Investment Company Act file number

811-21238

PIMCO Corporate & Income Opportunity Fund

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY

10019

(Address of principal executive offices)

(Zip code)

Lawrence G. Altadonna

1633 Broadway, New York, NY 10019

(Name and address of agent for service)

Registrant’s telephone number, including area code:

212-739-3371

Date of fiscal year end:

November 30, 2013

Date of reporting period:

August 31, 2013

Principal
Amount
(000s)

Value*

MORTGAGE-BACKED SECURITIES - 36.7%

American Home Mortgage Assets Trust, CMO,

$885

0.414%, 9/25/46 (j)

$93,202

7,820

6.25%, 6/25/37

4,853,219

Banc of America Alternative Loan Trust, CMO,

517

6.00%, 1/25/36

404,553

7,843

6.00%, 4/25/36

6,992,204

Banc of America Funding Trust, CMO,

977

5.50%, 1/25/36

992,584

11,302

6.00%, 3/25/37

10,015,017

1,335

6.00%, 7/25/37

1,025,286

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

2,133

4.877%, 7/26/37

206,802

4,779

5.406%, 3/26/37

1,333,859

Bear Stearns ALT-A Trust, CMO (j),

9,664

2.723%, 8/25/46

5,684,316

3,416

2.725%, 9/25/35

2,645,291

3,158

2.817%, 8/25/36

2,142,603

1,241

2.841%, 11/25/36

822,885

4,677

5.232%, 9/25/35

3,665,215

Chase Mortgage Finance Trust, CMO,

50

2.867%, 12/25/35 (j)

44,320

4,600

6.00%, 2/25/37

4,107,138

1,002

6.00%, 3/25/37

877,452

3,929

6.00%, 7/25/37

3,522,299

5,980

Citicorp Mortgage Securities Trust, 6.00%, 6/25/36, CMO

6,048,484

10,650

Citigroup Mortgage Loan Trust, Inc., 5.467%, 4/25/37, CMO (j)

9,280,293

CitiMortgage Alternative Loan Trust, CMO,

4,194

5.75%, 4/25/37

3,451,584

18,045

5.75%, 5/25/37

15,108,830

4,209

6.00%, 1/25/37

3,538,670

10,042

6.00%, 6/25/37

8,389,251

Countrywide Alternative Loan Trust, CMO,

48,946

5.066%, 4/25/37, IO (b)(j)

6,270,211

55

5.25%, 5/25/21

54,303

1,370

5.50%, 3/25/35

1,226,729

12,010

5.50%, 9/25/35

10,752,663

400

5.50%, 3/25/36

307,961

1,688

5.75%, 1/25/35

1,603,529

1,947

5.75%, 2/25/35

1,832,955

1,692

6.00%, 2/25/35

1,693,541

3,871

6.00%, 4/25/36

3,239,133

4,188

6.00%, 5/25/36

3,249,089

6,458

6.00%, 2/25/37

5,137,256

14,697

6.00%, 4/25/37

11,581,153

4,195

6.00%, 8/25/37

2,776,106

5,897

6.25%, 10/25/36

4,648,133

6,811

6.25%, 12/25/36 (j)

5,469,342

1,763

6.50%, 8/25/36

1,226,175

993

6.50%, 9/25/36

782,494

4,568

20.958%, 2/25/36 (b)(j)

5,718,108

Countrywide Home Loan Mortgage Pass-Through Trust, CMO,

2,662

5.50%, 10/25/35

2,589,722

2,034

5.50%, 7/25/37

1,742,771

1,110

5.75%, 12/25/35

1,022,185

3,722

5.75%, 3/25/37

3,291,227

2,925

5.75%, 6/25/37

2,636,963

1,680

6.00%, 4/25/36

1,460,011

394

6.00%, 5/25/36

361,365

2,453

6.00%, 2/25/37

2,271,714

6,327

6.00%, 3/25/37

5,663,154

690

6.00%, 4/25/37

625,354

2,730

6.25%, 9/25/36

2,380,790

Credit Suisse Mortgage Capital Certificates Mortgage-Backed Trust, CMO,

4,660

5.75%, 4/25/36

4,005,721

2,199

6.00%, 2/25/37

1,961,791

5,495

6.00%, 6/25/37

4,902,122

2,128

6.50%, 10/25/21

1,800,475

5,208

6.75%, 8/25/36

3,909,457

3,081

Deutsche ALT-B Securities Mortgage Loan Trust, 5.945%, 2/25/36, CMO

2,553,713

5,494

First Horizon Alternative Mortgage Securities Trust, 6.00%, 8/25/36, CMO

4,802,293

GSR Mortgage Loan Trust, CMO,

7,011

2.936%, 3/25/37 (j)

