UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

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, 2007

 

 

Date of reporting period:

September 30, 2006

 

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 



 

ITEM 1. REPORT TO SHAREHOLDERS

 



 

PIMCO High Income Fund

 

 

Semi-Annual Report
September 30, 2006

 

 

Contents

 

 

 

Letter to Shareholders

1

 

 

Performance & Statistics

2

 

 

Schedule of Investments

3-12

 

 

Statement of Assets and Liabilities

13

 

 

Statement of Operations

14

 

 

Statement of Changes in Net Assets

15

 

 

Notes to Financial Statements

16-24

 

 

Financial Highlights

25

 

 

Matters Relating to the Trustees Consideration of the Investment Management & Portfolio Management Agreements

26-28

 

 

 

 

 


 

PIMCO High Income Fund Letter to Shareholders

 

October 11, 2006

 

Dear Shareholder:

 

We are pleased to provide you with the semi-annual report for PIMCO High Income Fund (the “Fund”) for the fiscal six-month period ended September 30, 2006.

 

For performance and specific information on the Fund please refer to the following pages. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Fund’s shareholder servicing agent at (800) 331-1710. In addition, a wide range of information and resources is available on our Web site, www.allianzinvestors.com/closedendfunds.

 

Together with Allianz Global Investors Fund Management LLC, the Fund’s investment manager, and Pacific Investment Management Company LLC, the Fund’s sub-adviser, we thank you for investing with us.

 

We remain dedicated to serving your financial needs.

 

Sincerely,

 

 

 

 

 

Robert E. Connor

 

Brian S. Shlissel

 

 

 

Chairman

 

President & Chief Executive Officer

 

 

9.30.06 | PIMCO High Income Fund Semi-Annual Report 1

 


 

PIMCO High Income Fund Performance & Statistics

September 30, 2006 (unaudited)

 

*                 For the six-month period, the Fund’s net asset value (NAV) and market price returns were 3.93% and 11.03%, respectively.

*                 During the reporting period, the Merrill Lynch High Yield Master II Index returned 3.88%, narrowly outpacing the 3.73% return for the broad bond market, as measured by the Lehman Brothers Aggregate Bond Index.

*                 Security selection in the consumer cyclical sector was a positive for Fund performance during the reporting period, as auto-related issues in particular significantly outperforming the overall high yield bond market.

*                 A focus on the telecom sector detracted from Fund performance during the first half of the reporting period. In the second half, however, a large weighting in wireline companies within this sector contributed positively to performance.

*                 Within the energy sector, an emphasis on pipeline issuers was a positive contributor to Fund performance during the second half of the reporting period, although the energy sector in general suffered during the first three months as the effects of an unseasonably warm winter carried over into the spring.

*                 The decision avoiding the building products sector entirely was positive for Fund performance throughout the reporting period as this sector underperformed, largely due to growing inventories and declining demand in the housing market.

*                 The Fund’s focus on B-rated high yield issues produced mixed results, contributing strongly to Fund performance in the first half of the reporting period, but detracting somewhat in the second half as these issues underperformed both BB- and CCC-rated issues.

 

Total Return(1):

 

Market Price

 

Net Asset Value (“NAV”)

Six months

 

11.03%

 

3.93%

 

1 year

 

18.20%

 

9.01%

 

3 years

 

16.66%

 

11.65%

 

Commencement of Operations (4/30/03) to 9/30/06

 

13.27%

 

12.18%

 

 

Common Share Market Price/NAV Performance:
Commencement of Operations (4/30/03) to 9/30/06

 

 

Market Price/NAV:

 

Market Price

 

$15.75

NAV

 

$14.68

Premium to NAV

 

7.29%

Market Price Yield(2)

 

9.29%

 

 

(1) Past performance is no guarantee of future results. Total return is determined by subtracting the initial investment from the value at the end of the period and dividing the remainder by the initial investment and expressing the result as a percentage. The calculation assumes that all income dividends and capital gain distributions have been reinvested at prices obtained under the Fund's dividend reinvestment plan. Total return does not reflect broker commissions or sales charges. Total return for a period of less than one year is not annualized. Total return for a period of more than one year represents the average annual total return.

 

An investment in the Fund involves risk, including the loss of principal. Investment return, price, yield and net asset value will fluctuate with changes in market conditions. This data is provided for information only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a one-time public offering and once issued, shares of closed-end funds are sold in the open market through a stock exchange. Net asset value is total assets applicable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.

 

(2) Market Price Yield is determined by dividing the annualized current monthly per share dividend to common shareholders by the market price per common share at September 30, 2006.

 

2 PIMCO High Income Fund Semi-Annual Report | 9.30.06


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited)

Principal
Amount
(000)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

CORPORATE BONDS & NOTES – 86.7%

 

 

 

 

 

 

 

 

 

 

 

Aerospace – 0.2%

 

 

 

 

 

$

5,600

 

Armor Holdings, Inc., 8.25%, 8/15/13

 

B1/B+

 

$

5,824,000

 

Airlines – 1.2%

 

 

 

 

 

8,760

 

American Airlines, Inc., pass thru certificates,
8.608%, 10/1/12 (k)

 

Baa3/BB+

 

9,083,025

 

 

 

Continental Airlines, Inc., pass thru certificates,

 

 

 

 

 

14,677

 

6.92%, 4/2/13, 97-5A 9 (a) (b) (g)

 

NR/NR

 

14,934,503

 

4,439

 

7.373%, 6/15/17, Ser. 01-1

 

Ba1/BB+

 

4,397,070

 

1,943

 

8.307%, 10/2/19, Ser. 00-2

 

Ba2/BB-

 

1,886,476

 

3,547

 

Northwest Airlines, Inc., pass thru certificates,
7.691%, 4/1/17, Ser. 01-B

 

Caa1/CCC

 

3,398,651

 

333

 

United Air Lines, Inc., pass thru certificates,
6.602%, 3/1/15, Ser. 01-1

 

Aaa/BBB

 

333,860

 

4,158

 

U.S. Airway Group, Inc., 9.625%, 9/1/24 (b) (f) (g)

