-----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, IEF1oQ35J3EIUm/6goDkFz6wuikgxnyTfChXRcGLXPJeEa/sozcWxeABhVsA3hvL ydYEPF602NgPKlR2pdoVIw== 0000950159-04-000552.txt : 20040517 0000950159-04-000552.hdr.sgml : 20040517 20040517163638 ACCESSION NUMBER: 0000950159-04-000552 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040331 FILED AS OF DATE: 20040517 EFFECTIVENESS DATE: 20040517 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: 04812972 BUSINESS ADDRESS: STREET 1: 32 OLD SLIP 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 2128250400 13F-HR 1 clinton13fhr.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, 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 5/17/04 - --------------- -------------- -------- [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: 348 Form 13F Information Table Value Total: $617,939 (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 CUSIP VALUE SHARES SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY OF CLASS (x1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE 3M CO COM 88579Y101 1,382 16,887 SH Defined 01,02 Sole AAIPHARMA INC COM 00252W104 335 50,512 SH Defined 01,02 Sole ABBOTT LABORATORIES COM 002824100 1,088 26,445 SH Defined 01,02 Sole ABM INDUSTRIES INC COM 000957100 412 22,978 SH Defined 01,02 Sole ACCENTURE LTD CL A G1150G111 259 10,437 SH Defined 01,02 Sole ACTEL CORP COM 004934105 506 22,352 SH Defined 01,02 Sole ADAPTEC INC COM 00651F108 142 16,262 SH Defined 01,02 Sole ADC TELECOMMUNICATIONS INC COM 000886101 42 14,600 SH Defined 01,02 Sole ADOBE SYSTEMS INC COM 00724F101 788 19,984 SH Defined 01,02 Sole ADVANCED DIGITAL INFO CORP COM 007525108 137 12,007 SH Defined 01,02 Sole ADVANCED MICRO DEVICES COM 007903107 605 37,296 SH Defined 01,02 Sole ADVANCED NEUROMODULATION SYS COM 00757T101 372 10,311 SH Defined 01,02 Sole AES CORP COM 00130H105 2,133 250,000 SH Defined 01,02 Sole AFFILIATED COMPUTER SVCS CL A 008190100 684 13,172 SH Defined 01,02 Sole AGERE SYSTEMS INC CL A 00845V100 50 15,500 SH Defined 01,02 Sole AGILENT TECHNOLOGIES INC COM 00846U101 1,103 34,819 SH Defined 01,02 Sole AGILENT TECHNOLOGIES INC DBCV 3.00% 12/0 00846UAB7 6,239 5,500,000 PRN Defined 01,02 None ALASKA AIR GROUP INC COM 011659109 479 19,450 SH Defined 01,02 Sole ALBEMARLE CORP COM 012653101 331 11,400 SH Defined 01,02 Sole ALBERTSON'S INC COM 013104104 2,313 104,453 SH Defined 01,02 Sole ALCOA INC COM 013817101 1,678 48,427 SH Defined 01,02 Sole ALLEGHENY ENERGY INC COM 017361106 1,281 93,300 SH Defined 01,02 Sole ALTERA CORPORATION COM 021441100 466 22,771 SH Defined 01,02 Sole ALTRIA GROUP INC COM 02209S103 2,384 43,778 SH Defined 01,02 Sole AMCOL INTERNATIONAL CORP COM 02341W103 180 10,300 SH Defined 01,02 Sole AMERICAN HEALTHWAYS INC COM 02649V104 1,003 41,126 SH Defined 01,02 Sole AMERICREDIT CORP COM 03060R101 297 17,464 SH Defined 01,02 Sole AMGEN INC COM 031162100 2,155 37,055 SH Defined 01,02 Sole AMKOR TECHNOLOGY INC COM 031652100 344 23,527 SH Defined 01,02 