UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:    February 28, 2006
Estimated average burden hours per response........20.00

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-10555

 

 

PIMCO CORPORATE INCOME FUND

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas New York, New York

 

10105

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna – 1345 Avenue of the Americas New York, New York 10105

(Name and address of agent for service)

 

Registrant's telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

10/31/05

 

 

 

 

Date of reporting period:

7/31/05

 

 

Form N-Q is to be used by the registered management investment company, other than a small business investment company registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 



 

Item 1. Schedule of Investments

 



 

PIMCO Corporate Income Fund Schedule of Investments

July 31, 2005 (unaudited)

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

CORPORATE BONDS & NOTES—76.8%

 

 

 

 

 

Airlines—5.3%

 

 

 

 

 

$

2,994

 

American Airlines, Inc., pass thru certificates, 6.978%, 4/1/11, Ser. 01-2 (e)

 

Baa2/BBB+

 

$

3,114,892

 

 

 

Continental Airlines, Inc., pass thru certificates,

 

 

 

 

 

10,000

 

6.503%, 6/15/11, Ser. 01-1 (e)

 

Baa3/BBB+

 

9,894,542

 

3,035

 

7.056%, 9/15/09, Ser. 99-2 (e)

 

Baa3/A-

 

3,152,416

 

2,500

 

7.487%, 10/2/10, Ser. 00-2 (e)

 

Baa3/BBB

 

2,522,908

 

6,000

 

Delta Air Lines, Inc., 7.57%, 11/18/10, Ser. 00-1 (e)

 

Ba1/BB

 

5,583,435

 

4,197

 

Northwest Airlines, Inc., pass thru certificates,

 

 

 

 

 

 

 

7.575%, 3/1/19, Ser. 99-2A (e)

 

Ba1/BBB

 

4,214,804

 

 

 

United Air Lines, Inc., pass thru certificates,

 

 

 

 

 

3,262

 

3.14%, 3/2/49, Ser. 97-A, FRN (f)

 

NR/NR

 

3,271,137

 

6,291

 

6.201%, 9/1/08, Ser. 01-1 (f)

 

NR/NR

 

6,040,622

 

4,887

 

7.186%, 4/1/11, Ser. 00-2 (f)

 

NR/NR

 

4,764,264

 

700

 

10.36%, 11/13/12, Ser. 91C (f)

 

NR/NR

 

390,250

 

 

 

 

 

 

 

42,949,270

 

 

 

 

 

 

 

 

 

Apparel & Textiles—0.2%

 

 

 

 

 

500

 

Quicksilver, Inc., 6.875%, 4/15/15 (a)(e)

 

B1/BB-

 

506,250

 

1,000

 

Russell Corp., 9.25%, 5/1/10 (e)

 

B1/B+

 

1,062,500

 

 

 

 

 

 

 

1,568,750

 

 

 

 

 

 

 

 

 

Automotive—1.7%

 

 

 

 

 

2,000

 

Auburn Hills Trust, 12.375%, 5/1/20 (e)

 

A3/BBB

 

3,051,172

 

5,000

 

Ford Motor Co., 9.98%, 2/15/47 (e)

 

Baa3/BB+

 

4,802,955

 

5,000

 

General Motors Corp., 7.20%, 1/15/11 (e)

 

Baa3/BB

 

4,812,500

 

1,000

 

Hertz Corp., 7.625%, 6/1/12 (e)

 

Baa3/BBB-

 

978,254

 

 

 

 

 

 

 

13,644,881

 

 

 

 

 

 

 

 

 

Banking—1.7%

 

 

 

 

 

5,000

 

Colonial Bank NA, 9.375%, 6/1/11 (e)

 

Ba1/BBB-

 

5,847,550

 

1,700

 

Fifth Third Capital Trust I, 8.136%, 3/15/27, Ser. A (e)

 

Aa3/NR

 

1,847,221

 

1,000

 

HSBC Capital Funding LP, 10.176%, 6/30/30, United Kingdom, VRN (e)

 

A1/A-

 

1,580,912

 

1,000

 

Riggs Capital Trust, 8.625%, 12/31/26, Ser. A (e)

 

A3/BBB

 

1,089,572

 

1,750

 

Riggs National Corp., 9.65%, 6/15/09 (e)

 

A3/BBB+

 

2,032,641

 

1,000

 

Royal Bank of Scotland Group, plc, 7.648%, 9/30/31, United Kingdom, VRN (e)

 

A1/A

 

1,255,240

 

 

 

 

 

 

 

13,653,136

 

 

 

 

 

 

 

 

 

Chemicals—0.7%

 

 

 

 

 

5,000

 

Lyondell Chemical Co., 10.50%, 6/1/13 (e)

 

B1/BB-

 

5,800,000

 

 

 

 

 

 

 

 

 

Computer Services—0.3%

 

 

 

 

 

 

 

Electronic Data Systems Corp.,

 

 

 

 

 

1,000

 

6.50%, 8/1/13, Ser. B (e)

 

Ba1/BBB-

 

1,014,974

 

1,500

 

7.125%, 10/15/09 (e)

 

Ba1/BBB-

 

1,605,142

 

 

 

 

 

 

 

2,620,116

 

 

 

 

 

 

 

 

 

Containers—0.5%

 

 

 

 

 

3,000

 

Ball Corp., 6.875%, 12/15/12 (e)

 

Ba2/BB

 

3,180,000

 

1,000

 

Stone Container Corp., 8.375%, 7/1/12 (e)

 

B2/B

 

1,022,500

 

 

 

 

 

 

 

4,202,500

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

Diversified Manufacturing—2.1%

 

 

 

 

 

 

 

Hutchison Whampoa International, Ltd,

 

 

 

 

 

$

3,500

 

6.25%, 1/24/14 (a)(e)

 

A3/A-

 

$

3,704,025

 

500

 

6.50%, 2/13/13 (a)(e)

 

A3/A-

 

534,471

 

1,030

 

Raychem Corp., 7.20%, 10/15/08 (e)

 

Baa3/BBB

 

1,103,570

 

GBP

5,800

 

Tyco International Group SA, 6.50%, 11/21/31 (e)

 

Baa3/BBB

 

11,452,179

 

 

 

 

 

 

 

16,794,245

 

 

 

 

 

 

 

 

 

Energy—0.9%

 

 

 

 

 

$

1,000

 

Edison Mission Energy, 7.73%, 6/15/09 (e)

 

B1/B+

 

1,060,000

 

2,000

 

First Energy Corp., 7.375%, 11/15/31, Ser. C (e)

 

Baa3/BB+

 

2,413,028

 

2,719

 

Sithe Independence Funding Corp., 9.00%, 12/30/13, Ser. A (e)

 

Ba2/B

 

2,960,722

 

899

 

System Energy Res., Inc., 5.129%, 1/15/14 (a)(e)

 

Baa3/BBB

 

882,157

 

 

 

 

 

 

 

7,315,907

 