 

NR/NR

 

14,970

 

 

 

 

 

 

 

34,048,555

 

Automotive – 4.2%

 

 

 

 

 

10,450

 

Arvin Capital I, 9.50%, 2/1/27

 

B1/B

 

10,659,000

 

18,725

 

ArvinMeritor, Inc., 8.75%, 3/1/12

 

Ba3/BB-

 

18,022,812

 

5,150

 

Cooper-Standard Automotive, Inc., 7.00%, 12/15/12

 

B3/B-

 

4,467,625

 

15,000

 

Ford Motor Co., 7.45%, 7/16/31

 

Ba3/B

 

11,662,500

 

 

 

General Motors Corp.,

 

 

 

 

 

8,000

 

7.20%, 1/15/11

 

Caa1/B-

 

7,410,000

 

7,200

 

8.25%, 7/15/23

 

Caa1/B-

 

6,273,000

 

 

 

Goodyear Tire & Rubber Co.,

 

 

 

 

 

12,300

 

9.00%, 7/1/15

 

B3/B-

 

12,546,000

 

7,000

 

11.00%, 3/1/11

 

B3/B-

 

7,752,500

 

 

 

Tenneco Automotive, Inc.,

 

 

 

 

 

14,000

 

8.625%, 11/15/14

 

B3/B

 

13,895,000

 

14,025

 

10.25%, 7/15/13, Ser. B

 

Aa3/B

 

15,287,250

 

8,245

 

TRW Automotive, Inc., 9.375%, 2/15/13

 

Ba3/BB-

 

8,822,150

 

 

 

 

 

 

 

116,797,837

 

Building/Construction – 0.2%

 

 

 

 

 

5,000

 

Ahern Rentals, Inc., 9.25%, 8/15/13

 

B-/B-

 

5,150,000

 

Chemicals – 3.3%

 

 

 

 

 

 

 

ARCO Chemical Co.,

 

 

 

 

 

3,808

 

9.80%, 2/1/20

 

Ba3/B+

 

4,322,080

 

2,000

 

10.25%, 11/1/10

 

Ba3/B+

 

2,180,000

 

15,000

 

Equistar Chemicals L.P., 10.125%, 9/1/08

 

B1/BB-

 

15,956,250

 

21,925

 

Ineos Group Holdings PLC, 8.50%, 2/15/16 (d)

 

B2/B-

 

20,993,187

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

4,150

 

8.00%, 9/15/14

 

B+/B+

 

4,222,625

 

3,825

 

8.25%, 9/15/16

 

B+/B+

 

3,901,500

 

15,300

 

Nalco Co., 8.875%, 11/15/13

 

Caa1/B-

 

16,026,750

 

13,660

 

PQ Corp., 7.50%, 2/15/13

 

B1/B-

 

13,045,300

 

980

 

Rhodia S.A., 8.875%, 6/1/11

 

Caa2/B-

 

1,016,750

 

10,500

 

Rockwood Specialties Group, Inc., 7.50%, 11/15/14

 

B3/B-

 

10,395,000

 

 

 

 

 

 

 

92,059,442

 

Commercial Products – 0.7%

 

 

 

 

 

17,800

 

Hertz Corp., 8.875%, 1/1/14 (d)

 

B1/B

 

18,734,500

 

 

9.30.06 | PIMCO High Income Fund Semi-Annual Report 3

 


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited) (continued)

Principal
Amount
(000)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

Computer Services – 1.3%

 

 

 

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

$

17,100

 

9.125%, 8/15/13

 

Ba1/B-

 

$

17,784,000

 

17,000

 

10.25%, 8/15/15

 

Aaa/B-

 

17,595,000

 

 

 

 

 

 

 

35,379,000

 

Computer Software – 0.4%

 

 

 

 

 

9,500

 

UGS Corp., 10.00%, 6/1/12

 

B3/B-

 

10,307,500

 

Consumer Products – 0.3%

 

 

 

 

 

 

 

Buhrmann US, Inc.,

 

 

 

 

 

500

 

7.875%, 3/1/15

 

B2/B

 

483,750

 

6,875

 

8.25%, 7/1/14

 

B2/B

 

6,823,437

 

 

 

 

 

 

 

7,307,187

 

Consumer Services – 0.3%

 

 

 

 

 

9,200

 

Education Management Corp., 10.25%, 6/1/16 (d)

 

Caa1/CCC+

 

9,453,000

 

Containers & Packaging – 2.1%

 

 

 

 

 

 

 

Crown Americas LLC,

 

 

 

 

 

2,475

 

7.625%, 11/15/13

 

B/B

 

2,518,312

 

5,650

 

7.75%, 11/15/15

 

B/B

 

5,748,875

 

 

 

Jefferson Smurfit Corp.,

 

 

 

 

 

11,200

 

7.50%, 6/1/13

 

B2/CCC+

 

10,388,000

 

10,263

 

8.25%, 10/1/12

 

B2/CCC+

 

9,878,138

 

 

 

Smurfit-Stone Container,

 

 

 

 

 

14,000

 

8.375%, 7/1/12

 

B2/CCC+

 

13,510,000

 

15,338

 

9.75%, 2/1/11

 

B2/CCC+

 

15,874,830

 

 

 

 

 

 

 

57,918,155

 

Diversified Manufacturing – 0.0%

 

 

 

 

 

1,000

 

Quiksilver, Inc., 6.875%, 4/15/15

 

B3/BB-

 

952,500

 

Electronics – 1.0%

 

 

 

 

 

12,750

 

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

 

NR/B

 

12,558,750

 

10,600

 

Sensata Technologies BV, 8.00%, 5/1/14 (d)

 

NR/B-

 

10,361,500

 

6,400

 

Solectron Global Finance Ltd., 8.00%, 3/15/16

 

NR/B-

 

6,368,000

 

 

 

 

 

 

 

29,288,250

 

Energy – 0.9%

 

 

 

 

 

2,000

 

NRG Energy, Inc., 7.375%, 2/1/16

 

B1/B-

 

1,992,500

 

 

 

