FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: September 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:
November 15,2005
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: 604

Form 13F Information Table Value Total:  1,052,982 (in thousands)



List of Other Included Managers:

No. 	13F File Number		 Name

1	28-172		The Continental Corporation
2	28 -217		Loews Corporation
3	28-386		Continental Assurance Company
4	28-387		Continental Casualty Company
<Page>
<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
3M CO                       COM     88579Y101  3,668   50,000     SH       DEFINED     1,2      50,000
3M COMPANY                  NOTE    88579YAB7  860     988,000    PRN      DEFINED     2,3       9,347
ABB LTD-SPON ADR            ADR     000375204  3,135   426,000    SH       DEFINED      2      426,000
ABBOTT LABORATORIES         COM     002824100  93      2,200      SH       DEFINED     1,2       2,200
ACCENTURE LTD-CL A          CL A    G1150G111  2,218   87,100     SH       DEFINED      2       87,100
ACCO BRANDS CORP            COM     00081T108  1       47         SH       DEFINED     1,2          47
ACE LTD                     ORD     G0070K103  19      400        SH       DEFINED     1,2         400
ACTUANT CORPORATION         SDCV    00508XAB0  254     200,000    PRN      DEFINED     2,3       5,011
ADC TELECOMMUNICATIONS INC  COM     000886309  4       157        SH       DEFINED     1,2         157
ADOBE SYSTEMS INC           COM     00724F101  391     13,085     SH       DEFINED     1,2      13,085
ADVANCED MEDICAL OPTICS     NOTE    00763MAG3  2,481   2,550,000  PRN      DEFINED     2,3      50,756
ADVANCED MICRO DEVICES      COM     007903107  13      500        SH       DEFINED     1,2         500
AES CORP                    COM     00130H105  15      900        SH       DEFINED     1,2         900
AETNA INC                   COM     00817Y108  34      400        SH       DEFINED     1,2         400
AFFILIATED COMPUTER SVCS-A  CL A    008190100  11      200        SH       DEFINED     1,2         200
AFFILIATED MANAGERS GRP     DBCV    008252AE8  1,670   1,000,000  PRN      DEFINED     2,3      18,462
</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
AFLAC INC                   COM     001055102  213     4,700      SH       DEFINED     1,2       4,700
AFTERMARKET TECHNOLOGY CORP COM     008318107  531     28,875     SH       DEFINED      2       28,875
AGILENT TECHNOLOGIES INC    COM     00846U101  20      600        SH       DEFINED     1,2         600
AIR PRODUCTS & CHEMICALS INCCOM     009158106  17      300        SH       DEFINED     1,2         300
ALBERTO-CULVER CO           COM     013068101  7       150        SH       DEFINED     1,2         150
ALBERTSONS INC              COM     013104104  13      500        SH       DEFINED     1,2         500
ALCOA INC                   COM     013817101  29      1,200      SH       DEFINED     1,2       1,200
ALCON INC                   COM SHS H01301102  256     2,000      SH       DEFINED      2        2,000
ALLEGHENY ENERGY INC        COM     017361106  6       200        SH       DEFINED     1,2         200
ALLEGHENY TECHNOLOGIES INC  COM     01741R102  3       100        SH       DEFINED     1,2         100
ALLERGAN INC                COM     018490102  18      200        SH       DEFINED     1,2         200
ALLSTATE CORPORATION        COM     020002101  2,278   41,200     SH       DEFINED      2       41,200
ALLTEL CORP                 COM     020039103  33      500        SH       DEFINED     1,2         500
ALPHA NATURAL RESOURCES INC COM     02076X102  1,502   50,000     SH       DEFINED      2       50,000
ALTERA CORPORATION          COM     021441100  10      500        SH       DEFINED     1,2         500
ALTRIA GROUP INC            COM     02209S103  1,106   15,000     SH       DEFINED      2       15,000
</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
AMAZON.COM INC              COM     023135106  1,323   29,200     SH       DEFINED     1,2      29,200
AMBAC FINANCIAL GROUP INC   COM     023139108  14      200        SH       DEFINED     1,2         200
AMDOCS LIMITED              NOTE    02342TAD1  456     500,000    PRN      DEFINED     2,3      11,596
AMERADA HESS CORP           COM     023551104  28      200        SH       DEFINED     1,2         200
AMEREN CORPORATION          COM     023608102  16      300        SH       DEFINED     1,2         300
AMERICAN ELECTRIC POWER     COM     025537101  24      600        SH       DEFINED     1,2         600
AMERICAN EXPRESS            DBCV    025816AS8  4,326   4,100,000  PRN      DEFINED     2,3      67,780
AMERICAN EXPRESS            COM     025816109  1,149   20,000     SH       DEFINED      2       20,000
AMERICAN GREET              NOTE    026375AJ4  1,116   560,000    PRN      DEFINED     2,3      40,290
AMERICAN HOME MORTGAGE INVESCOM     02660R107  892     29,450     SH       DEFINED      2       29,450
AMERICAN INTL GROUP INC     COM     026874107  10,223  165,000    SH       DEFINED      2      165,000
AMERICAN NATIONAL INSURANCE COM     028591105  643     5,400      SH       DEFINED      2        5,400
AMERICAN POWER CONVERSION   COM     029066107  5       200        SH       DEFINED     1,2         200
AMERICAN STANDARD COS INC   COM     029712106  14      300        SH       DEFINED     1,2         300
AMERISOURCEBERGEN CORP      COM     03073E105  2,441   31,575     SH       DEFINED      2       31,575
AMERUS GROUP CO             COM     03072M108  783     13,650     SH       DEFINED      2       13,650
</Table>

