-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, UgsjZsvEF3uEdu7B9sO/OKaEhnsLfMhHrCpl1gOp8Qh/F5RVJs4HOnaCJZceUKQN Mgyl87SZW3NPh1MM1t3IMw== 0000935069-05-000119.txt : 20050128 0000935069-05-000119.hdr.sgml : 20050128 20050128140045 ACCESSION NUMBER: 0000935069-05-000119 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20041130 FILED AS OF DATE: 20050128 DATE AS OF CHANGE: 20050128 EFFECTIVENESS DATE: 20050128 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER CAPITAL INCOME FUND CENTRAL INDEX KEY: 0000045156 IRS NUMBER: 840578481 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-01512 FILM NUMBER: 05557371 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER EQUITY INCOME FUND DATE OF NAME CHANGE: 19980710 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER EQUITY INCOME FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: CENTENNIAL EQUITY INCOME FUND INC DATE OF NAME CHANGE: 19830428 N-Q 1 rq300_12006nq.txt RQ300_12006NQ.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 811-1512 OPPENHEIMER CAPITAL INCOME 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: AUGUST 31 --------- Date of reporting period: NOVEMBER 30, 2004 ----------------- ITEM 1. SCHEDULE OF INVESTMENTS. - -------------------------------------------------------------------------------- Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2004 / Unaudited - --------------------------------------------------------------------------------
Shares Value - ----------------------------------------------------------------------------------------------------------- COMMON STOCKS--43.0% - ----------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--5.5% - ----------------------------------------------------------------------------------------------------------- MEDIA--2.2% Cablevision Systems New York Group, Cl. A 1 1,164,800 $ 24,868,480 - ----------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc. 2 616,400 20,760,352 - ----------------------------------------------------------------------------------------------------------- EchoStar Communications Corp., Cl. A 1,2 594,900 19,506,771 - ----------------------------------------------------------------------------------------------------------- Liberty Media Corp., Cl. A 1 250,000 2,582,500 ------------------ 67,718,103 - ----------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--3.3% CSK Auto Corp. 1,3 6,500,000 99,710,000 - ----------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--5.5% - ----------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.4% B&G Foods, Inc. 1 700,000 10,416,000 - ----------------------------------------------------------------------------------------------------------- TOBACCO--5.1% Altria Group, Inc. 2 2,174,200 124,994,758 - ----------------------------------------------------------------------------------------------------------- Loews Corp./Carolina Group 1,000,000 29,400,000 ------------------ 154,394,758 - ----------------------------------------------------------------------------------------------------------- ENERGY--10.7% - ----------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.3% GlobalSantaFe Corp. 2 275,000 8,635,000 - ----------------------------------------------------------------------------------------------------------- OIL & GAS--10.4% BP plc, ADR 500,000 30,675,000 - ----------------------------------------------------------------------------------------------------------- Enbridge Energy Management LLC 3 663,670 31,623,876 - ----------------------------------------------------------------------------------------------------------- Kinder Morgan Management LLC 3,232,500 132,047,625 - ----------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc. 1,750,000 121,275,000 ------------------ 315,621,501 - ----------------------------------------------------------------------------------------------------------- FINANCIALS--13.6% - ----------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--4.1% Bank of America Corp. 910,000 42,105,700 - ----------------------------------------------------------------------------------------------------------- U.S. Bancorp 2 1,250,000 37,037,500 - ----------------------------------------------------------------------------------------------------------- Washington Mutual, Inc. 2 1,120,800 45,627,768 ------------------ 124,770,968 - ----------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--3.7% Assured Guaranty Ltd. 107,200 1,974,624 - ----------------------------------------------------------------------------------------------------------- Citigroup, Inc. 2,093,500 93,684,125 - ----------------------------------------------------------------------------------------------------------- JPMorgan Chase & Co. 177,500 6,682,875 - ----------------------------------------------------------------------------------------------------------- Morgan Stanley 152,500 7,739,375 ------------------ 110,080,999 - ----------------------------------------------------------------------------------------------------------- INSURANCE--4.8% ACE Ltd. 2 775,000 31,325,500 - ----------------------------------------------------------------------------------------------------------- Everest Re Group Ltd. 1,000,000 84,270,000 - ----------------------------------------------------------------------------------------------------------- Prudential Financial, Inc. 410,875 20,112,331 - ----------------------------------------------------------------------------------------------------------- St. Paul Travelers Cos., Inc. (The) 225,000 8,208,000 ------------------ 143,915,831 - ----------------------------------------------------------------------------------------------------------- REAL ESTATE--0.4% Anthracite Capital, Inc. 1,000,000 11,920,000 - ----------------------------------------------------------------------------------------------------------- Origen Financial, Inc. 225,000 1,584,000 ------------------ 13,504,000 - ----------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.6% PMI Group, Inc. (The) 200,000 8,236,000 - ----------------------------------------------------------------------------------------------------------- Radian Group, Inc. 2 200,000 10,250,000 ------------------ 18,486,000 - ----------------------------------------------------------------------------------------------------------- HEALTH CARE--2.0% - ----------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.3% Wyeth 2 222,500 8,871,075 - ----------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--1.7% Abbott Laboratories 2 450,000 18,882,000 - ----------------------------------------------------------------------------------------------------------- Bristol-Myers Squibb Co. 25,000 587,500 - ----------------------------------------------------------------------------------------------------------- Merck & Co., Inc. 2 275,000 7,705,500 - ----------------------------------------------------------------------------------------------------------- Pfizer, Inc. 838,500 23,285,145 ------------------ 50,460,145 - ----------------------------------------------------------------------------------------------------------- INDUSTRIALS--4.7% - ----------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--2.2% Lockheed Martin Corp. 2 337,500 20,533,500 - ----------------------------------------------------------------------------------------------------------- Raytheon Co. 2 1,140,000 45,987,600 ------------------ 66,521,100 - ----------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.8% Cendant Corp. 1,025,000 23,236,750 - ----------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--1.7% General Electric Co. 2 345,000 12,199,200 - ----------------------------------------------------------------------------------------------------------- Tyco International Ltd. 2 1,161,900 39,469,743 ------------------ 51,668,943 - ----------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.4% - ----------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.0% Hewlett-Packard Co. 2 64,300 1,286,000 - ----------------------------------------------------------------------------------------------------------- IT SERVICES--0.2% Unisys Corp. 1 500,000 5,745,000 - ----------------------------------------------------------------------------------------------------------- SOFTWARE--0.2% Microsoft Corp. 225,000 6,032,250 - ----------------------------------------------------------------------------------------------------------- MATERIALS--0.1% - ----------------------------------------------------------------------------------------------------------- CHEMICALS--0.0% Lyondell Chemical Co. 2 4,600 129,076 - ----------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.1% Bowater, Inc. 40,000 1,620,400 - ----------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--0.3% - ----------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.3% Citizens Communications Co. 150,000 2,145,000 - ----------------------------------------------------------------------------------------------------------- SBC Communications, Inc. 125,000 3,146,250 - ----------------------------------------------------------------------------------------------------------- Verizon Communications, Inc. 2 62,500 2,576,875 ------------------ 7,868,125 - ----------------------------------------------------------------------------------------------------------- UTILITIES--0.2% - ----------------------------------------------------------------------------------------------------------- MULTI-UTILITIES & UNREGULATED POWER--0.2% Equitable Resources, Inc. 2 87,400 5,200,300 ------------------ Total Common Stocks (Cost $927,898,157) 1,295,892,324 - ----------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--7.4% AES Trust III, 6.75% Cv. 103,900 4,930,055 - ----------------------------------------------------------------------------------------------------------- Aquila, Inc., 6.75% Cv. 350,000 11,550,000 - ----------------------------------------------------------------------------------------------------------- Calpine Capital Trust III, 5% Cum. Cv. Remarketable Term Income Deferrable Equity Securities, Non-Vtg. 290,000 14,173,750 - ----------------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc., 2% Cv. Zero-Premium Exchangeable Sub. Nts., 9/15/29 (exchangeable for cash based on value of Time Warner, Inc. common stock) 1,000,000 35,322,000 - ----------------------------------------------------------------------------------------------------------- Emmis Communications Corp., 6.25% Cum. Cv., Series A, Non-Vtg. 400,000 18,200,000 - ----------------------------------------------------------------------------------------------------------- Freeport-McMoRan Copper & Gold, Inc.: 9,500 9,345,625 5.50% Cv. 4 5.50% Cv. 250 245,938 - ----------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., Cv. Premium Income Equity Linked Nts. Securities, 6.25%, 10/15/07 (linked to General Mills, Inc. common stock) 1 345,000 8,866,500 - ----------------------------------------------------------------------------------------------------------- McKesson Financing Trust, 5% Cum. Cv., Non-Vtg. 125,000 6,328,125 - ----------------------------------------------------------------------------------------------------------- Sempra Energy, 8.50% Cv. Equity Units (each equity unit consists of income equity units, each has a stated value of $25 and consists of a purchase contract to purchase Sempra Energy common stock and $25 principal amount of Sempra Energy, 5.60% sr. nts., 5/17/07) 5 575,000 17,882,500 - ----------------------------------------------------------------------------------------------------------- Six Flags, Inc., 7.25% Cum. Cv. Preferred Income Equity Redeemable Shares, Non-Vtg. 675,000 14,478,750 - ----------------------------------------------------------------------------------------------------------- Travelers Property Casualty Corp., 4.50% Cv. Jr. Unsec. Sub. Nts. 1,250,000 28,875,000 - ----------------------------------------------------------------------------------------------------------- United Rentals Trust I, 6.50% Cv. Quarterly Income Preferred Securities 575,000 24,940,625 - ----------------------------------------------------------------------------------------------------------- UnumProvident Corp., 8.25% Cv. 300,000 9,654,000 - ----------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The), 5.50% Cv. Jr. Unsec. Sub. Debs. 50,000 4,268,750 - ----------------------------------------------------------------------------------------------------------- XL Capital Ltd., 6.50% Cv. 595,300 14,692,004 ------------------ Total Preferred Stocks (Cost $215,219,764) 223,753,622 Principal Amount - ----------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--13.4% Bank of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 $ 4,587,161 4,708,196 Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 3,522,526 3,662,328 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 2,514,497 2,516,283 Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 2,228,335 2,221,615 - ----------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 581,278 581,222 - ----------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations, Series 2004-J9, Cl. 1A1, 2.361%, 10/25/34 6 3,185,846 3,189,308 - ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 5%, 12/1/34 7 31,795,000 31,407,483 5.50%, 12/1/34 7 24,114,000 24,407,901 6.50%, 7/1/28-4/1/34 1,960,343 2,059,869 7%, 10/1/31-11/1/33 32,913,266 34,942,945 7%, 12/1/34 7 7,853,000 8,329,088 8%, 4/1/16 1,032,613 1,097,792 9%, 8/1/22-5/1/25 303,342 339,842 - ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1669, Cl. G, 6.50%, 2/15/23 677,986 683,890 Series 2034, Cl. Z, 6.50%, 2/15/28 1,194,867 1,238,209 Series 2053, Cl. Z, 6.50%, 4/15/28 1,349,985 1,397,579 Series 2055, Cl. ZM, 6.50%, 5/15/28 1,641,350 1,703,207 Series 2075, Cl. D, 6.50%, 8/15/28 4,176,794 4,343,698 Series 2080, Cl. Z, 6.50%, 8/15/28 1,054,089 1,084,780 Series 2387, Cl. PD, 6%, 4/15/30 2,330,849 2,423,175 Series 2466, Cl. PD, 6.50%, 4/15/30 857,518 863,045 Series 2498, Cl. PC, 5.50%, 10/15/14 311,521 314,701 Series 2500, Cl. FD, 2.59%, 3/15/32 6 706,810 711,701 Series 2526, Cl. FE, 2.49%, 6/15/29 6 825,555 829,028 Series 2551, Cl. FD, 2.49%, 1/15/33 6 667,222 671,911 Series 2551, Cl. TA, 4.50%, 2/15/18 587,087 586,956 - ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 0.337%, 6/1/26 8 1,122,289 232,668 Series 183, Cl. IO, (0.692)%, 4/1/27 8 1,849,525 382,856 Series 184, Cl. IO, 2.329%, 12/1/26 8 1,831,857 379,585 Series 192, Cl. IO, 2.988%, 2/1/28 8 553,760 106,972 Series 200, Cl. IO, 2.615%, 1/1/29 8 676,682 132,172 Series 2130, Cl. SC, 16.028%, 3/15/29 8 1,318,631 119,086 Series 2796, Cl. SD, 23.446%, 7/15/26 8 1,917,210 156,789 - ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 6.861%, 6/1/26 9 534,186 460,147 - ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 12/1/19 7 14,853,000 14,755,535 5%, 6/1/17-7/1/17 8,710,431 8,851,108 5%, 12/1/34 7 7,194,000 7,097,327 5.50%, 3/1/33-4/1/34 27,300,833 27,694,295 5.50%, 12/1/19-12/1/34 7 30,324,000 30,883,126 6%, 8/1/24-12/1/34 7 23,051,957 23,802,340 6.50%, 10/1/30 658,677 693,054 6.50%, 12/1/34 7 9,273,000 9,730,854 7%, 1/1/31-9/1/34 31,993,844 33,968,946 7%, 1/1/34 7 43,539,000 46,192,180 7.50%, 8/1/29-3/1/30 4,373,823 4,693,923 8.50%, 7/1/32 150,264 163,182 - ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Trust 2002-T1, Cl. A2, 