FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: June 30,2005
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:
August 12,2005
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: 259
Form 13F Information Table Value Total: 1,316,970 (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 1,446 20,000 SH DEFINED 2 20,000
3M COMPANY NOTE 88579YAB7 781 900,000 PRN DEFINED 2,3 8,514
ABB LTD-SPON ADR ADR 000375204 2,756 426,000 SH DEFINED 2 426,000
ABBOTT LABORATORIES COM 002824100 1,225 25,000 SH DEFINED 2 25,000
ACCENTURE LTD CL A G1150G111 1,975 87,100 SH DEFINED 2 87,100
ACTUANT CORPORATION SDCV 00508XAB0 262 200,000 PRN DEFINED 2,3 5,011
ADVANCED MEDICAL OPTICS NOTE 00763MAG3 2,600 2,550,000 PRN DEFINED 2,3 50,756
AFFILIATED MANAGERS GRP DBCV 008252AE8 1,566 1,000,000 PRN DEFINED 2,3 18,462
AFTERMARKET TECHNOLOGY CORP COM 008318107 501 28,750 SH DEFINED 2 28,750
AGILENT TECH INC DBCV 00846UAB7 45,861 46,500,000 PRN DEFINED 2,3,4 1,443,202
ALCON INC COM SHS H01301102 656 6,000 SH DEFINED 2 6,000
ALLSTATE CORPORATION COM 020002101 1,828 30,600 SH DEFINED 2 30,600
ALPHA NATURAL RESOURCES INC COM 02076X102 1,194 50,000 SH DEFINED 2 50,000
ALTRIA GROUP INC COM 02209S103 970 15,000 SH DEFINED 2 15,000
AMDOCS LIMITED NOTE 02342TAD1 456 500,000 PRN DEFINED 2,3 11,596
AMERICAN EXPRESS COM 025816109 1,065 20,000 SH DEFINED 2 20,000
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 GREET NOTE 026375AJ4 1,086 560,000 PRN DEFINED 2,3 40,290
AMERICAN HOME MORTGAGE INVESCOM 02660R107 1,030 29,450 SH DEFINED 2 29,450
AMERICAN INTL GROUP INC COM 026874107 5,810 100,000 SH DEFINED 2 100,000
AMERICAN NATIONAL INSURANCE COM 028591105 615 5,400 SH DEFINED 2 5,400
AMERICAN PHYSICIANS CAP INC COM 028884104 848 22,825 SH DEFINED 2 22,825
AMERISOURCE HEALTH CORP-CL ACOM 03073E105 1,006 14,550 SH DEFINED 2 14,550
AMERUS GROUP CO COM 03072M108 656 13,650 SH DEFINED 2 13,650
AMGEN INC COM 031162100 1,572 26,000 SH DEFINED 2 26,000
AMGEN INC NOTE 031162AL4 32,738 45,000,000 PRN DEFINED 2,3,4 398,705
ANADARKO PETROLEUM CORP COM 032511107 12,323 150,000 SH DEFINED 2 150,000
ANDREW CORP NOTE 034425AB4 1,184 1,050,000 PRN DEFINED 2,3 76,701
ANHEUSER BUSCH CO COM 035229103 2,539 55,500 SH DEFINED 2 55,500
AON CORP COM 037389103 4,183 167,050 SH DEFINED 2 167,050
AQUILA INC COM 03840P102 720 199,400 SH DEFINED 2 199,400
ARMOR HOLDINGS INC NOTE 042260AC3 1,206 1,240,000 PRN DEFINED 2,3 22,959
ARVINMERITOR INC COM 043353101 1,433 80,550 SH DEFINED 2 80,550
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
ASE TEST LIMITED ORD Y02516105 161 25,000 SH DEFINED 2,4 25,000
ASHLAND INC COM 044204105 2,422 33,700 SH DEFINED 2 33,700
