FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: September 30, 2003
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 14,2003
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: 234
Form 13F Information Table Value Total: 1,211,611 (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
ACCENTURE LTD CLA G1150G111 1,133 50,700 SH DEFINED 2 50,700
ACUITY BRANDS INC COM 00508Y102 487 26,950 SH DEFINED 2 26,950
ACXIOM CORP NOTE 005125AB5 3,488 3,200,000 PRN DEFINED 2,3 175,322
AETNA INC COM 00817Y108 885 14,500 SH DEFINED 2 14,500
AFFIL COMPUTER NOTE 008190AF7 2,880 2,400,000 PRN DEFINED 2,3 55,256
AFTERMARKET TECHNOLOGY COM 008318107 213 18,650 SH DEFINED 2 18,650
ALCON INC COMSHS H01301102 4,380 78,000 SH DEFINED 2,3 78,000
ALLSTATE CORPORATION COM 020002101 1,118 30,600 SH DEFINED 2 30,600
AMBAC FINANCIAL GROUP INC COM 023139108 4,480 70,000 SH DEFINED 2,4 70,000
AMERADA HESS COM 023551104 2,255 45,000 SH DEFINED 2,4 45,000
AMERICA ONLINE NOTE 02364JAC8 1,922 3,100,000 PRN DEFINED 2,3,4 18,085
AMERICAN EXPRESS COM 025816109 2,929 65,000 SH DEFINED 2,3 65,000
AMERICAN FINANCIAL REALTY COM 02607P305 5,640 400,000 SH DEFINED 2,4 400,000
AMERICAN GREETING NOTE 026375AJ4 2,293 1,430,000 PRN DEFINED 2,3 102,884
AMERICAN INTL GROUP INC COM 026874107 2,423 42,000 SH DEFINED 2,3 42,000
AMERICAN NATIONAL INSURANCE COM 028591105 459 5,400 SH DEFINED 2 5,400
AMERICAN PHYSICIANS CAP COM 028884104 780 28,200 SH DEFINED 2 28,200
AMERISOURCE HEAL NOTE 03071PAD4 3,018 2,560,000 PRN DEFINED 2,3 48,330
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 1,937 30,000 SH DEFINED 2,3 30,000
ANADARKO PETROLEUM CORP COM 032511107 6,682 160,000 SH DEFINED 2,4 160,000
ANHEUSER BUSCH CO COM 035229103 1,974 40,000 SH DEFINED 2,3 40,000
ANIXTER INTERNATIONAL INC COM 035290105 593 26,025 SH DEFINED 2 26,025
AON CORP COM 037389103 6,620 317,500 SH DEFINED 2,4 317,500
APACHE CORP COM 037411105 1,857 26,775 SH DEFINED 2,3 26,775
APPLIED MATERIALS INC. COM 038222105 1,361 75,000 SH DEFINED 2,3 75,000
ARTESYN TECHNOLOGIES INC COM 043127109 217 28,575 SH DEFINED 2 28,575
ARVINMERITOR INC COM 043353101 308 17,300 SH DEFINED 2 17,300
ASHLAND INC COM 044204105 1,592 48,450 SH DEFINED 2 48,450
AVAYA INC NOTE 053499AA7 2,800 5,000,000 PRN DEFINED 2,3,4 187,219
BANK OF AMERICA CORP COM 060505104 2,731 35,000 SH DEFINED 2,3 35,000
BANK OF NEW YORK COM 064057102 1,196 41,100 SH DEFINED 2 41,100
BARRICK GOLD CORP COM 067901108 1,231 65,400 SH DEFINED 2 65,400
BEA SYSTEMS INC NOTE 073325AD4 15,153 15,500,000 PRN DEFINED 2,4 447,330
BELLSOUTH CORP COM 079860102 346 14,600 SH DEFINED 2 14,600
BOEING COMPANY COM 097023105 1,953 56,900 SH DEFINED 2 56,900
BOSTON PROPERTIES INC COM 101121101 1,304 30,000 SH DEFINED 2,4 30,000
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
