UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: December 31, 2004
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: Alfred Petrillo
Title: Senior Vice President
Phone: 212-336-7140
Signature, Place, and Date of Signing:
/s/ Alfred Petrillo Jersey City, NJ February 14, 2005
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: 308
Form13F Information Table Value Total: $473,607 (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- 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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
3COM CORP COM 885535104 85 22379 SH SOLE 01 22379 0 0
3M CO COM 88579Y101 1555 18994 SH SOLE 01 02 18994 0 0
ABBOTT LABS COM 002824100 374 8876 SH SOLE 01 8876 0 0
ABERCROMBIE & FITCH CO CL A 002896207 8277 176300 SH SOLE 02 176300 0 0
ADOBE SYS INC COM 00724F101 278 556 SH SOLE 01 556 0 0
AEROPOSTALE COM 007865108 2622 89100 SH SOLE 02 89100 0 0
AGILENT TECHNOLOGIES INC COM 00846U101 238 1127 SH SOLE 01 1127 0 0
AGILENT TECHNOLOGIES INC DBCV 3.000%12/0 00846UAB7 43 43000 PRN SOLE 01 43000 0 0
AK STL HLDG CORP COM 001547108 147 10100 SH SOLE 01 10100 0 0
ALCOA INC COM 013817101 525 16589 SH SOLE 01 02 16589 0 0
ALLERGAN INC NOTE 11/0 018490AE2 530 580000 PRN SOLE 01 580000 0 0
ALLIED WASTE INDS INC PFD SR C CONV 019589605 1130 21900 SH SOLE 01 21900 0 0
ALLTEL CORP COM 020039103 362 702 SH SOLE 01 702 0 0
ALTRIA GROUP INC COM 02209S103 6325 103747 SH SOLE 01 02 103747 0 0
ALZA CORP SDCV 7/2 02261WAB5 5126 6233000 PRN SOLE 01 6233000 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 2993 63545 SH SOLE 02 63545 0 0
AMERICAN ELEC PWR INC COM 025537101 627 18020 SH SOLE 01 18020 0 0
AMERICAN EXPRESS CO COM 025816109 284 5076 SH SOLE 01 5076 0 0
AMERICAN FINL RLTY TR COM 02607P305 783 49400 SH SOLE 01 49400 0 0
AMERICAN INTL GROUP INC COM 026874107 461 7179 SH SOLE 01 7179 0 0
AMERICREDIT CORP NOTE 1.750%11/1 03060RAM3 1287 1000000 PRN SOLE 01 1000000 0 0
AMGEN INC COM 031162100 301 5018 SH SOLE 01 5018 0 0
AMGEN INC NOTE 3/0 031162AE0 74 100000 PRN SOLE 01 100000 0 0
ANALOG DEVICES INC COM 032654105 333 1572 SH SOLE 01 1572 0 0
ANHEUSER BUSCH COS INC COM 035229103 723 14267 SH SOLE 01 02 14267 0 0
ANNTAYLOR STORES CORP COM 036115103 4145 192500 SH SOLE 02 192500 0 0
APPLE COMPUTER INC COM 037833100 575 3509 SH SOLE 01 3509 0 0
APPLIED MATLS INC COM 038222105 603 5920 SH SOLE 01 5920 0 0
APPLIED MICRO CIRCUITS CORP COM 03822W109 117 25224 SH SOLE 01 25224 0 0
ARCH COAL INC COM 039380100 353 9900 SH SOLE 01 9900 0 0
ARDEN RLTY INC COM 039793104 805 21479 SH SOLE 01 21479 0 0
AT&T CORP COM NEW 001957505 263 1966 SH SOLE 01 1966 0 0
AUTOMATIC DATA PROCESSING IN COM 053015103 516 1668 SH SOLE 01 1668 0 0
AVALONBAY CMNTYS INC COM 053484101 1666 22138 SH SOLE 01 22138 0 0
