UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:    April 30, 2010
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FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-21311

 

 

PIMCO High Income Fund

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas New York, New York

 

10105

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna – 1345 Avenue of the Americas New York, New York 10105

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

March 31, 2010

 

 

 

 

Date of reporting period:

June 30, 2009

 

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 



 

Item 1. Schedule of Investments

 

PIMCO High Income Fund Schedule of Investments

June 30, 2009 (unaudited)

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

CORPORATE BONDS & NOTES—70.0%

 

 

 

 

 

Airlines—2.3%

 

 

 

 

 

$8,760

 

American Airlines, Inc., 8.608%, 10/1/12

 

Ba3/BB-

 

$7,008,000

 

 

 

Continental Airlines, Inc.,

 

 

 

 

 

8,972

 

6.92%, 4/2/13 (a)(b)(g)

 

NR/NR

 

7,795,045

 

10,000

 

9.00%, 7/8/16 (e)

 

Baa2/A-

 

10,050,000

 

 

 

 

 

 

 

24,853,045

 

Automotive—1.7%

 

 

 

 

 

 

 

Ford Motor Co.,

 

 

 

 

 

5,000

 

7.125%, 11/15/25

 

Ca/CCC-

 

2,775,000

 

5,900

 

7.50%, 8/1/26

 

Ca/CCC-

 

3,215,500

 

5,000

 

9.215%, 9/15/21

 

Ca/CCC-

 

2,925,000

 

9,450

 

Goodyear Tire & Rubber Co., 9.00%, 7/1/15

 

B1/B+

 

9,402,750

 

 

 

 

 

 

 

18,318,250

 

Chemicals—0.9%

 

 

 

 

 

10,000

 

Dow Chemical Co., 8.55%, 5/15/19

 

Baa3/BBB-

 

10,034,290

 

 

 

 

 

 

 

Commercial Products—0.4%

 

 

 

 

 

5,000

 

United Rentals North America, Inc., 6.50%, 2/15/12

 

B2/B

 

4,875,000

 

 

 

 

 

 

 

Computer Services—0.8%

 

 

 

 

 

9,000

 

SunGard Data Systems, Inc., 10.25%, 8/15/15

 

Caa1/B-

 

8,358,750

 

 

 

 

 

 

 

 

 

Electronics—1.1%

 

 

 

 

 

1,950

 

Sanmina-SCI Corp., 8.125%, 3/1/16

 

B3/CCC

 

1,430,812

 

 

 

Sensata Technologies BV,

 

 

 

 

 

9,375

 

8.00%, 5/1/14

 

Caa3/CCC-

 

4,652,344

 

€10,700

 

11.25%, 1/15/14

 

NR/NR

 

6,603,678

 

 

 

 

 

 

 

12,686,834

 

Entertainment—0.1%

 

 

 

 

 

$550

 

Speedway Motorsports, Inc., 8.75%, 6/1/16 (a)(d)

 

Ba1/BB

 

559,625

 

 

 

 

 

 

 

Financial Services—41.7%

 

 

 

 

 

8,570

 

AGFC Capital Trust I, 6.00%, 1/15/67, VRN (a)(d)

 

Ba2/B

 

1,801,260

 

 

 

AIG SunAmerica Global Financing VI,

 

 

 

 

 

2,000

 

6.30%, 5/10/11

 

A1/A+

 

1,867,830

 

14,000

 

6.30%, 5/10/11 (a)(d)(j)

 

A1/A+

 

13,159,510

 

 

 

American General Finance Corp.,

 

 

 

 

 

2,000

 

1.134%, 8/17/11, FRN

 

Baa2/BB+

 

1,330,414

 

3,445

 

4.625%, 9/1/10

 

Baa2/BB+

 

2,608,278

 

2,925

 

4.875%, 7/15/12

 

Baa2/BB+

 

1,733,092

 

10,000

 

5.40%, 12/1/15

 

Baa2/BB+

 

5,393,460

 

2,515

 

5.85%, 6/1/13

 

Baa2/BB+

 

1,444,246

 

3,000

 

6.90%, 12/15/17

 

Baa2/BB+

 

1,626,585

 

 

 

American International Group, Inc.,

 

 

 

 

 

7,000

 

0.709%, 3/20/12, FRN (j)

 

A3/NR

 

3,647,392

 

€3,500

 

1.556%, 4/26/11, FRN

 

A3/A-

 

3,070,522

 

$2,500

 

4.25%, 5/15/13

 

A3/A-

 

1,449,757

 

2,000

 

4.70%, 10/1/10 (j)

 

A3/A-

 

1,624,372

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

€5,000

 

4.875%, 3/15/67, FRN

 

Ba2/BBB

 

$1,437,717

 

$4,500

 

5.05%, 10/1/15 (j)

 

A3/A-

 

2,431,143

 

3,000

 

5.375%, 10/18/11 (j)

 

A3/A-

 

2,162,559

 

£10,000

 

5.75%, 3/15/67, FRN

 

Ba2/BBB

 

3,376,042

 

$3,150

 

5.85%, 1/16/18 (j)

 

A3/A-

 

1,668,842

 

32,050

 

8.175%, 5/15/68, (converts to FRN on 5/15/38) (a)(d)

 

Ba2/BBB

 

9,149,890

 

40,750

 

8.25%, 8/15/18 (a)(d)(j)

