FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: March 31,2006
Check here if Amendment [ ]; Amendment Number:
This Amendment (Check only one.): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: CNA Financial Corporation
Address: CNA Plaza
Chicago,IL 60685
13F File Number: 28-346
The institutional investment manager filing this report and the
person by whom it is signed hereby represent that the person
signing the report is authorized to submit it, that all
information contained herein is true, correct, and complete, and
that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of
this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Lynne Gugenheim
Title: Senior Vice President and Deputy General Counsel
Phone: (312) 822 4921
Signature, Place, and Date of Signing:
May 15,2006
Chicago, Illinois,60685
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES EXCHANGE
ACT OF 1934
Report Type (Check only one.):
[ X ] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[ ] 13F COMBINATION REPORT.
List of Other Managers Reporting for this Manager:
Assets reported herein are described as having shared
investment discretion among Loews Corporation, CNA
Financial Corporation,The Continental Corporation,
Continental Casualty Company and Continental Assurance
Company. Each of the foregoing entities specifically disclaims
ownership of any securities in this report which are not
beneficially owned by that entity and states that such
assets are solely under the control of its board of directors.
The characterization of shared investment discretion with parent
holding companies is made solely as a consequence of SEC
interpretations regarding control of the subsidiary through
share ownership. Loews Corporation owns approximately 90%
of the outstanding shares of CNA Financial Corporation;
CNA Financial Corporation owns 100% of the outstanding
shares of Continental Casualty Company and The Continental
Corporation; and Continental Casualty Company owns 100%
of the outstanding shares of Continental Assurance Company.
Loews Corporation will report separately on securities over which
it has investment discretion which are not part of this report.
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 4
Form 13F Information Table Entry Total: 600
Form 13F Information Table Value Total: 1,057,644 (in thousands)
List of Other Included Managers:
No. 13F File Number Name
1 28-172 The Continental Corporation
2 28 -217 Loews Corporation
3 28-386 Continental Assurance Company
4 28-387 Continental Casualty Company
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
3M CO COM 88579Y101 3,785 50,000 SH DEFINED 1,2 50,000
3M COMPANY NOTE 88579YAB7 1,573 1,788,000 PRN DEFINED 2,3 16,915
ABBOTT LABORATORIES COM 002824100 93 2,200 SH DEFINED 1,2 2,200
ACCENTURE LTD-CL A CL A G1150G111 3,049 101,390 SH DEFINED 2 101,390
ACCO BRANDS CORP COM 00081T108 1 47 SH DEFINED 1,2 47
ACE LTD ORD G0070K103 21 400 SH DEFINED 1,2 400
ACTUANT CORPORATION SDCV 00508XAB0 1,197 750,000 PRN DEFINED 2,3 18,792
ADC TELECOMMUNICATIONS INC COM 000886309 4 157 SH DEFINED 1,2 157
ADOBE SYSTEMS INC COM 00724F101 457 13,085 SH DEFINED 1,2 13,085
ADVANCED MEDICAL OPTICS NOTE 00763MAG3 1,086 1,000,000 PRN DEFINED 2,3 19,905
ADVANCED MICRO DEVICES COM 007903107 17 500 SH DEFINED 1,2 500
AES CORP COM 00130H105 15 900 SH DEFINED 1,2 900
AETNA INC COM 00817Y108 39 800 SH DEFINED 1,2 800
AFFILIATED COMPUTER SVCS-A CL A 008190100 12 200 SH DEFINED 1,2 200
AFLAC INC COM 001055102 212 4,700 SH DEFINED 1,2 4,700
AFTERMARKET TECHNOLOGY CORP COM 008318107 876 38,750 SH DEFINED 2 38,750
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
AGILENT TECHNOLOGIES INC COM 00846U101 23 600 SH DEFINED 1,2 600
AIR PRODUCTS & CHEMICAL COM 009158106 1,803 26,840 SH DEFINED 1,2 26,840
ALBERTO-CULVER CO COM 013068101 7 150 SH DEFINED 1,2 150
ALBERTSONS INC COM 013104104 13 500 SH DEFINED 1,2 500
ALCOA INC COM 013817101 37 1,200 SH DEFINED 1,2 1,200
ALCON INC COM SHS H01301102 667 6,400 SH DEFINED 2 6,400
ALLEGHENY ENERGY INC COM 017361106 7 200 SH DEFINED 1,2 200
ALLEGHENY TECHNOLOGIES INC COM 01741R102 6 100 SH DEFINED 1,2 100
ALLERGAN INC COM 018490102 22 200 SH DEFINED 1,2 200
ALLSTATE CORPORATION COM 020002101 2,199 42,200 SH DEFINED 1,2 42,200
ALLTEL CORP COM 020039103 32 500 SH DEFINED 1,2 500
ALPHA NATURAL RESOURCES INC COM 02076X102 1,157 50,000 SH DEFINED 2 50,000
ALTERA CORPORATION COM 021441100 10 500 SH DEFINED 1,2 500
ALTRIA GROUP INC COM 02209S103 1,275 18,000 SH DEFINED 1,2 18,000
AMAZON.COM INC COM 023135106 752 20,575 SH DEFINED 1,2 20,575
AMAZON.COM INC NOTE 023135AF3 1,142 1,200,000 PRN DEFINED 2,3 15,379
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
AMBAC FINANCIAL GROUP INC COM 023139108 16 200 SH DEFINED 1,2 200
AMDOCS LIMITED NOTE 02342TAD1 496 500,000 PRN DEFINED 2,3 11,596
AMERADA HESS CORP COM 023551104 28 200 SH DEFINED 1,2 200
AMEREN CORPORATION COM 023608102 15 300 SH DEFINED 1,2 300
AMERICAN ELECTRIC POWER COM 025537101 20 600 SH DEFINED 1,2 600
AMERICAN EQUITY INVT LIFE HLCOM 025676206 774 53,975 SH DEFINED 2 53,975
AMERICAN EXPRESS DBCV 025816AS8 2,383 2,300,000 PRN DEFINED 2,3 38,023
AMERICAN EXPRESS COM 025816109 1,140 21,700 SH DEFINED 1,2 21,700
AMERICAN GREET NOTE 026375AJ4 879 560,000 PRN DEFINED 2,3 40,290
