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, 2008
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: 520 Madison Ave., 12th Floor
New York, NY 10022
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: Roland Kelly
Title: Assistant Secretary
Phone: 310- 914-1373
Signature, Place, and Date of Signing:
/s/ Roland Kelly Los Angeles, CA August 14, 2008
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: 851
Form13F Information Table Value Total: $1,590,826 (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
04 28-13012 Jefferies High Yield Trading, 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 1584 29908 SH SOLE 01 29908 0 0
ABERCROMBIE & FITCH CO CL A 002896207 11854 189108 SH SOLE 01 02 189108 0 0
ABERCROMBIE & FITCH CO CL A 002896207 1254 20000 SH CALL SOLE 02 20000 0 0
ACCENTURE LTD BERMUDA CL A G1150G111 1108 27200 SH SOLE 01 27200 0 0
ACORDA THERAPEUTICS INC COM 00484M106 1477 45000 SH SOLE 02 45000 0 0
ACORDA THERAPEUTICS INC COM 00484M106 529 16100 SH PUT SOLE 02 16100 0 0
ACTIVISION INC NEW COM NEW 004930202 370 10856 SH SOLE 01 10856 0 0
ADAPTEC INC NOTE 0.750%12/2 00651FAG3 256 262000 PRN SOLE 01 262000 0 0
ADVANCED MEDICAL OPTICS INC COM 00763M108 187 10000 SH SOLE 02 10000 0 0
ADVANCED MEDICAL OPTICS INC NOTE 2.500% 7/1 00763MAG3 2762 3040000 PRN SOLE 01 3040000 0 0
ADVOCAT INC COM 007586100 134 12400 SH SOLE 02 12400 0 0
AEP INDS INC COM 001031103 3821 220000 SH SOLE 01 220000 0 0
AEROPOSTALE COM 007865108 8067 257490 SH SOLE 02 257490 0 0
AEROPOSTALE COM 007865108 336 10713 SH CALL SOLE 01 02 10713 0 0
AFFYMETRIX INC NOTE 3.500% 1/1 00826TAG3 37 45000 PRN SOLE 01 45000 0 0
AFLAC INC COM 001055102 1201 19131 SH SOLE 01 19131 0 0
AGCO CORP NOTE 1.250%12/1 001084AM4 51 35000 PRN SOLE 01 35000 0 0
AGERE SYS INC NOTE 6.500%12/1 00845VAA8 68 67000 PRN SOLE 01 67000 0 0
AGNICO EAGLE MINES LTD COM 008474108 558 7500 SH SOLE 01 7500 0 0
AIR PRODS & CHEMS INC COM 009158106 1036 10484 SH SOLE 01 10484 0 0
AK STL HLDG CORP COM 001547108 15005 217466 SH SOLE 01 217466 0 0
AK STL HLDG CORP COM 001547108 269 3902 SH CALL SOLE 01 3902 0 0
ALBEMARLE CORP COM 012653101 343 8600 SH SOLE 01 8600 0 0
ALCOA INC COM 013817101 1048 29421 SH SOLE 01 29421 0 0
ALEXION PHARMACEUTICALS INC COM 015351109 1086 14981 SH SOLE 01 14981 0 0
ALIGN TECHNOLOGY INC COM 016255101 1100 104900 SH SOLE 01 02 104900 0 0
ALLEGHENY ENERGY INC COM 017361106 792 15803 SH SOLE 01 15803 0 0
ALLEGHENY TECHNOLOGIES INC COM 01741R102 760 12819 SH SOLE 01 12819 0 0
ALLERGAN INC COM 018490102 1714 32926 SH SOLE 01 32926 0 0
ALLIANCE IMAGING INC COM NEW 018606202 88 10197 SH SOLE 02 10197 0 0
ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 4706 3545000 PRN SOLE 01 3545000 0 0
ALLOS THERAPEUTICS INC COM 019777101 691 100000 SH SOLE 02 100000 0 0
