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 [ 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 May 19, 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: 251
Form13F Information Table Value Total: $654,577 (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 1 429000 0 0
ABERCROMBIE & FITCH CO CL A 002896207 26492 454400 SH SOLE 2 454400 0 0
AEROPOSTALE COM 007865108 5311 176100 SH SOLE 2 176100 0 0
ALLOY INC DBCV 5.375% 8/0 019855AB1 2670 2615000 PRN SOLE 1 2615000 0 0
ALMOST FAMILY INC COM 020409108 506 28387 SH SOLE 2 28387 0 0
ALTRIA GROUP INC COM 02209S103 541 7500 SH SOLE 1 7500 0 0
AMDOCS LTD ORD G02602103 248 7500 SH SOLE 1 7500 0 0
AMERADA HESS CORP COM 023551104 997 7000 SH SOLE 2 7000 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 3333 111606 SH SOLE 2 111606 0 0
AMYLIN PHARMACEUTICALS INC NOTE 2.500% 4/1 032346AD0 137 100000 PRN SOLE 1 100000 0 0
ANHEUSER BUSCH COS INC COM 035229103 1069 25000 SH SOLE 2 25000 0 0
ANNTAYLOR STORES CORP COM 036115103 2402 65300 SH SOLE 2 65300 0 0
AON CORP DBCV 3.500%11/1 037389AT0 27 14000 PRN SOLE 1 14000 0 0
APACHE CORP COM 037411105 1146 17500 SH SOLE 2 17500 0 0
APOGENT TECHNOLOGIES INC DBCV 12/1 03760AAK7 17 13000 PRN SOLE 1 13000 0 0
APPLIED MATLS INC COM 038222105 318 18088 SH SOLE 1 18088 0 0
APPLIED MATLS INC COM 038222105 875 50000 SH SOLE 3 50000 0 0
AQUANTIVE INC COM 03839G105 23802 1025000 SH SOLE 1 1025000 0 0
ARCHSTONE SMITH TR COM 039583109 247 5002 SH SOLE 1 5002 0 0
ARTESYN TECHNOLOGIES INC NOTE 5.500% 8/1 043127AB5 67 50000 PRN SOLE 1 50000 0 0
ASPEN TECHNOLOGY INC COM 045327103 166 13014 SH SOLE 1 13014 0 0
ATMEL CORP SDCV 5/2 049513AE4 487 1000000 PRN SOLE 1 1000000 0 0
AUTOZONE INC COM 053332102 7477 75000 SH SOLE 2 75000 0 0
AVALONBAY CMNTYS INC COM 053484101 708 6500 SH SOLE 1 6500 0 0
AXCAN PHARMA INC COM 054923107 632 47100 SH SOLE 1 47100 0 0
BARR PHARMACEUTICALS INC COM 068306109 1008 15000 SH SOLE 1 15000 0 0
BEA SYS INC NOTE 4.000%12/1 073325AD4 50 50000 PRN SOLE 1 50000 0 0
BEAZER HOMES USA INC NOTE 4.625% 6/1 07556QAL9 195 140000 PRN SOLE 1 140000 0 0
BIG 5 SPORTING GOODS CORP COM 08915P101 490 25000 SH SOLE 2 25000 0 0
BIOMED REALTY TRUST INC COM 09063H107 332 11400 SH SOLE 1 11400 0 0
BJ SVCS CO COM 055482103 1211 35000 SH SOLE 2 35000 0 0
BLOCKBUSTER INC CL A 093679108 993 250000 SH SOLE 2 250000 0 0
BOIS D ARC ENERGY INC COM 09738U103 346 22650 SH SOLE 1 22650 0 0
BOSTON PROPERTIES INC COM 101121101 379 4000 SH SOLE 1 4000 0 0