 

A3/A-

 

24,013,160

 

£15,300

 

8.625%, 5/22/68, (converts to FRN on 5/22/18) (b)

 

Ba2/BBB

 

6,047,232

 

$12,500

 

AmSouth Bancorp, 6.75%, 11/1/25

 

Ba1/BBB

 

8,504,962

 

25,000

 

Aviation Capital Corp., 2.224%, 8/8/12 (a)(b)(g)

 

NR/NR

 

17,472,877

 

5,000

 

Bank of America NA, 5.30%, 3/15/17 (j)

 

A1/A

 

4,248,655

 

160

 

BankAmerica Capital II, 8.00%, 12/15/26

 

Baa3/B

 

132,999

 

5,100

 

BankAmerica Institutional Capital B, 7.70%, 12/31/26 (a)(d)

 

Baa3/B

 

4,160,626

 

£32,175

 

Barclays Bank PLC, 14.00%, 6/15/19, FRN (h)

 

Baa2/BBB+

 

60,803,024

 

$5,000

 

Buffalo Thunder Development Authority, 9.375%, 12/15/14 (a)(d)

 

NR/NR

 

725,000

 

7,700

 

Chukchansi Economic Development Authority, 8.00%, 11/15/13 (a)(b)(d)

 

B3/B+

 

5,197,500

 

 

 

CIT Group, Inc.,

 

 

 

 

 

5,000

 

1.322%, 4/27/11, FRN

 

Ba2/BB-

 

3,541,850

 

€5,000

 

4.25%, 9/22/11

 

Ba2/BB-

 

4,909,277

 

$650

 

4.75%, 12/15/10

 

Ba2/BB-

 

510,417

 

1,800

 

5.20%, 11/3/10

 

Ba2/BB-

 

1,422,326

 

1,225

 

5.40%, 2/13/12

 

Ba2/BB-

 

833,628

 

2,650

 

5.60%, 4/27/11

 

Ba2/BB-

 

1,988,056

 

2,650

 

5.60%, 11/2/11

 

Ba2/BB-

 

1,945,964

 

3,000

 

5.80%, 7/28/11

 

Ba2/BB-

 

2,250,588

 

10,000

 

12.00%, 12/18/18 (a)(d)

 

Ba3/B

 

4,702,070

 

£4,100

 

Citigroup Capital XVIII, 6.829%, 6/28/67, FRN

 

Baa3/CC

 

3,544,844

 

$1,100

 

First Horizon National Corp., 4.50%, 5/15/13

 

Baa2/BB+

 

878,006

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

1,500

 

3.889%, 1/13/12, FRN

 

Caa1/CCC+

 

1,162,500

 

825

 

7.00%, 10/1/13

 

Caa1/CCC+

 

664,127

 

600

 

7.80%, 6/1/12

 

Caa1/CCC+

 

516,677

 

20,000

 

8.00%, 6/1/14

 

Caa1/CCC+

 

16,203,880

 

 

 

General Motors Acceptance Corp. LLC,

 

 

 

 

 

3,000

 

6.00%, 12/15/11

 

Ca/CCC

 

2,520,234

 

5,000

 

6.75%, 12/1/14

 

C/CCC

 

3,849,555

 

3,720

 

7.00%, 2/1/12

 

Ca/CCC

 

3,089,598

 

16,270

 

8.00%, 11/1/31

 

Ca/CCC

 

11,157,689

 

35,200

 

GMAC LLC, 7.50%, 12/31/13 (a)(d)

 

Ca/CCC

 

27,632,000

 

5,000

 

HBOS PLC, 6.75%, 5/21/18 (a)(d)

 

Baa2/A-

 

3,779,765

 

 

 

Host Hotels & Resorts L.P.,

 

 

 

 

 

2,000

 

6.375%, 3/15/15

 

Ba1/BB+

 

1,740,000

 

2,000

 

6.75%, 6/1/16

 

Ba1/BB+

 

1,745,000

 

 

 

International Lease Finance Corp.,

 

 

 

 

 

€15,000

 

1.656%, 8/15/11, FRN

 

Baa2/BBB+

 

15,695,238

 

$4,070

 

4.75%, 1/13/12 (j)

 

Baa2/BBB+

 

3,207,551

 

1,125

 

4.95%, 2/1/11

 

Baa2/BBB+

 

957,314

 

3,935

 

5.00%, 9/15/12 (j)

 

Baa2/BBB+

 

3,046,308

 

2,000

 

5.35%, 3/1/12

 

Baa2/BBB+

 

1,562,126

 

1,960

 

5.40%, 2/15/12

 

Baa2/BBB+

 

1,530,107

 

1,250

 

5.45%, 3/24/11

 

Baa2/BBB+

 

1,048,420

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$1,950

 

5.55%, 9/5/12

 

Baa2/BBB+

 

$1,516,412

 

1,675

 

5.625%, 9/15/10

 

Baa2/AA

 

1,505,217

 

1,000

 

5.625%, 9/20/13

 

Baa2/BBB+

 

756,383

 

2,000

 

5.875%, 5/1/13

 

Baa2/BBB+

 

1,516,584

 

18,000

 

6.29%, 10/15/17 (g)(j)

 

NR/BBB+

 

10,403,551

 

17,715

 

6.375%, 3/25/13 (j)

 

Baa2/BBB+

 

13,492,364

 

