Investment Company Act file number

811-10555

PIMCO Corporate & Income Strategy Fund

(Exact name of registrant as specified in charter)

1633 Broadway New York, NY

10019

(Address of principal executive offices)

(Zip code)

William G. Galipeau – 1633 Broadway New York, NY 10019

(Name and address of agent for service)

Registrant’s telephone number, including area code:

888-877-4626

Date of fiscal year end:

October 31, 2014

Date of reporting period:

July 31, 2014

Principal
Amount
(000s)

Value*

MORTGAGE-BACKED SECURITIES - 39.8%

$4,024

Alternative Loan Trust, 6.00%, 8/25/36, CMO

$3,723,656

198

American Home Mortgage Assets Trust, 0.385%, 9/25/46, CMO (j)

10,023

Banc of America Alternative Loan Trust, CMO,

8,186

5.50%, 10/25/35

7,469,973

239

6.00%, 1/25/36

205,147

2,245

6.00%, 7/25/46

1,874,874

Banc of America Funding Trust, CMO,

4,590

6.00%, 3/25/37

3,902,611

624

6.00%, 7/25/37

478,874

Banc of America Mortgage Trust, CMO,

4,700

5.50%, 11/25/35

4,527,026

991

6.00%, 3/25/37

939,948

356

6.50%, 9/25/33

368,435

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

1,898

5.315%, 3/26/37 (j)

669,595

1,887

17.00%, 7/26/36

1,944,490

10,367

Bear Stearns Adjustable Rate Mortgage Trust, 2.57%, 8/25/35, CMO (j)

9,147,927

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

1,480

2.612%, 9/25/35

1,195,446

1,470

2.622%, 8/25/36

1,115,385

2,420

2.663%, 11/25/36

1,706,876

2,554

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

2,373,230

Chase Mortgage Finance Trust, CMO,

21

2.51%, 12/25/35 (j)

19,360

1,627

6.00%, 7/25/37

1,424,676

2,734

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

2,855,125

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

1,468

5.229%, 8/25/35

1,462,718

594

5.354%, 4/25/37

529,706

6,988

5.67%, 9/25/37

6,394,915

CitiMortgage Alternative Loan Trust, CMO,

8,122

5.75%, 5/25/37

7,216,248

5,094

6.00%, 1/25/37

4,269,694

4,455

6.00%, 6/25/37

3,774,038

Countrywide Alternative Loan Trust, CMO,

619

5.50%, 3/25/35

583,975

289

5.50%, 3/25/36

241,309

3,535

5.50%, 5/25/36

2,866,971

773

5.75%, 1/25/35

794,487

927

5.75%, 2/25/35

912,544

1,458

5.75%, 3/25/37

1,237,832

1,873

6.00%, 2/25/35

2,011,463

9,946

6.00%, 4/25/36

9,209,272

9,448

6.00%, 2/25/37

7,478,339

2,311

6.00%, 4/25/37

1,964,391

3,331

6.00%, 5/25/37

2,759,570

768

6.00%, 7/25/37

740,128

1,934

6.00%, 8/25/37

1,528,918

2,571

6.25%, 12/25/36 (j)

2,163,218

883

6.50%, 8/25/36

663,762

Countrywide Home Loan Mortgage Pass-Through Trust, CMO,

517

2.383%, 9/20/36 (j)

386,681

1,040

5.50%, 10/25/35

1,019,779

1,534

5.75%, 3/25/37

1,424,989

1,014

6.00%, 2/25/37

966,370

2,275

6.00%, 3/25/37

2,161,884

302

6.00%, 4/25/37

283,456

9,552

6.00%, 7/25/37

8,179,488

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

983

6.00%, 2/25/37

893,144

2,292

6.00%, 6/25/37

2,091,501

2,509

6.75%, 8/25/36

2,015,549

1,427

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

1,166,281

9,873

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

8,262,814

GSR Mortgage Loan Trust, CMO,

1,168

2.40%, 8/25/34 (j)

1,094,844

1,725

5.072%, 11/25/35 (j)

1,716,659

1,087

5.50%, 5/25/36

1,023,206

6,190

6.00%, 2/25/36

5,555,664

4,226

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

2,979,724

JPMorgan Alternative Loan Trust, CMO,

3,347

2.576%, 3/25/37 (j)

