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:

1/31/05

 

 

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

January 31, 2005

(unaudited)

 

 

 

 

 

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value*

 

 

 

CORPORATE BONDS & NOTES - 73.6%

 

 

 

 

 

 

 

Airlines - 4.5%

 

 

 

 

 

$

3,008

 

American Airlines, Inc., pass thru certificates,

 

 

 

 

 

 

 

6.98%, 4/1/11, Ser. 01-2

 

Baa2/A-

 

$

3,048,916

 

 

 

Continental Airlines, Inc., pass thru certificates,

 

 

 

 

 

10,000

 

6.50%, 6/15/11, Ser. 01-1

 

Baa3/A

 

9,594,815

 

3,035

 

7.06%, 9/15/09, Ser. 99-2

 

Baa3/A

 

3,086,621

 

2,500

 

7.49%, 10/2/10, Ser. 00-2

 

Baa3/A

 

2,492,944

 

4,270

 

Northwest Airlines Corp., pass thru certificates, 7.58%, 3/1/19, Ser. 992A

 

Baa2/A-

 

4,342,088

 

 

 

United Airlines, Inc., pass thru certificates,

 

 

 

 

 

3,515

 

1.535%, 3/2/49, Ser. 97A

 

WR/NR

 

3,034,263

 

6,487

 

6.201%, 9/1/08, Ser. 01-1

 

WR/NR

 

5,903,680

 

4,908

 

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

 

WR/NR

 

4,455,892

 

5,599

 

7.73%, 7/1/10, Ser. 00-1

 

WR/NR

 

4,951,882

 

700

 

10.36%, 11/13/12, Ser. 91C (a) (b) (c)

 

WR/NR

 

332,500

 

 

 

 

 

 

 

41,243,601

 

 

 

Automotive - 1.7%

 

 

 

 

 

2,000

 

Auburn Hills Trust, 12.38%, 5/1/20

 

A3/BBB

 

3,182,004

 

5,000

 

Ford Motor Co., 9.98%, 2/15/47

 

Baa1/BBB-

 

6,165,885

 

5,000

 

General Motors Corp., 7.20%, 1/15/11

 

Baa2/BBB-

 

5,023,095

 

1,000

 

Hertz Corp., 7.625%, 6/1/12

 

Baa2/BBB-

 

1,082,492

 

 

 

 

 

 

 

15,453,476

 

 

 

Banking - 1.5%

 

 

 

 

 

5,000

 

Colonial Bank Inc., 9.375%, 6/1/11

 

Ba1/BBB-

 

5,932,705

 

1,700

 

Fifth Third Capital Trust, 8.136%, 3/15/27, Ser. A

 

Aa3/NR

 

1,976,275

 

1,000

 

HSBC Capital Funding, 10.18%, 12/39/49

 

A1/A-

 

1,580,588

 

1,000

 

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

 

Caa1/D

 

1,095,000

 

1,750

 

Riggs National Corp., 9.65%, 6/15/09

 

B2/CCC

 

2,003,750

 

1,000

 

Royal Bank of Scotland Group, plc, 7.65%, 9/30/31 VRN

 

A1/A

 

1,263,051

 

 

 

 

 

 

 

13,851,369

 

 

 

Computer Services - 0.3%

 

 

 

 

 

 

 

Electronic Data Systems Corp.,

 

 

 

 

 

1,000

 

6.00%, 8/1/13, Ser. B

 

Ba1/BBB-

 

1,058,170

 

1,500

 

7.125%, 10/15/09

 

Ba1/BBB-

 

1,640,358

 

 

 

 

 

 

 

2,698,528

 

 

 

Containers - 0.4%

 

 

 

 

 

3,000

 

Ball Corp., 6.875%, 12/15/12

 

Ba3/BB

 

3,210,000

 

 

 

 

 

 

 

 

 

 

 

Diversified Manufacturing - 2.5%

 

 

 

 

 

500

 

Dresser, Inc., 9.375%, 4/15/11

 

B2/B

 

545,000

 

4,000

 

Hutchison Whampoa International Ltd.,

 

 

 

 

 

 

 

6.25%-6.50%, 2/13/13-1/24/14 (d)

 

A3/A-

 

4,280,999

 

1,030

 

Raychem Corp., 7.20%, 10/15/08

 

Ba3/BBB

 

1,164,267

 

14,574

 

Tyco International Group SA., 6.75%-7.00%, 2/15/11-6/15/28

 

Baa3/BBB

 

16,919,673

 

 

 

 

 

 

 

22,909,939

 

 

 

Energy - 1.2%

 

 

 

 

 

1,000

 

Edison Mission Energy, 7.73%, 6/15/09

 

B1/B

 

1,065,000

 

898

 

GG1C Funding Corp., 5.13%, 1/15/14 (d)

 

Baa3/BBB

 

897,324

 

5,000

 

MidAmerican Energy Holdings, Co., 5.875%, 10/1/12

 

Baa3/BBB-

 

5,331,235

 

1,000

 

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

 

Baa2/BB+

 

1,030,411

 

2,719

 

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

 

Ba2/B

 

3,050,995

 

 

 

 

 

 

 

11,374,965

 

 

 

Financing - 9.1%

 

 

 

 

 

8,500

 

Beaver Valley Funding Corp., 9.00%, 6/1/17

 

Baa3/BB+

 

10,094,455

 

1,000

 