1,500

 

6.625%, 11/15/13

 

Baa2/BBB+

 

1,155,990

 

 

 

JET Equipment Trust, (a)(b)(d)(f),

 

 

 

 

 

91

 

7.63%, 2/15/15

 

NR/NR

 

36,589

 

235

 

10.00%, 12/15/13

 

NR/NR

 

128,362

 

2,050

 

JPMorgan Chase & Co., 7.90%, 4/30/18, FRN (h)

 

A2/BBB+

 

1,798,936

 

21,610

 

M&I Marshall & Ilsley Bank, 4.85%, 6/16/15 (j)

 

A3/BBB-

 

15,626,883

 

3,150

 

MUFG Capital Finance I Ltd., 6.346%, 7/25/16, FRN (h)

 

A2/BBB+

 

2,761,003

 

3,705

 

NSG Holdings LLC, 7.75%, 12/15/25 (a)(b)(d)

 

Ba2/BB

 

2,982,525

 

10,000

 

Pacific Life Insurance Co., 9.25%, 6/15/39 (a)(d)(j)

 

A3/A

 

9,719,600

 

36,000

 

Rabobank Nederland NV, 11.00%, 6/30/19, FRN (a)(d)(h)

 

Aa2/AA-

 

40,151,484

 

£2,347

 

Royal Bank of Scotland PLC, 6.334%, 4/6/11, FRN (g)

 

NR/NR

 

1,516,059

 

$1,000

 

Scotland International Finance No 2 BV, 4.25%, 5/23/13 (a)(d)

 

Baa1/A

 

832,061

 

€4,255

 

SG Capital Trust I LLC, 7.875%, 2/22/10, FRN (h)

 

A1/BBB+

 

4,714,939

 

€1,082

 

SG Capital Trust III, 5.419%, 11/10/13, FRN (h)

 

A1/BBB+

 

887,836

 

 

 

SLM Corp.,

 

 

 

 

 

$3,600

 

1.736%, 1/31/14, FRN

 

Ba1/BBB-

 

2,189,952

 

22,735

 

8.45%, 6/15/18

 

Ba1/BBB-

 

19,475,847

 

2,500

 

SMFG Preferred Capital Ltd., 9.50%, 7/25/18, FRN (a)(d)(h)

 

A2/BBB+

 

2,428,995

 

896

 

State Street Capital Trust III, 8.25%, 3/15/42, VRN

 

A2/BBB+

 

757,425

 

2,000

 

USB Capital IX, 6.189%, 4/15/11, VRN (h)

 

A2/BBB+

 

1,350,502

 

2,500

 

Wells Fargo Capital XIII, 7.70%, 3/26/13, FRN (h)

 

Ba3/A-

 

2,076,588

 

 

 

 

 

 

 

459,706,148

 

Healthcare & Hospitals—2.4%

 

 

 

 

 

 

 

HCA, Inc.,

 

 

 

 

 

3,000

 

7.50%, 12/15/23

 

Caa1/B-

 

1,967,985

 

2,900

 

8.36%, 4/15/24

 

Caa1/B-

 

1,928,021

 

11,552

 

9.00%, 12/15/14

 

Caa1/B-

 

9,607,579

 

12,875

 

9.875%, 2/15/17 (a)(d)

 

B2/BB-

 

13,068,125

 

 

 

 

 

 

 

26,571,710

 

Hotels/Gaming—0.3%

 

 

 

 

 

 

 

MGM Mirage (a)(d),

 

 

 

 

 

1,200

 

10.375%, 5/15/14

 

B1/B

 

1,251,000

 

2,100

 

11.125%, 11/15/17

 

B1/B

 

2,236,500

 

 

 

 

 

 

 

3,487,500

 

Leisure—1.2%

 

 

 

 

 

 

 

Royal Caribbean Cruises Ltd.,

 

 

 

 

 

5,000

 

6.875%, 12/1/13

 

Ba2/BB-

 

4,200,000

 

4,500

 

7.00%, 6/15/13

 

Ba3/BB-

 

3,954,375

 

2,000

 

7.25%, 6/15/16

 

Ba3/BB-

 

1,590,000

 

2,000

 

7.25%, 3/15/18

 

Ba3/BB-

 

1,590,000

 

3,000

 

7.50%, 10/15/27

 

Ba3/BB-

 

2,025,000

 

 

 

 

 

 

 

13,359,375

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Machinery—0.2%

 

 

 

 

 

$2,600

 

Chart Industries, Inc., 9.125%, 10/15/15

 

B3/B+

 

$2,431,000

 

 

 

 

 

 

 

 

 

Metals & Mining—1.9%

 

 

 

 

 

 

 

Teck Resources Ltd., (a)(d),

 

 

 

 

 

2,600

 

9.75%, 5/15/14

 

Ba3/BB+

 

2,693,589

 

2,400

 

10.25%, 5/15/16

 

Ba3/BB+

 

2,517,089

 

14,350

 

10.75%, 5/15/19

 

Ba3/BB+

 

15,450,014

 

 

 

 

 

 

 

20,660,692

 

 

 

 

 

 

 

 

 

Multi-Media—0.2%

 

 

 

 

 

€2,420

 

Lighthouse International Co. S.A., 8.00%, 4/30/14 (a)(b)(d)

 

B3/BB-

 

1,612,347

 

 

 

