FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: March 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:
May 12,2004
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: 227

Form 13F Information Table Value Total: 1,228,708 (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  1,637   20,000     SH       DEFINED     2,3       20,000
ACCENTURE LTD               CL A    G1150G111  630     25,400     SH       DEFINED      2        25,400
ACXIOM CORP                 NOTE    005125AB5  4,060   3,200,000  PRN      DEFINED     2,3      175,322
AETNA INC                   COM     00817Y108  1,660   18,500     SH       DEFINED      2        18,500
AFTERMARKET TECHNOLOGY CORP COM     008318107  274     18,650     SH       DEFINED      2        18,650
AGILENT TECH INC            DBCV    00846UAB7  31,640  28,000,000 PRN      DEFINED    2,3,4     869,025
AGILYSYS                    COM     00847J105  608     51,575     SH       DEFINED      2        51,575
ALCAN ALUMINUM LTD          COM     013716105  1,344   30,000     SH       DEFINED     2,3       30,000
ALCON INC                   COM SHS H01301102  4,494   71,000     SH       DEFINED     2,3       71,000
ALLSTATE CORPORATION        COM     020002101  1,391   30,600     SH       DEFINED      2        30,600
AMBAC FINANCIAL GROUP INC   COM     023139108  1,365   18,500     SH       DEFINED      2        18,500
AMERADA HESS                COM     023551104  1,306   20,000     SH       DEFINED      2        20,000
AMEREN CORPORATION          COM     023608102  668     14,500     SH       DEFINED      2        14,500
AMERICAN EXPRESS            COM     025816109  3,370   65,000     SH       DEFINED     2,3       65,000
AMERICAN GREETINGS          NOTE    026375AJ4  2,702   1,500,000  PRN      DEFINED     2,3      107,920
AMERICAN HOME MORTGAGE      COM     02660R107  4,257   147,800    SH       DEFINED     2,4      147,800
AMERICAN INTL GROUP INC     COM     026874107  2,997   42,000     SH       DEFINED     2,3       42,000
</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  483     5,400      SH       DEFINED      2         5,400
AMERICAN PHYSICIANS CAP INC COM     028884104  714     34,175     SH       DEFINED      2        34,175
AMERISOURCE HEALTH CORP     NOTE    03071PAD4  2,941   2,560,000  PRN      DEFINED     2,3       48,330
AMERUS GROUP CO             COM     03072M108  547     13,550     SH       DEFINED      2        13,550
AMGEN INC                   COM     031162100  1,745   30,000     SH       DEFINED     2,3       30,000
ANADARKO PETROLEUM CORP     COM     032511107  6,742   130,000    SH       DEFINED      2       130,000
ANHEUSER BUSCH CO           COM     035229103  3,810   74,700     SH       DEFINED     2,3       74,700
ANIXTER INTERNATIONAL INC   COM     035290105  707     25,025     SH       DEFINED      2        25,025
AON CORP                    COM     037389103  4,140   148,350    SH       DEFINED      2       148,350
APPLIED MATERIALS INC.      COM     038222105  1,604   75,000     SH       DEFINED     2,3       75,000
ARVINMERITOR INC            COM     043353101  598     30,175     SH       DEFINED      2        30,175
ASHLAND INC                 COM     044204105  1,567   33,700     SH       DEFINED      2        33,700
AVAYA INC                   NOTE    053499AA7  3,338   5,000,000  PRN      DEFINED    2,3,4     187,219
BANK OF NEW YORK            COM     064057102  1,295   41,100     SH       DEFINED      2        41,100
BARRICK GOLD CORP           COM     067901108  1,555   65,400     SH       DEFINED      2        65,400
BEAZER HOMES USA INC        COM     07556Q105  1,059   10,000     SH       DEFINED      2        10,000
BEST BUY COMPANY INC        COM     086516101  2,276   44,000     SH       DEFINED     2,3       44,000
</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
BOEING COMPANY              COM     097023105  2,978   72,500     SH       DEFINED      2        72,500
BOSTON SCIENTIFIC CORP      COM     101137107  1,822   43,000     SH       DEFINED     2,3       43,000
