-----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, R/4Al0YHyr2UKyoSP2X8ShQVDe0b3t5fvL+7P+cgypilGlUKj6ChiJrbxhRKCUWl k0kgR0+4ar2zpxeAkmdOgQ== 0000935069-04-002020.txt : 20041129 0000935069-04-002020.hdr.sgml : 20041129 20041129172536 ACCESSION NUMBER: 0000935069-04-002020 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: 041172643 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 rq265_11946nq.txt RQ265_11946NQ.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 Strategic Bond Fund/VA (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 Date of fiscal year end: December 31 Date of reporting period: September 30, 2004 ITEM 1. SCHEDULE OF INVESTMENTS. STATEMENT OF INVESTMENTS September 30, 2004 (Unaudited) ================================================================================ Oppenheimer Strategic Bond Fund/VA
Principal Amount Value - ------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--2.8% Arbor I Ltd., Catastrophe Linked Nts., Series 2004-4, 15.88%, 3/15/06 1 $ 250,000 $ 252,563 - ------------------------------------------------------------------------------------------------- Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1. 29%, 8/21/06 351,921 351,264 - ------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2004-A, Cl. A2, 1.88%, 10/25/06 790,000 788,472 - ------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2003-B, Cl. AF1, 1.64%, 2/25/18 13,114 13,105 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 254,900 254,643 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 27,477 27,417 Series 2004-D, Cl. AF1, 2.98%, 4/25/20 2 370,000 370,000 - ------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 204,075 204,609 Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 460,000 460,603 Series 2003-3, Cl. 1A1, 1.92%, 8/25/17 1 60,088 60,125 Series 2003-4, Cl. 1A1, 1.96%, 9/25/17 1 251,157 251,319 Series 2004-1, Cl. 2A1, 1.95%, 9/25/21 1 905,300 905,824 - ------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass- Through Certificates: Series 2002-A, Cl. A4, 4.24%, 9/15/08 180,000 182,129 Series 2003-A, Cl. A2, 1.26%, 1/16/06 61,834 61,844 Series 2003-B, Cl. A2, 1.28%, 3/15/06 152,992 152,921 - ------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 9/29/06 3 550,000 549,948 - ------------------------------------------------------------------------------------------------- CIT Group Home Equity Loan Trust, Home Equity Loan Asset- Backed Certificates, Series 2003-1, Cl. A2, 2.35%, 4/20/27 433,778 433,371 - ------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2002-A3, Cl. A3, 4.40%, 5/15/07 530,000 537,168 - ------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2003-2, Cl. AF1, 1.94%, 5/25/33 1 97,439 97,497 Series 2003-3, Cl. AF1, 1.96%, 8/25/33 1 205,372 205,508 - ------------------------------------------------------------------------------------------------- Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 2 500,000 517,578 - ------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2, 1.52%, 12/8/05 494,576 494,632 Series 2003-B, Cl. A2, 1.61%, 7/10/06 875,653 875,000 Series 2004-B, Cl. A2, 2.48%, 2/8/07 2 600,000 600,000 - ------------------------------------------------------------------------------------------------- Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/25 2,4,5 1,820,063 569 - ------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2A, 1.62%, 8/15/05 45,598 45,624 Series 2004-A, Cl. A2, 2.13%, 10/15/06 1,120,000 1,118,770 - ------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: Series 2002-2, Cl. A1, 1.91%, 4/15/07 34,658 34,658 Series 2003-3, Cl. A1, 1.50%, 1/15/08 502,667 501,474 - ------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2003-3, Cl. A2, 1.52%, 4/21/06 716,389 715,781 Series 2003-4, Cl. A2, 1.58%, 7/17/06 766,162 765,241 - ------------------------------------------------------------------------------------------------- Household Automotive Trust, Automobile Loan Certificates, Series 2003-2, Cl. A2, 1.56%, 12/18/06 315,068 314,695 - ------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 336,431 337,097 Series 2003-1, Cl. A2, 1.60%, 7/20/06 672,497 672,037 - ------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 530,000 528,514 - ------------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 1/25/29 2 66,744 17,812 - ------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A, Cl. A2, 1.69%, 12/15/05 320,524 320,693 - ------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: Series 2002-A, Cl. A4, 4.28%, 10/16/06 164,853 166,335 Series 2003-B, Cl. A2, 1.20%, 11/15/05 101,534 101,575 Series 2003-B, Cl. A3, 1.51%, 8/15/07 150,000 149,210 Series 2004-A, Cl. A2, 1.40%, 7/17/06 610,000 607,961 - ------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Home Equity Mtg. Obligations, Series 2004-3, Cl. A2, 1.99%, 11/25/34 1,3 370,000 370,000 - ------------------------------------------------------------------------------------------------- Sequoia Capital Ltd., Catastrophe Nts., Series 2004-2, 6.27%, 3/15/05 1 250,000 250,038 - ------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 88,995 89,377 Series 2003-B, Cl. A2, 1.43%, 2/15/06 395,914 395,796 - ------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2002-1, Cl. A3, 2.41%, 10/16/06 166,602 166,894 Series 2003-1, Cl. A2, 1.22%, 4/17/06 127,463 127,483 Series 2004-1, Cl. A2, 1.43%, 9/15/06 1,500,000 1,495,649 Series 2004-2, Cl. A2, 2.41%, 2/15/07 610,000 610,311 - ------------------------------------------------------------------------------------------------- Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities, Series 2004-A, Cl. A2, 2.47%, 1/22/07 640,000 639,500 - ------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 452,454 452,262 Series 2003-2, Cl. A2, 1.55%, 6/20/06 432,559 432,100 - ------------------------------------------------------------------------------------------------- Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 460,000 460,341 - ------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl AI1B, 2.94%, 9/25/18 1,020,000 1,020,000 - ------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2A, 1.40%, 4/15/06 652,620 651,970 Series 2003-1, Cl. A3B, 1.99%, 5/15/07 220,000 219,027 ----------------- Total Asset-Backed Securities (Cost $24,297,483) 22,426,334 - ------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--14.6% Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1997-D4, Cl. B1, 7.525%, 4/14/29 375,000 430,143 - ------------------------------------------------------------------------------------------------- Bank of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,121,037 1,156,420 Series 2004-8, Cl. 5A1, 6.50%, 9/25/34 930,000 959,353 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 604,795 606,177 Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 674,325 672,924 - ------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 164,344 164,332 - ------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 5%, 9/1/33 567,663 564,068 5%, 10/1/34 3 7,445,000 7,372,873 5.50%, 1/1/34-10/1/34 2,325,827 2,358,298 7%, 9/1/33-11/1/33 1,071,689 1,139,642 11%, 11/1/14 78,866 86,940 - ------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Pass-Through Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 117,719 117,872 - ------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1669, Cl. G, 6.50%, 2/15/23 189,432 191,197 Series 2055, Cl. ZM, 6.50%, 5/15/28 398,803 416,478 Series 2080, Cl. Z, 6.50%, 8/15/28 255,945 264,898 Series 2102, Cl. VA, 6%, 10/15/09 17,647 17,644 Series 2387, Cl. PD, 6%, 4/15/30 583,717 597,308 Series 2466, Cl. PD, 6.50%, 4/15/30 274,945 277,888 Series 2498, Cl. PC, 5.50%, 10/15/14 76,467 77,483 Series 2500, Cl. FD, 2.209%, 3/15/32 1 156,590 156,930 Series 2526, Cl. FE, 2.109%, 6/15/29 1 187,114 187,648 Series 2551, Cl. FD, 2.109%, 1/15/33 1 153,188 153,836 Series 2551, Cl. TA, 4.50%, 2/15/18 288,702 288,986 - ------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.- Backed Security: Series 177, Cl. B, (2.512)%, 7/1/26 6 476,249 82,201 Series 192, Cl. IO, 5.662%, 2/1/28 6 124,893 21,701 Series 200, Cl. IO, 5.208%, 1/1/29 6 152,772 28,425 Series 205, Cl. IO, 0.12%, 9/1/29 6 734,124 127,391 Series 208, Cl. IO, (32.374)%, 6/1/30 6 847,757 140,989 Series 2074, Cl. S, 13.613%, 7/17/28 6 159,555 21,453 Series 2079, Cl. S, 12.296%, 7/17/28 6 249,637 33,879 Series 2526, Cl. SE, 25.197%, 6/15/29 6 349,822 29,924 - ------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.- Backed Security, Series 217, Cl. PO, 8.479%, 1/1/32 7 158,125 136,506 - ------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Structured Pass-Through Securities, Collateralized Mtg. Obligations, Series T-42, Cl. A2, 5.50%, 2/25/42 262 262 - ------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 10/1/19 3 3,175,000 3,164,084 5%, 10/1/19-10/1/34 3 6,183,000 6,261,411 5.50%, 7/1/33-7/1/34 3,299,134 3,350,645 5.50%, 10/1/19-10/1/34 3 15,048,988 15,416,469 6.50%, 5/1/29-10/1/30 386,470 406,351 6.50%, 10/1/34 3 13,723,000 14,396,278 7%, 7/1/32-8/1/34 6,036,110 6,406,669 7%, 10/1/34 3 28,562,000 30,284,631 7.50%, 8/1/25-2/1/27 338,541 363,960 8.50%, 7/1/32 38,578 41,970 - ------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1998-63, Cl. PG, 6%, 3/25/27 170,543 171,858 Trust 2001-50, Cl. NE, 6%, 8/25/30 321,692 323,199 Trust 2001-70, Cl. LR, 6%, 9/25/30 302,462 309,847 Trust 2001-72, Cl. NH, 6%, 4/25/30 256,673 262,345 Trust 2001-74, Cl. PD, 6%, 5/25/30 108,376 110,427 Trust 2002-50, Cl. PD, 6%, 9/25/27 346,982 348,903 Trust 2002-77, Cl. WF, 2.211%, 12/18/32 1 252,584 253,379 Trust 2002-94, Cl. MA, 4.50%, 8/25/09 506,058 508,477 Trust 2003-81, Cl. PA, 5%, 2/25/12 149,734 150,977 - ------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.- Backed Security: Trust 2002-28, Cl. SA, 23.391%, 4/25/32 6 193,467 17,627 Trust 2002-38, Cl. SO, 29.05%, 4/25/32 6 1,083,240 77,394 Trust 2002-48, Cl. S, 20.70%, 7/25/32 6 306,910 29,138 Trust 2002-52, Cl. SL, 21.567%, 9/25/32 6 194,403 18,490 Trust 2002-56, Cl. SN, 23.638%, 7/25/32 6 421,734 40,212 Trust 2002-77, Cl. IS, 23.023%, 12/18/32 6 1,845,520 185,264 - ------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.- Backed Security: Trust 221, Cl. 2, (3.066)%, 5/1/23 6 217,898 38,394 Trust 240, Cl. 2, 2.079%, 9/1/23 6 370,521 71,342 Trust 301, Cl. 2, (2.505)%, 4/1/29 6 926,851 163,473 Trust 313, Cl. 2, (26.361)%, 7/1/31 6 1,062,243 199,894 Trust 324, Cl. 2, (7.02)%, 6/1/32 6 2,412,013 439,052 Trust 2001-63, Cl. SD, 26.746%, 12/18/31 6 321,148 32,675 Trust 2001-68, Cl. SC, 21.095%, 11/25/31 6 239,934 24,621 Trust 2001-81, Cl. S, 25.236%, 1/25/32 6 339,217 31,925 Trust 2002-9, Cl. MS, 20.455%, 3/25/32 6 413,121 39,912 - ------------------------------------------------------------------------------------------------- First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates, Series 1997-CHL1, Cl. D, 7.856%, 4/29/39 1,2 350,000 360,719 - ------------------------------------------------------------------------------------------------- First Union/Lehman Brothers/Bank of America, Commercial Mtg. Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 360,000 391,437 - ------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 390,000 397,060 - ------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Mtg. Pass-Through Certificates: Series 1997-C1, Cl. A3, 6.869%, 7/15/29 306,731 330,733 Series 1998-C1, Cl. F, 7.171%, 5/15/30 1 1,800,000 1,786,729 - ------------------------------------------------------------------------------------------------- Government National Mortgage Assn.: 4.625%, 11/20/25 1 19,580 19,902 7%, 3/15/28-7/15/28 1,243,297 1,328,145 7.50%, 2/15/27 163,853 176,790 8%, 11/15/25-5/15/26 149,248 163,901 - ------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Gtd. Multiclass Mtg. Participation Certificates, Series 1999-27, Cl. PQ, 7.50%, 8/16/28 470,295 470,667 - ------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-19, Cl. SB, 12.491%, 7/16/28 6 510,195 67,765 Series 1998-6, Cl. SA, 12.527%, 3/16/28 6 304,590 37,732 Series 2001-21, Cl. SB, 21.331%, 1/16/27 6 2,435,758 246,947 - ------------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Pass-Through Certificates, Series 2004-GG2, Cl. A3, 4.602%, 8/10/38 250,000 257,028 - ------------------------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates, Series 1995-C2, Cl. D, 7.799%, 6/15/21 1 168,939 175,512 - ------------------------------------------------------------------------------------------------- Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates: Series 1996-C1, Cl. F, 7.48%, 2/15/28 1,8 162,744 151,700 Series 1997-XL1, Cl. G, 7.695%, 10/3/30 390,000 268,524 - ------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 420,000 460,438 - ------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass- Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 556,000 645,953 - ------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg. Pass-Through Certificates: Series 1996-B, Cl. 1, 6.213%, 4/25/26 1,2 7,830 7,228 Series 1996-C1, Cl. F, 8.402%, 1/20/28 1,2 1,000,000 826,250 - ------------------------------------------------------------------------------------------------- Washington Mutual Mortgage Securities Corp., Collateralized Mtg. Pass-Through Certificates, Series 2003-AR12, Cl. A2, 2.45%, 2/25/34 1 850,650 851,587 - ------------------------------------------------------------------------------------------------- Wells Fargo Mortgage Backed Securities Trust, Collateralized Mtg. Obligations: Series 2004-N, Cl. A10, 3.803%, 8/25/34 2 1,172,880 1,176,545 Series 2004-W, Cl. A2, 4.677%, 11/27/34 3 770,000 775,143 ----------------- Total Mortgage-Backed Obligations (Cost $114,782,524) 114,197,797 - ------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--9.1% Federal Home Loan Mortgage Corp. Nts., 3.75%, 7/15/09 [EUR] 1,090,000 1,360,594 - ------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 2.375%, 4/15/06 2,485,000 2,476,844 2.75%, 8/15/06 2,660,000 2,659,766 4.875%, 3/15/07-11/15/13 5,540,000 5,780,373 5.50%, 7/15/06 8,865,000 9,293,171 - ------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 1.80%, 5/27/05 1,390,000 1,385,841 2.50%, 6/15/06 1,325,000 1,320,902 3.01%, 6/2/06 1,400,000 1,403,186 3.125%, 7/15/06 4,180,000 4,212,052 4.25%, 7/15/07 8,310,000 8,559,616 6%, 5/15/11 2,600,000 2,875,051 6.625%, 9/15/09 8,000,000 9,022,504 7.25%, 1/15/10-5/15/30 6,090,000 7,176,520 - ------------------------------------------------------------------------------------------------- Resolution Funding Corp. Federal Book Entry Principal Strips, 5.85%, 1/15/21 9 1,220,000 523,293 - ------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: Series C, 4.75%, 8/1/13 650,000 663,395 Series C, 6%, 3/15/13 625,000 695,158 - ------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 5.375%, 2/15/31 974,000 1,043,702 8.875%, 8/15/17 10 1,630,000 2,325,806 9.25%, 2/15/16 208,000 299,561 STRIPS, 4.20%, 2/15/11 9 900,000 706,728 STRIPS, 4.60%, 2/15/16 9 491,000 292,079 - ------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 2.75%, 7/31/06 11,12 3,839,000 3,854,598 2.75%, 8/15/07 525,000 523,729 4.25%, 8/15/14 2,144,000 2,167,117 - ------------------------------------------------------------------------------------------------- United States (Government of) Gtd. Israel Aid Bonds, 5.50%, 12/4/23 960,000 995,076 ----------------- Total U.S. Government Obligations (Cost $71,328,822) 71,616,662 - ------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--29.7% - ------------------------------------------------------------------------------------------------- ARGENTINA--0.8% Argentina (Republic of) Bonds: 1.389%, 5/3/05 1 56,000 55,050 1.98%, 8/3/12 1 6,465,000 4,710,632 Series PRE8, 2%, 1/3/10 2,4,5 [ARP] 1,980,000 863,469 Series PR12, 2%, 1/3/16 2,4,5 [ARP] 1,335,300 465,406 - ------------------------------------------------------------------------------------------------- Argentina (Republic of) Disc. Bonds, 3/31/23 2,4 260,000 133,900 - ------------------------------------------------------------------------------------------------- Argentina (Republic of) Letras del Banco Central de la Republica Treasury Bills, 14.75%, 10/8/04 9 [ARP] 17,000 5,699 - ------------------------------------------------------------------------------------------------- Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas, Series PBA1, 4/1/07 2,4 [ARP] 66,414 26,039 ----------------- 6,260,195 - ------------------------------------------------------------------------------------------------- AUSTRALIA--0.9% Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 [AUD] 9,530,000 7,082,569 - ------------------------------------------------------------------------------------------------- AUSTRIA--0.9% Austria (Republic of) Bonds, 6.25%, 7/15/27 [EUR] 3,480,000 5,323,426 - ------------------------------------------------------------------------------------------------- Austria (Republic of) Nts., Series 98-1, 5%, 1/15/08 [EUR] 1,095,000 1,447,433 ----------------- 6,770,859 - ------------------------------------------------------------------------------------------------- BELGIUM--1.4% Belgium (Kingdom of) Bonds: 5%, 9/28/11 [EUR] 540,000 724,356 Series 19, 6.50%, 3/31/05 [EUR] 1,180,000 1,498,177 Series 26, 6.25%, 3/28/07 [EUR] 2,170,000 2,921,904 Series 28, 5.75%, 3/28/08 [EUR] 755,000 1,022,335 Series 32, 3.75%, 3/28/09 [EUR] 2,905,000 3,684,697 Series 35, 5.75%, 9/28/10 [EUR] 1,050,000 1,459,267 ----------------- 11,310,736 - ------------------------------------------------------------------------------------------------- BRAZIL--2.0% Brazil (Federal Republic of) Bonds, Series 15 yr., 2.125%, 4/15/09 1 14,707 14,449 - ------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Debt Capitalization Bonds, Series 20 yr., 8%, 4/15/14 5,523,747 5,465,057 - ------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Nts., 12%, 4/15/10 4,015,000 4,803,948 - ------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Unsec. Unsub. Bonds: 10%, 8/7/11 760,000 842,460 11%, 2/4/10 [EUR] 420,000 593,370 11%, 8/17/40 2,675,000 3,002,019 Cl. B, 8.875%, 4/15/24 958,000 919,680 ----------------- 15,640,983 - ------------------------------------------------------------------------------------------------- BULGARIA--0.3% Bulgaria (Republic of) Bonds: 8.25%, 1/15/15 800,000 990,000 8.25%, 1/15/15 8 800,000 990,000 ----------------- 1,980,000 - ------------------------------------------------------------------------------------------------- COLOMBIA--0.1% Colombia (Republic of) Unsec. Unsub. Bonds, 8.375%, 2/15/27 615,000 571,950 - ------------------------------------------------------------------------------------------------- DENMARK--0.3 % Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 13,975,000 2,400,785 - ------------------------------------------------------------------------------------------------- EL SALVADOR--0.1% El Salvador (Republic of) Bonds, 7.625%, 9/21/34 8 590,000 607,700 - ------------------------------------------------------------------------------------------------- FINLAND--0.0% Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 220,000 274,720 - ------------------------------------------------------------------------------------------------- FRANCE--2.1% France (Government of) Obligations Assimilables du Tresor Bonds: 5.50%, 10/25/07 [EUR] 1,080,000 1,443,877 5.50%, 10/25/10 [EUR] 6,085,000 8,362,207 5.75%, 10/25/32 [EUR] 3,300,000 4,808,051 - ------------------------------------------------------------------------------------------------- France (Government of) Treasury Nts.: 3 yr., 3.50%, 1/12/05 [EUR] 1,460,000 1,822,728 5 yr., 4.75%, 7/12/07 [EUR] 120,000 156,929 ----------------- 16,593,792 - ------------------------------------------------------------------------------------------------- GERMANY--4.3% Germany (Republic of) Bonds: 2%, 6/17/05 [EUR] 2,120,000 2,632,451 5.375%, 1/4/10 [EUR] 1,285,000 1,749,908 Series 01, 5%, 7/4/11 [EUR] 3,685,000 4,950,852 Series 140, 4.50%, 8/17/07 [EUR] 1,395,000 1,813,048 Series 143, 3.50%, 10/10/08 [EUR] 18,100,000 22,816,195 ----------------- 33,962,454 - ------------------------------------------------------------------------------------------------- GREECE--1.9% Greece (Republic of) Bonds: 3.50%, 4/18/08 [EUR] 1,055,000 1,329,809 4.60%, 5/20/13 [EUR] 1,545,000 1,993,694 5.35%, 5/18/11 [EUR] 6,735,000 9,150,633 - ------------------------------------------------------------------------------------------------- Greece (Republic of) Sr. Unsub. Bonds, 4.65%, 4/19/07 [EUR] 1,610,000 2,092,629 ----------------- 14,566,765 - ------------------------------------------------------------------------------------------------- GUATEMALA--0.0% Guatemala (Republic of) Nts.: 10.25%, 11/8/11 8 250,000 292,500 10.25%, 11/8/11 95,000 111,150 ----------------- 403,650 - ------------------------------------------------------------------------------------------------- IRELAND--0. 2% Ireland (Republic of) Treasury Bonds, 3.25%, 4/18/09 [EUR] 1,045,000 1,298,444 - ------------------------------------------------------------------------------------------------- ITALY--1.7% Italy (Republic of) Treasury Bonds: Buoni del Tesoro Poliennali, 4%, 3/1/05 [EUR] 520,000 651,723 Buoni del Tesoro Poliennali, 4.50%, 3/1/07 [EUR] 1,150,000 1,489,264 Buoni del Tesoro Poliennali, 5%, 10/15/07 [EUR] 5,080,000 6,706,281 Buoni del Tesoro Poliennali, 5%, 2/1/12 [EUR] 1,030,000 1,378,952 Buoni del Tesoro Poliennali, 5.25%, 12/15/05 [EUR] 2,590,000 3,327,347 ----------------- 13,553,567 - ------------------------------------------------------------------------------------------------- IVORY COAST--0.0% Ivory Coast (Government of) Past Due Interest Bonds, 1.90%, 3/29/18 2,4,5 [FRF] 2,194,500 72,291 - ------------------------------------------------------------------------------------------------- JAPAN--2.2% Japan (Government of) Bonds, 5 yr., Series 14, 0.40%, 6/20/06 [JPY] 1,882,000,000 17,193,284 - ------------------------------------------------------------------------------------------------- KOREA, REPUBLIC OF SOUTH--0.3% Korea (Republic of) Nts.: 4.25%, 6/1/13 780,000 749,775 8.875%, 4/15/08 1,170,000 1,373,288 ----------------- 2,123,063 - ------------------------------------------------------------------------------------------------- MEXICO--0.8% United Mexican States Bonds: 7.50%, 4/8/33 930,000 979,755 8.30%, 8/15/31 400,000 456,000 Series M20, 8%, 12/7/23 [MXN] 23,040,000 1,557,606 - ------------------------------------------------------------------------------------------------- United Mexican States Nts., 7.50%, 1/14/12 1,300,000 1,468,350 - ------------------------------------------------------------------------------------------------- United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 155,000,000 1,550,352 ----------------- 6,012,063 - ------------------------------------------------------------------------------------------------- NEW ZEALAND--0.1% New Zealand (Government of) Bonds, 7%, 7/15/09 12 [NZD] 1,085,000 760,540 - ------------------------------------------------------------------------------------------------- NIGERIA--0.1% Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 275,000 257,125 - ------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 244,264 221,037 ----------------- 478,162 - ------------------------------------------------------------------------------------------------- PERU--0.3% Peru (Republic of) Past Due Interest Bonds, Series 20 yr., 5%, 3/7/17 1 1,760,000 1,614,800 - ------------------------------------------------------------------------------------------------- Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 9 1,495,066 854,729 ----------------- 2,469,529 - ------------------------------------------------------------------------------------------------- PHILIPPINES--0.1% Philippines (Republic of) Bonds, 8.375%, 2/15/11 438,000 443,947 - ------------------------------------------------------------------------------------------------- POLAND--0.8% Poland (Republic of) Bonds: Series 0K0805, 5.26%, 8/12/05 9 [PLZ] 17,265,000 4,632,601 Series WS0922, 5.75%, 9/23/22 [PLZ] 1,000,000 260,724 Series DS0509, 6%, 5/24/09 [PLZ] 5,000,000 1,369,795 ----------------- 6,263,120 - ------------------------------------------------------------------------------------------------- PORTUGAL--0.7% Portugal (Republic of) Obrig Do Tes Medio Prazo Nts., 4.875%, 8/17/07 [EUR] 1,620,000 2,124,454 - ------------------------------------------------------------------------------------------------- Portugal (Republic of) Obrig Do Tes Medio Prazo Unsec. Unsub. Nts., 5.85%, 5/20/10 [EUR] 2,450,000 3,410,548 ----------------- 5,535,002 - ------------------------------------------------------------------------------------------------- RUSSIA--2.0 Aries Vermoegensverwaltungs GmbH Unsub. Nts., Series B, 7.75%, 10/25/09 2 [EUR] 700,000 922,396 - ------------------------------------------------------------------------------------------------- Ministry Finance of Russian Debs.: Series VI, 3%, 5/14/06 1,980,000 1,939,113 Series V, 3%, 5/14/08 6,395,000 5,803,002 - ------------------------------------------------------------------------------------------------- Russian Federation Unsec. Unsub. Bonds, 5%, 3/31/30 1,8 5,000 4,838 - ------------------------------------------------------------------------------------------------- Russian Federation Unsub. Nts., 5%, 3/31/30 1 7,400,875 7,137,219 ----------------- 15,806,568 - ------------------------------------------------------------------------------------------------- SPAIN--1. 5% Spain (Kingdom of) Bonds: Bonos y Obligacion del Estado, 5.35%, 10/31/11 [EUR] 3,695,000 5,061,822 Bonos y Obligacion del Estado, 5.75%, 7/30/32 [EUR] 2,530,000 3,678,873 - ------------------------------------------------------------------------------------------------- Spain (Kingdom of) Treasury Bills, 2.03%, 10/22/04 9 [EUR] 2,715,000 3,373,119 ----------------- 12,113,814 - ------------------------------------------------------------------------------------------------- SWEDEN--0. 2% Sweden (Kingdom of) Bonds, Series 1043, 5%, 1/28/09 [SEK] 12,070,000 1,747,541 - ------------------------------------------------------------------------------------------------- THE NETHERLANDS--0.7% Netherlands (Kingdom of the) Bonds: 5%, 7/15/11 [EUR] 1,615,000 2,166,964 5.50%, 1/15/28 [EUR] 2,340,000 3,276,818 ----------------- 5,443,782 - ------------------------------------------------------------------------------------------------- TURKEY--0.1% Turkey (Republic of) Nts., 7.25%, 3/15/15 940,000 930,600 - ------------------------------------------------------------------------------------------------- UNITED KINGOM--2.2% United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 9,690,000 17,028,834 - ------------------------------------------------------------------------------------------------- VENEZUELA--0.6% Venezuela (Republic of) Nts.: 2.633%, 4/20/11 1 750,000 647,813 8.50%, 10/8/14 3 1,285,000 1,258,818 10.75%, 9/13/13 2,140,000 2,412,850 - ------------------------------------------------------------------------------------------------- Venezuela (Republic of) Sr. Unsec. Unsub. Bonds, 11%, 3/5/08 [EUR] 420,000 597,418 ----------------- 4,916,899 ----------------- Total Foreign Government Obligations (Cost $224,313,339) 232,618,208 - ------------------------------------------------------------------------------------------------- LOAN PARTICIPATIONS--0.6% Algeria (Republic of) Loan Participation Nts., 2.183%, 3/4/10 1,2 427,167 420,759 - ------------------------------------------------------------------------------------------------- Deutsche Bank AG: Indonesia (Republic of) Rupiah Loan Participation Nts., 2.636%, 1/25/06 1 1,490,000 1,456,922 Indonesia (Republic of) Rupiah Loan Participation Nts., 2.636%, 3/21/05 1 1,330,000 1,323,749 OAO Gazprom Loan Participation Nts., 6.50%, 8/4/05 2 1,520,000 1,557,696 ----------------- Total Loan Participations (Cost $4,623,552) 4,759,126 - ------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--27.7% - ------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--8.0% - ------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0. 5% Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 200,000 213,000 - ------------------------------------------------------------------------------------------------- Collins & Aikman Products Co., 10.75% Sr. Nts., 12/31/11 219,000 220,095 - ------------------------------------------------------------------------------------------------- Dana Corp.: 9% Unsec. Nts., 8/15/11 420,000 509,250 10.125% Nts., 3/15/10 200,000 228,000 - ------------------------------------------------------------------------------------------------- Dura Operating Corp.: 9% Sr. Sub. Nts., Series B, 5/1/09 [EUR] 200,000 221,370 9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 500,000 447,500 - ------------------------------------------------------------------------------------------------- Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 300,000 307,500 - ------------------------------------------------------------------------------------------------- Metaldyne Corp.: 10% Sr. Nts., 11/1/13 8 200,000 187,000 11% Sr. Sub. Nts., 6/15/12 300,000 240,000 - ------------------------------------------------------------------------------------------------- Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 600,000 682,500 - ------------------------------------------------------------------------------------------------- Tenneco Automotive, Inc., 10.25% Sr. Sec. Nts., Series B, 7/15/13 150,000 171,750 - ------------------------------------------------------------------------------------------------- United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 200,000 216,500 ----------------- 3,644,465 - ------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--2.3% Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 2 100,000 89,500 - ------------------------------------------------------------------------------------------------- Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 850,000 945,625 - ------------------------------------------------------------------------------------------------- Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 300,000 336,000 - ------------------------------------------------------------------------------------------------- Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 547,000 594,863 - ------------------------------------------------------------------------------------------------- Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 300,000 317,250 - ------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 7.625% Nts., 12/1/12 600,000 700,500 - ------------------------------------------------------------------------------------------------- Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 325,000 334,750 - ------------------------------------------------------------------------------------------------- Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 625,000 650,781 - ------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc.: 7% Sr. Unsec. Sub. Nts., 3/1/14 400,000 404,000 9% Sr. Sub. Nts., 3/15/12 500,000 557,500 - ------------------------------------------------------------------------------------------------- John Q. Hammons Hotels, Inc., 8.875% Sr. Nts., Series B, 5/15/12 300,000 336,000 - ------------------------------------------------------------------------------------------------- La Quinta Properties, Inc., 7% Sr. Nts., 8/15/12 8 250,000 264,688 - ------------------------------------------------------------------------------------------------- Mandalay Resort Group, 10. 25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 650,000 741,000 - ------------------------------------------------------------------------------------------------- MGM Mirage, Inc.: 8.375% Sr. Unsec. Sub. Nts., 2/1/11 10 1,200,000 1,330,500 9.75% Sr. Unsec. Sub. Nts., 6/1/07 350,000 390,688 - ------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority: 6.375% Sr. Sub. Nts., 7/15/09 250,000 260,625 8% Sr. Sub. Nts., 4/1/12 400,000 444,000 - ------------------------------------------------------------------------------------------------- NCL Corp., 10.625% Sr. Nts., 7/15/14 8 300,000 315,750 - ------------------------------------------------------------------------------------------------- Park Place Entertainment Corp.: 7.875% Sr. Sub. Nts., 3/15/10 200,000 227,000 9.375% Sr. Unsec. Sub. Nts., 2/15/07 800,000 894,000 - ------------------------------------------------------------------------------------------------- Pinnacle Entertainment, Inc., 8. 