UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: September 30, 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 November 13, 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: 487
Form13F Information Table Value Total: $1,460,888 (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 28-11239 Jefferies Asset Management, LLC
03 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 COM 88579Y101 1090 14600 SH SOLE 01 14600 0 0
3M CO NOTE 11/2 88579YAB7 48 55000 PRN SOLE 01 55000 0 0
ABBOTT LABS COM 002824100 315 6500 SH SOLE 01 6500 0 0
ABERCROMBIE & FITCH CO CL A 002896207 31237 449600 SH SOLE 01 02 449600 0 0
ADOBE SYS INC COM 00724F101 571 15218 SH SOLE 01 15218 0 0
ADVANCED MEDICAL OPTICS INC NOTE 1.375% 7/0 00763MAJ7 6844 6000000 PRN SOLE 01 6000000 0 0
ADVANCED MICRO DEVICES INC COM 007903107 1193 47579 SH SOLE 01 47579 0 0
ADVANCED SEMICONDUCTOR ENGR SPONSORED ADR 00756M404 126 26900 SH SOLE 01 26900 0 0
AEROPOSTALE COM 007865108 22846 781600 SH SOLE 02 781600 0 0
AES CORP COM 00130H105 271 13000 SH SOLE 01 13000 0 0
ALBERTO CULVER CO COM 013068101 354 7000 SH SOLE 01 7000 0 0
ALCOA INC COM 013817101 283 10112 SH SOLE 01 10112 0 0
ALLEGHENY TECHNOLOGIES INC COM 01741R102 577 9200 SH SOLE 01 9200 0 0
ALLIANT ENERGY CORP COM 018802108 318 8700 SH SOLE 01 8700 0 0
ALLIANT TECHSYSTEMS INC COM 018804104 266 3300 SH SOLE 01 3300 0 0
ALLIED HEALTHCARE INTL INC COM 01923A109 32 17100 SH SOLE 01 17100 0 0
ALLOY INC DBCV 5.375% 8/0 019855AB1 25761 23865000 PRN SOLE 01 23865000 0 0
ALMOST FAMILY INC COM 020409108 609 26318 SH SOLE 02 26318 0 0
ALTRIA GROUP INC COM 02209S103 7222 86873 SH SOLE 01 86873 0 0
ALZA CORP SDCV 7/2 02261WAB5 17 19000 PRN SOLE 01 19000 0 0
AMAZON COM INC NOTE 4.750% 2/0 023135AF3 1551 1610000 PRN SOLE 01 1610000 0 0
AMB PROPERTY CORP COM 00163T109 363 6500 SH SOLE 01 6500 0 0
AMBAC FINL GROUP INC COM 023139108 224 2700 SH SOLE 01 2700 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 2658 60630 SH SOLE 01 02 60630 0 0
AMERICAN EXPRESS CO COM 025816109 236 4500 SH SOLE 01 4500 0 0
AMERICAN EXPRESS CO DBCV 1.850%12/0 025816AS8 2022 2011000 PRN SOLE 01 2011000 0 0
AMERICAN FINL GROUP INC OHIO COM 025932104 253 5400 SH SOLE 01 5400 0 0
AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 33 61000 PRN SOLE 01 61000 0 0
AMERICAN INTL GROUP INC DBCV 11/0 026874AP2 70 100000 PRN SOLE 01 100000 0 0
AMGEN INC COM 031162100 300 4200 SH SOLE 01 4200 0 0
AMGEN INC NOTE 3/0 031162AL4 2227 3000000 PRN SOLE 01 3000000 0 0
ANADARKO PETE CORP COM 032511107 225 5100 SH SOLE 01 5100 0 0
ANALOG DEVICES INC COM 032654105 512 16800 SH SOLE 01 16800 0 0
ANDREW CORP COM 034425108 254 27518 SH SOLE 01 27518 0 0
ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 377 10000 SH SOLE 01 10000 0 0