BOWNE & CO INC              COM     103043105  755     44,175     SH       DEFINED      2        44,175
BP PLC                      ADR     055622104  3,425   66,900     SH       DEFINED      2        66,900
BRISTOL-MYERS SQUIBB CO     COM     110122108  1,031   42,550     SH       DEFINED      2        42,550
BURLINGTON RESOURCES INC    COM     122014103  1,591   25,000     SH       DEFINED     2,3       25,000
CABLEVISION SYSTEMS         CL A    12686C109  3,601   157,400    SH       DEFINED      2       157,400
CABOT OIL & GAS CORP        COM     127097103  3,973   130,000    SH       DEFINED      2       130,000
CALPINE CORPORATION         COM     131347106  1,868   400,000    SH       DEFINED      2       400,000
CELESTICA INC               NOTE    15101QAA6  31,959  58,910,000 PRN      DEFINED    2,3,4     334,302
CENDANT CORP                DBCV    151313AN3  35,200  32,000,000 PRN      DEFINED     2,4    1,330,560
CENTEX CORP                 COM     152312104  3,784   70,000     SH       DEFINED      2        70,000
CEPHALON INC                NOTE    156708AE9  2,970   3,000,000  PRN      DEFINED     2,3       37,037
CHARLES RIVER               DBCV    159863AL3  1,729   1,450,000  PRN      DEFINED     2,3       37,304
CHESAPEAKE ENERGY CORP      COM     165167107  335     25,000     SH       DEFINED      2        25,000
CHEVRON TEXACO CORP         COM     166764100  3,950   45,000     SH       DEFINED     2,3       45,000
CHICAGO BRIDGE & IRON       NYREGSH 167250109  278     10,000     SH       DEFINED      2        10,000
</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
CHIRON CORP                 NOTE    170040AE9  20,183  34,500,000 PRN      DEFINED    2,3,4     247,065
CIGNA CORP                  COM     125509109  2,700   45,750     SH       DEFINED      2        45,750
CINERGY CORP                COM     172474108  1,578   38,600     SH       DEFINED      2        38,600
CISCO SYSTEMS INC           COM     17275R102  3,998   170,000    SH       DEFINED     2,3      170,000
CIT GROUP INC               COM     125581108  1,814   47,675     SH       DEFINED      2        47,675
CITIGROUP INC               COM     172967101  11,039  213,525    SH       DEFINED     2,3      213,525
CLEAR CHANNEL COMM          COM     184502102  2,118   50,000     SH       DEFINED     2,3       50,000
CNA SURETY CORPORATION      COM     12612L108 303,048  27,425,147 SH       DEFINED    1,2,4  27,425,147
CNF INC                     COM     12612W104  3,138   93,400     SH       DEFINED      2        93,400
COACH INC                   COM     189754104  2,377   58,000     SH       DEFINED     2,3       58,000
COCA COLA CO                COM     191216100  1,761   35,000     SH       DEFINED     2,3       35,000
COMCAST CORP                CL A    20030N200  6,521   233,900    SH       DEFINED     2,3      233,900
COMMSCOPE INC               COM     203372107  384     23,075     SH       DEFINED      2        23,075
COMPUTER ASSOCIATES INTL    COM     204912109  1,885   70,175     SH       DEFINED      2        70,175
CONEXANT SYSTEMS            NOTE    207142AB6  3,011   3,000,000  PRN      DEFINED     2,4      330,578
COOPER INDUSTRIES INC       CL A    G24182100  2,845   49,750     SH       DEFINED      2        49,750
COSTCO WHOLESALE CORP       COM     22160K105  2,629   70,000     SH       DEFINED     2,3       70,000
</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
CYTEC INDUSTRIES INC        COM     232820100  2,145   60,300     SH       DEFINED      2        60,300
DEERE & CO                  COM     244199105  2,426   35,000     SH       DEFINED     2,3       35,000
DEL MONTE FOODS CO          COM     24522P103  559     49,700     SH       DEFINED      2        49,700
DELL COMPUTER CORP          COM     24702R101  3,362   100,000    SH       DEFINED     2,3      100,000
DELPHI FINANCIAL GROUP      CLA     247131105  2,219   52,800     SH       DEFINED      2        52,800
DIAGEO PLC                  ADR     25243Q205  1,909   36,100     SH       DEFINED      2        36,100
