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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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Registrants 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: |
December 31, 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
December 31, 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 & NOTES67.7% |
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Airlines1.4% |
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$8,760 |
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American Airlines, Inc., 8.608%, 10/1/12 (f) |
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Ba3/BB- |
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$5,694,000 |
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10,997 |
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Continental Airlines, Inc., 6.92%, 4/2/13 (a)(b)(f) |
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NR/NR |
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10,321,480 |
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16,015,480 |
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Automotive1.5% |
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3,400 |
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ArvinMeritor, Inc., 8.75%, 3/1/12 |
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B2/B |
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1,853,000 |
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1,000 |
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Cooper-Standard Automotive, Inc., 8.375%, 12/15/14 |
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Caa3/C |
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180,000 |
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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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Ca/CCC- |
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1,200,000 |
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4,350 |
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7.45%, 7/16/31 |
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Ca/CCC- |
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1,239,750 |
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5,900 |
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7.50%, 8/1/26 |
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Ca/CCC- |
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1,416,000 |
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5,000 |
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9.215%, 9/15/21 |
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Ca/CCC- |
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1,175,000 |
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General Motors Corp., |
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20,000 |
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7.125%, 7/15/13 |
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C/C |
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3,750,000 |
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20,000 |
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9.40%, 7/15/21 |
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C/C |
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3,500,000 |
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4,284 |
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Tenneco Automotive, Inc., 10.25%, 7/15/13 |
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Ba3/BB |
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2,677,500 |
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16,991,250 |
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Banking1.4% |
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19,350 |
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Wachovia Capital Trust III, 5.80%, 3/15/11, VRN (g) |
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A3/A- |
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11,421,531 |
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5,361 |
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Wachovia Capital Trust V, 7.965%, 6/1/27, VRN (a)(d) |
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A2/A- |
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4,445,679 |
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15,867,210 |
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Building/Construction0.3% |
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10,885 |
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Ahern Rentals, Inc., 9.25%, 8/15/13 |
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Caa1/B+ |
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2,231,425 |
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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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959,134 |
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3,190,559 |
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Chemicals0.2% |
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$18,925 |
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Ineos Group Holdings PLC, 8.50%, 2/15/16 (a)(d) |
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Caa2/CCC |
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1,797,875 |
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Computer Services0.6% |
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1,750 |
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First Data Corp., 9.875%, 9/24/15 (a)(d) |
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B3/B |