BlueWater Finance Ltd., 10.25%, 2/15/12

 

B1/B

 

1,105,000

 

10,000

 

CIT Group Inc., 2.74%, 9/20/07 (e)

 

A2/BBB-

 

10,023,850

 

 

 

Cedar Brakes II LLC.,

 

 

 

 

 

552

 

8.50%, 2/15/14, Ser.B

 

Baa2/CCC+

 

637,765

 

4,841

 

9.875%, 9/1/13

 

Baa2/CCC+

 

5,797,217

 

10,500

 

Ford Motor Credit Co., 5.80%-7.25%, 1/25/07-10/1/13

 

A3/BBB-

 

11,003,995

 

1,180

 

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

 

Aaa/AAA

 

1,372,357

 

8,000

 

General Motors Accecptance Corp.,

 

 

 

 

 

 

 

3.56%-3.695% 5/18/06-1/16/07 (e)

 

Baa1/BBB-

 

7,951,431

 

10,000

 

General Motors Acceptance Corp., 6.125%-6.875%, 8/28/07-9/15/11

 

Baa1/BBB-

 

10,104,150

 

 



 

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value*

 

 

 

Financing (continued)

 

 

 

 

 

 

 

Household Finance Corp.,

 

 

 

 

 

$

500

 

3.14%, 10/12/06 (d)

 

A1/A

 

$

504,230

 

5,265

 

7.20%-7.65%, 7/15/06-5/15/07

 

A1/A

 

5,573,499

 

1,300

 

Mizuho JGB Investment LLC, 9.87%, 6/30/08 (b) (d)

 

Baa1/BBB-

 

1,514,908

 

300

 

Mizuho Preferred Capital Co., 8.79%, 6/30/08 (b) (d)

 

Baa3/BB

 

337,464

 

2,000

 

Preferred Term Securities XIII, 3.08%, 3/24/34 (b) (c) (d) (e)

 

Aaa/AAA

 

1,981,592

 

5,000

 

Sets Trust No. 2002-3, 8.85%, 4/2/07 (c) (d) (e)

 

NR/NR

 

5,322,247

 

10,000

 

TIERS Principal Protected Trust, 8.41%, 3/22/07 (b) (d) (e) (f)

 

NR/NR

 

9,597,570

 

 

 

 

 

 

 

82,921,730

 

 

 

Food & Beverage - 1.2%

 

 

 

 

 

2,000

 

Anheuser Busch Cos., Inc., 5.00%, 3/1/19

 

A1/A+

 

2,008,964

 

5,000

 

Delhaize America, Inc., 8.125%, 4/15/11

 

Ba1/BB+

 

5,837,635

 

3,000

 

Ingles Markets, Inc., 8.875%, 12/1/11

 

Ba3/B+

 

3,135,000

 

 

 

 

 

 

 

10,981,599

 

 

 

Food Services - 1.3%

 

 

 

 

 

4,139

 

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

 

Baa2/BBB

 

4,402,278

 

5,897

 

Tricon Global Restaurants, Inc., 8.875%, 4/15/11

 

Baa3/BBB-

 

7,256,724

 

 

 

 

 

 

 

11,659,002

 

 

 

Healthcare & Hospitials - 2.2%

 

 

 

 

 

6,470

 

Columbia/HCA Healthcare Corp., 8.70%-9.00%, 2/10/10-12/15/14

 

Ba2/BB+

 

7,642,006

 

7,000

 

Healthsouth Corp., 7.00%-8.375%, 6/15/08-10/1/11

 

WR/NR

 

7,233,750

 

1,006

 

Manor Care, Inc., 8.00%, 3/1/08

 

Baa3/BBB

 

1,116,231

 

5,000

 

Tenet Healthcare Corp., 6.375%, 12/01/11

 

B3/B-

 

4,512,500

 

 

 

 

 

 

 

20,504,487

 

 

 

Hotels & Gaming - 4.7%

 

 

 

 

 

2,000

 

Harrah’s Operating Co., Inc., 8.00%, 2/1/11

 

Baa3/BBB-

 

2,320,358

 

2,000

 

Hilton Hotels Corp., 7.625%, 12/1/12

 

Baa3/BBB-

 

2,351,330

 

1,500

 

Host Marriot LP, 9.50%, 1/15/07, Ser. I, REIT

 

Ba3/B+

 

1,631,250

 

5,000

 

ITT Corp., 7.375%, 11/15/15

 

Ba1/BB+

 

5,625,000

 

 

 

Mandalay Resort Group,

 

 

 

 

 

2,471

 

6.45%, 2/1/06

 

Ba2/BB+

 

2,565,791

 

500

 

9.375%, 2/15/10

 

Ba3/BB-

 

576,250

 

12,190

 

MGM Mirage, Inc., 6.75%-8.50%, 2/1/08-9/15/10

 

Ba2/BB+

 

13,587,000

 

 

 

Park Place Entertainment Corp.,

 

 

 

 

 

3,000

 

8.125%-8.875%, 9/15/08-5/15/11

 

Ba2/BB-

 

3,428,750

 

3,000

 

8.50%, 11/15/06

 

Ba1/BB+

 

3,240,000

 

 

 

Starwood Hotels & Resorts Worldwide, Inc.,

 

 

 

 

 

3,880

 

7.375%-7.875%, 5/1/07-5/1/12

 

Ba1/BB+

 

