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

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:    May 31, 2007
Estimated average burden hours per response........ 21.09

 

 

 

 

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, 2007

 

 

 

 

Date of reporting period:

December 31, 2006

 

 

Form N-Q is to be used by the registered management investment company, other than a small business investment company 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, 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. Schedule of Investments

 

PIMCO High Income Fund Schedule of Investments

December 31, 2006 (unaudited)

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

 

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES—89.1%

 

 

 

 

 

Aerospace—0.2%

 

 

 

 

 

$

5,600

 

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

 

B1/B+

 

$

5,852,000

 

 

 

 

 

 

 

 

 

Airlines—1.1%

 

 

 

 

 

8,760

 

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

 

Baa3/BB+

 

9,312,975

 

 

 

Continental Airlines, Inc., pass thru certificates,

 

 

 

 

 

14,508

 

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

 

NR/NR

 

14,594,284

 

4,105

 

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

 

Ba1/BB+

 

4,168,908

 

1,917

 

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

 

Ba2/BB-

 

1,985,225

 

333

 

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

 

Aaa/BBB

 

337,605

 

 

 

 

 

 

 

30,398,997

 

 

 

 

 

 

 

 

 

Automotive—4.2%

 

 

 

 

 

10,450

 

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

 

B-/B

 

10,672,062

 

15,475

 

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

 

BB-/BB-

 

15,977,937

 

5,375

 

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

 

CCC+/B-

 

4,850,938

 

15,750

 

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

 

CCC+/Caa1

 

12,442,500

 

 

 

General Motors Corp.,

 

 

 

 

 

8,000

 

7.20%, 1/15/11

 

Caa1/B-

 

7,780,000

 

7,200

 

8.25%, 7/15/23

 

Caa1/B-

 

6,732,000

 

 

 

Goodyear Tire & Rubber Co.,

 

 

 

 

 

12,300

 

9.00%, 7/1/15

 

B3/B-

 

12,945,750

 

7,000

 

11.00%, 3/1/11

 

B3/B-

 

7,770,000

 

 

 

Tenneco Automotive, Inc.,

 

 

 

 

 

14,000

 

8.625%, 11/15/14

 

B3/B

 

14,350,000

 

14,025

 

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

 

Aa3/B

 

15,427,500

 

8,245

 

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

 

Ba3/BB-

 

8,883,988

 

 

 

 

 

 

 

117,832,675

 

 

 

 

 

 

 

 

 

Building/Construction—0.3%

 

 

 

 

 

5,000

 

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

 

B-/B-

 

5,237,500

 

2,150

 

Building Materials Corp. of America, 8.00%, 12/1/08

 

B+/B3

 

2,252,125

 

 

 

 

 

 

 

7,489,625

 

 

 

 

 

 

 

 

 

Chemicals—3.4%

 

 

 

 

 

 

 

ARCO Chemical Co.,

 

 

 

 

 

3,808

 

9.80%, 2/1/20

 

Ba3/B+

 

4,417,280

 

2,000

 

10.25%, 11/1/10

 

Ba3/B+

 

2,220,000

 

15,000

 

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

 

B1/BB-

 

16,012,500

 

21,925

 

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

 

B2/B-

 

21,048,000

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

4,150

 

8.00%, 9/15/14

 

B+/B+

 

4,326,375

 

3,825

 

8.25%, 9/15/16

 

B+/B+

 

4,035,375

 

15,300

 

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

 

Caa1/B-

 

16,275,375

 

13,660

 

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

 

B1/B-

 

13,523,400

 

 1,450

 

Rhodia S.A., 6.242%, 10/15/13, FRN (d)

 

B2/B-

 

1,910,323

 

$

10,500

 

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

 

B3/B-

 

10,631,250

 

 

 

 

 

 

 

94,399,878

 

 

 

 

 

 

 

 

 

Commercial Products—1.4%

 

 

 

 

 

19,800

 

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

 

B1/B

 

20,839,500

 

18,000

 

Reynolds American, Inc., 7.75%, 6/1/18

 

