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, 2005
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 May 10, 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: 282
Form13F Information Table Value Total: $667,608 (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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
3M CO COM 88579Y101 344 4098 SH SOLE 01 4098 0 0
ABBOTT LABS COM 002824100 380 8270 SH SOLE 01 8270 0 0
ABERCROMBIE & FITCH CO CL A 002896207 12032 210230 SH SOLE 01 02 210230 0 0
ACADIA RLTY TR COM SH BEN INT 004239109 308 19500 SH SOLE 01 19500 0 0
AEROPOSTALE COM 007865108 5002 152700 SH SOLE 01 02 152700 0 0
AGERE SYS INC CL A 00845V100 157 100000 SH SOLE 01 100000 0 0
AGILENT TECHNOLOGIES INC DBCV 3.000%12/0 00846UAB7 59 59000 PRN SOLE 01 59000 0 0
ALLERGAN INC NOTE 11/0 018490AE2 532 580000 PRN SOLE 01 580000 0 0
ALTRIA GROUP INC COM 02209S103 723 11024 SH SOLE 01 11024 0 0
AMAZON COM INC NOTE 4.750% 2/0 023135AF3 29 29000 PRN SOLE 01 29000 0 0
AMERADA HESS CORP COM 023551104 912 9452 SH SOLE 01 02 9452 0 0
AMERICAN DENTAL PARTNERS COM 025353103 240 10800 SH SOLE 02 10800 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 4166 141050 SH SOLE 01 02 141050 0 0
AMERICAN ELEC PWR INC COM 025537101 786 23518 SH SOLE 01 23518 0 0
AMERICAN EXPRESS CO COM 025816109 337 6224 SH SOLE 01 6224 0 0
AMERICAN HEALTHWAYS INC COM 02649V104 246 7411 SH SOLE 01 02 7411 0 0
AMERICAN INTL GROUP INC COM 026874107 14773 263817 SH SOLE 01 02 263817 0 0
AMERICAN TOWER CORP NOTE 3.250% 8/0 029912AK8 24 15000 PRN SOLE 01 15000 0 0
AMERICREDIT CORP COM 03060R101 1669 69800 SH SOLE 01 69800 0 0
AMGEN INC COM 031162100 411 6647 SH SOLE 01 6647 0 0
ANNTAYLOR STORES CORP COM 036115103 409 16000 SH SOLE 02 16000 0 0
APPLE COMPUTER INC COM 037833100 209 4759 SH SOLE 01 4759 0 0
APPLIED MATLS INC COM 038222105 186 10784 SH SOLE 01 10784 0 0
ARDEN RLTY INC COM 039793104 952 27619 SH SOLE 01 27619 0 0
ARMOR HOLDINGS INC COM 042260109 9272 250000 SH SOLE 02 250000 0 0
ASHFORD HOSPITALITY TR INC COM SHS 044103109 1715 164000 SH SOLE 01 164000 0 0
AUTOZONE INC COM 053332102 8611 100424 SH SOLE 01 02 100424 0 0
BANK OF AMERICA CORPORATION COM 060505104 978 20994 SH SOLE 01 20994 0 0
BARNES & NOBLE INC COM 067774109 33052 958300 SH SOLE 02 958300 0 0
BELLSOUTH CORP COM 079860102 275 10626 SH SOLE 01 10626 0 0
BIOMED REALTY TRUST INC COM 09063H107 538 26200 SH SOLE 01 26200 0 0
BIOTECH HOLDERS TR DEPOSTRY RCPTS 09067D201 2106 15161 SH SOLE 01 15161 0 0
BISYS GROUP INC NOTE 4.000% 3/1 055472AB0 39 40000 PRN SOLE 01 40000 0 0
BJ SVCS CO COM 055482103 1771 35861 SH SOLE 01 35861 0 0
BLOCKBUSTER INC CL A 093679108 36006 4077700 SH SOLE 02 4077700 0 0
BOEING CO COM 097023105 246 4466 SH SOLE 01 4466 0 0
