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

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:    April 30, 2010

Estimated average burden hours per response........10.5

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-21311

 

 

PIMCO High Income Fund

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas New York, New York

 

10105

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna – 1345 Avenue of the Americas New York, New York 10105

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

March 31, 2009

 

 

 

 

Date of reporting period:

December 31, 2008

 

 

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

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

CORPORATE BONDS & NOTES—67.7%

 

 

 

 

 

Airlines—1.4%

 

 

 

 

 

$8,760

 

American Airlines, Inc., 8.608%, 10/1/12 (f)

 

Ba3/BB-

 

$5,694,000

 

10,997

 

Continental Airlines, Inc., 6.92%, 4/2/13 (a)(b)(f)

 

NR/NR

 

10,321,480

 

 

 

 

 

 

 

16,015,480

 

 

 

 

 

 

 

 

 

Automotive—1.5%

 

 

 

 

 

3,400

 

ArvinMeritor, Inc., 8.75%, 3/1/12

 

B2/B

 

1,853,000

 

1,000

 

Cooper-Standard Automotive, Inc., 8.375%, 12/15/14

 

Caa3/C

 

180,000

 

 

 

Ford Motor Co.,

 

 

 

 

 

5,000

 

7.125%, 11/15/25

 

Ca/CCC-

 

1,200,000

 

4,350

 

7.45%, 7/16/31

 

Ca/CCC-

 

1,239,750

 

5,900

 

7.50%, 8/1/26

 

Ca/CCC-

 

1,416,000

 

5,000

 

9.215%, 9/15/21

 

Ca/CCC-

 

1,175,000

 

 

 

General Motors Corp.,

 

 

 

 

 

20,000

 

7.125%, 7/15/13

 

C/C

 

3,750,000

 

20,000

 

9.40%, 7/15/21

 

C/C

 

3,500,000

 

4,284

 

Tenneco Automotive, Inc., 10.25%, 7/15/13

 

Ba3/BB

 

2,677,500

 

 

 

 

 

 

 

16,991,250

 

 

 

 

 

 

 

 

 

Banking—1.4%

 

 

 

 

 

19,350

 

Wachovia Capital Trust III, 5.80%, 3/15/11, VRN (g)

 

A3/A-

 

11,421,531

 

5,361

 

Wachovia Capital Trust V, 7.965%, 6/1/27, VRN (a)(d)

 

A2/A-

 

4,445,679

 

 

 

 

 

 

 

15,867,210

 

 

 

 

 

 

 

 

 

Building/Construction—0.3%

 

 

 

 

 

10,885

 

Ahern Rentals, Inc., 9.25%, 8/15/13

 

Caa1/B+

 

2,231,425

 

€2,000

 

Grohe Holding GmbH, 8.625%, 10/1/14

 

B3/CCC+

 

959,134

 

 

 

 

 

 

 

3,190,559

 

 

 

 

 

 

 

 

 

Chemicals—0.2%

 

 

 

 

 

$18,925

 

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

 

Caa2/CCC

 

1,797,875

 

 

 

 

 

 

 

 

 

Computer Services—0.6%

 

 

 

 

 

1,750

 

First Data Corp., 9.875%, 9/24/15 (a)(d)

 

B3/B

 

1,067,500

 

9,000

 

SunGard Data Systems, Inc., 10.25%, 8/15/15

 

Caa1/B-

 

5,985,000

 

 

 

 

 

 

 

7,052,500

 

 

 

 

 

 

 

 

 

Consumer Products—0.4%

 

 

 

 

 

6,720

 

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

 

Caa1/CCC+

 

4,905,600

 

 

 

 

 

 

 

 

 

Containers & Packaging—0.3%

 

 

 

 

 

7,500

 

Berry Plastics Holding Corp., 8.875%, 9/15/14

 

Caa1/CCC+

 

3,300,000

 

 

 

 

 

 

 

 

 

Electronics—1.1%

 

 

 

 

 

9,200

 

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

 

B3/B-

 