ALLSTATE CORP COM 020002101 520 11400 SH SOLE 01 11400 0 0
ALPHATEC HOLDINGS INC COM 02081G102 408 100000 SH SOLE 02 100000 0 0
ALTERA CORP COM 021441100 1599 77228 SH SOLE 01 77228 0 0
ALTRIA GROUP INC COM 02209S103 1495 72737 SH SOLE 01 72737 0 0
AMAG PHARMACEUTICALS INC COM 00163U106 818 23997 SH SOLE 01 23997 0 0
AMAZON COM INC COM 023135106 438 5969 SH SOLE 01 5969 0 0
AMB PROPERTY CORP COM 00163T109 302 5992 SH SOLE 01 5992 0 0
AMDOCS LTD NOTE 0.500% 3/1 02342TAD1 304 310000 PRN SOLE 01 310000 0 0
AMEREN CORP COM 023608102 781 18499 SH SOLE 01 18499 0 0
AMERICAN AXLE & MFG HLDGS IN COM 024061103 134 16800 SH SOLE 01 16800 0 0
AMERICAN CAPITAL STRATEGIES COM 024937104 1563 65759 SH SOLE 01 65759 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 17896 1313022 SH SOLE 02 1313022 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 1363 100000 SH CALL SOLE 02 100000 0 0
AMERICAN ELEC PWR INC COM 025537101 646 16057 SH SOLE 01 16057 0 0
AMERICAN EXPRESS CO COM 025816109 454 12040 SH SOLE 01 12040 0 0
AMERICAN INTL GROUP INC COM 026874107 2401 90738 SH SOLE 01 90738 0 0
AMERICAN INTL GROUP INC UNIT 99/99/9999 026874115 1415 23700 SH SOLE 01 23700 0 0
AMERICAN PUBLIC EDUCATION IN COM 02913V103 539 13800 SH SOLE 01 13800 0 0
AMERICAN SUPERCONDUCTOR CORP COM 030111108 233 6500 SH SOLE 01 6500 0 0
AMERICREDIT CORP NOTE 1.750%11/1 03060RAM3 3101 3375000 PRN SOLE 01 3375000 0 0
AMERICREDIT CORP NOTE 0.750% 9/1 03060RAP6 3565 5750000 PRN SOLE 01 5750000 0 0
AMERICREDIT CORP COM 03060R101 190 22000 SH SOLE 01 22000 0 0
AMERICREDIT CORP NOTE 2.125% 9/1 03060RAR2 8260 14000000 PRN SOLE 01 14000000 0 0
AMERIPRISE FINL INC COM 03076C106 1068 26267 SH SOLE 01 02 26267 0 0
AMERISOURCEBERGEN CORP COM 03073E105 1956 48906 SH SOLE 01 02 48906 0 0
AMERON INTL INC COM 030710107 468 3900 SH SOLE 01 3900 0 0
AMETEK INC NEW COM 031100100 252 5342 SH SOLE 01 5342 0 0
ANADARKO PETE CORP COM 032511107 1444 19301 SH SOLE 01 19301 0 0
ANALOG DEVICES INC COM 032654105 486 15300 SH SOLE 01 15300 0 0
ANGLOGOLD ASHANTI LTD RIGHT 06/23/2008 035128115 87 15000 SH SOLE 01 15000 0 0
ANHEUSER BUSCH COS INC COM 035229103 390 6274 SH SOLE 01 6274 0 0
ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 166 151000 PRN SOLE 01 151000 0 0
ANNALY CAP MGMT INC COM 035710409 437 28144 SH SOLE 01 28144 0 0
ANNTAYLOR STORES CORP COM 036115103 1563 65200 SH SOLE 01 02 65200 0 0
ANTHRACITE CAP INC COM 037023108 92 13000 SH SOLE 01 13000 0 0
APACHE CORP COM 037411105 880 6330 SH SOLE 01 6330 0 0
APOGEE ENTERPRISES INC COM 037598109 186 11488 SH SOLE 01 11488 0 0
APOLLO GROUP INC CL A 037604105 507 11457 SH SOLE 01 11457 0 0
APOLLO GROUP INC CL A 037604105 576 13017 SH CALL SOLE 01 13017 0 0
APOLLO GROUP INC CL A 037604105 598 13507 SH PUT SOLE 01 13507 0 0
APOLLO INVT CORP COM 03761U106 172 12000 SH SOLE 01 12000 0 0
