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

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:    April 30, 2013
Estimated average burden hours per response: 5.6

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-10555

 

 

PIMCO Corporate Income Fund

(Exact name of registrant as specified in charter)

 

1633 Broadway New York, New York

 

10019

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna – 1633 Broadway New York, New York 10019

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

October 31, 2011

 

 

 

 

Date of reporting period:

July 31, 2011

 

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 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 respond 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, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 



 

Item 1. Schedule of Investments

 

PIMCO Corporate Income Fund Schedule of Investments

July 31, 2011 (unaudited)

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

CORPORATE BONDS & NOTES—61.4%

 

 

 

 

 

Airlines—2.0%

 

 

 

 

 

 

 

American Airlines Pass Through Trust,

 

 

 

 

 

$1,000

 

7.858%, 4/1/13 (AGC)

 

Ba1/BBB-

 

$1,005,000

 

1,877

 

10.375%, 1/2/21 (i)

 

Baa3/A-

 

2,168,206

 

1,908

 

Continental Airlines Pass Through Trust, 9.798%, 4/1/21

 

Ba3/B

 

1,975,158

 

8,528

 

Northwest Airlines, Inc., 7.15%, 4/1/21 (MBIA)

 

Ba3/BB+

 

8,528,249

 

 

 

United Air Lines Pass Through Trust,

 

 

 

 

 

1,371

 

7.336%, 1/2/21 (a)(b)(d)(j)

 

 

 

 

 

 

 

(acquisition cost-$1,371,062; purchased 6/19/07)

 

Ba2/B+

 

1,288,798

 

2,727

 

10.40%, 5/1/18 (i)

 

Baa2/BBB+

 

3,071,555

 

 

 

 

 

 

 

18,036,966

 

 

 

 

 

 

 

Automotive—0.2%

 

 

 

 

 

1,500

 

Ford Motor Co., 9.98%, 2/15/47

 

Ba3/B+

 

1,849,882

 

 

 

 

 

 

 

 

 

Banking—8.6%

 

 

 

 

 

4,000

 

ABN Amro North American Holding Preferred Capital Repackage Trust I,

 

 

 

 

 

 

 

6.523%, 11/8/12 (a)(d)(g)

 

Ba3/BB+

 

3,700,000

 

2,400

 

AgFirst Farm Credit Bank, 7.30%, 8/29/11 (a)(b)(d)(g)(j)

 

 

 

 

 

 

 

(acquisition cost-$1,904,000; purchased 2/26/10-3/2/10)

 

NR/A

 

2,410,567

 

1,150

 

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

 

Baa3/BB+

 

1,180,188

 

 

 

Barclays Bank PLC,

 

 

 

 

 

4,600

 

7.434%, 12/15/17 (a)(d)(g)(i)

 

Baa2/A-

 

4,634,500

 

7,760

 

10.179%, 6/12/21 (a)(d)(i)

 

Baa1/A

 

9,661,200

 

£200

 

14.00%, 6/15/19 (g)

 

Baa2/A-

 

399,693

 

$5,000

 

BPCE S.A., 12.50%, 9/30/19 (a)(b)(d)(g)(i)(j)

 

 

 

 

 

 

 

(acquisition cost-$5,600,000; purchased 1/11/11)

 

Baa3/NR

 

5,810,230

 

25,290

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA,

 

 

 

 

 

 

 

11.00%, 6/30/19 (a)(d)(g)(i)

 

A2/AA-

 

32,401,978

 

2,000

 

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

 

Baa3/BBB

 

2,008,044

 

1,000

 

HSBC Capital Funding L.P., 10.176%, 6/30/30 (g)

 

A3/A-

 

1,340,000

 

€4,100

 

Intesa Sanpaolo SpA, 8.375%, 10/14/19 (g)

 

Baa2/BBB+

 

5,537,810

 

 

 

Regions Financial Corp.,

 

 

 

 

 

$1,900

 

7.375%, 12/10/37

 

B1/BB

 

1,813,240

 

3,400

 

7.75%, 11/10/14

 

Ba3/BB+

 

3,628,521

 

£1,200

 

Santander Finance Preferred S.A. Unipersonal, 11.30%, 7/27/14 (g)

 

Baa2/A-

 

2,075,615

 

 

 

 

 

 

 

76,601,586

 

 

 

 

 

 

 

Building & Construction—0.3%

 

 

 

 

 

$1,000

 

Desarrolladora Homex SAB De C.V., 9.50%, 12/11/19 (a)(d)

 

Ba3/BB-

 

1,097,500

 

1,700

 

Macmillan Bloedel Pembroke L.P., 7.70%, 2/15/26

 

Ba1/BBB-

 

1,920,344

 

 

 

 

 

 

 

3,017,844

 

 

 

 

 

 

 

Consumer Products—0.2%

 

 

 

 

 

1,700

 

Reynolds Group Issuer, Inc., 9.00%, 4/15/19 (a)(d)

 

Caa1/B-

 

1,700,000

 

 

 

 

 

 

 

 

 

Energy—0.4%

 

 

 

 

 

4,300

 

Dynegy Roseton / Danskammer Pass Through Trust,

 

 

 

 

 

 

 

7.67%, 11/8/16, Ser. B

 

Ca/CC

 

3,332,500

 

 

 

 

 

 

 

 

 

Financial Services—28.8%

 

 

 

 

 

2,300

 

AGFC Capital Trust I,

 

 

 

 

 

 

 

6.00%, 1/15/67 (converts to FRN on 1/15/17) (a)(d)

 

Caa2/CCC-

 

1,552,500

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

 

 

Ally Financial, Inc.,

 

 

 

 

 

$240

 

5.35%, 1/15/14

 

B1/B+

 

$237,282

 

70

 

5.75%, 1/15/14

 

B1/B+

 

