UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F
FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: September 30, 1999
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/Cooper Neff Advisors, Inc.
Address: 555 Croton Road, 4th Floor
King of Prussia, PA 19406
13F File Number: 28-5262
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: Catherine J. Beckett
Title: Chief Financial Officer
Phone: 610-491-1596
Signature, Place, and Date of Signing:
Catherine J. Beckett
King of Prussia, PA
October 25, 1999
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.
<PAGE>
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 268
Form 13F Information Table Value Total: 1652647
List of Other Included Managers:
No. 13F File Number Name
**NONE**
<PAGE>
<TABLE>
<CAPTION>
Manager: BNP/Cooper Neff Advisors, Inc. Period End Date: September 30, 1999 Page 1 of 6
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
- ------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
- ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3 COM CORP COM 885535104 10968 381500 SH PUT SOLE 381500 0 0
3 COM CORP COM 885535104 2823 98200 SH SOLE 98200 0 0
A T & T CORP COM 001957109 13074 300550 SH SOLE 300550 0 0
A T & T CORP COM 001957109 12746 293000 SH PUT SOLE 293000 0 0
A T & T CORP COM 001957109 2175 50000 SH CALL SOLE 50000 0 0
ADELPHIA COMMUNICATIONS PFD CV 006848402 678 3765 SH SOLE 3765 0 0
ADOBE SYSTEMS INC COM 00724F101 284 2500 SH SOLE 2500 0 0
ADVANCED MICRO DEVICES INDUSTR BOND CV 007903AC1 1851 2515000 PRN SOLE 0 0 0
AFFILIATED COMPUTER SVCS BOND CV 008190AD2 7031 6150000 PRN SOLE 0 0 0
AFFYMETRIX 144A CONV NTS BOND CV 00826TAA6 997 1000000 PRN SOLE 0 0 0
ALPHARMA INC 144A PRVT PLCT BOND CV 020813AC5 7763 6400000 PRN SOLE 0 0 0
ALPHARMA INC CONV 144A PVT PLC BOND CV 020813AA9 6452 4750000 PRN SOLE 0 0 0
ALPHARMA INC CONV SUB NOTES BOND CV 020813AB7 679 500000 PRN SOLE 0 0 0
AMAZON COMM INC COM 023135106 7194 90000 SH CALL SOLE 90000 0 0
AMAZON COMM INC COM 023135106 4796 60000 SH PUT SOLE 60000 0 0
AMAZON.COM INC CONV SUB NTS 14 BOND CV 023135AD8 3536 3000000 PRN SOLE 0 0 0
AMERICA ONLINE INC COM 02364J104 15922 153000 SH PUT SOLE 153000 0 0
AMERICA ONLINE INC COM 02364J104 2008 19300 SH SOLE 19300 0 0
AMERICA ONLINE INC COM 02364J104 37463 360000 SH CALL SOLE 360000 0 0
AMERICAN EXPRESS CO COM 025816109 6750 50000 SH PUT SOLE 50000 0 0
AMERICAN EXPRESS CO COM 025816109 13500 100000 SH CALL SOLE 100000 0 0
AMERICAN INTL GROUP INC COM 026874107 5434 62500 SH PUT SOLE 62500 0 0
AMERICAN INTL GROUP INC COM 026874107 2034 23400 SH SOLE 23400 0 0
AMERICAN TOWER CORP SERIES 144 BOND CV 029912AA0 1491 1500000 PRN SOLE 0 0 0
