0001166588-12-000001.txt : 20120213 0001166588-12-000001.hdr.sgml : 20120213 20120213144546 ACCESSION NUMBER: 0001166588-12-000001 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20111231 FILED AS OF DATE: 20120213 DATE AS OF CHANGE: 20120213 EFFECTIVENESS DATE: 20120213 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: 12598139 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 BNP PARIBAS ARBITRAGE HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended:Dec 31,2011 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: EQD COO, BNP Paribas Securities Corp. Phone: 917-472-4991 Signature ,Place, and Date of Signing: M. Andrews Yeo New York, NY February 13, 2012 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: 1,543 Form 13F Information Table Value Total: $49,040,136 (x$1,000) List of Other Included Managers: No. 13F File Number Name **NONE**
Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page 1 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- ADVANCED MICRO DEVICES INC BOND CV 007903AN7 101000 1000000 PRN SOLE 1000000 0 0 AFFILIATED MANAGERS GROUP BOND CV 008252AL2 68572 632000 PRN SOLE 632000 0 0 ALLEGHENY TECHNOLOGIES INC BOND CV 01741RAD4 120153 859000 PRN SOLE 859000 0 0 AMGEN INC BOND CV 031162AQ3 20075 200000 PRN SOLE 200000 0 0 ARVINMERITOR INC BOND CV 043353AF8 237475 3220000 PRN SOLE 3220000 0 0 BOSTON PPTYS LTD PARTNERSHIP BOND CV 10112RAG9 11768 103000 PRN SOLE 103000 0 0 BOSTON PPTYS LTD PARTNERSHIP BOND CV 10112RAK0 190000 1900000 PRN SOLE 1900000 0 0 BROOKDALE SR LIVING INC BOND CV 112463AA2 672573 7753000 PRN SOLE 7753000 0 0 CAL DIVE INTL INC BOND CV 127914AB5 2005 20000 PRN SOLE 20000 0 0 CEMEX SAB DE CV BOND CV 151290AV5 303608 4653000 PRN SOLE 4653000 0 0 CHENIERE ENERGY INC BOND CV 16411RAE9 49162 523000 PRN SOLE 523000 0 0 COVANTA HLDG CORP BOND CV 22282EAC6 187650 1800000 PRN SOLE 1800000 0 0 CUBIST PHARMACEUTICALS INC BOND CV 229678AC1 404 3000 PRN SOLE 3000 0 0 CUBIST PHARMACEUTICALS INC BOND CV 229678AD9 920962 6150000 PRN SOLE 6150000 0 0 DANAHER CORP DEL BOND CV 235851AF9 60196 441000 PRN SOLE 441000 0 0 DENDREON CORP BOND CV 24823QAC1 732385 10444000 PRN SOLE 10444000 0 0 EASTMAN KODAK CO BOND CV 277461BJ7 177188 6750000 PRN SOLE 6750000 0 0 FORD MTR CO DEL BOND CV 345370CN8 176065 1228000 PRN SOLE 1228000 0 0 GENCO SHIPPING & TRADING LTD BOND CV 36869MAA3 164395 2594000 PRN SOLE 2594000 0 0 GILEAD SCIENCES INC BOND CV 375558AN3 88804 811000 PRN SOLE 811000 0 0 GILEAD SCIENCES INC BOND CV 375558AP8 630754 5539000 PRN SOLE 5539000 0 0 GOODRICH PETE CORP BOND CV 382410AC2 13153 142000 PRN SOLE 142000 0 0 HEALTH CARE REIT INC BOND CV 42217KAR7 332145 2904000 PRN SOLE 2904000 0 0 HERCULES OFFSHORE INC BOND CV 427093AD1 1882 21000 PRN SOLE 21000 0 0 HOLOGIC INC BOND CV 436440AB7 6453 59000 PRN SOLE 59000 0 0 HUMAN GENOME SCIENCES INC BOND CV 444903AN8 58191 652000 PRN SOLE 652000 0 0 INGERSOLL-RAND GLOBAL HLDG C BOND CV 45687AAD4 2232758 13038000 PRN SOLE 13038000 0 0 INTEL CORP SDCV 2.950%12/1 BOND CV 458140AD2 244381 2347000 PRN SOLE 2347000 0 0 INTERPUBLIC GROUP COS INC BOND CV 460690BA7 25382 251000 PRN SOLE 251000 0 0 INVACARE CORP SDCV 4.125% 2/0 BOND CV 461203AD3 107875 1000000 PRN SOLE 1000000 0 0 INVITROGEN CORP BOND CV 46185RAK6 1375200 13752000 PRN SOLE 13752000 0 0 JAMES RIVER COAL CO BOND CV 470355AF5 46961 604000 PRN SOLE 604000 0 0 JEFFERIES GROUP INC NEW DBCV 3 BOND CV 472319AG7 61875 750000 PRN SOLE 750000 0 0 KNIGHT CAP GROUP INC BOND CV 499005AE6 16244 182000 PRN SOLE 182000 0 0 LEVEL 3 COMMUNICATIONS INC BOND CV 52729NBR0 288859 2375000 PRN SOLE 2375000 0 0 LIBERTY MEDIA CORP NEW DEB 3.1 BOND CV 530718AF2 1118750 10000000 PRN SOLE 10000000 0 0 LIVE NATION ENTERTAINMENT IN BOND CV 538034AB5 2651 30000 PRN SOLE 30000 0 0 LUCENT TECHNOLOGIES INC DBCV 2 BOND CV 549463AG2 436824 6067000 PRN SOLE 6067000 0 0 MCMORAN EXPLORATION CO BOND CV 582411AL8 4360 40000 PRN SOLE 40000 0 0 MICROCHIP TECHNOLOGY INC SDCV BOND CV 595017AB0 877500 6500000 PRN SOLE 6500000 0 0 MICRON TECHNOLOGY INC BOND CV 595112AJ2 987875 7000000 PRN SOLE 7000000 0 0 MYLAN INC BOND CV 628530AJ6 2182812 12500000 PRN SOLE 12500000 0 0 NEWMONT MINING CORP BOND CV 651639AH9 10703 77000 PRN SOLE 77000 0 0 NEWMONT MINING CORP BOND CV 651639AJ5 1190062 8250000 PRN SOLE 8250000 0 0 NEWMONT MINING CORP BOND CV 651639AK2 526 4000 PRN SOLE 4000 0 0 NUANCE COMMUNICATIONS INC DBCV BOND CV 67020YAB6 288 2000 PRN SOLE 2000 0 0 NUVASIVE INC BOND CV 670704AB1 380736 3895000 PRN SOLE 3895000 0 0 NUVASIVE INC BOND CV 670704AC9 408319 5603000 PRN SOLE 5603000 0 0 PROLOGIS BOND CV 74340XAS0 100156 1022000 PRN SOLE 1022000 0 0 PROLOGIS BOND CV 74340XAT8 1684547 16335000 PRN SOLE 16335000 0 0 PROLOGIS BOND CV 743410AQ5 117605 1179000 PRN SOLE 1179000 0 0 RAYONIER TRS HLDGS INC BOND CV 75508AAB2 750113 6025000 PRN SOLE 6025000 0 0 RAYONIER TRS HLDGS INC BOND CV 75508AAC0 235410 1680000 PRN SOLE 1680000 0 0 ROPER INDS INC NEW BOND CV 776696AA4 27125 250000 PRN SOLE 250000 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page2 of 30 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 3572000 23500000 PRN SOLE 23500000 0 0 SBA COMMUNICATIONS CORP BOND CV 78388JAN6 968468 8580000 PRN SOLE 8580000 0 0 SAVIENT PHARMACEUTICALS INC BOND CV 80517QAA8 5225 110000 PRN SOLE 110000 0 0 STILLWATER MNG CO BOND CV 86074QAF9 29644 310000 PRN SOLE 310000 0 0 TEVA PHARMACEUTICAL FIN LLC DB BOND CV 88163VAE9 7443 72000 PRN SOLE 72000 0 0 TRINITY INDS INC BOND CV 896522AF6 44574 456000 PRN SOLE 456000 0 0 UNITED STATES STL CORP NEW BOND CV 912909AE8 221 2000 PRN SOLE 2000 0 0 UNITED THERAPEUTICS CORP DEL BOND CV 91307CAE2 198050 1700000 PRN SOLE 1700000 0 0 VIRGIN MEDIA INC BOND CV 92769LAB7 2283188 16500000 PRN SOLE 16500000 0 0 WESCO INTL INC DBCV 6.000% 9/1 BOND CV 95082PAH8 1518217 7502000 PRN SOLE 7502000 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 475 13612 SH SOLE 13612 0 0 ALCOA INC COM 013817101 18256 2110520 SH SOLE 2110520 0 0 ALCOA INC OPTION 013817101 9561 32011 SH PUT SOLE 32011 0 0 APPLE INC COM 037833100 47319 116836 SH SOLE 116836 0 0 APPLE INC OPTION 037833100 11614 17706 SH PUT SOLE 17706 0 0 APPLE INC OPTION 037833100 18498 4043 SH CALL SOLE 4043 0 0 ADVANCED ANALOGIC TECHNOLOGI COM 00752J108 68 11729 SH SOLE 11729 0 0 ABB LTD COM 000375204 6131 325590 SH SOLE 325590 0 0 ABBOTT LABS COM 002824100 29590 526225 SH SOLE 526225 0 0 ABBOTT LABS OPTION 002824100 1072 6898 SH PUT SOLE 6898 0 0 ABBOTT LABS OPTION 002824100 4263 11124 SH CALL SOLE 11124 0 0 COMPANHIA DE BEBIDAS DAS AME S COM 20441W203 2470 68434 SH SOLE 68434 0 0 COMPANHIA DE BEBIDAS DAS AME S OPTION 20441W203 458 951 SH PUT SOLE 951 0 0 BARRICK GOLD CORP COM 067901108 14625 323196 SH SOLE 323196 0 0 BARRICK GOLD CORP OPTION 067901108 1061 2800 SH PUT SOLE 2800 0 0 AMERICAN CAP LTD COM 02503Y103 588 87376 SH SOLE 87376 0 0 ACE LTD SHS COM H0023R105 370 5278 SH SOLE 5278 0 0 ACE LTD SHS OPTION H0023R105 562 750 SH CALL SOLE 750 0 0 ARCH CAP GROUP LTD COM G0450A105 39189 1052623 SH SOLE 1052623 0 0 ALUMINUM CORP CHINA LTD SPON COM 022276109 529 48962 SH SOLE 48962 0 0 ARCH COAL INC COM 039380100 522 35974 SH SOLE 35974 0 0 AECOM TECHNOLOGY CORP DELAWA COM 00766T100 494 24012 SH SOLE 24012 0 0 ACCENTURE PLC IRELAND SHS CLAS COM G1151C101 1823 34245 SH SOLE 34245 0 0 ACCENTURE PLC IRELAND SHS CLAS OPTION G1151C101 279 1177 SH PUT SOLE 1177 0 0 ALLIANCE DATA SYSTEMS CORP BOND CV 018581AD0 1714062 12500000 PRN SOLE 12500000 0 0 ADOBE SYS INC COM 00724F101 1193 42185 SH SOLE 42185 0 0 ANALOG DEVICES INC COM 032654105 583 16283 SH SOLE 16283 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 12830 448586 SH SOLE 448586 0 0 ARCHER DANIELS MIDLAND CO OPTION 039483102 1427 12399 SH PUT SOLE 12399 0 0 ARCHER DANIELS MIDLAND CO OPTION 039483102 855 5500 SH CALL SOLE 5500 0 0 AUTOMATIC DATA PROCESSING IN COM 053015103 1427 26422 SH SOLE 26422 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 787 7583 SH SOLE 7583 0 0 AUTODESK INC COM 052769106 1165 38399 SH SOLE 38399 0 0 ADTRAN INC COM 00738A106 283 9396 SH SOLE 9396 0 0 ADVANCE AMER CASH ADVANCE CT COM 00739W107 143 15929 SH SOLE 15929 0 0 AMEREN CORP COM 023608102 929 28053 SH SOLE 28053 0 0 AEGON N V NY REGISTRY SH COM 007924103 272 67773 SH SOLE 67773 0 0 ADVANCED ENERGY INDS COM 007973100 148 13766 SH SOLE 13766 0 0 AGNICO EAGLE MINES LTD COM 008474108 331 9127 SH SOLE 9127 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 9626 629588 SH SOLE 629588 0 0 AMERICAN ELEC PWR INC COM 025537101 854 20676 SH SOLE 20676 0 0 AES CORP COM 00130H105 2492 210446 SH SOLE 210446 0 0 AETNA INC NEW COM 00817Y108 567 13451 SH SOLE 13451 0 0 ASTORIA FINL CORP COM 046265104 208 24503 SH SOLE 24503 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page3 of 30 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 COM 001055102 2383 55080 SH SOLE 55080 0 0 AFLAC INC OPTION 001055102 353 1750 SH CALL SOLE 1750 0 0 AFLAC INC OPTION 001055102 564 2767 SH PUT SOLE 2767 0 0 AGCO CORP COM 001084102 3498 81404 SH SOLE 81404 0 0 ISHARES TR BARCLY USAGG B COM 464287226 8243 74768 SH SOLE 74768 0 0 ALLERGAN INC COM 018490102 1048 11947 SH SOLE 11947 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 317 11278 SH SOLE 11278 0 0 AMERIGROUP CORP COM 03073T102 438 7407 SH SOLE 7407 0 0 AGRIUM INC COM 008916108 3778 56293 SH SOLE 56293 0 0 AMERICAN INTL GROUP INC COM 026874784 4085 176074 SH SOLE 176074 0 0 AMERICAN INTL GROUP INC OPTION 026874784 331 300 SH PUT SOLE 300 0 0 AMERICAN INTL GROUP INC *W EXP COM 026874156 145 26369 SH SOLE 26369 0 0 APOLLO INVT CORP COM 03761U106 164 25411 SH SOLE 25411 0 0 GALLAGHER ARTHUR J & CO COM 363576109 559 16722 SH SOLE 16722 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 1232 38167 SH SOLE 38167 0 0 ACADIA RLTY TR COM SH BEN INT COM 004239109 520 25810 SH SOLE 25810 0 0 AK STL HLDG CORP COM 001547108 6259 757699 SH SOLE 757699 0 0 ALBEMARLE CORP COM 012653101 449 8718 SH SOLE 8718 0 0 ALEXANDER & BALDWIN INC COM 014482103 229 5608 SH SOLE 5608 0 0 ALLSTATE CORP COM 020002101 1008 36758 SH SOLE 36758 0 0 ALTERA CORP COM 021441100 1455 39220 SH SOLE 39220 0 0 ALCATEL-LUCENT COM 013904305 5396 3458874 SH SOLE 3458874 0 0 ALCATEL-LUCENT OPTION 013904305 216 12385 SH PUT SOLE 12385 0 0 ALEXANDERS INC COM 014752109 262 707 SH SOLE 707 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 442 6176 SH SOLE 6176 0 0 APPLIED MATLS INC COM 038222105 5315 496252 SH SOLE 496252 0 0 ADVANCED MICRO DEVICES INC COM 007903107 8045 1489777 SH SOLE 1489777 0 0 ADVANCED MICRO DEVICES INC BOND CV 007903AL1 244062 2500000 PRN SOLE 2500000 0 0 AFFILIATED MANAGERS GROUP COM 008252108 296 3086 SH SOLE 3086 0 0 AMGEN INC COM 031162100 9651 150302 SH SOLE 150302 0 0 AMGEN INC OPTION 031162100 226 5963 SH PUT SOLE 5963 0 0 AMGEN INC OPTION 031162100 2559 3725 SH CALL SOLE 3725 0 0 AMKOR TECHNOLOGY INC COM 031652100 4699 1077819 SH SOLE 1077819 0 0 AMERIPRISE FINL INC COM 03076C106 280 5634 SH SOLE 5634 0 0 AMERICAN TOWER CORP COM 029912201 3568 59462 SH SOLE 59462 0 0 TD AMERITRADE HLDG CORP COM 87236Y108 338 21627 SH SOLE 21627 0 0 AMERICA MOVIL SAB DE CV SPON COM 02364W105 3077 136136 SH SOLE 136136 0 0 AMAZON COM INC COM 023135106 27677 159888 SH SOLE 159888 0 0 AMAZON COM INC OPTION 023135106 6578 5718 SH PUT SOLE 5718 0 0 AMAZON COM INC OPTION 023135106 8055 2539 SH CALL SOLE 2539 0 0 ABERCROMBIE & FITCH CO COM 002896207 417 8545 SH SOLE 8545 0 0 ALPHA NATURAL RESOURCES INC BOND CV 02076XAA0 141825 1525000 PRN SOLE 1525000 0 0 AOL INC COM 00184X105 392 25932 SH SOLE 25932 0 0 AOL INC OPTION 00184X105 312 195 SH PUT SOLE 195 0 0 AON CORP COM 037389103 602 12856 SH SOLE 12856 0 0 APACHE CORP COM 037411105 10826 119516 SH SOLE 119516 0 0 APACHE CORP OPTION 037411105 1695 1684 SH PUT SOLE 1684 0 0 ANADARKO PETE CORP COM 032511107 11014 144294 SH SOLE 144294 0 0 ANADARKO PETE CORP OPTION 032511107 702 628 SH CALL SOLE 628 0 0 ANADARKO PETE CORP OPTION 032511107 2679 6294 SH PUT SOLE 6294 0 0 AIR PRODS & CHEMS INC COM 009158106 645 7573 SH SOLE 7573 0 0 AMPHENOL CORP NEW COM 032095101 1025 22586 SH SOLE 22586 0 0 ATLAS PIPELINE PARTNERS LP UNI COM 049392103 204 5504 SH SOLE 5504 0 0 APOLLO GLOBAL MGMT LLC COM 037612306 37230 3000000 SH SOLE 3000000 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page4 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- APOLLO GROUP INC COM 037604105 1173 21781 SH SOLE 21781 0 0 ARES CAP CORP COM 04010L103 479 31019 SH SOLE 31019 0 0 AIRGAS INC COM 009363102 699 8950 SH SOLE 8950 0 0 AIRGAS INC OPTION 009363102 2341 1936 SH CALL SOLE 1936 0 0 ARRIS GROUP INC BOND CV 04269QAC4 38688 384000 PRN SOLE 384000 0 0 ARUBA NETWORKS INC COM 043176106 566 30564 SH SOLE 30564 0 0 ASSOCIATED BANC CORP COM 045487105 118 10529 SH SOLE 10529 0 0 ASM INTL N V NY REGISTER SH COM N07045102 4985 171552 SH SOLE 171552 0 0 ASML HOLDING N V NY REG SHS COM N07059186 516 12359 SH SOLE 12359 0 0 ALLEGHENY TECHNOLOGIES INC OPTION 01741R102 815 1000 SH CALL SOLE 1000 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 302 