N-Q 1 rq205_11795.txt RQ205_11795.TXT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-3346 OPPENHEIMER DISCIPLINED ALLOCATION FUND (Exact name of registrant as specified in charter) 6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 -------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 Date of fiscal year end: OCTOBER 31 Date of reporting period: JULY 31, 2004 ITEM 1. SCHEDULE OF INVESTMENTS. -------------------------------------------------------------------------------- STATEMENT OF INVESTMENTS JULY 31, 2004 / UNAUDITED --------------------------------------------------------------------------------
Shares Value -------------------------------------------------------------------------------------------------------- Common Stocks--58.3% -------------------------------------------------------------------------------------------------------- Consumer Discretionary--6.8% -------------------------------------------------------------------------------------------------------- Auto Components--0.2% TRW Automotive Holdings Corp. 1 11,000 $ 228,800 -------------------------------------------------------------------------------------------------------- Hotels, Restaurants & Leisure--0.7% McDonald's Corp. 33,900 932,250 -------------------------------------------------------------------------------------------------------- Household Durables--0.3% WCI Communities, Inc. 1 16,600 357,398 -------------------------------------------------------------------------------------------------------- Media--5.6% EchoStar Communications Corp., Cl. A 1 50,600 1,402,632 -------------------------------------------------------------------------------------------------------- Liberty Media Corp., Cl. A 232,300 1,969,904 -------------------------------------------------------------------------------------------------------- Liberty Media International, Inc., A Shares 1 11,615 362,156 -------------------------------------------------------------------------------------------------------- UnitedGlobalCom, Inc., Cl. A 1 505,950 3,207,723 ---------------- 6,942,415 -------------------------------------------------------------------------------------------------------- Consumer Staples--4.3% -------------------------------------------------------------------------------------------------------- Beverages--0.5% Constellation Brands, Inc., Cl. A 1 17,200 651,536 -------------------------------------------------------------------------------------------------------- Food & Staples Retailing--2.2% Costco Wholesale Corp. 41,600 1,691,456 -------------------------------------------------------------------------------------------------------- Wal-Mart Stores, Inc. 18,600 985,986 ---------------- 2,677,442 -------------------------------------------------------------------------------------------------------- Tobacco--1.6% Altria Group, Inc. 41,400 1,970,640 -------------------------------------------------------------------------------------------------------- Energy--4.5% -------------------------------------------------------------------------------------------------------- Energy Equipment & Services--0.7% Halliburton Co. 20,400 647,700 -------------------------------------------------------------------------------------------------------- Talisman Energy, Inc. 6,300 150,192 ---------------- 797,892 -------------------------------------------------------------------------------------------------------- Oil & Gas--3.8% BP plc, ADR 54,200 3,054,712 -------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc. 9,800 588,098 -------------------------------------------------------------------------------------------------------- LUKOIL, Sponsored ADR 10,400 1,120,912 ---------------- 4,763,722 -------------------------------------------------------------------------------------------------------- Financials--11.3% -------------------------------------------------------------------------------------------------------- Commercial Banks--2.7% Bank of America Corp. 21,601 1,836,301 -------------------------------------------------------------------------------------------------------- SouthTrust Corp. 19,200 744,768 -------------------------------------------------------------------------------------------------------- Wells Fargo & Co. 12,800 734,848 ---------------- 3,315,917 -------------------------------------------------------------------------------------------------------- Diversified Financial Services--4.4% CIT Group, Inc. 18,200 632,632 -------------------------------------------------------------------------------------------------------- Citigroup, Inc. 45,277 1,996,263 -------------------------------------------------------------------------------------------------------- JPMorgan Chase & Co. 19,500 727,935 -------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc. 7,600 377,872 -------------------------------------------------------------------------------------------------------- Morgan Stanley 34,900 1,721,617 ---------------- 5,456,319 -------------------------------------------------------------------------------------------------------- Insurance--3.6% Genworth Financial, Inc., Cl. A 1 85,300 1,939,722 -------------------------------------------------------------------------------------------------------- Prudential Financial, Inc. 30,500 1,420,080 -------------------------------------------------------------------------------------------------------- UnumProvident Corp. 27,200 433,840 -------------------------------------------------------------------------------------------------------- XL Capital Ltd., Cl. A 9,500 671,460 ---------------- 4,465,102 -------------------------------------------------------------------------------------------------------- Thrifts & Mortgage Finance--0.6% Fannie Mae 6,400 454,144 -------------------------------------------------------------------------------------------------------- Freddie Mac 5,100 327,981 ---------------- 782,125 -------------------------------------------------------------------------------------------------------- Health Care--7.4% -------------------------------------------------------------------------------------------------------- Biotechnology--1.8% MedImmune, Inc. 1 47,600 1,096,704 -------------------------------------------------------------------------------------------------------- Wyeth 33,300 1,178,820 ---------------- 2,275,524 -------------------------------------------------------------------------------------------------------- Health Care Equipment & Supplies--0.7% Boston Scientific Corp. 1 22,600 864,676 -------------------------------------------------------------------------------------------------------- Health Care Providers & Services--2.6% Aetna, Inc. 8,900 763,620 -------------------------------------------------------------------------------------------------------- PacifiCare Health Systems, Inc. 1 18,700 571,659 -------------------------------------------------------------------------------------------------------- Province Healthcare Co. 1 50,400 732,312 -------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp. 1 108,900 1,217,502 ---------------- 3,285,093 -------------------------------------------------------------------------------------------------------- Pharmaceuticals--2.3% Pfizer, Inc. 32,100 1,025,916 -------------------------------------------------------------------------------------------------------- Schering-Plough Corp. 44,800 871,808 -------------------------------------------------------------------------------------------------------- Watson Pharmaceuticals, Inc. 1 35,600 897,476 ---------------- 2,795,200 -------------------------------------------------------------------------------------------------------- Industrials--7.9% -------------------------------------------------------------------------------------------------------- Aerospace & Defense--3.1% Boeing Co. 22,700 1,152,025 -------------------------------------------------------------------------------------------------------- Raytheon Co. 81,300 2,727,615 ---------------- 3,879,640 -------------------------------------------------------------------------------------------------------- Commercial Services & Supplies--2.8% Cendant Corp. 124,300 2,843,984 -------------------------------------------------------------------------------------------------------- ChoicePoint, Inc. 1 16,200 680,400 ---------------- 3,524,384 -------------------------------------------------------------------------------------------------------- Industrial Conglomerates--2.0% General Electric Co. 24,500 814,625 -------------------------------------------------------------------------------------------------------- Tyco International Ltd. 53,000 1,643,000 ---------------- 2,457,625 -------------------------------------------------------------------------------------------------------- Information Technology--10.8% -------------------------------------------------------------------------------------------------------- Communications Equipment--0.0% Geotek Communications, Inc., Series B, Escrow Shares 1,2,3 100 -- -------------------------------------------------------------------------------------------------------- Computers & Peripherals--2.1% Dell, Inc. 1 23,500 833,545 -------------------------------------------------------------------------------------------------------- Hewlett-Packard Co. 86,300 1,738,945 ---------------- 2,572,490 -------------------------------------------------------------------------------------------------------- Electronic Equipment & Instruments--0.4% Flextronics International Ltd. 1 44,700 561,879 -------------------------------------------------------------------------------------------------------- Internet Software & Services--1.3% IAC/InterActiveCorp 1 45,000 1,228,500 -------------------------------------------------------------------------------------------------------- Net2Phone, Inc. 1 118,500 381,570 ---------------- 1,610,070 -------------------------------------------------------------------------------------------------------- IT Services--0.4% CSG Systems International, Inc. 1 27,900 457,560 -------------------------------------------------------------------------------------------------------- Semiconductors & Semiconductor Equipment--2.2% Freescale Semiconductor, Inc., Cl. A 1 163,300 2,294,365 -------------------------------------------------------------------------------------------------------- Intel Corp. 19,300 470,534 ---------------- 2,764,899 -------------------------------------------------------------------------------------------------------- Software--4.4% Acclaim Entertainment, Inc. 1 516,600 82,656 -------------------------------------------------------------------------------------------------------- Compuware Corp. 1 60,800 300,352 -------------------------------------------------------------------------------------------------------- Microsoft Corp. 63,300 1,801,518 -------------------------------------------------------------------------------------------------------- Oracle Corp. 1 47,100 495,021 -------------------------------------------------------------------------------------------------------- Take-Two Interactive Software, Inc. 1 59,800 1,872,936 -------------------------------------------------------------------------------------------------------- Veritas Software Corp. 1 45,500 867,230 ---------------- 5,419,713 -------------------------------------------------------------------------------------------------------- Materials--1.4% -------------------------------------------------------------------------------------------------------- Chemicals--0.8% Dow Chemical Co. 9,800 390,922 -------------------------------------------------------------------------------------------------------- Praxair, Inc. 14,300 564,135 ---------------- 955,057 -------------------------------------------------------------------------------------------------------- Metals & Mining--0.4% GrafTech International Ltd. 1 41,100 453,333 -------------------------------------------------------------------------------------------------------- Paper & Forest Products--0.2% Bowater, Inc. 8,100 302,130 -------------------------------------------------------------------------------------------------------- Telecommunication Services--2.2% -------------------------------------------------------------------------------------------------------- Diversified Telecommunication Services--1.6% IDT Corp., Cl. B 1 126,000 1,984,500 -------------------------------------------------------------------------------------------------------- Wireless Telecommunication Services--0.6% AT&T Corp. 24,400 368,440 -------------------------------------------------------------------------------------------------------- Vodafone Group plc, Sponsored ADR 16,700 362,891 ---------------- 731,331 -------------------------------------------------------------------------------------------------------- Utilities--1.7% -------------------------------------------------------------------------------------------------------- Electric Utilities--1.3% AES Corp. (The) 1 115,200 1,111,680 -------------------------------------------------------------------------------------------------------- PG&E Corp. 1 19,500 556,530 ---------------- 1,668,210 -------------------------------------------------------------------------------------------------------- Gas Utilities--0.4% Sempra Energy 12,800 457,600 ---------------- Total Common Stocks (Cost $66,080,850) 72,362,472 Units -------------------------------------------------------------------------------------------------------- Rights, Warrants and Certificates--0.0% Liberty Media International, Inc., A Shares Rts., Exp. 8/23/041 (Cost $0) 2,323 13,961 Principal Amount -------------------------------------------------------------------------------------------------------- Asset-Backed Securities--7.9% Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 $ 175,973 175,643 -------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates: Series 2003-A, Cl. A2, 1.45%, 11/25/05 125,965 126,040 Series 2004-A, Cl. A2, 1.88%, 10/25/06 270,000 269,413 -------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts., Series 2002-3, Cl. A2A, 3.05%, 9/15/05 154,960 155,509 -------------------------------------------------------------------------------------------------------- Caterpillar Financial Asset Trust, Equipment Loan Pass-Through Certificates, Series 2003-A, Cl. A2, 1.25%, 10/25/05 37,723 37,734 -------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2003-B, Cl. AF1, 1.64%, 2/25/18 17,924 17,911 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 218,289 218,130 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 118,990 118,714 -------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 160,000 160,421 Series 2003-3, Cl. 1A1, 1.53%, 8/25/17 4 46,047 46,071 Series 2003-4, Cl. 1A1, 1.57%, 9/25/17 4 155,539 155,630 Series 2004-1, Cl. 2A1, 1.56%, 9/25/21 4 426,951 427,155 -------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2002-A, Cl. A4, 4.24%, 9/15/08 60,000 60,895 Series 2003-A, Cl. A2, 1.26%, 1/16/06 44,518 44,518 Series 2003-B, Cl. A2, 1.28%, 3/15/06 86,401 86,357 -------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2002-A3, Cl. A3, 4.40%, 5/15/07 200,000 203,515 -------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2003-2, Cl. AF1, 1.55%, 5/25/33 4 51,916 51,945 Series 2003-3, Cl. AF1, 1.57%, 8/25/33 4 96,728 96,786 -------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through 250,061 251,221 Certificates: Series 2002-A, Cl. A3, 3.85%, 4/6/06 Series 2003-A, Cl. A2, 1.52%, 12/8/05 280,066 280,125 Series 2003-B, Cl. A2, 1.61%, 7/8/06 480,000 479,582 Series 2004-B, Cl. A2, 2.48%, 2/8/07 100,000 102,250 -------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through 50,207 50,242 Certificates: Series 2003-A, Cl. A2A, 1.62%, 8/15/05 Series 2004-A, Cl. A2, 2.13%, 10/15/06 350,000 349,628 -------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: 68,541 