 

 

 

 

 

 

Oil & Gas—3.8%

 

 

 

 

 

$7,150

 

Chesapeake Energy Corp., 9.50%, 2/15/15

 

Ba3/BB

 

7,239,375

 

 

 

Cie Generale de Geophysique-Veritas,

 

 

 

 

 

4,640

 

7.50%, 5/15/15

 

Ba3/BB

 

4,280,400

 

1,000

 

7.75%, 5/15/17

 

Ba3/BB

 

915,000

 

9,825

 

Dynergy-Roseton Danskammer, Inc., 7.67%, 11/8/16

 

B2/B

 

8,621,438

 

5,000

 

El Paso Corp., 8.05%, 10/15/30

 

Ba3/BB-

 

4,182,030

 

3,000

 

Enbridge Energy Partners L.P., 8.05%, 10/1/77, FRN

 

Baa3/BB+

 

2,192,964

 

1,100

 

Ferrellgas L.P., 8.75%, 6/15/12

 

B2/B-

 

1,028,500

 

6,000

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

Caa1/B

 

3,990,000

 

10,025

 

SandRidge Energy, Inc., 8.625%, 4/1/15, PIK

 

B3/B-

 

9,047,562

 

15,460

 

SemGroup L.P., 8.75%, 11/15/15 (a)(b)(d)(f)

 

NR/NR

 

695,700

 

 

 

 

 

 

 

42,192,969

 

 

 

 

 

 

 

 

 

Paper/Paper Products—0.3%

 

 

 

 

 

8,045

 

Verso Paper Holdings LLC, 9.125%, 8/1/14

 

B2/B-

 

3,781,150

 

 

 

 

 

 

 

 

 

Printing/Publishing—0.5%

 

 

 

 

 

10,281

 

Dex Media West LLC, 9.875%, 8/15/13 (f)

 

NR/D

 

1,593,555

 

1,000

 

Hollinger, Inc., 11.875%, 3/1/11 (a)(b)(d)(f)(g)

 

NR/NR

 

159,854

 

3,075

 

Local Insight Regatta Holdings, Inc., 11.00%, 12/1/17

 

Caa3/CCC+

 

830,250

 

7,250

 

RH Donnelley, Inc., 11.75%, 5/15/15, Term B (a)(d)(f)

 

NR/D

 

3,371,250

 

 

 

 

 

 

 

5,954,909

 

 

 

 

 

 

 

 

 

Telecommunications—6.8%

 

 

 

 

 

23,850

 

Citizens Communications Co., 9.00%, 8/15/31

 

Ba2/BB

 

19,795,500

 

 

 

Hawaiian Telcom Communications, Inc. (b)(f),

 

 

 

 

 

900

 

zero coupon, 5/1/13, FRN

 

NR/NR

 

13,500

 

8,815

 

9.75%, 5/1/13

 

NR/NR

 

132,225

 

1,000

 

Intelsat Corp., 9.25%, 6/15/16 (a)(d)

 

B3/BB-

 

962,500

 

3,140

 

Nortel Networks Ltd., 10.125%, 7/15/13 (f)

 

NR/NR

 

1,083,300

 

14,625

 

PanAmSat Corp., 6.875%, 1/15/28

 

B1/BB-

 

10,749,375

 

10,250

 

Qwest Corp., 8.375%, 5/1/16 (a)(d)

 

Ba1/BBB-

 

9,942,500

 

25,970

 

Sprint Capital Corp., 8.75%, 3/15/32

 

Ba2/BB

 

21,035,700

 

4,200

 

Telesat Canada, Inc., 12.50%, 11/1/17 (a)(d)

 

Caa1/B-

 

4,158,000

 

7,500

 

Wind Acquisition Finance S.A., 10.75%, 12/1/15 (a)(b)(d)

 

B2/BB-

 

7,537,500

 

 

 

 

 

 

 

75,410,100

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Tobacco—0.3%

 

 

 

 

 

$2,800

 

Reynolds American, Inc., 7.625%, 6/1/16

 

Baa3/BBB

 

$2,812,230

 

 

 

 

 

 

 

 

 

Transportation—0.2%

 

 

 

 

 

2,000

 

Grupo Transportacion Ferroviaria Mexicana S.A. de C.V.,

 

 

 

 

 

 

 

9.375%, 5/1/12

 

B2/B+

 

1,910,000

 

 

 

 

 

 

 

 

 

Utilities—2.9%

 

 

 

 

 

 

 

Energy Future Holdings Corp.,

 

 

 

 

 

2,000

 

10.875%, 11/1/17

 

Caa1/B-

 

1,470,000

 

120

 

11.25%, 11/1/17, PIK

 

Caa1/B-

 

73,800

 

19,450

 

Legrand Holding S.A., 8.50%, 2/15/25

 

Baa3/BBB

 

16,775,022

 

3,760

 

NV Energy, Inc., 6.75%, 8/15/17

 

Ba3/BB

 

3,424,315

 

 

 

Texas Competitive Electric Holdings Co. LLC,

 

 

 

 

 

14,550

 

10.25%, 11/1/15

 

Caa1/CCC

 

9,130,125

 

3,105

 

10.50%, 11/1/16, PIK

 

Caa1/CCC

 

1,443,999

 

 

 

 

 

 

 

32,317,261

 

 

 

Total Corporate Bonds & Notes (cost—$861,102,563)

