13F-HR 1 cnafmar.txt FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31,2006 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 15,2006 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: 600 Form 13F Information Table Value Total: 1,057,644 (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 3,785 50,000 SH DEFINED 1,2 50,000 3M COMPANY NOTE 88579YAB7 1,573 1,788,000 PRN DEFINED 2,3 16,915 ABBOTT LABORATORIES COM 002824100 93 2,200 SH DEFINED 1,2 2,200 ACCENTURE LTD-CL A CL A G1150G111 3,049 101,390 SH DEFINED 2 101,390 ACCO BRANDS CORP COM 00081T108 1 47 SH DEFINED 1,2 47 ACE LTD ORD G0070K103 21 400 SH DEFINED 1,2 400 ACTUANT CORPORATION SDCV 00508XAB0 1,197 750,000 PRN DEFINED 2,3 18,792 ADC TELECOMMUNICATIONS INC COM 000886309 4 157 SH DEFINED 1,2 157 ADOBE SYSTEMS INC COM 00724F101 457 13,085 SH DEFINED 1,2 13,085 ADVANCED MEDICAL OPTICS NOTE 00763MAG3 1,086 1,000,000 PRN DEFINED 2,3 19,905 ADVANCED MICRO DEVICES COM 007903107 17 500 SH DEFINED 1,2 500 AES CORP COM 00130H105 15 900 SH DEFINED 1,2 900 AETNA INC COM 00817Y108 39 800 SH DEFINED 1,2 800 AFFILIATED COMPUTER SVCS-A CL A 008190100 12 200 SH DEFINED 1,2 200 AFLAC INC COM 001055102 212 4,700 SH DEFINED 1,2 4,700 AFTERMARKET TECHNOLOGY CORP COM 008318107 876 38,750 SH DEFINED 2 38,750
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 AGILENT TECHNOLOGIES INC COM 00846U101 23 600 SH DEFINED 1,2 600 AIR PRODUCTS & CHEMICAL COM 009158106 1,803 26,840 SH DEFINED 1,2 26,840 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 37 1,200 SH DEFINED 1,2 1,200 ALCON INC COM SHS H01301102 667 6,400 SH DEFINED 2 6,400 ALLEGHENY ENERGY INC COM 017361106 7 200 SH DEFINED 1,2 200 ALLEGHENY TECHNOLOGIES INC COM 01741R102 6 100 SH DEFINED 1,2 100 ALLERGAN INC COM 018490102 22 200 SH DEFINED 1,2 200 ALLSTATE CORPORATION COM 020002101 2,199 42,200 SH DEFINED 1,2 42,200 ALLTEL CORP COM 020039103 32 500 SH DEFINED 1,2 500 ALPHA NATURAL RESOURCES INC COM 02076X102 1,157 50,000 SH DEFINED 2 50,000 ALTERA CORPORATION COM 021441100 10 500 SH DEFINED 1,2 500 ALTRIA GROUP INC COM 02209S103 1,275 18,000 SH DEFINED 1,2 18,000 AMAZON.COM INC COM 023135106 752 20,575 SH DEFINED 1,2 20,575 AMAZON.COM INC NOTE 023135AF3 1,142 1,200,000 PRN DEFINED 2,3 15,379
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 AMBAC FINANCIAL GROUP INC COM 023139108 16 200 SH DEFINED 1,2 200 AMDOCS LIMITED NOTE 02342TAD1 496 500,000 PRN DEFINED 2,3 11,596 AMERADA HESS CORP COM 023551104 28 200 SH DEFINED 1,2 200 AMEREN CORPORATION COM 023608102 15 300 SH DEFINED 1,2 300 AMERICAN ELECTRIC POWER COM 025537101 20 600 SH DEFINED 1,2 600 AMERICAN EQUITY INVT LIFE HLCOM 025676206 774 53,975 SH DEFINED 2 53,975 AMERICAN EXPRESS DBCV 025816AS8 2,383 2,300,000 PRN DEFINED 2,3 38,023 AMERICAN EXPRESS COM 025816109 1,140 21,700 SH DEFINED 1,2 21,700 AMERICAN GREET NOTE 026375AJ4 879 560,000 PRN DEFINED 2,3 40,290 AMERICAN HOME MORTGAGE INVESCOM 02660R107 1,369 43,875 SH DEFINED 2 43,875 AMERICAN INTL GROUP INC COM 026874107 11,408 172,612 SH DEFINED 1,2 172,612 AMERICAN NATIONAL INSURANCE COM 028591105 605 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 13 300 SH DEFINED 1,2 300 AMERICAN TOWER CORP -CL A CL A 029912201 214 7,045 SH DEFINED 2,4 7,045 AMERIPRISE FINANCIAL INC COM 03076C106 15 340 SH DEFINED 1,2 340 AMERISOURCEBERGEN CORP COM 03073E105 3,068 63,550 SH DEFINED 1,2 63,550 AMERUS GROUP CO COM 03072M108 348 5,775 SH DEFINED 2 5,775
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 1,783 24,508 SH DEFINED 1,2 24,508 AMSOUTH BANCORPORATION COM 032165102 14 500 SH DEFINED 1,2 500 ANADARKO PETROLEUM CORP COM 032511107 15,192 150,400 SH DEFINED 1,2 150,400 ANALOG DEVICES COM 032654105 19 500 SH DEFINED 1,2 500 ANDREW CORP COM 034425108 2 200 SH DEFINED 1,2 200 ANDREW CORP NOTE 034425AB4 1,074 1,000,000 PRN DEFINED 2,3 73,048 ANHEUSER BUSCH CO COM 035229103 2,421 56,600 SH DEFINED 1,2 56,600 AON CORP COM 037389103 2,231 53,750 SH DEFINED 1,2 53,750 APACHE CORP COM 037411105 31 480 SH DEFINED 1,2 480 APARTMENT INVT & MGMT CO -A CL A 03748R101 5 100 SH DEFINED 1,2 100 APOLLO GROUP INC-CL A CL A 037604105 82 1,555 SH DEFINED 1,2 1,555 APPLE COMPUTER INC COM 037833100 75 1,200 SH DEFINED 1,2 1,200 APPLIED BIOSYSTEMS GROUP-APPGRP 038020103 5 200 SH DEFINED 1,2 200 AQUILA INC COM 03840P102 4,073 1,020,768 SH DEFINED 2 1,020,768 ARCHER-DANIELS-MIDLAND CO COM 039483102 30 900 SH DEFINED 1,2 900 ARCHSTONE-SMITH TRUST COM 039583109 15 300 SH DEFINED 1,2 300 ARMOR HOLDINGS INC NOTE 042260AC3 1,216 1,000,000 PRN DEFINED 2,3 18,515 ARVINMERITOR INC COM 043353101 1,335 89,525 SH DEFINED 2 89,525
