FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: June 30,2005

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:
August 12,2005
Chicago, Illinois,60685
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES EXCHANGE
ACT OF 1934

Report Type (Check only one.):

 [  X ]              13F HOLDINGS REPORT.

 [    ]              13F NOTICE.

 [    ]              13F COMBINATION REPORT.

List of Other Managers Reporting for this Manager:



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



FORM 13F SUMMARY PAGE

Report Summary:

Number of Other Included Managers: 4

Form 13F Information Table Entry Total: 259

Form 13F Information Table Value Total:  1,316,970 (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  1,446   20,000     SH       DEFINED      2       20,000
3M COMPANY                  NOTE    88579YAB7  781     900,000    PRN      DEFINED     2,3       8,514
ABB LTD-SPON ADR            ADR     000375204  2,756   426,000    SH       DEFINED      2      426,000
ABBOTT LABORATORIES         COM     002824100  1,225   25,000     SH       DEFINED      2       25,000
ACCENTURE LTD               CL A    G1150G111  1,975   87,100     SH       DEFINED      2       87,100
ACTUANT CORPORATION         SDCV    00508XAB0  262     200,000    PRN      DEFINED     2,3       5,011
ADVANCED MEDICAL OPTICS     NOTE    00763MAG3  2,600   2,550,000  PRN      DEFINED     2,3      50,756
AFFILIATED MANAGERS GRP     DBCV    008252AE8  1,566   1,000,000  PRN      DEFINED     2,3      18,462
AFTERMARKET TECHNOLOGY CORP COM     008318107  501     28,750     SH       DEFINED      2       28,750
AGILENT TECH INC            DBCV    00846UAB7  45,861  46,500,000 PRN      DEFINED    2,3,4  1,443,202
ALCON INC                   COM SHS H01301102  656     6,000      SH       DEFINED      2        6,000
ALLSTATE CORPORATION        COM     020002101  1,828   30,600     SH       DEFINED      2       30,600
ALPHA NATURAL RESOURCES INC COM     02076X102  1,194   50,000     SH       DEFINED      2       50,000
ALTRIA GROUP INC            COM     02209S103  970     15,000     SH       DEFINED      2       15,000
AMDOCS LIMITED              NOTE    02342TAD1  456     500,000    PRN      DEFINED     2,3      11,596
AMERICAN EXPRESS            COM     025816109  1,065   20,000     SH       DEFINED      2       20,000
</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 GREET              NOTE    026375AJ4  1,086   560,000    PRN      DEFINED     2,3      40,290
AMERICAN HOME MORTGAGE INVESCOM     02660R107  1,030   29,450     SH       DEFINED      2       29,450
AMERICAN INTL GROUP INC     COM     026874107  5,810   100,000    SH       DEFINED      2      100,000
AMERICAN NATIONAL INSURANCE COM     028591105  615     5,400      SH       DEFINED      2        5,400
AMERICAN PHYSICIANS CAP INC COM     028884104  848     22,825     SH       DEFINED      2       22,825
AMERISOURCE HEALTH CORP-CL ACOM     03073E105  1,006   14,550     SH       DEFINED      2       14,550
AMERUS GROUP CO             COM     03072M108  656     13,650     SH       DEFINED      2       13,650
AMGEN INC                   COM     031162100  1,572   26,000     SH       DEFINED      2       26,000
AMGEN INC                   NOTE    031162AL4  32,738  45,000,000 PRN      DEFINED    2,3,4    398,705
ANADARKO PETROLEUM CORP     COM     032511107  12,323  150,000    SH       DEFINED      2      150,000
ANDREW CORP                 NOTE    034425AB4  1,184   1,050,000  PRN      DEFINED     2,3      76,701
ANHEUSER BUSCH CO           COM     035229103  2,539   55,500     SH       DEFINED      2       55,500
AON CORP                    COM     037389103  4,183   167,050    SH       DEFINED      2      167,050
AQUILA INC                  COM     03840P102  720     199,400    SH       DEFINED      2      199,400
ARMOR HOLDINGS INC          NOTE    042260AC3  1,206   1,240,000  PRN      DEFINED     2,3      22,959
ARVINMERITOR INC            COM     043353101  1,433   80,550     SH       DEFINED      2       80,550
</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
ASE TEST LIMITED            ORD     Y02516105  161     25,000     SH       DEFINED     2,4      25,000
ASHLAND INC                 COM     044204105  2,422   33,700     SH       DEFINED      2       33,700
AUTOZONE INC.               COM     053332102  913     9,875      SH       DEFINED      2        9,875
AXIS CAPITAL HOLDINGS LTD   SHS     G0692U109  1,344   47,500     SH       DEFINED      2       47,500
BANK OF NEW YORK            COM     064057102  1,183   41,100     SH       DEFINED      2       41,100
BAUSCH & LOMB INC           FRNT    071707AM5  1,224   800,000    PRN      DEFINED     2,3      13,021
BEARINGPOINT INC            COM     074002106  3,267   445,650    SH       DEFINED      2      445,650
BEST BUY COMPANY INC        COM     086516101  2,776   40,500     SH       DEFINED      2       40,500
BOEING COMPANY              COM     097023105  3,853   58,375     SH       DEFINED      2       58,375
BOSTON SCIENTIFIC CORP      COM     101137107  216     8,000      SH       DEFINED      2        8,000
BOWNE & CO INC              COM     103043105  620     42,900     SH       DEFINED      2       42,900
BRISTOL-MYERS SQUIBB CO     COM     110122108  1,063   42,550     SH       DEFINED      2       42,550
BURLINGTON RESOURCES INC    COM     122014103  3,370   61,000     SH       DEFINED      2       61,000
CABLEVISION SYSTEMS  -CL A  CL A    12686C109  1,005   31,200     SH       DEFINED      2       31,200
CARNIVAL CORP               NOTE    143658AS1  905     1,000,000  PRN      DEFINED     2,3      16,596
CARNIVAL CORP               DBCV    143658AV4  22,206  27,500,000 PRN      DEFINED    2,3,4    334,950
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None


