FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: March 31,2003

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:
May 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: 308

Form 13F Information Table Value Total: 1,371,497 (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  362     26,950      SH        DEFINED     2      26,950
ACXIOM CORP                  NOTE   005125AB5  3,883   3,200,000   PRN       DEFINED    2,3    175,322
ACXIOM CORP                   COM   005125109  1,908   115,625     SH        DEFINED    2,3    115,625
AETNA INC                     COM   00817Y108  1,093   22,175      SH        DEFINED     2      22,175
AFFILIATED COMPUTER SVCS      CLA   008190100  1,631   35,900      SH        DEFINED    2,3     35,900
AFFIL COMPUTER               NOTE   008190AF7  2,919   2,400,000   PRN       DEFINED    2,3     55,256
AFFILIATED MANAGERS GROUP     COM   008252108  3,340   78,600      SH        DEFINED   2,3,4    78,600
AGERE SYSTEMS INC             CLA   00845V100  175     109,200     SH        DEFINED     2     109,200
AGILENT TECHNOLOGIES INC      COM   00846U101  6,231   447,600     SH        DEFINED   2,3,4   447,600
AGILENT TECH INC             DBCV   00846UAB7  25,550  28,000,000  PRN       DEFINED   2,3,4   869,025
AIR PRODUCTS & CHEMICAL       COM   009158106  290     7,000       SH        DEFINED     2      7,000
ALCOA INC                     COM   013817101  2,132   110,000     SH        DEFINED    2,3    110,000
ALLEGHENY ENERGY INC          COM   017361106  977     157,300     SH        DEFINED     2     157,300
ALLSTATE CORPORATION          COM   020002101  683     20,600      SH        DEFINED     2      20,600
AMBAC FINANCIAL GROUP INC     COM   023139108  2,526   50,000      SH        DEFINED    2,4     50,000
AMERADA HESS                  COM   023551104  1,992   45,000      SH        DEFINED    2,4     45,000
AMERICA ONLINE               Note   02364JAC8  58      100,000     PRN       DEFINED    2,4      583
AMERICAN EXPRESS              COM   025816109  2,160   65,000      SH        DEFINED    2,3     65,000
</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
AMERICAN GREETING CORP        CLA   026375105  641     48,590      SH        DEFINED    2,3     48,590
AMERICAN INTL GROUP INC       COM   026874107  1,484   30,000      SH        DEFINED    2,3     30,000
AMER INTL GROUP              DBCV   026874AP2  1,294   2,000,000   PRN       DEFINED    2,4     12,125
AMERICAN NATIONAL INSURANCE   COM   028591105  323     4,150       SH        DEFINED     2      4,150
AMERICAN PHYSICIANS CAP       COM   028884104  598     28,200      SH        DEFINED     2      28,200
AMERISOURCE HEALTH CORP      NOTE   03071PAD4  3,215   2,560,000   PRN       DEFINED    2,3     48,330
AMERISOURCEBERGEN CORP        COM   03073E105  2,054   38,470      SH        DEFINED    2,3     38,470
AMGEN INC                     COM   031162100  8,731   149,100     SH        DEFINED   2,3,4   149,100
ANADARKO PETROLEUM CORP       COM   032511107  3,413   75,000      SH        DEFINED    2,4     75,000
ANHEUSER BUSCH CO             COM   035229103  1,864   40,000      SH        DEFINED    2,3     40,000
ANIXTER INTERNATIONAL INC     COM   035290105  317     13,975      SH        DEFINED     2      13,975
AON CORP                      COM   037389103  7,468   361,100     SH        DEFINED    2,4    361,100
APACHE CORP                   COM   037411105  1,653   26,775      SH        DEFINED    2,3     26,775
APPLIED MATERIALS INC.        COM   038222105  944     75,000      SH        DEFINED    2,3     75,000
ARCHER DANIELS                COM   039483102  1,344   124,400     SH        DEFINED     2     124,400
ARTESYN TECHNOLOGIES INC      COM   043127109  365     117,775     SH        DEFINED     2     117,775
ARVINMERITOR INC              COM   043353101  473     33,800      SH        DEFINED     2      33,800
ASHLAND INC                   COM   044204105  1,060   35,725      SH        DEFINED     2      35,725
</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
