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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-07816
PCM Fund, Inc.
| (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: |
December 31, 2009 |
| Date of reporting period: |
September 30, 2009 |
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 |
PCM Fund, Inc. Schedule of Investments
September 30, 2009 (unaudited)
| Principal Amount (000) |
Credit Rating (Moody’s/S&P) |
Value* | ||||||
|
|
MORTGAGE-BACKED SECURITIES—106.4% |
|||||||
| Banc of America Commercial Mortgage, Inc., CMO, | ||||||||
| $ | 2,000 | 5.414%, 9/10/47 (g) |
Aaa/AAA | $ | 1,824,590 | |||
| 2,000 | 5.493%, 3/11/41, VRN (a)(c) |
NR/BBB+ | 1,049,937 | |||||
| 700 | 6.29%, 6/11/35 (a)(c) |
Ba1/BBB+ | 482,542 | |||||
| 2,500 | 7.224%, 4/15/36, VRN (g) |
A1/NR | 2,198,769 | |||||
| 2,800 | 8.271%, 11/15/31, VRN (g) |
Aa1/AA+ | 2,789,827 | |||||
| 2,000 | Banc of America Large Loan, Inc., 0.993%, 8/15/29, CMO, FRN (a)(c) | Aaa/AA | 1,264,502 | |||||
| 1,000 | BCRR Trust, 5.858%, 7/17/40, CMO, VRN (a)(c)(e) | Aaa/NR | 608,765 | |||||
| Bear Stearns Commercial Mortgage Securities, CMO, | ||||||||
| 1 | 5.06%, 11/15/16 |
Aaa/AAA | 1,499 | |||||
| 2,000 | 5.694%, 6/11/50, VRN (g) |
NR/A+ | 1,770,315 | |||||
| 2,000 | 5.908%, 6/11/40, VRN (g) |
Aaa/NR | 1,832,110 | |||||
| 1,000 | 5.982%, 5/11/39, VRN (a)(c) |
NR/BBB+ | 573,814 | |||||
| 2,000 | 6.176%, 9/11/42, VRN (a)(c) |
NR/BB+ | 614,521 | |||||
| 1,332 | 6.50%, 2/15/32 (c) |
NR/BB | 773,257 | |||||
| 1,258 | 6.625%, 10/15/32 (a)(c) |
NR/B | 182,393 | |||||
| 1,500 | Chase Commercial Mortgage Securities Corp., 6.887%, 10/15/32, CMO (a)(c) | NR/BB+ | 985,162 | |||||
| 4,012 | Citigroup/Deutsche Bank Commercial Mortgage Trust, | |||||||
| 5.322%, 12/11/49, CMO |
Aaa/A- | 3,365,100 | ||||||
| 3,000 | Commercial Capital Access One, Inc., 7.971%, 11/15/28, CMO, VRN (a)(c) | NR/NR | 878,252 | |||||
| Commercial Mortgage Pass Through Certificates, CMO, | ||||||||
| 2,000 | 5.961%, 6/10/46, VRN (g) |
NR/AAA | 1,917,928 | |||||
| 1,500 | 6.586%, 7/16/34 (a)(c)(g) |
Aaa/AAA | 1,587,086 | |||||
| 2,893 | 6.83%, 2/16/34, VRN (a)(c)(g) |
Aaa/NR | 2,943,882 | |||||
| 1,500 | 6.938%, 7/16/34, VRN (a)(c) |
Aa2/A+ | 993,188 | |||||
| Credit Suisse Mortgage Capital Certificates, CMO, | ||||||||
| 5,000 | 5.467%, 9/15/39 |
Aaa/AAA | 4,262,824 | |||||
| 384 | 6.50%, 5/25/36 |
Caa2/CCC | 199,574 | |||||
| CS First Boston Mortgage Securities Corp., CMO, | ||||||||
| 22,815 | 0.470%, 12/15/35, IO, VRN (a)(c)(g) |
NR/AAA | 785,176 | |||||
| 2,000 | 5.322%, 8/15/36, VRN (a)(c) |
Ba1/BB+ | 583,191 | |||||
| 2,600 | 5.745%, 12/15/36, VRN (a)(c) |
NR/BBB+ | 1,404,340 | |||||
| 3,000 | 6.574%, 12/15/35 (g) |
Aaa/AAA | 3,052,071 | |||||
| 2,000 | 7.46%, 1/17/35, VRN (c)(g) |
NR/NR | 2,065,645 | |||||
| 1,820 | CVS Pass-Through Trust, 5.88%, 1/10/28 (g) | Baa2/BBB+ | 1,720,310 | |||||
| 500 | CW Capital Cobalt Ltd., 5.223%, 8/15/48, CMO | NR/AA- | 401,094 | |||||
| 4,365 | FFCA Secured Lending Corp., 1.232%, 9/18/27, CMO, IO, VRN (a)(c) | NR/NR | 59,672 | |||||
