13F-HR/A 1 jeffa11q07.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: March 31, 2007 Check here if Amendment [ X ]; Amendment Number: 1 This Amendment (Check only one.): [ X ] 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 December 18, 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: 753 Form13F Information Table Value Total: $2,173,066 (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$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- ABBOTT LABS COM 002824100 1560 27717 SH SOLE 01 27717 0 0 ABERCROMBIE & FITCH CO CL A 002896207 27094 358000 SH SOLE 01 02 358000 0 0 ABERCROMBIE & FITCH CO CL A 002896207 1359 370000 SH PUT SOLE 02 370000 0 0 ACE LTD ORD G0070K103 755 13222 SH SOLE 01 13222 0 0 ACTIVISION INC NEW COM NEW 004930202 334 20000 SH SOLE 01 20000 0 0 ADESA INC COM 00686U104 301 10900 SH SOLE 01 10900 0 0 ADOBE SYS INC COM 00724F101 1628 38544 SH SOLE 01 38544 0 0 ADVANCED MAGNETICS INC COM 00753P103 225 3760 SH SOLE 01 3760 0 0 ADVANCED MEDICAL OPTICS INC NOTE 1.375% 7/0 00763MAJ7 992 1000000 PRN SOLE 01 1000000 0 0 ADVANCED MICRO DEVICES INC COM 007903107 381 28209 SH SOLE 01 28209 0 0 ADVOCAT INC COM 007586100 204 16000 SH SOLE 02 16000 0 0 AEROPOSTALE COM 007865108 23543 585200 SH SOLE 02 585200 0 0 AES CORP COM 00130H105 202 9400 SH SOLE 01 9400 0 0 AETNA INC NEW COM 00817Y108 216 4840 SH SOLE 01 4840 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 1573 26700 SH SOLE 01 02 26700 0 0 AGCO CORP NOTE 1.750%12/3 001084AL6 8620 5000000 PRN SOLE 01 5000000 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 268 8000 SH SOLE 01 8000 0 0 ALBEMARLE CORP COM 012653101 435 10614 SH SOLE 01 10614 0 0 ALCATEL-LUCENT SPONSORED ADR 013904305 1081 90041 SH SOLE 01 90041 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 202 1900 SH SOLE 01 1900 0 0 ALLERGAN INC COM 018490102 592 5340 SH SOLE 01 5340 0 0 ALLIANCE IMAGING INC COM NEW 018606202 369 42300 SH SOLE 02 42300 0 0 ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 219 17400 SH SOLE 01 17400 0 0 ALLTEL CORP COM 020039103 683 11000 SH SOLE 01 11000 0 0 ALTERA CORP COM 021441100 602 29830 SH SOLE 01 29830 0 0 ALTRIA GROUP INC COM 02209S103 2076 25417 SH SOLE 01 25417 0 0 AMAZON COM INC NOTE 4.750% 2/0 023135AF3 296 300000 PRN SOLE 01 300000 0 0 AMB PROPERTY CORP COM 00163T109 376 6408 SH SOLE 01 6408 0 0 AMBAC FINL GROUP INC COM 023139108 380 4400 SH SOLE 01 4400 0 0 AMEREN CORP COM 023608102 797 15700 SH SOLE 01 15700 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 15386 512722 SH SOLE 01 02 512722 0 0 AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 90 77000 PRN SOLE 01 77000 0 0 AMERICAN EXPRESS CO COM 025816109 1908 34100 SH SOLE 01 34100 0 0 AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 481 796000 PRN SOLE 01 796000 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 289 8450 SH SOLE 01 8450 0 0 AMERICAN GREETINGS CORP CL A 026375105 353 15200 SH SOLE 01 15200 0 0 AMERICAN TOWER CORP NOTE 3.250% 8/0 029912AK8 312 100000 PRN SOLE 01 100000 0 0 AMERISOURCEBERGEN CORP COM 03073E105 562 10600 SH SOLE 01 10600 0 0 AMGEN INC COM 031162100 1028 18326 SH SOLE 01 18326 0 0 AMPHENOL CORP NEW CL A 032095101 374 5800 SH SOLE 01 5800 0 0 AMR CORP COM 001765106 1870 57300 SH SOLE 01 57300 0 0 AMSURG CORP COM 03232P405 413 16900 SH SOLE 01 02 16900 0 0 AMVESCAP PLC SPONSORED ADR 03235E100 401 18200 SH SOLE 01 18200 0 0 AMYLIN PHARMACEUTICALS INC COM 032346108 2297 59174 SH SOLE 01 59174 0 0 ANALOG DEVICES INC COM 032654105 1310 37500 SH SOLE 01 37500 0 0 ANHEUSER BUSCH COS INC COM 035229103 504 10616 SH SOLE 01 10616 0 0 ANNTAYLOR STORES CORP COM 036115103 1800 46397 SH SOLE 01 02 46397 0 0 APOLLO GROUP INC CL A 037604105 353 7907 SH SOLE 01 7907 0 0 APPLE INC COM 037833100 2850 32326 SH SOLE 01 32326 0 0 APPLERA CORP COM AP BIO GRP 038020103 1358 45620 SH SOLE 01 45620 0 0 APRIA HEALTHCARE GROUP INC NOTE 3.375% 9/0 037933AB4 5410 5000000 PRN SOLE 01 5000000 0 0 APTARGROUP INC COM 038336103 295 4400 SH SOLE 01 4400 0 0 ARCH COAL INC COM 039380100 3752 122400 SH SOLE 01 122400 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 715 19400 SH SOLE 01 19400 0 0 ARCHSTONE SMITH OPER TR NOTE 4.000% 7/1 039584AC1 1560 1500000 PRN SOLE 01 1500000 0 0 ARCHSTONE SMITH TR COM 039583109 715 13200 SH SOLE 01 13200 0 0 ARMOR HOLDINGS INC NOTE 2.000%11/0 042260AC3 7574 5401000 PRN SOLE 01 5401000 0 0 ARMSTRONG WORLD INDS INC NEW COM 04247X102 17656 352142 SH SOLE 01 352142 0 0 ARROW ELECTRS INC COM 042735100 298 7900 SH SOLE 01 7900 0 0 ARVINMERITOR INC NOTE 4.625% 3/0 043353AF8 575 500000 PRN SOLE 01 500000 0 0 ASHLAND INC NEW COM 044209104 588 8977 SH SOLE 01 8977 0 0 ASSISTED LIVING CONCPT NEV N CL A 04544X102 4275 372160 SH SOLE 01 02 372160 0 0 AT&T INC COM 00206R102 13583 367348 SH SOLE 01 367348 0 0 ATHEROS COMMUNICATIONS INC COM 04743P108 1154 48218 SH SOLE 01 02 48218 0 0 ATLAS AIR WORLDWIDE HLDGS IN COM NEW 049164205 15334 313091 SH SOLE 01 313091 0 0 AU OPTRONICS CORP SPONSORED ADR 002255107 400 28000 SH SOLE 01 28000 0 0 AUDIOCODES LTD NOTE 2.000%11/0 050732AB2 461 500000 PRN SOLE 01 500000 0 0 AUTODESK INC COM 052769106 672 17849 SH SOLE 01 02 17849 0 0 AUTOMATIC DATA PROCESSING IN COM 053015103 1455 29449 SH SOLE 01 29449 0 0 AVNET INC COM 053807103 427 11686 SH SOLE 01 11686 0 0 AVNET INC DBCV 2.000% 3/1 053807AL7 119 101000 PRN SOLE 01 101000 0 0 AXCAN PHARMA INC NOTE 4.250% 4/1 054923AB3 30 25000 PRN SOLE 01 25000 0 0 BALL CORP COM 058498106 427 9300 SH SOLE 01 9300 0 0 BANCO BILBAO VIZCAYA ARGENTA SPONSORED ADR 05946K101 82889 3400000 SH SOLE 01 3400000 0 0 BANK OF AMERICA CORPORATION COM 060505104 360 6942 SH SOLE 01 6942 0 0 BARD C R INC COM 067383109 398 5008 SH SOLE 01 5008 0 0 BARNES & NOBLE INC COM 067774109 816 20000 SH SOLE 01 20000 0 0 BARNES GROUP INC NOTE 3.750% 8/0 067806AB5 368 301000 PRN SOLE 01 301000 0 0 BARR PHARMACEUTICALS INC COM 068306109 720 15200 SH SOLE 01 15200 0 0 BAUER EDDIE HLDGS INC COM 071625107 171 15000 SH SOLE 01 15000 0 0 BAXTER INTL INC COM 071813109 592 11220 SH SOLE 01 11220 0 0 BB&T CORP COM 054937107 863 21004 SH SOLE 01 21004 0 0 BE AEROSPACE INC COM 073302101 210 6605 SH SOLE 01 6605 0 0 BEA SYS INC COM 073325102 1023 89900 SH SOLE 01 89900 0 0 BEAR STEARNS COS INC COM 073902108 1936 12515 SH SOLE 01 12515 0 0 BEAZER HOMES USA INC COM 07556Q105 1237 42200 SH SOLE 01 42200 0 0 BEBE STORES INC COM 075571109 7203 414422 SH SOLE 02 414422 0 0 BENCHMARK ELECTRS INC COM 08160H101 365 17646 SH SOLE 01 02 