-----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, D1olB566EgvsUQqtyamGJmOgULv/8IIP7WEXBb1upXQ/XMEF3Xuyvvkt8kCk04xx w85JNwUepai4h/84j9dUjw== 0000935069-04-002004.txt : 20041129 0000935069-04-002004.hdr.sgml : 20041129 20041129160318 ACCESSION NUMBER: 0000935069-04-002004 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20040930 FILED AS OF DATE: 20041129 DATE AS OF CHANGE: 20041129 EFFECTIVENESS DATE: 20041129 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER VARIABLE ACCOUNT FUNDS CENTRAL INDEX KEY: 0000752737 IRS NUMBER: 840974272 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-04108 FILM NUMBER: 041171658 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 3036713200 MAIL ADDRESS: STREET 2: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER VARIABLE LIFE FUNDS DATE OF NAME CHANGE: 19860609 N-Q 1 rq670_11965nq.txt RQ670_11965NQ.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 811-4108 Oppenheimer Balanced Fund/VA (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 Balanced Fund/VA
Shares Value - --------------------------------------------------------------------------------------------------------- COMMON STOCKS--54.2% - --------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--9.8% - --------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0.1% TRW Automotive Holdings Corp. 1 23,100 $ 435,435 - --------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--0.9% McDonald's Corp. 192,000 5,381,760 - --------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.9% Toll Brothers, Inc. 1 78,300 3,627,639 - --------------------------------------------------------------------------------------------------------- WCI Communities, Inc. 1 69,600 1,621,680 ------------------ 5,249,319 - --------------------------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL--0.4% IAC/InterActiveCorp 1 103,600 2,281,272 - --------------------------------------------------------------------------------------------------------- MEDIA--6.2% AMC Entertainment, Inc. 1 45,200 865,128 - --------------------------------------------------------------------------------------------------------- EchoStar Communications Corp., Cl. A 1 72,600 2,259,312 - --------------------------------------------------------------------------------------------------------- Liberty Media Corp., Cl. A 884,100 7,709,352 - --------------------------------------------------------------------------------------------------------- Liberty Media International, Inc., A Shares 1 46,794 1,561,141 - --------------------------------------------------------------------------------------------------------- Regal Entertainment Group 46,600 890,060 - --------------------------------------------------------------------------------------------------------- UnitedGlobalCom, Inc., Cl. A 1 2,268,484 16,945,575 - --------------------------------------------------------------------------------------------------------- Viacom, Inc., Cl. B 131,800 4,423,208 ------------------ 34,653,776 - --------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--1.0% Sears Roebuck & Co. 142,300 5,670,655 - --------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.3% Gap, Inc. (The) 82,300 1,539,010 - --------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--3.2% - --------------------------------------------------------------------------------------------------------- BEVERAGES--0.9% Constellation Brands, Inc., Cl. A 1 133,900 5,096,234 - --------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.6% Tyson Foods, Inc., Cl. A 233,800 3,745,476 - --------------------------------------------------------------------------------------------------------- TOBACCO--1.7% Altria Group, Inc. 199,600 9,389,184 - --------------------------------------------------------------------------------------------------------- ENERGY--4.0% - --------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.3% Halliburton Co. 42,600 1,435,194 - --------------------------------------------------------------------------------------------------------- OIL & GAS--3.7% BP plc, ADR 50,400 2,899,512 - --------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc. 43,300 2,720,106 - --------------------------------------------------------------------------------------------------------- LUKOIL, Sponsored ADR 44,300 5,493,200 - --------------------------------------------------------------------------------------------------------- Petroleo Brasileiro SA, Preference 81,000 2,661,267 - --------------------------------------------------------------------------------------------------------- Talisman Energy, Inc. 168,900 4,390,543 - --------------------------------------------------------------------------------------------------------- Total SA, B Shares 1,700 346,730 - --------------------------------------------------------------------------------------------------------- TotalFinaElf SA, Sponsored ADR 24,000 2,452,080 ------------------ 20,963,438 - --------------------------------------------------------------------------------------------------------- FINANCIALS--10.5% - --------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.3% UBS AG 25,042 1,767,884 - --------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--2.8% Bank of America Corp. 169,968 7,364,713 - --------------------------------------------------------------------------------------------------------- Commerce Bancorp, Inc. 33,500 1,849,200 - --------------------------------------------------------------------------------------------------------- SouthTrust Corp. 83,500 3,478,610 - --------------------------------------------------------------------------------------------------------- Wells Fargo & Co. 54,600 3,255,798 ------------------ 15,948,321 - --------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--2.8% CIT Group, Inc. 72,000 2,692,080 - --------------------------------------------------------------------------------------------------------- Citigroup, Inc. 