UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number

811-10555

 

PIMCO Corporate Income Fund

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas, New York, New York

 

10105

(Address of principal executive offices)

 

(Zip code)

 

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

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

October 31, 2008

 

 

Date of reporting period:

April 30, 2008

 

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 



 

Item 1: Report to Shareholders

 

 

 

Contents

 

 

 

 

 

 

 

Letter to Shareholders

 

1

 

 

 

 

 

Fund Insights/Performance & Statistics

 

2

 

 

 

 

 

Schedule of Investments

 

3-12

 

 

 

 

 

 

Statement of Assets and Liabilities

 

13

 

 

 

 

 

 

 

Statement of Operations

 

14

 

 

 

 

 

 

 

Statement of Changes in Net Assets

 

15

 

 

 

 

 

 

 

Notes to Financial Statements

 

16-26

 

 

 

 

 

 

 

Financial Highlights

 

27

 

 

 

 

 

 

 

Annual Shareholder Meeting Results/
Proxy Voting Policies & Procedures/
Appointment of New Trustee

 

28

 

 

 

 


 

PIMCO Corporate Income Fund Letter to Shareholders

 

June 14, 2008

 

Dear Shareholder:

 

We are pleased to provide you with the semi-annual report for the PIMCO Corporate Income Fund (the “Fund”) for the fiscal six-month period ended April 30, 2008.

 

The U.S. bond market delivered positive returns during the reporting period as economic growth moderated, leading to lower interest rates and higher bond prices. The Federal Reserve (the “Fed”) reduced the Federal Funds rate five times in the period, reducing the benchmark rate on loans between member banks.

 

Since February 2008, industry-wide developments in the auction-rate preferred markets have caused auctions for the Fund’s auction-rate preferred shares (“ARPS”) to fail, as described in Note 5 in the accompanying notes to Financial Statements. At the time this report is being prepared, it is not possible to predict how and when full or partial liquidity will return, if at all, to the closed-end fund ARPS market. Additional information regarding ARPS, failed auctions and potential solutions to address the unprecedented lack of liquidity of the ARPS due to recent failed auctions can be accessed on our Web site, www.allianzinvestors.com/arps.

 

For specific information on the Fund and its performance, please refer to the following pages. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Fund’s shareholder servicing agent at (800) 331-1710. In addition, a wide range of information and resources is available on our Web site, www.allianzinvestors.com/closedendfunds.

 

Together with Allianz Global Investors Fund Management LLC, the Fund’s investment manager, and Pacific Investment Management Company LLC (“PIMCO”), the Fund’s sub-adviser, we thank you for investing with us.

 

We remain dedicated to serving your investment needs.

 

Sincerely,

 

 

 

Hans W. Kertess

Brian S. Shlissel

 

 

Chairman

President & Chief Executive Officer

 

4.30.08 | PIMCO Corporate Income Fund Semi-Annual Report 1

 


 

PIMCO Corporate Income Fund Fund Insights/Performance & Statistics

April 30, 2008 (unaudited)

 

·                  For the six-months ended April 30, 2008, the Fund had a net asset value (“NAV”) return of (1.60)% and a market price return of 8.38%.

·                  The Lehman U.S. Credit and U.S. High Yield Indices generated returns of 2.02% and (0.74)%, respectively, for the six-month period ended April 30, 2008.

·                  The Fund’s allocation to the electric sector boosted returns as the sector outperformed the broad market during the reporting period.

·                  Exposure to consumer non-cyclicals enhanced returns; in particular, performance was aided by emphasizing on health care bonds, which outperformed all other consumer non-cyclicals.

·                  The Fund’s positions in natural gas energy firms enhanced the Fund’s returns as this sector outperformed for the six-month period.

·                  The Fund’s position in insurance securities, an outperforming sector for the trailing six-months, contributed positively to the Fund’s performance.

·                  Exposure to finance companies dampened performance as this sector underperformed the market during the six- month period.

·                  The Fund’s quality bias contributed negatively to performance as Baa rated securities outperformed higher tiers of the quality spectrum during the six-month period.

 

Total Return(1):

 

Market Price

 

Net Asset Value (“NAV”)

Six Months

 

8.38

%

(1.60

)%

1 year

 

1.02

%

(4.07

)%

5 year

 

10.03

%

7.39

%

Commencement of Operations (12/21/01) to 4/30/08

 

9.96

%

8.61

%

 

Common Share Market Price/NAV Performance:

Market Price/NAV:

Commencement of Operations (12/21/01) to 4/30/08

Market Price

 

$14.75

 

NAV

NAV

 

$12.90

 

Market Price

Premium to NAV

 

14.34%

 

 

 

Market Price Yield(2)

 

8.64%

 

 

(1) Past performance is no guarantee of future results. Returns are calculated by determining the percentage change in net asset value or market share price (as applicable) in the period covered. The calculation assumes that all of the Fund’s income dividends and capital gain distributions have been reinvested. Total return does not reflect broker commissions or sales charges. Total return for a period of less than one year is not annualized. Total return for a period of more than one year represents the average annual total return.

 

The Fund’s performance at market price will differ from its results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund’s shares, or changes in Fund distributions.

 

An investment in the Fund involves risk, including the loss of principal. Total return, market price, market yield and net asset value will fluctuate with changes in market conditions. This data is provided for information only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a onetime public offering and once issued, shares of closed-end funds are sold in the open market through a stock exchange. Net asset value is equal to total assets attributable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.

 

(2) Market Price Yield is determined by dividing the annualized current monthly per share dividend (comprised from net investment income) payable to common shareholders by the market price per common share at April 30, 2008.

