-----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, Idh/eaRKjqZynt+Xo4+JSAinAxYWwxHzSkgh8UBNzQrnIjFCrx235mHKZhdW0J8T 7NtXD5Cokn5tWZAsR6KLQA== 0000950159-05-000155.txt : 20050214 0000950159-05-000155.hdr.sgml : 20050214 20050214095913 ACCESSION NUMBER: 0000950159-05-000155 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20041231 FILED AS OF DATE: 20050214 DATE AS OF CHANGE: 20050214 EFFECTIVENESS DATE: 20050214 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: 05603387 BUSINESS ADDRESS: STREET 1: 32 OLD SLIP 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 2128250400 13F-HR 1 clintongrp13f.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: December 31, 2004 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 02/11/05 - ------------------ ------------- --------- [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: 415 Form 13F Information Table Value Total: $787,609 (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.
NAME OF ISSUER TITLE OF CLASS CUSIP VALUE SHARES SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY (x1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE - ------------------------------------------------------------------------------------------------------------------------------------ A C MOORE ARTS & CRAFTS INC COM 00086T103 508 17,633 SH DEFINED 01,02 17,633 ABM INDS INC COM 000957100 432 21,900 SH DEFINED 01,02 21,900 AFLAC INC COM 001055102 1,310 32,888 SH DEFINED 01,02 32,888 AGCO CORP COM 001084102 339 15,500 SH DEFINED 01,02 15,500 ATMI INC COM 00207R101 858 38,100 SH DEFINED 01,02 38,100 AVX CORP NEW COM 002444107 323 25,600 SH DEFINED 01,02 25,600 ACTUANT CORP CL A 00508X203 853 16,356 SH DEFINED 01,02 16,356 ADAPTEC INC COM 00651F108 726 95,610 SH DEFINED 01,02 95,610 AGILE SOFTWARE CORP DEL COM 00846X105 285 34,934 SH DEFINED 01,02 34,934 AIRTRAN HLDGS INC COM 00949P108 174 16,287 SH DEFINED 01,02 16,287 ALBERTO CULVER CO COM 013068101 1,108 22,803 SH DEFINED 01,02 22,803 ALLEGHENY ENERGY INC COM 017361106 1,223 62,028 SH DEFINED 01,02 62,028 ALTRIA GROUP INC COM 02209S103 750 12,267 SH DEFINED 01,02 12,267 AMAZON COM INC NOTE 4.750% 2/0 023135AF3 20,117 20,000,000 PRN DEFINED 01,02 20,000,000 AMERICAN ELEC PWR INC COM 025537101 1,067 31,060 SH DEFINED 01,02 31,060 AMERICAN HEALTHWAYS INC COM 02649V104 253 7,650 SH DEFINED 01,02 7,650 AMERICAN MED SYS HLDGS INC COM 02744M108 266 6,369 SH DEFINED 01,02 6,369 AMERICAN TOWER CORP NOTE 3.250% 8/0 029912AK8 23,925 14,455,000 PRN DEFINED 01,02 14,455,000 AMERICAN TOWER CORP NOTE 3.000% 8/1 029912AR3 12,188 10,770,000 PRN DEFINED 01,02 10,770,000 AMGEN INC COM 031162100 293 4,567 SH DEFINED 01,02 4,567 AMSOUTH BANCORPORATION COM 032165102 1,472 56,824 SH DEFINED 01,02 56,824 AMYLIN PHARMACEUTICALS INC NOTE 2.250% 6/3 032346AB4 11,422 11,000,000 PRN DEFINED 01,02 11,000,000 ANADARKO PETE CORP COM 032511107 1,339 20,664 SH DEFINED 01,02 20,664 ANALOG DEVICES INC COM 032654105 2,277 61,682 SH DEFINED 01,02 61,682 ANHEUSER BUSCH COS INC COM 035229103 1,101 21,704 SH DEFINED 01,02 21,704 ANIXTER INTL INC COM 035290105 860 23,900 SH DEFINED 01,02 23,900 ANNTAYLOR STORES CORP COM 036115103 495 23,000 SH DEFINED 01,02 23,000 APOLLO GROUP INC CL A 037604105 1,474 18,265 SH DEFINED 01,02 18,265 ARCH CHEMICALS INC COM 03937R102 302 10,500 SH DEFINED 01,02 10,500 ARCH COAL INC COM 039380100 1,649 46,400 SH DEFINED 01,02 46,400 ARROW ELECTRS INC COM 042735100 1,387 57,061 SH DEFINED 01,02 57,061 ARROW INTL INC COM 042764100 234 7,553 SH DEFINED 01,02 7,553 ARVINMERITOR INC COM 043353101 483 21,600 SH DEFINED 01,02 21,600 ASHLAND INC COM 044204105 2,148 36,800 SH DEFINED 01,02 36,800 ASSOCIATED BANC CORP COM 045487105 737 22,190 SH DEFINED 01,02 22,190 AUTOMATIC DATA PROCESSING