UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: December 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 February 07, 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: 3
Form13F Information Table Entry Total: 566
Form13F Information Table Value Total: $1,477,651 (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$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
3M CO COM 88579Y101 4039 49635 SH SOLE 01 49635 0 0
ABERCROMBIE & FITCH CO CL A 002896207 32559 467600 SH SOLE 02 467600 0 0
ACAMBIS PLC SPONSORED ADR 004286100 139 35000 SH SOLE 01 35000 0 0
ACTIVISION INC NEW COM NEW 004930202 358 20056 SH SOLE 01 20056 0 0
ADOBE SYS INC COM 00724F101 220 5300 SH SOLE 01 5300 0 0
ADVANCED MEDICAL OPTICS INC NOTE 1.375% 7/0 00763MAJ7 948 1000000 PRN SOLE 01 1000000 0 0
ADVANCED MICRO DEVICES INC COM 007903107 2791 131075 SH SOLE 01 131075 0 0
AEROPOSTALE COM 007865108 19013 615900 SH SOLE 01 02 615900 0 0
AES CORP COM 00130H105 426 19100 SH SOLE 01 19100 0 0
AETNA INC NEW COM 00817Y108 1405 33600 SH SOLE 01 33600 0 0
AGCO CORP NOTE 1.750%12/3 001084AL6 2624 1715000 PRN SOLE 01 1715000 0 0
ALBEMARLE CORP COM 012653101 501 7100 SH SOLE 01 7100 0 0
ALCATEL-LUCENT SPONSORED ADR 013904305 65959 6155041 SH SOLE 01 6155041 0 0
ALLEGHENY TECHNOLOGIES INC COM 01741R102 1666 18300 SH SOLE 01 18300 0 0
ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 785 62400 SH SOLE 01 62400 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 293 300000 PRN SOLE 01 300000 0 0
AMDOCS LTD NOTE 0.500% 3/1 02342TAD1 1767 1695000 PRN SOLE 01 1695000 0 0
AMEREN CORP COM 023608102 274 5100 SH SOLE 01 5100 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 2790 89400 SH SOLE 02 89400 0 0
AMERICAN FINL GROUP INC OHIO COM 025932104 233 6450 SH SOLE 01 6450 0 0
AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 54 89000 PRN SOLE 01 89000 0 0
AMERICAN INTL GROUP INC COM 026874107 524 7300 SH SOLE 01 7300 0 0
AMERICAN TOWER CORP CL A 029912201 1412 37300 SH SOLE 01 37300 0 0
AMERIPRISE FINL INC COM 03076C106 377 6900 SH SOLE 01 6900 0 0
AMERISOURCEBERGEN CORP COM 03073E105 298 6600 SH SOLE 01 6600 0 0
AMGEN INC COM 031162100 928 13086 SH SOLE 01 13086 0 0
AMGEN INC NOTE 3/0 031162AL4 2272 3000000 PRN SOLE 01 3000000 0 0
APPLE COMPUTER INC COM 037833100 4612 53513 SH SOLE 01 53513 0 0
APPLERA CORP COM AP BIO GRP 038020103 570 15400 SH SOLE 01 15400 0 0
APPLIED MATLS INC COM 038222105 764 42000 SH SOLE 01 42000 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 263 7500 SH SOLE 01 7500 0 0
ARMSTRONG WORLD INDS INC NEW COM 04247X102 2926 70500 SH SOLE 01 70500 0 0
ASHLAND INC NEW COM 044209104 323 4600 SH SOLE 01 4600 0 0
ASSISTED LIVING CONCPT NEV N CL A 04544X102 821 85366 SH SOLE 01 02 85366 0 0
