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UNITED STATES |
OMB APPROVAL |
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OMB
Number: 3235-0578 |
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FORM N-Q |
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-21311 |
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PIMCO High Income Fund |
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(Exact name of registrant as specified in charter) |
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1345 Avenue of the Americas New York, New York |
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10105 |
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(Address of principal executive offices) |
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(Zip code) |
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Lawrence G. Altadonna – 1345 Avenue of the Americas New York, New York 10105 |
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(Name and address of agent for service) |
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Registrant's telephone number, including area code: |
212-739-3371 |
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Date of fiscal year end: |
March 31, 2007 |
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Date of reporting period: |
December 31, 2006 |
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Form N-Q is to be used by the registered management investment company, other than a small business investment company registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
PIMCO High Income Fund Schedule of Investments
December 31, 2006 (unaudited)
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Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moody’s/S&P) |
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Value* |
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CORPORATE BONDS & NOTES—89.1% |
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Aerospace—0.2% |
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$ |
5,600 |
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Armor Holdings, Inc., 8.25%, 8/15/13 |
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B1/B+ |
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$ |
5,852,000 |
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Airlines—1.1% |
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8,760 |
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American Airlines, Inc., pass thru certificates, 8.608%, 10/1/12 (k) |
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Baa3/BB+ |
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9,312,975 |
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Continental Airlines, Inc., pass thru certificates, |
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14,508 |
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6.92%, 4/2/13, 97-5A 9 (a)(b)(g) |
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NR/NR |
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14,594,284 |
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4,105 |
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7.373%, 6/15/17, Ser. 01-1 |
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Ba1/BB+ |
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4,168,908 |
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1,917 |
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8.307%, 10/2/19, Ser. 00-2 |
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Ba2/BB- |
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1,985,225 |
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333 |
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United
Air Lines, Inc., pass thru certificates, |
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Aaa/BBB |
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337,605 |
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30,398,997 |
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Automotive—4.2% |
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10,450 |
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Arvin Capital I, 9.50%, 2/1/27 |
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B-/B |
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10,672,062 |
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15,475 |
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ArvinMeritor, Inc., 8.75%, 3/1/12 |
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BB-/BB- |
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15,977,937 |
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5,375 |
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Cooper-Standard Automotive, Inc., 7.00%, 12/15/12 |
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CCC+/B- |
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4,850,938 |
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15,750 |
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Ford Motor Co., 7.45%, 7/16/31 |
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CCC+/Caa1 |
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12,442,500 |
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General Motors Corp., |
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8,000 |
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7.20%, 1/15/11 |
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Caa1/B- |
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7,780,000 |
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7,200 |
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8.25%, 7/15/23 |
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Caa1/B- |
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6,732,000 |
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Goodyear Tire & Rubber Co., |
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12,300 |
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9.00%, 7/1/15 |
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B3/B- |
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12,945,750 |
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7,000 |
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11.00%, 3/1/11 |
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B3/B- |
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7,770,000 |
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Tenneco Automotive, Inc., |
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14,000 |
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8.625%, 11/15/14 |
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B3/B |
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14,350,000 |
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14,025 |
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10.25%, 7/15/13, Ser. B |
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Aa3/B |
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15,427,500 |
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8,245 |
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TRW Automotive, Inc., 9.375%, 2/15/13 |
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Ba3/BB- |
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8,883,988 |
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117,832,675 |
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Building/Construction—0.3% |
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5,000 |
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Ahern Rentals, Inc., 9.25%, 8/15/13 |
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B-/B- |
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5,237,500 |
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2,150 |
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Building Materials Corp. of America, 8.00%, 12/1/08 |
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B+/B3 |
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2,252,125 |
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7,489,625 |
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Chemicals—3.4% |
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ARCO Chemical Co., |
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3,808 |
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9.80%, 2/1/20 |
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Ba3/B+ |
