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UNITED
STATES |
OMB APPROVAL |
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OMB Number:
3235-0578 |
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FORM N-Q |
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QUARTERLY
SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-22121 |
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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, New York |
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10105 |
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(Address of principal executive offices) |
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(Zip code) |
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Lawrence G. Altadonna — 1345 Avenue of the Americas New York, New York 10105 |
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(Name and address of agent for service) |
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Registrant’s telephone number, including area code: |
212-739-3371 |
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Date of fiscal year end: |
October 31, 2010 |
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Date of reporting period: |
July 31, 2010 |
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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, 2010 (unaudited)
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Principal |
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Amount |
|
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Credit Rating |
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(000s) |
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(Moody’s/S&P) |
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Value* |
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MORTGAGE-BACKED SECURITIES—89.6% |
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$450 |
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Adjustable Rate Mortgage Trust, 3.163%, 1/25/36, CMO, VRN |
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Caa3/CCC |
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$309,005 |
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1,392 |
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American Home Mortgage Assets, 1.322%, 11/25/46, CMO, FRN |
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Caa1/CCC |
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645,420 |
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£418 |
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Auburn Securities PLC, 0.969%, 10/1/41, CMO, FRN |
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Aaa/AAA |
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566,341 |
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$746 |
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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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375,250 |
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Banc of America Commercial Mortgage, Inc., CMO, |
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|
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2,600 |
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5.658%, 6/10/49, VRN (j) |
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Aa3/A- |
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2,580,163 |
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3,000 |
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5.889%, 7/10/44, VRN (j) |
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NR/A+ |
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3,154,818 |
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|
877 |
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5.918%, 4/11/36 (a)(d) |
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NR/AA- |
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701,383 |
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Banc of America Funding Corp., CMO, |
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2,704 |
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3.210%, 12/20/34, VRN |
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NR/A- |
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1,859,778 |
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530 |
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3.263%, 12/20/36, VRN |
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Ba3/AAA |
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479,950 |
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|
470 |
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3.464%, 12/20/34, VRN |
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NR/BB+ |
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288,174 |
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3,839 |
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5.502%, 3/20/36, FRN |
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Caa2/B- |
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2,892,701 |
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2,396 |
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5.929%, 10/20/46, FRN |
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NR/CCC |
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1,587,937 |
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5,000 |
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Banc of America Large Loan, Inc., |
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1.091%, 8/15/29, CMO, FRN (a)(d)(j) |
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Aaa/AA |
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4,039,787 |
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Banc of America Mortgage Securities, Inc., CMO, |
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|
330 |
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2.869%, 6/25/35, FRN |
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B2/NR |
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306,472 |
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1,356 |
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2.944%, 5/25/35, FRN |
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Caa1/NR |
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1,172,443 |
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|
604 |
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3.709%, 9/25/34, FRN |
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A2/NR |
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555,632 |
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441 |
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4.264%, 10/20/46, FRN |
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NR/CCC |
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244,355 |
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3,394 |
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5.060%, 6/25/35, FRN |
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B3/NR |
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3,029,051 |
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4,659 |
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5.50%, 4/25/34 |
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NR/AAA |
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4,172,822 |
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1,577 |
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5.75%, 8/25/34 (j) |
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NR/AAA |
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1,314,947 |
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€2,031 |
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Bancaja Fondo de Titulizacion de Activos, |
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0.812%, 5/22/50, CMO, FRN |
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Aa3/AAA |
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2,075,348 |
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Bear Stearns Adjustable Rate Mortgage Trust, CMO, |
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$440 |
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3.092%, 10/25/36, VRN |
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NR/CCC |
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282,136 |
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1,075 |
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3.222%, 1/25/35, FRN |
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Aa2/AA+ |
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917,398 |
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252 |
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3.245%, 9/25/34, VRN |
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Baa2/AA |
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208,221 |
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5,000 |
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3.577%, 10/25/35, FRN |
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NR/BB |