| 2,000 | First Union-Lehman Brothers-Bank of America, 6.778%, 11/18/35, CMO (g) | Aaa/AAA | 2,116,907 | |||||
| 1,000 | First Union-National Bank-Bank of America Commercial Mortgage Trust, | |||||||
| 6.00%, 1/15/11, CMO (a)(c) |
Ba3/NR | 553,351 | ||||||
| GMAC Commercial Mortgage Securities, Inc., CMO, | ||||||||
| 1,500 | 4.690%, 5/15/30, VRN (a)(c) |
NR/NR | 684,631 | |||||
| 2,000 | 6.50%, 5/15/35 (c) |
NR/BBB | 2,010,561 | |||||
| 325 | 6.50%, 5/15/35 |
Aaa/AAA | 324,911 | |||||
| 1,500 | 8.323%, 9/15/35, VRN (a)(c)(g) |
NR/NR | 1,406,167 | |||||
| Greenwich Capital Commercial Funding Corp., CMO, | ||||||||
| 1,500 | 5.419%, 1/5/36, VRN (a)(c) |
A2/A+ | 916,895 | |||||
| 2,000 | 5.444%, 3/10/39 (g) |
Aaa/AAA | 1,777,566 | |||||
| GS Mortgage Securities Corp. II, | ||||||||
| 2,000 | 1.304%, 3/6/20, FRN (a)(c) |
NR/BBB | 1,483,257 | |||||
| 5,750 | 5.56%, 11/10/39 (g) |
Aaa/NR | 5,068,482 | |||||
| 2,000 | 5.74%, 11/10/39, VRN |
Baa1/NR | 309,680 | |||||
| 3,480 | 7.644%, 8/5/18, VRN (a)(c) |
Baa2/NR | 2,617,102 | |||||
PCM Fund, Inc. Schedule of Investments
September 30, 2009 (unaudited)
| Principal Amount (000) |
Credit Rating (Moody’s/S&P) |
Value* | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., CMO, | ||||||||
| $ | 9,542 | 0.820%, 3/12/39, IO, VRN (a)(c)(g) |
Aaa/NR | $ | 317,750 | |||
| 1,120 | 6.006%, 6/15/49, VRN |
Aaa/A- | 982,064 | |||||
| 2,000 | 6.162%, 5/12/34 (g) |
Aaa/NR | 2,109,858 | |||||
| LB-UBS Commercial Mortgage Trust, CMO, | ||||||||
| 1,278 | 5.347%, 11/15/38 (g) |
NR/AAA | 1,184,466 | |||||
| 1,500 | 5.683%, 7/15/35 (a)(c) |
Ba1/BBB- | 828,003 | |||||
| 1,572 | 6.95%, 3/15/34, VRN (a)(c) |
A1/A | 1,323,571 | |||||
| 2,000 | 7.29%, 9/15/34 (a)(c)(g) |
A2/NR | 1,854,436 | |||||
| 2,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, | |||||||
| 6.156%, 8/12/17, CMO, VRN |
NR/A | 460,957 | ||||||
| 1,500 | Merrill Lynch Mortgage Investors, Inc., 6.985%, 12/15/30, CMO, VRN | A3/AA+ | 1,426,905 | |||||
| Morgan Stanley Capital I, CMO, VRN, | ||||||||
| 2,000 | 5.447%, 2/12/44 (g) |
Aaa/AAA | 1,713,945 | |||||
| 315 | 5.692%, 4/15/49 |
Aaa/A- | 258,540 | |||||
| 2,707 | Morgan Stanley Dean Witter Capital I, 6.66%, 2/15/33, CMO (g) | NR/AAA | 2,801,395 | |||||
| 120 | Multi-Family Capital Access One, Inc., 8.820%, 1/15/24, CMO, VRN | NR/NR | 118,898 | |||||
| 1,993 | Nationslink Funding Corp., 7.105%, 8/20/30, CMO, VRN (a)(c)(g) | NR/BBB+ | 2,065,492 | |||||
| 1,000 | Office Portfolio Trust, 6.778%, 2/3/16, CMO (a)(c) | Baa2/NR | 804,188 | |||||
| 2,744 | RBSCF Trust, 6.068%, 2/17/51, CMO, VRN (a)(c)(e) | NR/NR | 1,369,331 | |||||
| RMF Commercial Mortgage Pass Through Certificates, CMO (a)(c), | ||||||||
| 268 | 7.471%, 1/15/19 |
NR/NR | 181,836 | |||||
| 265 | 9.350%, 1/15/19, VRN |
NR/NR | 71,673 | |||||
| 3,000 | TrizecHahn Office Properties, 7.604%, 5/15/16, CMO (a)(c) | Baa1/A | 2,359,547 | |||||
| Wachovia Bank Commercial Mortgage Trust, CMO, | ||||||||
| 43,481 | 0.508%, 10/15/41, IO, VRN (a)(c)(g) |
Aaa/AAA | 802,801 | |||||
| 1,020 | 4.982%, 2/15/35 (a)(c) |