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 7 100 SH DEFINED 1,2 100 AT&T INC COM 00206R102 150 5,541 SH DEFINED 1,2 5,541 ATWOOD OCEANICS INC COM 050095108 1,010 10,000 SH DEFINED 2 10,000 AUTODESK INC COM 052769106 12 300 SH DEFINED 1,2 300 AUTOMATIC DATA PROCESSING COM 053015103 37 800 SH DEFINED 1,2 800 AUTONATION INC COM 05329W102 6 300 SH DEFINED 1,2 300 AUTOZONE INC. COM 053332102 1,675 16,800 SH DEFINED 1,2 16,800 AVAYA INC COM 053499109 7 600 SH DEFINED 1,2 600 AVERY DENNISON CORP COM 053611109 12 200 SH DEFINED 1,2 200 AVON PRODUCTS INC COM 054303102 22 700 SH DEFINED 1,2 700 AXIS CAPITAL HOLDINGS LTD SHS G0692U109 1,420 47,500 SH DEFINED 2 47,500 BAKER HUGHES INC COM 057224107 34 500 SH DEFINED 1,2 500 BALL CORP COM 058498106 9 200 SH DEFINED 1,2 200 BANK OF AMERICA CORP COM 060505104 6,259 137,441 SH DEFINED 1,2 137,441 BANK OF NEW YORK COM 064057102 4,743 131,600 SH DEFINED 1,2 131,600 BARD (C.R.) INC COM 067383109 14 200 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 BARRICK GOLD CORP COM 067901108 1,334 48,957 SH DEFINED 2 48,957 BAUSCH & LOMB INC COM 071707103 6 100 SH DEFINED 1,2 100 BAUSCH & LOMB INC FRNT 071707AM5 1,049 800,000 PRN DEFINED 2,3 13,021 BAXTER INTERNATIONAL INC. COM 071813109 35 900 SH DEFINED 1,2 900 BB&T CORPORATION COM 054937107 31 800 SH DEFINED 1,2 800 BEAR STEARNS COMPANIES INC COM 073902108 28 200 SH DEFINED 1,2 200 BEARINGPOINT INC COM 074002106 727 85,625 SH DEFINED 2 85,625 BECTON DICKINSON & CO COM 075887109 25 400 SH DEFINED 1,2 400 BED BATH & BEYOND INC COM 075896100 515 13,400 SH DEFINED 1,2 13,400 BELLSOUTH CORP COM 079860102 90 2,600 SH DEFINED 1,2 2,600 BEMIS COMPANY COM 081437105 3 100 SH DEFINED 1,2 100 BEST BUY CO INC COM 086516101 42 750 SH DEFINED 1,2 750 BIG LOTS INC COM 089302103 1 100 SH DEFINED 1,2 100 BIOGEN IDEC INC COM 09062X103 22 460 SH DEFINED 1,2 460 BIOMARIN PHARMACEUTICAL NOTE 09061GAB7 1,696 1,600,000 PRN DEFINED 2,3 114,172 BIOMET INC COM 090613100 14 400 SH DEFINED 1,2 400 BJ SERVICES CO COM 055482103 21 600 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 BLACK & DECKER CORP COM 091797100 9 100 SH DEFINED 1,2 100 BMC SOFTWARE INC COM 055921100 6 300 SH DEFINED 1,2 300 BOEING COMPANY COM 097023105 3,772 48,400 SH DEFINED 1,2 48,400 BOSTON SCIENTIFIC CORP COM 101137107 25 1,100 SH DEFINED 1,2 1,100 BOWNE & CO INC COM 103043105 983 58,950 SH DEFINED 2 58,950 BRISTOL-MYERS SQUIBB CO COM 110122108 1,578 64,100 SH DEFINED 1,2 64,100 BROADCOM CORP-CL A CL A 111320107 26 600 SH DEFINED 1,2 600 BROWN-FORMAN CORP -CL B CL B 115637209 15 200 SH DEFINED 1,2 200 BRUNSWICK CORP COM 117043109 4 100 SH DEFINED 1,2 100 BURLINGTON NORTHERN SANTA FECOM 12189T104 50 600 SH DEFINED 1,2 600 BURLINGTON RESOURCES INC COM 122014103 55 600 SH DEFINED 1,2 600 CAL DIVE INTERNATIONAL NOTE 127914AB5 997 700,000 PRN DEFINED 2,3 21,784 CAMPBELL SOUP CO COM 134429109 16 500 SH DEFINED 1,2 500 CAPITAL ONE FINANCIAL CORP COM 14040H105 32 400 SH DEFINED 1,2 400 CARDINAL HEALTH INC COM 14149Y108 45 600 SH DEFINED 1,2 600 CAREMARK RX INC COM 141705103 34 700 SH DEFINED 1,2 700 CARNIVAL CORP PAIRED C143658300 38 800 SH DEFINED 1,2 800
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 CARNIVAL CORP DBCV 143658AV4 2,520 3,600,000 PRN DEFINED 2,3 43,848 CATERPILLAR INC COM 149123101 72 1,000 SH DEFINED 1,2 1,000 CBS CORP-CLASS B CL B 124857202 28 1,150 SH DEFINED 1,2 1,150 CENDANT CORPORATION COM 151313103 894 51,500 SH DEFINED 1,2 51,500 CENTERPOINT ENERGY INC COM 15189T107 5 400 SH DEFINED 1,2 400 CENTEX CORP COM 152312104 5,468 88,200 SH DEFINED 1,2 88,200 CENTURYTEL INC COM 156700106 8 200 SH DEFINED 1,2 200 CENTURYTEL INC DBCV 156700AH9 845 800,000 PRN DEFINED 2,3 19,775 CERADYNE INC NOTE 156710AA3 445 400,000 PRN DEFINED 2,3 6,841 CHESAPEAKE ENERGY CORP COM 165167107 1,580 50,300 SH DEFINED 2 50,300 CHEVRON TEXACO CORP COM 166764100 2,076 35,807 SH DEFINED 1,2 35,807 CHIPOTLE MEXICAN GRILL-CL A CLA 169656105 55 996 SH DEFINED 2 996 CHIRON CORP COM 170040109 1,683 36,737 SH DEFINED 2 36,737 CHUBB CORP COM 171232101 29 300 SH DEFINED 1,2 300 CIBER INC COM 17163B102 1,203 188,575 SH DEFINED 2 188,575 CIGNA CORP COM 125509109 26 200 SH DEFINED 1,2 200 CINCINNATI FINANCIAL CORP COM 172062101 9 220 SH DEFINED 1,2 220 CINERGY CORP COM 172474108 4,464 98,300 SH DEFINED 1,2 98,300 CINTAS CORP COM 172908105 9 200 SH DEFINED 1,2 200 CIRCUIT CITY STORES INC COM 172737108 5 200 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 CISCO SYSTEMS INC COM 17275R102 624 28,800 SH DEFINED 1,2 28,800 CIT GROUP INC COM 125581108 16 300 SH DEFINED 1,2 300 CITIGROUP INC COM 172967101 5,197 110,040 SH DEFINED 1,2 110,040 CITIZENS COMMUNICATIONS CO COM 17453B101 5 400 SH DEFINED 1,2 400 CITRIX SYSTEMS INC COM 177376100 8 200 SH DEFINED 1,2 200 CLOROX COMPANY COM 189054109 12 200 SH DEFINED 1,2 200 CMS ENERGY CORP COM 125896100 4 300 SH DEFINED 1,2 300 CNA SURETY CORPORATION COM 12612L108 458,823 27,425,147 SH DEFINED 1,2,4 27,425,147 COACH INC COM 189754104 1,055 30,500 SH DEFINED 1,2 30,500 COCA COLA CO COM 191216100 482 11,500 SH DEFINED 1,2 11,500 COCA-COLA ENTERPRISES COM 191219104 10 500 SH DEFINED 1,2 500 COLGATE-PALMOLIVE CO COM 194162103 46 800 SH DEFINED 1,2 800 COMCAST CORP CL A SPL CL A 20030N200 5,355 205,000 SH DEFINED 2 205,000 COMCAST CORP-CL A CLA 20030N101 2,695 103,002 SH DEFINED 1,2 103,002 COMERICA COM 200340107 1,475 25,450 SH DEFINED 1,2 25,450 COMMERCE BANCORP INC/NJ COM 200519106 566 15,440 SH DEFINED 1,2 15,440 COMPASS BANCSHARES INC COM 20449H109 10 200 SH DEFINED 1,2 200 COMPUTER ASSOCIATES INTL INCCOM 12673P105 2,082 76,502 SH DEFINED 1,2 76,502