69,838

 

372

 

5.85%, 6/15/13

 

B1/B+

 

369,782

 

225

 

6.00%, 7/15/13

 

B1/B+

 

222,302

 

34

 

6.00%, 3/15/19

 

B1/B+

 

32,023

 

494

 

6.00%, 9/15/19

 

B1/B+

 

460,303

 

492

 

6.05%, 8/15/19

 

B1/B+

 

459,453

 

659

 

6.125%, 10/15/19

 

B1/B+

 

615,265

 

343

 

6.15%, 9/15/19

 

B1/B+

 

322,726

 

5

 

6.15%, 10/15/19

 

B1/B+

 

4,695

 

10

 

6.20%, 4/15/19

 

B1/B+

 

9,495

 

517

 

6.25%, 12/15/18

 

B1/B+

 

495,365

 

10

 

6.25%, 4/15/19

 

B1/B+

 

9,520

 

182

 

6.25%, 5/15/19

 

B1/NR

 

172,558

 

10

 

6.25%, 7/15/19

 

B1/B+

 

9,454

 

620

 

6.30%, 8/15/19

 

B1/B+

 

588,496

 

210

 

6.35%, 5/15/13

 

B1/B+

 

209,780

 

5

 

6.35%, 7/15/19

 

B1/B+

 

4,757

 

158

 

6.40%, 12/15/18

 

B1/B+

 

152,724

 

133

 

6.50%, 2/15/16

 

B1/B+

 

131,948

 

771

 

6.50%, 6/15/18

 

B1/B+

 

771,672

 

666

 

6.50%, 11/15/18

 

B1/B+

 

649,656

 

879

 

6.50%, 12/15/18

 

B1/B+

 

854,479

 

11

 

6.50%, 5/15/19

 

B1/B+

 

10,595

 

55

 

6.50%, 1/15/20

 

B1/B+

 

50,271

 

78

 

6.60%, 5/15/18

 

B1/B+

 

77,976

 

476

 

6.65%, 6/15/18

 

B1/B+

 

477,208

 

770

 

6.65%, 10/15/18

 

B1/B+

 

766,985

 

682

 

6.70%, 6/15/18

 

B1/B+

 

683,689

 

250

 

6.70%, 11/15/18

 

B1/B+

 

246,608

 

499

 

6.70%, 12/15/19

 

B1/B+

 

484,180

 

195

 

6.75%, 8/15/16

 

B1/B+

 

193,714

 

10

 

6.75%, 6/15/17

 

B1/B+

 

10,008

 

26

 

6.75%, 3/15/18

 

B1/B+

 

25,874

 

554

 

6.75%, 7/15/18

 

B1/B+

 

555,309

 

113

 

6.75%, 9/15/18

 

B1/B+

 

111,176

 

432

 

6.75%, 10/15/18

 

B1/B+

 

428,744

 

125

 

6.75%, 11/15/18

 

B1/B+

 

125,009

 

293

 

6.75%, 5/15/19

 

B1/B+

 

286,331

 

209

 

6.75%, 6/15/19

 

B1/B+

 

203,512

 

682

 

6.80%, 9/15/18

 

B1/B+

 

681,892

 

135

 

6.80%, 10/15/18

 

B1/B+

 

135,023

 

30

 

6.85%, 5/15/18

 

B1/B+

 

29,991

 

80

 

6.875%, 7/15/18

 

B1/B+

 

80,062

 

133

 

6.90%, 6/15/17

 

B1/B+

 

133,365

 

535

 

6.90%, 7/15/18

 

B1/B+

 

536,594

 

320

 

6.90%, 8/15/18

 

B1/B+

 

318,453

 

10

 

7.00%, 8/15/16

 

B1/B+

 

10,003

 

133

 

7.00%, 2/15/18

 

B1/B+

 

133,093

 

2,262

 

7.00%, 5/15/18

 

B1/B+

 

2,262,197

 

60

 

7.00%, 8/15/18

 

B1/B+

 

59,999

 

975

 

7.00%, 9/15/18

 

B1/B+

 

971,931

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$560

 

7.00%, 11/15/23

 

B1/B+

 

$547,674

 

107

 

7.05%, 3/15/18

 

B1/B+

 

107,000

 

1,771

 

7.05%, 4/15/18

 

B1/B+

 

1,771,136

 

105

 

7.125%, 10/15/17

 

B1/B+

 

105,230

 

148

 

7.15%, 6/15/16

 

B1/B+

 

148,057

 

143

 

7.15%, 9/15/18

 

B1/B+

 

142,982

 

210

 

7.15%, 1/15/25

 

B1/B+

 

206,805

 

270

 

7.25%, 9/15/17

 

B1/B+

 

267,149

 

214

 

7.25%, 4/15/18

 

B1/B+

 

214,555

 

1,515

 

7.25%, 8/15/18

 

B1/B+

 

1,516,628

 

385

 

7.25%, 9/15/18

 

B1/B+

 

384,991

 

50

 

7.25%, 3/15/25

 

B1/B+

 

49,260

 

227

 

7.30%, 12/15/17

 

B1/B+

 

223,808

 

61

 

7.30%, 1/15/18

 

B1/B+

 

61,153

 

12,781

 

7.375%, 11/15/16

 

B1/B+

 

12,823,382

 

80

 

7.375%, 4/15/18

 

B1/B+

 

80,317

 

20

 

7.40%, 12/15/17

 

B1/B+

 

20,052

 

16

 

7.50%, 11/15/16

 

B1/B+

 

16,004

 

45

 

7.50%, 11/15/17

 

B1/B+

 

45,120

 

23

 

7.50%, 12/15/17

 

B1/B+

 

23,062

 

27

 

7.625%, 11/15/12

 

B1/B+

 

27,072

 

266

 

