Form N-Q for the September 30, 2007 Reporting Period

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-10603

Western Asset Premier Bond Fund

(Exact Name of Registrant as Specified In Its Charter)

 

Address of Principal Executive Offices:  

385 East Colorado Boulevard

Pasadena, CA 91101

Name and address of agent for service:   Charles A. Ruys de Perez
 

385 East Colorado Boulevard

Pasadena, CA 91101

Registrant’s telephone number, including area code: (410) 539-0000

Date of fiscal year end: December 31, 2007

Date of reporting period: September 30, 2007

Item 1 – Schedule of Investments

Portfolio of Investments

Western Asset Premier Bond Fund

September 30, 2007 (Unaudited)

(Amounts in Thousands)

 

     Rate    

Maturity

Date

    Par/Shares†    Value  

Long-Term Securities — 147.2%

           

Corporate Bonds and Notes — 76.6%

           

Aerospace and Defense — 1.5%

           

DRS Technologies Inc.

    6.625 %   2/1/16    $ 300    $ 296  

L-3 Communications Corp.

    6.375 %   10/15/15      430      423  

Northrop Grumman Corp.

    7.750 %   2/15/31      1,000      1,173  

The Boeing Co.

    6.125 %   2/15/33      600      599  
                
             2,491  
                
Airlines — 9.6%           

America West Airlines Inc.

    8.057 %   7/2/20      3,042      3,239  

Continental Airlines Inc.

    7.160 %   3/24/13      914      905  

Continental Airlines Inc.

    6.900 %   1/2/18      1,016      1,038  

Continental Airlines Inc.

    6.820 %   5/1/18      959      948  

Continental Airlines Inc.

    6.545 %   2/2/19      1,853      1,864  

Continental Airlines Inc.

    8.048 %   11/1/20      708      758  

Continental Airlines Inc.

    6.703 %   6/15/21      965      965  

DAE Aviation Holdings Inc.

    11.250 %   8/1/15      460      481 A

Northwest Airlines Inc.

    5.836 %   8/6/13      2,399      2,243 B

United Air Lines Inc.

    7.032 %   10/1/10      288      289  

United Air Lines Inc.

    7.186 %   4/1/11      60      61  

United Air Lines Inc.

    6.602 %   9/1/13      939      942  

US Airways Pass-Through Trust

    6.850 %   1/30/18      2,636      2,596  
                
             16,329  
                

Auto Components — 0.3%

           

Visteon Corp.

    8.250 %   8/1/10      645      568  
                

Automobiles — 1.6%

           

DaimlerChrysler NA Holding Corp.

    7.300 %   1/15/12      1,000      1,067  

DaimlerChrysler NA Holding Corp.

    8.500 %   1/18/31      1,000      1,240  

Ford Motor Co.

    4.250 %   12/15/36      80      93 C

General Motors Corp.

    8.375 %   7/15/33      420      368  
                
             2,768  
                

Building Products — 0.5%

           

Associated Materials Inc.

    0.000 %   3/1/14      675      426 D

Nortek Inc.

    8.500 %   9/1/14      180      156  

NTK Holdings Inc.

    0.000 %   3/1/14      550      338 D
                
             920  
                

Capital Markets — 2.4%

           

Credit Suisse USA Inc.

    6.500 %   1/15/12      1,125      1,176  

E*Trade Financial Corp.

    7.375 %   9/15/13      160      150  

E*Trade Financial Corp.

    7.875 %   12/1/15      35      32  

Morgan Stanley

    6.600 %   4/1/12      1,500      1,558  

The Goldman Sachs Group Inc.

    6.600 %   1/15/12      1,200      1,257  
                
             4,173  
                

     Rate    

Maturity

Date

    Par/Shares†    Value  

Long-Term Securities — Continued

           

Corporate Bonds and Notes — Continued

           

Chemicals — 1.9%

           

Georgia Gulf Corp.

    9.500 %   10/15/14    $ 310    $ 284  

Huntsman International LLC

    7.875 %   11/15/14      95      101  

Lyondell Chemical Co.

    10.500 %   6/1/13      135      145  

The Dow Chemical Co.

    6.000 %   10/1/12      2,500      2,563  

Westlake Chemical Corp.

    6.625 %   1/15/16      70      66  
                
             3,159  
                

Commercial Services and Supplies — 1.7%

           

Allied Security Escrow Corp.

    11.375 %   7/15/11      60      60  

Interface Inc.

    10.375 %   2/1/10      400      422  

Rental Service Corp.

    9.500 %   12/1/14      200      191  

Waste Management Inc.

    7.375 %   5/15/29      2,000      2,146  

Waste Management Inc.

    7.750 %   5/15/32      40      45  
                
             2,864  
                

Communications Equipment — N.M.

           

Motorola Inc.

    7.625 %   11/15/10      64      68  
                

Computers and Peripherals — 0.1%

           

International Business Machines Corp.

    4.750 %   11/29/12      240      236  
                

Consumer Finance — 1.9%

           

Ford Motor Credit Co.

    8.110 %   1/13/12      70      66  B

GMAC LLC

    6.875 %   8/28/12      150      141  

GMAC LLC

    8.000 %   11/1/31      1,530      1,501  

HSBC Finance Corp.

    4.750 %   7/15/13      1,670      1,589  
                
             3,297  
                

Containers and Packaging — 0.3%

           

Graham Packaging Co. Inc.

    9.875 %   10/15/14      298      295  

Graphic Packaging International Corp.

    9.500 %   8/15/13      210      216  
                
             511  
                

Distributors — 0.2%

           

Keystone Automotive Operations Inc.

    9.750 %   11/1/13      480      391  
                

Diversified Consumer Services — 0.4%

           

Education Management LLC

    8.750 %   6/1/14      155      159  

Education Management LLC

    10.250 %   6/1/16      240      248  

Service Corp. International

    6.750 %   4/1/16      140      136  

Service Corp. International

    7.625 %   10/1/18      5      5  

Service Corp. International

    7.500 %   4/1/27      60      56  
                
             604  
                

Diversified Financial Services — 6.3%

           

AAC Group Holding Corp.

    0.000 %   10/1/12      440      392  D

Air 2 US

    8.027 %   10/1/19      506      513  A

Boeing Capital Corp.

    6.500 %   2/15/12      1,000      1,054  

Boeing Capital Corp.

    5.800 %   1/15/13      400      409  

CCM Merger Inc.

    8.000 %   8/1/13      140      136  A

Citigroup Inc.

    6.625 %   6/15/32      1,000      1,044  

DI Finance LLC

    9.500 %   2/15/13      502      520  

Fuji Co. Ltd.

    9.870 %   6/30/08      790      811  A,D

 

     Rate    

Maturity

Date

    Par/Shares†    Value  

Long-Term Securities — Continued

           

Corporate Bonds and Notes — Continued

           

Diversified Financial Services — Continued

           

General Electric Capital Corp.

    3.750 %   12/15/09    $ 740    $ 721  

General Electric Capital Corp.

    6.000 %   6/15/12      700      722  

General Electric Capital Corp.

    5.450 %   1/15/13      250      252  

GrafTech Finance Inc.

    10.250 %   2/15/12      33      34  

JPMorgan Chase and Co.

    5.750 %   1/2/13      1,750      1,775  

JPMorgan Chase and Co.

    5.125 %   9/15/14      1,300      1,268  

Milacron Escrow Corp.

