FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: September 30, 2003

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:
November 14,2003
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: 234

Form 13F Information Table Value Total: 1,211,611 (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
ACCENTURE LTD               CLA     G1150G111  1,133   50,700     SH       DEFINED       2      50,700
ACUITY BRANDS INC           COM     00508Y102  487     26,950     SH       DEFINED       2      26,950
ACXIOM CORP                 NOTE    005125AB5  3,488   3,200,000  PRN      DEFINED      2,3    175,322
AETNA INC                   COM     00817Y108  885     14,500     SH       DEFINED       2      14,500
AFFIL COMPUTER              NOTE    008190AF7  2,880   2,400,000  PRN      DEFINED      2,3     55,256
AFTERMARKET TECHNOLOGY      COM     008318107  213     18,650     SH       DEFINED       2      18,650
ALCON INC                   COMSHS  H01301102  4,380   78,000     SH       DEFINED      2,3     78,000
ALLSTATE CORPORATION        COM     020002101  1,118   30,600     SH       DEFINED       2      30,600
AMBAC FINANCIAL GROUP INC   COM     023139108  4,480   70,000     SH       DEFINED      2,4     70,000
AMERADA HESS                COM     023551104  2,255   45,000     SH       DEFINED      2,4     45,000
AMERICA ONLINE              NOTE    02364JAC8  1,922   3,100,000  PRN      DEFINED     2,3,4    18,085
AMERICAN EXPRESS            COM     025816109  2,929   65,000     SH       DEFINED      2,3     65,000
AMERICAN FINANCIAL REALTY   COM     02607P305  5,640   400,000    SH       DEFINED      2,4    400,000
AMERICAN GREETING           NOTE    026375AJ4  2,293   1,430,000  PRN      DEFINED      2,3    102,884
AMERICAN INTL GROUP INC     COM     026874107  2,423   42,000     SH       DEFINED      2,3     42,000
AMERICAN NATIONAL INSURANCE COM     028591105  459     5,400      SH       DEFINED       2       5,400
AMERICAN PHYSICIANS CAP     COM     028884104  780     28,200     SH       DEFINED       2      28,200
AMERISOURCE HEAL            NOTE    03071PAD4  3,018   2,560,000  PRN      DEFINED      2,3     48,330
</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  1,937   30,000     SH       DEFINED      2,3     30,000
ANADARKO PETROLEUM CORP     COM     032511107  6,682   160,000    SH       DEFINED      2,4    160,000
ANHEUSER BUSCH CO           COM     035229103  1,974   40,000     SH       DEFINED      2,3     40,000
ANIXTER INTERNATIONAL INC   COM     035290105  593     26,025     SH       DEFINED       2      26,025
AON CORP                    COM     037389103  6,620   317,500    SH       DEFINED      2,4    317,500
APACHE CORP                 COM     037411105  1,857   26,775     SH       DEFINED      2,3     26,775
APPLIED MATERIALS INC.      COM     038222105  1,361   75,000     SH       DEFINED      2,3     75,000
ARTESYN TECHNOLOGIES INC    COM     043127109  217     28,575     SH       DEFINED       2      28,575
ARVINMERITOR INC            COM     043353101  308     17,300     SH       DEFINED       2      17,300
ASHLAND INC                 COM     044204105  1,592   48,450     SH       DEFINED       2      48,450
AVAYA INC                   NOTE    053499AA7  2,800   5,000,000  PRN      DEFINED     2,3,4   187,219
BANK OF AMERICA CORP        COM     060505104  2,731   35,000     SH       DEFINED      2,3     35,000
BANK OF NEW YORK            COM     064057102  1,196   41,100     SH       DEFINED       2      41,100
BARRICK GOLD CORP           COM     067901108  1,231   65,400     SH       DEFINED       2      65,400