2,639,959

3,479

6.00%, 12/25/35

3,252,087

2,500

6.31%, 8/25/36

2,040,968

JPMorgan Mortgage Trust, CMO,

1,489

2.598%, 1/25/37 (j)

1,313,266

6,474

2.604%, 2/25/36 (j)

5,770,694

2,551

5.00%, 3/25/37

2,364,840

173

5.75%, 1/25/36

163,056

4,473

6.00%, 1/25/36

4,116,827

451

6.00%, 8/25/37

406,337

Lehman Mortgage Trust, CMO,

1,641

6.00%, 7/25/36

1,328,812

512

6.00%, 7/25/37

468,385

3,091

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

2,238,872

1,199

Merrill Lynch Mortgage Investors Trust, 2.797%, 3/25/36, CMO (j)

837,220

Morgan Stanley Mortgage Loan Trust, CMO,

4,662

4.993%, 5/25/36 (j)

3,758,279

3,824

6.00%, 2/25/36

3,787,271

7,580

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

5,358,037

Residential Accredit Loans, Inc., CMO,

476

0.385%, 5/25/37 (j)

124,076

4,305

3.422%, 12/26/34 (j)

3,766,171

2,098

6.00%, 6/25/36

1,711,952

3,912

6.00%, 8/25/36

3,189,336

3,314

6.00%, 9/25/36

2,410,332

4,178

6.00%, 12/25/36

3,310,266

1,394

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

1,418,235

Residential Asset Securitization Trust, CMO,

2,833

4.914%, 6/25/46 (j)

2,056,211

1,165

6.00%, 2/25/36

927,607

777

6.00%, 9/25/36

519,214

3,839

6.00%, 11/25/36

2,873,364

2,406

6.00%, 3/25/37

1,876,693

3,257

6.00%, 5/25/37

2,922,042

3,649

6.25%, 9/25/37

2,693,230

Residential Funding Mortgage Securities I, CMO,

3,218

3.375%, 2/25/37 (j)

2,597,318

1,478

6.00%, 1/25/37

1,374,048

1,890

6.25%, 8/25/36

1,730,924

308

6.50%, 3/25/32

321,434

Sequoia Mortgage Trust, CMO (j),

697

2.443%, 2/20/47

610,819

1,405

5.171%, 7/20/37

1,356,553

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

5,081

2.466%, 11/25/36

4,139,424

6,715

4.925%, 3/25/37

5,037,975

4,335

5.025%, 5/25/36

3,617,027

4,107

5.056%, 1/25/36

3,161,341

2,093

5.156%, 7/25/35

1,848,674

1,550

5.358%, 7/25/36

1,451,112

9,233

5.394%, 7/25/36

6,383,424

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

736

2.697%, 2/25/37

645,287

1,392

2.707%, 4/25/37

1,194,308

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

837

2.125%, 7/25/37

703,479

571

2.342%, 9/25/36

523,476

172

2.363%, 3/25/37

164,359

825

2.374%, 2/25/37

736,014

1,314

4.61%, 2/25/37

1,230,738

2,268

4.676%, 7/25/37

2,150,643

4,663

6.089%, 10/25/36

4,029,079

Washington Mutual Mortgage Pass-Through Certificates, CMO,

108

0.878%, 4/25/47 (j)

6,390

675

0.958%, 5/25/47 (j)

65,117

3,433

6.00%, 10/25/35

2,627,022

1,527

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

1,467,273

Wells Fargo Mortgage-Backed Securities Trust, CMO,

908

2.61%, 7/25/36 (j)

836,653

172

2.613%, 5/25/36 (j)

161,452

7,466

2.613%, 8/25/36 (j)

7,152,036

429

2.615%, 4/25/36 (j)

415,592

968

5.688%, 10/25/36 (j)

949,691

912

6.00%, 7/25/37

904,598

Total Mortgage-Backed Securities (cost-$258,308,764)