3,634,000

 

19,375

 

Sensata Technologies BV, 8.00%, 5/1/14

 

Caa1/CCC+

 

8,815,625

 

 

 

 

 

 

 

12,449,625

 

 

 

 

 

 

 

 

 

Energy—0.4%

 

 

 

 

 

9,120

 

Enterprise Products Operating L.P., 8.375%, 8/1/66, FRN

 

Ba1/BB

 

5,021,727

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services—36.9%

 

 

 

 

 

$12,593

 

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

 

B1/B+

 

$11,019,278

 

8,570

 

AGFC Capital Trust I, 6.00%, 1/15/67, VRN (a)(d)

 

Baa3/B

 

2,048,873

 

8,200

 

American Express Bank, 0.601%, 5/29/12, FRN

 

A1/A+

 

6,766,205

 

7,489

 

American Express Co., 6.80%, 9/1/66, VRN

 

Baa1/BBB+

 

3,881,436

 

 

 

American General Finance Corp.,

 

 

 

 

 

15,000

 

2.267%, 3/2/10, FRN

 

Baa1/NR

 

9,395,925

 

9,475

 

4.00%, 3/15/11

 

Baa1/BBB

 

4,596,995

 

10,000

 

5.40%, 12/1/15

 

Baa1/BBB

 

3,739,950

 

2,515

 

5.85%, 6/1/13

 

Baa1/BBB

 

955,964

 

3,000

 

6.90%, 12/15/17

 

Baa1/BBB

 

1,299,936

 

 

 

American International Group, Inc.,

 

 

 

 

 

7,000

 

1.625%, 3/20/12, FRN

 

A3/NR

 

4,390,372

 

2,500

 

4.25%, 5/15/13

 

A3/A-

 

1,844,188

 

4,500

 

5.05%, 10/1/15

 

A3/A-

 

3,021,503

 

€3,500

 

5.112%, 4/26/11

 

NR/NR

 

2,781,740

 

$3,000

 

5.375%, 10/18/11

 

A3/A-

 

2,469,291

 

13,150

 

5.85%, 1/16/18

 

A3/A-

 

8,828,068

 

14,814

 

6.25%, 5/1/36

 

A3/A-

 

8,338,238

 

32,050

 

8.175%, 5/15/68, VRN (a)(d)

 

Baa1/BBB

 

12,483,347

 

60,750

 

8.25%, 8/15/18 (a)(d)

 

A3/A-

 

44,529,689

 

£22,350

 

8.625%, 5/22/68, VRN (b)

 

Baa1/BBB

 

10,925,466

 

$12,500

 

AmSouth Bancorp, 6.75%, 11/1/25

 

A3/A-

 

11,075,475

 

10,435

 

Bank of America Corp., 8.125%, 5/15/18, FRN (g)

 

A1/A-

 

7,818,424

 

160

 

BankAmerica Capital II, 8.00%, 12/15/26

 

Aa3/A-

 

131,052

 

1,050

 

Bear Stearns Cos., Inc., 3.65%, 1/31/11, FRN

 

Aa2/NR

 

964,450

 

5,000

 

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

 

Caa3/B-

 

1,025,000

 

1,300

 

Caelus Re Ltd., 8.453%, 6/7/11, FRN (a)(d)

 

NR/BB+

 

1,242,280

 

7,700

 

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

 

B2/B+

 

3,599,750

 

 

 

CIT Group, Inc.,

 

 

 

 

 

5,000

 

3.765%, 4/27/11, FRN (i)

 

Baa1/BBB+

 

4,275,950

 

3,000

 

4.25%, 2/1/10

 

Baa1/BBB+

 

2,751,009

 

650

 

4.75%, 12/15/10

 

Baa1/BBB+

 

572,425

 

1,800

 

5.20%, 11/3/10

 

Baa1/BBB+

 

1,560,528

 

5,650

 

5.20%, 6/1/15

 

Baa1/BBB+

 

3,971,577

 

2,650

 