ASSURANT INC COM 04621X108 346 6200 SH SOLE 01 6200 0 0
AT&T INC COM 00206R102 374 10500 SH SOLE 01 10500 0 0
ATHEROGENICS INC NOTE 1.500% 2/0 047439AD6 347 450000 PRN SOLE 01 450000 0 0
ATHEROS COMMUNICATIONS INC COM 04743P108 875 41018 SH SOLE 01 02 41018 0 0
ATLAS AIR WORLDWIDE HLDGS IN COM NEW 049164205 1650 35250 SH SOLE 01 35250 0 0
AUTODESK INC COM 052769106 356 8814 SH SOLE 01 02 8814 0 0
AUTOZONE INC COM 053332102 898 7700 SH SOLE 01 7700 0 0
AVAYA INC COM 053499109 160 12300 SH SOLE 01 12300 0 0
AVERY DENNISON CORP COM 053611109 433 6300 SH SOLE 01 6300 0 0
AVNET INC DBCV 2.000% 3/1 053807AL7 52 52000 PRN SOLE 01 52000 0 0
BAKER HUGHES INC COM 057224107 283 3800 SH SOLE 01 3800 0 0
BANK NEW YORK INC COM 064057102 341 8600 SH SOLE 01 8600 0 0
BARD C R INC COM 067383109 484 5800 SH SOLE 01 5800 0 0
BARR PHARMACEUTICALS INC COM 068306109 340 6700 SH SOLE 01 6700 0 0
BAUER EDDIE HLDGS INC COM 071625107 300 33173 SH SOLE 01 33173 0 0
BAUSCH & LOMB INC FRNT 8/0 071707AM5 2454 2143000 PRN SOLE 01 2143000 0 0
BAUSCH & LOMB INC COM 071707103 333 6300 SH SOLE 01 6300 0 0
BEAR STEARNS COS INC COM 073902108 10641 68000 SH SOLE 01 68000 0 0
BEBE STORES INC COM 075571109 5064 255899 SH SOLE 01 02 255899 0 0
BECTON DICKINSON & CO COM 075887109 240 3400 SH SOLE 01 3400 0 0
BELLSOUTH CORP COM 079860102 311 6600 SH SOLE 01 6600 0 0
BEMIS INC COM 081437105 206 6000 SH SOLE 01 6000 0 0
BENCHMARK ELECTRS INC COM 08160H101 399 16400 SH SOLE 01 02 16400 0 0
BEST BUY INC COM 086516101 17410 346500 SH SOLE 01 02 346500 0 0
BEST BUY INC SDCV 2.250% 1/1 086516AF8 165 150000 PRN SOLE 01 150000 0 0
BIG LOTS INC COM 089302103 401 17400 SH SOLE 01 17400 0 0
BIO-REFERENCE LABS INC COM $.01 NEW 09057G602 344 15300 SH SOLE 02 15300 0 0
BIOGEN IDEC INC COM 09062X103 321 6500 SH SOLE 01 6500 0 0
BIOMET INC COM 090613100 4519 110000 SH SOLE 01 02 110000 0 0
BLUE COAT SYSTEMS INC COM NEW 09534T508 1149 47970 SH SOLE 02 47970 0 0
BMC SOFTWARE INC COM 055921100 1154 35500 SH SOLE 01 35500 0 0
BOEING CO COM 097023105 312 3500 SH SOLE 01 3500 0 0
BON-TON STORES INC COM 09776J101 591 16947 SH SOLE 01 02 16947 0 0
BOSTON SCIENTIFIC CORP COM 101137107 4189 264240 SH SOLE 01 264240 0 0
BRINKER INTL INC COM 109641100 306 10100 SH SOLE 01 10100 0 0
BRUNSWICK CORP COM 117043109 902 410000 SH CALL SOLE 02 0 0 0
BUILDERS FIRSTSOURCE INC COM 12008R107 10775 604307 SH SOLE 02 604307 0 0
BUILDING MATLS HLDG CORP COM 120113105 22095 894900 SH SOLE 02 894900 0 0
BUSINESS OBJECTS S A SPONSORED ADR 12328X107 1518 41100 SH SOLE 01 41100 0 0
CABLEVISION SYS CORP CL A NY CABLVS 12686C109 886 31200 SH SOLE 01 02 31200 0 0
CADENCE DESIGN SYSTEM INC NOTE 8/1 127387AB4 13365 11000000 PRN SOLE 01 11000000 0 0