BOSTON PROPERTIES INC COM 101121101 486 8147 SH SOLE 01 8147 0 0
BRINKER INTL INC COM 109641100 2173 60000 SH SOLE 02 60000 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 639 25367 SH SOLE 01 25367 0 0
BROWN FORMAN CORP CL B 115637209 840 16478 SH SOLE 01 16478 0 0
CABLEVISION SYS CORP CL A NY CABLVS 12686C109 2083 77700 SH SOLE 01 77700 0 0
CACHE INC COM NEW 127150308 5225 385607 SH SOLE 02 385607 0 0
CALPINE CORP COM 131347106 296 89508 SH SOLE 01 89508 0 0
CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 2021 1465000 PRN SOLE 01 1465000 0 0
CARNIVAL CORP NOTE 10/2 143658AS1 2720 3000000 PRN SOLE 01 3000000 0 0
CBRL GROUP INC COM 12489V106 4130 100000 SH SOLE 02 100000 0 0
CENTERPOINT ENERGY INC COM 15189T107 256 21401 SH SOLE 01 21401 0 0
CERIDIAN CORP NEW COM 156779100 383 21500 SH SOLE 01 21500 0 0
CHARLES RIV LABORATORIES INC DBCV 3.500% 2/0 159863AL3 475 397000 PRN SOLE 01 397000 0 0
CHARMING SHOPPES INC NOTE 4.750% 6/0 161133AC7 48 45000 PRN SOLE 01 45000 0 0
CHEVRONTEXACO CORP COM 166764100 693 11169 SH SOLE 01 11169 0 0
CISCO SYS INC COM 17275R102 831 47484 SH SOLE 01 47484 0 0
CITIGROUP INC COM 172967101 1324 27771 SH SOLE 01 27771 0 0
COCA COLA CO COM 191216100 742 17519 SH SOLE 01 17519 0 0
COMCAST CORP NEW CL A 20030N101 448 13821 SH SOLE 01 13821 0 0
CONOCOPHILLIPS COM 20825C104 416 3752 SH SOLE 01 3752 0 0
CONSOLIDATED EDISON INC COM 209115104 645 15092 SH SOLE 01 15092 0 0
CORPORATE OFFICE PPTYS TR SH BEN INT 22002T108 673 25700 SH SOLE 01 25700 0 0
COUNTRYWIDE FINANCIAL CORP COM 222372104 348 10579 SH SOLE 01 10579 0 0
CRT PROPERTIES INC COM 22876P109 268 12300 SH SOLE 01 12300 0 0
CSK AUTO CORP COM 125965103 14965 847900 SH SOLE 02 847900 0 0
CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 1680 1500000 PRN SOLE 01 1500000 0 0
DELL INC COM 24702R101 571 14263 SH SOLE 01 14263 0 0
DELPHI CORP COM 247126105 382 82643 SH SOLE 01 82643 0 0
DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 802 672000 PRN SOLE 01 672000 0 0
DEVON ENERGY CORP NEW DEB 4.950% 8/1 25179MAB9 2270 1908000 PRN SOLE 01 1908000 0 0
DIAMOND OFFSHORE DRILLING IN DBCV 1.500% 4/1 25271CAE2 1160 1000000 PRN SOLE 01 1000000 0 0
DICKS SPORTING GOODS INC COM 253393102 1983 54000 SH SOLE 02 54000 0 0
DISNEY WALT CO COM DISNEY 254687106 356 12791 SH SOLE 01 12791 0 0
DOMINION RES INC VA NEW COM 25746U109 1350 18738 SH SOLE 01 18738 0 0
DOW CHEM CO COM 260543103 279 5060 SH SOLE 01 5060 0 0
DRESS BARN INC COM 261570105 3244 178045 SH SOLE 02 178045 0 0
DU PONT E I DE NEMOURS & CO COM 263534109 308 5801 SH SOLE 01 5801 0 0
DUKE ENERGY CORP COM 264399106 1381 51160 SH SOLE 01 51160 0 0
DUKE ENERGY CORP NOTE 1.750% 5/1 264399EJ1 1121 955000 PRN SOLE 01 955000 0 0