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4,105,678 |
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2,033 |
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4.774%, 5/25/34, FRN (j) |
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A2/A+ |
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1,960,403 |
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931 |
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5.295%, 3/25/35, VRN |
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Caa1/BB- |
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770,660 |
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415 |
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5.437%, 9/25/34, VRN |
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A2/AA- |
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418,160 |
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1,112 |
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5.682%, 8/25/47, VRN |
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NR/CCC |
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797,581 |
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377 |
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5.926%, 6/25/47, VRN |
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NR/CCC |
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295,400 |
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Bear Stearns Alt-A Trust, CMO, |
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4,220 |
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0.489%, 6/25/46, FRN |
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Caa3/CC |
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1,862,502 |
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2,381 |
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0.679%, 1/25/35, FRN (j) |
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Aa2/AAA |
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1,745,606 |
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1,401 |
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0.929%, 6/25/34, FRN (j) |
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A3/AAA |
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1,046,622 |
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212 |
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2.775%, 4/25/35, VRN |
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Ca/CCC |
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122,610 |
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1,105 |
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3.019%, 5/25/35, VRN |
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Caa2/B- |
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571,304 |
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331 |
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3.433%, 9/25/34, FRN |
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A1/AAA |
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237,313 |
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1,401 |
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3.539%, 9/25/34, VRN |
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A2/AAA |
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873,497 |
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7,814 |
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5.450%, 8/25/36, VRN (j) |
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Caa3/D |
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3,801,167 |
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703 |
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5.460%, 7/25/35, FRN |
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Caa3/CCC |
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495,325 |
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1,513 |
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5.568%, 11/25/36, VRN |
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Caa2/CCC |
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896,346 |
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140 |
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5.610%, 11/25/35, VRN |
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B1/CCC |
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104,600 |
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|
678 |
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5.625%, 5/25/36, VRN |
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Caa2/CC |
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337,050 |
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1,329 |
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6.226%, 8/25/36, VRN |
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Caa2/CCC |
|
858,019 |
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Principal |
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Amount |
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Credit Rating |
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(000s) |
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(Moody’s/S&P) |
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Value* |
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Bear Stearns Commercial Mortgage Securities, CMO, |
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$2,349 |
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0.45%, 3/15/19, FRN (a)(d)(j) |
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Aaa/AA |
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$2,199,081 |
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2,500 |
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5.624%, 3/13/40, VRN (a)(d) |
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NR/BBB |
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2,062,512 |
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1,000 |
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5.694%, 6/11/50, VRN (j) |
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NR/A+ |
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1,042,056 |
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4,200 |
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5.717%, 6/11/40, VRN (j) |
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Aaa/NR |
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4,397,856 |
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1,519 |
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7.00%, 5/20/30, VRN (j) |
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Aaa/AAA |
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1,708,550 |
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£738 |
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Bluestone Securities PLC, 0.950%, 6/9/43, CMO, FRN |
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NR/AAA |
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966,569 |
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$5,182 |
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CBA Commercial Small Balance Commercial Mortgage, |
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5.54%, 1/25/39, CMO (a)(d) |
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Ca/BB- |
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2,458,276 |
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Chase Mortgage Finance Corp., CMO, |
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2,000 |
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5.50%, 11/25/21 |
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Caa1/CCC |
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1,847,980 |
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|
2,600 |
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6.00%, 3/25/37 |
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Caa3/CCC |
|
2,192,906 |
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|
1,225 |
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Citigroup Mortgage Loan Trust, Inc., 3.626%, 3/25/37, CMO, VRN |
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NR/CCC |
|
769,791 |
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|
5,500 |
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Citigroup/Deutsche Bank Commercial Mortgage Trust, |
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5.322%, 12/11/49, CMO (j) |
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Aaa/A- |
|
5,500,314 |
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|
2,030 |
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Commercial Mortgage Pass Through Certificates, |
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|
|
|
|
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|
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5.306%, 12/10/46, CMO (j) |
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Aaa/NR |
|
2,070,237 |
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|
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Countrywide Alternative Loan Trust, CMO, |
