FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: December 31, 2002

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:  Karla L. Kambic
Title: Vice President and Associate General Counsel
Phone: (312) 822 1337
Signature, Place, and Date of Signing:
February 12,2003
Chicago, Illinois,
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: 299

Form 13F Information Table Value Total: 1,194,754.413 (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
ACUITY BRANDS INC            COM   00508Y102    365      26,950   SH        DEFINED       2    26,950
ACXIOM CORP                  COM   005125109    905      59,100   SH        DEFINED    2,3     59,100
ACXIOM CORP                  NOTE  005125AB5   1,554   1,350,000  PRN       DEFINED    2,3     73,964
AETNA INC                    COM   00817Y108   1,187     28,875   SH        DEFINED       2    28,875
AFFILIATED COMPUTER SVCS     CLA   008190100   2,247     42,400   SH        DEFINED    2,3     42,400
AFFILIATED COMPUTER SVCS     NOTE  008190AF7   3,315   2,400,000  PRN       DEFINED    2,3     55,256
AGERE SYSTEMS INC            CLA   00845V100    316     219,200   SH        DEFINED       2   219,200
AGILENT TECHNOLOGIES INC     COM   00846U101   3,186    174,100   SH        DEFINED  2,3,4    174,100
AGILENT TECHNOLOGIES INC     DBCV  00846UAB7   4,794   5,000,000  PRN       DEFINED  2,3,4    155,183
AIR PRODUCTS & CHEMICAL      COM   009158106    299      7,000    SH        DEFINED       2    7,000
ALCOA INC                    COM   013817101   2,642    116,000   SH        DEFINED    2,3    116,000
ALLEGHENY ENERGY INC         COM   017361106   1,189    157,300   SH        DEFINED       2   157,300
ALLSTATE CORPORATION         COM   020002101    762      20,600   SH        DEFINED       2    20,600
AMBAC FINANCIAL GROUP        COM   023139108   2,812     50,000   SH        DEFINED    2,4     50,000
AMERADA HESS                 COM   023551104   4,955     90,000   SH        DEFINED    2,4     90,000
AMERICAN EXPRESS             COM   025816109   2,298     65,000   SH        DEFINED    2,3     65,000
AMERICAN INTL GROUP          COM   026874107   1,880     32,500   SH        DEFINED    2,3     32,500
AMERICAN INTL GROUP          DBCV  026874AP2   1,289   2,000,000  PRN       DEFINED    2,4     12,125
</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
AMERICAN NATIONAL INS        COM   028591105    410      5,000    SH        DEFINED       2    5,000
AMERICAN PHYSICIANS CAP      COM   028884104    530      28,200   SH        DEFINED       2    28,200
AMERIPATH INC                COM   03071D109    484      22,500   SH        DEFINED       2    22,500
AMERISOURCE HEALTH CORP      NOTE  03071PAD4   3,288   2,560,000  PRN       DEFINED    2,3     48,331
AMERISOURCEBERGEN CORP       COM   03073E105   2,240     41,110   SH        DEFINED    2,3     41,110
AMGEN INC                    COM   031162100   6,142    124,100   SH        DEFINED  2,3,4    124,100
ANADARKO PETROLEUM CORP      COM   032511107   3,593     75,000   SH        DEFINED    2,4     75,000
ANHEUSER BUSCH CO            COM   035229103   1,936     40,000   SH        DEFINED    2,3     40,000
ANIXTER INTERNATIONAL INC    COM   035290105    325      13,975   SH        DEFINED       2    13,975
AON CORP                     COM   037389103   8,449    447,300   SH        DEFINED    2,4    447,300
APACHE CORP                  COM   037411105   2,308     40,500   SH        DEFINED    2,3     40,500
APPLIED MATERIALS INC.       COM   038222105    977      75,000   SH        DEFINED    2,3     75,000
ARDEN REALTY GROUP INC       COM   039793104    784      35,400   SH        DEFINED    2,4     35,400
ARTESYN TECHNOLOGIES INC     COM   043127109    452     117,775   SH        DEFINED       2   117,775
ARVINMERITOR INC             COM   043353101    365      21,925   SH        DEFINED       2    21,925
ASHLAND INC                  COM   044204105    900      31,550   SH        DEFINED       2    31,550