DUPONT PHOTOMASKS INC NOTE 1.250% 5/1 26613XAE1 1051 1000000 PRN SOLE 01 1000000 0 0
DYCOM INDS INC COM 267475101 1066 44605 SH SOLE 01 44605 0 0
DYNEGY INC NEW CL A 26816Q101 84 20175 SH SOLE 01 20175 0 0
E M C CORP MASS COM 268648102 249 19773 SH SOLE 01 19773 0 0
E TRADE FINANCIAL CORP COM 269246104 263 19967 SH SOLE 01 19967 0 0
EBAY INC COM 278642103 488 11261 SH SOLE 01 11261 0 0
EDISON INTL COM 281020107 1196 36140 SH SOLE 01 36140 0 0
EDO CORP COM 281347104 332 10800 SH SOLE 01 10800 0 0
EL PASO CORP COM 28336L109 227 18412 SH SOLE 01 18412 0 0
ELECTRIC CITY CORP COM 284868106 291 295000 SH SOLE 01 295000 0 0
EMPIRE RESORTS INC COM 292052107 906 89815 SH SOLE 01 89815 0 0
ENDWAVE CORP COM NEW 29264A206 709 33827 SH SOLE 01 33827 0 0
ENTERGY CORP NEW COM 29364G103 1134 16400 SH SOLE 01 16400 0 0
EP MEDSYSTEMS INC COM 26881P103 384 104800 SH SOLE 01 104800 0 0
EQUITY OFFICE PROPERTIES TRU COM 294741103 477 15684 SH SOLE 01 15684 0 0
ESSEX PPTY TR INC COM 297178105 417 5922 SH SOLE 01 5922 0 0
EXELON CORP COM 30161N101 2239 49366 SH SOLE 01 49366 0 0
EXXON MOBIL CORP COM 30231G102 2150 33975 SH SOLE 01 33975 0 0
FAIRPOINT COMMUNICATIONS INC COM 305560104 2793 177300 SH SOLE 01 177300 0 0
FEDERAL HOME LN MTG CORP COM 313400301 230 3699 SH SOLE 01 3699 0 0
FEDERAL NATL MTG ASSN COM 313586109 300 5135 SH SOLE 01 5135 0 0
FINISH LINE INC CL A 317923100 2396 103493 SH SOLE 02 103493 0 0
FIRST DATA CORP COM 319963104 270 6653 SH SOLE 01 6653 0 0
FIRSTENERGY CORP COM 337932107 708 17166 SH SOLE 01 17166 0 0
FORD MTR CO DEL COM PAR $0.01 345370860 271 21539 SH SOLE 01 21539 0 0
FPL GROUP INC COM 302571104 1054 26569 SH SOLE 01 26569 0 0
FREEPORT-MCMORAN COPPER & GO NOTE 7.000% 2/1 35671DAK1 38 25000 PRN SOLE 01 25000 0 0
GASCO ENERGY INC COM 367220100 1232 334568 SH SOLE 01 334568 0 0
GATEWAY INC COM 367626108 6080 1508374 SH SOLE 01 02 1508374 0 0
GENERAL DYNAMICS CORP COM 369550108 2788 26062 SH SOLE 01 02 26062 0 0
GENERAL ELEC CO COM 369604103 2161 61381 SH SOLE 01 61381 0 0
GENERAL MARITIME CORP SHS Y2692M103 240 5000 SH SOLE 01 5000 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 755 34800 SH SOLE 01 34800 0 0
GILLETTE CO COM 375766102 264 5259 SH SOLE 01 5259 0 0
GOLDEN WEST FINL CORP DEL COM 381317106 329 5498 SH SOLE 01 5498 0 0
GOLDMAN SACHS GROUP INC COM 38141G104 257 2376 SH SOLE 01 2376 0 0
GOODYS FAMILY CLOTHING INC COM 382588101 451 50000 SH SOLE 02 50000 0 0
GOOGLE INC CL A 38259P508 905 5000 SH SOLE 01 5000 0 0
HARMAN INTL INDS INC COM 413086109 3599 34800 SH SOLE 01 34800 0 0
HCA INC COM 404119109 210 4185 SH SOLE 01 02 4185 0 0
HEWLETT PACKARD CO COM 428236103 353 16997 SH SOLE 01 16997 0 0
HILFIGER TOMMY CORP ORD G8915Z102 4203 359200 SH SOLE 02 359200 0 0
