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UNITED STATES |
OMB APPROVAL |
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OMB
Number: 3235-0578 |
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FORM N-Q |
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
811-21311 |
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PIMCO High Income Fund |
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(Exact name of registrant as specified in charter) |
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1345 Avenue of the Americas New York, New York |
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10105 |
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(Address of principal executive offices) |
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(Zip code) |
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Lawrence G. Altadonna 1345 Avenue of the Americas New York, New York 10105 |
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(Name and address of agent for service) |
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Registrant's telephone number, including area code: |
212-739-3371 |
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Date of fiscal year end: |
March 31, 2007 |
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Date of reporting period: |
December 31, 2006 |
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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 |
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Amount |
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Credit Rating |
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(000) |
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(Moodys/S&P) |
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Value* |
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CORPORATE BONDS & NOTES89.1% |
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Aerospace0.2% |
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$ |
5,600 |
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Armor Holdings, Inc., 8.25%, 8/15/13 |
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B1/B+ |
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$ |
5,852,000 |
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Airlines1.1% |
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8,760 |
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American Airlines, Inc., pass thru certificates, 8.608%, 10/1/12 (k) |
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Baa3/BB+ |
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9,312,975 |
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Continental Airlines, Inc., pass thru certificates, |
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14,508 |
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6.92%, 4/2/13, 97-5A 9 (a)(b)(g) |
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NR/NR |
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14,594,284 |
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4,105 |
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7.373%, 6/15/17, Ser. 01-1 |
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Ba1/BB+ |
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4,168,908 |
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1,917 |
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8.307%, 10/2/19, Ser. 00-2 |
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Ba2/BB- |
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1,985,225 |
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333 |
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United
Air Lines, Inc., pass thru certificates, |
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Aaa/BBB |
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337,605 |
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30,398,997 |
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Automotive4.2% |
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10,450 |
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Arvin Capital I, 9.50%, 2/1/27 |
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B-/B |
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10,672,062 |
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15,475 |
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ArvinMeritor, Inc., 8.75%, 3/1/12 |
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BB-/BB- |
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15,977,937 |
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5,375 |
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Cooper-Standard Automotive, Inc., 7.00%, 12/15/12 |
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CCC+/B- |
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4,850,938 |
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15,750 |
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Ford Motor Co., 7.45%, 7/16/31 |
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CCC+/Caa1 |
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12,442,500 |
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General Motors Corp., |
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8,000 |
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7.20%, 1/15/11 |
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Caa1/B- |
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7,780,000 |
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7,200 |
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8.25%, 7/15/23 |
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Caa1/B- |
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6,732,000 |
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Goodyear Tire & Rubber Co., |
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12,300 |
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9.00%, 7/1/15 |
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B3/B- |
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12,945,750 |
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7,000 |
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11.00%, 3/1/11 |
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B3/B- |
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7,770,000 |
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Tenneco Automotive, Inc., |
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14,000 |
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8.625%, 11/15/14 |
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B3/B |
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14,350,000 |
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14,025 |
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10.25%, 7/15/13, Ser. B |
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Aa3/B |
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15,427,500 |
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8,245 |
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TRW Automotive, Inc., 9.375%, 2/15/13 |
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Ba3/BB- |
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8,883,988 |
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117,832,675 |
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Building/Construction0.3% |
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5,000 |
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Ahern Rentals, Inc., 9.25%, 8/15/13 |
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B-/B- |
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5,237,500 |
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2,150 |
