-----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, UVD6vtwg+mQazLGMOhgwVweXK69bH8+lI7UjeAS+Ptepol7kFcgDsqrDSTPHAM15 buL9XJOv3KzWW9SITEoEzA== 0000935069-04-002017.txt : 20041129 0000935069-04-002017.hdr.sgml : 20041129 20041129171906 ACCESSION NUMBER: 0000935069-04-002017 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: 041172553 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 rq640_11961nq.txt RQ640_11961NQ.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 High Income 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 High Income Fund/VA
Principal Amount Value - ------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--0.1% Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 1 (Cost $497,606) $ 500,000 $ 517,578 - ------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--0.0% First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates, Series 1997-CHL1, Cl. D, 7.856%, 4/29/39 1,2 300,000 309,188 - ------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-B, Cl. 1, 6.213%, 4/25/26 1,2 29,362 27,105 --------------- Total Mortgage-Backed Obligations (Cost $303,207) 336,293 - ------------------------------------------------------------------------------------------------------------------- LOAN PARTICIPATIONS--0.0% Telergy, Inc., Sr. Sec. Credit Facilities Term Loan Participation Nts., Tranche A, 1/1/02 1,3, 4 (Cost $966,644) 986,362 -- - ------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--75.1% - ------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--21.7% - ------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--2.1% Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 800,000 852,000 - ------------------------------------------------------------------------------------------------------------------- Collins & Aikman Products Co., 10.75% Sr. Nts., 12/31/11 157,000 157,785 - ------------------------------------------------------------------------------------------------------------------- Dana Corp.: 9% Unsec. Nts., 8/15/11 1,480,000 1,794,500 10.125% Nts., 3/15/10 500,000 570,000 - ------------------------------------------------------------------------------------------------------------------- Dura Operating Corp.: 8.625% Sr. Nts., Series B, 4/15/12 1,000,000 995,000 9% Sr. Sub. Nts., Series B, 5/1/09 [EUR] 100,000 110,685 9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 200,000 179,000 - ------------------------------------------------------------------------------------------------------------------- Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 1,200,000 1,230,000 - ------------------------------------------------------------------------------------------------------------------- Keystone Automotive Operations, Inc., 9.75% Sr. Unsec. Sub. Nts., 11/1/13 200,000 216,000 - ------------------------------------------------------------------------------------------------------------------- Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 1,300,000 1,502,441 - ------------------------------------------------------------------------------------------------------------------- Metaldyne Corp.: 10% Sr. Nts., 11/1/13 5 500,000 467,500 11% Sr. Sub. Nts., 6/15/12 750,000 600,000 - ------------------------------------------------------------------------------------------------------------------- Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 1,400,000 1,592,500 - ------------------------------------------------------------------------------------------------------------------- Tenneco Automotive, Inc., 10.25% Sr. Sec. Nts., Series B, 7/15/13 900,000 1,030,500 - ------------------------------------------------------------------------------------------------------------------- United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 400,000 433,000 - ------------------------------------------------------------------------------------------------------------------- Visteon Corp., 7% Sr. Unsec. Nts., 3/10/14 200,000 191,000 --------------- 11,921,911 - ------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--5.6% Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 1 940,000 841,300 - ------------------------------------------------------------------------------------------------------------------- Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 450,000 500,625 - ------------------------------------------------------------------------------------------------------------------- Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 800,000 896,000 - ------------------------------------------------------------------------------------------------------------------- Capital Gaming International, Inc., 11.50% Promissory Nts., 8/1/1995 1,3, 4 9,500 -- - ------------------------------------------------------------------------------------------------------------------- Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 875,000 951,563 - ------------------------------------------------------------------------------------------------------------------- Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 500,000 528,750 - ------------------------------------------------------------------------------------------------------------------- Hilton Hotels Corp.: 7.625% Nts., 5/15/08 400,000 450,000 7.625% Nts., 12/1/12 500,000 583,750 - ------------------------------------------------------------------------------------------------------------------- Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 1,000,000 1,030,000 - ------------------------------------------------------------------------------------------------------------------- Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 917,000 954,826 - ------------------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc.: 7% Sr. Unsec. Sub. Nts., 3/1/14 800,000 808,000 9% Sr. Sub. Nts., 3/15/12 600,000 669,000 - ------------------------------------------------------------------------------------------------------------------- John Q. Hammons Hotels, Inc., 8.875% Sr. Nts., Series B, 5/15/12 900,000 1,008,000 - ------------------------------------------------------------------------------------------------------------------- La Quinta Properties, Inc., 7% Sr. Nts., 8/15/12 5 500,000 529,375 - ------------------------------------------------------------------------------------------------------------------- Mandalay Resort Group, 10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 800,000 912,000 - ------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc.: 8.375% Sr. Unsec. Sub. Nts., 2/1/11 1,700,000 1,884,875 9.75% Sr. Unsec. Sub. Nts., 6/1/07 800,000 893,000 - ------------------------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority: 6.375% Sr. Sub. Nts., 7/15/09 800,000 834,000 8% Sr. Sub. Nts., 4/1/12 700,000 777,000 - ------------------------------------------------------------------------------------------------------------------- NCL Corp., 10.625% Sr. Nts., 7/15/14 5 600,000 631,500 - ------------------------------------------------------------------------------------------------------------------- Park Place Entertainment Corp.: 7.875% Sr. Sub. Nts., 3/15/10 1,500,000 1,702,500 9.375% Sr. Unsec. Sub. Nts., 2/15/07 1,500,000 1,676,250 - ------------------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc., 8.875% Sr. Sub. Nts., 3/15/10 600,000 660,750 - ------------------------------------------------------------------------------------------------------------------- Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 900,000 906,750 - ------------------------------------------------------------------------------------------------------------------- Prime Hospitality Corp., 8.375% Sr. Sub. Nts., 5/1/12 400,000 455,000 - ------------------------------------------------------------------------------------------------------------------- River Rock Entertainment LLC, 9.75% Sr. Nts., 11/1/11 1 200,000 211,500 - ------------------------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd., 8.75% Sr. Unsub. Nts., 2/2/11 600,000 703,500 - ------------------------------------------------------------------------------------------------------------------- Six Flags, Inc.: 8.875% Sr. Unsec. Nts., 2/1/10 400,000 377,000 9.625% Sr. Nts., 6/1/14 57,000 53,580 9.75% Sr. Nts., 4/15/13 1,000,000 950,000 - ------------------------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 1,500,000 1,704,375 - ------------------------------------------------------------------------------------------------------------------- Station Casinos, Inc.: 6.50% Sr. Unsec. Sub. Nts., 2/1/14 2,000,000 2,045,000 9.875% Sr. Unsec. Sub. Nts., 7/1/10 1 600,000 636,000 - ------------------------------------------------------------------------------------------------------------------- Sun International Hotels Ltd., 8.875% Sr. Unsec. Sub. Nts., 8/15/11 1,000,000 1,101,250 - ------------------------------------------------------------------------------------------------------------------- Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 1,000,000 1,170,000 - ------------------------------------------------------------------------------------------------------------------- Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 900,000 913,500 - ------------------------------------------------------------------------------------------------------------------- Venetian Casino Resort LLC/Las Vegas Sands, Inc., 11% Sec. Nts., 6/15/10 850,000 988,125 --------------- 31,938,644 - ------------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--1.9% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 500,000 555,000 - ------------------------------------------------------------------------------------------------------------------- Blount, Inc., 8.875% Sr. Sub. Nts., 8/1/12 775,000 827,313 - ------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 300,000 363,750 - ------------------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 800,000 898,000 - ------------------------------------------------------------------------------------------------------------------- KB Home: 8.625% Sr. Sub. Nts., 12/15/08 150,000 169,500 9.50% Sr. Unsec. Sub. Nts., 2/15/11 350,000 391,125 - ------------------------------------------------------------------------------------------------------------------- Meritage Corp., 9.75% Sr. Unsec. Nts., 6/1/11 1,200,000 1,353,000 - ------------------------------------------------------------------------------------------------------------------- Norcraft Cos. LP, 9% Sr. Sub. Nts., 11/1/11 5 300,000 328,500 - ------------------------------------------------------------------------------------------------------------------- Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 1,400,000 1,421,000 - ------------------------------------------------------------------------------------------------------------------- Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 700,000 808,500 - ------------------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 500,000 556,875 - ------------------------------------------------------------------------------------------------------------------- WCI Communities, Inc.: 9.125% Sr. Sub. Nts., 5/1/12 800,000 896,000 10.625% Sr. Unsec. Sub. Nts., 2/15/11 600,000 679,500 - ------------------------------------------------------------------------------------------------------------------- William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 1 800,000 928,000 - ------------------------------------------------------------------------------------------------------------------- Williams Scotsman, Inc., 9.875% Sr. Unsec. Nts., 6/1/07 1,000,000 962,500 --------------- 11,138,500 - ------------------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS--0.1% Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 1,100,000 1,050,500 - ------------------------------------------------------------------------------------------------------------------- MEDIA--9.6% Adelphia Communications Corp.: 7.875% Sr. Unsec. Nts., 5/1/09 3, 4 360,000 313,200 8.125% Sr. Nts., Series B, 7/15/03 3, 4 1,000,000 880,000 8.375% Sr. Nts., Series B, 2/1/08 3, 4 1,000,000 890,000 10.875% Sr. Unsec. Nts., 10/1/10 3, 4 1,000,000 925,000 - ------------------------------------------------------------------------------------------------------------------- Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 