9.00%, 7/15/20

 

B1/B+

 

269,982

 

2,000

 

American Express Co., 6.80%, 9/1/66 (converts to FRN on 9/1/16)

 

Baa2/BB

 

2,067,500

 

€1,500

 

American General Finance Corp., 4.125%, 11/29/13

 

B3/B

 

2,016,508

 

$5,000

 

BAC Capital Trust XIV, 5.63%, 3/15/12 (g)

 

Ba3/BB+

 

3,662,500

 

 

 

BNP Paribas S.A. (g),

 

 

 

 

 

6,700

 

7.195%, 6/25/37 (a)(d)(i)

 

Baa1/A

 

6,331,500

 

€350

 

7.781%, 7/2/18

 

Baa1/A

 

520,517

 

$3,300

 

C10 Capital SPV Ltd., 6.722%, 12/31/16 (g)

 

NR/B-

 

2,310,000

 

1,790

 

Capital One Bank USA N.A., 8.80%, 7/15/19 (i)

 

Baa1/BBB

 

2,255,409

 

1,500

 

Capital One Capital V, 10.25%, 8/15/39

 

Baa3/BB

 

1,596,375

 

3,300

 

Capital One Capital VI, 8.875%, 5/15/40

 

Baa3/BB

 

3,467,142

 

1,558

 

Cedar Brakes II LLC, 9.875%, 9/1/13 (a)(d)

 

Baa3/BBB-

 

1,624,649

 

500

 

Cemex Finance LLC, 9.50%, 12/14/16 (a)(d)

 

NR/B

 

486,250

 

 

 

CIT Group, Inc.,

 

 

 

 

 

546

 

7.00%, 5/1/14

 

B2/B+

 

551,252

 

280

 

7.00%, 5/1/15

 

B2/B+

 

281,314

 

467

 

7.00%, 5/1/16

 

B2/B+

 

468,273

 

653

 

7.00%, 5/1/17

 

B2/B+

 

655,583

 

 

 

Citigroup, Inc.,

 

 

 

 

 

CAD 1,300

 

5.365%, 3/6/36 (a)(b)(j)

 

 

 

 

 

 

 

(acquisition cost-$1,126,438; purchased 5/19/11)

 

Baa1/A-

 

1,199,077

 

$300

 

6.125%, 8/25/36

 

Baa1/A-

 

298,161

 

21,500

 

Citigroup Capital XXI, 8.30%, 12/21/77 (converts to FRN on 12/21/37)

 

Ba1/BB+

 

22,145,000

 

 

 

Credit Agricole S.A. (g),

 

 

 

 

 

2,800

 

6.637%, 5/31/17 (a)(d)(i)

 

A3/BBB+

 

2,408,000

 

€2,000

 

7.875%, 10/26/19

 

A3/BBB+

 

2,960,013

 

$6,000

 

8.375%, 10/13/19 (a)(d)(i)

 

A3/BBB+

 

6,210,000

 

£500

 

General Electric Capital Corp.,

 

 

 

 

 

 

 

6.50%, 9/15/67 (converts to FRN on 9/15/17) (a)(d)

 

Aa3/A+

 

816,622

 

 

 

Goldman Sachs Group, Inc. (i),

 

 

 

 

 

$4,000

 

6.45%, 5/1/36

 

A2/A-

 

3,896,860

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$7,000

 

6.75%, 10/1/37

 

A2/A-

 

$7,013,692

 

 

 

International Lease Finance Corp.,

 

 

 

 

 

1,500

 

5.65%, 6/1/14

 

B1/BBB-

 

1,530,000

 

2,900

 

6.75%, 9/1/16 (a)(d)

 

Ba3/BBB-

 

3,088,500

 

1,000

 

8.625%, 9/15/15

 

B1/BBB-

 

1,106,250

 

11,000

 

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

 

Baa1/BBB+

 

11,830,951

 

4,100

 

JPMorgan Chase Capital XX,

 

 

 

 

 

 

 

6.55%, 9/15/66 (converts to FRN on 9/15/36) (i)

 

A2/BBB+

 

4,169,220

 

 

 

LBG Capital No.1 PLC,

 

 

 

 

 

€300

 

7.375%, 3/12/20

 

Ba3/BB

 

388,178

 

£100

 

7.588%, 5/12/20

 

Ba3/BB

 

147,731

 

£200

 

7.867%, 12/17/19

 

Ba3/BB

 

297,103

 

£400

 

7.869%, 8/25/20

 

Ba3/BB

 

601,099

 

$12,700

 

7.875%, 11/1/20 (a)(d)

 

Ba3/BB

 

12,033,250

 

17,500

 

8.00%, 6/15/20 (a)(d)(g)

 

NR/BB-

 

16,275,000

 

8,500

 

8.50%, 12/17/21 (a)(d)(g)

 

NR/BB-

 

7,607,500

 

£300

 

11.04%, 3/19/20

 

Ba3/BB

 

521,366

 

 

 

LBG Capital No.2 PLC,

 

 

 

 

 

€400

 

8.875%, 2/7/20

 

Ba2/BB+

 

566,138

 

£3,100

 

9.125%, 7/15/20

 

Ba2/BB+

 

4,938,388

 

£500

 

9.334%, 2/7/20

 

Ba2/BB+

 

804,311

 

$13,000

 

Lehman Brothers Holdings, Inc., 6.875%, 5/2/18 (e)

 

WR/NR

 

3,623,750

 

5,200

 

PNC Financial Services Group, Inc., 6.75%, 8/1/21 (g)

 

Baa3/BBB

 

5,207,966

 

4,100

 

Royal Bank of Scotland Group PLC, 7.648%, 9/30/31 (g)

 

Ba2/BB

 

3,556,750

 

 

 

SLM Corp.,

 

 

 

 

 

5,900

 

