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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, 2009 |
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Date of reporting period: |
June 30, 2008 |
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Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 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
June 30, 2008 (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 & NOTES77.4% |
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Airlines0.9% |
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$8,760 |
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American Airlines, Inc., 8.608%, 10/1/12 |
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Baa3/BB+ |
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$8,015,400 |
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Continental Airlines, Inc., |
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11,425 |
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6.92%, 4/2/13 (a)(b)(g) |
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NR/NR |
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11,318,954 |
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3,732 |
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7.373%, 6/15/17 |
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Ba1/BB+ |
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3,097,427 |
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138 |
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United Air Lines, Inc., 6.602%, 3/1/15 |
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Ba2/BBB |
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136,871 |
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22,568,652 |
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Automotive3.5% |
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Allison Transmission (a)(d), |
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13,800 |
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11.00%, 11/1/15 |
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Caa1/B- |
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12,420,000 |
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4,000 |
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11.25%, 11/1/15, PIK |
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Caa1/B- |
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3,480,000 |
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ArvinMeritor, Inc., |
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5,300 |
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8.125%, 9/15/15 |
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B2/B |
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4,187,000 |
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18,700 |
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8.75%, 3/1/12 |
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B2/B |
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16,549,500 |
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1,000 |
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Cooper-Standard Automotive, Inc., 8.375%, 12/15/14 |
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Caa1/CCC+ |
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740,000 |
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Ford Motor Co., |
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5,000 |
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7.125%, 11/15/25 |
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Caa1/CCC+ |
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2,825,000 |
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10,350 |
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7.45%, 7/16/31 |
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Caa1/CCC+ |
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6,080,625 |
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5,900 |
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7.50%, 8/1/26 |
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Caa1/CCC+ |
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3,392,500 |
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5,000 |
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9.215%, 9/15/21 |
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Caa1/CCC+ |
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3,375,000 |
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General Motors Corp., |
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4,000 |
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8.10%, 6/15/24 |
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Caa1/B- |
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2,120,000 |
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1,300 |
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8.25%, 7/15/23 |
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Caa1/B- |
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763,750 |
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3,000 |
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8.80%, 3/1/21 |
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Caa1/B- |
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1,777,500 |
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20,000 |
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9.40%, 7/15/21 |
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Caa1/B- |
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12,500,000 |
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5,596 |