    11.500 %   5/15/11      410      385  

Vanguard Health Holding Co. II LLC

    9.000 %   10/1/14      735      713  
                
             10,749  
                

Diversified Telecommunication Services — 3.0%

           

AT&T Inc.

    6.250 %   3/15/11      1,000      1,029 E

BellSouth Corp.

    6.000 %   10/15/11      1,000      1,024  

Cincinnati Bell Inc.

    7.000 %   2/15/15      270      261  

Cincinnati Bell Inc.

    6.300 %   12/1/28      25      22  

Citizens Communications Co.

    9.250 %   5/15/11      90      98  

Citizens Communications Co.

    7.875 %   1/15/27      115      112  

Citizens Communications Co.

    7.050 %   10/1/46      25      20  

Hawaiian Telcom Communications Inc.

    12.500 %   5/1/15      215      232  

Level 3 Financing Inc.

    9.250 %   11/1/14      320      315  

Level 3 Financing Inc.

    9.150 %   2/15/15      50      48 B

MetroPCS Wireless Inc.

    9.250 %   11/1/14      35      36 A

NTL Cable PLC

    8.750 %   4/15/14      280      287  

Qwest Communications International Inc.

    7.250 %   2/15/11      160      162  

Qwest Corp.

    7.875 %   9/1/11      390      409  

Qwest Corp.

    8.875 %   3/15/12      140      153  

Qwest Corp.

    7.500 %   10/1/14      150      156  

Telcordia Technologies Inc.

    10.000 %   3/15/13      485      400 A

Windstream Corp.

    8.625 %   8/1/16      330      352  
                
             5,116  
                

Electric Utilities — 4.4%

           

Duke Energy Corp.

    6.250 %   1/15/12      250      259  

Edison Mission Energy

    7.500 %   6/15/13      20      20  

Edison Mission Energy

    7.750 %   6/15/16      180      186  

FirstEnergy Corp.

    6.450 %   11/15/11      610      631  

FirstEnergy Corp.

    7.375 %   11/15/31      3,040      3,327  

IPALCO Enterprises Inc.

    8.625 %   11/14/11      130      137 F

Midwest Generation LLC

    8.560 %   1/2/16      83      89  

Niagara Mohawk Power Corp.

    7.750 %   10/1/08      1,500      1,530  

Orion Power Holdings Inc.

    12.000 %   5/1/10      150      164  

Progress Energy Inc.

    7.100 %   3/1/11      117      123  

Progress Energy Inc.

    6.850 %   4/15/12      750      790  

TXU Electric Delivery Co.

    7.000 %   9/1/22      250      255  
                
             7,511  
                

Energy Equipment and Services — 0.4%

           

Complete Production Services Inc.

    8.000 %   12/15/16      150      148  

Gulfmark Offshore Inc.

    7.750 %   7/15/14      270      272  

Pride International Inc.

    7.375 %   7/15/14      240      246  
                
             666  
                

 

     Rate    

Maturity

Date

    Par/Shares†    Value  

Long-Term Securities — Continued

           

Corporate Bonds and Notes — Continued

           

Food and Staples Retailing — 2.0%

           

CVS Corp.

    5.789 %   1/10/26    $ 905    $ 894 A

CVS Lease Pass-Through Trust

    5.880 %   1/10/28      981      935 A

CVS Lease Pass-Through Trust

    6.036 %   12/10/28      984      955 A

Delhaize America Inc.

    9.000 %   4/15/31      166      198  

Safeway Inc.

    5.800 %   8/15/12      500      509  
                
             3,491  
                

Food Products — 0.2%

           

Dole Food Co. Inc.

    7.250 %   6/15/10      285      269  
                

Gas Utilities — 0.6%

           

Panhandle Eastern Pipe Line Co.

    4.800 %   8/15/08      400      397  

Southern Natural Gas Co.

    8.000 %   3/1/32      20      23  

Suburban Propane Partners LP

    6.875 %   12/15/13      580      565  
                
             985  
                

Health Care Equipment and Supplies — 0.1%

           

Fresenius Medical Care Capital Trust II

    7.875 %   2/1/08      250      251  
                

Health Care Providers and Services — 2.5%

           

Community Health Systems Inc.

    8.875 %   7/15/15      460      473 A

DaVita Inc.

    6.625 %   3/15/13      100      99  

DaVita Inc.

    7.250 %   3/15/15      300      301  

HCA Inc.

    6.250 %   2/15/13      85      75  

HCA Inc.

    6.500 %   2/15/16      105      89  

HCA Inc.

    9.250 %   11/15/16      195      207 A

HCA Inc.

    9.625 %   11/15/16      275      294 A,G

HCA Inc.

    7.690 %   6/15/25      90      74  

HCA Inc.

    7.500 %   11/15/95      185      141  

Tenet Healthcare Corp.

    9.250 %   2/1/15      2,810      2,480  
                
             4,233  
                

Hotels, Restaurants and Leisure — 1.3%

           

Buffets Inc.

    12.500 %   11/1/14      275      193  

Denny’s Holdings Inc.

    10.000 %   10/1/12      90      93  

El Pollo Loco Inc.

    11.750 %   11/15/13      195      201  

Inn of the Mountain Gods Resort and Casino

    12.000 %   11/15/10      530      559  

MGM MIRAGE

    8.500 %   9/15/10      10      10  

Pinnacle Entertainment Inc.

    8.250 %   3/15/12      250      253  

Pokagon Gaming Authority

    10.375 %   6/15/14      250      274 A

River Rock Entertainment Authority

    9.750 %   11/1/11      180      186  

Sbarro Inc.

    10.375 %   2/1/15      100      91  

Snoqualmie Entertainment Authority

    9.063 %   2/1/14      110      107 A,B

Station Casinos Inc.

    7.750 %   8/15/16      205      203  

Station Casinos Inc.

    6.625 %   3/15/18      100      84  
                
             2,254  
                

Household Durables — 0.5%

           

American Greetings Corp.

    7.375 %   6/1/16      20      19  

K Hovnanian Enterprises Inc.

    8.625 %   1/15/17      300      247  

Norcraft Cos.

    9.000 %   11/1/11      360      362  

 

     Rate    

Maturity

Date

    Par/Shares†    Value  

Long-Term Securities — Continued

           

Corporate Bonds and Notes — Continued

           

Household Durables — Continued

           

Norcraft Holdings LP

    0.000 %   9/1/12    $ 155    $ 139 D
                
             767  
                

Independent Power Producers and Energy Traders — 2.4%

           

Dynegy Holdings Inc.

    7.750 %   6/1/19      450      430 A

Exelon Generation Co. LLC

    6.950 %   6/15/11      2,000      2,095  

Mirant North America LLC

    7.375 %   12/31/13      350      355  

NRG Energy Inc.

    7.375 %   2/1/16      505      506  

NRG Energy Inc.

    7.375 %   1/15/17      225      225  

The AES Corp.

    9.000 %   5/15/15      440      462 A
                
             4,073  
                

Internet and Catalog Retail — N.M.

           

FTD Inc.

    7.750 %   2/15/14      60      57  
                

IT Services — 1.1%

           

Electronic Data Systems Corp.

    7.125 %   10/15/09      700      713  

Electronic Data Systems Corp.

    7.450 %   10/15/29      500      506  

SunGard Data Systems Inc.

