13F-HR 1 cnafjun.txt FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 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: August 12,2005 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. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 4 Form 13F Information Table Entry Total: 259 Form 13F Information Table Value Total: 1,316,970 (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 1,446 20,000 SH DEFINED 2 20,000 3M COMPANY NOTE 88579YAB7 781 900,000 PRN DEFINED 2,3 8,514 ABB LTD-SPON ADR ADR 000375204 2,756 426,000 SH DEFINED 2 426,000 ABBOTT LABORATORIES COM 002824100 1,225 25,000 SH DEFINED 2 25,000 ACCENTURE LTD CL A G1150G111 1,975 87,100 SH DEFINED 2 87,100 ACTUANT CORPORATION SDCV 00508XAB0 262 200,000 PRN DEFINED 2,3 5,011 ADVANCED MEDICAL OPTICS NOTE 00763MAG3 2,600 2,550,000 PRN DEFINED 2,3 50,756 AFFILIATED MANAGERS GRP DBCV 008252AE8 1,566 1,000,000 PRN DEFINED 2,3 18,462 AFTERMARKET TECHNOLOGY CORP COM 008318107 501 28,750 SH DEFINED 2 28,750 AGILENT TECH INC DBCV 00846UAB7 45,861 46,500,000 PRN DEFINED 2,3,4 1,443,202 ALCON INC COM SHS H01301102 656 6,000 SH DEFINED 2 6,000 ALLSTATE CORPORATION COM 020002101 1,828 30,600 SH DEFINED 2 30,600 ALPHA NATURAL RESOURCES INC COM 02076X102 1,194 50,000 SH DEFINED 2 50,000 ALTRIA GROUP INC COM 02209S103 970 15,000 SH DEFINED 2 15,000 AMDOCS LIMITED NOTE 02342TAD1 456 500,000 PRN DEFINED 2,3 11,596 AMERICAN EXPRESS COM 025816109 1,065 20,000 SH DEFINED 2 20,000
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 GREET NOTE 026375AJ4 1,086 560,000 PRN DEFINED 2,3 40,290 AMERICAN HOME MORTGAGE INVESCOM 02660R107 1,030 29,450 SH DEFINED 2 29,450 AMERICAN INTL GROUP INC COM 026874107 5,810 100,000 SH DEFINED 2 100,000 AMERICAN NATIONAL INSURANCE COM 028591105 615 5,400 SH DEFINED 2 5,400 AMERICAN PHYSICIANS CAP INC COM 028884104 848 22,825 SH DEFINED 2 22,825 AMERISOURCE HEALTH CORP-CL ACOM 03073E105 1,006 14,550 SH DEFINED 2 14,550 AMERUS GROUP CO COM 03072M108 656 13,650 SH DEFINED 2 13,650 AMGEN INC COM 031162100 1,572 26,000 SH DEFINED 2 26,000 AMGEN INC NOTE 031162AL4 32,738 45,000,000 PRN DEFINED 2,3,4 398,705 ANADARKO PETROLEUM CORP COM 032511107 12,323 150,000 SH DEFINED 2 150,000 ANDREW CORP NOTE 034425AB4 1,184 1,050,000 PRN DEFINED 2,3 76,701 ANHEUSER BUSCH CO COM 035229103 2,539 55,500 SH DEFINED 2 55,500 AON CORP COM 037389103 4,183 167,050 SH DEFINED 2 167,050 AQUILA INC COM 03840P102 720 199,400 SH DEFINED 2 199,400 ARMOR HOLDINGS INC NOTE 042260AC3 1,206 1,240,000 PRN DEFINED 2,3 22,959 ARVINMERITOR INC COM 043353101 1,433 80,550 SH DEFINED 2 80,550