BOWNE & CO INC COM 103043105 660 44,175 SH DEFINED 2 44,175
BP PLC ADR 055622104 1,217 28,900 SH DEFINED 2 28,900
BRISTOL-MYERS SQUIBB CO COM 110122108 1,302 50,725 SH DEFINED 2 50,725
CABLEVISION SYSTEMS CLA 12686C109 1,640 90,600 SH DEFINED 2 90,600
CAVCO INDUSTRIES INC COM 149568107 59 2,750 SH DEFINED 2,4 2,750
CELESTICA INC NOTE 15101QAA6 38,803 73,910,000 PRN DEFINED 2,3,4 419,424
CENDANT CORP DBCV 151313AN3 33,642 32,000,000 PRN DEFINED 2,4 1,330,560
CENTEX CORP COM 152312104 4,283 55,000 SH DEFINED 2,4 55,000
CEPHALON INC NOTE 156708AE9 2,831 3,000,000 PRN DEFINED 2,3 37,037
CHARLES RIVER DBCV 159863AL3 1,475 1,450,000 PRN DEFINED 2,3 37,304
CHEVRON TEXACO CORP COM 166764100 4,644 65,000 SH DEFINED 2,3,4 65,000
CHIRON CORP NOTE 170040AE9 20,321 34,500,000 PRN DEFINED 2,3,4 247,065
CIGNA CORP COM 125509109 2,688 60,200 SH DEFINED 2 60,200
CISCO SYSTEMS INC COM 17275R102 4,494 230,000 SH DEFINED 2,3 230,000
CITIGROUP INC COM 125581108 1,371 47,675 SH DEFINED 2 47,675
CITIGROUP INC COM 172967101 18,149 398,800 SH DEFINED 2,3,4 398,800
CLEAR CHANNEL COMM COM 184502102 1,915 50,000 SH DEFINED 2,3 50,000
CLEVELAND-CLIFFS INC COM 185896107 433 16,925 SH DEFINED 2 16,925
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
CNA SURETY CORPORATION COM 12612L108 275,623 27,425,147 SH DEFINED 1,2,4 27,425,14
CNF INC COM 12612W104 1,461 45,575 SH DEFINED 2 45,575
COMMSCOPE INC COM 203372107 479 39,750 SH DEFINED 2 39,750
COMPUTER ASSOCIATES INTL COM 204912109 1,259 48,225 SH DEFINED 2 48,225
CONAGRA INC COM 205887102 1,062 50,000 SH DEFINED 2 50,000
COOPER INDUSTRIES INC CLA G24182100 3,507 73,025 SH DEFINED 2 73,025
COSTCO WHOLESALE CORP COM 22160K105 2,176 70,000 SH DEFINED 2,3 70,000
CYTEC INDUSTRIES INC COM 232820100 1,179 32,300 SH DEFINED 2 32,300
D.R. HORTON INC COM 23331A109 13,080 400,000 SH DEFINED 2,4 400,000
DADE BEHRING HOLDINGS INC COM 23342J206 1,384 49,000 SH DEFINED 2,4 49,000
DEL MONTE FOODS CO COM 24522P103 567 65,125 SH DEFINED 2 65,125
DELL COMPUTER CORP COM 24702R101 3,339 100,000 SH DEFINED 2 100,000
DELPHI FINANCIAL GROUP CLA 247131105 2,103 45,200 SH DEFINED 2 45,200
DILLARDS INC CLA 254067101 552 39,450 SH DEFINED 2 39,450
DISNEY (WALT) CO NOTE 254687AU0 17,468 17,000,000 PRN DEFINED 2,3,4 577,053
DU PONT DE NEMOURS E.I. COM 263534109 1,800 45,000 SH DEFINED 2,3 45,000
DUKE ENERGY CORP NOTE 264399EJ1 4,010 4,000,000 PRN DEFINED 2,3,4 169,563
DUKE POWER CO. COM 264399106 1,215 68,200 SH DEFINED 2 68,200
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
E*TRADE GROUP NOTE 269246AB0 6,338 6,500,000 PRN DEFINED 2,4 275,424
ECOLAB INC COM 278865100 2,020 80,000 SH DEFINED 2,3 80,000
EDO CORP NOTE 281347AD6 519 500,000 PRN DEFINED 2,3 15,995
EL PASO CORP COM 28336L109 818 112,100 SH DEFINED 2 112,100
