FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: June 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: 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 13,2003
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: 298
Form 13F Information Table Value Total: 1,427,614 (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 1,286 10,000 SH DEFINED 2,3,4 10,000
ACCENTURE LTD CL A G1150G111 362 20,000 SH DEFINED 2 20,000
ACUITY BRANDS INC COM 00508Y102 490 26,950 SH DEFINED 2 26,950
ACXIOM CORP COM 005125109 1,588 105,225 SH DEFINED 2,3 105,225
ACXIOM CORP NOTE 005125AB5 3,632 3,200,000 PRN DEFINED 2,3 175,322
AETNA INC COM 00817Y108 1,335 22,175 SH DEFINED 2 22,175
AFFIL COMPUTER NOTE 008190AF7 2,826 2,400,000 PRN DEFINED 2,3 55,256
AFFILIATED COMPUTER SVCS CLA 008190100 1,610 35,900 SH DEFINED 2,3 35,900
AGERE SYSTEMS INC CLA 00845V100 254 109,200 SH DEFINED 2 109,200
AGILENT TECH INC DBCV 00846UAB7 27,322 28,000,000 PRN DEFINED 2,3,4 869,025
AGILENT TECHNOLOGIES INC COM 00846U101 7,896 403,900 SH DEFINED 2,3,4 403,900
AIR PRODUCTS & CHEMICAL COM 009158106 2,251 54,100 SH DEFINED 2 54,100
ALCON INC COM H01301102 3,702 81,000 SH DEFINED 2,3 81,000
ALLSTATE CORPORATION COM 020002101 734 20,600 SH DEFINED 2 20,600
ALLSTREAM INC. CLAVT 02004C105 288 8,480 SH DEFINED 1,2,3,4 8,480
AMBAC FINANCIAL GROUP COM 023139108 3,313 50,000 SH DEFINED 2,4 50,000
AMERICAN INTL GROUP DBCV 026874AP2 1,314 2,000,000 PRN DEFINED 2,4 12,125
AMERADA HESS COM 023551104 2,213 45,000 SH DEFINED 2,4 45,000
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
AMERICA ONLINE NOTE 02364JAC8 61 100,000 PRN DEFINED 2,4 583
AMERICAN EXPRESS COM 025816109 2,718 65,000 SH DEFINED 2,3 65,000
AMERICAN GREETING CORP CL A 026375105 1,524 77,150 SH DEFINED 2,3 77,150
AMERICAN GREETING CORP NOTE 026375AJ4 2,334 1,430,000 PRN DEFINED 2,3 102,884
AMERICAN INTL GROUP COM 026874107 2,759 50,000 SH DEFINED 2,3 50,000
AMERICAN NATIONAL INSURANCE COM 028591105 358 4,150 SH DEFINED 2 4,150
AMERICAN PHYSICIANS CAP COM 028884104 690 28,200 SH DEFINED 2 28,200
AMERISOURCE HEALTH NOTE 03071PAD4 3,667 2,560,000 PRN DEFINED 2,3 48,331
AMERISOURCEBERGEN COM 03073E105 2,433 34,910 SH DEFINED 2,3 34,910
AMGEN INC COM 031162100 11,710 179,100 SH DEFINED 2,3,4 179,100
ANADARKO PETROLEUM COM 032511107 4,669 105,000 SH DEFINED 2,4 105,000
ANHEUSER BUSCH CO COM 035229103 2,042 40,000 SH DEFINED 2,3 40,000
ANIXTER INTERNATIONAL INC COM 035290105 327 13,975 SH DEFINED 2 13,975
AOL TIME WARNER COM 00184A105 9,492 600,000 SH DEFINED 2,3,4 600,000
AON CORP COM 037389103 7,305 303,375 SH DEFINED 2,4 303,375
APACHE CORP COM 037411105 1,742 26,775 SH DEFINED 2,3 26,775
