-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, P5tQ5AwDP45yRK6od3Ggjg0cAb3GsD8XrQ7XQhixrD8NkIa00PU3h6a+MwH9L+6v Kpn0eI8iXC+1mi8eqZw3EQ== 0000021175-03-000011.txt : 20030513 0000021175-03-000011.hdr.sgml : 20030513 20030513135436 ACCESSION NUMBER: 0000021175-03-000011 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20030331 FILED AS OF DATE: 20030513 EFFECTIVENESS DATE: 20030513 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CNA FINANCIAL CORP CENTRAL INDEX KEY: 0000021175 STANDARD INDUSTRIAL CLASSIFICATION: FIRE, MARINE & CASUALTY INSURANCE [6331] IRS NUMBER: 366169860 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-00346 FILM NUMBER: 03694930 BUSINESS ADDRESS: STREET 1: CNA PLZ STREET 2: 235 CITY: CHICAGO STATE: IL ZIP: 60685 BUSINESS PHONE: 3128225000 MAIL ADDRESS: STREET 1: CNA PLAZA STREET 2: 235 CITY: CHICAGO STATE: IL ZIP: 60685 13F-HR 1 cnafmartm.txt FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31,2003 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: CNA Financial Corporation Address: CNA Plaza Chicago, IL 60685 13F File Number: 28-346 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct, and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Lynne Gugenheim Title: Senior Vice President and Deputy General Counsel Phone: (312) 822 4921 Signature, Place, and Date of Signing: May 12,2003 Chicago, Illinois, 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: 308 Form 13F Information Table Value Total: 1,371,497 (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 ACUITY BRANDS INC COM 00508Y102 362 26,950 SH DEFINED 2 26,950 ACXIOM CORP NOTE 005125AB5 3,883 3,200,000 PRN DEFINED 2,3 175,322 ACXIOM CORP COM 005125109 1,908 115,625 SH DEFINED 2,3 115,625 AETNA INC COM 00817Y108 1,093 22,175 SH DEFINED 2 22,175 AFFILIATED COMPUTER SVCS CLA 008190100 1,631 35,900 SH DEFINED 2,3 35,900 AFFIL COMPUTER NOTE 008190AF7 2,919 2,400,000 PRN DEFINED 2,3 55,256 AFFILIATED MANAGERS GROUP COM 008252108 3,340 78,600 SH DEFINED 2,3,4 78,600 AGERE SYSTEMS INC CLA 00845V100 175 109,200 SH DEFINED 2 109,200 AGILENT TECHNOLOGIES INC COM 00846U101 6,231 447,600 SH DEFINED 2,3,4 447,600 AGILENT TECH INC DBCV 00846UAB7 25,550 28,000,000 PRN DEFINED 2,3,4 869,025 AIR PRODUCTS & CHEMICAL COM 009158106 290 7,000 SH DEFINED 2 7,000 ALCOA INC COM 013817101 2,132 110,000 SH DEFINED 2,3 110,000 ALLEGHENY ENERGY INC COM 017361106 977 157,300 SH DEFINED 2 157,300 ALLSTATE CORPORATION COM 020002101 683 20,600 SH DEFINED 2 20,600 AMBAC FINANCIAL GROUP INC COM 023139108 2,526 50,000 SH DEFINED 2,4 50,000 AMERADA HESS COM 023551104 1,992 45,000 SH DEFINED 2,4 45,000 AMERICA ONLINE Note 02364JAC8 58 100,000 PRN DEFINED 2,4 583 AMERICAN EXPRESS COM 025816109 2,160 65,000 SH DEFINED 2,3 65,000
