FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: December 31,2004
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: CNA Financial Corporation
Address: CNA Plaza
Chicago,IL 60685
13F File Number: 28-346
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: Lynne Gugenheim
Title: Senior Vice President and Deputy General Counsel
Phone: (312) 822 4921
Signature, Place, and Date of Signing:
February 14,2005
Chicago, Illinois,60685
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES EXCHANGE
ACT OF 1934
Report Type (Check only one.):
[ X ] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[ ] 13F COMBINATION REPORT.
List of Other Managers Reporting for this Manager:
Assets reported herein are described as having shared
investment discretion among Loews Corporation, CNA
Financial Corporation,The Continental Corporation,
Continental Casualty Company and Continental Assurance
Company. Each of the foregoing entities specifically disclaims
ownership of any securities in this report which are not
beneficially owned by that entity and states that such
assets are solely under the control of its board of directors.
The characterization of shared investment discretion with parent
holding companies is made solely as a consequence of SEC
interpretations regarding control of the subsidiary through
share ownership. Loews Corporation owns approximately 90%
of the outstanding shares of CNA Financial Corporation;
CNA Financial Corporation owns 100% of the outstanding
shares of Continental Casualty Company and The Continental
Corporation; and Continental Casualty Company owns 100%
of the outstanding shares of Continental Assurance Company.
Loews Corporation will report separately on securities over which
it has investment discretion which are not part of this report.
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 4
Form 13F Information Table Entry Total: 247
Form 13F Information Table Value Total: 1,132,075 (in thousands)
List of Other Included Managers:
No. 13F File Number Name
1 28-172 The Continental Corporation
2 28 -217 Loews Corporation
3 28-386 Continental Assurance Company
4 28-387 Continental Casualty Company
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
3M CO COM 88579Y101 1,714 20,000 SH DEFINED 2 20,000
99 CENTS ONLY STORES COM 65440K106 1,317 100,000 SH DEFINED 2,4 100,000
ABBOTT LABORATORIES COM 002824100 1,166 25,000 SH DEFINED 2 25,000
ACCENTURE LTD CL A G1150G111 1,302 53,900 SH DEFINED 2 53,900
ACTUANT CORPORATION SDCV 00508XAB0 258 200,000 PRN DEFINED 2,3 6,465
ADVANCED MEDICAL OPTICS NOTE 00763MAG3 2,498 2,550,000 PRN DEFINED 2,3 49,731
AFFILIATED MANAGERS GRP DBCV 008252AE8 14,032 10,000,000 PRN DEFINED 2,3,4 259,053
AFTERMARKET TECHNOLOGY CORP COM 008318107 474 28,750 SH DEFINED 2 28,750
AGILENT TECH INC DBCV 00846UAB7 44,704 45,500,000 PRN DEFINED 2,3,4 1,387,452
ALCON INC COM SHS H01301102 536 6,000 SH DEFINED 2 6,000