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1,067,500 |
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9,000 |
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SunGard Data Systems, Inc., 10.25%, 8/15/15 |
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Caa1/B- |
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5,985,000 |
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7,052,500 |
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Consumer Products0.4% |
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6,720 |
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NPC International, Inc., 9.50%, 5/1/14 |
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Caa1/CCC+ |
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4,905,600 |
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Containers & Packaging0.3% |
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7,500 |
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Berry Plastics Holding Corp., 8.875%, 9/15/14 |
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Caa1/CCC+ |
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3,300,000 |
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Electronics1.1% |
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9,200 |
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Sanmina-SCI Corp., 8.125%, 3/1/16 |
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B3/B- |
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3,634,000 |
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19,375 |
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Sensata Technologies BV, 8.00%, 5/1/14 |
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Caa1/CCC+ |
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8,815,625 |
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12,449,625 |
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Energy0.4% |
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9,120 |
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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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5,021,727 |
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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 Services36.9% |
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$12,593 |
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AES Ironwood LLC, 8.857%, 11/30/25 |
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B1/B+ |
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$11,019,278 |
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8,570 |
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AGFC Capital Trust I, 6.00%, 1/15/67, VRN (a)(d) |
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Baa3/B |
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2,048,873 |
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8,200 |
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American Express Bank, 0.601%, 5/29/12, FRN |
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A1/A+ |
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6,766,205 |
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7,489 |
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American Express Co., 6.80%, 9/1/66, VRN |
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Baa1/BBB+ |
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3,881,436 |
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American General Finance Corp., |
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15,000 |
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2.267%, 3/2/10, FRN |
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Baa1/NR |
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9,395,925 |
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9,475 |
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4.00%, 3/15/11 |
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Baa1/BBB |
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4,596,995 |
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10,000 |
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5.40%, 12/1/15 |
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Baa1/BBB |
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3,739,950 |
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2,515 |
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5.85%, 6/1/13 |
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Baa1/BBB |
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955,964 |
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3,000 |
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6.90%, 12/15/17 |
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Baa1/BBB |
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1,299,936 |
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American International Group, Inc., |
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7,000 |
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1.625%, 3/20/12, FRN |
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A3/NR |
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4,390,372 |
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2,500 |
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4.25%, 5/15/13 |
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A3/A- |
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1,844,188 |
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4,500 |
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5.05%, 10/1/15 |
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A3/A- |
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3,021,503 |