5283 SH SOLE 5283 0 0 ATMEL CORP COM 049513104 121 14913 SH SOLE 14913 0 0 ATMOS ENERGY CORP COM 049560105 278 8349 SH SOLE 8349 0 0 ACTIVISION BLIZZARD INC COM 00507V109 370 30065 SH SOLE 30065 0 0 ATWOOD OCEANICS INC COM 050095108 562 14113 SH SOLE 14113 0 0 ANGLOGOLD ASHANTI LTD COM 035128206 2249 52980 SH SOLE 52980 0 0 AU OPTRONICS CORP COM 002255107 3122 722700 SH SOLE 722700 0 0 YAMANA GOLD INC COM 98462Y100 4068 276919 SH SOLE 276919 0 0 YAMANA GOLD INC OPTION 98462Y100 214 4000 SH PUT SOLE 4000 0 0 AVISTA CORP COM 05379B107 424 16479 SH SOLE 16479 0 0 AVALONBAY CMNTYS INC COM 053484101 702 5374 SH SOLE 5374 0 0 AVAGO TECHNOLOGIES LTD SHS COM Y0486S104 1733 60034 SH SOLE 60034 0 0 AVALON RARE METALS INC COM 053470100 33 14130 SH SOLE 14130 0 0 AVON PRODS INC COM 054303102 2957 169285 SH SOLE 169285 0 0 AVERY DENNISON CORP COM 053611109 332 11588 SH SOLE 11588 0 0 AMERICAN WTR WKS CO INC NEW COM 030420103 1136 35666 SH SOLE 35666 0 0 ANIXTER INTL INC BOND CV 035290AJ4 79599 699000 PRN SOLE 699000 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 1585 160299 SH SOLE 160299 0 0 AMERICAN EXPRESS CO COM 025816109 13222 280299 SH SOLE 280299 0 0 AMERICAN EXPRESS CO OPTION 025816109 1284 4062 SH CALL SOLE 4062 0 0 AMERICAN EXPRESS CO OPTION 025816109 2166 9542 SH PUT SOLE 9542 0 0 AXIS CAPITAL HOLDINGS SHS COM G0692U109 207 6465 SH SOLE 6465 0 0 ASTRAZENECA PLC COM 046353108 1538 33226 SH SOLE 33226 0 0 AUTOZONE INC COM 053332102 2108 6488 SH SOLE 6488 0 0 BOEING CO COM 097023105 21272 290007 SH SOLE 290007 0 0 BOEING CO OPTION 097023105 1173 9756 SH PUT SOLE 9756 0 0 BANK OF AMERICA CORPORATION COM 060505104 54754 9847823 SH SOLE 9847823 0 0 BANK OF AMERICA CORPORATION OPTION 060505104 2875 146090 SH CALL SOLE 146090 0 0 BANK OF AMERICA CORPORATION OPTION 060505104 176790 379471 SH PUT SOLE 379471 0 0 BANK OF AMERICA CORPORATION 7. COM 060505682 362 460 SH SOLE 460 0 0 BROOKFIELD ASSET MGMT INC COM 112585104 464 16896 SH SOLE 16896 0 0 BAXTER INTL INC COM 071813109 5897 119184 SH SOLE 119184 0 0 BAXTER INTL INC OPTION 071813109 212 3618 SH CALL SOLE 3618 0 0 BAXTER INTL INC OPTION 071813109 244 1733 SH PUT SOLE 1733 0 0 BED BATH & BEYOND INC COM 075896100 3365 58052 SH SOLE 58052 0 0 BED BATH & BEYOND INC OPTION 075896100 204 253 SH CALL SOLE 253 0 0 BANCO BRADESCO S A SP COM 059460303 7286 436818 SH SOLE 436818 0 0 BANCO BRADESCO S A SP OPTION 059460303 622 3792 SH PUT SOLE 3792 0 0 BARRETT BILL CORP BOND CV 06846NAA2 33041 330000 PRN SOLE 330000 0 0 BB&T CORP COM 054937107 5966 237042 SH SOLE 237042 0 0 BEST BUY INC COM 086516101 1579 67570 SH SOLE 67570 0 0 BEST BUY INC OPTION 086516101 966 6351 SH PUT SOLE 6351 0 0 BRUNSWICK CORP COM 117043109 1180 65322 SH SOLE 65322 0 0 BCE INC COM 05534B760 3649 87573 SH SOLE 87573 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page5 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- BARD C R INC COM 067383109 1633 19097 SH SOLE 19097 0 0 BARCLAYS PLC COM 06738E204 380 34568 SH SOLE 34568 0 0 BLUE COAT SYSTEMS INC COM 09534T508 6374 250440 SH SOLE 250440 0 0 BLUE COAT SYSTEMS INC OPTION 09534T508 452 5170 SH CALL SOLE 5170 0 0 BLACKROCK STRAT EQUITY DIV T COM 09249Y107 258 26285 SH SOLE 26285 0 0 BECTON DICKINSON & CO COM 075887109 1251 16747 SH SOLE 16747 0 0 FRANKLIN RES INC COM 354613101 623 6481 SH SOLE 6481 0 0 BUNGE LIMITED COM G16962105 16604 290272 SH SOLE 290272 0 0 BUNGE LIMITED OPTION G16962105 470 1043 SH PUT SOLE 1043 0 0 BRIGGS & STRATTON CORP COM 109043109 167 10786 SH SOLE 10786 0 0 BLACKROCK INTL GRWTH & INC T C COM 092524107 794 110878 SH SOLE 110878 0 0 BAKER HUGHES INC COM 057224107 857 17629 SH SOLE 17629 0 0 BHP BILLITON LTD COM 088606108 542 7676 SH SOLE 7676 0 0 BAIDU INC SPON COM 056752108 16607 142586 SH SOLE 142586 0 0 BAIDU INC SPON OPTION 056752108 560 1441 SH PUT SOLE 1441 0 0 BOULDER GROWTH & INCOME FD I COM 101507101 402 70000 SH SOLE 70000 0 0 BIG LOTS INC COM 089302103 257 6818 SH SOLE 6818 0 0 BIOGEN IDEC INC COM 09062X103 5777 52498 SH SOLE 52498 0 0 SPDR SERIES TRUST BRCLYS 1-3MT COM 78464A680 3581 78127 SH SOLE 78127 0 0 PROGRESSIVE WASTE SOLUTIONS COM 74339G101 210 10722 SH SOLE 10722 0 0 BROOKDALE SR LIVING INC COM 112463104 1772 101901 SH SOLE 101901 0 0 BLACK HILLS CORP COM 092113109 705 20980 SH SOLE 20980 0 0 BUCKEYE TECHNOLOGIES INC COM 118255108 240 7181 SH SOLE 7181 0 0 BELO CORP COM SER A COM 080555105 1295 205542 SH SOLE 205542 0 0 BALL CORP COM 058498106 649 18165 SH SOLE 18165 0 0 BMC SOFTWARE INC COM 055921100 7371 224853 SH SOLE 224853 0 0 BANK MONTREAL QUE COM 063671101 3225 58845 SH SOLE 58845 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 12345 350298 SH SOLE 350298 0 0 BRISTOL MYERS SQUIBB CO OPTION 110122108 848 15016 SH PUT SOLE 15016 0 0 BRISTOL MYERS SQUIBB CO OPTION 110122108 6105 15113 SH CALL SOLE 15113 0 0 BANK NOVA SCOTIA HALIFAX COM 064149107 3087 61969 SH SOLE 61969 0 0 BANK HAWAII CORP COM 062540109 706 15874 SH SOLE 15874 0 0 BP PLC COM 055622104 1328 31060 SH SOLE 31060 0 0 POPULAR INC COM 733174106 20 14265 SH SOLE 14265 0 0 BROCADE COMMUNICATIONS SYS I COM 111621306 104 20108 SH SOLE 20108 0 0 BROADCOM CORP COM 111320107 6140 209119 SH SOLE 209119 0 0 BRF-BRASIL FOODS S A COM 10552T107 4509 230644 SH SOLE 230644 0 0 BERKSHIRE HATHAWAY INC DEL COM 084670108 9754 85 SH SOLE 85 0 0 BERKSHIRE HATHAWAY INC DEL CL BCOM 084670702 15774 206742 SH SOLE 206742 0 0 BERKSHIRE HATHAWAY INC DEL CL BOPTION 084670702 2028 10830 SH PUT SOLE 10830 0 0 BERKSHIRE HATHAWAY INC DEL CL BOPTION 084670702 2816 7301 SH CALL SOLE 7301 0 0 BANCO SANTANDER BRASIL S A ADS COM 05967A107 5158 633628 SH SOLE 633628 0 0 BANCO SANTANDER BRASIL S A ADS OPTION 05967A107 476 1500 SH PUT SOLE 1500 0 0 BOSTON SCIENTIFIC CORP COM 101137107 3462 648276 SH SOLE 648276 0 0 BOSTON SCIENTIFIC CORP OPTION 101137107 855 5000 SH PUT SOLE 5000 0 0 PEABODY ENERGY CORP COM 704549104 4732 142912 SH SOLE 142912 0 0 COMPANIA DE MINAS BUENAVENTU COM 204448104 770 20078 SH SOLE 20078 0 0 BORGWARNER INC COM 099724106 1543 24211 SH SOLE 24211 0 0 BABCOCK & WILCOX CO NEW COM 05615F102 929 38502 SH SOLE 38502 0 0 BLACKSTONE GROUP L P COM UNIT COM 09253U108 502 35808 SH SOLE 35808 0 0 BOSTON PROPERTIES INC COM 101121101 3030 30420 SH SOLE 30420 0 0 BOYD GAMING CORP COM 103304101 2123 284569 SH SOLE 284569 0 0 BALLY TECHNOLOGIES INC COM 05874B107 600 15174 SH SOLE 15174 0 0 BEAZER HOMES USA INC COM 07556Q105 3458 1394496 SH SOLE 1394496 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page6 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- CITIGROUP INC COM 172967424 61089 2321901 SH SOLE 2321901 0 0 CITIGROUP INC OPTION 172967424 7917 113063 SH CALL SOLE 113063 0 0 CITIGROUP INC OPTION 172967424 139884 643014 SH PUT SOLE 643014 0 0 CA INC COM 12673P105 2124 105055 SH SOLE 105055 0 0 CREDIT ACCEP CORP MICH COM 225310101 233 2830 SH SOLE 2830 0 0 MORGAN STANLEY CHINA A SH FD COM 617468103 583 30118 SH SOLE 30118 0 0 CONAGRA FOODS INC COM 205887102 790 29914 SH SOLE 29914 0 0 CARDINAL HEALTH INC COM 14149Y108 3772 92893 SH SOLE 92893 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 1403 28528 SH SOLE 28528 0 0 AVIS BUDGET GROUP COM 053774105 1803 168157 SH SOLE 168157 0 0 CATERPILLAR INC DEL COM 149123101 11674 128856 SH SOLE 128856 0 0 CATERPILLAR INC DEL OPTION 149123101 1887 3359 SH CALL SOLE 3359 0 0 CATERPILLAR INC DEL OPTION 149123101 3725 11354 SH PUT SOLE 11354 0 0 CAVIUM INC COM 14964U108 472 16597 SH SOLE 16597 0 0 CHUBB CORP COM 171232101 6712 96961 SH SOLE 96961 0 0 COOPER INDUSTRIES PLC SHS COM G24140108 249 4594 SH SOLE 4594 0 0 CBRE GROUP INC COM 12504L109 319 20937 SH SOLE 20937 0 0 CHICAGO BRIDGE & IRON CO N V N COM 167250109 684 18097 SH SOLE 18097 0 0 CBS CORP NEW CL B COM 124857202 515 18989 SH SOLE 18989 0 0 CALGON CARBON CORP COM 129603106 1054 67101 SH SOLE 67101 0 0 COCA COLA ENTERPRISES INC NE COM 19122T109 1051 40761 SH SOLE 40761 0 0 CROWN CASTLE INTL CORP COM 228227104 245 5477 SH SOLE 5477 0 0 CAMECO CORP COM 13321L108 4952 274368 SH SOLE 274368 0 0 CAMECO CORP OPTION 13321L108 246 650 SH CALL SOLE 650 0 0 CAMECO CORP OPTION 13321L108 410 650 SH PUT SOLE 650 0 0 CROWN HOLDINGS INC COM 228368106 1048 31199 SH SOLE 31199 0 0 CARNIVAL CORP PAIRED CTF COM 143658300 2596 79542 SH SOLE 79542 0 0 CADENCE DESIGN SYSTEM INC COM 127387108 128 12320 SH SOLE 12320 0 0 CELANESE CORP DEL COM SER A COM 150870103 692 15624 SH SOLE 15624 0 0 CAREER EDUCATION CORP COM 141665109 260 32667 SH SOLE 32667 0 0 CENTRAL EUROPEAN DIST CORP BOND CV 153435AA0 960 12000 PRN SOLE 12000 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 1069 26954 SH SOLE 26954 0 0 CELGENE CORP COM 151020104 3206 47420 SH SOLE 47420 0 0 CNOOC LTD COM 126132109 4129 23636 SH SOLE 23636 0 0 CF INDS HLDGS INC COM 125269100 3311 22841 SH SOLE 22841 0 0 CGG VERITAS COM 204386106 2085 89777 SH SOLE 89777 0 0 CHINA TELECOM CORP LTD SPON COM 169426103 461 8063 SH SOLE 8063 0 0 CHEMED CORP NEW COM 16359R103 287 5596 SH SOLE 5596 0 0 CHOICE HOTELS INTL INC COM 169905106 481 12643 SH SOLE 12643 0 0 CHESAPEAKE ENERGY CORP COM 165167107 7390 331559 SH SOLE 331559 0 0 CHESAPEAKE ENERGY CORP OPTION 165167107 1949 5189 SH PUT SOLE 5189 0 0 CHESAPEAKE ENERGY CORP BOND CV 165167CA3 189103 2107000 PRN SOLE 2107000 0 0 CHESAPEAKE ENERGY CORP BOND CV 165167BZ9 215593 2419000 PRN SOLE 2419000 0 0 CHESAPEAKE ENERGY CORP BOND CV 165167BW6 107525 1100000 PRN SOLE 1100000 0 0 CHESAPEAKE ENERGY CORP BOND CV 165167CB1 31432 381000 PRN SOLE 381000 0 0 CHECK POINT SOFTWARE TECH LT COM M22465104 803 15285 SH SOLE 15285 0 0 CHINA MOBILE LIMITED COM 16941M109 2186 45079 SH SOLE 45079 0 0 CHEMTURA CORP COM 163893209 2718 239698 SH SOLE 239698 0 0 C H ROBINSON WORLDWIDE INC COM 12541W209 452 6474 SH SOLE 6474 0 0 CATALYST HEALTH SOLUTIONS IN COM 14888B103 214 4116 SH SOLE 4116 0 0 CHINA UNICOM (HONG KONG) LTD COM 16945R104 552 26102 SH SOLE 26102 0 0 CIGNA CORPORATION COM 125509109 4443 105784 SH SOLE 105784 0 0 CIENA CORP COM 171779309 2468 203961 SH SOLE 203961 0 0 CIENA CORP OPTION 171779309 1156 6779 SH PUT SOLE 6779 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page7 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- CIENA CORP BOND CV 171779AE1 122715 1620000 PRN SOLE 1620000 0 0 COMPANHIA ENERGETICA DE MINA SPCOM 204409601 833 46828 SH SOLE 46828 0 0 CHIMERA INVT CORP COM 16934Q109 155 61834 SH SOLE 61834 0 0 CINCINNATI FINL CORP COM 172062101 510 16739 SH SOLE 16739 0 0 CIT GROUP INC COM 125581801 553 15873 SH SOLE 15873 0 0 COLGATE PALMOLIVE CO COM 194162103 3221 34863 SH SOLE 34863 0 0 COLGATE PALMOLIVE CO OPTION 194162103 433 3153 SH PUT SOLE 3153 0 0 COLGATE PALMOLIVE CO OPTION 194162103 5416 7892 SH CALL SOLE 7892 0 0 CLIFFS NATURAL RESOURCES INC COM 18683K101 6551 105076 SH SOLE 105076 0 0 CLIFFS NATURAL RESOURCES INC OPTION 18683K101 890 734 SH PUT SOLE 734 0 0 CORELOGIC INC COM 21871D103 690 53355 SH SOLE 53355 0 0 CLEAN HARBORS INC COM 184496107 1307 20503 SH SOLE 20503 0 0 CLEARWATER PAPER CORP COM 18538R103 1256 35272 SH SOLE 35272 0 0 CLOROX CO DEL COM 189054109 7350 110424 SH SOLE 110424 0 0 CLOROX CO DEL OPTION 189054109 269 1300 SH PUT SOLE 1300 0 0 CDN IMPERIAL BK OF COMMERCE COM 136069101 1968 27192 SH SOLE 27192 0 0 COMERICA INC COM 200340107 565 21894 SH SOLE 21894 0 0 COMMERCIAL METALS CO COM 201723103 1124 81245 SH SOLE 81245 0 0 COMCAST CORP NEW COM 20030N101 3864 162987 SH SOLE 162987 0 0 COMCAST CORP NEW OPTION 20030N101 865 15700 SH PUT SOLE 15700 0 0 COMCAST CORP NEW OPTION 20030N101 937 5801 SH CALL SOLE 5801 0 0 COMCAST CORP NEW COM 20030N200 226 9600 SH SOLE 9600 0 0 CME GROUP INC COM 12572Q105 3189 13089 SH SOLE 13089 0 0 CHIPOTLE MEXICAN GRILL INC COM 169656105 440 1304 SH SOLE 1304 0 0 CUMMINS INC COM 231021106 2546 28930 SH SOLE 28930 0 0 CUMMINS INC OPTION 231021106 238 300 SH PUT SOLE 300 0 0 COMPASS MINERALS INTL INC COM 20451N101 486 7062 SH SOLE 7062 0 0 CMS ENERGY CORP COM 125896100 340 15378 SH SOLE 15378 0 0 CNH GLOBAL N V SHS COM N20935206 2200 61127 SH SOLE 61127 0 0 CANADIAN NATL RY CO COM 136375102 2145 27301 SH SOLE 27301 0 0 CINEMARK HOLDINGS INC COM 17243V102 293 15820 SH SOLE 15820 0 0 CLECO CORP NEW COM 12561W105 554 14553 SH SOLE 14553 0 0 CENTERPOINT ENERGY INC COM 15189T107 380 18931 SH SOLE 18931 0 0 CANADIAN NAT RES LTD COM 136385101 1081 28920 SH SOLE 28920 0 0 COHEN & STEERS INC COM 19247A100 233 8066 SH SOLE 8066 0 0 CONSOL ENERGY INC COM 20854P109 2673 72843 SH SOLE 72843 0 0 CAPITAL ONE FINL CORP COM 14040H105 2837 67076 SH SOLE 67076 0 0 CABOT OIL & GAS CORP COM 127097103 2211 29133 SH SOLE 29133 0 0 COACH INC COM 189754104 1898 31094 SH SOLE 31094 0 0 COACH INC OPTION 189754104 440 952 SH PUT SOLE 952 0 0 ROCKWELL COLLINS INC COM 774341101 1202 21716 SH SOLE 21716 0 0 CONOCOPHILLIPS COM 20825C104 8022 110083 SH SOLE 110083 0 0 CONOCOPHILLIPS OPTION 20825C104 2122 13108 SH PUT SOLE 13108 0 0 CONOCOPHILLIPS OPTION 20825C104 5858 5917 SH CALL SOLE 5917 0 0 COSTCO WHSL CORP NEW COM 22160K105 12383 148614 SH SOLE 148614 0 0 COSTCO WHSL CORP NEW OPTION 