<Table>
<Caption>

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

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


AMGEN INC                   COM     031162100  1,060   13,300     SH       DEFINED      2       13,300
AMGEN INC                   NOTE    031162AL4  4,510   5,700,000  PRN      DEFINED     2,3      50,503
AMSOUTH BANCORPORATION      COM     032165102  13      500        SH       DEFINED     1,2         500
ANADARKO PETROLEUM CORP     COM     032511107  14,363  150,000    SH       DEFINED      2      150,000
ANALOG DEVICES              COM     032654105  19      500        SH       DEFINED     1,2         500
ANDREW CORP                 NOTE    034425AB4  1,760   1,700,000  PRN      DEFINED     2,3     124,182
ANHEUSER BUSCH CO           COM     035229103  2,389   55,500     SH       DEFINED      2       55,500
AON CORP                    COM     037389103  2,667   83,150     SH       DEFINED      2       83,150
APACHE CORP                 COM     037411105  36      480        SH       DEFINED     1,2         480
APARTMENT INVT & MGMT CO -A CL A    03748R101  4       100        SH       DEFINED     1,2         100
APOLLO GROUP INC-CL A       CL A    037604105  624     9,400      SH       DEFINED     1,2       9,400
APPLE COMPUTER INC          COM     037833100  64      1,200      SH       DEFINED     1,2       1,200
APPLIED BIOSYSTEMS GROUP-APPGRP     038020103  5       200        SH       DEFINED     1,2         200
AQUILA INC                  COM     03840P102  2,065   521,500    SH       DEFINED      2      521,500
ARCHER-DANIELS-MIDLAND CO   COM     039483102  22      900        SH       DEFINED     1,2         900
ARCHSTONE-SMITH TRUST       COM     039583109  12      300        SH       DEFINED     1,2         300
ARMOR HOLDINGS INC          NOTE    042260AC3  1,337   1,340,000  PRN      DEFINED     2,3      24,810
ARVINMERITOR INC            COM     043353101  1,347   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
ASHLAND INC                 COM     044209104  1,862   33,700     SH       DEFINED      2       33,700
AT&T CORP                   COM     001957505  21      1,080      SH       DEFINED     1,2       1,080
AUTODESK INC                COM     052769106  14      300        SH       DEFINED     1,2         300
AUTOMATIC DATA PROCESSING   COM     053015103  34      800        SH       DEFINED     1,2         800
AUTONATION INC              COM     05329W102  6       300        SH       DEFINED     1,2         300
AUTOZONE INC.               COM     053332102  1,390   16,700     SH       DEFINED      2       16,700
AVAYA INC                   COM     053499109  6       600        SH       DEFINED     1,2         600
AVERY DENNISON CORP         COM     053611109  10      200        SH       DEFINED     1,2         200
AVON PRODUCTS INC           COM     054303102  19      700        SH       DEFINED     1,2         700
AXIS CAPITAL HOLDINGS LTD   SHS     G0692U109  1,354   47,500     SH       DEFINED      2       47,500
BAKER HUGHES INC            COM     057224107  30      500        SH       DEFINED     1,2         500
BALL CORP                   COM     058498106  7       200        SH       DEFINED     1,2         200
BANK OF AMERICA CORP        COM     060505104  4,454   105,800    SH       DEFINED      2      105,800
BANK OF NEW YORK            COM     064057102  3,003   102,100    SH       DEFINED      2      102,100
BARD (C.R.) INC             COM     067383109  13      200        SH       DEFINED     1,2         200
BAUSCH & LOMB INC           FRNT    071707AM5  1,207   800,000    PRN      DEFINED     2,3      13,021
BAXTER INTERNATIONAL INC.   COM     071813109  36      900        SH       DEFINED     1,2         900
BB&T CORPORATION            COM     054937107  31      800        SH       DEFINED     1,2         800
BEAR STEARNS COMPANIES INC  COM     073902108  22      200        SH       DEFINED     1,2         200
BEARINGPOINT INC            COM     074002106  650     85,625     SH       DEFINED      2       85,625
BECTON DICKINSON & CO       COM     075887109  21      400        SH       DEFINED     1,2         400
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
BED BATH & BEYOND INC       COM     075896100  16      400        SH       DEFINED     1,2         400
BELLSOUTH CORP              COM     079860102  68      2,600      SH       DEFINED     1,2       2,600
BEMIS COMPANY               COM     081437105  2       100        SH       DEFINED     1,2         100
BEST BUY CO INC             COM     086516101  33      750        SH       DEFINED     1,2         750
BIG LOTS INC                COM     089302103  1       100        SH       DEFINED     1,2         100
BIOGEN IDEC INC             COM     09062X103  18      460        SH       DEFINED     1,2         460
BIOMET INC                  COM     090613100  14      400        SH       DEFINED     1,2         400
BJ SERVICES CO              COM     055482103  22      600        SH       DEFINED     1,2         600
BLACK & DECKER CORP         COM     091797100  8       100        SH       DEFINED     1,2         100
BMC SOFTWARE INC            COM     055921100  6       300        SH       DEFINED     1,2         300
BOEING COMPANY              COM     097023105  3,967   58,375     SH       DEFINED      2       58,375
BOSTON SCIENTIFIC CORP      COM     101137107  26      1,100      SH       DEFINED     1,2       1,100
BOWNE & CO INC              COM     103043105  1,107   77,450     SH       DEFINED      2       77,450
BRISTOL-MYERS SQUIBB CO     COM     110122108  1,542   64,100     SH       DEFINED     1,2      64,100
BROADCOM CORP-CL A          CL A    111320107  19      400        SH       DEFINED     1,2         400
BROWN-FORMAN CORP -CL B     CL B    115637209  12      200        SH       DEFINED     1,2         200
BRUNSWICK CORP              COM     117043109  4       100        SH       DEFINED     1,2         100
BURLINGTON NORTHERN SANTA FECOM     12189T104  36      600        SH       DEFINED     1,2         600
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
BURLINGTON RESOURCES INC    COM     122014103  4,765   58,600     SH       DEFINED     1,2      58,600
CAMPBELL SOUP CO            COM     134429109  15      500        SH       DEFINED     1,2         500
CAPITAL ONE FINANCIAL CORP  COM     14040H105  32      400        SH       DEFINED     1,2         400
CARDINAL HEALTH INC         COM     14149Y108  38      600        SH       DEFINED     1,2         600
CAREMARK RX INC             COM     141705103  35      700        SH       DEFINED     1,2         700
CARNIVAL CORP               NOTE    143658AS1  830     1,000,000  PRN      DEFINED     2,3      16,596
CARNIVAL CORP               DBCV    143658AV4  2,673   3,600,000  PRN      DEFINED     2,3      43,848
CATERPILLAR INC             COM     149123101  59      1,000      SH       DEFINED     1,2       1,000
CENDANT CORP                COM     151313103  31      1,500      SH       DEFINED     1,2       1,500
CENTERPOINT ENERGY INC      COM     15189T107  6       400        SH       DEFINED     1,2         400
CENTEX CORP                 COM     152312104  5,696   88,200     SH       DEFINED     1,2      88,200
CENTURYTEL INC              COM     156700106  7       200        SH       DEFINED     1,2         200
CHESAPEAKE ENERGY CORP      COM     165167107  1,924   50,300     SH       DEFINED      2       50,300
CHEVRON TEXACO CORP         COM     166764100  2,318   35,807     SH       DEFINED     1,2      35,807
CHIRON CORP                 COM     170040109  9       200        SH       DEFINED     1,2         200
CHUBB CORP                  COM     171232101  27      300        SH       DEFINED     1,2         300
</Table>