ELDERTRUST COMBENIN 284560109 2,051 208,200 SH DEFINED 2,4 208,200
ENTERGY CORP COM 29364G103 1,652 30,500 SH DEFINED 2 30,500
ESTERLINE TECHNOLOGIES COM 297425100 527 27,300 SH DEFINED 2 27,300
FIRST CITIZENS BCSHS CLA 31946M103 201 1,900 SH DEFINED 2 1,900
FIRST DATA CORP COM 319963104 280 7,000 SH DEFINED 2 7,000
FLEET BOSTON FINANCIAL COM 339030108 761 25,250 SH DEFINED 2 25,250
FMC CORP COM 302491303 1,388 55,075 SH DEFINED 2 55,075
FMC TECHNOLOGIES INC COM 30249U101 1,208 56,396 SH DEFINED 2 56,396
FOOTSTAR INC COM 344912100 337 49,825 SH DEFINED 2 49,825
FPL GROUP COM 302571104 2,092 33,100 SH DEFINED 2 33,100
FREDDIE MAC COM 313400301 4,518 86,300 SH DEFINED 2,3 86,300
GABLES RESIDENTIAL TRUST SHBEN 362418105 238 7,350 SH DEFINED 2 7,350
GAP INC NOTE 364760AJ7 2,756 2,200,000 PRN DEFINED 2,3 136,477
GENERAL CABLE CORP COM 369300108 689 86,525 SH DEFINED 2 86,525
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
GENERAL ELECTRIC CO COM 369604103 5,470 183,500 SH DEFINED 2,3 183,500
GENERAL MOTORS SRCONV 370442741 19,656 800,000 SH DEFINED 2,3,4 800,000
GENERAL MOTORS CORP CL H 370442832 1,431 100,000 SH DEFINED 2 100,000
GEORGIA-PACIFIC CORP COM 373298108 927 38,225 SH DEFINED 2 38,225
GILEAD SCIENCES NOTE 375558AD5 1,315 1,000,000 PRN DEFINED 2,3 21,277
GLIMCHER REALTY TRUST SHBEN 379302102 541 25,675 SH DEFINED 2 25,675
GUITAR CENTER MG NOTE 402040AC3 749 650,000 PRN DEFINED 2,3 18,797
HEALTH CARE PPTYS INVEST COM 421915109 3,176 68,000 SH DEFINED 2,4 68,000
HEALTH NET INC COM 42222G108 785 24,775 SH DEFINED 2 24,775
HEALTHCARE REALTY TRUST COM 421946104 7,870 246,100 SH DEFINED 2,4 246,100
HEARST-ARGYLE TELEVISION COM 422317107 1,331 55,000 SH DEFINED 2 55,000
HEWLETT-PACKARD CO. COM 428236103 3,456 178,525 SH DEFINED 2,3 178,525
HNC SOFTWARE NOTE 40425PAC1 1,541 1,300,000 PRN DEFINED 2,3 23,427
HOME DEPOT COM 437076102 1,911 60,000 SH DEFINED 2,3 60,000
HUTCHINSON TECH NOTE 448407AE6 1,308 1,000,000 PRN DEFINED 2,3 33,512
IMC GLOBAL INC COM 449669100 695 108,400 SH DEFINED 2 108,400
INCO LTD NOTE 453258AM7 3,956 5,000,000 PRN DEFINED 2,4 132,765
INFOCUS CORP COM 45665B106 298 61,525 SH DEFINED 2 61,525
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
INTEL CORP COM 458140100 2,179 79,200 SH DEFINED 2,3 79,200
INTERNATIONAL PAPER CO. COM 460146103 1,951 50,000 SH DEFINED 2,3 50,000
INTERPUBLIC GRP NOTE 460690AJ9 11,570 13,000,000 PRN DEFINED 2,3,4 229,008
INTERSTATE BAKERIES COM 46072H108 551 36,700 SH DEFINED 2 36,700
INTL BUSINESS MACHINE COM 459200101 10,600 120,000 SH DEFINED 2,4 120,000
IPC HOLDINGS LTD ORD G4933P101 2,340 66,775 SH DEFINED 2 66,775
ISHARES MSCI HONG KONG MSCIHK 464286871 12,311 1,300,000 SH DEFINED 2 1,300,000
ISHARES MSCI SINGAPORE MSCISING 464286673 5,685 1,017,000 SH DEFINED 2 1,017,000
