13F-HR 1 jeff2q07.txt JEFFERIES GROUP INC. UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2007 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Jefferies Group Inc. Address: 11100 Santa Monica Blvd, 11th Flr. Los Angeles, CA 90025 13F File Number: 28-10917 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Larry Scarpa Title: Managing Director Phone: 212-336-7090 Signature, Place, and Date of Signing: /s/ Larry Scarpa Jersey City, NJ August 14, 2007 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 2 Form13F Information Table Entry Total: 749 Form13F Information Table Value Total: $2,272,874 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. No. 13F File Number Name 01 28-10432 Jefferies & Company, Inc. 02 28-11329 Jefferies Asset Management, LLC FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- A D C TELECOMMUNICATIONS FRNT 6/1 000886AB7 6776 7000000 PRN SOLE 01 7000000 0 0 A D C TELECOMMUNICATIONS COM NEW 000886309 620 33531 SH SOLE 01 33531 0 0 ABBOTT LABS COM 002824100 1789 33217 SH SOLE 01 33217 0 0 ABERCROMBIE & FITCH CO CL A 002896207 34790 476700 SH SOLE 02 476700 0 0 ABN AMRO HLDG NV SPONSORED ADR 000937102 688 15000 SH SOLE 02 15000 0 0 ACE LTD ORD G0070K103 763 12200 SH SOLE 01 12200 0 0 ACTIVISION INC NEW COM NEW 004930202 410 20800 SH SOLE 01 20800 0 0 ADOBE SYS INC COM 00724F101 5740 134899 SH SOLE 01 134899 0 0 ADVANCED MICRO DEVICES INC COM 007903107 463 32185 SH SOLE 01 32185 0 0 ADVANCED MICRO DEVICES INC COM 007903107 358 25000 SH CALL SOLE 02 25000 0 0 ADVOCAT INC COM 007586100 193 16000 SH SOLE 02 16000 0 0 AES CORP COM 00130H105 1354 63872 SH SOLE 01 63872 0 0 AFFILIATED MANAGERS GROUP COM 008252108 322 2500 SH SOLE 02 2500 0 0 AFFIRMATIVE INS HLDGS INC COM 008272106 336 22000 SH SOLE 01 22000 0 0 AFLAC INC COM 001055102 551 10650 SH SOLE 01 10650 0 0 AGL RES INC COM 001204106 403 10000 SH SOLE 01 10000 0 0 AIR PRODS & CHEMS INC COM 009158106 704 8700 SH SOLE 01 8700 0 0 AIRGAS INC COM 009363102 290 6200 SH SOLE 01 6200 0 0 AKZO NOBEL NV SPONSORED ADR 010199305 230 2668 SH SOLE 01 2668 0 0 ALBERTO CULVER CO NEW COM 013078100 246 9900 SH SOLE 01 9900 0 0 ALCOA INC COM 013817101 9982 249935 SH SOLE 01 249935 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 3186 68195 SH SOLE 01 68195 0 0 ALLEGHENY ENERGY INC COM 017361106 980 18898 SH SOLE 01 18898 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 482 4700 SH SOLE 01 4700 0 0 ALLERGAN INC COM 018490102 1216 21012 SH SOLE 01 21012 0 0 ALLIANCE IMAGING INC COM NEW 018606202 408 43500 SH SOLE 02 43500 0 0 ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 578 42499 SH SOLE 01 42499 0 0 ALTRIA GROUP INC COM 02209S103 847 12100 SH SOLE 01 12100 0 0 AMAZON COM INC NOTE 4.750% 2/0 023135AF3 10233 10000000 PRN SOLE 01 10000000 0 0 AMAZON COM INC COM 023135106 2715 41000 SH SOLE 01 41000 0 0 AMBAC FINL GROUP INC COM 023139108 2264 26500 SH SOLE 01 26500 0 0 AMEREN CORP COM 023608102 534 10900 SH SOLE 01 10900 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 24082 938522 SH SOLE 01 02 938522 0 0 AMERICAN ELEC PWR INC COM 025537101 717 16091 SH SOLE 01 16091 0 0 AMERICAN EXPRESS CO COM 025816109 5518 85700 SH SOLE 01 85700 0 0 AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 576 931000 PRN SOLE 01 931000 0 0 AMERICAN GREETINGS CORP CL A 026375105 285 10500 SH SOLE 01 10500 0 0 AMERICAN TOWER CORP NOTE 3.250% 8/0 029912AK8 1925 555000 PRN SOLE 01 555000 0 0 AMERICREDIT CORP COM 03060R101 293 11000 SH SOLE 01 02 11000 0 0 AMERIPRISE FINL INC COM 03076C106 291 4571 SH SOLE 01 4571 0 0 AMERISOURCEBERGEN CORP COM 03073E105 227 4582 SH SOLE 01 4582 0 0 AMERON INTL INC COM 030710107 204 2200 SH SOLE 01 2200 0 0 AMGEN INC COM 031162100 304 5493 SH SOLE 01 5493 0 0 AMR CORP COM 001765106 1509 57299 SH SOLE 01 57299 0 0 AMSURG CORP COM 03232P405 386 16000 SH SOLE 02 16000 0 0 AMYLIN PHARMACEUTICALS INC COM 032346108 3581 77900 SH SOLE 01 77900 0 0 ANADARKO PETE CORP COM 032511107 891 17079 SH SOLE 01 17079 0 0 ANALOG DEVICES INC COM 032654105 965 25650 SH SOLE 01 02 25650 0 0 ANDERSONS INC COM 034164103 302 6800 SH SOLE 01 6800 0 0 ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 378 10000 SH SOLE 01 10000 0 0 ANNTAYLOR STORES CORP COM 036115103 3539 99297 SH SOLE 01 02 99297 0 0 APACHE CORP COM 037411105 332 4039 SH SOLE 01 4039 0 0 APEX SILVER MINES LTD ORD G04074103 812 39600 SH SOLE 01 39600 0 0 APOGEE ENTERPRISES INC COM 037598109 203 7488 SH SOLE 01 7488 0 0 APPLIED MATLS INC COM 038222105 1801 91028 SH SOLE 01 91028 0 0 APRIA HEALTHCARE GROUP INC NOTE 3.375% 9/0 037933AB4 8397 7957000 PRN SOLE 01 7957000 0 0 APTARGROUP INC COM 038336103 236 6300 SH SOLE 01 6300 0 0 AQUA AMERICA INC COM 03836W103 247 10938 SH SOLE 01 10938 0 0 AQUANTIVE INC COM 03839G105 3956 62000 SH SOLE 02 62000 0 0 ARBOR RLTY TR INC COM 038923108 208 7483 SH SOLE 01 7483 0 0 ARCELOR MITTAL NY REG SH CL A 03937E101 31250 486181 SH SOLE 01 486181 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 313 9500 SH SOLE 01 9500 0 0 ARMOR HOLDINGS INC COM 042260109 869 10000 SH SOLE 02 10000 0 0 ASHLAND INC NEW COM 044209104 435 6777 SH SOLE 01 6777 0 0 ASSISTED LIVING CONCPT NEV N CL A 04544X102 368 34600 SH SOLE 01 02 34600 0 0 AT&T INC COM 00206R102 4974 123029 SH SOLE 01 123029 0 0 ATHEROS COMMUNICATIONS INC COM 04743P108 1313 42768 SH SOLE 01 02 42768 0 0 ATMEL CORP COM 049513104 2839 510400 SH SOLE 01 02 510400 0 0 AU OPTRONICS CORP SPONSORED ADR 002255107 5608 324900 SH SOLE 01 324900 0 0 AUDIOCODES LTD NOTE 2.000%11/0 050732AB2 73 82000 PRN SOLE 01 82000 0 0 AVON PRODS INC COM 054303102 567 15400 SH SOLE 01 15400 0 0 BAIDU COM INC SPON ADR REP A 056752108 1847 11111 SH SOLE 01 