N-Q 1 rq285_11947nq.txt RQ285_11947NQ.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 811-3420 Oppenheimer Bond 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: December 31 Date of reporting period: September 30, 2004 ITEM 1. SCHEDULE OF INVESTMENTS. STATEMENT OF INVESTMENTS September 30, 2004 (Unaudited) ================================================================================ Oppenheimer Bond Fund
Principal Amount Value ----------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--14.3% Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 $ 2,264,784 $ 2,260,551 ----------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2004-A, Cl. A2, 1.88%, 10/25/06 3,840,000 3,832,575 ----------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset- Backed Certificates: Series 2003-B, Cl. AF1, 1.64%, 2/25/18 88,517 88,458 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 1,418,839 1,417,413 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 171,042 170,669 Series 2004-D, Cl. AF1, 2.98%, 4/25/20 1 1,620,000 1,620,000 ----------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 869,538 871,814 Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 2,070,000 2,072,715 Series 2003-3, Cl. 1A1, 1.92%, 8/25/17 2 408,894 409,141 Series 2003-4, Cl. 1A1, 1.96%, 9/25/17 2 1,723,130 1,724,239 ----------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2002-A, Cl. A4, 4.24%, 9/15/08 850,000 860,054 Series 2003-A, Cl. A2, 1.26%, 1/16/06 420,044 420,116 Series 2003-B, Cl. A2, 1.28%, 3/15/06 1,032,699 1,032,219 ----------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 9/29/06 3 2,360,000 2,359,775 ----------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2003-2, Cl. AF1, 1.94%, 5/25/33 2 658,613 659,010 Series 2003-3, Cl. AF1, 1.96%, 8/25/33 2 1,307,537 1,308,398 ----------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc., Home Equity Mtg. Obligations, Series 2004-OPT1, Cl. A1B, 2.388%, 9/1/34 886,000 886,000 ----------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2, 1.52%, 12/8/05 3,198,565 3,198,930 Series 2003-B, Cl. A2, 1.61%, 7/10/06 6,752,461 6,747,423 Series 2004-B, Cl. A2, 2.48%, 2/8/07 1 1,200,000 1,200,000 ----------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass- Through Certificates, Series 2004-A, Cl. A2, 2.13%, 10/15/06 2,000,000 1,997,803 ----------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: Series 2002-2, Cl. A1, 1.91%, 4/15/07 434,273 434,273 Series 2003-3, Cl. A1, 1.50%, 1/15/08 3,327,387 3,319,494 ----------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2003-2, Cl. A2, 1.34%, 12/21/05 1,341,761 1,341,878 Series 2003-3, Cl. A2, 1.52%, 4/21/06 4,629,440 4,625,507 Series 2003-4, Cl. A2, 1.58%, 7/17/06 5,155,632 5,149,431 ----------------------------------------------------------------------------------------------------------- Household Automotive Trust, Automobile Loan Certificates, Series 2003-2, Cl. A2, 1.56%, 12/18/06 2,395,980 2,393,143 ----------------------------------------------------------------------------------------------------------- Lease Investment Flight Trust, Collateralized Aviation Obligations, Series 1A, Cl. D2, 8%, 7/15/31 1 2,988,622 29,886 ----------------------------------------------------------------------------------------------------------- Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 1 2,261,905 2,318,453 ----------------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 2,267,451 2,271,940 Series 2003-1, Cl. A2, 1.60%, 7/20/06 4,294,171 4,291,235 ----------------------------------------------------------------------------------------------------------- MSF Funding LLC, Collateralized Mtg. Obligations, Series 2000-1, Cl. C, 9.19%, 7/25/07 1,2 401,919 16,077 ----------------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 1,720,000 1,715,176 ----------------------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 1/25/29 1 1,750,658 467,207 ----------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A, Cl. A2, 1.69%, 12/15/05 2,003,273 2,004,328 ----------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: Series 2002-A, Cl. A4, 4.28%, 10/16/06 778,472 785,473 Series 2003-B, Cl. A2, 1.20%, 11/15/05 689,699 689,981 ----------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Home Equity Mtg. Obligations, Series 2004-3, Cl. A2, 1.99%, 11/25/34 2,3 1,630,000 1,630,000 ----------------------------------------------------------------------------------------------------------- Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 1,285,000 1,292,800 ----------------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.