ALLSTATE CORPORATION COM 020002101 1,654 30,600 SH DEFINED 2 30,600
AMBAC FINANCIAL GROUP INC COM 023139108 262 3,500 SH DEFINED 2 3,500
AMERICAN EXPRESS COM 025816109 1,027 20,000 SH DEFINED 2 20,000
AMERICAN GREET NOTE 026375AJ4 1,051 560,000 PRN DEFINED 2,3 75,645
AMERICAN HOME MORTGAGE INVESCOM 02660R107 691 24,125 SH DEFINED 2 24,125
AMERICAN INTL GROUP INC COM 026874107 4,433 80,000 SH DEFINED 2 80,000
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
AMERICAN NATIONAL INSURANCE COM 028591105 572 5,400 SH DEFINED 2 5,400
AMERICAN PHYSICIANS CAP INC COM 028884104 935 27,275 SH DEFINED 2 27,275
AMERUS GROUP CO COM 03072M108 645 13,650 SH DEFINED 2 13,650
AMGEN INC NOTE 031162AE0 14,732 20,250,000 PRN DEFINED 2,4 130,526
ANADARKO PETROLEUM CORP COM 032511107 11,415 150,000 SH DEFINED 2 150,000
ANDREW CORP NOTE 034425AB4 1,150 1,050,000 PRN DEFINED 2,3 83,987
AON CORP COM 037389103 3,815 167,050 SH DEFINED 2 167,050
ARMOR HOLDINGS INC NOTE 042260AC3 1,184 1,240,000 PRN DEFINED 2,3 21,926
ARVINMERITOR INC COM 043353101 1,079 69,775 SH DEFINED 2 69,775
ASE TEST LIMITED ORD Y02516105 635 125,000 SH DEFINED 2,4 125,000
ASHLAND INC COM 044204105 2,274 33,700 SH DEFINED 2 33,700
AXIS CAPITAL HOLDINGS LTD SHS G0692U109 1,284 47,500 SH DEFINED 2 47,500
BANK OF NEW YORK COM 064057102 1,194 41,100 SH DEFINED 2 41,100
BAUSCH & LOMB INC FRNT 071707AM5 2,178 1,500,000 PRN DEFINED 2,3,4 35,444
BEARINGPOINT INC COM 074002106 3,515 400,750 SH DEFINED 2 400,750
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
BEST BUY COMPANY INC COM 086516101 2,241 41,500 SH DEFINED 2 41,500
BIOGEN IDEC INC NOTE 449370AE5 6,820 11,000,000 PRN DEFINED 2,3,4 49,023
BOEING COMPANY COM 097023105 3,950 67,575 SH DEFINED 2 67,575
BOSTON SCIENTIFIC CORP COM 101137107 1,259 43,000 SH DEFINED 2 43,000
BOWNE & CO INC COM 103043105 645 42,900 SH DEFINED 2 42,900
BP PLC-SPONS ADR ADR 055622104 1,236 19,800 SH DEFINED 2 19,800
BRISTOL-MYERS SQUIBB CO COM 110122108 1,083 42,550 SH DEFINED 2 42,550
BURLINGTON RESOURCES INC COM 122014103 3,805 76,000 SH DEFINED 2 76,000
CABLEVISION SYSTEMS -CL A CL A 12686C109 2,805 100,000 SH DEFINED 2 100,000
CARNIVAL CORP NOTE 143658AS1 4,744 5,500,000 PRN DEFINED 2,3,4 78,729
CARNIVAL CORP DBCV 143658AV4 3,881 5,000,000 PRN DEFINED 2,3,4 47,274
CATERPILLAR INC COM 149123101 914 10,000 SH DEFINED 2 10,000
CELESTICA INC NOTE 15101QAA6 2,806 5,000,000 PRN DEFINED 2,3 15,925
CENTEX CORP COM 152312104 5,040 88,000 SH DEFINED 2 88,000
CENTRAL EUROPE & RUSSIA FUNDCOM 153436100 789 26,100 SH DEFINED 2 26,100
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
CHEVRON TEXACO CORP COM 166764100 2,041 35,000 SH DEFINED 2 35,000
CIBER INC COM 17163B102 834 114,725 SH DEFINED 2 114,725
CIGNA CORP COM 125509109 1,627 18,225 SH DEFINED 2 18,225
CINERGY CORP COM 172474108 3,448 85,100 SH DEFINED 2 85,100
CISCO SYSTEMS INC COM 17275R102 1,073 60,000 SH DEFINED 2 60,000
CIT GROUP INC COM 125581108 1,812 47,675 SH DEFINED 2 47,675
