0001166588-12-000002.txt : 20120514 0001166588-12-000002.hdr.sgml : 20120514 20120514133557 ACCESSION NUMBER: 0001166588-12-000002 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120514 DATE AS OF CHANGE: 20120514 EFFECTIVENESS DATE: 20120514 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: 12837754 BUSINESS ADDRESS: STREET 1: 787 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 610 491 1492 MAIL ADDRESS: STREET 1: 555 CROTON ROAD CITY: KING OF PRUSSIA STATE: PA ZIP: 19406 FORMER COMPANY: FORMER CONFORMED NAME: BNP PARIBAS ARBITRAGE, SNC DATE OF NAME CHANGE: 20080428 FORMER COMPANY: FORMER CONFORMED NAME: BNP PARIBAS ARBITRAGE SA DATE OF NAME CHANGE: 20020205 13F-HR 1 bnpparb13fhr.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31,2012 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 2012/05/14 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: 1,446 Form 13F Information Table Value Total:$78,400,063 (x$1,000) List of Other Included Managers: No. 13F File Number Name **NONE**

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page 1 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- ACTUANT CORP SDCV 2.672%11/1 BOND CV 00508XAB0 1315125 9000000 PRN SOLE 9000000 0 0 ADVANCED MICRO DEVICES INC BOND CV 007903AN7 96509 952000 PRN SOLE 952000 0 0 AFFILIATED MANAGERS GROUP BOND CV 008252AL2 72930 663000 PRN SOLE 663000 0 0 ALLEGHENY TECHNOLOGIES INC BOND CV 01741RAD4 122008 979000 PRN SOLE 979000 0 0 AMGEN INC BOND CV 031162AQ3 179244 1753000 PRN SOLE 1753000 0 0 ARVINMERITOR INC BOND CV 043353AF8 110595 1212000 PRN SOLE 1212000 0 0 BPZ RESOURCES INC MTNF 6.500% BOND CV 055639AB4 91375 1000000 PRN SOLE 1000000 0 0 BROOKDALE SR LIVING INC BOND CV 112463AA2 11578 124000 PRN SOLE 124000 0 0 CADENCE DESIGN SYSTEM INC BOND CV 127387AJ7 814012 4900000 PRN SOLE 4900000 0 0 CAL DIVE INTL INC BOND CV 127914AB5 2020 20000 PRN SOLE 20000 0 0 CEMEX SAB DE CV BOND CV 151290AV5 752000 8000000 PRN SOLE 8000000 0 0 CHARLES RIV LABS INTL INC BOND CV 159864AB3 8564 85000 PRN SOLE 85000 0 0 COVANTA HLDG CORP BOND CV 22282EAC6 258124 2247000 PRN SOLE 2247000 0 0 CUBIST PHARMACEUTICALS INC BOND CV 229678AC1 429 3000 PRN SOLE 3000 0 0 CUBIST PHARMACEUTICALS INC BOND CV 229678AD9 2097153 13138000 PRN SOLE 13138000 0 0 D R HORTON INC BOND CV 23331ABB4 258500 2000000 PRN SOLE 2000000 0 0 DANAHER CORP DEL BOND CV 235851AF9 161285 991000 PRN SOLE 991000 0 0 DENDREON CORP BOND CV 24823QAC1 360000 4500000 PRN SOLE 4500000 0 0 DRYSHIPS INC. BOND CV 262498AB4 170000 2000000 PRN SOLE 2000000 0 0 EQUINIX INC BOND CV 29444UAH9 1300000 6500000 PRN SOLE 6500000 0 0 EXTERRAN HLDGS INC BOND CV 30225XAA1 24938 250000 PRN SOLE 250000 0 0 GILEAD SCIENCES INC BOND CV 375558AP8 1277500 10000000 PRN SOLE 10000000 0 0 GOLDEN STAR RES LTD CDA DBCV 4 BOND CV 38119TAC8 24719 250000 PRN SOLE 250000 0 0 GOODRICH PETE CORP BOND CV 382410AC2 260237 2642000 PRN SOLE 2642000 0 0 HEALTH CARE REIT INC BOND CV 42217KAR7 607239 5315000 PRN SOLE 5315000 0 0 HELIX ENERGY SOLUTIONS GRP I BOND CV 42330PAG2 426326 4041000 PRN SOLE 4041000 0 0 HERTZ GLOBAL HOLDINGS INC BOND CV 42805TAA3 2311500 12000000 PRN SOLE 12000000 0 0 HOLOGIC INC BOND CV 436440AB7 13570 115000 PRN SOLE 115000 0 0 HOLOGIC INC DEBT 2.000% 3/0 COM 436440AC5 194079 1953000 SH SOLE 1953000 0 0 HOME INNS & HOTELS MGMT INC BOND CV 43713WAB3 387014 5059000 PRN SOLE 5059000 0 0 INGERSOLL-RAND GLOBAL HLDG C BOND CV 45687AAD4 3019927 13038000 PRN SOLE 13038000 0 0 INTEL CORP SDCV 2.950%12/1 BOND CV 458140AD2 116150 1010000 PRN SOLE 1010000 0 0 INVACARE CORP SDCV 4.125% 2/0 BOND CV 461203AD3 109500 1000000 PRN SOLE 1000000 0 0 JAMES RIVER COAL CO BOND CV 470355AF5 381416 6811000 PRN SOLE 6811000 0 0 KKR FINANCIAL HLDGS LLC BOND CV 48248AAB4 12625 125000 PRN SOLE 125000 0 0 KNIGHT CAP GROUP INC BOND CV 499005AE6 17404 182000 PRN SOLE 182000 0 0 LEVEL 3 COMMUNICATIONS INC BOND CV 52729NBR0 160000 1000000 PRN SOLE 1000000 0 0 LIBERTY MEDIA CORP NEW DEB 3.1 BOND CV 530718AF2 1207500 10000000 PRN SOLE 10000000 0 0 LIVE NATION ENTERTAINMENT IN BOND CV 538034AB5 2869 30000 PRN SOLE 30000 0 0 LUCENT TECHNOLOGIES INC DBCV 2 BOND CV 549463AG2 262861 3167000 PRN SOLE 3167000 0 0 MGM RESORTS INTERNATIONAL BOND CV 55303QAE0 860234 8125000 PRN SOLE 8125000 0 0 MCMORAN EXPLORATION CO BOND CV 582411AL8 4065 40000 PRN SOLE 40000 0 0 MEDIVATION INC BOND CV 58501NAA9 132031 1250000 PRN SOLE 1250000 0 0 MICROCHIP TECHNOLOGY INC SDCV BOND CV 595017AB0 1587000 11500000 PRN SOLE 11500000 0 0 MICRON TECHNOLOGY INC BOND CV 595112AJ2 1155875 7000000 PRN SOLE 7000000 0 0 MICRON TECHNOLOGY INC DEBT 1.8 BOND CV 595112AK9 225644 2285000 PRN SOLE 2285000 0 0 MYLAN INC BOND CV 628530AJ6 4287089 22895000 PRN SOLE 22895000 0 0 NAVISTAR INTL CORP NEW BOND CV 63934EAL2 27562 250000 PRN SOLE 250000 0 0 NETAPP INC BOND CV 64110DAB0 1448750 10000000 PRN SOLE 10000000 0 0 NEWMONT MINING CORP BOND CV 651639AH9 13986 111000 PRN SOLE 111000 0 0 NEWMONT MINING CORP BOND CV 651639AJ5 821875 6250000 PRN SOLE 6250000 0 0 NORTHGATE MINERALS CORP BOND CV 666416AB8 91954 835000 PRN SOLE 835000 0 0 NUANCE COMMUNICATIONS INC DBCV BOND CV 67020YAB6 411099 2823000 PRN SOLE 2823000 0 0 NUVASIVE INC BOND CV 670704AC9 42284 496000 PRN SOLE 496000 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page2 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- OLD REP INTL CORP BOND CV 680223AF1 406000 4000000 PRN SOLE 4000000 0 0 OLD REP INTL CORP BOND CV 680223AH7 71996 730000 PRN SOLE 730000 0 0 PHH CORP BOND CV 693320AQ6 22050 150000 PRN SOLE 150000 0 0 PROLOGIS BOND CV 74340XAS0 102771 1029000 PRN SOLE 1029000 0 0 PROLOGIS BOND CV 74340XAT8 690854 6107000 PRN SOLE 6107000 0 0 RADIAN GROUP INC BOND CV 750236AK7 135750 2000000 PRN SOLE 2000000 0 0 RAYONIER TRS HLDGS INC BOND CV 75508AAB2 1733477 14238000 PRN SOLE 14238000 0 0 RAYONIER TRS HLDGS INC BOND CV 75508AAC0 233520 1680000 PRN SOLE 1680000 0 0 ROPER INDS INC NEW BOND CV 776696AA4 30906 250000 PRN SOLE 250000 0 0 ROVI CORP BOND CV 779376AB8 113370 1081000 PRN SOLE 1081000 0 0 SBA COMMUNICATIONS CORP BOND CV 78388JAM8 4481625 25500000 PRN SOLE 25500000 0 0 SBA COMMUNICATIONS CORP BOND CV 78388JAN6 611050 4840000 PRN SOLE 4840000 0 0 SALESFORCE COM INC BOND CV 79466LAB0 1133968 6064000 PRN SOLE 6064000 0 0 SALIX PHARMACEUTICALS INC BOND CV 795435AC0 288900 2160000 PRN SOLE 2160000 0 0 SAVIENT PHARMACEUTICALS INC BOND CV 80517QAA8 4565 110000 PRN SOLE 110000 0 0 STILLWATER MNG CO BOND CV 86074QAF9 31310 310000 PRN SOLE 310000 0 0 SUNPOWER CORP DBCV 4.750% 4/1 BOND CV 867652AC3 60938 650000 PRN SOLE 650000 0 0 SUNPOWER CORP DBCV 4.500% 3/1 BOND CV 867652AE9 425035 4749000 PRN SOLE 4749000 0 0 TRW AUTOMOTIVE INC BOND CV 87264MAH2 699000 4000000 PRN SOLE 4000000 0 0 TELEFLEX INC BOND CV 879369AA4 708476 6036000 PRN SOLE 6036000 0 0 TEVA PHARMACEUTICAL FIN LLC DB BOND CV 88163VAE9 7911 72000 PRN SOLE 72000 0 0 UNITED STATES STL CORP NEW BOND CV 912909AE8 591250 5000000 PRN SOLE 5000000 0 0 VIRGIN MEDIA INC BOND CV 92769LAB7 850817 5570000 PRN SOLE 5570000 0 0 VORNADO RLTY L P DEB 3.875% 4/1BOND CV 929043AC1 200250 2000000 PRN SOLE 2000000 0 0 WESCO INTL INC DBCV 6.000% 9/1 BOND CV 95082PAH8 2412983 10002000 PRN SOLE 10002000 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 1364 30636 SH SOLE 30636 0 0 ALCOA INC COM 013817101 14089 1406137 SH SOLE 1406137 0 0 ALCOA INC OPTION 013817101 437 8700 SH PUT SOLE 8700 0 0 APPLE INC COM 037833100 135860 226604 SH SOLE 226604 0 0 APPLE INC OPTION 037833100 718 3349 SH PUT SOLE 3349 0 0 APPLE INC OPTION 037833100 2691 246 SH CALL SOLE 246 0 0 ATLAS AIR WORLDWIDE HLDGS IN COM 049164205 1481 30098 SH SOLE 30098 0 0 ABBOTT LABS COM 002824100 7601 124010 SH SOLE 124010 0 0 ABBOTT LABS OPTION 002824100 450 3945 SH PUT SOLE 3945 0 0 ABBOTT LABS OPTION 002824100 2655 2239 SH CALL SOLE 2239 0 0 COMPANHIA DE BEBIDAS DAS AME S COM 20441W203 5269 127513 SH SOLE 127513 0 0 BARRICK GOLD CORP COM 067901108 3182 73174 SH SOLE 73174 0 0 AMERICAN CAP LTD COM 02503Y103 519 59780 SH SOLE 59780 0 0 ACE LTD SHS COM H0023R105 2754 37626 SH SOLE 37626 0 0 ARCH CAP GROUP LTD COM G0450A105 492 13213 SH SOLE 13213 0 0 ALUMINUM CORP CHINA LTD SPON COM 022276109 413 34803 SH SOLE 34803 0 0 ARCH COAL INC COM 039380100 1304 121734 SH SOLE 121734 0 0 ACCENTURE PLC IRELAND SHS CLAS COM G1151C101 1582 24523 SH SOLE 24523 0 0 ALLIANCE DATA SYSTEMS CORP BOND CV 018581AD0 3156563 19500000 PRN SOLE 19500000 0 0 ADOBE SYS INC COM 00724F101 4427 129033 SH SOLE 129033 0 0 ANALOG DEVICES INC COM 032654105 397 9837 SH SOLE 9837 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 14987 473388 SH SOLE 473388 0 0 ARCHER DANIELS MIDLAND CO OPTION 039483102 879 16931 SH PUT SOLE 16931 0 0 ARCHER DANIELS MIDLAND CO OPTION 039483102 776 3631 SH CALL SOLE 3631 0 0 AUTOMATIC DATA PROCESSING IN COM 053015103 3651 66152 SH SOLE 66152 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 1095 8690 SH SOLE 8690 0 0 AUTODESK INC COM 052769106 248 5852 SH SOLE 5852 0 0 ADVANCE AMER CASH ADVANCE CT COM 00739W107 369 35142 SH SOLE 35142 0 0 AGNICO EAGLE MINES LTD COM 008474108 383 11461 SH SOLE 11461 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page3 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- AMERICAN EAGLE OUTFITTERS NE COM 02553E106 4936 287149 SH SOLE 287149 0 0 AMERICAN ELEC PWR INC COM 025537101 3383 87693 SH SOLE 87693 0 0 AES CORP COM 00130H105 2458 188033 SH SOLE 188033 0 0 AETNA INC NEW COM 00817Y108 3292 65632 SH SOLE 65632 0 0 AETNA INC NEW OPTION 00817Y108 231 5000 SH PUT SOLE 5000 0 0 ASTORIA FINL CORP COM 046265104 232 23539 SH SOLE 23539 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 307 7948 SH SOLE 7948 0 0 AFLAC INC COM 001055102 4764 103593 SH SOLE 103593 0 0 AGCO CORP BOND CV 001084AM4 2302 18000 PRN SOLE 18000 0 0 AGCO CORP COM 001084102 3483 73777 SH SOLE 73777 0 0 ISHARES TR BARCLY USAGG B COM 464287226 1419 12915 SH SOLE 12915 0 0 ALLERGAN INC COM 018490102 2312 24223 SH SOLE 24223 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 1023 34646 SH SOLE 34646 0 0 ASSURED GUARANTY LTD COM G0585R106 432 26130 SH SOLE 26130 0 0 AGRIUM INC COM 008916108 3728 43163 SH SOLE 43163 0 0 ASPEN INSURANCE HOLDINGS LTD S COM G05384105 502 17953 SH SOLE 17953 0 0 AMERICAN INTL GROUP INC COM 026874784 5022 162892 SH SOLE 162892 0 0 AMERICAN INTL GROUP INC *W EXP COM 026874156 275 25800 SH SOLE 25800 0 0 APOLLO INVT CORP COM 03761U106 75 10500 SH SOLE 10500 0 0 APARTMENT INVT & MGMT CO COM 03748R101 727 27535 SH SOLE 27535 0 0 ASSURANT INC COM 04621X108 413 10199 SH SOLE 10199 0 0 GALLAGHER ARTHUR J & CO COM 363576109 970 27135 SH SOLE 27135 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 1782 48551 SH SOLE 48551 0 0 AK STL HLDG CORP COM 001547108 4466 590734 SH SOLE 590734 0 0 ALCOA INC BOND CV 013817AT8 2416062 14500000 PRN SOLE 14500000 0 0 ALLSTATE CORP COM 020002101 2743 83331 SH SOLE 83331 0 0 ALLSTATE CORP OPTION 020002101 783 3000 SH CALL SOLE 3000 0 0 ALTERA CORP COM 021441100 2710 68055 SH SOLE 68055 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 2495 26869 SH SOLE 26869 0 0 AMERICAN GREETINGS CORP COM 026375105 158 10308 SH SOLE 10308 0 0 APPLIED MATLS INC COM 038222105 6368 511674 SH SOLE 511674 0 0 APPLIED MATLS INC OPTION 038222105 332 7705 SH PUT SOLE 7705 0 0 APPLIED MATLS INC OPTION 038222105 837 13397 SH CALL SOLE 13397 0 0 ADVANCED MICRO DEVICES INC COM 007903107 6089 759270 SH SOLE 759270 0 0 ADVANCED MICRO DEVICES INC BOND CV 007903AL1 520000 5000000 PRN SOLE 5000000 0 0 AFFILIATED MANAGERS GROUP COM 008252108 603 5396 SH SOLE 5396 0 0 AMGEN INC COM 031162100 15820 232743 SH SOLE 232743 0 0 AMKOR TECHNOLOGY INC COM 031652100 1051 171081 SH SOLE 171081 0 0 AMERIPRISE FINL INC COM 03076C106 1274 22297 SH SOLE 22297 0 0 AMERICAN TOWER CORP NEW COM 03027X100 5164 81943 SH SOLE 81943 0 0 TD AMERITRADE HLDG CORP COM 87236Y108 532 26957 SH SOLE 26957 0 0 AMERICA MOVIL SAB DE CV SPON COM 02364W105 3811 153473 SH SOLE 153473 0 0 AMAZON COM INC COM 023135106 21347 105414 SH SOLE 105414 0 0 AMAZON COM INC OPTION 023135106 541 1950 SH PUT SOLE 1950 0 0 ABERCROMBIE & FITCH CO COM 002896207 1885 37987 SH SOLE 37987 0 0 ALPHA NATURAL RESOURCES INC COM 02076X102 