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