Sole AMPHENOL CORP CL A 032095101 573 19,250 SH Defined 01,02 Sole AMSURG CORP COM 03232P405 305 13,431 SH Defined 01,02 Sole AMYLIN PHARMACEUTICALS NOTE 2.250% 6/3 032346AB4 5,213 5,000,000 PRN Defined 01,02 None ANADARKO PETROLEUM CORP COM 032511107 3,032 58,497 SH Defined 01,02 Sole APACHE CORP COM 037411105 1,629 37,764 SH Defined 01,02 Sole APPLIED BIOSYSTEMS GROUP COM AP BIO GRP 038020103 500 25,267 SH Defined 01,02 Sole APPLIED FILMS CORP COM 038197109 429 15,300 SH Defined 01,02 Sole APPLIED INDUSTRIAL TECH INC COM 03820C105 359 15,800 SH Defined 01,02 Sole AQUA AMERICA INC COM 03836W103 364 16,800 SH Defined 01,02 Sole ARBITRON INC COM 03875Q108 423 10,500 SH Defined 01,02 Sole ARCH CAPITAL GROUP LTD ORD G0450A105 807 19,169 SH Defined 01,02 Sole ARRIS GROUP INC COM 04269Q100 177 19,360 SH Defined 01,02 Sole ARVINMERITOR INC COM 043353101 435 21,950 SH Defined 01,02 Sole ASE TEST LIMITED ORD Y02516105 141 12,779 SH Defined 01,02 Sole ATMEL CORP COM 049513104 702 107,995 SH Defined 01,02 Sole ATMOS ENERGY CORP COM 049560105 671 26,200 SH Defined 01,02 Sole AUDIOCODES LTD ORD M15342104 161 13,874 SH Defined 01,02 Sole AUTOMATIC DATA PROCESSING COM 053015103 497 11,824 SH Defined 01,02 Sole AUTONATION INC COM 05329W102 253 14,850 SH Defined 01,02 Sole AUTOZONE INC COM 053332102 1,634 19,004 SH Defined 01,02 Sole BANK OF AMERICA CORP COM 060505104 1,659 20,488 SH Defined 01,02 Sole BARNES GROUP INC COM 067806109 694 24,800 SH Defined 01,02 Sole BARR PHARMACEUTICALS INC COM 068306109 814 17,732 SH Defined 01,02 Sole BB&T CORPORATION COM 054937107 1,000 28,317 SH Defined 01,02 Sole BEST BUY CO INC COM 086516101 749 14,485 SH Defined 01,02 Sole BIG 5 SPORTING GOODS CORP COM 08915P101 291 11,544 SH Defined 01,02 Sole BIOMET INC COM 090613100 1,165 30,368 SH Defined 01,02 Sole BOEING CO COM 097023105 1,424 34,694 SH Defined 01,02 Sole BORLAND SOFTWARE CORP COM 099849101 96 10,637 SH Defined 01,02 Sole BOWNE & CO INC COM 103043105 294 17,200 SH Defined 01,02 Sole BRISTOL-MYERS SQUIBB CO COM 110122108 1,894 78,162 SH Defined 01,02 Sole BURLINGTON NORTHERN SANTA FE COM 12189T104 564 17,909 SH Defined 01,02 Sole BURLINGTON RESOURCES INC COM 122014103 791 12,442 SH Defined 01,02 Sole C&D TECHNOLOGIES INC COM 124661109 271 16,200 SH Defined 01,02 Sole CADENCE DESIGN SYS INC COM 127387108 169 11,465 SH Defined 01,02 Sole CAMPBELL SOUP CO COM 134429109 377 13,829 SH Defined 01,02 Sole CAREER EDUCATION CORP COM 141665109 742 13,116 SH Defined 01,02 Sole CARMAX INC COM 143130102 383 13,139 SH Defined 01,02 Sole CARNIVAL CORP DBCV 1.132% 4/2 143658AV4 4,606 5,905,000 PRN Defined 01,02 None CARNIVAL CORP PAIRED CTF 143658300 1,367 30,449 SH Defined 01,02 Sole CATERPILLAR INC COM 149123101 1,915 24,192 SH Defined 01,02 Sole CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAC1 1,149 1,000,000 PRN Defined 01,02 None CENTURY ALUMINUM COMPANY COM 156431108 539 19,094 SH Defined 01,02 Sole CEPHALON INC NOTE 2.500% 12/1 156708AE9 1,980 2,001,000 PRN