Investment Company Act file number

811-21311

PIMCO High Income Fund

(Exact name of registrant as specified in charter)

1633 Broadway New York, New York

10019

(Address of principal executive offices)

(Zip code)

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

(Name and address of agent for service)

Registrant’s telephone number, including area code:

212-739-3371

Date of fiscal year end:

March 31, 2013

Date of reporting period:

December 31, 2012

Principal
Amount
(000s)

Value*

CORPORATE BONDS & NOTES - 57.4%

Airlines - 1.3%

American Airlines Pass-Through Trust,

$4,789

10.18%, 1/2/13 (b)(d)(e)

$5,411,262

858

10.375%, 1/2/21

909,307

10,236

United Air Lines Pass-Through Trust, 10.40%, 5/1/18

11,783,445

18,104,014

Auto Manufacturers - 2.9%

Ford Motor Co.,

5,000

7.125%, 11/15/25

5,800,000

5,900

7.50%, 8/1/26

7,035,750

24,131

7.70%, 5/15/97

27,841,141

40,676,891

Banking - 24.8%

5,000

AgFirst Farm Credit Bank, 7.30%, 1/31/13 (a)(b)(c)(f)(h) (acquisition cost - $4,500,000; purchased 12/7/10)

4,999,600

Ally Financial, Inc.,

97

5.85%, 5/15/13

97,184

362

5.90%, 1/15/19 - 2/15/19

357,060

2,960

6.00%, 2/15/19 - 9/15/19

2,928,517

652

6.10%, 9/15/19

641,657

241

6.125%, 10/15/19

239,475

1,620

6.15%, 3/15/16

1,622,356

2,478

6.20%, 3/15/16 - 4/15/19

2,476,276

1,433

6.25%, 3/15/13 - 7/15/19

1,407,914

2,705

6.30%, 3/15/13 - 3/15/16

2,702,922

1,409

6.35%, 2/15/16 - 7/15/19

1,402,275

3,364

6.40%, 3/15/13 - 11/15/19

3,357,069

209

6.45%, 2/15/13

209,664

7,772

6.50%, 2/15/13 - 2/15/20

7,740,108

1,272

6.55%, 10/15/16 - 12/15/19

1,263,270

2,128

6.60%, 8/15/16 - 6/15/19

2,120,086

3,055

6.65%, 4/15/16 - 10/15/18

3,024,146

1,126

6.70%, 5/15/14 - 12/15/19

1,110,191

8,361

6.75%, 4/15/13 - 6/15/19

8,292,182

1,168

6.80%, 4/15/13 - 10/15/18

1,159,132

4,033

6.85%, 4/15/16 - 7/15/16

4,016,736

848

6.875%, 8/15/16 - 7/15/18

842,177

243

6.90%, 6/15/17 - 8/15/18

241,555

30

6.95%, 6/15/17

29,811

7,826

7.00%, 1/15/13 - 6/15/22

7,749,089

515

7.05%, 3/15/18 - 4/15/18

511,761

3,012

7.10%, 1/15/13

3,016,777

253

7.125%, 10/15/17

251,827

1,632

7.15%, 6/15/16 - 9/15/18

1,611,271

43

7.20%, 10/15/17

42,662

4,393

7.25%, 6/15/16 - 9/15/18

4,360,160

80

7.30%, 1/15/18

79,302

257

7.35%, 1/15/17 - 4/15/18

252,523

366

7.375%, 11/15/16 - 4/15/18

364,482

4,618

7.50%, 5/15/16 - 12/15/17

4,602,328

1,324

7.55%, 5/15/16

1,311,480

276

8.00%, 10/15/17 - 11/15/17

275,696

20

8.125%, 11/15/17

19,948

25

8.25%, 3/15/17

24,996

35

8.65%, 8/15/15

35,047

121

9.00%, 7/15/20

124,716

£38,655

Barclays Bank PLC, 14.00%, 6/15/19 (f)

84,166,631

BPCE S.A. (f),

€20,000

9.00%, 3/17/15

28,115,585

4,106

9.25%, 4/22/15

5,729,222

$6,000

12.50%, 9/30/19 (a)(c)

6,969,732

576

12.50%, 9/30/19

669,094

Credit Agricole S.A. (f),

£1,000

8.125%, 10/26/19

1,686,166

$3,100

8.375%, 10/13/19 (a)(c)

