Investment Company Act file number

811-10555

PIMCO Corporate & Income Strategy Fund

(Exact name of registrant as specified in charter)

1633 Broadway, New York, New York

10019

(Address of principal executive offices)

(Zip code)

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

(Name and address of agent for service)

Registrant’s telephone number, including area code:

212-739-3371

Date of fiscal year end:

October 31, 2014

Date of reporting period:

January 31, 2014

Principal
Amount
(000s)

Value*

MORTGAGE-BACKED SECURITIES - 39.0%

$314

American Home Mortgage Assets Trust, 0.388%, 9/25/46, CMO (h)

$25,216

Banc of America Alternative Loan Trust, CMO,

9,275

5.50%, 10/25/35

8,456,292

254

6.00%, 1/25/36

205,171

Banc of America Funding Trust, CMO,

5,144

6.00%, 3/25/37

4,681,265

665

6.00%, 7/25/37

511,539

Banc of America Mortgage Trust, CMO,

4,700

5.50%, 11/25/35

4,676,091

1,146

6.00%, 3/25/37

1,088,788

397

6.50%, 9/25/33

411,198

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

2,500

5.429%, 3/26/37 (h)

744,185

1,917

17.00%, 7/26/36

1,956,404

10,883

Bear Stearns Adjustable Rate Mortgage Trust, 2.733%, 8/25/35, CMO (h)

9,456,305

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

2,420

2.591%, 11/25/36

1,712,367

1,578

2.746%, 9/25/35

1,302,076

1,544

2.749%, 8/25/36

1,141,686

2,797

Bear Stearns Mortgage Funding Trust, 7.00%, 8/25/36, CMO

2,306,787

Chase Mortgage Finance Trust, CMO,

23

2.533%, 12/25/35 (h)

20,377

1,813

6.00%, 7/25/37

1,666,621

2,941

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

3,076,944

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

1,735

5.256%, 8/25/35

1,725,983

735

5.487%, 4/25/37

652,844

9,412

5.686%, 9/25/37

7,922,605

CitiMortgage Alternative Loan Trust, CMO,

8,742

5.75%, 5/25/37

7,488,040

5,457

6.00%, 1/25/37

4,561,334

4,806

6.00%, 6/25/37

4,102,407

Countrywide Alternative Loan Trust, CMO,

673

5.50%, 3/25/35

608,093

306

5.50%, 3/25/36

243,252

3,755

5.50%, 5/25/36

2,877,761

862

5.75%, 1/25/35

836,055

982

5.75%, 2/25/35

948,162

1,542

5.75%, 3/25/37

1,291,010

2,070

6.00%, 2/25/35

2,168,381

10,702

6.00%, 4/25/36

9,620,535

9,993

6.00%, 2/25/37

7,627,020

2,390

6.00%, 4/25/37

1,952,471

3,599

6.00%, 5/25/37

2,883,211

865

6.00%, 7/25/37

796,554

2,038

6.00%, 8/25/37

1,413,295

2,779

6.25%, 12/25/36 (h)

2,316,855

936

6.50%, 8/25/36

663,507

Countrywide Home Loan Mortgage Pass-Through Trust, CMO,

547

2.579%, 9/20/36 (h)

398,614

1,134

5.50%, 10/25/35

1,122,368

1,703

5.75%, 3/25/37

1,544,385

1,113

6.00%, 2/25/37

1,046,493

1,046

6.00%, 3/25/37

971,491

333

6.00%, 4/25/37

307,926

10,168

6.00%, 7/25/37

8,592,586

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

2,933

5.863%, 2/25/37 (h)

1,724,453

1,027

6.00%, 2/25/37

899,063

2,506

6.00%, 6/25/37

2,294,095

2,641

6.75%, 8/25/36

2,060,587

1,531

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

1,251,791

10,072

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

9,036,351

GSR Mortgage Loan Trust, CMO,

1,205

2.563%, 8/25/34 (h)

1,123,654

1,985

5.03%, 11/25/35 (h)

1,977,355

1,240

5.50%, 5/25/36

1,190,575

6,420

6.00%, 2/25/36

5,963,739

4,292

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

3,047,824

JPMorgan Alternative Loan Trust, CMO,

3,545

3.014%, 3/25/37 (h)

2,743,570

3,693

6.00%, 12/25/35

3,366,410

2,500

6.31%, 8/25/36

1,884,702

JPMorgan Mortgage Trust, CMO,

1,535

2.566%, 1/25/37 (h)

