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UNITED STATES |
OMB APPROVAL |
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OMB Number: 3235-0578 Expires: April 30, 2010 Estimated average burden hours per response........10.5 |
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FORM N-Q |
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
811-22121 |
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PIMCO Income Opportunity Fund |
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(Exact name of registrant as specified in charter) |
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1345 Avenue of the Americas New York, NY |
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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, NY 10105 |
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(Name and address of agent for service) |
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Registrants telephone number, including area code: |
212-739-3371 |
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Date of fiscal year end: |
October 31, 2009 |
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Date of reporting period: |
July 31, 2009 |
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Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 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 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 Income Opportunity Fund Schedule of Investments
July 31, 2009 (unaudited)
Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moodys/S&P) |
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Value* |
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MORTGAGE-BACKED SECURITIES46.9% |
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$1,592 |
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American Home Mortgage Assets, 2.13%, 11/25/46, CMO, FRN |
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Caa1/BB- |
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$602,265 |
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825 |
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Banc of America Alternative Loan Trust, 6.25%, 1/25/37, CMO |
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Ca/NR |
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412,202 |
|
896 |
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Banc of America Commercial Mortgage, Inc., 5.918%, 4/11/36, CMO (a)(d) |
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NR/AA- |
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548,532 |
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Banc of America Funding Corp., CMO, |
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649 |
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4.273%, 12/20/36, VRN |
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A3/AAA |
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585,492 |
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2,851 |
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5.967%, 10/20/46, FRN |
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NR/BB |
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1,562,228 |
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Banc of America Mortgage Securities, Inc., CMO, |
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330 |
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4.710%, 6/25/35, FRN |
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Baa3/NR |
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230,832 |
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2,472 |
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5.189%, 6/25/35, FRN |
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Ba3/NR |
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1,891,889 |
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1,667 |
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5.75%, 8/25/34 |
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NR/AAA |
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1,299,965 |
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Bear Stearns Adjustable Rate Mortgage Trust, CMO, |
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2,717 |
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4.768%, 5/25/34, FRN |
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A2/AAA |
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2,014,393 |
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1,214 |
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5.348%, 3/25/35, VRN |
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Aa2/AA- |
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838,801 |
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Bear Stearns Alt-A Trust, CMO, |
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4,968 |
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0.445%, 6/25/46, FRN |
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Caa3/CCC |
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2,375,107 |
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1,628 |
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0.885%, 6/25/34, FRN |
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A3/AAA |
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873,868 |
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1,453 |
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4.860%, 9/25/34, VRN |
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A2/AAA |
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905,993 |
|
752 |
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5.490%, 7/25/35, FRN |
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Ba1/AAA |
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499,084 |
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8,000 |
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5.744%, 8/25/36, VRN |
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Caa3/AAA |
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2,835,891 |
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789 |
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5.906%, 5/25/36, VRN |
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Caa2/CCC |
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361,662 |
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1,439 |
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6.25%, 8/25/36, VRN |
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Caa2/CCC |
