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: Dec 01 -------------- 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 2-14-02 ------------------------ ----------------------------- -------------- [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: 89 ------------------- Form 13F Information Table Value Total: $404,377 ------------------- (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

~~Shares/~~------------------------------------------------------------------------------------------------------------------------------------ ~~Sole Title or Value Prin Shr/ Investment Other Voting~~ Name of Issuer Title or Class Cusip Value (000) Shares/Prin Amnt Shr/Put/Call Investment Discretion ~~Managers Auth~~ ------------------------------------------------------------------------------------------------------------------------------------ Advanced Energy CONVERT 007973AB6 34,~~428~~538 4,000,000 PRN sole ~~N/A~~Agilent 4Technologies CONVERT 00846UAA9 7,~~000~~104 6,350,000 ~~APARTMENT~~PRN ~~INVT~~sole &Amer ~~MGMT~~Intl COGroup ~~PREFERRED~~CONVERT ~~03748R705~~026874AP2 ~~785~~3,114 285,~~400~~000,000 SHPRN sole ~~N/A~~ANADIGICS 28CONVERT 032515AA6 979 1,~~400~~000,000 PRN sole APARTMENT INVT & MGMT CO PREFERRED ~~03748R861~~03748R705 ~~1,795~~793 7628,~~300~~400 SH sole ~~N/A 76,300~~ ARCHSTONE COMMUNITIES TR PREFERRED ~~39581202~~039583208 612,~~621~~214 ~~183~~341,~~500~~000 SH sole ~~N/A~~ASM ~~183,500~~LIHOGRAPHY ~~ARROW ELECTRONIC INC~~ CONVERT ~~042735AY6~~00208PAA2 41,~~030~~718 101,~~000~~450,000 PRN sole ~~N/A~~ASML ~~10,000,000~~CONVERT ~~ATMEL~~999999999 ~~CORP~~0 100 PRN sole ASML HOLDING CONVERT ~~049513AD6~~USNO7059AC74 12,~~323~~537 43,~~690~~000,000 PRN sole ~~N/A~~AVAYA 4CONVERT 053499AA7 1,~~690~~356 2,500,000 ~~BEST~~PRN ~~BUY~~sole ~~COMPANY~~AVENTIS CONVERT ~~086516AC5~~DE0008010497 4,~~376~~151 64,~~700~~000,000 PRN sole ~~N/A~~BCP Finance Bank CONVERT XS0130157919 5,868 6,~~700~~000,000 ~~CALPINE~~PRN ~~CAPITAL~~sole ~~TRUST~~BELGELEC ~~PREFERRED~~FIN ~~131346207~~SA 11CONVERT 993992IU2 4,~~541~~667 ~~138~~4,~~795~~258,056 SHPRN sole ~~N/A~~BEST ~~138,795~~BUY ~~CHARTER~~COMPANY ~~COMMUNICATIONS INC-A~~ CONVERT ~~16117MAC1~~086516AC5 15,~~531~~166 26,~~000~~700,000 PRN sole ~~N/A~~BP 2Finance CONVERT USG1280QAA25 1,~~000~~766 1,500,000 ~~CIENA~~PRN ~~CORP~~sole Brocade CONVERT ~~171779AA9~~111621AA6 3,~~006~~738 53,~~000~~750,000 PRN sole ~~N/A~~CALPINE 5CAPITAL TRUST PREFERRED 131346207 10,302 163,795 SH sole Calpine Corp CONVERT 131347AZ9 3,469 3,000,000 ~~COOPER~~PRN ~~CAMERON~~sole ~~CORP~~CENDANT CONVERT ~~216640AB8~~151313AM5 ~~849~~2,135 12,000,000 PRN sole ~~N/A~~Chesapeake PREFERRED 165167404 1,~~000~~948 37,000 ~~COR~~SH ~~THERAPEUTICS~~sole CIENA CORP CONVERT ~~217753AE2~~171779AA9 2,~~974~~579 34,~~500~~000,000 PRN sole ~~N/A~~COMCAST CORP CONVERT 200300BH3 3,~~500~~917 5,000,000 ~~CORNING~~PRN ~~INC~~sole Corning CONVERT ~~219350AJ4~~219350AK1 45,~~163~~638 75,~~500~~000,000 PRN sole ~~N/A 7,500,000~~ CUMMINS PREFERRED 231029208 ~~3,054~~635 