BAKER HUGHES INC COM 057224107 515 12163 SH SOLE 01 12163 0 0
BANK OF AMERICA CORPORATION COM 060505104 596 12926 SH SOLE 01 12926 0 0
BARNES & NOBLE INC COM 067774109 5873 182000 SH SOLE 02 182000 0 0
BEAR STEARNS COS INC COM 073902108 3104 30188 SH SOLE 01 30188 0 0
BELLSOUTH CORP COM 079860102 1062 4304 SH SOLE 01 4304 0 0
BHP BILLITON LTD SPONSORED ADR 088606108 239 10000 SH SOLE 01 10000 0 0
BIOMED REALTY TRUST INC COM 09063H107 369 16200 SH SOLE 01 16200 0 0
BIOTECH HOLDERS TR DEPOSTRY RCPTS 09067D201 2804 19861 SH SOLE 01 19861 0 0
BISYS GROUP INC NOTE 4.000% 3/1 055472AB0 89 90000 PRN SOLE 01 90000 0 0
BJ SVCS CO COM 055482103 380 7995 SH SOLE 01 7995 0 0
BLOCKBUSTER INC CL A 093679108 2623 275000 SH SOLE 02 275000 0 0
BORDERS GROUP INC COM 099709107 4445 175000 SH SOLE 02 175000 0 0
BOSTON SCIENTIFIC CORP COM 101137107 960 27542 SH SOLE 01 27542 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 642 26965 SH SOLE 01 26965 0 0
BROADCOM CORP CL A 111320107 204 769 SH SOLE 01 769 0 0
BROADWING CORP COM 11161E101 114 12950 SH SOLE 01 12950 0 0
BROWN FORMAN CORP CL B 115637209 780 16222 SH SOLE 01 16222 0 0
BRUSH ENGINEERED MATLS INC COM 117421107 230 12200 SH SOLE 01 12200 0 0
CABLE DESIGN TECHNOLOGIES CO SDCV 4.000% 7/1 126924AB5 1142 790000 PRN SOLE 01 790000 0 0
CACHE INC COM NEW 127150308 1197 66427 SH SOLE 02 66427 0 0
CALPINE CORP COM 131347106 233 61848 SH SOLE 01 61848 0 0
CAPSTONE TURBINE CORP COM 14067D102 55 30000 SH SOLE 01 30000 0 0
CARDIAC SCIENCE INC COM NEW 141410209 87 41314 SH SOLE 01 41314 0 0
CENTERPOINT ENERGY INC COM 15189T107 184 16550 SH SOLE 01 16550 0 0
CERIDIAN CORP NEW COM 156779100 257 14000 SH SOLE 01 14000 0 0
CHARLES RIV LABORATORIES INC DBCV 3.500% 2/0 159863AL3 569 467000 PRN SOLE 01 467000 0 0
CHEVRONTEXACO CORP COM 166764100 255 4695 SH SOLE 01 4695 0 0
CHILDRENS PL RETAIL STORES I COM 168905107 1280 34556 SH SOLE 02 34556 0 0
CISCO SYS INC COM 17275R102 2722 16504 SH SOLE 01 16504 0 0
CITADEL BROADCASTING CORP NOTE 1.875% 2/1 17285TAB2 405 450000 PRN SOLE 01 450000 0 0
CITIGROUP INC COM 172967101 435 9709 SH SOLE 01 9709 0 0
CLEAR CHANNEL COMMUNICATIONS COM 184502102 567 16825 SH SOLE 01 16825 0 0
COCA COLA CO COM 191216100 14909 358319 SH SOLE 01 02 358319 0 0
COMPUTER ASSOC INTL INC COM 204912109 369 2310 SH SOLE 01 2310 0 0
CONEXANT SYSTEMS INC COM 207142100 97 48825 SH SOLE 01 48825 0 0
CONSECO INC PFD B CV 5.50% 208464867 614 24000 SH SOLE 01 24000 0 0
CONSOLIDATED EDISON INC COM 209115104 512 11547 SH SOLE 01 11547 0 0
COORS ADOLPH CO CL B 217016104 721 9568 SH SOLE 01 9568 0 0
CORNING INC COM 219350105 320 3285 SH SOLE 01 3285 0 0
CROWN MEDIA HLDGS INC CL A 228411104 170 19400 SH SOLE 01 19400 0 0
CRT PROPERTIES INC COM 22876P109 298 12300 SH SOLE 01 12300 0 0