ATLAS AIR WORLDWIDE HLDGS    COM   049164106    74       49,000   SH        DEFINED  1,2,4     49,000
BISYS GROUP                  COM   055472104    810      50,800   SH        DEFINED    2,3     50,800
</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
BISYS GROUP                  NOTE  055472AB0   2,488   2,650,000  PRN       DEFINED    2,3     79,356
BJ SERVICES CO               COM   055482103   1,338     40,000   SH        DEFINED  2,3,4     40,000
BANK OF AMERICA CORP         COM   060505104   2,435     35,000   SH        DEFINED    2,3     35,000
BANK OF NEW YORK             COM   064057102    321      13,400   SH        DEFINED       2    13,400
BARNES & NOBLE INC           COM   067774109   1,000     56,480   SH        DEFINED    2,3     56,480
BARNES & NOBLE               NOTE  067774AD1   2,315   2,450,000  PRN       DEFINED    2,3     75,357
BARRICK GOLD CORP            COM   067901108   4,626    300,200   SH        DEFINED    2,4    300,200
BAXTER INTERNATIONAL         COM   071813109   6,543    234,500   SH        DEFINED  2,3,4    234,500
BAXTER INTERNATIONAL         CORP  071813406   9,018    180,000   SH        DEFINED  2,3,4    180,000
BEA SYSTEMS INC              NOTE  073325AD4   9,027   10,000,000 PRN       DEFINED    2,4    288,600
BEDFORD PROPERTY INVESTORS    COM  076446301    146      5,700    SH        DEFINED    2,4     5,700
BOEING COMPANY               COM   097023105    885      26,825   SH        DEFINED       2    26,825
BORG WARNER AUTOMOTIVE       COM   099724106    164      3,250    SH        DEFINED       2    3,250
BOSTON PROPERTIES INC        COM   101121101   1,106     30,000   SH        DEFINED    2,4     30,000
BOWNE & CO INC               COM   103043105    371      31,050   SH        DEFINED       2    31,050
BRANDYWINE REALTY TRUST     SHBEN  105368203    430      19,700   SH        DEFINED    2,4     19,700
BRISTOL-MYERS SQUIBB CO      COM   110122108   1,174     50,725   SH        DEFINED       2    50,725
BURLINGTON RESOURCES INC     COM   122014103   2,440     57,200   SH        DEFINED       2    57,200
</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
CIGNA CORP                   COM   125509109   2,496     60,700   SH        DEFINED       2    60,700
CIT GROUP INC                COM   125581108   4,957    252,900   SH        DEFINED    2,4    252,900
CNA SURETY CORPORATION       COM   12612L108  215,287  27,425,147 SH        DEFINED  1,2,4   27,425,147
CNF INC                      COM   12612W104   1,227     36,925   SH        DEFINED       2    36,925
CSX CORP.                    COM   126408103    623      22,000   SH        DEFINED       2    22,000
CABLEVISION SYSTEMS          CLA   12686C109   1,818    108,600   SH        DEFINED       2   108,600
CAMPBELL SOUP CO             COM   134429109    676      28,800   SH        DEFINED       2    28,800
CARDINAL HEALTH  INC.        COM   14149Y108   3,814     64,437   SH        DEFINED    2,3     64,437
CARNIVAL CORP                COM   143658102   2,562    102,000   SH        DEFINED  2,3,4    102,000
CELESTICA INC               SUBVTG 15101Q108    683      49,100   SH        DEFINED  2,3,4     49,100
CELESTICA INC                NOTE  15101QAA6  29,365   64,185,000 PRN       DEFINED  2,3,4    364,237
CENDANT CORPORATION          COM   151313103   1,325    120,600   SH        DEFINED  2,3,4    120,600
CENDANT CORP                 DEBT  151313AF0   8,879   14,005,000 PRN       DEFINED  2,3,4    467,767
CENDANT CORP                 DBCV  151313AH6   2,977   3,000,000  PRN       DEFINED  2,3,4    117,227
CENTEX CORP                  COM   152312104   2,761     55,000   SH        DEFINED    2,4     55,000
CEPHALON INC                 COM   156708109   1,268     25,900   SH        DEFINED    2,3     25,900
CEPHALON INC                 NOTE  156708AE9   2,771   3,000,000  PRN       DEFINED    2,3     37,037
CHARLES RIVER LABS           DBCV  159863AL3   1,774   1,450,000  PRN       DEFINED    2,3     37,304
