-----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, SBlwAhwKlMq94ublRIb8jXvQRj9cRU8xWxsy+86XzP+wLxiXq3TOEIMyA/6xeeN7 N6lJR02NhVNQiBs2M+YcNg== 0000950159-03-000457.txt : 20030519 0000950159-03-000457.hdr.sgml : 20030519 20030519163840 ACCESSION NUMBER: 0000950159-03-000457 CONFORMED SUBMISSION TYPE: 13F-HR/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20030331 FILED AS OF DATE: 20030519 EFFECTIVENESS DATE: 20030519 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/A SEC ACT: 1934 Act SEC FILE NUMBER: 028-06121 FILM NUMBER: 03710770 BUSINESS ADDRESS: STREET 1: 32 OLD SLIP 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 2128250400 13F-HR/A 1 clintongrp13fa.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 [X]; Amendment Number: 1 This Amendment (Check only one.): [X] 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 5/19/03 - ------------------ -------------- ------------ [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 9938 8205000 PRN Defined None Adobe Systems Inc. COM 00724F101 610 19780 SH Defined Sole Advanced Energy Industries Inc NOTE 5.000% 9/0 007973AC4 5816 6600000 PRN Defined None Advanced Fibre Communication COM 00754A105 666 43999 SH Defined Sole Advanced Micro Devices Inc DBCV 4.750% 2/0 007903AE7 9180 13500000 PRN Defined None Advancepcs COM 00790K109 675 23829 SH Defined Sole Affiliated Computer Services Inc NOTE 3.500% 2/1 008190AF7 33565 27640000 PRN Defined None Aflac Inc. COM 001055102 725 22620 SH Defined Sole Agilent Technologies Inc DBCV 3.000% 12/0 00846UAB7 33948 37000000 PRN Defined None Albemarle Corp. COM 012653101 316 12977 SH Defined Sole Alberto-Culver Co. CL B CONV 013068101 544 11043 SH Defined Sole Alcoa Inc. COM 013817101 952 49115 SH Defined Sole Alltel Corp. COM 020039103 1417 31661 SH Defined Sole Altria Group Inc. COM 02209S103 1046 34915 SH Defined Sole Ambac Financial Group Inc. COM 023139108 429 8497 SH Defined Sole Amerada Hess Corp. COM 023551104 399 9026 SH Defined Sole American International Group DBCV 11/0 026874AP2 17415 27000000 PRN Defined None American International Group COM 026874107 661 13375 SH Defined Sole American Power Conversion COM 029066107 154 10849 SH Defined Sole Amerisourcebergen Corp. COM 03073E105 669 12739 SH Defined Sole Amerus Group Co. COM 03072M108 853 34755 SH Defined Sole Ametek Inc. COM 031100100 1673 50670 SH Defined Sole Amphenol Corp. CL A 032095101 655 16080 SH Defined Sole Anadarko Petroleum Corp. COM 032511107 1237 27193 SH Defined Sole Annaly Mortgage Management COM 035710409 443 25365 SH Defined Sole Aol Time Warner COM 00184A105 205 18879 SH Defined Sole Apache Corp. COM 037411105 374 6055 SH Defined Sole Apogent Technologies Inc DEBT 2.250% 10/1 03760AAE1 11865 12000000 PRN Defined None Apogent Technologies Inc. COM 03760A101 838 57505 SH Defined Sole Apollo Group Inc. CL A 037604105 769 15415 SH Defined Sole Applied Materials Inc. COM 038222105 649 51553 SH Defined Sole Aramark Corp. CL B 038521100 787 34388 SH Defined Sole Arbitron Inc. COM 03875Q108 571 18008 SH Defined Sole Atmi Inc NOTE 5.250% 11/1 00207RAC5 12056 10000000 PRN Defined None Atmos Energy Corp. COM 049560105 1003 47201 SH Defined Sole Autoliv Inc. COM 052800109 707 35381 SH Defined Sole Avaya Inc. COM 053499109 392 192400 SH Defined Sole 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 