-----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, ELx+Wl1qRknpENtjAc48T893zcd2DeACeDXFrmsXTmCWza737Ek9DX5pVcQq32Fd O4auCc2CkdKC92lM2DwBdg== 0000935069-04-001606.txt : 20040929 0000935069-04-001606.hdr.sgml : 20040929 20040929154432 ACCESSION NUMBER: 0000935069-04-001606 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20040731 FILED AS OF DATE: 20040929 DATE AS OF CHANGE: 20040929 EFFECTIVENESS DATE: 20040929 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER MULTI SECTOR INCOME TRUST CENTRAL INDEX KEY: 0000829801 IRS NUMBER: 133448960 STATE OF INCORPORATION: MA FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-05473 FILM NUMBER: 041052749 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: N/A CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: N/A CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 N-Q 1 rq680_11801.txt RQ680_11801.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 811-5473 OPPENHEIMER MULTI-SECTOR INCOME TRUST ------------------------------------------------------- (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: OCTOBER 31 Date of reporting period: JULY 31, 2004 ITEM 1. SCHEDULE OF INVESTMENTS. - ------------------------------------------------------------------------------- STATEMENT OF INVESTMENTS July 31, 2004/Unaudited - -------------------------------------------------------------------------------
Principal Amount Value - -------------------------------------------------------------------------------------------------------- U.S. Government Sector--7.7% - -------------------------------------------------------------------------------------------------------- U.S. Government Obligations--7.7% Federal Home Loan Mortgage Corp. Nts., 3.75%, 7/15/09 [EUR] $ 470,000 $ 567,160 - -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 2.75%, 8/15/06 380,000 378,757 4.50%, 1/15/13 1 2,075,000 2,030,738 4.875%, 3/15/07-11/15/13 3,540,000 3,617,737 5.50%, 7/15/06 1,495,000 1,570,015 5.75%, 1/15/12 450,000 480,611 - -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 1.80%, 5/27/05 550,000 547,874 2.68%, 9/28/05 540,000 540,404 4.25%, 7/15/07 2 5,945,000 6,093,714 6%, 5/15/08 2,000,000 2,160,436 7.25%, 5/15/30 520,000 626,138 - -------------------------------------------------------------------------------------------------------- Resolution Funding Corp. Federal Book Entry Principal Strips, 5.85%, 1/15/21 3 715,000 286,067 - -------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 650,000 642,463 Series C, 4.75%, 8/1/13 Series C, 6%, 3/15/13 625,000 674,578 - -------------------------------------------------------------------------------------------------------- United States (Government of) Gtd. Israel Aid Bonds, 5.50%, 12/4/23 560,000 559,293 ------------- Total U.S. Government Sector (Cost $21,164,196) 20,775,985 Shares - -------------------------------------------------------------------------------------------------------- Corporate Sector--30.3% - -------------------------------------------------------------------------------------------------------- Common Stocks--0.5% AboveNet, Inc. 4 186 5,764 - -------------------------------------------------------------------------------------------------------- Aurora Foods, Inc., Equity Trust Interests 4,5 120 156,133 - -------------------------------------------------------------------------------------------------------- Capital Gaming International, Inc. 4,5 18 -- - -------------------------------------------------------------------------------------------------------- Cebridge Connections 4 793 -- - -------------------------------------------------------------------------------------------------------- Covad Communications Group, Inc. 4 6,198 11,776 - -------------------------------------------------------------------------------------------------------- Dobson Communications Corp., Cl. A 4 38,618 103,110 - -------------------------------------------------------------------------------------------------------- Equinix, Inc. 4 6,573 213,623 - -------------------------------------------------------------------------------------------------------- Globix Corp. 4 6,880 22,704 - -------------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. 4 24,061 13,715 - -------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The) 173 5,866 - -------------------------------------------------------------------------------------------------------- MCI, Inc. 4 815 12,453 - -------------------------------------------------------------------------------------------------------- NTL, Inc. 4 3,879 202,173 - -------------------------------------------------------------------------------------------------------- Orbital Sciences Corp. 4 651 7,454 - -------------------------------------------------------------------------------------------------------- Pioneer Cos., Inc. 4 5,655 42,413 - -------------------------------------------------------------------------------------------------------- Polymer Group, Inc., Cl. A 4 8,013 105,772 - -------------------------------------------------------------------------------------------------------- Prandium, Inc. 4 14,499 435 - -------------------------------------------------------------------------------------------------------- Star Gas Partners LP 220 4,536 - -------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. 4 264 6,402 - -------------------------------------------------------------------------------------------------------- TVMAX Holdings, Inc. 4 2,500 10,438 - -------------------------------------------------------------------------------------------------------- UnitedGlobalCom, Inc., Cl. A 4 53,053 336,356 - -------------------------------------------------------------------------------------------------------- WRC Media Corp. 4,5 676 14 - -------------------------------------------------------------------------------------------------------- XO Communications, Inc. 4 1,091 4,266 ------------- 1,265,403 Principal Amount - -------------------------------------------------------------------------------------------------------- Corporate Bonds and Notes--29.0 - -------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--9.8% - -------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--1.3% Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 $ 200,000 208,000 - -------------------------------------------------------------------------------------------------------- Collins & Aikman Products Co., 10.75% Sr. Nts., 12/31/11 209,000 214,225 - -------------------------------------------------------------------------------------------------------- Dana Corp., 9% Unsec. Nts., 8/15/11 600,000 711,000 - -------------------------------------------------------------------------------------------------------- Dura Operating Corp.: 400,000 398,000 8.625% Sr. Nts., Series B, 4/15/12 9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 600,000 576,000 - -------------------------------------------------------------------------------------------------------- Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 200,000 213,000 - -------------------------------------------------------------------------------------------------------- Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 700,000 802,192 - -------------------------------------------------------------------------------------------------------- Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 200,000 237,500 - -------------------------------------------------------------------------------------------------------- Tenneco Automotive, Inc., 10.25% Sr. Sec. Nts., Series B, 7/15/13 100,000 114,500 - -------------------------------------------------------------------------------------------------------- United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 100,000 106,000 ------------- 3,580,417 - -------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--2.1% Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 5 400,000 358,000 - -------------------------------------------------------------------------------------------------------- Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 250,000 274,688 - -------------------------------------------------------------------------------------------------------- Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 200,000 217,000 - -------------------------------------------------------------------------------------------------------- Capital Gaming International, Inc., 11.50% Promissory Nts., 8/1/1995 5,6 5,500 -- - -------------------------------------------------------------------------------------------------------- Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 200,000 215,000 - -------------------------------------------------------------------------------------------------------- Hilton Hotels Corp.: 200,000 221,750 7.625% Nts., 12/1/12 7.625% Nts., 5/15/08 200,000 218,500 - -------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc., 9% Sr. Sub. Nts., 3/15/12 200,000 219,000 - -------------------------------------------------------------------------------------------------------- John Q. Hammons Hotels, Inc., 8.875% Sr. Nts., Series B, 5/15/12 200,000 221,250 - -------------------------------------------------------------------------------------------------------- Mandalay Resort Group, 10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 500,000 561,250 - -------------------------------------------------------------------------------------------------------- MGM Mirage, Inc., 9.75% Sr. Unsec. Sub. Nts., 6/1/07 150,000 165,563 - -------------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority: 150,000 151,688 6.375% Sr. Sub. Nts., 7/15/09 8.375% Sr. Sub. Nts., 7/1/11 400,000 457,000 - -------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc., 8.875% Sr. Sub. Nts., 3/15/10 300,000 329,625 - -------------------------------------------------------------------------------------------------------- Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 250,000 241,250 - -------------------------------------------------------------------------------------------------------- Prime Hospitality Corp., 8.375% Sr. Sub. Nts., 5/1/12 200,000 211,500 - -------------------------------------------------------------------------------------------------------- Six Flags, Inc.: 8.875% Sr. Nts., 2/1/10 250,000 233,125 9.625% Sr. Nts., 6/1/14 9,000 8,393 9.75% Sr. Nts., 4/15/13 50,000 46,500 - -------------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 400,000 433,000 - -------------------------------------------------------------------------------------------------------- Sun International Hotels Ltd., 8.875% Sr. Unsec. Sub. Nts., 8/15/11 500,000 540,000 - -------------------------------------------------------------------------------------------------------- Trump Casino Holdings LLC/Trump Casino Funding, Inc., 11.625% Sr. Sec. Nts., 3/15/10 9,000 9,248 - -------------------------------------------------------------------------------------------------------- Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 200,000 233,000 - -------------------------------------------------------------------------------------------------------- Venetian Casino Resort LLC/Las Vegas Sands, Inc., 11% Sec. Nts., 6/15/10 200,000 229,000 ------------- 5,795,330 - -------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--1.5% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 500,000 537,500 - -------------------------------------------------------------------------------------------------------- Blount, Inc., 13% Sr. Sub. Nts., 8/1/09 400,000 432,000 - -------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 1 500,000 591,250 - -------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 300,000 329,250 - -------------------------------------------------------------------------------------------------------- KB Home: 8.625% Sr. Sub. Nts., 12/15/08 