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, 2006
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 May 09, 2006
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: 3
Form13F Information Table Entry Total: 236
Form13F Information Table Value Total: $589,756 (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
1 28-10432 Jefferies & Company, Inc.
2 28-11239 Jefferies Asset Management, LLC
3 28-10937 Jefferies Group Inc.
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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
3M CO NOTE 11/2 88579YAB7 376 429000 PRN SOLE 01 429000 0 0
ABERCROMBIE & FITCH CO CL A 002896207 26492 454400 SH SOLE 02 454400 0 0
AEROPOSTALE COM 007865108 5311 176100 SH SOLE 02 176100 0 0
ALLOY INC DBCV 5.375% 8/0 019855AB1 2670 2615000 PRN SOLE 01 2615000 0 0
ALMOST FAMILY INC COM 020409108 506 28387 SH SOLE 02 28387 0 0
ALTRIA GROUP INC COM 02209S103 541 7500 SH SOLE 01 7500 0 0
AMDOCS LTD ORD G02602103 248 7500 SH SOLE 01 7500 0 0
AMERADA HESS CORP COM 023551104 997 7000 SH SOLE 02 7000 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 3333 111606 SH SOLE 02 111606 0 0
AMYLIN PHARMACEUTICALS INC NOTE 2.500% 4/1 032346AD0 137 100000 PRN SOLE 01 100000 0 0
ANHEUSER BUSCH COS INC COM 035229103 1069 25000 SH SOLE 02 25000 0 0
ANNTAYLOR STORES CORP COM 036115103 2402 65300 SH SOLE 02 65300 0 0
AON CORP DBCV 3.500%11/1 037389AT0 27 14000 PRN SOLE 01 14000 0 0
APACHE CORP COM 037411105 1146 17500 SH SOLE 02 17500 0 0
APOGENT TECHNOLOGIES INC DBCV 12/1 03760AAK7 17 13000 PRN SOLE 01 13000 0 0
APPLIED MATLS INC COM 038222105 318 18088 SH SOLE 01 18088 0 0
AQUANTIVE INC COM 03839G105 23802 1025000 SH SOLE 01 1025000 0 0
ARCHSTONE SMITH TR COM 039583109 247 5002 SH SOLE 01 5002 0 0
ARTESYN TECHNOLOGIES INC NOTE 5.500% 8/1 043127AB5 67 50000 PRN SOLE 01 50000 0 0
ASPEN TECHNOLOGY INC COM 045327103 166 13014 SH SOLE 01 13014 0 0
ATMEL CORP SDCV 5/2 049513AE4 487 1000000 PRN SOLE 01 1000000 0 0
AUTOZONE INC COM 053332102 7477 75000 SH SOLE 02 75000 0 0
AVALONBAY CMNTYS INC COM 053484101 708 6500 SH SOLE 01 6500 0 0
AXCAN PHARMA INC COM 054923107 632 47100 SH SOLE 01 47100 0 0
BARR PHARMACEUTICALS INC COM 068306109 1008 15000 SH SOLE 01 15000 0 0
BEA SYS INC NOTE 4.000%12/1 073325AD4 50 50000 PRN SOLE 01 50000 0 0
BEAZER HOMES USA INC NOTE 4.625% 6/1 07556QAL9 195 140000 PRN SOLE 01 140000 0 0
BIG 5 SPORTING GOODS CORP COM 08915P101 490 25000 SH SOLE 02 25000 0 0
BIOMED REALTY TRUST INC COM 09063H107 332 11400 SH SOLE 01 11400 0 0
BJ SVCS CO COM 055482103 1211 35000 SH SOLE 02 35000 0 0
BLOCKBUSTER INC CL A 093679108 993 250000 SH SOLE 02 250000 0 0
BOIS D ARC ENERGY INC COM 09738U103 346 22650 SH SOLE 01 22650 0 0
BOSTON PROPERTIES INC COM 101121101 379 4000 SH SOLE 01 4000 0 0
BOSTON SCIENTIFIC CORP COM 101137107 3418 146700 SH SOLE 01 146700 0 0
BUILD A BEAR WORKSHOP COM 120076104 6861 223840 SH SOLE 02 223840 0 0