68,609 Series 2002-2, Cl. A1, 1.91%, 4/15/07 Series 2003-3, Cl. A1, 1.50%, 1/15/08 231,680 231,202 -------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable 357,606 357,397 Obligations: Series 2003-3, Cl. A2, 1.52%, 4/21/06 Series 2003-4, Cl. A2, 1.58%, 7/17/06 398,193 397,838 -------------------------------------------------------------------------------------------------------- Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 2 718,065 728,836 -------------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: 178,011 178,540 Series 2002-1, Cl. A3, 2.49%, 10/22/07 Series 2003-1, Cl. A2, 1.60%, 7/20/06 583,509 583,250 -------------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 190,000 189,384 -------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A, Cl. A2, 1.69%, 12/15/05 216,993 217,164 -------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: 60,000 60,728 Series 2002-A, Cl. A4, 4.28%, 10/16/06 Series 2003-B, Cl. A2, 1.20%, 11/15/05 166,449 166,491 Series 2003-C, Cl. A2, 1.62%, 4/17/06 130,000 129,969 Series 2004-A, Cl. A2, 1.40%, 7/17/06 210,000 209,182 -------------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed 48,708 49,006 Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 Series 2003-A, Cl. A2, 1.28%, 8/15/05 57,514 57,543 Series 2003-B, Cl. A2, 1.43%, 2/15/06 225,940 225,764 -------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: 87,852 88,085 Series 2002-1, Cl. A3, 2.41%, 10/16/06 Series 2003-1, Cl. A2, 1.22%, 4/17/06 99,932 99,922 Series 2004-1, Cl. A2, 1.43%, 9/15/06 510,000 508,119 Series 2004-2, Cl. A2, 2.38%, 2/15/07 210,000 209,666 -------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable 91,958 91,896 Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 Series 2003-2, Cl. A2, 1.55%, 6/20/06 234,997 234,814 -------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2002-1, Cl. A3, 2.60%, 8/15/06 439,200 440,726 Series 2003-1, Cl. A2A, 1.40%, 4/15/06 334,987 334,716 ---------------- Total Asset-Backed Securities (Cost $9,819,499) 9,824,282 -------------------------------------------------------------------------------------------------------- Mortgage-Backed Obligations--29.0% Bank of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-8, Cl. 5A1, 6.50%, 8/25/29 5 390,000 400,603 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 248,354 249,108 Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 250,000 249,805 -------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 99,490 99,491 -------------------------------------------------------------------------------------------------------- Fannie Mae Whole Loan, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Trust 2003-W6, Cl. 2A1, 2.232%, 9/25/42 67,353 67,333 -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 5%, 8/15/34 5 2,584,000 2,517,785 5.50%, 1/1/34 136,835 137,457 6.50%, 11/1/28 154,088 161,618 7%, 9/1/33 199,599 212,062 -------------------------------------------------------------------------------------------------------- Mortgage-Backed Obligations Continued 7%, 8/1/34 5 1,719,000 1,816,768 8%, 4/1/16 135,472 144,721 9%, 8/1/22-5/1/25 39,211 43,991 -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1669, Cl. G, 6.50%, 2/15/23 85,741 86,737 Series 2055, Cl. ZM, 6.50%, 5/15/28 181,069 190,758 Series 2075, Cl. D, 6.50%, 8/15/28 357,375 377,715 Series 2080, Cl. Z, 6.50%, 8/15/28 113,376 118,118 Series 2102, Cl. VA, 6%, 10/15/09 29,377 29,405 Series 2387, Cl. PD, 6%, 4/15/30 255,565 263,848 Series 2466, Cl. PD, 6.50%, 4/15/30 146,763 149,523 Series 2491, Cl. PE, 6%, 12/15/27 24,272 24,271 Series 2498, Cl. PC, 5.50%, 10/15/14 41,539 42,368 Series 2500, Cl. FD, 1.88%, 3/15/32 4 66,742 67,241 Series 2526, Cl. FE, 1.78%, 6/15/29 4 76,199 76,499 Series 2551, Cl. FD, 1.78%, 1/15/33 4 63,469 63,835 Series 2551, Cl. TA, 4.50%, 2/15/18 169,630 170,014 -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 4.881%, 6/1/26 6 111,898 24,111 Series 183, Cl. IO, 3.624%, 4/1/27 6 179,282 37,558 Series 184, Cl. IO, 6.189%, 12/1/26 6 178,227 42,645 Series 192, Cl. IO, 12.204%, 2/1/28 6 53,675 11,340 Series 200, Cl. IO, 10.853%, 1/1/29 6 63,983 12,873 Series 2130, Cl. SC, 29.208%, 3/15/29 6 146,687 15,965 Series 2796, Cl. SD, 37.825%, 7/15/26 6 185,468 19,301 -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped 62,478 53,277 Mtg.-Backed Security: Series 176, Cl. PO, 5.957%, 6/1/26 7 Series 217, Cl. PO, 6.752%, 2/1/32 7 66,616 55,085 -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Structured Pass-Through Securities, Collateralized Mtg. Obligations, Series T-42, Cl. A2, 5.50%, 2/25/42 402 403 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 8/18/19 5 1,138,000 1,119,508 5%, 8/13/34 5 601,000 585,975 5.50%, 7/1/33-3/1/34 1,470,262 1,477,700 5.50%, 8/19/19-8/13/34 5 7,704,000 7,804,691 6%, 8/1/34 5 168,000 172,358 6.50%, 3/1/26-10/1/30 136,812 143,304 6.50%, 8/1/34 5 2,844,000 2,968,425 7%, 2/25/22-11/1/33 1,558,891 1,644,934 7%, 8/25/34 5 7,602,000 8,031,984 7.50%, 1/1/08-6/1/08 41,013 43,038 8.50%, 7/1/32 20,060 21,760 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 289,036 304,806 Trust 1998-63, Cl. PG, 6%, 3/25/27 77,595 78,333 -------------------------------------------------------------------------------------------------------- Mortgage-Backed Obligations Continued Trust 2001-50, Cl. NE, 6%, 8/25/30 