3,301,500

LBG Capital No. 1 PLC,

€1,885

7.375%, 3/12/20

2,545,451

£900

7.588%, 5/12/20

1,538,760

3,400

7.869%, 8/25/20

5,901,464

$2,000

8.50%, 12/17/21 (a)(b)(c)(f)(h) (acquisition cost - $1,275,174; purchased 10/22/09)

2,085,000

Principal
Amount
(000s)

Value*

LBG Capital No. 2 PLC,

£284

9.00%, 12/15/19

$498,385

5,500

9.125%, 7/15/20

9,622,250

850

11.25%, 9/14/23

1,561,665

$47,500

Lloyds TSB Bank PLC, 12.00%, 12/16/24 (a)(c)(f)

55,034,735

8,800

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

8,976,000

2,000

Royal Bank of Scotland PLC, 9.50%, 3/16/22 (j)

2,358,758

£21,600

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

37,200,423

6,300

Santander Issuances S.A. Unipersonal, 7.30%, 7/27/19 (converts to FRN on 9/27/14)

10,346,609

345,222,858

Chemicals - 0.4%

$6,000

Perstorp Holding AB, 8.75%, 5/15/17 (a)(c)

6,210,000

Coal - 1.1%

2,720

Murray Energy Corp., 10.25%, 10/15/15 (a)(c)

2,652,000

12,531

Westmoreland Coal Co., 10.75%, 2/1/18

12,656,310

15,308,310

Diversified Financial Services - 10.9%

25,710

AGFC Capital Trust I, 6.00%, 1/15/67 (converts to FRN on 1/15/17) (a)(c)

16,004,475

13,002

ILFC E-Capital Trust I, 1.856%, 12/21/65 (a)(c)(j)

9,929,628

28,430

ILFC E-Capital Trust II, 6.25%, 12/21/65 (converts to FRN on 12/21/15) (a)(c)

24,449,800

18,000

International Lease Finance Corp., 6.98%, 10/15/17 (e)(j)

17,688,979

Springleaf Finance Corp.,

10,000

5.40%, 12/1/15

9,500,000

9,100

6.90%, 12/15/17

8,190,000

385,359

Toll Road Investors Partnership II L.P., zero coupon, 2/15/45 (NPFGC) (a)(b)(c)(h) (acquisition cost - $63,665,029; purchased 11/20/12 - 12/18/12)

65,410,893

151,173,775

Electric Utilities - 4.9%

7,300

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

8,150,450

2,162

Ameren Energy Generating Co., 7.95%, 6/1/32

1,545,830

23,990

Dynegy Roseton LLC / Dynegy Danskammer LLC Pass-Through Trust, 7.67%, 11/8/16, Ser. B (b)(d)

1,139,525

4,455

Energy Future Holdings Corp., 9.75%, 10/15/19

4,945,050

5,445

Energy Future Intermediate Holding Co. LLC, 9.75%, 10/15/19

6,043,950

420

GenOn REMA LLC, 9.237%, 7/2/17

463,144

43,895

NSG Holdings LLC, 7.75%, 12/15/25 (a)(c)

45,431,325

67,719,274

Entertainment - 0.0%

550

Speedway Motorsports, Inc., 8.75%, 6/1/16

590,563

Household Products/Wares - 0.5%

6,300

Reynolds Group Issuer, Inc., 9.00%, 4/15/19

6,583,500

Insurance - 8.6%

American International Group, Inc.,

€8,200

8.00%, 5/22/68 (converts to FRN on 5/22/18)

12,546,767

£28,650

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

56,937,543

6,650

8.625%, 5/22/68 (converts to FRN on 5/22/18) (a)(b)(c)(h) (acquisition cost - $9,722,734; purchased 8/10/10 - 5/4/12)

13,215,869

€23,300

Cloverie PLC for Zurich Insurance Co., Ltd., 12.00%, 7/15/14 (e)(f)

34,728,055

$2,000

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

2,498,454

119,926,688

Oil & Gas - 0.1%

1,000

Cie Generale de Geophysique - Veritas, 7.75%, 5/15/17

1,045,000

Real Estate - 0.6%

5,041

Midwest Family Housing LLC, 6.631%, 1/1/51 (CIFG) (a)(b)(c)(e)(h) (acquisition cost - $4,052,645; purchased 9/25/12)