11111 0 0 BAKER HUGHES INC COM 057224107 495 5850 SH SOLE 01 5850 0 0 BALL CORP COM 058498106 563 10600 SH SOLE 01 10600 0 0 BANCO BILBAO VIZCAYA ARGENTA SPONSORED ADR 05946K101 188537 7542798 SH SOLE 01 7542798 0 0 BANK NEW YORK INC COM 064057102 229 5502 SH SOLE 01 5502 0 0 BARR PHARMACEUTICALS INC COM 068306109 606 11908 SH SOLE 01 11908 0 0 BAUER EDDIE HLDGS INC COM 071625107 210 15671 SH SOLE 01 15671 0 0 BB&T CORP COM 054937107 430 10510 SH SOLE 01 10510 0 0 BCE INC COM NEW 05534B760 569 15400 SH SOLE 01 15400 0 0 BEA SYS INC COM 073325102 440 32200 SH SOLE 01 32200 0 0 BEA SYS INC COM 073325102 4792 350000 SH CALL SOLE 02 350000 0 0 BEAR STEARNS COS INC COM 073902108 12738 88349 SH SOLE 01 88349 0 0 BEAZER HOMES USA INC COM 07556Q105 419 17000 SH SOLE 01 17000 0 0 BEBE STORES INC COM 075571109 7633 476786 SH SOLE 02 476786 0 0 BECKMAN COULTER INC COM 075811109 227 3500 SH SOLE 01 3500 0 0 BEST BUY INC SDCV 2.250% 1/1 086516AF8 6906 6407000 PRN SOLE 01 6407000 0 0 BEST BUY INC COM 086516101 3312 71600 SH SOLE 01 02 71600 0 0 BIG LOTS INC COM 089302103 583 19628 SH SOLE 01 19628 0 0 BIOGEN IDEC INC COM 09062X103 1304 24304 SH SOLE 01 24304 0 0 BIOMET INC COM 090613100 3098 67800 SH SOLE 01 02 67800 0 0 BIOVAIL CORP COM 09067J109 709 28138 SH SOLE 01 28138 0 0 BJ SVCS CO COM 055482103 223 7520 SH SOLE 01 7520 0 0 BLACK & DECKER CORP COM 091797100 273 3077 SH SOLE 01 3077 0 0 BLACKROCK INC COM 09247X101 579 3700 SH SOLE 01 02 3700 0 0 BLUE COAT SYSTEMS INC COM NEW 09534T508 1408 28431 SH SOLE 01 02 28431 0 0 BOEING CO COM 097023105 239 2500 SH SOLE 01 2500 0 0 BOSTON SCIENTIFIC CORP COM 101137107 3200 203864 SH SOLE 01 203864 0 0 BP PLC SPONSORED ADR 055622104 722 10000 SH SOLE 01 10000 0 0 BRE PROPERTIES INC CL A 05564E106 331 5678 SH SOLE 01 5678 0 0 BRINKER INTL INC COM 109641100 17837 565778 SH SOLE 01 565778 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 631 19894 SH SOLE 01 19894 0 0 BROADCOM CORP CL A 111320107 919 31046 SH SOLE 01 31046 0 0 BRUNSWICK CORP COM 117043109 517 15763 SH SOLE 01 15763 0 0 BUILDING MATLS HLDG CORP COM 120113105 5283 350000 SH SOLE 01 350000 0 0 BURLINGTON NORTHN SANTA FE C COM 12189T104 376 4420 SH SOLE 01 4420 0 0 BUSINESS OBJECTS S A SPONSORED ADR 12328X107 6060 149614 SH SOLE 01 02 149614 0 0 CABOT OIL & GAS CORP COM 127097103 206 5600 SH SOLE 01 5600 0 0 CADENCE DESIGN SYSTEM INC COM 127387108 817 33800 SH SOLE 01 33800 0 0 CAESARS ENTMT INC FRNT 4/1 127687AB7 6733 5000000 PRN SOLE 01 5000000 0 0 CAI INTERNATIONAL INC COM 12477X106 163 12600 SH SOLE 01 12600 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 306 4300 SH SOLE 01 4300 0 0 CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 23 19000 PRN SOLE 01 19000 0 0 CAPITAL ONE FINL CORP COM 14040H105 299 3800 SH SOLE 01 3800 0 0 CAPITAL SR LIVING CORP COM 140475104 378 39400 SH SOLE 01 02 39400 0 0 CARMAX INC COM 143130102 236 9181 SH SOLE 01 9181 0 0 CARNIVAL CORP PAIRED CTF 143658300 1167 48097 SH SOLE 01 48097 0 0 CASCADE CORP COM 147195101 214 2600 SH SOLE 01 2600 0 0 CATERPILLAR INC DEL COM 149123101 731 9324 SH SOLE 01 9324 0 0 CB RICHARD ELLIS GROUP INC CL A 12497T101 517 14103 SH SOLE 01 14103 0 0 CDC CORP SHS A G2022L106 757 90000 SH SOLE 02 90000 0 0 CELGENE CORP COM 151020104 594 10270 SH SOLE 01 10270 0 0 CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 16068 9511000 PRN SOLE 01 9511000 0 0 CENTERPOINT ENERGY INC COM 15189T107 544 31394 SH SOLE 01 31394 0 0 CENTURYTEL INC COM 156700106 372 7579 SH SOLE 01 7579 0 0 CEPHALON INC COM 156708109 359 4551 SH SOLE 01 4551 0 0 CEPHALON INC NOTE 2.000% 6/0 156708AP4 28331 15000000 PRN SOLE 01 15000000 0 0 CF INDS HLDGS INC COM 125269100 265 4800 SH SOLE 01 4800 0 0 CGG VERITAS SPONSORED ADR 204386106 17825 400000 SH SOLE 01 400000 0 0 CHARLOTTE RUSSE HLDG INC COM 161048103 1438 52911 SH SOLE 01 02 52911 0 0 CHARTER COMMUNICATIONS INC D NOTE 5.875%11/1 16117MAE7 8891 5120000 PRN SOLE 01 5120000 0 0 CHEMED CORP NEW COM 16359R103 716 10789 SH SOLE 01 02 10789 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 507 500000 PRN SOLE 01 500000 0 0 CHESAPEAKE ENERGY CORP COM 165167107 1143 32700 SH SOLE 01 32700 0 0 CHICAGO MERCANTILE HLDGS INC CL A 167760107 4370 8060 SH SOLE 01 8060 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 13179 255207 SH SOLE 02 255207 0 0 CHIPOTLE MEXICAN GRILL INC CL B 169656204 300 3800 SH SOLE 01 3800 0 0 CHRISTOPHER & BANKS CORP COM 171046105 8500 495600 SH SOLE 02 495600 0 0 CIENA CORP NOTE 3.750% 2/0 171779AA9 937 949000 PRN SOLE 01 949000 0 0 CIENA CORP COM NEW 171779309 1474 43200 SH SOLE 01 43200 0 0 CIGNA CORP COM 125509109 833 15906 SH SOLE 01 15906 0 0 CINCINNATI FINL CORP COM 172062101 292 6687 SH SOLE 01 6687 0 0 CIRCUIT CITY STORE INC COM 172737108 238 15345 SH SOLE 01 15345 0 0 CIT GROUP INC COM 125581108 772 14011 SH SOLE 01 14011 0 0 CITIGROUP INC COM 172967101 18204 341870 SH SOLE 01 341870 0 0 CITIZENS COMMUNICATIONS CO COM 17453B101 504 33100 SH SOLE 01 33100 0 0 CLAUDE RES INC COM 182873109 54 40000 SH SOLE 01 40000 0 0 CLEAR CHANNEL COMMUNICATIONS COM 184502102 303 8100 SH SOLE 01 8100 0 0 CMS ENERGY CORP COM 125896100 462 27096 SH SOLE 01 27096 0 0 COACH INC COM 189754104 667 14070 SH SOLE 01 14070 0 0 COCA COLA CO COM 191216100 335 6400 SH SOLE 01 6400 0 0 COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 368 4870 SH SOLE 01 4870 0 0 COGNOS INC COM 19244C109 1985 50000 SH SOLE 02 50000 0 0 COLGATE PALMOLIVE CO COM 194162103 1423 21900 SH SOLE 01 21900 0 0 COLONIAL BANCGROUP INC COM 195493309 236 9500 SH SOLE 01 9500 0 0 COMERICA INC COM 200340107 215 3600 SH SOLE 01 3600 0 0 COMMERCE BANCORP INC NJ COM 200519106 217 5917 SH SOLE 01 