13F-HR 1 d13fhr.txt FORM 13F-HR /------------------------------/ / OMB APPROVAL / /------------------------------/ / OMB Number: 3235-0006 / / Expires: April 30, 2000 / / Estimated average burden / / hours per response.... 23.99 / /------------------------------/ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: Jun 02 -------------- 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: CF FX, L.L.C. --------------------------------------------- Address: 30 S. Wacker Dr #2707 --------------------------------------------- Chicago, IL 60606 --------------------------------------------- --------------------------------------------- Form 13F File Number: 028-06493 ----------------- The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: John Gordon --------------------------------------------- Title: Chief Financial Officer --------------------------------------------- Phone: (312) 906-7366 --------------------------------------------- Signature, Place, and Date of Signing: /s/ John Gordon Chicago, IL 8-9-02 ------------------------ ----------------------------- -------------- [Signature] [City, State] [Date] Report Type (Check only one.): [X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) [ ] 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) List of Other Managers Reporting for this Manager: [If there are no entries in this list, omit this section.] Form 13F File Number Name 28- ------------------ ------------------------ [Repeat as necessary.] Form 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: None ------------------- Form 13F Information Table Entry Total: 41 ------------------- Form 13F Information Table Value Total: $199,541 ------------------- (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 28- ---- --------------------- ---------------------- [Repeat as necessary.] FORM 13F INFORMATION TABLE

~~COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8~~ -----------------------------------------------------------------------------------------------------------------------------~~-------~~ ~~NAME~~Shr/ OFSole ~~TITLE~~Title OFValue ~~VALUE SHRS OR SH~~Shares/ ~~PUT~~Put/ ~~INVESTMENT~~Investment ~~OTHER~~Other ~~VOTING~~Voting ~~AUTHORITY~~Name ~~ISSUER~~of ~~CLASS~~Issuer ~~CISIP~~or Class Cusip (~~x$1000~~000) ~~PRN~~Prin ~~AMT~~Amnt ~~PRN~~Call ~~CALL~~Discretion ~~DISCRETION~~Managers ~~MANAGERS~~Auth ~~SOLE~~Strike ~~SHARED NONE~~ -----------------------------------------------------------------------------------------------------------------------------~~-------~~ ~~------------------------------------------------------------------------------------------------------------------------------------~~AGILENT ~~------------------------------------------------------------------------------------------------------------------------------------~~CONVERT ~~------------------------------------------------------------------------------------------------------------------------------------~~00846UAB7 ~~------------------------------------------------------------------------------------------------------------------------------------~~508 ~~------------------------------------------------------------------------------------------------------------------------------------~~500,000 ~~------------------------------------------------------------------------------------------------------------------------------------~~PRN ~~------------------------------------------------------------------------------------------------------------------------------------~~sole N/A 500,000 Agilent Technologies CONVERT 00846UAA9 5,089 5,000,000 PRN sole N/A 5,000,000 AOL Time Warner CONVERT 02364JAC8 5,108 10,000,000 PRN sole N/A 10,000,000 ARCHSTONE COMMUNITIES TR PREFERRED 039583208 15,166 419,000 SH sole N/A 419,000 Berkshire Hathaway Inc CONVERT 084670AK4 3,508 350 PRN sole N/A 350 Celestica Inc CONVERT 15101QAA6 2,103 5,000,000 PRN sole N/A 5,000,000 Chesapeake PREFERRED 165167404 3,596 62,000 SH sole N/A 62,000 Community Health Systems CONVERT 203668AA6 3,144 3,000,000 PRN sole N/A 3,000,000 COMPUTER ASSOCIATES CONVERT 204912AN9 9,956 10,000,000 PRN sole N/A 10,000,000 Continental Airlines CONVERT 210795PD6 2,251 3,000,000 PRN sole N/A 3,000,000 Corning CONVERT 219350AK1 3,435 5,000,000 PRN sole N/A 5,000,000 DIAMOND OFFSHORE DRILL CONVERT 25271CAC6 1,326 2,500,000 PRN sole N/A 2,500,000 ECHOSTAR COMMUNICATIONS CONVERT 278762AD1 3,455 4,750,000 PRN sole N/A 4,750,000 ELAN FINANCE CORP LTD CONVERT 284129AC7 1,995 4,500,000 PRN sole N/A 4,500,000 EQUITY OFFICE PPTYS TRST PREFERRED 294741509 2,271 50,000 SH sole N/A 50,000 EQUITY RESIDENTIAL PROPS PREFERRED 29476L883 23,016 714,400 SH sole N/A 714,400 EQUITY RESIDENTIAL PROPS PREFERRED 29476L859 8,933 355,800 SH sole N/A 355,800 FOSTER WHEELER CONVERT 35024PAB8 386 2,000,000 PRN sole N/A 2,000,000 GAP STORES CONVERT 364760AH1 6,318 5,500,000 PRN sole N/A 5,500,000 GENL GROWTH PROPERTIES PREFERRED 370021206 3,886 120,000 SH sole N/A 120,000 Hasbro Inc CONVERT 418056AM9 1,878 2,000,000 PRN sole N/A 2,000,000 HOST MARRIOTT FIN TRUST PREFERRED 441079407 11,724 275,000 SH sole N/A 275,000 IndyMac PREFERRED 456607209 2,425 53,000 SH sole N/A 53,000 Isis Pharmaceuticals Inc CONVERT 464337AA2 2,014 2,350,000 PRN sole N/A 2,350,000 IVAX CONVERT 465823AG7 6,304 8,500,000 PRN sole N/A 8,500,000 L3 communications CONVERT 502424AD6 3,025 2,500,000 PRN sole N/A 2,500,000 L-~~-----------------------------------------------------------------------------------------------------------------------------------~~3 Communications CONVERT 502424AC8 3,025 2,500,000 PRN sole N/A 2,500,000 LEVEL 3 COMMUNICATIONS CONVERT 52729NAG5 706 3,000,000 PRN sole N/A 3,000,000 LSI LOGIC CONVERT 502161AF9 5,258 6,500,000 PRN sole N/A 6,500,000 Medtronic CONVERT 585055AB2 2,540 2,500,000 PRN sole N/A 2,500,000 Merrill Lynch CONVERT 590188A73 4,851 5,000,000 PRN sole N/A 5,000,000 NEW PLAN EXCEL REALTY TR PREFERRED 648053205 938 36,000 SH sole N/A 36,000 Nortel CONVERT 656568AB8 3,343 7,000,000 PRN sole N/A 7,000,000 PRIMUS TELECOMM GROUP CONVERT 741929AL7 358 1,000,000 PRN sole N/A 1,000,000 SEALED AIR CORP (NEW) PREFERRED 81211K209 4 100 SH sole N/A 100 Shaw Group CONVERT 820280AC9 1,144 2,000,000 PRN sole N/A 2,000,000 SL GREEN REALTY CORP PREFERRED 78440X200 5,556 150,000 SH sole N/A 150,000 STARWOOD HOTELS RESORTS CONVERT 85590AAB0 7,789 15,000,000 PRN sole N/A 15,000,000 STMICROELECTRONICS NV CONVERT 861012AB8 3,514 4,000,000 PRN sole N/A 4,000,000 US CELLULAR CORP CONVERT 911684AA6 6,542 19,879,000 PRN sole N/A 19,879,000 Wellpoint Health Networks CONVERT 94973HAA6 21,155 20,000,000 PRN sole N/A 20,000,000

