-----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, BqojXUUey6qmGSZzyYMDZF3LbyEgxsMr6gFSmyUe/XzbI2QFxS5Ug+45wRQssohF nUbg/ACIogJTNrr2k0T/cw== 0001169232-03-001335.txt : 20030214 0001169232-03-001335.hdr.sgml : 20030214 20030214132356 ACCESSION NUMBER: 0001169232-03-001335 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20021231 FILED AS OF DATE: 20030214 EFFECTIVENESS DATE: 20030214 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: 03565459 BUSINESS ADDRESS: STREET 1: 32 OLD SLIP 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 2128250400 13F-HR 1 d53848_sc13-hr.txt FORM 13F 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, 2002 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: 55 Water Street, 31st Floor New York, NY 10041 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 submission. 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 2/13/03 - ----------------------------------- ---------------- ------------------- Report Type (Check only one.): |X| 13F HOLDINGS REPORT. |_| 13F NOTICE. |_| 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 2 Form 13F Information Table Entry Total: 298 Form 13F Information Table Value Total: 1,280,427 (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. FORM 13F INFORMATION TABLE
VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- --------- ------ -------- -------- 3M CO COM 88579Y101 611 4952 SH Defined 01,02 Sole A T & T WIRELESS SERVICES COM 00209A106 391 69201 SH Defined 01,02 Sole ABBOTT LABORATORIES COM 002824100 486 12138 SH Defined 01,02 Sole ACE LTD ORD G0070K103 407 13872 SH Defined 01,02 Sole ADVANCED ENERGY SYSTEMS NOTE 5.000% 9/0 007973AC4 4,250 5000000 PRN Defined 01,02 None ADVANCED MICRO DEVICES DBCV 4.750% 2/0 007903AE7 20,790 33000000 PRN Defined 01,02 None AFFILIATED COMPUTER SERVICES NOTE 3.500% 2/1 008190AF7 40,250 29140000 PRN Defined 01,02 None AGCO CORP. COM 001084102 314 14228 SH Defined 01,02 Sole AGILENT TECHNOLOGIES DBCV 3.000% 12/0 00846UAB7 42,394 44160000 PRN Defined 01,02 None ALLETE INC. COM 018522102 450 19828 SH Defined 01,02 Sole AMAZON NOTE 4.750% 2/0 023135AF3 11,401 15459000 PRN Defined 01,02 None AMAZON.COM INC. COM 023135106 323 17089 SH Defined 01,02 Sole AMBAC FINANCIAL GROUP INC. COM 023139108 453 8048 SH Defined 01,02 Sole AMERICAN EXPRESS CO. COM 025816109 470 13301 SH Defined 01,02 Sole AMERICAN INTERNATIONAL GROUP DBCV 11/0 026874AP2 6,450 10000000 PRN Defined 01,02 None AMERICAN INTERNATIONAL GROUP COM 026874107 380 6574 SH Defined 01,02 Sole AMERISOURCEBERGEN CORP COM 03073E105 411 7561 SH Defined 01,02 Sole AMGEN INC, NOTE 3/0 031162AE0 11,604 15695000 PRN Defined 01,02 None AMGEN INC. COM 031162100 348 7199 SH Defined 01,02 Sole AMPHENOL CORP COM 032095101 338 8906 SH Defined 01,02 Sole ANADARKO PETROLEUM CORP COM 032511107 618 