AMERITECH CORPORATION COM 030954101 334 5000 SH CALL SOLE 5000 0 0
AMERITECH CORPORATION COM 030954101 441 6600 SH SOLE 6600 0 0
AMERITECH CORPORATION COM 030954101 334 5000 SH PUT SOLE 5000 0 0
AMERITRADE HLD INC SER 144A PR BOND CV 03072HAA7 1217 1650000 PRN SOLE 0 0 0
AMGEN INC COM 031162100 4483 55000 SH CALL SOLE 55000 0 0
AMKOR TECHNOLOGIES INC BOND CV 031652AA8 12408 9484000 PRN SOLE 0 0 0
AMR CORP COM 001765106 1363 25000 SH PUT SOLE 25000 0 0
AMR CORP COM 001765106 1204 22100 SH SOLE 22100 0 0
APPLE COMPUTER INC COM 037833100 3482 55000 SH CALL SOLE 55000 0 0
APPLE COMPUTER INC COM 037833100 6331 100000 SH PUT SOLE 100000 0 0
AT HOME CORP SER A COM 045919107 1036 25000 SH PUT SOLE 25000 0 0
AT HOME CORP SER A COM 045919107 1131 27300 SH SOLE 27300 0 0
AVIATION SALES CO COM 053672101 198 10400 SH SOLE 10400 0 0
AVRION CONV SUB NOTES BOND CV 053762AC4 1603 1680000 PRN SOLE 0 0 0
BANK OF AMERICA CORP COM 060505104 1392 25000 SH CALL SOLE 25000 0 0
BANK ONE CORP COM 06423A103 2959 85000 SH PUT SOLE 85000 0 0
BANK ONE CORP COM 06423A103 3001 86200 SH SOLE 86200 0 0
BANK ONE CORP COM 06423A103 2959 85000 SH CALL SOLE 85000 0 0
BARRICKS GOLD CORP. COM 067901108 1523 70000 SH CALL SOLE 70000 0 0
BARRICKS GOLD CORP. COM 067901108 1088 50000 SH PUT SOLE 50000 0 0
BEA SYSTEMS INC INDS 144A NTS BOND CV 073325AA0 13619 9425000 PRN SOLE 0 0 0
BEAR STEARNS COS INC COM 073902108 3844 100000 SH CALL SOLE 100000 0 0
BELL ATLANTIC COM 077853109 2753 40900 SH SOLE 40900 0 0
BELL ATLANTIC COM 077853109 10097 150000 SH PUT SOLE 150000 0 0
BELL ATLANTIC FINL SERV 144A P BOND CV 07785GAB6 250 250000 PRN SOLE 0 0 0
BELL ATLANTIC FINL SERV EXCH N BOND CV 07785GAC4 8104 7500000 PRN SOLE 0 0 0
BENCHMARK ELECTRONIC S INC CON BOND CV 08160HAA9 1079 1000000 PRN SOLE 0 0 0
BLACK & DECKER MANUFACTURING COM 091797100 4075 89200 SH SOLE 89200 0 0
BLACK & DECKER MANUFACTURING COM 091797100 5254 115000 SH CALL SOLE 115000 0 0
<PAGE>
<CAPTION>
Manager: BNP/Cooper Neff Advisors, Inc. Period End Date: September 30, 1999 Page 2 of 6
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
- ------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
- ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
BLACK & DECKER MANUFACTURING COM 091797100 4569 100000 SH PUT SOLE 100000 0 0
BOEING CO COM 097023105 12788 300000 SH PUT SOLE 300000 0 0
BOEING CO COM 097023105 2651 62200 SH SOLE 62200 0 0
BOEING CO COM 097023105 4263 100000 SH CALL SOLE 100000 0 0
CANDESCENT TECH CORP CONV DEBE BOND CV 137392AA4 1000 1000000 PRN SOLE 0 0 0
CAREMATRIX CORP CONV SUB NOTES BOND CV 141706AC5 240 500000 PRN SOLE 0 0 0
