FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: December 31,2003

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: Karla L. Kambic
Title: Vice President and Associate General Counsel
Phone: (312) 822 1337
Signature, Place, and Date of Signing:
February 12,2004
Chicago, Illinois,60685
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES EXCHANGE
ACT OF 1934

Report Type (Check only one.):

 [  X ]              13F HOLDINGS REPORT.

 [    ]              13F NOTICE.

 [    ]              13F COMBINATION REPORT.

List of Other Managers Reporting for this Manager:



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



FORM 13F SUMMARY PAGE

Report Summary:

Number of Other Included Managers: 4

Form 13F Information Table Entry Total: 231

Form 13F Information Table Value Total: 1,058,614 (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
A T & T WIRELESS GROUP      COM     00209A106  2,797   350,000    SH       DEFINED      2      350,000
ACCENTURE LTD               CL A    G1150G111  1,334   50,700     SH       DEFINED      2       50,700
ACUITY BRANDS INC           COM     00508Y102  288     11,150     SH       DEFINED      2       11,150
ACXIOM CORP                 NOTE    005125AB5  3,712   3,200,000  PRN      DEFINED     2,3     175,322
AETNA INC                   COM     00817Y108  980     14,500     SH       DEFINED      2       14,500
AFFYMETRIX INC              NOTE    00826TAB4  5,075   5,000,000  PRN      DEFINED     2,3      81,301
AFTERMARKET TECHNOLOGY      COM     008318107  256     18,650     SH       DEFINED      2       18,650
AGILENT TECH INC            DBCV    00846UAB7  30,590  28,000,000 PRN      DEFINED    2,3,4    869,025
AGILYSYS INC                COM     00847J105  692     62,025     SH       DEFINED      2       62,025
ALCON INC                   COM     H01301102  4,722   78,000     SH       DEFINED     2,3      78,000
ALLSTATE CORPORATION        COM     020002101  1,316   30,600     SH       DEFINED      2       30,600
AMBAC FINANCIAL GROUP INC   COM     023139108  1,284   18,500     SH       DEFINED      2       18,500
AMERADA HESS                COM     023551104  1,063   20,000     SH       DEFINED      2       20,000
AMERICAN EXPRESS            COM     025816109  3,135   65,000     SH       DEFINED     2,3      65,000
AMERICAN GREET              NOTE    026375AJ4  2,631   1,500,000  PRN      DEFINED     2,3     107,920
AMERICAN INTL GROUP INC     COM     026874107  2,784   42,000     SH       DEFINED     2,3      42,000
AMERICAN NATIONAL INSURANCE COM     028591105  456     5,400      SH       DEFINED      2        5,400
AMERICAN PHYSICIANS CAP     COM     028884104  629     34,175     SH       DEFINED      2       34,175
</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
AMERISOURCE HEALTH          NOTE    03071PAD4  3,072   2,560,000  PRN      DEFINED     2,3      48,331
AMGEN INC                   COM     031162100  1,854   30,000     SH       DEFINED     2,3      30,000
ANADARKO PETROLEUM CORP     COM     032511107  5,611   110,000    SH       DEFINED      2      110,000
ANHEUSER BUSCH CO           COM     035229103  2,107   40,000     SH       DEFINED     2,3      40,000
ANIXTER INTERNATIONAL INC   COM     035290105  674     26,025     SH       DEFINED      2       26,025
AON CORP                    COM     037389103  5,207   217,500    SH       DEFINED      2      217,500
APACHE CORP                 COM     037411105  324     4,000      SH       DEFINED      2        4,000
APPLIED MATERIALS INC.      COM     038222105  1,684   75,000     SH       DEFINED     2,3      75,000
ARTESYN TECHNOLOGIES INC    COM     043127109  243     28,575     SH       DEFINED      2       28,575
ARVINMERITOR INC            COM     043353101  594     24,625     SH       DEFINED      2       24,625
ASHLAND INC                 COM     044204105  2,135   48,450     SH       DEFINED      2       48,450
AVAYA INC                   NOTE    053499AA7  3,023   5,000,000  PRN      DEFINED    2,3,4    187,219
BP PLC                      ADR     055622104  2,403   48,700     SH       DEFINED      2       48,700
BANK OF NEW YORK            COM     064057102  1,361   41,100     SH       DEFINED      2       41,100