HOME DEPOT INC COM 437076102 750 18819 SH SOLE 01 18819 0 0
HOOPER HOLMES INC COM 439104100 50 13000 SH SOLE 02 13000 0 0
HUMAN GENOME SCIENCES INC COM 444903108 171 17080 SH SOLE 01 17080 0 0
HUNT J B TRANS SVCS INC COM 445658107 680 15100 SH SOLE 01 15100 0 0
IDEC PHARMACEUTICALS CORP NOTE 2/1 449370AC9 1598 1000000 PRN SOLE 01 1000000 0 0
INNOVO GROUP INC COM PAR $0.01 457954600 99 20000 SH SOLE 02 20000 0 0
INTEL CORP COM 458140100 867 36209 SH SOLE 01 36209 0 0
INTERLINK ELECTRS COM 458751104 404 50900 SH SOLE 01 50900 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 864 9467 SH SOLE 01 9467 0 0
INTERNATIONAL RECTIFIER CORP NOTE 4.250% 7/1 460254AE5 294 296000 PRN SOLE 01 296000 0 0
INTL PAPER CO COM 460146103 266 7102 SH SOLE 01 7102 0 0
INTL PAPER CO DBCV 6/2 460146BM4 55 100000 PRN SOLE 01 100000 0 0
INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 925 1000000 PRN SOLE 01 1000000 0 0
ISHARES TR DJ US REAL EST 464287739 302 2622 SH SOLE 01 2622 0 0
ISHARES TR DJ US UTILS 464287697 1495 21025 SH SOLE 01 21025 0 0
ISHARES TR RUSSELL 2000 464287655 2782 22634 SH SOLE 01 22634 0 0
ISHARES TR S&P 500 INDEX 464287200 18749 156960 SH SOLE 01 156960 0 0
ISLE OF CAPRI CASINOS INC COM 464592104 856 30500 SH SOLE 01 30500 0 0
ISOLAGEN INC COM 46488N103 405 54300 SH SOLE 01 54300 0 0
JOHNSON & JOHNSON COM 478160104 1039 15826 SH SOLE 01 15826 0 0
JOS A BANK CLOTHIERS INC COM 480838101 4739 161746 SH SOLE 02 161746 0 0
JPMORGAN & CHASE & CO COM 46625H100 1570 43853 SH SOLE 01 43853 0 0
KERZNER INTL LTD NOTE 2.375% 4/1 492520AB7 557 450000 PRN SOLE 01 450000 0 0
KFX INC COM 48245L107 2573 171150 SH SOLE 01 171150 0 0
KINDRED HEALTHCARE INC COM 494580103 211 6000 SH SOLE 02 6000 0 0
KOHLS CORP COM 500255104 4657 90337 SH SOLE 01 02 90337 0 0
KRISPY KREME DOUGHNUTS INC COM 501014104 22792 2987100 SH SOLE 02 2987100 0 0
LEGG MASON INC NOTE 6/0 524901AG0 5035 5475000 PRN SOLE 01 5475000 0 0
LENNAR CORP NOTE 4/0 526057AF1 2306 2665000 PRN SOLE 01 2665000 0 0
LEUCADIA NATL CORP COM 527288104 29043 845600 SH SOLE 01 02 845600 0 0
LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 17 20000 PRN SOLE 01 20000 0 0
LIFEPOINT HOSPITALS INC NOTE 4.500% 6/0 53219LAE9 894 872000 PRN SOLE 01 872000 0 0
LIGAND PHARMACEUTICALS INC CL B 53220K207 71 11301 SH SOLE 01 11301 0 0
LILLY ELI & CO COM 532457108 336 6010 SH SOLE 01 6010 0 0
LIONS GATE ENTMNT CORP COM NEW 535919203 142 13200 SH SOLE 01 13200 0 0
LOWES COS INC COM 548661107 1087 18728 SH SOLE 01 18728 0 0
MAJESCO HLDGS INC COM NEW 560690208 224 18900 SH SOLE 01 18900 0 0
MASSEY ENERGY CO NOTE 2.250% 4/0 576203AF0 264 180000 PRN SOLE 01 180000 0 0
MASSEY ENERGY CO NOTE 4.750% 5/1 576203AB9 84 35000 PRN SOLE 01 35000 0 0
MAVERICK TUBE CORP COM 577914104 338 10000 SH SOLE 01 10000 0 0
