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

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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)

 

1633 Broadway New York, New York

 

10019

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna — 1633 Broadway New York, New York 10019

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

March 31, 2012

 

 

 

 

Date of reporting period:

June 30, 2011

 

 

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 respond 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, 2011 (unaudited)

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

CORPORATE BONDS & NOTES—62.5%

 

 

 

 

 

Airlines—0.8%

 

 

 

 

 

$6,915

 

American Airlines, Inc.,

 

 

 

 

 

 

 

10.50%, 3/15/13

 

Caa1/CCC+

 

$7,010,081

 

 

 

American Airlines Pass Through Trust,

 

 

 

 

 

4,789

 

10.18%, 1/2/13

 

Caa1/CCC+

 

4,740,840

 

979

 

10.375%, 1/2/21

 

Baa3/A-

 

1,131,352

 

 

 

 

 

 

 

12,882,273

 

 

 

 

 

 

 

Automotive—1.1%

 

 

 

 

 

 

 

Ford Motor Co.,

 

 

 

 

 

5,000

 

7.125%, 11/15/25

 

Ba3/B+

 

4,961,715

 

5,900

 

7.50%, 8/1/26

 

Ba3/B+

 

5,999,728

 

5,000

 

9.215%, 9/15/21

 

Ba3/B+

 

5,659,080

 

 

 

 

 

 

 

16,620,523

 

 

 

 

 

 

 

Banking—9.3%

 

 

 

 

 

5,000

 

AgFirst Farm Credit Bank, 7.30%, 8/1/11 (a)(b)(d)(h)(k)

 

 

 

 

 

 

 

(acquisition cost-$4,500,000; purchased 12/7/10)

 

NR/A

 

4,883,600

 

12,500

 

AmSouth Bancorp, 6.75%, 11/1/25

 

B1/BB

 

11,069,612

 

160

 

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

 

Baa3/BB+

 

163,600

 

5,100

 

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

 

Baa3/BB+

 

5,214,750

 

£29,775

 

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

 

Baa2/A-

 

60,331,611

 

$5,000

 

BPCE S.A., 12.50%, 9/30/19 (a)(b)(d)(h)(j)(k)

 

 

 

 

 

 

 

(acquisition cost-$5,600,000; purchased 1/11/11)

 

Baa3/NR

 

5,734,925

 

€3,000

 

Intesa Sanpaolo SpA, 8.375%, 10/14/19 (h)

 

Baa2/BBB+

 

4,415,706

 

$39,000

 

Lloyds TSB Bank PLC, 12.00%, 12/16/24 (a)(d)(h)

 

NR/BB+

 

42,442,738

 

11,900

 

Regions Financial Corp., 7.375%, 12/10/37

 

B1/BB

 

11,349,423

 

£900

 

Santander Finance Preferred S.A. Unipersonal, 11.30%, 7/27/14 (h)

 

Baa2/A-

 

1,534,734

 

 

 

 

 

 

 

147,140,699

 

 

 

 

 

 

 

Consumer Products—0.2%

 

 

 

 

 

$3,200

 

Reynolds Group Issuer, Inc., 9.00%, 4/15/19 (a)(d)

 

Caa1/B-

 

3,176,000

 

 

 

 

 

 

 

 

 

Electric—0.0%

 

 

 

 

 

544

 

GenOn REMA LLC, 9.237%, 7/2/17

 

Ba1/BB-

 

582,070

 

 

 

 

 

 

 

 

 

Entertainment—0.0%

 

 

 

 

 

550

 

Speedway Motorsports, Inc., 8.75%, 6/1/16

 

Ba2/BB

 

596,062

 

 

 

 

 

 

 

 

 

Financial Services—25.0%

 

 

 

 

 

25,710

 

AGFC Capital Trust I, 6.00%, 1/15/67,

 

 

 

 

 

 

 

(converts to FRN on 1/15/17) (a)(d)

 

Caa2/CCC-

 

17,482,800

 

 

 

Ally Financial, Inc.,

 

 

 

 

 

97

 

5.85%, 5/15/13

 

B1/B+

 

96,178

 

280

 

5.90%, 1/15/19

 

B1/B+

 

256,915

 

82

 

5.90%, 2/15/19

 

B1/B+

 

74,854

 

1,256

 

6.00%, 2/15/19

 

B1/B+

 

1,153,641

 

1,534

 

6.00%, 3/15/19

 

B1/B+

 

1,412,443

 

120

 

6.00%, 4/15/19

 

B1/B+

 

109,948

 

50

 

6.00%, 9/15/19

 

B1/B+

 

45,497

 

652

 

6.10%, 9/15/19

 

B1/B+

 

597,238

 

241

 

6.125%, 10/15/19

 

B1/B+

 

219,728

 

1,620

 

6.15%, 3/15/16

 

B1/B+

 

1,555,351

 

2,351

 

6.20%, 3/15/16

 

B1/B+

 

2,265,297

 

127

 

6.20%, 4/15/19

 

B1/B+

 

117,893

 

170

 

6.25%, 3/15/13

 

B1/B+

 

169,273

 

20

 

6.25%, 2/15/16

 

B1/B+

 

19,334

 

30

 

6.25%, 12/15/18

 

B1/B+

 

28,127

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$622

 

6.25%, 1/15/19

 

B1/B+

 

$582,836

 

199

 

6.25%, 4/15/19

 

B1/B+

 

185,179

 

7

 

6.25%, 5/15/19

 

B1/NR

 

6,486

 

385

 

6.25%, 7/15/19

 

B1/B+

 

355,678

 

25

 

6.30%, 3/15/13

 

B1/B+

 

