-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, F81l3cnl/Xhgd4GuXGH7M/r86S40uS7gwHp4BmGxvZG41zvXHSXabhwinTePIP/C 86pb8RSD9FDfKtmReniB8A== 0000950159-03-000429.txt : 20030515 0000950159-03-000429.hdr.sgml : 20030515 20030515123653 ACCESSION NUMBER: 0000950159-03-000429 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20030331 FILED AS OF DATE: 20030515 EFFECTIVENESS DATE: 20030515 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CLINTON GROUP INC CENTRAL INDEX KEY: 0001134119 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-06121 FILM NUMBER: 03702567 BUSINESS ADDRESS: STREET 1: 32 OLD SLIP 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 2128250400 13F-HR 1 clintongrp13f3-03.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, 2003 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: Clinton Group, Inc. Address: 9 West 57th Street, 26th Floor New York, NY 10019 Form 13F File Number: 28-06121 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: John Hall Title: CFO Phone: 212-825-0400 Signature, Place, and Date of Signing: /s/ John Hall New York, NY 5/14/03 - -------------------------------------------------------------------------------- [Signature] [City, State] [Date] 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 is reported in this report and a portion is reported by other reporting manager(s).) FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 2 Form 13F Information Table Entry Total: 337 Form 13F Information Table Value Total: 1,703,460 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. [If there are no entries in this list, state "NONE" and omit the column headings and list entries.] No. Form 13F File Number Name 01 28- 10034 CGI Holdings, Inc. 02 28- 10033 Clinton Group Equity, Co.
SH/PUT/ NAME OF ISSUER TITLE OF CLASS CUSIP VALUE SHARES PRN INVSTMT OTHER VOTING AUTHORITY (x1000) PRN AMT CALL DSCRETN MANAGERS SOLE SHARED NONE Acxiom Corp NOTE 3.750% 2/1 005125AB5 9,938 8,205,000 PRN Defined 01,02 None Adobe Systems Inc. COM 00724F101 610 19,780 SH Defined 01,02 Sole Advanced Energy Industries Inc NOTE 5.000% 9/0 007973AC4 5,816 6,600,000 PRN Defined 01,02 None Advanced Fibre Communication COM 00754A105 666 43,999 SH Defined 01,02 Sole Advanced Micro Devices Inc DBCV 4.750% 2/0 007903AE7 9,180 13,500,000 PRN Defined 01,02 None Advancepcs COM 00790K109 675 23,829 SH Defined 01,02 Sole Affiliated Computer Services Inc NOTE 3.500% 2/1 008190AF7 33,565 27,640,000 PRN Defined 01,02 None Aflac Inc. COM 1055102 725 22,620 SH Defined 01,02 Sole Agilent Technologies Inc DBCV 3.000% 12/0 00846UAB7 33,948 37,000,000 PRN Defined 01,02 None Albemarle Corp. COM 12653101 316 12,977 SH Defined 01,02 Sole Alberto-Culver Co. CL B CONV 13068101 544 11,043 SH Defined 01,02 Sole Alcoa Inc. COM 13817101 952 49,115 SH Defined 01,02 Sole Alltel Corp. COM 20039103 1,417 31,661 SH Defined 01,02 Sole Altria Group Inc. COM 02209S103 1,046 34,915 SH Defined 01,02 Sole Ambac Financial Group Inc. COM 23139108 429 8,497 SH Defined 01,02 Sole Amerada Hess Corp. COM 23551104 399 9,026 SH Defined 01,02 Sole American International Group DBCV 11/0 026874AP2 17,415 27,000,000 PRN Defined 01,02 None American International Group COM 26874107 661 13,375 SH Defined 01,02 Sole American Power Conversion COM 29066107 154 10,849 SH Defined 01,02 