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, 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 August 11, 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: 615
Form13F Information Table Value Total: $1,502,923 (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$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
24/7 REAL MEDIA INC COM NEW 901314203 178 20000 SH SOLE 01 20000 0 0
3M CO NOTE 11/2 88579YAB7 25 27000 PRN SOLE 01 27000 0 0
A D C TELECOMMUNICATIONS NOTE 1.000% 6/1 000886AD3 9474 10000000 PRN SOLE 01 10000000 0 0
AASTROM BIOSCIENCES INC COM 00253U107 34 27912 SH SOLE 01 27912 0 0
ABERCROMBIE & FITCH CO CL A 002896207 22092 398500 SH SOLE 01 02 398500 0 0
ACERGY S A SPONSORED ADR 00443E104 545 30496 SH SOLE 01 30496 0 0
ADAPTEC INC NOTE 0.750%12/2 00651FAG3 142 164000 PRN SOLE 01 164000 0 0
ADOBE SYS INC COM 00724F101 447 15200 SH SOLE 01 15200 0 0
ADVANCED DIGITAL INFORMATION COM 007525108 1412 120000 SH SOLE 02 120000 0 0
ADVANCED MICRO DEVICES INC COM 007903107 1773 71700 SH SOLE 01 71700 0 0
ADVANCED SEMICONDUCTOR ENGR SPONSORED ADR 00756M404 253 51000 SH SOLE 01 51000 0 0
AEROPOSTALE COM 007865108 19085 660700 SH SOLE 01 02 660700 0 0
AFFILIATED COMPUTER SERVICES CL A 008190100 324 6600 SH SOLE 01 6600 0 0
AGERE SYS INC NOTE 6.500%12/1 00845VAA8 74 75000 PRN SOLE 01 75000 0 0
AGILENT TECHNOLOGIES INC COM 00846U101 236 7500 SH SOLE 01 7500 0 0
AIRSPAN NETWORKS INC COM 00950H102 189 77900 SH SOLE 01 77900 0 0
ALBEMARLE CORP COM 012653101 338 7100 SH SOLE 01 7100 0 0
ALBERTO CULVER CO COM 013068101 255 5400 SH SOLE 01 5400 0 0
ALCAN INC COM 013716105 492 10000 SH SOLE 01 10000 0 0
ALCOA INC COM 013817101 459 15000 SH SOLE 01 15000 0 0
ALLEGHENY ENERGY INC COM 017361106 1023 28000 SH SOLE 01 28000 0 0
ALLEGHENY TECHNOLOGIES INC COM 01741R102 341 5300 SH SOLE 01 5300 0 0
ALLIED HEALTHCARE INTL INC COM 01923A109 112 41500 SH SOLE 01 41500 0 0
ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 431 39300 SH SOLE 01 39300 0 0
ALLOY INC DBCV 5.375% 8/0 019855AB1 1033 1000000 PRN SOLE 01 1000000 0 0
ALLOY INC NEW COM 019855303 105 10200 SH SOLE 01 10200 0 0
ALMOST FAMILY INC COM 020409108 596 25240 SH SOLE 02 25240 0 0
ALTRIA GROUP INC COM 02209S103 12755 175792 SH SOLE 01 175792 0 0
AMAZON COM INC NOTE 4.750% 2/0 023135AF3 3203 3345000 PRN SOLE 01 3345000 0 0
AMDOCS LTD NOTE 0.500% 3/1 02342TAD1 198 200000 PRN SOLE 01 200000 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 10014 294263 SH SOLE 01 02 294263 0 0
AMERICAN EQTY INVT LIFE HLD COM 025676206 540 49839 SH SOLE 01 49839 0 0
AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 2357 2000000 PRN SOLE 01 2000000 0 0
AMERICAN EXPRESS CO DBCV 1.850%12/0 025816AS8 25583 25008000 PRN SOLE 01 25008000 0 0
AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 66 133000 PRN SOLE 01 133000 0 0