25% Sr. Unsec. Sub. Nts., 3/15/12 500,000 503,750 - ------------------------------------------------------------------------------------------------- Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 2,4,5 250,000 -- - ------------------------------------------------------------------------------------------------- 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 2 100,000 105,750 - ------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd., 8.75% Sr. Unsub. Nts., 2/2/11 300,000 351,750 - ------------------------------------------------------------------------------------------------- Six Flags, Inc.: 8.875% Sr. Unsec. Nts., 2/1/10 800,000 754,000 9.625% Sr. Nts., 6/1/14 19,000 17,860 9.75% Sr. Nts., 4/15/13 100,000 95,000 - ------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 900,000 1,022,625 - ------------------------------------------------------------------------------------------------- Station Casinos, Inc.: 6.50% Sr. Unsec. Sub. Nts., 2/1/14 800,000 818,000 9.875% Sr. Unsec. Sub. Nts., 7/1/10 2 1,000,000 1,060,000 - ------------------------------------------------------------------------------------------------- Sun International Hotels Ltd., 8.875% Sr. Unsec. Sub. Nts., 8/15/11 700,000 770,875 - ------------------------------------------------------------------------------------------------- Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 500,000 585,000 - ------------------------------------------------------------------------------------------------- Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 500,000 507,500 - ------------------------------------------------------------------------------------------------- Venetian Casino Resort LLC/Las Vegas Sands, Inc., 11% Sec. Nts., 6/15/10 400,000 465,000 ----------------- 17,647,130 - ------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.7% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 400,000 444,000 - ------------------------------------------------------------------------------------------------- Blount, Inc., 8.875% Sr. Sub. Nts., 8/1/12 350,000 373,625 - ------------------------------------------------------------------------------------------------- D.R. Horton, Inc.: 9.375% Sr. Unsec. Sub. Nts., 3/15/11 400,000 449,000 9.75% Sr. Sub. Nts., 9/15/10 400,000 485,000 - ------------------------------------------------------------------------------------------------- KB Home: 7.75% Sr. Nts., 10/15/04 300,000 300,000 8.625% Sr. Sub. Nts., 12/15/08 250,000 282,500 9.50% Sr. Unsec. Sub. Nts., 2/15/11 400,000 447,000 - ------------------------------------------------------------------------------------------------- Meritage Corp., 9.75% Sr. Unsec. Nts., 6/1/11 350,000 394,625 - ------------------------------------------------------------------------------------------------- Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 450,000 456,750 - ------------------------------------------------------------------------------------------------- Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 200,000 231,000 - ------------------------------------------------------------------------------------------------- WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 300,000 336,000 - ------------------------------------------------------------------------------------------------- William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 2 400,000 464,000 - ------------------------------------------------------------------------------------------------- Williams Scotsman, Inc., 9.875% Sr. Unsec. Nts., 6/1/07 800,000 770,000 ----------------- 5,433,500 - ------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS--0.0% Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 200,000 191,000 - ------------------------------------------------------------------------------------------------- MEDIA--3.6% Adelphia Communications Corp.: 7.875% Sr. Unsec. Nts., 5/1/09 4,5 350,000 304,500 10.25% Sr. Unsec. Nts., 11/1/06 4,5 400,000 362,000 10.25% Sr. Unsec. Sub. Nts., 6/15/11 4,5 200,000 189,500 10.875% Sr. Unsec. Nts., 10/1/10 4,5 400,000 370,000 - ------------------------------------------------------------------------------------------------- Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 600,000 624,000 - ------------------------------------------------------------------------------------------------- AMC Entertainment, Inc.: 8% Sr. Sub. Nts., 3/1/14 8 650,000 614,250 9.50% Sr. Unsec. Sub. Nts., 2/1/11 360,000 371,700 - ------------------------------------------------------------------------------------------------- American Media Operations, Inc.: 8.875% Sr. Unsec. Sub. Nts., 1/15/11 150,000 156,375 10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 400,000 423,000 - ------------------------------------------------------------------------------------------------- Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 400,000 425,000 - ------------------------------------------------------------------------------------------------- Carmike Cinemas, Inc., 7.50% Sr. Sub. Nts., 2/15/14 500,000 508,750 - ------------------------------------------------------------------------------------------------- Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.: 0%/11.75% Sr. Unsec. Sub. Disc. Nts., 5/15/11 13 925,000 578,125 8.375% Sr. Nts., Second Lien, 4/30/14 8 750,000 749,063 8.625% Sr. Unsec. Nts., 4/1/09 300,000 234,750 10.75% Sr. Unsec. Nts., 10/1/09 1,100,000 907,500 11.125% Sr. Unsec. Nts., 1/15/11 500,000 407,500 - ------------------------------------------------------------------------------------------------- Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 300,000 336,750 - ------------------------------------------------------------------------------------------------- Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 13 500,000 346,250 - ------------------------------------------------------------------------------------------------- Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 300,000 332,625 - ------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 1,100,000 1,164,625 - ------------------------------------------------------------------------------------------------- Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 200,000 231,000 - ------------------------------------------------------------------------------------------------- Dex Media, Inc., 8% Unsec. Nts., 11/15/13 1,350,000 1,424,250 - ------------------------------------------------------------------------------------------------- DirecTV Holdings LLC/DirecTV Financing Co., Inc., 8.375% Sr. Unsec. Nts., 3/15/13 1,800,000 2,056,500 - ------------------------------------------------------------------------------------------------- EchoStar DBS Corp.: 6.625% Sr. Nts., 10/1/14 3,8 800,000 799,000 9.125% Sr. Nts., 1/15/09 1,075,000 1,201,313 - ------------------------------------------------------------------------------------------------- Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 600,000 625,500 - ------------------------------------------------------------------------------------------------- Entravision Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09 400,000 427,000 - ------------------------------------------------------------------------------------------------- Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 619,000 575,670 - ------------------------------------------------------------------------------------------------- Houghton Mifflin Co., 8.25% Sr. Unsec. Nts., 2/1/11 300,000 315,000 - ------------------------------------------------------------------------------------------------- Insight Midwest LP/Insight Capital, Inc., 9.75% Sr. Nts., 10/1/09 200,000 210,000 - ------------------------------------------------------------------------------------------------- LCE Acquisition Corp., 9% Sr. Sub. Nts., 8/1/14 8 425,000 440,938 - ------------------------------------------------------------------------------------------------- Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 400,000 411,000 - ------------------------------------------------------------------------------------------------- LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 200,000 219,000 - ------------------------------------------------------------------------------------------------- Mediacom LLC/Mediacom Capital Corp., 9. 50% Sr. Unsec. Nts., 1/15/13 769,000 744,008 - ------------------------------------------------------------------------------------------------- MediaNews Group, Inc., 6.375% Sr. Sub. Nts., 4/1/14 800,000 792,000 - ------------------------------------------------------------------------------------------------- News America Holdings, Inc., 8.875% Sr. Debs., 4/26/23 625,000 807,237 - ------------------------------------------------------------------------------------------------- PanAmSat Corp., 9% Sr. Nts., 8/15/14 8 800,000 836,000 - ------------------------------------------------------------------------------------------------- PRIMEDIA, Inc.: 8% Sr. Nts., 5/15/13 8 900,000 860,625 8.875% Sr. Unsec. Nts., 5/15/11 19,000 19,095 - ------------------------------------------------------------------------------------------------- R.H. Donnelley Financial Corp. I, 10.875% Sr. Sub. Nts., 12/15/12 8 400,000 487,000 - ------------------------------------------------------------------------------------------------- Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 600,000 664,500 - ------------------------------------------------------------------------------------------------- Rainbow National Services LLC: 8.75% Sr. Nts., 9/1/12 8 500,000 521,250 10.375% Sr. Sub. Nts., 9/1/14 8 500,000 526,250 - ------------------------------------------------------------------------------------------------- Shaw Communications, Inc., 8. 54% Debs., 9/30/27 2 [CAD] 340,000 269,542 - ------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc.: 8% Sr. Unsec. Sub. Nts., 3/15/12 1,050,000 1,094,625 8.75% Sr. Sub. Nts., 12/15/11 300,000 327,000 - ------------------------------------------------------------------------------------------------- Spanish Broadcasting System, Inc., 9.625% Sr. Unsec. Sub. Nts., 11/1/09 800,000 842,000 - ------------------------------------------------------------------------------------------------- Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 200,000 216,000 - ------------------------------------------------------------------------------------------------- Von Hoffmann Corp., 10. 25% Sr. Unsec. Nts., 3/15/09 200,000 223,000 - ------------------------------------------------------------------------------------------------- WRC Media, Inc./Weekly Reader Corp./CompassLearning, Inc., 12.75% Sr. Sub. Nts., 11/15/09 500,000 457,500 ----------------- 28,030,066 - ------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.1% Saks, Inc.: 8.25% Sr. Unsec. Nts., 11/15/08 700,000 773,500 9.875% Nts., 10/1/11 200,000 239,000 ----------------- 1,012,500 - ------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.6% Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 300,000 318,000 - ------------------------------------------------------------------------------------------------- Atlantic Broadband Finance LLC, 9.375% Sr. Sub. Nts., 1/15/14 8 250,000 238,125 - ------------------------------------------------------------------------------------------------- AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 500,000 577,500 - ------------------------------------------------------------------------------------------------- Building Materials Corp. of America, 7.75% Sr. Nts., 8/1/14 8 400,000 398,000 - ------------------------------------------------------------------------------------------------- CSK Auto, Inc., 7% Sr. Unsec. Nts., 1/15/14 500,000 486,250 - ------------------------------------------------------------------------------------------------- Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 2 400,000 402,000 - ------------------------------------------------------------------------------------------------- Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 6/1/12 8 400,000 432,000 - ------------------------------------------------------------------------------------------------- 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 8 250,000 255,625 8.50% Sr. Sub. Nts., 8/1/14 8 600,000 598,500 - ------------------------------------------------------------------------------------------------- Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 200,000 233,000 - ------------------------------------------------------------------------------------------------- Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 150,000 156,000 ----------------- 4,417,500 - ------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--0. 2% Invista, Inc., 9.25% Sr. Nts., 5/1/12 8 700,000 750,750 - ------------------------------------------------------------------------------------------------- Levi Strauss & Co., 12.25% Sr. Nts., 12/15/12 600,000 637,500 - ------------------------------------------------------------------------------------------------- Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 8 250,000 272,500 - ------------------------------------------------------------------------------------------------- Russell Corp., 9.25% Sr. Nts., 5/1/10 200,000 218,000 ----------------- 1,878,750 - ------------------------------------------------------------------------------------------------- CONSUMER STAPLES--0.9% - ------------------------------------------------------------------------------------------------- BEVERAGES--0.1% Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 300,000 330,750 - ------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.1% Great Atlantic & Pacific Tea Co., Inc. (The), 9.125% Sr. Nts., 12/15/11 419,000 322,630 - ------------------------------------------------------------------------------------------------- Ingles Markets, Inc., 8.875% Sr. Unsec. Sub. Nts., 12/1/11 19,000 20,568 - ------------------------------------------------------------------------------------------------- Real Time Data Co., 13% Disc. Nts., 5/31/09 2,4,5,14 142,981 -- - ------------------------------------------------------------------------------------------------- Rite Aid Corp.: 8.125% Sr. Sec. Nts., 5/1/10 450,000 474,750 9.50% Sr. Sec. Nts., 2/15/11 200,000 221,000 ----------------- 1,038,948 - ------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.6% American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 200,000 214,000 - ------------------------------------------------------------------------------------------------- Burns Philp Capital Property Ltd., 9.75% Sr. Unsec. Sub. Nts., 7/15/12 450,000 483,750 - ------------------------------------------------------------------------------------------------- Chiquita Brands International, Inc., 7.50% Sr. Nts., 11/1/14 8 150,000 150,750 - ------------------------------------------------------------------------------------------------- Del Monte Corp., 8.625% Sr. Sub. Nts., 12/15/12 400,000 447,000 - ------------------------------------------------------------------------------------------------- Doane Pet Care Co.: 9.75% Sr. Unsec. Sub. Nts., 5/15/07 400,000 385,000 10.75% Sr. Nts., 3/1/10 460,000 493,350 - ------------------------------------------------------------------------------------------------- Dole Food Co., Inc.: 8.625% Sr. Nts., 5/1/09 400,000 438,000 8.875% Sr. Unsec. Nts., 3/15/11 200,000 218,500 - ------------------------------------------------------------------------------------------------- Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 2 200,000 213,000 - ------------------------------------------------------------------------------------------------- Pinnacle Foods Holding Corp.: 8.25% Sr. Sub. Nts., 12/1/13 8 200,000 189,500 8.25% Sr. Sub. Nts., 12/1/13 8 400,000 379,000 - ------------------------------------------------------------------------------------------------- Smithfield Foods, Inc., 7.625% Sr. Unsec. Sub. Nts., 2/15/08 400,000 429,000 - ------------------------------------------------------------------------------------------------- Tembec Industries, Inc., 8.50% Sr. Unsec. Nts., 2/1/11 19,000 19,950 - ------------------------------------------------------------------------------------------------- United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 2 [GBP] 400,000 739,331 ----------------- 4,800,131 - ------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.1% AKI, Inc., 10.50% Sr. Unsec. Nts., 7/1/08 350,000 361,813 - ------------------------------------------------------------------------------------------------- Playtex Products, Inc.: 8% Sr. Sec. Nts., 3/1/11 500,000 532,500 9.375% Sr. Unsec. Sub. Nts., 6/1/11 200,000 206,000 ----------------- 1,100,313 - ------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS--0.0% Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 175,000 184,625 - ------------------------------------------------------------------------------------------------- ENERGY--3.2% - ------------------------------------------------------------------------------------------------- Energy Equipment & Services--0.5% Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 300,000 331,500 - ------------------------------------------------------------------------------------------------- Hanover Compress Co., 8.625% Sr. Nts., 12/15/10 300,000 327,000 - ------------------------------------------------------------------------------------------------- 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 1,000,000 1,107,500 - ------------------------------------------------------------------------------------------------- Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 700,000 717,500 - ------------------------------------------------------------------------------------------------- Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 200,000 216,000 - ------------------------------------------------------------------------------------------------- Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 400,000 426,000 ----------------- 3,665,500 - ------------------------------------------------------------------------------------------------- OIL & GAS--2.7% Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 672,000 705,600 - ------------------------------------------------------------------------------------------------- El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 919,000 916,703 - ------------------------------------------------------------------------------------------------- El Paso Energy Corp., 7.625% Nts., 7/15/11 200,000 198,000 - ------------------------------------------------------------------------------------------------- El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 1,200,000 1,209,000 - ------------------------------------------------------------------------------------------------- Enterprise Products Operating LP, 5.60% Sr. Nts., 10/15/14 3,8 400,000 403,809 - ------------------------------------------------------------------------------------------------- EXCO Resources, Inc., 7.25% Sr. Nts., 1/15/11 400,000 426,000 - ------------------------------------------------------------------------------------------------- Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 300,000 327,750 - ------------------------------------------------------------------------------------------------- Frontier Oil Corp.: 6.625% Sr. Nts., 10/1/11 3,8 200,000 203,500 11.75% Sr. Nts., 11/15/09 400,000 428,500 - ------------------------------------------------------------------------------------------------- Gazprom International SA, 7.201% Sr. Unsec. Bonds, 2/1/20 4,110,000 4,172,595 - ------------------------------------------------------------------------------------------------- GulfTerra Energy Partners LP: 8. 