------------------------------------------------------------------------------------------------------------------------------------ Name of Issuer Title or Class Cusip Value (000) Shares/Prin Amnt Shr/Put/Call Investment Discretion ------------------------------------------------------------------------------------------------------------------------------------ Advanced Energy CONVERT 007973AB6 4,538 4,000,000 PRN sole Agilent Technologies CONVERT 00846UAA9 7,104 6,350,000 PRN sole Amer Intl Group CONVERT 026874AP2 3,114 5,000,000 PRN sole ANADIGICS CONVERT 032515AA6 979 1,000,000 PRN sole APARTMENT INVT & MGMT CO PREFERRED 03748R705 793 28,400 SH sole ARCHSTONE COMMUNITIES TR PREFERRED 039583208 12,214 341,000 SH sole ASM LIHOGRAPHY CONVERT 00208PAA2 1,718 1,450,000 PRN sole ASML CONVERT 999999999 0 100 PRN sole ASML HOLDING CONVERT USNO7059AC74 2,537 3,000,000 PRN sole AVAYA CONVERT 053499AA7 1,356 2,500,000 PRN sole AVENTIS CONVERT DE0008010497 4,151 4,000,000 PRN sole BCP Finance Bank CONVERT XS0130157919 5,868 6,000,000 PRN sole BELGELEC FIN SA CONVERT 993992IU2 4,667 4,258,056 PRN sole BEST BUY COMPANY CONVERT 086516AC5 5,166 6,700,000 PRN sole BP Finance CONVERT USG1280QAA25 1,766 1,500,000 PRN sole Brocade CONVERT 111621AA6 3,738 3,750,000 PRN sole CALPINE CAPITAL TRUST PREFERRED 131346207 10,302 163,795 SH sole Calpine Corp CONVERT 131347AZ9 3,469 3,000,000 PRN sole CENDANT CONVERT 151313AM5 2,135 2,000,000 PRN sole Chesapeake PREFERRED 165167404 1,948 37,000 SH sole CIENA CORP CONVERT 171779AA9 2,579 4,000,000 PRN sole COMCAST CORP CONVERT 200300BH3 3,917 5,000,000 PRN sole Corning CONVERT 219350AK1 5,638 5,000,000 PRN sole CUMMINS PREFERRED 231029208 635 12,500 SH sole Deutche Bank Alliance CONVERT DE0002694551 8,048 8,000,000 PRN sole E.On CONVERT 990970IC1 6,564 6,500,000 PRN sole ECHOSTAR COMMUNICATIONS CONVERT 278762AD1 5,378 6,000,000 PRN sole ELIOR CONVERT 993930UQ7 293 378,675 PRN sole ENRON CORP CONVERT 293561CD6 133 1,000,000 PRN sole EQUITY RESIDENTIAL PROPS PREFERRED 29476L883 22,862 714,400 SH sole EQUITY RESIDENTIAL PROPS PREFERRED 29476L859 4,932 191,800 SH sole Evergreen Res CONVERT 299900AA8 1,029 1,000,000 PRN sole Fortis CONVERT FR0000481129 6,210 6,000,000 PRN sole FRANCE TELECOM[_] CONVERT 993930KN5 3,328 3,175,000 PRN sole GENL GROWTH PROPERTIES PREFERRED 370021206 3,173 120,000 SH sole Groupe Danone CONVERT 993930XV3 2,953 2,955,000 PRN sole GTECH HOLDINGS CONVERT 400518AA4 2,842 2,750,000 PRN sole Hasbro Inc CONVERT 418056AM9 3,906 4,000,000 PRN sole Hellenic Telecom CONVERT XS0132171223 4,280 4,000,000 PRN sole HOST MARRIOTT FIN TRUST PREFERRED 441079407 12,196 350,000 SH sole IndyMac PREFERRED 456607209 2,446 53,000 SH sole Interpublic Group CONVERT 460690AP5 5,935 