BURLINGTON RES INC COM 122014103 1860 20200 SH SOLE 02 20200 0 0
CACHE INC COM NEW 127150308 827 45103 SH SOLE 02 45103 0 0
CAESARS ENTMT INC FRNT 4/1 127687AB7 255 191000 PRN SOLE 01 191000 0 0
CBRL GROUP INC COM 12489V106 7904 180000 SH SOLE 02 180000 0 0
CENTERPOINT ENERGY INC NOTE 2.875% 1/1 15189TAL1 14 13000 PRN SOLE 01 13000 0 0
CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 168 144000 PRN SOLE 01 144000 0 0
CENTURY ALUM CO COM 156431108 304 8100 SH SOLE 01 8100 0 0
CHRISTOPHER & BANKS CORP COM 171046105 8458 364400 SH SOLE 02 364400 0 0
CIENA CORP NOTE 3.750% 2/0 171779AA9 2704 2830000 PRN SOLE 01 2830000 0 0
CITADEL BROADCASTING CORP NOTE 1.875% 2/1 17285TAB2 66 80000 PRN SOLE 01 80000 0 0
CLARIENT INC COM 180489106 38 35000 SH SOLE 01 35000 0 0
COMPUTER NETWORK TECHNOLOGY NOTE 3.000% 2/1 204925AC5 238 245000 PRN SOLE 01 245000 0 0
CONNETICS CORP NOTE 2.000% 3/3 208192AD6 2503 3000000 PRN SOLE 01 3000000 0 0
CREDENCE SYS CORP NOTE 1.500% 5/1 225302AF5 1872 2000000 PRN SOLE 01 2000000 0 0
CROWN MEDIA HLDGS INC CL A 228411104 58 10080 SH SOLE 01 10080 0 0
CRYSTALLEX INTL CORP COM 22942F101 156 54050 SH SOLE 01 54050 0 0
CSX CORP DBCV 10/3 126408GA5 553 516000 PRN SOLE 01 516000 0 0
CYMER INC NOTE 3.500% 2/1 232572AE7 2216 2185000 PRN SOLE 01 2185000 0 0
CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 654 500000 PRN SOLE 01 500000 0 0
DELTA PETE CORP COM NEW 247907207 315 15740 SH SOLE 01 15740 0 0
DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 3748 3275000 PRN SOLE 01 3275000 0 0
DICKS SPORTING GOODS INC COM 253393102 229 5795 SH SOLE 01 02 5795 0 0
DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 279 259000 PRN SOLE 01 259000 0 0
DOLLAR GEN CORP COM 256669102 531 30000 SH SOLE 01 30000 0 0
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 418 399000 PRN SOLE 01 399000 0 0
DST SYS INC DEL DBCV 4.125% 8/1 233326AB3 92 73000 PRN SOLE 01 73000 0 0
DU PONT E I DE NEMOURS & CO COM 263534109 636 15000 SH SOLE 01 15000 0 0
DUKE ENERGY CORP NOTE 1.750% 5/1 264399EJ1 18 15000 PRN SOLE 01 15000 0 0
E M C CORP MASS NOTE 4.500% 4/0 268648AG7 2120 2000000 PRN SOLE 01 2000000 0 0
E M C CORP MASS COM 268648102 137 10000 SH SOLE 01 10000 0 0
E TRADE FINANCIAL CORP NOTE 6.000% 2/0 269246AB0 685 611000 PRN SOLE 01 611000 0 0
EASTMAN KODAK CO NOTE 3.375%10/1 277461BE8 19 18000 PRN SOLE 01 18000 0 0
ECLIPSYS CORP COM 278856109 21946 926814 SH SOLE 01 926814 0 0
EDISON INTL COM 281020107 11653 271700 SH SOLE 01 271700 0 0
ELAN PLC ADR 284131208 191 13996 SH SOLE 01 13996 0 0
ELECTRIC CITY CORP COM 284868106 232 275000 SH SOLE 01 275000 0 0
EMERGENCY MEDICAL SVCS CORP CL A 29100P102 319 24700 SH SOLE 01 24700 0 0
EMPIRE RESORTS INC NOTE 5.500% 7/3 292052AB3 157 250000 PRN SOLE 01 250000 0 0
ENSCO INTL INC COM 26874Q100 4263 90400 SH SOLE 01 90400 0 0
EP MEDSYSTEMS INC COM 26881P103 749 267200 SH SOLE 01 267200 0 0