5,492,210

5,486

5.033%, 11/25/35 (j)

5,000,500

$1,374

5.07%, 11/25/35 (j)

$1,341,101

897

5.50%, 5/25/36

821,682

5,692

5.50%, 6/25/36

5,334,671

8,593

IndyMac IMSC Mortgage Loan Trust, 6.50%, 7/25/37, CMO

5,088,090

4,800

JPMorgan Alternative Loan Trust, 6.31%, 8/25/36, CMO

3,513,158

JPMorgan Mortgage Trust, CMO,

6,143

2.795%, 2/25/36 (j)

5,208,076

3,174

4.40%, 1/25/37 (j)

2,640,438

5,219

5.00%, 3/25/37

4,649,544

172

5.097%, 10/25/35 (j)

169,743

2,677

5.211%, 6/25/36 (j)

2,299,718

378

5.75%, 1/25/36

347,036

1,139

6.00%, 8/25/37

1,001,010

Lehman Mortgage Trust, CMO,

3,426

6.00%, 7/25/36

2,645,650

868

6.00%, 7/25/37

741,234

6,468

MASTR Alternative Loans Trust, 6.75%, 7/25/36, CMO

4,643,289

6,221

Merrill Lynch Mortgage Investors Trust, 3.009%, 3/25/36, CMO (j)

4,312,350

10,223

Morgan Stanley Mortgage Loan Trust, 5.049%, 5/25/36, CMO (j)

7,738,459

21,011

New Century Alternative Mortgage Loan Trust, 6.31%, 7/25/36, CMO

14,468,651

RBSSP Resecuritization Trust, CMO (a)(c)(j),

3,609

0.41%, 10/27/36

261,544

8,000

0.43%, 8/27/37

429,468

Residential Accredit Loans, Inc., CMO,

362

0.364%, 6/25/46 (j)

160,514

1,529

0.414%, 5/25/37 (j)

253,816

1,994

6.00%, 6/25/36

1,562,274

8,380

6.00%, 8/25/36

6,484,246

6,389

6.00%, 9/25/36

4,404,363

3,615

6.00%, 12/25/36

2,703,834

6,234

6.00%, 3/25/37

4,864,597

Residential Asset Securitization Trust, CMO,

885

5.75%, 2/25/36

716,561

2,465

6.00%, 2/25/36

1,957,725

1,675

6.00%, 9/25/36

1,059,912

3,890

6.00%, 2/25/37

3,060,187

5,361

6.00%, 3/25/37

4,169,667

7,340

6.00%, 5/25/37

6,400,953

7,707

6.25%, 9/25/37

5,471,247

Residential Funding Mortgage Securities I, CMO,

7,101

6.00%, 1/25/37

6,280,626

4,341

6.25%, 8/25/36

3,988,847

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

10,234

5.177%, 5/25/36

8,509,417

14,252

5.212%, 1/25/36

11,145,474

7,039

5.258%, 7/25/35

6,133,247

3,318

5.442%, 7/25/36

2,977,401

10,628

5.49%, 11/25/36

8,304,756

323

Structured Asset Mortgage Investments, Inc., 0.304%, 8/25/36, CMO (j)

224,574

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

2,181

5.418%, 4/25/37

1,774,724

1,684

5.788%, 2/25/37

1,385,024

Thornburg Mortgage Securities Trust, CMO (j),

2,621

5.75%, 6/25/47

2,396,971

3,214

5.80%, 3/25/37

2,924,029

46,366

WaMu Commercial Mortgage Securities Trust, 5.972%, 3/23/45, CMO (a)(b)(c)(h)(j) (acquisition cost - $47,968,986; purchased 6/18/13 - 8/20/13)

