-----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, NayfHpzkrzxGI0xbbqpwPvEHFLJYNvZZbMevWnCwmmx+x50FgAMMVYuEg54bDGwO 9RDUO9Hh5jlEdla98RgKFg== 0000950159-04-000787.txt : 20040816 0000950159-04-000787.hdr.sgml : 20040816 20040816113413 ACCESSION NUMBER: 0000950159-04-000787 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040816 EFFECTIVENESS DATE: 20040816 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: 04976945 BUSINESS ADDRESS: STREET 1: 32 OLD SLIP 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 2128250400 13F-HR 1 clinton13f.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: June 30, 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 8/13/04 - ---------------------- -------------- -------- [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: 363 Form 13F Information Table Value Total: $610,692 (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 ACCENTURE LTD CL A G1150G111 429 15600 SH Defined 01,02 Sole AMDOCS LTD ORD G02602103 474 20210 SH Defined 01,02 Sole AMYLIN PHARMACEUTICALS Note 2.250% 6/3 032346AB4 5,033 5,000,000 PRN Defined 01,02 None ARTHUR J GALLAGHER & CO COM 363576109 438 14400 SH Defined 01,02 Sole ASE TEST LIMITED ORD Y02516105 372 50540 SH Defined 01,02 Sole AVAYA INC COM 053499109 175 11100 SH Defined 01,02 Sole AVNET INC COM 053807103 590 26000 SH Defined 01,02 Sole BARR PHARMACEUTICALS INC COM 068306109 1,837 54500 SH Defined 01,02 Sole BEA SYSTEMS INC COM 073325102 461 56100 SH Defined 01,02 Sole BEBE STORES INC COM 075571109 366 18300 SH Defined 01,02 Sole BED BATH & BEYOND INC COM 075896100 602 15646 SH Defined 01,02 Sole BELLSOUTH CORP COM 079860102 885 33750 SH Defined 01,02 Sole BEST BUY CO INC COM 086516101 1,529 30132 SH Defined 01,02 Sole BEVERLY ENTERPRISES INC COM 087851309 129 15000 SH Defined 01,02 Sole BISYS GROUP INC/THE COM 055472104 307 21869 SH Defined 01,02 Sole BLOCKBUSTER INC CL A 093679108 701 46200 SH Defined 01,02 Sole BOSTON PRIVATE FINL HOLDING COM 101119105 236 10196 SH Defined 01,02 Sole BUCKEYE PARTNERS -LP UNIT LTD PARTN 118230101 941 23200 SH Defined 01,02 Sole CALLAWAY GOLF COMPANY COM 131193104 703 62000 SH Defined 01,02 Sole CAPITAL AUTOMOTIVE REIT COM SH BEN INT 139733109 867 29568 SH Defined 01,02 Sole CAREMARK RX INC COM 141705103 1,084 32900 SH Defined 01,02 Sole CARNIVAL CORP DBCV 1.132% 4/2 143658AV4 4,283 5,560,000 PRN Defined 01,02 None CATERPILLAR INC COM 149123101 3,360 42294 SH Defined 01,02 Sole CBRL GROUP INC COM 12489V106 1,314 42577 SH Defined 01,02 Sole CENTRAL GARDEN & PET CO COM 153527106 767 21433 SH Defined 01,02 Sole CERIDIAN CORP COM 156779100 626 27800 SH Defined 01,02 Sole CHESAPEAKE ENERGY CORP PFD CONV 5% 165167800 21,824 195,100 PRN Defined 01,02 None CHESAPEAKE ENERGY CORP COM 165167107 327 22236 SH Defined 01,02 Sole CHEVRONTEXACO CORP COM 166764100 1,730 18388 SH Defined 01,02 Sole CHIRON CORP COM 170040109 2,093 