AMERICAN ITALIAN PASTA CO CL A 027070101 101 12000 SH SOLE 01 12000 0 0
AMERICAN PWR CONVERSION CORP COM 029066107 369 19600 SH SOLE 01 19600 0 0
AMERICAN STD COS INC DEL COM 029712106 3983 94600 SH SOLE 01 94600 0 0
AMERIPRISE FINL INC COM 03076C106 236 5507 SH SOLE 01 5507 0 0
AMGEN INC COM 031162100 737 11000 SH SOLE 01 11000 0 0
AMGEN INC NOTE 3/0 031162AL4 2211 3000000 PRN SOLE 01 3000000 0 0
AMICAS INC COM 001712108 99 33118 SH SOLE 01 33118 0 0
AMKOR TECHNOLOGY INC COM 031652100 142 15100 SH SOLE 01 15100 0 0
AMR CORP NOTE 4.500% 2/1 001765BB1 3275 2500000 PRN SOLE 01 2500000 0 0
AMYLIN PHARMACEUTICALS INC NOTE 2.250% 6/3 032346AB4 2922 2000000 PRN SOLE 01 2000000 0 0
ANADARKO PETE CORP COM 032511107 339 7600 SH SOLE 01 7600 0 0
ANALOG DEVICES INC COM 032654105 342 10500 SH SOLE 01 10500 0 0
ANDREW CORP COM 034425108 437 44800 SH SOLE 01 44800 0 0
ANNTAYLOR STORES CORP COM 036115103 9180 211900 SH SOLE 01 02 211900 0 0
ANTIGENICS INC DEL COM 037032109 56 27856 SH SOLE 01 27856 0 0
AON CORP COM 037389103 265 7709 SH SOLE 01 7709 0 0
APACHE CORP COM 037411105 331 5300 SH SOLE 01 5300 0 0
APOGENT TECHNOLOGIES INC DBCV 12/1 03760AAK7 18 13000 PRN SOLE 01 13000 0 0
APPLE COMPUTER INC COM 037833100 2312 40100 SH SOLE 01 40100 0 0
APPLIED DIGITAL SOLUTIONS COM NEW 038188306 49 26700 SH SOLE 01 26700 0 0
APPLIED MATLS INC COM 038222105 271 17000 SH SOLE 01 17000 0 0
ARBINET THEXCHANGE INC COM 03875P100 62 12244 SH SOLE 01 12244 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 1243 29800 SH SOLE 01 29800 0 0
ARIBA INC COM NEW 04033V203 97 11700 SH SOLE 01 11700 0 0
ARMOR HOLDINGS INC NOTE 2.000%11/0 042260AC3 5358 4500000 PRN SOLE 01 4500000 0 0
ARQULE INC COM 04269E107 127 23400 SH SOLE 01 23400 0 0
ASHLAND INC NEW COM 044209104 410 6400 SH SOLE 01 6400 0 0
ASIAINFO HLDGS INC COM 04518A104 98 23700 SH SOLE 01 23700 0 0
ASSURANT INC COM 04621X108 253 5200 SH SOLE 01 5200 0 0
ATARI INC COM 04651M105 30 50000 SH SOLE 01 50000 0 0
AUTOBYTEL INC COM 05275N106 105 33300 SH SOLE 01 33300 0 0
AUTODESK INC COM 052769106 258 7600 SH SOLE 01 7600 0 0
AVALONBAY CMNTYS INC COM 053484101 357 3300 SH SOLE 01 3300 0 0
AVERY DENNISON CORP COM 053611109 296 5100 SH SOLE 01 5100 0 0
AVNET INC DBCV 2.000% 3/1 053807AL7 18 19000 PRN SOLE 01 19000 0 0
AVON PRODS INC COM 054303102 556 18500 SH SOLE 01 18500 0 0
AXCAN PHARMA INC NOTE 4.250% 4/1 054923AB3 1771 1700000 PRN SOLE 01 1700000 0 0
AZTAR CORP COM 054802103 1039 20000 SH SOLE 02 20000 0 0
BALL CORP COM 058498106 410 11430 SH SOLE 01 11430 0 0
BANK OF AMERICA CORPORATION COM 060505104 270 5628 SH SOLE 01 5628 0 0
BARRIER THERAPEUTICS INC COM 06850R108 121 18900 SH SOLE 01 18900 0 0
BAUSCH & LOMB INC FRNT 8/0 071707AM5 2507 2143000 PRN SOLE 01 2143000 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 587 4407 SH SOLE 01 4407 0 0
