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 1,641 20,000 SH DEFINED 2 20,000
99 CENTS ONLY STORES COM 65440K106 1,616 100,000 SH DEFINED 2,4 100,000
ABBOTT LABORATORIES COM 002824100 1,166 25,000 SH DEFINED 2 25,000
ACCENTURE LTD CL A G1150G111 1,455 53,900 SH DEFINED 2 53,900
ACCREDO HEALTH INC COM 00437V104 516 18,600 SH DEFINED 2 18,600
ADVANCED MEDICAL OPTICS NOTE 00763MAG3 2,012 1,850,000 PRN DEFINED 2,3 36,823
AETNA INC COM 00817Y108 437 3,500 SH DEFINED 2 3,500
AFTERMARKET TECHNOLOGY CORP COM 008318107 300 18,650 SH DEFINED 2 18,650
AGILENT TECH INC DBCV 00846UAB7 45,898 45,500,000 PRN DEFINED 2,3,4 1,412,165
ALCON INC COM SHS H01301102 484 6,000 SH DEFINED 2 6,000
ALLSTATE CORPORATION COM 020002101 1,583 30,600 SH DEFINED 2 30,600
AMBAC FINANCIAL GROUP INC COM 023139108 1,519 18,500 SH DEFINED 2 18,500
AMERICAN EXPRESS COM 025816109 1,127 20,000 SH DEFINED 2 20,000
AMERICAN GREET NOTE 026375AJ4 1,063 560,000 PRN DEFINED 2,3 40,290
AMERICAN HOME MORTGAGE INVESCOM 02660R107 826 24,125 SH DEFINED 2 24,125
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 INTL GROUP INC COM 026874107 5,254 80,000 SH DEFINED 2 80,000
AMERICAN NATIONAL INSURANCE COM 028591105 562 5,400 SH DEFINED 2 5,400
AMERICAN PHYSICIANS CAP INC COM 028884104 1,231 34,175 SH DEFINED 2 34,175
AMERUS GROUP CO COM 03072M108 775 17,100 SH DEFINED 2 17,100
AMGEN INC COM 031162100 1,283 20,000 SH DEFINED 2 20,000
AMGEN INC NOTE 031162AE0 15,036 20,250,000 PRN DEFINED 2,4 179,417
ANADARKO PETROLEUM CORP COM 032511107 8,425 130,000 SH DEFINED 2 130,000
ANDREW CORP NOTE 034425AB4 1,358 1,050,000 PRN DEFINED 2,3 76,701
ANHEUSER BUSCH CO COM 035229103 1,760 34,700 SH DEFINED 2 34,700
AON CORP COM 037389103 1,984 83,150 SH DEFINED 2 83,150
APACHE CORP COM 037411105 212 4,200 SH DEFINED 2 4,200
ARCHER DANIELS COM 039483102 2,231 100,000 SH DEFINED 2 100,000
ARVINMERITOR INC COM 043353101 1,338 59,825 SH DEFINED 2 59,825
ASHLAND INC COM 044204105 1,967 33,700 SH DEFINED 2 33,700
ASSURANT INC COM 04621X108 532 17,400 SH DEFINED 2 17,400
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
ATMI INC NOTE 00207RAC5 581 500,000 PRN DEFINED 2,3 22,535
AXIS CAPITAL HOLDINGS LTD SHS G0692U109 1,300 47,500 SH DEFINED 2 47,500
BANK OF NEW YORK COM 064057102 1,374 41,100 SH DEFINED 2 41,100
BEARINGPOINT INC COM 074002106 3,218 400,750 SH DEFINED 2 400,750
BEAZER HOMES USA INC COM 07556Q105 804 5,500 SH DEFINED 2 5,500
BEST BUY COMPANY INC COM 086516101 2,466 41,500 SH DEFINED 2 41,500
BOEING COMPANY COM 097023105 3,809 73,575 SH DEFINED 2 73,575
BOSTON SCIENTIFIC CORP COM 101137107 1,529 43,000 SH DEFINED 2 43,000
BOWNE & CO INC COM 103043105 1,130 69,525 SH DEFINED 2 69,525
BP PLC-SPONS ADR 055622104 1,156 19,800 SH DEFINED 2 19,800
BRISTOL-MYERS SQUIBB CO COM 110122108 1,090 42,550 SH DEFINED 2 42,550
BROCADE COMMUNICATIONS NOTE 111621AB4 19,712 20,749,000 PRN DEFINED 2,3,4 474,262