BEA SYSTEMS INC             NOTE    073325AD4  15,153  15,500,000 PRN      DEFINED      2,4    447,330
BELLSOUTH CORP              COM     079860102  346     14,600     SH       DEFINED       2      14,600
BOEING COMPANY              COM     097023105  1,953   56,900     SH       DEFINED       2      56,900
BOSTON PROPERTIES INC       COM     101121101  1,304   30,000     SH       DEFINED      2,4     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
BOWNE & CO INC              COM     103043105  660     44,175     SH       DEFINED       2      44,175
BP PLC                      ADR     055622104  1,217   28,900     SH       DEFINED       2      28,900
BRISTOL-MYERS SQUIBB CO     COM     110122108  1,302   50,725     SH       DEFINED       2      50,725
CABLEVISION SYSTEMS         CLA     12686C109  1,640   90,600     SH       DEFINED       2      90,600
CAVCO INDUSTRIES INC        COM     149568107  59      2,750      SH       DEFINED      2,4      2,750
CELESTICA INC               NOTE    15101QAA6  38,803  73,910,000 PRN      DEFINED     2,3,4   419,424
CENDANT CORP                DBCV    151313AN3  33,642  32,000,000 PRN      DEFINED      2,4  1,330,560
CENTEX CORP                 COM     152312104  4,283   55,000     SH       DEFINED      2,4     55,000
CEPHALON INC                NOTE    156708AE9  2,831   3,000,000  PRN      DEFINED      2,3     37,037
CHARLES RIVER               DBCV    159863AL3  1,475   1,450,000  PRN      DEFINED      2,3     37,304
CHEVRON TEXACO CORP         COM     166764100  4,644   65,000     SH       DEFINED     2,3,4    65,000
CHIRON CORP                 NOTE    170040AE9  20,321  34,500,000 PRN      DEFINED     2,3,4   247,065
CIGNA CORP                  COM     125509109  2,688   60,200     SH       DEFINED       2      60,200
CISCO SYSTEMS INC           COM     17275R102  4,494   230,000    SH       DEFINED      2,3    230,000
CITIGROUP INC               COM     125581108  1,371   47,675     SH       DEFINED       2      47,675
CITIGROUP INC               COM     172967101  18,149  398,800    SH       DEFINED     2,3,4   398,800
CLEAR CHANNEL COMM          COM     184502102  1,915   50,000     SH       DEFINED      2,3     50,000
CLEVELAND-CLIFFS INC        COM     185896107  433     16,925     SH       DEFINED       2      16,925
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                               Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other    ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs     Sole   Shared None
CNA SURETY CORPORATION      COM     12612L108  275,623 27,425,147 SH       DEFINED     1,2,4  27,425,14
CNF INC                     COM     12612W104  1,461   45,575     SH       DEFINED       2      45,575
COMMSCOPE INC               COM     203372107  479     39,750     SH       DEFINED       2      39,750
COMPUTER ASSOCIATES INTL    COM     204912109  1,259   48,225     SH       DEFINED       2      48,225
CONAGRA INC                 COM     205887102  1,062   50,000     SH       DEFINED       2      50,000
COOPER INDUSTRIES INC       CLA     G24182100  3,507   73,025     SH       DEFINED       2      73,025
COSTCO WHOLESALE CORP       COM     22160K105  2,176   70,000     SH       DEFINED      2,3     70,000
CYTEC INDUSTRIES INC        COM     232820100  1,179   32,300     SH       DEFINED       2      32,300
D.R. HORTON INC             COM     23331A109  13,080  400,000    SH       DEFINED      2,4    400,000
DADE BEHRING HOLDINGS INC   COM     23342J206  1,384   49,000     SH       DEFINED      2,4     49,000