4,223,000

 

2,621

 

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

 

Baa3/BB+

 

3,184,414

 

 

 

 

 

 

 

42,733,143

 

 

 

Insurance - 0.4%

 

 

 

 

 

2,300

 

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

 

NR/BBB+

 

2,387,671

 

123

 

Prudential Financial Inc., 4.104%, 11/15/06

 

A3/A

 

124,094

 

1,500

 

Residential Reinsurance Ltd., 7.35%, 6/8/06 (b) (c) (e)

 

Ba2/BB+

 

1,462,957

 

 

 

 

 

 

 

3,974,722

 

 

 

Medical Products - 0.1%

 

 

 

 

 

1,000

 

Fresenius Medical Care AG, 7.875%, 6/15/11

 

Ba2/BB-

 

1,110,000

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining - 0.4%

 

 

 

 

 

3,000

 

Noranda, Inc., 7.25%, 7/15/12

 

Baa3/BBB-

 

3,407,661

 

 

 

 

 

 

 

 

 

 

 

Multi-Media - 6.3%

 

 

 

 

 

8,000

 

AOL Time Warner Inc., 7.70%, 5/1/32

 

Baa1/BBB+

 

9,997,816

 

 

 

British Sky Broadcasting Group,

 

 

 

 

 

3,000

 

6.875%, 2/23/09

 

Baa3/BBB-

 

3,283,311

 

2,105

 

7.30%, 10/15/06

 

Baa2/BBB-

 

2,225,905

 

 



 

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value*

 

 

 

Multi-Media (continued)

 

 

 

 

 

$

1,000

 

CF Cable TV, Inc., 9.125%, 7/15/07

 

Ba3/BB-

 

$

1,028,442

 

 

 

Comcast Corp.,

 

 

 

 

 

500

 

6.50%, 1/15/15

 

Baa3/BBB

 

558,672

 

2,250

 

10.625%, 7/15/12

 

Ba2/BBB-

 

2,956,835

 

925

 

Continental Cablevision, Inc., 9.00%, 9/1/08

 

Baa3/BBB

 

1,073,321

 

 

 

CSC Holding, Inc.,

 

 

 

 

 

1,000

 

7.25%, 7/15/08

 

B1/BB-

 

1,062,500

 

3,625

 

7.25%-8.125%, 7/15/08-4/11/11, Ser.B

 

B1/BB-

 

3,989,062

 

3,000

 

8.125%, 7/15/09

 

B1/BB-

 

3,307,500

 

6,000

 

DirecTV Holdings Corp., 8.375%, 3/15/13

 

Ba2/BB-

 

6,787,500

 

1,950

 

Echostar DBS Corp., 9.125%, 1/15/09

 

Ba3/BB-

 

2,130,375

 

9,060

 

News America, Inc., 6.75%-7.43%, 10/1/26-1/9/38

 

Baa3/BBB-

 

10,716,802

 

1,750

 

Rogers Cable Inc., 7.25%, 12/15/11

 

Ba3/BB+

 

1,466,855

 

5,500

 

Time Warner, Inc., 6.625%- 9.125%, 1/15/13-5/15/29

 

Baa1/BBB+

 

6,967,090

 

 

 

 

 

 

 

57,551,986

 

 

 

Oil & Gas - 9.3%

 

 

 

 

 

1,000

 

AmeriGas Partners, L.P., 8.875%, 5/20/11, Ser. B

 

B2/BB-

 

1,085,000

 

3,000

 

Columbia Energy Group Inc., 7.32%, 11/28/10

 

Baa2/BBB

 

3,091,449

 

 

 

Dynergy-Roseton Danskamme,

 

 

 

 

 

1,750

 

7.27%, 11/8/10, Ser. A

 

Caa2/B

 

1,776,250

 

3,000

 

7.67%, 11/8/16, Ser. B

 

Caa2/B

 

2,925,000

 

3,000

 

Forest Oil Corp., 8.00%, 12/15/11

 

Ba3/BB-

 

3,368,750

 

4,300

 

Gaz Capital SA., 8.625%, 4/28/34

 

Ba2/BB-

 

5,063,250

 

3,750

 

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

 

B2/B+

 

3,993,750

 

8,000

 

Noram Energy Corp., 6.50%, 2/1/08

 

Ba1/BBB

 

8,521,480

 

 

 

Pemex Project Funding Master Trust,

 

 

 

 

 

5,750

 

8.00%-8.625%, 11/15/11-2/1/22

 

Baa1/BBB

 

6,679,375

 

3,500

 

9.50%, 9/15/27, (c)

 

Baa1/BBB

 

4,497,500

 

967

 

Perforadora Centrale SA, 4.92%, 12/15/18

 

NR/NR

 

984,933

 

4,915

 

Pioneer Natural Resource Co., 5.875%-6.50%, 1/15/08-7/15/16

 

Baa3/BBB-

 

5,195,953

 

1,300

 

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

 

Ba3/BB

 

1,397,500

 

1,200

 

Reliant Energy Resources Corp., 7.75%, 2/15/11

 

Ba1/BBB

 

1,393,112

 

300

 

SESI, LLC, 8.875%, 5/15/11

 

B1/BB-

 

327,750

 

250

 

Transcontinental Gas Pipe Corp., 8.875%, 7/15/12, Ser. B

 

Ba2/B+

 

304,688

 

