FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: September 30,2004
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 15,2004
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.
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 4
Form 13F Information Table Entry Total: 246
Form 13F Information Table Value Total: 1,144,540 (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
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
3M CO COM 88579Y101 1,599 20,000 SH DEFINED 2 20,000
99 CENTS ONLY STORES COM 65440K106 1,423 100,000 SH DEFINED 2,4 100,000
ACCENTURE LTD CL A G1150G111 687 25,400 SH DEFINED 2 25,400
AFTERMARKET TECHNOLOGY CORP COM 008318107 235 18,650 SH DEFINED 2 18,650
AGILENT TECH INC DBCV 00846UAB7 38,095 38,000,000 PRN DEFINED 2,3,4 1,179,391
ALCON INC COM SHS H01301102 481 6,000 SH DEFINED 2 6,000
ALLSTATE CORPORATION COM 020002101 1,468 30,600 SH DEFINED 2 30,600
AMBAC FINANCIAL GROUP INC COM 023139108 1,479 18,500 SH DEFINED 2 18,500
AMEREN CORPORATION COM 023608102 1,325 28,700 SH DEFINED 2 28,700
AMERICAN EXPRESS COM 025816109 1,029 20,000 SH DEFINED 2 20,000
AMERICAN GREET NOTE 026375AJ4 1,061 560,000 PRN DEFINED 2,3 40,290
AMERICAN HOME MORTGAGE INVESCOM 02660R107 1,017 36,375 SH DEFINED 2 36,375
AMERICAN INTL GROUP INC COM 026874107 680 10,000 SH DEFINED 2 10,000
AMERICAN NATIONAL INSURANCE COM 028591105 523 5,400 SH DEFINED 2 5,400
AMERICAN PHYSICIANS CAP INC COM 028884104 1,046 34,175 SH DEFINED 2 34,175
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
AMERUS GROUP CO COM 03072M108 701 17,100 SH DEFINED 2 17,100
AMGEN INC COM 031162100 1,134 20,000 SH DEFINED 2 20,000
AMGEN INC NOTE 031162AE0 14,783 20,250,000 PRN DEFINED 2,4 179,417
ANADARKO PETROLEUM CORP COM 032511107 8,627 130,000 SH DEFINED 2 130,000
ANDREW CORP NOTE 034425AB4 1,293 1,050,000 PRN DEFINED 2,3 76,701
ANHEUSER BUSCH CO COM 035229103 1,733 34,700 SH DEFINED 2 34,700
ANIXTER INTERNATIONAL INC COM 035290105 243 6,925 SH DEFINED 2 6,925
ANTHEM INC COM 03674B104 1,483 17,000 SH DEFINED 2 17,000
AON CORP COM 037389103 3,769 131,150 SH DEFINED 2 131,150
APACHE CORP COM 037411105 210 4,200 SH DEFINED 2 4,200
ARVINMERITOR INC COM 043353101 906 48,325 SH DEFINED 2 48,325
ASHLAND INC COM 044204105 1,890 33,700 SH DEFINED 2 33,700
ASSURANT INC COM 04621X108 452 17,400 SH DEFINED 2 17,400
ASSURED GUARANTY LTD COM G0585R106 1,100 66,000 SH DEFINED 2 66,000
ATMI INC NOTE 00207RAC5 566 500,000 PRN DEFINED 2,3 22,535
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