500,000 548,750 9.50% Sr. Unsec. Sub. Nts., 2/15/11 500,000 558,750 - -------------------------------------------------------------------------------------------------------- Meritage Corp., 9.75% Sr. Unsec. Nts., 6/1/11 150,000 166,500 - -------------------------------------------------------------------------------------------------------- Salton, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/05 170,000 147,050 - -------------------------------------------------------------------------------------------------------- Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 7 175,000 175,875 - -------------------------------------------------------------------------------------------------------- Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 100,000 111,000 - -------------------------------------------------------------------------------------------------------- WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 200,000 217,000 - -------------------------------------------------------------------------------------------------------- William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 5 200,000 225,000 ------------- 4,039,925 - -------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS--0.1% Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 150,000 147,750 - -------------------------------------------------------------------------------------------------------- MEDIA--4.2% Adelphia Communications Corp.: 8.125% Sr. Nts., Series B, 7/15/03 6 250,000 211,250 9.875% Sr. Nts., Series B, 3/1/07 6 300,000 259,500 10.25% Sr. Unsec. Nts., 11/1/06 5 100,000 86,500 10.25% Sr. Unsec. Sub. Nts., 6/15/11 6 200,000 179,000 10.875% Sr. Unsec. Nts., 10/1/10 6 100,000 88,000 - -------------------------------------------------------------------------------------------------------- Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 800,000 794,000 - -------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc., 9.50% Sr. Unsec. Sub. Nts., 2/1/11 360,000 369,000 - -------------------------------------------------------------------------------------------------------- Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 200,000 207,000 - -------------------------------------------------------------------------------------------------------- Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.: 8.625% Sr. Unsec. Nts., 4/1/09 1,300,000 988,000 10% Sr. Unsec. Sub. Nts., 5/15/11 9,000 6,795 11.125% Sr. Unsec. Nts., 1/15/11 400,000 319,000 - -------------------------------------------------------------------------------------------------------- Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 100,000 110,250 - -------------------------------------------------------------------------------------------------------- Cinemark, Inc., 0%/9.75% Sr. Disc. Nts., 3/15/14 7,8 200,000 133,000 - -------------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 225,000 228,375 - -------------------------------------------------------------------------------------------------------- DirecTV Holdings LLC/DirecTV Financing Co., Inc., 8.375% Sr. Unsec. Nts., 3/15/13 400,000 450,000 - -------------------------------------------------------------------------------------------------------- EchoStar DBS Corp., 10.375% Sr. Unsec. Nts., 10/1/07 750,000 798,750 - -------------------------------------------------------------------------------------------------------- Entravision Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09 100,000 104,250 - -------------------------------------------------------------------------------------------------------- Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 9,000 8,280 - -------------------------------------------------------------------------------------------------------- Hollinger International Publishing, Inc., 9% Sr. Unsec. Nts., 12/15/10 400,000 466,000 - -------------------------------------------------------------------------------------------------------- Houghton Mifflin Co., 8.25% Sr. Unsec. Nts., 2/1/11 150,000 153,750 - -------------------------------------------------------------------------------------------------------- LCE Acquisition Corp., 9% Sr. Sub. Nts., 8/1/14 7 175,000 173,250 - -------------------------------------------------------------------------------------------------------- Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 150,000 146,250 - -------------------------------------------------------------------------------------------------------- LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 100,000 109,750 - -------------------------------------------------------------------------------------------------------- Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 609,000 566,370 - -------------------------------------------------------------------------------------------------------- News America Holdings, Inc., 8.875% Sr. Debs., 4/26/23 380,000 478,896 - -------------------------------------------------------------------------------------------------------- PanAmSat Corp.: 8.50% Sr. Unsec. Nts., 2/1/12 400,000 463,500 9% Sr. Nts., 8/15/14 200,000 200,000 - -------------------------------------------------------------------------------------------------------- PRIMEDIA, Inc.: 8% Sr. Nts., 5/15/13 7 500,000 462,500 8.875% Sr. Unsec. Nts., 5/15/11 9,000 8,888 - -------------------------------------------------------------------------------------------------------- R.H. Donnelley Financial Corp. I, 10.875% Sr. Sub. Nts., 12/15/12 7 200,000 235,000 - -------------------------------------------------------------------------------------------------------- Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 200,000 222,000 - -------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc.: 8% Sr. Unsec. Sub. Nts., 3/15/12 1,200,000 1,245,000 8.75% Sr. Sub. Nts., 12/15/11 300,000 324,000 - -------------------------------------------------------------------------------------------------------- Spanish Broadcasting System, Inc., 9.625% Sr. Unsec. Sub. Nts., 11/1/09 300,000 317,250 - -------------------------------------------------------------------------------------------------------- Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 100,000 109,750 - -------------------------------------------------------------------------------------------------------- Von Hoffmann Corp., 10.25% Sr. Unsec. Nts., 3/15/09 100,000 109,250 - -------------------------------------------------------------------------------------------------------- WRC Media, Inc./Weekly Reader Corp./CompassLearning, Inc., 12.75% Sr. Sub. Nts., 11/15/09 300,000 274,500 ------------- 11,406,854 - -------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.1% Saks, Inc., 9.875% Nts., 10/1/11 200,000 232,000 - -------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.2% Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 200,000 204,500 - -------------------------------------------------------------------------------------------------------- Building Materials Corp. of America, 7.75% Sr. Nts., 8/1/14 7 200,000 200,500 - -------------------------------------------------------------------------------------------------------- Hollywood Entertainment Corp., 9.625% Sr. Sub. Nts., 3/15/11 150,000 172,500 ------------- 577,500 - -------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--0.3% Broder Bros. Co., 11.25% Sr. Unsec. Nts., 10/15/10 100,000 92,750 - -------------------------------------------------------------------------------------------------------- Levi Strauss & Co.: 11.625% Sr. Unsec. Nts., 1/15/08 200,000 202,500 12.25% Sr. Nts., 12/15/12 250,000 255,000 - -------------------------------------------------------------------------------------------------------- Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 7 150,000 160,500 - -------------------------------------------------------------------------------------------------------- Russell Corp., 9.25% Sr. Nts., 5/1/10 100,000 107,750 ------------- 818,500 - -------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--1.2% - -------------------------------------------------------------------------------------------------------- BEVERAGES--0.0% Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 100,000 108,250 - -------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.2% Great Atlantic & Pacific Tea Co., Inc. (The), 9.125% Sr. Nts., 12/15/11 209,000 182,875 - -------------------------------------------------------------------------------------------------------- Ingles Markets, Inc., 8.875% Sr. Unsec. Sub. Nts., 12/1/11 9,000 9,495 - -------------------------------------------------------------------------------------------------------- Rite Aid Corp.: 8.125% Sr. Sec. Nts., 5/1/10 250,000 263,125 9.50% Sr. Sec. Nts., 2/15/11 100,000 110,250 ------------- 565,745 - -------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.6% Burns Philp Capital Property Ltd., 9.75% Sr. Unsec. Sub. Nts., 7/15/12 100,000 104,750 - -------------------------------------------------------------------------------------------------------- Del Monte Corp., 8.625% Sr. Sub. Nts., 12/15/12 200,000 219,000 - -------------------------------------------------------------------------------------------------------- Doane Pet Care Co., 10.75% Sr. Nts., 3/1/10 200,000 217,000 - -------------------------------------------------------------------------------------------------------- Dole Food Co., Inc., 8.875% Sr. Unsec. Nts., 3/15/11 50,000 53,125 - -------------------------------------------------------------------------------------------------------- Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 5 100,000 108,500 - -------------------------------------------------------------------------------------------------------- Pinnacle Foods Holding Corp., 8.25% Sr. Sub. Nts., 12/1/13 7 200,000 193,000 - -------------------------------------------------------------------------------------------------------- Smithfield Foods, Inc.: 7.625% Sr. Unsec. Sub. Nts., 2/15/08 400,000 423,000 8% Sr. Nts., Series B, 10/15/09 300,000 327,000 - -------------------------------------------------------------------------------------------------------- Tembec Industries, Inc., 8.50% Sr. Unsec. Nts., 2/1/11 9,000 9,360 ------------- 1,654,735 - -------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.4% AKI, Inc., 10.50% Sr. Unsec. Nts., 7/1/08 600,000 618,750 - -------------------------------------------------------------------------------------------------------- Playtex Products, Inc., 8% Sr. Sec. Nts., 3/1/11 7 300,000 312,750 - -------------------------------------------------------------------------------------------------------- Styling Technology Corp., 10.875% Sr. Unsec. Sub. Nts., 7/1/08 5,6 400,000 -- ------------- 931,500 - -------------------------------------------------------------------------------------------------------- ENERGY--1.7% - -------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.4% Hornbeck-Leevac Marine Services, Inc., 10.625% Sr. Nts., 8/1/08 750,000 825,000 - -------------------------------------------------------------------------------------------------------- Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 100,000 106,500 - -------------------------------------------------------------------------------------------------------- Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 200,000 209,000 ------------- 1,140,500 - -------------------------------------------------------------------------------------------------------- OIL & GAS--1.3% Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 336,000 332,640 - -------------------------------------------------------------------------------------------------------- El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 9,000 8,325 - -------------------------------------------------------------------------------------------------------- El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 