1,336,833

6,887

2.625%, 2/25/36 (h)

6,183,648

2,658

5.00%, 3/25/37

2,463,853

192

5.75%, 1/25/36

180,426

502

6.00%, 8/25/37

450,706

Lehman Mortgage Trust, CMO,

1,745

6.00%, 7/25/36

1,393,912

570

6.00%, 7/25/37

503,945

3,251

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

2,370,347

1,252

Merrill Lynch Mortgage Investors Trust, 2.912%, 3/25/36, CMO (h)

885,082

Morgan Stanley Mortgage Loan Trust, CMO,

5,020

4.987%, 5/25/36 (h)

3,931,629

3,965

6.00%, 2/25/36

3,930,064

8,036

New Century Alternative Mortgage Loan Trust, 6.173%, 7/25/36, CMO (h)

5,765,631

Residential Accredit Loans, Inc., CMO,

591

0.388%, 5/25/37 (h)

90,543

4,383

3.432%, 12/26/34 (h)

3,698,566

2,244

6.00%, 6/25/36

1,832,056

4,186

6.00%, 8/25/36

3,319,517

3,492

6.00%, 9/25/36

2,541,509

4,514

6.00%, 12/25/36

3,593,212

1,566

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

1,595,665

Residential Asset Securitization Trust, CMO,

3,051

5.24%, 6/25/46 (h)

2,242,346

1,229

6.00%, 2/25/36

1,006,892

802

6.00%, 9/25/36

526,266

2,520

6.00%, 3/25/37

1,938,157

3,508

6.00%, 5/25/37

3,167,863

3,846

6.25%, 9/25/37

3,080,400

Residential Funding Mortgage Securities I, CMO,

3,294

3.427%, 2/25/37 (h)

2,617,817

1,642

6.00%, 1/25/37

1,529,817

2,085

6.25%, 8/25/36

1,888,375

313

6.50%, 3/25/32

330,322

Sequoia Mortgage Trust, CMO (h),

764

2.449%, 2/20/47

654,539

1,527

5.169%, 7/20/37

1,387,138

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

5,221

2.462%, 11/25/36

4,196,433

7,598

4.937%, 3/25/37

5,745,559

4,807

5.057%, 5/25/36

4,098,234

4,283

5.071%, 1/25/36

3,362,748

2,248

5.203%, 7/25/35

1,984,327

1,626

5.32%, 7/25/36

1,497,288

9,323

5.353%, 7/25/36

6,595,935

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

795

3.179%, 2/25/37

679,179

1,428

5.082%, 4/25/37

1,200,832

11,505

WaMu Commercial Mortgage Securities Trust, 5.749%, 3/23/45, CMO (a)(c)(h)

11,862,761

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

892

2.266%, 7/25/37

756,313

606

2.362%, 9/25/36

543,266

877

2.51%, 2/25/37

786,256

184

2.523%, 3/25/37

173,932

1,444

4.737%, 2/25/37

1,357,415

2,417

4.766%, 7/25/37

2,249,581

5,180

6.087%, 10/25/36

4,394,381

Washington Mutual Mortgage Pass-Through Certificates, CMO,

200

0.90%, 4/25/47 (h)

18,328

788

0.975%, 5/25/47 (h)

92,778

3,629

6.00%, 10/25/35

2,784,158

1,302

6.00%, 6/25/37

1,097,377

1,648

Wells Fargo Alternative Loan Trust, 6.00%, 7/25/37, CMO

1,573,680

Wells Fargo Mortgage-Backed Securities Trust, CMO,

185

2.616%, 5/25/36 (h)

172,237

8,206

2.616%, 8/25/36 (h)

7,864,545

456

2.623%, 4/25/36 (h)

446,916

971

2.685%, 7/25/36 (h)

898,949

1,055

5.581%, 10/25/36 (h)

1,023,932

1,064

6.00%, 7/25/37

1,031,850

Total Mortgage-Backed Securities (cost-$277,014,879)

293,612,985

MUNICIPAL BONDS - 24.4%

California - 10.3%

4,200

City & Cnty. of San Francisco, Capital Improvement Projects, CP, 6.487%, 11/1/41, Ser. D