DIAMONDS TRUST SERIES I     UNITSER 252787106  9,353   90,000     SH       DEFINED      2        90,000
DILLARDS INC                CLA     254067101  568     29,650     SH       DEFINED      2        29,650
DISNEY (WALT) CO            NOTE    254687AU0  15,470  14,000,000 PRN      DEFINED    2,3,4     475,220
DISNEY (WALT) CO            COM     254687106  1,499   60,000     SH       DEFINED     2,3       60,000
DOMINION RESOURCES INC      NOTE    25746UAP4  8,379   8,125,000  PRN      DEFINED     2,4      110,390
DU PONT DE NEMOURS E.I.     COM     263534109  1,900   45,000     SH       DEFINED     2,3       45,000
DUKE ENERGY CORP            NOTE    264399EJ1  7,534   7,000,000  PRN      DEFINED    2,3,4     296,736
ECOLAB INC                  COM     278865100  2,282   80,000     SH       DEFINED     2,3       80,000
EDO CORP                    NOTE    281347AD6  538     500,000    PRN      DEFINED     2,3       15,995
ENTERGY CORP                COM     29364G103  4,230   71,100     SH       DEFINED      2        71,100
ESTERLINE TECHNOLOGIES CORP COM     297425100  809     32,550     SH       DEFINED      2        32,550
</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
FEDERAL HOME LOAN MORTGAGE  COM     313400301  2,343   39,675     SH       DEFINED      2        39,675
FIRST CITIZENS BCSHS        CL A    31946M103  234     1,900      SH       DEFINED      2         1,900
FLEET BOSTON FINANCIAL CORP COM     339030108  1,134   25,250     SH       DEFINED      2        25,250
FMC CORP                    COM     302491303  1,967   45,925     SH       DEFINED      2        45,925
FMC TECHNOLOGIES INC        COM     30249U101  1,808   66,896     SH       DEFINED      2        66,896
GAP INC                     NOTE    364760AJ7  3,182   2,200,000  PRN      DEFINED     2,3      136,477
GATX CORP                   COM     361448103  276     12,450     SH       DEFINED      2        12,450
GENERAL CABLE CORP          COM     369300108  574     77,775     SH       DEFINED      2        77,775
GENERAL ELECTRIC CO         COM     369604103  5,448   178,500    SH       DEFINED     2,3      178,500
GENERAL MARITIME CORP       SHS     Y2692M103  2,767   110,000    SH       DEFINED      2       110,000
GENERAL MOTORS              SRCONVA 370442741  20,992  800,000    SH       DEFINED    2,3,4     800,000
GENZYME CORP                SDCV    372917AK0  2,018   2,000,000  PRN      DEFINED     2,4       28,449
GILEAD SCIENCES             NOTE    375558AD5  1,315   1,000,000  PRN      DEFINED     2,3       21,277
GLIMCHER REALTY TRUST       SH BEN  379302102  701     25,875     SH       DEFINED      2        25,875
GUITAR CENTER MG            NOTE    402040AC3  1,369   1,050,000  PRN      DEFINED     2,3       30,364
HEALTH NET INC              COM     42222G108  2,423   97,175     SH       DEFINED      2        97,175
HERMAN MILLER INC           COM     600544100  221     8,300      SH       DEFINED      2         8,300
</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
HEWLETT-PACKARD CO.         COM     428236103  2,022   88,525     SH       DEFINED      2        88,525
HNC SOFTWARE                NOTE    40425PAC1  1,428   1,300,000  PRN      DEFINED     2,3       23,427
HONDA MOTOR CO LTD          AMERSHS 438128308  1,953   84,400     SH       DEFINED      2        84,400
HUTCHINSON TECH             NOTE    448407AE6  1,195   1,000,000  PRN      DEFINED     2,3       33,512
IKON MBIA INC.              COM     55262C100  1,257   20,050     SH       DEFINED      2        20,050
INCO LTD                    NOTE    453258AM7  4,863   5,000,000  PRN      DEFINED     2,4      132,765
INTEGRA LIFESCIENCES HLD    NOTE    457985AB5  733     635,000    PRN      DEFINED     2,3       18,596
INTEL CORP                  COM     458140100  2,154   79,200     SH       DEFINED     2,3       79,200
INTL BUSINESS MACHINE       COM     459200101  5,051   55,000     SH       DEFINED      2        55,000
INTERPUBLIC GRP             NOTE    460690AJ9  58,909  62,503,000 PRN      DEFINED    2,3,4   1,101,053
INTERSTATE BAKERIES         COM     46072H108  565     49,650     SH       DEFINED      2        49,650