2,000

 

USX Corp., 9.375%, 2/15/12

 

Baa1/BBB+

 

2,554,828

 

5,000

 

Valero Energy Corp., 6.875%, 4/15/12

 

Baa3/BBB

 

5,684,795

 

5,000

 

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

 

Baa1/BBB+

 

5,566,170

 

15,000

 

Williams Cos., Inc., 7.125%-8.75%, 9/1/11-3/15/32

 

B1/B+

 

16,737,500

 

3,500

 

XTO Energy, Inc., 6.25%, 4/15/13

 

Baa3/BBB-

 

3,859,083

 

 

 

 

 

 

 

85,008,116

 

 

 

Paper/Paper Products - 1.3%

 

 

 

 

 

2,500

 

Boise Cascade Corp., 7.315%, 6/15/09

 

Ba1/BB

 

2,781,250

 

6,662

 

Donohue Forest Products 7.625%, 5/15/07

 

Ba3/BB-

 

6,911,825

 

500

 

Georgia-Pacific Corp., 8.125%, 5/15/11

 

Ba3/BB+

 

577,500

 

500

 

International Paper Co., 6.75%, 9/1/11

 

Baa2/BBB

 

562,793

 

850

 

Norske Skogindustrier ASA, 6.125%, 10/15/15 (d)

 

Baa3/BBB-

 

885,540

 

 

 

 

 

 

 

11,718,908

 

 

 

Pharmaceuticals - 0.4%

 

 

 

 

 

3,500

 

Wyeth, 5.50%-6.50%, 2/1/14-2/1/34

 

Baa1/A

 

3,720,115

 

 

 

 

 

 

 

 

 

 

 

Printing/Publishing- 0.7%

 

 

 

 

 

 

 

Quebecor World Inc.,

 

 

 

 

 

6,000

 

6.125%, 11/15/13

 

Baa3/BBB-

 

6,254,034

 

 

 

 

 

 

 

 

 

 

 

Telecommunications- 13.2%

 

 

 

 

 

17,500

 

AT&T Corp., 7.30%-9.75%, 11/15/11-11/15/31

 

Ba1/BB+

 

21,809,375

 

5,000

 

Bellsouth Cap Funding Corp., 7.875%, 2/15/30

 

A2/A

 

6,405,375

 

5,000

 

Citizens Communications Co., 9.25%, 5/15/11

 

Ba3/BB+

 

5,862,500

 

3,000

 

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

 

Ba3/BB+

 

3,142,500

 

10,000

 

Deutsche Telekom International, 8.00%, 6/15/10

 

Baa1/BBB+

 

11,881,720

 

 



 

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value*

 

 

 

Telecommunications (continued)

 

 

 

 

 

$

10,000

 

France Telecom, 7.75%, 3/1/11

 

Baa1/A-

 

$

11,947,950

 

1,353

 

MCI Communications Corp., 6.908%-8.735%, 5/1/07-5/1/14

 

B2/B+

 

1,425,755

 

5,000

 

Nextel Communications Inc., 6.875%-7.375%, 10/31/13-8/1/15

 

Ba3/BB

 

5,488,750

 

1,250

 

PanAmSat Corp., 6.375%, 1/15/08

 

B1/BB+

 

1,303,125

 

750

 

PCCW Capital II, Ltd., 6.00%, 7/15/13 (d)

 

Baa2/BBB

 

798,282

 

12,860

 

Quest Capital Funding, Inc., 7.25%, 2/15/11

 

Caa2/B

 

12,409,900

 

9,000

 

Quest Communications International, Inc.,. 7.25%, 2/15/11 (d)

 

B3/B

 

9,270,000

 

3,000

 

SBC Communications, Inc., 4.125%, 9/15/09

 

A2/A

 

2,981,706

 

13,900

 

Sprint Capital Corp. (FON Group), 6.125%-7.875%, 11/15/08-11/15/28

 

Baa3/BBB-

 

15,049,678

 

8,969

 

Verizon Global Funding Corp., 6.875%-7.25%, 12/1/10-6/15/12

 

A2/A+

 

10,249,541

 

 

 

 

 

 

 

120,026,157

 

 

 

Utilities- 8.8%

 

 

 

 

 

2,000

 

CMS Energy Corp., 8.90%, 7/15/08

 

B1/B+

 

2,202,500

 

3,500

 

Consumers Energy, Inc., 6.25%-6.375%, 9/15/06-2/1/08

 

Baa3/BBB-

 

3,651,483

 

4,838

 

East Coast Power LLC, 6.74-7.07%, 3/31/08-3/13/12, Ser B

 

Baa3/BBB-

 

5,116,833

 

2,000

 

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

 

Baa2/BBB+

 

2,229,902

 

4,730

 

FPL Energy Wind Funding, 6.88%, 6/27/17 (d)

 

Ba2/BB-

 

4,948,762

 

2,500

 

Georgia Power Co., 2.48%, 2/17/05, Ser. U, (e)

 

A2/A

 

2,503,198

 

4,900

 

Homer City Funding LLC, 8.14%, 10/1/19

 

Ba2/BB

 

5,561,500

 

7,650

 

IPALCO Enterprises, Inc., 8.375% - 8.625%, 11/14/08-11/14/11

 

Ba1/BB-

 

8,936,250

 

4,000

 

Midwest Generation LLC, 8.56%, 1/2/16, Ser. B

 