4,019,447

4,807

Tri-Command Military Housing LLC, 5.383%, 2/15/48 (NPFGC) (a)(b)(c)(h) (acquisition cost - $4,055,093; purchased 9/19/12)

4,233,209

8,252,656

Telecommunications - 1.3%

1,122

CenturyLink, Inc., 7.20%, 12/1/25

1,186,306

15,200

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

16,440,127

17,626,433

Total Corporate Bonds & Notes (cost-$663,903,159)

798,439,962

Principal
Amount
(000s)

Value*

MORTGAGE-BACKED SECURITIES - 12.8%

$1,863

American Home Mortgage Assets LLC, 6.25%, 6/25/37 CMO

$1,131,442

9,139

Banc of America Alternative Loan Trust, 6.00%, 3/25/36 CMO

6,622,980

Banc of America Mortgage Trust, CMO,

66

3.006%, 2/25/36 (j)

55,303

1,596

6.00%, 3/25/37

1,498,790

BCAP LLC Trust, CMO (a)(c)(j),

4,700

5.43%, 3/26/37

653,300

2,088

11.519%, 6/26/36

398,758

Bear Stearns Adjustable Rate Mortgage Trust, CMO (j),

12,728

2.96%, 8/25/35

10,079,058

819

3.099%, 5/25/47

647,676

477

5.262%, 11/25/34

459,057

904

Bear Stearns Alt-A Trust, 3.152%, 11/25/34 CMO (j)

733,416

Chase Mortgage Finance Corp., CMO,

59

2.912%, 12/25/35 (j)

52,014

24

5.50%, 5/25/36

22,966

326

5.769%, 9/25/36 (j)

308,637

Citigroup Mortgage Loan Trust, Inc., CMO (j),

207

2.927%, 7/25/46

163,414

396

2.934%, 7/25/37

312,682

1,493

3.091%, 9/25/37

1,135,065

3,247

5.57%, 8/25/37

2,373,304

3,833

5.727%, 3/25/37

3,608,188

Countrywide Alternative Loan Trust, CMO,

673

2.92%, 2/25/37 (j)

529,313

3,070

4.249%, 7/25/46 (j)

2,300,402

1,507

5.264%, 7/25/21 (j)

1,420,274

647

5.50%, 3/25/36

475,325

1,729

6.00%, 2/25/35

1,545,146

507

6.00%, 11/25/36

364,954

5,202

6.00%, 1/25/37

4,334,619

8,430

6.00%, 2/25/37

6,420,650

4,074

6.00%, 2/25/47

3,061,134

284

6.50%, 6/25/36

192,921

Countrywide Home Loan Mortgage Pass-Through Trust, CMO,

1,186

2.857%, 9/20/36 (j)

721,797

131

3.09%, 9/25/47 (j)

104,710

3,689

5.50%, 10/25/35

3,678,262

4,512

5.75%, 3/25/37

3,935,654

3,510

5.75%, 6/25/37

3,226,385

1,292

6.00%, 5/25/36

1,183,629

809

6.00%, 4/25/37

748,170

12,104

6.00%, 5/25/37

11,025,173

402

6.25%, 9/25/36

347,802

2,680

Credit Suisse Mortgage Capital Certificates, 6.00%, 2/25/37 CMO

2,321,679

176

First Horizon Mortgage Pass-Through Trust, 2.567%, 5/25/37 CMO (j)

131,296

GSR Mortgage Loan Trust, CMO,

1,122

5.50%, 5/25/36

1,000,618

1,198

6.00%, 7/25/37

1,116,475

Harborview Mortgage Loan Trust, CMO (j),

113

5.262%, 8/19/36

91,548

1,073

5.75%, 8/19/36

751,205

15,591

JPMorgan Alternative Loan Trust, 5.65%, 3/25/37 CMO (j)

10,666,603

JPMorgan Mortgage Trust, CMO,

714

5.575%, 1/25/37 (j)

588,400

902

5.75%, 1/25/36

876,944

480

Merrill Lynch Alternative Note Asset, 3.048%, 6/25/37 CMO (j)

301,934

297

Merrill Lynch Mortgage-Backed Securities Trust, 5.018%, 4/25/37 CMO (j)

