0001166588-11-000008.txt : 20111114
0001166588-11-000008.hdr.sgml : 20111111
20111114155838
ACCESSION NUMBER: 0001166588-11-000008
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110930
FILED AS OF DATE: 20111114
DATE AS OF CHANGE: 20111114
EFFECTIVENESS DATE: 20111114
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BNP PARIBAS ARBITRAGE, SA
CENTRAL INDEX KEY: 0001166588
IRS NUMBER: 233022591
FILING VALUES:
FORM TYPE: 13F-HR
SEC ACT: 1934 Act
SEC FILE NUMBER: 028-10038
FILM NUMBER: 111202215
BUSINESS ADDRESS:
STREET 1: 787 SEVENTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10019
BUSINESS PHONE: 610 491 1492
MAIL ADDRESS:
STREET 1: 555 CROTON ROAD
CITY: KING OF PRUSSIA
STATE: PA
ZIP: 19406
FORMER COMPANY:
FORMER CONFORMED NAME: BNP PARIBAS ARBITRAGE, SNC
DATE OF NAME CHANGE: 20080428
FORMER COMPANY:
FORMER CONFORMED NAME: BNP PARIBAS ARBITRAGE SA
DATE OF NAME CHANGE: 20020205
13F-HR
1
bnpparb13fhr.txt
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F
FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended:Sep 30,2011
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: BNP PARIBAS ARBITRAGE, SNC
Address: 787 Seventh Ave.
New York, NY 10019
13F File Number: 028 - 10038
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: M. Andrews Yeo
Title: COO, EQ&D, BNP Paribas Securities Corp.
Phone: 917-472-4991
Signature ,Place, and Date of Signing:
M. Andrews Yeo
New York, NY
2011/11/11
Report Type (Check only one.):
[ X] 13F HOLDINGS REPORT. (Check here if all holdings of
this reporting manager are reported in this report.)
[ ] 13F NOTICE. (Check here if no holdings reported are in
this report, and all holdings are reported by other
reporting manager(s).)
[ ] 13F COMBINATION REPORT. (Check here if a portion of the
holdings for this reporting manager are reported in this
report and a portion are reported by other reporting
managers(s).)
List of Other Managers Reporting for this Manager:
**NONE**
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES EXCHANGE ACT OF 1934.
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 1,463
Form 13F Information Table Value Total: $51,644,043 (x$1,000)
List of Other Included Managers:
No. 13F File Number Name
**NONE**
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page 1 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
ALLEGHENY TECHNOLOGIES INC BOND CV 01741RAD4 115799 959000 PRN SOLE 959000 0 0
AMGEN INC BOND CV 031162AQ3 96383 981000 PRN SOLE 981000 0 0
ARVINMERITOR INC BOND CV 043353AF8 261202 3420000 PRN SOLE 3420000 0 0
BORGWARNER INC BOND CV 099724AF3 3031994 16356000 PRN SOLE 16356000 0 0
BOSTON PPTYS LTD PARTNERSHIP BOND CV 10112RAG9 209693 1926000 PRN SOLE 1926000 0 0
BROOKDALE SR LIVING INC BOND CV 112463AA2 837144 11088000 PRN SOLE 11088000 0 0
CAL DIVE INTL INC BOND CV 127914AB5 6370 65000 PRN SOLE 65000 0 0
CEMEX SAB DE CV BOND CV 151290AV5 80822 1706000 PRN SOLE 1706000 0 0
CEPHALON INC BOND CV 156708AR0 123625 1000000 PRN SOLE 1000000 0 0
CHARLES RIV LABS INTL INC BOND CV 159864AB3 24366 248000 PRN SOLE 248000 0 0
CHENIERE ENERGY INC BOND CV 16411RAE9 1874 23000 PRN SOLE 23000 0 0
CUBIST PHARMACEUTICALS INC BOND CV 229678AC1 376 3000 PRN SOLE 3000 0 0
CUBIST PHARMACEUTICALS INC BOND CV 229678AD9 1011192 7408000 PRN SOLE 7408000 0 0
DANAHER CORP DEL BOND CV 235851AF9 53637 441000 PRN SOLE 441000 0 0
DENDREON CORP BOND CV 24823QAC1 211232 2944000 PRN SOLE 2944000 0 0
DEVELOPERS DIVERSIFIED RLTY BOND CV 251591AX1 599209 6522000 PRN SOLE 6522000 0 0
EASTMAN KODAK CO BOND CV 277461BJ7 153000 6000000 PRN SOLE 6000000 0 0
FORD MTR CO DEL BOND CV 345370CN8 362221 2789000 PRN SOLE 2789000 0 0
GENCO SHIPPING & TRADING LTD BOND CV 36869MAA3 222768 3094000 PRN SOLE 3094000 0 0
GENERAL CABLE CORP DEL NEW BOND CV 369300AL2 180000 2000000 PRN SOLE 2000000 0 0
GILEAD SCIENCES INC BOND CV 375558AN3 318969 2950000 PRN SOLE 2950000 0 0
GOODRICH PETE CORP BOND CV 382410AB4 10352 103000 PRN SOLE 103000 0 0
GOODRICH PETE CORP BOND CV 382410AC2 12798 142000 PRN SOLE 142000 0 0
HEALTH CARE REIT INC BOND CV 42217KAR7 509113 4820000 PRN SOLE 4820000 0 0
HERCULES OFFSHORE INC BOND CV 427093AD1 1890 21000 PRN SOLE 21000 0 0
HERTZ GLOBAL HOLDINGS INC BOND CV 42805TAA3 208270 1599000 PRN SOLE 1599000 0 0
INCYTE CORP BOND CV 45337CAJ1 1553596 8765000 PRN SOLE 8765000 0 0
INGERSOLL-RAND GLOBAL HLDG C BOND CV 45687AAD4 1554080 9713000 PRN SOLE 9713000 0 0
INTERPUBLIC GROUP COS INC BOND CV 460690BA7 504 5000 PRN SOLE 5000 0 0
INTERPUBLIC GROUP COS INC BOND CV 460690BE9 3188 30000 PRN SOLE 30000 0 0
INVACARE CORP SDCV 4.125% 2/0 BOND CV 461203AD3 119625 1000000 PRN SOLE 1000000 0 0
INVITROGEN CORP BOND CV 46185RAK6 101000 1000000 PRN SOLE 1000000 0 0
JAMES RIVER COAL CO BOND CV 470355AF5 14060 185000 PRN SOLE 185000 0 0
JEFFERIES GROUP INC NEW DBCV 3 BOND CV 472319AG7 27961 306000 PRN SOLE 306000 0 0
LEVEL 3 COMMUNICATIONS INC BOND CV 52729NBR0 337250 2375000 PRN SOLE 2375000 0 0
MF GLOBAL LTD BOND CV 55276YAB2 18890 178000 PRN SOLE 178000 0 0
MYLAN INC BOND CV 628530AJ6 1613415 11127000 PRN SOLE 11127000 0 0
NASDAQ OMX GROUP INC BOND CV 631103AA6 214520 2098000 PRN SOLE 2098000 0 0
NETAPP INC BOND CV 64110DAB0 223828 1846000 PRN SOLE 1846000 0 0
NEWMONT MINING CORP BOND CV 651639AH9 283095 1944000 PRN SOLE 1944000 0 0
NEWMONT MINING CORP BOND CV 651639AJ5 71312 477000 PRN SOLE 477000 0 0
NEWMONT MINING CORP BOND CV 651639AK2 552 4000 PRN SOLE 4000 0 0
NORTHGATE MINERALS CORP BOND CV 666416AB8 92372 835000 PRN SOLE 835000 0 0
NUVASIVE INC BOND CV 670704AB1 656749 6895000 PRN SOLE 6895000 0 0
OMNICARE INC BOND CV 681904AN8 1545553 13815000 PRN SOLE 13815000 0 0
PHH CORP BOND CV 693320AH6 40260 400000 PRN SOLE 400000 0 0
PMI GROUP INC BOND CV 69344MAK7 10590 343000 PRN SOLE 343000 0 0
PROLOGIS BOND CV 74340XAS0 100667 1022000 PRN SOLE 1022000 0 0
PROLOGIS BOND CV 74340XAT8 1869528 18908000 PRN SOLE 18908000 0 0
PROLOGIS BOND CV 743410AQ5 117605 1179000 PRN SOLE 1179000 0 0
RAYONIER TRS HLDGS INC BOND CV 75508AAB2 338800 3025000 PRN SOLE 3025000 0 0
REGIS CORP MINN BOND CV 758932AA5 116125 1000000 PRN SOLE 1000000 0 0
ROPER INDS INC NEW BOND CV 776696AA4 21562 250000 PRN SOLE 250000 0 0
ROVI CORP BOND CV 779376AB8 172050 1488000 PRN SOLE 1488000 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page2 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
SBA COMMUNICATIONS CORP BOND CV 78388JAM8 1423125 11000000 PRN SOLE 11000000 0 0
SBA COMMUNICATIONS CORP BOND CV 78388JAN6 337187 3250000 PRN SOLE 3250000 0 0
SALESFORCE COM INC BOND CV 79466LAB0 11780 80000 PRN SOLE 80000 0 0
SANDISK CORP BOND CV 80004CAD3 396625 3800000 PRN SOLE 3800000 0 0
SUNPOWER CORP DBCV 4.750% 4/1 BOND CV 867652AC3 384279 4417000 PRN SOLE 4417000 0 0
SUNPOWER CORP DBCV 4.500% 3/1 BOND CV 867652AE9 233650 2761000 PRN SOLE 2761000 0 0
TECH DATA CORP DBCV 2.750%12/1 BOND CV 878237AE6 21327 213000 PRN SOLE 213000 0 0
TELEFLEX INC BOND CV 879369AA4 271562 2500000 PRN SOLE 2500000 0 0
TRIUMPH GROUP INC NEW BOND CV 896818AB7 2146500 12000000 PRN SOLE 12000000 0 0
UNITED STATES STL CORP NEW BOND CV 912909AE8 208 2000 PRN SOLE 2000 0 0
VERTEX PHARMACEUTICALS INC BOND CV 92532FAN0 444886 3877000 PRN SOLE 3877000 0 0
VIRGIN MEDIA INC BOND CV 92769LAB7 75000 500000 PRN SOLE 500000 0 0
VORNADO RLTY L P DBCV 3.625%11 BOND CV 929043AE7 24631 246000 PRN SOLE 246000 0 0
WESCO INTL INC DBCV 6.000% 9/1 BOND CV 95082PAH8 1488659 10502000 PRN SOLE 10502000 0 0
WESTERN REFNG INC BOND CV 959319AC8 136125 1000000 PRN SOLE 1000000 0 0
XILINX INC BOND CV 983919AF8 49595 436000 PRN SOLE 436000 0 0
AGILENT TECHNOLOGIES INC COM 00846U101 356 11389 SH SOLE 11389 0 0
ALCOA INC COM 013817101 25311 2644853 SH SOLE 2644853 0 0
ALCOA INC OPTION 013817101 286 6309 SH CALL SOLE 6309 0 0
ALCOA INC OPTION 013817101 15549 37203 SH PUT SOLE 37203 0 0
ADVANCE AUTO PARTS INC COM 00751Y106 226 3885 SH SOLE 3885 0 0
APPLE INC COM 037833100 56845 149074 SH SOLE 149074 0 0
APPLE INC OPTION 037833100 20072 16849 SH PUT SOLE 16849 0 0
APPLE INC OPTION 037833100 16439 3459 SH CALL SOLE 3459 0 0