145,414 149,435 Trust 2001-70, Cl. LR, 6%, 9/25/30 128,408 132,997 Trust 2001-72, Cl. NH, 6%, 4/25/30 115,686 119,583 Trust 2001-74, Cl. PD, 6%, 5/25/30 45,463 46,949 Trust 2002-50, Cl. PD, 6%, 9/25/27 140,000 142,395 Trust 2002-77, Cl. WF, 1.81%, 12/18/32 4 105,447 105,869 Trust 2002-94, Cl. MA, 4.50%, 8/25/09 206,791 208,143 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2002-47, Cl. NS, 25.356%, 4/25/32 6 244,605 25,366 Trust 2002-51, Cl. S, 25.199%, 8/25/32 6 224,714 22,812 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, 1.40%, 6/1/23 6 350,216 79,121 Trust 240, Cl. 2, 4.24%, 9/1/23 6 543,862 123,660 Trust 252, Cl. 2, 1.502%, 11/1/23 6 269,258 63,958 Trust 254, Cl. 2, 4.094%, 1/1/24 6 129,632 29,614 Trust 273, Cl. 2, 5.048%, 7/1/26 6 79,357 17,588 Trust 321, Cl. 2, (8.465)%, 3/1/32 6 671,752 156,140 Trust 1993-223, Cl. PM, 0.909%, 10/25/23 6 116,678 12,787 Trust 2002-9, Cl. MS, 32.658%, 3/25/32 6 174,711 18,066 Trust 2002-52, Cl. SD, 25.37%, 9/25/32 6 295,337 29,800 Trust 2004-54, Cl. DS, 37.544%, 7/25/34 6 261,000 24,371 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 8.679%, 9/25/23 7 111,645 93,692 -------------------------------------------------------------------------------------------------------- First Union/Lehman Brothers/Bank of America, Commercial Mtg. Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 140,000 151,723 -------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 105,524 113,553 -------------------------------------------------------------------------------------------------------- Government National Mortgage Assn.: 7%, 4/15/09-2/15/24 187,080 199,569 7.50%, 3/15/09 96,701 103,322 8%, 5/15/17 59,790 65,605 8.50%, 8/15/17-12/15/17 47,509 52,419 -------------------------------------------------------------------------------------------------------- Government National Mortgage Assn. , Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 28.773%, 1/16/27 6 333,204 32,125 Series 2002-76, Cl. SY, 27.381%, 12/16/26 6 461,851 45,483 Series 2004-11, Cl. SM, 27.035%, 1/17/30 6 188,311 18,138 -------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 160,000 174,322 -------------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 8 192,000 216,162 -------------------------------------------------------------------------------------------------------- Washington Mutual Mortgage Securities Corp., Collateralized Mtg. Pass-Through Certificates, Series 2003-AR12, Cl. A2, 2.45%, 2/25/34 4 377,542 378,184 -------------------------------------------------------------------------------------------------------- Mortgage-Backed Obligations Continued Wells Fargo Mortgage Backed Securities Trust, Collateralized Mtg. Obligations, Series 2004-N, Cl. A10, 3.803%, 8/25/34 430,000 432,150 ---------------- Total Mortgage-Backed Obligations (Cost $35,796,056) 36,015,549 -------------------------------------------------------------------------------------------------------- U.S. Government Obligations--6.2% Federal Home Loan Mortgage Corp. Unsec. Nts.: 2.375%, 4/15/06 545,000 542,061 2.75%, 8/15/06 520,000 518,300 4.50%, 1/15/13 55,000 53,827 4.875%, 11/15/13 40,000 39,863 5.50%, 7/15/06 9 1,085,000 1,139,442 5.75%, 1/15/12 350,000 373,809 6.625%, 9/15/09 470,000 523,997 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 490,000 492,626 3.125%, 7/15/06 4.25%, 7/15/07 1,300,000 1,332,520 7.25%, 1/15/10-5/15/30 1,595,000 1,841,672 -------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 122,000 129,133 5.375%, 11/13/08 7.125%, 5/1/30 128,000 151,868 Series C, 4.75%, 8/1/13 15,000 14,826 Series C, 6%, 3/15/13 15,000 16,190 -------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 104,000 106,551 5.375%, 2/15/31 STRIPS, 2.99%, 2/15/10 10 125,000 100,444 STRIPS, 3.37%, 2/15/11 10 101,000 76,923 STRIPS, 3.86%, 2/15/13 10 112,000 75,966 STRIPS, 4.96%, 2/15/16 10 171,000 96,407 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 4.75%, 5/15/14 74,000 75,610 ---------------- Total U.S. Government Obligations (Cost $7,798,488) 7,702,035 -------------------------------------------------------------------------------------------------------- Foreign Government Obligations--0.1% United Mexican States Nts., 7.50%, 1/14/12 (Cost $110,994) 110,000 121,275 -------------------------------------------------------------------------------------------------------- Non-Convertible Corporate Bonds and Notes--11.5% Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 250,000 266,644 -------------------------------------------------------------------------------------------------------- Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 110,000 120,450 -------------------------------------------------------------------------------------------------------- Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 8 50,000 50,346 -------------------------------------------------------------------------------------------------------- Allstate Life Global Funding II, 3.50% Nts., 7/30/07 65,000 64,848 -------------------------------------------------------------------------------------------------------- American Express Centurion Bank, 4.375% Nts., 7/30/09 250,000 250,785 -------------------------------------------------------------------------------------------------------- American Honda Finance Corp., 3.85% Nts., 11/6/08 8 60,000 59,473 -------------------------------------------------------------------------------------------------------- AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 175,000 192,456 -------------------------------------------------------------------------------------------------------- AXA, 8.60% Unsec. Sub. Nts., 12/15/30 190,000 236,316 -------------------------------------------------------------------------------------------------------- Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 3,000 2,959 -------------------------------------------------------------------------------------------------------- Bankers Trust Corp., 7.375% Unsec. Sub. Nts., 5/1/08 20,000 22,380 -------------------------------------------------------------------------------------------------------- Beazer Homes USA, Inc., 8.625% Sr. Unsec. Nts., 5/15/11 115,000 123,625 -------------------------------------------------------------------------------------------------------- Boeing Capital Corp., 5.65% Sr. Unsec. Nts., 5/15/06 19,000 19,975 -------------------------------------------------------------------------------------------------------- British Telecommunications plc: 155,000 165,345 7.875% Nts., 12/15/05 8.125% Nts., 12/15/10 85,000 100,307 -------------------------------------------------------------------------------------------------------- Canadian National Railway Co., 4.25% Nts., 8/1/09 32,000 31,863 -------------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc.: 135,000 140,168 5.875% Sr. Nts., 6/1/08 8.125% Unsec. Nts., Series B, 7/15/05 60,000 63,007 -------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp., 7.50% Sr. Nts., 6/15/14 8 120,000 126,900 -------------------------------------------------------------------------------------------------------- CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 295,000 322,380 -------------------------------------------------------------------------------------------------------- CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 120,000 138,040 -------------------------------------------------------------------------------------------------------- Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 60,000 64,206 -------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., 4.625% Sr. Unsec. Nts., 1/15/08 245,000 247,630 -------------------------------------------------------------------------------------------------------- Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 33,000 33,600 -------------------------------------------------------------------------------------------------------- Cox Communications, Inc., 7.75% Unsec. Nts., 8/15/06 155,000 168,407 -------------------------------------------------------------------------------------------------------- CSX Corp., 6.25% Unsec. Nts., 10/15/08 120,000 128,818 -------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/15/11 105,000 117,600 -------------------------------------------------------------------------------------------------------- DaimlerChrysler North America Holding Corp., 4.75% Unsec. Nts., 1/15/08 235,000 239,178 -------------------------------------------------------------------------------------------------------- Delphi Corp., 6.55% Nts., 6/15/06 135,000 141,654 -------------------------------------------------------------------------------------------------------- Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 155,000 183,032 -------------------------------------------------------------------------------------------------------- Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 135,000 157,386 -------------------------------------------------------------------------------------------------------- DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 120,000 126,161 -------------------------------------------------------------------------------------------------------- Edison International, Inc., 6.875% Unsec. Nts., 9/15/04 64,000 64,320 -------------------------------------------------------------------------------------------------------- Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 160,000 173,981 -------------------------------------------------------------------------------------------------------- FedEx Corp., 2.65% Nts., 4/1/07 8 275,000 268,385 -------------------------------------------------------------------------------------------------------- FirstEnergy Corp., 5.50% Sr. Unsub. Nts., Series A, 11/15/06 250,000 260,318 -------------------------------------------------------------------------------------------------------- Food Lion, Inc., 7.55% Nts., 4/15/07 165,000 177,738 -------------------------------------------------------------------------------------------------------- Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 95,000 105,605 -------------------------------------------------------------------------------------------------------- Ford Motor Co., 8.90% Unsec. Unsub. Debs., 1/15/32 65,000 70,574 -------------------------------------------------------------------------------------------------------- France Telecom SA: 80,000 85,610 8.20% Sr. Unsec. Nts., 3/1/06 8.75% Sr. Unsec. Nts., 3/1/11 80,000 93,462 9.50% Sr. Unsec. Nts., 3/1/31 4 45,000 57,460 -------------------------------------------------------------------------------------------------------- Franklin Resources, Inc., 3.70% Nts., 4/15/08 