INTL RECTIFIER              NOTE    460254AE5  5,031   5,000,000  PRN      DEFINED     2,4       67,627
INVITROGEN INC              NOTE    46185RAD2  2,592   2,400,000  PRN      DEFINED     2,3       27,875
IPC HOLDINGS LTD            ORD     G4933P101  2,630   66,775     SH       DEFINED      2        66,775
ISHARES MSCI HONG KONG     MSCIHONG 464286871  12,720  1,200,000  SH       DEFINED      2     1,200,000
ISHARES MSCI SINGAPORE     MSCISING 464286673  6,488   1,017,000  SH       DEFINED      2     1,017,000
J.P. MORGAN CHASE & CO      COM     46625H100  2,098   50,000     SH       DEFINED     2,3       50,000
</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
JOHNSON & JOHNSON           COM     478160104  2,282   45,000     SH       DEFINED     2,3       45,000
KAYDON CORP                 NOTE    486587AB4  231     200,000    PRN      DEFINED     2,3        6,859
KENNAMETAL INC              COM     489170100  413     10,000     SH       DEFINED      2        10,000
KIMBERLY CLARK              COM     494368103  2,840   45,000     SH       DEFINED     2,3       45,000
L-3 COMMUNICATIONS CORP     COM     502424104  297     5,000      SH       DEFINED      2         5,000
LEAR SEATING CORP           COM     521865105  1,699   27,425     SH       DEFINED      2        27,425
LENNOX INTERNATL            NOTE    526107AB3  1,074   815,000    PRN      DEFINED     2,3       45,059
LIBERTY MEDIA               COMSERA 530718105  3,684   336,400    SH       DEFINED      2       336,400
LINCOLN NATIONAL CORP IN    COM     534187109  1,893   40,000     SH       DEFINED      2        40,000
LOCKHEED MARTIN CORP        COM     539830109  1,415   31,000     SH       DEFINED      2        31,000
LOWES COMPANIES             NOTE    548661CG0  21,375  20,000,000 PRN      DEFINED    2,3,4     344,240
LUBRIZOL CORP               COM     549271104  1,142   36,250     SH       DEFINED      2        36,250
MARSH & MCLENNAN COS INC    COM     571748102  2,616   56,500     SH       DEFINED      2        56,500
MASCO CORPORATION           COM     574599106  2,435   80,000     SH       DEFINED     2,3       80,000
MEDIACOM COMMUNICATIONS     CL A    58446K105  1,604   200,000    SH       DEFINED      2       200,000
MEDICIS PHARMACE            NOTE    58470KAA2  3,251   2,200,000  PRN      DEFINED     2,3       37,866
MEDTRONIC INC               COM     585055106  1,958   41,000     SH       DEFINED     2,3       41,000
</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
MERRILL LYNCH               FRNT    590188A73  38,099  36,500,000 PRN      DEFINED    2,3,4     504,477
MERRILL LYNCH & CO INC      COM     590188108  1,030   17,300     SH       DEFINED     2,3       17,300
METLIFE INC                 COM     59156R108  511     14,312     SH       DEFINED     1,2       14,312
MICRON TECH                 NOTE    595112AG8  2,877   1,870,000  PRN      DEFINED     2,3      158,636
MICROSOFT CORP              COM     594918104  3,069   122,900    SH       DEFINED     2,3      122,900
MILACRON INC                COM     598709103  218     62,775     SH       DEFINED      2        62,775
MONSANTO CO                 COM     61166W101  1,566   42,700     SH       DEFINED      2        42,700
MORGAN STANLEY ASIA-PACIFIC COM     61744U106  852     70,700     SH       DEFINED      2        70,700
NACCO INDS INC              CL A    629579103  696     8,450      SH       DEFINED      2         8,450
NCI BUILDING SYSTEMS INC    COM     628852105  651     27,750     SH       DEFINED      2        27,750
NEWS AMER INC               NOTE    652482AZ3  50,416  87,300,000 PRN      DEFINED    2,3,4   1,060,547
NEWS CORP LTD               ADR PRF 652487802  7,595   239,507    SH       DEFINED      2       239,507
NISOURCE INC                COM     65473P105  4,006   188,500    SH       DEFINED      2       188,500
NORTEL NETWORKS             NOTE    656568AB8  9,146   9,000,000  PRN      DEFINED     2,4      900,000
NORTHERN TRUST CORP         COM     665859104  1,677   36,000     SH       DEFINED      2        36,000