|
|
|
|
|
|
1,870 |
|
0.533%, 12/20/46, FRN |
|
Caa1/CCC |
|
941,600 |
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|
2,058 |
|
0.579%, 6/25/37, FRN |
|
Caa2/NR |
|
857,746 |
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|
4,590 |
|
0.677%, 11/20/35, FRN |
|
Caa1/CCC |
|
2,591,250 |
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|
4,657 |
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0.679%, 5/25/36, FRN |
|
Caa3/CCC |
|
2,444,985 |
|
|
378 |
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5.50%, 10/25/35 |
|
Caa2/CCC |
|
318,935 |
|
|
763 |
|
6.00%, 11/25/35 |
|
Caa3/CCC |
|
598,777 |
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|
850 |
|
6.00%, 4/25/36 |
|
Caa3/CCC |
|
609,555 |
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|
2,059 |
|
6.00%, 4/25/37 |
|
NR/CC |
|
1,346,295 |
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|
3,500 |
|
6.00%, 5/25/37 |
|
Caa2/CC |
|
2,260,634 |
|
|
943 |
|
6.25%, 8/25/37 |
|
Caa3/CC |
|
617,850 |
|
|
2,453 |
|
6.50%, 7/25/35 |
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Ca/CCC |
|
1,452,462 |
|
|
1,369 |
|
6.50%, 6/25/36 |
|
Ca/NR |
|
761,039 |
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|
|
|
Countrywide Home Loan Mortgage Pass Through Trust, CMO, |
|
|
|
|
|
|
1,851 |
|
0.649%, 3/25/35, FRN (j) |
|
A1/AAA |
|
1,112,376 |
|
|
116 |
|
0.749%, 11/25/34, FRN (a)(d) |
|
Ba1/AAA |
|
94,768 |
|
|
767 |
|
2.803%, 6/20/35, VRN |
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Caa3/B- |
|
548,621 |
|
|
193 |
|
2.992%, 8/25/34, VRN |
|
Ba1/B+ |
|
137,488 |
|
|
302 |
|
3.03%, 8/20/35, VRN |
|
Caa3/CCC |
|
219,070 |
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|
2,524 |
|
3.731%, 3/25/37, VRN |
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Ca/CC |
|
1,279,654 |
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|
72 |
|
4.779%, 10/20/35, VRN |
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Caa3/CCC |
|
51,666 |
|
|
4,009 |
|
5.084%, 11/25/35, FRN |
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NR/CCC |
|
2,982,308 |
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|
784 |
|
5.50%, 8/25/35 |
|
NR/CCC |
|
665,957 |
|
|
2,371 |
|
5.803%, 9/25/47, VRN |
|
NR/CCC |
|
1,791,729 |
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|
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Credit Suisse First Boston Mortgage Securities Corp., CMO, |
|
|
|
|
|
|
863 |
|
1.479%, 3/25/34, FRN |
|
Aa2/AA+ |
|
726,720 |
|
|
3,218 |
|
7.50%, 5/25/32 (j) |
|
Aaa/AAA |
|
3,337,124 |
|
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Credit Suisse Mortgage Capital Certificates, CMO, |
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|
|
|
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|
2,200 |
|
0.511%, 10/15/21, FRN (a)(d)(j) |
|
Aa1/AAA |
|
1,875,407 |
|
|
909 |
|
5.896%, 4/25/36 |
|
Caa1/CCC |
|
646,919 |
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|
2,000 |
|
6.215%, 2/15/41, VRN (j) |
|
NR/AA |
|
2,020,984 |
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|
786 |
|
6.50%, 5/25/36 |
|
Caa2/D |
|
298,406 |
|
|
1,013 |
|
6.50%, 7/26/36 |
|
NR/D |
|
539,040 |
|
|
€5,708 |
|
DECO Series, 1.045%, 10/27/20, CMO, FRN |
|
Aaa/AAA |
|
6,065,719 |
|
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Deutsche ALT-A Securities, Inc. Alternate Loan Trust, CMO, |
|
|
|
|
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|
$1,394 |
|
0.479%, 2/25/47, FRN |
|
Caa1/CCC |
|
730,979 |
|
|
431 |
|
6.25%, 7/25/36, VRN |
|
Caa1/CC |
|
312,956 |
|
|
Principal |
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|
|
|
|
|
|
|
Amount |
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|
|
Credit Rating |
|
|
|
|
(000s) |
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|
|
(Moody’s/S&P) |
|
Value* |
|
|
$2,298 |
|
Deutsche Mortgage Securities, Inc., 5.50%, 9/25/33, CMO (j) |
|
Aaa/AAA |
|
$2,396,301 |
|
|
1,944 |
|
Downey Savings & Loan Assoc. Mortgage Loan Trust, |
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|
|
|
|
|
|
|
0.521%, 4/19/48, CMO, FRN |
|
B3/CCC |
|
663,555 |
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|
|
|
EMF-NL, CMO, FRN, |
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|
|
|
|
|
€1,000 |
|
1.646%, 4/17/41 |
|
Aa1/AA+ |
|
1,099,905 |
|
|
€800 |
|
1.846%, 7/17/41 |
|
NR/AA |
|
723,784 |
|
|
€1,000 |
|
2.096%, 10/17/41 |
|
NR/AA+ |
|
915,155 |
|
|
$1,794 |
|
Falcon Franchise Loan LLC, 4.856%, 1/5/25, CMO (a)(d) |
|
Ba1/NR |
|
1,628,091 |
|
|
|
|
First Horizon Alternative Mortgage Securities, CMO, |
|
|
|
|
|
|
467 |
|
2.289%, 2/25/36, FRN |
|
Ba1/CCC |
|
298,721 |
|
|
1,448 |
|
2.375%, 2/25/35, FRN (j) |
|
NR/BBB- |
|
1,168,188 |
|
|
680 |
|
2.439%, 8/25/35, FRN |
|
B1/CCC |
|
174,665 |
|
|
3,971 |
|
5.492%, 11/25/36, FRN |
|
NR/D |
|
2,166,536 |
|
|
1,048 |
|
6.079%, 5/25/36, FRN |
|
Caa2/NR |
|
519,446 |
|
|
472 |
|
6.25%, 11/25/36 |
|
NR/CCC |
|
372,660 |
|
|
|
|
First Horizon Asset Securities, Inc., CMO, |
|
|
|
|
|
|
2,887 |
|
5.451%, 1/25/37, FRN |
|
NR/CCC |
|
2,346,341 |
|
|
377 |
|
5.50%, 8/25/35 |
|
C/NR |
|
61,326 |
|
|
626 |
|
5.871%, 7/25/37, FRN |
|
NR/CC |
|
519,898 |
|
|
|
|
GMAC Mortgage Corp. Loan Trust, CMO, FRN, |
|
|
|
|
|
|
494 |
|
3.289%, 6/25/34 |
|
NR/AAA |
|
416,520 |
|
|
591 |
|
3.322%, 6/25/34 |
|
NR/AAA |
|
500,934 |
|
|
263 |
|
3.370%, 7/19/35 |
|
Caa2/CCC |
|
240,272 |
|
|
2,493 |
|
Greenpoint Mortgage Funding Trust, |
|
|
|
|
|
|
|
|
0.509%, 1/25/37, CMO, FRN |
|
Ba1/A- |
|
1,446,163 |
|
|
|
|
Greenwich Capital Commercial Funding Corp., CMO (j), |
|
|
|
|
|
|
2,000 |
|
0.488%, 11/5/21, FRN (a)(d) |
|
NR/BBB- |
|
1,753,233 |
|
|
3,000 |
|
5.224%, 4/10/37, VRN |
|
Aaa/AA+ |
|
3,167,092 |
|
|
3,000 |
|
5.444%, 3/10/39 |
|
Aaa/A |
|
3,084,967 |
|
|
140 |
|
GS Mortgage Securities Corp. II, |
|
|
|
|
|
|
|
|
1.398%, 3/6/20, CMO, FRN (a)(d) |
|
NR/BB |
|
119,370 |
|
|
|
|
GSR Mortgage Loan Trust, CMO, |
|
|
|
|
|
|
1,501 |
|
0.779%, 7/25/37, FRN |
|
NR/CCC |
|
999,066 |
|
|
80 |
|
3.516%, 12/25/34, VRN |
|
Baa3/BBB- |
|
52,691 |
|
|
4,236 |
|
5.002%, 1/25/36, VRN (j) |
|
NR/B+ |
|
3,499,193 |
|
|
132 |
|
6.00%, 9/25/34 |
|
NR/AAA |
|
107,420 |
|
|
|
|
Harborview Mortgage Loan Trust, CMO, |
|
|
|
|
|
|
4,205 |
|
0.531%, 2/19/46, FRN (j) |
|
Baa3/AAA |
|
2,255,269 |
|
|
7,686 |
|
0.551%, 11/19/36, FRN |
|
B3/B- |
|
4,688,965 |
|
|
302 |
|
0.661%, 1/19/35, FRN |
|
Baa2/AAA |
|
178,577 |
|
|
836 |
|
0.901%, 6/19/34, FRN |
|
Aa2/AAA |
|
589,485 |
|
|
3,314 |
|
5.75%, 6/19/36, VRN |
|
Caa3/D |
|
1,940,507 |
|
|
801 |
|
5.75%, 8/19/36, VRN |
|
NR/CCC |
|
558,640 |
|
|
900 |
|
Homebanc Mortgage Trust, 0.579%, 3/25/35, CMO, FRN |
|
Aa3/AA- |
|
602,578 |
|
|
€1,370 |
|
IM Pastor FTH, 0.872%, 3/22/44, CMO, FRN |
|
Aa2/AA |
|
1,431,530 |
|
|
$3,367 |
|
Indymac INDA Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
4.945%, 12/25/36, CMO, VRN |
|
Caa1/CCC |
|
2,452,763 |
|
|
|
|
Indymac Index Mortgage Loan Trust, CMO, |
|
|
|
|
|
|
950 |
|
1.189%, 9/25/34, FRN |
|
Baa3/BBB+ |
|
549,216 |
|
|
280 |
|
5.308%, 5/25/37, VRN |
|
Caa3/CC |
|
161,681 |
|
|
3,000 |
|
5.683%, 11/25/36, VRN |
|
Caa1/CCC |
|
2,097,298 |
|
|
679 |
|
5.75%, 5/25/37, FRN |
|
Ca/CC |
|
129,963 |
|
|
|
|
JLOC Ltd., CMO, FRN, |
|
|
|
|
|
|
¥34,839 |
|
0.466%, 1/15/15 (b) |
|
Aa2/AA |
|
304,030 |
|
|
¥103,921 |
|
0.505%, 2/16/16 |
|
Aaa/AAA |
|
923,881 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
|
|
JPMorgan Alternative Loan Trust, CMO, VRN, |
|
|
|
|
|
|
$1,599 |
|
5.50%, 11/25/36 |
|
Ba3/CCC |
|
$1,443,088 |
|
|
1,093 |
|
5.904%, 5/25/36 |
|
NR/CCC |
|
696,176 |
|
|
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., CMO, |
|
|
|
|
|
|
5,000 |
|
0.791%, 7/15/19, FRN (a)(d)(j) |
|
Aa2/NR |
|
3,800,442 |
|
|
3,000 |
|
5.42%, 1/15/49 (j) |
|
Aaa/NR |
|
3,010,689 |
|
|
4,000 |
|
5.654%, 3/18/51, VRN (a)(d)(j) |
|
Aa3/NR |
|
3,301,787 |
|
|
100 |
|
5.794%, 2/12/51, VRN |
|
Aaa/A+ |
|
104,250 |
|
|
|
|
JPMorgan Mortgage Trust, CMO, |
|
|
|
|
|
|
757 |
|
4.778%, 7/25/35, VRN |
|
B3/B+ |
|
701,666 |
|
|
3,000 |
|
4.919%, 11/25/35, VRN |
|
Caa1/B+ |
|
2,298,482 |
|
|
1,175 |
|
5.351%, 6/25/37, VRN |
|
NR/CCC |
|
929,961 |
|
|
130 |
|
5.398%, 10/25/36, VRN |
|
Caa2/NR |
|
83,328 |
|
|
2,729 |
|
5.50%, 11/25/34 (j) |
|
Aaa/NR |
|
1,818,238 |
|
|
2,756 |
|
5.724%, 5/25/36, VRN |
|
Caa2/NR |
|
2,364,392 |
|
|
|
|
Landmark Mortgage Securities PLC, CMO, FRN, |
|
|
|
|
|
|
€893 |
|
0.943%, 6/17/38 |
|
NR/AAA |
|
952,983 |
|
|
£2,342 |
|
0.952%, 6/17/38 |
|
NR/AAA |
|
3,015,303 |
|
|
$500 |
|
LB Commercial Conduit Mortgage Trust, |
|
|
|
|
|
|
|
|
5.950%, 7/15/44, CMO, VRN |
|
Aaa/A |
|
507,091 |
|
|
|
|
LB-UBS Commercial Mortgage Trust, CMO (j), |
|
|
|
|
|
|
1,277 |
|
5.347%, 11/15/38 |
|
NR/AAA |
|
1,337,911 |
|
|
2,000 |
|
5.43%, 2/15/40 |
|
NR/A+ |
|
2,026,292 |
|
|
5,047 |
|
Lehman Mortgage Trust, 6.00%, 5/25/37, CMO |
|
NR/D |
|
3,135,023 |
|
|
|
|
MASTR Adjustable Rate Mortgage Trust, CMO, |
|
|
|
|
|
|
2,006 |
|
0.539%, 4/25/46, FRN |
|
Ba1/A |
|
1,057,590 |
|
|
1,220 |
|
1.142%, 1/25/47, FRN |
|
Caa2/CCC |