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Building Materials Corp. of America, 8.00%, 12/1/08 |
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B+/B3 |
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2,252,125 |
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7,489,625 |
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Chemicals3.4% |
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ARCO Chemical Co., |
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3,808 |
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9.80%, 2/1/20 |
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Ba3/B+ |
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4,417,280 |
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2,000 |
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10.25%, 11/1/10 |
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Ba3/B+ |
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2,220,000 |
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15,000 |
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Equistar Chemicals L.P., 10.125%, 9/1/08 |
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B1/BB- |
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16,012,500 |
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21,925 |
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Ineos Group Holdings PLC, 8.50%, 2/15/16 (d) |
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B2/B- |
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21,048,000 |
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Lyondell Chemical Co., |
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4,150 |
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8.00%, 9/15/14 |
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B+/B+ |
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4,326,375 |
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3,825 |
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8.25%, 9/15/16 |
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B+/B+ |
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4,035,375 |
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15,300 |
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Nalco Co., 8.875%, 11/15/13 |
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Caa1/B- |
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16,275,375 |
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13,660 |
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PQ Corp., 7.50%, 2/15/13 |
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B1/B- |
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13,523,400 |
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1,450 |
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Rhodia S.A., 6.242%, 10/15/13, FRN (d) |
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B2/B- |
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1,910,323 |
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$ |
10,500 |
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Rockwood Specialties Group, Inc., 7.50%, 11/15/14 |
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B3/B- |
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10,631,250 |
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94,399,878 |
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Commercial Products1.4% |
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19,800 |
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Hertz Corp., 8.875%, 1/1/14 (d) |
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B1/B |
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20,839,500 |
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18,000 |
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Reynolds American, Inc., 7.75%, 6/1/18 |
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BB/Ba3 |
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19,197,936 |
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40,037,436 |
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Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moodys/S&P) |
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Value* |
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Computer Services1.3% |
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SunGard Data Systems, Inc., |
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$ |
18,306 |
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9.125%, 8/15/13 |
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Caa1/B- |
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$ |
19,312,830 |
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17,000 |
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10.25%, 8/15/15 |
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Aaa/B- |
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18,232,500 |
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37,545,330 |
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Computer Software0.4% |
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9,500 |
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UGS Corp., 10.00%, 6/1/12 |
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B3/B- |
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10,402,500 |
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Consumer Products0.7% |
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Buhrmann US, Inc., |
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500 |
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7.875%, 3/1/15 |
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B2/B |
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490,000 |
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6,875 |
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8.25%, 7/1/14 |
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B2/B |
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6,857,812 |
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11,550 |
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NPC International, Inc., 9.50%, 5/1/14 |
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B-/CAA1 |
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11,896,500 |
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19,244,312 |
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Consumer Services0.5% |
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13,900 |
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Education Management Corp., 10.25%, 6/1/16 (d) |
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Caa1/CCC+ |
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14,768,750 |
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Containers & Packaging1.9% |
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Crown Americas LLC, |
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2,475 |
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7.625%, 11/15/13 |
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B/B |
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2,561,625 |
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5,650 |
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7.75%, 11/15/15 |
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B/B |
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5,890,125 |
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Jefferson Smurfit Corp., |
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11,200 |
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7.50%, 6/1/13 |
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B2/CCC+ |
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10,584,000 |