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3,500 |
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5.112%, 4/26/11 |
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NR/NR |
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2,781,740 |
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$3,000 |
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5.375%, 10/18/11 |
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A3/A- |
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2,469,291 |
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13,150 |
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5.85%, 1/16/18 |
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A3/A- |
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8,828,068 |
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14,814 |
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6.25%, 5/1/36 |
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A3/A- |
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8,338,238 |
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32,050 |
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8.175%, 5/15/68, VRN (a)(d) |
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Baa1/BBB |
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12,483,347 |
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60,750 |
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8.25%, 8/15/18 (a)(d) |
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A3/A- |
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44,529,689 |
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£22,350 |
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8.625%, 5/22/68, VRN (b) |
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Baa1/BBB |
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10,925,466 |
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$12,500 |
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AmSouth Bancorp, 6.75%, 11/1/25 |
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A3/A- |
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11,075,475 |
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10,435 |
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Bank of America Corp., 8.125%, 5/15/18, FRN (g) |
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A1/A- |
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7,818,424 |
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160 |
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BankAmerica Capital II, 8.00%, 12/15/26 |
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Aa3/A- |
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131,052 |
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1,050 |
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Bear Stearns Cos., Inc., 3.65%, 1/31/11, FRN |
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Aa2/NR |
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964,450 |
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5,000 |
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Buffalo Thunder Development Authority, 9.375%, |
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Caa3/B- |
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1,025,000 |
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1,300 |
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Caelus Re Ltd., 8.453%, 6/7/11, FRN (a)(d) |
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NR/BB+ |
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1,242,280 |
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7,700 |
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Chukchansi Economic Development Authority, 8.00%, 11/15/13 (a)(d) |
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B2/B+ |
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3,599,750 |
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CIT Group, Inc., |
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5,000 |
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3.765%, 4/27/11, FRN (i) |
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Baa1/BBB+ |
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4,275,950 |
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3,000 |
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4.25%, 2/1/10 |
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Baa1/BBB+ |
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2,751,009 |
|
650 |
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4.75%, 12/15/10 |
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Baa1/BBB+ |
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572,425 |
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1,800 |
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5.20%, 11/3/10 |
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Baa1/BBB+ |
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1,560,528 |
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5,650 |
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5.20%, 6/1/15 |
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Baa1/BBB+ |
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3,971,577 |
|
2,650 |
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5.60%, 4/27/11 |
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Baa1/BBB+ |
|
2,238,516 |
|
2,650 |
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5.60%, 11/2/11 |
|
Baa1/BBB+ |
|
2,162,063 |
|
3,000 |
|
5.80%, 7/28/11 |
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Baa1/BBB+ |
|
2,515,287 |
|
6,550 |
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7.625%, 11/30/12 |