CSK AUTO CORP COM 125965103 36411 2175100 SH SOLE 02 2175100 0 0
CYMER INC NOTE 3.500% 2/1 232572AE7 397 400000 PRN SOLE 01 400000 0 0
CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 1957 1969000 PRN SOLE 01 1969000 0 0
DELL INC COM 24702R101 242 5949 SH SOLE 01 5949 0 0
DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 233 212000 PRN SOLE 01 212000 0 0
DEVON ENERGY CORP NEW DEB 4.950% 8/1 25179MAB9 189 174000 PRN SOLE 01 174000 0 0
DIAMOND OFFSHORE DRILLING IN COM 25271C102 215 6050 SH SOLE 01 6050 0 0
DIAMONDS TR UNIT SER 1 252787106 32254 300008 SH SOLE 01 02 300008 0 0
DOMINION RES INC VA NEW COM 25746U109 964 14222 SH SOLE 01 14222 0 0
DRDGOLD LTD SPONSORED ADR 26152H103 34 22269 SH SOLE 01 22269 0 0
DRESS BARN INC COM 261570105 2630 149404 SH SOLE 02 149404 0 0
DUKE ENERGY CORP COM 264399106 1001 39026 SH SOLE 01 39026 0 0
DUKE ENERGY CORP NOTE 1.750% 5/1 264399EJ1 1109 1000000 PRN SOLE 01 1000000 0 0
DUPONT PHOTOMASKS INC NOTE 1.250% 5/1 26613XAE1 1055 1000000 PRN SOLE 01 1000000 0 0
DYNEGY INC NEW CL A 26816Q101 74 15819 SH SOLE 01 15819 0 0
E M C CORP MASS COM 268648102 670 8048 SH SOLE 01 8048 0 0
E PIPHANY INC COM 26881V100 91 21133 SH SOLE 01 21133 0 0
EBAY INC COM 278642103 878 7854 SH SOLE 01 7854 0 0
EDISON INTL COM 281020107 607 19005 SH SOLE 01 19005 0 0
EL PASO CORP COM 28336L109 137 13175 SH SOLE 01 13175 0 0
ELAN PLC ADR 284131208 660 25000 SH SOLE 01 25000 0 0
ELECTRIC CITY CORP COM 284868106 255 206000 SH SOLE 01 206000 0 0
ELECTRONIC ARTS INC COM 285512109 304 709 SH SOLE 01 709 0 0
ELECTRONIC DATA SYS NEW COM 285661104 245 2543 SH SOLE 01 2543 0 0
ENERGY PARTNERS LTD COM 29270U105 381 20000 SH SOLE 01 20000 0 0
ENTERGY CORP NEW COM 29364G103 855 12689 SH SOLE 01 12689 0 0
EP MEDSYSTEMS INC COM 26881P103 309 90000 SH SOLE 01 90000 0 0
ESS TECHNOLOGY INC COM 269151106 91 12544 SH SOLE 01 12544 0 0
EXELON CORP COM 30161N101 1658 38043 SH SOLE 01 38043 0 0
EXXON MOBIL CORP COM 30231G102 636 12411 SH SOLE 01 12411 0 0
FEDERAL HOME LN MTG CORP COM 313400301 356 5009 SH SOLE 01 5009 0 0
FINISH LINE INC CL A 317923100 395 21586 SH SOLE 02 21586 0 0
FIRST DATA CORP COM 319963104 740 1914 SH SOLE 01 1914 0 0
FIRSTENERGY CORP COM 337932107 518 13017 SH SOLE 01 13017 0 0
FORD MTR CO DEL COM PAR $0.01 345370860 227 16023 SH SOLE 01 16023 0 0
FPL GROUP INC COM 302571104 764 10173 SH SOLE 01 10173 0 0
FREEPORT-MCMORAN COPPER & GO NOTE 7.000% 2/1 35671DAK1 39 25000 PRN SOLE 01 25000 0 0
GAMESTOP CORP COM CL B 36466R200 945 44519 SH SOLE 01 44519 0 0
GAP INC DEL COM 364760108 507 23606 SH SOLE 01 02 23606 0 0
GAP INC DEL NOTE 5.750% 3/1 364760AJ7 56 44000 PRN SOLE 01 44000 0 0
GASCO ENERGY INC COM 367220100 638 169068 SH SOLE 01 169068 0 0
GATEWAY INC COM 367626108 3358 550911 SH SOLE 01 02 550911 0 0