AUTOZONE INC. COM 053332102 913 9,875 SH DEFINED 2 9,875
AXIS CAPITAL HOLDINGS LTD SHS G0692U109 1,344 47,500 SH DEFINED 2 47,500
BANK OF NEW YORK COM 064057102 1,183 41,100 SH DEFINED 2 41,100
BAUSCH & LOMB INC FRNT 071707AM5 1,224 800,000 PRN DEFINED 2,3 13,021
BEARINGPOINT INC COM 074002106 3,267 445,650 SH DEFINED 2 445,650
BEST BUY COMPANY INC COM 086516101 2,776 40,500 SH DEFINED 2 40,500
BOEING COMPANY COM 097023105 3,853 58,375 SH DEFINED 2 58,375
BOSTON SCIENTIFIC CORP COM 101137107 216 8,000 SH DEFINED 2 8,000
BOWNE & CO INC COM 103043105 620 42,900 SH DEFINED 2 42,900
BRISTOL-MYERS SQUIBB CO COM 110122108 1,063 42,550 SH DEFINED 2 42,550
BURLINGTON RESOURCES INC COM 122014103 3,370 61,000 SH DEFINED 2 61,000
CABLEVISION SYSTEMS -CL A CL A 12686C109 1,005 31,200 SH DEFINED 2 31,200
CARNIVAL CORP NOTE 143658AS1 905 1,000,000 PRN DEFINED 2,3 16,596
CARNIVAL CORP DBCV 143658AV4 22,206 27,500,000 PRN DEFINED 2,3,4 334,950
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
CATERPILLAR INC COM 149123101 953 10,000 SH DEFINED 2 10,000
CELESTICA INC NOTE 15101QAA6 2,806 5,000,000 PRN DEFINED 2,3 28,374
CENTEX CORP COM 152312104 6,219 88,000 SH DEFINED 2 88,000
CENTRAL EUROPE & RUSSIA FUNDCOM 153436100 801 26,100 SH DEFINED 2 26,100
CIBER INC COM 17163B102 1,098 137,625 SH DEFINED 2 137,625
CIGNA CORP COM 125509109 1,498 14,000 SH DEFINED 2 14,000
CINERGY CORP COM 172474108 3,814 85,100 SH DEFINED 2 85,100
CISCO SYSTEMS INC COM 17275R102 1,147 60,000 SH DEFINED 2 60,000
CIT GROUP INC COM 125581108 2,049 47,675 SH DEFINED 2 47,675
CITIGROUP INC COM 172967101 7,819 169,125 SH DEFINED 2 169,125
CNA SURETY CORPORATION COM 12612L108 407,263 27,425,147 SH DEFINED 1,2,4 27,425,147
COACH INC COM 189754104 1,175 35,000 SH DEFINED 2 35,000
COCA COLA CO COM 191216100 347 8,300 SH DEFINED 2 8,300
COMCAST CORP CL A SPL CL A 20030N200 5,691 190,000 SH DEFINED 2 190,000
COMCAST CORP-CL A CLA 20030N101 3,877 126,400 SH DEFINED 2 126,400
COMMSCOPE INC COM 203372107 781 44,850 SH DEFINED 2 44,850
COMPUTER ASSOCIATES INTL INCCOM 204912109 2,083 75,802 SH DEFINED 2 75,802
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
CORINTHIAN COLLEGES INC COM 218868107 192 15,000 SH DEFINED 2 15,000
CVS CORP COM 126650100 1,186 40,800 SH DEFINED 2 40,800
DANAHER CORP COM 235851102 890 17,000 SH DEFINED 2 17,000
DEL MONTE FOODS CO COM 24522P103 975 90,500 SH DEFINED 2 90,500
DELL COMPUTER CORP COM 24702R101 1,185 30,000 SH DEFINED 2 30,000
DELPHI FINANCIAL GROUP-CL A CLA 247131105 1,160 26,275 SH DEFINED 2 26,275
DEX MEDIA INC COM 25212E100 1,607 65,850 SH DEFINED 2 65,850