24,907

 

2,680

 

6.30%, 3/15/16

 

B1/B+

 

2,592,699

 

543

 

6.35%, 2/15/16

 

B1/B+

 

526,981

 

643

 

6.35%, 4/15/16

 

B1/B+

 

619,590

 

82

 

6.35%, 4/15/19

 

B1/B+

 

76,832

 

141

 

6.35%, 7/15/19

 

B1/B+

 

131,094

 

112

 

6.40%, 3/15/13

 

B1/B+

 

111,711

 

2,641

 

6.40%, 3/15/16

 

B1/B+

 

2,603,096

 

250

 

6.40%, 12/15/18

 

B1/B+

 

236,493

 

361

 

6.40%, 11/15/19

 

B1/B+

 

326,614

 

209

 

6.45%, 2/15/13

 

B1/B+

 

208,472

 

239

 

6.50%, 2/15/13

 

B1/B+

 

238,522

 

160

 

6.50%, 4/15/13

 

B1/B+

 

159,805

 

3,069

 

6.50%, 2/15/16

 

B1/B+

 

2,995,942

 

1,155

 

6.50%, 3/15/16

 

B1/B+

 

1,143,705

 

2,036

 

6.50%, 9/15/16

 

B1/B+

 

1,966,750

 

453

 

6.50%, 6/15/18

 

B1/B+

 

453,170

 

164

 

6.50%, 12/15/18

 

B1/B+

 

155,999

 

456

 

6.50%, 5/15/19

 

B1/B+

 

429,462

 

40

 

6.50%, 2/15/20

 

B1/B+

 

37,054

 

1,160

 

6.55%, 10/15/16

 

B1/B+

 

1,123,218

 

112

 

6.55%, 12/15/19

 

B1/B+

 

105,159

 

1,093

 

6.60%, 8/15/16

 

B1/B+

 

1,060,351

 

282

 

6.60%, 5/15/18

 

B1/B+

 

275,746

 

753

 

6.60%, 6/15/19

 

B1/B+

 

710,590

 

969

 

6.65%, 4/15/16

 

B1/B+

 

944,495

 

649

 

6.65%, 8/15/16

 

B1/B+

 

631,110

 

1,437

 

6.65%, 10/15/18

 

B1/B+

 

1,393,108

 

48

 

6.70%, 5/15/14

 

B1/B+

 

48,089

 

571

 

6.70%, 8/15/16

 

B1/B+

 

556,277

 

65

 

6.70%, 6/15/18

 

B1/B+

 

65,040

 

10

 

6.70%, 11/15/18

 

B1/B+

 

9,658

 

412

 

6.70%, 6/15/19

 

B1/B+

 

391,147

 

20

 

6.70%, 12/15/19

 

B1/B+

 

18,957

 

45

 

6.75%, 4/15/13

 

B1/B+

 

45,053

 

1,391

 

6.75%, 7/15/16

 

B1/B+

 

1,357,798

 

2,916

 

6.75%, 8/15/16

 

B1/B+

 

2,845,261

 

261

 

6.75%, 9/15/16

 

B1/B+

 

254,504

 

113

 

6.75%, 7/15/18

 

B1/B+

 

109,697

 

41

 

6.75%, 9/15/18

 

B1/B+

 

39,508

 

330

 

6.75%, 10/15/18

 

B1/B+

 

320,655

 

6

 

6.75%, 11/15/18

 

B1/B+

 

5,884

 

1,121

 

6.75%, 5/15/19

 

B1/B+

 

1,071,514

 

2,137

 

6.75%, 6/15/19

 

B1/B+

 

2,034,920

 

255

 

6.80%, 4/15/13

 

B1/B+

 

255,333

 

890

 

6.80%, 9/15/16

 

B1/B+

 

870,013

 

10

 

6.80%, 9/15/18

 

B1/B+

 

9,815

 

13

 

6.80%, 10/15/18

 

B1/B+

 

12,757

 

2,861

 

6.85%, 4/15/16

 

B1/B+

 

2,809,139

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$646

 

6.85%, 5/15/16

 

B1/B+

 

$633,534

 

526

 

6.85%, 7/15/16

 

B1/B+

 

515,381

 

679

 

6.875%, 8/15/16

 

B1/B+

 

665,269

 

169

 

6.875%, 7/15/18

 

B1/B+

 

165,077

 

50

 

6.90%, 6/15/17

 

B1/B+

 

50,083

 

52

 

6.90%, 7/15/18

 

B1/B+

 

50,880

 

141

 

6.90%, 8/15/18

 

B1/B+

 

137,471

 

30

 

6.95%, 6/15/17

 

B1/B+

 

30,056

 

593

 

7.00%, 1/15/13

 

B1/B+

 

595,528

 

873

 

7.00%, 5/15/16

 

B1/B+

 

860,816

 

120

 

7.00%, 6/15/16

 

B1/B+

 

118,198

 

638

 

7.00%, 7/15/16

 

B1/B+

 

628,619

 

1,106

 

7.00%, 8/15/16

 

B1/B+

 

1,089,974

 

256

 

7.00%, 11/15/16

 

B1/B+

 

252,281

 

100

 

7.00%, 12/15/16

 

B1/B+

 

98,634

 

71

 

7.00%, 6/15/17

 

B1/B+

 

71,146

 

1,445

 

7.00%, 2/15/18

 

B1/B+

 

1,425,345

 

905

 

7.00%, 5/15/18

 

B1/B+

 

891,934

 

1,466

 

7.00%, 8/15/18

 

B1/B+

 

1,436,768

 

85

 

7.00%, 9/15/18

 

B1/B+

 