CITIGROUP INC COM 172967101 7,600 169,125 SH DEFINED 2 169,125
CNA SURETY CORPORATION COM 12612L108 372,982 27,425,147 SH DEFINED 1,2,4 27,425,147
CNF INC COM 12612W104 1,397 29,850 SH DEFINED 2 29,850
COCA COLA CO COM 191216100 346 8,300 SH DEFINED 2 8,300
COMCAST CORP CL A SPL CL A 20030N200 8,016 240,000 SH DEFINED 2 240,000
COMCAST CORP-CL A CLA 20030N101 4,270 126,400 SH DEFINED 2 126,400
COMMSCOPE INC COM 203372107 671 44,850 SH DEFINED 2 44,850
COMPUTER ASSOCIATES INTL INCCOM 204912109 2,052 75,725 SH DEFINED 2 75,725
COOPER CAMERON CORP DBCV 216640AE2 3,188 3,000,000 PRN DEFINED 2,4 46,173
CORINTHIAN COLLEGES INC COM 218868107 236 15,000 SH DEFINED 2 15,000
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
CORNING INC NOTE 219350AK1 1,513 1,326,000 PRN DEFINED 2,4 156,413
CORNING INC. COM 219350105 219 19,664 SH DEFINED 2,4 19,664
CREDENCE SYSTEMS CORP NOTE 225302AF5 959 1,000,000 PRN DEFINED 2,3 84,770
CVS CORP COM 126650100 1,842 35,000 SH DEFINED 2 35,000
DANAHER CORP COM 235851102 908 17,000 SH DEFINED 2 17,000
DEL MONTE FOODS CO COM 24522P103 982 90,500 SH DEFINED 2 90,500
DELL COMPUTER CORP COM 24702R101 1,153 30,000 SH DEFINED 2 30,000
DELPHI FINANCIAL GROUP-CL A CLA 247131105 1,560 36,275 SH DEFINED 2 36,275
DEX MEDIA INC COM 25212E100 1,360 65,850 SH DEFINED 2 65,850
DIAGEO PLC-SPONSORED ADR ADR 25243Q205 2,014 35,400 SH DEFINED 2 35,400
DISNEY (WALT) CO NOTE 254687AU0 38,456 35,000,000 PRN DEFINED 2,3,4 1,305,370
DOMINION RESOURCES INC NOTE 25746UAT6 19,190 18,125,000 PRN DEFINED 2,3,4 260,723
DOUBLECLICK INC NOTE 258609AE6 4,686 5,100,000 PRN DEFINED 2,3,4 357,190
DST SYSTEMS INC DBCV 233326AD9 2,517 2,250,000 PRN DEFINED 2,3 51,283
DUKE ENERGY CORP NOTE 264399EJ1 8,383 7,000,000 PRN DEFINED 2,3,4 355,341
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ECC CAPITAL CORP COM 26826M108 2,091 348,500 SH DEFINED 2,4 348,500
ECHOSTAR COMMUNICATIONS - A CLA 278762109 1,582 54,100 SH DEFINED 2 54,100
ELECTRONCIS FOR IMAGING DBCV 286082AA0 1,344 1,450,000 PRN DEFINED 2,3 50,877
ELECTRONIC DATA SYSTEMS NOTE 285661AF1 32,094 32,500,000 PRN DEFINED 2,3,4 940,064
EMPRESA BRASILIERA DE AE-ADRADR PFD 29081M102 1,878 60,000 SH DEFINED 2 60,000
ENTERGY CORP COM 29364G103 855 12,100 SH DEFINED 2 12,100
ESTERLINE TECHNOLOGIES CORP COM 297425100 460 13,300 SH DEFINED 2 13,300
EXELON CORP COM 30161N101 4,791 104,400 SH DEFINED 2 104,400
FEDERAL HM LOAN MORTGAGE CORCOM 313400301 5,351 84,675 SH DEFINED 2 84,675
FEDERAL NATL MTGE ASSN. COM 313586109 2,454 45,075 SH DEFINED 2 45,075
FIRST AMERICAN CORPORATION COM 318522307 1,393 42,275 SH DEFINED 2 42,275
FIRST CITIZENS BCSHS -CL A CL A 31946M103 278 1,900 SH DEFINED 2 1,900
FLIR SYSTEMS INC NOTE 302445AB7 1,318 870,000 PRN DEFINED 2,3 29,706
FMC CORP (NEW) COM 302491303 1,738 32,525 SH DEFINED 2 32,525
GATX CORP COM 361448103 413 12,450 SH DEFINED 2 12,450
