FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: December 31,2005

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 15,2006
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: 610

Form 13F Information Table Value Total:   1,085,873 (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  3,875   50,000     SH       DEFINED     1,2      50,000
3M COMPANY                  NOTE    88579YAB7  2,478   2,788,000  PRN      DEFINED     2,3      26,375
ABBOTT LABORATORIES         COM     002824100  87      2,200      SH       DEFINED     1,2       2,200
ACCENTURE LTD-CL A          CL A    G1150G111  2,515   87,100     SH       DEFINED      2       87,100
ACCO BRANDS CORP            COM     00081T108  1       47         SH       DEFINED     1,2          47
ACE LTD                     ORD     G0070K103  21      400        SH       DEFINED     1,2         400
ACTUANT CORPORATION         SDCV    00508XAB0  1,091   750,000    PRN      DEFINED     2,3      18,792
ADC TELECOMMUNICATIONS      COM     000886309  4       157        SH       DEFINED     1,2         157
ADOBE SYSTEMS INC           COM     00724F101  484     13,085     SH       DEFINED     1,2      13,085
ADVANCED MEDICAL OPTICS     NOTE    00763MAG3  1,019   1,000,000  PRN      DEFINED     2,3      19,905
ADVANCED MICRO DEVICES      COM     007903107  15      500        SH       DEFINED     1,2         500
AES CORP                    COM     00130H105  14      900        SH       DEFINED     1,2         900
AETNA INC                   COM     00817Y108  38      400        SH       DEFINED     1,2         400
AFFILIATED COMPUTER SVCS    CL A    008190100  12      200        SH       DEFINED     1,2         200
AFLAC INC                   COM     001055102  218     4,700      SH       DEFINED     1,2       4,700
AFTERMARKET TECHNOLOGY      COM     008318107  753     38,750     SH       DEFINED      2       38,750
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
AGILENT TECHNOLOGIES INC    COM     00846U101  20      600        SH       DEFINED     1,2         600
AIR PRODUCTS & CHEMICALS    COM     009158106  18      300        SH       DEFINED     1,2         300
ALBERTO-CULVER CO           COM     013068101  7       150        SH       DEFINED     1,2         150
ALBERTSONS INC              COM     013104104  11      500        SH       DEFINED     1,2         500
ALCOA INC                   COM     013817101  35      1,200      SH       DEFINED     1,2       1,200
ALCON INC                   COM SHS H01301102  181     1,400      SH       DEFINED      2        1,400
ALLEGHENY ENERGY INC        COM     017361106  6       200        SH       DEFINED     1,2         200
ALLEGHENY TECHNOLOGIES      COM     01741R102  4       100        SH       DEFINED     1,2         100
ALLERGAN INC                COM     018490102  22      200        SH       DEFINED     1,2         200
ALLSTATE CORPORATION        COM     020002101  2,282   42,200     SH       DEFINED     1,2      42,200
ALLTEL CORP                 COM     020039103  32      500        SH       DEFINED     1,2         500
ALPHA NATURAL RESOURCES     COM     02076X102  961     50,000     SH       DEFINED      2       50,000
ALTERA CORPORATION          COM     021441100  9       500        SH       DEFINED     1,2         500
ALTRIA GROUP INC            COM     02209S103  1,345   18,000     SH       DEFINED     1,2      18,000
AMAZON.COM INC              COM     023135106  1,377   29,200     SH       DEFINED     1,2      29,200
AMAZON.COM INC              NOTE    023135AF3  1,154   1,200,000  PRN      DEFINED     2,3      15,379
</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
AMBAC FINANCIAL GROUP INC   COM     023139108  15      200        SH       DEFINED     1,2         200
AMDOCS LIMITED              NOTE    02342TAD1  448     500,000    PRN      DEFINED     2,3      11,596
AMERADA HESS CORP           COM     023551104  25      200        SH       DEFINED     1,2         200
AMEREN CORPORATION          COM     023608102  15      300        SH       DEFINED     1,2         300
AMERICAN ELECTRIC POWER     COM     025537101  22      600        SH       DEFINED     1,2         600
AMERICAN EXPRESS            DBCV    025816AS8  3,502   3,300,000  PRN      DEFINED     2,3      54,554
AMERICAN EXPRESS            COM     025816109  1,117   21,700     SH       DEFINED     1,2      21,700
AMERICAN GREET              NOTE    026375AJ4  896     560,000    PRN      DEFINED     2,3      40,290
AMERICAN HOME MORTGAGE      COM     02660R107  959     29,450     SH       DEFINED      2       29,450
AMERICAN INTL GROUP INC     COM     026874107  11,777  172,612    SH       DEFINED     1,2     172,612
AMERICAN NATIONAL INSUR     COM     028591105  632     5,400      SH       DEFINED      2        5,400
AMERICAN POWER CONVER       COM     029066107  4       200        SH       DEFINED     1,2         200
AMERICAN STANDARD COS INC   COM     029712106  12      300        SH       DEFINED     1,2         300
AMERIPRISE FINANCIAL INC    COM     03076C106  14      340        SH       DEFINED     1,2         340
AMERISOURCEBERGEN CORP      COM     03073E105  2,631   63,550     SH       DEFINED     1,2      63,550
AMERUS GROUP CO             COM     03072M108  774     13,650     SH       DEFINED      2       13,650
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
AMGEN INC                   COM     031162100  1,933   24,508     SH       DEFINED     1,2      24,508
AMGEN INC                   NOTE    031162AL4  4,446   5,700,000  PRN      DEFINED     2,3      50,503
AMSOUTH BANCORPORATION      COM     032165102  13      500        SH       DEFINED     1,2         500
ANADARKO PETROLEUM CORP     COM     032511107  14,250  150,400    SH       DEFINED     1,2     150,400
ANALOG DEVICES              COM     032654105  18      500        SH       DEFINED     1,2         500
ANDREW CORP                 NOTE    034425AB4  1,003   1,000,000  PRN      DEFINED     2,3      73,048
ANDREW CORP                 COM     034425108  2       200        SH       DEFINED     1,2         200
ANHEUSER BUSCH CO           COM     035229103  2,432   56,600     SH       DEFINED     1,2      56,600
AON CORP                    COM     037389103  3,004   83,550     SH       DEFINED     1,2      83,550
APACHE CORP                 COM     037411105  33      480        SH       DEFINED     1,2         480
APARTMENT INVT & MGMT CO    CL A    03748R101  4       100        SH       DEFINED     1,2         100
APOLLO GROUP INC-CL A       CL A    037604105  568     9,400      SH       DEFINED     1,2       9,400
APPLE COMPUTER INC          COM     037833100  86      1,200      SH       DEFINED     1,2       1,200
APPLIED BIOSYSTEMS GROUP    GRP     038020103  5       200        SH       DEFINED     1,2         200
AQUILA INC                  COM     03840P102  3,675   1,020,768  SH       DEFINED      2    1,020,768
ARCHER-DANIELS-MIDLAND CO   COM     039483102  22      900        SH       DEFINED     1,2         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
ARCHSTONE-SMITH TRUST       COM     039583109  13      300        SH       DEFINED     1,2         300
ARMOR HOLDINGS INC          NOTE    042260AC3  988     1,000,000  PRN      DEFINED     2,3      18,515
ARVINMERITOR INC            COM     043353101  1,288   89,525     SH       DEFINED      2       89,525
ASHLAND INC                 COM     044209104  809     13,975     SH       DEFINED     1,2      13,975
AT&T INC                    COM     00206R102  136     5,541      SH       DEFINED     1,2       5,541
ATWOOD OCEANICS INC         COM     050095108  780     10,000     SH       DEFINED      2       10,000
AUTODESK INC                COM     052769106  13      300        SH       DEFINED     1,2         300
AUTOMATIC DATA PROCESSING   COM     053015103  37      800        SH       DEFINED     1,2         800
AUTONATION INC              COM     05329W102  7       300        SH       DEFINED     1,2         300
AUTOZONE INC.               COM     053332102  1,541   16,800     SH       DEFINED     1,2      16,800
