FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: December 31,2005
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:
February 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: 610
Form 13F Information Table Value Total: 1,085,873 (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 3,875 50,000 SH DEFINED 1,2 50,000
3M COMPANY NOTE 88579YAB7 2,478 2,788,000 PRN DEFINED 2,3 26,375
ABBOTT LABORATORIES COM 002824100 87 2,200 SH DEFINED 1,2 2,200
ACCENTURE LTD-CL A CL A G1150G111 2,515 87,100 SH DEFINED 2 87,100
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 1,091 750,000 PRN DEFINED 2,3 18,792
ADC TELECOMMUNICATIONS COM 000886309 4 157 SH DEFINED 1,2 157
ADOBE SYSTEMS INC COM 00724F101 484 13,085 SH DEFINED 1,2 13,085
ADVANCED MEDICAL OPTICS NOTE 00763MAG3 1,019 1,000,000 PRN DEFINED 2,3 19,905
ADVANCED MICRO DEVICES COM 007903107 15 500 SH DEFINED 1,2 500
AES CORP COM 00130H105 14 900 SH DEFINED 1,2 900
AETNA INC COM 00817Y108 38 400 SH DEFINED 1,2 400
AFFILIATED COMPUTER SVCS CL A 008190100 12 200 SH DEFINED 1,2 200
AFLAC INC COM 001055102 218 4,700 SH DEFINED 1,2 4,700
AFTERMARKET TECHNOLOGY COM 008318107 753 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 20 600 SH DEFINED 1,2 600
AIR PRODUCTS & CHEMICALS COM 009158106 18 300 SH DEFINED 1,2 300
ALBERTO-CULVER CO COM 013068101 7 150 SH DEFINED 1,2 150
ALBERTSONS INC COM 013104104 11 500 SH DEFINED 1,2 500
ALCOA INC COM 013817101 35 1,200 SH DEFINED 1,2 1,200
ALCON INC COM SHS H01301102 181 1,400 SH DEFINED 2 1,400
ALLEGHENY ENERGY INC COM 017361106 6 200 SH DEFINED 1,2 200
ALLEGHENY TECHNOLOGIES COM 01741R102 4 100 SH DEFINED 1,2 100
ALLERGAN INC COM 018490102 22 200 SH DEFINED 1,2 200
ALLSTATE CORPORATION COM 020002101 2,282 42,200 SH DEFINED 1,2 42,200
ALLTEL CORP COM 020039103 32 500 SH DEFINED 1,2 500
ALPHA NATURAL RESOURCES COM 02076X102 961 50,000 SH DEFINED 2 50,000
ALTERA CORPORATION COM 021441100 9 500 SH DEFINED 1,2 500
ALTRIA GROUP INC COM 02209S103 1,345 18,000 SH DEFINED 1,2 18,000
AMAZON.COM INC COM 023135106 1,377 29,200 SH DEFINED 1,2 29,200
AMAZON.COM INC NOTE 023135AF3 1,154 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 15 200 SH DEFINED 1,2 200
AMDOCS LIMITED NOTE 02342TAD1 448 500,000 PRN DEFINED 2,3 11,596
AMERADA HESS CORP COM 023551104 25 200 SH DEFINED 1,2 200
AMEREN CORPORATION COM 023608102 15 300 SH DEFINED 1,2 300
AMERICAN ELECTRIC POWER COM 025537101 22 600 SH DEFINED 1,2 600
AMERICAN EXPRESS DBCV 025816AS8 3,502 3,300,000 PRN DEFINED 2,3 54,554
AMERICAN EXPRESS COM 025816109 1,117 21,700 SH DEFINED 1,2 21,700
AMERICAN GREET NOTE 026375AJ4 896 560,000 PRN DEFINED 2,3 40,290
AMERICAN HOME MORTGAGE COM 02660R107 959 29,450 SH DEFINED 2 29,450
AMERICAN INTL GROUP INC COM 026874107 11,777 172,612 SH DEFINED 1,2 172,612
AMERICAN NATIONAL INSUR COM 028591105 632 5,400 SH DEFINED 2 5,400
AMERICAN POWER CONVER COM 029066107 4 200 SH DEFINED 1,2 200
AMERICAN STANDARD COS INC COM 029712106 12 300 SH DEFINED 1,2 300
AMERIPRISE FINANCIAL INC COM 03076C106 14 340 SH DEFINED 1,2 340
AMERISOURCEBERGEN CORP COM 03073E105 2,631 63,550 SH DEFINED 1,2 63,550
AMERUS GROUP CO COM 03072M108 774 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 1,933 24,508 SH DEFINED 1,2 24,508
AMGEN INC NOTE 031162AL4 4,446 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 14,250 150,400 SH DEFINED 1,2 150,400
ANALOG DEVICES COM 032654105 18 500 SH DEFINED 1,2 500
ANDREW CORP NOTE 034425AB4 1,003 1,000,000 PRN DEFINED 2,3 73,048
ANDREW CORP COM 034425108 2 200 SH DEFINED 1,2 200
ANHEUSER BUSCH CO COM 035229103 2,432 56,600 SH DEFINED 1,2 56,600
AON CORP COM 037389103 3,004 83,550 SH DEFINED 1,2 83,550
APACHE CORP COM 037411105 33 480 SH DEFINED 1,2 480
APARTMENT INVT & MGMT CO CL A 03748R101 4 100 SH DEFINED 1,2 100
APOLLO GROUP INC-CL A CL A 037604105 568 9,400 SH DEFINED 1,2 9,400
APPLE COMPUTER INC COM 037833100 86 1,200 SH DEFINED 1,2 1,200
APPLIED BIOSYSTEMS GROUP GRP 038020103 5 200 SH DEFINED 1,2 200
AQUILA INC COM 03840P102 3,675 1,020,768 SH DEFINED 2 1,020,768
ARCHER-DANIELS-MIDLAND CO COM 039483102 22 900 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
ARCHSTONE-SMITH TRUST COM 039583109 13 300 SH DEFINED 1,2 300
ARMOR HOLDINGS INC NOTE 042260AC3 988 1,000,000 PRN DEFINED 2,3 18,515
ARVINMERITOR INC COM 043353101 1,288 89,525 SH DEFINED 2 89,525
ASHLAND INC COM 044209104 809 13,975 SH DEFINED 1,2 13,975
AT&T INC COM 00206R102 136 5,541 SH DEFINED 1,2 5,541
ATWOOD OCEANICS INC COM 050095108 780 10,000 SH DEFINED 2 10,000
AUTODESK INC COM 052769106 13 300 SH DEFINED 1,2 300
AUTOMATIC DATA PROCESSING COM 053015103 37 800 SH DEFINED 1,2 800
