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
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