ANNALY CAP MGMT INC COM 035710409 140 10900 SH SOLE 01 10900 0 0
ANNTAYLOR STORES CORP COM 036115103 4033 96500 SH SOLE 01 02 96500 0 0
ANORMED INC COM 035910108 7897 564112 SH SOLE 01 564112 0 0
AON CORP COM 037389103 1310 37972 SH SOLE 01 37972 0 0
APACHE CORP COM 037411105 272 4320 SH SOLE 01 4320 0 0
APOGENT TECHNOLOGIES INC DBCV 12/1 03760AAK7 19 13000 PRN SOLE 01 13000 0 0
APPLE COMPUTER INC COM 037833100 230 2988 SH SOLE 01 2988 0 0
APPLIED MATLS INC COM 038222105 203 12000 SH SOLE 01 12000 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 420 10600 SH SOLE 01 10600 0 0
ARCHSTONE SMITH OPER TR NOTE 4.000% 7/1 039584AC1 3113 3000000 PRN SOLE 01 3000000 0 0
ARCHSTONE SMITH TR COM 039583109 522 9600 SH SOLE 01 9600 0 0
ARMOR HOLDINGS INC NOTE 2.000%11/0 042260AC3 8439 7000000 PRN SOLE 01 7000000 0 0
ARROW ELECTRS INC COM 042735100 224 8100 SH SOLE 01 8100 0 0
ASIAINFO HLDGS INC COM 04518A104 47 10846 SH SOLE 01 10846 0 0
ASSOCIATED BANC CORP COM 045487105 266 8300 SH SOLE 01 8300 0 0
ATHEROS COMMUNICATIONS INC COM 04743P108 891 49170 SH SOLE 02 49170 0 0
ATI TECHNOLOGIES INC COM 001941103 2897 135000 SH SOLE 02 135000 0 0
ATMOS ENERGY CORP COM 049560105 261 9100 SH SOLE 01 9100 0 0
AUDIOCODES LTD NOTE 2.000%11/0 050732AB2 1791 2000000 PRN SOLE 01 2000000 0 0
AUTOZONE INC COM 053332102 547 5500 SH SOLE 01 5500 0 0
AXCAN PHARMA INC NOTE 4.250% 4/1 054923AB3 2372 2255000 PRN SOLE 01 2255000 0 0
BAIDU COM INC SPON ADR REP A 056752108 515 6499 SH SOLE 01 6499 0 0
BAKER HUGHES INC COM 057224107 235 3500 SH SOLE 01 3500 0 0
BANK NEW YORK INC COM 064057102 221 6300 SH SOLE 01 6300 0 0
BANK OF AMERICA CORPORATION COM 060505104 213 4000 SH SOLE 01 4000 0 0
BAUSCH & LOMB INC FRNT 8/0 071707AM5 2470 2143000 PRN SOLE 01 2143000 0 0
BE SEMICONDUCTOR INDS N V NY REGSTRY SHS 073320103 138 25000 SH SOLE 01 25000 0 0
BEA SYS INC NOTE 4.000%12/1 073325AD4 10 10000 PRN SOLE 01 10000 0 0
BEAR STEARNS COS INC COM 073902108 3443 25100 SH SOLE 01 25100 0 0
BEASLEY BROADCAST GROUP INC CL A 074014101 126 17260 SH SOLE 01 17260 0 0
BEAZER HOMES USA INC COM 07556Q105 673 16700 SH SOLE 01 16700 0 0
BEBE STORES INC COM 075571109 226 9511 SH SOLE 01 02 9511 0 0
BEST BUY INC COM 086516101 377 7600 SH SOLE 01 7600 0 0
BEST BUY INC SDCV 2.250% 1/1 086516AF8 18632 17000000 PRN SOLE 01 17000000 0 0
BIOMARIN PHARMACEUTICAL INC NOTE 2.500% 3/2 09061GAC5 1504 1247000 PRN SOLE 01 1247000 0 0
BJS WHOLESALE CLUB INC COM 05548J106 5841 200200 SH SOLE 01 02 200200 0 0
BLUELINX HLDGS INC COM 09624H109 715 75100 SH SOLE 01 02 75100 0 0
BOEING CO COM 097023105 866 10900 SH SOLE 01 10900 0 0
BON-TON STORES INC COM 09776J101 1548 52067 SH SOLE 02 52067 0 0
BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 1526 1429000 PRN SOLE 01 1429000 0 0
BRE PROPERTIES INC CL A 05564E106 342 5800 SH SOLE 01 5800 0 0
BRINKER INTL INC COM 109641100 265 6800 SH SOLE 01 6800 0 0
BRINKS CO COM 109696104 901 16250 SH SOLE 01 16250 0 0
BROWN FORMAN CORP CL B 115637209 397 5201 SH SOLE 01 5201 0 0
BRUNSWICK CORP COM 117043109 148000 5740 SH CALL SOLE 02 0 0 0
BUILD A BEAR WORKSHOP COM 120076104 822 36100 SH SOLE 01 02 36100 0 0
BUILDERS FIRSTSOURCE INC COM 12008R107 16154 1060651 SH SOLE 01 02 1060651 0 0
BUILDING MATLS HLDG CORP COM 120113105 24719 950000 SH SOLE 02 950000 0 0
BURLINGTON NORTHN SANTA FE C COM 12189T104 336 5000 SH SOLE 01 5000 0 0
BUSINESS OBJECTS S A SPONSORED ADR 12328X107 1180 34616 SH SOLE 01 02 34616 0 0
C D W CORP COM 12512N105 260 4200 SH SOLE 01 4200 0 0
CADENCE DESIGN SYSTEM INC NOTE 8/1 127387AB4 5618 5000000 PRN SOLE 01 5000000 0 0
CAESARS ENTMT INC FRNT 4/1 127687AB7 220 191000 PRN SOLE 01 191000 0 0
CALLAWAY GOLF CO COM 131193104 224 17000 SH SOLE 01 17000 0 0
CATERPILLAR INC DEL COM 149123101 7523 116688 SH SOLE 01 116688 0 0
CBRL GROUP INC NOTE 4/0 12489VAB2 4399 9138000 PRN SOLE 01 9138000 0 0
CENTERPOINT ENERGY INC COM 15189T107 192 13600 SH SOLE 01 13600 0 0
CENTERPOINT ENERGY INC NOTE 2.875% 1/1 15189TAL1 2937 2588000 PRN SOLE 01 2588000 0 0
CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 6867 5333000 PRN SOLE 01 5333000 0 0
CENTURY ALUM CO NOTE 1.750% 8/0 156431AE8 29 21000 PRN SOLE 01 21000 0 0
CEPHALON INC COM 156708109 2257 40183 SH SOLE 01 40183 0 0
CEPHALON INC NOTE 6/1 156708AK5 6053 5500000 PRN SOLE 01 5500000 0 0
CHAPARRAL STL CO DEL COM 159423102 268 7300 SH SOLE 01 7300 0 0
CHARTER COMMUNICATIONS INC D CL A 16117M107 112 74200 SH SOLE 01 74200 0 0
CHEMED CORP NEW COM 16359R103 284 8800 SH SOLE 02 8800 0 0
CHIPOTLE MEXICAN GRILL INC CL A 169656105 2504 50400 SH SOLE 01 02 50400 0 0
CHIQUITA BRANDS INTL INC *W EXP 03/19/200 170032114 52 19570 SH SOLE 01 19570 0 0
CHRISTOPHER & BANKS CORP COM 171046105 11214 380410 SH SOLE 01 02 380410 0 0
CHUBB CORP COM 171232101 352 6900 SH SOLE 01 6900 0 0
CIBER INC SDCV 2.875%12/1 17163BAB8 21 23000 PRN SOLE 01 23000 0 0
CIENA CORP NOTE 3.750% 2/0 171779AA9 6697 6949000 PRN SOLE 01 6949000 0 0
CIGNA CORP COM 125509109 338 2900 SH SOLE 01 2900 0 0
CINCINNATI FINL CORP COM 172062101 250 5280 SH SOLE 01 5280 0 0
CINTAS CORP COM 172908105 623 15600 SH SOLE 01 15600 0 0
CIRCUIT CITY STORE INC COM 172737108 512 19800 SH SOLE 01 19800 0 0
CISCO SYS INC COM 17275R102 430 18800 SH SOLE 01 18800 0 0
CITIGROUP INC COM 172967101 3148 63500 SH SOLE 01 02 63500 0 0
CLEAR CHANNEL COMMUNICATIONS COM 184502102 269 9200 SH SOLE 01 9200 0 0
CLOROX CO DEL COM 189054109 246 3900 SH SOLE 01 3900 0 0