17646 0 0 BEST BUY INC COM 086516101 2781 59500 SH SOLE 01 02 59500 0 0 BEST BUY INC SDCV 2.250% 1/1 086516AF8 70 63000 PRN SOLE 01 63000 0 0 BIG LOTS INC COM 089302103 1710 53828 SH SOLE 01 53828 0 0 BIO-REFERENCE LABS INC COM $.01 NEW 09057G602 310 12199 SH SOLE 02 12199 0 0 BIOGEN IDEC INC COM 09062X103 458 10333 SH SOLE 01 10333 0 0 BIOMET INC COM 090613100 299 7045 SH SOLE 01 7045 0 0 BIOSITE INC COM 090945106 420 5000 SH SOLE 02 5000 0 0 BIOVAIL CORP COM 09067J109 3930 190728 SH SOLE 01 190728 0 0 BISYS GROUP INC COM 055472104 173 15000 SH SOLE 01 15000 0 0 BLACK & DECKER CORP COM 091797100 867 10577 SH SOLE 01 10577 0 0 BLOCK H & R INC COM 093671105 2735 129900 SH SOLE 01 129900 0 0 BLUE COAT SYSTEMS INC COM NEW 09534T508 1571 42774 SH SOLE 01 02 42774 0 0 BMC SOFTWARE INC COM 055921100 382 12409 SH SOLE 01 12409 0 0 BOEING CO COM 097023105 7930 88726 SH SOLE 01 88726 0 0 BORDERS GROUP INC COM 099709107 2042 100000 SH SOLE 02 100000 0 0 BOSTON SCIENTIFIC CORP COM 101137107 3085 192254 SH SOLE 01 192254 0 0 BOYD GAMING CORP COM 103304101 785 16400 SH SOLE 01 16400 0 0 BP PLC SPONSORED ADR 055622104 393 6000 SH SOLE 01 6000 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 7104 258367 SH SOLE 01 258367 0 0 BUILDING MATLS HLDG CORP COM 120113105 13130 725000 SH SOLE 02 725000 0 0 BURLINGTON NORTHN SANTA FE C COM 12189T104 231 2900 SH SOLE 01 2900 0 0 BUSINESS OBJECTS S A SPONSORED ADR 12328X107 6639 190288 SH SOLE 01 02 190288 0 0 C H ROBINSON WORLDWIDE INC COM NEW 12541W209 404 8500 SH SOLE 01 8500 0 0 CA INC COM 12673P105 224 8600 SH SOLE 01 8600 0 0 CABOT CORP COM 127055101 328 7100 SH SOLE 01 7100 0 0 CABOT OIL & GAS CORP COM 127097103 311 4600 SH SOLE 01 4600 0 0 CADENCE DESIGN SYSTEM INC NOTE 8/1 127387AB4 14365 11000000 PRN SOLE 01 11000000 0 0 CAESARS ENTMT INC FRNT 4/1 127687AB7 6722 5000000 PRN SOLE 01 5000000 0 0 CAMPBELL SOUP CO COM 134429109 1285 32600 SH SOLE 01 32600 0 0 CAREER EDUCATION CORP COM 141665109 11007 372115 SH SOLE 01 372115 0 0 CARNIVAL CORP PAIRED CTF 143658300 450 9600 SH SOLE 01 9600 0 0 CB RICHARD ELLIS GROUP INC CL A 12497T101 262 7600 SH SOLE 01 7600 0 0 CBRL GROUP INC NOTE 4/0 12489VAB2 3125 6044000 PRN SOLE 01 6044000 0 0 CDC CORP SHS A G2022L106 1266 140000 SH SOLE 02 140000 0 0 CELGENE CORP COM 151020104 555 10571 SH SOLE 01 10571 0 0 CENTERPOINT ENERGY INC COM 15189T107 2563 144828 SH SOLE 01 144828 0 0 CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 6361 4000000 PRN SOLE 01 4000000 0 0 CENTEX CORP COM 152312104 719 16899 SH SOLE 01 16899 0 0 CENTURYTEL INC DBCV 4.750% 8/0 156700AH9 305 265000 PRN SOLE 01 265000 0 0 CEPHALON INC NOTE 2.000% 6/0 156708AP4 24863 15000000 PRN SOLE 01 15000000 0 0 CERIDIAN CORP NEW COM 156779100 328 10100 SH SOLE 01 10100 0 0 CGG VERITAS SPONSORED ADR 204386106 16396 400000 SH SOLE 01 400000 0 0 CHARLOTTE RUSSE HLDG INC COM 161048103 45 10000 SH CALL SOLE 02 10000 0 0 CHARTER COMMUNICATIONS INC D NOTE 5.875%11/1 16117MAE7 2082 1457000 PRN SOLE 01 1457000 0 0 CHEMED CORP NEW COM 16359R103 337 9089 SH SOLE 01 02 9089 0 0 CHESAPEAKE ENERGY CORP COM 165167107 233 7500 SH SOLE 01 7500 0 0 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 2062 1975000 PRN SOLE 01 1975000 0 0 CHICAGO MERCANTILE HLDGS INC CL A 167760107 1948 3680 SH SOLE 01 02 3680 0 0 CHICOS FAS INC COM 168615102 418 17400 SH SOLE 01 17400 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 9190 164825 SH SOLE 01 02 164825 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 32 15000 SH CALL SOLE 02 15000 0 0 CHRISTOPHER & BANKS CORP COM 171046105 11378 584400 SH SOLE 02 584400 0 0 CHRISTOPHER & BANKS CORP COM 171046105 24 15000 SH PUT SOLE 02 15000 0 0 CHRISTOPHER & BANKS CORP COM 171046105 25 10000 SH CALL SOLE 02 10000 0 0 CHUBB CORP COM 171232101 322 6238 SH SOLE 01 6238 0 0 CIBER INC SDCV 2.875%12/1 17163BAB8 94 100000 PRN SOLE 01 100000 0 0 CIENA CORP NOTE 0.250% 5/0 171779AB7 96 110000 PRN SOLE 01 110000 0 0 CIENA CORP NOTE 3.750% 2/0 171779AA9 928 949000 PRN SOLE 01 949000 0 0 CIGNA CORP COM 125509109 400 2802 SH SOLE 01 2802 0 0 CIRCUIT CITY STORE INC COM 172737108 502 26900 SH SOLE 01 26900 0 0 CISCO SYS INC COM 17275R102 1843 71778 SH SOLE 01 02 71778 0 0 CIT GROUP INC COM 125581108 727 13742 SH SOLE 01 13742 0 0 CITADEL BROADCASTING CORP COM 17285T106 357 37036 SH SOLE 01 37036 0 0 CITIGROUP INC COM 172967101 230 4470 SH SOLE 01 4470 0 0 CITY NATL CORP COM 178566105 368 5000 SH SOLE 02 5000 0 0 CLEAR CHANNEL COMMUNICATIONS COM 184502102 1891 54000 SH SOLE 01 02 54000 0 0 CLOROX CO DEL COM 189054109 473 7424 SH SOLE 01 7424 0 0 COCA COLA CO COM 191216100 648 13500 SH SOLE 01 13500 0 0 COGENT INC COM 19239Y108 378 28101 SH SOLE 02 28101 0 0 COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 925 10250 SH SOLE 01 10250 0 0 COHEN & STEERS SELECT UTIL F COM 19248A109 655 25000 SH SOLE 01 25000 0 0 COLGATE PALMOLIVE CO COM 194162103 214 3200 SH SOLE 01 3200 0 0 COMCAST CORP NEW CL A 20030N101 319 12224 SH SOLE 01 12224 0 0 COMERICA INC COM 200340107 754 12750 SH SOLE 01 12750 0 0 COMMSCOPE INC COM 203372107 262 6300 SH SOLE 01 6300 0 0 COMPANHIA VALE DO RIO DOCE SPONSORED ADR 204412209 1627 44104 SH SOLE 01 44104 0 0 COMPANIA ANONIMA NACIONL TEL SPON ADR D 204421101 346 20000 SH SOLE 01 20000 0 0 COMPUTER SCIENCES CORP COM 205363104 441 8471 SH SOLE 01 8471 0 0 CONAGRA FOODS INC COM 205887102 995 40405 SH SOLE 01 40405 0 0 CONEXANT SYSTEMS INC NOTE 4.000% 3/0 207142AH3 449 500000 PRN SOLE 01 500000 0 0 CONOCOPHILLIPS COM 20825C104 1490 21600 SH SOLE 01 21600 0 0 CONSTELLATION BRANDS INC CL A 21036P108 219 10400 SH SOLE 01 10400 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 270 3100 SH SOLE 01 3100 0 0 CONTINENTAL AIRLS INC CL B 210795308 593 15713 SH SOLE 01 15713 0 0 COOPER INDS LTD CL A G24182100 211 4682 SH SOLE 01 4682 0 0 COOPER TIRE & RUBR CO COM 216831107 530 29246 SH SOLE 01 29246 0 0 COPANO ENERGY L L C COM UNITS 217202100 297 4500 SH SOLE 01 4500 0 0 CORILLIAN CORP COM 218725109 549 110000 SH SOLE 02 110000 0 0 CORNELL COMPANIES INC COM 219141108 368 18200 SH SOLE 02 18200 0 0 CORNING INC COM 219350105 1232 54200 SH SOLE 01 02 54200 0 0 COSTCO WHSL CORP NEW COM 22160K105 4853 87053 SH SOLE 01 87053 0 0 COVENTRY HEALTH CARE INC COM 222862104 269 4800 SH SOLE 01 4800 0 0 CRESUD S A C I F Y A SPONSORED ADR 226406106 8533 430754 SH SOLE 01 430754 0 0 CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 1067 1000000 PRN SOLE 01 1000000 0 0 CSX CORP DBCV 10/3 126408GA5 9694 7174000 