700,000 728,000 - ------------------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc.: 8% Sr. Sub. Nts., 3/1/14 5 1,050,000 992,250 9.50% Sr. Unsec. Sub. Nts., 2/1/11 1,192,000 1,230,740 - ------------------------------------------------------------------------------------------------------------------- American Media Operations, Inc.: 8.875% Sr. Unsec. Sub. Nts., 1/15/11 900,000 938,250 10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 600,000 634,500 - ------------------------------------------------------------------------------------------------------------------- Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 600,000 637,500 - ------------------------------------------------------------------------------------------------------------------- Cablevision Systems New York Group, 8% Sr. Nts., 4/15/12 5 500,000 525,000 - ------------------------------------------------------------------------------------------------------------------- CanWest Media, Inc., 7.625% Sr. Unsec. Sub. Nts., Series B, 4/15/13 300,000 324,000 - ------------------------------------------------------------------------------------------------------------------- Carmike Cinemas, Inc., 7.50% Sr. Sub. Nts., 2/15/14 850,000 864,875 - ------------------------------------------------------------------------------------------------------------------- CBD Media LLC/CBD Finance, Inc., 8.625% Sr. Sub. Nts., 6/1/11 200,000 212,500 - ------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings II LLC, 10.25% Sr. Unsec. Nts., 9/15/10 1,200,000 1,231,500 - ------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.: 0%/11.75% Sr. Unsec. Sub. Disc. Nts., 5/15/11 6 2,475,000 1,546,875 8.375% Sr. Nts., Second Lien, 4/30/14 5 1,500,000 1,498,125 8.625% Sr. Unsec. Nts., 4/1/09 400,000 313,000 11.125% Sr. Unsec. Nts., 1/15/11 600,000 489,000 - ------------------------------------------------------------------------------------------------------------------- Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 400,000 449,000 - ------------------------------------------------------------------------------------------------------------------- Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 6 1,800,000 1,246,500 - ------------------------------------------------------------------------------------------------------------------- Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 800,000 887,000 - ------------------------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 1,400,000 1,482,250 - ------------------------------------------------------------------------------------------------------------------- Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 800,000 924,000 - ------------------------------------------------------------------------------------------------------------------- Dex Media, Inc., 8% Unsec. Nts., 11/15/13 3,550,000 3,745,250 - ------------------------------------------------------------------------------------------------------------------- DirecTV Holdings LLC/DirecTV Financing Co., Inc., 8.375% Sr. Unsec. Nts., 3/15/13 3,400,000 3,884,500 - ------------------------------------------------------------------------------------------------------------------- Diva Systems Corp., 12.625% Sr. Unsec. Disc. Nts., Series B, 3/1/08 1, 3, 4 500,000 3,125 - ------------------------------------------------------------------------------------------------------------------- EchoStar DBS Corp.: 6.625% Sr. Nts., 10/1/14 5, 7 2,350,000 2,347,063 9.125% Sr. Nts., 1/15/09 1,895,000 2,117,663 - ------------------------------------------------------------------------------------------------------------------- Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 1,200,000 1,251,000 - ------------------------------------------------------------------------------------------------------------------- Entravision Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09 600,000 640,500 - ------------------------------------------------------------------------------------------------------------------- Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 1,257,000 1,169,010 - ------------------------------------------------------------------------------------------------------------------- Gray Television, Inc., 9.25% Sr. Sub. Nts., 12/15/11 500,000 563,750 - ------------------------------------------------------------------------------------------------------------------- Houghton Mifflin Co., 8.25% Sr. Unsec. Nts., 2/1/11 600,000 630,000 - ------------------------------------------------------------------------------------------------------------------- Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 200,000 216,000 - ------------------------------------------------------------------------------------------------------------------- LCE Acquisition Corp., 9% Sr. Sub. Nts., 8/1/14 5 875,000 907,813 - ------------------------------------------------------------------------------------------------------------------- Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 500,000 513,750 - ------------------------------------------------------------------------------------------------------------------- LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 400,000 438,000 - ------------------------------------------------------------------------------------------------------------------- Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 1,257,000 1,216,148 - ------------------------------------------------------------------------------------------------------------------- MediaNews Group, Inc.: 6.375% Sr. Sub. Nts., 4/1/14 1,400,000 1,386,000 6.875% Sr. Unsec. Sub. Nts., 10/1/13 500,000 518,750 - ------------------------------------------------------------------------------------------------------------------- News America Holdings, Inc., 8.875% Sr. Debs., 4/26/23 625,000 807,237 - ------------------------------------------------------------------------------------------------------------------- PanAmSat Corp., 9% Sr. Nts., 8/15/14 5 1,500,000 1,567,500 - ------------------------------------------------------------------------------------------------------------------- PRIMEDIA, Inc.: 8% Sr. Nts., 5/15/13 5 1,700,000 1,625,625 8.875% Sr. Unsec. Nts., 5/15/11 57,000 57,285 - ------------------------------------------------------------------------------------------------------------------- R.H. Donnelley Financial Corp. I: 8.875% Sr. Nts., 12/15/10 5 700,000 794,500 10.875% Sr. Sub. Nts., 12/15/12 5 1,000,000 1,217,500 - ------------------------------------------------------------------------------------------------------------------- Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 800,000 886,000 - ------------------------------------------------------------------------------------------------------------------- Rainbow National Services LLC: 8.75% Sr. Nts., 9/1/12 5 1,000,000 1,042,500 10.375% Sr. Sub. Nts., 9/1/14 5 1,000,000 1,052,500 - ------------------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 1,600,000 1,668,000 - ------------------------------------------------------------------------------------------------------------------- Spanish Broadcasting System, Inc., 9.625% Sr. Unsec. Sub. Nts., 11/1/09 600,000 631,500 - ------------------------------------------------------------------------------------------------------------------- Vertis, Inc.: 9.75% Sr. Sec. Nts., 4/1/09 500,000 540,000 10.875% Sr. Unsec. Nts., Series B, 6/15/09 650,000 702,000 - ------------------------------------------------------------------------------------------------------------------- WRC Media, Inc./Weekly Reader Corp./CompassLearning, Inc., 12.75% Sr. Sub. Nts., 11/15/09 1,100,000 1,006,500 --------------- 55,310,034 - ------------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.1% Saks, Inc.: 8.25% Sr. Unsec. Nts., 11/15/08 250,000 276,250 9.875% Nts., 10/1/11 300,000 358,500 --------------- 634,750 - ------------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--1.6% Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 600,000 636,000 - ------------------------------------------------------------------------------------------------------------------- Atlantic Broadband Finance LLC, 9.375% Sr. Sub. Nts., 1/15/14 5 500,000 476,250 - ------------------------------------------------------------------------------------------------------------------- AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 1,200,000 1,386,000 - ------------------------------------------------------------------------------------------------------------------- Building Materials Corp. of America: 7.75% Sr. Nts., 8/1/14 5 800,000 796,000 8% Sr. Nts., 12/1/08 300,000 309,750 - ------------------------------------------------------------------------------------------------------------------- CSK Auto, Inc., 7% Sr. Unsec. Nts., 1/15/14 800,000 778,000 - ------------------------------------------------------------------------------------------------------------------- Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 1 400,000 402,000 - ------------------------------------------------------------------------------------------------------------------- Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 6/1/12 5 800,000 864,000 - ------------------------------------------------------------------------------------------------------------------- Hollywood Entertainment Corp., 9.625% Sr. Sub. Nts., 3/15/11 300,000 322,500 - ------------------------------------------------------------------------------------------------------------------- Jean Coutu Group (PJC), Inc. (The): 7.625% Sr. Nts., 8/1/12 5 650,000 664,625 8.50% Sr. Sub. Nts., 8/1/14 5 1,100,000 1,097,250 - ------------------------------------------------------------------------------------------------------------------- Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 750,000 873,750 - ------------------------------------------------------------------------------------------------------------------- Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 350,000 364,000 --------------- 8,970,125 - ------------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--0.7% Invista, Inc., 9.25% Sr. Nts., 5/1/12 5 1,400,000 1,501,500 - ------------------------------------------------------------------------------------------------------------------- Levi Strauss & Co.: 7% Unsec. Nts., 11/1/06 800,000 804,000 11.625% Sr. Unsec. Nts., 1/15/08 100,000 103,750 12.25% Sr. Nts., 12/15/12 300,000 318,750 - ------------------------------------------------------------------------------------------------------------------- Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 5 500,000 545,000 - ------------------------------------------------------------------------------------------------------------------- Russell Corp., 9.25% Sr. Nts., 5/1/10 600,000 654,000 --------------- 3,927,000 - ------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--3.2% - ------------------------------------------------------------------------------------------------------------------- BEVERAGES--0.1% Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 500,000 551,250 - ------------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.3% Great Atlantic & Pacific Tea Co., Inc. (The), 9.125% Sr. Nts., 12/15/11 457,000 351,890 - ------------------------------------------------------------------------------------------------------------------- Ingles Markets, Inc., 8.875% Sr. Unsec. Sub. Nts., 12/1/11 57,000 61,703 - ------------------------------------------------------------------------------------------------------------------- Real Time Data Co., 13% Disc. Nts., 5/31/09 1, 3, 4, 8 476,601 -- - ------------------------------------------------------------------------------------------------------------------- Rite Aid Corp.: 8.125% Sr. Sec. Nts., 5/1/10 900,000 949,500 9.50% Sr. Sec. Nts., 2/15/11 450,000 497,250 --------------- 1,860,343 - ------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--2.2% American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 500,000 535,000 - ------------------------------------------------------------------------------------------------------------------- Burns