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Goodyear Tire & Rubber Co., 9.00%, 7/1/15 |
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Ba3/BB- |
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5,609,990 |
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Tenneco Automotive, Inc., |
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7,025 |
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8.625%, 11/15/14 |
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B3/B |
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6,234,688 |
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3,909 |
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10.25%, 7/15/13 |
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Ba3/BB |
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4,109,336 |
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86,164,889 |
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Building/Construction0.4% |
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11,985 |
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Ahern Rentals, Inc., 9.25%, 8/15/13 |
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B3/B+ |
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8,808,975 |
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2,000 |
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Grohe Holding GmbH, 8.625%, 10/1/14 |
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B3/CCC+ |
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2,355,447 |
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11,164,422 |
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Chemicals1.5% |
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$3,808 |
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ARCO Chemical Co., 9.80%, 2/1/20 |
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B3/B |
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3,046,400 |
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5,500 |
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Great Lakes Chemical Corp., 7.00%, 7/15/09 |
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Ba2/BB+ |
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5,527,500 |
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20,925 |
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Ineos Group Holdings PLC, 8.50%, 2/15/16 (a)(d) |
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B3/B- |
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13,862,812 |
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15,300 |
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Nalco Co., 8.875%, 11/15/13 |
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B3/B- |
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15,759,000 |
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38,195,712 |
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Commercial Products1.1% |
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28,910 |
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Hertz Corp., 8.875%, 1/1/14 |
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B1/BB- |
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26,597,200 |
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Computer Services2.4% |
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22,720 |
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First Data Corp., 9.875%, 9/24/15 (a)(d) |
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B3/B |
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19,794,800 |
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SunGard Data Systems, Inc., |
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21,556 |
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9.125%, 8/15/13 |
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Caa1/B+ |
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21,879,340 |
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17,000 |
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10.25%, 8/15/15 |
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Caa1/B- |
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17,170,000 |
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58,844,140 |
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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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Consumer Products0.9% |
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Buhrmann U.S., 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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$558,690 |
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6,875 |
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8.25%, 7/1/14 |
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B2/BB- |
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7,510,938 |
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16,400 |
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NPC International, Inc., 9.50%, 5/1/14 |
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Caa1/B- |
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14,268,000 |
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22,337,628 |
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Containers & Packaging0.5% |
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Berry Plastics Holding Corp., |
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1,000 |
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7.568%, 2/15/15, FRN |
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B1/BB- |
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962,500 |
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10,750 |