Reliant Energy, Inc.,

 

 

 

 

 

7,025

 

9.25%, 7/15/10

 

B2/B

 

7,323,563

 

15,525

 

9.50%, 7/15/13

 

B2/B

 

16,184,812

 

742

 

Reliant Energy Mid-Atlantic Power Holdings LLC,

 

 

 

 

 

 

 

9.237%, 7/2/17, Ser. B

 

Caa1/B

 

821,950

 

 

 

 

 

 

 

26,322,825

 

Financial Services – 17.0%

 

 

 

 

 

30,870

 

AES Ironwood LLC, 8.857%, 11/30/25

 

B2/B+

 

34,266,157

 

8,075

 

AES Red Oak LLC, 8.54%, 11/30/19, Ser. A

 

B2/B+

 

8,640,260

 

25,091

 

BCP Crystal U.S. Holding Corp., 9.625%, 6/15/14

 

B3/B

 

27,349,190

 

17,700

 

Bluewater Finance Ltd., 10.25%, 2/15/12

 

B2/B-

 

18,009,750

 

7,700

 

Chukchansi Economic Development Authority,

 

 

 

 

 

 

 

8.00%, 11/15/13 (d)

 

B2/BB-

 

7,940,625

 

275

 

Cirsa Finance Luxembourg S.A., 8.75%, 5/15/14

 

B1/B+

 

371,870

 

$

9,977

 

Consolidated Communications Holdings, 9.75%, 4/1/12

 

B3/B

 

10,575,620

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4 PIMCO High Income Fund Semi-Annual Report | 9.30.06

 


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited) (continued)

Principal
Amount
(000)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

 

 

 

 

Ford Motor Credit Co.,

 

 

 

 

 

$

5,000

 

7.00%, 10/1/13

 

B1/B

 

$

4,645,415

 

35,000

 

7.375%, 2/1/11

 

B1/B

 

33,624,395

 

55,225

 

7.875%, 6/15/10

 

B1/B

 

53,824,605

 

15,000

 

8.625%, 11/1/10

 

B1/B

 

14,955,480

 

 

 

General Motors Acceptance Corp.,

 

 

 

 

 

10,000

 

7.25%, 3/2/11

 

Ba1/BB

 

10,066,540

 

24,800

 

7.75%, 1/19/10

 

Ba1/BB

 

25,429,449

 

11,125

 

8.00%, 11/1/31

 

Ba1/BB

 

11,664,251

 

 

 

JET Equipment Trust (d) (f),

 

 

 

 

 

211

 

7.63%, 8/15/12, Ser. 95-B (g)

 

NR/NR

 

172,954

 

326

 

10.00%, 6/15/12, Ser. A11

 

NR/NR

 

316,524

 

36,270

 

JSG Funding PLC, 9.625%, 10/1/12

 

B3/B-

 

38,446,200

 

18,445

 

KRATON Polymers LLC, 8.125%, 1/15/14

 

B3/B-

 

17,937,762

 

120,600

 

Targeted Return Index Securities Trust,

 

 

 

 

 

 

 

7.548%, 5/1/16, VRN (d) (h) (k)

 

B1/B+

 

120,857,602

 

19,203

 

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

 

B2/B-

 

20,787,248

 

8,030

 

Universal City Florida Holding Co., 8.375%, 5/1/10

 

B3/B-

 

8,100,262

 

5,800

 

UPC Holding BV, 8.625%, 1/15/14

 

B3/CCC+

 

7,383,883

 

 

 

 

 

 

 

475,366,042

 

Food – 0.9%

 

 

 

 

 

$

1

 

Dole Foods Co., Inc., 8.875%, 3/15/11

 

B3/B

 

783

 

24,925

 

Ingles Markets, Inc., 8.875%, 12/1/11

 

B3/B

 

26,108,937

 

 

 

 

 

 

 

26,109,720

 

Healthcare & Hospitals – 4.0%

 

 

 

 

 

8,000

 

DaVita, Inc., 7.25%, 3/15/15

 

B3/B

 

7,900,000

 

 

 

HCA, Inc.,

 

 

 

 

 

13,200

 

6.95%, 5/1/12

 

Ba2/BB+

 

11,599,500

 

7,475

 

7.50%, 12/15/23

 

Ba2/BB+

 

5,833,497

 

2,130

 

7.58%, 9/15/25

 

Ba2/BB+

 

1,652,352

 

4,600

 

7.69%, 6/15/25

 

Ba2/BB+

 

3,613,903

 

5,000

 

7.875%, 2/1/11

 

Ba2/BB+

 

4,806,250

 

8,000

 

8.75%, 9/1/10

 

Ba2/BB+

 

8,100,000

 

9,000

 

9.00%, 12/15/14

 

Ba2/BB+

 

8,460,225

 

6,700

 

National Mentor Holdings, Inc., 11.25%, 7/1/14 (d)

 

Caa1/CCC+

 

6,901,000

 

19,990

 

Rotech Healthcare, Inc., 9.50%, 4/1/12

 

Ba2/CC

 

13,793,100

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

 

17,000

 

7.375%, 2/1/13

 

Caa1/CCC+

 

15,406,250

 

22,925

 

9.875%, 7/1/14

 

Caa1/CCC+

 

22,953,656

 

 

 

 

 

 

 

111,019,733

 

Hotels/Gaming – 1.4%

 

 

 

 

 

2,000

 

Gaylord Entertainment Co., 8.00%, 11/15/13

 

B3/B-

 

2,045,000

 

5,000

 

Herbst Gaming, Inc., 8.125%, 6/1/12

 

B3/B-

 

5,131,250

 

19,279

 

Mandalay Resort Group, 9.375%, 2/15/10

 

Ba3/B+

 

20,700,826

 

8,948

 

Premier Entertainment LLC, 10.75%, 2/1/12

 

Caa1/CCC

 

9,149,330

 

3,500

 

Station Casinos, Inc., 6.875%, 3/1/16

 

Aaa/B+

 

3,298,750

 

 

 

 

 

 

 

40,325,156

 

Machinery – 0.1%

 

 

 

 