Sole Amerisourcebergen Corp. COM 3.07E+108 669 12,739 SH Defined 01,02 Sole Amerus Group Co. COM 03072M108 853 34,755 SH Defined 01,02 Sole Ametek Inc. COM 31100100 1,673 50,670 SH Defined 01,02 Sole Amphenol Corp. CL A 32095101 655 16,080 SH Defined 01,02 Sole Anadarko Petroleum Corp. COM 32511107 1,237 27,193 SH Defined 01,02 Sole Annaly Mortgage Management COM 35710409 443 25,365 SH Defined 01,02 Sole Aol Time Warner COM 00184A105 205 18,879 SH Defined 01,02 Sole Apache Corp. COM 37411105 374 6,055 SH Defined 01,02 Sole Apogent Technologies Inc DEBT 2.250% 10/1 03760AAE1 11,865 12,000,000 PRN Defined 01,02 None Apogent Technologies Inc. COM 03760A101 838 57,505 SH Defined 01,02 Sole Apollo Group Inc. CL A 37604105 769 15,415 SH Defined 01,02 Sole Applied Materials Inc. COM 38222105 649 51,553 SH Defined 01,02 Sole Aramark Corp. CL B 38521100 787 34,388 SH Defined 01,02 Sole Arbitron Inc. COM 03875Q108 571 18,008 SH Defined 01,02 Sole Atmi Inc NOTE 5.250% 11/1 00207RAC5 12,056 10,000,000 PRN Defined 01,02 None Atmos Energy Corp. COM 49560105 1,003 47,201 SH Defined 01,02 Sole Autoliv Inc. COM 52800109 707 35,381 SH Defined 01,02 Sole Avaya Inc. COM 53499109 392 192,400 SH Defined 01,02 Sole Avery Dennison Corp. COM 53611109 615 10,481 SH Defined 01,02 Sole Aviron NOTE 5.250% 2/0 053762AD2 26,215 25,390,000 PRN Defined 01,02 None Baker Hughes Inc. COM 57224107 973 32,519 SH Defined 01,02 Sole Bank Of New York Co. Inc. COM 64057102 979 47,774 SH Defined 01,02 Sole Banknorth Group Inc. COM 06646R107 229 10,520 SH Defined 01,02 Sole Barr Laboratories Inc. COM 68306109 1,051 18,440 SH Defined 01,02 Sole Baxter International CORP UNITS 7% 71813406 14,911 39,000,000 PRN Defined 01,02 None Baxter International Inc. COM 71813109 1,167 62,604 SH Defined 01,02 Sole Bb&T Corporation COM 54937107 395 12,568 SH Defined 01,02 Sole Bea Systems Inc NOTE 4.000% 12/1 073325AD4 8,649 9,300,000 PRN Defined 01,02 None Bearingpoint Inc. COM 74002106 699 109,718 SH Defined 01,02 Sole Bed Bath & Beyond Inc. COM 75896100 908 26,275 SH Defined 01,02 Sole Bemis Company COM 81437105 317 7,543 SH Defined 01,02 Sole Best Buy Co. Inc. COM 86516101 556 20,627 SH Defined 01,02 Sole Biogen Inc. COM 90597105 1,417 47,296 SH Defined 01,02 Sole Biomet Inc. COM 90613100 1,099 35,872 SH Defined 01,02 Sole Bisys Group Inc/The NOTE 4.000% 3/1 055472AB0 6,502 6,669,000 PRN Defined 01,02 None Bj Services Co NOTE 0.500% 4/2 055482AF0 288 345,000 PRN Defined 01,02 None Bj's Wholesale Club Inc. COM 05548J106 208 18,445 SH Defined 01,02 Sole Bmc Software Inc. COM 55921100 864 57,257 SH Defined 01,02 Sole Boeing Co. COM 97023105 1,955 78,004 SH Defined 01,02 Sole Boston Scientific Corp. COM 101137107 923 22,650 SH Defined 01,02 Sole Bristol-Myers Squibb Co. COM 110122108 946 44,773 SH Defined 01,02 Sole Broadcom Corp. CL A 111320107 834 67,528 SH Defined 01,02 Sole Burlington Northern Santa Fe COM 12189T104 912 36,613 SH Defined 01,02 Sole Caremark Rx Inc. COM 141705103 1,124 61,937 SH Defined 01,02 Sole Carnival Corp DBCV 2.000% 4/1 143658AN2 4,717 4,500,000 PRN Defined 01,02 None Carnival Corp NOTE 10/2 143658AS1 8,653 15,000,000 PRN Defined 01,02 None Caterpillar Inc. COM 149123101 1,908 38,782 SH Defined 01,02 Sole Cendant Corp DBCV 3.875% 11/2 151313AN3 15,366 15,000,000 PRN Defined 01,02 