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10,263 |
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8.25%, 10/1/12 |
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B2/CCC+ |
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10,057,740 |
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Smurfit-Stone Container, |
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9,000 |
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8.375%, 7/1/12 |
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B2/CCC+ |
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8,865,000 |
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15,338 |
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9.75%, 2/1/11 |
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B2/CCC+ |
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15,894,003 |
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53,852,493 |
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Diversified Manufacturing0.0% |
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1,000 |
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Quiksilver, Inc., 6.875%, 4/15/15 |
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Ba3/BB- |
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987,500 |
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Electronics2.0% |
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Freescale Semi-conductor, Inc. (d), |
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19,925 |
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8.875%, 12/15/14 |
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B/B1 |
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19,949,906 |
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5,000 |
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10.125%, 12/15/16 |
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B/B2 |
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5,031,250 |
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12,750 |
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Sanmina-SCI Corp., 8.125%, 3/1/16 |
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B-/B2 |
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12,399,375 |
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13,600 |
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Sensata Technologies BV, 8.00%, 5/1/14 (d) |
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NR/B- |
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13,124,000 |
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6,400 |
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Solectron Global Finance Ltd., 8.00%, 3/15/16 (k) |
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B/B3 |
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6,512,000 |
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57,016,531 |
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Energy0.9% |
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2,000 |
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NRG Energy, Inc., 7.375%, 2/1/16 |
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B1/B- |
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2,015,000 |
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Reliant Energy, Inc., |
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7,025 |
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9.25%, 7/15/10 |
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B2/B |
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7,411,375 |
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15,525 |
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9.50%, 7/15/13 |
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B2/B |
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16,728,188 |
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26,154,563 |
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Financial Services17.9% |
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30,675 |
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AES Ironwood LLC, 8.857%, 11/30/25 |
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B2/B+ |
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34,586,372 |
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7,954 |
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AES Red Oak LLC, 8.54%, 11/30/19, Ser. A |
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B2/B+ |
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8,689,472 |
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25,091 |
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BCP Crystal U.S. Holding Corp., 9.625%, 6/15/14 |
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B3/B |
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27,851,010 |
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17,700 |
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Bluewater Finance Ltd., 10.25%, 2/15/12 |
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B2/B- |
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18,629,250 |
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Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moodys/S&P) |
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Value* |
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Financial Services(continued) |
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$ |
5,000 |
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Buffalo Thunder Development Authority, 9.375%, 12/15/14 (d) |
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B/B2 |
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$ |
5,100,000 |
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7,700 |
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Chukchansi Economic Development Authority, 8.00%, 11/15/13 (d) |
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B2/BB- |
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8,036,875 |
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9,977 |
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Consolidated Communications Holdings, 9.75%, 4/1/12 |
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B3/B |
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10,725,275 |
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Ford Motor Credit Co., |
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5,000 |
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7.00%, 10/1/13 |
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BB+/B |
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4,781,175 |
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30,000 |
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7.375%, 2/1/11 |
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B1/B |
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29,724,000 |
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81,100 |
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8.00%, 12/15/16 |
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B/B1 |
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80,274,321 |
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10,000 |
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8.11%, 1/13/12, FRN |
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B/B1 |
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9,921,350 |
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General Motors Acceptance Corp., |
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10,000 |
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7.25%, 3/2/11 |
