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:

October 31, 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

16-28

 

 

Financial Highlights

29

 

 

Report of Independent Registered Public Accounting Firm

30

 

 

Annual Shareholder Meeting Results/Appointment of New Trustee

31

 

 

Matters Relating to the Trustees’ Consideration of the Investment Management & Portfolio Management Agreements

32-34

 

 

Privacy Policy/Proxy Voting Policies & Procedures

35

 

 

Dividend Reinvestment Plan

36

 

 

Board of Trustees

37-38

 

 

Fund Officers

39

 

 

 

 

 

 

 

 


 

PIMCO Corporate Income Fund Letter to Shareholders

 

December 15, 2008

 

 

Dear Shareholder:

 

We are pleased to provide you with the annual report for the PIMCO Corporate Income Fund (the “Fund”) for the fiscal year ended October 31, 2008

 

The U.S. bond market delivered flat returns in a period that turned increasingly negative in its second half. Economic growth moderated and investors backed away from investment and credit risk. In the rush to perceived safety, investors favored U.S. Treasury securities over corporate bonds, which fell significantly in price. This added to the spreads in yields between Treasuries and other debt securities, pushing spreads to record-high levels for some bond classes. The Federal Reserve (the “Fed”) cut the Federal Funds rate seven times in the period in response to economic slowing and a destabilizing lack of liquidity caused by a general deleveraging of the financial system. The moves lowered the key target rate on loans between member banks from 4.50% to 1.00%.

 

In the coming weeks or months, we would expect the deleveraging of the private sector to meet its counterpart in the leveraging of the federal government as it seeks to inject more than a trillion dollars of liquidity into the nation’s financial system. This initiative holds potential to restore stability and some relative safety to debt securities outside of the shortest-term government issues.

 

Due to the effects of the severe market conditions, the Fund is required to postpone the declaration of the next dividend on common shares, which would have been paid on December 31, 2008. Under federal law, a Fund is not permitted to pay or declare common share dividends unless its auction rate preferred shares (“ARPS”) have minimum asset coverage of 200% after payment or declaration of the common share dividend. The Fund’s asset coverage ratio is currently above the 200% level however, it would fall below the 200% level if the December dividends were declared.

 

A decision to redeem a portion of the Fund’s ARPS was made at the recommendation of the Fund’s manager and approved by the Board of Trustees. This redemption is intended to increase and maintain asset coverage of the Fund’s ARPS above the 200% level, permitting the Fund to pay previously declared common share dividends and to declare and pay future common share dividends. Depending on market conditions, coverage ratios may increase or decrease further. An announcement regarding actual dividend payment and declaration dates will be made at a future date.

 

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 PIMCO, the Fund’s investment 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

 

10.31.08 | PIMCO Corporate Income Fund Annual Report 1

 


 

PIMCO Corporate Income Fund Fund Insights/Performance & Statistics

October 31, 2008 (unaudited)

 

·                  For the 12-month period ended October 31, 2008, the PIMCO Corporate Income Fund had a net asset value (“NAV”) return of (31.72)% and a market price return of (22.55)%.

·                  The investment-grade credit and high-yield markets, as measured by the Barclays Capital U.S. Credit and U.S. High Yield Bond Indices, posted total returns of (11.36)% and (25.81)%, respectively, for the 12-month period ended October 31, 2008.

·                  Given a fixed number of preferred shares, leverage in the Fund increased as asset values decreased in line with the broader credit markets. As leverage increased, the impact of falling asset prices was magnified in the performance of the Fund’s NAV.

·                  The Fund’s average exposure of 21.85% to the banking sector benefited the Fund, despite asset write-downs, as these bonds outperformed the market.

·                  An average 5.95% portfolio weighting in brokerage securities reduced Fund returns during the fiscal period as bankruptcy, increased credit risk, decreased revenue opportunities, and an almost complete freezing of the funding market weighed heavily on the sector’s performance.