DEL MONTE FOODS CO          COM     24522P103  567     65,125     SH       DEFINED       2      65,125
DELL COMPUTER CORP          COM     24702R101  3,339   100,000    SH       DEFINED       2     100,000
DELPHI FINANCIAL GROUP      CLA     247131105  2,103   45,200     SH       DEFINED       2      45,200
DILLARDS INC                CLA     254067101  552     39,450     SH       DEFINED       2      39,450
DISNEY (WALT) CO            NOTE    254687AU0  17,468  17,000,000 PRN      DEFINED     2,3,4   577,053
DU PONT DE NEMOURS E.I.     COM     263534109  1,800   45,000     SH       DEFINED      2,3     45,000
DUKE ENERGY CORP            NOTE    264399EJ1  4,010   4,000,000  PRN      DEFINED     2,3,4   169,563
DUKE POWER CO.              COM     264399106  1,215   68,200     SH       DEFINED       2      68,200
</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
E*TRADE GROUP               NOTE    269246AB0  6,338   6,500,000  PRN      DEFINED      2,4    275,424
ECOLAB INC                  COM     278865100  2,020   80,000     SH       DEFINED      2,3     80,000
EDO CORP                    NOTE    281347AD6  519     500,000    PRN      DEFINED      2,3     15,995
EL PASO CORP                COM     28336L109  818     112,100    SH       DEFINED       2     112,100
ELDERTRUST                 COMBENIN 284560109  2,051   208,200    SH       DEFINED      2,4    208,200
ENTERGY CORP                COM     29364G103  1,652   30,500     SH       DEFINED       2      30,500
ESTERLINE TECHNOLOGIES      COM     297425100  527     27,300     SH       DEFINED       2      27,300
FIRST CITIZENS BCSHS        CLA     31946M103  201     1,900      SH       DEFINED       2       1,900
FIRST DATA CORP             COM     319963104  280     7,000      SH       DEFINED       2       7,000
FLEET BOSTON FINANCIAL      COM     339030108  761     25,250     SH       DEFINED       2      25,250
FMC CORP                    COM     302491303  1,388   55,075     SH       DEFINED       2      55,075
FMC TECHNOLOGIES INC        COM     30249U101  1,208   56,396     SH       DEFINED       2      56,396
FOOTSTAR INC                COM     344912100  337     49,825     SH       DEFINED       2      49,825
FPL GROUP                   COM     302571104  2,092   33,100     SH       DEFINED       2      33,100
FREDDIE MAC                 COM     313400301  4,518   86,300     SH       DEFINED      2,3     86,300
GABLES RESIDENTIAL TRUST    SHBEN   362418105  238     7,350      SH       DEFINED       2       7,350
GAP INC                     NOTE    364760AJ7  2,756   2,200,000  PRN      DEFINED      2,3    136,477
GENERAL CABLE CORP          COM     369300108  689     86,525     SH       DEFINED       2      86,525
</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
GENERAL ELECTRIC CO         COM     369604103  5,470   183,500    SH       DEFINED      2,3    183,500
GENERAL MOTORS              SRCONV  370442741  19,656  800,000    SH       DEFINED     2,3,4   800,000
GENERAL MOTORS CORP         CL H    370442832  1,431   100,000    SH       DEFINED       2     100,000
GEORGIA-PACIFIC CORP        COM     373298108  927     38,225     SH       DEFINED       2      38,225
GILEAD SCIENCES             NOTE    375558AD5  1,315   1,000,000  PRN      DEFINED      2,3     21,277
GLIMCHER REALTY TRUST       SHBEN   379302102  541     25,675     SH       DEFINED       2      25,675
GUITAR CENTER MG            NOTE    402040AC3  749     650,000    PRN      DEFINED      2,3     18,797
HEALTH CARE PPTYS INVEST    COM     421915109  3,176   68,000     SH       DEFINED      2,4     68,000