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4,417,280 |
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2,000 |
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10.25%, 11/1/10 |
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Ba3/B+ |
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2,220,000 |
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15,000 |
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Equistar Chemicals L.P., 10.125%, 9/1/08 |
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B1/BB- |
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16,012,500 |
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21,925 |
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Ineos Group Holdings PLC, 8.50%, 2/15/16 (d) |
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B2/B- |
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21,048,000 |
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Lyondell Chemical Co., |
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4,150 |
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8.00%, 9/15/14 |
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B+/B+ |
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4,326,375 |
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3,825 |
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8.25%, 9/15/16 |
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B+/B+ |
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4,035,375 |
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15,300 |
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Nalco Co., 8.875%, 11/15/13 |
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Caa1/B- |
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16,275,375 |
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13,660 |
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PQ Corp., 7.50%, 2/15/13 |
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B1/B- |
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13,523,400 |
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€ |
1,450 |
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Rhodia S.A., 6.242%, 10/15/13, FRN (d) |
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B2/B- |
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1,910,323 |
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$ |
10,500 |
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Rockwood Specialties Group, Inc., 7.50%, 11/15/14 |
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B3/B- |
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10,631,250 |
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94,399,878 |
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Commercial Products—1.4% |
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19,800 |
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Hertz Corp., 8.875%, 1/1/14 (d) |
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B1/B |
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20,839,500 |
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18,000 |
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Reynolds American, Inc., 7.75%, 6/1/18 |
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BB/Ba3 |
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19,197,936 |
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40,037,436 |
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Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moody’s/S&P) |
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Value* |
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Computer Services—1.3% |
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SunGard Data Systems, Inc., |
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$ |
18,306 |
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9.125%, 8/15/13 |
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Caa1/B- |
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$ |
19,312,830 |
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17,000 |
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10.25%, 8/15/15 |
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Aaa/B- |
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18,232,500 |
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37,545,330 |
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Computer Software—0.4% |
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9,500 |
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UGS Corp., 10.00%, 6/1/12 |
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B3/B- |
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10,402,500 |
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Consumer Products—0.7% |
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Buhrmann US, Inc., |
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500 |
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7.875%, 3/1/15 |
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B2/B |
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490,000 |
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6,875 |
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8.25%, 7/1/14 |
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B2/B |
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6,857,812 |
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11,550 |
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NPC International, Inc., 9.50%, 5/1/14 |
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B-/CAA1 |
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11,896,500 |
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19,244,312 |
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Consumer Services—0.5% |
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13,900 |
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Education Management Corp., 10.25%, 6/1/16 (d) |
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Caa1/CCC+ |
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14,768,750 |
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Containers & Packaging—1.9% |
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Crown Americas LLC, |
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2,475 |
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7.625%, 11/15/13 |
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B/B |
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2,561,625 |
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5,650 |
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7.75%, 11/15/15 |
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B/B |
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5,890,125 |
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Jefferson Smurfit Corp., |
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11,200 |
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7.50%, 6/1/13 |
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B2/CCC+ |
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10,584,000 |
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10,263 |
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8.25%, 10/1/12 |
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B2/CCC+ |
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10,057,740 |
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Smurfit-Stone Container, |
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9,000 |
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8.375%, 7/1/12 |
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B2/CCC+ |
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8,865,000 |
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15,338 |
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9.75%, 2/1/11 |
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B2/CCC+ |
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15,894,003 |
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53,852,493 |
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Diversified Manufacturing—0.0% |
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1,000 |
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Quiksilver, Inc., 6.875%, 4/15/15 |
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Ba3/BB- |
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987,500 |
