LATTICE SEMICONDUCTOR LSCP.......................... LASERSCOPE LSE........................... CAPITAL LEASE FUNDING LSS........................... LONE STAR TECHNOLOGIES LSTR.......................... LANDSTAR SYSTEMS INC LTC........................... LTC PROPERTIES INC LTD........................... LIMITED BRANDS INC LTRE.......................... LEARNING TREE INTL INC LUM........................... LUMINENT MORTGAGE CAP LXP........................... LEXINGTON CORP PPTYS LZ............................ LUBRIZOL CORP MAA........................... MID-AMER APT CMNTYS MAG........................... MAGNETEK INC MAPX.......................... MAPICS INC MATK.......................... MARTEK BIOSCIENCES CORP MATW.......................... MATTHEWS INTERNATIONAL MAY........................... MAY DEPARTMENT STORES CO MBTF.......................... MBT FINANCIAL CORP MCBC.......................... MACATAWA BANK CORP MCDTA......................... MCDATA CORP MCH........................... MILLENNIUM CHEMICALS MCRL.......................... MICREL INC MDC........................... MDC HOLDINGS INC MDCO.......................... MEDICINES CO MEDT.......................... MEDSOURCE TECHNOLOGIES MERQ.......................... MERCURY INTERACTIVE CORP METH.......................... METHODE ELECTRS INC MFA........................... MFA MORTGAGE INVESTMENTS MFW........................... M & F WORLDWIDE CORP MGG........................... MGM MIRAGE MHC........................... MANUFACTURED HOME CMNTYS MHO........................... M/I HOMES INC MICU.......................... MICURON PHARMACEUTICALS MIDD.......................... MIDDLEBY CORP MIL........................... MILLIPORE CORP MIPS.......................... MIPS TECHNOLOGIES INC MKC........................... MCCORMICK & CO INC MKL........................... MARKEL CORP MKSI.......................... MKS INSTRUMENTS INC MLAN.......................... MIDLAND CO MMC........................... MARSH & MCLENNAN COS MNRO.......................... MONRO MUFFLER BRAKE INC MNST.......................... MONSTER WORLDWIDE INC MODI.......................... MODINE MANUFACTURING CO MOGN.......................... MGI PHARMA INC MON........................... MONSANTO CO MONE.......................... MATRIXONE INC MOV........................... MOVADO GROUP INC MPG........................... MAGUIRE PPTYS INC MPX........................... MARINE PRODUCTS CORP MRD........................... MACDERMID INC MRGE.......................... MERGE TECHNOLOGIES INC MRO........................... MARATHON OIL CORP MRX........................... MEDICIS PHARMACEUTICAL MSA........................... MINE SAFETY APPLIANCES MSCC.......................... MICROSEMI CORP MSEX.......................... MIDDLESEX WATER CO MSFG.......................... MAINSOURCE FINANCIAL GRP MSM........................... MSC INDL DIRECT INC MTEX.......................... MANNATECH INC MTG........................... MGIC INVESTMENT CORP MTN........................... VAIL RESORTS INC MTRX.......................... MATRIX SERVICE CO MTW........................... MANITOWOC CO INC MUSA.......................... METALS USA INC MVL........................... MARVEL ENTERPRISES INC MW............................ MENS WEARHOUSE INC MWD........................... MORGAN STANLEY NABC.......................... NEWALLIANCE BANCSHARES NABI.......................... NABI BIOPHARMACEUTICALS NAFC.......................... NASH FINCH CO NATI.......................... NATIONAL INSTRS CORP NAVG.......................... NAVIGATORS GROUP INC NBIX.......................... NEUROCRINE BIOSCIENCES NBL........................... NOBLE ENERGY INC NCS........................... NCI BUILDING SYSTEMS INC NDC........................... NDCHEALTH CORP NEU........................... NEW MARKET CORPORATION NFB........................... NORTH FORK BANCORP NFP........................... NATIONAL FINL PARTNERS NHI........................... NATIONAL HEALTH INVS INC NITE.......................... KNIGHT TRADING GROUP INC NLS........................... NAUTILUS GROUP INC