INC COM 053015103 748 16,867 SH DEFINED 01,02 16,867 AVERY DENNISON CORP COM 053611109 919 15,329 SH DEFINED 01,02 15,329 AVON PRODS INC COM 054303102 3,702 95,652 SH DEFINED 01,02 95,652 BJ SVCS CO COM 055482103 3,442 73,964 SH DEFINED 01,02 73,964 BKF CAP GROUP INC COM 05548G102 682 18,000 SH DEFINED 01,02 18,000 BJS WHOLESALE CLUB INC COM 05548J106 1,393 47,821 SH DEFINED 01,02 47,821 BANK HAWAII CORP COM 062540109 766 15,100 SH DEFINED 01,02 15,100 BANK MUTUAL CORP NEW COM 063750103 335 27,511 SH DEFINED 01,02 27,511 BARD C R INC COM 067383109 951 14,864 SH DEFINED 01,02 14,864 BAUSCH & LOMB INC COM 071707103 1,782 27,638 SH DEFINED 01,02 27,638 BEA SYS INC COM 073325102 277 31,213 SH DEFINED 01,02 31,213 BEARINGPOINT INC COM 074002106 572 71,217 SH DEFINED 01,02 71,217 BED BATH & BEYOND INC COM 075896100 5,089 127,768 SH DEFINED 01,02 127,768 BELLSOUTH CORP COM 079860102 646 23,258 SH DEFINED 01,02 23,258 BELO CORP COM SER A 080555105 293 11,177 SH DEFINED 01,02 11,177 BENCHMARK ELECTRS INC COM 08160H101 303 8,900 SH DEFINED 01,02 8,900 BEVERLY ENTERPRISES INC COM NEW 087851309 372 40,700 SH DEFINED 01,02 40,700 BIG LOTS INC COM 089302103 187 15,400 SH DEFINED 01,02 15,400 BIOMET INC COM 090613100 5,010 115,469 SH DEFINED 01,02 115,469 BLOCKBUSTER INC CL B 093679207 5,286 600,000 SH DEFINED 01,02 600,000 BLYTH INC COM 09643P108 677 22,900 SH DEFINED 01,02 22,900 BOEING CO COM 097023105 4,780 92,339 SH DEFINED 01,02 92,339 BROWN FORMAN CORP CL B 115637209 733 15,055 SH DEFINED 01,02 15,055 BUCKEYE PARTNERS L P UNIT LTD PARTN 118230101 808 19,100 SH DEFINED 01,02 19,100 BURLINGTON RES INC COM 122014103 1,456 33,472 SH DEFINED 01,02 33,472 C D W CORP COM 12512N105 247 3,722 SH DEFINED 01,02 3,722 CNA FINL CORP COM 126117100 531 19,895 SH DEFINED 01,02 19,895 CNET NETWORKS INC NOTE 0.750% 4/1 12613RAD6 2,018 2,000,000 PRN DEFINED 01,02 2,000,000 CUNO INC COM 126583103 224 3,767 SH DEFINED 01,02 3,767 CVS CORP COM 126650100 762 16,914 SH DEFINED 01,02 16,914 CAMPBELL SOUP CO COM 134429109 237 7,914 SH DEFINED 01,02 7,914 CAPITALSOURCE INC DBCV 3.500% 7/1 14055XAD4 2,923 2,750,000 PRN DEFINED 01,02 2,750,000 CARBO CERAMICS INC COM 140781105 593 8,600 SH DEFINED 01,02 8,600 CARMAX INC COM 143130102 283 9,104 SH DEFINED 01,02 9,104 CARNIVAL CORP PAIRED CTF 143658300 1,470 25,500 SH DEFINED 01,02 25,500 CARTER INC COM 146229109 391 11,500 SH DEFINED 01,02 11,500 CELGENE CORP COM 151020104 355 13,390 SH DEFINED 01,02 13,390 CENTENE CORP DEL COM 15135B101 371 13,101 SH DEFINED 01,02 13,101 CENTERPOINT ENERGY INC COM 15189T107 437 38,700 SH DEFINED 01,02 38,700 CERIDIAN CORP NEW COM 156779100 289 15,800 SH DEFINED 01,02 15,800 CERTEGY INC COM 156880106 1,750 49,252 SH DEFINED 01,02 49,252 CHARLES RIV LABS INTL INC COM 159864107 2,255 49,010 SH DEFINED 01,02 49,010 CHATTEM INC COM 162456107 508 15,339 SH DEFINED 01,02 15,339 CHESAPEAKE ENERGY CORP COM 165167107 988 59,852 SH DEFINED 01,02 59,852 CHEVRONTEXACO CORP COM 166764100 2,073 39,476 SH DEFINED 01,02 39,476 CHITTENDEN CORP COM 170228100 850 29,600 SH DEFINED 01,02 29,600 CIMAREX ENERGY CO COM 171798101 280 7,400 SH DEFINED 01,02 7,400 CINCINNATI FINL CORP COM 172062101 2,747 62,075 SH DEFINED 01,02 62,075 CIRCUIT CITY STORE INC COM 172737108 234 14,947 SH DEFINED 01,02 14,947 CITIGROUP INC COM 172967101 222 4,608 SH DEFINED 01,02 4,608 CITIZENS BKG CORP MICH COM 174420109 616 17,921 SH DEFINED 01,02 17,921 CLEAR CHANNEL COM 184502102 1,160 34,641 SH DEFINED 01,02 34,641 CLOROX CO DEL COM 189054109 3,873 65,716 SH DEFINED 01,02 65,716 COACH INC COM 189754104 434 7,700 SH DEFINED 01,02 7,700 COCA COLA ENTERPRISES INC COM 191219104 532 25,529 SH DEFINED 01,02 25,529 COEUR D ALENE MINES CORP IDA COM 192108108 143 36,300 SH