BARRICK GOLD CORP           COM     067901108  1,485   65,400     SH       DEFINED      2       65,400
BEST BUY COMPANY INC        COM     086516101  2,299   44,000     SH       DEFINED     2,3      44,000
BOEING COMPANY              COM     097023105  4,505   106,900    SH       DEFINED     2,3     106,900
BOWNE & CO INC              COM     103043105  599     44,175     SH       DEFINED      2       44,175
</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
BRISTOL-MYERS SQUIBB CO     COM     110122108  707     24,725     SH       DEFINED      2       24,725
CIGNA CORP                  COM     125509109  2,662   46,300     SH       DEFINED      2       46,300
CIT GROUP INC               COM     125581108  1,714   47,675     SH       DEFINED      2       47,675
CNA SURETY CORPORATION      COM     12612L108  260,813 27,425,147 SH       DEFINED    1,2,4  27,425,147
CNF INC                     COM     12612W104  1,545   45,575     SH       DEFINED      2       45,575
CABLEVISION SYSTEMS         CL A    12686C109  3,214   137,400    SH       DEFINED      2      137,400
CABOT OIL & GAS CORP        COM     127097103  2,260   77,000     SH       DEFINED      2       77,000
CAVCO INDUSTRIES INC        COM     149568107  42      1,750      SH       DEFINED      2        1,750
CELESTICA INC               NOTE    15101QAA6  31,157  58,910,000 PRN      DEFINED    2,3,4    334,302
CENDANT CORP                DBCV    151313AN3  34,531  32,000,000 PRN      DEFINED     2,4   1,330,560
CENTEX CORP                 COM     152312104  3,768   35,000     SH       DEFINED      2       35,000
CENTRAL FREIGHT LINES INC   COM     153491105  151     8,500      SH       DEFINED      2        8,500
CEPHALON INC                NOTE    156708AE9  2,861   3,000,000  PRN      DEFINED     2,3      37,037
CHARLES RIVER               DBCV    159863AL3  1,544   1,450,000  PRN      DEFINED     2,3      37,304
CHEVRON TEXACO CORP         COM     166764100  3,888   45,000     SH       DEFINED     2,3      45,000
CHIRON CORP                 NOTE    170040AE9  20,490  34,500,000 PRN      DEFINED    2,3,4    247,065
CISCO SYSTEMS INC           COM     17275R102  5,587   230,000    SH       DEFINED     2,3     230,000
CITIGROUP INC               COM     172967101  13,290  273,800    SH       DEFINED     2,3     273,800
</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
CLEAR CHANNEL COMM          COM     184502102  2,342   50,000     SH       DEFINED     2,3      50,000
COACH INC                   COM     189754104  2,190   58,000     SH       DEFINED     2,3      58,000
COCA COLA CO                COM     191216100  1,776   35,000     SH       DEFINED     2,3      35,000
COMCAST CORP                CL A    20030N200  4,970   158,900    SH       DEFINED     2,3     158,900
COMMSCOPE INC               COM     203372107  502     30,750     SH       DEFINED      2       30,750
COMPUTER ASSOCIATES INTL    COM     204912109  1,318   48,225     SH       DEFINED      2       48,225
CONEXANT SYSTEMS            NOTE    207142AB6  2,981   3,000,000  PRN      DEFINED     2,4     330,578
CONOCOPHILLIPS              COM     20825C104  751     11,450     SH       DEFINED      2       11,450
COOPER INDUSTRIES           CL A    G24182100  3,787   65,375     SH       DEFINED      2       65,375
COSTCO WHOLESALE CORP       COM     22160K105  2,603   70,000     SH       DEFINED     2,3      70,000
CYTEC INDUSTRIES INC        COM     232820100  1,411   36,750     SH       DEFINED      2       36,750
D.R. HORTON INC             COM     23331A109  2,825   65,300     SH       DEFINED      2       65,300
DEERE & CO                  COM     244199105  2,277   35,000     SH       DEFINED     2,3      35,000
DEL MONTE FOODS CO          COM     24522P103  677     65,125     SH       DEFINED      2       65,125
DELL COMPUTER CORP          COM     24702R101  3,396   100,000    SH       DEFINED     2,3     100,000
DELPHI FINANCIAL GROUP      CLA     247131105  2,441   67,800     SH       DEFINED      2       67,800
DIAGEO PLC                  ADR     25243Q205  1,908   36,100     SH       DEFINED      2       36,100
DILLARDS INC                CLA     254067101  649     39,450     SH       DEFINED      2       39,450