APPLERA CORP COM AP BIO GRP 038020103 317 9477 SH SOLE 01 9477 0 0
APPLIED MATLS INC COM 038222105 1079 56526 SH SOLE 01 56526 0 0
ARACRUZ CELULOSE S A SPON ADR PFD B 038496204 228 3100 SH SOLE 01 3100 0 0
ARDEA BIOSCIENCES INC COM 03969P107 308 24000 SH SOLE 02 24000 0 0
ARKANSAS BEST CORP DEL COM 040790107 245 6700 SH SOLE 01 6700 0 0
ARVINMERITOR INC COM 043353101 423 33906 SH SOLE 01 33906 0 0
ASA LIMITED COM G3156P103 423 5000 SH SOLE 01 5000 0 0
ASHLAND INC NEW COM 044209104 3071 63721 SH SOLE 01 63721 0 0
ASM INTL N V COM N07045102 17005 566831 SH SOLE 01 566831 0 0
ASPENBIO PHARMA INC COM 045346103 115 17960 SH SOLE 01 17960 0 0
ASSURANT INC COM 04621X108 502 7609 SH SOLE 01 7609 0 0
ASTORIA FINL CORP COM 046265104 267 13300 SH SOLE 01 13300 0 0
ASTRAZENECA PLC SPONSORED ADR 046353108 366 8600 SH SOLE 01 8600 0 0
AT&T INC COM 00206R102 6461 191783 SH SOLE 01 191783 0 0
AT&T INC COM 00206R102 447 13256 SH CALL SOLE 01 13256 0 0
AT&T INC COM 00206R102 437 12957 SH PUT SOLE 01 12957 0 0
ATLAS AIR WORLDWIDE HLDGS IN COM NEW 049164205 5091 102940 SH SOLE 01 102940 0 0
ATLAS PIPELINE PARTNERS LP UNIT L P INT 049392103 223 5700 SH SOLE 01 5700 0 0
ATMOS ENERGY CORP COM 049560105 524 19000 SH SOLE 01 19000 0 0
ATWOOD OCEANICS INC COM 050095108 398 3200 SH SOLE 01 3200 0 0
AUTODESK INC COM 052769106 537 15893 SH SOLE 01 15893 0 0
AUTOLIV INC COM 052800109 303 6500 SH SOLE 01 6500 0 0
AUTONATION INC COM 05329W102 1200 119714 SH SOLE 01 119714 0 0
AUTOZONE INC COM 053332102 287 2373 SH SOLE 01 2373 0 0
AVENTINE RENEWABLE ENERGY COM 05356X403 49 11100 SH SOLE 01 11100 0 0
AVERY DENNISON CORP COM 053611109 1150 26167 SH SOLE 01 26167 0 0
AVON PRODS INC COM 054303102 202 5601 SH SOLE 01 5601 0 0
AXCELIS TECHNOLOGIES INC COM 054540109 73 15000 SH SOLE 01 15000 0 0
AZZ INC COM 002474104 742 18600 SH SOLE 01 18600 0 0
BAKER HUGHES INC COM 057224107 1851 21190 SH SOLE 01 21190 0 0
BALL CORP COM 058498106 2308 48353 SH SOLE 01 48353 0 0
BANCORPSOUTH INC COM 059692103 751 42921 SH SOLE 01 02 42921 0 0
BANK OF AMERICA CORPORATION COM 060505104 2416 101200 SH SOLE 01 101200 0 0
BANK OF NEW YORK MELLON CORP COM 064058100 250 6601 SH SOLE 01 6601 0 0
BARCLAYS PLC ADR 06738E204 317 13700 SH SOLE 01 13700 0 0
BARD C R INC COM 067383109 1289 14658 SH SOLE 01 14658 0 0
BARE ESCENTUALS INC COM 067511105 223 11920 SH SOLE 01 11920 0 0
BARRICK GOLD CORP COM 067901108 678 14900 SH SOLE 01 14900 0 0
BAXTER INTL INC COM 071813109 953 14900 SH SOLE 01 14900 0 0
BB&T CORP COM 054937107 888 38995 SH SOLE 01 38995 0 0
BB&T CORP COM 054937107 342 15000 SH SOLE 02 15000 0 0
BCE INC COM NEW 05534B760 226 6500 SH SOLE 01 6500 0 0
BEBE STORES INC COM 075571109 6023 626759 SH SOLE 02 626759 0 0
BECKMAN COULTER INC COM 075811109 1169 17316 SH SOLE 01 17316 0 0