 

 

 

 

 

 

 

 

Financing—9.7%

 

 

 

 

 

8,500

 

Beaver Valley II Funding, 9.00%, 6/1/17 (e)

 

Baa3/BB+

 

9,922,934

 

1,000

 

BlueWater Finance, Ltd., 10.25%, 2/15/12 (e)

 

B1/B

 

1,085,000

 

4,663

 

Cedar Brakes II LLC, 9.875%, 9/1/13 (a)(e)

 

Baa2/BBB-

 

5,400,412

 

7,000

 

CIT Group, Inc., 3.66%, 9/20/07, FRN (e)

 

A2/A

 

7,019,824

 

 

 

Ford Motor Credit Co.,

 

 

 

 

 

500

 

5.70%, 1/15/10 (e)

 

Baa2/BB+

 

471,673

 

2,000

 

5.80%, 1/12/09 (e)

 

Baa2/BB+

 

1,925,656

 

1,000

 

6.50%, 1/25/07 (e)

 

Baa2/BB+

 

1,010,814

 

3,000

 

7.75%, 2/15/07 (e)

 

Baa2/BB+

 

3,065,925

 

1,000

 

Fresenius Medical Care Capital Trust, 7.875%, 6/15/11 (e)

 

B1/BB-

 

1,085,000

 

1,180

 

General Electric Capital Corp., 8.30%, 9/20/09 (e)

 

Aaa/AAA

 

1,340,022

 

 

 

General Motors Acceptance Corp.,

 

 

 

 

 

8,000

 

4.509%, 1/16/07, FRN (e)

 

Baa2/BB

 

7,915,880

 

5,000

 

6.875%, 9/15/11 (e)

 

Baa2/BB

 

4,831,490

 

 

 

HSBC Finance Corp.,

 

 

 

 

 

500

 

4.081%, 10/12/06, FRN (e)

 

A1/A

 

503,278

 

1,265

 

7.65%, 5/15/07 (e)

 

A1/A

 

1,327,910

 

1,300

 

Mizuho JGB Investment LLC, 9.87%, 6/30/08, VRN (a)(e)

 

Baa1/BBB+

 

1,458,666

 

300

 

Mizuho Preferred Capital Co. LLC, 8.79%, 6/30/08, VRN (a)(e)

 

Baa1/BBB+

 

327,989

 

 

 

Pemex Project Funding Master Trust,

 

 

 

 

 

4,350

 

8.00%, 11/15/11 (e)

 

Baa1/BBB

 

4,917,675

 

1,400

 

8.625%, 2/1/22 (e)

 

Baa1/BBB

 

1,703,100

 

3,500

 

9.50%, 9/15/27 (a)(e)

 

Baa1/BBB

 

4,567,500

 

2,000

 

Preferred Term Securities XIIl, 3.971%, 3/24/34, FRN (a)(c)

 

Aaa/AAA

 

1,973,296

 

5,000

 

SETS Trust No. 2002-3, 8.85%, 4/2/07 (a)(c)

 

NR/NR

 

5,229,539

 

10,000

 

TIERS Principal Protected Trust, 8.41%, 3/22/07 (a)(c)(d)

 

NR/NR

 

9,375,661

 

1,500

 

Universal City Dev. Partners, 11.75%, 4/1/10 (e)

 

B2/B-

 

1,730,625

 

 

 

 

 

 

 

78,189,869

 

 

 

 

 

 

 

 

 

Food & Beverage—1.3%

 

 

 

 

 

2,000

 

Anheuser-Busch Cos., Inc., 5.00%, 3/1/19 (e)

 

A1/A+

 

2,002,854

 

5,000

 

Delhaize America, Inc., 8.125%, 4/15/11 (e)

 

Ba1/BB+

 

5,601,230

 

3,000

 

Ingles Markets, Inc., 8.875%, 12/1/11 (e)

 

B3/B

 

3,187,500

 

 

 

 

 

 

 

10,791,584

 

Food Services—0.2%

 

 

 

 

 

1,500

 

HJ Heinz Co., 6.189%, 12/1/20, VRN (a)

 

A3/A-

 

1,510,773

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

Healthcare & Hospitals—2.7%

 

 

 

 

 

 

 

HCA, Inc.,

 

 

 

 

 

$

1,000

 

8.70%, 2/10/10 (e)

 

Ba2/BB+

 

$

1,112,315

 

5,470

 

9.00%, 12/15/14 (e)

 

Ba2/BB+

 

6,493,842

 

 

 

HEALTHSOUTH Corp.,

 

 

 

 

 

2,000

 

7.00%, 6/15/08 (f)

 

NR/NR

 

2,010,000

 

5,000

 

8.375%, 10/1/11 (f)

 

NR/NR

 

5,031,250

 

1,006

 

Manor Care, Inc., 8.00%, 3/1/08 (e)

 

Baa3/BBB

 

1,080,088

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

 

3,700

 

6.375%, 12/1/11 (e)

 

B3/B

 

3,533,500

 

1,300

 

7.375%, 2/1/13 (e)

 

B3/B

 

1,280,500

 

1,000

 

9.25%, 2/1/15 (a)(e)

 

B3/B

 

1,035,000

 

 

 

 

 

 

 

21,576,495

 

 

 

 

 

 

 

Hotels/Gaming—5.0%

 

 

 

 

 

 

 

Caesars Entertainment, Inc.,

 

 

 

 

 

2,000

 

8.125%, 5/15/11 (e)

 

Ba1/BB+

 

2,292,500

 

3,000

 

8.50%, 11/15/06 (e)

 

Baa3/BBB-

 

3,148,995

 

1,000

 

8.875%, 9/15/08 (e)

 

Ba1/BB+

 

1,115,000

 

1,000

 

Choctaw Resort Dev. Enterprise, 7.25%, 11/15/19 (a)(e)

 

B1/BB-

 

1,022,500

 

1,000

 

Gaylord Entertainment Co., 8.00%, 11/15/13 (e)

 

B3/B-

 

1,070,000

 

1,500

 

Host Marriott LP, 9.50%, 1/15/07, Ser. I, REIT (e)

 

Ba3/B+

 

1,591,875

 

5,000

 

ITT Corp., 7.375%, 11/15/15 (e)

 

Ba1/BB+

 

5,575,000

 

500

 

Mandalay Resort Group, 9.375%, 2/15/10 (e)

 

Ba3/B+

 

560,000

 

 

 

MGM Mirage,

 

 

 

 

 

4,190

 

6.625%, 7/15/15 (a)(e)

 

Ba2/BB

 

4,263,325

 

9,000

 

8.50%, 9/15/10 (e)

 

Ba2/BB

 

9,967,500

 

 

 

Starwood Hotels & Resorts Worldwide, Inc.,

 

 

 

 

 

2,880

 

7.375%, 5/1/07 (e)

 

Ba1/BB+

 

3,009,600

 

1,000

 

7.875%, 5/1/12 (e)