CATERPILLAR INC             COM     149123101  953     10,000     SH       DEFINED      2       10,000
CELESTICA INC               NOTE    15101QAA6  2,806   5,000,000  PRN      DEFINED     2,3      28,374
CENTEX CORP                 COM     152312104  6,219   88,000     SH       DEFINED      2       88,000
CENTRAL EUROPE & RUSSIA FUNDCOM     153436100  801     26,100     SH       DEFINED      2       26,100
CIBER INC                   COM     17163B102  1,098   137,625    SH       DEFINED      2      137,625
CIGNA CORP                  COM     125509109  1,498   14,000     SH       DEFINED      2       14,000
CINERGY CORP                COM     172474108  3,814   85,100     SH       DEFINED      2       85,100
CISCO SYSTEMS INC           COM     17275R102  1,147   60,000     SH       DEFINED      2       60,000
CIT GROUP INC               COM     125581108  2,049   47,675     SH       DEFINED      2       47,675
CITIGROUP INC               COM     172967101  7,819   169,125    SH       DEFINED      2      169,125
CNA SURETY CORPORATION      COM     12612L108  407,263 27,425,147 SH       DEFINED    1,2,4 27,425,147
COACH INC                   COM     189754104  1,175   35,000     SH       DEFINED      2       35,000
COCA COLA CO                COM     191216100  347     8,300      SH       DEFINED      2        8,300
COMCAST CORP CL A SPL       CL A    20030N200  5,691   190,000    SH       DEFINED      2      190,000
COMCAST CORP-CL A           CLA     20030N101  3,877   126,400    SH       DEFINED      2      126,400
COMMSCOPE INC               COM     203372107  781     44,850     SH       DEFINED      2       44,850
COMPUTER ASSOCIATES INTL INCCOM     204912109  2,083   75,802     SH       DEFINED      2       75,802
</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
CORINTHIAN COLLEGES INC     COM     218868107  192     15,000     SH       DEFINED      2       15,000
CVS CORP                    COM     126650100  1,186   40,800     SH       DEFINED      2       40,800
DANAHER CORP                COM     235851102  890     17,000     SH       DEFINED      2       17,000
DEL MONTE FOODS CO          COM     24522P103  975     90,500     SH       DEFINED      2       90,500
DELL COMPUTER CORP          COM     24702R101  1,185   30,000     SH       DEFINED      2       30,000
DELPHI FINANCIAL GROUP-CL A CLA     247131105  1,160   26,275     SH       DEFINED      2       26,275
DEX MEDIA INC               COM     25212E100  1,607   65,850     SH       DEFINED      2       65,850
DIAGEO PLC-SPONSORED ADR    ADR     25243Q205  2,099   35,400     SH       DEFINED      2       35,400
DISNEY (WALT) CO            NOTE    254687AU0  33,353  32,500,000 PRN      DEFINED    2,3,4  1,103,190
DOMINION RESOURCES INC      NOTE    25746UAT6  16,504  15,625,000 PRN      DEFINED    2,3,4    212,289
DOUBLECLICK INC             NOTE    258609AE6  4,998   5,100,000  PRN      DEFINED    2,3,4    388,779
DPL INC                     COM     233293109  2,166   78,900     SH       DEFINED      2       78,900
DST SYSTEMS INC             DBCV    233326AD9  2,455   2,250,000  PRN      DEFINED     2,3      45,840
DUKE ENERGY CORP            NOTE    264399EJ1  3,138   2,500,000  PRN      DEFINED    2,3,4    105,977
DYCOM INDUSTRIES INC        COM     267475101  5,820   293,800    SH       DEFINED     2,4     293,800
ECC CAPITAL CORP            COM     26826M108  2,321   348,500    SH       DEFINED     2,4     348,500
ELECTRONCIS FOR IMAGING     DBCV    286082AA0  1,426   1,450,000  PRN      DEFINED     2,3      54,884
ELECTRONIC DATA SYSTEMS     NOTE    285661AF1  24,225  25,500,000 PRN      DEFINED    2,3,4    746,926
</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