Philp Capital Property Ltd., 9.75% Sr. Unsec. Sub. Nts., 7/15/12 400,000 430,000 - ------------------------------------------------------------------------------------------------------------------- Chiquita Brands International, Inc., 7.50% Sr. Nts., 11/1/14 5 300,000 301,500 - ------------------------------------------------------------------------------------------------------------------- Del Monte Corp.: 8.625% Sr. Sub. Nts., 12/15/12 1,000,000 1,117,500 9.25% Sr. Unsec. Sub. Nts., 5/15/11 100,000 110,500 - ------------------------------------------------------------------------------------------------------------------- Doane Pet Care Co.: 9.75% Sr. Unsec. Sub. Nts., 5/15/07 400,000 385,000 10.75% Sr. Nts., 3/1/10 1,100,000 1,179,750 - ------------------------------------------------------------------------------------------------------------------- Dole Food Co., Inc.: 8.625% Sr. Nts., 5/1/09 900,000 985,500 8.875% Sr. Unsec. Nts., 3/15/11 400,000 437,000 - ------------------------------------------------------------------------------------------------------------------- Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 1 600,000 639,000 - ------------------------------------------------------------------------------------------------------------------- Pinnacle Foods Holding Corp.: 8.25% Sr. Sub. Nts., 12/1/13 5 500,000 473,750 8.25% Sr. Sub. Nts., 12/1/13 5 600,000 568,500 - ------------------------------------------------------------------------------------------------------------------- Smithfield Foods, Inc.: 7.625% Sr. Unsec. Sub. Nts., 2/15/08 925,000 992,063 8% Sr. Nts., Series B, 10/15/09 900,000 996,750 - ------------------------------------------------------------------------------------------------------------------- Swift & Co., 10.125% Sr. Nts., 10/1/09 1,000,000 1,102,500 - ------------------------------------------------------------------------------------------------------------------- Tembec Industries, Inc.: 7.75% Sr. Nts., 3/15/12 700,000 707,000 8.50% Sr. Unsec. Nts., 2/1/11 57,000 59,850 - ------------------------------------------------------------------------------------------------------------------- United Biscuits Finance plc, 10.625% Sr. Sub. Nts., 4/15/11 [EUR] 1,000,000 1,330,705 --------------- 12,351,868 - ------------------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.6% AKI, Inc., 10.50% Sr. Unsec. Nts., 7/1/08 1,000,000 1,033,750 - ------------------------------------------------------------------------------------------------------------------- Armkel LLC/Armkel Finance, Inc., 9.50% Sr. Sub. Nts., 8/15/09 1 600,000 657,000 - ------------------------------------------------------------------------------------------------------------------- Playtex Products, Inc.: 8% Sr. Sec. Nts., 3/1/11 1,000,000 1,065,000 9.375% Sr. Unsec. Sub. Nts., 6/1/11 700,000 721,000 --------------- 3,476,750 - ------------------------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS--0.0% Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 300,000 316,500 - ------------------------------------------------------------------------------------------------------------------- ENERGY--7.5% - ------------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--1.4% BRL Universal Equipment Corp., 8.875% Sr. Sec. Nts., 2/15/08 750,000 802,500 - ------------------------------------------------------------------------------------------------------------------- Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 400,000 442,000 - ------------------------------------------------------------------------------------------------------------------- Grant Prideco, Inc., 9% Sr. Unsec. Nts., 12/15/09 300,000 336,750 - ------------------------------------------------------------------------------------------------------------------- Hanover Compress Co., 8.625% Sr. Nts., 12/15/10 700,000 763,000 - ------------------------------------------------------------------------------------------------------------------- Hanover Equipment Trust 2001A, 8.50% Sr. Sec. Nts., Series A, 9/1/08 500,000 540,000 - ------------------------------------------------------------------------------------------------------------------- Hornbeck-Leevac Marine Services, Inc., 10.625% Sr. Nts., 8/1/08 1,750,000 1,938,125 - ------------------------------------------------------------------------------------------------------------------- Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 1,600,000 1,640,000 - ------------------------------------------------------------------------------------------------------------------- Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 600,000 648,000 - ------------------------------------------------------------------------------------------------------------------- Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 800,000 852,000 --------------- 7,962,375 - ------------------------------------------------------------------------------------------------------------------- OIL & GAS--6.1% ANR Pipeline Co., 8.875% Sr. Nts., 3/15/10 400,000 452,000 - ------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp.: 6.875% Sr. Unsec. Nts., 1/15/16 1,120,000 1,176,000 8.375% Sr. Unsec. Nts., 11/1/08 1,000,000 1,095,000 9% Sr. Nts., 8/15/12 300,000 344,250 - ------------------------------------------------------------------------------------------------------------------- El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 2,257,000 2,251,358 - ------------------------------------------------------------------------------------------------------------------- El Paso Energy Corp., 7.625% Nts., 7/15/11 350,000 346,500 - ------------------------------------------------------------------------------------------------------------------- El Paso Energy Partners LP, 8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/11 469,000 529,384 - ------------------------------------------------------------------------------------------------------------------- El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 2,000,000 2,015,000 - ------------------------------------------------------------------------------------------------------------------- Enterprise Products Operating LP, 5.60% Sr. Nts., 10/15/14 5, 7 800,000 807,618 - ------------------------------------------------------------------------------------------------------------------- EXCO Resources, Inc., 7.25% Sr. Nts., 1/15/11 800,000 852,000 - ------------------------------------------------------------------------------------------------------------------- Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 1,000,000 1,092,500 - ------------------------------------------------------------------------------------------------------------------- Frontier Oil Corp.: 6.625% Sr. Nts., 10/1/11 5, 7 450,000 457,875 11.75% Sr. Nts., 11/15/09 800,000 857,000 - ------------------------------------------------------------------------------------------------------------------- GulfTerra Energy Partners LP: 8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/10 360,000 420,750 10.625% Sr. Sub. Nts., 12/1/12 1 469,000 590,940 - ------------------------------------------------------------------------------------------------------------------- Newfield Exploration Co.: 6.625% Sr. Unsec. Sub. Nts., 9/1/14 5 1,300,000 1,361,750 8.375% Sr. Sub. Nts., 8/15/12 600,000 678,000 - ------------------------------------------------------------------------------------------------------------------- Pioneer Natural Resources Co., 5.875% Sr. Unsec. Nts., 7/15/16 1,000,000 1,045,788 - ------------------------------------------------------------------------------------------------------------------- Plains Exploration & Production Co., 7.125% Sr. Nts., 6/15/14 5 600,000 646,500 - ------------------------------------------------------------------------------------------------------------------- Premcor Refining Group, Inc.: 6.75% Sr. Nts., 5/1/14 700,000 728,000 9.50% Sr. Nts., 2/1/13 1,000,000 1,182,500 - ------------------------------------------------------------------------------------------------------------------- Range Resources Corp., 7.375% Sr. Sub. Nts., 7/15/13 400,000 422,000 - ------------------------------------------------------------------------------------------------------------------- Southern Natural Gas Co.: 7.35% Nts., 2/15/31 600,000 595,500 8% Sr. Unsub. Nts., 3/1/32 900,000 933,750 8.875% Sr. Nts., 3/15/10 700,000 791,000 - ------------------------------------------------------------------------------------------------------------------- Stone Energy Corp., 8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,600,000 1,732,000 - ------------------------------------------------------------------------------------------------------------------- Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 575,000 653,344 - ------------------------------------------------------------------------------------------------------------------- Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 2,915,000 3,038,888 - ------------------------------------------------------------------------------------------------------------------- Tesoro Petroleum Corp.: 8% Sr. Sec. Nts., 4/15/08 1,000,000 1,085,000 9.625% Sr. Sub. Nts., 4/1/12 557,000 647,513 - ------------------------------------------------------------------------------------------------------------------- Transcontinental Gas Pipe Line Corp.: 6.125% Nts., 1/15/05 1 200,000 202,250 8.875% Sr. Unsub. Nts., Series B, 7/15/12 200,000 244,250 - ------------------------------------------------------------------------------------------------------------------- Whiting Petroleum Corp., 7.25% Sr. Sub. Nts., 5/1/12 800,000 812,000 - ------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The): 7.125% Nts., 9/1/11 2,850,000 3,142,125 7.625% Nts., 7/15/19 200,000 220,000 - ------------------------------------------------------------------------------------------------------------------- Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1 300,000 316,500 - ------------------------------------------------------------------------------------------------------------------- XTO Energy, Inc., 7.50% Sr. Nts., 4/15/12 1,000,000 1,176,521 --------------- 34,943,354 - ------------------------------------------------------------------------------------------------------------------- FINANCIALS--1.8% - ------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.9% American Color Graphics, Inc., 10% Sr. Sec. Nts., 6/15/10 400,000 310,000 - ------------------------------------------------------------------------------------------------------------------- BCP Caylux Holdings Luxembourg SCA, 9.625% Sr. Sub. Nts., 6/15/14 5 1,900,000 2,061,500 - ------------------------------------------------------------------------------------------------------------------- Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 1,600,000 1,816,000 - ------------------------------------------------------------------------------------------------------------------- DeCrane Aircraft Holdings, Inc., 12% Sr. Unsec. Sub. Nts., Series B, 9/30/08 1,550,000 1,015,250 --------------- 5,202,750 - ------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--0.2% Bank Plus Corp., 12% Sr. Nts., 7/18/07 517,000 555,775 - ------------------------------------------------------------------------------------------------------------------- Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 400,000 454,000 --------------- 1,009,775 - ------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--0.2% Global Cash Access LLC/Global Cash Finance Corp., 8.75% Sr. Sub. Nts., 3/15/12 5 575,000 612,375 - ------------------------------------------------------------------------------------------------------------------- Jostens IH Corp., 7.625% Sr. Sub. Nts., 10/1/12 1, 7 500,000 505,000 --------------- 1,117,375 - ------------------------------------------------------------------------------------------------------------------- INSURANCE--0.0% Leap Wireless International, Inc.: 4/1/27, Escrow Shares 9 400,000 16,000 4/1/27, Escrow Shares 9 400,000 13,000 --------------- 29,000 - ------------------------------------------------------------------------------------------------------------------- REAL ESTATE--0.5% American