22160K105 329 4378 SH PUT SOLE 4378 0 0 COSTCO WHSL CORP NEW OPTION 22160K105 280 579 SH CALL SOLE 579 0 0 COVIDIEN PLC SHS COM G2554F113 474 10541 SH SOLE 10541 0 0 CANADIAN PAC RY LTD COM 13645T100 575 8492 SH SOLE 8492 0 0 CAMPBELL SOUP CO COM 134429109 10748 323360 SH SOLE 323360 0 0 CPFL ENERGIA S A COM 126153105 518 18366 SH SOLE 18366 0 0 CALPINE CORP COM 131347304 736 45057 SH SOLE 45057 0 0 CONCEPTUS INC COM 206016107 275 21728 SH SOLE 21728 0 0 COMPLETE PRODUCTION SERVICES COM 20453E109 664 19784 SH SOLE 19784 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page8 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- CREE INC COM 225447101 2656 120487 SH SOLE 120487 0 0 CREE INC OPTION 225447101 442 846 SH PUT SOLE 846 0 0 COMSTOCK RES INC COM 205768203 432 28243 SH SOLE 28243 0 0 SALESFORCE COM INC COM 79466L302 1573 15504 SH SOLE 15504 0 0 SALESFORCE COM INC OPTION 79466L302 769 442 SH PUT SOLE 442 0 0 CROCS INC COM 227046109 641 43404 SH SOLE 43404 0 0 CIRRUS LOGIC INC COM 172755100 325 20506 SH SOLE 20506 0 0 CREDIT SUISSE GROUP COM 225401108 2169 92370 SH SOLE 92370 0 0 COGDELL SPENCER INC COM 19238U107 442 103918 SH SOLE 103918 0 0 COMPUTER SCIENCES CORP COM 205363104 927 39093 SH SOLE 39093 0 0 CISCO SYS INC COM 17275R102 38741 2142768 SH SOLE 2142768 0 0 CISCO SYS INC OPTION 17275R102 4910 58170 SH CALL SOLE 58170 0 0 CISCO SYS INC OPTION 17275R102 5932 88656 SH PUT SOLE 88656 0 0 CASH AMER INTL INC COM 14754D100 295 6320 SH SOLE 6320 0 0 COINSTAR INC COM 19259P300 309 6771 SH SOLE 6771 0 0 CSX CORP COM 126408103 3464 164487 SH SOLE 164487 0 0 COOPER TIRE & RUBR CO COM 216831107 1999 142672 SH SOLE 142672 0 0 CENTURYLINK INC COM 156700106 6588 177095 SH SOLE 177095 0 0 CTRIP COM INTL LTD AMERICAN DE COM 22943F100 309 13197 SH SOLE 13197 0 0 COGNIZANT TECHNOLOGY SOLUTIO COM 192446102 2792 43419 SH SOLE 43419 0 0 COGNIZANT TECHNOLOGY SOLUTIO OPTION 192446102 235 1270 SH PUT SOLE 1270 0 0 CITRIX SYS INC COM 177376100 822 13531 SH SOLE 13531 0 0 COVANTA HLDG CORP COM 22282E102 905 66081 SH SOLE 66081 0 0 CABLEVISION SYS CORP COM 12686C109 1126 79154 SH SOLE 79154 0 0 CENOVUS ENERGY INC COM 15135U109 727 21886 SH SOLE 21886 0 0 COVENTRY HEALTH CARE INC COM 222862104 1217 40084 SH SOLE 40084 0 0 CVS CAREMARK CORPORATION COM 126650100 6846 167866 SH SOLE 167866 0 0 CVS CAREMARK CORPORATION OPTION 126650100 655 5377 SH PUT SOLE 5377 0 0 CVS CAREMARK CORPORATION OPTION 126650100 3601 6687 SH CALL SOLE 6687 0 0 CHEVRON CORP NEW COM 166764100 14529 136548 SH SOLE 136548 0 0 CHEVRON CORP NEW OPTION 166764100 2600 15143 SH PUT SOLE 15143 0 0 CHEVRON CORP NEW OPTION 166764100 5224 5111 SH CALL SOLE 5111 0 0 CALIFORNIA WTR SVC GROUP COM 130788102 245 13422 SH SOLE 13422 0 0 CEMEX SAB DE CV SPON COM 151290889 23992 4451190 SH SOLE 4451190 0 0 CONCHO RES INC COM 20605P101 842 8984 SH SOLE 8984 0 0 CREXUS INVT CORP COM 226553105 1848 178043 SH SOLE 178043 0 0 CYPRESS SEMICONDUCTOR CORP COM 232806109 542 32105 SH SOLE 32105 0 0 CYBERONICS INC COM 23251P102 284 8464 SH SOLE 8464 0 0 COMMUNITY HEALTH SYS INC NEW COM 203668108 5688 325950 SH SOLE 325950 0 0 DOMINION RES INC VA NEW COM 25746U109 1957 36865 SH SOLE 36865 0 0 DELTA AIR LINES INC DEL COM 247361702 1365 168704 SH SOLE 168704 0 0 DANA HLDG CORP COM 235825205 929 76448 SH SOLE 76448 0 0 DARLING INTL INC COM 237266101 1105 83151 SH SOLE 83151 0 0 DEUTSCHE BANK AG NAMEN AKT COM D18190898 488 12886 SH SOLE 12886 0 0 DONALDSON INC COM 257651109 405 5952 SH SOLE 5952 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 12233 267211 SH SOLE 267211 0 0 DU PONT E I DE NEMOURS & CO OPTION 263534109 587 5999 SH CALL SOLE 5999 0 0 DU PONT E I DE NEMOURS & CO OPTION 263534109 3830 15835 SH PUT SOLE 15835 0 0 DILLARDS INC COM 254067101 335 7464 SH SOLE 7464 0 0 DEERE & CO COM 244199105 9049 116994 SH SOLE 116994 0 0 DEERE & CO OPTION 244199105 532 1600 SH CALL SOLE 1600 0 0 DEERE & CO OPTION 244199105 3020 4213 SH PUT SOLE 4213 0 0 DECKERS OUTDOOR CORP COM 243537107 8185 108306 SH SOLE 108306 0 0 ETABLISSEMENTS DELHAIZE FRER COM 29759W101 416 7376 SH SOLE 7376 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page9 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- DOUGLAS EMMETT INC COM 25960P109 546 29913 SH SOLE 29913 0 0 DELL INC COM 24702R101 10136 692833 SH SOLE 692833 0 0 DELL INC OPTION 24702R101 353 11327 SH CALL SOLE 11327 0 0 DELL INC OPTION 24702R101 1247 17772 SH PUT SOLE 17772 0 0 DEAN FOODS CO NEW COM 242370104 950 84782 SH SOLE 84782 0 0 DISCOVER FINL SVCS COM 254709108 893 37219 SH SOLE 37219 0 0 DOLLAR GEN CORP NEW COM 256677105 628 15261 SH SOLE 15261 0 0 QUEST DIAGNOSTICS INC COM 74834L100 934 16080 SH SOLE 16080 0 0 D R HORTON INC COM 23331A109 673 53369 SH SOLE 53369 0 0 DANAHER CORP DEL COM 235851102 6472 137575 SH SOLE 137575 0 0 DANAHER CORP DEL OPTION 235851102 472 2679 SH PUT SOLE 2679 0 0 SPDR DOW JONES INDL AVRG ETF U COM 78467X109 9158 75159 SH SOLE 75159 0 0 SPDR DOW JONES INDL AVRG ETF U OPTION 78467X109 1590 2100 SH CALL SOLE 2100 0 0 SPDR DOW JONES INDL AVRG ETF U OPTION 78467X109 218 400 SH PUT SOLE 400 0 0 DISNEY WALT CO COM DISNEY COM 254687106 1181 31483 SH SOLE 31483 0 0 DISNEY WALT CO COM DISNEY OPTION 254687106 937 10775 SH PUT SOLE 10775 0 0 DISNEY WALT CO COM DISNEY OPTION 254687106 2270 7514 SH CALL SOLE 7514 0 0 DISCOVERY COMMUNICATNS NEW COM COM 25470F104 515 12574 SH SOLE 12574 0 0 DISH NETWORK CORP COM 25470M109 1121 39377 SH SOLE 39377 0 0 DISH NETWORK CORP OPTION 25470M109 276 2505 SH CALL SOLE 2505 0 0 DICKS SPORTING GOODS INC COM 253393102 4602 124786 SH SOLE 124786 0 0 DOLBY LABORATORIES INC COM 25659T107 359 11783 SH SOLE 11783 0 0 DIGITAL RLTY TR INC COM 253868103 1162 17436 SH SOLE 17436 0 0 DOLLAR TREE INC COM 256746108 261 3146 SH SOLE 3146 0 0 DELUXE CORP COM 248019101 684 30037 SH SOLE 30037 0 0 DEMANDTEC INC COM 24802R506 1378 104643 SH SOLE 104643 0 0 DUN & BRADSTREET CORP DEL NE COM 26483E100 892 11921 SH SOLE 11921 0 0 DENBURY RES INC COM 247916208 488 32326 SH SOLE 32326 0 0 DIAMOND OFFSHORE DRILLING IN COM 25271C102 2098 37975 SH SOLE 37975 0 0 DOVER CORP COM 260003108 340 5861 SH SOLE 5861 0 0 DOW CHEM CO COM 260543103 16150 561557 SH SOLE 561557 0 0 DOW CHEM CO OPTION 260543103 367 3892 SH CALL SOLE 3892 0 0 DOW CHEM CO OPTION 260543103 10208 30710 SH PUT SOLE 30710 0 0 AMDOCS LTD COM G02602103 835 29274 SH SOLE 29274 0 0 DOW 30SM ENHANCED PREM & INC COM 260537105 1070 105347 SH SOLE 105347 0 0 DR PEPPER SNAPPLE GROUP INC COM 26138E109 263 6674 SH SOLE 6674 0 0 DELTA PETE CORP BOND CV 247907AD0 241 3000 PRN SOLE 3000 0 0 DOMINOS PIZZA INC COM 25754A201 229 6740 SH SOLE 6740 0 0 DRESSER-RAND GROUP INC COM 261608103 381 7640 SH SOLE 7640 0 0 DUKE REALTY CORP COM 264411505 1177 97715 SH SOLE 97715 0 0 DARDEN RESTAURANTS INC COM 237194105 696 15280 SH SOLE 15280 0 0 DRYSHIPS INC SHS COM Y2109Q101 1800 900000 SH SOLE 900000 0 0 DST SYS INC DEL COM 233326107 511 11226 SH SOLE 11226 0 0 DTE ENERGY CO COM 233331107 540 9915 SH SOLE 9915 0 0 DIRECTV COM COM 25490A101 5762 134762 SH SOLE 134762 0 0 DIRECTV COM OPTION 25490A101 530 4500 SH PUT SOLE 4500 0 0 DIRECTV COM OPTION 25490A101 483 1117 SH CALL SOLE 1117 0 0 DUKE ENERGY CORP NEW COM 26441C105 1236 56171 SH SOLE 56171 0 0 DUKE ENERGY CORP NEW OPTION 26441C105 2862 10615 SH CALL SOLE 10615 0 0 DAVITA INC COM 23918K108 549 7245 SH SOLE 7245 0 0 DEVON ENERGY CORP NEW COM 25179M103 8445 136217 SH SOLE 136217 0 0 DEVON ENERGY CORP NEW OPTION 25179M103 1181 2600 SH PUT SOLE 2600 0 0 DREAMWORKS ANIMATION SKG INC COM 26153C103 267 16086 SH SOLE 16086 0 0 ELECTRONIC ARTS INC COM 285512109 3183 154529 SH SOLE 154529 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page10 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- BRINKER INTL INC COM 109641100 7074 264352 SH SOLE 264352 0 0 EBAY INC COM 278642103 6102 201173 SH SOLE 201173 0 0 EBAY INC OPTION 278642103 938 10416 SH PUT SOLE 10416 0 0 EBAY INC OPTION 278642103 786 5259 SH CALL SOLE 5259 0 0 CENTRAIS ELETRICAS BRASILEIR COM 15234Q207 330 34019 SH SOLE 34019 0 0 ENCANA CORP COM 292505104 323 17418 SH SOLE 17418 0 0 ECOLAB INC COM 278865100 736 12724 SH SOLE 12724 0 0 ENCORE CAP GROUP INC COM 292554102 201 9432 SH SOLE 9432 0 0 CONSOLIDATED EDISON INC COM 209115104 2551 41119 SH SOLE 41119 0 0 CONSOLIDATED EDISON INC OPTION 209115104 282 550 SH CALL SOLE 550 0 0 NEW ORIENTAL ED & TECH GRP I S COM 647581107 240 9991 SH SOLE 9991 0 0 ISHARES TR MSCI EMERG MKT COM 464287234 122258 3222409 SH SOLE 3222409 0 0 ISHARES TR MSCI EMERG MKT OPTION 464287234 382 18436 SH CALL SOLE 18436 0 0 ISHARES TR MSCI EMERG MKT OPTION 464287234 9382 19641 SH PUT SOLE 19641 0 0 ISHARES TR MSCI EAFE INDEX COM 464287465 34831 703240 SH SOLE 703240 0 0 ISHARES TR MSCI EAFE INDEX OPTION 464287465 259 7400 SH CALL SOLE 7400 0 0 ISHARES TR MSCI EAFE INDEX OPTION 464287465 2211 4111 SH PUT SOLE 4111 0 0 ENERGEN CORP COM 29265N108 392 7843 SH SOLE 7843 0 0 ELDORADO GOLD CORP NEW COM 284902103 927 67627 SH SOLE 67627 0 0 NIC INC COM 62914B100 163 12249 SH SOLE 12249 0 0 EDISON INTL COM 281020107 353 8537 SH SOLE 8537 0 0 E HOUSE CHINA HLDGS LTD COM 26852W103 50 11821 SH SOLE 11821 0 0 EASTMAN KODAK CO COM 277461109 526 809685 SH SOLE 809685 0 0 EASTMAN KODAK CO OPTION 277461109 2391 5503 SH PUT SOLE 5503 0 0 LAUDER ESTEE COS INC COM 518439104 383 3411 SH SOLE 3411 0 0 ELAN PLC COM 284131208 2445 177979 SH SOLE 177979 0 0 EARTHLINK INC COM 270321102 74 11445 SH SOLE 11445 0 0 E M C CORP MASS COM 268648102 16594 770382 SH SOLE 770382 0 0 E M C CORP MASS OPTION 268648102 3625 18074 SH PUT SOLE 18074 0 0 E M C CORP MASS OPTION 268648102 5119 16447 SH CALL SOLE 16447 0 0 E M C CORP MASS BOND CV 268648AM4 3157000 22000000 PRN SOLE 22000000 0 0 EASTMAN CHEM CO COM 277432100 1615 41348 SH SOLE 41348 0 0 EMERSON ELEC CO COM 291011104 4736 101654 SH SOLE 101654 0 0 EMERSON ELEC CO OPTION 291011104 274 2050 SH CALL SOLE 2050 0 0 EMERSON ELEC CO OPTION 291011104 627 3147 SH PUT SOLE 3147 0 0 ENBRIDGE INC COM 29250N105 611 16321 SH SOLE 16321 0 0 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 737 21350 SH SOLE 21350 0 0 ENERSIS S A COM 29274F104 375 21275 SH SOLE 21275 0 0 REED ELSEVIER N V SPONS COM 758204200 3949 170134 SH SOLE 170134 0 0 ENTEGRIS INC COM 29362U104 140 16050 SH SOLE 16050 0 0 EOG RES INC COM 26875P101 1403 14238 SH SOLE 14238 0 0 EOG RES INC OPTION 26875P101 205 600 SH PUT SOLE 600 0 0 EL PASO CORP COM 28336L109 9660 363566 SH SOLE 363566 0 0 EL PASO CORP OPTION 28336L109 753 3000 SH CALL SOLE 3000 0 0 WISDOMTREE TRUST INDIA ERNGS FDCOM 97717W422 343 21971 SH SOLE 21971 0 0 EQUINIX INC COM 29444U502 2012 19842 SH SOLE 19842 0 0 EQUINIX INC BOND CV 29444UAG1 123062 1100000 PRN SOLE 1100000 0 0 EQT CORP COM 26884L109 1579 28823 SH SOLE 28823 0 0 ERICSSON L M TEL CO COM 294821608 8425 831707 SH SOLE 831707 0 0 ITT EDUCATIONAL SERVICES INC COM 45068B109 400 7032 SH SOLE 7032 0 0 EXPRESS SCRIPTS INC COM 302182100 8412 188225 SH SOLE 188225 0 0 EXPRESS SCRIPTS INC OPTION 302182100 236 1350 SH PUT SOLE 1350 0 0 ENSCO PLC COM 29358Q109 263 5614 SH SOLE 5614 0 0 E TRADE FINANCIAL CORP COM 269246401 182 22846 SH SOLE 22846 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page11 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- EATON CORP COM 278058102 658 15124 SH SOLE 15124 0 0 ENTERGY CORP NEW COM 29364G103 2583 35360 SH SOLE 35360 0 0 EATON VANCE CORP COM NON VTG COM 278265103 858 36292 SH SOLE 36292 0 0 EAST WEST BANCORP INC COM 27579R104 217 11012 SH SOLE 11012 0 0 ISHARES INC MSCI HONG KONG COM 464286871 2993 193458 SH SOLE 193458 0 0 ISHARES INC MSCI HONG KONG OPTION 464286871 55 11000 SH CALL SOLE 11000 0 0 ISHARES INC MSCI JAPAN COM 464286848 684 75063 SH SOLE 75063 0 0 ISHARES INC MSCI MALAYSIA COM 464286830 1888 140905 SH SOLE 140905 0 0 ISHARES INC MSCI SINGAPORE COM 464286673 1761 162591 SH SOLE 162591 0 0 ISHARES INC MSCI TAIWAN COM 464286731 2418 206476 SH SOLE 206476 0 0 ISHARES INC MSCI TAIWAN OPTION 464286731 35 11700 SH CALL SOLE 11700 0 0 ISHARES INC MSCI UTD KINGD COM 464286699 560 34680 SH SOLE 34680 0 0 ISHARES INC MSCI MEX INVEST COM 464286822 6964 129532 SH SOLE 129532 0 0 ISHARES INC MSCI MEX INVEST OPTION 464286822 216 2226 SH PUT SOLE 2226 0 0 ISHARES INC MSCI S KOREA COM 464286772 985 18853 SH SOLE 18853 0 0 ISHARES INC MSCI BRAZIL COM 464286400 77336 1347547 SH SOLE 1347547 0 0 ISHARES INC MSCI BRAZIL OPTION 464286400 5265 40674 SH CALL SOLE 40674 0 0 ISHARES INC MSCI BRAZIL OPTION 464286400 38399 35843 SH PUT SOLE 35843 0 0 EXELON CORP COM 30161N101 8766 202112 SH SOLE 202112 0 0 EXELON CORP OPTION 30161N101 745 7002 SH CALL SOLE 7002 0 0 EXPEDITORS INTL WASH INC COM 302130109 557 13601 SH SOLE 13601 0 0 EXPEDIA INC DEL COM 30212P303 785 27040 SH SOLE 27040 0 0 ISHARES INC MSCI STH AFRCA COM 464286780 537 8795 SH SOLE 8795 0 0 FORD MTR CO DEL PAR $0.01 COM 345370860 50578 4700599 SH SOLE 4700599 0 0 FORD MTR CO DEL PAR $0.01 OPTION 345370860 1146 24156 SH CALL SOLE 24156 0 0 FORD MTR CO DEL PAR $0.01 OPTION 345370860 24037 89678 SH PUT SOLE 