FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: December 31,2004

Check here if Amendment [   ]; Amendment Number:
This Amendment (Check only one.):  [   ] is a restatement.
                                   [   ] adds new holdings entries.

Institutional Investment Manager Filing this Report:

Name:     CNA Financial Corporation
Address:  CNA Plaza
	  Chicago,IL 60685


13F File Number:  28-346

The institutional investment manager filing this report and the
person by whom it is signed hereby represent that the person
signing the report is authorized to submit it, that all
information contained herein is true, correct, and complete, and
that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of
this form.


Person Signing this Report on Behalf of Reporting Manager:

Name: Lynne Gugenheim
Title: Senior Vice President and Deputy General Counsel
Phone: (312) 822 4921
Signature, Place, and Date of Signing:
February 14,2005
Chicago, Illinois,60685
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES EXCHANGE
ACT OF 1934

Report Type (Check only one.):

 [  X ]              13F HOLDINGS REPORT.

 [    ]              13F NOTICE.

 [    ]              13F COMBINATION REPORT.

List of Other Managers Reporting for this Manager:



Assets reported herein are described as having shared
investment discretion among Loews Corporation, CNA
Financial Corporation,The Continental Corporation,
Continental Casualty Company and Continental Assurance
Company. Each of the foregoing entities specifically disclaims
ownership of any securities in this report which are not
beneficially owned by that entity and states that such
assets are solely under the control of its board of directors.
The characterization of shared investment discretion with parent
holding companies is made solely as a consequence of SEC
interpretations regarding control of the subsidiary through
share ownership.  Loews Corporation owns approximately 90%
of the outstanding shares of CNA Financial Corporation;
CNA Financial Corporation owns 100% of the outstanding
 shares of Continental Casualty Company and The Continental
Corporation; and Continental Casualty Company owns 100%
of the outstanding shares of Continental Assurance Company.
Loews Corporation will report separately on securities over which
it has investment discretion which are not part of this report.
<Page>



FORM 13F SUMMARY PAGE

Report Summary:

Number of Other Included Managers: 4

Form 13F Information Table Entry Total: 247

Form 13F Information Table Value Total:  1,132,075 (in thousands)



List of Other Included Managers:

No. 	13F File Number		 Name

1	28-172		The Continental Corporation
2	28 -217		Loews Corporation
3	28-386		Continental Assurance Company
4	28-387		Continental Casualty Company
<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  1,714   20,000     SH       DEFINED      2      20,000
99 CENTS ONLY STORES        COM     65440K106  1,317   100,000    SH       DEFINED     2,4    100,000
ABBOTT LABORATORIES         COM     002824100  1,166   25,000     SH       DEFINED      2      25,000
ACCENTURE LTD               CL A    G1150G111  1,302   53,900     SH       DEFINED      2      53,900
ACTUANT CORPORATION         SDCV    00508XAB0  258     200,000    PRN      DEFINED     2,3      6,465
ADVANCED MEDICAL OPTICS     NOTE    00763MAG3  2,498   2,550,000  PRN      DEFINED     2,3     49,731
AFFILIATED MANAGERS GRP     DBCV    008252AE8  14,032  10,000,000 PRN      DEFINED    2,3,4   259,053
AFTERMARKET TECHNOLOGY CORP COM     008318107  474     28,750     SH       DEFINED      2      28,750
AGILENT TECH INC            DBCV    00846UAB7  44,704  45,500,000 PRN      DEFINED    2,3,4 1,387,452
ALCON INC                   COM SHS H01301102  536     6,000      SH       DEFINED      2       6,000
ALLSTATE CORPORATION        COM     020002101  1,654   30,600     SH       DEFINED      2      30,600
AMBAC FINANCIAL GROUP INC   COM     023139108  262     3,500      SH       DEFINED      2       3,500
AMERICAN EXPRESS            COM     025816109  1,027   20,000     SH       DEFINED      2      20,000
AMERICAN GREET              NOTE    026375AJ4  1,051   560,000    PRN      DEFINED     2,3     75,645
AMERICAN HOME MORTGAGE INVESCOM     02660R107  691     24,125     SH       DEFINED      2      24,125
AMERICAN INTL GROUP INC     COM     026874107  4,433   80,000     SH       DEFINED      2      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
AMERICAN NATIONAL INSURANCE COM     028591105  572     5,400      SH       DEFINED      2       5,400
AMERICAN PHYSICIANS CAP INC COM     028884104  935     27,275     SH       DEFINED      2      27,275
AMERUS GROUP CO             COM     03072M108  645     13,650     SH       DEFINED      2      13,650
AMGEN INC                   NOTE    031162AE0  14,732  20,250,000 PRN      DEFINED     2,4    130,526
ANADARKO PETROLEUM CORP     COM     032511107  11,415  150,000    SH       DEFINED      2     150,000
ANDREW CORP                 NOTE    034425AB4  1,150   1,050,000  PRN      DEFINED     2,3     83,987
AON CORP                    COM     037389103  3,815   167,050    SH       DEFINED      2     167,050
ARMOR HOLDINGS INC          NOTE    042260AC3  1,184   1,240,000  PRN      DEFINED     2,3     21,926
ARVINMERITOR INC            COM     043353101  1,079   69,775     SH       DEFINED      2      69,775
ASE TEST LIMITED            ORD     Y02516105  635     125,000    SH       DEFINED     2,4    125,000
ASHLAND INC                 COM     044204105  2,274   33,700     SH       DEFINED      2      33,700
AXIS CAPITAL HOLDINGS LTD   SHS     G0692U109  1,284   47,500     SH       DEFINED      2      47,500
BANK OF NEW YORK            COM     064057102  1,194   41,100     SH       DEFINED      2      41,100
BAUSCH & LOMB INC           FRNT    071707AM5  2,178   1,500,000  PRN      DEFINED    2,3,4    35,444
BEARINGPOINT INC            COM     074002106  3,515   400,750    SH       DEFINED      2     400,750
</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
BEST BUY COMPANY INC        COM     086516101  2,241   41,500     SH       DEFINED      2      41,500
BIOGEN IDEC INC             NOTE    449370AE5  6,820   11,000,000 PRN      DEFINED    2,3,4    49,023
BOEING COMPANY              COM     097023105  3,950   67,575     SH       DEFINED      2      67,575
BOSTON SCIENTIFIC CORP      COM     101137107  1,259   43,000     SH       DEFINED      2      43,000
BOWNE & CO INC              COM     103043105  645     42,900     SH       DEFINED      2      42,900
BP PLC-SPONS ADR            ADR     055622104  1,236   19,800     SH       DEFINED      2      19,800
BRISTOL-MYERS SQUIBB CO     COM     110122108  1,083   42,550     SH       DEFINED      2      42,550
BURLINGTON RESOURCES INC    COM     122014103  3,805   76,000     SH       DEFINED      2      76,000
CABLEVISION SYSTEMS  -CL A  CL A    12686C109  2,805   100,000    SH       DEFINED      2     100,000
CARNIVAL CORP               NOTE    143658AS1  4,744   5,500,000  PRN      DEFINED    2,3,4    78,729
CARNIVAL CORP               DBCV    143658AV4  3,881   5,000,000  PRN      DEFINED    2,3,4    47,274
CATERPILLAR INC             COM     149123101  914     10,000     SH       DEFINED      2      10,000
CELESTICA INC               NOTE    15101QAA6  2,806   5,000,000  PRN      DEFINED     2,3     15,925
CENTEX CORP                 COM     152312104  5,040   88,000     SH       DEFINED      2      88,000
CENTRAL EUROPE & RUSSIA FUNDCOM     153436100  789     26,100     SH       DEFINED      2      26,100
</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