50% Sr. Unsec. Sub. Nts., Series B, 6/1/10 216,000 252,450 10.625% Sr. Sub. Nts., 12/1/12 2 235,000 296,100 - ------------------------------------------------------------------------------------------------- Newfield Exploration Co.: 6.625% Sr. Unsec. Sub. Nts., 9/1/14 8 600,000 628,500 8.375% Sr. Sub. Nts., 8/15/12 500,000 565,000 - ------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust: 6.625% Nts., 4/4/10 [EUR] 690,000 931,916 8.50% Unsub. Nts., 2/15/08 420,000 473,025 - ------------------------------------------------------------------------------------------------- Pioneer Natural Resources Co., 5.875% Sr. Unsec. Nts., 7/15/16 600,000 627,473 - ------------------------------------------------------------------------------------------------- Plains Exploration & Production Co., 7.125% Sr. Nts., 6/15/14 8 300,000 323,250 - ------------------------------------------------------------------------------------------------- Premcor Refining Group, Inc.: 6.75% Sr. Nts., 5/1/14 350,000 364,000 9.50% Sr. Nts., 2/1/13 900,000 1,064,250 - ------------------------------------------------------------------------------------------------- Range Resources Corp., 7.375% Sr. Sub. Nts., 7/15/13 200,000 211,000 - ------------------------------------------------------------------------------------------------- Southern Natural Gas Co., 8% Sr. Unsub. Nts., 3/1/32 300,000 311,250 - ------------------------------------------------------------------------------------------------- Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 1,800,000 1,876,500 - ------------------------------------------------------------------------------------------------- Tesoro Petroleum Corp.: 8% Sr. Sec. Nts., 4/15/08 1,000,000 1,085,000 9.625% Sr. Sub. Nts., 4/1/12 19,000 22,088 - ------------------------------------------------------------------------------------------------- Whiting Petroleum Corp., 7. 25% Sr. Sub. Nts., 5/1/12 400,000 406,000 - ------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The): 7.125% Nts., 9/1/11 1,100,000 1,212,750 7.625% Nts., 7/15/19 700,000 770,000 - ------------------------------------------------------------------------------------------------- XTO Energy, Inc., 7.50% Sr. Nts., 4/15/12 500,000 588,261 ----------------- 21,000,270 - ------------------------------------------------------------------------------------------------- FINANCIALS--0.9% - ------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.2% American Color Graphics, Inc., 10% Sr. Sec. Nts., 6/15/10 200,000 155,000 - ------------------------------------------------------------------------------------------------- BCP Caylux Holdings Luxembourg SCA, 9.625% Sr. Sub. Nts., 6/15/14 8 450,000 488,250 - ------------------------------------------------------------------------------------------------- Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 750,000 851,250 ----------------- 1,494,500 - ------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--0.1% Bank Plus Corp., 12% Sr. Nts., 7/18/07 7,000 7,525 - ------------------------------------------------------------------------------------------------- BankUnited Capital Trust, 10. 25% Capital Securities, 12/31/26 100,000 109,500 - ------------------------------------------------------------------------------------------------- Ongko International Finance Co. BV, 10. 50% Sec. Nts., 3/29/10 2,4,5 90,000 563 - ------------------------------------------------------------------------------------------------- Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 500,000 567,500 ----------------- 685,088 - ------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--0.2% Global Cash Access LLC/Global Cash Finance Corp., 8.75% Sr. Sub. Nts., 3/15/12 8 275,000 292,875 - ------------------------------------------------------------------------------------------------- Jostens IH Corp., 7.625% Sr. Sub. Nts., 10/1/12 2,3 250,000 252,500 - ------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust, 7.375% Unsec. Unsub. Nts., 12/15/14 740,000 808,450 - ------------------------------------------------------------------------------------------------- SBS Agro Finance BV, 10. 25% Bonds, 7/21/00 2,4,5 339,000 -- ----------------- 1,353,825 - ------------------------------------------------------------------------------------------------- INSURANCE--0.0% Arbor I Ltd., 17.38% Nts., 6/15/06 1, 8 500,000 516,650 - ------------------------------------------------------------------------------------------------- Leap Wireless International, Inc.: 4/1/27, Escrow Shares 15 100,000 4,000 4/1/27, Escrow Shares 15 700,000 22,750 ----------------- 543,400 - ------------------------------------------------------------------------------------------------- REAL ESTATE--0.4% American Casino & Entertainment Properties LLC, 7.85% Sr. Sec. Nts., 2/1/12 8 500,000 527,500 - ------------------------------------------------------------------------------------------------- Felcor Lodging LP, 9% Sr. Nts., 6/1/11 425,000 469,625 - ------------------------------------------------------------------------------------------------- HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 202,000 208,818 - ------------------------------------------------------------------------------------------------- Host Marriott LP, 9.50% Sr. Nts., 1/15/07 400,000 445,000 - ------------------------------------------------------------------------------------------------- MeriStar Hospitality Corp., 9.125% Sr. Unsec. Nts., 1/15/11 1,319,000 1,388,248 ----------------- 3,039,191 - ------------------------------------------------------------------------------------------------- HEALTH CARE--1.6% - ------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.1% Polypore, Inc., 8.75% Sr. Sub. Nts., 5/15/12 8 400,000 417,000 - ------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.2% Fisher Scientific International, Inc., 8.125% Sr. Sub. Nts., 5/1/12 261,000 292,320 - ------------------------------------------------------------------------------------------------- HMP Equity Holdings Corp., 23.04% Sr. Disc. Nts., 5/15/08 2,9 300,000 190,500 - ------------------------------------------------------------------------------------------------- Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 8 350,000 353,500 - ------------------------------------------------------------------------------------------------- Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 2 300,000 326,250 - ------------------------------------------------------------------------------------------------- Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2 300,000 306,000 - ------------------------------------------------------------------------------------------------- Vanguard Health Holding II, Inc., 9% Sr. Sub. Nts., 10/1/14 8 212,000 213,590 ----------------- 1,682,160 - ------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.3% Alderwoods Group, Inc., 7.75% Sr. Nts., 9/15/12 8 450,000 478,125 - ------------------------------------------------------------------------------------------------- AmeriPath, Inc., 10. 50% Sr. Unsec. Sub. Nts., 4/1/13 300,000 307,500 - ------------------------------------------------------------------------------------------------- Beverly Enterprises, Inc., 7.875% Sr. Sub. Nts., 6/15/14 8 300,000 322,500 - ------------------------------------------------------------------------------------------------- Extendicare Health Services, Inc.: 6.875% Sr. Sub. Nts., 5/1/14 300,000 307,500 9.50% Sr. Unsec. Sub. Nts., 7/1/10 300,000 338,250 - ------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 900,000 985,500 - ------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 2 [DEM] 25,000 17,248 - ------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 600,000 669,000 - ------------------------------------------------------------------------------------------------- Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 200,000 219,000 - ------------------------------------------------------------------------------------------------- HCA, Inc., 6.30% Sr. Unsec. Nts., 10/1/12 500,000 519,196 - ------------------------------------------------------------------------------------------------- HealthSouth Corp.: 7.625% Nts., 6/1/12 1,000,000 972,500 10.75% Sr. Unsec. Sub. Nts., 10/1/08 19,000 19,831 - ------------------------------------------------------------------------------------------------- Magellan Health Services, Inc., 9.375% Sr. Unsec. Nts., Series A, 11/15/08 653,675 710,872 - ------------------------------------------------------------------------------------------------- Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 600,000 687,000 - ------------------------------------------------------------------------------------------------- NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 250,000 274,375 - ------------------------------------------------------------------------------------------------- PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 585,000 677,138 - ------------------------------------------------------------------------------------------------- Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 300,000 319,500 - ------------------------------------------------------------------------------------------------- Tenet Healthcare Corp.: 6.375% Sr. Nts., 12/1/11 744,000 671,460 7.375% Nts., 2/1/13 19,000 17,955 9.875% Sr. Nts., 7/1/14 8 350,000 367,500 - ------------------------------------------------------------------------------------------------- Triad Hospitals, Inc.: 7% Sr. Nts., 5/15/12 200,000 210,000 7% Sr. Sub. Nts., 11/15/13 500,000 511,250 - ------------------------------------------------------------------------------------------------- US Oncology, Inc.: 9% Sr. Nts., 8/15/12 8 300,000 312,000 10.75% Sr. Sub. Nts., 8/15/14 8 300,000 309,750 ----------------- 10,224,950 - ------------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.0% Valeant Pharmaceuticals International, Inc., 7% Sr. Nts., 12/15/11 350,000 356,125 - ------------------------------------------------------------------------------------------------- INDUSTRIALS--2.8% - ------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.4% Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 300,000 328,500 - ------------------------------------------------------------------------------------------------- BE Aerospace, Inc.: 8.50% Sr. Unsec. Nts., 10/1/10 200,000 219,000 8.875% Sr. Unsec. Sub. Nts., 5/1/11 219,000 222,833 - ------------------------------------------------------------------------------------------------- K&F Industries, Inc., 9.625% Sr. Unsec. Sub. Nts., 12/15/10 225,000 251,438 - ------------------------------------------------------------------------------------------------- L-3 Communications Holdings, Inc., 7.625% Sr. Sub. Nts., 6/15/12 300,000 331,500 - ------------------------------------------------------------------------------------------------- Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 2 350,000 397,250 - ------------------------------------------------------------------------------------------------- TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 400,000 430,000 - ------------------------------------------------------------------------------------------------- TRW Automotive, Inc.: 9.375% Sr. Nts., 2/15/13 223,000 255,893 11% Sr. Sub. Nts., 2/15/13 194,000 231,830 - ------------------------------------------------------------------------------------------------- Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 200,000 193,000 ----------------- 2,861,244 - ------------------------------------------------------------------------------------------------- AIRLINES--0.1% America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 450,000 443,813 - ------------------------------------------------------------------------------------------------- ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 1 735,000 264,600 ----------------- 708,413 - ------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.1% Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 200,000 230,500 - ------------------------------------------------------------------------------------------------- Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 311,000 345,210 - ------------------------------------------------------------------------------------------------- North America Energy Partners, Inc., 8.75% Sr. Unsec. Nts., 12/1/11 8 150,000 147,000 ----------------- 722,710 - ------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--1.1% Allied Waste North America, Inc.: 7.875% Sr. Nts., 4/15/13 700,000 742,000 8.50% Sr. Sub. Nts., 12/1/08 900,000 981,000 8.875% Sr. Nts., Series B, 4/1/08 800,000 872,000 9.25% Sr. Sec. Debs., Series B, 9/1/12 950,000 1,061,625 - ------------------------------------------------------------------------------------------------- Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 1,000,000 980,000 - ------------------------------------------------------------------------------------------------- Coinmach Corp., 9% Sr. Nts., 2/1/10 250,000 260,625 - ------------------------------------------------------------------------------------------------- Corrections Corp. of America: 7.50% Sr. Nts., 5/1/11 200,000 212,250 9.875% Sr. Nts., 5/1/09 300,000 336,375 - ------------------------------------------------------------------------------------------------- Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 2 150,000 151,875 - ------------------------------------------------------------------------------------------------- Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 384,000 391,200 - ------------------------------------------------------------------------------------------------- Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 400,000 442,000 - ------------------------------------------------------------------------------------------------- Protection One, Inc./Protection One Alarm Monitoring, Inc., 7.375% Sr. Unsec. Nts., 8/15/05 400,000 398,500 - ------------------------------------------------------------------------------------------------- Synagro Technologies, Inc., 9.50% Sr. Sub. Nts., 4/1/09 200,000 215,000 - ------------------------------------------------------------------------------------------------- United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 1,100,000 981,750 - ------------------------------------------------------------------------------------------------- Videotron Ltee, 6.875% Sr. Unsec. Nts., 1/15/14 200,000 206,000 - ------------------------------------------------------------------------------------------------- Waste Services, Inc., 9.50% Sr. Sub. Nts., 4/15/14 8 300,000 286,500 ----------------- 8,518,700 - ------------------------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING--0.1% Integrated Electrical Services, Inc., 9.375% Sr. Sub. Nts., Series C, 2/1/09 700,000 689,500 - ------------------------------------------------------------------------------------------------- URS Corp.: 11.50% Sr. Unsec. Nts., 9/15/09 97,000 112,035 12.25% Sr. Sub. Nts., Series B, 5/1/09 2 37,000 39,590 ----------------- 841,125 - ------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--0.2% - ------------------------------------------------------------------------------------------------- Belden & Blake Corp., 8.75% Sr. Sec. Nts., 7/15/12 8 325,000 347,750 - ------------------------------------------------------------------------------------------------- Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 200,000 197,000 - ------------------------------------------------------------------------------------------------- General Cable Corp., 9.50% Sr. Nts., 11/15/10 200,000 223,000 - ------------------------------------------------------------------------------------------------- Riverside Forest Products Ltd., 7.875% Sr. Unsec. Sub. Nts., 3/1/14 300,000 319,500 ----------------- 1,087,250 - ------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.0% Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 250,000 217,500 - ------------------------------------------------------------------------------------------------- MACHINERY--0.5% AGCO Corp., 9.50% Sr. Unsec. Nts., 5/1/08 2 800,000 868,000 - ------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The), 10.50% Sr. Sub. Nts., 8/1/12 2 500,000 578,750 - ------------------------------------------------------------------------------------------------- Milacron Escrow Corp., 11. 