</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
CHARLES RIVER LABS           COM   159864107   1,134     29,300   SH        DEFINED    2,3     29,300
CHEVRON TEXACO CORP          COM   166764100   1,330     20,000   SH        DEFINED    2,3     20,000
CHIRON CORP                  COM   170040109   1,893     49,300   SH        DEFINED  2,3,4     49,300
CHIRON CORP                  NOTE  170040AE9  19,831   34,500,000 PRN       DEFINED  2,3,4    247,065
CHUBB CORP                   CORP  171232309    719      30,000   SH        DEFINED  2,3,4     30,000
CISCO SYSTEMS INC            COM   17275R102  13,629    387,300   SH        DEFINED    2,3    387,300
CITIGROUP INC                COM   172967101   3,210    245,000   SH        DEFINED  2,3,4    245,000
CLEAR CHANNEL                COM   184502102   1,865     50,000   SH        DEFINED    2,3     50,000
CLEAR CHANNEL                NOTE  184502AB8   2,985   3,000,000  PRN       DEFINED    2,4     48,426
CLEVELAND-CLIFFS INC         COM   185896107    336      16,925   SH        DEFINED       2    16,925
COMCAST CORP                 CL A  20030N101    757      32,100   SH        DEFINED       2    32,100
COMCAST CORP                CLASPL 20030N200    298      13,200   SH        DEFINED       2    13,200
COMMSCOPE INC                COM   203372107    421      53,275   SH        DEFINED       2    53,275
COMPUTER ASSOCIATES INTL     COM   204912109   1,952    144,625   SH        DEFINED       2   144,625
PHILLIPS PETROLEUM CO        COM   20825C104   1,861     38,450   SH        DEFINED       2    38,450
CORNING INC                  DBCV  219350AJ4   5,631   10,000,000 PRN       DEFINED    2,4     83,304
COX COMMUNICATIONS           SDEB  224044AX5  33,718   73,700,000 PRN       DEFINED  2,3,4    559,442
COX COMMUNICATIONS           NOTE  224044BC0   7,100   10,000,000 PRN       DEFINED  2,3,4    118,135
</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
CYTEC INDUSTRIES INC         COM   232820100   1,135     41,600   SH        DEFINED       2    41,600
D.R. HORTON                  COM   23331A109   9,369    540,000   SH        DEFINED    2,4    540,000
DEL MONTE FOODS CO           COM   24522P103    280      36,375   SH        DEFINED       2    36,375
DELL COMPUTER CORP           COM   247025109   2,139     80,000   SH        DEFINED    2,3     80,000
DELPHI FINANCIAL GROUP       CLA   247131105   3,189     84,000   SH        DEFINED       2    84,000
DIAMONDS TRUST               UNIT  252787106  13,921    166,700   SH        DEFINED       2   166,700
DILLARDS INC                 CLA   254067101    360      22,725   SH        DEFINED       2    22,725
DOMINION RESOURCES           COM   25746U109   1,377     25,000   SH        DEFINED  2,3,4     25,000
DOUBLECLICK                  NOTE  258609AC0  14,233   16,622,000 PRN       DEFINED  2,3,4    402,957
DU PONT DE NEMOURS E.I.      NOTE  263534109   2,578     60,800   SH        DEFINED    2,3     60,800
DYCOM INDUSTRIES             COM   267475101   3,103    225,934   SH        DEFINED    2,4    225,934
EDISON INTERNATIONAL         COM   281020107    372      31,400   SH        DEFINED       2    31,400
EDO CORP                     COM   281347104    245      11,700   SH        DEFINED    2,3     11,700
EDO CORP                     NOTE  281347AD6    522     500,000   PRN       DEFINED    2,3     15,995
EL PASO CORP                 COM   28336L109   1,521    218,600   SH        DEFINED       2   218,600
ELDERTRUST                   COM   284560109   1,459    208,200   SH        DEFINED    2,4    208,200
ELECTRONIC DATA SYSTEMS      COM   285661104    768      41,675   SH        DEFINED       2    41,675
ENCANA CORP                  COM   292505104   1,990     64,000   SH        DEFINED       2    64,000
</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
ENTERASYS NETWORKS           COM   293637104    442     283,075   SH        DEFINED       2   283,075
