UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: June 30, 2007
Check here if Amendment [ ]; Amendment Number:
This Amendment (Check only one.): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Jefferies Group Inc.
Address: 11100 Santa Monica Blvd, 11th Flr.
Los Angeles, CA 90025
13F File Number: 28-10917
The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Larry Scarpa
Title: Managing Director
Phone: 212-336-7090
Signature, Place, and Date of Signing:
/s/ Larry Scarpa Jersey City, NJ August 14, 2007
Report Type (Check only one.):
[ X] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[ ] 13F COMBINATION REPORT.
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 2
Form13F Information Table Entry Total: 749
Form13F Information Table Value Total: $2,272,874 (thousands)
List of Other Included Managers:
Provide a numbered list of the name(s) and Form 13F file number(s) of all
institutional managers with respect to which this report is filed, other
than the manager filing this report.
No. 13F File Number Name
01 28-10432 Jefferies & Company, Inc.
02 28-11329 Jefferies Asset Management, LLC
FORM 13F INFORMATION TABLE
VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY
NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
A D C TELECOMMUNICATIONS FRNT 6/1 000886AB7 6776 7000000 PRN SOLE 01 7000000 0 0
A D C TELECOMMUNICATIONS COM NEW 000886309 620 33531 SH SOLE 01 33531 0 0
ABBOTT LABS COM 002824100 1789 33217 SH SOLE 01 33217 0 0
ABERCROMBIE & FITCH CO CL A 002896207 34790 476700 SH SOLE 02 476700 0 0
ABN AMRO HLDG NV SPONSORED ADR 000937102 688 15000 SH SOLE 02 15000 0 0
ACE LTD ORD G0070K103 763 12200 SH SOLE 01 12200 0 0
ACTIVISION INC NEW COM NEW 004930202 410 20800 SH SOLE 01 20800 0 0
ADOBE SYS INC COM 00724F101 5740 134899 SH SOLE 01 134899 0 0
ADVANCED MICRO DEVICES INC COM 007903107 463 32185 SH SOLE 01 32185 0 0
ADVANCED MICRO DEVICES INC COM 007903107 358 25000 SH CALL SOLE 02 25000 0 0
ADVOCAT INC COM 007586100 193 16000 SH SOLE 02 16000 0 0
AES CORP COM 00130H105 1354 63872 SH SOLE 01 63872 0 0
AFFILIATED MANAGERS GROUP COM 008252108 322 2500 SH SOLE 02 2500 0 0
AFFIRMATIVE INS HLDGS INC COM 008272106 336 22000 SH SOLE 01 22000 0 0
AFLAC INC COM 001055102 551 10650 SH SOLE 01 10650 0 0
AGL RES INC COM 001204106 403 10000 SH SOLE 01 10000 0 0
AIR PRODS & CHEMS INC COM 009158106 704 8700 SH SOLE 01 8700 0 0
AIRGAS INC COM 009363102 290 6200 SH SOLE 01 6200 0 0
AKZO NOBEL NV SPONSORED ADR 010199305 230 2668 SH SOLE 01 2668 0 0
ALBERTO CULVER CO NEW COM 013078100 246 9900 SH SOLE 01 9900 0 0
ALCOA INC COM 013817101 9982 249935 SH SOLE 01 249935 0 0
ALEXION PHARMACEUTICALS INC COM 015351109 3186 68195 SH SOLE 01 68195 0 0
ALLEGHENY ENERGY INC COM 017361106 980 18898 SH SOLE 01 18898 0 0
ALLEGHENY TECHNOLOGIES INC COM 01741R102 482 4700 SH SOLE 01 4700 0 0
ALLERGAN INC COM 018490102 1216 21012 SH SOLE 01 21012 0 0