CHEVRON TEXACO CORP         COM     166764100  2,041   35,000     SH       DEFINED      2      35,000
CIBER INC                   COM     17163B102  834     114,725    SH       DEFINED      2     114,725
CIGNA CORP                  COM     125509109  1,627   18,225     SH       DEFINED      2      18,225
CINERGY CORP                COM     172474108  3,448   85,100     SH       DEFINED      2      85,100
CISCO SYSTEMS INC           COM     17275R102  1,073   60,000     SH       DEFINED      2      60,000
CIT GROUP INC               COM     125581108  1,812   47,675     SH       DEFINED      2      47,675
CITIGROUP INC               COM     172967101  7,600   169,125    SH       DEFINED      2     169,125
CNA SURETY CORPORATION      COM     12612L108  372,982 27,425,147 SH       DEFINED    1,2,4 27,425,147
CNF INC                     COM     12612W104  1,397   29,850     SH       DEFINED      2      29,850
COCA COLA CO                COM     191216100  346     8,300      SH       DEFINED      2       8,300
COMCAST CORP CL A SPL       CL A    20030N200  8,016   240,000    SH       DEFINED      2     240,000
COMCAST CORP-CL A           CLA     20030N101  4,270   126,400    SH       DEFINED      2     126,400
COMMSCOPE INC               COM     203372107  671     44,850     SH       DEFINED      2      44,850
COMPUTER ASSOCIATES INTL INCCOM     204912109  2,052   75,725     SH       DEFINED      2      75,725
COOPER CAMERON CORP         DBCV    216640AE2  3,188   3,000,000  PRN      DEFINED     2,4     46,173
CORINTHIAN COLLEGES INC     COM     218868107  236     15,000     SH       DEFINED      2      15,000
</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
CORNING INC                 NOTE    219350AK1  1,513   1,326,000  PRN      DEFINED     2,4    156,413
CORNING INC.                COM     219350105  219     19,664     SH       DEFINED     2,4     19,664
CREDENCE SYSTEMS CORP       NOTE    225302AF5  959     1,000,000  PRN      DEFINED     2,3     84,770
CVS CORP                    COM     126650100  1,842   35,000     SH       DEFINED      2      35,000
DANAHER CORP                COM     235851102  908     17,000     SH       DEFINED      2      17,000
DEL MONTE FOODS CO          COM     24522P103  982     90,500     SH       DEFINED      2      90,500
DELL COMPUTER CORP          COM     24702R101  1,153   30,000     SH       DEFINED      2      30,000
DELPHI FINANCIAL GROUP-CL A CLA     247131105  1,560   36,275     SH       DEFINED      2      36,275
DEX MEDIA INC               COM     25212E100  1,360   65,850     SH       DEFINED      2      65,850
DIAGEO PLC-SPONSORED ADR    ADR     25243Q205  2,014   35,400     SH       DEFINED      2      35,400
DISNEY (WALT) CO            NOTE    254687AU0  38,456  35,000,000 PRN      DEFINED    2,3,4 1,305,370
DOMINION RESOURCES INC      NOTE    25746UAT6  19,190  18,125,000 PRN      DEFINED    2,3,4   260,723
DOUBLECLICK INC             NOTE    258609AE6  4,686   5,100,000  PRN      DEFINED    2,3,4   357,190
DST SYSTEMS INC             DBCV    233326AD9  2,517   2,250,000  PRN      DEFINED     2,3     51,283
DUKE ENERGY CORP            NOTE    264399EJ1  8,383   7,000,000  PRN      DEFINED    2,3,4   355,341
</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
ECC CAPITAL CORP            COM     26826M108  2,091   348,500    SH       DEFINED     2,4    348,500
ECHOSTAR COMMUNICATIONS - A CLA     278762109  1,582   54,100     SH       DEFINED      2      54,100