DEFINED 01,02 36,300 COHERENT INC COM 192479103 854 28,040 SH DEFINED 01,02 28,040 COLGATE PALMOLIVE CO COM 194162103 1,903 37,192 SH DEFINED 01,02 37,192 COMCAST HOLDINGS CORP ZONES CV2% PCS 200300507 48,644 1,109,600 PRN DEFINED 01,02 1,109,600 COMERICA INC COM 200340107 2,016 33,041 SH DEFINED 01,02 33,041 COMMERCIAL FEDERAL CORP COM 201647104 407 13,700 SH DEFINED 01,02 13,700 COMPUWARE CORP COM 205638109 609 94,985 SH DEFINED 01,02 94,985 CONOCOPHILLIPS COM 20825C104 268 3,089 SH DEFINED 01,02 3,089 CONSOL ENERGY INC COM 20854P109 2,303 56,100 SH DEFINED 01,02 56,100 CONSOLIDATED EDISON INC COM 209115104 2,378 54,348 SH DEFINED 01,02 54,348 COOPER COS INC COM NEW 216648402 1,158 16,400 SH DEFINED 01,02 16,400 CORNING INC COM 219350105 284 24,102 SH DEFINED 01,02 24,102 COSTCO WHSL CORP NEW COM 22160K105 1,739 35,925 SH DEFINED 01,02 35,925 COVANCE INC COM 222816100 263 6,778 SH DEFINED 01,02 6,778 CRANE CO COM 224399105 274 9,506 SH DEFINED 01,02 9,506 CURTISS WRIGHT CORP COM 231561101 714 12,434 SH DEFINED 01,02 12,434 DRS TECHNOLOGIES INC COM 23330X100 500 11,700 SH DEFINED 01,02 11,700 D R HORTON INC COM 23331A109 403 10,000 SH DEFINED 01,02 10,000 DSP GROUP INC COM 23332B106 385 17,239 SH DEFINED 01,02 17,239 DADE BEHRING HLDGS INC COM 23342J206 500 8,929 SH DEFINED 01,02 8,929 DANAHER CORP DEL COM 235851102 2,011 35,032 SH DEFINED 01,02 35,032 DARDEN RESTAURANTS INC COM 237194105 1,243 44,800 SH DEFINED 01,02 44,800 DENTSPLY INTL INC NEW COM 249030107 281 4,997 SH DEFINED 01,02 4,997 DIAMONDCLUSTER INTL INC COM 25278P106 234 16,300 SH DEFINED 01,02 16,300 DICKS SPORTING GOODS INC COM 253393102 510 14,500 SH DEFINED 01,02 14,500 DIGITAL RIV INC NOTE 1.250% 1/0 25388BAB0 1,203 1,000,000 PRN DEFINED 01,02 1,000,000 DIME BANCORP INC NEW *W EXP 99/99/999 25429Q110 176 928,854 SH DEFINED 01,02 928,854 DONNELLEY R R & SONS CO COM 257867101 285 8,090 SH DEFINED 01,02 8,090 DOW CHEM CO COM 260543103 3,109 62,805 SH DEFINED 01,02 62,805 DUKE ENERGY CORP COM 264399106 2,573 101,561 SH DEFINED 01,02 101,561 DUQUESNE LT HLDGS INC COM 266233105 407 21,600 SH DEFINED 01,02 21,600 EBAY INC COM 278642103 614 5,274 SH DEFINED 01,02 5,274 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 693 33,000 SH DEFINED 01,02 33,000 ENERGIZER HLDGS INC COM 29266R108 214 4,300 SH DEFINED 01,02 4,300 ENERGY PARTNERS LTD COM 29270U105 206 10,168 SH DEFINED 01,02 10,168 ENZON PHARMACEUTICALS INC COM 293904108 448 32,664 SH DEFINED 01,02 32,664 EPICOR SOFTWARE CORP COM 29426L108 186 13,179 SH DEFINED 01,02 13,179 EXPRESSJET HOLDINGS INC NOTE 4.250% 8/0 30218UAB4 9,438 9,195,000 PRN DEFINED 01,02 9,195,000 EXTREME NETWORKS INC COM 30226D106 86 13,100 SH DEFINED 01,02 13,100 FLIR SYS INC NOTE 3.000% 6/0 302445AB7 38,353 23,500,000 PRN DEFINED 01,02 23,500,000 FEDERATED INVS INC PA CL B 314211103 287 9,437 SH DEFINED 01,02 9,437 FEDEX CORP COM 31428X106 5,211 52,904 SH DEFINED 01,02 52,904 FIDELITY BANKSHARES INC NEW COM 31604Q107 640 14,976 SH DEFINED 01,02 14,976 FIFTH THIRD BANCORP COM 316773100 1,769 37,401 SH DEFINED 01,02 37,401 FIRST DATA CORP COM 319963104 650 15,270 SH DEFINED 01,02 15,270 FIRST HORIZON NATL CORP COM 320517105 698 16,200 SH DEFINED 01,02 16,200 FIRSTENERGY CORP COM 337932107 1,643 41,572 SH DEFINED 01,02 41,572 FLORIDA EAST COAST INDS COM 340632108 555 12,300 SH DEFINED 01,02 12,300 FORTUNE BRANDS INC COM 349631101 1,663 21,541 SH DEFINED 01,02 21,541 FOSSIL INC COM 349882100 2,119 82,628 SH DEFINED 01,02 82,628 FOUNDRY NETWORKS INC COM 35063R100 147 11,200 SH DEFINED 01,02 11,200 FUELCELL ENERGY INC COM 35952H106 1,053 106,315 SH DEFINED 01,02 106,315 G & K SVCS INC CL A 361268105 309 7,123 SH DEFINED 01,02 7,123 GANNETT INC COM 364730101 1,679 20,550 SH DEFINED 01,02 