<Table>
<Caption>

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

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

CIBER INC                   COM     17163B102  1,023   137,625    SH       DEFINED      2      137,625
CIGNA CORP                  COM     125509109  24      200        SH       DEFINED     1,2         200
CINCINNATI FINANCIAL CORP   COM     172062101  9       220        SH       DEFINED     1,2         220
CINERGY CORP                COM     172474108  3,793   85,400     SH       DEFINED     1,2      85,400
CINTAS CORP                 COM     172908105  8       200        SH       DEFINED     1,2         200
CIRCUIT CITY STORES INC     COM     172737108  3       200        SH       DEFINED     1,2         200
CISCO SYSTEMS INC           COM     17275R102  1,592   88,800     SH       DEFINED     1,2      88,800
CIT GROUP INC               COM     125581108  1,582   35,025     SH       DEFINED     1,2      35,025
CITIGROUP INC               COM     172967101  7,201   158,200    SH       DEFINED     1,2     158,200
CITIZENS COMMUNICATIONS CO  COM     17453B101  5       400        SH       DEFINED     1,2         400
CITRIX SYSTEMS INC          COM     177376100  5       200        SH       DEFINED     1,2         200
CLOROX COMPANY              COM     189054109  11      200        SH       DEFINED     1,2         200
CMS ENERGY CORP             COM     125896100  5       300        SH       DEFINED     1,2         300
CNA SURETY CORPORATION      COM     12612L108  389,986 27,425,147 SH       DEFINED    1,2,4 27,425,147
COACH INC                   COM     189754104  1,261   40,200     SH       DEFINED     1,2      40,200
COCA COLA CO                COM     191216100  669     15,500     SH       DEFINED     1,2      15,500
COCA-COLA ENTERPRISES       COM     191219104  10      500        SH       DEFINED     1,2         500
COLGATE-PALMOLIVE CO        COM     194162103  42      800        SH       DEFINED     1,2         800
COMCAST CORP CL A SPL       CL A    20030N200  5,900   205,000    SH       DEFINED      2      205,000
</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
COMCAST CORP-CL A           CLA     20030N101  3,805   129,502    SH       DEFINED     1,2     129,502
COMERICA                    COM     200340107  1,499   25,450     SH       DEFINED     1,2      25,450
COMMERCE BANCORP INC/NJ     COM     200519106  474     15,440     SH       DEFINED     1,2      15,440
COMMSCOPE INC               COM     203372107  778     44,850     SH       DEFINED      2       44,850
COMPASS BANCSHARES INC      COM     20449H109  9       200        SH       DEFINED     1,2         200
COMPUTER ASSOCIATES INTL INCCOM     204912109  2,128   76,502     SH       DEFINED     1,2      76,502
COMPUTER SCIENCES CORP      COM     205363104  1,659   35,075     SH       DEFINED     1,2      35,075
COMPUWARE CORP              COM     205638109  5       500        SH       DEFINED     1,2         500
COMVERSE TECHNOLOGY INC     COM     205862402  8       300        SH       DEFINED     1,2         300
CONAGRA FOODS INC           COM     205887102  17      700        SH       DEFINED     1,2         700
CONOCOPHILLIPS              COM     20825C104  141     2,022      SH       DEFINED     1,2       2,022
CONSOLIDATED COMMUNICATIONS COM     209034107  272     20,000     SH       DEFINED      2       20,000
CONSOLIDATED EDISON INC     COM     209115104  19      400        SH       DEFINED     1,2         400
CONSTELLATION BRANDS-A W/I  CL A    21036P108  8       300        SH       DEFINED     1,2         300
CONSTELLATION ENERGY GROUP  COM     210371100  18      300        SH       DEFINED     1,2         300
COOPER INDUSTRIES LTD-CL A  CL A    G24182100  14      200        SH       DEFINED     1,2         200
COOPER TIRE & RUBBER        COM     216831107  2       100        SH       DEFINED     1,2         100
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
CORINTHIAN COLLEGES INC     COM     218868107  199     15,000     SH       DEFINED      2       15,000
CORNING INC                 COM     219350105  39      2,000      SH       DEFINED     1,2       2,000
COSTCO WHOLESALE CORP       COM     22160K105  30      700        SH       DEFINED     1,2         700
COUNTRYWIDE FINANCIAL CORP  COM     222372104  26      798        SH       DEFINED     1,2         798
CSX CORP                    COM     126408103  14      300        SH       DEFINED     1,2         300
CUMMINS INC                 COM     231021106  9       100        SH       DEFINED     1,2         100
CVS CORP                    COM     126650100  1,216   41,900     SH       DEFINED     1,2      41,900
DANA CORP                   COM     235811106  2       200        SH       DEFINED     1,2         200
DANAHER CORP                COM     235851102  937     17,400     SH       DEFINED     1,2      17,400
DARDEN RESTAURANTS INC      COM     237194105  6       200        SH       DEFINED     1,2         200
DEERE & CO                  COM     244199105  24      400        SH       DEFINED     1,2         400
DEL MONTE FOODS CO          COM     24522P103  971     90,500     SH       DEFINED      2       90,500
DELL INC.                   COM     24702R101  1,662   48,600     SH       DEFINED     1,2      48,600
DELPHI FINANCIAL GROUP-CL A CLA     247131105  762     16,275     SH       DEFINED      2       16,275
DEVON ENERGY CORPORATION    COM     25179M103  48      700        SH       DEFINED     1,2         700
DEX MEDIA INC               COM     25212E100  1,830   65,850     SH       DEFINED      2       65,850
DIAGEO PLC-SPONSORED ADR    ADR     25243Q205  2,054   35,400     SH       DEFINED      2       35,400
DIGITAL RIVER INC           NOTE    25388BAB0  1,035   1,000,000  PRN      DEFINED     2,3      22,695
DILLARDS INC-CL A           CL A    254067101  2       100        SH       DEFINED     1,2         100
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
DISCOVERY HOLDING CO-A W/I  COM     25468Y107  2,681   185,800    SH       DEFINED      2      185,800
DISNEY (WALT) CO            NOTE    254687AU0  4,573   4,500,000  PRN      DEFINED     2,3     152,749
DOLLAR GENERAL CORP         COM     256669102  7       400        SH       DEFINED     1,2         400
DOMINION RESOURCES INC      NOTE    25746UAT6  590     500,000    PRN      DEFINED     2,3       6,793
DOVER CORP                  COM     260003108  12      300        SH       DEFINED     1,2         300
DOW CHEMICAL CORP           COM     260543103  2,042   49,000     SH       DEFINED     1,2      49,000
DPL INC                     COM     233293109  2,193   78,900     SH       DEFINED      2       78,900
DR HORTON INC               COM     23331A109  14      400        SH       DEFINED     1,2         400
DST SYSTEMS INC             DBCV    233326AB3  628     500,000    PRN      DEFINED     2,3      10,187
DTE ENERGY COMPANY          COM     233331107  14      300        SH       DEFINED     1,2         300
DU PONT (E.I.) DE NEMOURS   COM     263534109  55      1,400      SH       DEFINED     1,2       1,400
DUKE ENERGY CORP            NOTE    264399EJ1  246     200,000    PRN      DEFINED     2,3       8,478
DYCOM INDUSTRIES INC        COM     267475101  5,738   283,800    SH       DEFINED     2,4     283,800
DYNEGY INC-CL A             CL A    26816Q101  2       400        SH       DEFINED     1,2         400
E*TRADE FINANCIAL CORP      COM     269246104  9       500        SH       DEFINED     1,2         500
EASTMAN CHEMICAL COMPANY    COM     277432100  5       100        SH       DEFINED     1,2         100
EASTMAN KODAK CO            COM     277461109  10      400        SH       DEFINED     1,2         400
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
EATON CORP                  COM     278058102  13      200        SH       DEFINED     1,2         200
EBAY INC                    COM     278642103  1,323   32,100     SH       DEFINED     1,2      32,100
ECC CAPITAL CORP            COM     26826M108  1,136   348,500    SH       DEFINED     2,4     348,500
ECOLAB INC                  COM     278865100  10      300        SH       DEFINED     1,2         300
EDISON INTERNATIONAL        COM     281020107  24      500        SH       DEFINED     1,2         500
EDO CORP                    NOTE    281347AD6  3,071   3,000,000  PRN      DEFINED     2,3      95,969
EL PASO CORP                COM     28336L109  13      900        SH       DEFINED     1,2         900
ELECTRONCIS FOR IMAGING     DBCV    286082AA0  1,495   1,450,000  PRN      DEFINED     2,3      54,884
ELECTRONIC ARTS INC         COM     285512109  597     10,500     SH       DEFINED     1,2      10,500
ELECTRONIC DATA SYSTEMS     NOTE    285661AF1  2,909   2,950,000  PRN      DEFINED     2,3      86,409
ELI LILLY & CO              COM     532457108  86      1,600      SH       DEFINED     1,2       1,600
EMC CORP MASS SR NT         NOTE    268648AG7  3,090   3,000,000  PRN      DEFINED     2,3     217,391
EMERSON ELECTRIC CO         COM     291011104  43      600        SH       DEFINED     1,2         600
EMPRESA BRASILIERA DE AE-ADRADR PFD 29081M102  2,316   60,000     SH       DEFINED      2       60,000
ENGELHARD CORP              COM     292845104  6       200        SH       DEFINED     1,2         200
ENTERGY CORP                COM     29364G103  922     12,400     SH       DEFINED     1,2      12,400
EOG RESOURCES INC           COM     26875P101  30      400        SH       DEFINED     1,2         400
EQUIFAX INC                 COM     294429105  7       200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
EQUITY OFFICE PROPERTIES TR COM     294741103  20      600        SH       DEFINED     1,2         600
EQUITY RESIDENTIAL          INT     29476L107  15      400        SH       DEFINED     1,2         400