- Backed Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 594,170 596,724 Series 2003-B, Cl. A2, 1.43%, 2/15/06 2,436,397 2,435,669 ----------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2001-2, Cl. A4, 3.91%, 4/16/07 790,784 794,579 Series 2002-1, Cl. A3, 2.41%, 10/16/06 1,030,851 1,032,659 Series 2003-1, Cl. A2, 1.22%, 4/17/06 869,066 869,203 Series 2004-2, Cl. A2, 2.41%, 2/15/07 2,750,000 2,751,404 ----------------------------------------------------------------------------------------------------------- Volkswagen Auto Lease Trust, Automobile Lease Asset- Backed Securities, Series 2004-A, Cl. A2, 2.47%, 1/22/07 2,780,000 2,777,828 ----------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 1,003,683 1,003,257 Series 2003-2, Cl. A2, 1.55%, 6/20/06 2,925,670 2,922,570 ----------------------------------------------------------------------------------------------------------- Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 1,940,000 1,941,440 ----------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 4,340,000 4,340,000 ----------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates, Series 2003-1, Cl. A2A, 1.40%, 4/15/06 4,154,625 4,150,485 ---------------- Total Asset-Backed Securities (Cost $99,421,915) 95,529,403 ----------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--64.9% ----------------------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--57.2% ----------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED--57.0% Federal Home Loan Mortgage Corp.: 5%, 10/1/34 3 2,444,000 2,420,323 5.50%, 1/1/34 1,987,179 2,017,500 7%, 11/1/32-11/1/33 8,829,629 9,385,521 7%, 10/1/34 3 39,686,000 42,091,964 8%, 4/1/16 1,509,577 1,609,732 9%, 3/1/17-5/1/25 434,361 486,451 12.50%, 4/1/14 2,547 2,920 13.50%, 11/1/10 6,599 7,537 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Pass-Through Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 78,479 78,581 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2075, Cl. D, 6.50%, 8/15/28 957,019 1,001,087 Series 2500, Cl. FD, 2.209%, 3/15/32 2 1,015,138 1,017,342 Series 2526, Cl. FE, 2.109%, 6/15/29 2 1,279,290 1,282,943 Series 2551, Cl. FD, 2.109%, 1/15/33 2 1,047,534 1,051,969 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, (0.688)%, 6/1/26 4 1,612,437 297,578 Series 183, Cl. IO, (1.513)%, 4/1/27 4 2,592,641 491,936 Series 184, Cl. IO, 0.826%, 12/1/26 4 2,578,766 471,704 Series 192, Cl. IO, 5.662%, 2/1/28 4 630,258 109,512 Series 200, Cl. IO, 5.208%, 1/1/29 4 768,664 143,016 Series 206, Cl. IO, (19.041)%, 12/1/29 4 1,018,351 173,946 Series 2130, Cl. SC, 17.914%, 3/15/29 4 1,728,048 179,785 Series 2796, Cl. SD, 26.12%, 7/15/26 4 2,670,892 291,464 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 7.039%, 6/1/26 5 683,918 605,135 Series 217, Cl. PO, 8.479%, 1/1/32 5 772,916 667,241 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Structured Pass-Through Securities, Collateralized Mtg. Obligations, Series T-42, Cl. A2, 5.50%, 2/25/42 1,674 1,674 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 10/1/19 3 15,658,000 15,604,168 5%, 10/1/19-10/1/34 3 37,299,000 37,491,479 5.50%, 7/1/33-3/1/34 18,713,788 19,006,193 5.50%, 10/1/19-10/1/34 3 50,591,946 52,094,599 6%, 10/1/34 3 19,740,000 20,344,538 6.50%, 10/1/34 3 42,505,000 44,590,380 7%, 1/1/09-8/1/34 19,717,699 20,934,153 7%, 10/1/34 3 83,367,000 88,395,031 7.50%, 2/1/08-3/1/08 35,834 37,290 8%, 8/1/17 18,373 19,505 8.50%, 7/1/32 264,726 288,002 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 64,248 66,753 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 717,165 757,245 Trust 2001-70, Cl. LR, 6%, 9/25/30 1,549,348 1,587,177 Trust 2001-72, Cl. NH, 6%, 4/25/30 1,321,868 1,351,076 Trust 2001-74, Cl. PD, 6%, 5/25/30 555,429 565,940 Trust 2002-50, Cl. PD, 6%, 9/25/27 1,784,481 1,794,357 Trust 2002-77, Cl. WF, 2.211%, 12/18/32 2 1,726,338 1,731,771 Trust 2003-81, Cl. PA, 5%, 2/25/12 927,197 934,894 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2002-38, Cl. SO, 29.05%, 4/25/32 4 940,680 67,208 Trust 2002-47, Cl. NS, 19.181%, 4/25/32 4 3,521,634 332,384 Trust 2002-51, Cl. S, 19.54%, 8/25/32 4 3,233,621 305,482 Trust 2002-77, Cl. IS, 23.023%, 12/18/32 4 1,602,640 160,882 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, (3.576)%, 6/1/23 4 4,820,327 837,372 Trust 240, Cl. 2, (2.325)%, 9/1/23 4 5,592,153 1,076,748 Trust 252, Cl. 2, (5.194)%, 11/1/23 4 3,927,121 799,611 Trust 254, Cl. 2, (2.401)%, 1/1/24 4 1,906,971 378,326 Trust 273, Cl. 2, (0.778)%, 7/1/26 4 1,157,322 217,589 Trust 301, Cl. 2, (2.505)%, 4/1/29 4 3,247,186 572,723 Trust 303, Cl. IO, (14.58)%, 11/1/29 4 434,876 84,846 Trust 321, Cl. 2, (8.951)%, 3/1/32 4 1,777,642 349,644 Trust 324, Cl. 2, (6.58)%, 6/1/32 4 6,706,718 1,220,805 Trust 334, Cl. 17, (47.305)%, 2/1/33 4 533,037 91,456 Trust 2001-81, Cl. S, 25.236%, 1/25/32 4 1,440,226 135,546 Trust 2002-52, Cl. SD, 15.361%, 9/25/32 4 4,197,967 411,839 Trust 2004-54, Cl. DS, 25.553%, 11/25/30 4 649,485 62,044 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 10.115%, 9/25/23 5 1,325,013 1,161,131 ---------------- 381,747,048 ----------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 4.75%, 7/20/25-7/20/27 51,513 52,182 7%, 7/15/09 36,026 38,347 8%, 6/15/05-10/15/06 53,468 54,897 8.50%, 8/15/17-12/15/17 529,504 586,014 9%, 2/15/09-6/15/09 23,920 26,062 10%, 11/15/09 25,705 28,123 10.50%, 12/15/17-5/15/21 60,020 68,259 11%, 10/20/19 91,446 103,576 12%, 5/15/14 724 833 ----------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 21.331%, 1/16/27 4 3,080,672 312,331 Series 2002-15, Cl. SM, 15.334%, 2/16/32 4 3,086,443 304,005 Series 2002-76, Cl. SY, 13.487%, 12/16/26 4 1,247,469 126,559 Series 2004-11, Cl. SM, 18.135%, 1/17/30 4 510,798 49,054 ---------------- 1,750,242 ----------------------------------------------------------------------------------------------------------- PRIVATE--7.7% ----------------------------------------------------------------------------------------------------------- COMMERCIAL--7.1% Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1996-MD6, Cl. A3, 7.689%, 11/13/29 2 800,000 876,898 ----------------------------------------------------------------------------------------------------------- Asset Securitization Corp., Interest-Only Stripped Mtg.