None Centurytel Inc. COM 156700106 420 15,200 SH Defined 01,02 Sole Cephalon Inc NOTE 5.250% 5/0 156708AC3 23,243 23,993,000 PRN Defined 01,02 None Cephalon Inc NOTE 2.500% 12/1 156708AE9 17,485 19,320,000 PRN Defined 01,02 None Cephalon Inc. COM 156708109 1,062 26,597 SH Defined 01,02 Sole Charles River Laboratories COM 159864107 736 28,859 SH Defined 01,02 Sole Charles River Laboratories International Inc DBCV 3.500% 2/0 159863AL3 4,664 4,624,000 PRN Defined 01,02 None Chesapeake Energy Corp PFD CONV 6.75% 165167503 6,281 10,000,000 PRN Defined 01,02 None Chiron Corp. COM 170040109 641 17,089 SH Defined 01,02 Sole Chubb Corp CORP UNIT% 171232309 10,558 50,000,000 PRN Defined 01,02 None Citizens Banking Corp. Mich COM 174420109 919 38,899 SH Defined 01,02 Sole Citizens Communications Co. COM 17453B101 115 11,509 SH Defined 01,02 Sole Citrix Systems Inc SDCV 3/2 177376AB6 2,526 5,750,000 PRN Defined 01,02 None City National Corp. COM 178566105 1,540 35,051 SH Defined 01,02 Sole Clear Channel Communications COM 184502102 858 25,305 SH Defined 01,02 Sole Cna Financial Corp. COM 126117100 595 26,580 SH Defined 01,02 Sole Cnf Trust I TECONS SER A 12612V205 10,032 20,500,000 PRN Defined 01,02 None Coca-Cola Enterprises COM 191219104 217 11,615 SH Defined 01,02 Sole Cognex Corp. COM 192422103 305 14,422 SH Defined 01,02 Sole Commerce Bancorp Inc/Nj COM 200519106 1,235 31,088 SH Defined 01,02 Sole Community Health Systems Inc NOTE 4.250% 10/1 203668AA6 28,020 28,020,000 PRN Defined 01,02 None Computer Associates International Inc NOTE 5.000% 3/1 204912AR0 21,138 20,000,000 PRN Defined 01,02 None Computer Network Technology Corp NOTE 3.000% 2/1 204925AC5 4,613 5,575,000 PRN Defined 01,02 None Conagra Foods Inc. COM 205887102 2,018 100,508 SH Defined 01,02 Sole Consolidated Edison Inc. COM 209115104 630 16,384 SH Defined 01,02 Sole Constellation Brands Inc. CL A 21036P108 1,685 74,215 SH Defined 01,02 Sole Cooper Cameron Corp. COM 216640102 1,160 23,437 SH Defined 01,02 Sole Coors (Adolph) CL B 217016104 1,062 21,899 SH Defined 01,02 Sole Corel Corp. COM 21868Q109 225 261,310 SH Defined 01,02 Sole Cox Communications Inc. CL A 224044107 910 29,249 SH Defined 01,02 Sole Cymer Inc NOTE 3.500% 2/1 232572AE7 18,225 20,000,000 PRN Defined 01,02 None Darden Restaurants Inc. COM 237194105 1,058 59,258 SH Defined 01,02 Sole Davita Inc. COM 23918K108 816 39,369 SH Defined 01,02 Sole Deere & Co. COM 244199105 481 12,263 SH Defined 01,02 Sole Devon Energy Corp DBCV 6/2 25179MAD5 10,927 20,448,000 PRN Defined 01,02 None Dillards Inc. CL A 254067101 1,022 79,066 SH Defined 01,02 Sole Documentum Inc NOTE 4.500% 4/0 256159AB0 333 355,000 PRN Defined 01,02 None Dqe Inc. COM 23329J104 1,481 121,516 SH Defined 01,02 Sole Dte Energy Company COM 233331107 1,484 38,395 SH Defined 01,02 Sole Duke Energy Corp. COM 264399106 1,241 85,372 SH Defined 01,02 Sole E*Trade Group Inc NOTE 6.750% 5/1 269246AD6 4,208 4,900,000 PRN Defined 01,02 None E*Trade Group Inc. COM 269246104 44 10,438 SH Defined 01,02 Sole Eastman Chemical Company COM 277432100 1,914 66,031 SH Defined 01,02 Sole Echostar Communications Corp NOTE 4.875% 1/0 278762AD1 32,310 33,309,000 PRN Defined 01,02 None Echostar Communications Corp NOTE 5.750% 5/1 278762AG4 29,218 28,575,000 PRN Defined 01,02 None Egl Inc NOTE 5.000% 12/1 