ABB LTD COM 000375204 7198 421426 SH SOLE 421426 0 0
AMERISOURCEBERGEN CORP COM 03073E105 571 15317 SH SOLE 15317 0 0
ABBOTT LABS COM 002824100 22172 433563 SH SOLE 433563 0 0
ABBOTT LABS OPTION 002824100 3244 12093 SH CALL SOLE 12093 0 0
ABBOTT LABS OPTION 002824100 2384 5865 SH PUT SOLE 5865 0 0
COMPANHIA DE BEBIDAS DAS AME S COM 20441W203 18589 606491 SH SOLE 606491 0 0
BARRICK GOLD CORP COM 067901108 15292 327801 SH SOLE 327801 0 0
BARRICK GOLD CORP OPTION 067901108 2119 4500 SH PUT SOLE 4500 0 0
ACE LTD SHS COM H0023R105 3306 54551 SH SOLE 54551 0 0
ARCH CAP GROUP LTD COM G0450A105 34218 1047209 SH SOLE 1047209 0 0
ALUMINUM CORP CHINA LTD SPON COM 022276109 522 50000 SH SOLE 50000 0 0
ARCH COAL INC COM 039380100 1010 69241 SH SOLE 69241 0 0
ARCH COAL INC OPTION 039380100 472 500 SH PUT SOLE 500 0 0
AECOM TECHNOLOGY CORP DELAWA COM 00766T100 322 18199 SH SOLE 18199 0 0
ACCENTURE PLC IRELAND SHS CLAS COM G1151C101 242 4593 SH SOLE 4593 0 0
ANALOG DEVICES INC COM 032654105 993 31777 SH SOLE 31777 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 13958 562578 SH SOLE 562578 0 0
ARCHER DANIELS MIDLAND CO OPTION 039483102 520 3591 SH CALL SOLE 3591 0 0
ARCHER DANIELS MIDLAND CO OPTION 039483102 1633 5750 SH PUT SOLE 5750 0 0
AUTOMATIC DATA PROCESSING IN COM 053015103 1169 24785 SH SOLE 24785 0 0
AUTOMATIC DATA PROCESSING IN OPTION 053015103 262 690 SH PUT SOLE 690 0 0
ALLIANCE DATA SYSTEMS CORP COM 018581108 530 5714 SH SOLE 5714 0 0
AEGON N V NY REGISTRY SH COM 007924103 2028 500816 SH SOLE 500816 0 0
AGNICO EAGLE MINES LTD COM 008474108 4067 68328 SH SOLE 68328 0 0
AGNICO EAGLE MINES LTD OPTION 008474108 755 1000 SH PUT SOLE 1000 0 0
AMERICAN ELEC PWR INC COM 025537101 2380 62590 SH SOLE 62590 0 0
AMERICAN ELEC PWR INC OPTION 025537101 260 1620 SH PUT SOLE 1620 0 0
AETNA INC NEW COM 00817Y108 759 20891 SH SOLE 20891 0 0
ASTORIA FINL CORP COM 046265104 129 16817 SH SOLE 16817 0 0
AFLAC INC COM 001055102 3430 98147 SH SOLE 98147 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page3 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
AFLAC INC OPTION 001055102 1168 1117 SH PUT SOLE 1117 0 0
AGCO CORP BOND CV 001084AM4 2005 18000 PRN SOLE 18000 0 0
AGCO CORP COM 001084102 2399 69408 SH SOLE 69408 0 0
ISHARES TR BARCLY USAGG B COM 464287226 54696 496740 SH SOLE 496740 0 0
AGL RES INC COM 001204106 888 21804 SH SOLE 21804 0 0
ALLERGAN INC COM 018490102 2923 35476 SH SOLE 35476 0 0
ALLERGAN INC OPTION 018490102 250 500 SH PUT SOLE 500 0 0
AMERICAN CAPITAL AGENCY CORP COM 02503X105 291 10731 SH SOLE 10731 0 0
AMERIGROUP CORP COM 03073T102 487 12495 SH SOLE 12495 0 0
AGRIUM INC COM 008916108 2134 32007 SH SOLE 32007 0 0
AMERICAN INTL GROUP INC COM 026874784 7225 329147 SH SOLE 329147 0 0
AMERICAN INTL GROUP INC OPTION 026874784 390 300 SH PUT SOLE 300 0 0
AMERICAN INTL GROUP INC *W EXP COM 026874156 175 28640 SH SOLE 28640 0 0
APOLLO INVT CORP COM 03761U106 526 70009 SH SOLE 70009 0 0
GALLAGHER ARTHUR J & CO COM 363576109 531 20191 SH SOLE 20191 0 0
AKAMAI TECHNOLOGIES INC COM 00971T101 795 39990 SH SOLE 39990 0 0
AKAMAI TECHNOLOGIES INC OPTION 00971T101 285 64 SH PUT SOLE 64 0 0
AK STL HLDG CORP COM 001547108 7446 1138546 SH SOLE 1138546 0 0
ALBEMARLE CORP COM 012653101 1348 33359 SH SOLE 33359 0 0
ALIGN TECHNOLOGY INC COM 016255101 163 10765 SH SOLE 10765 0 0
ALTERA CORP COM 021441100 722 22883 SH SOLE 22883 0 0
ALCATEL-LUCENT COM 013904305 6956 2457859 SH SOLE 2457859 0 0
AUTOLIV INC COM 052800109 356 7340 SH SOLE 7340 0 0
ALEXION PHARMACEUTICALS INC COM 015351109 631 9848 SH SOLE 9848 0 0
APPLIED MATLS INC COM 038222105 4248 410255 SH SOLE 410255 0 0
APPLIED MICRO CIRCUITS CORP COM 03822W406 806 150171 SH SOLE 150171 0 0
ADVANCED MICRO DEVICES INC COM 007903107 11122 2189388 SH SOLE 2189388 0 0
ADVANCED MICRO DEVICES INC OPTION 007903107 572 11192 SH PUT SOLE 11192 0 0
ADVANCED MICRO DEVICES INC BOND CV 007903AL1 422866 4326000 PRN SOLE 4326000 0 0
AMETEK INC NEW COM 031100100 274 8323 SH SOLE 8323 0 0
AFFILIATED MANAGERS GROUP COM 008252108 227 2912 SH SOLE 2912 0 0
AMGEN INC COM 031162100 4195 76328 SH SOLE 76328 0 0
AMGEN INC OPTION 031162100 537 1902 SH CALL SOLE 1902 0 0
AMGEN INC OPTION 031162100 848 4151 SH PUT SOLE 4151 0 0
AMKOR TECHNOLOGY INC COM 031652100 2409 552440 SH SOLE 552440 0 0
AMERON INTL INC COM 030710107 1134 13347 SH SOLE 13347 0 0
AMR CORP COM 001765106 3636 1228214 SH SOLE 1228214 0 0
AMR CORP OPTION 001765106 1138 4850 SH PUT SOLE 4850 0 0
AMERICAN TOWER CORP COM 029912201 4205 78166 SH SOLE 78166 0 0
AMERICAN TOWER CORP OPTION 029912201 425 1169 SH PUT SOLE 1169 0 0
TD AMERITRADE HLDG CORP COM 87236Y108 249 16937 SH SOLE 16937 0 0
AMERICA MOVIL SAB DE CV SPON COM 02364W105 3149 142609 SH SOLE 142609 0 0
AMAZON COM INC COM 023135106 13693 63328 SH SOLE 63328 0 0
AMAZON COM INC OPTION 023135106 4422 5998 SH PUT SOLE 5998 0 0
AMAZON COM INC OPTION 023135106 15630 2972 SH CALL SOLE 2972 0 0
ANDERSONS INC COM 034164103 674 20028 SH SOLE 20028 0 0
ABERCROMBIE & FITCH CO COM 002896207 282 4573 SH SOLE 4573 0 0
ALPHA NATURAL RESOURCES INC OPTION 02076X102 254 1740 SH PUT SOLE 1740 0 0
ALPHA NATURAL RESOURCES INC BOND CV 02076XAA0 123338 1300000 PRN SOLE 1300000 0 0
ALPINE TOTAL DYNAMIC DIVID F C COM 021060108 677 150000 SH SOLE 150000 0 0
AOL INC COM 00184X105 328 27358 SH SOLE 27358 0 0
AOL INC OPTION 00184X105 357 195 SH PUT SOLE 195 0 0
APACHE CORP COM 037411105 13747 171325 SH SOLE 171325 0 0
APACHE CORP OPTION 037411105 5335 1867 SH PUT SOLE 1867 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page4 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
APAC CUSTOMER SERVICES INC COM 00185E106 1327 155791 SH SOLE 155791 0 0
ANADARKO PETE CORP COM 032511107 10980 174152 SH SOLE 174152 0 0
ANADARKO PETE CORP OPTION 032511107 542 623 SH CALL SOLE 623 0 0
ANADARKO PETE CORP OPTION 032511107 5619 4467 SH PUT SOLE 4467 0 0
AIR PRODS & CHEMS INC COM 009158106 15210 199161 SH SOLE 199161 0 0
AIR PRODS & CHEMS INC OPTION 009158106 3262 3694 SH PUT SOLE 3694 0 0
AMPHENOL CORP NEW COM 032095101 585 14340 SH SOLE 14340 0 0
ACME PACKET INC COM 004764106 1236 29014 SH SOLE 29014 0 0
APOLLO GLOBAL MGMT LLC COM 037612306 30720 3000000 SH SOLE 3000000 0 0
APOLLO GROUP INC COM 037604105 1139 28756 SH SOLE 28756 0 0
ARES CAP CORP COM 04010L103 230 16724 SH SOLE 16724 0 0
AEROPOSTALE COM 007865108 350 32398 SH SOLE 32398 0 0
ARRIS GROUP INC BOND CV 04269QAC4 38976 384000 PRN SOLE 384000 0 0
ARROW ELECTRS INC COM 042735100 206 7407 SH SOLE 7407 0 0
AMERICAN SCIENCE & ENGR INC COM 029429107 354 5800 SH SOLE 5800 0 0
ASM INTL N V NY REGISTER SH COM N07045102 4103 165924 SH SOLE 165924 0 0
ASML HOLDING N V NY REG SHS COM N07059186 458 13250 SH SOLE 13250 0 0
GRUPO AEROPORTUARIO DEL SURE S COM 40051E202 2454 49349 SH SOLE 49349 0 0
ADVANCED SEMICONDUCTOR ENGR COM 00756M404 2472 585830 SH SOLE 585830 0 0
ALLEGHENY TECHNOLOGIES INC COM 01741R102 595 16087 SH SOLE 16087 0 0
ALLEGHENY TECHNOLOGIES INC OPTION 01741R102 450 1000 SH CALL SOLE 1000 0 0
ATMEL CORP COM 049513104 146 18109 SH SOLE 18109 0 0
ACTIVISION BLIZZARD INC COM 00507V109 618 51944 SH SOLE 51944 0 0
ANGLOGOLD ASHANTI LTD COM 035128206 2375 57432 SH SOLE 57432 0 0
ANGLOGOLD ASHANTI LTD OPTION 035128206 532 1150 SH PUT SOLE 1150 0 0
AU OPTRONICS CORP COM 002255107 1685 425621 SH SOLE 425621 0 0
YAMANA GOLD INC COM 98462Y100 961 70386 SH SOLE 70386 0 0
YAMANA GOLD INC OPTION 98462Y100 305 2500 SH CALL SOLE 2500 0 0
YAMANA GOLD INC OPTION 98462Y100 719 4000 SH PUT SOLE 4000 0 0
AVAGO TECHNOLOGIES LTD SHS COM Y0486S104 2799 85402 SH SOLE 85402 0 0
AVALON RARE METALS INC COM 053470100 68 25230 SH SOLE 25230 0 0
AVON PRODS INC COM 054303102 3098 158050 SH SOLE 158050 0 0
AVNET INC COM 053807103 276 10568 SH SOLE 10568 0 0
AMERICAN WTR WKS CO INC NEW COM 030420103 2605 86323 SH SOLE 86323 0 0
AMERICAN AXLE & MFG HLDGS IN COM 024061103 1368 179257 SH SOLE 179257 0 0
AMERICAN EXPRESS CO COM 025816109 22342 497591 SH SOLE 497591 0 0
AMERICAN EXPRESS CO OPTION 025816109 533 3150 SH CALL SOLE 3150 0 0