AXIS CAPITAL HOLDINGS LTD SHS G0692U109 1,235 47,500 SH DEFINED 2 47,500
BANK OF AMERICA CORP COM 060505104 1,288 29,717 SH DEFINED 2 29,717
BANK OF NEW YORK COM 064057102 1,199 41,100 SH DEFINED 2 41,100
BARRICK GOLD CORP COM 067901108 1,376 65,400 SH DEFINED 2 65,400
BEARINGPOINT INC COM 074002106 2,650 296,450 SH DEFINED 2 296,450
BEAZER HOMES USA INC COM 07556Q105 1,069 10,000 SH DEFINED 2 10,000
BEST BUY COMPANY INC COM 086516101 2,387 44,000 SH DEFINED 2 44,000
BOEING COMPANY COM 097023105 2,611 50,575 SH DEFINED 2 50,575
BOSTON SCIENTIFIC CORP COM 101137107 1,708 43,000 SH DEFINED 2 43,000
BOWNE & CO INC COM 103043105 662 50,975 SH DEFINED 2 50,975
BP PLC ADR 055622104 1,841 32,000 SH DEFINED 2 32,000
BRISTOL-MYERS SQUIBB CO COM 110122108 1,007 42,550 SH DEFINED 2 42,550
BROCADE COMMUNICATIONS NOTE 111621AB4 20,570 22,000,000 PRN DEFINED 2,3,4 502,856
BURLINGTON RESOURCES INC COM 122014103 3,305 81,000 SH DEFINED 2 81,000
CABLEVISION SYSTEMS CL A 12686C109 3,192 157,400 SH DEFINED 2 157,400
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
CABOT OIL & GAS CORP COM 127097103 5,837 130,000 SH DEFINED 2 130,000
CAPITAL LEASE FUNDING INC COM 140288101 1,656 150,000 SH DEFINED 2,4 150,000
CENDANT CORP DBCV 151313AN3 32,200 32,000,000 PRN DEFINED 2,4 1,330,560
CENTEX CORP COM 152312104 3,532 70,000 SH DEFINED 2 70,000
CHARLES RIVER DBCV 159863AL3 1,763 1,450,000 PRN DEFINED 2,3 37,304
CHESAPEAKE ENERGY CORP PFDCONV 165167800 288 2,500 SH DEFINED 2,3,4 2,500
CHEVRON TEXACO CORP COM 166764100 3,755 70,000 SH DEFINED 2 70,000
CHICAGO BRIDGE & IRON NYREGSH 167250109 300 10,000 SH DEFINED 2 10,000
CIGNA CORP COM 125509109 1,269 18,225 SH DEFINED 2 18,225
CINERGY CORP COM 172474108 2,871 72,500 SH DEFINED 2 72,500
CISCO SYSTEMS INC COM 17275R102 1,448 80,000 SH DEFINED 2 80,000
CIT GROUP INC COM 125581108 1,783 47,675 SH DEFINED 2 47,675
CITIGROUP INC COM 172967101 5,640 127,825 SH DEFINED 2 127,825
CNA SURETY CORPORATION COM 12612L108 290,707 27,425,147 SH DEFINED 1,2,4 27,425,147
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
CNF INC COM 12612W104 2,582 63,000 SH DEFINED 2 63,000
COACH INC COM 189754104 170 4,000 SH DEFINED 2 4,000
COCA COLA CO COM 191216100 921 23,000 SH DEFINED 2 23,000
COMCAST CORP CL A 20030N200 7,647 273,900 SH DEFINED 2 273,900
COMCAST CORP CLA 20030N101 1,906 67,500 SH DEFINED 2 67,500
COMMSCOPE INC COM 203372107 289 13,375 SH DEFINED 2 13,375
COMPUTER ASSOCIATES INTL INCCOM 204912109 1,992 75,725 SH DEFINED 2 75,725
COOPER CAMERON CORP DBCV 216640AE2 3,229 3,000,000 PRN DEFINED 2,4 43,457
