-----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, TtL9Nscozcv2jxu4RxVMTaJ9O1DFZ4YlwbeE6lQk/3shNlmOqeIf7OXUAFJ8kOdp D1obfC/Z0beo3v/M3YBFOA== 0000950159-03-000700.txt : 20031001 0000950159-03-000700.hdr.sgml : 20031001 20030818091739 ACCESSION NUMBER: 0000950159-03-000700 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20030630 FILED AS OF DATE: 20030814 DATE AS OF CHANGE: 20031001 EFFECTIVENESS DATE: 20030818 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: 03851868 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: June 30, 2003 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ]adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Clinton Group, Inc. Address: 9 West 57th Street, 26th Floor New York, NY 10019 Form 13F File Number: 28-06121 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: John Hall Title: CFO Phone: 212-825-0400 Signature, Place, and Date of Signing: /s/ John Hall New York, NY 8/14/03 - ------------------------- -------------------------------- ----------------- [Signature] [City, State] [Date] Report Type (Check only one.): [X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) [ ] 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager is reported in this report and a portion is reported by other reporting manager(s).) FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 2 Form 13F Information Table Entry Total: 320 Form 13F Information Table Value Total: 1,822,192 (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 CALL DSCRETN MANAGERS SOLE SHARED NONE 3M CO COM 88579Y101 537 4167 SH Defined 01,02 Sole ADOBE SYSTEMS INC COM 00724F101 549 17117 SH Defined 01,02 Sole ADVANCED ENERGY INDUSTRIES INC NOTE 5.00% 9/0 007973AC4 7591 7600000 PRN Defined 01,02 None ADVANCED FIBRE COMMUNICATION COM 00754A105 544 33200 SH Defined 01,02 Sole AES CORP COM 00130H105 785 123700 SH Defined 01,02 Sole AETHER SYSTEMS INC NOTE 6.000% 3/2 00808VAA3 9750 10000000 PRN Defined 01,02 None AFFILIATED COMPUTER SVCS-A COM 8190100 256 5600 SH Defined 01,02 Sole AFFYMETRIX INC COM 00826T108 748 37942 SH Defined 01,02 Sole AFLAC INC COM 1055102 1569 51014 SH Defined 01,02 Sole AGILENT TECHNOLOGIES INC DBCV 3.000% 12/0 00846UAB7 78890 80500000 PRN Defined 01,02 None AIR PRODUCTS & CHEMICALS INC COM 9158106 2448 58839 SH Defined 01,02 Sole AIRGAS INC COM 9363102 857 51140 SH Defined 01,02 Sole ALLIANCE CAPITAL MGMT HOLD COM 01855A101 1445 39600 SH Defined 01,02 Sole ALLTEL CORP COM 20039103 902 18700 SH Defined 01,02 Sole ALTERA CORPORATION COM 21441100 534 32583 SH Defined 01,02 Sole AMAZON.COM INC NOTE 4.750% 2/0 023135AF3 4559 4805000 PRN Defined 01,02 None AMERICAN FINANCIAL GROUP INC COM 25932104 1295 56800 SH Defined 01,02 Sole AMERICAN INTERNATIONAL GROUP COM 26874107 238 4320 SH Defined 01,02 Sole AMERITRADE HOLDING CORP