Casino & Entertainment Properties LLC, 7.85% Sr. Sec. Nts., 2/1/12 5 800,000 844,000 - ------------------------------------------------------------------------------------------------------------------- Felcor Lodging LP: 9% Sr. Nts., 6/1/11 837,000 924,885 10% Sr. Unsec. Nts., 9/15/08 28,000 29,540 - ------------------------------------------------------------------------------------------------------------------- HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 441,000 455,884 - ------------------------------------------------------------------------------------------------------------------- MeriStar Hospitality Corp.: 9.125% Sr. Unsec. Nts., 1/15/11 457,000 480,993 10.50% Sr. Unsec. Nts., 6/15/09 350,000 385,000 --------------- 3,120,302 - ------------------------------------------------------------------------------------------------------------------- HEALTH CARE--5.4% - ------------------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.1% Polypore, Inc., 8.75% Sr. Sub. Nts., 5/15/12 5 800,000 834,000 - ------------------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.8% Dade Behring Holdings, Inc., 11.91% Sr. Unsec. Sub. Nts., 10/3/10 181,000 206,793 - ------------------------------------------------------------------------------------------------------------------- Fisher Scientific International, Inc., 8.125% Sr. Sub. Nts., 5/1/12 782,000 875,840 - ------------------------------------------------------------------------------------------------------------------- HMP Equity Holdings Corp., 23.04% Sr. Disc. Nts., 5/15/08 1, 10 1,000,000 635,000 - ------------------------------------------------------------------------------------------------------------------- Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 5 600,000 606,000 - ------------------------------------------------------------------------------------------------------------------- Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 1 700,000 761,250 - ------------------------------------------------------------------------------------------------------------------- Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 1 800,000 816,000 - ------------------------------------------------------------------------------------------------------------------- Vanguard Health Holding II, Inc., 9% Sr. Sub. Nts., 10/1/14 5 438,000 441,285 --------------- 4,342,168 - ------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--4.4% Alderwoods Group, Inc., 7.75% Sr. Nts., 9/15/12 5 950,000 1,009,375 - ------------------------------------------------------------------------------------------------------------------- AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 700,000 717,500 - ------------------------------------------------------------------------------------------------------------------- Beverly Enterprises, Inc., 7.875% Sr. Sub. Nts., 6/15/14 5 600,000 645,000 - ------------------------------------------------------------------------------------------------------------------- Extendicare Health Services, Inc.: 6.875% Sr. Sub. Nts., 5/1/14 600,000 615,000 9.50% Sr. Unsec. Sub. Nts., 7/1/10 500,000 563,750 - ------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 1,600,000 1,752,000 - ------------------------------------------------------------------------------------------------------------------- Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 400,000 438,000 - ------------------------------------------------------------------------------------------------------------------- HCA, Inc.: 6.30% Sr. Unsec. Nts., 10/1/12 1,100,000 1,142,231 7.875% Sr. Nts., 2/1/11 305,000 345,365 8.75% Sr. Nts., 9/1/10 400,000 469,428 - ------------------------------------------------------------------------------------------------------------------- HealthSouth Corp.: 7.625% Nts., 6/1/12 1,000,000 972,500 10.75% Sr. Unsec. Sub. Nts., 10/1/08 357,000 372,619 - ------------------------------------------------------------------------------------------------------------------- InSight Health Services Corp., 9.875% Sr. Sub. Nts., 11/1/11 500,000 502,500 - ------------------------------------------------------------------------------------------------------------------- Magellan Health Services, Inc., 9.375% Sr. Unsec. Nts., Series A, 11/15/08 1,867,643 2,031,062 - ------------------------------------------------------------------------------------------------------------------- Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 700,000 801,500 - ------------------------------------------------------------------------------------------------------------------- National Nephrology Assn., 9% Sr. Sub. Nts., 11/1/11 5 200,000 232,250 - ------------------------------------------------------------------------------------------------------------------- NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 600,000 658,500 - ------------------------------------------------------------------------------------------------------------------- PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 714,000 826,455 - ------------------------------------------------------------------------------------------------------------------- Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 600,000 639,000 - ------------------------------------------------------------------------------------------------------------------- Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 600,000 645,000 - ------------------------------------------------------------------------------------------------------------------- Stewart Enterprises, Inc., 10.75% Sr. Unsec. Sub. Nts., 7/1/08 1,800,000 1,998,000 - ------------------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp.: 6.375% Sr. Nts., 12/1/11 1,660,000 1,498,150 7.375% Nts., 2/1/13 57,000 53,865 9.875% Sr. Nts., 7/1/14 5 800,000 840,000 - ------------------------------------------------------------------------------------------------------------------- Triad Hospitals, Inc.: 7% Sr. Nts., 5/15/12 900,000 945,000 7% Sr. Sub. Nts., 11/15/13 1,920,000 1,963,200 - ------------------------------------------------------------------------------------------------------------------- US Oncology, Inc.: 9% Sr. Nts., 8/15/12 5 650,000 676,000 10.75% Sr. Sub. Nts., 8/15/14 5 650,000 671,125 - ------------------------------------------------------------------------------------------------------------------- Vicar Operating, Inc., 9.875% Sr. Sub. Nts., 12/1/09 1,000,000 1,110,000 --------------- 25,134,375 - ------------------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.1% Valeant Pharmaceuticals International, Inc., 7% Sr. Nts., 12/15/11 800,000 814,000 - ------------------------------------------------------------------------------------------------------------------- INDUSTRIALS--7.9% - ------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--1.0% Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 900,000 985,500 - ------------------------------------------------------------------------------------------------------------------- BE Aerospace, Inc.: 8% Sr. Unsec. Sub. Nts., Series B, 3/1/08 300,000 297,750 8.875% Sr. Unsec. Sub. Nts., 5/1/11 57,000 57,998 - ------------------------------------------------------------------------------------------------------------------- K&F Industries, Inc., 9.625% Sr. Unsec. Sub. Nts., 12/15/10 300,000 335,250 - ------------------------------------------------------------------------------------------------------------------- L-3 Communications Holdings, Inc., 7.625% Sr. Sub. Nts., 6/15/12 800,000 884,000 - ------------------------------------------------------------------------------------------------------------------- Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 1 700,000 794,500 - ------------------------------------------------------------------------------------------------------------------- TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 800,000 860,000 - ------------------------------------------------------------------------------------------------------------------- TRW Automotive, Inc.: 9.375% Sr. Nts., 2/15/13 580,000 665,550 11% Sr. Sub. Nts., 2/15/13 454,000 542,530 - ------------------------------------------------------------------------------------------------------------------- Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 300,000 289,500 --------------- 5,712,578 - ------------------------------------------------------------------------------------------------------------------- AIRLINES--0.3% America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 1,000,000 986,250 - ------------------------------------------------------------------------------------------------------------------- ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 2 1,575,000 567,000 --------------- 1,553,250 - ------------------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.4% Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 700,000 806,750 - ------------------------------------------------------------------------------------------------------------------- Green Star Products, Inc., 10.15% Bonds, 6/24/10 5 303,652 311,133 - ------------------------------------------------------------------------------------------------------------------- Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 544,000 603,840 - ------------------------------------------------------------------------------------------------------------------- North America Energy Partners, Inc., 8.75% Sr. Unsec. Nts., 12/1/11 5 300,000 294,000 --------------- 2,015,723 - ------------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--3.1% Allied Waste North America, Inc.: 7.375% Sr. Sec. Nts., Series B, 4/15/14 300,000 290,250 7.875% Sr. Nts., 4/15/13 2,000,000 2,120,000 8.50% Sr. Sub. Nts., 12/1/08 1,000,000 1,090,000 8.875% Sr. Nts., Series B, 4/1/08 1,500,000 1,635,000 9.25% Sr. Sec. Debs., Series B, 9/1/12 1,700,000 1,899,750 - ------------------------------------------------------------------------------------------------------------------- American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 1, 3, 4 200,000 -- - ------------------------------------------------------------------------------------------------------------------- Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 1,600,000 1,568,000 - ------------------------------------------------------------------------------------------------------------------- Coinmach Corp., 9% Sr. Nts., 2/1/10 800,000 834,000 - ------------------------------------------------------------------------------------------------------------------- Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 1 350,000 341,250 - ------------------------------------------------------------------------------------------------------------------- Corrections Corp. of America: 7.50% Sr. Nts., 5/1/11 500,000 530,625 9.875% Sr. Nts., 5/1/09 500,000 560,625 - ------------------------------------------------------------------------------------------------------------------- Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 1 250,000 253,125 - ------------------------------------------------------------------------------------------------------------------- Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 576,000 586,800 - ------------------------------------------------------------------------------------------------------------------- Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 700,000 773,500 - ------------------------------------------------------------------------------------------------------------------- Protection One, Inc./Protection One Alarm Monitoring, Inc., 7.375% Sr. Unsec. Nts., 8/15/05 900,000 896,625 - ------------------------------------------------------------------------------------------------------------------- Stericycle, Inc., 12.375% Sr. Unsec. Sub. Nts., Series B, 11/15/09 488,000 534,360 - ------------------------------------------------------------------------------------------------------------------- Synagro Technologies, Inc., 9.50% Sr. Sub. Nts., 4/1/09 700,000 752,500 - ------------------------------------------------------------------------------------------------------------------- United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 2,100,000 