PRN SOLE 01 7174000 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 4243 4500000 PRN SOLE 01 4500000 0 0 CUMMINS INC COM 231021106 376 2600 SH SOLE 01 2600 0 0 CURRENCYSHS JAPANESE YEN TR JAPANESE YEN 23130A102 853 10000 SH SOLE 01 10000 0 0 CV THERAPEUTICS INC COM 126667104 751 82243 SH SOLE 01 82243 0 0 CVS CORP COM 126650100 542 15899 SH SOLE 01 15899 0 0 CYBERONICS INC COM 23251P102 358 17500 SH SOLE 01 17500 0 0 CYPRESS BIOSCIENCES INC COM PAR $.02 232674507 1864 244449 SH SOLE 01 244449 0 0 CYPRESS SEMICONDUCTOR CORP COM 232806109 1419 75800 SH SOLE 01 02 75800 0 0 CYTEC INDS INC COM 232820100 321 5500 SH SOLE 01 5500 0 0 D R HORTON INC COM 23331A109 859 38700 SH SOLE 01 38700 0 0 DAIMLERCHRYSLER AG ORD D1668R123 124975 1540000 SH SOLE 01 1540000 0 0 DARDEN RESTAURANTS INC COM 237194105 792 19200 SH SOLE 01 19200 0 0 DARLING INTL INC COM 237266101 115 18000 SH SOLE 01 02 18000 0 0 DAVITA INC COM 23918K108 215 4029 SH SOLE 01 02 4029 0 0 DEALERTRACK HLDGS INC COM 242309102 949 30830 SH SOLE 01 02 30830 0 0 DECKERS OUTDOOR CORP COM 243537107 212 3200 SH SOLE 01 3200 0 0 DEERE & CO COM 244199105 1324 12151 SH SOLE 01 12151 0 0 DEL MONTE FOODS CO COM 24522P103 305 26644 SH SOLE 01 26644 0 0 DELL INC COM 24702R101 2097 90600 SH SOLE 01 02 90600 0 0 DELL INC COM 24702R101 35 100000 SH CALL SOLE 02 100000 0 0 DEVELOPERS DIVERSIFIED RLTY COM 251591103 1046 16500 SH SOLE 01 16500 0 0 DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 508 388000 PRN SOLE 01 388000 0 0 DEVON ENERGY CORP NEW DEB 4.950% 8/1 25179MAB9 3873 2958000 PRN SOLE 01 2958000 0 0 DICKS SPORTING GOODS INC NOTE 1.606% 2/1 253393AB8 4762 5000000 PRN SOLE 01 5000000 0 0 DIGITAL RIV INC COM 25388B104 332 6000 SH SOLE 02 6000 0 0 DILLARDS INC CL A 254067101 454 13900 SH SOLE 01 13900 0 0 DIRECT GEN CORP COM 25456W204 4467 210100 SH SOLE 02 210100 0 0 DISCOVERY HOLDING CO CL A COM 25468Y107 202 11000 SH SOLE 01 11000 0 0 DISNEY WALT CO COM DISNEY 254687106 446 12900 SH SOLE 01 12900 0 0 DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 57 47000 PRN SOLE 01 47000 0 0 DOBSON COMMUNICATIONS CORP SDCV 1.500%10/0 256069AG0 551 500000 PRN SOLE 01 500000 0 0 DOLLAR GEN CORP COM 256669102 431 20400 SH SOLE 01 20400 0 0 DOMINION RES INC VA NEW COM 25746U109 1023 12000 SH SOLE 01 12000 0 0 DOMTAR CORP COM 257559104 476 50000 SH SOLE 01 50000 0 0 DOW CHEM CO COM 260543103 2356 52969 SH SOLE 01 52969 0 0 DOW JONES & CO INC COM 260561105 486 14122 SH SOLE 01 14122 0 0 DRESS BARN INC COM 261570105 7982 383546 SH SOLE 01 02 383546 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 621 12555 SH SOLE 01 12555 0 0 DUKE ENERGY CORP NOTE 1.750% 5/1 264399EJ1 24 24000 PRN SOLE 01 24000 0 0 DUKE ENERGY CORP NEW COM 26441C105 217 10700 SH SOLE 01 10700 0 0 E M C CORP MASS COM 268648102 933 67100 SH SOLE 01 67100 0 0 E TRADE FINANCIAL CORP COM 269246104 1495 69274 SH SOLE 01 69274 0 0 EASTMAN CHEM CO COM 277432100 69666 1100047 SH SOLE 01 1100047 0 0 EASTMAN KODAK CO COM 277461109 896 39450 SH SOLE 01 39450 0 0 EATON CORP COM 278058102 314 3768 SH SOLE 01 3768 0 0 ECOLAB INC COM 278865100 322 7529 SH SOLE 01 7529 0 0 EDISON INTL COM 281020107 740 15418 SH SOLE 01 15418 0 0 EDWARDS AG INC COM 281760108 530 7730 SH SOLE 01 7730 0 0 EDWARDS LIFESCIENCES CORP DBCV 3.875% 5/1 28176EAB4 5562 5300000 PRN SOLE 01 5300000 0 0 EFJ INC COM 26843B101 88 16400 SH SOLE 01 16400 0 0 EL PASO CORP COM 28336L109 282 19400 SH SOLE 01 19400 0 0 ELECTRONIC ARTS INC COM 285512109 367 7273 SH SOLE 01 7273 0 0 ELECTRONIC DATA SYS NEW COM 285661104 2546 91100 SH SOLE 01 91100 0 0 ELECTRONICS FOR IMAGING INC DBCV 1.500% 6/0 286082AA0 3002 2892000 PRN SOLE 01 2892000 0 0 EMERSON ELEC CO COM 291011104 468 10900 SH SOLE 01 10900 0 0 EMPIRE RESORTS INC NOTE 5.500% 7/3 292052AB3 159 150000 PRN SOLE 01 150000 0 0 ENCYSIVE PHARMACEUTICALS INC FRNT 2.500% 3/1 29256XAB3 610 860000 PRN SOLE 01 860000 0 0 ENERGIZER HLDGS INC COM 29266R108 312 3649 SH SOLE 01 3649 0 0 ENSCO INTL INC COM 26874Q100 563 10300 SH SOLE 01 10300 0 0 ENTERGY CORP NEW COM 29364G103 1024 10400 SH SOLE 01 10400 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 2715 2500000 PRN SOLE 01 2500000 0 0 EOG RES INC COM 26875P101 371 5183 SH SOLE 01 5183 0 0 EQUIFAX INC COM 294429105 521 14220 SH SOLE 01 14220 0 0 EQUITABLE RES INC COM 294549100 306 6700 SH SOLE 01 6700 0 0 ERESEARCHTECHNOLOGY INC COM 29481V108 74 10000 SH SOLE 01 10000 0 0 EURONET WORLDWIDE INC NOTE 3.500%10/1 298736AF6 60 60000 PRN SOLE 01 60000 0 0 EVERGREEN ENERGY INC COM 30024B104 1452 195381 SH SOLE 01 195381 0 0 EXELON CORP COM 30161N101 25110 372340 SH SOLE 01 372340 0 0 EXPEDIA INC DEL *W EXP 02/04/200 30212P121 191 19000 SH SOLE 01 19000 0 0 EXPRESS SCRIPTS INC COM 302182100 3158 40687 SH SOLE 01 40687 0 0 EXXON MOBIL CORP COM 30231G102 264 3500 SH SOLE 01 3500 0 0 FAIR ISAAC CORP COM 303250104 921 23700 SH SOLE 01 23700 0 0 FAMILY DLR STORES INC COM 307000109 1816 61536 SH SOLE 01 61536 0 0 FEDERATED DEPT STORES INC DE COM 31410H101 24695 548150 SH SOLE 01 02 548150 0 0 FEDERATED DEPT STORES INC DE COM 31410H101 527 67500 SH CALL SOLE 02 67500 0 0 FEDEX CORP COM 31428X106 239 2200 SH SOLE 01 2200 0 0 FEI CO NOTE 6/1 30241LAD1 5235 4132000 PRN SOLE 01 4132000 0 0 FIBERTOWER CORP COM 31567R100 419 78700 SH SOLE 01 78700 0 0 FIDELITY NATL INFORMATION SV COM 31620M106 690 15199 SH SOLE 01 15199 0 0 FIFTH THIRD BANCORP COM 316773100 337 8604 SH SOLE 01 8604 0 0 FIRST AMERN CORP CALIF COM 318522307 666 12790 SH SOLE 01 12790 0 0 FIRST HORIZON NATL CORP COM 320517105 1978 46400 SH SOLE 01 46400 0 0 FIVE STAR QUALITY CARE INC COM 33832D106 277 26946 SH SOLE 01 02 26946 0 0 FLUOR CORP NEW COM 343412102 719 7982 SH SOLE 01 7982 0 0 FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 38 24000 PRN SOLE 01 24000 0 0 FOOT LOCKER INC COM 344849104 612 26000 SH SOLE 02 26000 0 0 FORD MTR CO DEL NOTE 4.250%12/1 345370CF5 16852 15032000 PRN SOLE 01 15032000 0 0 FOREST LABS INC COM 345838106 417 8116 SH SOLE 01 8116 0 0 FORMFACTOR INC COM 346375108 1285 28703 SH SOLE 01 02 28703 0 0 FPL GROUP INC COM 302571104 810 13243 SH SOLE 01 13243 0 0 FRANCE TELECOM SPONSORED ADR 35177Q105 27412 1009390 SH SOLE 01 1009390 0 0 FRIEDMAN BILLINGS RAMSEY GRO CL A 358434108 323 49500 SH SOLE 01 49500 0 0 FRONTIER OIL CORP COM 35914P105 213 6800 SH SOLE 01 6800 0 0 FRONTLINE LTD SHS G3682E127 70349 1344699 SH SOLE 01 1344699 0 0 FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 1207 930000 PRN SOLE 01 930000 0 0 