COM 03074K100 861 116138 SH Defined 01,02 Sole AMETEK INC UNIT LTD PRTN 31100100 737 20100 SH Defined 01,02 Sole ANADARKO PETROLEUM CORP ANDRX GROUP 32511107 903 20300 SH Defined 01,02 Sole ANDRX CORP COM 34553107 1102 55358 SH Defined 01,02 Sole ANHEUSER-BUSCH COS INC COM 35229103 592 11604 SH Defined 01,02 Sole AOL TIME WARNER COM 00184A105 1062 66022 SH Defined 01,02 Sole APACHE CORP COM 37411105 2026 31137 SH Defined 01,02 Sole APPLIED MATERIALS INC COM 38222105 567 35772 SH Defined 01,02 Sole ARAMARK CORP CL B 38521100 1177 52500 SH Defined 01,02 Sole ARCH COAL INC COM 39380100 836 36400 SH Defined 01,02 Sole ARROW ELECTRONICS INC COM 42735100 541 35500 SH Defined 01,02 Sole ASHLAND INC COM 44204105 1648 53700 SH Defined 01,02 Sole AVERY DENNISON CORP COM 53611109 1196 23829 SH Defined 01,02 Sole AVIRON NOTE 5.250% 2/0 053762AD2 12823 12345000 PRN Defined 01,02 None AVOCENT CORPORATION COM 53893103 649 21700 SH Defined 01,02 Sole BALL CORP COM 58498106 514 11300 SH Defined 01,02 Sole BANK ONE CORP COM 06423A103 220 5910 SH Defined 01,02 Sole BAUSCH & LOMB INC COM 71707103 529 14100 SH Defined 01,02 Sole BEA SYSTEMS INC NOTE 4.000% 12/1 073325AD4 21760 22520000 PRN Defined 01,02 None BEAR STEARNS COMPANIES INC COM 73902108 2211 30531 SH Defined 01,02 Sole BED BATH & BEYOND INC COM 75896100 1678 43246 SH Defined 01,02 Sole BISYS GROUP INC/THE NOTE 4.000% 3/1 055472AB0 8870 9051000 PRN Defined 01,02 None BLACK & DECKER CORP COM 91797100 557 12818 SH Defined 01,02 Sole BROCADE COMMUNICATIONS SYS COM 111621108 539 91500 SH Defined 01,02 Sole CABOT CORP COM 127055101 580 20200 SH Defined 01,02 Sole CALPINE CORP NOTE 4.000% 12/2 131347BA3 770 846000 PRN Defined 01,02 None CAPITOL FEDERAL FINANCIAL COM 14057C106 2398 85006 SH Defined 01,02 Sole CARLISLE COS INC COM 142339100 1509 35799 SH Defined 01,02 Sole CATERPILLAR INC COM 149123101 582 10459 SH Defined 01,02 Sole CEDAR FAIR -LP DEPOSITRY UNIT 150185106 1226 43800 SH Defined 01,02 Sole CENDANT CORP DEBT 2/1 151313AF0 7579 11125000 PRN Defined 01,02 None CENDANT CORP DBCV 3.875% 11/2 151313AN3 16970 16000000 PRN Defined 01,02 None CENTEX CORP COM 152312104 412 5300 SH Defined 01,02 Sole CEPHALON INC NOTE 5.250% 5/0 156708AC3 24678 23930000 PRN Defined 01,02 None CEPHALON INC NOTE 2.500% 12/1 156708AE9 30566 33000000 PRN Defined 01,02 None CEPHALON INC COM 156708109 656 15940 SH Defined 01,02 Sole CHARLES RIVER LABORATORIES INC DBCV 3.500% 2/0 159863AL3 8855 8344000 PRN Defined 01,02 None CINCINNATI FINANCIAL CORP COM 172062101 1008 27177 SH Defined 01,02 Sole CISCO SYSTEMS INC COM 17275R102 1029 62038 SH Defined 01,02 Sole CITIGROUP INC COM 172967101 390 9108 SH Defined 01,02 Sole CLAIRE'S STORES INC COM 179584107 500 19700 SH Defined 01,02 Sole CLOROX COMPANY COM 189054109 947 22214 SH Defined 01,02 Sole CMS