 

 

 

771,893,185

 

 

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES—12.0%

 

 

 

 

 

3,229

 

American Home Mortgage Assets, 6.25%, 6/25/37, CMO

 

Ca/B+

 

1,607,091

 

466

 

American Home Mortgage Investment Trust, 5.66%, 9/25/45, CMO, FRN

 

A1/A

 

285,423

 

4,670

 

Banc of America Commercial Mortgage, Inc., 5.935%, 2/10/51, CMO, VRN

 

NR/AAA

 

3,779,786

 

122

 

Banc of America Mortgage Securities, Inc., 5.433%, 2/25/36, CMO, FRN

 

NR/AAA

 

81,922

 

 

 

Bear Stearns Adjustable Rate Mortgage Trust, CMO,

 

 

 

 

 

108

 

4.991%, 1/25/35, VRN

 

A1/AAA

 

79,754

 

1,334

 

5.457%, 5/25/47, VRN

 

NR/AAA

 

778,735

 

632

 

5.733%, 2/25/36, FRN

 

B3/AAA

 

372,209

 

2,400

 

Bear Stearns Commercial Mortgage Securities, 4.75%, 2/13/46, CMO, VRN

 

NR/AAA

 

2,093,880

 

10,000

 

Bear Stearns Commercial Mortgage Securities Trust,

 

 

 

 

 

 

 

5.909%, 6/11/40, CMO, VRN

 

Aaa/NR

 

8,233,778

 

554

 

Chase Mortgage Finance Corp., 5.426%, 3/25/37, CMO, FRN

 

B3/NR

 

340,050

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO,

 

 

 

 

 

638

 

1.114%, 8/25/35, FRN (a)(d)

 

NR/AAA

 

408,049

 

371

 

5.672%, 7/25/46, VRN

 

NR/AAA

 

197,918

 

2,626

 

5.994%, 9/25/37, VRN

 

NR/AAA

 

1,424,152

 

9,945

 

Citigroup/Deutsche Bank Commercial Mortgage Trust,

 

 

 

 

 

 

 

5.617%, 10/15/48, CMO

 

Aaa/AAA

 

8,121,831

 

6,483

 

Commercial Mortgage Pass Through Certificates, 5.306%, 12/10/46, CMO

 

Aaa/NR

 

4,745,163

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

 

 

1,013

 

0.504%, 9/25/46, FRN

 

Caa2/B

 

387,339

 

1,123

 

5.886%, 2/25/37, VRN

 

NR/AAA

 

662,138

 

791

 

6.00%, 11/25/36

 

Caa1/NR

 

439,938

 

442

 

6.50%, 6/25/36

 

Caa2/NR

 

219,308

 

245

 

Countrywide Home Loan Mortgage Pass-Through Trust,

 

 

 

 

 

 

 

6.069%, 9/25/47, CMO, VRN

 

NR/B+

 

144,206

 

 

 

GSR Mortgage Loan Trust, CMO, VRN,

 

 

 

 

 

616

 

5.176%, 1/25/36

 

NR/BBB

 

413,614

 

565

 

5.347%, 11/25/35

 

NR/AAA

 

404,469

 

 

 

Harborview Mortgage Loan Trust, CMO,

 

 

 

 

 

231

 

0.505%, 8/21/36, FRN

 

Ba3/A

 

98,206

 

1,948

 

5.75%, 8/19/36, VRN

 

NR/B

 

875,520

 

225

 

5.849%, 8/19/36, VRN

 

NR/B

 

136,182

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

$544

 

Indymac Index Mortgage Loan Trust, 5.099%, 9/25/35, CMO, VRN

 

B2/AAA

 

$337,042

 

 

 

JPMorgan Chase Commercial Mortgage Securities Corp., CMO,

 

 

 

 

 

15,000

 

5.336%, 5/15/47

 

Aaa/AAA

 

11,540,561

 

800

 

5.399%, 5/15/45

 

Aaa/AAA

 

636,035

 

7,600

 

5.44%, 6/12/47

 

Aaa/AAA

 

5,744,264

 

2,200

 

5.794%, 2/12/51, VRN

 

Aaa/AAA

 

1,649,567

 

12,500

 

6.065%, 4/15/45, VRN

 

Aaa/AAA

 

10,644,861

 

 

 

LB-UBS Commercial Mortgage Trust, CMO,

 

 

 

 

 

400

 

5.372%, 9/15/39

 

Aaa/AAA

 

325,418

 

13,000

 

5.866%, 9/15/45, VRN

 

NR/AAA

 

9,980,123

 

5,475

 

6.080%, 6/15/38, VRN

 

Aaa/AAA

 

4,599,688

 

223

 

Luminent Mortgage Trust, 0.514%, 10/25/46, CMO, FRN

 

Ba1/AAA

 

91,916

 

624

 

MASTR Adjustable Rate Mortgage Trust, 0.554%, 5/25/37, CMO, FRN

 

Caa2/BB

 

266,230

 

746

 

Merrill Lynch Alternative Note Asset, 5.557%, 6/25/37, CMO, VRN

 

Caa2/B

 

343,836

 

516

 

Merrill Lynch Mortgage Backed Securities Trust,

 

 

 

 

 

 

 

5.845%, 4/25/37, CMO, VRN

 

NR/AA

 

277,434

 

 

 