CAESARS ENTMT INC FRNT 4/1 127687AB7 6318 5000000 PRN SOLE 01 5000000 0 0
CAMDEN PPTY TR SH BEN INT 133131102 329 4300 SH SOLE 01 4300 0 0
CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 188 174000 PRN SOLE 01 174000 0 0
CAMPBELL SOUP CO COM 134429109 497 12700 SH SOLE 01 12700 0 0
CAPITAL ONE FINL CORP COM 14040H105 443 5701 SH SOLE 01 5701 0 0
CAPITALSOURCE INC DBCV 1.250% 3/1 14055XAB8 4528 4000000 PRN SOLE 01 4000000 0 0
CARDINAL HEALTH INC COM 14149Y108 343 5300 SH SOLE 01 5300 0 0
CAREMARK RX INC COM 141705103 23145 483988 SH SOLE 01 02 483988 0 0
CARNIVAL CORP PAIRED CTF 143658300 269 5500 SH SOLE 01 5500 0 0
CB RICHARD ELLIS GROUP INC CL A 12497T101 206 6200 SH SOLE 01 6200 0 0
CBRL GROUP INC NOTE 4/0 12489VAB2 6748 13428000 PRN SOLE 01 13428000 0 0
CBS CORP NEW CL B 124857202 326 10350 SH SOLE 01 10350 0 0
CENTERPOINT ENERGY INC COM 15189T107 453 27350 SH SOLE 01 27350 0 0
CENTERPOINT ENERGY INC NOTE 2.875% 1/1 15189TAL1 1375 1051000 PRN SOLE 01 1051000 0 0
CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 8853 6099000 PRN SOLE 01 6099000 0 0
CENTURYTEL INC COM 156700106 947 21700 SH SOLE 01 21700 0 0
CENTURYTEL INC DBCV 4.750% 8/0 156700AH9 290 265000 PRN SOLE 01 265000 0 0
CEPHALON INC NOTE 2.000% 6/0 156708AP4 24869 15000000 PRN SOLE 01 15000000 0 0
CHARLOTTE RUSSE HLDG INC COM 161048103 2081 67698 SH SOLE 01 02 67698 0 0
CHARTER COMMUNICATIONS INC D NOTE 5.875%11/1 16117MAE7 48 35000 PRN SOLE 01 35000 0 0
CHEMED CORP NEW COM 16359R103 288 7800 SH SOLE 02 7800 0 0
CHESAPEAKE ENERGY CORP COM 165167107 1041 35000 SH SOLE 01 35000 0 0
CHEVRON CORP NEW COM 166764100 824 11400 SH SOLE 01 11400 0 0
CHICAGO MERCANTILE HLDGS INC CL A 167760107 1590 3044 SH SOLE 01 3044 0 0
CHIPOTLE MEXICAN GRILL INC CL B 169656204 2340 45000 SH SOLE 02 45000 0 0
CHIQUITA BRANDS INTL INC *W EXP 03/19/200 170032114 37 19570 SH SOLE 01 19570 0 0
CHRISTOPHER & BANKS CORP COM 171046105 7827 419400 SH SOLE 01 02 419400 0 0
CHUBB CORP COM 171232101 298 5600 SH SOLE 01 5600 0 0
CHURCH & DWIGHT INC DBCV 5.250% 8/1 171340AC6 1433 1000000 PRN SOLE 01 1000000 0 0
CIBER INC SDCV 2.875%12/1 17163BAB8 928 1000000 PRN SOLE 01 1000000 0 0
CIENA CORP COM NEW 171779309 387 13724 SH SOLE 01 13724 0 0
CIENA CORP NOTE 3.750% 2/0 171779AA9 921 949000 PRN SOLE 01 949000 0 0
CINCINNATI FINL CORP COM 172062101 360 7897 SH SOLE 01 7897 0 0
CIRCUIT CITY STORE INC COM 172737108 596 26700 SH SOLE 01 26700 0 0
CISCO SYS INC COM 17275R102 1260 46083 SH SOLE 01 02 46083 0 0
CITIGROUP INC COM 172967101 1056 19900 SH SOLE 01 19900 0 0
CLEAR CHANNEL COMMUNICATIONS COM 184502102 2079 59400 SH SOLE 01 59400 0 0
CLOROX CO DEL COM 189054109 310 4800 SH SOLE 01 4800 0 0