COGNOS INC COM 19244C109 546 14946 SH SOLE 01 14946 0 0
COMERICA INC COM 200340107 217 3800 SH SOLE 01 3800 0 0
COMMERCE BANCORP INC NJ COM 200519106 320 9500 SH SOLE 01 9500 0 0
COMMERCE GROUP INC MASS COM 200641108 239 8000 SH SOLE 01 8000 0 0
CONAGRA FOODS INC COM 205887102 546 22900 SH SOLE 01 22900 0 0
CONOCOPHILLIPS COM 20825C104 544 9000 SH SOLE 01 9000 0 0
CONTINENTAL AIRLS INC NOTE 4.500% 2/0 210795PD6 2645 2658000 PRN SOLE 01 2658000 0 0
CONTINENTAL AIRLS INC NOTE 5.000% 6/1 210795PJ3 7411 5000000 PRN SOLE 01 5000000 0 0
COOPER TIRE & RUBR CO COM 216831107 115 10800 SH SOLE 01 10800 0 0
CORNING INC COM 219350105 703 28800 SH SOLE 01 02 28800 0 0
COUNTRYWIDE FINANCIAL CORP COM 222372104 297 8500 SH SOLE 01 8500 0 0
COVAD COMMUNICATIONS GROUP I COM 222814204 238 162500 SH SOLE 01 162500 0 0
COVENTRY HEALTH CARE INC COM 222862104 1565 29400 SH SOLE 01 29400 0 0
CRA INTL INC COM 12618T105 252 5200 SH SOLE 01 5200 0 0
CRESCENT REAL ESTATE EQUITIE COM 225756105 266 12300 SH SOLE 01 12300 0 0
CRESUD S A C I F Y A SPONSORED ADR 226406106 8839 663612 SH SOLE 01 663612 0 0
CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 533 470000 PRN SOLE 01 470000 0 0
CSX CORP DBCV 10/3 126408GA5 11402 10284000 PRN SOLE 01 10284000 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 1262 1250000 PRN SOLE 01 1250000 0 0
CURIS INC COM 231269101 17 13391 SH SOLE 01 13391 0 0
CVS CORP COM 126650100 523 16158 SH SOLE 01 16158 0 0
CYMER INC NOTE 3.500% 2/1 232572AE7 4509 4385000 PRN SOLE 01 4385000 0 0
CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 12085 9468000 PRN SOLE 01 9468000 0 0
DANKA BUSINESS SYS PLC SPONSORED ADR 236277109 93 50000 SH SOLE 01 50000 0 0
DARDEN RESTAURANTS INC COM 237194105 557 13300 SH SOLE 01 13300 0 0
DAVITA INC COM 23918K108 440 7600 SH SOLE 01 02 7600 0 0
DEALERTRACK HLDGS INC COM 242309102 848 38350 SH SOLE 01 02 38350 0 0
DEVON ENERGY CORP NEW COM 25179M103 326 5100 SH SOLE 01 5100 0 0
DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 308 251000 PRN SOLE 01 251000 0 0
DEVON ENERGY CORP NEW DEB 4.950% 8/1 25179MAB9 9527 7841000 PRN SOLE 01 7841000 0 0
DICKS SPORTING GOODS INC NOTE 1.606% 2/1 253393AB8 1603 2000000 PRN SOLE 01 2000000 0 0
DIEBOLD INC COM 253651103 326 7500 SH SOLE 02 7500 0 0
DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 2467 2219000 PRN SOLE 01 2219000 0 0
DOBSON COMMUNICATIONS CORP SDCV 1.500%10/0 256069AG0 486 500000 PRN SOLE 01 500000 0 0
DOMINION RES INC VA NEW COM 25746U109 347 4506 SH SOLE 01 4506 0 0
DONALDSON INC COM 257651109 324 8600 SH SOLE 01 8600 0 0
DONNELLEY R R & SONS CO COM 257867101 743 22700 SH SOLE 01 22700 0 0
DOVER CORP COM 260003108 304 6400 SH SOLE 01 6400 0 0
DST SYS INC DEL DBCV 3.625% 8/1 233326AD9 368 273000 PRN SOLE 01 273000 0 0