ESTERLINE TECHNOLOGIES       COM   297425100    363      20,550   SH        DEFINED       2    20,550
EXXON MOBIL CORP             COM   30231G102   2,096     60,000   SH        DEFINED    2,3     60,000
FMC TECHNOLOGIES INC         COM   30249U101   1,152     56,396   SH        DEFINED       2    56,396
FMC CORP                     COM   302491303   1,277     46,750   SH        DEFINED       2    46,750
FPL GROUP                    COM   302571104   8,737    146,100   SH        DEFINED  2,3,4    146,100
FEDERAL HOME LOAN MTGE       COM   313400301  10,216    173,000   SH        DEFINED  2,3,4    173,000
FIRST CITIZENS BCSHS         CLA   31946M103    48        500     SH        DEFINED       2     500
FLEET BOSTON FINANCIAL       COM   339030108    614      25,250   SH        DEFINED       2    25,250
FOOT LOCKER                  COM   344849104   1,258    118,600   SH        DEFINED    2,3    118,600
FOOTSTAR                     COM   344912100    269      38,600   SH        DEFINED       2    38,600
FRANKLIN RES                 NOTE  354613AC5  23,636   40,000,000 PRN       DEFINED    2,4    374,416
FREEPORT MCMORAN COPPER&GOLD CLB   35671D857   1,185     70,625   SH        DEFINED       2    70,625
GABLES RESIDENTIAL TRUST    SHBEN  362418105    345      13,825   SH        DEFINED       2    13,825
THE GAP                      COM   364760108   1,533    103,000   SH        DEFINED    2,3    103,000
THE GAP                      NOTE  364760AJ7   2,775   2,200,000  PRN       DEFINED    2,3    136,477
GENERAL CABLE                COM   369300108    338      88,950   SH        DEFINED       2    88,950
GENERAL ELECTRIC             COM   369604103   3,141    129,000   SH        DEFINED    2,3    129,000
</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
GENERAL MOTORS               COM   370442105   4,138    111,500   SH        DEFINED  2,3,4    111,500
GENERAL MOTORS               SRCON 370442741  16,744    700,000   SH        DEFINED  2,3,4    700,000
GENERAL MOTORS               CLH   370442832    432      40,400   SH        DEFINED       2    40,400
GEORGIA-PACIFIC              COM   373298108    618      38,225   SH        DEFINED       2    38,225
GLIMCHER REALTY TRUST       SHBEN  379302102    471      26,550   SH        DEFINED       2    26,550
GREAT LAKES REIT             COM   390752103   1,082     65,000   SH        DEFINED    2,4     65,000
HCA INC                      COM   404119109    830      20,000   SH        DEFINED       2    20,000
HEALTH CARE PPTYS INVEST     COM   421915109   1,264     33,000   SH        DEFINED    2,4     33,000
HEALTHSOUTH CORP             COM   421924101   2,415    575,000   SH        DEFINED    2,4    575,000
HEALTHSOUTH CORP             SDCU  421924AF8   3,880   4,000,000  PRN       DEFINED    2,4    109,200
HEALTHCARE REALTY TRUST      COM   421946104   6,467    221,100   SH        DEFINED    2,4    221,100
HEALTH NET INC               COM   42222G108    919      34,800   SH        DEFINED       2    34,800
HEARST-ARGYLE TELEVISION     COM   422317107   1,688     70,000   SH        DEFINED       2    70,000
HEWLETT-PACKARD              COM   428236103   1,062     61,200   SH        DEFINED       2    61,200
IDEC PHARMACEUTICALS         COM   449370105   1,146     34,100   SH        DEFINED  2,3,4     34,100
IMC GLOBAL                   COM   449669100   1,200    112,500   SH        DEFINED    2,4    112,500
INCO LTD                     COM   453258402   1,087     51,300   SH        DEFINED    2,4     51,300
INCO LTD                     NOTE  453258AM7   3,387   5,000,000  PRN       DEFINED    2,4    132,765
</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
INSITUFORM TECHNOLOGIES      CLA   457667103   1,845    108,200   SH        DEFINED    2,4    108,200
INTEL                        COM   458140100   1,233     79,200   SH        DEFINED    2,3     79,200
INTL BUSINESS MACHINE        COM   459200101   9,781    126,200   SH        DEFINED    2,4    126,200