 

2 PIMCO Corporate Income Fund Semi-Annual Report | 4.30.08


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2008 (unaudited)

Principal
Amount
     (000)

 

 

 

 

Credit Rating (Moody’s/S&P)

 

 

Value

 

CORPORATE BONDS & NOTES – 78.0%

 

 

 

 

 

 

 

 

 

 

 

 

 

Airlines – 3.7%

 

 

 

 

 

 

 

American Airlines, Inc.,

 

 

 

 

 

$1,546

 

6.978%, 10/1/12

 

Baa2/A-

 

$1,522,438

 

1,000

 

7.858%, 4/1/13

 

Baa2/A-

 

1,001,649

 

 

 

Continental Airlines, Inc.,

 

 

 

 

 

10,000

 

6.503%, 6/15/11

 

Baa2/BBB+

 

9,813,758

 

749

 

6.545%, 8/2/20

 

Baa2/A-

 

726,959

 

3,035

 

7.056%, 9/15/09

 

Baa2/A-

 

3,023,619

 

2,274

 

9.798%, 4/1/21

 

Ba1/BB+

 

2,012,414

 

336

 

Delta Air Lines, Inc., 6.619%, 3/18/11

 

NR/BBB

 

329,674

 

9,673

 

Northwest Airlines, Inc., 7.15%, 10/1/19 (f)

 

Aaa/AAA

 

9,487,070

 

 

 

United Air Lines, Inc.,

 

 

 

 

 

1,567

 

7.336%, 7/2/19 (a)(d)

 

Ba2/BB-

 

1,300,605

 

378

 

10.36%, 11/13/12 (b)(k)

 

NR/NR

 

4,059

 

 

 

 

 

 

 

29,222,245

 

Automotive – 0.2%

 

 

 

 

 

1,500

 

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

 

Caa1/CCC+

 

1,237,500

 

 

 

 

 

 

 

 

 

Banking – 16.7%

 

 

 

 

 

6,000

 

American Express Bank FSB, 5.50%, 4/16/13 (a)(d)

 

Aa3/A+

 

6,010,296

 

 

 

Bank of America Corp., FRN (g),

 

 

 

 

 

20,600

 

8.00%, 12/29/49

 

A1/A+

 

21,010,126

 

800

 

8.125%, 5/15/18

 

A1/A+

 

818,584

 

 

 

Barclays Bank PLC FRN (a)(d)(g),

 

 

 

 

 

4,600

 

7.434%, 12/15/17

 

Aa3/NR

 

4,419,965

 

9,700

 

7.70%, 4/25/18

 

Aa2/A+

 

9,952,890

 

6,900

 

BNP Paribas, 5.186%, 6/29/15, FRN (a)(d)(g)

 

Aa3/AA-

 

5,985,129

 

5,000

 

Colonial Bank, 9.375%, 6/1/11 (a)(b)(d)

 

Baa2/BBB

 

5,315,070

 

2,700

 

Commonwealth Bank of Australia,

 

 

 

 

 

 

 

6.024%, 3/15/16, FRN (a)(d)(g)

 

Aa3/A+

 

2,305,001

 

2,800

 

Credit Agricole S.A., 6.637%, 5/31/17, FRN (a)(d)(g)

 

Aa3/A

 

2,301,365

 

6,450

 

HBOS Capital Funding L.P., 6.071%, 6/30/14, FRN (a)(d)(g)

 

A1/A

 

5,316,961

 

 

 

HSBC Capital Funding L.P.,

 

 

 

 

 

3,900

 

4.61%, 6/27/13, FRN (a)(d)(g)

 

A1/A

 

3,243,310

 

1,000

 

10.176%, 6/30/30, FRN (g)

 

A1/A

 

1,234,243

 

 

 

HSBC Holdings PLC,

 

 

 

 

 

6,450

 

6.50%, 5/2/36

 

Aa3/A+

 

6,372,142

 

2,100

 

6.50%, 9/15/37

 

Aa3/A+

 

2,068,672

 

2,300

 

Rabobank Capital Funding II, 5.26%, 12/31/13, FRN (a)(d)(g)

 

Aa2/AA

 

2,055,673

 

4,600

 

Rabobank Capital Funding Trust,

 

 

 

 

 

 

 

5.254%, 10/21/16, FRN (a)(d)(g)

 

Aa2/AA

 

3,840,397

 

8,500

 

RBS Capital Trust III, 5.512%, 9/30/14, FRN (g)

 

Aa3/A

 

7,181,174

 

1,750

 

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

 

A2/A

 

1,840,741

 

1,000

 

Royal Bank of Scotland Group PLC,

 

 

 

 

 

 

 

7.648%, 9/30/31, FRN (g)

 

Aa3/A

 

847,468

 

3,100

 

State Street Capital Trust III, 8.25%, 3/15/11, FRN (g)

 

A1/A

 

3,166,650

 

7,300

 

UBS AG, 5.75%, 4/25/18

 

Aa1/AA-

 

7,307,906

 

5,700

 

USB Capital IX, 6.189%, 4/15/11, FRN (g)

 

A1/A+

 

4,334,702

 

 

 

Wachovia Corp.,

 

 

 

 

 

2,100

 

5.75%, 2/1/18

 

Aa3/AA-

 

2,097,839

 

15,000

 

7.98%, 3/15/18, FRN (g)

 

A2/A

 

14,803,215

 

7,200

 

Wells Fargo Capital X, 5.95%, 12/15/36

 

Aa2/AA-

 

6,432,437

 

 

 

 

 

 

 

130,261,956

 

 

4.30.08 | PIMCO Corporate Income Fund Semi-Annual Report 3


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2008 (unaudited) (continued)

Principal
Amount
     (000)

 

 

 

 

Credit Rating (Moody’s/S&P)

 

 

Value

 

 

 

 

 

 

 

Computer Services – 0.1%

 

 

 

 

 

$1,000

 

Electronic Data Systems Corp., 6.50%, 8/1/13

 

Baa3/BBB-

 

$1,020,595

 

 

 

 

 

 

 

 

 

Diversified Manufacturing – 0.7%

 

 

 

 

 

1,500

 

Bombardier, Inc., 8.00%, 11/15/14 (a)(d)

 

Ba2/BB+

 

1,605,000

 

 

 

Hutchison Whampoa International Ltd., (a)(d),

 

 

 

 

 

3,500

 

6.25%, 1/24/14

 

A3/A-

 

3,639,657

 

500

 

6.50%, 2/13/13

 

A3/A-

 

524,377

 

 

 

 

 

 

 

5,769,034

 

Energy – 5.0%

 

 

 

 