844 55510 SH SOLE 55510 0 0 ANSYS INC COM 03662Q105 225 3460 SH SOLE 3460 0 0 AON CORP COM 037389103 1979 40346 SH SOLE 40346 0 0 APACHE CORP COM 037411105 7663 76290 SH SOLE 76290 0 0 APACHE CORP OPTION 037411105 444 1049 SH PUT SOLE 1049 0 0 ANADARKO PETE CORP COM 032511107 9180 117184 SH SOLE 117184 0 0 ANADARKO PETE CORP OPTION 032511107 262 400 SH CALL SOLE 400 0 0 ANADARKO PETE CORP OPTION 032511107 1209 3650 SH PUT SOLE 3650 0 0 AIR PRODS & CHEMS INC COM 009158106 305 3324 SH SOLE 3324 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page4 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- AMPHENOL CORP NEW COM 032095101 276 4617 SH SOLE 4617 0 0 APOLLO GLOBAL MGMT LLC COM 037612306 44982 3150000 SH SOLE 3150000 0 0 APOLLO GROUP INC COM 037604105 5311 137445 SH SOLE 137445 0 0 APOLLO GROUP INC OPTION 037604105 580 2000 SH PUT SOLE 2000 0 0 ARIBA INC COM 04033V203 1909 58362 SH SOLE 58362 0 0 ARES CAP CORP COM 04010L103 375 22924 SH SOLE 22924 0 0 ALEXANDRIA REAL ESTATE EQ IN COM 015271109 776 10610 SH SOLE 10610 0 0 AEROPOSTALE COM 007865108 2890 133660 SH SOLE 133660 0 0 ARRIS GROUP INC BOND CV 04269QAC4 39456 384000 PRN SOLE 384000 0 0 ARTIO GLOBAL INVS INC COM COM 04315B107 66 13809 SH SOLE 13809 0 0 ASSOCIATED BANC CORP COM 045487105 253 18129 SH SOLE 18129 0 0 ASML HOLDING N V NY REG SHS COM N07059186 1741 34726 SH SOLE 34726 0 0 ADVANCED SEMICONDUCTOR ENGR COM 00756M404 346 67534 SH SOLE 67534 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 1449 35187 SH SOLE 35187 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 1466 29251 SH SOLE 29251 0 0 ATMEL CORP COM 049513104 642 65092 SH SOLE 65092 0 0 ACTIVISION BLIZZARD INC COM 00507V109 993 77489 SH SOLE 77489 0 0 ATWOOD OCEANICS INC COM 050095108 1473 32808 SH SOLE 32808 0 0 AU OPTRONICS CORP COM 002255107 4206 922355 SH SOLE 922355 0 0 YAMANA GOLD INC COM 98462Y100 782 50084 SH SOLE 50084 0 0 AVISTA CORP COM 05379B107 400 15624 SH SOLE 15624 0 0 AVALONBAY CMNTYS INC COM 053484101 2364 16721 SH SOLE 16721 0 0 AVAGO TECHNOLOGIES LTD SHS COM Y0486S104 2494 64005 SH SOLE 64005 0 0 AVALON RARE METALS INC COM 053470100 48 16130 SH SOLE 16130 0 0 AVON PRODS INC COM 054303102 5281 272802 SH SOLE 272802 0 0 AVX CORP NEW COM 002444107 191 14426 SH SOLE 14426 0 0 AVERY DENNISON CORP COM 053611109 424 14062 SH SOLE 14062 0 0 ALLIED WRLD ASSUR COM HLDG A S COM H01531104 269 3924 SH SOLE 3924 0 0 AMERICAN WTR WKS CO INC NEW COM 030420103 1916 56303 SH SOLE 56303 0 0 AMERICAN EXPRESS CO COM 025816109 10443 180496 SH SOLE 180496 0 0 AMERICAN EXPRESS CO OPTION 025816109 293 10155 SH PUT SOLE 10155 0 0 AMERICAN EXPRESS CO OPTION 025816109 938 1081 SH CALL SOLE 1081 0 0 AXIS CAPITAL HOLDINGS SHS COM G0692U109 430 12961 SH SOLE 12961 0 0 AUTOZONE INC COM 053332102 4295 11551 SH SOLE 11551 0 0 BOEING CO COM 097023105 10391 139725 SH SOLE 139725 0 0 BOEING CO OPTION 097023105 312 600 SH CALL SOLE 600 0 0 BOEING CO OPTION 097023105 971 5950 SH PUT SOLE 5950 0 0 BANK OF AMERICA CORPORATION COM 060505104 46461 4854820 SH SOLE 4854820 0 0 BANK OF AMERICA CORPORATION OPTION 060505104 635 5750 SH CALL SOLE 5750 0 0 BANK OF AMERICA CORPORATION OPTION 060505104 11159 22350 SH PUT SOLE 22350 0 0 BROOKFIELD ASSET MGMT INC COM 112585104 1181 37396 SH SOLE 37396 0 0 BAXTER INTL INC COM 071813109 2266 37900 SH SOLE 37900 0 0 BAXTER INTL INC OPTION 071813109 838 1822 SH CALL SOLE 1822 0 0 BED BATH & BEYOND INC COM 075896100 1629 24775 SH SOLE 24775 0 0 BANCO BRADESCO S A SP COM 059460303 5395 308312 SH SOLE 308312 0 0 BARRETT BILL CORP BOND CV 06846NAA2 3500 35000 PRN SOLE 35000 0 0 BB&T CORP COM 054937107 4041 128732 SH SOLE 128732 0 0 BB&T CORP OPTION 054937107 632 12000 SH PUT SOLE 12000 0 0 BB&T CORP OPTION 054937107 680 2000 SH CALL SOLE 2000 0 0 BEST BUY INC COM 086516101 1405 59330 SH SOLE 59330 0 0 BEST BUY INC OPTION 086516101 258 6583 SH PUT SOLE 6583 0 0 BRUNSWICK CORP COM 117043109 4424 171798 SH SOLE 171798 0 0 BCE INC COM 05534B760 2977 74303 SH SOLE 74303 0 0 BRANDYWINE RLTY TR SH BEN INT COM 105368203 272 23692 SH SOLE 23692 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page5 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- BECTON DICKINSON & CO COM 075887109 4156 53517 SH SOLE 53517 0 0 FRANKLIN RES INC COM 354613101 4011 32341 SH SOLE 32341 0 0 BUNGE LIMITED COM G16962105 8684 126885 SH SOLE 126885 0 0 BUNGE LIMITED OPTION G16962105 338 523 SH CALL SOLE 523 0 0 BRIGGS & STRATTON CORP COM 109043109 181 10098 SH SOLE 10098 0 0 BAKER HUGHES INC COM 057224107 6824 162720 SH SOLE 162720 0 0 BAKER HUGHES INC OPTION 057224107 958 2666 SH PUT SOLE 2666 0 0 BHP BILLITON LTD COM 088606108 795 10976 SH SOLE 10976 0 0 BAIDU INC SPON COM 056752108 28381 194698 SH SOLE 194698 0 0 BAIDU INC SPON OPTION 056752108 558 600 SH PUT SOLE 600 0 0 BOULDER GROWTH & INCOME FD I COM 101507101 139 22150 SH SOLE 22150 0 0 BIG LOTS INC COM 089302103 647 15050 SH SOLE 15050 0 0 BIOGEN IDEC INC COM 09062X103 7754 61539 SH SOLE 61539 0 0 BIOGEN IDEC INC OPTION 09062X103 211 1000 SH PUT SOLE 1000 0 0 SPDR SERIES TRUST BRCLYS 1-3MT COM 78464A680 5180 113058 SH SOLE 113058 0 0 PROGRESSIVE WASTE SOLUTIONS COM 74339G101 363 16722 SH SOLE 16722 0 0 BANK OF NEW YORK MELLON CORP COM 064058100 2866 118780 SH SOLE 118780 0 0 BANK OF NEW YORK MELLON CORP OPTION 064058100 264 2600 SH CALL SOLE 2600 0 0 BROOKDALE SR LIVING INC COM 112463104 524 27984 SH SOLE 27984 0 0 BLACK HILLS CORP COM 092113109 542 16163 SH SOLE 16163 0 0 BUCKEYE TECHNOLOGIES INC COM 118255108 281 8269 SH SOLE 8269 0 0 BELO CORP COM SER A COM 080555105 1106 154217 SH SOLE 154217 0 0 BLACKROCK INC COM 09247X101 2341 11426 SH SOLE 11426 0 0 BMC SOFTWARE INC COM 055921100 6024 150000 SH SOLE 150000 0 0 BANK MONTREAL QUE COM 063671101 3722 62632 SH SOLE 62632 0 0 BIOMED REALTY TRUST INC COM 09063H107 210 11057 SH SOLE 11057 0 0 BIOMARIN PHARMACEUTICAL INC COM 09061G101 330 9639 SH SOLE 9639 0 0 BIOMARIN PHARMACEUTICAL INC BOND CV 09061GAD3 891250 5000000 PRN SOLE 5000000 0 0 BEMIS INC COM 081437105 206 6388 SH SOLE 6388 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 7253 214907 SH SOLE 214907 0 0 BRISTOL MYERS SQUIBB CO OPTION 110122108 1592 4816 SH CALL SOLE 4816 0 0 BANK NOVA SCOTIA HALIFAX COM 064149107 5726 102169 SH SOLE 102169 0 0 BANK HAWAII CORP COM 062540109 944 19529 SH SOLE 19529 0 0 BOK FINL CORP COM 05561Q201 247 4388 SH SOLE 4388 0 0 BP PLC COM 055622104 710 15779 SH SOLE 15779 0 0 BROOKFIELD OFFICE PPTYS INC COM 112900105 203 11633 SH SOLE 11633 0 0 POPULAR INC COM 733174106 297 144753 SH SOLE 144753 0 0 BRO COM 11133T103 613 25650 SH SOLE 25650 0 0 BROCADE COMMUNICATIONS SYS I COM 111621306 193 33547 SH SOLE 33547 0 0 BROADCOM CORP COM 111320107 5129 130497 SH SOLE 130497 0 0 BROADCOM CORP OPTION 111320107 340 3361 SH CALL SOLE 3361 0 0 BRE PROPERTIES INC COM 05564E106 653 12923 SH SOLE 12923 0 0 BRF-BRASIL FOODS S A COM 10552T107 7669 383238 SH SOLE 383238 0 0 BERKSHIRE HATHAWAY INC DEL COM 084670108 10727 88 SH SOLE 88 0 0 BERKSHIRE HATHAWAY INC DEL CL BCOM 084670702 33225 409422 SH SOLE 409422 0 0 BERKSHIRE HATHAWAY INC DEL CL BOPTION 084670702 739 4170 SH PUT SOLE 4170 0 0 BRUKER CORP COM 116794108 210 13715 SH SOLE 13715 0 0 BROWN & BROWN INC COM 115236101 301 12640 SH SOLE 12640 0 0 BOSTON SCIENTIFIC CORP COM 101137107 1759 294214 SH SOLE 294214 0 0 BAYTEX ENERGY CORP COM 07317Q105 283 5450 SH SOLE 5450 0 0 PEABODY ENERGY CORP COM 704549104 5371 185450 SH SOLE 185450 0 0 BORGWARNER INC COM 099724106 1598 18949 SH SOLE 18949 0 0 BOSTON PROPERTIES INC COM 101121101 5191 49447 SH SOLE 49447 0 0 BOYD GAMING CORP COM 103304101 3498 446198 SH SOLE 446198 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page6 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- BEAZER HOMES USA INC COM 07556Q105 1309 402750 SH SOLE 402750 0 0 CITIGROUP INC COM 172967424 21323 583391 SH SOLE 583391 0 0 CITIGROUP INC OPTION 172967424 2812 23695 SH PUT SOLE 23695 0 0 CITIGROUP INC OPTION 172967424 2314 7500 SH CALL SOLE 7500 0 0 CA INC COM 12673P105 2031 73683 SH SOLE 73683 0 0 CREDIT ACCEP CORP MICH COM 225310101 291 2879 SH SOLE 2879 0 0 CAE INC COM 124765108 121 11853 SH SOLE 11853 0 0 CONAGRA FOODS INC COM 205887102 1271 48407 SH SOLE 48407 0 0 CARDINAL HEALTH INC COM 14149Y108 487 11291 SH SOLE 11291 0 0 CHEESECAKE FACTORY INC COM 163072101 584 19871 SH SOLE 19871 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 504 9538 SH SOLE 9538 0 0 CATERPILLAR INC DEL COM 149123101 19950 187289 SH SOLE 187289 0 0 CATERPILLAR INC DEL OPTION 149123101 1426 5325 SH PUT SOLE 5325 0 0 CATERPILLAR INC DEL OPTION 149123101 1115 700 SH CALL SOLE 700 0 0 CAVIUM INC COM 14964U108 474 15310 SH SOLE 15310 0 0 CHUBB CORP COM 171232101 4531 65563 SH SOLE 65563 0 0 COMPANHIA BRASILEIRA DE DIST S COM 20440T201 251 5273 SH SOLE 5273 0 0 CBRE GROUP INC COM 12504L109 1347 67477 SH SOLE 67477 0 0 CHICAGO BRIDGE & IRON CO N V N COM 167250109 1037 24010 SH SOLE 24010 0 0 CBS CORP NEW CL B COM 124857202 1194 35208 SH SOLE 35208 0 0 CBS CORP NEW CL B OPTION 124857202 267 2900 SH PUT SOLE 2900 0 0 COMMERCE BANCSHARES INC COM 200525103 327 8072 SH SOLE 8072 0 0 CUBIST PHARMACEUTICALS INC COM 229678107 902 20864 SH SOLE 20864 0 0 CALGON CARBON CORP COM 129603106 359 22976 SH SOLE 22976 0 0 COCA COLA ENTERPRISES INC NE COM 19122T109 368 12870 SH SOLE 12870 0 0 CROWN CASTLE INTL CORP COM 228227104 1633 30610 SH SOLE 30610 0 0 CAMECO CORP COM 13321L108 2733 127190 SH SOLE 127190 0 0 CAMECO CORP OPTION 13321L108 318 650 SH CALL SOLE 650 0 0 CAMECO CORP OPTION 13321L108 240 650 SH PUT SOLE 650 0 0 CARNIVAL CORP PAIRED CTF COM 143658300 1557 48543 SH SOLE 48543 0 0 CARNIVAL CORP PAIRED CTF OPTION 143658300 240 2000 SH PUT SOLE 2000 0 0 CLEAR CHANNEL OUTDOOR HLDGS COM 18451C109 106 13264 SH SOLE 13264 0 0 CADENCE DESIGN SYSTEM INC COM 127387108 1332 112482 SH SOLE 112482 0 0 CENTRAL EUROPEAN DIST CORP BOND CV 153435AA0 1060 12000 PRN SOLE 12000 0 0 CELGENE CORP COM 151020104 11173 144134 SH SOLE 144134 0 0 CNOOC LTD COM 126132109 4176 20442 SH SOLE 20442 0 0 CERNER CORP COM 156782104 1579 20732 SH SOLE 20732 0 0 CF INDS HLDGS INC COM 125269100 4809 26331 SH SOLE 26331 0 0 CAPITOL FED FINL INC COM 14057J101 217 18231 SH SOLE 18231 0 0 CULLEN FROST BANKERS INC COM 229899109 647 11123 SH SOLE 11123 0 0 CGG VERITAS COM 204386106 3460 116275 SH SOLE 116275 0 0 CHEMED CORP NEW COM 16359R103 796 12704 SH SOLE 12704 0 0 CHESAPEAKE ENERGY CORP COM 165167107 4198 181196 SH SOLE 181196 0 0 CHESAPEAKE ENERGY CORP OPTION 165167107 875 4750 SH PUT SOLE 4750 0 0 CHESAPEAKE ENERGY CORP BOND CV 165167CA3 190947 2107000 PRN SOLE 2107000 0 0 CHESAPEAKE ENERGY CORP BOND CV 165167BW6 157800 1600000 PRN SOLE 1600000 0 0 CHECK POINT SOFTWARE TECH LT COM M22465104 968 15161 SH SOLE 15161 0 0 CHINA MOBILE LIMITED COM 16941M109 1470 26694 SH SOLE 26694 0 0 C H ROBINSON WORLDWIDE INC COM 12541W209 3154 48159 SH SOLE 48159 0 0 CHICOS FAS INC COM 168615102 226 14955 SH SOLE 14955 0 0 CHUNGHWA TELECOM CO LTD SPON COM 17133Q502 2155 70044 SH SOLE 70044 0 0 CIGNA CORPORATION COM 125509109 334 6782 SH SOLE 6782 0 0 CIENA CORP COM 171779309 1807 111614 SH SOLE 111614 0 0 COMPANHIA ENERGETICA DE MINA SPCOM 204409601 2255 94840 SH SOLE 94840 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page7 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- CHIMERA INVT CORP COM 16934Q109 391 138198 SH SOLE 138198 0 0 CINCINNATI FINL CORP COM 172062101 2229 64587 SH SOLE 64587 0 0 CIT GROUP INC COM 125581801 817 19821 SH SOLE 19821 0 0 COLGATE PALMOLIVE CO COM 194162103 3496 35754 SH SOLE 35754 0 0 COLGATE PALMOLIVE CO OPTION 194162103 1326 1092 SH CALL SOLE 1092 0 0 CORE LABORATORIES N V COM N22717107 261 1982 SH SOLE 1982 0 0 CLOUD PEAK ENERGY INC COM 18911Q102 642 40312 SH SOLE 40312 0 0 CLIFFS NATURAL RESOURCES INC COM 18683K101 865 12486 SH SOLE 12486 0 0 CORELOGIC INC COM 21871D103 165 10081 SH SOLE 10081 0 0 CLEAN HARBORS INC COM 184496107 1847 27430 SH SOLE 27430 0 0 MACK CALI RLTY CORP COM 554489104 436 15135 SH SOLE 15135 0 0 CONTINENTAL RESOURCES INC COM 212015101 812 9467 SH SOLE 9467 0 0 CLEARWATER PAPER CORP COM 18538R103 499 15037 SH SOLE 15037 0 0 CLEARWIRE CORP NEW COM 