7%, 11/25/31 7 3,815,610 4,042,161 - ----------------------------------------------------------------------------------------------------------- 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 3,219,593 3,366,196 Trust 1998-63, Cl. PG, 6%, 3/25/27 636,418 639,866 Trust 2001-50, Cl. NE, 6%, 8/25/30 1,354,972 1,373,488 Trust 2001-70, Cl. LR, 6%, 9/25/30 1,161,461 1,186,271 Trust 2001-72, Cl. NH, 6%, 4/25/30 952,459 987,016 Trust 2001-74, Cl. PD, 6%, 5/25/30 408,636 415,164 Trust 2002-50, Cl. PD, 6%, 9/25/27 889,068 891,036 Trust 2002-77, Cl. WF, 2.528%, 12/18/32 6 1,080,924 1,087,108 Trust 2002-94, Cl. MA, 4.50%, 8/25/09 1,825,082 1,829,826 Trust 2003-81, Cl. PA, 5%, 2/25/12 606,807 609,569 - ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2002-47, Cl. NS, 14.605%, 4/25/32 8 2,516,468 233,060 Trust 2002-51, Cl. S, 14.915%, 8/25/32 8 2,310,462 219,208 - ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, (2.776)%, 6/1/23 8 3,711,595 710,064 Trust 240, Cl. 2, 1.358%, 9/1/23 8 5,526,493 1,178,063 Trust 252, Cl. 2, (3.452)%, 11/1/23 8 2,821,205 634,089 Trust 254, Cl. 2, (0.285)%, 1/1/24 8 1,389,931 293,596 Trust 273, Cl. 2, 1.49%, 7/1/26 8 815,004 158,083 Trust 303, Cl. IO, 3.974%, 11/1/29 8 1,155,501 230,203 Trust 308, Cl. 2, 1.814%, 9/1/30 8 3,587,398 689,079 Trust 321, Cl. 2, (6.442)%, 3/1/32 8 12,718,579 2,661,177 Trust 333, Cl. 2, 3.34%, 3/1/33 8 1,699,961 393,595 Trust 334, Cl. 17, (25.85)%, 2/1/33 8 2,079,834 389,083 Trust 2001-81, Cl. S, 17.004%, 1/25/32 8 1,323,649 159,116 Trust 2002-9, Cl. MS, 16.042%, 3/25/32 8 1,586,438 162,179 Trust 2002-52, Cl. SD, 13.287%, 9/25/32 8 2,927,471 307,920 Trust 2002-77, Cl. SH, 22.884%, 12/18/32 8 1,592,227 162,616 Trust 2004-54, Cl. DS, 26.441%, 11/25/30 8 2,793,046 231,649 - ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 9.379%, 9/25/23 9 1,218,510 1,054,420 - ----------------------------------------------------------------------------------------------------------- First Union National Bank/Lehman Brothers/Bank of America Commercial Mtg. Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 1,730,000 1,863,957 - ----------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,720,000 1,734,640 - ----------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,395,021 1,479,955 - ----------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., 8.50%, 8/15/17-12/15/17 369,316 407,373 - ----------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 14.765%, 1/16/27 8 2,570,448 202,530 Series 2002-15, Cl. SM, 9.227%, 2/16/32 8 2,369,640 210,651 Series 2002-76, Cl. SY, 10.129%, 12/16/26 8 5,596,035 532,762 Series 2004-11, Cl. SM, 11.123%, 1/17/30 8 2,265,191 197,288 - ----------------------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Pass-Through 1,670,005 1,649,148 Certificates: Series 2004-C1, Cl. A1, 3.659%, 10/10/28 Series 2004-GG2, Cl. A3, 4.602%, 8/10/38 1,080,000 1,099,609 - ----------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 04-12, Cl. 3A1, 4.593%, 12/25/34 10 5,160,543 5,160,543 - ----------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-6, Cl. 10A1, 6%, 7/25/34 7 4,823,234 4,945,055 - ----------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 1,950,000 2,113,069 - ----------------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 2,380,000 2,735,886 - ----------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage Backed Securities Trust, Collateralized Mtg. 4,752,379 4,735,932 Obligations: Series 2004-N, Cl. A10, 3.803%, 8/25/34 10 Series 2004-W, Cl. A2, 4.641%, 11/25/34 2,785,882 2,789,039 ------------------ Total Mortgage-Backed Obligations (Cost $404,841,807) 404,964,235 - ----------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--3.1% Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 1,276,334 1,273,306 - ----------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2004-A, Cl. A2, 1.88%, 10/25/06 3,730,000 3,719,734 - ----------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed 523,520 522,669 Certificates: Series 2003-C, Cl. AF1, 2.14%, 7/25/18 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 830,147 828,103 Series 2004-D, Cl. AF1, 2.98%, 4/25/20 10 1,492,494 1,488,231 - ----------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity 606,294 606,530 Mtg. Obligations: Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 1,595,769 1,595,096 Series 2003-4, Cl. 1A1, 2.301%, 9/25/17 6 615,433 615,778 Series 2003-4, Cl. 1A2, 2.138%, 7/25/18 1,100,000 1,096,855 Series 2004-1, Cl. 2A1, 2.291%, 9/25/21 6 3,036,906 3,038,577 - ----------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through 766,380 772,576 Certificates: Series 2002-A, Cl. A4, 4.24%, 9/15/08 Series 2003-A, Cl. A2, 1.26%, 1/16/06 47,173 47,184 Series 2003-B, Cl. A2, 1.28%, 3/15/06 416,030 415,846 - ----------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 10 2,250,000 2,241,473 - ----------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2002-A3, Cl. A3, 4.40%, 5/15/07 2,230,000 2,248,877 - ----------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity 239,711 239,843 Collateralized Mtg. Obligations: Series 2003-2, Cl. AF1, 2.28%, 5/25/33 6 Series 2003-3, Cl. AF1, 2.30%, 8/25/33 6 801,401 801,864 - ----------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc., Home Equity Mtg. Obligations, Series 2004-OPT1, Cl. A1B, 2.388%, 9/1/34 10 3,043,033 3,043,033 - ----------------------------------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Inc., Home Equity 659,335 662,820 Asset-Backed Certificates, Series 2002-4, Cl. A1, 2.303%, 2/25/33 6 - ----------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through 1,367,278 1,367,309 Certificates: Series 2003-A, Cl. A2, 1.52%, 12/8/05 Series 2003-B, Cl. A2, 1.61%, 7/10/06 3,942,553 3,936,726 Series 2004-B, Cl. A2, 2.48%, 2/8/07 10 2,700,000 2,696,947 Series 2004-C, Cl. A2, 2.62%, 6/8/07 4,210,000 4,202,423 - ----------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2004-A, Cl. A2, 2.13%, 10/15/06 5,000,000 4,985,840 - ----------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts., Series 2003-3, Cl. A1, 1.50%, 1/15/08 2,084,776 2,077,953 - ----------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable 245,792 245,825 Obligations: Series 2003-2, Cl. A2, 1.34%, 12/21/05 Series 2003-3, Cl. A2, 1.52%, 4/21/06 2,509,105 2,505,507 Series 2003-4, Cl. A2, 1.58%, 7/17/06 3,040,864 3,034,528 - ----------------------------------------------------------------------------------------------------------- Household Automotive Trust, Automobile Loan Certificates, Series 2003-2, Cl. A2, 1.56%, 12/18/06 1,350,092 1,347,600 - ----------------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: 1,328,220 1,328,777 Series 2002-1, Cl. A3, 2.49%, 10/22/07 Series 2003-1, Cl. A2, 1.60%, 7/20/06 2,246,240 2,243,606 - ----------------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 2,018,107 2,011,555 - ----------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations: 690,928 691,218 Series 2003-A, Cl. A2, 1.69%, 12/15/05 Series 2004-A, Cl. A2, 2.55%, 1/15/07 1,950,000 1,941,459 - ----------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: 636,908 640,728 Series 2002-A, Cl. A4, 4.28%, 10/16/06 Series 2004-A, Cl. A2, 1.40%, 7/17/06 2,352,034 2,343,344 - ----------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Home Equity Mtg. Obligations, Series 2004-3, Cl. A2, 2.331%, 11/25/34 6,10 1,486,415 1,487,101 - ----------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates, Series 2004-5, Cl. A F2, 3.754%, 11/10/34 10 800,000 800,000 - ----------------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed 272,154 272,840 Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 Series 2003-B, Cl. A2, 1.43%, 2/15/06 1,205,135 