EQUITY RESIDENTIAL SH BEN INT 29476L107 742 16007 SH SOLE 01 16007 0 0
EURONET WORLDWIDE INC NOTE 3.500%10/1 298736AF6 354 300000 PRN SOLE 01 300000 0 0
EVERGREEN RES INC NOTE 4.750%12/1 299900AB6 341 200000 PRN SOLE 01 200000 0 0
FAIR ISAAC CORP NOTE 1.500% 8/1 303250AD6 1041 1000000 PRN SOLE 01 1000000 0 0
FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 224 3000 SH SOLE 01 3000 0 0
FEDERATED DEPT STORES INC DE COM 31410H101 15242 208800 SH SOLE 02 208800 0 0
FINISAR NOTE 2.500%10/1 31787AAF8 2873 2000000 PRN SOLE 01 2000000 0 0
FINISAR NOTE 5.250%10/1 31787AAC5 505 500000 PRN SOLE 01 500000 0 0
FINISH LINE INC CL A 317923100 2468 150000 SH SOLE 02 150000 0 0
FIRST DATA CORP COM 319963104 929 20000 SH SOLE 01 20000 0 0
FREEPORT-MCMORAN COPPER & GO NOTE 7.000% 2/1 35671DAK1 44 25000 PRN SOLE 01 25000 0 0
GAP INC DEL COM 364760108 2109 112900 SH SOLE 02 112900 0 0
GATEWAY INC NOTE 1.500%12/3 367626AB4 39 55000 PRN SOLE 01 55000 0 0
GENERAL ELECTRIC CO COM 369604103 3542 105000 SH SOLE 01 02 105000 0 0
GLOBALSANTAFE CORP SHS G3930E101 387 6500 SH SOLE 01 6500 0 0
GMH CMNTYS TR COM 36188G102 491 40400 SH SOLE 01 40400 0 0
GOODYEAR TIRE & RUBR CO COM 382550101 969 70600 SH SOLE 01 70600 0 0
GTECH HLDGS CORP COM 400518106 674 20000 SH SOLE 01 20000 0 0
GUIDANT CORP COM 401698105 2760 35626 SH SOLE 01 02 35626 0 0
GULFPORT ENERGY CORP COM NEW 402635304 6536 439799 SH SOLE 01 439799 0 0
HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 229 123000 PRN SOLE 01 123000 0 0
HANDLEMAN CO DEL COM 410252100 1680 175000 SH SOLE 02 175000 0 0
HANOVER COMPRESSOR CO NOTE 4.750% 3/1 410768AC9 28 30000 PRN SOLE 01 30000 0 0
HEALTH MGMT ASSOC INC NEW CL A 421933102 217 10000 SH SOLE 01 10000 0 0
HEALTHCARE RLTY TR COM 421946104 262 7000 SH SOLE 02 7000 0 0
HEINZ H J CO COM 423074103 5688 150000 SH SOLE 02 150000 0 0
HEWLETT PACKARD CO NOTE 10/1 428236AC7 37 58000 PRN SOLE 01 58000 0 0
HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 2577 2176000 PRN SOLE 01 2176000 0 0
HILTON HOTELS CORP COM 432848109 334 13085 SH SOLE 01 13085 0 0
HORACE MANN EDUCATORS CORP N NOTE 1.425% 5/1 440327AG9 106 229000 PRN SOLE 01 229000 0 0
HOST MARRIOTT CORP NEW COM 44107P104 531 25000 SH SOLE 01 25000 0 0
HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 1076 2350000 PRN SOLE 01 2350000 0 0
HUNTSMAN CORP COM 447011107 1598 78280 SH SOLE 01 78280 0 0
HUTCHINSON TECHNOLOGY INC NOTE 2.250% 3/1 448407AE6 431 410000 PRN SOLE 01 410000 0 0
ICOS CORP NOTE 2.000% 7/0 449295AB0 10 12000 PRN SOLE 01 12000 0 0
IDEC PHARMACEUTICALS CORP NOTE 2/1 449370AC9 1909 1000000 PRN SOLE 01 1000000 0 0
INCO LTD NOTE 3/2 453258AM7 553 432300 PRN SOLE 01 432300 0 0
INCO LTD SDCV 3.500% 3/1 453258AR6 75 40100 PRN SOLE 01 40100 0 0
INTERNATIONAL GAME TECHNOLOG DBCV 1/2 459902AL6 10 13000 PRN SOLE 01 13000 0 0
INTERNATIONAL RECTIFIER CORP NOTE 4.250% 7/1 460254AE5 295 301000 PRN SOLE 01 301000 0 0