8.00%, 3/25/20

 

Ba1/BBB-

 

6,476,607

 

13,500

 

8.45%, 6/15/18

 

Ba1/BBB-

 

15,117,732

 

€4,000

 

Societe Generale S.A., 7.756%, 5/22/13 (g)

 

Baa2/BBB+

 

5,575,169

 

 

 

Springleaf Finance Corp.,

 

 

 

 

 

$2,200

 

5.40%, 12/1/15

 

B3/B

 

2,046,000

 

500

 

6.50%, 9/15/17

 

B3/B

 

457,500

 

3,000

 

6.90%, 12/15/17

 

B3/B

 

2,823,750

 

12,100

 

Wachovia Capital Trust III, 5.570%, 8/29/11 (g)(i)

 

Baa3/A-

 

11,328,625

 

14,000

 

Wells Fargo & Co., 7.98%, 3/15/18 (g)

 

Baa3/A-

 

15,067,500

 

3,800

 

Wells Fargo Capital XV, 9.75%, 9/26/13 (g)(i)

 

Baa3/A-

 

4,042,250

 

 

 

 

 

 

 

254,018,065

 

 

 

 

 

 

 

Healthcare & Hospitals—2.1%

 

 

 

 

 

 

 

HCA, Inc.,

 

 

 

 

 

10,000

 

7.875%, 2/15/20

 

Ba3/BB

 

10,875,000

 

3,600

 

8.50%, 4/15/19

 

Ba3/BB

 

3,987,000

 

3,500

 

9.625%, 11/15/16, PIK

 

B2/BB-

 

3,753,750

 

 

 

 

 

 

 

18,615,750

 

 

 

 

 

 

 

Hotels/Gaming—0.5%

 

 

 

 

 

 

 

MGM Resorts International,

 

 

 

 

 

700

 

10.375%, 5/15/14

 

Ba3/B

 

803,250

 

1,050

 

11.125%, 11/15/17

 

Ba3/B

 

1,215,375

 

2,254

 

Times Square Hotel Trust, 8.528%, 8/1/26 (a)(d)

 

Baa3/BB+

 

2,500,975

 

 

 

 

 

 

 

4,519,600

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

Insurance—15.0%

 

 

 

 

 

$15,700

 

American General Capital II, 8.50%, 7/1/30

 

Baa2/BBB-

 

$17,348,500

 

1,400

 

American General Institutional Capital A, 7.57%, 12/1/45 (a)(d)

 

Baa2/BBB-

 

1,473,500

 

9,000

 

American General Institutional Capital B, 8.125%, 3/15/46 (a)(d)

 

Baa2/BBB-

 

9,765,000

 

 

 

American International Group, Inc.,

 

 

 

 

 

14,000

 

6.25%, 3/15/87

 

Baa2/BBB

 

12,705,000

 

MXN 16,000

 

7.98%, 6/15/17

 

Baa1/A-

 

1,242,616

 

$36,750

 

8.175%, 5/15/68 (converts to FRN on 5/15/38) (i)

 

Baa2/BBB

 

40,195,313

 

18,700

 

8.25%, 8/15/18 (i)

 

Baa1/A-

 

22,231,962

 

£4,000

 

8.625%, 5/22/68 (converts to FRN on 5/22/18)

 

Baa2/BBB

 

6,713,536

 

$5,100

 

Dai-ichi Life Insurance Co., Ltd., 7.25%, 7/25/21 (a)(d)(g)(i)

 

A3/BBB+

 

5,394,387

 

2,600

 

Genworth Financial, Inc., 8.625%, 12/15/16 (i)

 

Baa3/BBB

 

2,782,666

 

5,000

 

Metlife Capital Trust IV, 7.875%, 12/15/67 (a)(d)(i)

 

Baa2/BBB

 

5,501,385

 

6,800

 

Pacific Life Insurance Co., 7.90%, 12/30/23 (a)(d)(i)

 

A3/A-

 

7,936,300

 

 

 

 

 

 

 

133,290,165

 

 

 

 

 

 

 

Metals & Mining—0.5%

 

 

 

 

 

200

 

Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/1/17

 

Baa3/BBB-

 

218,748

 

4,000

 

Gerdau Holdings, Inc., 7.00%, 1/20/20 (a)(d)(i)

 

NR/BBB-

 

4,490,000

 

 

 

 

 

 

 

4,708,748

 

 

 

 

 

 

 

Paper/Paper Products—0.1%

 

 

 

 

 

850

 

Norske Skogindustrier ASA, 6.125%, 10/15/15 (a)(d)

 

B2/B-

 

658,750

 

 

 

 

 

 

 

 

 

Telecommunications—1.8%

 

 

 

 

 

8,200

 

Mountain States Telephone & Telegraph Co., 7.375%, 5/1/30

 

Baa3/BBB-

 

8,666,369

 

5,360

 

Qwest Corp., 7.20%, 11/10/26 (i)

 

Baa3/BBB-

 

5,386,800

 

€1,300

 

Wind Acquisition Finance S.A., 11.75%, 7/15/17

 

B2/BB-

 

2,068,776

 

 

 

 

 

 

 

16,121,945

 

 

 

 

 

 

 

Transportation—0.1%

 

 

 

 

 

$666

 

Federal Express Corp. Pass Through Trust, 7.65%, 1/15/14

 

Baa2/BBB

 

684,572

 

 

 

 

 

 

 

 

 

Utilities—0.8%

 

 

 

 

 

3,900

 

AES Andres Dominicana Ltd., 9.50%, 11/12/20 (a)(d)

 

NR/B-

 

4,178,850

 

1,700

 

FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (a)(d)

 

Ba2/B

 

1,547,000

 

1,100

 

PPL Capital Funding, Inc.,

 

 

 

 

 

 

 