CMS ENERGY CORP COM 125896100 200 11900 SH SOLE 01 11900 0 0
COACH INC COM 189754104 1149 26500 SH SOLE 01 26500 0 0
COCA COLA CO COM 191216100 651 13400 SH SOLE 01 13400 0 0
COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 412 5301 SH SOLE 01 5301 0 0
COHEN & STEERS SELECT UTIL F COM 19248A109 612 25000 SH SOLE 01 25000 0 0
COMERICA INC COM 200340107 759 12900 SH SOLE 01 02 12900 0 0
COMMERCE BANCORP INC NJ COM 200519106 817 23200 SH SOLE 01 23200 0 0
COMMERCE GROUP INC MASS COM 200641108 318 10600 SH SOLE 01 10600 0 0
COMPASS BANCSHARES INC COM 20449H109 223 3691 SH SOLE 01 3691 0 0
CON-WAY INC COM 205944101 204 4500 SH SOLE 01 4500 0 0
CONAGRA FOODS INC COM 205887102 771 28200 SH SOLE 01 28200 0 0
CONOCOPHILLIPS COM 20825C104 216 3000 SH SOLE 01 3000 0 0
CONOR MEDSYSTEMS INC COM 208264101 971 30978 SH SOLE 01 02 30978 0 0
CONSECO INC DBCV 3.500% 9/3 208464BH9 1993 2000000 PRN SOLE 01 2000000 0 0
CONSOL ENERGY INC COM 20854P109 277 8500 SH SOLE 01 8500 0 0
CONTINENTAL AIRLS INC CL B 210795308 239 5873 SH SOLE 01 5873 0 0
CONTINENTAL AIRLS INC NOTE 4.500% 2/0 210795PD6 2874 2658000 PRN SOLE 01 2658000 0 0
COOPER INDS LTD CL A G24182100 346 3800 SH SOLE 01 3800 0 0
CORNING INC COM 219350105 857 45800 SH SOLE 01 02 45800 0 0
COUNTRYWIDE FINANCIAL CORP COM 222372104 212 5000 SH SOLE 02 5000 0 0
COVAD COMMUNICATIONS GROUP I COM 222814204 76 63000 SH SOLE 01 63000 0 0
CREDENCE SYS CORP NOTE 1.500% 5/1 225302AF5 30 32000 PRN SOLE 01 32000 0 0
CRESUD S A C I F Y A SPONSORED ADR 226406106 3328 193798 SH SOLE 01 193798 0 0
CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 1714 1470000 PRN SOLE 01 1470000 0 0
CSX CORP DBCV 10/3 126408GA5 12650 9784000 PRN SOLE 01 9784000 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 3794 4000000 PRN SOLE 01 4000000 0 0
CUMMINS INC COM 231021106 454 3800 SH SOLE 01 3800 0 0
CYMER INC NOTE 3.500% 2/1 232572AE7 3617 3385000 PRN SOLE 01 3385000 0 0
CYPRESS SEMICONDUCTOR CORP COM 232806109 441 26100 SH SOLE 01 02 26100 0 0
CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 29243 22968000 PRN SOLE 01 22968000 0 0
D R HORTON INC COM 23331A109 559 21000 SH SOLE 01 21000 0 0
DARDEN RESTAURANTS INC COM 237194105 340 8400 SH SOLE 01 8400 0 0
DARLING INTL INC COM 237266101 110 20000 SH SOLE 02 20000 0 0
DAVITA INC COM 23918K108 739 13000 SH SOLE 02 13000 0 0
DEALERTRACK HLDGS INC COM 242309102 984 33532 SH SOLE 01 02 33532 0 0
DEERE & CO COM 244199105 908 9505 SH SOLE 01 9505 0 0
DEL MONTE FOODS CO COM 24522P103 372 33400 SH SOLE 01 33400 0 0
DELIA'S INC NEW COM 246911101 115 10392 SH SOLE 01 10392 0 0
DELL INC COM 24702R101 646 25301 SH SOLE 01 25301 0 0
DELTA PETE CORP COM NEW 247907207 371 15929 SH SOLE 01 15929 0 0