233,080

Residential Asset Securitization Trust, CMO,

1,809

6.00%, 9/25/36

1,157,798

5,838

6.00%, 5/25/37

5,275,788

1,231

6.25%, 10/25/36

891,508

8,336

6.25%, 9/25/37

5,879,757

573

6.50%, 8/25/36

391,631

4,886

Residential Funding Mortgage Securities I Trust, 6.25%, 8/25/36 CMO

4,453,482

Sequoia Mortgage Trust, CMO (j),

144

2.728%, 1/20/47

115,874

1,866

5.294%, 7/20/37

1,584,960

Structured Adjustable Rate Mortgage Loan Trust, CMO (j),

1,620

5.163%, 4/25/47

1,281,330

407

5.266%, 1/25/36

301,563

9,942

5.458%, 7/25/36

6,603,971

7,509

5.612%, 11/25/36

5,602,773

Suntrust Adjustable Rate Mortgage Loan Trust, CMO (j),

2,506

5.478%, 4/25/37

2,154,899

1,976

5.808%, 2/25/37

1,617,337

WaMu Mortgage Pass-Through Certificates, CMO (j),

255

2.129%, 1/25/37

198,800

Principal
Amount
(000s)

Value*

$218

2.403%, 4/25/37

$163,731

2,014

2.423%, 11/25/36

1,624,194

163

2.426%, 12/25/36

128,656

463

2.496%, 2/25/37

340,169

1,049

2.685%, 2/25/37

842,230

220

2.752%, 3/25/37

195,653

413

4.738%, 5/25/37

319,936

556

4.999%, 2/25/37

456,091

12,353

5.093%, 7/25/37

11,441,941

4,007

6.087%, 10/25/36

3,532,556

Washington Mutual Alternative Mortgage Pass-Through Certificates, CMO,

10,510

6.00%, 6/25/37

8,516,237

6,877

6.50%, 3/25/36

4,008,983

17,956

Wells Fargo Alternative Loan Trust, 6.25%, 7/25/37 CMO

15,165,754

231

Wells Fargo Mortgage-Backed Securities Trust, 3.045%, 9/25/36 CMO (j)

198,233

Total Mortgage-Backed Securities (cost-$163,824,985)

178,397,987

Shares

PREFERRED STOCK - 6.3%

Banking - 4.1%

Ally Financial, Inc. (f),

3,000

7.00%, 1/30/13 (a)(c)

2,946,657

150,000

8.50%, 5/15/16, Ser. A (i)

3,940,500

150,000

Bank of America Corp., 8.20%, 5/1/13, Ser. H (f)

3,840,000

758,600

CoBank Acb, 11.00%, 7/1/13, Ser. C (a)(b)(c)(f)(h) (acquisition cost - $42,106,600; purchased 8/23/10 - 2/1/11)

40,167,870

200,000

GMAC Capital Trust I, 8.125%, 2/15/40, Ser. 2 (i)

5,330,000

56,225,027

Diversified Financial Services - 0.9%

10,000

Farm Credit Bank, 10.00%, 12/15/20, Ser. 1 (f)

12,484,375

Real Estate Investment Trust - 1.3%

14,470

Sovereign Real Estate Investment Trust, 12.00%, 5/16/20 (a)(b)(c)(f)(h) (acquisition cost - $15,965,050; purchased 12/3/09 - 6/6/12)

18,528,560

Total Preferred Stock (cost-$82,889,150)

87,237,962

Principal
Amount
(000s)

ASSET-BACKED SECURITIES - 5.0%

Countrywide Asset-Backed Certificates,

$3,000

5.595%, 8/25/35

2,522,189

13,700

5.884%, 7/25/36

7,056,712

Greenpoint Manufactured Housing (j),

8,388

8.14%, 3/20/30

8,132,263

33,256

8.45%, 6/20/31

31,649,089

GSAA Trust,

637

0.51%, 3/25/37 (j)

357,992

5,401

5.80%, 3/25/37

3,233,744

17,255

Indymac Residential Asset-Backed Trust, 0.37%, 7/25/37 (j)

9,602,935

6,713

JPMorgan Mortgage Acquisition Corp., 5.266%, 1/25/37

5,470,265

2,460

Morgan Stanley Mortgage Loan Trust, 6.25%, 7/25/47 (j)

1,824,475

444

Washington Mutual Asset-Backed Certificates, 0.36%, 5/25/36 (j)