ATLAS AIR WORLDWIDE HLDGS     COM   049164106  39      49,000      SH        DEFINED   1,2,4    49,000
BISYS GROUP                   COM   055472104  843     50,800      SH        DEFINED    2,3     50,800
BISYS GROUP                  NOTE   055472AB0  2,567   2,650,000   PRN       DEFINED    2,3     79,356
BJ SERVICES CO                COM   055482103  1,403   40,000      SH        DEFINED   2,3,4    40,000
BANK OF AMERICA CORP          COM   060505104  2,339   35,000      SH        DEFINED    2,3     35,000
BANK OF NEW YORK              COM   064057102  843     41,100      SH        DEFINED     2      41,100
BARNES & NOBLE INC            COM   067774109  981     51,380      SH        DEFINED    2,3     51,380
BARNES & NOBLE               NOTE   067774AD1  2,402   2,450,000   PRN       DEFINED    2,3     75,357
BARRICK GOLD CORP             COM   067901108  4,894   314,500     SH        DEFINED    2,4    314,500
BAXTER INTL                   COM   071813109  4,493   234,500     SH        DEFINED   2,3,4   234,500
BAXTER INTERNATIONAL         CORP   071813406  6,932   180,000     SH        DEFINED   2,3,4   180,000
BEA SYSTEMS INC              NOTE   073325AD4  11,585  12,500,000  PRN       DEFINED    2,4    360,750
BELLSOUTH CORP                COM   079860102  423     19,500      SH        DEFINED     2      19,500
BOEING COMPANY                COM   097023105  885     35,300      SH        DEFINED     2      35,300
BOSTON PROPERTIES INC         COM   101121101  1,137   30,000      SH        DEFINED    2,4     30,000
BOWNE & CO INC                COM   103043105  442     44,175      SH        DEFINED     2      44,175
BRISTOL-MYERS SQUIBB CO       COM   110122108  1,072   50,725      SH        DEFINED     2      50,725
BURLINGTON RESOURCES INC      COM   122014103  2,729   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  1,074   23,500      SH        DEFINED     2      23,500
CIT GROUP INC                 COM   125581108  4,045   239,925     SH        DEFINED    2,4    239,925
CNA SURETY CORPORATION        COM   12612L108  219,401 27,425,147  SH        DEFINED   1,2,4  27,425,147
CNF INC                       COM   12612W104  1,124   36,925      SH        DEFINED     2      36,925
CSX CORP.                     COM   126408103  627     22,000      SH        DEFINED     2      22,000
CABLEVISION SYSTEMS           CLA   12686C109  2,062   108,600     SH        DEFINED     2     108,600
CARDINAL HEALTH  INC.         COM   14149Y108  3,671   64,437      SH        DEFINED    2,3     64,437
CARNIVAL CORP                 COM   143658300  2,378   97,000      SH        DEFINED   2,3,4    97,000
CELESTICA INC                 SUB   15101Q108  535     44,100      SH        DEFINED   2,3,4    44,100
CELESTICA INC                NOTE   15101QAA6  34,233  69,185,000  PRN       DEFINED   2,3,4   392,611
CENDANT CORPORATION           COM   151313103  2,390   185,600     SH        DEFINED   2,3,4   185,600
CENDANT CORP                 DEBT   151313AF0  9,189   14,005,000  PRN       DEFINED   2,3,4   467,767
CENDANT CORP                 DBCV   151313AN3  35,297  34,500,000  PRN       DEFINED    2,4   1,434,510
CENTEX CORP                   COM   152312104  2,990   55,000      SH        DEFINED    2,4     55,000
CEPHALON INC                  COM   156708109  840     20,400      SH        DEFINED    2,3     20,400
CEPHALON INC                 NOTE   156708AE9  2,704   3,000,000   PRN       DEFINED    2,3     37,037
CHARLES RIVER LABS           DBCV   159863AL3  1,448   1,450,000   PRN       DEFINED    2,3     37,304
CHARLES RIVER LABS            COM   159864107  679     26,000      SH        DEFINED    2,3     26,000
</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
CHEVRON TEXACO CORP           COM   166764100  3,168   49,000      SH        DEFINED   2,3,4    49,000
CHIRON CORP                   COM   170040109  1,891   49,300      SH        DEFINED   2,3,4    49,300
CHIRON CORP                  NOTE   170040AE9  19,989  34,500,000  PRN       DEFINED   2,3,4   247,065
CISCO SYSTEMS INC             COM   17275R102  3,180   245,000     SH        DEFINED    2,3    245,000