AMERICAN HOME MORTGAGE INVESCOM 02660R107 1,369 43,875 SH DEFINED 2 43,875
AMERICAN INTL GROUP INC COM 026874107 11,408 172,612 SH DEFINED 1,2 172,612
AMERICAN NATIONAL INSURANCE COM 028591105 605 5,400 SH DEFINED 2 5,400
AMERICAN POWER CONVERSION COM 029066107 5 200 SH DEFINED 1,2 200
AMERICAN STANDARD COS INC COM 029712106 13 300 SH DEFINED 1,2 300
AMERICAN TOWER CORP -CL A CL A 029912201 214 7,045 SH DEFINED 2,4 7,045
AMERIPRISE FINANCIAL INC COM 03076C106 15 340 SH DEFINED 1,2 340
AMERISOURCEBERGEN CORP COM 03073E105 3,068 63,550 SH DEFINED 1,2 63,550
AMERUS GROUP CO COM 03072M108 348 5,775 SH DEFINED 2 5,775
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
AMGEN INC COM 031162100 1,783 24,508 SH DEFINED 1,2 24,508
AMSOUTH BANCORPORATION COM 032165102 14 500 SH DEFINED 1,2 500
ANADARKO PETROLEUM CORP COM 032511107 15,192 150,400 SH DEFINED 1,2 150,400
ANALOG DEVICES COM 032654105 19 500 SH DEFINED 1,2 500
ANDREW CORP COM 034425108 2 200 SH DEFINED 1,2 200
ANDREW CORP NOTE 034425AB4 1,074 1,000,000 PRN DEFINED 2,3 73,048
ANHEUSER BUSCH CO COM 035229103 2,421 56,600 SH DEFINED 1,2 56,600
AON CORP COM 037389103 2,231 53,750 SH DEFINED 1,2 53,750
APACHE CORP COM 037411105 31 480 SH DEFINED 1,2 480
APARTMENT INVT & MGMT CO -A CL A 03748R101 5 100 SH DEFINED 1,2 100
APOLLO GROUP INC-CL A CL A 037604105 82 1,555 SH DEFINED 1,2 1,555
APPLE COMPUTER INC COM 037833100 75 1,200 SH DEFINED 1,2 1,200
APPLIED BIOSYSTEMS GROUP-APPGRP 038020103 5 200 SH DEFINED 1,2 200
AQUILA INC COM 03840P102 4,073 1,020,768 SH DEFINED 2 1,020,768
ARCHER-DANIELS-MIDLAND CO COM 039483102 30 900 SH DEFINED 1,2 900
ARCHSTONE-SMITH TRUST COM 039583109 15 300 SH DEFINED 1,2 300
ARMOR HOLDINGS INC NOTE 042260AC3 1,216 1,000,000 PRN DEFINED 2,3 18,515
ARVINMERITOR INC COM 043353101 1,335 89,525 SH DEFINED 2 89,525
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ASHLAND INC COM 044209104 7 100 SH DEFINED 1,2 100
AT&T INC COM 00206R102 150 5,541 SH DEFINED 1,2 5,541
ATWOOD OCEANICS INC COM 050095108 1,010 10,000 SH DEFINED 2 10,000
AUTODESK INC COM 052769106 12 300 SH DEFINED 1,2 300
AUTOMATIC DATA PROCESSING COM 053015103 37 800 SH DEFINED 1,2 800
AUTONATION INC COM 05329W102 6 300 SH DEFINED 1,2 300
AUTOZONE INC. COM 053332102 1,675 16,800 SH DEFINED 1,2 16,800
AVAYA INC COM 053499109 7 600 SH DEFINED 1,2 600
AVERY DENNISON CORP COM 053611109 12 200 SH DEFINED 1,2 200
AVON PRODUCTS INC COM 054303102 22 700 SH DEFINED 1,2 700
AXIS CAPITAL HOLDINGS LTD SHS G0692U109 1,420 47,500 SH DEFINED 2 47,500
BAKER HUGHES INC COM 057224107 34 500 SH DEFINED 1,2 500
BALL CORP COM 058498106 9 200 SH DEFINED 1,2 200
BANK OF AMERICA CORP COM 060505104 6,259 137,441 SH DEFINED 1,2 137,441
BANK OF NEW YORK COM 064057102 4,743 131,600 SH DEFINED 1,2 131,600
BARD (C.R.) INC COM 067383109 14 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
BARRICK GOLD CORP COM 067901108 1,334 48,957 SH DEFINED 2 48,957
BAUSCH & LOMB INC COM 071707103 6 100 SH DEFINED 1,2 100
BAUSCH & LOMB INC FRNT 071707AM5 1,049 800,000 PRN DEFINED 2,3 13,021
BAXTER INTERNATIONAL INC. COM 071813109 35 900 SH DEFINED 1,2 900
BB&T CORPORATION COM 054937107 31 800 SH DEFINED 1,2 800
BEAR STEARNS COMPANIES INC COM 073902108 28 200 SH DEFINED 1,2 200
BEARINGPOINT INC COM 074002106 727 85,625 SH DEFINED 2 85,625
BECTON DICKINSON & CO COM 075887109 25 400 SH DEFINED 1,2 400
BED BATH & BEYOND INC COM 075896100 515 13,400 SH DEFINED 1,2 13,400
BELLSOUTH CORP COM 079860102 90 2,600 SH DEFINED 1,2 2,600
BEMIS COMPANY COM 081437105 3 100 SH DEFINED 1,2 100
BEST BUY CO INC COM 086516101 42 750 SH DEFINED 1,2 750
BIG LOTS INC COM 089302103 1 100 SH DEFINED 1,2 100
BIOGEN IDEC INC COM 09062X103 22 460 SH DEFINED 1,2 460
BIOMARIN PHARMACEUTICAL NOTE 09061GAB7 1,696 1,600,000 PRN DEFINED 2,3 114,172
BIOMET INC COM 090613100 14 400 SH DEFINED 1,2 400
BJ SERVICES CO COM 055482103 21 600 SH DEFINED 1,2 600
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
BLACK & DECKER CORP COM 091797100 9 100 SH DEFINED 1,2 100
BMC SOFTWARE INC COM 055921100 6 300 SH DEFINED 1,2 300
BOEING COMPANY COM 097023105 3,772 48,400 SH DEFINED 1,2 48,400
BOSTON SCIENTIFIC CORP COM 101137107 25 1,100 SH DEFINED 1,2 1,100
BOWNE & CO INC COM 103043105 983 58,950 SH DEFINED 2 58,950
BRISTOL-MYERS SQUIBB CO COM 110122108 1,578 64,100 SH DEFINED 1,2 64,100
BROADCOM CORP-CL A CL A 111320107 26 600 SH DEFINED 1,2 600
BROWN-FORMAN CORP -CL B CL B 115637209 15 200 SH DEFINED 1,2 200
BRUNSWICK CORP COM 117043109 4 100 SH DEFINED 1,2 100
BURLINGTON NORTHERN SANTA FECOM 12189T104 50 600 SH DEFINED 1,2 600
BURLINGTON RESOURCES INC COM 122014103 55 600 SH DEFINED 1,2 600
CAL DIVE INTERNATIONAL NOTE 127914AB5 997 700,000 PRN DEFINED 2,3 21,784
CAMPBELL SOUP CO COM 134429109 16 500 SH DEFINED 1,2 500
CAPITAL ONE FINANCIAL CORP COM 14040H105 32 400 SH DEFINED 1,2 400
CARDINAL HEALTH INC COM 14149Y108 45 600 SH DEFINED 1,2 600
CAREMARK RX INC COM 141705103 34 700 SH DEFINED 1,2 700
CARNIVAL CORP PAIRED C143658300 38 800 SH DEFINED 1,2 800
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
CARNIVAL CORP DBCV 143658AV4 2,520 3,600,000 PRN DEFINED 2,3 43,848
CATERPILLAR INC COM 149123101 72 1,000 SH DEFINED 1,2 1,000