EMC CORP MASS SR NT         NOTE    268648AG7  3,165   3,000,000  PRN      DEFINED     2,3     217,391
EMPRESA BRASILIERA DE AE-ADRADR PFD 29081M102  1,984   60,000     SH       DEFINED      2       60,000
ENTERGY CORP                COM     29364G103  914     12,100     SH       DEFINED      2       12,100
EXELON CORP                 COM     30161N101  3,937   76,700     SH       DEFINED      2       76,700
EXXON MOBIL CORP            COM     30231G102  1,782   31,000     SH       DEFINED      2       31,000
FAIRCHILD SEMICON INTERNATIOCOM     303726103  148     10,000     SH       DEFINED     2,4      10,000
FEDERAL HM LOAN MORTGAGE CORCOM     313400301  5,523   84,675     SH       DEFINED      2       84,675
FEDERAL NATL MTGE ASSN.     COM     313586109  2,632   45,075     SH       DEFINED      2       45,075
FIRST AMERICAN CORPORATION  COM     318522307  2,655   66,150     SH       DEFINED      2       66,150
FIRST CITIZENS BCSHS  -CL A CL A    31946M103  275     1,900      SH       DEFINED      2        1,900
FLIR SYSTEMS INC            NOTE    302445AB7  1,294   870,000    PRN      DEFINED     2,3      19,602
FMC CORP (NEW)              COM     302491303  1,826   32,525     SH       DEFINED      2       32,525
GENERAL CABLE CORP          COM     369300108  711     47,925     SH       DEFINED      2       47,925
GENERAL ELECTRIC CO         COM     369604103  4,539   131,000    SH       DEFINED      2      131,000
GENERAL MOTORS              SR CONVA370442741  18,240  750,000    PRN      DEFINED    2,3,4    750,000
GENZYME CORP                NOTE    372917AN4  1,919   1,850,000  PRN      DEFINED     2,3      25,968
GILEAD SCIENCES INC         COM     375558103  242     5,500      SH       DEFINED      2        5,500
GLENBOROUGH REALTY TRUST INCCOM     37803P105  590     28,675     SH       DEFINED      2       28,675
GOOGLE INC-CL A             CL A    38259P508  1,471   5,000      SH       DEFINED      2        5,000
</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
GUITAR CENTER MG            NOTE    402040AC3  2,245   1,300,000  PRN      DEFINED     2,3      37,594
HALLIBURTON COMPANY         COM     406216101  287     6,000      SH       DEFINED      2        6,000
HANGER ORTHOPEDIC GROUP INC COM     41043F208  278     55,075     SH       DEFINED      2       55,075
HEALTH NET INC              COM     42222G108  2,290   60,000     SH       DEFINED      2       60,000
HERCULES INC                COM     427056106  1,486   105,000    SH       DEFINED     2,4     105,000
HEWLETT-PACKARD CO.         COM     428236103  2,357   100,250    SH       DEFINED      2      100,250
HILTON HOTELS CORP          NOTE    432848AZ2  1,083   900,000    PRN      DEFINED     2,3      40,000
HORACE MANN EDUCATORS       COM     440327104  958     50,900     SH       DEFINED      2       50,900
HUB GROUP INC-CL A          CL A    443320106  138     5,500      SH       DEFINED      2        5,500
HUMAN GENOME SCIENCES       NOTE    444903AF5  386     400,000    PRN      DEFINED     2,3       7,111
HUTCHINSON TECH             NOTE    448407AE6  1,386   1,000,000  PRN      DEFINED     2,3      33,512
IDACORP INC                 COM     451107106  701     22,875     SH       DEFINED      2       22,875
IKON MBIA INC.              COM     55262C100  2,966   50,000     SH       DEFINED      2       50,000
INCO LTD                    DBCV    453258AT2  3,964   3,152,000  PRN      DEFINED      2      100,660
INTEGRA LIFESCIENCES HLD    NOTE    457985AB5  660     635,000    PRN      DEFINED     2,3      18,596
INTEL CORP                  COM     458140100  1,303   50,000     SH       DEFINED      2       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