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Electronics—2.0% |
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Freescale Semi-conductor, Inc. (d), |
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19,925 |
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8.875%, 12/15/14 |
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B/B1 |
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19,949,906 |
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5,000 |
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10.125%, 12/15/16 |
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B/B2 |
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5,031,250 |
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12,750 |
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Sanmina-SCI Corp., 8.125%, 3/1/16 |
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B-/B2 |
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12,399,375 |
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13,600 |
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Sensata Technologies BV, 8.00%, 5/1/14 (d) |
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NR/B- |
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13,124,000 |
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6,400 |
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Solectron Global Finance Ltd., 8.00%, 3/15/16 (k) |
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B/B3 |
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6,512,000 |
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57,016,531 |
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Energy—0.9% |
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2,000 |
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NRG Energy, Inc., 7.375%, 2/1/16 |
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B1/B- |
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2,015,000 |
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Reliant Energy, Inc., |
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7,025 |
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9.25%, 7/15/10 |
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B2/B |
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7,411,375 |
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15,525 |
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9.50%, 7/15/13 |
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B2/B |
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16,728,188 |
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26,154,563 |
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Financial Services—17.9% |
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30,675 |
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AES Ironwood LLC, 8.857%, 11/30/25 |
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B2/B+ |
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34,586,372 |
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7,954 |
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AES Red Oak LLC, 8.54%, 11/30/19, Ser. A |
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B2/B+ |
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8,689,472 |
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25,091 |
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BCP Crystal U.S. Holding Corp., 9.625%, 6/15/14 |
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B3/B |
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27,851,010 |
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17,700 |
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Bluewater Finance Ltd., 10.25%, 2/15/12 |
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B2/B- |
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18,629,250 |
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Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moody’s/S&P) |
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Value* |
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Financial Services—(continued) |
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$ |
5,000 |
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Buffalo Thunder Development Authority, 9.375%, 12/15/14 (d) |
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B/B2 |
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$ |
5,100,000 |
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7,700 |
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Chukchansi Economic Development Authority, 8.00%, 11/15/13 (d) |
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B2/BB- |
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8,036,875 |
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9,977 |
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Consolidated Communications Holdings, 9.75%, 4/1/12 |
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B3/B |
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10,725,275 |
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Ford Motor Credit Co., |
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5,000 |
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7.00%, 10/1/13 |
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BB+/B |
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4,781,175 |
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30,000 |
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7.375%, 2/1/11 |
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B1/B |
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29,724,000 |
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81,100 |
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8.00%, 12/15/16 |
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B/B1 |
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80,274,321 |
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10,000 |
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8.11%, 1/13/12, FRN |
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B/B1 |
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9,921,350 |
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General Motors Acceptance Corp., |
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10,000 |
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7.25%, 3/2/11 |
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BB+/BB |
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10,408,620 |
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9,100 |
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8.00%, 11/1/31 |
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BB+/BB |
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10,477,749 |
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8,000 |
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Idearc, Inc., 8.00%, 11/15/16 (d) |
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B2/B+ |
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8,160,000 |
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JET Equipment Trust (d)(f), |
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|
192 |
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7.63%, 8/15/12, Ser. 95-B (g) |
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NR/NR |
|
141,722 |
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|
282 |
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10.00%, 6/15/12, Ser. 94-A |
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NR/NR |
|
277,143 |
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|
36,270 |
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JSG Funding PLC, 9.625%, 10/1/12 |
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B3/B- |
|
38,627,550 |
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|
18,445 |
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KRATON Polymers LLC, 8.125%, 1/15/14 |
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B3/B- |
|
18,537,225 |
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£ |
3,000 |
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Royal Bank of Scotland PLC, 6.00%, 4/6/11 (b)(g) |
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NR/NR |
|
5,862,684 |
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|
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$ |
11,000 |