JOHNSON & JOHNSON COM 478160104 2,476 50,000 SH DEFINED 2,3 50,000
JUNIPER NETWORKS NOTE 48203RAA2 15,600 16,000,000 PRN DEFINED 2,3,4 97,584
KENNAMETAL INC COM 489170100 374 10,000 SH DEFINED 2 10,000
KERR MC GEE CORP COM 492386107 4,018 90,000 SH DEFINED 2,4 90,000
L-3 COMMUNICATIONS CORP COM 502424104 216 5,000 SH DEFINED 2 5,000
LEAR SEATING CORP COM 521865105 1,444 27,425 SH DEFINED 2 27,425
LEHMAN BROS HLDG FRNT 524908EC0 2,500 2,500,000 PRN DEFINED 2,4 26,016
LEHMAN BROTHERS HOLDING COM 524908100 1,382 20,000 SH DEFINED 2,3 20,000
LENNOX INTERNATIONAL INC NOTE 526107AB3 461 400,000 PRN DEFINED 2,3 22,115
LIBERTY MEDIA COM 530718105 7,840 786,400 SH DEFINED 2,4 786,400
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
LINCOLN NATIONAL CORP IN COM 534187109 3,538 100,000 SH DEFINED 2,4 100,000
LOCKHEED MARTIN CORP COM 539830109 3,277 71,000 SH DEFINED 2,3 71,000
LOWES COMPANIES NOTE 548661CG0 20,826 20,000,000 PRN DEFINED 2,3,4 344,240
LUBRIZOL CORP COM 549271104 629 19,375 SH DEFINED 2 19,375
MBIA INC. COM 55262C100 827 15,050 SH DEFINED 2 15,050
MEDIACOM COMMUNICATIONS CLA 58446K105 1,342 200,000 SH DEFINED 2 200,000
MEDICIS PHARMACEUTICAL NOTE 58470KAA2 2,594 2,200,000 PRN DEFINED 2,3 37,866
MEDTRONIC INC COM 585055106 3,097 66,000 SH DEFINED 2,3 66,000
MERRILL LYNCH FRNT 590188A73 37,252 36,500,000 PRN DEFINED 2,3,4 504,477
MERRILL LYNCH & CO INC COM 590188108 1,606 30,000 SH DEFINED 2,3 30,000
METAL MANAGEMENT INC COM 591097209 4,062 208,300 SH DEFINED 2,4 208,300
METLIFE INC COM 59156R108 4,067 145,000 SH DEFINED 2,4 145,000
MICROSOFT CORP COM 594918104 4,249 152,900 SH DEFINED 2,4 152,900
MILACRON INC COM 598709103 144 62,775 SH DEFINED 2 62,775
MONSANTO CO COM 61166W101 1,228 51,300 SH DEFINED 2 51,300
MORGAN STANLEY ASIA-PACIFIC COM 61744U106 842 88,400 SH DEFINED 2 88,400
MORGAN STANLEY INDIA INVT COM 61745C105 812 53,300 SH DEFINED 2 53,300
MOTOROLA INC NOTE 620076AJ8 3,467 4,389,000 PRN DEFINED 2,3,4 147,181
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
NABORS INDS INC DBCV 629568AF3 2,595 4,000,000 PRN DEFINED 2,4 28,298
NACCO INDS INC CLA 629579103 699 9,775 SH DEFINED 2 9,775
NATIONWIDE FINANCIAL SERV CLA 638612101 1,254 40,000 SH DEFINED 2,4 40,000
NCI BUILDING SYSTEMS INC COM 628852105 252 12,675 SH DEFINED 2 12,675
NETWORK ASSOC NOTE 64123LAB7 2,254 2,100,000 PRN DEFINED 2,3 116,215
NEWHALL LAND & FARMING CO DEPREC 651426108 956 24,200 SH DEFINED 2 24,200
NEWS AMER INC NOTE 652482AZ3 48,565 87,300,000 PRN DEFINED 2,3,4 1,060,547
NEWS CORP LTD ADRPRF 652487802 8,583 314,500 SH DEFINED 2,4 314,500
NORTEL NETWORKS NOTE 656568AB8 25,114 27,750,000 PRN DEFINED 2,4 2,775,000
NORTHERN TRUST CORP COM 665859104 1,525 36,000 SH DEFINED 2 36,000