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Baa1/BBB+ |
|
5,533,728 |
|
3,355 |
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Citigroup Capital XXI, 8.30%, 12/21/77, VRN |
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A3/BBB |
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2,593,338 |
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Citigroup, Inc., |
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200 |
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6.50%, 8/19/13 |
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A2/A |
|
202,016 |
|
37,175 |
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8.40%, 4/30/18, FRN (g) |
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Baa2/BBB |
|
24,592,750 |
|
1,100 |
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First Horizon National Corp., 4.50%, 5/15/13 |
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Baa2/BBB- |
|
764,754 |
|
9,500 |
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First Union Institutional Capital II, 7.85%, 1/1/27 |
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A2/A- |
|
7,802,265 |
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Ford Motor Credit Co. LLC, |
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27,000 |
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8.00%, 12/15/16 |
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Caa1/CCC+ |
|
17,609,319 |
|
6,000 |
|
12.00%, 5/15/15 |
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Caa1/B |
|
4,484,982 |
|
5,000 |
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General Electric Capital Corp., 5.50%, 9/15/67, VRN |
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Aa1/AA+ |
|
3,932,310 |
|
$16,270 |
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General Motors Acceptance Corp. LLC, 8.00%, 11/1/31 |
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C/CC |
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9,536,839 |
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Goldman Sachs Group, Inc., |
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5,000 |
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6.15%, 4/1/18 |
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A1/A |
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4,813,110 |
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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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$2,500 |
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6.25%, 9/1/17 |
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A1/A |
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$2,428,070 |
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2,000 |
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6.75%, 10/1/37 |
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A2/A- |
|
1,628,242 |
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5,000 |
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HBOS PLC, 6.75%, 5/21/18 (a)(d) |
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Aa3/A |
|
4,407,805 |
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8,521 |
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ILFC E-Capital Trust I, 5.90%, 12/21/65, VRN (a)(d) |
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NR/NR |
|
2,731,952 |
|
1,585 |
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ILFC E-Capital Trust II, 6.25%, 12/21/65, VRN (a)(d) |
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NR/NR |
|
662,646 |
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International Lease Finance Corp., |
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15,000 |
|
4.62%, 8/15/11, FRN |
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Baa1/A- |
|
14,892,494 |
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$15,500 |
|
4.875%, 9/1/10 |
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Baa1/A- |
|
12,154,635 |
|
3,935 |
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5.00%, 9/15/12 |
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Baa1/A- |
|
2,713,737 |
|
1,950 |
|
5.55%, 9/5/12 |
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Baa1/A- |
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1,346,184 |
|
14,300 |
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5.75%, 6/15/11 |
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Baa1/A- |
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10,434,181 |
|
18,000 |
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6.29%, 10/15/17 (f) |
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NR/A- |
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11,148,937 |
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1,500 |
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6.625%, 11/15/13 |
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Baa1/A- |
|
1,011,632 |
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JET Equipment Trust (a)(d)(e)(f), |
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|
|
|
91 |
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7.63%, 2/15/15 |
|
NR/NR |
|
342 |
|
242 |
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10.00%, 12/15/13 |
|
NR/NR |
|
169,550 |
|
2,050 |
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JPMorgan Chase & Co., 7.90%, 4/30/18, FRN (g) |
|
A1/A- |
|
1,709,753 |
|
18,445 |
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KRATON Polymers LLC, 8.125%, 1/15/14 |
|
Caa1/CCC |
|
7,470,225 |
|
100 |
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Merrill Lynch & Co., Inc., 5.45%, 2/5/13 |
|
A2/A |
|
96,211 |
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|