268484AB8 10,809 9,425,000 PRN Defined 01,02 None Electronic Data Systems Corp COM 285661104 1,760 100,000 SH Defined 01,02 Sole Eli Lilly & Co. COM 532457108 703 12,304 SH Defined 01,02 Sole Emulex Corp NOTE 1.750% 2/0 292475AB6 2,588 3,000,000 PRN Defined 01,02 None Energy East Corporation COM 29266M109 1,485 83,453 SH Defined 01,02 Sole Entercom Communications Corp CL A 293639100 865 19,707 SH Defined 01,02 Sole Entergy Corp. COM 29364G103 1,555 32,287 SH Defined 01,02 Sole Equitable Resources Inc. COM 294549100 863 23,011 SH Defined 01,02 Sole Extended Stay America Inc. COM 30224P101 830 82,174 SH Defined 01,02 Sole Fairchild Semicon Intl. CL A 303726103 116 11,048 SH Defined 01,02 Sole Fastenal Co. COM 311900104 694 24,624 SH Defined 01,02 Sole Finisar Corp NOTE 5.250% 10/1 31787AAC5 1,500 3,000,000 PRN Defined 01,02 None Fisher Scientific Intl. COM NEW 338032204 412 14,718 SH Defined 01,02 Sole Fmc Technologies Inc. COM 30249U101 322 16,792 SH Defined 01,02 Sole Forest Laboratories Inc. COM 345838106 928 17,189 SH Defined 01,02 Sole Foundry Networks Inc. COM 35063R100 129 16,028 SH Defined 01,02 Sole Four Seasons Hotels Inc NOTE 9/2 35100EAD6 1,513 5,000,000 PRN Defined 01,02 None Freddie Mac COM 313400301 1,019 19,193 SH Defined 01,02 Sole Freeport-Mcmoran Copper CL B 35671D857 801 46,963 SH Defined 01,02 Sole Gap Inc/The NOTE 5.750% 3/1 364760AJ7 30,719 25,000,000 PRN Defined 01,02 None Genentech Inc. COM NEW 368710406 1,123 32,066 SH Defined 01,02 Sole General Motors Corp DEB SR CONV A 370442741 14,823 61,890,000 PRN Defined 01,02 None General Motors Corp. CL H 370442832 314 28,000 SH Defined 01,02 Sole General Semiconductor Inc 5.750% 12/1 370787AB9 9,592 10,084,000 PRN Defined 01,02 None Genesco Inc NOTE 5.500% 4/1 371532AL6 9,138 9,025,000 PRN Defined 01,02 None Genzyme Corp-Genl Division SDCV 3.000% 5/1 372917AK0 16,159 16,520,000 PRN Defined 01,02 None Getty Images Inc NOTE 5.000% 3/1 374276AE3 5,723 6,000,000 PRN Defined 01,02 None Getty Images Inc. COM 374276103 441 16,064 SH Defined 01,02 Sole Gilead Sciences Inc NOTE 5.000% 12/1 375558AB9 8,366 4,700,000 PRN Defined 01,02 None Gilead Sciences Inc. COM 375558103 673 16,038 SH Defined 01,02 Sole Global Payments Inc. COM 37940X102 671 21,999 SH Defined 01,02 Sole Goldman Sachs Group Inc. COM 38141G104 767 11,273 SH Defined 01,02 Sole Goodrich Corp. COM 382388106 1,289 91,681 SH Defined 01,02 Sole Great Lakes Chemical Corp. COM 390568103 836 37,668 SH Defined 01,02 Sole Halliburton Co. COM 406216101 782 37,706 SH Defined 01,02 Sole Hartford Financial Svcs Grp. COM 416515104 942 26,701 SH Defined 01,02 Sole Hasbro Inc DBCV 2.750% 12/0 418056AN7 5,843 5,825,000 PRN Defined 01,02 None Hearst-Argyle Television Inc COM 422317107 1,330 64,283 SH Defined 01,02 Sole Hewlett-Packard Co. COM 428236103 1,221 78,531 SH Defined 01,02 Sole Hj Heinz Co. COM 423074103 1,922 65,825 SH Defined 01,02 Sole Honeywell International Inc. COM 438516106 836 39,152 SH Defined 01,02 Sole Household International Inc. COM 441815107 2,461 90,000 SH Defined 01,02 Sole Hudson United Bancorp COM 444165104 257 8,346 SH Defined 01,02 Sole Idec Pharmaceuticals Corp NOTE 4/2 449370AE5 20,380 35,560,000 PRN Defined 01,02 None Idexx Laboratories Inc. COM 45168D104 871 24,908 SH Defined 01,02 Sole Ikon Office Solutions Inc. COM 