1,204,642 - ----------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: 601,291 601,626 Series 2002-1, Cl. A3, 2.41%, 10/16/06 Series 2003-1, Cl. A2, 1.22%, 4/17/06 57,350 57,364 Series 2004-1, Cl. A2, 1.43%, 9/15/06 5,605,745 5,588,775 Series 2004-2, Cl. A2, 2.41%, 2/15/07 2,730,000 2,724,082 Series 2004-3, Cl. A2, 2.79%, 6/15/07 1,980,000 1,978,010 - ----------------------------------------------------------------------------------------------------------- Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities, Series 2004-A, Cl. A2, 2.47%, 1/22/07 2,660,000 2,649,298 - ----------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable 280,697 280,643 Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 Series 2003-2, Cl. A2, 1.55%, 6/20/06 1,655,355 1,652,344 - ----------------------------------------------------------------------------------------------------------- Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 1,940,000 1,933,516 - ----------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 4,277,953 4,259,587 - ----------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates: 2,311,283 2,307,344 Series 2003-1, Cl. A2A, 1.40%, 4/15/06 Series 2004-1, Cl. A2A, 2.59%, 5/15/07 2,500,000 2,493,050 ------------------ Total Asset-Backed Securities (Cost $93,382,243) 93,149,962 - ----------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--3.9% Federal Home Loan Bank Unsec. Bonds, 2.75%, 10/15/06 6,000,000 5,956,386 - ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 550,000 613,360 6.25%, 7/15/32 6.625%, 9/15/09 4,670,000 5,208,451 - ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 11,540,000 11,784,431 4.25%, 7/15/07-5/15/09 6%, 5/15/08 930,000 1,001,222 6.625%, 9/15/09 8,800,000 9,806,342 7.25%, 5/15/30 2,315,000 2,881,068 - ----------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 238,000 252,116 5.375%, 11/13/08 7.125%, 5/1/30 989,000 1,207,998 Series A, 6.79%, 5/23/12 22,112,000 25,246,575 - ----------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 7,602,000 8,003,484 5.375%, 2/15/31 11 5.50%, 8/15/28 11 2,775,000 2,931,097 6.125%, 11/15/27 11 4,639,000 5,292,269 STRIPS, 2.99%, 2/15/10 12 2,075,000 1,704,011 STRIPS, 3.37%, 2/15/11 12 4,403,000 3,428,955 STRIPS, 3.84%, 2/15/13 12 5,158,000 3,611,853 STRIPS, 4.96%, 2/15/16 12 1,157,000 681,475 - ----------------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 22,850,000 22,663,453 2.50%, 9/30/06 4.25%, 11/15/13 2,600,000 2,588,932 6.50%, 2/15/10 11 3,300,000 3,726,165 ------------------ Total U.S. Government Obligations (Cost $119,066,079) 118,589,643 - ----------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--0.1% United Mexican States Nts., 7.50%, 1/14/12 (Cost $1,238,934) 1,205,000 1,356,830 - ----------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--11.8% Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 13 3,060,000 3,199,478 - ----------------------------------------------------------------------------------------------------------- Allied Waste North America, Inc.: 5,000,000 4,600,000 5.75% Sr. Sec. Nts., Series B, 2/15/11 8.50% Sr. Sub. Nts., 12/1/08 2,500,000 2,625,000 8.875% Sr. Nts., Series B, 4/1/08 1,230,000 1,297,650 - ----------------------------------------------------------------------------------------------------------- Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 4 625,000 630,901 - ----------------------------------------------------------------------------------------------------------- Allstate Life Global Funding II, 3.50% Nts., 7/30/07 850,000 845,639 - ----------------------------------------------------------------------------------------------------------- American Express Centurion Bank, 4.375% Nts., 7/30/09 1,140,000 1,153,273 - ----------------------------------------------------------------------------------------------------------- American Honda Finance Corp., 3.85% Nts., 11/6/08 4 2,025,000 2,013,194 - ----------------------------------------------------------------------------------------------------------- AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 13 2,170,000 2,358,805 - ----------------------------------------------------------------------------------------------------------- AXA, 8.60% Unsec. Sub. Nts., 12/15/30 1,810,000 2,328,903 - ----------------------------------------------------------------------------------------------------------- Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 40,000 40,345 - ----------------------------------------------------------------------------------------------------------- Bank Plus Corp., 12% Sr. Nts., 7/18/07 2,500,000 2,687,500 - ----------------------------------------------------------------------------------------------------------- Bankers Trust Corp., 7.375% Unsec. Sub. Nts., 5/1/08 250,000 277,456 - ----------------------------------------------------------------------------------------------------------- Beazer Homes USA, Inc.: 800,000 884,000 8.375% Sr. Nts., 4/15/12 8.625% Sr. Unsec. Nts., 5/15/11 1,285,000 1,407,075 - ----------------------------------------------------------------------------------------------------------- Boeing Capital Corp., 5.65% Sr. Unsec. Nts., 5/15/06 234,000 242,067 - ----------------------------------------------------------------------------------------------------------- British Telecommunications plc: 1,940,000 2,032,200 7.875% Nts., 12/15/05 8.125% Nts., 12/15/10 1,420,000 1,693,082 - ----------------------------------------------------------------------------------------------------------- Calpine Canada Energy Finance ULC, 8.50% Sr. Unsec. Nts., 5/1/08 18,500,000 13,320,000 - ----------------------------------------------------------------------------------------------------------- Calpine Corp., 8.50% Sr. Unsec. Nts., 2/15/11 2,500,000 1,693,750 - ----------------------------------------------------------------------------------------------------------- Canadian National Railway Co., 4.25% Nts., 8/1/09 433,000 433,396 - ----------------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc.: 1,710,000 1,788,224 5.875% Sr. Nts., 6/1/08 8.125% Unsec. Nts., Series B, 7/15/05 475,000 489,810 - ----------------------------------------------------------------------------------------------------------- Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 3,050,000 3,422,131 - ----------------------------------------------------------------------------------------------------------- Charter Communications Holdings LLC/Charter Communications 4,250,000 3,293,750 Holdings Capital Corp.: 0%/13.50% Sr. Sub. Disc. Nts., 1/15/11 14 8.625% Sr. Unsec. Nts., 4/1/09 40,000,000 33,400,000 9.92% Sr. Unsec. Disc. Nts., 4/1/11 50,000,000 41,375,000 - ----------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp.: 5,601,000 5,937,060 6.875% Sr. Unsec. Nts., 1/15/16 7.50% Sr. Nts., 6/15/14 1,660,000 1,842,600 - ----------------------------------------------------------------------------------------------------------- CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 3,613,000 3,889,734 - ----------------------------------------------------------------------------------------------------------- CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 1,150,000 1,352,416 - ----------------------------------------------------------------------------------------------------------- Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 462,000 539,385 - ----------------------------------------------------------------------------------------------------------- ConAgra Foods, Inc., 6% Nts., 9/15/06 1,585,000 1,655,124 - ----------------------------------------------------------------------------------------------------------- Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 