AMERICAN EXPRESS CO OPTION 025816109 5332 12677 SH PUT SOLE 12677 0 0
AXIS CAPITAL HOLDINGS SHS COM G0692U109 347 13385 SH SOLE 13385 0 0
ACUITY BRANDS INC COM 00508Y102 383 10640 SH SOLE 10640 0 0
ASTRAZENECA PLC COM 046353108 5726 129078 SH SOLE 129078 0 0
AUTOZONE INC COM 053332102 385 1206 SH SOLE 1206 0 0
BOEING CO COM 097023105 22534 372408 SH SOLE 372408 0 0
BOEING CO OPTION 097023105 4966 7000 SH PUT SOLE 7000 0 0
BANK OF AMERICA CORPORATION COM 060505104 191750 31331777 SH SOLE 31331777 0 0
BANK OF AMERICA CORPORATION OPTION 060505104 3747 152389 SH CALL SOLE 152389 0 0
BANK OF AMERICA CORPORATION OPTION 060505104 329287 523790 SH PUT SOLE 523790 0 0
BRASKEM S A SP COM 105532105 264 16900 SH SOLE 16900 0 0
CREDICORP LTD COM G2519Y108 1793 19446 SH SOLE 19446 0 0
BAXTER INTL INC COM 071813109 1417 25246 SH SOLE 25246 0 0
BAXTER INTL INC OPTION 071813109 619 1728 SH CALL SOLE 1728 0 0
BAXTER INTL INC OPTION 071813109 418 1323 SH PUT SOLE 1323 0 0
BLACKBOARD INC COM 091935502 227 5085 SH SOLE 5085 0 0
BED BATH & BEYOND INC COM 075896100 350 6112 SH SOLE 6112 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page5 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
BED BATH & BEYOND INC OPTION 075896100 255 253 SH CALL SOLE 253 0 0
BANCO BRADESCO S A SP COM 059460303 31609 2137166 SH SOLE 2137166 0 0
BANCO BRADESCO S A SP OPTION 059460303 1176 2713 SH PUT SOLE 2713 0 0
BARRETT BILL CORP BOND CV 06846NAA2 30038 300000 PRN SOLE 300000 0 0
BEST BUY INC COM 086516101 1473 63236 SH SOLE 63236 0 0
BEST BUY INC OPTION 086516101 576 351 SH PUT SOLE 351 0 0
BCE INC COM 05534B760 621 16586 SH SOLE 16586 0 0
BARD C R INC COM 067383109 464 5303 SH SOLE 5303 0 0
BARCLAYS PLC COM 06738E204 386 39479 SH SOLE 39479 0 0
BLACKROCK STRAT EQUITY DIV T COM 09249Y107 239 26285 SH SOLE 26285 0 0
BECTON DICKINSON & CO COM 075887109 421 5745 SH SOLE 5745 0 0
BRIGHAM EXPLORATION CO COM 109178103 1116 44182 SH SOLE 44182 0 0
BUNGE LIMITED COM G16962105 10579 181497 SH SOLE 181497 0 0
BUNGE LIMITED OPTION G16962105 541 1200 SH PUT SOLE 1200 0 0
BLACKROCK ENERGY & RES TR COM 09250U101 255 11277 SH SOLE 11277 0 0
BLACKROCK INTL GRWTH & INC T C COM 092524107 635 83100 SH SOLE 83100 0 0
BAKER HUGHES INC COM 057224107 551 11931 SH SOLE 11931 0 0
BHP BILLITON LTD COM 088606108 401 6043 SH SOLE 6043 0 0
BAIDU INC SPON COM 056752108 28865 269990 SH SOLE 269990 0 0
BAIDU INC SPON OPTION 056752108 1559 1276 SH PUT SOLE 1276 0 0
BIG LOTS INC COM 089302103 423 12139 SH SOLE 12139 0 0
BIOGEN IDEC INC COM 09062X103 3904 41914 SH SOLE 41914 0 0
SPDR SERIES TRUST BRCLYS 1-3MT COM 78464A680 4012 87510 SH SOLE 87510 0 0
BANK OF NEW YORK MELLON CORP OPTION 064058100 272 3940 SH CALL SOLE 3940 0 0
BANK OF NEW YORK MELLON CORP OPTION 064058100 321 1050 SH PUT SOLE 1050 0 0
BROOKDALE SR LIVING INC COM 112463104 866 69034 SH SOLE 69034 0 0
BLACK HILLS CORP COM 092113109 602 19638 SH SOLE 19638 0 0
BARNES & NOBLE INC COM 067774109 3261 275640 SH SOLE 275640 0 0
BELO CORP COM SER A COM 080555105 889 181864 SH SOLE 181864 0 0
BALL CORP COM 058498106 551 17764 SH SOLE 17764 0 0
BMC SOFTWARE INC COM 055921100 356 9231 SH SOLE 9231 0 0
BANK MONTREAL QUE COM 063671101 136288 2440258 SH SOLE 2440258 0 0
BIOMED REALTY TRUST INC COM 09063H107 215 12956 SH SOLE 12956 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 5345 170328 SH SOLE 170328 0 0
BRISTOL MYERS SQUIBB CO OPTION 110122108 696 5809 SH PUT SOLE 5809 0 0
BRISTOL MYERS SQUIBB CO OPTION 110122108 3756 12951 SH CALL SOLE 12951 0 0
BANK NOVA SCOTIA HALIFAX COM 064149107 1229 24500 SH SOLE 24500 0 0
BANK HAWAII CORP COM 062540109 671 18424 SH SOLE 18424 0 0
BP PLC COM 055622104 2992 82958 SH SOLE 82958 0 0
BP PLC OPTION 055622104 342 2250 SH PUT SOLE 2250 0 0
BROOKFIELD OFFICE PPTYS INC COM 112900105 213 15464 SH SOLE 15464 0 0
POPULAR INC COM 733174106 50 33267 SH SOLE 33267 0 0
BROADCOM CORP COM 111320107 4511 135505 SH SOLE 135505 0 0
BRF-BRASIL FOODS S A COM 10552T107 459 26175 SH SOLE 26175 0 0
BERKSHIRE HATHAWAY INC DEL COM 084670108 9612 90 SH SOLE 90 0 0
BERKSHIRE HATHAWAY INC DEL CL BCOM 084670702 11898 167490 SH SOLE 167490 0 0
BERKSHIRE HATHAWAY INC DEL CL BOPTION 084670702 2634 10381 SH CALL SOLE 10381 0 0
BERKSHIRE HATHAWAY INC DEL CL BOPTION 084670702 4748 8467 SH PUT SOLE 8467 0 0
BROOKS AUTOMATION INC COM 114340102 97 11893 SH SOLE 11893 0 0
BANCO SANTANDER BRASIL S A ADS COM 05967A107 10246 1399760 SH SOLE 1399760 0 0
BANCO SANTANDER BRASIL S A ADS OPTION 05967A107 1703 5300 SH PUT SOLE 5300 0 0
BOSTON SCIENTIFIC CORP COM 101137107 2064 349244 SH SOLE 349244 0 0
BOSTON SCIENTIFIC CORP OPTION 101137107 700 5000 SH PUT SOLE 5000 0 0
PEABODY ENERGY CORP COM 704549104 3626 107027 SH SOLE 107027 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page6 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
COMPANIA DE MINAS BUENAVENTU COM 204448104 2944 78015 SH SOLE 78015 0 0
BORGWARNER INC COM 099724106 1607 26542 SH SOLE 26542 0 0
BLACKSTONE GROUP L P COM UNIT COM 09253U108 719 60005 SH SOLE 60005 0 0
BOSTON PROPERTIES INC COM 101121101 2193 24614 SH SOLE 24614 0 0
BOYD GAMING CORP COM 103304101 3834 782367 SH SOLE 782367 0 0
BOISE INC COM 09746Y105 1880 363607 SH SOLE 363607 0 0
BEAZER HOMES USA INC COM 07556Q105 6680 4424064 SH SOLE 4424064 0 0
CITIGROUP INC COM 172967424 244962 9563235 SH SOLE 9563235 0 0
CITIGROUP INC OPTION 172967424 8019 126538 SH CALL SOLE 126538 0 0
CITIGROUP INC OPTION 172967424 262647 924211 SH PUT SOLE 924211 0 0
CA INC COM 12673P105 391 20162 SH SOLE 20162 0 0
CA INC OPTION 12673P105 238 700 SH PUT SOLE 700 0 0
CONAGRA FOODS INC COM 205887102 474 19560 SH SOLE 19560 0 0
CARDINAL HEALTH INC COM 14149Y108 514 12280 SH SOLE 12280 0 0
CHEESECAKE FACTORY INC COM 163072101 1942 78802 SH SOLE 78802 0 0
CAMERON INTERNATIONAL CORP COM 13342B105 220 5300 SH SOLE 5300 0 0
AVIS BUDGET GROUP COM 053774105 1464 151357 SH SOLE 151357 0 0
CATERPILLAR INC DEL COM 149123101 27969 378785 SH SOLE 378785 0 0
CATERPILLAR INC DEL OPTION 149123101 644 663 SH CALL SOLE 663 0 0
CATERPILLAR INC DEL OPTION 149123101 8977 9254 SH PUT SOLE 9254 0 0
CAVIUM INC COM 14964U108 710 26270 SH SOLE 26270 0 0
CHUBB CORP COM 171232101 2743 45724 SH SOLE 45724 0 0
CHUBB CORP OPTION 171232101 369 952 SH PUT SOLE 952 0 0
COOPER INDUSTRIES PLC SHS COM G24140108 412 8932 SH SOLE 8932 0 0
CHICAGO BRIDGE & IRON CO N V N COM 167250109 416 14525 SH SOLE 14525 0 0
CRACKER BARREL OLD CTRY STOR COM 22410J106 211 5277 SH SOLE 5277 0 0
CBS CORP NEW CL B COM 124857202 267 13109 SH SOLE 13109 0 0
CALGON CARBON CORP COM 129603106 186 12770 SH SOLE 12770 0 0
CROWN CASTLE INTL CORP COM 228227104 635 15612 SH SOLE 15612 0 0
CAMECO CORP COM 13321L108 7632 416610 SH SOLE 416610 0 0
CAMECO CORP OPTION 13321L108 632 1450 SH PUT SOLE 1450 0 0
CROWN HOLDINGS INC COM 228368106 437 14287 SH SOLE 14287 0 0
CARNIVAL CORP PAIRED CTF COM 143658300 246 8112 SH SOLE 8112 0 0
CADENCE DESIGN SYSTEM INC COM 127387108 144 15563 SH SOLE 15563 0 0
CELANESE CORP DEL COM SER A COM 150870103 1617 49713 SH SOLE 49713 0 0
CAREER EDUCATION CORP COM 141665109 144 11071 SH SOLE 11071 0 0
CENTRAL EUROPEAN DIST CORP BOND CV 153435AA0 62472 912000 PRN SOLE 912000 0 0
CELGENE CORP COM 151020104 3478 56171 SH SOLE 56171 0 0
CELGENE CORP OPTION 151020104 380 1200 SH PUT SOLE 1200 0 0
CNOOC LTD COM 126132109 3533 22040 SH SOLE 22040 0 0
CEPHALON INC COM 156708109 6627 82116 SH SOLE 82116 0 0
CEPHALON INC OPTION 156708109 338 2500 SH CALL SOLE 2500 0 0
CF INDS HLDGS INC COM 125269100 3902 31622 SH SOLE 31622 0 0
CGG VERITAS COM 204386106 212 12004 SH SOLE 12004 0 0
CHURCH & DWIGHT INC COM 171340102 290 6568 SH SOLE 6568 0 0
CHESAPEAKE ENERGY CORP COM 165167107 4990 195292 SH SOLE 195292 0 0
CHESAPEAKE ENERGY CORP OPTION 165167107 1997 4711 SH PUT SOLE 4711 0 0
CHESAPEAKE ENERGY CORP BOND CV 165167CA3 382155 4137000 PRN SOLE 4137000 0 0
CHESAPEAKE ENERGY CORP BOND CV 165167BZ9 52292 549000 PRN SOLE 549000 0 0
CHESAPEAKE ENERGY CORP BOND CV 165167CB1 32337 381000 PRN SOLE 381000 0 0