6.70%, 3/30/67 (converts to FRN on 3/30/17)

 

Ba1/BB+

 

1,085,306

 

 

 

 

 

 

 

6,811,156

 

 

 

Total Corporate Bonds & Notes (cost—$461,125,250)

 

 

 

543,967,529

 

 

 

 

 

 

 

 

 

MUNICIPAL BONDS—16.5%

 

 

 

 

 

California—7.6%

 

 

 

 

 

9,000

 

Alameda Cnty. JT Powers Auth. Rev., 7.046%, 12/1/44, Ser. A

 

A1/AA

 

9,763,290

 

1,800

 

Long Beach Redev. Agcy., Tax Allocation, 8.36%, 8/1/40

 

NR/BBB+

 

1,878,444

 

7,700

 

Los Angeles Cnty. Public Works Financing Auth. Rev., 7.618%, 8/1/40

 

A1/A+

 

8,565,942

 

2,400

 

Oakland Unified School Dist., Alameda Cnty., GO, 9.50%, 8/1/34

 

A2/NR

 

2,687,784

 

1,100

 

Riverside Cnty. Redev. Agcy., Tax Allocation,

 

 

 

 

 

 

 

7.50%, 10/1/30, Ser. A-T

 

A3/A-

 

1,107,788

 

2,100

 

San Luis Obispo Cnty. Rev., zero coupon, 9/1/27, Ser. C (NPFGC)

 

Baa1/AA-

 

672,420

 

800

 

San Marcos Unified School Dist., GO, zero coupon, 8/1/29

 

Aa2/AA-

 

259,296

 

 

 

State Public Works Board Rev.,

 

 

 

 

 

5,900

 

7.804%, 3/1/35, Ser. B-2

 

Aa3/BBB+

 

6,164,202

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

California (continued)

 

 

 

 

 

$20,000

 

8.361%, 10/1/34, Ser. G-2

 

A2/BBB+

 

$22,491,000

 

5,000

 

State, GO, 7.95%, 3/1/36

 

A1/A-

 

5,721,750

 

7,400

 

Stockton Public Financing Auth. Rev., 7.942%, 10/1/38, Ser. B

 

NR/A

 

7,765,856

 

 

 

 

 

 

 

67,077,772

 

 

 

 

 

 

 

Colorado—0.6%

 

 

 

 

 

5,000

 

Denver Public Schools, CP, 7.017%, 12/15/37, Ser. B

 

Aa3/A+

 

5,733,550

 

 

 

 

 

 

 

District of Columbia—1.5%

 

 

 

 

 

13,000

 

Metropolitan Airports Auth. Rev., 7.462%, 10/1/46

 

Baa1/BBB+

 

13,329,290

 

 

 

 

 

 

 

 

 

Louisiana—0.2%

 

 

 

 

 

 

 

New Orleans, Public Improvements, GO, Ser. A,

 

 

 

 

 

800

 

8.30%, 12/1/29

 

A3/BBB

 

868,344

 

820

 

8.55%, 12/1/34

 

A3/BBB

 

870,914

 

300

 

8.80%, 12/1/39

 

A3/BBB

 

321,099

 

 

 

 

 

 

 

2,060,357

 

 

 

 

 

 

 

Nevada—1.8%

 

 

 

 

 

14,800

 

Las Vegas Valley Water Dist., GO, 7.263%, 6/1/34

 

Aa2/AA+

 

15,933,236

 

 

 

 

 

 

 

 

 

Ohio—2.1%

 

 

 

 

 

14,000

 

American Municipal Power-Ohio, Inc. Rev.,

 

 

 

 

 

 

 

Comb Hydroelectric Projects, 8.084%, 2/15/50, Ser. B

 

A3/A

 

18,281,340

 

 

 

 

 

 

 

Pennsylvania—0.1%

 

 

 

 

 

2,000

 

Philadelphia Auth. for Industrial Dev. Rev.,

 

 

 

 

 

 

 

zero coupon, 4/15/26, Ser. B (AMBAC)

 

A2/BBB

 

695,120

 

 

 

 

 

 

 

 

 

Texas—2.6%

 

 

 

 

 

4,000

 

Dallas Convention Center Hotel Dev. Corp. Rev., 7.088%, 1/1/42

 

A1/A+

 

4,319,240

 

17,200

 

North Texas Tollway Auth. Rev., 8.91%, 2/1/30

 

Baa3/NR

 

18,838,988

 

 

 

 

 

 

 

23,158,228

 

 

 

Total Municipal Bonds (cost—$136,268,712)

 

 

 

146,268,893

 

 

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES—13.9%

 

 

 

 

 

1,346

 

American Home Mortgage Assets, 0.417%, 9/25/46, CMO, FRN

 

C/D

 

177,905

 

377

 

Banc of America Alternative Loan Trust, 6.00%, 1/25/36, CMO

 

Caa2/NR

 

261,717

 

7,600

 

Banc of America Funding Corp., 6.00%, 3/25/37, CMO

 

Caa2/CCC

 

5,583,750

 

 

 

BCAP LLC Trust (a)(d)(f),

 

 

 

 

 

2,500

 

5.876%, 3/26/37

 

NR/NR

 

217,275

 

2,000

 

10.25%, 6/25/36

 

NR/NR

 

244,623

 

2,812

 

Bear Stearns Alt-A Trust, 4.516%, 11/25/36, CMO, VRN

 

Caa3/CCC

 

1,621,412

 

2,378

 

Chase Commercial Mortgage Securities Corp.,

 

 

 

 

 

 

 

6.887%, 10/15/32, CMO (a)(d)

 

NR/BB+

 

2,372,973

 

 

 

Chase Mortgage Finance Corp., CMO,

 

 

 

 

 

11,891

 

2.526%, 3/25/37, FRN

 