|
557,344 |
|
|
110 |
|
2.451%, 12/25/33, FRN |
|
A1/AAA |
|
76,700 |
|
|
206 |
|
2.875%, 1/25/34, FRN |
|
Aaa/AAA |
|
186,826 |
|
|
1,638 |
|
3.327%, 10/25/34, VRN |
|
NR/A |
|
1,314,109 |
|
|
3,050 |
|
Merrill Lynch Mortgage Investors, Inc., |
|
|
|
|
|
|
|
|
5.062%, 12/25/35, CMO, VRN |
|
NR/B+ |
|
2,062,854 |
|
|
900 |
|
Merrill Lynch/Countrywide Commercial Mortgage Trust, |
|
|
|
|
|
|
|
|
5.70%, 9/12/49, CMO |
|
NR/A+ |
|
920,196 |
|
|
711 |
|
MLCC Mortgage Investors, Inc., 5.761%, 5/25/36, CMO, FRN |
|
B3/AAA |
|
647,519 |
|
|
|
|
Morgan Stanley Capital I, CMO, |
|
|
|
|
|
|
2,880 |
|
5.385%, 3/12/44, VRN (j) |
|
Aaa/AAA |
|
3,122,288 |
|
|
645 |
|
5.569%, 12/15/44 |
|
NR/A+ |
|
615,289 |
|
|
3,000 |
|
5.692%, 4/15/49, VRN (j) |
|
Aaa/A- |
|
3,003,632 |
|
|
|
|
Morgan Stanley Mortgage Loan Trust, CMO, |
|
|
|
|
|
|
1,546 |
|
2.552%, 7/25/35, VRN |
|
NR/B- |
|
1,094,773 |
|
|
778 |
|
3.268%, 1/25/35, VRN |
|
NR/CCC |
|
95,584 |
|
|
1,257 |
|
5.75%, 12/25/35 |
|
Caa3/CCC |
|
734,374 |
|
|
1,000 |
|
6.00%, 8/25/37 |
|
NR/CCC |
|
840,385 |
|
|
|
|
Morgan Stanley Reremic Trust, CMO, VRN (a)(d)(j), |
|
|
|
|
|
|
5,600 |
|
5.808%, 8/12/45 |
|
Aaa/NR |
|
6,021,920 |
|
|
1,400 |
|
5.808%, 8/12/45 |
|
A1/NR |
|
1,198,944 |
|
|
742 |
|
Prime Mortgage Trust, 7.00%, 7/25/34, CMO |
|
Ba1/B- |
|
735,935 |
|
|
2,000 |
|
Prudential Securities Secured Financing Corp., |
|
|
|
|
|
|
|
|
6.755%, 6/16/31, CMO, VRN (a)(d) |
|
NR/NR |
|
1,966,155 |
|
|
|
|
RBSCF Trust, CMO, VRN (a)(d)(g), |
|
|
|
|
|
|
2,000 |
|
5.223%, 8/16/48 |
|
NR/NR |
|
1,775,417 |
|
|
937 |
|
5.331%, 2/16/44 |
|
NR/NR |
|
818,759 |
|
|
2,512 |
|
RBSSP Resecuritization Trust, |
|
|
|
|
|
|
|
|
0.647%, 3/26/35, CMO, FRN (a)(d) |
|
NR/NR |
|
1,850,138 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
£1,596 |
|
Real Estate Capital PLC, 0.934%, 7/15/16, CMO, FRN |
|
NR/AAA |
|
$2,106,088 |
|
|
$95 |
|
Regal Trust IV, 3.359%, 9/29/31, CMO, FRN (a)(d) |
|
NR/NR |
|
89,550 |
|
|
|
|
Residential Accredit Loans, Inc., CMO, |
|
|
|
|
|
|
670 |
|
0.509%, 6/25/46, FRN |
|
Caa1/CCC |
|
255,410 |
|
|
1,496 |
|
0.659%, 4/25/37, FRN |
|
Caa3/D |
|
667,629 |
|
|
1,826 |
|
0.729%, 10/25/45, FRN |
|
B1/B- |
|
981,584 |
|
|
382 |
|
5.50%, 4/25/37 |
|
Caa3/D |
|
210,108 |
|
|
1,559 |
|
6.00%, 8/25/35 |
|
NR/CCC |
|
1,246,324 |
|
|
1,619 |
|
6.00%, 1/25/37 |
|
Caa2/D |
|
985,283 |
|
|
1,239 |
|
Residential Asset Securitization Trust, |
|
|
|
|
|
|
|
|
6.00%, 3/25/37, CMO |
|
NR/CC |
|
836,327 |
|
|
|
|
Residential Funding Mortgage Securities I, CMO, |
|
|
|
|
|
|
1,058 |
|
5.770%, 7/27/37, VRN |
|
NR/CCC |
|
800,166 |
|
|
2,192 |
|
6.00%, 6/25/37 |
|
NR/CC |
|
1,760,699 |
|
|
|
|
RMAC Securities PLC, CMO, FRN, |
|
|
|
|
|
|
€1,126 |
|
0.868%, 6/12/44 |
|
Aa1/AAA |
|
1,344,508 |
|
|
£1,248 |
|
0.881%, 6/12/44 |
|
Aa1/AAA |
|
1,811,236 |
|
|
|
|
Salomon Brothers Mortgage Securities VII, Inc., |
|
|
|
|
|
|
$1,447 |
|
6.50%, 2/25/29, CMO (j) |
|
NR/AAA |
|
1,483,728 |
|
|
|
|
Sequoia Mortgage Trust, CMO, |
|
|
|
|
|
|
2,486 |
|
0.538%, 7/20/36, FRN |
|
B1/BBB+ |
|
1,882,253 |
|
|
3,748 |
|
0.558%, 3/20/35, FRN (j) |
|
Baa2/AAA |
|
3,102,084 |
|
|
1,049 |
|
5.521%, 1/20/38, VRN |
|
NR/CC |
|
698,218 |
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, CMO, VRN, |
|
|
|
|
|
|
63 |
|
2.661%, 8/25/34 |
|
A3/AA |
|
55,274 |
|
|
4,617 |
|
5.813%, 11/25/36 |
|
NR/CC |
|
3,512,810 |
|
|
6,211 |
|
5.857%, 4/25/36 |
|
NR/CC |
|
4,336,921 |
|
|
3,021 |
|
5.930%, 1/25/36 |
|
NR/CCC |
|
2,278,885 |
|
|
|
|
Structured Asset Mortgage Investments, Inc., CMO, FRN, |
|
|
|
|
|
|
66 |
|
0.529%, 9/25/47 |
|
Aa3/BBB |
|
64,989 |
|
|
4,841 |
|
0.539%, 8/25/36 |
|
Caa1/CCC |
|
2,831,080 |
|
|
393 |
|
0.559%, 5/25/45 |
|
Ba1/AAA |
|
245,951 |
|
|
1,166 |
|
0.671%, 10/19/34 (j) |
|
Aa1/AAA |
|
1,029,157 |
|
|
|
|
Structured Asset Securities Corp., CMO (j), |
|
|
|
|
|
|
2,828 |
|
0.829%, 5/25/33, FRN |
|
NR/AAA |
|
2,094,764 |
|
|
1,207 |
|
2.534%, 1/25/34, VRN |
|
A2/AA |
|
990,010 |
|
|
1,189 |
|
Suntrust Adjustable Rate Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
5.944%, 10/25/37, CMO, FRN |
|
B3/CCC |
|
910,971 |
|
|
€232 |
|
Talisman Finance PLC, 1.035%, 4/22/17, CMO, FRN |
|
A3/AAA |
|
221,316 |
|
|
$812 |
|
TBW Mortgage Backed Pass Through Certificates, |
|
|
|
|
|
|
|
|
6.00%, 7/25/36, CMO |
|
NR/D |
|
479,026 |
|
|
1,000 |
|
UBS Commercial Mortgage Trust, |
|
|
|
|
|
|
|
|
0.916%, 7/15/24, CMO, FRN (a)(d) |
|
Aa1/BB+ |
|
798,282 |
|
|
|
|
Wachovia Bank Commercial Mortgage Trust, CMO, |
|
|
|
|
|
|
511 |
|
0.431%, 9/15/21, FRN (a)(d) |
|
Aaa/AA+ |
|
466,064 |
|
|
5,000 |
|
0.461%, 9/15/21, FRN (a)(d)(j) |
|
A1/A+ |
|
4,074,772 |
|
|
3,396 |
|
1.341%, 9/15/21, FRN (a)(d)(j) |
|
B1/CCC- |
|
2,772,754 |
|
|
3,490 |
|
5.738%, 5/15/43, VRN (j) |
|
Aaa/NR |
|
3,754,057 |
|
|
|
|
WaMu Mortgage Pass Through Certificates, CMO, |
|
|
|
|
|
|
86 |
|
0.619%, 10/25/45, FRN |
|
Aa2/AAA |
|
67,289 |
|
|
349 |
|
0.795%, 5/25/44, FRN |
|
Aa2/AAA |
|
246,476 |
|
|
275 |
|
2.386%, 3/25/33, FRN |
|
Aaa/AAA |
|
243,419 |
|
|
860 |
|
3.075%, 7/25/42, FRN |
|
Aa3/AAA |
|
744,025 |
|
|
4,727 |
|
3.325%, 7/25/46, FRN (j) |
|
Ba2/B- |
|
3,156,277 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
$4,062 |
|
3.629%, 7/25/37, FRN |
|
NR/CC |
|
$2,500,063 |
|
|
3,299 |
|
5.307%, 2/25/37, VRN |
|
NR/CCC |
|
2,428,917 |
|
|
1,761 |
|
5.464%, 3/25/37, VRN |
|
NR/CCC |
|
1,272,254 |
|
|
4,674 |
|
5.518%, 6/25/37, FRN (j) |
|
NR/CCC |
|
3,371,329 |
|
|
7,991 |
|
5.546%, 2/25/37, VRN (j) |
|
NR/CC |
|
5,776,381 |
|
|
940 |
|
5.686%, 11/25/36, FRN |
|
NR/CCC |
|
688,416 |
|
|
3,776 |
|
5.748%, 7/25/37, FRN |
|
NR/CCC |
|
3,017,212 |
|
|
2,168 |
|
5.780%, 2/25/37, FRN |
|
NR/CCC |
|
1,551,262 |
|
|
|
|
Washington Mutual Alternative Mortgage Pass Through Certificates, CMO, |
|
|
|
|
|
|
1,466 |
|
1.252%, 10/25/46, FRN |
|
Caa3/CCC |
|
660,070 |
|
|
5,287 |
|
5.50%, 7/25/35 |
|
Caa2/B+ |
|
4,227,521 |
|
|
78 |
|
Washington Mutual MSC Mortgage Pass Through Certificates, |
|
|
|
|
|
|
|
|
2.225%, 6/25/33, CMO, FRN |
|
Aaa/AAA |
|
48,199 |
|
|
|
|
Wells Fargo Mortgage Backed Securities Trust, CMO, |
|
|
|
|
|
|
1,597 |
|
0.829%, 7/25/37, FRN |
|
B3/NR |
|
993,178 |
|
|
84 |
|
4.115%, 4/25/36, VRN |
|
NR/CCC |
|
76,871 |
|
|
186 |
|
4.115%, 4/25/36, VRN |
|
NR/BB |
|
158,877 |
|
|
5,541 |
|
5.468%, 7/25/36, FRN (j) |
|
NR/CCC |
|
4,323,054 |
|
|
158 |
|
5.50%, 1/25/36 |
|
Ca/NR |
|
69,879 |
|
|
102 |
|
5.547%, 9/25/36, FRN |
|
NR/CCC |
|
82,878 |
|
|
281 |
|
5.554%, 10/25/36, FRN |
|
Caa2/NR |
|
231,463 |
|
|
3,052 |
|
5.868%, 9/25/36, FRN |
|
Caa2/NR |
|
2,453,598 |
|
|
104 |
|
5.885%, 10/25/36, FRN |
|
Caa2/NR |
|
83,798 |
|
|
|
|
Total Mortgage-Backed Securities (cost—$301,516,741) |
|
|
|
323,695,215 |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE BONDS & NOTES—53.2% |
|
|
|
|
|
||
|
Airlines—7.4% |
|
|
|
|
|
||
|
2,500 |
|
American Airlines, Inc., 10.50%, 10/15/12 (a)(d)(j) |
|
B2/B |
|
2,675,000 |
|
|
|
|
American Airlines Pass Through Trust (j), |
|
|
|
|
|
|
10,957 |
|
6.817%, 11/23/12 |
|
B2/BB- |
|
10,984,393 |
|
|
1,474 |
|
8.608%, 10/1/12 |
|
Ba3/B+ |
|
1,503,480 |
|
|
|
|
Continental Airlines Pass Through Trust (j), |
|
|
|
|
|
|
1,120 |
|
7.707%, 10/2/22 |
|
Baa2/BBB |
|
1,150,645 |
|
|
1,107 |
|
8.048%, 5/1/22 |
|
Baa2/BBB |
|
1,173,558 |
|
|
1,967 |
|
Delta Air Lines, Inc., 7.75%, 6/17/21 (j) |
|
Baa2/A- |
|
2,134,433 |
|
|
975 |
|
Northwest Airlines, Inc., 1.215%, 11/20/15, FRN (MBIA)(j) |
|
Baa2/BBB- |
|
864,493 |
|
|
|
|
United Air Lines Pass Through Trust (j), |
|
|
|
|
|
|
2,855 |
|
9.75%, 1/15/17 |
|
Ba1/BBB |
|
3,087,160 |
|
|
2,924 |
|
10.40%, 5/1/18 |
|
Ba1/BBB |
|
3,186,693 |
|
|
|
|
|
|
|
|
26,759,855 |
|
|
|
|
|
|
|
|
||
|
Banking—8.4% |
|
|
|
|
|
||
|
|
|
Barclays Bank PLC, |
|
|
|
|
|
|
3,000 |
|
6.05%, 12/4/17 (a)(d)(j) |
|
Baa1/A |
|
3,141,219 |
|
|
£900 |
|
14.00%, 6/15/19 (h) |
|
Baa2/A- |
|
1,846,432 |
|
|
$7,300 |
|
Discover Bank, 7.00%, 4/15/20 (j) |
|
Ba1/BBB- |
|
7,785,414 |
|
|
|
|
Rabobank Nederland NV, |
|
|
|
|
|
|
€3,000 |
|
6.875%, 3/19/20 |
|
NR/NR |
|
3,684,786 |
|
|
$6,875 |
|
11.00%, 6/30/19 (a)(d)(h)(j) |
|
A2/AA- |
|
8,701,371 |
|
|
5,000 |
|
Regions Financial Corp., 7.75%, 11/10/14 (j) |
|
Baa3/BBB- |
|
5,356,395 |
|
|
|
|
|
|
|
|
30,515,617 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
Energy—1.6% |
|
|
|
|
|
||
|
$5,000 |
|
Power Sector Assets & Liabilities Management Corp., |
|
|
|
|
|
|
|
|
7.25%, 5/27/19 |
|
Ba3/BB- |
|
$5,791,855 |
|
|
|
|
|
|
|
|
||
|
Financial Services—17.9% |
|
|
|
|
|
||
|
|
|
Ally Financial, Inc. (j), |
|
|
|
|
|
|
4,500 |
|
6.625%, 5/15/12 |
|
B3/B |
|
4,565,664 |
|
|
1,850 |
|
6.75%, 12/1/14 |
|
B3/B |
|
1,838,208 |
|
|
2,500 |
|
6.875%, 9/15/11 |
|
B3/B |
|
2,551,160 |
|
|
5,000 |
|
8.30%, 2/12/15 (a)(d) |
|
B3/B |
|
5,275,000 |
|
|
3,000 |
|
American General Finance Corp., 0.787%, 12/15/11, FRN (j) |
|
B2/B |
|
2,765,760 |
|
|
|
|
AngloGold Ashanti Holdings PLC, |
|
|
|
|
|
|
300 |
|
5.375%, 4/15/20 |
|
Baa3/BBB- |
|
311,953 |
|
|
800 |
|
6.50%, 4/15/40 (j) |
|
Baa3/BBB- |
|
833,527 |
|
|
2,000 |
|