B1/B

 

4,485,000

 

2,000

 

Northern State Power Co., 8.00%, 8/28/12, Ser. B

 

A2/A-

 

2,449,256

 

2,000

 

Pacific Gas & Electric Corp., 3.26%, 4/3/06 (e)

 

Baa2/BBB

 

2,002,226

 

2,000

 

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

 

A3/A-

 

2,117,938

 

2,500

 

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

 

Ba1/BB+

 

2,603,778

 

 

 

PSEG Energy Holdings, Inc.,

 

 

 

 

 

10,790

 

8.50%-8.625%, 2/15/08-6/15/11

 

Ba3/BB-

 

11,914,189

 

5,000

 

8.625%, 5/15/31

 

Baa1/BB-

 

6,878,130

 

500

 

Public Service Electric & Gas Co., 4.00%, 11/1/08

 

A3/A-

 

499,097

 

5,315

 

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

 

B2/B

 

5,009,537

 

1,144

 

Southern California Edison Co., 8.00%, 2/15/07

 

WR/BBB+

 

1,238,194

 

2,000

 

Texas Utilities Electric Co., 7.17%, 8/1/07

 

Baa3/BBB-

 

2,126,512

 

3,500

 

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

 

Ba2/BBB-

 

3,611,580

 

 

 

 

 

 

 

80,085,865

 

 

 

Waste Management- 2.1%

 

 

 

 

 

3,745

 

Allied Waste North America, Inc.,

 

 

 

 

 

 

 

7.625%-8.500%, 1/1/08-12/1/08, Ser. B (c)

 

B2/BB-

 

3,888,488

 

13,000

 

Waste Management, Inc., 7.10%-7.65%, 8/1/10-3/1/26

 

Baa3/BBB

 

15,005,534

 

 

 

 

 

 

 

18,894,022

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Bonds & Notes (cost-$633,616,514)

 

 

 

671,293,425

 

 

 

 

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS - 4.2%

 

 

 

 

 

 

 

Brazil - 0.3%

 

 

 

 

 

 

 

Federal Republic of Brazil,

 

 

 

 

 

2,300

 

8.00%, 4/15/14

 

B1/BB-

 

2,370,523

 

 

 

Guatemala - 0.2%

 

 

 

 

 

 

 

Republic of Guatemala,

 

 

 

 

 

1,500

 

9.25%, 8/1/13 (d)

 

Ba2/BB-

 

1,717,500

 

 

 

Panama - 1.0%

 

 

 

 

 

 

 

Republic of Panama,

 

 

 

 

 

7,470

 

9.375%-9.625%, 2/8/11-7/23/12

 

Ba1/BB

 

8,814,600

 

 

 

Peru - 1.2%

 

 

 

 

 

 

 

Republic of Peru,

 

 

 

 

 

7,590

 

9.125%-9.875%, 2/21/12-2/6/15

 

Ba3/BB

 

11,302,075

 

 

 

Russia - 1.0%

 

 

 

 

 

 

 

Russian Federation,

 

 

 

 

 

8,662

 

5.00%-8.25%, 3/31/10-3/31/30

 

Baa3/BB+

 

9,169,890

 

 



 

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value*

 

 

 

SOVEREIGN DEBT OBLIGATIONS (continued)

 

 

 

 

 

 

 

South Africa - 0.3%

 

 

 

 

 

 

 

Republic of South Africa,

 

 

 

 

 

$

2,720

 

7.375%-9.125%, 5/19/09-4/25/12

 

Baa1/BBB

 

$

3,199,350

 

 

 

Ukraine Republic - 0.2%

 

 

 

 

 

 

 

Republic of Ukraine,

 

B1/B

 

 

 

1,502

 

7.65%-11.00%, 3/15/07-6/11/13

 

B1/B+

 

1,601,773

 

 

 

Total Sovereign Debt Obligations (cost-$36,290,332)

 

 

 

38,175,711

 

 

 

 

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES (d) - 2.1%

 

 

 

 

 

3,500

 

Chase Commercial Mortgage Securities Corp.,

 

 

 

 

 

 

 

6.89%, 11/15/32

 

NR/BB+

 

3,528,979

 

5,963

 

GSMPS Mortgage Loan Trust, 7.50%, 6/19/27

 

NR/NR

 

6,270,256

 

2,343

 

Lehman Brothers Floating Rate Commercial Mortgage Trust,

 

 

 

 

 

 

 

4.13%, 11/19/12

 

NR/AAA

 

2,345,903

 

 

 

Merrill Lynch Mortgage Investors, Inc.,

 

 

 

 

 

2,805

 

7.14%, 12/15/30

 

Baa3/A-

 

3,100,729

 

2,000

 

7.38%, 12/15/30

 

Baa1/BBB+

 

2,189,745

 

 

 

 

 

 

 

5,290,474

 

21,222

 

Morgan Stanley Capital, Inc., 2.62%, 4/15/06

 

Aaa/AAA

 

2,126,681

 

 

 

Total Mortgage-Backed Securities (cost-$19,387,748)

 

 

 

19,562,293

 

 

 

 

 

 

 

 

 

 

 

SENIOR LOANS (b) (g) (h) - 1.0%

 

 

 

 

 

 

 

Containers- 0.3%

 

 

 

 

 

810

 

Owens-Illinois Group, Inc., 5.23%, 4/1/08, Term B

 

