FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: June 30,2004

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:
August 13,2004
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: 241

Form 13F Information Table Value Total: 1,170,223 (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  1,800   20,000     SH       DEFINED     2,3      20,000
ACCENTURE LTD               CL A    G1150G111  698     25,400     SH       DEFINED      2       25,400
ACTUANT CORPORATION         CLA     00508XAA2  924     800,000    SH       DEFINED     2,3     800,000
ACXIOM CORP                 NOTE    005125AB5  4,468   3,200,000  PRN      DEFINED     2,3     175,322
AETNA INC                   COM     00817Y108  440     5,175      SH       DEFINED      2        5,175
AFTERMARKET TECHNOLOGY      COM     008318107  308     18,650     SH       DEFINED      2       18,650
AGILENT TECH INC            DBCV    00846UAB7  29,470  28,000,000 PRN      DEFINED    2,3,4    869,025
AGILYSYS INC                COM     00847J105  591     42,850     SH       DEFINED      2       42,850
ALCAN ALUMINUM LTD          COM     013716105  1,242   30,000     SH       DEFINED     2,3      30,000
ALCON INC                   COMSHS  H01301102  472     6,000      SH       DEFINED     2,3       6,000
ALLIED WASTE INDUSTRIES     SDCV    019589AD2  985     1,000,000  PRN      DEFINED    2,3,4     48,948
ALLSTATE CORPORATION        COM     020002101  1,424   30,600     SH       DEFINED      2       30,600
AMBAC FINANCIAL GROUP INC   COM     023139108  1,359   18,500     SH       DEFINED      2       18,500
AMERICAN EXPRESS            COM     025816109  2,312   45,000     SH       DEFINED     2,3      45,000
AMERICAN GREET              NOTE    026375AJ4  2,710   1,500,000  PRN      DEFINED     2,3     107,920
AMERICAN HOME MORTGAGE      COM     02660R107  3,925   151,375    SH       DEFINED     2,4     151,375
</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
AMERICAN INTL GROUP INC     COM     026874107  2,994   42,000     SH       DEFINED     2,3      42,000
AMERICAN NATIONAL INSURANCE COM     028591105  499     5,400      SH       DEFINED      2        5,400
AMERICAN PHYSICIANS CAP     COM     028884104  791     34,175     SH       DEFINED      2       34,175
AMERISOURCE HEALTH          NOTE    03071PAD4  3,014   2,560,000  PRN      DEFINED     2,3      48,330
AMERUS GROUP CO             COM     03072M108  561     13,550     SH       DEFINED      2       13,550
AMGEN INC                   COM     031162100  2,183   40,000     SH       DEFINED     2,3      40,000
AMGEN INC                   NOTE    031162AE0  11,025  15,000,000 PRN      DEFINED     2,4     132,902
ANADARKO PETROLEUM CORP     COM     032511107  7,618   130,000    SH       DEFINED      2      130,000
ANGLOGOLD LTD               NOTE    03512PAA7  1,893   2,000,000  PRN      DEFINED     2,4      30,769
ANHEUSER BUSCH CO           COM     035229103  1,874   34,700     SH       DEFINED      2       34,700
ANIXTER INTERNATIONAL INC   COM     035290105  607     17,850     SH       DEFINED      2       17,850
ANTHEM INC                  COM     03674B104  2,418   27,000     SH       DEFINED     2,3      27,000
AON CORP                    COM     037389103  4,224   148,350    SH       DEFINED      2      148,350
APPLIED MATERIALS INC.      COM     038222105  1,472   75,000     SH       DEFINED     2,3      75,000
ARVINMERITOR INC            COM     043353101  788     40,275     SH       DEFINED      2       40,275
ASHLAND INC                 COM     044204105  1,780   33,700     SH       DEFINED      2       33,700
ASSURANT INC                COM     04621X108  459     17,400     SH       DEFINED      2       17,400
</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
