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UNITED STATES |
OMB APPROVAL |
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OMB
Number: 3235-0578 |
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FORM N-Q |
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-10555 |
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PIMCO Corporate Income Fund |
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(Exact name of registrant as specified in charter) |
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1345 Avenue of the Americas New York, New York |
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10105 |
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(Address of principal executive offices) |
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(Zip code) |
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Lawrence G. Altadonna — 1345 Avenue of the Americas New York, New York 10105 |
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(Name and address of agent for service) |
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Registrant’s telephone number, including area code: |
212-739-3371 |
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Date of fiscal year end: |
October 31, 2010 |
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Date of reporting period: |
January 31, 2010 |
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Form N-Q is to be used by management investment companies, other than small business investment companies 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, 100 F Street, NE, Washington, DC 20549-2001. 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, 2010 (unaudited)
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Principal |
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Amount |
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Credit Rating |
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(000s) |
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(Moody’s/S&P) |
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Value* |
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CORPORATE BONDS & NOTES—76.7% |
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Airlines—3.0% |
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American Airlines Pass Through Trust, |
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$682 |
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6.978%, 10/1/12 |
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Ba1/BBB |
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$679,170 |
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1,000 |
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7.858%, 4/1/13 (AGC) |
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Ba1/BBB- |
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1,007,500 |
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1,986 |
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10.375%, 7/2/19 |
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Baa3/A- |
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2,254,363 |
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Continental Airlines, Inc., |
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598 |
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6.545%, 8/2/20 (k) |
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Baa2/A- |
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598,276 |
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2,092 |
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9.798%, 4/1/21 |
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Ba1/BB- |
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1,892,996 |
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205 |
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Delta Air Lines, Inc., 6.619%, 9/18/12 |
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WR/BBB |
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203,956 |
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8,985 |
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Northwest Airlines, Inc., 7.15%, 4/1/21 (MBIA) |
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Ba3/BBB- |
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8,288,353 |
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2,000 |
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Southwest Airlines Co., 10.50%, 12/15/11 (a)(d) |
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NR/BBB+ |
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2,177,800 |
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266 |
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United Air Lines Equipment Trust, 10.36%, 11/13/12 (b)(f) |
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WR/NR |
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2,078 |
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3,000 |
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United Air Lines, Inc., 10.40%, 5/1/18 |
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Ba1/BBB |
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3,232,500 |
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1,454 |
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United Air Lines Pass Through Trust, 7.336%, 1/2/21 (a)(b)(d)(l) |
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(acquisition cost—$1,453,703; purchased 6/19/07) |
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B1/B+ |
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1,119,351 |
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21,456,343 |
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Automotive—0.2% |
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1,500 |
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Ford Motor Co., 9.98%, 2/15/47 |
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Caa1/CCC |
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1,507,500 |
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Banking—14.0% |
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4,000 |
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ABN Amro North American Holding Preferred Capital Repackage Trust I, |
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6.523%, 11/8/12 (a)(d)(h) |
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Ba3/BB |
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3,400,000 |
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1,150 |
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BankAmerica Capital II, 8.00%, 12/15/26 |
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Baa3/BB |
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1,112,625 |
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Barclays Bank PLC, |
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4,600 |
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7.434%, 12/15/17 (a)(d)(h)(k) |
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Baa2/BBB+ |
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4,404,500 |
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7,760 |
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10.179%, 6/12/21 (a)(d) |
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Baa1/A |
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10,268,661 |
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£200 |
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14.00%, 6/15/19 (h) |
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Baa2/BBB+ |
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407,811 |
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$2,700 |
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CBA Capital Trust II, 6.024%, 3/15/16 (a)(d)(h) |
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Aa3/A+ |
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2,337,749 |
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6,450 |
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HBOS Capital Funding L.P., 6.071%, 6/30/14 (a)(d)(h) |
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Ba3/BB- |
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4,837,500 |
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2,000 |
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HBOS PLC, 6.75%, 5/21/18 (a)(d) |
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Ba1/BBB- |
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1,958,946 |
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HSBC Capital Funding L.P. (h), |
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3,900 |
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4.61%, 6/27/13 (a)(d) |
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A3/A- |
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3,456,890 |
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5,200 |
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9.547%, 6/30/10 (a)(d) |
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A3/A- |
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5,304,000 |
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1,000 |
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10.176%, 6/30/30 |
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A3/A- |