1,874,250 - ------------------------------------------------------------------------------------------------------------------- Waste Management, Inc., 6.375% Sr. Nts., 11/15/12 800,000 885,764 - ------------------------------------------------------------------------------------------------------------------- Waste Services, Inc., 9.50% Sr. Sub. Nts., 4/15/14 5 600,000 573,000 --------------- 17,999,424 - ------------------------------------------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING--0.1% Integrated Electrical Services, Inc.: 9.375% Sr. Sub. Nts., Series B, 2/1/09 45,000 44,325 9.375% Sr. Sub. Nts., Series C, 2/1/09 100,000 98,500 - ------------------------------------------------------------------------------------------------------------------- URS Corp., 11.50% Sr. Unsec. Nts., 9/15/09 455,000 525,525 --------------- 668,350 - ------------------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--0.3% Belden & Blake Corp., 8.75% Sr. Sec. Nts., 7/15/12 5 650,000 695,500 - ------------------------------------------------------------------------------------------------------------------- Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 100,000 98,500 - ------------------------------------------------------------------------------------------------------------------- General Cable Corp., 9.50% Sr. Nts., 11/15/10 500,000 557,500 - ------------------------------------------------------------------------------------------------------------------- Riverside Forest Products Ltd., 7.875% Sr. Unsec. Sub. Nts., 3/1/14 600,000 639,000 --------------- 1,990,500 - ------------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.3% Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 550,000 478,500 - ------------------------------------------------------------------------------------------------------------------- Norse CBO Ltd., 9.342% Sub. Bonds, Series 1A, Cl. C2, 8/13/10 1 1,500,000 1,380,000 --------------- 1,858,500 - ------------------------------------------------------------------------------------------------------------------- MACHINERY--1.5% AGCO Corp., 9.50% Sr. Unsec. Nts., 5/1/08 1 1,000,000 1,085,000 - ------------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The): 7.125% Sr. Nts., 11/1/13 150,000 159,375 10.50% Sr. Sub. Nts., 8/1/12 1 800,000 926,000 - ------------------------------------------------------------------------------------------------------------------- Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 5 1,200,000 1,278,000 - ------------------------------------------------------------------------------------------------------------------- Navistar International Corp., 7.50% Sr. Nts., 6/15/11 800,000 858,000 - ------------------------------------------------------------------------------------------------------------------- NMHG Holding Co., 10% Sr. Nts., 5/15/09 600,000 663,000 - ------------------------------------------------------------------------------------------------------------------- SPX Corp., 7.50% Sr. Nts., 1/1/13 900,000 919,125 - ------------------------------------------------------------------------------------------------------------------- Terex Corp.: 7.375% Sr. Unsec. Sub. Nts., 1/15/14 500,000 527,500 9.25% Sr. Unsec. Sub. Nts., 7/15/11 800,000 900,000 10.375% Sr. Unsec. Sub. Nts., Series B, 4/1/11 500,000 567,500 - ------------------------------------------------------------------------------------------------------------------- Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 1 600,000 594,000 --------------- 8,477,500 - ------------------------------------------------------------------------------------------------------------------- MARINE--0.3% CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 1,000,000 1,150,000 - ------------------------------------------------------------------------------------------------------------------- Millenium Seacarriers, Inc., 12% Sr. Sec. Nts., 7/15/05 1, 3, 4 700,000 16,870 - ------------------------------------------------------------------------------------------------------------------- Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 1, 3, 4 1,000,000 655,000 - ------------------------------------------------------------------------------------------------------------------- Pacific & Atlantic Holdings, Inc., 3.75% Sec. Nts., 12/31/07 5 429,249 186,552 --------------- 2,008,422 - ------------------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.4% Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 500,000 513,750 - ------------------------------------------------------------------------------------------------------------------- Stena AB: 7.50% Sr. Unsec. Nts., 11/1/13 928,000 933,800 9.625% Sr. Nts., 12/1/12 600,000 672,750 --------------- 2,120,300 - ------------------------------------------------------------------------------------------------------------------- TRANSPORTATION INFRASTRUCTURE--0.2% Horizon Lines LLC, 9% Nts., 11/1/12 5 600,000 636,000 - ------------------------------------------------------------------------------------------------------------------- Worldspan LP/Worldspan Financial Corp., 9.625% Sr. Nts., 6/15/11 550,000 501,875 --------------- 1,137,875 - ------------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--1.8% - ------------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.1% Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 1, 3, 4 1,150,000 563,500 - ------------------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.1% Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 700,000 749,000 - ------------------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.4% Ingram Micro, Inc., 9.875% Sr. Unsec. Sub. Nts., 8/15/08 1,200,000 1,318,500 - ------------------------------------------------------------------------------------------------------------------- Sensus Metering System, Inc., 8.625% Sr. Unsec. Sub. Nts., 12/15/13 1,000,000 1,025,000 --------------- 2,343,500 - ------------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.1% Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 1, 3, 4 [EUR] 846,550 10,528 - ------------------------------------------------------------------------------------------------------------------- Globix Corp., 11% Sr. Nts., 5/1/08 1 71,480 66,119 - ------------------------------------------------------------------------------------------------------------------- NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 1, 3, 4 240,208 -- - ------------------------------------------------------------------------------------------------------------------- PSINet, Inc.: 10.50% Sr. Unsec. Nts., 12/1/06 1, 3, 4 [EUR] 1,000,000 48,969 11% Sr. Nts., 8/1/09 1, 3, 4 901,558 60,855 - ------------------------------------------------------------------------------------------------------------------- Verado Holdings, Inc., 13% Sr. Disc. Nts., 4/15/08 1, 3, 4 500,000 50 --------------- 186,521 - ------------------------------------------------------------------------------------------------------------------- IT SERVICES--0.5% Iron Mountain, Inc.: 7.75% Sr. Sub. Nts., 1/15/15 500,000 532,500 8.625% Sr. Unsec. Sub. Nts., 4/1/13 1,600,000 1,744,000 - ------------------------------------------------------------------------------------------------------------------- Titan Corp. (The), 8% Sr. Sub. Nts., 5/15/11 400,000 418,000 --------------- 2,694,500 - ------------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.6% AMI Semiconductor, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/1/13 1 682,000 797,940 - ------------------------------------------------------------------------------------------------------------------- Amkor Technology, Inc.: 7.75% Sr. Nts., 5/15/13 300,000 247,500 9.25% Sr. Unsec. Sub. Nts., 2/15/08 1,000,000 935,000 - ------------------------------------------------------------------------------------------------------------------- ChipPAC International Co. Ltd., 12.75% Sr. Unsec. Sub. Nts., Series B, 8/1/09 1 500,000 531,875 - ------------------------------------------------------------------------------------------------------------------- Freescale Semiconductor, Inc., 7.125% Sr. Nts., 7/15/14 5 1,000,000 1,045,000 --------------- 3,557,315 - ------------------------------------------------------------------------------------------------------------------- MATERIALS--11.3% - ------------------------------------------------------------------------------------------------------------------- CHEMICALS--3.7% Avecia Group plc, 11% Sr. Unsec. Nts., 7/1/09 200,000 177,000 - ------------------------------------------------------------------------------------------------------------------- ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 250,000 102,500 - ------------------------------------------------------------------------------------------------------------------- Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 1,200,000 1,350,000 - ------------------------------------------------------------------------------------------------------------------- Crompton Corp., 9.875% Sr. Nts., 8/1/12 5 800,000 844,000 - ------------------------------------------------------------------------------------------------------------------- Equistar Chemicals LP/Equistar Funding Corp.: 8.75% Sr. Unsec. Nts., 2/15/09 400,000 433,000 10.125% Sr. Unsec. Nts., 9/1/08 57,000 64,553 10.625% Sr. Unsec. Nts., 5/1/11 1,800,000 2,061,000 - ------------------------------------------------------------------------------------------------------------------- Huntsman Co. LLC: 11.50% Sr. Nts., 7/15/12 5 900,000 997,875 11.625% Sr. Unsec. Nts., 10/15/10 57,000 66,263 - ------------------------------------------------------------------------------------------------------------------- Huntsman Corp./ICI Chemical Co. plc: 10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 100,000 129,728 10.125% Sr. Unsec. Sub. Nts., 7/1/09 2,700,000 2,848,500 13.09% Sr. Unsec. Disc. Nts., 12/31/09 1, 10 400,000 214,000 - ------------------------------------------------------------------------------------------------------------------- Huntsman International LLC, 9.875% Sr. Nts., 3/1/09 2,000,000 2,215,000 - ------------------------------------------------------------------------------------------------------------------- IMC Global, Inc.: 7.625% Bonds, 11/1/05 1 3,000 3,135 10.875% Sr. Unsec. Nts., 8/1/13 57,000 72,248 - ------------------------------------------------------------------------------------------------------------------- Innophos, Inc., 8.875% Sr. Sub. Nts., 8/15/14 5 800,000 856,000 - ------------------------------------------------------------------------------------------------------------------- ISP Chemco, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/11 500,000 560,000 - ------------------------------------------------------------------------------------------------------------------- ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 300,000 331,500 - ------------------------------------------------------------------------------------------------------------------- Lyondell Chemical Co.: 9.50% Sec. Nts., 12/15/08 57,000 62,486 9.50% Sr. Sec. Nts., 12/15/08 100,000 109,625 9.625% Sr. Sec. Nts., Series A, 5/1/07 900,000 984,375 9.875% Sec. Nts., Series B, 5/1/07 540,000 573,075 10.50% Sr. Sec. Nts., 6/1/13 300,000 348,000 - ------------------------------------------------------------------------------------------------------------------- Millennium America, Inc., 9.25% Sr. Unsec. Sub. Nts., 6/15/08 700,000 775,250 - ------------------------------------------------------------------------------------------------------------------- PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 319,909 315,110 - ------------------------------------------------------------------------------------------------------------------- Pioneer Cos., Inc., 5.086% Sr. Sec. Nts., 12/31/06 1, 2 101,304 99,784 - ------------------------------------------------------------------------------------------------------------------- PolyOne Corp.: 8.875% Sr. Unsec. Nts., 5/1/12 1,550,000 1,588,750 10.625% Sr. Unsec. Nts., 5/15/10 357,000 392,700 - ------------------------------------------------------------------------------------------------------------------- Resolution