BEASLEY BROADCAST GROUP INC CL A 074014101 114 16335 SH SOLE 01 16335 0 0
BEAZER HOMES USA INC NOTE 4.625% 6/1 07556QAL9 162 140000 PRN SOLE 01 140000 0 0
BEBE STORES INC COM 075571109 2729 176987 SH SOLE 02 176987 0 0
BELL MICROPRODUCTS INC COM 078137106 106 20200 SH SOLE 01 20200 0 0
BEST BUY INC COM 086516101 759 14700 SH SOLE 01 14700 0 0
BEVERLY HILLS BANCORP DEL COM 087866109 103 11100 SH SOLE 01 11100 0 0
BIG LOTS INC COM 089302103 358 22000 SH SOLE 01 22000 0 0
BIOMARIN PHARMACEUTICAL INC NOTE 2.500% 3/2 09061GAC5 3219 3000000 PRN SOLE 01 3000000 0 0
BIOSCRIP INC COM 09069N108 84 16177 SH SOLE 01 16177 0 0
BJS WHOLESALE CLUB INC COM 05548J106 14768 520900 SH SOLE 02 520900 0 0
BKF CAP GROUP INC COM 05548G102 60 10100 SH SOLE 01 10100 0 0
BLUELINX HLDGS INC COM 09624H109 1819 139500 SH SOLE 01 02 139500 0 0
BOEING CO COM 097023105 232 2800 SH SOLE 01 2800 0 0
BOMBAY CO INC COM 097924104 36 15400 SH SOLE 01 15400 0 0
BORDERS GROUP INC COM 099709107 6484 351200 SH SOLE 01 02 351200 0 0
BRISTOW GROUP INC COM 110394103 219 6130 SH SOLE 01 6130 0 0
BROADCOM CORP CL A 111320107 674 20850 SH SOLE 01 20850 0 0
BROOKS AUTOMATION INC COM 114340102 145 12100 SH SOLE 01 12100 0 0
BRUNSWICK CORP COM 117043109 27126 815800 SH SOLE 01 02 815800 0 0
BRUNSWICK CORP COM 117043109 3095 574000 SH CALL SOLE 02 0 0 0
BUILD A BEAR WORKSHOP COM 120076104 6097 282640 SH SOLE 01 02 282640 0 0
BUILDERS FIRSTSOURCE INC COM 12008R107 24199 1188500 SH SOLE 01 02 1188500 0 0
BUILDING MATLS HLDG CORP COM 120113105 35554 1275800 SH SOLE 01 02 1275800 0 0
BURLINGTON NORTHN SANTA FE C COM 12189T104 3868 51300 SH SOLE 01 51300 0 0
BUSINESS OBJECTS S A SPONSORED ADR 12328X107 280 10100 SH SOLE 01 10100 0 0
C&D TECHNOLOGIES INC COM 124661109 101 13600 SH SOLE 01 13600 0 0
CA INC COM 12673P105 270 12700 SH SOLE 01 12700 0 0
CAESARS ENTMT INC FRNT 4/1 127687AB7 251 191000 PRN SOLE 01 191000 0 0
CALIPER LIFE SCIENCES INC COM 130872104 64 13332 SH SOLE 01 13332 0 0
CAMBRIDGE ANTIBODY TECH GP SPONSORED ADR 132148107 1266 51900 SH SOLE 02 51900 0 0
CAMPBELL SOUP CO COM 134429109 233 6400 SH SOLE 01 6400 0 0
CAPITAL ONE FINL CORP COM 14040H105 1410 16811 SH SOLE 01 16811 0 0
CAPITALSOURCE INC COM 14055X102 350 15300 SH SOLE 01 15300 0 0
CAREMARK RX INC COM 141705103 14676 305600 SH SOLE 01 305600 0 0
CARMAX INC COM 143130102 427 12300 SH SOLE 01 12300 0 0
CARNIVAL CORP DBCV 1.132% 4/2 143658AV4 4527 7000000 PRN SOLE 01 7000000 0 0
CASUAL MALE RETAIL GRP INC NOTE 5.000% 1/0 148711AB0 78 75000 PRN SOLE 01 75000 0 0
CATAPULT COMMUNICATIONS CORP COM 149016107 114 10800 SH SOLE 01 10800 0 0
CATERPILLAR INC DEL COM 149123101 487 6900 SH SOLE 01 6900 0 0
CBRL GROUP INC COM 12489V106 2945 86700 SH SOLE 01 02 86700 0 0
