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  1,641   20,000     SH       DEFINED      2       20,000
99 CENTS ONLY STORES        COM     65440K106  1,616   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  1,455   53,900     SH       DEFINED      2       53,900
ACCREDO HEALTH INC          COM     00437V104  516     18,600     SH       DEFINED      2       18,600
ADVANCED MEDICAL OPTICS     NOTE    00763MAG3  2,012   1,850,000  PRN      DEFINED     2,3      36,823
AETNA INC                   COM     00817Y108  437     3,500      SH       DEFINED      2        3,500
AFTERMARKET TECHNOLOGY CORP COM     008318107  300     18,650     SH       DEFINED      2       18,650
AGILENT TECH INC            DBCV    00846UAB7  45,898  45,500,000 PRN      DEFINED    2,3,4  1,412,165
ALCON INC                   COM SHS H01301102  484     6,000      SH       DEFINED      2        6,000
ALLSTATE CORPORATION        COM     020002101  1,583   30,600     SH       DEFINED      2       30,600
AMBAC FINANCIAL GROUP INC   COM     023139108  1,519   18,500     SH       DEFINED      2       18,500
AMERICAN EXPRESS            COM     025816109  1,127   20,000     SH       DEFINED      2       20,000
AMERICAN GREET              NOTE    026375AJ4  1,063   560,000    PRN      DEFINED     2,3      40,290
AMERICAN HOME MORTGAGE INVESCOM     02660R107  826     24,125     SH       DEFINED      2       24,125
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
AMERICAN INTL GROUP INC     COM     026874107  5,254   80,000     SH       DEFINED      2       80,000
AMERICAN NATIONAL INSURANCE COM     028591105  562     5,400      SH       DEFINED      2        5,400
AMERICAN PHYSICIANS CAP INC COM     028884104  1,231   34,175     SH       DEFINED      2       34,175
AMERUS GROUP CO             COM     03072M108  775     17,100     SH       DEFINED      2       17,100
AMGEN INC                   COM     031162100  1,283   20,000     SH       DEFINED      2       20,000
AMGEN INC                   NOTE    031162AE0  15,036  20,250,000 PRN      DEFINED     2,4     179,417
ANADARKO PETROLEUM CORP     COM     032511107  8,425   130,000    SH       DEFINED      2      130,000
ANDREW CORP                 NOTE    034425AB4  1,358   1,050,000  PRN      DEFINED     2,3      76,701
ANHEUSER BUSCH CO           COM     035229103  1,760   34,700     SH       DEFINED      2       34,700
AON CORP                    COM     037389103  1,984   83,150     SH       DEFINED      2       83,150
APACHE CORP                 COM     037411105  212     4,200      SH       DEFINED      2        4,200
ARCHER DANIELS              COM     039483102  2,231   100,000    SH       DEFINED      2      100,000
ARVINMERITOR INC            COM     043353101  1,338   59,825     SH       DEFINED      2       59,825
ASHLAND INC                 COM     044204105  1,967   33,700     SH       DEFINED      2       33,700
ASSURANT INC                COM     04621X108  532     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
ATMI INC                    NOTE    00207RAC5  581     500,000    PRN      DEFINED     2,3      22,535
AXIS CAPITAL HOLDINGS LTD   SHS     G0692U109  1,300   47,500     SH       DEFINED      2       47,500
BANK OF NEW YORK            COM     064057102  1,374   41,100     SH       DEFINED      2       41,100
BEARINGPOINT INC            COM     074002106  3,218   400,750    SH       DEFINED      2      400,750
BEAZER HOMES USA INC        COM     07556Q105  804     5,500      SH       DEFINED      2        5,500
BEST BUY COMPANY INC        COM     086516101  2,466   41,500     SH       DEFINED      2       41,500
BOEING COMPANY              COM     097023105  3,809   73,575     SH       DEFINED      2       73,575