Defined 01,02 None CEPHALON INC COM 156708109 2,472 43,135 SH Defined 01,02 Sole CHARMING SHOPPES COM 161133103 431 55,341 SH Defined 01,02 Sole CHARTERMAC COM 160908109 1,068 43,038 SH Defined 01,02 Sole CHESAPEAKE ENERGY CORP PFD CONV 5% 165167800 20,088 182,100 PRN Defined 01,02 None CHESAPEAKE ENERGY CORP COM 165167107 800 59,736 SH Defined 01,02 Sole CHILDREN'S PLACE COM 168905107 319 10,300 SH Defined 01,02 Sole CHIRON CORP COM 170040109 1,125 25,562 SH Defined 01,02 Sole CHOICEPOINT INC COM 170388102 427 11,237 SH Defined 01,02 Sole CIMAREX ENERGY CO COM 171798101 315 10,900 SH Defined 01,02 Sole CINCINNATI BELL INC COM 171871106 214 52,800 SH Defined 01,02 Sole CIT GROUP INC COM 125581108 547 14,389 SH Defined 01,02 Sole CITIGROUP INC COM 172967101 817 15,808 SH Defined 01,02 Sole CLARCOR INC COM 179895107 1,207 27,300 SH Defined 01,02 Sole COCA-COLA CO/THE COM 191216100 979 19,474 SH Defined 01,02 Sole COEUR D'ALENE MINES CORP COM 192108108 540 77,100 SH Defined 01,02 Sole COMCAST CORP ZONES CV 2% PCS 200300507 42,538 1,058,500 PRN Defined 01,02 None COMMSCOPE INC COM 203372107 1,070 64,305 SH Defined 01,02 Sole COMMUNITY HEALTH SYSTEMS INC COM 203668108 367 13,206 SH Defined 01,02 Sole COMPUTER NETWORK TECH NOTE 3.000% 2/1 204925AC5 6,824 7,455,000 PRN Defined 01,02 None CONNETICS CORP COM 208192104 702 31,882 SH Defined 01,02 Sole COOPER TIRE & RUBBER COM 216831107 1,681 83,321 SH Defined 01,02 Sole CORNING INC COM 219350105 208 18,561 SH Defined 01,02 Sole COX RADIO INC CL A 224051102 657 30,800 SH Defined 01,02 Sole CREDICORP LTD COM G2519Y108 136 10,550 SH Defined 01,02 Sole CROMPTON CORP COM 227116100 485 75,590 SH Defined 01,02 Sole CSK AUTO CORP COM 125965103 715 39,500 SH Defined 01,02 Sole CSX CORP COM 126408103 836 27,589 SH Defined 01,02 Sole CTI MOLECULAR IMAGING INC COM 22943D105 627 43,000 SH Defined 01,02 Sole CVS CORP COM 126650100 688 19,498 SH Defined 01,02 Sole DELPHI CORP COM 247126105 529 53,087 SH Defined 01,02 Sole DENTSPLY INTERNATIONAL INC COM 249030107 705 15,904 SH Defined 01,02 Sole DEVON ENERGY CORPORATION COM 25179M103 2,160 37,146 SH Defined 01,02 Sole DIEBOLD INC COM 253651103 1,005 20,900 SH Defined 01,02 Sole DILLARDS INC CL A 254067101 247 12,900 SH Defined 01,02 Sole DIME COMMUNITY BANCSHARES COM 253922108 783 38,501 SH Defined 01,02 Sole DOLLAR GENERAL COM 256669102 1,371 71,496 SH Defined 01,02 Sole DONALDSON CO INC COM 257651109 1,903 71,712 SH Defined 01,02 Sole DOT HILL SYSTEMS CORP COM 25848T109 374 37,241 SH Defined 01,02 Sole DOW JONES & CO INC COM 260561105 1,053 21,964 SH Defined 01,02 Sole DRS TECHNOLOGIES INC COM 23330X100 401 14,300 SH Defined 01,02 Sole DU PONT (E.I.) DE NEMOURS COM 263534109 954 22,606 SH Defined 01,02 Sole DUANE READE INCE NOTE 2.148% 4/1 263578AC0 6,840 12,000,000 PRN Defined 01,02 None E*TRADE FINANCIAL CORP COM 269246104 203 15,100 SH Defined 01,02 Sole EASTMAN CHEMICAL COMPANY COM 277432100 469 11,000 SH Defined 01,02 Sole EASTMAN KODAK CO COM 277461109 1,119 