50% Sr. Sec. Nts., 5/15/11 8 600,000 639,000 - ------------------------------------------------------------------------------------------------- Navistar International Corp., 7.50% Sr. Nts., 6/15/11 400,000 429,000 - ------------------------------------------------------------------------------------------------- NMHG Holding Co., 10% Sr. Nts., 5/15/09 300,000 331,500 - ------------------------------------------------------------------------------------------------- SPX Corp., 7.50% Sr. Nts., 1/1/13 600,000 612,750 - ------------------------------------------------------------------------------------------------- Terex Corp., 9.25% Sr. Unsec. Sub. Nts., 7/15/11 400,000 450,000 - ------------------------------------------------------------------------------------------------- Trinity Industries, Inc., 6. 50% Sr. Nts., 3/15/14 2 300,000 297,000 ----------------- 4,206,000 - ------------------------------------------------------------------------------------------------- MARINE--0.1% CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 600,000 690,000 - ------------------------------------------------------------------------------------------------- Millenium Seacarriers, Inc., 12% Sr. Sec. Nts., 7/15/05 2,4,5 250,000 6,025 - ------------------------------------------------------------------------------------------------- Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 2,4,5 175,000 114,625 ----------------- 810,650 - ------------------------------------------------------------------------------------------------- ROAD & RAIL--0.1% - ------------------------------------------------------------------------------------------------- Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 400,000 411,000 Stena AB: 7.50% Sr. Unsec. Nts., 11/1/13 387,000 389,419 9.625% Sr. Nts., 12/1/12 250,000 280,313 ----------------- 1,080,732 - ------------------------------------------------------------------------------------------------- TRANSPORTATION INFRASTRUCTURE--0.1% Horizon Lines LLC, 9% Nts., 11/1/12 8 300,000 318,000 - ------------------------------------------------------------------------------------------------- Worldspan LP/Worldspan Financial Corp., 9.625% Sr. Nts., 6/15/11 300,000 273,750 ----------------- 591,750 - ------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.7% - ------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.0% Orion Network Systems, Inc., 12. 50% Sr. Unsub. Disc. Nts., 1/15/07 2,4,5 675,000 330,750 - ------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.0% Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 200,000 214,000 - ------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2% Ingram Micro, Inc., 9.875% Sr. Unsec. Sub. Nts., 8/15/08 700,000 769,125 - ------------------------------------------------------------------------------------------------- Sensus Metering System, Inc., 8.625% Sr. Unsec. Sub. Nts., 12/15/13 450,000 461,250 ----------------- 1,230,375 - ------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.0% Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 2,4,5 [EUR] 338,620 4,211 - ------------------------------------------------------------------------------------------------- Globix Corp., 11% Sr. Nts., 5/1/08 2 42,888 39,671 - ------------------------------------------------------------------------------------------------- NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 2,4 200,173 -- - ------------------------------------------------------------------------------------------------- PSINet, Inc.: 10. 50% Sr. Unsec. Nts., 12/1/06 2,4,5 [EUR] 100,000 4,897 11% Sr. Nts., 8/1/09 2,4,5 270,467 18,257 - ------------------------------------------------------------------------------------------------- Verado Holdings, Inc., 13% Sr. Disc. Nts., 4/15/08 2,4,5 250,000 25 ----------------- 67,061 - ------------------------------------------------------------------------------------------------- IT SERVICES--0.1% Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 400,000 426,000 - ------------------------------------------------------------------------------------------------- Titan Corp. (The), 8% Sr. Sub. Nts., 5/15/11 100,000 104,500 ----------------- 530,500 - ------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.4% AMI Semiconductor, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/1/13 2 389,000 455,130 - ------------------------------------------------------------------------------------------------- Amkor Technology, Inc.: 7.75% Sr. Nts., 5/15/13 500,000 412,500 9.25% Sr. Unsec. Sub. Nts., 2/15/08 250,000 233,750 - ------------------------------------------------------------------------------------------------- ChipPAC International Co. Ltd., 12.75% Sr. Unsec. Sub. Nts., Series B, 8/1/09 2 600,000 638,250 - ------------------------------------------------------------------------------------------------- Freescale Semiconductor, Inc., 7.125% Sr. Nts., 7/15/14 8 500,000 522,500 - ------------------------------------------------------------------------------------------------- Micron Technology, Inc., 6.50% Sub. Nts., 9/30/05 1,000,000 995,000 ----------------- 3,257,130 - ------------------------------------------------------------------------------------------------- MATERIALS--4. 2% - ------------------------------------------------------------------------------------------------- CHEMICALS--1.4% Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 450,000 506,250 - ------------------------------------------------------------------------------------------------- Crompton Corp., 9.875% Sr. Nts., 8/1/12 8 350,000 369,250 - ------------------------------------------------------------------------------------------------- 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 19,000 21,518 10.625% Sr. Unsec. Nts., 5/1/11 900,000 1,030,500 - ------------------------------------------------------------------------------------------------- Huntsman Co. LLC: 11.50% Sr. Nts., 7/15/12 8 650,000 720,688 11.625% Sr. Unsec. Nts., 10/15/10 19,000 22,088 - ------------------------------------------------------------------------------------------------- Huntsman Corp./ICI Chemical Co. plc: 10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 200,000 259,456 10.125% Sr. Unsec. Sub. Nts., 7/1/09 1,400,000 1,477,000 13.09% Sr. Unsec. Disc. Nts., 12/31/09 2,9 600,000 321,000 - ------------------------------------------------------------------------------------------------- Huntsman International LLC, 9.875% Sr. Nts., 3/1/09 850,000 941,375 - ------------------------------------------------------------------------------------------------- IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 19,000 24,083 - ------------------------------------------------------------------------------------------------- Innophos, Inc., 8.875% Sr. Sub. Nts., 8/15/14 8 400,000 428,000 - ------------------------------------------------------------------------------------------------- ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 200,000 221,000 - ------------------------------------------------------------------------------------------------- Lyondell Chemical Co.: 9.50% Sec. Nts., 12/15/08 19,000 20,829 9.875% Sec. Nts., Series B, 5/1/07 1,260,000 1,337,175 - ------------------------------------------------------------------------------------------------- Millennium America, Inc., 9. 25% Sr. Unsec. Sub. Nts., 6/15/08 100,000 110,750 - ------------------------------------------------------------------------------------------------- PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 113,061 111,365 - ------------------------------------------------------------------------------------------------- Pioneer Cos., Inc., 5.086% Sr. Sec. Nts., 12/31/06 1,2 35,804 35,267 - ------------------------------------------------------------------------------------------------- PolyOne Corp.: 8.875% Sr. Unsec. Nts., 5/1/12 1,200,000 1,230,000 10.625% Sr. Unsec. Nts., 5/15/10 19,000 20,900 - ------------------------------------------------------------------------------------------------- Resolution Performance Products LLC: 8% Sr. Sec. Nts., 12/15/09 2 250,000 259,375 13.50% Sr. Unsec. Sub. Nts., 11/15/10 100,000 97,500 - ------------------------------------------------------------------------------------------------- Rhodia SA, 10. 25% Sr. Unsec. Nts., 6/1/10 550,000 572,000 - ------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc.: 10% Sr. Sec. Nts., 12/19/07 2 170,473 161,097 11.25% Sr. Sub. Nts., 8/15/06 2,4,5 540,000 -- - ------------------------------------------------------------------------------------------------- Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 2 260,000 293,150 ----------------- 11,024,616 - ------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.1% Texas Industries, Inc., 10. 25% Sr. Unsec. Nts., 6/15/11 2 400,000 462,000 - ------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--1.1% Consumers International, Inc., 10. 25% Sr. Sec. Nts., 4/1/05 2,4,5 250,000 625 - ------------------------------------------------------------------------------------------------- Crown Euro Holdings SA: 9.50% Sr. Sec. Nts., 3/1/11 500,000 560,000 10.875% Sr. Sec. Nts., 3/1/13 200,000 233,500 - ------------------------------------------------------------------------------------------------- Graham Packaging Co., Inc.: 8.50% Sr. Nts., 10/15/12 3,8 200,000 205,000 9.875% Sub. Nts., 10/15/14 3,8 300,000 308,625 - ------------------------------------------------------------------------------------------------- Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 500,000 561,250 9.50% Sr. Sub. Nts., 8/15/13 350,000 401,625 - ------------------------------------------------------------------------------------------------- Jefferson Smurfit Corp.: 7.50% Sr. Unsec. Unsub. Nts., 6/1/13 300,000 318,000 8.25% Sr. Unsec. Nts., 10/1/12 250,000 276,875 - ------------------------------------------------------------------------------------------------- MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 400,000 454,000 - ------------------------------------------------------------------------------------------------- Owens-Brockway Glass Container, Inc.: 7.75% Sr. Sec. Nts., 5/15/11 450,000 481,500 8.25% Sr. Unsec. Nts., 5/15/13 419,000 448,330 8.75% Sr. Sec. Nts., 11/15/12 1,000,000 1,115,000 8.875% Sr. Sec. Nts., 2/15/09 200,000 218,500 - ------------------------------------------------------------------------------------------------- Pliant Corp., 0%/11.125% Sr. Sec. Disc. Nts., 6/15/09 13 400,000 344,000 - ------------------------------------------------------------------------------------------------- Solo Cup Co., 8. 50% Sr. Sub. Nts., 2/15/14 300,000 297,000 - ------------------------------------------------------------------------------------------------- Stone Container Corp.: 8.375% Sr. Nts., 7/1/12 850,000 941,375 9.25% Sr. Unsec. Nts., 2/1/08 200,000 223,500 9.75% Sr. Unsec. Nts., 2/1/11 600,000 667,500 - ------------------------------------------------------------------------------------------------- Stone Container Finance Co. of Canada II, 7.375% Sr. Nts., 7/15/14 8 300,000 315,750 - ------------------------------------------------------------------------------------------------- TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 500,000 521,250 ----------------- 8,893,205 - ------------------------------------------------------------------------------------------------- METALS & MINING--1.0% AK Steel Corp.: 7.75% Sr. Unsec. Nts., 6/15/12 19,000 18,668 7.875% Sr. Unsec. Nts., 2/15/09 500,000 498,750 - ------------------------------------------------------------------------------------------------- Arch Western Finance LLC, 7.25% Sr. Nts., 7/1/13 8 400,000 432,000 - ------------------------------------------------------------------------------------------------- California Steel Industries, Inc., 6.125% Sr. Nts., 3/15/14 400,000 392,000 - ------------------------------------------------------------------------------------------------- Century Aluminum Co., 7.50% Sr. Nts., 8/15/14 8 600,000 634,500 - ------------------------------------------------------------------------------------------------- Foundation PA Coal Co., 7.25% Sr. Nts., 8/1/14 8 250,000 266,875 - ------------------------------------------------------------------------------------------------- IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 300,000 331,500 - ------------------------------------------------------------------------------------------------- International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 2,4,5 71,000 -- - ------------------------------------------------------------------------------------------------- Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 900,000 996,750 - ------------------------------------------------------------------------------------------------- Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 2 500,000 557,500 - ------------------------------------------------------------------------------------------------- Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 4,5 500,000 485,000 - ------------------------------------------------------------------------------------------------- Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 2 300,000 333,000 - ------------------------------------------------------------------------------------------------- Massey Energy Co., 6.625% Sr. Nts., 11/15/10 200,000 209,500 - ------------------------------------------------------------------------------------------------- Metallurg, Inc., 11% Sr. Nts., 12/1/07 500,000 302,500 - ------------------------------------------------------------------------------------------------- Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 400,000 439,000 - ------------------------------------------------------------------------------------------------- Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 400,000 434,000 - ------------------------------------------------------------------------------------------------- Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 200,000 223,000 - ------------------------------------------------------------------------------------------------- UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 300,000 345,000 - ------------------------------------------------------------------------------------------------- United States Steel Corp., 9.75% Sr. Nts., 5/15/10 336,000 386,400 - ------------------------------------------------------------------------------------------------- United States Steel LLC, 10.75% Sr. Nts., 8/1/08 519,000 615,015 ----------------- 7,900,958 - ------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.6% Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 200,000 215,500 - ------------------------------------------------------------------------------------------------- Appleton Papers, Inc., 8.125% Sr. Nts., 6/15/11 8 300,000 310,500 - ------------------------------------------------------------------------------------------------- Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 100,000 108,000 - ------------------------------------------------------------------------------------------------- Fort James Corp., 6.875% Sr. Nts., 9/15/07 500,000 535,000 - ------------------------------------------------------------------------------------------------- Georgia-Pacific Corp.: 8.125% Sr. Unsec. Nts., 5/15/11 1,050,000 1,218,000 9.375% Sr. Unsec. Nts., 2/1/13 800,000 946,000 - ------------------------------------------------------------------------------------------------- Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 2,4 300,000 139,500 - ------------------------------------------------------------------------------------------------- Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 300,000 315,000 - ------------------------------------------------------------------------------------------------- Tekni-Plex, Inc.: 8.75% Sr. Sec. Nts., 11/15/13 8 669,000 638,895 12.75% Sr. Unsec. Sub. Nts., Series B, 6/15/10 200,000 168,000 - ------------------------------------------------------------------------------------------------- Western Forest Products, Inc., 15% Sec. Nts., 7/28/09 2 187,000 207,570 ----------------- 4,801,965 - ------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--3.0% - ------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.1% 360networks, Inc., 13% Sr. Unsec. Nts., 5/1/08 2,4,5 [EUR] 250,000 -- - ------------------------------------------------------------------------------------------------- American Tower Corp., 9.375% Sr. Nts., 2/1/09 457,000 486,705 - ------------------------------------------------------------------------------------------------- COLO.com, Inc., 13.875% Sr. Nts., 3/15/10 2,4,5 333,170 33 - ------------------------------------------------------------------------------------------------- Crown Castle International Corp., 7.50% Sr. Nts., 12/1/13 400,000 421,000 - ------------------------------------------------------------------------------------------------- Dex Media West LLC/Dex Media West Finance Co.: 8.50% Sr. Nts., 8/15/10 300,000 342,000 9.875% Sr. Sub. Nts., 8/15/13 586,000 691,480 - ------------------------------------------------------------------------------------------------- IPC Acquisition Corp., 11. 