CBS CORP-CLASS B CL B 124857202 28 1,150 SH DEFINED 1,2 1,150
CENDANT CORPORATION COM 151313103 894 51,500 SH DEFINED 1,2 51,500
CENTERPOINT ENERGY INC COM 15189T107 5 400 SH DEFINED 1,2 400
CENTEX CORP COM 152312104 5,468 88,200 SH DEFINED 1,2 88,200
CENTURYTEL INC COM 156700106 8 200 SH DEFINED 1,2 200
CENTURYTEL INC DBCV 156700AH9 845 800,000 PRN DEFINED 2,3 19,775
CERADYNE INC NOTE 156710AA3 445 400,000 PRN DEFINED 2,3 6,841
CHESAPEAKE ENERGY CORP COM 165167107 1,580 50,300 SH DEFINED 2 50,300
CHEVRON TEXACO CORP COM 166764100 2,076 35,807 SH DEFINED 1,2 35,807
CHIPOTLE MEXICAN GRILL-CL A CLA 169656105 55 996 SH DEFINED 2 996
CHIRON CORP COM 170040109 1,683 36,737 SH DEFINED 2 36,737
CHUBB CORP COM 171232101 29 300 SH DEFINED 1,2 300
CIBER INC COM 17163B102 1,203 188,575 SH DEFINED 2 188,575
CIGNA CORP COM 125509109 26 200 SH DEFINED 1,2 200
CINCINNATI FINANCIAL CORP COM 172062101 9 220 SH DEFINED 1,2 220
CINERGY CORP COM 172474108 4,464 98,300 SH DEFINED 1,2 98,300
CINTAS CORP COM 172908105 9 200 SH DEFINED 1,2 200
CIRCUIT CITY STORES INC COM 172737108 5 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
CISCO SYSTEMS INC COM 17275R102 624 28,800 SH DEFINED 1,2 28,800
CIT GROUP INC COM 125581108 16 300 SH DEFINED 1,2 300
CITIGROUP INC COM 172967101 5,197 110,040 SH DEFINED 1,2 110,040
CITIZENS COMMUNICATIONS CO COM 17453B101 5 400 SH DEFINED 1,2 400
CITRIX SYSTEMS INC COM 177376100 8 200 SH DEFINED 1,2 200
CLOROX COMPANY COM 189054109 12 200 SH DEFINED 1,2 200
CMS ENERGY CORP COM 125896100 4 300 SH DEFINED 1,2 300
CNA SURETY CORPORATION COM 12612L108 458,823 27,425,147 SH DEFINED 1,2,4 27,425,147
COACH INC COM 189754104 1,055 30,500 SH DEFINED 1,2 30,500
COCA COLA CO COM 191216100 482 11,500 SH DEFINED 1,2 11,500
COCA-COLA ENTERPRISES COM 191219104 10 500 SH DEFINED 1,2 500
COLGATE-PALMOLIVE CO COM 194162103 46 800 SH DEFINED 1,2 800
COMCAST CORP CL A SPL CL A 20030N200 5,355 205,000 SH DEFINED 2 205,000
COMCAST CORP-CL A CLA 20030N101 2,695 103,002 SH DEFINED 1,2 103,002
COMERICA COM 200340107 1,475 25,450 SH DEFINED 1,2 25,450
COMMERCE BANCORP INC/NJ COM 200519106 566 15,440 SH DEFINED 1,2 15,440
COMPASS BANCSHARES INC COM 20449H109 10 200 SH DEFINED 1,2 200
COMPUTER ASSOCIATES INTL INCCOM 12673P105 2,082 76,502 SH DEFINED 1,2 76,502
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
COMPUTER SCIENCES CORP COM 205363104 1,948 35,075 SH DEFINED 1,2 35,075
COMPUWARE CORP COM 205638109 4 500 SH DEFINED 1,2 500
COMVERSE TECHNOLOGY INC COM 205862402 7 300 SH DEFINED 1,2 300
CONAGRA FOODS INC COM 205887102 15 700 SH DEFINED 1,2 700
CONMED CORP COM 207410101 801 41,825 SH DEFINED 2 41,825
CONSOLIDATED EDISON INC COM 209115104 17 400 SH DEFINED 1,2 400
CONSTELLATION BRANDS-A W/I CL A 21036P108 8 300 SH DEFINED 1,2 300
CONSTELLATION ENERGY GROUP COM 210371100 16 300 SH DEFINED 1,2 300
COOPER INDUSTRIES LTD-CL A CL A G24182100 17 200 SH DEFINED 1,2 200
COOPER TIRE & RUBBER COM 216831107 1 100 SH DEFINED 1,2 100
CORNING INC COM 219350105 54 2,000 SH DEFINED 1,2 2,000
COSTCO WHOLESALE CORP COM 22160K105 38 700 SH DEFINED 1,2 700
COUNTRYWIDE FINANCIAL CORP COM 222372104 583 15,898 SH DEFINED 1,2 15,898
CSX CORP COM 126408103 18 300 SH DEFINED 1,2 300
CUMMINS INC COM 231021106 11 100 SH DEFINED 1,2 100
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
CVS CORP COM 126650100 953 31,900 SH DEFINED 1,2 31,900
CYMER INC NOTE 232572AE7 1,624 1,600,000 PRN DEFINED 2,3 32,000
DANA CORP COM 235811106 0 200 SH DEFINED 1,2 200
DANAHER CORP COM 235851102 1,106 17,400 SH DEFINED 1,2 17,400
DARDEN RESTAURANTS INC COM 237194105 8 200 SH DEFINED 1,2 200
DEERE & CO COM 244199105 229 2,900 SH DEFINED 1,2 2,900
DEL MONTE FOODS CO COM 24522P103 1,073 90,500 SH DEFINED 2 90,500
DELL INC. COM 24702R101 1,446 48,600 SH DEFINED 1,2 48,600
DELPHI FINANCIAL GROUP-CL A CLA 247131105 840 16,275 SH DEFINED 2 16,275
DEVON ENERGY CORPORATION COM 25179M103 43 700 SH DEFINED 1,2 700
DIAGEO PLC-SPONSORED ADR ADR 25243Q205 2,245 35,400 SH DEFINED 2 35,400
DILLARDS INC-CL A CL A 254067101 3 100 SH DEFINED 1,2 100
DISNEY (WALT) CO NOTE 254687AU0 2,148 2,000,000 PRN DEFINED 2,3 67,889
DOLLAR GENERAL CORP COM 256669102 7 400 SH DEFINED 1,2 400
DOMINION RESOURCES INC/VA COM 25746U109 35 500 SH DEFINED 1,2 500
DOVER CORP COM 260003108 15 300 SH DEFINED 1,2 300
DOW CHEMICAL CORP COM 260543103 1,989 49,000 SH DEFINED 1,2 49,000
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
DPL INC COM 233293109 4,017 148,790 SH DEFINED 2 148,790
DR HORTON INC COM 23331A109 13 400 SH DEFINED 1,2 400
DST SYSTEMS INC DBCV 233326AB3 641 500,000 PRN DEFINED 2,3 10,187
DTE ENERGY COMPANY COM 233331107 12 300 SH DEFINED 1,2 300
DU PONT (E.I.) DE NEMOURS COM 263534109 59 1,400 SH DEFINED 1,2 1,400
DYNEGY INC-CL A CL A 26816Q101 2 400 SH DEFINED 1,2 400
E*TRADE FINANCIAL CORP COM 269246104 13 500 SH DEFINED 1,2 500
EASTMAN CHEMICAL COMPANY COM 277432100 5 100 SH DEFINED 1,2 100
EASTMAN KODAK CO COM 277461109 11 400 SH DEFINED 1,2 400
EATON CORP COM 278058102 15 200 SH DEFINED 1,2 200
EBAY INC COM 278642103 1,252 32,100 SH DEFINED 1,2 32,100
ECOLAB INC COM 278865100 11 300 SH DEFINED 1,2 300
EDISON INTERNATIONAL COM 281020107 21 500 SH DEFINED 1,2 500
EL PASO CORP COM 28336L109 11 900 SH DEFINED 1,2 900