GAMESTOP CORP NEW CL A 36467W109 796 25000 SH SOLE 01 25000 0 0 GAP INC DEL COM 364760108 14 10000 SH CALL SOLE 02 10000 0 0 GAP INC DEL COM 364760108 727 41868 SH SOLE 01 41868 0 0 GATEWAY INC NOTE 2.000%12/3 367626AD0 12679 15456000 PRN SOLE 01 15456000 0 0 GATEWAY INC NOTE 1.500%12/3 367626AB4 1324 1500000 PRN SOLE 01 1500000 0 0 GENERAL DYNAMICS CORP COM 369550108 310 4053 SH SOLE 01 4053 0 0 GENERAL ELECTRIC CO COM 369604103 247 7000 SH SOLE 01 7000 0 0 GENERAL MLS INC COM 370334104 482 8300 SH SOLE 01 8300 0 0 GENERAL MTRS CORP COM 370442105 389 12800 SH SOLE 01 12800 0 0 GENEREX BIOTECHNOLOGY CP DEL COM 371485103 28 16443 SH SOLE 01 16443 0 0 GENESIS HEALTHCARE CORP COM 37184D101 316 5000 SH SOLE 02 5000 0 0 GENESIS HEALTHCARE CORP SDCV 2.500% 3/1 37184DAE1 1935 1500000 PRN SOLE 01 1500000 0 0 GENWORTH FINL INC COM CL A 37247D106 507 14516 SH SOLE 01 14516 0 0 GENZYME CORP COM 372917104 9495 155102 SH SOLE 01 155102 0 0 GEORGIA GULF CORP COM PAR $0.01 373200203 307 16000 SH SOLE 01 16000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 3775 18900 SH SOLE 01 02 18900 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 306 9900 SH SOLE 01 9900 0 0 GOOGLE INC CL A 38259P508 1146 2500 SH SOLE 01 02 2500 0 0 GRACE W R & CO DEL NEW COM 38388F108 419 17000 SH SOLE 01 17000 0 0 GRAPHIC PACKAGING CORP DEL COM 388688103 156 32430 SH SOLE 01 32430 0 0 GREENHILL & CO INC COM 395259104 430 7000 SH SOLE 02 7000 0 0 GREIF INC CL A 397624107 471 4000 SH SOLE 01 4000 0 0 HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 11702 7000000 PRN SOLE 01 7000000 0 0 HANCOCK FABRICS INC COM 409900107 63 38008 SH SOLE 01 38008 0 0 HARBOR ACQUISITION CORPORATI *W EXP 04/25/201 41145X115 3 10000 SH SOLE 01 10000 0 0 HARLEY DAVIDSON INC COM 412822108 1013 16800 SH SOLE 01 16800 0 0 HARMAN INTL INDS INC COM 413086109 438 4500 SH SOLE 01 4500 0 0 HARSCO CORP COM 415864107 597 13800 SH SOLE 01 13800 0 0 HASBRO INC COM 418056107 477 16573 SH SOLE 01 16573 0 0 HEADWATERS INC NOTE 2.875% 6/0 42210PAB8 1319 1300000 PRN SOLE 01 1300000 0 0 HEALTH MGMT ASSOC INC NEW CL A 421933102 145 13383 SH SOLE 01 13383 0 0 HEALTH NET INC COM 42222G108 274 5100 SH SOLE 01 5100 0 0 HEALTHSOUTH CORP COM NEW 421924309 251 11700 SH SOLE 01 11700 0 0 HERCULES INC COM 427056106 1015 50797 SH SOLE 01 50797 0 0 HERTZ GLOBAL HOLDINGS INC COM 42805T105 341 14500 SH SOLE 01 14500 0 0 HESS CORP COM 42809H107 2049 37864 SH SOLE 01 37864 0 0 HEWLETT PACKARD CO NOTE 10/1 428236AC7 42 60000 PRN SOLE 01 60000 0 0 HEWLETT PACKARD CO COM 428236103 1711 42700 SH SOLE 01 02 42700 0 0 HI / FN INC COM 428358105 361 59429 SH SOLE 02 59429 0 0 HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 8233 5133000 PRN SOLE 01 5133000 0 0 HILTON HOTELS CORP COM 432848109 22368 635200 SH SOLE 01 635200 0 0 HOME DEPOT INC COM 437076102 913 24600 SH SOLE 01 24600 0 0 HORACE MANN EDUCATORS CORP N NOTE 1.425% 5/1 440327AG9 34 73000 PRN SOLE 01 73000 0 0 HORIZON HEALTH CORP COM 44041Y104 244 12486 SH SOLE 02 12486 0 0 HORNBECK OFFSHORE SVCS INC N COM 440543106 18506 691289 SH SOLE 01 691289 0 0 HOT TOPIC INC COM 441339108 60 30000 SH PUT SOLE 02 30000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 2325 2350000 PRN SOLE 01 2350000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 2201 2500000 PRN SOLE 01 2500000 0 0 HUMANA INC COM 444859102 352 6043 SH SOLE 01 6043 0 0 HUTCHINSON TECHNOLOGY INC NOTE 2.250% 3/1 448407AE6 3120 3210000 PRN SOLE 01 3210000 0 0 HUTCHINSON TECHNOLOGY INC NOTE 3.250% 1/1 448407AF3 8882 9500000 PRN SOLE 01 9500000 0 0 IAC INTERACTIVECORP COM NEW 44919P300 248 6587 SH SOLE 01 6587 0 0 ICO GLOBAL COMM HLDGS LTD DE CL A 44930K108 2136 502601 SH SOLE 01 502601 0 0 IDEC PHARMACEUTICALS CORP NOTE 2/1 449370AC9 1826 1000000 PRN SOLE 01 1000000 0 0 ILLINOIS TOOL WKS INC COM 452308109 791 15481 SH SOLE 01 15481 0 0 INCYTE CORP COM 45337C102 94 14700 SH SOLE 01 14700 0 0 INCYTE CORP NOTE 3.500% 2/1 45337CAE2 1282 1500000 PRN SOLE 01 1500000 0 0 INCYTE CORP NOTE 3.500% 2/1 45337CAF9 2869 3250000 PRN SOLE 01 3250000 0 0 INGERSOLL-RAND COMPANY LTD CL A G4776G101 18896 445300 SH SOLE 01 445300 0 0 INPHONIC INC COM 45772G105 882 75000 SH SOLE 01 75000 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 955 1085000 PRN SOLE 01 1085000 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 7305 56771 SH SOLE 01 56771 0 0 INTERNATIONAL FLAVORS&FRAGRA COM 459506101 526 11135 SH SOLE 01 11135 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 209 5200 SH SOLE 01 5200 0 0 INTERNATIONAL RECTIFIER CORP COM 460254105 349 9100 SH SOLE 01 9100 0 0 INTERPUBLIC GROUP COS INC COM 460690100 189 15340 SH SOLE 01 15340 0 0 INTL SECS EXCHANGE HLDGS INC CL A 46031W204 657 13525 SH SOLE 01 02 13525 0 0 INVITROGEN CORP COM 46185R100 300 4744 SH SOLE 01 4744 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 1011 1143000 PRN SOLE 01 1143000 0 0 IPSCO INC COM 462622101 4871 39950 SH SOLE 01 39950 0 0 ISHARES TR 20+ YR TRS BD 464287432 663 7500 SH SOLE 01 7500 0 0 ISHARES TR RUSSELL 2000 464287655 73581 928144 SH SOLE 01 928144 0 0 ISILON SYS INC COM 46432L104 346 21380 SH SOLE 02 21380 0 0 ISTAR FINL INC COM 45031U101 317 6763 SH SOLE 01 6763 0 0 IVANHOE MINES LTD COM 46579N103 849 62400 SH SOLE 01 62400 0 0 J CREW GROUP INC COM 46612H402 990 24700 SH SOLE 01 02 24700 0 0 JANUS CAP GROUP INC COM 47102X105 486 23200 SH SOLE 01 23200 0 0 JO-ANN STORES INC COM 47758P307 226 9000 SH SOLE 01 9000 0 0 JOHNSON & JOHNSON COM 478160104 1036 17177 SH SOLE 01 17177 0 0 JOS A BANK CLOTHIERS INC COM 480838101 976 27655 SH SOLE 01 02 27655 0 0 JP MORGAN CHASE & CO COM 46625H100 881 18190 SH SOLE 01 18190 0 0 JUNIPER NETWORKS INC COM 48203R104 568 28749 SH SOLE 01 28749 0 0 KB HOME COM 48666K109 1375 31421 SH SOLE 01 31421 0 0 KEANE INC SDCV 2.000% 6/1 486665AB8 230 231000 PRN SOLE 01 231000 0 0 KELLWOOD CO DBCV 3.500% 6/1 488044AF5 1379 1500000 PRN SOLE 01 1500000 0 0 KENNAMETAL INC COM 489170100 228 3400 SH SOLE 01 3400 0 0 KEYCORP NEW COM 493267108 537 14250 SH SOLE 01 14250 0 0 KIMBERLY CLARK CORP COM 494368103 1129 16496 SH SOLE 01 16496 0 0 KIMCO REALTY CORP COM 49446R109 519 10685 SH SOLE 01 10685 0 0 KLA-TENCOR CORP COM 482480100 956 17922 SH SOLE 01 02 17922 0 0 KOHLS CORP COM 500255104 3064 40000 SH SOLE 02 40000 0 0 KOHLS CORP COM 500255104 105 15000 SH CALL SOLE 02 15000 0 0 KRISPY KREME DOUGHNUTS INC COM 501014104 274 26900 SH SOLE 01 02 26900 0 0 KROGER CO COM 501044101 369 13092 SH SOLE 01 13092 