Cantor Fitzgerald L.P., 7.875%, 10/15/19 (a)(d)(j) |
|
Baa3/BBB |
|
2,079,702 |
|
|
|
|
CIT Group, Inc., |
|
|
|
|
|
|
2,299 |
|
7.00%, 5/1/13 (j) |
|
B3/B+ |
|
2,287,892 |
|
|
449 |
|
7.00%, 5/1/14 |
|
B3/B+ |
|
438,979 |
|
|
449 |
|
7.00%, 5/1/15 |
|
B3/B+ |
|
435,048 |
|
|
748 |
|
7.00%, 5/1/16 |
|
B3/B+ |
|
716,660 |
|
|
1,048 |
|
7.00%, 5/1/17 (j) |
|
B3/B+ |
|
992,846 |
|
|
|
|
Ford Motor Credit Co. LLC (j), |
|
|
|
|
|
|
3,000 |
|
3.277%, 1/13/12, FRN |
|
Ba3/B- |
|
2,943,750 |
|
|
6,500 |
|
7.25%, 10/25/11 |
|
Ba3/B- |
|
6,720,474 |
|
|
4,600 |
|
7.80%, 6/1/12 |
|
Ba3/B- |
|
4,816,651 |
|
|
2,525 |
|
9.875%, 8/10/11 |
|
Ba3/B- |
|
2,664,367 |
|
|
8,150 |
|
International Lease Finance Corp., 4.75%, 1/13/12 (j) |
|
B1/BB+ |
|
7,905,500 |
|
|
2,500 |
|
Morgan Stanley, 1.006%, 10/15/15, FRN (j) |
|
A2/A |
|
2,277,800 |
|
|
|
|
SLM Corp., |
|
|
|
|
|
|
940 |
|
0.728%, 10/25/11, FRN (j) |
|
Ba1/BBB- |
|
900,826 |
|
|
220 |
|
4.686%, 6/15/13, FRN |
|
Ba1/BBB- |
|
193,772 |
|
|
200 |
|
4.686%, 12/15/13, FRN |
|
Ba1/BBB- |
|
167,674 |
|
|
€3,000 |
|
4.75%, 3/17/14 |
|
Ba1/BBB- |
|
3,470,880 |
|
|
$1,000 |
|
8.00%, 3/25/20 |
|
Ba1/BBB- |
|
888,921 |
|
|
4,700 |
|
8.45%, 6/15/18 (j) |
|
Ba1/BBB- |
|
4,384,865 |
|
|
2,500 |
|
UBS Preferred Funding Trust V, 6.243%, 5/15/16 (h)(j) |
|
Baa3/BBB- |
|
2,381,250 |
|
|
|
|
|
|
|
|
64,809,129 |
|
|
|
|
|
|
|
|
||
|
Healthcare & Hospitals—0.9% |
|
|
|
|
|
||
|
3,000 |
|
HCA, Inc., 8.50%, 4/15/19 |
|
Ba3/BB |
|
3,330,000 |
|
|
|
|
|
|
|
|
||
|
Hotels/Gaming—2.2% |
|
|
|
|
|
||
|
1,600 |
|
MGM Resorts International, 9.00%, 3/15/20 (a)(d)(j) |
|
B1/B |
|
1,688,000 |
|
|
6,085 |
|
Times Square Hotel Trust, 8.528%, 8/1/26 (a)(d)(j) |
|
Baa3/BB |
|
6,154,400 |
|
|
|
|
|
|
|
|
7,842,400 |
|
|
|
|
|
|
|
|
||
|
Insurance—4.9% |
|
|
|
|
|
||
|
|
|
American International Group, Inc., |
|
|
|
|
|
|
2,000 |
|
0.635%, 10/18/11, FRN (j) |
|
A3/A- |
|
1,944,098 |
|
|
6,200 |
|
5.85%, 1/16/18 (j) |
|
A3/A- |
|
5,921,000 |
|
|
1,650 |
|
6.25%, 5/1/36 (j) |
|
A3/A- |
|
1,443,750 |
|
|
6,400 |
|
8.25%, 8/15/18 (j) |
|
A3/A- |
|
6,896,000 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
Insurance (continued) |
|
|
|
|
|
||
|
£1,150 |
|
8.625%, 5/22/68, (converts to FRN on 5/22/18) |
|
Ba2/BBB |
|
$1,521,857 |
|
|
|
|
|
|
|
|
17,726,705 |
|
|
|
|
|
|
|
|
||
|
Oil & Gas—4.0% |
|
|
|
|
|
||
|
|
|
Anadarko Petroleum Corp., |
|
|
|
|
|
|
$600 |
|
6.20%, 3/15/40 |
|
Ba1/BBB- |
|
534,532 |
|
|
4,200 |
|
6.45%, 9/15/36 (j) |
|
Ba1/BBB- |
|
3,787,972 |
|
|
6,900 |
|
BP Capital Markets PLC, 4.75%, 3/10/19 (j) |
|
A2/A |
|
6,511,150 |
|
|
958 |
|
Global Geophysical Services, Inc., 10.50%, 5/1/17 (a)(d) |
|
B3/B |
|
953,210 |
|
|
2,500 |
|
Kinder Morgan Energy Partners L.P., 6.50%, 9/1/39 (j) |
|
Baa2/BBB |
|
2,734,985 |
|
|
|
|
|
|
|
|
14,521,849 |
|
|
|
|
|
|
|
|
||
|
Paper & Forest Products—0.6% |
|
|
|
|
|
||
|
2,000 |
|
Weyerhaeuser Co., 7.375%, 3/15/32 (j) |
|
Ba1/BBB- |
|
2,004,866 |
|
|
|
|
|
|
|
|
||
|
Real Estate Investment Trust—1.3% |
|
|
|
|
|
||
|
4,750 |
|
Reckson Operating Partnership L.P., 7.75%, 3/15/20 (a)(d)(j) |
|
Ba2/BB+ |
|
4,678,854 |
|
|
|
|
|
|
|
|
||
|
Retail—1.0% |
|
|
|
|
|
||
|
2,977 |
|
CVS Pass Through Trust, 7.507%, 1/10/32 (a)(d)(j) |
|
Baa2/BBB+ |
|
3,439,406 |
|
|
|
|
|
|
|
|
||
|
Software—0.4% |
|
|
|
|
|
||
|
2,000 |
|
First Data Corp., 9.875%, 9/24/15 (j) |
|
Caa1/B- |
|
1,620,000 |
|
|
|
|
|
|
|
|
||
|
Telecommunications—2.0% |
|
|
|
|
|
||
|
2,000 |
|
Frontier Communications Corp., 9.00%, 8/15/31 (j) |
|
Ba2/BB |
|
2,060,000 |
|
|
2,000 |
|
Qwest Communications International, Inc., 7.50%, 2/15/14 (j) |
|
Ba3/B+ |
|
2,060,000 |
|
|
2,800 |
|
Telecom Italia Capital S.A., 7.20%, 7/18/36 (j) |
|
Baa2/BBB |
|
2,978,590 |
|
|
|
|
|
|
|
|
7,098,590 |
|
|
|
|
|
|
|
|
||
|
Utilities—0.6% |
|
|
|
|
|
||
|
2,000 |
|
Energy Future Holdings Corp., 10.00%, 1/15/20 (a)(d) |
|
Caa3/B+ |
|
2,010,000 |
|
|
|
|
Total Corporate Bonds & Notes (cost—$172,179,881) |
|
|
|
192,149,126 |
|
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES—16.3% |
|
|
|
|
|
||
|
864 |
|
Access Financial Manufactured Housing Contract Trust, |
|
|
|
|
|
|
|
|
7.65%, 5/15/21 |
|
Caa2/NR |
|
745,269 |
|
|
2,286 |
|
Accredited Mortgage Loan Trust, 0.509%, 4/25/36, FRN |
|
Caa2/B |
|
1,566,219 |
|
|
1,554 |
|
ACE Securities Corp., 0.729%, 8/25/45, FRN (j) |
|
NR/AAA |
|
1,434,668 |
|
|
|
|
Advanta Business Card Master Trust, FRN, |
|
|
|
|
|
|
1,000 |
|
0.588%, 6/20/14 |
|
Ca/CCC- |
|
791,547 |
|
|
1,000 |
|
0.588%, 12/22/14 |
|
Ca/CCC- |
|
791,547 |
|
|
870 |
|
American Express Credit Account Master Trust, |
|
|
|
|
|
|
|
|
0.621%, 3/17/14, FRN (a)(d) |
|
Baa2/BBB+ |
|
866,378 |
|
|
|
|
Asset Backed Funding Certificates, FRN, |
|
|
|
|
|
|
16 |
|
0.609%, 10/25/33 |
|
Aaa/AAA |
|
13,141 |
|
|
2,220 |
|
0.879%, 8/25/33 (j) |
|
Aa2/AA |
|
1,752,732 |
|
|
|
|
Bear Stearns Asset Backed Securities Trust, |
|
|
|
|
|
|
565 |
|
0.829%, 9/25/34, FRN |
|
NR/BBB |
|
439,727 |
|
|
1,654 |
|
0.829%, 9/25/34, FRN |
|
NR/A |
|
1,295,545 |
|
|
1,747 |
|
3.991%, 7/25/36, VRN |
|
NR/CC |
|
834,216 |
|
|
1,073 |
|
Bear Stearns Second Lien Trust, 0.549%, 12/25/36, FRN (a)(d) |
|
B3/B |
|
848,178 |
|
|
|
|
Conseco Finance Securitizations Corp., |
|
|
|
|
|
|
1,863 |
|
7.27%, 9/1/31 |
|
Caa1/CCC- |
|
1,895,823 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
$685 |
|
7.96%, 2/1/32 |
|
Ca/CCC- |
|
$587,435 |
|
|
343 |
|
7.97%, 5/1/32 |
|
Ca/CCC- |
|
263,350 |
|
|
3,970 |
|
8.06%, 5/1/31 |
|
Ca/NR |
|
3,251,169 |
|
|
|
|
Conseco Financial Corp., |
|
|
|
|
|
|
359 |
|
6.22%, 3/1/30 |
|
NR/BBB- |
|
373,091 |
|
|
436 |
|
6.33%, 11/1/29, VRN |
|
Baa2/NR |
|
444,266 |
|
|
291 |
|
6.53%, 2/1/31, VRN |
|
NR/CCC- |
|
277,780 |
|
|
290 |
|
6.86%, 3/15/28 |
|
A2/NR |
|
305,868 |
|
|
461 |
|
7.05%, 1/15/27 |
|
B3/B |
|
420,129 |
|
|
1,457 |
|
7.14%, 3/15/28 (j) |
|
Baa1/NR |
|
1,520,067 |
|
|
1,060 |
|
7.24%, 6/15/28, VRN |
|
Baa1/NR |
|
1,133,355 |
|
|
1,240 |
|
7.40%, 6/15/27 (j) |
|
A2/AA |
|
1,292,818 |
|
|
173 |
|
7.65%, 10/15/27, VRN |
|
Aa1/AAA |
|
175,382 |
|
|
|
|
Countrywide Asset-Backed Certificates, |
|
|
|
|
|
|
33 |
|
0.479%, 3/25/47, FRN |
|
Caa3/B- |
|
21,553 |
|
|
1,489 |
|
0.669%, 12/25/36, FRN (a)(d) |
|
NR/CCC |
|
703,646 |
|
|
1,825 |
|
0.719%, 11/25/34, FRN (j) |
|
Aaa/AAA |
|
1,592,241 |
|
|
581 |
|
0.889%, 8/25/32, FRN |
|
Aa2/CCC |
|
339,457 |
|
|
275 |
|
4.693%, 10/25/35, VRN |
|
B1/AAA |
|
248,908 |
|
|
1,703 |
|
Countrywide Home Equity Loan Trust, 0.691%, 3/15/29, FRN (j) |
|
Baa2/BBB- |
|
1,447,535 |
|
|
32 |
|
Credit-Based Asset Servicing and Securitization LLC, |
|
|
|
|
|
|
|
|
0.419%, 7/25/36, FRN |
|
Baa2/AAA |
|
31,118 |
|
|
1,000 |
|
Greenpoint Manufactured Housing, 8.30%, 10/15/26, VRN |
|
Ca/NR |
|
949,666 |
|
|
533 |
|
GSAA Trust, 0.599%, 6/25/35, FRN |
|
B2/AA+ |
|
401,736 |
|
|
1,167 |
|
GSAMP Trust, 0.629%, 5/25/36, FRN (a)(d) |
|
NR/A |
|
942,632 |
|
|
|
|
Home Equity Asset Trust, FRN, |
|
|
|
|
|
|
20 |
|
0.379%, 3/25/37 |
|
Aa2/AAA |
|
19,284 |
|
|
204 |
|
2.729%, 10/25/33 |
|
Ba1/B- |
|
148,113 |
|
|
6,500 |
|
Indymac Residential Asset Backed Trust, 0.649%, 4/25/37, FRN |
|
Caa2/CCC |
|
2,708,482 |
|
|
|
|
JPMorgan Mortgage Acquisition Corp., FRN, |
|
|
|
|
|
|
34 |
|
0.379%, 7/25/36 |
|
Aaa/AAA |
|
33,430 |
|
|
219 |
|
0.379%, 10/25/36 |
|
Ba1/B- |
|
208,867 |
|
|
15 |
|
0.409%, 8/25/36 |
|
Ba3/CCC |
|
4,345 |
|
|
491 |
|
Lehman XS Trust, 0.429%, 10/25/36, FRN |
|
Caa1/CC |
|
455,695 |
|
|
|
|
Long Beach Mortgage Loan Trust, FRN, |
|
|
|
|
|
|
1,471 |
|
0.489%, 10/25/36 |
|
Ca/CCC |
|
538,169 |
|
|
730 |
|
2.804%, 3/25/32 |
|
B3/NR |
|
227,876 |
|
|
2,955 |
|
Loomis Sayles CBO, 0.728%, 10/26/20, FRN (a)(d) |
|
Aa1/A+ |
|
2,602,670 |
|
|
|
|
MASTR Asset Backed Securities Trust, |
|
|
|
|
|
|
1,000 |
|
0.699%, 6/25/35, FRN |
|
Aaa/AAA |
|
893,243 |
|
|
879 |
|
5.233%, 11/25/35 |
|
A1/BBB |
|
786,960 |
|
|
7,355 |
|
Merrill Lynch First Franklin Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
0.569%, 5/25/37, FRN |
|
Ca/CCC |
|
3,429,894 |
|
|
421 |
|
Morgan Stanley ABS Capital I, 0.509%, 1/25/36, FRN |
|
Caa2/B- |
|
366,160 |
|
|
2,668 |
|
Morgan Stanley Dean Witter Capital I, 1.754%, 2/25/33, FRN (j) |
|
Aa2/AA |
|
1,646,570 |
|
|
|
|
Oakwood Mortgage Investors, Inc., |
|
|
|
|
|
|
46 |
|
0.571%, 5/15/13, FRN |
|
Caa1/B- |
|
33,465 |
|
|
1,815 |
|
8.00%, 10/15/26 (j) |
|
NR/AAA |
|
1,852,225 |
|
|
|
|
Option One Mortgage Loan Trust, |
|
|
|
|
|
|
16 |
|
0.449%, 2/25/38, FRN |
|
Aaa/A |
|
15,310 |
|
|
2,300 |
|
0.469%, 2/25/37, FRN |
|
B3/CCC |
|
954,982 |
|
|
79 |
|
5.662%, 1/25/37 |
|
B3/CC |
|
30,607 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
$5,000 |
|
Origen Manufactured Housing, 7.65%, 3/15/32 |
|
B2/NR |
|
$5,113,415 |
|
|
1,740 |
|
Popular ABS Mortgage Pass Through Trust, |
|
|
|
|
|
|
|
|
0.609%, 7/25/35, FRN (j) |
|
Ba1/AAA |
|
1,123,646 |
|
|
477 |
|
Quest Trust, 1.229%, 6/25/34, FRN (a)(d) |
|
Aa2/AA |
|
470,810 |
|
|
|
|
Residential Asset Mortgage Products, Inc., |
|
|
|
|
|
|
71 |
|
4.02%, 4/25/33, VRN |
|
Baa3/CCC |
|
63,023 |
|
|
1,645 |
|