451713101 584 82,245 SH Defined 01,02 Sole Imation Corp. COM 45245A107 297 7,973 SH Defined 01,02 Sole Inco Ltd DBCV 5.750% 7/0 453258ak1 5,060 5,004,000 PRN Defined 01,02 None Inhale Therapeutic Sys Inc NOTE 3.500% 10/1 457191AH7 3,896 6,835,000 PRN Defined 01,02 None Integrated Circuit Systems COM 45811K208 580 26,746 SH Defined 01,02 Sole Intermune Inc NOTE 5.750% 7/1 45884XAA1 5,828 6,000,000 PRN Defined 01,02 None International Paper Co. COM 460146103 322 9,515 SH Defined 01,02 Sole Interpublic Group Cos Inc NOTE 1.800% 9/1 460690AF7 4,672 5,000,000 PRN Defined 01,02 None Intl Game Technology COM 459902102 950 11,604 SH Defined 01,02 Sole Investors Financial Svcs Cp COM 461915100 224 9,199 SH Defined 01,02 Sole Invitrogen Corp NOTE 2.250% 12/1 46185RAD2 12,074 13,740,000 PRN Defined 01,02 None Invitrogen Corp. COM 46185R100 552 18,020 SH Defined 01,02 Sole Itt Industries Inc. COM 450911102 1,217 22,783 SH Defined 01,02 Sole Ivax Corp. COM 465823102 793 64,456 SH Defined 01,02 Sole J.D. Edwards & Co. COM 281667105 282 25,576 SH Defined 01,02 Sole Jabil Circuit Inc NOTE 1.750% 5/1 466313AA1 13,610 13,932,000 PRN Defined 01,02 None Jacor Communications Inc FRNT 2/0 469858AB0 26,073 52,409,000 PRN Defined 01,02 None Janus Capital Group Inc. COM 47102X105 1,096 96,212 SH Defined 01,02 Sole Jc Penney Co Inc/New NOTE 5.00% 10/1 708160BV7 19,027 11,920,000 PRN Defined 01,02 None Jefferies Group Inc. COM 472319102 1,067 29,688 SH Defined 01,02 Sole Johnson Controls Inc. COM 478366107 813 11,227 SH Defined 01,02 Sole Jones Apparel Group Inc NOTE 2/0 480081AD0 6,805 12,500,000 PRN Defined 01,02 None Juniper Networks Inc. COM 48203R104 807 98,790 SH Defined 01,02 Sole Kaneb Pipeline Partners SR PREF UNIT 484169107 330 8,987 SH Defined 01,02 Sole Kb Home COM 48666K109 1,093 24,049 SH Defined 01,02 Sole Kerr-Mcgee Corp SDCV 5.250% 2/1 492386AP2 8,510 8,000,000 PRN Defined 01,02 None Kerr-Mcgee Corp. COM 492386107 1,255 30,895 SH Defined 01,02 Sole Keyspan Corp. COM 49337W100 1,352 41,937 SH Defined 01,02 Sole King Pharmaceuticals Inc DBCV 2.750% 11/1 495582AG3 299 350,000 PRN Defined 01,02 None Knight-Ridder Inc. COM 499040103 1,919 32,809 SH Defined 01,02 Sole Kohls Corp. COM 500255104 1,224 21,633 SH Defined 01,02 Sole Kraft Foods Inc. CL A 50075N104 1,388 49,205 SH Defined 01,02 Sole L-3 Communications Holdings COM 502424104 872 21,713 SH Defined 01,02 Sole L-3 Communications Holdings Inc NOTE 5.250% 6/0 502424AB0 20,753 17,550,000 PRN Defined 01,02 None L-3 Communications Holdings Inc DEBT 4.00% 9/1 502424AD6 1,357 1,280,000 PRN Defined 01,02 None Laboratory Corp Of America Holdings NOTE 9/1 50540RAC6 26,327 37,510,000 PRN Defined 01,02 None Labranche & Co Inc. COM 505447102 881 47,919 SH Defined 01,02 Sole Lamar Advertising Co NOTE 5.250% 9/1 512815AF8 20,752 20,500,000 PRN Defined 01,02 None La-Z-Boy Inc. COM 505336107 971 56,174 SH Defined 01,02 Sole Lehman Brothers Holdings Inc COM 524908100 1,918 33,207 SH Defined 01,02 Sole Lennar Corp DBCV 7/2 526057AA2 12,163 17,500,000 PRN Defined 01,02 None Lennar Corp NOTE 4/0 526057AF1 5,875 12,500,000 PRN Defined 01,02 None Lennar Corp. COM 526057104 742 13,853 SH Defined 01,02 Sole Lifepoint Hospitals Holdings Inc NOTE 4.500% 6/0 53219LAE9 2,118 2,175,000 PRN Defined 01,02 None Linens 'N Things Inc. COM 