46883 SH Defined 01,02 Sole CIBER INC COM 17163B102 368 44800 SH Defined 01,02 Sole CIMAREX ENERGY CO COM 171798101 1,233 40800 SH Defined 01,02 Sole CINERGY CORP COM 172474108 1,494 39304 SH Defined 01,02 Sole CISCO SYSTEMS INC COM 17275R102 247 10438 SH Defined 01,02 Sole Page 1 CITIZENS BANKING CORP MICH COM 174420109 376 12100 SH Defined 01,02 Sole CLEAR CHANNEL COMMUNICATIONS COM 184502102 674 18251 SH Defined 01,02 Sole COCA-COLA CO/THE COM 191216100 753 14919 SH Defined 01,02 Sole COEUR D'ALENE MINES CORP COM 192108108 277 67800 SH Defined 01,02 Sole COGNIZANT TECH SOLUTIONS CL A 192446102 272 10700 SH Defined 01,02 Sole COMMERCE BANCORP INC/NJ COM 200519106 2,052 37300 SH Defined 01,02 Sole COMMUNITY HEALTH SYSTEMS INC COM 203668108 911 34019 SH Defined 01,02 Sole COMPUTER NETWORK TECH NOTE 3.000% 2/1 204925AC5 6,435 7,455,000 PRN Defined 01,02 None COMPUWARE CORP COM 205638109 495 74926 SH Defined 01,02 Sole COMSTOCK RESOURCES INC COM 205768203 825 42400 SH Defined 01,02 Sole CONEXANT SYSTEMS INC COM 207142100 196 45218 SH Defined 01,02 Sole CONOCOPHILLIPS COM 20825C104 960 12589 SH Defined 01,02 Sole CONSOLIDATED EDISON INC COM 209115104 403 10148 SH Defined 01,02 Sole CONSTELLATION ENERGY GROUP COM 210371100 936 24693 SH Defined 01,02 Sole CORINTHIAN COLLEGES INC COM 218868107 417 16873 SH Defined 01,02 Sole COST PLUS INC/CALIFORNIA COM 221485105 870 26817 SH Defined 01,02 Sole COX COMMUNICATIONS INC CL A 224044107 648 23300 SH Defined 01,02 Sole COX RADIO INC CL A 224051102 610 35100 SH Defined 01,02 Sole CROMPTON CORP COM 227116100 148 23454 SH Defined 01,02 Sole CSK AUTO CORP COM 125965103 178 10400 SH Defined 01,02 Sole CUBIC CORP COM 229669106 268 12810 SH Defined 01,02 Sole CUMULUS MEDIA INC CL A 231082108 194 11567 SH Defined 01,02 Sole CYPRESS SEMICONDUCTOR CORP COM 232806109 1,093 77000 SH Defined 01,02 Sole DARDEN RESTAURANTS INC COM 237194105 1,060 51600 SH Defined 01,02 Sole DAVITA INC COM 23918K108 502 16299 SH Defined 01,02 Sole DELL INC COM 24702R101 437 12196 SH Defined 01,02 Sole DELTA & PINE LAND CO COM 247357106 268 12200 SH Defined 01,02 Sole DIGITAL INSIGHT CORP COM 25385P106 316 15368 SH Defined 01,02 Sole DJ ORTHOPEDICS INC COM 23325G104 368 16000 SH Defined 01,02 Sole DOUBLECLICK INC COM 258609304 160 20555 SH Defined 01,02 Sole DOW JONES & CO INC COM 260561105 1,288 28551 SH Defined 01,02 Sole DUANE READE INC NOTE 2.148% 2/1 263578AC0 16,699 29,360,000 PRN Defined 01,02 None ECHOSTAR COMMUNICATIONS CL A 278762109 2,245 73000 SH Defined 01,02 Sole ECOLLEGE.COM INC COM 27887E100 369 23081 SH Defined 01,02 Sole ELI LILLY & CO COM 532457108 1,219 17430 SH Defined 01,02 Sole Page 2 ELKCORP COM 287456107 311 12991 SH Defined 01,02 Sole EMC CORP/MASS COM 268648102 256 22436 SH Defined 01,02 Sole EMMIS COMMUNICATIONS CL A 291525103 1,299 61937 SH Defined 01,02 Sole EMULEX CORP COM 292475209 482 33700 SH Defined 