ASSURED GUARANTY LTD        COM     G0585R106  1,119   66,000     SH       DEFINED      2       66,000
AVAYA INC                   NOTE    053499AA7  3,169   5,000,000  PRN      DEFINED    2,3,4    187,219
AXIS CAPITAL HOLDINGS LTD   SHS     G0692U109  1,330   47,500     SH       DEFINED      2       47,500
THE BANCORP BANK            COM     05969F104  266     15,000     SH       DEFINED     2,4      15,000
BANK OF AMERICA CORP        COM     060505104  1,186   14,021     SH       DEFINED      2       14,021
BANK OF NEW YORK            COM     064057102  1,212   41,100     SH       DEFINED      2       41,100
BARRICK GOLD CORP           COM     067901108  1,292   65,400     SH       DEFINED      2       65,400
BEARINGPOINT INC            COM     074002106  2,027   228,525    SH       DEFINED      2      228,525
BEAZER HOMES USA INC        COM     07556Q105  1,003   10,000     SH       DEFINED      2       10,000
BEST BUY COMPANY INC        COM     086516101  2,233   44,000     SH       DEFINED     2,3      44,000
BOEING COMPANY              COM     097023105  4,113   80,500     SH       DEFINED      2       80,500
BOSTON SCIENTIFIC CORP      COM     101137107  1,840   43,000     SH       DEFINED     2,3      43,000
BOWNE & CO INC              COM     103043105  646     40,775     SH       DEFINED      2       40,775
BP PLC-SPONS ADR            ADR     055622104  2,689   50,200     SH       DEFINED      2       50,200
BRISTOL-MYERS SQUIBB CO     COM     110122108  1,042   42,550     SH       DEFINED      2       42,550
BROCADE COMMUNICATIONS      NOTE    111621AB4  9,050   10,000,000 PRN      DEFINED    2,3,4    228,571
BURLINGTON RESOURCES INC    COM     122014103  2,931   81,000     SH       DEFINED     2,3      81,000
</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
CABLEVISION SYSTEMS         CL A    12686C109  3,093   157,400    SH       DEFINED      2      157,400
CABOT OIL & GAS CORP        COM     127097103  5,499   130,000    SH       DEFINED      2      130,000
CAPITAL LEASE FUNDING INC   COM     140288101  1,560   150,000    SH       DEFINED     2,4     150,000
CENDANT CORP                DBCV    151313AN3  34,520  32,000,000 PRN      DEFINED     2,4   1,330,560
CENTEX CORP                 COM     152312104  3,203   70,000     SH       DEFINED      2       70,000
CEPHALON INC                NOTE    156708AE9  2,394   2,490,000  PRN      DEFINED     2,3      30,741
CHARLES RIVER               DBCV    159863AL3  1,884   1,450,000  PRN      DEFINED     2,3      37,304
CHESAPEAKE ENERGY CORP      PFDCONV 165167800  278     2,500      PRN      DEFINED    2,3,4        152
CHEVRON TEXACO CORP         COM     166764100  4,235   45,000     SH       DEFINED     2,3      45,000
CHICAGO BRIDGE & IRON       NYREGSH 167250109  279     10,000     SH       DEFINED      2       10,000
CIGNA CORP                  COM     125509109  1,254   18,225     SH       DEFINED      2       18,225
CINERGY CORP                COM     172474108  2,755   72,500     SH       DEFINED      2       72,500
CISCO SYSTEMS INC           COM     17275R102  3,081   130,000    SH       DEFINED     2,3     130,000
CIT GROUP INC               COM     125581108  1,825   47,675     SH       DEFINED      2       47,675
CITIGROUP INC               COM     172967101  6,083   130,825    SH       DEFINED      2      130,825
CLEAR CHANNEL COMM          COM     184502102  185     5,000      SH       DEFINED     2,3       5,000
CLOROX CO                   COM     189054109  1,345   25,000     SH       DEFINED     2,3      25,000
</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
CNA SURETY CORPORATION      COM     12612L108  300,305 27,425,147 SH       DEFINED    1,2,4  27,425,147
CNF INC                     COM     12612W104  3,155   75,925     SH       DEFINED      2       75,925