20,550 GAP INC DEL NOTE 5.750% 3/1 364760AJ7 41,782 31,500,000 PRN DEFINED 01,02 31,500,000 GENCORP INC NOTE 4.000% 1/1 368682AJ9 3,349 2,500,000 PRN DEFINED 01,02 2,500,000 GENENTECH INC COM NEW 368710406 294 5,400 SH DEFINED 01,02 5,400 GENERAL DYNAMICS CORP COM 369550108 2,887 27,602 SH DEFINED 01,02 27,602 GENERAL ELEC CO COM 369604103 1,492 40,885 SH DEFINED 01,02 40,885 GENESEE & WYO INC CL A 371559105 295 10,500 SH DEFINED 01,02 10,500 GENZYME CORP COM GENL DIV 372917104 1,907 32,847 SH DEFINED 01,02 32,847 GEORGIA PAC CORP COM 373298108 1,034 27,575 SH DEFINED 01,02 27,575 GILEAD SCIENCES INC COM 375558103 1,683 48,100 SH DEFINED 01,02 48,100 GILLETTE CO COM 375766102 458 10,237 SH DEFINED 01,02 10,237 GLOBAL PMTS INC COM 37940X102 925 15,800 SH DEFINED 01,02 15,800 GOLDEN TELE COM 38122G107 304 11,521 SH DEFINED 01,02 11,521 GOLDMAN SACHS GROUP INC COM 38141G104 3,541 34,039 SH DEFINED 01,02 34,039 GRACE W R & CO DEL NEW COM 38388F108 8,787 645,650 SH DEFINED 01,02 645,650 GRAINGER W W INC COM 384802104 1,073 16,110 SH DEFINED 01,02 16,110 GREAT PLAINS ENERGY INC COM 391164100 211 6,956 SH DEFINED 01,02 6,956 GREATER BAY BANCORP COM 391648102 1,282 45,987 SH DEFINED 01,02 45,987 GUESS INC COM 401617105 179 14,300 SH DEFINED 01,02 14,300 GUIDANT CORP COM 401698105 4,348 60,307 SH DEFINED 01,02 60,307 HCA INC COM 404119109 2,375 59,445 SH DEFINED 01,02 59,445 HALLIBURTON CO COM 406216101 1,140 29,046 SH DEFINED 01,02 29,046 HARLEY DAVIDSON INC COM 412822108 700 11,522 SH DEFINED 01,02 11,522 HARMAN INTL INDS INC COM 413086109 965 7,600 SH DEFINED 01,02 7,600 HARRIS CORP DEL COM 413875105 299 4,844 SH DEFINED 01,02 4,844 HAWAIIAN ELEC INDUSTRIES COM 419870100 303 10,402 SH DEFINED 01,02 10,402 HECLA MNG CO COM 422704106 72 12,286 SH DEFINED 01,02 12,286 HENRY JACK & ASSOC INC COM 426281101 891 44,767 SH DEFINED 01,02 44,767 HERSHEY FOODS CORP COM 427866108 268 4,834 SH DEFINED 01,02 4,834 HEXCEL CORP NEW COM 428291108 281 19,372 SH DEFINED 01,02 19,372 HONEYWELL INTL INC COM 438516106 1,238 34,962 SH DEFINED 01,02 34,962 HORMEL FOODS CORP COM 440452100 446 14,232 SH DEFINED 01,02 14,232 HOVNANIAN ENTERPRISES INC CL A 442487203 218 4,400 SH DEFINED 01,02 4,400 HUDSON CITY BANCORP COM 443683107 1,251 33,988 SH DEFINED 01,02 33,988 HUDSON UNITED BANCORP COM 444165104 780 19,800 SH DEFINED 01,02 19,800 HUGHES SUPPLY INC COM 444482103 580 17,932 SH DEFINED 01,02 17,932 HUNT J B TRANS SVCS INC COM 445658107 1,561 34,809 SH DEFINED 01,02 34,809 HUTTIG BLDG PRODS INC COM 448451104 116 11,100 SH DEFINED 01,02 11,100 ITT INDS INC IND COM 450911102 1,611 19,074 SH DEFINED 01,02 19,074 ILLINOIS TOOL WKS INC COM 452308109 5,123 55,271 SH DEFINED 01,02 55,271 IMPAC MTG HLDGS INC COM 45254P102 515 22,735 SH DEFINED 01,02 22,735 INTEGRATED CIRCUIT SYS INC COM 45811K208 1,799 86,000 SH DEFINED 01,02 86,000 INTEL CORP COM 458140100 5,092 217,721 SH DEFINED 01,02 217,721 INTERGRAPH CORP COM 458683109 543 20,157 SH DEFINED 01,02 20,157 INTERNATIONAL GAME TECHNOLOG COM 459902102 426 12,384 SH DEFINED 01,02 12,384 INTERNATIONAL SPEEDWAY CORP CL A 460335201 285 5,400 SH DEFINED 01,02 5,400 INTERVOICE INC NEW COM 461142101 151 11,300 SH DEFINED 01,02 11,300 INVITROGEN CORP COM 46185R100 1,047 15,600 SH DEFINED 01,02 15,600 IRON MTN INC PA COM 462846106 1,256 41,200 SH DEFINED 01,02 41,200 JDS UNIPHASE CORP NOTE 11/1 46612JAB7 17,888 18,440,000 PRN DEFINED 01,02 18,440,000 JABIL CIRCUIT INC COM 466313103 1,435 56,090 SH DEFINED 01,02 56,090 JANUS CAP GROUP INC COM 47102X105 1,292 76,848 SH DEFINED 01,02 76,848 JETBLUE AWYS CORP COM 477143101 401 17,271 SH DEFINED 01,02 17,271 JETBLUE AWYS CORP NOTE 3.500% 7/1 477143AB7 2,582 2,704,000 PRN DEFINED 01,02 2,704,000 JOHNSON & JOHNSON COM 478160104 