BURLINGTON RESOURCES INC COM 122014103 3,306 76,000 SH DEFINED 2 76,000
CABLEVISION SYSTEMS CL A 12686C109 3,486 140,000 SH DEFINED 2 140,000
CABOT OIL & GAS CORP COM 127097103 3,540 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
CATERPILLAR INC COM 149123101 975 10,000 SH DEFINED 2 10,000
CENTEX CORP COM 152312104 4,171 70,000 SH DEFINED 2 70,000
CHESAPEAKE ENERGY CORP PFDCONV 165167800 306 2,500 SH DEFINED 2,3,4 2,500
CHEVRON TEXACO CORP COM 166764100 1,838 35,000 SH DEFINED 2 35,000
CIGNA CORP COM 125509109 1,487 18,225 SH DEFINED 2 18,225
CINERGY CORP COM 172474108 3,018 72,500 SH DEFINED 2 72,500
CISCO SYSTEMS INC COM 17275R102 1,544 80,000 SH DEFINED 2 80,000
CIT GROUP INC COM 125581108 2,184 47,675 SH DEFINED 2 47,675
CITIGROUP INC COM 172967101 9,685 201,025 SH DEFINED 2 201,025
CNA SURETY CORPORATION COM 12612L108 366,126 27,425,147 SH DEFINED 1,2,4 27,425,147
CNF INC COM 12612W104 2,118 42,275 SH DEFINED 2 42,275
COCA COLA CO COM 191216100 958 23,000 SH DEFINED 2 23,000
COMCAST CORP CLA 20030N101 3,325 99,900 SH DEFINED 2 99,900
COMCAST CORP CL A 20030N200 8,995 273,900 SH DEFINED 2 273,900
COMMSCOPE INC COM 203372107 253 13,375 SH DEFINED 2 13,375
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
COMPUTER ASSOCIATES INTL INCCOM 204912109 2,352 75,725 SH DEFINED 2 75,725
COOPER CAMERON CORP DBCV 216640AE2 3,161 3,000,000 PRN DEFINED 2,4 43,457
CORINTHIAN COLLEGES INC COM 218868107 283 15,000 SH DEFINED 2 15,000
CORNING INC DBCV 219350AJ4 2,827 3,579,000 PRN DEFINED 2,3,4 29,815
CORNING INC NOTE 219350AK1 2,428 2,000,000 PRN DEFINED 2,4 206,718
CREDENCE SYSTEMS CORP NOTE 225302AF5 1,080 1,000,000 PRN DEFINED 2,3 88,417
CVS CORP COM 126650100 1,577 35,000 SH DEFINED 2 35,000
CYTEC INDUSTRIES INC COM 232820100 729 14,175 SH DEFINED 2 14,175
DANAHER CORP COM 235851102 976 17,000 SH DEFINED 2 17,000
DEL MONTE FOODS CO COM 24522P103 997 90,500 SH DEFINED 2 90,500
DELL COMPUTER CORP COM 24702R101 1,264 30,000 SH DEFINED 2 30,000
DELPHI FINANCIAL GROUP CLA 247131105 1,674 36,275 SH DEFINED 2 36,275
DEX MEDIA INC COM 25212E100 1,644 65,850 SH DEFINED 2 65,850
DIAGEO PLC-SPONSORED ADR 25243Q205 4,474 77,300 SH DEFINED 2 77,300
DISNEY (WALT) CO NOTE 254687AU0 38,938 35,000,000 PRN DEFINED 2,3,4 1,188,051
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
DOUBLECLICK INC NOTE 258609AE6 6,966 7,500,000 PRN DEFINED 2,3,4 571,733
DREAMWORKS ANIMATION SKG CL A 26153C103 64 1,700 SH DEFINED 2 1,700
DST SYSTEMS INC DBCV 233326AD9 2,131 1,710,000 PRN DEFINED 2,3 34,838
DUKE ENERGY CORP NOTE 264399EJ1 7,858 7,000,000 PRN DEFINED 2,3,4 296,736
ELECTRONCIS FOR IMAGING DBCV 286082AA0 1,399 1,450,000 PRN DEFINED 2,3 54,884
ELECTRONIC DATA SYSTEMS NOTE 285661AF1 29,047 27,500,000 PRN DEFINED 2,3,4 805,508
EMPRESA BRASILIERA DE AE ADR PFD 29081M102 1,338 40,000 SH DEFINED 2 40,000
ENTERGY CORP COM 29364G103 2,501 37,000 SH DEFINED 2 37,000