GENERAL CABLE CORP COM 369300108 578 47,925 SH DEFINED 2 47,925
GENERAL ELECTRIC CO COM 369604103 4,724 131,000 SH DEFINED 2 131,000
GENERAL MARITIME CORP SHS Y2692M103 4,117 85,000 SH DEFINED 2 85,000
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
GENERAL MOTORS SR CONVA370442741 18,800 800,000 SH DEFINED 2,3,4 800,000
GENZYME CORP NOTE 372917AN4 2,588 2,550,000 PRN DEFINED 2,3 36,330
GILEAD SCIENCES INC COM 375558103 197 5,500 SH DEFINED 2 5,500
GLENBOROUGH REALTY TRUST INCCOM 37803P105 548 28,675 SH DEFINED 2 28,675
GUITAR CENTER MG NOTE 402040AC3 2,134 1,300,000 PRN DEFINED 3 61,701
HALLIBURTON COMPANY COM 406216101 1,189 27,500 SH DEFINED 2 27,500
HANGER ORTHOPEDIC GROUP INC COM 41043F208 212 35,575 SH DEFINED 2 35,575
HEALTH NET INC COM 42222G108 3,116 95,250 SH DEFINED 2 95,250
HERCULES INC COM 427056106 1,521 105,000 SH DEFINED 2,4 105,000
HERMAN MILLER INC COM 600544100 250 8,300 SH DEFINED 2 8,300
HEWLETT-PACKARD CO. COM 428236103 2,199 100,250 SH DEFINED 2 100,250
HORACE MANN EDUCATORS COM 440327104 903 50,900 SH DEFINED 2 50,900
HUMAN GENOME SCIENCES NOTE 444903AF5 4,314 4,500,000 PRN DEFINED 2,3,4 76,700
HUNTSMAN CORP COM 447011107 583 25,000 SH DEFINED 2,4 25,000
HUNTSMAN CORP PFD MND 447011206 1,530 30,000 PRN DEFINED 2,3,4 30,000
HUTCHINSON TECH NOTE 448407AE6 1,281 1,000,000 PRN DEFINED 2,3 42,937
IDACORP INC COM 451107106 649 22,875 SH DEFINED 2 22,875
IKON MBIA INC. COM 55262C100 3,662 70,050 SH DEFINED 2 70,050
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
INCO LTD NOTE 453258AM7 5,294 5,000,000 PRN DEFINED 2,4 140,565
INCO LTD DBCV 453258AT2 4,180 3,152,000 PRN DEFINED 2 133,501
INTEGRA LIFESCIENCES HLD NOTE 457985AB5 766 635,000 PRN DEFINED 2,3 22,431
INTEL CORP COM 458140100 1,162 50,000 SH DEFINED 2 50,000
INTERNATIONAL BUSINESS MACHICOM 459200101 7,036 77,000 SH DEFINED 2 77,000
INTERNATIONAL SECURITIES EXCCLA 46031W204 13 500 SH DEFINED 2 500
INTERPUBLIC GROUP COS NOTE 460690AT7 2,620 2,130,000 PRN DEFINED 2,3 210,942
INTL GAME TECHNOLOGY COM 459902102 160 6,000 SH DEFINED 2 6,000
INTL GAME TECHNOLOGY DBCV 459902AL6 1,283 2,000,000 PRN DEFINED 2,4 27,151
INTL RECTIFIER NOTE 460254AE5 41,740 41,897,000 PRN DEFINED 2,3,4 564,549
INVITROGEN INC NOTE 46185RAJ9 2,088 1,800,000 PRN DEFINED 2,3 30,596
IPC HOLDINGS LTD ORD G4933P101 3,228 82,175 SH DEFINED 2 82,175
ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848 15,735 1,500,000 SH DEFINED 2 1,500,000
JANUS CAPITAL GROUP INC. COM 47102X105 1,314 94,200 SH DEFINED 2 94,200
JOHNSON & JOHNSON COM 478160104 1,343 20,000 SH DEFINED 2 20,000
JPMORGAN CHASE & COMPANY COM 46625H100 1,727 49,900 SH DEFINED 2 49,900
KAYDON CORP NOTE 486587AB4 771 650,000 PRN DEFINED 2,3 26,443
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
KELLWOOD CO COM 488044108 659 22,900 SH DEFINED 2 22,900
KELLY SERVICES INC -CL A CL A 488152208 653 22,675 SH DEFINED 2 22,675
KENNAMETAL INC COM 489170100 475 10,000 SH DEFINED 2 10,000