ELECTRONCIS FOR IMAGING     DBCV    286082AA0  1,344   1,450,000  PRN      DEFINED     2,3     50,877
ELECTRONIC DATA SYSTEMS     NOTE    285661AF1  32,094  32,500,000 PRN      DEFINED    2,3,4   940,064
EMPRESA BRASILIERA DE AE-ADRADR PFD 29081M102  1,878   60,000     SH       DEFINED      2      60,000
ENTERGY CORP                COM     29364G103  855     12,100     SH       DEFINED      2      12,100
ESTERLINE TECHNOLOGIES CORP COM     297425100  460     13,300     SH       DEFINED      2      13,300
EXELON CORP                 COM     30161N101  4,791   104,400    SH       DEFINED      2     104,400
FEDERAL HM LOAN MORTGAGE CORCOM     313400301  5,351   84,675     SH       DEFINED      2      84,675
FEDERAL NATL MTGE ASSN.     COM     313586109  2,454   45,075     SH       DEFINED      2      45,075
FIRST AMERICAN CORPORATION  COM     318522307  1,393   42,275     SH       DEFINED      2      42,275
FIRST CITIZENS BCSHS  -CL A CL A    31946M103  278     1,900      SH       DEFINED      2       1,900
FLIR SYSTEMS INC            NOTE    302445AB7  1,318   870,000    PRN      DEFINED     2,3     29,706
FMC CORP (NEW)              COM     302491303  1,738   32,525     SH       DEFINED      2      32,525
GATX CORP                   COM     361448103  413     12,450     SH       DEFINED      2      12,450
GENERAL CABLE CORP          COM     369300108  578     47,925     SH       DEFINED      2      47,925
GENERAL ELECTRIC CO         COM     369604103  4,724   131,000    SH       DEFINED      2     131,000
GENERAL MARITIME CORP       SHS     Y2692M103  4,117   85,000     SH       DEFINED      2      85,000
</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              SR CONVA370442741  18,800  800,000    SH       DEFINED    2,3,4   800,000
GENZYME CORP                NOTE    372917AN4  2,588   2,550,000  PRN      DEFINED     2,3     36,330
GILEAD SCIENCES INC         COM     375558103  197     5,500      SH       DEFINED      2       5,500
GLENBOROUGH REALTY TRUST INCCOM     37803P105  548     28,675     SH       DEFINED      2      28,675
GUITAR CENTER MG            NOTE    402040AC3  2,134   1,300,000  PRN      DEFINED      3      61,701
HALLIBURTON COMPANY         COM     406216101  1,189   27,500     SH       DEFINED      2      27,500
HANGER ORTHOPEDIC GROUP INC COM     41043F208  212     35,575     SH       DEFINED      2      35,575
HEALTH NET INC              COM     42222G108  3,116   95,250     SH       DEFINED      2      95,250
HERCULES INC                COM     427056106  1,521   105,000    SH       DEFINED     2,4    105,000
HERMAN MILLER INC           COM     600544100  250     8,300      SH       DEFINED      2       8,300
HEWLETT-PACKARD CO.         COM     428236103  2,199   100,250    SH       DEFINED      2     100,250
HORACE MANN EDUCATORS       COM     440327104  903     50,900     SH       DEFINED      2      50,900
HUMAN GENOME SCIENCES       NOTE    444903AF5  4,314   4,500,000  PRN      DEFINED    2,3,4    76,700
HUNTSMAN CORP               COM     447011107  583     25,000     SH       DEFINED     2,4     25,000
HUNTSMAN CORP               PFD MND 447011206  1,530   30,000     PRN      DEFINED    2,3,4    30,000
HUTCHINSON TECH             NOTE    448407AE6  1,281   1,000,000  PRN      DEFINED     2,3     42,937
IDACORP INC                 COM     451107106  649     22,875     SH       DEFINED      2      22,875
IKON MBIA INC.              COM     55262C100  3,662   70,050     SH       DEFINED      2      70,050
</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