475,000 454,813 - -------------------------------------------------------------------------------------------------------- Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 200,000 208,000 - -------------------------------------------------------------------------------------------------------- Frontier Oil Corp., 11.75% Sr. Nts., 11/15/09 600,000 652,500 - -------------------------------------------------------------------------------------------------------- GulfTerra Energy Partners LP: 8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/10 108,000 118,800 10.625% Sr. Sub. Nts., 12/1/12 5 134,000 161,470 - -------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust, 8.50% Unsub. Nts., 2/15/08 265,000 296,138 - -------------------------------------------------------------------------------------------------------- Pioneer Natural Resources Co., 5.875% Sr. Unsec. Nts., 7/15/16 200,000 200,673 - -------------------------------------------------------------------------------------------------------- Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 500,000 582,500 - -------------------------------------------------------------------------------------------------------- Tesoro Petroleum Corp.: 8% Sr. Sec. Nts., 4/15/08 100,000 108,500 9.625% Sr. Sub. Nts., 4/1/12 9,000 10,328 - -------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The): 7.125% Nts., 9/1/11 100,000 104,500 8.625% Sr. Nts., 6/1/10 200,000 225,500 - -------------------------------------------------------------------------------------------------------- XTO Energy, Inc., 7.50% Sr. Nts., 4/15/12 100,000 114,036 ------------- 3,578,723 - -------------------------------------------------------------------------------------------------------- FINANCIALS--1.2% - -------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.3% American Color Graphics, Inc., 10% Sr. Sec. Nts., 6/15/10 100,000 92,000 - -------------------------------------------------------------------------------------------------------- Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 200,000 224,000 - -------------------------------------------------------------------------------------------------------- DeCrane Aircraft Holdings, Inc., 12% Sr. Unsec. Sub. Nts., Series 800,000 524,000 B, 9/30/08 ------------- 840,000 - -------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--0.1% Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 300,000 331,500 - -------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--0.2% Pemex Project Funding Master Trust, 7.375% Unsec. Unsub. Nts., 12/15/14 410,000 430,500 - -------------------------------------------------------------------------------------------------------- INSURANCE--0.1% Arbor I Ltd., 17.02% Nts., 6/15/06 5,9 250,000 257,813 - -------------------------------------------------------------------------------------------------------- REAL ESTATE--0.5% Felcor Lodging LP, 9% Sr. Nts., 6/1/11 294,000 316,785 - -------------------------------------------------------------------------------------------------------- Host Marriott LP, 9.50% Sr. Nts., 1/15/07 400,000 439,000 - -------------------------------------------------------------------------------------------------------- MeriStar Hospitality Corp., 9.125% Sr. Unsec. Nts., 1/15/11 709,000 735,588 ------------- 1,491,373 - -------------------------------------------------------------------------------------------------------- HEALTH CARE--1.9% - -------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.3% Fisher Scientific International, Inc., 8.125% Sr. Sub. Nts., 5/1/12 174,000 191,183 - -------------------------------------------------------------------------------------------------------- Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 7 150,000 146,250 - -------------------------------------------------------------------------------------------------------- Vanguard Health Systems, Inc., 9.75% Sr. Unsec. Sub. Nts., 8/1/11 400,000 462,000 ------------- 799,433 - -------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.6% Alliance Imaging, Inc., 10.375% Sr. Unsec. Sub. Nts., 4/15/11 9,000 9,383 - -------------------------------------------------------------------------------------------------------- AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 100,000 102,000 - -------------------------------------------------------------------------------------------------------- Extendicare Health Services, Inc., 9.50% Sr. Unsec. Sub. Nts., 7/1/10 100,000 111,875 - -------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 900,000 954,000 - -------------------------------------------------------------------------------------------------------- HealthSouth Corp.: 7.625% Nts., 6/1/12 800,000 755,000 10.75% Sr. Unsec. Sub. Nts., 10/1/08 9,000 9,338 - -------------------------------------------------------------------------------------------------------- Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 200,000 229,000 - -------------------------------------------------------------------------------------------------------- NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 600,000 660,000 - -------------------------------------------------------------------------------------------------------- PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 259,000 295,260 - -------------------------------------------------------------------------------------------------------- Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 150,000 154,875 - -------------------------------------------------------------------------------------------------------- Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 400,000 427,000 - -------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp.: 6.375% Sr. Nts., 12/1/11 237,000 212,708 7.375% Nts., 2/1/13 9,000 8,370 - -------------------------------------------------------------------------------------------------------- Triad Hospitals, Inc., 7% Sr. Nts., 5/15/12 200,000 205,500 - -------------------------------------------------------------------------------------------------------- US Oncology, Inc., 9.625% Sr. Sub. Nts., 2/1/12 5 200,000 237,000 ------------- 4,371,309 - -------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.0% aaiPharma, Inc., 11% Sr. Sub. Nts., 4/1/10 100,000 83,500 - -------------------------------------------------------------------------------------------------------- INDUSTRIALS--3.6% - -------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.5% Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 200,000 217,500 - -------------------------------------------------------------------------------------------------------- BE Aerospace, Inc.: 8.50% Sr. Unsec. Nts., 10/1/10 100,000 107,000 8.875% Sr. Unsec. Sub. Nts., 5/1/11 209,000 204,820 - -------------------------------------------------------------------------------------------------------- K&F Industries, Inc., 9.625% Sr. Unsec. Sub. Nts., 12/15/10 125,000 137,188 - -------------------------------------------------------------------------------------------------------- Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 5 150,000 166,500 - -------------------------------------------------------------------------------------------------------- TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 200,000 212,000 - -------------------------------------------------------------------------------------------------------- TRW Automotive, Inc.: 9.375% Sr. Nts., 2/15/13 134,000 153,430 11% Sr. Sub. Nts., 2/15/13 97,000 116,885 - -------------------------------------------------------------------------------------------------------- Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 7 100,000 98,500 ------------- 1,413,823 - -------------------------------------------------------------------------------------------------------- AIRLINES--0.6% America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 1,000,000 987,500 - -------------------------------------------------------------------------------------------------------- ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 9 1,260,000 511,875 ------------- 1,499,375 - -------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.2% Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 100,000 113,000 - -------------------------------------------------------------------------------------------------------- Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 156,000 169,260 - -------------------------------------------------------------------------------------------------------- Nortek, Inc., 9.875% Sr. Unsec. Sub. Nts., 6/15/11 5 100,000 116,875 ------------- 399,135 - -------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--1.2% Allied Waste North America, Inc.: 7.375% Sr. Sec. Nts., Series B, 4/15/14 300,000 288,750 7.875% Sr. Nts., 4/15/13 200,000 210,250 8.50% Sr. Sub. Nts., 12/1/08 500,000 546,250 - -------------------------------------------------------------------------------------------------------- Budget Group, Inc., 9.125% Sr. Unsec. Nts., 4/1/06 5,6 400,000 4,000 - -------------------------------------------------------------------------------------------------------- Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 5 200,000 188,000 - -------------------------------------------------------------------------------------------------------- Corrections Corp. of America, 9.875% Sr. Nts., 5/1/09 100,000 111,625 - -------------------------------------------------------------------------------------------------------- Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 5 600,000 607,500 - -------------------------------------------------------------------------------------------------------- Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 192,000 196,320 - -------------------------------------------------------------------------------------------------------- Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 300,000 324,000 - -------------------------------------------------------------------------------------------------------- Protection One, Inc./Protection One Alarm Monitoring, Inc., 7.375% Sr. Unsec. Nts., 8/15/05 400,000 382,000 - -------------------------------------------------------------------------------------------------------- Safety-Kleen Corp., 9.25% Sr. Unsec. Nts., 5/15/09 5,6 50,000 2,500 - -------------------------------------------------------------------------------------------------------- Synagro Technologies, Inc., 9.50% Sr. Sub. Nts., 4/1/09 100,000 105,500 - -------------------------------------------------------------------------------------------------------- United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 400,000 367,000 ------------- 3,333,695 - -------------------------------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING--0.0% URS Corp., 11.50% Sr. Unsec. Nts., 9/15/09 64,000 73,600 - -------------------------------------------------------------------------------------------------------- MACHINERY--0.7% Actuant Corp., 13% Sr. Sub. Nts., 5/1/09 215,000 269,210 - -------------------------------------------------------------------------------------------------------- AGCO Corp., 9.50% Sr. Unsec. Nts., 5/1/08 5 500,000 545,000 - -------------------------------------------------------------------------------------------------------- Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 7 300,000 313,500 - -------------------------------------------------------------------------------------------------------- NMHG Holding Co., 10% Sr. Nts., 5/15/09 100,000 110,500 - -------------------------------------------------------------------------------------------------------- SPX Corp., 7.50% Sr. Nts., 1/1/13 400,000 409,000 - -------------------------------------------------------------------------------------------------------- Terex Corp., 9.25% Sr. Unsec. Sub. Nts., 7/15/11 200,000 223,500 - -------------------------------------------------------------------------------------------------------- Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 7 150,000 142,500 ------------- 2,013,210 - -------------------------------------------------------------------------------------------------------- MARINE--0.3% CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 300,000 346,500 - -------------------------------------------------------------------------------------------------------- Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 750,000 441,825 6/30/07 5,6 ------------- 788,325 - -------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.1% Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 200,000 202,250 - -------------------------------------------------------------------------------------------------------- TRANSPORTATION INFRASTRUCTURE--0.0% Worldspan LP/Worldspan Financial Corp., 9.625% Sr. Nts., 6/15/11 100,000 101,000 - -------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--1.1% - -------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.2% Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 5,6 1,150,000 488,750 - -------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.2% Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 400,000 418,000 - -------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1% Ingram Micro, Inc., 9.875% Sr. Unsec. Sub. Nts., 8/15/08 300,000 330,750 - -------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.0% Globix Corp., 11% Sr. Nts., 5/01/08 42,888 38,814 - -------------------------------------------------------------------------------------------------------- NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 5,6 160,138 -- - -------------------------------------------------------------------------------------------------------- PSINet, Inc.: 500,000 23,676 10.50% Sr. Unsec. Nts., 12/1/06 5,6 [EUR] 11% Sr. Nts., 8/1/09 5,6 540,935 36,513 ------------- 99,003 - -------------------------------------------------------------------------------------------------------- IT SERVICES--0.2% Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 500,000 513,750 - -------------------------------------------------------------------------------------------------------- Titan Corp. (The), 8% Sr. Sub. Nts., 5/15/11 50,000 50,750 ------------- 564,500 - -------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.4% AMI Semiconductor, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/1/13 5 194,000 226,980 - -------------------------------------------------------------------------------------------------------- Amkor Technology, Inc., 9.25% Sr. Unsec. Sub. Nts., 2/15/08 300,000 294,000 - -------------------------------------------------------------------------------------------------------- ChipPAC International Co. Ltd., 12.75% Sr. Unsec. Sub. Nts., Series B, 8/1/09 200,000 214,250 - -------------------------------------------------------------------------------------------------------- Freescale Semiconductor, Inc., 7.125% Sr. Nts., 7/15/14 7 200,000 204,000 ------------- 939,230 - -------------------------------------------------------------------------------------------------------- MATERIALS--4.2% - -------------------------------------------------------------------------------------------------------- CHEMICALS--1.0% Equistar Chemicals LP/Equistar Funding Corp.: 8.75% Sr. Unsec. Nts., 2/15/09 200,000 207,500 10.125% Sr. Unsec. Nts., 9/1/08 9,000 9,911 10.625% Sr. Unsec. Nts., 5/1/11 200,000 223,000 - -------------------------------------------------------------------------------------------------------- Huntsman Co. LLC, 11.625% Sr. Unsec. Nts., 10/15/10 9,000 10,058 - -------------------------------------------------------------------------------------------------------- Huntsman Corp./ICI Chemical Co. plc, 13.08% Sr. Unsec. Disc. Nts., 12/31/09 3 300,000 151,500 - -------------------------------------------------------------------------------------------------------- Huntsman International LLC, 9.875% Sr. Nts., 3/1/09 600,000 643,500 - -------------------------------------------------------------------------------------------------------- IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 9,000 11,025 - -------------------------------------------------------------------------------------------------------- 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 9,000 9,461 9.875% Sec. Nts., Series B, 5/1/07 400,000 421,500 - -------------------------------------------------------------------------------------------------------- Pioneer Cos., Inc., 5.086% Sr. Sec. Nts., 12/31/06 9 27,687 26,303 - -------------------------------------------------------------------------------------------------------- PolyOne Corp.: 8.875% Sr. Unsec. Nts., 5/1/12 400,000 399,000 10.625% Sr. Unsec. Nts., 5/15/10 9,000 9,675 - -------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc.: 10% Sr. Sec. Nts., 12/19/07 204,568 193,317 11.25% Sr. Sub. Nts., 8/15/06 5,6 200,000 -- - -------------------------------------------------------------------------------------------------------- Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 5 200,000 220,500 ------------- 2,757,250 - -------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.1% Texas Industries, Inc., 10.25% Sr. Unsec. Nts., 6/15/11 200,000 229,000 - -------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--1.4% Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 250,000 272,500 9.50% Sr. Sub. Nts., 8/15/13 200,000 221,000 - -------------------------------------------------------------------------------------------------------- Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 450,000 482,625 - -------------------------------------------------------------------------------------------------------- Owens-Brockway Glass Container, Inc.: 8.25% Sr. Unsec. Nts., 5/15/13 9,000 9,473 8.75% Sr. Sec. Nts., 11/15/12 500,000 552,500 8.875% Sr. Sec. Nts., 2/15/09 900,000 983,250 - -------------------------------------------------------------------------------------------------------- Pliant Corp., 0%/11.125% Sr. Sec. Disc. Nts., 6/15/09 8 200,000 178,000 - -------------------------------------------------------------------------------------------------------- Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 7 100,000 92,500 - -------------------------------------------------------------------------------------------------------- Stone Container Corp.: 9.25% Sr. Unsec. Nts., 2/1/08 250,000 276,250 9.75% Sr. Unsec. Nts., 2/1/11 400,000 444,000 - -------------------------------------------------------------------------------------------------------- TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 250,000 262,500 ------------- 3,774,598 - -------------------------------------------------------------------------------------------------------- METALS & MINING--1.4% AK Steel Corp., 7.75% Sr. Unsec. Nts., 6/15/12 9,000 8,370 - -------------------------------------------------------------------------------------------------------- Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 7 200,000 204,000 - -------------------------------------------------------------------------------------------------------- California Steel Industries, Inc., 6.125% Sr. Nts., 3/15/14 200,000 188,750 - -------------------------------------------------------------------------------------------------------- Century Aluminum Co., 11.75% Sr. Sec. Nts., 4/15/08 400,000 450,500 - -------------------------------------------------------------------------------------------------------- Foundation PA Coal Co., 7.25% Sr. Nts., 8/1/14 7 100,000 101,250 - -------------------------------------------------------------------------------------------------------- IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 200,000 217,000 - -------------------------------------------------------------------------------------------------------- Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5 400,000 444,000 - -------------------------------------------------------------------------------------------------------- Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 6 500,000 530,000 - -------------------------------------------------------------------------------------------------------- Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 250,000 277,500 - -------------------------------------------------------------------------------------------------------- Metallurg, Inc., 11% Sr. Nts., 12/1/07 200,000 115,000 - -------------------------------------------------------------------------------------------------------- Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 200,000 214,000 - -------------------------------------------------------------------------------------------------------- Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 200,000 207,000 - -------------------------------------------------------------------------------------------------------- Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 200,000 223,000 - -------------------------------------------------------------------------------------------------------- UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 100,000 112,500 - -------------------------------------------------------------------------------------------------------- United States Steel Corp., 9.75% Sr. Nts., 5/15/10 168,000 187,740 - -------------------------------------------------------------------------------------------------------- United States Steel LLC, 10.75% Sr. Nts., 8/1/08 260,000 302,250 ------------- 3,782,860 - -------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.3% Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 50,000 51,625 - -------------------------------------------------------------------------------------------------------- Georgia-Pacific Corp., 8.125% Sr. Unsec. Nts., 5/15/11 500,000 563,750 - -------------------------------------------------------------------------------------------------------- Tekni-Plex, Inc.: 8.75% Sr. Sec. Nts., 11/15/13 7 9,000 8,764 12.75% Sr. Unsec. Sub. Nts., Series B, 6/15/10 100,000 99,000 ------------- 723,139 - -------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.1% - -------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.7% COLO.com, Inc., 13.875% Sr. Nts., 3/15/10 5,6 249,878 25 - -------------------------------------------------------------------------------------------------------- Crown Castle International Corp., 7.50% Sr. Nts., 12/1/13 200,000 200,500 - -------------------------------------------------------------------------------------------------------- Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 100,000 113,500 - -------------------------------------------------------------------------------------------------------- Dex Media West LLC/Dex Media West Finance Co.: 8.50% Sr. Nts., 8/15/10 150,000 165,750 9.875% Sr. Sub. Nts., 8/15/13 300,000 339,750 - -------------------------------------------------------------------------------------------------------- Dex Media, Inc., 8% Nts., 11/15/13 7 150,000 151,500 - -------------------------------------------------------------------------------------------------------- IPC Acquisition Corp., 11.50% Sr. Sub. Nts., 12/15/09 250,000 276,250 - -------------------------------------------------------------------------------------------------------- MCI, Inc.: 5.908% Sr. Unsec. Nts., 5/1/07 33,000 32,051 6.688% Sr. Unsec. Nts., 5/1/09 33,000 30,484 7.735% Sr. Unsec. Nts., 5/1/14 28,000 25,305 - -------------------------------------------------------------------------------------------------------- Qwest Capital Funding, Inc., 7.90% Unsec. Nts., 8/15/10 9,000 8,055 - -------------------------------------------------------------------------------------------------------- Qwest Corp., 9.125% Nts., 3/15/12 7 500,000 552,500 - -------------------------------------------------------------------------------------------------------- Teligent, Inc., 11.50% Sr. Nts., 12/1/07 5,6 200,000 -- ------------- 1,895,670 - -------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--1.4% Alamosa Delaware, Inc.: 11% Sr. Unsec. Nts., 7/31/10 9,000 9,923 12.50% Sr. Unsec. Nts., 2/1/11 200,000 223,000 - -------------------------------------------------------------------------------------------------------- American Tower Corp., 7.50% Sr. Nts., 5/1/12 7 100,000 98,750 - -------------------------------------------------------------------------------------------------------- American Tower Escrow Corp., 12.25% Sr. Sub. Disc. Nts., 8/1/08 3 400,000 299,000 - -------------------------------------------------------------------------------------------------------- CellNet Data Systems, Inc., % Sr. Unsec. Disc. Nts., 10/1/07 5,6 554,000 -- - -------------------------------------------------------------------------------------------------------- Centennial Cellular Operating Co./Centennial Communications Corp., 10.125% Sr. Nts., 6/15/13 300,000 310,500 - -------------------------------------------------------------------------------------------------------- Crown Castle International Corp., 10.75% Sr. Nts., 8/1/11 200,000 225,000 - -------------------------------------------------------------------------------------------------------- Dobson Communications Corp., 8.875% Sr. Nts., 10/1/13 209,000 158,840 - -------------------------------------------------------------------------------------------------------- Leap Wireless International, Inc.: 0%/14.50% Sr. Unsec. Disc. Nts., 4/15/10 5,6 200,000 29,000 12.50% Sr. Nts., 4/15/10 5,6 400,000 71,000 - -------------------------------------------------------------------------------------------------------- Nextel Communications, Inc., 7.375% Sr. Nts., 8/1/15 140,000 147,700 - -------------------------------------------------------------------------------------------------------- Rural Cellular Corp.: 9.625% Sr. Sub. Nts., Series B, 5/15/08 600,000 573,000 9.75% Sr. Sub. Nts., 1/15/10 9,000 8,325 9.875% Sr. Nts., 2/1/10 200,000 200,500 - -------------------------------------------------------------------------------------------------------- SBA Telecommunications, Inc., /SBA Communications Corp., 0%/9.75% Sr. Disc. Nts., 12/15/11 8 459,000 349,988 - -------------------------------------------------------------------------------------------------------- Triton PCS, Inc.: 8.50% Sr. Unsec. Nts., 6/1/13 200,000 187,000 8.75% Sr. Unsec. Sub. Nts., 11/15/11 109,000 84,748 - -------------------------------------------------------------------------------------------------------- US Unwired, Inc., 0%/13.375% Sr. Unsec. Sub. Disc. Nts., Series B, 11/1/09 5,8 500,000 517,500 - -------------------------------------------------------------------------------------------------------- Western Wireless Corp., 9.25% Sr. Unsec. Nts., 7/15/13 259,000 266,123 ------------- 3,759,897 - -------------------------------------------------------------------------------------------------------- UTILITIES--2.2% - -------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.8% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12 7 9,000 9,090 - -------------------------------------------------------------------------------------------------------- Caithness Coso Funding Corp., 9.05% Sr. Sec. Nts., Series B, 12/15/09 397,819 439,589 - -------------------------------------------------------------------------------------------------------- Calpine Corp.: 7.625% Sr. Nts., 4/15/06 550,000 468,875 8.75% Sr. Nts., 7/15/07 125,000 85,625 9.875% Sr. Sec. Nts., 12/1/11 7 600,000 501,000 - -------------------------------------------------------------------------------------------------------- CMS Energy Corp.: 7.50% Sr. Nts., 1/15/09 9,000 9,225 7.75% Sr. Nts., 8/1/10 7 100,000 102,750 9.875% Sr. Unsec. Nts., 10/15/07 900,000 994,500 - -------------------------------------------------------------------------------------------------------- Edison Mission Energy, 10% Sr. Unsec. Nts., 8/15/08 200,000 228,000 - -------------------------------------------------------------------------------------------------------- ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 5 448,000 465,920 - -------------------------------------------------------------------------------------------------------- Mirant Americas Generation LLC, 8.30% Sr. Unsec. Nts., 5/1/11 6 600,000 477,000 - -------------------------------------------------------------------------------------------------------- MSW Energy Holdings LLC/MSW Energy Finance Co., Inc., 8.50% Sr. Sec. Nts., 9/1/10 100,000 107,500 - -------------------------------------------------------------------------------------------------------- PG&E Corp., 6.875% Sr. Sec. Nts., 7/15/08 7 200,000 213,250 - -------------------------------------------------------------------------------------------------------- Reliant Resources, Inc.: 9.25% Sr. Sec. Nts., 7/15/10 359,000 384,130 9.50% Sr. Sec. Nts., 7/15/13 150,000 162,000 - -------------------------------------------------------------------------------------------------------- Westar Energy, Inc., 9.75% Sr. Unsec. Nts., 5/1/07 185,000 211,172 ------------- 4,859,626 - -------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.1% AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 8.875% Sr. Unsec. Nts., Series B, 5/20/11 200,000 218,500 - -------------------------------------------------------------------------------------------------------- SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 100,000 103,750 ------------- 322,250 - -------------------------------------------------------------------------------------------------------- MULTI-UTILITIES & UNREGULATED POWER--0.3% Consumers Energy Co., 7.375% Nts., 9/15/23 200,000 204,975 - -------------------------------------------------------------------------------------------------------- Dynegy Holdings, Inc.: 8.75% Sr. Nts., 2/15/12 9,000 8,933 10.125% Sr. Sec. Nts., 7/15/13 7 400,000 443,000 - -------------------------------------------------------------------------------------------------------- Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 131,808 134,527 ------------- 791,435 ------------- 78,743,528 Shares - -------------------------------------------------------------------------------------------------------- Preferred Stocks--0.7% Dobson Communications Corp., 6% Cv., Series F (converts into Dobson Communications Corp., Cl. A common stock), Non-Vtg. 7 600 55,178 - -------------------------------------------------------------------------------------------------------- e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 4,5,10 249 25 - -------------------------------------------------------------------------------------------------------- Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 4,5 4,000 351,000 - -------------------------------------------------------------------------------------------------------- Focal Communications Corp., Cv., Series A 4,5 403 4,070 - -------------------------------------------------------------------------------------------------------- Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable Exchangeable, Non-Vtg. 4,5,10 3,031 -- - -------------------------------------------------------------------------------------------------------- Paxson Communications Corp.: 14.25% Cum. Jr. Exchangeable, Non-Vtg. 10 41 355,675 14.25% Cum. 4,10 1 6,464 - -------------------------------------------------------------------------------------------------------- Pennsylvania Real Estate Investment Trust, 11% 4,000 238,000 - -------------------------------------------------------------------------------------------------------- PTV, Inc., 10% Cum., Series A, Non-Vtg. 4 21 - -------------------------------------------------------------------------------------------------------- Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 4,10 115 95,738 - -------------------------------------------------------------------------------------------------------- Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 5 5,750 840,938 ------------- 1,947,109 Principal Amount - -------------------------------------------------------------------------------------------------------- Structured Notes--0.1% Swiss Re Capital Markets Corp./Fujiyama Ltd. Catastrophe Linked Nts., 5.26%, 5/16/05 7,9 $ 250,000 253,775 ------------- Total Corporate Sector (Cost $82,377,924) 82,209,815 Units - -------------------------------------------------------------------------------------------------------- Convertible Sector--0.0% - -------------------------------------------------------------------------------------------------------- Rights, Warrants and Certificates--0.0% AboveNet, Inc. Wts.: Exp. 9/8/08 4 78 1,117 Exp. 9/8/10 4 92 1,268 - -------------------------------------------------------------------------------------------------------- American Tower Corp. Wts., Exp. 8/1/08 4,5 400 73,800 - -------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp. Wts., Exp. 9/1/04 4 1,936 138 - -------------------------------------------------------------------------------------------------------- COLO.com, Inc. Wts., Exp. 3/15/10 4,5 300 3 - -------------------------------------------------------------------------------------------------------- Concentric Network Corp. Wts., Exp. 12/15/07 4,5 600 -- - -------------------------------------------------------------------------------------------------------- DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 4,5 800 -- - -------------------------------------------------------------------------------------------------------- e.spire Communications, Inc. Wts., Exp. 11/1/05 4,5 700 7 - -------------------------------------------------------------------------------------------------------- Focal Communications Corp. Wts.: Exp. 6/19/06 4,5 158 569 Exp. 6/19/08 4 792 -- - -------------------------------------------------------------------------------------------------------- Horizon PCS, Inc. Wts., Exp. 10/1/10 4,5 1,000 -- - -------------------------------------------------------------------------------------------------------- ICG Communications, Inc. Wts., Exp. 9/15/05 4,5 4,125 41 - -------------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. Wts.: Exp.5/16/06 4,5 6,035 60 Exp.5/16/06 4,5 9 -- - -------------------------------------------------------------------------------------------------------- Insilco Corp. Wts., Exp. 8/15/07 4,5 720 -- - -------------------------------------------------------------------------------------------------------- Leap Wireless International, Inc. Wts., Exp. 4/15/10 4,5 400 -- - -------------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 4,5 400 -- - -------------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd. Wts., Exp. 1/15/07 4,5 975 10 - -------------------------------------------------------------------------------------------------------- Millenium Seacarriers, Inc. Wts., Exp. 7/15/05 4,5 700 7 - -------------------------------------------------------------------------------------------------------- Ntelos, Inc. Wts., Exp. 8/15/10 4,5 500 5 - -------------------------------------------------------------------------------------------------------- Pathmark Stores, Inc. Wts., Exp. 9/19/10 4 6,738 4,784 - -------------------------------------------------------------------------------------------------------- Protection One, Inc. Wts., Exp. 6/30/05 4,5 6,400 -- - -------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. Wts., Exp. 12/19/08 4,5 431 625 - -------------------------------------------------------------------------------------------------------- Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 4 500 289 - -------------------------------------------------------------------------------------------------------- XO Communications, Inc., Cl. A