KIMBERLY CLARK COM 494368103 1,643 25,000 SH DEFINED 2 25,000
L-3 COMMUNICATIONS CORP COM 502424104 213 3,000 SH DEFINED 2 3,000
LEAR SEATING CORP COM 521865105 3,445 77,650 SH DEFINED 2 77,650
LEHMAN_BROTHERS_HOLDING INC COM 524908100 1,789 19,000 SH DEFINED 2 19,000
LENNOX INTERNATL NOTE 526107AB3 1,054 815,000 PRN DEFINED 2,3 58,295
LIBBEY INC COM 529898108 165 7,875 SH DEFINED 2 7,875
LIBERTY MEDIA COMSERA 530718105 4,283 413,000 SH DEFINED 2 413,000
LINCARE HOLDINGS DBCV 532791AB6 1,405 1,340,000 PRN DEFINED 2,3 26,352
LINCOLN NATIONAL CORP INDIANCOM 534187109 1,806 40,000 SH DEFINED 2 40,000
LOWES COMPANIES NOTE 548661CG0 20,450 20,000,000 PRN DEFINED 2,3,4 351,985
MARRIOTT INTERNATIONAL- CL ACLA 571903202 1,504 22,500 SH DEFINED 2 22,500
MARSH & MCLENNAN COS INC COM 571748102 928 30,500 SH DEFINED 2 30,500
MASSEY ENERGY CO NOTE 576203AB9 665 300,000 PRN DEFINED 2,3 34,290
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
MAYTAG CORP. COM 578592107 448 32,050 SH DEFINED 2 32,050
MBNA CORPORATION COM 55262L100 1,365 55,600 SH DEFINED 2 55,600
MCKESSON HBOC INC COM 58155Q103 2,873 76,100 SH DEFINED 2 76,100
MEDIACOM COMMUNICATIONS CORPCL A 58446K105 1,308 200,000 SH DEFINED 2 200,000
MEDICIS PHARMACE NOTE 58470KAA2 1,719 1,500,000 PRN DEFINED 2,3 29,593
MEDTRONIC INC COM 585055106 1,274 25,000 SH DEFINED 2 25,000
MEDTRONIC INC DBCV 585055AD8 4,988 5,000,000 PRN DEFINED 2,3,4 80,696
MERRILL LYNCH & CO NOTE 590188W46 42,659 42,500,000 PRN DEFINED 2,3,4 589,608
MERRILL LYNCH & CO INC COM 590188108 1,347 23,800 SH DEFINED 2 23,800
METHANEX CORP COM 59151K108 2,137 110,000 SH DEFINED 2 110,000
METLIFE INC COM 59156R108 2,796 71,500 SH DEFINED 2 71,500
MGI PHARMA INC NOTE 552880AB2 677 915,000 PRN DEFINED 2,3 16,091
MICROSOFT CORP COM 594918104 1,305 54,000 SH DEFINED 2 54,000
MILACRON INC COM 598709103 278 91,150 SH DEFINED 2 91,150
MONEYGRAM INTERNATIONAL-W/I COM 60935Y109 1,638 86,700 SH DEFINED 2 86,700
MORGAN ST DEAN WITTER DISCOVCOM 617446448 781 13,650 SH DEFINED 2 13,650
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
MORGAN STANLEY ASIA-PACIF FDCOM 61744U106 900 70,700 SH DEFINED 2 70,700
NACCO INDS INC CL A CL A 629579103 632 6,200 SH DEFINED 2 6,200
NCI BUILDING SYSTEMS INC COM 628852105 1,037 26,875 SH DEFINED 2 26,875
NEUBERGER BERMAN REALTY INC COM 64126G109 662 40,000 SH DEFINED 2 40,000
NEWS AMER INC NOTE 652482AZ3 44,544 77,300,000 PRN DEFINED 2,3,4 1,082,271
NEWS CORP LTD -SPONS ADR PRFCL A 65248E104 6,071 358,800 SH DEFINED 2 358,800
NISOURCE INC COM 65473P105 2,985 131,000 SH DEFINED 2 131,000
NORTEL NETWORKS NOTE 656568AB8 8,325 9,000,000 PRN DEFINED 2,4 832,500
NORTHERN TRUST CORP COM 665859104 1,564 36,000 SH DEFINED 2 36,000
NOVOGEN LIMITED-SPONS ADR ADR 67010F103 474 24,950 SH DEFINED 2 24,950
OAK INDUSTRIES NOTE 671400AL3 18,580 17,952,000 PRN DEFINED 2,3,4 1,197,184
OHIO CASUALTY CORP COM 677240103 323 14,050 SH DEFINED 2 14,050