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 COMPUTER SCIENCES CORP COM 205363104 1,948 35,075 SH DEFINED 1,2 35,075 COMPUWARE CORP COM 205638109 4 500 SH DEFINED 1,2 500 COMVERSE TECHNOLOGY INC COM 205862402 7 300 SH DEFINED 1,2 300 CONAGRA FOODS INC COM 205887102 15 700 SH DEFINED 1,2 700 CONMED CORP COM 207410101 801 41,825 SH DEFINED 2 41,825 CONSOLIDATED EDISON INC COM 209115104 17 400 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 16 300 SH DEFINED 1,2 300 COOPER INDUSTRIES LTD-CL A CL A G24182100 17 200 SH DEFINED 1,2 200 COOPER TIRE & RUBBER COM 216831107 1 100 SH DEFINED 1,2 100 CORNING INC COM 219350105 54 2,000 SH DEFINED 1,2 2,000 COSTCO WHOLESALE CORP COM 22160K105 38 700 SH DEFINED 1,2 700 COUNTRYWIDE FINANCIAL CORP COM 222372104 583 15,898 SH DEFINED 1,2 15,898 CSX CORP COM 126408103 18 300 SH DEFINED 1,2 300 CUMMINS INC COM 231021106 11 100 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 CVS CORP COM 126650100 953 31,900 SH DEFINED 1,2 31,900 CYMER INC NOTE 232572AE7 1,624 1,600,000 PRN DEFINED 2,3 32,000 DANA CORP COM 235811106 0 200 SH DEFINED 1,2 200 DANAHER CORP COM 235851102 1,106 17,400 SH DEFINED 1,2 17,400 DARDEN RESTAURANTS INC COM 237194105 8 200 SH DEFINED 1,2 200 DEERE & CO COM 244199105 229 2,900 SH DEFINED 1,2 2,900 DEL MONTE FOODS CO COM 24522P103 1,073 90,500 SH DEFINED 2 90,500 DELL INC. COM 24702R101 1,446 48,600 SH DEFINED 1,2 48,600 DELPHI FINANCIAL GROUP-CL A CLA 247131105 840 16,275 SH DEFINED 2 16,275 DEVON ENERGY CORPORATION COM 25179M103 43 700 SH DEFINED 1,2 700 DIAGEO PLC-SPONSORED ADR ADR 25243Q205 2,245 35,400 SH DEFINED 2 35,400 DILLARDS INC-CL A CL A 254067101 3 100 SH DEFINED 1,2 100 DISNEY (WALT) CO NOTE 254687AU0 2,148 2,000,000 PRN DEFINED 2,3 67,889 DOLLAR GENERAL CORP COM 256669102 7 400 SH DEFINED 1,2 400 DOMINION RESOURCES INC/VA COM 25746U109 35 500 SH DEFINED 1,2 500 DOVER CORP COM 260003108 15 300 SH DEFINED 1,2 300 DOW CHEMICAL CORP COM 260543103 1,989 49,000 SH DEFINED 1,2 49,000
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 DPL INC COM 233293109 4,017 148,790 SH DEFINED 2 148,790 DR HORTON INC COM 23331A109 13 400 SH DEFINED 1,2 400 DST SYSTEMS INC DBCV 233326AB3 641 500,000 PRN DEFINED 2,3 10,187 DTE ENERGY COMPANY COM 233331107 12 300 SH DEFINED 1,2 300 DU PONT (E.I.) DE NEMOURS COM 263534109 59 1,400 SH DEFINED 1,2 1,400 DYNEGY INC-CL A CL A 26816Q101 2 400 SH DEFINED 1,2 400 E*TRADE FINANCIAL CORP COM 269246104 13 500 SH DEFINED 1,2 500 EASTMAN CHEMICAL COMPANY COM 277432100 5 100 SH DEFINED 1,2 100 EASTMAN KODAK CO COM 277461109 11 400 SH DEFINED 1,2 400 EATON CORP COM 278058102 15 200 SH DEFINED 1,2 200 EBAY INC COM 278642103 1,252 32,100 SH DEFINED 1,2 32,100 ECOLAB INC COM 278865100 11 300 SH DEFINED 1,2 300 EDISON INTERNATIONAL COM 281020107 21 500 SH DEFINED 1,2 500 EL PASO CORP COM 28336L109 11 900 SH DEFINED 1,2 900 ELECTRONCIS FOR IMAGING DBCV 286082AA0 1,036 900,000 PRN DEFINED 2,3 34,066 ELECTRONIC ARTS INC COM 285512109 575 10,500 SH DEFINED 1,2 10,500 ELECTRONIC DATA SYSTEMS NOTE 285661AF1 1,501 1,450,000 PRN DEFINED 2,3 42,472
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 ELECTRONIC DATA SYSTEMS CORPCOM 285661104 19 700 SH DEFINED 1,2 700 ELI LILLY & CO COM 532457108 88 1,600 SH DEFINED 1,2 1,600 EMC CORP/MASS COM 268648102 46 3,400 SH DEFINED 1,2 3,400 EMERSON ELECTRIC CO COM 291011104 50 600 SH DEFINED 1,2 600 ENCANA CORP COM 292505104 5,514 118,000 SH DEFINED 2 118,000 ENDURANCE SPECIALTY HOLDINGSSHS G30397106 814 25,000 SH DEFINED 2 25,000 ENGELHARD CORP COM 292845104 8 200 SH DEFINED 1,2 200 ENTERGY CORP COM 29364G103 3,681 53,400 SH DEFINED 1,2 53,400 EOG RESOURCES INC COM 26875P101 29 400 SH DEFINED 1,2 400 EQUIFAX INC COM 294429105 7 200 SH DEFINED 1,2 200 EQUITY OFFICE PROPERTIES TR COM 294741103 20 600 SH DEFINED 1,2 600 EQUITY RESIDENTIAL INT 29476L107 19 400 SH DEFINED 1,2 400 EXELON CORP COM 30161N101 5,331 100,782 SH DEFINED 1,2 100,782 EXPEDITORS INTERNATIONAL WASCOM 302130109 449 5,200 SH DEFINED 1,2 5,200 EXPRESS SCRIPTS INC COM 302182100 18 200 SH DEFINED 1,2 200 EXXON MOBIL CORP COM 30231G102 1,771 29,100 SH DEFINED 1,2 29,100 FEDERAL NATL MTGE ASSN. COM 313586109 3,565 69,350 SH DEFINED 1,2 69,350