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Sally Holdings LLC, 10.50%, 11/15/16 (d) |
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CCC+/Caa1 |
|
11,275,000 |
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|
|
115,776 |
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Targeted Return Index Securities Trust, 7.548%, 5/1/16, VRN (d)(h) |
|
B1/B+ |
|
118,343,680 |
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|
19,203 |
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Universal City Development Partners Ltd., 11.75%, 4/1/10 |
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B2/B- |
|
20,667,229 |
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|
8,030 |
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Universal City Florida Holding Co., 8.375%, 5/1/10 |
|
B3/B- |
|
8,270,900 |
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€ |
10,200 |
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UPC Holding BV, 8.625%, 1/15/14 |
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Aa3/CCC+ |
|
14,055,497 |
|
|
|
|
|
|
|
|
|
503,424,099 |
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Food—0.9% |
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|
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|
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|
$ |
1 |
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Dole Foods Co., Inc., 8.875%, 3/15/11 |
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B-/B |
|
805 |
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|
|
24,926 |
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Ingles Markets, Inc., 8.875%, 12/1/11 |
|
B3/B |
|
26,108,937 |
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|
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|
|
|
26,109,742 |
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Healthcare & Hospitals—5.8% |
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|
||||
|
9,000 |
|
CDRV Investors, Inc., 9.86%, 12/1/11, FRN (b)(d) |
|
CCC+/Caa1 |
|
8,820,000 |
|
||
|
8,000 |
|
DaVita, Inc., 7.25%, 3/15/15 |
|
B3/B |
|
8,200,000 |
|
||
|
4,950 |
|
Encore Medical Finance LLC, 11.75%, 11/15/14 (d) |
|
CCC+/Caa1 |
|
4,937,625 |
|
||
|
|
|
HCA, Inc., |
|
|
|
|
|
||
|
1,206 |
|
6.25%, 2/15/13 |
|
B-/Caa1 |
|
1,070,325 |
|
||
|
10,625 |
|
6.75%, 7/15/13 |
|
B-/Caa1 |
|
9,562,500 |
|
||
|
1,500 |
|
7.19%, 11/15/15 |
|
Ba2/B- |
|
1,294,101 |
|
||
|
10,975 |
|
7.50%, 12/15/23 |
|
B-/Caa1 |
|
8,985,441 |
|
||
|
4,130 |
|
7.58%, 9/15/25 |
|
B-/Caa1 |
|
3,381,115 |
|
||
|
4,600 |
|
7.69%, 6/15/25 |
|
B-/Caa1 |
|
3,830,429 |
|
||
|
2,000 |
|
8.36%, 4/15/24 |
|
Caa1/B- |
|
1,769,648 |
|
||
|
20,615 |
|
9.00%, 12/15/14 |
|
Caa1/B- |
|
20,085,648 |
|
||
|
3,000 |
|
9.25%, 11/15/16 (d) |
|
BB-/B2 |
|
3,221,250 |
|
||
|
21,450 |
|
9.625%, 11/15/16 (d) |
|
BB-/B2 |
|
23,112,375 |
|
||
|
6,700 |
|
National Mentor Holdings, Inc., 11.25%, 7/1/14 (d) |
|
Caa1/CCC+ |
|
7,152,250 |
|
||
|
19,990 |
|
Rotech Healthcare, Inc., 9.50%, 4/1/12 |
|
Caa3/CC |
|
19,690,150 |
|
||
|
|
|
Tenet Healthcare Corp., |
|
|
|
|
|
||
|
15,206 |
|
7.375%, 2/1/13 |
|
Caa1/CCC+ |
|
14,046,543 |
|
||
|
22,925 |
|
9.875%, 7/1/14 |
|
Aa3/CCC+ |
|
23,440,813 |
|
||
|
|
|
|
|
|
|
162,600,213 |
|
||
|
Principal |
|
|
|
|
|
|
|
||
|
Amount |
|
|
|
Credit Rating |
|
|
|
||
|
(000) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
||
|
Hotels/Gaming—1.6% |
|
|
|
|
|
||||
|
$ |
2,000 |
|
Gaylord Entertainment Co., 8.00%, 11/15/13 |
|
B3/B- |
|
$ |
2,085,000 |
|
|
5,000 |
|
Herbst Gaming, Inc., 8.125%, 6/1/12 |
|
B3/B- |
|
5,125,000 |
|
||
|
19,279 |
|
Mandalay Resort Group, 9.375%, 2/15/10 |
|
B1/B+ |
|
20,724,925 |
|
||
|
8,948 |
|
Premier Entertainment LLC, 10.75%, 2/1/12 |
|
Caa1/CCC |
|
9,261,180 |
|
||
|
3,500 |
|
Station Casinos, Inc., 6.875%, 3/1/16 |
|
B-/Ba3 |
|
3,158,750 |
|
||
|
4,075 |
|
Tropicana Entertainment, 9.625%, 12/15/14 (d) |
|
CCC+/B3 |
|
4,054,625 |
|
||
|
|
|
|
|
|
|
44,409,480 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Machinery—0.1% |
|
|
|
|
|
||||
|
2,000 |
|
Chart Industries, Inc., 9.125%, 10/15/15 (d) |
|
B3/B- |
|
2,120,000 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Manufacturing—0.0% |
|
|
|
|
|
||||
|
783 |
|
Invensys PLC, 9.875%, 3/15/11 (d) |
|
B3/B- |
|
843,682 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Medical Products—0.8% |
|
|
|
|
|
||||
|
22,785 |
|
VWR International, Inc., 8.00%, 4/15/14 |
|
CCC+/B3 |
|
23,582,475 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Miscellaneous—3.3% |
|
|
|
|
|
||||
|
89,570 |
|
Dow
Jones CDX U.S. High Yield, 8.375%, 12/29/11, |
|
NR/NR |
|
91,634,588 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Multi-Media—4.5% |
|
|
|
|
|
||||
|
3,000 |
|
Cablemas S.A. de C.V., 9.375%, 11/15/15 (d) |
|
BB-/BB- |
|
3,315,000 |
|
||
|
5,600 |
|
Cablevision Systems Corp., 8.00%, 4/15/12, Ser. B |
|
B3/B+ |
|
5,530,000 |
|
||
|
39,300 |
|
CCO Holdings LLC, 8.75%, 11/15/13 |
|
Caa1/CCC- |
|
41,019,375 |
|
||
|
10,000 |
|
Charter Communications Holdings I LLC, 11.00%, 10/1/15 |
|
CCC-/CCC- |
|
10,312,500 |
|
||
|
14,325 |
|
Charter Communications Operating LLC, 8.375%, 4/30/14 (d) |
|
B3/B- |
|
15,023,344 |
|
||
|
|
|
CSC Holdings, Inc., |
|
|
|
|
|
||
|
6,300 |
|
7.625%, 7/15/18 |
|
B2/B+ |
|
6,166,125 |
|
||
|
4,485 |
|
7.875%, 2/15/18, Ser. B |
|
B2/B+ |
|
4,496,212 |
|
||
|
2,000 |
|
8.125%, 7/15/09, Ser. B |
|
B2/B+ |
|
2,082,500 |
|
||
|
4,000 |
|
DirecTV Holdings LLC, 8.375%, 3/15/13 |
|
Ba3/BB- |
|
4,180,000 |
|
||
|
4,750 |
|
Iesy Repository GmbH, 10.375%, 2/15/15 (d) |
|
Caa2/CCC+ |
|
4,637,188 |
|
||
|
€ |
6,370 |
|
Lighthouse International Co. S.A., 8.00%, 4/30/14 (d) |
|
Aa2/B |
|
9,229,285 |
|
|
|
$ |
12,000 |
|
Rogers Cable, Inc., 8.75%, 5/1/32 |
|
Ba2/BB+ |
|
14,640,000 |
|
|
|
€ |
3,735 |
|
Telenet Communications NV, 9.00%, 12/15/13 (d) |
|
B2/B- |
|
5,429,989 |
|
|
|
|
|
|
|
|
|
126,061,518 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Oil & Gas—8.5% |
|
|
|
|
|
||||
|
$ |
18,000 |
|
Dynegy Holdings, Inc., 8.375%, 5/1/16 |
|
B-/B- |
|
18,990,000 |
|
|
|
|
|
Dynergy-Roseton Danskammer, Inc., pass thru certificates, |
|
|
|
|
|
||
|
1,050 |
|
7.27%, 11/8/10, Ser. A |
|
Ba3/B |
|
1,074,281 |
|
||
|
25,500 |
|
7.67%, 11/8/16, Ser. B |
|
Ba3/B |
|
26,440,312 |
|
||
|
|
|
El Paso Corp., |
|
|
|
|
|
||
|
29,150 |
|
7.80%, 8/1/31 |
|
B+/B |
|
31,992,125 |
|
||
|
27,850 |
|
8.05%, 10/15/30 |
|
B+/B |
|
31,052,750 |
|
||
|
19,615 |
|
El Paso Production Holding Co., 7.75%, 6/1/13 |
|
B1/B+ |
|
20,620,269 |
|
||
|
14,325 |
|
Ferrellgas L.P., 8.75%, 6/15/12 |
|
B2/B- |
|
14,754,750 |
|
||
|
|
|
Hanover Compressor Co., |
|
|
|
|
|
||
|
7,585 |
|
8.625%, 12/15/10 |
|
B3/B |
|
7,964,250 |
|
||
|
1,550 |
|
9.00%, 6/1/14 |
|
B2/B |
|
1,681,750 |
|
||
|
12,028 |
|
Hanover Equipment Trust, 8.50%, 9/1/08, Ser. A |
|
B2/B+ |
|
12,238,490 |
|
||
|
7,000 |
|
OPTI Canada, Inc., 8.25%, 12/15/14 (d) |
|
BB/B1 |
|
7,227,500 |
|
||
|
4,000 |
|
Pogo Producing Co., 7.875%, 5/1/13 |
|
B+/B1 |
|
4,080,000 |
|
||
|
16,375 |
|
SemGroup L.P., 8.75%, 11/15/15 (d) |
|
B1/NR |
|
16,538,750 |
|
||
|
Principal |
|
|
|
|
|
|
|
||
|
Amount |
|
|
|
Credit Rating |
|
|
|
||
|
(000) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
||
|
Oil & Gas—(continued) |
|
|
|
|
|
||||
|
$ |
3,000 |
|
Sonat, Inc., 7.00%, 2/1/18 |
|
B+/B |
|
$ |
3,075,000 |
|
|
37,726 |
|
Williams Cos., Inc., 7.875%, 9/1/21 |
|
Ba2/BB- |
|
40,649,765 |
|
||
|
|
|
|
|
|
|
238,379,992 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Paper/Paper Products—4.0% |
|
|
|
|
|
||||
|
|
|
Abitibi-Consolidated, Inc., |
|
|
|
|
|
||
|
6,500 |
|
8.375%, 4/1/15 |
|
B2/B+ |
|
5,655,000 |
|
||
|
8,525 |
|
8.55%, 8/1/10 |
|
B2/B+ |
|
8,141,375 |
|
||
|
14,159 |
|
8.85%, 8/1/30 |
|
B1/B+ |
|
11,681,175 |
|
||
|
16,250 |
|
Bowater Canada Finance, 7.95%, 11/15/11 |
|
B2/B+ |
|
16,006,250 |
|
||
|
2,200 |
|
Bowater, Inc., 9.375%, 12/15/21 |
|
B1/B+ |
|
2,211,000 |
|
||
|
8,750 |
|
Cascades, Inc., 7.25%, 2/15/13 |
|
BB-/BB- |
|
8,771,875 |
|
||
|
|
|
Georgia-Pacific Corp., |
|
|
|
|
|
||
|
4,550 |
|
7.75%, 11/15/29 |
|
B2/B |
|
4,561,375 |
|
||
|
27,775 |
|
8.00%, 1/15/24 |
|
B2/B |
|
28,330,500 |
|
||
|
13,750 |
|
8.875%, 5/15/31 |
|
B2/B |
|
14,609,375 |
|
||
|
|
|
Verso Paper Holdings LLC (d), |
|
|
|
|
|
||
|
5,700 |
|
9.125%, 8/1/14 |
|
Aaa/B+ |
|
5,970,750 |
|
||
|
5,000 |
|
11.375%, 8/1/16 |
|
Aaa/B- |
|
5,275,000 |