BB/Ba3

 

19,197,936

 

 

 

 

 

 

 

40,037,436

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Computer Services—1.3%

 

 

 

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

$

18,306

 

9.125%, 8/15/13

 

Caa1/B-

 

$

19,312,830

 

17,000

 

10.25%, 8/15/15

 

Aaa/B-

 

18,232,500

 

 

 

 

 

 

 

37,545,330

 

 

 

 

 

 

 

 

 

Computer Software—0.4%

 

 

 

 

 

9,500

 

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

 

B3/B-

 

10,402,500

 

 

 

 

 

 

 

 

 

Consumer Products—0.7%

 

 

 

 

 

 

 

Buhrmann US, Inc.,

 

 

 

 

 

500

 

7.875%, 3/1/15

 

B2/B

 

490,000

 

6,875

 

8.25%, 7/1/14

 

B2/B

 

6,857,812

 

11,550

 

NPC International, Inc., 9.50%, 5/1/14

 

B-/CAA1

 

11,896,500

 

 

 

 

 

 

 

19,244,312

 

 

 

 

 

 

 

 

 

Consumer Services—0.5%

 

 

 

 

 

13,900

 

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

 

Caa1/CCC+

 

14,768,750

 

 

 

 

 

 

 

 

 

Containers & Packaging—1.9%

 

 

 

 

 

 

 

Crown Americas LLC,

 

 

 

 

 

2,475

 

7.625%, 11/15/13

 

B/B

 

2,561,625

 

5,650

 

7.75%, 11/15/15

 

B/B

 

5,890,125

 

 

 

Jefferson Smurfit Corp.,

 

 

 

 

 

11,200

 

7.50%, 6/1/13

 

B2/CCC+

 

10,584,000

 

10,263

 

8.25%, 10/1/12

 

B2/CCC+

 

10,057,740

 

 

 

Smurfit-Stone Container,

 

 

 

 

 

9,000

 

8.375%, 7/1/12

 

B2/CCC+

 

8,865,000

 

15,338

 

9.75%, 2/1/11

 

B2/CCC+

 

15,894,003

 

 

 

 

 

 

 

53,852,493

 

 

 

 

 

 

 

 

 

Diversified Manufacturing—0.0%

 

 

 

 

 

1,000

 

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

 

Ba3/BB-

 

987,500

 

 

 

 

 

 

 

 

 

Electronics—2.0%

 

 

 

 

 

 

 

Freescale Semi-conductor, Inc. (d),

 

 

 

 

 

19,925

 

8.875%, 12/15/14

 

B/B1

 

19,949,906

 

5,000

 

10.125%, 12/15/16

 

B/B2

 

5,031,250

 

12,750

 

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

 

B-/B2

 

12,399,375

 

13,600

 

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

 

NR/B-

 

13,124,000

 

6,400

 

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

 

B/B3

 

6,512,000

 

 

 

 

 

 

 

57,016,531

 

 

 

 

 

 

 

 

 

Energy—0.9%

 

 

 

 

 

2,000

 

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

 

B1/B-

 

2,015,000

 

 

 

Reliant Energy, Inc.,

 

 

 

 

 

7,025

 

9.25%, 7/15/10

 

B2/B

 

7,411,375

 

15,525

 

9.50%, 7/15/13

 

B2/B

 

16,728,188

 

 

 

 

 

 

 

26,154,563

 

 

 

 

 

 

 

 

 

Financial Services—17.9%

 

 

 

 

 

30,675

 

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

 

B2/B+

 

34,586,372

 

7,954

 

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

 

B2/B+

 

8,689,472

 

25,091

 

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

 

B3/B

 

27,851,010

 

17,700

 

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

 

B2/B-

 

18,629,250

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services—(continued)

 

 

 

 

 

$

5,000

 

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

 

B/B2

 

$

5,100,000

 

7,700

 

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

 

B2/BB-

 

8,036,875

 

9,977

 

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

 

B3/B

 

10,725,275

 

 

 

Ford Motor Credit Co.,

 

 

 

 