CAREMATRIX CORP CONV SUB NOTES BOND CV 141706AA9 240 500000 PRN SOLE 0 0 0
CATERPILLAR INC COM 149123101 9521 173700 SH PUT SOLE 173700 0 0
CATERPILLAR INC COM 149123101 2719 49600 SH SOLE 49600 0 0
CBS CORP COM 12490K107 1850 40000 SH PUT SOLE 40000 0 0
CBS CORP COM 12490K107 1850 40000 SH CALL SOLE 40000 0 0
CENDANT CORPORATION COM 151313103 1775 100000 SH CALL SOLE 100000 0 0
CENDANT CORPORATION COM 151313103 1775 100000 SH PUT SOLE 100000 0 0
CENTOCOR INC CONV BOND BOND CV 152342AE1 658 500000 PRN SOLE 0 0 0
CENTOCOR INC CONV SUB DEBS 144 BOND CV 152342AC5 658 500000 PRN SOLE 0 0 0
CEPHALON INC 7.25% CONVER PREF PFD CV 156708307 3486 61000 SH SOLE 61000 0 0
CHARLES SCHWAB CORP NEW COM 808513105 334 10000 SH PUT SOLE 10000 0 0
CHARLES SCHWAB CORP NEW COM 808513105 836 25000 SH CALL SOLE 25000 0 0
CHARLES SCHWAB CORP NEW COM 808513105 1027 30706 SH SOLE 30706 0 0
CHASE MANHATTAN CORP NEW COM 16161A108 5653 75000 SH CALL SOLE 75000 0 0
CHASE MANHATTAN CORP NEW COM 16161A108 13191 175000 SH PUT SOLE 175000 0 0
CHASE MANHATTAN CORP NEW COM 16161A108 4159 55175 SH SOLE 55175 0 0
CIENA CORP COM 171779101 872 23900 SH SOLE 23900 0 0
CIENA CORP COM 171779101 2738 75000 SH CALL SOLE 75000 0 0
CISCO SYS INC COM 17275R102 22283 325000 SH PUT SOLE 325000 0 0
CISCO SYS INC COM 17275R102 7131 104000 SH SOLE 104000 0 0
CISCO SYS INC COM 17275R102 19335 282000 SH CALL SOLE 282000 0 0
CITIGROUP INC COM 172967101 17600 400000 SH PUT SOLE 400000 0 0
CITIGROUP INC COM 172967101 12320 280000 SH CALL SOLE 280000 0 0
CMGI INC COM 125750109 5125 50000 SH PUT SOLE 50000 0 0
CMGI INC COM 125750109 3321 32400 SH SOLE 32400 0 0
CMGI INC COM 125750109 7483 73000 SH CALL SOLE 73000 0 0
CNET INC SERIES 144A BOND CV 125945AA3 9802 6000000 PRN SOLE 0 0 0
COMPAQ COMPUTER CORP COM 204493100 3660 160000 SH CALL SOLE 160000 0 0
COMPAQ COMPUTER CORP COM 204493100 7434 325000 SH PUT SOLE 325000 0 0
COMPAQ COMPUTER CORP COM 204493100 2411 105400 SH SOLE 105400 0 0
CONEXANT SYSTEMS INC SUB NOTES BOND CV 207142AB6 1886 1100000 PRN SOLE 0 0 0
DAVE & BUSTER'S INC COM 23833N104 124 10400 SH SOLE 10400 0 0
DELL COMPUTER COM 247025109 10044 240212 SH SOLE 240212 0 0
DELL COMPUTER COM 247025109 21533 515000 SH CALL SOLE 515000 0 0
DELL COMPUTER COM 247025109 21324 510000 SH PUT SOLE 510000 0 0
DISNEY WALT CO COM 254687106 4464 171700 SH SOLE 171700 0 0
DISNEY WALT CO COM 254687106 9750 375000 SH PUT SOLE 375000 0 0
DOUBLECLICK INC COM 258609304 2978 25000 SH PUT SOLE 25000 0 0
DOUBLECLICK INC COM 258609304 2978 25000 SH CALL SOLE 25000 0 0
DOUBLECLICK INC CONV 144A BOND CV 258609AA4 11041 7000000 PRN SOLE 0 0 0