98,900 4,363,468 - --------------------------------------------------------------------------------------------------------- JPMorgan Chase & Co. 100,500 3,992,865 - --------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc. 20,100 1,602,372 - --------------------------------------------------------------------------------------------------------- Morgan Stanley 57,700 2,844,610 ------------------ 15,495,395 - --------------------------------------------------------------------------------------------------------- INSURANCE--3.2% Genworth Financial, Inc., Cl. A 1 343,900 8,012,870 - --------------------------------------------------------------------------------------------------------- Prudential Financial, Inc. 107,500 5,056,800 - --------------------------------------------------------------------------------------------------------- UnumProvident Corp. 121,500 1,906,335 - --------------------------------------------------------------------------------------------------------- XL Capital Ltd., Cl. A 44,200 3,270,358 ------------------ 18,246,363 - --------------------------------------------------------------------------------------------------------- REAL ESTATE--0.8% Host Marriott Corp. 1 334,900 4,698,647 - --------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.6% Freddie Mac 47,200 3,079,328 - --------------------------------------------------------------------------------------------------------- HEALTH CARE--6.8% - --------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--1.7% MedImmune, Inc. 1 197,900 4,690,230 - --------------------------------------------------------------------------------------------------------- Wyeth 132,400 4,951,760 ------------------ 9,641,990 - --------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.6% Beckman Coulter, Inc. 61,000 3,423,320 - --------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.5% PacifiCare Health Systems, Inc. 1 77,500 2,844,250 - --------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp. 1 479,500 5,173,805 ------------------ 8,018,055 - --------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--3.0% GlaxoSmithKline plc, ADR 62,600 2,737,498 - --------------------------------------------------------------------------------------------------------- Novartis AG 89,813 4,198,150 - --------------------------------------------------------------------------------------------------------- Pfizer, Inc. 140,700 4,305,420 - --------------------------------------------------------------------------------------------------------- Schering-Plough Corp. 175,200 3,339,312 - --------------------------------------------------------------------------------------------------------- Watson Pharmaceuticals, Inc. 1 81,100 2,389,206 ------------------ 16,969,586 - --------------------------------------------------------------------------------------------------------- INDUSTRIALS--6.1% - --------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--2.4% Empresa Brasileira de Aeronautica SA, ADR 101,400 2,676,960 - --------------------------------------------------------------------------------------------------------- Orbital Sciences Corp. 1 557,464 6,366,239 - --------------------------------------------------------------------------------------------------------- Raytheon Co. 121,800 4,625,964 ------------------ 13,669,163 - --------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--2.8% Brink's Co. (The) 74,000 2,232,580 - --------------------------------------------------------------------------------------------------------- Cendant Corp. 484,500 10,465,200 - --------------------------------------------------------------------------------------------------------- ChoicePoint, Inc. 1 67,500 2,878,875 ------------------ 15,576,655 - --------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.9% General Electric Co. 97,900 3,287,482 - --------------------------------------------------------------------------------------------------------- Tyco International Ltd. 48,800 1,496,208 ------------------ 4,783,690 - --------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--9.3% - --------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--2.7% Hewlett-Packard Co. 334,200 6,266,250 - --------------------------------------------------------------------------------------------------------- International Business Machines Corp. 103,500 8,874,090 ------------------ 15,140,340 - --------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.8% Flextronics International Ltd. 1 347,800 4,608,350 - --------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.3% Net2Phone, Inc. 1 481,500 1,550,430 - --------------------------------------------------------------------------------------------------------- IT SERVICES--0.3% CSG Systems International, Inc. 1 115,700 1,782,937 - --------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.9% Freescale Semiconductor, Inc., Cl. A 1 550,800 7,876,440 - --------------------------------------------------------------------------------------------------------- Intel Corp. 128,600 2,579,716 ------------------ 10,456,156 - --------------------------------------------------------------------------------------------------------- SOFTWARE--3.3% Compuware Corp. 1 245,400 1,263,810 - --------------------------------------------------------------------------------------------------------- Microsoft Corp. 290,000 8,018,500 - --------------------------------------------------------------------------------------------------------- Take-Two Interactive Software, Inc. 1 290,600 9,546,210 ------------------ 18,828,520 - --------------------------------------------------------------------------------------------------------- MATERIALS--1.8% - --------------------------------------------------------------------------------------------------------- CHEMICALS--0.7% Dow Chemical Co. 39,000 1,762,020 - --------------------------------------------------------------------------------------------------------- Praxair, Inc. 58,900 2,517,386 - --------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. 