12896 SH Defined 01,02 Sole ANALOG DEVICES COM 032654105 339 14222 SH Defined 01,02 Sole AOL TIME WARNER NOTE 12/0 02364JAC8 2,414 4350000 PRN Defined 01,02 None AOL TIME WARNER COM 00184A105 370 28277 SH Defined 01,02 Sole APACHE CORP. COM 037411105 360 6319 SH Defined 01,02 Sole APPLEBEE'S INTL INC. COM 037899101 430 18548 SH Defined 01,02 Sole APPLERA CORP. COM AP BIO GRP 038020103 335 19086 SH Defined 01,02 Sole ARVINMERITOR INC. COM 043353101 345 20701 SH Defined 01,02 Sole ASPEN TECHNOLOGY SDCV 5.250% 6/1 045327AB9 250 455000 PRN Defined 01,02 None AUTOMATIC DATA PROCESSING COM 053015103 502 12797 SH Defined 01,02 Sole AVAYA, INC. NOTE 10/3 053499AA7 5,670 14000000 PRN Defined 01,02 None AVIRON NOTE 5.250% 2/0 053762AD2 11,955 12000000 PRN Defined 01,02 None AVX CORP. COM 002444107 310 31593 SH Defined 01,02 Sole AXCIOM NOTE 3.750% 2/1 005125AB5 8,889 7705000 PRN Defined 01,02 None BANK OF AMERICA CORP. COM 060505104 382 5490 SH Defined 01,02 Sole BAXTER INTERNATIONAL CORP UNITS 7% 71813406 20,040 400000 PRN Defined 01,02 None BAXTER INTERNATIONAL INC. COM 071813109 411 14681 SH Defined 01,02 Sole BEARINGPOINT INC. COM 074002106 373 54091 SH Defined 01,02 Sole BELO CORPORATION COM SER A 080555105 626 29365 SH Defined 01,02 Sole BISYS GROUP INC/THE COM 055472104 500 31473 SH Defined 01,02 Sole BJ SERVICES NOTE 0.395% 4/2 055482AF0 4,454 5445000 PRN Defined 01,02 None BLYTH INC. COM 09643P108 408 15235 SH Defined 01,02 Sole BOSTON SCIENTIFIC CORP. COM 101137107 351 8252 SH Defined 01,02 Sole BRISTOL-MYERS SQUIBB CO. COM 110122108 328 14159 SH Defined 01,02 Sole BROCADE COMMUNICATIONS SYS. COM 111621108 319 76998 SH Defined 01,02 Sole BURLINGTON NORTHERN SANTA FE COM 12189T104 317 12201 SH Defined 01,02 Sole BURLINGTON RESOURCES INC. COM 122014103 452 10607 SH Defined 01,02 Sole BURR-BROWN CORP NOTE 4.250% 2/1 122574AF3 4,022 4002000 PRN Defined 01,02 None C.H. ROBINSON WORLDWIDE INC. COM 12541W100 347 11108 SH Defined 01,02 Sole CABOT MICROELECTRONICS CORP. COM 12709P103 343 7257 SH Defined 01,02 Sole CALLAWAY GOLF COMPANY COM 131193104 448 33784 SH Defined 01,02 Sole CALPINE CORP COM 131347106 285 87534 SH Defined 01,02 Sole CALPINE CORP. NOTE 4.000% 12/2 131347BA3 1,231 2500000 PRN Defined 01,02 None CAMDEN PROPERTY TRUST COM 133131102 640 19380 SH Defined 01,02 Sole CARDINAL HEALTH INC COM 14149Y108 560 9453 SH Defined 01,02 Sole CELESTICA NOTE 8/0 15101QAA6 4,600 10000000 PRN Defined 01,02 None CENDANT DBCV 5/0 151313AH6 14,859 15000000 PRN Defined 01,02 None CENDANT DBCV 3.875% 11/2 151313AN3 58,296 58997000 PRN Defined 01,02 None CENDANT CORP COM 151313103 281 26790 SH Defined 01,02 Sole CENTERPOINT PROPERTIES CORP COM 151895109 633 11080 SH Defined 01,02 Sole CEPHALON INC. NOTE 5.250% 5/0 156708AC3 25,322 25643000 PRN Defined 01,02 None CEPHALON