ELECTRONCIS FOR IMAGING DBCV 286082AA0 1,036 900,000 PRN DEFINED 2,3 34,066
ELECTRONIC ARTS INC COM 285512109 575 10,500 SH DEFINED 1,2 10,500
ELECTRONIC DATA SYSTEMS NOTE 285661AF1 1,501 1,450,000 PRN DEFINED 2,3 42,472
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ELECTRONIC DATA SYSTEMS CORPCOM 285661104 19 700 SH DEFINED 1,2 700
ELI LILLY & CO COM 532457108 88 1,600 SH DEFINED 1,2 1,600
EMC CORP/MASS COM 268648102 46 3,400 SH DEFINED 1,2 3,400
EMERSON ELECTRIC CO COM 291011104 50 600 SH DEFINED 1,2 600
ENCANA CORP COM 292505104 5,514 118,000 SH DEFINED 2 118,000
ENDURANCE SPECIALTY HOLDINGSSHS G30397106 814 25,000 SH DEFINED 2 25,000
ENGELHARD CORP COM 292845104 8 200 SH DEFINED 1,2 200
ENTERGY CORP COM 29364G103 3,681 53,400 SH DEFINED 1,2 53,400
EOG RESOURCES INC COM 26875P101 29 400 SH DEFINED 1,2 400
EQUIFAX INC COM 294429105 7 200 SH DEFINED 1,2 200
EQUITY OFFICE PROPERTIES TR COM 294741103 20 600 SH DEFINED 1,2 600
EQUITY RESIDENTIAL INT 29476L107 19 400 SH DEFINED 1,2 400
EXELON CORP COM 30161N101 5,331 100,782 SH DEFINED 1,2 100,782
EXPEDITORS INTERNATIONAL WASCOM 302130109 449 5,200 SH DEFINED 1,2 5,200
EXPRESS SCRIPTS INC COM 302182100 18 200 SH DEFINED 1,2 200
EXXON MOBIL CORP COM 30231G102 1,771 29,100 SH DEFINED 1,2 29,100
FEDERAL NATL MTGE ASSN. COM 313586109 3,565 69,350 SH DEFINED 1,2 69,350
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
FEDERATED DEPARTMENT STORES COM 31410H101 31 424 SH DEFINED 1,2 424
FEDERATED INVESTORS INC-CL BCL B 314211103 4 100 SH DEFINED 1,2 100
FEDEX CORP COM 31428X106 56 500 SH DEFINED 1,2 500
FIRST AMERICAN CORPORATION COM 318522307 2,590 66,150 SH DEFINED 2 66,150
FIRST CITIZENS BCSHS -CL A CL A 31946M103 357 1,850 SH DEFINED 2 1,850
FIRST DATA CORP COM 319963104 52 1,119 SH DEFINED 1,2 1,119
FIRST HORIZON NATIONAL CORP COM 320517105 8 200 SH DEFINED 1,2 200
FIRSTENERGY CORP COM 337932107 24 500 SH DEFINED 1,2 500
FISERV INC COM 337738108 13 300 SH DEFINED 1,2 300
FISHER SCIENTIFIC INTL NOTE 338032AW5 1,062 700,000 PRN DEFINED 2,3 14,748
FISHER SCIENTIFIC INTL INC COM 338032204 14 200 SH DEFINED 1,2 200
FLIR SYSTEMS INC NOTE 302445AB7 1,223 870,000 PRN DEFINED 2,3 19,602
FLUOR CORP COM 343412102 9 100 SH DEFINED 1,2 100
FMC CORP (NEW) COM 302491303 2,016 32,525 SH DEFINED 2 32,525
FORD MOTOR CO COM 345370860 21 2,600 SH DEFINED 1,2 2,600
FOREST LABORATORIES INC COM 345838106 22 500 SH DEFINED 1,2 500
FORTUNE BRANDS INC COM 349631101 16 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
FPL GROUP INC COM 302571104 24 600 SH DEFINED 1,2 600
FRANKLIN RESOURCES INC COM 354613101 28 300 SH DEFINED 1,2 300
FREDDIE MAC COM 313400301 2,682 43,975 SH DEFINED 1,2 43,975
FREEPORT-MCMORAN COPPER-B CL B 35671D857 18 300 SH DEFINED 1,2 300
FREESCALE SEMICONDUCTOR-B CL B 35687M206 16 564 SH DEFINED 1,2 564
GANNETT CO COM 364730101 24 400 SH DEFINED 1,2 400
GAP INC/THE COM 364760108 19 1,000 SH DEFINED 1,2 1,000
GENENTECH INC COM 368710406 1,196 14,150 SH DEFINED 1,2 14,150
GENERAL DYNAMICS CORP COM 369550108 38 600 SH DEFINED 1,2 600
GENERAL ELECTRIC CO COM 369604103 3,829 110,100 SH DEFINED 1,2 110,100
GENERAL MILLS INC COM 370334104 25 500 SH DEFINED 1,2 500
GENERAL MOTORS CORP COM 370442105 17 800 SH DEFINED 1,2 800
GENUINE PARTS CO COM 372460105 13 300 SH DEFINED 1,2 300
GENZYME CORP COM 372917104 27 400 SH DEFINED 1,2 400
GENZYME CORP NOTE 372917AN4 924 850,000 PRN DEFINED 2,3 11,931
GETTY IMAGES INC COM 374276103 292 3,900 SH DEFINED 1,2 3,900
GILEAD SCIENCES INC COM 375558103 386 6,200 SH DEFINED 1,2 6,200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
GLOBAL IMAGING SYSTEMS INC COM 37934A100 902 23,750 SH DEFINED 2 23,750
GOLDEN WEST FINANCIAL CORP COM 381317106 27 400 SH DEFINED 1,2 400
GOLDMAN SACHS GROUP INC COM 38141G104 110 700 SH DEFINED 1,2 700
GOODRICH CORP COM 382388106 9 200 SH DEFINED 1,2 200
GOODYEAR TIRE & RUBBER CO COM 382550101 3 200 SH DEFINED 1,2 200
GOOGLE INC-CL A CL A 38259P508 2,730 7,000 SH DEFINED 1,2 7,000
GUIDANT CORP COM 401698105 39 500 SH DEFINED 1,2 500
H&R BLOCK INC COM 093671105 13 600 SH DEFINED 1,2 600
HALLIBURTON CO COM 406216101 51 700 SH DEFINED 1,2 700
HANGER ORTHOPEDIC GROUP INC COM 41043F208 383 55,075 SH DEFINED 2 55,075
HARLEY-DAVIDSON INC COM 412822108 21 400 SH DEFINED 1,2 400
HARRAHS ENTERTAINMENT INC COM 413619107 23 300 SH DEFINED 1,2 300
HARTFORD FINANCIAL SVCS GRP COM 416515104 40 500 SH DEFINED 1,2 500
HASBRO INC COM 418056107 819 38,825 SH DEFINED 1,2 38,825
HCA INC COM 404119109 27 600 SH DEFINED 1,2 600
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
HEALTH MGMT ASSOCIATES INC-ACL A 421933102 6 300 SH DEFINED 1,2 300
HENRY SCHEIN INC NOTE 806407AB8 1,076 900,000 PRN DEFINED 2,3 19,422
HERCULES INC COM 427056106 2,899 210,100 SH DEFINED 1,4 210,100
HERSHEY CO/THE COM 427866108 16 300 SH DEFINED 1,2 300
HEWLETT-PACKARED CO COM 428236103 1,933 58,760 SH DEFINED 1,2 58,760
HILTON HOTELS CORP COM 432848109 13 500 SH DEFINED 1,2 500
HJ HEINZ CO COM 423074103 19 500 SH DEFINED 1,2 500
HOME DEPOT COM 437076102 4,446 105,100 SH DEFINED 1,2 105,100
HONEYWELL INTERNATIONAL INC COM 438516106 51 1,200 SH DEFINED 1,2 1,200
HORACE MANN EDUCATORS COM 440327104 957 50,900 SH DEFINED 2 50,900
HORMEL FOODS CORP COM 440452100 172 5,100 SH DEFINED 2 5,100