APPLIED MATERIALS INC. COM 038222105 1,190 75,000 SH DEFINED 2,3 75,000
ARCHER DANIELS COM 039483102 1,964 152,600 SH DEFINED 2 152,600
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
ARTESYN TECHNOLOGIES INC COM 043127109 576 102,850 SH DEFINED 2 102,850
ARVINMERITOR INC COM 043353101 682 33,800 SH DEFINED 2 33,800
ASHLAND INC COM 044204105 1,096 35,725 SH DEFINED 2 35,725
ATLAS AIR WORLDWIDE HLDGS COM 049164106 72 49,000 SH DEFINED 1,2,4 49,000
BANK OF AMERICA CORP COM 060505104 2,766 35,000 SH DEFINED 2,3 35,000
BANK OF NEW YORK COM 064057102 1,182 41,100 SH DEFINED 2 41,100
BARNES & NOBLE NOTE 067774AD1 2,475 2,450,000 PRN DEFINED 2,3 75,357
BARNES & NOBLE INC COM 067774109 934 41,380 SH DEFINED 2,3 41,380
BARRICK GOLD CORP COM 067901108 1,672 93,400 SH DEFINED 2 93,400
BEA SYSTEMS INC NOTE 073325AD4 14,877 15,500,000 PRN DEFINED 2,4 447,330
BELLSOUTH CORP COM 079860102 519 19,500 SH DEFINED 2 19,500
BISYS GROUP COM 055472104 507 27,800 SH DEFINED 2,3 27,800
BISYS GROUP NOTE 055472AB0 2,607 2,650,000 PRN DEFINED 2,3 79,356
BJ SERVICES CO COM 055482103 2,224 58,500 SH DEFINED 2,3,4 58,500
BOEING COMPANY COM 097023105 1,603 46,700 SH DEFINED 2 46,700
BOSTON PROPERTIES INC COM 101121101 1,314 30,000 SH DEFINED 2,4 30,000
BOWNE & CO INC COM 103043105 576 44,175 SH DEFINED 2 44,175
BRISTOL-MYERS SQUIBB CO COM 110122108 1,377 50,725 SH DEFINED 2 50,725
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
BURLINGTON RESOURCES INC COM 122014103 1,595 29,500 SH DEFINED 2 29,500
CABLEVISION SYSTEMS CL A 12686C109 2,255 108,600 SH DEFINED 2 108,600
CARDINAL HEALTH INC. COM 14149Y108 3,822 59,437 SH DEFINED 2,3 59,437
CARNIVAL CORP PAIREDCTF 143658300 8,831 277,000 SH DEFINED 2,3,4 277,000
CELESTICA INC SUB 15101Q108 460 29,100 SH DEFINED 2,3,4 29,100
CELESTICA INC NOTE 15101QAA6 35,789 69,185,000 PRN DEFINED 2,3,4 392,611
CENDANT CORP DEBT 151313AF0 9,537 14,005,000 PRN DEFINED 2,3,4 467,767
CENDANT CORP DBCV 151313AN3 33,859 32,000,000 PRN DEFINED 2,4 1,330,560
CENDANT CORP COM 151313103 7,171 395,600 SH DEFINED 2,3,4 395,600
CENTEX CORP COM 152312104 4,278 55,000 SH DEFINED 2,4 55,000
CEPHALON INC COM 156708109 694 16,800 SH DEFINED 2,3 16,800
CEPHALON INC NOTE 156708AE9 2,764 3,000,000 PRN DEFINED 2,3 37,037
CHARLES RIVER LABORATORIES DBCV 159863AL3 1,549 1,450,000 PRN DEFINED 2,3 37,304
CHARLES RIVER LABORATORIES COM 159864107 669 20,500 SH DEFINED 2,3 20,500
CHEVRON TEXACO CORP COM 166764100 3,971 55,000 SH DEFINED 2,3,4 55,000
CHIRON CORP COM 170040109 2,171 49,300 SH DEFINED 2,3,4 49,300
CHIRON CORP NOTE 170040AE9 20,100 34,500,000 PRN DEFINED 2,3,4 247,065
CISCO SYSTEMS INC COM 17275R102 4,065 245,000 SH DEFINED 2,3 245,000