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 AMERICAN GREETING CORP CLA 026375105 641 48,590 SH DEFINED 2,3 48,590 AMERICAN INTL GROUP INC COM 026874107 1,484 30,000 SH DEFINED 2,3 30,000 AMER INTL GROUP DBCV 026874AP2 1,294 2,000,000 PRN DEFINED 2,4 12,125 AMERICAN NATIONAL INSURANCE COM 028591105 323 4,150 SH DEFINED 2 4,150 AMERICAN PHYSICIANS CAP COM 028884104 598 28,200 SH DEFINED 2 28,200 AMERISOURCE HEALTH CORP NOTE 03071PAD4 3,215 2,560,000 PRN DEFINED 2,3 48,330 AMERISOURCEBERGEN CORP COM 03073E105 2,054 38,470 SH DEFINED 2,3 38,470 AMGEN INC COM 031162100 8,731 149,100 SH DEFINED 2,3,4 149,100 ANADARKO PETROLEUM CORP COM 032511107 3,413 75,000 SH DEFINED 2,4 75,000 ANHEUSER BUSCH CO COM 035229103 1,864 40,000 SH DEFINED 2,3 40,000 ANIXTER INTERNATIONAL INC COM 035290105 317 13,975 SH DEFINED 2 13,975 AON CORP COM 037389103 7,468 361,100 SH DEFINED 2,4 361,100 APACHE CORP COM 037411105 1,653 26,775 SH DEFINED 2,3 26,775 APPLIED MATERIALS INC. COM 038222105 944 75,000 SH DEFINED 2,3 75,000 ARCHER DANIELS COM 039483102 1,344 124,400 SH DEFINED 2 124,400 ARTESYN TECHNOLOGIES INC COM 043127109 365 117,775 SH DEFINED 2 117,775 ARVINMERITOR INC COM 043353101 473 33,800 SH DEFINED 2 33,800 ASHLAND INC COM 044204105 1,060 35,725 SH DEFINED 2 35,725
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 ATLAS AIR WORLDWIDE HLDGS COM 049164106 39 49,000 SH DEFINED 1,2,4 49,000 BISYS GROUP COM 055472104 843 50,800 SH DEFINED 2,3 50,800 BISYS GROUP NOTE 055472AB0 2,567 2,650,000 PRN DEFINED 2,3 79,356 BJ SERVICES CO COM 055482103 1,403 40,000 SH DEFINED 2,3,4 40,000 BANK OF AMERICA CORP COM 060505104 2,339 35,000 SH DEFINED 2,3 35,000 BANK OF NEW YORK COM 064057102 843 41,100 SH DEFINED 2 41,100 BARNES & NOBLE INC COM 067774109 981 51,380 SH DEFINED 2,3 51,380 BARNES & NOBLE NOTE 067774AD1 2,402 2,450,000 PRN DEFINED 2,3 75,357 BARRICK GOLD CORP COM 067901108 4,894 314,500 SH DEFINED 2,4 314,500 BAXTER INTL COM 071813109 4,493 234,500 SH DEFINED 2,3,4 234,500 BAXTER INTERNATIONAL CORP 071813406 6,932 180,000 SH DEFINED 2,3,4 180,000 BEA SYSTEMS INC NOTE 073325AD4 11,585 12,500,000 PRN DEFINED 2,4 360,750 BELLSOUTH CORP COM 079860102 423 19,500 SH DEFINED 2 19,500 BOEING COMPANY COM 097023105 885 35,300 SH DEFINED 2 35,300 BOSTON PROPERTIES INC COM 101121101 1,137 30,000 SH DEFINED 2,4 30,000 BOWNE & CO INC COM 103043105 442 44,175 SH DEFINED 2 44,175 BRISTOL-MYERS SQUIBB CO COM 110122108 1,072 50,725 SH DEFINED 2 50,725 BURLINGTON RESOURCES INC COM 122014103 2,729 57,200 SH DEFINED 2 57,200
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 CIGNA CORP COM 125509109 1,074 23,500 SH DEFINED 2 23,500 CIT GROUP INC COM 125581108 4,045 239,925 SH DEFINED 2,4 239,925 CNA SURETY CORPORATION COM 12612L108 219,401 27,425,147 SH DEFINED 1,2,4 27,425,147 CNF INC COM 12612W104 1,124 36,925 SH DEFINED 2 36,925 CSX CORP. COM 126408103 627 22,000 SH DEFINED 2 22,000 CABLEVISION SYSTEMS CLA 12686C109 2,062 108,600 SH DEFINED 2 108,600 CARDINAL HEALTH INC. COM 14149Y108 3,671 64,437 SH DEFINED 2,3 64,437 CARNIVAL