DST SYS INC DEL DBCV 4.125% 8/1 233326AB3 94 73000 PRN SOLE 01 73000 0 0
DUSA PHARMACEUTICALS INC COM 266898105 45 11323 SH SOLE 01 11323 0 0
DYNEGY INC NEW CL A 26816Q101 172 29900 SH SOLE 01 29900 0 0
E M C CORP MASS COM 268648102 6201 533000 SH SOLE 01 533000 0 0
EASTMAN CHEM CO COM 277432100 114560 2120700 SH SOLE 01 02 2120700 0 0
EASTMAN CHEM CO COM 277432100 17300 321 SH CALL SOLE 02 0 0 0
ECC CAPITAL CORP COM 26826M108 18 18100 SH SOLE 01 18100 0 0
ECHOSTAR COMMUNICATIONS NEW CL A 278762109 367 11000 SH SOLE 01 11000 0 0
EL PASO CORP COM 28336L109 290 21300 SH SOLE 01 21300 0 0
ELECTRONICS FOR IMAGING INC DBCV 1.500% 6/0 286082AA0 989 952000 PRN SOLE 01 952000 0 0
EMMIS COMMUNICATIONS CORP PFD CV SER A 291525202 895 22100 SH SOLE 01 22100 0 0
EMULEX CORP COM NEW 292475209 398 21900 SH SOLE 02 21900 0 0
ENERGIZER HLDGS INC COM 29266R108 256 3800 SH SOLE 01 3800 0 0
ENERGY PARTNERS LTD COM 29270U105 370 15000 SH SOLE 02 15000 0 0
EQUIFAX INC COM 294429105 672 18500 SH SOLE 01 18500 0 0
EQUITY OFFICE PROPERTIES TRU PFD CV B 5.25% 294741509 446 7800 SH SOLE 01 7800 0 0
EURONET WORLDWIDE INC DBCV 1.625%12/1 298736AD1 10 10000 PRN SOLE 01 10000 0 0
EXPEDIA INC DEL *W EXP 02/04/200 30212P121 67 11000 SH SOLE 01 11000 0 0
EXPRESS SCRIPTS INC COM 302182100 346 4477 SH SOLE 01 4477 0 0
EXXON MOBIL CORP COM 30231G102 346 5200 SH SOLE 01 5200 0 0
FAIR ISAAC CORP NOTE 1.500% 8/1 303250AD6 9056 9000000 PRN SOLE 01 9000000 0 0
FAMILY DLR STORES INC COM 307000109 299 10800 SH SOLE 01 10800 0 0
FEDERATED DEPT STORES INC DE COM 31410H101 24289 562104 SH SOLE 02 562104 0 0
FEDEX CORP COM 31428X106 417 4000 SH SOLE 01 4000 0 0
FIDELITY NATL FINL INC COM 316326107 31190 775300 SH SOLE 01 775300 0 0
FIDELITY NATL TITLE GROUP IN CL A 31620R105 9806 486400 SH SOLE 01 486400 0 0
FINISAR COM 31787A101 1887 510100 SH SOLE 01 510100 0 0
FINISAR NOTE 2.500%10/1 31787AAF8 56 45000 PRN SOLE 01 45000 0 0
FINISAR NOTE 5.250%10/1 31787AAC5 124 126000 PRN SOLE 01 126000 0 0
FINISH LINE INC CL A 317923100 199 15846 SH SOLE 01 02 15846 0 0
FIRST MARBLEHEAD CORP COM 320771108 325 5100 SH SOLE 01 5100 0 0
FISERV INC COM 337738108 802 17058 SH SOLE 01 17058 0 0
FISHER SCIENTIFIC INTL INC COM NEW 338032204 322 4100 SH SOLE 01 4100 0 0
FOOT LOCKER INC COM 344849104 2917 115200 SH SOLE 01 02 115200 0 0
FRANCE TELECOM SPONSORED ADR 35177Q105 23529 1009390 SH SOLE 01 1009390 0 0
FRANKLIN RES INC COM 354613101 387 3700 SH SOLE 01 3700 0 0
FREEPORT-MCMORAN COPPER & GO CL B 35671D857 211 4000 SH SOLE 01 4000 0 0
FREESCALE SEMICONDUCTOR INC CL B 35687M206 475 12600 SH SOLE 01 12600 0 0
FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 2110 1970000 PRN SOLE 01 1970000 0 0