AUTONATION INC COM 05329W102 7 300 SH DEFINED 1,2 300
AUTOZONE INC. COM 053332102 1,541 16,800 SH DEFINED 1,2 16,800
AVAYA INC COM 053499109 6 600 SH DEFINED 1,2 600
AVERY DENNISON CORP COM 053611109 11 200 SH DEFINED 1,2 200
AVON PRODUCTS INC COM 054303102 20 700 SH DEFINED 1,2 700
AXIS CAPITAL HOLDINGS LTD SHS G0692U109 1,486 47,500 SH DEFINED 2 47,500
BAKER HUGHES INC COM 057224107 30 500 SH DEFINED 1,2 500
BALL CORP COM 058498106 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
BANK OF AMERICA CORP COM 060505104 6,302 136,564 SH DEFINED 1,2 136,564
BANK OF NEW YORK COM 064057102 4,191 131,600 SH DEFINED 1,2 131,600
BARD (C.R.) INC COM 067383109 13 200 SH DEFINED 1,2 200
BAUSCH & LOMB INC FRNT 071707AM5 1,077 800,000 PRN DEFINED 2,3 13,021
BAUSCH & LOMB INC COM 071707103 7 100 SH DEFINED 1,2 100
BAXTER INTERNATIONAL INC. COM 071813109 34 900 SH DEFINED 1,2 900
BB&T CORPORATION COM 054937107 34 800 SH DEFINED 1,2 800
BEA SYSTEMS INC NOTE 073325AD4 3,341 3,400,000 PRN DEFINED 2,3 98,124
BEAR STEARNS COMPANIES COM 073902108 23 200 SH DEFINED 1,2 200
BEARINGPOINT INC COM 074002106 673 85,625 SH DEFINED 2 85,625
BECTON DICKINSON & CO COM 075887109 24 400 SH DEFINED 1,2 400
BED BATH & BEYOND INC COM 075896100 484 13,400 SH DEFINED 1,2 13,400
BELLSOUTH CORP COM 079860102 70 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 33 750 SH DEFINED 1,2 750
BIG LOTS INC COM 089302103 1 100 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
BIOGEN IDEC INC COM 09062X103 21 460 SH DEFINED 1,2 460
BIOMET INC COM 090613100 15 400 SH DEFINED 1,2 400
BJ SERVICES CO COM 055482103 22 600 SH DEFINED 1,2 600
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 4,185 59,575 SH DEFINED 1,2 59,575
BOSTON SCIENTIFIC CORP COM 101137107 27 1,100 SH DEFINED 1,2 1,100
BOWNE & CO INC COM 103043105 1,081 72,825 SH DEFINED 2 72,825
BRISTOL-MYERS SQUIBB CO COM 110122108 1,473 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 115637209 14 200 SH DEFINED 1,2 200
BRUNSWICK CORP COM 117043109 4 100 SH DEFINED 1,2 100
BURLINGTON NORTHERN SANTA FECOM 12189T104 42 600 SH DEFINED 1,2 600
BURLINGTON RESOURCES INC COM 122014103 1,345 15,600 SH DEFINED 1,2 15,600
CAMPBELL SOUP CO COM 134429109 15 500 SH DEFINED 1,2 500
CAPITAL ONE FINANCIAL CORP COM 14040H105 35 400 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
CARDINAL HEALTH INC COM 14149Y108 41 600 SH DEFINED 1,2 600
CAREMARK RX INC COM 141705103 36 700 SH DEFINED 1,2 700
CARNIVAL CORP DBCV 143658AV4 2,826 3,600,000 PRN DEFINED 2,3 43,848
CARNIVAL CORP PAIRED C143658300 43 800 SH DEFINED 1,2 800
CATERPILLAR INC COM 149123101 58 1,000 SH DEFINED 1,2 1,000
CEMEX SA ADR 151290889 890 15,000 SH DEFINED 2 15,000
CENDANT CORPORATION COM 151313103 888 51,500 SH DEFINED 1,2 51,500
CENTERPOINT ENERGY INC COM 15189T107 5 400 SH DEFINED 1,2 400
CENTEX CORP COM 152312104 6,305 88,200 SH DEFINED 1,2 88,200
CENTURYTEL INC COM 156700106 7 200 SH DEFINED 1,2 200
CHESAPEAKE ENERGY CORP COM 165167107 1,596 50,300 SH DEFINED 2 50,300
CHEVRON TEXACO CORP COM 166764100 2,033 35,807 SH DEFINED 1,2 35,807
CHIRON CORP COM 170040109 9 200 SH DEFINED 1,2 200
CHUBB CORP COM 171232101 29 300 SH DEFINED 1,2 300
CIBER INC COM 17163B102 908 137,625 SH DEFINED 2 137,625
CIGNA CORP COM 125509109 22 200 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
CINCINNATI FINANCIAL CORP COM 172062101 10 220 SH DEFINED 1,2 220
CINERGY CORP COM 172474108 4,174 98,300 SH DEFINED 1,2 98,300
CINTAS CORP COM 172908105 8 200 SH DEFINED 1,2 200
CIRCUIT CITY STORES INC COM 172737108 5 200 SH DEFINED 1,2 200
CISCO SYSTEMS INC COM 17275R102 1,520 88,800 SH DEFINED 1,2 88,800
CIT GROUP INC COM 125581108 16 300 SH DEFINED 1,2 300
CITIGROUP INC COM 172967101 6,474 133,400 SH DEFINED 1,2 133,400
CITIZENS COMMUNICATIONS CO COM 17453B101 5 400 SH DEFINED 1,2 400
CITRIX SYSTEMS INC COM 177376100 6 200 SH DEFINED 1,2 200
CLOROX COMPANY COM 189054109 11 200 SH DEFINED 1,2 200
CMS ENERGY CORP COM 125896100 4 300 SH DEFINED 1,2 300
CNA SURETY CORPORATION COM 12612L108 399,584 27,425,147 SH DEFINED 1,2,4 27,425,147
COACH INC COM 189754104 1,340 40,200 SH DEFINED 1,2 40,200
COCA COLA CO COM 191216100 464 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 44 800 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
COMCAST CORP CL A SPL CL A 20030N200 5,266 205,000 SH DEFINED 2 205,000
COMCAST CORP-CL A CLA 20030N101 2,670 103,002 SH DEFINED 1,2 103,002
COMERICA COM 200340107 1,445 25,450 SH DEFINED 1,2 25,450
COMMERCE BANCORP INC/NJ COM 200519106 531 15,440 SH DEFINED 1,2 15,440
COMMSCOPE INC COM 203372107 903 44,850 SH DEFINED 2 44,850