EXELON CORP                 COM     30161N101  1,790   33,500     SH       DEFINED     1,2      33,500
EXPRESS SCRIPTS INC         COM     302182100  12      200        SH       DEFINED     1,2         200
EXXON MOBIL CORP            COM     30231G102  2,548   40,100     SH       DEFINED     1,2      40,100
FEDERAL NATL MTGE ASSN.     COM     313586109  2,346   52,350     SH       DEFINED     1,2      52,350
FEDERATED DEPARTMENT STORES COM     31410H101  28      424        SH       DEFINED     1,2         424
FEDERATED INVESTORS INC-CL BCL B    314211103  3       100        SH       DEFINED     1,2         100
FEDEX CORP                  COM     31428X106  44      500        SH       DEFINED     1,2         500
FIRST AMERICAN CORPORATION  COM     318522307  3,021   66,150     SH       DEFINED      2       66,150
FIRST CITIZENS BCSHS  -CL A CL A    31946M103  324     1,900      SH       DEFINED      2        1,900
FIRST DATA CORP             COM     319963104  45      1,119      SH       DEFINED     1,2       1,119
FIRST HORIZON NATIONAL CORP COM     320517105  7       200        SH       DEFINED     1,2         200
FIRSTENERGY CORP            COM     337932107  26      500        SH       DEFINED     1,2         500
FISERV INC                  COM     337738108  14      300        SH       DEFINED     1,2         300
FISHER SCIENTIFIC INTL      NOTE    338032AW5  239     170,000    PRN      DEFINED     2,3       3,582
FLIR SYSTEMS INC            NOTE    302445AB7  1,279   870,000    PRN      DEFINED     2,3      19,602
FLUOR CORP                  COM     343412102  6       100        SH       DEFINED     1,2         100
FMC CORP (NEW)              COM     302491303  1,861   32,525     SH       DEFINED      2       32,525
FORD MOTOR CO               COM     345370860  26      2,600      SH       DEFINED     1,2       2,600
FOREST LABORATORIES INC     COM     345838106  19      500        SH       DEFINED     1,2         500
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
FORTUNE BRANDS INC          COM     349631101  16      200        SH       DEFINED     1,2         200
FRANKLIN RESOURCES INC      COM     354613101  25      300        SH       DEFINED     1,2         300
FREDDIE MAC                 COM     313400301  3,009   53,300     SH       DEFINED     1,2      53,300
FREEPORT-MCMORAN COPPER-B   CL B    35671D857  15      300        SH       DEFINED     1,2         300
FREESCALE SEMICONDUCTOR-B   CL B    35687M206  13      564        SH       DEFINED     1,2         564
GANNETT CO                  COM     364730101  28      400        SH       DEFINED     1,2         400
GAP INC/THE                 COM     364760108  17      1,000      SH       DEFINED     1,2       1,000
GENENTECH INC               COM     368710406  1,100   13,060     SH       DEFINED     1,2      13,060
GENERAL DYNAMICS CORP       COM     369550108  36      300        SH       DEFINED     1,2         300
GENERAL ELECTRIC CO         COM     369604103  4,389   130,350    SH       DEFINED     1,2     130,350
GENERAL MILLS INCORPORATED  COM     370334104  988     20,500     SH       DEFINED     1,2      20,500
GENERAL MOTORS              SR CONVA370442741  2,104   88,300     PRN      DEFINED     2,3      88,300
GENERAL MOTORS CORP         COM     370442105  24      800        SH       DEFINED     1,2         800
GENUINE PARTS CO            COM     372460105  13      300        SH       DEFINED     1,2         300
GENZYME CORP                NOTE    372917AN4  2,125   1,850,000  PRN      DEFINED     2,3      25,968
GEORGIA-PACIFIC CORP        COM     373298108  14      400        SH       DEFINED     1,2         400
GILEAD SCIENCES INC         COM     375558103  302     6,200      SH       DEFINED     1,2       6,200
</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
GILLETTE COMPANY            COM     375766102  81      1,400      SH       DEFINED     1,2       1,400
GLENBOROUGH REALTY TRUST INCCOM     37803P105  551     28,675     SH       DEFINED      2       28,675
GLOBAL IMAGING SYSTEMS INC  COM     37934A100  379     11,125     SH       DEFINED      2       11,125
GOLDEN WEST FINANCIAL CORP  COM     381317106  24      400        SH       DEFINED     1,2         400
GOLDMAN SACHS GROUP INC     COM     38141G104  85      700        SH       DEFINED     1,2         700
GOODRICH CORP               COM     382388106  9       200        SH       DEFINED     1,2         200
GOODYEAR TIRE & RUBBER CO   COM     382550101  3       200        SH       DEFINED     1,2         200
GOOGLE INC-CL A             CL A    38259P508  2,310   7,300      SH       DEFINED     1,2       7,300
GUIDANT CORP                COM     401698105  34      500        SH       DEFINED     1,2         500
GUITAR CENTER MG            NOTE    402040AC3  2,124   1,300,000  PRN      DEFINED     2,3      37,594
H&R BLOCK INC               COM     093671105  14      600        SH       DEFINED     1,2         600
HALLIBURTON COMPANY         COM     406216101  254     3,700      SH       DEFINED     1,2       3,700
HANGER ORTHOPEDIC GROUP INC COM     41043F208  424     55,075     SH       DEFINED      2       55,075
HARLEY-DAVIDSON INC         COM     412822108  19      400        SH       DEFINED     1,2         400
HARRAHS ENTERTAINMENT INC   COM     413619107  20      300        SH       DEFINED     1,2         300
HARTFORD FINANCIAL SVCS GRP COM     416515104  39      500        SH       DEFINED     1,2         500
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
HASBRO INC                  COM     418056107  4       200        SH       DEFINED     1,2         200
HCA INC                     COM     404119109  29      600        SH       DEFINED     1,2         600
HEALTH MGMT ASSOCIATES INC-ACL A    421933102  7       300        SH       DEFINED     1,2         300
HENRY SCHEIN INC            NOTE    806407AB8  1,956   1,750,000  PRN      DEFINED     2,3      37,764
HERCULES INC                COM     427056106  1,468   120,100    SH       DEFINED    1,2,4    120,100
HERSHEY CO/THE              COM     427866108  17      300        SH       DEFINED     1,2         300
HEWLETT-PACKARED CO         COM     428236103  2,496   85,485     SH       DEFINED     1,2      85,485
HILTON HOTELS CORP          NOTE    432848AZ2  1,027   900,000    PRN      DEFINED     2,3      40,000
HJ HEINZ CO                 COM     423074103  18      500        SH       DEFINED     1,2         500
HOME DEPOT INC              COM     437076102  118     3,100      SH       DEFINED     1,2       3,100
HONEYWELL INTERNATIONAL INC COM     438516106  45      1,200      SH       DEFINED     1,2       1,200
HORACE MANN EDUCATORS       COM     440327104  1,007   50,900     SH       DEFINED      2       50,900
HOSPIRA INC                 COM     441060100  9       220        SH       DEFINED     1,2         220
HUB INTERNATIONAL LIMITED   COM     44332P101  489     21,550     SH       DEFINED      2       21,550
HUMANA INC                  COM     444859102  10      200        SH       DEFINED     1,2         200
HUNTINGTON BANCSHARES INC   COM     446150104  7       300        SH       DEFINED     1,2         300
HUTCHINSON TECH             NOTE    448407AE6  1,041   1,000,000  PRN      DEFINED     2,3      33,512
</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
IDACORP INC                 COM     451107106  689     22,875     SH       DEFINED      2       22,875
ILLINOIS TOOL WORKS         COM     452308109  33      400        SH       DEFINED     1,2         400
IMS HEALTH INC              COM     449934108  8       300        SH       DEFINED     1,2         300
INCO LTD                    DBCV    453258AT2  4,799   3,152,000  PRN      DEFINED      2      100,660
INGERSOLL-RAND CO LTD-CL A  CL A    G4776G101  23      600        SH       DEFINED     1,2         600
INTEGRA LIFESCIENCES HLD    NOTE    457985AB5  761     635,000    PRN      DEFINED     2,3      18,596
INTEL CORP                  COM     458140100  1,449   58,800     SH       DEFINED     1,2      58,800
INTERNATIONAL BUSINESS MACHICOM     459200101  9,169   114,300    SH       DEFINED     1,2     114,300
INTERPUBLIC GROUP COS       NOTE    460690AT7  1,840   1,570,000  PRN      DEFINED     2,3     126,409
INTL FLAVORS & FRAGRANCES   COM     459506101  4       100        SH       DEFINED     1,2         100
INTL GAME TECHNOLOGY        COM     459902102  14      500        SH       DEFINED     1,2         500
INTL RECTIFIER              NOTE    460254AE5  3,930   4,000,000  PRN      DEFINED     2,3      54,102
INTUIT INC                  COM     461202103  13      300        SH       DEFINED     1,2         300
INVITROGEN INC              NOTE    46185RAJ9  2,176   1,800,000  PRN      DEFINED     2,3      26,378
IPC HOLDINGS LTD            ORD     G4933P101  3,001   91,900     SH       DEFINED      2       91,900
</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
ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848  39,618  3,250,000  SH       DEFINED      2    3,250,000
ITT INDUSTRIES INC          COM     450911102  23      200        SH       DEFINED     1,2         200
IVAX CORP                   NOTE    465823AQ5  1,223   1,000,000  PRN      DEFINED     2,3      44,009
J.C. PENNEY CO INC          COM     708160106  19      400        SH       DEFINED     1,2         400
JABIL CIRCUIT INC           COM     466313103  9       300        SH       DEFINED     1,2         300
JANUS CAPITAL GROUP INC.    COM     47102X105  685     47,400     SH       DEFINED     1,2      47,400
JEFFERSON-PILOT CORP        COM     475070108  10      200        SH       DEFINED     1,2         200
JER INVESTORS TRUST INC     COM     46614H301  903     50,000     SH       DEFINED     2,4      50,000
JOHNSON & JOHNSON           COM     478160104  1,538   24,300     SH       DEFINED     1,2      24,300