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677,404 |
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Bear Stearns Commercial Mortgage Securities, CMO, |
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2,467 |
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0.398%, 3/15/19, FRN (a)(d) |
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Aaa/AAA |
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2,104,517 |
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5,000 |
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4.98%, 2/11/41 (i) |
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Aaa/NR |
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5,004,194 |
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1,519 |
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7.00%, 5/20/30, VRN |
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Aaa/AAA |
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1,629,741 |
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5,500 |
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Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 12/11/49, CMO (i) |
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Aaa/AAA |
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4,379,083 |
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2,030 |
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Commercial Mortgage Pass Through Certificates, 5.306%, 12/10/46, CMO |
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Aaa/NR |
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1,650,472 |
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Countrywide Alternative Loan Trust, CMO, |
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837 |
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6.00%, 11/25/35 |
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Caa2/CCC |
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501,663 |
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2,570 |
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6.00%, 4/25/37 |
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NR/CCC |
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1,688,304 |
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1,001 |
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6.25%, 8/25/37 |
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Caa1/CCC |
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556,032 |
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1,493 |
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6.50%, 6/25/36 |
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Caa2/NR |
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927,963 |
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Credit Suisse First Boston Mortgage Securities Corp., CMO, |
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1,012 |
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0.935%, 3/25/34, FRN |
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Aa2/AA+ |
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464,240 |
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3,586 |
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7.50%, 5/25/32 (i) |
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Aaa/AAA |
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3,193,693 |
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Credit Suisse Mortgage Capital Certificates, CMO, |
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971 |
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5.896%, 4/25/36 |
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Caa1/BBB+ |
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649,673 |
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842 |
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6.50%, 5/25/36 |
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Caa2/CCC |
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438,459 |
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950 |
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6.50%, 7/26/36 |
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NR/AAA |
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523,867 |
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3,500 |
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CS First Boston Mortgage Securities Corp., 6.574%, 12/15/35, CMO (i) |
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Aaa/AAA |
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3,479,434 |
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1,549 |
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Deutsche ALT-A Securities, Inc., 0.435%, 2/25/47, CMO, FRN |
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Caa1/CCC |
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675,245 |
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3,074 |
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Deutsche Mortgage Securities, Inc., 5.50%, 9/25/33, CMO (i) |
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Aaa/AAA |
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2,818,936 |
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2,154 |
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Downey Savings & Loan Assoc. Mortgage Loan Trust, 0.469%, 4/19/48, CMO, FRN |
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B3/AAA |
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372,443 |
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768 |
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First Horizon Alternative Mortgage Securities, 5.388%, 8/25/35, CMO, FRN |
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B1/AAA |
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226,157 |
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2,500 |
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GE Capital Commercial Mortgage Corp., 5.334%, 11/10/45, CMO, VRN |
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Aaa/AAA |
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2,396,390 |
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810 |
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GMAC Mortgage Corp. Loan Trust, 4.531%, 6/25/34, CMO, FRN |
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NR/AAA |
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481,671 |
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2,846 |
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Greenpoint Mortgage Funding Trust, 0.465%, 1/25/37, CMO, FRN |