·                  The Fund’s average positioning of 12.80% to the communications sector hindered Fund returns as these issues trailed the market during the fiscal 12-month period.

·                  An average 8.98% exposure to electric issues enhanced performance as the sector outperformed the market during the 12-month period.

·                  The Fund’s average 4.74% position in the poor performing energy sector took away from performance along side a dramatic fall in oil and natural gas prices.

·                  Although relatively small at 1.73%, the Fund’s average allocation to the capital goods sector benefited performance as these bonds outpaced the market.

·                  An average 4.61% allocation to Treasuries was beneficial to the Fund as U.S. Government securities were among the few issues to post positive returns during the trailing 12-month period ended October 31, 2008.

 

Total Return(1):

 

Market Price

 

Net Asset Value (“NAV”)

 

1 year

 

(22.55

)%

 

(31.72

)%

 

3 year

 

(3.85

)%

 

(8.13

)%

 

5 year

 

1.33

%

 

(1.75

)%

 

Commencement of Operations (12/21/01) to 10/31/08

 

3.98

%

 

2.36

%

 

 

Common Share Market Price/NAV Performance:

Market Price/NAV:

 

 

 

Commencement of Operations (12/21/01) to 10/31/08

Market Price

 

$10.00

 

 NAV

NAV

 

$8.47

 

 Market Price

Premium to NAV

 

18.06%

 

 

Market Price Yield(2)

 

12.75%

 

 

 

 

 

 

 

(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 October 31, 2008.

 

2 PIMCO Corporate Income Fund Annual Report | 10.31.08

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

CORPORATE BONDS & NOTES – 65.4%

 

 

 

 

 

 

 

 

 

 

 

Airlines – 4.0%

 

 

 

 

 

 

 

American Airlines, Inc.,

 

 

 

 

 

$1,136

 

6.978%, 4/1/11

 

Ba1/BBB+

 

$1,056,744

 

1,000

 

7.858%, 4/1/13

 

Ba1/BBB

 

795,000

 

 

 

Continental Airlines, Inc.,

 

 

 

 

 

10,000

 

6.503%, 6/15/11

 

Baa2/BBB+

 

8,000,000

 

745

 

6.545%, 8/2/20

 

Baa2/A-

 

633,268

 

3,035

 

7.056%, 9/15/09

 

Baa2/A-

 

2,792,200

 

2,225

 

9.798%, 4/1/21

 

Ba1/BB-

 

1,501,896

 

296

 

Delta Air Lines, Inc., 6.619%, 9/18/12

 

NR/BBB

 

254,178

 

9,473

 

Northwest Airlines, Inc., 7.15%, 4/1/21 (MBIA)

 

A2/AA

 

7,730,271

 

 

 

United Air Lines, Inc.,

 

 

 

 

 

1,021

 

6.201%, 12/31/49

 

Ba2/BBB

 

980,411

 

1,538

 

7.336%, 7/2/19 (a) (d)

 

B1/B+

 

899,729

 

378

 

10.36%, 11/13/12 (b) (e)

 

NR/NR

 

2,549

 

 

 

 

 

 

 

24,646,246

 

Automotive – 0.1%

 

 

 

 

 

1,500

 

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

 

Caa1/CCC

 

517,500

 

Banking – 16.7%

 

 

 

 

 

6,000

 

American Express Bank FSB, 5.50%, 4/16/13

 

A1/A+

 

4,930,182

 

3,100

 

ANZ National International Ltd., 6.20%, 7/19/13 (a) (d)

 

Aa2/AA

 

2,801,734

 

 

 

Bank of America Corp., FRN (f),

 

 

 

 

 

20,000

 

8.00%, 1/30/18

 

A1/A

 

15,011,260

 

1,400

 

8.125%, 5/15/18

 

A1/A

 

1,086,652

 

 

 

Barclays Bank PLC FRN (a) (d) (f),

 

 

 

 

 

4,600

 

7.434%, 12/15/17

 

Aa3/A+

 

2,911,078

 

9,700

 