6512,~~000~~500 SH sole ~~N/A~~Deutche ~~65,000~~Bank ~~E*TRADE~~Alliance ~~GROUP~~ CONVERT ~~269246AC8~~DE0002694551 28,~~026~~048 28,~~500~~000,000 PRN sole ~~N/A~~E.On 2CONVERT 990970IC1 6,564 6,500,000 PRN sole ECHOSTAR COMMUNICATIONS CONVERT ~~278762AE9~~278762AD1 25,~~463~~378 36,000,000 PRN sole ~~N/A 3,000,000~~ ELIOR CONVERT 993930UQ7 ~~277~~293 378,675 PRN sole ~~N/A~~ENRON ~~378~~CORP CONVERT 293561CD6 133 1,~~675~~000,000 PRN sole EQUITY RESIDENTIAL PROPS PREFERRED 29476L883 1722,~~861~~862 ~~550~~714,~~100~~400 SH sole ~~N/A 550,100~~ EQUITY RESIDENTIAL PROPS PREFERRED 29476L859 24,~~150~~932 84191,~~100~~800 SH sole ~~N/A~~Evergreen 84Res CONVERT 299900AA8 1,~~100~~029 ~~GENL~~1,000,000 ~~GROWTH~~PRN ~~PROPERTIES~~sole ~~PREFERRED~~Fortis ~~370021206~~CONVERT 2FR0000481129 6,~~994~~210 ~~125~~6,000,000 SHPRN sole ~~N/A~~FRANCE ~~125~~TELECOM[_] CONVERT 993930KN5 3,328 3,175,000 ~~HOST~~PRN ~~MARRIOTT~~sole ~~FIN~~GENL ~~TRUST~~GROWTH PROPERTIES PREFERRED ~~441079407~~370021206 133,~~245~~173 ~~499~~120,~~457~~000 SH sole ~~N/A~~Groupe ~~499~~Danone CONVERT 993930XV3 2,~~457~~953 ~~Intl~~2,955,000 ~~Power~~PRN ~~Ltd~~sole GTECH HOLDINGS CONVERT ~~US46018WAA09~~400518AA4 ~~949~~2,842 12,~~000~~750,000 PRN sole ~~N/A~~Hasbro 1Inc CONVERT 418056AM9 3,906 4,000,000 ~~IVAX~~PRN ~~CORP~~sole Hellenic Telecom CONVERT ~~465823AE2~~XS0132171223 4,~~339~~280 54,000,000 PRN sole ~~N/A~~HOST 5MARRIOTT FIN TRUST PREFERRED 441079407 12,196 350,000 SH sole IndyMac PREFERRED 456607209 2,446 53,000 ~~JABIL~~SH ~~CIRCUIT~~sole ~~INC~~Interpublic Group CONVERT ~~466313AA1~~460690AP5 15,~~694~~935 27,000,000 PRN sole ~~N/A~~Intl 2Power CONVERT 999876NZ4 4,112 4,000,000 ~~KOHLS~~PRN ~~CORPORATION~~sole INVITROGEN CONVERT ~~500255AJ3~~46185RAC4 54,~~379~~819 95,000,000 PRN sole ~~N/A~~KOHLS 9CORPORATION CONVERT 500255AJ3 3,233 5,000,000 ~~Kulicke~~PRN &sole ~~Soffa~~Koninklijke ~~Industries~~Ahol CONVERT ~~501242AH4~~XS0111182597 14,~~717~~553 24,000,000 PRN sole -------------------------------------------------------------------------------- Name of Issuer Other Managers Sole Voting Auth -------------------------------------------------------------------------------- Advanced Energy N/A 24,000,000 ~~LAM~~Agilent ~~RESEARCH~~Technologies ~~CORP~~N/A ~~CONVERT~~6,350,000 ~~512807AD0~~Amer ~~2,773~~Intl 3Group N/A 5,~~500~~000,000 ~~PRN~~ANADIGICS ~~sole~~ N/A 31,~~500~~000,000 ~~LENNAR~~APARTMENT ~~CORP~~INVT ~~CONVERT~~& ~~526057AF1~~MGMT 1CO N/A 28,~~746~~400 5ARCHSTONE COMMUNITIES TR N/A 341,000~~,000~~ ~~PRN~~ASM ~~sole~~LIHOGRAPHY N/A 51,~~000~~450,000 ~~LEVEL~~ASML 3N/A ~~COMMUNICATIONS~~100 ~~CONVERT~~ASML ~~52729NAG5~~HOLDING ~~781~~N/A 3,000,000 ~~PRN~~AVAYA ~~sole~~N/A 2,500,000 AVENTIS N/A 34,000,000 ~~LUCENT~~BCP ~~TECHNOLOGIES~~Finance ~~PREFERRED~~Bank ~~549463206~~N/A 16,~~005 1~~000,000 SHBELGELEC ~~sole~~FIN SA N/A 14,~~000~~258,056 ~~Manpower~~BEST ~~Inc.