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Ba1/AAA |
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1,398,770 |
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Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moodys/S&P) |
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Value* |
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Greenwich Capital Commercial Funding Corp., CMO, |
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$480 |
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4.791%, 4/10/37 |
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Aaa/AAA |
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$481,594 |
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3,000 |
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5.224%, 4/10/37, VRN |
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Aaa/AAA |
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2,831,824 |
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3,000 |
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5.444%, 3/10/39 |
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Aaa/AAA |
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2,559,784 |
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567 |
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GS Mortgage Securities Corp. II, 6.044%, 8/15/18, CMO (a)(d) |
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Aaa/AAA |
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583,626 |
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901 |
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Harborview Mortgage Loan Trust, 5.75%, 8/19/36, CMO, VRN |
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NR/B |
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459,442 |
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3,000 |
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Indymac Index Mortgage Loan Trust, 5.943%, 11/25/36, CMO, VRN |
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Caa1/AAA |
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1,721,709 |
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2,199 |
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JPMorgan Alternative Loan Trust, 5.50%, 11/25/36, CMO, VRN |
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Ba3/AAA |
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1,798,863 |
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JPMorgan Chase Commercial Mortgage Securities Corp., CMO, |
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3,000 |
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4.936%, 8/15/42, VRN |
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Aaa/AAA |
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2,812,234 |
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3,000 |
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5.42%, 1/15/49 |
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Aaa/NR |
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2,576,698 |
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3,000 |
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5.798%, 6/15/49, VRN |
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Aaa/AAA |
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2,410,861 |
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1,150 |
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5.833%, 2/15/51, VRN |
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Aaa/AAA |
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1,078,874 |
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3,000 |
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JPMorgan Mortgage Trust, 4.945%, 11/25/35, CMO, VRN |
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B2/AAA |
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1,945,038 |
|
500 |
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LB Commercial Conduit Mortgage Trust, 5.950%, 7/15/44, CMO, VRN |
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Aaa/AAA |
|
372,550 |
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LB-UBS Commercial Mortgage Trust, CMO, |
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|
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1,277 |
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5.347%, 11/15/38 |
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NR/AAA |
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1,085,450 |
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2,000 |
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5.43%, 2/15/40 |
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NR/AAA |
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1,530,676 |
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MASTR Adjustable Rate Mortgage Trust, CMO, |
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|
|
|
|
124 |
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4.455%, 12/25/33, FRN |
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A1/AAA |
|
83,865 |
|
211 |
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4.875%, 1/25/34, FRN |
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Aaa/AAA |
|
184,917 |
|
1,716 |
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4.931%, 10/25/34, VRN |
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NR/AAA |
|
1,202,020 |
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3,000 |
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Merrill Lynch Mortgage Trust, 4.864%, 8/12/39, CMO, VRN |
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Aaa/NR |
|
2,797,288 |
|
376 |
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MLCC Mortgage Investors, Inc., 5.809%, 5/25/36, CMO, FRN |
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Aa2/AAA |
|
346,082 |
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|
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Morgan Stanley Capital I, CMO, |
|
|
|
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3,000 |
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5.386%, 3/12/44, VRN |
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Aaa/AAA |
|
2,838,635 |
|
645 |
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5.569%, 12/15/44 |
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NR/AAA |
|
520,095 |
|
2,744 |
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Morgan Stanley Dean Witter Capital I, 6.66%, 2/15/33, CMO (i) |