INTERNATIONAL BUSINESS MACHICOM     459200101  7,791   105,000    SH       DEFINED      2      105,000
INTERPUBLIC GROUP COS       NOTE    460690AT7  3,124   2,570,000  PRN      DEFINED     2,3     206,924
INTL RECTIFIER              NOTE    460254AE5  44,224  44,897,000 PRN      DEFINED    2,3,4    607,250
INVITROGEN INC              NOTE    46185RAJ9  2,363   1,800,000  PRN      DEFINED     2,3      26,378
IPC HOLDINGS LTD            ORD     G4933P101  3,256   82,175     SH       DEFINED      2       82,175
ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848  32,955  3,250,000  SH       DEFINED      2    3,250,000
JANUS CAPITAL GROUP INC.    COM     47102X105  1,417   94,200     SH       DEFINED      2       94,200
JOHNSON & JOHNSON           COM     478160104  1,300   20,000     SH       DEFINED      2       20,000
JPMORGAN CHASE & COMPANY    COM     46625H100  1,762   49,900     SH       DEFINED      2       49,900
KAYDON CORP                 NOTE    486587AB4  700     650,000    PRN      DEFINED     2,3      22,291
KELLWOOD CO                 COM     488044108  616     22,900     SH       DEFINED      2       22,900
KELLY SERVICES INC -CL A    CL A    488152208  649     22,675     SH       DEFINED      2       22,675
KENNAMETAL INC              COM     489170100  860     18,750     SH       DEFINED      2       18,750
KIMBERLY CLARK              COM     494368103  1,252   20,000     SH       DEFINED      2       20,000
L-3 COMMUNICATIONS CORP     COM     502424104  230     3,000      SH       DEFINED      2        3,000
LEAR SEATING CORP           COM     521865105  3,415   93,875     SH       DEFINED      2       93,875
LEHMAN_BROTHERS_HOLDING INC COM     524908100  1,886   19,000     SH       DEFINED      2       19,000
LENNOX INTERNATL            NOTE    526107AB3  1,014   815,000    PRN      DEFINED     2,3      45,059
LIBBEY INC                  COM     529898108  299     18,900     SH       DEFINED      2       18,900
</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
LIBERTY MEDIA               COMSERA 530718105  4,208   413,000    SH       DEFINED      2      413,000
LINCARE HOLDINGS            DBCV    532791AB6  1,348   1,340,000  PRN      DEFINED     2,3      25,127
LINCOLN NATIONAL CORP INDIANCOM     534187109  4,692   100,000    SH       DEFINED      2      100,000
LOWES COMPANIES             NOTE    548661CG0  4,027   3,900,000  PRN      DEFINED     2,3      67,127
MARRIOTT INTERNATIONAL- CL ACLA     571903202  1,535   22,500     SH       DEFINED      2       22,500
MARSH & MCLENNAN COS INC    COM     571748102  416     15,000     SH       DEFINED      2       15,000
MASSEY ENERGY CO            NOTE    576203AB9  621     300,000    PRN      DEFINED     2,3      15,472
MATERIALS SELECT SECTOR SPDRSPDR    81369Y100  2,443   90,000     SH       DEFINED      2       90,000
MAYTAG CORP.                COM     578592107  502     32,050     SH       DEFINED      2       32,050
MCI INC                     COM     552691107  2,885   112,200    SH       DEFINED      2      112,200
MCKESSON HBOC INC           COM     58155Q103  2,136   47,700     SH       DEFINED      2       47,700
MEDIACOM COMMUNICATIONS CORPCL A    58446K105  1,374   200,000    SH       DEFINED      2      200,000
MEDICIS PHARMACE            NOTE    58470KAA2  1,759   1,500,000  PRN      DEFINED     2,3      25,818
MEDTRONIC INC               COM     585055106  1,295   25,000     SH       DEFINED      2       25,000
MEDTRONIC INC               DBCV    585055AD8  4,956   5,000,000  PRN      DEFINED    2,3,4     80,898
MERRILL LYNCH & CO          NOTE    590188W46  4,988   5,000,000  PRN      DEFINED     2,3      69,107
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