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 ASE TEST LIMITED ORD Y02516105 161 25,000 SH DEFINED 2,4 25,000 ASHLAND INC COM 044204105 2,422 33,700 SH DEFINED 2 33,700 AUTOZONE INC. COM 053332102 913 9,875 SH DEFINED 2 9,875 AXIS CAPITAL HOLDINGS LTD SHS G0692U109 1,344 47,500 SH DEFINED 2 47,500 BANK OF NEW YORK COM 064057102 1,183 41,100 SH DEFINED 2 41,100 BAUSCH & LOMB INC FRNT 071707AM5 1,224 800,000 PRN DEFINED 2,3 13,021 BEARINGPOINT INC COM 074002106 3,267 445,650 SH DEFINED 2 445,650 BEST BUY COMPANY INC COM 086516101 2,776 40,500 SH DEFINED 2 40,500 BOEING COMPANY COM 097023105 3,853 58,375 SH DEFINED 2 58,375 BOSTON SCIENTIFIC CORP COM 101137107 216 8,000 SH DEFINED 2 8,000 BOWNE & CO INC COM 103043105 620 42,900 SH DEFINED 2 42,900 BRISTOL-MYERS SQUIBB CO COM 110122108 1,063 42,550 SH DEFINED 2 42,550 BURLINGTON RESOURCES INC COM 122014103 3,370 61,000 SH DEFINED 2 61,000 CABLEVISION SYSTEMS -CL A CL A 12686C109 1,005 31,200 SH DEFINED 2 31,200 CARNIVAL CORP NOTE 143658AS1 905 1,000,000 PRN DEFINED 2,3 16,596 CARNIVAL CORP DBCV 143658AV4 22,206 27,500,000 PRN DEFINED 2,3,4 334,950
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 CATERPILLAR INC COM 149123101 953 10,000 SH DEFINED 2 10,000 CELESTICA INC NOTE 15101QAA6 2,806 5,000,000 PRN DEFINED 2,3 28,374 CENTEX CORP COM 152312104 6,219 88,000 SH DEFINED 2 88,000 CENTRAL EUROPE & RUSSIA FUNDCOM 153436100 801 26,100 SH DEFINED 2 26,100 CIBER INC COM 17163B102 1,098 137,625 SH DEFINED 2 137,625 CIGNA CORP COM 125509109 1,498 14,000 SH DEFINED 2 14,000 CINERGY CORP COM 172474108 3,814 85,100 SH DEFINED 2 85,100 CISCO SYSTEMS INC COM 17275R102 1,147 60,000 SH DEFINED 2 60,000 CIT GROUP INC COM 125581108 2,049 47,675 SH DEFINED 2 47,675 CITIGROUP INC COM 172967101 7,819 169,125 SH DEFINED 2 169,125 CNA SURETY CORPORATION COM 12612L108 407,263 27,425,147 SH DEFINED 1,2,4 27,425,147 COACH INC COM 189754104 1,175 35,000 SH DEFINED 2 35,000 COCA COLA CO COM 191216100 347 8,300 SH DEFINED 2 8,300 COMCAST CORP CL A SPL CL A 20030N200 5,691 190,000 SH DEFINED 2 190,000 COMCAST CORP-CL A CLA 20030N101 3,877 126,400 SH DEFINED 2 126,400 COMMSCOPE INC COM 203372107 781 44,850 SH DEFINED 2 44,850 COMPUTER ASSOCIATES INTL INCCOM 204912109 2,083 75,802 SH DEFINED 2 75,802
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 192 15,000 SH DEFINED 2 15,000 CVS CORP COM 126650100 1,186 40,800 SH DEFINED 2 40,800 DANAHER CORP COM 235851102 890 17,000 SH DEFINED 2 17,000 DEL MONTE FOODS CO COM 24522P103 975 90,500 SH DEFINED 2 90,500 DELL COMPUTER CORP COM 24702R101 1,185 30,000 SH DEFINED 2 30,000 DELPHI FINANCIAL GROUP-CL A CLA 247131105 1,160 26,275 SH DEFINED 2 26,275 DEX MEDIA INC COM 