 

Ba1/BB+

 

1,125,000

 

1,750

 

Station Casinos, Inc., 6.00%, 4/1/12 (e)

 

Ba3/BB-

 

1,776,250

 

2,599

 

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

 

Baa3/BB+

 

3,114,453

 

1,250

 

Wynn Las Vegas LLC, 6.625%, 12/1/14 (a)(e)

 

B2/B+

 

1,223,438

 

 

 

 

 

 

 

40,855,436

 

 

 

 

 

 

 

 

 

Insurance—0.5%

 

 

 

 

 

2,300

 

Dai-Ichi Mutual Life Insurance Co., 5.73%, 3/17/14 (a)(e)

 

NR/BBB+

 

2,366,139

 

123

 

Prudential Financial, Inc., 4.104%, 11/15/06 (e)

 

A3/A-

 

122,710

 

1,500

 

Residential Reinsurance Ltd., 8.28%, 12/8/07, FRN (a)(c)

 

Ba2/BB+

 

1,456,832

 

 

 

 

 

 

 

3,945,681

 

 

 

 

 

 

 

 

 

Manufacturing—0.2%

 

 

 

 

 

1,000

 

Bombardier, Inc., 6.30%, 5/1/14 (a)(e)

 

Ba2/BB

 

945,000

 

500

 

Dresser, Inc., 9.375%, 4/15/11 (e)

 

B2/B-

 

527,500

 

 

 

 

 

 

 

1,472,500

 

 

 

 

 

 

 

 

 

Metals & Mining—0.4%

 

 

 

 

 

3,000

 

Falconbridge, Ltd., 7.25%, 7/15/12 (e)

 

Baa3/BBB-

 

3,334,644

 

 

 

 

 

 

 

 

 

Multi-Media—6.8%

 

 

 

 

 

 

 

British Sky Broadcasting plc

 

 

 

 

 

3,000

 

6.875%, 2/23/09 (e)

 

Baa2/BBB-

 

3,184,953

 

2,105

 

7.30%, 10/15/06 (e)

 

Baa2/BBB-

 

2,173,703

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

Multi-Media (continued)

 

 

 

 

 

$

1,000

 

Cablevision Systems Corp., 8.00%, 4/15/12, Ser. B (e)

 

B3/B+

 

$

1,010,000

 

2,250

 

Comcast Corp., 10.625%, 7/15/12 (e)

 

Ba1/BBB

 

2,889,088

 

925

 

Comcast, Inc. 9.00%, 9/1/08 (e)

 

Baa2/BBB+

 

1,036,448

 

 

 

CSC Holdings, Inc.,

 

 

 

 

 

3,600

 

7.25%, 7/15/08 (e)

 

B1/BB-

 

3,663,000

 

1,000

 

7.625%, 4/1/11, Ser. B (e)

 

B1/BB-

 

1,012,500

 

1,400

 

7.875%, 12/15/07 (e)

 

B1/BB-

 

1,454,250

 

700

 

7.875%, 2/15/18 (e)

 

B1/BB-

 

701,750

 

3,000

 

8.125%, 7/15/09, Ser. B (e)

 

B1/BB-

 

3,105,000

 

2,625

 

8.125%, 8/15/09, Ser. B (e)

 

B1/BB-

 

2,716,875

 

 

 

DIRECTV Holdings LLC,

 

 

 

 

 

1,000

 

6.375%, 6/15/15 (a)(e)

 

Ba2/BB-

 

1,002,500

 

3,900

 

8.375%, 3/15/13 (e)

 

Ba2/BB-

 

4,343,625

 

1,950

 

Echostar DBS Corp., 9.125%, 1/15/09 (e)

 

Ba3/BB-

 

2,076,750

 

500

 

Historic TW, Inc., 6.625%, 5/15/29 (e)

 

Baa1/BBB+

 

550,124

 

2,000

 

Mediacom Broadband LLC, 11.00%, 7/15/13 (e)

 

B2/B

 

2,195,000

 

7,450

 

News America Holdings Corp., 7.43%, 10/1/26 (e)

 

Baa3/BBB-

 

8,575,307

 

1,610

 

News America, Inc., 6.75%, 1/9/38 (e)

 

Baa3/BBB-

 

1,798,380

 

CAD

1,750

 

Rogers Cable, Inc., 7.25%, 12/15/11 (e)

 

Ba3/BB+

 

1,513,112

 

$

8,000

 

Time Warner, Inc., 7.70%, 5/1/32 (e)

 

Baa1/BBB+

 

10,027,208

 

 

 

 

 

 

 

55,029,573

 

 

 

 

 

 

 

 

 

Oil & Gas—9.3%

 

 

 

 

 

 

 

CenterPoint Energy Res. Corp.,

 

 

 

 

 

4,000

 

6.50%, 2/1/08 (e)

 

Baa3/BBB

 

4,166,268

 

1,200

 

7.75%, 2/15/11 (e)

 

Baa3/BBB

 

1,358,952

 

1,000

 

Chesapeake Energy Corp., 7.75%, 1/15/15 (e)

 

Ba3/BB-

 

1,085,000

 

3,000

 

Columbia Energy Group, 7.32%, 11/28/10, Ser. E (e)

 

Baa2/BBB

 

3,023,370

 

 

 

Dynergy-Roseton Danskammer,

 

 

 

 

 

1,750

 

7.27%, 11/8/10, Ser. A (e)

 

Caa2/B

 

1,758,750

 

3,000

 

7.67%, 11/8/16, Ser. B (e)

 

Caa2/B

 

2,941,875

 

 

 

Forest Oil Corp.,

 

 

 

 

 

1,000

 

8.00%, 6/15/08 (e)

 

Ba3/BB-

 

1,075,000

 

2,000

 

8.00%, 12/15/11 (e)

 

Ba3/BB-

 

2,210,000

 

4,300

 

Gaz Capital SA, 8.625%, 4/28/34 (e)

 

Baa2/BB-

 

5,321,250

 

4,700

 

Gazprom OAO, 9.625%, 3/1/13 (e)

 

NR/BB-

 

5,743,870

 

3,750

 

Hanover Equipment Trust, 8.50%, 9/1/08, Ser. A (e)

 

B2/B+

 

3,928,125

 

901

 

Perforadora Centrale SA, 4.92%, 12/15/18, Mexico (e)

 

NR/NR

 

904,700

 

 

 

Pioneer Natural Res. Co.,

 

 

 

 

 

4,000

 

5.875%, 7/15/16 (e)

 

Baa3/BBB-

 

4,067,700

 

915

 

6.50%, 1/15/08 (e)

 

Baa3/BBB-

 

947,620

 

1,300

 

Pogo Producing Co., 8.25%, 4/15/11, Ser. B (e)

 

Ba3/BB

 

1,381,250

 

1,000

 

Reliant Energy, Inc., 6.75%, 12/15/14 (e)

 

B1/B+

 

990,000

 

3,000

 