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NR/AAA |
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2,828,775 |
|
795 |
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Morgan Stanley Mortgage Loan Trust, 5.288%, 1/25/35, CMO, VRN |
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NR/A |
|
193,594 |
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2,000 |
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Prudential Securities Secured Financing Corp., 6.755%, 6/16/31, CMO, VRN (a)(d) |
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NR/NR |
|
1,703,184 |
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|
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Residential Accredit Loans, Inc., CMO, |
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|
|
|
|
759 |
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0.465%, 6/25/46, FRN |
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Caa1/CCC |
|
340,475 |
|
1,730 |
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0.615%, 4/25/37, FRN |
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Caa3/CCC |
|
698,769 |
|
1,694 |
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6.00%, 8/25/35 |
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NR/B- |
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1,185,633 |
|
1,632 |
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Residential Asset Securitization Trust, 6.00%, 3/25/37, CMO |
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NR/CCC |
|
961,371 |
|
1,262 |
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Residential Funding Mortgage Securities I, 5.762%, 7/27/37, CMO, VRN |
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NR/CCC |
|
673,060 |
|
2,180 |
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Salomon Brothers Mortgage Securities VII, Inc., 6.50%, 2/25/29, CMO |
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NR/AAA |
|
1,917,781 |
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Sequoia Mortgage Trust, CMO, FRN, |
|
|
|
|
|
2,747 |
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0.489%, 7/20/36 |
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Ba3/AAA |
|
2,008,859 |
|
3,569 |
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0.509%, 3/20/35 |
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Aa1/AAA |
|
2,159,312 |
|
72 |
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Structured Adjustable Rate Mortgage Loan Trust, 4.381%, 8/25/34, CMO, VRN |
|
A3/AAA |
|
55,250 |
|
1,223 |
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Structured Asset Mortgage Investments, Inc., 0.619%, 10/19/34, CMO, FRN |
|
Aa1/AAA |
|
973,495 |
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Structured Asset Securities Corp., CMO, |
|
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|
|
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3,764 |
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0.785%, 5/25/33, FRN |
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NR/AAA |
|
2,768,422 |
|
1,298 |
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3.905%, 1/25/34, VRN |
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A2/AAA |
|
992,377 |
|
863 |
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TBW Mortgage, 6.00%, 7/25/36, CMO |
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NR/CCC |
|
517,840 |
|
10,826 |
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Thornburg Mortgage Securities Trust, 0.405%, 7/25/36, CMO, FRN |
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Baa1/AAA |
|
10,155,115 |
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Wachovia Bank Commercial Mortgage Trust, CMO, |
|
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|
|
|
664 |
|
0.378%, 9/15/21, FRN (a)(d) |
|
Aaa/AAA |
|
479,809 |
|
3,490 |
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5.740%, 5/15/43, VRN |
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Aaa/NR |
|
3,212,180 |
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Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moodys/S&P) |
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Value* |
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WaMu Mortgage Pass Through Certificates, CMO, |
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|
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$97 |
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0.575%, 10/25/45, FRN |
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Aa2/AAA |
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$55,570 |
|
312 |
|
3.766%, 3/25/33, FRN |
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Aaa/AAA |
|
268,420 |
|
2,542 |
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5.687%, 2/25/37, VRN |
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NR/CCC |
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1,584,789 |
|
2,532 |
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5.831%, 2/25/37, FRN |
|
NR/CCC |
|
1,739,008 |
|
142 |
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Washington Mutual MSC Mortgage Pass Through Certificates, 4.279%, 6/25/33, CMO, FRN |
|
Aaa/AAA |
|
127,610 |
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Wells Fargo Mortgage Backed Securities Trust, CMO, |
|
|
|
|
|
1,862 |
|
0.785%, 7/25/37, FRN |
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B2/NR |
|
1,128,339 |
|
223 |
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5.242%, 4/25/36, VRN |
|
NR/BBB+ |
|
160,052 |
|
551 |
|
5.558%, 7/25/36, FRN |
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NR/CCC |
|
374,776 |
|
348 |
|
5.667%, 10/25/36, FRN |
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B3/NR |
|
227,709 |
|
128 |
|
5.750%, 9/25/36, FRN |
|
NR/CCC |
|
88,034 |
|
3,641 |
|
6.027%, 9/25/36, FRN |
|
B3/NR |
|
2,616,673 |
|
124 |
|
6.077%, 10/25/36, FRN |
|
Caa1/NR |
|
89,674 |
|
|
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Total Mortgage-Backed Securities (cost$131,903,220) |
|
|
|
128,584,635 |
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CORPORATE BONDS & NOTES38.6% |
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Airlines2.1% |
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American Airlines, Inc., |
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|
|
|
|
3,957 |
|
6.817%, 11/23/12 |
|
B1/BB- |
|
3,224,955 |
|
1,474 |
|
8.608%, 10/1/12 |
|
Ba3/BB- |
|
1,179,200 |
|
1,188 |
|
Continental Airlines, Inc., 7.707%, 10/2/22 |
|
Baa2/BBB |
