-----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, JXuOqBlhVxLmUJKXB+uTFy5X5c31LRxVoarF+Nd308heQAAZttwmBiCzdQIorvZw 1tE5cr2/1Ip3Pm/C4AjFrg== 0001166588-04-000002.txt : 20040204 0001166588-04-000002.hdr.sgml : 20040204 20040204161147 ACCESSION NUMBER: 0001166588-04-000002 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20031231 FILED AS OF DATE: 20040204 EFFECTIVENESS DATE: 20040204 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BNP PARIBAS ARBITRAGE SA CENTRAL INDEX KEY: 0001166588 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-10038 FILM NUMBER: 04567019 BUSINESS ADDRESS: STREET 1: 555 CROTON ROAD STREET 2: 4TH FLOOR CITY: KING OF PRUSSIA STATE: PA ZIP: 19046 BUSINESS PHONE: 610 491 1400 MAIL ADDRESS: STREET 1: 555 CROTON ROAD STREET 2: 4TH FLOOR CITY: KING OF PRUSSIA STATE: PA ZIP: 19406 13F-HR 1 bnpparb13f.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:Dec 31,2003 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: BNP Paribas Arbitrage SA Address: 555 CROTON RD KING OF PRUSSIA, PA 19406 13F File Number: 028-10038 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: Fred Hoevenaar Title: Managing Director, Compliance Phone: 610-491-1439 Signature ,Place, and Date of Signing: Fred Hoevenaar KING OF PRUSSIA,PA 2/04/2004 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 are reported in this report and a portion are reported by other reporting managers(s).) List of Other Managers Reporting for this Manager: **NONE** I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES EXCHANGE ACT OF 1934. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total:870 Form 13F Information Table Value Total:$161052809738 List of Other Included Managers: No. 13F File Number Name **NONE**
Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page 1 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- AGILENT TECHNOLOGIES INC COM 00846U101 3573 122202 SH SOLE 122202 0 0 ALCOA INC COM 013817101 7250 190789 SH SOLE 190789 0 0 AIRTRAN HOLDINGS INC (CONV) Treasury 00949PAB4 693000 4500000 SH SOLE 4500000 0 0 AMERISOURCEBERGEN CORP COM 03073E105 1977 35218 SH SOLE 35218 0 0 APPLIED BIOSYSTEMS COM 038020103 1130 54560 SH SOLE 54560 0 0 AMBAC INC COM 023139108 1870 26949 SH SOLE 26949 0 0 ALBERTSON INCORPORATED COM 013104104 3562 157276 SH SOLE 157276 0 0 ABBOTT LABORATORIES COM 002824100 47209 1013062 SH SOLE 1013062 0 0 ALLIANCE CAPITAL MGMT HOLD COM 01855A101 321 9500 SH SOLE 9500 0 0 ACE LTD COM G0070K103 2915 70378 SH SOLE 70378 0 0 AMERICREDIT CORP 144-A (CONV) Treasury 03060RAL5 216250 2000000 SH SOLE 2000000 0 0 ALBERTO-CULVER COMPANY CL B COM 013068101 935 14823 SH SOLE 14823 0 0 ADOBE SYSTEMS INC COM 00724F101 321 8220 SH SOLE 8220 0 0 ADC TELECOMMUNICATIONS INC COM 000886101 603 202962 SH SOLE 202962 0 0 ANALOG DEVICES INCORPORATED COM 032654105 5470 119823 SH SOLE 119823 0 0 ARCHER-DANIELS-MIDLAND CO COM 039483102 2482 163069 SH SOLE 163069 0 0 AUTOMATIC DATA PROCESSING INC COM 053015103 6884 173796 SH SOLE 173796 0 0 ADAPTEC INC COM 00651F108 177 20000 SH SOLE 20000 0 0 ADAPTEC INC (144-A) CONV Treasury 00651FAF5 205750 2000000 SH SOLE 2000000 0 0 AUTODESK INCORPORATED COM 052769106 729 29644 SH SOLE 29644 0 0 ADVANCE PCS COM 00790K109 24007 454760 SH SOLE 454760 0 0 AMEREN CORP COM 023608102 3441 74811 SH SOLE 74811 0 0 AEGON N.V. ORD AMER REG CTF COM 007924103 2941 198705 SH SOLE 198705 0 0 AMERICAN ELECTRIC POWER CO COM 025537101 4382 143608 SH SOLE 143608 0 0 AES CORP COM 00130H105 1482 157022 SH SOLE 157022 0 0 AETNA US HEALTHCARE COM 00817Y108 3614 53476 SH SOLE 53476 0 0 AFFYMETRIX INC COM 00826T108 246 10000 SH SOLE 10000 0 0 AFLAC INC COM 001055102 4679 129321 SH SOLE 129321 0 0 ALLERGAN INC COM 018490102 2527 32895 SH SOLE 32895 0 0 AGERE SYSTEMS INC-B COM 00845V209 269 92619 SH SOLE 92619 0 0 AMERADA HESS CORPORATION COM 023551104 1205 22665 SH SOLE 22665 0 0 AMERICAN INTL GROUP INC COM 026874107 63382 956417 SH SOLE 956417 0 0 AMERICAN INTL GROUP Treasury 026874AP2 16432062 248500000 SH SOLE 248500000 0 0 APARTMENT INVT & MGMT CO-A COM 03748R101 820 23759 SH SOLE 23759 0 0 ALCATEL ALSTHOM CGE-SPON ADR COM 013904305 554 43092 SH SOLE 43092 0 0 ALASKA AIR GROUP INC (CONV) Treasury 011659AG4 1143567 9000000 SH SOLE 9000000 0 0 ALLSTATE CORP COM 020002101 8063 187422 SH SOLE 187422 0 0 ALSTOM S.A. SPON ADR COM 021244108 37 22000 SH SOLE 22000 0 0 ALTERA CORP COM 021441100 477 21038 SH SOLE 21038 0 0 AMERICAN GREETINGS CORP COM 026375105 367 16761 SH SOLE 16761 0 0 APPLIED MATERIALS INC COM 038222105 21962 978677 SH SOLE 978677 0 0 APPLIED MICRO CIRCUITS CORP COM 03822W109 641 107413 SH SOLE 107413 0 0 ADVANCED MICRO DEVICES INC COM 007903107 1541 103401 SH SOLE 103401 0 0 ADVANCED MICRO DEVICES CONV Treasury 007903AE7 637500 6250000 SH SOLE 6250000 0 0 ADVANCED MICRO DEVICES (CONV) Treasury 007903AF4 1768000 8000000 SH SOLE 8000000 0 0 APPLIED MOLECULAR EVOLUTION COM 03823E108 4025 225759 SH SOLE 225759 0 0 AMGEN INC COM 031162100 26783 433455 SH SOLE 433455 0 0 AMGEN INC, CNV Treasury 031162AE0 3467250 46000000 SH SOLE 46000000 0 0 AMERICAN AIRLINES SER 144A CON Treasury 001765AZ9 1018750 10000000 SH SOLE 10000000 0 0 AMAZON COMM INC COM 023135106 16125 306451 SH SOLE 306451 0 0 AUTONATION INC COM 05329W102 1274 69364 SH SOLE 69364 0 0 ANDREW CORPORATION COM 034425108 449 38727 SH SOLE 38727 0 0 AON CORP COM 037389103 1893 79087 SH SOLE 79087 0 0 AMERICA ONLINE Treasury 02364JAC8 3144026 50204000 SH SOLE 50204000 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page2 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- APACHE CORPORATION COM 037411105 3760 46360 SH SOLE 46360 0 0 ANADARKO PETROLEUM CORP COM 032511107 3635 71268 SH SOLE 71268 0 0 AMERICAN POWER CONVERSION COR COM 029066107 413 16874 SH SOLE 16874 0 0 AIR PRODUCTS & CHEMICALS COM 009158106 3028 57311 SH SOLE 57311 0 0 APOLLO GROUP INC COM 037604105 385 5678 SH SOLE 5678 0 0 ARM HOLDING PLC - SPONS ADR COM 042068106 168 24410 SH SOLE 24410 0 0 AMERICAN STANDARD COS INC COM 029712106 1849 18360 SH SOLE 18360 0 0 ASHLAND INC COM 044204105 762 17299 SH SOLE 17299 0 0 ASM INTERNATIONAL COM N07045102 902 44551 SH SOLE 44551 0 0 AMSOUTH BANCORPORATION COM 032165102 2169 88527 SH SOLE 88527 0 0 ALLTEL CORPORATION COM 020039103 3666 78696 SH SOLE 78696 0 0 ANTHEM INC COM 03674B104 2615 34871 SH SOLE 34871 0 0 AT HOME CORP SER A COM 045919107 0 29854 SH SOLE 29854 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 269 20335 SH SOLE 20335 0 0 AVAYA INC COM 053499109 1466 113306 SH SOLE 113306 0 0 AVIALL INC COM 05366B102 278 17900 SH SOLE 17900 0 0 AVON PRODUCTS INCORPORATED COM 054303102 4025 59639 SH SOLE 59639 0 0 AVERY DENNISON CORP COM 053611109 1560 27856 SH SOLE 27856 0 0 ALLIED WASTE INDUSTRIES COM 019589308 1121 80749 SH SOLE 80749 0 0 AT & T WIRELESS SERVICES COM 00209A106 5989 749575 SH SOLE 749575 0 0 AXA-UAP SPONSORED ADR COM 054536107 351 16335 SH SOLE 16335 0 0 AMERICAN EXPRESS CO COM 025816109 32054 664611 SH SOLE 664611 0 0 Allegheny Energy Inc COM 017361106 409 32018 SH SOLE 32018 0 0 AUTOZONE INC COM 053332102 1907 22384 SH SOLE 22384 0 0 BOEING CO COM 097023105 26092 619183 SH SOLE 619183 0 0 BRITISH AIRWAYS ADS COM 110419306 480 11500 SH SOLE 11500 0 0 BANK OF AMERICA CORP COM 060505104 67064 833824 SH SOLE 833824 0 0 BAXTER INTERNATIONAL INC COM 071813109 7618 249601 SH SOLE 249601 0 0 BB&T COPRORATION COM 054937107 5326 137832 SH SOLE 137832 0 0 BANCO BILBAO VIZCAYA - SP ADR COM 05946K101 301 21720 SH SOLE 21720 0 0 BEST BUY COMPANY INC COM 086516101 5334 102108 SH SOLE 102108 0 0 BRUNSWICK CORP COM 