NR/BBB | 392,725 | |||||
| 2,500 | 5.188%, 2/15/41, VRN (a)(c) |
Baa2/BBB | 756,480 | |||||
| 1,000 | 5.509%, 4/15/47 |
Aaa/BBB+ | 770,820 | |||||
| 1,500 | 5.534%, 1/15/41, VRN (a)(c) |
Baa2/BBB | 443,758 | |||||
| Total Mortgage-Backed Securities (cost—$112,620,736) | 87,840,285 | |||||||
|
|
CORPORATE BONDS & NOTES—30.5% |
|||||||
|
|
Airlines—0.9% |
|||||||
| 910 | United Air Lines, Inc., 6.636%, 1/2/24 | Ba1/BBB- | 755,509 | |||||
|
|
Automotive—0.8% |
|||||||
| 750 | Tenneco, Inc., 8.625%, 11/15/14 | Caa2/CCC | 706,875 | |||||
|
|
Financial Services—23.1% |
|||||||
| 1,000 | American Express Bank, 0.376%, 5/29/12, FRN (g) | A2/A+ | 935,300 | |||||
| American International Group, Inc. (g), | ||||||||
| 2,000 | 4.25%, 5/15/13 |
A3/A- | 1,667,446 | |||||
| 600 | 4.70%, 10/1/10 |
A3/A- | 579,490 | |||||
| 500 | 5.45%, 5/18/17 |
A3/A- | 363,044 | |||||
| 900 | 5.85%, 1/16/18 |
A3/A- | 652,588 | |||||
| Citigroup, Inc. (g), | ||||||||
| 1,000 | 0.42%, 3/16/12, FRN |
A3/A | 951,467 | |||||
| 2,000 | 5.00%, 9/15/14 |
Baa1/A- | 1,906,034 | |||||
| Ford Motor Credit Co. LLC, | ||||||||
| 2,000 | 7.25%, 10/25/11 |
Caa1/CCC+ | 1,943,638 | |||||
| 500 | 8.00%, 12/15/16 |
Caa1/CCC+ | 464,692 | |||||
| 2,000 | 9.875%, 8/10/11 |
Caa1/CCC+ | 2,029,480 | |||||
| 500 | General Electric Capital Corp., 0.420%, 6/12/12, FRN | Aa2/AA+ | 473,068 | |||||
| 2,200 | International Lease Finance Corp., 4.95%, 2/1/11 (g) | Baa3/BBB+ | 2,015,086 | |||||
PCM Fund, Inc. Schedule of Investments
September 30, 2009 (unaudited)
| Principal Amount (000) |
Credit Rating (Moody’s/S&P) |
Value* | ||||||
|
|
Financial Services (continued) |
|||||||
| Merrill Lynch & Co., Inc., FRN, | ||||||||
| $ | 500 | 0.683%, 11/1/11 (g) |
A2/A | $ | 484,931 | |||
| 1,000 | 0.969%, 1/15/15 |
A2/A | 901,423 | |||||
| Morgan Stanley, FRN (g), | ||||||||
| 1,000 | 0.838%, 1/9/14 |
A2/A | 931,390 | |||||
| 1,200 | 0.989%, 10/15/15 |
A2/A | 1,099,255 | |||||
| SLM Corp. (g), | ||||||||
| 1,000 | 0.734%, 10/25/11, FRN |
Ba1/BBB- | 838,805 | |||||
| 1,000 | 8.45%, 6/15/18 |
Ba1/BBB- | 798,920 | |||||
| 19,036,057 | ||||||||
|
|
Industrial—1.0% |
|||||||
| 250 | Dynegy Holdings, Inc., 7.125%, 5/15/18 | B3/B | 193,750 | |||||
| 500 | SemGroup L.P., 8.75%, 11/15/15 (a)(c)(d) | NR/NR | 35,000 | |||||
| 800 | Verso Paper Holdings LLC, 9.125%, 8/1/14 | B2/B- | 596,000 | |||||
| 824,750 | ||||||||
|
|
Insurance—2.2% |
|||||||
| 3,000 | American International Group, Inc., | |||||||
| 8.175%, 5/15/68, (converts to FRN on 5/15/38) (g) |
Ba2/BBB | 1,822,500 | ||||||
|
|
Oil & Gas—2.5% |
|||||||
| 2,000 | Kinder Morgan Energy Partners L.P., 6.50%, 9/1/39 (g) | Baa2/BBB | 2,041,292 | |||||
| Total Corporate Bonds & Notes (cost—$23,482,547) | 25,186,983 | |||||||
|
|
REAL ESTATE ASSET-BACKED SECURITIES—11.7% |
|||||||
| 777 | American Home Mortgage Assets, 1.821%, 11/25/46, CMO, FRN | Caa1/BB- | 314,173 | |||||
| 299 | Ameriquest Mortgage Securities, Inc., 5.871%, 2/25/33, FRN (d) | Ca/D | 21,910 | |||||
| 160 | Asset Backed Securities Corp. Home Equity, 2.996%, 6/21/29, FRN | Caa1/NR | 19,198 | |||||