1,2 18 423 ------------------ 4,279,829 - --------------------------------------------------------------------------------------------------------- METALS & MINING--0.8% Companhia Vale do Rio Doce, Sponsored ADR 115,800 2,229,150 - --------------------------------------------------------------------------------------------------------- GrafTech International Ltd. 1 164,200 2,290,590 ------------------ 4,519,740 - --------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.3% Bowater, Inc. 33,700 1,287,003 - --------------------------------------------------------------------------------------------------------- Western Forest Products, Inc. 1 28,368 208,026 ------------------ 1,495,029 - --------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--1.3% - --------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.3% IDT Corp., Cl. B 1 494,600 7,433,838 - --------------------------------------------------------------------------------------------------------- WorldCom, Inc./WorldCom Group 1 375,000 -- ------------------ 7,433,838 - --------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.0% Leap Wireless International, Inc. 1 1,707 37,554 - --------------------------------------------------------------------------------------------------------- UTILITIES--1.4% - --------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.0% AES Corp. (The) 1 389,900 3,895,101 - --------------------------------------------------------------------------------------------------------- PG&E Corp. 1 58,100 1,766,240 ------------------ 5,661,341 - --------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.4% Sempra Energy 52,900 1,914,446 ------------------ Total Common Stocks (Cost $233,865,229) 304,867,660 Units - --------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% HF Holdings, Inc. Wts., Exp. 9/27/09 1,2 2,593 350 - --------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. Wts., Exp. 12/19/08 1,2 31 45 - --------------------------------------------------------------------------------------------------------- Sun Healthcare Group, Inc. Wts., Exp. 2/28/05 1 1,241 -- ------------------ Total Rights, Warrants and Certificates (Cost $38,932) 395 Principal Amount - --------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--7.3% Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 $ 709,519 708,193 - --------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2004-A, Cl. A2, 1.88%, 10/25/06 1,480,000 1,477,138 - --------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset- Backed Certificates: Series 2003-B, Cl. AF1, 1.64%, 2/25/18 25,291 25,274 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 423,809 423,383 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 56,327 56,204 Series 2004-D, Cl. AF1, 2.98%, 4/25/20 2 600,000 600,000 - --------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 328,295 329,154 Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 790,000 791,036 Series 2003-3, Cl. 1A1, 1.92%, 8/25/17 3 115,780 115,850 Series 2003-4, Cl. 1A1, 1.96%, 9/25/17 3 489,598 489,913 Series 2004-1, Cl. 2A1, 1.95%, 9/25/21 3 1,698,218 1,699,201 - --------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass- Through Certificates: Series 2002-A, Cl. A4, 4.24%, 9/15/08 320,000 323,785 Series 2003-A, Cl. A2, 1.26%, 1/16/06 119,404 119,424 Series 2003-B, Cl. A2, 1.28%, 3/15/06 293,235 293,099 - --------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 9/29/06 4 900,000 899,914 - --------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2002-A3, Cl. A3, 4.40%, 5/15/07 1,050,000 1,064,201 - --------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2003-2, Cl. AF1, 1.94%, 5/25/33 3 187,660 187,773 Series 2003-3, Cl. AF1, 1.96%, 8/25/33 3 410,745 411,015 - --------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc., Home Equity Mtg. Obligations, Series 2004-OPT1, Cl. A1B, 2.388%, 9/1/34 1,478,000 1,478,000 - --------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass- Through Certificates: Series 2003-A, Cl. A2, 1.52%, 12/8/05 961,418 961,528 Series 2003-B, Cl. A2, 1.61%, 7/10/06 2,229,757 2,228,093 Series 2004-B, Cl. A2, 2.48%, 2/8/07 2 1,000,000 1,000,000 - --------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass- Through Certificates: Series 2003-A, Cl. A2A, 1.62%, 8/15/05 67,312 67,350 Series 2004-A, Cl. A2, 2.13%, 10/15/06 2,200,000 2,197,583 - --------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: Series 2002-2, Cl. A1, 1.91%, 4/15/07 95,572 95,572 Series 2003-3, Cl. A1, 1.50%, 1/15/08 991,989 989,635 - --------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2003-2, Cl. A2, 1.34%, 12/21/05 380,950 380,983 Series 2003-3, Cl. A2, 1.52%, 4/21/06 1,390,638 1,389,457 Series 2003-4, Cl. A2, 1.58%, 7/17/06 1,731,846 1,729,762 - --------------------------------------------------------------------------------------------------------- Household Automotive Trust, Automobile Loan Certificates, Series 2003-2, Cl. A2, 1.56%, 12/18/06 791,333 790,396 - --------------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 732,774 734,225 Series 2003-1, Cl. A2, 1.60%, 7/20/06 1,415,045 1,414,078 - --------------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 1,020,000 1,017,139 - --------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A, Cl. A2, 1.69%, 12/15/05 696,137 696,504 - --------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: Series 2002-A, Cl. A4, 4.28%, 10/16/06 293,072 295,707 Series 2003-B, Cl. A2, 1.20%, 11/15/05 195,750 195,830 Series 2004-A, Cl. A2, 1.40%, 7/17/06 1,150,000 1,146,155 - --------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Home Equity Mtg. Obligations, Series 2004-3, Cl. A2, 1.99%, 11/25/34 3,4 610,000 610,000 - --------------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 177,989 178,754 Series 