117043109 735 23081 SH SOLE 23081 0 0 BOISE CASCADE CORPORATION COM 097383103 715 21756 SH SOLE 21756 0 0 C R BARD INCORPORATED COM 067383109 1063 13077 SH SOLE 13077 0 0 BLACK & DECKER MANUFACTURING COM 091797100 967 19602 SH SOLE 19602 0 0 BECTON DICKINSON & COMPANY COM 075887109 2634 64036 SH SOLE 64036 0 0 FRANKLIN RESOURCES INC COM 354613101 3295 63288 SH SOLE 63288 0 0 BROWN FORMAN CORP COM 115637209 1430 15305 SH SOLE 15305 0 0 BALLY HEALTH & TENNIS CORP COM 05873K108 140 20000 SH SOLE 20000 0 0 GENERAL CABLE CORP PFD 5.75%SR COM 369300207 4609 77500 SH SOLE 77500 0 0 BAKER HUGHES INC COM 057224107 3102 96440 SH SOLE 96440 0 0 BIOGEN IDEC INC COM 09062X103 36922 1006045 SH SOLE 1006045 0 0 BJ SERVICES CO. COM 055482103 1433 39914 SH SOLE 39914 0 0 BANK NEW YORK INC COM 064057102 7892 238276 SH SOLE 238276 0 0 BIG LOTS INC COM 089302103 419 29475 SH SOLE 29475 0 0 BALL CORPORATION COM 058498106 846 14209 SH SOLE 14209 0 0 BELLSOUTH CORP COM 079860102 34530 1220126 SH SOLE 1220126 0 0 BMC SOFTWARE INC COM 055921100 1064 57052 SH SOLE 57052 0 0 BEMIS COMPANY INCORPORATED COM 081437105 670 13393 SH SOLE 13393 0 0 BRISTOL MYERS SQUIBB CO. COM 110122108 21473 750809 SH SOLE 750809 0 0 BURLINGTON NORTHERN SANTE FE COM 12189T104 3384 104609 SH SOLE 104609 0 0 BNP PARIBAS US MTN LLC Treasury 05566HAA5 12870 129999 SH SOLE 129999 0 0 BUSINESS OBJECTS S.A. SPONS COM 12328X107 1214 35013 SH SOLE 35013 0 0 BAUSCH & LOMB INCORPORATED COM 071707103 686 13222 SH SOLE 13222 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page3 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- BURLINGTON RESOURCES COM 122014103 2774 50092 SH SOLE 50092 0 0 BROADCOM CORP COM 111320107 981 28841 SH SOLE 28841 0 0 BERKSHIRE HATHAWAY INC CL A COM 084670108 927 11 SH SOLE 11 0 0 BERKSHIRE HATHAWAY INC COM 084670207 535 190 SH SOLE 190 0 0 BEAR STEARNS COS INC COM 073902108 1976 24719 SH SOLE 24719 0 0 BOSTON SCIENTIFIC CORP COM 101137107 7887 214567 SH SOLE 214567 0 0 ANHEUSER BUSCH INCORPORATED COM 035229103 15023 285181 SH SOLE 285181 0 0 CITIGROUP INC COM 172967101 110362 2273630 SH SOLE 2273630 0 0 COMPUTER ASSOCIATES INTL INC COM 204912109 12129 443629 SH SOLE 443629 0 0 CONAGRA FOODS INC COM 205887102 3573 135398 SH SOLE 135398 0 0 CARDINAL HEALTH INC COM 14149Y108 8359 136673 SH SOLE 136673 0 0 CANDESCENT TECHNOLOGY CORP Treasury 137392AA4 100000 1000000 SH SOLE 1000000 0 0 CATERPILLAR INC COM 149123101 10194 122785 SH SOLE 122785 0 0 CHUBB CORP COM 171232101 3994 58651 SH SOLE 58651 0 0 CB Bancshares Inc COM 124785106 1226 19582 SH SOLE 19582 0 0 COOPER INDUSTRIES INC CL-A COM G24182100 1364 23541 SH SOLE 23541 0 0 Coastal Bancorp Inc COM 19041P105 1564 38037 SH SOLE 38037 0 0 CIRCUIT CITY STORES- COM 172737108 535 52820 SH SOLE 52820 0 0 CCBT Financial Cos Inc COM 12500Q102 3455 98856 SH SOLE 98856 0 0 COCA COLA ENTERPRISES INC. COM 191219104 2509 114709 SH SOLE 114709 0 0 CARNIVAL CORP COM 143658300 6470 162845 SH SOLE 162845 0 0 CARNIVAL CORP Treasury 143658AS1 1061250 15000000 SH SOLE 15000000 0 0 CABOT MICROELECTRONICS CORP COM 12709P103 255 5200 SH SOLE 5200 0 0 CLEAR CHANNEL COMMUNICATIONS COM 184502102 7405 158131 SH SOLE 158131 0 0 CENDANT CORPORATION COM 151313103 5868 263501 SH SOLE 263501 0 0 CONCORD EFS, INC. COM 206197105 8666 583990 SH SOLE 583990 0 0 CONSTELLATION ENERGY GROUP COM 210371100 1652 42185 SH SOLE 42185 0 0 CELGENE CORP 1.75% CONV Treasury 151020AB0 896250 7500000 SH SOLE 7500000 0 0 CEPHALON INC COM 156708109 218 4500 SH SOLE 4500 0 0 CHARTER ONE FINANCIAL COM 160903100 1940 56142 SH SOLE 56142 0 0 COUNTRYWIDE FINANCIAL CORP COM 222372104 3522 46430 SH SOLE 46430 0 0 CHIRON CORPORATION COM 170040109 581 10200 SH SOLE 10200 0 0 CHIRON CORP (CONV) 144-A Treasury 170040AF6 1935938 17500000 SH SOLE 17500000 0 0 CHESAPEAKE ENERGY CORP COM 165167107 339 25000 SH SOLE 25000 0 0 CHECK POINT SOFTWARE TECH COM M22465104 1568 93000 SH SOLE 93000 0 0 CIGNA CORPORATION COM 125509109 2439 42425 SH SOLE 42425 0 0 CIENA CORP COM 171779101 1420 216479 SH SOLE 216479 0 0 CIMA LABS INC COM 171796105 11308 346653 SH SOLE 346653 0 0 CINERGY CORP COM 172474108 3167 81594 SH SOLE 81594 0 0 CINCINNATI FINANCIAL CORP COM 172062101 1689 40458 SH SOLE 40458 0 0 CONTL FINL TRUST II PFD CONV COM 210796306 3906 125000 SH SOLE 125000 0 0 COLGATE PALMOLIVE CO COM 194162103 17932 358274 SH SOLE 358274 0 0 CLOROX COM 189054109 2584 53215 SH SOLE 53215 0 0 COMERICA INC COM 200340107 2479 44217 SH SOLE 44217 0 0 COMCAST CORP CLASS A (NEW) COM 20030N101 14460 440982 SH SOLE 440982 0 0 COMCAST CORP-SPECIAL CL A COM 20030N200 1912 61100 SH SOLE 61100 0 0 CMGI INC COM 125750109 20 11500 SH SOLE 11500 0 0 CUMMINS INC COM 231021106 522 10668 SH SOLE 10668 0 0 CMS ENERGY CORP COM 125896100 346 40632 SH SOLE 40632 0 0 CENTERPOINT ENERGY INC COM 15189T107 748 77184 SH SOLE 77184 0 0 CAPITAL ONE FINANCIAL CORP. COM 14040H105 3569 58231 SH SOLE 58231 0 0 ROCKWELL COLLINS COM 774341101 1340 44637 SH SOLE 44637 0 0 CONOCOPHILLIPS COM 20825C104 11256 171670 SH SOLE 171670 0 0 COSTCO WHOLESALE CORP COM 22160K105 2369 63713 SH SOLE 63713 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page4 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- CAMPBELL SOUP COMPANY COM 134429109 2773 103479 SH SOLE 103479 0 0 CALPINE CORPORATION COM 131347106 501 104181 SH SOLE 104181 0 0 CALPINE CORP SERIES 144A Treasury 131347BH8 1131625 11000000 SH SOLE 11000000 0 0 COMPUWARE CORP COM 205638109 389 64394 SH SOLE 64394 0 0 CRANE COMPANY COM 224399105 461 14984 SH SOLE 14984 0 0 APPLERA CORP CELERA GENOMICS COM 038020202 195 14000 SH SOLE 14000 0 0 COMPUTER SCIENCES CORPORATION COM 205363104 2532 57237 SH SOLE 57237 0 0 CISCO SYS INC COM 17275R102 43443 1792962 SH SOLE 1792962 0 0 C S X CORPORATION COM 126408103 1940 53966 SH SOLE 53966 0 0 COOPER TIRE & RUBR CO COM 216831107 398 18622 SH SOLE 18622 0 0 CENTURYTEL INC COM 156700106 1186 36363 SH SOLE 36363 0 0 CENTEX CORPORATION COM 152312104 1687 15673 SH SOLE 15673 0 0 CITRIX SYSTEMS INC. COM 177376100 424 20025 SH SOLE 20025 0 0 CARNIVAL PLC - ADR COM 14365C103 1112 27695 SH SOLE 27695 0 0 CONVERGYS COPR COM 212485106 630 36072 SH SOLE 36072 0 0 CVS CORPORATION COM 126650100 3959 109594 SH SOLE 109594 0 0 CHEVRONTEXACO CORP COM 166764100 38808 449216 SH SOLE 449216 0 0 CABLE & WIRELESS PLC COM 126830207 206 29400 SH SOLE 29400 0 0 CITIZENS COMMUNICATIONS CO COM 17453B101 891 71729 SH SOLE 71729 0 0 DOMINION RESOURCES INC COM 25746U109 10264 160807 SH SOLE 160807 0 0 GROUPE DANONE-SPONS ADR COM 399449107 366 11249 SH SOLE 11249 0 0 DELTA AIR LINES INC DEL COM 247361108 380 32167 SH SOLE 32167 0 0 DEUTSCHE BANK AG-REG COM D18190898 2458 29900 SH SOLE 29900 0 0 DEUTSCHE BANK LUX S.A. CONV 14 Treasury 251536AC2 9545000 57500000 SH SOLE 57500000 0 0 DANA CORPORATION COM 235811106 688 37478 SH SOLE 37478 0 0 DAIMLERCHRYSLER AG COM D1668R123 247 5351 SH SOLE 5351 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 19796 431387 SH SOLE 431387 0 0 DILLARDS INC - CLASS A COM 254067101 346 21005 SH SOLE 21005 0 0 DEERE & COMPANY COM 244199105 3937 60519 SH SOLE 60519 0 0 DELL INC COM 24702R101 36849 1084438 SH SOLE 1084438 0 0 DIAGEO PLC SPON ADR COM 25243Q205 959 18146 SH SOLE 18146 0 0 DEAN FOODS CO. COM 242370104 419 12750 SH SOLE 12750 0 0 DOLLAR GENERAL CORPORATION COM 256669102 1784 84985 SH SOLE 84985 0 0 QUEST DIAGNOSTICS COM 74834L100 1917 26215 SH SOLE 26215 0 0 DANAHER CORPORATION COM 235851102 3553 38723 SH SOLE 38723 0 0 DISNEY WALT CO COM 254687106 28719 1230986 SH SOLE 1230986 0 0 CALL: DISNEY WALT CO Treasury 