    10.250 %   8/15/15      630      658  
                
             1,877  
                

Leisure Equipment and Products — 1.0%

           

Eastman Kodak Co.

    7.250 %   11/15/13      1,800      1,786  
                

Media — 7.1%

           

Affinion Group Inc.

    10.125 %   10/15/13      180      190  

Affinion Group Inc.

    11.500 %   10/15/15      225      236  

AMC Entertainment Inc.

    11.000 %   2/1/16      55      59  

CCH I Holdings LLC

    11.750 %   5/15/14      470      435  

CCH I Holdings LLC

    12.125 %   1/15/15      125      117  

CCH I Holdings LLC

    11.000 %   10/1/15      337      341  

CCH II Holdings LLC

    10.250 %   9/15/10      280      286  

Charter Communications Holdings LLC

    11.750 %   5/15/11      110      105  

Charter Communications Holdings LLC

    12.125 %   1/15/12      60      57  

Clear Channel Communications Inc.

    4.900 %   5/15/15      700      527  

CMP Susquehanna Corp.

    9.875 %   5/15/14      190      177  

Comcast Cable Communications Inc.

    6.750 %   1/30/11      500      519  

Comcast Corp.

    5.900 %   3/15/16      400      398  

Comcast Corp.

    7.050 %   3/15/33      1,000      1,054  

CSC Holdings Inc.

    8.125 %   7/15/09      30      30  

CSC Holdings Inc.

    8.125 %   8/15/09      40      41  

CSC Holdings Inc.

    7.625 %   4/1/11      50      50  

CSC Holdings Inc.

    6.750 %   4/15/12      250      241  

CSC Holdings Inc.

    7.875 %   2/15/18      45      44  

Dex Media East LLC

    12.125 %   11/15/12      122      130  

EchoStar DBS Corp.

    7.000 %   10/1/13      600      613  

Idearc Inc.

    8.000 %   11/15/16      180      179  

ION Media Networks Inc.

    11.610 %   1/15/13      55      56 A,B

Lamar Media Corp.

    6.625 %   8/15/15      120      116  

Liberty Media LLC

    3.750 %   2/15/30      1,860      1,079 C

News America Holdings Inc.

    8.875 %   4/26/23      400      474  

News America Inc.

    6.625 %   1/9/08      300      301  

R.H. Donnelley Corp.

    8.875 %   10/15/17      710      721 A

 

     Rate    

Maturity

Date

    Par/Shares†     Value  

Long-Term Securities — Continued

          

Corporate Bonds and Notes — Continued

          

Media — Continued

          

Time Warner Inc.

    6.875 %   5/1/12    $ 1,400     $ 1,469  

Time Warner Inc.

    7.700 %   5/1/32      1,150       1,263  

TL Acquisitions Inc.

    10.500 %   1/15/15      270       267 A

Tube City IMS Corp.

    9.750 %   2/1/15      185       181  

Univision Communications Inc.

    9.750 %   3/15/15      115       112 A,G

WMG Acquisition Corp.

    7.375 %   4/15/14      160       139  

XM Satellite Radio Inc.

    9.856 %   5/1/13      80       79 B

XM Satellite Radio Inc.

    9.750 %   5/1/14      110       110  
               
            12,196  
               

Metals and Mining — 1.4%

          

Alcoa Inc.

    5.375 %   1/15/13      750       740  

Freeport-McMoRan Copper & Gold Inc.

    8.375 %   4/1/17      960       1,049  

Metals USA Inc.

    11.125 %   12/1/15      445       474  

Noranda Aluminium Holding Corp.

    11.146 %   11/15/14      195       181 A,B,G
               
            2,444  
               

Multi-Utilities — 0.6%

          

Dominion Resources Inc.

    5.700 %   9/17/12      770       773  

MidAmerican Energy Holdings Co.

    5.875 %   10/1/12      250       254  
               
            1,027  
               

Multiline Retail — 0.2%

          

The Neiman-Marcus Group Inc.

    9.000 %   10/15/15      260       277 G
               

Oil, Gas and Consumable Fuels — 9.9%

          

Belden and Blake Corp.

    8.750 %   7/15/12      750       763  

Chesapeake Energy Corp.

    6.375 %   6/15/15      480       471  

Chesapeake Energy Corp.

    6.625 %   1/15/16      30       30  

Colorado Interstate Gas Co.

    6.800 %   11/15/15      150       155  

ConocoPhillips

    4.750 %   10/15/12      900       880  

DCP Midstream LP

    7.875 %   8/16/10      750       800  

Devon Energy Corp.

    7.950 %   4/15/32      1,000       1,192  

Devon Financing Corp. ULC

    6.875 %   9/30/11      2,000       2,114  

El Paso Corp.

    6.375 %   2/1/09      333       334  

El Paso Corp.

    7.750 %   6/15/10      1,496       1,550  

El Paso Corp.

    7.800 %   8/1/31      190       193  

Exco Resources Inc.

    7.250 %   1/15/11      275       274  

Gazprom

    6.790 %   10/29/09      31,200  RUB     1,272  

Gazprom

    7.000 %   10/27/11      10,400  RUB     428  

Hess Corp.

    7.875 %   10/1/29      1,640       1,885  

Hess Corp.

    7.300 %   8/15/31      60       66  

International Coal Group Inc.

    10.250 %   7/15/14      220       211  

Kinder Morgan Energy Partners LP

    7.125 %   3/15/12      500       527  

Occidental Petroleum Corp.

    6.750 %   1/15/12      500       529  

Parker Drilling Co.

    9.625 %   10/1/13      300       321  

Petrohawk Energy Corp.

    9.125 %   7/15/13      145       153  

Pogo Producing Co.

    6.875 %   10/1/17      290       291  

SemGroup LP

    8.750 %   11/15/15      305       298 A

SESI LLC

    6.875 %   6/1/14      10       10  

Sonat Inc.

    7.625 %   7/15/11      500       517  

Stone Energy Corp.

    8.250 %   12/15/11      160       160  

 

     Rate    

Maturity

Date

    Par/Shares†    Value  

Long-Term Securities — Continued

           

Corporate Bonds and Notes — Continued

           

Oil, Gas and Consumable Fuels — Continued

           

The Williams Cos. Inc.

    7.500 %   1/15/31    $ 902    $ 936  

The Williams Cos. Inc.

    8.750 %   3/15/32      85      98  

Valero Energy Corp.

    7.500 %   4/15/32      400      439  
                
             16,897  
                

Paper and Forest Products — 2.5%

           

Appleton Papers Inc.

    8.125 %   6/15/11      5      5  

Appleton Papers Inc.

    9.750 %   6/15/14      305      304  

NewPage Corp.

    12.000 %   5/1/13      260      279  

Verso Paper Holdings LLC

    11.375 %   8/1/16      185      195  

Weyerhaeuser Co.

    6.750 %   3/15/12      2,400      2,492  

Weyerhaeuser Co.

    7.375 %   3/15/32      1,000      1,003  
                
             4,278  
                

Pharmaceuticals — 0.1%

           

Leiner Health Products Inc.

    11.000 %   6/1/12      280      235  
                

Real Estate Investment Trusts (REITs) — 0.2%

           

Ventas Inc.

    6.750 %   4/1/17      260      259  
                

Real Estate Management and Development — 0.3%

           

Ashton Woods USA LLC

    9.500 %   10/1/15      125      99  

Kimball Hill Inc.