 

2,000

 

Chart Industries, Inc., 9.125%, 10/15/15 (d)

 

B3/B-

 

2,080,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9.30.06 | PIMCO High Income Fund Semi-Annual Report 5

 


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited) (continued)

Principal
Amount
(000)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

Manufacturing – 0.6%

 

 

 

 

 

$

9,545

 

Dresser, Inc., 10.125%, 4/15/11

 

B2/CCC+

 

$

10,034,181

 

6,403

 

Invensys PLC, 9.875%, 3/15/11 (d)

 

B3/B-

 

6,947,255

 

 

 

 

 

 

 

16,981,436

 

Medical Products – 0.8%

 

 

 

 

 

22,785

 

VWR International, Inc., 8.00%, 4/15/14

 

Caa1/B-

 

23,098,294

 

Miscellaneous – 3.2%

 

 

 

 

 

89,570

 

Dow Jones CDX U.S. High Yield,

 

 

 

 

 

 

 

8.375%, 12/29/11, Ser. 7-T1 (b) (d) (e) (g) (h)

 

NR/NR

 

89,398,344

 

Multi-Media – 5.3%

 

 

 

 

 

3,000

 

Cablemas S.A. de C.V., 9.375%, 11/15/15 (d)

 

B1/BB-

 

3,135,000

 

5,600

 

Cablevision Systems Corp., 8.00%, 4/15/12, Ser. B

 

B3/B+

 

5,698,000

 

39,300

 

CCO Holdings LLC, 8.75%, 11/15/13

 

B3/CCC-

 

39,742,125

 

10,000

 

Charter Communications Holdings I LLC, 11.00%, 10/1/15

 

Caa2/CCC-

 

9,150,000

 

4,605

 

Charter Communications Holdings II LLC, 10.25%, 9/15/10

 

Caa1/CCC-

 

4,720,125

 

 

 

Charter Communications Operating LLC (d),

 

 

 

 

 

13,000

 

8.00%, 4/30/12

 

B2/B-

 

13,162,500

 

14,325

 

8.375%, 4/30/14

 

B2/B-

 

14,629,406

 

 

 

CSC Holdings, Inc.,

 

 

 

 

 

6,300

 

7.625%, 7/15/18

 

B2/B+

 

6,481,125

 

1,485

 

7.875%, 2/15/18

 

B2/B+

 

1,548,113

 

5,265

 

8.125%, 7/15/09, Ser. B

 

B2/B+

 

5,475,600

 

4,000

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

Ba2/BB-

 

4,165,000

 

4,750

 

Iesy Repository GmbH, 10.375%, 2/15/15 (d)

 

Caa2/CCC+

 

4,393,750

 

6,370

 

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

 

Aa2/B

 

8,744,990

 

$

12,000

 

Rogers Cable, Inc., 8.75%, 5/1/32

 

Ba2/BB+

 

14,220,000

 

3,735

 

Telenet Communications NV, 9.00%, 12/15/13 (d)

 

B2/B-

 

5,275,410

 

 

 

Young Broadcasting, Inc.,

 

 

 

 

 

$

7,300

 

8.75%, 1/15/14

 

Caa1/CCC-

 

6,241,500

 

1,350

 

10.00%, 3/1/11

 

Caa1/CCC-

 

1,267,313

 

 

 

 

 

 

 

148,049,957

 

Oil & Gas – 8.1%

 

 

 

 

 

18,000

 

Dynegy Holdings, Inc., 8.375%, 5/1/16

 

B-/B-

 

18,405,000

 

 

 

Dynergy-Roseton Danskammer, Inc., pass thru certificates,

 

 

 

 

 

5,050

 

7.27%, 11/8/10, Ser. A

 

B3/B

 

5,128,906

 

25,500

 

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

 

B3/B

 

26,025,938

 

 

 

El Paso Corp.,

 

 

 

 

 

29,150

 

7.80%, 8/1/31

 

B2/B

 

30,024,500

 

27,850

 

8.05%, 10/15/30

 

B2/B

 

29,103,250

 

19,615

 

El Paso Production Holding Co., 7.75%, 6/1/13

 

B1/B+

 

20,154,413

 

14,325

 

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

 

B2/B-

 

14,969,625

 

 

 

Hanover Compressor Co.,

 

 

 

 

 

7,585

 

8.625%, 12/15/10

 

B3/B

 

7,926,325

 

1,550

 

9.00%, 6/1/14

 

B3/B

 

1,650,750

 

12,028

 

Hanover Equipment Trust, 8.50%, 9/1/08, Ser. A

 

B2/B+

 

12,238,490

 

4,000

 

Pogo Producing Co., 7.875%, 5/1/13 (d)

 

Ba2/B+

 

4,095,000

 

14,375

 

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

 

B1/NR

 

14,572,656

 

3,000

 

Sonat, Inc., 7.00%, 2/1/18

 

B2/B

 

2,925,000

 

37,726

 

Williams Cos., Inc., 7.875%, 9/1/21

 

Ba2/BB-

 

39,612,300

 

 

 

 

 

 

 

226,832,153

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6 PIMCO High Income Fund Semi-Annual Report | 9.30.06


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited) (continued)

Principal
Amount
(000)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

 

 

 

Paper/Paper Products – 3.9%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc.,

 

 

 

 

 

$

6,500

 

8.375%, 4/1/15

 

B1/B+

 

$

5,947,500

 

8,525

 

8.55%, 8/1/10

 

B1/B+

 

8,503,688

 

14,159

 

8.85%, 8/1/30

 

B1/B+

 

11,964,355

 

16,250

 

Bowater Canada Finance, 7.95%, 11/15/11

 

B1/B+

 

15,600,000

 

2,200

 

Bowater, Inc., 9.375%, 12/15/21

 

B1/B+

 

2,167,000

 

9,500

 

Cascades, Inc., 7.25%, 2/15/13

 

Ba3/BB-

 

9,310,000

 

 

 

Georgia-Pacific Corp.,

 

 

 

 

 

4,550

 

7.75%, 11/15/29

 

B2/B

 

4,390,750

 