89678 0 0 FORD MTR CO DEL BOND CV 345370CF5 283500 2000000 PRN SOLE 2000000 0 0 FORD MTR CO DEL *W EXP 01/01/2 COM 345370134 1684 701500 SH SOLE 701500 0 0 FIRST CASH FINL SVCS INC COM 31942D107 757 21567 SH SOLE 21567 0 0 FELCOR LODGING TR INC COM 31430F101 13530 4436055 SH SOLE 4436055 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 50804 1380930 SH SOLE 1380930 0 0 FREEPORT-MCMORAN COPPER & GO OPTION 35671D857 492 12075 SH CALL SOLE 12075 0 0 FREEPORT-MCMORAN COPPER & GO OPTION 35671D857 23941 33120 SH PUT SOLE 33120 0 0 FAMILY DLR STORES INC COM 307000109 1252 21719 SH SOLE 21719 0 0 FACTSET RESH SYS INC COM 303075105 551 6312 SH SOLE 6312 0 0 FEDEX CORP COM 31428X106 8966 107364 SH SOLE 107364 0 0 FEDEX CORP OPTION 31428X106 550 2919 SH PUT SOLE 2919 0 0 FEDEX CORP OPTION 31428X106 992 2115 SH CALL SOLE 2115 0 0 FIRSTENERGY CORP COM 337932107 2677 60435 SH SOLE 60435 0 0 PHOENIX NEW MEDIA LTD COM 71910C103 85 15135 SH SOLE 15135 0 0 F5 NETWORKS INC OPTION 315616102 576 2948 SH PUT SOLE 2948 0 0 F5 NETWORKS INC OPTION 315616102 891 1459 SH CALL SOLE 1459 0 0 SUNAMERICA FOCUSE ALPHA LC F COM 867038101 3693 227658 SH SOLE 227658 0 0 FORTRESS INVESTMENT GROUP LL COM 34958B106 69 20411 SH SOLE 20411 0 0 FEDERATED INVS INC PA CL B COM 314211103 578 38147 SH SOLE 38147 0 0 FIFTH THIRD BANCORP COM 316773100 587 46136 SH SOLE 46136 0 0 FOOT LOCKER INC COM 344849104 229 9619 SH SOLE 9619 0 0 FLEXTRONICS INTL LTD COM Y2573F102 2819 498120 SH SOLE 498120 0 0 FLIR SYS INC COM 302445101 663 26434 SH SOLE 26434 0 0 FLOWERS FOODS INC COM 343498101 402 21191 SH SOLE 21191 0 0 FLUOR CORP NEW COM 343412102 654 13007 SH SOLE 13007 0 0 FLOWSERVE CORP COM 34354P105 544 5481 SH SOLE 5481 0 0 F M C CORP COM 302491303 510 5932 SH SOLE 5932 0 0 FIRSTMERIT CORP COM 337915102 253 16747 SH SOLE 16747 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page12 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- FRESENIUS MED CARE AG&CO KGA COM 358029106 1546 22742 SH SOLE 22742 0 0 FOMENTO ECONOMICO MEXICANO S S COM 344419106 3248 46598 SH SOLE 46598 0 0 FNB CORP PA COM 302520101 248 21934 SH SOLE 21934 0 0 FIRST NIAGARA FINL GP INC COM 33582V108 149 17277 SH SOLE 17277 0 0 FERRO CORP COM 315405100 493 100858 SH SOLE 100858 0 0 FOSSIL INC COM 349882100 779 9816 SH SOLE 9816 0 0 FOREST LABS INC COM 345838106 441 14565 SH SOLE 14565 0 0 FIRST SOLAR INC COM 336433107 5405 160089 SH SOLE 160089 0 0 FIRST SOLAR INC OPTION 336433107 227 1837 SH CALL SOLE 1837 0 0 FIRST SOLAR INC OPTION 336433107 2597 1807 SH PUT SOLE 1807 0 0 FOREST OIL CORP PAR $0.01 COM 346091705 3993 294675 SH SOLE 294675 0 0 FMC TECHNOLOGIES INC COM 30249U101 356 6822 SH SOLE 6822 0 0 FORTINET INC COM 34959E109 661 30298 SH SOLE 30298 0 0 FRONTIER COMMUNICATIONS CORP COM 35906A108 639 124037 SH SOLE 124037 0 0 FRONTIER COMMUNICATIONS CORP OPTION 35906A108 755 9184 SH CALL SOLE 9184 0 0 FOSTER WHEELER AG COM H27178104 264 13774 SH SOLE 13774 0 0 ISHARES TR FTSE CHINA25 IDX COM 464287184 22152 635270 SH SOLE 635270 0 0 ISHARES TR FTSE CHINA25 IDX OPTION 464287184 1544 10459 SH PUT SOLE 10459 0 0 GENPACT LIMITED SHS COM G3922B107 211 14098 SH SOLE 14098 0 0 GIANT INTERACTIVE GROUP INC COM 374511103 68 16666 SH SOLE 16666 0 0 SHANDA GAMES LTD SP COM 81941U105 63 16204 SH SOLE 16204 0 0 AGL RES INC COM 001204106 978 23151 SH SOLE 23151 0 0 GREAT BASIN GOLD LTD COM 390124105 249 273633 SH SOLE 273633 0 0 GANNETT INC COM 364730101 319 23846 SH SOLE 23846 0 0 SANOFI RIGHT 12/31/2020 COM 80105N113 345 287412 SH SOLE 287412 0 0 GENERAL DYNAMICS CORP COM 369550108 2087 31423 SH SOLE 31423 0 0 GARDNER DENVER INC COM 365558105 1672 21696 SH SOLE 21696 0 0 GDL FUND COM SH BEN IT COM 361570104 958 81213 SH SOLE 81213 0 0 GABELLI DIVD & INCOME TR COM 36242H104 278 18000 SH SOLE 18000 0 0 MARKET VECTORS ETF TR GOLD MIN COM 57060U100 26535 515945 SH SOLE 515945 0 0 MARKET VECTORS ETF TR GOLD MIN OPTION 57060U100 995 20743 SH CALL SOLE 20743 0 0 MARKET VECTORS ETF TR GOLD MIN OPTION 57060U100 8290 25840 SH PUT SOLE 25840 0 0 GENERAL ELECTRIC CO COM 369604103 15928 889322 SH SOLE 889322 0 0 GENERAL ELECTRIC CO OPTION 369604103 10525 86226 SH CALL SOLE 86226 0 0 GENERAL ELECTRIC CO OPTION 369604103 16945 178211 SH PUT SOLE 178211 0 0 GENON ENERGY INC COM 37244E107 30503 11686871 SH SOLE 11686871 0 0 GAFISA S A SPONS COM 362607301 2220 482501 SH SOLE 482501 0 0 GAFISA S A SPONS OPTION 362607301 550 1000 SH PUT SOLE 1000 0 0 GOLD FIELDS LTD NEW COM 38059T106 3833 251339 SH SOLE 251339 0 0 GOLDCORP INC NEW COM 380956409 18230 411981 SH SOLE 411981 0 0 GOLDCORP INC NEW OPTION 380956409 2345 5398 SH PUT SOLE 5398 0 0 GOLDCORP INC NEW OPTION 380956409 505 1980 SH CALL SOLE 1980 0 0 GERDAU S A COM 373737105 15239 1951168 SH SOLE 1951168 0 0 GERDAU S A OPTION 373737105 1010 2750 SH PUT SOLE 2750 0 0 GEORGIA GULF CORP COM PAR$0.01 COM 373200302 1565 80316 SH SOLE 80316 0 0 GRACO INC COM 384109104 418 10218 SH SOLE 10218 0 0 GROUPE CGI INC COM 39945C109 551 29241 SH SOLE 29241 0 0 GILEAD SCIENCES INC COM 375558103 50934 1244426 SH SOLE 1244426 0 0 GILEAD SCIENCES INC OPTION 375558103 411 3919 SH PUT SOLE 3919 0 0 GILEAD SCIENCES INC OPTION 375558103 990 3515 SH CALL SOLE 3515 0 0 GILEAD SCIENCES INC BOND CV 375558AH6 22431 194000 PRN SOLE 194000 0 0 GENERAL MLS INC COM 370334104 5615 138952 SH SOLE 138952 0 0 SPDR GOLD TRUST GOLD SHS COM 78463V107 74314 488937 SH SOLE 488937 0 0 SPDR GOLD TRUST GOLD SHS OPTION 78463V107 1163 10885 SH PUT SOLE 10885 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page13 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- SPDR GOLD TRUST GOLD SHS OPTION 78463V107 1298 2099 SH CALL SOLE 2099 0 0 GREAT LAKES DREDGE & DOCK CO COM 390607109 282 50667 SH SOLE 50667 0 0 CORNING INC COM 219350105 3022 232850 SH SOLE 232850 0 0 CORNING INC OPTION 219350105 856 3260 SH PUT SOLE 3260 0 0 GENERAL MTRS CO COM 37045V100 1435 70810 SH SOLE 70810 0 0 GENERAL MTRS CO *W EXP 07/10/2 COM 37045V118 704 60000 SH SOLE 60000 0 0 GENERAL MTRS CO *W EXP 07/10/2 COM 37045V126 1173 150000 SH SOLE 150000 0 0 GREEN MTN COFFEE ROASTERS IN COM 393122106 22700 506134 SH SOLE 506134 0 0 GREEN MTN COFFEE ROASTERS IN OPTION 393122106 20100 5000 SH PUT SOLE 5000 0 0 GATX CORP COM 361448103 328 7506 SH SOLE 7506 0 0 GENTEX CORP COM 371901109 267 9032 SH SOLE 9032 0 0 GENWORTH FINL INC COM COM 37247D106 2325 354918 SH SOLE 354918 0 0 GOL LINHAS AEREAS INTLG S A SP COM 38045R107 1854 279636 SH SOLE 279636 0 0 GOOGLE INC COM 38259P508 45853 70991 SH SOLE 70991 0 0 GOOGLE INC OPTION 38259P508 4500 6775 SH PUT SOLE 6775 0 0 GOOGLE INC OPTION 38259P508 8592 1961 SH CALL SOLE 1961 0 0 GENUINE PARTS CO COM 372460105 536 8751 SH SOLE 8751 0 0 GREEN PLAINS RENEWABLE ENERG COM 393222104 1174 120275 SH SOLE 120275 0 0 GEN-PROBE INC NEW COM 36866T103 303 5133 SH SOLE 5133 0 0 GAP INC DEL COM 364760108 941 50706 SH SOLE 50706 0 0 GOODRICH CORP COM 382388106 38873 314255 SH SOLE 314255 0 0 GOODRICH CORP OPTION 382388106 2981 12150 SH CALL SOLE 12150 0 0 GARMIN LTD SHS COM H2906T109 893 22421 SH SOLE 22421 0 0 ASIA TIGERS FD INC COM 04516T105 153 12777 SH SOLE 12777 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 12301 136030 SH SOLE 136030 0 0 GOLDMAN SACHS GROUP INC OPTION 38141G104 1006 4225 SH CALL SOLE 4225 0 0 GOLDMAN SACHS GROUP INC OPTION 38141G104 32698 8862 SH PUT SOLE 8862 0 0 GLAXOSMITHKLINE PLC COM 37733W105 2042 44752 SH SOLE 44752 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 814 57457 SH SOLE 57457 0 0 GOODYEAR TIRE & RUBR CO OPTION 382550101 751 3520 SH PUT SOLE 3520 0 0 GT ADVANCED TECHNOLOGIES INC COM 36191U106 110 15169 SH SOLE 15169 0 0 GRAFTECH INTL LTD COM 384313102 286 20927 SH SOLE 20927 0 0 CENTRAL GOLDTRUST TR UNIT COM 153546106 349 5899 SH SOLE 5899 0 0 GREAT PLAINS ENERGY INC COM 391164100 218 10029 SH SOLE 10029 0 0 HYATT HOTELS CORP COM COM 448579102 217 5775 SH SOLE 5775 0 0 HALLIBURTON CO COM 406216101 20904 605731 SH SOLE 605731 0 0 HALLIBURTON CO OPTION 406216101 996 2849 SH CALL SOLE 2849 0 0 HALLIBURTON CO OPTION 406216101 5866 10171 SH PUT SOLE 10171 0 0 HANSEN NAT CORP COM 411310105 608 6599 SH SOLE 6599 0 0 HARMAN INTL INDS INC COM 413086109 232 6103 SH SOLE 6103 0 0 HASBRO INC COM 418056107 1374 43093 SH SOLE 43093 0 0 HUNTINGTON BANCSHARES INC COM 446150104 84 15246 SH SOLE 15246 0 0 HSBC HLDGS PLC SPON COM 404280406 3995 104864 SH SOLE 104864 0 0 HCA HOLDINGS INC COM 40412C101 2403 109064 SH SOLE 109064 0 0 HUDSON CITY BANCORP COM 443683107 73 11706 SH SOLE 11706 0 0 HEALTH CARE REIT INC BOND CV 42217KAP1 92500 800000 PRN SOLE 800000 0 0 HEALTH CARE REIT INC BOND CV 42217KAQ9 345420 3030000 PRN SOLE 3030000 0 0 HOME DEPOT INC COM 437076102 8661 206010 SH SOLE 206010 0 0 HOME DEPOT INC OPTION 437076102 783 12737 SH PUT SOLE 12737 0 0 HOME DEPOT INC OPTION 437076102 2342 4893 SH CALL SOLE 4893 0 0 HDFC BANK LTD COM 40415F101 10701 407194 SH SOLE 407194 0 0 HAWAIIAN ELEC INDUSTRIES COM 419870100 565 21329 SH SOLE 21329 0 0 HESS CORP COM 42809H107 2817 49592 SH SOLE 49592 0 0 HOLLYFRONTIER CORP COM 436106108 230 9830 SH SOLE 9830 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page14 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- HARLEYSVILLE GROUP INC COM 412824104 570 10075 SH SOLE 10075 0 0 HUMAN GENOME SCIENCES INC COM 444903108 6206 839775 SH SOLE 839775 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 3011 185316 SH SOLE 185316 0 0 HARTFORD FINL SVCS GROUP INC OPTION 416515104 620 1000 SH PUT SOLE 1000 0 0 HITTITE MICROWAVE CORP COM 43365Y104 863 17470 SH SOLE 17470 0 0 HIGHWOODS PPTYS INC COM 431284108 414 13969 SH SOLE 13969 0 0 HERBALIFE LTD COM USD SHS COM G4412G101 1412 27320 SH SOLE 27320 0 0 HEALTHSOUTH CORP COM 421924309 1235 69908 SH SOLE 69908 0 0 HEALTH MGMT ASSOC INC NEW COM 421933102 270 36632 SH SOLE 36632 0 0 HOME INNS & HOTELS MGMT INC SP COM 43713W107 458 17769 SH SOLE 17769 0 0 HUANENG PWR INTL INC SPON COM 443304100 203 9680 SH SOLE 9680 0 0 HEINZ H J CO COM 423074103 5632 104211 SH SOLE 104211 0 0 HARLEY DAVIDSON INC COM 412822108 228 5859 SH SOLE 5859 0 0 HOLOGIC INC BOND CV 436440AA9 52456 550000 PRN SOLE 550000 0 0 HONEYWELL INTL INC COM 438516106 8234 151498 SH SOLE 151498 0 0 HONEYWELL INTL INC OPTION 438516106 1057 6317 SH PUT SOLE 6317 0 0 STARWOOD HOTELS&RESORTS WRLD COM 85590A401 885 18449 SH SOLE 18449 0 0 HOVNANIAN ENTERPRISES INC COM 442487203 1377 949635 SH SOLE 949635 0 0 HEWLETT PACKARD CO COM 428236103 37713 1464001 SH SOLE 1464001 0 0 HEWLETT PACKARD CO OPTION 428236103 772 13309 SH CALL SOLE 13309 0 0 HEWLETT PACKARD CO OPTION 428236103 14349 23567 SH PUT SOLE 23567 0 0 BLOCK H & R INC COM 093671105 742 45430 SH SOLE 45430 0 0 BLOCK H & R INC OPTION 093671105 2373 37320 SH PUT SOLE 37320 0 0 HORMEL FOODS CORP COM 440452100 1203 41060 SH SOLE 41060 0 0 HEALTHSPRING INC COM 42224N101 12381 227014 SH SOLE 227014 0 0 HOST HOTELS & RESORTS INC OPTION 44107P104 299 1300 SH CALL SOLE 1300 0 0 HERSHEY CO COM 427866108 209 3391 SH SOLE 3391 0 0 HUTCHINSON TECHNOLOGY INC BOND CV 448407AF3 2738 37000 PRN SOLE 37000 0 0 HUBBELL INC CL B COM 443510201 707 10573 SH SOLE 10573 0 0 HUMANA INC COM 444859102 1353 15438 SH SOLE 15438 0 0 ISHARES TR HIGH YLD CORP COM 464288513 808 9034 SH SOLE 9034 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 16957 92218 SH SOLE 92218 0 0 INTERNATIONAL BUSINESS MACHS OPTION 459200101 3900 11697 SH PUT SOLE 11697 0 0 INTERNATIONAL BUSINESS MACHS OPTION 459200101 14028 5651 SH CALL SOLE 5651 0 0 ICICI BK LTD COM 45104G104 10274 388735 SH SOLE 388735 0 0 ICICI BK LTD OPTION 45104G104 582 669 SH PUT SOLE 669 0 0 ICONIX BRAND GROUP INC COM 451055107 3414 209576 SH SOLE 209576 0 0 ICONIX BRAND GROUP INC BOND CV 451055AB3 315397 3202000 PRN SOLE 3202000 0 0 INTERDIGITAL INC COM 45867G101 2837 65124 SH SOLE 65124 0 0 ISHARES TR BARCLYS 3-7 YR COM 464288661 1526 12500 SH SOLE 12500 0 0 ISHARES TR S&P EURO PLUS COM 464287861 848 25127 SH SOLE 25127 0 0 INTERNATIONAL FLAVORS&FRAGRA COM 459506101 370 7063 SH SOLE 7063 0 0 INDIA FD INC COM 454089103 2661 139756 SH SOLE 139756 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 23098 1342893 SH SOLE 1342893 0 0 IHS INC COM 451734107 205 2376 SH SOLE 2376 0 0 INTRALINKS HLDGS INC COM 46118H104 136 21772 SH SOLE 21772 0 0 ISHARES TR S&P LTN AM 40 COM 464287390 598 14038 SH SOLE 14038 0 0 INGRAM MICRO INC COM 457153104 248 13628 SH SOLE 13628 0 0 IMPERIAL OIL LTD COM 453038408 279 6263 SH SOLE 6263 0 0 INFORMATICA CORP COM 45666Q102 794 21501 SH SOLE 21501 0 0 INFOSYS LTD COM 456788108 18812 366142 SH SOLE 366142 0 0 ING GROEP N V COM 456837103 779 108694 SH SOLE 108694 0 0 INTEL CORP COM 458140100 34243 1412099 SH SOLE 1412099 0 0 INTEL CORP OPTION 458140100 3498 66587 SH PUT SOLE 66587 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page15 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- INTEL CORP OPTION 458140100 5710 26599 SH CALL SOLE 26599 0 0 INTUIT COM 461202103 810 15404 SH SOLE 15404 0 0 INNOSPEC INC COM 45768S105 315 11214 SH SOLE 11214 0 0 INTL PAPER CO COM 