25212E100 1,607 65,850 SH DEFINED 2 65,850 DIAGEO PLC-SPONSORED ADR ADR 25243Q205 2,099 35,400 SH DEFINED 2 35,400 DISNEY (WALT) CO NOTE 254687AU0 33,353 32,500,000 PRN DEFINED 2,3,4 1,103,190 DOMINION RESOURCES INC NOTE 25746UAT6 16,504 15,625,000 PRN DEFINED 2,3,4 212,289 DOUBLECLICK INC NOTE 258609AE6 4,998 5,100,000 PRN DEFINED 2,3,4 388,779 DPL INC COM 233293109 2,166 78,900 SH DEFINED 2 78,900 DST SYSTEMS INC DBCV 233326AD9 2,455 2,250,000 PRN DEFINED 2,3 45,840 DUKE ENERGY CORP NOTE 264399EJ1 3,138 2,500,000 PRN DEFINED 2,3,4 105,977 DYCOM INDUSTRIES INC COM 267475101 5,820 293,800 SH DEFINED 2,4 293,800 ECC CAPITAL CORP COM 26826M108 2,321 348,500 SH DEFINED 2,4 348,500 ELECTRONCIS FOR IMAGING DBCV 286082AA0 1,426 1,450,000 PRN DEFINED 2,3 54,884 ELECTRONIC DATA SYSTEMS NOTE 285661AF1 24,225 25,500,000 PRN DEFINED 2,3,4 746,926
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 EMC CORP MASS SR NT NOTE 268648AG7 3,165 3,000,000 PRN DEFINED 2,3 217,391 EMPRESA BRASILIERA DE AE-ADRADR PFD 29081M102 1,984 60,000 SH DEFINED 2 60,000 ENTERGY CORP COM 29364G103 914 12,100 SH DEFINED 2 12,100 EXELON CORP COM 30161N101 3,937 76,700 SH DEFINED 2 76,700 EXXON MOBIL CORP COM 30231G102 1,782 31,000 SH DEFINED 2 31,000 FAIRCHILD SEMICON INTERNATIOCOM 303726103 148 10,000 SH DEFINED 2,4 10,000 FEDERAL HM LOAN MORTGAGE CORCOM 313400301 5,523 84,675 SH DEFINED 2 84,675 FEDERAL NATL MTGE ASSN. COM 313586109 2,632 45,075 SH DEFINED 2 45,075 FIRST AMERICAN CORPORATION COM 318522307 2,655 66,150 SH DEFINED 2 66,150 FIRST CITIZENS BCSHS -CL A CL A 31946M103 275 1,900 SH DEFINED 2 1,900 FLIR SYSTEMS INC NOTE 302445AB7 1,294 870,000 PRN DEFINED 2,3 19,602 FMC CORP (NEW) COM 302491303 1,826 32,525 SH DEFINED 2 32,525 GENERAL CABLE CORP COM 369300108 711 47,925 SH DEFINED 2 47,925 GENERAL ELECTRIC CO COM 369604103 4,539 131,000 SH DEFINED 2 131,000 GENERAL MOTORS SR CONVA370442741 18,240 750,000 PRN DEFINED 2,3,4 750,000 GENZYME CORP NOTE 372917AN4 1,919 1,850,000 PRN DEFINED 2,3 25,968 GILEAD SCIENCES INC COM 375558103 242 5,500 SH DEFINED 2 5,500 GLENBOROUGH REALTY TRUST INCCOM 37803P105 590 28,675 SH DEFINED 2 28,675 GOOGLE INC-CL A CL A 38259P508 1,471 5,000 SH DEFINED 2 5,000
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 GUITAR CENTER MG NOTE 402040AC3 2,245 1,300,000 PRN DEFINED 2,3 37,594 HALLIBURTON COMPANY COM 406216101 287 6,000 SH DEFINED 2 6,000 HANGER ORTHOPEDIC GROUP INC COM 41043F208 278 55,075 SH DEFINED 2 55,075 HEALTH NET INC COM 42222G108 2,290 60,000 SH DEFINED 2 60,000 HERCULES INC COM 427056106 1,486 105,000 SH DEFINED 2,4 105,000 HEWLETT-PACKARD CO. COM 428236103 2,357 100,250 SH