MCDATA CORP CL A 580031201 70 17103 SH SOLE 01 17103 0 0
MCDONALDS CORP COM 580135101 587 18048 SH SOLE 01 18048 0 0
MCMORAN EXPLORATION CO NOTE 6.000% 7/0 582411AB0 40 100000 PRN SOLE 01 100000 0 0
MEDTRONIC INC COM 585055106 2377 46417 SH SOLE 01 46417 0 0
MEDTRONIC INC DBCV 1.250% 9/1 585055AD8 2220 2200000 PRN SOLE 01 2200000 0 0
MERCK & CO INC COM 589331107 371 11715 SH SOLE 01 11715 0 0
MERCURY INTERACTIVE CORP NOTE 4.750% 7/0 589405AB5 499 500000 PRN SOLE 01 500000 0 0
MERISTAR HOSPITALITY CORP NOTE 9.500% 4/0 58984YAJ2 172 140000 PRN SOLE 01 140000 0 0
MERRILL LYNCH & CO INC COM 590188108 288 4938 SH SOLE 01 4938 0 0
METALS USA INC *W EXP 10/31/200 591324116 254 29657 SH SOLE 01 29657 0 0
MICRON TECHNOLOGY INC COM 595112103 178 15573 SH SOLE 01 15573 0 0
MICROSOFT CORP COM 594918104 2259 90226 SH SOLE 01 90226 0 0
MILLENNIUM CELL INC COM 60038B105 157 70000 SH SOLE 01 70000 0 0
MITTAL STEEL CO N V NY REG SH CL A 60684P101 4333 113600 SH SOLE 01 113600 0 0
MOLSON COORS BREWING CO CL B 60871R209 2403 32927 SH SOLE 01 32927 0 0
MORGAN STANLEY COM NEW 617446448 611 10904 SH SOLE 01 10904 0 0
MORTGAGEIT HLDGS INC COM 61915Q108 6770 414600 SH SOLE 01 414600 0 0
MOTOROLA INC COM 620076109 223 14233 SH SOLE 01 14233 0 0
NASDAQ 100 TR UNIT SER 1 631100104 15873 432551 SH SOLE 01 432551 0 0
NATIONAL HEALTH INVS INC COM 63633D104 6031 231500 SH SOLE 01 231500 0 0
NATIONAL HEALTHCARE CORP COM 635906100 229 6700 SH SOLE 02 6700 0 0
NEIGHBORCARE INC COM 64015Y104 3394 113176 SH SOLE 01 113176 0 0
NEW YORK & CO INC COM 649295102 13661 680700 SH SOLE 01 02 680700 0 0
NEW YORK CMNTY BANCORP INC COM 649445103 366 20000 SH SOLE 01 20000 0 0
NEWS CORP CL A 65248E104 825 47991 SH SOLE 01 47991 0 0
NICOR INC COM 654086107 4641 125284 SH SOLE 01 125284 0 0
NRG ENERGY INC COM NEW 629377508 565 15900 SH SOLE 01 15900 0 0
OFFICEMAX INC DEL COM 67622P101 4205 125585 SH SOLE 01 02 125585 0 0
OIL STS INTL INC COM 678026105 316 15000 SH SOLE 01 15000 0 0
OIL SVC HOLDRS TR DEPOSTRY RCPT 678002106 4329 46245 SH SOLE 01 46245 0 0
OMI CORP NOTE 2.875%12/0 670874AF3 3395 3500000 PRN SOLE 01 3500000 0 0
OMI CORP NEW COM Y6476W104 254 13400 SH SOLE 01 13400 0 0
OMNICOM GROUP INC NOTE 2/0 681919AK2 73 74000 PRN SOLE 01 74000 0 0
OMNICOM GROUP INC NOTE 6/1 681919AR7 14 14000 PRN SOLE 01 14000 0 0
ORACLE CORP COM 68389X105 335 26067 SH SOLE 01 26067 0 0
PEPSICO INC COM 713448108 479 8903 SH SOLE 01 8903 0 0
PFIZER INC COM 717081103 1040 39581 SH SOLE 01 39581 0 0
PG&E CORP COM 69331C108 36114 1052765 SH SOLE 01 1052765 0 0
PHARMACEUTICAL HLDRS TR DEPOSITRY RCPT 71712A206 1439 20030 SH SOLE 01 20030 0 0
PIPER JAFFRAY COS COM 724078100 846 21600 SH SOLE 01 21600 0 0
PLAYBOY ENTERPRISES INC CL B 728117300 313 23800 SH SOLE 01 23800 0 0