JOHNSON CONTROL INC         COM     478366107  2,498   40,250     SH       DEFINED     1,2      40,250
JONES APPAREL GROUP INC     COM     480074103  6       200        SH       DEFINED     1,2         200
JPMORGAN CHASE & COMPANY    COM     46625H100  1,863   54,912     SH       DEFINED     1,2      54,912
KAYDON CORP                 NOTE    486587AB4  713     650,000    PRN      DEFINED     2,3      22,291
KB HOME                     COM     48666K109  7       100        SH       DEFINED     1,2         100
KELLOGG CO                  COM     487836108  23      500        SH       DEFINED     1,2         500
KELLWOOD CO                 COM     488044108  592     22,900     SH       DEFINED      2       22,900
</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
KELLY SERVICES INC -CL A    CL A    488152208  695     22,675     SH       DEFINED      2       22,675
KENNAMETAL INC              COM     489170100  1,084   22,100     SH       DEFINED      2       22,100
KERR MC GEE CORP            COM     492386107  1,476   15,200     SH       DEFINED     1,2      15,200
KEYCORP                     COM     493267108  19      600        SH       DEFINED     1,2         600
KEYSPAN CORP                COM     49337W100  11      300        SH       DEFINED     1,2         300
KIMBERLY CLARK              COM     494368103  935     15,700     SH       DEFINED     1,2      15,700
KINDER MORGAN INC           COM     49455P101  19      200        SH       DEFINED     1,2         200
KKR FINANCIAL CORP          COM     482476306  5,985   320,000    SH       DEFINED     2,4     320,000
KNIGHT RIDDER INC           COM     499040103  6       100        SH       DEFINED     1,2         100
KOHLS CORP                  COM     500255104  25      500        SH       DEFINED     1,2         500
KROGER CO                   COM     501044101  21      1,000      SH       DEFINED     1,2       1,000
L-3 COMMUNICATIONS CORP     COM     502424104  253     3,200      SH       DEFINED     1,2       3,200
LABORATORY CORP OF AMER     NOTE    50540RAC6  2,637   3,600,000  PRN      DEFINED     2,3      48,279
LEAR CORP                   COM     521865105  3,910   115,100    SH       DEFINED      2      115,100
LEGGETT & PLATT INC         COM     524660107  6       300        SH       DEFINED     1,2         300
LEHMAN_BROTHERS_HOLDING INC COM     524908100  2,260   19,400     SH       DEFINED     1,2      19,400
LENNOX INTERNATL            NOTE    526107AB3  1,218   815,000    PRN      DEFINED     2,3      45,059
LEXMARK INTERNATIONAL INC-A CL A    529771107  12      200        SH       DEFINED     1,2         200
LIBBEY INC                  COM     529898108  585     38,475     SH       DEFINED      2       38,475
</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  3,325   413,000    SH       DEFINED      2      413,000
LIBERTY MEDIA               DEB     530718AF2  1,998   1,800,000  PRN      DEFINED     2,3     103,334
LIMITED BRANDS INC          COM     532716107  10      500        SH       DEFINED     1,2         500
LINCARE HOLDINGS            DBCV    532791AB6  1,338   1,340,000  PRN      DEFINED     2,3      25,127
LINCOLN NATIONAL CORP INDIANCOM     534187109  5,218   100,300    SH       DEFINED     1,2     100,300
LINEAR TECHNOLOGY CORP      COM     535678106  15      400        SH       DEFINED     1,2         400
LIZ CLAIBORNE INC           COM     539320101  8       200        SH       DEFINED     1,2         200
LOCKHEED MARTIN CORP        COM     539830109  37      600        SH       DEFINED     1,2         600
LOUISIANA-PACIFIC CORP      COM     546347105  3       100        SH       DEFINED     1,2         100
LOWES COMPANIES             NOTE    548661CG0  4,412   3,900,000  PRN      DEFINED     2,3      67,127
LSI LOGIC CORP              COM     502161102  5       500        SH       DEFINED     1,2         500
LUCENT TECHNOLOGIES INC     COM     549463107  20      6,300      SH       DEFINED     1,2       6,300
M & T BANK CORP             COM     55261F104  21      200        SH       DEFINED     1,2         200
MARATHON OIL CORP           COM     565849106  36      523        SH       DEFINED     1,2         523
MARRIOTT INTERNATIONAL- CL ACLA     571903202  1,436   22,800     SH       DEFINED     1,2      22,800
MARSHALL & ILSLEY CORP      COM     571834100  13      300        SH       DEFINED     1,2         300
MASCO CORP                  COM     574599106  18      600        SH       DEFINED     1,2         600
MASSEY ENERGY CO            NOTE    576203AB9  818     300,000    PRN      DEFINED     2,3      15,472
</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
MATTEL INC                  COM     577081102  8       500        SH       DEFINED     1,2         500
MAXIM INTEGRATED PRODUCTS   COM     57772K101  530     12,430     SH       DEFINED     1,2      12,430
MAYTAG CORP.                COM     578592107  585     32,050     SH       DEFINED      2       32,050
MBIA INC                    COM     55262C100  3,952   65,200     SH       DEFINED     1,2      65,200
MBNA CORP                   COM     55262L100  43      1,750      SH       DEFINED     1,2       1,750
MCCORMICK & CO-NON VTG SHRS COM     579780206  7       200        SH       DEFINED     1,2         200
MCDONALDS CORP              COM     580135101  60      1,800      SH       DEFINED     1,2       1,800
MCGRAW-HILL COMPANIES INC   COM     580645109  24      500        SH       DEFINED     1,2         500
MCI INC                     COM     552691107  2,851   112,200    SH       DEFINED      2      112,200
MCKESSON CORP               COM     58155Q103  19      400        SH       DEFINED     1,2         400
MEADWESTVACO CORP           COM     583334107  8       300        SH       DEFINED     1,2         300
MEDCO HEALTH SOLUTIONS INC  COM     58405U102  23      411        SH       DEFINED     1,2         411
MEDIACOM COMMUNICATIONS CORPCL A    58446K105  1,476   200,000    SH       DEFINED      2      200,000
MEDICIS PHARMACE            NOTE    58470KAA2  1,788   1,500,000  PRN      DEFINED     2,3      25,818
MEDTRONIC INC               COM     585055106  1,056   19,700     SH       DEFINED     1,2      19,700
MEDTRONIC INC               DBCV    585055AD8  499     500,000    PRN      DEFINED     2,3       8,090
MELLON FINANCIAL CORP       COM     58551A108  19      600        SH       DEFINED     1,2         600
MERCURY INTERACTIVE CORP    COM     589405109  4       100        SH       DEFINED     1,2         100
MEREDITH CORP               COM     589433101  5       100        SH       DEFINED     1,2         100
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
MERRILL LYNCH               NOTE    590188A65  298     540,000    PRN      DEFINED     2,3       3,066
MERRILL LYNCH & CO          NOTE    590188W46  5,081   5,000,000  PRN      DEFINED     2,3      69,107
METLIFE INC                 COM     59156R108  2,362   47,400     SH       DEFINED     1,2      47,400
MGI PHARMA INC              NOTE    552880AB2  639     915,000    PRN      DEFINED     2,3      21,744
MGIC INVESTMENT CORP        COM     552848103  13      200        SH       DEFINED     1,2         200
MI DEVELOPMENTS INC-CLASS A CL A    55304X104  327     9,700      SH       DEFINED      2        9,700
MICRON TECHNOLOGY INC       COM     595112103  11      800        SH       DEFINED     1,2         800
MICROSOFT CORP              COM     594918104  6,034   234,500    SH       DEFINED     1,2     234,500
MILACRON INC                COM     598709103  162     91,150     SH       DEFINED      2       91,150
MILLIPORE CORP              COM     601073109  6       100        SH       DEFINED     1,2         100
MOLEX INC                   COM     608554101  5       200        SH       DEFINED     1,2         200
MOLSON COORS BREWING CO -B  CL B    60871R209  6       100        SH       DEFINED     1,2         100
MONEYGRAM INTERNATIONAL     COM     60935Y109  1,882   86,700     SH       DEFINED      2       86,700
MONSANTO CO                 COM     61166W101  27      426        SH       DEFINED     1,2         426
MONSTER WORLDWIDE INC       COM     611742107  6       200        SH       DEFINED     1,2         200
MOODYS CORP                 COM     615369105  20      400        SH       DEFINED     1,2         400
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
MORGAN STANLEY              COM     617446448  2,360   43,750     SH       DEFINED     1,2      43,750
MOTOROLA INC                COM     620076109  77      3,500      SH       DEFINED     1,2       3,500
MSDW ASIA PACIFIC FUND      COM     61744U106  162     11,000     SH       DEFINED      2       11,000
MYLAN LABORATORIES INC      COM     628530107  6       300        SH       DEFINED     1,2         300
NABORS INDUSTRIES LTD       SHS     G6359F103  14      200        SH       DEFINED     1,2         200
NACCO INDUSTRIES-CL A       CL A    629579103  710     6,200      SH       DEFINED      2        6,200
NATIONAL CITY CORP          COM     635405103  27      800        SH       DEFINED     1,2         800
NATIONAL OILWELL VARCO INC  COM     637071101  20      300        SH       DEFINED     1,2         300
NATIONAL SEMICONDUCTOR CORP COM     637640103  13      500        SH       DEFINED     1,2         500
NBTY INC                    COM     628782104  1,144   48,675     SH       DEFINED      2       48,675
NCI BUILDING SYSTEMS INC    COM     628852105  871     21,350     SH       DEFINED      2       21,350
NCR CORPORATION             COM     62886E108  10      300        SH       DEFINED     1,2         300
NEENAH PAPER INC            COM     640079109  0       0          SH       DEFINED     1,2           0
NETWORK APPLIANCE INC       COM     64120L104  655     27,605     SH       DEFINED     1,2      27,605