| 438 | Banc of America Alternative Loan Trust, 6.25%, 1/25/37, CMO | Ca/NR | 221,697 | |||||
| 248 | Banc of America Funding Corp., 5.835%, 3/20/36, CMO, FRN | B3/BB | 162,944 | |||||
| 962 | Banc of America Mortgage Securities, Inc., 5.179%, 6/25/35, CMO, FRN | Ba3/NR | 742,735 | |||||
| 727 | Bear Stearns Adjustable Rate Mortgage Trust, | |||||||
| 4.769%, 5/25/34, CMO, FRN (g) |
A2/AAA | 634,299 | ||||||
| Bear Stearns Alt-A Trust, CMO, | ||||||||
| 483 | 4.275%, 9/25/34, VRN |
A2/AAA | 330,183 | |||||
| 347 | 5.487%, 7/25/35, FRN |
Ba1/CCC | 236,780 | |||||
| 2,000 | 5.735%, 8/25/36, VRN |
Caa3/AAA | 762,601 | |||||
| 389 | 5.884%, 5/25/36, VRN |
Caa2/CCC | 196,837 | |||||
| 914 | 6.25%, 8/25/36, VRN |
Caa2/CCC | 434,445 | |||||
| 350 | Bear Stearns Asset Backed Securities Trust, 5.50%, 12/25/35, CMO | Caa1/CCC | 265,775 | |||||
| 122 | CDC Mortgage Capital Trust, 5.346%, 3/25/33, FRN | C/D | 1,687 | |||||
| 414 | Countrywide Alternative Loan Trust, 6.00%, 11/25/35, CMO | Caa2/CCC | 313,250 | |||||
| 479 | Credit Suisse Mortgage Capital Certificates, 5.896%, 4/25/36, CMO | Caa1/CCC | 323,968 | |||||
| 228 | CS First Boston Mortgage Securities Corp., 7.00%, 2/25/33, CMO | Aaa/AAA | 227,618 | |||||
| 149 | EMC Mortgage Loan Trust, 0.896%, 2/25/41, FRN (a)(c) | NR/NR | 117,387 | |||||
| 421 | First Horizon Alternative Mortgage Securities, | |||||||
| 5.389%, 8/25/35, CMO, FRN |
B1/B- | 103,372 | ||||||
| 212 | First Horizon Asset Securities, Inc., 5.006%, 4/25/35, CMO | Aaa/AAA | 202,627 | |||||
| 303 | GSAA Trust, 0.516%, 6/25/35, FRN | Aa3/AAA | 181,778 | |||||
| 786 | JPMorgan Mortgage Trust, 4.066%, 7/25/35, CMO, FRN | B1/AAA | 737,151 | |||||
| 77 | Keystone Owner Trust, 9.00%, 1/25/29 (a)(c) | Baa3/NR | 71,706 | |||||
PCM Fund, Inc. Schedule of Investments
September 30, 2009 (unaudited)
| Principal Amount (000) |
Credit Rating (Moody’s/S&P) |
Value* | ||||||
| $ | 794 | Morgan Stanley Mortgage Loan Trust, 4.889%, 1/25/35, CMO, VRN | NR/A | $ | 111,645 | |||
| 1,000 | Oakwood Mortgage Investors, Inc., 6.89%, 11/15/32, VRN | C/CCC- | 166,675 | |||||
| Ocwen Residential MBS Corp., CMO, VRN (a)(c)(e), | ||||||||
| 338 | 6.879%, 6/25/39 |
NR/NR | 6,998 | |||||
| 2,705 | 7.00%, 10/25/40 |
B3/NR | 308,232 | |||||
| 817 | Residential Accredit Loans, Inc., 6.00%, 8/25/35, CMO | NR/B- | 601,275 | |||||
| 780 | Residential Asset Securitization Trust, 6.00%, 3/25/37, CMO | NR/CCC | 589,618 | |||||
| 341 | Sequoia Mortgage Trust, 0.446%, 7/20/36, CMO, FRN | Ba3/AAA | 242,983 | |||||
| 68 | Structured Asset Investment Loan Trust, 4.746%, 10/25/33, FRN | Caa2/CCC | 3,948 | |||||
| 432 | TBW Mortgage Backed Pass Through Certificates, 6.00%, 7/25/36, CMO | NR/CCC | 261,703 | |||||
| 1,000 | UCFC Manufactured Housing Contract, 7.90%, 1/15/28, VRN | Ca/NR | 708,548 | |||||
| Total Real Estate Asset-Backed Securities (cost—$11,366,510) | 9,625,746 | |||||||
|
|
ASSET-BACKED SECURITIES—3.6% |
|||||||
| 2,706 | American Airlines Pass Through Trust, 6.817%, 11/23/12 | B2/BB- | 2,489,520 | |||||