82,990

 

168

 

7.00%, 6/15/22

 

B1/B+

 

159,474

 

183

 

7.05%, 3/15/18

 

B1/B+

 

180,891

 

332

 

7.05%, 4/15/18

 

B1/B+

 

328,096

 

3,012

 

7.10%, 1/15/13

 

B1/B+

 

3,026,430

 

253

 

7.125%, 10/15/17

 

B1/B+

 

253,405

 

545

 

7.15%, 6/15/16

 

B1/B+

 

539,757

 

1,087

 

7.15%, 9/15/18

 

B1/B+

 

1,069,857

 

43

 

7.20%, 10/15/17

 

B1/B+

 

43,072

 

2,153

 

7.25%, 6/15/16

 

B1/B+

 

2,149,336

 

1,225

 

7.25%, 9/15/17

 

B1/B+

 

1,228,113

 

324

 

7.25%, 1/15/18

 

B1/B+

 

327,002

 

238

 

7.25%, 4/15/18

 

B1/B+

 

238,470

 

273

 

7.25%, 8/15/18

 

B1/B+

 

270,012

 

180

 

7.25%, 9/15/18

 

B1/B+

 

178,067

 

80

 

7.30%, 1/15/18

 

B1/B+

 

80,152

 

235

 

7.35%, 1/15/17

 

B1/B+

 

236,818

 

22

 

7.35%, 4/15/18

 

B1/B+

 

22,095

 

356

 

7.375%, 11/15/16

 

B1/B+

 

356,528

 

10

 

7.375%, 4/15/18

 

B1/B+

 

10,044

 

210

 

7.50%, 10/15/12

 

B1/B+

 

210,772

 

1,037

 

7.50%, 5/15/16

 

B1/B+

 

1,041,497

 

784

 

7.50%, 6/15/16

 

B1/B+

 

787,900

 

20

 

7.50%, 11/15/16

 

B1/B+

 

20,032

 

1,260

 

7.50%, 8/15/17

 

B1/B+

 

1,262,129

 

12

 

7.50%, 11/15/17

 

B1/B+

 

12,024

 

1,505

 

7.50%, 12/15/17

 

B1/B+

 

1,508,133

 

1,324

 

7.55%, 5/15/16

 

B1/B+

 

1,330,002

 

79

 

8.00%, 10/15/17

 

B1/B+

 

79,200

 

197

 

8.00%, 11/15/17

 

B1/B+

 

198,500

 

20

 

8.125%, 11/15/17

 

B1/B+

 

20,054

 

25

 

8.25%, 3/15/17

 

B1/B+

 

25,107

 

35

 

8.65%, 8/15/15

 

B1/B+

 

35,107

 

121

 

9.00%, 7/15/20

 

B1/B+

 

122,886

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$5,000

 

Capital One Capital III, 7.686%, 8/1/66,

 

 

 

 

 

 

 

(converts to FRN on 8/15/36)

 

Baa3/BB

 

$5,131,250

 

38,750

 

Capital One Capital V, 10.25%, 8/15/39

 

Baa3/BB

 

41,317,187

 

3,600

 

Citigroup Capital XXI, 8.30%, 12/21/77,

 

Ba1/BB+

 

3,690,000

 

 

 

(converts to FRN on 12/21/37)

 

 

 

 

 

 

 

Dar Al-Arkan International Sukuk Co.,

 

 

 

 

 

1,035

 

10.75%, 2/18/15 (a)(d)

 

WR/BB-

 

1,066,050

 

1,100

 

10.75%, 2/18/15

 

WR/BB-

 

1,133,000

 

13,002

 

ILFC E-Capital Trust I, 5.74%, 12/21/65, FRN (a)(d)

 

B3/BB

 

10,677,112

 

28,430

 

ILFC E-Capital Trust II, 6.25%, 12/21/65,

 

 

 

 

 

 

 

(converts to FRN on 12/21/15) (a)(d)

 

B3/BB

 

24,307,650

 

18,000

 

International Lease Finance Corp., 6.98%, 10/15/17, VRN (g)(j)

 

WR/BBB-

 

15,826,104

 

 

 

LBG Capital No.1 PLC,

 

 

 

 

 

€1,885

 

7.375%, 3/12/20

 

Ba3/BB

 

2,529,884

 

£900

 

7.588%, 5/12/20

 

Ba3/BB

 

1,332,511

 

£3,400

 

7.869%, 8/25/20

 

Ba3/BB

 

5,020,396

 

$20,000

 

7.875%, 11/1/20 (a)(d)

 

Ba3/BB

 

18,900,000

 

2,000

 

8.50%, 12/17/21 (a)(d)(g)(h)

 

NR/BB-

 

1,886,845

 

 

 

LBG Capital No.2 PLC,

 

 

 

 

 

€1,000

 

8.875%, 2/7/20

 

Ba2/BB+

 

1,442,899

 

£284

 

9.00%, 12/15/19

 

Ba2/BB+

 

460,592

 

£5,500

 

9.125%, 7/15/20

 

Ba2/BB+

 

8,831,644

 

£1,425

 

9.334%, 2/7/20

 

Ba2/BB+

 

2,264,185

 

£850

 

11.25%, 9/14/23

 

Ba2/BB+

 

1,446,061

 

$43,895

 

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

 

Ba2/BB

 

43,236,575

 

2,200

 

Royal Bank of Scotland Group PLC, 7.648%, 9/30/31 (h)

 

Ba2/BB

 

1,991,000

 

 

 

SLM Corp.,

 

 

 

 

 

24,000

 

8.00%, 3/25/20

 

Ba1/BBB-

 