27,775

 

8.00%, 1/15/24

 

B2/B

 

27,497,250

 

13,750

 

8.875%, 5/15/31

 

B2/B

 

14,368,750

 

 

 

Verso Paper Holdings LLC (d),

 

 

 

 

 

5,700

 

9.125%, 8/1/14

 

Aaa/B+

 

5,764,125

 

2,300

 

11.375%, 8/1/16

 

Aaa/B-

 

2,294,250

 

 

 

 

 

 

 

107,807,668

 

Printing/Publishing – 2.4%

 

 

 

 

 

17,631

 

Dex Media West LLC, 9.875%, 8/15/13, Ser. B

 

B2/B

 

19,129,635

 

1,000

 

Hollinger, Inc., 11.875%, 3/1/11 (d)

 

B3e/NR

 

915,000

 

7,000

 

Nielsen Finance LLC, 10.00%, 8/1/14 (d)

 

Ba2/CCC+

 

7,271,250

 

10,477

 

Primedia, Inc., 8.875%, 5/15/11

 

B2/B

 

10,293,653

 

25,835

 

RH Donnelley Corp., 8.875%, 1/15/16

 

B3/B

 

26,028,762

 

2,000

 

RH Donnelley, Inc., 10.875%, 12/15/12

 

B2/B

 

2,210,000

 

 

 

 

 

 

 

65,848,300

 

Real Estate – 1.6%

 

 

 

 

 

10,000

 

B.F. Saul REIT, 7.50%, 3/1/14

 

B2/BB-

 

10,200,000

 

12,400

 

Bon-Ton Stores, Inc., 10.25%, 3/15/14

 

B-/B-

 

12,121,000

 

8,000

 

Delhaize America, Inc., 9.00%, 4/15/31

 

Ba1/BB+

 

9,411,112

 

3,900

 

Grupo Gigante S.A. de C.V., 8.75%, 4/13/16 (d)

 

NR/BB

 

3,880,500

 

9,550

 

NPC International, Inc., 9.50%, 5/1/14 (d)

 

Caa1/B-

 

9,454,500

 

 

 

 

 

 

 

45,067,112

 

Telecommunications – 14.9%

 

 

 

 

 

14,075

 

American Cellular Corp., 10.00%, 8/1/11, Ser. B

 

B3/CCC

 

14,813,938

 

11,555

 

Centennial Communications Corp., 8.125%, 2/1/14

 

B3/CCC

 

11,439,450

 

31,800

 

Cincinnati Bell, Inc., 8.375%, 1/15/14

 

B3/B-

 

32,277,000

 

12,000

 

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

 

Ba3/BB+

 

12,930,000

 

 

 

Hawaiian Telcom Communications, Inc., Ser. B,

 

 

 

 

 

12,225

 

9.75%, 5/1/13 (k)

 

B3/CCC+

 

12,622,313

 

7,000

 

12.50%, 5/1/15

 

Caa1/CCC+

 

7,385,000

 

19,775

 

Insight Midwest L.P., 10.50%, 11/1/10

 

B2/B

 

20,566,000

 

 

 

Intelsat Bermuda Ltd. (d),

 

 

 

 

 

20,000

 

9.25%, 6/15/16

 

B2/B+

 

21,125,000

 

18,000

 

11.25%, 6/15/16

 

Caa1/B

 

19,215,000

 

 

 

Intelsat Subsidiary Holding Co., Ltd.,

 

 

 

 

 

3,050

 

8.25%, 1/15/13

 

B2/B+

 

3,103,375

 

18,250

 

8.625%, 1/15/15

 

B2/B+

 

18,751,875

 

8,600

 

Nordic Telephone Co. Holdings ApS, 8.875%, 5/1/16 (d)

 

B2/B

 

9,083,750

 

11,000

 

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

 

B1/B-

 

11,660,000

 

14,625

 

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

 

Ba2/BB

 

12,943,125

 

 

 

Qwest Capital Funding, Inc.,

 

 

 

 

 

14,200

 

7.25%, 2/15/11

 

B3/B

 

14,271,000

 

46,500

 

7.90%, 8/15/10

 

B3/B

 

48,011,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9.30.06 | PIMCO High Income Fund Semi-Annual Report 7

 


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited) (continued)

Principal
Amount
(000)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

 

 

 

Telecommunications (continued)

 

 

 

 

 

 

 

Qwest Communications International, Inc.,

 

 

 

 

 

$

15,275

 

7.50%, 2/15/14

 

B2/B

 

$

15,389,563

 

23,750

 

7.50%, 2/15/14, Ser. B

 

B2/B

 

23,928,125

 

 

 

Qwest Corp.,

 

 

 

 

 

1,250

 

7.50%, 6/15/23

 

Aaa/BB

 

1,243,750

 

10,450

 

8.875%, 3/15/12

 

B3/BB

 

11,455,812

 

3,000

 

8.875%, 6/1/31

 

Aaa/BB

 

3,142,500

 

18,020

 

Rural Cellular Corp., 9.875%, 2/1/10

 

NR/CCC

 

18,875,950

 

9,400

 

Suncom Wireless, Inc., 8.50%, 6/1/13

 

Caa2/CCC-

 

8,765,500

 

12,400

 

Superior Essex Communications LLC, 9.00%, 4/15/12

 

B3/B

 

12,648,000

 

24,975

 

Time Warner Telecom Holdings, Inc., 9.25%, 2/15/14

 

B3/CCC+

 

26,411,062

 

13,000

 

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

 

B2/B-

 

14,413,750

 

9,000

 

Windstream Corp., 8.625%, 8/1/16 (d)

 

Ba3/BB-

 

9,675,000

 

 

 

 

 

 

 

416,147,088

 

Tobacco – 0.7%

 

 

 

 

 

18,000

 

Reynolds American, Inc., 7.75%, 6/1/18 (d)

 

Caa1/BB

 

18,884,106

 

Transportation – 0.3%

 

 

 

 

 

 

 

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

 

 

 

 

 

2,400

 

9.375%, 5/1/12

 

NR/B-

 

2,556,000

 