ALLIANCE IMAGING INC COM NEW 018606202 408 43500 SH SOLE 02 43500 0 0
ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 578 42499 SH SOLE 01 42499 0 0
ALTRIA GROUP INC COM 02209S103 847 12100 SH SOLE 01 12100 0 0
AMAZON COM INC NOTE 4.750% 2/0 023135AF3 10233 10000000 PRN SOLE 01 10000000 0 0
AMAZON COM INC COM 023135106 2715 41000 SH SOLE 01 41000 0 0
AMBAC FINL GROUP INC COM 023139108 2264 26500 SH SOLE 01 26500 0 0
AMEREN CORP COM 023608102 534 10900 SH SOLE 01 10900 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 24082 938522 SH SOLE 01 02 938522 0 0
AMERICAN ELEC PWR INC COM 025537101 717 16091 SH SOLE 01 16091 0 0
AMERICAN EXPRESS CO COM 025816109 5518 85700 SH SOLE 01 85700 0 0
AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 576 931000 PRN SOLE 01 931000 0 0
AMERICAN GREETINGS CORP CL A 026375105 285 10500 SH SOLE 01 10500 0 0
AMERICAN TOWER CORP NOTE 3.250% 8/0 029912AK8 1925 555000 PRN SOLE 01 555000 0 0
AMERICREDIT CORP COM 03060R101 293 11000 SH SOLE 01 02 11000 0 0
AMERIPRISE FINL INC COM 03076C106 291 4571 SH SOLE 01 4571 0 0
AMERISOURCEBERGEN CORP COM 03073E105 227 4582 SH SOLE 01 4582 0 0
AMERON INTL INC COM 030710107 204 2200 SH SOLE 01 2200 0 0
AMGEN INC COM 031162100 304 5493 SH SOLE 01 5493 0 0
AMR CORP COM 001765106 1509 57299 SH SOLE 01 57299 0 0
AMSURG CORP COM 03232P405 386 16000 SH SOLE 02 16000 0 0
AMYLIN PHARMACEUTICALS INC COM 032346108 3581 77900 SH SOLE 01 77900 0 0
ANADARKO PETE CORP COM 032511107 891 17079 SH SOLE 01 17079 0 0
ANALOG DEVICES INC COM 032654105 965 25650 SH SOLE 01 02 25650 0 0
ANDERSONS INC COM 034164103 302 6800 SH SOLE 01 6800 0 0
ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 378 10000 SH SOLE 01 10000 0 0
ANNTAYLOR STORES CORP COM 036115103 3539 99297 SH SOLE 01 02 99297 0 0
APACHE CORP COM 037411105 332 4039 SH SOLE 01 4039 0 0
APEX SILVER MINES LTD ORD G04074103 812 39600 SH SOLE 01 39600 0 0
APOGEE ENTERPRISES INC COM 037598109 203 7488 SH SOLE 01 7488 0 0
APPLIED MATLS INC COM 038222105 1801 91028 SH SOLE 01 91028 0 0
APRIA HEALTHCARE GROUP INC NOTE 3.375% 9/0 037933AB4 8397 7957000 PRN SOLE 01 7957000 0 0
APTARGROUP INC COM 038336103 236 6300 SH SOLE 01 6300 0 0
AQUA AMERICA INC COM 03836W103 247 10938 SH SOLE 01 10938 0 0
AQUANTIVE INC COM 03839G105 3956 62000 SH SOLE 02 62000 0 0
ARBOR RLTY TR INC COM 038923108 208 7483 SH SOLE 01 7483 0 0
ARCELOR MITTAL NY REG SH CL A 03937E101 31250 486181 SH SOLE 01 486181 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 313 9500 SH SOLE 01 9500 0 0
ARMOR HOLDINGS INC COM 042260109 869 10000 SH SOLE 02 10000 0 0
ASHLAND INC NEW COM 044209104 435 6777 SH SOLE 01 6777 0 0
ASSISTED LIVING CONCPT NEV N CL A 04544X102 368 34600 SH SOLE 01 02 34600 0 0
AT&T INC COM 00206R102 4974 123029 SH SOLE 01 123029 0 0
ATHEROS COMMUNICATIONS INC COM 04743P108 1313 42768 SH SOLE 01 02 42768 0 0