E M C CORP MASS COM 268648102 4354 61000 SH CALL SOLE 61000 0 0
E TRADE GROUP INC COM 269246104 1175 50000 SH CALL SOLE 50000 0 0
E TRADE GROUP INC COM 269246104 588 25000 SH PUT SOLE 25000 0 0
EASTMAN KODAK COMPANY COM 277461109 1898 25100 SH SOLE 25100 0 0
EASTMAN KODAK COMPANY COM 277461109 4916 65000 SH CALL SOLE 65000 0 0
EASTMAN KODAK COMPANY COM 277461109 7109 94000 SH PUT SOLE 94000 0 0
EL PASO ENERGY CAP TRUST I 4.7 PFD CV 283678209 502 9500 SH SOLE 9500 0 0
<PAGE>
<CAPTION>
Manager: BNP/Cooper Neff Advisors, Inc. Period End Date: September 30, 1999 Page 3 of 6
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
- ------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
- ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
EMCOR GROUP INC CONV NOTES BOND CV 29084QAC4 1840 2000000 PRN SOLE 0 0 0
ERICSSON L M TEL CO ADR CL B COM 294821400 334 10700 SH SOLE 10700 0 0
FEDERAL HOME LOAN MTG CORP COM 313400301 9360 180000 SH PUT SOLE 180000 0 0
FEDERAL HOME LOAN MTG CORP COM 313400301 6495 124900 SH SOLE 124900 0 0
FEDERAL NATIONAL MORTGAGE COM 313586109 295 4700 SH SOLE 4700 0 0
FIN FED CORP CONV 144A PRIV PL BOND CV 317492AA4 448 516000 PRN SOLE 0 0 0
FLEETWOOD CAP TRUST 6.00% PRFD PFD CV 339072407 911 25735 SH SOLE 25735 0 0
FORD MOTOR COMPANY COM 345370100 22613 450000 SH PUT SOLE 450000 0 0
FORD MOTOR COMPANY COM 345370100 3015 60000 SH SOLE 60000 0 0
FORD MOTOR COMPANY COM 345370100 7538 150000 SH CALL SOLE 150000 0 0
GAP INCORPORATED COM 364760108 250 7800 SH SOLE 7800 0 0
GENERAL ELECTRIC COMPANY COM 369604103 26084 220000 SH PUT SOLE 220000 0 0
GENERAL ELECTRIC COMPANY COM 369604103 23713 200000 SH CALL SOLE 200000 0 0
GENERAL MILLS INCORPORATED COM 370334104 3302 40700 SH SOLE 40700 0 0
GENZYME CORP 144A PVT PLCMT BOND CV 372917AE4 6870 5135000 PRN SOLE 0 0 0
GETTY IMAGES INC CONV SUB NOTE BOND CV 374276AC7 3335 3200000 PRN SOLE 0 0 0
GETTY IMAGES INC INDS PRIV PLC BOND CV 374276AA1 730 700000 PRN SOLE 0 0 0
GILAT SATELLITE NETWORKS BOND CV 375255AB2 699 518000 PRN SOLE 0 0 0
GILLETTE COMPANY COM 375766102 1273 37500 SH CALL SOLE 37500 0 0
GILLETTE COMPANY COM 375766102 14848 437500 SH PUT SOLE 437500 0 0
GILLETTE COMPANY COM 375766102 13314 392300 SH SOLE 392300 0 0
GLOBAL TELESYSTEMS GROUP CONVE BOND CV 37936UAE4 2031 2250000 PRN SOLE 0 0 0
GTE CORPORATION COM 362320103 1253 16300 SH SOLE 16300 0 0
GTE CORPORATION COM 362320103 4613 60000 SH PUT SOLE 60000 0 0
H.J.HEINZ COMPANY COM 423074103 1114 25900 SH SOLE 25900 0 0
H.J.HEINZ COMPANY COM 423074103 1505 35000 SH PUT SOLE 35000 0 0
HERCULES TRST II 6.50% UNIT DU COM 427098306 5603 6500 SH SOLE 6500 0 0