BOSTON SCIENTIFIC CORP COM 101137107 3418 146700 SH SOLE 1 146700 0 0
BUILD A BEAR WORKSHOP COM 120076104 6861 223840 SH SOLE 2 223840 0 0
BURLINGTON RES INC COM 122014103 1860 20200 SH SOLE 2 20200 0 0
CACHE INC COM NEW 127150308 827 45103 SH SOLE 2 45103 0 0
CAESARS ENTMT INC FRNT 4/1 127687AB7 255 191000 PRN SOLE 1 191000 0 0
CBRL GROUP INC COM 12489V106 7904 180000 SH SOLE 2 180000 0 0
CENTERPOINT ENERGY INC NOTE 2.875% 1/1 15189TAL1 14 13000 PRN SOLE 1 13000 0 0
CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 168 144000 PRN SOLE 1 144000 0 0
CENTURY ALUM CO COM 156431108 304 8100 SH SOLE 1 8100 0 0
CHRISTOPHER & BANKS CORP COM 171046105 8458 364400 SH SOLE 2 364400 0 0
CIENA CORP NOTE 3.750% 2/0 171779AA9 2704 2830000 PRN SOLE 1 2830000 0 0
CITADEL BROADCASTING CORP NOTE 1.875% 2/1 17285TAB2 66 80000 PRN SOLE 1 80000 0 0
CLARIENT INC COM 180489106 38 35000 SH SOLE 1 35000 0 0
COMPUTER NETWORK TECHNOLOGY NOTE 3.000% 2/1 204925AC5 238 245000 PRN SOLE 1 245000 0 0
CONNETICS CORP NOTE 2.000% 3/3 208192AD6 2503 3000000 PRN SOLE 1 3000000 0 0
CREDENCE SYS CORP NOTE 1.500% 5/1 225302AF5 1872 2000000 PRN SOLE 1 2000000 0 0
CROWN MEDIA HLDGS INC CL A 228411104 58 10080 SH SOLE 1 10080 0 0
CRYSTALLEX INTL CORP COM 22942F101 156 54050 SH SOLE 1 54050 0 0
CSX CORP DBCV 10/3 126408GA5 553 516000 PRN SOLE 1 516000 0 0
CYMER INC NOTE 3.500% 2/1 232572AE7 2216 2185000 PRN SOLE 1 2185000 0 0
CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 654 500000 PRN SOLE 1 500000 0 0
DANKA BUSINESS SYS PLC SPONSORED ADR 236277109 70 50000 SH SOLE 3 50000 0 0
DELTA PETE CORP COM NEW 247907207 315 15740 SH SOLE 1 15740 0 0
DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 3748 3275000 PRN SOLE 1 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 1 259000 0 0
DOLLAR GEN CORP COM 256669102 531 30000 SH SOLE 1 30000 0 0
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 418 399000 PRN SOLE 1 399000 0 0
DST SYS INC DEL DBCV 4.125% 8/1 233326AB3 92 73000 PRN SOLE 1 73000 0 0
DU PONT E I DE NEMOURS & CO COM 263534109 636 15000 SH SOLE 1 15000 0 0
DUKE ENERGY CORP NOTE 1.750% 5/1 264399EJ1 18 15000 PRN SOLE 1 15000 0 0
E M C CORP MASS COM 268648102 137 10000 SH SOLE 1 10000 0 0
E M C CORP MASS COM 268648102 695 51000 SH SOLE 3 51000 0 0
E M C CORP MASS NOTE 4.500% 4/0 268648AG7 2120 2000000 PRN SOLE 1 2000000 0 0
E TRADE FINANCIAL CORP NOTE 6.000% 2/0 269246AB0 685 611000 PRN SOLE 1 611000 0 0
EASTMAN KODAK CO NOTE 3.375%10/1 277461BE8 19 18000 PRN SOLE 1 18000 0 0