254687AU0 8946438 84500000 SH SOLE 84500000 0 0 DOW JONES & CO INC COM 260561105 1025 20568 SH SOLE 20568 0 0 DIAL CORP COM 25247D101 6508 228600 SH SOLE 228600 0 0 Deluxe Corp COM 248019101 527 12745 SH SOLE 12745 0 0 GENENTECH INC COM 368710406 1357 14500 SH SOLE 14500 0 0 R R DONNELLEY & SON COMPANY COM 257867101 864 28655 SH SOLE 28655 0 0 DOVER CORP COM 260003108 2030 51070 SH SOLE 51070 0 0 DOW CHEM CO COM 260543103 37186 894533 SH SOLE 894533 0 0 DELPHI CORPORATION COM 247126105 2127 208282 SH SOLE 208282 0 0 DARDEN RESTAURANTS INC WI COM 237194105 875 41570 SH SOLE 41570 0 0 Dreyer's Grand Ice Cream Holdi COM 261877104 111366 1432360 SH SOLE 1432360 0 0 DST SYSTEMS INC 144-A (CONV) Treasury 233326AA5 357750 2999999 SH SOLE 2999999 0 0 DST SYSTEMS INC 144-A (CONV) Treasury 233326AC1 171000 1499999 SH SOLE 1499999 0 0 DEUTSCHE TELEKOM AG SPONC ADR COM 251566105 327 18012 SH SOLE 18012 0 0 DTE ENERGY CO. COM 233331107 3083 78239 SH SOLE 78239 0 0 DUKE ENERGY CORP COM 264399106 12585 615398 SH SOLE 615398 0 0 DUKE ENERGY 1.75% CONV BOND DU Treasury 264399EJ1 4904375 47500000 SH SOLE 47500000 0 0 DEVON ENERGY CORP COM 25179M103 3759 65645 SH SOLE 65645 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page5 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- DYNEGY INC COM 26816Q101 407 95061 SH SOLE 95061 0 0 DYNEGY INC 144-A (CONV) Treasury 26816QAA9 1518000 11000000 SH SOLE 11000000 0 0 EBAY INC COM 278642103 3815 59044 SH SOLE 59044 0 0 ENGLEHARD CORPORATION COM 292845104 947 31635 SH SOLE 31635 0 0 ECOLAB INC COM 278865100 1778 64970 SH SOLE 64970 0 0 CONSOLIDATED EDISON INC COM 209115104 4458 103655 SH SOLE 103655 0 0 ELECTRONIC DATA SYSTEMS CORP. COM 285661104 3463 141135 SH SOLE 141135 0 0 EQUIFAX INCORPORATED COM 294429105 859 35072 SH SOLE 35072 0 0 EDISON INTERNATIONAL COM 281020107 1802 82161 SH SOLE 82161 0 0 EASTMAN KODAK COMPANY COM 277461109 17093 665885 SH SOLE 665885 0 0 EASTMAN KODAK (144-A) CONV Treasury 2774618X0 555000 5000000 SH SOLE 5000000 0 0 E M C CORP MASS COM 268648102 8999 696500 SH SOLE 696500 0 0 EASTMAN CHEMICAL COMPANY COM 277432100 771 19510 SH SOLE 19510 0 0 EMERSON ELECTRIC CO COM 291011104 8198 126612 SH SOLE 126612 0 0 ERON CORP Treasury 293561CC8 421200 31199998 SH SOLE 31199998 0 0 ENRON CORP COM 293561106 1 51000 SH SOLE 51000 0 0 EOG RESOURCES INC COM 26875P101 1340 29022 SH SOLE 29022 0 0 EQUITY OFFICE PROPERTIES TR COM 294741103 2888 100808 SH SOLE 100808 0 0 EL PASO CORPORATION COM 28336L109 1264 154311 SH SOLE 154311 0 0 EQUITY RESIDENTIAL COM 29476L107 2050 69462 SH SOLE 69462 0 0 ELECTRONIC ARTS COM 285512109 1087 22788 SH SOLE 22788 0 0 EXPRESS SCRIPTS INC COM COM 302182100 285 4286 SH SOLE 4286 0 0 EATON CORPORATION COM 278058102 2070 19167 SH SOLE 19167 0 0 ENTERGY CORP COM 29364G103 3296 57701 SH SOLE 57701 0 0 ETOYS INC COM 297862104 0 16100 SH SOLE 16100 0 0 EXELON CORPORATION COM 30161N101 7861 118467 SH SOLE 118467 0 0 FORD MOTOR COMPANY COM 345370860 20213 1263309 SH SOLE 1263309 0 0 Firstfed America Bancorp COM 337929103 10220 392632 SH SOLE 392632 0 0 FLEET BOSTON FINANCIAL CORP COM 339030108 24084 551748 SH SOLE 551748 0 0 FREEPORT MCMORAN COPPER & COM 35671D857 1939 46023 SH SOLE 46023 0 0 FREEPORT-MCMORAN C&G (CONV) Treasury 35671DAF2 1248000 5999999 SH SOLE 5999999 0 0 FREEPORT-MCMORAN C&G (CONV) Treasury 35671DAK1 564000 4000000 SH SOLE 4000000 0 0 FEDERATED DEPT. STORES INC. COM 31410H101 2149 45591 SH SOLE 45591 0 0 FIRST DATA CORP COM 319963104 8517 207281 SH SOLE 207281 0 0 FAMILY DOLLAR STORES COM 307000109 1560 43482 SH SOLE 43482 0 0 FEDEX CORP COM 31428X106 5725 84811 SH SOLE 84811 0 0 FIRST ENERGY CORP COM 337932107 6635 188503 SH SOLE 188503 0 0 FARIMONT HOTELS @ RESORT SER 1 Treasury 305204AA7 209750 2000000 SH SOLE 2000000 0 0 FEDERATED INVESTORS INC COM 314211103 805 27402 SH SOLE 27402 0 0 FIFTH THIRD BANCORP COM 316773100 8480 143487 SH SOLE 143487 0 0 FLEXTRONICS INTL LTD COM Y2573F102 2344 158360 SH SOLE 158360 0 0 FLUOR CORP COM 343412102 820 20689 SH SOLE 20689 0 0 FANNIE MAE COM 313586109 30075 400673 SH SOLE 400673 0 0 FORTUNE BRANDS INC COM 349631101 2630 36785 SH SOLE 36785 0 0 SPRINT CORP COM 852061100 6761 411779 SH SOLE 411779 0 0 FPL GROUP INCORPORATED COM 302571104 3035 46386 SH SOLE 46386 0 0 FEDERAL HOME LOAN MTG CORP COM 313400301 11960 205074 SH SOLE 205074 0 0 FOREST LABORATORIES INC COM 345838106 6007 97203 SH SOLE 97203 0 0 FTD Inc COM 30265Q109 8905 361424 SH SOLE 361424 0 0 FIRST TENNESSEE NATIONAL CORP COM 337162101 1396 31651 SH SOLE 31651 0 0 GILLETTE COMPANY COM 375766102 56556 1539786 SH SOLE 1539786 0 0 NICOR INCORPORATED COM 654086107 693 20361 SH SOLE 20361 0 0 GANNETT COMPANY INCORPORATED COM 364730101 7009 78614 SH SOLE 78614 0 0 GENERAL DYNAMICS CORPORATION COM 369550108 5140 56865 SH SOLE 56865 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page6 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- GUIDANT CORP COM 401698105 5648 93826 SH SOLE 93826 0 0 GOLDEN WEST FINANCIAL CORP COM 381317106 3953 38311 SH SOLE 38311 0 0 GENERAL ELECTRIC COMPANY COM 369604103 140085 4521791 SH SOLE 4521791 0 0 GENZYME CORP COM 372917104 3376 68500 SH SOLE 68500 0 0 GENERAL MILLS INCORPORATED COM 370334104 4514 99653 SH SOLE 99653 0 0 GREAT LAKES CHEMICAL CORP COM 390568103 347 12758 SH SOLE 12758 0 0 CORNING INC COM 219350105 3539 339334 SH SOLE 339334 0 0 GENERAL MTRS CORP COM 370442105 34837 652383 SH SOLE 652383 0 0 GEMSTAR TV GUIDE INTL INC COM 36866W106 61 12000 SH SOLE 12000 0 0 GEORGIA PACIFIC CORPORATION COM 373298108 1965 64085 SH SOLE 64085 0 0 GENIUNE PARTS COMPANY COM 372460105 1456 43870 SH SOLE 43870 0 0 GAP INCORPORATED COM 364760108 5740 247303 SH SOLE 247303 0 0 GOODRICH CORP COM 382388106 881 29658 SH SOLE 29658 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 12381 125398 SH SOLE 125398 0 0 GLOBESPANVIRATA INC COM 37957V106 20747 3546570 SH SOLE 3546570 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 1513 192493 SH SOLE 192493 0 0 GULFTERRA ENERGY PARTNERS LP COM 40274U108 501 11800 SH SOLE 11800 0 0 GATEWAY INC COM 367626108 376 81801 SH SOLE 81801 0 0 GUCCI GROUP INC. COM 401566104 2817 32929 SH SOLE 32929 0 0 W W GRAINGER INC COM 384802104 1091 23011 SH SOLE 23011 0 0 HAIN CELESTIAL GROUP INT COM 405217100 279 12000 SH SOLE 12000 0 0 HALLIBURTON CO (HOLDING CO) COM 406216101 2885 110969 SH SOLE 110969 0 0 HASBRO INCORPORATED COM 418056107 936 43996 SH SOLE 43996 0 0 HUNTINGTON BANCSHARES COM 446150104 1299 57719 SH SOLE 57719 0 0 HSBC HOLDING PLC-SPONS ADR COM 404280406 277 3519 SH SOLE 3519 0 0 HCA INC COM 404119109 5776 134448 SH SOLE 134448 0 0 HORIZON ORGANIC HOLDING CORP COM 44043T103 2593 108280 SH SOLE 108280 0 0 MANOR CARE INC COM 564055101 777 22480 SH SOLE 22480 0 0 HOME DEPOT INCORPORATED COM 437076102 38112 1073887 SH SOLE 1073887 0 0 HARLEY DAVIDSON INCORPORATED COM 412822108 3997 84097 SH SOLE 84097 0 0 HARRAHS ENT. INC. COM 413619107 1386 27853 SH SOLE 27853 0 0 HUMAN GENOME SCIENCES INC COM 444903108 1464 110500 SH SOLE 110500 0 0 HARTFORD FINANCIAL SVCS GRP COM 416515104 4506 76341 SH SOLE 76341 0 0 HILTON HOTELS CORPORATION COM 432848109 1639 95672 SH SOLE 95672 0 0 HILTON HOTELS Treasury 432848AZ2 1081250 10000000 SH SOLE 10000000 0 0 HEALTH MGMT ASSOC INC COM 421933102 1499 62474 SH SOLE 62474 0 0 HOST MARRIOTT CONV PFD 6.75% COM 441079407 8323 160835 SH SOLE 160835 0 0 H.J.HEINZ COMPANY COM 423074103 17268 473994 SH SOLE 473994 0 0 HONEYWELL INTERNATIONAL INC COM 438516106 8059 241080 SH SOLE 241080 0 0 STARWOOD HOTELS & RESORTS COM 85590A203 2878 79999 SH