HOSPIRA INC COM 441060100 9 220 SH DEFINED 1,2 220
HUB INTERNATIONAL LIMITED COM 44332P101 604 21,550 SH DEFINED 2 21,550
HUMANA INC COM 444859102 11 200 SH DEFINED 1,2 200
HUNTINGTON BANCSHARES INC COM 446150104 7 300 SH DEFINED 1,2 300
HUTCHINSON TECH NOTE 448407AE6 1,105 1,000,000 PRN DEFINED 2,3 33,512
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
IDACORP INC COM 451107106 744 22,875 SH DEFINED 2 22,875
ILLINOIS TOOL WORKS COM 452308109 39 400 SH DEFINED 1,2 400
IMS HEALTH INC COM 449934108 8 300 SH DEFINED 1,2 300
INCO LTD DBCV 453258AT2 4,019 2,522,000 PRN DEFINED 2 80,541
INGERSOLL-RAND CO LTD-CL A CL A G4776G101 25 600 SH DEFINED 1,2 600
INTEGRA LIFESCIENCES HLD NOTE 457985AB5 805 635,000 PRN DEFINED 2,3 18,596
INTEL CORP COM 458140100 1,139 58,800 SH DEFINED 1,2 58,800
INTERNATIONAL BUSINESS MACHICOM 459200101 9,426 114,300 SH DEFINED 1,2 114,300
INTERPUBLIC GROUP COS NOTE 460690AT7 968 930,000 PRN DEFINED 2,3 74,879
INTERPUBLIC GROUP OF COS INCCOM 460690100 6 600 SH DEFINED 1,2 600
INTL FLAVORS & FRAGRANCES COM 459506101 3 100 SH DEFINED 1,2 100
INTL GAME TECHNOLOGY COM 459902102 18 500 SH DEFINED 1,2 500
INTL RECTIFIER NOTE 460254AE5 1,948 2,000,000 PRN DEFINED 2,3 27,051
INTUIT INC COM 461202103 16 300 SH DEFINED 1,2 300
INVITROGEN INC NOTE 46185RAJ9 1,020 900,000 PRN DEFINED 2,3 13,189
IPC HOLDINGS LTD ORD G4933P101 2,740 97,700 SH DEFINED 2 97,700
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
ISHARES MSCI JAPAN INDEX FD MSCI JAP464286848 14,400 1,000,000 SH DEFINED 2 1,000,000
ITT INDUSTRIES INC COM 450911102 22 400 SH DEFINED 1,2 400
IVAX CORP NOTE 465823AG7 2,329 2,300,000 PRN DEFINED 2,3 101,221
J.C. PENNEY CO INC COM 708160106 24 400 SH DEFINED 1,2 400
JABIL CIRCUIT INC COM 466313103 13 300 SH DEFINED 1,2 300
JANUS CAPITAL GROUP INC COM 47102X105 7 300 SH DEFINED 1,2 300
JEFFERSON-PILOT CORP COM 475070108 11 200 SH DEFINED 1,2 200
JER INVESTORS TRUST INC COM 46614H301 831 50,000 SH DEFINED 2,4 50,000
JOHNSON & JOHNSON COM 478160104 1,143 19,300 SH DEFINED 1,2 19,300
JOHNSON CONTROL INC COM 478366107 1,830 24,100 SH DEFINED 1,2 24,100
JONES APPAREL GROUP INC COM 480074103 7 200 SH DEFINED 1,2 200
JPMORGAN CHASE & COMPANY COM 46625H100 3,938 94,562 SH DEFINED 1,2 94,562
KAYDON CORP NOTE 486587AB4 71 50,000 PRN DEFINED 2,3 1,715
KB HOME COM 48666K109 6 100 SH DEFINED 1,2 100
KELLOGG CO COM 487836108 22 500 SH DEFINED 1,2 500
KELLWOOD CO COM 488044108 385 12,250 SH DEFINED 2 12,250
KELLY SERVICES INC -CL A CL A 488152208 1,228 45,250 SH DEFINED 2 45,250
KENNAMETAL INC COM 489170100 750 12,275 SH DEFINED 2 12,275
KERR MC GEE CORP COM 492386107 2,788 29,200 SH DEFINED 1,2 29,200
KEYCORP COM 493267108 22 600 SH DEFINED 1,2 600
KEYSPAN CORP COM 49337W100 12 300 SH DEFINED 1,2 300
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
KIMBERLY-CLARK CORP COM 494368103 907 15,700 SH DEFINED 1,2 15,700
KINDER MORGAN INC COM 49455P101 18 200 SH DEFINED 1,2 200
KNIGHT RIDDER INC COM 499040103 6 100 SH DEFINED 1,2 100
KOHLS CORP COM 500255104 27 500 SH DEFINED 1,2 500
KROGER CO COM 501044101 20 1,000 SH DEFINED 1,2 1,000
L-3 COMMUNICATIONS CORP COM 502424104 275 3,200 SH DEFINED 1,2 3,200
LABORATORY CRP OF AMER HLDGSCOM 50540R409 12 200 SH DEFINED 1,2 200
LEAR CORP COM 521865105 2,428 136,950 SH DEFINED 2 136,950
LEGGETT & PLATT INC COM 524660107 7 300 SH DEFINED 1,2 300
LEHMAN_BROTHERS_HOLDING INC COM 524908100 2,515 17,400 SH DEFINED 1,2 17,400
LEVEL 3 COMMUNICATIONS NOTE 52729NBA7 223 250,000 PRN DEFINED 2,3 34,819
LEXMARK INTERNATIONAL INC-A CL A 529771107 9 200 SH DEFINED 1,2 200
LIBERTY MEDIA COMSERA 530718105 1,981 241,300 SH DEFINED 2 241,300
LIBERTY MEDIA DEB 530718AF2 1,883 1,800,000 PRN DEFINED 2,3 103,334
LIMITED BRANDS INC COM 532716107 12 500 SH DEFINED 1,2 500
LINCARE HOLDINGS DBCV 532791AB6 928 950,000 PRN DEFINED 2,3 17,814
LINCOLN NATIONAL CORP INDIANCOM 534187109 5,475 100,300 SH DEFINED 1,2 100,300
LINEAR TECHNOLOGY CORP COM 535678106 14 400 SH DEFINED 1,2 400
LIZ CLAIBORNE INC COM 539320101 8 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
LOCKHEED MARTIN CORP COM 539830109 45 600 SH DEFINED 1,2 600
LORAL SPACE AND COMM-W/I COM 543881106 601 20,900 SH DEFINED 2 20,900
LOUISIANA-PACIFIC CORP COM 546347105 3 100 SH DEFINED 1,2 100
LOWES COS INC COM 548661107 71 1,100 SH DEFINED 1,2 1,100
LSI LOGIC CORP COM 502161102 6 500 SH DEFINED 1,2 500
LUCENT TECHNOLOGIES COM 549463107 2,017 661,175 SH DEFINED 1,2 661,175
M & T BANK CORP COM 55261F104 23 200 SH DEFINED 1,2 200
MAGNA INTERNATIONAL INC-CL ACL A 559222401 1,707 22,550 SH DEFINED 2 22,550
MANOR CARE INC COM 564055101 4 100 SH DEFINED 1,2 100
MARATHON OIL CORP COM 565849106 40 523 SH DEFINED 1,2 523
MARRIOTT INTERNATIONAL- CL ACLA 571903202 1,564 22,800 SH DEFINED 1,2 22,800
MARSHALL & ILSLEY CORP COM 571834100 13 300 SH DEFINED 1,2 300
MASCO CORP COM 574599106 19 600 SH DEFINED 1,2 600
MATTEL INC COM 577081102 9 500 SH DEFINED 1,2 500
MAVERICK TUBE CORP NOTE 577914AB0 1,226 650,000 PRN DEFINED 2,3 22,268
MAXIM INTEGRATED PRODUCTS COM 57772K101 254 6,830 SH DEFINED 1,2 6,830
MAYTAG CORP. COM 578592107 684 32,050 SH DEFINED 2 32,050
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
MBIA INC COM 55262C100 3,920 65,200 SH DEFINED 1,2 65,200