 

1,200

 

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

 

Baa3/BBB

 

1,282,633

 

2,000

 

Dynergy-Roseton Danskammer, Inc., 7.67%, 11/8/16

 

Ba3/B

 

2,003,252

 

2,000

 

El Paso Corp., 10.75%, 10/1/10

 

Ba3/BB-

 

2,231,138

 

4,300

 

Energy Transfer Partners L.P., 7.50%, 7/1/38

 

Baa3/BBB-

 

4,622,921

 

 

 

Kinder Morgan Energy Partners L.P.,

 

 

 

 

 

5,400

 

6.00%, 2/1/17

 

Baa2/BBB

 

5,412,134

 

1,000

 

6.50%, 2/1/37

 

Baa2/BBB

 

959,166

 

4,100

 

NGPL PipeCo LLC, 7.119%, 12/15/17 (a)(d)

 

Baa3/BBB-

 

4,310,605

 

1,200

 

Northwest Pipeline Corp., 5.95%, 4/15/17

 

Baa2/BBB-

 

1,192,500

 

1,000

 

Peabody Energy Corp., 7.875%, 11/1/26

 

Ba1/BB

 

1,042,500

 

3,000

 

Sonat, Inc., 7.625%, 7/15/11

 

Ba3/BB-

 

3,164,889

 

500

 

Southern Natural Gas Co., 5.90%, 4/1/17 (a)(d)

 

Baa3/BB

 

500,792

 

1,100

 

Tennessee Gas Pipeline Co., 7.50%, 4/1/17

 

Baa3/BB

 

1,214,068

 

250

 

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

 

Baa2/BBB-

 

276,875

 

 

 

Williams Cos., Inc.,

 

 

 

 

 

4,660

 

7.50%, 1/15/31

 

Baa3/BB+

 

4,962,900

 

5,000

 

7.875%, 9/1/21

 

Baa3/BB+

 

5,487,500

 

 

 

 

 

 

 

38,663,873

 

Financial Services – 18.5%

 

 

 

 

 

2,000

 

American General Finance Corp., 8.45%, 10/15/09

 

A1/A+

 

2,093,402

 

1,800

 

Bear Stearns Cos., Inc., 6.95%, 8/10/12

 

Baa1/A+

 

1,890,241

 

8,335

 

Beaver Valley II Funding, 9.00%, 6/1/17

 

Baa3/BBB-

 

9,143,020

 

4,300

 

C10 Capital SPV Ltd., 6.722%, 12/31/16, FRN (g)

 

NR/BBB-

 

3,906,120

 

3,261

 

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

 

Baa2/BBB-

 

3,630,719

 

10,000

 

Citigroup Capital XXI, 8.30%, 12/21/77, FRN

 

A1/A

 

10,244,660

 

 

 

Citigroup, Inc.,

 

 

 

 

 

3,100

 

6.125%, 11/21/17

 

Aa3/AA-

 

3,154,526

 

2,000

 

6.125%, 8/25/36

 

A1/A+

 

1,844,036

 

7,700

 

8.40%, 4/30/18, FRN (g)

 

A2/A

 

7,802,641

 

1,400

 

Covidien International Finance S.A., 6.55%, 10/15/37 (a)(d)

 

Baa1/A-

 

1,437,026

 

1,000

 

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

 

B1/BB

 

1,052,500

 

 

 

General Electric Capital Corp.,

 

 

 

 

 

10,100

 

6.375%, 11/15/67, FRN

 

Aa1/AA+

 

10,136,158

 

£500

 

6.50%, 9/15/67, FRN (a)(d)

 

Aa1/AA+

 

952,562

 

$1,180

 

8.30%, 9/20/09

 

Aaa/AAA

 

1,252,805

 

5,000

 

General Motors Acceptance Corp., 6.75%, 12/1/14

 

B2/B

 

3,827,245

 

 

 

Goldman Sachs Group, Inc.,

 

 

 

 

 

5,700

 

5.95%, 1/15/27

 

A1/A+

 

5,227,544

 

5,200

 

6.15%, 4/1/18

 

Aa3/AA-

 

5,273,642

 

4,000

 

6.45%, 5/1/36

 

A1/A+

 

3,813,764

 

5,000

 

6.75%, 10/1/37

 

A1/A+

 

4,921,110

 

€250

 

Green Valley Ltd., 8.342%, 1/10/11, FRN (a)(b)(d)

 

NR/BB+

 

391,794

 

$4,400

 

JPMorgan Chase & Co., 6.00%, 1/15/18

 

Aa2/AA-

 

4,572,344

 

 

4 PIMCO Corporate Income Fund Semi-Annual Report | 4.30.08


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2008 (unaudited) (continued)

Principal
Amount
     (000)

 

 

 

 

Credit Rating (Moody’s/S&P)

 

 

Value

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

 

 

$7,100

 

JPMorgan Chase Capital XVIII, 6.95%, 8/17/36

 

Aa3/A

 

$6,803,334

 

4,100

 

JPMorgan Chase Capital XX, 6.55%, 9/29/36

 

Aa3/A

 

3,733,284

 

 

 

Lehman Brothers Holdings, Inc.,

 

 

 

 

 

2,700

 

6.50%, 7/19/17

 

A2/A

 

2,658,682

 

13,000

 

6.875%, 5/2/18

 

A1/A+

 

13,329,147

 

3,900

 

MBNA Capital, 3.673%, 2/1/27, FRN

 

Aa3/A+

 

3,059,004

 

3,100

 

Merrill Lynch & Co., Inc., 5.70%, 5/2/17

 

A2/A

 

2,928,111

 

1,300

 

Mizuho JGB Investment LLC, 9.87%, 6/30/08, FRN (a)(d)(g)

 

A1/A-

 

1,303,481

 

300

 

Mizuho Preferred Capital Co. LLC,

 

 

 

 

 

 

 

8.79%, 6/30/08, FRN (a)(d)(g)

 

A1/A-

 

300,967

 

7,900

 

Morgan Stanley, 5.75%, 8/31/12

 

Aa3/AA-

 

7,930,526

 

1,000

 