BED BATH & BEYOND INC COM 075896100 4575 162808 SH SOLE 01 162808 0 0
BEMIS INC COM 081437105 760 33912 SH SOLE 01 33912 0 0
BERRY PETE CO CL A 085789105 565 9600 SH SOLE 01 9600 0 0
BGC PARTNERS INC CL A 05541T101 944 125000 SH SOLE 02 125000 0 0
BIOGEN IDEC INC COM 09062X103 1205 21568 SH SOLE 01 21568 0 0
BJ SVCS CO COM 055482103 794 24862 SH SOLE 01 24862 0 0
BLACK HILLS CORP COM 092113109 1452 45300 SH SOLE 01 45300 0 0
BLACKROCK INC COM 09247X101 690 3900 SH SOLE 01 3900 0 0
BLOCK H & R INC COM 093671105 672 31402 SH SOLE 01 31402 0 0
BMC SOFTWARE INC COM 055921100 647 17970 SH SOLE 01 17970 0 0
BOEING CO COM 097023105 2710 41232 SH SOLE 01 41232 0 0
BOSTON SCIENTIFIC CORP COM 101137107 896 72905 SH SOLE 01 72905 0 0
BPZ RESOURCES INC COM 055639108 858 29200 SH SOLE 01 29200 0 0
BRIGHTPOINT INC COM NEW 109473405 80 11000 SH SOLE 01 11000 0 0
BRINKS CO COM 109696104 21779 332910 SH SOLE 01 332910 0 0
BRINKS CO COM 109696104 338 5170 SH CALL SOLE 01 5170 0 0
BRISTOL MYERS SQUIBB CO DBCV 9/1 110122AN8 199 200000 PRN SOLE 01 200000 0 0
BROADRIDGE FINL SOLUTIONS IN COM 11133T103 226 10745 SH SOLE 01 10745 0 0
BROCADE COMMUNICATIONS SYS I COM NEW 111621306 199 24136 SH CALL SOLE 01 24136 0 0
BROCADE COMMUNICATIONS SYS I COM NEW 111621306 199 24137 SH PUT SOLE 01 24137 0 0
BROOKDALE SR LIVING INC COM 112463104 226 11111 SH SOLE 01 11111 0 0
BRUKER CORP COM 116794108 5616 437053 SH SOLE 01 02 437053 0 0
BURLINGTON NORTHN SANTA FE C COM 12189T104 1845 18475 SH SOLE 01 18475 0 0
C H ROBINSON WORLDWIDE INC COM NEW 12541W209 2587 47174 SH SOLE 01 47174 0 0
C&D TECHNOLOGIES INC NOTE 5.250%11/0 124661AD1 55 51000 PRN SOLE 01 51000 0 0
CA INC COM 12673P105 1413 61155 SH SOLE 01 02 61155 0 0
CABOT CORP COM 127055101 226 9312 SH SOLE 01 9312 0 0
CACHE INC COM NEW 127150308 246 23000 SH CALL SOLE 02 23000 0 0
CACI INTL INC NOTE 2.125% 5/0 127190AD8 4204 3990000 PRN SOLE 01 3990000 0 0
CADBURY PLC SPONS ADR 12721E102 352 7000 SH SOLE 01 7000 0 0
CADENCE DESIGN SYSTEM INC NOTE 8/1 127387AB4 45 45000 PRN SOLE 01 45000 0 0
CADENCE PHARMACEUTICALS INC COM 12738T100 122 20000 SH SOLE 02 20000 0 0
CALPINE CORP COM NEW 131347304 790 35000 SH SOLE 01 35000 0 0
CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 17 10000 PRN SOLE 01 10000 0 0
CAMPBELL SOUP CO COM 134429109 450 13463 SH SOLE 01 13463 0 0
CAPELLA EDUCATION COMPANY COM 139594105 233 3900 SH SOLE 01 3900 0 0
CAPITAL SR LIVING CORP COM 140475104 89 11796 SH SOLE 01 02 11796 0 0
CAPSTEAD MTG CORP COM NO PAR 14067E506 109 10000 SH SOLE 02 10000 0 0
CARDIOME PHARMA CORP COM NEW 14159U202 132 15000 SH SOLE 02 15000 0 0
CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 2857 2805000 PRN SOLE 01 2805000 0 0
CARNIVAL CORP PAIRED CTF 143658300 1073 32557 SH SOLE 01 32557 0 0
CASCAL N V COM N1842P109 3596 292350 SH SOLE 01 292350 0 0