18538Q105 880 386002 SH SOLE 386002 0 0 CLOROX CO DEL COM 189054109 1016 14780 SH SOLE 14780 0 0 CDN IMPERIAL BK OF COMMERCE COM 136069101 2156 28192 SH SOLE 28192 0 0 COMERICA INC COM 200340107 807 24932 SH SOLE 24932 0 0 COMERICA INC OPTION 200340107 770 2200 SH CALL SOLE 2200 0 0 COMMERCIAL METALS CO COM 201723103 197 13261 SH SOLE 13261 0 0 COMCAST CORP NEW COM 20030N101 12646 421408 SH SOLE 421408 0 0 CME GROUP INC COM 12572Q105 4704 16259 SH SOLE 16259 0 0 CME GROUP INC OPTION 12572Q105 738 1205 SH PUT SOLE 1205 0 0 CME GROUP INC OPTION 12572Q105 1280 400 SH CALL SOLE 400 0 0 CHIPOTLE MEXICAN GRILL INC COM 169656105 2098 5020 SH SOLE 5020 0 0 CUMMINS INC COM 231021106 8222 68493 SH SOLE 68493 0 0 CUMMINS INC OPTION 231021106 653 550 SH CALL SOLE 550 0 0 CUMMINS INC OPTION 231021106 1082 2550 SH PUT SOLE 2550 0 0 CMS ENERGY CORP COM 125896100 515 23414 SH SOLE 23414 0 0 CNA FINL CORP COM 126117100 1421 48432 SH SOLE 48432 0 0 CNH GLOBAL N V SHS COM N20935206 2200 55411 SH SOLE 55411 0 0 CANADIAN NATL RY CO COM 136375102 3805 47901 SH SOLE 47901 0 0 CINEMARK HOLDINGS INC COM 17243V102 328 14964 SH SOLE 14964 0 0 CLECO CORP NEW COM 12561W105 499 12574 SH SOLE 12574 0 0 CENTERPOINT ENERGY INC COM 15189T107 429 21750 SH SOLE 21750 0 0 CANADIAN NAT RES LTD COM 136385101 2808 84620 SH SOLE 84620 0 0 CONSOL ENERGY INC COM 20854P109 2866 84058 SH SOLE 84058 0 0 CAPITAL ONE FINL CORP COM 14040H105 3236 58061 SH SOLE 58061 0 0 CABOT OIL & GAS CORP COM 127097103 2300 73781 SH SOLE 73781 0 0 COACH INC COM 189754104 7373 95411 SH SOLE 95411 0 0 COACH INC OPTION 189754104 719 5100 SH PUT SOLE 5100 0 0 COACH INC OPTION 189754104 415 262 SH CALL SOLE 262 0 0 ROCKWELL COLLINS INC COM 774341101 2327 40435 SH SOLE 40435 0 0 CONOCOPHILLIPS COM 20825C104 7596 99935 SH SOLE 99935 0 0 CONOCOPHILLIPS OPTION 20825C104 336 3106 SH PUT SOLE 3106 0 0 CONOCOPHILLIPS OPTION 20825C104 5750 3003 SH CALL SOLE 3003 0 0 COSTCO WHSL CORP NEW COM 22160K105 7577 83448 SH SOLE 83448 0 0 COVIDIEN PLC SHS COM G2554F113 3069 56123 SH SOLE 56123 0 0 COVIDIEN PLC SHS OPTION G2554F113 200 4000 SH PUT SOLE 4000 0 0 CANADIAN PAC RY LTD COM 13645T100 1329 17492 SH SOLE 17492 0 0 CAMPBELL SOUP CO COM 134429109 356 10528 SH SOLE 10528 0 0 CPFL ENERGIA S A COM 126153105 786 25990 SH SOLE 25990 0 0 CALPINE CORP COM 131347304 2029 117920 SH SOLE 117920 0 0 CAMDEN PPTY TR SH BEN INT COM 133131102 901 13704 SH SOLE 13704 0 0 CONCEPTUS INC COM 206016107 215 14963 SH SOLE 14963 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page8 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- COMPUWARE CORP COM 205638109 181 19706 SH SOLE 19706 0 0 CREE INC COM 225447101 1560 49331 SH SOLE 49331 0 0 SALESFORCE COM INC COM 79466L302 7803 50504 SH SOLE 50504 0 0 SALESFORCE COM INC OPTION 79466L302 671 1100 SH PUT SOLE 1100 0 0 CIRRUS LOGIC INC COM 172755100 302 12710 SH SOLE 12710 0 0 COGDELL SPENCER INC COM 19238U107 354 83481 SH SOLE 83481 0 0 COMPUTER SCIENCES CORP COM 205363104 551 18407 SH SOLE 18407 0 0 CISCO SYS INC COM 17275R102 16858 797050 SH SOLE 797050 0 0 CISCO SYS INC OPTION 17275R102 838 18430 SH PUT SOLE 18430 0 0 CISCO SYS INC OPTION 17275R102 457 5207 SH CALL SOLE 5207 0 0 CAPITALSOURCE INC COM 14055X102 170 25738 SH SOLE 25738 0 0 CASH AMER INTL INC COM 14754D100 746 15557 SH SOLE 15557 0 0 COINSTAR INC COM 19259P300 266 4190 SH SOLE 4190 0 0 CSX CORP COM 126408103 4413 205072 SH SOLE 205072 0 0 CSX CORP OPTION 126408103 519 6956 SH PUT SOLE 6956 0 0 CINTAS CORP COM 172908105 603 15408 SH SOLE 15408 0 0 COOPER TIRE & RUBR CO COM 216831107 2580 169519 SH SOLE 169519 0 0 CENTURYLINK INC COM 156700106 4017 103942 SH SOLE 103942 0 0 CTRIP COM INTL LTD AMERICAN DE COM 22943F100 285 13150 SH SOLE 13150 0 0 COGNIZANT TECHNOLOGY SOLUTIO COM 192446102 7253 94252 SH SOLE 94252 0 0 COGNIZANT TECHNOLOGY SOLUTIO OPTION 192446102 440 4050 SH PUT SOLE 4050 0 0 CITRIX SYS INC COM 177376100 4863 61631 SH SOLE 61631 0 0 COVANTA HLDG CORP COM 22282E102 1468 90479 SH SOLE 90479 0 0 CABLEVISION SYS CORP COM 12686C109 1917 130557 SH SOLE 130557 0 0 CENOVUS ENERGY INC COM 15135U109 1902 52919 SH SOLE 52919 0 0 CONVERGYS CORP COM 212485106 251 18800 SH SOLE 18800 0 0 CVS CAREMARK CORPORATION COM 126650100 6000 133924 SH SOLE 133924 0 0 CHEVRON CORP NEW COM 166764100 16946 158066 SH SOLE 158066 0 0 CHEVRON CORP NEW OPTION 166764100 236 2274 SH PUT SOLE 2274 0 0 CHEVRON CORP NEW OPTION 166764100 2639 838 SH CALL SOLE 838 0 0 COMMONWEALTH REIT COM SH BEN I COM 203233101 275 14786 SH SOLE 14786 0 0 CALIFORNIA WTR SVC GROUP COM 130788102 331 18181 SH SOLE 18181 0 0 CEMEX SAB DE CV SPON COM 151290889 9091 1171569 SH SOLE 1171569 0 0 CONCHO RES INC COM 20605P101 483 4736 SH SOLE 4736 0 0 CREXUS INVT CORP COM 226553105 1836 177557 SH SOLE 177557 0 0 CYPRESS SEMICONDUCTOR CORP COM 232806109 603 38603 SH SOLE 38603 0 0 COMMUNITY HEALTH SYS INC NEW COM 203668108 3890 174912 SH SOLE 174912 0 0 CYMER INC COM 232572107 1176 23524 SH SOLE 23524 0 0 CITY NATL CORP COM 178566105 237 4515 SH SOLE 4515 0 0 COSAN LTD SHS A COM G25343107 157 10596 SH SOLE 10596 0 0 DOMINION RES INC VA NEW COM 25746U109 8452 165040 SH SOLE 165040 0 0 DOMINION RES INC VA NEW OPTION 25746U109 589 1000 SH PUT SOLE 1000 0 0 DELTA AIR LINES INC DEL COM 247361702 239 24129 SH SOLE 24129 0 0 E-COMMERCE CHINA DANGDANG IN S COM 26833A105 160 19790 SH SOLE 19790 0 0 DARLING INTL INC COM 237266101 2200 126309 SH SOLE 126309 0 0 POWERSHARES DB CMDTY IDX TRA U COM 73935S105 813 28212 SH SOLE 28212 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 5257 99369 SH SOLE 99369 0 0 DU PONT E I DE NEMOURS & CO OPTION 263534109 464 6500 SH PUT SOLE 6500 0 0 DDR CORP COM 23317H102 557 38182 SH SOLE 38182 0 0 DILLARDS INC OPTION 254067101 828 5100 SH CALL SOLE 5100 0 0 DEERE & CO COM 244199105 14269 176380 SH SOLE 176380 0 0 DEERE & CO OPTION 244199105 222 500 SH CALL SOLE 500 0 0 DEERE & CO OPTION 244199105 1107 3500 SH PUT SOLE 3500 0 0 DECKERS OUTDOOR CORP COM 243537107 1831 29046 SH SOLE 29046 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page9 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- ETABLISSEMENTS DELHAIZE FRER COM 29759W101 388 7376 SH SOLE 7376 0 0 DOUGLAS EMMETT INC COM 25960P109 832 36463 SH SOLE 36463 0 0 DELL INC COM 24702R101 9747 587355 SH SOLE 587355 0 0 DELL INC OPTION 24702R101 1277 24842 SH PUT SOLE 24842 0 0 DELL INC OPTION 24702R101 1044 7875 SH CALL SOLE 7875 0 0 DEAN FOODS CO NEW COM 242370104 673 55571 SH SOLE 55571 0 0 DELPHI FINL GROUP INC COM 247131105 8357 186666 SH SOLE 186666 0 0 DISCOVER FINL SVCS COM 254709108 1829 54867 SH SOLE 54867 0 0 D R HORTON INC COM 23331A109 400 26336 SH SOLE 26336 0 0 DANAHER CORP DEL COM 235851102 830 14816 SH SOLE 14816 0 0 SPDR DOW JONES INDL AVRG ETF U COM 78467X109 63139 479050 SH SOLE 479050 0 0 SPDR DOW JONES INDL AVRG ETF U OPTION 78467X109 4853 4700 SH CALL SOLE 4700 0 0 SPDR DOW JONES INDL AVRG ETF U OPTION 78467X109 250 500 SH PUT SOLE 500 0 0 DIODES INC COM 254543101 202 8716 SH SOLE 8716 0 0 DISNEY WALT CO COM DISNEY COM 254687106 3605 82343 SH SOLE 82343 0 0 DISNEY WALT CO COM DISNEY OPTION 254687106 923 1187 SH CALL SOLE 1187 0 0 DISCOVERY COMMUNICATNS NEW COM COM 25470F104 351 6932 SH SOLE 6932 0 0 DISH NETWORK CORP COM 25470M109 1516 46037 SH SOLE 46037 0 0 DISH NETWORK CORP OPTION 25470M109 530 2000 SH PUT SOLE 2000 0 0 DICKS SPORTING GOODS INC COM 253393102 6056 125949 SH SOLE 125949 0 0 DOLBY LABORATORIES INC COM 25659T107 402 10554 SH SOLE 10554 0 0 DFC GLOBAL CORP COM 23324T107 324 17173 SH SOLE 17173 0 0 DIGITAL RLTY TR INC COM 253868103 1335 18052 SH SOLE 18052 0 0 DOLLAR TREE INC COM 256746108 2482 26272 SH SOLE 26272 0 0 DELUXE CORP COM 248019101 968 41311 SH SOLE 41311 0 0 DUN & BRADSTREET CORP DEL NE COM 26483E100 1785 21062 SH SOLE 21062 0 0 DENBURY RES INC COM 247916208 424 23255 SH SOLE 23255 0 0 DIAMOND OFFSHORE DRILLING IN COM 25271C102 3285 49220 SH SOLE 49220 0 0 DIAMOND OFFSHORE DRILLING IN OPTION 25271C102 213 3000 SH PUT SOLE 3000 0 0 DOVER CORP COM 260003108 1261 20030 SH SOLE 20030 0 0 DOW CHEM CO COM 260543103 4583 132315 SH SOLE 132315 0 0 DOW CHEM CO OPTION 260543103 1411 13067 SH PUT SOLE 13067 0 0 DOW CHEM CO OPTION 260543103 823 2567 SH CALL SOLE 2567 0 0 AMDOCS LTD COM G02602103 874 27671 SH SOLE 27671 0 0 DOW 30SM ENHANCED PREM & INC COM 260537105 407 36214 SH SOLE 36214 0 0 DOMINOS PIZZA INC COM 25754A201 437 12026 SH SOLE 12026 0 0 DRESSER-RAND GROUP INC COM 261608103 1059 22825 SH SOLE 22825 0 0 DUKE REALTY CORP COM 264411505 957 66764 SH SOLE 66764 0 0 DARDEN RESTAURANTS INC COM 237194105 3169 61943 SH SOLE 61943 0 0 DRYSHIPS INC SHS COM Y2109Q101 261 75000 SH SOLE 75000 0 0 DTE ENERGY CO COM 233331107 2067 37554 SH SOLE 37554 0 0 DIRECTV COM COM 25490A101 3594 72838 SH SOLE 72838 0 0 DUKE ENERGY CORP NEW COM 26441C105 9126 434357 SH SOLE 434357 0 0 DEVRY INC DEL COM 251893103 922 27224 SH SOLE 27224 0 0 DAVITA INC COM 23918K108 473 5250 SH SOLE 5250 0 0 DEVON ENERGY CORP NEW COM 25179M103 1731 24344 SH SOLE 24344 0 0 ELECTRONIC ARTS INC COM 285512109 468 28418 SH SOLE 28418 0 0 BRINKER INTL INC COM 109641100 5700 206902 SH SOLE 206902 0 0 EBAY INC COM 278642103 19616 531586 SH SOLE 531586 0 0 EBAY INC OPTION 278642103 484 8996 SH PUT SOLE 8996 0 0 EBAY INC OPTION 278642103 1835 4681 SH CALL SOLE 4681 0 0 CENTRAIS ELETRICAS BRASILEIR COM 15234Q207 458 48926 SH SOLE 48926 0 0 ENCANA CORP COM 292505104 1022 52018 SH SOLE 52018 0 0 ECOLAB INC COM 278865100 2298 37235 SH SOLE 37235 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page10 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- CONSOLIDATED EDISON INC COM 209115104 2728 46690 SH SOLE 46690 0 0 CONSOLIDATED EDISON INC OPTION 209115104 302 750 SH PUT SOLE 750 0 0 ISHARES TR MSCI EMERG MKT COM 464287234 197768 4605137 SH SOLE 4605137 0 0 ISHARES TR MSCI EMERG MKT OPTION 464287234 1840 44250 SH CALL SOLE 44250 0 0 ISHARES TR MSCI EMERG MKT OPTION 464287234 23428 45500 SH PUT SOLE 45500 0 0 ISHARES TR MSCI EAFE INDEX COM 464287465 116529 2122948 SH SOLE 2122948 0 0 ISHARES TR MSCI EAFE INDEX OPTION 464287465 1255 21250 SH CALL SOLE 21250 0 0 ISHARES TR MSCI EAFE INDEX OPTION 464287465 258 2000 SH PUT SOLE 2000 0 0 EQUIFAX INC COM 294429105 573 12945 SH SOLE 12945 0 0 ENERGEN CORP COM 29265N108 388 7903 SH SOLE 7903 0 0 ELDORADO GOLD CORP NEW COM 284902103 773 56267 SH SOLE 56267 0 0 VAALCO ENERGY INC COM 91851C201 321 33962 SH SOLE 33962 0 0 EDISON INTL COM 281020107 1854 43623 SH SOLE 43623 0 0 LAUDER ESTEE COS INC COM 518439104 1949 31474 SH SOLE 31474 0 0 EARTHLINK INC COM 270321102 458 57342 SH SOLE 57342 0 0 CALLAWAY GOLF CO COM 131193104 339 50148 SH SOLE 50148 0 0 E M C CORP MASS COM 268648102 3779 126473 SH SOLE 126473 0 0 E M C CORP MASS OPTION 268648102 328 13800 SH PUT SOLE 13800 0 0 E M C CORP MASS OPTION 268648102 1088 2178 SH CALL SOLE 2178 0 0 E M C CORP MASS BOND CV 268648AM4 5538625 29500000 PRN SOLE 29500000 0 0 EASTMAN CHEM CO COM 277432100 821 15883 SH SOLE 15883 0 0 EMERSON ELEC CO COM 291011104 6154 117929 SH SOLE 117929 0 0 EMERSON ELEC CO OPTION 291011104 310 2600 SH PUT SOLE 2600 0 0 ENBRIDGE INC COM 29250N105 2400 61782 SH SOLE 61782 0 0 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 991 25584 SH SOLE 25584 0 0 ENDURANCE SPECIALTY HLDGS LT S COM G30397106 228 5598 SH SOLE 5598 0 0 ENERSIS S A COM 29274F104 531 26284 SH SOLE 26284 0 0 REED ELSEVIER N V SPONS COM 758204200 3639 142524 SH SOLE 142524 0 0 EOG RES INC COM 26875P101 6565 59088 SH SOLE 59088 0 0 EL PASO CORP COM 28336L109 41287 1397175 SH SOLE 1397175 0 0 EQUINIX INC BOND CV 29444UAG1 751875 5000000 PRN SOLE 5000000 0 0 EQUITY RESIDENTIAL SH BEN INT COM 29476L107 3201 51120 SH SOLE 51120 0 0 EQT CORP COM 26884L109 1532 31772 SH SOLE 31772 0 0 ENERPLUS CORP COM 292766102 280 12482 SH SOLE 12482 0 0 ERIE INDTY CO COM 29530P102 335 4301 SH SOLE 4301 0 0 ITT EDUCATIONAL SERVICES INC COM 45068B109 205 3107 SH SOLE 3107 0 0 EXPRESS SCRIPTS INC COM 302182100 7848 144855 SH SOLE 144855 0 0 ESSEX PPTY TR INC COM 297178105 889 5870 SH SOLE 5870 0 0 E TRADE FINANCIAL CORP COM 269246401 399 36401 SH SOLE 36401 0 0 EATON CORP COM 278058102 737 14782 SH SOLE 14782 0 0 ENTERGY CORP