Sonat, Inc., 7.625%, 7/15/11 (e)

 

Caa1/B-

 

3,105,000

 

300

 

Superior Energy Services, Inc., 8.875%, 5/15/11 (e)

 

B1/BB-

 

320,250

 

250

 

Transcontinental Gas Pipe Line Corp., 8.875%, 7/15/12, Ser. B (e)

 

Ba2/B+

 

303,750

 

2,000

 

USX Corp., 9.375%, 2/15/12 (e)

 

Baa1/BBB+

 

2,485,760

 

5,000

 

Valero Energy Corp., 6.875%, 4/15/12 (e)

 

Baa3/BBB-

 

5,535,650

 

5,000

 

Weatherford International, Inc., 6.625%, 11/15/11, Ser. B (e)

 

Baa1/BBB+

 

5,432,745

 

 

 

Williams Cos., Inc.,

 

 

 

 

 

2,000

 

7.125%, 9/1/11 (e)

 

B1/B+

 

2,190,000

 

7,000

 

7.50%, 1/15/31, Ser. A (e)

 

B1/B+

 

7,822,500

 

5,000

 

7.875%, 9/1/21 (e)

 

B1/B+

 

5,812,500

 

1,000

 

8.75%, 3/15/32 (e)

 

B1/B+

 

1,242,500

 

 

 

 

 

 

 

75,154,385

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

Paper/Paper Products—1.6%

 

 

 

 

 

$

6,662

 

Donohue Forest Products, 7.625%, 5/15/07 (e)

 

Ba3/BB-

 

$

6,828,550

 

 

 

Georgia-Pacific Corp.,

 

 

 

 

 

2,000

 

8.00%, 1/15/14 (e)

 

Ba2/BB+

 

2,210,000

 

500

 

8.125%, 5/15/11 (e)

 

Ba3/BB+

 

563,750

 

850

 

Norske Skogindustrier ASA, 6.125%, 10/15/15 (a)(e)

 

Baa3/BBB-

 

852,206

 

2,500

 

OfficeMax, Inc., 7.315%, 6/15/09, Ser. A (e)

 

Ba1/BB

 

2,753,125

 

 

 

 

 

 

 

13,207,631

 

 

 

 

 

 

 

 

 

Pharmaceuticals—0.1%

 

 

 

 

 

1,000

 

Wyeth, 6.50%, 2/1/34 (e)

 

Baa1/A

 

1,150,228

 

 

 

 

 

 

 

 

 

Retail—1.3%

 

 

 

 

 

3,000

 

JC Penney Co., Inc., 8.125%, 4/1/27 (e)

 

Ba1/BB+

 

3,180,000

 

5,897

 

Yum! Brands, Inc., 8.875%, 4/15/11 (e)

 

Baa3/BBB-

 

7,053,278

 

 

 

 

 

 

 

10,233,278

 

 

 

 

 

 

 

 

 

Telecommunications—13.1%

 

 

 

 

 

 

 

AT&T Corp.,

 

 

 

 

 

792

 

9.05%, 11/15/11 (e)

 

Ba1/BB+

 

907,830

 

12,500

 

9.75%, 11/15/31 (e)

 

Ba1/BB+

 

16,250,000

 

5,000

 

Bellsouth Capital Funding Corp., 7.875%, 2/15/30 (e)

 

A2/A

 

6,365,055

 

1,000

 

Cincinnati Bell, Inc., 8.375%, 1/15/14 (e)

 

B3/B-

 

1,035,000

 

5,000

 

Citizens Communications Co., 9.25%, 5/15/11 (e)

 

Ba3/BB+

 

5,612,500

 

10,000

 

Deutsche Telekom International Finance BV, 8.50%, 6/15/10, VRN (e)

 

A3/A-

 

11,423,380

 

10,000

 

France Telecom SA, 8.00%, 3/1/11 (e)

 

A3/A-

 

11,465,130

 

1,000

 

Intelsat Bermuda Ltd., 8.625%, 1/15/15 (a)(e)

 

B2/B+

 

1,070,000

 

 

 

MCI, Inc.,

 

 

 

 

 

474

 

6.908%, 5/1/07 (e)

 

B2/B+

 

481,110

 

474

 

7.688%, 5/1/09 (e)

 

B2/B+

 

495,330

 

405

 

8.735%, 5/1/14 (e)

 

B2/B+

 

456,638

 

 

 

Nextel Communications, Inc.,

 

 

 

 

 

3,000

 

6.875%, 10/31/13 (e)

 

Ba3/BB

 

3,221,250

 

2,000

 

7.375%, 8/1/15 (e)

 

Ba3/BB

 

2,165,000

 

1,250

 

PanAmSat Corp., 6.375%, 1/15/08 (e)

 

Ba3/BB+

 

1,281,250

 

750

 

PCCW Capital ll, 6.00%, 7/15/13 (a)(e)

 

Baa2/BBB

 

780,519

 

12,860

 

Qwest Capital Funding, Inc., 7.25%, 2/15/11 (e)

 

Caa2/B

 

12,506,350

 

9,000

 

Qwest Communications International, Inc., 7.25%, 2/15/11 (e)

 

B3/B

 

8,820,000

 

2,300

 

Qwest Corp., 6.671%, 6/15/13, FRN (a)(e)

 

Ba3/BB-

 

2,415,000

 

 

 

Sprint Capital Corp.,

 

 

 

 

 

6,900

 

6.125%, 11/15/08 (e)

 

Baa3/BBB-

 

7,184,487

 

4,000

 

6.875%, 11/15/28 (e)

 

Baa3/BBB-

 

4,534,488

 

1,200

 

Time Warner Telecom Holdings, Inc., 7.268%, 2/15/11, FRN (e)

 

B1/B

 

1,242,000

 

5,469

 

Verizon Global Funding Corp., 7.25%, 12/1/10 (e)

 

A2/A+

 

6,099,712

 

 

 

 

 

 

 

105,812,029

 

 

 

 

 

 

 

 

 

Tobacco—0.3%

 

 

 

 

 

2,000

 

RJ Reynolds Tobacco Holdings, Inc., 7.25%, 6/1/12 (e)

 

Ba2/BB+

 

2,060,000

 

 

 

 

 

 

 

 

 

Utilities—8.8%

 

 

 

 

 

2,000

 

CMS Energy Corp., 8.90%, 7/15/08 (e)

 

B1/B+

 

2,190,000

 

500

 

Consumers Energy Co., 6.375%, 2/1/08 (a)(c)(e)

 

Baa3/BBB-

 

518,144

 

 

 

East Coast Power LLC,

 

 

 

 

 

1,466

 

6.737%, 3/31/08, Ser. B (e)

 

Baa3/BBB-

 

1,488,296

 

3,128

 

7.066%, 3/31/12, Ser. B (e)

 

Baa3/BBB-

 

3,345,392

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

Utilities (continued)

 

 

 

 

 

$

2,000

 