 

5,000

 

7.00%, 10/1/13

 

BB+/B

 

4,781,175

 

30,000

 

7.375%, 2/1/11

 

B1/B

 

29,724,000

 

81,100

 

8.00%, 12/15/16

 

B/B1

 

80,274,321

 

10,000

 

8.11%, 1/13/12, FRN

 

B/B1

 

9,921,350

 

 

 

General Motors Acceptance Corp.,

 

 

 

 

 

10,000

 

7.25%, 3/2/11

 

BB+/BB

 

10,408,620

 

9,100

 

8.00%, 11/1/31

 

BB+/BB

 

10,477,749

 

8,000

 

Idearc, Inc., 8.00%, 11/15/16 (d)

 

B2/B+

 

8,160,000

 

 

 

JET Equipment Trust (d)(f),

 

 

 

 

 

192

 

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

 

NR/NR

 

141,722

 

282

 

10.00%, 6/15/12, Ser. 94-A

 

NR/NR

 

277,143

 

36,270

 

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

 

B3/B-

 

38,627,550

 

18,445

 

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

 

B3/B-

 

18,537,225

 

£

3,000

 

Royal Bank of Scotland PLC, 6.00%, 4/6/11 (b)(g)

 

NR/NR

 

5,862,684

 

$

11,000

 

Sally Holdings LLC, 10.50%, 11/15/16 (d)

 

CCC+/Caa1

 

11,275,000

 

115,776

 

Targeted Return Index Securities Trust, 7.548%, 5/1/16, VRN (d)(h)

 

B1/B+

 

118,343,680

 

19,203

 

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

 

B2/B-

 

20,667,229

 

8,030

 

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

 

B3/B-

 

8,270,900

 

 10,200

 

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

 

Aa3/CCC+

 

14,055,497

 

 

 

 

 

 

 

503,424,099

 

 

 

 

 

 

 

 

 

Food—0.9%

 

 

 

 

 

$

1

 

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

 

B-/B

 

805

 

24,926

 

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

 

B3/B

 

26,108,937

 

 

 

 

 

 

 

26,109,742

 

 

 

 

 

 

 

 

 

Healthcare & Hospitals—5.8%

 

 

 

 

 

9,000

 

CDRV Investors, Inc., 9.86%, 12/1/11, FRN (b)(d)

 

CCC+/Caa1

 

8,820,000

 

8,000

 

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

 

B3/B

 

8,200,000

 

4,950

 

Encore Medical Finance LLC, 11.75%, 11/15/14 (d)

 

CCC+/Caa1

 

4,937,625

 

 

 

HCA, Inc.,

 

 

 

 

 

1,206

 

6.25%, 2/15/13

 

B-/Caa1

 

1,070,325

 

10,625

 

6.75%, 7/15/13

 

B-/Caa1

 

9,562,500

 

1,500

 

7.19%, 11/15/15

 

Ba2/B-

 

1,294,101

 

10,975

 

7.50%, 12/15/23

 

B-/Caa1

 

8,985,441

 

4,130

 

7.58%, 9/15/25

 

B-/Caa1

 

3,381,115

 

4,600

 

7.69%, 6/15/25

 

B-/Caa1

 

3,830,429

 

2,000

 

8.36%, 4/15/24

 

Caa1/B-

 

1,769,648

 

20,615

 

9.00%, 12/15/14

 

Caa1/B-

 

20,085,648

 

3,000

 

9.25%, 11/15/16 (d)

 

BB-/B2

 

3,221,250

 

21,450

 

9.625%, 11/15/16 (d)

 

BB-/B2

 

23,112,375

 

6,700

 

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

 

Caa1/CCC+

 

7,152,250

 

19,990

 

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

 

Caa3/CC

 

19,690,150

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

 

15,206

 

7.375%, 2/1/13

 

Caa1/CCC+

 

14,046,543

 

22,925

 

9.875%, 7/1/14

 

Aa3/CCC+

 

23,440,813

 

 

 

 

 

 

 

162,600,213

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Hotels/Gaming—1.6%

 