BOSTON SCIENTIFIC CORP      COM     101137107  1,529   43,000     SH       DEFINED      2       43,000
BOWNE & CO INC              COM     103043105  1,130   69,525     SH       DEFINED      2       69,525
BP PLC-SPONS                ADR     055622104  1,156   19,800     SH       DEFINED      2       19,800
BRISTOL-MYERS SQUIBB CO     COM     110122108  1,090   42,550     SH       DEFINED      2       42,550
BROCADE COMMUNICATIONS      NOTE    111621AB4  19,712  20,749,000 PRN      DEFINED    2,3,4    474,262
BURLINGTON RESOURCES INC    COM     122014103  3,306   76,000     SH       DEFINED      2       76,000
CABLEVISION SYSTEMS         CL A    12686C109  3,486   140,000    SH       DEFINED      2      140,000
CABOT OIL & GAS CORP        COM     127097103  3,540   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

CATERPILLAR INC             COM     149123101  975     10,000     SH       DEFINED      2       10,000
CENTEX CORP                 COM     152312104  4,171   70,000     SH       DEFINED      2       70,000
CHESAPEAKE ENERGY CORP      PFDCONV 165167800  306     2,500      SH       DEFINED    2,3,4      2,500
CHEVRON TEXACO CORP         COM     166764100  1,838   35,000     SH       DEFINED      2       35,000
CIGNA CORP                  COM     125509109  1,487   18,225     SH       DEFINED      2       18,225
CINERGY CORP                COM     172474108  3,018   72,500     SH       DEFINED      2       72,500
CISCO SYSTEMS INC           COM     17275R102  1,544   80,000     SH       DEFINED      2       80,000
CIT GROUP INC               COM     125581108  2,184   47,675     SH       DEFINED      2       47,675
CITIGROUP INC               COM     172967101  9,685   201,025    SH       DEFINED      2      201,025
CNA SURETY CORPORATION      COM     12612L108  366,126 27,425,147 SH       DEFINED    1,2,4  27,425,147
CNF INC                     COM     12612W104  2,118   42,275     SH       DEFINED      2       42,275
COCA COLA CO                COM     191216100  958     23,000     SH       DEFINED      2       23,000
COMCAST CORP                CLA     20030N101  3,325   99,900     SH       DEFINED      2       99,900
COMCAST CORP                CL A    20030N200  8,995   273,900    SH       DEFINED      2      273,900
COMMSCOPE INC               COM     203372107  253     13,375     SH       DEFINED      2       13,375
</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
COMPUTER ASSOCIATES INTL INCCOM     204912109  2,352   75,725     SH       DEFINED      2       75,725
COOPER CAMERON CORP         DBCV    216640AE2  3,161   3,000,000  PRN      DEFINED     2,4      43,457
CORINTHIAN COLLEGES INC     COM     218868107  283     15,000     SH       DEFINED      2       15,000
CORNING INC                 DBCV    219350AJ4  2,827   3,579,000  PRN      DEFINED    2,3,4     29,815
CORNING INC                 NOTE    219350AK1  2,428   2,000,000  PRN      DEFINED     2,4     206,718
CREDENCE SYSTEMS CORP       NOTE    225302AF5  1,080   1,000,000  PRN      DEFINED     2,3      88,417
CVS CORP                    COM     126650100  1,577   35,000     SH       DEFINED      2       35,000
CYTEC INDUSTRIES INC        COM     232820100  729     14,175     SH       DEFINED      2       14,175
DANAHER CORP                COM     235851102  976     17,000     SH       DEFINED      2       17,000
DEL MONTE FOODS CO          COM     24522P103  997     90,500     SH       DEFINED      2       90,500
DELL COMPUTER CORP          COM     24702R101  1,264   30,000     SH       DEFINED      2       30,000
DELPHI FINANCIAL GROUP      CLA     247131105  1,674   36,275     SH       DEFINED      2       36,275