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 4163 3909000 PRN SOLE 01 3909000 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 1530 17600 SH SOLE 01 17600 0 0 LABRANCHE & CO INC COM 505447102 105 12800 SH SOLE 01 12800 0 0 LABRANCHE & CO INC COM 505447102 103 50000 SH PUT SOLE 02 50000 0 0 LAMAR ADVERTISING CO NOTE 2.875%12/3 512815AG6 333 250000 PRN SOLE 01 250000 0 0 LAMAR ADVERTISING CO CL A 512815101 381 6114 SH SOLE 01 6114 0 0 LAUDER ESTEE COS INC CL A 518439104 531 10931 SH SOLE 01 10931 0 0 LAUREATE EDUCATION INC COM 518613104 366 6220 SH SOLE 01 6220 0 0 LEAR CORP COM 521865105 387 10600 SH SOLE 01 10600 0 0 LEGG MASON INC COM 524901105 576 6100 SH SOLE 01 6100 0 0 LEHMAN BROS HLDGS INC COM 524908100 805 11335 SH SOLE 01 11335 0 0 LENNAR CORP CL A 526057104 1570 36100 SH SOLE 01 36100 0 0 LEUCADIA NATL CORP COM 527288104 11793 410200 SH SOLE 01 02 410200 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 7620 5361000 PRN SOLE 01 5361000 0 0 LEVEL 3 COMMUNICATIONS INC COM 52729N100 943 143665 SH SOLE 01 143665 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 3.500% 6/1 52729NBK5 8675 6250000 PRN SOLE 01 6250000 0 0 LEXMARK INTL NEW CL A 529771107 376 6400 SH SOLE 01 6400 0 0 LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 11 14000 PRN SOLE 01 14000 0 0 LIBERTY MEDIA CORP NEW DEB 0.750% 3/3 530718AF2 4979 4175000 PRN SOLE 01 4175000 0 0 LIBERTY MEDIA HLDG CORP INT COM SER A 53071M104 385 16149 SH SOLE 01 16149 0 0 LIGAND PHARMACEUTICALS INC CL B 53220K207 4219 382248 SH SOLE 01 382248 0 0 LILLY ELI & CO COM 532457108 5185 99100 SH SOLE 01 99100 0 0 LIMITED BRANDS INC COM 532716107 29183 1107327 SH SOLE 01 02 1107327 0 0 LIN TELEVISION CORP SDEB 2.500% 5/1 532776AL5 330 9000 SH SOLE 02 9000 0 0 LINCARE HLDGS INC COM 532791100 5415 141143 SH SOLE 01 02 141143 0 0 LINCOLN NATL CORP IND COM 534187109 325 4795 SH SOLE 01 4795 0 0 LOCKHEED MARTIN CORP COM 539830109 777 7971 SH SOLE 01 7971 0 0 LOCKHEED MARTIN CORP DBCV 8/1 539830AP4 6040 4309000 PRN SOLE 01 4309000 0 0 LOEWS CORP COM 540424108 363 8000 SH SOLE 01 8000 0 0 LOWES COS INC COM 548661107 361 11500 SH SOLE 01 11500 0 0 LUMINENT MTG CAP INC COM 550278303 632 70443 SH SOLE 01 02 70443 0 0 LYONDELL CHEMICAL CO COM 552078107 565 18300 SH SOLE 01 18300 0 0 MACERICH CO COM 554382101 222 2400 SH SOLE 01 2400 0 0 MACK CALI RLTY CORP COM 554489104 391 7800 SH SOLE 01 7800 0 0 MADDEN STEVEN LTD COM 556269108 230 7892 SH SOLE 01 02 7892 0 0 MANNKIND CORP NOTE 3.750%12/1 56400PAA0 2268 2150000 PRN SOLE 01 2150000 0 0 MANOR CARE INC NEW NOTE 2.125% 8/0 564055AM3 12029 9552000 PRN SOLE 01 9552000 0 0 MAPINFO CORP COM 565105103 1209 60721 SH SOLE 01 02 60721 0 0 MARATHON OIL CORP COM 565849106 1405 13900 SH SOLE 01 13900 0 0 MARINER ENERGY INC COM 56845T305 225 11900 SH SOLE 01 11900 0 0 MARKEL CORP COM 570535104 287 600 SH SOLE 01 600 0 0 MARSH & MCLENNAN COS INC COM 571748102 448 15300 SH SOLE 01 15300 0 0 MARSHALL & ILSLEY CORP COM 571834100 405 8736 SH SOLE 01 8736 0 0 MARTIN MARIETTA MATLS INC COM 573284106 10224 81700 SH SOLE 01 81700 0 0 MASTERCARD INC CL A 57636Q104 17601 165799 SH SOLE 01 165799 0 0 MAXIM INTEGRATED PRODS INC COM 57772K101 1540 50872 SH SOLE 01 50872 0 0 MAXTOR CORP NOTE 6.800% 4/3 577729AC0 24 22000 PRN SOLE 01 22000 0 0 MBIA INC COM 55262C100 2627 39935 SH SOLE 01 39935 0 0 MCCORMICK & CO INC COM NON VTG 579780206 1978 51500 SH SOLE 01 51500 0 0 MCDONALDS CORP COM 580135101 11473 266852 SH SOLE 01 02 266852 0 0 MCGRAW HILL COS INC COM 580645109 415 6604 SH SOLE 01 6604 0 0 MCKESSON CORP COM 58155Q103 787 13500 SH SOLE 01 13500 0 0 MCMORAN EXPLORATION CO NOTE 6.000% 7/0 582411AB0 161 115000 PRN SOLE 01 115000 0 0 MDU RES GROUP INC COM 552690109 419 15750 SH SOLE 01 15750 0 0 MEDAREX INC COM 583916101 4600 336250 SH SOLE 01 336250 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 329 4574 SH SOLE 01 4574 0 0 MEDIMMUNE INC COM 584699102 7831 235653 SH SOLE 01 235653 0 0 MEDTRONIC INC NOTE 1.500% 4/1 585055AL0 5168 5000000 PRN SOLE 01 5000000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 5205 5005000 PRN SOLE 01 5005000 0 0 MELLANOX TECHNOLOGIES LTD SHS M51363113 484 33125 SH SOLE 02 33125 0 0 MENS WEARHOUSE INC COM 587118100 367 7700 SH SOLE 01 7700 0 0 MENTOR GRAPHICS CORP FRNT 8/0 587200AD8 1150 1123000 PRN SOLE 01 1123000 0 0 MENTOR GRAPHICS CORP SDCV 6.250% 3/0 587200AF3 3665 3000000 PRN SOLE 01 3000000 0 0 MERCER INTL INC COM 588056101 128 10284 SH SOLE 01 10284 0 0 MERCK & CO INC COM 589331107 16226 367709 SH SOLE 01 367709 0 0 MEREDITH CORP COM 589433101 223 3894 SH SOLE 01 3894 0 0 MERITAGE HOMES CORP COM 59001A102 322 10033 SH SOLE 01 02 10033 0 0 MERRILL LYNCH & CO INC COM 590188108 2418 29100 SH SOLE 01 29100 0 0 MERRILL LYNCH & CO INC NOTE 3/1 590188W46 617 500000 PRN SOLE 01 500000 0 0 METHODE ELECTRS INC COM 591520200 154 11884 SH SOLE 01 11884 0 0 METLIFE INC COM 59156R108 259 4100 SH SOLE 01 4100 0 0 METTLER TOLEDO INTERNATIONAL COM 592688105 268 3100 SH SOLE 01 3100 0 0 MICRON TECHNOLOGY INC COM 595112103 508 43163 SH SOLE 01 43163 0 0 MILLEA HOLDINGS INC ADR 60032R106 1782 48022 SH SOLE 01 48022 0 0 MILLER INDS INC TENN COM NEW 600551204 708 32400 SH SOLE 01 02 32400 0 0 MILLIPORE CORP COM 601073109 512 7101 SH SOLE 01 7101 0 0 MILLS CORP COM 601148109 1012 40500 SH SOLE 01 40500 0 0 MINDSPEED TECHNOLOGIES INC COM 602682106 977 450000 SH SOLE 02 450000 0 0 MIRANT CORP NEW *W EXP 01/03/201 60467R118 502 25646 SH SOLE 01 25646 0 0 MIRANT CORP NEW *W EXP 01/03/201 60467R126 499 24412 SH SOLE 01 24412 0 0 MIRANT CORP NEW COM 60467R100 20610 578029 SH SOLE 01 578029 0 0 MOHAWK INDS INC COM 608190104 526 6153 SH SOLE 01 6153 0 0 MONSTER WORLDWIDE INC COM 611742107 300 6335 SH SOLE 01 6335 0 0 MOODYS CORP COM 615369105 779 12200 SH SOLE 01 12200 0 0 MORGAN STANLEY COM NEW 617446448 1257 15980 SH SOLE 01 15980 0 0 MOTOROLA INC COM 620076109 844 47500 SH SOLE 01 47500 0 0 MOTOROLA INC COM 620076109 1400 411800 SH CALL SOLE 02 411800 0 0 MURPHY OIL CORP COM 626717102 534 9900 SH SOLE 01 9900 0 0 MYLAN LABS INC COM 628530107 1546 72590 SH SOLE 01 72590 0 0 MYRIAD GENETICS INC COM 62855J104 2357 70500 SH SOLE 01 70500 0 0 NABORS INDUSTRIES LTD SHS G6359F103 637 21326 SH SOLE 01 21326 0 0 NASH FINCH CO FRNT 1.631% 3/1 631158AD4 460 1083000 PRN SOLE 01 1083000 0 0 NASTECH PHARMACEUTICAL INC COM PAR $0.006 631728409 206 18000 SH SOLE 01 18000 0 0 NATIONAL CITY CORP COM 635405103 468 12587 SH SOLE 01 02 12587 0 0 NATIONAL HEALTH REALTY INC COM 635905102 811 34500 SH