-----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, PWrKTADOBcyANnf6WgkvTU1hq0PTxvNnIHxU/KqhQMpxZmMgRdpOfQMXTWJeelOz vshLu1AyTj2AfUrfMugdYg== 0000935069-04-002007.txt : 20041129 0000935069-04-002007.hdr.sgml : 20041129 20041129161605 ACCESSION NUMBER: 0000935069-04-002007 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: 041171807 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 rq630_11960nq.txt RQ630_11960NQ.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 Bond 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 Bond Fund/VA
Principal Amount Value - --------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--16.8% Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 $ 2,066,119 $ 2,062,257 - --------------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2004-A, Cl. A2, 1.88%, 10/25/06 3,190,000 3,183,832 - --------------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset- Backed Certificates: Series 2003-B, Cl. AF1, 1.64%, 2/25/18 84,770 84,714 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 1,302,138 1,300,829 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 145,626 145,309 Series 2004-D, Cl. AF1, 2.98%, 4/25/20 1 1,280,000 1,280,000 - --------------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 727,572 729,477 Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 1,710,000 1,712,243 Series 2003-3, Cl. 1A1, 1.92%, 8/25/17 2 391,307 391,544 Series 2003-4, Cl. 1A1, 1.96%, 9/25/17 2 1,650,008 1,651,070 - --------------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2002-A, Cl. A4, 4.24%, 9/15/08 700,000 708,280 Series 2003-A, Cl. A2, 1.26%, 1/16/06 402,987 403,055 Series 2003-B, Cl. A2, 1.28%, 3/15/06 1,043,323 1,042,839 - --------------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 9/29/06 3 1,840,000 1,839,825 - --------------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2003-2, Cl. AF1, 1.94%, 5/25/33 2 631,547 631,927 Series 2003-3, Cl. AF1, 1.96%, 8/25/33 2 1,198,005 1,198,794 - --------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc., Home Equity Mtg. Obligations, Series 2004-OPT1, Cl. A1B, 2.388%, 9/1/34 3,247,000 3,247,000 - --------------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass- Through Certificates: Series 2003-A, Cl. A2, 1.52%, 12/8/05 2,944,344 2,944,680 Series 2003-B, Cl. A2, 1.61%, 7/10/06 5,813,616 5,809,278 Series 2004-B, Cl. A2, 2.48%, 2/8/07 1 670,000 670,000 - --------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass- Through Certificates, Series 2004-A, Cl. A2, 2.13%, 10/15/06 1,100,000 1,098,792 - --------------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: Series 2002-2, Cl. A1, 1.91%, 4/15/07 452,127 452,127 Series 2003-3, Cl. A1, 1.50%, 1/15/08 3,060,485 3,053,225 - --------------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2003-2, Cl. A2, 1.34%, 12/21/05 1,287,101 1,287,214 Series 2003-3, Cl. A2, 1.52%, 4/21/06 4,256,195 4,252,579 Series 2003-4, Cl. A2, 1.58%, 7/17/06 4,501,202 4,495,788 - --------------------------------------------------------------------------------------------------------------- Household Automotive Trust, Automobile Loan Certificates, Series 2003-2, Cl. A2, 1.56%, 12/18/06 2,073,585 2,071,130 - --------------------------------------------------------------------------------------------------------------- Lease Investment Flight Trust, Collateralized Aviation Obligations, Series 1A, Cl. D2, 8%, 7/15/31 1 5,550,297 55,503 - --------------------------------------------------------------------------------------------------------------- Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 1 4,200,681 4,305,698 - --------------------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 1,981,716 1,985,639 Series 2003-1, Cl. A2, 1.60%, 7/20/06 3,719,747 3,717,204 - --------------------------------------------------------------------------------------------------------------- MSF Funding LLC, Collateralized Mtg. Obligations, Series 2000-1, Cl. C, 9.19%, 7/25/07 1,2 602,879 24,115 - --------------------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 1,490,000 1,485,821 - --------------------------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 1/25/29 1 3,370,016 899,373 - --------------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A, Cl. A2, 1.69%, 12/15/05 1,888,085 1,889,080 - --------------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: Series 2002-A, Cl. A4, 4.28%, 10/16/06 641,095 646,860 Series 2003-B, Cl. A2, 1.20%, 11/15/05 662,257 662,528 - --------------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Home Equity Mtg. Obligations, Series 2004-3, Cl. A2, 1.982%, 11/25/34 2,3 1,280,000 1,280,000 - --------------------------------------------------------------------------------------------------------------- Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 1,930,000 1,941,715 - --------------------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 547,055 549,406 Series 2003-B, Cl. A2, 1.43%, 