CATERPILLAR INC DEL COM 149123101 1104 14949 SH SOLE 01 14949 0 0
CBS CORP NEW CL B 124857202 680 34868 SH SOLE 01 34868 0 0
CEMEX SAB DE CV SPON ADR NEW 151290889 3940 159500 SH SOLE 01 159500 0 0
CENTERPOINT ENERGY INC COM 15189T107 570 35534 SH SOLE 01 35534 0 0
CENTEX CORP COM 152312104 428 32000 SH SOLE 01 02 32000 0 0
CENTRAL EUROPEAN DIST CORP COM 153435102 716 9650 SH SOLE 01 9650 0 0
CENTURYTEL INC COM 156700106 3218 90432 SH SOLE 01 90432 0 0
CEPHALON INC COM 156708109 253 3800 SH SOLE 01 3800 0 0
CERNER CORP COM 156782104 506 11189 SH SOLE 01 02 11189 0 0
CF INDS HLDGS INC COM 125269100 260 1700 SH SOLE 01 1700 0 0
CHATTEM INC COM 162456107 293 4500 SH SOLE 01 4500 0 0
CHECK POINT SOFTWARE TECH LT ORD M22465104 853 36017 SH SOLE 02 36017 0 0
CHESAPEAKE ENERGY CORP 6.25% PFD CONV 165167818 960 2000 SH SOLE 01 2000 0 0
CHESAPEAKE ENERGY CORP PFD CONV 165167842 476 2959 SH SOLE 01 2959 0 0
CHESAPEAKE ENERGY CORP COM 165167107 4922 74622 SH SOLE 01 74622 0 0
CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 1330 740000 PRN SOLE 01 740000 0 0
CHEVRON CORP NEW COM 166764100 1227 12375 SH SOLE 01 12375 0 0
CHILDRENS PL RETAIL STORES I COM 168905107 938 25980 SH CALL SOLE 01 02 25980 0 0
CHINA PETE & CHEM CORP SPON ADR H SHS 16941R108 4775 51400 SH SOLE 01 51400 0 0
CHINA UNICOM LTD SPONSORED ADR 16945R104 6482 350000 SH SOLE 01 350000 0 0
CHRISTOPHER & BANKS CORP COM 171046105 332 48800 SH SOLE 01 02 48800 0 0
CHUBB CORP COM 171232101 1180 24069 SH SOLE 01 24069 0 0
CHURCH & DWIGHT INC DBCV 5.250% 8/1 171340AC6 456 250000 PRN SOLE 01 250000 0 0
CIENA CORP NOTE 0.250% 5/0 171779AB7 1245 1507000 PRN SOLE 01 1507000 0 0
CIGNA CORP COM 125509109 781 22077 SH SOLE 01 22077 0 0
CIMAREX ENERGY CO COM 171798101 732 10500 SH SOLE 01 10500 0 0
CINCINNATI FINL CORP COM 172062101 1829 72022 SH SOLE 01 72022 0 0
CISCO SYS INC COM 17275R102 873 37536 SH SOLE 01 37536 0 0
CIT GROUP INC 8.75%PFD SER C 125581603 409 10000 SH SOLE 01 10000 0 0
CITIGROUP INC COM 172967101 4364 260357 SH SOLE 01 260357 0 0
CITRIX SYS INC COM 177376100 268 9119 SH SOLE 01 9119 0 0
CLARCOR INC COM 179895107 347 9877 SH SOLE 01 9877 0 0
CLAUDE RES INC COM 182873109 35 40000 SH SOLE 01 40000 0 0
CLEAN HARBORS INC COM 184496107 276 3887 SH SOLE 01 3887 0 0
CLEAR CHANNEL COMMUNICATIONS COM 184502102 4580 130100 SH SOLE 01 130100 0 0
CME GROUP INC COM 12572Q105 1533 4000 SH SOLE 01 4000 0 0
CNA FINL CORP COM 126117100 269 10700 SH SOLE 01 10700 0 0
COCA COLA CO COM 191216100 832 16013 SH CALL SOLE 01 16013 0 0
COCA COLA CO COM 191216100 1229 23650 SH SOLE 01 23650 0 0
COCA COLA ENTERPRISES INC COM 191219104 666 38479 SH SOLE 01 38479 0 0
COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 435 13384 SH PUT SOLE 01 13384 0 0
COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 449 13819 SH CALL SOLE 01 13819 0 0
COINSTAR INC COM 19259P300 414 12648 SH SOLE 01 12648 0 0
COLGATE PALMOLIVE CO COM 194162103 1061 15355 SH SOLE 01 15355 0 0
COMCAST CORP NEW CL A 20030N101 1320 69568 SH SOLE 01 69568 0 0
COMERICA INC COM 200340107 1992 77742 SH SOLE 01 02 77742 0 0
COMMERCIAL METALS CO COM 201723103 430 11400 SH SOLE 01 11400 0 0
COMMUNITY HEALTH SYS INC NEW COM 203668108 4037 122400 SH SOLE 01 02 122400 0 0
CONAGRA FOODS INC COM 205887102 728 37750 SH SOLE 01 37750 0 0
CONEXANT SYSTEMS INC COM 207142100 1348 299538 SH SOLE 02 299538 0 0
CONOCOPHILLIPS COM 20825C104 7311 77455 SH SOLE 01 77455 0 0
CONSTELLATION BRANDS INC CL A 21036P108 505 25444 SH SOLE 01 25444 0 0
CONSTELLATION ENERGY GROUP I COM 210371100 1039 12655 SH SOLE 01 12655 0 0
CONTANGO OIL & GAS COMPANY COM NEW 21075N204 372 4000 SH SOLE 01 4000 0 0
CONTINENTAL AIRLS INC NOTE 5.000% 6/1 210795PJ3 77 100000 PRN SOLE 01 100000 0 0
COOPER COS INC COM NEW 216648402 535 14400 SH SOLE 01 02 14400 0 0
COOPER INDS LTD CL A G24182100 264 6674 SH SOLE 01 6674 0 0
CORNING INC COM 219350105 1959 85000 SH SOLE 01 02 85000 0 0
CORRECTIONS CORP AMER NEW COM NEW 22025Y407 591 21516 SH SOLE 01 21516 0 0
COSTCO COMPANIES INC NOTE 8/1 22160QAC6 159 100000 PRN SOLE 01 100000 0 0
COVANCE INC COM 222816100 903 10500 SH SOLE 01 10500 0 0
COVANTA HLDG CORP COM 22282E102 486 18200 SH SOLE 01 18200 0 0
COVANTA HLDG CORP DBCV 1.000% 2/0 22282EAA0 1592 1500000 PRN SOLE 01 1500000 0 0
COVENTRY HEALTH CARE INC COM 222862104 340 11170 SH SOLE 01 11170 0 0
CRANE CO COM 224399105 270 7000 SH SOLE 01 7000 0 0
CRESUD S A C I F Y A SPONSORED ADR 226406106 2711 182422 SH SOLE 01 182422 0 0
CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 327 393000 PRN SOLE 01 393000 0 0
CSX CORP COM 126408103 1487 23671 SH SOLE 01 23671 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 1829 2072000 PRN SOLE 01 2072000 0 0
CUMMINS INC COM 231021106 1193 18214 SH SOLE 01 18214 0 0
CVS CAREMARK CORPORATION COM 126650100 12600 318431 SH SOLE 01 02 318431 0 0
CYMER INC COM 232572107 298 11100 SH SOLE 01 11100 0 0
CYPRESS BIOSCIENCES INC COM PAR $.02 232674507 216 30000 SH SOLE 02 30000 0 0
CYPRESS SEMICONDUCTOR CORP COM 232806109 5826 235400 SH SOLE 01 235400 0 0
D R HORTON INC COM 23331A109 543 50000 SH PUT SOLE 02 50000 0 0
DAIMLER AG REG SHS D1668R123 333 5400 SH SOLE 01 5400 0 0
DANAHER CORP DEL NOTE 1/2 235851AF9 33 29000 PRN SOLE 01 29000 0 0
DARDEN RESTAURANTS INC COM 237194105 1623 50826 SH SOLE 01 50826 0 0
DAVITA INC COM 23918K108 873 16429 SH SOLE 01 02 16429 0 0
DEAN FOODS CO NEW COM 242370104 1368 69711 SH SOLE 01 69711 0 0
DECKERS OUTDOOR CORP COM 243537107 485 3482 SH SOLE 01 3482 0 0
DEERE & CO COM 244199105 1673 23190 SH SOLE 01 23190 0 0
DELL INC COM 24702R101 931 42565 SH SOLE 01 42565 0 0