INCO LTD                    NOTE    453258AM7  5,294   5,000,000  PRN      DEFINED     2,4    140,565
INCO LTD                    DBCV    453258AT2  4,180   3,152,000  PRN      DEFINED      2     133,501
INTEGRA LIFESCIENCES HLD    NOTE    457985AB5  766     635,000    PRN      DEFINED     2,3     22,431
INTEL CORP                  COM     458140100  1,162   50,000     SH       DEFINED      2      50,000
INTERNATIONAL BUSINESS MACHICOM     459200101  7,036   77,000     SH       DEFINED      2      77,000
INTERNATIONAL SECURITIES EXCCLA     46031W204  13      500        SH       DEFINED      2         500
INTERPUBLIC GROUP COS       NOTE    460690AT7  2,620   2,130,000  PRN      DEFINED     2,3    210,942
INTL GAME TECHNOLOGY        COM     459902102  160     6,000      SH       DEFINED      2       6,000
INTL GAME TECHNOLOGY        DBCV    459902AL6  1,283   2,000,000  PRN      DEFINED     2,4     27,151
INTL RECTIFIER              NOTE    460254AE5  41,740  41,897,000 PRN      DEFINED    2,3,4   564,549
INVITROGEN INC              NOTE    46185RAJ9  2,088   1,800,000  PRN      DEFINED     2,3     30,596
IPC HOLDINGS LTD            ORD     G4933P101  3,228   82,175     SH       DEFINED      2      82,175
ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848  15,735  1,500,000  SH       DEFINED      2   1,500,000
JANUS CAPITAL GROUP INC.    COM     47102X105  1,314   94,200     SH       DEFINED      2      94,200
JOHNSON & JOHNSON           COM     478160104  1,343   20,000     SH       DEFINED      2      20,000
JPMORGAN CHASE & COMPANY    COM     46625H100  1,727   49,900     SH       DEFINED      2      49,900
KAYDON CORP                 NOTE    486587AB4  771     650,000    PRN      DEFINED     2,3     26,443
</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
KELLWOOD CO                 COM     488044108  659     22,900     SH       DEFINED      2      22,900
KELLY SERVICES INC -CL A    CL A    488152208  653     22,675     SH       DEFINED      2      22,675
KENNAMETAL INC              COM     489170100  475     10,000     SH       DEFINED      2      10,000
KIMBERLY CLARK              COM     494368103  1,643   25,000     SH       DEFINED      2      25,000
L-3 COMMUNICATIONS CORP     COM     502424104  213     3,000      SH       DEFINED      2       3,000
LEAR SEATING CORP           COM     521865105  3,445   77,650     SH       DEFINED      2      77,650
LEHMAN_BROTHERS_HOLDING INC COM     524908100  1,789   19,000     SH       DEFINED      2      19,000
LENNOX INTERNATL            NOTE    526107AB3  1,054   815,000    PRN      DEFINED     2,3     58,295
LIBBEY INC                  COM     529898108  165     7,875      SH       DEFINED      2       7,875
LIBERTY MEDIA               COMSERA 530718105  4,283   413,000    SH       DEFINED      2     413,000
LINCARE HOLDINGS            DBCV    532791AB6  1,405   1,340,000  PRN      DEFINED     2,3     26,352
LINCOLN NATIONAL CORP INDIANCOM     534187109  1,806   40,000     SH       DEFINED      2      40,000
LOWES COMPANIES             NOTE    548661CG0  20,450  20,000,000 PRN      DEFINED    2,3,4   351,985
MARRIOTT INTERNATIONAL- CL ACLA     571903202  1,504   22,500     SH       DEFINED      2      22,500
MARSH & MCLENNAN COS INC    COM     571748102  928     30,500     SH       DEFINED      2      30,500
MASSEY ENERGY CO            NOTE    576203AB9  665     300,000    PRN      DEFINED     2,3     34,290
</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
MAYTAG CORP.                COM     578592107  448     32,050     SH       DEFINED      2      32,050
MBNA CORPORATION            COM     55262L100  1,365   55,600     SH       DEFINED      2      55,600
MCKESSON HBOC INC           COM     58155Q103  2,873   76,100     SH       DEFINED      2      76,100