- Backed Security Collateralized Mtg. Obligations, Series 1997-D4, Cl. PS1, 5.647%, 4/14/29 4 43,468,331 1,724,976 ----------------------------------------------------------------------------------------------------------- Bank of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 4,694,943 4,843,127 Series 2004-8, Cl. 5A1, 6.50%, 9/25/34 4,070,000 4,198,459 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 2,920,294 2,926,968 Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 3,034,462 3,028,158 ----------------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 9.238%, 6/22/24 4 10,831,138 415,722 ----------------------------------------------------------------------------------------------------------- DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1996-CF1, Cl. A3, 7.861%, 3/13/28 2 1,506,881 1,554,055 ----------------------------------------------------------------------------------------------------------- First Union/Lehman Brothers/Bank of America, Commercial Mtg. Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 1,770,000 1,924,563 ----------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,730,000 1,761,316 ----------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,448,452 1,561,796 ----------------------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Pass-Through Certificates, Series 2004-GG2, Cl. A3, 4.602%, 8/10/38 1,100,000 1,130,923 ----------------------------------------------------------------------------------------------------------- J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 5,000,000 5,795,553 ----------------------------------------------------------------------------------------------------------- Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 10.149%, 2/18/30 4 13,559,389 439,343 ----------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 303,849 282,579 ----------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-9, Cl. A3, 4.70%, 8/25/34 3,427,696 3,440,550 ----------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass- Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 2,010,000 2,203,523 ----------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 8.163%, 5/18/32 4 257,116,835 1,103,648 ----------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage Backed Securities Trust, Collateralized Mtg. Obligations: Series 2004-N, Cl. A10, 3.803%, 8/25/34 1 5,249,582 5,265,987 Series 2004-W, Cl. A2, 4.677%, 11/27/34 3 3,340,000 3,362,310 ---------------- 47,840,454 ----------------------------------------------------------------------------------------------------------- OTHER--0.2% CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 1,040,846 1,040,767 ----------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI, Inc., Interest- Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, (16.093)%, 10/23/17 4 26,056 5,761 ----------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI, Inc., Principal- Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 2.507%, 10/23/17 5 38,562 35,648 ---------------- 1,082,176 ----------------------------------------------------------------------------------------------------------- RESIDENTIAL--0.4% Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-B, Cl. 1, 6.213%, 4/25/26 1, 2 39,149 36,140 ----------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,881,176 2,598,686 ---------------- 2,634,826 ---------------- Total Mortgage-Backed Obligations (Cost $434,476,253) 435,054,746 ----------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--20.3% Federal Home Loan Mortgage Corp. Unsec. Nts.: 2.875%, 12/15/06 19,320,000 19,310,495 4.50%, 1/15/13 2,430,000 2,445,571 5.75%, 1/15/12 900,000 983,532 6.625%, 9/15/09 14,485,000 16,356,737 6.875%, 9/15/10 7,600,000 8,754,159 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 2.50%, 6/15/06 3,055,000 3,045,551 3.01%, 6/2/06 6,600,000 6,615,022 3.125%, 7/15/06 6,385,000 6,433,960 4.25%, 7/15/07 8,600,000 8,858,327 5.50%, 2/15/06 8,375,000 8,711,482 7.25%, 5/15/30 3,100,000 3,901,366 ----------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 5.375%, 11/13/08 2,590,000 2,774,631 7.125%, 5/1/30 1,754,000 2,177,577 Series C, 4.75%, 8/1/13 760,000 775,662 Series C, 6%, 3/15/13 730,000 811,945 ----------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 5.375%, 2/15/31 1,179,000 1,263,373 5.50%, 8/15/28 6 13,954,000 