</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
DISNEY (WALT) CO            NOTE    254687AU0  17,993  17,000,000 PRN      DEFINED    2,3,4    577,053
DOCUMENTUM INC              NOTE    256159AB0  667     560,000    PRN      DEFINED     2,3      40,580
DOMINION RESOURCES INC      NOTE    25746UAP4  8,196   8,125,000  PRN      DEFINED     2,4     110,390
DU PONT DE NEMOURS E.I.     COM     263534109  2,065   45,000     SH       DEFINED     2,3      45,000
DUKE ENERGY CORP            NOTE    264399EJ1  7,201   7,000,000  PRN      DEFINED    2,3,4    296,736
ECOLAB INC                  COM     278865100  2,190   80,000     SH       DEFINED     2,3      80,000
EDO CORP                    NOTE    281347AD6  535     500,000    PRN      DEFINED     2,3      15,995
EL PASO CORP                COM     28336L109  918     112,100    SH       DEFINED      2      112,100
ELDERTRUST                 COMBENIN 284560109  2,609   208,200    SH       DEFINED     2,4     208,200
ENTERGY CORP                COM     29364G103  3,205   56,100     SH       DEFINED      2       56,100
ESTERLINE TECHNOLOGIES      COM     297425100  728     27,300     SH       DEFINED      2       27,300
FMC CORP                    COM     302491303  1,880   55,075     SH       DEFINED      2       55,075
FMC TECHNOLOGIES INC        COM     30249U101  1,809   77,646     SH       DEFINED      2       77,646
FPL GROUP                   COM     302571104  2,165   33,100     SH       DEFINED      2       33,100
FREDDIE MAC                 COM     313400301  1,825   31,300     SH       DEFINED      2       31,300
FIRST CITIZENS BCSHS        CL A    31946M103  229     1,900      SH       DEFINED      2        1,900
FIRST DATA CORP             COM     319963104  288     7,000      SH       DEFINED      2        7,000
FLEET BOSTON FINANCIAL      COM     339030108  1,102   25,250     SH       DEFINED      2       25,250
GAP INC                     NOTE    364760AJ7  3,374   2,200,000  PRN      DEFINED     2,3     136,477
</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 CABLE CORP          COM     369300108  521     63,925     SH       DEFINED      2       63,925
GENERAL ELECTRIC CO         COM     369604103  5,685   183,500    SH       DEFINED     2,3     183,500
GENERAL MOTORS              SRCONVA 370442741  21,256  800,000    SH       DEFINED    2,3,4    800,000
GENZYME CORP-GENL DIVISN    SDCV    372917AK0  2,025   2,000,000  PRN      DEFINED     2,4      28,449
GEORGIA-PACIFIC CORP        COM     373298108  1,172   38,225     SH       DEFINED      2       38,225
GILEAD SCIENCES             NOTE    375558AD5  1,365   1,000,000  PRN      DEFINED     2,3      21,277
GLIMCHER REALTY TRUST       SH BEN  379302102  730     32,600     SH       DEFINED      2       32,600
GUITAR CENTER MG            NOTE    402040AC3  1,256   1,050,000  PRN      DEFINED     2,3      30,364
HNC SOFTWARE                NOTE    40425PAC1  1,411   1,300,000  PRN      DEFINED     2,3      23,427
HEALTH NET INC              COM     42222G108  810     24,775     SH       DEFINED      2       24,775
HEWLETT-PACKARD CO.         COM     428236103  4,101   178,525    SH       DEFINED     2,3     178,525
HOME DEPOT                  COM     437076102  2,129   60,000     SH       DEFINED     2,3      60,000
HUTCHINSON TECH             NOTE    448407AE6  1,250   1,000,000  PRN      DEFINED     2,3      33,512
INCO LTD                    NOTE    453258AM7  5,420   5,000,000  PRN      DEFINED     2,4     132,765
INFOCUS CORP                COM     45665B106  277     28,575     SH       DEFINED      2       28,575
INTEGRA LIFESCIENCES HLD    NOTE    457985AB5  710     635,000    PRN      DEFINED     2,3      18,596
INTEL CORP                  COM     458140100  2,550   79,200     SH       DEFINED     2,3      79,200
</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
INTERACTIVECORP             COM     45840Q101  1,758   51,800     SH       DEFINED      2       51,800
INTL BUSINESS MACHINE       COM     459200101  5,097   55,000     SH       DEFINED      2       55,000
INTERNATIONAL PAPER CO.     COM     460146103  2,156   50,000     SH       DEFINED     2,3      50,000