ATMEL CORP COM 049513104 2839 510400 SH SOLE 01 02 510400 0 0
AU OPTRONICS CORP SPONSORED ADR 002255107 5608 324900 SH SOLE 01 324900 0 0
AUDIOCODES LTD NOTE 2.000%11/0 050732AB2 73 82000 PRN SOLE 01 82000 0 0
AVON PRODS INC COM 054303102 567 15400 SH SOLE 01 15400 0 0
BAIDU COM INC SPON ADR REP A 056752108 1847 11111 SH SOLE 01 11111 0 0
BAKER HUGHES INC COM 057224107 495 5850 SH SOLE 01 5850 0 0
BALL CORP COM 058498106 563 10600 SH SOLE 01 10600 0 0
BANCO BILBAO VIZCAYA ARGENTA SPONSORED ADR 05946K101 188537 7542798 SH SOLE 01 7542798 0 0
BANK NEW YORK INC COM 064057102 229 5502 SH SOLE 01 5502 0 0
BARR PHARMACEUTICALS INC COM 068306109 606 11908 SH SOLE 01 11908 0 0
BAUER EDDIE HLDGS INC COM 071625107 210 15671 SH SOLE 01 15671 0 0
BB&T CORP COM 054937107 430 10510 SH SOLE 01 10510 0 0
BCE INC COM NEW 05534B760 569 15400 SH SOLE 01 15400 0 0
BEA SYS INC COM 073325102 440 32200 SH SOLE 01 32200 0 0
BEA SYS INC COM 073325102 4792 350000 SH CALL SOLE 02 350000 0 0
BEAR STEARNS COS INC COM 073902108 12738 88349 SH SOLE 01 88349 0 0
BEAZER HOMES USA INC COM 07556Q105 419 17000 SH SOLE 01 17000 0 0
BEBE STORES INC COM 075571109 7633 476786 SH SOLE 02 476786 0 0
BECKMAN COULTER INC COM 075811109 227 3500 SH SOLE 01 3500 0 0
BEST BUY INC SDCV 2.250% 1/1 086516AF8 6906 6407000 PRN SOLE 01 6407000 0 0
BEST BUY INC COM 086516101 3312 71600 SH SOLE 01 02 71600 0 0
BIG LOTS INC COM 089302103 583 19628 SH SOLE 01 19628 0 0
BIOGEN IDEC INC COM 09062X103 1304 24304 SH SOLE 01 24304 0 0
BIOMET INC COM 090613100 3098 67800 SH SOLE 01 02 67800 0 0
BIOVAIL CORP COM 09067J109 709 28138 SH SOLE 01 28138 0 0
BJ SVCS CO COM 055482103 223 7520 SH SOLE 01 7520 0 0
BLACK & DECKER CORP COM 091797100 273 3077 SH SOLE 01 3077 0 0
BLACKROCK INC COM 09247X101 579 3700 SH SOLE 01 02 3700 0 0
BLUE COAT SYSTEMS INC COM NEW 09534T508 1408 28431 SH SOLE 01 02 28431 0 0
BOEING CO COM 097023105 239 2500 SH SOLE 01 2500 0 0
BOSTON SCIENTIFIC CORP COM 101137107 3200 203864 SH SOLE 01 203864 0 0
BP PLC SPONSORED ADR 055622104 722 10000 SH SOLE 01 10000 0 0
BRE PROPERTIES INC CL A 05564E106 331 5678 SH SOLE 01 5678 0 0
BRINKER INTL INC COM 109641100 17837 565778 SH SOLE 01 565778 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 631 19894 SH SOLE 01 19894 0 0
BROADCOM CORP CL A 111320107 919 31046 SH SOLE 01 31046 0 0
BRUNSWICK CORP COM 117043109 517 15763 SH SOLE 01 15763 0 0
BUILDING MATLS HLDG CORP COM 120113105 5283 350000 SH SOLE 01 350000 0 0
BURLINGTON NORTHN SANTA FE C COM 12189T104 376 4420 SH SOLE 01 4420 0 0
BUSINESS OBJECTS S A SPONSORED ADR 12328X107 6060 149614 SH SOLE 01 02 149614 0 0
CABOT OIL & GAS CORP COM 127097103 206 5600 SH SOLE 01 5600 0 0
CADENCE DESIGN SYSTEM INC COM 127387108 817 33800 SH SOLE 01 33800 0 0
CAESARS ENTMT INC FRNT 4/1 127687AB7 6733 5000000 PRN SOLE 01 5000000 0 0
CAI INTERNATIONAL INC COM 12477X106 163 12600 SH SOLE 01 12600 0 0