OAK INDUSTRIES NOTE 671400AL3 4,032 4,250,000 PRN DEFINED 2,4 273,840
OCULAR SCIENCES INC COM 675744106 444 19,975 SH DEFINED 2 19,975
OLD REPUBLIC INTL CORP COM 680223104 5,845 176,650 SH DEFINED 2,4 176,650
OMNICOM GROUP NOTE 681919AK2 3,995 4,000,000 PRN DEFINED 2,4 36,360
OMNICOM GROUP NOTE 681919AM8 12,422 12,500,000 PRN DEFINED 2,3,4 113,625
PATHMARK STORES INC COM 70322A101 1,330 190,832 SH DEFINED 2,4 190,832
PAYLESS SHOESOURCE INC COM 704379106 962 74,325 SH DEFINED 2 74,325
PENNEY (JC) CO NOTE 708160BV7 1,272 1,250,000 PRN DEFINED 2,3 43,860
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
PEPCO HOLDINGS INC COM 713291102 1,234 71,400 SH DEFINED 2 71,400
PEPSICO INCORPORATED COM 713448108 3,758 82,000 SH DEFINED 2,3 82,000
PERFORMANCE FOOD NOTE 713755AA4 1,993 1,500,000 PRN DEFINED 2,3 45,524
PERFORMANCE FOOD GROUP COM 858375108 154 28,550 SH DEFINED 2 28,550
PFIZER INC COM 717081103 5,961 196,200 SH DEFINED 2,3 196,200
PHILLIPS PETROLEUM CO COM 20825C104 627 11,450 SH DEFINED 2 11,450
PIONEER STD ELECTRS DBCV 00846UAB7 28,563 28,000,000 PRN DEFINED 2,3,4 869,025
PLACER DOME INC COM 725906101 1,431 104,100 SH DEFINED 2 104,100
PLUM CREEK TIMBER CO INC COM 729251108 1,272 50,000 SH DEFINED 2,4 50,000
PMI GROUP INC COM 69344M101 338 10,000 SH DEFINED 2 10,000
PPL CORPORATION COM 69351T106 1,806 44,100 SH DEFINED 2 44,100
PRIME HOSPITALITY CORP COM 741917108 55 6,375 SH DEFINED 2,4 6,375
PROVINCE HEALTHCARE NOTE 743977AE0 4,569 5,000,000 PRN DEFINED 2,4 180,486
PUBLIC SERVICE CO OF N MEX COM 69349H107 528 18,825 SH DEFINED 2 18,825
PULTE CORP COM 745867101 10,202 150,000 SH DEFINED 2,4 150,000
R.H. DONNELLEY CORP COM 74955W307 452 11,175 SH DEFINED 2 11,175
RADIAN GROUP INC COM 750236101 720 16,225 SH DEFINED 2 16,225
REGENERON PHARM NOTE 75886FAB3 667 687,000 PRN DEFINED 2 22,710
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
RELIANT RESOURCES INC COM 75952B105 686 133,900 SH DEFINED 2 133,900
RESMED INC NOTE 761152AB3 1,499 1,450,000 PRN DEFINED 2,3 23,927
SANMINA CORP SDCV 800907AD9 36,199 73,500,000 PRN DEFINED 2,3,4 490,085
SCANA CORP COM 80589M102 822 24,000 SH DEFINED 2 24,000
SCHERING PLOUGH COM 806605101 798 52,375 SH DEFINED 2 52,375
SCHLUMBERGER LIMITED COM 806857108 2,836 58,600 SH DEFINED 2,3 58,600
SCHOOL SPECIALTY NOTE 807863AC9 1,459 1,375,000 PRN DEFINED 2,3 42,582
SCRIPPS CO (E.W.) CLA 811054204 2,979 35,000 SH DEFINED 2,3 35,000
SERVICEMASTER COMPANY COM 81760N109 510 49,750 SH DEFINED 2 49,750
SIEBEL SYSTEMS NOTE 826170AC6 26,040 25,440,000 PRN DEFINED 2,4 1,091,081
SOLECTRON CORP NOTE 834182AL1 23,199 40,700,000 PRN DEFINED 2,3,4 479,698
SPANISH BROADCASTING SYS CLA 846425882 5,929 698,400 SH DEFINED 2,4 698,400
SPHERION CORPORATION COM 848420105 718 103,225 SH DEFINED 2 103,225