CHECK POINT SOFTWARE TECH LT COM M22465104 533 10102 SH SOLE 10102 0 0
CHINA MOBILE LIMITED COM 16941M109 2062 42339 SH SOLE 42339 0 0
CHEMTURA CORP COM 163893209 2408 240093 SH SOLE 240093 0 0
CHICOS FAS INC COM 168615102 125 10958 SH SOLE 10958 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page7 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
CIGNA CORP COM 125509109 1459 34790 SH SOLE 34790 0 0
BANCOLOMBIA S A SPON COM 05968L102 3940 70744 SH SOLE 70744 0 0
CIENA CORP COM 171779309 6653 594049 SH SOLE 594049 0 0
CIENA CORP OPTION 171779309 207 4728 SH CALL SOLE 4728 0 0
CIENA CORP OPTION 171779309 4000 8007 SH PUT SOLE 8007 0 0
CIENA CORP BOND CV 171779AE1 118260 1620000 PRN SOLE 1620000 0 0
COMPANHIA ENERGETICA DE MINA SPCOM 204409601 5399 363825 SH SOLE 363825 0 0
CHIMERA INVT CORP COM 16934Q109 116 41722 SH SOLE 41722 0 0
CINCINNATI FINL CORP COM 172062101 399 15158 SH SOLE 15158 0 0
CIT GROUP INC COM 125581801 1308 43066 SH SOLE 43066 0 0
COLGATE PALMOLIVE CO COM 194162103 5499 62004 SH SOLE 62004 0 0
COLGATE PALMOLIVE CO OPTION 194162103 5476 6869 SH CALL SOLE 6869 0 0
COLGATE PALMOLIVE CO OPTION 194162103 647 2040 SH PUT SOLE 2040 0 0
CLIFFS NATURAL RESOURCES INC COM 18683K101 5074 99166 SH SOLE 99166 0 0
CLIFFS NATURAL RESOURCES INC OPTION 18683K101 1837 734 SH PUT SOLE 734 0 0
CORELOGIC INC COM 21871D103 329 30854 SH SOLE 30854 0 0
CLEAN HARBORS INC COM 184496107 813 15844 SH SOLE 15844 0 0
CLEARWATER PAPER CORP COM 18538R103 1360 40036 SH SOLE 40036 0 0
CLOROX CO DEL COM 189054109 7657 115442 SH SOLE 115442 0 0
CLOROX CO DEL OPTION 189054109 556 1700 SH PUT SOLE 1700 0 0
CDN IMPERIAL BK OF COMMERCE COM 136069101 1382 19800 SH SOLE 19800 0 0
COMMERCIAL METALS CO COM 201723103 1463 153810 SH SOLE 153810 0 0
COMCAST CORP NEW COM 20030N101 947 45281 SH SOLE 45281 0 0
COMCAST CORP NEW OPTION 20030N101 727 11000 SH PUT SOLE 11000 0 0
COMCAST CORP NEW OPTION 20030N101 2502 9075 SH CALL SOLE 9075 0 0
COMCAST CORP NEW COM 20030N200 480 23160 SH SOLE 23160 0 0
CME GROUP INC COM 12572Q105 8498 34490 SH SOLE 34490 0 0
CME GROUP INC OPTION 12572Q105 1738 985 SH PUT SOLE 985 0 0
CUMMINS INC COM 231021106 4270 52288 SH SOLE 52288 0 0
CUMMINS INC OPTION 231021106 1177 800 SH PUT SOLE 800 0 0
CNA FINL CORP COM 126117100 1370 60949 SH SOLE 60949 0 0
CNH GLOBAL N V SHS COM N20935206 1201 45755 SH SOLE 45755 0 0
CANADIAN NATL RY CO COM 136375102 852 12800 SH SOLE 12800 0 0
CLECO CORP NEW COM 12561W105 501 14686 SH SOLE 14686 0 0
CENTERPOINT ENERGY INC COM 15189T107 395 20148 SH SOLE 20148 0 0
CANADIAN NAT RES LTD COM 136385101 441 15076 SH SOLE 15076 0 0
CON-WAY INC COM 205944101 1848 83527 SH SOLE 83527 0 0
CONSOL ENERGY INC COM 20854P109 16923 498754 SH SOLE 498754 0 0
CABOT OIL & GAS CORP COM 127097103 816 13187 SH SOLE 13187 0 0
COACH INC COM 189754104 484 9342 SH SOLE 9342 0 0
CONOCOPHILLIPS COM 20825C104 12378 195481 SH SOLE 195481 0 0
CONOCOPHILLIPS OPTION 20825C104 6340 11690 SH PUT SOLE 11690 0 0
CONOCOPHILLIPS OPTION 20825C104 4272 7424 SH CALL SOLE 7424 0 0
COSTCO WHSL CORP NEW COM 22160K105 15437 187953 SH SOLE 187953 0 0
COSTCO WHSL CORP NEW OPTION 22160K105 843 2688 SH PUT SOLE 2688 0 0
COSTCO WHSL CORP NEW OPTION 22160K105 320 389 SH CALL SOLE 389 0 0
COVIDIEN PLC SHS COM G2554F113 17863 405058 SH SOLE 405058 0 0
COPA HOLDINGS SA COM P31076105 7977 130197 SH SOLE 130197 0 0
CAMPBELL SOUP CO COM 134429109 6110 188754 SH SOLE 188754 0 0
CPFL ENERGIA S A COM 126153105 307 13838 SH SOLE 13838 0 0
CAPELLA EDUCATION COMPANY COM 139594105 207 7285 SH SOLE 7285 0 0
CALPINE CORP COM 131347304 1182 83969 SH SOLE 83969 0 0
CREE INC COM 225447101 2489 95815 SH SOLE 95815 0 0
CREE INC OPTION 225447101 503 953 SH PUT SOLE 953 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page8 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
SALESFORCE COM INC COM 79466L302 5577 48799 SH SOLE 48799 0 0
SALESFORCE COM INC OPTION 79466L302 1353 992 SH PUT SOLE 992 0 0
CROCS INC COM 227046109 529 22320 SH SOLE 22320 0 0
CIRRUS LOGIC INC COM 172755100 266 18074 SH SOLE 18074 0 0
CARRIZO OIL & CO INC COM 144577103 217 10086 SH SOLE 10086 0 0
CREDIT SUISSE GROUP COM 225401108 5892 224528 SH SOLE 224528 0 0
COMPUTER SCIENCES CORP COM 205363104 806 30000 SH SOLE 30000 0 0
CISCO SYS INC COM 17275R102 24641 1589722 SH SOLE 1589722 0 0
CISCO SYS INC OPTION 17275R102 2235 29637 SH CALL SOLE 29637 0 0
CISCO SYS INC OPTION 17275R102 12689 62059 SH PUT SOLE 62059 0 0
CSX CORP COM 126408103 2088 111835 SH SOLE 111835 0 0
CSX CORP OPTION 126408103 411 1950 SH PUT SOLE 1950 0 0
COOPER TIRE & RUBR CO COM 216831107 4850 445376 SH SOLE 445376 0 0
CENTURYLINK INC COM 156700106 6205 187358 SH SOLE 187358 0 0
COGNIZANT TECHNOLOGY SOLUTIO COM 192446102 1336 21310 SH SOLE 21310 0 0
COGNIZANT TECHNOLOGY SOLUTIO OPTION 192446102 308 770 SH PUT SOLE 770 0 0
CITRIX SYS INC COM 177376100 561 10289 SH SOLE 10289 0 0
COVANTA HLDG CORP COM 22282E102 947 62372 SH SOLE 62372 0 0
CABLEVISION SYS CORP COM 12686C109 845 53737 SH SOLE 53737 0 0
CENOVUS ENERGY INC COM 15135U109 235 7636 SH SOLE 7636 0 0
COMMVAULT SYSTEMS INC COM 204166102 2814 75932 SH SOLE 75932 0 0
CVS CAREMARK CORPORATION COM 126650100 2447 72850 SH SOLE 72850 0 0
CVS CAREMARK CORPORATION OPTION 126650100 1172 5386 SH CALL SOLE 5386 0 0
CVS CAREMARK CORPORATION OPTION 126650100 531 2877 SH PUT SOLE 2877 0 0
CHEVRON CORP NEW COM 166764100 9766 105476 SH SOLE 105476 0 0
CHEVRON CORP NEW OPTION 166764100 5514 10049 SH PUT SOLE 10049 0 0
CHEVRON CORP NEW OPTION 166764100 2600 2467 SH CALL SOLE 2467 0 0
COLDWATER CREEK INC COM 193068103 13 10352 SH SOLE 10352 0 0
CEMEX SAB DE CV SPON COM 151290889 16586 5248816 SH SOLE 5248816 0 0
CONCHO RES INC COM 20605P101 1138 15996 SH SOLE 15996 0 0
CREXUS INVT CORP COM 226553105 1576 177431 SH SOLE 177431 0 0
CYPRESS SEMICONDUCTOR CORP COM 232806109 199 13320 SH SOLE 13320 0 0
COMMUNITY HEALTH SYS INC NEW COM 203668108 3170 190502 SH SOLE 190502 0 0
COSAN LTD SHS A COM G25343107 240 25360 SH SOLE 25360 0 0
DOMINION RES INC VA NEW COM 25746U109 1148 22609 SH SOLE 22609 0 0
DELTA AIR LINES INC DEL COM 247361702 1150 153392 SH SOLE 153392 0 0
DANA HLDG CORP COM 235825205 631 60069 SH SOLE 60069 0 0
DARLING INTL INC COM 237266101 866 68801 SH SOLE 68801 0 0
DEUTSCHE BANK AG NAMEN AKT COM D18190898 514 14854 SH SOLE 14854 0 0
DU PONT E I DE NEMOURS & CO COM 263534109 39236 981630 SH SOLE 981630 0 0
DU PONT E I DE NEMOURS & CO OPTION 263534109 238 5275 SH CALL SOLE 5275 0 0
DU PONT E I DE NEMOURS & CO OPTION 263534109 12550 18702 SH PUT SOLE 18702 0 0
DEERE & CO COM 244199105 8031 124379 SH SOLE 124379 0 0
DEERE & CO OPTION 244199105 4104 2313 SH PUT SOLE 2313 0 0
DECKERS OUTDOOR CORP COM 243537107 6662 71510 SH SOLE 71510 0 0
ETABLISSEMENTS DELHAIZE FRER COM 29759W101 431 7376 SH SOLE 7376 0 0
DELL INC COM 24702R101 7877 557063 SH SOLE 557063 0 0
DELL INC OPTION 24702R101 393 5260 SH CALL SOLE 5260 0 0
DELL INC OPTION 24702R101 1914 14804 SH PUT SOLE 14804 0 0
DEAN FOODS CO NEW COM 242370104 170 19157 SH SOLE 19157 0 0
DELPHI FINL GROUP INC COM 247131105 243 11281 SH SOLE 11281 0 0
DISCOVER FINL SVCS COM 254709108 1054 45966 SH SOLE 45966 0 0
D R HORTON INC COM 23331A109 5071 560967 SH SOLE 560967 0 0
D R HORTON INC OPTION 23331A109 1309 7841 SH PUT SOLE 7841 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page9 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
DANAHER CORP DEL COM 235851102 5922 141202 SH SOLE 141202 0 0
DANAHER CORP DEL OPTION 235851102 1410 1949 SH PUT SOLE 1949 0 0
SPDR DOW JONES INDL AVRG ETF U COM 78467X109 5794 53187 SH SOLE 53187 0 0
SPDR DOW JONES INDL AVRG ETF U OPTION 78467X109 686 400 SH PUT SOLE 400 0 0
DISNEY WALT CO COM DISNEY COM 254687106 11490 380958 SH SOLE 380958 0 0
DISNEY WALT CO COM DISNEY OPTION 254687106 415 7051 SH CALL SOLE 7051 0 0
DISNEY WALT CO COM DISNEY OPTION 254687106 3355 4750 SH PUT SOLE 4750 0 0
DISCOVERY COMMUNICATNS NEW COM COM 25470F302 259 7380 SH SOLE 7380 0 0
DISH NETWORK CORP COM 25470M109 976 38981 SH SOLE 38981 0 0