DIAGEO PLC-SPONSORED ADR ADR 25243Q205 2,099 35,400 SH DEFINED 2 35,400
DISNEY (WALT) CO NOTE 254687AU0 33,353 32,500,000 PRN DEFINED 2,3,4 1,103,190
DOMINION RESOURCES INC NOTE 25746UAT6 16,504 15,625,000 PRN DEFINED 2,3,4 212,289
DOUBLECLICK INC NOTE 258609AE6 4,998 5,100,000 PRN DEFINED 2,3,4 388,779
DPL INC COM 233293109 2,166 78,900 SH DEFINED 2 78,900
DST SYSTEMS INC DBCV 233326AD9 2,455 2,250,000 PRN DEFINED 2,3 45,840
DUKE ENERGY CORP NOTE 264399EJ1 3,138 2,500,000 PRN DEFINED 2,3,4 105,977
DYCOM INDUSTRIES INC COM 267475101 5,820 293,800 SH DEFINED 2,4 293,800
ECC CAPITAL CORP COM 26826M108 2,321 348,500 SH DEFINED 2,4 348,500
ELECTRONCIS FOR IMAGING DBCV 286082AA0 1,426 1,450,000 PRN DEFINED 2,3 54,884
ELECTRONIC DATA SYSTEMS NOTE 285661AF1 24,225 25,500,000 PRN DEFINED 2,3,4 746,926
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
EMC CORP MASS SR NT NOTE 268648AG7 3,165 3,000,000 PRN DEFINED 2,3 217,391
EMPRESA BRASILIERA DE AE-ADRADR PFD 29081M102 1,984 60,000 SH DEFINED 2 60,000
ENTERGY CORP COM 29364G103 914 12,100 SH DEFINED 2 12,100
EXELON CORP COM 30161N101 3,937 76,700 SH DEFINED 2 76,700
EXXON MOBIL CORP COM 30231G102 1,782 31,000 SH DEFINED 2 31,000
FAIRCHILD SEMICON INTERNATIOCOM 303726103 148 10,000 SH DEFINED 2,4 10,000
FEDERAL HM LOAN MORTGAGE CORCOM 313400301 5,523 84,675 SH DEFINED 2 84,675
FEDERAL NATL MTGE ASSN. COM 313586109 2,632 45,075 SH DEFINED 2 45,075
FIRST AMERICAN CORPORATION COM 318522307 2,655 66,150 SH DEFINED 2 66,150
FIRST CITIZENS BCSHS -CL A CL A 31946M103 275 1,900 SH DEFINED 2 1,900
FLIR SYSTEMS INC NOTE 302445AB7 1,294 870,000 PRN DEFINED 2,3 19,602
FMC CORP (NEW) COM 302491303 1,826 32,525 SH DEFINED 2 32,525
GENERAL CABLE CORP COM 369300108 711 47,925 SH DEFINED 2 47,925
GENERAL ELECTRIC CO COM 369604103 4,539 131,000 SH DEFINED 2 131,000
GENERAL MOTORS SR CONVA370442741 18,240 750,000 PRN DEFINED 2,3,4 750,000
GENZYME CORP NOTE 372917AN4 1,919 1,850,000 PRN DEFINED 2,3 25,968
GILEAD SCIENCES INC COM 375558103 242 5,500 SH DEFINED 2 5,500
GLENBOROUGH REALTY TRUST INCCOM 37803P105 590 28,675 SH DEFINED 2 28,675
GOOGLE INC-CL A CL A 38259P508 1,471 5,000 SH DEFINED 2 5,000
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
GUITAR CENTER MG NOTE 402040AC3 2,245 1,300,000 PRN DEFINED 2,3 37,594
HALLIBURTON COMPANY COM 406216101 287 6,000 SH DEFINED 2 6,000
HANGER ORTHOPEDIC GROUP INC COM 41043F208 278 55,075 SH DEFINED 2 55,075
HEALTH NET INC COM 42222G108 2,290 60,000 SH DEFINED 2 60,000
HERCULES INC COM 427056106 1,486 105,000 SH DEFINED 2,4 105,000
HEWLETT-PACKARD CO. COM 428236103 2,357 100,250 SH DEFINED 2 100,250
HILTON HOTELS CORP NOTE 432848AZ2 1,083 900,000 PRN DEFINED 2,3 40,000
