13F-HR 1 cnafsep.txt 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. 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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