15,004,373 8.875%, 8/15/17 6,664,000 9,508,695 STRIPS, 2.99%, 2/15/10 7 2,490,000 2,054,586 STRIPS, 3.34%, 2/15/11 7 13,121,000 10,303,305 STRIPS, 3.86%, 2/15/13 7 5,360,000 3,784,717 ----------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 4.25%, 11/15/13-8/15/14 1,879,000 1,899,684 ---------------- Total U.S. Government Obligations (Cost $136,352,253) 135,774,750 ----------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--0.4% United Mexican States Nts., 7.50%, 1/14/12 (Cost $2,390,943) 2,370,000 2,676,915 ----------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--35.1% ----------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--9.8% ----------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--1.0% Delphi Automotive Systems Corp., 6.50% Nts., 5/1/09 3,045,000 3,217,399 ----------------------------------------------------------------------------------------------------------- Lear Corp.: 7.96% Sr. Unsec. Nts., Series B, 5/15/05 1,370,000 1,412,955 8.11% Sr. Unsec. Nts., Series B, 5/15/09 1,558,000 1,800,618 ---------------- 6,430,972 ----------------------------------------------------------------------------------------------------------- AUTOMOBILES--2.5% American Honda Finance Corp., 3.85% Nts., 11/6/08 8 945,000 950,971 ----------------------------------------------------------------------------------------------------------- DaimlerChrysler North America Holding Corp., 4.75% Unsec. Nts., 1/15/08 3,895,000 4,014,417 ----------------------------------------------------------------------------------------------------------- Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 1,585,000 1,812,002 ----------------------------------------------------------------------------------------------------------- Ford Motor Co., 8.90% Unsec. Unsub. Debs., 1/15/32 1,090,000 1,226,446 ----------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 6.875% Unsec. Unsub. Nts., 8/28/12 1,505,000 1,566,240 ----------------------------------------------------------------------------------------------------------- General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 2,335,000 2,486,233 ----------------------------------------------------------------------------------------------------------- Hertz Corp. (The), 6.35% Nts., 6/15/10 4,520,000 4,688,754 ---------------- 16,745,063 ----------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--0.7% Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 1,200,000 1,330,500 ----------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 3,269,000 3,531,883 ---------------- 4,862,383 ----------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--1.1% Beazer Homes USA, Inc., 8.625% Sr. Unsec. Nts., 5/15/11 1,685,000 1,866,138 ----------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/15/11 1,555,000 1,745,488 ----------------------------------------------------------------------------------------------------------- Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 1,535,000 1,626,004 ----------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,685,000 1,876,669 ---------------- 7,114,299 ----------------------------------------------------------------------------------------------------------- MEDIA--3.3% Clear Channel Communications, Inc., 4.625% Sr. Unsec. Nts., 1/15/08 3,259,000 3,321,312 ----------------------------------------------------------------------------------------------------------- Cox Communications, Inc., 6.40% Sr. Unsec. Nts., 8/1/08 2,180,000 2,290,975 ----------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.50% Nts., 9/25/06 1,810,000 1,803,535 ----------------------------------------------------------------------------------------------------------- TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 2,990,000 3,817,626 ----------------------------------------------------------------------------------------------------------- Time Warner Cos., Inc., 9.125% Debs., 1/15/13 3,080,000 3,862,163 ----------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 1,037,000 1,347,734 ----------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 2.875% Sr. Unsec. Nts., 10/15/06 433,000 428,521 3.50% Sr. Unsec. Nts., 10/15/07 2,255,000 2,240,909 ----------------------------------------------------------------------------------------------------------- Walt Disney Co. (The), 5.375% Sr. Unsec. Nts., 6/1/07 3,140,000 3,285,068 ---------------- 22,397,843 ----------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.9% Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 2,165,000 2,376,328 ----------------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc., 8% Nts., 3/1/10 3,085,000 3,528,469 ----------------------------------------------------------------------------------------------------------- May Department Stores Co. (The), 3.95% Nts., 7/15/07 8 216,000 217,825 6,122,622 ----------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.3% Gap, Inc. (The), 6.90% Nts., 9/15/07 1 1,775,000 1,939,188 ----------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--3.0% ----------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--1.8% Food