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
CIT GROUP INC COM 125581108 1,600 64,925 SH DEFINED 2 64,925
CITIGROUP INC COM 172967101 17,497 408,800 SH DEFINED 2,3,4 408,800
CLEAR CHANNEL COMM COM 184502102 2,120 50,000 SH DEFINED 2,3 50,000
CLEVELAND-CLIFFS INC COM 185896107 302 16,925 SH DEFINED 2 16,925
CNA SURETY CORPORATION COM 12612L108 270,138 27,425,147 SH DEFINED 1,2,4 27,425,147
CNF INC COM 12612W104 937 36,925 SH DEFINED 2 36,925
COMMSCOPE INC COM 203372107 378 39,750 SH DEFINED 2 39,750
COMPUTER ASSOCIATES INTL COM 204912109 1,074 48,225 SH DEFINED 2 48,225
COOPER INDUSTRIES LTD CL A G24182100 1,417 34,300 SH DEFINED 2 34,300
CORNING INC DBCV 219350AJ4 10,984 14,744,000 PRN DEFINED 2,3,4 122,823
COSTCO WHOLESALE CORP COM 22160K105 1,830 50,000 SH DEFINED 2,3 50,000
COX COMMUN INC SDEB 224044AX5 24,108 49,200,000 PRN DEFINED 2,3,4 373,467
CYTEC INDUSTRIES INC COM 232820100 1,092 32,300 SH DEFINED 2 32,300
DADE BEHRING HOLDINGS INC COM 23342J206 5,515 243,900 SH DEFINED 2,4 243,900
DEL MONTE FOODS CO COM 24522P103 322 36,375 SH DEFINED 2 36,375
DELL INC. COM 24702R101 2,557 80,000 SH DEFINED 2,3 80,000
DELPHI FINANCIAL GROUP CL A 247131105 2,527 54,000 SH DEFINED 2 54,000
DIAMONDS TRUST SERIES I UNIT 252787106 35,964 400,000 SH DEFINED 2 400,000
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
DILLARDS INC CL A 254067101 403 29,950 SH DEFINED 2 29,950
DISNEY WALT CO COM 254687106 2,611 135,000 SH DEFINED 2,3,4 135,000
DOUBLECLICK NOTE 258609AC0 21,735 21,422,000 PRN DEFINED 2,4 519,321
DR HORTON INC COM 23331A109 11,240 400,000 SH DEFINED 2,4 400,000
DU PONT DE NEMOURS E.I. COM 263534109 1,874 45,000 SH DEFINED 2,3 45,000
DUKE ENERGY CORP NOTE 264399EJ1 6,263 6,000,000 PRN DEFINED 2,3,4 254,345
DUKE POWER CO. COM 264399106 601 30,000 SH DEFINED 2,3,4 30,000
DYCOM INDUSTRIES INC COM 267475101 3,683 225,934 SH DEFINED 2,4 225,934
E*TRADE GROUP NOTE 269246AB0 6,305 6,500,000 PRN DEFINED 2,4 275,424
EDO CORP COM 281347104 127 7,200 SH DEFINED 2,3 7,200
EDO CORP NOTE 281347AD6 503 500,000 PRN DEFINED 2,3 15,995
EL PASO CORP COM 28336L109 1,326 164,100 SH DEFINED 2 164,100
ELDERTRUST COMBENINT 284560109 1,678 208,200 SH DEFINED 2,4 208,200
ENCANA CORP COM 292505104 1,320 34,400 SH DEFINED 2 34,400
ENTERASYS NETWORKS INC COM 293637104 254 83,925 SH DEFINED 2 83,925
EQUINIX INC COM 29444U502 53 6,695 SH DEFINED 2,4 6,695
ESTERLINE TECHNOLOGIES COM 297425100 475 27,300 SH DEFINED 2 27,300
FAIR ISAAC CORP COM 303250104 654 12,870 SH DEFINED 2,3 12,870
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
FIRST CITIZENS BCSHS CL A 31946M103 192 1,900 SH DEFINED 2 1,900
FIRST DATA CORP COM 319963104 630 15,200 SH DEFINED 2 15,200