CAMERON INTERNATIONAL CORP COM 13342B105 306 4300 SH SOLE 01 4300 0 0
CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 23 19000 PRN SOLE 01 19000 0 0
CAPITAL ONE FINL CORP COM 14040H105 299 3800 SH SOLE 01 3800 0 0
CAPITAL SR LIVING CORP COM 140475104 378 39400 SH SOLE 01 02 39400 0 0
CARMAX INC COM 143130102 236 9181 SH SOLE 01 9181 0 0
CARNIVAL CORP PAIRED CTF 143658300 1167 48097 SH SOLE 01 48097 0 0
CASCADE CORP COM 147195101 214 2600 SH SOLE 01 2600 0 0
CATERPILLAR INC DEL COM 149123101 731 9324 SH SOLE 01 9324 0 0
CB RICHARD ELLIS GROUP INC CL A 12497T101 517 14103 SH SOLE 01 14103 0 0
CDC CORP SHS A G2022L106 757 90000 SH SOLE 02 90000 0 0
CELGENE CORP COM 151020104 594 10270 SH SOLE 01 10270 0 0
CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 16068 9511000 PRN SOLE 01 9511000 0 0
CENTERPOINT ENERGY INC COM 15189T107 544 31394 SH SOLE 01 31394 0 0
CENTURYTEL INC COM 156700106 372 7579 SH SOLE 01 7579 0 0
CEPHALON INC COM 156708109 359 4551 SH SOLE 01 4551 0 0
CEPHALON INC NOTE 2.000% 6/0 156708AP4 28331 15000000 PRN SOLE 01 15000000 0 0
CF INDS HLDGS INC COM 125269100 265 4800 SH SOLE 01 4800 0 0
CGG VERITAS SPONSORED ADR 204386106 17825 400000 SH SOLE 01 400000 0 0
CHARLOTTE RUSSE HLDG INC COM 161048103 1438 52911 SH SOLE 01 02 52911 0 0
CHARTER COMMUNICATIONS INC D NOTE 5.875%11/1 16117MAE7 8891 5120000 PRN SOLE 01 5120000 0 0
CHEMED CORP NEW COM 16359R103 716 10789 SH SOLE 01 02 10789 0 0
CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 507 500000 PRN SOLE 01 500000 0 0
CHESAPEAKE ENERGY CORP COM 165167107 1143 32700 SH SOLE 01 32700 0 0
CHICAGO MERCANTILE HLDGS INC CL A 167760107 4370 8060 SH SOLE 01 8060 0 0
CHILDRENS PL RETAIL STORES I COM 168905107 13179 255207 SH SOLE 02 255207 0 0
CHIPOTLE MEXICAN GRILL INC CL B 169656204 300 3800 SH SOLE 01 3800 0 0
CHRISTOPHER & BANKS CORP COM 171046105 8500 495600 SH SOLE 02 495600 0 0
CIENA CORP NOTE 3.750% 2/0 171779AA9 937 949000 PRN SOLE 01 949000 0 0
CIENA CORP COM NEW 171779309 1474 43200 SH SOLE 01 43200 0 0
CIGNA CORP COM 125509109 833 15906 SH SOLE 01 15906 0 0
CINCINNATI FINL CORP COM 172062101 292 6687 SH SOLE 01 6687 0 0
CIRCUIT CITY STORE INC COM 172737108 238 15345 SH SOLE 01 15345 0 0
CIT GROUP INC COM 125581108 772 14011 SH SOLE 01 14011 0 0
CITIGROUP INC COM 172967101 18204 341870 SH SOLE 01 341870 0 0
CITIZENS COMMUNICATIONS CO COM 17453B101 504 33100 SH SOLE 01 33100 0 0
CLAUDE RES INC COM 182873109 54 40000 SH SOLE 01 40000 0 0
CLEAR CHANNEL COMMUNICATIONS COM 184502102 303 8100 SH SOLE 01 8100 0 0
CMS ENERGY CORP COM 125896100 462 27096 SH SOLE 01 27096 0 0
COACH INC COM 189754104 667 14070 SH SOLE 01 14070 0 0
COCA COLA CO COM 191216100 335 6400 SH SOLE 01 6400 0 0
COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 368 4870 SH SOLE 01 4870 0 0
COGNOS INC COM 19244C109 1985 50000 SH SOLE 02 50000 0 0