GENERAL ELEC CO COM 369604103 16426 450793 SH SOLE 01 02 450793 0 0
GENERAL MLS INC DBCV 10/2 370334AU8 25 36000 PRN SOLE 01 36000 0 0
GENERAL MTRS CORP DEB SR CV C 33 370442717 561 21000 SH SOLE 01 21000 0 0
GEORGIA PAC CORP COM 373298108 954 25471 SH SOLE 01 02 25471 0 0
GILLETTE CO COM 375766102 7914 176812 SH SOLE 01 02 176812 0 0
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 260 6099 SH SOLE 01 6099 0 0
GLENBOROUGH RLTY TR INC COM 37803P105 779 36600 SH SOLE 01 36600 0 0
GLOBALSANTAFE CORP SHS G3930E101 326 10991 SH SOLE 01 10991 0 0
GUIDANT CORP COM 401698105 2088 29281 SH SOLE 01 29281 0 0
HALLIBURTON CO COM 406216101 508 12910 SH SOLE 01 12910 0 0
HANGER ORTHOPEDIC GROUP INC COM NEW 41043F208 92 11487 SH SOLE 01 11487 0 0
HANOVER COMPRESSOR CO NOTE 4.750% 1/1 410768AE5 131 100000 PRN SOLE 01 100000 0 0
HEWLETT PACKARD CO COM 428236103 1198 8885 SH SOLE 01 8885 0 0
HIGHWOODS PPTYS INC COM 431284108 224 8100 SH SOLE 01 8100 0 0
HILFIGER TOMMY CORP ORD G8915Z102 135 12000 SH SOLE 02 12000 0 0
HOLLYWOOD ENTMT CORP COM 436141105 5629 430000 SH SOLE 02 430000 0 0
HOME DEPOT INC COM 437076102 458 11030 SH SOLE 01 11030 0 0
HORIZON OFFSHORE INC COM 44043J105 50 140000 SH SOLE 01 140000 0 0
INDYMAC BANCORP INC WIRES 2031 456607209 249 4400 SH SOLE 01 4400 0 0
INTEGRATED SILICON SOLUTION COM 45812P107 92 11753 SH SOLE 01 11753 0 0
INTEL CORP COM 458140100 3086 25168 SH SOLE 01 25168 0 0
INTERLINK ELECTRS COM 458751104 251 29100 SH SOLE 01 29100 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 3151 4195 SH SOLE 01 4195 0 0
INTERNATIONAL GAME TECHNOLOG COM 459902102 202 5946 SH SOLE 01 5946 0 0
INTERNATIONAL RECTIFIER CORP NOTE 4.250% 7/1 460254AE5 71 71000 PRN SOLE 01 71000 0 0
INTL PAPER CO DBCV 6/2 460146BM4 55 100000 PRN SOLE 01 100000 0 0
INVITROGEN CORP NOTE 2.250%12/1 46185RAD2 49 50000 PRN SOLE 01 50000 0 0
IOWA TELECOMM SERVICES INC COM 462594201 7570 345600 SH SOLE 01 345600 0 0
ISHARES TR DJ US REAL EST 464287739 9846 82498 SH SOLE 01 82498 0 0
ISHARES TR S&P 100 IDX FD 464287101 20726 368874 SH SOLE 01 368874 0 0
ISOLAGEN INC COM 46488N103 390 51800 SH SOLE 01 51800 0 0
IVAX CORP NOTE 1.500% 3/0 465823AJ1 1449 1500000 PRN SOLE 01 1500000 0 0
JOHNSON & JOHNSON COM 478160104 1036 17213 SH SOLE 01 17213 0 0
JOS A BANK CLOTHIERS INC COM 480838101 2425 85673 SH SOLE 02 85673 0 0
JPMORGAN & CHASE & CO COM 46625H100 583 15299 SH SOLE 01 15299 0 0
KEMET CORP COM 488360108 92 10521 SH SOLE 01 10521 0 0
KERZNER INTL LTD NOTE 2.375% 4/1 492520AB7 2936 2400000 PRN SOLE 01 2400000 0 0
KFX INC COM 48245L107 1737 119900 SH SOLE 01 119900 0 0
KIMCO REALTY CORP COM 49446R109 971 16688 SH SOLE 01 16688 0 0
KINETIC CONCEPTS INC COM NEW 49460W208 381 5000 SH SOLE 01 5000 0 0
KOHLS CORP COM 500255104 2344 48342 SH SOLE 01 02 48342 0 0