INTERSTATE HOTELS & RESRTS I COM 46088S106 157 31000 SH SOLE 01 31000 0 0
INTL PAPER CO DBCV 6/2 460146BM4 197 350000 PRN SOLE 01 350000 0 0
INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 875 999000 PRN SOLE 01 999000 0 0
ISHARES INC MSCI JAPAN 464286848 306 22430 SH SOLE 01 22430 0 0
JP MORGAN CHASE & CO COM 46625H100 388 9291 SH SOLE 01 9291 0 0
JUNIPER NETWORKS INC COM 48203R104 1579 80700 SH SOLE 01 80700 0 0
KELLWOOD CO DBCV 3.500% 6/1 488044AF5 1334 1515000 PRN SOLE 01 1515000 0 0
KFX INC COM 48245L107 5763 322420 SH SOLE 01 322420 0 0
KOHLS CORP COM 500255104 27533 519400 SH SOLE 02 519400 0 0
KOS PHARMACEUTICALS INC COM 500648100 4045 92202 SH SOLE 01 92202 0 0
KRISPY KREME DOUGHNUTS INC COM 501014104 14144 157500 SH SOLE 02 157500 0 0
LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAC6 107 136000 PRN SOLE 01 136000 0 0
LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 6317 4620000 PRN SOLE 01 4620000 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 5.250%12/1 52729NBF6 7013 5250000 PRN SOLE 01 5250000 0 0
LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 30 40000 PRN SOLE 01 40000 0 0
LIBERTY MEDIA CORP NEW DEB 0.750% 3/3 530718AF2 13 12000 PRN SOLE 01 12000 0 0
LIBERTY PPTY TR SH BEN INT 531172104 507 11000 SH SOLE 01 11000 0 0
LITHIA MTRS INC NOTE 2.875% 5/0 536797AB9 380 390000 PRN SOLE 01 390000 0 0
LOCKHEED MARTIN CORP DBCV 8/1 539830AP4 46 40000 PRN SOLE 01 40000 0 0
LOWES COS INC NOTE 0.861%10/1 548661CG0 937 787000 PRN SOLE 01 787000 0 0
LOWES COS INC COM 548661107 693 10500 SH SOLE 01 10500 0 0
LSI LOGIC CORP NOTE 4.000% 5/1 502161AJ1 103 100000 PRN SOLE 01 100000 0 0
LTX CORP NOTE 4.250% 8/1 502392AE3 498 500000 PRN SOLE 01 500000 0 0
MASCO CORP NOTE 7/2 574599BB1 88 191000 PRN SOLE 01 191000 0 0
MAVERICK TUBE CORP NOTE 4.000% 6/1 577914AB0 2704 1500000 PRN SOLE 01 1500000 0 0
MAYTAG CORP COM 578592107 226 10600 SH SOLE 01 02 10600 0 0
MCDONALDS CORP COM 580135101 14788 430000 SH SOLE 01 02 430000 0 0
MCMORAN EXPLORATION CO NOTE 6.000% 7/0 582411AB0 153 115000 PRN SOLE 01 115000 0 0
MEDIMMUNE INC NOTE 1.000% 7/1 584699AE2 1129 1148000 PRN SOLE 01 1148000 0 0
MEDTRONIC INC DBCV 1.250% 9/1 585055AD8 2286 2283000 PRN SOLE 01 2283000 0 0
MEDTRONIC INC COM 585055106 321 6187 SH SOLE 01 6187 0 0
MENS WEARHOUSE INC NOTE 3.125%10/1 587118AC4 1320 1000000 PRN SOLE 01 1000000 0 0
MERISTAR HOSPITALITY CORP NOTE 9.500% 4/0 58984YAJ2 146 140000 PRN SOLE 01 140000 0 0
METLIFE INC COM 59156R108 202 4020 SH SOLE 01 4020 0 0
MOSAIC CO COM 61945A107 468 32700 SH SOLE 01 32700 0 0
MOTOROLA INC COM 620076109 414 18387 SH SOLE 01 18387 0 0
NABORS INDS INC NOTE 6/1 629568AL0 1097 1000000 PRN SOLE 01 1000000 0 0
NASH FINCH CO FRNT 1.631% 3/1 631158AD4 570 1401000 PRN SOLE 01 1401000 0 0
NATIONAL HEALTHCARE CORP COM 635906100 373 9300 SH SOLE 02 9300 0 0
NATROL INC COM 638789107 1286 829950 SH SOLE 01 829950 0 0