Florida Gas Transmission Co., 7.00%, 7/17/12 (a)

 

Baa2/BBB+

 

$

2,196,274

 

4,355

 

FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (a)(e)

 

Ba2/BB-

 

4,474,762

 

2,500

 

Georgia Power Co., 3.45%, 2/17/09, FRN (e)

 

A2/A

 

2,507,637

 

4,800

 

Homer City Funding LLC, 8.137%, 10/1/19 (e)

 

Ba2/BB

 

5,424,000

 

 

 

IPALCO Enterprises, Inc.,

 

 

 

 

 

2,150

 

8.375%, 11/14/08 (e)

 

Ba1/BB-

 

2,338,125

 

5,500

 

8.625%, 11/14/11 (e)

 

Ba1/BB-

 

6,201,250

 

3,785

 

Midwest Generation LLC, pass thru certificates, 8.56%, 1/2/16, Ser. B (e)

 

B1/B+

 

4,219,829

 

2,000

 

Northern States Power-Minnesota, 8.00%, 8/28/12, Ser. B (e)

 

A2/A-

 

2,389,394

 

1,000

 

Ohio Edison Co., 5.647%, 6/15/09 (a)(e)

 

Baa2/BB+

 

1,026,951

 

2,000

 

Potomac Electric Power Co., 6.25%, 10/15/07 (e)

 

A3/A-

 

2,070,462

 

 

 

PSEG Energy Holdings LLC,

 

 

 

 

 

6,000

 

8.50%, 6/15/11 (e)

 

Ba3/BB-

 

6,585,000

 

4,790

 

8.625%, 2/15/08 (e)

 

Ba3/BB-

 

5,137,275

 

5,000

 

PSEG Power LLC, 8.625%, 4/15/31 (e)

 

Baa1/BBB

 

6,841,395

 

500

 

Public Service Electric & Gas Co., 4.00%, 11/1/08, Ser. C (e)

 

A3/A-

 

491,852

 

5,077

 

South Point Energy Center LLC, 8.40%, 5/30/12 (a)(e)

 

B3/B-

 

4,822,907

 

600

 

TECO Energy, Inc., 6.75%, 5/1/15 (a)(e)

 

Ba2/BB

 

643,500

 

3,500

 

Tucson Electric Power Co., 7.50%, 8/1/08, Ser. B (e)

 

Baa3/BBB-

 

3,757,058

 

2,000

 

TXU US Holdings Co., 7.17%, 8/1/07 (e)

 

Baa3/BB+

 

2,091,034

 

 

 

 

 

 

 

70,760,537

 

 

 

 

 

 

 

 

 

Waste Disposal—2.1%

 

 

 

 

 

 

 

Allied Waste North America Inc.,

 

 

 

 

 

2,000

 

7.25%, 3/15/15 (a)(e)

 

B2/BB-

 

1,980,000

 

3,625

 

8.50%, 12/1/08, Ser. B (e)

 

B2/BB-

 

3,837,969

 

 

 

Waste Management, Inc.,

 

 

 

 

 

5,000

 

7.10%, 8/1/26 (e)

 

Baa3/BBB

 

5,717,570

 

5,000

 

7.375%, 8/1/10 (e)

 

Baa3/BBB

 

5,550,510

 

 

 

 

 

 

 

17,086,049

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Bonds & Notes (cost—$595,161,973)

 

 

 

620,719,497

 

 

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS—6.2%

 

 

 

 

 

Brazil—1.7%

 

 

 

 

 

 

 

Federal Republic of Brazil,

 

 

 

 

 

2,180

 

8.00%, 4/15/14

 

B1/BB-

 

2,224,759

 

755

 

10.50%, 7/14/14 (e)

 

B1/BB-

 

878,442

 

9,000

 

11.00%, 8/17/40 (e)

 

B1/BB-

 

10,595,250

 

 

 

 

 

 

 

13,698,451

 

 

 

 

 

 

 

 

 

Guatemala—0.2%

 

 

 

 

 

1,500

 

Republic of Guatemala, 9.25%, 8/1/13 (a)(e)

 

Ba2/BB-

 

1,790,625

 

 

 

 

 

 

 

 

 

Panama—1.1%

 

 

 

 

 

 

 

Republic of Panama,

 

 

 

 

 

3,000

 

9.375%, 7/23/12 (e)

 

Ba1/BB

 

3,652,500

 

4,470

 

9.625%, 2/8/11 (e)

 

Ba1/BB

 

5,375,175

 

 

 

 

 

 

 

9,027,675

 

 

 

 

 

 

 

 

 

Peru—1.4%

 

 

 

 

 

 

 

Republic of Peru,

 

 

 

 

 

4,840

 

9.125%, 2/21/12 (e)

 

Ba3/BB

 

5,732,980

 

4,750

 

9.875%, 2/6/15 (e)

 

Ba3/BB

 

5,901,875

 

 

 

 

 

 

 

11,634,855

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

Russia—1.2%

 

 

 

 

 

 

 

Russian Federation,

 

 

 

 

 

$

7,362

 

5.00%, 3/31/30, VRN (e)

 

Baa3/BBB-

 

$

8,180,964

 

1,300

 

8.25%, 3/31/10 (e)

 

Baa3/BBB-

 

1,415,960

 

 

 

 

 

 

 

9,596,924

 

 

 

 

 

 

 

 

 

South Africa—0.4%

 

 

 

 

 

 

 

Republic of South Africa,

 

 

 

 

 

120

 

7.375%, 4/25/12 (e)

 

Baa1/BBB

 

135,450

 

2,600

 

9.125%, 5/19/09 (e)

 

Baa1/BBB

 

2,980,250

 

 

 

 

 

 

 

3,115,700

 

 

 

 

 

 

 

 

 

Ukraine Republic—0.2%

 

 

 

 

 

 

 

Republic of Ukraine,

 

 

 

 

 

1,000

 

7.65%, 6/11/13 (e)

 

B1/BB-

 

1,100,796

 

373

 

11.00%, 3/15/07 (e)

 

B1/BB-

 

393,324

 

 

 

 

 

 

 

1,494,120

 

 

 

 

 

 

 

 

 

 

 

Total Sovereign Debt Obligations (cost—$46,894,746)

 

 

 

50,358,350

 

 

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES (e)—1.8%

 

 

 

 

 

3,500

 

Chase Commercial Mortgage Securities Corp., 6.887%, 10/15/32 (a)

 

NR/BB+

 

3,471,047

 

5,173

 

GSMPS Mortgage Loan Trust, 7.50%, 6/19/27 (a)

 

NR/NR

 

5,399,547

 

 

 

Merrill Lynch Mortgage Investors, Inc.,

 

 

 

 

 

2,805

 

6.939%, 12/15/30, VRN

 

Baa2/A-

 

3,112,707

 

2,000

 

7.227%, 2/15/30, VRN

 

Baa1/BBB+

 

2,131,979

 

663

 