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 FEDERATED DEPARTMENT STORES COM 31410H101 31 424 SH DEFINED 1,2 424 FEDERATED INVESTORS INC-CL BCL B 314211103 4 100 SH DEFINED 1,2 100 FEDEX CORP COM 31428X106 56 500 SH DEFINED 1,2 500 FIRST AMERICAN CORPORATION COM 318522307 2,590 66,150 SH DEFINED 2 66,150 FIRST CITIZENS BCSHS -CL A CL A 31946M103 357 1,850 SH DEFINED 2 1,850 FIRST DATA CORP COM 319963104 52 1,119 SH DEFINED 1,2 1,119 FIRST HORIZON NATIONAL CORP COM 320517105 8 200 SH DEFINED 1,2 200 FIRSTENERGY CORP COM 337932107 24 500 SH DEFINED 1,2 500 FISERV INC COM 337738108 13 300 SH DEFINED 1,2 300 FISHER SCIENTIFIC INTL NOTE 338032AW5 1,062 700,000 PRN DEFINED 2,3 14,748 FISHER SCIENTIFIC INTL INC COM 338032204 14 200 SH DEFINED 1,2 200 FLIR SYSTEMS INC NOTE 302445AB7 1,223 870,000 PRN DEFINED 2,3 19,602 FLUOR CORP COM 343412102 9 100 SH DEFINED 1,2 100 FMC CORP (NEW) COM 302491303 2,016 32,525 SH DEFINED 2 32,525 FORD MOTOR CO COM 345370860 21 2,600 SH DEFINED 1,2 2,600 FOREST LABORATORIES INC COM 345838106 22 500 SH DEFINED 1,2 500 FORTUNE BRANDS INC COM 349631101 16 200 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 FPL GROUP INC COM 302571104 24 600 SH DEFINED 1,2 600 FRANKLIN RESOURCES INC COM 354613101 28 300 SH DEFINED 1,2 300 FREDDIE MAC COM 313400301 2,682 43,975 SH DEFINED 1,2 43,975 FREEPORT-MCMORAN COPPER-B CL B 35671D857 18 300 SH DEFINED 1,2 300 FREESCALE SEMICONDUCTOR-B CL B 35687M206 16 564 SH DEFINED 1,2 564 GANNETT CO COM 364730101 24 400 SH DEFINED 1,2 400 GAP INC/THE COM 364760108 19 1,000 SH DEFINED 1,2 1,000 GENENTECH INC COM 368710406 1,196 14,150 SH DEFINED 1,2 14,150 GENERAL DYNAMICS CORP COM 369550108 38 600 SH DEFINED 1,2 600 GENERAL ELECTRIC CO COM 369604103 3,829 110,100 SH DEFINED 1,2 110,100 GENERAL MILLS INC COM 370334104 25 500 SH DEFINED 1,2 500 GENERAL MOTORS CORP COM 370442105 17 800 SH DEFINED 1,2 800 GENUINE PARTS CO COM 372460105 13 300 SH DEFINED 1,2 300 GENZYME CORP COM 372917104 27 400 SH DEFINED 1,2 400 GENZYME CORP NOTE 372917AN4 924 850,000 PRN DEFINED 2,3 11,931 GETTY IMAGES INC COM 374276103 292 3,900 SH DEFINED 1,2 3,900 GILEAD SCIENCES INC COM 375558103 386 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 GLOBAL IMAGING SYSTEMS INC COM 37934A100 902 23,750 SH DEFINED 2 23,750 GOLDEN WEST FINANCIAL CORP COM 381317106 27 400 SH DEFINED 1,2 400 GOLDMAN SACHS GROUP INC COM 38141G104 110 700 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 2,730 7,000 SH DEFINED 1,2 7,000 GUIDANT CORP COM 401698105 39 500 SH DEFINED 1,2 500 H&R BLOCK INC COM 093671105 13 600 SH DEFINED 1,2 600 HALLIBURTON CO COM 406216101 51 700 SH DEFINED 1,2 700 HANGER ORTHOPEDIC GROUP INC COM 41043F208 383 55,075 SH DEFINED 2 55,075 HARLEY-DAVIDSON INC COM 412822108 21 400 SH DEFINED 1,2 400 HARRAHS ENTERTAINMENT INC COM 413619107 23 300 SH DEFINED 1,2 300 HARTFORD FINANCIAL SVCS GRP COM 416515104 40 500 SH DEFINED 1,2 500 HASBRO INC COM 418056107 819 38,825 SH DEFINED 1,2 38,825 HCA INC COM 404119109 27 600 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 HEALTH MGMT ASSOCIATES INC-ACL A 421933102 6 300 SH DEFINED 1,2 300 HENRY SCHEIN INC NOTE 806407AB8 1,076 900,000 PRN DEFINED 2,3 19,422 HERCULES INC COM 427056106 2,899 210,100 SH DEFINED 1,4 210,100 HERSHEY CO/THE COM 427866108 16 300 SH DEFINED 1,2 300 HEWLETT-PACKARED CO COM 428236103 1,933 58,760 SH DEFINED 1,2 58,760 HILTON HOTELS CORP COM 432848109 13 500 SH DEFINED 1,2 500 HJ HEINZ CO COM 423074103 19 500 SH DEFINED 1,2 500 HOME DEPOT COM 437076102 4,446 105,100 SH DEFINED 1,2 105,100 HONEYWELL INTERNATIONAL INC COM 438516106 51 1,200 SH DEFINED 1,2 1,200 HORACE MANN EDUCATORS COM 440327104 957 50,900 SH DEFINED 2 50,900 HORMEL FOODS CORP COM 440452100 172 5,100 SH DEFINED 2 5,100 HOSPIRA INC COM 441060100 9 220 SH DEFINED 1,2 220 HUB INTERNATIONAL LIMITED COM 44332P101 604 21,550 SH DEFINED 2 21,550 HUMANA INC COM 444859102 11 200 SH DEFINED 1,2 200 HUNTINGTON BANCSHARES INC COM 446150104 7 300 SH DEFINED 1,2 300 HUTCHINSON TECH NOTE 448407AE6 1,105 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 744 22,875 SH DEFINED 2 22,875 ILLINOIS TOOL WORKS COM 452308109 39 400 SH DEFINED 1,2 400 IMS HEALTH INC COM 449934108 8 300 SH DEFINED 1,2 300 INCO LTD DBCV 453258AT2 4,019 2,522,000 PRN DEFINED 2 80,541 INGERSOLL-RAND CO LTD-CL A CL A G4776G101 25 600 SH DEFINED 1,2 600 INTEGRA LIFESCIENCES HLD NOTE 457985AB5 805 635,000 PRN DEFINED 2,3 18,596 INTEL CORP COM 458140100 1,139 58,800 SH DEFINED 1,2 58,800 INTERNATIONAL BUSINESS MACHICOM 459200101 9,426 114,300 SH DEFINED 1,2 114,300 INTERPUBLIC GROUP COS NOTE 460690AT7 968 930,000 PRN DEFINED 2,3 74,879 INTERPUBLIC GROUP OF COS INCCOM 460690100 6 600 SH DEFINED 1,2 600 INTL FLAVORS & FRAGRANCES COM 459506101 3 100 SH DEFINED 1,2 100 INTL GAME TECHNOLOGY COM 459902102 18 500 SH DEFINED 1,2 500 INTL RECTIFIER NOTE 460254AE5 1,948 2,000,000 PRN DEFINED 2,3 27,051 INTUIT INC COM 461202103 16 300 SH DEFINED 1,2 300 INVITROGEN INC NOTE 46185RAJ9 1,020 900,000 PRN DEFINED 2,3 13,189 IPC HOLDINGS LTD ORD G4933P101 2,740 97,700 SH DEFINED 2 97,700