5.22%, 7/25/34, VRN |
|
B3/CCC |
|
1,451,505 |
|
|
1,851 |
|
5.86%, 11/25/33 (j) |
|
Aa3/AAA |
|
1,486,630 |
|
|
|
|
Residential Asset Securities Corp., |
|
|
|
|
|
|
67 |
|
0.519%, 3/25/36, FRN |
|
Ba1/AAA |
|
61,679 |
|
|
36 |
|
4.47%, 3/25/32, VRN |
|
Aaa/AAA |
|
35,028 |
|
|
571 |
|
Securitized Asset Backed Receivables LLC Trust, |
|
|
|
|
|
|
|
|
0.559%, 2/25/37, FRN |
|
Ca/CCC |
|
270,533 |
|
|
414 |
|
Specialty Underwriting & Residential Finance, |
|
|
|
|
|
|
|
|
0.579%, 9/25/36, FRN |
|
Ba3/A |
|
382,163 |
|
|
1,226 |
|
Structured Asset Securities Corp., 0.629%, 6/25/35, FRN |
|
Baa1/AA+ |
|
825,395 |
|
|
741 |
|
UCFC Home Equity Loan, 7.75%, 4/15/30, VRN |
|
A2/B- |
|
444,914 |
|
|
|
|
Total Asset-Backed Securities (cost—$53,084,096) |
|
|
|
58,683,280 |
|
|
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT AGENCY SECURITIES—11.9% |
|
|
|
|
|
||
|
387 |
|
Freddie Mac, |
|
|
|
|
|
|
|
|
6.00%, 4/15/36, CMO |
|
Aaa/AAA |
|
424,604 |
|
|
|
|
Ginnie Mae, |
|
|
|
|
|
|
10 |
|
6.00%, 12/15/32, MBS |
|
Aaa/AAA |
|
11,091 |
|
|
13 |
|
6.00%, 11/15/34, MBS |
|
Aaa/AAA |
|
14,781 |
|
|
276 |
|
6.00%, 12/15/36, MBS (j) |
|
Aaa/AAA |
|
302,954 |
|
|
2,235 |
|
6.00%, 2/15/37, MBS (j) |
|
Aaa/AAA |
|
2,453,182 |
|
|
820 |
|
6.00%, 6/15/37, MBS (j) |
|
Aaa/AAA |
|
899,153 |
|
|
951 |
|
6.00%, 8/15/37, MBS (j) |
|
Aaa/AAA |
|
1,042,190 |
|
|
541 |
|
6.00%, 10/15/37, MBS (j) |
|
Aaa/AAA |
|
593,446 |
|
|
2,529 |
|
6.00%, 12/15/37, MBS (j) |
|
Aaa/AAA |
|
2,771,923 |
|
|
165 |
|
6.00%, 3/15/38, MBS (j) |
|
Aaa/AAA |
|
180,857 |
|
|
285 |
|
6.00%, 4/15/38, MBS (j) |
|
Aaa/AAA |
|
312,855 |
|
|
259 |
|
6.00%, 5/15/38, MBS (j) |
|
Aaa/AAA |
|
283,601 |
|
|
34 |
|
6.00%, 6/15/38, MBS (j) |
|
Aaa/AAA |
|
37,031 |
|
|
859 |
|
6.00%, 7/15/38, MBS (j) |
|
Aaa/AAA |
|
941,799 |
|
|
8,783 |
|
6.00%, 9/15/38, MBS (j) |
|
Aaa/AAA |
|
9,624,105 |
|
|
747 |
|
6.00%, 10/15/38, MBS (j) |
|
Aaa/AAA |
|
818,203 |
|
|
1,158 |
|
6.00%, 11/15/38, MBS (j) |
|
Aaa/AAA |
|
1,268,898 |
|
|
4,115 |
|
6.00%, 12/15/38, MBS (j) |
|
Aaa/AAA |
|
4,509,064 |
|
|
2,545 |
|
6.00%, 10/15/39, MBS (j) |
|
Aaa/AAA |
|
2,788,693 |
|
|
1,496 |
|
6.00%, 12/15/39, MBS (j) |
|
Aaa/AAA |
|
1,639,540 |
|
|
11,000 |
|
6.00%, MBS, TBA (e) |
|
Aaa/AAA |
|
12,055,406 |
|
|
|
|
Total U.S. Government Agency Securities (cost—$42,092,675) |
|
|
|
42,973,376 |
|
|
|
|
|
|
|
|
|
|
|
SENIOR LOANS (a)(c)—4.5% |
|
|
|
|
|
||
|
Computer Services—0.5% |
|
|
|
|
|
||
|
|
|
First Data Corp., Term B1, |
|
|
|
|
|
|
88 |
|
3.066%, 9/24/14 |
|
|
|
76,515 |
|
|
1,857 |
|
3.079%, 9/24/14 |
|
|
|
1,620,902 |
|
|
|
|
|
|
|
|
1,697,417 |
|
|
|
|
|
|
|
|
||
|
Financial Services—3.3% |
|
|
|
|
|
||
|
6,000 |
|
American General Finance Corp., 7.25%, 4/21/15 (e) |
|
|
|
5,933,436 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
Financial Services (continued) |
|
|
|
|
|
||
|
|
|
CIT Group, Inc., |
|
|
|
|
|
|
$1,100 |
|
9.50%, 1/20/12, Term 2A |
|
|
|
$1,126,258 |
|
|
|
|
International Lease Finance Corp., |
|
|
|
|
|
|
2,900 |
|
6.75%, 3/17/15, Term B1 |
|
|
|
2,925,375 |
|
|
2,100 |
|
7.00%, 3/17/16, Term B2 |
|
|
|
2,106,999 |
|
|
|
|
|
|
|
|
12,092,068 |
|
|
|
|
|
|
|
|
||
|
Printing/Publishing—0.1% |
|
|
|
|
|
||
|
515 |
|
Tribune Co., 5.00%, 6/4/24, Term X (b)(f)(k) |
|
|
|
|
|
|
|
|
(acquisition cost-$499,096; purchased 11/30/07-2/27/09) |
|
|
|
321,310 |
|
|
|
|
|
|
|
|
||
|
Telecommunications—0.2% |
|
|
|
|
|
||
|
727 |
|
Supermedia, Inc., 11.00%, 12/31/15 |
|
|
|
614,897 |
|
|
|
|
|
|
|
|
||
|
Utilities—0.4% |
|
|
|
|
|
||
|
2,000 |
|
Texas Competitive Electric Holdings Co. LLC, 3.845%, 10/10/14 |
|
|
|
1,547,500 |
|
|
|
|
Total Senior Loans (cost—$16,678,958) |
|
|
|
16,273,192 |
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCK—4.3% |
|
|
|
|
|
||
|
Financial Services—3.9% |
|
|
|
|
|
||
|
14,500 |
|
Wells Fargo & Co., 7.50%, 3/15/13, Ser. L (h) |
|
Ba1/A- |
|
14,137,500 |
|
|
|
|
|
|
|
|
||
|
Utilities—0.4% |
|
|
|
|
|
||
|
25,500 |
|
PPL Corp., 9.50%, 7/1/13 |
|
NR/NR |
|
1,421,194 |
|
|
|
|
Total Convertible Preferred Stock (cost—$10,478,225) |
|
|
|
15,558,694 |
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
|
(000s) |
|
|
|
|
|
|
|
|
MUNICIPAL BONDS—0.8% |
|
|
|
|
|
||
|
California—0.2% |
|
|
|
|
|
||
|
$775 |
|
Statewide Communities Dev. Auth. Rev., |
|
|
|
|
|
|
|
|
Lancer Student Housing Project, 9.50%, 6/1/14, Ser. B |
|
NR/NR |
|
791,624 |
|
|
|
|
|
|
|
|
||
|
West Virginia—0.6% |
|
|
|
|
|
||
|
3,040 |
|
Tobacco Settlement Finance Auth. Rev., 7.467%, 6/1/47, Ser. A |
|
Baa3/BBB |
|
2,254,525 |
|
|
|
|
Total Municipal Bonds (cost—$3,689,386) |
|
|
|
3,046,149 |
|
|
|
|
|
|
|
|
|
|
|
SOVEREIGN DEBT OBLIGATIONS—0.4% |
|
|
|
|
|
||
|
Brazil—0.4% |
|
|
|
|
|
||
|
BRL 2,652 |
|
Brazil Notas do Tesouro Nacional, |
|
|
|
|
|
|
|
|
10.00%, 1/1/12, Ser. F (cost—$1,465,169) |
|
Baa3/NR |
|
1,476,542 |
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
PREFERRED STOCK—0.2% |
|
|
|
|
|
||
|
Financial Services—0.2% |
|
|
|
|
|
||
|
|
|
SLM Corp., CPI-Linked MTN, Ser. A (l), |
|
|
|
|
|
|
32,400 |
|
3.053%, 3/15/17 |
|
Ba1/BBB- |
|
547,560 |
|
|
8,500 |
|
3.103%, 1/16/18 |
|
Ba1/NR |
|
144,500 |
|
|
|
|
Total Preferred Stock (cost—$460,125) |
|
|
|
692,060 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
U.S. TREASURY OBLIGATIONS (i)—0.1% |
|
|
|
|
|
||
|
$336 |
|
U.S. Treasury Notes, 1.00%, 9/30/11 (cost—$336,758) |
|
|
|
$338,533 |
|
|
|
|
|
|
|
|
||
|
SHORT-TERM INVESTMENTS—7.9% |
|
|
|
|
|
||
|
Corporate Notes—6.8% |
|
|
|
|
|
||
|
Financial Services—6.7% |
|
|
|
|
|
||
|
2,000 |
|
Ally Financial, Inc., 7.25%, 3/2/11 (j) |
|
B3/B |
|
2,037,236 |
|
|
€2,000 |
|
American General Finance Corp., 4.625%, 6/22/11 |
|
B2/NR |
|
2,510,656 |
|
|
€2,000 |
|
Green Valley Ltd., 4.41%, 1/10/11, FRN (a)(b)(d)(k) |
|
|
|
|
|
|
|
|
(acquisition cost-$2,938,700; purchased 12/11/07) |
|
NR/BB+ |
|
2,594,472 |
|
|
|
|
International Lease Finance Corp. (j), |
|
|
|
|
|
|
$4,000 |
|
4.875%, 9/1/10 |
|
B1/BB+ |
|
4,010,000 |
|
|
4,900 |
|
4.95%, 2/1/11 |
|
B1/BB+ |
|
4,881,625 |
|
|
8,000 |
|
5.45%, 3/24/11 |
|
B1/BB+ |
|
7,980,000 |
|
|
|
|
|
|
|
|
24,013,989 |
|
|
|
|
|
|
|
|
||
|
Oil & Gas—0.1% |
|
|
|
|
|
||
|
500 |
|
BP Capital Markets PLC, 0.667%, 4/11/11, FRN |
|
A2/NR |
|
488,624 |
|
|
|
|
Total Corporate Notes (cost—$23,736,503) |
|
|
|
24,502,613 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agency Securities—0.8% |
|
|
|
|
|
||
|
320 |
|
Fannie Mae, 0.297%, 8/5/10, FRN |
|
Aaa/AAA |
|
320,002 |
|
|
|
|
Freddie Mac, FRN (i), |
|
|
|
|
|
|
23 |
|
0.254%, 5/4/11 |
|
Aaa/AAA |
|
23,031 |
|
|
2,470 |
|
0.581%, 4/7/11 |
|
Aaa/AAA |
|
2,473,090 |
|
|
|
|
Total U.S. Government Agency Securities (cost—$2,815,742) |
|
|
|
2,816,123 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bills (i)—0.2% |
|
|
|
|
|
||
|
880 |
|
0.188%-0.19%, 1/13/11-1/20/11 (cost—$879,233) |
|
|
|
879,277 |
|
|
|
|
|
|
|
|
||
|
Repurchase Agreements—0.1% |
|
|
|
|
|
||
|
300 |
|
Deutsche Bank Securities, Inc., dated 7/30/10, 0.22%, due 8/2/10, proceeds $300,006; collateralized by U.S. Treasury Bonds, 4.625%, due 2/15/40, valued at $307,631, including accrued interest (cost—$300,000) |
|
|
|
300,000 |
|
|
|
|
Total Short-Term Investments (cost—$27,731,478) |
|
|
|
28,498,013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments (cost—$629,713,492)—189.2% |
|
|
|
683,384,180 |
|
|
|
|
Liabilities in excess of other assets—(89.2%) |
|
|
|
(322,098,666 |
) |
|
|
|
Net Assets—100% |
|
|
|
$361,285,514 |
|
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 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. Securities purchased on delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of the Fund’s shares may be affected by changes in the value 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 $111,965,032, representing 31.0% of net assets. |
|
|
|
|
(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, 2010. |
|
|
|
|
(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) |
Delayed-delivery. To be delivered after July 31, 2010. |
|
|
|
|
(f) |
In default. |
|
|
|
|
(g) |
Fair-Valued—Securities with an aggregate value of $2,594,176, representing 0.7% of net assets. |
|
|
|
|
(h) |
Perpetual maturity. Maturity date shown is the first call date. For Corporate Bonds & Notes the interest rate is fixed until the first call date and variable thereafter. |
|
|
|
|
(i) |
All or partial amount segregated for the benefit of the counterparty as collateral for swaps. |
|
|
|
|
(j) |
All or partial amount segregated for the benefit of the counterparty as collateral for reverse repurchase agreements. |
|
|
|
|
(k) |
Restricted. The aggregate acquisition cost of such securities is $3,437,796 and the aggregate market value is $2,915,782, representing 0.8% of net assets. |
|
|
|
|
(l) |
Floating Rate. The rate disclosed reflects the rate in effect on July 31, 2010. |
Glossary:
ABS—Asset-Backed Securities
BRL—Brazilian Real
£—British Pound
CMO—Collateralized Mortgage Obligation
CPI—Consumer Price Index
€—Euro
FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on July 31, 2010.