Caa2/NR

 

9,247,595

 

93

 

2.935%, 12/25/35, FRN

 

NR/CC

 

89,756

 

3,087

 

6.00%, 7/25/37

 

NR/CCC

 

2,555,047

 

3,781

 

Citicorp Mortgage Securities, Inc., 6.00%, 6/25/36, CMO

 

Caa1/NR

 

3,547,714

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

 

 

424

 

5.50%, 3/25/36

 

Caa3/NR

 

295,771

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

$2,165

 

5.75%, 3/25/37

 

Caa3/CCC

 

$1,554,466

 

1,338

 

6.50%, 8/25/36

 

Ca/CC

 

785,323

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

 

 

834

 

3.419%, 9/20/36, VRN

 

Ca/CC

 

469,278

 

3,440

 

5.50%, 10/25/35

 

Caa1/NR

 

3,284,866

 

3,381

 

5.75%, 3/25/37

 

NR/CCC

 

2,910,690

 

1,800

 

6.00%, 2/25/37

 

NR/CC

 

1,502,323

 

1,600

 

6.00%, 3/25/37

 

NR/CCC

 

1,332,822

 

741

 

6.00%, 4/25/37

 

NR/CCC

 

682,760

 

15,000

 

6.00%, 5/25/37

 

Caa3/NR

 

11,728,492

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

 

 

1,689

 

6.00%, 2/25/37

 

NR/CCC

 

1,442,101

 

4,213

 

6.00%, 6/25/37

 

NR/D

 

3,671,602

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

 

 

820

 

5.50%, 5/25/36

 

NR/CCC

 

707,813

 

9,274

 

6.00%, 2/25/36

 

NR/CCC

 

8,170,240

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

 

 

5,052

 

5.00%, 3/25/37

 

NR/CCC

 

4,072,396

 

2,321

 

5.561%, 1/25/37, VRN

 

Caa2/NR

 

1,802,197

 

840

 

6.00%, 8/25/37

 

NR/CCC

 

749,027

 

6,084

 

Morgan Stanley Mortgage Loan Trust, 6.00%, 2/25/36, CMO

 

Caa2/CC

 

5,022,469

 

1,429

 

Residential Accredit Loans, Inc., 0.417%, 5/25/37, CMO, FRN

 

C/CCC

 

385,900

 

3,403

 

Residential Asset Mortgage Products, Inc., 6.50%, 12/25/31, CMO

 

NR/BB-

 

3,409,456

 

1,042

 

Residential Asset Securitization Trust, 6.00%, 9/25/36, CMO

 

Ca/D

 

583,652

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

 

 

2,800

 

6.00%, 1/25/37

 

Caa2/NR

 

2,401,382

 

3,313

 

6.25%, 8/25/36

 

Caa1/CCC

 

2,749,434

 

1,143

 

Sequoia Mortgage Trust, 4.798%, 2/20/47, CMO, VRN

 

NR/CCC

 

925,695

 

1,321

 

Suntrust Adjustable Rate Mortgage Loan Trust,

 

 

 

 

 

 

 

5.824%, 2/25/37, CMO, FRN

 

NR/CCC

 

942,661

 

 

 

WaMu Mortgage Pass Through Certificates, CMO,

 

 

 

 

 

1,345

 

5.470%, 7/25/37, VRN

 

NR/CC

 

887,535

 

15,217

 

5.603%, 7/25/37, FRN

 

NR/CCC

 

12,966,164

 

2,000

 

5.653%, 2/25/37, FRN

 

NR/CCC

 

1,686,318

 

797

 

5.833%, 9/25/36, VRN

 

NR/CCC

 

591,970

 

 

 

Washington Mutual Alternative Mortgage Pass Through Certificates, CMO, FRN,

 

 

 

 

 

1,494

 

1.023%, 4/25/47

 

C/CCC

 

291,867

 

1,426

 

1.103%, 5/25/47

 

C/CCC

 

379,467

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

 

 

8,151

 

2.734%, 7/25/36, FRN

 

NR/CC

 

6,794,217

 

271

 

2.743%, 5/25/36, FRN

 

Caa2/NR

 

205,053

 

1,469

 

2.743%, 7/25/36, FRN

 

NR/CC

 

1,142,046

 

726

 

2.770%, 4/25/36, VRN

 

NR/CC

 

610,098

 

4,403

 

4.907%, 10/25/36, FRN

 

NR/CCC

 

3,426,323

 

1,800

 

6.00%, 7/25/37

 

B3/CCC

 

1,718,072

 

5,700

 

6.00%, 8/25/37

 

Caa1/NR

 

5,249,483

 

 

 

Total Mortgage-Backed Securities (cost—$117,798,904)

 

 

 

123,451,196

 

 

 

 

 

 

 

 

 

SENIOR LOANS (a)(c)—2.3%

 

 

 

 

 

Financial Services—2.3%

 

 

 

 

 

898

 

CIT Group, Inc., 6.25%, 8/11/15, Term 3

 

 

 

902,565

 

20,000

 

Springleaf Finance Corp., 5.50%, 5/10/17

 

 

 

19,604,680

 

 

 

Total Senior Loans (cost—$20,818,598)

 

 

 

20,507,245

 

 



 

 

 

 

 

Credit Rating

 

 

 

Shares

 

 

 

(Moody’s/S&P)

 

Value*

 

PREFERRED STOCK—2.2%

 

 

 

 

 

Banking—0.2%

 

 

 

 

 

30,200

 

CoBank Acb, 11.00%, 7/1/13, Ser. C (a)(b)(d)(g)(j)

 

 

 

 

 

 

 

(acquisition cost-$1,678,450; purchased 2/26/10-2/1/11)

 

NR/A

 

$1,646,145

 

 

 

 

 

 

 

 

 

Financial Services—2.0%

 