AVAYA INC                   COM     053499109  6       600        SH       DEFINED     1,2         600
AVERY DENNISON CORP         COM     053611109  11      200        SH       DEFINED     1,2         200
AVON PRODUCTS INC           COM     054303102  20      700        SH       DEFINED     1,2         700
AXIS CAPITAL HOLDINGS LTD   SHS     G0692U109  1,486   47,500     SH       DEFINED      2       47,500
BAKER HUGHES INC            COM     057224107  30      500        SH       DEFINED     1,2         500
BALL CORP                   COM     058498106  8       200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
BANK OF AMERICA CORP        COM     060505104  6,302   136,564    SH       DEFINED     1,2     136,564
BANK OF NEW YORK            COM     064057102  4,191   131,600    SH       DEFINED     1,2     131,600
BARD (C.R.) INC             COM     067383109  13      200        SH       DEFINED     1,2         200
BAUSCH & LOMB INC           FRNT    071707AM5  1,077   800,000    PRN      DEFINED     2,3      13,021
BAUSCH & LOMB INC           COM     071707103  7       100        SH       DEFINED     1,2         100
BAXTER INTERNATIONAL INC.   COM     071813109  34      900        SH       DEFINED     1,2         900
BB&T CORPORATION            COM     054937107  34      800        SH       DEFINED     1,2         800
BEA SYSTEMS INC             NOTE    073325AD4  3,341   3,400,000  PRN      DEFINED     2,3      98,124
BEAR STEARNS COMPANIES      COM     073902108  23      200        SH       DEFINED     1,2         200
BEARINGPOINT INC            COM     074002106  673     85,625     SH       DEFINED      2       85,625
BECTON DICKINSON & CO       COM     075887109  24      400        SH       DEFINED     1,2         400
BED BATH & BEYOND INC       COM     075896100  484     13,400     SH       DEFINED     1,2      13,400
BELLSOUTH CORP              COM     079860102  70      2,600      SH       DEFINED     1,2       2,600
BEMIS COMPANY               COM     081437105  3       100        SH       DEFINED     1,2         100
BEST BUY CO INC             COM     086516101  33      750        SH       DEFINED     1,2         750
BIG LOTS INC                COM     089302103  1       100        SH       DEFINED     1,2         100
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
BIOGEN IDEC INC             COM     09062X103  21      460        SH       DEFINED     1,2         460
BIOMET INC                  COM     090613100  15      400        SH       DEFINED     1,2         400
BJ SERVICES CO              COM     055482103  22      600        SH       DEFINED     1,2         600
BLACK & DECKER CORP         COM     091797100  9       100        SH       DEFINED     1,2         100
BMC SOFTWARE INC            COM     055921100  6       300        SH       DEFINED     1,2         300
BOEING COMPANY              COM     097023105  4,185   59,575     SH       DEFINED     1,2      59,575
BOSTON SCIENTIFIC CORP      COM     101137107  27      1,100      SH       DEFINED     1,2       1,100
BOWNE & CO INC              COM     103043105  1,081   72,825     SH       DEFINED      2       72,825
BRISTOL-MYERS SQUIBB CO     COM     110122108  1,473   64,100     SH       DEFINED     1,2      64,100
BROADCOM CORP-CL A          CL A    111320107  19      400        SH       DEFINED     1,2         400
BROWN-FORMAN CORP           CL B    115637209  14      200        SH       DEFINED     1,2         200
BRUNSWICK CORP              COM     117043109  4       100        SH       DEFINED     1,2         100
BURLINGTON NORTHERN SANTA FECOM     12189T104  42      600        SH       DEFINED     1,2         600
BURLINGTON RESOURCES INC    COM     122014103  1,345   15,600     SH       DEFINED     1,2      15,600
CAMPBELL SOUP CO            COM     134429109  15      500        SH       DEFINED     1,2         500
CAPITAL ONE FINANCIAL CORP  COM     14040H105  35      400        SH       DEFINED     1,2         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
CARDINAL HEALTH INC         COM     14149Y108  41      600        SH       DEFINED     1,2         600
CAREMARK RX INC             COM     141705103  36      700        SH       DEFINED     1,2         700
CARNIVAL CORP               DBCV    143658AV4  2,826   3,600,000  PRN      DEFINED     2,3      43,848
CARNIVAL CORP               PAIRED C143658300  43      800        SH       DEFINED     1,2         800
CATERPILLAR INC             COM     149123101  58      1,000      SH       DEFINED     1,2       1,000
CEMEX SA                    ADR     151290889  890     15,000     SH       DEFINED      2       15,000
CENDANT CORPORATION         COM     151313103  888     51,500     SH       DEFINED     1,2      51,500
CENTERPOINT ENERGY INC      COM     15189T107  5       400        SH       DEFINED     1,2         400
CENTEX CORP                 COM     152312104  6,305   88,200     SH       DEFINED     1,2      88,200
CENTURYTEL INC              COM     156700106  7       200        SH       DEFINED     1,2         200
CHESAPEAKE ENERGY CORP      COM     165167107  1,596   50,300     SH       DEFINED      2       50,300
CHEVRON TEXACO CORP         COM     166764100  2,033   35,807     SH       DEFINED     1,2      35,807
CHIRON CORP                 COM     170040109  9       200        SH       DEFINED     1,2         200
CHUBB CORP                  COM     171232101  29      300        SH       DEFINED     1,2         300
CIBER INC                   COM     17163B102  908     137,625    SH       DEFINED      2      137,625
CIGNA CORP                  COM     125509109  22      200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
CINCINNATI FINANCIAL CORP   COM     172062101  10      220        SH       DEFINED     1,2         220
CINERGY CORP                COM     172474108  4,174   98,300     SH       DEFINED     1,2      98,300
CINTAS CORP                 COM     172908105  8       200        SH       DEFINED     1,2         200
CIRCUIT CITY STORES INC     COM     172737108  5       200        SH       DEFINED     1,2         200
CISCO SYSTEMS INC           COM     17275R102  1,520   88,800     SH       DEFINED     1,2      88,800
CIT GROUP INC               COM     125581108  16      300        SH       DEFINED     1,2         300
CITIGROUP INC               COM     172967101  6,474   133,400    SH       DEFINED     1,2     133,400
CITIZENS COMMUNICATIONS CO  COM     17453B101  5       400        SH       DEFINED     1,2         400
CITRIX SYSTEMS INC          COM     177376100  6       200        SH       DEFINED     1,2         200
CLOROX COMPANY              COM     189054109  11      200        SH       DEFINED     1,2         200
CMS ENERGY CORP             COM     125896100  4       300        SH       DEFINED     1,2         300
CNA SURETY CORPORATION      COM     12612L108  399,584 27,425,147 SH       DEFINED    1,2,4 27,425,147
COACH INC                   COM     189754104  1,340   40,200     SH       DEFINED     1,2      40,200
COCA COLA CO                COM     191216100  464     11,500     SH       DEFINED     1,2      11,500
COCA-COLA ENTERPRISES       COM     191219104  10      500        SH       DEFINED     1,2         500
COLGATE-PALMOLIVE CO        COM     194162103  44      800        SH       DEFINED     1,2         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
COMCAST CORP CL A SPL       CL A    20030N200  5,266   205,000    SH       DEFINED      2      205,000
COMCAST CORP-CL A           CLA     20030N101  2,670   103,002    SH       DEFINED     1,2     103,002
COMERICA                    COM     200340107  1,445   25,450     SH       DEFINED     1,2      25,450
COMMERCE BANCORP INC/NJ     COM     200519106  531     15,440     SH       DEFINED     1,2      15,440
COMMSCOPE INC               COM     203372107  903     44,850     SH       DEFINED      2       44,850
COMPASS BANCSHARES INC      COM     20449H109  10      200        SH       DEFINED     1,2         200
COMPUTER ASSOCIATES INTL    COM     204912109  2,157   76,502     SH       DEFINED     1,2      76,502