Natexis Ambs Co. LLC, 8.44%, 6/30/08, FRN (a)(b)(d)(g)

 

A1/A+

 

1,007,143

 

2,000

 

Preferred Term Securities XIII, 3.35%, 3/24/34, FRN (a)(b)(d)

 

Aaa/AAA

 

1,840,000

 

4,200

 

Santander Perpetual S.A. Unipersonal,

 

 

 

 

 

 

 

6.671%, 10/24/17, FRN (a)(d)(g)

 

Aa2/A+

 

4,001,050

 

1,100

 

SB Treasury Co. LLC, 9.40%, 6/30/08, FRN (b)(g)

 

A1/A-

 

1,113,755

 

5,700

 

UBS Preferred Funding Trust V, 6.243%, 5/15/16, FRN (g)

 

Aa3/A

 

4,999,846

 

1,500

 

Universal City Development Partners, 11.75%, 4/1/10

 

B1/B+

 

1,556,250

 

1,000

 

Universal City Florida Holding Co., 8.375%, 5/1/10

 

B3/B-

 

1,002,500

 

 

 

 

 

 

 

144,134,939

 

Food & Beverage – 1.7%

 

 

 

 

 

 

 

Albertson’s Inc.,

 

 

 

 

 

1,500

 

7.75%, 6/15/26

 

B1/B+

 

1,461,323

 

9,000

 

8.00%, 5/1/31

 

B1/B+

 

8,947,017

 

3,000

 

Ingles Markets, Inc., 8.875%, 12/1/11

 

B2/B+

 

3,060,000

 

 

 

 

 

 

 

13,468,340

 

Healthcare & Hospitals – 0.7%

 

 

 

 

 

 

 

HCA, Inc.,

 

 

 

 

 

1,000

 

8.70%, 2/10/10

 

Caa1/B-

 

1,019,501

 

4,050

 

9.25%, 11/15/16

 

B2/BB-

 

4,363,875

 

 

 

 

 

 

 

5,383,376

 

Hotels/Gaming – 0.7%

 

 

 

 

 

738

 

Choctaw Resort Development Enterprise,

 

 

 

 

 

 

 

7.25%, 11/15/19 (a)(d)

 

Ba2/BB

 

653,130

 

500

 

Mandalay Resort Group, 9.375%, 2/15/10

 

B1/B+

 

517,500

 

2,462

 

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

 

Baa3/BBB-

 

2,653,282

 

2,000

 

Wynn Las Vegas LLC, 6.625%, 12/1/14

 

Ba2/BBB-

 

1,960,000

 

 

 

 

 

 

 

5,783,912

 

Insurance – 0.3%

 

 

 

 

 

2,300

 

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

 

NR/A-

 

2,370,872

 

 

 

 

 

 

 

 

 

Metals & Mining – 1.6%

 

 

 

 

 

3,000

 

Falconbridge Ltd., 7.25%, 7/15/12

 

Baa2/BBB+

 

3,204,690

 

40

 

Novelis, Inc., 7.25%, 2/15/15

 

B3/B

 

36,800

 

4,700

 

Phelps Dodge Corp., 9.50%, 6/1/31

 

Baa2/BBB-

 

6,220,544

 

 

 

Vale Overseas Ltd.,

 

 

 

 

 

1,900

 

6.25%, 1/11/16

 

Baa3/BBB

 

1,955,917

 

1,100

 

6.875%, 11/21/36

 

Baa3/BBB

 

1,119,261

 

 

 

 

 

 

 

12,537,212

 

 

4.30.08 | PIMCO Corporate Income Fund Semi-Annual Report 5


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2008 (unaudited) (continued)

Principal Amount
(000)

 

 

 

Credit Rating  
(Moody’s/S&P)  

 

Value

 

 

 

 

 

 

 

 

 

Multi-Media – 5.1%

 

 

 

 

 

$5,000

 

Comcast Cable Communications Holdings, Inc.,

 

 

 

 

 

 

 

8.375%, 3/15/13

 

Baa2/BBB+

 

$5,608,305

 

2,250

 

Comcast Corp.,

 

 

 

 

 

 

 

10.625%, 7/15/12

 

Baa3/BBB

 

2,652,649

 

1,500

 

COX Communications, Inc., 6.45%, 12/1/36 (a)(d)

 

Baa3/BBB-

 

1,512,640

 

 

 

CSC Holdings, Inc.,

 

 

 

 

 

1,000

 

7.625%, 4/1/11

 

B1/BB

 

1,012,500

 

1,700

 

7.875%, 2/15/18

 

B1/BB

 

1,678,750

 

6,625

 

8.125%, 8/15/09

 

B1/BB

 

6,774,062

 

 

 

Historic TW, Inc.,

 

 

 

 

 

500

 

6.625%, 5/15/29

 

Baa2/BBB+

 

484,844

 

5,000

 

9.125%, 1/15/13

 

Baa2/BBB+

 

5,628,780

 

1,610

 

News America Holdings, Inc., 6.75%, 1/9/38

 

Baa2/BBB+

 

1,721,687

 

 

 

Rogers Cable, Inc.,

 

 

 

 

 

CAD 1,750

 

7.25%, 12/15/11

 

Baa3/BBB-

 

1,840,967

 

$3,000

 

8.75%, 5/1/32

 

Baa3/BBB-

 

3,158,100

 

 

 

Time Warner Cable, Inc.,

 

 

 

 

 

230

 

5.85%, 5/1/17

 

Baa2/BBB+

 

228,825

 

2,130

 

6.55%, 5/1/37

 

Baa2/BBB+

 

2,124,483

 

3,250

 

Univision Communications, Inc., 7.85%, 7/15/11

 

Ba3/B

 

3,103,750

 

2,000

 

Vivendi, 6.625%, 4/4/18 (a)(d)

 

Baa2/BBB

 

1,957,456

 

 

 

 

 

 

 

39,487,798

 

Oil & Gas – 5.3%

 

 

 

 

 

2,000

 

Canadian Natural Resources Ltd., 6.50%, 2/15/37

 

Baa2/BBB

 

2,020,624

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

750

 

7.00%, 8/15/14

 