1,484 23,402 SH DEFINED 01,02 23,402 JONES APPAREL GROUP INC COM 480074103 408 11,148 SH DEFINED 01,02 11,148 JOURNAL COMMUNICATIONS INC CL A 481130102 674 37,300 SH DEFINED 01,02 37,300 JOURNAL REGISTER CO COM 481138105 487 25,200 SH DEFINED 01,02 25,200 K2 INC COM 482732104 311 19,611 SH DEFINED 01,02 19,611 KANSAS CITY SOUTHERN COM NEW 485170302 427 24,100 SH DEFINED 01,02 24,100 KEANE INC COM 486665102 221 15,029 SH DEFINED 01,02 15,029 KELLOGG CO COM 487836108 306 6,842 SH DEFINED 01,02 6,842 KELLY SVCS INC CL A 488152208 333 11,042 SH DEFINED 01,02 11,042 KERR MCGEE CORP COM 492386107 654 11,312 SH DEFINED 01,02 11,312 KINDER MORGAN MANAGEMENT LLC SHS 49455U100 265 6,509 SH DEFINED 01,02 6,509 KIRBY CORP COM 497266106 203 4,576 SH DEFINED 01,02 4,576 KNIGHT RIDDER INC COM 499040103 282 4,217 SH DEFINED 01,02 4,217 KNIGHT TRADING GROUP INC COM 499063105 331 30,200 SH DEFINED 01,02 30,200 KORN FERRY INTL COM NEW 500643200 604 29,100 SH DEFINED 01,02 29,100 LSI LOGIC CORP NOTE 4.000% 5/1 502161AJ1 10,373 11,116,000 PRN DEFINED 01,02 11,116,000 L-3 COM 502424104 1,274 17,400 SH DEFINED 01,02 17,400 LABOR READY INC COM NEW 505401208 372 21,959 SH DEFINED 01,02 21,959 LAMAR ADVERTISING CO CL A 512815101 1,050 24,548 SH DEFINED 01,02 24,548 LANDSTAR SYS INC COM 515098101 258 3,508 SH DEFINED 01,02 3,508 LAUDER ESTEE COS INC CL A 518439104 1,858 40,600 SH DEFINED 01,02 40,600 LECG CORP COM 523234102 274 14,675 SH DEFINED 01,02 14,675 LEHMAN BROS HLDGS INC COM 524908100 320 3,653 SH DEFINED 01,02 3,653 LENNAR CORP CL A 526057104 1,111 19,600 SH DEFINED 01,02 19,600 LENNOX INTL INC NOTE 6.250% 6/0 526107AB3 9,173 7,175,000 PRN DEFINED 01,02 7,175,000 LEXMARK INTL NEW CL A 529771107 291 3,421 SH DEFINED 01,02 3,421 LIFEPOINT HOSPITALS INC COM 53219L109 585 16,800 SH DEFINED 01,02 16,800 LILLY ELI & CO COM 532457108 915 16,130 SH DEFINED 01,02 16,130 LINCOLN NATL CORP IND COM 534187109 448 9,590 SH DEFINED 01,02 9,590 LINENS N THINGS INC COM 535679104 584 23,555 SH DEFINED 01,02 23,555 LITTELFUSE INC COM 537008104 793 23,216 SH DEFINED 01,02 23,216 LIZ CLAIBORNE INC COM 539320101 721 17,080 SH DEFINED 01,02 17,080 LOCKHEED MARTIN CORP COM 539830109 5,180 93,254 SH DEFINED 01,02 93,254 LOUISIANA PAC CORP COM 546347105 383 14,310 SH DEFINED 01,02 14,310 LOWES COS INC COM 548661107 1,909 33,142 SH DEFINED 01,02 33,142 LUBRIZOL CORP COM 549271104 298 8,076 SH DEFINED 01,02 8,076 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AG2 20,660 15,000,000 PRN DEFINED 01,02 15,000,000 LUMINENT MTG CAP INC COM 550278303 651 54,700 SH DEFINED 01,02 54,700 MBNA CORP COM 55262L100 1,643 58,283 SH DEFINED 01,02 58,283 MFA MTG INVTS INC COM 55272X102 238 27,000 SH DEFINED 01,02 27,000 MGIC INVT CORP WIS COM 552848103 321 4,663 SH DEFINED 01,02 4,663 MAGELLAN HEALTH SVCS INC COM NEW 559079207 260 7,598 SH DEFINED 01,02 7,598 MAGMA DESIGN AUTOMATION COM 559181102 425 34,000 SH DEFINED 01,02 34,000 MAGNUM HUNTER RES INC COM PAR $0.002 * 55972F203 828 64,200 SH DEFINED 01,02 64,200 MANPOWER INC COM 56418H100 2,507 51,900 SH DEFINED 01,02 51,900 MARATHON OIL CORP COM 565849106 2,020 53,716 SH DEFINED 01,02 53,716 MARCUS CORP COM 566330106 337 13,400 SH DEFINED 01,02 13,400 MARSHALL & ILSLEY CORP COM 571834100 771 17,448 SH DEFINED 01,02 17,448 MASSEY ENERGY CORP COM 576206106 454 13,000 SH DEFINED 01,02 13,000 MCDATA CORP CL A 580031201 72 12,100 SH DEFINED 01,02 12,100 MCDONALDS CORP COM 580135101 445 13,895 SH DEFINED 01,02 13,895 MCG CAPITAL CORP COM 58047P107 270 15,750 SH DEFINED 01,02 15,750 MEDIACOM COMMUNICATIONS CORP CL A 58446K105 107 17,191 SH DEFINED 01,02 17,191 MEDICIS PHARMACEUTICAL CORP CL A NEW 584690309 3,908 111,300 SH DEFINED 01,02 111,300 MEDIMMUNE INC COM 584699102 283 