COMPASS BANCSHARES INC COM 20449H109 10 200 SH DEFINED 1,2 200
COMPUTER ASSOCIATES INTL COM 204912109 2,157 76,502 SH DEFINED 1,2 76,502
COMPUTER NETWORK TECH NOTE 204925AC5 1,730 1,800,000 PRN DEFINED 2,3 122,066
COMPUTER SCIENCES CORP COM 205363104 1,776 35,075 SH DEFINED 1,2 35,075
COMPUWARE CORP COM 205638109 1,698 189,300 SH DEFINED 1,2 189,300
COMVERSE TECHNOLOGY INC COM 205862402 8 300 SH DEFINED 1,2 300
CONAGRA FOODS INC COM 205887102 14 700 SH DEFINED 1,2 700
CONSOLIDATED EDISON INC COM 209115104 19 400 SH DEFINED 1,2 400
CONSTELLATION BRANDS CL A 21036P108 8 300 SH DEFINED 1,2 300
CONSTELLATION ENERGY GRP COM 210371100 17 300 SH DEFINED 1,2 300
COOPER INDUSTRIES LTD CL A G24182100 15 200 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
COOPER TIRE & RUBBER COM 216831107 2 100 SH DEFINED 1,2 100
CORNING INC COM 219350105 39 2,000 SH DEFINED 1,2 2,000
COSTCO WHOLESALE CORP COM 22160K105 35 700 SH DEFINED 1,2 700
COUNTRYWIDE FINANCIAL COM 222372104 393 11,498 SH DEFINED 1,2 11,498
CSX CORP COM 126408103 15 300 SH DEFINED 1,2 300
CUMMINS INC COM 231021106 9 100 SH DEFINED 1,2 100
CVS CORP COM 126650100 843 31,900 SH DEFINED 1,2 31,900
DANA CORP COM 235811106 1 200 SH DEFINED 1,2 200
DANAHER CORP COM 235851102 971 17,400 SH DEFINED 1,2 17,400
DARDEN RESTAURANTS INC COM 237194105 8 200 SH DEFINED 1,2 200
DEERE & CO COM 244199105 27 400 SH DEFINED 1,2 400
DEL MONTE FOODS CO COM 24522P103 944 90,500 SH DEFINED 2 90,500
DELL INC. COM 24702R101 1,457 48,600 SH DEFINED 1,2 48,600
DELPHI FINANCIAL GROUP CLA 247131105 749 16,275 SH DEFINED 2 16,275
DEVON ENERGY CORPORATION COM 25179M103 44 700 SH DEFINED 1,2 700
DEX MEDIA INC COM 25212E100 1,784 65,850 SH DEFINED 2 65,850
DIAGEO PLC ADR 25243Q205 2,064 35,400 SH DEFINED 2 35,400
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
DILLARDS INC-CL A CL A 254067101 2 100 SH DEFINED 1,2 100
DISCOVERY HOLDING CO COM 25468Y107 3,341 220,500 SH DEFINED 2 220,500
DISNEY (WALT) CO NOTE 254687AU0 3,500 3,500,000 PRN DEFINED 2,3 118,805
DOLLAR GENERAL CORP COM 256669102 8 400 SH DEFINED 1,2 400
DOMINION RESOURCES INC COM 25746U109 39 500 SH DEFINED 1,2 500
DOMINION RESOURCES INC NOTE 25746UAT6 545 500,000 PRN DEFINED 2,3 6,793
DOVER CORP COM 260003108 12 300 SH DEFINED 1,2 300
DOW CHEMICAL CORP COM 260543103 2,147 49,000 SH DEFINED 1,2 49,000
DPL INC COM 233293109 2,052 78,900 SH DEFINED 2 78,900
DR HORTON INC COM 23331A109 14 400 SH DEFINED 1,2 400
DST SYSTEMS INC DBCV 233326AB3 663 500,000 PRN DEFINED 2,3 10,187
DTE ENERGY COMPANY COM 233331107 13 300 SH DEFINED 1,2 300
DU PONT (E.I.) DE NEMOURS COM 263534109 60 1,400 SH DEFINED 1,2 1,400
DUKE ENERGY CORP COM 264399106 36 1,300 SH DEFINED 1,2 1,300
DYNEGY INC-CL A CL A 26816Q101 2 400 SH DEFINED 1,2 400
E*TRADE FINANCIAL CORP COM 269246104 10 500 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
E*TRADE GROUP NOTE 269246AB0 2,525 2,500,000 PRN DEFINED 2,3 105,932
EASTMAN CHEMICAL COMPANY COM 277432100 5 100 SH DEFINED 1,2 100
EASTMAN KODAK CO COM 277461109 9 400 SH DEFINED 1,2 400
EATON CORP COM 278058102 13 200 SH DEFINED 1,2 200
EBAY INC COM 278642103 1,387 32,100 SH DEFINED 1,2 32,100
ECOLAB INC COM 278865100 11 300 SH DEFINED 1,2 300
EDISON INTERNATIONAL COM 281020107 22 500 SH DEFINED 1,2 500
EL PASO CORP COM 28336L109 11 900 SH DEFINED 1,2 900
ELECTRONCIS FOR IMAGING DBCV 286082AA0 1,001 900,000 PRN DEFINED 2,3 34,066
ELECTRONIC ARTS INC COM 285512109 549 10,500 SH DEFINED 1,2 10,500
ELECTRONIC DATA SYSTEMS NOTE 285661AF1 2,943 2,950,000 PRN DEFINED 2,3 86,409
ELECTRONIC DATA SYSTEMS COM 285661104 17 700 SH DEFINED 1,2 700
ELI LILLY & CO COM 532457108 91 1,600 SH DEFINED 1,2 1,600
EMC CORP MASS SR NT NOTE 268648AG7 3,120 3,000,000 PRN DEFINED 2,3 217,391
EMC CORP/MASS COM 268648102 46 3,400 SH DEFINED 1,2 3,400
EMERSON ELECTRIC CO COM 291011104 45 600 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
EMPRESA BRASILIERA DE AE ADR PFD 29081M102 684 17,500 SH DEFINED 2 17,500
ENCANA CORP COM 292505104 813 18,000 SH DEFINED 2 18,000
ENDURANCE SPECIALTY HLDGS SHS G30397106 896 25,000 SH DEFINED 2 25,000
ENGELHARD CORP COM 292845104 6 200 SH DEFINED 1,2 200
ENTERGY CORP COM 29364G103 3,666 53,400 SH DEFINED 1,2 53,400
EOG RESOURCES INC COM 26875P101 29 400 SH DEFINED 1,2 400
EQUIFAX INC COM 294429105 8 200 SH DEFINED 1,2 200
EQUITY OFFICE PROPERTIES COM 294741103 18 600 SH DEFINED 1,2 600
EQUITY RESIDENTIAL INT 29476L107 16 400 SH DEFINED 1,2 400
EXELON CORP COM 30161N101 1,780 33,500 SH DEFINED 1,2 33,500
EXPRESS SCRIPTS INC COM 302182100 17 200 SH DEFINED 1,2 200
EXXON MOBIL CORP COM 30231G102 1,943 34,600 SH DEFINED 1,2 34,600