COMPUTER NETWORK TECH       NOTE    204925AC5  1,730   1,800,000  PRN      DEFINED     2,3     122,066
COMPUTER SCIENCES CORP      COM     205363104  1,776   35,075     SH       DEFINED     1,2      35,075
COMPUWARE CORP              COM     205638109  1,698   189,300    SH       DEFINED     1,2     189,300
COMVERSE TECHNOLOGY INC     COM     205862402  8       300        SH       DEFINED     1,2         300
CONAGRA FOODS INC           COM     205887102  14      700        SH       DEFINED     1,2         700
CONSOLIDATED EDISON INC     COM     209115104  19      400        SH       DEFINED     1,2         400
CONSTELLATION BRANDS        CL A    21036P108  8       300        SH       DEFINED     1,2         300
CONSTELLATION ENERGY GRP    COM     210371100  17      300        SH       DEFINED     1,2         300
COOPER INDUSTRIES LTD       CL A    G24182100  15      200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
COOPER TIRE & RUBBER        COM     216831107  2       100        SH       DEFINED     1,2         100
CORNING INC                 COM     219350105  39      2,000      SH       DEFINED     1,2       2,000
COSTCO WHOLESALE CORP       COM     22160K105  35      700        SH       DEFINED     1,2         700
COUNTRYWIDE FINANCIAL       COM     222372104  393     11,498     SH       DEFINED     1,2      11,498
CSX CORP                    COM     126408103  15      300        SH       DEFINED     1,2         300
CUMMINS INC                 COM     231021106  9       100        SH       DEFINED     1,2         100
CVS CORP                    COM     126650100  843     31,900     SH       DEFINED     1,2      31,900
DANA CORP                   COM     235811106  1       200        SH       DEFINED     1,2         200
DANAHER CORP                COM     235851102  971     17,400     SH       DEFINED     1,2      17,400
DARDEN RESTAURANTS INC      COM     237194105  8       200        SH       DEFINED     1,2         200
DEERE & CO                  COM     244199105  27      400        SH       DEFINED     1,2         400
DEL MONTE FOODS CO          COM     24522P103  944     90,500     SH       DEFINED      2       90,500
DELL INC.                   COM     24702R101  1,457   48,600     SH       DEFINED     1,2      48,600
DELPHI FINANCIAL GROUP      CLA     247131105  749     16,275     SH       DEFINED      2       16,275
DEVON ENERGY CORPORATION    COM     25179M103  44      700        SH       DEFINED     1,2         700
DEX MEDIA INC               COM     25212E100  1,784   65,850     SH       DEFINED      2       65,850
DIAGEO PLC                  ADR     25243Q205  2,064   35,400     SH       DEFINED      2       35,400
</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
DILLARDS INC-CL A           CL A    254067101  2       100        SH       DEFINED     1,2         100
DISCOVERY HOLDING CO        COM     25468Y107  3,341   220,500    SH       DEFINED      2      220,500
DISNEY (WALT) CO            NOTE    254687AU0  3,500   3,500,000  PRN      DEFINED     2,3     118,805
DOLLAR GENERAL CORP         COM     256669102  8       400        SH       DEFINED     1,2         400
DOMINION RESOURCES INC      COM     25746U109  39      500        SH       DEFINED     1,2         500
DOMINION RESOURCES INC      NOTE    25746UAT6  545     500,000    PRN      DEFINED     2,3       6,793
DOVER CORP                  COM     260003108  12      300        SH       DEFINED     1,2         300
DOW CHEMICAL CORP           COM     260543103  2,147   49,000     SH       DEFINED     1,2      49,000
DPL INC                     COM     233293109  2,052   78,900     SH       DEFINED      2       78,900
DR HORTON INC               COM     23331A109  14      400        SH       DEFINED     1,2         400
DST SYSTEMS INC             DBCV    233326AB3  663     500,000    PRN      DEFINED     2,3      10,187
DTE ENERGY COMPANY          COM     233331107  13      300        SH       DEFINED     1,2         300
DU PONT (E.I.) DE NEMOURS   COM     263534109  60      1,400      SH       DEFINED     1,2       1,400
DUKE ENERGY CORP            COM     264399106  36      1,300      SH       DEFINED     1,2       1,300
DYNEGY INC-CL A             CL A    26816Q101  2       400        SH       DEFINED     1,2         400
E*TRADE FINANCIAL CORP      COM     269246104  10      500        SH       DEFINED     1,2         500
</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
E*TRADE GROUP               NOTE    269246AB0  2,525   2,500,000  PRN      DEFINED     2,3     105,932
EASTMAN CHEMICAL COMPANY    COM     277432100  5       100        SH       DEFINED     1,2         100
EASTMAN KODAK CO            COM     277461109  9       400        SH       DEFINED     1,2         400
EATON CORP                  COM     278058102  13      200        SH       DEFINED     1,2         200
EBAY INC                    COM     278642103  1,387   32,100     SH       DEFINED     1,2      32,100
ECOLAB INC                  COM     278865100  11      300        SH       DEFINED     1,2         300
EDISON INTERNATIONAL        COM     281020107  22      500        SH       DEFINED     1,2         500
EL PASO CORP                COM     28336L109  11      900        SH       DEFINED     1,2         900
ELECTRONCIS FOR IMAGING     DBCV    286082AA0  1,001   900,000    PRN      DEFINED     2,3      34,066
ELECTRONIC ARTS INC         COM     285512109  549     10,500     SH       DEFINED     1,2      10,500
ELECTRONIC DATA SYSTEMS     NOTE    285661AF1  2,943   2,950,000  PRN      DEFINED     2,3      86,409
ELECTRONIC DATA SYSTEMS     COM     285661104  17      700        SH       DEFINED     1,2         700
ELI LILLY & CO              COM     532457108  91      1,600      SH       DEFINED     1,2       1,600
EMC CORP MASS SR NT         NOTE    268648AG7  3,120   3,000,000  PRN      DEFINED     2,3     217,391
EMC CORP/MASS               COM     268648102  46      3,400      SH       DEFINED     1,2       3,400
EMERSON ELECTRIC CO         COM     291011104  45      600        SH       DEFINED     1,2         600
 </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
EMPRESA BRASILIERA DE AE    ADR PFD 29081M102  684     17,500     SH       DEFINED      2       17,500
ENCANA CORP                 COM     292505104  813     18,000     SH       DEFINED      2       18,000
ENDURANCE SPECIALTY HLDGS   SHS     G30397106  896     25,000     SH       DEFINED      2       25,000
ENGELHARD CORP              COM     292845104  6       200        SH       DEFINED     1,2         200
ENTERGY CORP                COM     29364G103  3,666   53,400     SH       DEFINED     1,2      53,400
EOG RESOURCES INC           COM     26875P101  29      400        SH       DEFINED     1,2         400
EQUIFAX INC                 COM     294429105  8       200        SH       DEFINED     1,2         200
EQUITY OFFICE PROPERTIES    COM     294741103  18      600        SH       DEFINED     1,2         600
EQUITY RESIDENTIAL          INT     29476L107  16      400        SH       DEFINED     1,2         400
EXELON CORP                 COM     30161N101  1,780   33,500     SH       DEFINED     1,2      33,500
EXPRESS SCRIPTS INC         COM     302182100  17      200        SH       DEFINED     1,2         200
EXXON MOBIL CORP            COM     30231G102  1,943   34,600     SH       DEFINED     1,2      34,600
FEDERAL NATL MTGE ASSN.     COM     313586109  2,981   61,075     SH       DEFINED     1,2      61,075
FEDERATED DEPARTMENT STR    COM     31410H101  28      424        SH       DEFINED     1,2         424
FEDERATED INVESTORS INC     CL B    314211103  4       100        SH       DEFINED     1,2         100
FEDEX CORP                  COM     31428X106  52      500        SH       DEFINED     1,2         500
FIRST AMERICAN CORP         COM     318522307  2,997   66,150     SH       DEFINED      2       66,150
</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
FIRST CITIZENS BCSHS        CL A    31946M103  331     1,900      SH       DEFINED      2        1,900