Ba3/BB

 

770,625

 

2,400

 

7.75%, 1/15/15

 

Ba3/BB

 

2,490,000

 

1,800

 

Devon Energy Corp., 7.95%, 4/15/32

 

Baa1/BBB+

 

2,222,896

 

1,420

 

Dynergy-Roseton Danskammer, Inc., 7.27%, 11/8/10

 

Ba3/B

 

1,420,118

 

1,975

 

El Paso Corp., 8.05%, 10/15/30

 

Ba3/BB-

 

2,129,919

 

900

 

EnCana Corp., 6.50%, 8/15/34

 

Baa2/A-

 

910,115

 

2,700

 

Enterprise Products Operating LLC, 6.50%, 1/31/19

 

Baa3/BBB-

 

2,791,808

 

800

 

Gaz Capital, 6.212%, 11/22/16 (a)(d)

 

A3/BBB

 

758,000

 

4,900

 

Gaz Capital S.A., 8.625%, 4/28/34

 

A3/BBB

 

5,745,250

 

9,200

 

Gazprom AG, 9.625%, 3/1/13

 

A3/BBB

 

10,483,400

 

736

 

Perforadora Central S.A. de CV, 4.92%, 12/15/18

 

NR/NR

 

781,949

 

1,700

 

Ras Laffan Liquefied Natural Gas Co., Ltd. II,

 

 

 

 

 

 

 

5.298%, 9/30/20 (b)

 

Aa2/A

 

1,580,830

 

2,000

 

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

 

Baa1/BBB+

 

2,217,826

 

 

 

XTO Energy, Inc.,

 

 

 

 

 

2,700

 

5.50%, 6/15/18

 

Baa2/BBB

 

2,686,700

 

2,300

 

6.10%, 4/1/36

 

Baa2/BBB

 

2,241,223

 

 

 

 

 

 

 

41,251,283

 

Paper/Paper Products – 1.7%

 

 

 

 

 

 

 

Georgia-Pacific LLC,

 

 

 

 

 

2,250

 

7.00%, 1/15/15 (a)(d)

 

Ba3/BB-

 

2,238,750

 

10,500

 

8.00%, 1/15/24

 

B2/B+

 

10,053,750

 

500

 

8.125%, 5/15/11

 

B2/B+

 

520,625

 

850

 

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

 

B1/BB-

 

527,000

 

 

 

 

 

 

 

13,340,125

 

 

6 PIMCO Corporate Income Fund Semi-Annual Report | 4.30.08


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2008 (unaudited) (continued)

Principal Amount
(000)

 

 

 

Credit Rating  
(Moody’s/S&P)  

 

Value

 

 

 

 

 

 

 

 

 

Pharmaceuticals – 0.3%

 

 

 

 

 

$1,000

 

Hospira, Inc., 6.05%, 3/30/17

 

Baa3/BBB

 

$981,423

 

1,000

 

Wyeth, 6.50%, 2/1/34

 

A3/A+

 

1,050,817

 

 

 

 

 

 

 

2,032,240

 

Printing/Publishing – 0.1%

 

 

 

 

 

1,000

 

RH Donnelley Corp., 8.875%, 1/15/16

 

B3/B

 

655,000

 

 

 

 

 

 

 

 

 

Retail – 0.8%

 

 

 

 

 

 

 

5,897

 

Yum! Brands, Inc., 8.875%, 4/15/11

 

Baa2/BBB-

 

6,490,816

 

 

 

 

 

 

 

 

 

Technology – 0.2%

 

 

 

 

 

2,000

 

First Data Corp., 9.875%, 9/24/15 (a)(d)

 

B3/B

 

1,822,500

 

 

 

 

 

 

 

 

 

Telecommunications – 8.3%

 

 

 

 

 

 

 

AT&T Corp.,

 

 

 

 

 

792

 

7.30%, 11/15/11

 

A2/A

 

852,696

 

5,000

 

8.00%, 11/15/31

 

A2/A

 

6,035,515

 

5,000

 

Bellsouth Capital Funding, 7.875%, 2/15/30

 

A2/A

 

5,698,665

 

 

 

Citizens Communications Co.,

 

 

 

 

 

1,000

 

7.875%, 1/15/27

 

Ba2/BB+

 

892,500

 

6,500

 

9.25%, 5/15/11

 

Ba2/BB+

 

6,890,000

 

3,000

 

Deutsche Telekom International Finance BV,

 

 

 

 

 

 

 

8.25%, 6/15/30

 

A3/A-

 

3,734,475

 

 

 

Embarq Corp.,

 

 

 

 

 

5,000

 

7.082%, 6/1/16

 

Baa3/BBB-

 

4,971,800

 

5,000

 

7.995%, 6/1/36

 

Baa3/BBB-

 

4,941,650

 

3,000

 

France Telecom S.A., 8.50%, 3/1/31

 

A3/A-

 

3,880,365

 

2,000

 

Nextel Communications, Inc., 7.375%, 8/1/15

 

Baa3/BBB-

 

1,601,080

 

1,000

 

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

 

B1/B+

 

985,000

 

2,000

 

Qwest Communications International, Inc., 7.50%, 2/15/14

 

Ba3/B+

 

1,975,000

 

 

 

Qwest Corp.,

 

 

 

 

 

2,300

 

6.05%, 6/15/13, FRN

 

Ba1/BBB-

 

2,213,750

 

8,860

 

7.20%, 11/10/26

 

Ba1/BBB-

 

7,841,100

 

 

 

Sprint Capital Corp.,

 

 

 

 

 

1,000

 

6.375%, 5/1/09

 

Baa3/BBB-

 

985,233

 

3,800

 

6.90%, 5/1/19

 

Baa3/BBB-

 

3,140,635

 

6,200

 

8.75%, 3/15/32

 

Baa3/BBB-

 

5,484,092

 

1,200

 

Verizon Communications, Inc., 6.10%, 4/15/18

 

A3/A

 

1,261,673

 

1,500

 

Verizon New York, Inc., 7.375%, 4/1/32

 

Baa3/A

 

1,601,052

 

 

 

 

 

 

 