2003-B, Cl. A2, 1.43%, 2/15/06 766,450 766,221 - --------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2002-1, Cl. A3, 2.41%, 10/16/06 336,675 337,266 Series 2003-1, Cl. A2, 1.22%, 4/17/06 247,201 247,240 Series 2004-1, Cl. A2, 1.43%, 9/15/06 2,800,000 2,791,879 Series 2004-2, Cl. A2, 2.41%, 2/15/07 1,030,000 1,030,526 - --------------------------------------------------------------------------------------------------------- Volkswagen Auto Lease Trust, Automobile Lease Asset- Backed Securities, Series 2004-A, Cl. A2, 2.47%, 1/22/07 1,040,000 1,039,188 - --------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 882,603 882,229 Series 2003-2, Cl. A2, 1.55%, 6/20/06 943,765 942,764 - --------------------------------------------------------------------------------------------------------- Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 740,000 740,549 - --------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 1,650,000 1,650,000 - --------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates, Series 2003-1, Cl. A2A, 1.40%, 4/15/06 1,305,240 1,303,939 ------------------ Total Asset-Backed Securities (Cost $41,395,562) 41,343,109 - --------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--31.5% Bank of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,868,396 1,927,367 Series 2004-8, Cl. 5A1, 6.50%, 9/25/34 1,510,000 1,557,659 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 1,131,830 1,134,416 Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 1,139,062 1,136,696 - --------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 328,688 328,663 - --------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Assn., 5.50%, 10/1/34 5,822,000 5,902,053 - --------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 5%, 10/1/34 4 12,183,000 12,064,971 5.50%, 1/1/34 668,762 678,966 6.50%, 11/1/28 743,503 782,727 7%, 5/1/29-11/1/33 3,427,771 3,643,121 7%, 10/1/34 4 7,375,000 7,822,109 - --------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1669, Cl. G, 6.50%, 2/15/23 365,003 368,404 Series 2055, Cl. ZM, 6.50%, 5/15/28 786,527 821,387 Series 2075, Cl. D, 6.50%, 8/15/28 1,806,100 1,889,267 Series 2080, Cl. Z, 6.50%, 8/15/28 511,889 529,796 Series 2102, Cl. VA, 6%, 10/15/09 32,608 32,604 Series 2387, Cl. PD, 6%, 4/15/30 1,113,101 1,139,017 Series 2466, Cl. PD, 6.50%, 4/15/30 510,613 516,079 Series 2498, Cl. PC, 5.50%, 10/15/14 170,581 172,847 Series 2500, Cl. FD, 2.209%, 3/15/32 3 304,181 304,842 Series 2526, Cl. FE, 2.109%, 6/15/29 3 364,059 365,098 Series 2551, Cl. FD, 2.109%, 1/15/33 3 297,364 298,624 Series 2551, Cl. TA, 4.50%, 2/15/18 544,274 544,810 - --------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, (0.688)%, 6/1/26 5 521,119 96,173 Series 183, Cl. IO, (1.513)%, 4/1/27 5 853,719 161,988 Series 184, Cl. IO, 0.846%, 12/1/26 5 847,325 154,991 Series 192, Cl. IO, 5.662%, 2/1/28 5 232,403 40,382 Series 200, Cl. IO, 5.208%, 1/1/29 5 283,445 52,737 Series 2130, Cl. SC, 17.914%, 3/15/29 5 633,930 65,954 Series 2796, Cl. SD, 26.12%, 7/15/26 5 879,528 95,979 - --------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 7.018%, 6/1/26 6 229,341 202,922 Series 217, Cl. PO, 8.479%, 1/1/32 6 299,805 258,815 - --------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Structured Pass-Through Securities, Collateralized Mtg. Obligations, Series T-42, Cl. A2, 5.50%, 2/25/42 539 539 - --------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 10/1/19 4 5,578,000 5,558,823 5%, 10/1/19-10/1/34 4 9,703,000 9,777,059 5.50%, 7/1/33-3/1/34 6,709,631 6,814,441 5.50%, 10/1/19-10/1/34 4 23,469,447 24,085,687 6%, 5/1/16-11/1/34 4,078,526 4,264,831 6.50%, 11/1/27-10/1/30 659,505 693,907 6.50%, 10/1/34 4 14,722,000 15,444,291 7%, 7/1/32-8/1/34 7,890,856 8,376,894 7%, 10/1/34 4 33,945,000 35,992,291 8.50%, 7/1/32 71,835 78,151 - --------------------------------------------------------------------------------------------------------- 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 1,360,140 1,436,154 Trust 1998-63, Cl. PG, 6%, 3/25/27 325,920 328,432 Trust 2001-50, Cl. NE, 6%, 8/25/30 621,575 624,487 Trust 2001-70, Cl. LR, 6%, 9/25/30 574,061 588,077 Trust 2001-72, Cl. NH, 6%, 4/25/30 494,096 505,014 Trust 2001-74, Cl. PD, 6%, 5/25/30 209,979 213,953 Trust 2002-50, Cl. PD, 6%, 9/25/27 674,137 677,868 Trust 2002-77, Cl. WF, 2.211%, 12/18/32 3 490,556 492,099 Trust 2002-94, Cl. MA, 4.50%, 8/25/09 958,846 963,429 Trust 2003-81, Cl. PA, 5%, 2/25/12 299,467 301,953 - --------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security: Trust 2002-47, Cl. NS, 19.181%, 4/25/32 5 1,164,195 109,881 Trust 2002-51, Cl. S, 19.54%, 8/25/32 5 1,069,006 100,990 - --------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, (3.966)%, 6/1/23 5 1,644,683 285,709 Trust 240, Cl. 2, (1.11)%, 9/1/23 5 2,532,701 487,662 Trust 252, Cl. 2, (5.194)%, 11/1/23 5 1,287,181 262,086 Trust 254, Cl. 2, (2.401)%, 1/1/24 5 638,796 126,731 Trust 273, Cl. 2, (0.778)%, 7/1/26 5 373,992 70,315 Trust 321, Cl. 2, (8.951)%, 3/1/32 5 3,121,438 613,955 Trust 334, Cl. 17, (47.305)%, 2/1/33 5 873,347 149,845 Trust 2001-81, Cl. S, 25.236%, 1/25/32 5 551,083 51,865 Trust 2002-52, Cl. SD, 15.361%, 9/25/32 5 1,370,247 134,427 Trust 2002-9, Cl. MS, 20.455%, 3/25/32 5 791,285 76,446 Trust 2004-54, Cl. DS, 25.553%, 11/25/30 5 1,132,280 108,164 - --------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 10.115%, 9/25/23 6 519,985 455,671 - --------------------------------------------------------------------------------------------------------- First Union/Lehman Brothers/Bank of America, Commercial Mtg. Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 680,000 739,380 - --------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Mtg. Pass- Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 528,259 569,596 - --------------------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Pass- Through Certificates, Series 2004-GG2, Cl. A3, 4.602%, 8/10/38 410,000 421,526 - --------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., 8%, 4/15/23 312,414 343,827 - --------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 21.331%, 1/16/27 5 1,008,217 102,217 Series 2002-15, Cl. SM, 15.334%, 2/16/32 5 1,152,622 113,530 Series 2002-76, Cl. SY, 13.487%, 12/16/26 5 2,311,241 234,482 Series 2004-11, Cl. SM, 18.135%, 1/17/30 5 944,801 90,733 - --------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-9, Cl. A3, 4.70%, 8/25/34 2,476,850 2,486,138 - --------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass- Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 780,000 855,099 - --------------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 983,000 1,142,035 - --------------------------------------------------------------------------------------------------------- Washington Mutual Mortgage Securities Corp., Collateralized Mtg. Pass-Through Certificates, Series 2003-AR12, Cl. A2, 2.45%, 2/25/34 3 1,458,257 1,459,863 - --------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage Backed Securities Trust, Collateralized Mtg. Obligations: Series 2004-N, Cl. A10, 3.803%, 8/25/34 2 2,005,246 2,011,512 Series 2004-W, Cl. A2, 4.677%, 11/27/34 1,270,000 1,278,483 ------------------ Total Mortgage-Backed Obligations (Cost $176,883,880) 177,192,012 - --------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--7.1% Federal Home Loan Bank Unsec. Bonds, Series EY06, 5.25%, 8/15/06 2,045,000 2,136,409 - --------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 2.75%, 8/15/06 2,540,000 2,539,776 2.875%, 12/15/06 1,385,000 1,384,319 4.50%, 1/15/13 1,025,000 1,031,568 4.875%, 11/15/13 760,000 779,947 5.50%, 7/15/06 7 9,985,000 10,467,266 6.875%, 9/15/10 1,500,000 1,727,795 - --------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 4.25%, 7/15/07 5,550,000 5,716,711 6%, 5/15/11 2,320,000 2,565,430 7.25%, 1/15/10-5/15/30 4,405,000 5,221,783 - --------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 5.375%, 11/13/08 247,000 264,608 7.125%, 5/1/30 460,000 571,086 Series C, 4.75%, 8/1/13 320,000 326,595 Series C, 6%, 3/15/13 305,000 339,237 - --------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 5.375%, 2/15/31 1,864,000 1,997,393 5.50%, 8/15/28 645,000 693,552 STRIPS, 3.37%, 2/15/11 8 409,000 321,168 STRIPS, 3.86%, 2/15/13 8 478,000 337,518 - --------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 4.25%, 11/15/13-8/15/14 1,357,000 1,374,383 ------------------ Total U.S. Government Obligations (Cost $39,704,894) 39,796,544 - --------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--0.1% United Mexican States Nts., 7.50%, 1/14/12 (Cost $522,363) 475,000 536,513 - --------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--13.9% ABN Amro Bank NV (NY Branch), 7.125% Sub. Nts., Series B, 10/15/93 400,000 456,844 - --------------------------------------------------------------------------------------------------------- Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 1,185,000 1,256,600 - --------------------------------------------------------------------------------------------------------- Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 540,000 588,600 - --------------------------------------------------------------------------------------------------------- Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 9 245,000 249,874 - --------------------------------------------------------------------------------------------------------- Allstate Life Global Funding II, 3.50% Nts., 7/30/07 330,000 331,605 - --------------------------------------------------------------------------------------------------------- American Express Centurion Bank, 4.375% Nts., 7/30/09 435,000 444,933 - --------------------------------------------------------------------------------------------------------- American Honda Finance Corp., 3.85% Nts., 11/6/08 9 310,000 311,959 - --------------------------------------------------------------------------------------------------------- AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 885,000 975,591 - --------------------------------------------------------------------------------------------------------- AXA, 8.60% Unsec. Sub. Nts., 12/15/30 750,000 973,748 - --------------------------------------------------------------------------------------------------------- Bank of America Corp.: 4.875% Sr. Unsec. Nts., 1/15/13 15,000 15,242 7.80% Jr. Unsec. Sub. Nts., 2/15/10 400,000 470,426 - --------------------------------------------------------------------------------------------------------- Bankers Trust Corp., 7.375% Unsec. Sub. Nts., 5/1/08 100,000 112,496 - --------------------------------------------------------------------------------------------------------- Beazer Homes USA, Inc., 8.625% Sr. Unsec. Nts., 5/15/11 565,000 625,738 - --------------------------------------------------------------------------------------------------------- Boeing Capital Corp.: 5.65% Sr. Unsec. Nts., 5/15/06 180,000 187,998 6.50% Nts., 2/15/12 7 750,000 840,860 - --------------------------------------------------------------------------------------------------------- British Telecommunications plc: 7.875% Nts., 12/15/05 770,000 815,832 8.125% Nts., 12/15/10 420,000 507,090 - --------------------------------------------------------------------------------------------------------- Canadian National Railway Co., 4.25% Nts., 8/1/09 161,000 163,200 - --------------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc.: 5.875% Sr. Nts., 6/1/08 690,000 720,895 8.125% Unsec. Nts., Series B, 7/15/05 270,000 281,089 - --------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp., 7.50% Sr. Nts., 6/15/14 610,000 669,475 - --------------------------------------------------------------------------------------------------------- CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 1,410,000 1,544,831 - --------------------------------------------------------------------------------------------------------- CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 