FIRST DATA CORP             COM     319963104  48      1,119      SH       DEFINED     1,2       1,119
FIRST HORIZON NATIONAL CORP COM     320517105  8       200        SH       DEFINED     1,2         200
FIRSTENERGY CORP            COM     337932107  24      500        SH       DEFINED     1,2         500
FISERV INC                  COM     337738108  13      300        SH       DEFINED     1,2         300
FISHER SCIENTIFIC INTL      NOTE    338032AW5  974     700,000    PRN      DEFINED     2,3      14,748
FISHER SCIENTIFIC INTL INC  COM     338032204  12      200        SH       DEFINED     1,2         200
FLIR SYSTEMS INC            NOTE    302445AB7  1,020   870,000    PRN      DEFINED     2,3      19,602
FLUOR CORP                  COM     343412102  8       100        SH       DEFINED     1,2         100
FMC CORP (NEW)              COM     302491303  1,729   32,525     SH       DEFINED      2       32,525
FORD MOTOR CO               COM     345370860  20      2,600      SH       DEFINED     1,2       2,600
FOREST LABORATORIES INC     COM     345838106  20      500        SH       DEFINED     1,2         500
FORTUNE BRANDS INC          COM     349631101  16      200        SH       DEFINED     1,2         200
FPL GROUP INC               COM     302571104  25      600        SH       DEFINED     1,2         600
FRANKLIN RESOURCES INC      COM     354613101  28      300        SH       DEFINED     1,2         300
FREDDIE MAC                 COM     313400301  3,483   53,300     SH       DEFINED     1,2      53,300
</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
FREEPORT-MCMORAN COPPER     CL B    35671D857  16      300        SH       DEFINED     1,2         300
FREESCALE SEMICONDUCTOR     CL B    35687M206  14      564        SH       DEFINED     1,2         564
GANNETT CO                  COM     364730101  24      400        SH       DEFINED     1,2         400
GAP INC/THE                 COM     364760108  18      1,000      SH       DEFINED     1,2       1,000
GENENTECH INC               COM     368710406  1,430   15,460     SH       DEFINED     1,2      15,460
GENERAL DYNAMICS CORP       COM     369550108  34      300        SH       DEFINED     1,2         300
GENERAL ELECTRIC CO         COM     369604103  4,402   125,600    SH       DEFINED     1,2     125,600
GENERAL MILLS INCORP        COM     370334104  1,011   20,500     SH       DEFINED     1,2      20,500
GENERAL MOTORS CORP         COM     370442105  16      800        SH       DEFINED     1,2         800
GENUINE PARTS CO            COM     372460105  13      300        SH       DEFINED     1,2         300
GENZYME CORP                NOTE    372917AN4  959     850,000    PRN      DEFINED     2,3      11,931
GENZYME CORP                COM     372917104  28      400        SH       DEFINED     1,2         400
GILEAD SCIENCES INC         COM     375558103  326     6,200      SH       DEFINED     1,2       6,200
GLENBOROUGH REALTY TRUST INCCOM     37803P105  327     18,050     SH       DEFINED      2       18,050
GLOBAL IMAGING SYSTEMS INC  COM     37934A100  822     23,750     SH       DEFINED      2       23,750
GOLDEN WEST FINANCIAL CORP  COM     381317106  26      400        SH       DEFINED     1,2         400
GOLDMAN SACHS GROUP INC     COM     38141G104  89      700        SH       DEFINED     1,2         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
GOODRICH CORP               COM     382388106  8       200        SH       DEFINED     1,2         200
GOODYEAR TIRE & RUBBER CO   COM     382550101  3       200        SH       DEFINED     1,2         200
GOOGLE INC-CL A             CL A    38259P508  2,904   7,000      SH       DEFINED     1,2       7,000
GUIDANT CORP                COM     401698105  32      500        SH       DEFINED     1,2         500
GUITAR CENTER MG            NOTE    402040AC3  1,927   1,300,000  PRN      DEFINED     2,3      37,594
H&R BLOCK INC               COM     093671105  15      600        SH       DEFINED     1,2         600
HALLIBURTON CO              COM     406216101  43      700        SH       DEFINED     1,2         700
HANGER ORTHOPEDIC GROUP     COM     41043F208  314     55,075     SH       DEFINED      2       55,075
HARLEY-DAVIDSON INC         COM     412822108  21      400        SH       DEFINED     1,2         400
HARRAHS ENTERTAINMENT INC   COM     413619107  21      300        SH       DEFINED     1,2         300
HARTFORD FINANCIAL SVCS     COM     416515104  43      500        SH       DEFINED     1,2         500
HASBRO INC                  COM     418056107  783     38,825     SH       DEFINED     1,2      38,825
HCA INC                     COM     404119109  30      600        SH       DEFINED     1,2         600
HEALTH MGMT ASSOCIATES      CL A    421933102  7       300        SH       DEFINED     1,2         300
HENRY SCHEIN INC            NOTE    806407AB8  1,011   900,000    PRN      DEFINED     2,3      19,422
HERCULES INC                COM     427056106  2,770   245,100    SH       DEFINED    1,2,4    245,100
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
HERSHEY CO/THE              COM     427866108  17      300        SH       DEFINED     1,2         300
HEWLETT-PACKARED CO         COM     428236103  1,682   58,760     SH       DEFINED     1,2      58,760
HILTON HOTELS CORP          COM     432848109  12      500        SH       DEFINED     1,2         500
HJ HEINZ CO                 COM     423074103  17      500        SH       DEFINED     1,2         500
HOME DEPOT                  COM     437076102  2,757   68,100     SH       DEFINED     1,2      68,100
HONEYWELL INTERNATIONAL     COM     438516106  45      1,200      SH       DEFINED     1,2       1,200
HORACE MANN EDUCATORS       COM     440327104  965     50,900     SH       DEFINED      2       50,900
HORMEL FOODS CORP           COM     440452100  167     5,100      SH       DEFINED      2        5,100
HOSPIRA INC                 COM     441060100  9       220        SH       DEFINED     1,2         220
HUB INTERNATIONAL LIMITED   COM     44332P101  556     21,550     SH       DEFINED      2       21,550
HUMANA INC                  COM     444859102  11      200        SH       DEFINED     1,2         200
HUNTINGTON BANCSHARES INC   COM     446150104  7       300        SH       DEFINED     1,2         300
HUTCHINSON TECH             NOTE    448407AE6  1,080   1,000,000  PRN      DEFINED     2,3      33,512
IDACORP INC                 COM     451107106  670     22,875     SH       DEFINED      2       22,875
ILLINOIS TOOL WORKS         COM     452308109  35      400        SH       DEFINED     1,2         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
IMS HEALTH INC              COM     449934108  7       300        SH       DEFINED     1,2         300
INCO LTD                    DBCV    453258AT2  3,569   2,522,000  PRN      DEFINED      2       80,541
INGERSOLL-RAND CO LTD       CL A    G4776G101  24      600        SH       DEFINED     1,2         600
INTEGRA LIFESCIENCES HLD    NOTE    457985AB5  714     635,000    PRN      DEFINED     2,3      18,596
INTEL CORP                  COM     458140100  1,468   58,800     SH       DEFINED     1,2      58,800
INTERNATIONAL BUSINESS MACHICOM     459200101  9,395   114,300    SH       DEFINED     1,2     114,300
INTERPUBLIC GROUP COS       NOTE    460690AT7  970     930,000    PRN      DEFINED     2,3      74,879
INTERPUBLIC GROUP OF COS INCCOM     460690100  6       600        SH       DEFINED     1,2         600
INTL FLAVORS & FRAGRANCES   COM     459506101  3       100        SH       DEFINED     1,2         100
INTL GAME TECHNOLOGY        COM     459902102  15      500        SH       DEFINED     1,2         500
INTL RECTIFIER              NOTE    460254AE5  3,413   3,500,000  PRN      DEFINED     2,3      47,339
INTUIT INC                  COM     461202103  16      300        SH       DEFINED     1,2         300
INVITROGEN INC              NOTE    46185RAJ9  979     900,000    PRN      DEFINED     2,3      13,189
IPC HOLDINGS LTD            ORD     G4933P101  2,675   97,700     SH       DEFINED      2       97,700
ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848  47,320  3,500,000  SH       DEFINED      2    3,500,000
ITT INDUSTRIES INC          COM     450911102  21      200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
IVAX CORP                   NOTE    465823AG7  2,015   2,000,000  PRN      DEFINED     2,3      88,018
IVAX CORP                   NOTE    465823AQ5  1,376   1,000,000  PRN      DEFINED     2,3      44,009
J.C. PENNEY CO INC          COM     708160106  22      400        SH       DEFINED     1,2         400
JABIL CIRCUIT INC           COM     466313103  11      300        SH       DEFINED     1,2         300
JANUS CAPITAL GROUP INC     COM     47102X105  6       300        SH       DEFINED     1,2         300
JEFFERSON-PILOT CORP        COM     475070108  11      200        SH       DEFINED     1,2         200
JER INVESTORS TRUST INC     COM     46614H301  848     50,000     SH       DEFINED     2,4      50,000
JOHNSON & JOHNSON           COM     478160104  1,160   19,300     SH       DEFINED     1,2      19,300
JOHNSON CONTROL INC         COM     478366107  1,757   24,100     SH       DEFINED     1,2      24,100
JONES APPAREL GROUP INC     COM     480074103  6       200        SH       DEFINED     1,2         200
JPMORGAN CHASE & CO         COM     46625H100  2,999   75,562     SH       DEFINED     1,2      75,562
KAYDON CORP                 NOTE    486587AB4  58      50,000     PRN      DEFINED     2,3       1,715
KB HOME                     COM     48666K109  7       100        SH       DEFINED     1,2         100
KELLOGG CO                  COM     487836108  22      500        SH       DEFINED     1,2         500
KELLWOOD CO                 COM     488044108  547     22,900     SH       DEFINED      2       22,900
KELLY SERVICES INC          CL A    488152208  1,186   45,250     SH       DEFINED      2       45,250
</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
KENNAMETAL INC              COM     489170100  970     19,000     SH       DEFINED      2       19,000
KERR MC GEE CORP            COM     492386107  1,381   15,200     SH       DEFINED     1,2      15,200
KEYCORP                     COM     493267108  20      600        SH       DEFINED     1,2         600
KEYSPAN CORP                COM     49337W100  11      300        SH       DEFINED     1,2         300
KIMBERLY CLARK              COM     494368103  937     15,700     SH       DEFINED     1,2      15,700
KINDER MORGAN INC           COM     49455P101  18      200        SH       DEFINED     1,2         200
KNIGHT RIDDER INC           COM     499040103  6       100        SH       DEFINED     1,2         100
KOHLS CORP                  COM     500255104  24      500        SH       DEFINED     1,2         500
KROGER CO                   COM     501044101  19      1,000      SH       DEFINED     1,2       1,000
L-3 COMMUNICATIONS CORP     COM     502424104  238     3,200      SH       DEFINED     1,2       3,200
LABORATORY CRP OF AMER      COM     50540R409  11      200        SH       DEFINED     1,2         200
LEAR CORP                   COM     521865105  3,898   136,950    SH       DEFINED      2      136,950
LEGGETT & PLATT INC         COM     524660107  7       300        SH       DEFINED     1,2         300
LEHMAN BROTHERS HOLDING     COM     524908100  2,486   19,400     SH       DEFINED     1,2      19,400
LEVEL 3 COMMUNICATIONS      NOTE    52729NBA7  189     300,000    PRN      DEFINED     2,3      41,783
LEXMARK INTERNATIONAL INC   CL A    529771107  9       200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
LIBBEY INC                  COM     529898108  393     38,475     SH       DEFINED      2       38,475
LIBERTY MEDIA               COMSERA 530718105  4,339   551,300    SH       DEFINED      2      551,300
LIBERTY MEDIA               DEB     530718AF2  1,926   1,800,000  PRN      DEFINED     2,3     103,334
LIMITED BRANDS INC          COM     532716107  11      500        SH       DEFINED     1,2         500
LINCARE HOLDINGS            DBCV    532791AB6  952     950,000    PRN      DEFINED     2,3      17,814
LINCOLN NATIONAL CORP IND   COM     534187109  5,319   100,300    SH       DEFINED     1,2     100,300
LINEAR TECHNOLOGY CORP      COM     535678106  14      400        SH       DEFINED     1,2         400
LIZ CLAIBORNE INC           COM     539320101  7       200        SH       DEFINED     1,2         200
LOCKHEED MARTIN CORP        COM     539830109  38      600        SH       DEFINED     1,2         600
LORAL SPACE AND COMM        COM     543881106  591     20,900     SH       DEFINED      2       20,900
LOUISIANA-PACIFIC CORP      COM     546347105  3       100        SH       DEFINED     1,2         100
LOWES COS INC               COM     548661107  73      1,100      SH       DEFINED     1,2       1,100
LSI LOGIC CORP              COM     502161102  4       500        SH       DEFINED     1,2         500
LUCENT TECHNOLOGIES INC     COM     549463107  17      6,300      SH       DEFINED     1,2       6,300
M & T BANK CORP             COM     55261F104  22      200        SH       DEFINED     1,2         200
MAGNA INTERNATIONAL INC     CL A    559222401  1,261   17,525     SH       DEFINED      2       17,525
MANOR CARE INC              COM     564055101  4       100        SH       DEFINED     1,2         100
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
MARATHON OIL CORP           COM     565849106  32      523        SH       DEFINED     1,2         523
MARRIOTT INTERNATIONAL      CLA     571903202  1,527   22,800     SH       DEFINED     1,2      22,800
MARSHALL & ILSLEY CORP      COM     571834100  13      300        SH       DEFINED     1,2         300
MASCO CORP                  COM     574599106  18      600        SH       DEFINED     1,2         600
MATTEL INC                  COM     577081102  8       500        SH       DEFINED     1,2         500
MAXIM INTEGRATED PRODUCTS   COM     57772K101  361     9,960      SH       DEFINED     1,2       9,960
MAYTAG CORP.                COM     578592107  603     32,050     SH       DEFINED      2       32,050
MBIA INC                    COM     55262C100  3,922   65,200     SH       DEFINED     1,2      65,200
MBNA CORP                   COM     55262L100  48      1,750      SH       DEFINED     1,2       1,750
MCCORMICK & CO              COM     579780206  6       200        SH       DEFINED     1,2         200
MCDONALD'S CORP             COM     580135101  2,219   65,800     SH       DEFINED     1,2      65,800
MCGRAW-HILL COMPANIES INC   COM     580645109  26      500        SH       DEFINED     1,2         500
MCKESSON CORP               COM     58155Q103  21      400        SH       DEFINED     1,2         400
MEADWESTVACO CORP           COM     583334107  8       300        SH       DEFINED     1,2         300
MEDCO HEALTH SOLUTIONS INC  COM     58405U102  23      411        SH       DEFINED     1,2         411
MEDIACOM COMMUNICATIONS     CL A    58446K105  1,098   200,000    SH       DEFINED      2      200,000
</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
MEDICIS PHARMACE            NOTE    58470KAA2  1,051   900,000    PRN      DEFINED     2,3      15,491
MEDTRONIC INC               COM     585055106  1,134   19,700     SH       DEFINED     1,2      19,700
MEDTRONIC INC               DBCV    585055AD8  506     500,000    PRN      DEFINED     2,3       8,090
MELLON FINANCIAL CORP       COM     58551A108  21      600        SH       DEFINED     1,2         600
MERCURY INTERACTIVE CORP    COM     589405109  4,638   166,900    SH       DEFINED     1,2     166,900
MEREDITH CORP               COM     589433101  5       100        SH       DEFINED     1,2         100
MERRILL LYNCH               NOTE    590188A65  299     540,000    PRN      DEFINED     2,3       3,066
MERRILL LYNCH & CO          NOTE    590188W46  3,180   3,000,000  PRN      DEFINED     2,3      41,464
MERRILL LYNCH & CO INC      COM     590188108  95      1,400      SH       DEFINED     1,2       1,400