CITIGROUP INC                 COM   172967101  14,083  408,800     SH        DEFINED   2,3,4   408,800
CLEAR CHANNEL                 COM   184502102  1,696   50,000      SH        DEFINED    2,3     50,000
CLEVELAND-CLIFFS INC          COM   185896107  316     16,925      SH        DEFINED     2      16,925
COMMSCOPE INC                 COM   203372107  298     39,750      SH        DEFINED     2      39,750
COMPUTER ASSOCIATES INTL      COM   204912109  1,976   144,625     SH        DEFINED     2     144,625
PHILLIPS PETROLEUM CO         COM   20825C104  614     11,450      SH        DEFINED     2      11,450
CORNING INC                  DBCV   219350AJ4  14,306  21,000,000  PRN       DEFINED    2,4    174,938
COX COMMUN INC               SDEB   224044AX5  40,044  85,200,000  PRN       DEFINED   2,3,4   646,736
CYTEC INDUSTRIES INC          COM   232820100  1,001   35,925      SH        DEFINED     2      35,925
DR HORTON INC                 COM   23331A109  10,176  530,000     SH        DEFINED    2,4    530,000
DEL MONTE FOODS CO            COM   24522P103  271     36,375      SH        DEFINED     2      36,375
DELL COMPUTER CORP            COM   247025109  2,185   80,000      SH        DEFINED    2,3     80,000
DELPHI FINANCIAL GROUP        CLA   247131105  2,899   74,000      SH        DEFINED     2      74,000
DIAMONDS TRUST SERIES I      UNIT   252787106  39,910  500,000     SH        DEFINED     2     500,000
</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                  CLA   254067101  387     29,950      SH        DEFINED     2      29,950
DOMINION RESOURCES INC        COM   25746U109  1,400   25,000      SH        DEFINED   2,3,4    25,000
DOUBLECLICK                  NOTE   258609AC0  20,501  21,422,000  PRN       DEFINED    2,4    519,321
DU PONT DE NEMOURS E.I.       COM   263534109  1,749   45,000      SH        DEFINED    2,3     45,000
DYCOM INDUSTRIES INC          COM   267475101  2,334   225,934     SH        DEFINED    2,4    225,934
EDO CORP                      COM   281347104  193     10,400      SH        DEFINED    2,3     10,400
EDO CORP                     NOTE   281347AD6  508     500,000     PRN       DEFINED    2,3     15,995
EL PASO CORP                  COM   28336L109  1,386   229,100     SH        DEFINED     2     229,100
ELDERTRUST                    COM   284560109  1,424   208,200     SH        DEFINED    2,4    208,200
ELECTRONIC DATA SYSTEMS       COM   285661104  733     41,675      SH        DEFINED     2      41,675
ENCANA CORP                   COM   292505104  1,113   34,400      SH        DEFINED     2      34,400
ENTERASYS NETWORKS INC        COM   293637104  332     179,200     SH        DEFINED     2     179,200
ESTERLINE TECHNOLOGIES        COM   297425100  462     27,300      SH        DEFINED     2      27,300
EXXON MOBIL CORP              COM   30231G102  2,097   60,000      SH        DEFINED    2,3     60,000
FMC CORP                      COM   302491303  864     55,075      SH        DEFINED     2      55,075
FMC TECHNOLOGIES INC          COM   30249U101  1,083   56,396      SH        DEFINED     2      56,396
FPL GROUP                     COM   302571104  8,576   146,100     SH        DEFINED   2,3,4   146,100
FAIRFAX FINANCIAL HOLDINGS  SUBVTG  303901AA0  15,874  25,000,000  SH        DEFINED    1,2   25,000,000
</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
FEDERAL HOME LN MGT CORP      COM   313400301  9,027   170,000     SH        DEFINED   2,3,4   170,000
FIRST CITIZENS BCSHS          CLA   31946M103  47      500         SH        DEFINED     2       500
FLEET BOSTON FINANCIAL        COM   339030108  603     25,250      SH        DEFINED     2      25,250
FOOT LOCKER INC               COM   344849104  1,255   118,600     SH        DEFINED    2,3    118,600
FOOTSTAR INC                  COM   344912100  324     38,600      SH        DEFINED     2      38,600
FRANKLIN RES INC             NOTE   354613AC5  23,960  40,000,000  PRN       DEFINED    2,4    374,416
FREEPORT MCMORAN COPPER&GOL   CLB   35671D857  1,113   65,250      SH        DEFINED     2      65,250