42,817 SH Defined 01,02 Sole EATON CORP COM 278058102 2,144 38,162 SH Defined 01,02 Sole ECHOSTAR COMMUNICATIONS CL A 278762109 2,473 75,500 SH Defined 01,02 Sole EDUCATION MANAGEMENT CORP COM 28139T101 437 13,740 SH Defined 01,02 Sole ELI LILLY & CO COM 532457108 700 10,470 SH Defined 01,02 Sole EMERSON ELECTRIC CO COM 291011104 622 10,370 SH Defined 01,02 Sole ENCORE ACQUISITION CO COM 29255W100 1,207 43,514 SH Defined 01,02 Sole ENTERCOM COMMUNICATIONS CORP COM 293639100 652 14,400 SH Defined 01,02 Sole EOG RESOURCES INC COM 26875P101 2,849 62,155 SH Defined 01,02 Sole ESTERLINE TECHNOLOGIES CORP COM 297425100 344 13,816 SH Defined 01,02 Sole EURONET WORLDWIDE INC COM 298736109 199 10,480 SH Defined 01,02 Sole EVERGREEN RESOURCES INC COM 299900308 907 26,430 SH Defined 01,02 Sole EXXON MOBIL CORP COM 30231G102 3,051 73,352 SH Defined 01,02 Sole FAIR ISAAC CORP COM 303250104 820 22,736 SH Defined 01,02 Sole FAMILY DOLLAR STORES COM 307000109 414 11,525 SH Defined 01,02 Sole FANNIE MAE COM 313586109 1,490 20,066 SH Defined 01,02 Sole FIFTH THIRD BANCORP COM 316773100 789 14,251 SH Defined 01,02 Sole FIRST COMMONWEALTH FINL CORP COM 319829107 179 12,100 SH Defined 01,02 Sole FORD MOTOR CO PFD TR CV 6.5% 345395206 3,071 57,800 PRN Defined 01,02 None FORD MOTOR CO COM PAR $0.01 345370860 1,009 74,398 SH Defined 01,02 Sole FOX ENTERTAINMENT GRP INC CL A 35138T107 1,081 39,900 SH Defined 01,02 Sole FRANKLIN RESOURCES INC COM 354613101 1,126 20,217 SH Defined 01,02 Sole FREDDIE MAC COM 313400301 1,082 18,323 SH Defined 01,02 Sole FRED'S INC COM 356108100 657 27,117 SH Defined 01,02 Sole FRONTIER OIL CORP COM 35914P105 259 13,478 SH Defined 01,02 Sole GANNETT CO COM 364730101 1,056 11,977 SH Defined 01,02 Sole GAP INC NOTE 5.750% 3/1 364760AJ7 27,514 19,000,000 PRN Defined 01,02 None GENERAL DYNAMICS CORP COM 369550108 2,287 25,632 SH Defined 01,02 Sole GENERAL ELECTRIC CO COM 369604103 3,510 114,994 SH Defined 01,02 Sole GENERAL MOTORS CORP COM 370442105 3,132 66,446 SH Defined 01,02 Sole GILEAD SCIENCES INC COM 375558103 1,177 21,100 SH Defined 01,02 Sole GLOBAL INDUSTRIES LTD COM 379336100 93 15,800 SH Defined 01,02 Sole GLOBAL PAYMENTS INC COM 37940X102 517 11,471 SH Defined 01,02 Sole GOLDMAN SACHS GROUP INC COM 38141G104 3,757 36,059 SH Defined 01,02 Sole GOODRICH CORP COM 382388106 1,219 43,190 SH Defined 01,02 Sole GREAT LAKES CHEMICAL CORP COM 390568103 926 38,808 SH Defined 01,02 Sole H&R BLOCK INC COM 093671105 747 14,634 SH Defined 01,02 Sole HANOVER COMPRESS CO NOTE 4.750% 1/1 410768AE5 14,665 12,375,000 PRN Defined 01,02 None HCA INC COM 404119109 961 23,654 SH Defined 01,02 Sole HEALTH NET INC COM 42222G108 1,681 67,500 SH Defined 01,02 Sole HILTON HOTELS CORP COM 432848109 194 11,919 SH Defined 01,02 Sole HNI CORP COM 404251100 988 26,598 SH Defined 01,02 Sole HOME PROPERTIES INC COM 437306103 1,207 29,622 SH Defined 01,02 Sole HONEYWELL INTERNATIONAL INC COM 438516106 408 12,062 SH Defined 01,02 Sole HOOPER HOLMES INC COM 