50% Sr. Sub. Nts., 12/15/09 200,000 221,000 - ------------------------------------------------------------------------------------------------- MCI, Inc.: 5.908% Sr. Unsec. Nts., 5/1/07 268,000 266,325 6.688% Sr. Unsec. Nts., 5/1/09 68,000 65,705 7.735% Sr. Unsec. Nts., 5/1/14 58,000 55,100 - ------------------------------------------------------------------------------------------------- Qwest Capital Funding, Inc., 7.90% Unsec. Nts., 8/15/10 19,000 17,623 - ------------------------------------------------------------------------------------------------- Qwest Communications International, Inc., 7.25% Sr. Nts., 2/15/11 8 300,000 285,750 - ------------------------------------------------------------------------------------------------- Qwest Corp., 9.125% Nts., 3/15/12 8 800,000 884,000 - ------------------------------------------------------------------------------------------------- Qwest Services Corp., 14% Nts., 12/15/10 1,8 2,700,000 3,165,750 - ------------------------------------------------------------------------------------------------- Teligent, Inc., 11.50% Sr. Nts., 12/1/07 2,4,5 500,000 -- - ------------------------------------------------------------------------------------------------- Telus Corp., 7.50% Nts., 6/1/07 790,000 866,805 - ------------------------------------------------------------------------------------------------- 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., 2/1/11 550,000 530,750 - ------------------------------------------------------------------------------------------------- Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/10 2,4,5 250,000 -- ----------------- 8,598,526 - ------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--1.9% Alamosa Delaware, Inc.: 8.50% Sr. Nts., 1/31/12 400,000 407,000 11% Sr. Unsec. Nts., 7/31/10 19,000 21,613 12.50% Sr. Unsec. Nts., 2/1/11 50,000 56,250 - ------------------------------------------------------------------------------------------------- American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 675,000 550,125 - ------------------------------------------------------------------------------------------------- American Tower Corp., 7.50% Sr. Nts., 5/1/12 400,000 410,000 - ------------------------------------------------------------------------------------------------- American Tower Escrow Corp., 12.25% Sr. Sub. Disc. Nts., 8/1/08 9 800,000 600,000 - ------------------------------------------------------------------------------------------------- AT&T Corp., 8.75% Sr. Nts., 11/15/31 1 500,000 547,500 - ------------------------------------------------------------------------------------------------- CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 2,4,5 400,000 -- - ------------------------------------------------------------------------------------------------- Centennial Cellular Operating Co./Centennial Communications Corp., 10.125% Sr. Nts., 6/15/13 1,050,000 1,110,375 - ------------------------------------------------------------------------------------------------- Crown Castle International Corp., 10.75% Sr. Nts., 8/1/11 1,000,000 1,117,500 - ------------------------------------------------------------------------------------------------- Dobson Communications Corp.: 8.875% Sr. Nts., 10/1/13 419,000 272,350 10.875% Sr. Unsec. Nts., 7/1/10 600,000 435,000 - ------------------------------------------------------------------------------------------------- Nextel Communications, Inc.: 7.375% Sr. Nts., 8/1/15 1,380,000 1,490,400 9.50% Sr. Unsec. Nts., 2/1/11 1,000,000 1,140,000 - ------------------------------------------------------------------------------------------------- Nextel Partners, Inc., 12.50% Sr. Nts., 11/15/09 2 342,000 396,720 - ------------------------------------------------------------------------------------------------- Rural Cellular Corp.: 8.25% Sr. Sec. Nts., 3/15/12 8 275,000 281,188 9.625% Sr. Sub. Nts., Series B, 5/15/08 500,000 465,000 9.75% Sr. Sub. Nts., 1/15/10 519,000 454,125 9.875% Sr. Nts., 2/1/10 300,000 298,500 - ------------------------------------------------------------------------------------------------- SBA Communications Corp., 10.25% Sr. Unsec. Nts., 2/1/09 700,000 752,500 - ------------------------------------------------------------------------------------------------- SBA Telecommunications, Inc./SBA Communications Corp., 0%/9.75% Sr. Disc. Nts., 12/15/11 13 1,169,000 952,735 - ------------------------------------------------------------------------------------------------- Triton PCS, Inc.: 8.50% Sr. Unsec. Nts., 6/1/13 550,000 501,875 8.75% Sr. Unsec. Sub. Nts., 11/15/11 219,000 150,015 - ------------------------------------------------------------------------------------------------- UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 600,000 627,750 - ------------------------------------------------------------------------------------------------- US Unwired, Inc.: 0%/13.375% Sr. Unsec. Sub. Disc. Nts., Series B, 11/1/09 2,13 900,000 933,750 10% Sr. Sec. Nts., 6/15/12 250,000 260,625 - ------------------------------------------------------------------------------------------------- Western Wireless Corp., 9.25% Sr. Unsec. Nts., 7/15/13 469,000 480,725 ----------------- 14,713,621 - ------------------------------------------------------------------------------------------------- UTILITIES--2.4% - ------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.4% AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 8 700,000 792,750 - ------------------------------------------------------------------------------------------------- Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12 8 19,000 21,090 - ------------------------------------------------------------------------------------------------- Caithness Coso Funding Corp., 9.05% Sr. Sec. Nts., Series B, 12/15/09 318,255 351,672 - ------------------------------------------------------------------------------------------------- Calpine Corp.: 7.625% Sr. Nts., 4/15/06 400,000 372,000 8.75% Sr. Nts., 7/15/07 250,000 199,375 - ------------------------------------------------------------------------------------------------- Central Termica Guemes SA, 2% Nts., 1/1/12 2 90,000 9,000 - ------------------------------------------------------------------------------------------------- CMS Energy Corp.: 7.50% Sr. Nts., 1/15/09 19,000 19,998 7.75% Sr. Nts., 8/1/10 8 200,000 212,500 8.50% Sr. Nts., 4/15/11 250,000 273,750 9.875% Sr. Unsec. Nts., 10/15/07 900,000 1,004,625 - ------------------------------------------------------------------------------------------------- CMS Energy X-TRAS Pass-Through Trust I, 7% Sr. Unsec. Pass- Through Certificates, 1/15/05 300,000 303,166 - ------------------------------------------------------------------------------------------------- Edison Mission Energy, 10% Sr. Unsec. Nts., 8/15/08 800,000 940,000 - ------------------------------------------------------------------------------------------------- Funding Corp./Beaver Valley Funding Corp., 9% Second Lease Obligation Bonds, 6/1/17 199,000 232,847 - ------------------------------------------------------------------------------------------------- Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 1,000,000 1,095,000 - ------------------------------------------------------------------------------------------------- Mirant Americas Generation LLC, 7.625% Sr. Unsec. Nts., 5/1/06 4,5 200,000 178,000 - ------------------------------------------------------------------------------------------------- MSW Energy Holdings II LLC/MSW Energy Finance Co. II, Inc., 7.375% Sr. Sec. Nts., Series B, 9/1/10 2 350,000 369,250 - ------------------------------------------------------------------------------------------------- MSW Energy Holdings LLC/MSW Energy Finance Co., Inc., 8.50% Sr. Sec. Nts., 9/1/10 200,000 220,000 - ------------------------------------------------------------------------------------------------- NRG Energy, Inc., 8% Sr. Sec. Nts., 12/15/13 8 1,100,000 1,183,875 - ------------------------------------------------------------------------------------------------- PG&E Corp., 6.875% Sr. Sec. Nts., 7/15/08 400,000 435,000 - ------------------------------------------------------------------------------------------------- Reliant Resources, Inc.: 9.25% Sr. Sec. Nts., 7/15/10 669,000 721,684 9.50% Sr. Sec. Nts., 7/15/13 900,000 982,125 - ------------------------------------------------------------------------------------------------- Teco Energy, Inc., 7.20% Unsec. Unsub. Nts., 5/1/11 600,000 642,000 - ------------------------------------------------------------------------------------------------- Westar Energy, Inc., 9.75% Sr. Unsec. Nts., 5/1/07 403,000 461,111 ----------------- 11,020,818 - ------------------------------------------------------------------------------------------------- GAS UTILITIES--0.4% AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 8.875% Sr. Unsec. Nts., Series B, 5/20/11 500,000 553,750 - ------------------------------------------------------------------------------------------------- Morgan Stanley Bank AG, OAO Gazprom Unsec. Loan Participation Nts., 9.625%, 3/1/13 2,300,000 2,555,875 - ------------------------------------------------------------------------------------------------- SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 150,000 159,000 ----------------- 3,268,625 - ------------------------------------------------------------------------------------------------- MULTI-UTILITIES & UNREGULATED POWER--0.6% AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2 568,808 628,533 - ------------------------------------------------------------------------------------------------- Consumers Energy Co., 7.375% Nts., 9/15/23 250,000 258,992 - ------------------------------------------------------------------------------------------------- Dynegy Holdings, Inc.: 6.875% Sr. Unsec. Unsub. Nts., 4/1/11 650,000 622,375 8.75% Sr. Nts., 2/15/12 1,669,000 1,744,105 10.125% Sr. Sec. Nts., 7/15/13 8 800,000 924,000 - ------------------------------------------------------------------------------------------------- Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 461,328 470,843 ----------------- 4,648,848 ----------------- Total Corporate Bonds and Notes (Cost $208,978,868) 216,780,759 Shares Value - ------------------------------------------------------------------------------------------------- PREFERRED STOCKS--0.3% AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 2,5,14 4,253 -- - ------------------------------------------------------------------------------------------------- Doane Pet Care Co., 14.25% Jr. Sub. Exchange Debs., Non-Vtg. 2,5 5,000 241,250 - ------------------------------------------------------------------------------------------------- Dobson Communications Corp., 6% Cv., Series F (converts into Dobson Communications Corp., Cl. A common stock), Non-Vtg. 8 550 27,500 - ------------------------------------------------------------------------------------------------- e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 2,5,14 216 22 - ------------------------------------------------------------------------------------------------- Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 2,5 5,000 451,250 - ------------------------------------------------------------------------------------------------- ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 2,5,14 151 -- - ------------------------------------------------------------------------------------------------- Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable Exchangeable, Non-Vtg. 2,5,14 6,061 -- - ------------------------------------------------------------------------------------------------- Paxson Communications Corp.: 14.25% Cum. 5,14 1 5,607 14.25% Cum. Jr. Exchangeable, Non-Vtg. 14 41 308,525 - ------------------------------------------------------------------------------------------------- Pennsylvania Real Estate Investment Trust, 11% 2,000 119,000 - ------------------------------------------------------------------------------------------------- PTV, Inc., 10% Cum., Series A, Non-Vtg. 8 42 - ------------------------------------------------------------------------------------------------- Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 2,5,14 630 527,625 - ------------------------------------------------------------------------------------------------- Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 2 4,600 677,350 ----------------- Total Preferred Stocks (Cost $3,004,971) 2,358,171 - ------------------------------------------------------------------------------------------------- COMMON STOCKS--2.8% AboveNet, Inc. 5 372 8,928 - ------------------------------------------------------------------------------------------------- ACE Ltd. 3,900 156,234 - ------------------------------------------------------------------------------------------------- Aetna, Inc. 1,600 159,888 - ------------------------------------------------------------------------------------------------- Allstate Corp. 3,200 153,568 - ------------------------------------------------------------------------------------------------- Amerada Hess Corp. 1,900 169,100 - ------------------------------------------------------------------------------------------------- Anadarko Petroleum Corp. 2,500 165,900 - ------------------------------------------------------------------------------------------------- Apache Corp. 3,300 165,363 - ------------------------------------------------------------------------------------------------- Ashland, Inc. 2,800 157,024 - ------------------------------------------------------------------------------------------------- Autodesk, Inc. 3,200 155,616 - ------------------------------------------------------------------------------------------------- BASF AG 2,775 163,238 - ------------------------------------------------------------------------------------------------- Bear Stearns Cos., Inc. (The) 1,800 173,106 - ------------------------------------------------------------------------------------------------- Berkeley Group plc (The) 6,820 156,705 - ------------------------------------------------------------------------------------------------- Beverly Hills Bancorp, Inc. 6,273 65,553 - ------------------------------------------------------------------------------------------------- Black & Decker Corp. 2,100 162,624 - ------------------------------------------------------------------------------------------------- Boeing Co. 2,900 149,698 - ------------------------------------------------------------------------------------------------- Brambles Industries plc 33,730 156,930 - ------------------------------------------------------------------------------------------------- British Land Co. plc 11,380 153,424 - ------------------------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp. 4,200 160,902 - ------------------------------------------------------------------------------------------------- Burlington Resources, Inc. 4,100 167,280 - ------------------------------------------------------------------------------------------------- Calpine Corp. 5 41,500 120,350 - ------------------------------------------------------------------------------------------------- Cebridge Connections Holding LLC 5 529 -- - ------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc. 14,500 150,220 - ------------------------------------------------------------------------------------------------- Centex Corp. 3,100 156,426 - ------------------------------------------------------------------------------------------------- Charles River Laboratories International, Inc. 5 2,660 121,828 - ------------------------------------------------------------------------------------------------- ChevronTexaco Corp. 3,100 166,284 - ------------------------------------------------------------------------------------------------- CIGNA Corp. 2,300 160,149 - ------------------------------------------------------------------------------------------------- CNP Assurances SA 2,420 157,404 - ------------------------------------------------------------------------------------------------- ConocoPhillips 2,000 165,700 - ------------------------------------------------------------------------------------------------- Conseco, Inc 13,986 246,993 - ------------------------------------------------------------------------------------------------- Corus Group plc 5 165,610 153,051 - ------------------------------------------------------------------------------------------------- Corvis Corp. 5 6,896 5,517 - ------------------------------------------------------------------------------------------------- Countrywide Financial Corp. 4,100 161,499 - ------------------------------------------------------------------------------------------------- Covad Communications Group, Inc. 5 16,528 27,767 - ------------------------------------------------------------------------------------------------- Criimi MAE, Inc. 5 71,447 1,048,842 - ------------------------------------------------------------------------------------------------- Crunch Equity Holdings, Cl. A 2,5 120 156,133 - ------------------------------------------------------------------------------------------------- Cummins, Inc. 2,200 162,558 - ------------------------------------------------------------------------------------------------- DaimlerChrysler AG 3,624 149,407 - ------------------------------------------------------------------------------------------------- Devon Energy Corp. 2,300 163,323 - ------------------------------------------------------------------------------------------------- Dillard's, Inc., Cl. A 7,600 150,024 - ------------------------------------------------------------------------------------------------- Dobson Communications Corp., Cl. A 5 35,400 47,082 - ------------------------------------------------------------------------------------------------- DTE Energy Co. 3,800 160,322 - ------------------------------------------------------------------------------------------------- Dynegy, Inc. 5 35,900 179,141 - ------------------------------------------------------------------------------------------------- E.ON AG 2,170 159,899 - ------------------------------------------------------------------------------------------------- Energy Select Sector SPDR Fund 19,400 679,000 - ------------------------------------------------------------------------------------------------- EOG Resources, Inc. 2,500 164,625 - ------------------------------------------------------------------------------------------------- Equinix, Inc. 5 3,287 101,141 - ------------------------------------------------------------------------------------------------- Financial Select Sector SPDR Fund 22,100 628,966 - ------------------------------------------------------------------------------------------------- Ford Motor Co. 11,200 157,360 - ------------------------------------------------------------------------------------------------- Freddie Mac 2,400 156,576 - ------------------------------------------------------------------------------------------------- Gecina SA 1,850 156,451 - ------------------------------------------------------------------------------------------------- General Motors Corp. 3,700 157,176 - ------------------------------------------------------------------------------------------------- Geotek Communications, Inc., Series B, Escrow Shares 2,15 210 -- - ------------------------------------------------------------------------------------------------- Globix Corp. 5 6,880 22,360 - ------------------------------------------------------------------------------------------------- Heidelberger Zement AG 3,574 167,347 - ------------------------------------------------------------------------------------------------- Hilton Group plc 31,850 159,726 - ------------------------------------------------------------------------------------------------- Hokkaido Electric Power Co. 8,500 152,438 - ------------------------------------------------------------------------------------------------- Horizon Natural Resources Co. 2,5 6,667 -- - ------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. 5 6,016 1,384 - ------------------------------------------------------------------------------------------------- iPCS, Inc. 5 8,548 159,207 - ------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc. (Holding Co.) 4,100 144,648 - ------------------------------------------------------------------------------------------------- Janus Capital Group, Inc. 11,100 151,071 - ------------------------------------------------------------------------------------------------- Japan Real Estate Investment Corp. 20 159,069 - ------------------------------------------------------------------------------------------------- Karstadt Quelle AG 9,178 144,276 - ------------------------------------------------------------------------------------------------- Kawasaki Kisen Kaisha Ltd. 24,000 164,487 - ------------------------------------------------------------------------------------------------- KB Home 2,000 168,980 - ------------------------------------------------------------------------------------------------- Kelda Group plc 17,180 166,710 - ------------------------------------------------------------------------------------------------- Klepierre 2,150 155,618 - ------------------------------------------------------------------------------------------------- Lafarge SA 1,780 155,955 - ------------------------------------------------------------------------------------------------- Land Securities Group plc 7,280 154,742 - ------------------------------------------------------------------------------------------------- Leap Wireless International, Inc. 5 1,714 37,708 - ------------------------------------------------------------------------------------------------- Leopalace21 Corp. 8,100 149,830 - ------------------------------------------------------------------------------------------------- Liberty International plc 10,310 154,505 - ------------------------------------------------------------------------------------------------- Lincoln National Corp. 3,300 155,100 - ------------------------------------------------------------------------------------------------- Lloyds TSB Group plc 20,240 158,260 - ------------------------------------------------------------------------------------------------- MAN AG 4,450 152,192 - ------------------------------------------------------------------------------------------------- Marathon Oil Corp. 4,100 169,248 - ------------------------------------------------------------------------------------------------- MCI, Inc. 1,629 27,286 - ------------------------------------------------------------------------------------------------- MetLife, Inc. 4,100 158,465 - ------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc., Cl. A 5 6 169 - ------------------------------------------------------------------------------------------------- Mitsui O.S.K. Lines Ltd. 26,000 156,215 - ------------------------------------------------------------------------------------------------- Nippon Building Fund, Inc. 21 165,496 - ------------------------------------------------------------------------------------------------- Nippon Mining Holdings, Inc. 32,000 162,305 - ------------------------------------------------------------------------------------------------- Norfolk Southern Corp. 5,400 160,596 - ------------------------------------------------------------------------------------------------- Novar plc 71,120 149,496 - ------------------------------------------------------------------------------------------------- NTL, Inc. 5 7,842 486,753 - ------------------------------------------------------------------------------------------------- Nucor Corp. 1,800 164,466 - ------------------------------------------------------------------------------------------------- Occidental Petroleum Corp. 2,900 162,197 - ------------------------------------------------------------------------------------------------- Omron Corp. 7,000 154,933 - ------------------------------------------------------------------------------------------------- Orbital Sciences Corp. 5 745 8,508 - ------------------------------------------------------------------------------------------------- PG&E Corp. 5 5,200 158,080 - ------------------------------------------------------------------------------------------------- Pinnacle West Capital Corp. 3,700 153,550 - ------------------------------------------------------------------------------------------------- Pioneer Cos., Inc. 5 7,312 109,680 - ------------------------------------------------------------------------------------------------- Prandium, Inc. 5 24,165 725 - ------------------------------------------------------------------------------------------------- Premier Holdings Ltd. 2,5 18,514 -- - ------------------------------------------------------------------------------------------------- Providian Financial Corp. 5 10,300 160,062 - ------------------------------------------------------------------------------------------------- Prudential Financial, Inc. 3,200 150,528 - ------------------------------------------------------------------------------------------------- PSA Peugeot Citroen 2,480 152,979 - ------------------------------------------------------------------------------------------------- Pulte Homes, Inc. 2,500 153,425 - ------------------------------------------------------------------------------------------------- Rakuten, Inc. 22 143,380 - ------------------------------------------------------------------------------------------------- RWE AG 3,251 155,255 - ------------------------------------------------------------------------------------------------- Ryder Systems, Inc. 3,400 159,936 - ------------------------------------------------------------------------------------------------- Safeco Corp. 3,200 146,080 - ------------------------------------------------------------------------------------------------- Sammy Corp. 3,200 157,069 - ------------------------------------------------------------------------------------------------- ScottishPower plc 20,900 160,012 - ------------------------------------------------------------------------------------------------- Sears Roebuck & Co. 3,800 151,430 - ------------------------------------------------------------------------------------------------- Sempra Energy 4,300 155,617 - ------------------------------------------------------------------------------------------------- Severn Trent plc 10,300 163,874 - ------------------------------------------------------------------------------------------------- Showa Shell Sekiyu K.K. 18,000 160,015 - ------------------------------------------------------------------------------------------------- Societe Generale, Cl. A 1,770 156,840 - ------------------------------------------------------------------------------------------------- Star Gas Partners LP 187 4,097 - ------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. 2,5 716 16,826 - ------------------------------------------------------------------------------------------------- Suez SA 7,340 157,556 - ------------------------------------------------------------------------------------------------- Sumitomo Bakelite Co. Ltd. 26,000 156,924 - ------------------------------------------------------------------------------------------------- Sunoco, Inc. 2,400 177,552 - ------------------------------------------------------------------------------------------------- Tate & Lyle plc 24,840 173,747 - ------------------------------------------------------------------------------------------------- Technip SA 1,010 163,291 - ------------------------------------------------------------------------------------------------- Telewest Global, Inc. 5 31,828 369,841 - ------------------------------------------------------------------------------------------------- ThyssenKrupp AG 8,037 156,125 - ------------------------------------------------------------------------------------------------- Tohoku Electric Power Co. 9,100 150,378 - ------------------------------------------------------------------------------------------------- TonenGeneral Sekiyu K.K. 18,000 155,597 - ------------------------------------------------------------------------------------------------- Trend Micro, Inc. 3,500 150,798 - ------------------------------------------------------------------------------------------------- TUI AG 8,445 157,434 - ------------------------------------------------------------------------------------------------- TVMAX Holdings, Inc. 2,5 1,000 3,850 - ------------------------------------------------------------------------------------------------- TXU Corp. 3,400 162,928 - ------------------------------------------------------------------------------------------------- Unibail 1,330 160,361 - ------------------------------------------------------------------------------------------------- United Utilities plc 15,570 156,730 - ------------------------------------------------------------------------------------------------- UnitedGlobalCom, Inc., Cl. A 5 58,063 433,731 - ------------------------------------------------------------------------------------------------- Utilities Select Sector SPDR Fund 25,700 643,785 - ------------------------------------------------------------------------------------------------- Valero Energy Corp. 2,200 176,462 - ------------------------------------------------------------------------------------------------- Viatel Holding Ltd. (Bermuda) 2,5 2,251 1,745 - ------------------------------------------------------------------------------------------------- Vinci 1,430 164,771 - ------------------------------------------------------------------------------------------------- Volkswagen AG, Preference 5,661 154,535 - ------------------------------------------------------------------------------------------------- Western Forest Products, Inc. 5 38,252 280,507 - ------------------------------------------------------------------------------------------------- William Hill plc 16,100 155,646 - ------------------------------------------------------------------------------------------------- WRC Media Corp. 2,5 1,082 22 - ------------------------------------------------------------------------------------------------- XO Communications, Inc. 5 1,100 3,476 ----------------- Total Common Stocks (Cost $21,497,132) 21,571,293 Units Value - ------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% AboveNet, Inc. Wts.: Exp. 9/8/08 5 156 1,242 Exp. 9/8/10 5 184 1,424 - ------------------------------------------------------------------------------------------------- American Tower Corp. Wts., Exp. 8/1/08 2,5 800 150,800 - ------------------------------------------------------------------------------------------------- ASAT Finance LLC Wts., Exp. 11/1/06 2,5 250 4 - ------------------------------------------------------------------------------------------------- Chesapeake Energy Corp. Wts., Exp. 5/1/05 5 416 1,479 - ------------------------------------------------------------------------------------------------- Citigroup, Inc. Wts., Exp. 12/31/50 5 2,404 3,414 - ------------------------------------------------------------------------------------------------- COLO.com, Inc. Wts., Exp. 3/15/10 2,5 400 4 - ------------------------------------------------------------------------------------------------- Concentric Network Corp. Wts., Exp. 12/15/07 2,5 100 -- - ------------------------------------------------------------------------------------------------- Covergent Communications, Inc. Wts., Exp. 4/1/08 2,5 400 4 - ------------------------------------------------------------------------------------------------- HF Holdings, Inc. Wts., Exp. 9/27/09 2,5 530 72 - ------------------------------------------------------------------------------------------------- Horizon PCS, Inc. Wts., Exp. 10/1/10 2,5 1,000 -- - ------------------------------------------------------------------------------------------------- Huntsman LLC Wts., Exp. 5/15/11 2,5 300 69,150 - ------------------------------------------------------------------------------------------------- ICG Communications, Inc. Wts., Exp. 9/15/05 2,5 825 8 - ------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. Wts.: Exp. 5/16/06 2,5 1,509 8 Exp. 5/16/06 2,5 2 -- - ------------------------------------------------------------------------------------------------- Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 2,5 2,135 -- - ------------------------------------------------------------------------------------------------- Insilco Corp. Wts., Exp. 8/15/07 2,5 270 -- - ------------------------------------------------------------------------------------------------- iPCS, Inc. Wts., Exp. 6/15/10 2,5 300 3 - ------------------------------------------------------------------------------------------------- Leap Wireless International, Inc. Wts., Exp. 4/15/10 2,5 275 3 - ------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 2,5 200 -- - ------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd. Wts., Exp. 1/15/07 2,5 150 2 - ------------------------------------------------------------------------------------------------- Millenium Seacarriers, Inc. Wts., Exp. 7/15/05 2,5 250 3 - ------------------------------------------------------------------------------------------------- Ntelos, Inc. Wts., Exp. 