HORACE MANN EDUCATORS COM 440327104 958 50,900 SH DEFINED 2 50,900
HUB GROUP INC-CL A CL A 443320106 138 5,500 SH DEFINED 2 5,500
HUMAN GENOME SCIENCES NOTE 444903AF5 386 400,000 PRN DEFINED 2,3 7,111
HUTCHINSON TECH NOTE 448407AE6 1,386 1,000,000 PRN DEFINED 2,3 33,512
IDACORP INC COM 451107106 701 22,875 SH DEFINED 2 22,875
IKON MBIA INC. COM 55262C100 2,966 50,000 SH DEFINED 2 50,000
INCO LTD DBCV 453258AT2 3,964 3,152,000 PRN DEFINED 2 100,660
INTEGRA LIFESCIENCES HLD NOTE 457985AB5 660 635,000 PRN DEFINED 2,3 18,596
INTEL CORP COM 458140100 1,303 50,000 SH DEFINED 2 50,000
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
INTERNATIONAL BUSINESS MACHICOM 459200101 7,791 105,000 SH DEFINED 2 105,000
INTERPUBLIC GROUP COS NOTE 460690AT7 3,124 2,570,000 PRN DEFINED 2,3 206,924
INTL RECTIFIER NOTE 460254AE5 44,224 44,897,000 PRN DEFINED 2,3,4 607,250
INVITROGEN INC NOTE 46185RAJ9 2,363 1,800,000 PRN DEFINED 2,3 26,378
IPC HOLDINGS LTD ORD G4933P101 3,256 82,175 SH DEFINED 2 82,175
ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848 32,955 3,250,000 SH DEFINED 2 3,250,000
JANUS CAPITAL GROUP INC. COM 47102X105 1,417 94,200 SH DEFINED 2 94,200
JOHNSON & JOHNSON COM 478160104 1,300 20,000 SH DEFINED 2 20,000
JPMORGAN CHASE & COMPANY COM 46625H100 1,762 49,900 SH DEFINED 2 49,900
KAYDON CORP NOTE 486587AB4 700 650,000 PRN DEFINED 2,3 22,291
KELLWOOD CO COM 488044108 616 22,900 SH DEFINED 2 22,900
KELLY SERVICES INC -CL A CL A 488152208 649 22,675 SH DEFINED 2 22,675
KENNAMETAL INC COM 489170100 860 18,750 SH DEFINED 2 18,750
KIMBERLY CLARK COM 494368103 1,252 20,000 SH DEFINED 2 20,000
L-3 COMMUNICATIONS CORP COM 502424104 230 3,000 SH DEFINED 2 3,000
LEAR SEATING CORP COM 521865105 3,415 93,875 SH DEFINED 2 93,875
LEHMAN_BROTHERS_HOLDING INC COM 524908100 1,886 19,000 SH DEFINED 2 19,000
LENNOX INTERNATL NOTE 526107AB3 1,014 815,000 PRN DEFINED 2,3 45,059
LIBBEY INC COM 529898108 299 18,900 SH DEFINED 2 18,900
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
LIBERTY MEDIA COMSERA 530718105 4,208 413,000 SH DEFINED 2 413,000
LINCARE HOLDINGS DBCV 532791AB6 1,348 1,340,000 PRN DEFINED 2,3 25,127
LINCOLN NATIONAL CORP INDIANCOM 534187109 4,692 100,000 SH DEFINED 2 100,000
LOWES COMPANIES NOTE 548661CG0 4,027 3,900,000 PRN DEFINED 2,3 67,127
MARRIOTT INTERNATIONAL- CL ACLA 571903202 1,535 22,500 SH DEFINED 2 22,500
MARSH & MCLENNAN COS INC COM 571748102 416 15,000 SH DEFINED 2 15,000
MASSEY ENERGY CO NOTE 576203AB9 621 300,000 PRN DEFINED 2,3 15,472
MATERIALS SELECT SECTOR SPDRSPDR 81369Y100 2,443 90,000 SH DEFINED 2 90,000
MAYTAG CORP. COM 578592107 502 32,050 SH DEFINED 2 32,050