ENERGY CORP COM 125896100 4050 500000 SH Defined 01,02 Sole CNF INC COM 12612W104 1269 49993 SH Defined 01,02 Sole CNF TRUST I TECONS SER A 12612V205 12856 281000 PRN Defined 01,02 None COCA-COLA ENTERPRISES COM 191219104 584 32158 SH Defined 01,02 Sole COMMERCE BANCSHARES INC COM 200525103 1123 28859 SH Defined 01,02 Sole COMMUNITY FIRST BANKSHARES COM 203902101 234 8600 SH Defined 01,02 Sole COMMUNITY HEALTH SYSTEMS INC NOTE 4.250% 10/1 203668AA6 21910 22020000 PRN Defined 01,02 None COMPUTER ASSOCIATES INTERNATIONAL INC NOTE 5.000% 3/1 204912AR0 23606 19500000 PRN Defined 01,02 None COMPUTER NETWORK TECHNOLOGY CORP NOTE 3.000% 2/1 204925AC5 13572 15555000 PRN Defined 01,02 None CREE INC COM 225447101 550 33871 SH Defined 01,02 Sole CYMER INC NOTE 3.500% 2/1 232572AE7 34361 34000000 PRN Defined 01,02 None CYPRESS SEMICONDUCTOR CORP COM 232806109 1080 90000 SH Defined 01,02 Sole DANAHER CORP COM 235851102 2086 30652 SH Defined 01,02 Sole DEAN FOODS CO COM 242370104 2515 79849 SH Defined 01,02 Sole DEVRY INC COM 251893103 760 32630 SH Defined 01,02 Sole DIAGNOSTIC PRODUCTS CORP COM 252450101 443 10796 SH Defined 01,02 Sole DILLARDS INC CL A 254067101 777 57700 SH Defined 01,02 Sole DOCUMENTUM INC NOTE 4.500% 4/0 256159AB0 5336 5100000 PRN Defined 01,02 None DOUBLECLICK INC COM 258609304 999 108000 SH Defined 01,02 Sole DOVER CORP COM 260003108 994 33163 SH Defined 01,02 Sole DOW JONES & CO INC COM 260561105 1317 30600 SH Defined 01,02 Sole DTE ENERGY COMPANY COM 233331107 1371 35490 SH Defined 01,02 Sole DUKE ENERGY CORP COM 264399106 1236 61961 SH Defined 01,02 Sole E*TRADE GROUP INC NOTE 6.000% 2/0 269246AB0 11739 12025000 PRN Defined 01,02 None EASTMAN KODAK CO COM 277461109 489 17867 SH Defined 01,02 Sole EATON VANCE CORP COM NON VTG 278265103 1013 32071 SH Defined 01,02 Sole ECHOSTAR COMMUNICATIONS CL A 278762109 2644 76375 SH Defined 01,02 Sole ECHOSTAR COMMUNICATIONS CORP NOTE 4.875% 1/0 278762AD1 35005 34744000 PRN Defined 01,02 None ECOLAB INC COM 278865100 687 26824 SH Defined 01,02 Sole EDISON INTERNATIONAL COM 281020107 607 36918 SH Defined 01,02 Sole EDWARDS (A.G.) INC COM 281760108 308 9000 SH Defined 01,02 Sole EGL INC NOTE 5.000% 12/1 268484AB8 1859 1625000 PRN Defined 01,02 None EL PASO CORP COM 28336L109 1245 154133 SH Defined 01,02 Sole ELI LILLY & CO COM 532457108 812 11766 SH Defined 01,02 Sole EMULEX CORP NOTE 1.750% 2/0 292475AB6 22290 24000000 PRN Defined 01,02 None ENERGEN CORP COM 29265N108 553 16614 SH Defined 01,02 Sole EQUITABLE RESOURCES INC COM 294549100 218 5344 SH Defined 01,02 Sole EQUITY RESIDENTIAL SH BEN INT 29476L107 291 11200 SH Defined 01,02 Sole EXXON MOBIL CORP COM 30231G102 670 18652 SH Defined 01,02 Sole FAIR ISAAC CORP COM 303250104 448 8713 SH Defined 01,02 Sole FANNIE MAE COM 313586109 2547 37766 SH Defined 01,02 