5,000

 

12.50%, 6/15/12

 

B3/B-

 

5,525,000

 

 

 

 

 

 

 

8,081,000

 

Utilities – 4.5%

 

 

 

 

 

16,850

 

AES Corp., 8.75%, 5/15/13 (d)

 

Ba3/BB-

 

18,155,875

 

2,000

 

Empresa Energetica de Sergipe and Sociedade Anonima de Eletrificaao da Paraiba, 10.50%, 7/19/13 (d)

 

NR/B+

 

2,071,430

 

3,220

 

Homer City Funding LLC, 8.137%, 10/1/19

 

Ba2/BB

 

3,421,250

 

19,450

 

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

 

Baa3/BB+

 

22,124,375

 

 

 

Midwest Generation LLC, pass thru certificates,

 

 

 

 

 

16,761

 

8.30%, 7/2/09, Ser. A

 

B1/BB-

 

17,106,333

 

24,877

 

8.56%, 1/2/16, Ser. B

 

B1/BB-

 

26,447,404

 

1,500

 

8.75%, 5/1/34

 

Ba3/B+

 

1,608,750

 

 

 

PSE&G Energy Holdings LLC,

 

 

 

 

 

21,500

 

8.50%, 6/15/11

 

Ba3/BB-

 

23,005,000

 

2,025

 

10.00%, 10/1/09

 

Ba3/BB-

 

2,222,437

 

3,147

 

Sithe Independence Funding Corp., 9.00%, 12/30/13, Ser. A

 

Ba2/B

 

3,394,546

 

6,942

 

South Point Energy Center LLC, 8.40%, 5/30/12 (d)

 

NR/D

 

6,772,544

 

 

 

 

 

 

 

126,329,944

 

Waste Disposal – 0.9%

 

 

 

 

 

 

 

Allied Waste North America, Inc.,

 

 

 

 

 

13,000

 

7.25%, 3/15/15

 

B2/BB-

 

12,967,500

 

11,823

 

9.25%, 9/1/12, Ser. B

 

B2/BB-

 

12,665,389

 

 

 

 

 

 

 

25,632,889

 

Total Corporate Bonds & Notes (cost-$2,373,851,240)

 

 

 

2,422,601,693

 

 

 

 

 

 

 

SENIOR LOANS (a) (b) (c) – 3.1%

 

 

 

 

 

 

 

 

 

 

 

Building/Construction – 0.2%

 

 

 

 

 

£

3,000

 

Grupo Ferrovial S.A., 5.00%, 4/7/11, Term CL (e) (g)

 

 

 

5,573,724

 

Chemicals – 0.1%

 

 

 

 

 

$

2,000

 

Ineos Group Ltd., 7.339%, 10/7/12, Term A

 

 

 

2,011,876

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8 PIMCO High Income Fund Semi-Annual Report | 9.30.06

 


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited) (continued)

Principal
Amount
(000)

 

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

 

Containers & Packaging – 0.3%

 

 

 

 

 

 

 

JSG Packaging,

 

 

 

 

 

431

 

5.562%, 1/12/13, Term B

 

 

 

$

549,658

 

324

 

5.65%, 1/12/13, Term B

 

 

 

413,382

 

1,049

 

5.741%, 11/29/13, Term B (g)

 

 

 

1,338,191

 

287

 

5.754%, 1/12/13, Term B

 

 

 

366,439

 

559

 

5.835%, 1/12/13, Term B (g)

 

 

 

712,887

 

431

 

6.062%, 1/12/14, Term C

 

 

 

549,658

 

287

 

6.09%, 1/12/14, Term C

 

 

 

366,439

 

324

 

6.15%, 1/12/14, Term C

 

 

 

413,381

 

1,049

 

6.241%, 11/29/14, Term C (g)

 

 

 

1,341,931

 

559

 

6.335%, 1/12/14, Term C (g)

 

 

 

714,878

 

$

750

 

7.882%, 11/29/13, Term B (g)

 

 

 

755,052

 

750

 

8.382%, 11/29/14, Term C (g)

 

 

 

755,052

 

 

 

 

 

 

 

8,276,948

 

Financial Services – 0.1%

 

 

 

 

 

1,200

 

UPC Holding BV, 7.75%, 1/15/14

 

 

 

1,463,096

 

Healthcare & Hospitals – 0.3%

 

 

 

 

 

$

9,476

 

HealthSouth Corp., 8.58%, 2/2/13

 

 

 

9,522,314

 

Oil & Gas – 0.7%

 

 

 

 

 

20,000

 

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

 

 

 

20,882,827

 

Recreation – 0.2%

 

 

 

 

 

 

 

Amadeus Global Travel,

 

 

 

 

 

2,699

 

5.628%, 4/8/12, Term A

 

 

 

3,417,948

 

$

1,250

 

8.117%, 4/8/13, Term B

 

 

 

1,259,801

 

1,250

 

8.617%, 4/8/14, Term C

 

 

 

1,264,631

 

 

 

 

 

 

 

5,942,380

 

Telecommunications – 1.0%

 

 

 

 

 

 

 

Nordic Telephone,

 

 

 

 

 

5,000

 

8.25%, 5/1/16

 

 

 

6,872,117

 

2,300

 

8.25%, 5/1/16 (d)

 

 

 

3,161,174

 

 

 

Nordic Telephone Co. Holdings ApS,

 

 

 

 

 

3,200

 

5.536%, 11/30/14, Term B

 

 

 

4,092,460

 

3,200

 

6.036%, 11/30/14, Term C

 

 

 

4,109,859

 

$

2,000

 

NTL Investment Holdings, Inc., 7.305%, 1/6/13, Term B (e)

 

 

 

2,009,062

 

 

 

Weather Investments SARL (e),

 

 

 

 

 

3,000

 

5.505%, 6/17/12, Term A

 

 

 

3,796,448

 

1,500

 

5.634%, 6/17/13, Term B

 

 

 

1,904,875

 

1,500

 

6.134%, 6/17/14, Term C

 

 

 

1,914,375

 

 

 

 

 

 

 