HOME DEPOT INCORPORATED COM 437076102 13725 200000 SH PUT SOLE 200000 0 0
HOME DEPOT INCORPORATED COM 437076102 3273 47700 SH SOLE 47700 0 0
HUMAN GENOME SCIENCE S PRIV 14 BOND CV 444903AA6 8070 5250000 PRN SOLE 0 0 0
HUTCHINSON TECH INC CONV SUB N BOND CV 448407AC0 3959 3500000 PRN SOLE 0 0 0
INKTOMI CORP COM 457277101 300 2500 SH CALL SOLE 2500 0 0
INTEL CORP COM 458140100 17278 232500 SH CALL SOLE 232500 0 0
INTEL CORP COM 458140100 17463 235000 SH PUT SOLE 235000 0 0
INTEL CORP COM 458140100 1442 19400 SH SOLE 19400 0 0
INTL BUSINESS MACHINES INC COM 459200101 230 1900 SH SOLE 1900 0 0
INTL BUSINESS MACHINES INC COM 459200101 21780 180000 SH CALL SOLE 180000 0 0
INTL BUSINESS MACHINES INC COM 459200101 24200 200000 SH PUT SOLE 200000 0 0
ITC DELTA COM CONV SUB NTS 144 BOND CV 45031TAJ3 3663 3000000 PRN SOLE 0 0 0
KOREA ELECTRIC POWER CONVERTIB BOND CV 500631AF3 1139 1150000 PRN SOLE 0 0 0
LABOR READY INC (NEW) COM 505401208 127 12600 SH SOLE 12600 0 0
LAMAR ADVERTISING CO NOTES BOND CV 512815AF8 5297 4175000 PRN SOLE 0 0 0
LEHMAN BROTHERS HLDGS INC COM 524908100 578 9900 SH SOLE 9900 0 0
LEHMAN BROTHERS HLDGS INC COM 524908100 8348 143000 SH PUT SOLE 143000 0 0
LEHMAN BROTHERS HLDGS INC COM 524908100 4378 75000 SH CALL SOLE 75000 0 0
LEVEL 3 COMMUNICATIONS BOND CV 52729NAG5 3982 4000000 PRN SOLE 0 0 0
LSI LOGIC CORP 144A PRV PLCMT BOND CV 502161AB8 448 250000 PRN SOLE 0 0 0
LSI LOGIC CORPORATION COM 502161102 5720 110000 SH PUT SOLE 110000 0 0
LSI LOGIC CORPORATION COM 502161102 4420 85000 SH CALL SOLE 85000 0 0
LUCENT TECHNOLGY COM 549463107 8109 125000 SH PUT SOLE 125000 0 0
LUCENT TECHNOLGY COM 549463107 649 10000 SH SOLE 10000 0 0
LUCENT TECHNOLGY COM 549463107 4866 75000 SH CALL SOLE 75000 0 0
LYCOS INC COM 550818108 2256 45000 SH PUT SOLE 45000 0 0
<PAGE>
<CAPTION>
Manager: BNP/Cooper Neff Advisors, Inc. Period End Date: September 30, 1999 Page 4 of 6
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
- ------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
- ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
LYCOS INC COM 550818108 2256 45000 SH CALL SOLE 45000 0 0
MAYTAG COMPANY COM 578592107 13098 393200 SH SOLE 393200 0 0
MAYTAG COMPANY COM 578592107 13325 400000 SH PUT SOLE 400000 0 0
MCDONALDS CORPORATION COM 580135101 2227 51500 SH SOLE 51500 0 0
MCDONALDS CORPORATION COM 580135101 8650 200000 SH PUT SOLE 200000 0 0
MCI WORLDCOM INC COM 55268B106 14914 207500 SH PUT SOLE 207500 0 0
MCI WORLDCOM INC COM 55268B106 6090 84731 SH SOLE 84731 0 0
MCI WORLDCOM INC COM 55268B106 7727 107500 SH CALL SOLE 107500 0 0
MCKESSON HBOC INC COM 58155Q103 4350 150000 SH CALL SOLE 150000 0 0