|
||
|
|
|
|
|
|
|
111,213,675 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Printing/Publishing—2.7% |
|
|
|
|
|
||||
|
17,631 |
|
Dex Media West LLC, 9.875%, 8/15/13, Ser. B |
|
B2/B |
|
19,305,945 |
|
||
|
1,000 |
|
Hollinger, Inc., 11.875%, 3/1/11 (d)(g) |
|
B3e/NR |
|
941,977 |
|
||
|
7,000 |
|
Nielsen Finance LLC, 10.00%, 8/1/14 (d) |
|
Ba2/CCC+ |
|
7,621,250 |
|
||
|
10,477 |
|
Primedia, Inc., 8.875%, 5/15/11 |
|
B-/B |
|
10,738,925 |
|
||
|
33,335 |
|
RH Donnelley Corp., 8.875%, 1/15/16, Ser. A-3 |
|
B3/B |
|
35,168,425 |
|
||
|
2,000 |
|
RH Donnelley, Inc., 10.875%, 12/15/12 |
|
B2/B |
|
2,190,000 |
|
||
|
|
|
|
|
|
|
75,966,522 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Real Estate—0.8% |
|
|
|
|
|
||||
|
10,000 |
|
B.F. Saul REIT, 7.50%, 3/1/14 |
|
B2/BB- |
|
10,212,500 |
|
||
|
8,000 |
|
Delhaize America, Inc., 9.00%, 4/15/31 |
|
Ba1/BB+ |
|
9,538,440 |
|
||
|
3,900 |
|
Grupo Gigante S.A. de C.V., 8.75%, 4/13/16 (d) |
|
NR/BB |
|
4,007,250 |
|
||
|
|
|
|
|
|
|
23,758,190 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Retail—0.6% |
|
|
|
|
|
||||
|
16,400 |
|
Bon-Ton Stores, Inc., 10.25%, 3/15/14 |
|
B-/B- |
|
16,851,000 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Telecommunications—14.8% |
|
|
|
|
|
||||
|
14,075 |
|
American Cellular Corp., 10.00%, 8/1/11, Ser. B |
|
B3/CCC |
|
14,954,687 |
|
||
|
14,555 |
|
Centennial Communications Corp., 8.125%, 2/1/14 |
|
B3/CCC |
|
15,009,844 |
|
||
|
31,800 |
|
Cincinnati Bell, Inc., 8.375%, 1/15/14 |
|
B2/B- |
|
32,833,500 |
|
||
|
12,000 |
|
Citizens Communications Co., 9.00%, 8/15/31 |
|
Ba2/BB+ |
|
13,080,000 |
|
||
|
11,300 |
|
Cricket Communications, Inc., 9.375%, 11/1/14 (d) |
|
CCC/Caa2 |
|
11,978,000 |
|
||
|
|
|
Hawaiian Telcom Communications, Inc., Ser. B, |
|
|
|
|
|
||
|
12,225 |
|
9.75%, 5/1/13 (k) |
|
B3/CCC+ |
|
12,316,687 |
|
||
|
7,000 |
|
12.50%, 5/1/15 |
|
Caa1/CCC+ |
|
7,367,500 |
|
||
|
|
|
Intelsat Bermuda Ltd. (d), |
|
|
|
|
|
||
|
20,000 |
|
9.25%, 6/15/16 |
|
B2/B+ |
|
21,600,000 |
|
||
|
13,000 |
|
11.25%, 6/15/16 |
|
Caa1/B |
|
14,332,500 |
|
||
|
18,250 |
|
Intelsat Subsidiary Holding Co., Ltd., 8.625%, 1/15/15 |
|
B2/B+ |
|
19,071,250 |
|
||
|
8,850 |
|
MetroPCS Wireless, Inc., 9.25%, 11/1/14 (b)(d) |
|
CCC/Caa2 |
|
9,292,500 |
|
||
|
8,600 |
|
Nordic Telephone Co. Holdings ApS, 8.875%, 5/1/16 (d) |
|
B2/B |
|
9,245,000 |
|
||
|
Principal |
|
|
|
|
|
|
|
||
|
Amount |
|
|
|
Credit Rating |
|
|
|
||
|
(000) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
||
|
Telecommunications—(continued) |
|
|
|
|
|
||||
|
|
|
Nortel Networks Ltd. (d), |
|
|
|
|
|
||
|
$ |
13,000 |
|
10.125%, 7/15/13 |
|
B1/B- |
|
$ |
14,105,000 |
|
|
2,000 |
|
10.75%, 7/15/16 |
|
B-/B3 |
|
2,197,500 |
|
||
|
14,625 |
|
PanAmSat Corp., 6.875%, 1/15/28 |
|
Ba2/BB |
|
13,455,000 |
|
||
|
|
|
Qwest Capital Funding, Inc., |
|
|
|
|
|
||
|
9,200 |
|
7.25%, 2/15/11 |
|
B+/B1 |
|
9,441,500 |
|
||
|
44,000 |
|
7.90%, 8/15/10 |
|
B+/B |
|
46,035,000 |
|
||
|
|
|
Qwest Communications International, Inc., |
|
|
|
|
|
||
|
14,625 |
|
7.50%, 2/15/14 |
|
B+/B |
|
15,136,875 |
|
||
|
23,225 |
|
7.50%, 2/15/14, Ser. B |
|
B+/Ba3 |
|
24,037,875 |
|
||
|
|
|
Qwest Corp., |
|
|
|
|
|
||
|
1,250 |
|
7.50%, 6/15/23 |
|
BB+/Ba1 |
|
1,265,625 |
|
||
|
1,175 |
|
7.625%, 6/15/15 |
|
BB+/Ba1 |
|
1,263,125 |
|
||
|
10,450 |
|
8.875%, 3/15/12 |
|
BB+/BB |
|
11,690,938 |
|
||
|
3,000 |
|
8.875%, 6/1/31 |
|
BB+/Ba1 |
|
3,142,500 |
|
||
|
18,020 |
|
Rural Cellular Corp., 9.875%, 2/1/10 |
|
NR/CCC |
|
19,258,875 |
|
||
|
9,400 |
|
Suncom Wireless, Inc., 8.50%, 6/1/13 |
|
Caa2/CCC- |
|
9,047,500 |
|
||
|
12,400 |
|
Superior Essex Communications LLC, 9.00%, 4/15/12 |
|
B3/B |
|
12,958,000 |
|
||
|
24,975 |
|
Time Warner Telecom Holdings, Inc., 9.25%, 2/15/14 |
|
B3/CCC+ |
|
26,816,906 |
|
||
|
13,000 |
|
Wind Acquisition Finance S.A., 10.75%, 12/1/15 (d) |
|
B2/B- |
|
14,852,500 |
|
||
|
9,000 |
|
Windstream Corp., 8.625%, 8/1/16 (d) |
|
Ba3/BB- |
|
9,900,000 |
|
||
|
|
|
|
|
|
|
415,686,187 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Transportation—0.3% |
|
|
|
|
|
||||
|
|
|
Grupo Transportacion Ferroviaria Mexicana S.A. de C.V., |
|
|
|
|
|
||
|
2,400 |
|
9.375%, 5/1/12 |
|
NR/B- |
|
2,574,000 |
|
||
|
5,000 |
|
12.50%, 6/15/12 |
|
B3/B- |
|
5,425,000 |
|
||
|
|
|
|
|
|
|
7,999,000 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Utilities—3.5% |
|
|
|
|
|
||||
|
16,850 |
|
AES Corp., 8.75%, 5/15/13 (d) |
|
Ba3/BB- |
|
18,134,813 |
|
||
|
2,000 |
|
Empresa Energetica de Sergipe and Sociedade Anonima de Eletrificaao da Paraiba, 10.50%, 7/19/13 (d) |
|
NR/B+ |
|
2,062,820 |
|
||
|
19,450 |
|
Legrand Holding S.A., 8.50%, 2/15/25 |
|
Baa3/BB+ |
|
22,464,750 |
|
||
|
|
|
Midwest Generation LLC, pass thru certificates, |
|
|
|
|
|
||
|
19,534 |
|
8.56%, 1/2/16, Ser. B |
|
Ba2/BB- |
|
21,548,795 |
|
||
|
1,500 |
|
8.75%, 5/1/34 |
|
Ba2/B+ |
|
1,635,000 |
|
||
|
21,500 |
|
PSE&G Energy Holdings LLC, 8.50%, 6/15/11 |
|
Ba3/BB- |
|
23,220,000 |
|
||
|
3,147 |
|
Sithe Independence Funding Corp., 9.00%, 12/30/13, Ser. A |
|
Ba2/B |
|
3,434,428 |
|
||
|
6,942 |
|
South Point Energy Center LLC, 8.40%, 5/30/12 (d) |
|
NR/D |
|
6,703,127 |
|
||
|
|
|
|
|
|
|
99,203,733 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Waste Disposal—0.7% |
|
|
|
|
|
||||
|
|
|
Allied Waste North America, Inc., |
|
|
|
|
|
||
|
12,000 |
|
7.25%, 3/15/15 |
|
B2/BB- |
|
12,075,000 |
|
||
|
6,823 |
|
9.25%, 9/1/12, Ser. B |
|
B2/BB- |
|
7,283,552 |
|
||
|
|
|
|
|
|
|
19,358,552 |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Corporate Bonds & Notes (cost—$2,403,604,891) |
|
|
|
2,505,185,238 |
|
||
|
|
|
|
|
|
|
|
|
||
|
SENIOR LOANS (a)(b)(c)—2.9% |
|
|
|
|
|
||||
|
Chemicals—0.1% |
|
|
|
|
|
||||
|
1,800 |
|
Ineos Group Ltd., 7.611%, 10/7/12 |
|
|
|
1,809,000 |
|
||
|
Principal |
|
|
|
|
|
|
|
||
|
Amount |
|
|
|
|
|
|
|
||
|
(000) |
|
|
|
|
|
Value* |
|
||
|
Containers & Packaging—0.3% |
|
|
|
|
|
||||
|
|
|
JSG Packaging, |
|
|
|
|
|
||
|
€ |
1,049 |
|
5.741%, 11/29/13, Term B |
|
|
|
$ |
1,395,501 |
|
|
€ |
431 |
|
5.964%, 1/12/13, Term B |
|
|
|
572,548 |
|
|
|
€ |
287 |
|
6.118%, 1/12/13, Term B |
|
|
|
381,699 |
|
|
|
€ |
324 |
|
6.157%, 1/12/13, Term B |
|
|
|
430,597 |
|
|
|
€ |
559 |
|
6.186%, 1/12/13, Term B |
|
|
|
743,418 |
|
|
|
€ |
431 |
|
6.464%, 1/12/14, Term C |
|
|
|
572,225 |
|
|
|
€ |
287 |
|
6.494%, 1/12/14, Term C |
|
|
|
381,483 |
|
|
|
€ |
324 |
|
6.657%, 1/12/14, Term C |
|
|
|
430,354 |
|
|
|
€ |
559 |
|
6.686%, 1/12/14, Term C |
|
|
|
746,286 |
|
|
|
€ |
1,049 |
|
6.835%, 11/29/14, Term C |
|
|
|
1,400,888 |
|
|
|
$ |
750 |
|
7.745%, 11/29/13, Term B |
|
|
|
755,539 |
|
|
|
750 |
|
8.245%, 11/29/14, Term C |
|
|
|
755,114 |
|
||
|
|
|
|
|
|
|
8,565,652 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Financial Services—0.1% |
|
|
|
|
|
||||
|
€ |
1,200 |
|
UPC Holding BV, 7.75%, 1/15/14 |
|
|
|
1,594,249 |
|
|
|
|
|
|
|
|
|
|
|
||
|
Healthcare & Hospitals—0.3% |
|
|
|
|
|
||||
|
$ |
9,452 |
|
HealthSouth Corp., 8.62%, 2/2/13 |
|
|
|
9,527,988 |
|
|
|
|
|
|
|
|
|
|
|
||
|
Oil & Gas—0.7% |
|
|
|
|
|
||||
|
20,000 |
|
Ferrellgas L.P., 8.87%, 8/1/09 (g) |
|
|
|
20,764,873 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Recreation—0.2% |
|
|
|
|
|
||||
|
|
|
Amadeus Global Travel, |
|
|
|
|
|
||
|
€ |
2,699 |
|
5.974%, 4/8/12, Term A |
|
|
|
3,564,660 |
|
|
|
$ |
1,250 |
|
8.114%, 4/8/13, Term B2 |
|
|
|
1,260,872 |
|
|
|
1,250 |
|
8.614%, 4/8/14, Term C2 |
|
|
|
1,265,690 |
|
||
|
|
|
|
|
|
|
6,091,222 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Telecommunications—1.0% |
|
|
|
|
|
||||
|
|
|
Nordic Telephone, |
|
|
|
|
|
||
|
€ |
2,300 |
|
8.25%, 5/1/16 (d) |
|
|
|
3,351,350 |
|
|
|
€ |
5,000 |
|
8.25%, 5/1/16 |
|
|
|
7,285,545 |
|
|
|
|
|
Nordic Telephone Co. Holdings ApS, |
|
|
|
|
|
||
|
€ |
3,200 |
|
5.939%, 11/30/14, Term B (g) |
|
|
|
4,263,250 |
|
|
|
€ |
3,200 |
|
6.439%, 11/30/14, Term C |
|
|
|
4,281,893 |
|
|
|
$ |
2,000 |
|
NTL Investment, 7.36%, 1/6/13, Term B |
|
|
|
2,010,416 |
|
|
|
|
|
Weather Investments SARL (e), |
|
|
|
|
|
||
|
€ |
3,000 |
|
5.505%, 6/17/12, Term A |
|
|
|
3,963,369 |
|
|
|
€ |
1,500 |
|
6.298%, 6/17/13, Term B (g) |
|
|
|
1,987,249 |
|
|
|
€ |
1,500 |
|
6.798%, 6/17/14, Term C |
|
|
|
1,994,541 |
|
|
|
|
|
|
|
|
|
29,137,613 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Wholesale—0.2% |