460146103 1505 50831 SH SOLE 50831 0 0 INTL PAPER CO OPTION 460146103 586 4022 SH PUT SOLE 4022 0 0 INTL PAPER CO OPTION 460146103 248 1372 SH CALL SOLE 1372 0 0 INTERPUBLIC GROUP COS INC COM 460690100 263 27012 SH SOLE 27012 0 0 INTREPID POTASH INC COM 46121Y102 2226 98371 SH SOLE 98371 0 0 IMPAX LABORATORIES INC COM 45256B101 403 20002 SH SOLE 20002 0 0 INGERSOLL-RAND PLC SHS COM G47791101 689 22612 SH SOLE 22612 0 0 INTERNATIONAL RECTIFIER CORP COM 460254105 672 34591 SH SOLE 34591 0 0 NEW IRELAND FUND INC COM 645673104 676 97458 SH SOLE 97458 0 0 IRON MTN INC COM 462846106 263 8527 SH SOLE 8527 0 0 INTERSIL CORP COM 46069S109 303 28987 SH SOLE 28987 0 0 ISIS PHARMACEUTICALS INC DEL BOND CV 464337AE4 411799 4614000 PRN SOLE 4614000 0 0 INTUITIVE SURGICAL INC COM 46120E602 820 1770 SH SOLE 1770 0 0 INTEGRATED SILICON SOLUTION COM 45812P107 92 10094 SH SOLE 10094 0 0 ITC HLDGS CORP COM 465685105 372 4899 SH SOLE 4899 0 0 INTERMUNE INC COM 45884X103 139 11030 SH SOLE 11030 0 0 ITRON INC COM 465741106 495 13850 SH SOLE 13850 0 0 ITT CORP NEW COM 450911201 583 30167 SH SOLE 30167 0 0 ITAU UNIBANCO HLDG SA SPON COM 465562106 15618 841489 SH SOLE 841489 0 0 ITAU UNIBANCO HLDG SA SPON OPTION 465562106 634 4250 SH PUT SOLE 4250 0 0 ILLINOIS TOOL WKS INC COM 452308109 4774 102214 SH SOLE 102214 0 0 ILLINOIS TOOL WKS INC OPTION 452308109 487 3326 SH PUT SOLE 3326 0 0 ILLINOIS TOOL WKS INC OPTION 452308109 211 769 SH CALL SOLE 769 0 0 ISHARES TR S&P 500 VALUE COM 464287408 4625 79984 SH SOLE 79984 0 0 ISHARES TR S&P 500 INDEX COM 464287200 1920 15243 SH SOLE 15243 0 0 ISHARES TR RUSSELL 1000 COM 464287622 10336 149000 SH SOLE 149000 0 0 ISHARES TR RUSSELL1000VAL COM 464287598 8097 127548 SH SOLE 127548 0 0 ISHARES TR RUSSELL1000GRW COM 464287614 2404 41599 SH SOLE 41599 0 0 ISHARES TR RUSSELL 2000 COM 464287655 41229 559031 SH SOLE 559031 0 0 ISHARES TR RUSSELL 2000 OPTION 464287655 10241 42182 SH PUT SOLE 42182 0 0 ISHARES TR RUSSELL 2000 OPTION 464287655 7374 23207 SH CALL SOLE 23207 0 0 ISHARES TR RUSL 2000 VALU COM 464287630 7687 117112 SH SOLE 117112 0 0 ISHARES TR DJ US BAS MATL COM 464287838 259 4026 SH SOLE 4026 0 0 ISHARES TR DJ US REAL EST COM 464287739 96981 1707112 SH SOLE 1707112 0 0 ISHARES TR DJ US REAL EST OPTION 464287739 1182 1872 SH PUT SOLE 1872 0 0 ISHARES TR DJ US TELECOMM COM 464287713 1470 70001 SH SOLE 70001 0 0 JA SOLAR HOLDINGS CO LTD SPON COM 466090107 126 93789 SH SOLE 93789 0 0 JETBLUE AIRWAYS CORP COM 477143101 1191 228951 SH SOLE 228951 0 0 JOHNSON CTLS INC COM 478366107 5487 175521 SH SOLE 175521 0 0 JOHNSON CTLS INC OPTION 478366107 333 1245 SH CALL SOLE 1245 0 0 JOHNSON CTLS INC OPTION 478366107 586 1700 SH PUT SOLE 1700 0 0 PENNEY J C INC COM 708160106 278 7907 SH SOLE 7907 0 0 JDS UNIPHASE CORP PAR $0.001 COM 46612J507 350 33556 SH SOLE 33556 0 0 JACOBS ENGR GROUP INC DEL COM 469814107 960 23669 SH SOLE 23669 0 0 JEFFERIES GROUP INC NEW COM 472319102 170 12394 SH SOLE 12394 0 0 JOHNSON & JOHNSON COM 478160104 17080 260449 SH SOLE 260449 0 0 JOHNSON & JOHNSON OPTION 478160104 5419 12961 SH CALL SOLE 12961 0 0 JOHNSON & JOHNSON OPTION 478160104 1565 17530 SH PUT SOLE 17530 0 0 JUNIPER NETWORKS INC COM 48203R104 280 13702 SH SOLE 13702 0 0 ST JOE CO COM 790148100 879 59968 SH SOLE 59968 0 0 JOY GLOBAL INC COM 481165108 1869 24924 SH SOLE 24924 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page16 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- JPMORGAN CHASE & CO COM 46625H100 48672 1463807 SH SOLE 1463807 0 0 JPMORGAN CHASE & CO OPTION 46625H100 10547 52534 SH CALL SOLE 52534 0 0 JPMORGAN CHASE & CO OPTION 46625H100 43077 94565 SH PUT SOLE 94565 0 0 NUVEEN MULT STRAT INCM GR FD C COM 67073D102 455 56475 SH SOLE 56475 0 0 JAMES RIVER COAL CO COM 470355207 269 38821 SH SOLE 38821 0 0 NORDSTROM INC COM 655664100 236 4749 SH SOLE 4749 0 0 KELLOGG CO COM 487836108 3597 71127 SH SOLE 71127 0 0 KB HOME COM 48666K109 1504 223808 SH SOLE 223808 0 0 KBR INC COM 48242W106 667 23935 SH SOLE 23935 0 0 KNIGHT CAP GROUP INC COM 499005106 4173 353056 SH SOLE 353056 0 0 KOREA ELECTRIC PWR COM 500631106 479 43592 SH SOLE 43592 0 0 KEYCORP NEW COM 493267108 98 12714 SH SOLE 12714 0 0 KRAFT FOODS INC COM 50075N104 34303 918168 SH SOLE 918168 0 0 KRAFT FOODS INC OPTION 50075N104 698 14747 SH PUT SOLE 14747 0 0 KRAFT FOODS INC OPTION 50075N104 3691 6769 SH CALL SOLE 6769 0 0 KINROSS GOLD CORP COM NO PAR COM 496902404 2256 197882 SH SOLE 197882 0 0 KINROSS GOLD CORP COM NO PAR OPTION 496902404 1458 3300 SH PUT SOLE 3300 0 0 KIMCO RLTY CORP COM 49446R109 416 25633 SH SOLE 25633 0 0 KIRKLANDS INC COM 497498105 142 10714 SH SOLE 10714 0 0 KLA-TENCOR CORP COM 482480100 1541 31941 SH SOLE 31941 0 0 KULICKE & SOFFA INDS INC COM 501242101 121 13104 SH SOLE 13104 0 0 KIMBERLY CLARK CORP COM 494368103 3544 48173 SH SOLE 48173 0 0 KIMBERLY CLARK CORP OPTION 494368103 911 2014 SH CALL SOLE 2014 0 0 KENNAMETAL INC COM 489170100 900 24638 SH SOLE 24638 0 0 COCA COLA CO COM 191216100 12449 177924 SH SOLE 177924 0 0 COCA COLA CO OPTION 191216100 2159 16545 SH PUT SOLE 16545 0 0 COCA COLA CO OPTION 191216100 11041 16380 SH CALL SOLE 16380 0 0 COCA COLA FEMSA S A B DE C V S COM 191241108 3042 31954 SH SOLE 31954 0 0 KROGER CO COM 501044101 285 11769 SH SOLE 11769 0 0 KRATON PERFORMANCE POLYMERS COM 50077C106 615 30278 SH SOLE 30278 0 0 KOHLS CORP COM 500255104 3112 63065 SH SOLE 63065 0 0 KOHLS CORP OPTION 500255104 386 800 SH PUT SOLE 800 0 0 KANSAS CITY SOUTHERN COM 485170302 490 7207 SH SOLE 7207 0 0 QUICKSILVER RESOURCES INC COM 74837R104 967 144174 SH SOLE 144174 0 0 LOEWS CORP COM 540424108 849 22553 SH SOLE 22553 0 0 LAMAR ADVERTISING CO COM 512815101 252 9151 SH SOLE 9151 0 0 LANCASTER COLONY CORP COM 513847103 772 11130 SH SOLE 11130 0 0 MAGMA DESIGN AUTOMATION COM 559181102 1442 200804 SH SOLE 200804 0 0 LIBERTY GLOBAL INC COM SER A COM 530555101 357 8710 SH SOLE 8710 0 0 U S AIRWAYS GROUP INC COM 90341W108 314 61989 SH SOLE 61989 0 0 LDK SOLAR CO LTD COM 50183L107 253 60392 SH SOLE 60392 0 0 LEAR CORP COM 521865204 222 5570 SH SOLE 5570 0 0 LEAP WIRELESS INTL INC COM 521863308 99 10658 SH SOLE 10658 0 0 LEGGETT & PLATT INC COM 524660107 335 14525 SH SOLE 14525 0 0 CHINA LIFE INS CO LTD SPON COM 16939P106 7551 204238 SH SOLE 204238 0 0 LAN AIRLINES S A COM 501723100 2642 113700 SH SOLE 113700 0 0 LHC GROUP INC COM 50187A107 188 14653 SH SOLE 14653 0 0 LIFE TECHNOLOGIES CORP COM 53217V109 388 9978 SH SOLE 9978 0 0 LENNOX INTL INC COM 526107107 521 15424 SH SOLE 15424 0 0 LINN ENERGY LLC UNIT LTD LIAB COM 536020100 963 25402 SH SOLE 25402 0 0 LIBERTY INTERACTIVE CORPORAT I COM 53071M104 870 53667 SH SOLE 53667 0 0 LIZ CLAIBORNE INC COM 539320101 513 59395 SH SOLE 59395 0 0 LKQ CORP COM 501889208 779 25906 SH SOLE 25906 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 1497 22446 SH SOLE 22446 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page17 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- L-3 COMMUNICATIONS CORP DEBT 3 BOND CV 502413AW7 1140382 11910000 PRN SOLE 11910000 0 0 LINEAR TECHNOLOGY CORP COM 535678106 3004 100026 SH SOLE 100026 0 0 LINEAR TECHNOLOGY CORP BOND CV 535678AC0 19914 195000 PRN SOLE 195000 0 0 LILLY ELI & CO COM 532457108 15465 372106 SH SOLE 372106 0 0 LILLY ELI & CO OPTION 532457108 1443 3225 SH CALL SOLE 3225 0 0 LILLY ELI & CO OPTION 532457108 807 6219 SH PUT SOLE 6219 0 0 LEGG MASON INC COM 524901105 289 12033 SH SOLE 12033 0 0 LIBERTY MEDIA CORPORATION LIB COM 530322106 288 3691 SH SOLE 3691 0 0 LOCKHEED MARTIN CORP COM 539830109 3336 41231 SH SOLE 41231 0 0 LINCOLN NATL CORP IND COM 534187109 7118 366521 SH SOLE 366521 0 0 LINCARE HLDGS INC COM 532791100 385 14960 SH SOLE 14960 0 0 LINDSAY CORP COM 535555106 2234 40701 SH SOLE 40701 0 0 ALLIANT ENERGY CORP COM 018802108 1262 28615 SH SOLE 28615 0 0 LORILLARD INC COM 544147101 4467 39185 SH SOLE 39185 0 0 LOGITECH INTL S A SHS COM H50430232 632 81218 SH SOLE 81218 0 0 LOWES COS INC COM 548661107 883 34806 SH SOLE 34806 0 0 LOWES COS INC OPTION 548661107 226 5913 SH PUT SOLE 5913 0 0 LOWES COS INC OPTION 548661107 387 2068 SH CALL SOLE 2068 0 0 LIFEPOINT HOSPITALS INC BOND CV 53219LAH2 1534 15000 PRN SOLE 15000 0 0 LOUISIANA PAC CORP COM 546347105 1607 199132 SH SOLE 199132 0 0 LAM RESEARCH CORP COM 512807108 8255 222982 SH SOLE 222982 0 0 LATTICE SEMICONDUCTOR CORP COM 518415104 106 17871 SH SOLE 17871 0 0 LANDSTAR SYS INC COM 515098101 379 7915 SH SOLE 7915 0 0 LIMITED BRANDS INC COM 532716107 599 14839 SH SOLE 14839 0 0 LUFKIN INDS INC COM 549764108 287 4267 SH SOLE 4267 0 0 LEUCADIA NATL CORP COM 527288104 678 29794 SH SOLE 29794 0 0 SOUTHWEST AIRLS CO COM 844741108 6011 702265 SH SOLE 702265 0 0 LUXOTTICA GROUP S P A COM 55068R202 3290 117785 SH SOLE 117785 0 0 LEVEL 3 COMMUNICATIONS INC COM 52729N308 780 45903 SH SOLE 45903 0 0 LAS VEGAS SANDS CORP COM 517834107 7793 182385 SH SOLE 182385 0 0 LAS VEGAS SANDS CORP OPTION 517834107 297 2750 SH PUT SOLE 2750 0 0 LAS VEGAS SANDS CORP OPTION 517834107 398 400 SH CALL SOLE 400 0 0 LEXMARK INTL NEW COM 529771107 494 14933 SH SOLE 14933 0 0 LEXICON PHARMACEUTICALS INC COM 528872104 39 29885 SH SOLE 29885 0 0 LLOYDS BANKING GROUP PLC COM 539439109 3623 2307681 SH SOLE 2307681 0 0 MACYS INC COM 55616P104 1549 48149 SH SOLE 48149 0 0 MASTERCARD INC COM 57636Q104 219 587 SH SOLE 587 0 0 MANTECH INTL CORP COM 564563104 251 8027 SH SOLE 8027 0 0 MARRIOTT INTL INC NEW COM 571903202 777 26652 SH SOLE 26652 0 0 MATTEL INC COM 577081102 1740 62665 SH SOLE 62665 0 0 MOBILE TELESYSTEMS OJSC COM 607409109 12645 861398 SH SOLE 861398 0 0 MCDONALDS CORP COM 580135101 45678 455282 SH SOLE 455282 0 0 MCDONALDS CORP OPTION 580135101 1085 9755 SH PUT SOLE 9755 0 0 MCDONALDS CORP OPTION 580135101 17976 7765 SH CALL SOLE 7765 0 0 MICROCHIP TECHNOLOGY INC COM 595017104 529 14433 SH SOLE 14433 0 0 MCKESSON CORP COM 58155Q103 2232 28647 SH SOLE 28647 0 0 MOODYS CORP COM 615369105 1121 33285 SH SOLE 33285 0 0 MOLYCORP INC DEL PFD CONV SER ACOM 608753208 1405 25000 SH SOLE 25000 0 0 MICREL INC COM 594793101 288 28503 SH SOLE 28503 0 0 MERCURY GENL CORP NEW COM 589400100 891 19534 SH SOLE 19534 0 0 MEDNAX INC COM 58502B106 320 4440 SH SOLE 4440 0 0 ALLSCRIPTS HEALTHCARE SOLUTN COM 01988P108 993 52417 SH SOLE 52417 0 0 MEDTRONIC INC COM 585055106 3049 79723 SH SOLE 79723 0 0 MEDTRONIC INC OPTION 585055106 635 4929 SH PUT SOLE 4929 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page18 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- MEDTRONIC INC OPTION 585055106 1088 4617 SH CALL SOLE 4617 0 0 MDU RES GROUP INC COM 552690109 480 22383 SH SOLE 22383 0 0 SPDR S&P MIDCAP 400 ETF TR UTS COM 78467Y107 55007 344896 SH SOLE 344896 0 0 SPDR S&P MIDCAP 400 ETF TR UTS OPTION 78467Y107 317 453 SH CALL SOLE 453 0 0 MASSEY ENERGY CO BOND CV 576203AJ2 276201 2990000 PRN SOLE 2990000 0 0 METLIFE INC COM 59156R108 452 14484 SH SOLE 14484 0 0 METLIFE INC OPTION 59156R108 279 2300 SH PUT SOLE 2300 0 0 MAGNA INTL INC COM 559222401 215 6462 SH SOLE 6462 0 0 MAGELLAN HEALTH SVCS INC COM 559079207 344 6948 SH SOLE 6948 0 0 MGM RESORTS INTERNATIONAL COM 552953101 14864 1425109 SH SOLE 1425109 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 6842 122397 SH SOLE 122397 0 0 MIPS TECHNOLOGIES INC COM 604567107 131 29359 SH SOLE 29359 0 0 MEAD JOHNSON NUTRITION CO COM 582839106 2609 37966 SH SOLE 37966 0 0 MARKEL CORP COM 570535104 468 1129 SH SOLE 1129 0 0 MKS INSTRUMENT INC COM 55306N104 707 25423 SH SOLE 25423 0 0 MARSH & MCLENNAN COS INC COM 571748102 1473 46576 SH SOLE 46576 0 0 MOTOROLA MOBILITY HLDGS INC COM 620097105 11888 306390 SH SOLE 306390 0 0 MOTOROLA MOBILITY HLDGS INC OPTION 620097105 68 10170 SH PUT SOLE 10170 0 0 3M CO COM 88579Y101 6796 83151 SH SOLE 83151 0 0 3M CO OPTION 88579Y101 1011 2566 SH CALL SOLE 2566 0 0 3M CO OPTION 88579Y101 1393 4386 SH PUT SOLE 4386 0 0 MAGELLAN MIDSTREAM PRTNRS LP C COM 559080106 222 3219 SH SOLE 3219 0 0 MAXIMUS INC COM 577933104 394 9532 SH SOLE 9532 0 0 MCCLATCHY CO COM 579489105 4737 1982097 SH SOLE 1982097 0 0 ALTRIA GROUP INC COM 02209S103 5154 173812 SH SOLE 173812 0 0 ALTRIA GROUP INC OPTION 02209S103 565 12379 SH PUT SOLE 12379 0 0 ALTRIA GROUP INC OPTION 02209S103 6950 12308 SH CALL SOLE 12308 0 0 MOLEX INC COM 608554101 426 17838 SH SOLE 17838 0 0 MONSANTO CO NEW COM 61166W101 38711 552468 SH SOLE 552468 0 0 MONSANTO CO NEW OPTION 61166W101 2754 13713 SH PUT SOLE 13713 0 0 MONSANTO CO NEW OPTION 61166W101 3841 5780 SH CALL SOLE 5780 0 0 MOSAIC CO NEW COM 61945C103 9525 188876 SH SOLE 188876 0 0 MOSAIC CO NEW OPTION 61945C103 427 1821 SH CALL SOLE 1821 0 0 MARATHON PETE CORP COM 56585A102 352 10586 SH SOLE 10586 0 0 MELCO CROWN ENTMT LTD COM 585464100 177 18417 SH SOLE 18417 0 0 MINDRAY MEDICAL INTL LTD SPON COM 602675100 232 9049 SH SOLE 9049 0 0 MERCK & CO INC NEW COM 58933Y105 8390 222556 SH SOLE 222556 0 0 MERCK & CO INC NEW OPTION 58933Y105 8319 21215 SH CALL SOLE 21215 0 0 MERCK & CO INC NEW OPTION 58933Y105 2003 22711 SH PUT SOLE 22711 0 0 MARATHON OIL CORP COM 565849106 630 21519 SH SOLE 