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8.875%, 9/15/14 |
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Caa1/B |
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9,352,500 |
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1,700 |
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10.25%, 3/1/16 |
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Caa2/CCC+ |
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1,283,500 |
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11,598,500 |
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Electronics1.3% |
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14,075 |
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Sanmina-SCI Corp., 8.125%, 3/1/16 |
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B3/B- |
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12,737,875 |
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20,375 |
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Sensata Technologies BV, 8.00%, 5/1/14 |
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B3/B- |
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18,846,875 |
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31,584,750 |
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Energy0.1% |
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2,000 |
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Enterprise Products Operating L.P., 8.375%, 8/1/66, FRN |
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Ba1/BB |
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2,003,946 |
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Financial Services18.2% |
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29,060 |
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AES Ironwood LLC, 8.857%, 11/30/25 |
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B1/B+ |
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30,295,128 |
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7,635 |
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AES Red Oak LLC, 8.54%, 11/30/19 |
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B1/BB- |
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7,959,460 |
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20,125 |
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American Express Co., 7.00%, 3/19/18 |
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A1/A+ |
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20,436,253 |
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4,800 |
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American International Group, Inc., 8.175%, 5/15/68, FRN (a) (d) |
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A1/A |
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4,534,234 |
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Bank of America Corp., FRN (i), |
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13,000 |
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8.00%, 1/30/18 |
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A1/A+ |
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12,210,120 |
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14,235 |
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8.125%, 5/15/18 |
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A1/A+ |
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13,473,570 |
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11,300 |
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Barclays Bank PLC, 7.70%, 4/25/18, FRN (a)(d)(i) |
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Aa2/A+ |
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11,554,126 |
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Bear Stearns Cos., Inc., FRN, |
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500 |
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2.839%, 5/18/10, |
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A1/A+ |
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488,276 |
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1,050 |
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3.129%, 1/31/11 |
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Baa1/AA- |
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1,019,589 |
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5,000 |
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Buffalo Thunder Development Authority, 9.375%, 12/15/14 (a)(d) |
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B2/B |
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3,375,000 |
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1,300 |
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Caelus Re Ltd., 8.923%, 6/7/11, FRN (a)(b)(d)(g) |
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NR/BB+ |
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1,299,805 |
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7,700 |
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Chukchansi Economic Development Authority, 8.00%, 11/15/13 (a) (b)(d) |
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B2/BB- |
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6,660,500 |
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37,175 |
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Citigroup, Inc., 8.40%, 4/30/18, FRN (i) |
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A2/A |
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35,385,395 |
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Ford Motor Credit Co. LLC, |
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10,000 |
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5.46%, 1/13/12, FRN |