25,797,360

 

51,635

 

8.45%, 6/15/18 (j)

 

Ba1/BBB-

 

56,723,319

 

€1,200

 

Societe Generale S.A., 9.375%, 9/4/19 (h)

 

Baa2/BBB+

 

1,861,992

 

 

 

Springleaf Finance Corp.,

 

 

 

 

 

$10,000

 

5.40%, 12/1/15

 

B3/B

 

9,200,000

 

2,515

 

5.85%, 6/1/13

 

B3/B

 

2,496,137

 

9,100

 

6.90%, 12/15/17

 

B3/B

 

8,394,750

 

7,100

 

Wells Fargo Capital XV, 9.75%, 9/26/13 (h)(j)

 

Baa3/A-

 

7,526,000

 

 

 

 

 

 

 

392,789,839

 

 

 

 

 

 

 

Healthcare & Hospitals—0.8%

 

 

 

 

 

11,552

 

HCA, Inc., 9.00%, 12/15/14

 

B3/B-

 

12,678,320

 

 

 

 

 

 

 

 

 

Hotels/Gaming—0.3%

 

 

 

 

 

5,000

 

Buffalo Thunder Development Authority,

 

 

 

 

 

 

 

9.375%, 12/15/14 (a)(b)(d)(f)(k)(l)

 

 

 

 

 

 

 

(acquisition cost-$5,118,750; purchased 12/8/06)

 

WR/NR

 

2,000,000

 

2,100

 

MGM Resorts International, 11.125%, 11/15/17

 

Ba3/B

 

2,409,750

 

 

 

 

 

 

 

4,409,750

 

 

 

 

 

 

 

Insurance—19.8%

 

 

 

 

 

34,000

 

American General Institutional Capital B,

 

 

 

 

 

 

 

8.125%, 3/15/46 (a)(d)(j)

 

Baa2/BBB-

 

36,805,000

 

 

 

American International Group, Inc.,

 

 

 

 

 

€5,000

 

4.875%, 3/15/67, (converts to FRN on 3/15/17)

 

Baa2/BBB

 

5,927,487

 

£10,000

 

5.75%, 3/15/67, (converts to FRN on 3/15/17)

 

Baa2/BBB

 

13,642,083

 

$3,150

 

5.85%, 1/16/18 (j)

 

Baa1/A-

 

3,303,405

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

Insurance (continued)

 

 

 

 

 

$3,425

 

6.25%, 5/1/36 (j)

 

Baa1/A-

 

$3,503,614

 

3,600

 

6.25%, 3/15/87

 

Baa2/BBB

 

3,294,000

 

MXN 30,000

 

7.98%, 6/15/17

 

Baa1/A-

 

2,306,244

 

€3,750

 

8.00%, 5/22/68, (converts to FRN on 5/22/18) (a)(d)

 

Baa2/BBB

 

5,451,656

 

€8,200

 

8.00%, 5/22/68, (converts to FRN on 5/22/18)

 

Baa2/BBB

 

11,920,955

 

$88,250

 

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

 

Baa2/BBB

 

96,752,888

 

6,150

 

8.25%, 8/15/18 (j)

 

Baa1/A-

 

7,063,650

 

£10,000

 

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

 

Baa2/BBB

 

16,611,242

 

£52,600

 

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

 

Baa2/BBB

 

87,375,135

 

$2,000

 

Pacific Life Insurance Co., 7.90%, 12/30/23 (a)(d)(j)

 

A3/A-

 

2,265,922

 

3,500

 

Transatlantic Holdings, Inc., 8.00%, 11/30/39

 

Baa1/BBB+

 

3,841,908

 

10,000

 

Validus Holdings Ltd., 8.875%, 1/26/40 (j)

 

Baa2/BBB

 

10,642,230

 

 

 

 

 

 

 

310,707,419

 

 

 

 

 

 

 

 

 

Machinery—0.2%

 

 

 

 

 

2,600

 

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

 

B3/B+

 

2,717,000

 

 

 

 

 

 

 

 

 

Multi-Media—0.1%

 

 

 

 

 

€2,420

 

Lighthouse International Co. S.A., 8.00%, 4/30/14

 

Ca/CCC+

 

1,263,370

 

 

 

 

 

 

 

 

 

Oil & Gas—0.2%

 

 

 

 

 

$1,000

 

Cie Generale de Geophysique-Veritas, 7.75%, 5/15/17

 

Ba3/BB-

 

1,035,000

 

6,000

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

Ca/D

 

2,520,000

 

 

 

 

 

 

 

3,555,000

 

 

 

 

 

 

 

 

 

Telecommunications—1.9%

 

 

 

 

 

 

 

CenturyLink, Inc.,

 

 

 

 

 

1,122

 

7.20%, 12/1/25

 

Baa3/BB

 

1,107,867

 

2,200

 

7.60%, 9/15/39

 

Baa3/BB

 

2,122,116

 

15,200

 

Mountain States Telephone & Telegraph Co., 7.375%, 5/1/30

 

Baa3/BBB-

 

15,655,465

 

10,000

 

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

 

B1/BB-

 

10,875,000

 

 

 

 

 

 

 

29,760,448

 

 

 

 

 

 

 

 

 

Utilities—2.8%

 

 

 

 

 

7,300

 

AES Andres Dominicana Ltd., 9.50%, 11/12/20 (a)(d)

 

NR/B-

 

7,818,300

 

 

 

Ameren Energy Generating Co.,

 

 

 

 

 

3,000

 

7.00%, 4/15/18

 

Ba1/BBB-

 

3,073,818

 

2,162

 

7.95%, 6/1/32

 