DEX MEDIA INC               COM     25212E100  1,644   65,850     SH       DEFINED      2       65,850
DIAGEO PLC-SPONSORED        ADR     25243Q205  4,474   77,300     SH       DEFINED      2       77,300
DISNEY (WALT) CO            NOTE    254687AU0  38,938  35,000,000 PRN      DEFINED    2,3,4  1,188,051
</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
DOUBLECLICK INC             NOTE    258609AE6  6,966   7,500,000  PRN      DEFINED    2,3,4    571,733
DREAMWORKS ANIMATION SKG    CL A    26153C103  64      1,700      SH       DEFINED      2        1,700
DST SYSTEMS INC             DBCV    233326AD9  2,131   1,710,000  PRN      DEFINED     2,3      34,838
DUKE ENERGY CORP            NOTE    264399EJ1  7,858   7,000,000  PRN      DEFINED    2,3,4    296,736
ELECTRONCIS FOR IMAGING     DBCV    286082AA0  1,399   1,450,000  PRN      DEFINED     2,3      54,884
ELECTRONIC DATA SYSTEMS     NOTE    285661AF1  29,047  27,500,000 PRN      DEFINED    2,3,4    805,508
EMPRESA BRASILIERA DE AE    ADR PFD 29081M102  1,338   40,000     SH       DEFINED      2       40,000
ENTERGY CORP                COM     29364G103  2,501   37,000     SH       DEFINED      2       37,000
ESTERLINE TECHNOLOGIES CORP COM     297425100  434     13,300     SH       DEFINED      2       13,300
EXELON CORP                 COM     30161N101  5,557   126,100    SH       DEFINED      2      126,100
FALCON FINANCIAL INVESTMENT COM     306032103  1,337   191,000    SH       DEFINED     2,4     191,000
FEDERAL HM LOAN MORTGAGE CORCOM     313400301  2,924   39,675     SH       DEFINED      2       39,675
FEDERAL NATL MTGE ASSN.     COM     313586109  1,424   20,000     SH       DEFINED      2       20,000
FEDERATED DEPART STORES INC COM     31410H101  1,734   30,000     SH       DEFINED      2       30,000
FIRST AMERICAN CORPORATION  COM     318522307  315     8,950      SH       DEFINED      2        8,950
FIRST CITIZENS BCSHS        CL A    31946M103  282     1,900      SH       DEFINED      2        1,900
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
FISHER SCIENTIFIC INTL      NOTE    338032AW5  372     250,000    PRN      DEFINED     2,3       5,267
FLIR SYSTEMS INC            NOTE    302445AB7  1,138   700,000    PRN      DEFINED     2,3      15,771
FMC CORP (NEW)              COM     302491303  1,326   27,450     SH       DEFINED      2       27,450
GARDNER DENVER INC          COM     365558105  1,219   33,600     SH       DEFINED      2       33,600
GATX CORP                   COM     361448103  368     12,450     SH       DEFINED      2       12,450
GENERAL CABLE CORP          COM     369300108  664     47,925     SH       DEFINED      2       47,925
GENERAL ELECTRIC CO         COM     369604103  4,964   136,000    SH       DEFINED      2      136,000
GENERAL MARITIME CORP       SHS     Y2692M103  4,395   110,000    SH       DEFINED      2      110,000
GENERAL MOTORS              SR CONVA370442741  20,072  800,000    SH       DEFINED    2,3,4    800,000
GILEAD SCIENCES INC         COM     375558103  192     5,500      SH       DEFINED      2        5,500
GLENBOROUGH REALTY TRUST INCCOM     37803P105  610     28,675     SH       DEFINED      2       28,675
GLIMCHER REALTY TRUST       SH BEN  379302102  317     11,425     SH       DEFINED      2       11,425
GUIDANT CORP                COM     401698105  1,730   24,000     SH       DEFINED      2       24,000
GUITAR CENTER MG            NOTE    402040AC3  2,101   1,300,000  PRN      DEFINED     2,3      37,594
HANGER ORTHOPEDIC GROUP INC COM     41043F208  230     28,350     SH       DEFINED      2       28,350
</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

HARTFORD FINANCIAL SVCS     COM     416515104  693     10,000     SH       DEFINED      2       10,000