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B1/B |
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7,113,180 |
|
83,805 |
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8.00%, 12/15/16 |
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B1/B |
|
61,057,306 |
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6,000 |
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12.00%, 5/15/15 |
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B1/B |
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5,290,500 |
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37,305 |
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General Motors Acceptance Corp. LLC, 8.00%, 11/1/31 |
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B1/B+ |
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24,337,073 |
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15,800 |
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Hexion U.S. Finance Corp., 9.75%, 11/15/14 |
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B3/B |
|
14,378,000 |
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JET Equipment Trust (a)(d)(f)(g), |
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|
91 |
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7.63%, 2/15/15 |
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NR/NR |
|
457 |
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249 |
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10.00%, 12/15/13 |
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NR/NR |
|
208,822 |
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18,445 |
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KRATON Polymers LLC, 8.125%, 1/15/14 |
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B3/CCC+ |
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9,499,175 |
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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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Lehman Brothers Holdings, Inc., |
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$10,400 |
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2.778%, 5/25/10, FRN |
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A1/A+ |
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$9,638,772 |
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5,000 |
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7.50%, 5/11/38 |
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A2/A |
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4,656,225 |
|
500 |
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Lender Processing Services, Inc., 8.125%, 7/1/16 (a)(d)(e) |
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Ba2/BB+ |
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503,125 |
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LVB Acquisition Merger Sub., Inc. (a)(d), |
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14,015 |
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10.375%, 10/15/17, PIK |
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B3/B- |
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14,925,975 |
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39,125 |
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11.625%, 10/15/17 |
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Caa1/B- |
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41,668,125 |
|
3,150 |
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MUFG Capital Finance I Ltd., 6.346%, 7/25/16, FRN (i) |
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A2/BBB+ |
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2,736,821 |
|
3,705 |
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NSG Holdings LLC, 7.75%, 12/15/25 (a)(d) |
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Ba2/BB |
|
3,667,950 |
|
10,025 |
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Nuveen Investments, Inc., 10.50%, 11/15/15 (a)(d) |
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B3/B- |
|
9,298,187 |
|
2,000 |
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Residential Reinsurance Ltd., 9.399%, 6/6/11, FRN (a)(b)(d)(g) |
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NR/BB |
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1,999,000 |
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£2,843 |
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Royal Bank of Scotland PLC, 9.370%, 4/6/11, FRN (g) |
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NR/NR |
|
4,960,368 |
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$21,203 |
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Universal City Development Partners Ltd., 11.75%, 4/1/10 |
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B1/B+ |
|
21,839,090 |
|
8,030 |
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Universal City Florida Holding Co., 8.375%, 5/1/10 |
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B3/B- |
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7,989,850 |
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UPC Holding BV, |
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1,200 |
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7.75%, 1/15/14 |
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B3/B- |
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1,682,687 |
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10,200 |
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8.625%, 1/15/14 |
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B3/B- |
|
14,865,314 |
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$36,100 |