CBRL GROUP INC NOTE 4/0 12489VAB2 14248 30132000 PRN SOLE 01 30132000 0 0
CELL THERAPEUTICS INC COM 150934107 70 50000 SH SOLE 01 50000 0 0
CENTERPOINT ENERGY INC COM 15189T107 2085 168700 SH SOLE 01 168700 0 0
CENTERPOINT ENERGY INC NOTE 2.875% 1/1 15189TAL1 2486 2406000 PRN SOLE 01 2406000 0 0
CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 94 84000 PRN SOLE 01 84000 0 0
CENTURY ALUM CO COM 156431108 308 9300 SH SOLE 01 9300 0 0
CERES GROUP INC COM 156772105 101 16563 SH SOLE 01 16563 0 0
CHARLES & COLVARD LTD COM 159765106 101 10000 SH SOLE 01 10000 0 0
CHARMING SHOPPES INC NOTE 4.750% 6/0 161133AC7 2460 2000000 PRN SOLE 01 2000000 0 0
CHEMED CORP NEW COM 16359R103 207 3800 SH SOLE 02 3800 0 0
CHICOS FAS INC COM 168615102 536 19875 SH SOLE 02 19875 0 0
CHILDRENS PL RETAIL STORES I COM 168905107 468 7800 SH SOLE 02 7800 0 0
CHRISTOPHER & BANKS CORP COM 171046105 9819 338600 SH SOLE 02 338600 0 0
CIENA CORP COM 171779101 1602 367500 SH SOLE 01 367500 0 0
CIENA CORP NOTE 3.750% 2/0 171779AA9 8636 8949000 PRN SOLE 01 8949000 0 0
CIGNA CORP COM 125509109 1852 19386 SH SOLE 01 19386 0 0
CINCINNATI BELL INC NEW COM 171871106 394 101100 SH SOLE 01 101100 0 0
CIRCUIT CITY STORE INC COM 172737108 217 7400 SH SOLE 01 7400 0 0
CISCO SYS INC COM 17275R102 521 26800 SH SOLE 01 26800 0 0
CITIGROUP INC COM 172967101 3083 63946 SH SOLE 01 63946 0 0
CITIZENS COMMUNICATIONS CO COM 17453B101 246 19600 SH SOLE 01 19600 0 0
CITIZENS INC CL A 174740100 76 16100 SH SOLE 01 16100 0 0
CITRIX SYS INC COM 177376100 377 10300 SH SOLE 01 10300 0 0
COACH INC COM 189754104 877 29600 SH SOLE 01 02 29600 0 0
COCA COLA ENTERPRISES INC COM 191219104 386 19300 SH SOLE 01 19300 0 0
COEUR D ALENE MINES CORP IDA COM 192108108 966 200900 SH SOLE 01 200900 0 0
COMMERCE BANCORP INC NJ COM 200519106 741 21400 SH SOLE 01 21400 0 0
COMMTOUCH SOFTWARE LTD ORD M25596103 8 10217 SH SOLE 01 10217 0 0
COMPUWARE CORP COM 205638109 139 19200 SH SOLE 01 19200 0 0
COMSTOCK HOMEBUILDING COS IN CL A 205684103 89 14750 SH SOLE 01 14750 0 0
CON-WAY INC COM 205944101 229 3900 SH SOLE 01 3900 0 0
CONOCOPHILLIPS COM 20825C104 243 3900 SH SOLE 01 3900 0 0
CONSECO INC DBCV 3.500% 9/3 208464BH9 11 10000 PRN SOLE 01 10000 0 0
CONTINENTAL AIRLS INC NOTE 5.000% 6/1 210795PJ3 7337 5000000 PRN SOLE 01 5000000 0 0
CONVERGYS CORP COM 212485106 214 11600 SH SOLE 01 11600 0 0
COOPER INDS LTD CL A G24182100 241 2800 SH SOLE 01 2800 0 0
COOPER TIRE & RUBR CO COM 216831107 197 17600 SH SOLE 01 17600 0 0
COUNTRYWIDE FINANCIAL CORP COM 222372104 227 6118 SH SOLE 01 6118 0 0
COVAD COMMUNICATIONS GROUP I COM 222814204 237 112500 SH SOLE 01 112500 0 0
COVENTRY HEALTH CARE INC COM 222862104 1105 21200 SH SOLE 01 21200 0 0
CREDENCE SYS CORP NOTE 1.500% 5/1 225302AF5 4261 4750000 PRN SOLE 01 4750000 0 0