COOPER INDUSTRIES INCORPORATCL A G24182100 1,938 32,850 SH DEFINED 2 32,850
CORNING INC DBCV 219350AJ4 2,792 3,579,000 PRN DEFINED 2,3,4 29,815
CORNING INC NOTE 219350AK1 2,350 2,000,000 PRN DEFINED 2,4 206,718
CREDENCE SYSTEMS CORP NOTE 225302AF5 988 1,000,000 PRN DEFINED 2,3 88,417
CVS CORP COM 126650100 1,475 35,000 SH DEFINED 2 35,000
CYTEC INDUSTRIES INC COM 232820100 1,996 40,775 SH DEFINED 2 40,775
DEL MONTE FOODS CO COM 24522P103 521 49,700 SH DEFINED 2 49,700
DELL COMPUTER CORP COM 24702R101 1,068 30,000 SH DEFINED 2 30,000
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
DELPHI FINANCIAL GROUP CLA 247131105 1,457 36,275 SH DEFINED 2 36,275
DEX MEDIA INC COM 25212E100 1,394 65,850 SH DEFINED 2 65,850
DIAGEO PLC ADR 25243Q205 3,898 77,300 SH DEFINED 2 77,300
DILLARDS INC-CL A CLA 254067101 475 24,075 SH DEFINED 2 24,075
DISNEY (WALT) CO NOTE 254687AU0 35,919 35,000,000 PRN DEFINED 2,3,4 1,188,051
DISNEY WALT CO COM 254687106 226 10,000 SH DEFINED 2 10,000
DOMINION RESOURCES INC NOTE 25746UAP4 8,298 8,125,000 PRN DEFINED 2,4 110,390
DOUBLECLICK INC NOTE 258609AE6 8,925 10,500,000 PRN DEFINED 2,3,4 800,427
DST SYSTEMS INC DBCV 233326AD9 1,960 1,710,000 PRN DEFINED 2,3 34,838
DUKE ENERGY CORP NOTE 264399EJ1 7,455 7,000,000 PRN DEFINED 2,3,4 296,736
ELECTRONCIS FOR IMAGING DBCV 286082AA0 1,383 1,450,000 PRN DEFINED 2,3 54,884
ELECTRONIC DATA SYSTEMS NOTE 285661AF1 19,427 19,500,000 PRN DEFINED 2,3,4 571,178
ENTERGY CORP COM 29364G103 4,915 81,100 SH DEFINED 2 81,100
ESTERLINE TECHNOLOGIES CORP COM 297425100 407 13,300 SH DEFINED 2 13,300
EXELON CORP COM 30161N101 3,331 90,800 SH DEFINED 2 90,800
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
FALCON FINANCIAL INVESTMENT COM 306032103 2,200 271,890 SH DEFINED 2,4 271,890
FEDERAL HM LOAN MORTGAGE CORCOM 313400301 2,588 39,675 SH DEFINED 2 39,675
FEDERAL NATL MTGE ASSN. COM 313586109 1,268 20,000 SH DEFINED 2 20,000
FEDERATED DEPART STORES INC COM 31410H101 1,363 30,000 SH DEFINED 2 30,000
FIRST CITIZENS BCSHS CL A 31946M103 224 1,900 SH DEFINED 2 1,900
FISHER SCIENTIFIC INTL NOTE 338032AW5 356 250,000 PRN DEFINED 2,3 5,267
FLIR SYSTEMS INC NOTE 302445AB7 1,077 700,000 PRN DEFINED 2,3 15,771
FMC CORP (NEW) COM 302491303 1,333 27,450 SH DEFINED 2 27,450
FMC TECHNOLOGIES INC COM 30249U101 1,548 46,346 SH DEFINED 2 46,346
GAP INC NOTE 364760AJ7 1,659 1,360,000 PRN DEFINED 2,3 84,368
GARDNER DENVER INC COM 365558105 926 33,600 SH DEFINED 2 33,600
GATX CORP COM 361448103 332 12,450 SH DEFINED 2 12,450