Avery Dennison Corp. COM 053611109 615 10481 SH Defined Sole Aviron NOTE 5.250% 2/0 053762AD2 26215 25390000 PRN Defined None Baker Hughes Inc. COM 057224107 973 32519 SH Defined Sole Bank Of New York Co. Inc. COM 064057102 979 47774 SH Defined Sole Banknorth Group Inc. COM 06646R107 229 10520 SH Defined Sole Barr Laboratories Inc. COM 068306109 1051 18440 SH Defined Sole Baxter International CORP UNITS 7% 71813406 14911 390000 PRN Defined None Baxter International Inc. COM 071813109 1167 62604 SH Defined Sole Bb&T Corporation COM 054937107 395 12568 SH Defined Sole Bea Systems Inc NOTE 4.000% 12/1 073325AD4 8649 9300000 PRN Defined None Bearingpoint Inc. COM 074002106 699 109718 SH Defined Sole Bed Bath & Beyond Inc. COM 075896100 908 26275 SH Defined Sole Bemis Company COM 081437105 317 7543 SH Defined Sole Best Buy Co. Inc. COM 086516101 556 20627 SH Defined Sole Biogen Inc. COM 090597105 1417 47296 SH Defined Sole Biomet Inc. COM 090613100 1099 35872 SH Defined Sole Bisys Group Inc/The NOTE 4.000% 3/1 055472AB0 6502 6669000 PRN Defined None Bj Services Co NOTE 0.500% 4/2 055482AF0 288 345000 PRN Defined None Bjs Wholesale Club Inc. COM 05548J106 208 18445 SH Defined Sole Bmc Software Inc. COM 055921100 864 57257 SH Defined Sole Boeing Co. COM 097023105 1955 78004 SH Defined Sole Boston Scientific Corp. COM 101137107 923 22650 SH Defined Sole Bristol-Myers Squibb Co. COM 110122108 946 44773 SH Defined Sole Broadcom Corp. CL A 111320107 834 67528 SH Defined Sole Burlington Northern Santa Fe COM 12189T104 912 36613 SH Defined Sole Caremark Rx Inc. COM 141705103 1124 61937 SH Defined Sole Carnival Corp DBCV 2.000% 4/1 143658AN2 4717 4500000 PRN Defined None Carnival Corp NOTE 10/2 143658AS1 8653 15000000 PRN Defined None Caterpillar Inc. COM 149123101 1908 38782 SH Defined Sole Cendant Corp DBCV 3.875% 11/2 151313AN3 15366 15000000 PRN Defined None Centurytel Inc. COM 156700106 420 15200 SH Defined Sole Cephalon Inc NOTE 5.250% 5/0 156708AC3 23243 23993000 PRN Defined None Cephalon Inc NOTE 2.500% 12/1 156708AE9 17485 19320000 PRN Defined None Cephalon Inc. COM 156708109 1062 26597 SH Defined Sole Charles River Laboratories COM 159864107 736 28859 SH Defined Sole Charles River Laboratories International Inc DBCV 3.500% 2/0 159863AL3 4664 4624000 PRN Defined None Chesapeake Energy Corp PFD CONV 6.75% 165167503 6281 100000 PRN Defined None Page 2 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 Chiron Corp. COM 170040109 641 17089 SH Defined Sole Chubb Corp CORP UNIT% 171232309 10558 500000 PRN Defined None Citizens Banking Corp. Mich COM 174420109 919 38899 SH Defined Sole Citizens Communications Co. COM 17453B101 115 11509 SH Defined Sole Citrix Systems Inc SDCV 3/2 177376AB6 2526 5750000 PRN Defined None City National Corp. COM 178566105 1540 35051 SH Defined Sole Clear Channel Communications COM 184502102 595 26580 SH Defined Sole Cnf Trust I TECONS SER A 12612V205 10032 205000 PRN Defined None Coca-Cola Enterprises COM 191219104 217 11615 SH Defined Sole Cognex Corp. COM 192422103 305 14422 SH Defined Sole Commerce Bancorp Inc/Nj COM 200519106 1235 31088 SH Defined Sole Community Health Systems Inc NOTE 4.250% 10/1 203668AA6 28020 28020000 PRN Defined None Computer Associates International Inc NOTE 5.000% 3/1 204912AR0 21138 20000000 PRN Defined None Computer