Wts., Exp. 1/16/10 4 2,188 2,560 - -------------------------------------------------------------------------------------------------------- XO Communications, Inc., Cl. B Wts., Exp. 1/16/10 4 1,641 1,231 - -------------------------------------------------------------------------------------------------------- XO Communications, Inc., Cl. C Wts., Exp. 1/16/10 4 1,641 944 ------------- Total Convertible Sector (Cost $46,387) 87,458 Shares - -------------------------------------------------------------------------------------------------------- International Sector--37.0% - -------------------------------------------------------------------------------------------------------- Common Stocks--0.2% COLT Telecom Group plc, ADR 4 7,020 21,481 - -------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc., Cl. A 4 7 162 - -------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc., Cl. B 4 1,855 43,462 - -------------------------------------------------------------------------------------------------------- Telewest Global, Inc. 4 44,357 501,234 - -------------------------------------------------------------------------------------------------------- Viatel Holding Ltd. (Bermuda) 4,5 877 851 - -------------------------------------------------------------------------------------------------------- Western Forest Products, Inc. 4 4,524 35,729 ------------- 602,919 Principal Amount - -------------------------------------------------------------------------------------------------------- Corporate Bonds and Notes--3.4% - -------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--0.4% - -------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--0.2% Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 $ 333,000 333,000 - -------------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd., 8.75% Sr. Unsub. Nts., 2/2/11 200,000 226,000 ------------- 559,000 - -------------------------------------------------------------------------------------------------------- MEDIA--0.1% Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 200,000 215,000 - -------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.1% Jean Coutu Group (PJC), Inc. (The): 7.625% Sr. Nts., 8/1/12 7 100,000 101,250 8.50% Sr. Sub. Nts., 8/1/14 7 200,000 199,250 ------------- 300,500 - -------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--0.4% - -------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.4% United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 5 [GBP] 500,000 942,022 - -------------------------------------------------------------------------------------------------------- ENERGY--1.6% - -------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.5% Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 1,200,000 1,194,000 - -------------------------------------------------------------------------------------------------------- OIL & GAS--1.1% Gazprom International SA, 7.201% Sr. Unsec. Bonds, 2/1/20 1,520,000 1,502,976 - -------------------------------------------------------------------------------------------------------- Morgan Stanley Bank AG, OAO Gazprom 9.625% Unsecured Loan Participation Nts., 3/1/13 890,000 931,163 - -------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust, 6.625% Nts., 4/4/10 [EUR] 460,000 587,066 ------------- 3,021,205 - -------------------------------------------------------------------------------------------------------- INDUSTRIALS--0.2% - -------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.0% Videotron Ltee, 6.875% Sr. Unsec. Nts., 1/15/14 100,000 97,500 - -------------------------------------------------------------------------------------------------------- MARINE--0.0% Pacific & Atlantic Holdings, Inc., 3.75% Sec. Nts., 12/31/07 7 183,960 80,243 - -------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.2% Stena AB: 7.50% Sr. Unsec. Nts., 11/1/13 232,000 225,040 9.625% Sr. Nts., 12/1/12 150,000 164,250 ------------- 389,290 - -------------------------------------------------------------------------------------------------------- MATERIALS--0.6% - -------------------------------------------------------------------------------------------------------- CHEMICALS--0.0% PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 87,434 85,248 - -------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--0.2% Crown Euro Holdings SA: 9.50% Sr. Sec. Nts., 3/1/11 300,000 330,000 10.875% Sr. Sec. Nts., 3/1/13 100,000 115,250 - -------------------------------------------------------------------------------------------------------- MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 200,000 225,000 ------------- 670,250 - -------------------------------------------------------------------------------------------------------- METALS & MINING--0.1% Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 7 250,000 259,375 - -------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.3% Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 225,000 239,622 - -------------------------------------------------------------------------------------------------------- Doman Industries Ltd., 8.75% Sr. Nts., 3/15/04 5,6 750,000 273,750 - -------------------------------------------------------------------------------------------------------- Western Forest Products, Inc., 15% Sec. Nts., 7/30/09 156,000 172,380 ------------- 685,752 - -------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--0.2% - -------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.2% 360networks, Inc., 13% Sr. Unsec. Nts., 5/1/08 5,6 [EUR] 600,000 -- - -------------------------------------------------------------------------------------------------------- Telus Corp., 7.50% Nts., 6/1/07 596,000 650,968 ------------- 650,968 ------------- 9,150,353 - -------------------------------------------------------------------------------------------------------- Foreign Government Obligations--27.3% - -------------------------------------------------------------------------------------------------------- ARGENTINA--1.1% Argentina (Republic of) Bonds: 1.234%, 8/3/12 9 3,420,000 2,282,788 1.389%, 5/3/05 9 24,000 23,200 Series PRE8, 2%, 1/3/10 5,6 [ARP] 810,000 332,235 Series PR12, 2%, 1/3/16 5,6 [ARP] 551,273 176,452 - -------------------------------------------------------------------------------------------------------- Argentina (Republic of) Disc. Bonds, 2.345%, 3/31/23 5,6 185,000 94,813 - -------------------------------------------------------------------------------------------------------- Argentina (Republic of) Letras del Banco Central de la Republica Treasury Bills, 14.75%, 10/8/04 3 [ARP] 14,000 4,657 - -------------------------------------------------------------------------------------------------------- Argentina (Republic of) Par Bonds, 6%, 3/31/23 6 235,000 121,025 - -------------------------------------------------------------------------------------------------------- Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas, Series PBA1, 3.257%, 4/1/07 5,6 [ARP] 55,922 21,223 ------------- 3,056,393 - -------------------------------------------------------------------------------------------------------- AUSTRIA--1.0% Austria (Republic of) Bonds, 6.25%, 7/15/27 [EUR] 1,465,000 2,114,485 - -------------------------------------------------------------------------------------------------------- Austria (Republic of) Nts., Series 98-1, 5%, 1/15/08 [EUR] 470,000 598,777 ------------- 2,713,262 - -------------------------------------------------------------------------------------------------------- BELGIUM--2.0% Belgium (Kingdom of) Bonds: 5%, 9/28/11 [EUR] 360,000 459,984 Series 19, 6.50%, 3/31/05 [EUR] 730,000 902,284 Series 26, 6.25%, 3/28/07 [EUR] 1,465,000 1,908,173 Series 28, 5.75%, 3/28/08 [EUR] 550,000 717,173 Series 32, 3.75%, 3/28/09 [EUR] 750,000 910,138 Series 35, 5.75%, 9/28/10 [EUR] 450,000 597,871 ------------- 5,495,623 - -------------------------------------------------------------------------------------------------------- BRAZIL--1.4% Brazil (Federal Republic of) Bonds, Series 15 yr., 2.125%, 4/15/09 9 5,883 5,522 - -------------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Debt Capitalization Bonds, Series 20 yr., 8%, 4/15/14 3,553,493 3,351,388 - -------------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Unsec. Unsub. Bonds, Cl. B, 8.875%, 4/15/24 536,000 456,672 ------------- 3,813,582 - -------------------------------------------------------------------------------------------------------- BULGARIA--0.3% Bulgaria (Republic of) Bonds: 8.25%, 1/15/15 305,000 362,188 8.25%, 1/15/15 7 305,000 362,188 ------------- 724,376 - -------------------------------------------------------------------------------------------------------- COLOMBIA--0.1% Colombia (Republic of) Unsec. Unsub. Bonds, 8.375%, 2/15/27 315,000 269,325 - -------------------------------------------------------------------------------------------------------- DENMARK--0.3% Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 5,400,000 890,438 - -------------------------------------------------------------------------------------------------------- FINLAND--0.1% Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 115,000 138,641 - -------------------------------------------------------------------------------------------------------- FRANCE--1.3% France (Government of) Obligations Assimilables du Tresor Bonds: 5.50%, 10/25/07 [EUR] 465,000 599,738 5.50%, 10/25/10 [EUR] 245,000 322,178 5.75%, 10/25/32 [EUR] 1,070,000 1,465,535 - -------------------------------------------------------------------------------------------------------- France (Government of) Treasury Nts.: 3 yr., 3.50%, 1/12/05 [EUR] 945,000 1,143,239 5 yr., 4.75%, 7/12/07 [EUR] 50,000 63,067 ------------- 3,593,757 - -------------------------------------------------------------------------------------------------------- GERMANY--5.3% Germany (Republic of) Bonds: 2%, 6/17/05 [EUR] 950,000 1,139,989 5.375%, 1/4/10 [EUR] 765,000 997,246 Series 01, 5%, 7/4/11 [EUR] 1,600,000 2,048,993 Series 140, 4.50%, 8/17/07 [EUR] 730,000 913,872 Series 143, 3.50%, 10/10/08 [EUR] 7,765,000 9,380,004 ------------- 14,480,104 - -------------------------------------------------------------------------------------------------------- GREAT BRITAIN--2.2% United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 3,495,000 6,078,316 - -------------------------------------------------------------------------------------------------------- GREECE--1.1% Greece (Republic of) Bonds: 3.50%, 4/18/08 [EUR] 930,000 1,125,943 5.35%, 5/18/11 [EUR] 1,095,000 1,421,617 - -------------------------------------------------------------------------------------------------------- Greece (Republic of) Sr. Unsub. Bonds, 4.65%, 4/19/07 [EUR] 265,000 332,607 ------------- 2,880,167 - -------------------------------------------------------------------------------------------------------- GUATEMALA--0.1% Guatemala (Republic of) Nts.: 10.25%, 11/8/11 7 170,000 193,588 10.25%, 11/8/11 55,000 62,631 ------------- 256,219 - -------------------------------------------------------------------------------------------------------- IRELAND--0.2% Ireland (Republic of) Treasury Bonds, 3.25%, 4/18/09 [EUR] 420,000 497,959 - -------------------------------------------------------------------------------------------------------- ITALY--2.3% Italy (Republic of) Treasury Bonds: Buoni del Tesoro Poliennali, 4%, 3/1/05 [EUR] 290,000 352,513 Buoni del Tesoro Poliennali, 4.50%, 3/1/07 [EUR] 460,000 575,201 Buoni del Tesoro Poliennali, 5%, 10/15/07 [EUR] 2,475,000 3,148,106 Buoni del Tesoro Poliennali, 5%, 2/1/12 [EUR] 740,000 944,278 Buoni del Tesoro Poliennali, 5.25%, 12/15/05 [EUR] 860,000 1,074,537 ------------- 6,094,635 - -------------------------------------------------------------------------------------------------------- IVORY COAST--0.0% Ivory Coast (Government of) Past Due Interest Bonds, 1.90%, 3/29/18 5,6 [FRF] 3,857,000 110,486 - -------------------------------------------------------------------------------------------------------- JAPAN--1.9% Japan (Government of) Bonds, 5 yr., Series 14, 0.40%, 6/20/06 [JPY] 572,000,000 5,164,281 - -------------------------------------------------------------------------------------------------------- KOREA, REPUBLIC OF SOUTH--0.3% Korea (Republic of) Nts.: 4.25%, 6/1/13 305,000 284,962 8.875%, 4/15/08 460,000 535,900 ------------- 820,862 - -------------------------------------------------------------------------------------------------------- MEXICO--0.7% United Mexican States Bonds: 7.50%, 4/8/33 470,000 470,470 8.30%, 8/15/31 230,000 248,975 11.375%, 9/15/16 45,000 63,900 Series M20, 8%, 12/7/23 [MXN] 8,845,000 584,915 - -------------------------------------------------------------------------------------------------------- United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 40,000,000 397,968 ------------- 1,766,228 - -------------------------------------------------------------------------------------------------------- NIGERIA--0.1% Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 140,000 124,250 - -------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 141,216 132,708 ------------- 256,958 - -------------------------------------------------------------------------------------------------------- PERU--0.4% Peru (Republic of) Past Due Interest Bonds, Series 20 yr., 5.111%, 3/7/17 9 1,274,000 1,114,750 - -------------------------------------------------------------------------------------------------------- PHILIPPINES--0.1% Philippines (Republic of) Bonds, 8.375%, 2/15/11 263,000 266,685 - -------------------------------------------------------------------------------------------------------- POLAND--0.8% Poland (Republic of) Bonds, Series 0K0805, 5.24%, 8/12/05 3 [PLZ] 8,030,000 2,056,003 - -------------------------------------------------------------------------------------------------------- PORTUGAL--0.5% Portugal (Republic of) Obrig Do Tes Medio Prazo Nts., 4.875%, 8/17/07 [EUR] 265,000 335,306 - -------------------------------------------------------------------------------------------------------- Portugal (Republic of) Obrig Do Tes Medio Prazo Unsec. Unsub. Nts., 5.85%, 5/20/10 [EUR] 805,000 1,073,804 ------------- 1,409,110 - -------------------------------------------------------------------------------------------------------- RUSSIA--1.2% Ministry Finance of Russia Debs.: Series V, 3%, 5/14/08 1,745,000 1,541,620 Series VI, 3%, 5/14/06 770,000 746,130 - -------------------------------------------------------------------------------------------------------- Russian Federation Unsec. Unsub. Nts., 10%, 6/26/07 965,000 1,088,038 - -------------------------------------------------------------------------------------------------------- Russian Federation Unsub. Nts., 5%, 3/31/30 9 750 686 ------------- 3,376,474 - -------------------------------------------------------------------------------------------------------- SPAIN--1.8% Spain (Kingdom of) Bonds: Bonos y Obligacion del Estado, 5.35%, 10/31/11 [EUR] 1,470,000 1,922,296 Bonos y Obligacion del Estado, 5.75%, 7/30/32 [EUR] 840,000 1,148,726 - -------------------------------------------------------------------------------------------------------- Spain (Kingdom of) Treasury Bills, 2%, 8/20/04 3 [EUR] 1,445,000 1,736,035 ------------- 4,807,057 - -------------------------------------------------------------------------------------------------------- SWEDEN--0.2% Sweden (Kingdom of) Bonds, Series 1043, 5%, 1/28/09 [SEK] 4,420,000 602,345 - -------------------------------------------------------------------------------------------------------- THE NETHERLANDS--0.5% Netherlands (Kingdom of the) Bonds: 5%, 7/15/11 [EUR] 250,000 320,245 5.50%, 1/15/28 [EUR] 735,000 968,834 ------------- 1,289,079 ------------- 74,023,115 - -------------------------------------------------------------------------------------------------------- Loan Participations--1.1% - -------------------------------------------------------------------------------------------------------- Algeria (Republic of) Loan Participation Nts., 2%, 3/4/10 5,9 287,000 283,771 - -------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Indonesia (Republic of) Rupiah Loan Participation Nts., 2.636%, 3/21/05 9 835,000 821,473 Indonesia (Republic of) Rupiah Loan Participation Nts., 2.636%, 1/25/06 9 965,000 925,146 OAO Gazprom Loan Participation Nts., 6.50%, 8/4/05 5 960,000 992,832 ------------- 3,023,222 Date Strike Contracts - -------------------------------------------------------------------------------------------------------- Options Purchased--0.0% Japanese Yen Put 4,5 10/8/04 111.55JPY 915,000,000 117,120 Shares - -------------------------------------------------------------------------------------------------------- Preferred Stocks--0.0% Pacific & Atlantic Holdings, Inc., 7.50% Cum. Cv., Series A 4,5,10 9,083 18,166 Units - -------------------------------------------------------------------------------------------------------- Rights, Warrants and Certificates--0.0% Microcell Telecommunications, Inc., Cl. A Wts., Exp. 5/1/05 4 343 3,019 - -------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc., Cl. B Wts., Exp. 5/1/08 4 572 4,806 - -------------------------------------------------------------------------------------------------------- Telus Corp. Wts., Exp. 9/15/05 4 539 3,866 ------------- 11,691 Principal Amount - -------------------------------------------------------------------------------------------------------- Structured Notes--5.0% Aries Vermoegensverwaltungs GmbH: Credit Linked Nts., 7.75%, 10/25/09 5 [EUR] 270,000 332,812 Credit Linked Nts., 9.60%, 10/25/14 7 270,000 286,875 Credit Linked Nts., 9.60%, 10/25/14 750,000 788,550 - -------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Brazilian Real Unsec. Credit Linked Nts., 0.93%, 1/14/05 758,379 733,072 Colombia(Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 (linked to Emerging Local Markets Index) [COP] 742,500,000 304,071 Brazilian Real Unsec. Credit Linked Nts., 0.79%, 9/15/04 2,785,000 2,800,290 Colombia(Republic of) Unsec. Credit Linked Nts., 15%, 3/15/07 (linked to Emerging Local Markets Index) [COP] 1,476,565,000 632,467 Peruvian Sol Unsec. Linked Nts., 1.466%, 1/14/05 [PEN] 1,605,000 473,483 - -------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (USA), U.S. Dollar/South African Rand Linked Nts., Series FBi 43, 1.468%, 5/23/22 540,000 525,798 - -------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Moscow (City of) Linked Nts., 10%, 5/27/05 [RUR] 5,140,000 183,131 Moscow (City of) Linked Nts., 15%, 9/2/05 [RUR] 15,165,000 572,382 OAO Gazprom I Credit Nts., 5.681%, 10/20/07 310,000 309,590 OAO Gazprom II Credit Nts., 3.813%, 4/20/07 310,000 310,109 Korea (Republic of) Credit Bonds, 2.186%, 6/20/09 1,525,000 1,530,033 Ukraine (Republic of) Credit Linked Nts., 6.65%, 8/5/11 1,540,000 1,542,618 - -------------------------------------------------------------------------------------------------------- Lehman Brothers International: Turkey (Republic of) Treasury Bills Total Return Linked Nts., 24.205%, 8/25/05 480,000 329,232 Turkey (Republic of) Treasury Bills Linked Nts., 28.249%, 5/26/05 495,199 412,897 - -------------------------------------------------------------------------------------------------------- Pioneer 2002 Ltd. Sec. Catastrophe Linked Nts.: Series 2003-II, Cl. A, 7.52%, 6/15/06 5,9 250,000 255,325 Series 2003-II, Cl. B, 6.52%, 6/15/06 5,9 250,000 254,863 Series 2003-II, Cl. C, 7.27%, 6/15/06 5,9 250,000 256,000 - -------------------------------------------------------------------------------------------------------- UBS AG, OAO Gazprom III Credit Nts., 4.783%, 7/5/06 770,000 779,329 ------------- 13,612,927 ------------- Total International Sector (Cost $100,730,767) 100,559,513 - -------------------------------------------------------------------------------------------------------- Asset-Backed Sector--23.1% - -------------------------------------------------------------------------------------------------------- Asset-Backed Securities--5.0% - -------------------------------------------------------------------------------------------------------- AUTO LOAN--3.7% Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 263,960 263,464 - -------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates: Series 2003-A, Cl. A2, 1.45%, 11/25/05 124,287 124,360 Series 2004-A, Cl. A2, 1.88%, 10/25/06 310,000 309,326 - -------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.: Series 2002-3, Cl. A2A, 3.05%, 9/15/05 167,874 168,468 Series 2003-2, Cl. A2A, 1.20%, 5/16/05 60,063 60,092 - -------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2002-A, Cl. A4, 4.24%, 9/15/08 70,000 71,045 Series 2003-A, Cl. A2, 1.26%, 1/16/06 80,941 80,941 Series 2003-B, Cl. A2, 1.28%, 3/15/06 148,116 148,041 - -------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2002-A, Cl. A3, 3.85%, 4/6/06 277,412 278,698 Series 2003-A, Cl. A2, 1.52%, 12/8/05 430,346 430,435 Series 2003-B, Cl. A2, 1.61%, 7/8/06 570,000 569,504 Series 2004-B, Cl. A2, 2.48%, 2/8/07 100,000 102,250 - -------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2A, 1.62%, 8/15/05 86,896 86,957 Series 2004-A, Cl. A2, 2.13%, 10/15/06 440,000 439,533 - -------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: Series 2002-2, Cl. A1, 1.91%, 4/15/07 50,563 50,613 Series 2003-3, Cl. A1, 1.50%, 1/15/08 347,520 346,802 - -------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2003-1, Cl. A2, 1.46%, 9/19/05 79,906 79,952 Series 2003-3, Cl. A2, 1.52%, 4/21/06 544,184 543,866 Series 2003-4, Cl. A2, 1.58%, 7/17/06 534,161 533,686 - -------------------------------------------------------------------------------------------------------- Household Automotive Trust, Automobile Loan Certificates, Series 2003-2, Cl. A2, 1.56%, 12/18/06 234,650 234,409 - -------------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 241,176 241,893 Series 2003-1, Cl. A2, 1.60%, 7/20/06 481,627 481,413 - -------------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 220,000 219,287 - -------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A, Cl. A2, 1.69%, 12/15/05 297,361 297,595 - -------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: Series 2002-A, Cl. A4, 4.28%, 10/16/06 70,000 70,849 Series 2003-B, Cl. A2, 1.20%, 11/15/05 297,230 297,306 Series 2004-A, Cl. A2, 1.40%, 7/17/06 250,000 249,026 - -------------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 74,936 75,394 Series 2003-A, Cl. A2, 1.28%, 8/15/05 94,225 94,272 Series 2003-B, Cl. A2, 1.43%, 2/15/06 335,265 335,005 - -------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2002-1, Cl. A3, 2.41%, 10/16/06 124,842 125,174 Series 2003-1, Cl. A2, 1.22%, 4/17/06 179,877 179,860 Series 2004-1, Cl. A2, 1.43%, 9/15/06 600,000 597,787 Series 2004-2, Cl. A2, 2.38%, 2/15/07 230,000 229,634 - -------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 501,588 501,252 Series 2003-2, Cl. A2, 1.55%, 6/20/06 303,538 303,301 - -------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2002-1, Cl. A3, 2.60%, 8/15/06 469,146 470,776 Series 2003-1, Cl. A2A, 1.40%, 4/15/06 494,867 494,467 ------------- 10,186,733 - -------------------------------------------------------------------------------------------------------- CREDIT CARD--0.5% Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2002-A3, Cl. A3, 4.40%, 5/15/07 220,000 223,867 - -------------------------------------------------------------------------------------------------------- Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 5 1,000,000 1,038,125 ------------- 1,261,992 - -------------------------------------------------------------------------------------------------------- EQUIPMENT--0.0% Caterpillar Financial Asset Trust, Equipment Loan Pass-Through Certificates, Series 