SOLE 79999 0 0 HERCULES INCORPORATED COM 427056106 341 27971 SH SOLE 27971 0 0 HEWLETT-PACKARD INCORPORATED COM 428236103 44195 1924013 SH SOLE 1924013 0 0 BLOCK H & R INC COM 093671105 2489 44959 SH SOLE 44959 0 0 HERSHEY FOODS CORP COM 427866108 2526 32811 SH SOLE 32811 0 0 HUMANA INC COM 444859102 928 40622 SH SOLE 40622 0 0 INTL BUSINESS MACHINES INC COM 459200101 122672 1323606 SH SOLE 1323606 0 0 ICN PHARMACEUTICALS INC Treasury 448924AM2 264062 2500000 SH SOLE 2500000 0 0 INTEGRATED DEVICE TECHNOLOGY COM 458118106 172 10000 SH SOLE 10000 0 0 INTL FLAVORS & FRAGRANCES INC COM 459506101 825 23619 SH SOLE 23619 0 0 INFINEON TECHNOLOGIES ADR COM 45662N103 3680 268419 SH SOLE 268419 0 0 INTERNATIONAL GAME TECHNOLOGY COM 459902102 3117 87306 SH SOLE 87306 0 0 HEWLETT PACKARD/INDIGO CVR COM ECJCVR992 0 48773 SH SOLE 48773 0 0 INTEL CORP COM 458140100 97948 3056103 SH SOLE 3056103 0 0 INTERNATIONAL PAPER COMPANY COM 460146103 13140 304804 SH SOLE 304804 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page7 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- INTERNATIONAL PAPER CO Treasury 460146BM4 17169564 312884992 SH SOLE 312884992 0 0 INTERPUBLIC GROUP OF COMPANIE COM 460690100 1631 104559 SH SOLE 104559 0 0 INGERSOLL-RAND CO-A COM G4776G101 2970 43749 SH SOLE 43749 0 0 ITT INDUSTRIES INC COM 450911102 1727 23267 SH SOLE 23267 0 0 ILLINOIS TOOLS WORKS INC COM 452308109 6520 77700 SH SOLE 77700 0 0 JABIL CIRCUIT INC COM 466313103 1425 50370 SH SOLE 50370 0 0 JOHNSON CONTROLS INCORPORATED COM 478366107 2644 22771 SH SOLE 22771 0 0 PENNEY (J.C.) CO COM 708160106 1937 73696 SH SOLE 73696 0 0 JDS UNIPHASE CORP COM 46612J101 174 47679 SH SOLE 47679 0 0 JOHN HANCOCK FINANCIAL SRVCS COM 41014S106 27477 732712 SH SOLE 732712 0 0 JOHNSON & JOHNSON INCORPORATE COM 478160104 127321 2464600 SH SOLE 2464600 0 0 JUNIPER NETWORKS INC COM 48203R104 646 34576 SH SOLE 34576 0 0 JANUS CAPITAL GROUP INC COM 47102X105 4857 295990 SH SOLE 295990 0 0 JONES APPAREL GROUP INC COM 480074103 1122 31856 SH SOLE 31856 0 0 JEFFERSON PILOT CORP COM 475070108 1802 35569 SH SOLE 35569 0 0 JPMORGAN CHASE & CO COM 46625H100 207271 5643096 SH SOLE 5643096 0 0 NORDSTROM INCORPORATED COM 655664100 1189 34658 SH SOLE 34658 0 0 KELLOGG CO COM 487836108 17356 455782 SH SOLE 455782 0 0 KB HOME COM 48666K109 848 11689 SH SOLE 11689 0 0 KEYCORP (NEW) COM 493267108 3099 105695 SH SOLE 105695 0 0 KRAFT FOODS INC CLASS A COM 50075N104 1895 58800 SH SOLE 58800 0 0 KING PHARMACEUTICALS COM 495582108 1157 75807 SH SOLE 75807 0 0 KLA INSTRUMENTS CORP COM 482480100 410 7000 SH SOLE 7000 0 0 KIMBERLY-CLARK CORPORATION COM 494368103 9030 152810 SH SOLE 152810 0 0 KERR MCGEE CORP COM 492386107 1182 25431 SH SOLE 25431 0 0 KINDER MORGAN INC COM 49455P101 1837 31075 SH SOLE 31075 0 0 COCA COLA CO COM 191216100 92201 1816773 SH SOLE 1816773 0 0 KROGER COMPANY COM 501044101 3937 212689 SH SOLE 212689 0 0 MBNA CORP COM 55262L100 8752 352194 SH SOLE 352194 0 0 KNIGHT RIDDER INC COM 499040103 1683 21747 SH SOLE 21747 0 0 KROLL INC SERIES 144A Treasury 501049AB6 10275 100000 SH SOLE 100000 0 0 KEYSPAN CORP COM 49337W100 2692 73156 SH SOLE 73156 0 0 KOHLS CORP COM 500255104 5404 120242 SH SOLE 120242 0 0 LIBERTY MEDIA CORP-A COM 530718105 178 15000 SH SOLE 15000 0 0 LEGGETT & PLATT INCORPORATED COM 524660107 1047 48402 SH SOLE 48402 0 0 LEHMAN BROTHERS HLDGS INC COM 524908100 9727 125970 SH SOLE 125970 0 0 LIZ CLAIBORNE INC COM 539320101 976 27518 SH SOLE 27518 0 0 LINEAR TECHNOLOGY CORP COM 535678106 1472 35000 SH SOLE 35000 0 0 ELI LILLY & COMPANY COM 532457108 27853 396037 SH SOLE 396037 0 0 LOCKHEED MARTIN CORP COM 539830109 9483 184495 SH SOLE 184495 0 0 LOCKHEED MARTIN CORP 144-A (CO Treasury 539830AN9 1933117 19000000 SH SOLE 19000000 0 0 LINCOLN NATIONAL CORPORATION COM 534187109 1812 44880 SH SOLE 44880 0 0 LOWES COS INCORPORATED COM 548661107 10984 198295 SH SOLE 198295 0 0 LOUISIANA-PACIFIC CORPORATION COM 546347105 477 26703 SH SOLE 26703 0 0 LSI LOGIC CORPORATION COM 502161102 848 95589 SH SOLE 95589 0 0 LIMITED BRANDS INC. COM 532716107 2349 130295 SH SOLE 130295 0 0 LOEWS CORPORATION COM 540424108 2313 46766 SH SOLE 46766 0 0 LUCENT TECHNOLOGY COM 549463107 3369 1186264 SH SOLE 1186264 0 0 LUCENT TECH CAP TRUST PFD 7.75 COM 549462307 476 4500 SH SOLE 4500 0 0 SOUTHWEST AIRLINES COM 844741108 3204 198509 SH SOLE 198509 0 0 LUXOTTICA GROUP SPA COM 55068R202 230 13200 SH SOLE 13200 0 0 LEVEL 3 COMMUNUNICATIONS CONV Treasury 52729NBA7 641138 6150000 SH SOLE 6150000 0 0 LEXMARK INTERNATIONAL, INC COM 529771107 3739 47548 SH SOLE 47548 0 0 Marriott International Inc COM 571903202 2694 58311 SH SOLE 58311 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page8 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- MASCO CORP DEL COM 574599106 4235 154492 SH SOLE 154492 0 0 MATTEL INC COM 577081102 2648 137404 SH SOLE 137404 0 0 MAY DEPARTMENT STORES CO COM 577778103 2115 72772 SH SOLE 72772 0 0 M B I A INC COM 55262C100 2153 36346 SH SOLE 36346 0 0 MCDONALDS CORPORATION COM 580135101 26036 1048578 SH SOLE 1048578 0 0 MCKESSON CORP COM 58155Q103 3907 121487 SH SOLE 121487 0 0 ESCROW MCLEOD USA COM 582266995 0 11425 SH SOLE 11425 0 0 MOODY'S CORPORATION COM 615369105 2272 37521 SH SOLE 37521 0 0 MICRON TECHNOLOGY -WT08 COM 595112111 2940 175000 SH SOLE 175000 0 0 MEREDITH CORP COM 589433101 618 12652 SH SOLE 12652 0 0 MEDTRONIC INCORPORATED COM 585055106 16904 347748 SH SOLE 347748 0 0 MEDTRONIC INC Treasury 585055AB2 12745175 124494992 SH SOLE 124494992 0 0 MEDIMMUNE INC COM 584699102 667 26263 SH SOLE 26263 0 0 MELLON FINANCIAL CORP COM 58551A108 3484 108492 SH SOLE 108492 0 0 MERRILL LYNCH & CO INC COM 590188108 14994 255649 SH SOLE 255649 0 0 MERRILL LYNCH & CO Treasury 590188A73 15469500 150000000 SH SOLE 150000000 0 0 MERRILL LYNCH Treasury 590188A65 10324125 189000000 SH SOLE 189000000 0 0 METLIFE INC COM 59156R108 7734 229692 SH SOLE 229692 0 0 MCGRAW HILL INC COM 580645109 3672 52514 SH SOLE 52514 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 2689 79105 SH SOLE 79105 0 0 MARSHALL & ISLEY CORPORATION COM 571834100 2184 57102 SH SOLE 57102 0 0 MILLIPORE CORPORATION COM 601073109 639 14838 SH SOLE 14838 0 0 MCCORMICK & COMPANY INC COM 579780206 1054 35005 SH SOLE 35005 0 0 MILLENNIUM PHARMACTCUAL COM 599902103 1399 75000 SH SOLE 75000 0 0 MARSH & MCLENNAN COMPANIES IN COM 571748102 6403 133712 SH SOLE 133712 0 0 MID ATLANTIC MEDICAL SVCS INC COM 59523C107 34997 540080 SH SOLE 540080 0 0 3M CO COM 88579Y101 17052 200538 SH SOLE 200538 0 0 MONSTER WORLDWIDE INC COM 611742107 625 28459 SH SOLE 28459 0 0 MENTOR CORP (144-A) CONV Treasury 587188AB9 26750 250000 SH SOLE 250000 0 0 Mony Group Inc COM 615337102 3113 99500 SH SOLE 99500 0 0 ALTRIA GROUP INC COM 02209S103 76864 1412420 SH SOLE 1412420 0 0 MOLEX INC COM 608554101 913 26160 SH SOLE 26160 0 0 MONSANTO CO COM 61166W101 2060 71569 SH SOLE 71569 0 0 MOTOROLA INCORPORATED COM 620076109 10336 738274 SH SOLE 738274 0 0 MERCK & CO. INC COM 589331107 66498 1439355 SH SOLE 1439355 0 0 MARATHON OIL CORP COM 565849106 2589 78236 SH SOLE 78236 0 0 MICROSOFT CORP COM 594918104 307677 11241402 SH SOLE 11241402 0 0 METASOLV INC COM 59139P104 97 40100 SH SOLE 40100 0 0 MGIC INVESTMENT CORP WIS COM 552848103 1414 24827 SH SOLE 24827 0 0 MICRON TECHNOLOGY INC COM 595112103 2077 154177 SH SOLE 154177 0 0 MORGAN STANLEY COM 617446448 26914 465075 SH SOLE 465075 0 0 MeadWestvaco Corp COM 583334107 1505 50577 SH SOLE 50577 0 0 MAXIM INTEGRATED PRODS INC COM 57772K101 1314 26500 SH SOLE 26500 0 0 MAYTAG COMPANY COM 578592107 