|
|
|
|
|
||||
|
|
|
Roundy’s, Inc., |
|
|
|
|
|
||
|
$ |
2,450 |
|
8.36%, 10/27/11 |
|
|
|
2,475,113 |
|
|
|
2,500 |
|
8.38%, 10/27/11 |
|
|
|
2,525,625 |
|
||
|
|
|
|
|
|
|
5,000,738 |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Senior Loans (cost—$78,738,396) |
|
|
|
82,491,335 |
|
||
|
Principal |
|
|
|
|
|
|
|
||
|
Amount |
|
|
|
Credit Rating |
|
|
|
||
|
(000) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
||
|
|
|
|
|
|
|
|
|
||
|
MUNICIPAL BONDS & NOTES—0.5% |
|
|
|
|
|
||||
|
California—0.5% |
|
|
|
|
|
||||
|
|
|
Los Angeles Community Redev. Agcy. Rev., Ser. H, |
|
|
|
|
|
||
|
$ |
200 |
|
8.25%, 9/1/07 |
|
NR/NR |
|
$ |
199,360 |
|
|
725 |
|
9.00%, 9/1/12 |
|
NR/NR |
|
744,785 |
|
||
|
1,160 |
|
9.75%, 9/1/17 |
|
NR/NR |
|
1,234,275 |
|
||
|
1,375 |
|
9.75%, 9/1/22 |
|
NR/NR |
|
1,463,688 |
|
||
|
2,170 |
|
9.75%, 9/1/27 |
|
NR/NR |
|
2,298,941 |
|
||
|
3,480 |
|
9.75%, 9/1/32 |
|
NR/NR |
|
3,678,812 |
|
||
|
|
|
San Diego Redev. Agcy., Tax Allocation, |
|
|
|
|
|
||
|
1,785 |
|
6.59%, 11/1/13 |
|
Baa3/NR |
|
1,756,012 |
|
||
|
1,435 |
|
7.49%, 11/1/18 |
|
Baa3/NR |
|
1,470,875 |
|
||
|
1,885 |
|
7.74%, 11/1/21 |
|
Baa3/NR |
|
1,919,571 |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Municipal Bonds & Notes (cost—$14,694,739) |
|
|
|
14,766,319 |
|
||
|
|
|
|
|
|
|
|
|
||
|
ASSET-BACKED SECURITIES—0.2% |
|
|
|
|
|
||||
|
3,250 |
|
Northwest Airlines, Inc., pass thru certificates, 7.691%, 4/1/17, Ser. 01-B |
|
Caa1/CCC |
|
3,236,190 |
|
||
|
742 |
|
Reliant Energy Mid-Atlantic Power Holdings LLC, 9.237%, 7/2/17, Ser. B |
|
Caa1/B |
|
831,222 |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Asset-Backed Securities (cost—$3,885,911) |
|
|
|
4,067,412 |
|
||
|
|
|
|
|
|
|
|
|
||
|
PREFERRED STOCK—0.9% |
|
|
|
|
|
||||
|
|
|
|
|
|
|
||||
|
Shares |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
||||
|
Financial Services—0.9% |
|
|
|
|
|
||||
|
24,700 |
|
Fresenius Medical Care Capital Trust II, 7.875%, UNIT (j) |
|
B1/B+ |
|
25,194,000 |
|
||
|
|
|
|
|
|
|
|
|
||
|
Telecommunications—0.0% |
|
|
|
|
|
||||
|
155,565 |
|
Superior Essex Holding Corp., 9.50%, Ser. A, UNIT |
|
NR/NR |
|
127,563 |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Preferred Stock (cost—$26,157,273) |
|
|
|
25,321,563 |
|
||
|
|
|
|
|
|
|
|
|
||
|
SHORT-TERM INVESTMENTS—6.5% |
|
|
|
|
|
||||
|
|
|
|
|
|
|
||||
|
Principal |
|
|
|
|
|
|
|
||
|
Amount |
|
|
|
|
|
|
|
||
|
(000) |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
||||
|
Sovereign Debt Obligations (e)—4.8% |
|
|
|
|
|
||||
|
Germany—4.8% |
|
|
|
|
|
||||
|
€ |
103,000 |
|
Bundesschatzanweisungen, 2.50%, 3/23/07 (cost—$135,487,197) |
|
NR/NR |
|
135,466,519 |
|
|
|
|
|
|
|
|
|
|
|
||
|
Commercial Paper—1.2% |
|
|
|
|
|
||||
|
Financial Services—1.2% |
|
|
|
|
|
||||
|
$ |
12,700 |
|
Danske Corp., 5.26%, 1/4/07 |
|
NR/NR |
|
12,694,433 |
|
|
|
6,800 |
|
Rabobank USA Financial Corp., 5.28%, 1/2/07 |
|
A-1/A-1+ |
|
6,799,002 |
|
||
|
12,600 |
|
UBS Finance LLC, 5.245%, 1/8/07 |
|
NR/NR |
|
12,587,150 |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Commercial Paper (cost—$32,080,585) |
|
|
|
32,080,585 |
|
||
|
|
|
|
|
|
|
|
|
||
|
U.S. Treasury Bills (i)—0.5% |
|
|
|
|
|
||||
|
14,355 |
|
4.80%-4.87%,3/1/07-3/15/07 (cost—$14,221,024) |
|
|
|
14,206,115 |
|
||
|
Principal |
|
|
|
|
|
|
|
||
|
Amount |
|
|
|
|
|
|
|
||
|
(000) |
|
|
|
|
|
Value* |
|
||
|
|
|
|
|
|
|
|
|
||
|
Repurchase Agreements—0.0% |
|
|
|
|
|
||||
|
$ |
29 |
|
State Street Bank & Trust Co., dated 12/29/06, 4.90%, due 1/2/07, proceeds $29,016; collateralized by Fannie Mae, 5.75%, due 2/15/08, valued at $30,830 including accrued interest (cost—$29,000) |
|
|
|
$ |
29,000 |
|
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Short-Term Investments (cost—$181,817,806) |
|
|
|
181,782,219 |
|
||
|
|
|
|
|
|
|
|
|
||
|
OPTIONS PURCHASED (j)— 0.0% |
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
||
|
Contracts/Notional |
|
|
|
|
|
|
|
||
|
|
|
Put Options—(0.0)% |
|
|
|
|
|
||
|
|
|
Eurodollar Futures, Chicago Mercantile Exchange, |
|
|
|
|
|
||
|
1,346 |
|
strike price $90.25, expires 9/17/07 |
|
|
|
3 |
|
||
|
1,483 |
|
strike price $91.25, expires 6/18/07 |
|
|
|
4 |
|
||
|
1,544 |
|
strike price $91.75, expires 3/19/07 |
|
|
|
4 |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Options Purchased (cost—$41,543) |
|
|
|
11 |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Investments before options written |
|
|
|
|
|
||
|
|
|
(cost—$2,708,940,559)—100.1% |
|
|
|
2,813,614,097 |
|
||
|
|
|
|
|
|
|
|
|
||
|
OPTIONS WRITTEN (j)— (0.1)% |
|
|
|
|
|
||||
|
|
|
|
|
|
|
||||
|
|
|
Call Options—(0.0)% |
|
|
|
|
|
||
|
21,400,000 |
|
10-Year Interest Rate Swap, Over-the-Counter, |
|
|
|
|
|
||
|
|
|
Pay 3-Month USD LIBOR Floating Rate Index, |
|
|
|
|
|
||
|
|
|
strike rate 4.60%, expires 1/2/07 |
|
|
|
— |
|
||
|
2,088 |
|
U.S. Treasury Bond Futures, Chicago Board of Trade, |
|
|
|
|
|
||
|
|
|
strike price $115, expires 2/23/07 |
|
|
|
(326,250 |
) |
||
|
1,752 |
|
U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade, |
|
|
|
|
|
||
|
|
|
strike price $111, expires 2/23/07 |
|
|
|
(54,750 |
) |
||
|
|
|
|
|
|
|
(381,000 |
) |
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Put Options—(0.1)% |
|
|
|
|
|
||
|
21,400,000 |
|
10-Year Interest Rate Swap, Over-the-Counter, |
|
|
|
|
|
||
|
|
|
Pay 3-Month USD LIBOR Floating Rate Index, |
|
|
|
|
|
||
|
|
|
strike rate 5.90%, expires 1/2/07 |
|
|
|
— |
|
||
|
2,088 |
|
U.S. Treasury Bond Futures, Chicago Board of Trade, |
|
|
|
|
|
||
|
|
|
strike price $110, expires 2/23/07 |
|
|
|
(1,076,625 |
) |
||
|
1,752 |
|
U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade, |
|
|
|
|
|
||
|
|
|
strike price $106, expires 2/23/07 |
|
|
|
(355,875 |
) |
||
|
|
|
|
|
|
|
(1,432,500 |
) |
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Options Written (premiums received—$5,520,556) |
|
|
|
(1,813,500) |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Total Investments net of options written (cost—$2,703,420,003)—100.0% |
|
|
|
$ |
2,811,800,597 |
|
|
Notes to Schedule of Investments:
|
* |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to guidelines established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The Fund’s investments in senior floating rate loans (“Senior Loans”), for which a secondary market exists will be valued at the mean of the last available bid and asked prices in the market for such Senior Loans, as provided by an independent pricing service. Other Senior Loans are valued at fair-value pursuant to procedures approved by the Board of Trustees. Such procedures include consideration and evaluation of: (1) the creditworthiness of the borrower and any intermediate participants; (2) the term of the Senior Loan; (3) recent prices in the market for similar loans, if any, (4) recent prices in the market for loans of similar quality, coupon rate, and period until next interest rate reset and maturity; and (5) general economic and market conditions affecting the fair value of the Senior Loan. Exchange traded options and futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement value. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. The Fund’s net asset value is determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business. |
|
|
|
|
(a) |
Private Placement. Restricted as to resale and may not have a readily available market. |
|
(b) |
Illiquid security. Securities with an aggregate value of $121,060,802, representing 4.31% of investments are deemed illiquid. |
|
(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. |
|
(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) |
Delayed-delivery security. To be settled/delivered after December 31, 2006. |
|
(f) |
Security in default. |
|
(g) |
Fair-valued security. Securities with an aggregate value of $48,556,039, representing 1.73% of total investments, have been fair-valued. |
|
(h) |
Credit-linked trust certificate. |
|
(i) |
All or partial amount segregated as collateral for futures contracts and/or written options. |
|
(j) |
Non-income producing. |
|
(k) |
All or partial amount segregated as collateral for reverse repurchase agreements. |
Glossary:
£ - British Pound Sterling
€ - Euros
FRN - Floating Rate Note. The interest rate disclosed reflects the rate in effect on December 31, 2006.