INC. NOTE 2.500% 12/1 156708AE9 16,528 17820000 PRN Defined 01,02 None CHARLES RIVER LABS DBCV 3.500% 2/0 159863AL3 9,329 7639000 PRN Defined 01,02 None CHESAPEAKE ENERGY CORP. PFD CONV 6.75% 165167503 6,710 110000 PRN Defined 01,02 None CHEVRONTEXACO CORP COM 166764100 318 4778 SH Defined 01,02 Sole CHUBB CORP. CORP UNIT % 171232309 9,525 400000 PRN Defined 01,02 None CIGNA CORP. COM 125509109 406 9873 SH Defined 01,02 Sole CISCO SYSTEMS INC COM 17275R102 416 31750 SH Defined 01,02 Sole CITRIX SYSTEMS SDCV 3/2 177376AB6 7,172 16900000 PRN Defined 01,02 None CNF INC. TECONS SER A 12612V205 7,193 144400 PRN Defined 01,02 None COACH INC COM 189754104 333 10107 SH Defined 01,02 Sole COMCAST CORP CL A SPL 20030N200 1,527 67600 SH Defined 01,02 Sole COMMUNITY HEALTH SYS. INC. NOTE 4.250% 10/1 203668AA6 23,770 23980000 PRN Defined 01,02 None COMPUTER NETWORK TECHNOLOGY NOTE 3.000% 2/1 204925AC5 3,277 4500000 PRN Defined 01,02 None COMPUTER SCIENCES CORP COM 205363104 228 6619 SH Defined 01,02 Sole CONSTELLATION BRANDS INC. CL A 21036P108 246 10384 SH Defined 01,02 Sole CONVERGYS CORP. COM 212485106 329 21743 SH Defined 01,02 Sole COOPER TIRE & RUBBER COM 216831107 328 21372 SH Defined 01,02 Sole COREL CORP. COM 21868Q109 209 261310 SH Defined 01,02 Sole COUNTRYWIDE FINANCIAL CORP. COM 222372104 403 7806 SH Defined 01,02 Sole COVENTRY HEALTH CARE INC. COM 222862104 363 12506 SH Defined 01,02 Sole COX COMMUNICATIONS, INC. SDEB 0.426% 4/1 224044AX5 6,652 14500000 PRN Defined 01,02 None CSX CORP. COM 126408103 328 11598 SH Defined 01,02 Sole CYMER INC. COM 232572107 380 11794 SH Defined 01,02 Sole CYMER, INC. NOTE 3.500% 2/1 232572AE7 27,517 28000000 PRN Defined 01,02 None DANA CORP. COM 235811106 353 30045 SH Defined 01,02 Sole DELPHI CORP. COM 247126105 395 49087 SH Defined 01,02 Sole DEVON ENERGY DBCV 6/2 25179MAD5 656 1250000 PRN Defined 01,02 None DEVON ENERGY CORPORATION COM 25179M103 577 12567 SH Defined 01,02 Sole DILLARDS INC. CL A 254067101 369 23239 SH Defined 01,02 Sole DOLLAR GENERAL COM 256669102 397 33217 SH Defined 01,02 Sole DOWNEY FINANCIAL CORP COM 261018105 421 10795 SH Defined 01,02 Sole DR HORTON INC. COM 23331A109 321 18480 SH Defined 01,02 Sole DU PONT (E.I.) DE NEMOURS COM 263534109 408 9614 SH Defined 01,02 Sole DUKE ENERGY CORP. COM 264399106 490 25076 SH Defined 01,02 Sole E*TRADE GROUP NOTE 6.000% 2/0 269246AB0 9,575 12800000 PRN Defined 01,02 None E*TRADE GROUP NOTE 6.750% 5/1 269246AD6 5,941 7000000 PRN Defined 01,02 None ECHOSTAR NOTE 4.875% 1/0 278762AD1 15,961 17959000 PRN Defined 01,02 None ECHOSTAR NOTE 5.750% 5/1 278762AG4 8,686 9525000 PRN Defined 01,02 None ECHOSTAR COMMUNICATIONS CL A 278762109 1,700 76375 SH Defined 01,02 Sole EGL INC. NOTE 5.000% 12/1 268484AB8 7,215 6500000 PRN Defined 01,02 None ELECTRONIC ARTS INC COM 285512109 