COLGATE PALMOLIVE CO COM 194162103 1423 21900 SH SOLE 01 21900 0 0
COLONIAL BANCGROUP INC COM 195493309 236 9500 SH SOLE 01 9500 0 0
COMERICA INC COM 200340107 215 3600 SH SOLE 01 3600 0 0
COMMERCE BANCORP INC NJ COM 200519106 217 5917 SH SOLE 01 5917 0 0
COMMERCE GROUP INC MASS COM 200641108 232 6800 SH SOLE 01 6800 0 0
COMPANHIA VALE DO RIO DOCE SPONSORED ADR 204412209 5660 124734 SH SOLE 01 124734 0 0
COMTECH GROUP INC COM NEW 205821200 200 11600 SH SOLE 01 11600 0 0
CONAGRA FOODS INC COM 205887102 811 30105 SH SOLE 01 30105 0 0
CONEXANT SYSTEMS INC NOTE 4.000% 3/0 207142AH3 613 700000 PRN SOLE 01 700000 0 0
CONEXANT SYSTEMS INC COM 207142100 4140 3000000 SH SOLE 02 3000000 0 0
CONOCOPHILLIPS COM 20825C104 27364 350000 SH SOLE 01 350000 0 0
CONSOL ENERGY INC COM 20854P109 1379 29702 SH SOLE 01 29702 0 0
CONSOLIDATED EDISON INC COM 209115104 1336 29400 SH SOLE 01 29400 0 0
CONSTELLATION BRANDS INC CL A 21036P108 570 23372 SH SOLE 01 23372 0 0
CONSTELLATION ENERGY GROUP I COM 210371100 1598 18500 SH SOLE 01 18500 0 0
CONVERGYS CORP COM 212485106 303 12500 SH SOLE 01 12500 0 0
CORNELL COMPANIES INC COM 219141108 491 20000 SH SOLE 02 20000 0 0
CORRECTIONS CORP AMER NEW COM NEW 22025Y407 305 4758 SH SOLE 01 4758 0 0
COVANTA HLDG CORP COM 22282E102 3942 157700 SH SOLE 01 157700 0 0
COVENTRY HEALTH CARE INC COM 222862104 1106 19047 SH SOLE 01 19047 0 0
CRAY INC NOTE 3.000%12/0 225223AB2 4958 5375000 PRN SOLE 01 5375000 0 0
CRESUD S A C I F Y A SPONSORED ADR 226406106 41689 1843000 SH SOLE 01 1843000 0 0
CSX CORP DBCV 10/3 126408GA5 666 419000 PRN SOLE 01 419000 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 9602 9725000 PRN SOLE 01 9725000 0 0
CUMMINS INC COM 231021106 293 2900 SH SOLE 01 2900 0 0
CURRENCYSHS JAPANESE YEN TR JAPANESE YEN 23130A102 733 9000 SH SOLE 01 9000 0 0
CVS CAREMARK CORPORATION COM 126650100 687 18844 SH SOLE 01 18844 0 0
CYPRESS SEMICONDUCTOR CORP COM 232806109 4947 226902 SH SOLE 01 226902 0 0
DAVITA INC COM 23918K108 431 8000 SH SOLE 02 8000 0 0
DEERE & CO COM 244199105 800 6651 SH SOLE 01 6651 0 0
DEVELOPERS DIVERSIFIED RLTY COM 251591103 381 7130 SH SOLE 01 7130 0 0
DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 4390 2818000 PRN SOLE 01 2818000 0 0
DEVON ENERGY CORP NEW DEB 4.950% 8/1 25179MAB9 109 70000 PRN SOLE 01 70000 0 0
DIAMOND OFFSHORE DRILLING IN COM 25271C102 565 5750 SH SOLE 01 5750 0 0
DICKS SPORTING GOODS INC NOTE 1.606% 2/1 253393AB8 935 945000 PRN SOLE 01 945000 0 0
DIGENE CORP COM 253752109 1604 26740 SH SOLE 01 02 26740 0 0
DIGITAL RIV INC COM 25388B104 913 20173 SH SOLE 01 02 20173 0 0
DILLARDS INC CL A 254067101 2486 69300 SH SOLE 01 69300 0 0
DIRECTV GROUP INC COM 25459L106 232 9900 SH SOLE 01 9900 0 0
DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 211 175000 PRN SOLE 01 175000 0 0
DOLLAR GEN CORP COM 256669102 261 12100 SH SOLE 01 12100 0 0