27,860,370

 

Wholesale – 0.2%

 

 

 

 

 

 

 

Roundy’s, Inc., Term B

 

 

 

 

 

$

2,462

 

8.39%, 10/27/11

 

 

 

2,486,098

 

2,500

 

8.44%, 10/27/11

 

 

 

2,523,957

 

 

 

 

 

 

 

5,010,055

 

Total Senior Loans (cost-$84,659,115)

 

 

 

86,543,590

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9.30.06 | PIMCO High Income Fund Semi-Annual Report 9

 


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited) (continued)

Principal
Amount
(000)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

MUNICIPAL BONDS – 0.6%

 

 

 

 

 

 

 

 

 

 

 

California – 0.6%

 

 

 

 

 

 

 

Los Angeles Community Redevelopement Agency Rev., Ser. H,

 

 

 

 

 

$

200

 

8.25%, 9/1/07

 

NR/NR

 

$

199,306

 

725

 

9.00%, 9/1/12

 

NR/NR

 

748,911

 

1,160

 

9.75%, 9/1/17

 

NR/NR

 

1,239,854

 

1,375

 

9.75%, 9/1/22

 

NR/NR

 

1,467,675

 

2,170

 

9.75%, 9/1/27

 

NR/NR

 

2,305,885

 

3,480

 

9.75%, 9/1/32

 

NR/NR

 

3,691,271

 

 

 

San Diego Redevelopement Agency., Tax Allocation,

 

 

 

 

 

1,785

 

6.59%, 11/1/13

 

Baa3/NR

 

1,764,098

 

1,435

 

7.49%, 11/1/18

 

Baa3/NR

 

1,476,816

 

1,885

 

7.74%, 11/1/21

 

Baa3/NR

 

1,923,793

 

Total Municipal Bonds (cost-$14,699,584)

 

 

 

14,817,609

 

 

 

 

 

 

 

PREFERRED STOCK – 0.9%

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Services – 0.9%

 

 

 

 

 

24,700

 

Fresenius Medical Care Capital Trust II, 7.875%, UNIT

 

B1/B+

 

25,194,000

 

Telecommunications – 0.0%

 

 

 

 

 

155,565

 

Superior Essex Holding Corp., 9.50%, Ser. A

 

NR/NR

 

124,452

 

Total Preferred Stock (cost-$26,157,273)

 

 

 

25,318,452

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS – 8.9%

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sovereign Debt Obligations (e) – 4.6%

 

 

 

 

 

Germany – 4.6%

 

 

 

 

 

103,000

 

Bundesschatzanweisungen, 2.50%, 3/23/07  (cost-$130,467,421)

 

Aaa/AAA

 

129,905,423

 

 

 

 

 

 

 

 

 

 

Commercial Paper – 1.8%

 

 

 

 

 

Financial Services – 1.8%

 

 

 

 

 

$

28,300

 

Danske Corp., 5.27%, 12/27/06

 

P-1/A-1+

 

27,934,081

 

22,000

 

UBS Finance LLC, 5.245%, 1/8/07

 

P-1/A-1+

 

21,677,700

 

Total Commercial Paper (cost-$49,622,254)

 

 

 

49,611,781

 

 

 

 

 

 

 

U.S. Treasury Bills (i) – 0.9%

 

 

 

 

 

26,350

 

4.615%-4.87%, 11/30/06-12/14/06 (cost-$26,095,272)

 

 

 

26,061,431

 

 

 

 

 

 

 

Corporate Bonds & Notes – 0.4%

 

 

 

 

 

Financial Services – 0.4%

 

 

 

 

 

10,000

 

Bombardier Capital, Inc., 7.09%, 3/30/07, Ser. AI (a) (b)

 

NR/NR

 

10,054,000

 

Telecommunications – 0.0%

 

 

 

 

 

851

 

Calpoint Receivable Structured Trust, 7.44%, 12/10/06 (d)

 

B3/NR

 

857,206

 

Total Corporate Bonds & Notes (cost-$10,864,641)

 

 

 

10,911,206

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10 PIMCO High Income Fund Semi-Annual Report | 9.30.06

 


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited) (continued)

Principal
Amount
(000)

 

 

 

 

 

 

Value

 

Repurchase Agreements – 1.2%

 

 

 

 

 

$

28,000

 

Lehman Brothers Holdings,
dated 9/29/06, 5.05%, due 10/2/06,
proceeds $28,011,783; collateralized by
U.S. Treasury Bonds, 5.375%, due 2/15/31,
valued at $28,196,304 including accrued interest

 

 

 

$

28,000,000

 

4,803

 

State Street Bank & Trust Co.,
dated 9/29/06, 4.90%, due 10/2/06,
proceeds $4,804,961; collateralized by
U.S. Treasury Notes, 4.875%, due 4/30/11,
valued at $4,903,594 including accrued interest

 

 

 

4,803,000

 

Total Repurchase Agreements (cost-$32,803,000)

 

 

 

32,803,000

 

Total Short-Term Investments (cost-$249,852,588)

 

 

 

249,292,841

 

 

 

 

 

 

 

OPTIONS PURCHASED (j) – 0.0%

 

 

 

 

 

 

 

 

 

 

 

Contracts/
Notional

 

 

 

 

 

 

 

 

 

 

 

 

Put Options – 0.0%

 

 

 

 

 

 

 

Eurodollar Futures, Chicago Mercantile Exchange,

 

 

 

 

 

1,346

 

strike price $90.25, expires 9/17/07

 

 

 

8,412

 

1,483

 

strike price $91.25, expires 6/18/07

 

 

 

9,269

 

1,544

 

strike price $91.75, expires 3/19/07

 

 

 

9,650

 

55

 

strike price $93, expires 12/18/06

 

 

 

344

 

408

 

strike price $93.25, expires 12/18/06

 

 

 

2,550

 

Total Options Purchased (cost-$45,942)

 

 

 

30,225

 

 

 

 

 

 

 

Total Investments before options written
(cost-$2,749,265,742) – 100.2%

 

 

 

2,798,604,410

 

 

 

 

 

 

 