5917 0 0 COMMERCE GROUP INC MASS COM 200641108 232 6800 SH SOLE 01 6800 0 0 COMPANHIA VALE DO RIO DOCE SPONSORED ADR 204412209 5660 124734 SH SOLE 01 124734 0 0 COMTECH GROUP INC COM NEW 205821200 200 11600 SH SOLE 01 11600 0 0 CONAGRA FOODS INC COM 205887102 811 30105 SH SOLE 01 30105 0 0 CONEXANT SYSTEMS INC NOTE 4.000% 3/0 207142AH3 613 700000 PRN SOLE 01 700000 0 0 CONEXANT SYSTEMS INC COM 207142100 4140 3000000 SH SOLE 02 3000000 0 0 CONOCOPHILLIPS COM 20825C104 27364 350000 SH SOLE 01 350000 0 0 CONSOL ENERGY INC COM 20854P109 1379 29702 SH SOLE 01 29702 0 0 CONSOLIDATED EDISON INC COM 209115104 1336 29400 SH SOLE 01 29400 0 0 CONSTELLATION BRANDS INC CL A 21036P108 570 23372 SH SOLE 01 23372 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 1598 18500 SH SOLE 01 18500 0 0 CONVERGYS CORP COM 212485106 303 12500 SH SOLE 01 12500 0 0 CORNELL COMPANIES INC COM 219141108 491 20000 SH SOLE 02 20000 0 0 CORRECTIONS CORP AMER NEW COM NEW 22025Y407 305 4758 SH SOLE 01 4758 0 0 COVANTA HLDG CORP COM 22282E102 3942 157700 SH SOLE 01 157700 0 0 COVENTRY HEALTH CARE INC COM 222862104 1106 19047 SH SOLE 01 19047 0 0 CRAY INC NOTE 3.000%12/0 225223AB2 4958 5375000 PRN 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DE NEMOURS & CO COM 263534109 386 7595 SH SOLE 01 7595 0 0 DUKE ENERGY CORP NEW COM 26441C105 486 26545 SH SOLE 01 26545 0 0 DUNE ENERGY INC COM NEW 265338202 799 373500 SH SOLE 01 373500 0 0 E M C CORP MASS COM 268648102 1476 86600 SH SOLE 01 86600 0 0 E TRADE FINANCIAL CORP COM 269246104 253 11215 SH SOLE 01 11215 0 0 EASTMAN CHEM CO COM 277432100 129312 2020247 SH SOLE 01 2020247 0 0 EASTMAN KODAK CO NOTE 3.375%10/1 277461BE8 1770 1648000 PRN SOLE 01 1648000 0 0 EASTMAN KODAK CO COM 277461109 1573 55850 SH SOLE 01 55850 0 0 EATON CORP COM 278058102 231 2492 SH SOLE 01 2492 0 0 EBAY INC COM 278642103 429 13430 SH SOLE 01 13430 0 0 ECOLAB INC COM 278865100 929 21629 SH SOLE 01 21629 0 0 EDISON INTL COM 281020107 225 4100 SH SOLE 01 4100 0 0 EDWARDS LIFESCIENCES CORP DBCV 3.875% 5/1 28176EAB4 5591 5300000 PRN SOLE 01 5300000 0 0 EL PASO CORP COM 28336L109 426 25000 SH SOLE 01 25000 0 0 ELECTRONIC ARTS INC COM 285512109 1183 25000 SH CALL SOLE 02 25000 0 0 ELECTRONIC ARTS INC COM 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CORP COM PAR $0.01 346091705 249 5900 SH SOLE 01 5900 0 0 FORMFACTOR INC COM 346375108 1072 28000 SH SOLE 02 28000 0 0 FPL GROUP INC COM 302571104 5183 90543 SH SOLE 01 90543 0 0 FRANKLIN RES INC COM 354613101 878 6620 SH SOLE 01 6620 0 0 FREEDOM ACQUISITION HLDGS IN *W EXP 12/28/201 35645F111 33 10000 SH SOLE 01 10000 0 0 FREEPORT-MCMORAN COPPER & GO PFD CONV 35671D782 5755 51300 SH SOLE 01 51300 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 652 7860 SH SOLE 01 7860 0 0 FRONTIER OIL CORP COM 35914P105 200 4500 SH SOLE 01 4500 0 0 FRONTLINE LTD SHS G3682E127 100340 1263276 SH SOLE 01 1263276 0 0 GAP INC DEL COM 364760108 191 10000 SH CALL SOLE 02 10000 0 0 GATEWAY INC NOTE 1.500%12/3 367626AB4 874 1000000 PRN SOLE 01 1000000 0 0 GATEWAY INC NOTE 2.000%12/3 367626AD0 12693 15464000 PRN SOLE 01 15464000 0 0 GENENTECH INC COM NEW 368710406 3901 51936 SH SOLE 01 51936 0 0 GENERAL DYNAMICS CORP COM 369550108 1489 18953 SH SOLE 01 18953 0 0 GENERAL ELECTRIC CO COM 369604103 22200 587300 SH 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2760 SH SOLE 01 02 2760 0 0 GRANT PRIDECO INC COM 38821G101 4205 79150 SH SOLE 01 79150 0 0 GUITAR CTR MGMT INC COM 402040109 319 5409 SH SOLE 01 5409 0 0 GYMBOREE CORP COM 403777105 387 9295 SH SOLE 01 9295 0 0 HALLIBURTON CO COM 406216101 605 17000 SH SOLE 01 17000 0 0 HARLEY DAVIDSON INC COM 412822108 1739 28492 SH SOLE 01 28492 0 0 HARRAHS ENTMT INC COM 413619107 6365 74600 SH SOLE 01 74600 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 659 6675 SH SOLE 01 6675 0 0 HASBRO INC COM 418056107 445 14136 SH SOLE 01 14136 0 0 HEADWATERS INC NOTE 2.875% 6/0 42210PAB8 941 1000000 PRN SOLE 01 1000000 0 0 HEALTH CARE PPTY INVS INC COM 421915109 289 9542 SH SOLE 01 9542 0 0 HEALTH NET INC COM 42222G108 2938 52950 SH SOLE 01 52950 0 0 HEELYS INC COM 42279M107 601 23400 SH SOLE 01 02 23400 0 0 HEINZ H J CO COM 423074103 764 16199 SH SOLE 01 16199 0 0 HERCULES INC COM 427056106 661 34197 SH SOLE 01 34197 0 0 HERSHEY CO COM 427866108 660 13000 SH SOLE 01 13000 0 0 HESS CORP COM 42809H107 495 8600 SH SOLE 01 8600 0 0 HEWLETT PACKARD CO NOTE 10/1 428236AC7 88 117000 PRN SOLE 01 117000 0 0 HEWLETT PACKARD CO COM 428236103 1781 39519 SH SOLE 01 39519 0 0 HILLENBRAND INDS INC COM 431573104 362 5500 SH SOLE 01 5500 0 0 HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 11558 7167000 PRN SOLE 01 7167000 0 0 HILTON HOTELS CORP COM 432848109 1141 33590 SH SOLE 01 33590 0 0 HOME DEPOT INC COM 437076102 853 21600 SH SOLE 01 21600 0 0 HORNBECK OFFSHORE SVCS INC N COM 440543106 7147 179020 SH SOLE 01 179020 0 0 HOSPIRA INC COM 441060100 686 17642 SH SOLE 01 17642 0 0 HOSPITALITY PPTYS TR NOTE 3.800% 3/1 44106MAK8 2922 3000000 PRN SOLE 01 3000000 0 0 HOT TOPIC INC COM 441339108 326 30000 SH PUT SOLE 02 30000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 2241 2350000 PRN SOLE 01 2350000 0 0 HUMANA INC COM 444859102 882 14417 SH SOLE 01 14417 0 0 HUNTSMAN CORP PFD MND CV 5% 447011206 1007 23400 SH SOLE 01 23400 0 0 HUNTSMAN CORP COM 447011107 1790 84776 SH SOLE 01 84776 0 0 HUNTSMAN CORP COM 447011107 2188 90000 SH CALL SOLE 02 90000 0 0 HUTCHINSON TECHNOLOGY INC NOTE 2.250% 3/1 448407AE6 1104 1210000 PRN SOLE 01 1210000 0 0 HYDROGENICS CORP COM 448882100 25 20000 SH SOLE 01 20000 0 0 ILLINOIS TOOL WKS INC COM 452308109 423 7781 SH SOLE 01 7781 0 0 INCYTE CORP NOTE 3.500% 2/1 45337CAE2 1342 