DELTA PETE CORP COM NEW 247907207 276 10800 SH SOLE 01 10800 0 0
DENTSPLY INTL INC NEW COM 249030107 208 5641 SH SOLE 01 5641 0 0
DEUTSCHE TELEKOM AG SPONSORED ADR 251566105 1655 101100 SH SOLE 01 101100 0 0
DEVELOPERS DIVERSIFIED RLTY COM 251591103 524 15096 SH SOLE 01 15096 0 0
DEVON ENERGY CORP NEW COM 25179M103 316 2631 SH SOLE 01 2631 0 0
DEVON ENERGY CORP NEW DEB 4.950% 8/1 25179MAB9 19 10000 PRN SOLE 01 10000 0 0
DICKS SPORTING GOODS INC COM 253393102 574 32355 SH SOLE 01 32355 0 0
DIGITAL RIV INC NOTE 1.250% 1/0 25388BAB0 4485 4328000 PRN SOLE 01 4328000 0 0
DILLARDS INC CL A 254067101 225 19438 SH SOLE 01 19438 0 0
DIODES INC COM 254543101 936 33882 SH SOLE 01 33882 0 0
DIRECTV GROUP INC COM 25459L106 811 31310 SH SOLE 01 31310 0 0
DISCOVERY HOLDING CO CL A COM 25468Y107 244 11132 SH SOLE 01 11132 0 0
DISNEY WALT CO COM DISNEY 254687106 1178 37756 SH SOLE 01 37756 0 0
DOLBY LABORATORIES INC COM 25659T107 335 8317 SH SOLE 01 8317 0 0
DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 1901 2600000 PRN SOLE 01 2600000 0 0
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 1931 1506000 PRN SOLE 01 1506000 0 0
DONALDSON INC COM 257651109 384 8600 SH SOLE 01 8600 0 0
DOW CHEM CO COM 260543103 1731 49591 SH SOLE 01 49591 0 0
DPL INC COM 233293109 385 14608 SH SOLE 01 14608 0 0
DRESS BARN INC COM 261570105 149 11168 SH SOLE 01 11168 0 0
DST SYS INC DEL COM 233326107 284 5162 SH SOLE 01 5162 0 0
DST SYS INC DEL DBCV 3.625% 8/1 233326AD9 2868 2505000 PRN SOLE 01 2505000 0 0
DTE ENERGY CO COM 233331107 822 19369 SH SOLE 01 19369 0 0
DU PONT E I DE NEMOURS & CO COM 263534109 2884 67234 SH SOLE 01 67234 0 0
DYNEGY INC DEL CL A 26817G102 96 11200 SH SOLE 01 11200 0 0
E M C CORP MASS NOTE 1.750%12/0 268648AM4 574 503000 PRN SOLE 01 503000 0 0
EARTHLINK INC COM 270321102 107 12400 SH SOLE 01 12400 0 0
EASTMAN CHEM CO COM 277432100 2108 30611 SH SOLE 01 30611 0 0
EASTMAN KODAK CO COM 277461109 360 25003 SH SOLE 01 25003 0 0
EASTMAN KODAK CO NOTE 3.375%10/1 277461BE8 415 440000 PRN SOLE 01 440000 0 0
EATON CORP COM 278058102 2387 28089 SH SOLE 01 28089 0 0
EATON VANCE CORP COM NON VTG 278265103 625 15723 SH SOLE 01 02 15723 0 0
EBAY INC COM 278642103 626 22880 SH SOLE 01 02 22880 0 0
ECOLAB INC COM 278865100 472 10986 SH SOLE 01 10986 0 0
EDISON INTL COM 281020107 260 5067 SH SOLE 01 5067 0 0
EDWARDS LIFESCIENCES CORP COM 28176E108 683 11009 SH SOLE 01 02 11009 0 0
ELECTRONIC ARTS INC COM 285512109 328 7388 SH SOLE 01 7388 0 0
ELECTRONIC DATA SYS NEW NOTE 3.875% 7/1 285661AF1 249 250000 PRN SOLE 01 250000 0 0
EMERSON ELEC CO COM 291011104 273 5516 SH SOLE 01 5516 0 0
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RED HAT INC DBCV 0.500% 1/1 756577AB8 165 163000 PRN SOLE 01 163000 0 0
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