4,596,522

12,300

Infrastructure & Economic Dev. Bank Rev., 6.486%, 5/15/49

14,040,819

1,800

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

1,894,374

20,300

Los Angeles Department of Water & Power Rev., 6.166%, 7/1/40

21,923,188

20,900

Metropolitan Water Dist. of Southern California Rev., 6.947%, 7/1/40, Ser. A

23,641,871

1,220

Riverside Cnty. Economic Dev. Agcy., Tax Allocation, 7.75%, 10/1/37, Ser. A-T

1,289,857

2,000

State Univ. Rev., 6.484%, 11/1/41

2,337,600

7,400

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

7,542,968

77,267,199

Georgia - 1.2%

8,300

Municipal Electric Auth. of Georgia Rev., 6.655%, 4/1/57

9,076,216

Illinois - 5.2%

12,700

Chicago, GO, 7.517%, 1/1/40

14,027,531

23,200

Municipal Electric Agcy. Rev., 6.832%, 2/1/35

25,394,256

39,421,787

Louisiana - 0.3%

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

800

8.30%, 12/1/29

926,600

820

8.55%, 12/1/34

959,966

1,886,566

Nebraska - 2.0%

14,000

Public Power Generation Agcy. Rev., 7.242%, 1/1/41

15,306,760

Nevada - 1.5%

10,485

Las Vegas Valley Water Dist., GO, 5.65%, 3/1/35

11,344,455

New Jersey - 0.0%

500

Tobacco Settlement Financing Corp. Rev., 5.00%, 6/1/41, Ser. 1-A

369,290

Ohio - 1.9%

10,300

American Municipal Power, Inc. Rev., Comb Hydroelectric Projects, 8.084%, 2/15/50, Ser. B

14,000,790

Texas - 2.0%

12,800

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

15,088,768

Total Municipal Bonds (cost-$175,175,286)

183,761,831

CORPORATE BONDS & NOTES - 17.1%

Airlines - 0.7%

1,535

Continental Airlines Pass-Through Trust, 9.798%, 10/1/22

1,734,985

3,099

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

3,517,414

5,252,399

Auto Manufacturers - 1.1%

Ford Motor Co.,

5,700

7.70%, 5/15/97

6,477,338

1,500

9.98%, 2/15/47

2,142,444

8,619,782

Banking - 8.3%

2,000

Ally Financial, Inc., 8.30%, 2/12/15

2,132,500

5,000

BPCE S.A., 12.50%, 9/30/19 (a)(c)(d)

6,662,500

1,750

Citigroup, Inc., 6.125%, 8/25/36

1,885,140

LBG Capital No. 1 PLC,

€300

7.375%, 3/12/20

433,884

£100

7.588%, 5/12/20

175,897

200

7.867%, 12/17/19

351,794

400

7.869%, 8/25/20

707,852

$7,800

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

8,363,550

8,500

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

9,103,143

£300

11.04%, 3/19/20

573,310

LBG Capital No. 2 PLC,

€400

8.875%, 2/7/20

613,065

£3,100

9.125%, 7/15/20

5,577,564

500

9.334%, 2/7/20

910,309

$2,600

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

3,588,000

3,600

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

3,838,500

19,100

Wachovia Capital Trust III, 5.57%, 3/3/14 (d)

17,954,000

62,871,008

Diversified Financial Services - 2.2%

2,300

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

1,943,500

7,200

Army Hawaii Family Housing Trust Certificates, 5.524%, 6/15/50 (NPFGC) (a)(b)(c)(f) (acquisition cost - $7,128,000; purchased 11/18/13)

7,230,672

1,900

General Electric Capital Corp., 6.375%, 11/15/67 (converts to FRN on 11/15/17)

2,068,625

5,118

GSPA Monetization Trust, 6.422%, 10/9/29 (a)(b)(c)(f) (acquisition cost - $5,057,096; purchased 9/23/13)

4,950,642

16,193,439

Electric Utilities - 0.4%

2,526

Bruce Mansfield Unit, 6.85%, 6/1/34

2,712,034

632

FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (a)(b)(c)(f) (acquisition cost - $647,513; purchased 8/25/04)

625,403

3,337,437

Healthcare-Services - 0.5%

3,600

HCA, Inc., 8.50%, 4/15/19

3,801,600

Insurance - 0.8%

3,400

AIG Life Holdings, Inc., 7.57%, 12/1/45 (a)(b)(c)(f) (acquisition cost - $3,885,360; purchased 7/26/11 - 1/23/13)

3,910,000

1,400

American International Group, Inc., 8.175%, 5/15/68 (converts to FRN on 5/15/38)