01,02 Sole ENCORE ACQUISITION CO COM 29255W100 1,331 47695 SH Defined 01,02 Sole ENCORE WIRE CORP COM 292562105 366 13275 SH Defined 01,02 Sole ENERGY PARTNERS LTD COM 29270U105 450 29400 SH Defined 01,02 Sole ENTEGRIS INC COM 29362U104 632 54600 SH Defined 01,02 Sole ENTERCOM COMMUNICATIONS CORP COM 293639100 1,219 32682 SH Defined 01,02 Sole ENTERPRISE PRODUCTS PARTNERS COM 293792107 818 38500 SH Defined 01,02 Sole EQUITY OFFICE PROPERTIES TR COM 294741103 748 27500 SH Defined 01,02 Sole ESPEED INC CL A 296643109 369 20888 SH Defined 01,02 Sole ESS TECHNOLOGY COM 269151106 379 35419 SH Defined 01,02 Sole EXELON CORP COM 30161N101 614 18430 SH Defined 01,02 Sole EXPRESSJET HOLDINGS NOTE 4.250% 8/0 30218UAB4 12,379 12,750,000 PRN Defined 01,02 None EXPRESSJET HOLDINGS INC COM 30218U108 310 25500 SH Defined 01,02 Sole EXXON MOBIL CORP COM 30231G102 2,329 52452 SH Defined 01,02 Sole FACTSET RESEARCH SYSTEMS INC COM 303075105 898 19000 SH Defined 01,02 Sole FAIRCHILD SEMICON INTL COM 303726103 992 60600 SH Defined 01,02 Sole FEDERATED DEPARTMENT STORES COM 31410H101 1,380 28114 SH Defined 01,02 Sole FERRELLGAS PARTNERS-LP UNIT LTD PARTN 315293100 223 10400 SH Defined 01,02 Sole FERRO CORP COM 315405100 387 14500 SH Defined 01,02 Sole FIFTH THIRD BANCORP COM 316773100 1,349 25088 SH Defined 01,02 Sole FIRST AMERICAN CORPORATION COM 318522307 730 28200 SH Defined 01,02 Sole FIRST COMMONWEALTH FINL CORP COM 319829107 636 49000 SH Defined 01,02 Sole FIRST NIAGARA FINANCIAL GRP COM 33582V108 478 39798 SH Defined 01,02 Sole FIRSTENERGY CORP COM 337932107 598 15972 SH Defined 01,02 Sole FORD MOTOR CO COM 345370860 1,153 73663 SH Defined 01,02 Sole FOREST LABORATORIES INC COM 345838106 2,386 42138 SH Defined 01,02 Sole FOREST OIL CORP COM 346091705 1,437 52600 SH Defined 01,02 Sole FORTUNE BRANDS INC COM 349631101 3,346 44357 SH Defined 01,02 Sole FOUNDRY NETWORKS INC COM 35063R100 339 24117 SH Defined 01,02 Sole FOX ENTERTAINMENT GRP INC CL A 35138T107 1,677 62800 SH Defined 01,02 Sole FRANKLIN RESOURCES INC COM 354613101 942 18817 SH Defined 01,02 Sole FREMONT GENERAL CORP COM 357288109 222 12600 SH Defined 01,02 Sole Page 3 FRONTIER OIL CORP COM 35914P105 657 31000 SH Defined 01,02 Sole GANNETT CO COM 364730101 1,930 22750 SH Defined 01,02 Sole GAP INC NOTE 5.750% 3/1 364760AJ7 52,093 33,500,000 PRN Defined 01,02 None GAP INC/THE COM 364760108 384 15816 SH Defined 01,02 Sole GENERAL COMMUNICATION CL A 369385109 340 42834 SH Defined 01,02 Sole GENERAL MOTORS CORP COM 370442105 2,760 59246 SH Defined 01,02 Sole GEORGIA-PACIFIC CORP COM 373298108 507 13700 SH Defined 01,02 Sole GOLDMAN SACHS GROUP INC COM 38141G104 4,778 50739 SH Defined 01,02 Sole GRANITE CONSTRUCTION INC COM 387328107 569 31196 SH Defined 01,02 Sole GREAT PLAINS ENERGY INC COM 391164100 832 28000 SH Defined 01,02 Sole GTECH HOLDINGS CORP COM 400518106 1,255 27100 SH Defined 01,02 Sole