MCKESSON HBOC INC COM 58155Q103 2857 98500 SH SOLE 98500 0 0
MCKESSON HBOC INC COM 58155Q103 4350 150000 SH PUT SOLE 150000 0 0
MCLEODUSA INC SER A CONV PREFD PFD CV 582266201 6884 17300 SH SOLE 17300 0 0
MERCK & CO. INC COM 589331107 3241 50000 SH CALL SOLE 50000 0 0
MERRILL LYNCH & CO INC COM 590188108 7917 117500 SH CALL SOLE 117500 0 0
MERRILL LYNCH & CO INC COM 590188108 3113 46200 SH SOLE 46200 0 0
MERRILL LYNCH & CO INC COM 590188108 10275 152500 SH PUT SOLE 152500 0 0
MICRON TECHNOLOGY INC COM 595112103 998 15000 SH CALL SOLE 15000 0 0
MICRON TECHNOLOGY INC COM 595112103 998 15000 SH PUT SOLE 15000 0 0
MICROSOFT CORP COM 594918104 28120 310500 SH CALL SOLE 310500 0 0
MICROSOFT CORP COM 594918104 151013 1667500 SH PUT SOLE 1667500 0 0
MICROSOFT CORP COM 594918104 40324 445260 SH SOLE 445260 0 0
MINNESOTA MINING & MFG CO COM 604059105 231 2400 SH SOLE 2400 0 0
MINNESOTA MINING & MFG CO COM 604059105 2306 24000 SH CALL SOLE 24000 0 0
MOBIL CORPORATION COM 607059102 10075 100000 SH PUT SOLE 100000 0 0
MOBIL CORPORATION COM 607059102 10075 100000 SH CALL SOLE 100000 0 0
MOBIL CORPORATION COM 607059102 2045 20300 SH SOLE 20300 0 0
MORGAN ST DEAN WITTER DISCOVE COM 617446448 1784 20000 SH PUT SOLE 20000 0 0
MORGAN ST DEAN WITTER DISCOVE COM 617446448 12486 140000 SH CALL SOLE 140000 0 0
MOTOROLA INCORPORATED COM 620076109 4400 50000 SH PUT SOLE 50000 0 0
MOTOROLA INCORPORATED COM 620076109 13024 148000 SH CALL SOLE 148000 0 0
MRV COMMUNICATIONS INC BOND CV 553477AA8 1054 1000000 PRN SOLE 0 0 0
NASDAQ 100 COM 631100104 301 2500 SH PUT SOLE 2500 0 0
NASDAQ 100 COM 631100104 3611 30000 SH CALL SOLE 30000 0 0
NATL AUSTRALIA BK LTD PFD CV 632525309 854 30800 SH SOLE 30800 0 0
NCS HEALTHCARE 5.75% CONV STK BOND CV 628874AC3 779 1868000 PRN SOLE 0 0 0
NET.B@NK 4.75% DUE 6/1/2004 BOND CV 64107JAA4 4287 5000000 PRN SOLE 0 0 0
NEXTAR PHARM SUN DEB CONV BOND CV 65333BAC0 4586 3000000 PRN SOLE 0 0 0
NEXTEL COMMUNICATION S CONV SR BOND CV 65332VAR4 13752 8750000 PRN SOLE 0 0 0
NIKE INCORPORATED CLASS B COM 654106103 569 10000 SH CALL SOLE 10000 0 0
NORTEL NETWORKS CORP COM 656569100 291 5700 SH SOLE 5700 0 0
OAK IDUSTRIES INC INDS CONV SU BOND CV 671400AL3 1042 990000 PRN SOLE 0 0 0
ORACLE SYSTEMS CORP COM 68389X105 3185 70000 SH PUT SOLE 70000 0 0
ORACLE SYSTEMS CORP COM 68389X105 228 5000 SH CALL SOLE 5000 0 0
OWENS & MINOR TRUST I PFD CV 690905302 613 17921 SH SOLE 17921 0 0
PEPSICO INCORPORATED COM 713448108 7625 250000 SH CALL SOLE 250000 0 0
PEPSICO INCORPORATED COM 713448108 9556 313300 SH SOLE 313300 0 0
PEPSICO INCORPORATED COM 713448108 16531 542000 SH PUT SOLE 542000 0 0