ECLIPSYS CORP COM 278856109 21946 926814 SH SOLE 1 926814 0 0
EDISON INTL COM 281020107 11653 271700 SH SOLE 1 271700 0 0
ELAN PLC ADR 284131208 191 13996 SH SOLE 1 13996 0 0
ELECTRIC CITY CORP COM 284868106 232 275000 SH SOLE 1 275000 0 0
EMERGENCY MEDICAL SVCS CORP CL A 29100P102 319 24700 SH SOLE 1 24700 0 0
EMPIRE RESORTS INC NOTE 5.500% 7/3 292052AB3 157 250000 PRN SOLE 1 250000 0 0
ENSCO INTL INC COM 26874Q100 4263 90400 SH SOLE 1 90400 0 0
EP MEDSYSTEMS INC COM 26881P103 749 267200 SH SOLE 1 267200 0 0
EQUITY RESIDENTIAL SH BEN INT 29476L107 742 16007 SH SOLE 1 16007 0 0
EURONET WORLDWIDE INC NOTE 3.500%10/1 298736AF6 354 300000 PRN SOLE 1 300000 0 0
EVERGREEN RES INC NOTE 4.750%12/1 299900AB6 341 200000 PRN SOLE 1 200000 0 0
FAIR ISAAC CORP NOTE 1.500% 8/1 303250AD6 1041 1000000 PRN SOLE 1 1000000 0 0
FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 224 3000 SH SOLE 1 3000 0 0
FEDERATED DEPT STORES INC DE COM 31410H101 15242 208800 SH SOLE 2 208800 0 0
FINISAR NOTE 2.500%10/1 31787AAF8 2873 2000000 PRN SOLE 1 2000000 0 0
FINISAR NOTE 5.250%10/1 31787AAC5 505 500000 PRN SOLE 1 500000 0 0
FINISH LINE INC CL A 317923100 2468 150000 SH SOLE 2 150000 0 0
FIRST DATA CORP COM 319963104 929 20000 SH SOLE 1 20000 0 0
FREEPORT-MCMORAN COPPER & GO NOTE 7.000% 2/1 35671DAK1 44 25000 PRN SOLE 1 25000 0 0
GAP INC DEL COM 364760108 2109 112900 SH SOLE 2 112900 0 0
GATEWAY INC NOTE 1.500%12/3 367626AB4 39 55000 PRN SOLE 1 55000 0 0
GENERAL ELECTRIC CO COM 369604103 3542 105000 SH SOLE 01 02 105000 0 0
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 235 4500 SH SOLE 3 4500 0 0
GLOBALSANTAFE CORP SHS G3930E101 387 6500 SH SOLE 1 6500 0 0
GMH CMNTYS TR COM 36188G102 491 40400 SH SOLE 1 40400 0 0
GOODYEAR TIRE & RUBR CO COM 382550101 969 70600 SH SOLE 1 70600 0 0
GTECH HLDGS CORP COM 400518106 674 20000 SH SOLE 1 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 1 439799 0 0
HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 229 123000 PRN SOLE 1 123000 0 0
HANDLEMAN CO DEL COM 410252100 1680 175000 SH SOLE 2 175000 0 0
HANOVER COMPRESSOR CO NOTE 4.750% 3/1 410768AC9 28 30000 PRN SOLE 1 30000 0 0
HEALTH MGMT ASSOC INC NEW CL A 421933102 217 10000 SH SOLE 1 10000 0 0
HEALTHCARE RLTY TR COM 421946104 262 7000 SH SOLE 2 7000 0 0
HEINZ H J CO COM 423074103 5688 150000 SH SOLE 2 150000 0 0
HEWLETT PACKARD CO NOTE 10/1 428236AC7 37 58000 PRN SOLE 1 58000 0 0
HILTON HOTELS CORP COM 432848109 334 13085 SH SOLE 1 13085 0 0
HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 2577 2176000 PRN SOLE 1 2176000 0 0
HORACE MANN EDUCATORS CORP N NOTE 1.425% 5/1 440327AG9 106 229000 PRN SOLE 1 229000 0 0
HOST MARRIOTT CORP NEW COM 44107P104 531 25000 SH SOLE 1 25000 0 0
HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 1076 2350000 PRN SOLE 1 2350000 0 0
HUNTSMAN CORP COM 447011107 1598 78280 SH SOLE 1 78280 0 0
HUTCHINSON TECHNOLOGY INC NOTE 2.250% 3/1 448407AE6 431 410000 PRN SOLE 1 410000 0 0
ICOS CORP NOTE 2.000% 7/0 449295AB0 10 12000 PRN SOLE 1 12000 0 0
IDEC PHARMACEUTICALS CORP NOTE 2/1 449370AC9 1909 1000000 PRN SOLE 1 1000000 0 0
INCO LTD NOTE 3/2 453258AM7 553 432300 PRN SOLE 1 432300 0 0
INCO LTD SDCV 3.500% 3/1 453258AR6 75 40100 PRN SOLE 1 40100 0 0
INTERNATIONAL GAME TECHNOLOG DBCV 1/2 459902AL6 10 13000 PRN SOLE 1 13000 0 0
INTERNATIONAL RECTIFIER CORP NOTE 4.250% 7/1 460254AE5 295 301000 PRN SOLE 1 301000 0 0
INTERSTATE HOTELS & RESRTS I COM 46088S106 157 31000 SH SOLE 1 31000 0 0
INTL PAPER CO DBCV 6/2 460146BM4 197 350000 PRN SOLE 1 350000 0 0
INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 875 999000 PRN SOLE 1 999000 0 0
ISHARES INC MSCI JAPAN 464286848 306 22430 SH SOLE 1 22430 0 0
ISHARES TR MSCI EMERG MKT 464287234 990 10000 SH SOLE 3 10000 0 0
JAPAN SMALLER CAPTLZTN FD IN COM 47109U104 331 20000 SH SOLE 3 20000 0 0
JP MORGAN CHASE & CO COM 46625H100 388 9291 SH SOLE 1 9291 0 0
JUNIPER NETWORKS INC COM 48203R104 1579 80700 SH SOLE 1 80700 0 0
KELLWOOD CO DBCV 3.500% 6/1 488044AF5 1334 1515000 PRN SOLE 1 1515000 0 0
KFX INC COM 48245L107 5763 322420 SH SOLE 1 322420 0 0
KOHLS CORP COM 500255104 27533 519400 SH SOLE 2 519400 0 0
KOS PHARMACEUTICALS INC COM 500648100 4045 92202 SH SOLE 1 92202 0 0
KRISPY KREME DOUGHNUTS INC COM 501014104 14144 1575000 SH SOLE 2 1575000 0 0
LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAC6 107 136000 PRN SOLE 1 136000 0 0
LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 6317 4620000 PRN SOLE 1 4620000 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 5.250%12/1 52729NBF6 7013 5250000 PRN SOLE 1 5250000 0 0
LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 30 40000 PRN SOLE 1 40000 0 0
LIBERTY MEDIA CORP NEW DEB 0.750% 3/3 530718AF2 13 12000 PRN SOLE 1 12000 0 0
LIBERTY PPTY TR SH BEN INT 531172104 507 11000 SH SOLE 1 11000 0 0
LITHIA MTRS INC NOTE 2.875% 5/0 536797AB9 380 390000 PRN SOLE 1 390000 0 0
LOCKHEED MARTIN CORP DBCV 8/1 539830AP4 46 40000 PRN SOLE 1 40000 0 0
