13F-HR 1 mh09-03public13f.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: September 30, 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: M.H. Davidson & Co., L.L.C. Address: 885 Third Avenue Suite 3300 New York, NY 10022 13F File Number: 28-4666 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: Thomas L. Kempner Jr. Title: Member Phone: 212-446-4060 Signature, Place, and Date of Signing: Thomas L. Kempner Jr. New York October 31, 2003 Report Type (Check only one.): [X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES EXCHANGE ACT OF 1934. Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 26 Form 13F Information Table Value Total: 292,124,000 CONFIDENTIAL INFORMATION HAS BEEN OMITTED FROM THIS FILING AND FILED SEPARATELY WITH THE COMMISSION. List of Other Included Managers: FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- ------- ALCOA ALUMINUM CS 013817101 7586 290000 SH SOLE 290000 ARCH WIRELESS INC. CS 039392709 686 61062 SH SOLE 61062 BANK UNITED LITIGATION RIGHTS CS 065416117 46 920200 SH SOLE 920200 BROOKFIELD HOMES CS 112723101 1130 61000 SH SOLE 61000 CARNIVAL CORP 0.0% 10/24/21 CB 143658AS1 15860 25000000 PRN SOLE 250000 CAROLCO PICTURES INC CS 143763100 0 50000 SH SOLE 50000 CHEVRON CS 166764100 31057 434668 SH SOLE 434668 CHUBB CORP 7.0% 8/16/06 PREFER HOT 171232507 4579 165000 SH SOLE 165000 COEUR DALENE MINES CORP CS 192108108 88 28200 SH SOLE 28200 COMDISCO HOLDING COMPANY CS 200334100 74171 882984 SH SOLE 882984 CONTINENTAL AIRLINES CL B CS 210795308 2688 162151 SH SOLE 162151 DEUTSHE TELEKOM VS (VSTR) CS 251566105 13940 965398 SH SOLE 965398 FIRST ENERGY CORP CS 337932107 8447 264810 SH SOLE 264810 GENERAL MOTORS 5.25% 3/6/32 PS 370442733 8528 371100 SH SOLE 371100 LOWES COMPANIES .861% 10/19/21 CB 548661CG0 12995 12500000 PRN SOLE 125000 NUCO CS 629428103 331 30000 SH SOLE 30000 PFIZER CORP CS 717081103 54606 1797421 SH SOLE 1797421 PHILLIPS PETROLEUM CS 718507106 23620 431411 SH SOLE 431411 QWEST COMMUNICATIONS CS 749121109 2640 776508 SH SOLE 776508 RAYTHEON COMPANY CS 755111507 2604 93000 SH SOLE 93000 SEALED AIR CORP CS 81211K100 274 5800 SH SOLE 5800 US STEEL CORP 7.0% 6/15/06 PRE PS 912909207 3917 58900 SH SOLE 58900 VIVENDI ADR CS 92851S105 1231 69305 SH SOLE 69305 WABASH NATIONAL CS 929566107 332 20805 SH SOLE 20805 WALT DISNEY CO 2.125% 4/15/23 CB 254687AU0 16163 15700000 PRN SOLE 157000 XEROX 6.25% 7/01/06 PREFERRED HOT 984121509 4605 45000 SH SOLE 45000 292,124