PFIZER INCORPORATED COM 717081103 3588 100000 SH PUT SOLE 100000 0 0
PFIZER INCORPORATED COM 717081103 7175 200000 SH CALL SOLE 200000 0 0
PHILIP MORRIS COS INC COM 718154107 1822 53300 SH SOLE 53300 0 0
PHILIP MORRIS COS INC COM 718154107 2393 70000 SH PUT SOLE 70000 0 0
PIONEER STANDARD ELECTRO PFD CV 723879300 5660 103373 SH SOLE 103373 0 0
POGO TRUST I 6.50% DUE 6/1/202 PFD CV 73044P208 1055 20000 SH SOLE 20000 0 0
<PAGE>
<CAPTION>
Manager: BNP/Cooper Neff Advisors, Inc. Period End Date: September 30, 1999 Page 5 of 6
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
- ------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
- ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PROCTER & GAMBLE COMPANY COM 742718109 7139 76150 SH SOLE 76150 0 0
PROCTER & GAMBLE COMPANY COM 742718109 6563 70000 SH CALL SOLE 70000 0 0
PROCTER & GAMBLE COMPANY COM 742718109 14531 155000 SH PUT SOLE 155000 0 0
PROLOGIS TRUST 7.00% SER B PRF PFD CV 743410300 579 23800 SH SOLE 23800 0 0
PSINET INC. 3.375% CONV PFD ST PFD CV 74437C309 2086 52200 SH SOLE 52200 0 0
QUADRAMED CORP CONV BOND CV 74730WAC5 543 1000000 PRN SOLE 0 0 0
QUALCOMM FIANANCIAL TRUST 5.75 PFD CV 74752R402 966 3635 SH SOLE 3635 0 0
QUALCOMM INC COM 747525103 359 1900 SH SOLE 1900 0 0
RELIANT ENERGY INTO TWX ZENS ( PFD CV 75952J207 2607 42000 SH SOLE 42000 0 0
RES-CARE INC CONV SUB NOTES BOND CV 760943AC4 3753 3585000 PRN SOLE 0 0 0
RES-CARE INC PRV PLCT 144A BOND CV 760943AA8 785 750000 PRN SOLE 0 0 0
ROYAL CARIBBEAN CRUISES LTD PFD CV V7780T111 336 2400 SH SOLE 2400 0 0
SABRATEK CORP CONVER NOTES BOND CV 78571UAA6 1344 4200000 PRN SOLE 0 0 0
SAFEGUARD SCIENTIFIC PRIV PLMN BOND CV 786449AD0 8791 8000000 PRN SOLE 0 0 0
SBC COMMUNICATIONS INC COM 78387G103 214 4200 SH SOLE 4200 0 0
SCHLUMBERGER LIMITED COM 806857108 12463 200000 SH PUT SOLE 200000 0 0
SCHLUMBERGER LIMITED COM 806857108 4742 76100 SH SOLE 76100 0 0
SEALED AIR CORP CONVERTIBLE PFD CV 81211K209 8438 165200 SH SOLE 165200 0 0
SEARS ROEBUCK & COMPANY COM 812387108 1883 60000 SH CALL SOLE 60000 0 0
SEARS ROEBUCK & COMPANY COM 812387108 9099 290000 SH PUT SOLE 290000 0 0
SEARS ROEBUCK & COMPANY COM 812387108 9987 318300 SH SOLE 318300 0 0
SECURITY CAP US REALTY CONV 14 BOND CV 814136AA5 405 500000 PRN SOLE 0 0 0
SENSORMATIC ELECTRON ICS 6.50% PFD CV 817265200 1976 97200 SH SOLE 97200 0 0
SENSORMATIC ELECTRS CORP COM 817265606 147 11600 SH SOLE 11600 0 0
SIEBEL SYSTEMS INC BONDS 144 BOND CV 826170AA0 245 250000 PRN SOLE 0 0 0
SOUTHERN PAC FUNDING CONV SUB BOND CV 843576AA7 35 235000 PRN SOLE 0 0 0
SPORTSLINE USA INC CONV 144A BOND CV 848934AA3 5700 7500000 PRN SOLE 0 0 0