7,000,000 PRN sole Intl Power CONVERT 999876NZ4 4,112 4,000,000 PRN sole INVITROGEN CONVERT 46185RAC4 4,819 5,000,000 PRN sole KOHLS CORPORATION CONVERT 500255AJ3 3,233 5,000,000 PRN sole Koninklijke Ahol CONVERT XS0111182597 4,553 4,000,000 PRN sole -------------------------------------------------------------------------------- Name of Issuer Other Managers Sole Voting Auth -------------------------------------------------------------------------------- Advanced Energy N/A 4,000,000 Agilent Technologies N/A 6,350,000 Amer Intl Group N/A 5,000,000 ANADIGICS N/A 1,000,000 APARTMENT INVT & MGMT CO N/A 28,400 ARCHSTONE COMMUNITIES TR N/A 341,000 ASM LIHOGRAPHY N/A 1,450,000 ASML N/A 100 ASML HOLDING N/A 3,000,000 AVAYA N/A 2,500,000 AVENTIS N/A 4,000,000 BCP Finance Bank N/A 6,000,000 BELGELEC FIN SA N/A 4,258,056 BEST BUY COMPANY N/A 6,700,000 BP Finance N/A 1,500,000 Brocade N/A 3,750,000 CALPINE CAPITAL TRUST N/A 163,795 Calpine Corp N/A 3,000,000 CENDANT N/A 2,000,000 Chesapeake N/A 37,000 CIENA CORP N/A 4,000,000 COMCAST CORP N/A 5,000,000 Corning N/A 5,000,000 CUMMINS N/A 12,500 Deutche Bank Alliance N/A 8,000,000 E.On N/A 6,500,000 ECHOSTAR COMMUNICATIONS N/A 6,000,000 ELIOR N/A 378,675 ENRON CORP N/A 1,000,000 EQUITY RESIDENTIAL PROPS N/A 714,400 EQUITY RESIDENTIAL PROPS N/A 191,800 Evergreen Res N/A 1,000,000 Fortis N/A 6,000,000 FRANCE TELECOM~[_] N/A 3,175,000 GENL GROWTH PROPERTIES N/A 120,000 Groupe Danone N/A 2,955,000 GTECH HOLDINGS N/A 2,750,000 Hasbro Inc N/A 4,000,000 Hellenic Telecom N/A 4,000,000 HOST MARRIOTT FIN TRUST N/A 350,000 IndyMac N/A 53,000 Interpublic Group N/A 7,000,000 Intl Power N/A 4,000,000 INVITROGEN N/A 5,000,000 KOHLS CORPORATION N/A 5,000,000 Koninklijke Ahol N/A 4,000,000

------------------------------------------------------------------------------------------------------------------------------------ Name of Issuer Title or Class Cusip Value (000) Shares/Prin Amnt Shr/Put/Call Investment Discretion ------------------------------------------------------------------------------------------------------------------------------------ KOREA TELECOM CONVERT 50063PAD5 3,634 3,500,000 PRN sole L-3 Com CONVERT 502424AB0 3,902 3,000,000 PRN sole L-3 Communications CONVERT 502424AC8 2,584 2,500,000 PRN sole LaFarge SA CONVERT FR0000181216 5,428 5,219,700 PRN sole LAM RESEARCH CORP CONVERT 512807AD0 892 1,000,000 PRN sole LENNAR CORP CONVERT 526057AF1 1,952 5,000,000 PRN sole LEVEL 3 COMMUNICATIONS CONVERT 52729NAG5 860 3,000,000 PRN sole Medtronic Inc. CONVERT 585055AA4 15,950 15,000,000 PRN sole NEW PLAN EXCEL REALTY TR PREFERRED 648053205 968 36,000 SH sole Nortel Networks Corp. CONVERT 656568AA0 7,758 8,000,000 PRN sole NORTHROP GRUMMAN CORP PREFERRED 666807300 5,688 45,000 SH sole NTL COMMUNICATIONS CORP CONVERT 62941AAB5 352 1,000,000 PRN sole ORION POWER HOLDINGS CONVERT 686286AD7 5,803 5,850,000 PRN sole Parmalat CONVERT XS0124248922 4,060 4,000,000 PRN sole PMC-SIERRA CONVERT 69344FAA4 2,171 2,500,000 PRN sole POGO TRUST I PREFERRED 73044P208 9,863 166,700 SH sole PRIMUS TELECOMM GROUP CONVERT 741929AL7 397 3,630,000 PRN sole PROVIDIAN