Lion, Inc., 7.55% Nts., 4/15/07 2,125,000 2,315,353 ----------------------------------------------------------------------------------------------------------- Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 4,645,000 5,177,331 ----------------------------------------------------------------------------------------------------------- Real Time Data Co., 13% Disc. Nts., 5/31/09 1,9,10,11 476,601 -- ----------------------------------------------------------------------------------------------------------- Safeway, Inc.: 2.50% Nts., 11/1/05 850,000 846,997 4.80% Sr. Unsec. Nts., 7/16/07 3,490,000 3,589,863 ---------------- 11,929,544 ----------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--1.2% ConAgra Foods, Inc., 6% Nts., 9/15/06 1,615,000 1,699,618 ----------------------------------------------------------------------------------------------------------- General Mills, Inc., 3.875% Nts., 11/30/07 2,515,000 2,543,007 ----------------------------------------------------------------------------------------------------------- Kraft Foods, Inc., 5.25% Nts., 6/1/07 3,835,000 4,016,004 ---------------- 8,258,629 ----------------------------------------------------------------------------------------------------------- ENERGY--1.1% ----------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.0% Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 200,000 205,000 ----------------------------------------------------------------------------------------------------------- OIL & GAS--1.1% Chesapeake Energy Corp., 7.50% Sr. Nts., 6/15/14 1,665,000 1,827,338 ----------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 1,880,000 2,070,378 ----------------------------------------------------------------------------------------------------------- Petroleos Mexicanos, 9.50% Sr. Sub. Nts., 9/15/27 1,570,000 1,916,185 ----------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 8 1,661,325 1,629,752 ---------------- 7,443,653 ----------------------------------------------------------------------------------------------------------- FINANCIALS--9.0% ----------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--0.3% Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 41,000 41,661 ----------------------------------------------------------------------------------------------------------- National City Bank, 6.20% Sub. Nts., 12/15/11 216,000 238,321 ----------------------------------------------------------------------------------------------------------- SunTrust Banks, Inc.: 4% Nts., 10/15/08 1,680,000 1,704,372 7.75% Unsec. Sub. Nts., 5/1/10 150,000 176,215 ---------------- 2,160,569 ----------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--3.5% Allstate Life Global Funding II, 3.50% Nts., 7/30/07 860,000 864,183 ----------------------------------------------------------------------------------------------------------- American Express Centurion Bank, 4.375% Nts., 7/30/09 1,155,000 1,181,374 ----------------------------------------------------------------------------------------------------------- CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 3,205,000 3,798,515 ----------------------------------------------------------------------------------------------------------- Franklin Resources, Inc., 3.70% Nts., 4/15/08 1,500,000 1,504,410 ----------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., 7% Nts., 2/1/08 2,030,000 2,241,938 ----------------------------------------------------------------------------------------------------------- Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 325,000 355,867 ----------------------------------------------------------------------------------------------------------- MBNA America Bank NA, 5.375% Nts., 1/15/08 2,488,000 2,610,755 ----------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 4.125% Nts., 9/10/09 3,310,000 3,322,707 ----------------------------------------------------------------------------------------------------------- Morgan Stanley, 6.60% Nts., 4/1/12 3,580,000 3,998,012 ----------------------------------------------------------------------------------------------------------- Volkswagen Credit, Inc., 1.88% Nts., 7/21/05 2,8 3,270,000 3,270,180 ---------------- 23,147,941 ----------------------------------------------------------------------------------------------------------- INSURANCE--3.6% Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 8 635,000 647,631 ----------------------------------------------------------------------------------------------------------- AXA, 8.60% Unsec. Sub. Nts., 12/15/30 2,730,000 3,544,441 ----------------------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 1,275,000 1,261,549 ----------------------------------------------------------------------------------------------------------- John Hancock Global Funding II, 7.90% Nts., 7/2/10 8 2,487,000 2,940,950 ----------------------------------------------------------------------------------------------------------- Nationwide Financial Services, Inc., 5.90% Nts., 7/1/12 2,985,000 3,203,329 ----------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 8 4,820,000 6,162,134 ----------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 8 4,680,000 5,969,209 ---------------- 23,729,243 ----------------------------------------------------------------------------------------------------------- REAL ESTATE--1.6% EOP Operating LP, 6.763% Sr. Unsec. Nts., 6/15/07 560,000 603,708 ----------------------------------------------------------------------------------------------------------- iStar Financial, Inc.: 4.875% Sr. Unsec. Nts., Series B, 1/15/09 1,445,000 1,455,161 8.75% Sr. Unsec. Nts., 8/15/08 1,060,000 1,220,414 ----------------------------------------------------------------------------------------------------------- Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 1,625,000 1,658,267 ----------------------------------------------------------------------------------------------------------- Spieker Properties LP, 6.75% Unsec. Unsub. Nts., 1/15/08 2,400,000 2,644,500 ----------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 3,160,000 3,317,453 ---------------- 10,899,503 ----------------------------------------------------------------------------------------------------------- HEALTH CARE--1.1% ----------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.1% Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 3,200,000 3,393,350 ----------------------------------------------------------------------------------------------------------- CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 3,750,000 4,108,594 7,501,944 ----------------------------------------------------------------------------------------------------------- INDUSTRIALS--3.2% ----------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.7% Boeing Capital Corp., 5.65% Sr. Unsec. Nts., 5/15/06 451,000 471,039 ----------------------------------------------------------------------------------------------------------- McDonnell Douglas Corp., 6.875% Unsec. Unsub. Nts., 11/1/06 429,000 461,062 ----------------------------------------------------------------------------------------------------------- Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 2,270,000 2,612,677 ----------------------------------------------------------------------------------------------------------- Raytheon Co., 6.50% Unsec. Nts., 7/15/05 830,000 854,734 ---------------- 4,399,512 ----------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--0.5% FedEx Corp., 2.65% Unsec. Nts., 4/1/07 3,490,000 3,434,991 ----------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.7% Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 1,570,000 1,711,300 ----------------------------------------------------------------------------------------------------------- Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 1 150,000 151,875 ----------------------------------------------------------------------------------------------------------- Protection One, Inc./Protection One Alarm Monitoring, Inc., 7.375% Sr. Unsec. Nts., 8/15/05 100,000 99,625 ----------------------------------------------------------------------------------------------------------- Waste Management, Inc.: 7% Sr. Nts., 7/15/28 700,000 777,027 7.375% Sr. Unsub. Nts., 8/1/10 1,890,000 2,184,247 ---------------- 4,924,074 INDUSTRIAL CONGLOMERATES--0.9% Hutchison Whampoa International Ltd., 7.45% Sr. Bonds, 11/24/33 8 1,765,000 1,835,701 ----------------------------------------------------------------------------------------------------------- Tyco International Group SA: 5.875% Unsec. Unsub. Nts., 11/1/04 367,000 367,977 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 2,225,000 2,326,840 6.75% Sr. Unsub. Nts., 2/15/11 1,140,000 1,284,282 ---------------- 5,814,800 ----------------------------------------------------------------------------------------------------------- MARINE--0.0% Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 1,9,10 300,000 196,500 ----------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.4% Canadian National Railway Co., 4.25% Nts., 8/1/09 434,000 439,931 ----------------------------------------------------------------------------------------------------------- CSX Corp., 6.25% Unsec. Nts., 10/15/08 2,175,000 2,359,988 ---------------- 2,799,919 ----------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.0% ----------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.0% Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 1,9, 10 200,000 98,000 ----------------------------------------------------------------------------------------------------------- MATERIALS--0.2% ----------------------------------------------------------------------------------------------------------- CHEMICALS--0.0% Morton International, Inc., 9.65% Credit Sensitive Nts., 6/1/20 85,000 117,706 ----------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.2% Weyerhaeuser Co., 5.50% Unsec. Unsub. Nts., 3/15/05 943,000 955,490 ----------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--3.0% ----------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.5% British