COACH INC                   COM     189754104  2,440   54,000     SH       DEFINED     2,3      54,000
COLGATE PALMOLIVE CO.       COM     194162103  1,344   23,000     SH       DEFINED     2,3      23,000
COMCAST CORP CL A SPL       CL A    20030N200  7,562   273,900    SH       DEFINED     2,3     273,900
COMMSCOPE INC               COM     203372107  495     23,075     SH       DEFINED      2       23,075
COMPUTER ASSOCIATES INTL    COM     204912109  1,969   70,175     SH       DEFINED      2       70,175
CONEXANT SYSTEMS            NOTE    207142AB6  2,948   3,000,000  PRN      DEFINED     2,4     330,578
COOPER INDUSTRIES INC       CL A    G24182100  1,952   32,850     SH       DEFINED      2       32,850
CORNING INC                 DBCV    219350AJ4  2,796   3,579,000  PRN      DEFINED    2,3,4     29,815
CORNING INC                 NOTE    219350AK1  2,815   2,000,000  PRN      DEFINED     2,4     206,718
COSTCO WHOLESALE CORP       COM     22160K105  2,464   60,000     SH       DEFINED     2,3      60,000
CYTEC INDUSTRIES INC        COM     232820100  2,561   56,350     SH       DEFINED      2       56,350
DEL MONTE FOODS CO          COM     24522P103  505     49,700     SH       DEFINED      2       49,700
DELL COMPUTER CORP          COM     24702R101  3,582   100,000    SH       DEFINED     2,3     100,000
DELPHI FINANCIAL GROUP      CLA     247131105  2,139   48,075     SH       DEFINED      2       48,075
DIAGEO PLC                  ADR     25243Q205  1,111   20,300     SH       DEFINED      2       20,300
</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  537     24,075     SH       DEFINED      2       24,075
DISNEY (WALT) CO            NOTE    254687AU0  37,538  35,000,000 PRN      DEFINED      2    1,188,051
DISNEY WALT CO              COM     254687106  255     10,000     SH       DEFINED    2,3,4     10,000
DOMINION RESOURCES INC      NOTE    25746UAP4  8,166   8,125,000  PRN      DEFINED     2,4     110,390
DOUBLECLICK INC             NOTE    258609AE6  4,513   5,000,000  PRN      DEFINED     2,4     381,156
DUKE ENERGY CORP            NOTE    264399EJ1  7,053   7,000,000  PRN      DEFINED    2,3,4    296,736
EDO CORP                    NOTE    281347AD6  523     500,000    PRN      DEFINED     2,3      15,995
ELECTRONCIS FOR IMAGING     DBCV    286082AA0  1,762   1,450,000  PRN      DEFINED     2,3      54,884
ELECTRONIC DATA SYSTEMS     NOTE    285661AF1  23,520  24,500,000 PRN      DEFINED    2,3,4    717,634
EMC CORP MASS SR NT         NOTE    268648AG7  1,052   960,000    PRN      DEFINED     2,3      69,565
ENTERGY CORP                COM     29364G103  4,542   81,100     SH       DEFINED      2       81,100
ESTERLINE TECHNOLOGIES      COM     297425100  961     32,550     SH       DEFINED      2       32,550
FALCON FINANCIAL INVESTMENT COM     306032103  2,121   271,890    SH       DEFINED     2,4     271,890
FIRST CITIZENS BCSHS        CL A    31946M103  232     1,900      SH       DEFINED      2        1,900
FISHER SCIENTIFIC INTL      NOTE    338032AW5  2,032   1,450,000  PRN      DEFINED     2,3      30,549
FMC CORP                    COM     302491303  1,715   39,775     SH       DEFINED      2       39,775
FMC TECHNOLOGIES INC        COM     30249U101  1,927   66,896     SH       DEFINED      2       66,896
</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
FREDDIE MAC                 COM     313400301  2,511   39,675     SH       DEFINED      2       39,675
GAP INC                     NOTE    364760AJ7  3,670   2,360,000  PRN      DEFINED     2,3     146,403
GARDNER DENVER INC          COM     365558105  937     33,600     SH       DEFINED      2       33,600
GATX CORP                   COM     361448103  339     12,450     SH       DEFINED      2       12,450
GENERAL CABLE CORP          COM     369300108  825     96,450     SH       DEFINED      2       96,450