GUESS? INC COM 401617105 380 23600 SH Defined 01,02 Sole HAIN CELESTIAL GROUP INC COM 405217100 217 11980 SH Defined 01,02 Sole HANOVER COMPRESS CO NOTE 4.750% 1/1 410768AE5 7,267 6,375,000 PRN Defined 01,02 None HARRIS INTERACTIVE INC COM 414549105 320 47600 SH Defined 01,02 Sole HASBRO INC COM 418056107 1,588 83600 SH Defined 01,02 Sole HEALTH CARE PPTYS INVEST INC COM 421915109 606 25200 SH Defined 01,02 Sole HEALTH MGMT ASSOCIATES INC CL A 421933102 1,365 60904 SH Defined 01,02 Sole HECLA MINING CO COM 422704106 278 48702 SH Defined 01,02 Sole HELMERICH & PAYNE COM 423452101 498 19032 SH Defined 01,02 Sole HENRY SCHEIN INC COM 806407102 873 13831 SH Defined 01,02 Sole HILTON HOTELS CORP COM 432848109 1,007 53947 SH Defined 01,02 Sole HUDSON CITY BANCORP INC COM 443683107 1,667 49850 SH Defined 01,02 Sole HUGHES SUPPLY INC COM 444482103 843 14300 SH Defined 01,02 Sole HUMANA INC COM 444859102 353 20915 SH Defined 01,02 Sole IAC/INTERACTIVECORP COM 44919P102 582 19300 SH Defined 01,02 Sole IDACORP INC COM 451107106 405 15000 SH Defined 01,02 Sole IMPAX LABORATORIES INC COM 45256B101 258 13300 SH Defined 01,02 Sole INDEPENDENCE COMMUNITY BANK COM 453414104 524 14405 SH Defined 01,02 Sole INDEPENDENT BANK CORP - MICH COM 453838104 312 12285 SH Defined 01,02 Sole INFORMATICA CORP COM 45666Q102 157 20627 SH Defined 01,02 Sole INSTINET GROUP INCORPORATED COM 457750107 253 47942 SH Defined 01,02 Sole INTEGRATED DEVICE TECH INC COM 458118106 477 34500 SH Defined 01,02 Sole INTEGRATED SILICON SOLUTION COM 45812P107 168 13800 SH Defined 01,02 Sole INTEL CORP COM 458140100 1,947 70559 SH Defined 01,02 Sole Page 4 INTERCEPT INC COM 45845L107 986 60179 SH Defined 01,02 Sole INTERDIGITAL COMM CORP COM 45866A105 443 23541 SH Defined 01,02 Sole INTERPUBLIC GROUP OF COS INC COM 460690100 766 55812 SH Defined 01,02 Sole INTERWOVEN INC COM 46114T508 112 11100 SH Defined 01,02 Sole INTL GAME TECHNOLOGY COM 459902102 2,300 59588 SH Defined 01,02 Sole INTUIT INC COM 461202103 844 21872 SH Defined 01,02 Sole IPC HOLDINGS LTD ORD G4933P101 589 15947 SH Defined 01,02 Sole ISLE OF CAPRI CASINOS COM 464592104 726 41620 SH Defined 01,02 Sole IXIA COM 45071R109 189 19259 SH Defined 01,02 Sole JDS UNIPHASE CORPORATION NOTE 11/1 46612JAB7 9,251 8,750,000 PRN Defined 01,02 None JEFFERIES GROUP INC (NEW) COM 472319102 1,208 39064 SH Defined 01,02 Sole JM SMUCKER CO/THE-NEW COMMON COM 832696405 1,253 27300 SH Defined 01,02 Sole JOHNSON & JOHNSON COM 478160104 841 15102 SH Defined 01,02 Sole K2 INC COM 482732104 625 39790 SH Defined 01,02 Sole KB HOME COM 48666K109 700 10200 SH Defined 01,02 Sole KEANE INC COM 486665102 235 17200 SH Defined 01,02 Sole KELLWOOD CO COM 488044108 745 17100 SH Defined 01,02 Sole KEMET CORP COM 488360108 1,240 101500 SH Defined 01,02 Sole KINDER MORGAN ENERGY PRTNRS COM 494550106 644 15820 SH Defined 01,02 Sole KING PHARMACEUTICAL INC DBCV 