INTERPUBLIC GRP             NOTE    460690AJ9  13,904  15,000,000 PRN      DEFINED    2,3,4    264,240
INTERSTATE BAKERIES         COM     46072H108  522     36,700     SH       DEFINED      2       36,700
INVITROGEN INC              NOTE    46185RAD2  2,523   2,400,000  PRN      DEFINED     2,3      27,875
IPC HOLDINGS LTD            ORD     G4933P101  2,598   66,775     SH       DEFINED      2       66,775
ISHARES MSCI SINGAPORE     MSCISING 464286673  6,102   1,017,000  SH       DEFINED      2    1,017,000
ISHARES MSCI HONG KONG     MSCIHONG 464286871  12,000  1,200,000  SH       DEFINED      2    1,200,000
J.P. MORGAN CHASE & CO.     COM     46625H100  1,837   50,000     SH       DEFINED     2,3      50,000
JOHNSON & JOHNSON           COM     478160104  2,325   45,000     SH       DEFINED     2,3      45,000
KENNAMETAL INC              COM     489170100  398     10,000     SH       DEFINED      2       10,000
KIMBERLY CLARK              COM     494368103  2,659   45,000     SH       DEFINED     2,3      45,000
L-3 COMMUNICATIONS CORP     COM     502424104  257     5,000      SH       DEFINED      2        5,000
LEAR SEATING CORP           COM     521865105  1,682   27,425     SH       DEFINED      2       27,425
LENNOX INTERNATIONAL        NOTE    526107AB3  982     815,000    PRN      DEFINED     2,3      45,059
LIBERTY MEDIA               COMSERA 530718105  4,000   336,400    SH       DEFINED      2      336,400
LINCOLN NATIONAL CORP IN    COM     534187109  1,615   40,000     SH       DEFINED      2       40,000
</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
LOCKHEED MARTIN CORP        COM     539830109  1,593   31,000     SH       DEFINED      2       31,000
LOWES COMPANIES             NOTE    548661CG0  21,196  20,000,000 PRN      DEFINED    2,3,4    344,240
LUBRIZOL CORP               COM     549271104  630     19,375     SH       DEFINED      2       19,375
IKON MBIA INC.              COM     55262C100  891     15,050     SH       DEFINED      2       15,050
MANDALAY RESORT GROUP       DBCV    562567AK3  2,198   2,000,000  PRN      DEFINED     2,4      34,904
MARSH & MCLENNAN COS INC    COM     571748102  1,772   37,000     SH       DEFINED      2       37,000
MASCO CORPORATION           COM     574599106  274     10,000     SH       DEFINED      2       10,000
MEDIACOM COMMUNICATIONS     CL A    58446K105  1,730   200,000    SH       DEFINED      2      200,000
MEDICIS PHARMACEY           NOTE    58470KAA2  2,998   2,200,000  PRN      DEFINED     2,3      37,866
MEDTRONIC INC               COM     585055106  3,208   66,000     SH       DEFINED     2,3      66,000
MERRILL LYNCH & CO INC      COM     590188108  1,613   27,500     SH       DEFINED     2,3      27,500
MERRILL LYNCH               FRNT    590188A73  37,821  36,500,000 PRN      DEFINED    2,3,4    504,477
METAL MANAGEMENT INC        COM     591097209  739     20,000     SH       DEFINED     2,4      20,000
MICROSOFT CORP              COM     594918104  4,211   152,900    SH       DEFINED     2,3     152,900
MICRON TECH                 NOTE    595112AG8  2,473   1,870,000  PRN      DEFINED     2,3     158,636
MILACRON INC                COM     598709103  262     62,775     SH       DEFINED      2       62,775
MONSANTO CO                 COM     61166W101  961     33,400     SH       DEFINED      2       33,400
MORGAN STANLEY ASIA-PACIFIC COM     61744U106  959     88,400     SH       DEFINED      2       88,400
</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
MORGAN STANLEY INDIA INVT   COM     61745C105  419     15,800     SH       DEFINED      2       15,800
NCI BUILDING SYSTEMS INC    COM     628852105  486     20,350     SH       DEFINED      2       20,350
NACCO INDS INC              CL A    629579103  1,022   11,425     SH       DEFINED      2       11,425
NETWORK ASSOC               NOTE    64123LAB7  2,279   2,100,000  PRN      DEFINED     2,3     116,215
NEWHALL LAND & FARMING      DEP REC 651426108  977     24,200     SH       DEFINED      2       24,200
NEWS AMER INC               NOTE    652482AZ3  49,578  87,300,000 PRN      DEFINED    2,3,4  1,060,547
NEWS CORP LTD               ADR PRF 652487802  7,070   233,707    SH       DEFINED      2      233,707