NETWORK EQUIP TECHNOLOGIES SDCV 7.250% 5/1 641208AA1 84 100000 PRN SOLE 01 100000 0 0
NEW YORK & CO INC COM 649295102 263 17600 SH SOLE 02 17600 0 0
NEWMONT MINING CORP COM 651639106 6383 123900 SH SOLE 01 02 123900 0 0
NEXTEL PARTNERS INC CL A 65333F107 848 29936 SH SOLE 01 29936 0 0
NOBILITY HOMES INC COM 654892108 354 14000 SH SOLE 01 14000 0 0
NRG ENERGY INC COM NEW 629377508 564 12900 SH SOLE 01 12900 0 0
NUCRYST PHARMACEUTICALS CORP COM 67035Q100 657 67625 SH SOLE 01 67625 0 0
OCCIDENTAL PETE CORP DEL COM 674599105 1062 11300 SH SOLE 01 11300 0 0
OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 2043 2050000 PRN SOLE 01 2050000 0 0
OIL SVC HOLDRS TR DEPOSTRY RCPT 678002106 341 2502 SH SOLE 01 2502 0 0
OMI CORP NOTE 2.875%12/0 670874AF3 2708 3000000 PRN SOLE 01 3000000 0 0
OMNICARE INC COM 681904108 275 5000 SH SOLE 02 5000 0 0
OMNICARE INC DBCV 3.250%12/1 681904AL2 115 111000 PRN SOLE 01 111000 0 0
OPEN SOLUTIONS INC NOTE 1.467% 2/0 68371PAB8 116 200000 PRN SOLE 01 200000 0 0
OUTBACK STEAKHOUSE INC COM 689899102 2860 65000 SH SOLE 02 65000 0 0
PACIFIC SUNWEAR CALIF INC COM 694873100 3785 170815 SH SOLE 02 170815 0 0
PANAMSAT HLDG CORP COM 69831Y105 5796 230000 SH SOLE 01 230000 0 0
PER-SE TECHNOLOGIES INC SDCV 3.250% 6/3 713569AB7 152 100000 PRN SOLE 01 100000 0 0
PG&E CORP COM 69331C108 9717 241600 SH SOLE 01 241600 0 0
PROLOGIS SH BEN INT 743410102 1060 20006 SH SOLE 01 20006 0 0
PUBLIC STORAGE INC COM 74460D109 1960 24002 SH SOLE 01 24002 0 0
QUANTA SVCS INC NOTE 4.000% 7/0 74762EAA0 10 10000 PRN SOLE 01 10000 0 0
QUINTANA MARITIME LTD SHS Y7169G109 206 22600 SH SOLE 01 22600 0 0
QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 460 365000 PRN SOLE 01 365000 0 0
RADIOSHACK CORP COM 750438103 1923 100000 SH SOLE 02 100000 0 0
RED ROBIN GOURMET BURGERS IN COM 75689M101 4720 100000 SH SOLE 02 100000 0 0
RETAIL VENTURES INC COM 76128Y102 487 33200 SH SOLE 02 33200 0 0
RF MICRODEVICES INC NOTE 1.500% 7/0 749941AE0 210 200000 PRN SOLE 01 200000 0 0
RHODIA SPONSORED ADR 762397107 1611 653000 SH SOLE 01 653000 0 0
ROBBINS & MYERS INC NOTE 8.000% 1/3 770196AB9 417 932000 PRN SOLE 01 932000 0 0
RURAL CELLULAR CORP CL A 781904107 513 35930 SH SOLE 01 35930 0 0
SANOFI AVENTIS SPONSORED ADR 80105N105 222 4800 SH SOLE 01 4800 0 0
SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 511 314000 PRN SOLE 01 314000 0 0
SCHLUMBERGER LTD DBCV 2.125% 6/0 806857AD0 886 586000 PRN SOLE 01 586000 0 0
SCI SYS INC NOTE 3.000% 3/1 783890AF3 33 35000 PRN SOLE 01 35000 0 0
SEACOR HOLDINGS INC DBCV 2.875%12/1 811904AJ0 1178 1000000 PRN SOLE 01 1000000 0 0
SEARS HLDGS CORP COM 812350106 265 1990 SH SOLE 01 1990 0 0
SERACARE LIFE SCIENCES INC COM 81747Q100 21 10410 SH SOLE 01 10410 0 0
SFBC INTL INC NOTE 2.250% 8/1 784121AB1 217 250000 PRN SOLE 01 250000 0 0
SHIRE PLC SPONSORED ADR 82481R106 443 9217 SH SOLE 01 9217 0 0
SHOE PAVILION INC COM 824894109 316 35655 SH SOLE 02 35655 0 0