CORP COM 143658300 2,378 97,000 SH DEFINED 2,3,4 97,000 CELESTICA INC SUB 15101Q108 535 44,100 SH DEFINED 2,3,4 44,100 CELESTICA INC NOTE 15101QAA6 34,233 69,185,000 PRN DEFINED 2,3,4 392,611 CENDANT CORPORATION COM 151313103 2,390 185,600 SH DEFINED 2,3,4 185,600 CENDANT CORP DEBT 151313AF0 9,189 14,005,000 PRN DEFINED 2,3,4 467,767 CENDANT CORP DBCV 151313AN3 35,297 34,500,000 PRN DEFINED 2,4 1,434,510 CENTEX CORP COM 152312104 2,990 55,000 SH DEFINED 2,4 55,000 CEPHALON INC COM 156708109 840 20,400 SH DEFINED 2,3 20,400 CEPHALON INC NOTE 156708AE9 2,704 3,000,000 PRN DEFINED 2,3 37,037 CHARLES RIVER LABS DBCV 159863AL3 1,448 1,450,000 PRN DEFINED 2,3 37,304 CHARLES RIVER LABS COM 159864107 679 26,000 SH DEFINED 2,3 26,000
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 CHEVRON TEXACO CORP COM 166764100 3,168 49,000 SH DEFINED 2,3,4 49,000 CHIRON CORP COM 170040109 1,891 49,300 SH DEFINED 2,3,4 49,300 CHIRON CORP NOTE 170040AE9 19,989 34,500,000 PRN DEFINED 2,3,4 247,065 CISCO SYSTEMS INC COM 17275R102 3,180 245,000 SH DEFINED 2,3 245,000 CITIGROUP INC COM 172967101 14,083 408,800 SH DEFINED 2,3,4 408,800 CLEAR CHANNEL COM 184502102 1,696 50,000 SH DEFINED 2,3 50,000 CLEVELAND-CLIFFS INC COM 185896107 316 16,925 SH DEFINED 2 16,925 COMMSCOPE INC COM 203372107 298 39,750 SH DEFINED 2 39,750 COMPUTER ASSOCIATES INTL COM 204912109 1,976 144,625 SH DEFINED 2 144,625 PHILLIPS PETROLEUM CO COM 20825C104 614 11,450 SH DEFINED 2 11,450 CORNING INC DBCV 219350AJ4 14,306 21,000,000 PRN DEFINED 2,4 174,938 COX COMMUN INC SDEB 224044AX5 40,044 85,200,000 PRN DEFINED 2,3,4 646,736 CYTEC INDUSTRIES INC COM 232820100 1,001 35,925 SH DEFINED 2 35,925 DR HORTON INC COM 23331A109 10,176 530,000 SH DEFINED 2,4 530,000 DEL MONTE FOODS CO COM 24522P103 271 36,375 SH DEFINED 2 36,375 DELL COMPUTER CORP COM 247025109 2,185 80,000 SH DEFINED 2,3 80,000 DELPHI FINANCIAL GROUP CLA 247131105 2,899 74,000 SH DEFINED 2 74,000 DIAMONDS TRUST SERIES I UNIT 252787106 39,910 500,000 SH DEFINED 2 500,000
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 DILLARDS INC CLA 254067101 387 29,950 SH DEFINED 2 29,950 DOMINION RESOURCES INC COM 25746U109 1,400 25,000 SH DEFINED 2,3,4 25,000 DOUBLECLICK NOTE 258609AC0 20,501 21,422,000 PRN DEFINED 2,4 519,321 DU PONT DE NEMOURS E.I. COM 263534109 1,749 45,000 SH DEFINED 2,3 45,000 DYCOM INDUSTRIES INC COM 267475101 2,334 225,934 SH DEFINED 2,4 225,934 EDO CORP COM 281347104 193 10,400 SH DEFINED 2,3 10,400 EDO CORP NOTE 281347AD6 508 500,000 PRN DEFINED 2,3 15,995 EL PASO CORP COM 28336L109 1,386 229,100 SH DEFINED 2 229,100 ELDERTRUST COM 284560109 1,424 208,200 SH DEFINED 2,4 208,200 ELECTRONIC DATA SYSTEMS COM 285661104 733 41,675 SH DEFINED 2 41,675 ENCANA CORP COM 292505104 1,113 34,400 SH DEFINED 2 34,400 ENTERASYS NETWORKS INC COM 293637104 332 179,200 SH DEFINED 2 179,200 ESTERLINE TECHNOLOGIES COM 297425100 462 27,300 SH DEFINED 2 27,300 EXXON MOBIL CORP COM 30231G102 2,097 60,000 SH DEFINED 2,3 60,000 FMC CORP COM 302491303 864 55,075 SH DEFINED 2 55,075 FMC TECHNOLOGIES INC COM 30249U101 1,083 56,396 SH DEFINED 2 56,396 FPL GROUP COM 302571104 8,576 146,100 SH DEFINED 2,3,4 146,100 FAIRFAX FINANCIAL HOLDINGS SUBVTG 303901AA0 15,874 25,000,000 SH DEFINED 1,2 25,000,000