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 ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848 14,400 1,000,000 SH DEFINED 2 1,000,000 ITT INDUSTRIES INC COM 450911102 22 400 SH DEFINED 1,2 400 IVAX CORP NOTE 465823AG7 2,329 2,300,000 PRN DEFINED 2,3 101,221 J.C. PENNEY CO INC COM 708160106 24 400 SH DEFINED 1,2 400 JABIL CIRCUIT INC COM 466313103 13 300 SH DEFINED 1,2 300 JANUS CAPITAL GROUP INC COM 47102X105 7 300 SH DEFINED 1,2 300 JEFFERSON-PILOT CORP COM 475070108 11 200 SH DEFINED 1,2 200 JER INVESTORS TRUST INC COM 46614H301 831 50,000 SH DEFINED 2,4 50,000 JOHNSON & JOHNSON COM 478160104 1,143 19,300 SH DEFINED 1,2 19,300 JOHNSON CONTROL INC COM 478366107 1,830 24,100 SH DEFINED 1,2 24,100 JONES APPAREL GROUP INC COM 480074103 7 200 SH DEFINED 1,2 200 JPMORGAN CHASE & COMPANY COM 46625H100 3,938 94,562 SH DEFINED 1,2 94,562 KAYDON CORP NOTE 486587AB4 71 50,000 PRN DEFINED 2,3 1,715 KB HOME COM 48666K109 6 100 SH DEFINED 1,2 100 KELLOGG CO COM 487836108 22 500 SH DEFINED 1,2 500 KELLWOOD CO COM 488044108 385 12,250 SH DEFINED 2 12,250 KELLY SERVICES INC -CL A CL A 488152208 1,228 45,250 SH DEFINED 2 45,250 KENNAMETAL INC COM 489170100 750 12,275 SH DEFINED 2 12,275 KERR MC GEE CORP COM 492386107 2,788 29,200 SH DEFINED 1,2 29,200 KEYCORP COM 493267108 22 600 SH DEFINED 1,2 600 KEYSPAN CORP COM 49337W100 12 300 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 KIMBERLY-CLARK CORP COM 494368103 907 15,700 SH DEFINED 1,2 15,700 KINDER MORGAN INC COM 49455P101 18 200 SH DEFINED 1,2 200 KNIGHT RIDDER INC COM 499040103 6 100 SH DEFINED 1,2 100 KOHLS CORP COM 500255104 27 500 SH DEFINED 1,2 500 KROGER CO COM 501044101 20 1,000 SH DEFINED 1,2 1,000 L-3 COMMUNICATIONS CORP COM 502424104 275 3,200 SH DEFINED 1,2 3,200 LABORATORY CRP OF AMER HLDGSCOM 50540R409 12 200 SH DEFINED 1,2 200 LEAR CORP COM 521865105 2,428 136,950 SH DEFINED 2 136,950 LEGGETT & PLATT INC COM 524660107 7 300 SH DEFINED 1,2 300 LEHMAN_BROTHERS_HOLDING INC COM 524908100 2,515 17,400 SH DEFINED 1,2 17,400 LEVEL 3 COMMUNICATIONS NOTE 52729NBA7 223 250,000 PRN DEFINED 2,3 34,819 LEXMARK INTERNATIONAL INC-A CL A 529771107 9 200 SH DEFINED 1,2 200 LIBERTY MEDIA COMSERA 530718105 1,981 241,300 SH DEFINED 2 241,300 LIBERTY MEDIA DEB 530718AF2 1,883 1,800,000 PRN DEFINED 2,3 103,334 LIMITED BRANDS INC COM 532716107 12 500 SH DEFINED 1,2 500 LINCARE HOLDINGS DBCV 532791AB6 928 950,000 PRN DEFINED 2,3 17,814 LINCOLN NATIONAL CORP INDIANCOM 534187109 5,475 100,300 SH DEFINED 1,2 100,300 LINEAR TECHNOLOGY CORP COM 535678106 14 400 SH DEFINED 1,2 400 LIZ CLAIBORNE INC COM 539320101 8 200 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 LOCKHEED MARTIN CORP COM 539830109 45 600 SH DEFINED 1,2 600 LORAL SPACE AND COMM-W/I COM 543881106 601 20,900 SH DEFINED 2 20,900 LOUISIANA-PACIFIC CORP COM 546347105 3 100 SH DEFINED 1,2 100 LOWES COS INC COM 548661107 71 1,100 SH DEFINED 1,2 1,100 LSI LOGIC CORP COM 502161102 6 500 SH DEFINED 1,2 500 LUCENT TECHNOLOGIES COM 549463107 2,017 661,175 SH DEFINED 1,2 661,175 M & T BANK CORP COM 55261F104 23 200 SH DEFINED 1,2 200 MAGNA INTERNATIONAL INC-CL ACL A 559222401 1,707 22,550 SH DEFINED 2 22,550 MANOR CARE INC COM 564055101 4 100 SH DEFINED 1,2 100 MARATHON OIL CORP COM 565849106 40 523 SH DEFINED 1,2 523 MARRIOTT INTERNATIONAL- CL ACLA 571903202 1,564 22,800 SH DEFINED 1,2 22,800 MARSHALL & ILSLEY CORP COM 571834100 13 300 SH DEFINED 1,2 300 MASCO CORP COM 574599106 19 600 SH DEFINED 1,2 600 MATTEL INC COM 577081102 9 500 SH DEFINED 1,2 500 MAVERICK TUBE CORP NOTE 577914AB0 1,226 650,000 PRN DEFINED 2,3 22,268 MAXIM INTEGRATED PRODUCTS COM 57772K101 254 6,830 SH DEFINED 1,2 6,830 MAYTAG CORP. COM 578592107 684 32,050 SH DEFINED 2 32,050
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 MBIA INC COM 55262C100 3,920 65,200 SH DEFINED 1,2 65,200 MCCORMICK & CO-NON VTG SHRS COM 579780206 7 200 SH DEFINED 1,2 200 MCDATA CORP NOTE 580031AD4 689 800,000 PRN DEFINED 2,3 74,719 MCDONALD'S CORP COM 580135101 2,261 65,800 SH DEFINED 1,2 65,800 MCGRAW-HILL COMPANIES INC COM 580645109 29 500 SH DEFINED 1,2 500 MCKESSON CORP COM 58155Q103 21 400 SH DEFINED 1,2 400 MEADWESTVACO CORP COM 583334107 8 300 SH DEFINED 1,2 300 MEDCO HEALTH SOLUTIONS INC COM 58405U102 24 411 SH DEFINED 1,2 411 MEDIACOM COMMUNICATIONS CORPCL A 58446K105 1,150 200,000 SH DEFINED 2 200,000 MEDICIS PHARMACE NOTE 58470KAA2 1,062 900,000 PRN DEFINED 2,3 15,491 MEDTRONIC INC COM 585055106 239 4,700 SH DEFINED 1,2 4,700 MELLON FINANCIAL CORP COM 58551A108 21 600 SH DEFINED 1,2 600 MERCURY INTERACTIVE CORP COM 589405109 3 100 SH DEFINED 1,2 100 MEREDITH CORP COM 589433101 6 100 SH DEFINED 1,2 100 MERRILL LYNCH