NEW COM 29364G103 2249 33468 SH SOLE 33468 0 0 EATON VANCE CORP COM NON VTG COM 278265103 1507 52741 SH SOLE 52741 0 0 EDWARDS LIFESCIENCES CORP COM 28176E108 551 7582 SH SOLE 7582 0 0 EAST WEST BANCORP INC COM 27579R104 570 24703 SH SOLE 24703 0 0 ISHARES INC MSCI HONG KONG COM 464286871 2634 150990 SH SOLE 150990 0 0 ISHARES INC MSCI MALAYSIA COM 464286830 1587 108700 SH SOLE 108700 0 0 ISHARES INC MSCI SINGAPORE COM 464286673 659 51091 SH SOLE 51091 0 0 ISHARES INC MSCI TAIWAN COM 464286731 1959 145997 SH SOLE 145997 0 0 ISHARES INC MSCI MEX INVEST COM 464286822 10395 166269 SH SOLE 166269 0 0 ISHARES INC MSCI MEX INVEST OPTION 464286822 419 1250 SH CALL SOLE 1250 0 0 ISHARES INC MSCI MEX INVEST OPTION 464286822 436 1250 SH PUT SOLE 1250 0 0 ISHARES INC MSCI S KOREA COM 464286772 1117 18768 SH SOLE 18768 0 0 ISHARES INC MSCI BRAZIL COM 464286400 84679 1309600 SH SOLE 1309600 0 0 ISHARES INC MSCI BRAZIL OPTION 464286400 992 13464 SH CALL SOLE 13464 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page11 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- ISHARES INC MSCI BRAZIL OPTION 464286400 8720 30515 SH PUT SOLE 30515 0 0 EXELON CORP COM 30161N101 7691 196145 SH SOLE 196145 0 0 EAGLE MATERIALS INC COM 26969P108 2259 65000 SH SOLE 65000 0 0 EXPEDITORS INTL WASH INC COM 302130109 1522 32727 SH SOLE 32727 0 0 EXPEDIA INC DEL COM 30212P303 1463 43743 SH SOLE 43743 0 0 ISHARES INC MSCI STH AFRCA COM 464286780 9298 134934 SH SOLE 134934 0 0 EZCORP INC COM 302301106 700 21583 SH SOLE 21583 0 0 FORD MTR CO DEL PAR $0.01 COM 345370860 7911 634163 SH SOLE 634163 0 0 FORD MTR CO DEL PAR $0.01 OPTION 345370860 627 7040 SH CALL SOLE 7040 0 0 FORD MTR CO DEL PAR $0.01 OPTION 345370860 758 22558 SH PUT SOLE 22558 0 0 FORD MTR CO DEL BOND CV 345370CF5 314250 2000000 PRN SOLE 2000000 0 0 DIREXION SHS ETF TR DLY FIN BU COM 25459Y694 3591 32901 SH SOLE 32901 0 0 FASTENAL CO COM 311900104 1676 30986 SH SOLE 30986 0 0 DIREXION SHS ETF TR DLY FIN BE COM 25459W144 3498 169400 SH SOLE 169400 0 0 FOREST CITY ENTERPRISES INC COM 345550107 318 20337 SH SOLE 20337 0 0 FELCOR LODGING TR INC COM 31430F101 14022 3895005 SH SOLE 3895005 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 30689 806757 SH SOLE 806757 0 0 FREEPORT-MCMORAN COPPER & GO OPTION 35671D857 3836 10616 SH PUT SOLE 10616 0 0 FREEPORT-MCMORAN COPPER & GO OPTION 35671D857 261 1824 SH CALL SOLE 1824 0 0 FAMILY DLR STORES INC COM 307000109 3385 53485 SH SOLE 53485 0 0 FACTSET RESH SYS INC COM 303075105 447 4509 SH SOLE 4509 0 0 FEDEX CORP COM 31428X106 9571 104079 SH SOLE 104079 0 0 FEDEX CORP OPTION 31428X106 1308 5469 SH PUT SOLE 5469 0 0 FEDEX CORP OPTION 31428X106 1042 1193 SH CALL SOLE 1193 0 0 FIRSTENERGY CORP COM 337932107 3551 77885 SH SOLE 77885 0 0 PHOENIX NEW MEDIA LTD COM 71910C103 111 15135 SH SOLE 15135 0 0 F5 NETWORKS INC COM 315616102 1168 8651 SH SOLE 8651 0 0 FIRST HORIZON NATL CORP COM 320517105 336 32383 SH SOLE 32383 0 0 FORTRESS INVESTMENT GROUP LL COM 34958B106 778 218611 SH SOLE 218611 0 0 FEDERATED INVS INC PA CL B COM 314211103 253 11275 SH SOLE 11275 0 0 FIDELITY NATL INFORMATION SV COM 31620M106 810 24453 SH SOLE 24453 0 0 FISERV INC COM 337738108 2075 29902 SH SOLE 29902 0 0 FIFTH THIRD BANCORP COM 316773100 3310 235697 SH SOLE 235697 0 0 FLEXTRONICS INTL LTD COM Y2573F102 2306 319458 SH SOLE 319458 0 0 FLIR SYS INC COM 302445101 956 37763 SH SOLE 37763 0 0 FLUOR CORP NEW COM 343412102 5507 91727 SH SOLE 91727 0 0 FLUOR CORP NEW OPTION 343412102 360 750 SH CALL SOLE 750 0 0 FLUOR CORP NEW OPTION 343412102 1335 4750 SH PUT SOLE 4750 0 0 FIRSTMERIT CORP COM 337915102 272 16104 SH SOLE 16104 0 0 FOMENTO ECONOMICO MEXICANO S S COM 344419106 4227 51375 SH SOLE 51375 0 0 FNB CORP PA COM 302520101 194 16079 SH SOLE 16079 0 0 FIDELITY NATIONAL FINANCIAL COM 31620R105 414 22988 SH SOLE 22988 0 0 FIRST NIAGARA FINL GP INC COM 33582V108 812 82541 SH SOLE 82541 0 0 FRANCO NEVADA CORP COM 351858105 267 6213 SH SOLE 6213 0 0 FERRO CORP COM 315405100 597 100567 SH SOLE 100567 0 0 FOSSIL INC COM 349882100 377 2855 SH SOLE 2855 0 0 FIRST REP BK SAN FRANCISCO C COM 33616C100 256 7782 SH SOLE 7782 0 0 FEDERAL REALTY INVT TR SH BEN COM 313747206 1137 11751 SH SOLE 11751 0 0 FOREST LABS INC COM 345838106 1890 54488 SH SOLE 54488 0 0 FIRST SOLAR INC COM 336433107 2113 84363 SH SOLE 84363 0 0 FOREST OIL CORP PAR $0.01 COM 346091705 4534 374110 SH SOLE 374110 0 0 FMC TECHNOLOGIES INC COM 30249U101 504 10001 SH SOLE 10001 0 0 FORTINET INC COM 34959E109 1278 46211 SH SOLE 46211 0 0 FRONTIER COMMUNICATIONS CORP COM 35906A108 5552 1331531 SH SOLE 1331531 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page12 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- FULTON FINL CORP PA COM 360271100 219 20844 SH SOLE 20844 0 0 FOSTER WHEELER AG COM H27178104 2568 112844 SH SOLE 112844 0 0 ISHARES TR FTSE CHINA25 IDX COM 464287184 30487 831492 SH SOLE 831492 0 0 ISHARES TR FTSE CHINA25 IDX OPTION 464287184 2282 23755 SH PUT SOLE 23755 0 0 AGL RES INC COM 001204106 862 21985 SH SOLE 21985 0 0 GREAT BASIN GOLD LTD COM 390124105 13 18803 SH SOLE 18803 0 0 GANNETT INC COM 364730101 1016 66269 SH SOLE 66269 0 0 SANOFI RIGHT 12/31/2020 COM 80105N113 388 287412 SH SOLE 287412 0 0 GENERAL DYNAMICS CORP COM 369550108 2040 27804 SH SOLE 27804 0 0 GARDNER DENVER INC COM 365558105 734 11649 SH SOLE 11649 0 0 GABELLI DIVD & INCOME TR COM 36242H104 295 18000 SH SOLE 18000 0 0 MARKET VECTORS ETF TR GOLD MIN COM 57060U100 13788 278329 SH SOLE 278329 0 0 MARKET VECTORS ETF TR GOLD MIN OPTION 57060U100 624 16000 SH CALL SOLE 16000 0 0 MARKET VECTORS ETF TR GOLD MIN OPTION 57060U100 6270 3000 SH PUT SOLE 3000 0 0 GENERAL ELECTRIC CO COM 369604103 48135 2398340 SH SOLE 2398340 0 0 GENERAL ELECTRIC CO OPTION 369604103 311 15500 SH PUT SOLE 15500 0 0 GENERAL ELECTRIC CO OPTION 369604103 324 2040 SH CALL SOLE 2040 0 0 GENON ENERGY INC COM 37244E107 4419 2124745 SH SOLE 2124745 0 0 GOLD FIELDS LTD NEW COM 38059T106 3020 217264 SH SOLE 217264 0 0 GOLDCORP INC NEW COM 380956409 5321 118091 SH SOLE 118091 0 0 GERDAU S A COM 373737105 2258 234470 SH SOLE 234470 0 0 GERDAU S A OPTION 373737105 248 750 SH PUT SOLE 750 0 0 GEORGIA GULF CORP COM PAR$0.01 COM 373200302 702 20128 SH SOLE 20128 0 0 GENERAL GROWTH PPTYS INC NEW COM 370023103 1625 95627 SH SOLE 95627 0 0 GROUPE CGI INC COM 39945C109 237 10616 SH SOLE 10616 0 0 GILDAN ACTIVEWEAR INC COM 375916103 215 7807 SH SOLE 7807 0 0 GILEAD SCIENCES INC COM 375558103 9504 194515 SH SOLE 194515 0 0 GILEAD SCIENCES INC BOND CV 375558AH6 1993272 15072000 PRN SOLE 15072000 0 0 GENERAL MLS INC COM 370334104 3263 82701 SH SOLE 82701 0 0 SPDR GOLD TRUST GOLD SHS COM 78463V107 17809 109848 SH SOLE 109848 0 0 SPDR GOLD TRUST GOLD SHS OPTION 78463V107 3208 14600 SH PUT SOLE 14600 0 0 CORNING INC COM 219350105 7592 539184 SH SOLE 539184 0 0 CORNING INC OPTION 219350105 512 12237 SH PUT SOLE 12237 0 0 GREEN MTN COFFEE ROASTERS IN COM 393122106 278 5941 SH SOLE 5941 0 0 GENCO SHIPPING & TRADING LTD S COM Y2685T107 526 82712 SH SOLE 82712 0 0 GENWORTH FINL INC COM COM 37247D106 4168 500969 SH SOLE 500969 0 0 RANDGOLD RES LTD COM 752344309 369 4194 SH SOLE 4194 0 0 GOOGLE INC COM 38259P508 26122 40736 SH SOLE 40736 0 0 GOOGLE INC OPTION 38259P508 368 716 SH PUT SOLE 716 0 0 GENUINE PARTS CO COM 372460105 1473 23475 SH SOLE 23475 0 0 GLOBAL PMTS INC COM 37940X102 662 13942 SH SOLE 13942 0 0 GEN-PROBE INC NEW COM 36866T103 255 3843 SH SOLE 3843 0 0 GAP INC DEL COM 364760108 8482 324490 SH SOLE 324490 0 0 GOODRICH CORP COM 382388106 28251 225212 SH SOLE 225212 0 0 GARMIN LTD SHS COM H2906T109 1086 23124 SH SOLE 23124 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 9246 74342 SH SOLE 74342 0 0 GOLDMAN SACHS GROUP INC OPTION 38141G104 606 249 SH CALL SOLE 249 0 0 GOLDMAN SACHS GROUP INC OPTION 38141G104 3000 2030 SH PUT SOLE 2030 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 481 42846 SH SOLE 42846 0 0 GOODYEAR TIRE & RUBR CO OPTION 382550101 213 520 SH PUT SOLE 520 0 0 GT ADVANCED TECHNOLOGIES INC COM 36191U106 118 14311 SH SOLE 14311 0 0 GRAINGER W W INC COM 384802104 452 2102 SH SOLE 2102 0 0 HYATT HOTELS CORP COM COM 448579102 4283 100262 SH SOLE 100262 0 0 HALLIBURTON CO COM 406216101 13250 399216 SH SOLE 399216 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page13 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- HALLIBURTON CO OPTION 406216101 347 1569 SH CALL SOLE 1569 0 0 HALLIBURTON CO OPTION 406216101 2229 11759 SH PUT SOLE 11759 0 0 HARMAN INTL INDS INC COM 413086109 369 7886 SH SOLE 7886 0 0 HASBRO INC COM 418056107 1215 33096 SH SOLE 33096 0 0 HUNTINGTON BANCSHARES INC COM 446150104 681 105704 SH SOLE 105704 0 0 HSBC HLDGS PLC SPON COM 404280406 2375 53508 SH SOLE 53508 0 0 HCA HOLDINGS INC COM 40412C101 437 17663 SH SOLE 17663 0 0 HUDSON CITY BANCORP COM 443683107 613 83764 SH SOLE 83764 0 0 HCC INS HLDGS INC COM 404132102 348 11180 SH SOLE 11180 0 0 HEALTH CARE REIT INC COM 42217K106 2212 40244 SH SOLE 40244 0 0 HEALTH CARE REIT INC BOND CV 42217KAP1 210600 1800000 PRN SOLE 1800000 0 0 HEALTH CARE REIT INC BOND CV 42217KAQ9 337845 3030000 PRN SOLE 3030000 0 0 HCP INC COM 40414L109 5018 127160 SH SOLE 127160 0 0 HOME DEPOT INC COM 437076102 11134 221309 SH SOLE 221309 0 0 HDFC BANK LTD COM 40415F101 8314 243818 SH SOLE 243818 0 0 HECKMANN CORP COM 422680108 157 36430 SH SOLE 36430 0 0 HESS CORP COM 42809H107 10514 178359 SH SOLE 178359 0 0 HESS CORP OPTION 42809H107 875 2250 SH PUT SOLE 2250 0 0 HOLLYFRONTIER CORP COM 436106108 368 11445 SH SOLE 11445 0 0 HARLEYSVILLE GROUP INC COM 412824104 580 10045 SH SOLE 10045 0 0 HUMAN GENOME SCIENCES INC COM 444903108 836 101501 SH SOLE 101501 0 0 HILLENBRAND INC COM 431571108 306 13337 SH SOLE 13337 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 5306 251722 SH SOLE 251722 0 0 HI-TECH PHARMACAL INC COM 42840B101 367 10221 SH SOLE 10221 0 0 HITTITE MICROWAVE CORP COM 43365Y104 1168 21505 SH SOLE 21505 0 0 HIGHWOODS PPTYS INC COM 431284108 380 11408 SH SOLE 11408 0 0 HERBALIFE LTD COM USD SHS COM G4412G101 557 8087 SH SOLE 8087 0 0 HEALTHSOUTH CORP COM 421924309 280 13685 SH SOLE 13685 0 0 HEALTH MGMT ASSOC INC NEW COM 421933102 344 51226 SH SOLE 51226 0 0 HEINZ H J CO COM 423074103 4955 92525 SH SOLE 92525 0 0 HARLEY DAVIDSON INC COM 412822108 2902 59136 SH SOLE 59136 0 0 HARLEY DAVIDSON INC OPTION 412822108 341 3500 SH PUT SOLE 3500 0 0 HONEYWELL INTL INC COM 438516106 4552 74564 SH SOLE 74564 0 0 HONEYWELL INTL INC OPTION 438516106 268 5581 SH PUT SOLE 5581 0 0 HORNBECK OFFSHORE SVCS INC N BOND CV 440543AE6 126626 1169000 PRN SOLE 1169000 0 0 STARWOOD HOTELS&RESORTS WRLD COM 85590A401 6616 117285 SH SOLE 117285 0 0 STARWOOD HOTELS&RESORTS WRLD OPTION 85590A401 431 5000 SH PUT SOLE 5000 0 0 HELMERICH & PAYNE INC COM 423452101 582 10784 SH SOLE 10784 0 0 HEWLETT PACKARD CO COM 428236103 15861 665580 SH SOLE 665580 0 0 HEWLETT PACKARD CO OPTION 428236103 1611 5437 SH PUT SOLE 5437 0 0 HOSPITALITY PPTYS TR COM SH BE COM 44106M102 573 21632 SH SOLE 21632 0 0 BLOCK H & R INC COM 093671105 3057 185613 SH SOLE 185613 0 0 BLOCK H & R INC OPTION 093671105 1556 31664 SH PUT SOLE 31664 0 0 HARRIS CORP DEL COM 413875105 1021 22645 SH SOLE 22645 0 0 HARSCO CORP COM 415864107 955 40725 SH SOLE 40725 0 0 SCHEIN HENRY INC COM 806407102 802 10602 SH SOLE 10602 0 0 HOSPIRA INC COM 441060100 292 7813 SH SOLE 7813 0 0 HOST HOTELS & RESORTS INC COM 44107P104 2098 127783 SH SOLE 127783 0 0 HERSHEY CO COM 427866108 871 14205 SH SOLE 14205 0 0 HUBBELL INC CL B COM 443510201 959 12200 SH SOLE 12200 0 0 HUMANA INC COM 444859102 1969 21295 SH SOLE 21295 0 0 HUNTSMAN CORP COM 447011107 3286 234550 SH SOLE 234550 0 0 HEXCEL CORP NEW COM 428291108 1451 60445 SH SOLE 60445 0 0 ISHARES TR HIGH YLD CORP COM 464288513 886 9771 SH SOLE 9771 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page14 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- IAMGOLD CORP COM 450913108 335 25197 SH SOLE 25197 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 25603 122709 SH SOLE 122709 0 0 INTERNATIONAL BUSINESS MACHS OPTION 459200101 3758 845 SH CALL SOLE 845 0 0 ICICI BK LTD COM 45104G104 5373 154091 SH SOLE 154091 