Sole FEDERATED INVESTORS INC-CL B COM 314211103 1234 45000 SH Defined 01,02 Sole FEDEX CORP COM 31428X106 2519 40604 SH Defined 01,02 Sole FIDELITY NATIONAL FINL INC COM 316326107 1218 39587 SH Defined 01,02 Sole FINISAR CORP NOTE 5.250% 10/1 31787AAC5 1900 2500000 PRN Defined 01,02 None FIRST AMERICAN CORPORATION COM 318522307 1678 63700 SH Defined 01,02 Sole FIRST TENNESSEE NATL CORP COM 337162101 2143 48800 SH Defined 01,02 Sole FISHER SCIENTIFIC INTL COM NEW 338032204 354 10138 SH Defined 01,02 Sole FLUOR CORP (NEW) COM 343412102 484 14400 SH Defined 01,02 Sole FOREST OIL CORP COM PAR $0.01 346091705 218 8660 SH Defined 01,02 Sole FOUNDRY NETWORKS INC COM 35063R100 518 36284 SH Defined 01,02 Sole FRANKLIN RESOURCES INC COM 354613101 2472 63272 SH Defined 01,02 Sole FREDDIE MAC COM 313400301 812 15993 SH Defined 01,02 Sole FTI CONSULTING INC COM 302941109 720 28849 SH Defined 01,02 Sole GANNETT CO COM 364730101 557 7250 SH Defined 01,02 Sole GAP INC/THE NOTE 5.750% 3/1 364760AJ7 63622 47000000 PRN Defined 01,02 None GARMIN LTD ORD G37260109 1711 42870 SH Defined 01,02 Sole GENERAL ELECTRIC CO COM 369604103 258 8985 SH Defined 01,02 Sole GENERAL SEMICONDUCTOR INC NOTE 5.750% 12/1 370787AB9 20049 19584000 PRN Defined 01,02 None GENESCO INC NOTE 5.500% 4/1 371532AL6 7216 7105000 PRN Defined 01,02 None GETTY IMAGES INC COM 374276103 599 14500 SH Defined 01,02 Sole GOLDEN WEST FINANCIAL CORP COM 381317106 1951 24382 SH Defined 01,02 Sole GOLDMAN SACHS GROUP INC COM 38141G104 3690 44056 SH Defined 01,02 Sole GREAT LAKES CHEMICAL CORP COM 390568103 2286 112052 SH Defined 01,02 Sole GTECH HOLDINGS CORP COM 400518106 1681 44640 SH Defined 01,02 Sole GUIDANT CORP COM 401698105 484 10907 SH Defined 01,02 Sole HALLIBURTON CO COM 406216101 1052 45742 SH Defined 01,02 Sole HARLEY-DAVIDSON INC COM 412822108 564 14143 SH Defined 01,02 Sole HARTE-HANKS INC COM 416196103 2311 121620 SH Defined 01,02 Sole HILTON HOTELS CORP NOTE 3.375% 4/1 432848AY5 44213 45000000 PRN Defined 01,02 None HILTON HOTELS CORP COM 432848109 432 33747 SH Defined 01,02 Sole HUMAN GENOME SCIENCES INC NOTE 5.000% 2/0 444903AF5 10742 12104000 PRN Defined 01,02 None HUNTINGTON BANCSHARES INC COM 446150104 474 24288 SH Defined 01,02 Sole HYPERION SOLUTIONS CORP COM 44914M104 651 19300 SH Defined 01,02 Sole IDEC PHARMACEUTICALS CORP NOTE 4/2 449370AE5 9960 16990000 PRN Defined 01,02 None IDEC PHARMACEUTICALS CORP COM 449370105 928 27300 SH Defined 01,02 Sole IDEXX LABORATORIES INC COM 45168D104 698 20950 SH Defined 01,02 Sole ILLINOIS TOOL WORKS COM 452308109 584 8871 SH Defined 01,02 Sole INTERNATIONAL RECTIFIER CORP NOTE 4.250% 7/1 460254AE5 22189 22627000 PRN Defined 01,02 None INTL GAME TECHNOLOGY COM 459902102 204 1997 SH Defined 01,02 Sole INVITROGEN CORP NOTE 5.500% 3/0 46185RAB6 9977 9805000 PRN