NISOURCE INC                COM     65473P105  3,183   145,100    SH       DEFINED      2      145,100
NORTHERN TRUST CORP         COM     665859104  1,666   36,000     SH       DEFINED      2       36,000
NOVOGEN LIMITED             ADR     67010F103  27      1,000      SH       DEFINED      2        1,000
OAK INDUSTRIES              NOTE    671400AL3  13,592  13,677,000 PRN      DEFINED     2,4     881,249
OCULAR SCIENCES INC         COM     675744106  123     4,300      SH       DEFINED      2        4,300
OHIO CASUALTY CORP          COM     677240103  849     48,900     SH       DEFINED      2       48,900
OIL STATES INTERNATIONAL    COM     678026105  1,255   90,000     SH       DEFINED      2       90,000
OLD REPUBLIC INTL CORP      COM     680223104  3,272   129,038    SH       DEFINED      2      129,038
OMNICOM GROUP               NOTE    681919AK2  4,043   4,000,000  PRN      DEFINED     2,4      36,360
OMNICOM GROUP               NOTE    681919AM8  12,750  12,500,000 PRN      DEFINED    2,3,4    113,625
OXFORD HEALTH PLANS INC     COM     691471106  2,175   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
PNM RES                     COM     69349H107  529     18,825     SH       DEFINED      2       18,825
PPL CORPORATION             COM     69351T106  3,671   83,900     SH       DEFINED      2       83,900
PATHMARK STORES INC         COM     70322A101  1,450   190,832    SH       DEFINED     2,4     190,832
PAYLESS SHOESOURCE INC      COM     704379106  1,300   97,050     SH       DEFINED      2       97,050
PEPCO HOLDINGS INC          COM     713291102  1,854   94,900     SH       DEFINED      2       94,900
PEPSICO INCORPORATED        COM     713448108  1,492   32,000     SH       DEFINED     2,3      32,000
PERFORMANCE FOOD            NOTE    713755AA4  1,804   1,500,000  PRN      DEFINED     2,3      45,524
PFIZER INC                  COM     717081103  6,932   196,200    SH       DEFINED     2,3     196,200
PHARMACEUTICAL HOLDERS TR   DEPREC  71712A206  509     6,400      SH       DEFINED      2        6,400
PLACER DOME INC             COM     725906101  1,864   104,100    SH       DEFINED      2      104,100
PRIME HOSPITALITY CORP      COM     741917108  65      6,375      SH       DEFINED     2,4       6,375
PULTE CORP                  COM     745867101  6,553   70,000     SH       DEFINED      2       70,000
R.H. DONNELLEY CORP         COM     74955W307  607     15,225     SH       DEFINED      2       15,225
RADIAN GROUP INC            COM     750236101  791     16,225     SH       DEFINED      2       16,225
REGENERON PHARM             NOTE    75886FAB3  648     687,000    PRN      DEFINED      2       22,710
RELIANT RESOURCES INC       COM     75952B105  986     133,900    SH       DEFINED      2      133,900
RESMED INC                  NOTE    761152AB3  1,492   1,450,000  PRN      DEFINED     2,3      23,927
SANMINA CORP                SDCV    800907AD9  1,472   2,900,000  PRN      DEFINED     2,3      18,800
</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
SARA LEE CORP               COM     803111103  1,312   60,450     SH       DEFINED      2       60,450
SCANA CORP                  COM     80589M102  1,336   39,000     SH       DEFINED      2       39,000
SCHERING PLOUGH             COM     806605101  911     52,375     SH       DEFINED      2       52,375
SCHLUMBERGER LIMITED        COM     806857108  3,207   58,600     SH       DEFINED     2,3      58,600
SCHOOL SPECIALTY            NOTE    807863AC9  1,588   1,375,000  PRN      DEFINED     2,3      42,582
SCRIPPS CO (E.W.)           CL A    811054204  3,295   35,000     SH       DEFINED     2,3      35,000
SERVICEMASTER COMPANY       COM     81760N109  580     49,750     SH       DEFINED      2       49,750
SOLECTRON CORP              NOTE    834182AL1  32,167  55,700,000 PRN      DEFINED    2,3,4    656,491
SPANISH BROADCASTING SYS    CL A    846425882  2,210   209,432    SH       DEFINED     2,4     209,432
SPHERION CORPORATION        COM     848420105  803     82,025     SH       DEFINED      2       82,025
SPRINT CORP-PCS GROUP       COM     852061506  8       1,428      SH       DEFINED     1,2       1,428