MERRILL LYNCH & CO INC      COM     590188108  1,018   18,500     SH       DEFINED      2       18,500
METLIFE INC                 COM     59156R108  3,213   71,500     SH       DEFINED      2       71,500
MGI PHARMA INC              NOTE    552880AB2  624     915,000    PRN      DEFINED     2,3      21,744
MICROSOFT CORP              COM     594918104  4,776   192,275    SH       DEFINED      2      192,275
MILACRON INC                COM     598709103  172     91,150     SH       DEFINED      2       91,150
MONEYGRAM INTERNATIONAL-W/I COM     60935Y109  1,658   86,700     SH       DEFINED      2       86,700
MORGAN ST DEAN WITTER DISCOVCOM     617446448  1,865   35,550     SH       DEFINED      2       35,550
MORGAN STANLEY ASIA-PACIF FDCOM     61744U106  87      6,600      SH       DEFINED      2        6,600
NACCO INDS INC CL A         CL A    629579103  665     6,200      SH       DEFINED      2        6,200
NBTY INC                    COM     628782104  371     14,300     SH       DEFINED      2       14,300
NCI BUILDING SYSTEMS INC    COM     628852105  700     21,350     SH       DEFINED      2       21,350
NEUBERGER BERMAN REALTY INC COM     64126G109  752     40,000     SH       DEFINED      2       40,000
NEWS AMER INC               NOTE    652482AZ3  30,203  52,300,000 PRN      DEFINED    2,3,4  1,270,712
NEWS CORP LTD -SPONS ADR PRFCL A    65248E104  7,733   477,936    SH       DEFINED      2      477,936
NISOURCE INC                COM     65473P105  3,240   131,000    SH       DEFINED      2      131,000
NORTEL NETWORKS             NOTE    656568AB8  8,393   9,000,000  PRN      DEFINED     2,4     900,000
NORTHERN TRUST CORP         COM     665859104  1,641   36,000     SH       DEFINED      2       36,000
</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
NOVOGEN LIMITED-SPONS ADR   ADR     67010F103  360     19,950     SH       DEFINED      2       19,950
OAK INDUSTRIES              NOTE    671400AL3  19,209  17,952,000 PRN      DEFINED    2,3,4  1,156,699
OLD REPUBLIC INTL CORP      COM     680223104  1,374   54,338     SH       DEFINED      2       54,338
OMNICOM GROUP               COM     681919106  1,437   18,000     SH       DEFINED      2       18,000
OMNICOM GROUP               NOTE    681919AM8  3,096   3,100,000  PRN      DEFINED     2,3      28,179
ON SEMICONDUCTOR CORPORATIONCOM     682189105  198     43,100     SH       DEFINED     2,4      43,100
P G 7 E CORPORATION         COM     69331C108  3,506   93,400     SH       DEFINED      2       93,400
PEPSICO INCORPORATED        COM     713448108  1,726   32,000     SH       DEFINED      2       32,000
PETRO-CANADA                COM     71644E102  1,954   30,000     SH       DEFINED      2       30,000
PETROLEO BRASILEIRO S.A.-ADRADR     71654V101  2,762   60,000     SH       DEFINED      2       60,000
PFIZER INC                  COM     717081103  1,280   46,400     SH       DEFINED      2       46,400
PHARMACEUTICAL HOLDRS TRUST  DEPOSIT71712A206  10,998  150,000    SH       DEFINED      2      150,000
PHH CORP                    COM     693320202  777     30,225     SH       DEFINED      2       30,225
PHILIPS ELECTRONICS-NY SHR  NY REG S500472303  2,501   99,300     SH       DEFINED      2       99,300
PHOTRONICS INC              NOTE    719405AE2  85      55,000     PRN      DEFINED     2,3       3,461
PIONEER NATURAL RESOURCES COCOM     723787107  4,503   107,000    SH       DEFINED      2      107,000
PLACER DOME INC             COM     725906101  1,014   65,900     SH       DEFINED      2       65,900
PMI GROUP INC               COM     69344M101  1,559   40,000     SH       DEFINED      2       40,000
PRAXAIR INC                 COM     74005P104  1,398   30,000     SH       DEFINED      2       30,000