 

 

824,598

 

 

 

Smurfit Stone Container Corp.,

 

 

 

 

 

215

 

4.438%, 11/1/11

 

 

 

218,202

 

107

 

4.50%, 11/1/10, Term C

 

 

 

109,101

 

107

 

4.50%, 11/1/10, Term B

 

 

 

109,078

 

 

 

Stone Container Corp.,

 

 

 

 

 

131

 

2.206%, 11/1/10

 

 

 

133,075

 

106

 

4.17%, 5/8/09, Term B

 

 

 

107,323

 

430

 

4.438%, 11/1/10, Term B

 

 

 

436,310

 

510

 

4.688%, 11/1/11, Term B

 

 

 

518,118

 

 

 

 

 

 

 

2,455,805

 

 

 

Energy - 0.1%

 

 

 

 

 

 

 

AES Corp.,

 

 

 

 

 

1,428

 

4.25%-4.44%, 4/30/08-8/10/11, Term B

 

 

 

1,453,274

 

 

 

 

 

 

 

 

 

 

 

Multi-Media - 0.3%

 

 

 

 

 

2,500

 

Adelphia Century Cable, 7.25%, 6/30/09, Term B

 

 

 

2,485,937

 

 

 

 

 

 

 

 

 

 

 

Publishing- 0.1%

 

 

 

 

 

1,220

 

Readers Digest Association Inc., 4.55%, 5/20/08, Term B

 

 

 

1,238,515

 

 

 

 

 

 

 

 

 

 

 

Telecommunications - 0.2%

 

 

 

 

 

 

 

Dex Media East LLC,

 

 

 

 

 

114

 

4.14%, 5/8/09, Term B

 

 

 

115,012

 

280

 

4.17%, 5/8/09, Term B

 

 

 

283,670

 

881

 

4.21%, 5/8/09, Term B

 

 

 

892,489

 

89

 

4.23%, 5/8/09, Term B

 

 

 

90,391

 

101

 

4.25%, 5/8/09, Term B

 

 

 

102,263

 

 

 

 

 

 

 

1,483,825

 

 

 

Total Senior Loans (cost-$9,014,594)

 

 

 

9,117,356

 

 



 

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value*

 

 

 

ASSET–BACKED SECURITIES - 0.5%

 

 

 

 

 

$

178

 

Ameriquest Mortgage Securities Inc., 2.94%, 2/25/33 (e)

 

Aaa/AAA

 

$

179,468

 

1,091

 

CS First Boston Mortgage Securities Corp., 2.86%, 5/25/43

 

Aaa/AAA

 

1,091,273

 

3,000

 

Redwood Capital Ltd., 6.41%, 1/9/06 (b) (c)

 

Ba1/BB+

 

3,003,240

 

 

 

Total Asset-Backed Securities (cost-$4,269,372)

 

 

 

4,273,981

 

 

 

 

 

 

 

 

 

 

 

MUNICIPAL BONDS (c) (e) -1.2%

 

 

 

 

 

 

 

New Jersey-1.2%

 

 

 

 

 

 

 

Tobacco Settlement Funding Corp.,

 

 

 

 

 

2,500

 

9.465%, 6/1/24

 

NR/AA

 

2,572,700

 

4,314

 

8.715%, 6/1/32

 

NR/AA

 

4,058,956

 

4,166

 

9.965%, 6/1/32

 

NR/AA

 

4,159,668

 

 

 

Total Municipal Bonds (cost-$10,187,748)

 

 

 

10,791,324

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

PREFERRED STOCK - 0.4%

 

 

 

 

 

3,400

 

Fresenius Medical Care AG, 7.875%, 10/25/43 (cost-$3,674,550)

 

Ba2/BB-

 

3,663,500

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES - 0.3%

 

 

 

 

 

$

2,590

 

Freddie Mac 7.50%, 2/24/05, CMO (cost-$2,818,480)

 

Aaa/AAA

 

2,784,681

 

 

 

 

 

 

 

 

 

 

 

U.S. TREASURY NOTES - 7.8%

 

 

 

 

 

63,349

 

3.50%, 1/15/11 (cost-$71,558,311)

 

Aaa/AAA

 

71,524,977

 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS - 9.2%

 

 

 

 

 

 

 

CORPORATE NOTES - 8.0%

 

 

 

 

 

 

 

Financing -1.4%

 

 

 

 

 

1,000

 

Dankse Corp., 2.59%, 4/5/05, Ser. A

 

P-1/A-1+

 

995,430

 

2,500

 

General Electric Capital Corp., 2.72%, 4/28/05

 

P-1/A-1+

 

2,484,100

 

6,000

 

General Motors Acceptance Corp., 3.92%, 10/20/05 (d)

 

Baa1/BBB-

 

6,027,774

 

653

 

Midland Funding II, 11.75%, 7/23/05, Ser. A

 

Ba3/BB-

 

678,324

 

2,750

 

STEERS-2002-26 Cox, 6.10%, 5/19/05 (b) (c) (d) (e)

 

NR/NR

 

2,749,894

 

 

 

 

 

 

 

12,935,522

 

 

 

Food Services - 0.2%

 

 

 

 

 

1,500

 

Heinz (H.J.) Co., 6.189%, 12/1/05 (c) (e)

 

A3/NA

 

1,578,521

 

 

 

 

 

 

 

 

 

 

 