    10.500 %   12/15/12      45      31  

Realogy Corp.

    12.375 %   4/15/15      495      374 A
                
             504  
                

Road and Rail — 1.9%

           

Hertz Corp.

    10.500 %   1/1/16      645      697  

Kansas City Southern Railway

    7.500 %   6/15/09      150      152  

Saint Acquisition Corp.

    13.308 %   5/15/15      135      92 A,B

Saint Acquisition Corp.

    12.500 %   5/15/17      405      271 A

Union Pacific Corp.

    6.125 %   1/15/12      2,000      2,049  
                
             3,261  
                

Semiconductors and Semiconductor Equipment — 0.1%

           

Freescale Semiconductor Inc.

    8.875 %   12/15/14      235      227  
                

Software — 0.1%

           

Activant Solutions Inc.

    9.500 %   5/1/16      165      145  
                

Specialty Retail — 0.1%

           

Blockbuster Inc.

    9.000 %   9/1/12      230      207  

Eye Care Centers of America Inc.

    10.750 %   2/15/15      40      43  
                
             250  
                

Textiles, Apparel and Luxury Goods — 0.3%

           

Levi Strauss and Co.

    9.750 %   1/15/15      120      126  

Levi Strauss and Co.

    8.875 %   4/1/16      50      51  

Oxford Industries Inc.

    8.875 %   6/1/11      180      182  

Simmons Co.

    0.000 %   12/15/14      90      72 D
                
             431  
                

Thrifts and Mortgage Finance — 0.3%

           

Washington Mutual Bank

    5.500 %   1/15/13      440      424  
                

 

     Rate    

Maturity

Date

    Par/Shares†    Value  

Long-Term Securities — Continued

           

Corporate Bonds and Notes — Continued

           

Tobacco — 1.0%

           

Alliance One International Inc.

    11.000 %   5/15/12    $ 135    $ 143  

Altria Group Inc.

    7.000 %   11/4/13      250      272  

Altria Group Inc.

    7.750 %   1/15/27      1,000      1,229  
                
             1,644  
                

Trading Companies and Distributors — 0.5%

           

Ashtead Capital Inc.

    9.000 %   8/15/16      129      127 A

H&E Equipment Services Inc.

    8.375 %   7/15/16      345      336  

Penhall International Corp.

    12.000 %   8/1/14      390      394 A
                
             857  
                

Transportation Infrastructure — 0.2%

           

Hawker Beechcraft Acquisition Co.

    8.875 %   4/1/15      20      20 A,G

Hawker Beechcraft Acquisition Co.

    9.750 %   4/1/17      380      389 A
                
             409  
                

Wireless Telecommunication Services — 1.6%

           

AT&T Mobility LLC

    6.500 %   12/15/11      250      261  

New Cingular Wireless Services Inc.

    8.125 %   5/1/12      500      554  

Rural Cellular Corp.

    9.875 %   2/1/10      100      104  

Rural Cellular Corp.

    8.250 %   3/15/12      135      140  

Sprint Capital Corp.

    8.375 %   3/15/12      1,450      1,597  
                
             2,656  
                

Total Corporate Bonds and Notes (Cost — $129,508)

              130,885  
                

Asset-Backed Securities — 13.1%

           

Fixed Rate Securities — 6.2%

           

ACE Securities Corp. 2002-M Trust

    0.000 %   10/13/17      312      9 A,H

America West Airlines 1996-1 A

    6.850 %   7/2/09      200      200  

Captiva CBO 1997-1A A

    6.860 %   11/30/09      326      326 A,I

Contimortgage Home Equity Trust 1997-4 B1F

    7.330 %   10/15/28      689      477  

Firstfed Corp. Manufactured Housing Contract 1996-1 B

    8.060 %   10/15/22      2,100      3,290 A

Global Franchise Trust 1998-1 A2

    6.659 %   10/10/11      2,147      2,103 A

Green Tree Financial Corp. 1992-2 B

    9.150 %   1/15/18      414      336  

Green Tree Financial Corp. 1993-1 B

    8.450 %   4/15/18      550      501  

Green Tree Financial Corp. 1999-4 A5

    6.970 %   5/1/31      51      51  

Green Tree Home Improvement Loan Trust 1996-D HIB2

    8.000 %   9/15/27      149      104  

Indymac Manufactured Housing Contract 1997-1 A5

    6.970 %   2/25/28      404      401  

Mutual Fund Fee 2002-2

    9.550 %   4/30/08      561      11 A

Mutual Fund Fee Trust XIII Series 2000-3

    9.070 %   7/1/08      2,883      149  

Pegasus Aviation Lease Securitization 2000-1 A2

    8.370 %   3/25/30      1,300      780 A

Structured Asset Securities Corp. 2002-AL1 A3

    3.450 %   2/25/32      1,355      1,221  

Vanderbilt Mortgage Finance 1997-B 1B2

    8.155 %   10/7/26      561      573  
                
             10,532  
                

Indexed SecuritiesB — 2.9%

           

ACE Securities Corp. 2005-SD1 A1

    5.531 %   11/25/50      288      287  

Bayview Financial Asset Trust 2004-SSRA A1

    5.731 %   12/25/39      719      684 A

Countrywide Home Equity Loan Trust 2007-GW A

    6.303 %   11/15/28      2,949      2,895  

     Rate    

Maturity

Date

    Par/Shares†    Value  

Long-Term Securities — Continued

           

Asset-Backed Securities — Continued

           

Indexed Securities — Continued

           

CS First Boston Mortgage Securities Corp. 2004-CF2 2A1

    5.601 %   5/25/44    $ 136    $ 134 A

Residential Asset Mortgage Products Inc. 2004-RZ1 AII

    5.371 %   3/25/34      494      477  

Residential Asset Securities Corp. 2001-KS3 AII

    5.591 %   9/25/31      451      443  
                
             4,920  
                

Stripped Securities — 1.0%

           

Bear Stearns Asset Backed Securities Trust 2006-SD3 1P0

    0.000 %   8/25/36      1,939      1,600 J2

Oakwood Mortgage Investors Inc. 2002-C AIO

    6.000 %   8/15/10      734      90 J1
                
             1,690  
                

Variable Rate SecuritiesK — 3.0%

          

BankAmerica Manufactured Housing Contract 1997-2 M

    6.900 %   4/10/28      100      122  

Conseco Finance Securitizations Corp. 2002-1 A

    6.681 %   12/1/33      811      817  

Greenpoint Manufactured Housing 1999-5 A5

    7.820 %   12/15/29      706      747  

GSAMP Trust 2003-SEA2 A1

    4.422 %   7/25/33      2,772      2,530  

Oakwood Mortgage Investors Inc. 2002-B A3

    6.060 %   3/15/25      384      359  

Saxon Asset Securities Trust 2000-2 MF1

    8.870 %   7/25/30      586      584  
                
             5,159  
                

Total Asset-Backed Securities (Cost — $22,900)

              22,301  
                

Mortgage-Backed Securities — 7.5%

           

Fixed Rate Securities — 2.0%

           

Bear Stearns Asset Backed Securities Trust 2002-AC1 B4

    7.000 %   1/25/32      1,337      1,319 A

Enterprise Mortgage Acceptance Co. 1999-1 A1

    6.420 %   10/15/25      44      28 A

GMAC Commercial Mortgage Securities Inc. 1998-C1 A2

    6.700 %   5/15/30      230      231  

GMAC Commercial Mortgage Securities Inc. 1998-C1 D

    6.974 %   5/15/30      1,000      1,002  

Metropolitan Asset Funding Inc. 1998-BI B1

    8.000 %   11/20/24      995      864  
                
             3,444  
                

Indexed SecuritiesB — 3.9%

           