NOTE 590188A65 303 540,000 PRN DEFINED 2,3 3,066 MERRILL LYNCH & CO INC COM 590188108 110 1,400 SH DEFINED 1,2 1,400 METLIFE INC COM 59156R108 2,293 47,400 SH DEFINED 1,2 47,400 MGIC INVESTMENT CORP COM 552848103 13 200 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 MI DEVELOPMENTS INC-CLASS A CL A 55304X104 1,104 31,625 SH DEFINED 2 31,625 MICRON TECHNOLOGY INC COM 595112103 12 800 SH DEFINED 1,2 800 MICROSOFT CORP COM 594918104 6,381 234,500 SH DEFINED 1,2 234,500 MILACRON INC COM 598709103 147 91,150 SH DEFINED 2 91,150 MILLIPORE CORP COM 601073109 7 100 SH DEFINED 1,2 100 MOLEX INC COM 608554101 7 200 SH DEFINED 1,2 200 MOLSON COORS BREWING CO -B CL B 60871R209 7 100 SH DEFINED 1,2 100 MONSANTO CO COM 61166W101 36 426 SH DEFINED 1,2 426 MONSTER WORLDWIDE INC COM 611742107 10 200 SH DEFINED 1,2 200 MOODYS CORP COM 615369105 29 400 SH DEFINED 1,2 400 MORGAN STANLEY COM 617446448 3,400 54,125 SH DEFINED 1,2 54,125 MOTOROLA INC COM 620076109 80 3,500 SH DEFINED 1,2 3,500 MSDW ASIA PACIFIC FUND COM 61744U106 185 11,000 SH DEFINED 2 11,000 MYLAN LABORATORIES INC COM 628530107 7 300 SH DEFINED 1,2 300 NABORS INDUSTRIES LTD SHS G6359F103 14 200 SH DEFINED 1,2 200 NATIONAL CITY CORP COM 635405103 28 800 SH DEFINED 1,2 800 NATIONAL OILWELL VARCO INC COM 637071101 19 300 SH DEFINED 1,2 300 NATIONAL SEMICONDUCTOR CORP COM 637640103 14 500 SH DEFINED 1,2 500 NBTY INC COM 628782104 1,096 48,675 SH DEFINED 2 48,675
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 NCI BUILDING SYSTEMS INC COM 628852105 439 7,350 SH DEFINED 2 7,350 NCO GROUP INC COM 628858102 506 21,300 SH DEFINED 2 21,300 NCR CORPORATION COM 62886E108 13 300 SH DEFINED 1,2 300 NETWORK APPLIANCE INC COM 64120L104 995 27,605 SH DEFINED 1,2 27,605 NEWELL RUBBERMAID INC COM 651229106 10 400 SH DEFINED 1,2 400 NEWMONT MINING CORP COM 651639106 31 600 SH DEFINED 1,2 600 NEWS CORP LTD -SPONS ADR PRFCL A 65248E104 7,297 439,336 SH DEFINED 1,2 439,336 NICOR INC COM 654086107 4 100 SH DEFINED 1,2 100 NIKE INC -CL B CL B 654106103 34 400 SH DEFINED 1,2 400 NISOURCE INC COM 65473P105 2,657 131,400 SH DEFINED 1,2 131,400 NOBLE CORP SHS G65422100 16 200 SH DEFINED 1,2 200 NORDSTROM INC COM 655664100 16 400 SH DEFINED 1,2 400 NORFOLK SOUTHERN CORP COM 655844108 32 600 SH DEFINED 1,2 600 NORTEL NETWORKS NOTE 656568AB8 9,626 10,200,000 PRN DEFINED 2,3,4 1,020,000 NORTH FORK BANCORPORATION COM 659424105 20 700 SH DEFINED 1,2 700 NORTHERN TRUST CORP COM 665859104 1,124 21,400 SH DEFINED 1,2 21,400 NORTHROP GRUMMAN CORP COM 666807102 37 548 SH DEFINED 1,2 548 NOVELL INC COM 670006105 4 500 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 NOVELL INC DBCV 670006AC9 2,386 2,600,000 PRN DEFINED 2,3 225,655 NOVELLUS SYSTEMS INC COM 670008101 5 200 SH DEFINED 1,2 200 NUCOR CORP COM 670346105 21 200 SH DEFINED 1,2 200 NVIDIA CORP COM 67066G104 11 200 SH DEFINED 1,2 200 OCCIDENTAL PETROLEUM CORP COM 674599105 56 600 SH DEFINED 1,2 600 OFFICE DEPOT INC COM 676220106 15 400 SH DEFINED 1,2 400 OFFICEMAX INC COM 67622P101 3 100 SH DEFINED 1,2 100 OLD REPUBLIC INTL CORP COM 680223104 1,482 67,922 SH DEFINED 2 67,922 OMNICOM GROUP COM 681919106 25 300 SH DEFINED 1,2 300 ORACLE CORP COM 68389X105 3,515 256,752 SH DEFINED 1,2 256,752 PACCAR INC COM 693718108 21 300 SH DEFINED 1,2 300 PACTIV CORPORATION COM 695257105 5 200 SH DEFINED 1,2 200 PALL CORP COM 696429307 6 200 SH DEFINED 1,2 200 PARAMETRIC TECHNOLOGY CORP COM 699173209 2 120 SH DEFINED 1,2 120 PARKER HANNIFIN CORP COM 701094104 16 200 SH DEFINED 1,2 200 PAYCHEX INC COM 704326107 21 500 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 1,410 24,400 SH DEFINED 1,2 24,400 PERKINELMER INC COM 714046109 5 200 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 PETRO-CANADA COM 71644E102 2,855 60,000 SH DEFINED 2 60,000 PFIZER INC COM 717081103 4,032 161,800 SH DEFINED 1,2 161,800 PG&E CORPORATION COM 69331C108 3,653 93,900 SH DEFINED 1,2 93,900 PHARMACEUTICAL HOLDRS TRUST DEPOSIT71712A206 71,400 1,000,000 SH DEFINED 2 1,000,000 PHELPS DODGE CORP COM 717265102 32 400 SH DEFINED 1,2 400 PHH CORP COM 693320202 807 30,225 SH DEFINED 2 30,225 PHILIPS ELECTRONICS-NY SHR NY REG S500472303 2,231 66,300 SH DEFINED 2 66,300 PHILLIPS PETROLEUM COMPANY COM 20825C104 3,917 62,022 SH DEFINED 1,2 62,022 PIKE ELECTRIC CORP COM 721283109 403 19,175 SH DEFINED 2 19,175 PINNACLE WEST CAPITAL COM 723484101 8 200 SH DEFINED 1,2 200 PIONEER NATURAL RESOURCES COCOM 723787107 4,735 107,000 SH DEFINED 2 107,000 PITNEY BOWES INC COM 724479100 13 300 SH DEFINED 1,2 300 PIXAR INC COM 725811103 372 5,800 SH DEFINED 1,2 5,800 PLUM CREEK TIMBER CO COM 729251108 11 300 SH DEFINED 1,2 300 PMI GROUP INC COM 69344M101 689 15,000 SH DEFINED 2 15,000 PNC FINANCIAL SERVICES GROUPCOM 693475105 27 400 SH DEFINED 1,2 400 PPG INDUSTRIES INC COM 693506107 19 300 SH DEFINED 1,2 300 PPL CORPORATION COM 69351T106 18 600 SH DEFINED 1,2 600 PRAXAIR INC COM 74005P104 1,682 30,500 SH DEFINED 1,2 30,500