1,000,000 1,185,184 - --------------------------------------------------------------------------------------------------------- Citigroup, Inc., 6.875% Unsec. Nts., 2/15/98 450,000 500,791 - --------------------------------------------------------------------------------------------------------- Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 291,000 321,555 - --------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., 4.625% Sr. Unsec. Nts., 1/15/08 1,225,000 1,248,422 - --------------------------------------------------------------------------------------------------------- Coca-Cola Co. (The), 7.375% Unsec. Debs., 7/29/93 360,000 440,929 - --------------------------------------------------------------------------------------------------------- ConAgra Foods, Inc., 6% Nts., 9/15/06 610,000 641,961 - --------------------------------------------------------------------------------------------------------- Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 168,000 170,403 - --------------------------------------------------------------------------------------------------------- Cox Communications, Inc., 6.40% Sr. Unsec. Nts., 8/1/08 810,000 851,234 - --------------------------------------------------------------------------------------------------------- CSX Corp., 6.25% Unsec. Nts., 10/15/08 585,000 634,755 - --------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/15/11 520,000 583,700 - --------------------------------------------------------------------------------------------------------- DaimlerChrysler North America Holding Corp., 4.75% Unsec. Nts., 1/15/08 1,090,000 1,123,418 - --------------------------------------------------------------------------------------------------------- Delphi Automotive Systems Corp., 6.50% Nts., 5/1/09 500,000 528,309 - --------------------------------------------------------------------------------------------------------- Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 770,000 923,982 - --------------------------------------------------------------------------------------------------------- Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 530,000 628,732 - --------------------------------------------------------------------------------------------------------- DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 580,000 610,139 - --------------------------------------------------------------------------------------------------------- Duke Capital LLC, 5.668% Nts., 8/15/14 645,000 659,099 - --------------------------------------------------------------------------------------------------------- EOP Operating LP: 6.763% Sr. Unsec. Nts., 6/15/07 180,000 194,049 8.375% Nts., 3/15/06 425,000 456,705 - --------------------------------------------------------------------------------------------------------- Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 810,000 889,065 - --------------------------------------------------------------------------------------------------------- FedEx Corp., 2.65% Unsec. Nts., 4/1/07 1,320,000 1,299,194 - --------------------------------------------------------------------------------------------------------- FirstEnergy Corp., 5.50% Sr. Unsub. Nts., Series A, 11/15/06 1,210,000 1,260,140 - --------------------------------------------------------------------------------------------------------- Food Lion, Inc., 7.55% Nts., 4/15/07 785,000 855,319 - --------------------------------------------------------------------------------------------------------- Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 345,000 394,411 - --------------------------------------------------------------------------------------------------------- Ford Motor Co.: 7.70% Unsec. Debs., 5/15/97 400,000 382,330 8.90% Unsec. Unsub. Debs., 1/15/32 340,000 382,561 - --------------------------------------------------------------------------------------------------------- France Telecom SA: 8.20% Sr. Unsec. Nts., 3/1/06 115,000 122,890 8.50% Sr. Unsec. Nts., 3/1/11 540,000 647,245 9.25% Sr. Unsec. Nts., 3/1/31 3 230,000 305,840 - --------------------------------------------------------------------------------------------------------- Franklin Resources, Inc., 3.70% Nts., 4/15/08 425,000 426,250 - --------------------------------------------------------------------------------------------------------- Gap, Inc. (The), 6.90% Nts., 9/15/07 2 495,000 540,788 - --------------------------------------------------------------------------------------------------------- General Electric Capital Corp., 7.25% Nts., Series A, 2/1/05 400,000 406,520 - --------------------------------------------------------------------------------------------------------- General Mills, Inc., 3.875% Nts., 11/30/07 950,000 960,579 - --------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 6.875% Unsec. Unsub. Nts., 8/28/12 1,665,000 1,732,751 - --------------------------------------------------------------------------------------------------------- General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 280,000 298,135 - --------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), 7.80% Sr. Unsec. Unsub. Nts., Series B, 1/28/10 400,000 465,429 - --------------------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 345,000 341,360 - --------------------------------------------------------------------------------------------------------- Hertz Corp. (The), 6.35% Nts., 6/15/10 1,115,000 1,156,629 - --------------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 450,000 498,938 - --------------------------------------------------------------------------------------------------------- Huntsman Corp./ICI Chemical Co. plc, 13.08% Sr. Unsec. Disc. Nts., 12/31/09 2,8 500,000 267,500 - --------------------------------------------------------------------------------------------------------- Hutchison Whampoa International Ltd., 7.45% Sr. Bonds, 11/24/33 9 