64,986,281

 

Tobacco – 0.5%

 

 

 

 

 

4,000

 

RJ Reynolds Tobacco Holdings, Inc., 7.75%, 6/1/18

 

Ba1/BBB

 

4,278,844

 

 

 

 

 

 

 

 

 

Transportation – 0.1%

 

 

 

 

 

400

 

Norfolk Southern Corp., 5.75%, 4/1/18 (a)(d)

 

Baa1/BBB+

 

406,726

 

 

 

 

 

 

 

 

 

Utilities – 5.4%

 

 

 

 

 

1,000

 

CMS Energy Corp., 3.663%, 1/15/13, FRN

 

Ba1/BB+

 

904,754

 

3,070

 

East Coast Power LLC, 7.066%, 3/31/12

 

Baa3/BBB-

 

3,178,390

 

400

 

Entergy Gulf States, Inc., 5.25%, 8/1/15

 

Baa3/BBB+

 

379,314

 

2,000

 

FirstEnergy Corp., 7.375%, 11/15/31

 

Baa3/BBB-

 

2,217,154

 

2,000

 

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

 

Baa2/BBB+

 

2,196,852

 

3,560

 

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

 

Ba2/BB

 

3,666,800

 

4,100

 

Homer City Funding LLC, 8.137%, 10/1/19

 

Ba2/BB

 

4,274,250

 

3,339

 

Midwest Generation LLC, 8.56%, 1/2/16

 

Baa3/BB+

 

3,606,337

 

2,000

 

Northern States Power Co., 8.00%, 8/28/12

 

A2/A

 

2,262,856

 

6,000

 

PSE&G Energy Holdings LLC, 8.50%, 6/15/11

 

Ba3/BB-

 

6,358,650

 

 

4.30.08 | PIMCO Corporate Income Fund Semi-Annual Report 7


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2008 (unaudited) (continued)

Principal Amount
(000)

 

 

 

Credit Rating  
(Moody’s/S&P)  

 

Value

 

 

 

 

 

 

 

 

 

Utilities (continued)

 

 

 

 

 

$8,000

 

PSE&G Power LLC, 8.625%, 4/15/31

 

Baa1/BBB

 

$9,737,184

 

2,582

 

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

 

Ba2/B

 

2,764,801

 

643

 

System Energy Resources, Inc., 5.129%, 1/15/14 (a)(d)

 

Baa3/BBB+

 

629,890

 

 

 

 

 

 

 

42,177,232

 

Waste Disposal – 0.3%

 

 

 

 

 

2,580

 

Waste Management, Inc., 7.10%, 8/1/26

 

Baa3/BBB

 

2,646,211

 

Total Corporate Bonds & Notes (cost-$621,735,650)

 

 

 

609,428,910

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS – 5.4%

 

 

 

 

 

 

 

 

 

 

 

Brazil – 2.5%

 

 

 

 

 

 

 

Federal Republic of Brazil,

 

 

 

 

 

13,900

 

8.25%, 1/20/34

 

Ba1/BB+

 

17,687,750

 

1,250

 

10.125%, 5/15/27

 

Ba1/BB+

 

1,820,000

 

 

 

 

 

 

 

19,507,750

 

Guatemala – 0.2%

 

 

 

 

 

1,500

 

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

 

Ba2/BB

 

1,742,250

 

 

 

 

 

 

 

 

 

Panama – 1.1%

 

 

 

 

 

 

 

Republic of Panama,

 

 

 

 

 

3,000

 

9.375%, 7/23/12

 

Ba1/BB+

 

3,517,500

 

4,470

 

9.625%, 2/8/11

 

Ba1/BB+

 

5,086,860

 

 

 

 

 

 

 

8,604,360

 

Russia – 1.2%

 

 

 

 

 

 

 

Russian Federation,

 

 

 

 

 

7,251

 

7.50%, 3/31/30, VRN

 

Baa2/BBB+

 

8,350,669

 

578

 

8.25%, 3/31/10

 

Baa2/BBB+

 

605,686

 

 

 

 

 

 

 

8,956,355

 

South Africa – 0.3%

 

 

 

 

 

 

 

Republic of South Africa,

 

 

 

 

 

2,600

 

5.875%, 5/30/22

 

Baa1/BBB+

 

2,369,250

 

120

 

7.375%, 4/25/12

 

Baa1/BBB+

 

131,400

 

 

 

 

 

 

 

2,500,650

 

Ukraine – 0.1%

 

 

 

 

 

1,000

 

Republic of Ukraine, 7.65%, 6/11/13

 

B1/BB-

 

1,074,500

 

Total Sovereign Debt Obligations (cost-$40,613,232)

 

 

 

42,385,865

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES – 3.6%

 

 

 

 

 

 

 

Fannie Mae

 

 

 

 

 

3,900

 

5.50%, MBS, TBA (e)

 

Aaa/AAA

 

3,921,329

 

399

 

6.291%, 11/1/35, FRN, MBS

 

Aaa/AAA

 

409,895

 

91

 

6.999%, 2/19/30, CMO, VRN

 

Aaa/AAA

 

96,203

 

223

 

7.00%, 2/1/29, MBS

 

Aaa/AAA

 

237,697

 

67

 

7.00%, 1/1/32, MBS

 

Aaa/AAA

 

71,041

 

1,379

 

7.00%, 6/1/32, MBS

 

Aaa/AAA

 

1,449,170

 

94

 

7.00%, 10/1/32, MBS

 

Aaa/AAA

 

98,915

 

107

 

7.00%, 11/1/32, MBS

 

Aaa/AAA

 

112,609

 

282

 

7.00%, 12/1/32, MBS

 

Aaa/AAA

 

296,823

 

88

 

7.00%, 1/1/33, MBS

 

Aaa/AAA

 

92,799

 

 

8 PIMCO Corporate Income Fund Semi-Annual Report | 4.30.08


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2008 (unaudited) (continued)

Principal Amount
(000)

 

 

 

Credit Rating  
(Moody’s/S&P)  

 

Value

 

 

 

 

 

 

 

 

 

$124

 

7.00%, 2/1/33, MBS

 