2003-A, Cl. A2, 1.25%, 10/25/05 62,132 62,150 - -------------------------------------------------------------------------------------------------------- HOME EQUITY LOAN--0.8% Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2003-B, Cl. AF1, 1.64%, 2/25/18 34,055 34,031 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 213,212 213,057 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 141,300 140,972 - -------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2003-3, Cl. 1A1, 1.53%, 8/25/17 9 85,954 85,998 Series 2003-4, Cl. 1A1, 1.57%, 9/25/17 9 279,970 280,134 - -------------------------------------------------------------------------------------------------------- CIT Group Home Equity Loan Trust, Home Equity Loan Asset-Backed Certificates, Series 2003-1, Cl. A2, 2.35%, 4/20/27 114,523 114,465 - -------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2003-1, Cl. AF1, 1.94%, 1/25/33 8,511 8,507 Series 2003-2, Cl. AF1, 1.55%, 5/25/33 9 93,449 93,502 Series 2003-3, Cl. AF1, 1.57%, 8/25/33 9 147,195 147,282 - -------------------------------------------------------------------------------------------------------- Principal Residential Mortgage Capital Resources Trust, Real Estate Mtg. Investment Conduit Participation Certificates, Series 2000-1, Cl. B, 3.07%, 6/20/05 5,9 1,000,000 1,001,250 ------------- 2,119,198 ------------- 13,630,073 - -------------------------------------------------------------------------------------------------------- Government Agency--15.5% - -------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED--15.4% Federal Home Loan Mortgage Corp.: 5%, 8/15/34 11 3,253,000 3,169,642 5.50%, 1/1/34 156,383 157,094 7%, 9/1/33-11/1/33 695,046 736,466 7%, 8/1/34 11 1,363,000 1,440,521 12%, 8/1/14-6/1/15 49,558 56,443 12%, 5/1/10 12 91,306 101,953 - -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1669, Cl. G, 6.50%, 2/15/23 94,038 95,131 Series 2055, Cl. ZM, 6.50%, 5/15/28 181,069 190,758 Series 2080, Cl. Z, 6.50%, 8/15/28 121,475 126,555 Series 2102, Cl. VA, 6%, 10/15/09 29,377 29,405 Series 2387, Cl. PD, 6%, 4/15/30 264,575 273,150 Series 2430, Cl. ND, 6.50%, 1/15/31 1,835,978 1,858,867 Series 2466, Cl. PD, 6.50%, 4/15/30 146,763 149,523 Series 2491, Cl. PE, 6%, 12/15/27 26,969 26,967 Series 2498, Cl. PC, 5.50%, 10/15/14 41,539 42,368 Series 2500, Cl. FD, 1.88%, 3/15/32 9 100,113 100,861 Series 2526, Cl. FE, 1.78%, 6/15/29 9 137,158 137,698 Series 2551, Cl. FD, 1.78%, 1/15/33 9 112,291 112,939 Series 2551, Cl. TA, 4.50%, 2/15/18 184,380 184,798 - -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 177, Cl. B, 2.80%, 7/1/26 13 303,877 66,331 Series 192, Cl. IO, 12.204%, 2/1/28 13 54,381 11,490 Series 200, Cl. IO, 10.853%, 1/1/29 13 65,015 13,081 Series 205, Cl. IO, 5.877%, 9/1/29 13 381,673 82,334 Series 208, Cl. IO, (28.832)%, 6/1/30 13 339,360 69,636 Series 2074, Cl. S, 23.354%, 7/17/28 13 67,447 8,617 Series 2079, Cl. S, 22.317%, 7/17/28 13 105,054 13,525 Series 2526, Cl. SE, 36.155%, 6/15/29 13 178,524 18,669 Series 2819, Cl. S, 32.728%, 6/15/34 13 1,742,855 167,116 - -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 217, Cl. PO, 6.752%, 2/1/32 14 68,003 56,233 Series 2819, Cl. PO, 9.973%, 7/15/34 14 248,979 207,220 - -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Structured Pass-Through Securities, Collateralized Mtg. Obligations, Series T-42, Cl. A2, 5.50%, 2/25/42 574 575 - -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 8/18/19 11 1,219,000 1,199,191 5.50%, 7/1/33-3/1/34 1,452,021 1,459,363 5.50%, 8/19/19-8/13/34 11 8,703,000 8,810,229 6%, 8/1/34 11 2,378,000 2,439,681 6.50%, 10/1/30 70,242 73,512 6.50%, 1/1/29 1 1,628,407 1,704,227 6.50%, 8/1/34 11 2,543,000 2,654,256 7%, 9/1/29-11/1/33 1,851,789 1,961,919 7%, 8/25/34 11 8,957,000 9,463,626 7.50%, 6/1/10-9/1/29 282,396 301,802 7.50%, 2/1/27 11 130,467 140,144 8.50%, 7/1/32 33,434 36,267 11%, 7/1/16 68,003 76,513 13%, 6/1/15 176,311 202,930 - -------------------------------------------------------------------------------------------------------- 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 77,980 78,721 Trust 2001-50, Cl. NE, 6%, 8/25/30 145,414 149,435 Trust 2001-70, Cl. LR, 6%, 9/25/30 135,167 139,997 Trust 2001-72, Cl. NH, 6%, 4/25/30 115,686 119,583 Trust 2001-74, Cl. PD, 6%, 5/25/30 45,463 46,949 Trust 2002-50, Cl. PD, 6%, 9/25/27 140,000 142,395 Trust 2002-77, Cl. WF, 1.81%, 12/18/32 9 187,971 188,723 Trust 2002-94, Cl. MA, 4.50%, 8/25/09 228,947 230,444 Trust 2003-81, Cl. PA, 5%, 2/25/12 99,820 100,956 - -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2002-28, Cl. SA, 29.582%, 4/25/32 13 100,411 10,508 Trust 2002-39, Cl. SD, 26.169%, 3/18/32 13 162,217 16,200 Trust 2002-48, Cl. S, 27.209%, 7/25/32 13 159,245 16,371 Trust 2002-53, Cl. SK, 25.796%, 4/25/32 13 101,236 10,603 Trust 2002-56, Cl. SN, 30.502%, 7/25/32 13 219,357 24,603 - -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 221, Cl. 2, 3.603%, 5/1/23 13 111,118 24,387 Trust 240, Cl. 2, 7.862%, 9/1/23 13 161,783 36,785 Trust 301, Cl. 2, 4.304%, 4/1/29 13 232,332 49,624 Trust 324, Cl. 2, (7.164)%, 6/1/32 13 607,379 140,168 Trust 2001-63, Cl. SD, 39.196%, 12/18/31 13 139,243 17,274 Trust 2001-68, Cl. SC, 34.852%, 11/25/31 13 105,246 12,140 Trust 2002-9, Cl. MS, 32.658%, 3/25/32 13 181,563 18,775 ------------- 41,804,267 - -------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.1% Government National Mortgage Assn.: 4.75%, 7/20/27 23,309 23,583 7%, 1/15/28-3/15/28 81,412 86,658 11%, 10/20/19 53,788 60,831 12%, 11/20/13-9/20/15 70,771 81,035 - -------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-6, Cl. SA, 24.893%, 3/16/28 13 130,257 15,229 Series 1998-19, Cl. SB, 22.567%, 7/16/28 13 218,145 27,652 ------------- 294,988 ------------- 42,099,255 - -------------------------------------------------------------------------------------------------------- Private--2.6% - -------------------------------------------------------------------------------------------------------- COMMERCIAL--2.5% Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 1,500,000 1,647,371 - -------------------------------------------------------------------------------------------------------- Bank of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 257,906 258,689 Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 280,000 279,781 Series 2004-8, Cl. 5A1, 6.50%, 8/25/29 11 440,000 451,963 - -------------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 10.884%, 6/22/24 7,13 8,934,814 337,225 - -------------------------------------------------------------------------------------------------------- First Union/Lehman Brothers/Bank of America, Commercial Mtg. Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 140,000 151,723 - -------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Mtg. Pass-Through Certificates: Series 1997-C1, Cl. A3, 6.869%, 7/15/29 123,112 132,479 Series 1998-C1, Cl. F, 7.096%, 5/15/30 9 2,000,000 1,927,462 - -------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 160,000 174,322 - -------------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 7 380,000 427,821 - -------------------------------------------------------------------------------------------------------- Washington Mutual Mortgage Securities Corp., Collateralized Mtg. Pass-Through Certificates, Series 2003-AR12, Cl. A2, 2.45%, 2/25/34 9 421,442 422,158 Wells Fargo Mortgage Backed Securities Trust, Collateralized Mtg. Obligations, Series 2004-N, Cl. A10, 3.803%, 8/25/34 460,000 462,300 - -------------------------------------------------------------------------------------------------------- 6,673,294 - -------------------------------------------------------------------------------------------------------- OTHER--0.1% CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 140,945 140,945 - -------------------------------------------------------------------------------------------------------- RESIDENTIAL--0.0% Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2001-GE4, Cl. A, 245.52%, 10/25/30 5,9 7,901 7,950 - -------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-B, Cl. 1, 6.995%, 4/25/26 5,9 141,771 129,011 ------------- 136,961 ------------- 6,951,200 ------------- Total Asset-Backed Sector (Cost $61,977,768) 62,680,528 - -------------------------------------------------------------------------------------------------------- Money Market Sector--11.8% - -------------------------------------------------------------------------------------------------------- Joint Repurchase Agreements--11.8% 15 Undivided interest of 7.01% in joint repurchase agreement (Principal Amount/Value $455,016,000, with a maturity value of $455,065,673) with UBS Warburg LLC, 1.31%, dated 7/30/04, to be repurchased at $31,877,480 on 8/2/04, collateralized by Federal National Mortgage Assn., 5%--5.50%, 3/1/33--3/1/34, with a value of $465,249,695 (Cost $31,874,000) 31,874,000 31,874,000 - -------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $298,171,042) 109.9% 298,187,299 - -------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (9.9) (26,922,951) ----------------------------------- Net Assets 100.0% $271,264,348 =================================== Footnotes to Statement of Investments Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies: ARP Argentine Peso CAD Canadian Dollar COP Colombian Peso DKK Danish Krone EUR Euro FRF French Franc GBP British Pound Sterling JPY Japanese Yen MXN Mexican Nuevo Peso PEN Peruvian New Sol PLZ Polish Zloty RUR Russian Ruble SEK Swedish Krona 1. Securities with an aggregate market value of $2,077,336 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. 2. A sufficient amount of securities has been designated to cover outstanding foreign currency contracts. 3. Zero coupon bond reflects effective yield on the date of purchase. 4. Non-income producing security. 5. Illiquid or restricted security. 6. Issue is in default. 7. 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 $7,986,247 or 2.94% of the Fund's net assets as of July 31, 2004. 8. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 9. Represents the current interest rate for a variable or increasing rate security. 10. Interest or dividend is paid-in-kind. 11. When-issued security or forward commitment to be delivered and settled after July 31, 2004. 12. A sufficient amount of liquid assets has been designated to cover outstanding written options, as follows: CONTRACTS EXPIRATION EXERCISE PREMIUM SUBJECT TO CALL DATE PRICE RECEIVED VALUE - ----------------------------------------------------------------------------------------------- Japanese Yen [JPY] 915,000,000 10/8/04 104.400JPY $65,645$ 19,215 13. 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 $1,208,343 or 0.45% of the Fund's net assets as of July 31, 2004. 14. 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 $263,453 or 0.10% of the Fund's net assets as of July 31, 2004. 15. The Fund may have elements of risk due to concentrated investments. Such concentrations may subject the Fund to additional risks. AS OF JULY 31, 2004, THE FUND HAD ENTERED INTO THE FOLLOWING SWAPTION CONTRACTS. NOTIONAL EXPIRATION EXERCISE PREMIUM SWAPTIONS AMOUNT DATE PRICE RECEIVED VALUE - --------------------------------------------------------------------------------------------------- Lehman Brothers International $3,450,000 9/30/04 5.495% $40,668 $21,899
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 July 31, 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 ex99_302-680.txt EX99_302-680.TXT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, JOHN V. MURPHY, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Multi-Sector Income Trust; 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: 9/16/04 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 Multi-Sector Income Trust; 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: 9/16/04 -----END PRIVACY-ENHANCED MESSAGE-----