| 547 | Northwest Airlines, Inc., 1.175%, 5/20/14, FRN, MBIA (g) | Baa2/BB+ | 459,270 | |||||
| Total Asset-Backed Securities (cost—$2,529,946) | 2,948,790 | |||||||
|
|
MUNICIPAL BONDS & NOTES—2.8% |
|||||||
|
|
Arkansas—0.8% |
|||||||
| 880 | Little Rock Municipal Property Owners Multipurpose Improvement Dist. No. 10, Special Tax, 7.20%, 3/1/32, Ser. B | NR/NR | 653,189 | |||||
|
|
Iowa—0.4% |
|||||||
| 345 | Dickinson Cnty. Rev., Spirit Lake, 7.75%, 12/1/12, Ser. B | NR/NR | 365,738 | |||||
|
|
Virginia—0.7% |
|||||||
| 620 | Lexington Industrial Dev. Auth. Rev., 8.00%, 1/1/15, Ser. C | NR/NR | 579,043 | |||||
|
|
West Virginia—0.9% |
|||||||
| 960 | Tobacco Settlement Finance Auth. Rev., 7.467%, 6/1/47, Ser. A | Baa3/BBB | 760,617 | |||||
| Total Municipal Bonds & Notes (cost—$2,737,334) | 2,358,587 | |||||||
|
|
OTHER BONDS & NOTES—1.7% |
|||||||
| 1,425 | Denver Arena Trust, 6.94%, 11/15/19 (a)(c) | NR/NR | 1,282,147 | |||||
| 1,856 | First International Bank NA, 5.993%, 4/15/26, ABS, FRN (c) | C/NR | 93,965 | |||||
| 131 | PPM America High Yield CBO Ltd., 2.11%, 6/1/11 (b)(e) | NR/NR | 49,498 | |||||
| Total Other Bonds & Notes (cost—$3,308,884) | 1,425,610 | |||||||
|
|
U.S. GOVERNMENT AGENCY SECURITIES (f)—1.5% |
|||||||
|
|
Freddie Mac—1.4% |
|||||||
| 4 | 0.343%, 2/1/11, FRN |
Aaa/AAA | 3,997 | |||||
| 268 | 0.350%, 4/1/11, FRN |
Aaa/AAA | 268,478 | |||||
| 935 | 0.379%, 3/9/11, FRN |
Aaa/AAA | 936,801 | |||||
| 1,209,276 | ||||||||
|
|
Federal Housing Administration—0.1% |
|||||||
| 51 | 8.36%, 1/1/12 (e) |
NR/NR | 51,300 | |||||
| Total U.S. Government Agency Securities (cost—$1,261,915) | 1,260,576 | |||||||
|
|
SHORT-TERM INVESTMENTS—4.0% |
|||||||
|
|
Corporate Notes—1.7% |
|||||||
|
|
Financial Services—1.7% |
|||||||
| 1,500 | International Lease Finance Corp., 4.875%, 9/1/10 (g) (cost—$1,307,829) | Baa3/BBB+ | 1,406,836 | |||||
PCM Fund, Inc. Schedule of Investments
September 30, 2009 (unaudited)
| Principal Amount (000) |
Credit Rating (Moody’s/S&P) |
Value* | ||||||
| Mortgage-Backed Securities—1.2% |
||||||||
| $1,600 | Chase Commercial Mortgage Securities Corp., | |||||||
| 6.65%, 7/15/32, CMO (a)(c) (cost—$1,648,467) |
Ba2/NR | $ | 1,020,366 | |||||
| U.S. Treasury Bills (f)—0.6% |
||||||||
| 470 | 0.26%, 2/25/10 (cost—$469,500) |
469,756 | ||||||
| Repurchase Agreements—0.5% |
||||||||
| 386 | State Street Bank & Trust Co., dated 9/30/09, 0.01%, due 10/1/09, proceeds $386,000; collateralized by U.S. Treasury Bills, 0.051% due 12/10/09, valued at $394,961 including accrued interest (cost—$386,000) | 386,000 | ||||||
| Total Short-Term Investments (cost—$3,811,796) | 3,282,958 | |||||||
| Total Investments (cost—$161,119,668)—162.2% | 133,929,535 | |||||||
| Liabilities in excess of other assets—(62.2)% | (51,353,016 | ) | ||||||
| Net Assets—100% | $ | 82,576,519 | ||||||
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, on the basis of 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 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 Directors, or persons acting at their discretion pursuant to procedures established by the Board of Directors, 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. 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.