KROGER CO COM 501044101 550 31449 SH SOLE 01 02 31449 0 0
LABRANCHE & CO INC COM 505447102 93 11424 SH SOLE 01 11424 0 0
LATTICE SEMICONDUCTOR CORP COM 518415104 88 16877 SH SOLE 01 16877 0 0
LAWSON SOFTWARE INC COM 520780107 187 30575 SH SOLE 01 30575 0 0
LEGG MASON INC NOTE 6/0 524901AG0 2299 3000000 PRN SOLE 01 3000000 0 0
LENNAR CORP NOTE 4/0 526057AF1 1742 2665000 PRN SOLE 01 2665000 0 0
LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 67 55000 PRN SOLE 01 55000 0 0
LEXMARK INTL NEW CL A 529771107 241 500 SH SOLE 01 500 0 0
LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 14 15000 PRN SOLE 01 15000 0 0
LIBERTY PPTY TR SH BEN INT 531172104 969 22652 SH SOLE 01 22652 0 0
LILLY ELI & CO COM 532457108 349 6450 SH SOLE 01 6450 0 0
LINEAR TECHNOLOGY CORP COM 535678106 241 712 SH SOLE 01 712 0 0
LOWES COS INC NOTE 0.861%10/1 548661CG0 2928 2853000 PRN SOLE 01 2853000 0 0
LSI LOGIC CORP COM 502161102 133 18817 SH SOLE 01 18817 0 0
MANUGISTICS GROUP INC COM 565011103 89 32351 SH SOLE 01 32351 0 0
MAVERICK TUBE CORP COM 577914104 319 10000 SH SOLE 01 10000 0 0
MAXIM INTEGRATED PRODS INC COM 57772K101 296 754 SH SOLE 01 754 0 0
MCDONALDS CORP COM 580135101 12512 390952 SH SOLE 01 02 390952 0 0
MCMORAN EXPLORATION CO NOTE 6.000% 7/0 582411AB0 15 100000 PRN SOLE 01 100000 0 0
MEDTRONIC INC DBCV 1.250% 9/1 585055AB2 899 900000 PRN SOLE 01 900000 0 0
MERCK & CO INC COM 589331107 425 14782 SH SOLE 01 14782 0 0
MERISTAR HOSPITALITY CORP NOTE 9.500% 4/0 58984YAJ2 131 105000 PRN SOLE 01 105000 0 0
METALS USA INC *W EXP 10/31/200 591324116 80 17737 SH SOLE 01 17737 0 0
MGM MIRAGE COM 552953101 679 10000 SH SOLE 01 10000 0 0
MICRO THERAPEUTICS INC COM 59500W100 114 30800 SH SOLE 01 30800 0 0
MICRON TECHNOLOGY INC COM 595112103 285 13425 SH SOLE 01 13425 0 0
MICROSOFT CORP COM 594918104 1686 62871 SH SOLE 01 62871 0 0
MIDCAP SPDR TR UNIT SER 1 595635103 12982 110006 SH SOLE 01 110006 0 0
MOSAIC CO PFD CV 7.5% 61945A206 304 2600 SH SOLE 01 2600 0 0
NABORS INDUSTRIES LTD SHS G6359F103 340 6873 SH SOLE 01 6873 0 0
NASDAQ 100 TR UNIT SER 1 631100104 205 5600 SH SOLE 01 5600 0 0
NASDAQ 100 TR UNIT SER 1 631100104 160 200000 SH CALL SOLE 02 200000 0 0
NEW YORK CMNTY BANCORP INC COM 649445103 444 22500 SH SOLE 01 22500 0 0
NEXTEL COMMUNICATIONS INC CL A 65332V103 593 2575 SH SOLE 01 2575 0 0
NEXTEL COMMUNICATIONS INC NOTE 5.250% 1/1 65332VAY9 727 720000 PRN SOLE 01 720000 0 0
NICOR INC COM 654086107 7250 193835 SH SOLE 01 193835 0 0
NOBLE CORPORATION SHS G65422100 288 6297 SH SOLE 01 6297 0 0
NOKIA CORP SPONSORED ADR 654902204 159 10000 SH SOLE 01 10000 0 0
OIL SVC HOLDRS TR DEPOSTRY RCPT 678002106 426 5000 SH SOLE 01 5000 0 0
OMI CORP NEW COM Y6476W104 384 20000 SH SOLE 01 20000 0 0