Telecommunications plc: 7.875% Nts., 12/15/05 2,740,000 2,903,090 8.125% Nts., 12/15/10 550,000 664,046 ----------------------------------------------------------------------------------------------------------- Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 1,029,000 1,137,045 ----------------------------------------------------------------------------------------------------------- Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 2,800,000 3,359,936 ----------------------------------------------------------------------------------------------------------- France Telecom SA: 8.20% Sr. Unsec. Nts., 3/1/06 1,675,000 1,789,913 9.25% Sr. Unsec. Nts., 3/1/31 2 1,270,000 1,688,767 ----------------------------------------------------------------------------------------------------------- Sprint Capital Corp.: 7.125% Sr. Unsec. Nts., 1/30/06 1,595,000 1,682,401 8.75% Nts., 3/15/32 1,410,000 1,794,937 ----------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 1,905,000 1,915,361 ---------------- 16,935,496 ----------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.5% AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 2,745,000 3,025,986 ----------------------------------------------------------------------------------------------------------- UTILITIES--4.7% ----------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--4.0% CenterPoint Energy, Inc.: 5.875% Sr. Nts., 6/1/08 2,655,000 2,773,880 8.125% Unsec. Nts., Series B, 7/15/05 840,000 874,499 ----------------------------------------------------------------------------------------------------------- Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 460,000 466,578 ----------------------------------------------------------------------------------------------------------- Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 3,175,000 3,766,461 ----------------------------------------------------------------------------------------------------------- DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 1,035,000 1,088,782 ----------------------------------------------------------------------------------------------------------- Duke Capital LLC, 5.668% Nts., 8/15/14 1,650,000 1,686,067 ----------------------------------------------------------------------------------------------------------- FirstEnergy Corp., 5.50% Sr. Unsub. Nts., Series A, 11/15/06 3,220,000 3,353,430 ----------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1,2 1,435,000 1,607,200 ----------------------------------------------------------------------------------------------------------- MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 3,975,000 4,203,356 ----------------------------------------------------------------------------------------------------------- Niagara Mohawk Power Corp., 5.375% Sr. Unsec. Nts., 10/1/04 1,210,000 1,210,000 ----------------------------------------------------------------------------------------------------------- PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 1,810,000 1,941,225 ----------------------------------------------------------------------------------------------------------- TECO Energy, Inc., 10.50% Sr. Unsec. Nts., 12/1/07 1,795,000 2,091,175 ----------------------------------------------------------------------------------------------------------- Texas Utilities Co., 6.375% Sr. Unsec. Nts., Series C, 1/1/08 1,370,000 1,489,346 ---------------- 26,551,999 ----------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.7% NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 4,230,000 5,004,949 ---------------- Total Corporate Bonds and Notes (Cost $227,189,801) 235,147,826 Shares ----------------------------------------------------------------------------------------------------------- COMMON STOCKS--0.0% Chesapeake Energy Corp. 181 2,865 ----------------------------------------------------------------------------------------------------------- Geotek Communications, Inc., Series B, Escrow Shares 1,12 25 -- ---------------- Total Common Stocks (Cost $109) 2,865 Units ----------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% Concentric Network Corp. Wts., Exp. 12/15/07 1,10 50 -- ----------------------------------------------------------------------------------------------------------- e.spire Communications, Inc. Wts., Exp. 11/1/05 1,10 300 3 ----------------------------------------------------------------------------------------------------------- HF Holdings, Inc. Wts., Exp. 9/27/09 1,10 1,063 143 ----------------------------------------------------------------------------------------------------------- ICG Communications, Inc. Wts., Exp. 9/15/05 1,10 1,980 20 ----------------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 1,10 150 -- ----------------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd. Wts., Exp. 1/15/07 1,10 200 2 ----------------------------------------------------------------------------------------------------------- Pathmark Stores, Inc. Wts., Exp. 9/19/10 10 2,028 507 ---------------- Total Rights, Warrants and Certificates (Cost $25,015) 675 Principal