47,815,314

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

4,637

2.223%, 6/25/37

3,767,031

1,768

2.301%, 7/25/37

1,376,208

1,014

2.36%, 12/25/36

844,640

1,200

2.477%, 9/25/36

1,018,953

3,174

4.886%, 2/25/37

2,881,228

5,073

4.898%, 7/25/37

4,766,396

4,318

6.088%, 10/25/36

3,557,454

Washington Mutual Mortgage Pass-Through Certificates, CMO,

558

0.923%, 4/25/47 (j)

25,332

1,913

0.999%, 5/25/47 (j)

167,254

3,608

6.00%, 10/25/35

2,911,895

5,852

6.00%, 3/25/36

5,003,156

4,705

6.00%, 6/25/37

3,881,505

Wells Fargo Alternative Loan Trust, CMO,

3,432

6.00%, 7/25/37

3,187,003

17,902

6.25%, 11/25/37

16,314,705

Wells Fargo Mortgage-Backed Securities Trust, CMO,

7,549

2.619%, 8/25/36 (j)

7,001,694

936

2.709%, 4/25/36 (j)

853,548

2,170

2.716%, 4/25/36 (j)

2,001,269

9,884

5.50%, 1/25/36

9,389,345

2,318

6.00%, 7/25/37

2,225,746

$16,952

6.00%, 8/25/37

$16,285,290

Total Mortgage-Backed Securities (cost-$507,351,761)

523,532,640

CORPORATE BONDS & NOTES - 24.1%

Airlines - 1.2%

2,353

American Airlines Pass-Through Trust, 10.375%, 1/2/21

2,382,846

Continental Airlines Pass-Through Trust,

2,389

6.703%, 12/15/22

2,568,676

698

7.373%, 6/15/17

753,896

1,283

9.798%, 10/1/22

1,405,211

United Air Lines Pass-Through Trust,

2,398

7.336%, 1/2/21 (a)(b)(c)(h) (acquisition cost - $2,397,831; purchased 6/19/07)

2,481,755

7,177

10.40%, 5/1/18

8,047,161

17,639,545

Auto Manufacturers - 2.0%

Daimler Finance North America LLC (a)(c)(j),

13,300

0.886%, 3/28/14

13,327,066

14,700

0.945%, 8/1/16 (b)(h) (acquisition cost - $14,700,000; purchased 7/24/13)

14,710,731

28,037,797

Banking - 7.7%

Ally Financial, Inc.,

1,000

4.50%, 2/11/14

1,011,250

344

5.70%, 12/15/13

344,816

502

5.90%, 12/15/13

502,839

5,968

6.00%, 11/15/13 - 9/15/19

5,975,640

10

6.10%, 9/15/19

10,000

819

6.15%, 9/15/13 - 10/15/19

819,698

1,470

6.20%, 11/15/13 - 4/15/19

1,472,590

3,799

6.25%, 10/15/13 - 5/15/19

3,804,470

1,221

6.30%, 10/15/13 - 3/15/16

1,224,361

2,727

6.35%, 4/15/16 - 4/15/19

2,714,888

348

6.40%, 3/15/16 - 12/15/18

348,703

2,109

6.50%, 11/15/13 - 12/15/18

2,112,231

139

6.55%, 10/15/16

139,014

116

6.60%, 6/15/19

115,221

1,334

6.65%, 6/15/18 - 2/15/20

1,328,706

389

6.70%, 5/15/14 - 6/15/19

387,903

1,335

6.75%, 8/15/16 - 6/15/19

1,336,553

20

6.80%, 10/15/18

19,974

740

6.85%, 4/15/16

740,110

109

6.90%, 6/15/17

108,999

87

6.95%, 6/15/17

87,063

5,946

7.00%, 6/15/17 - 11/15/24

5,943,743

1,240

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

1,240,887

15

7.15%, 9/15/18

15,022

2,575

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

2,579,006

427

7.375%, 4/15/18

425,732

188

7.50%, 6/15/16

188,942

826

7.55%, 5/15/16

828,921

291

8.00%, 11/15/17

291,286

5

8.20%, 3/15/17

5,009

£2,800

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

5,781,412

$2,700

BBVA U.S. Senior s.A.u., 4.664%, 10/9/15

2,794,214

CIT Group, Inc. (a)(c),

2,600

4.75%, 2/15/15

2,691,000

1,200

5.25%, 4/1/14

1,225,500

20,800

Citigroup, Inc., 1.226%, 7/25/16 (j)