MCCORMICK & CO-NON VTG SHRS COM 579780206 7 200 SH DEFINED 1,2 200
MCDATA CORP NOTE 580031AD4 689 800,000 PRN DEFINED 2,3 74,719
MCDONALD'S CORP COM 580135101 2,261 65,800 SH DEFINED 1,2 65,800
MCGRAW-HILL COMPANIES INC COM 580645109 29 500 SH DEFINED 1,2 500
MCKESSON CORP COM 58155Q103 21 400 SH DEFINED 1,2 400
MEADWESTVACO CORP COM 583334107 8 300 SH DEFINED 1,2 300
MEDCO HEALTH SOLUTIONS INC COM 58405U102 24 411 SH DEFINED 1,2 411
MEDIACOM COMMUNICATIONS CORPCL A 58446K105 1,150 200,000 SH DEFINED 2 200,000
MEDICIS PHARMACE NOTE 58470KAA2 1,062 900,000 PRN DEFINED 2,3 15,491
MEDTRONIC INC COM 585055106 239 4,700 SH DEFINED 1,2 4,700
MELLON FINANCIAL CORP COM 58551A108 21 600 SH DEFINED 1,2 600
MERCURY INTERACTIVE CORP COM 589405109 3 100 SH DEFINED 1,2 100
MEREDITH CORP COM 589433101 6 100 SH DEFINED 1,2 100
MERRILL LYNCH NOTE 590188A65 303 540,000 PRN DEFINED 2,3 3,066
MERRILL LYNCH & CO INC COM 590188108 110 1,400 SH DEFINED 1,2 1,400
METLIFE INC COM 59156R108 2,293 47,400 SH DEFINED 1,2 47,400
MGIC INVESTMENT CORP COM 552848103 13 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
MI DEVELOPMENTS INC-CLASS A CL A 55304X104 1,104 31,625 SH DEFINED 2 31,625
MICRON TECHNOLOGY INC COM 595112103 12 800 SH DEFINED 1,2 800
MICROSOFT CORP COM 594918104 6,381 234,500 SH DEFINED 1,2 234,500
MILACRON INC COM 598709103 147 91,150 SH DEFINED 2 91,150
MILLIPORE CORP COM 601073109 7 100 SH DEFINED 1,2 100
MOLEX INC COM 608554101 7 200 SH DEFINED 1,2 200
MOLSON COORS BREWING CO -B CL B 60871R209 7 100 SH DEFINED 1,2 100
MONSANTO CO COM 61166W101 36 426 SH DEFINED 1,2 426
MONSTER WORLDWIDE INC COM 611742107 10 200 SH DEFINED 1,2 200
MOODYS CORP COM 615369105 29 400 SH DEFINED 1,2 400
MORGAN STANLEY COM 617446448 3,400 54,125 SH DEFINED 1,2 54,125
MOTOROLA INC COM 620076109 80 3,500 SH DEFINED 1,2 3,500
MSDW ASIA PACIFIC FUND COM 61744U106 185 11,000 SH DEFINED 2 11,000
MYLAN LABORATORIES INC COM 628530107 7 300 SH DEFINED 1,2 300
NABORS INDUSTRIES LTD SHS G6359F103 14 200 SH DEFINED 1,2 200
NATIONAL CITY CORP COM 635405103 28 800 SH DEFINED 1,2 800
NATIONAL OILWELL VARCO INC COM 637071101 19 300 SH DEFINED 1,2 300
NATIONAL SEMICONDUCTOR CORP COM 637640103 14 500 SH DEFINED 1,2 500
NBTY INC COM 628782104 1,096 48,675 SH DEFINED 2 48,675
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
NCI BUILDING SYSTEMS INC COM 628852105 439 7,350 SH DEFINED 2 7,350
NCO GROUP INC COM 628858102 506 21,300 SH DEFINED 2 21,300
NCR CORPORATION COM 62886E108 13 300 SH DEFINED 1,2 300
NETWORK APPLIANCE INC COM 64120L104 995 27,605 SH DEFINED 1,2 27,605
NEWELL RUBBERMAID INC COM 651229106 10 400 SH DEFINED 1,2 400
NEWMONT MINING CORP COM 651639106 31 600 SH DEFINED 1,2 600
NEWS CORP LTD -SPONS ADR PRFCL A 65248E104 7,297 439,336 SH DEFINED 1,2 439,336
NICOR INC COM 654086107 4 100 SH DEFINED 1,2 100
NIKE INC -CL B CL B 654106103 34 400 SH DEFINED 1,2 400
NISOURCE INC COM 65473P105 2,657 131,400 SH DEFINED 1,2 131,400
NOBLE CORP SHS G65422100 16 200 SH DEFINED 1,2 200
NORDSTROM INC COM 655664100 16 400 SH DEFINED 1,2 400
NORFOLK SOUTHERN CORP COM 655844108 32 600 SH DEFINED 1,2 600
NORTEL NETWORKS NOTE 656568AB8 9,626 10,200,000 PRN DEFINED 2,3,4 1,020,000
NORTH FORK BANCORPORATION COM 659424105 20 700 SH DEFINED 1,2 700
NORTHERN TRUST CORP COM 665859104 1,124 21,400 SH DEFINED 1,2 21,400
NORTHROP GRUMMAN CORP COM 666807102 37 548 SH DEFINED 1,2 548
NOVELL INC COM 670006105 4 500 SH DEFINED 1,2 500
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
NOVELL INC DBCV 670006AC9 2,386 2,600,000 PRN DEFINED 2,3 225,655
NOVELLUS SYSTEMS INC COM 670008101 5 200 SH DEFINED 1,2 200
NUCOR CORP COM 670346105 21 200 SH DEFINED 1,2 200
NVIDIA CORP COM 67066G104 11 200 SH DEFINED 1,2 200
OCCIDENTAL PETROLEUM CORP COM 674599105 56 600 SH DEFINED 1,2 600
OFFICE DEPOT INC COM 676220106 15 400 SH DEFINED 1,2 400
OFFICEMAX INC COM 67622P101 3 100 SH DEFINED 1,2 100
OLD REPUBLIC INTL CORP COM 680223104 1,482 67,922 SH DEFINED 2 67,922
OMNICOM GROUP COM 681919106 25 300 SH DEFINED 1,2 300
ORACLE CORP COM 68389X105 3,515 256,752 SH DEFINED 1,2 256,752
PACCAR INC COM 693718108 21 300 SH DEFINED 1,2 300
PACTIV CORPORATION COM 695257105 5 200 SH DEFINED 1,2 200
PALL CORP COM 696429307 6 200 SH DEFINED 1,2 200
PARAMETRIC TECHNOLOGY CORP COM 699173209 2 120 SH DEFINED 1,2 120
PARKER HANNIFIN CORP COM 701094104 16 200 SH DEFINED 1,2 200
PAYCHEX INC COM 704326107 21 500 SH DEFINED 1,2 500
PEOPLES ENERGY CORP COM 711030106 4 100 SH DEFINED 1,2 100
PEPSI BOTTLING GROUP INC COM 713409100 9 300 SH DEFINED 1,2 300
PEPSICO INCORPORATED COM 713448108 1,410 24,400 SH DEFINED 1,2 24,400
PERKINELMER INC COM 714046109 5 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
PETRO-CANADA COM 71644E102 2,855 60,000 SH DEFINED 2 60,000
PFIZER INC COM 717081103 4,032 161,800 SH DEFINED 1,2 161,800
PG&E CORPORATION COM 69331C108 3,653 93,900 SH DEFINED 1,2 93,900
PHARMACEUTICAL HOLDRS TRUST DEPOSIT71712A206 71,400 1,000,000 SH DEFINED 2 1,000,000
PHELPS DODGE CORP COM 717265102 32 400 SH DEFINED 1,2 400
PHH CORP COM 693320202 807 30,225 SH DEFINED 2 30,225
PHILIPS ELECTRONICS-NY SHR NY REG S500472303 2,231 66,300 SH DEFINED 2 66,300
PHILLIPS PETROLEUM COMPANY COM 20825C104 3,917 62,022 SH DEFINED 1,2 62,022