 

 

 

 

$

2,000

 

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

 

B3/B-

 

$

2,085,000

 

5,000

 

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

 

B3/B-

 

5,125,000

 

19,279

 

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

 

B1/B+

 

20,724,925

 

8,948

 

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

 

Caa1/CCC

 

9,261,180

 

3,500

 

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

 

B-/Ba3

 

3,158,750

 

4,075

 

Tropicana Entertainment, 9.625%, 12/15/14 (d)

 

CCC+/B3

 

4,054,625

 

 

 

 

 

 

 

44,409,480

 

 

 

 

 

 

 

 

 

Machinery—0.1%

 

 

 

 

 

2,000

 

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

 

B3/B-

 

2,120,000

 

 

 

 

 

 

 

 

 

Manufacturing—0.0%

 

 

 

 

 

783

 

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

 

B3/B-

 

843,682

 

 

 

 

 

 

 

 

 

Medical Products—0.8%

 

 

 

 

 

22,785

 

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

 

CCC+/B3

 

23,582,475

 

 

 

 

 

 

 

 

 

Miscellaneous—3.3%

 

 

 

 

 

89,570

 

Dow Jones CDX U.S. High Yield, 8.375%, 12/29/11,
Ser. 7-T1 (d)(h)(k)

 

NR/NR

 

91,634,588

 

 

 

 

 

 

 

 

 

Multi-Media—4.5%

 

 

 

 

 

3,000

 

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

 

BB-/BB-

 

3,315,000

 

5,600

 

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

 

B3/B+

 

5,530,000

 

39,300

 

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

 

Caa1/CCC-

 

41,019,375

 

10,000

 

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

 

CCC-/CCC-

 

10,312,500

 

14,325

 

Charter Communications Operating LLC, 8.375%, 4/30/14 (d)

 

B3/B-

 

15,023,344

 

 

 

CSC Holdings, Inc.,

 

 

 

 

 

6,300

 

7.625%, 7/15/18

 

B2/B+

 

6,166,125

 

4,485

 

7.875%, 2/15/18, Ser. B

 

B2/B+

 

4,496,212

 

2,000

 

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

 

B2/B+

 

2,082,500

 

4,000

 

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

 

Ba3/BB-

 

4,180,000

 

4,750

 

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

 

Caa2/CCC+

 

4,637,188

 

 6,370

 

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

 

Aa2/B

 

9,229,285

 

$

12,000

 

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

 

Ba2/BB+

 

14,640,000

 

 3,735

 

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

 

B2/B-

 

5,429,989

 

 

 

 

 

 

 

126,061,518

 

 

 

 

 

 

 

 

 

Oil & Gas—8.5%

 

 

 

 

 

$

18,000

 

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

 

B-/B-

 

18,990,000

 

 

 

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

 

 

 

 

 

1,050

 

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

 

Ba3/B

 

1,074,281

 

25,500

 

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

 

Ba3/B

 

26,440,312

 

 

 

El Paso Corp.,

 

 

 

 

 

29,150

 

7.80%, 8/1/31

 

B+/B

 

31,992,125

 

27,850

 

8.05%, 10/15/30

 

B+/B

 

31,052,750

 

19,615

 

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

 

B1/B+

 

20,620,269

 

14,325

 

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

 

B2/B-

 

14,754,750

 

 

 

Hanover Compressor Co.,

 

 

 

 

 

7,585

 

8.625%, 12/15/10

 

B3/B

 

7,964,250

 

1,550

 

9.00%, 6/1/14

 

B2/B

 

1,681,750

 

12,028

 

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

 

B2/B+

 

12,238,490

 

7,000

 

OPTI Canada, Inc., 8.25%, 12/15/14 (d)

 

BB/B1

 

7,227,500

 

4,000

 

Pogo Producing Co., 7.875%, 5/1/13

 

B+/B1

 

4,080,000

 

16,375

 

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

 

B1/NR

 

16,538,750

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Oil & Gas—(continued)

 

 

 

 

 

$

3,000

 