1500000 PRN SOLE 01 1500000 0 0 INCYTE CORP NOTE 3.500% 2/1 45337CAF9 3015 3250000 PRN SOLE 01 3250000 0 0 INCYTE CORP COM 45337C102 104 14700 SH SOLE 01 14700 0 0 INNOSPEC INC COM 45768S105 298 4973 SH SOLE 01 4973 0 0 INTEGRYS ENERGY GROUP INC COM 45822P105 512 10049 SH SOLE 01 10049 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 802 863000 PRN SOLE 01 863000 0 0 INTEL CORP COM 458140100 3678 158361 SH SOLE 01 158361 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 1770 12119 SH SOLE 01 12119 0 0 INTERNATIONAL FLAVORS&FRAGRA COM 459506101 668 12833 SH SOLE 01 12833 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 556 14000 SH SOLE 01 14000 0 0 INTERNATIONAL GAME TECHNOLOG DBCV 2.600%12/1 459902AP7 1078 1109000 PRN SOLE 01 1109000 0 0 INTERSIL CORP CL A 46069S109 2641 80924 SH SOLE 01 80924 0 0 INVENTIV HEALTH INC COM 46122E105 316 8498 SH SOLE 01 8498 0 0 INVESTMENT TECHNOLOGY GRP NE COM 46145F105 390 9000 SH SOLE 02 9000 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 1057 1143000 PRN SOLE 01 1143000 0 0 IPSCO INC COM 462622101 1589 10000 SH SOLE 02 10000 0 0 ISHARES TR MSCI EMERG MKT 464287234 1764 13400 SH SOLE 01 13400 0 0 ISHARES TR RUSSELL 2000 464287655 4563 55000 SH SOLE 01 55000 0 0 ITC HLDGS CORP COM 465685105 2085 50400 SH SOLE 01 50400 0 0 ITT CORP NEW COM 450911102 1748 25800 SH SOLE 01 25800 0 0 JABIL CIRCUIT INC COM 466313103 747 33600 SH SOLE 01 33600 0 0 JANUS CAP GROUP INC COM 47102X105 552 19599 SH SOLE 01 19599 0 0 JDS UNIPHASE CORP COM PAR $0.001 46612J507 372 27583 SH SOLE 01 27583 0 0 JOHN HANCOCK BK &THRIFT OPP SH BEN INT 409735107 871 96052 SH SOLE 01 96052 0 0 JP MORGAN CHASE & CO COM 46625H100 379 7800 SH SOLE 01 7800 0 0 KB HOME COM 48666K109 403 10215 SH SOLE 01 10215 0 0 KBR INC COM 48242W106 452 17200 SH SOLE 01 17200 0 0 KEYCORP NEW COM 493267108 252 7300 SH SOLE 01 7300 0 0 KING PHARMACEUTICALS INC COM 495582108 201 9809 SH SOLE 01 9809 0 0 KKR FINANCIAL HLDGS LLC COM 48248A306 249 10000 SH SOLE 02 10000 0 0 KLA-TENCOR CORP COM 482480100 455 8171 SH SOLE 01 8171 0 0 KOHLS CORP COM 500255104 9260 130400 SH SOLE 01 02 130400 0 0 KOMAG INC COM NEW 500453204 282 8853 SH SOLE 01 8853 0 0 KRAFT FOODS INC CL A 50075N104 632 17819 SH SOLE 01 17819 0 0 KROGER CO COM 501044101 350 12392 SH SOLE 01 12392 0 0 KULICKE & SOFFA INDS INC COM 501242101 215 20567 SH SOLE 01 02 20567 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 682 606000 PRN SOLE 01 606000 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 2743 28542 SH SOLE 01 28542 0 0 LABORATORY CORP AMER HLDGS COM NEW 50540R409 394 5032 SH SOLE 01 5032 0 0 LABRANCHE & CO INC COM 505447102 185 25000 SH PUT SOLE 02 25000 0 0 LABRANCHE & CO INC COM 505447102 111 15000 SH SOLE 02 15000 0 0 LAS VEGAS SANDS CORP COM 517834107 621 8100 SH SOLE 01 8100 0 0 LAUDER ESTEE COS INC CL A 518439104 624 13711 SH SOLE 01 13711 0 0 LAUREATE EDUCATION INC COM 518613104 314 5241 SH SOLE 01 5241 0 0 LEGG MASON INC COM 524901105 823 8300 SH SOLE 01 8300 0 0 LEHMAN BROS HLDGS INC COM 524908100 872 11535 SH SOLE 01 11535 0 0 LENNAR CORP CL A 526057104 765 20700 SH SOLE 01 20700 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 45593 27291000 PRN SOLE 01 27291000 0 0 LEUCADIA NATL CORP COM 527288104 8960 250000 SH SOLE 01 250000 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 3.500% 6/1 52729NBK5 4140 3250000 PRN SOLE 01 3250000 0 0 LEVEL 3 COMMUNICATIONS INC COM 52729N100 1638 283565 SH SOLE 01 283565 0 0 LEXMARK INTL NEW CL A 529771107 764 15400 SH SOLE 01 15400 0 0 LIBERTY MEDIA CORP NEW DEB 0.750% 3/3 530718AF2 54 44000 PRN SOLE 01 44000 0 0 LIGAND PHARMACEUTICALS INC CL B 53220K207 2313 350000 SH SOLE 01 350000 0 0 LILLY ELI & CO COM 532457108 263 4700 SH SOLE 01 4700 0 0 LIMITED BRANDS INC COM 532716107 655 23807 SH SOLE 01 23807 0 0 LINCARE HLDGS INC COM 532791100 4715 118200 SH SOLE 01 02 118200 0 0 LINCOLN NATL CORP IND COM 534187109 476 6696 SH SOLE 01 6696 0 0 LOCKHEED MARTIN CORP DBCV 8/1 539830AP4 13682 9782000 PRN SOLE 01 9782000 0 0 LOCKHEED MARTIN CORP COM 539830109 1296 13759 SH SOLE 01 13759 0 0 LOEWS CORP CAROLNA GP STK 540424207 201 2600 SH SOLE 01 2600 0 0 LOEWS CORP COM 540424108 683 13400 SH SOLE 01 13400 0 0 LOGITECH INTL S A SHS H50430232 594 380612 SH SOLE 01 380612 0 0 LOWES COS INC COM 548661107 299 9652 SH SOLE 01 9652 0 0 MACYS INC COM 55616P104 14873 373950 SH SOLE 01 02 373950 0 0 MACYS INC COM 55616P104 2685 67500 SH CALL SOLE 02 67500 0 0 MANNKIND CORP NOTE 3.750%12/1 56400PAA0 1940 2150000 PRN SOLE 01 2150000 0 0 MANOR CARE INC NEW NOTE 2.125% 8/0 564055AM3 26826 17552000 PRN SOLE 01 17552000 0 0 MANOR CARE INC NEW COM 564055101 243 3747 SH SOLE 01 3747 0 0 MARATHON OIL CORP COM 565849106 2513 41967 SH SOLE 01 41967 0 0 MARRIOTT INTL INC NEW CL A 571903202 1627 36687 SH SOLE 01 36687 0 0 MARSHALL & ILSLEY CORP COM 571834100 513 10708 SH SOLE 01 10708 0 0 MARTIN MARIETTA MATLS INC COM 573284106 31114 198189 SH SOLE 01 198189 0 0 MARVEL ENTERTAINMENT INC COM 57383T103 228 8400 SH SOLE 01 8400 0 0 MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 2548 100000 SH CALL SOLE 02 100000 0 0 MASCO CORP COM 574599106 216 7674 SH SOLE 01 7674 0 0 MASTERCARD INC CL A 57636Q104 214 1300 SH SOLE 01 1300 0 0 MATTEL INC COM 577081102 400 15822 SH SOLE 01 15822 0 0 MAXTOR CORP NOTE 6.800% 4/3 577729AC0 23 22000 PRN SOLE 01 22000 0 0 MBIA INC COM 55262C100 1150 18116 SH SOLE 01 18116 0 0 MCCORMICK & CO INC COM NON VTG 579780206 1910 50100 SH SOLE 01 50100 0 0 MCDONALDS CORP COM 580135101 13059 257542 SH SOLE 01 257542 0 0 MCMORAN EXPLORATION CO NOTE 6.000% 7/0 582411AB0 133 115000 PRN SOLE 01 115000 0 0 MEADWESTVACO CORP COM 583334107 442 12500 