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Morgan Stanley, FRN, |
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|
|
|
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6,000 |
|
4.57%, 1/9/12 |
|
A2/A |
|
4,737,456 |
|
1,500 |
|
4.62%, 1/9/14 |
|
A2/A |
|
1,039,874 |
|
3,500 |
|
4.953%, 10/18/16 |
|
A2/A |
|
2,412,392 |
|
3,150 |
|
MUFG Capital Finance I Ltd., 6.346%, 7/25/16, FRN (g) |
|
A2/BBB+ |
|
2,197,657 |
|
10,975 |
|
National City Bank, 6.20%, 12/15/11 |
|
A1/A- |
|
10,309,608 |
|
3,705 |
|
NSG Holdings LLC, 7.75%, 12/15/25 (a)(d) |
|
Ba2/BB |
|
2,908,425 |
|
3,800 |
|
Nuveen Investments, Inc., 10.50%, 11/15/15 (a)(d) |
|
Caa1/CCC+ |
|
859,750 |
|
3,100 |
|
Pricoa Global Funding I, 3.565%, 1/30/12, FRN (a)(d) |
|
Aa3/AA |
|
2,337,589 |
|
2,000 |
|
Residential Reinsurance Ltd., 8.953%, 6/6/11, FRN (a)(d) |
|
NR/BB |
|
1,935,600 |
|
£2,347 |
|
Royal Bank of Scotland PLC, 9.644%, 4/6/11, FRN (f) |
|
NR/NR |
|
2,042,335 |
|
|
|
SLM Corp., |
|
|
|
|
|
$7,701 |
|
3.25%, 1/1/14, FRN |
|
Baa2/BBB- |
|
4,132,434 |
|
10,900 |
|
4.75%, 3/17/14 |
|
Baa2/BBB- |
|
9,053,043 |
|
$22,735 |
|
8.45%, 6/15/18 |
|
Baa2/BBB- |
|
18,001,505 |
|
2,500 |
|
SMFG Preferred Capital Ltd., 9.50%, 7/25/18, FRN (a)(d)(g) |
|
A2/BBB+ |
|
2,381,555 |
|
896 |
|
State Street Capital Trust III, 8.25%, 3/15/11, VRN (g) |
|
A1/A |
|
692,778 |
|
8,453 |
|
Universal City Development Partners, 11.75%, 4/1/10 |
|
B1/B+ |
|
5,473,318 |
|
8,030 |
|
Universal City Florida Holding Co., 8.375%, 5/1/10 |
|
B3/B- |
|
3,693,800 |
|
2,000 |
|
USB Capital IX, 6.189%, 4/15/11, VRN (g) |
|
A1/A+ |
|
940,404 |
|
|
|
|
|
|
|
421,241,780 |
|
|
|
|
|
|
|
|
|
Food0.8% |
|
|
|
|
|
||
5,500 |
|
American Stores Co., 8.00%, 6/1/26 |
|
B1/B+ |
|
3,465,000 |
|
1 |
|
Dole Foods Co., Inc., 8.875%, 3/15/11 |
|
Caa2/B- |
|
512 |
|
5,929 |
|
Ingles Markets, Inc., 8.875%, 12/1/11 |
|
B2/B+ |
|
5,187,875 |
|
|
|
|
|
|
|
8,653,387 |
|
|
|
|
|
|
|
|
|
Healthcare & Hospitals3.0% |
|
|
|
|
|
||
7,725 |
|
Biomet, Inc., 11.625%, 10/15/17 |
|
Caa1/B- |
|
6,643,500 |
|
|
|
HCA, Inc., |
|
|
|
|
|
10,000 |
|
7.19%, 11/15/15 |
|
Caa1/B- |
|
5,588,830 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
Healthcare & Hospitals (continued) |
|
|
|
|
|
||
$6,200 |
|
7.50%, 12/15/23 |
|
Caa1/B- |
|
$2,942,836 |
|
355 |
|
7.58%, 9/15/25 |
|
Caa1/B- |
|
165,764 |
|
2,900 |
|
8.36%, 4/15/24 |
|
Caa1/B- |
|
1,498,816 |
|
11,552 |
|
9.00%, 12/15/14 |
|
Caa1/B- |
|
7,460,801 |
|
1,000 |
|
9.25%, 11/15/16 |
|
B2/BB- |
|
920,000 |
|
4,075 |
|
9.625%, 11/15/16, PIK |
|
B2/BB- |
|
3,188,688 |
|
8,425 |
|
United Surgical Partners International, Inc., 8.875%, 5/1/17 |
|
Caa1/CCC+ |
|
5,813,250 |
|
|
|
|
|
|
|
34,222,485 |
|
|
|
|
|
|
|
|
|
Hotels/Gaming0.2% |
|
|
|
|
|
||
8,679 |
|
Harrahs Operating Co., Inc., 10.75%, 2/1/16 (a)(d) |
|
Caa2/CCC |
|
2,516,910 |
|
|
|
|
|
|
|
|
|
Machinery0.2% |
|
|
|
|
|
||
2,600 |
|
Chart Industries, Inc., 9.125%, 10/15/15 |
|
B3/B+ |
|
1,963,000 |
|
|
|
|
|
|
|
|
|
Multi-Media0.9% |
|
|
|
|
|
||
6,045 |
|
Lighthouse International Co. S.A., 8.00%, 4/30/14 (a)(d) |
|
B2/BB- |
|
4,033,367 |
|
$2,895 |
|
Rogers Cable, Inc., 8.75%, 5/1/32 |
|
Baa3/BBB- |
|
3,039,518 |
|
4,750 |
|
Unity Media GmbH, 10.375%, 2/15/15 (a)(d) |
|
Caa1/B |
|
3,746,563 |
|
|
|
|
|
|
|
10,819,448 |
|
|
|
|
|
|
|
|
|
Oil & Gas4.0% |
|
|
|
|
|
||
9,825 |
|
Dynergy-Roseton Danskammer, Inc., 7.67%, 11/8/16 |
|
Ba3/B |
|
6,981,891 |
|
|
|
El Paso Corp., |
|
|
|
|
|
12,000 |
|
7.80%, 8/1/31 |
|
Ba3/BB- |
|
7,878,036 |
|
13,000 |
|
8.05%, 10/15/30 |
|
Ba3/BB- |
|
8,536,008 |
|
3,000 |
|
Enbridge Energy Partners L.P., 8.05%, 10/1/77, FRN |
|
Baa3/BB+ |
|
1,462,230 |
|
13,675 |
|
Ferrellgas L.P., 8.75%, 6/15/12 |
|
B2/B- |
|
9,640,875 |
|
6,000 |
|
OPTI Canada, Inc., 8.25%, 12/15/14 |
|
B2/BB |
|
3,270,000 |
|
|
|
SandRidge Energy, Inc., |
|
|
|
|
|
4,200 |
|
8.00%, 6/1/18 (a)(d) |
|
B3/B- |
|
2,352,000 |
|
10,025 |
|
8.625%, 4/1/15, PIK |
|
B3/B- |
|
5,313,250 |
|
15,460 |
|
SemGroup L.P., 8.75%, 11/15/15 (a)(d)(e) |
|
NR/NR |
|
618,400 |
|
|
|
|
|
|
|
46,052,690 |
|
|
|
|
|
|
|
|
|
Paper/Paper Products1.3% |
|
|
|
|
|
||
8,750 |
|
Cascades, Inc., 7.25%, 2/15/13 |
|
Ba3/B+ |
|
4,506,250 |
|
|
|
Georgia-Pacific LLC, |
|
|
|
|
|
3,000 |
|
8.00%, 1/15/24 |
|
B2/B+ |
|
2,040,000 |
|
8,000 |
|
8.875%, 5/15/31 |
|
B2/B+ |
|
5,560,000 |
|
8,045 |
|
Verso Paper Holdings LLC, 9.125%, 8/1/14 |
|
B2/B+ |
|
3,218,000 |
|
|
|
|
|
|
|
15,324,250 |
|
|
|
|
|
|
|
|
|
Printing/Publishing0.7% |
|
|
|
|
|
||
1,000 |
|
Dex Media, Inc., 8.00%, 11/15/13 |
|
B3/B- |
|
190,000 |
|
7,706 |
|
Dex Media West LLC, 9.875%, 8/15/13 |
|
B2/B+ |
|
1,849,440 |
|
1,000 |
|
Hollinger, Inc., 11.875%, 3/1/11 (a)(b)(d)(e)(f) |
|
NR/NR |
|
249,583 |
|
3,075 |
|
Local Insight Regatta Holdings, Inc., 11.00%, 12/1/17 |
|
Caa1/B |
|
814,875 |
|
33,425 |
|
RH Donnelley Corp., 8.875%, 1/15/16 |
|
Caa1/B- |
|
5,180,875 |
|
|
|
|
|
|
|
8,284,773 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
Semi-conductors0.6% |
|
|
|
|
|
||
|
|
Freescale Semiconductor, Inc., |
|
|
|
|
|
$13,675 |
|
8.875%, 12/15/14 |
|
B2/B- |
|
$6,085,375 |
|
1,250 |
|
9.125%, 12/15/14, PIK |
|
B2/B- |
|
293,750 |
|
|
|
|
|
|
|
6,379,125 |
|
|
|
|
|
|
|
|
|
Telecommunications5.0% |
|
|
|
|
|
||
20,425 |
|
Citizens Communications Co., 9.00%, 8/15/31 |
|
Ba2/BB |
|
12,969,875 |
|
5,000 |
|
Embarq Corp., 7.082%, 6/1/16 |
|
Baa3/BBB- |
|
3,855,135 |
|
|
|
Hawaiian Telcom Communications, Inc. (e), |
|
|
|
|
|
900 |
|
0.00%, 5/1/13, FRN |
|
Ca/NR |
|
51,750 |
|
8,815 |
|
9.75%, 5/1/13 |
|
Ca/NR |
|
705,200 |
|
5,250 |
|
Nordic Telephone Co. Holdings ApS, 8.875%, 5/1/16 (a)(d) |
|