Bayview Commercial Asset Trust 2005-3A A2

    5.531 %   11/25/35      1,145      1,083 A

BlackRock Capital Finance LP 1997-R2 B5

    6.866 %   12/25/35      696      174 A

CNL Funding 1998-1 C2

    6.364 %   9/18/11      3,360      3,226 A

Harborview Mortgage Loan Trust 2004-8 3A2

    5.903 %   11/19/34      337      337  

Harborview Mortgage Loan Trust 2005-9 B10

    7.246 %   6/20/35      1,334      1,088  

Merit Securities Corp. 11PA B3

    7.755 %   9/28/32      850      170 A

Regal Trust IV 1999-1 A

    5.724 %   9/29/31      204      200 A

Washington Mutual Inc. 2004-AR12 A2A

    5.953 %   10/25/44      323      321  
                
             6,599  
                

Stripped Securities — 1.0%

           

LB-UBS Commercial Mortgage Trust 2001-C3 X

    1.164 %   6/15/36      2,689      80 A,J1

Prime Mortgage Trust 2005-2 2XB

    1.743 %   10/25/32      4,066      413 J1

Prime Mortgage Trust 2005-5 1X

    0.888 %   7/25/34      15,351      417 J1

Prime Mortgage Trust 2005-5 1XB

    1.570 %   7/25/34      3,285      313 J1

Residential Asset Mortgage Products, Inc. 2005-SL2 AP0

    0.000 %   2/25/32      663      535 J2
                
             1,758  
                

 

     Rate     Maturity
Date		    Par/Shares†    Value  

Long-Term Securities — Continued

           

Mortgage-Backed Securities — Continued

           

Variable Rate SecuritiesK — 0.6%

          

Banc of America Commercial Mortgage Inc. 2005-5 A4

    5.115 %   10/10/45    $ 1,050    $ 1,026  
                

Total Mortgage-Backed Securities (Cost — $13,018)

              12,827  
                

U.S. Government and Agency Obligations — 8.8%

           

Fixed Rate Securities — 3.3%

           

United States Treasury Bonds

    5.375 %   2/15/31      2,500      2,676 L

United States Treasury Bonds

    4.500 %   2/15/36      850      806 L

United States Treasury Notes

    4.625 %   2/15/17      610      613 L

United States Treasury Notes

    4.500 %   5/15/17      1,560      1,551 L
                
             5,646  
                

Treasury Inflation-Protected SecuritiesM — 5.5%

           

United States Treasury Inflation-Protected Security

    3.625 %   1/15/08      2,966      2,962 L

United States Treasury Inflation-Protected Security

    3.000 %   7/15/12      2,954      3,075 L

United States Treasury Inflation-Protected Security

    2.000 %   7/15/14      3,315      3,270 L
                
             9,307  
                

Total U.S. Government and Agency Obligations (Cost — $14,723)

              14,953  
                

U.S. Government Agency Mortgage-Backed Securities — 7.6%

           

Fixed Rate Securities — 7.6%

           

Fannie Mae

    6.000 %   12/1/37      12,000      12,004 N

Fannie Mae

    6.500 %   8/25/44      937      962  
                

Total U.S. Government Agency Mortgage-Backed Securities (Cost — $12,980)

              12,966  
                

Yankee BondsI — 22.3%

           

Aerospace and Defense — 0.2%

           

Systems 2001 Asset Trust

    6.664 %   9/15/13      229      241 A
                

Chemicals — 0.2%

           

Methanex Corp.

    8.750 %   8/15/12      195      207  

Montell Finance Co. BV

    8.100 %   3/15/27      200      174 A
                
             381  
                

Commercial Banks — 1.3%

           

ATF Capital BV

    9.250 %   2/21/14      660      672 A

HSBK Europe BV

    7.250 %   5/3/17      600      541 A

ICICI Bank Ltd.

    6.375 %   4/30/22      284      266 A,D

TuranAlem Finance BV

    8.250 %   1/22/37      440      372 A

TuranAlem Finance BV

    8.250 %   1/22/37      440      384 A
                
             2,235  
                

Containers and Packaging — 0.1%

           

Smurfit Kappa Funding PLC

    7.750 %   4/1/15      230      224  
                

Diversified Financial Services — 0.6%

           

Basell AF SCA

    8.375 %   8/15/15      150      137 A

Lukoil International Finance BV

    6.356 %   6/7/17      340      324 A

UFJ Finance Aruba AEC

    6.750 %   7/15/13      500      517  
                
             978  
                

     Rate    

Maturity

Date

    Par/Shares†    Value  

Long-Term Securities — Continued

           

Yankee Bonds — Continued

           

Diversified Telecommunication Services — 1.8%

           

Axtel SA

    11.000 %   12/15/13    $ 221    $ 240  

Deutsche Telekom International Finance BV

    5.250 %   7/22/13      600      587  

France Telecom SA

    8.500 %   3/1/31      600      771 F

Intelsat Bermuda Ltd.

    9.250 %   6/15/16      225      234  

Intelsat Bermuda Ltd.

    11.250 %   6/15/16      340      364  

Nordic Telephone Co. Holdings ApS

    8.875 %   5/1/16      220      232 A

NTL Cable PLC

    9.125 %   8/15/16      140      145  

Wind Acquisition Finance SA

    10.750 %   12/1/15      500      554 A
                
             3,127  
                

Electric Utilities — 1.1%

           

Hydro-Quebec

    6.300 %   5/11/11      1,700      1,784  
                

Energy Equipment and Services — 0.1%

           

Compagnie Generale de Geophysique-Veritas

    7.500 %   5/15/15      210      216  
                

Foreign Governments — 8.3%

           

Dominican Republic

    9.500 %   9/27/11      366      387 A

Federative Republic of Brazil

    7.125 %   1/20/37      856      956  

Republic of Argentina

    7.000 %   9/12/13      818      713  

Republic of Colombia

    11.750 %   2/25/20      768      1,125  

Republic of Ecuador

    10.000 %   8/15/30      605      545 A

Republic of El Salvador

    8.250 %   4/10/32      412      488 A

Republic of Honduras

    5.566 %   10/1/11      151      148 B

Republic of Panama

    9.375 %   4/1/29      1,147      1,537  

Republic of Panama

    6.700 %   1/26/36      542      557  

Republic of Peru

    8.750 %   11/21/33      700      919  

Republic of Peru

    6.550 %   3/14/37      427      441  

Republic of Venezuela

    9.375 %   1/13/34      2      2  

Russian Federation

    7.500 %   3/31/30      3,815      4,303 A

United Mexican States

    7.500 %   4/8/33      49      58  

United Mexican States

    6.750 %   9/27/34      1,900      2,066  
                
             14,245  
                

Industrial Conglomerates — 2.1%

           

Tyco International Group SA

    6.375 %   10/15/11      1,000      1,023  

Tyco International Group SA

    6.875 %   1/15/29      2,615      2,625  
                
             3,648  
                

Insurance — 0.6%

           

XL Capital Ltd.

    5.250 %   9/15/14      1,000      958  
                

Media — N.M.

           

Sun Media Corp.