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1,265,000 |
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25,290 |
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Rabobank Nederland NV, 11.00%, 6/30/19 (a)(d)(h)(k) |
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Aa2/AA- |
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32,414,876 |
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Regions Financial Corp., |
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1,900 |
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7.375%, 12/10/37 |
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Ba1/BBB- |
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1,582,481 |
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3,400 |
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7.75%, 11/10/14 |
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Baa3/BBB |
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3,518,099 |
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10,000 |
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RSHB Capital S.A. for OJSC Russian Agricultural
Bank, 9.00%, |
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Baa1/BBB |
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11,407,000 |
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12,350 |
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State Street Capital Trust III, |
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8.25%, 3/15/42, (converts to FRN on 3/15/11) |
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A3/BBB+ |
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12,645,165 |
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100,321,303 |
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Building & Construction—0.6% |
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1,500 |
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Corp. GEO SAB De C.V., 8.875%, 9/25/14 (a)(d) |
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Ba3/BB- |
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1,567,500 |
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1,000 |
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Desarrolladora Homex SAB De C.V., 9.50%, 12/11/19 (a)(d) |
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Ba3/BB- |
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1,030,000 |
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1,700 |
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Macmillan Bloedel Pembroke L.P., 7.70%, 2/15/26 |
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Ba1/BBB- |
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1,649,976 |
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4,247,476 |
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Chemicals—1.2% |
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7,200 |
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Dow Chemical Co., 8.55%, 5/15/19 |
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Baa3/BBB- |
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8,630,712 |
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Principal |
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Amount |
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Credit Rating |
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(000s) |
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(Moody’s/S&P) |
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Value* |
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Energy—0.3% |
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$2,000 |
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Dynegy Roseton/Danskammer Pass Through Trust, 7.67%, 11/8/16, Ser. B |
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B2/B |
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$1,980,000 |
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500 |
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Kinder Morgan, Inc., 5.15%, 3/1/15 |
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Ba1/BB |
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486,250 |
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2,466,250 |
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Financial Services—36.3% |
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2,000 |
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American Express Co., 6.80%, 9/1/66, FRN |
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Baa2/BB |
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1,870,000 |
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American General Finance Corp., |
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1,000 |
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4.00%, 3/15/11 |
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B2/BB+ |
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932,331 |
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2,200 |
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5.40%, 12/1/15 |
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B2/BB+ |
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1,568,032 |
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3,000 |
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6.90%, 12/15/17 |
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B2/BB+ |
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2,192,562 |
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5,000 |
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BAC Capital Trust XIV, 5.63%, 3/15/12 (h) |
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Ba3/BB |
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3,587,500 |
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BNP Paribas (h), |
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6,900 |
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5.186%, 6/29/15 (a)(d)(k) |
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Baa1/A |
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6,141,925 |
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6,700 |
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7.195%, 6/25/37 (a)(d) |
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Baa1/A |
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6,532,500 |
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€350 |
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7.781%, 7/2/18 |
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Baa1/A |
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527,834 |
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$3,300 |
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C10 Capital SPV Ltd., 6.722%, 12/31/16 (h) |
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NR/B- |
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2,342,871 |
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1,790 |
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Capital One Bank USA N.A., 8.80%, 7/15/19 |
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A3/BBB |
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2,175,777 |
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1,500 |
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Capital One Capital V, 10.25%, 8/15/39 |
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Baa2/BB |
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1,722,320 |
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3,300 |
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Capital One Capital VI, 8.875%, 5/15/40 |
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Baa2/BB |
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3,459,736 |
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2,424 |
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Cedar Brakes II LLC, 9.875%, 9/1/13 (a)(d) |
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Baa3/BBB- |
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2,491,032 |
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2,000 |
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Cemex Finance LLC, 9.50%, 12/14/16 (a)(d) |
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NR/B |
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2,045,000 |
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CIT Group, Inc., |
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487 |
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7.00%, 5/1/13 |
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NR/NR |
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447,680 |
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980 |
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7.00%, 5/1/14 |
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NR/NR |
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880,698 |
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280 |
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7.00%, 5/1/15 |
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NR/NR |
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244,575 |
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467 |
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7.00%, 5/1/16 |