FLEET BOSTON FINANCIAL COM 339030108 750 25,250 SH DEFINED 2 25,250
FMC CORP COM 302491303 1,246 55,075 SH DEFINED 2 55,075
FMC TECHNOLOGIES INC COM 30249U101 1,187 56,396 SH DEFINED 2 56,396
FOOT LOCKER INC COM 344849104 1,140 87,000 SH DEFINED 2,3 87,000
FOOTSTAR INC COM 344912100 648 49,825 SH DEFINED 2 49,825
FPL GROUP COM 302571104 6,142 92,000 SH DEFINED 2,34, 92,000
FREDDIE MAC COM 313400301 9,924 195,475 SH DEFINED 2,3,4 195,475
FREEPORT MCMORAN COPPER&GOLD CL B 35671D857 1,359 55,450 SH DEFINED 2 55,450
GABLES RESIDENTIAL TRUST SHBEN 362418105 418 13,825 SH DEFINED 2 13,825
GAP INC NOTE 364760AJ7 2,956 2,200,000 PRN DEFINED 2,3 136,477
GENERAL CABLE CORP COM 369300108 480 88,950 SH DEFINED 2 88,950
GENERAL ELECTRIC CO COM 369604103 5,263 183,500 SH DEFINED 2,3 183,500
GENERAL MOTORS SRCONV 370442741 17,220 700,000 SH DEFINED 2,3,4 700,000
GENERAL MOTORS COM 370442105 4,026 111,500 SH DEFINED 2,3,4 111,500
GENERAL MOTORS HUGHES ELECT CL H 370442832 1,281 100,000 SH DEFINED 2 100,000
GEORGIA-PACIFIC CORP COM 373298108 724 38,225 SH DEFINED 2 38,225
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
GILEAD SCIENCES INC COM 375558103 653 11,600 SH DEFINED 2,3 11,600
GLIMCHER REALTY TRUST SHBEN 379302102 575 25,675 SH DEFINED 2 25,675
GUITAR CENTER INC COM 402040109 359 12,200 SH DEFINED 2,3 12,200
HEALTH CARE PPTYS INVEST COM 421915109 2,880 68,000 SH DEFINED 2,4 68,000
HEALTH NET INC COM 42222G108 816 24,775 SH DEFINED 2 24,775
HEALTHCARE REALTY TRUST COM 421946104 7,174 246,100 SH DEFINED 2,4 246,100
HEARST-ARGYLE TELEVISION COM 422317107 1,813 70,000 SH DEFINED 2 70,000
HEWLETT-PACKARED CO COM 428236103 3,030 142,275 SH DEFINED 2,3 142,275
HILTON HOTELS CORP COM 432848109 256 20,000 SH DEFINED 2,3,4 20,000
HNC SOFTWARE NOTE 40425PAC1 1,521 1,300,000 PRN DEFINED 2,3 23,427
IDEC PHARMACEUTICALS COM 449370105 455 12,900 SH DEFINED 2,3,4 12,900
IMC GLOBAL INC COM 449669100 1,175 175,100 SH DEFINED 2,4 175,100
INCO LTD COM 453258402 1,298 61,300 SH DEFINED 2,4 61,300
INCO LTD NOTE 453258AM7 3,318 5,000,000 PRN DEFINED 2,4 132,765
INGERSOLL RAND CO CL A G4776G101 1,604 33,900 SH DEFINED 2 33,900
INTEL CORP COM 458140100 1,646 79,200 SH DEFINED 2,3 79,200
INTL BUSINESS MACHINE COM 459200101 9,900 120,000 SH DEFINED 2,4 120,000
INTERNATIONAL PAPER CO. COM 460146103 1,040 29,100 SH DEFINED 2,4 29,100
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
INTERPUBLIC GROUP COS COM 460690100 10,601 814,800 SH DEFINED 2,3,4 814,800
INTERPUBLIC GRP NOTE 460690AJ9 11,343 13,000,000 PRN DEFINED 2,3,4 229,008
INTERSTATE BAKERIES COM 46072H108 466 36,700 SH DEFINED 2 36,700
INVITROGEN INC NOTE 46185RAD2 724 783,000 PRN DEFINED 2 9,094