DENTSPLY INTL INC NEW COM 249030107 322 10500 SH SOLE 01 10500 0 0
DEVON ENERGY CORP NEW DEB 4.950% 8/1 25179MAB9 2894 2115000 PRN SOLE 01 2115000 0 0
DEVON ENERGY CORP NEW COM 25179M103 356 5300 SH SOLE 01 5300 0 0
DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 1548 1132000 PRN SOLE 01 1132000 0 0
DIAMOND FOODS INC COM 252603105 177 10290 SH SOLE 01 10290 0 0
DICKS SPORTING GOODS INC COM 253393102 427 8400 SH SOLE 01 8400 0 0
DICKS SPORTING GOODS INC COM 253393102 15 10000 SH PUT SOLE 02 10000 0 0
DIEBOLD INC COM 253651103 384 8300 SH SOLE 01 02 8300 0 0
DIGITAL INSIGHT CORP COM 25385P106 404 10500 SH SOLE 01 02 10500 0 0
DILLARDS INC CL A 254067101 400 11400 SH SOLE 01 11400 0 0
DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 30 26000 PRN SOLE 01 26000 0 0
DOBSON COMMUNICATIONS CORP SDCV 1.500%10/0 256069AG0 542 500000 PRN SOLE 01 500000 0 0
DRESS BARN INC COM 261570105 348 14668 SH SOLE 01 02 14668 0 0
DTE ENERGY CO COM 233331107 365 7500 SH SOLE 01 7500 0 0
DUKE ENERGY CORP NOTE 1.750% 5/1 264399EJ1 17 13000 PRN SOLE 01 13000 0 0
E M C CORP MASS COM 268648102 12337 940200 SH SOLE 01 940200 0 0
E TRADE FINANCIAL CORP COM 269246104 675 29921 SH SOLE 01 02 29921 0 0
EASTMAN CHEM CO COM 277432100 87499 1475300 SH SOLE 01 02 1475300 0 0
EASTMAN KODAK CO COM 277461109 427 16500 SH SOLE 01 16500 0 0
EATON CORP COM 278058102 581 7700 SH SOLE 01 7700 0 0
EBAY INC COM 278642103 417 13800 SH SOLE 01 13800 0 0
ECHOSTAR COMMUNICATIONS NEW NOTE 5.750% 5/1 278762AG4 295 291000 PRN SOLE 01 291000 0 0
EDISON INTL COM 281020107 374 8200 SH SOLE 01 8200 0 0
EDWARDS LIFESCIENCES CORP DBCV 3.875% 5/1 28176EAB4 5269 5200000 PRN SOLE 01 5200000 0 0
ELAN PLC ADR 284131208 1210 83800 SH SOLE 01 83800 0 0
ELECTRONIC ARTS INC COM 285512109 1196 23234 SH SOLE 01 23234 0 0
ELECTRONIC DATA SYS NEW NOTE 3.875% 7/1 285661AF1 115 110000 PRN SOLE 01 110000 0 0
ELECTRONICS FOR IMAGING INC DBCV 1.500% 6/0 286082AA0 2145 2012000 PRN SOLE 01 2012000 0 0
ELLIS PERRY INTL INC COM 288853104 293 7718 SH SOLE 01 7718 0 0
EMBARQ CORP COM 29078E105 245 4640 SH SOLE 01 4640 0 0
ENCYSIVE PHARMACEUTICALS INC FRNT 2.500% 3/1 29256XAB3 25 32000 PRN SOLE 01 32000 0 0
ENSCO INTL INC COM 26874Q100 1255 25100 SH SOLE 01 25100 0 0
EOG RES INC COM 26875P101 358 5700 SH SOLE 01 5700 0 0
EQUITY OFFICE PROPERTIES TRU COM 294741103 428 8900 SH SOLE 01 8900 0 0
EQUITY OFFICE PROPERTIES TRU PFD CV B 5.25% 294741509 2200 32600 SH SOLE 01 32600 0 0
EQUITY RESIDENTIAL SH BEN INT 29476L107 305 6000 SH SOLE 01 6000 0 0
EVERGREEN ENERGY INC COM 30024B104 5546 541768 SH SOLE 01 541768 0 0
EXPEDIA INC DEL *W EXP 02/04/200 30212P121 142 19000 SH SOLE 01 19000 0 0
EXPRESS SCRIPTS INC COM 302182100 478 6610 SH SOLE 01 6610 0 0