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NR/NR |
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402,377 |
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653 |
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7.00%, 5/1/17 |
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NR/NR |
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559,246 |
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16,700 |
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Citigroup Capital XXI, 8.30%, 12/21/77, (converts to FRN on 12/21/37) |
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Baa3/B+ |
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15,614,500 |
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Citigroup, Inc., |
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€100 |
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4.75%, 2/10/19, (converts to FRN on 2/10/14) |
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Baa1/A- |
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127,645 |
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$2,800 |
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6.125%, 5/15/18 |
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A3/A |
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2,818,620 |
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1,600 |
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6.125%, 8/25/36 |
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Baa1/A- |
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1,363,426 |
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Credit Agricole S.A. (a)(d)(h), |
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2,800 |
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6.637%, 5/31/17 |
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Aa3/A- |
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2,453,500 |
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6,000 |
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8.375%, 10/13/19 (k) |
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Aa3/A- |
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6,500,934 |
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Ford Motor Credit Co. LLC, |
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2,800 |
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3.001%, 1/13/12, FRN |
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B3/B- |
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2,649,500 |
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3,700 |
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7.80%, 6/1/12 |
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B3/B- |
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3,753,706 |
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3,500 |
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8.00%, 12/15/16 |
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B3/B- |
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3,525,347 |
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6,500 |
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9.875%, 8/10/11 |
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B3/B- |
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6,802,790 |
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1,000 |
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12.00%, 5/15/15 |
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B3/B- |
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1,149,841 |
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General Electric Capital Corp., |
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10,100 |
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6.375%, 11/15/67, (converts to FRN on 11/15/17) |
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Aa3/A+ |
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8,938,500 |
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£500 |
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6.50%, 9/15/67, (converts to FRN on 9/15/17) (a)(d) |
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Aa3/A+ |
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683,584 |
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GMAC, Inc., |
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$1,650 |
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6.00%, 12/15/11 |
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Ca/B |
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1,613,997 |
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3,500 |
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6.75%, 12/1/14 |
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Ca/B |
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3,403,848 |
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2,500 |
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7.00%, 2/1/12 |
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Ca/B |
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2,476,945 |
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10,000 |
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7.25%, 3/2/11 |
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Ca/B |
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10,059,940 |
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7,899 |
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7.50%, 12/31/13 |
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Ca/B |
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7,938,495 |
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2,500 |
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8.00%, 11/1/31 |
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Ca/B |
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2,387,170 |
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Principal |
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Amount |
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Credit Rating |
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(000s) |
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(Moody’s/S&P) |
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Value* |
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Financial Services (continued) |
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Goldman Sachs Group, Inc. (k), |
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$4,000 |
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6.45%, 5/1/36 |
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A2/A- |
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$3,812,764 |
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7,000 |
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6.75%, 10/1/37 |
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A2/A- |
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6,951,448 |
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International Lease Finance Corp., |
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4,000 |
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0.581%, 7/1/11, FRN |
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B1/BB+ |
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3,484,832 |
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1,225 |
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0.601%, 7/13/12, FRN |
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B1/BB+ |
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968,812 |
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5,800 |
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5.30%, 5/1/12 |
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B1/BB+ |
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5,072,697 |
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5,400 |
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5.40%, 2/15/12 |
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B1/BB+ |
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4,766,504 |
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1,500 |
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5.65%, 6/1/14 |
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B1/BB+ |
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1,191,927 |
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2,600 |
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5.75%, 6/15/11 |
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B1/BB+ |
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2,438,056 |
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3,000 |
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6.625%, 11/15/13 |
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B1/BB+ |
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2,512,443 |
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|
11,000 |
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JPMorgan Chase & Co., 7.90%, 4/30/18 (h) |
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Baa1/BBB+ |
|
11,304,018 |
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7,100 |
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JPMorgan Chase Capital XVIII, |
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6.95%, 8/1/66, (converts to FRN on 8/17/36) |