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 FEDERAL HOME LN MGT CORP COM 313400301 9,027 170,000 SH DEFINED 2,3,4 170,000 FIRST CITIZENS BCSHS CLA 31946M103 47 500 SH DEFINED 2 500 FLEET BOSTON FINANCIAL COM 339030108 603 25,250 SH DEFINED 2 25,250 FOOT LOCKER INC COM 344849104 1,255 118,600 SH DEFINED 2,3 118,600 FOOTSTAR INC COM 344912100 324 38,600 SH DEFINED 2 38,600 FRANKLIN RES INC NOTE 354613AC5 23,960 40,000,000 PRN DEFINED 2,4 374,416 FREEPORT MCMORAN COPPER&GOL CLB 35671D857 1,113 65,250 SH DEFINED 2 65,250 GABLES RESIDENTIAL TRUST SHBEN 362418105 370 13,825 SH DEFINED 2 13,825 GAP INC. COM 364760108 1,507 103,000 SH DEFINED 2,3 103,000 GAP INC NOTE 364760AJ7 2,692 2,200,000 PRN DEFINED 2,3 136,477 GENERAL CABLE CORP COM 369300108 329 88,950 SH DEFINED 2 88,950 GENERAL ELECTRIC CO COM 369604103 3,290 129,000 SH DEFINED 2,3 129,000 GENERAL MOTORS CORP COM 370442105 3,790 111,500 SH DEFINED 2,3,4 111,500 GENERAL MOTORS SRCONV 370442741 17,003 700,000 SH DEFINED 2,3,4 700,000 GENERAL MOTORS CORP CL H 370442832 452 40,400 SH DEFINED 2 40,400 GEORGIA-PACIFIC CORP COM 373298108 531 38,225 SH DEFINED 2 38,225 GLIMCHER REALTY TRUST SHBEN 379302102 493 25,675 SH DEFINED 2 25,675 GREAT LAKES REIT COM 390752103 922 65,000 SH DEFINED 2,4 65,000
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 HCA INC COM 404119109 827 20,000 SH DEFINED 2 20,000 HEALTH CARE PPTYS INVEST COM 421915109 2,268 68,000 SH DEFINED 2 68,000 HEALTHSOUTH CORP. COM 421924101 49 575,000 SH DEFINED 2,4 575,000 HEALTHSOUTH CORP SDCV 421924AF8 500 4,000,000 PRN DEFINED 2,4 109,200 HEALTHCARE REALTY TRUST COM 421946104 6,010 246,100 SH DEFINED 2,4 246,100 HEALTH NET INC COM 42222G108 663 24,775 SH DEFINED 2 24,775 HEARST-ARGYLE TELEVISION COM 422317107 1,448 70,000 SH DEFINED 2 70,000 HEWLETT-PACKARED CO COM 428236103 657 42,275 SH DEFINED 2 42,275 IDEC PHARMACEUTICALS CORP COM 449370105 923 26,100 SH DEFINED 2,3,4 26,100 IMC GLOBAL INC COM 449669100 1,276 132,600 SH DEFINED 2,4 132,600 INCO LTD COM 453258402 2,280 121,300 SH DEFINED 2,4 121,300 INCO LTD NOTE 453258AM7 3,201 5,000,000 PRN DEFINED 2,4 132,765 INSITUFORM TECHNOLOGIES CLA 457667103 673 50,000 SH DEFINED 2,4 50,000 INTEL CORP COM 458140100 1,289 79,200 SH DEFINED 2,3 79,200 INTL BUSINESS MACHINE COM 459200101 9,898 126,200 SH DEFINED 2,4 126,200 INTERNATIONAL PAPER CO. COM 460146103 984 29,100 SH DEFINED 2,4 29,100 INTERPUBLIC GROUP COS COM 460690100 3,053 320,700 SH DEFINED 2,3,4 320,700 INTERSTATE BAKERIES COM 46072H108 249 23,750 SH DEFINED 2 23,750