¥—Japanese Yen
LIBOR—London Inter-Bank Offered Rate
MBIA—insured by Municipal Bond Investors Assurance
MBS—Mortgage-Backed Securities
MTN—Medium Term Note
NR—Not Rated
TBA—To Be Announced
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, 2010.
Other Investments:
(A) Credit default swap agreements:
Buy protection swap agreements outstanding at July 31, 2010 (1):
|
|
|
Notional Amount |
|
|
|
|
|
|
|
|
|
Upfront |
|
|
|
|
|
Swap Counterparty/ |
|
Payable on Default |
|
Credit |
|
Termination |
|
Payments |
|
Market |
|
Premiums |
|
Unrealized |
|
|
|
Referenced Debt Issuer |
|
(000s) (4) |
|
Spread (3) |
|
Date |
|
Made |
|
Value (5) |
|
Paid |
|
Depreciation |
|
|
|
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX HY-14 5-Year Index |
|
$10,000 |
|
5.56 |
% |
6/20/15 |
|
|
(5.00 |
)% |
$166,690 |
|
$220,000 |
|
$(53,310 |
) |
Sell protection swap agreements outstanding at July 31, 2010 (2):
|
|
|
Notional Amount |
|
|
|
|
|
|
|
|
|
Upfront |
|
Unrealized |
|
|
|
Swap Counterparty/ |
|
Payable on Default |
|
Credit |
|
Termination |
|
Payments |
|
Market |
|
Premiums |
|
Appreciation |
|
|
|
Referenced Debt Issuer |
|
(000s) (4) |
|
Spread (3) |
|
Date |
|
Received |
|
Value (5) |
|
Received |
|
(Depreciation) |
|
|
|
Barclays Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gazprom |
|
$1,250 |
|
2.52 |
% |
12/20/17 |
|
|
1.90 |
% |
$(45,955 |
) |
— |
|
$(45,955 |
) |
|
VTB Capital |
|
1,250 |
|
3.52 |
% |
12/20/17 |
|
|
2.34 |
% |
(81,699 |
) |
— |
|
(81,699 |
) |
|
Citigroup: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Majapahit Holding |
|
3,000 |
|
3.03 |
% |
12/20/17 |
|
|
2.65 |
% |
(59,973 |
) |
— |
|
(59,973 |
) |
|
Republic of Indonesia |
|
3,000 |
|
1.68 |
% |
12/20/17 |
|
|
2.14 |
% |
95,778 |
|
— |
|
95,778 |
|
|
SLM |
|
2,500 |
|
6.43 |
% |
12/20/13 |
|
|
5.00 |
% |
(87,847 |
) |
$(385,000 |
) |
297,153 |
|
|
Credit Suisse First Boston: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TNK |
|
1,500 |
|
3.89 |
% |
12/20/17 |
|
|
3.15 |
% |
(60,738 |
) |
— |
|
(60,738 |
) |
|
Deutsche Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ING Bank |
|
€5,000 |
|
1.55 |
% |
6/20/11 |
|
|
1.40 |
% |
2,230 |
|
— |
|
2,230 |
|
|
SLM |
|
$1,400 |
|
6.43 |
% |
12/20/13 |
|
|
5.00 |
% |
(49,194 |
) |
(196,000 |
) |
146,806 |
|
|
Merrill Lynch: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX HY-9 5-Year Index 35-100% |
|
9,627 |
|
1.12 |
% |
12/20/12 |
|
|
1.44 |
% |
88,682 |
|
— |
|
88,682 |
|
|
SLM |
|
7,000 |
|
6.43 |
% |
12/20/13 |
|
|
5.00 |
% |
(245,972 |
) |
(857,500 |
) |
611,528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
$(444,688 |
) |
$(1,438,500 |
) |
$993,812 |
|
(1) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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) 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.
(3) 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.
(4) 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.
(5) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at July 31, 2010 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.
(B) Forward foreign currency contracts outstanding at July 31, 2010:
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
|
U.S.$ Value on |
|
U.S.$ Value |
|
Appreciation |
|
|
|
|
Counterparty |
|
Origination Date |
|
July 31, 2010 |
|
(Depreciation) |
|
|
Purchased: |
|
|
|
|
|
|
|
|
|
|
10,119,000 Japanese Yen settling 8/23/10 |
|
Royal Bank of Scotland |
|
$116,840 |
|
$116,786 |
|
$(54 |
) |
|
68,899 South African Rand settling 10/28/10 |
|
Barclays Bank |
|
8,692 |
|
9,299 |
|
607 |
|
|
Sold: |
|
|
|
|
|
|
|
|
|
|
7,177,000 British Pound settling 9/23/10 |
|
Bank of America |
|
10,636,529 |
|
11,237,273 |
|
(600,744 |
) |
|
957,000 British Pound settling 9/23/10 |
|
Citigroup |
|
1,431,988 |
|
1,498,408 |
|
(66,420 |
) |
|
2,802,000 Euro settling 10/26/10 |
|
BNP Paribas |
|
3,617,861 |
|
3,649,786 |
|
(31,925 |
) |
|
18,221,000 Euro settling 10/26/10 |
|
UBS |
|
23,519,029 |
|
23,734,028 |
|
(214,999 |
) |
|
103,676,000 Japanese Yen settling 8/23/10 |
|
HSBC Bank |
|
1,172,010 |
|
1,196,546 |
|
(24,536 |
) |
|
223,567,350 Russian Ruble settling 10/14/10 |
|
Citigroup |
|
7,204,297 |
|
7,338,057 |
|
(133,760 |
) |
|
|
|
|
|
|
|
|
|
$(1,071,831 |
) |
(C) Open reverse repurchase agreements at July 31, 2010 were:
|
Counterparty |
|
Rate |
|
Trade Date |
|
Maturity Date |
|
Principal & Interest |
|
Principal |
|
|
Bank of America |
|
0.48 |
% |
7/28/10 |
|
8/27/10 |
|
$2,978,448 |
|
$2,978,250 |
|
|
|
|
0.49 |
% |
7/12/10 |
|
8/11/10 |
|
437,125 |
|
437,000 |
|
|
|
|
0.50 |
% |
7/9/10 |
|
8/10/10 |
|
2,886,587 |
|
2,885,625 |
|
|
|
|
0.68 |
% |
7/23/10 |
|
8/24/10 |
|
3,900,737 |
|
3,900,000 |
|
|
|
|
0.68 |
% |
7/27/10 |
|
8/25/10 |
|
3,400,495 |
|
3,400,110 |
|
|
|
|
0.69 |
% |
7/19/10 |
|
8/18/10 |
|
2,515,050 |
|
2,514,375 |
|
|
|
|
0.70 |
% |
7/9/10 |
|
8/10/10 |
|
3,143,490 |
|
3,142,024 |
|
|
|
|
0.93 |
% |
7/27/10 |
|
8/25/10 |
|
8,742,355 |
|
8,741,000 |
|
|
|
|
0.95 |
% |
7/7/10 |
|
8/6/10 |
|
8,951,137 |
|
8,945,000 |
|
|
|
|
0.95 |
% |
7/19/10 |
|
8/18/10 |
|
5,804,143 |
|
5,802,000 |
|
|
|
|
1.10 |
% |
7/28/10 |
|
8/27/10 |
|
4,075,623 |
|
4,075,000 |
|
|
Barclays Bank |
|
(0.50 |
)% |
7/1/10 |
|
6/30/12 |
|
2,375,944 |
|
2,377,000 |
|
|
|
|
0.48 |
% |
7/9/10 |
|
8/9/10 |
|
4,109,315 |
|
4,108,000 |
|
|
|
|
0.48 |
% |
7/16/10 |
|
8/16/10 |
|
628,049 |
|
627,907 |
|
|
|
|
0.48 |
% |
7/21/10 |
|
8/20/10 |
|
2,550,408 |
|
2,550,000 |
|
|
|
|
0.48 |
% |
7/23/10 |
|
8/24/10 |
|
4,506,601 |
|
4,506,000 |
|
|
|
|
0.48 |
% |
7/29/10 |
|
8/30/10 |
|
2,028,108 |
|
2,028,000 |
|
|
|
|
0.70 |
% |
7/12/10 |
|
8/11/10 |
|
8,065,292 |
|
8,062,000 |
|
|
|
|
0.70 |
% |
7/16/10 |
|
8/16/10 |
|
3,106,026 |
|
3,105,000 |
|
|
|
|
0.70 |
% |
7/22/10 |
|
8/23/10 |
|
1,908,408 |
|
1,908,000 |
|
|
|
|
0.70 |
% |
7/23/10 |
|
8/24/10 |
|
1,532,298 |
|
1,532,000 |
|
|
|
|
0.70 |
% |
7/26/10 |
|
8/26/10 |
|
2,897,394 |
|
2,897,000 |
|
|
|
|
0.99 |
% |
7/21/10 |
|
8/20/10 |
|
4,131,363 |
|
4,130,000 |
|
|
|
|
1.00 |
% |
7/12/10 |
|
8/11/10 |
|
10,806,300 |
|
10,800,000 |
|
|
|
|
1.00 |
% |
7/16/10 |
|
8/16/10 |
|
3,696,838 |
|
3,695,093 |
|
|
|
|
1.35 |
% |
7/12/10 |
|
8/11/10 |
|
6,368,011 |
|
6,363,000 |
|
|
Citigroup |
|
0.25 |
% |
7/21/10 |
|
8/19/10 |
|
15,563,297 |
|
15,562,000 |
|
|
Credit Suisse First Boston |
|
0.50 |
% |
7/26/10 |
|
8/24/10 |
|
26,901,615 |
|
26,899,000 |
|
|
|
|
0.50 |
% |
7/29/10 |
|
8/30/10 |
|
3,184,177 |
|
3,184,000 |
|
|
|
|
0.50 |
% |
7/30/10 |
|
8/30/10 |
|
4,108,171 |
|
4,108,000 |
|
|
|
|
0.55 |
% |
7/6/10 |
|
8/2/10 |
|
786,324 |
|
786,000 |
|
|
|
|
0.55 |
% |
7/15/10 |
|
8/16/10 |
|
2,584,711 |
|
2,584,000 |
|
|
|
|
0.55 |
% |
7/21/10 |
|
8/20/10 |
|
3,395,622 |
|
3,395,000 |
|
|
|
|
0.65 |
% |
7/19/10 |
|
8/18/10 |
|
5,201,314 |
|
5,200,000 |
|
|
|
|
0.70 |
% |
7/19/10 |
|
8/18/10 |
|
9,303,532 |
|
9,301,000 |
|
|
|
|
0.70 |
% |
7/22/10 |
|
8/23/10 |
|
1,623,347 |
|
1,623,000 |
|
|
|
|
0.70 |
% |
7/30/10 |
|
8/30/10 |
|
4,399,257 |
|
4,399,000 |
|
|
|
|
0.75 |
% |
7/19/10 |
|
8/18/10 |
|
1,371,400 |
|
1,371,000 |
|
|
|
|
0.75 |
% |
7/28/10 |
|
8/27/10 |
|
2,056,214 |
|
2,056,000 |
|
|
Goldman Sachs |
|
0.25 |
% |
7/21/10 |
|
8/19/10 |
|
14,001,167 |
|
14,000,000 |
|
|
Greenwich |
|
0.50 |
% |
7/22/10 |
|
8/23/10 |
|
1,321,202 |
|
1,321,000 |
|
|
|
|
0.938 |
% |
7/19/10 |
|
8/19/10 |
|
2,153,785 |
|
2,153,000 |
|
|
|
|
0.94 |
% |
7/15/10 |
|
8/16/10 |
|
9,598,509 |
|
9,594,000 |
|
|
|
|
0.94 |
% |
7/16/10 |
|
8/17/10 |
|
2,283,013 |
|