~~BUY ~~CONVERT~~COMPANY ~~56418HAB6~~N/A 16,~~333~~700,000 2BP Finance N/A 1,500,000 ~~PRN~~Brocade ~~sole~~ N/A 23,~~500~~750,000 ~~MEDAREX~~CALPINE ~~CONVERT~~CAPITAL ~~583916AA9~~TRUST 1N/A 163,~~611~~795 2Calpine Corp N/A 3,000,000 ~~PRN~~CENDANT ~~sole~~ N/A 2,000,000 ~~Medtronic~~Chesapeake ~~Inc.~~N/A ~~CONVERT 585055AA4 5~~37,~~134 5,~~000~~,000~~ ~~PRN~~CIENA ~~sole~~CORP N/A 54,000,000 ~~NABORS~~COMCAST ~~INDUSTRIES~~CORP ~~INC~~N/A ~~CONVERT 629568AF3 2,646~~ 5,000,000 ~~PRN~~Corning ~~sole~~ N/A 5,000,000 ~~NEW~~CUMMINS ~~PLAN~~N/A ~~EXCEL~~12,500 ~~REALTY~~Deutche TRBank ~~PREFERRED~~Alliance ~~648053205~~N/A ~~916 36~~8,000,000 SHE.On ~~sole~~ N/A 366,500,000 ~~Nortel~~ECHOSTAR ~~Networks~~COMMUNICATIONS ~~Corp.~~N/A ~~CONVERT~~6,000,000 ~~656568AA0~~ELIOR ~~7,556~~N/A 8378,~~950,000~~675 ~~PRN~~ENRON ~~sole~~CORP N/A 81,~~950~~000,000 ~~NORTHROP~~EQUITY ~~GRUMMAN~~RESIDENTIAL ~~CORP~~PROPS ~~PREFERRED~~N/A ~~666807300 8~~714,~~642~~400 ~~70,000~~EQUITY SHRESIDENTIAL ~~sole~~PROPS N/A 70191,~~000~~800 ~~NTL~~Evergreen ~~COMMUNICATIONS~~Res ~~CORP~~N/A ~~CONVERT~~1,000,000 ~~62941AAB5~~Fortis ~~574~~N/A 16,~~500~~000,000 ~~PRN~~FRANCE ~~sole~~TELECOM~[_] N/A 13,~~500~~175,000 ~~ORION~~GENL ~~POWER~~GROWTH ~~HOLDINGS~~PROPERTIES ~~CONVERT~~N/A ~~686286AD7 5~~120,~~769~~000 5Groupe Danone N/A 2,~~850~~955,000 ~~PRN~~GTECH ~~sole~~HOLDINGS N/A 52,~~850~~750,000 ~~PMC-SIERRA~~Hasbro ~~CONVERT~~Inc ~~69344FAA4~~N/A 24,~~065 3,~~000,000 ~~PRN~~Hellenic ~~sole~~Telecom N/A 34,000,000 ~~POGO~~HOST ~~TRUST~~MARRIOTT IFIN ~~PREFERRED~~TRUST ~~73044P208~~N/A 10350,~~264~~000 ~~186,700~~IndyMac ~~SH sole~~ N/A ~~186~~53,~~700~~000 ~~PRIMUS~~Interpublic ~~TELECOMM~~Group ~~GROUP~~N/A ~~CONVERT 741929AL7 395 3~~7,~~630~~000,000 ~~PRN~~Intl ~~sole~~Power N/A 34,~~630~~000,000 ~~PROVIDIAN~~INVITROGEN ~~FINANCIAL~~N/A ~~CORP~~5,000,000 ~~CONVERT~~KOHLS ~~74406AAB8~~CORPORATION ~~2,781~~N/A 105,000,000 ~~PRN~~Koninklijke ~~sole~~Ahol N/A 104,000,000

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~~Shares/~~------------------------------------------------------------------------------------------------------------------------------------ ~~Sole Title or Value Prin Shr/ Investment Other Voting~~ Name of Issuer Title or Class Cusip Value (000) Shares/Prin Amnt Shr/Put/Call Investment Discretion ~~Managers Auth~~ ------------------------------------------------------------------------------------------------------------------------------------ ~~SCHOOL~~KOREA ~~SPECIALTY~~TELECOM CONVERT ~~807863AB1~~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,~~308~~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 ~~N/A~~LENNAR 2CORP CONVERT 526057AF1 1,952 5,000,000 ~~SCI~~PRN ~~SYSTEMS~~sole ~~INC~~LEVEL 3 COMMUNICATIONS CONVERT ~~783890AF3~~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,~~478~~000,000 2PRN sole ORION POWER HOLDINGS CONVERT 686286AD7 5,803 5,850,000 PRN sole Parmalat CONVERT XS0124248922 4,060 4,000,000 PRN sole ~~N/A~~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,~~994~~962 150,000 SH sole ~~N/A~~Soitec ~~150~~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 1310,~~417~~856 