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 net asset value is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“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 $39,071,253, representing 47.3% of net assets. |
| (b) | Illiquid. |
| (c) | 144A Security—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
| (d) | In default. |
| (e) | Fair-Valued—Securities with an aggregate value of $2,394,124, representing 2.9% of net assets. |
| (f) | All or partial amount segregated as collateral for swaps. |
| (g) | All or partial amount segregated as collateral for reverse repurchase agreements. |
Glossary:
ABS—Asset-Backed Securities
CMO—Collateralized Mortgage Obligation
FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on September 30, 2009.
IO—Interest Only
MBIA—insured by Municipal Bond Investors Assurance
NR—Not Rated
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 September 30, 2009.
Other Investments:
(A) Credit default swaps agreements:
Buy Protection swap agreements outstanding at September 30, 2009 (1):
| Swap Counterparty/ Referenced Debt Issuer |
Notional Amount Payable on Default (000) (4) |
Credit Spread (3) |
Termination Date |
Payments Paid by Fund |
Market Value (5) |
Upfront Premiums Paid |
Unrealized Depreciation |
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| Morgan Stanley: |
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| CIT Group |
$ | 1,400 | 30.01 | % | 12/20/13 | (5.00 | )% | $ | 492,781 | $ | 630,000 | $ | (137,219 | ) | |||||||
Sell Protection swap agreements outstanding at September 30, 2009 (2):
| Swap Counterparty/ Referenced Debt Issuer |
Notional Amount Payable on Default (000) (4) |
Credit Spread (3) |
Termination Date |
Payments Received by Fund |
Market Value (5) |
Upfront Premiums Received |
Unrealized Appreciation (Depreciation) |
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| Barclays Bank: |
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| CIT Group |
$ | 3,000 | 27.11 | % | 3/20/14 | 6.80 | % | $ | (939,021 | ) | — | $ | (939,021 | ) | |||||||||
| BNP Paribas: |
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| General Electric |
1,000 | 2.02 | % | 12/20/13 | 4.70 | % | 104,727 | — | 104,727 | ||||||||||||||
| Citigroup: |
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| American Express |
1,700 | 1.27 | % | 12/20/13 | 4.25 | % | 202,359 | — | 202,359 | ||||||||||||||
| SLM |
1,000 | 8.73 | % | 12/20/13 | 5.00 | % | (114,970 | ) | $ | (157,500 | ) | 42,530 | |||||||||||
| Credit Suisse First Boston: |
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| Home Equity Index |
818 | 16.69 | % | 7/25/45 | 0.18 | % | (175,520 | ) | (36,802 | ) | (138,718 | ) | |||||||||||
| Deutsche Bank: |
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| American International Group |
2,000 | 8.11 | % | 3/20/13 | 2.10 | % | (336,609 | ) | — | (336,609 | ) | ||||||||||||