|
962,331 |
|
306 |
|
United Air Lines, Inc., 7.73%, 1/1/12 |
|
Ba3/BBB- |
|
298,333 |
|
|
|
|
|
|
|
5,664,819 |
|
|
|
|
|
|
|
|
|
Banking5.6% |
|
|
|
|
|
||
1,000 |
|
American Express Bank FSB, 0.418%, 5/29/12, FRN |
|
A2/A+ |
|
910,853 |
|
|
|
Barclays Bank PLC, |
|
|
|
|
|
3,000 |
|
6.05%, 12/4/17 (a)(d) |
|
Baa1/A+ |
|
2,809,053 |
|
£900 |
|
14.00%, 6/15/19, FRN (g) |
|
Baa2/BBB+ |
|
1,865,081 |
|
$6,875 |
|
Rabobank Nederland NV, 11.00%, 6/30/19, FRN (a)(d)(g) |
|
Aa2/AA- |
|
8,030,639 |
|
600 |
|
Wachovia Bank N.A., 1.396%, 11/3/14, FRN |
|
Aa3/AA- |
|
521,624 |
|
500 |
|
Wachovia Corp., 0.633%, 4/23/12, FRN |
|
A1/AA- |
|
475,530 |
|
1,000 |
|
Wells Fargo Capital XIII, 7.70%, 3/26/13, FRN (g)(i) |
|
Ba3/A- |
|
870,659 |
|
|
|
|
|
|
|
15,483,439 |
|
|
|
|
|
|
|
|
|
Energy1.8% |
|
|
|
|
|
||
4,500 |
|
NGPL PipeCo LLC, 7.768%, 12/15/37 (a)(d) |
|
Baa3/BBB- |
|
5,056,821 |
|
|
|
|
|
|
|
|
|
Financial Services21.1% |
|
|
|
|
|
||
1,000 |
|
American Express Credit Corp., 0.448%, 6/16/11, FRN (i) |
|
A2/BBB+ |
|
952,682 |
|
|
|
CIT Group, Inc., FRN, |
|
|
|
|
|
2,360 |
|
1.17%, 2/13/12 |
|
Ca/CC |
|
1,263,369 |
|
2,250 |
|
1.306%, 11/3/10 |
|
Ca/BBB+ |
|
1,271,788 |
|
9,000 |
|
Citigroup, Inc., 5.00%, 9/15/14 (i) |
|
Baa1/A- |
|
8,070,750 |
|
6,500 |
|
Ford Motor Credit Co. LLC, 7.25%, 10/25/11 |
|
Caa1/CCC+ |
|
6,106,932 |
|
|
|
General Electric Capital Corp., |
|
|
|
|
|
710 |
|
1.158%, 11/1/12, FRN (i) |
|
Aa2/AA+ |
|
652,496 |
|
4,000 |
|
6.875%, 1/10/39 |
|
Aa2/AA+ |
|
3,949,996 |
|
|
|
General Motors Acceptance Co., Inc. |
|
|
|
|
|
2,000 |
|
6.625%, 5/15/12 |
|
Ca/CCC |
|
1,786,290 |
|
1,850 |
|
6.75%, 12/1/14 |
|
Ca/CCC |
|
1,561,859 |
|
2,000 |
|
7.25%, 3/2/11 |
|
Ca/CCC |
|
1,861,832 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
Financial Services (continued) |
|
|
|
|
|
||
2,000 |
|
Green Valley Ltd., 4.629%, 1/10/11, FRN (a)(b)(d) |
|
NR/BB+ |
|
$2,745,491 |
|
|
|
International Lease Finance Corp. (i), |
|
|
|
|
|
$8,150 |
|
4.75%, 1/13/12 |
|
Baa2/BBB+ |
|
5,819,459 |
|
4,900 |
|
4.95%, 2/1/11 |
|
Baa2/BBB+ |
|
3,798,696 |
|
8,000 |
|
5.45%, 3/24/11 |
|
Baa2/BBB+ |
|
6,293,392 |
|
|
|
Morgan Stanley, FRN, |
|
|
|
|
|
2,500 |
|
0.989%, 10/15/15 (i) |
|
A2/A |
|
2,220,115 |
|
AUD 2,300 |
|
3.537%, 3/1/13 |
|
A2/A |
|
1,712,251 |
|
|
|
SLM Corp., |
|
|
|
|
|
$940 |
|
0.734%, 10/25/11, FRN |
|
Ba1/BBB- |
|
717,914 |
|
220 |
|
1.713%, 6/15/13, FRN |
|
Ba1/BBB- |
|
153,267 |
|
200 |
|
1.713%, 12/15/13, FRN |
|
Ba1/BBB- |
|
125,834 |
|
3,000 |
|
4.75%, 3/17/14 |
|
Ba1/BBB- |
|
2,998,541 |
|
$3,000 |
|
8.45%, 6/15/18 |
|
Ba1/BBB- |
|
2,406,210 |
|
2,500 |
|
UBS Preferred Funding Trust V, 6.243%, 5/15/16, FRN (g)(i) |
|
A1/BBB- |
|
1,526,855 |
|
|
|
|
|
|
|
57,996,019 |
|
|
|
|
|
|
|
|
|
Hotels/Gaming1.8% |
|
|
|
|
|
||
6,254 |
|
Times Square Hotel Trust, 8.528%, 8/1/26 (a)(b)(d) |
|
Baa3/BB |
|
4,944,235 |
|
|
|
|
|
|
|
|
|
Insurance3.0% |
|
|
|
|
|
||
|
|
American International Group, Inc., |
|
|
|
|
|
2,000 |
|
0.62%, 10/18/11, FRN (i) |
|
A3/A- |
|
1,382,398 |
|
2,700 |
|
5.85%, 1/16/18 (i) |
|
A3/A- |
|
1,424,401 |
|
4,000 |
|
8.175%, 5/15/68, (converts to FRN on 5/15/38) (i) |
|
Ba2/BBB |
|
1,050,000 |
|
6,400 |
|
8.25%, 8/15/18 (i) |
|
A3/A- |
|
3,791,629 |
|
£1,150 |
|
8.625%, 5/22/68, (converts to FRN on 5/22/18) (b) |
|
Baa1/BBB |
|
476,632 |
|
|
|
|
|
|
|
8,125,060 |
|
|
|
|
|
|
|
|
|
Software0.6% |
|
|
|
|
|
||
$2,000 |
|
First Data Corp., 9.875%, 9/24/15 |
|
Caa1/B- |
|
1,697,500 |
|
|
|
|
|
|
|
|
|
Telecommunications1.4% |
|
|
|
|
|
||
2,000 |
|
Frontier Communications Corp., 9.00%, 8/15/31 |
|
Ba2/BB |
|
1,850,000 |
|
2,000 |
|
Qwest Communications International, Inc., 7.50%, 2/15/14 |
|
Ba3/B+ |
|
1,965,000 |
|
|
|
|
|
|
|
3,815,000 |
|
|
|
|
|
|
|
|
|
Tobacco1.2% |
|
|
|
|
|
||
3,000 |
|
Reynolds American, Inc., 7.25%, 6/1/13 (i) |
|
Baa3/BBB |
|
3,172,275 |
|
|
|
Total Corporate Bonds & Notes (cost$106,739,617) |
|
|
|
105,955,168 |
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES9.6% |
|
|
|
|
|
||
1,081 |
|
Access Financial Manufactured Housing Contract Trust, 7.65%, 5/15/21 |
|
Caa2/NR |
|
886,495 |
|
870 |
|
American Express Credit Account Master Trust, 0.568%, 3/17/14, FRN (a)(b)(d) |
|
Baa2/BBB+ |
|
766,511 |
|
2,220 |
|
Asset-Backed Funding Certificates, 0.835%, 8/25/33, FRN |
|
Aa2/AA |
|
1,185,008 |
|
1,582 |
|
Bear Stearns Second Lien Trust, 0.505%, 12/25/36, FRN (a)(d) |
|
B3/B |
|
675,015 |
|
|
|
Conseco Finance Securitizations Corp., |
|
|
|
|
|
2,054 |
|
7.27%, 9/1/31 |
|
Caa1/B- |
|
1,596,812 |
|
747 |
|
7.96%, 2/1/32 |
|
Ca/CCC- |
|
490,456 |
|
364 |
|
7.97%, 5/1/32 |
|
Ca/CCC- |
|
220,931 |
|
4,226 |
|
8.06%, 5/1/31 |
|
Ca/NR |
|
2,468,650 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
|
|
Conseco Financial Corp., |
|
|
|
|
|
$368 |
|
6.86%, 3/15/28 |
|
A2/NR |
|
$346,609 |
|
1,262 |
|
7.24%, 6/15/28, VRN |
|
Baa1/NR |
|
1,136,001 |
|
|
|
Countrywide Asset-Backed Certificates, |
|
|
|
|
|
1,622 |
|
0.625%, 12/25/36, FRN (a)(d) |
|
NR/A |
|
903,268 |
|
286 |
|
4.693%, 10/25/35, VRN |
|
Aa1/AAA |
|
195,851 |
|
|
|
Green Tree Financial Corp., |
|
|
|
|
|
125 |
|
6.11%, 9/1/23 |
|
NR/B- |
|
123,755 |
|
408 |
|
6.22%, 3/1/30 |
|
NR/BBB |
|
330,180 |
|
517 |
|
6.33%, 11/1/29, VRN |
|
Baa2/NR |
|
461,421 |
|
315 |
|
6.53%, 2/1/31, VRN |
|
NR/B- |
|
227,817 |
|
461 |
|
7.05%, 1/15/27 |
|
B3/B |
|
275,243 |
|
1,726 |
|
7.14%, 3/15/28 |
|
Baa1/NR |
|
1,472,878 |
|
1,607 |
|
7.40%, 6/15/27 |
|
A2/AA |
|
1,462,301 |
|
256 |
|
7.65%, 10/15/27, VRN |
|
Aa1/AAA |
|
248,402 |
|
1,000 |
|
Greenpoint Manufactured Housing, 8.30%, 10/15/26, VRN |
|
Ca/NR |
|
679,347 |
|
622 |
|
GSAA Trust, 0.555%, 6/25/35, FRN |
|
Aa3/AAA |
|
354,731 |
|
|
|
JPMorgan Mortgage Acquisition Corp., FRN, |
|
|
|
|
|
452 |
|
0.335%, 7/25/36 |
|
Aaa/AAA |
|
430,732 |
|
437 |
|
0.335%, 10/25/36 |
|
A2/AAA |
|
350,641 |
|
2,987 |
|
Loomis Sayles Ltd., 0.734%, 10/26/20, CLO, FRN (a)(d)(f) |
|
Aa1/AAA |
|
2,478,075 |
|
600 |
|
Morgan Stanley ABS Capital I, 0.465%, 1/25/36, FRN |
|
Baa2/AAA |
|
499,735 |
|
1,115 |
|
Northwest Airlines, Inc., 1.535%, 5/20/14, FRN, MBIA |
|
Baa1/BBB+ |
|
836,043 |
|
|
|
Oakwood Mortgage Investors, Inc., |
|
|
|
|
|
51 |
|
0.518%, 5/15/13, FRN |
|
Caa1/BB- |
|
28,482 |
|
2,599 |
|
8.00%, 10/15/26 |
|
NR/AAA |
|
2,275,118 |
|
1,886 |
|
Popular ABS Mortgage Pass-Through Trust, 0.565%, 7/25/35, FRN |
|
Aaa/AAA |
|
975,656 |
|
1,450 |
|
Quest Trust, 1.185%, 6/25/34, FRN (a)(d) |
|
Aa2/AA |
|
1,286,103 |
|
690 |
|