DOMINION RES INC VA NEW COM 25746U109 6207 73363 SH SOLE 01 73363 0 0
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 39 32000 PRN SOLE 01 32000 0 0
DOMTAR CORP COM 257559104 817 75000 SH SOLE 01 75000 0 0
DOW CHEM CO COM 260543103 395 8869 SH SOLE 01 8869 0 0
DOWNEY FINL CORP COM 261018105 1599 23060 SH SOLE 01 23060 0 0
DRESS BARN INC COM 261570105 9256 450708 SH SOLE 01 02 450708 0 0
DREW INDS INC COM NEW 26168L205 209 6200 SH SOLE 01 6200 0 0
DST SYS INC DEL COM 233326107 201 2456 SH SOLE 01 2456 0 0
DTE ENERGY CO COM 233331107 1768 36500 SH SOLE 01 36500 0 0
DU PONT E I DE NEMOURS & CO COM 263534109 386 7595 SH SOLE 01 7595 0 0
DUKE ENERGY CORP NEW COM 26441C105 486 26545 SH SOLE 01 26545 0 0
DUNE ENERGY INC COM NEW 265338202 799 373500 SH SOLE 01 373500 0 0
E M C CORP MASS COM 268648102 1476 86600 SH SOLE 01 86600 0 0
E TRADE FINANCIAL CORP COM 269246104 253 11215 SH SOLE 01 11215 0 0
EASTMAN CHEM CO COM 277432100 129312 2020247 SH SOLE 01 2020247 0 0
EASTMAN KODAK CO NOTE 3.375%10/1 277461BE8 1770 1648000 PRN SOLE 01 1648000 0 0
EASTMAN KODAK CO COM 277461109 1573 55850 SH SOLE 01 55850 0 0
EATON CORP COM 278058102 231 2492 SH SOLE 01 2492 0 0
EBAY INC COM 278642103 429 13430 SH SOLE 01 13430 0 0
ECOLAB INC COM 278865100 929 21629 SH SOLE 01 21629 0 0
EDISON INTL COM 281020107 225 4100 SH SOLE 01 4100 0 0
EDWARDS LIFESCIENCES CORP DBCV 3.875% 5/1 28176EAB4 5591 5300000 PRN SOLE 01 5300000 0 0
EL PASO CORP COM 28336L109 426 25000 SH SOLE 01 25000 0 0
ELECTRONIC ARTS INC COM 285512109 1183 25000 SH CALL SOLE 02 25000 0 0
ELECTRONIC ARTS INC COM 285512109 603 12705 SH SOLE 01 12705 0 0
ELECTRONIC DATA SYS NEW COM 285661104 4010 139200 SH SOLE 01 139200 0 0
ELECTRONICS FOR IMAGING INC DBCV 1.500% 6/0 286082AA0 659 567000 PRN SOLE 01 567000 0 0
EMBARQ CORP COM 29078E105 698 11000 SH SOLE 01 11000 0 0
EMCOR GROUP INC COM 29084Q100 246 3400 SH SOLE 01 3400 0 0
EMERSON ELEC CO COM 291011104 1048 22163 SH SOLE 01 22163 0 0
EMPIRE RESORTS INC NOTE 5.500% 7/3 292052AB3 151 150000 PRN SOLE 01 150000 0 0
ENCORE CAP GROUP INC NOTE 3.375% 9/1 292554AB8 273 300000 PRN SOLE 01 300000 0 0
ENCYSIVE PHARMACEUTICALS INC COM 29256X107 281 85200 SH SOLE 01 85200 0 0
ENDEAVOUR INTL CORP COM 29259G101 8936 5561402 SH SOLE 01 5561402 0 0
ENERGIZER HLDGS INC COM 29266R108 273 2749 SH SOLE 01 2749 0 0
ENERGY CONVERSION DEVICES IN COM 292659109 3082 100000 SH SOLE 02 100000 0 0
ENERGY TRANSFER EQUITY L P COM UT LTD PTN 29273V100 251 6100 SH SOLE 01 6100 0 0
ENERSYS COM 29275Y102 472 25800 SH SOLE 01 25800 0 0
ENSCO INTL INC COM 26874Q100 881 14350 SH SOLE 01 14350 0 0
ENTERGY CORP NEW COM 29364G103 627 5862 SH SOLE 01 5862 0 0
ENTERPRISE PRODS PARTNERS L COM 293792107 437 14050 SH SOLE 01 14050 0 0
ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 2716 2500000 PRN SOLE 01 2500000 0 0