DEFINED 2 100,250 HILTON HOTELS CORP NOTE 432848AZ2 1,083 900,000 PRN DEFINED 2,3 40,000 HORACE MANN EDUCATORS COM 440327104 958 50,900 SH DEFINED 2 50,900 HUB GROUP INC-CL A CL A 443320106 138 5,500 SH DEFINED 2 5,500 HUMAN GENOME SCIENCES NOTE 444903AF5 386 400,000 PRN DEFINED 2,3 7,111 HUTCHINSON TECH NOTE 448407AE6 1,386 1,000,000 PRN DEFINED 2,3 33,512 IDACORP INC COM 451107106 701 22,875 SH DEFINED 2 22,875 IKON MBIA INC. COM 55262C100 2,966 50,000 SH DEFINED 2 50,000 INCO LTD DBCV 453258AT2 3,964 3,152,000 PRN DEFINED 2 100,660 INTEGRA LIFESCIENCES HLD NOTE 457985AB5 660 635,000 PRN DEFINED 2,3 18,596 INTEL CORP COM 458140100 1,303 50,000 SH DEFINED 2 50,000
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 INTERNATIONAL BUSINESS MACHICOM 459200101 7,791 105,000 SH DEFINED 2 105,000 INTERPUBLIC GROUP COS NOTE 460690AT7 3,124 2,570,000 PRN DEFINED 2,3 206,924 INTL RECTIFIER NOTE 460254AE5 44,224 44,897,000 PRN DEFINED 2,3,4 607,250 INVITROGEN INC NOTE 46185RAJ9 2,363 1,800,000 PRN DEFINED 2,3 26,378 IPC HOLDINGS LTD ORD G4933P101 3,256 82,175 SH DEFINED 2 82,175 ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848 32,955 3,250,000 SH DEFINED 2 3,250,000 JANUS CAPITAL GROUP INC. COM 47102X105 1,417 94,200 SH DEFINED 2 94,200 JOHNSON & JOHNSON COM 478160104 1,300 20,000 SH DEFINED 2 20,000 JPMORGAN CHASE & COMPANY COM 46625H100 1,762 49,900 SH DEFINED 2 49,900 KAYDON CORP NOTE 486587AB4 700 650,000 PRN DEFINED 2,3 22,291 KELLWOOD CO COM 488044108 616 22,900 SH DEFINED 2 22,900 KELLY SERVICES INC -CL A CL A 488152208 649 22,675 SH DEFINED 2 22,675 KENNAMETAL INC COM 489170100 860 18,750 SH DEFINED 2 18,750 KIMBERLY CLARK COM 494368103 1,252 20,000 SH DEFINED 2 20,000 L-3 COMMUNICATIONS CORP COM 502424104 230 3,000 SH DEFINED 2 3,000 LEAR SEATING CORP COM 521865105 3,415 93,875 SH DEFINED 2 93,875 LEHMAN_BROTHERS_HOLDING INC COM 524908100 1,886 19,000 SH DEFINED 2 19,000 LENNOX INTERNATL NOTE 526107AB3 1,014 815,000 PRN DEFINED 2,3 45,059 LIBBEY INC COM 529898108 299 18,900 SH DEFINED 2 18,900
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 4,208 413,000 SH DEFINED 2 413,000 LINCARE HOLDINGS DBCV 532791AB6 1,348 1,340,000 PRN DEFINED 2,3 25,127 LINCOLN NATIONAL CORP INDIANCOM 534187109 4,692 100,000 SH DEFINED 2 100,000 LOWES COMPANIES NOTE 548661CG0 4,027 3,900,000 PRN DEFINED 2,3 67,127 MARRIOTT INTERNATIONAL- CL ACLA 571903202 1,535 22,500 SH DEFINED 2 22,500 MARSH & MCLENNAN COS INC COM 571748102 416 15,000 SH DEFINED 2 15,000 MASSEY ENERGY CO NOTE 576203AB9 621 300,000 PRN DEFINED 2,3 15,472 MATERIALS SELECT SECTOR SPDRSPDR 81369Y100 2,443 90,000 SH DEFINED 2 90,000 MAYTAG