SOLE 02 34500 0 0 NATIONAL HEALTHCARE CORP COM 635906100 449 8800 SH SOLE 02 8800 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 472 19700 SH SOLE 01 19700 0 0 NAVIOS MARITIME HOLDINGS INC *W EXP 12/09/200 Y62196111 180 58700 SH SOLE 01 58700 0 0 NAVTEQ CORP COM 63936L100 305 9000 SH SOLE 01 9000 0 0 NBTY INC COM 628782104 219 4500 SH SOLE 01 4500 0 0 NCI BUILDING SYS INC NOTE 2.125%11/1 628852AG0 9763 6500000 PRN SOLE 01 6500000 0 0 NCR CORP NEW COM 62886E108 2248 47000 SH SOLE 01 02 47000 0 0 NEKTAR THERAPEUTICS NOTE 3.250% 9/2 640268AH1 2291 2500000 PRN SOLE 01 2500000 0 0 NEW PLAN EXCEL RLTY TR INC NOTE 3.700% 9/1 648053AH9 13 12000 PRN SOLE 01 12000 0 0 NEW YORK & CO INC COM 649295102 6117 387462 SH SOLE 01 02 387462 0 0 NEW YORK CMNTY BANCORP INC COM 649445103 170 10000 SH SOLE 01 10000 0 0 NEW YORK TIMES CO CL A 650111107 278 11900 SH SOLE 01 11900 0 0 NEWFIELD EXPL CO COM 651290108 216 5125 SH SOLE 01 5125 0 0 NEWMONT MINING CORP COM 651639106 1551 35900 SH SOLE 01 35900 0 0 NICOR INC COM 654086107 431 8904 SH SOLE 01 8904 0 0 NIKE INC CL B 654106103 563 5300 SH SOLE 01 5300 0 0 NISOURCE INC COM 65473P105 897 36774 SH SOLE 01 36774 0 0 NOBLE CORPORATION SHS G65422100 411 5200 SH SOLE 01 5200 0 0 NORDSTROM INC COM 655664100 2700 51000 SH SOLE 02 51000 0 0 NORFOLK SOUTHERN CORP COM 655844108 1298 25782 SH SOLE 01 25782 0 0 NORTHFIELD LABS INC COM 666135108 47 12500 SH SOLE 01 12500 0 0 NORTHROP GRUMMAN CORP COM 666807102 475 6389 SH SOLE 01 6389 0 0 NOVELIS INC COM 67000X106 876 20000 SH SOLE 01 20000 0 0 NOVELLUS SYS INC COM 670008101 432 13487 SH SOLE 01 13487 0 0 NUCOR CORP COM 670346105 1268 19700 SH SOLE 01 19700 0 0 NVIDIA CORP COM 67066G104 1341 45991 SH SOLE 01 02 45991 0 0 NYMEX HOLDINGS INC COM 62948N104 1078 8450 SH SOLE 01 8450 0 0 NYSE GROUP INC COM 62949W103 1769 18700 SH SOLE 01 02 18700 0 0 NYSE GROUP INC COM 62949W103 1561 588 SH PUT SOLE 02 588 0 0 O2MICRO INTERNATIONAL LTD SPONS ADR 67107W100 1714 216938 SH SOLE 02 216938 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 375 7600 SH SOLE 01 7600 0 0 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 6327 5430000 PRN SOLE 01 5430000 0 0 OFFICE DEPOT INC COM 676220106 263 7487 SH SOLE 01 7487 0 0 OFFICEMAX INC DEL COM 67622P101 670 12800 SH SOLE 01 12800 0 0 OHIO CAS CORP COM 677240103 310 10400 SH SOLE 01 10400 0 0 OIL SVC HOLDRS TR DEPOSTRY RCPT 678002106 4161 29722 SH SOLE 01 29722 0 0 OLYMPIC STEEL INC COM 68162K106 2479 84360 SH SOLE 01 84360 0 0 OMI CORP NOTE 2.875%12/0 670874AF3 4504 4366000 PRN SOLE 01 4366000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 8702 157550 SH SOLE 01 157550 0 0 OMNICARE INC DBCV 3.250%12/1 681904AL2 3715 4247000 PRN SOLE 01 4247000 0 0 OPENTV CORP CL A G67543101 919 374998 SH SOLE 02 374998 0 0 OPNEXT INC COM 68375V105 532 35000 SH SOLE 01 35000 0 0 ORIX CORP SPONSORED ADR 686330101 3701 28240 SH SOLE 01 28240 0 0 OSI PHARMACEUTICALS INC COM 671040103 1879 55403 SH SOLE 01 55403 0 0 OSI PHARMACEUTICALS INC NOTE 2.000%12/1 671040AF0 4964 3750000 PRN SOLE 01 3750000 0 0 OSI RESTAURANT PARTNERS INC COM 67104A101 581 14700 SH SOLE 01 02 14700 0 0 OWENS CORNING NEW COM 690742101 5615 176250 SH SOLE 01 176250 0 0 PACIFIC SUNWEAR CALIF INC COM 694873100 33 30000 SH CALL SOLE 02 30000 0 0 PACTIV CORP COM 695257105 2850 87851 SH SOLE 01 87851 0 0 PALL CORP COM 696429307 1498 39236 SH SOLE 01 39236 0 0 PALM INC NEW COM 696643105 436 24201 SH SOLE 01 24201 0 0 PANTRY INC NOTE 3.000%11/1 698657AL7 3387 2880000 PRN SOLE 01 2880000 0 0 PARAMETRIC TECHNOLOGY CORP COM NEW 699173209 200 10322 SH SOLE 01 10322 0 0 PARKER HANNIFIN CORP COM 701094104 293 3400 SH SOLE 01 3400 0 0 PATTERSON UTI ENERGY INC COM 703481101 305 13400 SH SOLE 01 13400 0 0 PAYCHEX INC COM 704326107 1620 42584 SH SOLE 01 42584 0 0 PEABODY ENERGY CORP COM 704549104 781 19300 SH SOLE 01 19300 0 0 PENN NATL GAMING INC COM 707569109 1267 27161 SH SOLE 01 27161 0 0 PENNEY J C INC COM 708160106 439 5356 SH SOLE 01 02 5356 0 0 PENWEST PHARMACEUTICALS CO COM 709754105 254 25067 SH SOLE 01 25067 0 0 PEOPLES BK BRIDGEPORT CONN COM 710198102 287 6500 SH SOLE 01 02 6500 0 0 PEP BOYS MANNY MOE & JACK NOTE 4.250% 6/0 713278AP4 1996 2000000 PRN SOLE 01 2000000 0 0 PERINI CORP COM 713839108 215 6000 SH SOLE 01 6000 0 0 PG&E CORP COM 69331C108 435 8958 SH SOLE 01 8958 0 0 PHARMACEUTICAL RES INC NOTE 2.875% 9/3 717125AC2 455 500000 PRN SOLE 01 500000 0 0 PINNACLE WEST CAP CORP COM 723484101 398 8248 SH SOLE 01 8248 0 0 PIONEER DRILLING CO COM 723655106 776 60600 SH SOLE 01 60600 0 0 PIONEER NAT RES CO COM 723787107 303 7500 SH SOLE 01 7500 0 0 PLANTRONICS INC NEW COM 727493108 218 10400 SH SOLE 01 10400 0 0 PMC-SIERRA INC COM 69344F106 2428 353289 SH SOLE 01 02 353289 0 0 PNC FINL SVCS GROUP INC COM 693475105 228 3150 SH SOLE 01 3150 0 0 POLO RALPH LAUREN CORP CL A 731572103 262 3000 SH SOLE 01 3000 0 0 PORTLAND GEN ELEC CO COM NEW 736508847 2719 95970 SH SOLE 01 95970 0 0 PORTUGAL TELECOM SGPS S A SPONSORED ADR 737273102 268 20000 SH SOLE 02 20000 0 0 POWERWAVE TECHNOLOGIES INC COM 739363109 1252 220000 SH SOLE 02 220000 0 0 POWERWAVE TECHNOLOGIES INC NOTE 1.875%11/1 739363AD1 220 256000 PRN SOLE 01 256000 0 0 POZEN INC COM 73941U102 3453 225810 SH SOLE 01 225810 0 0 PPG INDS INC COM 693506107 331 4700 SH SOLE 01 4700 0 0 PRECISION CASTPARTS CORP COM 740189105 292 2900 SH SOLE 01 2900 0 0 PRICE T ROWE GROUP INC COM 74144T108 502 10550 SH SOLE 01 10550 0 0 PRINCETON REVIEW INC COM 742352107 908 167700 SH SOLE 01 167700 0 0 PROLOGIS SH BEN INT 743410102 856 13200 SH SOLE 01 13200 0 0 PROQUEST COMPANY COM 74346P102 151 16499 SH SOLE 01 16499 0 0 PRUDENTIAL FINL INC FRNT 11/1 744320AC6 5400 5189000 PRN SOLE 01 5189000 0 0 PUBLIC STORAGE INC COM 74460D109 654 6849 SH SOLE 01 6849 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 62506 834904 SH SOLE 01 834904 0 0 PULTE HOMES INC COM 745867101 353 13369 SH SOLE 01 13369 0 0 QAD INC COM 74727D108 123 14141 SH SOLE 01 14141 0 0 QLOGIC CORP COM 747277101 494 29012 SH SOLE 01 29012 0 0 QUALCOMM INC COM 747525103 23975 575666 SH SOLE 01 575666 0 0 QUANTA SVCS INC NOTE 3.750% 4/3 74762EAE2 530 400000 PRN SOLE 01 400000 0 0 QUEST DIAGNOSTICS INC COM 74834L100 354 7100 SH SOLE 01 7100 0 0 QUIKSILVER INC COM 74838C106 1021 88000 SH SOLE 02 88000 0 0 QUIKSILVER INC COM 74838C106 7 10000 SH CALL SOLE 02 10000 0 0 QWEST COMMUNICATIONS INTL IN COM 749121109 329 37021 SH SOLE 01 37021 0 0 QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 3299 