Healthcare/Hospitals - 0.1%

 

 

 

 

 

1,000

 

Columbia/HCA Healthcare Corp., 6.91%, 6/15/05

 

Ba2/BB+

 

1,015,902

 

 

 

 

 

 

 

 

 

 

 

Hotels/Gaming - 0.3%

 

 

 

 

 

175

 

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

 

Ba1/BB+

 

179,594

 

450

 

Mirage Resorts, Inc., 6.625%, 2/1/05

 

WR/BB+

 

450,000

 

2,000

 

Park Place Entertainment Corp., 7.875%, 12/12/05

 

Ba2/BB-

 

2,072,500

 

 

 

 

 

 

 

2,702,094

 

 

 

Medical Products - 0.1%

 

 

 

 

 

1,000

 

Mallinckrodt Inc., 6.75%, 9/15/05

 

Baa3/BBB

 

1,016,663

 

 

 

 

 

 

 

 

 

 

 

Multi-Media-2.6%

 

 

 

 

 

6,625

 

Continental Cablevision, Inc., 8.875%, 9/15/05

 

Baa3/BBB

 

6,845,262

 

9,375

 

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

 

Baa3/BBB

 

9,711,713

 

6,350

 

Rogers Cablesystems Ltd., 10.00%, 3/15/05, Ser. B

 

Ba3/BB+

 

6,421,438

 

 

 

 

 

 

 

22,978,413

 

 

 

Oil & Gas - 2.4%

 

 

 

 

 

2,000

 

Appalachian Power Co., 4.80%, 6/15/05, Ser. E

 

Baa2/BBB

 

2,013,034

 

2,662

 

Atlantic Richfield Co., 10.875%, 7/15/05

 

Aa1/AA+

 

2,751,270

 

3,000

 

Enterprise Products Partners, L.P., 8.25%, 3/15/05

 

Baa3/BB+

 

3,015,978

 

1,000

 

GPU Inc., 7.70%, 12/1/05, Ser. A

 

Baa3/BB+

 

1,031,115

 

2,000

 

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

 

Baa3/BBB

 

2,050,074

 

1,850

 

PG&E Gas Transmission Northwest Corp., 7.10%, 6/1/05

 

A2/A-

 

1,872,344

 

4,000

 

Reliant Energy Resources Corp, 8.125%, 7/15/05, Ser. B

 

Ba1/BBB

 

4,090,184

 

5,000

 

Ultramar Corp., 8.00%, 3/15/05

 

Baa3/BBB

 

5,025,390

 

 

 

 

 

 

 

21,849,389

 

 



 

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value*

 

 

 

SHORT-TERM INVESTMENTS (continued)

 

 

 

 

 

 

 

Telecommunications - 0.4%

 

 

 

 

 

$

1,925

 

Deutsche Telekom International, 7.75%, 6/15/05

 

Baa1/BBB+

 

$

1,960,532

 

960

 

Sprint Capital Corp. (FON Group), 7.90%, 3/15/05

 

Baa3/BBB-

 

965,929

 

500

 

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

 

A3/A

 

512,697

 

 

 

 

 

 

 

3,439,158

 

 

 

 

 

 

 

 

 

 

 

Utilities - 0.5%

 

 

 

 

 

200

 

Connectiv, Inc., 5.30%, 6/1/05, Ser. B

 

Baa2/BBB

 

201,176

 

4,500

 

Kansas Gas & Electric Co., 6.20%, 1/15/06

 

Baa3/BBB

 

4,633,380

 

 

 

 

 

 

 

4,834,556

 

 

 

Total Corporate Notes (cost-$71,915,267)

 

 

 

72,350,218

 

 

 

 

 

 

 

 

 

 

 

U.S. TREASURY BILLS (i) - 0.7%

 

 

 

 

 

6,140

 

2.08%-2.21%, 3/3/05-3/17/05 (cost-$6,124,205)

 

Aaa/AAA

 

6,124,205

 

 

 

 

 

 

 

 

 

 

 

REPURCHASE AGREEMENT - 0.5%

 

 

 

 

 

4,792

 

State Street Bank & Trust Co. dated 1/31/05, 1.90%, due 2/1/05,

 

 

 

 

 

 

 

proceeds:$4,792,253; collateralized by Federal Home Loan Bank, 1.625%

 

 

 

 

 

 

 

6/17/05, valued at $4,878,930 with accrued interest (cost - $4,792,000)

 

 

 

4,792,000

 

 

 

Total Short-Term Investments (cost-$152,385,980)

 

 

 

83,266,423

 

 

 

 

 

 

 

 

 

Contracts

 

 

 

 

 

 

 

 

 

PUT OPTION PURCHASED (j) - 0.0%

 

 

 

 

 

125,000

 

HVOL3 Credit Default 1.05% , expires 6/20/05 (premium paid-$437,500)

 

 

 

44,753

 

 

 

Total Investments, before put options written (cost-$874,086,621) -100.3%

 

 

 

914,498,424

 

 

 

 

 

 

 

 

 

 

 

CALL OPTIONS WRITTEN (j) -(0.3)%

 

 

 

 

 

 

 

U.S. Treasury Notes 10 yr. Futures,

 

 

 

 

 

(294)

 

Strike price $113, expires 2/18/05

 

 

 

(68,906)

 

(384)

 

Strike price $114, expires 5/20/05

 

 

 