275,215,127

CORPORATE BONDS & NOTES - 21.7%

Airlines - 0.7%

1,449

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

1,666,437

2,637

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

2,972,672

4,639,109

Auto Manufacturers - 1.4%

Ford Motor Co.,

5,700

7.70%, 5/15/97

7,221,051

1,500

9.98%, 2/15/47

2,343,870

9,564,921

Banking - 10.6%

Ally Financial, Inc.,

2,900

6.25%, 12/1/17

3,153,750

2,000

8.30%, 2/12/15

2,063,750

4,750

Citigroup, Inc., 6.125%, 8/25/36

5,474,104

LBG Capital No. 1 PLC,

€300

7.375%, 3/12/20

438,825

$3,120

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

3,442,948

8,500

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

9,358,092

LBG Capital No. 2 PLC,

€400

8.875%, 2/7/20

612,160

£3,100

9.125%, 7/15/20

5,568,556

Lloyds Bank PLC (f),

$4,949

7.50%, 6/27/24

5,208,823

10,300

12.00%, 12/16/24 (a)(b)(c)(h) (acquisition cost - $14,572,000; purchased 9/18/13 - 5/20/14)

15,141,000

3,600

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

4,302,720

19,100

Wachovia Capital Trust III, 5.57%, 9/2/14 (f)

18,515,062

73,279,790

Diversified Financial Services - 2.5%

2,300

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

1,978,000

7,200

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

7,713,216

1,900

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

2,119,450

5,069

GSPA Monetization Trust, 6.422%, 10/9/29 (a)(b)(c)(h) (acquisition cost - $5,008,501; purchased 9/23/13)

5,260,929

17,071,595

Electric Utilities - 0.4%

2,357

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

2,629,496

457

FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (a)(b)(c)(h) (acquisition cost - $468,138; purchased 8/25/04)

449,869

3,079,365

Insurance - 1.3%

3,400

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

4,564,303

American International Group, Inc.,

2,500

6.25%, 3/15/87 (converts to FRN on 3/15/37)

2,800,605

1,400

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

1,940,750

9,305,658

Lodging - 0.4%

2,002

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

2,530,331

Miscellaneous Manufacturing - 0.3%

2,300

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

2,334,500

Oil, Gas & Consumable Fuels - 1.9%

3,460

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

4,081,426

9,000

Pertamina Persero PT, 6.45%, 5/30/44 (a)(c)

9,450,000

13,531,426

Telecommunications - 2.2%

8,200

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

9,530,423

5,360

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

5,412,887

14,943,310

Total Corporate Bonds & Notes (cost-$131,884,021)

150,280,005

U.S. GOVERNMENT AGENCY SECURITIES - 9.8%

Fannie Mae, CMO,

84,432

3.00%, 2/25/43, IO

16,589,789

22,064

3.50%, 3/25/42 - 2/25/43, IO

4,023,801

8,416

4.00%, 1/25/43, IO

1,683,731

1,777

5.214%, 7/25/43 (b)(j)

1,359,883

650

5.218%, 12/25/42 (b)(j)

495,824

2,649

5.768%, 1/25/43 (b)(j)

1,999,239

7,350

5.995%, 11/25/42, IO (j)

1,722,210

3,151

6.445%, 4/25/41, IO (j)

556,491

Freddie Mac, CMO,

75,002

3.00%, 2/15/33 - 12/15/42, IO

14,688,277

6,380

3.50%, 9/15/42, IO

1,091,776

8,293

4.50%, 10/15/42, IO

1,593,871

4,556

5.848%, 8/15/42, IO (j)

912,100

2,943

11.596%, 8/15/43 (b)(j)

3,136,980

6,000

Freddie Mac Strip, 9.68%, 1/15/43, CMO (b)(d)(e)

6,828,323

Ginnie Mae, CMO,

10,319

4.00%, 5/16/42 - 8/16/42, IO

1,750,574

8,200

8.592%, 8/20/39 (b)(j)

9,081,953

Total U.S. Government Agency Securities (cost-$63,496,067)

67,514,822

MUNICIPAL BONDS - 6.9%

California - 2.0%

4,200

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

5,121,354

1,220

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

1,348,844

7,400

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

7,628,660

14,098,858

Illinois - 2.2%

12,700

Chicago, GO, 7.517%, 1/1/40, Ser. B

15,236,063

Louisiana - 0.3%

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

800

8.30%, 12/1/29

950,504

820

8.55%, 12/1/34

974,267

1,924,771

Nebraska - 2.3%

14,000

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

15,925,700

New Jersey - 0.1%

500

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

371,025

Total Municipal Bonds (cost-$43,002,147)

