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.
<Page>



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
<Page>
<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>      <c>    <c>    <c>
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
</Table>