2000000 PRN SOLE 01 2000000 0 0 RADIOSHACK CORP COM 750438103 356 13146 SH SOLE 01 13146 0 0 RANDGOLD RES LTD ADR 752344309 207 9093 SH SOLE 01 9093 0 0 RAYONIER INC COM 754907103 340 7809 SH SOLE 01 7809 0 0 RAYTHEON CO COM NEW 755111507 388 7400 SH SOLE 01 7400 0 0 REALOGY CORP COM 75605E100 252 8500 SH SOLE 02 8500 0 0 RED HAT INC DBCV 0.500% 1/1 756577AB8 84 78000 PRN SOLE 01 78000 0 0 REGENCY CTRS CORP COM 758849103 285 3430 SH SOLE 01 3430 0 0 REGIONAL BK HOLDRS TR DEPOSITRY RCPT 75902E100 3508 21750 SH SOLE 01 21750 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 334 9432 SH SOLE 01 9432 0 0 RETAIL HOLDRS TR DEP RCPT 76127U101 504 4957 SH SOLE 01 4957 0 0 REYNOLDS AMERICAN INC COM 761713106 372 5977 SH SOLE 01 5977 0 0 RF MICRODEVICES INC COM 749941100 189 23762 SH SOLE 01 23762 0 0 RIVERBED TECHNOLOGY INC COM 768573107 300 10800 SH SOLE 01 10800 0 0 RLI CORP COM 749607107 202 3600 SH SOLE 01 3600 0 0 ROBERT HALF INTL INC COM 770323103 449 12137 SH SOLE 01 12137 0 0 ROCKWELL COLLINS INC COM 774341101 670 9995 SH SOLE 01 9995 0 0 ROHM & HAAS CO COM 775371107 586 11307 SH SOLE 01 11307 0 0 ROPER INDS INC NEW COM 776696106 294 5500 SH SOLE 01 5500 0 0 ROSS STORES INC COM 778296103 1306 37977 SH SOLE 02 37977 0 0 ROWAN COS INC COM 779382100 353 10800 SH SOLE 01 10800 0 0 ROYAL CARIBBEAN CRUISES LTD COM V7780T103 1060 25000 SH SOLE 01 25000 0 0 RYANAIR HLDGS PLC SPONSORED ADR 783513104 2089 46630 SH SOLE 01 46630 0 0 RYERSON INC COM 78375P107 67680 2000600 SH SOLE 01 2000600 0 0 RYLAND GROUP INC COM 783764103 448 10091 SH SOLE 01 10091 0 0 SAFECO CORP COM 786429100 1025 15414 SH SOLE 01 15414 0 0 SAFEGUARD SCIENTIFICS INC DBCV 2.625% 3/1 786449AG3 24 29000 PRN SOLE 01 29000 0 0 SAFENET INC COM 78645R107 1557 55000 SH SOLE 02 55000 0 0 SAFEWAY INC COM NEW 786514208 788 21517 SH SOLE 01 21517 0 0 SAKS INC COM 79377W108 388 18922 SH SOLE 01 18922 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 541 314000 PRN SOLE 01 314000 0 0 SANDISK CORP COM 80004C101 774 17687 SH SOLE 01 17687 0 0 SAP AKTIENGESELLSCHAFT SPONSORED ADR 803054204 1111 25000 SH SOLE 01 25000 0 0 SBA COMMUNICATIONS CORP COM 78388J106 398 13600 SH SOLE 01 13600 0 0 SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 1285 699000 PRN SOLE 01 699000 0 0 SCHOOL SPECIALTY INC COM 807863105 2528 70000 SH SOLE 02 70000 0 0 SCIENTIFIC GAMES CORP SDCV 0.750%12/0 80874PAD1 64 53000 PRN SOLE 01 53000 0 0 SCOR SPONSORED ADR 80917Q106 637 250000 SH SOLE 01 250000 0 0 SCOTTISH RE GROUP LIMITED SHS G73537410 1849 460000 SH SOLE 02 460000 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 265 6200 SH SOLE 01 6200 0 0 SEAGATE TECHNOLOGY SHS G7945J104 300 12192 SH SOLE 01 12192 0 0 SEALED AIR CORP NEW COM 81211K100 321 10100 SH SOLE 01 10100 0 0 SEARS HLDGS CORP COM 812350106 2080 11672 SH SOLE 01 11672 0 0 SELECT SECTOR SPDR TR SBI HEALTHCARE 81369Y209 1154 34300 SH SOLE 01 34300 0 0 SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 2920 49100 SH SOLE 01 49100 0 0 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 1771 49500 SH SOLE 01 49500 0 0 SELECT SECTOR SPDR TR SBI INT-INDS 81369Y704 2075 58400 SH SOLE 01 58400 0 0 SELECT SECTOR SPDR TR SBI INT-TECH 81369Y803 746 32400 SH SOLE 01 32400 0 0 SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 4534 135159 SH SOLE 01 135159 0 0 SEMPRA ENERGY COM 816851109 780 12634 SH SOLE 01 12634 0 0 SEPRACOR INC COM 817315104 201 4300 SH SOLE 01 4300 0 0 SEPRACOR INC NOTE 10/1 817315AW4 6830 7000000 PRN SOLE 01 7000000 0 0 SHOE PAVILION INC COM 824894109 266 42912 SH SOLE 02 42912 0 0 SHUFFLE MASTER INC NOTE 1.250% 4/1 825549AB4 679 708000 PRN SOLE 01 708000 0 0 SILGAN HOLDINGS INC COM 827048109 201 4100 SH SOLE 01 4100 0 0 SIMON PPTY GROUP INC NEW COM 828806109 249 2257 SH SOLE 01 2257 0 0 SINA CORP ORD G81477104 2631 76200 SH SOLE 01 76200 0 0 SIRENZA MICRODEVICES INC COM 82966T106 2327 270000 SH SOLE 02 270000 0 0 SKYWORKS SOLUTIONS INC NOTE 4.750%11/1 83088MAB8 275 275000 PRN SOLE 01 275000 0 0 SLM CORP COM 78442P106 25438 597535 SH SOLE 01 597535 0 0 SLM CORP DBCV 7/2 78442PAC0 5113 5100000 PRN SOLE 01 5100000 0 0 SMUCKER J M CO COM NEW 832696405 425 8212 SH SOLE 01 8212 0 0 SNAP ON INC COM 833034101 450 9332 SH SOLE 01 9332 0 0 SONUS NETWORKS INC COM 835916107 567 70215 SH SOLE 01 02 70215 0 0 SONY CORP ADR NEW 835699307 3086 26000 SH SOLE 01 26000 0 0 SOURCE INTERLINK COS INC COM NEW 836151209 4865 725000 SH SOLE 02 725000 0 0 SPDR TR UNIT SER 1 78462F103 5584 39000 SH SOLE 01 39000 0 0 SPRINT NEXTEL CORP COM FON 852061100 485 25790 SH SOLE 01 25790 0 0 ST JUDE MED INC COM 790849103 409 10854 SH SOLE 01 10854 0 0 STAGE STORES INC COM NEW 85254C305 217 9300 SH SOLE 02 9300 0 0 STANCORP FINL GROUP INC COM 852891100 301 6233 SH SOLE 01 6233 0 0 STANDARD MTR PRODS INC SDCV 6.750% 7/1 853666AB1 1232 1260000 PRN SOLE 01 1260000 0 0 STANDARD PAC CORP NEW COM 85375C101 510 24400 SH SOLE 01 02 24400 0 0 STARBUCKS CORP COM 855244109 330 10556 SH SOLE 01 10556 0 0 STARWOOD HOTELS&RESORTS WRLD COM 85590A401 16373 249292 SH SOLE 01 249292 0 0 STATE STR CORP COM 857477103 464 7150 SH SOLE 01 7150 0 0 STATS CHIPPAC LTD SPONSORED ADR 85771T104 781 65000 SH SOLE 02 65000 0 0 STORM CAT ENERGY CORP COM 862168101 10 10700 SH SOLE 01 10700 0 0 SUN HEALTHCARE GROUP INC COM NEW 866933401 527 26900 SH SOLE 01 02 26900 0 0 SUN MICROSYSTEMS INC COM 866810104 170 27508 SH SOLE 01 27508 0 0 SUNTRUST BKS INC COM 867914103 738 8850 SH SOLE 01 8850 0 0 SUPERVALU INC COM 868536103 476 12185 SH SOLE 01 12185 0 0 SVB FINL GROUP COM 78486Q101 491 10100 SH SOLE 01 02 10100 0 0 SYBASE INC COM 871130100 349 14000 SH SOLE 01 14000 0 0 SYBASE INC NOTE 1.750% 2/2 871130AB6 5649 5000000 PRN SOLE 01 5000000 0 0 SYMANTEC CORP COM 871503108 649 37543 SH SOLE 01 37543 0 0 SYNOVUS FINL CORP COM 87161C105 310 9563 SH SOLE 01 9563 0 0 TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 2367 2000000 PRN SOLE 01 2000000 0 0 TARGET CORP COM 87612E106 701 11805 SH SOLE 01 11805 0 0 TATA MTRS LTD SPONSORED ADR 876568502 316 19250 SH SOLE 01 19250 0 0 TD AMERITRADE HLDG CORP COM 87236Y108 307 20369 SH SOLE 01 20369 0 0 TECHNOLOGY INVT CAP CORP COM 878717305 173 10300 SH SOLE 01 10300 0 0 TECHWELL INC COM 87874D101 1706 136834 SH SOLE 01 02 136834 0 0 TECO ENERGY INC COM 872375100 183 10600 SH SOLE 01 10600 0 0 TEKELEC NOTE 2.250% 6/1 879101AE3 490 500000 PRN SOLE 01 500000 0 0 TEMPLE INLAND INC COM 879868107 780 13105 SH SOLE 01 13105 0 0 TEMPUR PEDIC INTL INC COM 88023U101 1617 60800 SH