OLD REPUBLIC INTL CORP COM 680223104 1,266 54,338 SH DEFINED 2 54,338
OMNICOM GROUP NOTE 681919AK2 3,945 4,000,000 PRN DEFINED 2,4 35,860
OMNICOM GROUP NOTE 681919AM8 12,484 12,500,000 PRN DEFINED 2,3,4 113,483
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
P G 7 E CORPORATION COM 69331C108 3,185 93,400 SH DEFINED 2 93,400
PAPA JOHN'S INTL INC COM 698813102 331 9,525 SH DEFINED 2 9,525
PAR PHARMACEUTICAL COS NOTE 717125AC2 4,313 5,000,000 PRN DEFINED 2,4 48,585
PEPSICO INCORPORATED COM 713448108 1,697 32,000 SH DEFINED 2 32,000
PETRO-CANADA COM 71644E102 1,736 30,000 SH DEFINED 2 30,000
PETROLEO BRASILEIRO S.A.-ADRADR 71654V101 789 20,500 SH DEFINED 2 20,500
PFIZER INC COM 717081103 2,438 92,800 SH DEFINED 2 92,800
PHARMACEUTICAL HOLDRS TRUST DEPOSIT 71712A206 6,475 90,000 SH DEFINED 2 90,000
PHH CORP COM 693320202 661 30,225 SH DEFINED 2 30,225
PHILIPS ELECTRONICS-NY SHR NY REG S500472303 2,733 99,300 SH DEFINED 2 99,300
PHOTRONICS INC NOTE 719405AE2 669 535,000 PRN DEFINED 2,3 42,086
PIONEER NATURAL RESOURCES COCOM 723787107 4,571 107,000 SH DEFINED 2 107,000
PLACER DOME INC COM 725906101 1,069 65,900 SH DEFINED 2 65,900
PMI GROUP INC COM 69344M101 1,520 40,000 SH DEFINED 2 40,000
PRAXAIR INC COM 74005P104 1,436 30,000 SH DEFINED 2 30,000
PRIDE INTERNATIONAL INC NOTE 74153QAD4 2,764 2,350,000 PRN DEFINED 2,3 107,539
PRIORITY HEALTHCARE CORP-B CL B 74264T102 1,025 47,375 SH DEFINED 2 47,375
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
PULTE CORP COM 745867101 10,308 140,000 SH DEFINED 2 140,000
R.H. DONNELLEY CORP COM 74955W307 652 11,225 SH DEFINED 2 11,225
RENAISSANCERE HOLDINGS LTD COM G7496G103 1,317 28,200 SH DEFINED 2 28,200
RENT-A-CENTER INC COM 76009N100 1,413 51,750 SH DEFINED 2 51,750
RESMED INC NOTE 761152AB3 1,544 1,450,000 PRN DEFINED 2,3 25,483
ROBBINS & MYERS INC COM 770196103 292 13,250 SH DEFINED 2 13,250
RYLAND GROUP INC COM 783764103 2,481 40,000 SH DEFINED 2 40,000
SANMINA CORP SDCV 800907AD9 3,640 6,756,000 PRN DEFINED 2,3,4 23,595
SAPPI LTD- SPONSORED ADR ADR NEW 803069202 1,788 145,400 SH DEFINED 2 145,400
SARA LEE CORP COM 803111103 1,896 85,550 SH DEFINED 2 85,550
SASOL LTD-SPONSORED ADR ADR 803866300 1,569 65,800 SH DEFINED 2 65,800
SCANA CORP COM 80589M102 1,934 50,600 SH DEFINED 2 50,600
SCHLUMBERGER LIMITED COM 806857108 2,326 33,000 SH DEFINED 2 33,000
SCHLUMBERGER LIMITED DBCV 806857AC2 10,925 10,000,000 PRN DEFINED 2,4 151,044
SCHWEITZER-MAUDUIT INTL INC COM 808541106 438 13,050 SH DEFINED 2 13,050
SENOMYX INC COM 81724Q107 488 41,000 SH DEFINED 2 41,000
SLM CORP DBCV 78442PAC0 5,116 5,000,000 PRN DEFINED 2,3,4 77,546
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
SOLECTRON CORP NOTE 834182AT4 10,069 13,960,000 PRN DEFINED 2,3,4 1,041,570
SPHERION CORPORATION COM 848420105 915 122,175 SH DEFINED 2 122,175
SPRINT CORP COM 852061100 3,413 150,000 SH DEFINED 2 150,000
STREETTRACKS GOLD TRUST GOLD SHS863307104 7,708 180,000 SH DEFINED 2 180,000