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A2/BBB+ |
|
7,083,798 |
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|
4,100 |
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JPMorgan Chase Capital XX, |
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6.55%, 9/15/66, (converts to FRN on 9/15/36) (k) |
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A2/BBB+ |
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3,888,071 |
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LBG Capital No.1 PLC, |
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3,500 |
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7.875%, 11/1/20 |
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Ba3/BB- |
|
3,115,000 |
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|
8,500 |
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8.50%, 12/17/21 (a)(b)(d)(h)(l) |
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NR/B+ |
|
7,140,000 |
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(acquisition cost—$3,882,703; purchased 11/14/08-11/18/08) |
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13,000 |
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Lehman Brothers Holdings, Inc., 6.875%, 5/2/18 (f) |
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WR/NR |
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2,925,000 |
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|
1,845 |
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Preferred Term Securities XIII Ltd., 0.803%, 3/24/34, FRN (a)(b)(d)(l) |
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A1/BB |
|
941,122 |
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(acquisition cost—$1,845,337; purchased 3/9/04) |
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Royal Bank of Scotland Group PLC (h), |
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10,700 |
|
6.99%, 10/5/17 (a)(d) |
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Ba3/CC |
|
6,856,902 |
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|
6,500 |
|
7.648%, 9/30/31 |
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Ba3/BB- |
|
5,076,220 |
|
|
4,200 |
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Santander Perpetual S.A. Unipersonal, 6.671%, 10/24/17 (a)(d)(h) |
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A1/A- |
|
3,989,387 |
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SLM Corp., |
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1,151 |
|
2.117%, 11/1/13, FRN |
|
Ba1/BBB- |
|
989,802 |
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€1,500 |
|
4.75%, 3/17/14 |
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Ba1/BBB- |
|
1,866,009 |
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€4,000 |
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Societe Generale, 7.756%, 5/22/13 (h) |
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A1/BBB+ |
|
5,504,205 |
|
|
$5,700 |
|
UBS Preferred Funding Trust V, 6.243%, 5/15/16 (h) |
|
Baa3/BBB- |
|
4,780,875 |
|
|
5,700 |
|
USB Capital IX, 6.189%, 4/15/11 (h) |
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A2/BBB+ |
|
4,788,000 |
|
|
12,100 |
|
Wachovia Capital Trust III, 5.80%, 3/15/11 (h) |
|
Ba1/A- |
|
9,475,510 |
|
|
14,000 |
|
Wells Fargo & Co., 7.98%, 3/15/18 (h) |
|
Ba1/A- |
|
14,210,000 |
|
|
7,200 |
|
Wells Fargo Capital X, 5.95%, 12/15/86, (converts to FRN on 12/15/36) |
|
Baa2/A- |
|
6,634,800 |
|
|
4,600 |
|
Wells Fargo Capital XIII, 7.70%, 3/26/13 (h) |
|
Ba1/A- |
|
4,485,000 |
|
|
|
|
|
|
|
|
260,639,486 |
|
|
|
|
|
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|
|
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|
Food & Beverage—0.0% |
|
|
|
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|
100 |
|
American Stores Co., 8.00%, 6/1/26 |
|
Ba3/B+ |
|
91,500 |
|
|
|
|
|
|
|
|
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|
|
Healthcare & Hospitals—2.5% |
|
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|
|
HCA, Inc., |
|
|
|
|
|
|
10,000 |
|
7.875%, 2/15/20 (a)(d) |
|
Ba3/BB |
|
10,300,000 |
|
|
3,600 |
|
8.50%, 4/15/19 (a)(d) |
|
Ba3/BB |
|
3,825,000 |
|
|
3,500 |
|
9.625%, 11/15/16, PIK |
|
B2/BB- |
|
3,718,750 |
|
|
|
|
|
|
|
|
17,843,750 |
|
|
|
|
|
|
|
|
|
|
|
Hotels/Gaming—0.7% |
|
|
|
|
|
||
|
|
|
MGM Mirage, |
|
|
|
|
|
|
700 |
|
10.375%, 5/15/14 (a)(d) |
|
B1/B |
|
771,750 |
|
|
1,050 |
|
11.125%, 11/15/17 (a)(d) |
|
B1/B |
|
1,186,500 |
|
|
1,000 |
|
13.00%, 11/15/13 |
|
B1/B |
|
1,162,500 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
Hotels/Gaming (continued) |
|
|
|
|
|
||
|
$2,357 |
|
Times Square Hotel Trust, 8.528%, 8/1/26 (a)(b)(d)(l) |
|
|
|
|
|
|
|
|
(acquisition cost—$2,804,984; purchased 11/22/04) |
|
Baa3/BB |
|
$1,895,939 |
|
|
|
|
|
|
|
|
5,016,689 |
|
|
|
|
|
|
|
|
|
|
|
Insurance—11.6% |
|
|
|
|
|
||
|
|
|
American International Group, Inc., |
|
|
|
|
|
|
€4,600 |
|
0.82%, 4/26/11, FRN |
|
A3/A- |
|
5,981,017 |
|
|
CAD 3,100 |
|
4.90%, 6/2/14 |
|
A3/A- |
|
2,287,955 |
|
|
$1,350 |
|
5.375%, 10/18/11 |
|
A3/A- |
|
1,333,179 |
|
|
5,100 |
|
6.25%, 5/1/36 (k) |
|
A3/A- |
|
3,773,454 |
|
|
31,650 |
|
8.175%, 5/15/68, (converts to FRN on 5/15/38) |
|
Ba2/BBB |
|
21,522,000 |
|
|
18,700 |
|
8.25%, 8/15/18 (k) |
|
A3/A- |
|
17,193,004 |
|
|
£4,000 |
|
8.625%, 5/22/68, (converts to FRN on 5/22/18) |
|
Ba2/BBB |
|
4,326,479 |
|
|
$9,542 |
|
Cincinnati Financial Corp., 6.92%, 5/15/28 |
|
A3/BBB+ |
|
9,601,838 |
|
|
2,300 |
|
Dai-ichi Mutual Life Insurance Co., 5.73%, 3/17/14 (a)(d) |
|
NR/A- |
|
2,342,932 |
|
|
2,600 |
|
Genworth Financial, Inc., 8.625%, 12/15/16 |
|
Baa3/BBB |
|
2,705,908 |
|
|
5,000 |
|
Metlife Capital Trust IV, 7.875%, 12/15/67 (a)(d) |
|
Baa2/BBB |
|
5,050,000 |
|
|
6,800 |
|
Pacific Life Insurance Co., 7.90%, 12/30/23 (a)(d) |
|
A3/A |
|
7,226,170 |
|
|
|
|
|
|
|
|
83,343,936 |
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining—1.2% |
|
|
|
|
|
||
|
200 |
|
Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/1/17 |
|
Ba2/BBB- |
|
217,795 |
|
|
4,000 |
|
Gerdau Holdings, Inc., 7.00%, 1/20/20 (a)(d) |
|
NR/BBB- |
|
4,040,000 |
|
|
|
|
Teck Resources Ltd., |
|
|
|
|
|
|
1,950 |
|
9.75%, 5/15/14 |
|
Ba2/BB+ |
|
2,237,625 |
|
|
350 |
|
10.25%, 5/15/16 |
|
Ba2/BB+ |
|
401,625 |
|
|
1,325 |
|
10.75%, 5/15/19 |
|
Ba2/BB+ |
|
1,566,813 |
|
|
|
|
|
|
|
|
8,463,858 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas—0.9% |
|
|
|
|
|
||
|
800 |
|
Gaz Capital S.A., 6.212%, 11/22/16 (a)(d) |
|
Baa1/BBB |
|
796,000 |
|
|
4,200 |
|
Morgan Stanley Bank AG for OAO Gazprom, 9.625%, 3/1/13 |
|
Baa1/BBB |
|
4,740,120 |
|
|
750 |
|
Ras Laffan Liquefied Natural Gas Co., Ltd. III, 6.332%, 9/30/27 (b) |
|
Aa2/A |
|
757,769 |
|
|
|
|
|
|
|
|
6,293,889 |
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products—0.8% |
|
|
|
|
|
||
|
5,000 |
|
Weyerhaeuser Co., 7.375%, 10/1/19 |
|
Ba1/BBB- |
|
5,358,395 |
|
|
|
|
|
|
|
|
|
|
|
Paper/Paper Products—0.1% |
|
|
|
|
|
||
|
850 |
|
Norske Skogindustrier ASA, 6.125%, 10/15/15 (a)(d) |
|
B2/B+ |
|
550,504 |
|
|
|
|
|
|
|
|
|
|
|
Telecommunications—2.1% |
|
|
|
|
|
||
|
1,000 |
|
Axtel SAB de CV, 9.00%, 9/22/19 (a)(d) |
|
Ba2/BB- |
|
1,032,500 |
|
|
8,200 |
|
Mountain States Telephone & Telegraph Co., 7.375%, 5/1/30 |
|
Ba1/BBB- |
|
7,093,000 |
|
|
|
|
Qwest Corp., |
|
|
|
|
|
|
100 |
|
6.50%, 6/1/17 |
|
Ba1/BBB- |
|
100,500 |
|
|
5,360 |
|
7.20%, 11/10/26 |
|
Ba1/BBB- |
|
5,065,200 |
|
|
€1,300 |
|
Wind Acquisition Finance S.A., 11.75%, 7/15/17 |
|
B2/B+ |
|
1,946,973 |
|
|
|
|
|
|
|
|
15,238,173 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
Tobacco—0.4% |
|
|
|
|
|
||
|
$3,000 |
|
Reynolds American, Inc., 6.75%, 6/15/17 |
|
Baa3/BBB |
|
$3,203,958 |
|
|
|
|
|
|
|
|
|
|
|
Transportation—0.1% |
|
|
|
|
|
||
|
689 |
|
Federal Express Corp. Pass Through Trust, 7.65%, 1/15/14 |
|
Baa2/BBB |
|
689,392 |
|
|
|
|
|
|
|
|
|
|
|
Utilities—0.7% |
|
|
|
|
|
||
|
1,000 |
|
CMS Energy Corp., 1.201%, 1/15/13, FRN |
|
Ba1/BB+ |
|
937,500 |
|
|
1,720 |
|
East Coast Power LLC, 7.066%, 3/31/12 |
|
Baa3/BBB- |
|
1,793,876 |
|
|
2,645 |
|
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (a)(d) |
|
Ba2/BB- |
|
2,473,075 |
|
|
|
|
|
|
|
|
5,204,451 |
|
|
|
|
Total Corporate Bonds & Notes (cost—$506,095,906) |
|
|
|
550,567,565 |
|
|
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES—17.6% |
|
|
|
|
|
||
|
2,081 |
|
American Home Mortgage Assets, 0.461%, 9/25/46, CMO, FRN |
|
Ca/CCC |
|
422,881 |
|
|
2,700 |
|
Banc of America Commercial Mortgage, Inc., 5.451%, 1/15/49, CMO |
|
Aaa/NR |
|
2,435,575 |
|
|
1,450 |
|
BCRR Trust, 5.858%, 7/17/40, CMO, VRN (a)(d) |
|
Aaa/NR |
|
1,084,019 |
|
|
3,500 |
|
Chase Commercial Mortgage Securities Corp., 6.887%,
10/15/32, |
|
NR/BB+ |
|
2,881,409 |
|
|
|
|
Chase Mortgage Finance Corp., CMO, |
|
|
|
|
|
|
5,370 |
|
5.422%, 3/25/37, FRN |
|
B3/NR |
|
4,501,744 |
|
|
3,087 |
|
6.00%, 7/25/37 |
|
NR/CCC |
|
2,455,565 |
|
|
3,800 |
|
Citicorp Mortgage Securities, Inc., 6.00%, 6/25/36, CMO |
|
Baa3/NR |
|
3,329,508 |
|
|
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust CMO, |
|
|
|
|
|
|
13,630 |
|
5.322%, 12/11/49 |
|
Aaa/A- |
|
12,298,774 |
|
|
1,000 |
|
5.617%, 10/15/48 |
|
Aaa/AAA |
|
1,004,352 |
|
|
|
|
Credit Suisse Mortgage Capital Certificates CMO, |