SH SOLE 02 12500 0 0 MEDAREX INC COM 583916101 3298 212106 SH SOLE 01 212106 0 0 MEDIMMUNE INC COM 584699102 536 9256 SH SOLE 01 9256 0 0 MEDTRONIC INC COM 585055106 641 12400 SH SOLE 01 12400 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 5406 5095000 PRN SOLE 01 5095000 0 0 MELLANOX TECHNOLOGIES LTD SHS M51363113 606 29250 SH SOLE 02 29250 0 0 MEMC ELECTR MATLS INC COM 552715104 238 3900 SH SOLE 01 3900 0 0 MENTOR CORP MINN COM 587188103 210 5000 SH SOLE 01 5000 0 0 MENTOR GRAPHICS CORP FRNT 8/0 587200AD8 2687 2623000 PRN SOLE 01 2623000 0 0 MERCK & CO INC COM 589331107 19989 382352 SH SOLE 01 382352 0 0 MERRILL LYNCH & CO INC NOTE 3/1 590188W46 659 500000 PRN SOLE 01 500000 0 0 MERRILL LYNCH & CO INC COM 590188108 1395 16500 SH SOLE 01 16500 0 0 MERUELO MADDUX PROPERTIES IN COM 590473104 204 25000 SH SOLE 02 25000 0 0 METLIFE INC COM 59156R108 296 4600 SH SOLE 01 4600 0 0 METTLER TOLEDO INTERNATIONAL COM 592688105 216 2200 SH SOLE 01 2200 0 0 MGIC INVT CORP WIS COM 552848103 8825 145200 SH SOLE 01 145200 0 0 MICRON TECHNOLOGY INC COM 595112103 1132 92213 SH SOLE 01 92213 0 0 MICROSOFT CORP COM 594918104 2899 98113 SH SOLE 01 98113 0 0 MILLENNIUM PHARMACEUTICALS I COM 599902103 469 45863 SH SOLE 01 45863 0 0 MILLER INDS INC TENN COM NEW 600551204 793 31600 SH SOLE 02 31600 0 0 MILLIPORE CORP COM 601073109 277 3700 SH SOLE 01 3700 0 0 MINDRAY MEDICAL INTL LTD SPON ADR 602675100 607 20000 SH SOLE 01 20000 0 0 MINDSPEED TECHNOLOGIES INC COM 602682106 1326 600000 SH SOLE 02 600000 0 0 MIRANT CORP NEW COM 60467R100 25338 640700 SH SOLE 01 640700 0 0 MIRANT CORP NEW *W EXP 01/03/201 60467R126 267 9415 SH SOLE 01 9415 0 0 MOLSON COORS BREWING CO CL B 60871R209 809 9026 SH SOLE 01 9026 0 0 MONSANTO CO NEW COM 61166W101 384 5724 SH SOLE 01 5724 0 0 MONSTER WORLDWIDE INC COM 611742107 626 15071 SH SOLE 01 15071 0 0 MONSTER WORLDWIDE INC COM 611742107 2055 50000 SH CALL SOLE 02 50000 0 0 MOODYS CORP COM 615369105 200 3200 SH SOLE 01 3200 0 0 MORGAN STANLEY COM NEW 617446448 1263 14880 SH SOLE 01 14880 0 0 MOTOROLA INC COM 620076109 3540 200000 SH PUT SOLE 02 200000 0 0 MOTOROLA INC COM 620076109 805 44910 SH SOLE 01 44910 0 0 MOVE INC COM COM 62458M108 208 48266 SH SOLE 01 48266 0 0 MSC INDL DIRECT INC CL A 553530106 598 11178 SH SOLE 01 11178 0 0 MULTI FINELINE ELECTRONIX IN COM 62541B101 572 33067 SH SOLE 01 33067 0 0 MYLAN LABS INC COM 628530107 2922 153650 SH SOLE 01 153650 0 0 MYRIAD GENETICS INC COM 62855J104 2507 66429 SH SOLE 01 66429 0 0 NABORS INDUSTRIES LTD SHS G6359F103 1447 42826 SH SOLE 01 42826 0 0 NALCO HOLDING COMPANY COM 62985Q101 263 9222 SH SOLE 01 9222 0 0 NASDAQ STOCK MARKET INC COM 631103108 1762 58012 SH SOLE 01 02 58012 0 0 NATIONAL AUSTRALIA BK LTD SPONSORED ADR 632525408 6728 4211 SH SOLE 01 4211 0 0 NATIONAL CITY CORP COM 635405103 886 26340 SH SOLE 01 26340 0 0 NATIONAL HEALTHCARE CORP COM 635906100 594 11500 SH SOLE 01 02 11500 0 0 NATIONAL OILWELL VARCO INC COM 637071101 340 3381 SH SOLE 01 3381 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 350 12300 SH SOLE 01 12300 0 0 NAVIOS MARITIME HOLDINGS INC *W EXP 12/09/200 Y62196111 431 74400 SH SOLE 01 74400 0 0 NAVTEQ CORP COM 63936L100 224 5300 SH SOLE 01 5300 0 0 NCI BUILDING SYS INC NOTE 2.125%11/1 628852AG0 9068 6500000 PRN SOLE 01 6500000 0 0 NEKTAR THERAPEUTICS NOTE 3.250% 9/2 640268AH1 1379 1500000 PRN SOLE 01 1500000 0 0 NETLOGIC MICROSYSTEMS INC COM 64118B100 210 6589 SH SOLE 01 6589 0 0 NETWORK APPLIANCE INC COM 64120L104 3542 121185 SH SOLE 01 02 121185 0 0 NEW JERSEY RES COM 646025106 273 5100 SH SOLE 01 5100 0 0 NEW YORK & CO INC COM 649295102 11472 1046700 SH SOLE 02 1046700 0 0 NEW YORK TIMES CO CL A 650111107 942 36900 SH SOLE 01 36900 0 0 NEWALLIANCE BANCSHARES INC COM 650203102 221 15000 SH SOLE 02 15000 0 0 NEWELL RUBBERMAID INC COM 651229106 202 6876 SH SOLE 01 6876 0 0 NEWMONT MINING CORP COM 651639106 3772 96200 SH SOLE 01 96200 0 0 NEWS CORP CL A 65248E104 746 34816 SH SOLE 01 34816 0 0 NEXCEN BRANDS INC COM 653351106 4236 331428 SH SOLE 01 331428 0 0 NICOR INC COM 654086107 828 19004 SH SOLE 01 19004 0 0 NIKE INC CL B 654106103 1424 24400 SH SOLE 01 24400 0 0 NISOURCE INC COM 65473P105 243 11718 SH SOLE 01 11718 0 0 NOBLE CORPORATION SHS G65422100 685 7150 SH SOLE 01 7150 0 0 NOKIA CORP SPONSORED ADR 654902204 719 25600 SH SOLE 01 25600 0 0 NORDSTROM INC COM 655664100 1177 23117 SH SOLE 01 02 23117 0 0 NORFOLK SOUTHERN CORP COM 655844108 6450 119282 SH SOLE 01 119282 0 0 NORTHERN TR CORP COM 665859104 468 7241 SH SOLE 01 7241 0 0 NORTHFIELD LABS INC COM 666135108 58 37500 SH SOLE 01 37500 0 0 NORTHROP GRUMMAN CORP COM 666807102 209 2689 SH SOLE 01 2689 0 0 NORTHWESTERN CORP COM NEW 668074305 636 20000 SH SOLE 02 20000 0 0 NOVAMED INC DEL COM 66986W108 110 18160 SH SOLE 02 18160 0 0 NOVELL INC COM 670006105 2169 271314 SH SOLE 01 271314 0 0 NOVELLUS SYS INC COM 670008101 947 32722 SH SOLE 01 32722 0 0 NRG ENERGY INC PFD CONV MAND 629377870 2325 6175 SH SOLE 01 6175 0 0 NUCOR CORP COM 670346105 565 9500 SH SOLE 01 9500 0 0 NVIDIA CORP COM 67066G104 1046 25316 SH SOLE 01 02 25316 0 0 NYMEX HOLDINGS INC COM 62948N104 6709 50593 SH SOLE 01 50593 0 0 NYSE EURONEXT COM 629491101 1263 16059 SH SOLE 01 16059 0 0 O2MICRO INTERNATIONAL LTD SPONS ADR 67107W100 775 70000 SH SOLE 02 70000 0 0 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 4711 3680000 PRN SOLE 01 3680000 0 0 OFFICE DEPOT INC COM 676220106 852 26907 SH SOLE 01 26907 0 0 OFFICEMAX INC DEL COM 67622P101 1590 40000 SH SOLE 01 40000 0 0 OIL SVC HOLDRS TR DEPOSTRY RCPT 678002106 4859 27477 SH SOLE 01 27477 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 8493 161450 SH SOLE 01 161450 0 0 OMNICARE