Ba1/BBB-

 

2,098,872

 

23,990

 

Dynegy Roseton/Danskammer Pass Through Trust,

 

 

 

 

 

 

 

7.67%, 11/8/16, Ser. B

 

Caa3/CC

 

21,351,100

 

4,455

 

Energy Future Holdings Corp., 9.75%, 10/15/19

 

Caa3/B-

 

4,524,235

 

5,445

 

Energy Future Intermediate Holding Co. LLC, 9.75%, 10/15/19

 

Caa3/B-

 

5,529,621

 

 

 

 

 

 

 

44,395,946

 

 

 

Total Corporate Bonds & Notes (cost—$781,303,115)

 

 

 

983,274,719

 

 

 

 

 

 

 

 

 

MUNICIPAL BONDS—12.0%

 

 

 

 

 

California—4.2%

 

 

 

 

 

3,000

 

Fresno Cnty. Rev., zero coupon, 8/15/25, Ser. A (FGIC-NPFGC)

 

WR/AA-

 

1,169,490

 

2,000

 

La Quinta Financing Auth., Tax Allocation, 8.07%, 9/1/36, Ser. A

 

NR/A

 

1,965,880

 

3,425

 

Long Beach Redev. Agcy., Tax Allocation, 8.36%, 8/1/40, Ser. Z

 

NR/BBB+

 

3,509,769

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

California (continued)

 

 

 

 

 

$11,600

 

Oakland Unified School Dist., Alameda Cnty., GO,

 

 

 

 

 

 

 

9.50%, 8/1/34

 

A2/NR

 

$12,785,288

 

 

 

Riverside Cnty. Redev. Agcy., Tax Allocation, Ser. A-T,

 

 

 

 

 

8,720

 

7.50%, 10/1/30

 

A3/A-

 

8,579,259

 

2,020

 

7.75%, 10/1/37

 

A3/A-

 

2,012,890

 

500

 

San Diego Redev. Agcy., Tax Allocation, 7.625%, 9/1/30, Ser. A

 

A3/BBB+

 

488,870

 

4,000

 

San Luis Obispo Cnty. Rev., zero coupon, 9/1/27, Ser. C (NPFGC)

 

Baa1/AA-

 

1,225,360

 

1,600

 

San Marcos Unified School Dist., GO, zero coupon, 8/1/32 (e)

 

Aa2/AA-

 

399,104

 

 

 

State Public Works Board Rev.,

 

 

 

 

 

12,955

 

7.804%, 3/1/35, Ser. B-2

 

Aa3/BBB+

 

13,143,236

 

7,070

 

8.00%, 3/1/35, Ser. A-2

 

A2/BBB+

 

7,121,328

 

14,200

 

Stockton Public Financing Auth. Rev., 7.942%, 10/1/38, Ser. B

 

NR/A

 

14,648,152

 

 

 

 

 

 

 

67,048,626

 

 

 

 

 

 

 

Colorado—1.0%

 

 

 

 

 

15,000

 

Public Schools, CP, 7.017%, 12/15/37, Ser. B

 

Aa3/A+

 

16,410,450

 

 

 

 

 

 

 

 

 

Illinois—0.4%

 

 

 

 

 

5,700

 

State, GO, 6.90%, 3/1/35

 

A1/A+

 

5,815,482

 

 

 

 

 

 

 

 

 

Louisiana—0.4%

 

 

 

 

 

 

 

New Orleans, Public Improvements, GO, Ser. A,

 

 

 

 

 

1,800

 

8.30%, 12/1/29

 

A3/BBB

 

1,923,012

 

3,850

 

8.55%, 12/1/34

 

A3/BBB

 

4,020,247

 

 

 

 

 

 

 

5,943,259

 

 

 

 

 

 

 

Ohio—1.3%

 

 

 

 

 

10,000

 

American Municipal Power-Ohio, Inc. Rev., 8.084%, 2/15/50, Ser. B

 

A3/A

 

12,446,300

 

7,000

 

Univ. of Toledo Rev., 7.875%, 6/1/31

 

A1/A+

 

7,604,870

 

 

 

 

 

 

 

20,051,170

 

 

 

 

 

 

 

Pennsylvania—0.1%

 

 

 

 

 

3,700

 

Philadelphia Auth. for Industrial Dev. Rev.,

 

 

 

 

 

 

 

zero coupon, 4/15/26, Ser. B (AMBAC)

 

A2/BBB

 

1,234,320

 

 

 

 

 

 

 

 

 

Texas—4.6%

 

 

 

 

 

 

 

North Texas Tollway Auth. Rev.,

 

 

 

 

 

18,600

 

8.41%, 2/1/30

 

Baa3/NR

 

19,441,092

 

49,495

 

8.91%, 2/1/30

 

Baa3/NR

 

53,358,085

 

 

 

 

 

 

 

72,799,177

 

 

 

Total Municipal Bonds (cost—$180,489,084)

 

 

 

189,302,484

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES—8.5%

 

 

 

 

 

2,387

 

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

 

Ca/D

 

1,255,508

 

11,791

 

Banc of America Alternative Loan Trust, 6.00%, 3/25/36, CMO

 

Caa3/NR

 

8,431,484

 

86

 

Banc of America Mortgage Securities, Inc.,

 

 

 

 

 

 

 

2.881%, 2/25/36, CMO, FRN

 

NR/B+

 

69,264

 

 

 

BCAP LLC Trust (a)(d)(g),

 

 

 

 

 

4,700

 

5.923%, 3/26/37

 

NR/NR

 

412,283

 

3,800

 

10.25%, 6/25/36

 

NR/NR

 