GENERAL CABLE CORP COM 369300108 777 73,050 SH DEFINED 2 73,050
GENERAL ELECTRIC CO COM 369604103 4,634 138,000 SH DEFINED 2 138,000
GENERAL MARITIME CORP SHS Y2692M103 3,831 110,000 SH DEFINED 2 110,000
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 MOTORS SR CONVA370442741 20,328 800,000 SH DEFINED 2,3,4 800,000
GILEAD SCIENCES NOTE 375558AD5 1,212 750,000 PRN DEFINED 2,3 15,957
GLENBOROUGH REALTY TRUST INCCOM 37803P105 596 28,675 SH DEFINED 2 28,675
GLIMCHER REALTY TRUST SH BEN 379302102 629 25,875 SH DEFINED 2 25,875
GUITAR CENTER MG NOTE 402040AC3 1,828 1,300,000 PRN DEFINED 2,3 37,594
HANGER ORTHOPEDIC GROUP INC COM 41043F208 142 28,350 SH DEFINED 2 28,350
HEALTH NET INC COM 42222G108 2,104 85,125 SH DEFINED 2 85,125
HERMAN MILLER INC COM 600544100 205 8,300 SH DEFINED 2 8,300
HEWLETT-PACKARD CO. COM 428236103 1,880 100,250 SH DEFINED 2 100,250
HONDA MOTOR CO LTD AMERNSHS438128308 3,016 123,800 SH DEFINED 2 123,800
HORACE MANN EDUCATORS COM 440327104 895 50,900 SH DEFINED 2 50,900
HUTCHINSON TECH NOTE 448407AE6 1,096 1,000,000 PRN DEFINED 2,3 33,512
IKON MBIA INC. COM 55262C100 1,167 20,050 SH DEFINED 2 20,050
INCO LTD NOTE 453258AM7 5,300 5,000,000 PRN DEFINED 2,4 132,765
INCO LTD DBCV 453258AT2 4,295 3,152,000 PRN DEFINED 2 100,660
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
INTEGRA LIFESCIENCES HLD NOTE 457985AB5 731 635,000 PRN DEFINED 2,3 18,596
INTEL CORP COM 458140100 1,003 50,000 SH DEFINED 2 50,000
INTERNATIONAL BUSINESS MACHICOM 459200101 4,716 55,000 SH DEFINED 2 55,000
INTERPUBLIC GROUP COS NOTE 460690AT7 1,985 1,670,000 PRN DEFINED 2,3 134,461
INTERPUBLIC GRP NOTE 460690AJ9 24,196 25,503,000 PRN DEFINED 2,4 449,261
INTL GAME TECHNOLOGY DBCV 459902AL6 1,672 2,000,000 PRN DEFINED 2,4 42,341
INTL RECTIFIER NOTE 460254AE5 24,918 25,297,000 PRN DEFINED 2,4 342,152
INVITROGEN INC NOTE 46185RAF7 1,980 1,800,000 PRN DEFINED 2,3 26,378
IPC HOLDINGS LTD ORD G4933P101 2,824 74,300 SH DEFINED 2 74,300
IVAX CORP NOTE 465823AJ1 1,954 1,850,000 PRN DEFINED 2,3 77,440
JANUS CAPITAL GROUP INC. COM 47102X105 784 57,600 SH DEFINED 2 57,600
JOHNSON & JOHNSON COM 478160104 1,127 20,000 SH DEFINED 2 20,000
JPMORGAN CHASE & COMPANY COM 46625H100 2,920 73,500 SH DEFINED 2 73,500
KAYDON CORP NOTE 486587AB4 755 650,000 PRN DEFINED 2,3 22,291
KENNAMETAL INC COM 489170100 452 10,000 SH DEFINED 2 10,000
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
KIMBERLY CLARK COM 494368103 1,615 25,000 SH DEFINED 2 25,000
L-3 COMMUNICATIONS CORP COM 502424104 335 5,000 SH DEFINED 2 5,000