IPC HOLDINGS LTD ORD G4933P101 2,238 66,775 SH DEFINED 2 66,775
ISHARES HONG KONG INDEX MSCI 464286871 9,945 1,300,000 SH DEFINED 2 1,300,000
ISHARES SINGAPORE MSCI 464286673 4,912 1,017,000 SH DEFINED 2 1,017,000
J.C. PENNY CO (HLDG CO) COM 708160106 410 24,100 SH DEFINED 2,3 24,100
J.C PENNEY CO NOTE 708160BV7 1,217 1,250,000 PRN DEFINED 2,3 43,860
JOHNSON & JOHNSON COM 478160104 2,585 50,000 SH DEFINED 2,3 50,000
JUNIPER NETWORKS NOTE 48203RAA2 5,685 6,000,000 PRN DEFINED 2,3,4 36,594
KAYDON CORP COM 486587108 287 13,800 SH DEFINED 2,3 13,800
KENNAMETAL INC COM 489170100 338 10,000 SH DEFINED 2 10,000
KERR MC GEE CORP COM 492386107 4,032 90,000 SH DEFINED 2,4 90,000
KINDRED HEALTHCARE INC COM 494580103 6 314 SH DEFINED 2,4 314
L-3 COMMUNICATIONS CORP COM 502424104 1,870 43,000 SH DEFINED 2,3 43,000
LABORATORY CRP OF AMER HLDG COM 50540R409 3,128 102,400 SH DEFINED 2,3,4 102,400
LEAR CORP COM 521865105 1,262 27,425 SH DEFINED 2 27,425
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
LEHMAN BROS HLDG FRNT 524908EC0 2,481 2,500,000 PRN DEFINED 2,4 26,016
LEHMAN BROTHERS HOLDING COM 524908100 1,330 20,000 SH DEFINED 2,3 20,000
LENNOX INTERNATIONAL INC COM 526107107 943 71,525 SH DEFINED 2,3 71,525
LIBERTY MEDIA COM 530718105 9,397 812,900 SH DEFINED 2,4 812,900
LINCOLN NATIONAL CORP IN COM 534187109 2,316 65,000 SH DEFINED 2,4 65,000
LOCKHEED MARTIN CORP COM 539830109 3,377 71,000 SH DEFINED 2,3 71,000
LOWES COMPANIES NOTE 548661CG0 19,270 20,000,000 PRN DEFINED 2,3,4 344,240
LOWES COMPANIES COM 548661107 9,835 228,300 SH DEFINED 2,3,4 228,300
LUBRIZOL CORP COM 549271104 600 19,375 SH DEFINED 2 19,375
LUCENT TECH DCBV 549463AG2 2,719 3,000,000 PRN DEFINED 2,3,4 898,204
MARSH & MCLENNAN COS COM 571748102 1,338 26,200 SH DEFINED 2 26,200
MEDICIS PHARMACEUTICAL CL A 584690309 1,544 27,500 SH DEFINED 2,3 27,500
MEDICIS PHARMACEUTICAL NOTE 58470KAA2 2,569 2,200,000 PRN DEFINED 2,3 37,866
MEDTRONIC INC COM 585055106 6,764 141,000 SH DEFINED 2,3 141,000
MERRILL LYNCH & CO INC NOTE 590188A65 12,524 23,000,000 PRN DEFINED 2,3,4 130,610
MERRILL LYNCH & CO INC FRNT 590188A73 36,427 36,500,000 PRN DEFINED 2,3,4 504,477
MERRILL LYNCH & CO INC COM 590188108 5,428 116,600 SH DEFINED 2,3,4 116,600
METAL MANAGEMENT INC COM 591097209 1,958 110,000 SH DEFINED 2,4 110,000
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
METLIFE INC COM 59156R108 4,106 145,000 SH DEFINED 2,4 145,000
MICROSOFT CORP COM 594918104 3,022 118,000 SH DEFINED 2,3 118,000
MILACRON INC COM 598709103 307 62,775 SH DEFINED 2 62,775
MONSANTO CO COM 61166W101 1,540 71,150 SH DEFINED 2 71,150
MORGAN STANLEY INDIA INVEST COM 61745C105 1,838 155,800 SH DEFINED 2 155,800