HEALTH NET INC              COM     42222G108  785     24,775     SH       DEFINED       2      24,775
HEALTHCARE REALTY TRUST     COM     421946104  7,870   246,100    SH       DEFINED      2,4    246,100
HEARST-ARGYLE TELEVISION    COM     422317107  1,331   55,000     SH       DEFINED       2      55,000
HEWLETT-PACKARD CO.         COM     428236103  3,456   178,525    SH       DEFINED      2,3    178,525
HNC SOFTWARE                NOTE    40425PAC1  1,541   1,300,000  PRN      DEFINED      2,3     23,427
HOME DEPOT                  COM     437076102  1,911   60,000     SH       DEFINED      2,3     60,000
HUTCHINSON TECH             NOTE    448407AE6  1,308   1,000,000  PRN      DEFINED      2,3     33,512
IMC GLOBAL INC              COM     449669100  695     108,400    SH       DEFINED       2     108,400
INCO LTD                    NOTE    453258AM7  3,956   5,000,000  PRN      DEFINED      2,4    132,765
INFOCUS CORP                COM     45665B106  298     61,525     SH       DEFINED       2      61,525
</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
INTEL CORP                  COM     458140100  2,179   79,200     SH       DEFINED      2,3     79,200
INTERNATIONAL PAPER CO.     COM     460146103  1,951   50,000     SH       DEFINED      2,3     50,000
INTERPUBLIC GRP             NOTE    460690AJ9  11,570  13,000,000 PRN      DEFINED     2,3,4   229,008
INTERSTATE BAKERIES         COM     46072H108  551     36,700     SH       DEFINED       2      36,700
INTL BUSINESS MACHINE       COM     459200101  10,600  120,000    SH       DEFINED      2,4    120,000
IPC HOLDINGS LTD            ORD     G4933P101  2,340   66,775     SH       DEFINED       2      66,775
ISHARES MSCI HONG KONG      MSCIHK  464286871  12,311  1,300,000  SH       DEFINED       2   1,300,000
ISHARES MSCI SINGAPORE     MSCISING 464286673  5,685   1,017,000  SH       DEFINED       2   1,017,000
JOHNSON & JOHNSON           COM     478160104  2,476   50,000     SH       DEFINED      2,3     50,000
JUNIPER NETWORKS            NOTE    48203RAA2  15,600  16,000,000 PRN      DEFINED     2,3,4    97,584
KENNAMETAL INC              COM     489170100  374     10,000     SH       DEFINED       2      10,000
KERR MC GEE CORP            COM     492386107  4,018   90,000     SH       DEFINED      2,4     90,000
L-3 COMMUNICATIONS CORP     COM     502424104  216     5,000      SH       DEFINED       2       5,000
LEAR SEATING CORP           COM     521865105  1,444   27,425     SH       DEFINED       2      27,425
LEHMAN BROS HLDG            FRNT    524908EC0  2,500   2,500,000  PRN      DEFINED      2,4     26,016
LEHMAN BROTHERS HOLDING     COM     524908100  1,382   20,000     SH       DEFINED      2,3     20,000
LENNOX INTERNATIONAL INC    NOTE    526107AB3  461     400,000    PRN      DEFINED      2,3     22,115
LIBERTY MEDIA               COM     530718105  7,840   786,400    SH       DEFINED      2,4    786,400
</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
LINCOLN NATIONAL CORP IN    COM     534187109  3,538   100,000    SH       DEFINED      2,4    100,000
LOCKHEED MARTIN CORP        COM     539830109  3,277   71,000     SH       DEFINED      2,3     71,000
LOWES COMPANIES             NOTE    548661CG0  20,826  20,000,000 PRN      DEFINED     2,3,4   344,240
LUBRIZOL CORP               COM     549271104  629     19,375     SH       DEFINED       2      19,375
MBIA INC.                   COM     55262C100  827     15,050     SH       DEFINED       2      15,050
MEDIACOM COMMUNICATIONS     CLA     58446K105  1,342   200,000    SH       DEFINED       2     200,000