NEUBERGER BERMAN REALTY INC COM     64126G109  753     40,000     SH       DEFINED      2       40,000
NEWELL RUBBERMAID INC       COM     651229106  9       400        SH       DEFINED     1,2         400
NEWMONT MINING CORP         COM     651639106  28      600        SH       DEFINED     1,2         600
NEWS AMER INC               NOTE    652482AZ3  3,853   6,600,000  PRN      DEFINED     2,3     160,358
</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
NEWS CORP LTD -SPONS ADR PRFCL A    65248E104  7,515   482,036    SH       DEFINED     1,2     482,036
NICOR INC                   COM     654086107  4       100        SH       DEFINED     1,2         100
NIKE INC -CL B              CL B    654106103  33      400        SH       DEFINED     1,2         400
NISOURCE INC                COM     65473P105  3,186   131,400    SH       DEFINED     1,2     131,400
NOBLE CORP                  SHS     G65422100  14      200        SH       DEFINED     1,2         200
NORDSTROM INC               COM     655664100  14      400        SH       DEFINED     1,2         400
NORFOLK SOUTHERN CORP       COM     655844108  24      600        SH       DEFINED     1,2         600
NORTEL NETWORKS             NOTE    656568AB8  8,471   9,000,000  PRN      DEFINED     2,4     900,000
NORTH FORK BANCORPORATION   COM     659424105  18      700        SH       DEFINED     1,2         700
NORTHERN TRUST CORP         COM     665859104  1,082   21,400     SH       DEFINED     1,2      21,400
NORTHROP GRUMMAN CORP       COM     666807102  30      548        SH       DEFINED     1,2         548
NOVELL INC                  COM     670006105  4       500        SH       DEFINED     1,2         500
NOVELLUS SYSTEMS INC        COM     670008101  5       200        SH       DEFINED     1,2         200
NUCOR CORP                  COM     670346105  12      200        SH       DEFINED     1,2         200
NVIDIA CORP                 COM     67066G104  7       200        SH       DEFINED     1,2         200
OCCIDENTAL PETROLEUM CORP   COM     674599105  51      600        SH       DEFINED     1,2         600
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
OFFICE DEPOT INC            COM     676220106  12      400        SH       DEFINED     1,2         400
OFFICEMAX INC               COM     67622P101  3       100        SH       DEFINED     1,2         100
OLD REPUBLIC INTL CORP      COM     680223104  1,449   54,338     SH       DEFINED      2       54,338
OMNICOM GROUP               COM     681919106  25      300        SH       DEFINED     1,2         300
OMNICOM GROUP               NOTE    681919AM8  2,999   3,100,000  PRN      DEFINED     2,3      28,179
ON SEMICONDUCTOR CORPORATIONCOM     682189105  222     43,100     SH       DEFINED     2,4      43,100
ORACLE CORP                 COM     68389X105  77      6,200      SH       DEFINED     1,2       6,200
PACCAR INC                  COM     693718108  20      300        SH       DEFINED     1,2         300
PACTIV CORPORATION          COM     695257105  4       200        SH       DEFINED     1,2         200
PALL CORP                   COM     696429307  6       200        SH       DEFINED     1,2         200
PARAMETRIC TECHNOLOGY CORP  COM     699173100  2       300        SH       DEFINED     1,2         300
PARKER HANNIFIN CORP        COM     701094104  13      200        SH       DEFINED     1,2         200
PAYCHEX INC                 COM     704326107  19      500        SH       DEFINED     1,2         500
PEOPLES ENERGY CORP         COM     711030106  4       100        SH       DEFINED     1,2         100
PEPSI BOTTLING GROUP INC    COM     713409100  9       300        SH       DEFINED     1,2         300
PEPSICO INCORPORATED        COM     713448108  1,384   24,400     SH       DEFINED     1,2      24,400
</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
PERKINELMER INC             COM     714046109  4       200        SH       DEFINED     1,2         200
PETRO-CANADA                COM     71644E102  2,504   60,000     SH       DEFINED      2       60,000
PETROLEO BRASILEIRO S.A.-ADRADR     71654V101  3,825   60,000     SH       DEFINED      2       60,000
PFIZER INC                  COM     717081103  2,877   115,200    SH       DEFINED     1,2     115,200
PG&E CORPORATION            COM     69331C108  3,686   93,900     SH       DEFINED     1,2      93,900
PHARMACEUTICAL HOLDRS TRUST  DEPOSIT71712A206  24,591  350,000    SH       DEFINED      2      350,000
PHELPS DODGE CORP           COM     717265102  26      200        SH       DEFINED     1,2         200
PHH CORP                    COM     693320202  830     30,225     SH       DEFINED      2       30,225
PHILIPS ELECTRONICS-NY SHR  NY REG S500472303  2,649   99,300     SH       DEFINED      2       99,300
PHOTRONICS INC              NOTE    719405AE2  74      55,000     PRN      DEFINED     2,3       3,461
PINNACLE WEST CAPITAL       COM     723484101  9       200        SH       DEFINED     1,2         200
PIONEER NATURAL RESOURCES COCOM     723787107  5,876   107,000    SH       DEFINED      2      107,000
PITNEY BOWES INC            COM     724479100  13      300        SH       DEFINED     1,2         300
PIXAR INC                   COM     725811103  320     7,200      SH       DEFINED     1,2       7,200
PLACER DOME INC             COM     725906101  1,130   65,900     SH       DEFINED      2       65,900
PLUM CREEK TIMBER CO        COM     729251108  11      300        SH       DEFINED     1,2         300
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
PNC FINANCIAL SERVICES GROUPCOM     693475105  23      400        SH       DEFINED     1,2         400
PNM RESOURCES               COM     69349H107  39,785  1,387,681  SH       DEFINED     2,4   1,387,681
PPG INDUSTRIES INC          COM     693506107  18      300        SH       DEFINED     1,2         300
PPL CORPORATION             COM     69351T106  19      600        SH       DEFINED     1,2         600
PRAXAIR INC                 COM     74005P104  1,462   30,500     SH       DEFINED     1,2      30,500
PREMIUM STANDARD FARMS INC  COM     74060C105  8,621   581,682    SH       DEFINED     2,3     581,682
PRIDE INTERNATIONAL INC     NOTE    74153QAD4  2,204   1,750,000  PRN      DEFINED     2,3      68,083
PRINCIPAL FINANCIAL GROUP   COM     74251V102  19      400        SH       DEFINED     1,2         400
PRIORITY HEALTHCARE CORP-B  CL B    74264T102  1,320   47,375     SH       DEFINED      2       47,375
PROCTER & GAMBLE CO         COM     742718109  1,290   21,700     SH       DEFINED     1,2      21,700
PROGRESS ENERGY INC         COM     743263105  18      400        SH       DEFINED     1,2         400
PROGRESSIVE CORP            COM     743315103  1,652   15,770     SH       DEFINED     1,2      15,770
PROLOGIS                    INT     743410102  13      300        SH       DEFINED     1,2         300
PROVIDIAN FINANCIAL CORP    COM     74406A102  7       400        SH       DEFINED     1,2         400
PRUDENTIAL FINANCIAL INC    COM     744320102  54      800        SH       DEFINED     1,2         800
PUBLIC SERVICE ENTERPRISE GPCOM     744573106  26      400        SH       DEFINED     1,2         400
PULTE CORP                  COM     745867101  12,035  280,400    SH       DEFINED     1,2     280,400
QUALCOMM INC                COM     747525103  1,043   23,300     SH       DEFINED     1,2      23,300
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
QUEST DIAGNOSTICS           COM     74834L100  15      300        SH       DEFINED     1,2         300
QWEST COMMUNICATIONS INTL   COM     749121109  9       2,300      SH       DEFINED     1,2       2,300
R.H. DONNELLEY CORP         COM     74955W307  256     4,050      SH       DEFINED      2        4,050
RADIOSHACK CORP             COM     750438103  715     28,850     SH       DEFINED     1,2      28,850
RAYTHEON COMPANY            COM     755111507  27      700        SH       DEFINED     1,2         700
REEBOK INTERNATIONAL LTD    COM     758110100  6       100        SH       DEFINED     1,2         100
REGIONS FINANCIAL CORP      COM     7591EP100  19      620        SH       DEFINED     1,2         620
RENAISSANCERE HOLDINGS LTD  COM     G7496G103  1,572   35,950     SH       DEFINED      2       35,950
RENT-A-CENTER INC           COM     76009N100  2,444   126,575    SH       DEFINED      2      126,575
RESMED INC                  NOTE    761152AB3  1,910   1,450,000  PRN      DEFINED     2,3      23,927
REYNOLDS AMERICAN INC       COM     761713106  17      200        SH       DEFINED     1,2         200
ROBBINS & MYERS INC         COM     770196103  298     13,250     SH       DEFINED      2       13,250
ROBERT HALF INTL INC        COM     770323103  7       200        SH       DEFINED     1,2         200
ROCKWELL AUTOMATION INC     COM     773903109  16      300        SH       DEFINED     1,2         300
ROCKWELL COLLINS INC.       COM     774341101  14      300        SH       DEFINED     1,2         300
ROHM AND HAAS CO            COM     775371107  12      300        SH       DEFINED     1,2         300
ROWAN COMPANIES INC         COM     779382100  7       200        SH       DEFINED     1,2         200
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
RR DONNELLEY & SONS CO      COM     257867101  11      300        SH       DEFINED     1,2         300
RYDER SYSTEM INC            COM     783549108  3       100        SH       DEFINED     1,2         100
SAFECO CORP                 COM     786429100  11      200        SH       DEFINED     1,2         200
SAFEWAY INC                 COM     786514208  15      600        SH       DEFINED     1,2         600
SARA LEE CORP               COM     803111103  1,642   86,650     SH       DEFINED     1,2      86,650