Network Technology Corp NOTE 3.000% 2/1 204925AC5 4613 5575000 PRN Defined None Conagra Foods Inc. COM 205887102 2018 100508 SH Defined Sole Consolidated Edison Inc. COM 209115104 630 16384 SH Defined Sole Constellation Brands Inc. CL A 21036P108 1685 74215 SH Defined Sole Cooper Cameron Corp. COM 216640102 1160 23437 SH Defined Sole Coors (Adolph) CL B 217016104 1062 21899 SH Defined Sole Corel Corp. COM 21868Q109 225 261310 SH Defined Sole Cox Communications Inc. CL A 224044107 910 29249 SH Defined Sole Cymer Inc NOTE 3.500% 2/1 232572AE7 18225 20000000 PRN Defined None Darden Restaurants Inc. COM 237194105 1058 59258 SH Defined Sole Davita Inc. COM 23918K108 816 39369 SH Defined Sole Deere & Co. COM 244199105 481 12263 SH Defined Sole Devon Energy Corp DBCV 6/2 25179MAD5 10927 20448000 PRN Defined None Dillards Inc. CL A 254067101 1022 79066 SH Defined Sole Documentum Inc NOTE 4.500% 4/0 256159AB0 333 355000 PRN Defined None Dqe Inc. COM 23329J104 1481 121516 SH Defined Sole Dte Energy Company COM 233331107 1484 38395 SH Defined Sole Duke Energy Corp. COM 264399106 1241 85372 SH Defined Sole E*Trade Group Inc NOTE 6.750% 5/1 269246AD6 4208 4900000 PRN Defined None E*Trade Group Inc. COM 269246104 44 10438 SH Defined Sole Eastman Chemical Company COM 277432100 1914 66031 SH Defined Sole Echostar Communications Corp NOTE 4.875% 1/0 278762AD1 32310 33309000 PRN Defined None Echostar Communications Corp NOTE 5.750% 5/1 278762AG4 29218 28575000 PRN Defined None Page 3 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 Egl Inc NOTE 5.000% 12/1 268484AB8 10809 9425000 PRN Defined None Electronic Data Systems Corp. COM 285661104 1760 100000 SH Defined Sole Eli Lilly & Co. COM 532457108 703 12304 SH Defined Sole Emulex Corp NOTE 1.750% 2/0 292475AB6 2588 3000000 PRN Defined None Energy East Corporation COM 29266M109 1485 83453 SH Defined Sole Entercom Communications Corp. CL A 293639100 865 19707 SH Defined Sole Entergy Corp. COM 29364G103 1555 32287 SH Defined Sole Equitable Resources Inc. COM 294549100 863 23011 SH Defined Sole Extended Stay America Inc. COM 30224P101 830 82174 SH Defined Sole Fairchild Semicon Intl CL A 303726103 116 11048 SH Defined Sole Fastenal Co. COM 311900104 694 24624 SH Defined Sole Finisar Corp NOTE 5.250% 10/1 31787AAC5 1500 3000000 PRN Defined None Fisher Scientific Intl COM NEW 338032204 412 14718 SH Defined Sole Fmc Technologies Inc. COM 30249U101 322 16792 SH Defined Sole Forest Laboratories Inc. COM 345838106 928 17189 SH Defined Sole Foundry Networks Inc. COM 35063R100 129 16028 SH Defined Sole Four Seasons Hotels Inc NOTE 9/2 35100EAD6 1513 5000000 PRN Defined None Freddie Mac COM 313400301 1019 19193 SH Defined Sole Freeport-Mcmoran Copper CL B 35671D857 801 46963 SH Defined Sole Gap Inc/The NOTE 5.750% 3/1 364760AJ7 30719 25000000 PRN Defined None Genentech Inc. COM NEW 368710406 1123 32066 SH Defined Sole General Motors Corp DEB SR CONV A 370442741 14823 618900 PRN Defined None General Motors Corp. CL H 370442832 314 28000 SH Defined Sole General Semiconductor Inc 5.750% 12/1 370787AB9 9592 10084000 PRN Defined None Genesco Inc NOTE 5.500% 4/1 371532AL6 9138 9025000 PRN Defined None Genzyme Corp-Genl Division SDCV 3.000% 5/1 372917AK0 16159 16520000 PRN Defined None Getty Images Inc NOTE 5.000% 3/1 374276AE3 5723 6000000 PRN Defined