INC DBCV 3.250%12/1 681904AL2 11700 13534000 PRN SOLE 01 13534000 0 0 OMNICARE INC COM 681904108 421 11900 SH SOLE 01 11900 0 0 OMNICOM GROUP INC COM 681919106 868 16361 SH SOLE 01 16361 0 0 ON SEMICONDUCTOR CORP COM 682189105 1601 148500 SH SOLE 01 148500 0 0 ORACLE CORP COM 68389X105 824 42026 SH SOLE 01 42026 0 0 OSI PHARMACEUTICALS INC NOTE 2.000%12/1 671040AF0 5304 3750000 PRN SOLE 01 3750000 0 0 PACCAR INC COM 693718108 537 6144 SH SOLE 01 6144 0 0 PACKETEER INC COM 695210104 390 50000 SH CALL SOLE 02 50000 0 0 PACTIV CORP COM 695257105 4002 120519 SH SOLE 01 120519 0 0 PALM INC NEW COM 696643105 629 40000 SH SOLE 01 40000 0 0 PANTRY INC NOTE 3.000%11/1 698657AL7 3658 3230000 PRN SOLE 01 3230000 0 0 PARKER HANNIFIN CORP COM 701094104 411 4200 SH SOLE 01 4200 0 0 PATTERSON COMPANIES INC COM 703395103 203 5415 SH SOLE 01 5415 0 0 PENNEY J C INC COM 708160106 840 11600 SH SOLE 01 02 11600 0 0 PEOPLES UNITED FINANCIAL INC COM 712704105 486 27300 SH SOLE 01 02 27300 0 0 PEPSI BOTTLING GROUP INC COM 713409100 675 20000 SH SOLE 01 20000 0 0 PEPSICO INC COM 713448108 643 9900 SH SOLE 01 9900 0 0 PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V101 316 3300 SH SOLE 01 3300 0 0 PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 314 2900 SH SOLE 01 2900 0 0 PG&E CORP COM 69331C108 1665 36738 SH SOLE 01 36738 0 0 PHARMACEUTICAL RES INC NOTE 2.875% 9/3 717125AC2 455 500000 PRN SOLE 01 500000 0 0 PIEDMONT NAT GAS INC COM 720186105 279 10800 SH SOLE 01 10800 0 0 PINNACLE WEST CAP CORP COM 723484101 2226 54432 SH SOLE 01 54432 0 0 PIONEER COS INC NOTE 2.750% 3/0 723643AA0 5997 5000000 PRN SOLE 01 5000000 0 0 PMC-SIERRA INC COM 69344F106 532 69042 SH SOLE 01 69042 0 0 POPULAR INC COM 733174106 178 10598 SH SOLE 01 10598 0 0 POWERSHARES QQQ TRUST UNIT SER 1 73935A104 4760 100000 SH PUT SOLE 02 100000 0 0 POZEN INC COM 73941U102 256 15884 SH SOLE 01 15884 0 0 PPG INDS INC COM 693506107 449 6000 SH SOLE 01 6000 0 0 PPL ENERGY SUPPLY LLC NOTE 2.625% 5/1 69352JAE7 20 12000 PRN SOLE 01 12000 0 0 PRAXAIR INC COM 74005P104 315 4350 SH SOLE 01 4350 0 0 PRICE T ROWE GROUP INC COM 74144T108 656 12666 SH SOLE 01 12666 0 0 PRIDE INTL INC DEL COM 74153Q102 720 19400 SH SOLE 01 19400 0 0 PRINCETON REVIEW INC COM 742352107 6514 1058450 SH SOLE 01 1058450 0 0 PROCTER & GAMBLE CO COM 742718109 306 4990 SH SOLE 01 4990 0 0 PROGRESS ENERGY INC COM 743263105 1260 27337 SH SOLE 01 27337 0 0 PROGRESSIVE CORP OHIO COM 743315103 359 15000 SH SOLE 02 15000 0 0 PROLOGIS SH BEN INT 743410102 809 13943 SH SOLE 01 13943 0 0 PROTECTIVE LIFE CORP COM 743674103 808 16570 SH SOLE 01 16570 0 0 PRUDENTIAL FINL INC COM 744320102 1658 17008 SH SOLE 01 17008 0 0 PUBLIC STORAGE COM 74460D109 1041 13300 SH SOLE 01 13300 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 219 2500 SH SOLE 01 2500 0 0 PULTE HOMES INC COM 745867101 341 15201 SH SOLE 01 15201 0 0 PXRE GROUP LTD COM G73018106 740 156116 SH SOLE 01 156116 0 0 QIAGEN N V ORD N72482107 285 250400 SH SOLE 01 250400 0 0 QIAGEN N V ORD N72482107 738 41500 SH PUT SOLE 02 41500 0 0 QIAGEN N V ORD N72482107 738 41500 SH CALL SOLE 02 41500 0 0 QLOGIC CORP COM 747277101 574 34443 SH SOLE 01 02 34443 0 0 QUALCOMM INC COM 747525103 9437 221549 SH SOLE 01 221549 0 0 QUANTA SVCS INC SDCV 4.500%10/0 74762EAC6 130 50000 PRN SOLE 01 50000 0 0 QUANTA SVCS INC NOTE 3.750% 4/3 74762EAE2 485 328000 PRN SOLE 01 328000 0 0 QUANTUM CORP NOTE 4.375% 8/0 747906AE5 2279 2348000 PRN SOLE 01 2348000 0 0 QUEST DIAGNOSTICS INC COM 74834L100 369 7097 SH SOLE 01 7097 0 0 QUESTAR CORP COM 748356102 429 8092 SH SOLE 01 8092 0 0 QUICKSILVER RESOURCES INC COM 74837R104 303 6795 SH SOLE 01 6795 0 0 QUIKSILVER INC COM 74838C106 141 10000 SH CALL SOLE 02 10000 0 0 QUIKSILVER INC COM 74838C106 21 1500 SH SOLE 01 1500 0 0 QWEST COMMUNICATIONS INTL IN COM 749121109 487 48172 SH SOLE 01 48172 0 0 RADIOSHACK CORP COM 750438103 363 10914 SH SOLE 01 10914 0 0 RANGE RES CORP COM 75281A109 247 6700 SH SOLE 01 6700 0 0 RAYTHEON CO COM NEW 755111507 400 7400 SH SOLE 01 7400 0 0 RAYTHEON CO *W EXP 06/16/201 755111119 200 10100 SH SOLE 01 10100 0 0 REALNETWORKS INC COM 75605L104 87 10300 SH SOLE 01 10300 0 0 RECKSON OPER PARTNERSHIP L P DEB 4.000% 6/1 75621LAJ3 48 42000 PRN SOLE 01 42000 0 0 RED HAT INC COM 756577102 1853 81500 SH SOLE 01 81500 0 0 REDWOOD TR INC COM 758075402 246 5074 SH SOLE 01 5074 0 0 REGENCY CTRS CORP COM 758849103 229 3060 SH SOLE 01 3060 0 0 REGENERON PHARMACEUTICALS COM 75886F107 1539 82392 SH SOLE 01 82392 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 703 21106 SH SOLE 01 21106 0 0 REUTERS GROUP PLC SPONSORED ADR 76132M102 3243 43410 SH SOLE 01 02 43410 0 0 REYNOLDS AMERICAN INC COM 761713106 1254 19300 SH SOLE 01 19300 0 0 RF MICRODEVICES INC COM 749941100 983 150562 SH SOLE 01 150562 0 0 RITE AID CORP COM 767754104 143 22300 SH SOLE 01 22300 0 0 RIVERBED TECHNOLOGY INC COM 768573107 395 9000 SH SOLE 01 9000 0 0 ROBERT HALF INTL INC COM 770323103 291 7962 SH SOLE 01 7962 0 0 ROSTELECOM OPEN JT STK LNG D SPONSORED ADR 778529107 338 5900 SH SOLE 01 5900 0 0 RYDER SYS INC COM 783549108 1154 21318 SH SOLE 01 21318 0 0 RYERSON INC COM 78375P107 75977 2003100 SH SOLE 01 2003100 0 0 SAFECO CORP COM 786429100 522 8372 SH SOLE 01 8372 0 0 SAFEWAY INC COM NEW 786514208 1139 33506 SH SOLE 01 33506 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 539 314000 PRN SOLE 01 314000 0 0 SANDISK CORP COM 80004C101 983 20100 SH SOLE 01 02 20100 0 0 SAP AKTIENGESELLSCHAFT SPONSORED ADR 803054204 432 8500 SH SOLE 01 8500 0 0 SAPIENT CORP COM 803062108 171 21700 SH SOLE 01 21700 0 0 SARA LEE CORP COM 803111103 2501 140814 SH SOLE 01 140814 0 0 SAVVIS INC NOTE 3.000% 