GABLES RESIDENTIAL TRUST     SHBEN  362418105  370     13,825      SH        DEFINED     2      13,825
GAP INC.                      COM   364760108  1,507   103,000     SH        DEFINED    2,3    103,000
GAP INC                      NOTE   364760AJ7  2,692   2,200,000   PRN       DEFINED    2,3    136,477
GENERAL CABLE CORP            COM   369300108  329     88,950      SH        DEFINED     2      88,950
GENERAL ELECTRIC CO           COM   369604103  3,290   129,000     SH        DEFINED    2,3    129,000
GENERAL MOTORS CORP           COM   370442105  3,790   111,500     SH        DEFINED   2,3,4   111,500
GENERAL MOTORS               SRCONV 370442741  17,003  700,000     SH        DEFINED   2,3,4   700,000
GENERAL MOTORS CORP          CL H   370442832  452     40,400      SH        DEFINED     2      40,400
GEORGIA-PACIFIC CORP          COM   373298108  531     38,225      SH        DEFINED     2      38,225
GLIMCHER REALTY TRUST        SHBEN  379302102  493     25,675      SH        DEFINED     2      25,675
GREAT LAKES REIT              COM   390752103  922     65,000      SH        DEFINED    2,4     65,000
</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
HCA INC                       COM   404119109  827     20,000      SH        DEFINED     2      20,000
HEALTH CARE PPTYS INVEST      COM   421915109  2,268   68,000      SH        DEFINED     2      68,000
HEALTHSOUTH CORP.             COM   421924101  49      575,000     SH        DEFINED    2,4    575,000
HEALTHSOUTH CORP             SDCV   421924AF8  500     4,000,000   PRN       DEFINED    2,4    109,200
HEALTHCARE REALTY TRUST       COM   421946104  6,010   246,100     SH        DEFINED    2,4    246,100
HEALTH NET INC                COM   42222G108  663     24,775      SH        DEFINED     2      24,775
HEARST-ARGYLE TELEVISION      COM   422317107  1,448   70,000      SH        DEFINED     2      70,000
HEWLETT-PACKARED CO           COM   428236103  657     42,275      SH        DEFINED     2      42,275
IDEC PHARMACEUTICALS CORP     COM   449370105  923     26,100      SH        DEFINED   2,3,4    26,100
IMC GLOBAL INC                COM   449669100  1,276   132,600     SH        DEFINED    2,4    132,600
INCO LTD                      COM   453258402  2,280   121,300     SH        DEFINED    2,4    121,300
INCO LTD                     NOTE   453258AM7  3,201   5,000,000   PRN       DEFINED    2,4    132,765
INSITUFORM TECHNOLOGIES       CLA   457667103  673     50,000      SH        DEFINED    2,4     50,000
INTEL CORP                    COM   458140100  1,289   79,200      SH        DEFINED    2,3     79,200
INTL BUSINESS MACHINE         COM   459200101  9,898   126,200     SH        DEFINED    2,4    126,200
INTERNATIONAL PAPER CO.       COM   460146103  984     29,100      SH        DEFINED    2,4     29,100
INTERPUBLIC GROUP COS         COM   460690100  3,053   320,700     SH        DEFINED   2,3,4   320,700
INTERSTATE BAKERIES           COM   46072H108  249     23,750      SH        DEFINED     2      23,750
</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
INVITROGEN INC               NOTE   46185RAD2  682     783,000     PRN       DEFINED     2      9,094
IONICS INC                    COM   462218108  2,483   150,000     SH        DEFINED    2,4    150,000
JACOR COMM INC               FRNT   469858AB0  3,108   6,240,000   PRN       DEFINED    2,4     45,099
JANUS CAPITAL GROUP INC.      COM   47102X105  1,712   150,300     SH        DEFINED     2     150,300
JOHNSON & JOHNSON             COM   478160104  2,894   50,000      SH        DEFINED    2,3     50,000
KELLWOOD CO                   COM   488044108  57      1,975       SH        DEFINED     2      1,975
KENNAMETAL INC                COM   489170100  281     10,000      SH        DEFINED     2      10,000
KERR MC GEE CORP              COM   492386107  3,655   90,000      SH        DEFINED    2,4     90,000
KINDRED HEALTHCARE INC        COM   494580103  4       314         SH        DEFINED    2,4      314