372,000 375,815 - ----------------------------------------------------------------------------------------------------------- Cox Communications, Inc., 6.40% Sr. Unsec. Nts., 8/1/08 2,185,000 2,331,155 - ----------------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 3,000,000 3,180,000 - ----------------------------------------------------------------------------------------------------------- CSX Corp., 6.25% Unsec. Nts., 10/15/08 1,460,000 1,569,649 - ----------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 6.125% Nts., 1/15/14 1,265,000 1,306,113 - ----------------------------------------------------------------------------------------------------------- DaimlerChrysler North America Holding Corp., 4.75% Unsec. Nts., 1/15/08 2,295,000 2,339,672 - ----------------------------------------------------------------------------------------------------------- Delphi Automotive Systems Corp., 6.50% Nts., 5/1/09 1,235,000 1,283,938 - ----------------------------------------------------------------------------------------------------------- Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 1,790,000 2,124,034 - ----------------------------------------------------------------------------------------------------------- Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 1,300,000 1,524,578 - ----------------------------------------------------------------------------------------------------------- DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 1,430,000 1,493,410 - ----------------------------------------------------------------------------------------------------------- Duke Capital LLC, 5.668% Nts., 8/15/14 1,630,000 1,661,245 - ----------------------------------------------------------------------------------------------------------- EOP Operating LP, 6.763% Sr. Unsec. Nts., 6/15/07 275,000 292,984 - ----------------------------------------------------------------------------------------------------------- Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 2,150,000 2,337,880 - ----------------------------------------------------------------------------------------------------------- FedEx Corp., 2.65% Unsec. Nts., 4/1/07 3,360,000 3,288,892 - ----------------------------------------------------------------------------------------------------------- FirstEnergy Corp.: 1,230,000 1,269,595 5.50% Sr. Unsub. Nts., Series A, 11/15/06 7.375% Sr. Unsub. Nts., Series C, 11/15/31 1,427,000 1,583,388 - ----------------------------------------------------------------------------------------------------------- Food Lion, Inc., 7.55% Nts., 4/15/07 2,010,000 2,170,332 - ----------------------------------------------------------------------------------------------------------- Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 580,000 661,455 - ----------------------------------------------------------------------------------------------------------- Ford Motor Credit Co., 7.375% Nts., 10/28/09 615,000 660,933 - ----------------------------------------------------------------------------------------------------------- France Telecom SA: 1,005,000 1,193,806 8.50% Sr. Unsec. Nts., 3/1/11 9.25% Sr. Unsec. Nts., 3/1/31 6 755,000 999,697 - ----------------------------------------------------------------------------------------------------------- Franklin Resources, Inc., 3.70% Nts., 4/15/08 1,025,000 1,019,876 - ----------------------------------------------------------------------------------------------------------- Gap, Inc. (The), 6.90% Nts., 9/15/07 10 1,255,000 1,361,675 - ----------------------------------------------------------------------------------------------------------- General Mills, Inc., 3.875% Nts., 11/30/07 2,505,000 2,507,813 - ----------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 7.25% Nts., 3/2/11 3,715,000 3,877,899 - ----------------------------------------------------------------------------------------------------------- General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 715,000 729,818 - ----------------------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 845,000 829,646 - ----------------------------------------------------------------------------------------------------------- Hertz Corp. (The), 6.35% Nts., 6/15/10 3,750,000 3,856,811 - ----------------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 1,165,000 1,271,806 - ----------------------------------------------------------------------------------------------------------- Hutchison Whampoa International Ltd., 7.45% Sr. Bonds, 11/24/33 4 1,200,000 1,275,620 - ----------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 6,10 1,410,000 1,593,300 - ----------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc., 9% Sr. Sub. Nts., 3/15/12 1,000,000 1,115,000 - ----------------------------------------------------------------------------------------------------------- iStar Financial, Inc.: 1,390,000 1,405,479 4.875% Sr. Unsec. Nts., Series B, 1/15/09 8.75% Sr. Unsec. Nts., 8/15/08 1,020,000 1,163,815 - ----------------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc., 8% Nts., 3/1/10 3,000,000 3,435,000 - ----------------------------------------------------------------------------------------------------------- John Hancock Global Funding II, 7.90% Nts., 7/2/10 4 1,137,000 1,326,603 - ----------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 1,600,000 1,784,000 - ----------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 1,450,000 1,579,249 - ----------------------------------------------------------------------------------------------------------- Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 4,606,000 4,680,848 - ----------------------------------------------------------------------------------------------------------- Kraft Foods, Inc., 5.25% Nts., 6/1/07 3,720,000 3,853,946 - ----------------------------------------------------------------------------------------------------------- Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 2,230,000 2,447,309 - ----------------------------------------------------------------------------------------------------------- Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 2,560,000 2,898,547 - ----------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., 7% Nts., 2/1/08 1,990,000 2,167,572 - ----------------------------------------------------------------------------------------------------------- Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 325,000 351,096 - ----------------------------------------------------------------------------------------------------------- Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 1,505,000 1,576,472 - ----------------------------------------------------------------------------------------------------------- Level 3 Communications, Inc.: 7,000,000 6,282,500 10.50% Sr. Disc. Nts., 12/1/08 11% Sr. Unsec. Nts., 3/15/08 7,000,000 6,405,000 - ----------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.50% Nts., 9/25/06 1,420,000 1,413,245 - ----------------------------------------------------------------------------------------------------------- Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 1,600,000 1,626,083 - ----------------------------------------------------------------------------------------------------------- Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 32,500,000 28,031,250 - ----------------------------------------------------------------------------------------------------------- Marsh & McLennan Cos., Inc., 5.375% Nts., 7/15/14 1,655,000 1,579,542 - ----------------------------------------------------------------------------------------------------------- May Department Stores Co. (The), 3.95% Nts., 