DISH NETWORK CORP OPTION 25470M109 212 2828 SH CALL SOLE 2828 0 0
DICKS SPORTING GOODS INC COM 253393102 328 9798 SH SOLE 9798 0 0
DOLBY LABORATORIES INC COM 25659T107 326 11867 SH SOLE 11867 0 0
DIGITAL RLTY TR INC COM 253868103 19592 355181 SH SOLE 355181 0 0
DOLLAR TREE INC COM 256746108 622 8273 SH SOLE 8273 0 0
DELUXE CORP COM 248019101 640 34413 SH SOLE 34413 0 0
DUN & BRADSTREET CORP DEL NE COM 26483E100 478 7805 SH SOLE 7805 0 0
DIAMOND OFFSHORE DRILLING IN COM 25271C102 803 14662 SH SOLE 14662 0 0
DOLE FOOD CO INC NEW COM 256603101 161 16100 SH SOLE 16100 0 0
DOW CHEM CO COM 260543103 46044 2050036 SH SOLE 2050036 0 0
DOW CHEM CO OPTION 260543103 24443 28222 SH PUT SOLE 28222 0 0
AMDOCS LTD COM G02602103 800 29492 SH SOLE 29492 0 0
DPL INC COM 233293109 666 22092 SH SOLE 22092 0 0
DELTA PETE CORP BOND CV 247907AD0 264 3000 PRN SOLE 3000 0 0
DUKE REALTY CORP COM 264411505 2069 197081 SH SOLE 197081 0 0
DARDEN RESTAURANTS INC COM 237194105 465 10878 SH SOLE 10878 0 0
DRYSHIPS INC SHS COM Y2109Q101 2223 950000 SH SOLE 950000 0 0
DTE ENERGY CO COM 233331107 776 15839 SH SOLE 15839 0 0
DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 608 10800 SH SOLE 10800 0 0
DIRECTV COM COM 25490A101 4067 96219 SH SOLE 96219 0 0
DIRECTV COM OPTION 25490A101 618 2500 SH PUT SOLE 2500 0 0
DUKE ENERGY CORP NEW COM 26441C105 856 42828 SH SOLE 42828 0 0
DUKE ENERGY CORP NEW OPTION 26441C105 418 1728 SH CALL SOLE 1728 0 0
DAVITA INC COM 23918K108 2804 44747 SH SOLE 44747 0 0
DEVON ENERGY CORP NEW COM 25179M103 7722 139283 SH SOLE 139283 0 0
DEVON ENERGY CORP NEW OPTION 25179M103 2733 2609 SH PUT SOLE 2609 0 0
DYNEGY INC DEL COM 26817G300 66 16031 SH SOLE 16031 0 0
BRINKER INTL INC COM 109641100 363 17358 SH SOLE 17358 0 0
EBAY INC COM 278642103 19359 656458 SH SOLE 656458 0 0
EBAY INC OPTION 278642103 764 2418 SH CALL SOLE 2418 0 0
EBAY INC OPTION 278642103 1939 7170 SH PUT SOLE 7170 0 0
CENTRAIS ELETRICAS BRASILEIR COM 15234Q207 402 45816 SH SOLE 45816 0 0
ECOPETROL S A COM 279158109 5292 131336 SH SOLE 131336 0 0
ECOLAB INC COM 278865100 615 12587 SH SOLE 12587 0 0
CONSOLIDATED EDISON INC COM 209115104 539 9458 SH SOLE 9458 0 0
ISHARES TR MSCI EMERG MKT COM 464287234 158014 4502460 SH SOLE 4502460 0 0
ISHARES TR MSCI EMERG MKT OPTION 464287234 325 6525 SH CALL SOLE 6525 0 0
ISHARES TR MSCI EMERG MKT OPTION 464287234 27322 33702 SH PUT SOLE 33702 0 0
ISHARES TR MSCI EAFE INDEX COM 464287465 89809 1879634 SH SOLE 1879634 0 0
ISHARES TR MSCI EAFE INDEX OPTION 464287465 1847 2111 SH PUT SOLE 2111 0 0
EQUIFAX INC COM 294429105 363 11800 SH SOLE 11800 0 0
EAGLE BULK SHIPPING INC COM Y2187A101 17 10982 SH SOLE 10982 0 0
ENERGEN CORP COM 29265N108 604 14760 SH SOLE 14760 0 0
ELDORADO GOLD CORP NEW COM 284902103 230 13400 SH SOLE 13400 0 0
EASTMAN KODAK CO COM 277461109 335 429055 SH SOLE 429055 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page10 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
EASTMAN KODAK CO OPTION 277461109 3284 8503 SH PUT SOLE 8503 0 0
LAUDER ESTEE COS INC COM 518439104 913 10393 SH SOLE 10393 0 0
ELAN PLC COM 284131208 1830 173749 SH SOLE 173749 0 0
EARTHLINK INC COM 270321102 72 11008 SH SOLE 11008 0 0
EMULEX CORP COM 292475209 64 10018 SH SOLE 10018 0 0
ISHARES TR JPMORGAN USD COM 464288281 777 7370 SH SOLE 7370 0 0
E M C CORP MASS COM 268648102 33199 1581665 SH SOLE 1581665 0 0
E M C CORP MASS OPTION 268648102 4402 9274 SH PUT SOLE 9274 0 0
E M C CORP MASS OPTION 268648102 5145 15921 SH CALL SOLE 15921 0 0
E M C CORP MASS BOND CV 268648AM4 182051 1290000 PRN SOLE 1290000 0 0
E M C CORP MASS BOND CV 268648AK8 1634375 12500000 PRN SOLE 12500000 0 0
EASTMAN CHEM CO COM 277432100 1133 16540 SH SOLE 16540 0 0
EMERSON ELEC CO COM 291011104 1210 29285 SH SOLE 29285 0 0
EMERSON ELEC CO OPTION 291011104 254 1700 SH CALL SOLE 1700 0 0
EMERSON ELEC CO OPTION 291011104 476 1297 SH PUT SOLE 1297 0 0
ENDO PHARMACEUTICALS HLDGS I COM 29264F205 402 14367 SH SOLE 14367 0 0
ENERSIS S A COM 29274F104 1161 68662 SH SOLE 68662 0 0
REED ELSEVIER N V SPONS COM 758204200 1930 88462 SH SOLE 88462 0 0
ENERNOC INC COM 292764107 146 16237 SH SOLE 16237 0 0
ENERGIZER HLDGS INC COM 29266R108 213 3207 SH SOLE 3207 0 0
ENTEGRIS INC COM 29362U104 91 14257 SH SOLE 14257 0 0
EL PASO CORP COM 28336L109 1484 84903 SH SOLE 84903 0 0
WISDOMTREE TRUST INDIA ERNGS FDCOM 97717W422 503 27691 SH SOLE 27691 0 0
EQUINIX INC COM 29444U502 21162 238233 SH SOLE 238233 0 0
EQT CORP COM 26884L109 845 15830 SH SOLE 15830 0 0
ERICSSON L M TEL CO COM 294821608 7014 734440 SH SOLE 734440 0 0
ELECTRONIC ARTS INC COM 285512109 1580 77255 SH SOLE 77255 0 0
ITT EDUCATIONAL SERVICES INC COM 45068B109 566 9825 SH SOLE 9825 0 0
ITT EDUCATIONAL SERVICES INC OPTION 45068B109 261 200 SH PUT SOLE 200 0 0
EXPRESS SCRIPTS INC COM 302182100 5127 138299 SH SOLE 138299 0 0
EXPRESS SCRIPTS INC OPTION 302182100 1148 1350 SH PUT SOLE 1350 0 0
ESSEX PPTY TR INC COM 297178105 205 1707 SH SOLE 1707 0 0
EATON CORP COM 278058102 630 17737 SH SOLE 17737 0 0
ENTERGY CORP NEW COM 29364G103 2326 35081 SH SOLE 35081 0 0
EATON VANCE TAX ADVT DIV INC COM 27828G107 309 22600 SH SOLE 22600 0 0
ISHARES INC MSCI HONG KONG COM 464286871 2462 171842 SH SOLE 171842 0 0
ISHARES INC MSCI JAPAN COM 464286848 263 27812 SH SOLE 27812 0 0
ISHARES INC MSCI MALAYSIA COM 464286830 1314 107817 SH SOLE 107817 0 0
ISHARES INC MSCI SINGAPORE COM 464286673 1015 92306 SH SOLE 92306 0 0
ISHARES INC MSCI TAIWAN COM 464286731 1806 152923 SH SOLE 152923 0 0
ISHARES INC MSCI UTD KINGD COM 464286699 379 25680 SH SOLE 25680 0 0
ISHARES INC MSCI MEX INVEST COM 464286822 28098 573662 SH SOLE 573662 0 0
ISHARES INC MSCI MEX INVEST OPTION 464286822 2797 3613 SH PUT SOLE 3613 0 0
ISHARES INC MSCI S KOREA COM 464286772 853 18324 SH SOLE 18324 0 0
ISHARES INC MSCI BRAZIL COM 464286400 160128 3078789 SH SOLE 3078789 0 0
ISHARES INC MSCI BRAZIL OPTION 464286400 882 21685 SH CALL SOLE 21685 0 0
ISHARES INC MSCI BRAZIL OPTION 464286400 48109 36724 SH PUT SOLE 36724 0 0
EXELON CORP COM 30161N101 4253 99815 SH SOLE 99815 0 0
EXELON CORP OPTION 30161N101 282 2483 SH CALL SOLE 2483 0 0
EATON VANCE TAX MNGD GBL DV COM 27829F108 2308 288526 SH SOLE 288526 0 0
EXPEDIA INC DEL COM 30212P105 380 14770 SH SOLE 14770 0 0
EXPEDIA INC DEL OPTION 30212P105 304 1247 SH CALL SOLE 1247 0 0
EXPRESS INC COM 30219E103 5341 263243 SH SOLE 263243 0 0
ISHARES INC MSCI STH AFRCA COM 464286780 3407 60255 SH SOLE 60255 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page11 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
FORD MTR CO DEL PAR $0.01 COM 345370860 23478 2427928 SH SOLE 2427928 0 0
FORD MTR CO DEL PAR $0.01 OPTION 345370860 1262 23054 SH CALL SOLE 23054 0 0
FORD MTR CO DEL PAR $0.01 OPTION 345370860 43322 107543 SH PUT SOLE 107543 0 0
FORD MTR CO DEL BOND CV 345370CF5 258500 2000000 PRN SOLE 2000000 0 0
FORD MTR CO DEL *W EXP 01/01/2 COM 345370134 1550 701500 SH SOLE 701500 0 0
FIRST TR ACTIVE DIVID INCOME COM 33731L100 536 63934 SH SOLE 63934 0 0
FLAGSTAR BANCORP INC COM 337930507 18 35955 SH SOLE 35955 0 0
FOREST CITY ENTERPRISES INC COM 345550107 122 11409 SH SOLE 11409 0 0
FELCOR LODGING TR INC COM 31430F101 9828 4217948 SH SOLE 4217948 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 69227 2273472 SH SOLE 2273472 0 0
FREEPORT-MCMORAN COPPER & GO OPTION 35671D857 554 10064 SH CALL SOLE 10064 0 0
FREEPORT-MCMORAN COPPER & GO OPTION 35671D857 42158 31140 SH PUT SOLE 31140 0 0
FAMILY DLR STORES INC COM 307000109 249 4899 SH SOLE 4899 0 0
FEDEX CORP COM 31428X106 6639 98093 SH SOLE 98093 0 0
FEDEX CORP OPTION 31428X106 2495 1898 SH PUT SOLE 1898 0 0
FIRSTENERGY CORP COM 337932107 275 6120 SH SOLE 6120 0 0
FRANKLIN ELEC INC COM 353514102 272 7485 SH SOLE 7485 0 0
ENERGY INCOME & GROWTH FD COM 292697109 562 22190 SH SOLE 22190 0 0
PHOENIX NEW MEDIA LTD COM 71910C103 171 30135 SH SOLE 30135 0 0
F5 NETWORKS INC COM 315616102 5907 83144 SH SOLE 83144 0 0
F5 NETWORKS INC OPTION 315616102 2498 1864 SH PUT SOLE 1864 0 0
SUNAMERICA FCSED ALPHA GRW F COM 867037103 12806 725940 SH SOLE 725940 0 0