GENERAL ELECTRIC CO         COM     369604103  5,783   178,500    SH       DEFINED     2,3     178,500
GENERAL MARITIME CORP       SHS     Y2692M103  3,018   110,000    SH       DEFINED      2      110,000
GENERAL MOTORS              SRCONV  370442741  20,448  800,000    SH       DEFINED    2,3,4    800,000
GILEAD SCIENCES             NOTE    375558AD5  2,605   1,750,000  PRN      DEFINED     2,3      37,234
GLENBOROUGH REALTY TRUST    COM     37803P105  395     21,550     SH       DEFINED      2       21,550
GLIMCHER REALTY TRUST       SH BEN  379302102  572     25,875     SH       DEFINED      2       25,875
GUITAR CENTER MG            NOTE    402040AC3  1,853   1,300,000  PRN      DEFINED     2,3      37,594
HCA                         COM     404119109  579     13,925     SH       DEFINED      2       13,925
HEALTH NET INC              COM     42222G108  2,256   85,125     SH       DEFINED      2       85,125
HERMAN MILLER INC           COM     600544100  240     8,300      SH       DEFINED      2        8,300
HEWLETT-PACKARD CO.         COM     428236103  1,657   78,525     SH       DEFINED      2       78,525
HONDA MOTOR CO LTD         AMERNSHS 438128308  3,011   123,800    SH       DEFINED      2      123,800
</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
HORACE MANN EDUCATORS       COM     440327104  312     17,875     SH       DEFINED      2       17,875
HUTCHINSON TECH             NOTE    448407AE6  1,036   1,000,000  PRN      DEFINED     2,3      33,512
INCO LTD                    NOTE    453258AM7  4,794   5,000,000  PRN      DEFINED     2,4     132,765
INCO LTD                    DBCV    453258AT2  3,701   2,952,000  PRN      DEFINED      2       94,273
INTEGRA LIFESCIENCES HLD    NOTE    457985AB5  764     635,000    PRN      DEFINED     2,3      18,596
INTEL CORP                  COM     458140100  2,186   79,200     SH       DEFINED     2,3      79,200
INTL BUSINESS MACHINE       COM     459200101  4,848   55,000     SH       DEFINED      2       55,000
INTERPUBLIC GRP             NOTE    460690AJ9  60,870  65,003,000 PRN      DEFINED    2,3,4  1,145,093
INTERSTATE BAKERIES         COM     46072H108  539     49,650     SH       DEFINED     2,3      49,650
INTL RECTIFIER              NOTE    460254AE5  15,029  15,297,000 PRN      DEFINED     2,4     206,898
INVITROGEN INC              NOTE    46185RAD2  3,394   3,260,000  PRN      DEFINED     2,3      37,864
IPC HOLDINGS LTD            ORD     G4933P101  2,744   74,300     SH       DEFINED      2       74,300
JOHNSON & JOHNSON           COM     478160104  2,507   45,000     SH       DEFINED     2,3      45,000
JP MORGAN CHASE&CO          COM     46625H100  1,939   50,000     SH       DEFINED     2,3      50,000
KAYDON CORP                 NOTE    486587AB4  782     650,000    PRN      DEFINED     2,3      22,291
KENNAMETAL INC              COM     489170100  458     10,000     SH       DEFINED      2       10,000
KIMBERLY CLARK              COM     494368103  2,965   45,000     SH       DEFINED     2,3      45,000
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>       <c>    <c>    <c>
Column                      Column  Column   Column    Column              Column     Column    Column
1:                          2:      3:       4:        5:                  6:         7:        8:

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
L-3 COMMUNICATIONS CORP     COM     502424104  334     5,000      SH       DEFINED      2        5,000
LEAR SEATING CORP           COM     521865105  2,396   40,625     SH       DEFINED      2       40,625
LENNOX INTERNATL            NOTE    526107AB3  983     815,000    PRN      DEFINED     2,3      45,059
LIBERTY MEDIA               COMSERA 530718105  3,024   336,400    SH       DEFINED      2      336,400