Defined 01,02 None INVITROGEN CORP NOTE 2.250% 12/1 46185RAD2 20898 22532000 PRN Defined 01,02 None IRON MOUNTAIN INC COM 462846106 486 13109 SH Defined 01,02 Sole ISIS PHARMACEUTICALS INC NOTE 5.500% 5/0 464337AC8 8610 10500000 PRN Defined 01,02 None IVAX CORP COM 465823102 553 31262 SH Defined 01,02 Sole J.C. PENNEY CO INC (HLDG CO) COM 708160106 1382 82040 SH Defined 01,02 Sole JABIL CIRCUIT INC NOTE 1.750% 5/1 466313AA1 12639 12735000 PRN Defined 01,02 None JABIL CIRCUIT INC COM 466313103 581 26290 SH Defined 01,02 Sole JANUS CAPITAL GROUP INC COM 47102X105 289 17626 SH Defined 01,02 Sole JC PENNEY CO INC/NEW NOTE 5.000% 10/1 708160BV7 46800 48185000 PRN Defined 01,02 None JOHNSON & JOHNSON COM 478160104 2605 50387 SH Defined 01,02 Sole JUNIPER NETWORKS INC COM 48203R104 762 61100 SH Defined 01,02 Sole KB HOME COM 48666K109 806 13000 SH Defined 01,02 Sole KERR-MCGEE CORP SDCV 5.250% 2/1 492386AP2 52549 48685000 PRN Defined 01,02 None KERR-MCGEE CORP COM 492386107 1728 38562 SH Defined 01,02 Sole KERZNER INTERNATIONAL LTD COM P6065Y107 1208 37500 SH Defined 01,02 Sole KEYSPAN CORP COM 49337W100 1800 50776 SH Defined 01,02 Sole KIMCO REALTY CORP COM 49446R109 845 22300 SH Defined 01,02 Sole KING PHARMACEUTICALS INC COM 495582108 953 64600 SH Defined 01,02 Sole LABORATORY CORP OF AMERICA HOLDINGS NOTE 9/1 50540RAC6 19761 28510000 PRN Defined 01,02 None LAFARGE NORTH AMERICA INC COM 505862102 451 14600 SH Defined 01,02 Sole LAMAR ADVERTISING CO NOTE 5.250% 9/1 512815AF8 20610 20010000 PRN Defined 01,02 None LAMAR ADVERTISING CO NOTE 2.875% 12/3 512815AG6 22289 22000000 PRN Defined 01,02 None LEHMAN BROTHERS HOLDINGS INC COM 524908100 3813 57353 SH Defined 01,02 Sole LENNAR CORP NOTE 4/0 526057AF1 3774 6500000 PRN Defined 01,02 None LENNAR CORP CL A 526057104 1244 17400 SH Defined 01,02 Sole LEXMARK INTERNATIONAL INC CL A 529771107 1022 14446 SH Defined 01,02 Sole LINCARE HOLDINGS INC COM 532791100 541 17108 SH Defined 01,02 Sole LINCOLN NATIONAL CORP COM 534187109 794 22290 SH Defined 01,02 Sole LINEAR TECHNOLOGY CORP COM 535678106 519 16111 SH Defined 01,02 Sole LTX CORP NOTE 4.250% 8/1 502392AE3 16671 19448000 PRN Defined 01,02 None LUBRIZOL CORP COM 549271104 298 9600 SH Defined 01,02 Sole MANDALAY RESORT GROUP COM 562567107 879 27600 SH Defined 01,02 Sole MANOR CARE INC COM 564055101 583 23300 SH Defined 01,02 Sole MANPOWER INC DBCV 8/1 56418HAC4 10485 16755000 PRN Defined 01,02 None MANPOWER INC COM 56418H100 590 15900 SH Defined 01,02 Sole MASCO CORP COM 574599106 204 8537 SH Defined 01,02 Sole MATTEL INC COM 577081102 2209 116780 SH Defined 01,02 Sole MAXIM INTEGRATED PRODUCTS COM 57772K101 825 24133 SH Defined 01,02 Sole MAY DEPARTMENT STORES CO COM 577778103 551 24731 SH Defined 01,02 Sole MDC HOLDINGS INC COM 552676108 521 10800 SH Defined 01,02 Sole