2/15/06 2,370,411 2,369,703 - --------------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset- Backed Nts.: Series 2001-2, Cl. A4, 3.91%, 4/16/07 656,500 659,650 Series 2002-1, Cl. A3, 2.41%, 10/16/06 940,608 942,258 Series 2003-1, Cl. A2, 1.22%, 4/17/06 832,372 832,503 Series 2004-2, Cl. A2, 2.41%, 2/15/07 2,270,000 2,271,159 - --------------------------------------------------------------------------------------------------------------- Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities, Series 2004-A, Cl. A2, 2.47%, 1/22/07 2,190,000 2,188,289 - --------------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 910,961 910,575 Series 2003-2, Cl. A2, 1.55%, 6/20/06 2,540,300 2,537,608 - --------------------------------------------------------------------------------------------------------------- Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 1,620,000 1,621,202 - --------------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 3,620,000 3,620,000 - --------------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates, Series 2003-1, Cl. A2A, 1.40%, 4/15/06 3,805,008 3,801,216 --------------- Total Asset-Backed Securities (Cost $96,054,019) 88,944,913 - --------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--67.3% - --------------------------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--59.9% - --------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED--59.7% Federal Home Loan Mortgage Corp.: 5%, 10/1/34 3 5,153,000 5,103,078 5.50%, 1/1/34 1,681,459 1,707,116 7%, 10/1/34 3 25,180,000 26,706,538 7%, 11/1/32-11/1/33 7,874,338 8,370,431 8%, 4/1/16 1,619,105 1,726,526 9%, 8/1/22-5/1/25 446,689 501,378 - --------------------------------------------------------------------------------------------------------------- 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 2500, Cl. FD, 2.209%, 3/15/32 2 932,343 934,367 Series 2526, Cl. FE, 2.109%, 6/15/29 2 1,226,410 1,229,912 Series 2551, Cl. FD, 2.109%, 1/15/33 2 1,004,731 1,008,986 - --------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, (0.688)%, 6/1/26 4 1,407,292 259,718 Series 183, Cl. IO, (1.514)%, 4/1/27 4 2,224,335 422,053 Series 184, Cl. IO, 0.815%, 12/1/26 4 2,230,318 407,967 Series 192, Cl. IO, 5.662%, 2/1/28 4 538,197 93,516 Series 200, Cl. IO, 5.208%, 1/1/29 4 656,247 122,100 Series 206, Cl. IO, (19.041)%, 12/1/29 4 1,527,527 260,919 Series 2130, Cl. SC, 17.914%, 3/15/29 4 1,485,208 154,520 Series 2796, Cl. SD, 26.12%, 7/15/26 4 2,291,564 250,069 - --------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 7.018%, 6/1/26 5 573,352 507,306 Series 217, Cl. PO, 8.479%, 1/1/32 5 660,331 570,048 - --------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Structured Pass- Through Securities, Collateralized Mtg. Obligations, Series T-42, Cl. A2, 5.50%, 2/25/42 1,529 1,528 - --------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 10/1/19 3 12,307,000 12,264,689 5%, 10/1/19-10/1/34 3 25,018,000 25,090,895 5.50%, 7/1/33-3/1/34 15,863,301 16,111,159 5.50%, 10/1/19-10/1/34 3 41,148,996 42,364,357 6%, 11/1/34 10,159,000 10,470,119 6.50%, 3/1/11 67,861 71,929 6.50%, 10/1/34 3 29,916,000 31,383,739 7%, 10/1/34 3 91,832,000 97,370,572 7%, 11/1/25-7/1/34 11,425,934 12,134,391 7.50%, 1/1/08-1/1/26 157,342 168,328 8%, 5/1/17 16,783 18,392 8.50%, 7/1/32 256,744 279,318 - --------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 131, Cl. G, 8.75%, 11/25/05 30,858 31,486 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 2,904,929 3,067,276 Trust 2001-70, Cl. LR, 6%, 9/25/30 1,320,958 1,353,210 Trust 2001-72, Cl. NH, 6%, 4/25/30 1,129,363 1,154,318 Trust 2001-74, Cl. PD, 6%, 5/25/30 474,147 483,119 Trust 2002-50, Cl. PD, 6%, 9/25/27 1,526,723 1,535,172 Trust 2002-77, Cl. WF, 2.211%, 12/18/32 2 1,657,451 1,662,668 Trust 2003-81, Cl. PA, 5%, 2/25/12 846,571 853,599 - --------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Trust 1989-17, Cl. E, 10.40%, 4/25/19 134,196 146,910 - --------------------------------------------------------------------------------------------------------------- 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 4 3,030,341 286,014 Trust 2002-51, Cl. S, 19.54%, 8/25/32 4 2,781,863 262,804 - --------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, (3.48)%, 6/1/23 4 4,153,306 721,499 Trust 240, Cl. 2, (2.32)%, 9/1/23 4 4,849,841 933,819 Trust 252, Cl. 2, (5.194)%, 11/1/23 4 3,367,409 685,647 Trust 254, Cl. 2, (2.401)%, 1/1/24 4 1,618,500 321,096 Trust 273, Cl. 2, (0.778)%, 7/1/26 4 1,010,032 189,897 Trust 303, Cl. IO, (14.58)%, 11/1/29 4 652,315 127,269 Trust 321, Cl. 2, (8.951)%, 3/1/32 4 6,762,212 1,330,057 Trust 334, Cl. 17, (47.305)%, 2/1/33 4 1,843,697 316,333 Trust 2001-81, Cl. S, 25.236%, 1/25/32 4 1,205,206 113,427 Trust 2002-52, Cl. SD, 14.934%, 9/25/32 4 3,581,187 351,330 Trust 2004-54, Cl. DS, 25.553%, 11/25/30 4 2,517,618 240,503 - --------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 10.115%, 9/25/23 5 1,100,228 964,148 --------------- 315,276,146 - --------------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 7%, 1/15/09-5/15/09 78,100 83,131 8.50%, 8/15/17-12/15/17 566,467 626,921 - --------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 21.331%, 1/16/27 4 2,259,822 229,110 Series 2002-15, Cl. SM, 15.334%, 2/16/32 4 2,672,138 263,198 Series 2004-11, Cl. SM, 18.135%, 1/17/30 4 2,157,447 207,188 --------------- 1,409,548 - --------------------------------------------------------------------------------------------------------------- PRIVATE--7.4% - --------------------------------------------------------------------------------------------------------------- COMMERCIAL--6.7% Asset Securitization Corp., Commercial Mtg. Pass- Through Certificates, Series 1996-MD6, Cl. A3, 7.689%, 11/13/29 2 1,200,000 1,315,347 - --------------------------------------------------------------------------------------------------------------- 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 4,120,052 4,250,091 Series 2004-8, Cl. 5A1, 6.50%, 9/25/34 3,200,000 3,301,000 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 2,436,459 2,442,026 Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 2,496,825 2,491,638 - --------------------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997- CTL1, 9.895%, 6/22/24 4 25,600,872 982,615 - --------------------------------------------------------------------------------------------------------------- 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 1,510,000 1,641,859 - --------------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Mtg. Pass- Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,201,363 1,295,372 - --------------------------------------------------------------------------------------------------------------- Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 6.47%, 2/18/30 4 20,339,083 659,015 - --------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 455,773 423,869 - --------------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-9, Cl. A3, 4.70%, 8/25/34 2,885,183 2,896,002 - --------------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass- Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 1,680,000 1,841,751 - --------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Interest- Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 8.217%, 5/18/32 4 385,675,252 1,655,472 - --------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage Backed Securities Trust, Collateralized Mtg. Obligations: Series 2004-N, Cl. A10, 3.803%, 8/25/34 1 4,313,170 4,326,648 Series 2004-W, Cl. A2, 4.677%, 11/27/34 3 2,630,000 2,647,567 --------------- 35,449,303 - --------------------------------------------------------------------------------------------------------------- OTHER--0.2% CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 953,196 953,123 - --------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI, Inc., Interest- Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 26.634%, 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, 10.294%, 10/23/17 5 38,562 35,648 --------------- 994,532 - --------------------------------------------------------------------------------------------------------------- RESIDENTIAL--0.5% Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,948,403 2,659,321 --------------- Total Mortgage-Backed Obligations (Cost $355,519,913) 355,788,850 - --------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--15.6% Federal Home Loan Mortgage Corp. Unsec. Nts.: 6.625%, 9/15/09 20,535,000 23,188,512 6.875%, 9/15/10 7,300,000 8,408,600 - --------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 2.50%, 6/15/06 3,400,000 3,389,484 3.01%, 6/2/06 5,500,000 5,512,518 3.125%, 7/15/06 7,120,000 7,174,596 5.50%, 2/15/06 21,170,000 22,020,547 7.25%, 5/15/30 6 2,375,000 2,988,949 - --------------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds, 7.125%, 5/1/30 1,850,000 2,296,760 - --------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 5.375%, 2/15/31 1,122,000 1,202,294 STRIPS, 8.37%, 2/15/13 7 7,605,000 5,369,921 - --------------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 4.25%, 8/15/14 903,000 912,736 --------------- Total U.S. Government Obligations (Cost $82,243,573) 82,464,917 - --------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--0.6% United Mexican States Nts., 7.50%, 1/14/12 (Cost $2,633,064) 2,610,000 2,947,995 - --------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--39.9% - --------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--10.9% - --------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--1.2% Delphi Automotive Systems Corp., 6.50% Nts., 5/1/09 3,195,000 3,375,891 - --------------------------------------------------------------------------------------------------------------- Lear Corp.: 7.96% Sr. Unsec. Nts., Series B, 5/15/05 1,170,000 1,206,684 8.11% Sr. Unsec. Nts., Series B, 5/15/09 1,327,000 1,533,646 --------------- 6,116,221 - --------------------------------------------------------------------------------------------------------------- AUTOMOBILES--2.8% American Honda Finance Corp., 3.85% Nts., 11/6/08 8 815,000 820,150 - --------------------------------------------------------------------------------------------------------------- DaimlerChrysler North America Holding Corp., 4.75% Unsec. Nts., 1/15/08 3,645,000 3,756,752 - --------------------------------------------------------------------------------------------------------------- Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 1,500,000 1,714,829 - --------------------------------------------------------------------------------------------------------------- Ford Motor Co., 8.90% Unsec. Unsub. Debs., 1/15/32 880,000 990,158 - --------------------------------------------------------------------------------------------------------------- General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 2,705,000 2,880,197 - --------------------------------------------------------------------------------------------------------------- Hertz Corp. (The), 6.35% Nts., 6/15/10 4,220,000 4,377,554 --------------- 14,539,640 - --------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--0.8% Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 1,025,000 1,136,469 - --------------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 2,785,000 3,008,961 --------------- 4,145,430 - --------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--1.1% Beazer Homes USA, Inc., 8.625% Sr. Unsec. Nts., 5/15/11 1,440,000 1,594,800 - --------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/15/11 1,330,000 1,492,925 - --------------------------------------------------------------------------------------------------------------- Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 1,250,000 1,324,108 - --------------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,440,000 1,603,800 --------------- 6,015,633 - --------------------------------------------------------------------------------------------------------------- MEDIA--3.7% Clear Channel Communications, Inc., 4.625% Sr. Unsec. Nts., 1/15/08 2,685,000 2,736,337 - --------------------------------------------------------------------------------------------------------------- Cox Communications, Inc., 6.40% Sr. Unsec. Nts., 8/1/08 1,805,000 1,896,885 - --------------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.50% Nts., 9/25/06 1,660,000 1,654,070 - --------------------------------------------------------------------------------------------------------------- TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 2,500,000 3,191,995 - --------------------------------------------------------------------------------------------------------------- Time Warner Cos., Inc., 9.125% Debs., 1/15/13 2,840,000 3,561,215 - --------------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 1,073,000 1,394,521 - --------------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 2.875% Sr. Unsec. Nts., 10/15/06 357,000 353,308 3.50% Sr. Unsec. Nts., 10/15/07 1,860,000 1,848,377 - --------------------------------------------------------------------------------------------------------------- Walt Disney Co. (The), 5.375% Sr. Unsec. Nts., 6/1/07 2,975,000 3,112,445 --------------- 19,749,153 - --------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--1.0% Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 1,785,000 1,959,236 - --------------------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc., 8% Nts., 3/1/10 2,640,000 3,019,500 - --------------------------------------------------------------------------------------------------------------- May Department Stores Co. (The), 3.95% Nts., 7/15/07 8 178,000 179,504 --------------- 5,158,240 - --------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.3% Gap, Inc. (The), 6.90% Nts., 9/15/07 1 1,635,000 1,786,238 - --------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--3.4% - --------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--2.1% Food Lion, Inc., 7.55% Nts., 4/15/07 1,815,000 1,977,584 - --------------------------------------------------------------------------------------------------------------- Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 4,300,000 4,792,793 - --------------------------------------------------------------------------------------------------------------- Safeway, Inc., 4.80% Sr. Unsec. Nts., 7/16/07 3,980,000 4,093,884 --------------- 10,864,261 - --------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--1.3% ConAgra Foods, Inc., 6% Nts., 9/15/06 1,320,000 1,389,161 - --------------------------------------------------------------------------------------------------------------- General Mills, Inc., 3.875% Nts., 11/30/07 2,070,000 2,093,052 - --------------------------------------------------------------------------------------------------------------- Kraft Foods, Inc., 5.25% Nts., 6/1/07 3,275,000 3,429,573 --------------- 