|
|
|
|
|
|
2,000 |
|
6.00%, 2/25/37 |
|
NR/CCC |
|
1,557,080 |
|
|
5,100 |
|
6.00%, 6/25/37 |
|
NR/CCC |
|
3,712,734 |
|
|
9,440 |
|
Greenwich Capital Commercial Funding Corp., 5.444%, 3/10/39, CMO |
|
Aaa/A |
|
8,768,222 |
|
|
1,300 |
|
GSR Mortgage Loan Trust, 5.50%, 5/25/36, CMO |
|
NR/B |
|
1,099,671 |
|
|
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., CMO, |
|
|
|
|
|
|
1,135 |
|
5.399%, 5/15/45 |
|
Aaa/AA- |
|
1,089,035 |
|
|
3,000 |
|
5.794%, 2/12/51, VRN |
|
Aaa/A+ |
|
2,812,626 |
|
|
4,150 |
|
5.818%, 6/15/49, VRN |
|
Aaa/A- |
|
3,800,987 |
|
|
5,000 |
|
5.882%, 2/15/51, VRN |
|
Aaa/A- |
|
4,717,156 |
|
|
6,643 |
|
JPMorgan Mortgage Trust, 5.00%, 3/25/37, CMO |
|
NR/CCC |
|
5,056,445 |
|
|
|
|
LB-UBS Commercial Mortgage Trust CMO, |
|
|
|
|
|
|
560 |
|
5.372%, 9/15/39 |
|
Aaa/AAA |
|
555,632 |
|
|
18,316 |
|
5.424%, 2/15/40 |
|
NR/A+ |
|
16,620,318 |
|
|
5,300 |
|
5.43%, 2/15/40 |
|
NR/A+ |
|
4,774,985 |
|
|
3,500 |
|
Merrill Lynch/Countrywide Commercial Mortgage Trust, |
|
|
|
|
|
|
|
|
5.70%, 9/12/49, CMO |
|
NR/A+ |
|
3,191,597 |
|
|
€2,500 |
|
Newgate Funding PLC, 1.314%, 12/15/50, CMO, FRN (g) |
|
Aaa/AAA |
|
2,574,884 |
|
|
$1,694 |
|
Residential Accredit Loans, Inc., 0.461%, 5/25/37, CMO, FRN |
|
Caa2/CCC |
|
423,062 |
|
|
6,593 |
|
Residential Funding Mortgage Securities I, 6.25%, 8/25/36, CMO |
|
B3/CCC |
|
5,586,559 |
|
|
|
|
Wachovia Bank Commercial Mortgage Trust CMO, FRN (a)(d), |
|
|
|
|
|
|
3,821 |
|
0.313%, 6/15/20 |
|
Aaa/AAA |
|
3,270,299 |
|
|
7,512 |
|
0.323%, 9/15/21 |
|
Aaa/AA+ |
|
6,602,796 |
|
|
|
|
WaMu Mortgage Pass Through Certificates CMO, |
|
|
|
|
|
|
228 |
|
1.544%, 8/25/46, FRN |
|
Ba1/B |
|
132,706 |
|
|
1,589 |
|
5.789%, 7/25/37, VRN |
|
NR/CC |
|
1,121,291 |
|
|
1,013 |
|
5.921%, 9/25/36, VRN |
|
NR/CCC |
|
758,542 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
|
|
Washington Mutual Alternative Mortgage Pass Through Certificates CMO, FRN, |
|
|
|
|
|
|
$1,696 |
|
0.991%, 4/25/47 |
|
Ca/CCC |
|
$395,261 |
|
|
1,606 |
|
1.384%, 5/25/47 |
|
Ca/CCC |
|
340,953 |
|
|
|
|
Wells Fargo Mortgage Backed Securities Trust CMO, |
|
|
|
|
|
|
6,172 |
|
5.316%, 10/25/36, FRN |
|
NR/CCC |
|
4,842,708 |
|
|
9,300 |
|
5.587%, 7/25/36, FRN |
|
NR/CCC |
|
7,404,786 |
|
|
5,700 |
|
6.00%, 8/25/37 |
|
B1/NR |
|
4,694,289 |
|
|
|
|
Total Mortgage-Backed Securities (cost—$105,733,799) |
|
|
|
126,318,451 |
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCK—1.3% |
|
|
|
|
|
||
|
Financial Services—1.1% |
|
|
|
|
|
||
|
8,050 |
|
Wells Fargo & Co., 7.50%, 12/31/49, Ser. L |
|
Ba1/A- |
|
7,587,930 |
|
|
|
|
|
|
|
|
|
|
|
Insurance—0.2% |
|
|
|
|
|
||
|
170,500 |
|
American International Group, Inc., 8.50%, 8/1/11 |
|
Ba2/NR |
|
1,583,945 |
|
|
|
|
Total Convertible Preferred Stock (cost—$7,550,646) |
|
|
|
9,171,875 |
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
|
(000s) |
|
|
|
|
|
|
|
|
SOVEREIGN DEBT OBLIGATIONS—0.7% |
|
|
|
|
|
||
|
Brazil—0.7% |
|
|
|
|
|
||
|
BRL 8,400 |
|
Brazil Government International Bond, 12.50%, 1/5/22 (cost—$4,926,090) |
|
Baa3/BBB- |
|
5,240,462 |
|
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES—0.5% |
|
|
|
|
|
||
|
$650 |
|
Ameriquest Mortgage Securities, Inc., 5.444%, 11/25/35 |
|
A1/AAA |
|
621,732 |
|
|
7,300 |
|
Indymac Residential Asset Backed Trust, 0.471%, 11/25/36, FRN |
|
Caa2/CCC |
|
2,628,056 |
|
|
|
|
Total Asset-Backed Securities (cost—$3,176,050) |
|
|
|
3,249,788 |
|
|
|
|
|
|
|
|
|
|
|
SENIOR LOANS (a)(c)—0.4% |
|
|
|
|
|
||
|
Financial Services—0.4% |
|
|
|
|
|
||
|
|
|
CIT Group, Inc., |
|
|
|
|
|
|
1,600 |
|
9.50%, 1/20/12, Term DD (e) |
|
|
|
1,638,501 |
|
|
1,000 |
|
9.75%, 1/20/12, Term A |
|
|
|
1,024,063 |
|
|
|
|
Total Senior Loans (cost—$2,606,101) |
|
|
|
2,662,564 |
|
|
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS—0.3% |
|
|
|
|
|
||
|
Louisiana—0.3% |
|
|
|
|
|
||
|
|
|
New Orleans, Public Improvements, GO, Ser. A, |
|
|
|
|
|
|
800 |
|
8.30%, 12/1/29 |
|
Baa3/BBB |
|
818,704 |
|
|
820 |
|
8.55%, 12/1/34 |
|
Baa3/BBB |
|
850,143 |
|
|
300 |
|
8.80%, 12/1/39 |
|
Baa3/BBB |
|
312,954 |
|
|
|
|
Total Municipal Bonds (cost—$1,958,061) |
|
|
|
1,981,801 |
|
|
Principal |
|
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
|
(000s) |
|
|
|
(Moody’s/S&P) |
|
Value* |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS—2.5% |
|
|
|
|
|
||
|
Corporate Notes—1.6% |
|
|
|
|
|
||
|
Energy—0.3% |
|
|
|
|
|
||
|
$2,000 |
|
El Paso Corp., 10.75%, 10/1/10 |
|
Ba3/BB- |
|
$2,045,572 |
|
|
|
|
|
|
|
|
|
|
|
Financial Services—1.3% |
|
|
|
|
|
||
|
|
|
American General Finance Corp., |
|
|
|
|
|
|
1,000 |
|
4.625%, 9/1/10 |
|
B2/BB+ |
|
977,118 |
|
|
2,000 |
|
4.875%, 5/15/10 |
|
B2/BB+ |
|
1,978,260 |
|
|
€250 |
|
Green Valley Ltd., 4.292%, 1/10/11, FRN (a)(b)(d)(l) |
|
NR/BB+ |
|
342,563 |
|
|
|
|
(acquisition cost—$367,338; purchased 12/11/07) |
|
|
|
|
|
|
|
|
International Lease Finance Corp., |
|
|
|
|
|
|
$2,100 |
|
4.875%, 9/1/10 |
|
B1/BB+ |
|
2,047,366 |
|
|
2,923 |
|
5.00%, 4/15/10 |
|
B1/BB+ |
|
2,903,886 |
|
|
1,000 |
|
5.125%, 11/1/10 |
|
B1/BB+ |
|
971,284 |
|
|
|
|
|
|
|
|
9,220,477 |
|
|
|
|
Total Corporate Notes (cost—$10,918,809) |
|
|
|
11,266,049 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bills (i)—0.1% |
|
|
|
|
|
||
|
1,149 |
|
0.09%-0.17%, 3/18/10-4/1/10 (cost—$1,148,880) |
|
|
|
1,148,880 |
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements—0.8% |
|
|
|
|
|
||
|
2,600 |
|
Deutsche Bank Securities, Inc., dated 1/29/10, 0.10%, due 2/1/10, proceeds $2,600,022; collateralized by U.S. Treasury Bond, 4.375%, due 11/15/39, valued at $2,666,944 including accrued interest |
|
|
|
2,600,000 |
|
|
3,103 |
|
State Street Bank & Trust Co., dated 1/29/10, 0.01%, due 2/1/10, proceeds $3,103,003; collateralized by U.S. Treasury Bills, zero coupon, due 2/18/10, valued at $3,170,000 including accrued interest |
|
|
|
3,103,000 |
|
|
|
|
Total Repurchase Agreements (cost—$5,703,000) |
|
|
|
5,703,000 |
|
|
|
|
Total Short-Term Investments (cost—$17,770,689) |
|
|
|
18,117,929 |
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
|
OPTIONS PURCHASED (j)—0.0% |
|
|
|
|
|
||
|
|
|
Call Options—0.0% |
|
|
|
|
|
|
|
|
Euro versus U.S. Dollar (OTC), |
|
|
|
|
|
|
€2,500,000 |
|
strike price €1.37, expires 6/3/10 |
|
|
|
112,110 |
|
|
€2,000,000 |
|
strike price €1.38, expires 5/21/10 |
|
|
|
82,477 |
|
|
|
|
|
|
|
|
194,587 |
|
|
Contracts/ |
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
Value* |
|
|
|
|
Put Options—0.0% |
|
|
|
|
|
|
|
|
Euro versus U.S. Dollar (OTC), |
|
|
|
|
|
|
€2,500,000 |
|
strike price €1.37, expires 6/3/10 |
|
|
|
$77,990 |
|
|
€2,000,000 |
|
strike price €1.38, expires 5/21/10 |
|
|
|
61,211 |
|
|
|
|
Financial Futures Euro—90 day (CME), |
|
|
|
|
|
|
300 |
|
strike price $89.75, expires 3/15/10 |
|
|
|
1,875 |
|
|
|
|
|
|
|
|
141,076 |
|
|
|
|
Total Options Purchased (cost—$443,468) |
|
|
|
335,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments (cost—$650,260,810)—100.0% |
|
|
|
$717,646,098 |
|
Notes to Schedule of Investments:
|
|
* |
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, based on quotes obtained from a quotation reporting system, established market makers, or independent pricing services. |
|
|
|
|
|
|
|
Portfolio securities and other financial instruments for which market quotations are not readily available or if for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees or persons acting at their discretion 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 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 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 services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement value. Exchange-traded futures and options on futures are valued at the settlement price determined by the relevant exchange. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than 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 securities may differ from the value that would be realized if the securities were sold and these differences could be material. The Fund’s NAV is normally determined daily 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 $189,794,679, representing 26.4% of total investments. |
|
|
(b) |
Illiquid. |
|
|
(c) |
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 “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. The interest rate disclosed reflects the rate in effect on January 31, 2010. |
|
|
(d) |
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. |
|
|
(e) |
When-issued or delayed-delivery. To be settled/delivered after January 31, 2010. |
|
|
(f) |
In default. |
|
|
(g) |
Fair-Valued—Securities with an aggregate value of $2,574,884, representing 0.4% of total investments. |
|
|
(h) |
Perpetual maturity. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter. |
|
|
(i) |
All or partial amount segregated as collateral for futures contracts and swaps. |
|
|
(j) |
Non-income producing. |
|
|
(k) |
All or partial amount segregated as collateral for reverse repurchase agreements. |
|
|
(l) |
Restricted. The aggregate acquisition cost of such securities is $10,354,065. The aggregate market value of $11,438,975 is approximately 1.6% of total investments. |
Glossary:
AGC—insured by Assured Guaranty Corp.