None Getty Images Inc. COM 374276103 441 16064 SH Defined Sole Gilead Sciences Inc NOTE 5.000% 12/1 375558AB9 8366 4700000 PRN Defined None Gilead Sciences Inc. COM 375558103 673 16038 SH Defined Sole Global Payments Inc. COM 37940X102 671 21999 SH Defined Sole Goldman Sachs Group Inc. COM 38141G104 767 11273 SH Defined Sole Goodrich Corp. COM 382388106 1289 91681 SH Defined Sole Great Lakes Chemical Corp. COM 390568103 836 37668 SH Defined Sole Halliburton Co. COM 406216101 782 37706 SH Defined Sole Hartford Financial Svcs Grp COM 416515104 942 26701 SH Defined Sole Hasbro Inc DBCV 2.750% 12/0 418056AN7 5843 5825000 PRN Defined None Page 4 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 Hearst-Argyle Television Inc. COM 422317107 1330 64283 SH Defined Sole Hewlett-Packard Co. COM 428236103 1221 78531 SH Defined Sole Hj Heinz Co. COM 423074103 1922 65825 SH Defined Sole Honeywell International Inc. COM 438516106 836 39152 SH Defined Sole Household International Inc. COM 441815107 2461 90000 SH Defined Sole Hudson United Bancorp COM 444165104 257 8346 SH Defined Sole Idec Pharmaceuticals Corp NOTE 4/2 449370AE5 20380 35560000 PRN Defined None Idexx Laboratories Inc. COM 45168D104 871 24908 SH Defined Sole Ikon Office Solutions Inc. COM 451713101 584 82245 SH Defined Sole Imation Corp. COM 45245A107 297 7973 SH Defined Sole Inco Ltd DBCV 5.750% 7/0 453258ak1 5060 5004000 PRN Defined None Inhale Therapeutic Sys Inc NOTE 3.500% 10/1 457191AH7 3896 6835000 PRN Defined None Integrated Circuit Systems COM 45811K208 580 26746 SH Defined Sole Intermune Inc NOTE 5.750% 7/1 45884XAA1 5828 6000000 PRN Defined None International Paper Co. COM 460146103 322 9515 SH Defined Sole Interpublic Group Cos Inc NOTE 1.800% 9/1 460690AF7 4672 5000000 PRN Defined None Intl Game Technology COM 459902102 950 11604 SH Defined Sole Investors Financial Svcs Cp COM 461915100 224 9199 SH Defined Sole Invitrogen Corp NOTE 2.250% 12/1 46185RAD2 12074 13740000 PRN Defined None Invitrogen Corp. COM 46185R100 552 18020 SH Defined Sole Itt Industries Inc. COM 450911102 1217 22783 SH Defined Sole Ivax Corp. COM 465823102 793 64456 SH Defined Sole J.D. Edwards & Co. COM 281667105 282 25576 SH Defined Sole Jabil Circuit Inc NOTE 1.750% 5/1 466313AA1 13610 13932000 PRN Defined None Jacor Communications Inc FRNT 2/0 469858AB0 26073 52409000 PRN Defined None Janus Capital Group Inc. COM 47102X105 1096 96212 SH Defined Sole Jc Penney Co Inc/New NOTE 5.00% 10/1 708160BV7 19027 11920000 PRN Defined None Jefferies Group Inc. COM 472319102 1067 29688 SH Defined Sole Johnson Controls Inc. COM 478366107 813 11227 SH Defined Sole Jones Apparel Group Inc NOTE 2/0 480081AD0 6805 12500000 PRN Defined None Juniper Networks Inc. COM 48203R104 807 98790 SH Defined Sole Kaneb Pipeline Partners SR PREF UNIT 484169107 330 8987 SH Defined Sole Kb Home COM 48666K109 1093 24049 SH Defined Sole Kerr-Mcgee Corp SDCV 5.250% 2/1 492386AP2 8510 8000000 PRN Defined None Kerr-Mcgee Corp. COM 492386107 1255 30895 SH Defined Sole Keyspan Corp. COM 49337W100 1352 41937 SH Defined Sole King Pharmaceuticals Inc DBCV 2.750% 11/1 495582AG3 299 350000 PRN Defined None Page 5 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 Knight-Ridder Inc. COM 499040103 1919 32809 SH Defined Sole Kohls Corp. COM 500255104 1224 21633 SH Defined Sole