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 1307 9511 SH SOLE 9511 0 0 INTERDIGITAL INC COM 45867G101 2929 84021 SH SOLE 84021 0 0 ISHARES TR S&P EURO PLUS COM 464287861 330 8826 SH SOLE 8826 0 0 INTERNATIONAL FLAVORS&FRAGRA COM 459506101 883 15073 SH SOLE 15073 0 0 INDIA FD INC COM 454089103 537 24096 SH SOLE 24096 0 0 ISHARES TR S&P LTN AM 40 COM 464287390 946 19857 SH SOLE 19857 0 0 INGRAM MICRO INC COM 457153104 520 28038 SH SOLE 28038 0 0 IMPERIAL OIL LTD COM 453038408 852 18763 SH SOLE 18763 0 0 INFORMATICA CORP COM 45666Q102 299 5657 SH SOLE 5657 0 0 INFOSYS LTD COM 456788108 21385 374979 SH SOLE 374979 0 0 ING GROEP N V COM 456837103 2331 280190 SH SOLE 280190 0 0 INTEL CORP COM 458140100 31468 1119266 SH SOLE 1119266 0 0 INTEL CORP OPTION 458140100 415 12129 SH PUT SOLE 12129 0 0 INTEL CORP OPTION 458140100 2386 3900 SH CALL SOLE 3900 0 0 INTUIT COM 461202103 3852 64027 SH SOLE 64027 0 0 INNOSPEC INC COM 45768S105 265 8728 SH SOLE 8728 0 0 INTL PAPER CO COM 460146103 7748 220744 SH SOLE 220744 0 0 INTL PAPER CO OPTION 460146103 852 9250 SH PUT SOLE 9250 0 0 INTERPUBLIC GROUP COS INC COM 460690100 272 23809 SH SOLE 23809 0 0 INNOPHOS HOLDINGS INC COM 45774N108 610 12175 SH SOLE 12175 0 0 INTREPID POTASH INC COM 46121Y102 3812 156698 SH SOLE 156698 0 0 IMPAX LABORATORIES INC COM 45256B101 250 10158 SH SOLE 10158 0 0 NEUTRAL TANDEM INC COM 64128B108 130 10633 SH SOLE 10633 0 0 INGERSOLL-RAND PLC SHS COM G47791101 386 9336 SH SOLE 9336 0 0 INTERNATIONAL RECTIFIER CORP COM 460254105 539 23343 SH SOLE 23343 0 0 NEW IRELAND FUND INC COM 645673104 150 18511 SH SOLE 18511 0 0 IRON MTN INC COM 462846106 2089 72551 SH SOLE 72551 0 0 INTERSIL CORP COM 46069S109 457 40794 SH SOLE 40794 0 0 ISIS PHARMACEUTICALS INC DEL BOND CV 464337AE4 230175 2376000 PRN SOLE 2376000 0 0 INTUITIVE SURGICAL INC COM 46120E602 2618 4833 SH SOLE 4833 0 0 ISTA PHARMACEUTICALS INC COM 45031X204 524 58121 SH SOLE 58121 0 0 ITC HLDGS CORP COM 465685105 1858 24153 SH SOLE 24153 0 0 ITRON INC COM 465741106 742 16331 SH SOLE 16331 0 0 ITAU UNIBANCO HLDG SA SPON COM 465562106 10112 526918 SH SOLE 526918 0 0 ITAU UNIBANCO HLDG SA SPON OPTION 465562106 746 5074 SH PUT SOLE 5074 0 0 ILLINOIS TOOL WKS INC COM 452308109 858 15029 SH SOLE 15029 0 0 ILLINOIS TOOL WKS INC OPTION 452308109 224 400 SH CALL SOLE 400 0 0 ISHARES TR S&P 500 VALUE COM 464287408 5193 79984 SH SOLE 79984 0 0 IVANHOE MINES LTD COM 46579N103 212 13497 SH SOLE 13497 0 0 INVESCO LTD SHS COM G491BT108 1309 49094 SH SOLE 49094 0 0 ISHARES TR RUSSELL 1000 COM 464287622 11616 149000 SH SOLE 149000 0 0 ISHARES TR RUSSELL1000VAL COM 464287598 10366 147932 SH SOLE 147932 0 0 ISHARES TR RUSSELL1000GRW COM 464287614 3707 56098 SH SOLE 56098 0 0 ISHARES TR RUSSELL 2000 COM 464287655 12138 146577 SH SOLE 146577 0 0 ISHARES TR RUSSELL 2000 OPTION 464287655 1732 10500 SH PUT SOLE 10500 0 0 ISHARES TR RUSSELL 2000 OPTION 464287655 9201 28900 SH CALL SOLE 28900 0 0 ISHARES TR RUSL 2000 VALU COM 464287630 8496 116430 SH SOLE 116430 0 0 ISHARES TR RUSSELL MIDCAP COM 464287499 9507 85869 SH SOLE 85869 0 0 ISHARES TR DJ US REAL EST COM 464287739 15892 255083 SH SOLE 255083 0 0 ISHARES TR DJ US TELECOMM COM 464287713 1554 70001 SH SOLE 70001 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page15 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- JAGUAR MNG INC COM 47009M103 99 21213 SH SOLE 21213 0 0 JA SOLAR HOLDINGS CO LTD SPON COM 466090107 179 115574 SH SOLE 115574 0 0 JABIL CIRCUIT INC COM 466313103 243 9655 SH SOLE 9655 0 0 JETBLUE AIRWAYS CORP COM 477143101 1130 231161 SH SOLE 231161 0 0 JOHNSON CTLS INC COM 478366107 6474 199312 SH SOLE 199312 0 0 JOHNSON CTLS INC OPTION 478366107 355 2575 SH CALL SOLE 2575 0 0 J2 GLOBAL INC COM 48123V102 691 24083 SH SOLE 24083 0 0 PENNEY J C INC COM 708160106 253 7133 SH SOLE 7133 0 0 JDS UNIPHASE CORP PAR $0.001 COM 46612J507 683 47123 SH SOLE 47123 0 0 JACOBS ENGR GROUP INC DEL COM 469814107 1714 38623 SH SOLE 38623 0 0 JEFFERIES GROUP INC NEW COM 472319102 266 14134 SH SOLE 14134 0 0 JONES LANG LASALLE INC COM 48020Q107 355 4264 SH SOLE 4264 0 0 JOHNSON & JOHNSON COM 478160104 16024 242932 SH SOLE 242932 0 0 JOHNSON & JOHNSON OPTION 478160104 1543 2445 SH CALL SOLE 2445 0 0 SPDR SERIES TRUST BRCLYS YLD E COM 78464A417 11811 300000 SH SOLE 300000 0 0 JUNIPER NETWORKS INC COM 48203R104 1120 48945 SH SOLE 48945 0 0 JANUS CAP GROUP INC COM 47102X105 1412 158497 SH SOLE 158497 0 0 JONES GROUP INC COM 48020T101 1507 120014 SH SOLE 120014 0 0 JOS A BANK CLOTHIERS INC COM 480838101 314 6223 SH SOLE 6223 0 0 JOY GLOBAL INC COM 481165108 708 9626 SH SOLE 9626 0 0 JPMORGAN CHASE & CO COM 46625H100 43725 950952 SH SOLE 950952 0 0 JPMORGAN CHASE & CO OPTION 46625H100 1847 18286 SH PUT SOLE 18286 0 0 JPMORGAN CHASE & CO OPTION 46625H100 4783 7286 SH CALL SOLE 7286 0 0 NUVEEN MULT STRAT INCM GR FD C COM 67073D102 427 47541 SH SOLE 47541 0 0 JAMES RIVER COAL CO COM 470355207 332 64857 SH SOLE 64857 0 0 NORDSTROM INC COM 655664100 4076 73158 SH SOLE 73158 0 0 KELLOGG CO COM 487836108 3477 64827 SH SOLE 64827 0 0 KB FINANCIAL GROUP INC COM 48241A105 536 14599 SH SOLE 14599 0 0 KB HOME COM 48666K109 182 20450 SH SOLE 20450 0 0 KBR INC COM 48242W106 2640 74273 SH SOLE 74273 0 0 KOREA ELECTRIC PWR COM 500631106 570 58558 SH SOLE 58558 0 0 KEYCORP NEW COM 493267108 817 96150 SH SOLE 96150 0 0 KRAFT FOODS INC COM 50075N104 6589 173352 SH SOLE 173352 0 0 KRAFT FOODS INC OPTION 50075N104 1615 3900 SH PUT SOLE 3900 0 0 KRAFT FOODS INC OPTION 50075N104 3714 3900 SH CALL SOLE 3900 0 0 KINROSS GOLD CORP COM NO PAR COM 496902404 1346 137497 SH SOLE 137497 0 0 KIMCO RLTY CORP COM 49446R109 2334 121163 SH SOLE 121163 0 0 KLA-TENCOR CORP COM 482480100 2872 52767 SH SOLE 52767 0 0 KIMBERLY CLARK CORP COM 494368103 5150 69699 SH SOLE 69699 0 0 KIMBERLY CLARK CORP OPTION 494368103 632 850 SH CALL SOLE 850 0 0 KINDER MORGAN INC DEL COM 49456B101 2555 66112 SH SOLE 66112 0 0 KINDER MORGAN INC DEL OPTION 49456B101 3791 3355 SH PUT SOLE 3355 0 0 KINDER MORGAN ENERGY PARTNER U COM 494550106 432 5224 SH SOLE 5224 0 0 COCA COLA CO COM 191216100 12082 163246 SH SOLE 163246 0 0 COCA COLA CO OPTION 191216100 3929 2500 SH CALL SOLE 2500 0 0 COCA COLA FEMSA S A B DE C V S COM 191241108 3797 35852 SH SOLE 35852 0 0 KROGER CO COM 501044101 3847 158762 SH SOLE 158762 0 0 KRONOS WORLDWIDE INC COM 50105F105 315 12633 SH SOLE 12633 0 0 KAPSTONE PAPER & PACKAGING C COM 48562P103 314 15917 SH SOLE 15917 0 0 KOHLS CORP COM 500255104 3289 65735 SH SOLE 65735 0 0 KOHLS CORP OPTION 500255104 219 800 SH PUT SOLE 800 0 0 KANSAS CITY SOUTHERN COM 485170302 288 4020 SH SOLE 4020 0 0 KT CORP COM 48268K101 4417 322672 SH SOLE 322672 0 0 QUICKSILVER RESOURCES INC COM 74837R104 621 123251 SH SOLE 123251 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page16 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- KAYNE ANDERSON MLP INVSMNT C COM 486606106 873 28017 SH SOLE 28017 0 0 LOEWS CORP COM 540424108 1204 30192 SH SOLE 30192 0 0 LANCASTER COLONY CORP COM 513847103 317 4765 SH SOLE 4765 0 0 LAZARD LTD SHS A COM G54050102 422 14778 SH SOLE 14778 0 0 LIBERTY GLOBAL INC COM SER A COM 530555101 436 8697 SH SOLE 8697 0 0 LDK SOLAR CO LTD COM 50183L107 199 49693 SH SOLE 49693 0 0 LEGGETT & PLATT INC COM 524660107 728 31626 SH SOLE 31626 0 0 LENNAR CORP COM 526057104 1075 39535 SH SOLE 39535 0 0 LENNAR CORP OPTION 526057104 427 3250 SH CALL SOLE 3250 0 0 CHINA LIFE INS CO LTD SPON COM 16939P106 7462 191966 SH SOLE 191966 0 0 LAN AIRLINES S A COM 501723100 1839 63230 SH SOLE 63230 0 0 LABORATORY CORP AMER HLDGS COM 50540R409 627 6846 SH SOLE 6846 0 0 LHC GROUP INC COM 50187A107 216 11645 SH SOLE 11645 0 0 LIFE TECHNOLOGIES CORP COM 53217V109 1350 27649 SH SOLE 27649 0 0 LENNOX INTL INC COM 526107107 703 17436 SH SOLE 17436 0 0 LIBERTY INTERACTIVE CORPORAT I COM 53071M104 2721 142556 SH SOLE 142556 0 0 LIZ CLAIBORNE INC COM 539320101 1097 82128 SH SOLE 82128 0 0 LKQ CORP COM 501889208 1295 41535 SH SOLE 41535 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 842 11900 SH SOLE 11900 0 0 L-3 COMMUNICATIONS CORP DEBT 3 BOND CV 502413AW7 1203458 12359000 PRN SOLE 12359000 0 0 LINEAR TECHNOLOGY CORP COM 535678106 2399 71182 SH SOLE 71182 0 0 LILLY ELI & CO COM 532457108 7925 196820 SH SOLE 196820 0 0 LILLY ELI & CO OPTION 532457108 953 2313 SH CALL SOLE 2313 0 0 LEGG MASON INC COM 524901105 962 34437 SH SOLE 34437 0 0 LOCKHEED MARTIN CORP COM 539830109 7370 82013 SH SOLE 82013 0 0 LINCOLN NATL CORP IND COM 534187109 1037 39325 SH SOLE 39325 0 0 LINCARE HLDGS INC COM 532791100 1018 39323 SH SOLE 39323 0 0 LINDSAY CORP COM 535555106 2845 42924 SH SOLE 42924 0 0 ALLIANT ENERGY CORP COM 018802108 553 12757 SH SOLE 12757 0 0 LORILLARD INC COM 544147101 3948 30494 SH SOLE 30494 0 0 LOGITECH INTL S A SHS COM H50430232 589 75516 SH SOLE 75516 0 0 LOWES COS INC COM 548661107 9956 317282 SH SOLE 317282 0 0 LOWES COS INC OPTION 548661107 220 4810 SH PUT SOLE 4810 0 0 LG DISPLAY CO LTD SPONS COM 50186V102 1471 125000 SH SOLE 125000 0 0 LIFEPOINT HOSPITALS INC BOND CV 53219LAH2 100006 957000 PRN SOLE 957000 0 0 LENDER PROCESSING SVCS INC COM 52602E102 233 8953 SH SOLE 8953 0 0 LOUISIANA PAC CORP COM 546347105 191 20481 SH SOLE 20481 0 0 ISHARES TR IBOXX INV CPBD COM 464287242 2152 18611 SH SOLE 18611 0 0 LAM RESEARCH CORP COM 512807108 2154 48280 SH SOLE 48280 0 0 LIBERTY PPTY TR SH BEN INT COM 531172104 703 19687 SH SOLE 19687 0 0 LSI CORPORATION COM 502161102 2258 260158 SH SOLE 260158 0 0 LIMITED BRANDS INC COM 532716107 1241 25860 SH SOLE 25860 0 0 LEUCADIA NATL CORP COM 527288104 782 29971 SH SOLE 29971 0 0 SOUTHWEST AIRLS CO COM 844741108 6496 788322 SH SOLE 788322 0 0 LUXOTTICA GROUP S P A COM 55068R202 4234 117385 SH SOLE 117385 0 0 LAS VEGAS SANDS CORP COM 517834107 1007 17498 SH SOLE 17498 0 0 LAS VEGAS SANDS CORP OPTION 517834107 778 400 SH CALL SOLE 400 0 0 LEXMARK INTL NEW COM 529771107 1487 44742 SH SOLE 44742 0 0 LYONDELLBASELL INDUSTRIES N SH COM N53745100 2045 46860 SH SOLE 46860 0 0 LLOYDS BANKING GROUP PLC COM 539439109 4892 2307681 SH SOLE 2307681 0 0 MACYS INC COM 55616P104 1972 49631 SH SOLE 49631 0 0 MASTERCARD INC COM 57636Q104 6310 15005 SH SOLE 15005 0 0 MACERICH CO COM 554382101 1295 22422 SH SOLE 22422 0 0 MANTECH INTL CORP COM 564563104 396 11496 SH SOLE 11496 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page17 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- MARRIOTT INTL INC NEW COM 571903202 1130 29858 SH SOLE 29858 0 0 MASCO CORP COM 574599106 187 14008 SH SOLE 14008 0 0 MASIMO CORP COM 574795100 523 22372 SH SOLE 22372 0 0 MATTEL INC COM 577081102 1413 41980 SH SOLE 41980 0 0 MBIA INC COM 55262C100 163 16640 SH SOLE 16640 0 0 MOBILE TELESYSTEMS OJSC COM 607409109 13012 709512 SH SOLE 709512 0 0 MCDONALDS CORP COM 580135101 23283 237340 SH SOLE 237340 0 0 MCDONALDS CORP OPTION 580135101 3920 1450 SH CALL SOLE 1450 0 0 MICROCHIP TECHNOLOGY INC COM 595017104 709 19055 SH SOLE 19055 0 0 MCKESSON CORP COM 58155Q103 1969 22439 SH SOLE 22439 0 0 MOODYS CORP COM 615369105 2824 67072 SH SOLE 67072 0 0 MOLYCORP INC DEL COM 608753109 231 6822 SH SOLE 6822 0 0 MOLYCORP INC DEL PFD CONV SER ACOM 608753208 356 5000 SH SOLE 5000 0 0 MICREL INC COM 594793101 266 25961 SH SOLE 25961 0 0 MERCURY GENL CORP NEW COM 589400100 949 21685 SH SOLE 21685 0 0 MEDICINES CO COM 584688105 554 27623 SH SOLE 27623 0 0 MCDERMOTT INTL INC COM 580037109 160 12474 SH SOLE 12474 0 0 MEDTRONIC INC COM 585055106 4626 118040 SH SOLE 118040 0 0 MEDTRONIC INC OPTION 585055106 514 4075 SH PUT SOLE 4075 0 0 SPDR S&P MIDCAP 400 ETF TR UTS COM 78467Y107 192335 1064328 SH SOLE 1064328 0 0 MEDIFAST INC COM 58470H101 244 13981 SH SOLE 13981 0 0 MASSEY ENERGY CO BOND CV 576203AJ2 609851 6795000 PRN SOLE 6795000 0 0 METHANEX CORP COM 59151K108 233 7172 SH SOLE 7172 0 0 METLIFE INC COM 59156R108 11508 308101 SH SOLE 308101 0 0 METLIFE INC OPTION 59156R108 455 3000 SH PUT SOLE 3000 0 0 MAGNA INTL INC COM 559222401 705 14762 SH SOLE 14762 0 0 MAGELLAN HEALTH SVCS INC COM 559079207 620 12707 SH SOLE 12707 0 0 MGM RESORTS INTERNATIONAL COM 552953101 2698 198124 SH SOLE 198124 0 0 MCGRAW HILL COS INC COM 580645109 2934 60526 SH SOLE 60526 