SUN HEALTHCARE GROUP INC-W/ICOM 866933401 16 2,480 SH DEFINED 2,4 2,480
SYMANTEC CORP COM 871503108 1,067 50,000 SH DEFINED 2 50,000
TARGET CORP COM 87612E106 2,001 40,000 SH DEFINED 2 40,000
TECH DATA CORP SDCV 878237AD8 2,438 2,500,000 PRN DEFINED 2,4 40,949
TEEKAY SHIPPING CORP COM Y8564W103 4,945 110,000 SH DEFINED 2 110,000
TEVA PHARMACEUT FIN BV DBCV 88164RAA5 2,821 2,835,000 PRN DEFINED 2,4 74,427
TEXTRON INC COM 883203101 1,358 18,200 SH DEFINED 2 18,200
TIME WARNER INC COM 887317105 1,980 112,800 SH DEFINED 2 112,800
TJX COS INC NOTE 872540AL3 5,721 6,800,000 PRN DEFINED 2,3,4 186,872
TJX COS. INC. NEW COM 872540109 1,993 80,925 SH DEFINED 2 80,925
TOMMY HILFIGER CORP ORD G8915Z102 298 25,475 SH DEFINED 2 25,475
TORCHMARK CORP COM 891027104 1,396 26,750 SH DEFINED 2 26,750
TRIARC COS-B CLB SER1895927309 480 34,700 SH DEFINED 2 34,700
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
TRINITY INDUSTRIES COM 896522109 663 23,525 SH DEFINED 2 23,525
TRIQUINT SEMICON NOTE 89674KAB9 4,806 5,000,000 PRN DEFINED 2,3,4 70,888
TYCO INTERNATIONAL LTD COM 902124106 1,538 45,500 SH DEFINED 2 45,500
UNION PACIFIC COM 907818108 2,236 32,075 SH DEFINED 2 32,075
UNITED NATIONAL GROUP LTD-A COM 90933T109 550 29,200 SH DEFINED 2 29,200
UNITED PARCEL SERVICE -CL B CL B 911312106 1,709 23,500 SH DEFINED 2 23,500
UNITED STATIONERS INC COM 913004107 681 15,050 SH DEFINED 2 15,050
UNITEDHEALTH GROUP INC COM 91324P102 1,240 13,000 SH DEFINED 2 13,000
UNIVERSAL CORP-VA COM 913456109 492 10,750 SH DEFINED 2 10,750
UNOCAL CORP COM 915289102 1,715 27,800 SH DEFINED 2 27,800
USI HOLDINGS CORP COM 90333H101 337 28,600 SH DEFINED 2 28,600
VALASSIS COMMUNICATIONS INC COM 918866104 756 21,625 SH DEFINED 2 21,625
VALERO ENERGY CORP COM 91913Y100 8,060 110,000 SH DEFINED 2 110,000
VERZION COMMUNICATIONS INC COM 92343V104 937 26,400 SH DEFINED 2 26,400
VIAD CORP COM 92552R406 1,509 56,100 SH DEFINED 2 56,100
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
VINTAGE PETROLEUM INC COM 927460105 3,933 125,000 SH DEFINED 2 125,000
WACHOVIA CORP COM 929903102 1,960 38,500 SH DEFINED 2 38,500
WAL MART STORES INC COM 931142103 1,002 20,000 SH DEFINED 2 20,000
WASHINGTON MUTUAL INC COM 939322103 1,306 33,075 SH DEFINED 2 33,075
WEYERHAEUSER COMPANY COM 962166104 2,055 30,000 SH DEFINED 2 30,000
WHIRLPOOL CORPORATION COM 963320106 2,980 44,000 SH DEFINED 2 44,000
WILLIAMS COS INC COM 969457100 4,245 225,700 SH DEFINED 2 225,700
WISCONSIN ENERGY CORP COM 976657106 2,640 74,375 SH DEFINED 2 74,375
WRIGLEY WM JR CO COM 982526105 197 3,000 SH DEFINED 2 3,000
WYETH COM 983024100 1,008 23,900 SH DEFINED 2 23,900
XCEL ENERGY INC COM 98389B100 1,498 87,200 SH DEFINED 2 87,200
XL CAPITAL LTD-CLASS A CL A G98255105 1,853 25,600 SH DEFINED 2 25,600
YELLOW ROADWAY CORP NOTE 985577AA3 2,917 1,670,000 PRN DEFINED 2,3 74,346
YORK INTERNATIONAL CORP COM 986670107 655 16,725 SH DEFINED 2 16,725