439104100 88 14,200 SH Defined 01,02 Sole HUMANA INC COM 444859102 455 23,973 SH Defined 01,02 Sole ICOS CORP NOTE 2.000% 7/0 449295AB0 3,446 3,660,000 PRN Defined 01,02 None IDEX CORP COM 45167R104 774 17,800 SH Defined 01,02 Sole IHOP CORP COM 449623107 359 10,400 SH Defined 01,02 Sole INTEL CORP COM 458140100 1,143 42,021 SH Defined 01,02 Sole INTERNATIONAL PAPER CO COM 460146103 453 10,722 SH Defined 01,02 Sole INTERPUBLIC GROUP OF COS INC COM 460690100 726 47,212 SH Defined 01,02 Sole INTERSIL CORP CL A 46069S109 454 20,365 SH Defined 01,02 Sole INTERSTATE BAKERIES COM 46072H108 298 26,100 SH Defined 01,02 Sole INVITROGEN INC NOTE 2.250% 12/1 46185RAD2 8,105 7,500,000 PRN Defined 01,02 None IONICS INC COM 462218108 616 21,700 SH Defined 01,02 Sole JABIL CIRCUIT INC COM 466313103 416 14,128 SH Defined 01,02 Sole JACK IN THE BOX INC COM 466367109 251 10,051 SH Defined 01,02 Sole JACOBS ENGINEERING GROUP INC COM 469814107 494 11,100 SH Defined 01,02 Sole JDS UNIPHASE CORPORATION NOTE 11/1 46612JAB7 6,924 6,250,000 PRN Defined 01,02 None JOHNSON & JOHNSON COM 478160104 2,816 55,579 SH Defined 01,02 Sole KCS ENERGY INC COM 482434206 108 10,099 SH Defined 01,02 Sole KERR-MCGEE CORP COM 492386107 821 15,946 SH Defined 01,02 Sole KEYCORP COM 493267108 332 10,953 SH Defined 01,02 Sole KEYSPAN CORP COM 49337W100 494 12,946 SH Defined 01,02 Sole KING PHARMACEUTICALS INC COM 495582108 251 14,900 SH Defined 01,02 Sole KING PHARMACEUTICALS INC DBCV 2.75% 11/1 495582AG3 12,537 13,000,000 PRN Defined 01,02 None KIRBY CORP COM 497266106 496 14,700 SH Defined 01,02 Sole KNIGHT TRADING GROUP INC COM 499063105 333 26,370 SH Defined 01,02 Sole KOS PHARMACEUTICALS INC COM 500648100 722 17,713 SH Defined 01,02 Sole KROGER CO COM 501044101 1,404 84,253 SH Defined 01,02 Sole KULICKE & SOFFA INDUSTRIES COM 501242101 123 10,500 SH Defined 01,02 Sole KYPHON INC COM 501577100 316 13,200 SH Defined 01,02 Sole LABONE INC COM 50540L105 345 11,308 SH Defined 01,02 Sole LABRANCHE & CO INC COM 505447102 178 15,900 SH Defined 01,02 Sole LAWSON SOFTWARE INC COM 520780107 469 56,493 SH Defined 01,02 Sole LA-Z-BOY INC COM 505336107 482 22,200 SH Defined 01,02 Sole LEGGETT & PLATT INC COM 524660107 244 10,268 SH Defined 01,02 Sole LEHMAN BROTHERS HOLDINGS INC COM 524908100 2,745 33,153 SH Defined 01,02 Sole LEVEL 3 COMMUNICATIONS NOTE 2.875% 7/1 52729NBA7 6,681 8,000,000 PRN Defined 01,02 None LIN TV CORP CL A 532774106 428 17,900 SH Defined 01,02 Sole LOCKHEED MARTIN CORP COM 539830109 3,206 70,254 SH Defined 01,02 Sole LONGVIEW FIBRE CO COM 543213102 247 22,195 SH Defined 01,02 Sole LSI LOGIC CORP NOTE 4.00% 5/1 502161AJ1 3,424 3,000,000 PRN Defined 01,02 None LUCENT TECHNOLOGIES DBCV 2.75% 6/1 549463AG2 34,383 23,000,000 PRN Defined 01,02 None LUCENT TECHNOLOGIES INC COM 549463107 71 17,329 SH Defined 01,02 Sole MAGMA DESIGN AUTOMATION COM 559181102 224 10,746 SH Defined 01,02 Sole MARATHON OIL CORP COM 565849106 2,486 73,536 SH Defined 01,02 Sole MARRIOTT INTERNATIONAL CL