HEALTH NET INC              COM     42222G108  3,862   133,775    SH       DEFINED      2      133,775
HERMAN MILLER INC           COM     600544100  229     8,300      SH       DEFINED      2        8,300
HEWLETT-PACKARD CO.         COM     428236103  2,102   100,250    SH       DEFINED      2      100,250
HORACE MANN EDUCATORS       COM     440327104  971     50,900     SH       DEFINED      2       50,900
HUMAN GENOME SCIENCES       NOTE    444903AF5  4,433   4,500,000  PRN      DEFINED    2,3,4     80,000
HUTCHINSON TECH             NOTE    448407AE6  1,316   1,000,000  PRN      DEFINED     2,3      33,512
IKON MBIA INC.              COM     55262C100  1,269   20,050     SH       DEFINED      2       20,050
INCO LTD                    NOTE    453258AM7  5,006   5,000,000  PRN      DEFINED     2,4     132,765
INCO LTD                    DBCV    453258AT2  4,121   3,152,000  PRN      DEFINED      2      100,660
INTEGRA LIFESCIENCES HLD    NOTE    457985AB5  791     635,000    PRN      DEFINED     2,3      18,596
INTEL CORP                  COM     458140100  1,170   50,000     SH       DEFINED      2       50,000
INTERNATIONAL BUSINESS MACHICOM     459200101  5,422   55,000     SH       DEFINED      2       55,000
INTERPUBLIC GROUP COS       NOTE    460690AT7  2,188   1,670,000  PRN      DEFINED     2,3     134,461
INTL GAME TECHNOLOGY        COM     459902102  206     6,000      SH       DEFINED      2        6,000
INTL GAME TECHNOLOGY        DBCV    459902AL6  1,528   2,000,000  PRN      DEFINED     2,4      42,341
</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
INTL RECTIFIER              NOTE    460254AE5  41,583  41,897,000 PRN      DEFINED    2,3,4    566,674
INVITROGEN INC              NOTE    46185RAJ9  2,151   1,800,000  PRN      DEFINED     2,3      26,378
IPC HOLDINGS LTD            ORD     G4933P101  3,575   82,175     SH       DEFINED      2       82,175
IVAX CORP                   NOTE    465823AJ1  1,790   1,850,000  PRN      DEFINED     2,3      77,440
JANUS CAPITAL GROUP INC.    COM     47102X105  968     57,600     SH       DEFINED      2       57,600
JOHNSON & JOHNSON           COM     478160104  1,268   20,000     SH       DEFINED      2       20,000
JPMORGAN CHASE & COMPANY    COM     46625H100  1,947   49,900     SH       DEFINED      2       49,900
KAYDON CORP                 NOTE    486587AB4  825     650,000    PRN      DEFINED     2,3      22,291
KELLY SERVICES INC          CL A    488152208  117     3,871      SH       DEFINED      2        3,871
KENNAMETAL INC              COM     489170100  498     10,000     SH       DEFINED      2       10,000
KIMBERLY CLARK              COM     494368103  1,645   25,000     SH       DEFINED      2       25,000
L-3 COMMUNICATIONS CORP     COM     502424104  220     3,000      SH       DEFINED      2        3,000
LEAR SEATING CORP           COM     521865105  3,147   51,575     SH       DEFINED      2       51,575
LEHMAN BROTHERS HOLDING INC COM     524908100  1,662   19,000     SH       DEFINED      2       19,000
LENNOX INTERNATL            NOTE    526107AB3  1,039   815,000    PRN      DEFINED     2,3      45,059
</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
LIBBEY INC                  COM     529898108  175     7,875      SH       DEFINED      2        7,875
LIBERTY MEDIA               COMSERA 530718105  4,535   413,000    SH       DEFINED      2      413,000
LIBERTY MEDIA INTL INC-A    COM     530719103  73      1,584      SH       DEFINED      2        1,584
LINCOLN NATIONAL CORP INDIANCOM     534187109  1,867   40,000     SH       DEFINED      2       40,000
LOCKHEED MARTIN CORP        COM     539830109  861     15,500     SH       DEFINED      2       15,500