    7.625 %   2/15/13      55      54  
                

Metals and Mining — 0.6%

           

Novelis Inc.

    7.250 %   2/15/15      105      101  

Vale Overseas Ltd.

    6.875 %   11/21/36      920      948  
                
             1,049  
                

Oil, Gas and Consumable Fuels — 4.0%

           

Anadarko Finance Co.

    6.750 %   5/1/11      750      784  

Anadarko Finance Co.

    7.500 %   5/1/31      1,000      1,089  

Burlington Resources Finance Co.

    7.400 %   12/1/31      450      515  

     Rate    

Maturity

Date

    Par/Shares†     Value  

Long-Term Securities — Continued

          

Yankee Bonds — Continued

          

Oil, Gas and Consumable Fuels — Continued

          

Gazprom

    6.212 %   11/22/16    $ 540     $ 535 A

Gazprom

    6.510 %   3/7/22      230       228 A

OPTI Canada Inc.

    7.875 %   12/15/14      240       240 A

OPTI Canada Inc.

    8.250 %   12/15/14      205       207 A

Petrozuata Finance Inc.

    8.220 %   4/1/17      2,880       2,873 A

Western Oil Sands Inc.

    8.375 %   5/1/12      342       377  
               
            6,848  
               

Paper and Forest Products — 0.2%

          

Abitibi-Consolidated Co. of Canada

    8.375 %   4/1/15      350       255  
               

Road and Rail — 0.7%

          

Canadian Pacific Railway Co.

    6.250 %   10/15/11      1,000       1,030  

Grupo Transportacion Ferroviaria Mexicana SA de CV

    9.375 %   5/1/12      170       178  
               
            1,208  
               

Semiconductors and Semiconductor Equipment — 0.1%

          

NXP BV/NXP Funding LLC

    7.875 %   10/15/14      150       144  

NXP BV/NXP Funding LLC

    9.500 %   10/15/15      45       42  
               
            186  
               

Wireless Telecommunication Services — 0.3%

          

True Move Co. Ltd.

    10.750 %   12/16/13      200       202 A

Vodafone Group PLC

    7.750 %   2/15/10      250       264  
               
            466  
               

Total Yankee Bonds (Cost — $35,779)

             38,103  
               

Foreign Government Obligations — 4.2%

          

Federative Republic of Brazil

    6.000 %   5/15/15      4  BRL     3,130 O

Federative Republic of Brazil

    6.000 %   5/15/45      4  BRL     3,357 O

Republic of Argentina

    4.008 %   1/3/10      1,672  ARS     680 O
               

Total Foreign Government Obligations (Cost — $5,762)

             7,167  
               

Preferred Stocks — 3.7%

          

Chesapeake Energy Corp.

    6.250 %        0.3  shs     96 C

Fannie Mae

    5.375 %        —    P     1,467 C

Freddie Mac

    5.160 %        0.1       5 B

Freddie Mac

    5.000 %        0.2       8  

General Motors Corp.

    5.250 %        225       4,790 C
               

Total Preferred Stocks (Cost — $5,140)

             6,366  
               

Trust Preferred Securities — 3.4%

          

Corp-Backed Trust Certificates

    7.375 %        34       656  

Corp-Backed Trust Certificates

    8.000 %        16       281  

CORTS Trust for Ford Motor Co.

    8.000 %        155       2,869  

PreferredPlus TR-CCR1

    8.250 %        5       102  

SATURNS-F 2003-5

    8.125 %        104       1,954  
               

Total Trust Preferred Securities (Cost — $5,034)

             5,862  
               

Total Long-Term Securities (Cost — $244,844)

             251,430  
               

     Rate     Maturity Date    Par/Shares†     Value  

Short-Term Securities — 7.1%

          

Foreign Government Obligations — 1.0%

          

Egypt Treasury Bills

    0.000 %   11/6/07      450  EGP   $ 80 H

Egypt Treasury Bills

    0.000 %   10/30/07      9,375  EGP     1,666 H
               
            1,746  
               

Repurchase Agreement — 6.1%

          

Lehman Brothers Inc.

          

4.75%, dated 9/28/07, to be repurchased at $10,433 on 10/1/07(Collateral: $10,575 Fannie Mae note, 5.00%, due 9/15/08, value $10,638)

          
        $ 10,429       10,429  
               

Total Short-Term Securities (Cost — $12,131)

             12,175  
               

Total Investments — 154.3% (Cost — $256,975) Q

             263,605  

Other Assets Less Liabilities — (12.2)%

             (20,763 )

Liquidation value of preferred shares — (42.1)%

             (72,000 )
               

Net Assets Applicable to Common Shareholders — 100.0%

           $ 170,842  
               
           Expiration   

Actual

Contracts

    

Appreciation/

(Depreciation)

  

Futures Contracts WrittenR

          

U.S. Treasury Bond Futures

      December 2007      104       (15 )
               
N.M.   Not Meaningful.
A   Rule 144a Security - A security purchased pursuant to Rule 144a under the Securities Act of 1933 which may not be resold subject to that rule except to qualified institutional buyers. These securities, which the Fund’s investment adviser has determined to be liquid, represent 22.38% of net assets.
B   Indexed Security - The rates of interest earned on these securities are tied to the London Interbank Offered Rate (“LIBOR”), the Euro Interbank Offered Rate (“EURIBOR”) Index, the Consumer Price Index (“CPI”), the one-year Treasury Bill Rate or the ten-year Japanese Government Bond Rate. The coupon rates are the rates as of September 30, 2007.
C   Convertible Security - Security may be converted into the issuer’s common stock.
D   Stepped Coupon Security - A security with a predetermined schedule of interest or dividend rate changes at which time it begins to accrue interest or pay dividends according to the predetermined schedule.
E   All or a portion of this security is collateral to cover futures contracts.
F   Credit Linked Security - The rates of interest earned on these securities are tied to the credit rating assigned by Standard & Poor’s Rating Service and/or Moody’s Investors Services.
G   Pay-in-Kind (“PIK”) security - A security in which interest or dividends during the initial few years is paid in additional PIK securities rather than in cash.
H   Zero coupon bond - A bond with no periodic interest payments which is sold at such a discount as to produce a current yield to maturity.
I   Yankee Bond - A dollar-denominated bond issued in the U.S. by foreign entities.
J   Stripped Security - Security with interest-only or principal-only payment streams, denoted by a 1 or 2, respectively. For interest-only securities, the amount shown as principal is the notional balance used to calculate the amount of interest due.
K   The coupon rates shown on variable rate securities are the rates at September 30, 2007. These rates vary with the weighted average coupon of the underlying loans.
L   Position, or a portion thereof, with an aggregate market value of $14,953 has been segregated to collateralize reverse repurchase agreements.
M   Treasury Inflation-Protected Security –Treasury security whose principal value is adjusted daily in accordance with changes to the Consumer Price Index for All Urban Consumers. Interest is calculated on the basis of the current adjusted principal value.
N   When-issued Security - Security purchased on a delayed delivery basis. Final settlement amount and maturity date have not yet been announced.
O   Inflation-Protected Security - Security whose principal value is adjusted daily or monthly in accordance with changes to the relevant country’s Consumer Price Index or its equivalent used as an inflation proxy. Interest is calculated on the basis of the current adjusted principal value.
P   Amount represents less than $0.50.
Q   Aggregate cost for federal income tax purposes is substantially the same as book cost. At September 30, 2007, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

    $ 12,485  

Gross unrealized depreciation

      (5,855 )
        

Net unrealized appreciation

    $ 6,630  
        

 

R   Futures are described in more detail in the notes to financial statements.