METLIFE INC                 COM     59156R108  2,323   47,400     SH       DEFINED     1,2      47,400
MGIC INVESTMENT CORP        COM     552848103  13      200        SH       DEFINED     1,2         200
MI DEVELOPMENTS INC         CL A    55304X104  917     26,650     SH       DEFINED      2       26,650
MICRON TECHNOLOGY INC       COM     595112103  11      800        SH       DEFINED     1,2         800
MICROSOFT CORP              COM     594918104  6,132   234,500    SH       DEFINED     1,2     234,500
MILACRON INC                COM     598709103  115     91,150     SH       DEFINED      2       91,150
MILLIPORE CORP              COM     601073109  7       100        SH       DEFINED     1,2         100
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
MOLEX INC                   COM     608554101  5       200        SH       DEFINED     1,2         200
MOLSON COORS BREWING CO     CL B    60871R209  7       100        SH       DEFINED     1,2         100
MONEYGRAM INTERNATIONAL     COM     60935Y109  777     29,775     SH       DEFINED      2       29,775
MONSANTO CO                 COM     61166W101  33      426        SH       DEFINED     1,2         426
MONSTER WORLDWIDE INC       COM     611742107  8       200        SH       DEFINED     1,2         200
MOODYS CORP                 COM     615369105  25      400        SH       DEFINED     1,2         400
MORGAN STANLEY              COM     617446448  2,482   43,750     SH       DEFINED     1,2      43,750
MOTOROLA INC                COM     620076109  79      3,500      SH       DEFINED     1,2       3,500
MSDW ASIA PACIFIC FUND      COM     61744U106  171     11,000     SH       DEFINED      2       11,000
MYLAN LABORATORIES INC      COM     628530107  6       300        SH       DEFINED     1,2         300
NABORS INDUSTRIES LTD       SHS     G6359F103  15      200        SH       DEFINED     1,2         200
NACCO INDUSTRIES-CL A       CL A    629579103  726     6,200      SH       DEFINED      2        6,200
NATIONAL CITY CORP          COM     635405103  27      800        SH       DEFINED     1,2         800
NATIONAL OILWELL VARCO INC  COM     637071101  19      300        SH       DEFINED     1,2         300
NATIONAL SEMICONDUCTOR      COM     637640103  13      500        SH       DEFINED     1,2         500
NBTY INC                    COM     628782104  791     48,675     SH       DEFINED      2       48,675
NCI BUILDING SYSTEMS INC    COM     628852105  669     15,750     SH       DEFINED      2       15,750
NCR CORPORATION             COM     62886E108  10      300        SH       DEFINED     1,2         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
NEENAH PAPER INC            COM     640079109  0       0          SH       DEFINED     1,2           0
NETWORK APPLIANCE INC       COM     64120L104  745     27,605     SH       DEFINED     1,2      27,605
NEUBERGER BERMAN REALTY INC COM     64126G109  725     40,000     SH       DEFINED      2       40,000
NEWELL RUBBERMAID INC       COM     651229106  10      400        SH       DEFINED     1,2         400
NEWMONT MINING CORP         COM     651639106  32      600        SH       DEFINED     1,2         600
NEWS CORP LTD               CL A    65248E104  6,832   439,336    SH       DEFINED     1,2     439,336
NICOR INC                   COM     654086107  4       100        SH       DEFINED     1,2         100
NIKE INC -CL B              CL B    654106103  35      400        SH       DEFINED     1,2         400
NISOURCE INC                COM     65473P105  2,741   131,400    SH       DEFINED     1,2     131,400
NOBLE CORP                  SHS     G65422100  14      200        SH       DEFINED     1,2         200
NORDSTROM INC               COM     655664100  15      400        SH       DEFINED     1,2         400
NORFOLK SOUTHERN CORP       COM     655844108  27      600        SH       DEFINED     1,2         600
NORTEL NETWORKS             NOTE    656568AB8  8,438   9,000,000  PRN      DEFINED     2,4     900,000
NORTH FORK BANCORP          COM     659424105  19      700        SH       DEFINED     1,2         700
NORTHEAST UTILITIES         COM     664397106  1,107   56,200     SH       DEFINED      2       56,200
NORTHERN TRUST CORP         COM     665859104  1,109   21,400     SH       DEFINED     1,2      21,400
</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

NORTHROP GRUMMAN CORP       COM     666807102  33      548        SH       DEFINED     1,2         548
NOVELL INC                  DBCV    670006AC9  2,470   2,600,000  PRN      DEFINED     2,3     225,655
NOVELL INC                  COM     670006105  4       500        SH       DEFINED     1,2         500
NOVELLUS SYSTEMS INC        COM     670008101  5       200        SH       DEFINED     1,2         200
NUCOR CORP                  COM     670346105  13      200        SH       DEFINED     1,2         200
NVIDIA CORP                 COM     67066G104  7       200        SH       DEFINED     1,2         200
OCCIDENTAL PETROLEUM CORP   COM     674599105  48      600        SH       DEFINED     1,2         600
OFFICE DEPOT INC            COM     676220106  13      400        SH       DEFINED     1,2         400
OFFICEMAX INC               COM     67622P101  3       100        SH       DEFINED     1,2         100
OLD REPUBLIC INTL CORP      COM     680223104  1,427   54,338     SH       DEFINED      2       54,338
OMNICOM GROUP               COM     681919106  26      300        SH       DEFINED     1,2         300
ORACLE CORP                 COM     68389X105  76      6,200      SH       DEFINED     1,2       6,200
PACCAR INC                  COM     693718108  21      300        SH       DEFINED     1,2         300
PACTIV CORPORATION          COM     695257105  4       200        SH       DEFINED     1,2         200
PALL CORP                   COM     696429307  5       200        SH       DEFINED     1,2         200
PARAMETRIC TECHNOLOGY CORP  COM     699173100  2       300        SH       DEFINED     1,2         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
PARKER HANNIFIN CORP        COM     701094104  13      200        SH       DEFINED     1,2         200
PAYCHEX INC                 COM     704326107  19      500        SH       DEFINED     1,2         500
PEOPLES ENERGY CORP         COM     711030106  4       100        SH       DEFINED     1,2         100
PEPSI BOTTLING GROUP INC    COM     713409100  9       300        SH       DEFINED     1,2         300
PEPSICO INCORPORATED        COM     713448108  1,442   24,400     SH       DEFINED     1,2      24,400
PERKINELMER INC             COM     714046109  5       200        SH       DEFINED     1,2         200
PETRO-CANADA                COM     71644E102  2,405   60,000     SH       DEFINED      2       60,000
PETROLEO BRASILEIRO S.A.    ADR     71654V101  3,862   60,000     SH       DEFINED      2       60,000
PFIZER INC                  COM     717081103  3,773   161,800    SH       DEFINED     1,2     161,800
PG&E CORPORATION            COM     69331C108  3,486   93,900     SH       DEFINED     1,2      93,900
PHARMACEUTICAL HLDRS TRUST  DEPOSITR71712A206  45,273  650,000    SH       DEFINED      2      650,000
PHELPS DODGE CORP           COM     717265102  29      200        SH       DEFINED     1,2         200
PHH CORP                    COM     693320202  847     30,225     SH       DEFINED      2       30,225
PHILIPS ELECTRONICS         NY REG S500472303  3,088   99,300     SH       DEFINED      2       99,300
PHILLIPS PETROLEUM CO       COM     20825C104  3,608   62,022     SH       DEFINED     1,2      62,022
PINNACLE WEST CAPITAL       COM     723484101  8       200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
PIONEER NATURAL RESOURCES COCOM     723787107  5,486   107,000    SH       DEFINED      2      107,000
PITNEY BOWES INC            COM     724479100  13      300        SH       DEFINED     1,2         300
PIXAR INC                   COM     725811103  380     7,200      SH       DEFINED     1,2       7,200
PLACER DOME INC             COM     725906101  1,511   65,900     SH       DEFINED      2       65,900