BRL—Brazilian Real
£—British Pound
CAD—Canadian Dollar
CME—Chicago Mercantile Exchange
CMO—Collateralized Mortgage Obligation
€—Euro
FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on January 31, 2010.
GO—General Obligation Bond
LIBOR—London Inter-Bank Offered Rate
MBIA—insured by Municipal Bond Investors Assurance
NR—Not Rated
OTC—Over the Counter
PIK—Payment-in-Kind
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). The interest rate disclosed reflects the rate in effect on January 31, 2010.
WR—Withdrawn Rating
Other Investments:
(A) Futures contracts outstanding at January 31, 2010:
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
|
|
|
|
Value |
|
Expiration |
|
Unrealized |
|
|
|
Type |
|
Contracts |
|
(000s) |
|
Date |
|
Appreciation |
|
||
|
Long: |
Financial Futures Euro—90 day |
|
1,000 |
|
$247,525 |
|
12/13/10 |
|
$2,112,500 |
|
|
The Fund pledged cash collateral of $540,000 for futures contracts.
(B) Credit default swap agreements:
Buy protection swap agreements outstanding at January 31, 2010 (1):
|
|
|
Notional Amount |
|
|
|
|
|
|
|
|
|
Upfront |
|
Unrealized |
|
|
Swap Counterparty/ |
|
Payable on Default |
|
Credit |
|
Termination |
|
Payments |
|
Market |
|
Premiums |
|
Appreciation |
|
|
Referenced Debt Issuer |
|
(000s) (4) |
|
Spread (3) |
|
Date |
|
Made by Fund |
|
Value (5) |
|
Paid(Received) |
|
(Depreciation) |
|
|
Barclays Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX HY-13 Index |
|
$32,571 |
|
5.62 |
% |
12/20/14 |
|
(5.00 |
)% |
$606,604 |
|
$122,141 |
|
$484,463 |
|
|
Deutsche Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX HY-13 Index |
|
16,236 |
|
5.62 |
% |
12/20/14 |
|
(5.00 |
)% |
302,380 |
|
304,425 |
|
(2,045 |
) |
|
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX HY-13 Index |
|
16,236 |
|
5.62 |
% |
12/20/14 |
|
(5.00 |
)% |
302,381 |
|
(10,147 |
) |
312,528 |
|
|
|
|
|
|
|
|
|
|
|
|
$1,211,365 |
|
$416,419 |
|
$794,946 |
|
Sell protection swap agreements outstanding at January 31, 2010 (2):
|
|
|
Notional Amount |
|
|
|
|
|
|
|
|
|
Upfront |
|
Unrealized |
|
|
Swap Counterparty/ |
|
Payable on Default |
|
Credit |
|
Termination |
|
Payments |
|
Market |
|
Premiums |
|
Appreciation |
|
|
Referenced Debt Issuer |
|
(000s) (4) |
|
Spread (3) |
|
Date |
|
Received by Fund |
|
Value (5) |
|
Paid(Received) |
|
(Depreciation) |
|
|
Barclays Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SLM |
|
$2,000 |
|
5.11 |
% |
12/20/13 |
|
5.00 |
% |
$4,239 |
|
$(250,000 |
) |
$254,239 |
|
|
Citigroup: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GMAC |
|
1,500 |
|
3.56 |
% |
6/20/12 |
|
1.40 |
% |
(69,066 |
) |
— |
|
(69,066 |
) |
|
International Lease Finance |
|
3,000 |
|
8.59 |
% |
12/20/13 |
|
5.00 |
% |
(287,044 |
) |
(480,000 |
) |
192,956 |
|
|
SLM |
|
13,000 |
|
5.11 |
% |
12/20/13 |
|
5.00 |
% |
27,553 |
|
(1,492,000 |
) |
1,519,553 |
|
|
Deutsche Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American International Group |
|
3,400 |
|
5.55 |
% |
12/20/12 |
|
0.90 |
% |
(401,196 |
) |
— |
|
(401,196 |
) |
|
American International Group |
|
4,000 |
|
5.68 |
% |
12/20/13 |
|
5.00 |
% |
(65,630 |
) |
(680,000 |
) |
614,370 |
|
|
SLM |
|
10,500 |
|
5.11 |
% |
12/20/13 |
|
5.00 |
% |
22,255 |
|
(1,400,000 |
) |
1,422,255 |
|
|
United Kingdom Gilt |
|
3,200 |
|
0.77 |
% |
12/20/14 |
|
1.00 |
% |
37,747 |
|
22,406 |
|
15,341 |
|
|
JPMorgan Chase: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit |
|
4,000 |
|
2.39 |
% |
6/20/10 |
|
5.60 |
% |
76,191 |
|
— |
|
76,191 |
|
|
Merrill Lynch: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit |
|
8,000 |
|
5.48 |
% |
6/20/13 |
|
5.00 |
% |
(70,918 |
) |
(1,532,500 |
) |
1,461,582 |
|
|
SLM |
|
2,100 |
|
5.11 |
% |
12/20/13 |
|
5.00 |
% |
4,451 |
|
(294,000 |
) |
298,451 |
|
|
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit |
|
5,000 |
|
2.39 |
% |
9/20/10 |
|
4.05 |
% |
76,550 |
|
— |
|
76,550 |
|
|
MetLife |
|
4,000 |
|
1.71 |
% |
3/20/13 |
|
2.05 |
% |
50,410 |
|
— |
|
50,410 |
|
|
|
|
|
|
|
|
|
|
|
|
$(594,458 |
) |
$(6,106,094 |
) |
$5,511,636 |
|
(1) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(3) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(4) The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(5) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at January 31, 2010 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(C) Forward foreign currency contracts outstanding at January 31, 2010:
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
|
U.S.$ Value on |
|
U.S.$ Value |
|
Appreciation |
|
|
|
|
Counterparty |
|
Origination Date |
|
January 31, 2010 |
|
(Depreciation) |
|
|
Purchased: |
|
|
|
|
|
|
|
|
|
|
5,628,800 Brazilian Real settling 2/2/10 |
|
Deutsche Bank |
|
$3,002,347 |
|
$3,007,802 |
|
$5,455 |
|
|
668,956 Brazilian Real settling 2/2/10 |
|
Goldman Sachs |
|
356,814 |
|
357,462 |
|
648 |
|
|
668,956 Brazilian Real settling 4/5/10 |
|
Goldman Sachs |
|
381,999 |
|
353,328 |
|
(28,671 |
) |
|
6,297,756 Brazilian Real settling 2/2/10 |
|
HSBC Bank |
|
3,273,262 |
|
3,365,265 |
|