7.70%, 4/25/18

 

Aa2/A+

 

6,748,290

 

6,900

 

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

 

Aa3/AA-

 

4,502,140

 

5,000

 

Colonial Bank, 9.375%, 6/1/11 (a) (b)

 

Baa2/BBB

 

4,673,590

 

2,700

 

Commonwealth Bank of Australia, 6.024%, 3/15/16, FRN (a) (d) (f)

 

Aa3/A+

 

1,639,275

 

2,800

 

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

 

Aa3/A

 

1,344,426

 

7,500

 

Credit Suisse First Boston, 5.00%, 5/15/13

 

Aa1/AA-

 

6,773,197

 

6,450

 

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

 

A1/BBB+

 

2,838,968

 

2,000

 

HBOS PLC, 6.75%, 5/21/18 (a) (d)

 

Aa3/A

 

1,503,174

 

 

 

HSBC Capital Funding L.P., FRN,

 

 

 

 

 

3,900

 

4.61%, 6/27/13 (a) (d) (f)

 

A1/A

 

2,681,383

 

1,000

 

10.176%, 6/30/30 (f)

 

A1/A

 

801,548

 

 

 

HSBC Holdings PLC,

 

 

 

 

 

6,450

 

6.50%, 5/2/36

 

Aa3/A+

 

5,105,936

 

2,100

 

6.50%, 9/15/37

 

Aa3/A+

 

1,656,782

 

2,300

 

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

 

Aa2/AA

 

1,382,875

 

4,600

 

Rabobank Capital Funding Trust, 5.254%, 10/21/16, FRN (a) (d) (f)

 

Aa2/AA

 

2,991,840

 

8,500

 

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

 

A1/BBB+

 

3,911,530

 

1,000

 

Royal Bank of Scotland Group PLC, 7.648%, 9/30/31, FRN (f)

 

A1/BBB+

 

551,227

 

3,100

 

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

 

A1/A

 

2,671,797

 

7,300

 

UBS AG, 5.75%, 4/25/18

 

Aa2/AA-

 

5,689,043

 

5,700

 

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

 

A1/A+

 

2,965,402

 

 

10.31.08 | PIMCO Corporate Income Fund Annual Report 3

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008 (continued)

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

Banking (continued)

 

 

 

 

 

 

 

Wachovia Corp.,

 

 

 

 

 

$2,100

 

5.75%, 2/1/18

 

A1/A+

 

$1,837,863

 

14,000

 

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

 

A3/A-

 

10,599,022

 

7,200

 

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

 

Aa2/AA-

 

4,709,376

 

 

 

 

 

 

 

104,319,590

 

Diversified Manufacturing – 0.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

3,500

 

6.25%, 1/24/14

 

A3/A-

 

2,888,757

 

500

 

6.50%, 2/13/13

 

A3/A-

 

436,507

 

 

 

 

 

 

 

3,325,264

 

Energy – 2.9%

 

 

 

 

 

2,000

 

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

 

Ba3/B

 

1,502,000

 

2,000

 

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

 

Ba3/BB-

 

1,952,714

 

4,300

 

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

 

Baa3/BBB-

 

3,266,074

 

3,900

 

Kinder Morgan Energy Partners L.P., 6.00%, 2/1/17

 

Baa2/BBB

 

3,122,718

 

4,100

 

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

 

Baa3/BBB-

 

3,352,603

 

1,200

 

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

 

Baa2/BBB-

 

981,012

 

3,000

 

Sonat, Inc., 7.625%, 7/15/11

 

Ba3/BB-

 

2,510,907

 

500

 

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

 

Baa3/BB

 

388,522

 

1,100

 

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

 

Baa3/BB

 

876,399

 

250

 

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

 

Baa2/BBB-

 

242,888

 

 

 

 

 

 

 

18,195,837

 

Financial Services – 16.0%

 

 

 

 

 

1,800

 

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

 

Aa2/AA-

 

1,778,452

 

7,704

 

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

 