10,452 SH DEFINED 01,02 10,452 MEDTRONIC INC COM 585055106 1,288 25,932 SH DEFINED 01,02 25,932 MENS WEARHOUSE INC COM 587118100 288 9,000 SH DEFINED 01,02 9,000 MERCURY INTERACTIVE CORP COM 589405109 1,480 32,500 SH DEFINED 01,02 32,500 MEREDITH CORP COM 589433101 672 12,400 SH DEFINED 01,02 12,400 METHODE ELECTRS INC COM 591520200 340 26,488 SH DEFINED 01,02 26,488 METLIFE INC COM 59156R108 279 6,891 SH DEFINED 01,02 6,891 MICROS SYS INC COM 594901100 351 4,500 SH DEFINED 01,02 4,500 MICROSOFT CORP COM 594918104 5,417 202,746 SH DEFINED 01,02 202,746 MICRON TECHNOLOGY INC COM 595112103 286 23,153 SH DEFINED 01,02 23,153 MIDDLEBY CORP COM 596278101 388 7,648 SH DEFINED 01,02 7,648 MORGAN STANLEY COM NEW 617446448 839 15,114 SH DEFINED 01,02 15,114 MYLAN LABS INC COM 628530107 891 50,400 SH DEFINED 01,02 50,400 NBTY INC COM 628782104 908 37,800 SH DEFINED 01,02 37,800 NS GROUP INC COM 628916108 321 11,537 SH DEFINED 01,02 11,537 NTL INC DEL COM 62940M104 1,021 14,000 SH DEFINED 01,02 14,000 NATIONAL CITY CORP COM 635405103 1,085 28,884 SH DEFINED 01,02 28,884 NEWFIELD EXPL CO COM 651290108 596 10,100 SH DEFINED 01,02 10,100 NEWMONT MINING CORP COM 651639106 5,009 112,789 SH DEFINED 01,02 112,789 NEWPARK RES INC COM PAR $.01NEW 651718504 151 29,400 SH DEFINED 01,02 29,400 NIKE INC CL B 654106103 3,192 35,193 SH DEFINED 01,02 35,193 NORDSTROM INC COM 655664100 1,379 29,500 SH DEFINED 01,02 29,500 NORFOLK SOUTHERN CORP COM 655844108 1,553 42,900 SH DEFINED 01,02 42,900 NORTH FORK BANCORPORATION NY COM 659424105 2,023 70,124 SH DEFINED 01,02 70,124 NORTHROP GRUMMAN CORP COM 666807102 1,433 26,365 SH DEFINED 01,02 26,365 NVIDIA CORP COM 67066G104 981 41,638 SH DEFINED 01,02 41,638 OAKLEY INC COM 673662102 476 37,300 SH DEFINED 01,02 37,300 OFFSHORE LOGISTICS INC COM 676255102 244 7,500 SH DEFINED 01,02 7,500 ON SEMICONDUCTOR CORP COM 682189105 53 11,700 SH DEFINED 01,02 11,700 O REILLY AUTOMOTIVE INC COM 686091109 288 6,396 SH DEFINED 01,02 6,396 OVERSEAS SHIPHOLDING GROUP I COM 690368105 3,781 68,500 SH DEFINED 01,02 68,500 OWENS & MINOR INC NEW COM 690732102 417 14,800 SH DEFINED 01,02 14,800 PMC-SIERRA INC COM 69344F106 961 85,400 SH DEFINED 01,02 85,400 PPG INDS INC COM 693506107 859 12,598 SH DEFINED 01,02 12,598 PACIFIC SUNWEAR CALIF INC COM 694873100 260 11,700 SH DEFINED 01,02 11,700 PARKER HANNIFIN CORP COM 701094104 1,155 15,250 SH DEFINED 01,02 15,250 PAYCHEX INC COM 704326107 2,441 71,630 SH DEFINED 01,02 71,630 PAYLESS SHOESOURCE INC COM 704379106 510 41,500 SH DEFINED 01,02 41,500 PEABODY ENERGY CORP COM 704549104 1,351 16,700 SH DEFINED 01,02 16,700 PENN VA CORP COM 707882106 243 6,000 SH DEFINED 01,02 6,000 PENNEY J C INC COM 708160106 970 23,432 SH DEFINED 01,02 23,432 PEPSI BOTTLING GROUP INC COM 713409100 714 26,387 SH DEFINED 01,02 26,387 PEPSICO INC COM 713448108 4,488 85,983 SH DEFINED 01,02 85,983 PERFORMANCE FOOD GROUP CO COM 713755106 245 9,100 SH DEFINED 01,02 9,100 PERRIGO CO COM 714290103 497 28,800 SH DEFINED 01,02 28,800 PHARMACEUTICAL PROD DEV INC COM 717124101 344 8,328 SH DEFINED 01,02 8,328 PINNACLE WEST CAP CORP COM 723484101 226 5,100 SH DEFINED 01,02 5,100 PLANTRONICS INC NEW COM 727493108 1,124 27,100 SH DEFINED 01,02 27,100 PLEXUS CORP COM 729132100 131 10,085 SH DEFINED 01,02 10,085 POGO PRODUCING CO COM 730448107 2,032 41,898 SH DEFINED 01,02 41,898 PRAXAIR INC COM 74005P104 287 6,500 SH DEFINED 01,02 6,500 PRECISION CASTPARTS CORP COM 740189105 558 8,500 SH DEFINED 01,02 8,500 PREMCOR INC COM 74045Q104 605 14,343 SH DEFINED 01,02 14,343 PRICE T ROWE GROUP INC COM 74144T108 302 4,851 SH DEFINED 01,02 4,851 PROCTER & GAMBLE CO COM 742718109 5,269 95,668 SH DEFINED 01,02 95,668 PROGRESSIVE CORP OHIO COM 743315103 773 9,111 SH DEFINED 01,02 