Morgan Stanley Capital I, 3.528%, 4/15/16, FRN (a)

 

Aaa/AAA

 

663,913

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage-Backed Securities (cost—$14,735,124)

 

 

 

14,779,193

 

 

 

 

 

 

 

 

 

NEW JERSEY MUNICIPAL BONDS (a)(e)(k)—1.7%

 

 

 

 

 

 

 

Tobacco Settlement Financing Corp. Rev.,

 

 

 

 

 

4,116

 

8.062%, 6/1/32, FRN

 

NR/AA

 

4,601,012

 

2,500

 

8.925%, 6/1/24, FRN

 

NR/AA

 

3,243,950

 

4,166

 

9.425%, 6/1/32, FRN

 

NR/AA

 

5,545,029

 

 

 

 

 

 

 

 

 

 

 

Total Municipal Bonds (cost—$10,021,131)

 

 

 

13,389,991

 

 

 

 

 

 

 

 

 

SENIOR LOANS (g)(h)(i)—1.0%

 

 

 

 

 

Containers—0.3%

 

 

 

 

 

788

 

Owens-Illinois Group, Inc., 5.19%, 4/1/08, Term B

 

 

 

796,642

 

 

 

Stone Container Corp.,

 

 

 

 

 

131

 

3.24%, 11/1/10

 

 

 

133,165

 

210

 

5.125%, 11/1/10

 

 

 

212,981

 

106

 

5.125%, 11/1/10, Term B

 

 

 

107,514

 

322

 

5.375%, 11/1/10, Term B

 

 

 

327,454

 

215

 

5.375%, 11/1/11

 

 

 

218,303

 

510

 

5.563%, 11/1/11

 

 

 

518,469

 

 

 

 

 

 

 

2,314,528

 

 

 

 

 

 

 

 

 

Multi-Media—0.3%

 

 

 

 

 

2,500

 

Adelphia Communications Corp., 7.25%, 6/30/09

 

 

 

2,477,902

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

Printing/Publishing—0.2%

 

 

 

 

 

 

 

Dex Media East LLC,

 

 

 

 

 

$

105

 

4.75%, 5/8/09, Term B

 

 

 

$

106,716

 

750

 

4.98%, 5/8/09, Term B

 

 

 

761,252

 

92

 

5.05%, 5/8/09, Term B

 

 

 

93,269

 

82

 

5.18%, 5/8/09, Term B

 

 

 

82,745

 

244

 

5.32%, 5/8/09, Term B

 

 

 

247,343

 

200

 

5.33%, 5/8/09, Term B

 

 

 

203,041

 

 

 

 

 

 

 

1,494,366

 

 

 

 

 

 

 

 

 

Utilities—0.2%

 

 

 

 

 

 

 

AES Corp.,

 

 

 

 

 

714

 

5.07%, 4/30/08, Term B

 

 

 

724,375

 

714

 

5.69%, 8/10/11, Term B

 

 

 

724,375

 

 

 

 

 

 

 

1,448,750

 

 

 

 

 

 

 

 

 

 

 

Total Senior Loans (cost—$7,669,596)

 

 

 

7,735,546

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES (e)—0.7%

 

 

 

 

 

49

 

Ameriquest Mortgage Securities, Inc., 3.87%, 2/25/33, FRN

 

Aaa/AAA

 

48,741

 

493

 

CS First Boston Mortgage Securities Corp., 3.79%, 5/25/43, FRN (a)

 

Aaa/AAA

 

493,443

 

5,596

 

United Air Lines, Inc., 7.73%, 7/1/10

 

NR/BBB-

 

5,315,756

 

 

 

 

 

 

 

 

 

 

 

Total Asset-Backed Securities (cost—$5,632,871)

 

 

 

5,857,940

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

PREFERRED STOCK (e)—0.4%

 

 

 

 

 

Financing—0.4%

 

 

 

 

 

3,400

 

Fresenius Medical Care Capital Trust II, 7.875%, 2/1/08, UNIT (cost—$3,674,550)

 

B1/BB-

 

3,561,500

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

 

U.S. TREASURY NOTES (b)—0.2%

 

 

 

 

 

$

1,300

 

U.S. Treasury Notes, 4.125%, 5/15/15 (cost—$1,286,793)

 

 

 

1,283,954

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—11.4%

 

 

 

 

 

CORPORATE NOTES (e)—6.6%

 

 

 

 

 

Financing—1.7%

 

 

 

 

 

 

 

General Motors Acceptance Corp.,

 

 

 

 

 

4,000

 

4.145%, 5/18/06, FRN

 

Baa2/BB

 

3,985,676

 

6,000

 

4.87%, 10/20/05, FRN

 

Baa2/BB

 

6,008,994

 

4,000

 

HSBC Finance Corp., 7.20%, 7/15/06

 

A1/A

 

4,105,908

 

 

 

 

 

 

 

14,100,578

 

 

 

 

 

 

 

 

 

Food & Beverage—0.5%

 

 

 

 

 

4,139

 

Kroger Co., 8.15%, 7/15/06

 

Baa2/BBB-

 

4,279,329

 

 

 

 

 

 

 

 

 

Hotels/Gaming—0.5%

 

 

 

 

 

2,000

 

Caesars Entertainment, Inc., 7.875%, 12/15/05, Ser. A

 

Ba1/BB+

 

2,030,000

 

175

 

ITT Corp., 6.75%, 11/15/05

 

Ba1/BB+

 

176,969

 

1,471

 

Mandalay Resort Group, 6.45%, 2/1/06

 

Ba2/BB

 

1,493,065

 

 

 

 

 

 

 

3,700,034

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

Medical Products—0.1%

 

 

 

 

 

$

1,000

 

Mallinckrodt, Inc., 6.75%, 9/15/05

 

Baa3/BBB

 

$

1,002,420

 

 

 

 

 

 

 

 

 

Multi-Media—2.0%

 

 

 

 

 

6,625

 

Comcast Inc., 8.875%, 9/15/05

 

Baa2/BBB+

 

6,659,298

 

9,375

 

Lenfest Communications, Inc., 8.375%, 11/1/05

 

Baa2/BBB+

 

9,472,725

 

 

 

 

 

 

 

16,132,023

 

 

 

 

 

 

 

 

 

Oil & Gas—0.3%

 

 

 

 

 

2,000

 

Oryx Energy Co., 8.125%, 10/15/05

 

Ba3/BB+

 

2,024,524

 

 

 

 

 

 

 

 

 

Telecommunications—0.4%

 

 

 

 

 

3,000

 

Citizens Communications Co., 7.60%, 6/1/06

 

Ba3/BB+

 

3,060,000

 

500

 

Telefonica Europe BV, 7.35%, 9/15/05, Netherlands

 

A3/A

 

501,963

 

 

 

 

 

 

 

3,561,963

 

 

 

 

 

 

 

 

 

Utilities—1.1%

 

 

 

 

 

1,000

 