SUNAMERICA FOCUSE ALPHA LC F COM 867038101 2650 169408 SH SOLE 169408 0 0
FORTRESS INVESTMENT GROUP LL COM 34958B106 42 14000 SH SOLE 14000 0 0
FISERV INC COM 337738108 6684 131658 SH SOLE 131658 0 0
FLEXTRONICS INTL LTD COM Y2573F102 4062 721534 SH SOLE 721534 0 0
FLUOR CORP NEW COM 343412102 877 18837 SH SOLE 18837 0 0
FIRSTMERIT CORP COM 337915102 201 17678 SH SOLE 17678 0 0
FRESENIUS MED CARE AG&CO KGA COM 358029106 4538 67195 SH SOLE 67195 0 0
FOMENTO ECONOMICO MEXICANO S S COM 344419106 2856 44053 SH SOLE 44053 0 0
FNB CORP PA COM 302520101 186 21678 SH SOLE 21678 0 0
FIDELITY NATIONAL FINANCIAL COM 31620R105 227 14928 SH SOLE 14928 0 0
FIRST NIAGARA FINL GP INC COM 33582V108 247 26982 SH SOLE 26982 0 0
FINISAR CORP COM 31787A507 1316 75043 SH SOLE 75043 0 0
FERRO CORP COM 315405100 554 90000 SH SOLE 90000 0 0
FOSSIL INC COM 349882100 413 5100 SH SOLE 5100 0 0
FEDERAL REALTY INVT TR SH BEN COM 313747206 398 4824 SH SOLE 4824 0 0
FOREST LABS INC COM 345838106 492 15968 SH SOLE 15968 0 0
FIFTH STREET FINANCE CORP COM 31678A103 588 63087 SH SOLE 63087 0 0
FIRST SOLAR INC COM 336433107 5466 86476 SH SOLE 86476 0 0
FIRST SOLAR INC OPTION 336433107 1040 245 SH PUT SOLE 245 0 0
FOREST OIL CORP PAR $0.01 COM 346091705 2605 180928 SH SOLE 180928 0 0
FMC TECHNOLOGIES INC COM 30249U101 212 5635 SH SOLE 5635 0 0
FORTINET INC COM 34959E109 544 32354 SH SOLE 32354 0 0
FRONTIER COMMUNICATIONS CORP COM 35906A108 444 72681 SH SOLE 72681 0 0
FRONTIER COMMUNICATIONS CORP OPTION 35906A108 557 4925 SH CALL SOLE 4925 0 0
ISHARES TR FTSE CHINA25 IDX COM 464287184 41314 1340062 SH SOLE 1340062 0 0
ISHARES TR FTSE CHINA25 IDX OPTION 464287184 2687 7058 SH PUT SOLE 7058 0 0
NICOR INC COM 654086107 702 12763 SH SOLE 12763 0 0
GREAT BASIN GOLD LTD COM 390124105 481 284333 SH SOLE 284333 0 0
GREATER CHINA FD INC COM 39167B102 188 19234 SH SOLE 19234 0 0
SANOFI RIGHT 12/31/2020 COM 80105N113 140 131833 SH SOLE 131833 0 0
GENERAL DYNAMICS CORP COM 369550108 447 7862 SH SOLE 7862 0 0
GDL FUND COM SH BEN IT COM 361570104 819 68713 SH SOLE 68713 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page12 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
GABELLI DIVD & INCOME TR COM 36242H104 246 18000 SH SOLE 18000 0 0
MARKET VECTORS ETF TR GOLD MIN COM 57060U100 15955 289085 SH SOLE 289085 0 0
MARKET VECTORS ETF TR GOLD MIN OPTION 57060U100 2922 9477 SH CALL SOLE 9477 0 0
MARKET VECTORS ETF TR GOLD MIN OPTION 57060U100 4762 13127 SH PUT SOLE 13127 0 0
GENERAL ELECTRIC CO COM 369604103 44920 2951354 SH SOLE 2951354 0 0
GENERAL ELECTRIC CO OPTION 369604103 6579 99696 SH CALL SOLE 99696 0 0
GENERAL ELECTRIC CO OPTION 369604103 38716 166175 SH PUT SOLE 166175 0 0
GENON ENERGY INC COM 37244E107 60428 21736654 SH SOLE 21736654 0 0
GAFISA S A SPONS COM 362607301 3369 583875 SH SOLE 583875 0 0
GAFISA S A SPONS OPTION 362607301 410 1000 SH PUT SOLE 1000 0 0
GOLD FIELDS LTD NEW COM 38059T106 3362 219429 SH SOLE 219429 0 0
GOLDCORP INC NEW COM 380956409 17227 377450 SH SOLE 377450 0 0
GOLDCORP INC NEW OPTION 380956409 920 1590 SH CALL SOLE 1590 0 0
GOLDCORP INC NEW OPTION 380956409 2983 5408 SH PUT SOLE 5408 0 0
GERDAU S A COM 373737105 25766 3613699 SH SOLE 3613699 0 0
GERDAU S A OPTION 373737105 2516 5450 SH PUT SOLE 5450 0 0
GENERAL GROWTH PPTYS INC NEW COM 370023103 312 25777 SH SOLE 25777 0 0
GROUPE CGI INC COM 39945C109 610 32441 SH SOLE 32441 0 0
GILEAD SCIENCES INC COM 375558103 46258 1192209 SH SOLE 1192209 0 0
GILEAD SCIENCES INC OPTION 375558103 650 3828 SH PUT SOLE 3828 0 0
GILEAD SCIENCES INC BOND CV 375558AH6 2742 24000 PRN SOLE 24000 0 0
GENERAL MLS INC COM 370334104 3802 98783 SH SOLE 98783 0 0
GLOBAL INDS LTD DBCV 2.750% 8/0BOND CV 379336AE0 85434 874000 PRN SOLE 874000 0 0
SPDR GOLD TRUST GOLD SHS COM 78463V107 141074 892534 SH SOLE 892534 0 0
SPDR GOLD TRUST GOLD SHS OPTION 78463V107 2858 1239 SH CALL SOLE 1239 0 0
SPDR GOLD TRUST GOLD SHS OPTION 78463V107 2133 10462 SH PUT SOLE 10462 0 0
GREAT LAKES DREDGE & DOCK CO COM 390607109 530 130108 SH SOLE 130108 0 0
GULFMARK OFFSHORE INC COM 402629208 365 10052 SH SOLE 10052 0 0
CORNING INC COM 219350105 5528 447248 SH SOLE 447248 0 0
CORNING INC OPTION 219350105 1754 3000 SH PUT SOLE 3000 0 0
GENERAL MTRS CO COM 37045V100 2837 140564 SH SOLE 140564 0 0
GENERAL MTRS CO OPTION 37045V100 990 1000 SH PUT SOLE 1000 0 0
GENERAL MTRS CO JR PFD CNV SRB COM 37045V209 614 17503 SH SOLE 17503 0 0
GENERAL MTRS CO *W EXP 07/10/2 COM 37045V118 698 60000 SH SOLE 60000 0 0
GENERAL MTRS CO *W EXP 07/10/2 COM 37045V126 1190 150000 SH SOLE 150000 0 0
GREEN MTN COFFEE ROASTERS IN COM 393122106 847 9112 SH SOLE 9112 0 0
GAMESTOP CORP NEW COM 36467W109 578 25000 SH SOLE 25000 0 0
GENWORTH FINL INC COM COM 37247D106 4017 699858 SH SOLE 699858 0 0
GOL LINHAS AEREAS INTLG S A SP COM 38045R107 3048 548118 SH SOLE 548118 0 0
GOOGLE INC COM 38259P508 58915 114389 SH SOLE 114389 0 0
GOOGLE INC OPTION 38259P508 1302 1089 SH CALL SOLE 1089 0 0
GOOGLE INC OPTION 38259P508 18244 6005 SH PUT SOLE 6005 0 0
GENUINE PARTS CO COM 372460105 414 8155 SH SOLE 8155 0 0
GAP INC DEL COM 364760108 1331 81968 SH SOLE 81968 0 0
GOODRICH CORP COM 382388106 2414 20000 SH SOLE 20000 0 0
GOODRICH CORP OPTION 382388106 2811 3489 SH CALL SOLE 3489 0 0
GARMIN LTD SHS COM H2906T109 1812 57040 SH SOLE 57040 0 0
ASIA TIGERS FD INC COM 04516T105 217 14717 SH SOLE 14717 0 0
GOLDMAN SACHS GROUP INC COM 38141G104 55335 585246 SH SOLE 585246 0 0
GOLDMAN SACHS GROUP INC OPTION 38141G104 704 1527 SH CALL SOLE 1527 0 0
GOLDMAN SACHS GROUP INC OPTION 38141G104 55978 12175 SH PUT SOLE 12175 0 0
GLAXOSMITHKLINE PLC COM 37733W105 780 18900 SH SOLE 18900 0 0
GOODYEAR TIRE & RUBR CO COM 382550101 3980 394443 SH SOLE 394443 0 0
GOODYEAR TIRE & RUBR CO OPTION 382550101 295 5000 SH CALL SOLE 5000 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page13 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
GOODYEAR TIRE & RUBR CO OPTION 382550101 4639 8300 SH PUT SOLE 8300 0 0
GT ADVANCED TECHNOLOGIES INC COM 36191U106 103 14617 SH SOLE 14617 0 0
GRAFTECH INTL LTD COM 384313102 194 15278 SH SOLE 15278 0 0
HAEMONETICS CORP COM 405024100 276 4712 SH SOLE 4712 0 0
HALLIBURTON CO COM 406216101 27629 905266 SH SOLE 905266 0 0
HALLIBURTON CO OPTION 406216101 915 2349 SH CALL SOLE 2349 0 0
HALLIBURTON CO OPTION 406216101 8843 8371 SH PUT SOLE 8371 0 0
HANSEN NAT CORP COM 411310105 349 3998 SH SOLE 3998 0 0
HASBRO INC COM 418056107 273 8358 SH SOLE 8358 0 0
HSBC HLDGS PLC SPON COM 404280406 2947 77480 SH SOLE 77480 0 0
HANESBRANDS INC COM 410345102 4946 197773 SH SOLE 197773 0 0
HCA HOLDINGS INC COM 40412C101 574 28493 SH SOLE 28493 0 0
HUDSON CITY BANCORP COM 443683107 66 11699 SH SOLE 11699 0 0
HEALTH CARE REIT INC BOND CV 42217KAP1 84300 800000 PRN SOLE 800000 0 0
HEALTH CARE REIT INC BOND CV 42217KAQ9 126735 1190000 PRN SOLE 1190000 0 0
HOME DEPOT INC COM 437076102 5776 175731 SH SOLE 175731 0 0
HOME DEPOT INC OPTION 437076102 372 2270 SH CALL SOLE 2270 0 0
HOME DEPOT INC OPTION 437076102 2218 7865 SH PUT SOLE 7865 0 0
HDFC BANK LTD COM 40415F101 11832 405894 SH SOLE 405894 0 0
HESS CORP COM 42809H107 1483 28278 SH SOLE 28278 0 0
HOLLYFRONTIER CORP COM 436106108 340 12981 SH SOLE 12981 0 0
HUMAN GENOME SCIENCES INC COM 444903108 226 17770 SH SOLE 17770 0 0
HUMAN GENOME SCIENCES INC BOND CV 444903AM0 11282 109000 PRN SOLE 109000 0 0
HARTFORD FINL SVCS GROUP INC COM 416515104 2540 157363 SH SOLE 157363 0 0
HARTFORD FINL SVCS GROUP INC OPTION 416515104 680 1000 SH PUT SOLE 1000 0 0
HECLA MNG CO COM 422704106 55 10306 SH SOLE 10306 0 0
HECLA MNG CO OPTION 422704106 661 2572 SH CALL SOLE 2572 0 0
HERBALIFE LTD COM USD SHS COM G4412G101 743 13855 SH SOLE 13855 0 0
HEALTHSOUTH CORP COM 421924309 14539 973790 SH SOLE 973790 0 0
HEALTH MGMT ASSOC INC NEW COM 421933102 262 37878 SH SOLE 37878 0 0
HOME INNS & HOTELS MGMT INC SP COM 43713W107 383 14851 SH SOLE 14851 0 0
HOME INNS & HOTELS MGMT INC SP OPTION 43713W107 318 1119 SH PUT SOLE 1119 0 0