EPICOR SOFTWARE CORP NOTE 2.375% 5/1 29426LAA6 515 499000 PRN SOLE 01 499000 0 0
EQUITY INNS INC COM 294703103 217 9612 SH SOLE 01 9612 0 0
EQUITY ONE COM 294752100 283 9800 SH SOLE 01 9800 0 0
EQUITY RESIDENTIAL SH BEN INT 29476L107 237 5200 SH SOLE 01 5200 0 0
ESPEED INC CL A 296643109 414 47926 SH SOLE 02 47926 0 0
EVEREST RE GROUP LTD COM G3223R108 550 5100 SH SOLE 01 5100 0 0
EXPEDITORS INTL WASH INC COM 302130109 215 5131 SH SOLE 01 5131 0 0
EXPRESS SCRIPTS INC COM 302182100 573 11357 SH SOLE 01 11357 0 0
EXTREME NETWORKS INC COM 30226D106 44 10800 SH SOLE 01 10800 0 0
EXXON MOBIL CORP COM 30231G102 219 2600 SH SOLE 01 2600 0 0
FAIRFAX FINL HLDGS LTD DBCV 5.000% 7/1 303901AL6 3216 3000000 PRN SOLE 01 3000000 0 0
FEDERAL HOME LN MTG CORP COM 313400301 680 11200 SH SOLE 01 11200 0 0
FEDERAL NATL MTG ASSN COM 313586109 798 12100 SH SOLE 01 12100 0 0
FEDERATED INVS INC PA CL B 314211103 1568 40050 SH SOLE 01 40050 0 0
FEI CO NOTE 6/1 30241LAD1 5766 4132000 PRN SOLE 01 4132000 0 0
FIBERTOWER CORP NOTE 9.000%11/1 31567RAC4 3989 3660000 PRN SOLE 01 3660000 0 0
FIBERTOWER CORP COM 31567R100 474 108791 SH SOLE 01 108791 0 0
FIDELITY NATL INFORMATION SV COM 31620M106 521 9599 SH SOLE 01 9599 0 0
FIFTH THIRD BANCORP COM 316773100 554 13710 SH SOLE 01 13710 0 0
FINISH LINE INC CL A 317923100 553 60631 SH SOLE 01 02 60631 0 0
FIRST REP BK SAN FRANCISCO COM 336158100 2168 40400 SH SOLE 02 40400 0 0
FIRSTENERGY CORP COM 337932107 719 11102 SH SOLE 01 11102 0 0
FIRSTFED FINL CORP COM 337907109 1914 32700 SH SOLE 01 32700 0 0
FMC TECHNOLOGIES INC COM 30249U101 229 2900 SH SOLE 01 2900 0 0
FORD MTR CO DEL NOTE 4.250%12/1 345370CF5 10408 9000000 PRN SOLE 01 9000000 0 0
FOREST LABS INC COM 345838106 777 17016 SH SOLE 01 17016 0 0
FOREST OIL CORP COM PAR $0.01 346091705 249 5900 SH SOLE 01 5900 0 0
FORMFACTOR INC COM 346375108 1072 28000 SH SOLE 02 28000 0 0
FPL GROUP INC COM 302571104 5183 90543 SH SOLE 01 90543 0 0
FRANKLIN RES INC COM 354613101 878 6620 SH SOLE 01 6620 0 0
FREEDOM ACQUISITION HLDGS IN *W EXP 12/28/201 35645F111 33 10000 SH SOLE 01 10000 0 0
FREEPORT-MCMORAN COPPER & GO PFD CONV 35671D782 5755 51300 SH SOLE 01 51300 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 652 7860 SH SOLE 01 7860 0 0
FRONTIER OIL CORP COM 35914P105 200 4500 SH SOLE 01 4500 0 0
FRONTLINE LTD SHS G3682E127 100340 1263276 SH SOLE 01 1263276 0 0
GAP INC DEL COM 364760108 191 10000 SH CALL SOLE 02 10000 0 0
GATEWAY INC NOTE 1.500%12/3 367626AB4 874 1000000 PRN SOLE 01 1000000 0 0
GATEWAY INC NOTE 2.000%12/3 367626AD0 12693 15464000 PRN SOLE 01 15464000 0 0
GENENTECH INC COM NEW 368710406 3901 51936 SH SOLE 01 51936 0 0
GENERAL DYNAMICS CORP COM 369550108 1489 18953 SH SOLE 01 18953 0 0
GENERAL ELECTRIC CO COM 369604103 22200 587300 SH SOLE 01 587300 0 0
GENERAL MLS INC COM 370334104 2041 34700 SH SOLE 01 34700 0 0
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