MEDICIS PHARMACEUTICAL      NOTE    58470KAA2  2,594   2,200,000  PRN      DEFINED      2,3     37,866
MEDTRONIC INC               COM     585055106  3,097   66,000     SH       DEFINED      2,3     66,000
MERRILL LYNCH               FRNT    590188A73  37,252  36,500,000 PRN      DEFINED     2,3,4   504,477
MERRILL LYNCH & CO INC      COM     590188108  1,606   30,000     SH       DEFINED      2,3     30,000
METAL MANAGEMENT INC        COM     591097209  4,062   208,300    SH       DEFINED      2,4    208,300
METLIFE INC                 COM     59156R108  4,067   145,000    SH       DEFINED      2,4    145,000
MICROSOFT CORP              COM     594918104  4,249   152,900    SH       DEFINED      2,4    152,900
MILACRON INC                COM     598709103  144     62,775     SH       DEFINED       2      62,775
MONSANTO CO                 COM     61166W101  1,228   51,300     SH       DEFINED       2      51,300
MORGAN STANLEY ASIA-PACIFIC COM     61744U106  842     88,400     SH       DEFINED       2      88,400
MORGAN STANLEY INDIA INVT   COM     61745C105  812     53,300     SH       DEFINED       2      53,300
MOTOROLA INC                NOTE    620076AJ8  3,467   4,389,000  PRN      DEFINED     2,3,4   147,181
</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
NABORS INDS INC             DBCV    629568AF3  2,595   4,000,000  PRN      DEFINED      2,4     28,298
NACCO INDS INC              CLA     629579103  699     9,775      SH       DEFINED       2       9,775
NATIONWIDE FINANCIAL SERV   CLA     638612101  1,254   40,000     SH       DEFINED      2,4     40,000
NCI BUILDING SYSTEMS INC    COM     628852105  252     12,675     SH       DEFINED       2      12,675
NETWORK ASSOC               NOTE    64123LAB7  2,254   2,100,000  PRN      DEFINED      2,3    116,215
NEWHALL LAND & FARMING CO   DEPREC  651426108  956     24,200     SH       DEFINED       2      24,200
NEWS AMER INC               NOTE    652482AZ3  48,565  87,300,000 PRN      DEFINED     2,3,4 1,060,547
NEWS CORP LTD               ADRPRF  652487802  8,583   314,500    SH       DEFINED      2,4    314,500
NORTEL NETWORKS             NOTE    656568AB8  25,114  27,750,000 PRN      DEFINED      2,4  2,775,000
NORTHERN TRUST CORP         COM     665859104  1,525   36,000     SH       DEFINED       2      36,000
OAK INDUSTRIES              NOTE    671400AL3  4,032   4,250,000  PRN      DEFINED      2,4    273,840
OCULAR SCIENCES INC         COM     675744106  444     19,975     SH       DEFINED       2      19,975
OLD REPUBLIC INTL CORP      COM     680223104  5,845   176,650    SH       DEFINED      2,4    176,650
OMNICOM GROUP               NOTE    681919AK2  3,995   4,000,000  PRN      DEFINED      2,4     36,360
OMNICOM GROUP               NOTE    681919AM8  12,422  12,500,000 PRN      DEFINED     2,3,4   113,625
PATHMARK STORES INC         COM     70322A101  1,330   190,832    SH       DEFINED      2,4    190,832
PAYLESS SHOESOURCE INC      COM     704379106  962     74,325     SH       DEFINED       2      74,325
PENNEY (JC) CO              NOTE    708160BV7  1,272   1,250,000  PRN      DEFINED      2,3     43,860
</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
PEPCO HOLDINGS INC          COM     713291102  1,234   71,400     SH       DEFINED       2      71,400
PEPSICO INCORPORATED        COM     713448108  3,758   82,000     SH       DEFINED      2,3     82,000
PERFORMANCE FOOD            NOTE    713755AA4  1,993   1,500,000  PRN      DEFINED      2,3     45,524
PERFORMANCE FOOD GROUP      COM     858375108  154     28,550     SH       DEFINED       2      28,550