SOLE 01 60800 0 0 TENET HEALTHCARE CORP COM 88033G100 120 18600 SH SOLE 01 18600 0 0 TEREX CORP NEW COM 880779103 589 8204 SH SOLE 01 8204 0 0 TESORO CORP COM 881609101 361 3700 SH SOLE 01 3700 0 0 TESSERA TECHNOLOGIES INC COM 88164L100 882 22183 SH SOLE 01 02 22183 0 0 TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 168 176000 PRN SOLE 01 176000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 17170 498942 SH SOLE 01 498942 0 0 TEXAS INSTRS INC COM 882508104 1629 52852 SH SOLE 01 52852 0 0 TEXTRON INC COM 883203101 670 7426 SH SOLE 01 7426 0 0 THORNBURG MTG INC COM 885218107 316 12500 SH SOLE 01 12500 0 0 TIBCO SOFTWARE INC COM 88632Q103 472 55600 SH SOLE 01 55600 0 0 TIFFANY & CO NEW COM 886547108 218 4812 SH SOLE 01 4812 0 0 TIME WARNER CABLE INC CL A 88732J108 551 14217 SH SOLE 01 14217 0 0 TIME WARNER INC COM 887317105 1426 71585 SH SOLE 01 71585 0 0 TIME WARNER TELECOM INC CL A 887319101 468 22800 SH SOLE 01 22800 0 0 TJX COS INC NEW COM 872540109 596 22500 SH SOLE 01 22500 0 0 TORO CO COM 891092108 339 6500 SH SOLE 01 6500 0 0 TOTAL SYS SVCS INC COM 891906109 275 8816 SH SOLE 01 8816 0 0 TRANSOCEAN INC ORD G90078109 3767 47200 SH SOLE 01 47200 0 0 TRANSOCEAN SEDCO FOREX INC DBCV 1.500% 5/1 893830AD1 7846 7000000 PRN SOLE 01 7000000 0 0 TRAVELERS COMPANIES INC COM 89417E109 481 9245 SH SOLE 01 9245 0 0 TRIAD HOSPITALS INC COM 89579K109 673 13203 SH SOLE 01 02 13203 0 0 TRIAD HOSPITALS INC COM 89579K109 101 30000 SH CALL SOLE 02 30000 0 0 TRIBUNE CO NEW COM 896047107 1353 44379 SH SOLE 01 44379 0 0 TRIMBLE NAVIGATION LTD COM 896239100 209 7882 SH SOLE 01 7882 0 0 TWEEN BRANDS INC COM 901166108 6276 175700 SH SOLE 02 175700 0 0 TXU CORP COM 873168108 2790 43500 SH SOLE 01 43500 0 0 TYCO INTL GROUP S A DBCV 3.125% 1/1 902118BG2 238 164000 PRN SOLE 01 164000 0 0 TYCO INTL LTD NEW COM 902124106 5999 190227 SH SOLE 01 190227 0 0 TYCO INTL LTD NEW NOTE 11/1 902124AC0 11 14000 PRN SOLE 01 14000 0 0 U S G CORP COM NEW 903293405 5492 105750 SH SOLE 01 105750 0 0 UBS AG SHS NEW H89231338 8792 149200 SH SOLE 01 149200 0 0 UNITED INDL CORP NOTE 3.750% 9/1 910671AB2 7524 5000000 PRN SOLE 01 5000000 0 0 UNITED RENTALS NORTH AMER IN NOTE 1.875%10/1 911365AH7 27 20000 PRN SOLE 01 20000 0 0 UNITED SURGICAL PARTNERS INT COM 913016309 1485 48200 SH SOLE 01 02 48200 0 0 UNITED TECHNOLOGIES CORP COM 913017109 2044 31100 SH SOLE 01 31100 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 2229 39692 SH SOLE 01 39692 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1107 20008 SH SOLE 01 20008 0 0 UNIVERSAL HLTH SVCS INC CL B 913903100 304 5300 SH SOLE 01 02 5300 0 0 UNIVISION COMMUNICATIONS INC CL A 914906102 344 9500 SH SOLE 01 9500 0 0 US BANCORP DEL COM NEW 902973304 2254 64207 SH SOLE 01 64207 0 0 UST INC COM 902911106 921 16059 SH SOLE 01 16059 0 0 VAALCO ENERGY INC COM NEW 91851C201 70 10968 SH SOLE 01 10968 0 0 VALASSIS COMMUNICATIONS INC NOTE 1.625% 5/2 918866AK0 85 133000 PRN SOLE 01 133000 0 0 VALEANT PHARMACEUTICALS INTL COM 91911X104 278 16100 SH SOLE 01 16100 0 0 VALERO ENERGY CORP NEW COM 91913Y100 383 5900 SH SOLE 01 5900 0 0 VCA ANTECH INC COM 918194101 310 8500 SH SOLE 01 8500 0 0 VECTOR GROUP LTD NOTE 5.000%11/1 92240MAH1 8796 6740000 PRN SOLE 01 6740000 0 0 VECTOR GROUP LTD NOTE 5.000%11/1 92240MAE8 60 45658 PRN SOLE 01 45658 0 0 VECTOR GROUP LTD COM 92240M108 88234 4715887 SH SOLE 01 02 4715887 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 2222 74181 SH SOLE 01 74181 0 0 VIACOM INC NEW CL B 92553P201 409 10000 SH SOLE 01 10000 0 0 VISHAY INTERTECHNOLOGY INC NOTE 3.625% 8/0 928298AF5 5074 5000000 PRN SOLE 01 5000000 0 0 VISTAPRINT LIMITED SHS G93762204 232 6065 SH SOLE 01 6065 0 0 VORNADO RLTY TR SH BEN INT 929042109 473 3983 SH SOLE 01 3983 0 0 WACHOVIA CORP 2ND NEW COM 929903102 707 12712 SH SOLE 01 12712 0 0 WAL MART STORES INC COM 931142103 6317 135302 SH SOLE 01 135302 0 0 WALGREEN CO COM 931422109 1297 28000 SH SOLE 01 28000 0 0 WASHINGTON MUT INC COM 939322103 1233 30346 SH SOLE 01 30346 0 0 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AJ0 5041 5000000 PRN SOLE 01 5000000 0 0 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AK7 573 574000 PRN SOLE 01 574000 0 0 WASTE MGMT INC DEL COM 94106L109 283 8200 SH SOLE 01 8200 0 0 WATSON PHARMACEUTICALS INC COM 942683103 426 16100 SH SOLE 01 16100 0 0 WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 893 958000 PRN SOLE 01 958000 0 0 WCI CMNTYS INC COM 92923C104 8549 400600 SH SOLE 02 400600 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 578 12600 SH SOLE 01 12600 0 0 WEBMD CORP NOTE 3.125% 9/0 94769MAG0 2746 2500000 PRN SOLE 01 2500000 0 0 WEBSIDESTORY INC COM 947685103 883 68208 SH SOLE 01 02 68208 0 0 WEBSTER FINL CORP CONN COM 947890109 327 6633 SH SOLE 01 6633 0 0 WELLS FARGO & CO NEW DBCV 5/0 949746FA4 9043 9000000 PRN SOLE 01 9000000 0 0 WELLS FARGO & CO NEW COM 949746101 1625 47200 SH SOLE 01 47200 0 0 WENDYS INTL INC COM 950590109 247 7870 SH SOLE 01 7870 0 0 WESTAR ENERGY INC COM 95709T100 287 10502 SH SOLE 01 10502 0 0 WESTERN UN CO COM 959802109 221 9900 SH SOLE 01 9900 0 0 WESTFIELD FINANCIAL INC NEW COM 96008P104 309 28929 SH SOLE 01 02 28929 0 0 WESTWOOD ONE INC COM 961815107 105 15700 SH SOLE 01 15700 0 0 WEYERHAEUSER CO COM 962166104 1918 25126 SH SOLE 01 02 25126 0 0 WHEELING PITTSBURGH CORP COM NEW 963142302 2833 119380 SH SOLE 01 119380 0 0 WHIRLPOOL CORP COM 963320106 411 4853 SH SOLE 01 4853 0 0 WHOLE FOODS MKT INC COM 966837106 808 17984 SH SOLE 01 17984 0 0 WILSON GREATBATCH TECHNOLOGI SDCV 2.250% 6/1 972232AB8 2136 2278000 PRN SOLE 01 2278000 0 0 WINDSTREAM CORP COM 97381W104 494 33900 SH SOLE 01 33900 0 0 WITNESS SYS INC COM 977424100 983 36500 SH SOLE 01 02 36500 0 0 WORLD ACCEP CORPORATION NOTE 3.000%10/0 981417AB4 1910 1000000 PRN SOLE 01 1000000 0 0 WORLD COLOR PRESS INC DEL NOTE 6.000%10/0 981443AA2 20 20000 PRN SOLE 01 20000 0 0 WRIGLEY WM JR CO COM 982526105 688 13394 SH SOLE 01 13394 0 0 WYETH COM 983024100 505 10100 SH SOLE 01 10100 0 0 WYNN RESORTS LTD DBCV 6.000% 7/1 983134AB3 2378 558000 PRN SOLE 01 558000 0 0 XEROX CORP COM 984121103 171 10104 SH SOLE 01 10104 0 0 XILINX INC COM 983919101 2757 107773 SH SOLE 01 107773 0 0 XL CAP LTD CL A G98255105 525 7500 SH SOLE 01 7500 0 0 YAHOO INC FRNT 4/0 984332AB2 23 15000 PRN SOLE 01 15000 0 0 YUM BRANDS INC COM 988498101 653 11300 SH SOLE 01 11300 0 0 ZALE CORP NEW COM 988858106 1586 60100 SH SOLE 01 02 60100 0 0 ZIMMER HLDGS INC COM 98956P102 890 10400 SH SOLE 01 10400 0 0