Aaa/AAA

 

$130,061

 

347

 

7.00%, 3/1/33, MBS

 

Aaa/AAA

 

365,405

 

1,004

 

7.00%, 5/1/33, MBS

 

Aaa/AAA

 

1,056,090

 

53

 

7.00%, 6/1/33, MBS

 

Aaa/AAA

 

55,979

 

128

 

7.00%, 7/1/33, MBS

 

Aaa/AAA

 

135,764

 

317

 

7.00%, 1/1/34, MBS

 

Aaa/AAA

 

335,139

 

474

 

7.00%, 3/1/34, MBS

 

Aaa/AAA

 

502,054

 

265

 

7.00%, 9/1/34, MBS

 

Aaa/AAA

 

278,303

 

1,551

 

7.00%, 4/1/35, MBS

 

Aaa/AAA

 

1,632,110

 

728

 

7.00%, 6/1/35, MBS

 

Aaa/AAA

 

767,480

 

1,817

 

7.00%, 10/1/35, MBS

 

Aaa/AAA

 

1,913,766

 

1,867

 

7.00%, 2/1/36, MBS

 

Aaa/AAA

 

1,967,209

 

54

 

7.00%, 9/25/41, CMO, VRN

 

Aaa/AAA

 

56,946

 

1,024

 

7.00%, 12/25/41, CMO

 

Aaa/AAA

 

1,082,610

 

27

 

7.50%, 12/25/19, CMO

 

Aaa/AAA

 

29,410

 

233

 

7.50%, 5/1/22, MBS

 

Aaa/AAA

 

250,274

 

12

 

7.50%, 6/25/30, CMO

 

Aaa/AAA

 

12,756

 

232

 

7.50%, 12/1/33, MBS

 

Aaa/AAA

 

249,179

 

54

 

7.50%, 11/25/40, CMO

 

Aaa/AAA

 

57,271

 

107

 

7.50%, 5/25/42, CMO

 

Aaa/AAA

 

114,183

 

4,929

 

7.50%, 12/25/45, CMO

 

Aaa/AAA

 

5,000,676

 

25

 

8.00%, 7/18/27, CMO

 

Aaa/AAA

 

26,431

 

4,859

 

8.00%, 12/25/45, CMO

 

Aaa/AAA

 

4,956,939

 

 

 

 

 

 

 

27,762,516

 

 

 

Freddie Mac

 

 

 

 

 

65

 

7.50%, 11/1/19, MBS

 

Aaa/AAA

 

69,161

 

22

 

8.00%, 9/15/26, CMO

 

Aaa/AAA

 

23,736

 

5

 

9.50%, 5/15/21, CMO

 

Aaa/AAA

 

5,696

 

 

 

 

 

 

 

98,593

 

Total U.S. Government Agency Securities (cost-$27,782,572)

 

 

 

27,861,109

 

 

 

 

 

 

 

 

 

MUNICIPAL BONDS (a)(j) – 3.1%

 

 

 

 

 

 

 

 

 

 

 

New Jersey – 3.1%

 

 

 

 

 

 

 

Tobacco Settlement Financing Corp. Rev.,

 

 

 

 

 

8,480

 

5.75%, 6/1/32

 

Aaa/AAA

 

9,124,989

 

5,090

 

6.125%, 6/1/24

 

Aaa/AAA

 

5,416,982

 

8,480

 

6.375%, 6/1/32

 

Aaa/AAA

 

9,549,921

 

Total Municipal Bonds (cost-$21,330,930)

 

 

 

24,091,892

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES – 2.0%

 

 

 

 

 

3,500

 

Chase Commercial Mortgage Securities Corp.,

 

 

 

 

 

 

 

6.887%, 10/15/32, CMO (a)(d)

 

NR/BB+

 

3,139,586

 

1,000

 

Citigroup/Deutsche Bank Commercial Mortgage Trust,

 

 

 

 

 

 

 

5.617%, 10/15/48, CMO

 

Aaa/AAA

 

994,590

 

 

 

GSMPS Mortgage Loan Trust CMO, (a)(d),

 

 

 

 

 

2,598

 

7.50%, 6/19/27, VRN

 

NR/NR

 

2,652,239

 

69

 

7.50%, 6/19/32, VRN

 

NR/NR

 

73,846

 

2,833

 

7.50%, 6/25/43

 

NR/NR

 

2,707,197

 

1,000

 

LB-UBS Commercial Mortgage Trust, 5.424%, 2/15/40, CMO

 

NR/AAA

 

972,823

 

 

4.30.08 | PIMCO Corporate Income Fund Semi-Annual Report 9


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2008 (unaudited) (continued)

Principal Amount
(000)

 

 

 

Credit Rating  
(Moody’s/S&P)  

 

Value

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch Mortgage Investors, Inc., CMO, VRN,

 

 

 

 

 

$2,805

 

7.102%, 12/15/30

 

A3/AA

 

$2,799,410

 

1,674

 

7.403%, 2/15/30

 

Aaa/BBB+

 

1,724,683

 

261

 

Washington Mutual Mortgage, 5.076%, 8/25/46, CMO, FRN

 

Aaa/AAA

 

207,736

 

60

 

Washington Mutual, Inc., 7.50%, 4/25/33, CMO

 

NR/AAA

 

59,586

 

Total Mortgage-Backed Securities (cost-$16,082,359)

 

 

 

15,331,696

 

 

 

 

 

 

 

SENIOR LOANS (a)(c) – 1.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

Containers & Packaging – 0.1%

 

 

 

 

 

 

 

Smurfit-Stone Container,

 

 

 

 

 

131

 

4.50%, 11/1/10

 

 

 

127,753

 

64

 

4.875%, 11/1/10, Term C

 

 

 

62,637

 

39

 

4.875%, 11/1/11, Term B

 

 

 

38,511

 

107

 

5.125%, 11/1/11, Term B

 

 

 

104,716

 

215

 

5.125%, 11/1/11, Term C

 

 

 

209,431

 

 

 

 

 

 

 

543,048

 

Energy – 0.2%

 

 

 

 

 

 

 

AES Corp.,

 