MEDAREX INC NOTE 4.500% 7/0 583916AA9 3808 4500000 PRN Defined 01,02 None MEDIA GENERAL INC CL A 584404107 1287 22500 SH Defined 01,02 Sole MEDICIS PHARMACEUTICAL-CL A CL A NEW 584690309 1395 24600 SH Defined 01,02 Sole MEDIMMUNE INC COM 584699102 1049 28835 SH Defined 01,02 Sole MEDTRONIC INC DBCV 1.250% 9/1 585055AB2 42111 40346000 PRN Defined 01,02 None MEDTRONIC INC COM 585055106 1071 22332 SH Defined 01,02 Sole MELLON FINANCIAL CORP COM 58551A108 556 20029 SH Defined 01,02 Sole MERCK & CO. INC. COM 589331107 226 3736 SH Defined 01,02 Sole MERCURY INTERACTIVE CORP NOTE 4.750% 7/0 589405AB5 25626 25771000 PRN Defined 01,02 None MEREDITH CORP COM 589433101 933 21200 SH Defined 01,02 Sole METAMOR WORLDWIDE INC NOTE 2.940% 8/1 59133PAA8 5063 12500000 PRN Defined 01,02 None MGIC INVESTMENT CORP COM 552848103 370 7928 SH Defined 01,02 Sole MICROSOFT CORP COM 594918104 314 12246 SH Defined 01,02 Sole MILLENNIUM PHARMACEUTICALS INC NOTE 5.500% 1/1 599902AB9 14685 14947000 PRN Defined 01,02 None MOHAWK INDUSTRIES INC COM 608190104 462 8323 SH Defined 01,02 Sole MORGAN STANLEY COM NEW 617446448 291 6814 SH Defined 01,02 Sole NABORS INDUSTRIES INC DBCV 2/0 629568AF3 21420 32800000 PRN Defined 01,02 None NABORS INDUSTRIES LTD SHS G6359F103 554 13979 SH Defined 01,02 Sole NASDAQ-100 INDEX TRCKNG STCK UNIT SER 631100104 10976 367200 SH Defined 01,02 Sole NATIONAL CITY CORP COM 635405103 2280 69702 SH Defined 01,02 Sole NATIONAL SEMICONDUCTOR CORP COM 637640103 1149 58262 SH Defined 01,02 Sole NAVISTAR FINANCIAL CORP NOTE 4.750% 4/0 638902AM8 32332 34015000 PRN Defined 01,02 None NEUBERGER BERMAN INC COM 641234109 1556 38994 SH Defined 01,02 Sole NEWELL RUBBERMAID INC COM 651229106 418 14932 SH Defined 01,02 Sole NEWFIELD EXPLORATION CO COM 651290108 481 12815 SH Defined 01,02 Sole NEWMONT MINING CORP COM 651639106 1509 46494 SH Defined 01,02 Sole NEWS AMERICA INC NOTE 2/2 652482AZ3 13622 24740000 PRN Defined 01,02 None NEXTEL COMMUNICATIONS INC NOTE 6.00% 6/0 65332vbc6 5288 5000000 PRN Defined 01,02 None NEXTEL COMMUNICATIONS INC CL A 65332V103 549 30358 SH Defined 01,02 Sole NISOURCE INC COM 65473P105 1339 70464 SH Defined 01,02 Sole NORFOLK SOUTHERN CORP COM 655844108 1559 81210 SH Defined 01,02 Sole OCCIDENTAL PETROLEUM CORP COM 674599105 2104 62716 SH Defined 01,02 Sole OHIO CASUALTY CORP NOTE 5.00% 3/1 677240AC7 16430 16375000 PRN Defined 01,02 None OMNICOM GROUP NOTE 2/0 681919AK2 29988 30000000 PRN Defined 01,02 None OMNICOM GROUP NOTE 7/3 681919AM8 25216 25185000 PRN Defined 01,02 None ONEOK INC COM 682680103 210 10700 SH Defined 01,02 Sole ORACLE CORP COM 68389X105 1404 116805 SH Defined 01,02 Sole PALL CORP COM 696429307 658 29232 SH Defined 01,02 Sole PARK PLACE ENTERTAINMENT COM 700690100 647 71200 SH Defined 01,02 Sole PARKER HANNIFIN CORP COM 701094104 529 