L-3 COMMUNICATIONS CORP       COM   502424104  3,670   89,740      SH        DEFINED    2,3     89,740
L-3 COMMUNICATIONS CORP      NOTE   502424AB0  2,847   2,400,000   PRN       DEFINED    2,3     58,896
LABORATORY CRP OF AMER HLDG   COM   50540R409  3,072   102,400     SH        DEFINED   2,3,4   102,400
LAMAR ADVERTISING             CLA   512815101  1,175   39,050      SH        DEFINED    2,3     39,050
LAMAR ADVERTISING            NOTE   512815AF8  2,818   2,800,000   PRN       DEFINED    2,3     60,540
LEAR CORP                     COM   521865105  969     27,425      SH        DEFINED     2      27,425
LEHMAN BROTHERS HOLDING       COM   524908100  1,155   20,000      SH        DEFINED    2,3     20,000
LEHMAN BROTHERS HOLDING      FRNT   524908EC0  2,525   2,500,000   PRN       DEFINED    2,4     26,016
LENNOX INTERNATIONAL INC      COM   526107107  1,049   72,650      SH        DEFINED    2,4     72,650
</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
LIBERTY MEDIA                 COM   530718105  11,015  1,132,100   SH        DEFINED   2,3,4  1,132,100
LINCOLN NATIONAL CORP IND     COM   534187109  1,820   65,000      SH        DEFINED    2,4     65,000
LOCKHEED MARTIN CORP          COM   539830109  3,376   71,000      SH        DEFINED    2,3     71,000
LODGIAN INC                   COM   54021P205  290     89,450      SH        DEFINED    2,4     89,450
LOWES COMPANIES               COM   548661107  8,523   208,300     SH        DEFINED   2,3,4   208,300
LOWES COMPANIES              NOTE   548661CG0  19,178  20,000,000  PRN       DEFINED   2,3,4   344,240
LUBRIZOL CORP                 COM   549271104  581     19,375      SH        DEFINED     2      19,375
MANDALAY RESORT GROUP         COM   562567107  1,704   61,000      SH        DEFINED   2,3,4    61,000
MARSH & MCLENNAN              COM   571748102  2,208   51,800      SH        DEFINED     2      51,800
MCDONALD'S CORP               COM   580135101  1,508   104,300     SH        DEFINED     2     104,300
MEDICIS PHARMACEUTICAL        CLA   584690309  1,524   27,500      SH        DEFINED    2,3     27,500
MEDICIS PHARMACEUTICAL       NOTE   58470KAA2  2,635   2,200,000   PRN       DEFINED    2,3     37,866
MEDTRONIC INC                 COM   585055106  6,452   143,000     SH        DEFINED    2,3    143,000
MERRILL LYNCH & CO            COM   590188108  3,836   106,600     SH        DEFINED   2,3,4   106,600
MERRILL LYNCH & CO           NOTE   590188A65  14,955  28,000,000  PRN       DEFINED   2,3,4   159,004
MERRILL LYNCH & CO           FRNT   590188A73  35,664  36,500,000  PRN       DEFINED   2,3,4   504,477
METLIFE INC                   COM   59156R108  3,825   145,000     SH        DEFINED    2,4    145,000
MICROSOFT CORP                COM   594918104  3,535   146,000     SH        DEFINED    2,3    146,000
</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
MILACRON INC                  COM   598709103  261     62,775      SH        DEFINED     2      62,775
MONSANTO CO                   COM   61166W101  1,167   71,150      SH        DEFINED     2      71,150
MSDW ASIA PACIFIC FUND        COM   61744U106  774     110,500     SH        DEFINED     2     110,500
MORGAN STANLEY INDIA INVEST   COM   61745C105  704     75,800      SH        DEFINED     2      75,800
MOTOROLA INC                 NOTE   620076AJ8  3,368   4,389,000   PRN       DEFINED   2,3,4   147,181
NABORS INDS INC              DBCV   629568AF3  2,586   4,000,000   PRN       DEFINED    2,4     28,298
NACCO INDUSTRIES              CLA   629579103  538     11,700      SH        DEFINED     2      11,700
NATIONWIDE FINANCIAL SERV     CLA   638612101  975     40,000      SH        DEFINED    2,4     40,000
NETBANK INC                   COM   640933107  25      2,700       SH        DEFINED    2,3     2,700
NETWORK ASSOCIATES            COM   640938106  1,234   84,785      SH        DEFINED    2,3     84,785
NETWORK ASSOCIATES           NOTE   64123LAB7  2,426   2,100,000   PRN       DEFINED    2,3    116,215
NEWHALL LAND & FARMING CO   DEPREC  651426108  1,779   61,200      SH        DEFINED    2,4     61,200