FEDERAL NATL MTGE ASSN. COM 313586109 2,981 61,075 SH DEFINED 1,2 61,075
FEDERATED DEPARTMENT STR COM 31410H101 28 424 SH DEFINED 1,2 424
FEDERATED INVESTORS INC CL B 314211103 4 100 SH DEFINED 1,2 100
FEDEX CORP COM 31428X106 52 500 SH DEFINED 1,2 500
FIRST AMERICAN CORP COM 318522307 2,997 66,150 SH DEFINED 2 66,150
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
FIRST CITIZENS BCSHS CL A 31946M103 331 1,900 SH DEFINED 2 1,900
FIRST DATA CORP COM 319963104 48 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 974 700,000 PRN DEFINED 2,3 14,748
FISHER SCIENTIFIC INTL INC COM 338032204 12 200 SH DEFINED 1,2 200
FLIR SYSTEMS INC NOTE 302445AB7 1,020 870,000 PRN DEFINED 2,3 19,602
FLUOR CORP COM 343412102 8 100 SH DEFINED 1,2 100
FMC CORP (NEW) COM 302491303 1,729 32,525 SH DEFINED 2 32,525
FORD MOTOR CO COM 345370860 20 2,600 SH DEFINED 1,2 2,600
FOREST LABORATORIES INC COM 345838106 20 500 SH DEFINED 1,2 500
FORTUNE BRANDS INC COM 349631101 16 200 SH DEFINED 1,2 200
FPL GROUP INC COM 302571104 25 600 SH DEFINED 1,2 600
FRANKLIN RESOURCES INC COM 354613101 28 300 SH DEFINED 1,2 300
FREDDIE MAC COM 313400301 3,483 53,300 SH DEFINED 1,2 53,300
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
FREEPORT-MCMORAN COPPER CL B 35671D857 16 300 SH DEFINED 1,2 300
FREESCALE SEMICONDUCTOR CL B 35687M206 14 564 SH DEFINED 1,2 564
GANNETT CO COM 364730101 24 400 SH DEFINED 1,2 400
GAP INC/THE COM 364760108 18 1,000 SH DEFINED 1,2 1,000
GENENTECH INC COM 368710406 1,430 15,460 SH DEFINED 1,2 15,460
GENERAL DYNAMICS CORP COM 369550108 34 300 SH DEFINED 1,2 300
GENERAL ELECTRIC CO COM 369604103 4,402 125,600 SH DEFINED 1,2 125,600
GENERAL MILLS INCORP COM 370334104 1,011 20,500 SH DEFINED 1,2 20,500
GENERAL MOTORS CORP COM 370442105 16 800 SH DEFINED 1,2 800
GENUINE PARTS CO COM 372460105 13 300 SH DEFINED 1,2 300
GENZYME CORP NOTE 372917AN4 959 850,000 PRN DEFINED 2,3 11,931
GENZYME CORP COM 372917104 28 400 SH DEFINED 1,2 400
GILEAD SCIENCES INC COM 375558103 326 6,200 SH DEFINED 1,2 6,200
GLENBOROUGH REALTY TRUST INCCOM 37803P105 327 18,050 SH DEFINED 2 18,050
GLOBAL IMAGING SYSTEMS INC COM 37934A100 822 23,750 SH DEFINED 2 23,750
GOLDEN WEST FINANCIAL CORP COM 381317106 26 400 SH DEFINED 1,2 400
GOLDMAN SACHS GROUP INC COM 38141G104 89 700 SH DEFINED 1,2 700
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
GOODRICH CORP COM 382388106 8 200 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 2,904 7,000 SH DEFINED 1,2 7,000
GUIDANT CORP COM 401698105 32 500 SH DEFINED 1,2 500
GUITAR CENTER MG NOTE 402040AC3 1,927 1,300,000 PRN DEFINED 2,3 37,594
H&R BLOCK INC COM 093671105 15 600 SH DEFINED 1,2 600
HALLIBURTON CO COM 406216101 43 700 SH DEFINED 1,2 700
HANGER ORTHOPEDIC GROUP COM 41043F208 314 55,075 SH DEFINED 2 55,075
HARLEY-DAVIDSON INC COM 412822108 21 400 SH DEFINED 1,2 400
HARRAHS ENTERTAINMENT INC COM 413619107 21 300 SH DEFINED 1,2 300
HARTFORD FINANCIAL SVCS COM 416515104 43 500 SH DEFINED 1,2 500
HASBRO INC COM 418056107 783 38,825 SH DEFINED 1,2 38,825
HCA INC COM 404119109 30 600 SH DEFINED 1,2 600
HEALTH MGMT ASSOCIATES CL A 421933102 7 300 SH DEFINED 1,2 300
HENRY SCHEIN INC NOTE 806407AB8 1,011 900,000 PRN DEFINED 2,3 19,422
HERCULES INC COM 427056106 2,770 245,100 SH DEFINED 1,2,4 245,100
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
HERSHEY CO/THE COM 427866108 17 300 SH DEFINED 1,2 300
HEWLETT-PACKARED CO COM 428236103 1,682 58,760 SH DEFINED 1,2 58,760
HILTON HOTELS CORP COM 432848109 12 500 SH DEFINED 1,2 500
HJ HEINZ CO COM 423074103 17 500 SH DEFINED 1,2 500
HOME DEPOT COM 437076102 2,757 68,100 SH DEFINED 1,2 68,100
HONEYWELL INTERNATIONAL COM 438516106 45 1,200 SH DEFINED 1,2 1,200
HORACE MANN EDUCATORS COM 440327104 965 50,900 SH DEFINED 2 50,900
HORMEL FOODS CORP COM 440452100 167 5,100 SH DEFINED 2 5,100
HOSPIRA INC COM 441060100 9 220 SH DEFINED 1,2 220
HUB INTERNATIONAL LIMITED COM 44332P101 556 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 1,080 1,000,000 PRN DEFINED 2,3 33,512
IDACORP INC COM 451107106 670 22,875 SH DEFINED 2 22,875
ILLINOIS TOOL WORKS COM 452308109 35 400 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
IMS HEALTH INC COM 449934108 7 300 SH DEFINED 1,2 300
INCO LTD DBCV 453258AT2 3,569 2,522,000 PRN DEFINED 2 80,541
INGERSOLL-RAND CO LTD CL A G4776G101 24 600 SH DEFINED 1,2 600
INTEGRA LIFESCIENCES HLD NOTE 457985AB5 714 635,000 PRN DEFINED 2,3 18,596
INTEL CORP COM 458140100 1,468 58,800 SH DEFINED 1,2 58,800
INTERNATIONAL BUSINESS MACHICOM 459200101 9,395 114,300 SH DEFINED 1,2 114,300
INTERPUBLIC GROUP COS NOTE 460690AT7 970 930,000 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 15 500 SH DEFINED 1,2 500