GPU, Inc., 7.70%, 12/1/05, Ser. A

 

Baa3/BB+

 

1,010,491

 

4,500

 

Kansas Gas & Electric, 6.20%, 1/15/06

 

Baa3/BBB

 

4,539,470

 

500

 

Nisource Finance Corp., 7.625%, 11/15/05

 

Baa3/BBB

 

505,020

 

2,500

 

PPL Capital Funding Trust I, 7.29%, 5/18/06

 

Ba1/BB+

 

2,548,215

 

 

 

 

 

 

 

8,603,196

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Notes (cost—$53,401,270)

 

 

 

53,404,067

 

 

 

 

 

 

 

 

 

U.S. TREASURY BILLS (e)—2.0%

 

 

 

 

 

16,600

 

2.90%-3.13%,9/1/05-9/15/05 (cost—$16,540,390)

 

 

 

16,540,390

 

 

 

 

 

 

 

 

 

COMMERCIAL PAPER (e)—1.7%

 

 

 

 

 

Finance—1.7%

 

 

 

 

 

500

 

Rabobank USA Financial Corp., 3.265%, 8/2/05

 

P-1/A-1+

 

499,955

 

 

 

UBS Finance, Inc.,

 

 

 

 

 

1,000

 

3.18%-3.185%, 9/6/05

 

P-1/A-1+

 

996,819

 

7,900

 

3.23%, 9/19/05

 

P-1/A-1+

 

7,865,269

 

4,400

 

3.375%, 10/17/05

 

P-1/A-1+

 

4,365,372

 

 

 

 

 

 

 

 

 

 

 

Total Commercial Paper (cost—$13,730,279)

 

 

 

13,727,415

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES (a)(h)—0.4%

 

 

 

 

 

3,000

 

Redwood Capital Ltd., 7.354%, 1/9/06, Cayman Islands, FRN
(cost—$3,000,000)

 

Ba1/BB+

 

3,002,250

 

 

 

 

 

 

 

 

 

REPURCHASE AGREEMENT—0.7%

 

 

 

 

 

6,009

 

State Street Bank & Trust Co., dated 7/29/2005, 2.90%, due 8/1/2005, proceeds $6,010,452; collateralized by Freddie Mac, 2.875%, 9/15/2005, valued at $6,133,028 with accrued interest (cost—$6,009,000)

 

 

 

6,009,000

 

 

 

 

 

 

 

 

 

 

 

Total Short-Term Investments (cost—$92,680,939)

 

 

 

92,683,122

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

(Moody’s/S&P)

 

Value*

 

OPTIONS PURCHASED (j)—0.0%

 

 

 

 

 

Contracts

 

 

 

 

 

 

 

 

 

Put Options—0.0%

 

 

 

 

 

 

 

Eurodollar Futures, Chicago Mercantile Exchange,

 

 

 

 

 

269

 

strike price $93.75, expires 3/13/06

 

 

 

$

1,681

 

183

 

strike price $94.25, expires 12/19/05

 

 

 

1,144

 

773

 

strike price $95.25, expires 9/19/05

 

 

 

4,831

 

177

 

strike price $95.38, expires 9/19/05

 

 

 

1,106

 

 

 

Total Put Options Purchased (cost—$13,706)

 

 

 

8,762

 

 

 

 

 

 

 

 

 

 

 

Total Investments, before options written (cost—$777,771,429)—100.2%

 

 

 

810,377,855

 

 

 

 

 

 

 

 

 

OPTIONS WRITTEN (j)—(0.2)%

 

 

 

 

 

 

 

Call Options—(0.2)%

 

 

 

 

 

 

 

Dow Jones CDX IG4 Credit Default Swap,

 

 

 

 

 

25,500,000

 

strike price $0.40, expires 9/20/05

 

 

 

(145,054

)

 

 

News America Holdings,

 

 

 

 

 

7,450,000

 

strike price $100, expires 10/01/06

 

 

 

(1,033,807

)

 

 

U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade,

 

 

 

 

 

243

 

strike price $111, expires 8/26/05

 

 

 

(155,672

)

207

 

strike price $113, expires 9/23/05

 

 

 

(25,875

)

383

 

strike price $114, expires 11/22/05

 

 

 

(77,797

)

466

 

strike price $115, expires 8/26/05

 

 

 

(7,281

)

540

 

strike price $116, expires 8/26/05

 

 

 

(8,437

)

625

 

strike price $117, expires 8/26/05

 

 

 

(9,766

)

 

 

 

 

 

 

(1,463,689

)

 

 

 

 

 

 

 

 

 

 

Put Options—0.0%

 

 

 

 

 

 

 

Dow Jones CDX IG4 Credit Default Swap,

 

 

 

 

 

25,500,000

 

strike price $0.85, expires 9/20/05

 

 

 

(92

)

 

 

U.S. Treasury Bond Futures, Chicago Board of Trade,

 

 

 

 

 

590

 

strike price $113, expires 8/26/05

 

 

 

(193,594

)

 

 

U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade,

 

 

 

 

 

625

 

strike price $109, expires 8/26/05

 

 

 

(68,359

)

333

 

strike price $110, expires 8/26/05

 

 

 

(93,656

)

 

 

 

 

 

 

(355,701

)

 

 

 

 

 

 

 

 

 

 

Total Options Written (premium received—$1,440,947)

 

 

 

(1,819,390

)

 

 

 

 

 

 

 

 

 

 

Total Investments, net of options written (cost—$776,330,482)—100.0%

 

 

 

$

808,558,465

 

 



 


Notes to Schedule of Investments:

 

*

 

Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, may be fair-valued, in good faith, pursuant to guidelines established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available.  The Fund’s investments are valued daily by an independent pricing service, dealer quotations, or are valued at the last sale price on the exchange that is the primary market for such securities, or the last quoted bid price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales.  Independent pricing service use information provided by market makers or estimates of market values obtained  from yield data relating to investments or securities with similar characteristics. The Fund’s investments in senior floating rate loans (“Senior Loans”) for which a secondary market does not exist are valued at fair-value by Pacific Investment Management Company LLC (the “Sub-Adviser”). Such procedures by the Sub-Adviser include consideration and evaluation of: (1) the creditworthiness of the borrower and any intermediate participants; (2) the term of the Senior Loan; (3) recent prices in the market for similar loans, if any, (4) recent prices in the market for loans of similar quality, coupon rate, and period until next interest rate reset and maturity; and (5) general economic and market conditions affecting the fair value of the Senior Loan. Exchange traded options and futures are valued at the settlement price determined by the relevant exchange.  Securities purchased on a when-issued or delayed delivery basis are marked to market daily until settlement at the forward settlement value. Short-term investments maturing in 60 days or less are valued at amortized cost, if their original 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.  The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold.  The Fund’s net asset value is determined daily at the close of regular trading (normally 4:00 p.m. Eastern time) on the New York Stock Exchange.

 

 

 

(a)

 

144A Security - Security 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.