STAR GAS PARTNER            SRSUBUN 85512C204  600     29,229     SH       DEFINED     2,4      29,229
STEINMART                   COM     858375108  182     22,075     SH       DEFINED      2       22,075
STMICROELECTRON             NOTE    861012AB8  16,358  18,000,000 PRN      DEFINED     2,4     473,256
TJX COS INC                 NOTE    872540AL3  5,672   6,800,000  PRN      DEFINED    2,3,4    222,136
TEJON RANCH                 COM     879080109  845     20,600     SH       DEFINED      2       20,600
TELLABS INC                 COM     879664100  342     40,700     SH       DEFINED      2       40,700
TENET HEALTHCARE CORP       COM     88033G100  913     56,875     SH       DEFINED      2       56,875
</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
TEXTRON INC                 COM     883203101  1,575   27,600     SH       DEFINED      2       27,600
3M CO                       COM     88579Y101  1,701   20,000     SH       DEFINED     2,3      20,000
TORCHMARK CORP              COM     891027104  902     19,800     SH       DEFINED      2       19,800
TRAVELERS PROPERTY CASUALTY CL A    89420G109  2,739   163,228    SH       DEFINED      2      163,228
TRIARC COMPANIES            CL A    895927101  205     17,350     SH       DEFINED      2       17,350
TRIARC COMPANIES            CLBSER1 895927309  374     34,700     SH       DEFINED      2       34,700
TRINITY INDUSTRIES          COM     896522109  370     12,000     SH       DEFINED      2       12,000
UNION PACIFIC               COM     907818108  1,112   16,000     SH       DEFINED     2,3      16,000
UNITED PARCEL SERVICE       CL B    911312106  5,107   68,500     SH       DEFINED      2       68,500
UNIVERSAL CORP-VA           COM     913456109  616     13,950     SH       DEFINED      2       13,950
UNOCAL CORP                 COM     915289102  4,909   133,300    SH       DEFINED      2      133,300
USF CORP                    COM     91729Q101  690     20,175     SH       DEFINED      2       20,175
VALASSIS COMMUNICATIONS     COM     918866104  549     18,700     SH       DEFINED      2       18,700
VALERO ENERGY CORP          COM     91913Y100  2,549   55,000     SH       DEFINED      1       55,000
VERITAS SOFTWARE            COM     923436109  1,129   30,507     SH       DEFINED    2,3,4     30,507
VERZION COMMUNICATIONS INC  COM     92343V104  2,080   59,300     SH       DEFINED     2,3      59,300
VIACOM INC                  CL B    925524308  2,219   50,000     SH       DEFINED     2,3      50,000
VIAD CORP                   COM     92552R109  2,398   95,900     SH       DEFINED      2       95,900
</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
VISHAY INTERTECH            NOTE    928298AD0  843     1,350,000  PRN      DEFINED     2,3      23,853
WAL MART STORES INC         COM     931142103  3,183   60,000     SH       DEFINED     2,3      60,000
WALGREEN CO                 COM     931422109  2,910   80,000     SH       DEFINED     2,3      80,000
WASHINGTON MUTUAL INC       COM     939322103  1,283   31,975     SH       DEFINED      2       31,975
WEBMD CORP                  NOTE    94769MAC9  2,095   1,800,000  PRN      DEFINED     2,3     194,322
WELLS FARGO COMPANY         COM     949746101  4,122   70,000     SH       DEFINED     2,3      70,000
WEYERHAEUSER COMPANY        COM     962166104  320     5,000      SH       DEFINED      2        5,000
WHIRLPOOL CORPORATION       COM     963320106  1,669   22,975     SH       DEFINED      2       22,975
WILLIAMS COS INC            COM     969457100  2,740   279,000    SH       DEFINED      2      279,000
WILSONS THE LEATHER EXPERTS COM     972463103  203     58,725     SH       DEFINED      2       58,725
WISCONSIN ENERGY CORP       COM     976657106  874     26,125     SH       DEFINED      2       26,125
WYETH                       COM     983024100  1,486   35,000     SH       DEFINED     2,3      35,000
XCEL ENERGY INC             COM     98389B100  1,975   116,300    SH       DEFINED      2      116,300
XILINX INC                  COM     983919101  386     10,000     SH       DEFINED      2       10,000
YORK INTERNATIONAL CORP     COM     986670107  644     17,500     SH       DEFINED      2       17,500
</Table>