Baa3/BBB-

 

8,196,162

 

4,300

 

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

 

NR/BB+

 

2,107,000

 

2,958

 

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

 

Baa2/BBB-

 

3,070,327

 

10,000

 

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

 

A1/A

 

6,865,700

 

 

 

Citigroup, Inc.,

 

 

 

 

 

4,300

 

6.125%, 11/21/17

 

Aa3/AA-

 

3,705,461

 

2,800

 

6.125%, 5/15/18

 

Aa3/AA-

 

2,404,492

 

2,000

 

6.125%, 8/25/36

 

A1/A+

 

1,349,252

 

7,700

 

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

 

A2/A

 

5,361,895

 

1,000

 

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

 

Ba3/BB

 

925,000

 

 

 

General Electric Capital Corp., FRN,

 

 

 

 

 

10,100

 

6.375%, 11/15/67

 

Aa1/AA+

 

6,547,446

 

£500

 

6.50%, 9/15/67 (a) (d)

 

Aa1/AA+

 

460,569

 

$2,500

 

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

 

Caa1/B-

 

1,263,445

 

2,500

 

General Motors Acceptance Corp. LLC, 8.00%, 11/1/31

 

Caa1/B-

 

1,133,810

 

 

 

Goldman Sachs Group, Inc.,

 

 

 

 

 

5,200

 

6.15%, 4/1/18

 

Aa3/AA-

 

4,317,815

 

4,000

 

6.45%, 5/1/36

 

A1/A+

 

2,573,052

 

€250

 

Green Valley Ltd., 8.993%, 1/10/11, FRN (a) (b) (d)

 

NR/BB+

 

305,759

 

$3,600

 

JPMorgan Chase & Co., 6.40%, 5/15/38

 

Aa2/AA-

 

3,092,436

 

7,100

 

JPMorgan Chase Capital XVIII, 6.95%, 8/1/66 (converts to FRN on 8/18/36)

 

Aa3/A

 

5,186,216

 

4,100

 

JPMorgan Chase Capital XX, 6.55%, 9/15/66 (converts to FRN on 9/30/36)

 

Aa3/A

 

2,872,886

 

13,000

 

Lehman Brothers Holdings, Inc., 6.875%, 5/2/18 (e)

 

NR/NR

 

1,755,000

 

3,900

 

MBNA Capital, 3.601%, 2/1/27, FRN

 

Aa3/A

 

2,512,661

 

€2,700

 

Merrill Lynch & Co., Inc., 5.221%, 1/31/14, FRN

 

A2/A

 

2,899,587

 

 

4 PIMCO Corporate Income Fund Annual Report | 10.31.08

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008 (continued)

Principal
Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

 

 

 

 

Morgan Stanley,

 

 

 

 

 

$7,900

 

5.75%, 8/31/12

 

A1/A+

 

$6,716,896

 

4,000

 

6.00%, 4/28/15

 

A1/A+

 

3,255,900

 

1,200

 

6.625%, 4/1/18

 

A1/A+

 

1,000,676

 

1,982

 

Preferred Term Securities XIII, 3.366%, 3/24/34, FRN (a) (b) (d)

 

Aaa/AAA

 

1,191,413

 

4,200

 

Santander Perpetual S.A. Unipersonal, 6.671%, 10/24/17, FRN (a) (d) (f)

 

Aa2/A+

 

2,964,616

 

5,700

 

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

 

A1/A

 

3,420,741

 

1,500

 

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

 

B1/B+

 

1,203,750

 

1,000

 

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

 

B3/B-

 

745,000

 

10,100

 

Wells Fargo Capital XIII, 7.70%, 3/26/13, FRN (f)

 

Aa2/AA-

 

8,267,264

 

 

 

 

 

 

 

99,450,679

 

Food & Beverage – 1.2%

 

 

 

 

 

 

 

Albertson’s, Inc.,

 

 

 

 

 

1,500

 

7.75%, 6/15/26

 

B1/B+

 