Kraft Foods Inc. CL A 50075N104 1388 49205 SH Defined Sole L-3 Communications Holdings COM 502424104 872 21713 SH Defined Sole L-3 Communications Holdings Inc NOTE 5.250% 6/0 502424AB0 20753 17550000 PRN Defined None L-3 Communications Holdings Inc DEBT 4.00% 9/1 502424AD6 1357 1280000 PRN Defined None Laboratory Corp Of America Holdings NOTE 9/1 50540RAC6 26327 37510000 PRN Defined None Labranche & Co Inc. COM 505447102 881 47919 SH Defined Sole Lamar Advertising Co NOTE 5.250% 9/1 512815AF8 20752 20500000 PRN Defined None La-Z-Boy Inc. COM 505336107 971 56174 SH Defined Sole Lehman Brothers Holdings Inc. COM 524908100 1918 33207 SH Defined Sole Lennar Corp DBCV 7/2 526057AA2 12163 17500000 PRN Defined None Lennar Corp NOTE 4/0 526057AF1 5875 12500000 PRN Defined None Lennar Corp. COM 526057104 742 13853 SH Defined Sole Lifepoint Hospitals Holdings Inc NOTE 4.500% 6/0 53219LAE9 2118 2175000 PRN Defined None Linens N Things Inc. COM 535679104 817 40197 SH Defined Sole Lowes Cos Inc NOTE 548661CF2 15150 20000000 PRN Defined None Lsi Logic Corp NOTE 4.250% 3/1 502161AD4 8553 8650000 PRN Defined None Ltx Corp NOTE 4.250% 8/1 502392AE3 9587 13223000 PRN Defined None Mandalay Resort Group COM 562567107 1739 63095 SH Defined Sole Manpower Inc DBCV 8/1 56418HAC4 94135 135185000 PRN Defined None Martin Marietta Materials COM 573284106 1229 44501 SH Defined Sole Masco Corp NOTE 7/2 574599AW6 8500 20000000 PRN Defined None Maxim Integrated Products COM 57772K101 1076 29786 SH Defined Sole Mdu Resources Group Inc. COM 552690109 225 8071 SH Defined Sole Meadwestvaco Corp COM 583334107 378 16598 SH Defined Sole Media General Inc. CL A 584404107 719 14605 SH Defined Sole Medicis Pharmaceutical NOTE 2.500% 6/0 58470KAA2 17782 14865000 PRN Defined None Medtronic Inc COM 585055106 680 15074 SH Defined Sole Mentor Graphics Corp NOTE 6.875% 6/1 587200AB2 800 850000 PRN Defined None Mercantile Bankshares Corp. COM 587405101 687 20245 SH Defined Sole Mercury Interactive Corp. COM 589405109 644 21683 SH Defined Sole Meredith Corp. COM 589433101 834 21843 SH Defined Sole Merrill Lynch & Co Inc FRNT 3/1 590188A73 26847 27500000 PRN Defined None Microsoft Corp. COM 594918104 1042 43041 SH Defined Sole Molex Inc. COM 608554101 1177 54793 SH Defined Sole Nabors Industries Inc DBCV 2/0 629568AF3 24546 37800000 PRN Defined None Page 6 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 National City Corp. COM 635405103 326 11700 SH Defined Sole Network Appliance Inc. COM 64120L104 405 36180 SH Defined Sole Network Associates Inc NOTE 5.250% 8/1 64123LAB7 38965 33846000 PRN Defined None Network Associates Inc. COM 640938106 800 57962 SH Defined Sole Newmont Mining Corp. COM 651639106 201 7704 SH Defined Sole News America Inc NOTE 2/2 652482AZ3 14764 27500000 PRN Defined None Nextel Communications Inc NOTE 4.750% 7/0 65332VAT0 11945 12500000 PRN Defined None Nextel Communications Inc NOTE 6.000% 6/0 65332vbc6 6148 6250000 PRN Defined None Nextel Communications Inc. CL A 65332V103 540 40302 SH Defined Sole Noble Corp. SHS G65422100 866 27549 SH Defined Sole Nordstrom Inc. COM 655664100 800 49358 SH Defined Sole North Fork Bancorporation COM 659424105 297 10100 SH Defined Sole Northeast Utilities COM 664397106 643 46215 SH Defined Sole Office Depot Inc. COM 676220106 119 10068 SH Defined Sole Ohio Casualty