LOWES COS INC COM 548661107 693 10500 SH SOLE 1 10500 0 0
LOWES COS INC NOTE 0.861%10/1 548661CG0 937 787000 PRN SOLE 1 787000 0 0
LSI LOGIC CORP NOTE 4.000% 5/1 502161AJ1 103 100000 PRN SOLE 1 100000 0 0
LTX CORP NOTE 4.250% 8/1 502392AE3 498 500000 PRN SOLE 1 500000 0 0
MASCO CORP NOTE 7/2 574599BB1 88 191000 PRN SOLE 1 191000 0 0
MAVERICK TUBE CORP NOTE 4.000% 6/1 577914AB0 2704 1500000 PRN SOLE 1 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 1 115000 0 0
MEDIMMUNE INC NOTE 1.000% 7/1 584699AE2 1129 1148000 PRN SOLE 1 1148000 0 0
MEDTRONIC INC COM 585055106 321 6187 SH SOLE 1 6187 0 0
MEDTRONIC INC DBCV 1.250% 9/1 585055AD8 2286 2283000 PRN SOLE 1 2283000 0 0
MENS WEARHOUSE INC NOTE 3.125%10/1 587118AC4 1320 1000000 PRN SOLE 1 1000000 0 0
MERISTAR HOSPITALITY CORP NOTE 9.500% 4/0 58984YAJ2 146 140000 PRN SOLE 1 140000 0 0
METLIFE INC COM 59156R108 202 4020 SH SOLE 1 4020 0 0
MICRON TECHNOLOGY INC COM 595112103 589 40000 SH SOLE 3 40000 0 0
MORGAN STANLEY ASIA PAC FD I COM 61744U106 336 20000 SH SOLE 3 20000 0 0
MOSAIC CO COM 61945A107 468 32700 SH SOLE 1 32700 0 0
MOTOROLA INC COM 620076109 414 18387 SH SOLE 1 18387 0 0
NABORS INDS INC NOTE 6/1 629568AL0 1097 1000000 PRN SOLE 1 1000000 0 0
NASH FINCH CO FRNT 1.631% 3/1 631158AD4 570 1401000 PRN SOLE 1 1401000 0 0
NATIONAL HEALTHCARE CORP COM 635906100 373 9300 SH SOLE 2 9300 0 0
NATROL INC COM 638789107 1286 829950 SH SOLE 1 829950 0 0
NETWORK EQUIP TECHNOLOGIES SDCV 7.250% 5/1 641208AA1 84 100000 PRN SOLE 1 100000 0 0
NEW YORK & CO INC COM 649295102 263 17600 SH SOLE 2 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 1 29936 0 0
NOBILITY HOMES INC COM 654892108 354 14000 SH SOLE 1 14000 0 0
NRG ENERGY INC COM NEW 629377508 564 12900 SH SOLE 1 12900 0 0
NUCRYST PHARMACEUTICALS CORP COM 67035Q100 657 67625 SH SOLE 1 67625 0 0
OCCIDENTAL PETE CORP DEL COM 674599105 1062 11300 SH SOLE 1 11300 0 0
OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 2043 2050000 PRN SOLE 1 2050000 0 0
OIL SVC HOLDRS TR DEPOSTRY RCPT 678002106 341 2502 SH SOLE 1 2502 0 0
OMI CORP NOTE 2.875%12/0 670874AF3 2708 3000000 PRN SOLE 1 3000000 0 0
OMNICARE INC COM 681904108 275 5000 SH SOLE 2 5000 0 0
OMNICARE INC DBCV 3.250%12/1 681904AL2 115 111000 PRN SOLE 1 111000 0 0
OPEN SOLUTIONS INC NOTE 1.467% 2/0 68371PAB8 116 200000 PRN SOLE 1 200000 0 0
OUTBACK STEAKHOUSE INC COM 689899102 2860 65000 SH SOLE 2 65000 0 0
PACIFIC SUNWEAR CALIF INC COM 694873100 3785 170815 SH SOLE 2 170815 0 0