PFIZER INC                  COM     717081103  5,961   196,200    SH       DEFINED      2,3    196,200
PHILLIPS PETROLEUM CO       COM     20825C104  627     11,450     SH       DEFINED       2      11,450
PIONEER STD ELECTRS         DBCV    00846UAB7  28,563  28,000,000 PRN      DEFINED     2,3,4   869,025
PLACER DOME INC             COM     725906101  1,431   104,100    SH       DEFINED       2     104,100
PLUM CREEK TIMBER CO INC    COM     729251108  1,272   50,000     SH       DEFINED      2,4     50,000
PMI GROUP INC               COM     69344M101  338     10,000     SH       DEFINED       2      10,000
PPL CORPORATION             COM     69351T106  1,806   44,100     SH       DEFINED       2      44,100
PRIME HOSPITALITY CORP      COM     741917108  55      6,375      SH       DEFINED      2,4      6,375
PROVINCE HEALTHCARE         NOTE    743977AE0  4,569   5,000,000  PRN      DEFINED      2,4    180,486
PUBLIC SERVICE CO OF N MEX  COM     69349H107  528     18,825     SH       DEFINED       2      18,825
PULTE CORP                  COM     745867101  10,202  150,000    SH       DEFINED      2,4    150,000
R.H. DONNELLEY CORP         COM     74955W307  452     11,175     SH       DEFINED       2      11,175
RADIAN GROUP INC            COM     750236101  720     16,225     SH       DEFINED       2      16,225
REGENERON PHARM             NOTE    75886FAB3  667     687,000    PRN      DEFINED       2      22,710
</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
RELIANT RESOURCES INC       COM     75952B105  686     133,900    SH       DEFINED       2     133,900
RESMED INC                  NOTE    761152AB3  1,499   1,450,000  PRN      DEFINED      2,3     23,927
SANMINA CORP                SDCV    800907AD9  36,199  73,500,000 PRN      DEFINED     2,3,4   490,085
SCANA CORP                  COM     80589M102  822     24,000     SH       DEFINED       2      24,000
SCHERING PLOUGH             COM     806605101  798     52,375     SH       DEFINED       2      52,375
SCHLUMBERGER LIMITED        COM     806857108  2,836   58,600     SH       DEFINED      2,3     58,600
SCHOOL SPECIALTY            NOTE    807863AC9  1,459   1,375,000  PRN      DEFINED      2,3     42,582
SCRIPPS CO (E.W.)           CLA     811054204  2,979   35,000     SH       DEFINED      2,3     35,000
SERVICEMASTER COMPANY       COM     81760N109  510     49,750     SH       DEFINED       2      49,750
SIEBEL SYSTEMS              NOTE    826170AC6  26,040  25,440,000 PRN      DEFINED      2,4  1,091,081
SOLECTRON CORP              NOTE    834182AL1  23,199  40,700,000 PRN      DEFINED     2,3,4   479,698
SPANISH BROADCASTING SYS    CLA     846425882  5,929   698,400    SH       DEFINED      2,4    698,400
SPHERION CORPORATION        COM     848420105  718     103,225    SH       DEFINED       2     103,225
SPRINT CORP (PCS GROUP)     COM     852061506  8       1,428      SH       DEFINED      1,2      1,428
STAR GAS PARTNER            SUB     85512C204  599     29,229     SH       DEFINED      2,4     29,229
STMICROELECTRON             NOTE    861012AB8  15,998  18,000,000 PRN      DEFINED      2,4    473,256
SYMANTEC CORP               NOTE    871503AB4  4,542   2,400,000  PRN      DEFINED      2,3     70,299
TARGET CORP                 COM     87612E106  376     10,000     SH       DEFINED       2      10,000
TEJON RANCH                 COM     879080109  686     20,600     SH       DEFINED       2      20,600
</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
TELLABS INC                 COM     879664100  788     115,725    SH       DEFINED       2     115,725