Corp NOTE 5.000% 3/1 677240AC7 14375 14820000 PRN Defined None Omnicom Group NOTE 2/0 681919AK2 34453 35000000 PRN Defined None Omnicom Group NOTE 7/3 681919AM8 25548 25500000 PRN Defined None Osi Pharmaceuticals Inc NOTE 4.000% 2/0 671040AB9 9143 12000000 PRN Defined None Oxford Health Plans Inc. COM 691471106 629 20715 SH Defined Sole Park Place Entertainment COM 700690100 260 36574 SH Defined Sole Peabody Energy Corp. COM 704549104 1054 37807 SH Defined Sole Peoplesoft Inc. COM 712713106 632 41290 SH Defined Sole Pepsi Bottling Group Inc. COM 713409100 1532 85445 SH Defined Sole Photronics Inc NOTE 6.000% 6/0 719405AA0 10625 10678000 PRN Defined None Photronics Inc NOTE 4.750% 12/1 719405AC6 4666 5250000 PRN Defined None Pier 1 Imports Inc COM 720279108 632 39846 SH Defined Sole Pioneer Natural Resources Co. COM 723787107 1559 62098 SH Defined Sole Pmi Group Inc/The DBCV 2.500% 7/1 69344MAE1 8426 8200000 PRN Defined None Pmi Group Inc/The COM 69344M101 1765 69076 SH Defined Sole Polycom Inc. COM 73172K104 522 64546 SH Defined Sole Ppg Industries Inc. COM 693506107 313 6947 SH Defined Sole Ppl Corporation COM 69351T106 798 22408 SH Defined Sole Pride International Inc FRNT 2.500% 3/0 74153QAB8 20679 18725000 PRN Defined None Principal Financial Group COM 74251V102 739 27245 SH Defined Sole Progress Energy Inc. COM 743263105 300 7675 SH Defined Sole Protective Life Corp. COM 743674103 709 24830 SH Defined Sole Quest Diagnostics DBCV 1.750% 11/3 74834LAF7 24539 23315000 PRN Defined None Page 7 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 Quest Software Inc. COM 74834T103 754 83785 SH Defined Sole Radian Group Inc DBCV 2.250% 1/0 750236AF8 10755 10655000 PRN Defined None Radian Group Inc. COM 750236101 204 6100 SH Defined Sole Readers Digest Association COM 755267101 622 60906 SH Defined Sole Reebok International Ltd DBCV 4.250% 3/0 758110AE0 16213 14253000 PRN Defined None Reinsurance Group Of America PFD TR INC EQ 759351307 4785 100600 PRN Defined None Renal Treatment Centers NOTE 5.625% 7/1 759671AC4 10387 10190000 PRN Defined None Resmed Inc NOTE 4.000% 6/2 761152AB3 2450 2500000 PRN Defined None Resmed Inc. COM 761152107 651 20363 SH Defined Sole Rockwell Automation Inc. COM 773903109 670 32363 SH Defined Sole Rohm And Haas Co. COM 775371107 263 8842 SH Defined Sole Roslyn Bancorp Inc. COM 778162107 998 55486 SH Defined Sole Ross Stores Inc. COM 778296103 770 21334 SH Defined Sole Royal Caribbean Cruises Ltd NOTE 2/0 780153AK8 7690 19500000 PRN Defined None Royal Caribbean Cruises Ltd NOTE 5/1 780153AM4 5065 12150000 PRN Defined None Rr Donnelley & Sons Co. COM 257867101 950 51844 SH Defined Sole Ryder System Inc. COM 783549108 902 43990 SH Defined Sole Safeway Inc. COM NEW 786514208 216 11398 SH Defined Sole Sandisk Corp NOTE 4.500% 11/1 80004CAB7 24452 19650000 PRN Defined None Sandisk Corp. COM 80004C101 182 10803 SH Defined Sole Sara Lee Corp. COM 803111103 1997 106810 SH Defined Sole Sbc Communications Inc. COM 78387G103 950 47358 SH Defined Sole Scripps Co. CL A 811054204 1583 20899 SH Defined Sole Sealed Air Corp PFD CV A $2 81211K209 11279 245300 PRN Defined None Smithfield Foods Inc. COM 832248108 1039 58646 SH Defined Sole Southern Co. COM 842587107 565 19872 SH Defined Sole Spdr Trust Series 1 UNIT SER 78462F103 38692 455467 SH Defined Sole