CRESUD S A C I F Y A SPONSORED ADR 226406106 3688 269757 SH SOLE 01 269757 0 0
CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 259 255000 PRN SOLE 01 255000 0 0
CSK AUTO CORP COM 125965103 1197 100000 SH SOLE 02 100000 0 0
CSX CORP COM 126408103 708 10800 SH SOLE 01 10800 0 0
CUBIST PHARMACEUTICALS INC COM 229678107 651 25875 SH SOLE 01 25875 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 1219 1250000 PRN SOLE 01 1250000 0 0
CUMMINS INC COM 231021106 809 7200 SH SOLE 01 7200 0 0
CURAGEN CORP COM 23126R101 95 28281 SH SOLE 01 28281 0 0
CURIS INC COM 231269101 43 33368 SH SOLE 01 33368 0 0
CYMER INC NOTE 3.500% 2/1 232572AE7 9484 9100000 PRN SOLE 01 9100000 0 0
CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 11209 10250000 PRN SOLE 01 10250000 0 0
CYTYC CORP NOTE 2.250% 3/1 232946AB9 100 100000 PRN SOLE 01 100000 0 0
D R HORTON INC COM 23331A109 340 13300 SH SOLE 01 13300 0 0
DANAHER CORP DEL COM 235851102 398 6300 SH SOLE 01 6300 0 0
DANKA BUSINESS SYS PLC SPONSORED ADR 236277109 54 50000 SH SOLE 01 50000 0 0
DARDEN RESTAURANTS INC COM 237194105 1159 31000 SH SOLE 01 31000 0 0
DAVITA INC COM 23918K108 399 8000 SH SOLE 01 02 8000 0 0
DEERE & CO COM 244199105 983 11600 SH SOLE 01 11600 0 0
DESIGN WITHIN REACH INC COM 250557105 109 16688 SH SOLE 01 16688 0 0
DEUTSCHE TELEKOM AG SPONSORED ADR 251566105 5614 350000 SH SOLE 02 350000 0 0
DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 455 382000 PRN SOLE 01 382000 0 0
DICKS SPORTING GOODS INC NOTE 1.606% 2/1 253393AB8 1505 2000000 PRN SOLE 01 2000000 0 0
DILLARDS INC CL A 254067101 216 7300 SH SOLE 01 7300 0 0
DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 324 289000 PRN SOLE 01 289000 0 0
DOLBY LABORATORIES INC COM 25659T107 298 13300 SH SOLE 01 13300 0 0
DOLLAR GEN CORP COM 256669102 270 18600 SH SOLE 01 18600 0 0
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 1147 1092000 PRN SOLE 01 1092000 0 0
DONNELLEY R R & SONS CO COM 257867101 232 7700 SH SOLE 01 7700 0 0
DORMAN PRODUCTS INC COM 258278100 115 10000 SH SOLE 01 10000 0 0
DOT HILL SYS CORP COM 25848T109 100 30500 SH SOLE 01 30500 0 0
DOV PHARMACEUTICAL INC COM 259858108 67 32774 SH SOLE 01 32774 0 0
DST SYS INC DEL DBCV 4.125% 8/1 233326AB3 96 73000 PRN SOLE 01 73000 0 0
DUSA PHARMACEUTICALS INC COM 266898105 128 23500 SH SOLE 01 23500 0 0
E TRADE FINANCIAL CORP COM 269246104 308 13808 SH SOLE 01 13808 0 0
EARTHLINK INC COM 270321102 2257 261000 SH SOLE 01 02 261000 0 0
EASTMAN CHEM CO COM 277432100 145272 2620800 SH SOLE 01 02 2620800 0 0
EASTMAN CHEM CO COM 277432100 209 32100 SH CALL SOLE 02 0 0 0
EASTMAN KODAK CO NOTE 3.375%10/1 277461BE8 200 203000 PRN SOLE 01 203000 0 0
EBAY INC COM 278642103 826 27600 SH SOLE 01 27600 0 0
ECC CAPITAL CORP COM 26826M108 38 30500 SH SOLE 01 30500 0 0