Specialty Underwriting & Residential Finance, 0.535%, 9/25/36, FRN |
|
Baa1/AAA |
|
562,399 |
|
|
|
Total Asset-Backed Securities (cost$28,128,496) |
|
|
|
26,230,666 |
|
Shares |
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCK4.4% |
|
|
|
|
|
||
Banking4.4% |
|
|
|
|
|
||
14,500 |
|
Wells Fargo & Co., 7.50%, 12/31/49, Ser. L (cost$9,203,225) |
|
Ba3/A- |
|
12,179,420 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
(000) |
|
|
|
|
|
|
|
U.S. GOVERNMENT AGENCY SECURITIES2.2% |
|
|
|
|
|
||
Fannie Mae0.3% |
|
|
|
|
|
||
$904 |
|
0.966%, 8/5/10, FRN |
|
Aaa/AAA |
|
905,089 |
|
Freddie Mac (h)1.9% |
|
|
|
|
|
||
1,028 |
|
0.343%, 2/1/11, FRN |
|
Aaa/AAA |
|
1,026,323 |
|
2,063 |
|
0.703%, 3/9/11, FRN |
|
Aaa/AAA |
|
2,071,702 |
|
560 |
|
0.896%, 5/5/11, FRN |
|
Aaa/AAA |
|
560,425 |
|
883 |
|
0.926%, 5/4/11, FRN |
|
Aaa/AAA |
|
885,521 |
|
484 |
|
0.937%, 8/5/11, FRN |
|
Aaa/AAA |
|
484,543 |
|
|
|
|
|
|
|
5,028,514 |
|
|
|
Total U.S. Government Agency Securities (cost$5,915,809) |
|
|
|
5,933,603 |
|
|
|
|
|
|
|
|
|
SENIOR LOANS (a)(c)1.0% |
|
|
|
|
|
||
Financial Services0.6% |
|
|
|
|
|
||
|
|
First Data Corp., |
|
|
|
|
|
1,965 |
|
3.035%, 9/24/14, Term B |
|
|
|
1,658,951 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moodys/S&P) |
|
Value* |
|
Printing/Publishing0.1% |
|
|
|
|
|
||
$515 |
|
Tribune Co., 5.00%, 6/4/24, Term X (b)(e) |
|
|
|
$210,632 |
|
|
|
|
|
|
|
|
|
Telecommunications0.3% |
|
|
|
|
|
||
1,917 |
|
Verizon IDEARC, Inc., 4.25%, 11/17/14, Term B (e) |
|
|
|
885,061 |
|
|
|
Total Senior Loans (cost$4,231,678) |
|
|
|
2,754,644 |
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS0.8% |
|
|
|
|
|
||
West Virginia0.8% |
|
|
|
|
|
||
3,080 |
|
Tobacco Settlement Finance Auth. Rev., 7.467%,
6/1/47, Ser. A |
|
Baa3/BBB |
|
2,088,148 |
|
Shares |
|
|
|
|
|
|
|
PREFERRED STOCK0.2% |
|
|
|
|
|
||
Financial Services0.2% |
|
|
|
|
|
||
|
|
SLM Corp., CPI Linked, FRN, |
|
|
|
|
|
32,400 |
|
1.96%, 3/15/17 |
|
Ba1/BBB- |
|
396,414 |
|
8,500 |
|
2.29%, 1/16/18 |
|
Ba1/NR |
|
103,891 |
|
|
|
Total Preferred Stock (cost$460,125) |
|
|
|
500,305 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
(000) |
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS18.9% |
|
|
|
|
|
||
Corporate Notes10.4% |
|
|
|
|
|
||
Financial Services10.4% |
|
|
|
|
|
||
$4,908 |
|
American General Finance Corp., 4.875%, 5/15/10 (i) |
|
Baa2/BB+ |
|
4,245,822 |
|
2,000 |
|
CIT Group, Inc., 0.759%, 3/12/10, FRN |
|
Ca/CC |
|
1,172,500 |
|
4,600 |
|
Ford Motor Credit Co. LLC, 5.70%, 1/15/10 |
|
Caa1/CCC+ |
|
4,530,048 |
|
|
|
GMAC, Inc., |
|
|
|
|
|
5,000 |
|
7.75%, 1/19/10 |
|
Ca/CCC |
|
4,942,750 |
|
7,500 |
|
7.75%, 1/19/10 (a)(d) |
|
Ca/CCC |
|
7,462,500 |
|
RUB 165,000 |
|
GPB Eurobond Finance PLC for Gazprombank, 7.25%, 2/22/10 |
|
Baa2/BB+ |
|
4,950,868 |
|
$1,000 |
|
International Lease Finance Corp., 4.375%, 11/1/09 (i) |
|
Baa2/BBB+ |
|
973,908 |
|
332 |
|
SLM Corp., 0.463%, 3/15/10, FRN |
|
Ba1/BBB- |
|
304,766 |
|
|
|
Total Corporate Notes (cost$29,855,449) |
|
|
|
28,583,162 |
|
|
|
|
|
|
|
|
|
U.S. Treasury Bills (h)1.0% |
|
|
|
|
|
||
2,603 |
|
0.13%-0.25%,8/20/09-1/7/10 (cost$2,602,267) |
|
|
|
2,601,698 |
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
(000) |
|
|
|
|
|
Value* |
|
Repurchase Agreements7.5% |
|
|
|
|
|
||
$20,100 |
|
BNP Paribas, dated 7/31/09, 0.20%, due 8/3/09, proceeds $20,100,335; collateralized by Federal Home Loan Bank, 0.77%, due 12/30/09, valued at $20,505,234 including accrued interest |
|
|
|
$20,100,000 |
|
570 |
|
State Street Bank & Trust Co., dated 7/31/09, 0.01%, due 8/3/09, proceeds $570,000; collateralized by U.S. Treasury Bills, 0.09%, due 9/10/09, valued at $584,942 |
|
|
|
570,000 |
|
|
|
Total Repurchase Agreements (cost$20,670,000) |
|
|
|
20,670,000 |
|
|
|
Total Short-Term Investments (cost$53,127,716) |
|
|
|
51,854,860 |
|
|
|
|
|
|
|
|
|
|
|
Total Investments (cost$342,662,027)122.6% |
|
|
|
336,081,449 |
|
|
|
Liabilities in excess of other assets(22.6%) |
|
|
|
(61,940,343 |
) |
|
|
Net Assets100% |
|
|
|
$274,141,106 |
|
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 Funds 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. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the Net Asset Value (NAV) of the Funds shares may be affected by changes in the value 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 and the NAV may change on days when an investor is not able to purchase or sell shares.
The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and these differences could be material. The Funds NAV is normally determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.
(a) Private PlacementRestricted as to resale and may not have a readily available market. Securities with an aggregate value of $45,332,023, representing 16.5% of net assets.
(b) Illiquid security.
(c) These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the LIBOR or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on July 31, 2009.
(d) 144A SecurityExempt 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-ValuedSecurities with an aggregate value of $2,478,075, representing 0.9% of net assets.
(g) Perpetual maturity security. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter.
(h) All or partial amount segregated as collateral for swaps.
(i) All or partial amount segregated as collateral for reverse repurchase agreements.
Glossary:
£British Pound Sterling
Euro
AUDAustralian Dollar
CLOCollateralized Loan Obligation
CMOCollateralized Mortgage Obligation
CPIConsumer Price Index
FRNFloating Rate Note. The interest rate disclosed reflects the rate in effect on July 31, 2009.
LIBORLondon Inter-Bank Offered Rate
MBIAInsured by Municipal Bond Investors Assurance
NRNot Rated
RUB Russian Ruble
VRNVariable 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, 2009.
Other Investments:
(A) Credit Default Sell Protection swap contracts outstanding at July 31, 2009 (1):
|
|
Notional Amount |
|
|
|
|
|
|
|
|
|
Upfront |
|
Unrealized |
|
Swap Counterparty/ |
|
Payable on Default |
|
Credit |
|
Termination |
|
Payments |
|
Market |
|
Premiums |
|
Appreciation |
|
Referenced Debt Issuer |
|
(000) (3) |
|
Spread (2) |
|
Date |
|
Received by Fund |
|
Value (4) |
|
(Received) |
|
(Depreciation) |
|
Barclays Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gazprom |
|
$1,250 |
|
3.70 |
% |
12/20/17 |
|
1.90 |
% |
$(135,738 |
) |
|
|
$(135,738 |
) |
VTB Capital |
|
1,250 |
|
4.95 |
% |
12/20/17 |
|
2.34 |
% |
(188,040 |
) |
|
|
(188,040 |
) |