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      NLY........................... ANNALY MORTAGE MGMT INC NMG.A......................... NEIMAN MARCUS GROUP INC NNBR.......................... NN INC NNI........................... NELNET INC NOVN.......................... NOVEN PHARMACEUTICALS NPBC.......................... NATIONAL PENN BANCSHARES NPSP.......................... NPS PHARMACEUTICALS INC NR............................ NEWPARK RESOURCES INC NRGN.......................... NEUROGEN CORP NSIT.......................... INSIGHT ENTERPRISES INC NST........................... NSTAR NTEC.......................... NEOSE TECHNOLOGIES INC NTLI.......................... NTL INC NTY........................... NBTY INC NU............................ NORTHEAST UTILITIES NUE........................... NUCOR CORP NUTR.......................... NUTRACEUTICAL INTL CORP NVLS.......................... NOVELLUS SYSTEMS INC NVR........................... NVR INC NXST.......................... NEXSTAR BROADCASTING NYM........................... NYMAGIC INC NYT........................... NEW YORK TIMES CO OCA........................... ORTHODONTIC CTRS OF AMER OCAS.......................... OHIO CASUALTY CORP OI............................ OWENS ILLINOIS INC OIS........................... OIL STATES INTERNATIONAL OME........................... OMEGA PROTEIN CORP OMEF.......................... OMEGA FINANCIAL CORP OMI........................... OWENS & MINOR INC ONB........................... OLD NATIONAL BANCORP ONXX.......................... ONYX PHARMACEUTICALS INC OPNT.......................... OPNET TECHNOLOGIES INC ORCL.......................... ORACLE CORP ORLY.......................... O REILLY AUTOMOTIVE INC OS............................ OREGON STEEL MILLS INC OSBC.......................... OLD SECOND BANCORP INC OSG........................... OVERSEAS SHIPHOLDNG GRP OSI........................... OUTBACK STEAKHOUSE INC OSIP.......................... OSI PHARMACEUTICALS OSTK.......................... OVERSTOCK COM INC OSUR.......................... ORASURE TECHNOLOGIES INC OTL........................... OCTEL CORP OTTR.......................... OTTER TAIL CORP OVRL.......................... OVERLAND STORAGE INC OVTI.......................... OMNIVISION TECHNOLOGIES OXM........................... OXFORD INDUSTRIES INC PACR.......................... PACER INTERNATIONAL INC PAS........................... PEPSIAMERICAS INC PAX........................... PAXSON COMMUNICATION PAYX.......................... PAYCHEX INC PBI........................... PITNEY BOWES INC PBKS.......................... PROVIDENT BANKSHARES PCAR.......................... PACCAR INC PCCC.......................... P C CONNECTION PCG........................... PG&E CORP PCH........................... POTLATCH CORP PCL........................... PLUM CREEK TIMBER CO INC PCSA.......................... AIRGATE PCS INC PCTY.......................... PARTY CITY CORP PCU........................... SOUTHERN PERU COPPER PCYC.......................... PHARMACYCLICS INC PD............................ PHELPS DODGE CORP PDLI.......................... PROTEIN DESIGN LABS INC PDX........................... PEDIATRIX MEDICAL GROUP PEET.......................... PEETS COFFEE & TEA INC PEG........................... PUBLIC SVC ENTERPRISE PEGA.......................... PEGASYSTEMS INC PENG.......................... PRIMA ENERGY CORP PENN.......................... PENN NATIONAL GAMING INC PEP........................... PEPSICO INC PER........................... PEROT SYSTEMS CORP PETS.......................... PETMED EXPRESS INC PFE........................... PFIZER INC PFGC.......................... PERFORMANCE FOOD GROUP PFGI.......................... PROVIDENT FINANCIAL GRP PFS........................... PROVIDENT FINANCIAL SVCS PFSB.......................... PENNFED FINANCIAL SVCS PGNX.......................... PROGENICS PHARMACEUTICAL PH............................ PARKER HANNIFIN CORP PHCC.......................... PRIORITY HEALTHCARE PHLY.......................... PHILADELPHIA CONS HLDG PICO.......................... PICO HOLDINGS INC PII........................... POLARIS INDUSTRIES INC PILL.......................... PROXYMED PHARMACY INC PLAB.......................... PHOTRONICS INC PLD........................... PROLOGIS PLRE.......................... PRICE LEGACY CORP PLUG.......................... PLUG POWER INC PLXS.......................... PLEXUS CORP PLXT.......................... PLX TECHNOLOGY INC PMCS.......................... PMC-SIERRA INC PMTI.......................... PALOMAR MEDICAL TECH PNK........................... PINNACLE ENTMT INC PNM........................... PNM RESOURCES INC PNR........................... PENTAIR INC POP........................... POPE & TALBOT INC POS........................... CATALINA MARKETING