Performance Products LLC: 8% Sr. Sec. Nts., 12/15/09 1 450,000 466,875 13.50% Sr. Unsec. Sub. Nts., 11/15/10 300,000 292,500 - ------------------------------------------------------------------------------------------------------------------- Rhodia SA: 8.875% Sr. Sub. Nts., 6/1/11 400,000 350,000 10.25% Sr. Unsec. Nts., 6/1/10 500,000 520,000 - ------------------------------------------------------------------------------------------------------------------- Rockwood Specialties Group, Inc., 10.625% Sr. Unsec. Sub. Nts., 5/15/11 400,000 442,000 - ------------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc.: 10% Sr. Sec. Nts., 12/19/07 1 409,135 386,633 11.25% Sr. Sub. Nts., 8/15/06 1, 3, 4 300,000 -- - ------------------------------------------------------------------------------------------------------------------- Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 1 260,000 293,150 --------------- 21,326,615 - ------------------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.2% Texas Industries, Inc., 10.25% Sr. Unsec. Nts., 6/15/11 1 800,000 924,000 - ------------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--3.1% Crown Euro Holdings SA, 9.50% Sr. Sec. Nts., 3/1/11 900,000 1,008,000 - ------------------------------------------------------------------------------------------------------------------- Graham Packaging Co., Inc.: 8.50% Sr. Nts., 10/15/12 5, 7 350,000 358,750 9.875% Sub. Nts., 10/15/14 5, 7 600,000 617,250 - ------------------------------------------------------------------------------------------------------------------- Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 1,000,000 1,122,500 9.50% Sr. Sub. Nts., 8/15/13 700,000 803,250 - ------------------------------------------------------------------------------------------------------------------- Jefferson Smurfit Corp.: 7.50% Sr. Unsec. Unsub. Nts., 6/1/13 350,000 371,000 8.25% Sr. Unsec. Nts., 10/1/12 900,000 996,750 - ------------------------------------------------------------------------------------------------------------------- MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 800,000 908,000 - ------------------------------------------------------------------------------------------------------------------- Owens-Brockway Glass Container, Inc.: 7.75% Sr. Sec. Nts., 5/15/11 1,000,000 1,070,000 8.25% Sr. Unsec. Nts., 5/15/13 557,000 595,990 8.75% Sr. Sec. Nts., 11/15/12 1,350,000 1,505,250 8.875% Sr. Sec. Nts., 2/15/09 1,300,000 1,420,250 - ------------------------------------------------------------------------------------------------------------------- Pliant Corp., 0%/11.125% Sr. Sec. Disc. Nts., 6/15/09 6 600,000 516,000 - ------------------------------------------------------------------------------------------------------------------- Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 1,500,000 1,485,000 - ------------------------------------------------------------------------------------------------------------------- Stone Container Corp.: 8.375% Sr. Nts., 7/1/12 750,000 830,625 9.25% Sr. Unsec. Nts., 2/1/08 1,000,000 1,117,500 9.75% Sr. Unsec. Nts., 2/1/11 1,000,000 1,112,500 - ------------------------------------------------------------------------------------------------------------------- Stone Container Finance Co. of Canada II, 7.375% Sr. Nts., 7/15/14 5 600,000 631,500 - ------------------------------------------------------------------------------------------------------------------- TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 1,000,000 1,042,500 --------------- 17,512,615 - ------------------------------------------------------------------------------------------------------------------- METALS & MINING--2.8% AK Steel Corp.: 7.75% Sr. Unsec. Nts., 6/15/12 57,000 56,003 7.875% Sr. Unsec. Nts., 2/15/09 300,000 299,250 - ------------------------------------------------------------------------------------------------------------------- Arch Western Finance LLC, 7.25% Sr. Nts., 7/1/13 5 800,000 864,000 - ------------------------------------------------------------------------------------------------------------------- California Steel Industries, Inc., 6.125% Sr. Nts., 3/15/14 800,000 784,000 - ------------------------------------------------------------------------------------------------------------------- Century Aluminum Co., 7.50% Sr. Nts., 8/15/14 5 1,300,000 1,374,750 - ------------------------------------------------------------------------------------------------------------------- Foundation PA Coal Co., 7.25% Sr. Nts., 8/1/14 5 650,000 693,875 - ------------------------------------------------------------------------------------------------------------------- IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 700,000 773,500 - ------------------------------------------------------------------------------------------------------------------- IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 300,000 343,500 - ------------------------------------------------------------------------------------------------------------------- Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2,100,000 2,325,750 - ------------------------------------------------------------------------------------------------------------------- Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 1 800,000 892,000 - ------------------------------------------------------------------------------------------------------------------- Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 3, 4 1,000,000 970,000 - ------------------------------------------------------------------------------------------------------------------- Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 1 900,000 999,000 - ------------------------------------------------------------------------------------------------------------------- Massey Energy Co., 6.625% Sr. Nts., 11/15/10 400,000 419,000 - ------------------------------------------------------------------------------------------------------------------- Metallurg, Inc., 11% Sr. Nts., 12/1/07 740,000 447,700 - ------------------------------------------------------------------------------------------------------------------- Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 200,000 225,250 - ------------------------------------------------------------------------------------------------------------------- Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 1,300,000 1,426,750 - ------------------------------------------------------------------------------------------------------------------- Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 1,000,000 1,085,000 - ------------------------------------------------------------------------------------------------------------------- Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 400,000 446,000 - ------------------------------------------------------------------------------------------------------------------- UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 400,000 460,000 - ------------------------------------------------------------------------------------------------------------------- United States Steel Corp., 9.75% Sr. Nts., 5/15/10 505,000 580,750 - ------------------------------------------------------------------------------------------------------------------- United States Steel LLC, 10.75% Sr. Nts., 8/1/08 389,000 460,965 --------------- 15,927,043 - ------------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--1.5% Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 300,000 323,250 - ------------------------------------------------------------------------------------------------------------------- Appleton Papers, Inc., 8.125% Sr. Nts., 6/15/11 5 600,000 621,000 - ------------------------------------------------------------------------------------------------------------------- Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 350,000 378,000 - ------------------------------------------------------------------------------------------------------------------- Georgia-Pacific Corp.: 8.125% Sr. Unsec. Nts., 5/15/11 2,200,000 2,552,000 9.375% Sr. Unsec. Nts., 2/1/13 1,600,000 1,892,000 - ------------------------------------------------------------------------------------------------------------------- Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 1, 3, 4 300,000 139,500 - ------------------------------------------------------------------------------------------------------------------- Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 600,000 630,000 - ------------------------------------------------------------------------------------------------------------------- Tekni-Plex, Inc.: 8.75% Sr. Sec. Nts., 11/15/13 5 1,557,000 1,486,935 12.75% Sr. Unsec. Sub. Nts., Series B, 6/15/10 400,000 336,000 - ------------------------------------------------------------------------------------------------------------------- Western Forest Products, Inc., 15% Sec. Nts., 7/28/09 1 417,000 462,870 --------------- 8,821,555 - ------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--8.7% - ------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--3.0% 360networks, Inc., 13% Sr. Unsec. Nts., 5/1/08 1, 3, 4 [EUR] 500,000 -- - ------------------------------------------------------------------------------------------------------------------- American Tower Corp., 9.375% Sr. Nts., 2/1/09 555,000 591,075 - ------------------------------------------------------------------------------------------------------------------- Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 800,000 884,000 - ------------------------------------------------------------------------------------------------------------------- COLO.com, Inc., 13.875% Sr. Nts., 3/15/10 1, 3, 4 499,755 50 - ------------------------------------------------------------------------------------------------------------------- Crown Castle International Corp., 7.50% Sr. Nts., 12/1/13 900,000 947,250 - ------------------------------------------------------------------------------------------------------------------- Dex Media West LLC/Dex Media West Finance Co.: 8.50% Sr. Nts., 8/15/10 700,000 798,000 9.875% Sr. Sub. Nts., 8/15/13 1,172,000 1,382,960 - ------------------------------------------------------------------------------------------------------------------- IPC Acquisition Corp., 11.50% Sr. Sub. Nts., 12/15/09 350,000 386,750 - ------------------------------------------------------------------------------------------------------------------- MCI, Inc.: 5.908% Sr. Unsec. Nts., 5/1/07 579,000 575,381 6.688% Sr. Unsec. Nts., 5/1/09 179,000 172,959 7.735% Sr. Unsec. Nts., 5/1/14 153,000 145,350 - ------------------------------------------------------------------------------------------------------------------- Qwest Capital Funding, Inc., 7.90% Unsec. Nts., 8/15/10 57,000 52,868 - ------------------------------------------------------------------------------------------------------------------- Qwest Communications International, Inc., 7.25% Sr. Nts., 2/15/11 5 600,000 571,500 - ------------------------------------------------------------------------------------------------------------------- Qwest Corp., 9.125% Nts., 3/15/12 5 3,000,000 3,315,000 - ------------------------------------------------------------------------------------------------------------------- Qwest Services Corp., 14% Nts., 12/15/10 2, 5 4,800,000 5,628,000 - ------------------------------------------------------------------------------------------------------------------- Teligent, Inc., 11.50% Sr. Nts., 12/1/07 1, 3, 4 400,000 -- - ------------------------------------------------------------------------------------------------------------------- Time Warner Telecom LLC/Time Warner Telecom, Inc., 9.75% Sr. Nts., 7/15/08 300,000 298,500 - ------------------------------------------------------------------------------------------------------------------- Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 1,450,000 1,399,250 - ------------------------------------------------------------------------------------------------------------------- Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/10 1, 3, 4 1,000,000 -- --------------- 17,148,893 - ------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--5.7% Alamosa