A 571903202 2,775 65,209 SH Defined 01,02 Sole MARVEL ENTERPRISES INC COM 57383M108 313 16,289 SH Defined 01,02 Sole MASCO CORP COM 574599106 483 15,853 SH Defined 01,02 Sole MAVERICK TUBE CORP NOTE 4.00% 6/1 577914AA2 9,470 8,000,000 PRN Defined 01,02 None MAXTOR CORP COM 577729205 507 62,127 SH Defined 01,02 Sole MBNA CORP COM 55262L100 1,120 40,544 SH Defined 01,02 Sole MEDTRONIC INC COM 585055106 1,610 33,732 SH Defined 01,02 Sole MENTOR GRAPHICS NOTE 6.875% 6/1 587200AB2 5,659 5,000,000 PRN Defined 01,02 None MERRILL LYNCH & CO INC COM 590188108 3,246 54,497 SH Defined 01,02 Sole MFA MORTGAGE INVESTMENTS INC COM 55272X102 184 18,200 SH Defined 01,02 Sole MICROCHIP TECHNOLOGY INC COM 595017104 1,169 44,243 SH Defined 01,02 Sole MICROSEMI CORP COM 595137100 344 25,119 SH Defined 01,02 Sole MICROSOFT CORP COM 594918104 2,765 110,747 SH Defined 01,02 Sole MOOG INC CL A 615394202 885 25,991 SH Defined 01,02 Sole MORGAN STANLEY COM 617446448 3,371 58,814 SH Defined 01,02 Sole MOTOROLA INC COM 620076109 326 18,560 SH Defined 01,02 Sole MURPHY OIL CORP COM 626717102 1,385 22,000 SH Defined 01,02 Sole MYLAN LABORATORIES COM 628530107 1,088 47,810 SH Defined 01,02 Sole NATIONAL FUEL GAS CO COM 636180101 566 23,010 SH Defined 01,02 Sole NATIONAL PROCESSING INC COM 637229105 220 11,578 SH Defined 01,02 Sole NATIONWIDE FINANCIAL SERV CL A 638612101 405 11,240 SH Defined 01,02 Sole NATURAL RESOURCE PARTNERS LP COM UNIT LP 63900P103 978 25,400 SH Defined 01,02 Sole NDCHEALTH CORP COM 639480102 588 21,704 SH Defined 01,02 Sole NESTOR INC COM 641074505 100 30,000 SH Defined 01,02 Sole NEW JERSEY RESOURCES CORP COM 646025106 601 15,900 SH Defined 01,02 Sole NEW YORK TIMES CO CL A 650111107 512 11,580 SH Defined 01,02 Sole NEWFIELD EXPLORATION CO COM 651290108 563 11,742 SH Defined 01,02 Sole NEWS CORP LTD ADR NEW 652487703 503 14,000 SH Defined 01,02 Sole NEXTEL COMMUNICATIONS INC CL A 65332V103 439 17,733 SH Defined 01,02 Sole NORFOLK SOUTHERN CORP COM 655844108 791 35,844 SH Defined 01,02 Sole NORTH FORK BANCORPORATION COM 659424105 645 15,267 SH Defined 01,02 Sole NORTHROP GRUMMAN CORP COM 666807102 2,035 20,705 SH Defined 01,02 Sole NU SKIN ENTERPRISES INC CL A 67018T105 270 13,325 SH Defined 01,02 Sole OCEANEERING INTL INC COM 675232102 829 27,272 SH Defined 01,02 Sole OCWEN FINANCIAL CORP COM 675746101 104 10,729 SH Defined 01,02 Sole OLD REPUBLIC INTL CORP COM 680223104 663 27,023 SH Defined 01,02 Sole ORACLE CORP COM 68389X105 901 75,001 SH Defined 01,02 Sole ORBITAL SCIENCES CORP COM 685564106 368 29,384 SH Defined 01,02 Sole O'REILLY AUTOMOTIVE INC COM 686091109 462 11,550 SH Defined 01,02 Sole PACKETEER INC COM 695210104 135 10,217 SH Defined 01,02 Sole PALL CORP COM 696429307 304 13,372 SH Defined 01,02 Sole PARKER HANNIFIN CORP COM 701094104 930 16,458 SH Defined 01,02 Sole PAYLESS SHOESOURCE INC COM 704379106 415 29,700 SH Defined 01,02 Sole PETCO ANIMAL SUPPLIES INC COM 716016209 406 14,400 SH Defined 01,02 Sole PFIZER INC COM 717081103 