7/15/07 4 215,000 215,132 - ----------------------------------------------------------------------------------------------------------- MBNA America Bank NA, 5.375% Nts., 1/15/08 2,475,000 2,574,975 - ----------------------------------------------------------------------------------------------------------- McDonnell Douglas Corp., 6.875% Unsec. Unsub. Nts., 11/1/06 416,000 441,884 - ----------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 4.125% Nts., 9/10/09 3,230,000 3,204,848 - ----------------------------------------------------------------------------------------------------------- MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 2,300,000 2,408,838 - ----------------------------------------------------------------------------------------------------------- Morgan Stanley, 6.60% Nts., 4/1/12 1,370,000 1,515,516 - ----------------------------------------------------------------------------------------------------------- National City Bank, 6.20% Sub. Nts., 12/15/11 213,000 231,961 - ----------------------------------------------------------------------------------------------------------- Nationwide Financial Services, Inc., 5.90% Nts., 7/1/12 1,090,000 1,148,552 - ----------------------------------------------------------------------------------------------------------- NiSource Finance Corp.: 440,000 435,589 3.20% Nts., 11/1/06 7.875% Sr. Unsec. Nts., 11/15/10 1,820,000 2,132,008 - ----------------------------------------------------------------------------------------------------------- Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 2,080,000 2,362,768 - ----------------------------------------------------------------------------------------------------------- Petroleos Mexicanos, 9.50% Sr. Sub. Nts., 9/15/27 920,000 1,131,600 - ----------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 4 1,104,293 1,067,956 - ----------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 4 2,235,000 2,800,933 - ----------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 4 2,330,000 2,914,294 - ----------------------------------------------------------------------------------------------------------- PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 10 1,390,000 1,494,250 - ----------------------------------------------------------------------------------------------------------- Rite Aid Corp.: 5,000,000 4,575,000 6.875% Sr. Unsec. Debs., 8/15/13 7.125% Sr. Unsub. Nts., 1/15/07 7,500,000 7,612,500 - ----------------------------------------------------------------------------------------------------------- Safeway, Inc.: 1,310,000 1,302,302 2.50% Nts., 11/1/05 4.80% Sr. Unsec. Nts., 7/16/07 1,430,000 1,463,375 - ----------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 1,000,000 1,047,500 - ----------------------------------------------------------------------------------------------------------- Spieker Properties LP, 6.75% Unsec. Unsub. Nts., 1/15/08 2,230,000 2,413,259 - ----------------------------------------------------------------------------------------------------------- Sprint Capital Corp.: 1,790,000 1,868,286 7.125% Sr. Unsec. Nts., 1/30/06 8.75% Nts., 3/15/32 1,150,000 1,486,068 - ----------------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc., 7.375% Nts., 5/1/07 593,000 635,993 - ----------------------------------------------------------------------------------------------------------- SunTrust Banks, Inc.: 1,655,000 1,663,793 4% Nts., 10/15/08 7.75% Unsec. Sub. Nts., 5/1/10 149,000 172,566 - ----------------------------------------------------------------------------------------------------------- TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 2,995,000 3,808,292 - ----------------------------------------------------------------------------------------------------------- TECO Energy, Inc., 10.50% Sr. Unsec. Nts., 12/1/07 1,280,000 1,488,000 - ----------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 1,345,000 1,354,150 - ----------------------------------------------------------------------------------------------------------- Terex Corp., 9.25% Sr. Unsec. Sub. Nts., 7/15/11 1,000,000 1,135,000 - ----------------------------------------------------------------------------------------------------------- Texas Utilities Co., 6.375% Sr. Unsec. Nts., Series C, 1/1/08 1,317,000 1,397,748 - ----------------------------------------------------------------------------------------------------------- Time Warner Cos., Inc., 9.125% Debs., 1/15/13 1,130,000 1,430,662 - ----------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 651,000 848,352 - ----------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,285,000 1,432,775 - ----------------------------------------------------------------------------------------------------------- Tyco International Group SA: 2,380,000 2,469,995 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 6.75% Sr. Unsub. Nts., 2/15/11 870,000 973,386 - ----------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 430,000 424,377 2.875% Sr. Unsec. Nts., 10/15/06 3.50% Sr. Unsec. Nts., 10/15/07 2,245,000 2,216,468 - ----------------------------------------------------------------------------------------------------------- Volkswagen Credit, Inc., 2.33% Nts., 7/21/05 4,6 3,245,000 3,244,588 - ----------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 3,080,000 3,197,810 - ----------------------------------------------------------------------------------------------------------- Walt Disney Co. (The), 5.375% Sr. Unsec. Nts., 6/1/07 1,265,000 1,314,895 - ----------------------------------------------------------------------------------------------------------- Waste Management, Inc.: 1,050,000 1,158,216 7% Sr. Nts., 7/15/28 7.125% Sr. Unsec. Nts., 10/1/07 1,955,000 2,127,677 - ----------------------------------------------------------------------------------------------------------- Weyerhaeuser Co., 5.50% Unsec. Unsub. Nts., 3/15/05 631,000 635,807 - ----------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 3,145,000 3,359,143 ------------------ Total Non-Convertible Corporate Bonds and Notes (Cost $333,966,952) 356,183,426 - ----------------------------------------------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS AND NOTES--17.7% Allied Waste Industries, Inc., 4.25% Cv. Sr. Unsec. Sub. Debs., 4/15/34 8,750,000 7,623,438 - ----------------------------------------------------------------------------------------------------------- Calpine Corp., 4.75% Cv. Sr. Unsec. Nts., 11/15/23 4 17,500,000 14,393,750 - ----------------------------------------------------------------------------------------------------------- Charter Communications, Inc., 5.875% Cv. Sr. Nts., 11/16/09 4 4,000,000 4,280,000 - ----------------------------------------------------------------------------------------------------------- Continental Airlines, Inc., 4.50% Cv. Sr. Unsec. Unsub. Nts., 2/1/07 7,750,000 5,802,813 - ----------------------------------------------------------------------------------------------------------- Curagen Corp., 6% Cv. Jr. Unsec. Sub. Debs., 2/2/07 15,000,000 14,381,250 - ----------------------------------------------------------------------------------------------------------- Delta Air Lines, Inc.: 7,500,000 4,846,875 2.875% Cv. Sr. Bonds, 2/18/24 4 8% Cv. Sr. Unsec. Bonds, 6/3/23 5,000,000 3,043,750 - ----------------------------------------------------------------------------------------------------------- El Paso Corp., 5.48% Cv. Debs., 2/28/21 12 117,500,000 61,540,625 - ----------------------------------------------------------------------------------------------------------- Enzon Pharmaceuticals, Inc., 4.50% Cv. Unsec. Sub. Nts., 7/1/08 20,750,000 19,453,125 - ----------------------------------------------------------------------------------------------------------- Gap, Inc. (The), 5.75% Cv. Unsec. Nts., 3/15/09 4,250,000 5,875,625 - ----------------------------------------------------------------------------------------------------------- Level 3 Communications, Inc.: 5.25% Cv. Sr. Nts., 12/15/11 4,7 10,000,000 10,100,000 6% Cv. Unsec. Sub. Nts., 3/15/10 7,500,000 4,331,250 - ----------------------------------------------------------------------------------------------------------- Liberty Media Corp.: 14,250,000 16,155,938 0.75% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 3.75% Exchangeable Sr. Unsec. Debs., 2/15/30 (exchangeable for Sprint Corp. PCS, Series 1 common stock or cash based on the value of that stock) 6,000,000 4,102,500 4% Exchangeable Sr. Unsec. Debs., 11/15/29 (exchangeable for Sprint Corp. PCS, Series 1 common stock or cash based on the value of that stock) 45,000,000 33,131,250 - ----------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.25% Exchangeable Sr. Sec. Debs., 3/15/31 (exchangeable for Viacom, Inc., Cl. B common stock) 4 7,500,000 6,975,000 - ----------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31 (exchangeable for Viacom, Inc., Cl. B common stock or cash based on the value thereof) 118,500,000 110,205,000 - ----------------------------------------------------------------------------------------------------------- LSI Logic Corp., 4% Cv. Sub. Nts., 5/15/10 10,850,000 10,104,063 - ----------------------------------------------------------------------------------------------------------- Nextel Communications, Inc., 5.25% Cv. Sr. Nts., 1/15/10 15,000,000 15,300,000 - ----------------------------------------------------------------------------------------------------------- Nortel Networks Corp., 4.25% Cv. Sr. Unsec. Nts., 9/1/08 15,000,000 14,456,250 - ----------------------------------------------------------------------------------------------------------- Novell, Inc., 0.50% Cv. Sr. Unsec. Debs., 7/15/24 4 10,000,000 9,212,500 - ----------------------------------------------------------------------------------------------------------- Pride International, Inc., 2.50% Cv. Sr. Unsec. Nts., 3/1/07 11,250,000 13,851,563 - ----------------------------------------------------------------------------------------------------------- Providian Financial Corp., 6.09% Cv. Sr. Unsec. Unsub. Nts., 2/15/21 10,12 57,500,000 29,612,500 - ----------------------------------------------------------------------------------------------------------- Tyco International Group SA: 36,000,000 55,170,000 2.75% Cv. Sr. Unsec. Unsub. Debs., Series A, 1/15/18 4 2.75% Cv. Sr. Unsec. Unsub. Debs., Series A, 1/15/18 38,750,000 59,384,375 ------------------ Total Convertible Corporate Bonds and Notes (Cost $470,829,038) 533,333,440 - ----------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--5.1% Citigroup Global Markets Holdings, Inc.: EchoStar Communications Corp. Cv. Equity Linked Nts., 6%, 4/29/05 287,026 9,315,429 Liberty Media Corp. Cv. Equity Linked Nts., 4%, 11/25/05 1 956,938 9,892,921 - ----------------------------------------------------------------------------------------------------------- Core Investment Grade Bond Trust I, Pass-Through Certificates, Series 2002-1, 4.727%, 11/30/07 1,400,000 1,431,325 - ----------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc., (New York) Equity Linked Nts., 6%, 12/23/04 (redemption linked to Comcast Corp., Cl. A Special common stock) 1,060,200 31,739,738 - ----------------------------------------------------------------------------------------------------------- Deutsche Bank AG, COUNTS Corp. Sec. Credit Linked Nts., Series 2003-1, 3.78%, 1/7/05 6,10 7,150,000 7,129,265 - ----------------------------------------------------------------------------------------------------------- Dow Jones CDX High Yield Index Pass-Through Certificates, Series 3-1, 7.75%, 12/29/09 4,15 13,600,000 13,821,000 - ----------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): GlobalSantaFe Corp. Cv. Linked Nts., 4.50%, 9/29/05 1 496,860 15,523,894 MedImmune, Inc. Cv. Medium Term Linked Nts., 4.875%, 2/4/05 475,000 12,205,125 - ----------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc.: Cv. Yield Enhanced Equity Linked Debt Securities, 6%, 12/23/04 (linked to EchoStar Communications Corp. Cl. A common stock) 326,297 10,787,379 Cv. Yield Enhanced Equity Linked Debt Securities, Series G, 2.875%, 10/8/05 (linked to CarMax, Inc. common stock) 1 855,844 22,294,736 - ----------------------------------------------------------------------------------------------------------- Morgan Stanley, Cv. Performance Equity Linked Redemption Quarterly-pay Securities, 4.20%, 10/14/05 (linked to Dollar Tree Stores, Inc. common stock) 1 459,955 12,701,657 - ----------------------------------------------------------------------------------------------------------- UBS AG, High Grade Credit Linked Nts., 3.505%, 12/10/04 10 7,150,000 7,200,765 ------------------ Total Structured Notes (Cost $147,349,088) 154,043,234 - ----------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--1.6% Undivided interest of 10.67% in joint repurchase agreement (Principal Amount/Value $462,887,000, with a maturity value of $462,912,587) with UBS Warburg LLC, 1.99%, dated 11/30/04, to be repurchased at $49,370,729 on 12/1/04, collateralized by Federal National Mortgage Assn., 5%, 3/1/34, with a value of $472,958,882 (Cost $49,368,000) 49,368,000 49,368,000 - ----------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $2,763,160,062) 107.1% 3,230,634,716 - ----------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (7.1) (214,996,450) ------------------------------------- Net Assets 100.0% $ 3,015,638,266 =====================================
Footnotes to Statement of Investments 1. Non-income producing security. 2. A sufficient amount of liquid assets has been designated to cover outstanding written call options, as follows:
CONTRACTS SUBJECT TO EXPIRATION EXERCISE PREMIUM CALL DATES PRICE RECEIVED VALUE - ------------------------------------------------------------------------------------- ACE Ltd 250 12/20/04 $ 40.000 $ 15,125 $ 22,500 Abbott Laboratories 4,500 2/21/05 47.500 248,124 45,000 Altria Group, Inc. 11,000 1/24/05 70.000 747,640 -- Clear Channel Communications, Inc 1,500 12/20/04 35.000 115,847 37,500 EchoStar Communications Corp., Cl. A 2,000 12/20/04 35.000 51,749 -- Equitable Resources, Inc. 874 12/20/04 55.000 60,552 384,560 General Electric Co. 1,000 1/24/05 37.500 53,999 25,000 GlobalSantaFe Corp. 2,750 1/24/05 35.000 179,246 82,500 Hewlett-Packard Co. 643 1/24/05 20.000 54,011 48,225 Lockheed Martin Corp. 2,500 12/20/04 60.000 123,122 250,000 Lyondell Chemical Co. 46 12/20/04 17.500 9,312 46,920 Merck & Co., Inc. 2,750 12/20/04- 1/24/05 30.000 154,302 102,500 Radian Group, Inc. 2,000 12/20/04 50.000 293,993 340,000 Raytheon Co. 4,000 12/20/04- 1/24/05 40.000 171,455 361,250 Tyco International Ltd. 11,300 12/20/04- 1/24/05 30.000 3,450,267 4,582,750 Tyco International Ltd. 319 1/24/05 32.500 47,167 63,800 U.S. Bancorp 1,750 12/20/04 30.000 120,747 17,500 Verizon Communications, Inc. 625 12/20/04 40.000 123,122 87,500 Washington Mutual, Inc 11,208 1/24/05 42.500 459,986 224,160 Wyeth 975 12/20/04 40.000 153,072 43,875 ---------------------- $ 6,632,838 $6,765,540 ======================