OMNICOM GROUP INC NOTE 2/0 681919AK2 34 34000 PRN SOLE 01 34000 0 0
OMNICOM GROUP INC NOTE 6/1 681919AR7 225 225000 PRN SOLE 01 225000 0 0
OPEN JT STK CO-VIMPEL COMMUN SPONSORED ADR 68370R109 766 25000 SH SOLE 01 25000 0 0
OPSWARE INC COM 68383A101 362 49585 SH SOLE 01 49585 0 0
ORACLE CORP COM 68389X105 1348 11998 SH SOLE 01 11998 0 0
OVERSEAS SHIPHOLDING GROUP I COM 690368105 323 5000 SH SOLE 01 5000 0 0
PACIFIC SUNWEAR CALIF INC COM 694873100 495 22255 SH SOLE 02 22255 0 0
PAN PACIFIC RETAIL PPTYS INC COM 69806L104 375 6058 SH SOLE 01 6058 0 0
PATHMARK STORES INC NEW COM 70322A101 60 10000 SH SOLE 01 10000 0 0
PAYCHEX INC COM 704326107 275 1772 SH SOLE 01 1772 0 0
PEOPLESOFT INC COM 712713106 5661 208774 SH SOLE 01 208774 0 0
PFIZER INC COM 717081103 2532 92653 SH SOLE 01 92653 0 0
PFIZER INC COM 717081103 225 700000 SH CALL SOLE 02 700000 0 0
PG&E CORP COM 69331C108 718 21644 SH SOLE 01 21644 0 0
PHARMACEUTICAL HLDRS TR DEPOSITRY RCPT 71712A206 5612 77300 SH SOLE 01 02 77300 0 0
PPL ENERGY SUPPLY LLC NOTE 2.625% 5/1 69352JAE7 23 21000 PRN SOLE 01 21000 0 0
PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 1829 1699000 PRN SOLE 01 1699000 0 0
PROCTER & GAMBLE CO COM 742718109 258 4821 SH SOLE 01 4821 0 0
PROGRESS ENERGY INC COM 743263105 418 9213 SH SOLE 01 9213 0 0
PROVIDIAN FINL CORP NOTE 3.250% 8/1 74406AAA0 30 30000 PRN SOLE 01 30000 0 0
PROVINCE HEALTHCARE CO NOTE 4.500%11/2 743977AC4 44 44000 PRN SOLE 01 44000 0 0
PS BUSINESS PKS INC CALIF COM 69360J107 219 4900 SH SOLE 01 4900 0 0
PUBLIC STORAGE INC COM 74460D109 769 13680 SH SOLE 01 13680 0 0
PUBLIC SVC ENTERPRISE GROUP COM 744573106 624 12733 SH SOLE 01 12733 0 0
QLT INC NOTE 3.000% 9/1 746927AB8 2416 2000000 PRN SOLE 01 2000000 0 0
QUALCOMM INC COM 747525103 1497 4227 SH SOLE 01 4227 0 0
RADIOSHACK CORP COM 750438103 263 8435 SH SOLE 01 8435 0 0
RELIANT ENERGY INC COM 75952B105 160 12301 SH SOLE 01 12301 0 0
RENTECH INC COM 760112102 169 125800 SH SOLE 01 125800 0 0
RESMED INC NOTE 4.000% 6/2 761152AB3 1059 1000000 PRN SOLE 01 1000000 0 0
RETAIL HOLDRS TR DEP RCPT 76127U101 10855 110880 SH SOLE 01 110880 0 0
RHODIA SPONSORED ADR 762397107 135 50000 SH SOLE 02 50000 0 0
RICHARDSON ELECTRS LTD SDCV 7.250%12/1 763165AB3 88 88000 PRN SOLE 01 88000 0 0
RICHARDSON ELECTRS LTD SDCV 8.250% 6/1 763165AC1 209 209000 PRN SOLE 01 209000 0 0
ROBBINS & MYERS INC NOTE 8.000% 1/3 770196AB9 613 1311000 PRN SOLE 01 1311000 0 0
SAFEGUARD SCIENTIFICS INC COM 786449108 88 41881 SH SOLE 01 41881 0 0
SAKS INC COM 79377W108 3990 275000 SH SOLE 02 275000 0 0
SANOFI AVENTIS SPONSORED ADR 80105N105 217 5747 SH SOLE 01 5747 0 0
SBC COMMUNICATIONS INC COM 78387G103 1439 7895 SH SOLE 01 7895 0 0
SCANSOFT INC COM 80603P107 105 26616 SH SOLE 01 26616 0 0
SCHLUMBERGER LTD COM 806857108 455 7175 SH SOLE 01 7175 0 0