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Wachovia Corp., 7.98%, 3/15/18, FRN (i) |
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A2/A |
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33,249,905 |
|
3,825 |
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Wells Fargo Capital XIII, 7.70%, 3/26/13, FRN (i) |
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Aa3/AA- |
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3,807,566 |
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|
|
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448,064,929 |
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Food1.2% |
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|
|
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5,500 |
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American Stores Co., 8.00%, 6/1/26 |
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B1/B+ |
|
5,597,047 |
|
1 |
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Dole Foods Co., Inc., 8.875%, 3/15/11 |
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Caa1/CCC+ |
|
728 |
|
24,925 |
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Ingles Markets, Inc., 8.875%, 12/1/11 |
|
B2/B+ |
|
25,361,188 |
|
|
|
|
|
|
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30,958,963 |
|
|
|
|
|
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Food Services0.6% |
|
|
|
|
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16,025 |
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ARAMARK Corp., 8.50%, 2/1/15 |
|
B3/B |
|
15,784,625 |
|
|
|
|
|
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Healthcare & Hospitals4.8% |
|
|
|
|
|
||
33,900 |
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Community Health Systems, Inc., 8.875%, 7/15/15 |
|
B3/B- |
|
34,281,375 |
|
|
|
HCA, Inc., |
|
|
|
|
|
12,631 |
|
7.19%, 11/15/15 |
|
Caa1/B- |
|
10,954,323 |
|
11,484 |
|
7.50%, 12/15/23 |
|
Caa1/B- |
|
9,408,462 |
|
355 |
|
7.58%, 9/15/25 |
|
Caa1/B- |
|
290,138 |
|
2,900 |
|
8.36%, 4/15/24 |
|
Caa1/B- |
|
2,486,228 |
|
3,994 |
|
8.75%, 9/1/10 |
|
Caa1/B- |
|
4,063,895 |
|
21,302 |
|
9.00%, 12/15/14 |
|
Caa1/B- |
|
20,355,531 |
|
13,000 |
|
9.25%, 11/15/16 |
|
B2/BB- |
|
13,422,500 |
|
14,450 |
|
9.625%, 11/15/16, PIK |
|
B2/BB- |
|
14,919,625 |
|
8,425 |
|
United Surgical Partners International, Inc., 8.875%, 5/1/17 |
|
Caa1/CCC+ |
|
7,877,375 |
|
|
|
|
|
|
|
118,059,452 |
|
|
|
|
|
|
|
|
|
Hotels/Gaming1.2% |
|
|
|
|
|
||
16,179 |
|
Harrahs Operating Co., Inc., 10.75%, 2/1/16 (a)(d) |
|
B3/B+ |
|
13,509,465 |
|
8,779 |
|
Mandalay Resort Group, 9.375%, 2/15/10 |
|
B1/B+ |
|
8,822,895 |
|
|
|
MGM Mirage, Inc., |
|
|
|
|
|
1,500 |
|
6.00%, 10/1/09 |
|
Ba2/BB |
|
1,483,125 |
|
275 |
|
8.375%, 2/1/11 |
|
B1/B+ |
|
266,750 |
|
6,050 |
|
Station Casinos, Inc., 7.75%, 8/15/16 |
|
B2/B+ |
|
4,658,500 |
|
|
|
|
|
|
|
28,740,735 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
Machinery0.3% |
|
|
|
|
|
||
$2,600 |
|
Chart Industries, Inc., 9.125%, 10/15/15 |
|
B3/B |
|
$2,710,500 |
|
4,025 |
|
Terex Corp., 8.00%, 11/15/17 |
|
Ba3/B+ |
|
4,014,938 |
|
|
|
|
|
|
|
6,725,438 |
|
|
|
|
|
|
|
|
|
Metals & Mining0.4% |
|
|
|
|
|
||
8,305 |
|
Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/1/17 |
|
Ba2/BBB- |
|
8,775,395 |
|
|
|
|
|
|
|
|
|
Miscellaneous2.9% |
|
|
|
|
|
||
73,824 |
|
Dow Jones CDX U.S. High Yield, 8.375%, 12/29/11 (a)(d)(h) |
|
B3/NR |
|
71,425,010 |
|
|
|
|
|
|
|
|
|
Multi-Media4.4% |
|
|
|
|
|
||
5,600 |
|
Cablevision Systems Corp., 8.00%, 4/15/12 |
|
B2/B+ |
|
5,320,000 |
|
2,850 |
|
CanWest MediaWorks L.P., 9.25%, 8/1/15 (a)(d) |
|
B2/CCC+ |
|
2,337,000 |
|
42,850 |
|
CCO Holdings LLC, 8.75%, 11/15/13 |
|
Caa1/CCC |
|
39,636,250 |
|
10,000 |
|
Charter Communications Holdings I LLC, 11.00%, 10/1/15 |
|
Caa3/CCC |
|
7,462,500 |
|
11,325 |
|
Charter Communications Operating LLC, 8.375%, 4/30/14 (a) (d) |
|
B3/B- |
|
10,787,062 |
|
|
|
CSC Holdings, Inc., |
|
|
|
|
|
4,800 |
|
7.625%, 7/15/18 |
|
B1/BB |
|
4,440,000 |
|
4,485 |
|
7.875%, 2/15/18 |
|
B1/BB |
|
4,193,475 |
|
2,000 |
|
8.125%, 7/15/09 |
|
B1/BB |
|
2,020,000 |
|
6,045 |
|
Lighthouse International Co. S.A., 8.00%, 4/30/14 (a)(d) |
|
B2/BB- |
|
7,143,150 |
|
$7,000 |
|
Nielsen Finance LLC, 10.00%, 8/1/14 |
|
Caa1/B- |
|
7,087,500 |
|
7,895 |
|
Rogers Cable, Inc., 8.75%, 5/1/32 |
|
Baa3/BBB- |
|
8,847,469 |
|
4,750 |
|
Unity Media GmbH, 10.375%, 2/15/15 (a)(d) |
|
Caa2/B- |
|
4,696,562 |
|
4,020 |
|
Videotron Ltee, 9.125%, 4/15/18 (a)(d) |
|
Ba2/BB- |
|
4,221,000 |
|
|
|
|
|
|
|
108,191,968 |
|
|
|
|
|
|
|
|
|
Oil & Gas6.8% |
|
|
|
|
|
||
17,000 |
|
Dynegy Holdings, Inc., 8.375%, 5/1/16 |
|
B2/B |
|
16,575,000 |
|
10,325 |
|
Dynergy-Roseton Danskammer, Inc., 7.67%, 11/8/16 |
|
Ba3/B |
|
10,170,125 |
|
|
|
El Paso Corp., |
|
|
|
|
|
26,000 |
|
7.80%, 8/1/31 |
|
Ba3/BB- |
|
26,361,192 |
|
27,850 |
|
8.05%, 10/15/30 |
|
Ba3/BB- |
|
28,666,729 |
|
3,000 |
|
Enbridge Energy Partners L.P., 8.05%, 10/1/37, FRN |
|
Baa3/BB+ |
|
2,798,331 |
|
|
|
Ferrellgas L.P., |
|
|
|
|
|
14,325 |
|
8.75%, 6/15/12 |
|
B2/B- |
|
14,110,125 |
|
24,000 |
|
8.87%, 8/1/09 (a)(b)(g) |
|
NR/NR |
|
25,125,729 |
|
7,000 |
|
OPTI Canada, Inc., 8.25%, 12/15/14 |
|
B1/BB+ |
|
7,000,000 |
|
|
|
SandRidge Energy, Inc. (a)(d), |
|
|
|
|
|
7,500 |
|
8.00%, 6/1/18 |
|
B3/B- |
|
7,575,000 |
|
10,600 |
|
8.625%, 4/1/15, PIK |
|
B3/B- |
|
10,918,000 |
|
17,125 |
|
SemGroup L.P., 8.75%, 11/15/15 (a)(d) |
|
B1/NR |
|
16,696,875 |
|
1,099 |
|
Williams Cos., Inc., 7.875%, 9/1/21 |
|
Baa3/BB+ |
|
1,170,435 |
|
|
|
|
|
|
|
167,167,541 |
|
|
|
|
|
|
|
|
|
Paper/Paper Products2.4% |
|
|
|
|
|
||
8,750 |
|
Cascades, Inc., 7.25%, 2/15/13 |