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 INVITROGEN INC NOTE 46185RAD2 682 783,000 PRN DEFINED 2 9,094 IONICS INC COM 462218108 2,483 150,000 SH DEFINED 2,4 150,000 JACOR COMM INC FRNT 469858AB0 3,108 6,240,000 PRN DEFINED 2,4 45,099 JANUS CAPITAL GROUP INC. COM 47102X105 1,712 150,300 SH DEFINED 2 150,300 JOHNSON & JOHNSON COM 478160104 2,894 50,000 SH DEFINED 2,3 50,000 KELLWOOD CO COM 488044108 57 1,975 SH DEFINED 2 1,975 KENNAMETAL INC COM 489170100 281 10,000 SH DEFINED 2 10,000 KERR MC GEE CORP COM 492386107 3,655 90,000 SH DEFINED 2,4 90,000 KINDRED HEALTHCARE INC COM 494580103 4 314 SH DEFINED 2,4 314 L-3 COMMUNICATIONS CORP COM 502424104 3,670 89,740 SH DEFINED 2,3 89,740 L-3 COMMUNICATIONS CORP NOTE 502424AB0 2,847 2,400,000 PRN DEFINED 2,3 58,896 LABORATORY CRP OF AMER HLDG COM 50540R409 3,072 102,400 SH DEFINED 2,3,4 102,400 LAMAR ADVERTISING CLA 512815101 1,175 39,050 SH DEFINED 2,3 39,050 LAMAR ADVERTISING NOTE 512815AF8 2,818 2,800,000 PRN DEFINED 2,3 60,540 LEAR CORP COM 521865105 969 27,425 SH DEFINED 2 27,425 LEHMAN BROTHERS HOLDING COM 524908100 1,155 20,000 SH DEFINED 2,3 20,000 LEHMAN BROTHERS HOLDING FRNT 524908EC0 2,525 2,500,000 PRN DEFINED 2,4 26,016 LENNOX INTERNATIONAL INC COM 526107107 1,049 72,650 SH DEFINED 2,4 72,650
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 COM 530718105 11,015 1,132,100 SH DEFINED 2,3,4 1,132,100 LINCOLN NATIONAL CORP IND COM 534187109 1,820 65,000 SH DEFINED 2,4 65,000 LOCKHEED MARTIN CORP COM 539830109 3,376 71,000 SH DEFINED 2,3 71,000 LODGIAN INC COM 54021P205 290 89,450 SH DEFINED 2,4 89,450 LOWES COMPANIES COM 548661107 8,523 208,300 SH DEFINED 2,3,4 208,300 LOWES COMPANIES NOTE 548661CG0 19,178 20,000,000 PRN DEFINED 2,3,4 344,240 LUBRIZOL CORP COM 549271104 581 19,375 SH DEFINED 2 19,375 MANDALAY RESORT GROUP COM 562567107 1,704 61,000 SH DEFINED 2,3,4 61,000 MARSH & MCLENNAN COM 571748102 2,208 51,800 SH DEFINED 2 51,800 MCDONALD'S CORP COM 580135101 1,508 104,300 SH DEFINED 2 104,300 MEDICIS PHARMACEUTICAL CLA 584690309 1,524 27,500 SH DEFINED 2,3 27,500 MEDICIS PHARMACEUTICAL NOTE 58470KAA2 2,635 2,200,000 PRN DEFINED 2,3 37,866 MEDTRONIC INC COM 585055106 6,452 143,000 SH DEFINED 2,3 143,000 MERRILL LYNCH & CO COM 590188108 3,836 106,600 SH DEFINED 2,3,4 106,600 MERRILL LYNCH & CO NOTE 590188A65 14,955 28,000,000 PRN DEFINED 2,3,4 159,004 MERRILL LYNCH & CO FRNT 590188A73 35,664 36,500,000 PRN DEFINED 2,3,4 504,477 METLIFE INC COM 59156R108 3,825 145,000 SH DEFINED 2,4 145,000 MICROSOFT CORP COM 594918104 3,535 146,000 SH DEFINED 2,3 146,000