Morgan Stanley Capital I, CMO, VRN,

 

 

 

 

 

13,735

 

5.447%, 2/12/44

 

Aaa/AAA

 

10,532,747

 

2,925

 

6.076%, 6/11/49

 

NR/AAA

 

2,211,209

 

149

 

Morgan Stanley Mortgage Loan Trust, 5.380%, 6/25/36, CMO, FRN

 

A1/AAA

 

121,471

 

 

 

Residential Asset Securitization Trust, CMO,

 

 

 

 

 

600

 

6.25%, 10/25/36

 

Caa3/CCC

 

304,095

 

800

 

6.50%, 8/25/36

 

Ca/CCC

 

382,918

 

214

 

Sequoia Mortgage Trust, 5.102%, 1/20/47, CMO, VRN,

 

NR/AAA

 

121,841

 

 

 

Wachovia Bank Commercial Mortgage Trust, CMO,

 

 

 

 

 

2,847

 

0.399%, 6/15/20, FRN (a)(d)

 

Aaa/AAA

 

2,096,744

 

20,470

 

5.294%, 12/15/43 (j)

 

Aaa/AAA

 

16,843,774

 

15,000

 

5.418%, 1/15/45, VRN

 

Aaa/AAA

 

12,019,194

 

 

 

WaMu Mortgage Pass-Through Certificates, CMO,

 

 

 

 

 

415

 

5.293%, 1/25/37, FRN

 

NR/A

 

243,035

 

1,573

 

5.394%, 2/25/37, VRN

 

NR/BBB-

 

933,710

 

373

 

5.468%, 4/25/37, FRN

 

NR/B

 

223,467

 

264

 

5.575%, 12/25/36, FRN

 

NR/BBB

 

170,299

 

959

 

5.581%, 12/25/36, VRN

 

NR/BB

 

591,973

 

641

 

5.632%, 5/25/37, FRN

 

NR/B

 

414,569

 

830

 

5.687%, 2/25/37, VRN

 

NR/B

 

464,159

 

887

 

5.833%, 2/25/37, FRN

 

NR/B

 

556,111

 

484

 

5.929%, 9/25/36, VRN

 

NR/AAA

 

312,003

 

 

 

Wells Fargo Mortgage Backed Securities Trust, CMO, FRN,

 

 

 

 

 

580

 

5.593%, 7/25/36

 

NR/AAA

 

389,549

 

433

 

6.028%, 9/25/36

 

B3/NR

 

273,208

 

 

 

Total Mortgage-Backed Securities (cost—$131,371,479)

 

 

 

131,973,712

 

 

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS—4.5%

 

 

 

 

 

Brazil—4.5%

 

 

 

 

 

 

 

Brazil Notas do Tesouro Nacional,

 

 

 

 

 

BRL 44,300

 

10.00%, 1/1/12

 

NR/NR

 

22,125,587

 

BRL 43,000

 

10.00%, 1/1/17

 

NR/NR

 

19,176,447

 

BRL 15,000

 

Federal Republic of Brazil, 12.50%, 1/5/22

 

Ba1/BBB-

 

8,534,034

 

 

 

Total Sovereign Debt Obligations (cost—$50,212,484)

 

 

 

49,836,068

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Rating

 

 

 

Shares

 

 

 

(Moody’s/S&P)

 

Value*

 

CONVERTIBLE PREFERRED STOCK—2.5%

 

 

 

 

 

Banking—2.5%

 

 

 

 

 

34,925

 

Wells Fargo & Co., 7.50%, 12/31/49, Class A

 

Ba3/A-

 

$27,415,077

 

 

 

 

 

 

 

 

 

Insurance—0.0%

 

 

 

 

 

42,900

 

American International Group, Inc., 8.50%, 8/1/11

 

Ba2/NR

 

408,408

 

 

 

Total Convertible Preferred Stock (cost—$26,309,036)

 

 

 

27,823,485

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES—2.2%

 

 

 

 

 

 

 

Freddie Mac, FRN (i),

 

 

 

 

 

$9,756

 

0.703%, 3/9/11

 

Aaa/AAA

 

9,791,873

 

145

 

0.888%, 2/1/11

 

Aaa/AAA

 

144,795

 

5,085

 

0.926%, 5/4/11

 

Aaa/AAA

 

5,098,104

 

9,715

 

0.937%, 8/5/11

 

Aaa/AAA

 

9,718,526

 

 

 

Total U.S. Government Agency Securities (cost—$24,757,776)

 

 

 

24,753,298

 

 

 

 

 

 

 

 

 

SENIOR LOANS (a)(c)—2.2%

 

 

 

 

 

Chemicals—0.1%

 

 

 

 

 

1,098

 

INEOS Group Ltd., 7.001%, 10/7/12, Term A

 

 

 

820,140

 

 

 

 

 

 

 

 

 

Commercial Products—0.0%

 

 

 

 

 

171

 

Berry Plastics, 8.161%, 6/5/14 (b)

 

 

 

146,568

 

 

 

 

 

 

 

 

 

Entertainment—0.4%

 

 

 

 

 

 

 

Tribune Co.,(b)(f),

 

 

 

 

 

1,109

 

5.00%, 6/4/24, Term X

 

 

 

379,392

 

13,381

 

5.25%, 6/4/24, Term B

 

 

 

4,227,432

 

 

 