243,633

Total Asset-Backed Securities (cost-$72,162,390)

70,093,297

SHORT-TERM INVESTMENTS - 18.5%

Repurchase Agreements - 17.8%

4,100

Barclays Capital, Inc.,
dated 12/31/12, 0.23%, due 1/2/13, proceeds $4,100,052; collateralized by U.S. Treasury Inflation Indexed Bonds, 3.875%, due 4/15/29, valued at $4,168,945 including accrued interest

4,100,000

50,000

Citigroup Global Markets, Inc.,
dated 12/31/12, 0.25%, due 1/3/13, proceeds $50,000,347; collateralized by U.S. Treasury Notes, 0.25%, due 8/15/15, valued at $51,045,423 including accrued interest

50,000,000

193,700

RBC Capital Markets LLC,
dated 12/31/12, 0.25%, due 1/2/13, proceeds $193,702,690; collateralized by U.S. Treasury Notes, 0.75% - 1.50%, due 7/31/16 — 12/31/17, valued at $197,668,555 including accrued interest

193,700,000

138

State Street Bank and Trust Co.,
dated 12/31/12, 0.01%, due 1/2/13, proceeds $138,000; collateralized by Freddie Mac, 2.10%, due 10/17/22, valued at $144,495 including accrued interest

138,000

Total Repurchase Agreements (cost-$247,938,000)

247,938,000

U.S. Treasury Obligation (g)(k)- 0.7%

10,072

U.S. Treasury Bills, 0.004%-0.066%, 1/3/13-1/17/13 (cost-$10,071,942)

10,071,942

Total Short-Term Investments (cost-$258,009,942)

258,009,942

Total Investments (cost-$1,240,789,626) (l)-100.0%

$1,392,179,150

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. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Centrally cleared swaps are valued at the price determined by the relevant exchange.

The Board of Trustees (the “Board”) has adopted procedures for valuing portfolio securities and other financial derivative instruments in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to Allianz Global Investors Fund Management LLC (“the Investment Manager”) and Pacific Investment Management Company LLC (the “Sub-Adviser”), an affiliate of the Investment Manager. The Fund’s Valuation Committee was established by the Board to oversee the implementation of the Fund’s valuation methods and to make fair value determinations on behalf of the Board, as instructed. The Sub-Adviser monitors the continued appropriateness of methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Sub-Adviser determines that a valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures set forth by the Board. The Board shall review the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Valuation Committee.

Benchmark pricing procedures are used as the basis for setting the base price of a fixed-income security and for subsequently adjusting the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Committee. The validity of the fair value is reviewed by the Sub-Adviser on a periodic basis and may be amended as the availability of market data indicates a material change.

Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days.

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.

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

(a)

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $337,291,262, representing 24.2% of total investments.

(b)

Illiquid.

(c)

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.

(d)

In default.

(e)

Fair-Valued—Securities with an aggregate value of $61,847,743, representing 4.4% of total investments.

(f)

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

(g)

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

(h)

Restricted. The aggregate acquisition cost of such securities is $145,342,325. The aggregate market value is $152,660,448, representing 11.0% of total investments.

(i)

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

(j)

Variable or Floating Rate Security—Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on December 31, 2012.

(k)

Rates reflect the effective yields at purchase date.

(l)

At December 31, 2012, the cost basis of portfolio securities for federal income tax purposes was $1,241,757,240. Gross unrealized appreciation was $165,109,098; gross unrealized depreciation was $14,687,188; and net unrealized appreciation was $150,421,910. The difference between book and tax cost was attributable to wash sale loss deferrals.

Swap Counterparty/
Referenced Debt Issuer

Notional
Amount
(000s)(3)

Credit
Spread (2)

Termination
Date

Payments
Received

Market
Value(4)

Upfront
Premiums
Received

Unrealized
Depreciation

Barclays Bank:

Argentine Republic Government International Bond

$15,000

†

6/20/13

5.00

%

$(1,097,917

)

$(169,109

)

$(928,808

)

BNP Paribas:

Venezuela Government International Bond

30,000

6.41

%

12/20/17

5.00

%

(1,686,450

)

(1,480,517

)

(205,933

)

Deutsche Bank:

Venezuela Government International Bond

10,000

6.41

%

12/20/17

5.00

%

(562,150

)

(493,636

)

(68,514

)

HSBC Bank:

Venezuela Government International Bond

10,000

6.41

%

12/20/17

5.00

%

(562,150

)

(473,812

)

(88,338

)

$(3,908,667

)

$(2,617,074

)

$(1,291,593

)

†

Credit spread not quoted for asset-backed securities.