535679104 817 40,197 SH Defined 01,02 Sole Lowe's Cos Inc NOTE 548661CF2 15,150 20,000,000 PRN Defined 01,02 None Lsi Logic Corp NOTE 4.250% 3/1 502161AD4 8,553 8,650,000 PRN Defined 01,02 None Ltx Corp NOTE 4.250% 8/1 502392AE3 9,587 13,223,000 PRN Defined 01,02 None Mandalay Resort Group COM 562567107 1,739 63,095 SH Defined 01,02 Sole Manpower Inc DBCV 8/1 56418HAC4 94,135 135,185,000 PRN Defined 01,02 None Martin Marietta Materials COM 573284106 1,229 44,501 SH Defined 01,02 Sole Masco Corp NOTE 7/2 574599AW6 8,500 20,000,000 PRN Defined 01,02 None Maxim Integrated Products COM 57772K101 1,076 29,786 SH Defined 01,02 Sole Mdu Resources Group Inc. COM 552690109 225 8,071 SH Defined 01,02 Sole Meadwestvaco Corp COM 583334107 378 16,598 SH Defined 01,02 Sole Media General Inc. CL A 584404107 719 14,605 SH Defined 01,02 Sole Medicis Pharmaceutical NOTE 2.500% 6/0 58470KAA2 17,782 14,865,000 PRN Defined 01,02 None Medtronic Inc COM 585055106 680 15,074 SH Defined 01,02 Sole Mentor Graphics Corp NOTE 6.875% 6/1 587200AB2 800 850,000 PRN Defined 01,02 None Mercantile Bankshares Corp. COM 587405101 687 20,245 SH Defined 01,02 Sole Mercury Interactive Corp. COM 589405109 644 21,683 SH Defined 01,02 Sole Meredith Corp. COM 589433101 834 21,843 SH Defined 01,02 Sole Merrill Lynch & Co Inc FRNT 3/1 590188A73 26,847 27,500,000 PRN Defined 01,02 None Microsoft Corp. COM 594918104 1,042 43,041 SH Defined 01,02 Sole Molex Inc. COM 608554101 1,177 54,793 SH Defined 01,02 Sole Nabors Industries Inc DBCV 2/0 629568AF3 24,546 37,800,000 PRN Defined 01,02 None National City Corp. COM 635405103 326 11,700 SH Defined 01,02 Sole Network Appliance Inc. COM 64120L104 405 36,180 SH Defined 01,02 Sole Network Associates Inc NOTE 5.250% 8/1 64123LAB7 38,965 33,846,000 PRN Defined 01,02 None Network Associates Inc. COM 640938106 800 57,962 SH Defined 01,02 Sole Newmont Mining Corp. COM 651639106 201 7,704 SH Defined 01,02 Sole News America Inc NOTE 2/2 652482AZ3 14,764 27,500,000 PRN Defined 01,02 None Nextel Communications Inc NOTE 4.750% 7/0 65332VAT0 11,945 12,500,000 PRN Defined 01,02 None Nextel Communications Inc NOTE 6.000% 6/0 65332vbc6 6,148 6,250,000 PRN Defined 01,02 None Nextel Communications Inc. CL A 65332V103 540 40,302 SH Defined 01,02 Sole Noble Corp. SHS G65422100 866 27,549 SH Defined 01,02 Sole Nordstrom Inc. COM 655664100 800 49,358 SH Defined 01,02 Sole North Fork Bancorporation COM 659424105 297 10,100 SH Defined 01,02 Sole Northeast Utilities COM 664397106 643 46,215 SH Defined 01,02 Sole Office Depot Inc. COM 676220106 119 10,068 SH Defined 01,02 Sole Ohio Casualty Corp NOTE 5.000% 3/1 677240AC7 14,375 14,820,000 PRN Defined 01,02 None Omnicom Group NOTE 2/0 681919AK2 34,453 35,000,000 PRN Defined 01,02 None Omnicom Group NOTE 7/3 681919AM8 25,548 25,500,000 PRN Defined 01,02 None Osi Pharmaceuticals Inc NOTE 4.000% 2/0 671040AB9 9,143 12,000,000 PRN Defined 01,02 None Oxford Health Plans Inc. COM 691471106 629 20,715 SH Defined 01,02 Sole Park Place Entertainment COM 700690100 260 36,574 SH Defined 01,02 Sole Peabody Energy Corp. COM 704549104 1,054 37,807 SH Defined 01,02 Sole Peoplesoft Inc. COM 712713106 632 41,290 SH Defined 01,02 Sole Pepsi Bottling Group Inc. COM 713409100 1,532 85,445 SH Defined 01,02 Sole Photronics Inc NOTE 6.000% 6/0 719405AA0 