 

 

 

 

4,606,824

 

 

 

 

 

 

 

Financial Services—1.7%

 

 

 

 

 

19,650

 

Chrysler Financial Corp., 4.32%, 8/3/12

 

 

 

18,299,062

 

 

 

Total Senior Loans (cost—$32,236,512)

 

 

 

23,872,594

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—0.4%

 

 

 

 

 

7,590

 

Citigroup Commercial Mortgage Trust, 5.858%, 7/1/17 (a)(b)

 

NR/NR

 

4,027,988

 

900

 

GSAA Trust, 0.614%, 3/25/37, FRN

 

Caa2/AAA

 

296,753

 

637

 

Reliant Energy Mid-Atlantic Power Holdings LLC, 9.237%, 7/2/17

 

Ba1/BB

 

611,135

 

 

 

Total Asset-Backed Securities (cost—$5,260,320)

 

 

 

4,935,876

 

 

 

 

 

 

 

 

 

U.S. TREASURY NOTE (i)—0.2%

 

 

 

 

 

1,978

 

U.S. Treasury Note, 0.875%, 4/30/11 (cost—$1,976,232)

 

 

 

1,972,903

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

SHORT-TERM INVESTMENTS—6.0%

 

 

 

 

 

Corporate Notes—2.8%

 

 

 

 

 

Financial Services—2.4%

 

 

 

 

 

 

 

American General Finance Corp.,

 

 

 

 

 

$15,000

 

0.706%, 3/2/10, FRN

 

Baa2/NR

 

$12,863,160

 

3,100

 

4.875%, 5/15/10

 

Baa2/BB+

 

2,608,718

 

3,000

 

CIT Group, Inc., 4.25%, 2/1/10

 

Ba2/BB-

 

2,693,706

 

4,075

 

Ford Motor Credit Co. LLC, 7.875%, 6/15/10

 

Caa1/CCC+

 

3,871,540

 

4,850

 

Universal City Development Partners Ltd., 11.75%, 4/1/10

 

B2/B+

 

4,631,750

 

 

 

 

 

 

 

26,668,874

 

Oil & Gas—0.4%

 

 

 

 

 

4,000

 

Ferrellgas L.P., 8.87%, 8/1/09 (a)(b)(g)

 

NR/NR

 

3,979,309

 

 

 

Total Corporate Notes (cost—$29,314,735)

 

 

 

30,648,183

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills (i)—0.5%

 

 

 

 

 

5,295

 

0.08%-0.15%, 7/9/09-7/30/09 (cost—$5,294,736)

 

 

 

5,294,736

 

 

 

 

 

 

 

 

 

Repurchase Agreements—2.7%

 

 

 

 

 

27,300

 

JPMorgan Chase Bank, dated 6/30/09, 0.09%, due 7/1/09, proceeds $27,300,068; collateralized by Freddie Mac, 4.50%, due 1/15/14, valued at $27,810,628 including accrued interest

 

 

 

27,300,000

 

3,029

 

State Street Bank & Trust Co., dated 6/30/09, 0.01%, due 7/1/09, proceeds $3,029,001; collateralized by U.S. Treasury Bills, 0.10%, due 8/6/09, valued at $3,089,691 including accrued interest

 

 

 

3,029,000

 

 

 

Total Repurchase Agreements (cost—$30,329,000)

 

 

 

30,329,000

 

 

 

 

 

 

 

 

 

 

 

Total Short-Term Investments (cost—$64,938,471)

 

 

 

66,271,919

 

 

 

 

 

 

 

 

 

 

 

Total Investments (cost—$1,198,164,873)—100.0%

 

 

 

$1,103,333,040

 

 



 


Notes to Schedule of Investments:

 

 

 

*

 

Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or independent pricing services.

 

 

 

 

 

Portfolio securities and other financial instruments for which market quotations are not readily, available or for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees, or persons acting at their discretion pursuant to procedures established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Fund’s investments, including over-the-counter options, are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Exchange-traded options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement value. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the Net Asset Value (“NAV”) of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed and the NAV may change on days when an investor is not able to purchase or sell shares.

 

 

 

 

 

The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and these differences could be material. The Fund’s NAV is normally determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.

 

 

 

(a)

 

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $276,468,596 representing 25.1% of total investments.

(b)

 

Illiquid security.

(c)

 

These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on June 30, 2009.

(d)

 

144A Security—Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

(e)

 

When-issued security.

(f)

 

In default.

(g)

 

Fair-Valued—Securities with an aggregate value of $41,326,695, representing 3.7% of total investments.

(h)

 

Perpetual maturity security. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable therafter.

(i)

 

All or partial amount segregated as collateral for futures, when-issued securities and swaps.

(j)

 

All or partial amount segregated as collateral for reverse repurchase agreement.

 

 

 

Glossary:

£—British Pound

€—Euro

BRL—Brazilian Real

CMO—Collateralized Mortgage Obligation

FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on June 30, 2009.

LIBOR—London Inter-Bank Offered Rate

NR—Not Rated

PIK—Payment-in-Kind

VRN—

Variable Rate Note. Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on June 30, 2009.