469,753

 

 

 

Bear Stearns Adjustable Rate Mortgage Trust, CMO, VRN,

 

 

 

 

 

15,053

 

2.916%, 8/25/35

 

Caa2/CCC

 

11,216,274

 

1,045

 

5.230%, 5/25/47

 

NR/CCC

 

757,644

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

 

 

Chase Mortgage Finance Corp., CMO,

 

 

 

 

 

$8,088

 

2.529%, 3/25/37, FRN

 

Caa2/NR

 

$6,406,781

 

204

 

2.938%, 12/25/35, FRN

 

NR/CCC

 

197,669

 

369

 

5.50%, 5/25/36

 

B3/NR

 

347,206

 

489

 

6.019%, 9/25/36, FRN

 

B3/NR

 

465,529

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO, VRN,

 

 

 

 

 

279

 

4.986%, 7/25/46

 

NR/CCC

 

184,975

 

2,019

 

5.661%, 9/25/37

 

NR/CCC

 

1,359,604

 

542

 

5.673%, 7/25/37

 

Caa3/CC

 

382,006

 

4,153

 

5.680%, 8/25/37

 

Caa2/CCC

 

3,041,441

 

4,944

 

5.794%, 3/25/37

 

Caa2/NR

 

4,240,868

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

 

 

776

 

5.50%, 3/25/36

 

Caa3/NR

 

546,578

 

870

 

5.621%, 2/25/37, VRN

 

NR/CCC

 

606,130

 

1,938

 

5.652%, 7/25/21, VRN

 

Caa3/D

 

1,463,659

 

678

 

6.00%, 11/25/36

 

Caa3/NR

 

445,961

 

9,555

 

6.00%, 2/25/37

 

Caa3/CCC

 

6,317,502

 

368

 

6.50%, 6/25/36

 

Ca/NR

 

220,087

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

 

 

1,483

 

4.757%, 9/20/36, VRN

 

Ca/CC

 

847,920

 

6,683

 

5.50%, 10/25/35

 

Caa1/NR

 

6,380,099

 

181

 

5.684%, 9/25/47, VRN

 

NR/CCC

 

123,770

 

6,557

 

5.75%, 3/25/37

 

NR/CCC

 

5,674,252

 

5,618

 

5.75%, 6/25/37

 

NR/CCC

 

5,045,799

 

2,035

 

6.00%, 5/25/36

 

NR/CCC

 

1,791,049

 

1,431

 

6.00%, 4/25/37

 

NR/CCC

 

1,323,176

 

3,265

 

Credit Suisse Mortgage Capital Certificates,

 

 

 

 

 

 

 

6.00%, 2/25/37, CMO

 

NR/CCC

 

2,806,628

 

232

 

First Horizon Asset Securities, Inc.,

 

 

 

 

 

 

 

5.775%, 5/25/37, CMO, FRN

 

NR/CCC

 

159,457

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

 

 

1,551

 

5.50%, 5/25/36

 

NR/CCC

 

1,343,204

 

1,557

 

6.00%, 7/25/37

 

NR/CCC

 

1,470,255

 

 

 

Harborview Mortgage Loan Trust, CMO, VRN,

 

 

 

 

 

161

 

5.404%, 8/19/36

 

NR/CCC

 

118,260

 

1,489

 

5.75%, 8/19/36

 

NR/CCC

 

890,096

 

14,228

 

JPMorgan Alternative Loan Trust, 6.038%, 3/25/37, CMO, VRN

 

NR/CC

 

8,546,496

 

1,425

 

JPMorgan Mortgage Trust, 5.75%, 1/25/36, CMO

 

NR/CCC

 

1,324,166

 

622

 

Merrill Lynch Alternative Note Asset,

 

 

 

 

 

 

 

5.074%, 6/25/37, CMO, VRN

 

Ca/D

 

315,028

 

376

 

Merrill Lynch Mortgage-Backed Securities Trust,

 

 

 

 

 

 

 

5.408%, 4/25/37, CMO, VRN

 

NR/CCC

 

275,437

 

 

 

Residential Asset Securitization Trust, CMO,

 

 

 

 

 

2,109

 

6.00%, 9/25/36

 

Ca/D

 

1,178,358

 

1,652

 

6.25%, 10/25/36

 

Ca/D

 

1,128,616

 

654

 

6.50%, 8/25/36

 

Ca/D

 

404,193

 

6,475

 

Residential Funding Mortgage Securities I,

 

 

 

 

 

 

 

6.25%, 8/25/36, CMO

 

Caa1/CCC

 

5,691,181

 

 

 

Sequoia Mortgage Trust, CMO, VRN,

 

 

 

 

 

180

 

2.512%, 1/20/47

 

NR/CCC

 

131,847

 

2,269

 

5.475%, 7/20/37

 

NR/CCC

 

1,803,293

 

 

 

Suntrust Adjustable Rate Mortgage Loan Trust, CMO, FRN,

 

 

 

 

 

3,332

 

5.539%, 4/25/37

 

NR/CCC

 

2,601,411

 

2,519

 

5.823%, 2/25/37

 

NR/CCC

 

1,841,145

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

 

 

WaMu Mortgage Pass Through Certificates, CMO,

 

 

 

 

 

$1,262

 

2.671%, 2/25/37, VRN

 

NR/CCC

 

$969,314

 

266

 

2.725%, 3/25/37, VRN

 

NR/CCC

 

226,572

 

766

 

3.406%, 12/25/36, VRN

 

NR/CCC

 

576,978

 

314

 

5.028%, 1/25/37, FRN

 

NR/CCC

 

237,930

 

274

 