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 PRIDE INTERNATIONAL INC NOTE 74153QAD4 1,062 800,000 PRN DEFINED 2,3 31,124 PRINCIPAL FINANCIAL GROUP COM 74251V102 20 400 SH DEFINED 1,2 400 PROCTER & GAMBLE CO COM 742718109 1,087 18,865 SH DEFINED 1,2 18,865 PROGRESS ENERGY INC COM 743263105 18 400 SH DEFINED 1,2 400 PROLOGIS INT 743410102 16 300 SH DEFINED 1,2 300 PRUDENTIAL FINANCIAL INC COM 744320102 61 800 SH DEFINED 1,2 800 PUBLIC SERVICE ENTERPRISE GPCOM 744573106 26 400 SH DEFINED 1,2 400 PULTE CORP COM 745867101 10,773 280,400 SH DEFINED 1,2 280,400 QUALCOMM INC COM 747525103 1,179 23,300 SH DEFINED 1,2 23,300 QUANTA SERVICES INC SDCV 74762EAC6 1,083 700,000 PRN DEFINED 2,3 62,859 QUEST DIAGNOSTICS COM 74834L100 15 300 SH DEFINED 1,2 300 QWEST COMMUNICATIONS INTL COM 749121109 16 2,300 SH DEFINED 1,2 2,300 R.H. DONNELLEY CORP COM 74955W307 522 8,966 SH DEFINED 2 8,966 RADIOSHACK CORP COM 750438103 555 28,850 SH DEFINED 1,2 28,850 RAYTHEON COMPANY COM 755111507 32 700 SH DEFINED 1,2 700 REGIONS FINANCIAL CORP COM 7591EP100 22 620 SH DEFINED 1,2 620 RENAISSANCERE HOLDINGS LTD COM G7496G103 2,992 68,600 SH DEFINED 2 68,600
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 RENT-A-CENTER INC COM 76009N100 3,561 139,300 SH DEFINED 2 139,300 REYNOLDS AMERICAN INC COM 761713106 21 200 SH DEFINED 1,2 200 ROBBINS & MYERS INC COM 770196103 286 13,250 SH DEFINED 2 13,250 ROBERT HALF INTL INC COM 770323103 8 200 SH DEFINED 1,2 200 ROCKWELL AUTOMATION INC COM 773903109 22 300 SH DEFINED 1,2 300 ROCKWELL COLLINS INC. COM 774341101 17 300 SH DEFINED 1,2 300 ROHM AND HAAS CO COM 775371107 15 300 SH DEFINED 1,2 300 ROWAN COMPANIES INC COM 779382100 9 200 SH DEFINED 1,2 200 RR DONNELLEY & SONS CO COM 257867101 10 300 SH DEFINED 1,2 300 RYDER SYSTEM INC COM 783549108 4 100 SH DEFINED 1,2 100 SAFECO CORP COM 786429100 10 200 SH DEFINED 1,2 200 SAFEWAY INC COM 786514208 15 600 SH DEFINED 1,2 600 SALESFORCE.COM INC COM 79466L302 429 11,800 SH DEFINED 1,2 11,800 SARA LEE CORP COM 803111103 1,549 86,650 SH DEFINED 1,2 86,650 SCANA CORP COM 80589M102 1,986 50,600 SH DEFINED 2 50,600
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 SCHERING-PLOUGH CORP COM 806605101 40 2,100 SH DEFINED 1,2 2,100 SCHLUMBERGER LIMITED COM 806857108 3,015 23,820 SH DEFINED 1,2 23,820 SCHWAB (CHARLES) CORP COM 808513105 28 1,600 SH DEFINED 1,2 1,600 SCHWEITZER-MAUDUIT INTL INC COM 808541106 941 39,225 SH DEFINED 2 39,225 SCI SYSTEMS INC NOTE 783890AF3 2,516 2,600,000 PRN DEFINED 2,3 62,878 SCRIPPS CO (E.W.)-CL A CL A 811054204 894 20,000 SH DEFINED 2 20,000 SEALED AIR CORP COM 81211K100 6 100 SH DEFINED 1,2 100 SEARS HOLDINGS CORP COM 812350106 30 225 SH DEFINED 1,2 225 SEMPRA ENERGY COM 816851109 1,584 34,100 SH DEFINED 1,2 34,100 SENOMYX INC COM 81724Q107 295 17,900 SH DEFINED 2 17,900 SHERWIN-WILLIAMS CO/THE COM 824348106 10 200 SH DEFINED 1,2 200 SIGMA-ALDRICH COM 826552101 7 100 SH DEFINED 1,2 100 SIMON PROPERTY GROUP INC COM 828806109 25 300 SH DEFINED 1,2 300 SLM CORP COM 78442P106 499 9,600 SH DEFINED 1,2 9,600 SNAP-ON INC COM 833034101 4 100 SH DEFINED 1,2 100 SOLECTRON CORP COM 834182107 5 1,300 SH DEFINED 1,2 1,300 SOLECTRON CORP NOTE 834182AT4 1,268 1,660,000 PRN DEFINED 2,3 171,722 SOUTHERN CO COM 842587107 36 1,100 SH DEFINED 1,2 1,100 SOUTHWEST AIRLINES CO COM 844741108 18 1,000 SH DEFINED 1,2 1,000
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 SOVEREIGN BANCORP INC COM 845905108 11 500 SH DEFINED 1,2 500 SPHERION CORPORATION COM 848420105 721 69,350 SH DEFINED 2 69,350 SPRINT CORP-FON GROUP COM 852061100 5,533 214,128 SH DEFINED 1,2 214,128 ST JUDE MEDICAL INC COM 790849103 841 20,500 SH DEFINED 1,2 20,500 ST PAUL TRAVELERS COS INC/THCOM 792860108 42 1,007 SH DEFINED 1,2 1,007 STANLEY WORKS/THE COM 854616109 5 100 SH DEFINED 1,2 100 STAPLES INC COM 855030102 27 1,050 SH DEFINED 1,2 1,050 STARBUCKS CORP COM 855244109 487 12,930 SH DEFINED 1,2 12,930 STARWOOD HOTELS & RESORTS PAIRED C85590A203 20 300 SH DEFINED 1,2 300 STATE STREET CORP COM 857477103 30 500 SH DEFINED 1,2 500 STREETTRACKS GOLD TRUST GOLD SHS863307104 17,430 300,000 SH DEFINED 2 300,000 STRYKER CORP COM 863667101 22 500 SH DEFINED 1,2 500 SUN MICROSYSTEMS INC COM 866810104 25 4,800 SH DEFINED 1,2 4,800 SUNOCO INC COM 86764P109 16 200 SH DEFINED 1,2 200 SUNTRUST BANKS INC COM 867914103 36 500 SH DEFINED 1,2 500 SUPERVALU INC COM 868536103 6 200 SH DEFINED 1,2 200 SYMANTEC CORP COM 871503108 28 1,674 SH DEFINED 1,2 1,674 SYMBOL TECHNOLOGIES INC COM 871508107 3 301 SH DEFINED 1,2 301 SYNOVUS FINANCIAL CORP COM 87161C105 11 400 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 SYSCO CORP COM 871829107 29 900 SH DEFINED 1,2 900 T ROWE PRICE GROUP INC COM 74144T108 16 200 SH DEFINED 1,2 