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

 

B+/B

 

$

3,075,000

 

37,726

 

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

 

Ba2/BB-

 

40,649,765

 

 

 

 

 

 

 

238,379,992

 

 

 

 

 

 

 

 

 

Paper/Paper Products—4.0%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc.,

 

 

 

 

 

6,500

 

8.375%, 4/1/15

 

B2/B+

 

5,655,000

 

8,525

 

8.55%, 8/1/10

 

B2/B+

 

8,141,375

 

14,159

 

8.85%, 8/1/30

 

B1/B+

 

11,681,175

 

16,250

 

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

 

B2/B+

 

16,006,250

 

2,200

 

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

 

B1/B+

 

2,211,000

 

8,750

 

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

 

BB-/BB-

 

8,771,875

 

 

 

Georgia-Pacific Corp.,

 

 

 

 

 

4,550

 

7.75%, 11/15/29

 

B2/B

 

4,561,375

 

27,775

 

8.00%, 1/15/24

 

B2/B

 

28,330,500

 

13,750

 

8.875%, 5/15/31

 

B2/B

 

14,609,375

 

 

 

Verso Paper Holdings LLC (d),

 

 

 

 

 

5,700

 

9.125%, 8/1/14

 

Aaa/B+

 

5,970,750

 

5,000

 

11.375%, 8/1/16

 

Aaa/B-

 

5,275,000

 

 

 

 

 

 

 

111,213,675

 

 

 

 

 

 

 

 

 

Printing/Publishing—2.7%

 

 

 

 

 

17,631

 

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

 

B2/B

 

19,305,945

 

1,000

 

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

 

B3e/NR

 

941,977

 

7,000

 

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

 

Ba2/CCC+

 

7,621,250

 

10,477

 

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

 

B-/B

 

10,738,925

 

33,335

 

RH Donnelley Corp., 8.875%, 1/15/16, Ser. A-3

 

B3/B

 

35,168,425

 

2,000

 

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

 

B2/B

 

2,190,000

 

 

 

 

 

 

 

75,966,522

 

 

 

 

 

 

 

 

 

Real Estate—0.8%

 

 

 

 

 

10,000

 

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

 

B2/BB-

 

10,212,500

 

8,000

 

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

 

Ba1/BB+

 

9,538,440

 

3,900

 

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

 

NR/BB

 

4,007,250

 

 

 

 

 

 

 

23,758,190

 

 

 

 

 

 

 

 

 

Retail—0.6%

 

 

 

 

 

16,400

 

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

 

B-/B-

 

16,851,000

 

 

 

 

 

 

 

 

 

Telecommunications—14.8%

 

 

 

 

 

14,075

 

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

 

B3/CCC

 

14,954,687

 

14,555

 

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

 

B3/CCC

 

15,009,844

 

31,800

 

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

 

B2/B-

 

32,833,500

 

12,000

 

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

 

Ba2/BB+

 

13,080,000

 

11,300

 

Cricket Communications, Inc., 9.375%, 11/1/14 (d)

 

CCC/Caa2

 

11,978,000

 

 

 

Hawaiian Telcom Communications, Inc., Ser. B,

 

 

 

 

 

12,225

 

9.75%, 5/1/13 (k)

 

B3/CCC+

 

12,316,687

 

7,000

 

12.50%, 5/1/15

 

Caa1/CCC+

 

7,367,500

 

 

 

Intelsat Bermuda Ltd. (d),

 

 

 

 

 

20,000

 

9.25%, 6/15/16

 

B2/B+

 

21,600,000

 

13,000

 

11.25%, 6/15/16

 

Caa1/B

 

14,332,500

 

18,250

 

Intelsat Subsidiary Holding Co., Ltd., 8.625%, 1/15/15

 

B2/B+

 

19,071,250

 

8,850

 

MetroPCS Wireless, Inc., 9.25%, 11/1/14 (b)(d)

 

CCC/Caa2

 

9,292,500

 

8,600

 

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

 

B2/B

 

9,245,000

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Telecommunications—(continued)

 