| CIT Group |
1,000 | 27.48 | % | 12/20/13 | 5.00 | % | (337,405 | ) | (265,000 | ) | (72,405 | ) | |||||||||||
| General Electric |
700 | 2.02 | % | 12/20/13 | 4.70 | % | 73,309 | — | 73,309 | ||||||||||||||
| SLM |
1,000 | 8.73 | % | 12/20/13 | 5.00 | % | (114,970 | ) | (122,500 | ) | 7,530 | ||||||||||||
| SLM |
3,000 | 7.69 | % | 3/20/19 | 5.35 | % | (349,222 | ) | — | (349,222 | ) | ||||||||||||
| Merrill Lynch & Co.: |
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| SLM |
700 | 8.73 | % | 12/20/13 | 5.00 | % | (80,479 | ) | (98,000 | ) | 17,521 | ||||||||||||
| $ | (2,067,801 | ) | $ | (679,802 | ) | $ | (1,387,999 | ) | |||||||||||||||
| (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 compromising 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 compromising 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 compromising 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 compromising 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 September 30, 2009 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. |
The Fund received $600,000 in cash as collateral for derivative contracts. Cash collateral received may be invested in accordance with the Fund’s investment strategy.
(B) The weighted average daily balance of reverse repurchase agreements outstanding during the nine months ended September 30, 2009 was $51,289,529 at a weighted average interest rate of 1.41%. 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 at September 30, 2009 was $67,085,960. Open reverse repurchase agreements at September 30, 2009 were:
| Counterparty |
Rate | Trade Date | Maturity Date | Principal & Interest | Principal | ||||||||
| Barclays |
0.75 | % | 9/4/09 | 10/5/09 | $ | 11,229,313 | $ | 11,223,000 | |||||
| 1.25 | % | 9/4/09 | 10/5/09 | 3,221,017 | 3,218,000 | ||||||||
| Bank of America |
0.70 | % | 9/18/09 | 10/19/09 | 2,123,537 | 2,123,000 | |||||||
| 1.25 | % | 9/18/09 | 10/19/09 | 655,296 | 655,000 | ||||||||
| Credit Suisse First Boston |
0.75 | % | 9/4/09 | 10/5/09 | 1,529,860 | 1,529,000 | |||||||
| 0.75 | % | 9/17/09 | 10/19/09 | 1,708,498 | 1,708,000 | ||||||||
| 1.50 | % | 9/14/09 | 10/14/09 | 7,669,429 | 7,664,000 | ||||||||
| Greenwich Capital |
1.25 | % | 9/18/09 | 10/19/09 | 8,192,684 | 8,189,000 | |||||||
| 1.50 | % | 9/18/09 | 10/19/09 | 1,959,058 | 1,958,000 | ||||||||
| JPMorgan Chase & Co. |
1.50 | % | 9/11/09 | 10/9/09 | 3,512,925 | 3,510,000 | |||||||
| 1.50 | % | 9/17/09 | 10/19/09 | 2,246,309 | 2,245,000 | ||||||||
| Morgan Stanley |
1.25 | % | 9/18/09 | 10/19/09 | 6,437,905 | 6,435,000 | |||||||
| $ | 50,457,000 | ||||||||||||
The Fund received $280,000 in cash as collateral for reverse repurchase agreements. Cash collateral received may be invested in accordance with the Fund’s investment strategy.
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 aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there has been a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used, the objective of a fair value measurement remains the same.