6,911,786 - --------------------------------------------------------------------------------------------------------------- ENERGY--1.5% - --------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.1% Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 400,000 410,000 - --------------------------------------------------------------------------------------------------------------- OIL & GAS--1.4% Chesapeake Energy Corp., 7.50% Sr. Nts., 6/15/14 1,380,000 1,514,550 - --------------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 1,980,000 2,180,505 - --------------------------------------------------------------------------------------------------------------- Petroleos Mexicanos, 9.50% Sr. Sub. Nts., 9/15/27 1,730,000 2,111,465 - --------------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 8 1,558,714 1,529,090 --------------- 7,335,610 - --------------------------------------------------------------------------------------------------------------- FINANCIALS--10.3% - --------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--0.3% Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 33,000 33,532 - --------------------------------------------------------------------------------------------------------------- National City Bank, 6.20% Sub. Nts., 12/15/11 178,000 196,394 - --------------------------------------------------------------------------------------------------------------- SunTrust Banks, Inc.: 4% Nts., 10/15/08 1,370,000 1,389,875 7.75% Unsec. Sub. Nts., 5/1/10 123,000 144,496 --------------- 1,764,297 - --------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--3.8% Allstate Life Global Funding II, 3.50% Nts., 7/30/07 710,000 713,453 - --------------------------------------------------------------------------------------------------------------- American Express Centurion Bank, 4.375% Nts., 7/30/09 950,000 971,693 - --------------------------------------------------------------------------------------------------------------- CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 3,080,000 3,650,367 - --------------------------------------------------------------------------------------------------------------- Franklin Resources, Inc., 3.70% Nts., 4/15/08 1,430,000 1,434,204 - --------------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., 7% Nts., 2/1/08 1,660,000 1,833,309 - --------------------------------------------------------------------------------------------------------------- Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 262,000 286,884 - --------------------------------------------------------------------------------------------------------------- MBNA America Bank NA, 5.375% Nts., 1/15/08 2,050,000 2,151,145 - --------------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 4.125% Nts., 9/10/09 2,755,000 2,765,576 - --------------------------------------------------------------------------------------------------------------- Morgan Stanley, 6.60% Nts., 4/1/12 3,410,000 3,808,162 - --------------------------------------------------------------------------------------------------------------- Volkswagen Credit, Inc., 1.88% Nts., 7/21/05 2,8 2,695,000 2,695,148 --------------- 20,309,941 - --------------------------------------------------------------------------------------------------------------- INSURANCE--4.5% Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 8 520,000 530,344 - --------------------------------------------------------------------------------------------------------------- AXA, 8.60% Unsec. Sub. Nts., 12/15/30 2,520,000 3,271,792 - --------------------------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 1,185,000 1,172,498 - --------------------------------------------------------------------------------------------------------------- John Hancock Global Funding II, 7.90% Nts., 7/2/10 8 2,554,000 3,020,179 - --------------------------------------------------------------------------------------------------------------- Nationwide Financial Services, Inc., 5.90% Nts., 7/1/12 3,185,000 3,417,957 - --------------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 8 4,640,000 5,932,013 - --------------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 8 4,875,000 6,217,926 --------------- 23,562,709 - --------------------------------------------------------------------------------------------------------------- REAL ESTATE--1.7% iStar Financial, Inc.: 4.875% Sr. Unsec. Nts., Series B, 1/15/09 1,235,000 1,243,685 8.75% Sr. Unsec. Nts., 8/15/08 905,000 1,041,957 - --------------------------------------------------------------------------------------------------------------- Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 1,330,000 1,357,228 - --------------------------------------------------------------------------------------------------------------- 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 2,630,000 2,761,045 --------------- 9,048,415 - --------------------------------------------------------------------------------------------------------------- HEALTH CARE--1.2% - --------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.2% Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 2,730,000 2,894,952 - --------------------------------------------------------------------------------------------------------------- CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 3,195,000 3,500,522 --------------- 6,395,474 - --------------------------------------------------------------------------------------------------------------- INDUSTRIALS--3.6% - --------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.6% Boeing Capital Corp., 5.65% Sr. Unsec. Nts., 5/15/06 406,000 424,039 - --------------------------------------------------------------------------------------------------------------- McDonnell Douglas Corp., 6.875% Unsec. Unsub. Nts., 11/1/06 366,000 393,353 - --------------------------------------------------------------------------------------------------------------- Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 2,210,000 2,543,619 --------------- 3,361,011 - --------------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--0.6% FedEx Corp., 2.65% Unsec. Nts., 4/1/07 2,975,000 2,928,108 - --------------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.1% Green Star Products, Inc., 10.15% Bonds, 6/24/10 8 728,767 746,720 - --------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.8% Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 1,330,000 1,449,700 - --------------------------------------------------------------------------------------------------------------- Protection One, Inc./Protection One Alarm Monitoring, Inc., 7.375% Sr. Unsec. Nts., 8/15/05 300,000 298,875 - --------------------------------------------------------------------------------------------------------------- Waste Management, Inc.: 7% Sr. Nts., 7/15/28 920,000 1,021,236 7.375% Sr. Unsub. Nts., 8/1/10 1,185,000 1,369,488 --------------- 4,139,299 - --------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--1.0% Hutchison Whampoa International Ltd., 7.45% Sr. Bonds, 11/24/33 8 1,675,000 1,742,095 - --------------------------------------------------------------------------------------------------------------- Tyco International Group SA: 5.875% Unsec. Unsub. Nts., 11/1/04 312,000 312,831 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 1,895,000 1,981,736 6.75% Sr. Unsub. Nts., 2/15/11 975,000 1,098,399 --------------- 5,135,061 - --------------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.5% Canadian National Railway Co., 4.25% Nts., 8/1/09 358,000 362,892 - --------------------------------------------------------------------------------------------------------------- CSX Corp., 6.25% Unsec. Nts., 10/15/08 2,012,000 2,183,125 --------------- 2,546,017 - --------------------------------------------------------------------------------------------------------------- MATERIALS--0.2% - --------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.2% Weyerhaeuser Co., 5.50% Unsec. Unsub. Nts., 3/15/05 873,000 884,563 - --------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--3.4% - --------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.9% British Telecommunications plc: 7.875% Nts., 12/15/05 2,525,000 2,675,293 8.125% Nts., 12/15/10 215,000 259,582 - --------------------------------------------------------------------------------------------------------------- Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 989,000 1,092,845 - --------------------------------------------------------------------------------------------------------------- Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 2,630,000 3,155,940 - --------------------------------------------------------------------------------------------------------------- France Telecom SA: 8.20% Sr. Unsec. Nts., 3/1/06 2,070,000 2,212,012 9.25% Sr. Unsec. Nts., 3/1/31 2 1,150,000 1,529,199 - --------------------------------------------------------------------------------------------------------------- Sprint Capital Corp.: 7.125% Sr. Unsec. Nts., 1/30/06 1,345,000 1,418,702 8.75% Nts., 3/15/32 1,220,000 1,553,066 - --------------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 1,750,000 1,759,518 --------------- 15,656,157 - --------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.5% AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 2,395,000 2,640,159 - --------------------------------------------------------------------------------------------------------------- UTILITIES--5.4% - --------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--4.5% CenterPoint Energy, Inc.: 5.875% Sr. Nts., 6/1/08 2,425,000 2,533,582 8.125% Unsec. Nts., Series B, 7/15/05 530,000 551,767 - --------------------------------------------------------------------------------------------------------------- Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 397,000 402,678 - --------------------------------------------------------------------------------------------------------------- Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 3,390,000 4,021,513 - --------------------------------------------------------------------------------------------------------------- DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 725,000 762,673 - --------------------------------------------------------------------------------------------------------------- Duke Capital LLC, 5.668% Nts., 8/15/14 1,380,000 1,410,165 - --------------------------------------------------------------------------------------------------------------- FirstEnergy Corp., 5.50% Sr. Unsub. Nts., Series A, 11/15/06 2,760,000 2,874,369 - --------------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1,2 1,180,000 1,321,600 - --------------------------------------------------------------------------------------------------------------- MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 3,750,000 3,965,430 - --------------------------------------------------------------------------------------------------------------- Niagara Mohawk Power Corp., 5.375% Sr. Unsec. Nts., 10/1/04 1,110,000 1,110,000 - --------------------------------------------------------------------------------------------------------------- PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 1,575,000 1,689,188 - --------------------------------------------------------------------------------------------------------------- TECO Energy, Inc., 10.50% Sr. Unsec. Nts., 12/1/07 1,690,000 1,968,850 - --------------------------------------------------------------------------------------------------------------- Texas Utilities Co., 6.375% Sr. Unsec. Nts., Series C, 1/1/08 1,169,000 1,270,843 --------------- 23,882,658 - --------------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.9% NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 3,920,000 4,638,162 --------------- Total Corporate Bonds and Notes (Cost $202,208,273) 210,670,963 Units - --------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% Pathmark Stores, Inc. Wts., Exp. 9/19/10 9 (Cost $14,872) 5,408 1,352 Principal Amount - --------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--5.8% Deutsche Bank AG, COUNTS Corp. Sec. Credit Linked Nts., Series 2003-1, 3.318%, 1/7/05 1,2 $ 15,300,000 15,243,390 - --------------------------------------------------------------------------------------------------------------- UBS AG, High Grade Credit Linked Nts., 1.863%, 12/10/04 1 15,300,000 15,336,720 --------------- Total Structured Notes (Cost $30,600,000) 30,580,110 - --------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--2.7% Undivided interest of 7.31% in joint repurchase agreement (Principal Amount/Value $195,664,000, with a maturity value of $195,673,403) with DB Alex Brown LLC, 1.73%, dated 9/30/04, to be repurchased at $14,298,687 on 10/1/04, collateralized by U.S. Treasury Bonds, 6.25%--9.25%, 2/15/16--5/15/30, with a value of $182,065,645 and U.S. Treasury Nts., 3.375%, 1/15/07, with a value of $17,636,762 (Cost $14,298,000) 14,298,000 14,298,000 - --------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $783,571,714) 148.7% 785,697,100 - --------------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (48.7) (257,304,813) --------------------------------------------- Net Assets 100.0% $ 528,392,287 ============================================= Footnotes to Statement of Investments 1. Illiquid security. 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 $13,577,892 or 2.57% 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 $2,077,150 or 0.39% of the Fund's net assets as of September 30, 2004. 6. Securities with an aggregate market value of $2,517,010 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 12/20/04 661 $ 74,176,594 $ 1,226,601 U.S. Treasury Nts., 10 yr. 12/20/04 9 1,013,625 (8,719) ----------- 1,217,882 ----------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 12/30/04 728 153,778,625 339,458 U.S. Treasury Nts., 5 yr. 12/20/04 331 36,658,250 (22,948) ----------- 316,510 ----------- $ 1,534,392 =========== 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 $23,413,169 or 4.43% of the Fund's net assets as of September 30, 2004. 9. Non-income producing security. 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 $7,500,000 One-Month LIBOR less Value of total return of 1/1/05 $ 20,634 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 $784,817,751 ============= Gross unrealized appreciation $ 11,720,732 Gross unrealized depreciation (9,286,357) ------------- Net unrealized appreciation $ 2,434,375 ============= 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 rq630_11960ex99cert.txt RQ630_11960EX99CERT.TXT Exhibit 99.CERT CERTIFICATIONS I, JOHN V. MURPHY, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Bond 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 Bond 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-----