 

 

 

 

 

 

Nortel Networks Ltd. (d),

 

 

 

 

 

$

13,000

 

10.125%, 7/15/13

 

B1/B-

 

$

14,105,000

 

2,000

 

10.75%, 7/15/16

 

B-/B3

 

2,197,500

 

14,625

 

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

 

Ba2/BB

 

13,455,000

 

 

 

Qwest Capital Funding, Inc.,

 

 

 

 

 

9,200

 

7.25%, 2/15/11

 

B+/B1

 

9,441,500

 

44,000

 

7.90%, 8/15/10

 

B+/B

 

46,035,000

 

 

 

Qwest Communications International, Inc.,

 

 

 

 

 

14,625

 

7.50%, 2/15/14

 

B+/B

 

15,136,875

 

23,225

 

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

 

B+/Ba3

 

24,037,875

 

 

 

Qwest Corp.,

 

 

 

 

 

1,250

 

7.50%, 6/15/23

 

BB+/Ba1

 

1,265,625

 

1,175

 

7.625%, 6/15/15

 

BB+/Ba1

 

1,263,125

 

10,450

 

8.875%, 3/15/12

 

BB+/BB

 

11,690,938

 

3,000

 

8.875%, 6/1/31

 

BB+/Ba1

 

3,142,500

 

18,020

 

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

 

NR/CCC

 

19,258,875

 

9,400

 

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

 

Caa2/CCC-

 

9,047,500

 

12,400

 

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

 

B3/B

 

12,958,000

 

24,975

 

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

 

B3/CCC+

 

26,816,906

 

13,000

 

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

 

B2/B-

 

14,852,500

 

9,000

 

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

 

Ba3/BB-

 

9,900,000

 

 

 

 

 

 

 

415,686,187

 

 

 

 

 

 

 

 

 

Transportation—0.3%

 

 

 

 

 

 

 

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

 

 

 

 

 

2,400

 

9.375%, 5/1/12

 

NR/B-

 

2,574,000

 

5,000

 

12.50%, 6/15/12

 

B3/B-

 

5,425,000

 

 

 

 

 

 

 

7,999,000

 

 

 

 

 

 

 

 

 

Utilities—3.5%

 

 

 

 

 

16,850

 

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

 

Ba3/BB-

 

18,134,813

 

2,000

 

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

 

NR/B+

 

2,062,820

 

19,450

 

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

 

Baa3/BB+

 

22,464,750

 

 

 

Midwest Generation LLC, pass thru certificates,

 

 

 

 

 

19,534

 

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

 

Ba2/BB-

 

21,548,795

 

1,500

 

8.75%, 5/1/34

 

Ba2/B+

 

1,635,000

 

21,500

 

PSE&G Energy Holdings LLC, 8.50%, 6/15/11

 

Ba3/BB-

 

23,220,000

 

3,147

 

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

 

Ba2/B

 

3,434,428

 

6,942

 

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

 

NR/D

 

6,703,127

 

 

 

 

 

 

 

99,203,733

 

 

 

 

 

 

 

 

 

Waste Disposal—0.7%

 

 

 

 

 

 

 

Allied Waste North America, Inc.,

 

 

 

 

 

12,000

 

7.25%, 3/15/15

 

B2/BB-

 

12,075,000

 

6,823

 

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

 

B2/BB-

 

7,283,552

 

 

 

 

 

 

 

19,358,552

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Bonds & Notes (cost—$2,403,604,891)

 

 

 

2,505,185,238

 

 

 

 

 

 

 

 

 

SENIOR LOANS (a)(b)(c)—2.9%

 

 

 

 

 

Chemicals—0.1%

 

 

 

 

 

1,800

 

Ineos Group Ltd., 7.611%, 10/7/12

 

 

 

1,809,000

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

Value*

 

Containers & Packaging—0.3%

 

 

 

 

 

 

 

JSG Packaging,

 

 

 

 

 

 1,049

 

5.741%, 11/29/13, Term B

 

 

 

$

1,395,501

 

 431

 