3022,500,000 PRN sole STMICROELECTRONICS CONVERT FR0000484081 3,443 5,000,000 PRN sole NSUEZ/AVINCI 30CONVERT 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,~~042~~340 5,000,000 PRN sole ~~N/A~~UNITED 5MICRO ELECTRONICS CONVERT 910873AC2 3,115 2,800,000 PRN sole UNITEDGLOBALCOM PREFERRED 913247201 477 52,000 ~~THE~~SH ~~PMI~~sole ~~GROUP~~US CELLULAR CORP CONVERT ~~69344MAC5~~911684AA6 9,122 19,879,000 PRN sole Vinci/Vinci CONVERT 993980CQ2 3,~~062~~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 ~~N/A~~VNU 3NV CONVERT XS0129155601 908 1,000,000 ~~TRANSOCEAN~~PRN ~~SEDCO~~sole ~~FOREX~~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 ~~893830AD1~~987425AC9 2,~~982~~213 32,~~500~~318,000 PRN sole -------------------------------------------------------------------------------- Name of Issuer Other Managers Sole Voting Auth -------------------------------------------------------------------------------- KOREA TELECOM N/A 3,500,000 ~~TRANSOCEAN~~L-3 ~~SEDCO~~Com ~~FOREX~~N/A ~~CONVERT~~3,000,000 ~~893830AA7~~L-3 Communications N/A 2,~~909~~500,000 LaFarge SA N/A 5,~~019~~219,700 LAM RESEARCH CORP N/A 1,000,000 ~~PRN~~LENNAR ~~sole~~CORP N/A 5,~~019~~000,000 ~~UNITEDGLOBALCOM~~LEVEL ~~PREFERRED~~3 ~~913247201~~COMMUNICATIONS ~~306~~N/A 523,000,000 SHMedtronic ~~sole~~Inc. N/A 5215,000,000 USNEW ~~CELLULAR~~PLAN EXCEL REALTY TR N/A 36,000 Nortel Networks Corp. N/A 8,000,000 NORTHROP GRUMMAN CORP ~~CONVERT~~N/A ~~911684AA6~~45,000 16NTL COMMUNICATIONS CORP N/A 1,~~412~~000,000 34ORION POWER HOLDINGS N/A 5,~~879~~850,000 ~~PRN~~Parmalat ~~sole~~N/A 4,000,000 PMC-SIERRA N/A 342,~~879~~500,000 ~~VERIZON~~POGO ~~GLOBAL~~TRUST ~~FDG~~I ~~CORP~~N/A ~~CONVERT~~166,700 ~~92343VAA2~~PRIMUS 11TELECOMM GROUP N/A 3,~~104~~630,000 20PROVIDIAN FINANCIAL CORP N/A 8,000,000 ~~PRN~~Quest ~~sole~~Diagnostics N/A 203,000,000 ~~VORNADO~~REINSURANCE ~~REALTY~~GROUP ~~TRUST~~N/A ~~PREFERRED~~10,000 ~~929042208~~Roche 27N/A 6,~~492~~000,000 ~~500~~ROCHE HOLDING AG N/A 1,000,000 SHSL ~~sole~~GREEN REALTY CORP N/A ~~500~~150,000 ~~WASHINGTON~~Soitec ~~MUT~~N/A ~~CAP~~2,856,000 TRSOUTH IAFRICAN ~~PREFERRED~~BREWERIES ~~93933U308~~N/A 45,~~157~~000,000 75St Microelectronics N/A 100 STANDARD CHARTERED N/A 2,000,000 SHSTARWOOD ~~sole~~HOTELS RESORTS N/A 7522,500,000 ~~Whole~~STMICROELECTRONICS ~~Foods~~N/A ~~Market~~5,000,000 ~~CONVERT~~SUEZ/VINCI ~~966837AC0~~N/A 1,~~116 2~~921,500 Swiss Re America Holding Corp N/A 5,000,000 ~~PRN~~TECH ~~sole~~DATA N/A 23,~~500~~000,000 ~~WPP~~TELEFONOS ~~GROUP~~DE ~~CONVERT~~MEXICO,S.A. ~~987425AC9~~N/A 25,~~120~~000,000 UNITED MICRO ELECTRONICS N/A 2,~~318~~800,000 ~~PRN~~UNITEDGLOBALCOM ~~sole~~N/A 52,000 US CELLULAR CORP N/A 219,~~318~~879,000 XMVinci/Vinci ~~SATELLITE~~N/A ~~RADIO~~3,600,000 ~~HLDGS~~Vivendi ~~CONVERT~~Universal ~~983759AA9~~N/A 2,353,390 VNU N/A 5,000,000 VNU NV N/A 1,~~208~~000,000 2VORNADO REALTY TRUST N/A 761,~~233~~200 WASHINGTON MUT CAP TR I N/A 75,000 ~~PRN~~WPP ~~sole~~GROUP N/A 2,~~233~~318,000

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