B2/B+ |
|
3,701,250 |
|
7,840 |
|
Nortel Networks Ltd., 10.125%, 7/15/13 |
|
Caa2/B- |
|
2,116,800 |
|
14,625 |
|
PanAmSat Corp., 6.875%, 1/15/28 |
|
B1/BB- |
|
9,286,875 |
|
8,000 |
|
Qwest Capital Funding, Inc., 7.90%, 8/15/10 |
|
B1/B+ |
|
7,320,000 |
|
954 |
|
Qwest Communications International, Inc., 7.50%, 2/15/14 |
|
Ba3/B+ |
|
686,880 |
|
6,170 |
|
Sprint Capital Corp., 8.75%, 3/15/32 |
|
Ba2/BB |
|
4,172,592 |
|
2,250 |
|
TelCordia Technologies, Inc., 8.503%, 7/15/12, FRN (a)(d) |
|
B2/B |
|
1,102,500 |
|
|
|
Telesat Canada (a)(d), |
|
|
|
|
|
7,295 |
|
11.00%, 11/1/15 |
|
Caa1/B- |
|
5,252,400 |
|
4,200 |
|
12.50%, 11/1/17 |
|
Caa1/B- |
|
2,541,000 |
|
1,000 |
|
West Corp., 9.50%, 10/15/14 |
|
Caa1/B- |
|
555,000 |
|
3,500 |
|
Wind Acquisition Finance S.A., 10.75%, 12/1/15 (a)(d) |
|
B2/BB- |
|
3,027,500 |
|
|
|
|
|
|
|
57,344,757 |
|
|
|
|
|
|
|
|
|
Tobacco3.9% |
|
|
|
|
|
||
48,540 |
|
Reynolds American, Inc., 7.25%, 6/1/12 |
|
Baa3/BBB |
|
45,074,098 |
|
|
|
|
|
|
|
|
|
Utilities2.6% |
|
|
|
|
|
||
2,000 |
|
Energy Future Holdings Corp., 11.25%, 11/1/17, PIK (a)(d) |
|
B3/B- |
|
980,000 |
|
19,450 |
|
Legrand Holding S.A., 8.50%, 2/15/25 |
|
Baa3/BBB |
|
17,048,236 |
|
|
|
Texas Competitive Electric Holdings Co. LLC (a)(d), |
|
|
|
|
|
14,550 |
|
10.50%, 11/1/15 |
|
B3/CCC |
|
10,403,250 |
|
2,940 |
|
10.50%, 11/1/16, PIK |
|
B3/CCC |
|
1,484,700 |
|
|
|
|
|
|
|
29,916,186 |
|
|
|
Total Corporate Bonds & Notes (cost$1,095,763,616) |
|
|
|
774,384,715 |
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES6.8% |
|
|
|
|
|
||
|
|
American Home Mortgage Assets, CMO, |
|
|
|
|
|
1,378 |
|
0.661%, 5/25/46, FRN |
|
Aaa/AAA |
|
544,770 |
|
555 |
|
0.661%, 9/25/46, FRN |
|
Aaa/AAA |
|
220,938 |
|
1,694 |
|
0.681%, 10/25/46, FRN |
|
Aaa/AAA |
|
593,235 |
|
596 |
|
2.956%, 2/25/47, FRN |
|
Aaa/AAA |
|
200,182 |
|
6,316 |
|
3.176%, 11/25/46, FRN |
|
Aaa/AAA |
|
2,149,340 |
|
3,328 |
|
6.25%, 6/25/37 |
|
Aaa/B+ |
|
1,503,973 |
|
493 |
|
American Home Mortgage Investment Trust, 5.66%, 9/25/45, CMO, FRN |
|
Aa1/AAA |
|
234,235 |
|
132 |
|
Banc of America Mortgage Securities, Inc., 5.432%, 2/25/36, CMO, FRN |
|
NR/AAA |
|
93,424 |
|
|
|
Bear Stearns Adjustable Rate Mortgage Trust, CMO, |
|
|
|
|
|
118 |
|
5.009%, 1/25/35, VRN |
|
Aa2/AAA |
|
81,632 |
|
1,390 |
|
5.472%, 5/25/47, VRN |
|
NR/AAA |
|
806,327 |
|
676 |
|
5.729%, 2/25/36, FRN |
|
Aaa/AAA |
|
361,642 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
$2,850 |
|
Bear Stearns Commercial Mortgage Securities, Inc., 5.70%, 6/11/50, CMO |
|
NR/AAA |
|
$2,122,943 |
|
596 |
|
Chase Mortgage Finance Corp., 5.431%, 3/25/37, CMO, FRN |
|
A3/NR |
|
380,312 |
|
|
|
Citigroup Mortgage Loan Trust, Inc., CMO, |
|
|
|
|
|
645 |
|
1.271%, 8/25/35, FRN (a)(d) |
|
NR/AAA |
|
530,558 |
|
150 |
|
4.683%, 3/25/34, VRN |
|
Aaa/AAA |
|
112,594 |
|
386 |
|
5.664%, 7/25/46, VRN |
|
NR/AAA |
|
196,968 |
|
2,657 |
|
5.938%, 3/25/37, VRN |
|
NR/BB |
|
1,254,028 |
|
2,770 |
|
6.014%, 9/25/37, VRN |
|
NR/AAA |
|
1,474,436 |
|
5,600 |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 12/11/49, CMO |
|
Aaa/AAA |
|
3,926,778 |
|
712 |
|
Citimortgage Alternative Loan Trust, 6.00%, 6/25/37, CMO |
|
Aaa/NR |
|
585,353 |
|
7,850 |
|
Commercial Mortgage PassThrough Certificates, 5.306%, 12/10/46, CMO |
|
Aaa/NR |
|
5,753,481 |
|
|
|
Countrywide Alternative Loan Trust, CMO, |
|
|
|
|
|
1,065 |
|
0.661%, 9/25/46, FRN |
|
Aaa/AAA |
|
417,021 |
|
240 |
|
0.681%, 7/25/46, FRN |
|
Aaa/AAA |
|
104,636 |
|
3,118 |
|
0.703%, 12/20/46, FRN |
|
Aaa/AAA |
|
1,359,788 |
|
1,441 |
|
0.718%, 7/20/46, FRN |
|
Aaa/AAA |
|
592,208 |
|
84 |
|
0.731%, 6/25/35, FRN |
|
Aaa/AAA |
|
38,686 |
|
591 |
|
0.801%, 11/20/35, FRN |
|
Aaa/AAA |
|
296,685 |
|
761 |
|
3.256%, 12/25/35, FRN |
|
Aaa/AAA |
|
374,522 |
|
1,162 |
|
5.894%, 2/25/37, VRN |
|
NR/AAA |
|
626,576 |
|
845 |
|
6.00%, 11/25/36 |
|
Aaa/NR |
|
432,145 |
|
460 |
|
6.50%, 6/25/36 |
|
A1/NR |
|
225,494 |
|
264 |
|
Countrywide Home Loan Mortgage PassThrough Trust, 6.086%, 9/25/47, CMO, VRN |
|
NR/AAA |
|
135,633 |
|
3,700 |
|
Credit Suisse Mortgage Capital Certificates, 6.218%, 2/15/41, CMO, VRN |
|
NR/AAA |
|
2,872,227 |
|
1,289 |
|
CS First Boston Mortgage Securities Corp., 5.435%, 9/15/34, CMO |
|
Aaa/AAA |
|
1,194,555 |
|
3,500 |
|
Greenwich Capital Commercial Funding Corp., 5.444%, 3/10/39, CMO |
|
Aaa/AAA |
|
2,674,615 |
|
|
|
GS Mortgage Securities Corp. II, CMO, |
|
|
|
|
|
505 |
|
1.966%, 3/6/20, FRN (a)(d) |
|
Aaa/AAA |
|
372,504 |
|
5,700 |
|
5.56%, 11/10/39 |
|
Aaa/NR |
|
4,538,558 |
|
|
|
GSR Mortgage Loan Trust, CMO, VRN, |
|
|
|
|
|
655 |
|
5.180%, 1/25/36 |
|
NR/AAA |
|
452,567 |
|
639 |
|
5.346%, 11/25/35 |
|
NR/AAA |
|
396,767 |
|
|
|
Harborview Mortgage Loan Trust, CMO, |
|
|
|
|
|
249 |
|
0.698%, 8/21/36, FRN |
|
Aaa/AAA |
|
101,461 |
|
1,131 |
|
0.761%, 7/19/46, FRN |
|
Aaa/AAA |
|
460,773 |
|
312 |
|
0.781%, 9/19/46, FRN |
|
Aaa/AAA |
|
127,556 |
|
1,264 |
|
3.106%, 12/19/36, FRN |
|
Aaa/AAA |
|
490,405 |
|
2,049 |
|
5.75%, 8/19/36, VRN |
|
NR/AA |
|
1,010,951 |
|
242 |
|
5.908%, 8/19/36, VRN |
|
NR/AA- |
|
124,389 |
|
533 |
|
Indymac IMSC Mortgage Loan Trust, 0.651%, 7/25/47, CMO, FRN |
|
Aaa/AAA |
|
230,237 |
|
|
|
Indymac Index Mortgage Loan Trust, CMO, |
|
|
|
|
|
948 |
|
0.661%, 9/25/46, FRN |
|
Aaa/AAA |
|
384,298 |
|
509 |
|
0.671%, 6/25/47, FRN |
|
Aaa/AAA |
|
223,372 |
|
226 |
|
0.681%, 5/25/46, FRN |
|
Aaa/AAA |
|
91,919 |
|
146 |
|
0.711%, 7/25/35, FRN |
|
Aaa/AAA |
|
65,404 |
|
569 |
|
5.099%, 9/25/35, VRN |
|
Aaa/AAA |
|
273,797 |
|
5,648 |
|
5.627%, 11/25/35, FRN |
|
Aaa/AAA |
|
2,816,616 |
|
|
|
JP Morgan Chase Commercial Mortgage Securities Corp., CMO, |
|
|
|
|
|