INTL RECTIFIER NOTE 460254AE5 3,413 3,500,000 PRN DEFINED 2,3 47,339
INTUIT INC COM 461202103 16 300 SH DEFINED 1,2 300
INVITROGEN INC NOTE 46185RAJ9 979 900,000 PRN DEFINED 2,3 13,189
IPC HOLDINGS LTD ORD G4933P101 2,675 97,700 SH DEFINED 2 97,700
ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848 47,320 3,500,000 SH DEFINED 2 3,500,000
ITT INDUSTRIES INC COM 450911102 21 200 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
IVAX CORP NOTE 465823AG7 2,015 2,000,000 PRN DEFINED 2,3 88,018
IVAX CORP NOTE 465823AQ5 1,376 1,000,000 PRN DEFINED 2,3 44,009
J.C. PENNEY CO INC COM 708160106 22 400 SH DEFINED 1,2 400
JABIL CIRCUIT INC COM 466313103 11 300 SH DEFINED 1,2 300
JANUS CAPITAL GROUP INC COM 47102X105 6 300 SH DEFINED 1,2 300
JEFFERSON-PILOT CORP COM 475070108 11 200 SH DEFINED 1,2 200
JER INVESTORS TRUST INC COM 46614H301 848 50,000 SH DEFINED 2,4 50,000
JOHNSON & JOHNSON COM 478160104 1,160 19,300 SH DEFINED 1,2 19,300
JOHNSON CONTROL INC COM 478366107 1,757 24,100 SH DEFINED 1,2 24,100
JONES APPAREL GROUP INC COM 480074103 6 200 SH DEFINED 1,2 200
JPMORGAN CHASE & CO COM 46625H100 2,999 75,562 SH DEFINED 1,2 75,562
KAYDON CORP NOTE 486587AB4 58 50,000 PRN DEFINED 2,3 1,715
KB HOME COM 48666K109 7 100 SH DEFINED 1,2 100
KELLOGG CO COM 487836108 22 500 SH DEFINED 1,2 500
KELLWOOD CO COM 488044108 547 22,900 SH DEFINED 2 22,900
KELLY SERVICES INC CL A 488152208 1,186 45,250 SH DEFINED 2 45,250
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
KENNAMETAL INC COM 489170100 970 19,000 SH DEFINED 2 19,000
KERR MC GEE CORP COM 492386107 1,381 15,200 SH DEFINED 1,2 15,200
KEYCORP COM 493267108 20 600 SH DEFINED 1,2 600
KEYSPAN CORP COM 49337W100 11 300 SH DEFINED 1,2 300
KIMBERLY CLARK COM 494368103 937 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 24 500 SH DEFINED 1,2 500
KROGER CO COM 501044101 19 1,000 SH DEFINED 1,2 1,000
L-3 COMMUNICATIONS CORP COM 502424104 238 3,200 SH DEFINED 1,2 3,200
LABORATORY CRP OF AMER COM 50540R409 11 200 SH DEFINED 1,2 200
LEAR CORP COM 521865105 3,898 136,950 SH DEFINED 2 136,950
LEGGETT & PLATT INC COM 524660107 7 300 SH DEFINED 1,2 300
LEHMAN BROTHERS HOLDING COM 524908100 2,486 19,400 SH DEFINED 1,2 19,400
LEVEL 3 COMMUNICATIONS NOTE 52729NBA7 189 300,000 PRN DEFINED 2,3 41,783
LEXMARK INTERNATIONAL INC CL A 529771107 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
LIBBEY INC COM 529898108 393 38,475 SH DEFINED 2 38,475
LIBERTY MEDIA COMSERA 530718105 4,339 551,300 SH DEFINED 2 551,300
LIBERTY MEDIA DEB 530718AF2 1,926 1,800,000 PRN DEFINED 2,3 103,334
LIMITED BRANDS INC COM 532716107 11 500 SH DEFINED 1,2 500
LINCARE HOLDINGS DBCV 532791AB6 952 950,000 PRN DEFINED 2,3 17,814
LINCOLN NATIONAL CORP IND COM 534187109 5,319 100,300 SH DEFINED 1,2 100,300
LINEAR TECHNOLOGY CORP COM 535678106 14 400 SH DEFINED 1,2 400
LIZ CLAIBORNE INC COM 539320101 7 200 SH DEFINED 1,2 200
LOCKHEED MARTIN CORP COM 539830109 38 600 SH DEFINED 1,2 600
LORAL SPACE AND COMM COM 543881106 591 20,900 SH DEFINED 2 20,900
LOUISIANA-PACIFIC CORP COM 546347105 3 100 SH DEFINED 1,2 100
LOWES COS INC COM 548661107 73 1,100 SH DEFINED 1,2 1,100
LSI LOGIC CORP COM 502161102 4 500 SH DEFINED 1,2 500
LUCENT TECHNOLOGIES INC COM 549463107 17 6,300 SH DEFINED 1,2 6,300
M & T BANK CORP COM 55261F104 22 200 SH DEFINED 1,2 200
MAGNA INTERNATIONAL INC CL A 559222401 1,261 17,525 SH DEFINED 2 17,525
MANOR CARE INC COM 564055101 4 100 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
MARATHON OIL CORP COM 565849106 32 523 SH DEFINED 1,2 523
MARRIOTT INTERNATIONAL CLA 571903202 1,527 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
MATTEL INC COM 577081102 8 500 SH DEFINED 1,2 500
MAXIM INTEGRATED PRODUCTS COM 57772K101 361 9,960 SH DEFINED 1,2 9,960
MAYTAG CORP. COM 578592107 603 32,050 SH DEFINED 2 32,050
MBIA INC COM 55262C100 3,922 65,200 SH DEFINED 1,2 65,200
MBNA CORP COM 55262L100 48 1,750 SH DEFINED 1,2 1,750
MCCORMICK & CO COM 579780206 6 200 SH DEFINED 1,2 200
MCDONALD'S CORP COM 580135101 2,219 65,800 SH DEFINED 1,2 65,800
MCGRAW-HILL COMPANIES INC COM 580645109 26 500 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 23 411 SH DEFINED 1,2 411
MEDIACOM COMMUNICATIONS CL A 58446K105 1,098 200,000 SH DEFINED 2 200,000
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
MEDICIS PHARMACE NOTE 58470KAA2 1,051 900,000 PRN DEFINED 2,3 15,491
MEDTRONIC INC COM 585055106 1,134 19,700 SH DEFINED 1,2 19,700
MEDTRONIC INC DBCV 585055AD8 506 500,000 PRN DEFINED 2,3 8,090
MELLON FINANCIAL CORP COM 58551A108 21 600 SH DEFINED 1,2 600
MERCURY INTERACTIVE CORP COM 589405109 4,638 166,900 SH DEFINED 1,2 166,900