STANDARD MOTOR PRODUCTS BOND CV 853666AB1 661 750000 PRN SOLE 0 0 0
SUIZA CAP TRUST II 5.50% CONV PFD CV 86507G200 762 21465 SH SOLE 21465 0 0
SUN MICROSYSTEMS INC COM 866810104 13950 150000 SH PUT SOLE 150000 0 0
SUN MICROSYSTEMS INC COM 866810104 13950 150000 SH CALL SOLE 150000 0 0
TELEFONOS DE MEXICO S.A. BOND CV 879403AD5 6647 7000000 PRN SOLE 0 0 0
TOWER AUTOMOTIVE INC SUB NOTES BOND CV 891707AE1 5032 5250000 PRN SOLE 0 0 0
TRIBUNE COMPANY NEW COM 896047107 204 4100 SH SOLE 4100 0 0
TXI CAPITAL TRUST I SPECIAL PU PFD CV 873119200 2420 63600 SH SOLE 63600 0 0
UNISYS CORP COM 909214108 5077 112500 SH CALL SOLE 112500 0 0
UNISYS CORP COM 909214108 5077 112500 SH PUT SOLE 112500 0 0
UNITED RENTAL TRUST I PFD CV 91136H207 2617 69560 SH SOLE 69560 0 0
UNITED RENTALS TRUST I PFD CV 91136H306 414 11000 SH SOLE 11000 0 0
UNITEDGLOBALCOM DEPOSITORY SH PFD CV 913247102 6867 132500 SH SOLE 132500 0 0
VERIO INC 6.75% CONV 144A PRFD PFD CV 923433304 3492 85000 SH SOLE 85000 0 0
VERTICALNET INC PRIV PLMTN SER BOND CV 92532LAA5 5327 5000000 PRN SOLE 0 0 0
WAL-MART STORES INC COM 931142103 2140 45000 SH CALL SOLE 45000 0 0
WAL-MART STORES INC COM 931142103 10702 225000 SH PUT SOLE 225000 0 0
WAL-MART STORES INC COM 931142103 3153 66300 SH SOLE 66300 0 0
WARNER-LAMBERT COMPANY COM 934488107 6638 100000 SH CALL SOLE 100000 0 0
WARNER-LAMBERT COMPANY COM 934488107 6823 102800 SH SOLE 102800 0 0
WARNER-LAMBERT COMPANY COM 934488107 19913 300000 SH PUT SOLE 300000 0 0
WASHINGTON MUTUAL INC COM 939322103 494 16900 SH SOLE 16900 0 0
WASHINGTON MUTUAL INC COM 939322103 1463 50000 SH PUT SOLE 50000 0 0
WASTE MANAGEMENT INC COM 94106L109 4824 250600 SH SOLE 250600 0 0
WASTE MANAGEMENT INC COM 94106L109 4813 250000 SH PUT SOLE 250000 0 0
WELLS FARGO COMPANY COM 949746101 594 15000 SH CALL SOLE 15000 0 0
<PAGE>
<CAPTION>
Manager: BNP/Cooper Neff Advisors, Inc. Period End Date: September 30, 1999 Page 6 of 6
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
- ------------------------------ ------------------ --------- --------- ------------------ ------- -------- ---------------------
Value Shrs or SH/ PUT/ Other
Name of Issuer Title of Class CUSIP (x$1000) Prn Amt PRN CALL Dscretn Managers Sole Shared None
- ------------------------------ ------------------ --------- --------- --------- --- ---- ------- -------- --------- ------ ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
WINSTAR COMMUNICATIO NS 7.25% PFD CV 975515867 2527 3000 SH SOLE 3000 0 0
YAHOO INC. COM 984332106 26476 147500 SH CALL SOLE 147500 0 0
YAHOO INC. COM 984332106 6462 36000 SH PUT SOLE 36000 0 0
</TABLE>