0 0 MAGNUM HUNTER RES CORP DEL COM 55973B102 71 11073 SH SOLE 11073 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 33757 480189 SH SOLE 480189 0 0 MEAD JOHNSON NUTRITION CO COM 582839106 1021 12377 SH SOLE 12377 0 0 MARKEL CORP COM 570535104 441 983 SH SOLE 983 0 0 MKS INSTRUMENT INC COM 55306N104 490 16608 SH SOLE 16608 0 0 MARSH & MCLENNAN COS INC COM 571748102 5083 155009 SH SOLE 155009 0 0 MOTOROLA MOBILITY HLDGS INC COM 620097105 6897 175757 SH SOLE 175757 0 0 3M CO COM 88579Y101 10402 116596 SH SOLE 116596 0 0 3M CO OPTION 88579Y101 675 5800 SH PUT SOLE 5800 0 0 MAXIMUS INC COM 577933104 645 15849 SH SOLE 15849 0 0 MCCLATCHY CO COM 579489105 1383 478609 SH SOLE 478609 0 0 ALTRIA GROUP INC COM 02209S103 4625 149815 SH SOLE 149815 0 0 ALTRIA GROUP INC OPTION 02209S103 930 2450 SH CALL SOLE 2450 0 0 MOLEX INC COM 608554101 583 20722 SH SOLE 20722 0 0 MONSANTO CO NEW COM 61166W101 18236 228638 SH SOLE 228638 0 0 MONSANTO CO NEW OPTION 61166W101 1071 4535 SH PUT SOLE 4535 0 0 MONSANTO CO NEW OPTION 61166W101 775 1305 SH CALL SOLE 1305 0 0 MOSAIC CO NEW COM 61945C103 25597 462957 SH SOLE 462957 0 0 MOSAIC CO NEW OPTION 61945C103 243 3400 SH CALL SOLE 3400 0 0 MOSAIC CO NEW OPTION 61945C103 1805 6021 SH PUT SOLE 6021 0 0 MARATHON PETE CORP COM 56585A102 1333 30742 SH SOLE 30742 0 0 MELCO CROWN ENTMT LTD COM 585464100 487 35730 SH SOLE 35730 0 0 MONOLITHIC PWR SYS INC COM 609839105 5413 275179 SH SOLE 275179 0 0 MERCK & CO INC NEW COM 58933Y105 16469 428888 SH SOLE 428888 0 0 MERCK & CO INC NEW OPTION 58933Y105 2670 4400 SH CALL SOLE 4400 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page18 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- MARATHON OIL CORP COM 565849106 2968 93628 SH SOLE 93628 0 0 MARATHON OIL CORP OPTION 565849106 255 2929 SH CALL SOLE 2929 0 0 MARATHON OIL CORP OPTION 565849106 438 4926 SH PUT SOLE 4926 0 0 MARVELL TECHNOLOGY GROUP LTD COM G5876H105 5062 321825 SH SOLE 321825 0 0 MORGAN STANLEY COM 617446448 12477 635280 SH SOLE 635280 0 0 MORGAN STANLEY OPTION 617446448 315 851 SH CALL SOLE 851 0 0 MSCI INC COM 55354G100 463 12582 SH SOLE 12582 0 0 MICROSOFT CORP COM 594918104 44925 1392814 SH SOLE 1392814 0 0 MICROSOFT CORP OPTION 594918104 851 18539 SH PUT SOLE 18539 0 0 MICROSOFT CORP OPTION 594918104 3199 4958 SH CALL SOLE 4958 0 0 MOTOROLA SOLUTIONS INC COM 620076307 2827 55611 SH SOLE 55611 0 0 MOTOROLA SOLUTIONS INC OPTION 620076307 598 2431 SH PUT SOLE 2431 0 0 ARCELORMITTAL SA LUXEMBOURG NY COM 03938L104 905 47302 SH SOLE 47302 0 0 M & T BK CORP COM 55261F104 1352 15567 SH SOLE 15567 0 0 MGIC INVT CORP WIS COM 552848103 78 15712 SH SOLE 15712 0 0 MECHEL OAO COM 583840103 1129 125778 SH SOLE 125778 0 0 MERITOR INC COM 59001K100 8235 1020425 SH SOLE 1020425 0 0 MITSUBISHI UFJ FINL GROUP IN COM 606822104 283 56800 SH SOLE 56800 0 0 MICRON TECHNOLOGY INC COM 595112103 7405 914739 SH SOLE 914739 0 0 MICRON TECHNOLOGY INC OPTION 595112103 712 5818 SH PUT SOLE 5818 0 0 MURPHY OIL CORP COM 626717102 1157 20569 SH SOLE 20569 0 0 MUELLER WTR PRODS INC COM SER ACOM 624758108 436 130863 SH SOLE 130863 0 0 MEADWESTVACO CORP COM 583334107 1013 32077 SH SOLE 32077 0 0 MONSTER WORLDWIDE INC COM 611742107 129 13210 SH SOLE 13210 0 0 MAXIM INTEGRATED PRODS INC COM 57772K101 2206 77171 SH SOLE 77171 0 0 MYRIAD GENETICS INC COM 62855J104 915 38671 SH SOLE 38671 0 0 MYLAN INC COM 628530107 2722 116078 SH SOLE 116078 0 0 NOBLE ENERGY INC COM 655044105 899 9192 SH SOLE 9192 0 0 NOBLE ENERGY INC OPTION 655044105 205 250 SH CALL SOLE 250 0 0 NABORS INDUSTRIES LTD SHS COM G6359F103 682 38970 SH SOLE 38970 0 0 NACCO INDS INC COM 629579103 251 2153 SH SOLE 2153 0 0 NATIONAL CINEMEDIA INC COM 635309107 340 22224 SH SOLE 22224 0 0 NASDAQ OMX GROUP INC COM 631103108 875 33788 SH SOLE 33788 0 0 NOBLE CORPORATION BAAR NAMEN - COM H5833N103 1347 35950 SH SOLE 35950 0 0 NEXTERA ENERGY INC COM 65339F101 3458 56608 SH SOLE 56608 0 0 NEWMONT MINING CORP COM 651639106 16210 316175 SH SOLE 316175 0 0 NEWMONT MINING CORP OPTION 651639106 217 1000 SH PUT SOLE 1000 0 0 NEWMARKET CORP COM 651587107 518 2765 SH SOLE 2765 0 0 NATIONAL FUEL GAS CO N J COM 636180101 356 7403 SH SOLE 7403 0 0 NETFLIX INC COM 64110L106 633 5504 SH SOLE 5504 0 0 NEWFIELD EXPL CO COM 651290108 562 16212 SH SOLE 16212 0 0 NOVAGOLD RES INC COM 66987E206 444 61870 SH SOLE 61870 0 0 NEW GOLD INC CDA COM 644535106 198 20000 SH SOLE 20000 0 0 NISOURCE INC COM 65473P105 334 13716 SH SOLE 13716 0 0 NII HLDGS INC BOND CV 62913FAJ1 31039 310000 PRN SOLE 310000 0 0 NEW JERSEY RES COM 646025106 488 10940 SH SOLE 10940 0 0 NIKE INC CL B COM 654106103 17238 158966 SH SOLE 158966 0 0 NIKE INC CL B OPTION 654106103 317 3050 SH PUT SOLE 3050 0 0 NIKE INC CL B OPTION 654106103 262 300 SH CALL SOLE 300 0 0 NEKTAR THERAPEUTICS COM 640268108 81 10215 SH SOLE 10215 0 0 ANNALY CAP MGMT INC COM 035710409 1465 92635 SH SOLE 92635 0 0 NORTHROP GRUMMAN CORP COM 666807102 2396 39222 SH SOLE 39222 0 0 NATIONAL OILWELL VARCO INC COM 637071101 1558 19608 SH SOLE 19608 0 0 NEWPARK RES INC PAR $.01 NEW COM 651718504 289 35318 SH SOLE 35318 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page19 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- NORFOLK SOUTHERN CORP COM 655844108 4453 67639 SH SOLE 67639 0 0 NEUSTAR INC COM 64126X201 711 19088 SH SOLE 19088 0 0 NETAPP INC COM 64110D104 7217 161202 SH SOLE 161202 0 0 NETAPP INC OPTION 64110D104 320 1850 SH PUT SOLE 1850 0 0 NUTRI SYS INC NEW COM 67069D108 124 11017 SH SOLE 11017 0 0 NORTHERN TR CORP COM 665859104 1418 29889 SH SOLE 29889 0 0 NETSPEND HLDGS INC COM 64118V106 151 19419 SH SOLE 19419 0 0 NORTHEAST UTILS COM 664397106 424 11426 SH SOLE 11426 0 0 NUANCE COMMUNICATIONS INC COM 67020Y100 780 30483 SH SOLE 30483 0 0 NUCOR CORP COM 670346105 4525 105364 SH SOLE 105364 0 0 NUCOR CORP OPTION 670346105 570 3500 SH PUT SOLE 3500 0 0 NU SKIN ENTERPRISES INC COM 67018T105 436 7524 SH SOLE 7524 0 0 NUVASIVE INC COM 670704105 390 23169 SH SOLE 23169 0 0 NVIDIA CORP COM 67066G104 8351 542477 SH SOLE 542477 0 0 NVIDIA CORP OPTION 67066G104 589 6400 SH PUT SOLE 6400 0 0 NOVELLUS SYS INC COM 670008101 1118 22407 SH SOLE 22407 0 0 NEWELL RUBBERMAID INC COM 651229106 2424 136119 SH SOLE 136119 0 0 NEWS CORP COM 65248E104 8584 435530 SH SOLE 435530 0 0 NEWS CORP OPTION 65248E104 545 14300 SH PUT SOLE 14300 0 0 NXP SEMICONDUCTORS N V COM N6596X109 6209 233315 SH SOLE 233315 0 0 NEW YORK CMNTY BANCORP INC COM 649445103 884 63531 SH SOLE 63531 0 0 NEW YORK TIMES CO COM 650111107 3886 572288 SH SOLE 572288 0 0 NYSE EURONEXT COM 629491101 2123 70727 SH SOLE 70727 0 0 REALTY INCOME CORP COM 756109104 907 23431 SH SOLE 23431 0 0 OWENS CORNING NEW COM 690742101 702 19489 SH SOLE 19489 0 0 OMNICARE INC COM 681904108 310 8725 SH SOLE 8725 0 0 OFFICE DEPOT INC COM 676220106 2138 619791 SH SOLE 619791 0 0 ISHARES TR S&P 100 IDX FD COM 464287101 2760 43093 SH SOLE 43093 0 0 CORPORATE OFFICE PPTYS TR SH B COM 22002T108 285 12299 SH SOLE 12299 0 0 OGE ENERGY CORP COM 670837103 596 11131 SH SOLE 11131 0 0 OWENS ILL INC COM 690768403 1346 57665 SH SOLE 57665 0 0 MARKET VECTORS ETF TR OIL SVCS COM 57060U191 20310 500000 SH SOLE 500000 0 0 OCEANEERING INTL INC COM 675232102 327 6064 SH SOLE 6064 0 0 OIL STS INTL INC COM 678026105 268 3436 SH SOLE 3436 0 0 ONEOK INC NEW COM 682680103 1718 21038 SH SOLE 21038 0 0 OLIN CORP PAR $1 COM 680665205 339 15589 SH SOLE 15589 0 0 ON SEMICONDUCTOR CORP COM 682189105 362 40138 SH SOLE 40138 0 0 ORACLE CORP COM 68389X105 26090 894721 SH SOLE 894721 0 0 ORACLE CORP OPTION 68389X105 680 8950 SH PUT SOLE 8950 0 0 OLD REP INTL CORP COM 680223104 526 49829 SH SOLE 49829 0 0 OCEAN RIG UDW INC SHS COM Y64354205 1111 65740 SH SOLE 65740 0 0 O REILLY AUTOMOTIVE INC NEW COM 67103H107 1182 12934 SH SOLE 12934 0 0 OVERSEAS SHIPHOLDING GROUP I COM 690368105 206 16348 SH SOLE 16348 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 11251 118148 SH SOLE 118148 0 0 OCCIDENTAL PETE CORP DEL OPTION 674599105 865 1900 SH PUT SOLE 1900 0 0 UNITED AUTO GROUP INC BOND CV 909440AH2 234036 2167000 PRN SOLE 2167000 0 0 VERIFONE SYS INC COM 92342Y109 7045 135826 SH SOLE 135826 0 0 PAYCHEX INC COM 704326107 4194 135320 SH SOLE 135320 0 0 PEOPLES UNITED FINANCIAL INC COM 712704105 950 71836 SH SOLE 71836 0 0 PITNEY BOWES INC COM 724479100 1853 105410 SH SOLE 105410 0 0 PETROLEO BRASILEIRO SA PETRO COM 71654V408 12898 485620 SH SOLE 485620 0 0 PETROLEO BRASILEIRO SA PETRO SPCOM 71654V101 2848 111405 SH SOLE 111405 0 0 PACCAR INC COM 693718108 4713 100641 SH SOLE 100641 0 0 PG&E CORP COM 69331C108 466 10740 SH SOLE 10740 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page20 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- PLUM CREEK TIMBER CO INC COM 729251108 938 22575 SH SOLE 22575 0 0 PRICELINE COM INC COM 741503403 21106 29416 SH SOLE 29416 0 0 PRICELINE COM INC OPTION 741503403 381 500 SH PUT SOLE 500 0 0 PRECISION CASTPARTS CORP COM 740189105 1264 7312 SH SOLE 7312 0 0 METROPCS COMMUNICATIONS INC COM 591708102 1661 184096 SH SOLE 184096 0 0 PATRIOT COAL CORP COM 70336T104 710 113713 SH SOLE 113713 0 0 PIEDMONT OFFICE REALTY TR IN C COM 720190206 553 31143 SH SOLE 31143 0 0 PRECISION DRILLING CORP COM 20 COM 74022D308 110 11011 SH SOLE 11011 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 2515 82162 SH SOLE 82162 0 0 PEPSICO INC COM 713448108 8533 128605 SH SOLE 128605 0 0 PEPSICO INC OPTION 713448108 1134 2600 SH CALL SOLE 2600 0 0 PEPSICO INC OPTION 713448108 594 3821 SH PUT SOLE 3821 0 0 PETSMART INC COM 716768106 217 3801 SH SOLE 3801 0 0 PFIZER INC COM 717081103 8503 375505 SH SOLE 375505 0 0 PFIZER INC OPTION 717081103 4472 11230 SH CALL SOLE 11230 0 0 PRINCIPAL FINL GROUP INC COM 74251V102 1104 37395 SH SOLE 37395 0 0 PROCTER & GAMBLE CO COM 742718109 32509 483692 SH SOLE 483692 0 0 PROCTER & GAMBLE CO OPTION 742718109 250 1417 SH PUT SOLE 1417 0 0 PROCTER & GAMBLE CO OPTION 742718109 302 742 SH CALL SOLE 742 0 0 PENGROWTH ENERGY CORP COM 70706P104 158 16800 SH SOLE 16800 0 0 PROGRESS ENERGY INC COM 743263105 4550 85667 SH SOLE 85667 0 0 PROGRESSIVE CORP OHIO COM 743315103 1433 61829 SH SOLE 61829 0 0 PARKER HANNIFIN CORP COM 701094104 3518 41614 SH SOLE 41614 0 0 PULTE GROUP INC COM 745867101 104 11775 SH SOLE 11775 0 0 POLARIS INDS INC COM 731068102 391 5416 SH SOLE 5416 0 0 POWERSHARES INDIA ETF TR INDIA COM 73935L100 12935 686936 SH SOLE 686936 0 0 PERKINELMER INC COM 714046109 300 10843 SH SOLE 10843 0 0 PROTECTIVE LIFE CORP COM 743674103 262 8860 SH SOLE 8860 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 2326 45024 SH SOLE 45024 0 0 PROLOGIS INC COM 74340W103 3075 85381 SH SOLE 85381 0 0 PALL CORP COM 696429307 218 3650 SH SOLE 3650 0 0 PLANTRONICS INC NEW COM 727493108 424 10520 SH SOLE 10520 0 0 PHILIP MORRIS INTL INC COM 718172109 8958 101097 SH SOLE 101097 0 0 PHILIP MORRIS INTL INC OPTION 718172109 369 2200 SH PUT SOLE 2200 0 0 PARAMETRIC TECHNOLOGY CORP COM 699173209 1405 50304 SH SOLE 50304 0 0 PNC FINL SVCS GROUP INC COM 693475105 5451 84519 SH SOLE 84519 0 0 PENTAIR INC COM 709631105 2178 45738 SH SOLE 45738 0 0 PANERA BREAD CO COM 69840W108 4867 30246 SH SOLE 30246 0 0 PINNACLE WEST CAP CORP COM 723484101 711 14853 SH SOLE 14853 0 0 PEPCO HOLDINGS INC COM 713291102 3185 168621 SH SOLE 168621 0 0 POTASH CORP SASK INC COM 73755L107 5976 130790 SH SOLE 130790 0 0 POWER INTEGRATIONS INC COM 739276103 659 17742 SH SOLE 17742 0 0 PILGRIMS PRIDE CORP NEW COM 72147K108 747 100122 SH SOLE 100122 0 0 PPG INDS INC COM 693506107 2695 28136 SH SOLE 28136 0 0 PPL CORP COM 69351T106 4829 170868 SH SOLE 170868 0 0 POST PPTYS INC COM 737464107 5476 116852 SH SOLE 116852 0 0 PORTFOLIO RECOVERY ASSOCS IN COM 73640Q105 686 9563 SH SOLE 9563 0 0 PARTNERRE LTD COM G6852T105 436 6420 SH SOLE 6420 0 0 PERRIGO CO COM 714290103 1724 16691 SH SOLE 16691 0 0 PRUDENTIAL FINL INC COM 744320102 7279 114824 SH SOLE 114824 0 0 PRUDENTIAL FINL INC OPTION 744320102 380 2500 SH PUT SOLE 2500 0 0 PUBLIC STORAGE COM 74460D109 3260 23597 SH SOLE 23597 0 0 PRICESMART INC COM 741511109 4904 67347 SH SOLE 67347 0 0 PETROCHINA CO LTD COM 71646E100 554 3941 SH SOLE 3941 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page21 