20,909,429

5,600

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 11.00%, 6/30/19 (a)(c)(f)

7,291,379

£5,000

LBG Capital No. 1 PLC, 11.04%, 3/19/20

9,062,656

LBG Capital No. 2 PLC,

400

9.125%, 7/15/20

674,598

400

12.75%, 8/10/20

757,494

650

14.50%, 1/30/22

1,374,972

€7,800

15.00%, 12/21/19

14,973,633

£2,000

15.00%, 12/21/19

4,472,435

$1,550

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

1,526,750

109,659,049

Diversified Financial Services - 6.6%

14,700

American Express Credit Corp., 0.774%, 7/29/16 (j)

14,740,087

General Electric Capital Corp.,

4,600

0.422%, 12/28/18 (j)

4,431,700

25,000

6.375%, 11/15/67 (converts to FRN on 11/15/17)

26,468,750

$10,000

Glen Meadow Pass-Through Trust, 6.505%, 2/12/67 (converts to FRN on 2/15/17) (a)(b)(c)(h) (acquisition cost - $7,700,000; purchased 2/18/10)

$9,500,000

International Lease Finance Corp.,

1,700

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

1,865,750

2,000

8.625%, 9/15/15

2,202,500

SLM Corp.,

2,300

0.566%, 1/27/14 (j)

2,288,525

10,000

3.512%, 9/15/15 (j)

9,784,000

1,850

3.875%, 9/10/15

1,891,625

600

5.05%, 11/14/14

619,500

Springleaf Finance Corp.,

4,300

5.40%, 12/1/15

4,396,750

16,000

6.50%, 9/15/17

16,000,000

94,189,187

Electric Utilities - 1.1%

4,200

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

104,481

4,102

Energy Future Intermediate Holding Co. LLC, 10.00%, 12/1/20 (a)(c)

4,332,737

Red Oak Power LLC,

5,545

8.54%, 11/30/19

5,905,758

5,000

9.20%, 11/30/29

5,550,000

15,892,976

Home Builders - 0.1%

1,800

Hampton Roads PPV LLC, 6.171%, 6/15/53 (a)(b)(c)(h) (acquisition cost - $1,710,198; purchased 9/25/12)

1,574,514

Insurance - 2.5%

American International Group, Inc.,

€21,200

8.00%, 5/22/68 (converts to FRN on 5/22/18) (a)(b)(c)(h) (acquisition cost - $25,155,715; purchased 2/8/12)

32,330,399

$2,893

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

3,406,508

35,736,907

Miscellaneous Manufacturing - 0.4%

5,000

Bombardier, Inc., 4.25%, 1/15/16 (a)(c)

5,193,750

Telecommunications - 2.5%

20,600

CenturyLink, Inc., 7.60%, 9/15/39

18,694,500

15,730

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

16,535,907

35,230,407

Total Corporate Bonds & Notes (cost-$321,948,635)

343,154,132

SOVEREIGN DEBT OBLIGATIONS - 13.1%

Brazil - 10.3%

Brazil Notas do Tesouro Nacional, Ser. F,

BRL53,578

10.00%, 1/1/17

21,455,694

265,832

10.00%, 1/1/21

101,425,587

62,628

10.00%, 1/1/23

23,486,065

146,367,346

Spain - 2.8%

Autonomous Community of Catalonia,

€8,800

3.875%, 4/7/15

11,603,770

1,400

3.875%, 9/15/15

1,851,235

20,105

Autonomous Community of Valencia Spain, 4.375%, 7/16/15

26,802,043

40,257,048

Total Sovereign Debt Obligations (cost-$213,727,744)