552 19808 SH SOLE 19808 0 0 NAVISTAR INTL CORP (NEW) COM 63934E108 830 17323 SH SOLE 17323 0 0 NABOR INDUSTRIES INC COM G6359F103 1534 36964 SH SOLE 36964 0 0 NATIONAL CITY CORP COM 635405103 5203 153299 SH SOLE 153299 0 0 NCR CORP COM 62886E108 926 23857 SH SOLE 23857 0 0 NOBLE CORP COM G65422100 1207 33739 SH SOLE 33739 0 0 NEWMONT MINING CORP COM 651639106 11068 227687 SH SOLE 227687 0 0 NORTH FORK BANCORPORATION COM 659424105 1548 38247 SH SOLE 38247 0 0 Newhall Land & Farming Co COM 651426108 19746 489012 SH SOLE 489012 0 0 NISOURCE INC COM 65473P105 6546 298347 SH SOLE 298347 0 0 NIKE INCORPORATED CLASS B COM 654106103 12350 180400 SH SOLE 180400 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page9 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- NORTHROP GRUMMAN CORP COM 666807102 5074 53076 SH SOLE 53076 0 0 NOKIA CORP SPON ADR COM 654902204 8603 506069 SH SOLE 506069 0 0 NOVELL INC COM 670006105 992 94168 SH SOLE 94168 0 0 NORFOLK SOUTHERN CORPORATION COM 655844108 2328 98452 SH SOLE 98452 0 0 NATIONAL SEMICONDUCTOR COM 637640103 1863 47268 SH SOLE 47268 0 0 NORTEL NETWORKS CORP COM 656568102 1529 361414 SH SOLE 361414 0 0 NETWORK APPLIANCE INC COM 64120L104 902 44112 SH SOLE 44112 0 0 NORTHERN TRUST COMPANY COM 665859104 2572 55565 SH SOLE 55565 0 0 NUCOR CORP COM 670346105 1106 19743 SH SOLE 19743 0 0 NORTHWEST AIRLINES CORP (CONV) Treasury 667280AC5 957350 8200000 SH SOLE 8200000 0 0 NORTHWEST AIRLINES CORP (CONV) Treasury 667280AD3 284250 2999999 SH SOLE 2999999 0 0 NEWELL RUBBERMAID INC COM 651229106 1983 87095 SH SOLE 87095 0 0 NEXTEL COMMUNICATIONS INC CL COM 65332V103 29277 1043386 SH SOLE 1043386 0 0 NEW YORK TIMES CO CLASS A COM 650111107 1848 38660 SH SOLE 38660 0 0 OMNICARE INCORPORATED COM 681904108 909 22499 SH SOLE 22499 0 0 OFFICE DEPOT INC COM 676220106 1704 101961 SH SOLE 101961 0 0 OMNICOM GROUP COM 681919106 6557 75086 SH SOLE 75086 0 0 OMNICOM GROUP 144-A (CONV) Treasury 681919AN6 2388188 23500002 SH SOLE 23500002 0 0 BANK ONE CORP COM 06423A103 14509 318259 SH SOLE 318259 0 0 ORACLE SYSTEMS CORP COM 68389X105 40648 3072420 SH SOLE 3072420 0 0 OCCIDENTAL PETROLEUM CORP DEL COM 674599105 4102 97119 SH SOLE 97119 0 0 PAYCHEX INC COM 704326107 602 16173 SH SOLE 16173 0 0 PEPSI BOTTLING GROUP INC COM 713409100 1602 66260 SH SOLE 66260 0 0 PITNEY BOWES INC COM 724479100 2393 58904 SH SOLE 58904 0 0 PETROLEO BRASILEIRO S.A. ADR COM 71654V408 1043 35676 SH SOLE 35676 0 0 Pacific Crest Capital Inc COM 694166109 2851 110293 SH SOLE 110293 0 0 PG+E CORP COM 69331C108 2904 104587 SH SOLE 104587 0 0 PLUM CREEK TIMBER CO INC COM 729251108 1405 46145 SH SOLE 46145 0 0 SPRINT CORP PCS GROUP COM 852061506 1964 349521 SH SOLE 349521 0 0 PHELPS DODGE CORPORATION COM 717265102 1714 22531 SH SOLE 22531 0 0 PROTEIN DESIGN LABS INC COM 74369L103 322 18000 SH SOLE 18000 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 2597 59302 SH SOLE 59302 0 0 PEPSICO INCORPORATED COM 713448108 53429 1146043 SH SOLE 1146043 0 0 PFIZER INCORPORATED COM 717081103 105198 2977570 SH SOLE 2977570 0 0 PRINCIPAL FINANCIAL GROUP COM 74251V102 2693 81439 SH SOLE 81439 0 0 PROCTER & GAMBLE COMPANY COM 742718109 137071 1372085 SH SOLE 1372085 0 0 PEOPLES ENERGY CORPORATION COM 711030106 709 16867 SH SOLE 16867 0 0 PROGRESS ENERGY INC COM 743263105 5115 113012 SH SOLE 113012 0 0 PROGRESSIVE CORP (OHIO) COM 743315103 4553 54471 SH SOLE 54471 0 0 PARKER HANNIFIN CORP COM 701094104 2374 39902 SH SOLE 39902 0 0 PHILIPS ELECTRONICS - NY SHS COM 500472303 1821 62585 SH SOLE 62585 0 0 PULTE HOMES INC COM 745867101 1465 15645 SH SOLE 15645 0 0 PERKINELMER INC COM 714046109 546 31987 SH SOLE 31987 0 0 POSCO ADR COM 693483109 316 9300 SH SOLE 9300 0 0 PROLOGIS COM 743410102 1456 45373 SH SOLE 45373 0 0 PALL CORPORATION COM 696429307 846 31517 SH SOLE 31517 0 0 PMC-SIERRA INC COM 69344F106 876 43567 SH SOLE 43567 0 0 PARAMETRIC TECHNOLOGY CORP COM 699173100 265 67145 SH SOLE 67145 0 0 PNC BANK CORP COM 693475105 3827 69917 SH SOLE 69917 0 0 PINNACLE WEST CAPITAL CORP COM 723484101 921 23017 SH SOLE 23017 0 0 P P G INDUSTRIES INC COM 693506107 2743 42850 SH SOLE 42850 0 0 PPL CORP COM 69351T106 1956 44719 SH SOLE 44719 0 0 PRUDENTIAL FINANCIAL INC COM 744320102 5693 136300 SH SOLE 136300 0 0 PHARMACEUTICAL RESOURCES CONV Treasury 717125AA6 440000 4000000 SH SOLE 4000000 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page10 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- PEOPLESOFT INC COM 712713106 242 10600 SH SOLE 10600 0 0 PACTIV CORP COM 695257105 948 39651 SH SOLE 39651 0 0 PROVIDIAN FINANCIAL CORP COM 74406A102 852 73188 SH SOLE 73188 0 0 POWER ONE INC COM 739308104 227 20996 SH SOLE 20996 0 0 PRAXAIR INC COM 74005P104 3132 82002 SH SOLE 82002 0 0 QWEST COMMUNICATIONS INTL COM 749121109 2300 532307 SH SOLE 532307 0 0 QUALCOMM INC COM 747525103 5537 102668 SH SOLE 102668 0 0 NASDAQ 100 COM 631100104 18014 494080 SH SOLE 494080 0 0 RYDER SYSTEM INC COM 783549108 552 16175 SH SOLE 16175 0 0 REEBOK INTL LTD COM 758110100 898 22849 SH SOLE 22849 0 0 Resource Bankshares Corp /VA COM 76121R104 997 31608 SH SOLE 31608 0 0 ROYAL DUTCH PETRO - NY SHARES COM 780257804 6344 121091 SH SOLE 121091 0 0 ROWAN COMPANIES INC COM 779382100 1129 48721 SH SOLE 48721 0 0 REPSOL YPF, S.A. COM 76026T205 281 14376 SH SOLE 14376 0 0 REGIONS FINANCIAL CORP COM 758940100 2084 56023 SH SOLE 56023 0 0 ROBERT HALF INTL INC COM 770323103 1008 43175 SH SOLE 43175 0 0 RIGHT MANAGEMENT CONSULTANTS COM 766573109 560 30000 SH SOLE 30000 0 0 TRANSOCEAN INC COM G90078109 1937 80665 SH SOLE 80665 0 0 RJ REYNOLDS TOBACCO HOLDINGS COM 76182K105 1241 21342 SH SOLE 21342 0 0 COORS (ADOLPH)COMPANY CL B COM 217016104 1587 28291 SH SOLE 28291 0 0 ROHM & HAAS COMPANY COM 775371107 2398 56148 SH SOLE 56148 0 0 ROCKWELL AUTOMATION INC COM 773903109 1674 47010 SH SOLE 47010 0 0 ROCHE HOLDINGS INC 144-A (CONV Treasury 771196AG7 569625 7000000 SH SOLE 7000000 0 0 RADIOSHACK CORP COM 750438103 1270 41381 SH SOLE 41381 0 0 RAYTHEON COMPANY COM 755111507 3155 105015 SH SOLE 105015 0 0 RIO TINTO PLC - SPON ADR COM 767204100 1565 14064 SH SOLE 14064 0 0 IMS HEALTH CO COM 449934108 1553 62486 SH SOLE 62486 0 0 SEARS & ROEBUCK COMPANY COM 812387108 3348 73607 SH SOLE 73607 0 0 SAFECO CORPORATION COM 786429100 1360 34942 SH SOLE 34942 0 0 SBC COMMUNICATIONS INC COM 78387G103 115708 4438376 SH SOLE 4438376 0 0 SYMBOL TECHNOLOGIES INC COM 871508107 982 58138 SH SOLE 58138 0 0 Connecticut Bancshares Inc/de COM 207540105 13048 253160 SH SOLE 253160 0 0 STARBUCKS CORPORATION COM 855244109 225 6800 SH SOLE 6800 0 0 CHARLES SCHWAB CORP NEW COM 808513105 8401 709506 SH SOLE 709506 0 0 SICOR INC COM 825846108 31493 1157820 SH SOLE 1157820 0 0 Systems & Computer Technology COM 871873105 11661 712349 SH SOLE 712349 0 0 SUNGARD DATA SYSTEMS INC COM 867363103 2082 75148 SH SOLE 75148 0 0 SIEBEL SYSTEMS INC COM 826170102 1491 107145 SH SOLE 107145 0 0 SEALED AIR CORP COM 81211K100 1160 21427 SH SOLE 21427 0 0 SCIENTIFIC-ATLANTA INC COM 808655104 1045 38292 SH SOLE 38292 0 0 Southern Financial Bancorp Inc COM 842870107 3116 72350 SH SOLE 72350 0 0 SCHERING-PLOUGH CORP COM 806605101 20075 1154382 SH SOLE 1154382 0 0 SUN FINANCING I Treasury 866749203 0 100000 SH SOLE 100000 0 0 Sherwin-Williams Co/The COM 824348106 1277 36762 SH SOLE 36762 0 0 STATEN ISLAND BANCORP INC COM 857550107 5451 242248 SH SOLE 242248 0 0 ESCROW SUBURBAN LODGES OF AMER COM 864444997 0 11325 SH SOLE 11325 0 0 SCHLUMBERGER LIMITED COM 806857108 9310 170131 SH SOLE 170131 0 0 SARA LEE CORP COM 803111103 4327 199290 SH SOLE 