LIBOR - London Inter-Bank Offered Rate
NR - Not Rated
REIT - Real Estate Investment Trust
UNIT - More than one class of securities traded together.
VRN - Variable Rate Note. The interest rate disclosed reflects the rate in effect on December 31, 2006.
Other Investments:
(1) Futures contracts outstanding at December 31, 2006:
|
|
|
|
|
Market |
|
|
|
|
|
||
|
|
|
|
|
value |
|
Expiration |
|
Unrealized |
|
||
|
Type |
|
Contracts |
|
(000) |
|
Date |
|
Depreciation |
|
||
|
Long: Financial Future Euro—90 day |
|
2,775 |
|
$ |
659,409 |
|
12/18/07 |
|
$ |
(2,046,563 |
) |
(2) Transactions in options written for the period ended December 31, 2006:
|
|
|
Contracts/Notional |
|
Premiums |
|
|
|
Options outstanding, March 31, 2006 |
|
58,607,211 |
|
$ |
2,490,254 |
|
|
Options written |
|
36,412 |
|
11,319,123 |
|
|
|
Options terminated in closing transactions |
|
(15,835,943 |
) |
(8,288,821 |
) |
|
|
Options outstanding, December 31, 2006 |
|
42,807,680 |
|
$ |
5,520,556 |
|
(3) Credit default swap contracts outstanding at December 31, 2006:
|
|
|
|
|
|
|
Payments |
|
|
|
||
|
|
|
Notional Amount |
|
|
|
Received |
|
|
|
||
|
Swap Counterparty/ |
|
Payable on Default |
|
Termination |
|
(Paid) |
|
Unrealized |
|
||
|
Referenced Debt Issuer |
|
(000) |
|
Date |
|
by Fund |
|
Appreciation |
|
||
|
Bank of America |
|
|
|
|
|
|
|
|
|
||
|
Abitibi-Consolidated |
|
$ |
3,000 |
|
3/20/07 |
|
2.20 |
% |
$ |
6,693 |
|
|
AES Corp. |
|
1,000 |
|
12/20/07 |
|
1.50 |
% |
11,904 |
|
||
|
ArvinMeritor |
|
3,000 |
|
3/20/07 |
|
2.35 |
% |
14,813 |
|
||
|
Williams Cos. |
|
2,000 |
|
12/20/07 |
|
1.25 |
% |
15,634 |
|
||
|
Bear Stearns |
|
|
|
|
|
|
|
|
|
||
|
CVC |
|
3,000 |
|
12/20/07 |
|
2.15 |
% |
48,648 |
|
||
|
Georgia-Pacific Corp. |
|
1,500 |
|
12/20/07 |
|
0.82 |
% |
10,810 |
|
||
|
MGM Mirage |
|
3,500 |
|
9/20/09 |
|
1.92 |
% |
105,057 |
|
||
|
Royal Caribbean Cruises |
|
3,500 |
|
9/20/07 |
|
1.50 |
% |
32,204 |
|
||
|
Citigroup |
|
|
|
|
|
|
|
|
|
||
|
Allied Waste Industries |
|
3,500 |
|
9/20/07 |
|
2.18 |
% |
47,784 |
|
||
|
Crown Cork |
|
3,500 |
|
9/20/07 |
|
2.38 |
% |
57,188 |
|
||
|
Ford Motor Credit |
|
5,000 |
|
9/20/07 |
|
2.00 |
% |
55,551 |
|
||
|
Owens-Brockway |
|
7,000 |
|
9/20/07 |
|
2.05 |
% |
73,635 |
|
||
|
Starwood Hotels & Resorts Worldwide |
|
3,500 |
|
9/20/07 |
|
1.20 |
% |
26,292 |
|
||
|
Credit Suisse |
|
|
|
|
|
|
|
|
|
||
|
Ford Motor Credit |
|
5,000 |
|
6/20/07 |
|
0.70 |
% |
8,123 |
|
||
|
Deutsche Bank |
|
|
|
|
|
|
|
|
|
||
|
Dow Jones CDX US High Yield |
|
64,000 |
|
12/20/11 |
|
3.25 |
% |
1,383,880 |
|
||
|
Federation of Russia |
|
15,000 |
|
6/20/07 |
|
0.44 |
% |
17,953 |
|
||
|
Softbank |
|
¥ |
308,000 |
|
9/20/07 |
|
2.30 |
% |
19,905 |
|
|
|
Goldman Sachs |
|
|
|
|
|
|
|
|
|
||
|
DirecTV Holdings |
|
$ |
5,000 |
|
12/20/11 |
|
(1.70 |
)% |
881 |
|
|
|
HCA |
|
1,000 |
|
12/20/07 |
|
0.75 |
% |
2,321 |
|
||
|
Starwood Hotels & Resorts Worldwide |
|
1,000 |
|
12/20/07 |
|
1.10 |
% |
8,595 |
|
||
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
||
|
AES Corp. |
|
3,500 |
|
9/20/07 |
|
2.15 |
% |
50,585 |
|
||
|
Bowater |
|
3,000 |
|
3/20/07 |
|
1.60 |
% |
7,050 |
|
||
|
Electronic Data |
|
1,000 |
|
12/20/07 |
|
1.30 |
% |
11,076 |
|
||
|
Lear Corp. |
|
5,000 |
|
3/20/07 |
|
7.50 |
% |
42,350 |
|
||
|
Smurfit-Stone Container Corp. |
|
4,700 |
|
12/20/09 |
|
2.30 |
% |
88,416 |
|
||
|
Lehman Brothers |
|
|
|
|
|
|
|
|
|
||
|
ArvinMeritor |
|
3,000 |
|
12/20/09 |
|
2.35 |
% |
28,546 |
|
||
|
Ford Motor Credit |
|
4,000 |
|
9/20/07 |
|
2.15 |
% |
48,942 |
|
||
|
NRG Energy |
|
5,000 |
|
9/20/11 |
|
2.25 |
% |
127,460 |
|
||
|
Merrill Lynch |
|
|
|
|
|
|
|
|
|
||
|
AES Corp. |
|
8,000 |
|
6/20/07 |
|
0.95 |
% |
29,586 |
|
||
|
Morgan Stanley |
|
|
|
|
|
|
|
|
|
||
|
Gaz Capital |
|
13,000 |
|
4/20/11 |
|
1.05 |
% |
210,730 |
|
||
|
Georgia-Pacific Corp. |
|
5,000 |
|
12/20/09 |
|
1.15 |
% |
65,614 |
|
||
|
Royal Bank of Scotland |
|
|
|
|
|
|
|
|
|
||
|
GMAC |
|
25,000 |
|
3/20/07 |
|
5.00 |
% |
322,622 |
|
||
|
|
|
|
|
|
|
|
|
$ |
2,980,848 |
|
|
(4) Interest rate swap agreements outstanding at December 31, 2006:
|
|
|
|
|
|
|
Rate Type |
|
Unrealized |
|
||||
|
|
|
Notional Amount |
|
Termination |
|
Payments Made |
|
Payments Received |
|
Appreciation |
|
||
|
Swap Counterparty |
|
(000) |
|
Date |
|
by Fund |
|
by Fund |
|
(Depreciation) |
|
||
|
Citigroup |
|
$ |
240,000 |
|
7/20/16 |
|
3 Month LIBOR |
|
5.10% |
|
$ |
(2,762,136 |
) |
|
Deutsche Bank |
|
207,200 |
|
12/19/08 |
|
3 Month LIBOR |
|
5.00% |
|
(225,723 |
) |
||
|
Deutsche Bank |
|
£ |
400 |
|
9/15/10 |
|
6 Month LIBOR |
|
5.00% |
|
(8,654 |
) |
|
|
Goldman Sachs |
|
$ |
39,400 |
|
12/19/08 |
|
3 Month LIBOR |
|
5.00% |
|
(50,176 |
) |
|
|
Goldman Sachs |
|
1,800,000 |
|
6/21/26 |
|
6.00% |
|
3 Month LIBOR |
|
(114,806,630 |
) |
||
|
Goldman Sachs |
|
1,800,000 |
|
6/21/26 |
|
3 Month LIBOR |
|
6.00% |
|
111,703,411 |
|
||
|
Lehman Securities |
|
33,100 |
|
6/20/17 |
|
5.00% |
|
3 Month LIBOR |
|