MOTOROLA INC NOTE 620076AJ8 3,419 4,389,000 PRN DEFINED 2,3,4 147,181
MSDW ASIA PACIFIC FUND COM 61744U106 898 110,500 SH DEFINED 2 110,500
NABORS INDS INC DBCV 629568AF3 2,599 4,000,000 PRN DEFINED 2,4 28,298
NACCO INDUSTRIES CL A 629579103 690 11,700 SH DEFINED 2 11,700
NATIONWIDE FINANCIAL CL A 638612101 1,300 40,000 SH DEFINED 2,4 40,000
NETWORK ASSOC NOTE 64123LAB7 2,213 2,100,000 PRN DEFINED 2,3 116,215
NETWORK ASSOCIATES INC COM 640938106 831 63,885 SH DEFINED 2,3 63,885
NEWHALL LAND & FARMING DEPREC 651426108 732 24,200 SH DEFINED 2 24,200
NEWS AMER INC NOTE 652482AZ3 48,124 87,300,000 PRN DEFINED 2,3,4 1,060,547
NORFOLK SOUTHERN CORP. COM 655844108 586 30,500 SH DEFINED 2,4 30,500
NORTEL NETWORKS NOTE 656568AB8 5,898 7,000,000 PRN DEFINED 2,4 700,000
NORTHERN TRUST CORP COM 665859104 2,138 51,400 SH DEFINED 2 51,400
OCULAR SCIENCES INC COM 675744106 396 19,975 SH DEFINED 2 19,975
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
OLD REPUBLIC INTL CORP COM 680223104 6,054 176,650 SH DEFINED 2,4 176,650
OMNICOM GROUP COM 681919106 3,509 48,800 SH DEFINED 2,3,4 48,800
OMNICOM GROUP NOTE 681919AK2 4,000 4,000,000 PRN DEFINED 2,4 36,360
OMNICOM GROUP NOTE 681919AM8 12,500 12,500,000 PRN DEFINED 2,3,4 113,625
ONEOK INC COM 682680103 392 20,000 SH DEFINED 2,3,4 20,000
PATHMARK STORES INC COM 70322A101 5,051 685,332 SH DEFINED 2,4 685,332
PAYLESS SHOESOURCE INC COM 704379106 638 51,000 SH DEFINED 2 51,000
PEPSICO INCORPORATED COM 713448108 3,649 82,000 SH DEFINED 2,3 82,000
PERFORMANCE FOOD GROUP NOTE 713755AA4 1,956 1,500,000 PRN DEFINED 2,3 45,524
PERFORMANCE FOOD GROUP COM 713755106 1,371 36,290 SH DEFINED 2,3 36,290
PFIZER INC COM 717081103 8,066 236,200 SH DEFINED 2,3 236,200
PHILLIPS PETROLEUM CO COM 20825C104 627 11,450 SH DEFINED 2 11,450
PHOTRONICS INC COM 719405102 724 41,600 SH DEFINED 2,3 41,600
PIONEER STANDARD ELECTR COM 723877106 381 45,125 SH DEFINED 2 45,125
PLACER DOME INC COM 725906101 1,825 148,700 SH DEFINED 2 148,700
PLUM CREEK TIMBER CO COM 729251108 1,298 50,000 SH DEFINED 2,4 50,000
PMI GROUP INC COM 69344M101 268 10,000 SH DEFINED 2 10,000
PPL CORPORATION COM 69351T106 1,896 44,100 SH DEFINED 2 44,100
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
PRIME HOSPITALITY CORP COM 741917108 43 6,375 SH DEFINED 2,4 6,375
PROCTER & GAMBLE CO COM 742718109 2,854 32,000 SH DEFINED 2,3 32,000
PROSPECT STREET INC SHS COM 743590101 1,169 179,521 SH DEFINED 2,4 179,521
PUBLIC SVC CO N MEX COM COM 69349H107 504 18,825 SH DEFINED 2 18,825
PUBLIC SVC ENTERPRISE GRP COM 744573106 7,030 168,300 SH DEFINED 2,3,4 168,300
PULTE CORP COM 745867101 9,249 150,000 SH DEFINED 2,4 150,000