CORP POWL.......................... POWELL INDUSTRIES INC POZN.......................... POZEN INC PPC........................... PILGRIMS PRIDE CORP PPL........................... PPL CORP PPP........................... POGO PRODUCING CO PRFS.......................... PENNROCK FINANCIAL SVCS PRM........................... PRIMEDIA INC PRSF.......................... PORTAL SOFTWARE INC PRSP.......................... PROSPERITY BANCSHARES PRTR.......................... PARTNERS TRUST FINL GRP PSA........................... PUBLIC STORAGE INC PSB........................... PS BUSINESS PARKS INC PSD........................... PUGET ENERGY INC PSFT.......................... PEOPLESOFT INC PSRC.......................... PALMSOURCE INC PSS........................... PAYLESS SHOESOURCE INC PSSI.......................... PSS WORLD MEDICAL INC PTMK.......................... PATHMARK STORES INC PVH........................... PHILLIPS VAN HEUSEN PVTB.......................... PRIVATEBANCORP INC PWAV.......................... POWERWAVE TECHNOLOGIES PWER.......................... POWER-ONE INC PWR........................... QUANTA SERVICES INC PX............................ PRAXAIR INC PXLW.......................... PIXELWORKS INC PXP........................... PLAINS EXPLORATION & PRO QSFT.......................... QUEST SOFTWARE INC QSII.......................... QUALITY SYSTEMS INC QUIX.......................... QUIXOTE CORP R............................. RYDER SYSTEM INC RA............................ RECKSON ASSOCS RLTY RAE........................... RAE SYSTEMS INC RAH........................... RALCORP HOLDINGS INC RAVN.......................... RAVEN INDUSTRIES INC RBC........................... REGAL BELOIT CORP RBNC.......................... REPUBLIC BANCORP INC MI RBPAA......................... ROYAL BANCSHARES OF PENN RCRC.......................... RC2 CORP RDC........................... ROWAN COMPANIES INC RDI........................... READING INTERNATIONAL IN REG........................... REGENCY CENTERS CORP RF............................ REGIONS FINANCIAL CORP RGLD.......................... ROYAL GOLD INC RGR........................... STURM RUGER & CO INC RGS........................... REGIS CORP RHD........................... R H DONNELLEY CORP RJR........................... REYNOLDS R J TOB HLDGS RKT........................... ROCK-TENN CO RL............................ POLO RALPH LAUREN CO RLI........................... RLI CORP RLRN.......................... RENAISSANCE LEARNING INC RMBS.......................... RAMBUS INC RMK........................... ARAMARK CORP ROG........................... ROGERS CORP ROH........................... ROHM & HAAS CO ROL........................... ROLLINS INC ROV........................... RAYOVAC CORP RRA........................... RAILAMERICA INC RRI........................... RELIANT ENERGY INC RSG........................... REPUBLIC SERVICES INC RSH........................... RADIOSHACK CORP RSYS.......................... RADISYS CORP RTI........................... RTI INTERNATIONAL METALS RUSHB......................... RUSH ENTERPRISES INC SAFM.......................... SANDERSON FARMS INC SBAC.......................... SBA COMMUNICATIONS CORP SBNY.......................... SIGNATURE BANK SBSE.......................... SBS TECHNOLOGIES INC SCHL.......................... SCHOLASTIC CORP SCHN.......................... SCHNITZER STEEL INDS SCHS.......................... SCHOOL SPECIALTY INC SCLN.......................... SCICLONE PHARMACEUTICALS SCMF.......................... SOUTHERN CMNTY FINL CORP SCS........................... STEELCASE INC SEBL.......................... SIEBEL SYSTEMS INC SECD.......................... SECOND BANCORP INC SEH........................... SPARTECH CORP SEIC.......................... SEI INVESTMENTS CO SFCC.......................... SFBC INTERNATIONAL INC SFD........................... SMITHFIELD FOODS INC SFE........................... SAFEGUARD SCIENTIFICS SFN........................... SPHERION CORP SFSW.......................... STATE FINANCIAL SERVICES SGA........................... SAGA COMMUNICATIONS SGEN.......................... SEATTLE GENETICS INC SHLM.......................... SCHULMAN A INC SHW........................... SHERWIN WILLIAMS CO SIR........................... SIRVA INC SJI........................... SOUTH JERSEY INDUSTRIES SJW........................... SJW CORP SLFI.......................... STERLING FINL CORP PA SLG........................... SL GREEN REALTY CORP SLR........................... SOLECTRON CORP SMHG.......................... SANDERS MORRIS HARRIS SMSC.......................... STANDARD MICROSYSTEM SMTC.......................... SEMTECH CORP SNH........................... SENIOR HOUSING PPTYS TR SNRR.......................... SUNTERRA CORP SNS........................... STEAK N SHAKE CO SNWL.......................... SONICWALL INC SO............................ SOUTHERN CO SONE.......................... S1 CORPORATION SORC.......................... SOURCE INTERLINK COS INC SRCL.......................... STERICYCLE INC SRDX.......................... SURMODICS INC SRNA.......................... SERENA SOFTWARE INC SRP........................... SIERRA PACIFIC RESOURCES SRZ........................... SUNRISE SENIOR LIVING SSI........................... SPECTRASITE INC SSP........................... SCRIPPS E W CO STEI.......................... STEWART ENTERPRISES STFC.......................... STATE AUTO FINANCIAL STK........................... STORAGE TECHNOLOGY CORP STL........................... STERLING BANCORP STMP.......................... STAMPS COM INC STN........................... STATION CASINOS INC STRA.......................... STRAYER EDUCATION INC STRT.......................... STRATTEC SECURITY CORP STSI.......................... STAR SCIENTIFIC INC STT........................... STATE STREET CORP STZ........................... CONSTELLATION BRANDS SUI........................... SUN COMMUNITIES INC

      [[Page 48038]]

      SUNN.......................... SUNTRON CORP SUNW.......................... SUN MICROSYSTEMS INC SUP........................... SUPERIOR INDUSTRIES INTL SUPX.......................... SUPERTEX INC SVM........................... SERVICEMASTER CO SWBT.......................... SOUTHWEST BANCORP OF TEX SWK........................... STANLEY WORKS SWW........................... SITEL CORP SWX........................... SOUTHWEST GAS CORP SWY........................... SAFEWAY INC SYD........................... SYBRON DENTAL SPECIALTIE SYK........................... STRYKER CORP SYX........................... SYSTEMAX INC SYY........................... SYSCO CORP TARR.......................... TARAGON REALTY INVS INC TASR.......................... TASER INTL INC TBCC.......................... TBC CORP TCC........................... TRAMMELL CROW CO TCR........................... CORNERSTONE RLTY INC TR TDW........................... TIDEWATER INC TDY........................... TELEDYNE TECHNOLOGIES TECUA......................... TECUMSEH PRODS CO TELK.......................... TELIK INC TERN.......................... TERAYON COMM SYSTEMS INC TG............................ TREDEGAR CORP TGI........................... TRIUMPH GROUP INC TGIC.......................... TRIAD GUARANTY INC TGT........................... TARGET CORP THFF.......................... FIRST FINANCIAL CORP THO........................... THOR INDUSTRIES INC THOR.......................... THORATEC CORP THX........................... HOUSTON EXPLORATION CO TIF........................... TIFFANY & CO TKLC.......................... TEKELEC TKR........................... TIMKEN CO TLAB.......................... TELLABS INC TLB........................... TALBOTS INC TLRK.......................... TULARIK INC TMA........................... THORNBURG MORTGAGE INC TMG........................... TRANSMONTAIGNE INC TMWD.......................... TUMBLEWEED COMMUNI- CATION TOL........................... TOLL BROTHERS INC TOY........................... TOYS R U.S. INC TPTI.......................... TIPPINGPOINT TECH INC TQNT.......................... TRIQUINT SEMICONDUCTOR TR............................ TOOTSIE ROLL INDUSTRIES TRCA.......................... TERCICA INC TRMK.......................... TRUSTMARK CORP TRST.......................... TRUSTCO BANK CORP NY TRZ........................... TRIZEC PROPERTIES INC TSA........................... SPORTS AUTHORITY INC TSFG.......................... SOUTH FINANCIAL GROUP TTC........................... TORO CO TTEC.......................... TELETECH HOLDINGS INC TTMI.......................... TTM TECHNOLOGIES INC TWX........................... TIME WARNER INC TXI........................... TEXAS INDUSTRIES INC TXN........................... TEXAS INSTRUMENTS INC TXT........................... TEXTRON INC TXU........................... TXU CORP UBA........................... URSTADT BIDDLE PPTYS INS