PANAMSAT HLDG CORP COM 69831Y105 5796 230000 SH SOLE 1 230000 0 0
PER-SE TECHNOLOGIES INC SDCV 3.250% 6/3 713569AB7 152 100000 PRN SOLE 1 100000 0 0
PFIZER INC COM 717081103 431 17300 SH SOLE 3 17300 0 0
PG&E CORP COM 69331C108 9717 241600 SH SOLE 1 241600 0 0
PROLOGIS SH BEN INT 743410102 1060 20006 SH SOLE 1 20006 0 0
PUBLIC STORAGE INC COM 74460D109 1960 24002 SH SOLE 1 24002 0 0
QUANTA SVCS INC NOTE 4.000% 7/0 74762EAA0 10 10000 PRN SOLE 1 10000 0 0
QUINTANA MARITIME LTD SHS Y7169G109 206 22600 SH SOLE 1 22600 0 0
QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 460 365000 PRN SOLE 1 365000 0 0
RADIOSHACK CORP COM 750438103 1923 100000 SH SOLE 2 100000 0 0
RED ROBIN GOURMET BURGERS IN COM 75689M101 4720 100000 SH SOLE 2 100000 0 0
RETAIL VENTURES INC COM 76128Y102 487 33200 SH SOLE 2 33200 0 0
RF MICRODEVICES INC NOTE 1.500% 7/0 749941AE0 210 200000 PRN SOLE 1 200000 0 0
RHODIA SPONSORED ADR 762397107 1611 653000 SH SOLE 1 653000 0 0
ROBBINS & MYERS INC NOTE 8.000% 1/3 770196AB9 417 932000 PRN SOLE 1 932000 0 0
RURAL CELLULAR CORP CL A 781904107 513 35930 SH SOLE 1 35930 0 0
SALOMON BROTHERS FD INC COM 795477108 305 19500 SH SOLE 3 19500 0 0
SANOFI AVENTIS SPONSORED ADR 80105N105 222 4800 SH SOLE 1 4800 0 0
SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 511 314000 PRN SOLE 1 314000 0 0
SCHLUMBERGER LTD DBCV 2.125% 6/0 806857AD0 886 586000 PRN SOLE 1 586000 0 0
SCI SYS INC NOTE 3.000% 3/1 783890AF3 33 35000 PRN SOLE 1 35000 0 0
SEACOR HOLDINGS INC DBCV 2.875%12/1 811904AJ0 1178 1000000 PRN SOLE 1 1000000 0 0
SEARS HLDGS CORP COM 812350106 265 1990 SH SOLE 1 1990 0 0
SERACARE LIFE SCIENCES INC COM 81747Q100 21 10410 SH SOLE 1 10410 0 0
SFBC INTL INC NOTE 2.250% 8/1 784121AB1 217 250000 PRN SOLE 1 250000 0 0
SHIRE PLC SPONSORED ADR 82481R106 443 9217 SH SOLE 1 9217 0 0
SHOE PAVILION INC COM 824894109 316 35655 SH SOLE 2 35655 0 0
SILICONWARE PRECISION INDS L SPONSD ADR SPL 827084864 166 25800 SH SOLE 3 25800 0 0
SIMON PPTY GROUP INC NEW COM 828806109 836 10002 SH SOLE 1 10002 0 0
SINCLAIR BROADCAST GROUP INC CL A 829226109 192 25000 SH SOLE 1 25000 0 0
SKECHERS U S A INC NOTE 4.500% 4/1 830566AB1 165 162000 PRN SOLE 1 162000 0 0
SKYWORKS SOLUTIONS INC NOTE 4.750%11/1 83088MAB8 291 296000 PRN SOLE 1 296000 0 0
SMITH & WESSON HLDG CORP COM 831756101 290 45000 SH SOLE 1 45000 0 0
ST JUDE MED INC DBCV 2.800%12/1 790849AB9 444 450000 PRN SOLE 1 450000 0 0
STANDARD MTR PRODS INC SDCV 6.750% 7/1 853666AB1 77 90000 PRN SOLE 1 90000 0 0