47,556,417

ASSET-BACKED SECURITIES - 5.0%

437

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

374,677

Countrywide Asset-Backed Certificates (j),

3,065

5.264%, 7/25/36

3,019,909

10,331

5.304%, 10/25/46

8,943,004

1,955

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

2,010,078

1,938

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

1,170,507

13,189

IndyMac Residential Asset-Backed Trust, 0.315%, 7/25/37 (j)

8,228,082

8,238

JP Morgan Mortgage Acquisition Trust, 5.289%, 1/25/37

6,097,168

1,953

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

1,990,701

1,492

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

1,577,439

1,086

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

811,229

Total Asset-Backed Securities (cost-$33,977,267)

34,222,794

Shares

PREFERRED STOCK - 3.7%

Banking - 0.5%

144,400

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

3,924,792

Diversified Financial Services - 3.2%

120,000

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

3,250,800

15,300

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

18,694,687

21,945,487

Total Preferred Stock (cost-$26,209,014)

25,870,279

Principal
Amount
(000s)

SHORT-TERM INVESTMENTS - 13.1%

Repurchase Agreements - 12.8%

$14,400

Morgan Stanley & Co., Inc., dated 7/31/14, 0.13%, due 8/1/14, proceeds $14,400,052; collateralized by U.S. Treasury Bonds, 4.625%, due 2/15/40, valued at $14,735,912 including accrued interest

14,400,000

62,900

RBC Capital Markets LLC, dated 7/31/14, 0.13%, due 8/1/14, proceeds $62,900,227; collateralized by U.S. Treasury Notes, 2.25%, due 7/31/21, valued at $64,263,075 including accrued interest

62,900,000

11,395

State Street Bank and Trust Co., dated 7/31/14, 0.00%, due 8/1/14, proceeds $11,395,000; collateralized by U.S. Treasury Notes, 0.875%, due 5/15/17, valued at $11,625,000 including accrued interest

11,395,000

Total Repurchase Agreements (cost-$88,695,000)

88,695,000

U.S. Treasury Obligations (g)(k)- 0.3%

1,909

U.S. Treasury Bills, 0.047%-0.076%, 8/21/14-1/22/15 (cost-$1,908,574)

1,908,564

Total Short-Term Investments (cost-$90,603,574)

90,603,564

Total Investments (cost-$647,480,854) (l)-100.0%

$691,263,008

*

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.

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 premium or discount based on 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 $64,837,273, representing 9.4% 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)

When-issued or delayed-delivery. To be settled/delivered after July 31, 2014.

(e)

Fair-Valued—Security with a value of $6,828,323, representing 1.0% 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 $31,061,999. The aggregate value is $33,129,317, representing 4.8% 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 July 31, 2014.

(k)

Rates reflect the effective yields at purchase date.

(l)

At July 31, 2014, the cost basis of portfolio securities for federal income tax purposes was $647,480,854. Gross unrealized appreciation was $46,362,349; gross unrealized depreciation was $2,580,195; and net unrealized appreciation was $43,782,154. The difference between book and tax cost was attributable to wash sale loss deferrals.

(m)

Interest rate swap agreements outstanding at July 31, 2014:

OTC swap agreements:

Notional

Rate Type

Upfront

Swap
Counterparty

Amount
(000s)

Termination
Date

Payments
Made

Payments
Received

Value

Premiums
Paid

Unrealized
Depreciation

Bank of America

$632,100

10/16/19

3-Month USD-LIBOR

2.00

%

$(1,111,159

)

$—

$(1,111,159

)

Nomura Global Financial Products

611,000

10/16/19

3-Month USD-LIBOR

2.00

%

(1,074,067

)

189,621

(1,263,688

)

$(2,185,226

)

$189,621

$(2,374,847

)

Notional

Rate Type

Unrealized

Broker (Exchange)

Amount
(000s)

Termination
Date

Payments
Made

Payments
Received

Value

Appreciation
(Depreciation)