5/1 805423AA8 180 175000 PRN SOLE 01 175000 0 0 SCANA CORP NEW COM 80589M102 207 5300 SH SOLE 01 5300 0 0 SCHERING PLOUGH CORP COM 806605101 371 12180 SH SOLE 01 12180 0 0 SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 1505 699000 PRN SOLE 01 699000 0 0 SCHLUMBERGER LTD DBCV 2.125% 6/0 806857AD0 22 11000 PRN SOLE 01 11000 0 0 SCHLUMBERGER LTD COM 806857108 1212 14500 SH SOLE 01 14500 0 0 SCIENTIFIC GAMES CORP SDCV 0.750%12/0 80874PAD1 2255 1673000 PRN SOLE 01 1673000 0 0 SCOTTISH RE GROUP LIMITED SHS G73537410 957 195700 SH SOLE 02 195700 0 0 SEAGATE TECHNOLOGY SHS G7945J104 938 45192 SH SOLE 01 45192 0 0 SEAGATE TECHNOLOGY SHS G7945J104 2137 98200 SH CALL SOLE 02 98200 0 0 SEALED AIR CORP NEW COM 81211K100 836 26900 SH SOLE 01 26900 0 0 SEARS HLDGS CORP COM 812350106 3281 18779 SH SOLE 01 18779 0 0 SELECT SECTOR SPDR TR SBI INT-TECH 81369Y803 8664 339700 SH SOLE 01 339700 0 0 SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 18371 264865 SH SOLE 01 264865 0 0 SELECT SECTOR SPDR TR SBI INT-INDS 81369Y704 2087 53600 SH SOLE 01 53600 0 0 SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 1895 50000 SH PUT SOLE 02 50000 0 0 SEMPRA ENERGY COM 816851109 1299 21834 SH SOLE 01 21834 0 0 SEPRACOR INC COM 817315104 392 9574 SH SOLE 01 9574 0 0 SEPRACOR INC NOTE 10/1 817315AW4 969 1000000 PRN SOLE 01 1000000 0 0 SERVICE CORP INTL COM 817565104 214 15930 SH SOLE 01 15930 0 0 SHERWIN WILLIAMS CO COM 824348106 651 9800 SH SOLE 01 9800 0 0 SHIP FINANCE INTERNATIONAL L SHS G81075106 1240 40503 SH SOLE 01 40503 0 0 SHIRE PLC SPONSORED ADR 82481R106 25933 370184 SH SOLE 01 370184 0 0 SHUFFLE MASTER INC NOTE 1.250% 4/1 825549AB4 504 532000 PRN SOLE 01 532000 0 0 SI INTL INC COM 78427V102 233 4037 SH SOLE 01 02 4037 0 0 SIEMENS A G SPONSORED ADR 826197501 1429 10000 SH SOLE 01 10000 0 0 SIERRA PAC RES NEW COM 826428104 3746 212600 SH SOLE 01 212600 0 0 SIMON PPTY GROUP INC NEW COM 828806109 587 6116 SH SOLE 01 6116 0 0 SINA CORP ORD G81477104 1444 36200 SH SOLE 01 36200 0 0 SIRF TECHNOLOGY HLDGS INC COM 82967H101 933 45000 SH SOLE 02 45000 0 0 SIRIUS SATELLITE RADIO INC COM 82966U103 302 100000 SH CALL SOLE 02 100000 0 0 SKYWORKS SOLUTIONS INC NOTE 4.750%11/1 83088MAB8 275 275000 PRN SOLE 01 275000 0 0 SLM CORP COM 78442P106 5147 90100 SH SOLE 01 02 90100 0 0 SLM CORP DBCV 7/2 78442PAC0 5106 5100000 PRN SOLE 01 5100000 0 0 SMITH INTL INC COM 832110100 405 7000 SH SOLE 01 7000 0 0 SMITH MICRO SOFTWARE INC COM 832154108 198 15100 SH SOLE 01 15100 0 0 SMUCKER J M CO COM NEW 832696405 483 7913 SH SOLE 01 7913 0 0 SNAP ON INC COM 833034101 1041 20232 SH SOLE 01 20232 0 0 SONOCO PRODS CO COM 835495102 394 9095 SH SOLE 01 9095 0 0 SONY CORP ADR NEW 835699307 3047 60000 SH SOLE 01 60000 0 0 SOTHEBYS COM 835898107 1258 25968 SH SOLE 01 25968 0 0 SOUTH JERSEY INDS INC COM 838518108 201 5300 SH SOLE 01 5300 0 0 SOUTHERN CO COM 842587107 927 27100 SH SOLE 01 27100 0 0 SOUTHERN COPPER CORP COM 84265V105 299 3200 SH SOLE 01 3200 0 0 SOUTHWEST AIRLS CO COM 844741108 3574 240200 SH SOLE 01 240200 0 0 SOUTHWESTERN ENERGY CO COM 845467109 1068 23713 SH SOLE 01 23713 0 0 SOVEREIGN BANCORP INC COM 845905108 1044 48458 SH SOLE 01 48458 0 0 SPANISH BROADCASTING SYS INC CL A 846425882 143 31765 SH SOLE 01 31765 0 0 SPIRIT FIN CORP COM 848568309 4878 335000 SH SOLE 02 335000 0 0 SPRINT NEXTEL CORP COM FON 852061100 6159 284225 SH SOLE 01 284225 0 0 ST JOE CO COM 790148100 42 19858 SH SOLE 01 19858 0 0 ST JUDE MED INC COM 790849103 1015 24365 SH SOLE 01 24365 0 0 STANDARD MTR PRODS INC SDCV 6.750% 7/1 853666AB1 950 960000 PRN SOLE 01 960000 0 0 STAPLES INC COM 855030102 281 11828 SH SOLE 01 11828 0 0 STARWOOD HOTELS&RESORTS WRLD COM 85590A401 1560 22900 SH SOLE 01 22900 0 0 STRAYER ED INC COM 863236105 328 2500 SH SOLE 01 2500 0 0 STREETTRACKS SER TR SPDR S&P HOMEB 86330E745 807 26014 SH SOLE 01 26014 0 0 SUN HEALTHCARE GROUP INC COM NEW 866933401 414 28498 SH SOLE 01 02 28498 0 0 SUN MICROSYSTEMS INC COM 866810104 56 11100 SH SOLE 01 11100 0 0 SUNOCO INC COM 86764P109 6996 87241 SH SOLE 01 87241 0 0 SUNPOWER CORP COM CL A 867652109 9643 158966 SH SOLE 01 158966 0 0 SUNTRUST BKS INC COM 867914103 19354 220070 SH SOLE 01 220070 0 0 SVB FINL GROUP COM 78486Q101 430 8100 SH SOLE 01 02 8100 0 0 SYMANTEC CORP COM 871503108 274 13800 SH SOLE 01 13800 0 0 SYMANTEC CORP NOTE 0.750% 6/1 871503AD0 121 104000 PRN SOLE 01 104000 0 0 SYMBION INC DEL COM 871507109 559 25729 SH SOLE 01 02 25729 0 0 SYSCO CORP COM 871829107 362 11000 SH SOLE 01 11000 0 0 TAILWIND FINL INC UNIT 99/99/9999 874023203 511 60000 SH SOLE 01 60000 0 0 TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 1215 1000000 PRN SOLE 01 1000000 0 0 TARGET CORP COM 87612E106 4590 72900 SH SOLE 01 72900 0 0 TASER INTL INC COM 87651B104 505 50400 SH SOLE 01 50400 0 0 TECHWELL INC COM 87874D101 1202 91727 SH SOLE 01 02 91727 0 0 TECO ENERGY INC COM 872375100 278 16411 SH SOLE 01 16411 0 0 TEKELEC NOTE 2.250% 6/1 879101AE3 505 500000 PRN SOLE 01 500000 0 0 TEKTRONIX INC COM 879131100 1393 40888 SH SOLE 01 40888 0 0 TELECOMMUNICATION SYS INC CL A 87929J103 131 25000 SH SOLE 01 25000 0 0 TEMPLE INLAND INC COM 879868107 218 3605 SH SOLE 01 3605 0 0 TENET HEALTHCARE CORP COM 88033G100 113 17400 SH SOLE 01 17400 0 0 TEREX CORP NEW COM 880779103 548 6731 SH SOLE 01 6731 0 0 TETRA TECHNOLOGIES INC DEL COM 88162F105 265 9500 SH SOLE 01 9500 0 0 TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 218 221000 PRN SOLE 01 221000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 4405 111300 SH SOLE 01 111300 0 0 TEXTRON INC COM 883203101 7965 72586 SH SOLE 01 72586 0 0 TIME WARNER INC COM 887317105 1556 73306 SH SOLE 01 73306 0 0 TIME WARNER