2.750% 11/1 495582AG3 9,288 10,000,000 PRN Defined 01,02 None KING PHARMACEUTICALS INC COM 495582108 520 45386 SH Defined 01,02 Sole KIRBY CORP COM 497266106 501 12876 SH Defined 01,02 Sole KNIGHT TRADING GROUP INC CL A 499063105 533 53242 SH Defined 01,02 Sole KOHLS CORP COM 500255104 1,871 44249 SH Defined 01,02 Sole KOS PHARMACEUTICALS INC COM 500648100 487 14773 SH Defined 01,02 Sole KRISPY KREME DOUGHNUTS INC COM 501014104 729 38200 SH Defined 01,02 Sole KULICKE & SOFFA INDUSTRIES COM 501242101 354 32292 SH Defined 01,02 Sole KV PHARMACEUTICAL CO CL A 482740206 1,330 57600 SH Defined 01,02 Sole LABRANCHE & CO INC COM 505447102 178 21100 SH Defined 01,02 Sole LANDAMERICA FINANCIAL GROUP COM 514936103 561 14400 SH Defined 01,02 Sole LATTICE SEMICONDUCTOR CORP COM 518415104 753 107400 SH Defined 01,02 Sole LAWSON SOFTWARE INC COM 520780107 195 27500 SH Defined 01,02 Sole LEAPFROG ENTERPRISES INC COM 52186N106 304 15300 SH Defined 01,02 Sole LEHMAN BROTHERS HOLDINGS INC COM 524908100 1,855 24653 SH Defined 01,02 Sole LENNAR CORP CL A 526057104 1,838 41100 SH Defined 01,02 Sole Page 5 LEXAR MEDIA INC COM 52886P104 192 28700 SH Defined 01,02 Sole LIMITED BRANDS COM 532716107 711 38048 SH Defined 01,02 Sole LIONBRIDGE TECHNOLOGIES INC COM 536252109 109 14233 SH Defined 01,02 Sole LOUISIANA-PACIFIC CORP COM 546347105 1,085 45890 SH Defined 01,02 Sole LSI LOGIC CORP NOTE 4.000% 5/1 502161AJ1 3,002 3,000,000 PRN Defined 01,02 None LTX CORP COM 502392103 196 18100 SH Defined 01,02 Sole LUCENT TECHNOLOGIES DBCV 2.750% 6/1 549463AG2 20,784 15,000,000 PRN Defined 01,02 None MACDERMID INC COM 554273102 792 23409 SH Defined 01,02 Sole MAGELLAN MIDSTREAM PARTNERS COM 559080106 895 17600 SH Defined 01,02 Sole MAGNUM HUNTER RESOURCES INC COM 55972F203 1,415 136314 SH Defined 01,02 Sole MANOR CARE INC COM 564055101 2,291 70100 SH Defined 01,02 Sole MARATHON OIL CORP COM 565849106 1,824 48216 SH Defined 01,02 Sole MARRIOTT INTERNATIONAL CL A 571903202 674 13509 SH Defined 01,02 Sole MAX RE CAPITAL LTD SHS G6052F103 487 25000 SH Defined 01,02 Sole MAXIMUS INC COM 577933104 395 11153 SH Defined 01,02 Sole MAXTOR CORP COM 577729205 384 57900 SH Defined 01,02 Sole MAY DEPARTMENT STORES CO COM 577778103 1,504 54701 SH Defined 01,02 Sole MAYTAG CORP COM 578592107 1,206 49200 SH Defined 01,02 Sole MCDONALD'S CORP COM 580135101 2,179 83795 SH Defined 01,02 Sole MCKESSON CORP COM 58155Q103 403 11735 SH Defined 01,02 Sole MEDIMMUNE INC COM 584699102 1,168 49935 SH Defined 01,02 Sole MEDTRONIC INC COM 585055106 749 15373 SH Defined 01,02 Sole MFA MORTGAGE INVESTMENTS INC COM 55272X102 716 80500 SH Defined 01,02 Sole MGI PHARMA INC COM 552880106 818 30270 SH Defined 01,02 Sole MICREL INC COM 594793101 752 61861 SH Defined 01,02 Sole MOHAWK INDUSTRIES INC COM 608190104 1,107 15100 SH Defined 01,02 Sole MONTPELIER RE HOLDINGS LTD SHS G62185106 473 13540 SH Defined 01,02 