MCI INC COM 552691107 2,885 112,200 SH DEFINED 2 112,200
MCKESSON HBOC INC COM 58155Q103 2,136 47,700 SH DEFINED 2 47,700
MEDIACOM COMMUNICATIONS CORPCL A 58446K105 1,374 200,000 SH DEFINED 2 200,000
MEDICIS PHARMACE NOTE 58470KAA2 1,759 1,500,000 PRN DEFINED 2,3 25,818
MEDTRONIC INC COM 585055106 1,295 25,000 SH DEFINED 2 25,000
MEDTRONIC INC DBCV 585055AD8 4,956 5,000,000 PRN DEFINED 2,3,4 80,898
MERRILL LYNCH & CO NOTE 590188W46 4,988 5,000,000 PRN DEFINED 2,3 69,107
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
MERRILL LYNCH & CO INC COM 590188108 1,018 18,500 SH DEFINED 2 18,500
METLIFE INC COM 59156R108 3,213 71,500 SH DEFINED 2 71,500
MGI PHARMA INC NOTE 552880AB2 624 915,000 PRN DEFINED 2,3 21,744
MICROSOFT CORP COM 594918104 4,776 192,275 SH DEFINED 2 192,275
MILACRON INC COM 598709103 172 91,150 SH DEFINED 2 91,150
MONEYGRAM INTERNATIONAL-W/I COM 60935Y109 1,658 86,700 SH DEFINED 2 86,700
MORGAN ST DEAN WITTER DISCOVCOM 617446448 1,865 35,550 SH DEFINED 2 35,550
MORGAN STANLEY ASIA-PACIF FDCOM 61744U106 87 6,600 SH DEFINED 2 6,600
NACCO INDS INC CL A CL A 629579103 665 6,200 SH DEFINED 2 6,200
NBTY INC COM 628782104 371 14,300 SH DEFINED 2 14,300
NCI BUILDING SYSTEMS INC COM 628852105 700 21,350 SH DEFINED 2 21,350
NEUBERGER BERMAN REALTY INC COM 64126G109 752 40,000 SH DEFINED 2 40,000
NEWS AMER INC NOTE 652482AZ3 30,203 52,300,000 PRN DEFINED 2,3,4 1,270,712
NEWS CORP LTD -SPONS ADR PRFCL A 65248E104 7,733 477,936 SH DEFINED 2 477,936
NISOURCE INC COM 65473P105 3,240 131,000 SH DEFINED 2 131,000
NORTEL NETWORKS NOTE 656568AB8 8,393 9,000,000 PRN DEFINED 2,4 900,000
NORTHERN TRUST CORP COM 665859104 1,641 36,000 SH DEFINED 2 36,000
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
NOVOGEN LIMITED-SPONS ADR ADR 67010F103 360 19,950 SH DEFINED 2 19,950
OAK INDUSTRIES NOTE 671400AL3 19,209 17,952,000 PRN DEFINED 2,3,4 1,156,699
OLD REPUBLIC INTL CORP COM 680223104 1,374 54,338 SH DEFINED 2 54,338
OMNICOM GROUP COM 681919106 1,437 18,000 SH DEFINED 2 18,000
OMNICOM GROUP NOTE 681919AM8 3,096 3,100,000 PRN DEFINED 2,3 28,179
ON SEMICONDUCTOR CORPORATIONCOM 682189105 198 43,100 SH DEFINED 2,4 43,100
P G 7 E CORPORATION COM 69331C108 3,506 93,400 SH DEFINED 2 93,400
PEPSICO INCORPORATED COM 713448108 1,726 32,000 SH DEFINED 2 32,000
PETRO-CANADA COM 71644E102 1,954 30,000 SH DEFINED 2 30,000
PETROLEO BRASILEIRO S.A.-ADRADR 71654V101 2,762 60,000 SH DEFINED 2 60,000
PFIZER INC COM 717081103 1,280 46,400 SH DEFINED 2 46,400
PHARMACEUTICAL HOLDRS TRUST DEPOSIT71712A206 10,998 150,000 SH DEFINED 2 150,000
PHH CORP COM 693320202 777 30,225 SH DEFINED 2 30,225