LEAR SEATING CORP COM 521865105 2,494 45,800 SH DEFINED 2 45,800
LENNOX INTERNATL NOTE 526107AB3 920 815,000 PRN DEFINED 2,3 45,059
LIBERTY MEDIA COMSERA 530718105 3,601 413,000 SH DEFINED 2 413,000
LIBERTY MEDIA INTL INC COM 530719103 53 1,584 SH DEFINED 2 1,584
LINCOLN NATIONAL CORP INDIANCOM 534187109 1,880 40,000 SH DEFINED 2 40,000
LOCKHEED MARTIN CORP COM 539830109 865 15,500 SH DEFINED 2 15,500
LOWES COMPANIES NOTE 548661CG0 20,500 20,000,000 PRN DEFINED 2,3,4 344,240
MARSH & MCLENNAN COS INC COM 571748102 915 20,000 SH DEFINED 2 20,000
MASCO CORPORATION COM 574599106 345 10,000 SH DEFINED 2 10,000
MASSEY ENERGY CO NOTE 576203AB9 525 300,000 PRN DEFINED 2,3 15,472
MBNA CORPORATION COM 55262L100 1,401 55,600 SH DEFINED 2 55,600
MCKESSON HBOC INC COM 58155Q103 1,068 41,650 SH DEFINED 2 41,650
MEDIACOM COMMUNICATIONS CORPCL A 58446K105 1,306 200,000 SH DEFINED 2 200,000
MEDICIS PHARMACE NOTE 58470KAA2 2,160 1,500,000 PRN DEFINED 2,3 25,818
MEDTRONIC INC COM 585055106 1,609 31,000 SH DEFINED 2 31,000
MERRILL LYNCH FRNT 590188A73 42,259 42,500,000 PRN DEFINED 2,3,4 587,405
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
METHANEX CORP COM 59151K108 1,658 110,000 SH DEFINED 2 110,000
METLIFE INC COM 59156R108 2,763 71,500 SH DEFINED 2 71,500
METROCALL HOLDINGS INC COM 59164X105 4,260 65,690 SH DEFINED 2,4 65,690
MICRON TECH NOTE 595112AG8 1,808 1,500,000 PRN DEFINED 2,3 127,248
MICROSOFT CORP COM 594918104 3,398 122,900 SH DEFINED 2 122,900
MILACRON INC COM 598709103 196 62,775 SH DEFINED 2 62,775
MONEYGRAM INTERNATIONAL COM 60935Y109 1,481 86,700 SH DEFINED 2 86,700
MORGAN STANLEY ASIA-PACIF FDCOM 61744U106 797 70,700 SH DEFINED 2 70,700
NACCO INDS INC CL A CL A 629579103 534 6,200 SH DEFINED 2 6,200
NCI BUILDING SYSTEMS INC COM 628852105 711 22,275 SH DEFINED 2 22,275
NEUBERGER BERMAN REALTY INC COM 64126G109 701 40,000 SH DEFINED 2 40,000
NEWS AMER INC NOTE 652482AZ3 50,088 87,300,000 PRN DEFINED 2,3,4 1,060,547
NEWS CORP LTD ADR 652487802 6,598 210,607 SH DEFINED 2 210,607
NISOURCE INC COM 65473P105 4,170 198,500 SH DEFINED 2 198,500
NORTEL NETWORKS NOTE 656568AB8 8,685 9,000,000 PRN DEFINED 2,4 900,000
NORTHERN TRUST CORP COM 665859104 1,469 36,000 SH DEFINED 2 36,000
NOVOGEN LIMITED ADR 67010F103 454 24,950 SH DEFINED 2 24,950
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
OAK INDUSTRIES NOTE 671400AL3 18,036 17,532,000 PRN DEFINED 2,4 1,129,638
OHIO CASUALTY CORP COM 677240103 711 33,975 SH DEFINED 2 33,975
OLD REPUBLIC INTL CORP COM 680223104 5,115 204,338 SH DEFINED 2 204,338