FINANCIAL CORP CONVERT 74406AAB8 1,442 8,000,000 PRN sole Quest Diagnostics CONVERT 74834LAF7 3,190 3,000,000 PRN sole REINSURANCE GROUP PREFERRED 759351307 499 10,000 SH sole Roche CONVERT USU75000AG15 3,016 6,000,000 PRN sole ROCHE HOLDING AG CONVERT 771196AC6 582 1,000,000 PRN sole SL GREEN REALTY CORP PREFERRED 78440X200 4,962 150,000 SH sole Soitec CONVERT FR0000182537 3,114 2,856,000 PRN sole SOUTH AFRICAN BREWERIES CONVERT XS0132698407 5,052 5,000,000 PRN sole St Microelectronics CONVERT 999999999 0 100 PRN sole STANDARD CHARTERED CONVERT XS0108972117 2,156 2,000,000 PRN sole STARWOOD HOTELS RESORTS CONVERT 85590AAB0 10,856 22,500,000 PRN sole STMICROELECTRONICS CONVERT FR0000484081 3,443 5,000,000 PRN sole SUEZ/VINCI CONVERT 993960MJ9 2,001 1,921,500 PRN sole Swiss Re America Holding Corp CONVERT XS0138468045 4,952 5,000,000 PRN sole TECH DATA CONVERT 878237AB2 2,935 3,000,000 PRN sole TELEFONOS DE MEXICO,S.A. CONVERT 879403AD5 6,340 5,000,000 PRN sole UNITED MICRO ELECTRONICS CONVERT 910873AC2 3,115 2,800,000 PRN sole UNITEDGLOBALCOM PREFERRED 913247201 477 52,000 SH sole US CELLULAR CORP CONVERT 911684AA6 9,122 19,879,000 PRN sole Vinci/Vinci CONVERT 993980CQ2 3,667 3,600,000 PRN sole Vivendi Universal CONVERT FR0000485732 2,410 2,353,390 PRN sole VNU CONVERT XS0129154976 4,538 5,000,000 PRN sole VNU NV CONVERT XS0129155601 908 1,000,000 PRN sole VORNADO REALTY TRUST PREFERRED 929042208 43,957 761,200 SH sole WASHINGTON MUT CAP TR I PREFERRED 93933U308 3,611 75,000 SH sole WPP GROUP CONVERT 987425AC9 2,213 2,318,000 PRN sole -------------------------------------------------------------------------------- Name of Issuer Other Managers Sole Voting Auth -------------------------------------------------------------------------------- KOREA TELECOM N/A 3,500,000 L-3 Com N/A 3,000,000 L-3 Communications N/A 2,500,000 LaFarge SA N/A 5,219,700 LAM RESEARCH CORP N/A 1,000,000 LENNAR CORP N/A 5,000,000 LEVEL 3 COMMUNICATIONS N/A 3,000,000 Medtronic Inc. N/A 15,000,000 NEW PLAN EXCEL REALTY TR N/A 36,000 Nortel Networks Corp. N/A 8,000,000 NORTHROP GRUMMAN CORP N/A 45,000 NTL COMMUNICATIONS CORP N/A 1,000,000 ORION POWER HOLDINGS N/A 5,850,000 Parmalat N/A 4,000,000 PMC-SIERRA N/A 2,500,000 POGO TRUST I N/A 166,700 PRIMUS TELECOMM GROUP N/A 3,630,000 PROVIDIAN FINANCIAL CORP N/A 8,000,000 Quest Diagnostics N/A 3,000,000 REINSURANCE GROUP N/A 10,000 Roche N/A 6,000,000 ROCHE HOLDING AG N/A 1,000,000 SL GREEN REALTY CORP N/A 150,000 Soitec N/A 2,856,000 SOUTH AFRICAN BREWERIES N/A 5,000,000 St Microelectronics N/A 100 STANDARD CHARTERED N/A 2,000,000 STARWOOD HOTELS RESORTS N/A 22,500,000 STMICROELECTRONICS N/A 5,000,000 SUEZ/VINCI N/A 1,921,500 Swiss Re America Holding Corp N/A 5,000,000 TECH DATA N/A 3,000,000 TELEFONOS DE MEXICO,S.A. N/A 5,000,000 UNITED MICRO ELECTRONICS N/A 2,800,000 UNITEDGLOBALCOM N/A 52,000 US CELLULAR CORP N/A 19,879,000 Vinci/Vinci N/A 3,600,000 Vivendi Universal N/A 2,353,390 VNU N/A 5,000,000 VNU NV N/A 1,000,000 VORNADO REALTY TRUST N/A 761,200 WASHINGTON MUT CAP TR I N/A 75,000 WPP GROUP N/A 2,318,000

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