Delaware, Inc.: 8.50% Sr. Nts., 1/31/12 1,000,000 1,017,500 11% Sr. Unsec. Nts., 7/31/10 57,000 64,838 12.50% Sr. Unsec. Nts., 2/1/11 100,000 112,500 - ------------------------------------------------------------------------------------------------------------------- American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,575,000 1,283,625 - ------------------------------------------------------------------------------------------------------------------- American Tower Corp., 7.50% Sr. Nts., 5/1/12 1,650,000 1,691,250 - ------------------------------------------------------------------------------------------------------------------- American Tower Escrow Corp., Sr. Sub. Disc. Nts., 8/1/08 10 1,400,000 1,050,000 - ------------------------------------------------------------------------------------------------------------------- AT&T Corp., 8.05% Sr. Nts., 11/15/11 2 800,000 899,000 - ------------------------------------------------------------------------------------------------------------------- CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 1, 3, 4 1,834,000 -- - ------------------------------------------------------------------------------------------------------------------- Centennial Cellular Operating Co./Centennial Communications Corp., 10.125% Sr. Nts., 6/15/13 1,700,000 1,797,750 - ------------------------------------------------------------------------------------------------------------------- Crown Castle International Corp., 10.75% Sr. Nts., 8/1/11 2,050,000 2,290,875 - ------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp.: 8.875% Sr. Nts., 10/1/13 1,707,000 1,109,550 10.875% Sr. Unsec. Nts., 7/1/10 700,000 507,500 - ------------------------------------------------------------------------------------------------------------------- Nextel Communications, Inc.: 7.375% Sr. Nts., 8/1/15 5,490,000 5,929,200 9.50% Sr. Unsec. Nts., 2/1/11 1,200,000 1,368,000 - ------------------------------------------------------------------------------------------------------------------- Nextel Partners, Inc.: 8.125% Sr. Nts., 7/1/11 700,000 745,500 12.50% Sr. Nts., 11/15/09 1 1,162,000 1,347,920 - ------------------------------------------------------------------------------------------------------------------- Rural Cellular Corp.: 8.25% Sr. Sec. Nts., 3/15/12 5 775,000 792,438 9.75% Sr. Sub. Nts., 1/15/10 457,000 399,875 9.875% Sr. Nts., 2/1/10 1,100,000 1,094,500 - ------------------------------------------------------------------------------------------------------------------- SBA Communications Corp., 10.25% Sr. Unsec. Nts., 2/1/09 1,900,000 2,042,500 - ------------------------------------------------------------------------------------------------------------------- SBA Telecommunications, Inc./SBA Communications Corp., 0%/9.75% Sr. Disc. Nts., 12/15/11 6 2,357,000 1,920,955 - ------------------------------------------------------------------------------------------------------------------- Triton PCS, Inc.: 8.50% Sr. Unsec. Nts., 6/1/13 1,300,000 1,186,250 8.75% Sr. Unsec. Sub. Nts., 11/15/11 357,000 244,545 - ------------------------------------------------------------------------------------------------------------------- UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 1,100,000 1,150,875 - ------------------------------------------------------------------------------------------------------------------- US Unwired, Inc.: 0%/13.375% Sr. Unsec. Sub. Disc. Nts., Series B, 11/1/09 1, 6 800,000 830,000 10% Sr. Sec. Nts., 6/15/12 500,000 521,250 - ------------------------------------------------------------------------------------------------------------------- Western Wireless Corp., 9.25% Sr. Unsec. Nts., 7/15/13 1,057,000 1,083,425 --------------- 32,481,621 - ------------------------------------------------------------------------------------------------------------------- UTILITIES--5.8% - ------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--3.7% AES Corp. (The): 8.75% Sr. Sec. Nts., 5/15/13 5 1,150,000 1,302,375 10% Sec. Nts., 7/15/05 1 355,135 362,238 - ------------------------------------------------------------------------------------------------------------------- Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12 5 57,000 63,270 - ------------------------------------------------------------------------------------------------------------------- Allegheny Energy, Inc., 7.75% Nts., 8/1/05 300,000 311,250 - ------------------------------------------------------------------------------------------------------------------- Caithness Coso Funding Corp., 9.05% Sr. Sec. Nts., Series B, 12/15/09 397,819 439,589 - ------------------------------------------------------------------------------------------------------------------- Calpine Corp.: 7.625% Sr. Nts., 4/15/06 700,000 651,000 8.75% Sr. Nts., 7/15/07 500,000 398,750 - ------------------------------------------------------------------------------------------------------------------- CMS Energy Corp.: 7.50% Sr. Nts., 1/15/09 357,000 375,743 7.75% Sr. Nts., 8/1/10 5 400,000 425,000 9.875% Sr. Unsec. Nts., 10/15/07 1,400,000 1,562,750 - ------------------------------------------------------------------------------------------------------------------- CMS Energy X-TRAS Pass-Through Trust I, 7% Sr. Unsec. Pass- Through Certificates, 1/15/05 500,000 505,277 - ------------------------------------------------------------------------------------------------------------------- Edison Mission Energy, 10% Sr. Unsec. Nts., 8/15/08 200,000 235,000 - ------------------------------------------------------------------------------------------------------------------- ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 1 902,000 935,825 - ------------------------------------------------------------------------------------------------------------------- Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 2,600,000 2,847,000 - ------------------------------------------------------------------------------------------------------------------- Mirant Americas Generation LLC, 8.30% Sr. Unsec. Nts., 5/1/11 3, 4 200,000 177,000 - ------------------------------------------------------------------------------------------------------------------- MSW Energy Holdings II LLC/MSW Energy Finance Co. II, Inc., 7.375% Sr. Sec. Nts., Series B, 9/1/10 1 700,000 738,500 - ------------------------------------------------------------------------------------------------------------------- MSW Energy Holdings LLC/MSW Energy Finance Co., Inc., 8.50% Sr. Sec. Nts., 9/1/10 400,000 440,000 - ------------------------------------------------------------------------------------------------------------------- NRG Energy, Inc., 8% Sr. Sec. Nts., 12/15/13 5 2,500,000 2,690,625 - ------------------------------------------------------------------------------------------------------------------- PG&E Corp., 6.875% Sr. Sec. Nts., 7/15/08 800,000 870,000 - ------------------------------------------------------------------------------------------------------------------- Reliant Resources, Inc.: 9.25% Sr. Sec. Nts., 7/15/10 1,657,000 1,787,489 9.50% Sr. Sec. Nts., 7/15/13 1,600,000 1,746,000 - ------------------------------------------------------------------------------------------------------------------- Teco Energy, Inc., 7.20% Unsec. Unsub. Nts., 5/1/11 2,000,000 2,140,000 --------------- 21,004,681 - ------------------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.3% AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 8.875% Sr. Unsec. Nts., Series B, 5/20/11 1,400,000 1,550,500 - ------------------------------------------------------------------------------------------------------------------- SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 400,000 424,000 --------------- 1,974,500 - ------------------------------------------------------------------------------------------------------------------- MULTI-UTILITIES & UNREGULATED POWER--1.7% AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 1 1,042,815 1,152,310 - ------------------------------------------------------------------------------------------------------------------- Consumers Energy Co.: 6.25% Nts., 9/15/06 300,000 316,418 6.375% Sr. Sec. Nts., 2/1/08 450,000 487,351 7.375% Nts., 9/15/23 350,000 362,589 - ------------------------------------------------------------------------------------------------------------------- Dynegy Holdings, Inc.: 6.875% Sr. Unsec. Unsub. Nts., 4/1/11 2,740,000 2,623,550 8.75% Sr. Nts., 2/15/12 1,857,000 1,940,565 10.125% Sr. Sec. Nts., 7/15/13 5 1,850,000 2,136,750 - ------------------------------------------------------------------------------------------------------------------- Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 856,753 874,410 --------------- 9,893,943 - ------------------------------------------------------------------------------------------------------------------- WATER UTILITIES--0.1% National Waterworks, Inc., 10.50% Sr. Unsec. Sub. Nts., Series B, 12/1/12 300,000 342,000 --------------- Total Corporate Bonds and Notes (Cost $412,675,479) 430,951,936 Shares - ------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--0.7% AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 1, 4, 8 13,764 -- - ------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp., 6% Cv., Series F (converts into Dobson Communications Corp., Cl. A common stock), Non-Vtg. 5 800 40,000 - ------------------------------------------------------------------------------------------------------------------- e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 1, 4, 8 498 50 - ------------------------------------------------------------------------------------------------------------------- Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 1, 4 8,000 722,000 - ------------------------------------------------------------------------------------------------------------------- ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 1, 4, 8 342 -- - ------------------------------------------------------------------------------------------------------------------- McLeodUSA, Inc., 2.50% Cv., Series A 4 3,258 8,145 - ------------------------------------------------------------------------------------------------------------------- Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable Exchangeable, Non-Vtg. 1, 4, 8 7,274 -- - ------------------------------------------------------------------------------------------------------------------- Pacific & Atlantic Holdings, Inc., 7.50% Cum. Cv., Series A 1, 4, 8 21,193 42,386 - ------------------------------------------------------------------------------------------------------------------- Paxson Communications Corp.: 14.25% Cum. 4, 8 -- 572 14.25% Cum. Jr. Exchangeable, Non-Vtg. 8 86 647,150 - ------------------------------------------------------------------------------------------------------------------- PTV, Inc., 10% Cum., Series A, Non-Vtg. 23 120 - ------------------------------------------------------------------------------------------------------------------- Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 1, 4, 8 1,177 985,738 - ------------------------------------------------------------------------------------------------------------------- Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 1 10,000 1,472,500 --------------- Total Preferred Stocks (Cost $5,110,198) 3,918,661 - ------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--1.5% AboveNet, Inc. 4 559 13,416 - ------------------------------------------------------------------------------------------------------------------- Cebridge Connections Holding LLC 4 2,645 -- - ------------------------------------------------------------------------------------------------------------------- Charles River Laboratories International, Inc. 4 8,360 382,888 - ------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp. 100,909 1,597,389 - ------------------------------------------------------------------------------------------------------------------- Corvis Corp. 4 4,603 3,682 - ------------------------------------------------------------------------------------------------------------------- Covad Communications Group, Inc. 4 20,660 34,709 - ------------------------------------------------------------------------------------------------------------------- Crunch Equity Holdings, Cl. A 1, 4 301 390,333 - ------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp., Cl. A 4 51,491 68,483 - ------------------------------------------------------------------------------------------------------------------- Equinix, Inc. 4 16,434 505,674 - ------------------------------------------------------------------------------------------------------------------- Globix Corp. 4 11,467 37,268 - ------------------------------------------------------------------------------------------------------------------- Gulfstream Holding, Inc. 1, 4 56 -- - ------------------------------------------------------------------------------------------------------------------- Horizon Natural Resources Co. 1, 4 20,000 -- - ------------------------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. 