 

 

 

 

714

 

7.19%, 8/10/11, Term B (b)

 

 

 

698,215

 

714

 

7.19%, 8/10/11, Term B

 

 

 

698,214

 

 

 

 

 

 

 

1,396,429

 

Entertainment – 0.1%

 

 

 

 

 

500

 

Shackleton Crean Event Management, 10.438%, 8/1/08 (b)

 

 

 

492,500

 

Financial Services – 0.3%

 

 

 

 

 

2,488

 

Chrysler Financial Corp., 6.80%, 8/3/12

 

 

 

2,270,190

 

Healthcare & Hospitals – 0.3%

 

 

 

 

 

2,962

 

HCA, Inc., 4.946%, 11/18/13, Term B

 

 

 

2,818,220

 

Hotels/Gaming – 0.1%

 

 

 

 

 

794

 

Las Vegas Sands Corp., 4.45%, 5/23/14

 

 

 

731,111

 

Total Senior Loans (cost-$8,616,241)

 

 

 

8,251,498

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES – 0.0%

 

 

 

 

 

321

 

SLM Student Loan Trust, 2.92%, 10/25/16, FRN

 

 

 

 

 

 

 

(cost-$320,825)

 

Aaa/AAA

 

317,772

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS – 6.5%

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills (h) 3.6%

 

 

 

 

 

28,000

 

0.95%-1.62%, 5/29/08-6/26/08 (cost-$27,960,622)

 

NR/NR

 

27,960,622

 

 

 

 

 

 

 

 

 

Corporate Notes – 2.0%

 

 

 

 

 

Airlines – 0.2%

 

 

 

 

 

1,769

 

United Air Lines, Inc., 6.201%, 9/1/08

 

Ba2/BBB

 

1,733,753

 

Banking – 0.8%

 

 

 

 

 

5,910

 

Republic New York Corp., 9.70%, 2/1/09

 

A1/A+

 

6,144,302

 

Diversified Manufacturing – 0.1%

 

 

 

 

 

1,030

 

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

 

NR/NR

 

1,038,535

 

Multi-Media – 0.1%

 

 

 

 

 

925

 

Comcast MO of Delaware LLC, 9.00%, 9/1/08

 

Baa2/BBB+

 

934,894

 

 

10 PIMCO Corporate Income Fund Semi-Annual Report | 4.30.08


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2008 (unaudited) (continued)

Principal Amount
(000)

 

 

 

Credit Rating  
(Moody’s/S&P)  

 

Value

 

 

 

 

 

 

 

 

 

Oil & Gas – 0.3%

 

 

 

 

 

$2,350

 

Salomon Brothers AG for OAO Siberian Oil Co.,

 

 

 

 

 

 

 

10.75%, 1/15/09

 

Ba1/BBB-

 

$2,456,455

 

 

 

 

 

 

 

 

 

Utilities – 0.5%

 

 

 

 

 

3,500

 

Tucson Electric Power, 7.50%, 8/1/08

 

Baa2/BBB

 

3,524,913

 

Total Corporate Notes (cost-$15,758,921)

 

 

 

15,832,852

 

 

 

 

 

 

 

 

 

U.S. Government Agency Securities – 0.9%

 

 

 

 

 

7,300

 

Federal Home Loan Bank Discount Notes,

 

 

 

 

 

 

 

1.75%, 5/1/08 (cost-$7,300,000)

 

P-1/A-1+

 

7,300,000

 

Total Short-Term Investments (cost-$51,019,543)

 

 

 

51,093,474

 

 

 

 

 

 

 

 

 

OPTIONS PURCHASED (i) – 0.4%

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts/

 

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Call Options – 0.3%

 

 

 

 

 

 

 

2-Year Interest Rate Swap (OTC),

 

 

 

 

 

 

 

Pay 3-Month USD-LIBOR Floating Rate Index,

 

 

 

 

 

59,000,000

 

strike rate 3.63%, expires 1/7/09

 

 

 

541,826

 

 

 

2-Year Interest Rate Swap (OTC),

 

 

 

 

 

 

 

Pay 3-Month USD-LIBOR Floating Rate Index,

 

 

 

 

 

44,100,000

 

strike rate 4.75%, expires 9/8/09

 

 

 

901,792

 

 

 

2-Year Interest Rate Swap (OTC),

 

 

 

 

 

 

 

Pay 3-Month USD-LIBOR Floating Rate Index,

 

 

 

 

 

1,000,000

 

strike rate 5.00%, expires 8/28/09

 

 

 

23,988

 

 

 

Euro versus U.S. Dollar (OTC),

 

 

 

 

 

2,500,000

 

strike price $1.37, expires 6/3/10

 

 

 

436,446

 

1,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

172,366

 

1,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

172,366

 

 

 

U.S. Treasury Notes 5 yr. Futures (CBOT),

 

 

 

 

 

625

 

strike price $129.50, expires 5/23/08

 

 

 

4,882

 

 

 

 

 

 

 

2,253,666

 

 

 

 

 

 

 

 

 

Put Options – 0.1%

 

 

 

 

 

 

 

9-Year Interest Rate Swap (OTC),

 

 

 

 

 

 

 

Pay 3-Month USD-LIBOR Floating Rate Index,

 

 

 

 

 

59,000,000

 

strike rate 5.45%, expires 1/7/09

 

 

 

408,239

 

 

 

Euro versus U.S. Dollar (OTC),

 

 

 

 

 

2,300,000

 

strike price $1.36, expires 5/21/08

 

 

 

541

 

2,500,000

 

strike price $1.37, expires 6/3/10

 

 

 

76,720

 

1,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

31,023

 

1,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

31,023

 

 

 

Financial Future Euro 90 day (CME),

 

 

 

 

 

520

 

strike price $92.50, expires 6/16/08

 

 

 

1

 

700

 

strike price $93.25, expires 3/16/09

 

 

 

2

 

 

 

United Kingdom 90 day (CME),

 

 

 

 

 

276

 

strike price $89.50, expires 12/16/09

 

 

 

1

 

230

 

strike price $91.25, expires 12/17/08

 

 

 

 

125