INTERNATIONAL PAPER          COM   460146103   3,497    100,000   SH        DEFINED    2,4    100,000
INTL RECTIFIER CORP          COM   460254105    243      12,900   SH        DEFINED    2,3     12,900
INTERSTATE BAKERIES          COM   46072H108    116      7,625    SH        DEFINED       2    7,625
INVITROGEN INC               NOTE  46185RAD2    661     783,000   PRN       DEFINED       2    9,094
IONICS INC                   COM   462218108   3,824    167,700   SH        DEFINED    2,4    167,700
JOHNSON & JOHNSON            COM   478160104   2,686     50,000   SH        DEFINED    2,3     50,000
KELLWOOD CO                  COM   488044108    292      11,225   SH        DEFINED       2    11,225
KENNAMETAL INC               COM   489170100    345      10,000   SH        DEFINED       2    10,000
KERR MC GEE CORP             COM   492386107   4,430    100,000   SH        DEFINED    2,4    100,000
KINDRED HEALTHCARE           COM   494580103     6        314     SH        DEFINED    2,4      314
L-3 COMMUNICATIONS CORP      COM   502424104   4,057     89,740   SH        DEFINED    2,3     89,740
L-3 COMMUNICATIONS CORP      NOTE  502424AB0   3,078   2,400,000  PRN       DEFINED    2,3     58,896
LABORATORY CRP OF AMER HLDGS COM   50540R409   2,371    102,400   SH        DEFINED  2,3,4    102,400
LAMAR ADVERTISING CO         CLA   512815101   1,308     39,050   SH        DEFINED    2,3     39,050
LAMAR ADVERTISING CO         NOTE  512815AF8   2,875   2,800,000  PRN       DEFINED    2,3     60,540
</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
LEAR SEATING CORP            COM   521865105    913      27,425   SH        DEFINED       2    27,425
LEHMAN BROS HLDG             FRNT  524908EC0   2,481   2,500,000  PRN       DEFINED    2,4     26,016
LENNOX INTERNATIONAL         COM   526107107    741      56,050   SH        DEFINED    2,3     56,050
LIBERTY MEDIA                COM   530718105  10,936   1,223,248  SH        DEFINED  2,3,4   1,223,248
LINCOLN NATIONAL CORP IND    COM   534187109   2,053     65,000   SH        DEFINED    2,4     65,000
LOCKHEED MARTIN              COM   539830109   2,714     47,000   SH        DEFINED    2,3     47,000
LOWES COMPANIES              COM   548661107   7,410    198,300   SH        DEFINED  2,3,4    198,300
LOWES COMPANIES              NOTE  548661CG0  18,904   20,000,000 PRN       DEFINED  2,3,4    344,240
LUBRIZOL CORP                COM   549271104    591      19,375   SH        DEFINED       2    19,375
MARSH & MCLENNAN COS         COM   571748102   2,662     57,600   SH        DEFINED       2    57,600
MCDONALDS CORP               COM   580135101   1,177     73,200   SH        DEFINED       2    73,200
MEDTRONIC INC                COM   585055106   6,521    143,000   SH        DEFINED    2,3    143,000
MERRILL LYNCH & CO           COM   590188108   4,808    121,600   SH        DEFINED  2,3,4    121,600
MERRILL LYNCH & CO           NOTE  590188A65  14,700   28,000,000 PRN       DEFINED  2,3,4    159,004
MERRILL LYNCH &CO            FRNT  590188A73  35,558   36,500,000 PRN       DEFINED  2,3,4    504,477
METLIFE INC                  COM   59156R108   3,921    145,000   SH        DEFINED    2,4    145,000
MICROSOFT CORP               COM   594918104   3,774     73,000   SH        DEFINED    2,3     73,000
MILACRON INC                 COM   598709103    254      42,675   SH        DEFINED       2    42,675
</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
MONSANTO CO                  COM   61166W101   1,370     71,150   SH        DEFINED       2    71,150
MORGAN STANLEY ASIA PAC      COM   61744U106    796     110,500   SH        DEFINED       2   110,500
MORGAN STANLEY INDIA INVS    COM   61745C105    753      75,800   SH        DEFINED       2    75,800
MOTOROLA INC                 NOTE  620076AJ8   2,211   3,000,000  PRN       DEFINED    2,4    100,602
NABORS INDS INC              DBCV  629568AF3   7,517   12,000,000 PRN       DEFINED    2,4     84,894