12594 SH Defined 01,02 Sole PARTNERRE LTD COM G6852T105 1557 30467 SH Defined 01,02 Sole PATTERSON-UTI ENERGY INC COM 703481101 560 17285 SH Defined 01,02 Sole PEABODY ENERGY CORP COM 704549104 967 28800 SH Defined 01,02 Sole PENTAIR INC COM 709631105 322 8249 SH Defined 01,02 Sole PEP BOYS-MANNY MOE & JACK NOTE 4.250% 6/0 713278AP4 9800 10000000 PRN Defined 01,02 None PEROT SYSTEMS CORP CL A 714265105 333 29300 SH Defined 01,02 Sole PFIZER INC COM 717081103 248 7265 SH Defined 01,02 Sole PHARMACEUTICAL RESOURCES INC COM 717125108 916 18818 SH Defined 01,02 Sole PHOTRONICS INC NOTE 4.750% 12/1 719405AC6 12431 12750000 PRN Defined 01,02 None PMI GROUP INC/THE DBCV 2.500% 7/1 69344MAE1 8232 8015000 PRN Defined 01,02 None PMI GROUP INC/THE COM 69344M101 413 15400 SH Defined 01,02 Sole POPULAR INC COM 733174106 1019 26413 SH Defined 01,02 Sole PROGRESS ENERGY INC COM 743263105 1051 23946 SH Defined 01,02 Sole PROTECTIVE LIFE CORP COM 743674103 693 25893 SH Defined 01,02 Sole PROTEIN DESIGN LABS INC NOTE 5.500% 2/1 74369LAB9 9825 10000000 PRN Defined 01,02 None PRUDENTIAL FINANCIAL INC COM 744320102 661 19656 SH Defined 01,02 Sole PULTE HOMES INC COM 745867101 899 14575 SH Defined 01,02 Sole QUEST DIAGNOSTICS DBCV 1.750% 11/3 74834LAF7 30726 29795000 PRN Defined 01,02 None QUESTAR CORP COM 748356102 988 29529 SH Defined 01,02 Sole RADIAN GROUP INC DBCV 2.250% 1/0 750236AF8 20691 20575000 PRN Defined 01,02 None RADIAN GROUP INC COM 750236101 388 10600 SH Defined 01,02 Sole RAYMOND JAMES FINANCIAL INC COM 754730109 446 13500 SH Defined 01,02 Sole RED HAT INC COM 756577102 96 12700 SH Defined 01,02 Sole REGIS CORP COM 758932107 761 26200 SH Defined 01,02 Sole RENAL TREATMENT CENTERS NOTE 5.625% 7/1 759671AC4 9564 9130000 PRN Defined 01,02 None RESPIRONICS INC COM 761230101 783 21040 SH Defined 01,02 Sole RITE AID CORP COM 767754104 70 15700 SH Defined 01,02 Sole ROHM AND HAAS CO COM 775371107 869 28012 SH Defined 01,02 Sole ROWAN COMPANIES INC COM 779382100 232 10364 SH Defined 01,02 Sole ROYAL CARIBBEAN CRUISES LTD NOTE 5/1 780153AM4 10205 22000000 PRN Defined 01,02 None SAFECO CORP COM 786429100 323 9169 SH Defined 01,02 Sole SAKS INCORPORATED COM 79377W108 405 41800 SH Defined 01,02 Sole SANDISK CORP NOTE 4.500% 11/1 80004CAB7 31243 13650000 PRN Defined 01,02 None SCHERING-PLOUGH CORP COM 806605101 954 51312 SH Defined 01,02 Sole SCHWAB (CHARLES) CORP COM 808513105 977 96844 SH Defined 01,02 Sole SCOTTS COMPANY CL A 810186106 839 16955 SH Defined 01,02 Sole SEI INVESTMENTS COMPANY COM 784117103 624 19500 SH Defined 01,02 Sole SEMTECH CORP COM 816850101 739 51900 SH Defined 01,02 Sole SENSIENT TECHNOLOGIES CORP COM 81725T100 274 11900 SH 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Defined 01,02 Sole YAHOO! 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