NEWS AMER INC                NOTE   652482AZ3  46,924  87,300,000  PRN       DEFINED   2,3,4  1,060,547
NORFOLK SOUTHERN CORP.        COM   655844108  7,090   382,000     SH        DEFINED    2,4    382,000
NORTH FORK BANCORP            COM   659424105  1,473   50,000      SH        DEFINED    2,4     50,000
NORTHERN TRUST CORP           COM   665859104  1,565   51,400      SH        DEFINED     2      51,400
OCULAR SCIENCES INC           COM   675744106  185     13,275      SH        DEFINED     2      13,275
OLD REPUBLIC INTL CORP        COM   680223104  5,104   190,800     SH        DEFINED    2,4    190,800
</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
OMNICOM GROUP                 COM   681919106  2,709   48,800      SH        DEFINED   2,3,4    48,800
OMNICOM GROUP                NOTE   681919AK2  3,920   4,000,000   PRN       DEFINED    2,4     36,360
OMNICOM GROUP                NOTE   681919AM8  12,516  12,500,000  PRN       DEFINED   2,3,4   113,625
ONEOK INC                     COM   682680103  369     20,000      SH        DEFINED   2,3,4    20,000
PUBLIC SVC CO N MEX           COM   69349H107  517     22,975      SH        DEFINED     2      22,975
PPL CORPORATION               COM   69351T106  627     17,600      SH        DEFINED     2      17,600
PALL CORP                     COM   696429307  1,600   80,000      SH        DEFINED    2,4     80,000
PATHMARK STORES INC           COM   70322A101  4,718   706,332     SH        DEFINED    2,4    706,332
PAYLESS SHOESOURCE INC        COM   704379106  1,144   73,125      SH        DEFINED     2      73,125
J.C. PENNY CO INC             COM   708160106  479     24,100      SH        DEFINED    2,3     24,100
J.C. PENNY CO INC            NOTE   708160BV7  1,263   1,250,000   PRN       DEFINED    2,3     43,860
PEPSICO INCORPORATED          COM   713448108  3,280   82,000      SH        DEFINED    2,3     82,000
PERFORMANCE FOOD GROUP        COM   713755106  1,083   36,290      SH        DEFINED    2,3     36,290
PERFORMANCE FOOD             NOTE   713755AA4  1,811   1,500,000   PRN       DEFINED    2,3     45,524
PFIZER INC                    COM   717081103  5,793   185,900     SH        DEFINED    2,3    185,900
PHARMACEUTICAL HOLDRS TR    DEPREC  71712A206  6,911   93,300      SH        DEFINED     2      93,300
PIONEER STANDARD ELECTR       COM   723877106  381     45,125      SH        DEFINED     2      45,125
PLACER DOME INC               COM   725906101  1,457   148,700     SH        DEFINED     2     148,700
</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
PLUM CREEK TIMBER CO          COM   729251108  1,080   50,000      SH        DEFINED    2,4     50,000
PRESIDENTIAL LIFE CORP        COM   740884101  88      13,925      SH        DEFINED     2      13,925
PRIME HOSPITALITY CORP        COM   741917108  33      6,375       SH        DEFINED    2,4     6,375
PROCTER & GAMBLE CO           COM   742718109  2,850   32,000      SH        DEFINED    2,3     32,000
PROSPECT STREET INC SHS       COM   743590101  1,054   174,501     SH        DEFINED    2,4    174,501
PUBLIC SVC ENTERPRISE GRP     COM   744573106  4,712   128,300     SH        DEFINED   2,3,4   128,300
PULTE CORP                    COM   745867101  7,523   150,000     SH        DEFINED    2,4    150,000
QUALCOMM INC                  COM   747525103  2,344   65,000      SH        DEFINED    2,3     65,000
RFS HOTEL INVESTORS INC       COM   74955J108  399     41,100      SH        DEFINED     2      41,100
R.H. DONNELLEY CORP           COM   74955W307  332     11,175      SH        DEFINED     2      11,175
RADIAN GROUP INC              COM   750236101  875     26,225      SH        DEFINED     2      26,225
REEBOK INTL LTD               COM   758110100  880     26,800      SH        DEFINED    2,3     26,800
REEBOK INTL LTD              DBCV   758110AE0  2,519   2,200,000   PRN       DEFINED    2,3     57,054
REGENERON PHARM              NOTE   75886FAB3  630     687,000     PRN       DEFINED     2      22,710
REGIONAL BANK HOLDERS TR    DEPREC  75902E100  19,008  200,000     SH        DEFINED     2     200,000