2,282,000 |
|
|
|
|
0.941 |
% |
7/12/10 |
|
8/11/10 |
|
5,830,198 |
|
5,827,000 |
|
|
|
|
1.115 |
% |
7/29/10 |
|
8/30/10 |
|
2,786,345 |
|
2,786,000 |
|
|
|
|
1.14 |
% |
7/16/10 |
|
8/17/10 |
|
4,475,408 |
|
4,473,000 |
|
|
|
|
1.141 |
% |
7/12/10 |
|
8/11/10 |
|
3,202,130 |
|
3,200,000 |
|
|
|
|
1.33 |
% |
7/21/10 |
|
8/20/10 |
|
1,897,841 |
|
1,897,000 |
|
|
|
|
1.341 |
% |
7/12/10 |
|
8/11/10 |
|
7,054,514 |
|
7,049,000 |
|
|
JPMorgan Chase |
|
0.70 |
% |
7/26/10 |
|
8/24/10 |
|
14,243,939 |
|
14,242,000 |
|
|
|
|
0.70 |
% |
7/30/10 |
|
8/30/10 |
|
14,326,836 |
|
14,326,000 |
|
|
|
|
0.75 |
% |
7/22/10 |
|
8/23/10 |
|
4,770,093 |
|
4,769,000 |
|
|
|
|
0.75 |
% |
7/26/10 |
|
8/24/10 |
|
7,633,113 |
|
7,632,000 |
|
|
Morgan Stanley |
|
1.00 |
% |
7/2/10 |
|
8/2/10 |
|
5,346,600 |
|
5,342,000 |
|
|
|
|
1.00 |
% |
7/8/10 |
|
8/9/10 |
|
631,440 |
|
631,002 |
|
|
|
|
1.05 |
% |
7/23/10 |
|
8/24/10 |
|
3,107,906 |
|
3,107,000 |
|
|
|
|
1.10 |
% |
7/9/10 |
|
8/10/10 |
|
2,590,899 |
|
2,589,000 |
|
|
|
|
1.10 |
% |
7/19/10 |
|
8/18/10 |
|
8,473,623 |
|
8,470,000 |
|
|
|
|
1.10 |
% |
7/23/10 |
|
8/24/10 |
|
5,956,820 |
|
5,955,000 |
|
|
|
|
|
|
|
|
|
|
|
|
$307,622,386 |
|
The weighted average daily balance of reverse repurchase agreements outstanding during the nine months ended July 31, 2010 was $231,254,782 at a weighted average interest rate of 0.66%. The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated for the benefit of the counterparty as collateral for reverse repurchase agreements) for open reverse repurchase agreements at July 31, 2010 was $351,579,908.
At July 31, 2010, the Fund held $505,000 and $1,024,731 in principal value of Corporate Bonds and U.S. Treasury Bonds, respectively, and $2,634,000 in cash as collateral for open reverse repurchase agreements. Cash collateral received may be invested in accordance with the Fund’s investment strategy. Collateral received as securities will not be pledged.
Fair Value Measurements
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. The three levels of the fair value hierarchy 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 Fund’s own assumptions in determining the fair value of investments)
An investment asset’s or liability’s 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 objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used.
The valuation techniques used by the Fund to measure fair value during the nine months ended July 31, 2010 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized option adjusted spread pricing techniques.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund’s policy is to recognize transfers between levels at the end of the reporting period.
A summary of the inputs used at July 31, 2010 in valuing the Fund’s assets and liabilities is listed below:
|
|
|
|
|
Level 2 - |
|
Level 3 - |
|
|
|
|
|
|
|
|
Other Significant |
|
Significant |
|
|
|
|
|
|
Level 1 - |
|
Observable |
|
Unobservable |
|
Value at |
|
|
|
|
Quoted Prices |
|
Inputs |
|
Inputs |
|
7/31/10 |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
Mortgaged-Backed Securities |
|
— |
|
$321,101,039 |
|
$2,594,176 |
|
$323,695,215 |
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
Airlines |
|
— |
|
16,746,553 |
|
10,013,302 |
|
26,759,855 |
|
|
Utilities |
|
$2,010,000 |
|
— |
|
— |
|
2,010,000 |
|
|
All Other |
|
— |
|
163,379,271 |
|
— |
|
163,379,271 |
|
|
Asset-Backed Securities |
|
— |
|
58,683,280 |
|
— |
|
58,683,280 |
|
|
U.S. Government Agency Securities |
|
— |
|
42,973,376 |
|
— |
|
42,973,376 |
|
|
Senior Loans: |
|
|
|
|
|
|
|
|
|
|
Utilities |
|
1,547,500 |
|
— |
|
— |
|
1,547,500 |
|
|
All Other |
|
— |
|
14,725,692 |
|
— |
|
14,725,692 |
|
|
Convertible Preferred Stock: |
|
|
|
|
|
|
|
|
|
|
Financial Services |
|
14,137,500 |
|
— |
|
— |
|
14,137,500 |
|
|
Utilities |
|
— |
|
1,421,194 |
|
— |
|
1,421,194 |
|
|
Municipal Bonds |
|
— |
|
3,046,149 |
|
— |
|
3,046,149 |
|
|
Sovereign Debt Obligations |
|
— |
|
1,476,542 |
|
— |
|
1,476,542 |
|
|
Preferred Stock |
|
692,060 |
|
— |
|
— |
|
692,060 |
|
|
U.S. Treasury Obligations |
|
— |
|
338,533 |
|
— |
|
338,533 |
|
|
Short-Term Investments |
|
— |
|
28,498,013 |
|
— |
|
28,498,013 |
|
|
Total Investments in Securities - Assets |
|
$18,387,060 |
|
$652,389,642 |
|
$12,607,478 |
|
$683,384,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments*- Assets |
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
— |
|
$1,242,177 |
|
— |
|
$1,242,177 |
|
|
Foreign Exchange Contracts |
|
— |
|
607 |
|
— |
|
607 |
|
|
Total Other Financial Instruments *- Assets |
|
— |
|
$1,242,784 |
|
— |
|
$1,242,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments*- Liabilities |
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
— |
|
$(180,964 |
) |
$(120,711 |
) |
$(301,675 |
) |
|
Foreign Exchange Contracts |
|
— |
|
(1,072,438 |
) |
— |
|
(1,072,438 |
) |
|
Total Other Financial Instruments *- Liabilities |
|
— |
|
$(1,253,402 |
) |
$(120,711 |
) |
$(1,374,113 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments |
|
$18,387,060 |
|
$652,379,024 |
|
$12,486,767 |
|
$683,252,851 |
|
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended July 31, 2010, was as follows:
|
|
|
|
|
|
|
|
|
|
|
Net Change |
|
|
|
|
|
|
|
|
|
|
Beginning |
|
Net |
|
|
|
|
|
in Unrealized |
|
|
|
|
|
|
|
|
|
|
Balance |
|
Purchases(Sales) |
|
Accrued |
|
Net Realized |
|
Appreciation/ |
|
Transfers into |
|
Transfers out |
|
Ending Balance |
|
|
|
|
10/31/09 |
|
and Settlements |
|
Discounts |
|
Gain |
|
Depreciation |
|
Level 3** |
|
of Level 3 |
|
7/31/10 |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgaged-Backed Securities |
|
— |
|
$2,110,550 |
|
$34,049 |
|
— |
|
$449,577 |
|
— |
|
— |
|
$2,594,176 |
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines |
|
$8,058,296 |
|
1,203,403 |
|
110,263 |
|
$44,568 |
|
596,772 |
|
— |
|
— |
|
10,013,302 |
|
|
Total Investments in Securities - Assets |
|
$8,058,296 |
|
$3,313,953 |
|
$144,312 |
|
$44,568 |
|
$1,046,349 |
|
— |
|
— |
|
$12,607,478 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments*- Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
$122,850 |
|
— |
|
— |
|
— |
|
$(182,823 |
) |
$(60,738 |
) |
— |
|
$(120,711 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments |
|
$8,181,146 |
|
$3,313,953 |
|
$144,312 |
|
$44,568 |
|
$863,526 |
|
$(60,738 |
) |
— |
|
$12,486,767 |
|
*Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.
** Transferred into Level 3 from Level 2 because sufficient observable inputs were not available.
The net change in unrealized appreciation/depreciation of Level 3 investments and other financial instruments which the Fund held at July 31, 2010 was $1,066,175 and $(182,823), respectively.
Item 2. Controls and Procedures
(a) The registrant’s President and Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR270.3a-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 registrant’s internal controls over financial reporting (as defined in Rule 30a-3 (d) under the Act (17 CFR270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s 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 24, 2010 |
|
|
|
|
|
|
|
By |
/s/ Lawrence G. Altadonna |
|
|
Treasurer, Principal Financial & Accounting Officer |
|
|
|
|
|
|
|
Date: September 24, 2010 |
|
|
|
|
|
|
|
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 24, 2010 |
|
|
|
|
|
|
|
By |
/s/ Lawrence G. Altadonna |
|
|
Treasurer, Principal Financial & Accounting Officer |
|
|
|
|
|
|
|
Date: September 24, 2010 |
|
|