PIKE ELECTRIC CORP COM 721283109 403 19,175 SH DEFINED 2 19,175
PINNACLE WEST CAPITAL COM 723484101 8 200 SH DEFINED 1,2 200
PIONEER NATURAL RESOURCES COCOM 723787107 4,735 107,000 SH DEFINED 2 107,000
PITNEY BOWES INC COM 724479100 13 300 SH DEFINED 1,2 300
PIXAR INC COM 725811103 372 5,800 SH DEFINED 1,2 5,800
PLUM CREEK TIMBER CO COM 729251108 11 300 SH DEFINED 1,2 300
PMI GROUP INC COM 69344M101 689 15,000 SH DEFINED 2 15,000
PNC FINANCIAL SERVICES GROUPCOM 693475105 27 400 SH DEFINED 1,2 400
PPG INDUSTRIES INC COM 693506107 19 300 SH DEFINED 1,2 300
PPL CORPORATION COM 69351T106 18 600 SH DEFINED 1,2 600
PRAXAIR INC COM 74005P104 1,682 30,500 SH DEFINED 1,2 30,500
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
PRIDE INTERNATIONAL INC NOTE 74153QAD4 1,062 800,000 PRN DEFINED 2,3 31,124
PRINCIPAL FINANCIAL GROUP COM 74251V102 20 400 SH DEFINED 1,2 400
PROCTER & GAMBLE CO COM 742718109 1,087 18,865 SH DEFINED 1,2 18,865
PROGRESS ENERGY INC COM 743263105 18 400 SH DEFINED 1,2 400
PROLOGIS INT 743410102 16 300 SH DEFINED 1,2 300
PRUDENTIAL FINANCIAL INC COM 744320102 61 800 SH DEFINED 1,2 800
PUBLIC SERVICE ENTERPRISE GPCOM 744573106 26 400 SH DEFINED 1,2 400
PULTE CORP COM 745867101 10,773 280,400 SH DEFINED 1,2 280,400
QUALCOMM INC COM 747525103 1,179 23,300 SH DEFINED 1,2 23,300
QUANTA SERVICES INC SDCV 74762EAC6 1,083 700,000 PRN DEFINED 2,3 62,859
QUEST DIAGNOSTICS COM 74834L100 15 300 SH DEFINED 1,2 300
QWEST COMMUNICATIONS INTL COM 749121109 16 2,300 SH DEFINED 1,2 2,300
R.H. DONNELLEY CORP COM 74955W307 522 8,966 SH DEFINED 2 8,966
RADIOSHACK CORP COM 750438103 555 28,850 SH DEFINED 1,2 28,850
RAYTHEON COMPANY COM 755111507 32 700 SH DEFINED 1,2 700
REGIONS FINANCIAL CORP COM 7591EP100 22 620 SH DEFINED 1,2 620
RENAISSANCERE HOLDINGS LTD COM G7496G103 2,992 68,600 SH DEFINED 2 68,600
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
RENT-A-CENTER INC COM 76009N100 3,561 139,300 SH DEFINED 2 139,300
REYNOLDS AMERICAN INC COM 761713106 21 200 SH DEFINED 1,2 200
ROBBINS & MYERS INC COM 770196103 286 13,250 SH DEFINED 2 13,250
ROBERT HALF INTL INC COM 770323103 8 200 SH DEFINED 1,2 200
ROCKWELL AUTOMATION INC COM 773903109 22 300 SH DEFINED 1,2 300
ROCKWELL COLLINS INC. COM 774341101 17 300 SH DEFINED 1,2 300
ROHM AND HAAS CO COM 775371107 15 300 SH DEFINED 1,2 300
ROWAN COMPANIES INC COM 779382100 9 200 SH DEFINED 1,2 200
RR DONNELLEY & SONS CO COM 257867101 10 300 SH DEFINED 1,2 300
RYDER SYSTEM INC COM 783549108 4 100 SH DEFINED 1,2 100
SAFECO CORP COM 786429100 10 200 SH DEFINED 1,2 200
SAFEWAY INC COM 786514208 15 600 SH DEFINED 1,2 600
SALESFORCE.COM INC COM 79466L302 429 11,800 SH DEFINED 1,2 11,800
SARA LEE CORP COM 803111103 1,549 86,650 SH DEFINED 1,2 86,650
SCANA CORP COM 80589M102 1,986 50,600 SH DEFINED 2 50,600
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
SCHERING-PLOUGH CORP COM 806605101 40 2,100 SH DEFINED 1,2 2,100
SCHLUMBERGER LIMITED COM 806857108 3,015 23,820 SH DEFINED 1,2 23,820
SCHWAB (CHARLES) CORP COM 808513105 28 1,600 SH DEFINED 1,2 1,600
SCHWEITZER-MAUDUIT INTL INC COM 808541106 941 39,225 SH DEFINED 2 39,225
SCI SYSTEMS INC NOTE 783890AF3 2,516 2,600,000 PRN DEFINED 2,3 62,878
SCRIPPS CO (E.W.)-CL A CL A 811054204 894 20,000 SH DEFINED 2 20,000
SEALED AIR CORP COM 81211K100 6 100 SH DEFINED 1,2 100
SEARS HOLDINGS CORP COM 812350106 30 225 SH DEFINED 1,2 225
SEMPRA ENERGY COM 816851109 1,584 34,100 SH DEFINED 1,2 34,100
SENOMYX INC COM 81724Q107 295 17,900 SH DEFINED 2 17,900
SHERWIN-WILLIAMS CO/THE COM 824348106 10 200 SH DEFINED 1,2 200
SIGMA-ALDRICH COM 826552101 7 100 SH DEFINED 1,2 100
SIMON PROPERTY GROUP INC COM 828806109 25 300 SH DEFINED 1,2 300
SLM CORP COM 78442P106 499 9,600 SH DEFINED 1,2 9,600
SNAP-ON INC COM 833034101 4 100 SH DEFINED 1,2 100
SOLECTRON CORP COM 834182107 5 1,300 SH DEFINED 1,2 1,300
SOLECTRON CORP NOTE 834182AT4 1,268 1,660,000 PRN DEFINED 2,3 171,722
SOUTHERN CO COM 842587107 36 1,100 SH DEFINED 1,2 1,100
SOUTHWEST AIRLINES CO COM 844741108 18 1,000 SH DEFINED 1,2 1,000
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
SOVEREIGN BANCORP INC COM 845905108 11 500 SH DEFINED 1,2 500
SPHERION CORPORATION COM 848420105 721 69,350 SH DEFINED 2 69,350
SPRINT CORP-FON GROUP COM 852061100 5,533 214,128 SH DEFINED 1,2 214,128
ST JUDE MEDICAL INC COM 790849103 841 20,500 SH DEFINED 1,2 20,500
ST PAUL TRAVELERS COS INC/THCOM 792860108 42 1,007 SH DEFINED 1,2 1,007
STANLEY WORKS/THE COM 854616109 5 100 SH DEFINED 1,2 100
STAPLES INC COM 855030102 27 1,050 SH DEFINED 1,2 1,050
STARBUCKS CORP COM 855244109 487 12,930 SH DEFINED 1,2 12,930
STARWOOD HOTELS & RESORTS PAIRED C85590A203 20 300 SH DEFINED 1,2 300
STATE STREET CORP COM 857477103 30 500 SH DEFINED 1,2 500
STREETTRACKS GOLD TRUST GOLD SHS863307104 17,430 300,000 SH DEFINED 2 300,000
STRYKER CORP COM 863667101 22 500 SH DEFINED 1,2 500
SUN MICROSYSTEMS INC COM 866810104 25 4,800 SH DEFINED 1,2 4,800
SUNOCO INC COM 86764P109 16 200 SH DEFINED 1,2 200
SUNTRUST BANKS INC COM 867914103 36 500 SH DEFINED 1,2 500
SUPERVALU INC COM 868536103 6 200 SH DEFINED 1,2 200
SYMANTEC CORP COM 871503108 28 1,674 SH DEFINED 1,2 1,674
SYMBOL TECHNOLOGIES INC COM 871508107 3 301 SH DEFINED 1,2 301
SYNOVUS FINANCIAL CORP COM 87161C105 11 400 SH DEFINED 1,2 400