21519 0 0 MARATHON OIL CORP OPTION 565849106 410 2369 SH CALL SOLE 2369 0 0 MARVELL TECHNOLOGY GROUP LTD COM G5876H105 1833 132369 SH SOLE 132369 0 0 MEDICIS PHARMACEUTICAL CORP COM 584690309 295 8875 SH SOLE 8875 0 0 MORGAN STANLEY COM 617446448 11753 776770 SH SOLE 776770 0 0 MORGAN STANLEY OPTION 617446448 5657 12537 SH PUT SOLE 12537 0 0 MICROSOFT CORP COM 594918104 47973 1847953 SH SOLE 1847953 0 0 MICROSOFT CORP OPTION 594918104 4172 23463 SH CALL SOLE 23463 0 0 MICROSOFT CORP OPTION 594918104 3734 63541 SH PUT SOLE 63541 0 0 MOTOROLA SOLUTIONS INC COM 620076307 2521 54458 SH SOLE 54458 0 0 MOTOROLA SOLUTIONS INC OPTION 620076307 710 1780 SH CALL SOLE 1780 0 0 ARCELORMITTAL SA LUXEMBOURG NY COM 03938L104 2119 116468 SH SOLE 116468 0 0 M & T BK CORP COM 55261F104 2640 34582 SH SOLE 34582 0 0 METTLER TOLEDO INTERNATIONAL COM 592688105 605 4099 SH SOLE 4099 0 0 MGIC INVT CORP WIS COM 552848103 61 16259 SH SOLE 16259 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page19 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- MECHEL OAO COM 583840103 2582 303714 SH SOLE 303714 0 0 MERITOR INC COM 59001K100 10818 2033404 SH SOLE 2033404 0 0 MITSUBISHI UFJ FINL GROUP IN COM 606822104 238 56800 SH SOLE 56800 0 0 MINERALS TECHNOLOGIES INC COM 603158106 574 10158 SH SOLE 10158 0 0 MICRON TECHNOLOGY INC COM 595112103 18673 2968714 SH SOLE 2968714 0 0 MICRON TECHNOLOGY INC OPTION 595112103 8103 28449 SH PUT SOLE 28449 0 0 MICRON TECHNOLOGY INC BOND CV 595112AH6 217454 2277000 PRN SOLE 2277000 0 0 MURPHY OIL CORP COM 626717102 1505 26993 SH SOLE 26993 0 0 MUELLER WTR PRODS INC COM SER ACOM 624758108 242 99215 SH SOLE 99215 0 0 MARKWEST ENERGY PARTNERS L P U COM 570759100 324 5893 SH SOLE 5893 0 0 MEADWESTVACO CORP COM 583334107 791 26403 SH SOLE 26403 0 0 MAXIM INTEGRATED PRODS INC COM 57772K101 859 33004 SH SOLE 33004 0 0 MYRIAD GENETICS INC COM 62855J104 350 16694 SH SOLE 16694 0 0 MYLAN INC COM 628530107 1730 80601 SH SOLE 80601 0 0 NAVISTAR INTL CORP NEW COM 63934E108 2571 67876 SH SOLE 67876 0 0 NOBLE ENERGY INC COM 655044105 394 4172 SH SOLE 4172 0 0 NABORS INDUSTRIES LTD SHS COM G6359F103 399 23021 SH SOLE 23021 0 0 NASDAQ OMX GROUP INC COM 631103108 278 11335 SH SOLE 11335 0 0 NORDSON CORP COM 655663102 914 22198 SH SOLE 22198 0 0 NOBLE CORPORATION BAAR NAMEN - COM H5833N103 980 32419 SH SOLE 32419 0 0 NEXTERA ENERGY INC COM 65339F101 1092 17939 SH SOLE 17939 0 0 NEWMONT MINING CORP COM 651639106 20648 344072 SH SOLE 344072 0 0 NEWMONT MINING CORP OPTION 651639106 504 3592 SH CALL SOLE 3592 0 0 NEWMONT MINING CORP OPTION 651639106 4628 12775 SH PUT SOLE 12775 0 0 CHINA NORTH EAST PETE HLDG L COM 16941G102 41 20000 SH SOLE 20000 0 0 NETLOGIC MICROSYSTEMS INC COM 64118B100 16401 330859 SH SOLE 330859 0 0 NETLOGIC MICROSYSTEMS INC OPTION 64118B100 167 12112 SH CALL SOLE 12112 0 0 NEWMARKET CORP COM 651587107 624 3151 SH SOLE 3151 0 0 NATIONAL FUEL GAS CO N J COM 636180101 752 13536 SH SOLE 13536 0 0 NETFLIX INC COM 64110L106 5441 78526 SH SOLE 78526 0 0 NETFLIX INC OPTION 64110L106 350 1754 SH CALL SOLE 1754 0 0 NETFLIX INC OPTION 64110L106 3849 2543 SH PUT SOLE 2543 0 0 NEWFIELD EXPL CO COM 651290108 401 10632 SH SOLE 10632 0 0 NOVAGOLD RES INC COM 66987E206 592 69815 SH SOLE 69815 0 0 NEW GOLD INC CDA COM 644535106 825 81891 SH SOLE 81891 0 0 NII HLDGS INC BOND CV 62913FAJ1 7547 75000 PRN SOLE 75000 0 0 NEW JERSEY RES COM 646025106 703 14297 SH SOLE 14297 0 0 NIKE INC CL B COM 654106103 3318 34429 SH SOLE 34429 0 0 NIKE INC CL B OPTION 654106103 895 3138 SH PUT SOLE 3138 0 0 NIKE INC CL B OPTION 654106103 540 1541 SH CALL SOLE 1541 0 0 NEKTAR THERAPEUTICS COM 640268108 62 11157 SH SOLE 11157 0 0 ANNALY CAP MGMT INC COM 035710409 626 39231 SH SOLE 39231 0 0 NORTHROP GRUMMAN CORP COM 666807102 1150 19672 SH SOLE 19672 0 0 NOKIA CORP COM 654902204 7922 1643528 SH SOLE 1643528 0 0 NATIONAL OILWELL VARCO INC COM 637071101 2977 43779 SH SOLE 43779 0 0 NATIONAL OILWELL VARCO INC OPTION 637071101 443 910 SH PUT SOLE 910 0 0 NEENAH PAPER INC COM 640079109 225 10103 SH SOLE 10103 0 0 ENPRO INDS INC COM 29355X107 347 10521 SH SOLE 10521 0 0 INERGY L P UNIT LTD PTNR COM 456615103 210 8594 SH SOLE 8594 0 0 NORFOLK SOUTHERN CORP COM 655844108 2533 34760 SH SOLE 34760 0 0 NORFOLK SOUTHERN CORP OPTION 655844108 235 1098 SH CALL SOLE 1098 0 0 NEUSTAR INC COM 64126X201 746 21825 SH SOLE 21825 0 0 NETAPP INC COM 64110D104 49690 1369990 SH SOLE 1369990 0 0 NETEASE COM INC COM 64110W102 293 6532 SH SOLE 6532 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page20 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- NUTRI SYS INC NEW COM 67069D108 238 18382 SH SOLE 18382 0 0 NORTHERN TR CORP COM 665859104 1631 41132 SH SOLE 41132 0 0 NORTHEAST UTILS COM 664397106 348 9659 SH SOLE 9659 0 0 NUANCE COMMUNICATIONS INC COM 67020Y100 6235 247795 SH SOLE 247795 0 0 NUCOR CORP COM 670346105 10690 270159 SH SOLE 270159 0 0 NUCOR CORP OPTION 670346105 1747 5950 SH PUT SOLE 5950 0 0 NU SKIN ENTERPRISES INC COM 67018T105 257 5290 SH SOLE 5290 0 0 NVIDIA CORP COM 67066G104 14622 1054992 SH SOLE 1054992 0 0 NOVELLUS SYS INC COM 670008101 764 18494 SH SOLE 18494 0 0 NEWELL RUBBERMAID INC COM 651229106 1838 113825 SH SOLE 113825 0 0 NEWS CORP COM 65248E104 1221 68462 SH SOLE 68462 0 0 NXP SEMICONDUCTORS N V COM N6596X109 952 61932 SH SOLE 61932 0 0 NEXEN INC COM 65334H102 166 10419 SH SOLE 10419 0 0 NEW YORK CMNTY BANCORP INC COM 649445103 363 29311 SH SOLE 29311 0 0 NEW YORK TIMES CO COM 650111107 266 34472 SH SOLE 34472 0 0 NYSE EURONEXT COM 629491101 682 26144 SH SOLE 26144 0 0 OWENS CORNING NEW COM 690742101 1251 43565 SH SOLE 43565 0 0 OMNICARE INC COM 681904108 216 6259 SH SOLE 6259 0 0 OFFICE DEPOT INC COM 676220106 3959 1841383 SH SOLE 1841383 0 0 ISHARES TR S&P 100 IDX FD COM 464287101 11379 199531 SH SOLE 199531 0 0 OGE ENERGY CORP COM 670837103 655 11542 SH SOLE 11542 0 0 OWENS ILL INC COM 690768403 396 20456 SH SOLE 20456 0 0 OIL SVC HOLDRS TR DEPOSTRY RCPTCOM 678002106 3175 27733 SH SOLE 27733 0 0 ONEOK INC NEW COM 682680103 657 7582 SH SOLE 7582 0 0 OLIN CORP PAR $1 COM 680665205 333 16930 SH SOLE 16930 0 0 OMNICOM GROUP INC COM 681919106 281 6297 SH SOLE 6297 0 0 OM GROUP INC COM 670872100 2607 116451 SH SOLE 116451 0 0 ON SEMICONDUCTOR CORP COM 682189105 109 14182 SH SOLE 14182 0 0 ORACLE CORP COM 68389X105 38907 1516837 SH SOLE 1516837 0 0 ORACLE CORP OPTION 68389X105 414 12853 SH CALL SOLE 12853 0 0 ORACLE CORP OPTION 68389X105 12679 34859 SH PUT SOLE 34859 0 0 OLD REP INTL CORP COM 680223104 118 12723 SH SOLE 12723 0 0 OCEAN RIG UDW INC SHS COM Y64354205 2327 190740 SH SOLE 190740 0 0 O REILLY AUTOMOTIVE INC NEW COM 67103H107 549 6862 SH SOLE 6862 0 0 OVERSEAS SHIPHOLDING GROUP I COM 690368105 116 10612 SH SOLE 10612 0 0 OSHKOSH CORP COM 688239201 646 30203 SH SOLE 30203 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 8051 85920 SH SOLE 85920 0 0 OCCIDENTAL PETE CORP DEL OPTION 674599105 852 1388 SH CALL SOLE 1388 0 0 OCCIDENTAL PETE CORP DEL OPTION 674599105 2378 6198 SH PUT SOLE 6198 0 0 UNITED AUTO GROUP INC BOND CV 909440AH2 336349 3490000 PRN SOLE 3490000 0 0 VERIFONE SYS INC COM 92342Y109 5824 163955 SH SOLE 163955 0 0 PAYCHEX INC COM 704326107 312 10346 SH SOLE 10346 0 0 PEOPLES UNITED FINANCIAL INC COM 712704105 251 19523 SH SOLE 19523 0 0 PITNEY BOWES INC COM 724479100 859 46320 SH SOLE 46320 0 0 PETROLEO BRASILEIRO SA PETRO COM 71654V408 29947 1205117 SH SOLE 1205117 0 0 PETROLEO BRASILEIRO SA PETRO OPTION 71654V408 4642 4426 SH PUT SOLE 4426 0 0 PETROLEO BRASILEIRO SA PETRO SPCOM 71654V101 2156 91802 SH SOLE 91802 0 0 PACCAR INC COM 693718108 2604 69502 SH SOLE 69502 0 0 PACCAR INC OPTION 693718108 351 655 SH PUT SOLE 655 0 0 PG&E CORP COM 69331C108 1750 42444 SH SOLE 42444 0 0 PRICELINE COM INC COM 741503403 54267 116026 SH SOLE 116026 0 0 PRICELINE COM INC OPTION 741503403 904 525 SH PUT SOLE 525 0 0 PRICELINE COM INC OPTION 741503403 3812 207 SH CALL SOLE 207 0 0 METROPCS COMMUNICATIONS INC COM 591708102 199 22926 SH SOLE 22926 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page21 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- PATRIOT COAL CORP COM 70336T104 455 53688 SH SOLE 53688 0 0 POWERSHARES GLOBAL ETF TRUST S COM 73936T573 477 17450 SH SOLE 17450 0 0 PDL BIOPHARMA INC COM 69329Y104 732 117994 SH SOLE 117994 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 621 18819 SH SOLE 18819 0 0 PEPSICO INC COM 713448108 16740 252300 SH SOLE 252300 0 0 PEPSICO INC OPTION 713448108 3618 7936 SH CALL SOLE 7936 0 0 PEPSICO INC OPTION 713448108 2066 17201 SH PUT SOLE 17201 0 0 PETSMART INC COM 716768106 758 14783 SH SOLE 14783 0 0 PFIZER INC COM 717081103 26181 1209838 SH SOLE 1209838 0 0 PFIZER INC OPTION 717081103 1447 74718 SH PUT SOLE 74718 0 0 PFIZER INC OPTION 717081103 12437 50434 SH CALL SOLE 50434 0 0 PROCTER & GAMBLE CO COM 742718109 11839 177471 SH SOLE 177471 0 0 PROCTER & GAMBLE CO OPTION 742718109 1874 16368 SH PUT SOLE 16368 0 0 PROCTER & GAMBLE CO OPTION 742718109 3642 16080 SH CALL SOLE 16080 0 0 PARKER HANNIFIN CORP COM 701094104 2113 27707 SH SOLE 27707 0 0 KONINKLIJKE PHILIPS ELECTRS NY COM 500472303 1117 53320 SH SOLE 53320 0 0 PHH CORP COM 693320202 156 14573 SH SOLE 14573 0 0 PULTE GROUP INC COM 745867101 886 140490 SH SOLE 140490 0 0 POLARIS INDS INC COM 731068102 982 17539 SH SOLE 17539 0 0 PIER 1 IMPORTS INC COM 720279108 200 14324 SH SOLE 14324 0 0 POSCO COM 693483109 657 8000 SH SOLE 8000 0 0 PALL CORP COM 696429307 208 3632 SH SOLE 3632 0 0 PHILIP MORRIS INTL INC COM 718172109 6212 79160 SH SOLE 79160 0 0 PHILIP MORRIS INTL INC OPTION 718172109 2451 2658 SH CALL SOLE 2658 0 0 PHILIP MORRIS INTL INC OPTION 718172109 1652 14670 SH PUT SOLE 14670 0 0 PHARMERICA CORP COM 71714F104 157 10365 SH SOLE 10365 0 0 PNC FINL SVCS GROUP INC COM 693475105 3737 64802 SH SOLE 64802 0 0 PNC FINL SVCS GROUP INC OPTION 693475105 866 4429 SH PUT SOLE 4429 0 0 PENTAIR INC COM 709631105 1651 49602 SH SOLE 49602 0 0 PANERA BREAD CO COM 69840W108 1787 12632 SH SOLE 12632 0 0 PINNACLE WEST CAP CORP COM 723484101 1949 40448 SH SOLE 40448 0 0 PIEDMONT NAT GAS INC COM 720186105 212 6225 SH SOLE 6225 0 0 POLYONE CORP COM 73179P106 263 22748 SH SOLE 22748 0 0 PEPCO HOLDINGS INC COM 713291102 713 35146 SH SOLE 35146 0 0 POTASH CORP SASK INC COM 73755L107 8784 212780 SH SOLE 212780 0 0 POTASH CORP SASK INC OPTION 73755L107 1303 2556 SH PUT SOLE 2556 0 0 POWER INTEGRATIONS INC COM 739276103 531 16023 SH SOLE 16023 0 0 PILGRIMS PRIDE CORP NEW COM 72147K108 319 55460 SH SOLE 55460 0 0 PPG INDS INC COM 693506107 2380 28502 SH SOLE 28502 0 0 PPG INDS INC OPTION 693506107 240 500 SH CALL SOLE 500 0 0 PPG INDS INC OPTION 693506107 1649 7363 SH PUT SOLE 7363 0 0 PPL CORP COM 69351T106 4223 143555 SH SOLE 143555 0 0 POST PPTYS INC COM 737464107 6187 141522 SH SOLE 141522 0 0 PERRIGO CO COM 714290103 1708 17551 SH SOLE 17551 0 0 PRUDENTIAL FINL INC COM 744320102 5604 111820 SH SOLE 111820 0 0 PRUDENTIAL FINL INC OPTION 744320102 1452 2793 SH PUT SOLE 2793 0 0 PORTUGAL TELECOM SGPS S A COM 737273102 388 67243 SH SOLE 67243 0 0 PETROCHINA CO LTD COM 71646E100 1200 9651 SH SOLE 9651 0 0 PVH CORP COM 693656100 13142 186433 SH SOLE 186433 0 0 POWER ONE INC NEW COM 73930R102 47 12015 SH SOLE 12015 0 0 QUANTA SVCS INC COM 74762E102 267 12415 SH SOLE 12415 0 0 PRAXAIR INC COM 74005P104 1366 12776 SH SOLE 12776 0 0 PRAXAIR INC OPTION 74005P104 344 3981 SH PUT SOLE 3981 0 0 PRAXAIR INC OPTION 74005P104 436 600 SH CALL SOLE 600 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page22 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- PIONEER NAT RES CO COM 723787107 1978 22101 SH SOLE 22101 0 0 PLAINS EXPL& PRODTN CO COM 726505100 283 7694 SH SOLE 7694 0 0 PAPA JOHNS INTL INC COM 698813102 502 13314 SH SOLE 13314 0 0 QUALCOMM INC COM 747525103 24858 454448 SH SOLE 454448 0 0 QUALCOMM INC OPTION 747525103 2826 13385 SH PUT SOLE 13385 0 0 QUALCOMM INC OPTION 747525103 973 6440 SH CALL SOLE 6440 0 0 QEP RES INC COM 74733V100 663 22627 SH SOLE 22627 0 0 QIAGEN NV REG SHS COM N72482107 194 14058 SH SOLE 14058 0 0 POWERSHARES QQQ TRUST UNIT SER COM 73935A104 193598 3467642 SH SOLE 3467642 0 0 POWERSHARES QQQ TRUST UNIT SER OPTION 73935A104 5061 18100 SH CALL SOLE 18100 0 0 POWERSHARES QQQ TRUST UNIT SER OPTION 73935A104 9833 81804 SH PUT SOLE 81804 0 0 QUALITY SYS INC COM 747582104 275 7447 SH SOLE 7447 0 0 RYDER SYS INC COM 783549108 491 9249 SH SOLE 9249 0 0 RITE AID CORP COM 767754104 284 225023 SH SOLE 225023 0 0 RALCORP HLDGS INC NEW COM 751028101 466 5448 SH SOLE 5448 0 0 REYNOLDS AMERICAN INC COM 761713106 1806 43598 SH SOLE 43598 0 0 RACKSPACE HOSTING INC COM 750086100 837 19450 SH SOLE 19450 0 0 ROGERS COMMUNICATIONS INC CL B COM 775109200 2176 56492 SH SOLE 56492 0 0 ROYAL CARIBBEAN CRUISES LTD COM V7780T103 422 17050 SH SOLE 17050 0 0 ROWAN COS INC COM 779382100 510 16828 SH SOLE 16828 0 0 DR REDDYS LABS LTD COM 256135203 2018 68575 SH SOLE 68575 0 0 RARE ELEMENT RES LTD COM 75381M102 86 26311 SH SOLE 26311 0 0 REGENCY CTRS CORP COM 758849103 343 9121 SH SOLE 