OMNICOM GROUP NOTE 681919AK2 3,985 4,000,000 PRN DEFINED 2,4 36,360
OMNICOM GROUP NOTE 681919AM8 12,344 12,500,000 PRN DEFINED 2,3,4 113,625
P G 7 E CORPORATION COM 69331C108 4,451 146,400 SH DEFINED 2 146,400
PAPA JOHN'S INTL INC COM 698813102 614 20,025 SH DEFINED 2 20,025
PAYLESS SHOESOURCE INC COM 704379106 983 97,050 SH DEFINED 2 97,050
PEPSICO INCORPORATED COM 713448108 1,557 32,000 SH DEFINED 2 32,000
PETRO-CANADA COM 71644E102 1,559 30,000 SH DEFINED 2 30,000
PFIZER INC COM 717081103 3,210 104,900 SH DEFINED 2 104,900
PHILLIPS PETROLEUM COMPANY COM 20825C104 1,527 18,425 SH DEFINED 2 18,425
PHOTRONICS INC NOTE 719405AE2 174 135,000 PRN DEFINED 2,3 8,496
PIONEER NATURAL RESOURCES COCOM 723787107 1,379 40,000 SH DEFINED 2 40,000
PIONEER STANDARD ELECTRONICSCOM 00847J105 464 26,825 SH DEFINED 2 26,825
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
PLACER DOME INC COM 725906101 2,070 104,100 SH DEFINED 2 104,100
PMI GROUP INC COM 69344M101 1,623 40,000 SH DEFINED 2 40,000
PRECISION CASTPARTS CORP COM 740189105 1,578 26,275 SH DEFINED 2 26,275
PRIME HOSPITALITY CORP COM 741917108 78 6,375 SH DEFINED 2,4 6,375
PROTECTIVE LIFE CORP COM 743674103 1,013 25,775 SH DEFINED 2 25,775
PUBLIC SERVICE CO OF N MEX COM 69349H107 636 28,238 SH DEFINED 2 28,238
PULTE CORP COM 745867101 8,592 140,000 SH DEFINED 2 140,000
R.H. DONNELLEY CORP COM 74955W307 967 19,600 SH DEFINED 2 19,600
RADIAN GROUP INC COM 750236101 750 16,225 SH DEFINED 2 16,225
RENT-A-CENTER INC COM 76009N100 933 36,075 SH DEFINED 2 36,075
RESMED INC NOTE 761152AB3 1,501 1,450,000 PRN DEFINED 2,3 23,927
ROBBINS & MYERS INC COM 770196103 292 13,250 SH DEFINED 2 13,250
RYLAND GROUP INC COM 783764103 1,853 20,000 SH DEFINED 2 20,000
SABRE GROUP HOLDINGS INC CLA 785905100 245 10,000 SH DEFINED 2 10,000
SANMINA CORP SDCV 800907AD9 42,801 81,915,000 PRN DEFINED 2,3,4 531,022
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 1,956 85,550 SH DEFINED 2 85,550
SCANA CORP COM 80589M102 2,927 78,400 SH DEFINED 2 78,400
SCHLUMBERGER LIMITED COM 806857108 3,776 56,100 SH DEFINED 2 56,100
SCHLUMBERGER LIMITED DBCV 806857AC2 3,285 3,000,000 PRN DEFINED 2,4 41,477
SCHWEITZER-MAUDUIT INTL INC COM 808541106 423 13,050 SH DEFINED 2 13,050
SOLECTRON CORP NOTE 834182AS6 3,302 3,960,000 PRN DEFINED 2,3,4 409,649
SPANISH BROADCASTING SYS CL A 846425882 2,061 209,432 SH DEFINED 2,4 209,432
SPHERION CORPORATION COM 848420105 531 67,950 SH DEFINED 2 67,950
SPRINT CORP COM 852061100 4,026 200,000 SH DEFINED 2 200,000