SIMON PPTY GROUP INC NEW COM 828806109 836 10002 SH SOLE 01 10002 0 0
SINCLAIR BROADCAST GROUP INC CL A 829226109 192 25000 SH SOLE 01 25000 0 0
SKECHERS U S A INC NOTE 4.500% 4/1 830566AB1 165 162000 PRN SOLE 01 162000 0 0
SKYWORKS SOLUTIONS INC NOTE 4.750%11/1 83088MAB8 291 296000 PRN SOLE 01 296000 0 0
SMITH & WESSON HLDG CORP COM 831756101 290 45000 SH SOLE 01 45000 0 0
ST JUDE MED INC DBCV 2.800%12/1 790849AB9 444 450000 PRN SOLE 01 450000 0 0
STANDARD MTR PRODS INC SDCV 6.750% 7/1 853666AB1 77 90000 PRN SOLE 01 90000 0 0
STREETTRACKS GOLD TR GOLD SHS 863307104 39580 681600 SH SOLE 01 02 681600 0 0
SUNCOM WIRELESS HLDGS INC CL A 86722Q108 448 212800 SH SOLE 01 212800 0 0
SUNSTONE HOTEL INVS INC NEW COM 867892101 648 22100 SH SOLE 01 22100 0 0
SUPERVALU INC NOTE 11/0 868536AP8 1819 5436000 PRN SOLE 01 5436000 0 0
SYBASE INC COM 871130100 608 28500 SH SOLE 01 28500 0 0
TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 133 13700 SH SOLE 01 13700 0 0
TARGET CORP COM 87612E106 7802 150000 SH SOLE 02 150000 0 0
TAUBMAN CTRS INC COM 876664103 436 10300 SH SOLE 01 10300 0 0
TEEKAY SHIPPING MARSHALL ISL COM Y8564W103 1156 29700 SH SOLE 01 29700 0 0
THERMO ELECTRON CORP SDCV 3.250%11/0 883556AJ1 20 20000 PRN SOLE 01 20000 0 0
TIME WARNER INC COM 887317105 1679 100000 SH SOLE 02 100000 0 0
TJX COS INC NEW COM 872540109 228 9200 SH SOLE 02 9200 0 0
TOO INC COM 890333107 12352 359600 SH SOLE 02 359600 0 0
TRANSMONTAIGNE INC COM 893934109 1928 196700 SH SOLE 01 196700 0 0
TRIAD HOSPITALS INC COM 89579K109 251 6000 SH SOLE 02 6000 0 0
TRIZEC PROPERTIES INC COM 89687P107 651 25100 SH SOLE 01 25100 0 0
TTI TEAM TELECOM INTL LTD ORD M88258104 289 75000 SH SOLE 01 75000 0 0
TYCO INTL LTD NEW COM 902124106 2691 100100 SH SOLE 01 02 100100 0 0
UNITED SURGICAL PARTNERS INT COM 913016309 334 9440 SH SOLE 01 02 9440 0 0
VAALCO ENERGY INC COM NEW 91851C201 72 10968 SH SOLE 01 10968 0 0
VALASSIS COMMUNICATIONS INC NOTE 1.625% 5/2 918866AK0 1406 2250000 PRN SOLE 01 2250000 0 0
VALUEVISION MEDIA INC CL A 92047K107 426 34000 SH SOLE 01 34000 0 0
VECTOR GROUP LTD COM 92240M108 28590 1500000 SH SOLE 02 1500000 0 0
VECTOR GROUP LTD NOTE 6.250% 7/1 92240MAC2 2104 2191000 PRN SOLE 01 2191000 0 0
VECTOR GROUP LTD NOTE 5.000%11/1 92240MAE8 272 216000 PRN SOLE 01 216000 0 0
VERIZON GLOBAL FDG CORP NOTE 5/1 92344GAN6 344 545000 PRN SOLE 01 545000 0 0
VORNADO RLTY TR SH BEN INT 929042109 760 8003 SH SOLE 01 8003 0 0
W P CAREY & CO LLC COM 92930Y107 302 10900 SH SOLE 01 10900 0 0
WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 93 100000 PRN SOLE 01 100000 0 0
WELLPOINT INC COM 94973V107 2109 27318 SH SOLE 01 27318 0 0
WILSON GREATBATCH TECHNOLOGI SDCV 2.250% 6/1 972232AB8 1934 2266000 PRN SOLE 01 2266000 0 0
WYNN RESORTS LTD DBCV 6.000% 7/1 983134AB3 1618 558000 PRN SOLE 01 558000 0 0
ZALE CORP NEW COM 988858106 84090 300000 SH SOLE 02 300000 0 0