4 42,107 9,685 - ------------------------------------------------------------------------------------------------------------------- iPCS, Inc. 4 9,973 185,747 - ------------------------------------------------------------------------------------------------------------------- Leap Wireless International, Inc. 4 1,913 42,086 - ------------------------------------------------------------------------------------------------------------------- Magellan Health Services, Inc. 4 9,965 364,320 - ------------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The) 1,039 36,843 - ------------------------------------------------------------------------------------------------------------------- MCI, Inc. 1,629 27,286 - ------------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc., Cl. A 4 15 423 - ------------------------------------------------------------------------------------------------------------------- NTL, Inc. 4 18,902 1,173,247 - ------------------------------------------------------------------------------------------------------------------- Orbital Sciences Corp. 4 2,235 25,524 - ------------------------------------------------------------------------------------------------------------------- Pioneer Cos., Inc. 4 20,688 310,320 - ------------------------------------------------------------------------------------------------------------------- Polymer Group, Inc., Cl. A 4 24,040 274,056 - ------------------------------------------------------------------------------------------------------------------- Prandium, Inc. 4 62,829 1,885 - ------------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. 1, 4 396 9,306 - ------------------------------------------------------------------------------------------------------------------- Telewest Global, Inc. 4 96,326 1,119,308 - ------------------------------------------------------------------------------------------------------------------- TVMAX Holdings, Inc. 1, 4 7,500 28,875 - ------------------------------------------------------------------------------------------------------------------- UnitedGlobalCom, Inc., Cl. A 4 143,824 1,074,365 - ------------------------------------------------------------------------------------------------------------------- Viatel Holding Ltd. (Bermuda) 1, 4 2,701 2,093 - ------------------------------------------------------------------------------------------------------------------- Western Forest Products, Inc. 4 85,047 623,660 - ------------------------------------------------------------------------------------------------------------------- WRC Media Corp. 1, 4 1,353 27 - ------------------------------------------------------------------------------------------------------------------- XO Communications, Inc. 4 2,646 8,361 --------------- Total Common Stocks (Cost $8,459,091) 8,351,259 Units - ------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.1% AboveNet, Inc. Wts.: Exp. 9/8/08 4 235 1,870 Exp. 9/8/10 4 276 2,137 - ------------------------------------------------------------------------------------------------------------------- American Tower Corp. Wts., Exp. 8/1/08 1, 4 1,400 263,900 - ------------------------------------------------------------------------------------------------------------------- ASAT Finance LLC Wts., Exp. 11/1/06 1, 4 500 8 - ------------------------------------------------------------------------------------------------------------------- Citigroup, Inc. Wts., Exp. 12/31/50 4 15,626 22,189 - ------------------------------------------------------------------------------------------------------------------- COLO.com, Inc. Wts., Exp. 3/15/10 1, 4 600 6 - ------------------------------------------------------------------------------------------------------------------- Concentric Network Corp. Wts., Exp. 12/15/07 1, 4 750 -- - ------------------------------------------------------------------------------------------------------------------- Covergent Communications, Inc. Wts., Exp. 4/1/08 1, 4 2,000 20 - ------------------------------------------------------------------------------------------------------------------- DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 1, 4 1,750 -- - ------------------------------------------------------------------------------------------------------------------- Diva Systems Corp. Wts., Exp. 3/1/08 1, 4 1,500 -- - ------------------------------------------------------------------------------------------------------------------- e.spire Communications, Inc. Wts., Exp. 11/1/05 1, 4 475 5 - ------------------------------------------------------------------------------------------------------------------- Horizon PCS, Inc. Wts., Exp. 10/1/10 1, 4 1,300 -- - ------------------------------------------------------------------------------------------------------------------- Huntsman LLC Wts., Exp. 5/15/11 1, 4 1,000 230,500 - ------------------------------------------------------------------------------------------------------------------- ICG Communications, Inc. Wts., Exp. 9/15/05 1, 4 5,940 59 - ------------------------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. Wts.: Exp. 5/16/06 1, 4 10,561 53 Exp. 5/16/06 1, 4 16 -- - ------------------------------------------------------------------------------------------------------------------- Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 1, 4 5,148 -- - ------------------------------------------------------------------------------------------------------------------- Insilco Corp. Wts., Exp. 8/15/07 1, 4 765 -- - ------------------------------------------------------------------------------------------------------------------- iPCS, Inc. Wts., Exp. 6/15/10 1, 4 750 8 - ------------------------------------------------------------------------------------------------------------------- Leap Wireless International, Inc. Wts., Exp. 4/15/10 1, 4 550 6 - ------------------------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 1, 4 800 -- - ------------------------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd. Wts., Exp. 1/15/07 1, 4 800 8 - ------------------------------------------------------------------------------------------------------------------- McLeodUSA, Inc. Wts., Exp. 4/16/07 4 7,220 794 - ------------------------------------------------------------------------------------------------------------------- Millenium Seacarriers, Inc. Wts., Exp. 7/15/05 1, 4 1,500 15 - ------------------------------------------------------------------------------------------------------------------- Ntelos, Inc. Wts., Exp. 8/15/10 1, 4 1,000 10 - ------------------------------------------------------------------------------------------------------------------- Pathmark Stores, Inc. Wts., Exp. 9/19/10 4 20,000 5,000 - ------------------------------------------------------------------------------------------------------------------- Protection One, Inc. Wts., Exp. 6/30/05 1, 4 1,600 -- - ------------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. Wts., Exp. 12/19/08 1, 4 647 938 - ------------------------------------------------------------------------------------------------------------------- Telergy, Inc. Wts., Exp. 9/25/10 1, 4 2,019 -- - ------------------------------------------------------------------------------------------------------------------- Telus Corp. Wts., Exp. 9/15/05 4 1,079 9,669 - ------------------------------------------------------------------------------------------------------------------- Transocean, Inc. Wts., Exp. 5/1/09 4, 5 1,000 345,125 - ------------------------------------------------------------------------------------------------------------------- XO Communications, Inc., Cl. A Wts., Exp. 1/16/10 4 5,300 4,399 - ------------------------------------------------------------------------------------------------------------------- XO Communications, Inc., Cl. B Wts., Exp. 1/16/10 4 3,975 2,385 - ------------------------------------------------------------------------------------------------------------------- XO Communications, Inc., Cl. C Wts., Exp. 1/16/10 4 3,975 1,511 --------------- Total Rights, Warrants and Certificates (Cost $260,803) 890,615 Principal Amount Value - ------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--5.4% Dow Jones CDX High Yield Index Pass-Through Certificates: Series 3-1, 7.75%, 12/29/0 5, 11 $ 10,000,000 $ 10,137,500 Series 3-3, 8%, 12/29/09 5, 11 19,400,000 19,460,625 Series 3-4, 10.50%, 12/29/09 5, 11 1,500,000 1,456,875 --------------- Total Structured Notes (Cost $30,713,500) 31,055,000 - ------------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--15.4% 12 Undivided interest of 6.12% 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 $88,573,428 on 10/1/04, collateralized by Federal National Mortgage Assn., 5%, 3/1/34, with a value of $1,477,979,332 (Cost $88,569,000) 88,569,000 88,569,000 - ------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $547,555,528) 98.3% 564,590,342 - ------------------------------------------------------------------------------------------------------------------- Other Assets Net of Liabilities 1.7 9,625,052 ---------------------------------------- Net Assets 100.0% $ 574,215,394 ======================================== Footnotes to Statement of Investments Principal amount is reported in U.S. Dollars, except for those denoted in the following currency: EUR Euro 1. Illiquid security. 2. Represents the current interest rate for a variable or increasing rate security. 3. Issue is in default. 4. Non-income producing security. 5. 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 $98,330,482 or 17.12% of the Fund's net assets as of September 30, 2004. 6. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 7. When-issued security or forward commitment to be delivered and settled after September 30, 2004. 8. Interest or dividend is paid-in-kind. 9. Received as the result of issuer reorganization. 10. Zero coupon bond reflects effective yield on the date of purchase. 11. Interest rate represents a weighted average rate comprised of the interest rates of the underlying securities. 12. The Fund may have elements of risk due to concentrated investments. Such concentrations may subject the Fund to additional risks. As of September 30, 2004, the Fund had entered into the following interest rate swap agreements: FIXED RATE FLOATING RATE PAID BY RECEIVED BY NOTIONAL THE FUND AT THE FUND AT FLOATING TERMINATION UNREALIZED SWAP COUNTERPARTY AMOUNT SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 RATE INDEX DATES APPRECIATION - ------------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG $11,000,000 3.19% 1.86% Three-Month LIBOR 3/9/09 $201,950 Deutsche Bank AG 6,000,000 4.23 1.86 Three-Month LIBOR 3/9/14 95,725 -------- $297,675 ======== Index abbreviations are as follows: 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 $548,797,883 ============= Gross unrealized appreciation $ 35,060,730 Gross unrealized depreciation (18,970,596) ------------- Net unrealized appreciation $ 16,090,134 ============= 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 rq640_11961ex99cert.txt RQ640_11961EX99CERT.TXT Exhibit 99.CERT CERTIFICATIONS I, JOHN V. MURPHY, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer High Income 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 High Income 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-----