The valuation techniques used by the Fund to measure fair value during the nine months ended September 30, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized multi-dimensional relational pricing models and option adjusted spread pricing as fair-value 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 September 30, 2009, in valuing the Fund’s assets and liabilities is listed below:
| Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Value at 9/30/2009 |
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| Investments in Securities - Assets |
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| Mortgaged-Backed Securities |
— | $ | 85,862,189 | $ | 1,978,096 | $ | 87,840,285 | ||||||
| Corporate Bonds & Notes: |
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| Airlines |
— | — | 755,509 | 755,509 | |||||||||
| All Other |
— | 24,431,474 | — | 24,431,474 | |||||||||
| Real Estate Asset-Backed Securities |
— | 9,310,516 | 315,230 | 9,625,746 | |||||||||
| Asset-Backed Securities |
— | 2,489,520 | 459,270 | 2,948,790 | |||||||||
| Municipal Bonds & Notes |
— | 2,358,587 | — | 2,358,587 | |||||||||
| Other Bonds & Notes |
— | 1,376,112 | 49,498 | 1,425,610 | |||||||||
| U.S. Government Agency Securities |
— | 1,209,276 | 51,300 | 1,260,576 | |||||||||
| Short-Term Investments |
— | 3,282,958 | — | 3,282,958 | |||||||||
| Total Investments in Securities - Assets |
— | $ | 130,320,632 | $ | 3,608,903 | $ | 133,929,535 | ||||||
| Other Financial Instruments* |
— | $ | (1,525,218 | ) | — | $ | (1,525,218 | ) | |||||
| Total Investments in Securities |
— | $ | 128,795,414 | $ | 3,608,903 | $ | 132,404,317 | ||||||
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended September 30, 2009, were as follows:
| Beginning Balance 12/31/2008 |
Net Purchases(Sales) and Settlements |
Accrued Discounts (Premiums) |
Total Realized Gain(Loss) |
Total Change in Unrealized Appreciation (Depreciation) |
Transfers in and/or out of Level 3 |
Ending Balance 9/30/2009 | |||||||||||||||||||
| Investments in Securities - Assets |
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| Mortgaged-Backed Securities |
— | $ | 1,916,249 | $ | 8,019 | — | $ | 53,828 | — | $ | 1,978,096 | ||||||||||||||
| Corporate Bonds & Notes: |
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| Airlines |
— | (41,207 | ) | 563,145 | — | 233,571 | — | 755,509 | |||||||||||||||||
| Real Estate Asset-Backed Securities |
— | (1,157,270 | ) | 49,229 | $ | 752,605 | (452,338 | ) | $ | 1,123,004 | 315,230 | ||||||||||||||
| Asset-Backed Securities |
— | 429,704 | 5,962 | 2,159 | 21,445 | — | 459,270 | ||||||||||||||||||
| Other Bonds & Notes |
$ | 84,541 | (6,612 | ) | 5,494 | 1,274 | (35,199 | ) | — | 49,498 | |||||||||||||||
| U.S. Government Agency Securities |
74,899 | (22,702 | ) | (133 | ) | (178 | ) | (586 | ) | — | 51,300 | ||||||||||||||
| Total Investments in Securities - Assets |
$ | 159,440 | $ | 1,118,162 | $ | 631,716 | $ | 755,860 | $ | (179,279 | ) | $ | 1,123,004 | $ | 3,608,903 | ||||||||||
| Other Financial Instruments* |
$ | 1,024,699 | $ | (1,024,699 | ) | — | — | — | — | — | |||||||||||||||
| Total Investments in Securities |
$ | 1,184,139 | $ | 93,463 | $ | 631,716 | $ | 755,860 | $ | (179,279 | ) | $ | 1,123,004 | $ | 3,608,903 | ||||||||||
| * | Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as swap agreements, which are valued at the unrealized appreciation (depreciation) on the instrument. |
The net change in unrealized appreciation (depreciation) of Level 3 securities, which the Fund held at September 30, 2009 was $(179,279).
Financial Derivative Instruments- Disclosures about derivative instruments and hedging activities require qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The disclosure requirements distinguish between derivatives which are accounted for as “hedges” and those that do not qualify for such accounting. Although the Fund may sometimes use derivatives for hedging purposes, the Fund reflects derivatives at fair value.
The following is a summary of the fair valuations of the Fund’s derivative instruments categorized by risk exposure at September 30, 2009. Derivative instruments are valued at the unrealized appreciation (depreciation) of the instrument:
| Derivatives Fair Value | ||||
| Credit contracts |
$ | (1,525,218 | ) | |
| 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 CFR 270.30a-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 CFR 270.30a-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: PCM Fund, Inc
| By: | /s/ Brian S. Shlissel | |
| President & Chief Executive Officer |
Date: November 20, 2009
| By: | /s/ Lawrence G. Altadonna | |
| Treasurer, Principal Financial & Accounting Officer |
Date: November 20, 2009
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: November 20, 2009
| By: | /s/ Lawrence G. Altadonna | |
| Treasurer, Principal Financial & Accounting Officer |
Date: November 20, 2009