NACCO INDS INC               CLA   629579103    512      11,700   SH        DEFINED       2    11,700
NATIONWIDE FINANCIAL SERV    CLA   638612101   1,146     40,000   SH        DEFINED    2,4     40,000
NEWHALL LAND & FARMING      DEPREC 651426108   2,217     77,100   SH        DEFINED    2,4     77,100
NEWS AMER INC                NOTE  652482AZ3  42,007   80,300,000 PRN       DEFINED  2,3,4    975,508
NORFOLK SOUTHERN CORP.       COM   655844108   9,935    497,000   SH        DEFINED    2,4    497,000
NORTH FORK BANCORP           COM   659424105   1,687     50,000   SH        DEFINED    2,4     50,000
NORTHERN TRUST CORP          COM   665859104    768      21,900   SH        DEFINED       2    21,900
OLD REPUBLIC INTL CORP       COM   680223104   5,342    190,800   SH        DEFINED    2,4    190,800
OMNICOM GROUP                COM   681919106   3,627     56,800   SH        DEFINED  2,3,4     56,800
OMNICOM GROUP                NOTE  681919AK2   9,011   9,000,000  PRN       DEFINED    2,4     81,810
OMNICOM GROUP                NOTE  681919AM8  12,531   12,500,000 PRN       DEFINED  2,3,4    113,625
ORACLE CORP                  COM   68389X105    351      32,500   SH        DEFINED       2    32,500
PUBLIC SERVICE CO OF NM      COM   69349H107    439      18,450   SH        DEFINED       2    18,450
</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
PPL CORPORATION              COM   69351T106   1,613     46,500   SH        DEFINED       2    46,500
PALL CORP                    COM   696429307   1,334     80,000   SH        DEFINED    2,4     80,000
PATHMARK STORES              COM   70322A101   3,724    734,432   SH        DEFINED    2,4    734,432
PAYLESS SHOESOURCE           COM   704379106   1,255     24,375   SH        DEFINED       2    24,375
PEPSI BOTTLING GROUP         COM   713409100   2,570    100,000   SH        DEFINED    2,4    100,000
PEPSICO INC                  COM   713448108   3,462     82,000   SH        DEFINED    2,3     82,000
PFIZER INC                   COM   717081103   4,983    163,000   SH        DEFINED    2,3    163,000
PHARMACEUTICAL HLDRS TR     DEPREC 71712A206   6,914     93,300   SH        DEFINED       2    93,300
MONSANTO CO                  COM   71713U102    614      14,700   SH        DEFINED       2    14,700
PIONEER STANDARD ELECTR      COM   723877106    453      49,375   SH        DEFINED       2    49,375
PLACER DOME INC              COM   725906101   1,710    148,700   SH        DEFINED       2   148,700
PLUM CREEK TIMBER CO         COM   729251108   1,180     50,000   SH        DEFINED    2,4     50,000
PRESIDENTIAL LIFE CORP       COM   740884101    138      13,925   SH        DEFINED       2    13,925
PRIME HOSPITALITY CORP       COM   741917108    52       6,375    SH        DEFINED    2,4     6,375
PROCTER & GAMBLE             COM   742718109   2,750     32,000   SH        DEFINED    2,3     32,000
PROSPECT STREET INC SHS      COM   743590101    904     165,785   SH        DEFINED    2,4    165,785
PROVINCE HEALTHCARE          COM   743977100    466      48,600   SH        DEFINED    2,3     48,600
PROVINCE HEALTHCARE          NOTE  743977AC4   1,600   1,850,000  PRN       DEFINED    2,3     69,957
</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
PUBLIC SVC ENTERPRISE GRP    COM   744573106   4,074    128,300   SH        DEFINED  2,3,4    128,300
PULTE CORP                   COM   745867101   7,181    150,000   SH        DEFINED    2,4    150,000
QUALCOMM                     COM   747525103   2,365     65,000   SH        DEFINED    2,3     65,000
RFS HOTEL INVESTORS INC      COM   74955J108    373      34,350   SH        DEFINED       2    34,350
R.H. DONNELLEY CORP          COM   74955W307    501      17,100   SH        DEFINED       2    17,100
RADIAN GROUP INC             COM   750236101    763      20,525   SH        DEFINED       2    20,525
REGENERON PHARM              NOTE  75886FAB3   1,733   1,920,000  PRN       DEFINED       2    63,468