†

   Securities are denominated in U.S. Dollars, unless otherwise noted.

 

ARS   — Argentine Peso
BRL   — Brazilian Real
EGP   — Egyptian Pound
RUB   — Russian Ruble

Security Valuation

The Fund’s securities are valued on the basis of readily available market quotations or, lacking such quotations, at fair value as determined under policies approved by and under the general oversight of the Board of Trustees. In determining fair value, all relevant qualitative and quantitative factors available are considered. These factors are subject to change over time and are reviewed periodically. The Fund may use fair value pricing instead of market quotations to value one or more securities if the Fund believes that, because of special circumstances, doing so would more accurately reflect the prices the Fund expects to realize on the current sale of those securities. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from quoted or published values or from the values that would have been used had a ready market for the investments existed, and the differences could be material.

With respect to the Fund, where a security is traded on more than one market, which may include foreign markets, the securities are generally valued on the market considered by the Fund’s adviser to be the primary market. The Fund will value its foreign securities in U.S. dollars on the basis of the then-prevailing exchange rates.

Options, Futures and Swap Agreements

The current market value of an exchange traded option is the last sale price or, in the absence of a sale, the price obtained by reference to broker-dealer quotations. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Futures contracts are marked-to-market on a daily basis. As the contract’s value fluctuates, payments known as variation margin are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. The daily changes in contract value are recorded as unrealized gains or losses, and the Fund recognizes a gain or loss when the contract is closed.

Swap agreements are generally priced daily based upon quotations from brokers and the change, if any, is recorded as unrealized appreciation or depreciation.

Credit default swaps (denoted in the table below by a superscript 1) involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Interest rate swap contracts (denoted in the table below by a superscript 2) involve the exchange of commitments to pay and receive interest based on a notional principal amount. Commodity swaps (denoted in the table below by a superscript 3) are agreements to exchange cash flows at specified intervals to gain investment exposure to the relevant spread of commodity reference prices. Total return swaps (denoted in the table below by a superscript 4) are agreements to exchange the return generated by one instrument for the return generated by another instrument.

If the fund is a seller of protection and a credit event occurs, as defined under the terms of the particular swap agreement, the portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

As of September 30, 2007, the one-and three-month London Interbank Offered Rates were 5.12% and 5.23%, respectively. The year-to-date Dow Jones-AIG Commodity Total Return Index return was 10.98%. The Lehman Brothers US ABS AAA Floating Home Equities Index was 5.33%. The 28 day Mexican Interbank Deposit Rate was 7.68%.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

The following is a summary of open swap contracts outstanding at September 30, 2007:

 

Agreement With:

  

Termination Date

  

The Fund

Agrees to Pay

  

The Fund

Will Receive

  

Contract

Notional

Amount

  

Unrealized

Appreciation/
(Depreciation)

Credit Suisse First Boston USA (AAMES Mortgage Investment Trust 2005-1 M8, 1-Month LIBOR + 160 bp, due 6/25/35)1   June 25, 2035   1.28% Monthly   Specified amount upon credit event notice   $ 43   $ 14
         
Credit Suisse First Boston USA (AAMES Mortgage Investment Trust 2005-1 M9, 1-Month LIBOR + 250 bp, due 6/25/35)1   June 25, 2035   2.05% Monthly   Specified amount upon credit event notice     43     13
         
Credit Suisse First Boston USA (ABX.HE-AAA 06-2)1   May 25, 2046   Specified amount upon credit event notice   0.11% Monthly     300     2
         
Credit Suisse First Boston USA (ACE Securities Corp. 2005-HE1 M8, 1-Month LIBOR + 138 bp, due 2/25/35)1   February 25, 2035   1.31% Monthly   Specified amount upon credit event notice     43     9
         
Credit Suisse First Boston USA (ACE Securities Corp. 2005-HE1 M9, 1-Month LIBOR + 220bp, due 2/25/35)1   February 25, 2035   2.06% Monthly   Specified amount upon credit event notice     43     11
         
Credit Suisse First Boston USA (Aegis Asset Backed Securities Trust 2004-4 B2, 1-Month LIBOR + 190bp, due 10/25/34)1   October 25, 2034   1.37% Monthly   Specified amount upon credit event notice     58     12
         
Credit Suisse First Boston USA (Aegis Asset Backed Securities Trust 2005 B2, 1-Month LIBOR + 130 bp, due 3/25/35)1   March 25, 2035   1.31% Quarterly   Specified amount upon credit event notice     43     15
         
Credit Suisse First Boston USA (Aegis Asset Backed Securities Trust 2005 B3, 1-Month LIBOR + 200 bp, due 3/25/35)1   March 25, 2035   2.18% Quarterly   Specified amount upon credit event notice     43     17
         
Credit Suisse First Boston USA (Argent Securities Inc. 2004-W11 M10, 1-Month LIBOR + 350bp, due 11/25/34)1   November 25, 2034   2.15% Monthly   Specified amount upon credit event notice     43     7
         
Credit Suisse First Boston USA (Argent Securities Inc. 2004-W11 M9, 1-Month LIBOR + 225bp, due 11/25/34)1   November 25, 2034   1.33% Monthly   Specified amount upon credit event notice     43     6
         
Credit Suisse First Boston USA (Argent Securities Inc. 2004-W4 M3, 1-Month LIBOR + 300 bp, due 3/25/34)1   March 25, 2034   2.2% Monthly   Specified amount upon credit event notice     22     3

 

         
Credit Suisse First Boston USA (Finance America Mortgage Loan Trust 2004-3 M8, 1-Month LIBOR + 180bp, due 11/25/34)1   November 25, 2034   1.31% Monthly   Specified amount upon credit event notice   16   5
         
Credit Suisse First Boston USA (Finance America Mortgage Loan Trust 2004-3 M9, 1-Month LIBOR + 315bp, due 11/25/34)1   November 25, 2034   2.18% Monthly   Specified amount upon credit event notice   16   7
         
Credit Suisse First Boston USA (Fremont Home Loan Trust 2005-A M8, 1-Month LIBOR + 135 bp, due 1/25/35)1   January 25, 2035   1.31% Monthly   Specified amount upon credit event notice   43   6
         
Credit Suisse First Boston USA (Fremont Home Loan Trust 2005-A, 1-Month LIBOR + 100bp, due 1/25/35)1   January 25, 2035   2.08% Monthly   Specified amount upon credit event notice   27   7
         
Credit Suisse First Boston USA (IndyMac Home Equity Loan Asset-Backed, Trust 2004-C M8, 1-Month LIBOR + 190bp, due 3/25/35)1   March 25, 2035   1.28% Monthly   Specified amount upon credit event notice   43   11
         
Credit Suisse First Boston USA (IndyMac Home Equity Loan Asset-Backed, Trust 2004-C M9, 1-Month LIBOR + 325bp, due 3/25/35)1   March 25, 2035   2.05% Monthly   Specified amount upon credit event notice   43   12
         
Credit Suisse First Boston USA (Long Beach Mortgage Loan Trust 2004-1 M9, 1-Month LIBOR + 350bp, due 2/25/34)1   February 25, 2034   2.15% Monthly   Specified amount upon credit event notice   17   3
         