495,000 514,828 - --------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 2,3 540,000 604,800 - --------------------------------------------------------------------------------------------------------- iStar Financial, Inc.: 4.875% Sr. Unsec. Nts., Series B, 1/15/09 545,000 548,832 8.75% Sr. Unsec. Nts., 8/15/08 400,000 460,534 - --------------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc., 8% Nts., 3/1/10 1,160,000 1,326,750 - --------------------------------------------------------------------------------------------------------- John Hancock Global Funding II, 7.90% Nts., 7/2/10 9 947,000 1,119,855 - --------------------------------------------------------------------------------------------------------- Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 1,11 250,000 242,500 - --------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 595,000 655,253 - --------------------------------------------------------------------------------------------------------- Kraft Foods, Inc., 5.25% Nts., 6/1/07 1,435,000 1,502,729 - --------------------------------------------------------------------------------------------------------- Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 905,000 1,008,716 - --------------------------------------------------------------------------------------------------------- Leap Wireless International, Inc.: 4/1/27, Escrow Shares 10 400,000 16,000 4/1/27, Escrow Shares 10 300,000 9,750 - --------------------------------------------------------------------------------------------------------- Lear Corp.: 7.96% Sr. Unsec. Nts., Series B, 5/15/05 515,000 531,147 8.11% Sr. Unsec. Nts., Series B, 5/15/09 589,000 680,721 - --------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., 7% Nts., 2/1/08 765,000 844,868 - --------------------------------------------------------------------------------------------------------- Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 125,000 136,872 - --------------------------------------------------------------------------------------------------------- Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 580,000 614,386 - --------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.50% Nts., 9/25/06 600,000 597,857 - --------------------------------------------------------------------------------------------------------- Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 615,000 627,590 - --------------------------------------------------------------------------------------------------------- May Department Stores Co. (The), 3.95% Nts., 7/15/07 9 81,000 81,684 - --------------------------------------------------------------------------------------------------------- MBNA America Bank NA, 5.375% Nts., 1/15/08 935,000 981,132 - --------------------------------------------------------------------------------------------------------- McDonnell Douglas Corp., 6.875% Unsec. Unsub. Nts., 11/1/06 160,000 171,958 - --------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 4.125% Nts., 9/10/09 1,280,000 1,284,914 - --------------------------------------------------------------------------------------------------------- Metallurg, Inc., 11% Sr. Nts., 12/1/07 450,000 272,250 - --------------------------------------------------------------------------------------------------------- Morgan Stanley, 6.60% Nts., 4/1/12 570,000 636,555 - --------------------------------------------------------------------------------------------------------- National City Bank, 6.20% Sub. Nts., 12/15/11 83,000 91,577 - --------------------------------------------------------------------------------------------------------- Niagara Mohawk Power Corp., 5.375% Sr. Unsec. Nts., 10/1/04 370,000 370,000 - --------------------------------------------------------------------------------------------------------- NiSource Finance Corp.: 3.20% Nts., 11/1/06 180,000 179,537 7.875% Sr. Unsec. Nts., 11/15/10 790,000 934,732 - --------------------------------------------------------------------------------------------------------- Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 767,000 882,786 - --------------------------------------------------------------------------------------------------------- Petroleos Mexicanos, 9.50% Sr. Sub. Nts., 9/15/27 365,000 445,483 - --------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 9 434,876 426,611 - --------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 9 900,000 1,150,606 - --------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 9 920,000 1,173,434 - --------------------------------------------------------------------------------------------------------- PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 595,000 638,138 - --------------------------------------------------------------------------------------------------------- R&B Falcon Corp., 9.50% Sr. Unsec. Nts., 12/15/08 500,000 602,865 - --------------------------------------------------------------------------------------------------------- Raytheon Co., 6.50% Unsec. Nts., 7/15/05 835,000 859,883 - --------------------------------------------------------------------------------------------------------- Safeway, Inc., 2.50% Nts., 11/1/05 1,290,000 1,285,442 - --------------------------------------------------------------------------------------------------------- Spieker Properties LP, 6.75% Unsec. Unsub. Nts., 1/15/08 360,000 396,675 - --------------------------------------------------------------------------------------------------------- Sprint Capital Corp.: 7.125% Sr. Unsec. Nts., 1/30/06 595,000 627,604 8.75% Nts., 3/15/32 530,000 674,693 - --------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc.: 10% Sr. Sec. Nts., 12/19/07 2 221,615 209,426 11.25% Sr. Sub. Nts., 8/15/06 1,2,11 335,000 -- - --------------------------------------------------------------------------------------------------------- SunTrust Banks, Inc.: 4% Nts., 10/15/08 640,000 649,284 7.75% Unsec. Sub. Nts., 5/1/10 