10,625 10,678,000 PRN Defined 01,02 None Photronics Inc NOTE 4.750% 12/1 719405AC6 4,666 5,250,000 PRN Defined 01,02 None Pier 1 Imports Inc COM 720279108 632 39,846 SH Defined 01,02 Sole Pioneer Natural Resources Co COM 723787107 1,559 62,098 SH Defined 01,02 Sole Pmi Group Inc/The DBCV 2.500% 7/1 69344MAE1 8,426 8,200,000 PRN Defined 01,02 None Pmi Group Inc/The COM 69344M101 1,765 69,076 SH Defined 01,02 Sole Polycom Inc. COM 73172K104 522 64,546 SH Defined 01,02 Sole Ppg Industries Inc. COM 693506107 313 6,947 SH Defined 01,02 Sole Ppl Corporation COM 69351T106 798 22,408 SH Defined 01,02 Sole Pride International Inc FRNT 2.500% 3/0 74153QAB8 20,679 18,725,000 PRN Defined 01,02 None Principal Financial Group COM 74251V102 739 27,245 SH Defined 01,02 Sole Progress Energy Inc. COM 743263105 300 7,675 SH Defined 01,02 Sole Protective Life Corp. COM 743674103 709 24,830 SH Defined 01,02 Sole Quest Diagnostics DBCV 1.750% 11/3 74834LAF7 24,539 23,315,000 PRN Defined 01,02 None Quest Software Inc. COM 74834T103 754 83,785 SH Defined 01,02 Sole Radian Group Inc DBCV 2.250% 1/0 750236AF8 10,755 10,655,000 PRN Defined 01,02 None Radian Group Inc. COM 750236101 204 6,100 SH Defined 01,02 Sole Reader's Digest Association COM 755267101 622 60,906 SH Defined 01,02 Sole Reebok International Ltd DBCV 4.250% 3/0 758110AE0 16,213 14,253,000 PRN Defined 01,02 None Reinsurance Group Of America PFD TR INC EQ 759351307 4,785 10,060,000 PRN Defined 01,02 None Renal Treatment Centers NOTE 5.625% 7/1 759671AC4 10,387 10,190,000 PRN Defined 01,02 None Resmed Inc NOTE 4.000% 6/2 761152AB3 2,450 2,500,000 PRN Defined 01,02 None Resmed Inc. COM 761152107 651 20,363 SH Defined 01,02 Sole Rockwell Automation Inc. COM 773903109 670 32,363 SH Defined 01,02 Sole Rohm And Haas Co. COM 775371107 263 8,842 SH Defined 01,02 Sole Roslyn Bancorp Inc. COM 778162107 998 55,486 SH Defined 01,02 Sole Ross Stores Inc. COM 778296103 770 21,334 SH Defined 01,02 Sole Royal Caribbean Cruises Ltd NOTE 2/0 780153AK8 7,690 19,500,000 PRN Defined 01,02 None Royal Caribbean Cruises Ltd NOTE 5/1 780153AM4 5,065 12,150,000 PRN Defined 01,02 None Rr Donnelley & Sons Co. COM 257867101 950 51,844 SH Defined 01,02 Sole Ryder System Inc. COM 783549108 902 43,990 SH Defined 01,02 Sole Safeway Inc. COM NEW 786514208 216 11,398 SH Defined 01,02 Sole Sandisk Corp NOTE 4.500% 11/1 80004CAB7 24,452 19,650,000 PRN Defined 01,02 None Sandisk Corp. COM 80004C101 182 10,803 SH Defined 01,02 Sole Sara Lee Corp. COM 803111103 1,997 106,810 SH Defined 01,02 Sole Sbc Communications Inc. COM 78387G103 950 47,358 SH Defined 01,02 Sole Scripps Co. CL A 811054204 1,583 20,899 SH Defined 01,02 Sole Sealed Air Corp PFD CV A $2 81211K209 11,279 24,530,000 PRN Defined 01,02 None Smithfield Foods Inc. COM 832248108 1,039 58,646 SH Defined 01,02 Sole Southern Co. COM 842587107 565 19,872 SH Defined 01,02 Sole Spdr Trust Series 1 UNIT SER 78462F103 38,692 455,467 SH Defined 01,02 Sole Sprint Corp. COM FON GROUP 852061100 1,037 88,293 SH Defined 01,02 Sole Spx Corp NOTE 2/0 784635AD6 16,981 27,500,000 PRN Defined 01,02 None Storage Technology Corp. COM PAR $.10 862111200 1,009 49,907 SH Defined 01,02 Sole Sun Microsystems Inc. COM 866810104 456 140,000 SH Defined 01,02 Sole Sybase Inc. COM 871130100 981 75,790 SH Defined 01,02 Sole