SBC COMMUNICATIONS INC      COM     78387G103  113     4,700      SH       DEFINED     1,2       4,700
SCANA CORP                  COM     80589M102  2,137   50,600     SH       DEFINED      2       50,600
SCHERING-PLOUGH CORP        COM     806605101  44      2,100      SH       DEFINED     1,2       2,100
SCHLUMBERGER LIMITED        COM     806857108  2,860   33,900     SH       DEFINED     1,2      33,900
SCHLUMBERGER LIMITED        DBCV    806857AC2  4,314   3,500,000  PRN      DEFINED     2,3      48,389
SCHWAB (CHARLES) CORP       COM     808513105  23      1,600      SH       DEFINED     1,2       1,600
SCHWEITZER-MAUDUIT INTL INC COM     808541106  876     39,225     SH       DEFINED      2       39,225
SCIENTIFIC-ATLANTA INC      COM     808655104  8       200        SH       DEFINED     1,2         200
SCRIPPS CO (E.W.)-CL A      CL A    811054204  999     20,000     SH       DEFINED      2       20,000
SEALED AIR CORP             COM     81211K100  5       100        SH       DEFINED     1,2         100
SEARS HOLDINGS CORP         COM     812350106  28      225        SH       DEFINED     1,2         225
</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
SEMPRA ENERGY               COM     816851109  19      400        SH       DEFINED     1,2         400
SENOMYX INC                 COM     81724Q107  610     35,800     SH       DEFINED      2       35,800
SHERWIN-WILLIAMS CO/THE     COM     824348106  9       200        SH       DEFINED     1,2         200
SIEBEL SYSTEMS INC          COM     826170102  7       700        SH       DEFINED     1,2         700
SIGMA-ALDRICH               COM     826552101  6       100        SH       DEFINED     1,2         100
SIMON PROPERTY GROUP INC    COM     828806109  22      300        SH       DEFINED     1,2         300
SLM CORP                    DBCV    78442PAC0  512     500,000    PRN      DEFINED     2,3       7,579
SNAP-ON INC                 COM     833034101  4       100        SH       DEFINED     1,2         100
SOLECTRON CORP              NOTE    834182AT4  870     1,160,000  PRN      DEFINED     2,3     119,998
SOUTHERN CO                 COM     842587107  39      1,100      SH       DEFINED     1,2       1,100
SOUTHWEST AIRLINES CO       COM     844741108  15      1,000      SH       DEFINED     1,2       1,000
SOVEREIGN BANCORP INC       COM     845905108  11      500        SH       DEFINED     1,2         500
SPHERION CORPORATION        COM     848420105  1,117   147,000    SH       DEFINED      2      147,000
SPRINT CORP-FON GROUP       COM     852061100  3,665   154,128    SH       DEFINED     1,2     154,128
ST JUDE MEDICAL INC         COM     790849103  1,427   30,500     SH       DEFINED     1,2      30,500
ST PAUL TRAVELERS COS INC/THCOM     792860108  45      1,007      SH       DEFINED     1,2       1,007
STANLEY WORKS/THE           COM     854616109  5       100        SH       DEFINED     1,2         100
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
STAPLES INC                 COM     855030102  22      1,050      SH       DEFINED     1,2       1,050
STARBUCKS CORP              COM     855244109  507     10,115     SH       DEFINED     1,2      10,115
STARWOOD HOTELS & RESORTS   PAIRED C85590A203  17      300        SH       DEFINED     1,2         300
STATE STREET CORP           COM     857477103  24      500        SH       DEFINED     1,2         500
STREETTRACKS GOLD TRUST     GOLD SHS863307104  11,675  250,000    SH       DEFINED      2      250,000
STRYKER CORP                COM     863667101  25      500        SH       DEFINED     1,2         500
SUN HEALTHCARE GROUP INC-W/ICOM     866933401  18      2,480      SH       DEFINED     2,4       2,480
SUN MICROSYSTEMS INC        COM     866810104  19      4,800      SH       DEFINED     1,2       4,800
SUNOCO INC                  COM     86764P109  16      200        SH       DEFINED     1,2         200
SUNTRUST BANKS INC          COM     867914103  35      500        SH       DEFINED     1,2         500
SUPERVALU INC               COM     868536103  6       200        SH       DEFINED     1,2         200
SYMANTEC CORP               COM     871503108  722     31,879     SH       DEFINED     1,2      31,879
SYMBOL TECHNOLOGIES INC     COM     871508107  3       300        SH       DEFINED     1,2         300
SYNOVUS FINANCIAL CORP      COM     87161C105  11      400        SH       DEFINED     1,2         400
SYSCO CORP                  COM     871829107  28      900        SH       DEFINED     1,2         900
T ROWE PRICE GROUP INC      COM     74144T108  13      200        SH       DEFINED     1,2         200
TARGET CORP                 COM     87612E106  1,106   21,300     SH       DEFINED     1,2      21,300
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
TECO ENERGY INC             COM     872375100  5       300        SH       DEFINED     1,2         300
TEKTRONIX INC               COM     879131100  3       100        SH       DEFINED     1,2         100
TELLABS INC                 COM     879664100  6       600        SH       DEFINED     1,2         600
TEMPLE-INLAND INC           COM     879868107  8       200        SH       DEFINED     1,2         200
TEXAS INSTRUMENTS INC       COM     882508104  81      2,400      SH       DEFINED     1,2       2,400
TEXTRON INC                 COM     883203101  1,320   18,400     SH       DEFINED     1,2      18,400
THERMO ELECTRON CORP        COM     883556102  6       200        SH       DEFINED     1,2         200
TIFFANY & CO                COM     886547108  8       200        SH       DEFINED     1,2         200
TIME WARNER INC             COM     887317105  4,390   242,400    SH       DEFINED     1,2     242,400
TJX COS INC                 NOTE    872540AL3  765     1,000,000  PRN      DEFINED     2,3      32,667
TJX COS. INC.    NEW        COM     872540109  1,670   81,525     SH       DEFINED     1,2      81,525
TORCHMARK CORP              COM     891027104  2,059   38,975     SH       DEFINED     1,2      38,975
TRANSOCEAN INC              ORD     G90078109  31      500        SH       DEFINED     1,2         500
TRIBUNE CO                  COM     896047107  14      400        SH       DEFINED     1,2         400
TXU CORP                    COM     873168108  45      400        SH       DEFINED     1,2         400
TYCO INTERNATIONAL LTD      COM     902124106  234     8,400      SH       DEFINED     1,2       8,400
</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
TYCO INTL GROUP SA          DBCV    902118BF4  2,089   1,700,000  PRN      DEFINED     2,3      74,616
UNION PACIFIC               COM     907818108  2,328   32,475     SH       DEFINED     1,2      32,475
UNITED NATIONAL GROUP LTD-A COM     90933T109  534     29,200     SH       DEFINED      2       29,200
UNITED PARCEL SERVICE-CL B  CL B    911312106  111     1,600      SH       DEFINED     1,2       1,600
UNITED STATES STEEL CORP    COM     912909108  8       200        SH       DEFINED     1,2         200
UNITED STATIONERS INC       COM     913004107  917     19,150     SH       DEFINED      2       19,150
UNITED TECHNOLOGIES CORP    COM     913017109  78      1,500      SH       DEFINED     1,2       1,500
UNITEDHEALTH GROUP INC      COM     91324P102  1,562   27,800     SH       DEFINED     1,2      27,800
UNIVERSAL CORP-VA           COM     913456109  701     18,050     SH       DEFINED      2       18,050
UNUMPROVIDENT CORP          COM     91529Y106  8       400        SH       DEFINED     1,2         400
US BANCORP                  COM     902973304  73      2,600      SH       DEFINED     1,2       2,600
USI HOLDINGS CORP           COM     90333H101  737     56,725     SH       DEFINED      2       56,725
UST INC                     COM     902911106  8       200        SH       DEFINED     1,2         200
VALASSIS COMMUNICATIONS INC COM     918866104  667     17,100     SH       DEFINED      2       17,100
VALERO ENERGY CORP          COM     91913Y100  12,482  110,400    SH       DEFINED     1,2     110,400
VARIAN MEDICAL SYSTEMS INC  COM     92220P105  237     5,995      SH       DEFINED     1,2       5,995
</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 CORP       NOTE    923436AD1  3,175   3,299,000  PRN      DEFINED     2,3      80,406
VERIZON COMMUNICATIONS INC. COM     92343V104  991     30,300     SH       DEFINED     1,2      30,300
VF CORP                     COM     918204108  12      200        SH       DEFINED     1,2         200
VIACOM INC-CL B             CL B    925524308  76      2,300      SH       DEFINED     1,2       2,300
VIAD CORP                   COM     92552R406  1,534   56,100     SH       DEFINED      2       56,100
VINTAGE PETROLEUM INC       COM     927460105  5,708   125,000    SH       DEFINED      2      125,000
VISTEON CORP                COM     92839U107  1       100        SH       DEFINED     1,2         100
VULCAN MATERIALS CO         COM     929160109  15      200        SH       DEFINED     1,2         200
WACHOVIA CORP               COM     929903102  1,939   40,745     SH       DEFINED     1,2      40,745
WAL MART STORES INC         COM     931142103  3,602   82,200     SH       DEFINED     1,2      82,200
WALGREEN CO                 COM     931422109  369     8,500      SH       DEFINED     1,2       8,500
WASHINGTON MUTUAL INC       COM     939322103  723     18,425     SH       DEFINED     1,2      18,425
WASTE MANAGEMENT INC        COM     94106L109  23      800        SH       DEFINED     1,2         800
WATERS CORP                 COM     941848103  8       200        SH       DEFINED     1,2         200
WATSON PHARMACEUTICALS INC  COM     942683103  7       200        SH       DEFINED     1,2         200
WELLPOINT INC               COM     94973V107  68      900        SH       DEFINED     1,2         900
</Table>