9121 0 0 RENREN INC COM 759892102 102 28858 SH SOLE 28858 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 199 46345 SH SOLE 46345 0 0 RED HAT INC COM 756577102 1337 32387 SH SOLE 32387 0 0 TRANSOCEAN LTD REG SHS COM H8817H100 1027 26760 SH SOLE 26760 0 0 RIGEL PHARMACEUTICALS INC COM 766559603 213 26994 SH SOLE 26994 0 0 RESEARCH IN MOTION LTD COM 760975102 12043 830564 SH SOLE 830564 0 0 RESEARCH IN MOTION LTD OPTION 760975102 715 9596 SH CALL SOLE 9596 0 0 RESEARCH IN MOTION LTD OPTION 760975102 10035 12683 SH PUT SOLE 12683 0 0 RIO TINTO PLC COM 767204100 617 12618 SH SOLE 12618 0 0 ROCK-TENN CO COM 772739207 495 8578 SH SOLE 8578 0 0 RALPH LAUREN CORP COM 751212101 1846 13368 SH SOLE 13368 0 0 RAMBUS INC DEL COM 750917106 264 34935 SH SOLE 34935 0 0 MORGAN STANLEY EASTN EUR FD COM 616988101 538 40000 SH SOLE 40000 0 0 ROCKWOOD HLDGS INC COM 774415103 587 14912 SH SOLE 14912 0 0 ROCKWELL AUTOMATION INC COM 773903109 1056 14396 SH SOLE 14396 0 0 ROLLINS INC COM 775711104 353 15909 SH SOLE 15909 0 0 ROPER INDS INC NEW COM 776696106 252 2903 SH SOLE 2903 0 0 ROSS STORES INC COM 778296103 1146 24103 SH SOLE 24103 0 0 RPM INTL INC COM 749685103 757 30846 SH SOLE 30846 0 0 RANGE RES CORP COM 75281A109 773 12480 SH SOLE 12480 0 0 DONNELLEY R R & SONS CO COM 257867101 355 24615 SH SOLE 24615 0 0 RSC HOLDINGS INC COM 74972L102 1707 92285 SH SOLE 92285 0 0 REPUBLIC SVCS INC COM 760759100 1818 65997 SH SOLE 65997 0 0 RADIOSHACK CORP COM 750438103 374 38517 SH SOLE 38517 0 0 MARKET VECTORS ETF TR RUSSIA E COM 57060U506 518 19436 SH SOLE 19436 0 0 RETAIL HOLDRS TR DEP RCPT COM 76127U101 362 3221 SH SOLE 3221 0 0 RENTECH INC COM 760112102 192 146779 SH SOLE 146779 0 0 RAYTHEON CO COM 755111507 1296 26793 SH SOLE 26793 0 0 ROYAL BK CDA MONTREAL QUE COM 780087102 1154 22640 SH SOLE 22640 0 0 SPRINT NEXTEL CORP COM SER 1 COM 852061100 5944 2540022 SH SOLE 2540022 0 0 SPRINT NEXTEL CORP COM SER 1 OPTION 852061100 4663 22867 SH PUT SOLE 22867 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page23 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- SONIC AUTOMOTIVE INC BOND CV 83545GAQ5 39712 300000 PRN SOLE 300000 0 0 SAIC INC COM 78390X101 326 26520 SH SOLE 26520 0 0 BOSTON BEER INC COM 100557107 387 3561 SH SOLE 3561 0 0 SAP AG SPON COM 803054204 2219 41908 SH SOLE 41908 0 0 SATCON TECHNOLOGY CORP COM 803893106 7 10857 SH SOLE 10857 0 0 SINCLAIR BROADCAST GROUP INC COM 829226109 157 13890 SH SOLE 13890 0 0 COMPANHIA DE SANEAMENTO BASI COM 20441A102 737 13240 SH SOLE 13240 0 0 STARBUCKS CORP COM 855244109 1907 41448 SH SOLE 41448 0 0 STARBUCKS CORP OPTION 855244109 323 1565 SH CALL SOLE 1565 0 0 STARBUCKS CORP OPTION 855244109 443 4815 SH PUT SOLE 4815 0 0 SOUTHERN COPPER CORP COM 84265V105 5251 174001 SH SOLE 174001 0 0 SCANA CORP NEW COM 80589M102 865 19191 SH SOLE 19191 0 0 SCHNITZER STL INDS COM 806882106 544 12868 SH SOLE 12868 0 0 SCHWAB CHARLES CORP NEW COM 808513105 1058 94003 SH SOLE 94003 0 0 PROSHARES TR PSHS ULSHT SP500 COM 74347R883 776 40205 SH SOLE 40205 0 0 SPECTRA ENERGY CORP COM 847560109 836 27185 SH SOLE 27185 0 0 SEALED AIR CORP NEW COM 81211K100 9145 531358 SH SOLE 531358 0 0 SEI INVESTMENTS CO COM 784117103 509 29347 SH SOLE 29347 0 0 SMITHFIELD FOODS INC COM 832248108 665 27404 SH SOLE 27404 0 0 SMITHFIELD FOODS INC BOND CV 832248AR9 369837 3016000 PRN SOLE 3016000 0 0 SUCCESSFACTORS INC COM 864596101 3624 90901 SH SOLE 90901 0 0 ETFS GOLD TR SHS COM 26922Y105 310 2000 SH SOLE 2000 0 0 SHAW GROUP INC COM 820280105 474 17612 SH SOLE 17612 0 0 SHERWIN WILLIAMS CO OPTION 824348106 210 150 SH CALL SOLE 150 0 0 ISHARES TR BARCLYS 1-3 YR COM 464287457 3455 40893 SH SOLE 40893 0 0 SIEMENS A G COM 826197501 1429 14947 SH SOLE 14947 0 0 SIGMA ALDRICH CORP COM 826552101 595 9531 SH SOLE 9531 0 0 COMPANHIA SIDERURGICA NACION COM 20440W105 20082 2455027 SH SOLE 2455027 0 0 COMPANHIA SIDERURGICA NACION OPTION 20440W105 5189 7672 SH PUT SOLE 7672 0 0 SIFY TECHNOLOGIES LIMITED COM 82655M107 210 52304 SH SOLE 52304 0 0 SINA CORP COM G81477104 4760 91530 SH SOLE 91530 0 0 SINA CORP OPTION G81477104 2173 1534 SH PUT SOLE 1534 0 0 SIRIUS XM RADIO INC COM 82967N108 2667 1465580 SH SOLE 1465580 0 0 SIRIUS XM RADIO INC OPTION 82967N108 27 16238 SH PUT SOLE 16238 0 0 SMUCKER J M CO COM 832696405 236 3013 SH SOLE 3013 0 0 SAKS INC COM 79377W108 3611 370343 SH SOLE 370343 0 0 SCHLUMBERGER LTD COM 806857108 6627 97009 SH SOLE 97009 0 0 SCHLUMBERGER LTD OPTION 806857108 598 2677 SH CALL SOLE 2677 0 0 SCHLUMBERGER LTD OPTION 806857108 7862 10337 SH PUT SOLE 10337 0 0 SARA LEE CORP COM 803111103 807 42678 SH SOLE 42678 0 0 SL GREEN RLTY CORP COM 78440X101 357 5359 SH SOLE 5359 0 0 SLM CORP COM 78442P106 3007 224395 SH SOLE 224395 0 0 SLM CORP OPTION 78442P106 254 8263 SH PUT SOLE 8263 0 0 STERLITE INDS INDIA LTD ADS COM 859737207 2006 289451 SH SOLE 289451 0 0 ISHARES SILVER TRUST ISHARES COM 46428Q109 1504 55838 SH SOLE 55838 0 0 ISHARES SILVER TRUST ISHARES OPTION 46428Q109 2432 3500 SH CALL SOLE 3500 0 0 SILVER WHEATON CORP COM 828336107 1148 39632 SH SOLE 39632 0 0 SALIX PHARMACEUTICALS INC COM 795435106 378 7903 SH SOLE 7903 0 0 ST MARY LD & EXPL CO BOND CV 792228AD0 136500 1000000 PRN SOLE 1000000 0 0 SEMICONDUCTOR HLDRS TR DEP RCPTCOM 816636203 290 9483 SH SOLE 9483 0 0 SEMICONDUCTOR MFG INTL CORP COM 81663N206 122 51774 SH SOLE 51774 0 0 SNAP ON INC COM 833034101 221 4368 SH SOLE 4368 0 0 SANDISK CORP COM 80004C101 7653 155508 SH SOLE 155508 0 0 SENIOR HSG PPTYS TR SH BEN INT COM 81721M109 330 14698 SH SOLE 14698 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page24 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- SCRIPPS NETWORKS INTERACT IN COM 811065101 680 16041 SH SOLE 16041 0 0 CHINA PETE & CHEM CORP SPON COM 16941R108 810 7713 SH SOLE 7713 0 0 SYNOVUS FINL CORP COM 87161C105 39 27405 SH SOLE 27405 0 0 SYNOVUS FINL CORP UNIT 99/99/9 COM 87161C204 760 54767 SH SOLE 54767 0 0 SOUTHERN CO COM 842587107 5057 109256 SH SOLE 109256 0 0 SOUTHERN CO OPTION 842587107 371 6916 SH PUT SOLE 6916 0 0 SOUTHERN CO OPTION 842587107 1336 2642 SH CALL SOLE 2642 0 0 SOLUTIA INC COM 834376501 732 42371 SH SOLE 42371 0 0 SOHU COM INC COM 83408W103 3155 63096 SH SOLE 63096 0 0 SOHU COM INC OPTION 83408W103 733 1535 SH PUT SOLE 1535 0 0 SONOCO PRODS CO COM 835495102 595 18066 SH SOLE 18066 0 0 ISHARES TR PHLX SOX SEMICND COM 464287523 4399 89041 SH SOLE 89041 0 0 STANDARD PAC CORP NEW COM 85375C101 965 303405 SH SOLE 303405 0 0 SIMON PPTY GROUP INC NEW COM 828806109 1423 11035 SH SOLE 11035 0 0 SIMON PPTY GROUP INC NEW OPTION 828806109 375 2564 SH PUT SOLE 2564 0 0 SIMON PPTY GROUP INC NEW OPTION 828806109 2076 997 SH CALL SOLE 997 0 0 SILICONWARE PRECISION INDS L S COM 827084864 541 124000 SH SOLE 124000 0 0 STAPLES INC COM 855030102 1335 96109 SH SOLE 96109 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 6270 220449 SH SOLE 220449 0 0 SAPPI LTD SPON COM 803069202 189 66000 SH SOLE 66000 0 0 SPREADTRUM COMMUNICATIONS IN COM 849415203 344 16486 SH SOLE 16486 0 0 SPX CORP COM 784635104 493 8172 SH SOLE 8172 0 0 SUNPOWER CORP COM 867652406 245 39293 SH SOLE 39293 0 0 SPDR S&P 500 ETF TR TR UNIT COM 78462F103 179341 1429012 SH SOLE 1429012 0 0 SPDR S&P 500 ETF TR TR UNIT OPTION 78462F103 19594 65845 SH CALL SOLE 65845 0 0 SPDR S&P 500 ETF TR TR UNIT OPTION 78462F103 4181 22517 SH PUT SOLE 22517 0 0 SOCIEDAD QUIMICA MINERA DE C S COM 833635105 2444 45389 SH SOLE 45389 0 0 STERICYCLE INC COM 858912108 1730 22204 SH SOLE 22204 0 0 SEMPRA ENERGY COM 816851109 1322 24028 SH SOLE 24028 0 0 SUNRISE SENIOR LIVING INC COM 86768K106 82 12609 SH SOLE 12609 0 0 SCRIPPS E W CO OHIO COM 811054402 83 10314 SH SOLE 10314 0 0 BANCO SANTANDER SA COM 05964H105 5857 778804 SH SOLE 778804 0 0 SUNTRUST BKS INC COM 867914103 1753 99059 SH SOLE 99059 0 0 ST JUDE MED INC COM 790849103 1456 42441 SH SOLE 42441 0 0 STEEL DYNAMICS INC COM 858119100 490 37257 SH SOLE 37257 0 0 STMICROELECTRONICS N V NY REGI COM 861012102 143 24058 SH SOLE 24058 0 0 SUNTECH PWR HLDGS CO LTD COM 86800C104 182 82535 SH SOLE 82535 0 0 QUESTAR CORP COM 748356102 246 12378 SH SOLE 12378 0 0 STATE STR CORP COM 857477103 4406 109292 SH SOLE 109292 0 0 SEAGATE TECHNOLOGY PLC SHS COM G7945M107 187 11416 SH SOLE 11416 0 0 CONSTELLATION BRANDS INC COM 21036P108 430 20823 SH SOLE 20823 0 0 SUNCOR ENERGY INC NEW COM 867224107 2839 98461 SH SOLE 98461 0 0 SOUTHERN UN CO NEW COM 844030106 1852 43989 SH SOLE 43989 0 0 SUNOCO INC COM 86764P109 201 4896 SH SOLE 4896 0 0 SUPERVALU INC COM 868536103 250 30758 SH SOLE 30758 0 0 STILLWATER MNG CO COM 86074Q102 467 44618 SH SOLE 44618 0 0 STANLEY BLACK & DECKER INC COM 854502101 11294 167073 SH SOLE 167073 0 0 SOUTHWESTERN ENERGY CO COM 845467109 1212 37956 SH SOLE 37956 0 0 SENSIENT TECHNOLOGIES CORP COM 81725T100 338 8931 SH SOLE 8931 0 0 SYMANTEC CORP COM 871503108 10351 661378 SH SOLE 661378 0 0 SYMANTEC CORP BOND CV 871503AF5 233108 2093000 PRN SOLE 2093000 0 0 SYNAPTICS INC COM 87157D109 412 13665 SH SOLE 13665 0 0 SYNTEL INC COM 87162H103 383 8186 SH SOLE 8186 0 0 SYNGENTA AG COM 87160A100 554 9403 SH SOLE 9403 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page25 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- SYSCO CORP COM 871829107 1413 48173 SH SOLE 48173 0 0 AT&T INC COM 00206R102 20800 687827 SH SOLE 687827 0 0 AT&T INC OPTION 00206R102 4809 62677 SH CALL SOLE 62677 0 0 AT&T INC OPTION 00206R102 2693 56762 SH PUT SOLE 56762 0 0 MOLSON COORS BREWING CO CL B COM 60871R209 1085 24915 SH SOLE 24915 0 0 THOMPSON CREEK METALS CO INC COM 884768102 153 21959 SH SOLE 21959 0 0 TECK RESOURCES LTD CL B COM 878742204 611 17349 SH SOLE 17349 0 0 TATA COMMUNICATIONS LTD SPONS COM 876564105 872 109670 SH SOLE 109670 0 0 TERADATA CORP DEL COM 88076W103 415 8545 SH SOLE 8545 0 0 TRANSDIGM GROUP INC COM 893641100 1159 12112 SH SOLE 12112 0 0 TECO ENERGY INC COM 872375100 1104 57688 SH SOLE 57688 0 0 TECHNE CORP COM 878377100 567 8304 SH SOLE 8304 0 0 TELEFONICA S A COM 879382208 1651 96040 SH SOLE 96040 0 0 INTEGRYS ENERGY GROUP INC COM 45822P105 1210 22329 SH SOLE 22329 0 0 TE CONNECTIVITY LTD REG SHS COM H84989104 528 17137 SH SOLE 17137 0 0 TERADYNE INC COM 880770102 744 54557 SH SOLE 54557 0 0 TEVA PHARMACEUTICAL INDS LTD COM 881624209 3056 75726 SH SOLE 75726 0 0 TELEFLEX INC COM 879369106 574 9373 SH SOLE 9373 0 0 TARGET CORP COM 87612E106 6930 135302 SH SOLE 135302 0 0 TARGET CORP OPTION 87612E106 647 7528 SH PUT SOLE 7528 0 0 TARGET CORP OPTION 87612E106 760 5020 SH CALL SOLE 5020 0 0 TENET HEALTHCARE CORP COM 88033G100 131 25496 SH SOLE 25496 0 0 TIM HORTONS INC COM 88706M103 306 6316 SH SOLE 6316 0 0 TELECOM ITALIA S P A NEW SPON COM 87927Y102 4510 423434 SH SOLE 423434 0 0 TITANIUM METALS CORP COM 888339207 288 19212 SH SOLE 19212 0 0 TIFFANY & CO NEW COM 886547108 1591 24018 SH SOLE 24018 0 0 TIFFANY & CO NEW OPTION 886547108 324 1100 SH PUT SOLE 1100 0 0 TEMPLE INLAND INC COM 879868107 5164 162862 SH SOLE 162862 0 0 ISHARES TR BARCLYS TIPS BD COM 464287176 1455 12465 SH SOLE 12465 0 0 TIVO INC COM 888706108 280 31253 SH SOLE 31253 0 0 TJX COS INC NEW COM 872540109 13816 214036 SH SOLE 214036 0 0 TJX COS INC NEW OPTION 872540109 535 552 SH CALL SOLE 552 0 0 TEEKAY CORPORATION COM Y8564W103 682 25502 SH SOLE 25502 0 0 TIMKEN CO COM 887389104 297 7674 SH SOLE 7674 0 0 TALISMAN ENERGY INC COM 87425E103 261 20436 SH SOLE 20436 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 1219 27097 SH SOLE 27097 0 0 TELEFONOS DE MEXICO S A B SPON COM 879403780 236 16359 SH SOLE 16359 0 0 TOLL BROTHERS INC COM 889478103 221 10818 SH SOLE 10818 0 0 TOTAL S A COM 89151E109 1568 30678 SH SOLE 30678 0 0 TEMPUR PEDIC INTL INC COM 88023U101 612 11655 SH SOLE 11655 0 0 TRIQUINT SEMICONDUCTOR INC COM 89674K103 117 23926 SH SOLE 23926 0 0 DEALERTRACK HLDGS INC COM 242309102 231 8491 SH SOLE 8491 0 0 THOMSON REUTERS CORP COM 884903105 721 27046 SH SOLE 27046 0 0 TRIPADVISOR INC COM 896945201 223 8853 SH SOLE 8853 0 0 TRUSTMARK CORP COM 898402102 378 15548 SH SOLE 15548 0 0 TRINITY INDS INC COM 896522109 928 30880 SH SOLE 30880 0 0 PRICE T ROWE GROUP INC COM 74144T108 1215 21333 SH SOLE 21333 0 0 TRANSCANADA CORP COM 89353D107 907 20775 SH SOLE 20775 0 0 TRAVELERS COMPANIES INC COM 89417E109 9192 155346 SH SOLE 155346 0 0 TRAVELERS COMPANIES INC OPTION 89417E109 993 2200 SH CALL SOLE 2200 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 528 16210 SH SOLE 16210 0 0 TENARIS S A COM 88031M109 1284 34530 SH SOLE 34530 0 0 TRACTOR SUPPLY CO COM 892356106 938 13378 SH SOLE 13378 0 0 TRINA SOLAR LIMITED SPON COM 89628E104 245 36732 SH SOLE 36732 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page26 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- TAIWAN SEMICONDUCTOR MFG LTD COM 874039100 4010 310635 SH SOLE 310635 0 0 TYSON FOODS INC COM 902494103 1122 54379 SH SOLE 54379 0 0 TYSON FOODS INC BOND CV 902494AP8 994687 7500000 PRN SOLE 7500000 0 0 TOTAL SYS SVCS INC COM 891906109 433 22120 SH SOLE 22120 0 0 TELECOMMUNICATION SYS INC COM 87929J103 113 48145 SH SOLE 48145 0 0 TETRA