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
SYSCO CORP COM 871829107 29 900 SH DEFINED 1,2 900
T ROWE PRICE GROUP INC COM 74144T108 16 200 SH DEFINED 1,2 200
TARGET CORP COM 87612E106 1,108 21,300 SH DEFINED 1,2 21,300
TECO ENERGY INC COM 872375100 5 300 SH DEFINED 1,2 300
TEKTRONIX INC COM 879131100 4 100 SH DEFINED 1,2 100
TELLABS INC COM 879664100 10 600 SH DEFINED 1,2 600
TEMPLE-INLAND INC COM 879868107 9 200 SH DEFINED 1,2 200
TEMPUR-PEDIC INTERNATIONAL COM 88023U101 420 29,675 SH DEFINED 2 29,675
TESORO PETROLEUM CORP COM 881609101 2,529 37,000 SH DEFINED 2 37,000
TEXAS INSTRUMENTS INC COM 882508104 78 2,400 SH DEFINED 1,2 2,400
TEXTRON INC COM 883203101 1,718 18,400 SH DEFINED 1,2 18,400
THE WALT DISNEY CO. COM 254687106 81 2,900 SH DEFINED 1,2 2,900
THERMO ELECTRON CORP COM 883556102 7 200 SH DEFINED 1,2 200
THERMO ELECTRON CORP SDCV 883556AJ1 4,184 4,200,000 PRN DEFINED 2,3 100,383
TIFFANY & CO COM 886547108 8 200 SH DEFINED 1,2 200
TIME WARNER INC COM 887317105 3,185 189,710 SH DEFINED 1,2 189,710
TJX COS INC NOTE 872540AL3 836 1,000,000 PRN DEFINED 2,3 32,667
TJX COS. INC. NEW COM 872540109 3,038 122,400 SH DEFINED 1,2 122,400
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
TORCHMARK CORP COM 891027104 2,225 38,975 SH DEFINED 1,2 38,975
TRANSOCEAN INC ORD G90078109 40 500 SH DEFINED 1,2 500
TREDEGAR CORP COM 894650100 178 11,175 SH DEFINED 2 11,175
TRIBUNE CO COM 896047107 11 400 SH DEFINED 1,2 400
TXU CORP COM 873168108 36 800 SH DEFINED 1,2 800
TYCO INTERNATIONAL LTD COM 902124106 5,715 212,615 SH DEFINED 1,2 212,615
UAL CORP COM 902549807 1,076 26,946 SH DEFINED 2,4 26,946
UNION PACIFIC COM 907818108 1,265 13,550 SH DEFINED 1,2 13,550
UNITED NATIONAL GROUP LTD-A COM 90933T109 669 29,200 SH DEFINED 2 29,200
UNITED PARCEL SERVICE -CL B CL B 911312106 1,231 15,510 SH DEFINED 1,2 15,510
UNITED STATES STEEL CORP COM 912909108 12 200 SH DEFINED 1,2 200
UNITED STATIONERS INC COM 913004107 1,017 19,150 SH DEFINED 2 19,150
UNITED TECHNOLOGIES CORP COM 913017109 87 1,500 SH DEFINED 1,2 1,500
UNITEDHEALTH GROUP INC COM 91324P102 1,553 27,800 SH DEFINED 1,2 27,800
UNIVERSAL CORP-VA COM 913456109 1,200 32,625 SH DEFINED 2 32,625
UNUMPROVIDENT CORP COM 91529Y106 8 400 SH DEFINED 1,2 400
US BANCORP COM 902973304 79 2,600 SH DEFINED 1,2 2,600
USI HOLDINGS CORP COM 90333H101 1,128 69,950 SH DEFINED 2 69,950
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
UST INC COM 902911106 8 200 SH DEFINED 1,2 200
VALASSIS COMMUNICATIONS INC COM 918866104 1,082 36,850 SH DEFINED 2 36,850
VALERO ENERGY CORP COM 91913Y100 13,199 220,800 SH DEFINED 1,2 220,800
VARIAN MEDICAL SYSTEMS INC COM 92220P105 477 8,500 SH DEFINED 1,2 8,500
VERIZON COMMUNICATIONS INC COM 92343V104 582 17,100 SH DEFINED 1,2 17,100
VF CORP COM 918204108 11 200 SH DEFINED 1,2 200
VIACOM INC-CLASS B CL B 92553P201 45 1,150 SH DEFINED 1,2 1,150
VIAD CORP COM 92552R406 1,923 56,100 SH DEFINED 2 56,100
VISTEON CORP COM 92839U107 0 100 SH DEFINED 1,2 100
VORNADO REALTY L.P. DEB 929043AC1 336 300,000 PRN DEFINED 2,3 3,288
VULCAN MATERIALS CO COM 929160109 17 200 SH DEFINED 1,2 200
WACHOVIA CORP COM 929903102 126 2,245 SH DEFINED 1,2 2,245
WAL MART STORES INC COM 931142103 3,604 76,300 SH DEFINED 1,2 76,300
WALGREEN CO COM 931422109 367 8,500 SH DEFINED 1,2 8,500
WASHINGTON MUTUAL INC COM 939322103 792 18,585 SH DEFINED 1,2 18,585
WASTE MANAGEMENT INC COM 94106L109 28 800 SH DEFINED 1,2 800
WATERS CORP COM 941848103 9 200 SH DEFINED 1,2 200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
WATSON PHARMACEUTICALS INC COM 942683103 6 200 SH DEFINED 1,2 200
WCI COMMUNITIES INC COM 92923C104 2,643 95,000 SH DEFINED 2 95,000
WELLPOINT INC COM 94973V107 70 900 SH DEFINED 1,2 900
WELLS FARGO & COMPANY COM 949746101 153 2,400 SH DEFINED 1,2 2,400
WENDYS INTERNATIONAL INC COM 950590109 12 200 SH DEFINED 1,2 200
WEYERHAEUSER COMPANY COM 962166104 1,144 15,800 SH DEFINED 1,2 15,800
WHIRLPOOL CORPORATION COM 963320106 2,993 32,725 SH DEFINED 1,2 32,725
WILLIAMS COS INC COM 969457100 2,332 109,000 SH DEFINED 1,2 109,000
WISCONSIN ENERGY CORP COM 976657106 1,605 40,125 SH DEFINED 2 40,125
WRIGLEY WM JR CO COM 982526105 19 300 SH DEFINED 1,2 300
WW GRAINGER INC COM 384802104 8 100 SH DEFINED 1,2 100
WYETH COM 983024100 2,455 50,600 SH DEFINED 1,2 50,600
XCEL ENERGY INC COM 98389B100 1,592 87,700 SH DEFINED 1,2 87,700
XEROX CORP COM 984121103 20 1,300 SH DEFINED 1,2 1,300
XILINX INC COM 983919101 182 7,155 SH DEFINED 1,2 7,155
XL CAPITAL LTD-CLASS A CL A G98255105 1,654 25,800 SH DEFINED 1,2 25,800
XM SATELLITE RADIO HOLD-CL ACL A 983759101 205 9,200 SH DEFINED 1,2 9,200
Column Column Column Column Column Column Column Column
1: 2: 3: 4: 5: 6: 7: 8:
Name Title Shares or Voting Authority
of of CUSIP Value Principal SH/ Put/ Investment Other ------------------
Issuer Class Number (x$1000) Amount PRN Call Discretion Mgrs Sole Shared None
XTO ENERGY INC COM 98385X106 22 500 SH DEFINED 1,2 500
YAHOO! INC COM 984332106 829 25,700 SH DEFINED 1,2 25,700
YELLOW ROADWAY CORP NOTE 985577AA3 843 670,000 PRN DEFINED 2,3 17,074
YUM! BRANDS INC COM 988498101 20 400 SH DEFINED 1,2 400
ZIMMER HOLDINGS INC COM 98956P102 27 400 SH DEFINED 1,2 400
ZIONS BANCORPORATION COM 989701107 17 200 SH DEFINED 1,2 200