MEREDITH CORP COM 589433101 5 100 SH DEFINED 1,2 100
MERRILL LYNCH NOTE 590188A65 299 540,000 PRN DEFINED 2,3 3,066
MERRILL LYNCH & CO NOTE 590188W46 3,180 3,000,000 PRN DEFINED 2,3 41,464
MERRILL LYNCH & CO INC COM 590188108 95 1,400 SH DEFINED 1,2 1,400
METLIFE INC COM 59156R108 2,323 47,400 SH DEFINED 1,2 47,400
MGIC INVESTMENT CORP COM 552848103 13 200 SH DEFINED 1,2 200
MI DEVELOPMENTS INC CL A 55304X104 917 26,650 SH DEFINED 2 26,650
MICRON TECHNOLOGY INC COM 595112103 11 800 SH DEFINED 1,2 800
MICROSOFT CORP COM 594918104 6,132 234,500 SH DEFINED 1,2 234,500
MILACRON INC COM 598709103 115 91,150 SH DEFINED 2 91,150
MILLIPORE CORP COM 601073109 7 100 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
MOLEX INC COM 608554101 5 200 SH DEFINED 1,2 200
MOLSON COORS BREWING CO CL B 60871R209 7 100 SH DEFINED 1,2 100
MONEYGRAM INTERNATIONAL COM 60935Y109 777 29,775 SH DEFINED 2 29,775
MONSANTO CO COM 61166W101 33 426 SH DEFINED 1,2 426
MONSTER WORLDWIDE INC COM 611742107 8 200 SH DEFINED 1,2 200
MOODYS CORP COM 615369105 25 400 SH DEFINED 1,2 400
MORGAN STANLEY COM 617446448 2,482 43,750 SH DEFINED 1,2 43,750
MOTOROLA INC COM 620076109 79 3,500 SH DEFINED 1,2 3,500
MSDW ASIA PACIFIC FUND COM 61744U106 171 11,000 SH DEFINED 2 11,000
MYLAN LABORATORIES INC COM 628530107 6 300 SH DEFINED 1,2 300
NABORS INDUSTRIES LTD SHS G6359F103 15 200 SH DEFINED 1,2 200
NACCO INDUSTRIES-CL A CL A 629579103 726 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 19 300 SH DEFINED 1,2 300
NATIONAL SEMICONDUCTOR COM 637640103 13 500 SH DEFINED 1,2 500
NBTY INC COM 628782104 791 48,675 SH DEFINED 2 48,675
NCI BUILDING SYSTEMS INC COM 628852105 669 15,750 SH DEFINED 2 15,750
NCR CORPORATION COM 62886E108 10 300 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
NEENAH PAPER INC COM 640079109 0 0 SH DEFINED 1,2 0
NETWORK APPLIANCE INC COM 64120L104 745 27,605 SH DEFINED 1,2 27,605
NEUBERGER BERMAN REALTY INC COM 64126G109 725 40,000 SH DEFINED 2 40,000
NEWELL RUBBERMAID INC COM 651229106 10 400 SH DEFINED 1,2 400
NEWMONT MINING CORP COM 651639106 32 600 SH DEFINED 1,2 600
NEWS CORP LTD CL A 65248E104 6,832 439,336 SH DEFINED 1,2 439,336
NICOR INC COM 654086107 4 100 SH DEFINED 1,2 100
NIKE INC -CL B CL B 654106103 35 400 SH DEFINED 1,2 400
NISOURCE INC COM 65473P105 2,741 131,400 SH DEFINED 1,2 131,400
NOBLE CORP SHS G65422100 14 200 SH DEFINED 1,2 200
NORDSTROM INC COM 655664100 15 400 SH DEFINED 1,2 400
NORFOLK SOUTHERN CORP COM 655844108 27 600 SH DEFINED 1,2 600
NORTEL NETWORKS NOTE 656568AB8 8,438 9,000,000 PRN DEFINED 2,4 900,000
NORTH FORK BANCORP COM 659424105 19 700 SH DEFINED 1,2 700
NORTHEAST UTILITIES COM 664397106 1,107 56,200 SH DEFINED 2 56,200
NORTHERN TRUST CORP COM 665859104 1,109 21,400 SH DEFINED 1,2 21,400
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
NORTHROP GRUMMAN CORP COM 666807102 33 548 SH DEFINED 1,2 548
NOVELL INC DBCV 670006AC9 2,470 2,600,000 PRN DEFINED 2,3 225,655
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 13 200 SH DEFINED 1,2 200
NVIDIA CORP COM 67066G104 7 200 SH DEFINED 1,2 200
OCCIDENTAL PETROLEUM CORP COM 674599105 48 600 SH DEFINED 1,2 600
OFFICE DEPOT INC COM 676220106 13 400 SH DEFINED 1,2 400
OFFICEMAX INC COM 67622P101 3 100 SH DEFINED 1,2 100
OLD REPUBLIC INTL CORP COM 680223104 1,427 54,338 SH DEFINED 2 54,338
OMNICOM GROUP COM 681919106 26 300 SH DEFINED 1,2 300
ORACLE CORP COM 68389X105 76 6,200 SH DEFINED 1,2 6,200
PACCAR INC COM 693718108 21 300 SH DEFINED 1,2 300
PACTIV CORPORATION COM 695257105 4 200 SH DEFINED 1,2 200
PALL CORP COM 696429307 5 200 SH DEFINED 1,2 200
PARAMETRIC TECHNOLOGY CORP COM 699173100 2 300 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
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 1,442 24,400 SH DEFINED 1,2 24,400
PERKINELMER INC COM 714046109 5 200 SH DEFINED 1,2 200
PETRO-CANADA COM 71644E102 2,405 60,000 SH DEFINED 2 60,000
PETROLEO BRASILEIRO S.A. ADR 71654V101 3,862 60,000 SH DEFINED 2 60,000
PFIZER INC COM 717081103 3,773 161,800 SH DEFINED 1,2 161,800
PG&E CORPORATION COM 69331C108 3,486 93,900 SH DEFINED 1,2 93,900
PHARMACEUTICAL HLDRS TRUST DEPOSITR71712A206 45,273 650,000 SH DEFINED 2 650,000
PHELPS DODGE CORP COM 717265102 29 200 SH DEFINED 1,2 200
PHH CORP COM 693320202 847 30,225 SH DEFINED 2 30,225
PHILIPS ELECTRONICS NY REG S500472303 3,088 99,300 SH DEFINED 2 99,300
PHILLIPS PETROLEUM CO COM 20825C104 3,608 62,022 SH DEFINED 1,2 62,022
PINNACLE WEST CAPITAL COM 723484101 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
PIONEER NATURAL RESOURCES COCOM 723787107 5,486 107,000 SH DEFINED 2 107,000