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 MILACRON INC COM 598709103 261 62,775 SH DEFINED 2 62,775 MONSANTO CO COM 61166W101 1,167 71,150 SH DEFINED 2 71,150 MSDW ASIA PACIFIC FUND COM 61744U106 774 110,500 SH DEFINED 2 110,500 MORGAN STANLEY INDIA INVEST COM 61745C105 704 75,800 SH DEFINED 2 75,800 MOTOROLA INC NOTE 620076AJ8 3,368 4,389,000 PRN DEFINED 2,3,4 147,181 NABORS INDS INC DBCV 629568AF3 2,586 4,000,000 PRN DEFINED 2,4 28,298 NACCO INDUSTRIES CLA 629579103 538 11,700 SH DEFINED 2 11,700 NATIONWIDE FINANCIAL SERV CLA 638612101 975 40,000 SH DEFINED 2,4 40,000 NETBANK INC COM 640933107 25 2,700 SH DEFINED 2,3 2,700 NETWORK ASSOCIATES COM 640938106 1,234 84,785 SH DEFINED 2,3 84,785 NETWORK ASSOCIATES NOTE 64123LAB7 2,426 2,100,000 PRN DEFINED 2,3 116,215 NEWHALL LAND & FARMING CO DEPREC 651426108 1,779 61,200 SH DEFINED 2,4 61,200 NEWS AMER INC NOTE 652482AZ3 46,924 87,300,000 PRN DEFINED 2,3,4 1,060,547 NORFOLK SOUTHERN CORP. COM 655844108 7,090 382,000 SH DEFINED 2,4 382,000 NORTH FORK BANCORP COM 659424105 1,473 50,000 SH DEFINED 2,4 50,000 NORTHERN TRUST CORP COM 665859104 1,565 51,400 SH DEFINED 2 51,400 OCULAR SCIENCES INC COM 675744106 185 13,275 SH DEFINED 2 13,275 OLD REPUBLIC INTL CORP COM 680223104 5,104 190,800 SH DEFINED 2,4 190,800
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 OMNICOM GROUP COM 681919106 2,709 48,800 SH DEFINED 2,3,4 48,800 OMNICOM GROUP NOTE 681919AK2 3,920 4,000,000 PRN DEFINED 2,4 36,360 OMNICOM GROUP NOTE 681919AM8 12,516 12,500,000 PRN DEFINED 2,3,4 113,625 ONEOK INC COM 682680103 369 20,000 SH DEFINED 2,3,4 20,000 PUBLIC SVC CO N MEX COM 69349H107 517 22,975 SH DEFINED 2 22,975 PPL CORPORATION COM 69351T106 627 17,600 SH DEFINED 2 17,600 PALL CORP COM 696429307 1,600 80,000 SH DEFINED 2,4 80,000 PATHMARK STORES INC COM 70322A101 4,718 706,332 SH DEFINED 2,4 706,332 PAYLESS SHOESOURCE INC COM 704379106 1,144 73,125 SH DEFINED 2 73,125 J.C. PENNY CO INC COM 708160106 479 24,100 SH DEFINED 2,3 24,100 J.C. PENNY CO INC NOTE 708160BV7 1,263 1,250,000 PRN DEFINED 2,3 43,860 PEPSICO INCORPORATED COM 713448108 3,280 82,000 SH DEFINED 2,3 82,000 PERFORMANCE FOOD GROUP COM 713755106 1,083 36,290 SH DEFINED 2,3 36,290 PERFORMANCE FOOD NOTE 713755AA4 1,811 1,500,000 PRN DEFINED 2,3 45,524 PFIZER INC COM 717081103 5,793 185,900 SH DEFINED 2,3 185,900 PHARMACEUTICAL HOLDRS TR DEPREC 71712A206 6,911 93,300 SH DEFINED 2 93,300 PIONEER STANDARD ELECTR COM 723877106 381 45,125 SH DEFINED 2 45,125 PLACER DOME INC COM 725906101 1,457 148,700 SH DEFINED 2 148,700
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 PLUM CREEK TIMBER CO COM 729251108 1,080 50,000 SH DEFINED 2,4 50,000 PRESIDENTIAL LIFE CORP COM 740884101 88 13,925 SH DEFINED 2 13,925 PRIME HOSPITALITY CORP COM 741917108 33 6,375 SH DEFINED 2,4 6,375 PROCTER & GAMBLE CO COM 742718109 2,850 32,000 SH DEFINED 2,3 32,000 PROSPECT STREET INC SHS COM 743590101 1,054 174,501 SH DEFINED 2,4 174,501 PUBLIC SVC ENTERPRISE GRP COM 744573106 4,712 128,300 SH DEFINED 2,3,4 128,300 PULTE CORP COM 745867101 7,523 150,000 SH DEFINED 2,4 150,000 QUALCOMM INC COM 747525103 2,344 65,000 SH DEFINED 2,3 65,000 RFS HOTEL INVESTORS INC COM 74955J108 399 41,100 SH DEFINED 2 41,100 R.H. DONNELLEY CORP COM 74955W307 