ESTERLINE TECHNOLOGIES CORP COM 297425100 434 13,300 SH DEFINED 2 13,300
EXELON CORP COM 30161N101 5,557 126,100 SH DEFINED 2 126,100
FALCON FINANCIAL INVESTMENT COM 306032103 1,337 191,000 SH DEFINED 2,4 191,000
FEDERAL HM LOAN MORTGAGE CORCOM 313400301 2,924 39,675 SH DEFINED 2 39,675
FEDERAL NATL MTGE ASSN. COM 313586109 1,424 20,000 SH DEFINED 2 20,000
FEDERATED DEPART STORES INC COM 31410H101 1,734 30,000 SH DEFINED 2 30,000
FIRST AMERICAN CORPORATION COM 318522307 315 8,950 SH DEFINED 2 8,950
FIRST CITIZENS BCSHS CL A 31946M103 282 1,900 SH DEFINED 2 1,900
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
FISHER SCIENTIFIC INTL NOTE 338032AW5 372 250,000 PRN DEFINED 2,3 5,267
FLIR SYSTEMS INC NOTE 302445AB7 1,138 700,000 PRN DEFINED 2,3 15,771
FMC CORP (NEW) COM 302491303 1,326 27,450 SH DEFINED 2 27,450
GARDNER DENVER INC COM 365558105 1,219 33,600 SH DEFINED 2 33,600
GATX CORP COM 361448103 368 12,450 SH DEFINED 2 12,450
GENERAL CABLE CORP COM 369300108 664 47,925 SH DEFINED 2 47,925
GENERAL ELECTRIC CO COM 369604103 4,964 136,000 SH DEFINED 2 136,000
GENERAL MARITIME CORP SHS Y2692M103 4,395 110,000 SH DEFINED 2 110,000
GENERAL MOTORS SR CONVA370442741 20,072 800,000 SH DEFINED 2,3,4 800,000
GILEAD SCIENCES INC COM 375558103 192 5,500 SH DEFINED 2 5,500
GLENBOROUGH REALTY TRUST INCCOM 37803P105 610 28,675 SH DEFINED 2 28,675
GLIMCHER REALTY TRUST SH BEN 379302102 317 11,425 SH DEFINED 2 11,425
GUIDANT CORP COM 401698105 1,730 24,000 SH DEFINED 2 24,000
GUITAR CENTER MG NOTE 402040AC3 2,101 1,300,000 PRN DEFINED 2,3 37,594
HANGER ORTHOPEDIC GROUP INC COM 41043F208 230 28,350 SH DEFINED 2 28,350
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
HARTFORD FINANCIAL SVCS COM 416515104 693 10,000 SH DEFINED 2 10,000
HEALTH NET INC COM 42222G108 3,862 133,775 SH DEFINED 2 133,775
HERMAN MILLER INC COM 600544100 229 8,300 SH DEFINED 2 8,300
HEWLETT-PACKARD CO. COM 428236103 2,102 100,250 SH DEFINED 2 100,250
HORACE MANN EDUCATORS COM 440327104 971 50,900 SH DEFINED 2 50,900
HUMAN GENOME SCIENCES NOTE 444903AF5 4,433 4,500,000 PRN DEFINED 2,3,4 80,000
HUTCHINSON TECH NOTE 448407AE6 1,316 1,000,000 PRN DEFINED 2,3 33,512
IKON MBIA INC. COM 55262C100 1,269 20,050 SH DEFINED 2 20,050
INCO LTD NOTE 453258AM7 5,006 5,000,000 PRN DEFINED 2,4 132,765
INCO LTD DBCV 453258AT2 4,121 3,152,000 PRN DEFINED 2 100,660
INTEGRA LIFESCIENCES HLD NOTE 457985AB5 791 635,000 PRN DEFINED 2,3 18,596
INTEL CORP COM 458140100 1,170 50,000 SH DEFINED 2 50,000
INTERNATIONAL BUSINESS MACHICOM 459200101 5,422 55,000 SH DEFINED 2 55,000
INTERPUBLIC GROUP COS NOTE 460690AT7 2,188 1,670,000 PRN DEFINED 2,3 134,461
INTL GAME TECHNOLOGY COM 459902102 206 6,000 SH DEFINED 2 6,000
INTL GAME TECHNOLOGY DBCV 459902AL6 1,528 2,000,000 PRN DEFINED 2,4 42,341
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
INTL RECTIFIER NOTE 460254AE5 41,583 41,897,000 PRN DEFINED 2,3,4 566,674