5.239%, 4/25/37, FRN

 

NR/CCC

 

199,476

 

197

 

5.302%, 12/25/36, FRN

 

NR/CCC

 

145,256

 

2,425

 

5.387%, 11/25/36, VRN

 

NR/CCC

 

1,842,158

 

615

 

5.405%, 2/25/37, VRN

 

NR/CC

 

405,607

 

519

 

5.554%, 5/25/37, FRN

 

NR/CC

 

399,031

 

656

 

5.640%, 2/25/37, FRN

 

NR/CCC

 

484,101

 

1,889

 

5.835%, 9/25/36, VRN

 

NR/CCC

 

1,426,571

 

 

 

Washington Mutual Alternative Mortgage Pass Through Certificates, CMO,

 

 

 

 

 

13,664

 

6.00%, 6/25/37

 

Caa3/CCC

 

9,929,295

 

7,816

 

6.50%, 3/25/36

 

NR/CC

 

4,740,059

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO, FRN,

 

 

 

 

 

2,798

 

2.748%, 7/25/36

 

NR/CCC

 

2,215,793

 

452

 

3.149%, 7/25/36

 

NR/CCC

 

365,815

 

8,621

 

5.041%, 10/25/36

 

NR/CCC

 

6,792,576

 

292

 

5.511%, 9/25/36

 

Caa2/NR

 

233,889

 

 

 

Total Mortgage-Backed Securities (cost—$129,741,837)

 

 

 

133,243,763

 

 

Shares

 

 

 

 

 

 

 

PREFERRED STOCK—6.2%

 

 

 

 

 

Banking—3.3%

 

 

 

 

 

758,600

 

CoBank Acb, 11.00%, 7/1/13, Ser. C (a)(b)(d)(h)(k)(m)

 

 

 

 

 

 

 

(acquisition cost-$42,106,600; purchased 8/23/10-2/1/11)

 

NR/A

 

39,826,554

 

10,000

 

Farm Credit Bank, 10.00%, 12/15/20, Ser. 1 (h)

 

A3/NR

 

11,431,250

 

 

 

 

 

 

 

51,257,804

 

 

 

 

 

 

 

Financial Services—2.1%

 

 

 

 

 

 

 

Ally Financial, Inc. (h),

 

 

 

 

 

3,000

 

7.00%, 12/31/11 (a)(d)

 

B3/CCC

 

2,819,625

 

150,000

 

8.50%, 5/15/16, Ser. A (m)

 

Caa1/CCC

 

3,754,500

 

150,000

 

Bank of America Corp., 8.20%, 5/1/13 (h)

 

Ba3/BB+

 

3,925,500

 

800,000

 

Citigroup Capital XIII, 7.875%, 10/30/15 (m)

 

Ba1/BB+

 

22,224,000

 

7

 

Union Planters Preferred Funding Corp.,

 

 

 

 

 

 

 

7.75%, 7/15/23 (a)(b)(d)(h)(k)

 

 

 

 

 

 

 

(acquisition cost-$630,000; purchased 3/3/11)

 

B2/B

 

599,812

 

 

 

 

 

 

 

33,323,437

 

 

 

 

 

 

 

Real Estate Investment Trust—0.8%

 

 

 

 

 

10,570

 

Sovereign Real Estate Investment Trust,

 

 

 

 

 

 

 

12.00%, 5/16/20 (a)(d)(h)

 

Baa2/BBB+

 

12,300,838

 

 

 

Total Preferred Stock (cost—$95,263,150)

 

 

 

96,882,079

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000s)

 

 

 

 

 

 

 

SENIOR LOANS (a)(c)—2.8%

 

 

 

 

 

Chemicals—0.0%

 

 

 

 

 

$87

 

INEOS Group Ltd., 7.001%, 12/14/12, Term A2

 

 

 

90,592

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services—1.4%

 

 

 

 

 

$21,243

 

CIT Group, Inc., 6.25%, 8/11/15, Term 3

 

 

 

$21,410,288

 

 

 

 

 

 

 

 

 

Utilities—1.4%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC,

 

 

 

 

 

13,468

 

4.690%, 10/10/17

 

 

 

10,531,168

 

14,291

 

4.768%, 10/10/17

 

 

 

11,174,883

 

 

 

 

 

 

 

21,706,051

 

 

 

Total Senior Loans (cost—$43,118,174)

 

 

 

43,206,931

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—1.4%

 

 

 

 

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

 

 

3,000

 

5.595%, 8/25/35

 

B2/AA+

 

2,147,044

 

13,700

 

5.884%, 7/25/36

 

Ca/A+

 

6,480,881

 

744

 

GSAA Trust, 0.486%, 3/25/37, FRN

 

Ca/CCC

 

392,855

 

21,914

 

Indymac Residential Asset-Backed Trust,

 

 

 

 

 

 

 

0.346%, 7/25/37, FRN

 

Caa3/CCC

 

11,526,017

 

2,917

 

Morgan Stanley Mortgage Loan Trust,

 

 

 

 

 

 

 

6.25%, 7/25/47, VRN

 

Caa2/CCC

 

1,997,610

 

 

 

Total Asset-Backed Securities (cost—$25,715,539)

 

 

 

22,544,407

 

 

Shares

 

 

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK—0.2%

 

 

 

 

 

Insurance—0.2%

 

 

 

 

 

1,828,621

 

American International Group, Inc., 8.50%, 8/1/11 (cost—$9,732,507)

 

Baa2/NR

 

3,181,801

 

 

 

 

 

 

 

 

 

MUTUAL FUNDS—0.0%

 

 

 

 

 

5,940

 

BlackRock MuniYield Quality Fund II, Inc.