RELIANT RESOURCES            COM   75952B105   1,597    499,100   SH        DEFINED       2   499,100
REPUBLIC BANCORP             COM   760282103    353      29,955   SH        DEFINED       2    29,955
RESMED INC                   COM   761152107    438      14,400   SH        DEFINED    2,3     14,400
RESMED INC                   NOTE  761152AB3   1,347   1,450,000  PRN       DEFINED    2,3     23,927
SK TELECOM CO LTD            ADR   78440P108   4,394    203,500   SH        DEFINED    2,4    203,500
SCHLUMBERGER LIMITED         COM   806857108   2,466     58,600   SH        DEFINED    2,3     58,600
SCHOOL SPECIALTY             COM   807863105    545      27,370   SH        DEFINED    2,3     27,370
SCHOOL SPECIALTY             NOTE  807863AC9   1,335   1,375,000  PRN       DEFINED    2,3     42,582
SEALED AIR CORP              PFD   81211K209    643      15,100   SH        DEFINED       2    15,100
SEMTECH CORP                 COM   816850101    478      43,100   SH        DEFINED    2,3     43,100
SEMTECH CORP                 NOTE  816850AD3   2,091   2,400,000  PRN       DEFINED    2,3     56,832
</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
SERVICEMASTER COMPANY        COM   81760N109    552      49,750   SH        DEFINED       2    49,750
SIEBEL SYSTEMS               NOTE  826170AC6   1,932   2,000,000  PRN       DEFINED    2,4     85,777
SIRIUS SATELLITE RADIO       COM   82966U103    604     965,572   SH        DEFINED    2,4    965,572
SOLECTRON CORP               COM   834182107    586     165,100   SH        DEFINED       2   165,100
SOLECTRON CORP               NOTE  834182AK3   4,880   8,000,000  PRN       DEFINED  2,3,4     98,647
SOLECTRON CORP               NOTE  834182AL1   6,090   12,000,000 PRN       DEFINED    2,4    141,434
SOUTHWEST GAS                COM   844895AS1  16,147   15,000,000 SH        DEFINED    2,3   15,000,000
SPANISH BROADCASTING SYS     CLA   846425882   1,183    163,400   SH        DEFINED    2,4    163,400
SPHERION CORPORATION         COM   848420105    504      75,200   SH        DEFINED       2    75,200
SPRINT CORP (PCS GROUP)      COM   852061506   5,191   1,138,528  SH        DEFINED 1,2,3,4  1,138,528
STAR GAS PARTNER            SRSUB  85512C204    360      29,229   SH        DEFINED    2,4     29,229
STARBUCKS CORP               COM   855244109   1,427     70,000   SH        DEFINED    2,3     70,000
STEINMART                    COM   858375108    174      28,550   SH        DEFINED       2    28,550
STILWELL FINANCIAL           COM   860831106   1,042     79,700   SH        DEFINED       2    79,700
STMICROELECTRONICS          NYREG  861012102   1,194     60,000   SH        DEFINED    2,4     60,000
STMICROELECTRONICS           NOTE  861012AB8  16,435   19,000,000 PRN       DEFINED    2,4    499,548
SUNOCO INC                   COM   86764P109   3,318    100,000   SH        DEFINED    2,4    100,000
SYMANTEC CORP                COM   871503108   2,394     57,200   SH        DEFINED    2,3     57,200
</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
SYMANTEC CORP                NOTE  871503AB4   3,381   2,400,000  PRN       DEFINED    2,3     70,299
TJX COS. INC.                COM   872540109   3,840    196,200   SH        DEFINED  2,3,4    196,200
TJX COS INC                  NOTE  872540AL3   9,626   11,800,000 PRN       DEFINED  2,3,4    385,471
TARGET CORP                  COM   87612E106   2,400     80,000   SH        DEFINED    2,3     80,000
TECH DATA CORP               COM   878237106    849      31,500   SH        DEFINED    2,4     31,500
TEJON RANCH                  COM   879080109    612      20,600   SH        DEFINED       2    20,600
TELLABS INC                  COM   879664100    488      67,175   SH        DEFINED       2    67,175
TENET HEALTHCARE CORP        COM   88033G100    738      45,000   SH        DEFINED       2    45,000
TRANSOCEAN SEDCO             DBCV  893830AA7   3,075   5,000,000  PRN       DEFINED    2,4     40,783