TENET HEALTHCARE CORP       COM     88033G100  1,083   74,775     SH       DEFINED       2      74,775
TEXTRON INC                 COM     883203101  1,089   27,600     SH       DEFINED       2      27,600
TJX COS INC                 NOTE    872540AL3  5,320   6,800,000  PRN      DEFINED     2,3,4   222,136
TRAVELERS PROPERTY CASUALTY CLA     89420G109  1,218   76,684     SH       DEFINED      2,4     76,684
TRIARC COMPANIES            CLA     895927101  175     17,350     SH       DEFINED       2      17,350
TRIBUNE CO NEW              COM     896047107  2,295   50,000     SH       DEFINED      2,3     50,000
TRINITY INDUSTRIES          COM     896522109  455     17,600     SH       DEFINED       2      17,600
TRIQUINT SEMICON            NOTE    89674KAB9  2,588   3,000,000  PRN      DEFINED      2,4     44,248
TYCO INTERNATIONAL LTD      COM     902124106  342     16,750     SH       DEFINED       2      16,750
UNITED PARCEL SERVICE       CLB     911312106  4,370   68,500     SH       DEFINED      2,3     68,500
UNIVERSAL CORP-VA           COM     913456109  588     13,950     SH       DEFINED       2      13,950
UNIVERSAL HEALTH SERVICES   CLB     913903100  4,451   90,000     SH       DEFINED      2,4     90,000
UNOCAL CORP                 COM     915289102  3,351   106,300    SH       DEFINED       2     106,300
US CORPORATION              COM     91729Q101  637     20,175     SH       DEFINED       2      20,175
VALERO ENERGY CORP          COM     91913Y100  2,870   75,000     SH       DEFINED      2,4     75,000
VENTAS INC                  COM     92276F100  3,160   184,575    SH       DEFINED      2,4    184,575
</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
VERITAS SOFTWARE            COM     923436109  4,114   130,507    SH       DEFINED     2,3,4   130,507
VERZION COMMUNICATIONS      COM     92343V104  1,924   59,300     SH       DEFINED      2,3     59,300
VIAD CORP                   COM     92552R109  1,973   82,625     SH       DEFINED       2      82,625
VISHAY INTERTECH            NOTE    928298AD0  9,020   15,392,000 PRN      DEFINED     2,3,4   271,955
WAL MART STORES INC         COM     931142103  3,351   60,000     SH       DEFINED      2,3     60,000
WALGREEN CO                 COM     931422109  2,451   80,000     SH       DEFINED      2,3     80,000
WASHINGTON MUTUAL INC       COM     939322103  1,259   31,975     SH       DEFINED       2      31,975
WEATHERFORD INTL LTD        COM     G95089101  1,133   30,000     SH       DEFINED      2,3     30,000
WEBMD CORP                  NOTE    94769MAC9  2,063   1,800,000  PRN      DEFINED      2,3    194,322
WELLS FARGO COMPANY         COM     949746101  3,605   70,000     SH       DEFINED      2,3     70,000
WEYERHAEUSER COMPANY        COM     962166104  292     5,000      SH       DEFINED       2       5,000
WHIRLPOOL CORPORATION       COM     963320106  1,557   22,975     SH       DEFINED       2      22,975
WILLIAMS COS INC            COM     969457100  2,628   279,000    SH       DEFINED       2     279,000
WILSONS THE LEATHER EXPERTS COM     972463103  469     58,725     SH       DEFINED       2      58,725
WISCONSIN ENERGY CORP       COM     976657106  825     27,000     SH       DEFINED       2      27,000
XCEL ENERGY INC             COM     98389B100  1,799   116,300    SH       DEFINED       2     116,300
XILINX INC                  COM     983919101  284     10,000     SH       DEFINED       2      10,000
YORK INTERNATIONAL CORP     COM     986670107  786     22,725     SH       DEFINED       2      22,725
</Table>