366 7350 SH Defined 01,02 Sole ELECTRONIC DATA SYSTEMS NOTE 10/1 285661AB0 1,900 2500000 PRN Defined 01,02 None ELECTRONIC DATA SYSTEMS CORP COM 285661104 1,843 100000 SH Defined 01,02 Sole ENBRIDGE ENERGY PARTNERS LP COM 29250R106 394 9337 SH Defined 01,02 Sole EOG RESOURCES INC. COM 26875P101 434 10871 SH Defined 01,02 Sole EQUITABLE RESOURCES INC COM 294549100 424 12108 SH Defined 01,02 Sole EQUITY RESIDENTIAL SH BEN INT 29476L107 670 27251 SH Defined 01,02 Sole EVEREST RE GROUP LTD COM G3223R108 323 5832 SH Defined 01,02 Sole EXPRESS SCRIPTS INC COM 302182100 348 7250 SH Defined 01,02 Sole EXTREME NETWORKS, INC. NOTE 3.500% 12/0 30226DAB2 263 350000 PRN Defined 01,02 None FEDERATED INVESTORS INC PA CL B 314211103 381 15004 SH Defined 01,02 Sole FEDEX CORP COM 31428X106 323 5955 SH Defined 01,02 Sole FIDELITY NATIONAL FINL INC COM 316326107 400 12187 SH Defined 01,02 Sole FIRST DATA CORP COM 319963104 342 9645 SH Defined 01,02 Sole FIRST DATA CORP. DEBT 2.000% 3/0 319963ad6 5,634 5000000 PRN Defined 01,02 None FIRST MIDWEST BANCORP COM 320867104 524 19619 SH Defined 01,02 Sole FIRSTMERIT CORP COM 337915102 418 19278 SH Defined 01,02 Sole FOREST OIL CORP COM PAR $0.01 346091705 376 13609 SH Defined 01,02 Sole FORTUNE BRANDS INC. COM 349631101 382 8213 SH Defined 01,02 Sole FOUNDRY NETWORKS INC. COM 35063R100 385 54729 SH Defined 01,02 Sole FRANKLIN RESOURCES INC. COM 354613101 589 17278 SH Defined 01,02 Sole FRESH DEL MONTE PRODUCE INC. ORD G36738105 468 24734 SH Defined 01,02 Sole FURNITURE BRANDS INTL INC. COM 360921100 355 14891 SH Defined 01,02 Sole GARMIN LTD ORD G37260109 351 11986 SH Defined 01,02 Sole GENCORP INC. NOTE 5.750% 4/1 368682AE0 5,801 6800000 PRN Defined 01,02 None GENERAL DYNAMICS CORP. COM 369550108 455 5728 SH Defined 01,02 Sole GENERAL ELECTRIC CO COM 369604103 561 23047 SH Defined 01,02 Sole GENERAL MOTORS CORP. DEB SR CONV A 370442741 25,315 1043900 PRN Defined 01,02 None GENERAL SEMICONDUCTOR, INC. NOTE 5.750% 12/1 370787AB9 6,659 7084000 PRN Defined 01,02 None GENESECO INC. NOTE 5.500% 4/1 371532AL6 6,450 6025000 PRN Defined 01,02 None GENUINE PARTS CO COM 372460105 334 10856 SH Defined 01,02 Sole GENZYME SDCV 3.000% 5/1 372917AK0 35,828 38655000 PRN Defined 01,02 None GILEAD SCIENCES, INC. NOTE 5.000% 12/1 375558AB9 12,490 8200000 PRN Defined 01,02 None GOLDMAN SACHS GROUP INC. COM 38141G104 594 8724 SH Defined 01,02 Sole GRACO INC. COM 384109104 395 13773 SH Defined 01,02 Sole GREENPOINT FINANCIAL CORP COM 395384100 339 7501 SH Defined 01,02 Sole GTECH HOLDINGS CORP COM 400518106 401 14385 SH Defined 01,02 Sole HARLEY-DAVIDSON INC COM 412822108 336 7281 SH Defined 01,02 Sole HASBRO, INC. DBCV 2.750% 12/0 418056AN7 4,620 4825000 PRN Defined 01,02 None HEALTH CARE PPTYS INVEST INC COM 421915109 324 8471 SH Defined 01,02 Sole HEARTLAND