92,003 |
|
|
7,109,000 British Pound settling 3/25/10 |
|
Morgan Stanley |
|
11,573,808 |
|
11,387,221 |
|
(186,587 |
) |
|
10,670,247 Chinese Yuan Renminbi settling 3/29/10 |
|
Bank of America |
|
1,586,300 |
|
1,570,470 |
|
(15,830 |
) |
|
135,140 Chinese Yuan Renminbi settling 6/7/10 |
|
Bank of America |
|
20,000 |
|
20,012 |
|
12 |
|
|
199,600 Chinese Yuan Renminbi settling 3/29/10 |
|
Barclays Bank |
|
29,540 |
|
29,378 |
|
(162 |
) |
|
1,160,846 Chinese Yuan Renminbi settling 11/23/10 |
|
Barclays Bank |
|
175,000 |
|
174,124 |
|
(876 |
) |
|
1,418,337 Chinese Yuan Renminbi settling 3/29/10 |
|
Citigroup |
|
209,969 |
|
208,754 |
|
(1,215 |
) |
|
1,883,914 Chinese Yuan Renminbi settling 11/17/10 |
|
Citigroup |
|
284,000 |
|
282,454 |
|
(1,546 |
) |
|
949,893 Chinese Yuan Renminbi settling 3/29/10 |
|
Deutsche Bank |
|
140,745 |
|
139,807 |
|
(938 |
) |
|
4,848,720 Chinese Yuan Renminbi settling 11/17/10 |
|
Deutsche Bank |
|
731,811 |
|
726,966 |
|
(4,845 |
) |
|
1,364,773 Chinese Yuan Renminbi settling 3/29/10 |
|
HSBC Bank |
|
201,800 |
|
200,870 |
|
(930 |
) |
|
12,700 Chinese Yuan Renminbi settling 3/29/10 |
|
JPMorgan Chase |
|
1,879 |
|
1,869 |
|
(10 |
) |
|
270,220 Chinese Yuan Renminbi settling 6/7/10 |
|
Morgan Stanley |
|
40,000 |
|
40,015 |
|
15 |
|
|
1,912,312 Chinese Yuan Renminbi settling 11/17/10 |
|
Morgan Stanley |
|
289,000 |
|
286,712 |
|
(2,288 |
) |
|
2,577,000 Euro settling 4/26/10 |
|
Citigroup |
|
3,572,495 |
|
3,581,126 |
|
8,631 |
|
|
2,576,683 Euro settling 2/3/10 |
|
JPMorgan Chase |
|
3,600,000 |
|
3,581,454 |
|
(18,546 |
) |
|
22,992 Malaysian Ringgit settling 2/12/10 |
|
Citigroup |
|
6,736 |
|
6,737 |
|
1 |
|
|
9,721 Singapore Dollar settling 3/17/10 |
|
Barclays Bank |
|
7,000 |
|
6,923 |
|
(77 |
) |
|
16,059 Singapore Dollar settling 6/16/10 |
|
Citigroup |
|
11,581 |
|
11,428 |
|
(153 |
) |
|
7,000 Singapore Dollar settling 2/11/10 |
|
JPMorgan Chase |
|
5,042 |
|
4,986 |
|
(56 |
) |
|
7,000 Singapore Dollar settling 3/17/10 |
|
Morgan Stanley |
|
5,030 |
|
4,985 |
|
(45 |
) |
|
Sold: |
|
|
|
|
|
|
|
|
|
|
12,000 Australian Dollar settling 2/26/10 |
|
Royal Bank of Scotland |
|
10,968 |
|
10,639 |
|
329 |
|
|
5,628,800 Brazilian Real settling 2/2/10 |
|
Deutsche Bank |
|
3,200,000 |
|
3,007,802 |
|
192,198 |
|
|
668,956 Brazilian Real settling 2/2/10 |
|
Goldman Sachs |
|
386,680 |
|
357,463 |
|
29,217 |
|
|
6,297,756 Brazilian Real settling 2/2/10 |
|
HSBC Bank |
|
3,359,161 |
|
3,365,264 |
|
(6,103 |
) |
|
7,110,000 British Pound settling 3/25/10 |
|
Citigroup |
|
11,448,657 |
|
11,388,822 |
|
59,835 |
|
|
574,000 British Pound settling 3/25/10 |
|
Deutsche Bank |
|
919,961 |
|
919,435 |
|
526 |
|
|
4,059,000 British Pound settling 3/25/10 |
|
UBS |
|
6,541,614 |
|
6,501,720 |
|
39,894 |
|
|
1,700,000 Canadian Dollar settling 2/22/10 |
|
Deutsche Bank |
|
1,647,263 |
|
1,595,439 |
|
51,824 |
|
|
132,810 Chinese Yuan Renminbi settling 1/10/11 |
|
Bank of America |
|
20,000 |
|
19,993 |
|
7 |
|
|
2,813,494 Chinese Yuan Renminbi settling 3/29/10 |
|
Barclays Bank |
|
415,161 |
|
414,096 |
|
1,065 |
|
|
373,061 Chinese Yuan Renminbi settling 6/7/10 |
|
Barclays Bank |
|
55,000 |
|
55,244 |
|
(244 |
) |
|
1,927,082 Chinese Yuan Renminbi settling 3/29/10 |
|
Citigroup |
|
284,000 |
|
283,632 |
|
368 |
|
|
156,542 Chinese Yuan Renminbi settling 6/7/10 |
|
Citigroup |
|
23,041 |
|
23,181 |
|
(140 |
) |
|
7,914,111 Chinese Yuan Renminbi settling 3/29/10 |
|
Deutsche Bank |
|
1,168,577 |
|
1,164,816 |
|
3,761 |
|
|
66,819 Chinese Yuan Renminbi settling 6/7/10 |
|
Deutsche Bank |
|
9,863 |
|
9,895 |
|
(32 |
) |
|
481,522 Chinese Yuan Renminbi settling 6/7/10 |
|
HSBC Bank |
|
71,000 |
|
71,305 |
|
(305 |
) |
|
1,960,864 Chinese Yuan Renminbi settling 3/29/10 |
|
Morgan Stanley |
|
289,000 |
|
288,604 |
|
396 |
|
|
265,580 Chinese Yuan Renminbi settling 1/10/11 |
|
Morgan Stanley |
|
40,000 |
|
39,980 |
|
20 |
|
|
2,576,683 Euro settling 2/3/10 |
|
Citigroup |
|
3,572,829 |
|
3,581,454 |
|
(8,625 |
) |
|
13,675,000 Euro settling 3/23/10 |
|
JPMorgan Chase |
|
19,640,856 |
|
19,005,278 |
|
635,578 |
|
|
1,528,000 Euro settling 4/26/10 |
|
JPMorgan Chase |
|
2,164,045 |
|
2,123,384 |
|
40,661 |
|
|
2,575,000 Euro settling 2/18/10 |
|
Royal Bank of Scotland |
|
3,821,506 |
|
3,578,991 |
|
242,515 |
|
|
10,834 Malaysian Ringgit settling 2/12/10 |
|
Barclays Bank |
|
3,161 |
|
3,174 |
|
(13 |
) |
|
1,111 Malaysian Ringgit settling 2/12/10 |
|
Citigroup |
|
314 |
|
325 |
|
(11 |
) |
|
22,992 Malaysian Ringgit settling 10/12/10 |
|
Citigroup |
|
6,715 |
|
6,665 |
|
50 |
|
|
15,998 Malaysian Ringgit settling 2/12/10 |
|
Deutsche Bank |
|
4,735 |
|
4,688 |
|
47 |
|
|
5,000 Malaysian Ringgit settling 2/12/10 |
|
JPMorgan Chase |
|
1,460 |
|
1,466 |
|
(6 |
) |
|
3,259 Malaysian Ringgit settling 6/14/10 |
|
Morgan Stanley |
|
951 |
|
950 |
|
1 |
|
|
|
|
|
|
|
|
|
|
$1,126,803 |
|
The Fund received $1,880,000 in cash as collateral for derivative contracts. Cash collateral received may be invested in accordance with the Fund’s investment strategy.