LINCOLN NATIONAL CORP       COM     534187109  1,890   40,000     SH       DEFINED      2       40,000
LOCKHEED MARTIN CORP        COM     539830109  1,614   31,000     SH       DEFINED      2       31,000
LOWES COMPANIES             NOTE    548661CG0  19,900  20,000,000 PRN      DEFINED     2,4     344,240
MARSH & MCLENNAN COS INC    COM     571748102  908     20,000     SH       DEFINED      2       20,000
MASCO CORPORATION           COM     574599106  312     10,000     SH       DEFINED      2       10,000
MBIA INC.                   COM     55262C100  1,145   20,050     SH       DEFINED      2       20,050
MEDIACOM COMMUNICATIONS     CL A    58446K105  1,564   200,000    SH       DEFINED      2      200,000
MEDICIS PHARMACE            NOTE    58470KAA2  3,240   2,200,000  PRN      DEFINED     2,3      37,866
MEDTRONIC INC               COM     585055106  1,998   41,000     SH       DEFINED     2,3      41,000
MERRILL LYNCH               FRNT    590188A73  42,781  42,500,000 PRN      DEFINED    2,3,4    587,405
METLIFE INC                 COM     59156R108  2,563   71,500     SH       DEFINED      2       71,500
METROCALL HOLDINGS INC      COM     59164X105  4,401   65,690     SH       DEFINED     2,4      65,690
MICRON TECH                 NOTE    595112AG8  3,538   2,500,000  PRN      DEFINED     2,3     212,080
</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
MICROSOFT CORP              COM     594918104  3,510   122,900    SH       DEFINED     2,3     122,900
MILACRON INC                COM     598709103  251     62,775     SH       DEFINED      2       62,775
MORGAN STANLEY ASIA-PACIF   COM     61744U106  795     70,700     SH       DEFINED      2       70,700
NACCO INDS INC              CL A    629579103  589     6,200      SH       DEFINED      2        6,200
NCI BUILDING SYSTEMS INC    COM     628852105  903     27,750     SH       DEFINED      2       27,750
NEWS AMER INC               NOTE    652482AZ3  49,652  87,300,000 PRN      DEFINED    2,3,4  1,060,547
NISOURCE INC                COM     65473P105  4,093   198,500    SH       DEFINED      2      198,500
NORTEL NETWORKS             NOTE    656568AB8  8,618   9,000,000  PRN      DEFINED     2,4     900,000
NORTHERN TRUST CORP         COM     665859104  1,522   36,000     SH       DEFINED      2       36,000
NOVOGEN LIMITED             ADR     67010F103  259     13,950     SH       DEFINED      2       13,950
OAK INDUSTRIES              NOTE    671400AL3  18,233  17,532,000 PRN      DEFINED     2,4   1,129,638
OHIO CASUALTY CORP          COM     677240103  684     33,975     SH       DEFINED      2       33,975
OLD REPUBLIC INTL CORP      COM     680223104  4,847   204,338    SH       DEFINED      2      204,338
OMNICOM GROUP               NOTE    681919AK2  3,975   4,000,000  PRN      DEFINED     2,4      36,360
OMNICOM GROUP               NOTE    681919AM8  12,531  12,500,000 PRN      DEFINED    2,3,4    113,625
P G 7 E CORPORATION         COM     69331C108  3,632   130,000    SH       DEFINED      2      130,000
PAPA JOHN'S INTL INC        COM     698813102  592     20,025     SH       DEFINED      2       20,025
</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
PAYLESS SHOESOURCE INC      COM     704379106  1,447   97,050     SH       DEFINED      2       97,050
PEP BOYS-MANNY MOE JACK     NOTE    713278AP4  1,100   900,000    PRN      DEFINED     2,3      40,184
PEPSICO INCORPORATED        COM     713448108  1,724   32,000     SH       DEFINED     2,3      32,000
PFIZER INC                  COM     717081103  5,310   154,900    SH       DEFINED     2,3     154,900
PHILLIPS PETROLEUM CO       COM     20825C104  1,406   18,425     SH       DEFINED      2       18,425
PHOTRONICS INC              NOTE    719405AE2  186     135,000    PRN      DEFINED     2,3       8,496