CORP. COM 578592107 502 32,050 SH DEFINED 2 32,050 MCI INC COM 552691107 2,885 112,200 SH DEFINED 2 112,200 MCKESSON HBOC INC COM 58155Q103 2,136 47,700 SH DEFINED 2 47,700 MEDIACOM COMMUNICATIONS CORPCL A 58446K105 1,374 200,000 SH DEFINED 2 200,000 MEDICIS PHARMACE NOTE 58470KAA2 1,759 1,500,000 PRN DEFINED 2,3 25,818 MEDTRONIC INC COM 585055106 1,295 25,000 SH DEFINED 2 25,000 MEDTRONIC INC DBCV 585055AD8 4,956 5,000,000 PRN DEFINED 2,3,4 80,898 MERRILL LYNCH & CO NOTE 590188W46 4,988 5,000,000 PRN DEFINED 2,3 69,107
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 & CO INC COM 590188108 1,018 18,500 SH DEFINED 2 18,500 METLIFE INC COM 59156R108 3,213 71,500 SH DEFINED 2 71,500 MGI PHARMA INC NOTE 552880AB2 624 915,000 PRN DEFINED 2,3 21,744 MICROSOFT CORP COM 594918104 4,776 192,275 SH DEFINED 2 192,275 MILACRON INC COM 598709103 172 91,150 SH DEFINED 2 91,150 MONEYGRAM INTERNATIONAL-W/I COM 60935Y109 1,658 86,700 SH DEFINED 2 86,700 MORGAN ST DEAN WITTER DISCOVCOM 617446448 1,865 35,550 SH DEFINED 2 35,550 MORGAN STANLEY ASIA-PACIF FDCOM 61744U106 87 6,600 SH DEFINED 2 6,600 NACCO INDS INC CL A CL A 629579103 665 6,200 SH DEFINED 2 6,200 NBTY INC COM 628782104 371 14,300 SH DEFINED 2 14,300 NCI BUILDING SYSTEMS INC COM 628852105 700 21,350 SH DEFINED 2 21,350 NEUBERGER BERMAN REALTY INC COM 64126G109 752 40,000 SH DEFINED 2 40,000 NEWS AMER INC NOTE 652482AZ3 30,203 52,300,000 PRN DEFINED 2,3,4 1,270,712 NEWS CORP LTD -SPONS ADR PRFCL A 65248E104 7,733 477,936 SH DEFINED 2 477,936 NISOURCE INC COM 65473P105 3,240 131,000 SH DEFINED 2 131,000 NORTEL NETWORKS NOTE 656568AB8 8,393 9,000,000 PRN DEFINED 2,4 900,000 NORTHERN TRUST CORP COM 665859104 1,641 36,000 SH DEFINED 2 36,000
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 NOVOGEN LIMITED-SPONS ADR ADR 67010F103 360 19,950 SH DEFINED 2 19,950 OAK INDUSTRIES NOTE 671400AL3 19,209 17,952,000 PRN DEFINED 2,3,4 1,156,699 OLD REPUBLIC INTL CORP COM 680223104 1,374 54,338 SH DEFINED 2 54,338 OMNICOM GROUP COM 681919106 1,437 18,000 SH DEFINED 2 18,000 OMNICOM GROUP NOTE 681919AM8 3,096 3,100,000 PRN DEFINED 2,3 28,179 ON SEMICONDUCTOR CORPORATIONCOM 682189105 198 43,100 SH DEFINED 2,4 43,100 P G 7 E CORPORATION COM 69331C108 3,506 93,400 SH DEFINED 2 93,400 PEPSICO INCORPORATED COM 713448108 1,726 32,000 SH DEFINED 2 32,000 PETRO-CANADA COM 71644E102 1,954 30,000 SH DEFINED 2 30,000 PETROLEO BRASILEIRO S.A.