Citigroup: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Majapahit Holding |
|
3,000 |
|
|
% |
12/20/17 |
|
2.65 |
% |
116,891 |
|
|
|
116,891 |
|
Republic of Indonesia |
|
3,000 |
|
2.07 |
% |
12/20/17 |
|
2.14 |
% |
21,659 |
|
|
|
21,659 |
|
SLM |
|
2,500 |
|
11.66 |
% |
12/20/13 |
|
5.00 |
% |
(445,783 |
) |
$(385,000 |
) |
(60,783 |
) |
Credit Suisse First Boston: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Equity Index |
|
462 |
|
18.28 |
% |
7/25/45 |
|
0.18 |
% |
(109,700 |
) |
(20,800 |
) |
(88,900 |
) |
Home Equity Index |
|
3,800 |
|
137.78 |
% |
7/25/45 |
|
0.54 |
% |
(3,498,565 |
) |
(1,653,000 |
) |
(1,845,565 |
) |
TNK |
|
1,500 |
|
5.01 |
% |
12/20/17 |
|
3.15 |
% |
(150,917 |
) |
|
|
(150,917 |
) |
Deutsche Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CIT Group |
|
7,000 |
|
53.81 |
% |
12/20/13 |
|
5.00 |
% |
(3,259,873 |
) |
(1,780,000 |
) |
(1,479,873 |
) |
General Electric |
|
3,400 |
|
2.65 |
% |
12/20/13 |
|
4.70 |
% |
288,851 |
|
|
|
288,851 |
|
General Electric |
|
7,000 |
|
2.65 |
% |
12/20/13 |
|
4.82 |
% |
628,239 |
|
|
|
628,239 |
|
Home Equity Index |
|
925 |
|
18.28 |
% |
7/25/45 |
|
0.18 |
% |
(219,392 |
) |
(136,354 |
) |
(83,038 |
) |
Home Equity Index |
|
285 |
|
137.78 |
% |
7/25/45 |
|
0.54 |
% |
(262,375 |
) |
(118,275 |
) |
(144,100 |
) |
SLM |
|
1,400 |
|
11.66 |
% |
12/20/13 |
|
5.00 |
% |
(249,639 |
) |
(196,000 |
) |
(53,639 |
) |
Goldman Sachs: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CIT Group |
|
2,000 |
|
53.81 |
% |
12/20/13 |
|
5.00 |
% |
(931,392 |
) |
(480,000 |
) |
(451,392 |
) |
JPMorgan Chase & Co.: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cemex |
|
2,000 |
|
7.78 |
% |
12/20/17 |
|
1.64 |
% |
(465,863 |
) |
|
|
(465,863 |
) |
Merrill Lynch & Co.: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Express |
|
7,000 |
|
1.61 |
% |
12/20/13 |
|
4.10 |
% |
730,633 |
|
|
|
730,633 |
|
Dow Jones CDX HY-9 Index 35-100% |
|
9,627 |
|
2.32 |
% |
12/20/12 |
|
1.44 |
% |
(246,148 |
) |
|
|
(246,148 |
) |
SLM |
|
7,000 |
|
11.66 |
% |
12/20/13 |
|
5.00 |
% |
(1,248,192 |
) |
(857,500 |
) |
(390,692 |
) |
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Equity Index |
|
2,311 |
|
18.28 |
% |
7/25/45 |
|
0.18 |
% |
(548,486 |
) |
(171,424 |
) |
(377,062 |
) |
|
|
|
|
|
|
|
|
|
|
$(10,173,830 |
) |
$(5,798,353 |
) |
$(4,375,477 |
) |
Issuer in default.
(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 compromising 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 compromising 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 entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(3) The maximum potential amount the Fund could be required to make 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, 2009 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 entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(B) Forward foreign currency contracts outstanding at July 31, 2009:
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
U.S.$ Value |
|
U.S.$ Value |
|
Appreciation |
|
|
|
Counterparty |
|
Origination Date |
|
July 31, 2009 |
|
(Depreciation) |
|
Purchased: |
|
|
|
|
|
|
|
|
|
68,899 South African Rand settling 11/18/09 |
|
Barclays Bank |
|
$7,062 |
|
$8,612 |
|
$1,550 |
|
Sold: |
|
|
|
|
|
|
|
|
|
1,966,000 Australian Dollar settling 8/25/09 |
|
JPMorgan Chase & Co. |
|
1,590,762 |
|
1,632,061 |
|
(41,299 |
) |
1,295,000 British Pound settling 8/6/09 |
|
Morgan Stanley |
|
2,139,340 |
|
2,146,904 |
|
(7,564 |
) |
3,702,000 Euro settling 9/4/09 |
|
Goldman Sachs |
|
5,264,307 |
|
5,248,807 |
|
15,500 |
|
223,567,350 Russian Ruble settling 11/10/09 |
|
JPMorgan Chase & Co. |
|
6,894,907 |
|
6,909,237 |
|
(14,330 |
) |
|
|
|
|
|
|
|
|
$(46,143 |
) |
(C) The weighted average daily balance of reverse repurchase agreements outstanding during the nine months ended July 31, 2009 was $58,701,512 at a weighted average interest rate of 1.77%. The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated as collateral for reverse repurchase agreements) for open reverse repurchase agreements at July 31, 2009 was $67,949,652. Open reverse repurchase agreements at July 31, 2009 were:
Counterparty |
|
Rate |
|
Trade Date |
|
Maturity Date |
|
Principal & Interest |
|
Principal |
|
Barclays Bank |
|
0.75 |
% |
7/6/09 |
|
8/6/09 |
|
$3,515,049 |
|
$3,513,000 |
|
|
|
0.75 |
% |
7/17/09 |
|
8/17/09 |
|
12,542,441 |
|
12,538,000 |
|
|
|
0.80 |
% |
7/13/09 |
|
8/13/09 |
|
5,855,731 |
|
5,853,000 |
|
|
|
1.50 |
% |
7/6/09 |
|
8/6/09 |
|
1,571,832 |
|
1,570,000 |
|
Credit Suisse First Boston |
|
0.75 |
% |
7/6/09 |
|
8/6/09 |
|
7,906,610 |
|
7,902,000 |
|
|
|
0.75 |
% |
7/13/09 |
|
8/10/09 |
|
5,545,425 |
|
5,543,000 |
|
|
|
0.75 |
% |
7/17/09 |
|
8/3/09 |
|
7,024,487 |
|
7,022,000 |
|
|
|
0.75 |
% |
7/17/09 |
|
8/17/09 |
|
4,651,647 |
|
4,650,000 |
|
|
|
0.75 |
% |
7/28/09 |
|
8/28/09 |
|
1,869,233 |
|
1,869,000 |
|
Greenwich Capital Markets |
|
1.302 |
% |
7/6/09 |
|
8/4/09 |
|
17,496,700 |
|
17,479,000 |
|
|
|
|
|
|
|
|
|
|
|
$67,939,000 |
|
The Fund received $1,048,000 par value in U.S. Government Agency Securities and $330,000 in cash as collateral for reverse repurchase agreements.
Fair Value MeasurementsThe Fund has adopted the Financial Accounting Standards Board (FASB) Statement of Financial Accounting Standards No. 157, Fair Value Measurements (FAS 157). FAS 157 clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of the fair value measurements. Under FAS 157, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the exit price) in an orderly transaction between market participants at the measurement date. The three levels the fair value hierarchy under FAS 157 are described below:
· Level 1 quoted prices in active markets for identical investments that the Fund has the ability to access
· Level 2 valuations based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.), or quotes from inactive exchanges
· Level 3 valuations based on significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
The Fund has adopted FASB Staff Position No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability have Significantly Decreased and Identifying Transactions that are not Orderly (FAS-157-4). FAS 157-4 provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement. FAS 157-4 emphasizes that even if there has been a significant decrease in the volume and and level of activity for an asset or liability and regardless of the valuation techniques used, the objective of a fair value measurement remains the same.