HARMONY GOLD MNG LTD COM 413216300 3976 339000 SH SOLE 339000 0 0
HEINZ H J CO COM 423074103 4891 96888 SH SOLE 96888 0 0
HEINZ H J CO OPTION 423074103 273 2300 SH PUT SOLE 2300 0 0
HARLEY DAVIDSON INC COM 412822108 4370 127301 SH SOLE 127301 0 0
HOLOGIC INC COM 436440101 209 13755 SH SOLE 13755 0 0
HONEYWELL INTL INC COM 438516106 10522 239635 SH SOLE 239635 0 0
HONEYWELL INTL INC OPTION 438516106 3667 5715 SH PUT SOLE 5715 0 0
HORNBECK OFFSHORE SVCS INC N BOND CV 440543AE6 176976 1869000 PRN SOLE 1869000 0 0
STARWOOD HOTELS&RESORTS WRLD COM 85590A401 278 7167 SH SOLE 7167 0 0
HOVNANIAN ENTERPRISES INC COM 442487203 1250 1024948 SH SOLE 1024948 0 0
HELMERICH & PAYNE INC COM 423452101 235 5779 SH SOLE 5779 0 0
HEWLETT PACKARD CO COM 428236103 45961 2047269 SH SOLE 2047269 0 0
HEWLETT PACKARD CO OPTION 428236103 514 12718 SH CALL SOLE 12718 0 0
HEWLETT PACKARD CO OPTION 428236103 29799 24000 SH PUT SOLE 24000 0 0
HOSPITALITY PPTYS TR COM SH BE COM 44106M102 251 11845 SH SOLE 11845 0 0
BLOCK H & R INC COM 093671105 202 15196 SH SOLE 15196 0 0
BLOCK H & R INC OPTION 093671105 1792 24492 SH PUT SOLE 24492 0 0
HARBIN ELECTRIC INC COM 41145W109 728 35252 SH SOLE 35252 0 0
HARRIS CORP DEL COM 413875105 1225 35856 SH SOLE 35856 0 0
SCHEIN HENRY INC COM 806407102 382 6158 SH SOLE 6158 0 0
HERSHEY CO COM 427866108 1234 20838 SH SOLE 20838 0 0
HUTCHINSON TECHNOLOGY INC BOND CV 448407AF3 3108 37000 PRN SOLE 37000 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page14 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
HUBBELL INC CL B COM 443510201 542 10937 SH SOLE 10937 0 0
HUMANA INC COM 444859102 968 13315 SH SOLE 13315 0 0
HUNTSMAN CORP COM 447011107 386 39907 SH SOLE 39907 0 0
ISHARES TR HIGH YLD CORP COM 464288513 2846 34356 SH SOLE 34356 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 8319 47574 SH SOLE 47574 0 0
INTERNATIONAL BUSINESS MACHS OPTION 459200101 12693 6376 SH CALL SOLE 6376 0 0
INTERNATIONAL BUSINESS MACHS OPTION 459200101 5303 8591 SH PUT SOLE 8591 0 0
ICICI BK LTD COM 45104G104 13267 382113 SH SOLE 382113 0 0
ICICI BK LTD OPTION 45104G104 1019 1169 SH PUT SOLE 1169 0 0
INTERCONTINENTALEXCHANGE INC COM 45865V100 2703 22855 SH SOLE 22855 0 0
ICONIX BRAND GROUP INC COM 451055107 2342 148229 SH SOLE 148229 0 0
INTERDIGITAL INC COM 45867G101 1993 42790 SH SOLE 42790 0 0
ISHARES TR BARCLYS 7-10 YR COM 464287440 1582 15060 SH SOLE 15060 0 0
ISHARES TR BARCLYS 3-7 YR COM 464288661 848 6980 SH SOLE 6980 0 0
ISHARES TR S&P EURO PLUS COM 464287861 656 20569 SH SOLE 20569 0 0
INTERNATIONAL FLAVORS&FRAGRA COM 459506101 316 5617 SH SOLE 5617 0 0
INDIA FD INC COM 454089103 1530 66682 SH SOLE 66682 0 0
CBRE CLARION GLOBAL REAL EST COM 12504G100 92 13700 SH SOLE 13700 0 0
INTERNATIONAL GAME TECHNOLOG COM 459902102 15681 1079197 SH SOLE 1079197 0 0
ISHARES TR S&P NA SOFTWR COM 464287515 1304 25000 SH SOLE 25000 0 0
INTRALINKS HLDGS INC COM 46118H104 191 25487 SH SOLE 25487 0 0
ISHARES TR S&P LTN AM 40 COM 464287390 842 21660 SH SOLE 21660 0 0
ILLUMINA INC COM 452327109 285 6953 SH SOLE 6953 0 0
INFORMATICA CORP COM 45666Q102 745 18202 SH SOLE 18202 0 0
INFOSYS LTD COM 456788108 24926 488079 SH SOLE 488079 0 0
ING GROEP N V COM 456837103 473 67026 SH SOLE 67026 0 0
INTEL CORP COM 458140100 10197 477924 SH SOLE 477924 0 0
INTEL CORP OPTION 458140100 3063 16542 SH CALL SOLE 16542 0 0
INTEL CORP OPTION 458140100 8536 55826 SH PUT SOLE 55826 0 0
INTUIT COM 461202103 285 6001 SH SOLE 6001 0 0
INTUIT OPTION 461202103 231 1400 SH CALL SOLE 1400 0 0
INTL PAPER CO COM 460146103 6630 285158 SH SOLE 285158 0 0
INTL PAPER CO OPTION 460146103 1755 4500 SH PUT SOLE 4500 0 0
INTERPUBLIC GROUP COS INC COM 460690100 314 43551 SH SOLE 43551 0 0
INTREPID POTASH INC COM 46121Y102 1878 75526 SH SOLE 75526 0 0
INGERSOLL-RAND PLC SHS COM G47791101 327 11630 SH SOLE 11630 0 0
INTERNATIONAL RECTIFIER CORP COM 460254105 258 13834 SH SOLE 13834 0 0
NEW IRELAND FUND INC COM 645673104 672 95994 SH SOLE 95994 0 0
IRON MTN INC COM 462846106 1486 46995 SH SOLE 46995 0 0
INTERSIL CORP COM 46069S109 116 11248 SH SOLE 11248 0 0
ISIS PHARMACEUTICALS INC DEL BOND CV 464337AE4 705562 7950000 PRN SOLE 7950000 0 0
ITRON INC COM 465741106 277 9394 SH SOLE 9394 0 0
ITT CORP NEW COM 450911102 247 5873 SH SOLE 5873 0 0
ITAU UNIBANCO HLDG SA SPON COM 465562106 61439 3958713 SH SOLE 3958713 0 0
ITAU UNIBANCO HLDG SA SPON OPTION 465562106 5413 9271 SH PUT SOLE 9271 0 0
ILLINOIS TOOL WKS INC COM 452308109 6082 146211 SH SOLE 146211 0 0
ILLINOIS TOOL WKS INC OPTION 452308109 1693 2374 SH PUT SOLE 2374 0 0
ISHARES TR S&P 500 VALUE COM 464287408 4126 79984 SH SOLE 79984 0 0
ISHARES TR S&P 500 INDEX COM 464287200 1132 9960 SH SOLE 9960 0 0
ISHARES TR RUSSELL 1000 COM 464287622 9318 149000 SH SOLE 149000 0 0
ISHARES TR RSSL MCRCP IDX COM 464288869 7836 199147 SH SOLE 199147 0 0
ISHARES TR RUSSELL1000VAL COM 464287598 6927 122410 SH SOLE 122410 0 0
ISHARES TR RUSSELL1000GRW COM 464287614 2090 39748 SH SOLE 39748 0 0
ISHARES TR RUSSELL 2000 COM 464287655 559055 8694476 SH SOLE 8694476 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page15 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
ISHARES TR RUSSELL 2000 OPTION 464287655 68047 65524 SH PUT SOLE 65524 0 0
ISHARES TR RUSSELL 2000 OPTION 464287655 13124 48399 SH CALL SOLE 48399 0 0
ISHARES TR RUSL 2000 VALU COM 464287630 7176 125825 SH SOLE 125825 0 0
ISHARES TR RUSL 2000 GROW COM 464287648 70899 965000 SH SOLE 965000 0 0
ISHARES TR DJ US BAS MATL COM 464287838 7588 134443 SH SOLE 134443 0 0
ISHARES TR DJ US REAL EST COM 464287739 273813 5414525 SH SOLE 5414525 0 0
ISHARES TR DJ US REAL EST OPTION 464287739 391 737 SH CALL SOLE 737 0 0
ISHARES TR DJ US REAL EST OPTION 464287739 2125 1682 SH PUT SOLE 1682 0 0
ISHARES TR DJ US TELECOMM COM 464287713 1427 70001 SH SOLE 70001 0 0
JA SOLAR HOLDINGS CO LTD SPON COM 466090107 74 41295 SH SOLE 41295 0 0
HUNT J B TRANS SVCS INC COM 445658107 235 6501 SH SOLE 6501 0 0
JABIL CIRCUIT INC COM 466313103 449 25232 SH SOLE 25232 0 0
JETBLUE AIRWAYS CORP COM 477143101 3438 840572 SH SOLE 840572 0 0
JOHNSON CTLS INC COM 478366107 4202 159332 SH SOLE 159332 0 0
JOHNSON CTLS INC OPTION 478366107 1183 1300 SH PUT SOLE 1300 0 0
J2 GLOBAL COMMUNICATIONS INC COM 46626E205 258 9575 SH SOLE 9575 0 0
PENNEY J C INC COM 708160106 296 11043 SH SOLE 11043 0 0
JDS UNIPHASE CORP PAR $0.001 COM 46612J507 1236 124003 SH SOLE 124003 0 0
JDS UNIPHASE CORP PAR $0.001 OPTION 46612J507 389 200 SH PUT SOLE 200 0 0
JACOBS ENGR GROUP INC DEL COM 469814107 381 11808 SH SOLE 11808 0 0
JEFFERIES GROUP INC NEW COM 472319102 158 12731 SH SOLE 12731 0 0
JOHNSON & JOHNSON COM 478160104 11879 186517 SH SOLE 186517 0 0
JOHNSON & JOHNSON OPTION 478160104 6000 14246 SH CALL SOLE 14246 0 0
JOHNSON & JOHNSON OPTION 478160104 4443 19021 SH PUT SOLE 19021 0 0
JUNIPER NETWORKS INC COM 48203R104 691 40015 SH SOLE 40015 0 0
ST JOE CO COM 790148100 524 34946 SH SOLE 34946 0 0
JOY GLOBAL INC COM 481165108 1894 30358 SH SOLE 30358 0 0
JOY GLOBAL INC OPTION 481165108 1011 791 SH PUT SOLE 791 0 0
JPMORGAN CHASE & CO COM 46625H100 115254 3826509 SH SOLE 3826509 0 0
JPMORGAN CHASE & CO OPTION 46625H100 6728 46599 SH CALL SOLE 46599 0 0
JPMORGAN CHASE & CO OPTION 46625H100 74880 103511 SH PUT SOLE 103511 0 0
NUVEEN MULT STRAT INCM GR FD C COM 67073D102 673 85675 SH SOLE 85675 0 0
NORDSTROM INC COM 655664100 4582 100308 SH SOLE 100308 0 0
KELLOGG CO COM 487836108 4844 91069 SH SOLE 91069 0 0
KB HOME COM 48666K109 3945 673260 SH SOLE 673260 0 0
KBR INC COM 48242W106 496 20999 SH SOLE 20999 0 0
KNIGHT CAP GROUP INC COM 499005106 4938 406119 SH SOLE 406119 0 0
KINETIC CONCEPTS INC COM 49460W208 4068 61737 SH SOLE 61737 0 0
KOREA ELECTRIC PWR COM 500631106 215 25278 SH SOLE 25278 0 0
KRAFT FOODS INC COM 50075N104 2080 61946 SH SOLE 61946 0 0
KRAFT FOODS INC OPTION 50075N104 1399 9747 SH PUT SOLE 9747 0 0
KRAFT FOODS INC OPTION 50075N104 4046 12058 SH CALL SOLE 12058 0 0
KINROSS GOLD CORP COM NO PAR COM 496902404 3349 226571 SH SOLE 226571 0 0
KINROSS GOLD CORP COM NO PAR OPTION 496902404 751 3300 SH PUT SOLE 3300 0 0