OPTIONS WRITTEN (j) – (0.2)%

 

 

 

 

 

 

 

 

 

 

 

Call Options – (0.1)%

 

 

 

 

 

 

 

Swap Option 3 month LIBOR, Over the Counter,

 

 

 

 

 

21,400,000

 

strike rate 4.60%, expires 1/2/07

 

 

 

(10,422

)

 

 

U.S. Treasury Bond Futures, Chicago Board of Trade,

 

 

 

 

 

2,088

 

strike price $115, expires 2/23/07

 

 

 

(1,729,125

)

 

 

U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade,

 

 

 

 

 

1,752

 

strike price $111, expires 2/23/07

 

 

 

(492,750

)

 

 

 

 

 

 

(2,232,297

)

 

 

 

 

 

 

 

 

Put Options – (0.1)%

 

 

 

 

 

 

 

Swap Option 3 month LIBOR, Over the Counter,

 

 

 

 

 

21,400,000

 

strike rate 5.90%, expires 1/2/07

 

 

 

(6,420

)

 

 

U.S. Treasury Bond Futures, Chicago Board of Trade,

 

 

 

 

 

2,088

 

strike price $110, expires 2/23/07

 

 

 

(1,892,250

)

 

 

U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade,

 

 

 

 

 

2,250

 

strike price $105, expires 11/21/06

 

 

 

(70,312

)

1,752

 

strike price $106, expires 2/23/07

 

 

 

(684,375

)

 

 

 

 

 

 

(2,653,357

)

Total Options Written (premiums received-$5,689,025)

 

 

 

(4,885,654

)

 

 

 

 

 

 

Total Investments net of options written
(cost-$2,743,576,717) – 100.0%

 

 

 

$

2,793,718,756

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9.30.06 | PIMCO High Income Fund Semi-Annual Report 11

 


 

PIMCO High Income Fund Schedule of Investments

September 30, 2006 (unaudited) (continued)

 

 

Notes to Schedule of Investments:

(a)   Private Placement. Restricted as to resale and may not have a readily available market.

(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.

(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)   Delayed-delivery security. To be settled/delivered after September 30, 2006.

(f)    Security in default.

(g)   Fair-valued security. Securities with an aggregate value of $136,595,313, which represents 4.89% of total investments, have been fair valued.

(h)   Credit-linked trust certificate.

(i)    All or partial amount segregated as collateral for futures contracts and/or written options.

(j)    Non-income producing.

(k)   All or partial amount segregated as collateral for reverse repurchase agreements.

 

 

 

Glossary:

£

-

British Pound Sterling

-

Euros

LIBOR

-

London Inter-Bank Offered Rate

NR

-

Not Rated

REIT

-

Real Estate Investment Trust

UNIT

-

More than one class of securities traded together.

VRN

-

Variable Rate Note. The interest rate disclosed reflects the rate in effect on September 30, 2006.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12 PIMCO High Income Fund Semi-Annual Report | 9.30.06 | See accompanying Notes to Financial Statements.

 


 

PIMCO High Income Fund Statement of Assets and Liabilities

September 30, 2006 (unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

Investments, at value (cost-$2,749,265,742)

 

$

2,798,604,410

 

Cash (including foreign currency of $19,890,682 with a cost of $19,890,731)

 

23,400,406

 

Receivable for investments sold

 

231,038,055

 

Unrealized appreciation on swaps

 

158,149,919

 

Interest receivable

 

55,098,012

 

Premium for swaps purchased

 

49,455,256

 

Premium receivable for swaps written

 

1,739,612

 

Unrealized appreciation of forward foreign currency contracts

 

204,603

 

Prepaid expenses

 

91,612

 

Total Assets

 

3,317,781,885

 

 

 

 

 

Liabilities:

 

 

 

Payable for investments purchased

 

379,820,868

 

Unrealized depreciation on swaps

 

165,618,006

 

Due to broker for sold reverse repurchase agreements

 

74,100,000

 

Payable for reverse repurchase agreements

 

47,175,000

 

Premium payable for swaps written

 

37,605,430

 

Dividends payable to common and preferred shareholders

 

16,026,504

 

Options written, at value (premiums received - $5,689,025)

 

4,885,654

 

Investment management fees payable

 

1,490,818

 

Interest payable on reverse repurchase agreements

 

1,452,565

 

Unrealized depreciation of forward foreign currency contracts

 

1,182,011

 

Accrued expenses

 

470,287

 

Payable for variation margin on futures contracts

 

387,863

 

Premium payable for swaps purchased

 

260,997

 

Total Liabilities

 

730,476,003

 

Preferred shares ($25,000 net asset and liquidation value per share applicable to an aggregate of 36,000 shares issued and outstanding)

 

900,000,000

 

Net Assets Applicable to Common Shareholders

 

$

1,687,305,882

 

 

 

 

 

Composition of Net Assets Applicable to Common Shareholders:

 

 

 

Common Stock:

 

 

 

Par value ($0.00001 per share, applicable to 114,943,917 shares issued and outstanding)

 

$

1,149

 

Paid-in-capital in excess of par

 

1,635,602,665

 

Dividends in excess of net investment income

 

(11,316,711

)

Accumulated net realized gain

 

17,762,073

 

Net unrealized appreciation of investments, futures contracts, options written, swaps and foreign currency transactions

 

45,256,706

 

Net Assets Applicable to Common Shareholders

 

$

1,687,305,882

 

Net Asset Value Per Common Share

 

 

$14.68

 

 

 

See accompanying Notes to Financial Statements. | 9.30.06 | PIMCO High Income Fund Semi-Annual Report 13

 


 

PIMCO High Income Fund Statement of Operations

For the six months ended September 30, 2006 (unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

Investment Income:

 

 

 

Interest (net of foreign withholding taxes of $5,205)

 

$

107,163,102

 

Dividends

 

979,952

 

Facility and other fee income

 

646,209

 

Total Investment Income

 

108,789,263

 

 

 

 

 

Expenses:

 

 

 

Investment management fees

 

9,066,983

 

Interest expense on reverse repurchase agreements