PHILIPS ELECTRONICS-NY SHR NY REG S500472303 2,501 99,300 SH DEFINED 2 99,300
PHOTRONICS INC NOTE 719405AE2 85 55,000 PRN DEFINED 2,3 3,461
PIONEER NATURAL RESOURCES COCOM 723787107 4,503 107,000 SH DEFINED 2 107,000
PLACER DOME INC COM 725906101 1,014 65,900 SH DEFINED 2 65,900
PMI GROUP INC COM 69344M101 1,559 40,000 SH DEFINED 2 40,000
PRAXAIR INC COM 74005P104 1,398 30,000 SH DEFINED 2 30,000
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
PREMIUM STANDARD FARMS INC COM 74060C105 8,543 637,529 SH DEFINED 2,3 637,529
PRIDE INTERNATIONAL INC NOTE 74153QAD4 2,093 1,750,000 PRN DEFINED 2,3 68,083
PRIORITY HEALTHCARE CORP-B CL B 74264T102 1,201 47,375 SH DEFINED 2 47,375
PROCTER & GAMBLE CO COM 742718109 222 4,200 SH DEFINED 2 4,200
PUBLIC SERVICE CO OF N MEX COM 69349H107 39,979 1,387,681 SH DEFINED 2,4 1,387,681
PULTE CORP COM 745867101 11,795 140,000 SH DEFINED 2 140,000
R.H. DONNELLEY CORP COM 74955W307 338 5,450 SH DEFINED 2 5,450
RENAISSANCERE HOLDINGS LTD COM G7496G103 1,389 28,200 SH DEFINED 2 28,200
RENT-A-CENTER INC COM 76009N100 1,840 79,025 SH DEFINED 2 79,025
RESMED INC NOTE 761152AB3 1,655 1,450,000 PRN DEFINED 2,3 23,927
RHODIA SA-SPONSORED ADR ADR 762397107 543 305,200 SH DEFINED 2,4 305,200
ROBBINS & MYERS INC COM 770196103 285 13,250 SH DEFINED 2 13,250
SANMINA CORP SDCV 800907AD9 598 1,098,000 PRN DEFINED 2,3 7,118
SAPPI LTD- SPONSORED ADR ADR NEW 803069202 1,573 145,400 SH DEFINED 2 145,400
SARA LEE CORP COM 803111103 1,695 85,550 SH DEFINED 2 85,550
SCANA CORP COM 80589M102 2,161 50,600 SH DEFINED 2 50,600
SCHLUMBERGER LIMITED COM 806857108 2,506 33,000 SH DEFINED 2 33,000
SCHLUMBERGER LIMITED DBCV 806857AC2 9,754 8,500,000 PRN DEFINED 2,3,4 117,517
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
SCHWEITZER-MAUDUIT INTL INC COM 808541106 406 13,050 SH DEFINED 2 13,050
SCRIPPS CO (E.W.)-CL A CL A 811054204 976 20,000 SH DEFINED 2 20,000
SENOMYX INC COM 81724Q107 677 41,000 SH DEFINED 2 41,000
SLM CORP DBCV 78442PAC0 506 500,000 PRN DEFINED 2,3 7,579
SOLECTRON CORP NOTE 834182AT4 866 1,160,000 PRN DEFINED 2,3 119,998
SPHERION CORPORATION COM 848420105 970 147,000 SH DEFINED 2 147,000
SPRINT CORP COM 852061100 3,764 150,000 SH DEFINED 2 150,000
ST JUDE MEDICAL INC COM 790849103 872 20,000 SH DEFINED 2 20,000
STREETTRACKS GOLD TRUST GOLD SHS863307104 19,548 450,000 SH DEFINED 2 450,000
SUN HEALTHCARE GROUP INC-W/ICOM 866933401 16 2,480 SH DEFINED 2,4 2,480
SYMANTEC CORP COM 871503108 1,087 50,000 SH DEFINED 2 50,000
TANDY CORP COM 750438103 1,117 48,225 SH DEFINED 2 48,225
TARGET CORP COM 87612E106 2,176 40,000 SH DEFINED 2 40,000
TEEKAY SHIPPING CORP COM Y8564W103 4,829 110,000 SH DEFINED 2 110,000