KIMCO RLTY CORP COM 49446R109 671 44611 SH SOLE 44611 0 0
KLA-TENCOR CORP COM 482480100 846 22096 SH SOLE 22096 0 0
KIMBERLY CLARK CORP COM 494368103 2084 29349 SH SOLE 29349 0 0
KIMBERLY CLARK CORP OPTION 494368103 1767 3582 SH CALL SOLE 3582 0 0
COCA COLA CO COM 191216100 15539 230010 SH SOLE 230010 0 0
COCA COLA CO OPTION 191216100 4582 16044 SH PUT SOLE 16044 0 0
COCA COLA CO OPTION 191216100 9966 15260 SH CALL SOLE 15260 0 0
KROGER CO COM 501044101 216 9851 SH SOLE 9851 0 0
KRATON PERFORMANCE POLYMERS COM 50077C106 505 31195 SH SOLE 31195 0 0
SPDR SERIES TRUST KBW REGN BK COM 78464A698 483 25000 SH SOLE 25000 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page16 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
KRONOS WORLDWIDE INC COM 50105F105 371 23080 SH SOLE 23080 0 0
KAPSTONE PAPER & PACKAGING C COM 48562P103 1920 138200 SH SOLE 138200 0 0
KOHLS CORP COM 500255104 201 4093 SH SOLE 4093 0 0
KANSAS CITY SOUTHERN COM 485170302 358 7165 SH SOLE 7165 0 0
KT CORP COM 48268K101 535 36170 SH SOLE 36170 0 0
LIBERTY GLOBAL INC COM SER A COM 530555101 393 10871 SH SOLE 10871 0 0
U S AIRWAYS GROUP INC COM 90341W108 423 76870 SH SOLE 76870 0 0
LDK SOLAR CO LTD COM 50183L107 85 27357 SH SOLE 27357 0 0
LEGGETT & PLATT INC COM 524660107 297 14990 SH SOLE 14990 0 0
CHINA LIFE INS CO LTD SPON COM 16939P106 3381 95226 SH SOLE 95226 0 0
LAN AIRLINES S A COM 501723100 2348 113727 SH SOLE 113727 0 0
LENNOX INTL INC COM 526107107 282 10946 SH SOLE 10946 0 0
LIBERTY MEDIA CORP NEW INT COM COM 53071M104 980 66398 SH SOLE 66398 0 0
LKQ CORP COM 501889208 510 21124 SH SOLE 21124 0 0
L & L ENERGY INC COM 50162D100 27 10099 SH SOLE 10099 0 0
L-3 COMMUNICATIONS HLDGS INC COM 502424104 839 13534 SH SOLE 13534 0 0
L-3 COMMUNICATIONS HLDGS INC OPTION 502424104 219 680 SH PUT SOLE 680 0 0
L-3 COMMUNICATIONS CORP DEBT 3 BOND CV 502413AW7 1796070 18906000 PRN SOLE 18906000 0 0
LINEAR TECHNOLOGY CORP COM 535678106 855 30926 SH SOLE 30926 0 0
LINEAR TECHNOLOGY CORP BOND CV 535678AC0 19890 195000 PRN SOLE 195000 0 0
LILLY ELI & CO COM 532457108 12610 341097 SH SOLE 341097 0 0
LILLY ELI & CO OPTION 532457108 602 2995 SH CALL SOLE 2995 0 0
LILLY ELI & CO OPTION 532457108 1229 4559 SH PUT SOLE 4559 0 0
LOCKHEED MARTIN CORP COM 539830109 942 12965 SH SOLE 12965 0 0
LINCOLN NATL CORP IND COM 534187109 13435 859563 SH SOLE 859563 0 0
LINDSAY CORP COM 535555106 2008 37323 SH SOLE 37323 0 0
ALLIANT ENERGY CORP COM 018802108 971 25096 SH SOLE 25096 0 0
LORILLARD INC COM 544147101 3772 34071 SH SOLE 34071 0 0
LOGITECH INTL S A SHS COM H50430232 315 40376 SH SOLE 40376 0 0
LOOPNET INC COM 543524300 1962 114519 SH SOLE 114519 0 0
LOWES COS INC COM 548661107 10936 565477 SH SOLE 565477 0 0
LOWES COS INC OPTION 548661107 2550 10697 SH PUT SOLE 10697 0 0
LG DISPLAY CO LTD SPONS COM 50186V102 1834 225000 SH SOLE 225000 0 0
LAM RESEARCH CORP COM 512807108 11865 312411 SH SOLE 312411 0 0
LIBERTY PPTY TR SH BEN INT COM 531172104 258 8849 SH SOLE 8849 0 0
LSI CORPORATION COM 502161102 381 73481 SH SOLE 73481 0 0
LIMITED BRANDS INC COM 532716107 1296 33646 SH SOLE 33646 0 0
LUCENT TECHNOLOGIES INC DBCV 2 BOND CV 549463AH0 64662 700000 PRN SOLE 700000 0 0
LULULEMON ATHLETICA INC COM 550021109 206 4222 SH SOLE 4222 0 0
SOUTHWEST AIRLS CO COM 844741108 183 22718 SH SOLE 22718 0 0
LUXOTTICA GROUP S P A COM 55068R202 262 10415 SH SOLE 10415 0 0
LEVEL 3 COMMUNICATIONS INC COM 52729N100 1086 728692 SH SOLE 728692 0 0
LAS VEGAS SANDS CORP COM 517834107 20257 528359 SH SOLE 528359 0 0
LAS VEGAS SANDS CORP OPTION 517834107 446 800 SH CALL SOLE 800 0 0
LAS VEGAS SANDS CORP OPTION 517834107 1858 4050 SH PUT SOLE 4050 0 0
LEXMARK INTL NEW COM 529771107 406 15038 SH SOLE 15038 0 0
LEXICON PHARMACEUTICALS INC COM 528872104 27 29661 SH SOLE 29661 0 0
LYONDELLBASELL INDUSTRIES N SH COM N53745100 222 9081 SH SOLE 9081 0 0
LLOYDS BANKING GROUP PLC COM 539439109 1899 908511 SH SOLE 908511 0 0
MACYS INC COM 55616P104 2185 83000 SH SOLE 83000 0 0
MACERICH CO COM 554382101 438 10282 SH SOLE 10282 0 0
MASCO CORP COM 574599106 193 27100 SH SOLE 27100 0 0
MOBILE TELESYSTEMS OJSC COM 607409109 16250 1321108 SH SOLE 1321108 0 0
MCDONALDS CORP COM 580135101 17680 201320 SH SOLE 201320 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page17 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
MCDONALDS CORP OPTION 580135101 1907 6621 SH PUT SOLE 6621 0 0
MCDONALDS CORP OPTION 580135101 11676 6540 SH CALL SOLE 6540 0 0
MCKESSON CORP COM 58155Q103 630 8668 SH SOLE 8668 0 0
MOODYS CORP COM 615369105 3956 129923 SH SOLE 129923 0 0
MOODYS CORP OPTION 615369105 1011 3432 SH PUT SOLE 3432 0 0
MOLYCORP INC DEL PFD CONV SER ACOM 608753208 4782 69199 SH SOLE 69199 0 0
MERCURY GENL CORP NEW COM 589400100 885 23077 SH SOLE 23077 0 0
MEDNAX INC COM 58502B106 502 8011 SH SOLE 8011 0 0
MEDICINES CO COM 584688105 284 19091 SH SOLE 19091 0 0
MCDERMOTT INTL INC COM 580037109 501 46551 SH SOLE 46551 0 0
ALLSCRIPTS HEALTHCARE SOLUTN COM 01988P108 18341 1017825 SH SOLE 1017825 0 0
MEDTRONIC INC COM 585055106 1682 50589 SH SOLE 50589 0 0
MEDTRONIC INC OPTION 585055106 306 754 SH PUT SOLE 754 0 0
MEDTRONIC INC BOND CV 585055AM8 1504879 15030000 PRN SOLE 15030000 0 0
SPDR S&P MIDCAP 400 ETF TR UTS COM 78467Y107 52828 371688 SH SOLE 371688 0 0
MASSEY ENERGY CO BOND CV 576203AJ2 609829 6881000 PRN SOLE 6881000 0 0
METLIFE INC COM 59156R108 12902 460617 SH SOLE 460617 0 0
METLIFE INC OPTION 59156R108 5278 4900 SH PUT SOLE 4900 0 0
MF GLOBAL HLDGS LTD COM 55277J108 397 96234 SH SOLE 96234 0 0
MFA FINANCIAL INC COM 55272X102 80 11463 SH SOLE 11463 0 0
MGE ENERGY INC COM 55277P104 307 7554 SH SOLE 7554 0 0
MGM RESORTS INTERNATIONAL COM 552953101 10230 1101176 SH SOLE 1101176 0 0
MGM RESORTS INTERNATIONAL OPTION 552953101 987 6448 SH PUT SOLE 6448 0 0
MCGRAW HILL COS INC COM 580645109 697 16989 SH SOLE 16989 0 0
MEDCO HEALTH SOLUTIONS INC COM 58405U102 3427 73085 SH SOLE 73085 0 0
MEAD JOHNSON NUTRITION CO COM 582839106 620 9012 SH SOLE 9012 0 0
MEAD JOHNSON NUTRITION CO OPTION 582839106 1439 1822 SH CALL SOLE 1822 0 0
MKS INSTRUMENT INC COM 55306N104 395 18203 SH SOLE 18203 0 0
MOTOROLA MOBILITY HLDGS INC COM 620097105 25332 670509 SH SOLE 670509 0 0
MOTOROLA MOBILITY HLDGS INC OPTION 620097105 331 10170 SH PUT SOLE 10170 0 0
3M CO COM 88579Y101 22589 314657 SH SOLE 314657 0 0
3M CO OPTION 88579Y101 206 3449 SH CALL SOLE 3449 0 0
3M CO OPTION 88579Y101 6811 4448 SH PUT SOLE 4448 0 0
MCMORAN EXPLORATION CO COM 582411104 125 12617 SH SOLE 12617 0 0
MCCLATCHY CO COM 579489105 6250 4664408 SH SOLE 4664408 0 0
ALTRIA GROUP INC COM 02209S103 2177 81203 SH SOLE 81203 0 0
ALTRIA GROUP INC OPTION 02209S103 862 9050 SH PUT SOLE 9050 0 0
ALTRIA GROUP INC OPTION 02209S103 5169 11242 SH CALL SOLE 11242 0 0
MONSANTO CO NEW COM 61166W101 50580 842446 SH SOLE 842446 0 0
MONSANTO CO NEW OPTION 61166W101 12257 16082 SH PUT SOLE 16082 0 0
MONSANTO CO NEW OPTION 61166W101 3196 5969 SH CALL SOLE 5969 0 0
MOSAIC CO NEW COM 61945C103 9984 203873 SH SOLE 203873 0 0
MOSAIC CO NEW OPTION 61945C103 420 1400 SH CALL SOLE 1400 0 0
MERCK & CO INC NEW COM 58933Y105 17930 548308 SH SOLE 548308 0 0
MERCK & CO INC NEW OPTION 58933Y105 3674 16435 SH CALL SOLE 16435 0 0
MERCK & CO INC NEW OPTION 58933Y105 4658 17775 SH PUT SOLE 17775 0 0
MARATHON OIL CORP COM 565849106 2264 104909 SH SOLE 104909 0 0
MARATHON OIL CORP OPTION 565849106 567 1953 SH PUT SOLE 1953 0 0
MARVELL TECHNOLOGY GROUP LTD COM G5876H105 1476 101698 SH SOLE 101698 0 0
MORGAN STANLEY COM 617446448 8735 646533 SH SOLE 646533 0 0
MORGAN STANLEY OPTION 617446448 6093 6627 SH PUT SOLE 6627 0 0
MICROSOFT CORP COM 594918104 60387 2426159 SH SOLE 2426159 0 0
MICROSOFT CORP OPTION 594918104 3914 20230 SH CALL SOLE 20230 0 0
MICROSOFT CORP OPTION 594918104 9071 53666 SH PUT SOLE 53666 0 0
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Sep 30,2011 Page18 of 28
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other Voting Authority
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----