R.H. DONNELLEY CORP COM 74955W307 408 11,175 SH DEFINED 2 11,175
RADIAN GROUP INC COM 750236101 595 16,225 SH DEFINED 2 16,225
REEBOK INTL LTD COM 758110100 902 26,800 SH DEFINED 2,3 26,800
REEBOK INTL LTD DBCV 758110AE0 2,399 2,200,000 PRN DEFINED 2,3 57,054
REGENERON PHARM NOTE 75886FAB3 641 687,000 PRN DEFINED 2 22,710
REGIONAL BANK HOLDERS TR DEPREC 75902E100 11,172 100,000 SH DEFINED 2 100,000
RELIANT RESOURCES INC COM 75952B105 821 133,900 SH DEFINED 2 133,900
RESMED INC COM 761152107 568 14,400 SH DEFINED 2,3 14,400
RESMED INC NOTE 761152AB3 1,501 1,450,000 PRN DEFINED 2,3 23,927
RFS HOTEL INVESTORS INC COM 74955J108 506 41,100 SH DEFINED 2 41,100
SCHLUMBERGER LIMITED COM 806857108 2,788 58,600 SH DEFINED 2,3 58,600
SCHOOL SPECIALTY NOTE 807863AC9 1,550 1,375,000 PRN DEFINED 2,3 42,582
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
SCHOOL SPECIALTY COM 807863105 682 24,330 SH DEFINED 2,3 24,330
SCRIPPS CO (E.W.) CL A 811054204 2,218 25,000 SH DEFINED 2,3 25,000
SERVICEMASTER COMPANY COM 81760N109 532 49,750 SH DEFINED 2 49,750
SIEBEL SYSTEMS NOTE 826170AC6 25,949 25,440,000 PRN DEFINED 2,4 1,091,081
SIRIUS SATELLITE RADIO INC COM 82966U103 14,748 8,726,857 SH DEFINED 2,4 8,726,857
SLM CORP COM 78442P106 1,145 28,500 SH DEFINED 2,3,4 28,500
SOLECTRON CORP COM 834182107 617 165,100 SH DEFINED 2 165,100
SOLECTRON CORP NOTE 834182AL1 10,425 18,700,000 PRN DEFINED 2,4 220,402
SPANISH BROADCASTING SYS CL A 846425882 5,643 698,400 SH DEFINED 2,4 698,400
SPHERION CORPORATION COM 848420105 730 105,025 SH DEFINED 2 105,025
SPRINT CORP-PCS GROUP COM 852061506 4,079 698,528 SH DEFINED 1,2,3,4 698,528
STAR GAS PARTNER SUB 85512C204 555 29,229 SH DEFINED 2,4 29,229
STARWOOD HOTELS NOTE 85590AAG9 5,550 10,000,000 PRN DEFINED 2,3,4 101,947
STEIN MART INC COM 858375108 167 28,550 SH DEFINED 2 28,550
STMICROELECTRON NOTE 861012AB8 15,885 18,000,000 PRN DEFINED 2,4 473,256
STMICROELECTRONICS NYREG 861012102 1,193 57,200 SH DEFINED 2,4 57,200
SYMANTEC CORP COM 871503108 2,559 57,200 SH DEFINED 2,3 57,200
SYMANTEC CORP NOTE 871503AB4 3,372 2,400,000 PRN DEFINED 2,3 70,299
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
TARGET CORP COM 87612E106 2,649 70,000 SH DEFINED 2,3 70,000
TECH DATA CORP COM 878237106 843 31,500 SH DEFINED 2,4 31,500
TEJON RANCH COM 879080109 620 20,600 SH DEFINED 2 20,600
TELLABS INC COM 879664100 441 67,175 SH DEFINED 2 67,175
TENET HEALTHCARE CORP COM 88033G100 1,086 93,225 SH DEFINED 2 93,225
THE GAP INC. COM 364760108 1,906 102,300 SH DEFINED 2,3 102,300
TJX COS INC NOTE 872540AL3 5,262 6,800,000 PRN DEFINED 2,3,4 222,136
TJX COS. INC. COM 872540109 1,848 99,900 SH DEFINED 2,3,4 99,900