 

 

 

 

100,000

 

Ally Financial, Inc., 8.50%, 5/15/16, Ser. A (g)(k)

 

Caa1/CCC

 

2,462,000

 

100,000

 

Citigroup Capital XIII, 7.875%, 10/30/15 (k)

 

Ba1/BB+

 

2,707,000

 

512,000

 

GMAC Capital Trust I, 8.125%, 2/15/16, Ser. 2 (k)

 

B3/CCC

 

13,103,360

 

 

 

 

 

 

 

18,272,360

 

 

 

Total Preferred Stock (cost—$19,478,450)

 

 

 

19,918,505

 

 

 

 

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK—1.9%

 

 

 

 

 

Financial Services—1.0%

 

 

 

 

 

8,050

 

Wells Fargo & Co., 7.50%, 3/15/13, Ser. L (g)

 

Baa3/A-

 

8,546,685

 

 

 

 

 

 

 

 

 

Insurance—0.0%

 

 

 

 

 

195,785

 

American International Group, Inc., 8.50%, 8/1/11

 

Baa2/NR

 

234,942

 

 

 

 

 

 

 

 

 

Utilities—0.9%

 

 

 

 

 

 

 

PPL Corp.,

 

 

 

 

 

53,400

 

8.75%, 5/1/14

 

NR/NR

 

2,864,376

 

90,000

 

9.50%, 7/1/13

 

NR/NR

 

5,048,100

 

 

 

 

 

 

 

7,912,476

 

 

 

Total Convertible Preferred Stock (cost—$13,927,024)

 

 

 

16,694,103

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000s)

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS—0.8%

 

 

 

 

 

Brazil—0.8%

 

 

 

 

 

BRL 8,400

 

Brazilian Government International Bond,

 

 

 

 

 

 

 

12.50%, 1/5/22 (cost—$4,873,628)

 

Baa2/BBB-

 

6,960,054

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—0.3%

 

 

 

 

 

$2,344

 

GSAA Trust, 6.295%, 6/25/36

 

Caa3/CCC

 

1,353,787

 

1,543

 

Morgan Stanley Mortgage Loan Trust, 6.25%, 7/25/47, VRN

 

Caa2/CCC

 

1,221,285

 

 

 

Total Asset-Backed Securities (cost—$2,334,724)

 

 

 

2,575,072

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

MUTUAL FUNDS—0.0%

 

 

 

 

 

3,160

 

BlackRock MuniYield Quality Fund II, Inc.

 

 

 

36,719

 

7,895

 

BlackRock MuniYield Quality Fund III, Inc.

 

 

 

96,082

 

 

 

Total Mutual Funds (cost—$137,571)

 

 

 

132,801

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000s)

 

 

 

(Moody’s/S&P)

 

Value*

 

SHORT-TERM INVESTMENTS—0.7%

 

 

 

 

 

Corporate Notes—0.3%

 

 

 

 

 

Financial Services—0.2%

 

 

 

 

 

 

 

Ally Financial, Inc.,

 

 

 

 

 

$90

 

2.001%, 9/15/11, FRN

 

B1/B+

 

$90,167

 

130

 

2.101%, 12/15/11, FRN

 

B1/B+

 

129,616

 

50

 

2.131%, 1/16/12, FRN

 

B1/B+

 

49,818

 

115

 

2.231%, 1/17/12, FRN

 

B1/B+

 

114,632

 

100

 

2.281%, 2/15/12, FRN

 

B1/B+

 

99,626

 

149

 

2.301%, 12/15/11, FRN

 

B1/B+

 

148,668

 

76

 

2.431%, 2/15/12, FRN

 

B1/B+

 

75,776

 

40

 

2.551%, 3/15/12, FRN

 

B1/B+

 

39,738

 

896

 

6.75%, 7/15/12

 

WR/NR

 

891,973

 

 

 

 

 

 

 

1,640,014

 

 

 

 

 

 

 

Utilities—0.1%

 

 

 

 

 

627

 

East Coast Power LLC, 7.066%, 3/31/12

 

Baa3/BBB

 

632,147

 

 

 

Total Corporate Notes (cost—$2,255,503)

 

 

 

2,272,161

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations (h)(l)—0.1%

 

 

 

 

 

 

 

U.S. Treasury Bills,

 

 

 

 

 

1,283

 

0.010%-0.062%, 8/18/11-8/25/11 (cost—$1,282,973)

 

 

 

1,282,973

 

 

 

 

 

 

 

 

 

Repurchase Agreements—0.3%

 

 

 

 

 

1,000

 

Barclays Capital, Inc., dated 7/29/11, 0.15%, due 8/1/11, proceeds $1,000,013; collateralized by U.S. Treasury Inflation Index Notes, 3.00%, 7/15/12, valued at $1,020,566 including accrued interest

 

 

 

1,000,000

 

1,306

 

State Street Bank & Trust Co., dated 7/29/11, 0.01%, due 8/1/11, proceeds $1,306,001; collateralized by U.S. Treasury Notes, 1.75%, due 5/31/16, valued at $1,334,574 including accrued interest

 

 

 

1,306,000

 

 

 

Total Repurchase Agreements (cost—$2,306,000)

 

 

 

2,306,000

 

 

 

Total Short-Term Investments (cost—$5,844,476)

 

 

 

5,861,134

 

 

 

 

 

 

 

 

 

 

 

Total Investments (cost—$782,607,337) (m)—100.0%

 

 

 

$886,336,532

 

 



 


Notes to Schedule of Investments:

 

 

*

Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services.

 

Portfolio securities and other financial instruments for which market quotations are not readily available, or for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees, or persons acting at their discretion pursuant to procedures established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Fund’s investments 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 mean between the last quoted bid and ask price. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Exchange-traded futures are valued at the settlement price determined by the relevant exchange. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.