EXPRESS INC COM 422347104 332 14482 SH Defined 01,02 Sole HEXCEL CORP. NOTE 7.000% 8/0 428291AA6 3,674 3739000 PRN Defined 01,02 None HNC SOFTWARE, INC. NOTE 5.250% 9/0 40425PAC1 3,276 3000000 PRN Defined 01,02 None HOLLYWOOD ENTERTAINMENT CORP COM 436141105 369 24419 SH Defined 01,02 Sole HONEYWELL INTERNATIONAL INC COM 438516106 406 16921 SH Defined 01,02 Sole HOTELS.COM COM 44147T108 352 6436 SH Defined 01,02 Sole HOUSEHOLD INTERNATIONAL INC. COM 441815107 2,503 90000 SH Defined 01,02 Sole HUMANA INC. COM 444859102 386 38574 SH Defined 01,02 Sole HUNT (JB) TRANSPRT SVCS INC. COM 445658107 324 11071 SH Defined 01,02 Sole HUTCHINSON TECHNOLOGY, INC. NOTE 6.000% 3/1 448407AC0 6,920 6755000 PRN Defined 01,02 None IDEC PHARMECEUTICALS CORP. NOTE 4/2 449370AE5 13,940 25060000 PRN Defined 01,02 None IMC GLOBAL INC. COM 449669100 487 45683 SH Defined 01,02 Sole INHALE THERAPEUTIC SYS. INC. NOTE 5.000% 2/0 457191AF1 610 1000000 PRN Defined 01,02 None INHALE THERAPEUTICS SYS. INC. NOTE 3.500% 10/1 457191AH7 9,990 18000000 PRN Defined 01,02 None INTEL CORP COM 458140100 374 24000 SH Defined 01,02 Sole INTERPUBLIC GROUP NOTE 1.800% 9/1 460690AF7 8,974 10300000 PRN Defined 01,02 None INTERPUBLIC GROUP NOTE 12/1 460690AQ3 15,469 19800000 PRN Defined 01,02 None INTL SPEEDWAY CORP-CL A CL A 460335201 389 10420 SH Defined 01,02 Sole INVITROGEN CORP. NOTE 2.250% 12/1 46185RAD2 16,754 19740000 PRN Defined 01,02 None IVAX CORP COM 465823102 369 30397 SH Defined 01,02 Sole JABIL CIRCUIT INC. NOTE 1.750% 5/1 466313AA1 22,165 22792000 PRN Defined 01,02 None JONES APPAREL GROUP INC COM 480074103 370 10447 SH Defined 01,02 Sole JONES APPAREL GROUP, INC. NOTE 2/0 480081AD0 12,291 22500000 PRN Defined 01,02 None KB HOME COM 48666K109 338 7890 SH Defined 01,02 Sole KERR-MCGEE CORP COM 492386107 534 12054 SH Defined 01,02 Sole KERR-MCGEE CORP. SDCV 5.250% 2/1 492386AP2 22,310 20491000 PRN Defined 01,02 None KINDER MORGAN ENERGY PRTNRS UT LTD PARTNER 494550106 371 10614 SH Defined 01,02 Sole KING PHARMECEUTICALS, INC. DBCV 2.750% 11/1 495582AG3 668 745000 PRN Defined 01,02 None L-3 COMMUNICATIONS NOTE 5.250% 6/0 502424AB0 44,183 34350000 PRN Defined 01,02 None L-3 COMMUNICATIONS DEBT 4.000% 9/1 502424AD6 1,434 1280000 PRN Defined 01,02 None LABORATORY CRP OF AMER HLDGS COM NEW 50540R409 387 16652 SH Defined 01,02 Sole LAUDER ESTEE COMPANIES CL A 518439104 467 17680 SH Defined 01,02 Sole LA-Z-BOY INC COM 505336107 349 14533 SH Defined 01,02 Sole LEAR CORP COM 521865105 530 15937 SH Defined 01,02 Sole LEGG MASON INC COM 524901105 402 8273 SH Defined 01,02 Sole LEGGETT & PLATT INC COM 524660107 320 14280 SH Defined 01,02 Sole LEHMAN BROTHERS HOLDINGS INC COM 524908100 1,066 20000 SH Defined 01,02 Sole LENNAR CORP DBCV 7/2 526057AA2 3,528 5000000 PRN Defined 01,02 None LENNAR CORP NOTE 4/0 