RELIANT RESOURCES INC         COM   75952B105  477     133,900     SH        DEFINED     2     133,900
REPUBLIC BANCORP              COM   760282103  161     13,625      SH        DEFINED     2      13,625
RESMED INC                    COM   761152107  460     14,400      SH        DEFINED    2,3     14,400
</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
RESMED INC                   NOTE   761152AB3  1,395   1,450,000   PRN       DEFINED    2,3     23,927
SCHLUMBERGER LIMITED          COM   806857108  2,227   58,600      SH        DEFINED    2,3     58,600
SCHOOL SPECIALTY INC          COM   807863105  492     27,370      SH        DEFINED    2,3     27,370
SCHOOL SPECIALTY             NOTE   807863AC9  1,294   1,375,000   PRN       DEFINED    2,3     42,582
SERVICEMASTER COMPANY         COM   81760N109  498     49,750      SH        DEFINED     2      49,750
SIEBEL SYSTEMS               NOTE   826170AC6  18,394  18,440,000  PRN       DEFINED    2,4    790,862
SIRIUS SATELLITE RADIO INC    COM   82966U103  40,587  55,597,947  SH        DEFINED    2,4   55,597,947
SOLECTRON CORP                COM   834182107  499     165,100     SH        DEFINED     2     165,100
SOLECTRON CORP               NOTE   834182AK3  6,875   11,000,000  PRN       DEFINED   2,3,4   135,640
SOLECTRON CORP               NOTE   834182AL1  10,124  18,700,000  PRN       DEFINED    2,4    220,402
SPANISH BROADCASTING SYS      CLA   846425882  4,288   698,400     SH        DEFINED    2,4    698,400
SPHERION CORPORATION          COM   848420105  501     126,150     SH        DEFINED     2     126,150
SPRINT CORP-PCS GROUP         COM   852061506  2,948   698,528     SH        DEFINED  1,2,3,4  698,528
STAR GAS PARTNER              SUB   85512C204  424     29,229      SH        DEFINED    2,4     29,229
STEIN MART INC                COM   858375108  146     28,550      SH        DEFINED     2      28,550
STMICROELECTRONICS           NYREG  861012102  1,027   52,200      SH        DEFINED    2,4     52,200
STMICROELECTRONICS           NOTE   861012AB8  15,863  18,000,000  PRN       DEFINED    2,4    473,256
SUNOCO INC                    COM   86764P109  3,657   100,000     SH        DEFINED    2,4    100,000
</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
SYMANTEC CORP                 COM   871503108  2,302   57,200      SH        DEFINED    2,3     57,200
SYMANTEC CORP                NOTE   871503AB4  3,255   2,400,000   PRN       DEFINED    2,3     70,299
TJX COS. INC.                 COM   872540109  1,786   99,900      SH        DEFINED   2,3,4    99,900
TJX COS INC                  NOTE   872540AL3  5,310   6,800,000   PRN       DEFINED   2,3,4   222,136
TARGET CORP                   COM   87612E106  2,341   80,000      SH        DEFINED    2,3     80,000
TECH DATA CORP                COM   878237106  758     31,500      SH        DEFINED    2,4     31,500
TEJON RANCH                   COM   879080109  545     20,600      SH        DEFINED     2      20,600
TELLABS INC                   COM   879664100  389     67,175      SH        DEFINED     2      67,175
TENET HEALTHCARE CORP         COM   88033G100  1,139   68,175      SH        DEFINED     2      68,175
TEXTRON INC                   COM   883203101  665     24,200      SH        DEFINED     2      24,200
3M CO                         COM   88579Y101  1,305   10,000      SH        DEFINED   2,3,4    10,000
TRAVELERS PROPERTY CASUALTY   CLA   89420G109  1,080   76,684      SH        DEFINED    2,4     76,684
TRAVELERS PROPERTY CASUALTY NTCVJR  89420G307  314     14,000      SH        DEFINED    2,4     14,000
TRIARC COMPANIES              CLA   895927101  343     12,300      SH        DEFINED     2      12,300
TRIBUNE CO                    COM   896047107  4,051   90,000      SH        DEFINED    2,3     90,000
TRINITY INDUSTRIES            COM   896522109  403     23,425      SH        DEFINED     2      23,425
TRIZEC PROPERTIES INC         COM   89687P107  901     106,000     SH        DEFINED     2     106,000