An investment assets or liabilitys level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement.
The valuation techniques used by the Fund to measure fair value during the nine months ended July 31, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs. The Fund utilized option adjusted spread pricing on Level 3 investments.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
A summary of the inputs used at July 31, 2009, in valuing the Funds assets and liabilities is listed below by investment type. For more detail on the Total Investment in Securities, please refer to the Funds Schedule of Investments:
|
|
|
|
Level 2 - |
|
Level 3 - |
|
|
|
|
|
|
|
Other Significant |
|
Significant |
|
|
|
|
|
Level 1 - |
|
Observable |
|
Unobservable |
|
Value at |
|
|
|
Quoted Prices |
|
Inputs |
|
Inputs |
|
7/31/2009 |
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
Mortgaged-Backed Securities |
|
|
|
$128,584,635 |
|
|
|
$128,584,635 |
|
Corporate Bonds & Notes |
|
|
|
103,515,304 |
|
$2,439,864 |
|
105,955,168 |
|
Asset-Backed Securities |
|
|
|
22,916,548 |
|
3,314,118 |
|
26,230,666 |
|
Convertible Preferred Stock |
|
$12,179,420 |
|
|
|
|
|
12,179,420 |
|
U.S. Government Agency Securities |
|
|
|
5,933,603 |
|
|
|
5,933,603 |
|
Senior Loans |
|
|
|
2,754,644 |
|
|
|
2,754,644 |
|
Municipal Bonds |
|
|
|
2,088,148 |
|
|
|
2,088,148 |
|
Preferred Stock |
|
500,305 |
|
|
|
|
|
500,305 |
|
Short-Term Investments |
|
|
|
51,854,860 |
|
|
|
51,854,860 |
|
Total Investments in Securities Assets |
|
$12,679,725 |
|
$317,647,742 |
|
$5,753,982 |
|
$336,081,449 |
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities - Liabilities |
|
|
|
|
|
|
|
|
|
Other Financial Instruments* |
|
|
|
$(4,387,594 |
) |
$(34,026 |
) |
$(4,421,620 |
) |
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$12,679,725 |
|
$313,260,148 |
|
$5,719,956 |
|
$331,659,829 |
|
A roll forward of fair value measurements using significant unobservable inputs (Level 3) as of July 31, 2009, were as follows:
|
|
Beginning |
|
Net |
|
Accrued |
|
|
|
Total Change |
|
Transfers in |
|
|
|
|
|
Balance |
|
Purchases(Sales) |
|
Discounts |
|
Total Realized |
|
in Unrealized |
|
and/or out |
|
Ending Balance |
|
|
|
10/31/2008 |
|
and Settlements |
|
(Premiums) |
|
Gain |
|
Gain/Loss |
|
of Level 3 |
|
7/31/2009 |
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes |
|
|
|
$1,545,744 |
|
$39,511 |
|
$7,098 |
|
$125,397 |
|
$722,114 |
|
$2,439,864 |
|
Asset-Backed Securities |
|
|
|
3,168,652 |
|
18,780 |
|
2,887 |
|
123,799 |
|
|
|
3,314,118 |
|
U.S. Government Agency Securities |
|
$4,868,822 |
|
(4,881,723 |
) |
(41 |
) |
984 |
|
11,958 |
|
|
|
|
|
Total Investments in Securities Assets |
|
$4,868,822 |
|
$(167,327 |
) |
$58,250 |
|
$10,969 |
|
$261,154 |
|
$722,114 |
|
$5,753,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities - Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments* |
|
$(3,405,521 |
) |
$2,420,438 |
|
|
|
|
|
$951,057 |
|
|
|
$(34,026 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$1,463,301 |
|
$2,253,111 |
|
$58,250 |
|
$10,969 |
|
$1,212,211 |
|
$722,114 |
|
$5,719,956 |
|
*Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.
The net unrealized change in appreciation/depreciation of investments and other financial instruments, which the Fund held at July 31, 2009 was $249,196 and $951,057, respectively.
Disclosures about Derivative Instruments and Hedging Activities-FASB Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (FAS 161) distinguishes between derivatives which are accounted for as hedges and those that do not qualify for such accounting. The Fund reflects derivatives at fair value and such do not qualify for FAS 161 hedge accounting treatment. The derivative instruments outstanding as of July 31, 2009 as disclosed in Other Investments serve as indicators of the volume of derivative activity for the Fund.
The following is a summary of the fair valuations of the Funds derivative instruments categorized by risk exposure as of July 31, 2009. Derivative instruments are valued at the unrealized appreciation (depreciation) of the instrument.
|
|
Derivatives Fair Value |
|
Interest rate contracts |
|
|
|
Foreign exchange contracts |
|
$(46,143 |
) |
Credit contracts |
|
(4,375,477 |
) |
Equity contracts |
|
|
|
Other contracts |
|
|
|
Total |
|
$(4,421,620 |
) |
Item 2. Controls and Procedures
(a) The registrants President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a -3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrants internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a -3(d))) that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
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 Income Opportunity Fund |
|
|
By |
/s/ Brian S. Shlissel |
|
President & Chief Executive Officer |
|
|
Date: September 21, 2009 |
|
|
|
|
|
By |
/s/ Lawrence G. Altadonna |
|
Treasurer, Principal Financial & Accounting Officer |
|
|
Date: September 21, 2009 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By |
/s/ Brian S. Shlissel |
|
President & Chief Executive Officer |
|
|
Date: September 21, 2009 |
|
|
|
|
|
By |
/s/ Lawrence G. Altadonna |
|
Treasurer, Principal Financial & Accounting Officer |
|
|
Date: September 21, 2009 |
|