5.60%, 4/27/11

 

Baa1/BBB+

 

2,238,516

 

2,650

 

5.60%, 11/2/11

 

Baa1/BBB+

 

2,162,063

 

3,000

 

5.80%, 7/28/11

 

Baa1/BBB+

 

2,515,287

 

6,550

 

7.625%, 11/30/12

 

Baa1/BBB+

 

5,533,728

 

3,355

 

Citigroup Capital XXI, 8.30%, 12/21/77, VRN

 

A3/BBB

 

2,593,338

 

 

 

Citigroup, Inc.,

 

 

 

 

 

200

 

6.50%, 8/19/13

 

A2/A

 

202,016

 

37,175

 

8.40%, 4/30/18, FRN (g)

 

Baa2/BBB

 

24,592,750

 

1,100

 

First Horizon National Corp., 4.50%, 5/15/13

 

Baa2/BBB-

 

764,754

 

9,500

 

First Union Institutional Capital II, 7.85%, 1/1/27

 

A2/A-

 

7,802,265

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

27,000

 

8.00%, 12/15/16

 

Caa1/CCC+

 

17,609,319

 

6,000

 

12.00%, 5/15/15

 

Caa1/B

 

4,484,982

 

€5,000

 

General Electric Capital Corp., 5.50%, 9/15/67, VRN

 

Aa1/AA+

 

3,932,310

 

$16,270

 

General Motors Acceptance Corp. LLC, 8.00%, 11/1/31

 

C/CC

 

9,536,839

 

 

 

Goldman Sachs Group, Inc.,

 

 

 

 

 

5,000

 

6.15%, 4/1/18

 

A1/A

 

4,813,110

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$2,500

 

6.25%, 9/1/17

 

A1/A

 

$2,428,070

 

2,000

 

6.75%, 10/1/37

 

A2/A-

 

1,628,242

 

5,000

 

HBOS PLC, 6.75%, 5/21/18 (a)(d)

 

Aa3/A

 

4,407,805

 

8,521

 

ILFC E-Capital Trust I, 5.90%, 12/21/65, VRN (a)(d)

 

NR/NR

 

2,731,952

 

1,585

 

ILFC E-Capital Trust II, 6.25%, 12/21/65, VRN (a)(d)

 

NR/NR

 

662,646

 

 

 

International Lease Finance Corp.,

 

 

 

 

 

€15,000

 

4.62%, 8/15/11, FRN

 

Baa1/A-

 

14,892,494

 

$15,500

 

4.875%, 9/1/10

 

Baa1/A-

 

12,154,635

 

3,935

 

5.00%, 9/15/12

 

Baa1/A-

 

2,713,737

 

1,950

 

5.55%, 9/5/12

 

Baa1/A-

 

1,346,184

 

14,300

 

5.75%, 6/15/11

 

Baa1/A-

 

10,434,181

 

18,000

 

6.29%, 10/15/17 (f)

 

NR/A-

 

11,148,937

 

1,500

 

6.625%, 11/15/13

 

Baa1/A-

 

1,011,632

 

 

 

JET Equipment Trust (a)(d)(e)(f),

 

 

 

 

 

91

 

7.63%, 2/15/15

 

NR/NR

 

342

 

242

 

10.00%, 12/15/13

 

NR/NR

 

169,550

 

2,050

 

JPMorgan Chase & Co., 7.90%, 4/30/18, FRN (g)

 

A1/A-

 

1,709,753

 

18,445

 

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

 

Caa1/CCC

 

7,470,225

 

100

 

Merrill Lynch & Co., Inc., 5.45%, 2/5/13

 

A2/A

 

96,211

 

 

 

Morgan Stanley, FRN,

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Food—0.8%

 

 

 

 

 

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 & Hospitals—3.0%

 

 

 

 

 

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)

 

 

 

(Moody’s/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/Gaming—0.2%

 

 

 

 

 

8,679

 

Harrah’s Operating Co., Inc., 10.75%, 2/1/16 (a)(d)

 