EXXON MOBIL CORP COM 30231G102 252 3300 SH SOLE 01 3300 0 0
FAIR ISAAC CORP NOTE 1.500% 8/1 303250AD6 6437 6000000 PRN SOLE 01 6000000 0 0
FAMILY DLR STORES INC COM 307000109 370 12500 SH SOLE 01 12500 0 0
FEDERAL NATL MTG ASSN COM 313586109 486 8100 SH SOLE 01 8100 0 0
FEDERATED DEPT STORES INC DE COM 31410H101 413 10819 SH SOLE 01 02 10819 0 0
FEDERATED INVS INC PA CL B 314211103 206 6100 SH SOLE 01 6100 0 0
FEDEX CORP COM 31428X106 572 5300 SH SOLE 01 5300 0 0
FIBERTOWER CORP COM 31567R100 448 78700 SH SOLE 01 78700 0 0
FIDELITY NATIONAL FINANCIAL CL A 31620R105 27508 1215000 SH SOLE 01 1215000 0 0
FIFTH THIRD BANCORP COM 316773100 557 13614 SH SOLE 01 02 13614 0 0
FIRSTENERGY CORP COM 337932107 297 4900 SH SOLE 01 4900 0 0
FISERV INC COM 337738108 379 7212 SH SOLE 01 7212 0 0
FIVE STAR QUALITY CARE INC COM 33832D106 265 23800 SH SOLE 02 23800 0 0
FOOT LOCKER INC COM 344849104 282 12800 SH SOLE 01 02 12800 0 0
FORD MTR CO DEL NOTE 4.250%12/1 345370CF5 19838 19000000 PRN SOLE 01 19000000 0 0
FORMFACTOR INC COM 346375108 417 11205 SH SOLE 02 11205 0 0
FRANCE TELECOM SPONSORED ADR 35177Q105 60632 1009390 SH SOLE 01 1009390 0 0
FRANKLIN RES INC COM 354613101 843 7600 SH SOLE 01 7600 0 0
FRIEDMAN BILLINGS RAMSEY GRO CL A 358434108 1156 147100 SH SOLE 01 02 147100 0 0
FRONTLINE LTD SHS G3682E127 29015 1809244 SH SOLE 01 1809244 0 0
GABELLI DIVD & INCOME TR COM 36242H104 279 13000 SH SOLE 01 13000 0 0
GAP INC DEL COM 364760108 204 10368 SH SOLE 01 10368 0 0
GATEWAY INC NOTE 1.500%12/3 367626AB4 1282 1500000 PRN SOLE 01 1500000 0 0
GATEWAY INC NOTE 2.000%12/3 367626AD0 11951 14706000 PRN SOLE 01 14706000 0 0
GENCORP INC SDCV 2.250%11/1 368682AL4 2652 2844000 PRN SOLE 01 2844000 0 0
GENE LOGIC INC COM 368689105 22 14000 SH SOLE 02 14000 0 0
GENENTECH INC COM NEW 368710406 1910 23700 SH SOLE 01 23700 0 0
GENERAL DYNAMICS CORP COM 369550108 350 4695 SH SOLE 01 4695 0 0
GENERAL MLS INC COM 370334104 937 16100 SH SOLE 01 16100 0 0
GENERAL MTRS CORP COM 370442105 850 27152 SH SOLE 01 27152 0 0
GENESIS HEALTHCARE CORP COM 37184D101 236 5000 SH SOLE 02 5000 0 0
GENWORTH FINL INC COM CL A 37247D106 494 14348 SH SOLE 01 14348 0 0
GENZYME CORP COM 372917104 552 8900 SH SOLE 01 8900 0 0
GEORGIA GULF CORP COM PAR $0.01 373200203 509 25000 SH SOLE 01 25000 0 0
GIANT INDS INC COM 374508109 1075 14300 SH SOLE 01 02 14300 0 0
GILEAD SCIENCES INC COM 375558103 447 6869 SH SOLE 01 6869 0 0
GOLDMAN SACHS GROUP INC COM 38141G104 540 2700 SH SOLE 01 2700 0 0
GOODRICH CORP COM 382388106 205 4500 SH SOLE 01 4500 0 0
GOOGLE INC CL A 38259P508 7733 17800 SH SOLE 01 17800 0 0
GORMAN RUPP CO COM 383082104 206 6784 SH SOLE 01 6784 0 0
GRAINGER W W INC COM 384802104 778 11000 SH SOLE 01 11000 0 0