200 TARGET CORP COM 87612E106 1,108 21,300 SH DEFINED 1,2 21,300 TECO ENERGY INC COM 872375100 5 300 SH DEFINED 1,2 300 TEKTRONIX INC COM 879131100 4 100 SH DEFINED 1,2 100 TELLABS INC COM 879664100 10 600 SH DEFINED 1,2 600 TEMPLE-INLAND INC COM 879868107 9 200 SH DEFINED 1,2 200 TEMPUR-PEDIC INTERNATIONAL COM 88023U101 420 29,675 SH DEFINED 2 29,675 TESORO PETROLEUM CORP COM 881609101 2,529 37,000 SH DEFINED 2 37,000 TEXAS INSTRUMENTS INC COM 882508104 78 2,400 SH DEFINED 1,2 2,400 TEXTRON INC COM 883203101 1,718 18,400 SH DEFINED 1,2 18,400 THE WALT DISNEY CO. COM 254687106 81 2,900 SH DEFINED 1,2 2,900 THERMO ELECTRON CORP COM 883556102 7 200 SH DEFINED 1,2 200 THERMO ELECTRON CORP SDCV 883556AJ1 4,184 4,200,000 PRN DEFINED 2,3 100,383 TIFFANY & CO COM 886547108 8 200 SH DEFINED 1,2 200 TIME WARNER INC COM 887317105 3,185 189,710 SH DEFINED 1,2 189,710 TJX COS INC NOTE 872540AL3 836 1,000,000 PRN DEFINED 2,3 32,667 TJX COS. INC. NEW COM 872540109 3,038 122,400 SH DEFINED 1,2 122,400
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 TORCHMARK CORP COM 891027104 2,225 38,975 SH DEFINED 1,2 38,975 TRANSOCEAN INC ORD G90078109 40 500 SH DEFINED 1,2 500 TREDEGAR CORP COM 894650100 178 11,175 SH DEFINED 2 11,175 TRIBUNE CO COM 896047107 11 400 SH DEFINED 1,2 400 TXU CORP COM 873168108 36 800 SH DEFINED 1,2 800 TYCO INTERNATIONAL LTD COM 902124106 5,715 212,615 SH DEFINED 1,2 212,615 UAL CORP COM 902549807 1,076 26,946 SH DEFINED 2,4 26,946 UNION PACIFIC COM 907818108 1,265 13,550 SH DEFINED 1,2 13,550 UNITED NATIONAL GROUP LTD-A COM 90933T109 669 29,200 SH DEFINED 2 29,200 UNITED PARCEL SERVICE -CL B CL B 911312106 1,231 15,510 SH DEFINED 1,2 15,510 UNITED STATES STEEL CORP COM 912909108 12 200 SH DEFINED 1,2 200 UNITED STATIONERS INC COM 913004107 1,017 19,150 SH DEFINED 2 19,150 UNITED TECHNOLOGIES CORP COM 913017109 87 1,500 SH DEFINED 1,2 1,500 UNITEDHEALTH GROUP INC COM 91324P102 1,553 27,800 SH DEFINED 1,2 27,800 UNIVERSAL CORP-VA COM 913456109 1,200 32,625 SH DEFINED 2 32,625 UNUMPROVIDENT CORP COM 91529Y106 8 400 SH DEFINED 1,2 400 US BANCORP COM 902973304 79 2,600 SH DEFINED 1,2 2,600 USI HOLDINGS CORP COM 90333H101 1,128 69,950 SH DEFINED 2 69,950
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 UST INC COM 902911106 8 200 SH DEFINED 1,2 200 VALASSIS COMMUNICATIONS INC COM 918866104 1,082 36,850 SH DEFINED 2 36,850 VALERO ENERGY CORP COM 91913Y100 13,199 220,800 SH DEFINED 1,2 220,800 VARIAN MEDICAL SYSTEMS INC COM 92220P105 477 8,500 SH DEFINED 1,2 8,500 VERIZON COMMUNICATIONS INC COM 92343V104 582 17,100 SH DEFINED 1,2 17,100 VF CORP COM 918204108 11 200 SH DEFINED 1,2 200 VIACOM INC-CLASS B CL B 92553P201 45 1,150 SH DEFINED 1,2 1,150 VIAD CORP COM 92552R406 1,923 56,100 SH DEFINED 2 56,100 VISTEON CORP COM 92839U107 0 100 SH DEFINED 1,2 100 VORNADO REALTY L.P. DEB 929043AC1 336 300,000 PRN DEFINED 2,3 3,288 VULCAN MATERIALS CO COM 929160109 17 200 SH DEFINED 1,2 200 WACHOVIA CORP COM 929903102 126 2,245 SH DEFINED 1,2 2,245 WAL MART STORES INC COM 931142103 3,604 76,300 SH DEFINED 1,2 76,300 WALGREEN CO COM 931422109 367 8,500 SH DEFINED 1,2 8,500 WASHINGTON MUTUAL INC COM 939322103 792 18,585 SH DEFINED 1,2 18,585 WASTE MANAGEMENT INC COM 94106L109 28 800 SH DEFINED 1,2 800 WATERS CORP COM 941848103 9 200 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 WATSON PHARMACEUTICALS INC COM 942683103 6 200 SH DEFINED 1,2 200 WCI COMMUNITIES INC COM 92923C104 2,643 95,000 SH DEFINED 2 95,000 WELLPOINT INC COM 94973V107 70 900 SH DEFINED 1,2 900 WELLS FARGO & COMPANY COM 949746101 153 2,400 SH DEFINED 1,2 2,400 WENDYS INTERNATIONAL INC COM 950590109 12 200 SH DEFINED 1,2 200 WEYERHAEUSER COMPANY COM 962166104 1,144 15,800 SH DEFINED 1,2 15,800 WHIRLPOOL CORPORATION COM 963320106 2,993 32,725 SH DEFINED 1,2 32,725 WILLIAMS COS INC COM 969457100 2,332 109,000 SH DEFINED 1,2 109,000 WISCONSIN ENERGY CORP COM 976657106 1,605 40,125 SH DEFINED 2 40,125 WRIGLEY WM JR CO COM 982526105 19 300 SH DEFINED 1,2 300 WW GRAINGER INC COM 384802104 8 100 SH DEFINED 1,2 100 WYETH COM 983024100 2,455 50,600 SH DEFINED 1,2 50,600 XCEL ENERGY INC COM 98389B100 1,592 87,700 SH DEFINED 1,2 87,700 XEROX CORP COM 984121103 20 1,300 SH DEFINED 1,2 1,300 XILINX INC COM 983919101 182 7,155 SH DEFINED 1,2 7,155 XL CAPITAL LTD-CLASS A CL A G98255105 1,654 25,800 SH DEFINED 1,2 25,800 XM SATELLITE RADIO HOLD-CL ACL A 983759101 205 9,200 SH DEFINED 1,2 9,200
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 XTO ENERGY INC COM 98385X106 22 500 SH DEFINED 1,2 500 YAHOO! INC COM 984332106 829 25,700 SH DEFINED 1,2 25,700 YELLOW ROADWAY CORP NOTE 985577AA3 843 670,000 PRN DEFINED 2,3 17,074 YUM! BRANDS INC COM 988498101 20 400 SH DEFINED 1,2 400 ZIMMER HOLDINGS INC COM 98956P102 27 400 SH DEFINED 1,2 400 ZIONS BANCORPORATION COM 989701107 17 200 SH DEFINED 1,2 200