3. Affiliated company. Represents ownership of at least 5% of the voting securities of the issuer, and is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended November 30, 2004. The aggregate fair value of securities of affiliated companies held by the Fund as of November 30, 2004 amounts to $131,333,876. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES AUGUST 31, 2004 ADDITIONS REDUCTIONS NOV. 30, 2004 - --------------------------------------------------------------------------------------- CSK Auto Corp. 6,500,000 -- -- 6,500,000 Enbridge Energy Management LLC 650,000 13,670 * -- 663,670 UNREALIZED DIVIDEND APPRECIATION INCOME - --------------------------------------------------------------------------------------- CSK Auto Corp. $ 35,635,873 $ -- Enbridge Energy Management LLC 8,280,704 -- -------------------------------- $ 43,916,577 $ -- ================================
* Result of a Corporate Action 4. 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 Trustees. These securities amount to $143,633,971 or 4.76% of the Fund's net assets as of November 30, 2004. 5. Units may be comprised of several components, such as debt and equity and/or warrants to purchase equity at some point in the future. For units, which represent debt securities, principal amount disclosed represents total underlying principal. 6. Represents the current interest rate for a variable or increasing rate security. 7. When-issued security or forward commitment to be delivered and settled after November 30, 2004. 8. 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 $11,466,139 or 0.38% of the Fund's net assets as of November 30, 2004. 9. 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 $1,514,567 or 0.05% of the Fund's net assets as of November 30, 2004. 10. Illiquid security. The aggregate value of illiquid securities as of November 30, 2004 was $69,245,015, which represents 2.30% of the Fund's net assets. 11. A sufficient amount of securities has been designated to cover outstanding written put options, as follows:
CONTRACTS SUBJECT TO EXPIRATION EXERCISE PREMIUM PUT DATES PRICE RECEIVED VALUE - ---------------------------------------------------------------------------------------- AT&T Wireless Services, Inc. 3,500 1/24/05 $ 12.500 $ 223,989 $ -- Altria Group, Inc. 2,500 1/24/05 55.000 411,240 350,000 Altria Group, Inc. 1,000 12/20/04 50.000 56,499 -- Amerada Hess Corp. 2,500 12/20/04- 1/24/05 80.000 540,987 122,500 BP plc, ADR 2,500 1/24/05 55.000 914,978 12,500 BP plc, ADR 1,000 12/20/04 55.000 53,999 -- Cablevision Systems New York Group, Cl. A 852 12/20/04 22.500 278,597 106,500 CarMax, Inc. 2,650 4/18/05 30.000 1,224,271 874,500 Cendant Corp. 3,000 12/20/04 20.000 177,686 15,000 Cendant Corp. 10,000 12/20/04 22.500 927,478 400,000 Citigroup, Inc. 5,000 12/20/04- 1/24/05 45.000 748,982 390,000 Citigroup, Inc. 2,989 12/20/04- 1/24/05 47.500 1,047,778 824,475 Citigroup, Inc. 2,000 12/20/04 42.500 222,125 20,000 Citigroup, Inc. 192 12/20/04 50.000 68,542 99,840 Comcast Corp., Cl. A Special, Non-Vtg. 1,250 1/24/05 30.000 208,370 112,500 Countrywide Financial Corp. 1,000 1/24/05 30.000 124,467 65,000 General Electric Co. 750 12/20/04 32.500 49,249 7,500 GlobalSantaFe Corp. 1,375 12/20/04 27.500 102,998 6,875 Halliburton Co. 1,000 12/20/04 35.000 119,517 -- Hewlett-Packard Co. 675 12/20/04 20.000 102,598 30,375 Hewlett-Packard Co. 5,000 5/23/05 22.500 1,559,963 1,450,000 International Business Machines Corp. 3,000 1/24/05 90.000 1,978,091 270,000 Kroger Co. (The) 2,500 1/24/05 17.500 480,413 412,500 Marathon Oil Corp. 6,250 12/20/04 37.500 623,826 93,750 Merck & Co., Inc. 5,000 1/24/05 25.000 346,367 175,000 NTL, Inc. 1,500 12/20/04 60.000 1,355,468 -- Pfizer, Inc. 5,000 12/20/04- 3/21/05 27.500 418,615 320,000 Pfizer, Inc. 1,225 12/20/04 30.000 124,897 245,000 Pfizer, Inc. 823 12/20/04 32.500 174,024 378,580 Pfizer, Inc. 67 12/20/04 35.000 23,248 46,900 Prudential Financial, Inc. 1,000 12/20/04 42.500 152,986 -- SBC Communications, Inc 1,000 12/20/04 25.000 83,998 20,000 UnitedGlobalCom, Inc., Cl. A 15,000 2/21/05 7.500 1,296,489 375,000 Wyeth 4,250 12/20/04- 1/24/05 40.000 432,614 297,500 ----------------------- $16,655,349 $7,521,795 =======================
12. Zero coupon bond reflects effective yield on the date of purchase. 13. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures sales contracts with an aggregate market value of $2,446,793. As of November 30, 2004, the Fund had outstanding future contracts as follows:
UNREALIZED CONTRACT EXPIRATION NUMBER VALUATION AS OF APPRECIATION DESCRIPTION DATES OF CONTRACTS NOV. 30, 2004 (DEPRECIATION) - --------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 12/20/04- 3/21/05 554 $ 61,284,375 $ (105,078) U.S. Treasury Nts., 10 yr. 3/21/05 459 50,834,250 (308,135) ------------ (413,213) ------------ CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 12/30/04 387 81,372,797 592,893 U.S. Treasury Nts., 5 yr. 12/20/04- 3/21/05 773 84,604,187 603,987 ------------ 1,196,880 ------------ $ 783,667 ============
14. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 15. Interest rate represents a weighted average rate comprised of the interest rates of the underlying securities. Written option activity for the period ended November 30, 2004 was as follows:
CALL OPTIONS PUT OPTIONS ----------------------------- ------------------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS - ---------------------------------------------------------------------------------------------- Options outstanding as of August 31, 2004 30,425 $ 5,660,279 76,716 $ 20,807,385 Options written 76,167 8,080,803 125,548 17,428,956 Options closed or expired (35,209) (5,804,492) (95,878) (18,671,604) Options exercised (9,393) (1,303,752) (9,038) (2,909,388) -------------------------------------------------------------- Options outstanding as of November 30, 2004 61,990 $ 6,632,838 97,348 $ 16,655,349 ==============================================================
As of November 30, 2004, the Fund had entered into the following total return swap contracts:
PAID BY RECEIVED BY NOTIONAL THE FUND AT THE FUND AT TERMINATION UNREALIZED SWAP COUNTERPARTY AMOUNT NOVEMBER 30, 2004 NOVEMBER 30, 2004 DATES DEPRECIATION - --------------------------------------------------------------------------------------------------------------------------------- Deutsche Bank, AG $ 9,700,000 One-Month LIBOR less Value of total 50 basis points return of Lehman Value of total Brothers CMBS Index 1/1/05 $ 108,531 return of Lehman Brothers CMBS Index Goldman Sachs Capital Lehman Brothers CBMS Markets LP 9,700,000 Index One-Month LIBOR BBA 3/31/05 110,872 ----------------- $ 219,403 =================
Index abbreviations are as follows: CMBS Commercial Mortgage Backed Securities Markets LIBOR London-Interbank Offered Rate LIBOR BBA London-Interbank Offered Rate British Bankers Association FEDERAL TAX. The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of November 30, 2004 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses. Federal tax cost of securities $ 2,770,471,985 =============== Gross unrealized appreciation $ 491,575,928 Gross unrealized depreciation (31,413,198) --------------- Net unrealized appreciation $ 460,162,730 =============== For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report. 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 November 30, 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) EX-99.CERT 2 rq300_12006ex99cert.txt RQ300_12006EX99CERT.TXT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, JOHN V. MURPHY, certify that: -------------- 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ John V. Murphy - ---------------------------- John V. Murphy Chief Executive Officer Date: 1/11/05 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, BRIAN W. WIXTED, certify that: --------------- 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - ---------------------------- Brian W. Wixted Chief Financial Officer Date: 1/11/05 -----END PRIVACY-ENHANCED MESSAGE-----