 

 

 

The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and these differences could be material. The Fund’s NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.

 

 

(a)

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $192,780,073, representing 21.8% of total investments.

 

 

(b)

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. The interest rate disclosed reflects the rate in effect on July 31, 2011.

 

 

(d)

144A—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)

In default.

 

 

(f)

Fair-Valued—Securities with an aggregate value of $461,898, representing 0.1% of total investments.

 

 

(g)

Perpetual maturity. The date shown is the next call date. On Corporate Bonds & Notes, the interest rate is fixed until the first call date and variable thereafter.

 

 

(h)

All or partial amount segregated for the benefit of the counterparty as collateral for derivatives.

 

 

(i)

All or partial amount segregated for the benefit of the counterparty as collateral for reverse repurchase agreements.

 

 

(j)

Restricted. The aggregate acquisition cost of such securities is $11,679,950. The aggregate market value is $12,354,817, representing 1.4% of total investments.

 

 

(k)

Dividend rate is fixed until the first call date and variable thereafter.

 

 

(l)

Rates reflect the effective yields at purchase date.

 

 

(m)

At July 31, 2011, the cost basis of investments for federal income tax purposes was $783,029,108. Gross unrealized appreciation was $119,822,046; gross unrealized depreciation was $16,514,622; and net unrealized appreciation was $103,307,424. The difference between book and tax cost basis was attributable to wash sales.

 

Glossary:

AGC—insured by Assured Guaranty Corp.

AMBAC—insured by American Municipal Bond Assurance Corp.

BRL—Brazilian Real

£—British Pound

CAD—Canadian Dollar

CMO—Collateralized Mortgage Obligation

CP—Certificates of Participation

€—Euro

FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on July 31, 2011.

GO—General Obligation Bond

LIBOR—London Inter-Bank Offered Rate

MBIA—insured by Municipal Bond Investors Assurance

MXN—Mexican Peso

NPFGC—insured by National Public Finance Guarantee Corp.

NR—Not Rated

PIK—Payment-in-Kind

VRN—Variable Rate Note. Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on July 31, 2011.

WR—Withdrawn Rating

 



 

Other Investments:

 

(A)  Futures contracts outstanding at July 31, 2011:

 

 

 

 

 

Market

 

 

 

 

 

 

 

 

 

Value

 

Expiration

 

Unrealized

 

Type

 

Contracts

 

(000s)

 

Date

 

Appreciation

 

Long:

Financial Futures Euro—90 day

 

354

 

 

$88,026

 

3/19/12

 

$256,650

 

 

Financial Futures Euro—90 day

 

284

 

 

70,595

 

6/18/12

 

13,714

 

 

Financial Futures Euro—90 day

 

284

 

 

70,553

 

9/17/12

 

106,014

 

 

Financial Futures Euro—90 day

 

284

 

 

70,485

 

12/17/12

 

205,414

 

 

Financial Futures Euro—90 day

 

284

 

 

70,411

 

3/18/13

 

294,165

 

 

Financial Futures Euro—90 day

 

21

 

 

5,199

 

6/17/13

 

11,909

 

 

 

 

 

 

 

 

 

$887,866

 

 

At July 31, 2011, Corporate Income pledged cash collateral of $179,000 for futures contracts.

 

(B) Credit default swap agreements:

Sell protection swap agreements outstanding at July 31, 2011 (1):

 

 

 

 

 

 

 

 

 

 

 

 

 

Upfront

 

 

 

Swap Counterparty/

 

Notional Amount

 

Credit

 

Termination

 

Payments

 

Market

 

Premiums

 

Unrealized

 

Referenced Debt Issuer

 

(000s) (3)

 

Spread (2)

 

Date

 

Received

 

Value (4)

 

Received

 

Appreciation

 

Bank of America:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Brazilian Government International Bond

 

$2,600

 

1.03

%

12/20/15

 

1.00

%

$(544

)

$(19,925

)

$19,381

 

Barclays Bank:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Brazilian Government International Bond

 

10,400

 

1.03

%

12/20/15

 

1.00

%

(2,178

)

(77,143

)

74,965

 

Citigroup:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SLM

 

10,000

 

1.83

%

12/20/13

 

5.00

%

801,516

 

(1,096,500

)

1,898,016

 

HSBC Bank:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mexico Government International Bond

 

4,000

 

1.02

%

12/20/15

 

1.00

%

1,696

 

(51,182

)

52,878

 

 

 

 

 

 

 

 

 

 

 

$800,490

 

$(1,244,750

)

$2,045,240

 

 


(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

(3) This represents the maximum potential amount the Fund could be required to make available as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

(4) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at July 31, 2011 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

(C) Interest rate swap agreements outstanding at July 31, 2011:

 

 

 

Notional

 

 

 

Rate Type

 

 

 

Upfront

 

Unrealized

 

Swap

 

Amount

 

Termination

 

Payments

 

Payments

 

Market

 

Premiums

 

Appreciation

 

Counterparty

 

(000s)

 

Date

 

Made

 

Received

 

Value

 

Received

 

(Depreciation)

 

JPMorgan Chase

 

$157,000

 

12/21/41

 

4.00%

 

3-Month USD-LIBOR

 

$(2,791,962

)

$(843,090

)

$(1,948,872

)

Royal Bank of Scotland

 

158,000

 

9/19/13

 

0.50%

 

Federal Funds Overnight Rate

 

90,985

 

(237,527

)

328,512

 

 

 

 

 

 

 

 

 

 

 

$(2,700,977

)

$(1,080,617

)

$(1,620,360

)

 


LIBOR - London Inter-Bank Offered Rate

 



 

(D)  Forward foreign currency contracts outstanding at July 31, 2011:

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

U.S.$ Value on

 

U.S.$ Value