INVITROGEN INC NOTE 46185RAJ9 2,151 1,800,000 PRN DEFINED 2,3 26,378
IPC HOLDINGS LTD ORD G4933P101 3,575 82,175 SH DEFINED 2 82,175
IVAX CORP NOTE 465823AJ1 1,790 1,850,000 PRN DEFINED 2,3 77,440
JANUS CAPITAL GROUP INC. COM 47102X105 968 57,600 SH DEFINED 2 57,600
JOHNSON & JOHNSON COM 478160104 1,268 20,000 SH DEFINED 2 20,000
JPMORGAN CHASE & COMPANY COM 46625H100 1,947 49,900 SH DEFINED 2 49,900
KAYDON CORP NOTE 486587AB4 825 650,000 PRN DEFINED 2,3 22,291
KELLY SERVICES INC CL A 488152208 117 3,871 SH DEFINED 2 3,871
KENNAMETAL INC COM 489170100 498 10,000 SH DEFINED 2 10,000
KIMBERLY CLARK COM 494368103 1,645 25,000 SH DEFINED 2 25,000
L-3 COMMUNICATIONS CORP COM 502424104 220 3,000 SH DEFINED 2 3,000
LEAR SEATING CORP COM 521865105 3,147 51,575 SH DEFINED 2 51,575
LEHMAN BROTHERS HOLDING INC COM 524908100 1,662 19,000 SH DEFINED 2 19,000
LENNOX INTERNATL NOTE 526107AB3 1,039 815,000 PRN DEFINED 2,3 45,059
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
LIBBEY INC COM 529898108 175 7,875 SH DEFINED 2 7,875
LIBERTY MEDIA COMSERA 530718105 4,535 413,000 SH DEFINED 2 413,000
LIBERTY MEDIA INTL INC-A COM 530719103 73 1,584 SH DEFINED 2 1,584
LINCOLN NATIONAL CORP INDIANCOM 534187109 1,867 40,000 SH DEFINED 2 40,000
LOCKHEED MARTIN CORP COM 539830109 861 15,500 SH DEFINED 2 15,500
LOWES COMPANIES NOTE 548661CG0 21,050 20,000,000 PRN DEFINED 2,3,4 344,240
MASCO CORPORATION COM 574599106 365 10,000 SH DEFINED 2 10,000
MASSEY ENERGY CO NOTE 576203AB9 597 300,000 PRN DEFINED 2,3 15,472
MAYTAG CORP. COM 578592107 676 32,050 SH DEFINED 2 32,050
MBNA CORPORATION COM 55262L100 1,567 55,600 SH DEFINED 2 55,600
MCKESSON HBOC INC COM 58155Q103 2,394 76,100 SH DEFINED 2 76,100
MEDIACOM COMMUNICATIONS CORPCL A 58446K105 1,250 200,000 SH DEFINED 2 200,000
MEDICIS PHARMACE NOTE 58470KAA2 1,973 1,500,000 PRN DEFINED 2,3 25,818
MEDTRONIC INC COM 585055106 1,242 25,000 SH DEFINED 2 25,000
MEDTRONIC INC DBCV 585055AB2 5,056 5,000,000 PRN DEFINED 2,3,4 80,898
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 1,195 20,000 SH DEFINED 2 20,000
METHANEX CORP COM 59151K108 2,009 110,000 SH DEFINED 2 110,000
METLIFE INC COM 59156R108 2,896 71,500 SH DEFINED 2 71,500
MICRON TECH NOTE 595112AG8 1,774 1,500,000 PRN DEFINED 2,3 127,248
MICROSOFT CORP COM 594918104 3,283 122,900 SH DEFINED 2 122,900
MILACRON INC COM 598709103 309 91,150 SH DEFINED 2 91,150
MONEYGRAM INTERNATIONAL COM 60935Y109 1,833 86,700 SH DEFINED 2 86,700
MORGAN STANLEY ASIA-PACIF COM 61744U106 906 70,700 SH DEFINED 2 70,700
NACCO INDS INC CL A 629579103 653 6,200 SH DEFINED 2 6,200
NCI BUILDING SYSTEMS INC COM 628852105 835 22,275 SH DEFINED 2 22,275
NEUBERGER BERMAN REALTY INC COM 64126G109 762 40,000 SH DEFINED 2 40,000
NEWS CORP LTD CL A 65248E104 7,860 421,214 SH DEFINED 2 421,214
NISOURCE INC COM 65473P105 2,984 131,000 SH DEFINED 2 131,000