Amount ----------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--4.3% Deutsche Bank AG, COUNTS Corp. Sec. Credit Linked Nts., Series 2003-1, 3.318%, 1/7/05 1,2 $ 14,500,000 14,446,350 ----------------------------------------------------------------------------------------------------------- UBS AG, High Grade Credit Linked Nts., 1.863%, 12/10/04 1 14,500,000 14,534,800 ---------------- Total Structured Notes (Cost $29,000,000) 28,981,150 ----------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--7.4% Undivided interest of 3.43% in joint repurchase agreement (Principal Amount/Value $1,446,038,000, with a maturity value of $1,446,110,302) with UBS Warburg LLC, 1.80%, dated 9/30/04, to be repurchased at at $49,574,479 on 10/1/04, collateralized by Federal National Mortgage Assn., 5%, 3/1/34, with a value of $1,477,979,332 (Cost $49,572,000) 49,572,000 49,572,000 ----------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $978,428,289) 146.7% 982,740,330 ----------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (46.7) (312,872,827) -------------------------------------- Net Assets 100.0% $ 669,867,503 ====================================== Footnotes to Statement of Investments 1. Illiquid or restricted security. As of September 30, 2004, the Fund had restricted securities as follows: ACQUISITION VALUATION AS OF UNREALIZED SECURITY DATE COST SEPTEMBER 30, 2004 DEPRECIATION ------------------------------------------------------------------------------------------------- STOCKS AND/OR WARRANTS Geotek Communications, Inc., Series B, Escrow Shares 1/4/01 $100 $-- $100 2. Represents the current interest rate for a variable or increasing rate security. 3. When-issued security or forward commitment to be delivered and settled after September 30, 2004. 4. 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 $13,744,845 or 2.05% of the Fund's net assets as of September 30, 2004. 5. 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 $2,469,155 or 0.37% of the Fund's net assets as of September 30, 2004. 6. Securities with an aggregate market value of $3,440,877 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. As of September 30, 2004, the Fund had outstanding future contracts as follows: UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS SEPTEMBER 30, 2004 (DEPRECIATION) ----------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 12/20/04 595 $66,770,156 $1,173,184 U.S. Treasury Nts., 10 yr. 12/20/04 275 30,971,875 121,043 ----------- 1,294,227 ----------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 12/30/04 736 155,468,500 352,537 U.S. Treasury Nts., 5 yr. 12/20/04 582 64,456,500 (105,261) ----------- 247,276 ----------- $1,541,503 =========== 7. Zero coupon bond reflects effective yield on the date of purchase. 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 Trustees. These securities amount to $23,624,353 or 3.53% of the Fund's net assets as of September 30, 2004. 9. Issue is in default. 10. Non-income producing security. 11. Interest or dividend is paid-in-kind. 12. Received as the result of issuer reorganization. As of September 30, 2004, the Fund had entered into the following total return swap agreements: PAID BY RECEIVED BY SWAP NOTIONAL THE FUND AT THE FUND AT TERMINATION UNREALIZED COUNTERPARTY AMOUNT SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 DATE APPRECIATION ------------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG $7,850,000 One-Month LIBOR Value of total return of 1/1/05 $21,597 less 50 basis points Lehman Brothers CMBS Index Index abbreviations are as follows: CMBS Commercial Mortgage Backed Securities Markets LIBOR London-Interbank Offered Rate
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Securities listed or traded on National Stock Exchanges or other domestic or foreign exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ are valued based on the closing price provided by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the closing bid and asked prices, and if not, at the closing bid price. Corporate, government and municipal debt instruments having a remaining maturity in excess of 60 days and all mortgage-backed securities will be valued at the mean between the "bid" and "asked" prices. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value. Foreign and domestic securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of their respective exchanges will be fair valued. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Trustees. Short-term "money market type" debt securities with remaining maturities of sixty days or less are valued at amortized cost (which approximates market value). 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 September 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 $ 979,840,433 =============== Gross unrealized appreciation $ 12,144,526 Gross unrealized depreciation (7,681,529) --------------- Net unrealized appreciation $ 4,462,997 =============== 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 September 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)