PLUG POWER INC COM 72919P103 286 40000 SH SOLE 01 40000 0 0
PORTAL SOFTWARE INC COM NEW 736126301 49 17972 SH SOLE 01 17972 0 0
PRIDE INTL INC DEL FRNT 2.500% 3/0 74153QAB8 8863 5650000 PRN SOLE 01 5650000 0 0
PROCTER & GAMBLE CO COM 742718109 734 13833 SH SOLE 01 13833 0 0
PROGRESS ENERGY INC COM 743263105 525 12122 SH SOLE 01 12122 0 0
PROVIDIAN FINL CORP NOTE 3.250% 8/1 74406AAA0 104 105000 PRN SOLE 01 105000 0 0
PROVINCE HEALTHCARE CO NOTE 4.500%11/2 743977AC4 5093 5044000 PRN SOLE 01 5044000 0 0
PRUDENTIAL FINL INC COM 744320102 7034 127779 SH SOLE 01 127779 0 0
PUBLIC SVC ENTERPRISE GROUP COM 744573106 903 16563 SH SOLE 01 16563 0 0
QLT INC NOTE 3.000% 9/1 746927AB8 559 500000 PRN SOLE 01 500000 0 0
QUALCOMM INC COM 747525103 598 16551 SH SOLE 01 16551 0 0
RELIANT ENERGY INC COM 75952B105 184 15375 SH SOLE 01 15375 0 0
RENTECH INC COM 760112102 133 85000 SH SOLE 01 85000 0 0
RES-CARE INC COM 760943100 184 14700 SH SOLE 02 14700 0 0
RETAIL HOLDRS TR DEP RCPT 76127U101 11157 115080 SH SOLE 01 115080 0 0
RETAIL VENTURES INC COM 76128Y102 173 19000 SH SOLE 02 19000 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 608 1311000 PRN SOLE 01 1311000 0 0
ROSS STORES INC COM 778296103 790 27100 SH SOLE 02 27100 0 0
SBC COMMUNICATIONS INC COM 78387G103 453 18869 SH SOLE 01 18869 0 0
SCHLUMBERGER LTD COM 806857108 236 3128 SH SOLE 01 3128 0 0
SCI SYS INC NOTE 3.000% 3/1 783890AF3 33 35000 PRN SOLE 01 35000 0 0
SCIENTIFIC GAMES CORP CL A 80874P109 2974 130530 SH SOLE 01 02 130530 0 0
SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 987 23602 SH SOLE 01 23602 0 0
SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 4384 146900 SH SOLE 01 146900 0 0
SIEBEL SYS INC COM 826170102 111 13004 SH SOLE 01 13004 0 0
SL GREEN RLTY CORP COM 78440X101 494 8791 SH SOLE 01 8791 0 0
SMITHFIELD FOODS INC COM 832248108 852 27000 SH SOLE 02 27000 0 0
SOFTWARE HOLDRS TR DEPOSITRY RCPT 83404B103 4241 121000 SH SOLE 01 121000 0 0
SOUTHERN CO COM 842587107 1554 48379 SH SOLE 01 48379 0 0
SPRINT CORP COM FON 852061100 203 8586 SH SOLE 01 8586 0 0
SPX CORP NOTE 5/0 784635AF1 6 10000 PRN SOLE 01 10000 0 0
STAGE STORES INC COM NEW 85254C305 2158 56204 SH SOLE 02 56204 0 0
STANDARD MTR PRODS INC SDCV 6.750% 7/1 853666AB1 26 29000 PRN SOLE 01 29000 0 0
STREETTRACKS GOLD TR GOLD SHS 863307104 31473 735000 SH SOLE 02 735000 0 0
SUN MICROSYSTEMS INC COM 866810104 82 19632 SH SOLE 01 19632 0 0
SUNGARD DATA SYS INC COM 867363103 634 20077 SH SOLE 01 20077 0 0
SUNRISE SENIOR LIVING INC NOTE 5.250% 2/0 86768KAE6 60 44000 PRN SOLE 01 44000 0 0
SUNSTONE HOTEL INVS INC NEW COM 867892101 214 10000 SH SOLE 01 10000 0 0
SYMANTEC CORP COM 871503108 324 15114 SH SOLE 01 15114 0 0