8/15/10 2,5 450 5 - ------------------------------------------------------------------------------------------------- Pathmark Stores, Inc. Wts., Exp. 9/19/10 5 5,710 1,428 - ------------------------------------------------------------------------------------------------- PLD Telekom, Inc. Wts., Exp. 6/1/06 2,5 300 3 - ------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. Wts., Exp. 12/19/08 2,5 1,165 1,689 - ------------------------------------------------------------------------------------------------- Telus Corp. Wts., Exp. 9/15/05 5 269 2,411 - ------------------------------------------------------------------------------------------------- Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 5 175 106 - ------------------------------------------------------------------------------------------------- XO Communications, Inc., Cl. A Wts., Exp. 1/16/10 5 2,204 1,829 - ------------------------------------------------------------------------------------------------- XO Communications, Inc., Cl. B Wts., Exp. 1/16/10 5 1,653 992 - ------------------------------------------------------------------------------------------------- XO Communications, Inc., Cl. C Wts., Exp. 1/16/10 5 1,653 628 ----------------- Total Rights, Warrants and Certificates (Cost $81,054) 236,711 Principal Amount Value - ------------------------------------------------------------------------------------------------- STRUCTURED NOTES--8.6% Citigroup Global Markets Holdings, Inc.: Brazilian Real Unsec. Credit Linked Nts., 0.93%, 1/14/05 $ 1,982,615 2,091,758 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 1,200,000,000 516,471 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 3/15/07 [COP] 3,860,150,000 1,718,231 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 1,800,000,000 774,707 Peruvian Sol Unsec. Linked Nts., 1.466%, 1/14/05 [PEN] 4,200,000 1,305,981 - ------------------------------------------------------------------------------------------------- Credit Suisse First Boston Corp. (Cayman): Russia (Government of) Linked Bonds, Series 24, 15%, 9/2/05 [RUR] 22,279,000 821,276 Russia (Government of) Linked Bonds, Series 26, 15%, 3/11/05 [RUR] 22,587,000 805,880 - ------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (Nassau Branch): Turkey (Republic of) Credit Linked Nts., Series EM 868, 25.01%, 8/25/05 2,125,000 1,742,521 Turkey (Republic of) Credit Linked Nts., Series EM 872, 23.57%, 10/20/05 1 396,000 417,959 - ------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (USA), U.S. Dollar/South African Rand Linked Nts., Series FBi 43, 1.44%, 5/23/22 825,000 802,725 - ------------------------------------------------------------------------------------------------- Deutsche Bank AG: Korea (Republic of) Credit Bonds, 1.56%, 6/20/09 3,900,000 3,938,610 Moscow (City of) Linked Nts., 10%, 5/27/05 [RUR] 13,440,000 473,641 Moscow (City of) Linked Nts., 15%, 9/2/05 [RUR] 30,255,000 1,120,010 OAO Gazprom I Credit Nts., 5.588%, 10/20/07 790,000 825,241 OAO Gazprom II Credit Nts., 5.338%, 4/20/07 790,000 822,618 Ukraine (Republic of) Credit Linked Nts., 6.541%, 8/5/11 4,070,000 4,188,030 - ------------------------------------------------------------------------------------------------- Dow Jones CDX High Yield Index Pass-Through Certificates: Series 3-1, 7.75%, 12/29/09 8,16 13,200,000 13,381,500 Series 3-3, 8%, 12/29/09 8,16 12,700,000 12,739,688 - ------------------------------------------------------------------------------------------------- Lehman Brothers International: Turkey (Republic of) Treasury Bills Total Return Linked Nts., 24.20%, 8/25/05 1,165,000 822,490 Turkey (Republic of) Treasury Bills Total Return Linked Nts., 28.25%, 5/26/05 1,261,309 1,083,338 - ------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc., High Yield Index Linked Nts., 1.017%, 1/1/05 16 10,000,000 10,148,521 - ------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc., Venezuela (Republic of) Credit Bonds, 5%, 9/20/09 1,665,000 1,737,331 - ------------------------------------------------------------------------------------------------- Pioneer 2002 Ltd. Sec. Catastrophe Linked Nts.: Series 2002, Cl. A-A, 7.88%, 6/15/06 1,8 250,000 256,138 Series 2002-1, Cl. E-A, 6.13%, 6/15/06 1 750,000 758,775 Series 2003-II, Cl. A, 7.88%, 6/15/06 1,8 500,000 511,150 Series 2003-II, Cl. B, 6.88%, 6/15/06 1,8 500,000 508,775 Series 2003-II, Cl. C, 7.63%, 6/15/06 1,8 500,000 508,600 - ------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Oak Capital Ltd. Catastrophe Linked Nts., 6.63%, 6/15/07 1,2 250,000 255,825 - ------------------------------------------------------------------------------------------------- UBS AG, OAO Gazprom III Credit Nts., 4.705%, 7/5/06 1,980,000 2,057,824 ----------------- Total Structured Notes (Cost $65,718,455) 67,135,614 Date Strike Contracts - ------------------------------------------------------------------------------------------------- OPTIONS PURCHASED--0.0% Japanese Yen Put 2,5 (Cost $145,208) 10/8/04 111.55 JPY 2,225,000,000JPY 31,150 Principal Amount Value - ------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--13.2% 17 Undivided interest of 28.56% in joint repurchase agreement (Principal Amount/Value $361,238,000, with a maturity value of $361,255,058) with Cantor Fitzgerald & Co./Cantor Fitzgerald Securities, 1.70%, dated 9/30/04, to be repurchased at $103,185,872 on 10/1/04, collateralized by U.S. Treasury Bonds, 1.625%-- 9.875%, 3/31/05--8/15/28, with a value of $298,717,670 and U.S. Treasury Bills, 1/20/05, with a value of $70,023,125 (Cost $103,181,000) $ 103,181,000 103,181,000 - ------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $841,952,408) 109.4% 856,912,825 - ------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (9.4) (73,675,109) ---------------------------------- Net Assets 100.0% $783,237,716 ================================== Footnotes to Statement of Investments Principal amount, strike, contracts and exercise price are reported in U.S. Dollars, except for those denoted in the following currencies: ARP Argentine Peso AUD Australian Dollar CAD Canadian Dollar COP Colombian Peso DEM German Mark DKK Danish Krone EUR Euro FRF French Franc GBP British Pound Sterling JPY Japanese Yen MXN Mexican Nuevo Peso NZD New Zealand Dollar PEN Peruvian New Sol PLZ Polish Zloty RUR Russian Ruble SEK Swedish Krona 1. Represents the current interest rate for a variable or increasing rate security. 2. Illiquid or restricted security. As of September 30, 2004, the Fund had restricted securities as follows: ACQUISITION VALUATION AS OF UNREALIZED SECURITY DATES COST SEPTEMBER 30, 2004 DEPRECIATION - ----------------------------------------------------------------------------------------------- STOCKS AND/OR WARRANTS Geotek Communications, Inc., Series B, Escrow Shares 1/4/01 $ 840 $ -- $ 840 CURRENCY Argentine Peso 9/3/04 62,722 62,221 501 3. When-issued security or forward commitment to be delivered and settled after September 30, 2004. 4. Issue is in default. 5. Non-income producing security. 6. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $2,247,819 or 0.29% of the Fund's net assets as of September 30, 2004. 7. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $136,506 or 0.02% of the Fund's net assets as of September 30, 2004. 8. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $61,046,684 or 7.79% of the Fund's net assets as of September 30, 2004. 9. Zero coupon bond reflects effective yield on the date of purchase. 10. Securities with an aggregate market value of $2,086,828 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. As of September 30, 2004, the Fund had outstanding future contracts as follows: UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS SEPTEMBER 30, 2004 (DEPRECIATION) - ------------------------------------------------------------------------------------------------ CONTRACTS TO PURCHASE Euro-Bundesobligation, 10 yr. 12/8/04 13 $ 1,869,765 $ 24,786 Japan (Government of) Bonds, 10 yr. 12/9/04 1 1,254,102 17,816 NASDAQ 100 Index 12/16/04 13 1,842,750 42,266 Nikkei 225 Index 12/9/04 3 162,825 (3,486) U.S. Long Bonds 12/20/04 276 30,972,375 641,215 U.S. Treasury Nts., 5 yr. 12/20/04 50 5,537,500 45,125 U.S. Treasury Nts., 10 yr. 12/20/04 113 12,726,625 116,781 United Kingdom Long Gilt 12/29/04 3 585,322 2,347 ------------ 886,850 ------------ CONTRACTS TO SELL CAC-40 10 Index 12/17/04 21 953,257 653 DAX Index 12/17/04 7 850,967 19,763 FTSE 100 Index 12/17/04 19 1,585,141 5,337 Japan (Government of) Bonds, 10 yr. 12/8/04 5 627,369 (3,954) Japan (Government of) Bonds, 10 yr. 12/9/04 6 7,524,610 (106,895) Nikkei 225 Index 12/9/04 19 1,880,744 33,268 Standard & Poor's 500 Index 12/16/04 35 9,755,375 116,292 U.S. Treasury Nts., 2 yr. 12/30/04 184 38,867,125 90,919 U.S. Treasury Nts., 5 yr. 12/20/04 98 10,853,500 (50,543) ------------ 104,840 ------------ $ 991,690 ============ 11. A sufficient amount of securities has been designated to cover outstanding foreign currency contracts. 12. A sufficient amount of liquid assets has been designated to cover outstanding written call options, as follows: CONTRACTS EXPIRATION EXERCISE PREMIUM SUBJECT TO CALL DATES PRICE RECEIVED VALUE - -------------------------------------------------------------------------------------------------- Japanese Yen (JPY) 2,225,000,000 JPY 10/8/04 104.400 JPY $ 159,629 $ -- PRINCIPAL SUBJECT TO CALL - -------------------------------------------------------------------------------------------------- New Zealand (Government of) Bonds, 7%, 7/15/09 1,085 NZD 12/9/04 6.205 NZD 3,219 4,135 ------------------ $ 162,848 $ 4,135 ================== 13. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 14. Interest or dividend is paid-in-kind. 15. Received as the result of issuer reorganization. 16. Interest rate represents a weighted average rate comprised of the interest rates of the underlying securities. 17. 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 entered into transactions to hedge credit risk. Information regarding the credit swaps is as follows:
UNREALIZED EXPIRATION NOTIONAL VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATE AMOUNT SEPTEMBER 30, 2004 (DEPRECIATION) - --------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Export-Import Bank of Korea Credit Bonds 6/20/09 $ 780,000 $ (6,474) $ (6,474) Deutsche Bank AG, Korea Development Bank Credit Bonds 6/20/09 780,000 (6,162) (6,162) Deutsche Bank AG, Korea Electric Power Corp. Credit Bonds 6/20/09 780,000 (6,786) (6,786) Deutsche Bank AG, Korea Deposit Insurance Corp. Credit Bonds 6/20/09 780,000 (6,552) (6,552) Deutsche Bank AG, Philippines (Republic of) 10 yr. Credit Bonds 7/25/13 930,000 9,372 9,372 Deutsche Bank AG, Samsung Electronic Co. Ltd. Credit Bonds 6/20/09 780,000 (5,850) (5,850) Deutsche Bank AG, Turkey (Republic of) 2 yr. Credit Nts. 5/7/06 1,660,000 (79,313) (79,313) Deutsche Bank AG, Turkey (Republic of) 5 yr. Credit Nts. 5/7/09 780,000 175,896 175,896 Deutsche Bank AG, United Mexican States Credit Bonds 9/20/13 1,235,000 (52,847) (52,847) Deutsche Bank AG, Venezuela (Republic of) Credit Bonds 10/20/09 3,430,000 (23,601) (23,601) Deutsche Bank AG, Venezuela (Republic of) Credit Bonds 10/20/09 1,285,000 (390) (390) JPMorgan Chase Bank, Export-Import Bank of Korea Credit Bonds 6/20/09 390,000 (6,635) (6,635) JPMorgan Chase Bank, Jordan (Kingdom of) Credit Nts. 6/6/06 250,000 (1,820) (1,820) JPMorgan Chase Bank, Korea Deposit Insurance Corp. Credit Bonds 6/20/09 390,000 (6,639) (6,639) JPMorgan Chase Bank, Korea Development Bank Credit Bonds 6/20/09 390,000 (6,462) (6,462) JPMorgan Chase Bank, Korea Electric Power Co. Credit Bonds 6/20/09 390,000 (7,253) (7,253) JPMorgan Chase Bank, Russian Federation Credit Bonds 10/9/13 730,000 10,338 10,338 JPMorgan Chase Bank, Samsung Electronics Co. Ltd. Credit Bonds 6/20/09 390,000 (6,654) (6,654) Lehman Brothers Special Financing, Inc., Brazil (Federal Republic of) Credit Bonds 8/20/09 3,000,000 (267,547) (267,547) Lehman Brothers Special Financing, Inc., Brazil (Federal Republic of) Credit Bonds 10/20/09 420,000 844 844 Lehman Brothers Special Financing, Inc., Venezuela (Republic of) Credit Bonds 3/5/08 420,000 (6,477) (6,477) Morgan Stanley Capital Services, Inc., Brazil (Federal Republic of) Credit Bonds 8/20/09 1,220,000 (99,612) (99,612) Morgan Stanley Capital Services, Inc., Brazil (Federal Republic of) Credit Bonds 8/20/09 1,220,000 (102,207) (102,207) Morgan Stanley Capital Services, Inc., Hungary (Republic of) Credit Bonds 12/2/13 1,880,000 (44,684) (44,684) Morgan Stanley Capital Services, Inc., Philippines (Republic of) 5 yr. Credit Bonds 9/20/09 950,000 (18,549) (18,549) Morgan Stanley Capital Services, Inc., Philippines (Republic of) Credit Bonds 6/20/09 455,000 (11,407) (11,407) Morgan Stanley Capital Services, Inc., Philippines (Republic of) Credit Bonds 6/20/09 225,000 (6,093) (6,093) Morgan Stanley Capital Services, Inc., Philippines (Republic of) Credit Bonds 6/20/09 455,000 (14,150) (14,150) Morgan Stanley Capital Services, Inc., Turkey (Republic of) 2 yr. Credit Nts. 5/8/06 1,660,000 (86,819) (86,819) Morgan Stanley Capital Services, Inc., Turkey (Republic of) 5 yr. Credit Nts. 5/8/09 780,000 89,418 89,418 Morgan Stanley Capital Services, Inc., Venezuela (Republic of) Credit Bonds 8/20/06 2,495,000 93,352 93,352 Morgan Stanley Capital Services, Inc., Venezuela (Republic of) Credit Bonds 8/20/09 1,250,000 (87,855) (87,855) Morgan Stanley Capital Services, Inc., Venezuela (Republic of) Credit Bonds 2/20/14 1,305,000 (273,622) (273,622) UBS AG, Venezuela (Republic of) Credit Bonds 6/20/14 3,190,000 (625,684) (625,684) UBS AG, Venezuela (Republic of) Credit Bonds 8/20/06 1,665,000 (60,243) (60,243) UBS AG, Venezuela (Republic of) Credit Bonds 8/20/09 830,000 55,056 55,056 ------------- $ (1,494,111) ============= As of September 30, 2004, the Fund had entered into the following interest rate swap agreements: FIXED RATE FLOATING RATE PAID BY RECEIVED BY THE FUND AT THE FUND AT UNREALIZED NOTIONAL SEPTEMBER 30, SEPTEMBER 30, FLOATING TERMINATION APPRECIATION SWAP COUNTERPARTY AMOUNT 2004 2004 RATE INDEX DATES (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG 55,240,000 TWD 1.02% 2.509% 90-day CPTW Rate 8/19/09 $ (424) Deutsche Bank AG 74,350,000 INR 4.88 4.50 IRS 1/15/09 73,793 Deutsche Bank AG 10,000,000 1.68 5.32 Three-Month LIBOR 5/12/14 853,424 BBA Rate Deutsche Bank AG 3,185,000 3.1025 1.81 Three-Month LIBOR flat 3/4/08 28,801 JPMorgan Chase Bank 880,000 EUR 3.14 2.08 Six-Month LIBOR flat 7/14/08 (91) JPMorgan Chase Bank 245,400,000 HUF 9.13 7.00 Six-Month LIBOR flat 7/14/08 (117,530) JPMorgan Chase Bank 25,000,000 4.24 1.65 Three-Month LIBOR 7/23/09 (671,643) JPMorgan Chase Bank 50,000,000 1.70 4.0725 Three-Month LIBOR 5/6/09 1,493,603 BBA Rate JPMorgan Chase Bank 35,000,000 1.70 4.985 Three-Month LIBOR 5/6/14 2,035,173 BBA Rate JPMorgan Chase Bank 1,820,000 1.68 4.94 Three-Month Libor 4/30/14 100,520 BBA Rate JPMorgan Chase Bank 6,625,000 3.052 1.41 Three-Month LIBOR flat 3/10/08 74,028 Morgan Stanley Capital Services, Inc. 13,000,000 3.82 1.18 Three-Month LIBOR flat 11/10/08 (233,983) Morgan Stanley Capital Services, Inc. 22,000,000 2.32 1.18 Three-Month LIBOR flat 11/10/05 (30,683) --------------- $ 3,604,988 =============== Notional amounts are reported in U.S. Dollars, except for those denoted in the following currencies. Index abbreviations and currencies are as follows: CPTW Bloomberg Taiwan Secondary Commercial Papers EUR Euro HUF Hungary Forints INR Indian Rupee IRS India Swap Composites LIBOR London-Interbank Offered Rate LIBOR BBA London-Interbank Offered Rate British Bankers Association TWD New Taiwan Dollar As of September 30, 2004, the Fund had entered into the following swaption contracts: NOTIONAL EXPIRATION EXERCISE PREMIUM SWAPTIONS AMOUNT DATES PRICE RECEIVED VALUE - ---------------------------------------------------------------------------------------- Deutsche Bank AG $ 9,530,000 11/4/04 5.997% $ 44,474 $ 82,792 Lehman Brothers 7,590,000 12/30/04 5.150 75,103 75,646
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 TAXES. 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 $843,269,266 ================== Gross unrealized appreciation $ 33,653,495 Gross unrealized depreciation (16,907,369) ------------------ Net unrealized appreciation $ 16,746,126 ================== 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 rq265_11946ex99cert.txt RQ265_11946EX99CERT.TXT Exhibit 99.CERT CERTIFICATIONS I, JOHN V. MURPHY, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Strategic Bond Fund/VA; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ John V. Murphy - ---------------------------- John V. Murphy Chief Executive Officer Date: 11/16/04 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, BRIAN W. WIXTED, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Strategic Bond Fund/VA; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - ---------------------------- Brian W. Wixted Chief Financial Officer Date: 11/16/04 -----END PRIVACY-ENHANCED MESSAGE-----