(126,000)

 

(196)

 

Strike price $107, expires 5/20/05

 

 

 

(36,750)

 

(1,067)

 

U.S. Treasury Bonds, strike price $108, expires 5/20/05

 

 

 

(338,312)

 

(7,450)

 

News America Holdings, Strike price $100, expires 10/1/06

 

 

 

(1,094,115)

 

(125,000)

 

HVOL Credit Default 1.15%, expires 6/20/05

 

 

 

(920,295)

 

(32,300)

 

EPUT 4.6, Strike price $4.6, expires 2/03/05

 

 

 

(129)

 

(32,300)

 

OTC ECAL 3ML, 4.15%, expires 2/03/05

 

 

 

(6,719)

 

 

 

Total call options written (premium received-$1,303,093)

 

 

 

(2,591,226)

 

 

 

Total Investments net of call options written (cost-$872,783,528)-100.0%

 

 

 

$

911,907,198

 

 

(a) Futures contracts outstanding at January 31, 2005:                                                                                   

 

Type

 

Notional Amount
(000)

 

Expiration
Date

 

Unrealized
Appreciation
(Depreciation)

 

Long:

Financial Future Euro-90 day

 

$

2,188

 

3/21/05

 

$

24,000

 

 

U.S. Treasury Notes-10 Year

 

281

 

3/19/05

 

(1,246,875

)

 

 

 

 

 

 

$

(1,222,875

)

 

(b) Interest rate swap contracts oustanding at January 31, 2005:

 

 

 

 

 

 

 

Rate Type

 

 

 

Swap Counterparty

 

Notional Amount
(000)

 

Termination
Date

 

Fixed Payments
made by the
Fund

 

Fixed Payments
received by the
Fund

 

Unrealized
Appreciation
(Depreciation)

 

Goldman Sachs & Co.

 

$

19,986

 

12/24/2024

 

5.13

%

3 month LIBOR

 

$

19,985,601

 

Goldman Sachs & Co.

 

(24,105

)

6/15/2025

 

2.25

%

3 month LIBOR

 

(22,295,901

)

Lehman Brothers

 

7,450

 

10/1/2006

 

7.43

%

3 month LIBOR

 

(331,374

)

 

 

 

 

 

 

 

 

 

 

$

(2,641,674

)

 

LIBOR-London Interbank Offered Rate

 

(c) Credit default swap contracts oustanding at January 31, 2005:

 

Swap Counterparty/
Referenced Debt
Obligation

 

Notional Amount
Payable on
Default
(000)

 

Termination
Date

 

Payments
received
by Fund

 

Unrealized
Appreciation

 

Bear Stearns

 

 

 

 

 

 

 

 

 

Encana Corp., 4.75%, 10/15/13

 

$

3,000

 

9/20/2009

 

0.53

%

$

28,365

 

 

(e) Forward foreign currency contracts outstanding at January 31, 2005:

 

 

 

U.S.$ Value
Origination Date

 

U.S.$ Value
January 31, 2005

 

Unrealized
Appreciation
(Depreciation)

 

Purchased:

 

 

 

 

 

 

 

€6,045,000 settling 2/10/05

 

$

7,886,537

 

$

7,880,945

 

$

(5,592

)

€5,319,000 settling 2/17/05

 

6,893,451

 

6,935,057

 

41,606

 

 

 

 

 

 

 

189,699

 

 

 

 

 

 

 

 

 

Sold:

 

 

 

 

 

 

 

CA$1,750,000 settling 2/17/05

 

1,437,750

 

1,410,441

 

27,309

 

€6,045,000 settling 2/10/05

 

8,002,407

 

7,880,945

 

121,462

 

€5,319,000 settling 2/17/05

 

6,939,971

 

6,935,057

 

4,914

 

 



 


Notes to Schedule of Investment:

 

* 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 development/event occurs that may impact the value of the security, may be fair-valued in good faith pursuant to procedures 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 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. The independent pricing service uses information provided by market makers or estimates of market value obtained from yield data relating to investments or securities with similar characteristics. Senior Loans, for which a secondary market does not exist, are valued at fair value by Pacific Investment Management Co. LLC, the Fund’s sub-adviser, pursuant to procedures approved by the Board of Trustees. Such procedures may 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, futures and options on futures are valued at the settlement price determined by relevant exchange. Swaps are marked to market daily by the Portfolio’s Sub-Adviser based on quotatives from market makers. 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 of the 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) Security in default.

(b) Illiquid security

(c) Fair-valued security.

(d) 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 investors.

(e) Floating Rate Security-Interest rate shown is the rate in effect at January 31, 2005.

(f) Credit-linked trust certificate.

(g) Private Placement. Restricted as to resale and does not have a readily available market.

(h) 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.

(i) All or partial principal amount segregated as initial margin on futures contracts.

(j) Non-income producing security.

 

Glossary:

CMO -Collateralized Mortgage Obligation

NR -   Not Rated

REIT -Real Estate Investment Trust

VRN -Variable Rate Note. Maturity date shown date of next rate change and the interest rate disclosed reflects the rate in effect on January 31, 2005.

WR -Withdrawn Rating

 



 

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: March 30, 2005

 

 

 

By

/s/ Lawrence G. Altadonna

 

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: March 30, 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: March 30, 2005

 

 

 

By

/s/ Lawrence G. Altadonna

 

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: March 30, 2005