9,111 PROQUEST COM 74346P102 428 14,400 SH DEFINED 01,02 14,400 PROVIDIAN FINL CORP COM 74406A102 495 30,083 SH DEFINED 01,02 30,083 PULTE HOMES INC COM 745867101 2,004 31,415 SH DEFINED 01,02 31,415 QUALCOMM COM 747525103 2,389 56,334 SH DEFINED 01,02 56,334 QUEST DIAGNOSTICS INC COM 74834L100 364 3,807 SH DEFINED 01,02 3,807 RAIT INVT TR COM 749227104 845 30,200 SH DEFINED 01,02 30,200 RSA SEC INC COM 749719100 636 31,716 SH DEFINED 01,02 31,716 RADISYS CORP NOTE 1.375%11/1 750459AD1 3,667 3,386,000 PRN DEFINED 01,02 3,386,000 RAYTHEON CO COM NEW 755111507 1,393 35,879 SH DEFINED 01,02 35,879 REGENERON PHARMACEUTICALS NOTE 5.500%10/1 75886FAB3 3,484 3,587,000 PRN DEFINED 01,02 3,587,000 REGIS CORP MINN COM 758932107 434 9,400 SH DEFINED 01,02 9,400 REMINGTON OIL & GAS CORP COM 759594302 858 31,472 SH DEFINED 01,02 31,472 RENAL CARE GROUP INC COM 759930100 204 5,669 SH DEFINED 01,02 5,669 RESOURCES CONNECTION INC COM 76122Q105 318 5,847 SH DEFINED 01,02 5,847 ROBERT HALF INTL INC COM 770323103 1,966 66,800 SH DEFINED 01,02 66,800 ROCKWELL COLLINS INC COM 774341101 915 23,200 SH DEFINED 01,02 23,200 ROGERS CORP COM 775133101 388 9,000 SH DEFINED 01,02 9,000 ROPER INDS INC NEW COM 776696106 504 8,300 SH DEFINED 01,02 8,300 RYDER SYS INC COM 783549108 1,084 22,700 SH DEFINED 01,02 22,700 SBC COMMUNICATIONS INC COM 78387G103 2,673 103,741 SH DEFINED 01,02 103,741 SPDR TR UNIT SER 1 78462F103 55,052 455,467 SH DEFINED 01,02 455,467 SPX CORP COM 784635104 569 14,200 SH DEFINED 01,02 14,200 SABRE HLDGS CORP CL A 785905100 829 37,397 SH DEFINED 01,02 37,397 SARA LEE CORP COM 803111103 1,455 60,277 SH DEFINED 01,02 60,277 SCRIPPS E W CO OHIO CL A 811054204 2,380 49,300 SH DEFINED 01,02 49,300 SELECTIVE INS GROUP INC COM 816300107 593 13,400 SH DEFINED 01,02 13,400 SEMPRA ENERGY COM 816851109 443 12,082 SH DEFINED 01,02 12,082 SERENA SOFTWARE INC NOTE 1.500%12/1 817492AB7 15,212 13,000,000 PRN DEFINED 01,02 13,000,000 SHERWIN WILLIAMS CO COM 824348106 1,209 27,100 SH DEFINED 01,02 27,100 SILICON STORAGE TECHNOLOGY I COM 827057100 180 30,332 SH DEFINED 01,02 30,332 SILICON VY BANCSHARES COM 827064106 426 9,500 SH DEFINED 01,02 9,500 SKYWORKS SOLUTIONS INC COM 83088M102 182 19,300 SH DEFINED 01,02 19,300 SMITH INTL INC COM 832110100 5,147 94,600 SH DEFINED 01,02 94,600 SMUCKER J M CO COM NEW 832696405 366 7,779 SH DEFINED 01,02 7,779 SOLECTRON CORP COM 834182107 514 96,501 SH DEFINED 01,02 96,501 SOTHEBYS HLDGS INC CL A 835898107 341 18,800 SH DEFINED 01,02 18,800 SOUTH FINL GROUP INC COM 837841105 295 9,061 SH DEFINED 01,02 9,061 SOUTHERN CO COM 842587107 214 6,371 SH DEFINED 01,02 6,371 SOUTHERN UN CO NEW COM 844030106 588 24,500 SH DEFINED 01,02 24,500 SPARTECH CORP COM NEW 847220209 432 15,938 SH DEFINED 01,02 15,938 SPORTS AUTH INC NEW COM 84917U109 518 20,100 SH DEFINED 01,02 20,100 STARTEK INC COM 85569C107 418 14,700 SH DEFINED 01,02 14,700 STATE AUTO FINL CORP COM 855707105 857 33,145 SH DEFINED 01,02 33,145 STATE STR CORP COM 857477103 490 9,982 SH DEFINED 01,02 9,982 STATION CASINOS INC COM 857689103 541 9,900 SH DEFINED 01,02 9,900 STEELCASE INC CL A 858155203 610 44,100 SH DEFINED 01,02 44,100 STILLWATER MNG CO COM 86074Q102 283 25,100 SH DEFINED 01,02 25,100 STONE ENERGY CORP COM 861642106 271 6,000 SH DEFINED 01,02 6,000 STRYKER CORP COM 863667101 670 13,880 SH DEFINED 01,02 13,880 SUNGARD DATA SYS INC COM 867363103 261 9,211 SH DEFINED 01,02 9,211 SUNOCO INC COM 86764P109 596 7,300 SH DEFINED 01,02 7,300 SUPERIOR INDS INTL INC COM 868168105 278 9,578 SH DEFINED 01,02 9,578 SWIFT TRANSN CO COM 870756103 404 18,800 SH DEFINED 01,02 18,800 SYBRON DENTAL SPECIALTIES IN COM 871142105 241 6,800 SH DEFINED 01,02 6,800 SYNAPTICS INC COM 87157D109 1,270 41,533 SH DEFINED 01,02 