Credit Suisse First Boston USA (Long Beach Mortgage Loan Trust 2005-1 M8, 1-Month LIBOR + 170 bp, due 2/25/35)1   February 25, 2035   1.31% Monthly   Specified amount upon credit event notice   43   13
         
Credit Suisse First Boston USA (Long Beach Mortgage Loan Trust 2005-1 M9, 1-Month LIBOR + 275bp, due 2/25/35)1   February 25, 2035   2.08% Monthly   Specified amount upon credit event notice   43   14
         
Credit Suisse First Boston USA (MASTR Asset Backed Securities Trust 2005-NC1 M8, 1-Month LIBOR + 153bp, due 12/25/34)1   December 25, 2034   1.31% Monthly   Specified amount upon credit event notice   43   6
         
Credit Suisse First Boston USA (MASTR Asset Backed Securities Trust 2005-NC1 M9, 1-Month LIBOR + 240bp, due 12/25/34)1   December 25, 2034   2.08% Monthly   Specified amount upon credit event notice   43   12

 

         
Credit Suisse First Boston USA (Merrill Lynch Mortgage Investors, Inc. 2004-WMC1 B3, 1-Month LIBOR + 225bp, due 9/25/35)1   September 25, 2035   2.05% Monthly   Specified amount
upon credit event
notice		       43           6    
         
Credit Suisse First Boston USA (Merrill Lynch Mortgage Investors, Inc. 2004-WMC4 B3, 1-Month LIBOR + 375bp, due 4/25/35)1   April 25, 2035   2.15% Monthly   Specified amount
upon credit event
notice		   58   7
         
Credit Suisse First Boston USA (Merrill Lynch Mortgage Investors, Inc. 2005-NC1 B2, 1-Month LIBOR + 130bp, due 10/25/35)1   October 25, 2035   1.28% Monthly   Specified amount
upon credit event
notice		   43   6
         
Credit Suisse First Boston USA (Merrill Lynch Mortgage Investors, Inc. 2005-NC1 B3, 1-Month LIBOR + 205bp, due 10/25/35)1   October 25, 2035   2.05% Monthly   Specified amount
upon credit event
notice		   43   7
         
Credit Suisse First Boston USA (Merrill Lynch Mortgage Investors, Inc. 2005-WMC1 B2, 1-Month LIBOR + 135bp, due 9/25/35)1   September 25, 2035   1.28% Monthly   Specified amount
upon credit event
notice		       43           9    
         
Credit Suisse First Boston USA (Morgan Stanley ABS Capital I 2005-WMC1 B2, 1-Month LIBOR + 130 bp, due 1/25/35)1   January 25, 2035   1.31% Monthly   Specified amount
upon credit event
notice		   43   8
         
Credit Suisse First Boston USA (Morgan Stanley ABS Capital I 2005-WMC1 B3, 1-Month LIBOR + 215bp, due 1/25/35)1   January 25, 2035   2.18% Monthly   Specified amount
upon credit event
notice		   40   5
         
Credit Suisse First Boston USA (New Century Home Equity Loan Trust 2004-2 M9, 1-Month LIBOR + 325bp, due 8/25/34)1   August 25, 2034   2.15% Monthly   Specified amount
upon credit event
notice		   58   9
         
Credit Suisse First Boston USA (New Century Home Equity Loan Trust 2005-1 M8, 1-Month LIBOR + 140 bp, due 3/25/35)1   March 25, 2035   1.31% Monthly   Specified amount
upon credit event
notice		   43   6
         
Credit Suisse First Boston USA (New Century Home Equity Loan Trust 2005-1 M9, 1-Month LIBOR + 205 bp, due 3/25/35)1   March 25, 2035   2.18% Monthly   Specified amount
upon credit event
notice		   43   13
         
Credit Suisse First Boston USA (Novastar Home Equity Loan 2005-1 B2, 1-Month LIBOR + 135 bp, due 6/25/35)1   June 25, 2035   1.28% Monthly   Specified amount
upon credit event
notice		   43   7

         
Credit Suisse First Boston
USA (Novastar Home
Equity Loan 2005-4 B3,
1-Month LIBOR + 195
bp, due 6/25/35)1		   June 25, 2035   2.05% Monthly   Specified amount
upon credit event
notice		     43     9  
         
Credit Suisse First Boston
USA (Park Place
Securities Inc. 2005-
WCH1 M8, 1-Month
LIBOR + 155bp, due
1/25/36)1		   January 25, 2036   1.36% Monthly   Specified amount
upon credit event
notice		     43     14  
         
Credit Suisse First Boston
USA (Park Place
Securities, Inc. 2005-
WCH1 M9, 1-Month
LIBOR + 250 bp, due
1/25/36)1		   January 25, 2036   2.18% Monthly   Specified amount
upon credit event
notice		     43     16  
         
Credit Suisse First Boston
USA (People’s Choice
Home Loan Securities
Trust 2004-1 M6, 1-
Month LIBOR + 230bp,
due 6/25/34)1 		  June 25, 2034   1.37% Quarterly   Specified amount
upon credit event
notice		     58     10  
         
Credit Suisse First Boston
USA (People’s Choice
Home Loan Securities
Trust 2005-1 B3, 1-
Month LIBOR + 260bp,
due 1/25/35)1 		  January 25, 2035   2.05% Monthly   Specified amount
upon credit event
notice		     43     16  
         
Credit Suisse First Boston
USA (People’s Choice
Home Loan Securities
Trust 2005-1, 1-Month
LIBOR + 165bp, due
1/25/35)1		   January 25, 2035   1.28% Monthly   Specified amount
upon credit event
notice		     43     11  
         
JP Morgan Chase & Co.
(ABX.HE-AAA 07-2)1		   January 25, 2038   Specified amount
upon credit event
notice		   0.76% Monthly     20,000     (500 )
         
Merrill Lynch & Co., Inc.
(CDX HY 8)1		   June 20, 2012   Specified amount
upon credit event
notice		   0.86% Quarterly     30,000     396  
         
Merrill Lynch & Co., Inc.
(CDX HY 8)1		   June 20, 2012   Specified amount
upon credit event
notice		   1.135%
Quarterly		     10,000     588  
         
Merrill Lynch & Co., Inc.
(CDX HY 8)1		   June 20, 2012   Specified amount
upon credit event
notice		   1.4% Quarterly     15,000     773  
         
Merrill Lynch & Co., Inc.
(iBoxx IG)1		   June 20, 2010   Specified amount
upon credit event
notice		   0.4% Quarterly     15,000     106  
         
                   
        $ 91,874   $ 1,727  
                   

Item 2 – Controls and Procedures

 

  (a) Western Asset Premier Bond Fund (the “Registrant”) principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods in the Securities and Exchange Commission’s rules and forms and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

 

  (b) There were no changes in the Registrant’s internal control over financial reporting during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 – filed as an exhibit hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Western Asset Premier Bond Fund
By:  

/s/ R. Jay Gerken

R. Jay Gerken
President
Western Asset Premier Bond Fund
Date: November 27, 2007

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ R. Jay Gerken

R. Jay Gerken
President
Western Asset Premier Bond Fund
Date: November 27, 2007
By:  

/s/ Marie K. Karpinski

Marie K. Karpinski
Principal Financial and Accounting Officer
Western Asset Premier Bond Fund
Date: November 20, 2007