332 11,175 SH DEFINED 2 11,175 RADIAN GROUP INC COM 750236101 875 26,225 SH DEFINED 2 26,225 REEBOK INTL LTD COM 758110100 880 26,800 SH DEFINED 2,3 26,800 REEBOK INTL LTD DBCV 758110AE0 2,519 2,200,000 PRN DEFINED 2,3 57,054 REGENERON PHARM NOTE 75886FAB3 630 687,000 PRN DEFINED 2 22,710 REGIONAL BANK HOLDERS TR DEPREC 75902E100 19,008 200,000 SH DEFINED 2 200,000 RELIANT RESOURCES INC COM 75952B105 477 133,900 SH DEFINED 2 133,900 REPUBLIC BANCORP COM 760282103 161 13,625 SH DEFINED 2 13,625 RESMED INC COM 761152107 460 14,400 SH DEFINED 2,3 14,400
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 RESMED INC NOTE 761152AB3 1,395 1,450,000 PRN DEFINED 2,3 23,927 SCHLUMBERGER LIMITED COM 806857108 2,227 58,600 SH DEFINED 2,3 58,600 SCHOOL SPECIALTY INC COM 807863105 492 27,370 SH DEFINED 2,3 27,370 SCHOOL SPECIALTY NOTE 807863AC9 1,294 1,375,000 PRN DEFINED 2,3 42,582 SERVICEMASTER COMPANY COM 81760N109 498 49,750 SH DEFINED 2 49,750 SIEBEL SYSTEMS NOTE 826170AC6 18,394 18,440,000 PRN DEFINED 2,4 790,862 SIRIUS SATELLITE RADIO INC COM 82966U103 40,587 55,597,947 SH DEFINED 2,4 55,597,947 SOLECTRON CORP COM 834182107 499 165,100 SH DEFINED 2 165,100 SOLECTRON CORP NOTE 834182AK3 6,875 11,000,000 PRN DEFINED 2,3,4 135,640 SOLECTRON CORP NOTE 834182AL1 10,124 18,700,000 PRN DEFINED 2,4 220,402 SPANISH BROADCASTING SYS CLA 846425882 4,288 698,400 SH DEFINED 2,4 698,400 SPHERION CORPORATION COM 848420105 501 126,150 SH DEFINED 2 126,150 SPRINT CORP-PCS GROUP COM 852061506 2,948 698,528 SH DEFINED 1,2,3,4 698,528 STAR GAS PARTNER SUB 85512C204 424 29,229 SH DEFINED 2,4 29,229 STEIN MART INC COM 858375108 146 28,550 SH DEFINED 2 28,550 STMICROELECTRONICS NYREG 861012102 1,027 52,200 SH DEFINED 2,4 52,200 STMICROELECTRONICS NOTE 861012AB8 15,863 18,000,000 PRN DEFINED 2,4 473,256 SUNOCO INC COM 86764P109 3,657 100,000 SH DEFINED 2,4 100,000
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 SYMANTEC CORP COM 871503108 2,302 57,200 SH DEFINED 2,3 57,200 SYMANTEC CORP NOTE 871503AB4 3,255 2,400,000 PRN DEFINED 2,3 70,299 TJX COS. INC. COM 872540109 1,786 99,900 SH DEFINED 2,3,4 99,900 TJX COS INC NOTE 872540AL3 5,310 6,800,000 PRN DEFINED 2,3,4 222,136 TARGET CORP COM 87612E106 2,341 80,000 SH DEFINED 2,3 80,000 TECH DATA CORP COM 878237106 758 31,500 SH DEFINED 2,4 31,500 TEJON RANCH COM 879080109 545 20,600 SH DEFINED 2 20,600 TELLABS INC COM 879664100 389 67,175 SH DEFINED 2 67,175 TENET HEALTHCARE CORP COM 88033G100 1,139 68,175 SH DEFINED 2 68,175 TEXTRON INC COM 883203101 665 24,200 SH DEFINED 2 24,200 3M CO COM 88579Y101 1,305 10,000 SH DEFINED 2,3,4 10,000 TRAVELERS PROPERTY CASUALTY CLA 89420G109 1,080 76,684 SH DEFINED 2,4 76,684 TRAVELERS PROPERTY CASUALTY NTCVJR 89420G307 314 14,000 SH DEFINED 2,4 14,000 TRIARC COMPANIES CLA 895927101 343 12,300 SH DEFINED 2 12,300 TRIBUNE CO COM 896047107 4,051 90,000 SH DEFINED 2,3 90,000 TRINITY INDUSTRIES COM 896522109 403 23,425 SH DEFINED 2 23,425 TRIZEC PROPERTIES INC COM 89687P107 901 106,000 SH DEFINED 2 106,000 TYCO INTERNATIONAL LTD COM 902124106 6,228 476,750 SH DEFINED 2,3,4 476,750