|
Ba3/BB- |
|
7,656,250 |
|
|
|
Georgia-Pacific LLC, |
|
|
|
|
|
27,775 |
|
8.00%, 1/15/24 |
|
B2/B+ |
|
25,830,750 |
|
16,585 |
|
8.875%, 5/15/31 |
|
B2/B+ |
|
15,424,050 |
|
11,800 |
|
Verso Paper Holdings LLC, 9.125%, 8/1/14 |
|
B2/B+ |
|
11,593,500 |
|
|
|
|
|
|
|
60,504,550 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
Printing/Publishing1.6% |
|
|
|
|
|
||
$1,000 |
|
Dex Media, Inc., 8.00%, 11/15/13 |
|
B2/B- |
|
$735,000 |
|
1,131 |
|
Dex Media West LLC, 9.875%, 8/15/13 |
|
B1/BB- |
|
1,020,728 |
|
1,000 |
|
Hollinger, Inc., 11.875%, 3/1/11 (a)(b)(d)(f)(g) |
|
NR/NR |
|
200,322 |
|
54,925 |
|
RH Donnelley Corp., 8.875%, 1/15/16 |
|
B3/B- |
|
33,229,625 |
|
6,100 |
|
TL Acquisitions, Inc., 10.50%, 1/15/15 (a)(d) |
|
Caa1/CCC+ |
|
5,307,000 |
|
|
|
|
|
|
|
40,492,675 |
|
|
|
|
|
|
|
|
|
Retail0.8% |
|
|
|
|
|
||
27,175 |
|
Bon-Ton Stores, Inc., 10.25%, 3/15/14 |
|
Caa1/CCC+ |
|
17,969,469 |
|
2,775 |
|
Edcon Proprietary Ltd., 8.208%, 6/15/14, FRN (a)(d) |
|
B2/BB- |
|
2,885,620 |
|
|
|
|
|
|
|
20,855,089 |
|
|
|
|
|
|
|
|
|
Semi-conductors0.7% |
|
|
|
|
|
||
|
|
Freescale Semiconductor, Inc., |
|
|
|
|
|
$19,175 |
|
8.875%, 12/15/14 |
|
B2/B- |
|
15,675,562 |
|
1,490 |
|
10.125%, 12/15/16 |
|
B3/B- |
|
1,143,575 |
|
|
|
|
|
|
|
16,819,137 |
|
|
|
|
|
|
|
|
|
Telecommunications13.1% |
|
|
|
|
|
||
14,555 |
|
Centennial Communications Corp., 8.125%, 2/1/14 |
|
B2/B |
|
14,482,225 |
|
26,050 |
|
Cincinnati Bell, Inc., 8.375%, 1/15/14 |
|
B2/B- |
|
25,333,625 |
|
24,425 |
|
Citizens Communications Co., 9.00%, 8/15/31 |
|
Ba2/BB |
|
22,104,625 |
|
13,550 |
|
Cricket Communications, Inc., 9.375%, 11/1/14 |
|
Caa1/B- |
|
13,109,625 |
|
|
|
Hawaiian Telcom Communications, Inc., |
|
|
|
|
|
1,250 |
|
8.486%, 5/1/13, FRN |
|
Caa2/CCC |
|
481,250 |
|
10,960 |
|
9.75%, 5/1/13 |
|
B3/CCC |
|
4,438,800 |
|
25,500 |
|
MetroPCS Wireless, Inc., 9.25%, 11/1/14 |
|
Caa1/B- |
|
24,671,250 |
|
|
|
Nordic Telephone Co. Holdings ApS, |
|
|
|
|
|
2,300 |
|
8.25%, 5/1/16 (a)(d) |
|
B2/B |
|
3,315,745 |
|
5,000 |
|
8.25%, 5/1/16 |
|
B2/B |
|
7,208,141 |
|
$12,425 |
|
8.875%, 5/1/16 (a)(d) |
|
B2/B |
|
12,238,625 |
|
|
|
Nortel Networks Ltd., |
|
|
|
|
|
24,400 |
|
10.125%, 7/15/13 |
|
B3/B- |
|
23,973,000 |
|
14,075 |
|
10.75%, 7/15/16 |
|
B3/B- |
|
14,004,625 |
|
14,625 |
|
PanAmSat Corp., 6.875%, 1/15/28 |
|
B1/BB- |
|
11,407,500 |
|
31,000 |
|
Qwest Capital Funding, Inc., 7.90%, 8/15/10 |
|
B1/B+ |
|
31,077,500 |
|
2,079 |
|
Qwest Communications International, Inc., 7.50%, 2/15/14 |
|
Ba3/B+ |
|
1,985,445 |
|
10,450 |
|
Qwest Corp., 8.875%, 3/15/12 |
|
Ba1/BBB- |
|
10,711,250 |
|
18,020 |
|
Rural Cellular Corp., 9.875%, 2/1/10 |
|
B3/CCC |
|
18,425,450 |
|
4,000 |
|
Sprint Capital Corp., 8.75%, 3/15/32 |
|
Baa3/BB |
|
3,819,200 |
|
12,100 |
|
Superior Essex Communications LLC, 9.00%, 4/15/12 |
|
B3/BB- |
|
12,402,500 |
|
4,000 |
|
TelCordia Technologies, Inc., 6.463%, 7/15/12, FRN (a)(d) |
|
B2/B |
|
3,470,000 |
|
6,825 |
|
Telesat Canada, 11.00%, 11/1/15 (a)(b)(d) |
|
Caa1/B- |
|
6,859,125 |
|
24,975 |
|
Time Warner Telecom Holdings, Inc., 9.25%, 2/15/14 |
|
B3/CCC+ |
|
25,661,813 |
|
|
|
West Corp., |
|
|
|
|
|
8,780 |
|
9.50%, 10/15/14 |
|
Caa1/B- |
|
7,945,900 |
|
6,500 |
|
11.00%, 10/15/16 |
|
Caa1/B- |
|
5,525,000 |
|
13,000 |
|
Wind Acquisition Finance S.A., 10.75%, 12/1/15 (a)(d) |
|
B2/B |
|
13,715,000 |
|
3,050 |
|
Windstream Corp., 8.625%, 8/1/16 |
|
Ba3/BB |
|
3,057,625 |
|
3,075 |
|
Windstream Regatta Holdings, Inc., 11.00%, 12/1/17 (a)(d) |
|
B2/B |
|
2,137,125 |
|
|
|
|
|
|
|
323,561,969 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
Transportation0.1% |
|
|
|
|
|
||
$2,400 |
|
Grupo Transportacion Ferroviaria Mexicana S.A. de C.V., |
|
|
|
|
|
|
|
9.375%, 5/1/12 |
|
B2/NR |
|
$2,508,000 |
|
|
|
|
|
|
|
|
|
Utilities5.3% |
|
|
|
|
|
||
7,000 |
|
AES Corp., 8.00%, 6/1/20 (a)(d) |
|
B1/BB- |
|
6,790,000 |
|
2,000 |
|
Empresa Energetica de Sergipe and Sociedade Anonima de Eletrificaao da Paraiba, 10.50%, 7/19/13 (a)(d) |
|
Ba3/B+ |
|
2,252,243 |
|
|
|
Energy Future Holdings Corp. (a)(d), |
|
|
|
|
|
17,100 |
|
10.875%, 11/1/17 |
|
B3/B- |
|
17,356,500 |
|
2,000 |
|
11.25%, 11/1/17, PIK |
|
B3/B- |
|
2,005,000 |
|
19,450 |
|
Legrand Holding S.A., 8.50%, 2/15/25 |
|
Baa3/BBB |
|
21,954,479 |
|
19,534 |
|
Midwest Generation LLC, 8.56%, 1/2/16 |
|
Baa3/BB+ |
|
20,169,191 |
|
21,500 |
|
PSE&G Energy Holdings LLC, 8.50%, 6/15/11 |
|
Ba3/BB- |
|
22,664,655 |
|
|
|
Texas Competitive Electric Holdings Co. LLC (a)(d), |
|
|
|
|
|
33,700 |
|
10.25%, 11/1/15 |
|
B3/CCC |
|
33,194,500 |
|
5,090 |
|
10.50%, 11/1/16, PIK |
|
B3/CCC |
|
4,950,025 |
|
|
|
|
|
|
|
131,336,593 |
|
|
|
Total Corporate Bonds & Notes (cost$2,063,546,002) |
|
|
|
1,911,031,908 |
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT AGENCY SECURITIES11.6% |
|
|
|
|
|
||
|
|
Fannie Mae, MBS, TBA (e), |
|
|
|
|
|
169,000 |
|
5.00% |
|
NR/AAA |
|
162,002,386 |
|
121,000 |
|
5.50% |
|
Aaa/AAA |
|
119,279,501 |
|
5,000 |
|
Freddie Mac, 5.50%, MBS, TBA (e) |
|
Aaa/AAA |
|
4,925,780 |
|
|
|
Total U.S. Government Agency Securities (cost$285,307,445) |
|
|
|
286,207,667 |
|
|
|
|
|
|
|
|
|
SENIOR LOANS (a)(c)3.6% |
|
|
|
|
|
||
Chemicals0.0% |
|
|
|
|
|
||
|
|
INEOS Group Ltd., Term A |
|
|
|
|
|
1,148 |
|
4.885%, 10/7/12 |
|
|
|
1,013,745 |
|
206 |
|
4.897%, 10/7/12 |
|
|
|
181,780 |
|
|
|
|
|
|
|
1,195,525 |
|
|
|
|
|
|
|
|
|
Commercial Products0.3% |
|
|
|
|
|
||
7,515 |
|
Berry Plastics, 9.728%, 6/15/14 (b) |
|
|
|
6,822,797 |
|
|
|
|
|
|
|
|
|
Electronics0.6% |
|
|
|
|
|
||
10,700 |
|
Sensata Technologies, 10.347%, 10/27/13 (b) |
|
|
|
15,467,568 |
|
|
|
|
|
|
|
|
|
Energy0.1% |
|
|
|
|
|