Caa2/CCC

 

2,516,910

 

 

 

 

 

 

 

 

 

Machinery—0.2%

 

 

 

 

 

2,600

 

Chart Industries, Inc., 9.125%, 10/15/15

 

B3/B+

 

1,963,000

 

 

 

 

 

 

 

 

 

Multi-Media—0.9%

 

 

 

 

 

€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 & Gas—4.0%

 

 

 

 

 

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 Products—1.3%

 

 

 

 

 

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/Publishing—0.7%

 

 

 

 

 

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)

 

 

 

(Moody’s/S&P)

 

Value*

 

Semi-conductors—0.6%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Telecommunications—5.0%

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Tobacco—3.9%

 

 

 

 

 

48,540

 

Reynolds American, Inc., 7.25%, 6/1/12

 

Baa3/BBB

 

45,074,098

 

 

 

 

 

 

 

 

 

Utilities—2.6%

 

 

 

 

 

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 SECURITIES—6.8%

 

 

 

 

 

 

 

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)

 

 

 

(Moody’s/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 Pass—Through 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 Pass—Through 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)

 

 

 

(Moody’s/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 Pass—Through 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)

 

 

 

(Moody’s/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 Pass—Through 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 STOCK—4.9%

 

 

 

 

 

Banking—2.5%

 

 

 

 

 

 

 

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 Services—2.4%

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Insurance—0.0%

 

 

 

 

 

 

 

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%

 

 

 

 

 

Chemicals—0.1%

 

 

 

 

 

 

 

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 Products—0.4%

 

 

 

 

 

7,893

 

Berry Plastics, 8.421%, 6/5/14 (b)

 

 

 

5,095,751

 

 

 

 

 

 

 

 

 

Electronics—0.6%

 

 

 

 

 

€10,700

 

Sensata Technologies, Inc., 11.25%, 1/15/14 (b)(d)(f)

 

 

 

6,716,571

 

 

 

 

 

 

 

 

 

Entertainment—0.2%

 

 

 

 

 

 

 

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)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services—0.9%

 

 

 

 

 

$19,750

 

Chrysler Financial Corp., 6.00%, 8/3/12

 

 

 

$10,382,852

 

 

 

 

 

 

 

 

 

Multi-Media—0.2%

 

 

 

 

 

2,650

 

CSC Holdings, Inc., 9.75%, 7/8/13 (b)

 

 

 

2,159,750

 

 

 

 

 

 

 

 

 

Printing/Publishing—0.1%

 

 

 

 

 

6,075

 

RH Donnelley, Inc., 11.75%, 5/15/15, Term B (d)

 

 

 

1,518,750

 

 

 

 

 

 

 

 

 

Recreation—0.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Telecommunications—0.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Utilities—0.2%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Wholesale—0.3%

 

 

 

 

 

 

 

Roundy’s, 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 SECURITIES—0.5%

 

 

 

 

 

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 & NOTES—0.4%

 

 

 

 

 

Pennsylvania—0.4%

 

 

 

 

 

 

 

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)

 

 

 

(Moody’s/S&P)

 

Value*

 

SHORT-TERM INVESTMENTS—15.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

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 Notes—3.6%

 

 

 

 

 

Chemicals—0.4%

 

 

 

 

 

5,500

 

Great Lakes Chemical Corp., 7.00%, 7/15/09

 

B2/B

 

4,922,500

 

 

 

 

 

 

 

 

 

Financial Services—1.2%

 

 

 

 

 

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 & Gas—2.0%

 

 

 

 

 

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 Securities—0.1%

 

 

 

 

 

1,000

 

Federal Home Loan Bank Discount Notes, 0.17%, 2/4/09 (cost—$999,863)

 

A-1+/A-1

 

999,863

 

 

 

 

 

 

 

 

 

Repurchase Agreement—2.0%

 

 

 

 

 

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 Fund’s 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 Fund’s 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 Fund’s 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 Placement—Restricted 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 Security—Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

 

 

(e)

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.