(D) Open reverse repurchase agreements at January 31, 2010:
|
Counterparty |
|
Rate |
|
Trade Date |
|
Maturity Date |
|
Principal & Interest |
|
Principal |
|
|
Barclays Bank |
|
0.55 |
% |
1/14/10 |
|
2/17/10 |
|
$3,750,031 |
|
$3,749,000 |
|
|
|
|
0.65 |
% |
1/5/10 |
|
2/4/10 |
|
16,273,930 |
|
16,266,000 |
|
|
|
|
0.65 |
% |
1/8/10 |
|
2/8/10 |
|
5,418,347 |
|
5,416,000 |
|
|
Citigroup |
|
0.55 |
% |
1/5/10 |
|
2/5/10 |
|
16,635,859 |
|
16,629,000 |
|
|
JPMorgan Chase |
|
(0.50 |
)% |
12/9/09 |
|
12/9/11 |
|
549,587 |
|
550,000 |
|
|
Morgan Stanley |
|
0.55 |
% |
1/22/10 |
|
2/22/10 |
|
20,242,092 |
|
20,239,000 |
|
|
|
|
0.55 |
% |
1/27/10 |
|
2/25/10 |
|
1,067,082 |
|
1,067,000 |
|
|
|
|
|
|
|
|
|
|
|
|
$63,916,000 |
|
The weighted average daily balance of reverse repurchase agreements outstanding during the three months ended January 31, 2010 was $44,259,045 at a weighted average interest rate of 0.60%. The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated as collateral for reverse repurchase agreements) for open reverse repurchase agreements was $68,539,620.
The Fund received $1,164,123 in principal value of U.S. government agency securities and $538,000 in cash as collateral for reverse repurchase agreements outstanding. Cash collateral received may be invested in accordance with the Fund’s investment strategy. Collateral received as securities cannot be pledged.
Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:
· Level 1 — quoted prices in active markets for identical investments that the Fund has the ability to access
· Level 2 — valuations based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) or quotes from inactive exchanges
· Level 3 — valuations based on significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used.
The valuation techniques used by the Fund to measure fair value during the three months ended January 31, 2010 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized option adjusted spread pricing techniques.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
A summary of the inputs used at January 31, 2010 in valuing the Fund’s assets and liabilities is listed below:
|
|
|
|
|
Level 2 - |
|
Level 3 - |
|
|
|
|
|
|
|
|
Other Significant |
|
Significant |
|
|
|
|
|
|
Level 1 - |
|
Observable |
|
Unobservable |
|
Value at |
|
|
|
|
Quoted Prices |
|
Inputs |
|
Inputs |
|
1/31/10 |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
Airlines |
|
— |
|
$10,468,231 |
|
$10,988,112 |
|
$21,456,343 |
|
|
Financial Services |
|
— |
|
259,698,364 |
|
941,122 |
|
260,639,486 |
|
|
Transportation |
|
— |
|
— |
|
689,392 |
|
689,392 |
|
|
All Other |
|
— |
|
267,782,344 |
|
— |
|
267,782,344 |
|
|
Mortgaged-Backed Securities |
|
— |
|
123,743,567 |
|
2,574,884 |
|
126,318,451 |
|
|
Convertible Preferred Stock |
|
$9,171,875 |
|
— |
|
— |
|
9,171,875 |
|
|
Sovereign Debt Obligations |
|
— |
|
5,240,462 |
|
— |
|
5,240,462 |
|
|
Asset-Backed Securities |
|
— |
|
3,249,788 |
|
— |
|
3,249,788 |
|
|
Senior Loans |
|
— |
|
2,662,564 |
|
— |
|
2,662,564 |
|
|
Municipal Bonds |
|
— |
|
1,981,801 |
|
— |
|
1,981,801 |
|
|
Short-Term Investments |
|
— |
|
18,117,929 |
|
— |
|
18,117,929 |
|
|
Options Purchased |
|
— |
|
335,663 |
|
— |
|
335,663 |
|
|
Investments in Securities - Assets |
|
$9,171,875 |
|
$693,280,713 |
|
$15,193,510 |
|
$717,646,098 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments* |
|
$2,112,500 |
|
$7,433,385 |
|
— |
|
$9,545,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments |
|
$11,284,375 |
|
$700,714,098 |
|
$15,193,510 |
|
$727,191,983 |
|
* Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as futures contracts, swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the three months ended January 31, 2010, was as follows:
|
|
|
|
|
|
|
|
|
|
|
Net Change |
|
|
|
|
|
|
|
|
Beginning |
|
Net |
|
Accrued |
|
|
|
in Unrealized |
|
Transfers in |
|
|
|
|
|
|
Balance |
|
Purchases(Sales) |
|
Discounts |
|
Net Realized |
|
Appreciation/ |
|
and/or out |
|
Ending Balance |
|
|
|
|
10/31/09 |
|
and Settlements |
|
(Premiums) |
|
Gain(Loss) |
|
Depreciation |
|
of Level 3 |
|
1/31/10 |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines |
|
$8,295,979 |
|
$(74,953 |
) |
$(10,287 |
) |
$(361 |
) |
$555,234 |
|
$2,222,500 |
|
$10,988,112 |
|
|
Financial Services |
|
882,555 |
|
(12,673 |
) |
— |
|
71,240 |
|
— |
|
— |
|
941,122 |
|
|
Transportation |
|
867,454 |
|
(178,923 |
) |
(571 |
) |
(2,284 |
) |
3,716 |
|
— |
|
689,392 |
|
|
Mortgaged-Backed Securities |
|
4,514,530 |
|
2,641,505 |
|
14,851 |
|
— |
|
200,751 |
|
(4,796,753 |
) |
2,574,884 |
|
|
Total Investments |
|
$14,560,518 |
|
$2,374,956 |
|
$3,993 |
|
$68,595 |
|
$759,701 |
|
$(2,574,253 |
) |
$15,193,510 |
|
The net change in unrealized appreciation/depreciation on investments, which the Fund held at January 31, 2010 was $538,915.
Item 2. Controls and Procedures
(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR270.3a-3(c))), 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 over financial reporting (as defined in Rule 30a-3 (d) under the Act (17 CFR270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
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 23, 2010
|
By |
/s/ Lawrence G. Altadonna |
|
|
Treasurer, Principal Financial & Accounting Officer |
||
Date: March 23, 2010
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 dates indicated.
|
By |
/s/ Brian S. Shlissel |
|
|
President & Chief Executive Officer |
||
Date: March 23, 2010
|
By |
/s/ Lawrence G. Altadonna |
|
|
Treasurer, Principal Financial & Accounting Officer |
||
Date: March 23, 2010