MEDIACOM COMMUNICATIONS CORPCL A    58446K105  1,308   200,000    SH       DEFINED      2     200,000
MEDICIS PHARMACE            NOTE    58470KAA2  1,719   1,500,000  PRN      DEFINED     2,3     29,593
MEDTRONIC INC               COM     585055106  1,274   25,000     SH       DEFINED      2      25,000
MEDTRONIC INC               DBCV    585055AD8  4,988   5,000,000  PRN      DEFINED    2,3,4    80,696
MERRILL LYNCH & CO          NOTE    590188W46  42,659  42,500,000 PRN      DEFINED    2,3,4   589,608
MERRILL LYNCH & CO INC      COM     590188108  1,347   23,800     SH       DEFINED      2      23,800
METHANEX CORP               COM     59151K108  2,137   110,000    SH       DEFINED      2     110,000
METLIFE INC                 COM     59156R108  2,796   71,500     SH       DEFINED      2      71,500
MGI PHARMA INC              NOTE    552880AB2  677     915,000    PRN      DEFINED     2,3     16,091
MICROSOFT CORP              COM     594918104  1,305   54,000     SH       DEFINED      2      54,000
MILACRON INC                COM     598709103  278     91,150     SH       DEFINED      2      91,150
MONEYGRAM INTERNATIONAL-W/I COM     60935Y109  1,638   86,700     SH       DEFINED      2      86,700
MORGAN ST DEAN WITTER DISCOVCOM     617446448  781     13,650     SH       DEFINED      2      13,650
</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
MORGAN STANLEY ASIA-PACIF FDCOM     61744U106  900     70,700     SH       DEFINED      2      70,700
NACCO INDS INC CL A         CL A    629579103  632     6,200      SH       DEFINED      2       6,200
NCI BUILDING SYSTEMS INC    COM     628852105  1,037   26,875     SH       DEFINED      2      26,875
NEUBERGER BERMAN REALTY INC COM     64126G109  662     40,000     SH       DEFINED      2      40,000
NEWS AMER INC               NOTE    652482AZ3  44,544  77,300,000 PRN      DEFINED    2,3,4 1,082,271
NEWS CORP LTD -SPONS ADR PRFCL A    65248E104  6,071   358,800    SH       DEFINED      2     358,800
NISOURCE INC                COM     65473P105  2,985   131,000    SH       DEFINED      2     131,000
NORTEL NETWORKS             NOTE    656568AB8  8,325   9,000,000  PRN      DEFINED     2,4    832,500
NORTHERN TRUST CORP         COM     665859104  1,564   36,000     SH       DEFINED      2      36,000
NOVOGEN LIMITED-SPONS ADR   ADR     67010F103  474     24,950     SH       DEFINED      2      24,950
OAK INDUSTRIES              NOTE    671400AL3  18,580  17,952,000 PRN      DEFINED    2,3,4 1,197,184
OHIO CASUALTY CORP          COM     677240103  323     14,050     SH       DEFINED      2      14,050
OLD REPUBLIC INTL CORP      COM     680223104  1,266   54,338     SH       DEFINED      2      54,338
OMNICOM GROUP               NOTE    681919AK2  3,945   4,000,000  PRN      DEFINED     2,4     35,860
OMNICOM GROUP               NOTE    681919AM8  12,484  12,500,000 PRN      DEFINED    2,3,4   113,483
</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
P G 7 E CORPORATION         COM     69331C108  3,185   93,400     SH       DEFINED      2      93,400
PAPA JOHN'S INTL INC        COM     698813102  331     9,525      SH       DEFINED      2       9,525
PAR PHARMACEUTICAL COS      NOTE    717125AC2  4,313   5,000,000  PRN      DEFINED     2,4     48,585
PEPSICO INCORPORATED        COM     713448108  1,697   32,000     SH       DEFINED      2      32,000
PETRO-CANADA                COM     71644E102  1,736   30,000     SH       DEFINED      2      30,000
PETROLEO BRASILEIRO S.A.-ADRADR     71654V101  789     20,500     SH       DEFINED      2      20,500
PFIZER INC                  COM     717081103  2,438   92,800     SH       DEFINED      2      92,800
PHARMACEUTICAL HOLDRS TRUST DEPOSIT 71712A206  6,475   90,000     SH       DEFINED      2      90,000