NORTEL NETWORKS NOTE 656568AB8 8,753 9,000,000 PRN DEFINED 2,4 900,000
NORTHERN TRUST CORP COM 665859104 1,749 36,000 SH DEFINED 2 36,000
NOVOGEN LIMITED-SPONS ADR ADR 67010F103 551 24,950 SH DEFINED 2 24,950
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
OAK INDUSTRIES NOTE 671400AL3 18,580 17,952,000 PRN DEFINED 2,3,4 1,156,699
OHIO CASUALTY CORP COM 677240103 789 33,975 SH DEFINED 2 33,975
OLD REPUBLIC INTL CORP COM 680223104 2,640 104,338 SH DEFINED 2 104,338
OMNICOM GROUP NOTE 681919AK2 3,940 4,000,000 PRN DEFINED 2,4 36,360
OMNICOM GROUP NOTE 681919AM8 12,484 12,500,000 PRN DEFINED 2,3,4 113,625
P G 7 E CORPORATION COM 69331C108 3,654 109,800 SH DEFINED 2 109,800
PAPA JOHN'S INTL INC COM 698813102 328 9,525 SH DEFINED 2 9,525
PAR PHARMACEUTICAL COS NOTE 717125AC2 4,625 5,000,000 PRN DEFINED 2,4 56,330
PEPSICO INCORPORATED COM 713448108 1,670 32,000 SH DEFINED 2 32,000
PETRO-CANADA COM 71644E102 1,531 30,000 SH DEFINED 2 30,000
PFIZER INC COM 717081103 1,476 54,900 SH DEFINED 2 54,900
PHARMACEUTICAL HOLDRS TRUST DEPOSIT71712A206 1,308 18,000 SH DEFINED 2 18,000
PHILIPS ELECTRONICS-NY NY REG S500472303 3,151 118,900 SH DEFINED 2 118,900
PHILLIPS PETROLEUM COMPANY COM 20825C104 1,600 18,425 SH DEFINED 2 18,425
PHOTRONICS INC NOTE 719405AE2 170 135,000 PRN DEFINED 2,3 8,496
PIONEER NATURAL RESOURCES COCOM 723787107 3,756 107,000 SH DEFINED 2 107,000
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
PIONEER STANDARD ELECTRONICSCOM 00847J105 286 16,700 SH DEFINED 2 16,700
PLACER DOME INC COM 725906101 1,243 65,900 SH DEFINED 2 65,900
PMI GROUP INC COM 69344M101 1,670 40,000 SH DEFINED 2 40,000
PRAXAIR INC COM 74005P104 1,325 30,000 SH DEFINED 2 30,000
PRECISION CASTPARTS CORP COM 740189105 1,726 26,275 SH DEFINED 2 26,275
PRIORITY HEALTHCARE CORP CL B 74264T102 815 37,450 SH DEFINED 2 37,450
PUBLIC SERVICE CO OF N MEX COM 69349H107 474 18,738 SH DEFINED 2 18,738
PUBLIC SVC ENTERPRISE GRP INCOM 744573106 538 10,400 SH DEFINED 2 10,400
PULTE CORP COM 745867101 8,932 140,000 SH DEFINED 2 140,000
R.H. DONNELLEY CORP COM 74955W307 663 11,225 SH DEFINED 2 11,225
RENT-A-CENTER INC COM 76009N100 1,371 51,750 SH DEFINED 2 51,750
RESMED INC NOTE 761152AB3 1,533 1,450,000 PRN DEFINED 2,3 23,927
ROBBINS & MYERS INC COM 770196103 316 13,250 SH DEFINED 2 13,250
RYLAND GROUP INC COM 783764103 2,302 40,000 SH DEFINED 2 40,000
SANMINA CORP SDCV 800907AD9 40,711 77,915,000 PRN DEFINED 2,3,4 505,092
SAPPI LTD ADR NEW 803069202 2,108 145,400 SH DEFINED 2 145,400
SARA LEE CORP COM 803111103 2,065 85,550 SH DEFINED 2 85,550
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
SCANA CORP COM 80589M102 2,660 67,500 SH DEFINED 2 67,500
SCHLUMBERGER LIMITED COM 806857108 2,209 33,000 SH DEFINED 2 33,000
SCHLUMBERGER LIMITED DBCV 806857AC2 3,285 3,000,000 PRN DEFINED 2,4 41,477
SCHWEITZER-MAUDUIT INTL INC COM 808541106 443 13,050 SH DEFINED 2 13,050