<Table>
<Caption>

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

Name                        Title                      Shares or                                Voting Authority
of                          of      CUSIP    Value     Principal SH/  Put/ Investment Other     ------------------
Issuer                      Class   Number   (x$1000)  Amount    PRN  Call Discretion Mgrs      Sole   Shared None
WELLS FARGO & COMPANY       COM     949746101  141     2,400      SH       DEFINED     1,2       2,400
WENDYS INTERNATIONAL INC    COM     950590109  9       200        SH       DEFINED     1,2         200
WEYERHAEUSER COMPANY        COM     962166104  4,214   61,300     SH       DEFINED     1,2      61,300
WHIRLPOOL CORPORATION       COM     963320106  2,480   32,725     SH       DEFINED     1,2      32,725
WILLIAMS COS INC            COM     969457100  4,261   170,100    SH       DEFINED     1,2     170,100
WISCONSIN ENERGY CORP       COM     976657106  1,602   40,125     SH       DEFINED      2       40,125
WRIGLEY WM JR CO            COM     982526105  237     3,300      SH       DEFINED     1,2       3,300
WW GRAINGER INC             COM     384802104  6       100        SH       DEFINED     1,2         100
WYETH                       COM     983024100  1,194   25,800     SH       DEFINED     1,2      25,800
XCEL ENERGY INC             COM     98389B100  1,720   87,700     SH       DEFINED     1,2      87,700
XEROX CORP                  COM     984121103  18      1,300      SH       DEFINED     1,2       1,300
XILINX INC                  COM     983919101  369     13,255     SH       DEFINED     1,2      13,255
XL CAPITAL LTD-CLASS A      CL A    G98255105  1,755   25,800     SH       DEFINED     1,2      25,800
XM SATELLITE RADIO HOLD-CL ACL A    983759101  664     18,500     SH       DEFINED     1,2      18,500
XTO ENERGY INC              COM     98385X106  23      500        SH       DEFINED     1,2         500
YAHOO! INC                  FRNT    984332AB2  4,172   2,500,000  PRN      DEFINED     2,3     121,951
</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
YELLOW ROADWAY CORP         NOTE    985577AA3  1,651   1,210,000  PRN      DEFINED     2,3      30,836
YUM! BRANDS INC             COM     988498101  19      400        SH       DEFINED     1,2         400
ZIMMER HOLDINGS INC         COM     98956P102  28      400        SH       DEFINED     1,2         400
ZIONS BANCORPORATION        COM     989701107  14      200        SH       DEFINED     1,2         200
</Table>