SPRINT CORP (PCS GROUP) COM 852061506 8 1,428 SH DEFINED 1,2 1,428
STAR GAS PARTNER SUB 85512C204 599 29,229 SH DEFINED 2,4 29,229
STMICROELECTRON NOTE 861012AB8 15,998 18,000,000 PRN DEFINED 2,4 473,256
SYMANTEC CORP NOTE 871503AB4 4,542 2,400,000 PRN DEFINED 2,3 70,299
TARGET CORP COM 87612E106 376 10,000 SH DEFINED 2 10,000
TEJON RANCH COM 879080109 686 20,600 SH DEFINED 2 20,600
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
TELLABS INC COM 879664100 788 115,725 SH DEFINED 2 115,725
TENET HEALTHCARE CORP COM 88033G100 1,083 74,775 SH DEFINED 2 74,775
TEXTRON INC COM 883203101 1,089 27,600 SH DEFINED 2 27,600
TJX COS INC NOTE 872540AL3 5,320 6,800,000 PRN DEFINED 2,3,4 222,136
TRAVELERS PROPERTY CASUALTY CLA 89420G109 1,218 76,684 SH DEFINED 2,4 76,684
TRIARC COMPANIES CLA 895927101 175 17,350 SH DEFINED 2 17,350
TRIBUNE CO NEW COM 896047107 2,295 50,000 SH DEFINED 2,3 50,000
TRINITY INDUSTRIES COM 896522109 455 17,600 SH DEFINED 2 17,600
TRIQUINT SEMICON NOTE 89674KAB9 2,588 3,000,000 PRN DEFINED 2,4 44,248
TYCO INTERNATIONAL LTD COM 902124106 342 16,750 SH DEFINED 2 16,750
UNITED PARCEL SERVICE CLB 911312106 4,370 68,500 SH DEFINED 2,3 68,500
UNIVERSAL CORP-VA COM 913456109 588 13,950 SH DEFINED 2 13,950
UNIVERSAL HEALTH SERVICES CLB 913903100 4,451 90,000 SH DEFINED 2,4 90,000
UNOCAL CORP COM 915289102 3,351 106,300 SH DEFINED 2 106,300
US CORPORATION COM 91729Q101 637 20,175 SH DEFINED 2 20,175
VALERO ENERGY CORP COM 91913Y100 2,870 75,000 SH DEFINED 2,4 75,000
VENTAS INC COM 92276F100 3,160 184,575 SH DEFINED 2,4 184,575
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 COM 923436109 4,114 130,507 SH DEFINED 2,3,4 130,507
VERZION COMMUNICATIONS COM 92343V104 1,924 59,300 SH DEFINED 2,3 59,300
VIAD CORP COM 92552R109 1,973 82,625 SH DEFINED 2 82,625
VISHAY INTERTECH NOTE 928298AD0 9,020 15,392,000 PRN DEFINED 2,3,4 271,955
WAL MART STORES INC COM 931142103 3,351 60,000 SH DEFINED 2,3 60,000
WALGREEN CO COM 931422109 2,451 80,000 SH DEFINED 2,3 80,000
WASHINGTON MUTUAL INC COM 939322103 1,259 31,975 SH DEFINED 2 31,975
WEATHERFORD INTL LTD COM G95089101 1,133 30,000 SH DEFINED 2,3 30,000
WEBMD CORP NOTE 94769MAC9 2,063 1,800,000 PRN DEFINED 2,3 194,322
WELLS FARGO COMPANY COM 949746101 3,605 70,000 SH DEFINED 2,3 70,000
WEYERHAEUSER COMPANY COM 962166104 292 5,000 SH DEFINED 2 5,000
WHIRLPOOL CORPORATION COM 963320106 1,557 22,975 SH DEFINED 2 22,975
WILLIAMS COS INC COM 969457100 2,628 279,000 SH DEFINED 2 279,000
WILSONS THE LEATHER EXPERTS COM 972463103 469 58,725 SH DEFINED 2 58,725
WISCONSIN ENERGY CORP COM 976657106 825 27,000 SH DEFINED 2 27,000
XCEL ENERGY INC COM 98389B100 1,799 116,300 SH DEFINED 2 116,300
XILINX INC COM 983919101 284 10,000 SH DEFINED 2 10,000
YORK INTERNATIONAL CORP COM 986670107 786 22,725 SH DEFINED 2 22,725