GULFMARK OFFSHORE INC COM 402629109 9024 234956 SH SOLE 01 234956 0 0
GULFPORT ENERGY CORP COM NEW 402635304 4864 407336 SH SOLE 01 407336 0 0
HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 12790 7000000 PRN SOLE 01 7000000 0 0
HARBOR ACQUISITION CORPORATI *W EXP 04/25/201 41145X115 2 10000 SH SOLE 01 10000 0 0
HARLEY DAVIDSON INC COM 412822108 226 3200 SH SOLE 01 3200 0 0
HARMONIC INC COM 413160102 89 11300 SH SOLE 01 11300 0 0
HARSCO CORP COM 415864107 391 5000 SH SOLE 01 5000 0 0
HASBRO INC COM 418056107 3349 124698 SH SOLE 01 124698 0 0
HCC INS HLDGS INC COM 404132102 257 8100 SH SOLE 01 8100 0 0
HEARST-ARGYLE TELEVISION INC COM 422317107 378 14900 SH SOLE 01 14900 0 0
HERCULES INC COM 427056106 624 32300 SH SOLE 01 32300 0 0
HEWLETT PACKARD CO NOTE 10/1 428236AC7 178 252000 PRN SOLE 01 252000 0 0
HEWLETT PACKARD CO COM 428236103 906 22000 SH SOLE 01 02 22000 0 0
HILLENBRAND INDS INC COM 431573104 423 7300 SH SOLE 01 7300 0 0
HILTON HOTELS CORP COM 432848109 1159 33300 SH SOLE 01 33300 0 0
HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 7474 5010000 PRN SOLE 01 5010000 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
HORMEL FOODS CORP COM 440452100 409 10800 SH SOLE 01 10800 0 0
HORNBECK OFFSHORE SVCS INC N COM 440543106 975 27200 SH SOLE 01 27200 0 0
HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 2489 2350000 PRN SOLE 01 2350000 0 0
HUTCHINSON TECHNOLOGY INC NOTE 2.250% 3/1 448407AE6 463 470000 PRN SOLE 01 470000 0 0
ICO GLOBAL COMM HLDGS LTD DE CL A 44930K108 2676 540500 SH SOLE 01 540500 0 0
IDEC PHARMACEUTICALS CORP NOTE 2/1 449370AC9 2112 1000000 PRN SOLE 01 1000000 0 0
INFOSYS TECHNOLOGIES LTD SPONSORED ADR 456788108 535 9900 SH SOLE 01 9900 0 0
INPHONIC INC COM 45772G105 1647 144595 SH SOLE 01 144595 0 0
INTEL CORP SDCV 2.950%12/1 458140AD2 12 13000 PRN SOLE 01 13000 0 0
INTERCONTINENTALEXCHANGE INC COM 45865V100 334 3341 SH SOLE 01 3341 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 6730 70600 SH SOLE 01 70600 0 0
INTERNATIONAL GAME TECHNOLOG DBCV 1/2 459902AL6 11 13000 PRN SOLE 01 13000 0 0
INTERSEARCH GROUP INC COM NEW 46070N206 169 68775 SH SOLE 01 68775 0 0
INTUIT COM 461202103 238 7800 SH SOLE 01 7800 0 0
INVESTOOLS INC COM 46145P103 207 15000 SH SOLE 02 15000 0 0
INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 900 1067000 PRN SOLE 01 1067000 0 0
ISHARES TR MSCI EMERG MKT 464287234 1781 31400 SH SOLE 01 31400 0 0
ISHARES TR RUSSELL1000GRW 464287614 27495 500000 SH SOLE 01 500000 0 0
JABIL CIRCUIT INC COM 466313103 894 36400 SH SOLE 02 36400 0 0
JDS UNIPHASE CORP COM PAR $0.001 46612J507 172 10200 SH SOLE 01 10200 0 0
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