526057AF1 5,680 12500000 PRN Defined 01,02 None LENNAR CORP COM 526057104 318 6168 SH Defined 01,02 Sole LIFEPOINT HOSPITALS, INC. NOTE 4.500% 6/0 53219LAE9 7,934 8055000 PRN Defined 01,02 None LIZ CLAIBORNE INC COM 539320101 412 13899 SH Defined 01,02 Sole LSI LOGIC CORP. NOTE 4.250% 3/1 502161AD4 10,648 11150000 PRN Defined 01,02 None LSI LOGIC CORP. NOTE 4.000% 11/0 502161AG7 4,081 5000000 PRN Defined 01,02 None LTX CORP. NOTE 4.250% 8/1 502392AE3 7,040 11000000 PRN Defined 01,02 None MACK-CALI REALTY CORP COM 554489104 627 20679 SH Defined 01,02 Sole MANPOWER, INC. DBCV 8/1 56418HAC4 20,247 32989000 PRN Defined 01,02 None MAXIM INTEGRATED PRODUCTS COM 57772K101 460 13908 SH Defined 01,02 Sole MBNA CORP COM 55262L100 402 21136 SH Defined 01,02 Sole MCCLATCHY CO-CL A CL A 579489105 409 7208 SH Defined 01,02 Sole MELLON FINANCIAL CORP COM 58551A108 260 9945 SH Defined 01,02 Sole MICHAELS STORES INC COM 594087108 424 13548 SH Defined 01,02 Sole MICROSOFT CORP COM 594918104 396 7666 SH Defined 01,02 Sole MOHAWK INDUSTRIES INC COM 608190104 346 6083 SH Defined 01,02 Sole MOODY'S CORP COM 615369105 374 9062 SH Defined 01,02 Sole MOTOROLA INC COM 620076109 297 34314 SH Defined 01,02 Sole NABORS INDS. INC. DBCV 2/0 629568AF3 15,876 25100000 PRN Defined 01,02 None NATIONAL FUEL GAS CO COM 636180101 527 25413 SH Defined 01,02 Sole NATIONWIDE FINANCIAL SERV- A CL A 638612101 516 18018 SH Defined 01,02 Sole NATL COMMERCE FINANCIAL CORP COM 63545P104 427 17914 SH Defined 01,02 Sole NETWORK ASSOCIATES INC COM 640938106 319 19829 SH Defined 01,02 Sole NETWORK ASSOCIATES, INC. NOTE 5.250% 8/1 64123LAB7 3,513 2846000 PRN Defined 01,02 None NEWELL RUBBERMAID INC COM 651229106 326 10762 SH Defined 01,02 Sole NEWFIELD EXPLORATION CO COM 651290108 592 16427 SH Defined 01,02 Sole NEWFIELD FINL TR I QUIPS SER A 651291205 7,825 141500 PRN Defined 01,02 None NOBLE ENERGY INC COM 655044105 602 16036 SH Defined 01,02 Sole NORFOLK SOUTHERN CORP COM 655844108 331 16547 SH Defined 01,02 Sole NORTEL NETWORKS NOTE 4.250% 9/0 656568AB8 2,130 4000000 PRN Defined 01,02 None NORTH FORK BANCORPORATION COM 659424105 416 12342 SH Defined 01,02 Sole OCEAN ENERGY INC COM 67481E106 368 18421 SH Defined 01,02 Sole ODYSSEY RE HOLDINGS CORP COM 67612W108 343 19385 SH Defined 01,02 Sole OFFSHORE LOGISTICS, INC. NOTE 6.000% 12/1 676255AF9 2,018 1900000 PRN Defined 01,02 None OHIO CASUALTY CORP. NOTE 5.000% 3/1 677240AC7 13,977 15070000 PRN Defined 01,02 None OMNICOM NOTE 2/0 681919AK2 7,990 8000000 PRN Defined 01,02 None OMNICOM NOTE 7/3 681919AM8 15,519 15500000 PRN Defined 01,02 None OSI PHARMACEUTICALS NOTE 4.000% 2/0 671040AB9 6,035 8500000 PRN Defined 01,02 None OXFORD HEALTH PLANS INC COM 691471106 343 9417 SH Defined 01,02 Sole PACIFICARE HEALTH SYSTEMS COM 695112102 352 12520 SH Defined 01,02 Sole