</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
PREMIUM STANDARD FARMS INC  COM     74060C105  8,543   637,529    SH       DEFINED     2,3     637,529
PRIDE INTERNATIONAL INC     NOTE    74153QAD4  2,093   1,750,000  PRN      DEFINED     2,3      68,083
PRIORITY HEALTHCARE CORP-B  CL B    74264T102  1,201   47,375     SH       DEFINED      2       47,375
PROCTER & GAMBLE CO         COM     742718109  222     4,200      SH       DEFINED      2        4,200
PUBLIC SERVICE CO OF N MEX  COM     69349H107  39,979  1,387,681  SH       DEFINED     2,4   1,387,681
PULTE CORP                  COM     745867101  11,795  140,000    SH       DEFINED      2      140,000
R.H. DONNELLEY CORP         COM     74955W307  338     5,450      SH       DEFINED      2        5,450
RENAISSANCERE HOLDINGS LTD  COM     G7496G103  1,389   28,200     SH       DEFINED      2       28,200
RENT-A-CENTER INC           COM     76009N100  1,840   79,025     SH       DEFINED      2       79,025
RESMED INC                  NOTE    761152AB3  1,655   1,450,000  PRN      DEFINED     2,3      23,927
RHODIA SA-SPONSORED ADR     ADR     762397107  543     305,200    SH       DEFINED     2,4     305,200
ROBBINS & MYERS INC         COM     770196103  285     13,250     SH       DEFINED      2       13,250
SANMINA CORP                SDCV    800907AD9  598     1,098,000  PRN      DEFINED     2,3       7,118
SAPPI LTD- SPONSORED ADR    ADR NEW 803069202  1,573   145,400    SH       DEFINED      2      145,400
SARA LEE CORP               COM     803111103  1,695   85,550     SH       DEFINED      2       85,550
SCANA CORP                  COM     80589M102  2,161   50,600     SH       DEFINED      2       50,600
SCHLUMBERGER LIMITED        COM     806857108  2,506   33,000     SH       DEFINED      2       33,000
SCHLUMBERGER LIMITED        DBCV    806857AC2  9,754   8,500,000  PRN      DEFINED    2,3,4    117,517
</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
SCHWEITZER-MAUDUIT INTL INC COM     808541106  406     13,050     SH       DEFINED      2       13,050
SCRIPPS CO (E.W.)-CL A      CL A    811054204  976     20,000     SH       DEFINED      2       20,000
SENOMYX INC                 COM     81724Q107  677     41,000     SH       DEFINED      2       41,000
SLM CORP                    DBCV    78442PAC0  506     500,000    PRN      DEFINED     2,3       7,579
SOLECTRON CORP              NOTE    834182AT4  866     1,160,000  PRN      DEFINED     2,3     119,998
SPHERION CORPORATION        COM     848420105  970     147,000    SH       DEFINED      2      147,000
SPRINT CORP                 COM     852061100  3,764   150,000    SH       DEFINED      2      150,000
ST JUDE MEDICAL INC         COM     790849103  872     20,000     SH       DEFINED      2       20,000
STREETTRACKS GOLD TRUST     GOLD SHS863307104  19,548  450,000    SH       DEFINED      2      450,000
SUN HEALTHCARE GROUP INC-W/ICOM     866933401  16      2,480      SH       DEFINED     2,4       2,480
SYMANTEC CORP               COM     871503108  1,087   50,000     SH       DEFINED      2       50,000
TANDY CORP                  COM     750438103  1,117   48,225     SH       DEFINED      2       48,225
TARGET CORP                 COM     87612E106  2,176   40,000     SH       DEFINED      2       40,000
TEEKAY SHIPPING CORP        COM     Y8564W103  4,829   110,000    SH       DEFINED      2      110,000
TEVA PHARMACEUT FIN BV      DBCV    88164RAA5  2,778   2,835,000  PRN      DEFINED     2,4      74,801
TEXTRON INC                 COM     883203101  1,380   18,200     SH       DEFINED      2       18,200
TIME WARNER INC             COM     887317105  2,938   175,800    SH       DEFINED      2      175,800