PLUM CREEK TIMBER CO        COM     729251108  11      300        SH       DEFINED     1,2         300
PNC FINANCIAL SERVICES GRP  COM     693475105  25      400        SH       DEFINED     1,2         400
PPG INDUSTRIES INC          COM     693506107  17      300        SH       DEFINED     1,2         300
PPL CORPORATION             COM     69351T106  18      600        SH       DEFINED     1,2         600
PRAXAIR INC                 COM     74005P104  1,615   30,500     SH       DEFINED     1,2      30,500
PREMIUM STANDARD FARMS INC  COM     74060C105  8,627   576,682    SH       DEFINED     2,3     576,682
PRIDE INTERNATIONAL INC     NOTE    74153QAD4  1,054   800,000    PRN      DEFINED     2,3      31,124
PRINCIPAL FINANCIAL GROUP   COM     74251V102  19      400        SH       DEFINED     1,2         400
PROCTER & GAMBLE CO         COM     742718109  1,092   18,865     SH       DEFINED     1,2      18,865
PROGRESS ENERGY INC         COM     743263105  18      400        SH       DEFINED     1,2         400
PROGRESSIVE CORP            COM     743315103  1,690   14,470     SH       DEFINED     1,2      14,470
PROLOGIS                    INT     743410102  14      300        SH       DEFINED     1,2         300
PRUDENTIAL FINANCIAL INC    COM     744320102  59      800        SH       DEFINED     1,2         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
PUBLIC SERVICE CO OF N MEX  COM     69349H107  33,005  1,347,681  SH       DEFINED     2,4   1,347,681
PUBLIC SERVICE ENTERPRISE   COM     744573106  26      400        SH       DEFINED     1,2         400
PULTE CORP                  COM     745867101  11,037  280,400    SH       DEFINED     1,2     280,400
QUALCOMM INC                COM     747525103  1,004   23,300     SH       DEFINED     1,2      23,300
QUEST DIAGNOSTICS           COM     74834L100  15      300        SH       DEFINED     1,2         300
QWEST COMMUNICATIONS INTL   COM     749121109  13      2,300      SH       DEFINED     1,2       2,300
RADIOSHACK CORP             COM     750438103  607     28,850     SH       DEFINED     1,2      28,850
RAYTHEON COMPANY            COM     755111507  28      700        SH       DEFINED     1,2         700
REEBOK INTERNATIONAL LTD    COM     758110100  6       100        SH       DEFINED     1,2         100
REGIONS FINANCIAL CORP      COM     7591EP100  21      620        SH       DEFINED     1,2         620
RENAISSANCERE HLDGS LTD     COM     G7496G103  2,280   51,700     SH       DEFINED      2       51,700
RENT-A-CENTER INC           COM     76009N100  2,387   126,575    SH       DEFINED      2      126,575
REYNOLDS AMERICAN INC       COM     761713106  19      200        SH       DEFINED     1,2         200
ROBBINS & MYERS INC         COM     770196103  270     13,250     SH       DEFINED      2       13,250
ROBERT HALF INTL INC        COM     770323103  8       200        SH       DEFINED     1,2         200
ROCKWELL AUTOMATION INC     COM     773903109  18      300        SH       DEFINED     1,2         300
ROCKWELL COLLINS INC.       COM     774341101  14      300        SH       DEFINED     1,2         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
ROHM AND HAAS CO            COM     775371107  15      300        SH       DEFINED     1,2         300
ROWAN COMPANIES INC         COM     779382100  7       200        SH       DEFINED     1,2         200
RR DONNELLEY & SONS CO      COM     257867101  10      300        SH       DEFINED     1,2         300
RYDER SYSTEM INC            COM     783549108  4       100        SH       DEFINED     1,2         100
SAFECO CORP                 COM     786429100  11      200        SH       DEFINED     1,2         200
SAFEWAY INC                 COM     786514208  14      600        SH       DEFINED     1,2         600
SALESFORCE.COM INC          COM     79466L302  327     10,200     SH       DEFINED     1,2      10,200
SARA LEE CORP               COM     803111103  1,638   86,650     SH       DEFINED     1,2      86,650
SCANA CORP                  COM     80589M102  1,993   50,600     SH       DEFINED      2       50,600
SCHERING-PLOUGH CORP        COM     806605101  44      2,100      SH       DEFINED     1,2       2,100
SCHLUMBERGER LIMITED        COM     806857108  2,662   27,400     SH       DEFINED     1,2      27,400
SCHLUMBERGER LIMITED        DBCV    806857AC2  3,438   2,500,000  PRN      DEFINED     2,3      34,564
SCHWAB (CHARLES) CORP       COM     808513105  23      1,600      SH       DEFINED     1,2       1,600
SCHWEITZER-MAUDUIT INTL INC COM     808541106  972     39,225     SH       DEFINED      2       39,225
SCI SYSTEMS INC             NOTE    783890AF3  5,362   5,600,000  PRN      DEFINED     2,3     135,429
SCIENTIFIC-ATLANTA INC      COM     808655104  9       200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
SCRIPPS CO (E.W.)-CL A      CL A    811054204  960     20,000     SH       DEFINED      2       20,000
SEALED AIR CORP             COM     81211K100  6       100        SH       DEFINED     1,2         100
SEARS HOLDINGS CORP         COM     812350106  26      225        SH       DEFINED     1,2         225
SEMPRA ENERGY               COM     816851109  1,529   34,100     SH       DEFINED     1,2      34,100
SENOMYX INC                 COM     81724Q107  217     17,900     SH       DEFINED      2       17,900
SHERWIN-WILLIAMS CO/THE     COM     824348106  9       200        SH       DEFINED     1,2         200
SIEBEL SYSTEMS INC          COM     826170102  7       700        SH       DEFINED     1,2         700
SIGMA-ALDRICH               COM     826552101  6       100        SH       DEFINED     1,2         100
SIMON PROPERTY GROUP INC    COM     828806109  23      300        SH       DEFINED     1,2         300
SLM CORP                    DBCV    78442PAC0  1,535   1,500,000  PRN      DEFINED     2,3      22,736
SLM CORP                    COM     78442P106  33      600        SH       DEFINED     1,2         600
SNAP-ON INC                 COM     833034101  4       100        SH       DEFINED     1,2         100
SOLECTRON CORP              NOTE    834182AT4  2,295   3,160,000  PRN      DEFINED     2,3     326,892
SOLECTRON CORP              COM     834182107  5       1,300      SH       DEFINED     1,2       1,300
SOUTHERN CO                 COM     842587107  38      1,100      SH       DEFINED     1,2       1,100
SOUTHWEST AIRLINES CO       COM     844741108  16      1,000      SH       DEFINED     1,2       1,000
SOVEREIGN BANCORP INC       COM     845905108  11      500        SH       DEFINED     1,2         500
</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
SPHERION CORPORATION        COM     848420105  1,152   115,050    SH       DEFINED      2      115,050
SPRINT CORP-FON GROUP       COM     852061100  5,002   214,128    SH       DEFINED     1,2     214,128
ST JUDE MEDICAL INC         COM     790849103  1,029   20,500     SH       DEFINED     1,2      20,500
ST PAUL TRAVELERS COS       COM     792860108  45      1,007      SH       DEFINED     1,2       1,007
STANLEY WORKS/THE           COM     854616109  5       100        SH       DEFINED     1,2         100
STAPLES INC                 COM     855030102  24      1,050      SH       DEFINED     1,2       1,050
STARBUCKS CORP              COM     855244109  607     20,230     SH       DEFINED     1,2      20,230
STARWOOD HOTELS & RESORTS   PAIRED C85590A203  19      300        SH       DEFINED     1,2         300
STATE STREET CORP           COM     857477103  28      500        SH       DEFINED     1,2         500
STREETTRACKS GOLD TRUST     GOLD SHS863307104  36,106  700,000    SH       DEFINED      2      700,000
STRYKER CORP                COM     863667101  22      500        SH       DEFINED     1,2         500
SUN MICROSYSTEMS INC        COM     866810104  20      4,800      SH       DEFINED     1,2       4,800
SUNOCO INC                  COM     86764P109  16      200        SH       DEFINED     1,2         200
SUNTRUST BANKS INC          COM     867914103  36      500        SH       DEFINED     1,2         500