Sole MORGAN STANLEY COM 617446448 3,579 67814 SH Defined 01,02 Sole MOTOROLA INC COM 620076109 1,378 75483 SH Defined 01,02 Sole MOVIE GALLERY INC COM 624581104 340 17389 SH Defined 01,02 Sole M-SYSTEMS FLASH DISK PIONEER ORD M7061C100 368 24698 SH Defined 01,02 Sole MUNICIPAL MORTGAGE & EQUITY COM 62624B101 271 11600 SH Defined 01,02 Sole MURPHY OIL CORP COM 626717102 1,481 20100 SH Defined 01,02 Sole NATIONAL FUEL GAS CO COM 636180101 878 35110 SH Defined 01,02 Sole NAVISTAR INTERNATIONAL COM 63934E108 1,589 41000 SH Defined 01,02 Sole Page 6 NEIMAN MARCUS GROUP INC CL A 640204202 626 11244 SH Defined 01,02 Sole NESTOR INC COM 641074505 123 30000 SH Defined 01,02 Sole NETBANK INC COM 640933107 296 27043 SH Defined 01,02 Sole NEW YORK COMMUNITY BANCORP COM 649445103 1,741 88700 SH Defined 01,02 Sole NEWS CORP LTD-SPONS ADR ADR NEW 652487703 496 14000 SH Defined 01,02 Sole NEXTEL PARTNERS INC CL A 65333F107 511 32100 SH Defined 01,02 Sole NII HOLDINGS INC NOTE 3.500% 9/1 62913FAD4 6,660 4,500,000 PRN Defined 01,02 None NII HOLDINGS INC COM 62913F201 398 11800 SH Defined 01,02 Sole NORTHERN BORDER PARTNERS-LP UNIT LTD PARTN 664785102 468 11724 SH Defined 01,02 Sole NOVELL INC COM 670006105 347 41300 SH Defined 01,02 Sole ODYSSEY HEALTHCARE INC COM 67611V101 666 35383 SH Defined 01,02 Sole OGE ENERGY CORP COM 670837103 968 38000 SH Defined 01,02 Sole OMI CORP COM Y6476W104 347 29200 SH Defined 01,02 Sole OMNICOM GROUP COM 681919106 2,130 28061 SH Defined 01,02 Sole OMNIVISION TECHNOLOGIES COM 682128103 533 33400 SH Defined 01,02 Sole ON SEMICONDUCTOR CORPORATION COM 682189105 142 28325 SH Defined 01,02 Sole ORBOTECH LTD ORD M75253100 319 15700 SH Defined 01,02 Sole ORIENT EXPRESS HOTELS LTD CL A G67743107 351 20749 SH Defined 01,02 Sole ORIENTAL FINANCIAL GROUP COM 68618W100 368 13600 SH Defined 01,02 Sole OXFORD INDUSTRIES INC COM 691497309 515 11825 SH Defined 01,02 Sole P G & E CORP COM 69331C108 349 12498 SH Defined 01,02 Sole PACCAR INC COM 693718108 1,178 20307 SH Defined 01,02 Sole PACER INTERNATIONAL INC COM 69373H106 401 21680 SH Defined 01,02 Sole PACIFIC CAPITAL BANCORP COM 69404P101 968 34400 SH Defined 01,02 Sole PACIFIC SUNWEAR OF CALIF COM 694873100 345 17600 SH Defined 01,02 Sole PAR PHARMACEUTICAL COS INC COM 69888P106 664 18852 SH Defined 01,02 Sole PARKER HANNIFIN CORP COM 701094104 688 11568 SH Defined 01,02 Sole PARTNERS TRUST FINANCIAL GRP COM 70213F102 361 18411 SH Defined 01,02 Sole PATINA OIL & GAS CORP COM 703224105 302 10100 SH Defined 01,02 Sole PAYCHEX INC COM 704326107 1,138 33587 SH Defined 01,02 Sole PAYLESS SHOESOURCE INC COM 704379106 1,430 95900 SH Defined 01,02 Sole PENN VIRGINIA CORP COM 707882106 381 10544 SH Defined 01,02 Sole PEPSIAMERICAS INC COM 71343P200 312 14700 SH Defined 01,02 Sole PERFORMANCE FOOD GROUP CO COM 713755106 733 27600 SH Defined 01,02 Sole PERRIGO CO COM 714290103 220 11614 SH Defined 