57,000 66,962 - --------------------------------------------------------------------------------------------------------- TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 1,145,000 1,461,934 - --------------------------------------------------------------------------------------------------------- TECO Energy, Inc., 10.50% Sr. Unsec. Nts., 12/1/07 475,000 553,375 - --------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 530,000 532,883 - --------------------------------------------------------------------------------------------------------- Texas Utilities Co., 6.375% Sr. Unsec. Nts., Series C, 1/1/08 516,000 560,954 - --------------------------------------------------------------------------------------------------------- Time Warner Cos., Inc., 9.125% Debs., 1/15/13 530,000 664,593 - --------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 500,000 649,824 - --------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 565,000 629,269 - --------------------------------------------------------------------------------------------------------- Tyco International Group SA: 5.875% Unsec. Unsub. Nts., 11/1/04 122,000 122,325 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 850,000 888,905 6.375% Nts., 10/15/11 750,000 830,627 6.75% Sr. Unsub. Nts., 2/15/11 378,000 425,841 - --------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 2.875% Sr. Unsec. Nts., 10/15/06 163,000 161,314 3.50% Sr. Unsec. Nts., 10/15/07 845,000 839,720 - --------------------------------------------------------------------------------------------------------- Volkswagen Credit, Inc., 1.88% Nts., 7/21/05 3,9 1,225,000 1,225,067 - --------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 1,225,000 1,286,038 - --------------------------------------------------------------------------------------------------------- Waste Management, Inc.: 7% Sr. Nts., 7/15/28 220,000 244,209 7.375% Sr. Unsub. Nts., 8/1/10 435,000 502,723 - --------------------------------------------------------------------------------------------------------- Western Forest Products, Inc., 15% Sec. Nts., 7/28/09 2 146,000 162,060 - --------------------------------------------------------------------------------------------------------- Weyerhaeuser Co., 5.50% Unsec. Unsub. Nts., 3/15/05 250,000 253,311 - --------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 1,230,000 1,328,913 ------------------ Total Non-Convertible Corporate Bonds and Notes (Cost $75,484,225) 78,344,271 Principal Amount Value - --------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--1.3% Deutsche Bank AG, COUNTS Corp. Sec. Credit Linked Nts., Series 2003-1, 3.318%, 1/7/05 2,3 $ 3,550,000 $ 3,536,865 - --------------------------------------------------------------------------------------------------------- UBS AG, High Grade Credit Linked Nts., 1.863%, 12/10/04 2 3,550,000 3,558,520 ------------------ Total Structured Notes (Cost $7,100,000) 7,095,385 - --------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--5.7% Undivided interest of 2.23% 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 $32,249,612 on 10/1/04, collateralized by Federal National Mortgage Assn., 5%, 3/1/34, with a value of $1,477,979,332 (Cost $32,248,000) 32,248,000 32,248,000 - --------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $607,243,085) 121.1% 681,423,889 - --------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (21.1) (118,556,415) ---------------------------------- Net Assets 100.0% $ 562,867,474 ================================== Footnotes to Statement of Investments 1. Non-income producing security. 2. Illiquid security. 3. Represents the current interest rate for a variable or increasing rate security. 4. When-issued security or forward commitment to be delivered and settled after September 30, 2004. 5. 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 $3,787,242 or 0.67% of the Fund's net assets as of September 30, 2004. 6. 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 $917,408 or 0.16% of the Fund's net assets as of September 30, 2004. 7. Securities with an aggregate market value of $11,308,126 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 12/20/04 179 $20,087,156 $ 415,054 U.S. Treasury Nts., 10 yr. 12/20/04 267 30,070,875 347,100 ----------- 762,154 ----------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 12/30/04 270 57,033,281 114,331 U.S. Treasury Nts., 5 yr. 12/20/04 341 37,765,750 (89,376) ----------- 24,955 ----------- $ 787,109 =========== 8. Zero coupon bond reflects effective yield on the date of purchase. 9. 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 $6,253,918 or 1.11% of the Fund's net assets as of September 30, 2004. 10. Received as the result of issuer reorganization. 11. Issue is in default. As of September 30, 2004, the Fund had entered into the following total return swap agreements. PAID BY RECEIVED BY NOTIONAL THE FUND AT THE FUND AT TERMINATION UNREALIZED SWAP COUNTERPARTY AMOUNT SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 DATE APPRECIATION - -------------------------------------------------------------------------------------------- Deutsche Bank AG $4,250,000 One-Month LIBOR Value of total 1/1/05 $ 11,693 less 50 basis return of Lehman points 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 $607,890,240 ============= Gross unrealized appreciation $ 83,334,621 Gross unrealized depreciation (9,002,170) ------------- Net unrealized appreciation $ 74,332,451 ============= 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) EX-99.CERT 2 rq670_11965ex99cert.txt RQ670_11965EX99CERT.TXT Exhibit 99.CERT CERTIFICATIONS I, JOHN V. MURPHY, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Balanced Fund/VA; 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: 11/16/04 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 Balanced Fund/VA; 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: 11/16/04 -----END PRIVACY-ENHANCED MESSAGE-----