PIONEER NATURAL RESOURCES   COM     723787107  1,403   40,000     SH       DEFINED      2       40,000
PLACER DOME INC             COM     725906101  1,732   104,100    SH       DEFINED      2      104,100
PMI GROUP INC               COM     69344M101  1,741   40,000     SH       DEFINED     2,3      40,000
PPL CORPORATION             COM     69351T106  2,566   55,900     SH       DEFINED      2       55,900
PRECISION CASTPARTS CORP    COM     740189105  1,437   26,275     SH       DEFINED      2       26,275
PRIME HOSPITALITY CORP      COM     741917108  68      6,375      SH       DEFINED     2,4       6,375
PROTECTIVE LIFE CORP        COM     743674103  997     25,775     SH       DEFINED      2       25,775
PUBLIC SERVICE CO OF NM     COM     69349H107  586     28,238     SH       DEFINED      2       28,238
PULTE CORP                  COM     745867101  7,284   140,000    SH       DEFINED      2      140,000
R.H. DONNELLEY CORP         COM     74955W307  857     19,600     SH       DEFINED      2       19,600
RADIAN GROUP INC            COM     750236101  777     16,225     SH       DEFINED      2       16,225
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>       <c>    <c>    <c>
Column                      Column  Column   Column    Column              Column     Column    Column
1:                          2:      3:       4:        5:                  6:         7:        8:

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
RESMED INC                  NOTE    761152AB3  1,533   1,450,000  PRN      DEFINED     2,3      23,927
ROBBINS & MYERS INC         COM     770196103  297     13,250     SH       DEFINED     2,3      13,250
RYLAND GROUP INC            COM     783764103  1,564   20,000     SH       DEFINED      2       20,000
SABRE GROUP HOLDINGS INC    CLA     785905100  277     10,000     SH       DEFINED      2       10,000
SANMINA CORP                SDCV    800907AD9  36,009  69,415,000 PRN      DEFINED    2,3,4    449,990
SARA LEE CORP               COM     803111103  2,656   115,550    SH       DEFINED      2      115,550
SCANA CORP                  COM     80589M102  2,851   78,400     SH       DEFINED      2       78,400
SCHLUMBERGER LIMITED        COM     806857108  3,722   58,600     SH       DEFINED     2,3      58,600
SCHWEITZER-MAUDUIT INTL     COM     808541106  271     8,850      SH       DEFINED      2        8,850
SCRIPPS CO (E.W.)           CL A    811054204  3,150   30,000     SH       DEFINED     2,3      30,000
SIGNATURE BANK              COM     82669G104  475     20,000     SH       DEFINED     2,4      20,000
SPANISH BROADCASTING SYS    CL A    846425882  1,954   209,432    SH       DEFINED     2,4     209,432
SPHERION CORPORATION        COM     848420105  689     67,950     SH       DEFINED      2       67,950
SPRINT CORP                 COM     852061100  3,080   175,000    SH       DEFINED      2      175,000
ST PAUL COS                 COM     792860108  2,868   70,743     SH       DEFINED      2       70,743
STAR GAS PARTNER            SRSUBUN 85512C204  618     29,229     SH       DEFINED     2,4      29,229
SUN HEALTHCARE GROUP INC    COM     866933401  22      2,480      SH       DEFINED     2,4       2,480
</Table>

<Table>
<Caption>

                         <c>     <c>      <c>       <c>       <c>  <c>  <c>        <c>       <c>    <c>    <c>
Column                      Column  Column   Column    Column              Column     Column    Column
1:                          2:      3:       4:        5:                  6:         7:        8:

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
TARGET CORP                 COM     87612E106  1,699   40,000     SH       DEFINED     2,3      40,000
TEEKAY SHIPPING CORP        COM     Y8564W103  1,533   41,000     SH       DEFINED      2       41,000