199290 0 0 SLM CORP COM 78442P106 173843 4613680 SH SOLE 4613680 0 0 SOLECTRON CORP COM 834182107 2027 342916 SH SOLE 342916 0 0 SNAP-ON INC HLDG CO COM 833034101 474 14693 SH SOLE 14693 0 0 SONY CORPORATION ADR COM 835699307 394 11368 SH SOLE 11368 0 0 SMITH AND NEPHEW PLC SPON ADR COM 83175M205 2021 48208 SH SOLE 48208 0 0 SYNOVUS FINANCIAL CORP COM 87161C105 2201 76097 SH SOLE 76097 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page11 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- SOUTHERN COMPANY COM 842587107 22483 743252 SH SOLE 743252 0 0 SOUTHTRUST CORP COM 844730101 2739 83673 SH SOLE 83673 0 0 ST PAUL COMPANIES INC COM 792860108 2281 57536 SH SOLE 57536 0 0 Simon Property Group Inc COM 828806109 2236 48243 SH SOLE 48243 0 0 STAPLES INC COM 855030102 1398 51204 SH SOLE 51204 0 0 S&P 500 DEPOSITARY RECEIPT COM 78462F103 112181 1008100 SH SOLE 1008100 0 0 SERONO SA ADR COM 81752M101 1217 69334 SH SOLE 69334 0 0 SEMPRA ENERGY COM 816851109 1715 57052 SH SOLE 57052 0 0 SIERRA PACIFIC RESOURCES (CONV Treasury 826428AF1 377500 2000000 SH SOLE 2000000 0 0 SUNTRUST BANKS INC COM 867914103 5448 76195 SH SOLE 76195 0 0 ST JUDE MEDICAL INCORPORATED COM 790849103 2669 43507 SH SOLE 43507 0 0 ST MICROELECTRONICS NV - COM 861012102 657 24322 SH SOLE 24322 0 0 STATE STREET CORP. COM 857477103 4389 84277 SH SOLE 84277 0 0 SUNOCO INC COM 86764P109 996 19477 SH SOLE 19477 0 0 SUN MICROSYSTEMS INC COM 866810104 27028 6046602 SH SOLE 6046602 0 0 SUPERVALU INC COM 868536103 967 33818 SH SOLE 33818 0 0 STANLEY WORKS INCORPORATED COM 854616109 46779 1235261 SH SOLE 1235261 0 0 SAFEWAY INC COM 786514208 2593 118335 SH SOLE 118335 0 0 STRYKER CORP COM 863667101 4276 50304 SH SOLE 50304 0 0 SYMANTEC CORP COM 871503108 220 6364 SH SOLE 6364 0 0 SYSCO CORPORATION COM 871829107 6076 163190 SH SOLE 163190 0 0 AT&T CORP COM 001957505 43201 2128132 SH SOLE 2128132 0 0 TRAVELERS PROPERTY CASUALTY COM 89420G109 282 16791 SH SOLE 16791 0 0 TRAVELERS PROPERTY CASUALTY COM 89420G406 5173 304845 SH SOLE 304845 0 0 TASER INTERNATIONAL INC COM 87651B104 305 3700 SH SOLE 3700 0 0 TECO ENERGY INC COM 872375100 1220 84652 SH SOLE 84652 0 0 TEKTRONIX INCORPORATED COM 879131100 674 21322 SH SOLE 21322 0 0 TERADYNE INCORPORATED COM 880770102 1482 58250 SH SOLE 58250 0 0 TARGET CORP COM 87612E106 10047 261643 SH SOLE 261643 0 0 TENET HEALTHCARE GROUP COM 88033G100 1881 117207 SH SOLE 117207 0 0 TIFFANY & CO NEW COM 886547108 1807 39980 SH SOLE 39980 0 0 TEMPLE INLAND INC COM 879868107 1547 24686 SH SOLE 24686 0 0 TJX COS INC NEW COM 872540109 2798 126914 SH SOLE 126914 0 0 TELLABS INCORPORATED COM 879664100 3318 394560 SH SOLE 394560 0 0 TORCHMARK CORPORATION COM 891027104 1300 28539 SH SOLE 28539 0 0 THERMO ELECTRON CORPORATION COM 883556102 1035 41057 SH SOLE 41057 0 0 THOMSON S.A. COM 885118109 518 24300 SH SOLE 24300 0 0 TRANSMETA CORP COM 89376R109 46 13468 SH SOLE 13468 0 0 Thomas & Betts Corp COM 884315102 337 14744 SH SOLE 14744 0 0 TELE NORTE LESTE PART - ADR COM 879246106 602 39000 SH SOLE 39000 0 0 TOTAL S.A. COM 89151E109 434 4689 SH SOLE 4689 0 0 TOYS R US INC COM 892335100 680 53836 SH SOLE 53836 0 0 TRIBUNE COMPANY NEW COM 896047107 4693 90941 SH SOLE 90941 0 0 T ROWE PRICE GROUP INC COM 74144T108 1489 31401 SH SOLE 31401 0 0 TRIARC CONV Treasury 895927AD3 530625 5000000 SH SOLE 5000000 0 0 TRIARC CONTRA COM 897CSH995 3638 103118 SH SOLE 103118 0 0 SABRE GROUP HOLDINGS ICN COM 785905100 781 36179 SH SOLE 36179 0 0 TAIWAN SEMICONDUCTOR - SP ADR COM 874039100 1542 150610 SH SOLE 150610 0 0 TITAN CORP COM 888266103 26767 1227260 SH SOLE 1227260 0 0 TUPPERWARE CORP. COM 899896104 255 14734 SH SOLE 14734 0 0 TIME WARNER INC COM 887317105 28112 1562672 SH SOLE 1562672 0 0 TRANSWITCH CORP. COM 894065101 57 25000 SH SOLE 25000 0 0 TEXAS INSTRUMENTS INCORPORATE COM 882508104 18853 641678 SH SOLE 641678 0 0 TEXTRON INCORPORATED COM 883203101 1957 34300 SH SOLE 34300 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page12 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- TXU CORPORATION COM 873168108 6907 291175 SH SOLE 291175 0 0 TYCO INTERNATIONAL LTD COM 902124106 19041 718510 SH SOLE 718510 0 0 UBS AG COM H8920M855 1488 21881 SH SOLE 21881 0 0 UNOCAL CORPORATION COM 915289102 2405 65301 SH SOLE 65301 0 0 UNISYS CORP COM 909214108 1237 83322 SH SOLE 83322 0 0 UNILEVER PLC AMERICAN SHARES COM 904767704 290 7700 SH SOLE 7700 0 0 UNITED MICROELECTONICS ADR COM 910873207 90 18100 SH SOLE 18100 0 0 UNITEDHEALTH GROUP INC COM 91324P102 8827 150454 SH SOLE 150454 0 0 UNUM CORP COM 91529Y106 1177 74659 SH SOLE 74659 0 0 UNION PACIFIC CORP COM 907818108 4471 64351 SH SOLE 64351 0 0 Unisource Energy Corp COM 909205106 6927 280900 SH SOLE 280900 0 0 UNION PLANTERS CORP OF MEMPHI COM 908068109 1497 47548 SH SOLE 47548 0 0 UNITED PARCEL SERVICE CL-B COM 911312106 21135 283503 SH SOLE 283503 0 0 U.S. BANCORP COM 902973304 16874 566614 SH SOLE 566614 0 0 U S T INC FORMERLY COM 902911106 2563 71822 SH SOLE 71822 0 0 UNITED TECHNOLOGIES CORP COM 913017109 18740 197742 SH SOLE 197742 0 0 UNIVISION COMMUNCIATIONS INC COM 914906102 3228 81326 SH SOLE 81326 0 0 VIVENDI UNIVERSAL SP ADR COM 92851S204 781 32185 SH SOLE 32185 0 0 VISTEON CORP COM 92839U107 351 33675 SH SOLE 33675 0 0 V F CORPORATION COM 918204108 1178 27251 SH SOLE 27251 0 0 VIACOM INC NON VOTING COM 925524308 23722 534521 SH SOLE 534521 0 0 VULCAN MATERIALS COMPANY COM 929160109 1220 25649 SH SOLE 25649 0 0 VODAFONE GROUP PLC SP ADR COM 92857W100 1172 46797 SH SOLE 46797 0 0 VERISIGN INC COM 92343E102 652 40000 SH SOLE 40000 0 0 VERITAS SOFTWARE CORP COM 923436109 2280 61581 SH SOLE 61581 0 0 VERITAS SOFTWARE CORP 144-A Treasury 923436AC3 272500 2500000 SH SOLE 2500000 0 0 VERIZON COMMUNICATIONS COM 92343V104 88161 2513130 SH SOLE 2513130 0 0 VERIZON GLOBAL Treasury 92344GAN6 26625375 441000000 SH SOLE 441000000 0 0 WALGREEN COMPANY COM 931422109 9789 269069 SH SOLE 269069 0 0 WATERS CORP. COM 941848103 1015 30616 SH SOLE 30616 0 0 WACHOVIA CORP COM 929903102 19093 409811 SH SOLE 409811 0 0 WEBVAN GROUP INC COM 94845V103 0 62900 SH SOLE 62900 0 0 WORLDCOM INC./WORLDCOM GROUP COM 98157D106 10 774314 SH SOLE 774314 0 0 WENDYS INTERNATIONAL INC COM 950590109 2265 57732 SH SOLE 57732 0 0 WELLS FARGO COMPANY COM 949746101 49920 847679 SH SOLE 847679 0 0 WHIRLPOOL CORPORATION COM 963320106 1276 17566 SH SOLE 17566 0 0 WINN-DIXIE STORES INC COM 974280109 355 35712 SH SOLE 35712 0 0 WELLPOINT HEALTH NETWORKS COM 94973H108 3716 38316 SH SOLE 38316 0 0 WASHINGTON MUTUAL INC COM 939322103 14378 358374 SH SOLE 358374 0 0 WILLIAMS COMPANIES COM 969457100 1381 140674 SH SOLE 140674 0 0 WASTE MANAGEMENT INC COM 94106L109 4599 155383 SH SOLE 155383 0 0 WAL-MART STORES INC COM 931142103 129942 2449420 SH SOLE 2449420 0 0 WORTHINGTON INDUSTRIES INC COM 981811102 391 21712 SH SOLE 21712 0 0 WATSON PHARMACEUTICALS INC COM 942683103 1252 27223 SH SOLE 27223 0 0 WASHINGTON POST CO COM 939640108 237 300 SH SOLE 300 0 0 WPP GROUP PLC SPON ADR COM 929309300 2636 53478 SH SOLE 53478 0 0 WILTEL COMM CONTINGENT VALUE COM 972CSR991 0 886694 SH SOLE 886694 0 0 WRIGLEY WM JR COMPANY COM 982526105 3186 56679 SH SOLE 56679 0 0 WEYERHAEUSER COMPANY COM 962166104 3548 55431 SH SOLE 55431 0 0 WYETH COM 983024100 22595 532270 SH SOLE 532270 0 0 UNITED STATES STEEL CORP COM 912909108 912 26043 SH SOLE 26043 0 0 Equity Securities Trust I COM 29477R103 8612 344900 SH SOLE 344900 0 0 XCEL ENERGY INC COM 98389B100 1708 100570 SH SOLE 100570 0 0 XCEL ENERGY INC (CONV) Treasury 98389BAB6 465375 2999999 SH SOLE 2999999 