SCHWAB CHARLES CORP NEW COM 808513105 234 21459 SH SOLE 01 21459 0 0
SCI SYS INC NOTE 3.000% 3/1 783890AF3 91 95000 PRN SOLE 01 95000 0 0
SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 4706 156500 SH SOLE 01 156500 0 0
SIEBEL SYS INC COM 826170102 326 22990 SH SOLE 01 22990 0 0
SIERRA PAC RES NEW NOTE 7.250% 2/1 826428AF1 342 100000 PRN SOLE 01 100000 0 0
SILICON VY BANCSHARES COM 827064106 296 6603 SH SOLE 01 6603 0 0
SIMON PPTY GROUP INC NEW COM 828806109 318 4990 SH SOLE 01 4990 0 0
SIX FLAGS INC COM 83001P109 93 19593 SH SOLE 01 19593 0 0
SKECHERS U S A INC NOTE 4.500% 4/1 830566AB1 84 84000 PRN SOLE 01 84000 0 0
SL GREEN RLTY CORP COM 78440X101 206 3458 SH SOLE 01 3458 0 0
SMITH INTL INC COM 832110100 250 4400 SH SOLE 01 4400 0 0
SMITHFIELD FOODS INC COM 832248108 766 25900 SH SOLE 02 25900 0 0
SOFTWARE HOLDRS TR DEPOSITRY RCPT 83404B103 4678 121000 SH SOLE 01 121000 0 0
SOUTHERN CO COM 842587107 1240 37081 SH SOLE 01 37081 0 0
SPRINT CORP COM FON 852061100 631 3807 SH SOLE 01 3807 0 0
STANDARD MTR PRODS INC SDCV 6.750% 7/1 853666AB1 26 29000 PRN SOLE 01 29000 0 0
STARWOOD HOTELS&RESORTS WRLD PAIRED CTF 85590A203 1609 27678 SH SOLE 01 27678 0 0
STREETTRACKS GOLD TR GOLD SHS 863307104 2528 57900 SH SOLE 01 02 57900 0 0
SUN MICROSYSTEMS INC COM 866810104 293 7888 SH SOLE 01 7888 0 0
SYMANTEC CORP COM 871503108 388 2363 SH SOLE 01 2363 0 0
SYNTROLEUM CORP *W EXP 05/26/200 871630125 75 28626 SH SOLE 01 28626 0 0
SYNTROLEUM CORP *W EXP 11/04/200 871630117 72 21700 SH SOLE 01 21700 0 0
SYNTROLEUM CORP COM 871630109 555 80000 SH SOLE 01 80000 0 0
TALK AMERICA HLDGS INC COM NEW 87426R202 98 14518 SH SOLE 01 14518 0 0
TAUBMAN CTRS INC COM 876664103 453 15300 SH SOLE 01 15300 0 0
TEEKAY SHIPPING MARSHALL ISL COM Y8564W103 1388 31000 SH SOLE 01 31000 0 0
TERAYON COMMUNICATION SYS COM 880775101 34 16900 SH SOLE 01 16900 0 0
TEXAS INSTRS INC COM 882508104 826 4193 SH SOLE 01 4193 0 0
THERMA-WAVE INC COM 88343A108 32 10000 SH SOLE 01 10000 0 0
THERMO ELECTRON CORP SDCV 3.250%11/0 883556AJ1 1561 1565000 PRN SOLE 01 1565000 0 0
TIFFANY & CO NEW COM 886547108 492 15400 SH SOLE 01 02 15400 0 0
TIME WARNER INC COM 887317105 545 30761 SH SOLE 01 30761 0 0
TIME WARNER TELECOM INC CL A 887319101 102 22323 SH SOLE 01 22323 0 0
TJX COS INC NEW NOTE 2/1 872540AL3 19 23000 PRN SOLE 01 23000 0 0
TOO INC COM 890333107 3989 163100 SH SOLE 02 163100 0 0
TOYS R US INC COM 892335100 7175 350591 SH SOLE 01 02 350591 0 0
TRANSOCEAN INC ORD G90078109 403 10487 SH SOLE 01 10487 0 0
TRIQUINT SEMICONDUCTOR INC COM 89674K103 91 21385 SH SOLE 01 21385 0 0
TWEETER HOME ENTMT GROUP INC COM 901167106 92 15344 SH SOLE 01 15344 0 0
TXU CORP COM 873168108 1099 17141 SH SOLE 01 17141 0 0
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