01,02 Sole Page 7 PF CHANG'S CHINA BISTRO INC COM 69333Y108 1,242 30186 SH Defined 01,02 Sole PFIZER INC COM 717081103 396 11565 SH Defined 01,02 Sole PHELPS DODGE CORP COM 717265102 836 10782 SH Defined 01,02 Sole PHOENIX COMPANIES INC COM 71902E109 368 30000 SH Defined 01,02 Sole PIER 1 IMPORTS INC COM 720279108 778 44000 SH Defined 01,02 Sole PIONEER NATURAL RESOURCES CO COM 723787107 695 19800 SH Defined 01,02 Sole PLAINS ALL AMER PIPELINE LP UNIT LTD PARTN 726503105 531 15900 SH Defined 01,02 Sole PLATINUM UNDERWRITERS HLDGS COM G7127P100 1,427 46900 SH Defined 01,02 Sole PLEXUS CORP COM 729132100 571 42289 SH Defined 01,02 Sole PMI GROUP INC/THE COM 69344M101 618 14189 SH Defined 01,02 Sole PNC FINANCIAL SERVICES GROUP COM 693475105 1,133 21345 SH Defined 01,02 Sole POGO PRODUCING CO COM 730448107 1,171 23698 SH Defined 01,02 Sole POLYONE CORPORATION COM 73179P106 121 16300 SH Defined 01,02 Sole PRIDE INTERNATIONAL INC COM 74153Q102 476 27800 SH Defined 01,02 Sole PRIME HOSPITALITY CORP COM 741917108 492 46300 SH Defined 01,02 Sole PRIMUS TELECOMMUNICATIONS GP COM 741929103 121 23800 SH Defined 01,02 Sole PROCTER & GAMBLE CO COM 742718109 3,205 58868 SH Defined 01,02 Sole PROGRESS SOFTWARE CORP COM 743312100 1,154 53232 SH Defined 01,02 Sole PROGRESSIVE CORP COM 743315103 1,474 17284 SH Defined 01,02 Sole PROVIDENT BANKSHARES CORP COM 743859100 493 17100 SH Defined 01,02 Sole PROVIDENT FINANCIAL SERVICES COM 74386T105 580 33037 SH Defined 01,02 Sole PROVIDIAN FINANCIAL CORP NOTE 2/1 74406AAB8 10,644 21,000,000 PRN Defined 01,02 None QLOGIC CORP COM 747277101 497 18700 SH Defined 01,02 Sole QUANTA SERVICES INC SDCV 4.500% 10/0 74762EAC6 15,800 16,000,000 PRN Defined 01,02 None QUESTAR CORP COM 748356102 434 11236 SH Defined 01,02 Sole QUIKSILVER INC COM 74838C106 290 12200 SH Defined 01,02 Sole R.H. DONNELLEY CORP COM 74955W307 477 10900 SH Defined 01,02 Sole RADIO ONE INC CL D - NON VTG 75040P405 243 15200 SH Defined 01,02 Sole RADIOSHACK CORP COM 750438103 592 20663 SH Defined 01,02 Sole RADISYS CORP COM 750459109 255 13748 SH Defined 01,02 Sole RANGE RESOURCES CORP COM 75281A109 370 25320 SH Defined 01,02 Sole RARE HOSPITALITY INTL INC COM 753820109 771 30983 SH Defined 01,02 Sole REALNETWORKS INC NOTE 7/0 75605LAB0 291 300,000 PRN Defined 01,02 None RED ROBIN GOURMET BURGERS COM 75689M101 551 20137 SH Defined 01,02 Sole REEBOK INTERNATIONAL LTD COM 758110100 939 26100 SH Defined 01,02 Sole Page 8 REGENERON PHARMACEUTICAL NOTE 5.500% 10/1 75886FAB3 4,572 5,087,000 PRN Defined 01,02 None REMINGTON OIL & GAS CORP COM 759594302 1,008 42700 SH Defined 01,02 Sole RENAL CARE GROUP INC COM 759930100 351 10597 SH Defined 01,02 Sole RENT-A-CENTER INC COM 76009N100 656 21930 SH Defined 01,02 Sole REPUBLIC SERVICES INC COM 760759100 336 11600 SH Defined 01,02 Sole RETEK INC COM 76128Q109 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