TYCO INTERNATIONAL LTD        COM   902124106  6,228   476,750     SH        DEFINED   2,3,4   476,750
</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
USI HOLDINGS CORP             COM   90333H101  38,899  3,740,278   SH        DEFINED    2,4   3,740,278
UNITED PARCEL SERVICE         CLB   911312106  2,537   44,500      SH        DEFINED    2,3     44,500
UNIVERSAL CORP                COM   913456109  321     8,500       SH        DEFINED     2      8,500
UNIVERSAL HEALTH SERVICES     CLB   913903100  3,669   90,000      SH        DEFINED    2,4     90,000
UNOCAL CORP                   COM   915289102  1,450   55,100      SH        DEFINED     2      55,100
USFREIGHTWAYS CORP            COM   916906100  322     12,725      SH        DEFINED     2      12,725
UTSTARCOM INC                 COM   918076100  1,314   65,000      SH        DEFINED   2,3,4    65,000
VALERO ENERGY CORP            COM   91913Y100  1,862   45,000      SH        DEFINED     2      45,000
VEECO INSTRUMENTS INC.        COM   922417100  348     21,650      SH        DEFINED    2,3     21,650
VENTAS INC                    COM   92276F100  2,141   184,575     SH        DEFINED    2,4    184,575
VENATOR GROUP                NOTE   922944AB9  2,591   2,500,000   PRN       DEFINED    2,3    158,168
VERITAS SOFTWARE CORP         COM   923436109  1,117   62,300      SH        DEFINED   2,3,4    62,300
VERIZON COMMUNICATIONS        COM   92343V104  1,061   30,000      SH        DEFINED    2,3     30,000
VERIZON GLOBAL               NOTE   92344GAN6  13,599  23,000,000  PRN       DEFINED    2,4    182,431
VIAD CORP                     COM   92552R109  1,168   54,500      SH        DEFINED     2      54,500
VISHAY INTERTECH             NOTE   928298AD0  1,386   2,500,000   PRN       DEFINED    2,4     44,172
WAL MART STORES INC           COM   931142103  3,122   60,000      SH        DEFINED    2,3     60,000
WALGREEN CO                   COM   931422109  2,358   80,000      SH        DEFINED    2,3     80,000
</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
WARNACO GROUP INC             CLA   934390402  2,448   245,751     SH        DEFINED    2,4    245,751
WASHINGTON GROUP INTL         COM   938862208  5,161   294,238     SH        DEFINED    2,4    294,238
WASHINGTON MUTUAL INC         COM   939322103  1,128   31,975      SH        DEFINED     2      31,975
WATSON PHARMACEUTICALS        COM   942683103  1,114   38,200      SH        DEFINED    2,3     38,200
WELLS FARGO & COMPANY         COM   949746101  4,499   100,000     SH        DEFINED    2,3    100,000
WEYERHAEUSER COMPANY          COM   962166104  239     5,000       SH        DEFINED     2      5,000
WHIRLPOOL CORPORATION         COM   963320106  865     17,650      SH        DEFINED     2      17,650
WILLIAMS COS INC              COM   969457100  921     201,012     SH        DEFINED    1,2    201,012
WILSONS THE LEATHER EXPERTS   COM   972463103  305     76,550      SH        DEFINED     2      76,550
WISCONSIN ENERGY CORP         COM   976657106  686     27,000      SH        DEFINED     2      27,000
XCEL ENERGY INC               COM   98389B100  2,626   205,000     SH        DEFINED    2,4    205,000
YORK INTERNATIONAL CORP       COM   986670107  395     18,800      SH        DEFINED     2      18,800
ANNUITY AND LIFE RE HOLDING   ORD   G03910109  46      76,300      SH        DEFINED     2      76,300
COOPER INDUSTRIES LTD         CLA   G24182100  1,011   28,300      SH        DEFINED     2      28,300
INGERSOLL RAND CO             CLA   G4776G101  660     17,100      SH        DEFINED     2      17,100
IPC HOLDINGS LTD              ORD   G4933P101  1,414   47,000      SH        DEFINED     2      47,000
NABORS INDUSTRIES INC         SHS   G6359F103  359     9,000       SH        DEFINED     2      9,000
TRENWICK GROUP LTD            COM   G9032C109  445     3,707,400   SH        DEFINED   1,2,4  3,707,400
XL CAPITAL LTD                CLA   G98255105  460     6,500       SH        DEFINED     2      6,500
ALCON INC                     COM   H01301102  3,323   81,000      SH        DEFINED    2,3     81,000
</Table>