SOLECTRON CORP NOTE 834182AS6 3,475 3,960,000 PRN DEFINED 2,3,4 409,649
SPHERION CORPORATION COM 848420105 1,026 122,175 SH DEFINED 2 122,175
SPRINT CORP COM 852061100 4,970 200,000 SH DEFINED 2 200,000
SUN HEALTHCARE GROUP INC-W/ICOM 866933401 23 2,480 SH DEFINED 2,4 2,480
SYBASE INC COM 871130100 2,264 113,500 SH DEFINED 2 113,500
SYMANTEC CORP COM 871503108 1,288 50,000 SH DEFINED 2 50,000
TARGET CORP COM 87612E106 2,077 40,000 SH DEFINED 2 40,000
TECH DATA CORP SDCV 878237AC0 2,541 2,500,000 PRN DEFINED 2,4 41,999
TEEKAY SHIPPING CORP COM Y8564W103 2,527 60,000 SH DEFINED 2 60,000
TEJON RANCH COM 879080109 840 20,600 SH DEFINED 2 20,600
TEVA PHARMACEUT FIN BV DBCV 88164RAA5 2,888 2,835,000 PRN DEFINED 2,4 74,801
TEXTRON INC COM 883203101 1,343 18,200 SH DEFINED 2 18,200
TJX COS INC NOTE 872540AL3 5,967 6,800,000 PRN DEFINED 2,3,4 222,136
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
TOMMY HILFIGER CORP ORD G8915Z102 287 25,475 SH DEFINED 2 25,475
TORCHMARK CORP COM 891027104 1,528 26,750 SH DEFINED 2 26,750
TRIARC COS-B CLB SER1895927309 425 34,700 SH DEFINED 2 34,700
TRINITY INDUSTRIES COM 896522109 301 8,825 SH DEFINED 2 8,825
TRIQUINT SEMICON NOTE 89674KAB9 4,838 5,000,000 PRN DEFINED 2,3,4 73,746
UNION PACIFIC COM 907818108 2,157 32,075 SH DEFINED 2 32,075
UNITED NATIONAL GROUP LTD-A CLA 91103X102 544 29,200 SH DEFINED 2 29,200
UNITED PARCEL SERVICE -CL B CL B 911312106 2,008 23,500 SH DEFINED 2 23,500
UNITED STATIONERS INC COM 913004107 315 6,825 SH DEFINED 2 6,825
UNIVERSAL CORP-VA COM 913456109 514 10,750 SH DEFINED 2 10,750
UNOCAL CORP COM 915289102 3,291 76,100 SH DEFINED 2 76,100
US CORPORATION COM 91729Q101 766 20,175 SH DEFINED 2 20,175
VALASSIS COMMUNICATIONS INC COM 918866104 757 21,625 SH DEFINED 2 21,625
VALERO ENERGY CORP COM 91913Y100 4,994 110,000 SH DEFINED 2 110,000
VERZION COMMUNICATIONS INC COM 92343V104 1,069 26,400 SH DEFINED 2 26,400
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
VIAD CORP COM 92552R406 1,598 56,100 SH DEFINED 2 56,100
VINTAGE PETROLEUM INC COM 927460105 3,404 150,000 SH DEFINED 2 150,000
WACHOVIA CORP COM 929903102 3,025 57,500 SH DEFINED 2 57,500
WAL MART STORES INC COM 931142103 1,056 20,000 SH DEFINED 2 20,000
WALTER INDUSTRIES INC COM 93317Q105 336 9,975 SH DEFINED 2 9,975
WASHINGTON MUTUAL INC COM 939322103 1,398 33,075 SH DEFINED 2 33,075
WELLS FARGO COMPANY COM 949746101 1,243 20,000 SH DEFINED 2 20,000
WHIRLPOOL CORPORATION COM 963320106 3,447 49,800 SH DEFINED 2 49,800
WILLIAMS COS INC COM 969457100 3,677 225,700 SH DEFINED 2 225,700
WISCONSIN ENERGY CORP COM 976657106 2,507 74,375 SH DEFINED 2 74,375
XCEL ENERGY INC COM 98389B100 1,587 87,200 SH DEFINED 2 87,200
XL CAPITAL LTD-CLASS A CL A G98255105 1,988 25,600 SH DEFINED 2 25,600
YELLOW ROADWAY CORP NOTE 985509AN8 2,320 1,350,000 PRN DEFINED 2,3 34,404
YORK INTERNATIONAL CORP COM 986670107 828 23,975 SH DEFINED 2 23,975