Symantec Corp NOTE 3.000% 11/0 871503AB4 19,204 14,140,000 PRN Defined 01,02 None Symantec Corp. COM 871503108 652 16,634 SH Defined 01,02 Sole Synovus Financial Corp. COM 87161C105 1,055 58,949 SH Defined 01,02 Sole Sysco Corp. COM 871829107 1,612 63,366 SH Defined 01,02 Sole Talbots Inc. COM 874161102 421 16,337 SH Defined 01,02 Sole 01,02 Tech Data Corp SDCV 2.000% 12/1 878237AC0 12,533 13,820,000 PRN Defined 01,02 None Techne Corp. COM 878377100 1,087 52,565 SH Defined 01,02 Sole Teco Energy Inc. COM 872375100 140 13,199 SH Defined 01,02 Sole Temple-Inland Inc. COM 879868107 967 25,848 SH Defined 01,02 Sole Teradyne Inc SDCV 3.750% 10/1 880770AD4 11,523 12,500,000 PRN Defined 01,02 None Textron Inc. COM 883203101 234 8,509 SH Defined 01,02 Sole Thornburg Mortgage Inc. COM 885218107 241 11,700 SH Defined 01,02 Sole Tibco Software Inc. COM 88632Q103 326 77,712 SH Defined 01,02 Sole Tjx Cos Inc NOTE 2/1 872540AL3 3,897 5,000,000 PRN Defined 01,02 None Tom Brown Inc. COM NEW 115660201 1,006 41,570 SH Defined 01,02 Sole Total System Services Inc. COM 891906109 695 44,381 SH Defined 01,02 Sole Travelers Property Casualty Corp NT CV JR 2032 89420G307 18,043 20,137,500 PRN Defined 01,02 None Tribune Co. COM 896047107 357 7,941 SH Defined 01,02 Sole Tyson Foods Inc. CL A 902494103 92 11,848 SH Defined 01,02 Sole Union Pacific Corp. COM 907818108 1,004 18,250 SH Defined 01,02 Sole United Parcel Service CL B 911312106 1,390 24,392 SH Defined 01,02 Sole Univision Communications CL A 914906102 960 39,182 SH Defined 01,02 Sole Unocal Corp. COM 915289102 1,983 75,378 SH Defined 01,02 Sole Us Cellular Corp NOTE 6/1 911684AA6 7,888 20,000,000 PRN Defined 01,02 None Valspar Corp. COM 920355104 970 23,702 SH Defined 01,02 Sole Venator Group Inc NOTE 5.500% 6/0 922944AB9 4,928 4,750,000 PRN Defined 01,02 None Viacom Inc. CL B 925524308 1,873 51,288 SH Defined 01,02 Sole Vishay Intertechnology Inc NOTE 6/0 928298AD0 21,383 38,142,000 PRN Defined 01,02 None Vishay Intertechnology Inc. COM 928298108 470 46,202 SH Defined 01,02 Sole Vulcan Materials Co. COM 929160109 328 10,857 SH Defined 01,02 Sole Washington Post CL B 939640108 204 300 SH Defined 01,02 Sole Waste Connections Inc FRNT 5/0 941053AD2 6,201 6,295,000 PRN Defined 01,02 None Waters Corp. COM 941848103 713 33,696 SH Defined 01,02 Sole Weatherford International Ltd DBCV 6/3 947074AB6 8,320 13,000,000 PRN Defined 01,02 None Weatherford Intl Ltd. COM G95089101 630 16,678 SH Defined 01,02 Sole Webmd Corp NOTE 3.250% 4/0 94769MAC9 24,575 20,000,000 PRN Defined 01,02 None Westport Resources Corp. COM 961418100 799 39,633 SH Defined 01,02 Sole Westwood One Inc. COM 961815107 808 25,867 SH Defined 01,02 Sole Wind River Systems NOTE 3.750% 12/1 973149AE7 4,995 6,000,000 PRN Defined 01,02 None Worthington Industries COM 981811102 1,223 102,502 SH Defined 01,02 Sole Ww Grainger Inc. COM 384802104 271 6,306 SH Defined 01,02 Sole Xilinx Inc. COM 983919101 901 38,480 SH Defined 01,02 Sole Xl Capital Ltd. CL A G98255105 761 10,749 SH Defined 01,02 Sole Young & Rubicam Inc NOTE 3.000% 1/1 987425AC9 16,554 17,266,000 PRN Defined 01,02 None Yum! Brands Inc. COM 988498101 924 37,991 SH Defined 01,02 Sole Zimmer Holdings Inc. COM 98956P102 560 11,516 SH Defined 01,02 Sole 1,829,081
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