41,533 TALBOTS INC COM 874161102 485 17,800 SH DEFINED 01,02 17,800 TARGET CORP COM 87612E106 1,402 26,991 SH DEFINED 01,02 26,991 TECHNICAL OLYMPIC USA INC COM 878483106 375 14,787 SH DEFINED 01,02 14,787 TEKTRONIX INC COM 879131100 2,368 78,400 SH DEFINED 01,02 78,400 TELEWEST GLOBAL INC COM 87956T107 3,862 219,700 SH DEFINED 01,02 219,700 TEXAS REGL BANCSHARES INC CL A VTG 882673106 500 15,300 SH DEFINED 01,02 15,300 THORATEC CORP NOTE 2.375% 5/1 885175AB5 5,086 10,000,000 PRN DEFINED 01,02 10,000,000 TIFFANY & CO NEW COM 886547108 3,106 97,158 SH DEFINED 01,02 97,158 TIMBERLAND CO CL A 887100105 539 8,600 SH DEFINED 01,02 8,600 TOOTSIE ROLL INDS INC COM 890516107 339 9,800 SH DEFINED 01,02 9,800 TRIAD HOSPITALS INC COM 89579K109 1,150 30,913 SH DEFINED 01,02 30,913 TRIBUNE CO NEW COM 896047107 307 7,296 SH DEFINED 01,02 7,296 II VI INC COM 902104108 612 14,404 SH DEFINED 01,02 14,404 ULTICOM COM 903844108 249 15,505 SH DEFINED 01,02 15,505 UNISYS CORP COM 909214108 357 35,027 SH DEFINED 01,02 35,027 UNITED PARCEL SERVICE INC CL B 911312106 3,475 40,665 SH DEFINED 01,02 40,665 UNITED TECHNOLOGIES CORP COM 913017109 1,020 9,867 SH DEFINED 01,02 9,867 UNOCAL CORP COM 915289102 3,705 85,695 SH DEFINED 01,02 85,695 URBAN OUTFITTERS INC COM 917047102 844 19,000 SH DEFINED 01,02 19,000 VCA ANTECH INC COM 918194101 1,354 69,276 SH DEFINED 01,02 69,276 VALERO ENERGY CORP NEW COM 91913Y100 867 19,100 SH DEFINED 01,02 19,100 VERITY INC COM 92343C106 137 10,407 SH DEFINED 01,02 10,407 VERIZON COM 92343V104 1,906 47,041 SH DEFINED 01,02 47,041 WACHOVIA CORP 2ND NEW COM 929903102 1,989 37,821 SH DEFINED 01,02 37,821 WAL MART STORES INC COM 931142103 2,198 41,610 SH DEFINED 01,02 41,610 WATERS CORP COM 941848103 346 7,400 SH DEFINED 01,02 7,400 WEBMD CORP NOTE 1.750% 6/1 94769MAE5 8,815 10,075,000 PRN DEFINED 01,02 10,075,000 WELLS FARGO & CO NEW COM 949746101 2,710 43,601 SH DEFINED 01,02 43,601 WESTERN WIRELESS CORP CL A 95988E204 260 8,875 SH DEFINED 01,02 8,875 WEYERHAEUSER CO COM 962166104 2,424 36,062 SH DEFINED 01,02 36,062 WILLBROS GROUP INC NOTE 2.750% 3/1 969199AC2 2,244 1,700,000 PRN DEFINED 01,02 1,700,000 WILLIAMS SONOMA INC COM 969904101 2,022 57,700 SH DEFINED 01,02 57,700 WINNEBAGO INDS INC COM 974637100 574 14,700 SH DEFINED 01,02 14,700 WINTRUST FINANCIAL CORP COM 97650W108 416 7,300 SH DEFINED 01,02 7,300 WISCONSIN ENERGY CORP COM 976657106 301 8,917 SH DEFINED 01,02 8,917 WORTHINGTON INDS INC COM 981811102 1,351 69,009 SH DEFINED 01,02 69,009 XEROX CORP COM 984121103 2,114 124,287 SH DEFINED 01,02 124,287 ZALE CORP NEW COM 988858106 215 7,200 SH DEFINED 01,02 7,200 DAIMLERCHRYSLER AG ORD D1668R123 1,821 37,900 SH DEFINED 01,02 37,900 ACCENTURE LTD BERMUDA CL A G1150G111 1,131 41,900 SH DEFINED 01,02 41,900 CHINADOTCOM CORP CL A G2108N109 52 11,385 SH DEFINED 01,02 11,385 FRONTLINE LTD ORD G3682E127 679 15,300 SH DEFINED 01,02 15,300 NABORS INDUSTRIES LTD SHS G6359F103 286 5,579 SH DEFINED 01,02 5,579 ORIENT-EXPRESS HOTELS LTD CL A G67743107 251 12,200 SH DEFINED 01,02 12,200 O2MICRO INTERNATIONAL LIMITE ORD G6797E106 390 34,049 SH DEFINED 01,02 34,049 SINA CORP ORD G81477104 672 20,974 SH DEFINED 01,02 20,974 UTI WORLDWIDE INC ORD G87210103 1,640 24,106 SH DEFINED 01,02 24,106 MILLICOM INTL CELLULAR S A SHS NEW L6388F110 313 13,778 SH DEFINED 01,02 13,778 RADWARE LTD ORD M81873107 209 7,992 SH DEFINED 01,02 7,992 FLEXTRONICS INTL LTD ORD Y2573F102 1,593 115,300 SH DEFINED 01,02 115,300 GENERAL MARITIME CORP SHS Y2692M103 3,332 83,400 SH DEFINED 01,02 83,400 OMI CORP NEW COM Y6476W104 3,498 207,600 SH DEFINED 01,02 207,600 TEEKAY SHIPPING MARSHALL ISL COM Y8564W103 2,960 70,300 SH DEFINED 01,02 70,300 415 787,609
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