NOVOGEN LIMITED             ADR     67010F103  316     12,650     SH       DEFINED      2        12,650
OAK INDUSTRIES              NOTE    671400AL3  13,899  13,677,000 PRN      DEFINED     2,4      881,249
</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
OHIO CASUALTY CORP          COM     677240103  810     40,525     SH       DEFINED      2        40,525
OLD REPUBLIC INTL CORP      COM     680223104  4,090   166,538    SH       DEFINED      2       166,538
OMNICOM GROUP               NOTE    681919AK2  4,030   4,000,000  PRN      DEFINED     2,4       36,360
OMNICOM GROUP               NOTE    681919AM8  12,703  12,500,000 PRN      DEFINED    2,3,4     113,625
OXFORD HEALTH PLANS INC     COM     691471106  2,443   50,000     SH       DEFINED      2        50,000
P G 7 E CORPORATION         COM     69331C108  2,859   98,700     SH       DEFINED      2        98,700
PATHMARK STORES INC         COM     70322A101  1,473   184,632    SH       DEFINED     2,4      184,632
PAYLESS SHOESOURCE INC      COM     704379106  1,355   97,050     SH       DEFINED      2        97,050
PEPSICO INCORPORATED        COM     713448108  1,723   32,000     SH       DEFINED     2,3       32,000
PERFORMANCE FOOD            NOTE    713755AA4  1,708   1,500,000  PRN      DEFINED     2,3       45,524
PFIZER INC                  COM     717081103  6,071   173,200    SH       DEFINED     2,3      173,200
PHARMACEUTICAL HOLDRS TR    DEPREC  71712A206  10,311  135,000    SH       DEFINED      2       135,000
PHILLIPS PETROLEUM CO       COM     20825C104  799     11,450     SH       DEFINED      2        11,450
PLACER DOME INC             COM     725906101  1,871   104,100    SH       DEFINED      2       104,100
PPL CORPORATION             COM     69351T106  3,826   83,900     SH       DEFINED      2        83,900
PRECISION CASTPARTS CORP    COM     740189105  1,157   26,275     SH       DEFINED      2        26,275
PRIME HOSPITALITY CORP      COM     741917108  73      6,375      SH       DEFINED     2,4        6,375
</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
PROTECTIVE LIFE CORP        COM     743674103  965     25,775     SH       DEFINED      2        25,775
PRUDENTIAL FINANCIAL INC    COM     744320102  13,279  296,545    SH       DEFINED     1,2      296,545
PUBLIC SERVICE CO OF N MEX  COM     69349H107  566     18,825     SH       DEFINED      2        18,825
PULTE CORP                  COM     745867101  7,784   140,000    SH       DEFINED      2       140,000
R.H. DONNELLEY CORP         COM     74955W307  915     19,600     SH       DEFINED      2        19,600
RADIAN GROUP INC            COM     750236101  691     16,225     SH       DEFINED      2        16,225
RESMED INC                  NOTE    761152AB3  1,526   1,450,000  PRN      DEFINED     2,3       23,927
SANMINA CORP                SDCV    800907AD9  26,018  49,915,000 PRN      DEFINED    2,3,4     323,579
SARA LEE CORP               COM     803111103  2,526   115,550    SH       DEFINED      2       115,550
SCANA CORP                  COM     80589M102  2,771   78,400     SH       DEFINED      2        78,400
SCHERING PLOUGH             COM     806605101  1,145   70,600     SH       DEFINED      2        70,600
SCHLUMBERGER LIMITED        COM     806857108  3,742   58,600     SH       DEFINED     2,3       58,600
SCHOOL SPECIALTY            NOTE    807863AC9  1,370   1,185,000  PRN      DEFINED     2,3       36,698
SCRIPPS CO (E.W.)           CL A    811054204  3,539   35,000     SH       DEFINED     2,3       35,000
SOLECTRON CORP              NOTE    834182AL1  29,533  50,700,000 PRN      DEFINED    2,3,4     597,560
SPANISH BROADCASTING SYS    CL A    846425882  2,189   209,432    SH       DEFINED     2,4      209,432
SPHERION CORPORATION        COM     848420105  839     82,025     SH       DEFINED      2        82,025
</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
SPRINT CORP (PCS GROUP)     COM     852061506  13      1,428      SH       DEFINED     1,2        1,428