80,000 79,355 -------------------------------------------------------------------------------------------------------- Gap, Inc. (The), 6.90% Nts., 9/15/07 2 100,000 108,500 -------------------------------------------------------------------------------------------------------- General Mills, Inc., 3.875% Nts., 11/30/07 190,000 190,361 -------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 6.875% Unsec. Unsub. Nts., 8/28/12 340,000 346,652 -------------------------------------------------------------------------------------------------------- General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 45,000 47,177 -------------------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 70,000 69,097 -------------------------------------------------------------------------------------------------------- Hertz Corp. (The), 6.35% Nts., 6/15/10 290,000 294,682 -------------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 95,000 103,550 -------------------------------------------------------------------------------------------------------- Hutchison Whampoa International Ltd., 7.45% Sr. Bonds, 11/24/33 8 100,000 97,488 -------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 110,000 122,650 -------------------------------------------------------------------------------------------------------- iStar Financial, Inc., 2.719% Sr. Nts., 3/12/07 2,4 210,000 212,625 -------------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc., 7.60% Nts., 4/1/07 240,000 260,400 -------------------------------------------------------------------------------------------------------- John Hancock Global Funding II, 7.90% Nts., 7/2/10 8 111,000 129,529 -------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 150,000 159,818 -------------------------------------------------------------------------------------------------------- Kraft Foods, Inc., 5.25% Nts., 6/1/07 300,000 313,118 -------------------------------------------------------------------------------------------------------- Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 180,000 200,147 -------------------------------------------------------------------------------------------------------- Lear Corp.: 150,000 156,140 7.96% Sr. Unsec. Nts., Series B, 5/15/05 8.11% Sr. Unsec. Nts., Series B, 5/15/09 86,000 98,555 -------------------------------------------------------------------------------------------------------- Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 6,000 6,540 -------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.50% Nts., 9/25/06 110,000 109,644 -------------------------------------------------------------------------------------------------------- May Department Stores Co. (The), 3.95% Nts., 7/15/07 8 16,000 16,011 -------------------------------------------------------------------------------------------------------- MBNA America Bank NA, 5.375% Nts., 1/15/08 185,000 192,649 -------------------------------------------------------------------------------------------------------- McDonnell Douglas Corp., 6.875% Unsec. Unsub. Nts., 11/1/06 34,000 36,587 -------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 4.125% Nts., Series C, 1/15/09 255,000 253,663 -------------------------------------------------------------------------------------------------------- MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 265,000 272,474 -------------------------------------------------------------------------------------------------------- Morgan Stanley, 6.60% Nts., 4/1/12 155,000 168,595 -------------------------------------------------------------------------------------------------------- National City Bank, 6.20% Sub. Nts., 12/15/11 17,000 18,336 -------------------------------------------------------------------------------------------------------- Nationwide Financial Services, Inc., 5.90% Nts., 7/1/12 125,000 131,511 -------------------------------------------------------------------------------------------------------- Niagara Mohawk Power Corp., 5.375% Sr. Unsec. Nts., 10/1/04 75,000 75,435 -------------------------------------------------------------------------------------------------------- NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 190,000 220,328 -------------------------------------------------------------------------------------------------------- Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 150,000 168,947 -------------------------------------------------------------------------------------------------------- Petroleos Mexicanos, 9.50% Sr. Sub. Nts., 9/15/27 70,000 81,025 -------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 8 75,000 71,889 -------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 8 195,000 239,532 -------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 8 260,000 318,557 -------------------------------------------------------------------------------------------------------- PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 115,000 121,900 -------------------------------------------------------------------------------------------------------- Pulte Homes, Inc., 8.375% Sr. Nts., 8/15/04 45,000 45,051 -------------------------------------------------------------------------------------------------------- Safeway, Inc.: 75,000 74,718 2.50% Nts., 11/1/05 4.80% Sr. Unsec. Nts., 7/16/07 170,000 174,245 -------------------------------------------------------------------------------------------------------- Spieker Properties LP, 6.75% Unsec. Unsub. Nts., 1/15/08 195,000 212,941 -------------------------------------------------------------------------------------------------------- Sprint Capital Corp.: 135,000 142,832 7.125% Sr. Unsec. Nts., 1/30/06 8.75% Nts., 3/15/32 100,000 121,532 -------------------------------------------------------------------------------------------------------- SunTrust Banks, Inc., 7.75% Unsec. Sub. Nts., 5/1/10 11,000 12,756 -------------------------------------------------------------------------------------------------------- TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 290,000 367,394 -------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 105,000 103,191 -------------------------------------------------------------------------------------------------------- Texas Utilities Co., 6.375% Sr. Unsec. Nts., Series C, 1/1/08 105,000 112,219 -------------------------------------------------------------------------------------------------------- Time Warner Cos., Inc., 9.125% Debs., 1/15/13 130,000 160,097 -------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 65,000 83,595 -------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 115,000 125,350 -------------------------------------------------------------------------------------------------------- Tyco International Group SA: 25,000 25,222 5.875% Unsec. Unsub. Nts., 11/1/04 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 180,000 189,013 6.75% Sr. Unsub. Nts., 2/15/11 76,000 83,445 -------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 32,000 31,642 2.875% Sr. Unsec. Nts., 10/15/06 3.50% Sr. Unsec. Nts., 10/15/07 165,000 163,789 -------------------------------------------------------------------------------------------------------- Volkswagen Credit, Inc., 1.88% Nts., 7/21/05 4,8 245,000 244,986 -------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 245,000 256,555 -------------------------------------------------------------------------------------------------------- Walt Disney Co. (The), 5.375% Sr. Unsec. Nts., 6/1/07 145,000 151,386 -------------------------------------------------------------------------------------------------------- Waste Management, Inc., 7% Sr. Nts., 7/15/28 90,000 95,592 -------------------------------------------------------------------------------------------------------- Weyerhaeuser Co., 5.50% Unsec. Unsub. Nts., 3/15/05 52,000 52,998 -------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 260,000 282,812 ---------------- Total Non-Convertible Corporate Bonds and Notes (Cost $13,945,951) 14,270,220 -------------------------------------------------------------------------------------------------------- Structured Notes--1.5% Deutsche Bank AG, COUNTS Corp. Sec. Credit Linked Nts., Series 2003-1, 3.318%, 1/7/05 2,4 950,000 944,775 -------------------------------------------------------------------------------------------------------- UBS AG, High Grade Credit Linked Nts., 0.009%, 12/10/04 2,4 950,000 954,085 ---------------- Total Structured Notes (Cost $1,900,000) 1,898,860 -------------------------------------------------------------------------------------------------------- Joint Repurchase Agreements--5.4% -------------------------------------------------------------------------------------------------------- Undivided interest of 8.40% in joint repurchase agreement (Principal Amount/Value $79,582,000, with a maturity value of $79,590,555) with Zions Bank/Capital Markets Group, 1.29%, dated 7/30/04, to be repurchased at $6,688,719 on 8/2/04, collateralized by U.S. Treasury Bills, 9/9/04--1/13/05, with a value of $81,222,748 (Cost $6,688,000) 6,688,000 6,688,000 -------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $142,139,838) 119.9% 148,896,654 -------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (19.9) (24,707,360) ----------------------------------- Net Assets 100.0% $ 124,189,294 ===================================
Footnotes to Statement of Investments 1. Non-income producing security. 2. Illiquid or restricted security. 3. Received as the result of issuer reorganization. Currently has minimal market value. 4. Represents the current interest rate for a variable or increasing rate security. 5. When-issued security to be delivered and settled after July 31, 2004. 6. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $862,822 or 0.69% of the Fund's net assets as of July 31, 2004. 7. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $202,054 or 0.16% of the Fund's net assets as of July 31, 2004. 8. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Directors. These securities amount to $1,839,258 or 1.48% of the Fund's net assets as of July 31, 2004. 9. Securities with an aggregate market value of $231,044 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. 10. Zero coupon bond reflects effective yield on the date of purchase. ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of July 31, 2004, registrant's principal executive officer and principal financial officer found registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in registrant's internal controls over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. (a) Exhibits attached hereto. (Attach certifications as exhibits)