1,746,500

5,656,500

Lodging - 0.4%

2,049

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

2,669,643

Miscellaneous Manufacturing - 0.3%

2,300

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

2,392,000

Oil & Gas - 0.5%

3,460

Anadarko Petroleum Corp., 7.00%, 11/15/27

3,806,716

Telecommunications - 1.9%

8,200

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

8,707,271

5,360

Qwest Corp., 7.20%, 11/10/26

5,419,094

14,126,365

Total Corporate Bonds & Notes (cost-$114,959,445)

128,726,889

U.S. GOVERNMENT AGENCY SECURITIES - 5.7%

Fannie Mae, CMO, IO,

86,905

3.00%, 2/25/43

17,290,147

23,019

3.50%, 3/25/42 - 2/25/43

4,297,692

3,393

6.442%, 4/25/41 (h)

682,046

Freddie Mac, CMO, IO,

77,988

3.00%, 2/15/33 - 12/15/42

14,786,787

6,712

3.50%, 9/15/42

1,233,599

8,847

4.50%, 10/15/42

1,852,512

4,773

5.84%, 8/15/42 (h)

1,080,887

11,034

Ginnie Mae, 4.00%, 5/16/42 - 8/16/42, CMO, IO

1,934,785

Total U.S. Government Agency Securities (cost-$39,208,583)

43,158,455

ASSET-BACKED SECURITIES - 3.6%

455

Bear Stearns Asset-Backed Securities Trust, 6.50%, 10/25/36

394,338

Countrywide Asset-Backed Certificates (h),

3,373

5.394%, 7/25/36

3,358,754

10,805

5.407%, 10/25/46

8,903,390

2,029

Greenpoint Manufactured Housing, 8.14%, 3/20/30 (h)

2,087,034

1,988

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

1,183,621

8,400

JP Morgan Mortgage Acquisition Trust, 5.233%, 1/25/37

6,108,564

2,267

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

2,346,973

1,546

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

1,637,756

1,149

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

882,659

Total Asset-Backed Securities (cost-$26,956,430)

26,903,089

Shares

PREFERRED STOCK - 0.4%

Diversified Financial Services - 0.4%

120,000

Citigroup Capital XIII, 7.875%, 10/30/40 (g) (cost-$3,428,400)

3,255,600

Principal
Amount
(000s)

SHORT-TERM INVESTMENTS - 9.8%

Repurchase Agreements - 9.6%

$28,000

Barclays Capital, Inc.,
dated 1/31/14, 0.04%, due 2/3/14, proceeds $28,000,093; collateralized by U.S. Treasury Notes, 0.875%, due 1/31/17, valued at $28,557,452 including accrued interest

28,000,000

8,300

Citigroup Global Markets, Inc.,
dated 1/31/14, 0.04%, due 2/3/14, proceeds $8,300,028; collateralized by U.S. Treasury Notes, 1.00%, due 6/30/19, valued at $8,475,600 including accrued interest

8,300,000

23,000

Deutsche Bank Securities, Inc.,
dated 1/31/14, 0.03%, due 2/3/14, proceeds $23,000,058; collateralized by U.S. Treasury Notes, 1.75%, due 10/31/20, valued at $23,492,040 including accrued interest

23,000,000

11,100

Morgan Stanley & Co., Inc.,
dated 1/31/14, 0.04%, due 2/3/14, proceeds $11,100,037; collateralized by U.S. Treasury Notes, 2.125%, due 8/31/20, valued at $11,331,736 including accrued interest

11,100,000

1,942

State Street Bank and Trust Co.,
dated 1/31/14, 0.00%, due 2/3/14, proceeds $1,942,000; collateralized by Fannie Mae, 2.17%, due 10/17/22, valued at $1,981,986 including accrued interest

1,942,000

Total Repurchase Agreements (cost-$72,342,000)

72,342,000

U.S. Treasury Obligations (e)(i)- 0.2%

1,190

U.S. Treasury Bills, 0.038%-0.115%, 7/3/14-12/11/14 (cost-$1,189,697)

1,189,697

Total Short-Term Investments (cost-$73,531,697)

73,531,697

Total Investments (cost-$710,274,720) (j)-100.0%

$752,950,546

*

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 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”). 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.

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 $66,002,403, representing 8.8% 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)

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.

(e)

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

(f)

Restricted. The aggregate acquisition cost of such securities is $16,717,969. The aggregate value is $16,716,717, representing 2.2% of total investments.

(g)

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

(h)

Variable or Floating Rate Security—Securities with an interest rate that changes periodically.  The interest rate disclosed reflects the rate in effect on January 31, 2014.

(i)

Rates reflect the effective yields at purchase date.