SUPERVALU INC               COM     868536103  6       200        SH       DEFINED     1,2         200
SYMANTEC CORP               COM     871503108  29      1,674      SH       DEFINED     1,2       1,674
</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
SYMBOL TECHNOLOGIES INC     COM     871508107  4       301        SH       DEFINED     1,2         301
SYNOVUS FINANCIAL CORP      COM     87161C105  11      400        SH       DEFINED     1,2         400
SYSCO CORP                  COM     871829107  28      900        SH       DEFINED     1,2         900
T ROWE PRICE GROUP INC      COM     74144T108  14      200        SH       DEFINED     1,2         200
TARGET CORP                 COM     87612E106  1,171   21,300     SH       DEFINED     1,2      21,300
TECO ENERGY INC             COM     872375100  5       300        SH       DEFINED     1,2         300
TEKTRONIX INC               COM     879131100  3       100        SH       DEFINED     1,2         100
TELLABS INC                 COM     879664100  7       600        SH       DEFINED     1,2         600
TEMPLE-INLAND INC           COM     879868107  9       200        SH       DEFINED     1,2         200
TESORO PETROLEUM CORP       COM     881609101  2,277   37,000     SH       DEFINED      2       37,000
TEXAS INSTRUMENTS INC       COM     882508104  77      2,400      SH       DEFINED     1,2       2,400
TEXTRON INC                 COM     883203101  1,416   18,400     SH       DEFINED     1,2      18,400
THE WALT DISNEY CO.         COM     254687106  70      2,900      SH       DEFINED     1,2       2,900
THERMO ELECTRON CORP        COM     883556102  6       200        SH       DEFINED     1,2         200
TIFFANY & CO                COM     886547108  8       200        SH       DEFINED     1,2         200
TIME WARNER INC             COM     887317105  4,227   242,400    SH       DEFINED     1,2     242,400
TJX COS INC                 NOTE    872540AL3  799     1,000,000  PRN      DEFINED     2,3      32,667
TJX COS. INC.    NEW        COM     872540109  2,843   122,400    SH       DEFINED     1,2     122,400
TORCHMARK CORP              COM     891027104  2,167   38,975     SH       DEFINED     1,2      38,975
</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
TRANSOCEAN INC              ORD     G90078109  35      500        SH       DEFINED     1,2         500
TRIBUNE CO                  COM     896047107  12      400        SH       DEFINED     1,2         400
TXU CORP                    COM     873168108  40      800        SH       DEFINED     1,2         800
TYCO INTERNATIONAL LTD      COM     902124106  242     8,400      SH       DEFINED     1,2       8,400
UNION PACIFIC               COM     907818108  2,615   32,475     SH       DEFINED     1,2      32,475
UNITED NATIONAL GROUP LTD   COM     90933T109  536     29,200     SH       DEFINED      2       29,200
UNITED PARCEL SERVICE       CL B    911312106  120     1,600      SH       DEFINED     1,2       1,600
UNITED STATES STEEL CORP    COM     912909108  10      200        SH       DEFINED     1,2         200
UNITED STATIONERS INC       COM     913004107  929     19,150     SH       DEFINED      2       19,150
UNITED TECHNOLOGIES CORP    COM     913017109  84      1,500      SH       DEFINED     1,2       1,500
UNITEDHEALTH GROUP INC      COM     91324P102  1,727   27,800     SH       DEFINED     1,2      27,800
UNIVERSAL CORP-VA           COM     913456109  970     22,375     SH       DEFINED      2       22,375
UNUMPROVIDENT CORP          COM     91529Y106  9       400        SH       DEFINED     1,2         400
US BANCORP                  COM     902973304  78      2,600      SH       DEFINED     1,2       2,600
USI HOLDINGS CORP           COM     90333H101  963     69,950     SH       DEFINED      2       69,950
UST INC                     COM     902911106  8       200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
VALASSIS COMMUNICATIONS     COM     918866104  786     27,050     SH       DEFINED      2       27,050
VALERO ENERGY CORP          COM     91913Y100  11,393  220,800    SH       DEFINED     1,2     220,800
VARIAN MEDICAL SYSTEMS INC  COM     92220P105  428     8,500      SH       DEFINED     1,2       8,500
VERITAS SOFTWARE CORP       NOTE    923436AD1  3,772   3,899,000  PRN      DEFINED     2,3      95,030
VERIZON COMMUNICATIONS INC. COM     92343V104  515     17,100     SH       DEFINED     1,2      17,100
VF CORP                     COM     918204108  11      200        SH       DEFINED     1,2         200
VIACOM INC-CL B             CL B    925524308  75      2,300      SH       DEFINED     1,2       2,300
VIAD CORP                   COM     92552R406  1,645   56,100     SH       DEFINED      2       56,100
VISTEON CORP                COM     92839U107  1       100        SH       DEFINED     1,2         100
VODAFONE AIRTOUCH PLC       ADR     92857W100  3,221   150,000    SH       DEFINED      2      150,000
VULCAN MATERIALS CO         COM     929160109  14      200        SH       DEFINED     1,2         200
WACHOVIA CORP               COM     929903102  2,154   40,745     SH       DEFINED     1,2      40,745
WAL MART STORES INC         COM     931142103  3,571   76,300     SH       DEFINED     1,2      76,300
WALGREEN CO                 COM     931422109  376     8,500      SH       DEFINED     1,2       8,500
</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
WASHINGTON MUTUAL INC       COM     939322103  808     18,585     SH       DEFINED     1,2      18,585
WASTE MANAGEMENT INC        COM     94106L109  24      800        SH       DEFINED     1,2         800
WATERS CORP                 COM     941848103  8       200        SH       DEFINED     1,2         200
WATSON PHARMACEUTICALS      COM     942683103  7       200        SH       DEFINED     1,2         200
WELLPOINT INC               COM     94973V107  72      900        SH       DEFINED     1,2         900
WELLS FARGO & COMPANY       COM     949746101  151     2,400      SH       DEFINED     1,2       2,400
WENDYS INTERNATIONAL INC    COM     950590109  11      200        SH       DEFINED     1,2         200
WEYERHAEUSER COMPANY        COM     962166104  1,048   15,800     SH       DEFINED     1,2      15,800
WHIRLPOOL CORPORATION       COM     963320106  2,741   32,725     SH       DEFINED     1,2      32,725
WILLIAMS COS INC            COM     969457100  2,526   109,000    SH       DEFINED     1,2     109,000
WISCONSIN ENERGY CORP       COM     976657106  1,567   40,125     SH       DEFINED      2       40,125
WRIGLEY WM JR CO            COM     982526105  20      300        SH       DEFINED     1,2         300
WW GRAINGER INC             COM     384802104  7       100        SH       DEFINED     1,2         100
WYETH                       COM     983024100  2,331   50,600     SH       DEFINED     1,2      50,600
XCEL ENERGY INC             COM     98389B100  1,619   87,700     SH       DEFINED     1,2      87,700
XEROX CORP                  COM     984121103  19      1,300      SH       DEFINED     1,2       1,300
</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
XILINX INC                  COM     983919101  334     13,255     SH       DEFINED     1,2      13,255
XL CAPITAL LTD-CLASS A      CL A    G98255105  1,738   25,800     SH       DEFINED     1,2      25,800
XM SATELLITE RADIO HOLD     CL A    983759101  505     18,500     SH       DEFINED     1,2      18,500
XTO ENERGY INC              COM     98385X106  22      500        SH       DEFINED     1,2         500
YAHOO! INC                  COM     984332106  1,391   35,500     SH       DEFINED     1,2      35,500
YELLOW ROADWAY CORP         NOTE    985577AA3  940     670,000    PRN      DEFINED     2,3      17,074
YUM! BRANDS INC             COM     988498101  19      400        SH       DEFINED     1,2         400
ZIMMER HOLDINGS INC         COM     98956P102  27      400        SH       DEFINED     1,2         400
ZIONS BANCORPORATION        COM     989701107  15      200        SH       DEFINED     1,2         200
</Table>