Morgan Stanley (CME)

$209,000

9/17/43

3.75%

3-Month USD-LIBOR

$(17,724,991

)

$(6,000,091

)

Morgan Stanley (CME)

209,000

6/19/44

3-Month USD-LIBOR

3.50%

9,159,698

15,977,825

$(8,565,293

)

$9,977,734

(n)

Forward foreign currency contracts outstanding at July 31, 2014:

Counterparty

U.S.$ Value on
Origination Date

U.S.$ Value
July 31, 2014

Unrealized
Appreciation
(Depreciation)

Purchased:

755,580 Brazilian Real settling 8/4/14

JPMorgan Chase

$333,236

$333,038

$(198

)

719,040 Brazilian Real settling 8/4/14

UBS

318,089

316,932

(1,157

)

3,441,000 British Pound settling 8/5/14

Barclays Bank

5,846,259

5,809,392

(36,867

)

16,000 Euro settling 8/5/14

Citigroup

21,835

21,425

(410

)

7,579,000 Euro settling 9/3/14

Citigroup

10,186,745

10,149,615

(37,130

)

8,036,000 Euro settling 8/5/14

JPMorgan Chase

10,869,277

10,760,641

(108,636

)

23,000 Euro settling 8/5/14

Morgan Stanley

31,478

30,798

(680

)

Sold:

755,580 Brazilian Real settling 8/4/14

JPMorgan Chase

334,468

333,038

1,430

719,040 Brazilian Real settling 8/4/14

UBS

317,121

316,932

189

3,441,000 British Pound settling 8/5/14

Bank of America

5,839,377

5,809,392

29,985

3,441,000 British Pound settling 9/3/14

Barclays Bank

5,844,917

5,808,040

36,877

33,000 Euro settling 6/15/15

Bank of America

44,868

44,263

605

77,000 Euro settling 6/13/16

Bank of America

105,302

104,194

1,108

16,000 Euro settling 6/27/16

Bank of America

22,029

21,659

370

19,000 Euro settling 6/15/15

Barclays Bank

25,814

25,485

329

17,000 Euro settling 6/27/16

Barclays Bank

23,376

23,012

364

15,000 Euro settling 6/15/15

BNP Paribas

20,343

20,120

223

7,579,000 Euro settling 8/5/14

Citigroup

10,186,176

10,148,693

37,483

16,000 Euro settling 6/15/15

Citigroup

21,872

21,461

411

8,025,000 Euro settling 4/21/15

Credit Suisse First Boston

10,879,886

10,758,367

121,519

27,000 Euro settling 6/15/15

Credit Suisse First Boston

36,648

36,215

433

10,000 Euro settling 6/13/16

Deutsche Bank

13,692

13,532

160

496,000 Euro settling 8/5/14

JPMorgan Chase

674,393

664,171

10,222

23,000 Euro settling 6/15/15

Morgan Stanley

31,529

30,850

679

24,000 Euro settling 6/13/16

Morgan Stanley

33,008

32,476

532

19,000 Euro settling 6/15/15

National Australia Bank

25,838

25,485

353

27,000 Euro settling 6/13/16

National Australia Bank

36,998

36,535

463

26,000 Euro settling 6/27/16

National Australia Bank

35,773

35,195

578

$59,235

(o)

At July 31, 2014, the Fund held $984,000 in cash as collateral and pledged cash collateral of $417,440 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
7/31/14

Investments in Securities - Assets

Mortgage-Backed Securities

$—

$275,215,127

$—

$275,215,127

Corporate Bonds & Notes:

Airlines

—

—

4,639,109

4,639,109

Diversified Financial Services

—

11,810,666

5,260,929

17,071,595

Electric Utilities

—

449,869

2,629,496

3,079,365

All Other

—

125,489,936

—

125,489,936

U.S. Government Agency Securities

—

60,686,499

6,828,323

67,514,822

Municipal Bonds

—

47,556,417

—

47,556,417

Asset-Backed Securities

—

34,222,794

—

34,222,794

Preferred Stock:

Banking

3,924,792

—

—

3,924,792

Diversified Financial Services

3,250,800

18,694,687

—

21,945,487

Short-Term Investments

—

90,603,564

—

90,603,564