UCBH.......................... UCBH HOLDINGS INC UCI........................... UICI UCL........................... UNOCAL CORP UFPI.......................... UNIVERSAL FOREST PRODS UGI........................... UGI CORP UHAL.......................... AMERCO UIC........................... UNITED INDUSTRIAL CORP ULBI.......................... ULTRALIFE BATTERIES INC ULCM.......................... ULTICOM INC UNF........................... UNIFIRST CORP MASS UOPX.......................... APOLLO GRP UNIV PHOENIX URS........................... URS CORP USG........................... U S G CORP USON.......................... US ONCOLOGY INC UTHR.......................... UNITED THERAPEUTICS UVN........................... UNIVISION COMMUNICATIONS UVV........................... UNIVERSAL CORP VAR........................... VARIAN MEDICAL SYSTEMS VARI.......................... VARIAN INC VCBI.......................... VIRGINIA COMM BANCORP VECO.......................... VEECO INSTRUMENTS INC VFC........................... V F CORP VGR........................... VECTOR GROUP LTD VICR.......................... VICOR CORP VITA.......................... ORTHOVITA INC VITL.......................... VITAL SIGNS INC VLO........................... VALERO ENERGY CORP VLY........................... VALLEY NATIONAL BANCORP VMSI.......................... VENTANA MEDICAL SYSTEMS VRC........................... VARCO INTERNATIONAL INC VRNT.......................... VERINT SYSTEMS INC VRTX.......................... VERTEX PHARMACEUTICALS VSAT.......................... VIASAT INC VSH........................... VISHAY INTERTECHNOLOGY VTA........................... VESTA INS GROUP INC VTIV.......................... VENTIV HEALTH INC VVTV.......................... VALUEVISION MEDIA INC VXGNE......................... VAXGEN INC WAB........................... WABTEC CORP WASH.......................... WASHINGTON TRUST BANCORP WAT........................... WATERS CORP WBS........................... WEBSTER FINANCIAL CORP WEBM.......................... WEBMETHODS INC WEN........................... WENDYS INTERNATIONAL INC WEYS.......................... WEYCO GROUP INC WFR........................... MEMC ELECTRIC MATERIALS WFSG.......................... WILSHIRE FINANCIAL SVCS WHQ........................... W-H ENERGY SVCS INC WIND.......................... WIND RIVER SYSTEMS INC WLT........................... WALTER INDUSTRIES INC WMGI.......................... WRIGHT MEDICAL GROUP INC WMT........................... WAL MART STORES INC WNC........................... WABASH NATIONAL CORP WON........................... WESTWOOD ONE INC WOR........................... WORTHINGTON INDUSTRIES WPI........................... WATSON PHARMACEUTICALS WPO........................... WASHINGTON POST CO WPSC.......................... WHEELING PITTSBURGH CORP WR............................ WESTAR ENERGY INC WRC........................... WESTPORT RESOURCES CORP WRE........................... WASHINGTON REAL ESTATE WRLD.......................... WORLD ACCEPTANCE CORP WSBA.......................... WESTERN SIERRA BANCORP WSBC.......................... WESBANCO INC WSBK.......................... WILSHIRE STATE BANK WSO........................... WATSCO INC WST........................... WEST PHARMACEUTICAL SVCS WSTL.......................... WESTELL TECHNOLOGIES INC WTBA.......................... WEST BANCORPORATION INC WW............................ WATSON WYATT & CO HLDGS WWE........................... WORLD WRESTLING ENTMNT WWY........................... WRIGLEY WM JR CO WXH........................... WINSTON HOTELS INC WY............................ WEYERHAEUSER CO WYE........................... WYETH XLNX.......................... XILINX INC XLTC.......................... EXCEL TECHNOLOGY INC XRIT.......................... X-RITE INC XTO........................... XTO ENERGY INC Y............................. ALLEGHANY CORP YRK........................... YORK INTERNATIONAL CORP ZBRA.......................... ZEBRA TECHNOLOGIES CORP ZGEN.......................... ZYMOGENETICS INC ZHNE.......................... ZHONE TECHNOLOGIES INC ZIGO.......................... ZYGO CORP ZILA.......................... ZILA INC ZION.......................... ZIONS BANCORPORATION ZLC........................... ZALE CORP ZMH........................... ZIMMER HOLDINGS INC ZQK........................... QUIKSILVER INC

      [FR Doc. 04-17572 Filed 8-5-04; 8:45 am]

      BILLING CODE 8010-01-P