-ADRADR 71654V101 2,762 60,000 SH DEFINED 2 60,000 PFIZER INC COM 717081103 1,280 46,400 SH DEFINED 2 46,400 PHARMACEUTICAL HOLDRS TRUST DEPOSIT71712A206 10,998 150,000 SH DEFINED 2 150,000 PHH CORP COM 693320202 777 30,225 SH DEFINED 2 30,225 PHILIPS ELECTRONICS-NY SHR NY REG S500472303 2,501 99,300 SH DEFINED 2 99,300 PHOTRONICS INC NOTE 719405AE2 85 55,000 PRN DEFINED 2,3 3,461 PIONEER NATURAL RESOURCES COCOM 723787107 4,503 107,000 SH DEFINED 2 107,000 PLACER DOME INC COM 725906101 1,014 65,900 SH DEFINED 2 65,900 PMI GROUP INC COM 69344M101 1,559 40,000 SH DEFINED 2 40,000 PRAXAIR INC COM 74005P104 1,398 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 PREMIUM STANDARD FARMS INC COM 74060C105 8,543 637,529 SH DEFINED 2,3 637,529 PRIDE INTERNATIONAL INC NOTE 74153QAD4 2,093 1,750,000 PRN DEFINED 2,3 68,083 PRIORITY HEALTHCARE CORP-B CL B 74264T102 1,201 47,375 SH DEFINED 2 47,375 PROCTER & GAMBLE CO COM 742718109 222 4,200 SH DEFINED 2 4,200 PUBLIC SERVICE CO OF N MEX COM 69349H107 39,979 1,387,681 SH DEFINED 2,4 1,387,681 PULTE CORP COM 745867101 11,795 140,000 SH DEFINED 2 140,000 R.H. DONNELLEY CORP COM 74955W307 338 5,450 SH DEFINED 2 5,450 RENAISSANCERE HOLDINGS LTD COM G7496G103 1,389 28,200 SH DEFINED 2 28,200 RENT-A-CENTER INC COM 76009N100 1,840 79,025 SH DEFINED 2 79,025 RESMED INC NOTE 761152AB3 1,655 1,450,000 PRN DEFINED 2,3 23,927 RHODIA SA-SPONSORED ADR ADR 762397107 543 305,200 SH DEFINED 2,4 305,200 ROBBINS & MYERS INC COM 770196103 285 13,250 SH DEFINED 2 13,250 SANMINA CORP SDCV 800907AD9 598 1,098,000 PRN DEFINED 2,3 7,118 SAPPI LTD- SPONSORED ADR ADR NEW 803069202 1,573 145,400 SH DEFINED 2 145,400 SARA LEE CORP COM 803111103 1,695 85,550 SH DEFINED 2 85,550 SCANA CORP COM 80589M102 2,161 50,600 SH DEFINED 2 50,600 SCHLUMBERGER LIMITED COM 806857108 2,506 33,000 SH DEFINED 2 33,000 SCHLUMBERGER LIMITED DBCV 806857AC2 9,754 8,500,000 PRN DEFINED 2,3,4 117,517
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 SCHWEITZER-MAUDUIT INTL INC COM 808541106 406 13,050 SH DEFINED 2 13,050 SCRIPPS CO (E.W.)-CL A CL A 811054204 976 20,000 SH DEFINED 2 20,000 SENOMYX INC COM 81724Q107 677 41,000 SH DEFINED 2 41,000 SLM CORP DBCV 78442PAC0 506 500,000 PRN DEFINED 2,3 7,579 SOLECTRON CORP NOTE 834182AT4 866 1,160,000 PRN DEFINED 2,3 119,998 SPHERION CORPORATION COM 848420105 970 147,000 SH DEFINED 2 147,000 SPRINT CORP COM 852061100 3,764 150,000 SH DEFINED 2 150,000 ST JUDE MEDICAL INC COM 790849103 872 20,000 SH DEFINED 2 20,000 STREETTRACKS GOLD TRUST GOLD SHS863307104 19,548 450,000 SH DEFINED 2 450,000 SUN HEALTHCARE GROUP INC-W/ICOM 866933401 16 2,480 SH DEFINED 2,4 2,480 SYMANTEC CORP COM 871503108 1,087 50,000 SH DEFINED 2 50,000 TANDY CORP COM 750438103 1,117 48,225 SH DEFINED 2 48,225 TARGET CORP COM 87612E106 2,176 40,000 SH DEFINED 2 40,000 TEEKAY SHIPPING CORP COM Y8564W103 4,829 110,000 SH DEFINED 2 110,000 TEVA PHARMACEUT FIN BV DBCV 88164RAA5 2,778 2,835,000 PRN DEFINED 2,4 74,801 TEXTRON INC COM 883203101 1,380 18,200 SH DEFINED 2 18,200 TIME WARNER INC COM 887317105 2,938 175,800 SH DEFINED 2 175,800