LOWES COMPANIES             NOTE    548661CG0  21,050  20,000,000 PRN      DEFINED    2,3,4    344,240
MASCO CORPORATION           COM     574599106  365     10,000     SH       DEFINED      2       10,000
MASSEY ENERGY CO            NOTE    576203AB9  597     300,000    PRN      DEFINED     2,3      15,472
MAYTAG CORP.                COM     578592107  676     32,050     SH       DEFINED      2       32,050
MBNA CORPORATION            COM     55262L100  1,567   55,600     SH       DEFINED      2       55,600
MCKESSON HBOC INC           COM     58155Q103  2,394   76,100     SH       DEFINED      2       76,100
MEDIACOM COMMUNICATIONS CORPCL A    58446K105  1,250   200,000    SH       DEFINED      2      200,000
MEDICIS PHARMACE            NOTE    58470KAA2  1,973   1,500,000  PRN      DEFINED     2,3      25,818
MEDTRONIC INC               COM     585055106  1,242   25,000     SH       DEFINED      2       25,000
MEDTRONIC INC               DBCV    585055AB2  5,056   5,000,000  PRN      DEFINED    2,3,4     80,898
</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
MERRILL LYNCH & CO INC      COM     590188108  1,195   20,000     SH       DEFINED      2       20,000
METHANEX CORP               COM     59151K108  2,009   110,000    SH       DEFINED      2      110,000
METLIFE INC                 COM     59156R108  2,896   71,500     SH       DEFINED      2       71,500
MICRON TECH                 NOTE    595112AG8  1,774   1,500,000  PRN      DEFINED     2,3     127,248
MICROSOFT CORP              COM     594918104  3,283   122,900    SH       DEFINED      2      122,900
MILACRON INC                COM     598709103  309     91,150     SH       DEFINED      2       91,150
MONEYGRAM INTERNATIONAL     COM     60935Y109  1,833   86,700     SH       DEFINED      2       86,700
MORGAN STANLEY ASIA-PACIF   COM     61744U106  906     70,700     SH       DEFINED      2       70,700
NACCO INDS INC              CL A    629579103  653     6,200      SH       DEFINED      2        6,200
NCI BUILDING SYSTEMS INC    COM     628852105  835     22,275     SH       DEFINED      2       22,275
NEUBERGER BERMAN REALTY INC COM     64126G109  762     40,000     SH       DEFINED      2       40,000
NEWS CORP LTD               CL A    65248E104  7,860   421,214    SH       DEFINED      2      421,214
NISOURCE INC                COM     65473P105  2,984   131,000    SH       DEFINED      2      131,000
NORTEL NETWORKS             NOTE    656568AB8  8,753   9,000,000  PRN      DEFINED     2,4     900,000
NORTHERN TRUST CORP         COM     665859104  1,749   36,000     SH       DEFINED      2       36,000
NOVOGEN LIMITED-SPONS ADR   ADR     67010F103  551     24,950     SH       DEFINED      2       24,950
</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
OAK INDUSTRIES              NOTE    671400AL3  18,580  17,952,000 PRN      DEFINED    2,3,4  1,156,699
OHIO CASUALTY CORP          COM     677240103  789     33,975     SH       DEFINED      2       33,975
OLD REPUBLIC INTL CORP      COM     680223104  2,640   104,338    SH       DEFINED      2      104,338
OMNICOM GROUP               NOTE    681919AK2  3,940   4,000,000  PRN      DEFINED     2,4      36,360
OMNICOM GROUP               NOTE    681919AM8  12,484  12,500,000 PRN      DEFINED    2,3,4    113,625
P G 7 E CORPORATION         COM     69331C108  3,654   109,800    SH       DEFINED      2      109,800
PAPA JOHN'S INTL INC        COM     698813102  328     9,525      SH       DEFINED      2        9,525
PAR PHARMACEUTICAL COS      NOTE    717125AC2  4,625   5,000,000  PRN      DEFINED     2,4      56,330
PEPSICO INCORPORATED        COM     713448108  1,670   32,000     SH       DEFINED      2       32,000