757,580 |
|
||
|
UBS Securities |
|
8,700 |
|
12/19/08 |
|
3 Month LIBOR |
|
5.00% |
|
(8,817 |
) |
||
|
UBS Securities |
|
400,000 |
|
7/20/16 |
|
5.10% |
|
3 Month LIBOR |
|
(3,493,123 |
) |
||
|
UBS Securities |
|
400,000 |
|
7/20/16 |
|
3 Month LIBOR |
|
6.45% |
|
4,010,029 |
|
||
|
UBS Securities |
|
685,000 |
|
6/21/25 |
|
5.70% |
|
3 Month LIBOR |
|
(39,542,124 |
) |
||
|
UBS Securities |
|
680,000 |
|
6/21/25 |
|
3 Month LIBOR |
|
5.70% |
|
32,493,772 |
|
||
|
|
|
|
|
|
|
|
|
|
|
$ |
(11,932,591 |
) |
|
LIBOR- London Inter-bank Offered Rate
The Fund received $6,750,000 par value in U.S. Treasury Bills as collateral for swap contracts.
(5) Forward foreign currency contracts outstanding at December 31, 2006:
|
|
|
|
|
|
|
Unrealized |
|
|||
|
|
|
U.S.$ Value |
|
U.S.$ Value |
|
Appreciation |
|
|||
|
|
|
Origination Date |
|
December 31, 2006 |
|
(Depreciation) |
|
|||
|
Purchased: |
|
|
|
|
|
|
|
|||
|
¥ 4,423,139,000 settling 2/15/07 |
|
$ |
37,899,193 |
|
$ |
37,353,479 |
|
$ |
(545,714 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold: |
|
|
|
|
|
|
|
|||
|
€ 59,359,000 settling 1/23/07 |
|
79,327,071 |
|
78,370,450 |
|
956,621 |
|
|||
|
£ 2,985,000 settling 1/11/07 |
|
5,809,661 |
|
5,842,607 |
|
(32,946 |
) |
|||
|
|
|
|
|
|
|
$ |
377,961 |
|
||
(6) Open reverse repurchase agreements at December 31, 2006:
|
|
|
|
|
|
|
Maturity |
|
Principal & |
|
|
|
||
|
Counterparty |
|
Rate |
|
Trade Date |
|
Date |
|
Interest |
|
Par |
|
||
|
Lehman Brothers |
|
1.00 |
% |
5/26/06 |
|
5/26/08 |
|
$ |
4,917,368 |
|
$ |
4,887,500 |
|
|
|
|
4.50 |
% |
10/30/06 |
|
4/25/08 |
|
4,825,202 |
|
4,787,500 |
|
||
|
|
|
3.50 |
% |
12/14/06 |
|
12/12/08 |
|
4,676,920 |
|
4,668,750 |
|
||
|
|
|
5.25 |
% |
12/21/06 |
|
12/19/08 |
|
76,121,917 |
|
76,000,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
$ |
90,343,750 |
|
|
Collateral for open reverse repurchase agreements at December 31, 2006 as reflected in the schedule of investments:
|
|
|
|
|
|
|
Maturity |
|
|
|
|
|
||
|
Counterparty |
|
Description |
|
Rate |
|
Date |
|
Par |
|
Value |
|
||
|
Lehman Brothers |
|
American Airlines, Inc. |
|
8.608 |
% |
10/12/12 |
|
$ |
5,000,000 |
|
$ |
5,315,625 |
|
|
|
|
Dow Jones CDX U.S High Yield |
|
8.375 |
% |
12/29/11 |
|
80,000,000 |
|
81,844,000 |
|
||
|
|
|
Hawaiian Telcom Communications, Inc. |
|
9.750 |
% |
5/1/13 |
|
5,000,000 |
|
5,037,500 |
|
||
|
|
|
Solectron Global Finance Ltd. |
|
8.000 |
% |
3/15/16 |
|
5,000,000 |
|
5,087,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
$ |
97,284,625 |
|
|
Item 2. Controls and Procedures
(a) The Registrant’s principal executive and principal financial officers have evaluated the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and have concluded that the Registrant’s disclosure controls and procedures are effective as of a date within 90 days of the filing.
Prior to reaching this conclusion, the principal officers had become aware of matters relating to the accounting treatment in connection with the Registrant’s ability to participate in certain inverse floater structures that required enhancements to certain controls. The Registrant’s management determined that controls relating to the review and analysis of relevant terms and conditions of certain transfers of securities under the provisions of Statement of Financial Accounting Standards No. 140 “Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities” (“SFAS 140”) were not effective.
Although the Registrant has not invested in these types of securities, the Registrant’s Management is taking such further actions as are necessary to revise its disclosure controls and procedures in order to increase the effectiveness of these controls with respect to the accounting treatment of transfers of certain inverse floater transactions.
(b) There have been no changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this report that materially affected, or is reasonably likely to affect, the Registrant’s internal control over financial reporting. However as discussed above, subsequent to December 31, 2006, the Registrant is enhancing controls related to the accounting treatment of transfers of certain inverse floater securities.
Item 3. Exhibits
(a) Exhibit 99.302 Cert. – Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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.
Registrant: PIMCO High Income Fund
|
/s/ Brian S. Shlissel |
|
||
|
President & Chief Executive Officer |
|||
|
|
|||
|
Date: February 23, 2007 |
|||
|
|
|||
|
By |
/s/ Lawrence G. Altadonna |
|
|
|
Treasurer, Principal Financial & Accounting Officer |
|||
|
|
|||
|
Date: February 23, 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 dated indicated. |
|||
|
|
|||
|
By |
/s/ Brian S. Shlissel |
|
|
|
President & Chief Executive Officer |
|||
|
|
|||
|
Date: February 23, 2007 |
|||
|
|
|||
|
By |
/s/ Lawrence G. Altadonna |
|
|
|
Treasurer, Principal Financial & Accounting Officer |
|||
|
|
|||
|
Date: February 23, 2007 |
|||