TECH INC NEW COM 88162G103 286 13237 SH SOLE 13237 0 0 TATA MTRS LTD COM 876568502 6538 386869 SH SOLE 386869 0 0 TELUS CORP NON-VTG SHS COM 87971M202 203 3787 SH SOLE 3787 0 0 TUPPERWARE BRANDS CORP COM 899896104 1682 30055 SH SOLE 30055 0 0 GRUPO TELEVISA SA SPON COM 40049J206 3053 144945 SH SOLE 144945 0 0 TIME WARNER CABLE INC COM 88732J207 9151 143948 SH SOLE 143948 0 0 TW TELECOM INC COM 87311L104 6019 310592 SH SOLE 310592 0 0 TIME WARNER INC COM 887317303 4742 131219 SH SOLE 131219 0 0 TIME WARNER INC OPTION 887317303 695 4225 SH CALL SOLE 4225 0 0 TEXAS INSTRS INC COM 882508104 4224 145093 SH SOLE 145093 0 0 TEXAS INSTRS INC OPTION 882508104 315 5758 SH PUT SOLE 5758 0 0 TYCO INTERNATIONAL LTD SHS COM H89128104 2384 51036 SH SOLE 51036 0 0 UNITED CONTL HLDGS INC COM 910047109 222 11740 SH SOLE 11740 0 0 UBS AG SHS COM H89231338 185 15652 SH SOLE 15652 0 0 UNITED BANKSHARES INC WEST V COM 909907107 634 22421 SH SOLE 22421 0 0 UDR INC COM 902653104 467 18617 SH SOLE 18617 0 0 DOMTAR CORP COM 257559203 764 9555 SH SOLE 9555 0 0 UGI CORP NEW COM 902681105 206 6993 SH SOLE 6993 0 0 ULTRAPAR PARTICIPACOES S A SP COM 90400P101 540 31399 SH SOLE 31399 0 0 UNISYS CORP COM 909214306 772 39184 SH SOLE 39184 0 0 UNISYS CORP PFD SER A 6.25% COM 909214405 588 9700 SH SOLE 9700 0 0 ULTA SALON COSMETCS & FRAG I COM 90384S303 1001 15416 SH SOLE 15416 0 0 UNILEVER N V N Y SHS COM 904784709 410 11920 SH SOLE 11920 0 0 UNITED STATES NATL GAS FUND UN COM 912318110 10896 1686694 SH SOLE 1686694 0 0 UNITEDHEALTH GROUP INC COM 91324P102 7115 140387 SH SOLE 140387 0 0 UNITEDHEALTH GROUP INC OPTION 91324P102 511 7311 SH PUT SOLE 7311 0 0 UNITEDHEALTH GROUP INC OPTION 91324P102 2978 2332 SH CALL SOLE 2332 0 0 UNUM GROUP COM 91529Y106 402 19070 SH SOLE 19070 0 0 UNION PAC CORP COM 907818108 11714 110571 SH SOLE 110571 0 0 UNION PAC CORP OPTION 907818108 1388 6374 SH PUT SOLE 6374 0 0 UNISOURCE ENERGY CORP COM 909205106 743 20121 SH SOLE 20121 0 0 UNITED ONLINE INC COM 911268100 78 14430 SH SOLE 14430 0 0 ULTRA PETROLEUM CORP COM 903914109 619 20893 SH SOLE 20893 0 0 UNITED PARCEL SERVICE INC CL B COM 911312106 26995 368835 SH SOLE 368835 0 0 UNITED PARCEL SERVICE INC CL B OPTION 911312106 428 3960 SH CALL SOLE 3960 0 0 UNITED PARCEL SERVICE INC CL B OPTION 911312106 1374 8207 SH PUT SOLE 8207 0 0 UNITED RENTALS INC COM 911363109 294 9936 SH SOLE 9936 0 0 UNITED RENTALS INC OPTION 911363109 844 6274 SH CALL SOLE 6274 0 0 US BANCORP DEL COM 902973304 7164 264847 SH SOLE 264847 0 0 US BANCORP DEL OPTION 902973304 1730 8959 SH CALL SOLE 8959 0 0 US BANCORP DEL OPTION 902973304 1265 24025 SH PUT SOLE 24025 0 0 U S G CORP COM 903293405 2095 206190 SH SOLE 206190 0 0 USA MOBILITY INC COM 90341G103 179 12884 SH SOLE 12884 0 0 UNITED STATES OIL FUND LP UNITSCOM 91232N108 9945 260965 SH SOLE 260965 0 0 UNITED STATES OIL FUND LP UNITSOPTION 91232N108 210 4368 SH CALL SOLE 4368 0 0 UNITED STATES OIL FUND LP UNITSOPTION 91232N108 565 6236 SH PUT SOLE 6236 0 0 USEC INC COM 90333E108 19 16658 SH SOLE 16658 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 7770 164451 SH SOLE 164451 0 0 UNITED TECHNOLOGIES CORP COM 913017109 13361 182807 SH SOLE 182807 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page27 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- UNITED TECHNOLOGIES CORP OPTION 913017109 264 3253 SH CALL SOLE 3253 0 0 UNITED TECHNOLOGIES CORP OPTION 913017109 947 6497 SH PUT SOLE 6497 0 0 UNIVERSAL CORP VA COM 913456109 751 16347 SH SOLE 16347 0 0 VISA INC COM OPTION 92826C839 680 4502 SH PUT SOLE 4502 0 0 VISA INC COM OPTION 92826C839 1431 1601 SH CALL SOLE 1601 0 0 VALE S A COM 91912E105 28628 1334627 SH SOLE 1334627 0 0 VALE S A OPTION 91912E105 3054 5167 SH PUT SOLE 5167 0 0 VALE S A COM 91912E204 1391 67514 SH SOLE 67514 0 0 VARIAN MED SYS INC COM 92220P105 486 7234 SH SOLE 7234 0 0 VALASSIS COMMUNICATIONS INC COM 918866104 219 11382 SH SOLE 11382 0 0 VALUECLICK INC COM 92046N102 277 17009 SH SOLE 17009 0 0 VEECO INSTRS INC DEL COM 922417100 317 15233 SH SOLE 15233 0 0 V F CORP COM 918204108 928 7309 SH SOLE 7309 0 0 VIACOM INC NEW CL B COM 92553P201 966 21272 SH SOLE 21272 0 0 TELEFONICA BRASIL SA COM 87936R106 261 9540 SH SOLE 9540 0 0 MERIDIAN BIOSCIENCE INC COM 589584101 227 12051 SH SOLE 12051 0 0 VALERO ENERGY CORP NEW COM 91913Y100 1692 80396 SH SOLE 80396 0 0 VALLEY NATL BANCORP COM 919794107 630 50941 SH SOLE 50941 0 0 VULCAN MATLS CO OPTION 929160109 466 2300 SH CALL SOLE 2300 0 0 VIRGIN MEDIA INC COM 92769L101 678 31723 SH SOLE 31723 0 0 VALMONT INDS INC COM 920253101 516 5679 SH SOLE 5679 0 0 VMWARE INC COM 928563402 2351 28259 SH SOLE 28259 0 0 VODAFONE GROUP PLC NEW SPONS COM 92857W209 426 15205 SH SOLE 15205 0 0 VERISIGN INC SDCV 3.250% 8/1 BOND CV 92343EAD4 639325 5350000 PRN SOLE 5350000 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 231 6963 SH SOLE 6963 0 0 PHARMASSET INC COM 71715N106 7353 57352 SH SOLE 57352 0 0 PHARMASSET INC OPTION 71715N106 258 1519 SH CALL SOLE 1519 0 0 VALEANT PHARMACEUTICALS INTL COM 91911K102 335 7165 SH SOLE 7165 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 112 12446 SH SOLE 12446 0 0 BARCLAYS BK PLC IPTH S&P VIX COM 06740C261 269353 7581005 SH SOLE 7581005 0 0 BARCLAYS BK PLC IPTH S&P VIX OPTION 06740C261 18399 77470 SH PUT SOLE 77470 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 10651 265478 SH SOLE 265478 0 0 VERIZON COMMUNICATIONS INC OPTION 92343V104 1022 27236 SH PUT SOLE 27236 0 0 VERIZON COMMUNICATIONS INC OPTION 92343V104 7888 18626 SH CALL SOLE 18626 0 0 WABTEC CORP COM 929740108 207 2965 SH SOLE 2965 0 0 WALGREEN CO COM 931422109 2884 87229 SH SOLE 87229 0 0 WALGREEN CO OPTION 931422109 929 3650 SH PUT SOLE 3650 0 0 WALGREEN CO OPTION 931422109 841 3000 SH CALL SOLE 3000 0 0 WATERS CORP COM 941848103 1313 17729 SH SOLE 17729 0 0 WABCO HLDGS INC COM 92927K102 382 8792 SH SOLE 8792 0 0 WEBMD HEALTH CORP COM 94770V102 1272 33869 SH SOLE 33869 0 0 WELLCARE HEALTH PLANS INC COM 94946T106 213 4050 SH SOLE 4050 0 0 WASTE CONNECTIONS INC COM 941053100 1071 32307 SH SOLE 32307 0 0 WARNER CHILCOTT PLC IRELAND SH COM G94368100 227 14987 SH SOLE 14987 0 0 WESTERN DIGITAL CORP COM 958102105 782 25273 SH SOLE 25273 0 0 WADDELL & REED FINL INC COM 930059100 1139 45981 SH SOLE 45981 0 0 WELLS FARGO & CO NEW COM 949746101 24287 881256 SH SOLE 881256 0 0 WELLS FARGO & CO NEW OPTION 949746101 2208 18588 SH CALL SOLE 18588 0 0 WELLS FARGO & CO NEW OPTION 949746101 6001 36732 SH PUT SOLE 36732 0 0 WELLS FARGO & CO NEW PERP PFD COM 949746804 935 885 SH SOLE 885 0 0 WHOLE FOODS MKT INC COM 966837106 16102 231412 SH SOLE 231412 0 0 WHOLE FOODS MKT INC OPTION 966837106 631 434 SH CALL SOLE 434 0 0 MEMC ELECTR MATLS INC COM 552715104 370 93985 SH SOLE 93985 0 0 WASHINGTON FED INC COM 938824109 161 11485 SH SOLE 11485 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page28 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- WEATHERFORD INTERNATIONAL LT R COM H27013103 4656 318011 SH SOLE 318011 0 0 WEATHERFORD INTERNATIONAL LT R OPTION H27013103 603 3150 SH PUT SOLE 3150 0 0 WHIRLPOOL CORP COM 963320106 4228 89107 SH SOLE 89107 0 0 WINDSTREAM CORP COM 97381W104 512 43632 SH SOLE 43632 0 0 WIPRO LTD SPON COM 97651M109 7423 728451 SH SOLE 728451 0 0 WESTERN ASSET CLYM INFL OPP COM 95766R104 2143 169982 SH SOLE 169982 0 0 WESTLAKE CHEM CORP COM 960413102 654 16251 SH SOLE 16251 0 0 WHITING PETE CORP NEW COM 966387102 6075 130111 SH SOLE 130111 0 0 WELLPOINT INC COM 94973V107 2439 36811 SH SOLE 36811 0 0 WALTER ENERGY INC COM 93317Q105 1248 20609 SH SOLE 20609 0 0 WASTE MGMT INC DEL COM 94106L109 7402 226303 SH SOLE 226303 0 0 WILLIAMS COS INC DEL COM 969457100 1424 43121 SH SOLE 43121 0 0 WAL MART STORES INC COM 931142103 23659 395900 SH SOLE 395900 0 0 WAL MART STORES INC OPTION 931142103 6346 11434 SH CALL SOLE 11434 0 0 WAL MART STORES INC OPTION 931142103 1140 11365 SH PUT SOLE 11365 0 0 WESTERN REFNG INC COM 959319104 743 55885 SH SOLE 55885 0 0 WATSON PHARMACEUTICALS INC COM 942683103 2520 41765 SH SOLE 41765 0 0 WESTAR ENERGY INC COM 95709T100 300 10425 SH SOLE 10425 0 0 BERKLEY W R CORP COM 084423102 482 14024 SH SOLE 14024 0 0 WARNACO GROUP INC COM 934390402 7136 142613 SH SOLE 142613 0 0 WORLD ACCEP CORP DEL COM 981419104 678 9224 SH SOLE 9224 0 0 WATSCO INC COM 942622200 878 13366 SH SOLE 13366 0 0 W & T OFFSHORE INC COM 92922P106 315 14873 SH SOLE 14873 0 0 AQUA AMERICA INC COM 03836W103 1151 52210 SH SOLE 52210 0 0 WATTS WATER TECHNOLOGIES INC COM 942749102 1209 35334 SH SOLE 35334 0 0 WEIGHT WATCHERS INTL INC NEW COM 948626106 393 7146 SH SOLE 7146 0 0 WOODWARD INC COM 980745103 420 10267 SH SOLE 10267 0 0 WOLVERINE WORLD WIDE INC COM 978097103 248 6955 SH SOLE 6955 0 0 WUXI PHARMATECH CAYMAN INC SPO COM 929352102 116 10546 SH SOLE 10546 0 0 WEYERHAEUSER CO COM 962166104 3702 198309 SH SOLE 198309 0 0 WYNDHAM WORLDWIDE CORP COM 98310W108 277 7322 SH SOLE 7322 0 0 WYNN RESORTS LTD COM 983134107 2864 25925 SH SOLE 25925 0 0 WYNN RESORTS LTD OPTION 983134107 671 100 SH PUT SOLE 100 0 0 UNITED STATES STL CORP NEW COM 912909108 23647 893694 SH SOLE 893694 0 0 UNITED STATES STL CORP NEW OPTION 912909108 422 3917 SH CALL SOLE 3917 0 0 UNITED STATES STL CORP NEW OPTION 912909108 3656 10539 SH PUT SOLE 10539 0 0 CIMAREX ENERGY CO COM 171798101 648 10472 SH SOLE 10472 0 0 XCEL ENERGY INC COM 98389B100 344 12462 SH SOLE 12462 0 0 SPDR SERIES TRUST S&P HOMEBUILDCOM 78464A888 9331 545688 SH SOLE 545688 0 0 XL GROUP PLC SHS COM G98290102 1079 54586 SH SOLE 54586 0 0 SELECT SECTOR SPDR TR SBI MATE COM 81369Y100 88418 2639347 SH SOLE 2639347 0 0 SELECT SECTOR SPDR TR SBI MATE OPTION 81369Y100 816 11321 SH CALL SOLE 11321 0 0 SELECT SECTOR SPDR TR SBI MATE OPTION 81369Y100 4175 28430 SH PUT SOLE 28430 0 0 SELECT SECTOR SPDR TR SBI INT- COM 81369Y506 11325 163817 SH SOLE 163817 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y506 3020 9705 SH CALL SOLE 9705 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y506 10514 22910 SH PUT SOLE 22910 0 0 SELECT SECTOR SPDR TR SBI INT- COM 81369Y605 87955 6765800 SH SOLE 6765800 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y605 1638 30627 SH CALL SOLE 30627 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y605 16244 142871 SH PUT SOLE 142871 0 0 SELECT SECTOR SPDR TR SBI INT- COM 81369Y704 10229 303078 SH SOLE 303078 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y704 294 4259 SH CALL SOLE 4259 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y704 2189 19015 SH PUT SOLE 19015 0 0 SELECT SECTOR SPDR TR TECHNOLO COM 81369Y803 4077 160202 SH SOLE 160202 0 0 SELECT SECTOR SPDR TR TECHNOLO OPTION 81369Y803 566 10063 SH CALL SOLE 10063 0 0 Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Dec 30,2011 Page29 of 30 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 ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- SELECT SECTOR SPDR TR TECHNOLO OPTION 81369Y803 2114 35950 SH PUT SOLE 35950 0 0 XILINX INC COM 983919101 4431 138219 SH SOLE 138219 0 0 XILINX INC SDCV 3.125% 3/1 BOND CV 983919AD3 1388786 12236000 PRN SOLE 12236000 0 0 SELECT SECTOR SPDR TR SBI CONS COM 81369Y308 22537 693646 SH SOLE 693646 0 0 SELECT SECTOR SPDR TR SBI CONS OPTION 81369Y308 481 3003 SH CALL SOLE 3003 0 0 SELECT SECTOR SPDR TR SBI CONS OPTION 81369Y308 884 32174 SH PUT SOLE 32174 0 0 EXELIS INC COM 30162A108 117 12929 SH SOLE 12929 0 0 SELECT SECTOR SPDR TR SBI INT- COM 81369Y886 9850 273757 SH SOLE 273757 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y886 68 16700 SH PUT SOLE 16700 0 0 SELECT SECTOR SPDR TR SBI HEAL COM 81369Y209 10359 298620 SH SOLE 298620 0 0 SELECT SECTOR SPDR TR SBI HEAL OPTION 81369Y209 997 8174 SH CALL SOLE 8174 0 0 SELECT SECTOR SPDR TR SBI HEAL OPTION 81369Y209 1458 35234 SH PUT SOLE 35234 0 0 SELECT SECTOR SPDR TR SBI CONS COM 81369Y407 15184 389133 SH SOLE 389133 0 0 SELECT SECTOR SPDR TR SBI CONS OPTION 81369Y407 1172 12878 SH PUT SOLE 12878 0 0 SPDR SERIES TRUST S&P METALS M COM 78464A755 5080 103691 SH SOLE 103691 0 0 EXXON MOBIL CORP COM 30231G102 22535 265864 SH SOLE 265864 0 0 EXXON MOBIL CORP OPTION 30231G102 6875 35781 SH PUT SOLE 35781 0 0 EXXON MOBIL CORP OPTION 30231G102 33532 26760 SH CALL SOLE 26760 0 0 DENTSPLY INTL INC NEW COM 249030107 1463 41824 SH SOLE 41824 0 0 SPDR SERIES TRUST S&P RETAIL E COM 78464A714 47439 902744 SH SOLE 902744 0 0 SPDR SERIES TRUST S&P RETAIL E OPTION 78464A714 384 6470 SH PUT SOLE 6470 0 0 XEROX CORP COM 984121103 971 121933 SH SOLE 121933 0 0 XYLEM INC COM 98419M100 216 8407 SH SOLE 8407 0 0 YINGLI GREEN ENERGY HLDG CO COM 98584B103 216 56856 SH SOLE 56856 0 0 YAHOO INC COM 984332106 19792 1227023 SH SOLE 1227023 0 0 YAHOO INC OPTION 984332106 347 10930 SH CALL SOLE 10930 0 0 YAHOO INC OPTION 984332106 890 5270 SH PUT SOLE 5270 0 0 YUM BRANDS INC COM 988498101 1947 32996 SH SOLE 32996 0 0 YUM BRANDS INC OPTION 988498101 1426 1711 SH CALL SOLE 1711 0 0 YANZHOU COAL MNG CO LTD SPON COM 984846105 300 14125 SH SOLE 14125 0 0 ZWEIG TOTAL RETURN FD INC COM 989837109 903 298098 SH SOLE 298098 0 0