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 USI HOLDINGS CORP COM 90333H101 38,899 3,740,278 SH DEFINED 2,4 3,740,278 UNITED PARCEL SERVICE CLB 911312106 2,537 44,500 SH DEFINED 2,3 44,500 UNIVERSAL CORP COM 913456109 321 8,500 SH DEFINED 2 8,500 UNIVERSAL HEALTH SERVICES CLB 913903100 3,669 90,000 SH DEFINED 2,4 90,000 UNOCAL CORP COM 915289102 1,450 55,100 SH DEFINED 2 55,100 USFREIGHTWAYS CORP COM 916906100 322 12,725 SH DEFINED 2 12,725 UTSTARCOM INC COM 918076100 1,314 65,000 SH DEFINED 2,3,4 65,000 VALERO ENERGY CORP COM 91913Y100 1,862 45,000 SH DEFINED 2 45,000 VEECO INSTRUMENTS INC. COM 922417100 348 21,650 SH DEFINED 2,3 21,650 VENTAS INC COM 92276F100 2,141 184,575 SH DEFINED 2,4 184,575 VENATOR GROUP NOTE 922944AB9 2,591 2,500,000 PRN DEFINED 2,3 158,168 VERITAS SOFTWARE CORP COM 923436109 1,117 62,300 SH DEFINED 2,3,4 62,300 VERIZON COMMUNICATIONS COM 92343V104 1,061 30,000 SH DEFINED 2,3 30,000 VERIZON GLOBAL NOTE 92344GAN6 13,599 23,000,000 PRN DEFINED 2,4 182,431 VIAD CORP COM 92552R109 1,168 54,500 SH DEFINED 2 54,500 VISHAY INTERTECH NOTE 928298AD0 1,386 2,500,000 PRN DEFINED 2,4 44,172 WAL MART STORES INC COM 931142103 3,122 60,000 SH DEFINED 2,3 60,000 WALGREEN CO COM 931422109 2,358 80,000 SH DEFINED 2,3 80,000
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 WARNACO GROUP INC CLA 934390402 2,448 245,751 SH DEFINED 2,4 245,751 WASHINGTON GROUP INTL COM 938862208 5,161 294,238 SH DEFINED 2,4 294,238 WASHINGTON MUTUAL INC COM 939322103 1,128 31,975 SH DEFINED 2 31,975 WATSON PHARMACEUTICALS COM 942683103 1,114 38,200 SH DEFINED 2,3 38,200 WELLS FARGO & COMPANY COM 949746101 4,499 100,000 SH DEFINED 2,3 100,000 WEYERHAEUSER COMPANY COM 962166104 239 5,000 SH DEFINED 2 5,000 WHIRLPOOL CORPORATION COM 963320106 865 17,650 SH DEFINED 2 17,650 WILLIAMS COS INC COM 969457100 921 201,012 SH DEFINED 1,2 201,012 WILSONS THE LEATHER EXPERTS COM 972463103 305 76,550 SH DEFINED 2 76,550 WISCONSIN ENERGY CORP COM 976657106 686 27,000 SH DEFINED 2 27,000 XCEL ENERGY INC COM 98389B100 2,626 205,000 SH DEFINED 2,4 205,000 YORK INTERNATIONAL CORP COM 986670107 395 18,800 SH DEFINED 2 18,800 ANNUITY AND LIFE RE HOLDING ORD G03910109 46 76,300 SH DEFINED 2 76,300 COOPER INDUSTRIES LTD CLA G24182100 1,011 28,300 SH DEFINED 2 28,300 INGERSOLL RAND CO CLA G4776G101 660 17,100 SH DEFINED 2 17,100 IPC HOLDINGS LTD ORD G4933P101 1,414 47,000 SH DEFINED 2 47,000 NABORS INDUSTRIES INC SHS G6359F103 359 9,000 SH DEFINED 2 9,000 TRENWICK GROUP LTD COM G9032C109 445 3,707,400 SH DEFINED 1,2,4 3,707,400 XL CAPITAL LTD CLA G98255105 460 6,500 SH DEFINED 2 6,500 ALCON INC COM H01301102 3,323 81,000 SH DEFINED 2,3 81,000
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