ECLIPSYS CORP COM 278856109 1558 80449 SH SOLE 01 80449 0 0
EDWARDS AG INC COM 281760108 286 5400 SH SOLE 01 5400 0 0
EL PASO CORP COM 28336L109 380 25100 SH SOLE 01 25100 0 0
ELAN PLC ADR 284131208 263 13996 SH SOLE 01 13996 0 0
ELECTRONIC DATA SYS NEW NOTE 3.875% 7/1 285661AF1 23 23000 PRN SOLE 01 23000 0 0
ELECTRONICS FOR IMAGING INC DBCV 1.500% 6/0 286082AA0 6620 6657000 PRN SOLE 01 6657000 0 0
ELKCORP COM 287456107 1411 50800 SH SOLE 01 02 50800 0 0
EMMIS COMMUNICATIONS CORP PFD CV SER A 291525202 1282 27795 SH SOLE 01 27795 0 0
ENDEAVOUR INTL CORP COM 29259G101 39 16704 SH SOLE 01 16704 0 0
ENTRUST INC COM 293848107 111 33900 SH SOLE 01 33900 0 0
ENZON PHARMACEUTICALS INC COM 293904108 99 13100 SH SOLE 01 13100 0 0
EOG RES INC COM 26875P101 387 6200 SH SOLE 01 6200 0 0
EP MEDSYSTEMS INC COM 26881P103 565 267743 SH SOLE 01 267743 0 0
EPIX PHARMACEUTICALS INC COM 26881Q101 106 25979 SH SOLE 01 25979 0 0
EQUIFAX INC COM 294429105 308 8900 SH SOLE 01 8900 0 0
ESCALA GROUP INC COM 29605W107 86 20200 SH SOLE 01 20200 0 0
ESCHELON TELECOM INC COM 296290109 263 17100 SH SOLE 01 17100 0 0
EUROBANCSHARES INC COM 298716101 111 11800 SH SOLE 01 11800 0 0
EXPEDIA INC DEL *W EXP 02/04/200 30212P121 52 11000 SH SOLE 01 11000 0 0
EXPRESS SCRIPTS INC COM 302182100 1977 28400 SH SOLE 01 28400 0 0
EXXON MOBIL CORP COM 30231G102 681 11200 SH SOLE 01 11200 0 0
FAIR ISAAC CORP NOTE 1.500% 8/1 303250AD6 13803 13730000 PRN SOLE 01 13730000 0 0
FALCONBRIDGE LTD NEW 2005 COM 306104100 476 9006 SH SOLE 02 9006 0 0
FAMILY DLR STORES INC COM 307000109 459 18700 SH SOLE 01 18700 0 0
FEDERATED DEPT STORES INC DE COM 31410H101 19200 524704 SH SOLE 01 02 524704 0 0
FEDERATED INVS INC PA CL B 314211103 366 11606 SH SOLE 01 11606 0 0
FEDEX CORP COM 31428X106 551 4800 SH SOLE 01 4800 0 0
FIDELITY NATL FINL INC COM 316326107 32369 780200 SH SOLE 01 780200 0 0
FIDELITY NATL TITLE GROUP IN CL A 31620R105 10636 487000 SH SOLE 01 487000 0 0
FINISAR NOTE 2.500%10/1 31787AAF8 64 45000 PRN SOLE 01 45000 0 0
FINISH LINE INC CL A 317923100 3549 300000 SH SOLE 02 300000 0 0
FIRST MARBLEHEAD CORP COM 320771108 244 5000 SH SOLE 01 5000 0 0
FLUOR CORP NEW COM 343412102 355 4000 SH SOLE 01 4000 0 0
FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 21 13000 PRN SOLE 01 13000 0 0
FMC TECHNOLOGIES INC COM 30249U101 262 4000 SH SOLE 01 4000 0 0
FOREST LABS INC COM 345838106 659 17500 SH SOLE 01 17500 0 0
FORTUNE BRANDS INC COM 349631101 483 6730 SH SOLE 01 6730 0 0
FRANCE TELECOM SPONSORED ADR 35177Q105 4185 195580 SH SOLE 01 195580 0 0
FREEPORT-MCMORAN COPPER & GO CL B 35671D857 466 9300 SH SOLE 01 9300 0 0
FREESCALE SEMICONDUCTOR INC CL B 35687M206 304 10500 SH SOLE 01 10500 0 0
FX ENERGY INC COM 302695101 112 24400 SH SOLE 01 24400 0 0
GABELLI DIVD & INCOME TR COM 36242H104 241 13000 SH SOLE 01 13000 0 0