186,624,394

MUNICIPAL BONDS - 4.8%

California - 4.4%

$3,400

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

3,554,972

6,480

Los Angeles Community Redev. Agcy., Tax Allocation, 6.02%, 9/1/21, Ser. L (NPFGC)

6,376,450

3,425

Riverside Cnty. Economic Dev. Agcy., Tax Allocation, 7.50%, 10/1/30, Ser. A-T

3,588,852

21,545

San Diego Redev. Agcy., Tax Allocation, 7.75%, 9/1/40, Ser. A

22,510,431

28,500

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

25,782,810

61,813,515

Texas - 0.4%

6,075

State Public Finance Auth. Charter School Finance Corp. Rev., 8.125%, 2/15/27, Ser. O

6,216,851

Total Municipal Bonds (cost-$70,288,539)

68,030,366

ASSET-BACKED SECURITIES - 4.2%

$140

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, 1.534%, 3/25/33 (j)

$120,687

7,900

Countrywide Asset-Backed Certificates, 5.519%, 10/25/46 (j)

6,485,481

437

Credit-Based Asset Servicing and Securitization LLC, 4.547%, 12/25/35

414,154

Greenpoint Manufactured Housing (j),

3,945

8.14%, 3/20/30

4,060,342

8,300

8.30%, 10/15/26

9,106,063

6,125

8.45%, 6/20/31

5,906,290

3,920

GSAA Home Equity Trust, 6.295%, 6/25/36

2,180,321

2,198

GSAA Trust, 5.80%, 3/25/37

1,313,128

4,846

IndyMac Residential Asset-Backed Trust, 0.344%, 7/25/37 (j)

2,986,115

JPMorgan Mortgage Acquisition Trust,

10,400

5.308%, 11/25/36

9,476,023

190

5.83%, 7/25/36

115,219

2,140

Mid-State Trust IV, 8.33%, 4/1/30

2,268,997

3,183

Mid-State Trust VII, 6.34%, 10/15/36

3,376,150

2,264

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

1,708,208

Renaissance Home Equity Loan Trust,

12,162

5.612%, 4/25/37

6,799,647

4,000

7.238%, 9/25/37

2,407,284

1,370

Structured Asset Investment Loan Trust, 1.114%, 9/25/34 (j)

1,186,882

Total Asset-Backed Securities (cost-$58,293,329)

59,910,991

Shares

PREFERRED STOCK - 4.0%

Banking - 0.6%

323,868

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

8,585,741

Diversified Financial Services - 3.4%

570,000

Citigroup Capital XIII, 7.875%, 10/30/40 (i)

15,675,000

Farm Credit Bank,

180,000

6.75%, 9/15/23 (a)(b)(c)(f)(h)(i) (acquisition cost - $18,000,000; purchased 7/16/13)

18,078,750

12,000

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

14,242,500

47,996,250

Total Preferred Stock (cost-$54,179,814)

56,581,991

Principal
Amount
(000s)

U.S. GOVERNMENT AGENCY SECURITIES (b)- 1.6%

Fannie Mae, CMO, IO,

$19,238

3.50%, 12/25/32 - 2/25/43

3,741,474

8,706

4.00%, 12/25/42

1,868,942

15,465

6.066%, 8/25/41 (j)

3,181,265

6,850

6.416%, 4/25/41 (j)

1,419,603

Freddie Mac, CMO, IO,

35,146

3.00%, 5/15/27

4,052,979

15,900

3.50%, 12/15/32

2,617,344

4,248

4.00%, 11/15/39

760,978

9,389

5.816%, 8/15/42 (j)

2,047,066

1,704

6.956%, 8/15/36 (j)

306,861

Ginnie Mae, CMO, IO,

16,275

3.50%, 9/16/41 - 3/20/43

2,749,368

4,075

4.00%, 5/16/42

773,838

Total U.S. Government Agency Securities (cost-$22,829,782)

23,519,718

SHORT-TERM INVESTMENTS - 11.5%

Repurchase Agreements - 10.1%

5,700

Banc of America Securities LLC,
dated 8/30/13, 0.07%, due 9/3/13, proceeds $5,700,044; collateralized by U.S. Treasury Notes, 0.75%, due 10/31/17, valued at $5,823,354 including accrued interest