(b)

 

When-Issued or delayed-delivery security.  To be settled/delivered after July 31, 2005.

(c)

 

Fair-valued security.

(d)

 

Credit-linked trust certificate.

(e)

 

All or partial amount segregated as collateral for futures contracts, when-issued or delayed-delivery securities.

(f)

 

Security in default.

(g)

 

Private Placement.  Restricted as to resale and may not have a readily available market.

(h)

 

Illiquid security.

(i)

 

These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium.  These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate.  These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower.  Such prepayments cannot be predicted with certainty.

(j)

 

Non-income producing.

(k)

 

Residual Interest/Tax Exempt Municipal Bonds - The interest rate shown bears an inverse relationship to the interest rate on another security or the value of an index.

 

Glossary:

CAD - Canadian Dollar.

GBP - British Pound.

FRN - Floating Rate Note.  The interest rate disclosed reflects the rate in effect on July 31, 2005.

NR - Not Rated

REIT - Real Estate Investment Trust.

UNIT -  More than one class of securities traded together.

VRN - Variable Rate Note.   Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate).

 



 

Other Investments:

 

(1) Credit default swap contracts outstanding at July 31, 2005:

 

 

 

Notional

 

 

 

Fixed

 

 

 

 

 

 

 

Amount Payable

 

 

 

Payments

 

 

 

 

 

Swap Counterparty/

 

on Default

 

Termination

 

Received by

 

Unrealized

 

 

 

Referenced Debt Obligation

 

(000)

 

Date

 

Fund

 

Appreciation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Credit Co.

 

$

2,000

 

6/20/2006

 

2.60

%

$

26,509

 

 

 

Bear Stearns

 

 

 

 

 

 

 

 

 

 

 

Encana Corp.

 

3,000

 

9/20/2009

 

0.53

%

27,405

 

 

 

Ford Motor Credit Co.

 

4000

 

6/20/2010

 

5.60

%

344,052

 

 

 

General Motors Acceptance Corporation

 

5,000

 

6/20/2007

 

4.65

%

257,228

 

 

 

Goldman Sachs

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Credit Co.

 

1,000

 

6/20/2007

 

3.00

%

20,338

 

 

 

General Motors Corp.

 

1,300

 

6/20/2006

 

3.10

%

18,939

 

 

 

HSBC Bank

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Credit Co.

 

5,000

 

6/20/2007

 

2.67

%

71,982

 

 

 

Ford Motor Credit Co.

 

1,000

 

6/20/2007

 

2.70

%

14,937

 

 

 

J.P. Morgan Chase

 

 

 

 

 

 

 

 

 

 

 

American Int. Corp.

 

5,100,000

 

6/20/2010

 

0.35

%

17,197

 

 

 

Ford Motor Credit Co.

 

1,800,000

 

6/20/2006

 

2.15

%

16,701

 

 

 

Ford Motor Credit Co.

 

10,000,000

 

6/20/2007

 

3.10

%

221,387

 

 

 

Ford Motor Credit Co.

 

1,000,000

 

6/20/2006

 

3.25

%

18,998

 

 

 

General Motors Acceptance Corporation

 

8,000,000

 

6/20/2006

 

2.63

%

107,040

 

 

 

General Motors Acceptance Corporation

 

500,000

 

6/20/2006

 

2.75

%

7,221

 

 

 

Lehman Brothers

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Credit Co.

 

650,000

 

6/20/2006

 

2.90

%

10,338

 

 

 

Merrill Lynch

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Credit Co.

 

2,000

 

6/20/2007

 

3.45

%

56,881

 

 

 

Morgan Stanley

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Credit Co.

 

1,000

 

6/20/2007

 

3.40

%

27,540

 

 

 

Ford Motor Credit Co.

 

2,000

 

6/20/2007

 

3.75

%

67,684

 

 

 

Ford Motor Credit Co.

 

5,000

 

9/20/2010

 

4.05

%

104,125

 

 

 

General Motors Acceptance Corporation

 

10,000

 

6/20/2006

 

2.80

%

148,844

 

 

 

UBS

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Credit Co.

 

1,000

 

6/20/2007

 

3.35

%

26,640

 

 

 

General Motors Acceptance Corporation

 

1,000

 

6/20/2006

 

3.83

%

23,999

 

 

 

 

 

 

 

 

 

 

 

$

1,635,985

 

 

 

 

(2) Interest rate swap agreements outstanding at July 31, 2005:

 

 

 

 

 

 

 

Rate Type

 

 

 

 

 

Notional

 

 

 

Payments

 

Payments

 

Unrealized

 

Swap

 

Amount

 

Termination

 

made

 

Received

 

Appreciation

 

Counterparty

 

(000)

 

Date

 

by the Fund

 

by the Fund

 

(Depreciation)

 

Goldman Sachs

 

$

680,000

 

12/24/24

 

3 Month LIBOR

 

5.13%

 

$

21,441,692

 

Lehman Brothers

 

7,450

 

10/1/06

 

7.43%

 

3 Month LIBOR plus 1.15%

 

(173,158

)

Lehman Brothers

 

680,000

 

7/20/25

 

4.85%

 

3 Month LIBOR

 

2,950,044

 

 

 

 

 

 

 

 

 

 

 

$

24,218,578

 

 


LIBOR- London Interbank Offered Rate

 

(3) Forward foreign currency contracts outstanding at July 31, 2005:

 

 

 

 

 

U.S.$ Value on

 

U.S.$ Value on

 

Unrealized

 

 

 

 

 

 

 

Origination Date

 

July 31, 2005

 

Appreciation

 

 

 

Sold :

CAD, settling 8/30/05

 

 

 

$

1,452,102

 

$

1,428,701

 

$

23,401

 

 

 

 

GBP, settling 8/30/05

 

 

 

11,648,751

 

11,644,590

 

4,161

 

 

 

 

 

 

 

 

 

 

 

$

27,562

 

 

 

 

(4) Futures contracts outstanding at July 31, 2005:

 

 

 

 

 

Notional Amount

 

Expiration

 

Unrealized

 

 

 

Type

 

 

 

(000)

 

Date

 

Appreciation

 

 

 

Long:

Eurodollar Futures, September 2006

 

$

212,500

 

9/18/06

 

$

935,000

 

 

 

 

U.S. Treasury Bonds, September 2005

 

42,200

 

9/21/05

 

1,529,794

 

 

 

 

 

 

 

 

 

 

 

$

2,464,794

 

 

 

 



 

Item 2. Controls and Procedures

 

(a)                                  The registrant’s President and Chief Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

 

(b)                                 There were no significant changes in the registrant’s internal controls or in factors that could affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

Item 3. Exhibits

 

(a) Exhibit 99.302 Cert. – Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

 



 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: PIMCO Corporate Income Fund

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

Date: September 27, 2005

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

Date: September 27, 2005

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dated indicated.

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

Date: September 27, 2005

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

Date: September 27, 2005