PHH CORP                    COM     693320202  661     30,225     SH       DEFINED      2      30,225
PHILIPS ELECTRONICS-NY SHR  NY REG S500472303  2,733   99,300     SH       DEFINED      2      99,300
PHOTRONICS INC              NOTE    719405AE2  669     535,000    PRN      DEFINED     2,3     42,086
PIONEER NATURAL RESOURCES COCOM     723787107  4,571   107,000    SH       DEFINED      2     107,000
PLACER DOME INC             COM     725906101  1,069   65,900     SH       DEFINED      2      65,900
PMI GROUP INC               COM     69344M101  1,520   40,000     SH       DEFINED      2      40,000
PRAXAIR INC                 COM     74005P104  1,436   30,000     SH       DEFINED      2      30,000
PRIDE INTERNATIONAL INC     NOTE    74153QAD4  2,764   2,350,000  PRN      DEFINED     2,3    107,539
PRIORITY HEALTHCARE CORP-B  CL B    74264T102  1,025   47,375     SH       DEFINED      2      47,375
</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
PULTE CORP                  COM     745867101  10,308  140,000    SH       DEFINED      2     140,000
R.H. DONNELLEY CORP         COM     74955W307  652     11,225     SH       DEFINED      2      11,225
RENAISSANCERE HOLDINGS LTD  COM     G7496G103  1,317   28,200     SH       DEFINED      2      28,200
RENT-A-CENTER INC           COM     76009N100  1,413   51,750     SH       DEFINED      2      51,750
RESMED INC                  NOTE    761152AB3  1,544   1,450,000  PRN      DEFINED     2,3     25,483
ROBBINS & MYERS INC         COM     770196103  292     13,250     SH       DEFINED      2      13,250
RYLAND GROUP INC            COM     783764103  2,481   40,000     SH       DEFINED      2      40,000
SANMINA CORP                SDCV    800907AD9  3,640   6,756,000  PRN      DEFINED    2,3,4    23,595
SAPPI LTD- SPONSORED ADR    ADR NEW 803069202  1,788   145,400    SH       DEFINED      2     145,400
SARA LEE CORP               COM     803111103  1,896   85,550     SH       DEFINED      2      85,550
SASOL LTD-SPONSORED ADR     ADR     803866300  1,569   65,800     SH       DEFINED      2      65,800
SCANA CORP                  COM     80589M102  1,934   50,600     SH       DEFINED      2      50,600
SCHLUMBERGER LIMITED        COM     806857108  2,326   33,000     SH       DEFINED      2      33,000
SCHLUMBERGER LIMITED        DBCV    806857AC2  10,925  10,000,000 PRN      DEFINED     2,4    151,044
SCHWEITZER-MAUDUIT INTL INC COM     808541106  438     13,050     SH       DEFINED      2      13,050
SENOMYX INC                 COM     81724Q107  488     41,000     SH       DEFINED      2      41,000
SLM CORP                    DBCV    78442PAC0  5,116   5,000,000  PRN      DEFINED    2,3,4    77,546
</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
SOLECTRON CORP              NOTE    834182AT4  10,069  13,960,000 PRN      DEFINED    2,3,4 1,041,570
SPHERION CORPORATION        COM     848420105  915     122,175    SH       DEFINED      2     122,175
SPRINT CORP                 COM     852061100  3,413   150,000    SH       DEFINED      2     150,000
STREETTRACKS GOLD TRUST     GOLD SHS863307104  7,708   180,000    SH       DEFINED      2     180,000
SUN HEALTHCARE GROUP INC-W/ICOM     866933401  16      2,480      SH       DEFINED     2,4      2,480
SYMANTEC CORP               COM     871503108  1,067   50,000     SH       DEFINED      2      50,000
TARGET CORP                 COM     87612E106  2,001   40,000     SH       DEFINED      2      40,000
TECH DATA CORP              SDCV    878237AD8  2,438   2,500,000  PRN      DEFINED     2,4     40,949
TEEKAY SHIPPING CORP        COM     Y8564W103  4,945   110,000    SH       DEFINED      2     110,000
TEVA PHARMACEUT FIN BV      DBCV    88164RAA5  2,821   2,835,000  PRN      DEFINED     2,4     74,427