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 TJX COS INC NOTE 872540AL3 5,610 6,800,000 PRN DEFINED 2,3,4 222,136 TJX COS. INC. NEW COM 872540109 2,153 88,425 SH DEFINED 2 88,425 TOMMY HILFIGER CORP ORD G8915Z102 351 25,475 SH DEFINED 2 25,475 TORCHMARK CORP COM 891027104 2,024 38,775 SH DEFINED 2 38,775 TRIARC COS-B CLB SER1895927309 516 34,700 SH DEFINED 2 34,700 TRINITY INDUSTRIES COM 896522109 754 23,525 SH DEFINED 2 23,525 TSAKOS ENERGY NAVIGATION LTDSHS G9108L108 775 20,000 SH DEFINED 2 20,000 TYCO INTERNATIONAL LTD COM 902124106 1,329 45,500 SH DEFINED 2 45,500 TYCO INTL GROUP SA DBCV 902118BF4 18,060 14,000,000 PRN DEFINED 2,3,4 614,488 UNION PACIFIC COM 907818108 2,078 32,075 SH DEFINED 2 32,075 UNITED NATIONAL GROUP LTD-A COM 90933T109 502 29,200 SH DEFINED 2 29,200 UNITED PARCEL SERVICE -CL B CL B 911312106 242 3,500 SH DEFINED 2 3,500 UNITED STATIONERS INC COM 913004107 739 15,050 SH DEFINED 2 15,050 UNITEDHEALTH GROUP INC COM 91324P102 1,356 26,000 SH DEFINED 2 26,000 UNIVERSAL CORP-VA COM 913456109 618 14,125 SH DEFINED 2 14,125 UNOCAL CORP COM 915289102 3,597 55,300 SH DEFINED 2 55,300 USI HOLDINGS CORP COM 90333H101 731 56,725 SH DEFINED 2 56,725 VALASSIS COMMUNICATIONS INC COM 918866104 634 17,100 SH DEFINED 2 17,100 VALERO ENERGY CORP COM 91913Y100 8,702 110,000 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 VENTAS INC COM 92276F100 15,849 524,806 SH DEFINED 2,4 524,806 VERZION COMMUNICATIONS INC COM 92343V104 912 26,400 SH DEFINED 2 26,400 VIAD CORP COM 92552R406 1,590 56,100 SH DEFINED 2 56,100 VINTAGE PETROLEUM INC COM 927460105 3,809 125,000 SH DEFINED 2 125,000 WACHOVIA CORP COM 929903102 1,910 38,500 SH DEFINED 2 38,500 WASHINGTON MUTUAL INC COM 939322103 1,346 33,075 SH DEFINED 2 33,075 WEYERHAEUSER COMPANY COM 962166104 3,876 60,900 SH DEFINED 2 60,900 WHIRLPOOL CORPORATION COM 963320106 3,085 44,000 SH DEFINED 2 44,000 WILLIAMS COS INC COM 969457100 3,217 169,300 SH DEFINED 2 169,300 WISCONSIN ENERGY CORP COM 976657106 2,901 74,375 SH DEFINED 2 74,375 WRIGLEY WM JR CO COM 982526105 207 3,000 SH DEFINED 2 3,000 WYETH COM 983024100 1,064 23,900 SH DEFINED 2 23,900 XCEL ENERGY INC COM 98389B100 1,702 87,200 SH DEFINED 2 87,200 XL CAPITAL LTD-CLASS A CL A G98255105 1,905 25,600 SH DEFINED 2 25,600 YELLOW ROADWAY CORP NOTE 985577AA3 1,900 1,210,000 PRN DEFINED 2,3 30,836 YORK INTERNATIONAL CORP COM 986670107 636 16,725 SH DEFINED 2 16,725