800 |
|
5.399%, 5/15/45 |
|
Aaa/AAA |
|
612,557 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
$2,200 |
|
5.794%, 2/12/51, VRN |
|
Aaa/AAA |
|
$1,605,551 |
|
3,150 |
|
5.819%, 6/15/49, VRN |
|
Aaa/AAA |
|
2,234,735 |
|
1,193 |
|
JPMorgan Alternative Loan Trust, 5.55%, 10/25/36, CMO, VRN |
|
Aaa/AAA |
|
924,694 |
|
400 |
|
LB-UBS Commercial Mortgage Trust, 5.372%, 9/15/39, CMO |
|
Aaa/AAA |
|
315,005 |
|
316 |
|
Lehman Brothers Floating Rate Commercial Mortgage Trust, 1.275%, 9/15/21, CMO, FRN (a)(d) |
|
Aaa/AAA |
|
236,829 |
|
|
|
Luminent Mortgage Trust, CMO, FRN, |
|
|
|
|
|
653 |
|
0.641%, 12/25/36 |
|
Aaa/AAA |
|
287,944 |
|
340 |
|
0.651%, 12/25/36 |
|
NR/AAA |
|
137,599 |
|
239 |
|
0.671%, 10/25/46 |
|
Aaa/AAA |
|
98,449 |
|
|
|
MASTR Adjustable Rate Mortgages Trusts, CMO, FRN, |
|
|
|
|
|
420 |
|
0.681%, 4/25/46 |
|
Aaa/AAA |
|
165,440 |
|
676 |
|
0.711%, 5/25/37 |
|
A2/BB |
|
296,622 |
|
|
|
Merrill Lynch Alternative Note Asset, CMO, |
|
|
|
|
|
900 |
|
0.771%, 3/25/37, FRN |
|
B3/B+ |
|
247,661 |
|
782 |
|
5.625%, 6/25/37, VRN |
|
A1/B |
|
306,678 |
|
531 |
|
Merrill Lynch Mortgage Backed Securities Trust, 5.819%, 4/25/37, CMO, VRN |
|
NR/AA |
|
379,417 |
|
|
|
Morgan Stanley Mortgage Loan Trust, CMO, FRN, |
|
|
|
|
|
34 |
|
0.781%, 1/25/35 |
|
Aaa/AAA |
|
18,065 |
|
156 |
|
5.416%, 6/25/36 |
|
Aaa/AAA |
|
119,598 |
|
|
|
Residential Accredit Loans, Inc., CMO, FRN, |
|
|
|
|
|
385 |
|
0.721%, 8/25/37 |
|
Aaa/AAA |
|
153,814 |
|
3,898 |
|
0.801%, 3/25/37 |
|
Aaa/BB- |
|
1,154,079 |
|
|
|
Residential Asset Securitization Trust, CMO, |
|
|
|
|
|
504 |
|
0.921%, 12/25/36, FRN |
|
Baa3/B |
|
225,089 |
|
600 |
|
6.25%, 10/25/36 |
|
Ba3/AA |
|
238,211 |
|
800 |
|
6.50%, 8/25/36 |
|
Baa1/B |
|
237,860 |
|
230 |
|
Sequoia Mortgage Trust, 5.709%, 1/20/47, CMO, VRN |
|
NR/AAA |
|
153,595 |
|
|
|
Structured Asset Mortgage Investments, Inc., CMO, FRN, |
|
|
|
|
|
1,717 |
|
0.651%, 9/25/47 |
|
Aaa/AAA |
|
864,605 |
|
1,501 |
|
0.661%, 7/25/46 |
|
Aaa/AAA |
|
657,138 |
|
521 |
|
0.691%, 5/25/46 |
|
Aaa/AAA |
|
209,557 |
|
14,100 |
|
0.691%, 9/25/47 |
|
Aaa/AAA |
|
2,591,102 |
|
3,151 |
|
Suntrust Alternative Loan Trust, 0.821%, 4/25/36, CMO, FRN |
|
B1/NR |
|
1,311,903 |
|
|
|
Wachovia Bank Commercial Mortgage Trust, CMO, FRN (a)(d), |
|
|
|
|
|
2,847 |
|
1.275%, 6/15/20 |
|
Aaa/AAA |
|
2,020,898 |
|
7,205 |
|
1.285%, 9/15/21 |
|
Aaa/AAA |
|
5,513,886 |
|
|
|
WaMu Mortgage PassThrough Certificates, CMO, |
|
|
|
|
|
1,547 |
|
2.956%, 2/25/47, FRN |
|
Aaa/AAA |
|
576,320 |
|
1,239 |
|
2.956%, 3/25/47, FRN |
|
Aaa/AAA |
|
462,135 |
|
738 |
|
2.996%, 1/25/47, FRN |
|
Aaa/AAA |
|
272,891 |
|
951 |
|
3.016%, 4/25/47, FRN |
|
Aaa/AAA |
|
418,976 |
|
565 |
|
3.076%, 12/25/46, FRN |
|
Aaa/AAA |
|
212,376 |
|
400 |
|
4.019%, 1/25/47, FRN |
|
Aaa/AAA |
|
180,987 |
|
438 |
|
5.339%, 1/25/37, FRN |
|
NR/A |
|
247,270 |
|
1,656 |
|
5.449%, 2/25/37, VRN |
|
NR/AAA |
|
989,386 |
|
395 |
|
5.526%, 4/25/37, FRN |
|
NR/BBB |
|
208,545 |
|
278 |
|
5.605%, 12/25/36, FRN |
|
NR/AAA |
|
160,764 |
|
990 |
|
5.606%, 12/25/36, VRN |
|
NR/AAA |
|
492,721 |
|
673 |
|
5.653%, 5/25/37, FRN |
|
NR/AAA |
|
452,587 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
$874 |
|
5.706%, 2/25/37, VRN |
|
NR/AA |
|
$477,778 |
|
940 |
|
5.863%, 2/25/37, FRN |
|
NR/BB |
|
661,662 |
|
517 |
|
5.929%, 9/25/36, VRN |
|
NR/AAA |
|
299,418 |
|
323 |
|
Washington Mutual Alternative Mortgage PassThrough Certificates, 3.226%, 5/25/46, CMO, FRN |
|
Aaa/AAA |
|
137,971 |
|
|
|
Washington Mutual, Inc., CMO, FRN, |
|
|
|
|
|
874 |
|
3.026%, 4/25/47 |
|
Aaa/AAA |
|
241,152 |
|
868 |
|
3.096%, 5/25/47 |
|
Aaa/AAA |
|
276,216 |
|
|
|
Wells Fargo Mortgage Backed Securities Trust, CMO, FRN, |
|
|
|
|
|
1,358 |
|
0.971%, 7/25/37 |
|
A2/NR |
|
606,589 |
|
612 |
|
5.594%, 7/25/36 |
|
NR/AAA |
|
337,651 |
|
474 |
|
6.033%, 9/25/36 |
|
A3/NR |
|
283,474 |
|
|
|
Total Mortgage-Backed Securities (cost$91,227,544) |
|
|
|
77,948,964 |
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCK4.9% |
|
|
|
|
|
||
Banking2.5% |
|
|
|
|
|
|
|
25,000 |
|
Fifth Third Bancorp, 8.50%, 12/31/49 |
|
NR/BBB |
|
2,027,000 |
|
34,925 |
|
Wachovia Corp., 7.50%, 12/31/49 |
|
NR/NR |
|
26,193,750 |
|
|
|
|
|
|
|
28,220,750 |
|
|
|
|
|
|
|
|
|
Financial Services2.4% |
|
|
|
|
|
||
33,245 |
|
Bank of America Corp., 7.25%, 12/31/49 |
|
A1/A- |
|
21,659,118 |
|
222,000 |
|
Citigroup, Inc., 6.50%, 2/15/15 |
|
Baa2/BBB |
|
6,271,500 |
|
|
|
|
|
|
|
27,930,618 |
|
|
|
|
|
|
|
|
|
Insurance0.0% |
|
|
|
|
|
|
|
32,900 |
|
American International Group, Inc., 8.50%, 8/1/11 |
|
NR/NR |
|
279,650 |
|
|
|
Total Convertible Preferred Stock (cost$56,862,525) |
|
|
|
56,431,018 |
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
(000) |
|
|
|
|
|
|
|
SENIOR LOANS (a)(c)3.8% |
|
|
|
|
|
||
Chemicals0.1% |
|
|
|
|
|
||
|
|
Ineos Group Ltd., Term A , |
|
|
|
|
|
$123 |
|
5.727%, 10/7/12 |
|
|
|
63,087 |
|
1,231 |
|
5.952%, 10/7/12 |
|
|
|
630,870 |
|
|
|
|
|
|
|
693,957 |
|
|
|
|
|
|
|
|
|
Commercial Products0.4% |
|
|
|
|
|
||
7,893 |
|
Berry Plastics, 8.421%, 6/5/14 (b) |
|
|
|
5,095,751 |
|
|
|
|
|
|
|
|
|
Electronics0.6% |
|
|
|
|
|
||
10,700 |
|
Sensata Technologies, Inc., 11.25%, 1/15/14 (b)(d)(f) |
|
|
|
6,716,571 |
|
|
|
|
|
|
|
|
|
Entertainment0.2% |
|
|
|
|
|
||
|
|
Tribune Co., Term B, (e) |
|
|
|
|
|
$3,449 |
|
5.25%, 6/4/14 |
|
|
|
985,456 |
|
9,932 |
|
5.25%, 6/4/14 (b) |
|
|
|
1,928,399 |
|
|
|
|
|
|
|
2,913,855 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
Financial Services0.9% |
|
|
|
|
|
||
$19,750 |
|
Chrysler Financial Corp., 6.00%, 8/3/12 |
|
|
|
$10,382,852 |
|
|
|
|
|
|
|
|
|
Multi-Media0.2% |
|
|
|
|
|
||
2,650 |
|