GABELLI DIVD & INCOME TR COM 36242H104 251 13000 SH SOLE 01 13000 0 0
GATEWAY INC NOTE 1.500%12/3 367626AB4 1275 1500000 PRN SOLE 01 1500000 0 0
GATEWAY INC NOTE 2.000%12/3 367626AD0 9499 11800000 PRN SOLE 01 11800000 0 0
GENE LOGIC INC COM 368689105 22 14000 SH SOLE 02 14000 0 0
GENERAL MLS INC COM 370334104 897 16300 SH SOLE 01 16300 0 0
GENERAL MTRS CORP COM 370442105 1139 34700 SH SOLE 01 34700 0 0
GENUINE PARTS CO COM 372460105 345 8000 SH SOLE 01 8000 0 0
GENZYME CORP COM 372917104 5378 80763 SH SOLE 01 80763 0 0
GEORGIA GULF CORP COM PAR $0.01 373200203 1123 41000 SH SOLE 01 41000 0 0
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 240 4500 SH SOLE 01 4500 0 0
GLOBAL PMTS INC COM 37940X102 348 8300 SH SOLE 01 8300 0 0
GOLDMAN SACHS GROUP INC COM 38141G104 7133 45000 SH SOLE 01 45000 0 0
GOODRICH CORP COM 382388106 265 6600 SH SOLE 01 6600 0 0
GREAT PLAINS ENERGY INC COM 391164100 342 11200 SH SOLE 01 11200 0 0
GULFPORT ENERGY CORP COM NEW 402635304 5234 407336 SH SOLE 01 407336 0 0
HALLIBURTON CO COM 406216101 800 27500 SH SOLE 01 27500 0 0
HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 17523 9854000 PRN SOLE 01 9854000 0 0
HARBOR ACQUISITION CORPORATI *W EXP 04/25/201 41145X115 3 10000 SH SOLE 01 10000 0 0
HARRIS CORP DEL COM 413875105 284 6300 SH SOLE 01 6300 0 0
HARTFORD FINL SVCS GROUP INC COM 416515104 612 7100 SH SOLE 01 7100 0 0
HEINZ H J CO COM 423074103 434 10400 SH SOLE 01 10400 0 0
HERLEY INDS INC DEL COM 427398102 619 50000 SH SOLE 02 50000 0 0
HESS CORP COM 42809H107 307 7300 SH SOLE 01 7300 0 0
HEWLETT PACKARD CO COM 428236103 1311 35900 SH SOLE 01 35900 0 0
HEWLETT PACKARD CO NOTE 10/1 428236AC7 68 100000 PRN SOLE 01 100000 0 0
HEXCEL CORP NEW COM 428291108 736 51949 SH SOLE 01 02 51949 0 0
HILLENBRAND INDS INC COM 431573104 285 5000 SH SOLE 01 5000 0 0
HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 98 80000 PRN SOLE 01 80000 0 0
HORACE MANN EDUCATORS CORP N NOTE 1.425% 5/1 440327AG9 15 32000 PRN SOLE 01 32000 0 0
HOSPIRA INC COM 441060100 1443 39400 SH SOLE 01 39400 0 0
HUBBELL INC CL B 443510201 298 6200 SH SOLE 01 6200 0 0
HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 2314 2350000 PRN SOLE 01 2350000 0 0
HUNTSMAN CORP PFD MND CV 5% 447011206 655 16300 SH SOLE 01 16300 0 0
ICO GLOBAL COMM HLDGS LTD DE CL A 44930K108 3135 540500 SH SOLE 01 540500 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 1786 1000000 PRN SOLE 01 1000000 0 0
INCO LTD COM 453258402 3911 51292 SH SOLE 01 02 51292 0 0
INTERNATIONAL GAME TECHNOLOG DBCV 1/2 459902AL6 11 13000 PRN SOLE 01 13000 0 0
INTRAWEST CORPORATION COM NEW 460915200 689 20000 SH SOLE 01 20000 0 0
INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 903 1067000 PRN SOLE 01 1067000 0 0