TEJON RANCH                 COM     879080109  717     20,600     SH       DEFINED      2       20,600
TEVA PHARMACEUT FIN BV      DBCV    88164RAA5  3,098   3,000,000  PRN      DEFINED    2,3,4     79,155
TEXTRON INC                 COM     883203101  1,080   18,200     SH       DEFINED      2       18,200
TJX COS INC                 NOTE    872540AL3  5,814   6,800,000  PRN      DEFINED    2,3,4    222,136
TORCHMARK CORP              COM     891027104  1,439   26,750     SH       DEFINED      2       26,750
TRIARC COMPANIES            CL A    895927101  179     17,350     SH       DEFINED      2       17,350
TRIARC COMPANIES           CLBSER1  895927309  353     34,700     SH       DEFINED      2       34,700
TRINITY INDUSTRIES          COM     896522109  640     20,125     SH       DEFINED      2       20,125
UNION PACIFIC               COM     907818108  1,907   32,075     SH       DEFINED      2       32,075
UNITED NATIONAL GROUP LTD   CLA     91103X102  444     29,200     SH       DEFINED      2       29,200
UNITED PARCEL SERVICE       CL B    911312106  2,894   38,500     SH       DEFINED     2,3      38,500
UNITEDHEALTH GROUP INC      COM     91324P102  1,556   25,000     SH       DEFINED     2,3      25,000
UNIVERSAL CORP-VA           COM     913456109  548     10,750     SH       DEFINED      2       10,750
UNOCAL CORP                 COM     915289102  2,607   68,600     SH       DEFINED      2       68,600
US CORPORATION              COM     91729Q101  709     20,175     SH       DEFINED      2       20,175
</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
VALASSIS COMMUNICATIONS     COM     918866104  525     17,225     SH       DEFINED      2       17,225
VALERO ENERGY CORP          COM     91913Y100  4,057   55,000     SH       DEFINED      2       55,000
VERZION COMMUNICATIONS      COM     92343V104  955     26,400     SH       DEFINED      2       26,400
VIACOM INC                  CL B    925524308  1,786   50,000     SH       DEFINED     2,3      50,000
VIAD CORP                   COM     92552R109  723     26,775     SH       DEFINED      2       26,775
VINTAGE PETROLEUM INC       COM     927460105  2,546   150,000    SH       DEFINED      2      150,000
VODAFONE AIRTOUCH PLC       ADR     92857W100  884     40,000     SH       DEFINED      2       40,000
WAL MART STORES INC         COM     931142103  1,583   30,000     SH       DEFINED     2,3      30,000
WALGREEN CO                 COM     931422109  2,897   80,000     SH       DEFINED     2,3      80,000
WASHINGTON MUTUAL INC       COM     939322103  1,631   42,200     SH       DEFINED      2       42,200
WEBMD CORP                  NOTE    94769MAC9  2,045   1,800,000  PRN      DEFINED     2,3     194,322
WELLS FARGO COMPANY         COM     949746101  1,717   30,000     SH       DEFINED     2,3      30,000
WEYERHAEUSER COMPANY        COM     962166104  2,525   40,000     SH       DEFINED     2,3      40,000
WHIRLPOOL CORPORATION       COM     963320106  1,576   22,975     SH       DEFINED      2       22,975
WILLIAMS COS INC            COM     969457100  3,320   279,000    SH       DEFINED      2      279,000
WISCONSIN ENERGY CORP       COM     976657106  2,425   74,375     SH       DEFINED      2       74,375
WYETH                       COM     983024100  1,808   50,000     SH       DEFINED     2,3      50,000
XCEL ENERGY INC             COM     98389B100  1,943   116,300    SH       DEFINED      2      116,300
XILINX INC                  COM     983919101  233     7,000      SH       DEFINED      2        7,000
XL CAPITAL LTD              CL A    G98255105  1,205   15,975     SH       DEFINED      2       15,975
YORK INTERNATIONAL CORP     COM     986670107  582     14,175     SH       DEFINED      2       14,175
</Table>