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page13 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- XL CAPITAL LTD COM G98255105 2801 36117 SH SOLE 36117 0 0 XILINX INC COM 983919101 1584 41000 SH SOLE 41000 0 0 EXXON MOBIL CORP COM 30231G102 127276 3104290 SH SOLE 3104290 0 0 XEROX CORPORATION COM 984121103 3370 244188 SH SOLE 244188 0 0 XCEL ENERGY INC (CONV) COM 98411F202 13956 175000 SH SOLE 175000 0 0 XEROX CORP 6.25% CONV PFD COM 984121509 5190 40000 SH SOLE 40000 0 0 YELLOW CORP 144-A (CONV) Treasury 985509AM0 131875 1000000 SH SOLE 1000000 0 0 YAHOO INC. COM 984332106 8125 180444 SH SOLE 180444 0 0 YUM BRANDS INC COM 988498101 2552 74175 SH SOLE 74175 0 0 ZIONS BANCORP FORMERLY ZIONS COM 989701107 1390 22659 SH SOLE 22659 0 0 ZIMMER HOLDINGS INC COM 98956P102 4487 63735 SH SOLE 63735 0 0 ADOBE SYSTEMS INC COM 00724F101 10 2000 SH CALL SOLE 2000 0 0 ALLTEL CORPORATION COM 020039103 0 65 SH CALL SOLE 65 0 0 BIOGEN IDEC INC COM 09062X103 1 171 SH CALL SOLE 171 0 0 CLEAR CHANNEL COMMUNICATIONS COM 184502102 2 390 SH CALL SOLE 390 0 0 FEDERAL HOME LOAN MTG CORP COM 313400301 1 230 SH PUT SOLE 230 0 0 ARIBA INC COM 04033V104 0 300 SH CALL SOLE 300 0 0 MEDTRONIC INCORPORATED COM 585055106 5 943 SH PUT SOLE 943 0 0 MORGAN STANLEY COM 617446448 3 600 SH PUT SOLE 600 0 0 OXFORD HEALTH PLANS INC COM 691471106 0 200 SH PUT SOLE 200 0 0 COSTCO WHOLESALE CORP COM 22160K105 1 250 SH CALL SOLE 250 0 0 APPLIED MATERIALS INC COM 038222105 15 3000 SH PUT SOLE 3000 0 0 BELLSOUTH CORP COM 079860102 1 100 SH PUT SOLE 100 0 0 E M C CORP MASS COM 268648102 8 1500 SH CALL SOLE 1500 0 0 SIEBEL SYSTEMS INC COM 826170102 3 500 SH CALL SOLE 500 0 0 UNITED PARCEL SERVICE CL-B COM 911312106 5 1031 SH PUT SOLE 1031 0 0 VERITAS SOFTWARE CORP COM 923436109 3 500 SH CALL SOLE 500 0 0 CHEVRONTEXACO CORP COM 166764100 8 1050 SH PUT SOLE 1050 0 0 UNIVISION COMMUNCIATIONS INC COM 914906102 1 140 SH PUT SOLE 140 0 0 LOCKHEED MARTIN CORP COM 539830109 15 1000 SH PUT SOLE 1000 0 0 ELI LILLY & COMPANY COM 532457108 11 544 SH PUT SOLE 544 0 0 KIMBERLY-CLARK CORPORATION COM 494368103 2 100 SH PUT SOLE 100 0 0 PETROLEO BRASILEIRO S.A. ADR COM 71654V408 10 342 SH PUT SOLE 342 0 0 YUM BRANDS INC COM 988498101 30 1000 SH CALL SOLE 1000 0 0 NORTEL NETWORKS CORP COM 656568102 82 4500 SH CALL SOLE 4500 0 0 CONAGRA FOODS INC COM 205887102 5 130 SH PUT SOLE 130 0 0 GENERAL MTRS CORP COM 370442105 38 1086 SH PUT SOLE 1086 0 0 XEROX CORPORATION COM 984121103 28 5500 SH PUT SOLE 5500 0 0 APPLE COMPUTER INC COM 037833100 12 1100 SH PUT SOLE 1100 0 0 HONEYWELL INTERNATIONAL INC COM 438516106 22 1208 SH PUT SOLE 1208 0 0 ROYAL DUTCH PETRO - NY SHARES COM 780257804 7 450 SH PUT SOLE 450 0 0 STANDARD PACIFIC CORP COM 85375C101 0 1000 SH PUT SOLE 1000 0 0 AUTOMATIC DATA PROCESSING INC COM 053015103 7 284 SH CALL SOLE 284 0 0 NIKE INCORPORATED CLASS B COM 654106103 1 44 SH PUT SOLE 44 0 0 EMERSON ELECTRIC CO COM 291011104 5 260 SH PUT SOLE 260 0 0 NEWMONT MINING CORP COM 651639106 40 2000 SH PUT SOLE 2000 0 0 INFINEON TECHNOLOGIES ADR COM 45662N103 120 2000 SH CALL SOLE 2000 0 0 FANNIE MAE COM 313586109 16 200 SH PUT SOLE 200 0 0 TARGET CORP COM 87612E106 43 500 SH CALL SOLE 500 0 0 AMERICAN EXPRESS CO COM 025816109 76 1637 SH PUT SOLE 1637 0 0 COMCAST CORP CLASS A (NEW) COM 20030N101 99 3885 SH CALL SOLE 3885 0 0 PEPSICO INCORPORATED COM 713448108 100 1000 SH PUT SOLE 1000 0 0 PEPSICO INCORPORATED COM 713448108 217 4350 SH CALL SOLE 4350 0 0 FLEXTRONICS INTL LTD COM Y2573F102 435 3000 SH PUT SOLE 3000 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page14 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- NOKIA CORP SPON ADR COM 654902204 168 1405 SH PUT SOLE 1405 0 0 CONAGRA FOODS INC COM 205887102 21 130 SH CALL SOLE 130 0 0 WELLPOINT HEALTH NETWORKS COM 94973H108 10 56 SH PUT SOLE 56 0 0 YAHOO INC. COM 984332106 597 3510 SH CALL SOLE 3510 0 0 DELL COMPUTER CORP COM 247025109 0 5652 SH CALL SOLE 5652 0 0 BANK ONE CORP COM 06423A103 33 1050 SH PUT SOLE 1050 0 0 UNITED TECHNOLOGIES CORP COM 913017109 104 2401 SH PUT SOLE 2401 0 0 EBAY INC COM 278642103 222 4400 SH PUT SOLE 4400 0 0 HOME DEPOT INCORPORATED COM 437076102 125 3909 SH PUT SOLE 3909 0 0 DISNEY WALT CO COM 254687106 206 5682 SH PUT SOLE 5682 0 0 ABBOTT LABORATORIES COM 002824100 19 1600 SH CALL SOLE 1600 0 0 COMPUTER ASSOCIATES INTL INC COM 204912109 220 1000 SH PUT SOLE 1000 0 0 MERRILL LYNCH & CO INC COM 590188108 57 250 SH CALL SOLE 250 0 0 VIACOM INC NON VOTING COM 925524308 293 3000 SH PUT SOLE 3000 0 0 COCA COLA CO COM 191216100 144 4369 SH PUT SOLE 4369 0 0 NIKE INCORPORATED CLASS B COM 654106103 22 88 SH CALL SOLE 88 0 0 MOTOROLA INCORPORATED COM 620076109 663 12290 SH CALL SOLE 12290 0 0 MCDONALDS CORPORATION COM 580135101 721 5011 SH CALL SOLE 5011 0 0 ELECTRONIC DATA SYSTEMS CORP. COM 285661104 40 1368 SH CALL SOLE 1368 0 0 COMCAST CORP CLASS A (NEW) COM 20030N101 443 1500 SH PUT SOLE 1500 0 0 ALLSTATE CORP COM 020002101 160 500 SH CALL SOLE 500 0 0 BANK ONE CORP COM 06423A103 520 2650 SH CALL SOLE 2650 0 0 JPMORGAN CHASE & CO COM 46625H100 707 5472 SH PUT SOLE 5472 0 0 BANK NEW YORK INC COM 064057102 632 2894 SH CALL SOLE 2894 0 0 PHILIP MORRIS COS INC COM 718154107 0 3000 SH PUT SOLE 3000 0 0 FORD MOTOR COMPANY COM 345370860 929 3600 SH CALL SOLE 3600 0 0 SEARS & ROEBUCK COMPANY COM 812387108 399 950 SH CALL SOLE 950 0 0 CENTEX CORPORATION COM 152312104 46 100 SH PUT SOLE 100 0 0 PROCTER & GAMBLE COMPANY COM 742718109 80 1172 SH PUT SOLE 1172 0 0 SCHLUMBERGER LIMITED COM 806857108 750 1500 SH CALL SOLE 1500 0 0 MICRON TECHNOLOGY INC COM 595112103 8356 56723 SH CALL SOLE 56723 0 0 ADVANCE PCS COM 00790K109 684 1200 SH CALL SOLE 1200 0 0 QUALCOMM INC COM 747525103 291 2640 SH PUT SOLE 2640 0 0 NEWMONT MINING CORP COM 651639106 660 1000 SH CALL SOLE 1000 0 0 WELLPOINT HEALTH NETWORKS COM 94973H108 48 56 SH CALL SOLE 56 0 0 RJ REYNOLDS TOBACCO HOLDINGS COM 76182K105 192 413 SH CALL SOLE 413 0 0 MICRON TECHNOLOGY INC COM 595112103 2975 2500 SH PUT SOLE 2500 0 0 CENTEX CORPORATION COM 152312104 125 100 SH CALL SOLE 100 0 0 BROADCOM CORP COM 111320107 1402 1300 SH CALL SOLE 1300 0 0 AMAZON COMM INC COM 023135106 3581 1350 SH CALL SOLE 1350 0 0 3M CO COM 88579Y101 46 1176 SH PUT SOLE 1176 0 0 MOTOROLA INCORPORATED COM 620076109 247 4952 SH PUT SOLE 4952 0 0 ALCOA INC COM 013817101 34 2374 SH PUT SOLE 2374 0 0 COLGATE PALMOLIVE CO COM 194162103 75 1000 SH CALL SOLE 1000 0 0 LEHMAN BROTHERS HLDGS INC COM 524908100 21 1582 SH CALL SOLE 1582 0 0 U.S. BANCORP COM 902973304 107 1422 SH PUT SOLE 1422 0 0 ELECTRONIC DATA SYSTEMS CORP. COM 285661104 14 177 SH PUT SOLE 177 0 0 CISCO SYS INC COM 17275R102 247 15185 SH PUT SOLE 15185 0 0 ORACLE SYSTEMS CORP COM 68389X105 307 2450 SH PUT SOLE 2450 0 0 WELLS FARGO COMPANY COM 949746101 224 2550 SH PUT SOLE 2550 0 0 BAXTER INTERNATIONAL INC COM 071813109 220 2100 SH PUT SOLE 2100 0 0 BOEING CO COM 097023105 104 2932 SH PUT SOLE 2932 0 0 SBC COMMUNICATIONS INC COM 78387G103 221 4409 SH PUT SOLE 4409 0 0 GENERAL DYNAMICS CORPORATION COM 369550108 206 520 SH PUT SOLE 520 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page15 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- EXXON MOBIL CORP COM 30231G102 859 7030 SH PUT SOLE 7030 0 0 BRISTOL MYERS SQUIBB CO. COM 110122108 128 1200 SH PUT SOLE 1200 0 0 AUTOMATIC DATA PROCESSING INC COM 053015103 18 142 SH PUT SOLE 142 0 0 AT&T CORP COM 001957505 175 4164 SH CALL SOLE 4164 0 0 U.S. BANCORP COM 902973304 520 2638 SH CALL SOLE 2638 0 0 TEXAS INSTRUMENTS INCORPORATE COM 882508104 240 2219 SH CALL SOLE 2219 0 0 