5,700,000

13,800

Citigroup Global Markets, Inc.,
dated 8/30/13, 0.07% - 0.08%, due 9/3/13, proceeds $13,800,113; collateralized by Freddie Mac, 1.62%, due 11/21/19, valued at $5,621,802 including accrued interest and U.S. Treasury Notes, 1.00%, due 8/31/16, valued at $8,428,349 including accrued interest

13,800,000

100,000

RBC Capital Markets LLC,
dated 8/30/13, 0.07%, due 9/3/13, proceeds $100,000,778; collateralized by U.S. Treasury Notes, 0.625%, due 5/31/17, valued at $101,947,744 including accrued interest

100,000,000

$2,916

State Street Bank and Trust Co.,
dated 8/30/13, zero coupon, due 9/3/13, proceeds $2,916,000; collateralized by Fannie Mae, 2.12%, due 11/7/22, valued at $2,975,110 including accrued interest

$2,916,000

21,000

TD Securities (USA) LLC,
dated 8/30/13, 0.07%, due 9/3/13, proceeds $21,000,163; collateralized by U.S. Treasury Notes, 0.25%, due 5/15/16, valued at $21,425,003 including accrued interest

21,000,000

Total Repurchase Agreements (cost-$143,416,000)

143,416,000

U.S. Treasury Obligations (g)(k)- 1.3%

18,556

U.S. Treasury Bills, 0.022%-0.122%, 9/5/13-5/1/14 (cost-$18,554,685)

18,555,098

U.S. Government Agency Securities - 0.1%

2,200

Federal Home Loan Bank Discount Notes, 0.051%, 11/27/13 (k) (cost-$2,199,740)

2,199,947

Total Short-Term Investments (cost-$164,170,425)

164,171,045

Total Investments (cost-$1,412,790,029) (l)-100.0%

$1,425,525,277

*

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 Management Company LLC (the “Sub-Adviser”). 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 investments may differ from the value that would be realized if the investments 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 $164,650,318, representing 11.6% 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—Security with a value of $104,481, representing less than 0.05% 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 $117,632,730. The aggregate value is $126,491,463, representing 8.9% of total investments.

(i)

Dividend rate is 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 August 31, 2013.

(k)

Rates reflect the effective yields at purchase date.

(l)

At August 31, 2013, the cost basis of portfolio securities of $1,412,790,029 was substantially the same for both federal income tax and bank purposes. Gross unrealized appreciation was $55,024,048; gross unrealized depreciation was $42,288,800; and net unrealized appreciation was $12,735,248.

(m)

Transactions in options written for the nine months ended August 31, 2013:

Notional
Amount
(000s)

Premiums

Options outstanding, November 30, 2012

—

—

Options written

$200,000

$451,000

Options expired

(200,000

)

(451,000

)

Options outstanding, August 31, 2013

$—

$—

(n)

Interest rate swap agreements outstanding at August 31, 2013:

Notional

Rate Type

Upfront

Unrealized

Swap
Counterparty

Amount
(000s)

Termination
Date

Payments
Made

Payments
Received

Value

Premiums
Paid (Received)

Appreciation
(Depreciation)

Deutsche Bank

$967,300

11/20/18

3-Month USD-LIBOR

2.05

%

$2,324,686

$(1,710,463

)

$4,035,149

Goldman Sachs

750,000

9/5/18

3-Month USD-LIBOR

1.65

%

(2,470,952

)

221,939

(2,692,891

)

JPMorgan Chase

507,000

9/5/18

3-Month USD-LIBOR

1.65

%

(1,670,362

)

463,770

(2,134,132

)

$(1,816,628

)

$(1,024,754

)

$(791,874

)

Notional

Rate Type

Unrealized

Broker (Exchange)

Amount
(000s)

Termination
Date

Payments
Made

Payments
Received

Value

Appreciation
(Depreciation)

Goldman Sachs (CME)

$151,000

6/19/43

2.75

%

3-Month USD-LIBOR

$26,594,542

$15,953,343

Morgan Stanley (CME)

105,600

12/18/43

3.50

%

3-Month USD-LIBOR

5,011,192

(2,423,048

)