||
3,000 |
|
TXU TCEH, 6.234%, 10/10/14, Term B1 (e) |
|
|
|
2,782,500 |
|
|
|
|
|
|
|
|
|
Entertainment0.5% |
|
|
|
|
|
||
|
|
Tribune Co., |
|
|
|
|
|
3,033 |
|
5.478%, 5/30/09, Term X |
|
|
|
2,913,265 |
|
3,467 |
|
5.482%, 5/30/14, Term B |
|
|
|
2,621,588 |
|
9,982 |
|
7.00%, 6/4/14, Term B (b)(e) |
|
|
|
7,369,901 |
|
|
|
|
|
|
|
12,904,754 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
Financial Services0.7% |
|
|
|
|
|
||
$19,850 |
|
Chrysler Financial Corp., 6.78%, 8/3/12 |
|
|
|
$16,440,763 |
|
|
|
|
|
|
|
|
|
Healthcare & Hospitals0.1% |
|
|
|
|
|
||
1,683 |
|
HealthSouth Corp., 5.29%, 2/2/13 |
|
|
|
1,597,170 |
|
|
|
|
|
|
|
|
|
Recreation0.4% |
|
|
|
|
|
||
|
|
Amadeus Global Travel (b), |
|
|
|
|
|
759 |
|
5.876%, 4/8/12, Term A |
|
|
|
1,099,694 |
|
$1,211 |
|
6.846%, 4/8/13, Term B |
|
|
|
1,110,168 |
|
1,211 |
|
7.096%, 4/8/14, Term C |
|
|
|
1,118,440 |
|
6,930 |
|
Travelport, 4.631%, 8/23/13, Term DD |
|
|
|
6,262,987 |
|
|
|
|
|
|
|
9,591,289 |
|
|
|
|
|
|
|
|
|
Telecommunications0.7% |
|
|
|
|
|
||
|
|
Integra Telecom, Inc., Term T (b), |
|
|
|
|
|
1,345 |
|
6.894%, 8/31/13 |
|
|
|
1,270,588 |
|
1,617 |
|
6.946%, 8/31/13 |
|
|
|
1,528,121 |
|
1,008 |
|
7.149%, 8/31/13 |
|
|
|
952,941 |
|
|
|
Nordic Telephone Co. Holdings ApS, |
|
|
|
|
|
1,434 |
|
6.34%, 11/30/14, Term B |
|
|
|
2,202,040 |
|
1,485 |
|
6.59%, 11/30/14, Term C |
|
|
|
2,289,071 |
|
$1,677 |
|
NTL Investment, 4.937%, 1/6/13, Term B |
|
|
|
1,613,397 |
|
4,200 |
|
Telesat, 10.50%, 10/31/08 (b)(d) |
|
|
|
3,948,000 |
|
3,000 |
|
West Corp., 7.471%, 10/24/13, Term B (b) |
|
|
|
2,757,321 |
|
|
|
|
|
|
|
16,561,479 |
|
|
|
|
|
|
|
|
|
Wholesale0.2% |
|
|
|
|
|
||
4,566 |
|
Roundys, Inc., 5.23%, 11/3/11, Term B |
|
|
|
4,395,136 |
|
|
|
Total Senior Loans (cost$92,048,383) |
|
|
|
87,758,981 |
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS & NOTES0.8% |
|
|
|
|
|
||
California0.6% |
|
|
|
|
|
||
|
|
Los Angeles Community Redev. Agcy. Rev., Ser. H, |
|
|
|
|
|
725 |
|
9.00%, 9/1/12 |
|
NR/NR |
|
752,166 |
|
1,160 |
|
9.75%, 9/1/17 |
|
NR/NR |
|
1,223,696 |
|
1,375 |
|
9.75%, 9/1/22 |
|
NR/NR |
|
1,446,569 |
|
2,170 |
|
9.75%, 9/1/27 |
|
NR/NR |
|
2,273,661 |
|
3,480 |
|
9.75%, 9/1/32 |
|
NR/NR |
|
3,638,792 |
|
|
|
San Diego Redev. Agcy., Tax Allocation, |
|
|
|
|
|
1,785 |
|
6.59%, 11/1/13 |
|
Baa3/NR |
|
1,821,646 |
|
1,435 |
|
7.49%, 11/1/18 |
|
Baa3/NR |
|
1,500,551 |
|
1,885 |
|
7.74%, 11/1/21 |
|
Baa3/NR |
|
1,969,655 |
|
|
|
|
|
|
|
14,626,736 |
|
|
|
|
|
|
|
|
|
Pennsylvania0.2% |
|
|
|
|
|
||
|
|
Economic Dev. Financing Auth. Rev., VRN (l), |
|
|
|
|
|
5,300 |
|
6.75%, 12/1/36, Ser. A |
|
Ba3/NR |
|
5,366,303 |
|
1,000 |
|
6.75%, 12/1/36 |
|
Ba3/NR |
|
1,012,510 |
|
|
|
|
|
|
|
6,378,813 |
|
|
|
Total Municipal Bonds & Notes (cost$20,603,019) |
|
|
|
21,005,549 |
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
|
MORTGAGE-BACKED SECURITIES0.3% |
|
|
|
|
|
|||
$729 |
|
Bear Stearns Adjustable Rate Mortgage Trust, |
|
|
|
|
|
|
|
|
5.733%, 2/25/36, CMO, FRN |
|
Aaa/AAA |
|
$607,075 |
|
|
651 |
|
Citigroup Mortgage Loan Trust, Inc., 3.283%, 8/25/35, CMO, FRN (a)(d) |
|
NR/AAA |
|
560,140 |
|
|
766 |
|
Citimortgage Alternative Loan Trust, 6.00%, 6/25/37, CMO |
|
Aaa/NR |
|
741,981 |
|
|
667 |
|
GSR Mortgage Loan Trust, 5.347%, 11/25/35, CMO, VRN |
|
NR/AAA |
|
631,352 |
|
|
592 |
|
Indymac Index Mortgage Loan Trust, 5.099%, 9/25/35, CMO, VRN |
|
Aaa/AAA |
|
485,809 |
|
|
734 |
|
MASTR Adjustable Rate Mortgages Trust, 2.723%, 5/25/37, CMO, FRN |
|
Aaa/AAA |
|
510,393 |
|
|
|
|
Merrill Lynch Alternative Note Asset , CMO, |
|
|
|
|
|
|
900 |
|
2.783%, 3/25/37, FRN |
|
Aaa/AAA |
|
546,645 |
|
|
807 |
|
5.660%, 6/25/37, VRN |
|
Aaa/AAA |
|
618,115 |
|
|
|
|
Washington Mutual, Inc., CMO, FRN, |
|
|
|
|
|
|
897 |
|
4.298%, 4/25/47 |
|
Aaa/AAA |
|
513,924 |
|
|
886 |
|
4.368%, 5/25/47 |
|
Aaa/AAA |
|
520,613 |
|
|
1,397 |
|
Wells Fargo Mortgage Backed Securities Trust, |
|
|
|
|
|
|
|
|
2.983%, 7/25/37, CMO, FRN |
|
Aaa/NR |
|
1,207,345 |
|
|
|
|
Total Mortgage-Backed Securities (cost$6,998,655) |
|
|
|
6,943,392 |
|
|
CONVERTIBLE PREFERRED STOCK0.2% (m) |
|
|
|
|
|
|||
Shares |
|
|
|
|
|
|
|
|
Banking0.1% |
|
|
|
|
|
|
|
|
2,900 |
|
Wachovia Corp., 7.50%, 12/31/49 (Greenshoe Group) |
|
A2/A |
|
2,567,674 |
|
|
|
|
|
|
|
|
|
|
|
Insurance0.1% |
|
|
|
|
|
|
|
|
32,900 |
|
American International Group, Inc., 8.50%, 8/1/11 (Greenshoe Group) |
|
NR/NR |
|
1,950,641 |
|
|
|
|
Total Convertible Preferred Stock (cost$5,367,500) |
|
|
|
4,518,315 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
|
(000) |
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES0.1% |
|
|
|
|
|
|||
$900 |
|
GSAA Trust, 2.783%, 3/25/37, FRN |
|
Aaa/AAA |
|
450,954 |
|
|
900 |
|
Morgan Stanley Mortgage Loan Trust, 2.843%, 4/25/37, FRN |
|
Aaa/AAA |
|
525,279 |
|
|
688 |
|
Reliant Energy Mid-Atlantic Power Holdings LLC, 9.237%, 7/2/17 |
|
Ba2/B+ |
|
743,061 |
|
|
|
|
Total Asset-Backed Securities (cost$1,821,693) |
|
|
|
1,719,294 |
|
|
PREFERRED STOCK0.0% |
|
|
|
|
|
|||
Shares |
|
|
|
|
|
|
||
Telecommunications0.0% |
|
|
|
|
|
|||
155,565 |
|
Superior Essex Holding Corp., 9.50%, 11/10/13, Ser. A (cost$129,313) |
|
NR/NR |
|
217,791 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
|
(000) |
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS6.0% |
|
|
|
|
|
|||
Commercial Paper3.8% |
|
|
|
|
|
|||
Financial Services3.8% |
|
|
|
|
|
|||
$4,600 |
|
General Electric Capital Corp., 2.45%, 8/4/08 |
|
P-1/A-1+ |
|
4,589,356 |
|
|
19,100 |
|
Societe Generale, 2.74%, 9/10/08 |
|
P-1/A-1+ |
|
18,994,950 |
|
|
|
|
UBS AG, |
|
|
|
|
|
|
12,500 |
|
2.60%, 7/14/08 |
|
P-1/A-1+ |
|