ISHARES TR RUSL 2000 VALU 464287630 211 2831 SH SOLE 01 2831 0 0
ISHARES TR S&P 100 IDX FD 464287101 3212 53098 SH SOLE 01 53098 0 0
JP MORGAN CHASE & CO COM 46625H100 365 7800 SH SOLE 01 7800 0 0
JUNIPER NETWORKS INC NOTE 6/1 48203RAC8 11055 11000000 PRN SOLE 01 11000000 0 0
KAISER ALUMINUM CORP COM PAR $0.01 483007704 1109 25000 SH SOLE 02 25000 0 0
KB HOME COM 48666K109 2878 67100 SH SOLE 01 67100 0 0
KEANE INC SDCV 2.000% 6/1 486665AB8 211 206000 PRN SOLE 01 206000 0 0
KFX INC COM 48245L107 6215 441024 SH SOLE 01 441024 0 0
KIMBERLY CLARK CORP COM 494368103 235 3600 SH SOLE 01 3600 0 0
KIMCO REALTY CORP COM 49446R109 590 13900 SH SOLE 01 13900 0 0
KLA-TENCOR CORP COM 482480100 400 9000 SH SOLE 02 9000 0 0
KOHLS CORP COM 500255104 14661 225835 SH SOLE 02 225835 0 0
KOHLS CORP COM 500255104 5300 100 SH CALL SOLE 02 0 0 0
KOMAG INC COM NEW 500453204 229 7300 SH SOLE 01 7300 0 0
KRISPY KREME DOUGHNUTS INC COM 501014104 27702 3420000 SH SOLE 02 3420000 0 0
KRISPY KREME DOUGHNUTS INC COM 501014104 42800 3171 SH CALL SOLE 02 0 0 0
L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 131 132000 PRN SOLE 01 132000 0 0
LAM RESEARCH CORP COM 512807108 782 17300 SH SOLE 01 02 17300 0 0
LEHMAN BROS HLDGS INC COM 524908100 1880 28800 SH SOLE 01 28800 0 0
LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 3551 2759000 PRN SOLE 01 2759000 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 3.500% 6/1 52729NBK5 5475 5250000 PRN SOLE 01 5250000 0 0
LG PHILIP LCD CO LTD SPONS ADR REP 50186V102 274 16500 SH SOLE 01 16500 0 0
LIBERTY MEDIA CORP DEB 4.000%11/1 530715AG6 17 27000 PRN SOLE 01 27000 0 0
LIBERTY MEDIA CORP NEW DEB 0.750% 3/3 530718AF2 540 500000 PRN SOLE 01 500000 0 0
LIBERTY PPTY TR SH BEN INT 531172104 348 7300 SH SOLE 01 7300 0 0
LIMITED BRANDS INC COM 532716107 318 11800 SH SOLE 01 11800 0 0
LINCARE HLDGS INC COM 532791100 373 10762 SH SOLE 01 02 10762 0 0
LOCKHEED MARTIN CORP COM 539830109 468 5500 SH SOLE 01 5500 0 0
LOCKHEED MARTIN CORP DBCV 8/1 539830AP4 4180 3380000 PRN SOLE 01 3380000 0 0
LOEWS CORP COM 540424108 403 10500 SH SOLE 01 10500 0 0
LONE STAR TECHNOLOGIES INC COM 542312103 484 10000 SH SOLE 02 10000 0 0
LONGVIEW FIBRE CO COM 543213102 1372 67500 SH SOLE 02 67500 0 0
LOWES COS INC NOTE 0.861%10/1 548661CG0 777 797000 PRN SOLE 01 797000 0 0
LSI LOGIC CORP COM 502161102 326 39900 SH SOLE 01 39900 0 0
LSI LOGIC CORP NOTE 4.000%11/0 502161AG7 30 30000 PRN SOLE 01 30000 0 0
LUMINENT MTG CAP INC COM 550278303 140 13800 SH SOLE 01 13800 0 0
MACK CALI RLTY CORP COM 554489104 382 7200 SH SOLE 01 7200 0 0
MAIR HOLDINGS INC COM 560635104 54 10735 SH SOLE 01 10735 0 0
MAJESCO ENTERTAINMENT CO COM NEW 560690208 18 13191 SH SOLE 01 13191 0 0
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