PENNEY J C INC. NOTE 5.000% 10/1 708160BV7 4,451 4155000 PRN Defined 01,02 None PETSMART INC. COM 716768106 353 20629 SH Defined 01,02 Sole PHOTOTRONICS, INC. NOTE 6.000% 6/0 719405AA0 14,430 14678000 PRN Defined 01,02 None PIER 1 IMPORTS INC COM 720279108 377 19892 SH Defined 01,02 Sole PIONEER NATURAL RESOURCES CO COM 723787107 422 16724 SH Defined 01,02 Sole PIXAR INC COM 725811103 320 6039 SH Defined 01,02 Sole PMC- SIERRA NOTE 3.750% 8/1 69344FAB2 4,908 6500000 PRN Defined 01,02 None PMI GROUP, INC. DBCV 2.500% 7/1 69344MAE1 20,889 19500000 PRN Defined 01,02 None POGO PRODUCING CO COM 730448107 363 9742 SH Defined 01,02 Sole POLARIS INDUSTRIES INC COM 731068102 527 8990 SH Defined 01,02 Sole PRIDE INTERNATIONAL, INC. FRNT 2.500% 3/0 74153QAB8 16,735 14600000 PRN Defined 01,02 None PROCTER & GAMBLE CO COM 742718109 342 3985 SH Defined 01,02 Sole PROGRESSIVE CORP. COM 743315103 556 11208 SH Defined 01,02 Sole PROVIDENT FINANCIAL GROUP COM 743866105 399 15342 SH Defined 01,02 Sole QIAGEN N.V. ORD N72482107 380 73298 SH Defined 01,02 Sole QUALCOMM INC. COM 747525103 351 9646 SH Defined 01,02 Sole QUEST DIAGNOSTICS, INC. DBCV 1.750% 11/3 74834LAF7 19,631 18715000 PRN Defined 01,02 None RADIAN GROUP INC. COM 750236101 421 11319 SH Defined 01,02 Sole RADIAN GROUP, INC. DBCV 2.250% 1/0 750236AF8 12,653 12405000 PRN Defined 01,02 None REEBOK INTL LTD DBCV 4.250% 3/0 758110AE0 23,640 21503000 PRN Defined 01,02 None REGIS CORP. MINN COM 758932107 348 13399 SH Defined 01,02 Sole REINSURANCE GROUP OF AMERICA PFD TR INC EQ 759351307 11,107 235600 PRN Defined 01,02 None RENAL TREATMENT CTRS, INC. NOTE 5.625% 7/1 759671AC4 12,487 11690000 PRN Defined 01,02 None RESMED, INC. NOTE 4.000% 6/2 761152AB3 5,278 5600000 PRN Defined 01,02 None ROHM AND HAAS CO COM 775371107 411 12643 SH Defined 01,02 Sole ROPER INDUSTRIES INC COM 776696106 348 9498 SH Defined 01,02 Sole RYDER SYSTEM INC COM 783549108 480 21396 SH Defined 01,02 Sole RYLAND GROUP INC COM 783764103 409 12259 SH Defined 01,02 Sole SANDISK CORP. NOTE 4.500% 11/1 80004CAB7 9,835 7000000 PRN Defined 01,02 None SCHOLASTIC CORP COM 807066105 387 10771 SH Defined 01,02 Sole SENSIENT TECHNOLOGIES CORP COM 81725T100 387 17228 SH Defined 01,02 Sole SHAW GROUP, INC. NOTE 5/0 820280AC9 4,573 7850000 PRN Defined 01,02 None SMITHFIELD FOODS INC COM 832248108 330 16608 SH Defined 01,02 Sole SNAP-ON INC COM 833034101 345 12259 SH Defined 01,02 Sole SONIC CORP COM 835451105 476 23212 SH Defined 01,02 Sole SONOCO PRODUCTS CO COM 835495102 471 20531 SH Defined 01,02 Sole SOUTH FINANCIAL GROUP INC COM 837841105 447 21619 SH Defined 01,02 Sole SOUTHWEST AIRLINES COM 844741108 314 22560 SH Defined 01,02 Sole SPX CORP NOTE 2/0 784635AD6 6,169 10000000 PRN Defined 01,02 None STANCORP FINANCIAL GROUP COM 852891100 340 6955 SH Defined 01,02 