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- POWER ONE INC NEW COM 73930R102 78 17219 SH SOLE 17219 0 0 QUANTA SVCS INC COM 74762E102 275 13177 SH SOLE 13177 0 0 PRAXAIR INC COM 74005P104 800 6982 SH SOLE 6982 0 0 PIONEER NAT RES CO COM 723787107 1304 11687 SH SOLE 11687 0 0 PIONEER NAT RES CO BOND CV 723787AH0 1630938 8500000 PRN SOLE 8500000 0 0 PLAINS EXPL& PRODTN CO COM 726505100 681 15970 SH SOLE 15970 0 0 PAPA JOHNS INTL INC COM 698813102 357 9478 SH SOLE 9478 0 0 QUALCOMM INC COM 747525103 14537 213590 SH SOLE 213590 0 0 QUALCOMM INC OPTION 747525103 543 8001 SH PUT SOLE 8001 0 0 QUALCOMM INC OPTION 747525103 849 1117 SH CALL SOLE 1117 0 0 QEP RES INC COM 74733V100 230 7543 SH SOLE 7543 0 0 POWERSHARES QQQ TRUST UNIT SER COM 73935A104 27253 403443 SH SOLE 403443 0 0 POWERSHARES QQQ TRUST UNIT SER OPTION 73935A104 17822 25500 SH CALL SOLE 25500 0 0 POWERSHARES QQQ TRUST UNIT SER OPTION 73935A104 3555 55960 SH PUT SOLE 55960 0 0 QUEST SOFTWARE INC COM 74834T103 236 10145 SH SOLE 10145 0 0 RYDER SYS INC COM 783549108 294 5563 SH SOLE 5563 0 0 REYNOLDS AMERICAN INC COM 761713106 1647 39735 SH SOLE 39735 0 0 ROGERS COMMUNICATIONS INC CL B COM 775109200 2417 60892 SH SOLE 60892 0 0 ROYAL CARIBBEAN CRUISES LTD COM V7780T103 487 16556 SH SOLE 16556 0 0 RADIAN GROUP INC COM 750236101 48 11032 SH SOLE 11032 0 0 DR REDDYS LABS LTD COM 256135203 1586 45886 SH SOLE 45886 0 0 EVEREST RE GROUP LTD COM G3223R108 422 4565 SH SOLE 4565 0 0 RARE ELEMENT RES LTD COM 75381M102 153 24329 SH SOLE 24329 0 0 REGENCY CTRS CORP COM 758849103 677 15225 SH SOLE 15225 0 0 REGENERON PHARMACEUTICALS COM 75886F107 471 4038 SH SOLE 4038 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 1262 191546 SH SOLE 191546 0 0 REINSURANCE GROUP AMER INC COM 759351604 449 7545 SH SOLE 7545 0 0 RED HAT INC COM 756577102 370 6170 SH SOLE 6170 0 0 TRANSOCEAN LTD REG SHS COM H8817H100 5370 98169 SH SOLE 98169 0 0 RIGEL PHARMACEUTICALS INC COM 766559603 184 22851 SH SOLE 22851 0 0 RESEARCH IN MOTION LTD COM 760975102 4281 291198 SH SOLE 291198 0 0 RESEARCH IN MOTION LTD OPTION 760975102 648 600 SH PUT SOLE 600 0 0 RAYMOND JAMES FINANCIAL INC COM 754730109 457 12523 SH SOLE 12523 0 0 RALPH LAUREN CORP COM 751212101 17967 103064 SH SOLE 103064 0 0 RALPH LAUREN CORP OPTION 751212101 851 1500 SH PUT SOLE 1500 0 0 RENAISSANCERE HOLDINGS LTD COM G7496G103 445 5874 SH SOLE 5874 0 0 ROCKWELL AUTOMATION INC COM 773903109 1694 21256 SH SOLE 21256 0 0 ROPER INDS INC NEW COM 776696106 681 6869 SH SOLE 6869 0 0 ROSETTA RESOURCES INC OPTION 777779307 260 5200 SH PUT SOLE 5200 0 0 ROSS STORES INC COM 778296103 624 10738 SH SOLE 10738 0 0 RPM INTL INC COM 749685103 378 14441 SH SOLE 14441 0 0 RANGE RES CORP COM 75281A109 5048 86828 SH SOLE 86828 0 0 RANGE RES CORP OPTION 75281A109 768 3000 SH PUT SOLE 3000 0 0 DONNELLEY R R & SONS CO COM 257867101 406 32756 SH SOLE 32756 0 0 DONNELLEY R R & SONS CO OPTION 257867101 225 2250 SH PUT SOLE 2250 0 0 RSC HOLDINGS INC COM 74972L102 12120 536511 SH SOLE 536511 0 0 REPUBLIC SVCS INC COM 760759100 2572 84159 SH SOLE 84159 0 0 RADIOSHACK CORP COM 750438103 129 20695 SH SOLE 20695 0 0 RADIOSHACK CORP OPTION 750438103 110 11828 SH CALL SOLE 11828 0 0 MARKET VECTORS ETF TR RUSSIA E COM 57060U506 514 16636 SH SOLE 16636 0 0 RUDOLPH TECHNOLOGIES INC COM 781270103 159 14307 SH SOLE 14307 0 0 RENTECH INC COM 760112102 30 14239 SH SOLE 14239 0 0 RAYTHEON CO COM 755111507 321 6085 SH SOLE 6085 0 0 REDWOOD TR INC COM 758075402 467 41656 SH SOLE 41656 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page22 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- RAYONIER INC COM 754907103 530 12031 SH SOLE 12031 0 0 SPRINT NEXTEL CORP COM SER 1 COM 852061100 665 233426 SH SOLE 233426 0 0 SPRINT NEXTEL CORP COM SER 1 OPTION 852061100 626 3533 SH PUT SOLE 3533 0 0 SAIC INC COM 78390X101 303 22974 SH SOLE 22974 0 0 COMPANHIA DE SANEAMENTO BASI COM 20441A102 2321 30291 SH SOLE 30291 0 0 STARBUCKS CORP COM 855244109 17973 321580 SH SOLE 321580 0 0 SOUTHERN COPPER CORP COM 84265V105 5442 171617 SH SOLE 171617 0 0 SCANA CORP NEW COM 80589M102 972 21321 SH SOLE 21321 0 0 SCHNITZER STL INDS COM 806882106 766 19191 SH SOLE 19191 0 0 SCHWAB CHARLES CORP NEW COM 808513105 4402 306327 SH SOLE 306327 0 0 SANDRIDGE ENERGY INC COM 80007P307 149 19026 SH SOLE 19026 0 0 SPECTRA ENERGY CORP COM 847560109 2146 68005 SH SOLE 68005 0 0 SEALED AIR CORP NEW COM 81211K100 6486 335864 SH SOLE 335864 0 0 SEI INVESTMENTS CO COM 784117103 302 14608 SH SOLE 14608 0 0 SMITHFIELD FOODS INC COM 832248108 1218 55304 SH SOLE 55304 0 0 SMITHFIELD FOODS INC BOND CV 832248AR9 1362568 12005000 PRN SOLE 12005000 0 0 STANCORP FINL GROUP INC COM 852891100 220 5374 SH SOLE 5374 0 0 ISTAR FINL INC COM 45031U101 476 65623 SH SOLE 65623 0 0 SEARS HLDGS CORP COM 812350106 1646 24848 SH SOLE 24848 0 0 SHERWIN WILLIAMS CO COM 824348106 280 2580 SH SOLE 2580 0 0 ISHARES TR BARCLYS 1-3 YR COM 464287457 5281 62633 SH SOLE 62633 0 0 SIGMA ALDRICH CORP COM 826552101 1259 17226 SH SOLE 17226 0 0 COMPANHIA SIDERURGICA NACION COM 20440W105 3377 356996 SH SOLE 356996 0 0 COMPANHIA SIDERURGICA NACION OPTION 20440W105 525 3000 SH PUT SOLE 3000 0 0 SIRIUS XM RADIO INC COM 82967N108 643 278142 SH SOLE 278142 0 0 SHAW COMMUNICATIONS INC CL B C COM 82028K200 527 24934 SH SOLE 24934 0 0 SAKS INC COM 79377W108 4308 371023 SH SOLE 371023 0 0 SCHLUMBERGER LTD COM 806857108 9575 136924 SH SOLE 136924 0 0 SCHLUMBERGER LTD OPTION 806857108 467 3839 SH PUT SOLE 3839 0 0 SCHLUMBERGER LTD OPTION 806857108 414 1858 SH CALL SOLE 1858 0 0 SARA LEE CORP COM 803111103 1784 82857 SH SOLE 82857 0 0 SL GREEN RLTY CORP COM 78440X101 1182 15242 SH SOLE 15242 0 0 SLM CORP COM 78442P106 4572 290094 SH SOLE 290094 0 0 SOLAR CAP LTD COM 83413U100 484 21929 SH SOLE 21929 0 0 STERLITE INDS INDIA LTD ADS COM 859737207 1569 183756 SH SOLE 183756 0 0 ISHARES SILVER TRUST ISHARES COM 46428Q109 314 10005 SH SOLE 10005 0 0 SILVER WHEATON CORP COM 828336107 795 23944 SH SOLE 23944 0 0 SM ENERGY CO COM 78454L100 323 4565 SH SOLE 4565 0 0 ST MARY LD & EXPL CO BOND CV 792228AD0 260250 2000000 PRN SOLE 2000000 0 0 SNAP ON INC COM 833034101 419 6868 SH SOLE 6868 0 0 SANDISK CORP COM 80004C101 13356 269331 SH SOLE 269331 0 0 SANDISK CORP OPTION 80004C101 259 1000 SH CALL SOLE 1000 0 0 SANDISK CORP OPTION 80004C101 2006 10400 SH PUT SOLE 10400 0 0 SANDISK CORP BOND CV 80004CAC5 34912 350000 PRN SOLE 350000 0 0 SENIOR HSG PPTYS TR SH BEN INT COM 81721M109 798 36171 SH SOLE 36171 0 0 CHINA PETE & CHEM CORP SPON COM 16941R108 324 2982 SH SOLE 2982 0 0 SYNOVUS FINL CORP COM 87161C105 133 64758 SH SOLE 64758 0 0 SOUTHERN CO COM 842587107 5379 119728 SH SOLE 119728 0 0 SOUTHERN CO OPTION 842587107 539 620 SH CALL SOLE 620 0 0 SOLUTIA INC COM 834376501 4971 177908 SH SOLE 177908 0 0 SONOCO PRODS CO COM 835495102 464 13985 SH SOLE 13985 0 0 SONUS NETWORKS INC COM 835916107 2033 700899 SH SOLE 700899 0 0 ISHARES TR PHLX SOX SEMICND COM 464287523 5293 89041 SH SOLE 89041 0 0 STANDARD PAC CORP NEW COM 85375C101 74 16576 SH SOLE 16576 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page23 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- SIMON PPTY GROUP INC NEW COM 828806109 11097 76176 SH SOLE 76176 0 0 SILICONWARE PRECISION INDS L S COM 827084864 3646 604100 SH SOLE 604100 0 0 STAPLES INC COM 855030102 4918 303738 SH SOLE 303738 0 0 STAPLES INC OPTION 855030102 450 10000 SH PUT SOLE 10000 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 4723 179167 SH SOLE 179167 0 0 SAPPI LTD SPON COM 803069202 242 66000 SH SOLE 66000 0 0 SPREADTRUM COMMUNICATIONS IN COM 849415203 212 12823 SH SOLE 12823 0 0 SPX CORP COM 784635104 557 7179 SH SOLE 7179 0 0 SUNPOWER CORP COM 867652406 271 42423 SH SOLE 42423 0 0 SPDR S&P 500 ETF TR TR UNIT COM 78462F103 494100 3508984 SH SOLE 3508984 0 0 SPDR S&P 500 ETF TR TR UNIT OPTION 78462F103 200 2000 SH CALL SOLE 2000 0 0 SOCIEDAD QUIMICA MINERA DE C S COM 833635105 2547 43406 SH SOLE 43406 0 0 STERICYCLE INC COM 858912108 2676 31997 SH SOLE 31997 0 0 SEMPRA ENERGY COM 816851109 1272 21208 SH SOLE 21208 0 0 SUNTRUST BKS INC COM 867914103 3235 133855 SH SOLE 133855 0 0 SUNTRUST BKS INC OPTION 867914103 223 1628 SH PUT SOLE 1628 0 0 ST JUDE MED INC COM 790849103 990 22334 SH SOLE 22334 0 0 STEEL DYNAMICS INC COM 858119100 1569 107927 SH SOLE 107927 0 0 STMICROELECTRONICS N V NY REGI COM 861012102 1848 225640 SH SOLE 225640 0 0 STEINER LEISURE LTD COM P8744Y102 201 4110 SH SOLE 4110 0 0 SUNTECH PWR HLDGS CO LTD COM 86800C104 214 69858 SH SOLE 69858 0 0 STR HLDGS INC COM 78478V100 145 30002 SH SOLE 30002 0 0 STATE STR CORP COM 857477103 3522 77407 SH SOLE 77407 0 0 STATE STR CORP OPTION 857477103 558 2801 SH CALL SOLE 2801 0 0 SEAGATE TECHNOLOGY PLC SHS COM G7945M107 3642 135125 SH SOLE 135125 0 0 CONSTELLATION BRANDS INC COM 21036P108 3019 127999 SH SOLE 127999 0 0 SUNCOR ENERGY INC NEW COM 867224107 3837 117348 SH SOLE 117348 0 0 SUNOCO INC COM 86764P109 2859 74941 SH SOLE 74941 0 0 SUNOCO INC OPTION 86764P109 256 1000 SH CALL SOLE 1000 0 0 SUNOCO INC OPTION 86764P109 760 4000 SH PUT SOLE 4000 0 0 SUPERVALU INC COM 868536103 96 16870 SH SOLE 16870 0 0 STILLWATER MNG CO COM 86074Q102 945 74757 SH SOLE 74757 0 0 STANLEY BLACK & DECKER INC COM 854502101 3547 46094 SH SOLE 46094 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 846 30609 SH SOLE 30609 0 0 SOUTHWESTERN ENERGY CO COM 845467109 1031 33707 SH SOLE 33707 0 0 SAFEWAY INC COM 786514208 2285 113069 SH SOLE 113069 0 0 SENSIENT TECHNOLOGIES CORP COM 81725T100 319 8390 SH SOLE 8390 0 0 STRYKER CORP COM 863667101 2728 49179 SH SOLE 49179 0 0 SYMANTEC CORP COM 871503108 2965 158549 SH SOLE 158549 0 0 SYMANTEC CORP BOND CV 871503AF5 673008 6009000 PRN SOLE 6009000 0 0 SYNAPTICS INC COM 87157D109 370 10140 SH SOLE 10140 0 0 SYNGENTA AG COM 87160A100 1818 26408 SH SOLE 26408 0 0 SYSCO CORP COM 871829107 1606 53789 SH SOLE 53789 0 0 AT&T INC COM 00206R102 16872 540243 SH SOLE 540243 0 0 AT&T INC OPTION 00206R102 2229 11662 SH CALL SOLE 11662 0 0 AT&T INC OPTION 00206R102 397 9551 SH PUT SOLE 9551 0 0 MOLSON COORS BREWING CO CL B COM 60871R209 781 17260 SH SOLE 17260 0 0 THOMPSON CREEK METALS CO INC COM 884768102 124 18321 SH SOLE 18321 0 0 TCF FINL CORP COM 872275102 303 25492 SH SOLE 25492 0 0 TECK RESOURCES LTD CL B COM 878742204 1313 36810 SH SOLE 36810 0 0 TATA COMMUNICATIONS LTD SPONS COM 876564105 1054 118735 SH SOLE 118735 0 0 TAUBMAN CTRS INC COM 876664103 704 9649 SH SOLE 9649 0 0 TORONTO DOMINION BK ONT COM 891160509 598 7037 SH SOLE 7037 0 0 TERADATA CORP DEL COM 88076W103 3056 44837 SH SOLE 44837 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page24 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- TRANSDIGM GROUP INC COM 893641100 365 3150 SH SOLE 3150 0 0 TELEDYNE TECHNOLOGIES INC COM 879360105 703 11153 SH SOLE 11153 0 0 TECO ENERGY INC COM 872375100 2281 129970 SH SOLE 129970 0 0 INTEGRYS ENERGY GROUP INC COM 45822P105 1395 26318 SH SOLE 26318 0 0 TE CONNECTIVITY LTD REG SHS COM H84989104 918 24988 SH SOLE 24988 0 0 TERADYNE INC COM 880770102 1086 64295 SH SOLE 64295 0 0 TEVA PHARMACEUTICAL INDS LTD COM 881624209 3244 72000 SH SOLE 72000 0 0 TARGET CORP COM 87612E106 9419 161651 SH SOLE 161651 0 0 TENET HEALTHCARE CORP COM 88033G100 277 52135 SH SOLE 52135 0 0 TIM HORTONS INC COM 88706M103 579 10816 SH SOLE 10816 0 0 TIBCO SOFTWARE INC COM 88632Q103 1689 55361 SH SOLE 55361 0 0 TITANIUM METALS CORP COM 888339207 273 20160 SH SOLE 20160 0 0 TIFFANY & CO NEW COM 886547108 3999 57844 SH SOLE 57844 0 0 TIFFANY & CO NEW OPTION 886547108 404 4500 SH PUT SOLE 4500 0 0 TJX COS INC NEW COM 872540109 5603 141106 SH SOLE 141106 0 0 TIMKEN CO COM 887389104 1340 26413 SH SOLE 26413 0 0 TALEO CORP COM 87424N104 13144 286172 SH SOLE 286172 0 0 TALISMAN ENERGY INC COM 87425E103 867 68836 SH SOLE 68836 0 0 TORCHMARK CORP COM 891027104 913 18307 SH SOLE 18307 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 2121 37622 SH SOLE 37622 0 0 DIREXION SHS ETF TR DLY SMCAP COM 25459W847 5020 80450 SH SOLE 80450 0 0 TELE NORTE LESTE PART S A SPON COM 879246106 115 10172 SH SOLE 10172 0 0 TANGOE INC COM 87582Y108 482 25622 SH SOLE 25622 0 0 TOTAL S A COM 