TRAVELERS PROPERTY CASUALTY CL A 89420G109 1,219 76,684 SH DEFINED 2,4 76,684
TRIAD HOSPITALS INC COM 89579K109 745 30,000 SH DEFINED 2,4 30,000
TRIARC COMPANIES CL A 895927101 520 17,350 SH DEFINED 2 17,350
TRIBUNE CO COM 896047107 3,381 70,000 SH DEFINED 2,3 70,000
TRINITY INDUSTRIES COM 896522109 523 28,250 SH DEFINED 2 28,250
TRIZEC PROPERTIES COM 89687P107 762 67,000 SH DEFINED 2 67,000
TYCO INTERNATIONAL LTD COM 902124106 9,822 511,750 SH DEFINED 2,3,4 511,750
UNITED PARCEL SERVICE CL B 911312106 2,835 44,500 SH DEFINED 2,3 44,500
UNIVERSAL CORP COM 913456109 360 8,500 SH DEFINED 2 8,500
UNIVERSAL HEALTH SERVICES CL B 913903100 3,566 90,000 SH DEFINED 2,4 90,000
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
UNOCAL CORP COM 915289102 1,670 58,200 SH DEFINED 2 58,200
US CORPORATION COM 91729Q101 544 20,175 SH DEFINED 2 20,175
USA INTERACTIVE COM 902984103 4,446 118,400 SH DEFINED 2,3,4 118,400
USI HOLDINGS CORP COM 90333H101 17,720 1,514,536 SH DEFINED 2,4 1,514,536
VALERO ENERGY CORP COM 91913Y100 1,635 45,000 SH DEFINED 2 45,000
VENATOR GROUP NOTE 922944AB9 2,706 2,500,000 PRN DEFINED 2,3 158,168
VENTAS INC COM 92276F100 2,796 184,575 SH DEFINED 2,4 184,575
VERITAS SOFTWARE NOTE 92343RAA1 16,857 19,000,000 PRN DEFINED 2,3,4 530,742
VERITAS SOFTWARE COM 923436109 1,963 68,700 SH DEFINED 2,3,4 68,700
VERIZON COMMUNICATIONS COM 92343V104 2,710 68,700 SH DEFINED 2,3 68,700
VERIZON GLOBAL NOTE 92344GAN6 13,814 23,000,000 PRN DEFINED 2,4 182,431
VIAD CORP COM 92552R109 1,850 82,625 SH DEFINED 2 82,625
VISHAY INTERTECH NOTE 928298AD0 1,441 2,500,000 PRN DEFINED 2,4 44,172
WAL MART STORES INC COM 931142103 3,220 60,000 SH DEFINED 2,3 60,000
WALGREEN CO COM 931422109 2,408 80,000 SH DEFINED 2,3 80,000
WASHINGTON GROUP INTL COM 938862208 2,197 100,300 SH DEFINED 2,4 100,300
WASHINGTON MUTUAL INC COM 939322103 1,321 31,975 SH DEFINED 2 31,975
WATSON PHARMACEUTICALS COM 942683103 1,691 41,900 SH DEFINED 2,3 41,900
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
WEATHERFORD INTL LTD COM G95089101 838 20,000 SH DEFINED 2,3 20,000
WELLS FARGO & COMPANY COM 949746101 5,040 100,000 SH DEFINED 2,3 100,000
WEYERHAEUSER COMPANY COM 962166104 270 5,000 SH DEFINED 2 5,000
WHIRLPOOL CORPORATION COM 963320106 1,464 22,975 SH DEFINED 2 22,975
WILLIAMS COS INC COM 969457100 1,070 135,412 SH DEFINED 1,2 135,412
WILSONS THE LEATHER EXPERTS COM 972463103 545 76,550 SH DEFINED 2 76,550
WISCONSIN ENERGY CORP COM 976657106 783 27,000 SH DEFINED 2 27,000
XCEL ENERGY INC COM 98389B100 3,479 231,300 SH DEFINED 2 231,300
XILINX INC COM 983919101 253 10,000 SH DEFINED 2 10,000
YORK INTERNATIONAL CORP COM 986670107 440 18,800 SH DEFINED 2 18,800