STREETTRACKS GOLD TR GOLD SHS 863307104 39580 681600 SH SOLE 01 02 681600 0 0
STREETTRACKS GOLD TR GOLD SHS 863307104 709 12200 SH SOLE 3 12200 0 0
SUNCOM WIRELESS HLDGS INC CL A 86722Q108 448 212800 SH SOLE 1 212800 0 0
SUNSTONE HOTEL INVS INC NEW COM 867892101 648 22100 SH SOLE 1 22100 0 0
SUPERVALU INC NOTE 11/0 868536AP8 1819 5436000 PRN SOLE 1 5436000 0 0
SYBASE INC COM 871130100 608 28500 SH SOLE 1 28500 0 0
TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 133 13700 SH SOLE 1 13700 0 0
TARGET CORP COM 87612E106 7802 150000 SH SOLE 2 150000 0 0
TATA MTRS LTD SPONSORED ADR 876568502 1292 62000 SH SOLE 3 62000 0 0
TAUBMAN CTRS INC COM 876664103 436 10300 SH SOLE 1 10300 0 0
TEEKAY SHIPPING MARSHALL ISL COM Y8564W103 1156 29700 SH SOLE 1 29700 0 0
THERMO ELECTRON CORP SDCV 3.250%11/0 883556AJ1 20 20000 PRN SOLE 1 20000 0 0
TIME WARNER INC COM 887317105 1679 100000 SH SOLE 2 100000 0 0
TJX COS INC NEW COM 872540109 228 9200 SH SOLE 2 9200 0 0
TOO INC COM 890333107 12352 359600 SH SOLE 2 359600 0 0
TRANSMONTAIGNE INC COM 893934109 1928 196700 SH SOLE 1 196700 0 0
TRIAD HOSPITALS INC COM 89579K109 251 6000 SH SOLE 2 6000 0 0
TRIZEC PROPERTIES INC COM 89687P107 651 25100 SH SOLE 1 25100 0 0
TTI TEAM TELECOM INTL LTD ORD M88258104 289 75000 SH SOLE 1 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
UNITED UTILS PLC SPONSORED ADR 91311Q105 222 9164 SH SOLE 3 9164 0 0
VAALCO ENERGY INC COM NEW 91851C201 72 10968 SH SOLE 1 10968 0 0
VALASSIS COMMUNICATIONS INC NOTE 1.625% 5/2 918866AK0 1406 2250000 PRN SOLE 1 2250000 0 0
VALUEVISION MEDIA INC CL A 92047K107 426 34000 SH SOLE 1 34000 0 0
VECTOR GROUP LTD COM 92240M108 28590 1500000 SH SOLE 2 1500000 0 0
VECTOR GROUP LTD COM 92240M108 57575 3020750 SH SOLE 3 3020750 0 0
VECTOR GROUP LTD NOTE 5.000%11/1 92240MAE8 272 216000 PRN SOLE 1 216000 0 0
VECTOR GROUP LTD NOTE 6.250% 7/1 92240MAC2 2104 2191000 PRN SOLE 1 2191000 0 0
VERIZON GLOBAL FDG CORP NOTE 5/1 92344GAN6 344 545000 PRN SOLE 1 545000 0 0
VORNADO RLTY TR SH BEN INT 929042109 760 8003 SH SOLE 1 8003 0 0
W P CAREY & CO LLC COM 92930Y107 302 10900 SH SOLE 1 10900 0 0
WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 93 100000 PRN SOLE 1 100000 0 0
WELLPOINT INC COM 94973V107 2109 27318 SH SOLE 1 27318 0 0
WILSON GREATBATCH TECHNOLOGI SDCV 2.250% 6/1 972232AB8 1934 2266000 PRN SOLE 1 2266000 0 0
WYNN RESORTS LTD DBCV 6.000% 7/1 983134AB3 1618 558000 PRN SOLE 1 558000 0 0
ZALE CORP NEW COM 988858106 84090 300000 SH SOLE 2 300000 0 0