12,488,264 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
|
Financial Services (continued) |
|
|
|
|
|
|||
$29,700 |
|
2.625%, 9/2/08 |
|
P-1/A-1+ |
|
$29,557,440 |
|
|
29,300 |
|
2.645%, 9/3/08 |
|
P-1/A-1+ |
|
29,156,723 |
|
|
|
|
Total Commercial Paper (cost$94,800,196) |
|
|
|
94,786,733 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bills (j)1.7% |
|
|
|
|
|
|||
41,500 |
|
1.01%-1.95%, 8/28/08-9/25/08 (cost$41,348,451) |
|
|
|
41,302,143 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agency Securities0.4% |
|
|
|
|
|
|||
9,300 |
|
Federal Home Loan Bank, 2.00%, 7/1/08 (cost$9,300,000) |
|
|
|
9,300,000 |
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement0.1% |
|
|
|
|
|
|||
2,922 |
|
State Street Bank & Trust Co., dated 6/30/08, 1.65%, due 7/1/08, proceeds $2,922,134; collateralized by Fannie Mae Discount Note, 2.695%, due 9/24/08, valued at $2,981,250 including accrued interest (cost$2,922,000) |
|
|
|
2,922,000 |
|
|
|
|
Total Short-Term Investments (cost$148,370,647) |
|
|
|
148,310,876 |
|
|
Contracts/ |
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
|
OPTIONS PURCHASED (k)0.0% |
|
|
|
|
|
|||
|
|
Put Options0.0% |
|
|
|
|
|
|
|
|
Financial Future Euro90 day (CME), |
|
|
|
|
|
|
470 |
|
strike price $94.38, expires 12/15/08 |
|
|
|
2,938 |
|
|
969 |
|
strike price $94.63, expires 9/15/08 |
|
|
|
6,056 |
|
|
|
|
Total Options Purchased (cost$18,648) |
|
|
|
8,994 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments before options written |
|
|
|
2,467,722,767 |
|
|
|
|
|
|
|
|
|
|
|
OPTIONS WRITTEN (k)(0.0)% |
|
|
|
|
|
|||
|
|
Call Options(0.0)% |
|
|
|
|
|
|
5,300,000 |
|
2-Year
Interest Rate Swap (OTC), |
|
|
|
(57,505 |
) |
|
1,100,000 |
|
2-Year
Interest Rate Swap (OTC), |
|
|
|
(11,935 |
) |
|
46,500,000 |
|
30-Year
Interest Rate Swap (OTC), |
|
|
|
(129,368 |
) |
|
|
|
|
|
|
|
(198,808 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Put Options(0.0)% |
|
|
|
|
|
|
5,300,000 |
|
2-Year
Interest Rate Swap (OTC), |
|
|
|
(52,735 |
) |
|
Contracts/ |
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
Value* |
|
1,100,000 |
|
strike rate 1.50%, expires 9/22/08 |
|
|
|
$(10,945 |
) |
|
|
|
|
|
|
(63,680 |
) |
|
|
Total Options Written (premiums received$735,040) |
|
|
|
(262,488 |
) |
|
|
|
|
|
|
|
|
|
|
Total investments net of options written (cost$2,623,476,265)100.0% |
|
|
|
$2,467,460,279 |
|
Notes to Schedule of Investments:
* |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, are fair valued, in good faith, pursuant to guidelines established by the Board of Trustees or person acting at their discretion pursuant to procedures established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Funds investments, including over-the-counter options, are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The Funds investments in senior floating rate loans (Senior Loans) for which a secondary market exists are valued at the mean of the last available bid and asked prices in the market for such Senior Loans, as provided by an independent pricing service. Exchange traded options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when-issued or delayed delivery basis are marked to market daily until settlement at the forward settlement value. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. The Funds net asset value is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open for business. |
|
|
(a) |
Private PlacementRestricted as to resale and may not have a readily available market. Securities with an aggregate value of $540,002,676, representing 21.88% of total investments. |
(b) |
Illiquid security. |
(c) |
These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the LIBOR or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of Senior Loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on June 30, 2008. |
(d) |
144A SecuritySecurity exempt from registration, under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
(e) |
When-issued or delayed-delivery security. To be settled/delivered after June 30, 2008. |
(f) |
Security in default. |
(g) |
Securities with an aggregate value of $45,113,457, representing 1.83% of total investments, have been fair valued using methods as described above. |
(h) |
Credit-linked trust certificate. |
(i) |
Perpetual maturity security. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter. |
(j) |
All or partial amount segregated as collateral for delayed-delivery securities and swaps contracts. |
(k) |
Non-income producing. |
(l) |
Subject to Alternative Minimum Tax. |
(m) |
Securities exchangeable or convertible into securities of an entity different than the issuer. Such entity is identified in the parenthetical. |
Glossary:
£British Pound
Euro
CMEChicago Mercantile Exchange
CMOCollateralized Mortgage Obligation
FRNFloating Rate Note. The interest rate disclosed reflects the rate in effect on June 30, 2008.
LIBORLondon Inter-bank Offered Rate
MBSMortgage-Backed Securities
NRNot Rated
OTCOver-the-Counter
PIKPayment-in-Kind
TBATo Be Announced
VRNVariable Rate Note. Instruments whose interest rate change on specified date (such as a coupon date or interest payment date) and or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on June 30, 2008.
Other Investments:
(1) Futures contracts outstanding at June 30, 2008:
|
|
|
|
Market |
|
|
|
Unrealized |
|
|
|
|
|
|
Value |
|
Expiration |
|
Appreciation |
|
|
Type |
|
Contracts |
|
(000) |
|
Date |
|
(Depreciation) |
|
|
Long: |
Financial Future Euro90 day |
|
763 |
|
$184,417 |
|
3/16/09 |
|
$2,173,531 |
|
|
Financial Future Euro90 day |
|
859 |
|
207,169 |
|
6/15/09 |
|
(890,302 |
) |
|
Financial Future Euro90 day |
|
95 |
|
22,785 |