STAR GAS PARTNER            SRSUBUN 85512C204  689     29,229     SH       DEFINED     2,4       29,229
STMICROELECTRON             NOTE    861012AB8  15,975  18,000,000 PRN      DEFINED     2,4      473,256
TEEKAY SHIPPING CORP        COM     Y8564W103  1,412   20,500     SH       DEFINED      2        20,500
TEJON RANCH                 COM     879080109  761     20,600     SH       DEFINED      2        20,600
TEXTRON INC                 COM     883203101  1,467   27,600     SH       DEFINED      2        27,600
TJX COS INC                 NOTE    872540AL3  6,010   6,800,000  PRN      DEFINED    2,3,4     222,136
TORCHMARK CORP              COM     891027104  1,439   26,750     SH       DEFINED      2        26,750
TRAVELERS PROPERTY CASUALTY CL A    89420G109  2,799   163,228    SH       DEFINED      2       163,228
TRIARC COMPANIES            CL A    895927101  190     17,350     SH       DEFINED      2        17,350
TRIARC COS                  CLBSER1 895927309  380     34,700     SH       DEFINED      2        34,700
TRINITY INDUSTRIES          COM     896522109  559     20,125     SH       DEFINED      2        20,125
UNION PACIFIC               COM     907818108  1,132   18,925     SH       DEFINED      2        18,925
UNITED PARCEL SERVICE       CL B    911312106  4,784   68,500     SH       DEFINED     2,3       68,500
UNITEDHEALTH GROUP INC      COM     91324P102  1,611   25,000     SH       DEFINED     2,3       25,000
UNIVERSAL CORP              COM     913456109  546     10,750     SH       DEFINED      2        10,750
UNOCAL CORP                 COM     915289102  2,487   66,700     SH       DEFINED      2        66,700
</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
UNUMPROVIDENT CORP          COM     91529Y106  1,317   90,000     SH       DEFINED      2        90,000
US CORPORATION              COM     91729Q101  692     20,175     SH       DEFINED      2        20,175
VALASSIS COMMUNICATIONS INC COM     918866104  1,749   57,525     SH       DEFINED      2        57,525
VALERO ENERGY CORP          COM     91913Y100  3,298   55,000     SH       DEFINED      2        55,000
VERZION COMMUNICATIONS INC  COM     92343V104  3,022   82,700     SH       DEFINED     2,3       82,700
VIACOM INC                  CL B    925524308  1,961   50,000     SH       DEFINED     2,3       50,000
VIAD CORP                   COM     92552R109  2,589   107,100    SH       DEFINED      2       107,100
VINTAGE PETROLEUM INC       COM     927460105  2,199   150,000    SH       DEFINED      2       150,000
VISHAY INTERTECH            NOTE    928298AD0  830     1,350,000  PRN      DEFINED     2,3       23,853
WAL MART STORES INC         COM     931142103  3,581   60,000     SH       DEFINED     2,3       60,000
WALGREEN CO                 COM     931422109  2,636   80,000     SH       DEFINED     2,3       80,000
WASHINGTON MUTUAL INC       COM     939322103  1,802   42,200     SH       DEFINED      2        42,200
WEBMD CORP                  NOTE    94769MAC9  2,054   1,800,000  PRN      DEFINED     2,3      194,322
WELLS FARGO COMPANY         COM     949746101  3,967   70,000     SH       DEFINED     2,3       70,000
WEYERHAEUSER COMPANY        COM     962166104  2,620   40,000     SH       DEFINED     2,3       40,000
WHIRLPOOL CORPORATION       COM     963320106  1,582   22,975     SH       DEFINED      2        22,975
WILLIAMS COS INC            COM     969457100  2,670   279,000    SH       DEFINED      2       279,000
WILSONS THE LEATHER EXPERTS COM     972463103  167     58,725     SH       DEFINED      2        58,725
WISCONSIN ENERGY CORP       COM     976657106  2,391   74,375     SH       DEFINED      2        74,375
XCEL ENERGY INC             COM     98389B100  2,071   116,300    SH       DEFINED      2       116,300
XILINX INC                  COM     983919101  378     10,000     SH       DEFINED      2        10,000
XL CAPITAL LTD              CL A    G98255105  1,215   15,975     SH       DEFINED      2        15,975
YORK INTERNATIONAL CORP     COM     986670107  688     17,500     SH       DEFINED      2        17,500
</Table>