PITNEY BOWES INC COM 724479100 13 300 SH DEFINED 1,2 300
PIXAR INC COM 725811103 380 7,200 SH DEFINED 1,2 7,200
PLACER DOME INC COM 725906101 1,511 65,900 SH DEFINED 2 65,900
PLUM CREEK TIMBER CO COM 729251108 11 300 SH DEFINED 1,2 300
PNC FINANCIAL SERVICES GRP COM 693475105 25 400 SH DEFINED 1,2 400
PPG INDUSTRIES INC COM 693506107 17 300 SH DEFINED 1,2 300
PPL CORPORATION COM 69351T106 18 600 SH DEFINED 1,2 600
PRAXAIR INC COM 74005P104 1,615 30,500 SH DEFINED 1,2 30,500
PREMIUM STANDARD FARMS INC COM 74060C105 8,627 576,682 SH DEFINED 2,3 576,682
PRIDE INTERNATIONAL INC NOTE 74153QAD4 1,054 800,000 PRN DEFINED 2,3 31,124
PRINCIPAL FINANCIAL GROUP COM 74251V102 19 400 SH DEFINED 1,2 400
PROCTER & GAMBLE CO COM 742718109 1,092 18,865 SH DEFINED 1,2 18,865
PROGRESS ENERGY INC COM 743263105 18 400 SH DEFINED 1,2 400
PROGRESSIVE CORP COM 743315103 1,690 14,470 SH DEFINED 1,2 14,470
PROLOGIS INT 743410102 14 300 SH DEFINED 1,2 300
PRUDENTIAL FINANCIAL INC COM 744320102 59 800 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
PUBLIC SERVICE CO OF N MEX COM 69349H107 33,005 1,347,681 SH DEFINED 2,4 1,347,681
PUBLIC SERVICE ENTERPRISE COM 744573106 26 400 SH DEFINED 1,2 400
PULTE CORP COM 745867101 11,037 280,400 SH DEFINED 1,2 280,400
QUALCOMM INC COM 747525103 1,004 23,300 SH DEFINED 1,2 23,300
QUEST DIAGNOSTICS COM 74834L100 15 300 SH DEFINED 1,2 300
QWEST COMMUNICATIONS INTL COM 749121109 13 2,300 SH DEFINED 1,2 2,300
RADIOSHACK CORP COM 750438103 607 28,850 SH DEFINED 1,2 28,850
RAYTHEON COMPANY COM 755111507 28 700 SH DEFINED 1,2 700
REEBOK INTERNATIONAL LTD COM 758110100 6 100 SH DEFINED 1,2 100
REGIONS FINANCIAL CORP COM 7591EP100 21 620 SH DEFINED 1,2 620
RENAISSANCERE HLDGS LTD COM G7496G103 2,280 51,700 SH DEFINED 2 51,700
RENT-A-CENTER INC COM 76009N100 2,387 126,575 SH DEFINED 2 126,575
REYNOLDS AMERICAN INC COM 761713106 19 200 SH DEFINED 1,2 200
ROBBINS & MYERS INC COM 770196103 270 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 18 300 SH DEFINED 1,2 300
ROCKWELL COLLINS INC. COM 774341101 14 300 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
ROHM AND HAAS CO COM 775371107 15 300 SH DEFINED 1,2 300
ROWAN COMPANIES INC COM 779382100 7 200 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 11 200 SH DEFINED 1,2 200
SAFEWAY INC COM 786514208 14 600 SH DEFINED 1,2 600
SALESFORCE.COM INC COM 79466L302 327 10,200 SH DEFINED 1,2 10,200
SARA LEE CORP COM 803111103 1,638 86,650 SH DEFINED 1,2 86,650
SCANA CORP COM 80589M102 1,993 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 2,662 27,400 SH DEFINED 1,2 27,400
SCHLUMBERGER LIMITED DBCV 806857AC2 3,438 2,500,000 PRN DEFINED 2,3 34,564
SCHWAB (CHARLES) CORP COM 808513105 23 1,600 SH DEFINED 1,2 1,600
SCHWEITZER-MAUDUIT INTL INC COM 808541106 972 39,225 SH DEFINED 2 39,225
SCI SYSTEMS INC NOTE 783890AF3 5,362 5,600,000 PRN DEFINED 2,3 135,429
SCIENTIFIC-ATLANTA INC COM 808655104 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
SCRIPPS CO (E.W.)-CL A CL A 811054204 960 20,000 SH DEFINED 2 20,000
SEALED AIR CORP COM 81211K100 6 100 SH DEFINED 1,2 100
SEARS HOLDINGS CORP COM 812350106 26 225 SH DEFINED 1,2 225
SEMPRA ENERGY COM 816851109 1,529 34,100 SH DEFINED 1,2 34,100
SENOMYX INC COM 81724Q107 217 17,900 SH DEFINED 2 17,900
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 23 300 SH DEFINED 1,2 300
SLM CORP DBCV 78442PAC0 1,535 1,500,000 PRN DEFINED 2,3 22,736
SLM CORP COM 78442P106 33 600 SH DEFINED 1,2 600
SNAP-ON INC COM 833034101 4 100 SH DEFINED 1,2 100
SOLECTRON CORP NOTE 834182AT4 2,295 3,160,000 PRN DEFINED 2,3 326,892
SOLECTRON CORP COM 834182107 5 1,300 SH DEFINED 1,2 1,300
SOUTHERN CO COM 842587107 38 1,100 SH DEFINED 1,2 1,100
SOUTHWEST AIRLINES CO COM 844741108 16 1,000 SH DEFINED 1,2 1,000
SOVEREIGN BANCORP INC COM 845905108 11 500 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
SPHERION CORPORATION COM 848420105 1,152 115,050 SH DEFINED 2 115,050
SPRINT CORP-FON GROUP COM 852061100 5,002 214,128 SH DEFINED 1,2 214,128
ST JUDE MEDICAL INC COM 790849103 1,029 20,500 SH DEFINED 1,2 20,500
ST PAUL TRAVELERS COS COM 792860108 45 1,007 SH DEFINED 1,2 1,007
STANLEY WORKS/THE COM 854616109 5 100 SH DEFINED 1,2 100
STAPLES INC COM 855030102 24 1,050 SH DEFINED 1,2 1,050
STARBUCKS CORP COM 855244109 607 20,230 SH DEFINED 1,2 20,230
STARWOOD HOTELS & RESORTS PAIRED C85590A203 19 300 SH DEFINED 1,2 300
STATE STREET CORP COM 857477103 28 500 SH DEFINED 1,2 500
STREETTRACKS GOLD TRUST GOLD SHS863307104 36,106 700,000 SH DEFINED 2 700,000
STRYKER CORP COM 863667101 22 500 SH DEFINED 1,2 500
SUN MICROSYSTEMS INC COM 866810104 20 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 29 1,674 SH DEFINED 1,2 1,674