SUN HEALTHCARE GROUP INC COM 866933401 20 2,480 SH DEFINED 2,4 2,480
TARGET CORP COM 87612E106 1,810 40,000 SH DEFINED 2 40,000
TEEKAY SHIPPING CORP COM Y8564W103 1,767 41,000 SH DEFINED 2 41,000
TEJON RANCH COM 879080109 776 20,600 SH DEFINED 2 20,600
TEVA PHARMACEUT FIN BV DBCV 88164RAA5 2,725 2,835,000 PRN DEFINED 2,4 74,801
TEXTRON INC COM 883203101 1,170 18,200 SH DEFINED 2 18,200
TJX COS INC NOTE 872540AL3 5,559 6,800,000 PRN DEFINED 2,3,4 222,136
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
TORCHMARK CORP COM 891027104 1,423 26,750 SH DEFINED 2 26,750
TRIARC COMPANIES CL A 895927101 198 17,350 SH DEFINED 2 17,350
TRIARC COS-B CLB SER1895927309 398 34,700 SH DEFINED 2 34,700
TRINITY INDUSTRIES COM 896522109 627 20,125 SH DEFINED 2 20,125
TRIQUINT SEMICON NOTE 89674KAB9 4,813 5,000,000 PRN DEFINED 2,3,4 73,746
UNION PACIFIC COM 907818108 1,880 32,075 SH DEFINED 2 32,075
UNITED NATIONAL GROUP CLA 91103X102 424 29,200 SH DEFINED 2 29,200
UNITED PARCEL SERVICE CL B 911312106 1,784 23,500 SH DEFINED 2 23,500
UNIVERSAL CORP-VA COM 913456109 480 10,750 SH DEFINED 2 10,750
UNOCAL CORP COM 915289102 3,496 81,300 SH DEFINED 2 81,300
US CORPORATION COM 91729Q101 724 20,175 SH DEFINED 2 20,175
VALASSIS COMMUNICATIONS INC COM 918866104 877 29,650 SH DEFINED 2 29,650
VALERO ENERGY CORP COM 91913Y100 4,412 55,000 SH DEFINED 2 55,000
VERZION COMMUNICATIONS INC COM 92343V104 1,040 26,400 SH DEFINED 2 26,400
VIAD CORP COM 92552R406 1,331 56,100 SH DEFINED 2 56,100
VINTAGE PETROLEUM INC COM 927460105 3,011 150,000 SH DEFINED 2 150,000
VODAFONE AIRTOUCH ADR 92857W100 2,175 90,200 SH DEFINED 2 90,200
WAL MART STORES INC COM 931142103 1,064 20,000 SH DEFINED 2 20,000
WALTER INDUSTRIES INC COM 93317Q105 333 20,800 SH DEFINED 2 20,800
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
WASHINGTON MUTUAL INC COM 939322103 1,293 33,075 SH DEFINED 2 33,075
WELLS FARGO COMPANY COM 949746101 1,789 30,000 SH DEFINED 2 30,000
WEYERHAEUSER COMPANY COM 962166104 2,327 35,000 SH DEFINED 2 35,000
WHIRLPOOL CORPORATION COM 963320106 2,102 34,975 SH DEFINED 2 34,975
WILLIAMS COS INC COM 969457100 3,376 279,000 SH DEFINED 2 279,000
WISCONSIN ENERGY CORP COM 976657106 2,373 74,375 SH DEFINED 2 74,375
WYETH COM 983024100 1,122 30,000 SH DEFINED 2 30,000
XCEL ENERGY INC COM 98389B100 2,014 116,300 SH DEFINED 2 116,300
XL CAPITAL LTD-CLASS A CL A G98255105 1,894 25,600 SH DEFINED 2 25,600
YELLOW ROADWAY CORP NOTE 985509AN8 2,057 1,350,000 PRN DEFINED 2,3 34,404
YORK INTERNATIONAL CORP COM 986670107 591 18,700 SH DEFINED 2 18,700