GAP INC DEL COM 364760108 488 28000 SH SOLE 01 02 28000 0 0
GATEWAY INC NOTE 1.500%12/3 367626AB4 1448 1880000 PRN SOLE 01 1880000 0 0
GATEWAY INC NOTE 2.000%12/3 367626AD0 6435 9000000 PRN SOLE 01 9000000 0 0
GENE LOGIC INC COM 368689105 19 14000 SH SOLE 02 14000 0 0
GENERAL DYNAMICS CORP COM 369550108 236 3700 SH SOLE 01 3700 0 0
GENERAL MTRS CORP COM 370442105 1728 65300 SH SOLE 01 65300 0 0
GENUINE PARTS CO COM 372460105 226 5300 SH SOLE 01 5300 0 0
GENZYME CORP COM 372917104 3210 53100 SH SOLE 01 53100 0 0
GEORGIA GULF CORP COM PAR $0.01 373200203 1834 56900 SH SOLE 01 56900 0 0
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 251 4500 SH SOLE 01 4500 0 0
GLENAYRE TECHNOLOGIES INC COM 377899109 66 25954 SH SOLE 01 25954 0 0
GLOBAL POWER EQUIPMENT INC COM 37941P108 52 18400 SH SOLE 01 18400 0 0
GLOBETEL COMMUNICATIONS CORP COM NEW 37958F209 19 16601 SH SOLE 01 16601 0 0
GOLDMAN SACHS GROUP INC COM 38141G104 316 2208 SH SOLE 01 2208 0 0
GOODRICH CORP COM 382388106 611 15100 SH SOLE 01 15100 0 0
GOODYEAR TIRE & RUBR CO COM 382550101 413 36000 SH SOLE 01 36000 0 0
GOOGLE INC CL A 38259P508 805 2100 SH SOLE 01 2100 0 0
GOVERNMENT PPTYS TR INC COM 38374W107 110 11800 SH SOLE 01 11800 0 0
GRAFTECH INTL LTD COM 384313102 63 10600 SH SOLE 01 10600 0 0
GRAPHIC PACKAGING CORP DEL COM 388688103 96 25000 SH SOLE 01 25000 0 0
GREENFIELD ONLINE INC COM 395150105 109 15400 SH SOLE 01 15400 0 0
GULFPORT ENERGY CORP COM NEW 402635304 5602 407431 SH SOLE 01 407431 0 0
HALLIBURTON CO COM 406216101 222 3100 SH SOLE 01 3100 0 0
HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 20010 10215000 PRN SOLE 01 10215000 0 0
HANDLEMAN CO DEL COM 410252100 97 12000 SH SOLE 01 12000 0 0
HANOVER COMPRESSOR CO NOTE 4.750% 3/1 410768AC9 48 50000 PRN SOLE 01 50000 0 0
HARBOR ACQUISITION CORPORATI *W EXP 04/25/201 41145X115 3 10000 SH SOLE 01 10000 0 0
HARRAHS ENTMT INC COM 413619107 204 2900 SH SOLE 01 2900 0 0
HARTFORD FINL SVCS GROUP INC COM 416515104 1561 18906 SH SOLE 01 18906 0 0
HASBRO INC COM 418056107 530 28900 SH SOLE 01 28900 0 0
HAYES LEMMERZ INTL INC COM NEW 420781304 88 29400 SH SOLE 01 29400 0 0
HEALTH MGMT ASSOC INC NEW NOTE 1.500% 8/0 421933AF9 7651 7554000 PRN SOLE 01 7554000 0 0
HEALTH NET INC COM 42222G108 564 13100 SH SOLE 01 13100 0 0
HEALTHCARE RLTY TR COM 421946104 320 10000 SH SOLE 01 02 10000 0 0
HESS CORP COM 42809H107 405 8500 SH SOLE 01 8500 0 0
HEWLETT PACKARD CO COM 428236103 457 14200 SH SOLE 01 14200 0 0
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IDEC PHARMACEUTICALS CORP NOTE 2/1 449370AC9 1885 1000000 PRN SOLE 01 1000000 0 0
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INTERNATIONAL GAME TECHNOLOG DBCV 1/2 459902AL6 10 13000 PRN SOLE 01 13000 0 0
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