TRAVELERS PPTY CASUALTY      CLA   89420G109    662      45,184   SH        DEFINED    2,4     45,184
TRAVELERS PPTY CASUALTY     NTCVJR 89420G307    536      24,000   SH        DEFINED    2,4     24,000
TRIBUNE CO                   COM   896047107   4,091     90,000   SH        DEFINED    2,3     90,000
TRINITY INDUSTRIES           COM   896522109    444      23,425   SH        DEFINED       2    23,425
TRIZEC PROPERTIES INC        COM   89687P107    995     106,000   SH        DEFINED       2   106,000
TYCO INTERNATIONAL LTD       COM   902124106    286      16,750   SH        DEFINED       2    16,750
USI HOLDINGS CORP            COM   90333H101  43,948   3,740,278  SH        DEFINED    2,4   3,740,278
UNION PACIFIC                COM   907818108    602      10,050   SH        DEFINED       2    10,050
UNITED PARCEL SERVICE        CLB   911312106   2,807     44,500   SH        DEFINED    2,3     44,500
</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
UNIVERSAL CORP               COM   913456109    389      10,525   SH        DEFINED       2    10,525
UNOCAL CORP                  COM   915289102   1,089     35,600   SH        DEFINED       2    35,600
USFREIGHTWAYS CORP           COM   916906100    366      12,725   SH        DEFINED       2    12,725
VALERO ENERGY CORP           COM   91913Y100   2,032     55,000   SH        DEFINED       2    55,000
VEECO INSTRUMENTS INC.       COM   922417100    258      21,650   SH        DEFINED    2,3     21,650
VENTAS INC                   COM   92276F100   2,113    184,575   SH        DEFINED    2,4    184,575
VENATOR GROUP                NOTE  922944AB9   2,528   2,500,000  PRN       DEFINED    2,3    158,168
VERITAS SOFTWARE             COM   923436109    685      41,300   SH        DEFINED    2,4     41,300
VERZION COMMUNICATIONS       COM   92343V104   2,098     53,900   SH        DEFINED  2,3,4     53,900
VERIZON GLOBAL               NOTE  92344GAN6  13,369   23,000,000 PRN       DEFINED    2,4    182,431
VIAD CORP                    COM   92552R109   1,218     54,500   SH        DEFINED       2    54,500
WAL MART STORES INC          COM   931142103   3,258     64,500   SH        DEFINED    2,3     64,500
WALGREEN CO                  COM   931422109   2,335     80,000   SH        DEFINED    2,3     80,000
WASHINGTON MUTUAL INC        COM   939322103   1,104     31,975   SH        DEFINED       2    31,975
WELLS FARGO COMPANY          COM   949746101   4,687    100,000   SH        DEFINED    2,3    100,000
WEYERHAEUSER COMPANY         COM   962166104    246      5,000    SH        DEFINED       2    5,000
WHIRLPOOL CORPORATION        COM   963320106    625      11,975   SH        DEFINED       2    11,975
WILLIAMS COS INC             COM   969457100    123      45,412   SH        DEFINED    1,2     45,412
WILSONS THE LEATHER EXPERTS  COM   972463103    368      73,500   SH        DEFINED       2    73,500
WISCONSIN ENERGY CORP        COM   976657106   1,731     68,700   SH        DEFINED       2    68,700
XCEL ENERGY INC              COM   98389B100   1,214    110,400   SH        DEFINED       2   110,400
YORK INTERNATIONAL CORP      COM   986670107    398      15,575   SH        DEFINED       2    15,575
ANNUITY AND LIFE RE HOLDINGS ORD   G03910109    177      76,300   SH        DEFINED       2    76,300
COOPER INDUSTRIES INC        CLA   G24182100   1,032     28,300   SH        DEFINED       2    28,300
IPC HOLDINGS LTD             ORD   G4933P101   1,212     38,425   SH        DEFINED       2    38,425
NABORS INDUSTRIES INC        SHS   G6359F103    317      9,000    SH        DEFINED       2    9,000
TRENWICK GROUP LTD           COM   G9032C109   2,669   3,707,400  SH        DEFINED  1,2,4   3,707,400
XL CAPITAL LTD               CLA   G98255105    502      6,500    SH        DEFINED       2    6,500
ALCON INC                    COM   H01301102   3,195     81,000   SH        DEFINED    2,3     81,000
</Table>