Sole STATE STREET CORP COM 857477103 349 8958 SH Defined 01,02 Sole STMICROELECTRONICS N V NOTE 9/2 861012AB8 21,885 25300000 PRN Defined 01,02 None SUN MICROSYSTEMS INC COM 866810104 435 140000 SH Defined 01,02 Sole SYMANTEC CORP COM 871503108 347 8590 SH Defined 01,02 Sole SYMANTEC CORP. NOTE 3.000% 11/0 871503AB4 15,982 11330000 PRN Defined 01,02 None T ROWE PRICE GROUP INC COM 74144T108 566 20746 SH Defined 01,02 Sole TAKE-TWO INTERACTIVE SOFTWRE COM 874054109 380 16185 SH Defined 01,02 Sole TECH DATA CORP. SDCV 2.000% 12/1 878237AC0 4,182 4725000 PRN Defined 01,02 None TEEKAY SHIPPING CORP COM Y8564W103 339 8328 SH Defined 01,02 Sole TELEPHONE AND DATA SYSTEMS COM 879433100 454 9678 SH Defined 01,02 Sole TENET HEALTHCARE CORP COM 88033G100 738 45000 SH Defined 01,02 Sole TOOTSIE ROLL INDS COM 890516107 430 14007 SH Defined 01,02 Sole TRAVELERS PPTY. CAS. CORP. NT CV JR 2032 89420G307 18,369 821900 PRN Defined 01,02 None TYCO INTERNATIONAL LTD COM 902124106 352 20633 SH Defined 01,02 Sole TYCO INTL. NOTE 11/1 902124AC0 3,650 5000000 PRN Defined 01,02 None TYSON FOODS INC. CL A 902494103 322 28676 SH Defined 01,02 Sole UNION PACIFIC CORP COM 907818108 321 5355 SH Defined 01,02 Sole UNITED PARCEL SERVICE CL B 911312106 311 4933 SH Defined 01,02 Sole UNITRIN INC COM 913275103 443 15166 SH Defined 01,02 Sole UNIVISION COMMUNICATIONS CL A 914906102 372 15168 SH Defined 01,02 Sole UNOCAL CORP COM 915289102 326 10645 SH Defined 01,02 Sole VALSPAR CORP COM 920355104 429 9700 SH Defined 01,02 Sole VECTREN CORPORATION COM 92240G101 382 16606 SH Defined 01,02 Sole VERITAS SOFTWARE CORP. NOTE 1.856% 8/1 92343RAA1 28,678 33250000 PRN Defined 01,02 None VISHAY INTERTECHNOLOGY, INC. NOTE 6/0 928298AD0 19,354 35800000 PRN Defined 01,02 None W HOLDING COMPANY INC COM 929251106 303 18457 SH Defined 01,02 Sole WADDELL & REED FINANCIAL CL A 930059100 341 17320 SH Defined 01,02 Sole WALGREEN CO COM 931422109 363 12432 SH Defined 01,02 Sole WASHINGTON MUTUAL INC COM 939322103 458 13273 SH Defined 01,02 Sole WASTE CONNECTIONS, INC. FRNT 5/0 941053AD2 306 295000 PRN Defined 01,02 None WASTE MANAGEMENT INC COM 94106L109 353 15386 SH Defined 01,02 Sole WEATHERFORD INTERNATIONAL DBCV 6/3 947074AB6 9,307 14500000 PRN Defined 01,02 None WERNER ENTERPRISES INC COM 950755108 431 20006 SH Defined 01,02 Sole WILLIAMS COS INC COM 969457100 230 85000 SH Defined 01,02 Sole WIND RIVER SYSTEMS NOTE 3.750% 12/1 973149AE7 5,244 6750000 PRN Defined 01,02 None WORTHINGTON INDUSTRIES COM 981811102 428 28093 SH Defined 01,02 Sole XTO ENERGY INC COM 98385X106 370 14998 SH Defined 01,02 Sole YANKEE CANDLE CO COM 984757104 403 25212 SH Defined 01,02 Sole YOUNG & RUBICAM, INC. NOTE 3.000% 1/1 987425AC9 15,215 16016000 PRN Defined 01,02 None 1,280,427
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