89151E109 519 10147 SH SOLE 10147 0 0 TEMPUR PEDIC INTL INC COM 88023U101 221 2618 SH SOLE 2618 0 0 TARGACEPT INC COM 87611R306 282 55103 SH SOLE 55103 0 0 THOMSON REUTERS CORP COM 884903105 2183 75541 SH SOLE 75541 0 0 TRIPADVISOR INC COM 896945201 3823 107186 SH SOLE 107186 0 0 TRUE RELIGION APPAREL INC COM 89784N104 1388 50657 SH SOLE 50657 0 0 TRUSTMARK CORP COM 898402102 380 15215 SH SOLE 15215 0 0 TRINITY INDS INC COM 896522109 939 28496 SH SOLE 28496 0 0 PRICE T ROWE GROUP INC COM 74144T108 2202 33716 SH SOLE 33716 0 0 PRICE T ROWE GROUP INC OPTION 74144T108 585 3000 SH PUT SOLE 3000 0 0 PRICE T ROWE GROUP INC OPTION 74144T108 670 1000 SH CALL SOLE 1000 0 0 TRANSCANADA CORP COM 89353D107 2391 55600 SH SOLE 55600 0 0 TRAVELERS COMPANIES INC COM 89417E109 4147 70052 SH SOLE 70052 0 0 TENARIS S A COM 88031M109 810 21196 SH SOLE 21196 0 0 TRINA SOLAR LIMITED SPON COM 89628E104 219 30673 SH SOLE 30673 0 0 TAIWAN SEMICONDUCTOR MFG LTD COM 874039100 3045 199271 SH SOLE 199271 0 0 TYSON FOODS INC COM 902494103 3247 169551 SH SOLE 169551 0 0 TYSON FOODS INC BOND CV 902494AP8 1986869 16007000 PRN SOLE 16007000 0 0 TESSERA TECHNOLOGIES INC COM 88164L100 185 10741 SH SOLE 10741 0 0 TOTAL SYS SVCS INC COM 891906109 491 21284 SH SOLE 21284 0 0 TETRA TECH INC NEW COM 88162G103 457 17354 SH SOLE 17354 0 0 TATA MTRS LTD COM 876568502 5117 189720 SH SOLE 189720 0 0 TUDOU HLDGS LTD COM 89903T107 422 14284 SH SOLE 14284 0 0 TUPPERWARE BRANDS CORP COM 899896104 721 11352 SH SOLE 11352 0 0 GRUPO TELEVISA SA SPON COM 40049J206 3398 161197 SH SOLE 161197 0 0 CREDIT SUISSE NASSAU BRH VIX S COM 22542D761 2070 286309 SH SOLE 286309 0 0 TIME WARNER CABLE INC COM 88732J207 2409 29553 SH SOLE 29553 0 0 TAIWAN FD INC COM 874036106 184 10950 SH SOLE 10950 0 0 TW TELECOM INC COM 87311L104 4142 186909 SH SOLE 186909 0 0 TIME WARNER INC COM 887317303 1901 50349 SH SOLE 50349 0 0 TEXAS INSTRS INC COM 882508104 5309 157958 SH SOLE 157958 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page25 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- TEXTRON INC COM 883203101 1370 49218 SH SOLE 49218 0 0 TYCO INTERNATIONAL LTD SHS COM H89128104 1270 22613 SH SOLE 22613 0 0 TYCO INTERNATIONAL LTD SHS OPTION H89128104 488 755 SH CALL SOLE 755 0 0 DIREXION SHS ETF TR DLY SMCAP COM 25459W110 5048 285500 SH SOLE 285500 0 0 UNITED CONTL HLDGS INC COM 910047109 331 15388 SH SOLE 15388 0 0 UBS AG SHS COM H89231338 230 16393 SH SOLE 16393 0 0 UNITED BANKSHARES INC WEST V COM 909907107 530 18369 SH SOLE 18369 0 0 UDR INC COM 902653104 1400 52430 SH SOLE 52430 0 0 DOMTAR CORP COM 257559203 510 5351 SH SOLE 5351 0 0 ULTRAPAR PARTICIPACOES S A SP COM 90400P101 944 43510 SH SOLE 43510 0 0 UNIVERSAL HLTH SVCS INC CL B COM 913903100 1947 46448 SH SOLE 46448 0 0 UNISYS CORP COM 909214306 438 22187 SH SOLE 22187 0 0 UNITED MICROELECTRONICS CORP S COM 910873405 858 350001 SH SOLE 350001 0 0 UNITED STATES NATL GAS FUND UN COM 912318201 8856 556251 SH SOLE 556251 0 0 UNITEDHEALTH GROUP INC COM 91324P102 3904 66245 SH SOLE 66245 0 0 UNITEDHEALTH GROUP INC OPTION 91324P102 201 4000 SH PUT SOLE 4000 0 0 UNITEDHEALTH GROUP INC OPTION 91324P102 220 902 SH CALL SOLE 902 0 0 UNUM GROUP COM 91529Y106 2302 94024 SH SOLE 94024 0 0 UNION PAC CORP COM 907818108 10916 101563 SH SOLE 101563 0 0 UNION PAC CORP OPTION 907818108 603 1749 SH PUT SOLE 1749 0 0 UNISOURCE ENERGY CORP COM 909205106 599 16379 SH SOLE 16379 0 0 UNITED PARCEL SERVICE INC CL B COM 911312106 9603 118963 SH SOLE 118963 0 0 UNITED PARCEL SERVICE INC CL B OPTION 911312106 257 2300 SH PUT SOLE 2300 0 0 UNITED RENTALS INC OPTION 911363109 590 3700 SH CALL SOLE 3700 0 0 US BANCORP DEL COM 902973304 9674 305376 SH SOLE 305376 0 0 USA MOBILITY INC COM 90341G103 148 10646 SH SOLE 10646 0 0 UNITED STATES OIL FUND LP UNITSCOM 91232N108 2308 58839 SH SOLE 58839 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 1861 39486 SH SOLE 39486 0 0 UNITED TECHNOLOGIES CORP COM 913017109 6911 83326 SH SOLE 83326 0 0 UNIVERSAL CORP VA COM 913456109 747 16030 SH SOLE 16030 0 0 VISA INC COM COM 92826C839 8711 73820 SH SOLE 73820 0 0 VISA INC COM OPTION 92826C839 487 2925 SH PUT SOLE 2925 0 0 VISA INC COM OPTION 92826C839 2613 855 SH CALL SOLE 855 0 0 MARRIOTT VACATIONS WRLDWDE C COM 57164Y107 6857 240499 SH SOLE 240499 0 0 VALE S A COM 91912E105 13586 582355 SH SOLE 582355 0 0 VALE S A OPTION 91912E105 2505 3000 SH PUT SOLE 3000 0 0 VALE S A COM 91912E204 1809 79731 SH SOLE 79731 0 0 VARIAN MED SYS INC COM 92220P105 2281 33070 SH SOLE 33070 0 0 VALUECLICK INC COM 92046N102 257 12995 SH SOLE 12995 0 0 VEECO INSTRS INC DEL COM 922417100 216 7569 SH SOLE 7569 0 0 V F CORP COM 918204108 1105 7570 SH SOLE 7570 0 0 VIACOM INC NEW CL B COM 92553P201 2528 53272 SH SOLE 53272 0 0 TELEFONICA BRASIL SA COM 87936R106 307 10030 SH SOLE 10030 0 0 VALERO ENERGY CORP NEW COM 91913Y100 3636 141113 SH SOLE 141113 0 0 VALERO ENERGY CORP NEW OPTION 91913Y100 424 4000 SH PUT SOLE 4000 0 0 VALLEY NATL BANCORP COM 919794107 720 55609 SH SOLE 55609 0 0 VULCAN MATLS CO COM 929160109 217 5088 SH SOLE 5088 0 0 VIRGIN MEDIA INC COM 92769L101 504 20178 SH SOLE 20178 0 0 VALMONT INDS INC COM 920253101 889 7576 SH SOLE 7576 0 0 VMWARE INC COM 928563402 242 2158 SH SOLE 2158 0 0 VORNADO RLTY TR SH BEN INT COM 929042109 3945 46857 SH SOLE 46857 0 0 VANGUARD INDEX FDS REIT ETF COM 922908553 1821 28614 SH SOLE 28614 0 0 VODAFONE GROUP PLC NEW SPONS COM 92857W209 2000 72281 SH SOLE 72281 0 0 VALIDUS HOLDINGS LTD COM SHS COM G9319H102 256 8276 SH SOLE 8276 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page26 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- VERISIGN INC COM 92343E102 703 18324 SH SOLE 18324 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 1045 25472 SH SOLE 25472 0 0 VALEANT PHARMACEUTICALS INTL COM 91911K102 1045 19465 SH SOLE 19465 0 0 VENTAS INC COM 92276F100 3419 59872 SH SOLE 59872 0 0 VECTREN CORP COM 92240G101 346 11893 SH SOLE 11893 0 0 BARCLAYS BK PLC IPTH S&P VIX COM 06740C261 44833 2671736 SH SOLE 2671736 0 0 BARCLAYS BK PLC IPTH S&P VIX OPTION 06740C261 2877 21261 SH CALL SOLE 21261 0 0 BARCLAYS BK PLC IPTH S&P VIX OPTION 06740C261 54776 105509 SH PUT SOLE 105509 0 0 BARCLAYS BK PLC IPATH S&P MT E OPTION 06740C519 938 7000 SH PUT SOLE 7000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 10987 287380 SH SOLE 287380 0 0 VERIZON COMMUNICATIONS INC OPTION 92343V104 3934 3500 SH CALL SOLE 3500 0 0 WASHINGTON FED INC COM 938824109 196 11662 SH SOLE 11662 0 0 WALGREEN CO COM 931422109 4500 134354 SH SOLE 134354 0 0 WABCO HLDGS INC COM 92927K102 348 5760 SH SOLE 5760 0 0 WEBMD HEALTH CORP COM 94770V102 559 21837 SH SOLE 21837 0 0 WASTE CONNECTIONS INC COM 941053100 1585 48729 SH SOLE 48729 0 0 WARNER CHILCOTT PLC IRELAND SH COM G94368100 910 54118 SH SOLE 54118 0 0 WESTERN DIGITAL CORP COM 958102105 424 10243 SH SOLE 10243 0 0 WADDELL & REED FINL INC COM 930059100 1095 33799 SH SOLE 33799 0 0 WELLS FARGO & CO NEW COM 949746101 23363 684331 SH SOLE 684331 0 0 WELLS FARGO & CO NEW OPTION 949746101 411 15642 SH PUT SOLE 15642 0 0 WELLS FARGO & CO NEW OPTION 949746101 1414 3417 SH CALL SOLE 3417 0 0 WELLS FARGO & CO NEW PERP PFD COM 949746804 2233 2000 SH SOLE 2000 0 0 WHOLE FOODS MKT INC COM 966837106 8494 102097 SH SOLE 102097 0 0 MEMC ELECTR MATLS INC COM 552715104 760 210422 SH SOLE 210422 0 0 WHIRLPOOL CORP COM 963320106 1672 21754 SH SOLE 21754 0 0 WINDSTREAM CORP COM 97381W104 1109 94779 SH SOLE 94779 0 0 WIPRO LTD SPON COM 97651M109 4461 405588 SH SOLE 405588 0 0 WESTERN ASSET CLYM INFL OPP COM 95766R104 363 28418 SH SOLE 28418 0 0 WHITING PETE CORP NEW COM 966387102 261 4808 SH SOLE 4808 0 0 WELLPOINT INC COM 94973V107 2440 33064 SH SOLE 33064 0 0 WELLPOINT INC OPTION 94973V107 238 3650 SH PUT SOLE 3650 0 0 WALTER ENERGY INC COM 93317Q105 1886 31849 SH SOLE 31849 0 0 WASTE MGMT INC DEL COM 94106L109 3630 103844 SH SOLE 103844 0 0 WILLIAMS COS INC DEL COM 969457100 2696 87499 SH SOLE 87499 0 0 WAL MART STORES INC COM 931142103 14353 234533 SH SOLE 234533 0 0 WAL MART STORES INC OPTION 931142103 590 1071 SH PUT SOLE 1071 0 0 WAL MART STORES INC OPTION 931142103 3149 3500 SH CALL SOLE 3500 0 0 WESTERN REFNG INC COM 959319104 684 36360 SH SOLE 36360 0 0 GREAT WOLF RESORTS INC COM 391523107 63 11069 SH SOLE 11069 0 0 WATSON PHARMACEUTICALS INC COM 942683103 2780 41454 SH SOLE 41454 0 0 WPX ENERGY INC COM 98212B103 276 15345 SH SOLE 15345 0 0 BERKLEY W R CORP COM 084423102 669 18527 SH SOLE 18527 0 0 WARNACO GROUP INC COM 934390402 2345 40150 SH SOLE 40150 0 0 WEINGARTEN RLTY INVS SH BEN INTCOM 948741103 547 20713 SH SOLE 20713 0 0 WORLD ACCEP CORP DEL COM 981419104 650 10608 SH SOLE 10608 0 0 WILLIAMS SONOMA INC COM 969904101 352 9394 SH SOLE 9394 0 0 WATSCO INC COM 942622200 928 12529 SH SOLE 12529 0 0 W & T OFFSHORE INC COM 92922P106 377 17877 SH SOLE 17877 0 0 WHITE MTNS INS GROUP LTD COM G9618E107 512 1020 SH SOLE 1020 0 0 AQUA AMERICA INC COM 03836W103 1072 48113 SH SOLE 48113 0 0 WATTS WATER TECHNOLOGIES INC COM 942749102 1443 35421 SH SOLE 35421 0 0 WESTERN UN CO COM 959802109 4521 256871 SH SOLE 256871 0 0 WOODWARD INC COM 980745103 588 13735 SH SOLE 13735 0 0

Manager: BNP PARIBAS ARBITRAGE, SNC Period End Date: Mar 30,2012 Page27 of 28 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- WOLVERINE WORLD WIDE INC COM 978097103 334 8978 SH SOLE 8978 0 0 WEYERHAEUSER CO COM 962166104 2072 94546 SH SOLE 94546 0 0 WYNDHAM WORLDWIDE CORP COM 98310W108 366 7861 SH SOLE 7861 0 0 WYNN RESORTS LTD COM 983134107 7897 63235 SH SOLE 63235 0 0 WYNN RESORTS LTD OPTION 983134107 980 1500 SH PUT SOLE 1500 0 0 UNITED STATES STL CORP NEW COM 912909108 5329 181460 SH SOLE 181460 0 0 CIMAREX ENERGY CO COM 171798101 297 3940 SH SOLE 3940 0 0 XCEL ENERGY INC COM 98389B100 2210 83488 SH SOLE 83488 0 0 SPDR SERIES TRUST S&P HOMEBUILDCOM 78464A888 21862 1023960 SH SOLE 1023960 0 0 XL GROUP PLC SHS COM G98290102 3726 171779 SH SOLE 171779 0 0 SELECT SECTOR SPDR TR SBI MATE COM 81369Y100 73048 1975863 SH SOLE 1975863 0 0 SELECT SECTOR SPDR TR SBI MATE OPTION 81369Y100 270 10000 SH CALL SOLE 10000 0 0 SELECT SECTOR SPDR TR SBI INT- COM 81369Y506 5783 80606 SH SOLE 80606 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y506 714 3000 SH PUT SOLE 3000 0 0 SELECT SECTOR SPDR TR SBI INT- COM 81369Y605 33252 2105225 SH SOLE 2105225 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y605 158 20639 SH CALL SOLE 20639 0 0 SELECT SECTOR SPDR TR SBI INT- OPTION 81369Y605 1997 29326 SH PUT SOLE 29326 0 0 SELECT SECTOR SPDR TR SBI INT- COM 81369Y704 11224 300000 SH SOLE 300000 0 0 SELECT SECTOR SPDR TR TECHNOLO COM 81369Y803 644 21363 SH SOLE 21363 0 0 XILINX INC COM 983919101 3933 107820 SH SOLE 107820 0 0 XILINX INC SDCV 3.125% 3/1 BOND CV 983919AD3 1744472 13736000 PRN SOLE 13736000 0 0 SELECT SECTOR SPDR TR SBI INT- COM 81369Y886 7208 205682 SH SOLE 205682 0 0 SELECT SECTOR SPDR TR SBI HEAL COM 81369Y209 3574 95027 SH SOLE 95027 0 0 SELECT SECTOR SPDR TR SBI CONS COM 81369Y407 5688 126151 SH SOLE 126151 0 0 SELECT SECTOR SPDR TR SBI CONS OPTION 81369Y407 384 5950 SH PUT SOLE 5950 0 0 SPDR SERIES TRUST S&P METALS M COM 78464A755 4780 96142 SH SOLE 96142 0 0 SPDR SERIES TRUST S&P METALS M OPTION 78464A755 820 5000 SH PUT SOLE 5000 0 0 EXXON MOBIL CORP COM 30231G102 36900 425459 SH SOLE 425459 0 0 EXXON MOBIL CORP OPTION 30231G102 475 4700 SH PUT SOLE 4700 0 0 EXXON MOBIL CORP OPTION 30231G102 8838 5739 SH CALL SOLE 5739 0 0 SPDR SERIES TRUST S&P OILGAS E COM 78464A730 8536 150000 SH SOLE 150000 0 0 DENTSPLY INTL INC NEW COM 249030107 236 5883 SH SOLE 5883 0 0 SPDR SERIES TRUST S&P RETAIL E COM 78464A714 79631 1300100 SH SOLE 1300100 0 0 XEROX CORP COM 984121103 782 96853 SH SOLE 96853 0 0 XYLEM INC COM 98419M100 563 20300 SH SOLE 20300 0 0 ALLEGHANY CORP DEL COM 017175100 462 1403 SH SOLE 1403 0 0 YINGLI GREEN ENERGY HLDG CO COM 98584B103 182 50340 SH SOLE 50340 0 0 YAHOO INC COM 984332106 3679 241754 SH SOLE 241754 0 0 YUM BRANDS INC COM 988498101 16288 228830 SH SOLE 228830 0 0 ZIONS BANCORPORATION COM 989701107 486 22625 SH SOLE 22625 0 0 ZIMMER HLDGS INC COM 98956P102 1037 16133 SH SOLE 16133 0 0 ZOLL MED CORP COM 989922109 205 2215 SH SOLE 2215 0 0