TEVA PHARMACEUT FIN BV DBCV 88164RAA5 2,778 2,835,000 PRN DEFINED 2,4 74,801
TEXTRON INC COM 883203101 1,380 18,200 SH DEFINED 2 18,200
TIME WARNER INC COM 887317105 2,938 175,800 SH DEFINED 2 175,800
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
TJX COS INC NOTE 872540AL3 5,610 6,800,000 PRN DEFINED 2,3,4 222,136
TJX COS. INC. NEW COM 872540109 2,153 88,425 SH DEFINED 2 88,425
TOMMY HILFIGER CORP ORD G8915Z102 351 25,475 SH DEFINED 2 25,475
TORCHMARK CORP COM 891027104 2,024 38,775 SH DEFINED 2 38,775
TRIARC COS-B CLB SER1895927309 516 34,700 SH DEFINED 2 34,700
TRINITY INDUSTRIES COM 896522109 754 23,525 SH DEFINED 2 23,525
TSAKOS ENERGY NAVIGATION LTDSHS G9108L108 775 20,000 SH DEFINED 2 20,000
TYCO INTERNATIONAL LTD COM 902124106 1,329 45,500 SH DEFINED 2 45,500
TYCO INTL GROUP SA DBCV 902118BF4 18,060 14,000,000 PRN DEFINED 2,3,4 614,488
UNION PACIFIC COM 907818108 2,078 32,075 SH DEFINED 2 32,075
UNITED NATIONAL GROUP LTD-A COM 90933T109 502 29,200 SH DEFINED 2 29,200
UNITED PARCEL SERVICE -CL B CL B 911312106 242 3,500 SH DEFINED 2 3,500
UNITED STATIONERS INC COM 913004107 739 15,050 SH DEFINED 2 15,050
UNITEDHEALTH GROUP INC COM 91324P102 1,356 26,000 SH DEFINED 2 26,000
UNIVERSAL CORP-VA COM 913456109 618 14,125 SH DEFINED 2 14,125
UNOCAL CORP COM 915289102 3,597 55,300 SH DEFINED 2 55,300
USI HOLDINGS CORP COM 90333H101 731 56,725 SH DEFINED 2 56,725
VALASSIS COMMUNICATIONS INC COM 918866104 634 17,100 SH DEFINED 2 17,100
VALERO ENERGY CORP COM 91913Y100 8,702 110,000 SH DEFINED 2 110,000
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
VENTAS INC COM 92276F100 15,849 524,806 SH DEFINED 2,4 524,806
VERZION COMMUNICATIONS INC COM 92343V104 912 26,400 SH DEFINED 2 26,400
VIAD CORP COM 92552R406 1,590 56,100 SH DEFINED 2 56,100
VINTAGE PETROLEUM INC COM 927460105 3,809 125,000 SH DEFINED 2 125,000
WACHOVIA CORP COM 929903102 1,910 38,500 SH DEFINED 2 38,500
WASHINGTON MUTUAL INC COM 939322103 1,346 33,075 SH DEFINED 2 33,075
WEYERHAEUSER COMPANY COM 962166104 3,876 60,900 SH DEFINED 2 60,900
WHIRLPOOL CORPORATION COM 963320106 3,085 44,000 SH DEFINED 2 44,000
WILLIAMS COS INC COM 969457100 3,217 169,300 SH DEFINED 2 169,300
WISCONSIN ENERGY CORP COM 976657106 2,901 74,375 SH DEFINED 2 74,375
WRIGLEY WM JR CO COM 982526105 207 3,000 SH DEFINED 2 3,000
WYETH COM 983024100 1,064 23,900 SH DEFINED 2 23,900
XCEL ENERGY INC COM 98389B100 1,702 87,200 SH DEFINED 2 87,200
XL CAPITAL LTD-CLASS A CL A G98255105 1,905 25,600 SH DEFINED 2 25,600
YELLOW ROADWAY CORP NOTE 985577AA3 1,900 1,210,000 PRN DEFINED 2,3 30,836
YORK INTERNATIONAL CORP COM 986670107 636 16,725 SH DEFINED 2 16,725