CSC Holdings, Inc., 9.75%, 7/8/13 (b) |
|
|
|
2,159,750 |
|
|
|
|
|
|
|
|
|
Printing/Publishing0.1% |
|
|
|
|
|
||
6,075 |
|
RH Donnelley, Inc., 11.75%, 5/15/15, Term B (d) |
|
|
|
1,518,750 |
|
|
|
|
|
|
|
|
|
Recreation0.4% |
|
|
|
|
|
||
|
|
Amadeus Global Travel (b), |
|
|
|
|
|
1,211 |
|
2.436%, 4/8/13, Term B |
|
|
|
522,551 |
|
1,211 |
|
2.936%, 4/8/14, Term C |
|
|
|
554,055 |
|
709 |
|
3.944%, 4/8/12, Term A |
|
|
|
533,186 |
|
$6,912 |
|
Travelport, 3.709%, 8/23/13, Term DD |
|
|
|
3,110,625 |
|
|
|
|
|
|
|
4,720,417 |
|
|
|
|
|
|
|
|
|
Telecommunications0.4% |
|
|
|
|
|
||
|
|
Integra Telecom, Inc., Term T (b), |
|
|
|
|
|
1,607 |
|
5.709%, 8/31/13 |
|
|
|
964,235 |
|
1,344 |
|
6.446%, 8/31/13 |
|
|
|
806,723 |
|
1,008 |
|
7.219%, 8/31/13 |
|
|
|
605,042 |
|
2,985 |
|
West Corp., 7.25%, 10/24/13, Term B (b) |
|
|
|
1,862,428 |
|
|
|
|
|
|
|
4,238,428 |
|
|
|
|
|
|
|
|
|
Utilities0.2% |
|
|
|
|
|
||
|
|
Texas Competitive Electric Holdings Co., Term B1, |
|
|
|
|
|
15 |
|
3.949%, 10/10/14 |
|
|
|
10,522 |
|
2,970 |
|
5.368%, 10/10/14 |
|
|
|
2,072,708 |
|
|
|
|
|
|
|
2,083,230 |
|
|
|
|
|
|
|
|
|
Wholesale0.3% |
|
|
|
|
|
||
|
|
Roundys, Inc., Term B, |
|
|
|
|
|
2,169 |
|
3.20%, 10/27/11 (b) |
|
|
|
1,521,089 |
|
2,220 |
|
4.63%, 10/27/11 |
|
|
|
1,556,628 |
|
|
|
|
|
|
|
3,077,717 |
|
|
|
Total Senior Loans (cost$84,590,342) |
|
|
|
43,601,278 |
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES0.5% |
|
|
|
|
|
||
900 |
|
GSAA Trust, 0.771%, 3/25/37, FRN |
|
Aaa/AAA |
|
269,511 |
|
135 |
|
Lehman XS Trust, 0.691%, 4/25/46, FRN |
|
Aaa/AAA |
|
53,407 |
|
1,200 |
|
Master Asset Backed Securities Trust, 0.681%, 11/25/36, FRN |
|
B3/B |
|
278,104 |
|
6,500 |
|
Merrill Lynch First Franklin Mortgage Loan Trust, 0.591%, 7/25/37, FRN |
|
Baa2/AA |
|
4,141,327 |
|
900 |
|
Morgan Stanley Mortgage Loan Trust, 0.831%, 4/25/37, FRN |
|
Ba3/BB |
|
327,416 |
|
637 |
|
Reliant Energy Mid-Atlantic Power Holdings LLC, 9.237%, 7/2/17 |
|
Ba1/BB |
|
579,305 |
|
|
|
Total Asset-Backed Securities (cost$5,950,402) |
|
|
|
5,649,070 |
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS & NOTES0.4% |
|
|
|
|
|
||
Pennsylvania0.4% |
|
|
|
|
|
||
|
|
Economic Dev. Financing Auth. Rev., VRN (j), |
|
|
|
|
|
1,000 |
|
6.75%, 12/1/36 |
|
Ba3/NR |
|
640,610 |
|
5,300 |
|
6.75%, 12/1/36, Ser. A |
|
Ba3/NR |
|
3,395,233 |
|
|
|
Total Municipal Bonds & Notes (cost$6,298,761) |
|
|
|
4,035,843 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
SHORT-TERM INVESTMENTS15.9% |
|
|
|
|
|
||
|
|
|
|
|
|
|
|
U.S. Treasury Bills (h)10.2% |
|
|
|
|
|
||
$116,130 |
|
0.01%-0.37%,1/2/09-1/29/09 (cost$116,129,849) |
|
|
|
$116,129,849 |
|
|
|
|
|
|
|
|
|
Corporate Notes3.6% |
|
|
|
|
|
||
Chemicals0.4% |
|
|
|
|
|
||
5,500 |
|
Great Lakes Chemical Corp., 7.00%, 7/15/09 |
|
B2/B |
|
4,922,500 |
|
|
|
|
|
|
|
|
|
Financial Services1.2% |
|
|
|
|
|
||
10,140 |
|
American General Finance Corp., 4.625%, 5/15/09 |
|
Baa1/BBB |
|
8,697,514 |
|
|
|
CIT Group, Inc., |
|
|
|
|
|
2,000 |
|
3.375%, 4/1/09 |
|
Baa1/BBB+ |
|
1,938,914 |
|
3,000 |
|
6.875%, 11/1/09 |
|
Baa1/BBB+ |
|
2,880,921 |
|
|
|
|
|
|
|
13,517,349 |
|
Oil & Gas2.0% |
|
|
|
|
|
||
24,000 |
|
Ferrellgas L.P., 8.87%, 8/1/09 (a)(b)(f) |
|
NR/NR |
|
23,158,262 |
|
|
|
Total Corporate Notes (cost$43,407,597) |
|
|
|
41,598,111 |
|
|
|
|
|
|
|
|
|
U.S. Government Agency Securities0.1% |
|
|
|
|
|
||
1,000 |
|
Federal Home Loan Bank Discount Notes, 0.17%, 2/4/09 (cost$999,863) |
|
A-1+/A-1 |
|
999,863 |
|
|
|
|
|
|
|
|
|
Repurchase Agreement2.0% |
|
|
|
|
|
||
22,420 |
|
State Street Bank & Trust Co., dated 12/31/08, 0.01%, due 1/2/09, proceeds $22,420,012; collateralized by U.S. Treasury Bills, zero coupon, due 1/15/09, valued at $22,870,000 including accrued interest (cost$22,420,000) |
|
|
|
22,420,000 |
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments (cost$182,957,309) |
|
|
|
181,147,823 |
|
|
|
|
|
|
|
|
|
|
|
Total Investments (cost$1,523,650,499)100.0% |
|
|
|
$1,143,198,711 |
|
Notes to Schedule of Investments:
* |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services. |
|
|
|
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 procedures established by the Board of Trustee, or persons acting at their discretion pursuant to procedures established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The 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. Exchange traded options and futures are valued at the settlement price determined by the relevant exchange. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (NAV) of the Funds shares may be affected by changes in the value currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (NYSE) is closed and the NAV may change on days when an investor is not able to purchase or sell shares. |
|
|
|
The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and these differences could be material. The Funds NAV is normally determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business. |
|
|
(a) |
Private PlacementRestricted as to resale and may not have a readily available market. Securities with an aggregate value of $218,400,325 representing 19.10% 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 December 31, 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) |
Security in default. |
|
|
(f) |
Fair-valued securities with an aggregate value of $59,501,060, representing 5.2% of total investments. |
|
|
(g) |
Perpetual maturity security. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter. |
(h) |
All or partial amount segregated as collateral for swaps. |
|
|
(i) |
All or partial amount segregated as collateral for reverse repurchase agreements. |
|
|