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
SYMBOL TECHNOLOGIES INC COM 871508107 4 301 SH DEFINED 1,2 301
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 14 200 SH DEFINED 1,2 200
TARGET CORP COM 87612E106 1,171 21,300 SH DEFINED 1,2 21,300
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 7 600 SH DEFINED 1,2 600
TEMPLE-INLAND INC COM 879868107 9 200 SH DEFINED 1,2 200
TESORO PETROLEUM CORP COM 881609101 2,277 37,000 SH DEFINED 2 37,000
TEXAS INSTRUMENTS INC COM 882508104 77 2,400 SH DEFINED 1,2 2,400
TEXTRON INC COM 883203101 1,416 18,400 SH DEFINED 1,2 18,400
THE WALT DISNEY CO. COM 254687106 70 2,900 SH DEFINED 1,2 2,900
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 4,227 242,400 SH DEFINED 1,2 242,400
TJX COS INC NOTE 872540AL3 799 1,000,000 PRN DEFINED 2,3 32,667
TJX COS. INC. NEW COM 872540109 2,843 122,400 SH DEFINED 1,2 122,400
TORCHMARK CORP COM 891027104 2,167 38,975 SH DEFINED 1,2 38,975
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
TRANSOCEAN INC ORD G90078109 35 500 SH DEFINED 1,2 500
TRIBUNE CO COM 896047107 12 400 SH DEFINED 1,2 400
TXU CORP COM 873168108 40 800 SH DEFINED 1,2 800
TYCO INTERNATIONAL LTD COM 902124106 242 8,400 SH DEFINED 1,2 8,400
UNION PACIFIC COM 907818108 2,615 32,475 SH DEFINED 1,2 32,475
UNITED NATIONAL GROUP LTD COM 90933T109 536 29,200 SH DEFINED 2 29,200
UNITED PARCEL SERVICE CL B 911312106 120 1,600 SH DEFINED 1,2 1,600
UNITED STATES STEEL CORP COM 912909108 10 200 SH DEFINED 1,2 200
UNITED STATIONERS INC COM 913004107 929 19,150 SH DEFINED 2 19,150
UNITED TECHNOLOGIES CORP COM 913017109 84 1,500 SH DEFINED 1,2 1,500
UNITEDHEALTH GROUP INC COM 91324P102 1,727 27,800 SH DEFINED 1,2 27,800
UNIVERSAL CORP-VA COM 913456109 970 22,375 SH DEFINED 2 22,375
UNUMPROVIDENT CORP COM 91529Y106 9 400 SH DEFINED 1,2 400
US BANCORP COM 902973304 78 2,600 SH DEFINED 1,2 2,600
USI HOLDINGS CORP COM 90333H101 963 69,950 SH DEFINED 2 69,950
UST INC COM 902911106 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
VALASSIS COMMUNICATIONS COM 918866104 786 27,050 SH DEFINED 2 27,050
VALERO ENERGY CORP COM 91913Y100 11,393 220,800 SH DEFINED 1,2 220,800
VARIAN MEDICAL SYSTEMS INC COM 92220P105 428 8,500 SH DEFINED 1,2 8,500
VERITAS SOFTWARE CORP NOTE 923436AD1 3,772 3,899,000 PRN DEFINED 2,3 95,030
VERIZON COMMUNICATIONS INC. COM 92343V104 515 17,100 SH DEFINED 1,2 17,100
VF CORP COM 918204108 11 200 SH DEFINED 1,2 200
VIACOM INC-CL B CL B 925524308 75 2,300 SH DEFINED 1,2 2,300
VIAD CORP COM 92552R406 1,645 56,100 SH DEFINED 2 56,100
VISTEON CORP COM 92839U107 1 100 SH DEFINED 1,2 100
VODAFONE AIRTOUCH PLC ADR 92857W100 3,221 150,000 SH DEFINED 2 150,000
VULCAN MATERIALS CO COM 929160109 14 200 SH DEFINED 1,2 200
WACHOVIA CORP COM 929903102 2,154 40,745 SH DEFINED 1,2 40,745
WAL MART STORES INC COM 931142103 3,571 76,300 SH DEFINED 1,2 76,300
WALGREEN CO COM 931422109 376 8,500 SH DEFINED 1,2 8,500
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
WASHINGTON MUTUAL INC COM 939322103 808 18,585 SH DEFINED 1,2 18,585
WASTE MANAGEMENT INC COM 94106L109 24 800 SH DEFINED 1,2 800
WATERS CORP COM 941848103 8 200 SH DEFINED 1,2 200
WATSON PHARMACEUTICALS COM 942683103 7 200 SH DEFINED 1,2 200
WELLPOINT INC COM 94973V107 72 900 SH DEFINED 1,2 900
WELLS FARGO & COMPANY COM 949746101 151 2,400 SH DEFINED 1,2 2,400
WENDYS INTERNATIONAL INC COM 950590109 11 200 SH DEFINED 1,2 200
WEYERHAEUSER COMPANY COM 962166104 1,048 15,800 SH DEFINED 1,2 15,800
WHIRLPOOL CORPORATION COM 963320106 2,741 32,725 SH DEFINED 1,2 32,725
WILLIAMS COS INC COM 969457100 2,526 109,000 SH DEFINED 1,2 109,000
WISCONSIN ENERGY CORP COM 976657106 1,567 40,125 SH DEFINED 2 40,125
WRIGLEY WM JR CO COM 982526105 20 300 SH DEFINED 1,2 300
WW GRAINGER INC COM 384802104 7 100 SH DEFINED 1,2 100
WYETH COM 983024100 2,331 50,600 SH DEFINED 1,2 50,600
XCEL ENERGY INC COM 98389B100 1,619 87,700 SH DEFINED 1,2 87,700
XEROX CORP COM 984121103 19 1,300 SH DEFINED 1,2 1,300
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
XILINX INC COM 983919101 334 13,255 SH DEFINED 1,2 13,255
XL CAPITAL LTD-CLASS A CL A G98255105 1,738 25,800 SH DEFINED 1,2 25,800
XM SATELLITE RADIO HOLD CL A 983759101 505 18,500 SH DEFINED 1,2 18,500
XTO ENERGY INC COM 98385X106 22 500 SH DEFINED 1,2 500
YAHOO! INC COM 984332106 1,391 35,500 SH DEFINED 1,2 35,500
YELLOW ROADWAY CORP NOTE 985577AA3 940 670,000 PRN DEFINED 2,3 17,074
YUM! BRANDS INC COM 988498101 19 400 SH DEFINED 1,2 400
ZIMMER HOLDINGS INC COM 98956P102 27 400 SH DEFINED 1,2 400
ZIONS BANCORPORATION COM 989701107 15 200 SH DEFINED 1,2 200