(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, other deliverable obligations 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. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

(2)

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

(3)

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

(4)

The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at December 31, 2012 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 have 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.

(n)

Interest rate swap agreements outstanding at December 31, 2012:

Notional

Rate Type

Upfront

Swap
Counterparty

Amount
(000s)

Termination
Date

Payments
Made

Payments
Received

Market
Value

Premiums
Paid

Unrealized
Appreciation

Deutsche Bank

$1,330,000

12/18/22

3-Month USD-LIBOR

2.30

%

$5,286,375

$2,945,086

$2,341,289

Morgan Stanley

2,000,000

12/18/22

3-Month USD-LIBOR

2.30

%

7,898,102

5,466,000

2,432,102

$13,184,477

$8,411,086

$4,773,391

Notional

Rate Type

Unrealized

Broker
(Exchange)

Amount
(000s)

Termination
Date

Payments
Made

Payments
Received

Market
Value

Appreciation
(Depreciation)

Barclays Bank (CME)

$200,000

6/16/20

3-Month USD-LIBOR

4.00%

$38,417,314

$3,905,493

Goldman Sachs (CME)

500,000

6/20/17

3-Month USD-LIBOR

3.75%

67,621,618

(3,016,088

)

Goldman Sachs (CME)

500,000

12/18/18

1.25%

3-Month USD-LIBOR

(1,199,365

)

(1,439,365

)

Goldman Sachs (CME)

200,000

12/18/23

2.00%

3-Month USD-LIBOR

2,299,930

(458,070

)

$107,139,497

$(1,008,030

)

(o)

Forward foreign currency contracts outstanding at December 31, 2012:

Counterparty

U.S.$ Value on
Origination Date

U.S.$ Value
December 31, 2012

Unrealized
Appreciation
(Depreciation)

Purchased:

130,709,000 British Pound settling 1/2/13

Goldman Sachs

$212,846,536

$212,330,225

$(516,311

)

32,980,000 Euro settling 1/2/13

Bank of America

43,714,990

43,531,977

(183,013

)

32,981,000 Euro settling 1/2/13

UBS

43,831,749

43,533,297

(298,452

)

Sold:

64,870,000 British Pound settling 1/2/13

BNP Paribas

104,105,322

105,378,066

(1,272,744

)

968,000 British Pound settling 1/2/13

Citigroup

1,561,777

1,572,468

(10,691

)

64,871,000 British Pound settling 1/2/13

Goldman Sachs

103,822,144

105,379,691

(1,557,547

)

130,709,000 British Pound settling 2/4/13

Goldman Sachs

212,824,969

212,311,926

513,043

32,980,000 Euro settling 2/4/13

Bank of America

43,729,336

43,543,850

185,486

65,961,000 Euro settling 1/2/13

BNP Paribas

85,421,804

87,065,274

(1,643,470

)

32,981,000 Euro settling 2/4/13

UBS

43,845,106

43,545,170

299,936

$(4,483,763

)

At December 31, 2012, the Fund held $29,280,000 in cash as collateral and pledged cash collateral of $15,386,000 for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy.

(p)

The weighted average daily balance of reverse repurchase agreements during the nine months ended December 31, 2012 for the Fund was $56,275,171, at a weighted average interest rate of 0.67%. There were no open reverse repurchase agreements at December 31, 2012.

Level 1 -
Quoted Prices

Level 2 -
Other Significant
Observable
Inputs

Level 3 -
Significant
Unobservable
Inputs

Value at
12/31/12

Investments in Securities - Assets

Corporate Bonds & Notes:

Airlines

$—

$—

$18,104,014

$18,104,014

Diversified Financial Services

—

133,484,796

17,688,979

151,173,775

Electric Utilities

—

67,256,130

463,144

67,719,274

Insurance

—

85,198,633

34,728,055

119,926,688

Real Estate

—

4,233,209

4,019,447

8,252,656

All Other

—

433,263,555

—

433,263,555

Mortgage-Backed Securities

—

177,345,929

1,052,058

178,397,987

Preferred Stock:

Banking

13,110,500

43,114,527