 

 

 

69,973

 

14,868

 

BlackRock MuniYield Quality Fund III, Inc.

 

 

 

186,445

 

 

 

Total Mutual Funds (cost—$258,945)

 

 

 

256,418

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000s)

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—6.4%

 

 

 

 

 

U.S. Treasury Obligations (i)(n)—3.5%

 

 

 

 

 

$54,481

 

U.S. Treasury Bills, 0.005%-0.009%, 7/21/11-8/4/11

 

 

 

 

 

 

 

(cost—$54,480,600)

 

 

 

54,480,600

 

 

 

 

 

 

 

Corporate Notes—0.3%

 

 

 

 

 

Airlines—0.3%

 

 

 

 

 

4,754

 

American Airlines, Inc.,

 

 

 

 

 

 

 

10.50%, 3/15/12 (cost—$4,711,900)

 

Caa1/CCC+

 

4,906,694

 

 

 

 

 

 

 

Repurchase Agreements—2.6%

 

 

 

 

 

22,400

 

Bank of America, dated 6/30/11, 0.01%, due 7/1/11, proceeds $22,400,006; collateralized by U.S. Treasury Bonds, 4.75%, due 2/15/37, valued at $23,292,979 including accrued interest

 

 

 

22,400,000

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000s)

 

 

 

 

 

Value*

 

$2,500

 

Barclays Capital, Inc., dated 6/30/11, 0.01%, due 7/1/11, proceeds $2,500,001; collateralized by U.S. Treasury Inflation Index Notes, 1.875%, due 7/15/15, valued at $2,545,761 including accrued interest

 

 

 

$2,500,000

 

6,600

 

Citigroup Global Markets, Inc., dated 6/30/11, 0.04%, due 7/1/11, proceeds $6,600,007; collateralized by Fannie Mae, 3.65%, due 12/8/20, valued at $6,791,351 including accrued interest

 

 

 

6,600,000

 

7,500

 

JPMorgan Securities, Inc., dated 6/30/11, 0.04%, due 7/1/11, proceeds $7,500,008; collateralized by Federal Farm Credit Bank, 2.27%, due 12/24/13, valued at $7,651,742 including accrued interest

 

 

 

7,500,000

 

1,851

 

State Street Bank & Trust Co., dated 6/30/11, 0.01%, due 7/1/11, proceeds $1,851,001; collateralized by U.S. Treasury Bills, 0.01%, due 7/21/11, valued at $1,889,989 including accrued interest

 

 

 

1,851,000

 

 

 

Total Repurchase Agreements (cost—$40,851,000)

 

 

 

40,851,000

 

 

 

Total Short-Term Investments (cost—$100,043,500)

 

 

 

100,238,294

 

 

 

Total Investments (cost—$1,365,665,851) (o)—100.0%

 

 

 

$1,572,130,896

 

 



 


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, on the basis of 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 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 mean between the last quoted bid and ask price. 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 futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when issued basis are marked to market daily until settlement at the forward settlement date. 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.

 

 

 

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 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 $349,596,961, representing 22.2% of total investments.

 

 

(b)

Illiquid.

 

 

(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, 2011.

 

 

(d)

144A—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. To be settled after June 30, 2011.

 

 

(f)

In default.

 

 

(g)

Fair-Valued—Securities with an aggregate value of $18,594,985, representing 1.2% of total investments.

 

 

(h)

Perpetual maturity. Maturity date shown is the first call date. On Corporate Bonds & Notes, the interest rate is fixed until the first call date and variable thereafter.

 

 

(i)

All or partial amount segregated for the benefit of the counterparty as collateral for derivatives.

 

 

(j)

All or partial amount segregated for the benefit of the counterparty as collateral for reverse repurchase agreements.

 

 

(k)

Restricted. The aggregate acquisition cost of such securities is $57,955,350. The aggregate market value is $53,044,891, representing 3.4% of total investments.

 

 

(l)

Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

 

 

(m)

Dividend rate is fixed until the first call date and variable thereafter.

 

 

(n)

Rates reflect the effective yields at purchase date.

 

 

(o)

At June 30, 2011, the cost basis of portfolio securities for federal income tax purposes was $1,368,425,441. Gross unrealized appreciation was $229,275,713; gross unrealized depreciation was $25,570,258; and net unrealized appreciation was $203,705,455. The difference between book and tax cost basis was attributable to wash sales.

 

Glossary:

AMBAC—insured by American Municipal Bond Assurance Corp.

£—British Pound

CMO—Collateralized Mortgage Obligation

CP—Certificates of Participation

€—Euro

FGIC—insured by Financial Guaranty Insurance Co.

FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on June 30, 2011.

GO—General Obligation Bond

LIBOR—London Inter-Bank Offered Rate

MXN—Mexican Peso

NPFGC—insured by National Public Finance Guarantee Corp.

NR—Not Rated

VRN—Variable Rate Note. Instruments whose interest rates change on a 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, 2011.

WR—Withdrawn Rating

 



 

Other Investments:

 

(A)  Futures contracts outstanding at June 30, 2011:

 

 

 

 

 

Market

 

 

 

Unrealized

 

 

 

 

 

Value

 

Expiration

 

Appreciation

 

Type

 

Contracts

 

(000s)

 

Date

 

(Depreciation)

 

Long:

Financial Futures Euro—90 day

 

704

 

$175,146

 

3/19/12

 

$598,150

 

 

Financial Futures Euro—90 day

 

538

 

133,673

 

6/18/12

 

(31,427

)

 

Financial Futures Euro—90 day

 

535

 

132,653

 

9/17/12