2,886 82,346 SH Defined 01,02 Sole PHILLIPS-VAN HEUSEN COM 718592108 476 25,700 SH Defined 01,02 Sole PHOENIX COMPANIES INC COM 71902E109 414 30,800 SH Defined 01,02 Sole PHOTRONICS INC COM 719405102 351 19,789 SH Defined 01,02 Sole PIONEER NATURAL RESOURCES CO COM 723787107 581 18,000 SH Defined 01,02 Sole PIXAR COM 725811103 894 13,869 SH Defined 01,02 Sole PLAINS EXPLORATION & PRODUCT COM 726505100 521 27,935 SH Defined 01,02 Sole PLATINUM UNDERWRITERS HLDGS COM G7127P100 1,196 37,400 SH Defined 01,02 Sole PLEXUS CORP COM 729132100 194 10,885 SH Defined 01,02 Sole PMC - SIERRA INC COM 69344F106 654 38,550 SH Defined 01,02 Sole PMI GROUP INC DBCV 2.500% 7/1 69344MAE1 20,251 18,500,000 PRN Defined 01,02 None PMI GROUP INC/THE COM 69344M101 460 12,300 SH Defined 01,02 Sole POWERWAVE TECHNOLOGIES INC COM 739363109 307 39,400 SH Defined 01,02 Sole PRIORITY HEALTHCARE CORP CL B 74264T102 349 16,400 SH Defined 01,02 Sole PROGRESS SOFTWARE CORP COM 743312100 352 14,688 SH Defined 01,02 Sole PROVIDIAN FINANCIAL CORP NOTE 2/1 74406AAB8 10,000 20,000,000 PRN Defined 01,02 None QUANEX CORP COM 747620102 533 12,540 SH Defined 01,02 Sole RADIAN GROUP INC COM 750236101 1,303 30,600 SH Defined 01,02 Sole RALCORP HOLDINGS INC COM 751028101 1,032 33,800 SH Defined 01,02 Sole REALNETWORKS INC NOTE 7/0 75605LAB0 280 300,000 PRN Defined 01,02 None RED ROBIN GOURMET BURGERS COM 75689M101 394 13,900 SH Defined 01,02 Sole REGAL BELOIT COM 758750103 230 11,500 SH Defined 01,02 Sole REGENERON PHARMAEUTICAL NOTE 5.500% 10/1 75886FAB3 13,085 13,587,000 PRN Defined 01,02 None REMINGTON OIL & GAS CORP COM 759594302 533 26,900 SH Defined 01,02 Sole RETEK INC COM 76128Q109 128 16,902 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CORP COM 831865209 343 11,800 SH Defined 01,02 Sole SONIC CORP COM 835451105 1,204 35,024 SH Defined 01,02 Sole SOUTHERN CO COM 842587107 681 22,325 SH Defined 01,02 Sole SOUTHWEST GAS CORP COM 844895102 297 12,700 SH Defined 01,02 Sole SOVEREIGN BANCORP INC COM 845905108 633 29,546 SH Defined 01,02 Sole SPDR TRUST SERIES 1 UNIT SER 1 78462F103 51,390 455,467 SH Defined 01,02 Sole SPEEDWAY MOTORSPORTS INC COM 847788106 573 18,900 SH Defined 01,02 Sole SPINNAKER EXPLORATION CO COM 84855W109 535 14,900 SH Defined 01,02 Sole ST MARY LAND & EXPLORATION COM 792228108 605 18,100 SH Defined 01,02 Sole STANDARD MICROSYSTEMS CORP COM 853626109 280 10,462 SH Defined 01,02 Sole STAPLES INC COM 855030102 1,269 49,990 SH Defined 01,02 Sole SWIFT ENERGY CO COM 870738101 463 24,702 SH Defined 01,02 Sole SYNOVUS FINANCIAL CORP COM 87161C105 1,512 61,797 SH Defined 01,02 Sole TEKELEC COM 879101103 387 23,300 SH Defined 01,02 Sole TERADYNE INC COM 880770102 2,845 119,700 SH Defined 01,02 Sole TETRA TECH INC COM 88162G103 545 25,400 SH Defined 01,02 Sole TEXAS INSTRUMENTS INC COM 882508104 1,014 34,720 SH Defined 01,02 Sole THOR INDUSTRIES INC COM 885160101 2,341 87,122 SH Defined 01,02 Sole TIBCO SOFTWARE INC COM 88632Q103 104 12,772 SH Defined 01,02 