(j)

At January 31, 2014, the cost basis of portfolio securities for federal income tax purposes was $710,510,162. Gross unrealized appreciation was $45,234,667; gross unrealized depreciation was $2,794,283; and net unrealized appreciation was $42,440,384. The difference between book and tax cost was attributable to the differing treatment of bond amortization/accretion.

(k)

Interest rate swap agreements outstanding at January 31, 2014:

Notional

Rate Type

Upfront

Swap

Amount

Termination

Payments

Payments

Premiums

Unrealized

Counterparty

(000s)

Date

Made

Received

Value

Paid

Appreciation

Bank of America

$142,600

4/30/19

3-Month USD-LIBOR

1.90

%

$549,523

$193,512

$356,011

Deutsche Bank

142,600

4/30/19

3-Month USD-LIBOR

1.90

%

549,522

179,252

370,270

JPMorgan Chase

304,900

4/30/19

3-Month USD-LIBOR

1.90

%

1,174,958

412,155

762,803

Morgan Stanley

400,000

4/30/19

3-Month USD-LIBOR

1.90

%

1,541,436

333,061

1,208,375

$3,815,439

$1,117,980

$2,697,459

Notional

Rate Type

Unrealized

Amount

Termination

Payments

Payments

Appreciation

Broker (Exchange)

(000s)

Date

Made

Received

Value

(Depreciation)

Goldman Sachs (CME)

$66,600

6/18/44

3.50%

3-Month USD-LIBOR

$2,179,014

$(1,391,137

)

Morgan Stanley (CME)

209,000

6/18/43

3.75%

3-Month USD-LIBOR

(3,376,775

)

(4,244,449

)

Morgan Stanley (CME)

209,000

6/19/44

3-Month USD-LIBOR

3.50%

(3,422,180

)

3,395,947

$(4,619,941

)

$(2,239,639

)

(l)

Forward foreign currency contracts outstanding at January 31, 2014:

Counterparty

U.S.$ Value on
Origination Date

U.S.$ Value
January 31, 2014

Unrealized
Appreciation
(Depreciation)

Purchased:

5,069,000 British Pound settling 2/4/14

Bank of America

$8,406,161

$8,332,922

$(73,239

)

21,831,000 British Pound settling 2/4/14

Credit Suisse First Boston

36,002,397

35,887,952

(114,445

)

327,000 Canadian Dollar settling 3/20/14

Citigroup

308,108

293,292

(14,816

)

761,000 Euro settling 2/4/14

Credit Suisse First Boston

1,039,526

1,026,360

(13,166

)

Sold:

5,069,000 British Pound settling 3/4/14

Bank of America

8,404,402

8,331,199

73,203

26,900,000 British Pound settling 2/4/14

Barclays Bank

43,783,193

44,220,874

(437,681

)

761,000 Euro settling 2/4/14

BNP Paribas

1,046,352

1,026,360

19,992

761,000 Euro settling 3/4/14

Credit Suisse First Boston

1,039,499

1,026,368

13,131

$(547,021

)

(m)

At January 31, 2014, the Fund held $5,295,000 in cash as collateral and pledged cash collateral of $4,751,000 for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy.

Level 1 -
Quoted Prices

Level 2 -
Other Significant
Observable
Inputs

Level 3 -
Significant
Unobservable
Inputs

Value at
1/31/14

Investments in Securities - Assets

Mortgage-Backed Securities

$—

$293,612,985

$—

$293,612,985

Municipal Bonds

—

183,761,831

—

183,761,831

Corporate Bonds & Notes:

Airlines

—

—

5,252,399

5,252,399

Diversified Financial Services

—

11,242,797

4,950,642

16,193,439

All Other

—

107,281,051

—

107,281,051

U.S. Government Agency Securities

—

43,158,455

—

43,158,455

Asset-Backed Securities

—

26,903,089

—

26,903,089

Preferred Stock

3,255,600

—

—

3,255,600

Short-Term Investments

—

73,531,697

—

73,531,697

3,255,600

739,491,905

10,203,041

752,950,546

Other Financial Instruments* - Assets

Foreign Exchange Contracts

—

106,326

—

106,326

Interest Rate Contracts

—

6,093,406

—

6,093,406

—

6,199,732

—

6,199,732

Other Financial Instruments* - Liabilities

Foreign Exchange Contracts

—

(653,347

)

—

(653,347

)

Interest Rate Contracts

—

(5,635,586

)

—

(5,635,586

)

—

(6,288,933

)

—

(6,288,933

)

Totals

$3,255,600

$739,402,704

$10,203,041

$752,861,345