TELECOM INC CL A 887319101 354 18300 SH SOLE 01 18300 0 0 TJX COS INC NEW COM 872540109 3200 114700 SH SOLE 01 02 114700 0 0 TODCO COM 88889T107 4381 92800 SH SOLE 02 92800 0 0 TORCHMARK CORP COM 891027104 473 6999 SH SOLE 01 6999 0 0 TORO CO COM 891092108 220 3700 SH SOLE 01 3700 0 0 TOWER GROUP INC COM 891777104 280 8575 SH SOLE 01 8575 0 0 TRANSOCEAN INC ORD G90078109 1775 16780 SH SOLE 01 16780 0 0 TRAVELERS COMPANIES INC COM 89417E109 485 9045 SH SOLE 01 9045 0 0 TRI CONTL CORP COM 895436103 1980 76125 SH SOLE 01 02 76125 0 0 TRIAD HOSPITALS INC COM 89579K109 2150 40000 SH CALL SOLE 02 40000 0 0 TRIAD HOSPITALS INC COM 89579K109 16 303 SH SOLE 01 303 0 0 TRIBUNE CO NEW COM 896047107 258 8000 SH SOLE 01 8000 0 0 TRINITY INDS INC COM 896522109 713 16900 SH SOLE 01 16900 0 0 TWEETER HOME ENTMT GROUP INC COM 901167106 2 11278 SH SOLE 01 11278 0 0 TXU CORP COM 873168108 7107 106000 SH SOLE 01 02 106000 0 0 TYCO INTL LTD NEW COM 902124106 21359 645512 SH SOLE 01 645512 0 0 TYSON FOODS INC CL A 902494103 335 14500 SH SOLE 01 14500 0 0 U S AIRWAYS GROUP INC COM 90341W108 348 11300 SH SOLE 01 11300 0 0 UAL CORP COM NEW 902549807 8503 215147 SH SOLE 01 215147 0 0 UNION PAC CORP COM 907818108 323 2807 SH SOLE 01 2807 0 0 UNITED RENTALS NORTH AMER IN NOTE 1.875%10/1 911365AH7 30 20000 PRN SOLE 01 20000 0 0 UNITED STATES STL CORP NEW COM 912909108 1329 12047 SH SOLE 01 12047 0 0 UNITED TECHNOLOGIES CORP COM 913017109 263 3700 SH SOLE 01 3700 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 16353 249137 SH SOLE 01 249137 0 0 UNITEDHEALTH GROUP INC COM 91324P102 864 16806 SH SOLE 01 16806 0 0 UNIVERSAL HLTH SVCS INC CL B 913903100 1022 16600 SH SOLE 01 02 16600 0 0 UNUM GROUP COM 91529Y106 614 23636 SH SOLE 01 23636 0 0 URBAN OUTFITTERS INC COM 917047102 3512 146134 SH SOLE 02 146134 0 0 US BANCORP DEL COM NEW 902973304 2013 61100 SH SOLE 01 61100 0 0 UST INC COM 902911106 362 6773 SH SOLE 01 6773 0 0 VAALCO ENERGY INC COM NEW 91851C201 53 10968 SH SOLE 01 10968 0 0 VALERO ENERGY CORP NEW COM 91913Y100 2651 36000 SH SOLE 01 36000 0 0 VALSPAR CORP COM 920355104 249 8700 SH SOLE 01 8700 0 0 VALUECLICK INC COM 92046N102 1473 50000 SH CALL SOLE 02 50000 0 0 VALUECLICK INC COM 92046N102 23 800 SH SOLE 01 800 0 0 VECTOR GROUP LTD COM 92240M108 90947 4036787 SH SOLE 01 4036787 0 0 VECTREN CORP COM 92240G101 325 11700 SH SOLE 01 11700 0 0 VERIFONE HLDGS INC COM 92342Y109 906 25700 SH SOLE 02 25700 0 0 VERIZON COMMUNICATIONS COM 92343V104 939 22746 SH SOLE 01 22746 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 387 13600 SH SOLE 01 13600 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 894 900000 PRN SOLE 01 900000 0 0 VISHAY INTERTECHNOLOGY INC NOTE 3.625% 8/0 928298AF5 1312 1250000 PRN SOLE 01 1250000 0 0 VISUAL SCIENCES INC COM 92845H108 706 45613 SH SOLE 01 02 45613 0 0 VULCAN MATLS CO COM 929160109 270 2300 SH SOLE 01 2300 0 0 VYYO INC COM NEW 918458209 950 142600 SH SOLE 02 142600 0 0 WACHOVIA CORP NEW COM 929903102 630 12174 SH SOLE 01 12174 0 0 WADDELL & REED FINL INC CL A 930059100 270 10200 SH SOLE 01 10200 0 0 WAL MART STORES INC COM 931142103 540 11202 SH SOLE 01 11202 0 0 WALGREEN CO COM 931422109 2069 47200 SH SOLE 01 47200 0 0 WARNACO GROUP INC COM NEW 934390402 231 6593 SH SOLE 01 6593 0 0 WASHINGTON MUT INC COM 939322103 272 6363 SH SOLE 01 6363 0 0 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AK7 12 12000 PRN SOLE 01 12000 0 0 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AJ0 4939 5000000 PRN SOLE 01 5000000 0 0 WASTE CONNECTIONS INC COM 941053100 1306 42800 SH SOLE 01 42800 0 0 WASTE MGMT INC DEL COM 94106L109 6046 153400 SH SOLE 01 153400 0 0 WATERS CORP COM 941848103 662 11102 SH SOLE 01 11102 0 0 WATSON PHARMACEUTICALS INC COM 942683103 396 12157 SH SOLE 01 12157 0 0 WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 444 461000 PRN SOLE 01 461000 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 543 9800 SH SOLE 01 9800 0 0 WELLPOINT INC COM 94973V107 468 5868 SH SOLE 01 5868 0 0 WELLS FARGO & CO NEW COM 949746101 225 6376 SH SOLE 01 6376 0 0 WELLS FARGO & CO NEW DBCV 5/0 949746FA4 9058 9000000 PRN SOLE 01 9000000 0 0 WENDYS INTL INC COM 950590109 772 20800 SH SOLE 01 20800 0 0 WESTERN UN CO COM 959802109 260 12500 SH SOLE 02 12500 0 0 WEYERHAEUSER CO COM 962166104 345 4356 SH SOLE 01 4356 0 0 WHIRLPOOL CORP COM 963320106 623 5574 SH SOLE 01 5574 0 0 WHOLE FOODS MKT INC COM 966837106 492 12815 SH SOLE 01 12815 0 0 WILEY JOHN & SONS INC CL A 968223206 373 7800 SH SOLE 01 7800 0 0 WILLIAMS COS INC DEL COM 969457100 406 12800 SH SOLE 01 12800 0 0 WILSON GREATBATCH TECHNOLOGI SDCV 2.250% 6/1 972232AB8 1137 1057000 PRN SOLE 01 1057000 0 0 WINDSTREAM CORP COM 97381W104 347 23308 SH SOLE 01 23308 0 0 WORLD ACCEP CORPORATION NOTE 3.000%10/0 981417AB4 962 1000000 PRN SOLE 01 1000000 0 0 WRIGLEY WM JR CO COM 982526105 364 6594 SH SOLE 01 6594 0 0 WYNN RESORTS LTD DBCV 6.000% 7/1 983134AB3 2341 558000 PRN SOLE 01 558000 0 0 WYNN RESORTS LTD COM 983134107 557 6120 SH SOLE 01 6120 0 0 XCEL ENERGY INC COM 98389B100 1215 58967 SH SOLE 01 58967 0 0 XEROX CORP COM 984121103 856 46006 SH SOLE 01 46006 0 0 XILINX INC COM 983919101 1990 71586 SH SOLE 01 71586 0 0 XL CAP LTD CL A G98255105 787 9400 SH SOLE 01 9400 0 0 XTO ENERGY INC COM 98385X106 499 8300 SH SOLE 01 8300 0 0 YAHOO INC COM 984332106 2203 80684 SH SOLE 01 02 80684 0 0 YRC WORLDWIDE INC COM 984249102 321 8400 SH SOLE 01 8400 0 0 YUM BRANDS INC COM 988498101 240 7300 SH SOLE 01 7300 0 0 ZEBRA TECHNOLOGIES CORP CL A 989207105 252 6405 SH SOLE 01 6405 0 0 ZIMMER HLDGS INC COM 98956P102 432 5100 SH SOLE 01 5100 0 0 ZIONS BANCORPORATION COM 989701107 230 2970 SH SOLE 01 2970 0 0