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BB+/BB |
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10,408,620 |
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9,100 |
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8.00%, 11/1/31 |
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BB+/BB |
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10,477,749 |
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8,000 |
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Idearc, Inc., 8.00%, 11/15/16 (d) |
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B2/B+ |
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8,160,000 |
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JET Equipment Trust (d)(f), |
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192 |
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7.63%, 8/15/12, Ser. 95-B (g) |
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NR/NR |
|
141,722 |
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282 |
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10.00%, 6/15/12, Ser. 94-A |
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NR/NR |
|
277,143 |
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36,270 |
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JSG Funding PLC, 9.625%, 10/1/12 |
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B3/B- |
|
38,627,550 |
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18,445 |
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KRATON Polymers LLC, 8.125%, 1/15/14 |
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B3/B- |
|
18,537,225 |
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£ |
3,000 |
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Royal Bank of Scotland PLC, 6.00%, 4/6/11 (b)(g) |
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NR/NR |
|
5,862,684 |
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$ |
11,000 |
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Sally Holdings LLC, 10.50%, 11/15/16 (d) |
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CCC+/Caa1 |
|
11,275,000 |
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|
115,776 |
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Targeted Return Index Securities Trust, 7.548%, 5/1/16, VRN (d)(h) |
|
B1/B+ |
|
118,343,680 |
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19,203 |
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Universal City Development Partners Ltd., 11.75%, 4/1/10 |
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B2/B- |
|
20,667,229 |
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||
8,030 |
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Universal City Florida Holding Co., 8.375%, 5/1/10 |
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B3/B- |
|
8,270,900 |
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||
|
10,200 |
|
UPC Holding BV, 8.625%, 1/15/14 |
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Aa3/CCC+ |
|
14,055,497 |
|
|
|
|
|
|
|
|
503,424,099 |
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|
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Food0.9% |
|
|
|
|
|
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$ |
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 |
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||
|
|
|
|
|
|
26,109,742 |
|
||
|
|
|
|
|
|
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Healthcare & Hospitals5.8% |
|
|
|
|
|
||||
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) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
||
Hotels/Gaming1.6% |
|
|
|
|
|
||||
$ |
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 |
|
||
|
|
|
|
|
|
|
|
||
Machinery0.1% |
|
|
|
|
|
||||
2,000 |
|
Chart Industries, Inc., 9.125%, 10/15/15 (d) |
|
B3/B- |
|
2,120,000 |
|
||
|
|
|
|
|
|
|
|
||
Manufacturing0.0% |
|
|
|
|
|
||||
783 |
|
Invensys PLC, 9.875%, 3/15/11 (d) |
|
B3/B- |
|
843,682 |
|
||
|
|
|
|
|
|
|
|
||
Medical Products0.8% |
|
|
|
|
|
||||
22,785 |
|
VWR International, Inc., 8.00%, 4/15/14 |
|
CCC+/B3 |
|
23,582,475 |
|
||
|
|
|
|
|
|
|
|
||
Miscellaneous3.3% |
|
|
|
|
|
||||
89,570 |
|
Dow
Jones CDX U.S. High Yield, 8.375%, 12/29/11, |
|
NR/NR |
|
91,634,588 |
|
||
|
|
|
|
|
|
|
|
||
Multi-Media4.5% |
|
|
|
|
|
||||
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 & Gas8.5% |
|
|
|
|
|
||||
$ |
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) |
|
|
|
(Moodys/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 Products4.0% |
|
|
|
|
|
||||
|
|
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/Publishing2.7% |
|
|
|
|
|
||||
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 Estate0.8% |
|
|
|
|
|
||||
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 |
|
||
|
|
|
|
|
|
|
|
||
Retail0.6% |
|
|
|
|
|
||||
16,400 |
|
Bon-Ton Stores, Inc., 10.25%, 3/15/14 |
|
B-/B- |
|
16,851,000 |
|
||
|
|
|
|
|
|
|
|
||
Telecommunications14.8% |
|
|
|
|
|
||||
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) |
|
|
|
(Moodys/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 |
|
||
|
|
|
|
|
|
|
|
||
Transportation0.3% |
|
|
|
|
|
||||
|
|
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 |
|
||
|
|
|
|
|
|
|
|
||
Utilities3.5% |
|
|
|
|
|
||||
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 Disposal0.7% |
|
|
|
|
|
||||
|
|
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% |
|
|
|
|
|
||||
Chemicals0.1% |
|
|
|
|
|
||||
1,800 |
|
Ineos Group Ltd., 7.611%, 10/7/12 |
|
|
|
1,809,000 |
|
||
Principal |
|
|
|
|
|
|
|
||
Amount |
|
|
|
|
|
|
|
||
(000) |
|
|
|
|
|
Value* |
|
||
Containers & Packaging0.3% |
|
|
|
|
|
||||
|
|
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 Services0.1% |
|
|
|
|
|
||||
|
1,200 |
|
UPC Holding BV, 7.75%, 1/15/14 |
|
|
|
1,594,249 |
|
|
|
|
|
|
|
|
|
|
||
Healthcare & Hospitals0.3% |
|
|
|
|
|
||||
$ |
9,452 |
|
HealthSouth Corp., 8.62%, 2/2/13 |
|
|
|
9,527,988 |
|
|
|
|
|
|
|
|
|
|
||
Oil & Gas0.7% |
|
|
|
|
|
||||
20,000 |
|
Ferrellgas L.P., 8.87%, 8/1/09 (g) |
|
|
|
20,764,873 |
|
||
|
|
|
|
|
|
|
|
||
Recreation0.2% |
|
|
|
|
|
||||
|
|
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 |
|
||
|
|
|
|
|
|
|
|
||
Telecommunications1.0% |
|
|
|
|
|
||||
|
|
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 |
|
||
|
|
|
|
|
|
|
|
||
Wholesale0.2% |
|
|
|
|
|
||||
|
|
Roundys, 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) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
||
|
|
|
|
|
|
|
|
||
MUNICIPAL BONDS & NOTES0.5% |
|
|
|
|
|
||||
California0.5% |
|
|
|
|
|
||||
|
|
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 SECURITIES0.2% |
|
|
|
|
|
||||
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 STOCK0.9% |
|
|
|
|
|
||||
|
|
|
|
|
|
||||
Shares |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||||
Financial Services0.9% |
|
|
|
|
|
||||
24,700 |
|
Fresenius Medical Care Capital Trust II, 7.875%, UNIT (j) |
|
B1/B+ |
|
25,194,000 |
|
||
|
|
|
|
|
|
|
|
||
Telecommunications0.0% |
|
|
|
|
|
||||
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 INVESTMENTS6.5% |
|
|
|
|
|
||||
|
|
|
|
|
|
||||
Principal |
|
|
|
|
|
|
|
||
Amount |
|
|
|
|
|
|
|
||
(000) |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||||
Sovereign Debt Obligations (e)4.8% |
|
|
|
|
|
||||
Germany4.8% |
|
|
|
|
|
||||
|
103,000 |
|
Bundesschatzanweisungen, 2.50%, 3/23/07 (cost$135,487,197) |
|
NR/NR |
|
135,466,519 |
|
|
|
|
|
|
|
|
|
|
||
Commercial Paper1.2% |
|
|
|
|
|
||||
Financial Services1.2% |
|
|
|
|
|
||||
$ |
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 Agreements0.0% |
|
|
|
|
|
||||
$ |
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)% |
|
|
|