5.964%, 1/12/13, Term B

 

 

 

572,548

 

 287

 

6.118%, 1/12/13, Term B

 

 

 

381,699

 

 324

 

6.157%, 1/12/13, Term B

 

 

 

430,597

 

 559

 

6.186%, 1/12/13, Term B

 

 

 

743,418

 

 431

 

6.464%, 1/12/14, Term C

 

 

 

572,225

 

 287

 

6.494%, 1/12/14, Term C

 

 

 

381,483

 

 324

 

6.657%, 1/12/14, Term C

 

 

 

430,354

 

 559

 

6.686%, 1/12/14, Term C

 

 

 

746,286

 

 1,049

 

6.835%, 11/29/14, Term C

 

 

 

1,400,888

 

$

750

 

7.745%, 11/29/13, Term B

 

 

 

755,539

 

750

 

8.245%, 11/29/14, Term C

 

 

 

755,114

 

 

 

 

 

 

 

8,565,652

 

 

 

 

 

 

 

 

 

Financial Services—0.1%

 

 

 

 

 

 1,200

 

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

 

 

 

1,594,249

 

 

 

 

 

 

 

 

 

Healthcare & Hospitals—0.3%

 

 

 

 

 

$

9,452

 

HealthSouth Corp., 8.62%, 2/2/13

 

 

 

9,527,988

 

 

 

 

 

 

 

 

 

Oil & Gas—0.7%

 

 

 

 

 

20,000

 

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

 

 

 

20,764,873

 

 

 

 

 

 

 

 

 

Recreation—0.2%

 

 

 

 

 

 

 

Amadeus Global Travel,

 

 

 

 

 

 2,699

 

5.974%, 4/8/12, Term A

 

 

 

3,564,660

 

$

1,250

 

8.114%, 4/8/13, Term B2

 

 

 

1,260,872

 

1,250

 

8.614%, 4/8/14, Term C2

 

 

 

1,265,690

 

 

 

 

 

 

 

6,091,222

 

 

 

 

 

 

 

 

 

Telecommunications—1.0%

 

 

 

 

 

 

 

Nordic Telephone,

 

 

 

 

 

 2,300

 

8.25%, 5/1/16 (d)

 

 

 

3,351,350

 

 5,000

 

8.25%, 5/1/16

 

 

 

7,285,545

 

 

 

Nordic Telephone Co. Holdings ApS,

 

 

 

 

 

 3,200

 

5.939%, 11/30/14, Term B (g)

 

 

 

4,263,250

 

 3,200

 

6.439%, 11/30/14, Term C

 

 

 

4,281,893

 

$

2,000

 

NTL Investment, 7.36%, 1/6/13, Term B

 

 

 

2,010,416

 

 

 

Weather Investments SARL (e),

 

 

 

 

 

 3,000

 

5.505%, 6/17/12, Term A

 

 

 

3,963,369

 

 1,500

 

6.298%, 6/17/13, Term B (g)

 

 

 

1,987,249

 

 1,500

 

6.798%, 6/17/14, Term C

 

 

 

1,994,541

 

 

 

 

 

 

 

29,137,613

 

 

 

 

 

 

 

 

 

Wholesale—0.2%

 

 

 

 

 

 

 

Roundy’s, Inc.,

 

 

 

 

 

$

2,450

 

8.36%, 10/27/11

 

 

 

2,475,113

 

2,500

 

8.38%, 10/27/11

 

 

 

2,525,625

 

 

 

 

 

 

 

5,000,738

 

 

 

 

 

 

 

 

 

 

 

Total Senior Loans (cost—$78,738,396)

 

 

 

82,491,335

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

 

 

 

 

 

 

 

 

MUNICIPAL BONDS & NOTES—0.5%

 

 

 

 

 

California—0.5%

 

 

 

 

 

 

 

Los Angeles Community Redev. Agcy. Rev., Ser. H,

 

 

 

 

 

$

200

 

8.25%, 9/1/07

 

NR/NR

 

$

199,360

 

725

 

9.00%, 9/1/12

 