 

Other Investments:

 

(A)  Futures contracts outstanding at June 30, 2009:

 

 

 

 

 

Market

 

 

 

Unrealized

 

 

 

 

 

Value

 

Expiration

 

Appreciation

 

Type

 

Contracts

 

(000)

 

Date

 

(Depreciation)

 

Long:

Financial Futures Euro—90 day

 

86

 

$21,305

 

12/14/09

 

$950

 

 

Financial Futures Euro—90 day

 

954

 

233,003

 

12/13/10

 

(522,740

)

 

 

 

 

 

 

 

 

 

$(521,790

)

 

The Fund pledged U.S Treasury Bills of $1,978,000 as collateral for futures contracts.

 



 

(B) Credit Default — Sell Protection swap agreements outstanding at June 30, 2009 (1):

 

 

 

Notional Amount

 

 

 

 

 

 

 

 

 

Upfront

 

Unrealized

 

Swap Counterparty/

 

Payable on Default

 

Credit

 

Termination

 

Payments

 

Market

 

Premiums

 

Appreciation

 

Referenced Debt Issuer

 

(000) (3)

 

Spread (2)

 

Date

 

Received by Fund

 

Value (4)

 

Paid(Received)

 

(Depreciation)

 

Barclays Bank:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIT Group

 

$5,000

 

19.38

%

12/20/09

 

5.00

%

$(315,559

)

$(800,000

)

$484,441

 

CIT Group

 

6,100

 

16.48

%

12/20/13

 

5.00

%

(1,769,720

)

(1,555,500

)

(214,220

)

Citigroup

 

10,000

 

4.44

%

3/20/14

 

3.03

%

(529,063

)

 

(529,063

)

General Electric

 

2,800

 

4.34

%

12/20/13

 

3.78

%

(55,100

)

 

(55,100

)

SLM

 

4,550

 

8.25

%

12/20/13

 

5.00

%

(471,480

)

(500,500

)

29,020

 

BNP Paribas:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Citigroup

 

10,000

 

4.44

%

3/20/14

 

3.20

%

(463,757

)

 

(463,757

)

General Electric

 

3,050

 

4.34

%

12/20/13

 

4.60

%

33,320

 

 

33,320

 

General Electric

 

3,000

 

4.34

%

12/20/13

 

4.70

%

43,970

 

 

43,970

 

Citigroup:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIT Group

 

4,000

 

16.48

%

12/20/13

 

5.00

%

(1,160,472

)

(990,000

)

(170,472

)

General Electric

 

25,000

 

4.34

%

12/20/13

 

3.80

%

(473,300

)

 

(473,300

)

General Electric

 

9,000

 

4.34

%

12/20/13

 

4.10

%

(69,622

)

 

(69,622

)

General Electric

 

9,500

 

4.34

%

12/20/13

 

4.25

%

(20,308

)

 

(20,308

)

General Electric

 

7,600

 

4.34

%

12/20/13

 

4.65

%

97,209

 

 

97,209

 

General Electric

 

20,000

 

4.34

%

3/20/14

 

3.68

%

(492,368

)

 

(492,368

)

Goldman Sachs

 

10,000

 

1.57

%

3/20/14

 

2.65

%

465,632

 

 

465,632

 

International Lease Finance

 

4,000

 

9.03

%

12/20/13

 

5.00

%

(500,120

)

(640,000

)

139,880

 

Morgan Stanley

 

10,000

 

2.11

%

3/20/14

 

3.50

%

589,141

 

 

589,141

 

Morgan Stanley

 

10,000

 

2.11

%

3/20/14

 

3.70

%

672,855

 

 

672,855

 

SLM

 

12,250

 

8.25

%

12/20/13

 

5.00

%

(1,269,370

)

(1,508,500

)

239,130

 

Credit Suisse First Boston:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

HCA

 

1,000

 

6.45

%

3/20/14

 

5.00

%

(45,430

)

(150,000

)

104,570

 

Deutsche Bank:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

American Express

 

10,000

 

2.77

%

3/20/10

 

3.85

%

87,257

 

 

87,257

 

American Express

 

10,000

 

2.34

%

3/20/14

 

2.60

%

115,940

 

 

115,940

 

American Express

 

10,000

 

2.34

%

3/20/14

 

2.70

%

157,491

 

 

157,491

 

American International Group

 

20,000

 

15.31

%

12/20/13

 

6.60

%

(4,750,843

)

 

(4,750,843

)

CIT Group

 

14,550

 

16.48

%

12/20/13

 

5.00

%

(4,221,217

)

(3,455,750

)

(765,467

)

General Electric

 

25,000

 

4.34

%

12/20/13

 

4.13

%

(165,403

)

549,213

 

(714,616

)

General Electric

 

9,500

 

4.34

%

12/20/13

 

4.23

%

(27,398

)

 

(27,398

)

General Electric

 

19,400

 

4.34

%

12/20/13

 

4.70

%

284,341

 

 

284,341

 

General Electric

 

15,400

 

4.34

%

12/20/13

 

4.78

%

268,819

 

 

268,819

 

Goldman Sachs

 

12,000

 

1.57

%

3/20/14

 

2.85

%

661,537

 

 

661,537

 

Goldman Sachs

 

10,000

 

1.57

%

3/20/14

 

2.44

%

375,700

 

 

375,700

 

International Lease Finance Corp

 

10,000

 

9.03

%

12/20/13

 

5.00

%

(1,250,301

)

(1,475,000

)

224,699

 

Morgan Stanley

 

10,000

 

2.11

%

3/20/14

 

3.80