Sprint Corp. COM FON GROUP 852061100 1037 88293 SH Defined Sole Spx Corp NOTE 2/0 784635AD6 16981 27500000 PRN Defined None Storage Technology Corp. COM PAR $.10 862111200 1009 49907 SH Defined Sole Sun Microsystems Inc. COM 866810104 456 140000 SH Defined Sole Sybase Inc. COM 871130100 981 75790 SH Defined Sole Symantec Corp NOTE 3.000% 11/0 871503AB4 19204 14140000 PRN Defined None Symantec Corp. COM 871503108 652 16634 SH Defined Sole Synovus Financial Corp. COM 87161C105 1055 58949 SH Defined Sole Sysco Corp. COM 871829107 1612 63366 SH Defined Sole Talbots Inc. COM 874161102 421 16337 SH Defined Sole Page 8 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 Tech Data Corp SDCV 2.000% 12/1 878237AC0 12533 13820000 PRN Defined None Techne Corp. COM 878377100 1087 52565 SH Defined Sole Teco Energy Inc. COM 872375100 140 13199 SH Defined Sole Temple-Inland Inc. COM 879868107 967 25848 SH Defined Sole Teradyne Inc SDCV 3.750% 10/1 880770AD4 11523 12500000 PRN Defined None Textron Inc. COM 883203101 234 8509 SH Defined Sole Thornburg Mortgage Inc. COM 885218107 241 11700 SH Defined Sole Tibco Software Inc. COM 88632Q103 326 77712 SH Defined Sole Tjx Cos Inc NOTE 2/1 872540AL3 3897 5000000 PRN Defined None Tom Brown Inc. COM NEW 115660201 1006 41570 SH Defined Sole Total System Services Inc. COM 891906109 695 44381 SH Defined Sole Travelers Property Casualty Corp NT CV JR 2032 89420G307 18043 201375 PRN Defined None Tribune Co. COM 896047107 357 7941 SH Defined Sole Tyson Foods Inc. CL A 902494103 92 11848 SH Defined Sole Union Pacific Corp. COM 907818108 1004 18250 SH Defined Sole United Parcel Service CL B 911312106 1390 24392 SH Defined Sole Univision Communications CL A 914906102 960 39182 SH Defined Sole Unocal Corp. COM 915289102 1983 75378 SH Defined Sole Us Cellular Corp NOTE 6/1 911684AA6 7888 20000000 PRN Defined None Valspar Corp. COM 920355104 970 23702 SH Defined Sole Venator Group Inc NOTE 5.500% 6/0 922944AB9 4928 4750000 PRN Defined None Viacom Inc. CL B 925524308 1873 51288 SH Defined Sole Vishay Intertechnology Inc NOTE 6/0 928298AD0 21383 38142000 PRN Defined None Vishay Intertechnology Inc. COM 928298108 470 46202 SH Defined Sole Vulcan Materials Co. COM 929160109 328 10857 SH Defined Sole Washington Post CL B 939640108 204 300 SH Defined Sole Waste Connections Inc FRNT 5/0 941053AD2 6201 6295000 PRN Defined None Waters Corp. COM 941848103 713 33696 SH Defined Sole Weatherford International Ltd DBCV 6/3 947074AB6 8320 13000000 PRN Defined None Weatherford Intl Ltd. COM G95089101 630 16678 SH Defined Sole Webmd Corp NOTE 3.250% 4/0 94769MAC9 24575 20000000 PRN Defined None Westport Resources Corp. COM 961418100 799 39633 SH Defined Sole Westwood One Inc. COM 961815107 808 25867 SH Defined Sole Wind River Systems NOTE 3.750% 12/1 973149AE7 4995 6000000 PRN Defined None Worthington Industries COM 981811102 1223 102502 SH Defined Sole Ww Grainger Inc. COM 384802104 271 6306 SH Defined Sole Xilinx Inc. COM 983919101 901 38480 SH Defined Sole Page 9 Xl Capital Ltd. CL A G98255105 761 10749 SH Defined Sole Young & Rubicam Inc NOTE 3.000% 1/1 987425AC9 16554 17266000 PRN Defined None Yum! Brands Inc. COM 988498101 924 37991 SH Defined Sole Zimmer Holdings Inc. COM 98956P102 560 11516 SH Defined Sole 1,703,460
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