PETRO-CANADA                COM     71644E102  1,531   30,000     SH       DEFINED      2       30,000
PFIZER INC                  COM     717081103  1,476   54,900     SH       DEFINED      2       54,900
PHARMACEUTICAL HOLDRS TRUST  DEPOSIT71712A206  1,308   18,000     SH       DEFINED      2       18,000
PHILIPS ELECTRONICS-NY      NY REG S500472303  3,151   118,900    SH       DEFINED      2      118,900
PHILLIPS PETROLEUM COMPANY  COM     20825C104  1,600   18,425     SH       DEFINED      2       18,425
PHOTRONICS INC              NOTE    719405AE2  170     135,000    PRN      DEFINED     2,3       8,496
PIONEER NATURAL RESOURCES COCOM     723787107  3,756   107,000    SH       DEFINED      2      107,000
</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
PIONEER STANDARD ELECTRONICSCOM     00847J105  286     16,700     SH       DEFINED      2       16,700
PLACER DOME INC             COM     725906101  1,243   65,900     SH       DEFINED      2       65,900
PMI GROUP INC               COM     69344M101  1,670   40,000     SH       DEFINED      2       40,000
PRAXAIR INC                 COM     74005P104  1,325   30,000     SH       DEFINED      2       30,000
PRECISION CASTPARTS CORP    COM     740189105  1,726   26,275     SH       DEFINED      2       26,275
PRIORITY HEALTHCARE CORP    CL B    74264T102  815     37,450     SH       DEFINED      2       37,450
PUBLIC SERVICE CO OF N MEX  COM     69349H107  474     18,738     SH       DEFINED      2       18,738
PUBLIC SVC ENTERPRISE GRP INCOM     744573106  538     10,400     SH       DEFINED      2       10,400
PULTE CORP                  COM     745867101  8,932   140,000    SH       DEFINED      2      140,000
R.H. DONNELLEY CORP         COM     74955W307  663     11,225     SH       DEFINED      2       11,225
RENT-A-CENTER INC           COM     76009N100  1,371   51,750     SH       DEFINED      2       51,750
RESMED INC                  NOTE    761152AB3  1,533   1,450,000  PRN      DEFINED     2,3      23,927
ROBBINS & MYERS INC         COM     770196103  316     13,250     SH       DEFINED      2       13,250
RYLAND GROUP INC            COM     783764103  2,302   40,000     SH       DEFINED      2       40,000
SANMINA CORP                SDCV    800907AD9  40,711  77,915,000 PRN      DEFINED    2,3,4    505,092
SAPPI LTD                   ADR NEW 803069202  2,108   145,400    SH       DEFINED      2      145,400
SARA LEE CORP               COM     803111103  2,065   85,550     SH       DEFINED      2       85,550
</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
SCANA CORP                  COM     80589M102  2,660   67,500     SH       DEFINED      2       67,500
SCHLUMBERGER LIMITED        COM     806857108  2,209   33,000     SH       DEFINED      2       33,000
SCHLUMBERGER LIMITED        DBCV    806857AC2  3,285   3,000,000  PRN      DEFINED     2,4      41,477
SCHWEITZER-MAUDUIT INTL INC COM     808541106  443     13,050     SH       DEFINED      2       13,050
SOLECTRON CORP              NOTE    834182AS6  3,475   3,960,000  PRN      DEFINED    2,3,4    409,649
SPHERION CORPORATION        COM     848420105  1,026   122,175    SH       DEFINED      2      122,175
SPRINT CORP                 COM     852061100  4,970   200,000    SH       DEFINED      2      200,000
SUN HEALTHCARE GROUP INC-W/ICOM     866933401  23      2,480      SH       DEFINED     2,4       2,480
SYBASE INC                  COM     871130100  2,264   113,500    SH       DEFINED      2      113,500
SYMANTEC CORP               COM     871503108  1,288   50,000     SH       DEFINED      2       50,000
TARGET CORP                 COM     87612E106  2,077   40,000     SH       DEFINED      2       40,000