SYSCO CORP COM 871829107 8529 238379 SH SOLE 01 02 238379 0 0
TARGET CORP COM 87612E106 284 5595 SH SOLE 01 5595 0 0
TARRANT APPAREL GROUP COM 876289109 240 116589 SH SOLE 02 116589 0 0
TAUBMAN CTRS INC COM 876664103 536 19500 SH SOLE 01 19500 0 0
TEEKAY SHIPPING MARSHALL ISL COM Y8564W103 1890 40700 SH SOLE 01 40700 0 0
TEXAS INSTRS INC COM 882508104 273 10390 SH SOLE 01 10390 0 0
THERMA-WAVE INC COM 88343A108 28 10000 SH SOLE 01 10000 0 0
THERMO ELECTRON CORP SDCV 3.250%11/0 883556AJ1 1586 1595000 PRN SOLE 01 1595000 0 0
TIME WARNER INC COM 887317105 533 30914 SH SOLE 01 30914 0 0
TOO INC COM 890333107 4838 196100 SH SOLE 02 196100 0 0
TOYS R US INC COM 892335100 5380 209139 SH SOLE 01 209139 0 0
TRANSOCEAN INC ORD G90078109 566 11704 SH SOLE 01 11704 0 0
TRIAD HOSPITALS INC COM 89579K109 250 5000 SH SOLE 02 5000 0 0
TRIZEC PROPERTIES INC COM 89687P107 2264 120001 SH SOLE 01 120001 0 0
TXU CORP COM 873168108 1491 19576 SH SOLE 01 19576 0 0
TYCO INTL LTD NEW COM 902124106 359 10730 SH SOLE 01 10730 0 0
UNITED PARCEL SERVICE INC CL B 911312106 460 5938 SH SOLE 01 5938 0 0
UNITED RENTALS NORTH AMER IN NOTE 1.875%10/1 911365AH7 20 20000 PRN SOLE 01 20000 0 0
UNITED SURGICAL PARTNERS INT COM 913016309 253 5500 SH SOLE 01 02 5500 0 0
UNITED TECHNOLOGIES CORP COM 913017109 732 7217 SH SOLE 01 7217 0 0
UNITEDHEALTH GROUP INC COM 91324P102 324 3550 SH SOLE 01 3550 0 0
US BANCORP DEL COM NEW 902973304 295 9933 SH SOLE 01 9933 0 0
VAALCO ENERGY INC COM NEW 91851C201 53 10968 SH SOLE 01 10968 0 0
VALOR COMMUNICATIONS GROUP I COM 920255106 10870 733000 SH SOLE 01 733000 0 0
VALUEVISION MEDIA INC CL A 92047K107 792 66075 SH SOLE 01 66075 0 0
VECTOR GROUP LTD COM 92240M108 21501 1398000 SH SOLE 02 1398000 0 0
VECTOR GROUP LTD NOTE 6.250% 7/1 92240MAC2 435 490000 PRN SOLE 01 490000 0 0
VERIZON COMMUNICATIONS COM 92343V104 814 22763 SH SOLE 01 22763 0 0
VIACOM INC CL B 925524308 370 10652 SH SOLE 01 10652 0 0
VISION-SCIENCES INC DEL COM 927912105 257 88400 SH SOLE 01 88400 0 0
WACHOVIA CORP 2ND NEW COM 929903102 452 8411 SH SOLE 01 8411 0 0
WAL MART STORES INC COM 931142103 28490 568023 SH SOLE 01 02 568023 0 0
WALGREEN CO COM 931422109 232 5418 SH SOLE 01 5418 0 0
WASHINGTON MUT INC COM 939322103 490 12182 SH SOLE 01 12182 0 0
WASTE CONNECTIONS INC DBCV 5/0 941053AE0 79 69000 PRN SOLE 01 69000 0 0
WEATHERFORD INTL INC DBCV 6/3 947074AB6 191 300000 PRN SOLE 01 300000 0 0
WELLS FARGO & CO NEW COM 949746101 537 9047 SH SOLE 01 9047 0 0
WET SEAL INC CL A 961840105 1787 513416 SH SOLE 02 513416 0 0
WILLIAMS COS INC DEL COM 969457100 622 33025 SH SOLE 01 33025 0 0
WYETH COM 983024100 287 7088 SH SOLE 01 7088 0 0
XCEL ENERGY INC COM 98389B100 974 57731 SH SOLE 01 57731 0 0
YAHOO INC COM 984332106 246 7579 SH SOLE 01 7579 0 0