DELL COMPUTER CORP COM 247025109 0 6250 SH PUT SOLE 6250 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 70 700 SH PUT SOLE 700 0 0 HONEYWELL INTERNATIONAL INC COM 438516106 1602 7152 SH CALL SOLE 7152 0 0 BANK NEW YORK INC COM 064057102 80 738 SH PUT SOLE 738 0 0 HEWLETT-PACKARD INCORPORATED COM 428236103 79 2835 SH PUT SOLE 2835 0 0 VIACOM INC NON VOTING COM 925524308 601 5100 SH CALL SOLE 5100 0 0 TIME WARNER INC COM 887317105 479 14109 SH PUT SOLE 14109 0 0 DOW CHEM CO COM 260543103 51 300 SH CALL SOLE 300 0 0 PFIZER INCORPORATED COM 717081103 518 9684 SH PUT SOLE 9684 0 0 WACHOVIA CORP COM 929903102 407 2040 SH CALL SOLE 2040 0 0 CHIRON CORPORATION COM 170040109 407 1744 SH CALL SOLE 1744 0 0 ORACLE SYSTEMS CORP COM 68389X105 372 7870 SH CALL SOLE 7870 0 0 AT&T CORP COM 001957505 386 3919 SH PUT SOLE 3919 0 0 VODAFONE GROUP PLC SP ADR COM 92857W100 562 2250 SH CALL SOLE 2250 0 0 TEXAS INSTRUMENTS INCORPORATE COM 882508104 597 2850 SH PUT SOLE 2850 0 0 VODAFONE GROUP PLC SP ADR COM 92857W100 191 750 SH PUT SOLE 750 0 0 DELL INC COM 24702R101 375 2720 SH PUT SOLE 2720 0 0 LOCKHEED MARTIN CORP COM 539830109 270 1001 SH CALL SOLE 1001 0 0 WALGREEN COMPANY COM 931422109 373 1793 SH PUT SOLE 1793 0 0 INTL BUSINESS MACHINES INC COM 459200101 764 3345 SH PUT SOLE 3345 0 0 CHIRON CORPORATION COM 170040109 261 1249 SH PUT SOLE 1249 0 0 HEWLETT-PACKARD INCORPORATED COM 428236103 219 2431 SH CALL SOLE 2431 0 0 GENERAL ELECTRIC COMPANY COM 369604103 1488 18217 SH CALL SOLE 18217 0 0 INTEL CORP COM 458140100 1976 11920 SH PUT SOLE 11920 0 0 MORGAN STANLEY COM 617446448 357 3652 SH CALL SOLE 3652 0 0 VERIZON COMMUNICATIONS COM 92343V104 1042 10617 SH CALL SOLE 10617 0 0 JPMORGAN CHASE & CO COM 46625H100 639 6453 SH CALL SOLE 6453 0 0 AMERICAN EXPRESS CO COM 025816109 393 3406 SH CALL SOLE 3406 0 0 BELLSOUTH CORP COM 079860102 76 4825 SH CALL SOLE 4825 0 0 INTERNATIONAL PAPER COMPANY COM 460146103 532 2685 SH PUT SOLE 2685 0 0 TIME WARNER INC COM 887317105 1359 14694 SH CALL SOLE 14694 0 0 CATERPILLAR INC COM 149123101 89 873 SH PUT SOLE 873 0 0 NOKIA CORP SPON ADR COM 654902204 350 5193 SH CALL SOLE 5193 0 0 JOHNSON & JOHNSON INCORPORATE COM 478160104 393 5024 SH PUT SOLE 5024 0 0 WACHOVIA CORP COM 929903102 283 1100 SH PUT SOLE 1100 0 0 JOHNSON & JOHNSON INCORPORATE COM 478160104 364 1459 SH CALL SOLE 1459 0 0 SBC COMMUNICATIONS INC COM 78387G103 1450 11606 SH CALL SOLE 11606 0 0 MERRILL LYNCH & CO INC COM 590188108 100 750 SH PUT SOLE 750 0 0 NASDAQ 100 COM 631100104 28903 92141 SH PUT SOLE 92141 0 0 GENENTECH INC COM 368710406 114 300 SH PUT SOLE 300 0 0 EASTMAN KODAK COMPANY COM 277461109 173 2131 SH CALL SOLE 2131 0 0 FANNIE MAE COM 313586109 226 2860 SH CALL SOLE 2860 0 0 APPLE COMPUTER INC COM 037833100 467 3077 SH CALL SOLE 3077 0 0 AMERICAN INTL GROUP INC COM 026874107 438 4631 SH PUT SOLE 4631 0 0 ALTRIA GROUP INC COM 02209S103 187 3318 SH PUT SOLE 3318 0 0 WAL-MART STORES INC COM 931142103 166 18762 SH CALL SOLE 18762 0 0 INTERACTIVE CORP COM 45840Q101 0 147 SH CALL SOLE 147 0 0 CISCO SYS INC COM 17275R102 4320 20943 SH CALL SOLE 20943 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page16 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- WALGREEN COMPANY COM 931422109 621 1732 SH CALL SOLE 1732 0 0 MICROSOFT CORP COM 594918104 4999 72602 SH CALL SOLE 72602 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 384 3399 SH PUT SOLE 3399 0 0 XEROX CORPORATION COM 984121103 4241 10240 SH CALL SOLE 10240 0 0 RJ REYNOLDS TOBACCO HOLDINGS COM 76182K105 197 2140 SH PUT SOLE 2140 0 0 MERCK & CO. INC COM 589331107 511 3381 SH PUT SOLE 3381 0 0 NORTHROP GRUMMAN CORP COM 666807102 138 325 SH CALL SOLE 325 0 0 NORTHROP GRUMMAN CORP COM 666807102 80 320 SH PUT SOLE 320 0 0 WELLS FARGO COMPANY COM 949746101 859 3580 SH CALL SOLE 3580 0 0 GENERAL DYNAMICS CORPORATION COM 369550108 393 780 SH CALL SOLE 780 0 0 UNIVISION COMMUNCIATIONS INC COM 914906102 435 1616 SH CALL SOLE 1616 0 0 BANK OF AMERICA CORP COM 060505104 421 2002 SH PUT SOLE 2002 0 0 MICROSOFT CORP COM 594918104 9089 53777 SH PUT SOLE 53777 0 0 AMERICAN INTL GROUP INC COM 026874107 1762 10049 SH CALL SOLE 10049 0 0 CBOE MINI-NDX INDEX COM 12492Y105 0 400 SH PUT SOLE 400 0 0 VERIZON COMMUNICATIONS COM 92343V104 1383 6071 SH PUT SOLE 6071 0 0 BANK OF AMERICA CORP COM 060505104 772 5132 SH CALL SOLE 5132 0 0 ELI LILLY & COMPANY COM 532457108 494 2344 SH CALL SOLE 2344 0 0 BRISTOL MYERS SQUIBB CO. COM 110122108 948 7154 SH CALL SOLE 7154 0 0 DISNEY WALT CO COM 254687106 524 8261 SH CALL SOLE 8261 0 0 AOL TIME WARNER COM 00184A105 0 17900 SH CALL SOLE 17900 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 807 3623 SH CALL SOLE 3623 0 0 MCDONALDS CORPORATION COM 580135101 820 4705 SH PUT SOLE 4705 0 0 MERCK & CO. INC COM 589331107 555 6604 SH CALL SOLE 6604 0 0 AOL TIME WARNER COM 00184A105 0 12000 SH PUT SOLE 12000 0 0 APPLIED MATERIALS INC COM 038222105 219 564 SH CALL SOLE 564 0 0 PFIZER INCORPORATED COM 717081103 1436 11971 SH CALL SOLE 11971 0 0 HOME DEPOT INCORPORATED COM 437076102 1674 4378 SH CALL SOLE 4378 0 0 UNITED TECHNOLOGIES CORP COM 913017109 2476 2178 SH CALL SOLE 2178 0 0 INTERNATIONAL PAPER COMPANY COM 460146103 445 2274 SH CALL SOLE 2274 0 0 AMGEN INC COM 031162100 482 1500 SH PUT SOLE 1500 0 0 ALCOA INC COM 013817101 2354 2844 SH CALL SOLE 2844 0 0 CITIGROUP INC COM 172967101 1956 18144 SH CALL SOLE 18144 0 0 GENERAL ELECTRIC COMPANY COM 369604103 4827 34787 SH PUT SOLE 34787 0 0 BOEING CO COM 097023105 1004 2041 SH CALL SOLE 2041 0 0 UNITED PARCEL SERVICE CL-B COM 911312106 777 1448 SH CALL SOLE 1448 0 0 INTEL CORP COM 458140100 4764 15013 SH CALL SOLE 15013 0 0 PHILIP MORRIS COS INC COM 718154107 0 1023 SH CALL SOLE 1023 0 0 ALTRIA GROUP INC COM 02209S103 5539 5914 SH CALL SOLE 5914 0 0 EXXON MOBIL CORP COM 30231G102 4678 20634 SH CALL SOLE 20634 0 0 CHEVRONTEXACO CORP COM 166764100 8102 6200 SH CALL SOLE 6200 0 0 COCA COLA CO COM 191216100 1772 5618 SH CALL SOLE 5618 0 0 PROCTER & GAMBLE COMPANY COM 742718109 2976 4708 SH CALL SOLE 4708 0 0 INTL BUSINESS MACHINES INC COM 459200101 2462 7118 SH CALL SOLE 7118 0 0 3M CO COM 88579Y101 4709 5622 SH CALL SOLE 5622 0 0 GENERAL MTRS CORP COM 370442105 4795 4295 SH CALL SOLE 4295 0 0 QUALCOMM INC COM 747525103 2688 11513 SH CALL SOLE 11513 0 0 EASTMAN KODAK COMPANY COM 277461109 1701 2580 SH PUT SOLE 2580 0 0 EMERSON ELECTRIC CO COM 291011104 282 285 SH CALL SOLE 285 0 0 AMGEN INC COM 031162100 923 6613 SH CALL SOLE 6613 0 0 NASDAQ 100 COM 631100104 66225 84284 SH CALL SOLE 84284 0 0 WAL-MART STORES INC COM 931142103 10586 9711 SH PUT SOLE 9711 0 0 UNITED STATES STEEL CORP COM 912909108 3428 1970 SH CALL SOLE 1970 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 2661 5539 SH CALL SOLE 5539 0 0 Manager: BNP Paribas Arbitrage SA Period End Date: Dec 31,2003 Page17 of 17 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 - ------------------------------ ------------------ --------- --------- ------------------ ------- -------- --------------------- Value Shrs or SH/ PUT/ Other Voting Authority Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None - ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ---- CITIGROUP INC COM 172967101 4038 10780 SH PUT SOLE 10780 0 0 EBAY INC COM 278642103 3039 2120 SH CALL SOLE 2120 0 0 CATERPILLAR INC COM 149123101 4775 3482 SH CALL SOLE 3482 0 0 NASDAQ 100 INDEX COM 12490H104 0 185 SH PUT SOLE 185 0 0 S&P 500 INDEX OPTION COM 648815108 0 4267 SH PUT SOLE 4267 0 0 S&P 500 INDEX COM 648815983 0 2053 SH PUT SOLE 2053 0 0
-----END PRIVACY-ENHANCED MESSAGE-----