Sole TIDEWATER INC COM 886423102 1,243 44,243 SH Defined 01,02 Sole TIFFANY & CO COM 886547108 892 23,387 SH Defined 01,02 Sole TIME WARNER INC COM 887317105 246 14,580 SH Defined 01,02 Sole TOTAL SYSTEM SERVICES INC COM 891906109 500 23,753 SH Defined 01,02 Sole TRANSOCEAN INC ORD G90078109 691 24,774 SH Defined 01,02 Sole TRAVELERS PROP CASUALT CL B 89420G406 410 23,793 SH Defined 01,02 Sole TREDEGAR CORP COM 894650100 384 26,240 SH Defined 01,02 Sole TRIAD HOSPITALS INC COM 89579K109 1,517 49,206 SH Defined 01,02 Sole TRINITY INDUSTRIES COM 896522109 567 20,400 SH Defined 01,02 Sole TTM TECHNOLOGIES COM 87305R109 319 25,586 SH Defined 01,02 Sole ULTICOM INC COM 903844108 119 11,630 SH Defined 01,02 Sole UMPQUA HOLDINGS CORP COM 904214103 244 12,065 SH Defined 01,02 Sole UNION PACIFIC CORP COM 907818108 1,712 28,617 SH Defined 01,02 Sole UNITED DEFENSE INDS INC COM 91018B104 920 28,946 SH Defined 01,02 Sole UNITED PARCEL SERVICE CL B 911312106 1,057 15,135 SH Defined 01,02 Sole UNITED RENTALS INC COM 911363109 243 13,667 SH Defined 01,02 Sole UNITED TECHNOLOGIES CORP COM 913017109 1,868 21,647 SH Defined 01,02 Sole UNIVERSAL HEALTH SERVICES CL B 913903100 985 21,423 SH Defined 01,02 Sole UNOCAL CORP COM 915289102 2,563 68,834 SH Defined 01,02 Sole UNUMPROVIDENT CORP COM 91529Y106 351 24,000 SH Defined 01,02 Sole USI HOLDINGS CORP COM 90333H101 614 41,261 SH Defined 01,02 Sole UST INC COM 902911106 1,245 34,495 SH Defined 01,02 Sole VAIL RESORTS INC COM 91879Q109 353 22,400 SH Defined 01,02 Sole VALMONT INDUSTRIES COM 920253101 458 22,900 SH Defined 01,02 Sole VEECO INSTRUMENTS INC COM 922417100 283 10,100 SH Defined 01,02 Sole VERITAS SOFTWARE CORP COM 923436109 1,219 45,311 SH Defined 01,02 Sole VERITY INC COM 92343C106 228 16,697 SH Defined 01,02 Sole VERIZON COMMUNICATIONS INC COM 92343V104 1,086 29,746 SH Defined 01,02 Sole VIAD CORP COM 92552R109 280 11,600 SH Defined 01,02 Sole VINTAGE PETROLEUM INC COM 927460105 713 48,660 SH Defined 01,02 Sole VISTACARE INC CL A 92839Y109 508 18,800 SH Defined 01,02 Sole WACHOVIA CORP COM 929903102 1,380 29,366 SH Defined 01,02 Sole WALGREEN CO COM 931422109 1,390 42,205 SH Defined 01,02 Sole WASHINGTON MUTUAL INC COM 939322103 1,197 28,039 SH Defined 01,02 Sole WASTE CONNECTIONS FRNT 5/0 941053AD2 16,871 16,130,000 PRN Defined 01,02 None WATSON PHARMACEUTICALS INC COM 942683103 721 16,842 SH Defined 01,02 Sole WEBMD CORP NOTE 3.25% 4/0 94769MAC9 5,215 4,550,000 PRN Defined 01,02 None WESTWOOD ONE INC COM 961815107 529 17,989 SH Defined 01,02 Sole WGL HOLDINGS INC COM 92924F106 328 10,900 SH Defined 01,02 Sole WILLIAMS COS INC COM 969457100 134 14,000 SH Defined 01,02 Sole WIRELESS FACILITIES INC COM 97653A103 156 14,200 SH Defined 01,02 Sole WRIGHT MEDICAL GROUP INC COM 98235T107 519 16,907 SH Defined 01,02 Sole WYETH COM 983024100 1,385 36,910 SH Defined 01,02 Sole ZIMMER HOLDINGS INC COM 98956P102 1,266 17,187 SH Defined 01,02 Sole 617,939
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