TEXTRON INC                 COM     883203101  1,358   18,200     SH       DEFINED      2      18,200
TIME WARNER INC             COM     887317105  1,980   112,800    SH       DEFINED      2     112,800
TJX COS INC                 NOTE    872540AL3  5,721   6,800,000  PRN      DEFINED    2,3,4   186,872
TJX COS. INC.    NEW        COM     872540109  1,993   80,925     SH       DEFINED      2      80,925
TOMMY HILFIGER CORP         ORD     G8915Z102  298     25,475     SH       DEFINED      2      25,475
TORCHMARK CORP              COM     891027104  1,396   26,750     SH       DEFINED      2      26,750
TRIARC COS-B                CLB SER1895927309  480     34,700     SH       DEFINED      2      34,700
</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
TRINITY INDUSTRIES          COM     896522109  663     23,525     SH       DEFINED      2      23,525
TRIQUINT SEMICON            NOTE    89674KAB9  4,806   5,000,000  PRN      DEFINED    2,3,4    70,888
TYCO INTERNATIONAL LTD      COM     902124106  1,538   45,500     SH       DEFINED      2      45,500
UNION PACIFIC               COM     907818108  2,236   32,075     SH       DEFINED      2      32,075
UNITED NATIONAL GROUP LTD-A COM     90933T109  550     29,200     SH       DEFINED      2      29,200
UNITED PARCEL SERVICE -CL B CL B    911312106  1,709   23,500     SH       DEFINED      2      23,500
UNITED STATIONERS INC       COM     913004107  681     15,050     SH       DEFINED      2      15,050
UNITEDHEALTH GROUP INC      COM     91324P102  1,240   13,000     SH       DEFINED      2      13,000
UNIVERSAL CORP-VA           COM     913456109  492     10,750     SH       DEFINED      2      10,750
UNOCAL CORP                 COM     915289102  1,715   27,800     SH       DEFINED      2      27,800
USI HOLDINGS CORP           COM     90333H101  337     28,600     SH       DEFINED      2      28,600
VALASSIS COMMUNICATIONS INC COM     918866104  756     21,625     SH       DEFINED      2      21,625
VALERO ENERGY CORP          COM     91913Y100  8,060   110,000    SH       DEFINED      2     110,000
VERZION COMMUNICATIONS INC  COM     92343V104  937     26,400     SH       DEFINED      2      26,400
VIAD CORP                   COM     92552R406  1,509   56,100     SH       DEFINED      2      56,100
</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
VINTAGE PETROLEUM INC       COM     927460105  3,933   125,000    SH       DEFINED      2     125,000
WACHOVIA CORP               COM     929903102  1,960   38,500     SH       DEFINED      2      38,500
WAL MART STORES INC         COM     931142103  1,002   20,000     SH       DEFINED      2      20,000
WASHINGTON MUTUAL INC       COM     939322103  1,306   33,075     SH       DEFINED      2      33,075
WEYERHAEUSER COMPANY        COM     962166104  2,055   30,000     SH       DEFINED      2      30,000
WHIRLPOOL CORPORATION       COM     963320106  2,980   44,000     SH       DEFINED      2      44,000
WILLIAMS COS INC            COM     969457100  4,245   225,700    SH       DEFINED      2     225,700
WISCONSIN ENERGY CORP       COM     976657106  2,640   74,375     SH       DEFINED      2      74,375
WRIGLEY WM JR CO            COM     982526105  197     3,000      SH       DEFINED      2       3,000
WYETH                       COM     983024100  1,008   23,900     SH       DEFINED      2      23,900
XCEL ENERGY INC             COM     98389B100  1,498   87,200     SH       DEFINED      2      87,200
XL CAPITAL LTD-CLASS A      CL A    G98255105  1,853   25,600     SH       DEFINED      2      25,600
YELLOW ROADWAY CORP         NOTE    985577AA3  2,917   1,670,000  PRN      DEFINED     2,3     74,346
YORK INTERNATIONAL CORP     COM     986670107  655     16,725     SH       DEFINED      2      16,725
</Table>