</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
TJX COS INC                 NOTE    872540AL3  5,610   6,800,000  PRN      DEFINED    2,3,4    222,136
TJX COS. INC.    NEW        COM     872540109  2,153   88,425     SH       DEFINED      2       88,425
TOMMY HILFIGER CORP         ORD     G8915Z102  351     25,475     SH       DEFINED      2       25,475
TORCHMARK CORP              COM     891027104  2,024   38,775     SH       DEFINED      2       38,775
TRIARC COS-B                CLB SER1895927309  516     34,700     SH       DEFINED      2       34,700
TRINITY INDUSTRIES          COM     896522109  754     23,525     SH       DEFINED      2       23,525
TSAKOS ENERGY NAVIGATION LTDSHS     G9108L108  775     20,000     SH       DEFINED      2       20,000
TYCO INTERNATIONAL LTD      COM     902124106  1,329   45,500     SH       DEFINED      2       45,500
TYCO INTL GROUP SA          DBCV    902118BF4  18,060  14,000,000 PRN      DEFINED    2,3,4    614,488
UNION PACIFIC               COM     907818108  2,078   32,075     SH       DEFINED      2       32,075
UNITED NATIONAL GROUP LTD-A COM     90933T109  502     29,200     SH       DEFINED      2       29,200
UNITED PARCEL SERVICE -CL B CL B    911312106  242     3,500      SH       DEFINED      2        3,500
UNITED STATIONERS INC       COM     913004107  739     15,050     SH       DEFINED      2       15,050
UNITEDHEALTH GROUP INC      COM     91324P102  1,356   26,000     SH       DEFINED      2       26,000
UNIVERSAL CORP-VA           COM     913456109  618     14,125     SH       DEFINED      2       14,125
UNOCAL CORP                 COM     915289102  3,597   55,300     SH       DEFINED      2       55,300
USI HOLDINGS CORP           COM     90333H101  731     56,725     SH       DEFINED      2       56,725
VALASSIS COMMUNICATIONS INC COM     918866104  634     17,100     SH       DEFINED      2       17,100
VALERO ENERGY CORP          COM     91913Y100  8,702   110,000    SH       DEFINED      2      110,000
</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
VENTAS INC                  COM     92276F100  15,849  524,806    SH       DEFINED     2,4     524,806
VERZION COMMUNICATIONS INC  COM     92343V104  912     26,400     SH       DEFINED      2       26,400
VIAD CORP                   COM     92552R406  1,590   56,100     SH       DEFINED      2       56,100
VINTAGE PETROLEUM INC       COM     927460105  3,809   125,000    SH       DEFINED      2      125,000
WACHOVIA CORP               COM     929903102  1,910   38,500     SH       DEFINED      2       38,500
WASHINGTON MUTUAL INC       COM     939322103  1,346   33,075     SH       DEFINED      2       33,075
WEYERHAEUSER COMPANY        COM     962166104  3,876   60,900     SH       DEFINED      2       60,900
WHIRLPOOL CORPORATION       COM     963320106  3,085   44,000     SH       DEFINED      2       44,000
WILLIAMS COS INC            COM     969457100  3,217   169,300    SH       DEFINED      2      169,300
WISCONSIN ENERGY CORP       COM     976657106  2,901   74,375     SH       DEFINED      2       74,375
WRIGLEY WM JR CO            COM     982526105  207     3,000      SH       DEFINED      2        3,000
WYETH                       COM     983024100  1,064   23,900     SH       DEFINED      2       23,900
XCEL ENERGY INC             COM     98389B100  1,702   87,200     SH       DEFINED      2       87,200
XL CAPITAL LTD-CLASS A      CL A    G98255105  1,905   25,600     SH       DEFINED      2       25,600
YELLOW ROADWAY CORP         NOTE    985577AA3  1,900   1,210,000  PRN      DEFINED     2,3      30,836
YORK INTERNATIONAL CORP     COM     986670107  636     16,725     SH       DEFINED      2       16,725

</Table>