TECH DATA CORP              SDCV    878237AC0  2,541   2,500,000  PRN      DEFINED     2,4      41,999
TEEKAY SHIPPING CORP        COM     Y8564W103  2,527   60,000     SH       DEFINED      2       60,000
TEJON RANCH                 COM     879080109  840     20,600     SH       DEFINED      2       20,600
TEVA PHARMACEUT FIN BV      DBCV    88164RAA5  2,888   2,835,000  PRN      DEFINED     2,4      74,801
TEXTRON INC                 COM     883203101  1,343   18,200     SH       DEFINED      2       18,200
TJX COS INC                 NOTE    872540AL3  5,967   6,800,000  PRN      DEFINED    2,3,4    222,136
</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
TOMMY HILFIGER CORP         ORD     G8915Z102  287     25,475     SH       DEFINED      2       25,475
TORCHMARK CORP              COM     891027104  1,528   26,750     SH       DEFINED      2       26,750
TRIARC COS-B                CLB SER1895927309  425     34,700     SH       DEFINED      2       34,700
TRINITY INDUSTRIES          COM     896522109  301     8,825      SH       DEFINED      2        8,825
TRIQUINT SEMICON            NOTE    89674KAB9  4,838   5,000,000  PRN      DEFINED    2,3,4     73,746
UNION PACIFIC               COM     907818108  2,157   32,075     SH       DEFINED      2       32,075
UNITED NATIONAL GROUP LTD-A CLA     91103X102  544     29,200     SH       DEFINED      2       29,200
UNITED PARCEL SERVICE -CL B CL B    911312106  2,008   23,500     SH       DEFINED      2       23,500
UNITED STATIONERS INC       COM     913004107  315     6,825      SH       DEFINED      2        6,825
UNIVERSAL CORP-VA           COM     913456109  514     10,750     SH       DEFINED      2       10,750
UNOCAL CORP                 COM     915289102  3,291   76,100     SH       DEFINED      2       76,100
US CORPORATION              COM     91729Q101  766     20,175     SH       DEFINED      2       20,175
VALASSIS COMMUNICATIONS INC COM     918866104  757     21,625     SH       DEFINED      2       21,625
VALERO ENERGY CORP          COM     91913Y100  4,994   110,000    SH       DEFINED      2      110,000
VERZION COMMUNICATIONS INC  COM     92343V104  1,069   26,400     SH       DEFINED      2       26,400
</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
VIAD CORP                   COM     92552R406  1,598   56,100     SH       DEFINED      2       56,100
VINTAGE PETROLEUM INC       COM     927460105  3,404   150,000    SH       DEFINED      2      150,000
WACHOVIA CORP               COM     929903102  3,025   57,500     SH       DEFINED      2       57,500
WAL MART STORES INC         COM     931142103  1,056   20,000     SH       DEFINED      2       20,000
WALTER INDUSTRIES INC       COM     93317Q105  336     9,975      SH       DEFINED      2        9,975
WASHINGTON MUTUAL INC       COM     939322103  1,398   33,075     SH       DEFINED      2       33,075
WELLS FARGO COMPANY         COM     949746101  1,243   20,000     SH       DEFINED      2       20,000
WHIRLPOOL CORPORATION       COM     963320106  3,447   49,800     SH       DEFINED      2       49,800
WILLIAMS COS INC            COM     969457100  3,677   225,700    SH       DEFINED      2      225,700
WISCONSIN ENERGY CORP       COM     976657106  2,507   74,375     SH       DEFINED      2       74,375
XCEL ENERGY INC             COM     98389B100  1,587   87,200     SH       DEFINED      2       87,200
XL CAPITAL LTD-CLASS A      CL A    G98255105  1,988   25,600     SH       DEFINED      2       25,600
YELLOW ROADWAY CORP         NOTE    985509AN8  2,320   1,350,000  PRN      DEFINED     2,3      34,404
YORK INTERNATIONAL CORP     COM     986670107  828     23,975     SH       DEFINED      2       23,975
</Table>