NR/NR

 

744,785

 

1,160

 

9.75%, 9/1/17

 

NR/NR

 

1,234,275

 

1,375

 

9.75%, 9/1/22

 

NR/NR

 

1,463,688

 

2,170

 

9.75%, 9/1/27

 

NR/NR

 

2,298,941

 

3,480

 

9.75%, 9/1/32

 

NR/NR

 

3,678,812

 

 

 

San Diego Redev. Agcy., Tax Allocation,

 

 

 

 

 

1,785

 

6.59%, 11/1/13

 

Baa3/NR

 

1,756,012

 

1,435

 

7.49%, 11/1/18

 

Baa3/NR

 

1,470,875

 

1,885

 

7.74%, 11/1/21

 

Baa3/NR

 

1,919,571

 

 

 

 

 

 

 

 

 

 

 

Total Municipal Bonds & Notes (cost—$14,694,739)

 

 

 

14,766,319

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—0.2%

 

 

 

 

 

3,250

 

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

 

Caa1/CCC

 

3,236,190

 

742

 

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

 

Caa1/B

 

831,222

 

 

 

 

 

 

 

 

 

 

 

Total Asset-Backed Securities (cost—$3,885,911)

 

 

 

4,067,412

 

 

 

 

 

 

 

 

 

PREFERRED STOCK—0.9%

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Services—0.9%

 

 

 

 

 

24,700

 

Fresenius Medical Care Capital Trust II, 7.875%, UNIT (j)

 

B1/B+

 

25,194,000

 

 

 

 

 

 

 

 

 

Telecommunications—0.0%

 

 

 

 

 

155,565

 

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

 

NR/NR

 

127,563

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

25,321,563

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—6.5%

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

 

 

 

 

 

 

 

Sovereign Debt Obligations (e)—4.8%

 

 

 

 

 

Germany—4.8%

 

 

 

 

 

 103,000

 

Bundesschatzanweisungen, 2.50%, 3/23/07 (cost—$135,487,197)

 

NR/NR

 

135,466,519

 

 

 

 

 

 

 

 

 

Commercial Paper—1.2%

 

 

 

 

 

Financial Services—1.2%

 

 

 

 

 

$

12,700

 

Danske Corp., 5.26%, 1/4/07

 

NR/NR

 

12,694,433

 

6,800

 

Rabobank USA Financial Corp., 5.28%, 1/2/07

 

A-1/A-1+

 

6,799,002

 

12,600

 

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

 

NR/NR

 

12,587,150

 

 

 

 

 

 

 

 

 

 

 

Total Commercial Paper (cost—$32,080,585)

 

 

 

32,080,585

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills (i)—0.5%

 

 

 

 

 

14,355

 

4.80%-4.87%,3/1/07-3/15/07 (cost—$14,221,024)

 

 

 

14,206,115

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

Value*

 

 

 

 

 

 

 

 

 

Repurchase Agreements—0.0%

 

 

 

 

 

$

29

 

State Street Bank & Trust Co., dated 12/29/06, 4.90%, due 1/2/07, proceeds $29,016; collateralized by Fannie Mae, 5.75%, due 2/15/08, valued at $30,830 including accrued interest (cost—$29,000)

 

 

 

$

29,000

 

 

 

 

 

 

 

 

 

 

 

Total Short-Term Investments (cost—$181,817,806)

 

 

 

181,782,219

 

 

 

 

 

 

 

 

 

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

 

 

 

3

 

1,483

 

strike price $91.25, expires 6/18/07

 

 

 

4

 

1,544

 

strike price $91.75, expires 3/19/07

 

 

 

4

 

 

 

 

 

 

 

 

 

 

 

Total Options Purchased (cost—$41,543)

 

 

 

11

 

 

 

 

 

 

 

 

 

 

 

Total Investments before options written

 

 

 

 

 

 

 

(cost—$2,708,940,559)—100.1%

 

 

 

2,813,614,097

 

 

 

 

 

 

 

 

 

OPTIONS WRITTEN (j)— (0.1)%