1,119,323

 

9,000

 

8.00%, 5/1/31

 

B1/B+

 

6,483,681

 

 

 

 

 

 

 

7,603,004

 

Healthcare & Hospitals – 0.1%

 

 

 

 

 

1,000

 

HCA, Inc., 9.25%, 11/15/16

 

B2/BB-

 

852,500

 

Hotels/Gaming – 0.6%

 

 

 

 

 

2,434

 

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

 

Baa3/BBB-

 

2,458,305

 

2,000

 

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

 

Ba2/BBB-

 

1,485,000

 

 

 

 

 

 

 

3,943,305

 

Industrial – 0.1%

 

 

 

 

 

700

 

Pemex Project Funding Master Trust, 6.625%, 6/15/38 (a) (d)

 

Baa1/BBB+

 

525,000

 

Insurance – 1.0%

 

 

 

 

 

 

 

American International Group, Inc., FRN,

 

 

 

 

 

€4,600

 

5.071%, 4/26/11

 

A3/A-

 

2,817,209

 

$7,100

 

8.175%, 5/15/58 (a) (d)

 

Baa1/BBB

 

1,134,389

 

2,300

 

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

 

NR/A-

 

2,318,708

 

 

 

 

 

 

 

6,270,306

 

Metals & Mining – 1.8%

 

 

 

 

 

300

 

Corporacion Nacional del Cobre del Chile, Inc., 6.15%, 10/24/36

 

Aa3/A

 

213,213

 

3,000

 

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

 

Baa2/BBB+

 

2,865,114

 

4,700

 

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

 

Baa2/BBB-

 

5,056,147

 

 

 

Vale Overseas Ltd.,

 

 

 

 

 

1,900

 

6.25%, 1/11/16

 

Baa2/BBB+

 

1,599,338

 

1,700

 

6.875%, 11/21/36

 

Baa2/BBB+

 

1,227,133

 

 

 

 

 

 

 

10,960,945

 

Multi-Media – 3.3%

 

 

 

 

 

3,000

 

Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/13

 

Baa2/BBB+

 

2,913,912

 

2,250

 

Comcast Corp., 10.625%, 7/15/12

 

Baa3/BBB

 

2,338,461

 

1,700

 

CSC Holdings, Inc., 7.875%, 2/15/18

 

B1/BB

 

1,245,250

 

 

 

Historic TW, Inc.,

 

 

 

 

 

500

 

6.625%, 5/15/29

 

Baa2/BBB+

 

370,999

 

5,000

 

9.125%, 1/15/13

 

Baa2/BBB+

 

4,808,600

 

 

10.31.08 | PIMCO Corporate Income Fund Annual Report 5

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008 (continued)

Principal Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

Multi-Media (continued)

 

 

 

 

 

$1,610

 

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

 

Baa1/BBB+

 

$1,586,008

 

 

 

Rogers Cable, Inc.,

 

 

 

 

 

CAD1,750

 

7.25%, 12/15/11

 

Baa3/BBB-

 

1,517,895

 

$3,000

 

8.75%, 5/1/32

 

Baa3/BBB-

 

2,828,580

 

 

 

Time Warner Cable, Inc.,

 

 

 

 

 

230

 

5.85%, 5/1/17

 

Baa2/BBB+

 

188,921

 

1,830

 

6.55%, 5/1/37

 

Baa2/BBB+

 

1,393,970

 

2,000

 

Vivendi, 6.625%, 4/4/18 (a) (d)

 

Baa2/BBB

 

1,709,122

 

 

 

 

 

 

 

20,901,718

 

Oil & Gas – 2.8%

 

 

 

 

 

950

 

Chesapeake Energy Corp., 7.625%, 7/15/13

 

Ba3/BB

 

812,250

 

1,420

 

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

 

Ba3/B

 

1,377,515

 

1,975

 

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

 

Ba3/BB-

 

1,375,998

 

900

 

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

 

Baa2/A-

 

634,803

 

 

 

Gaz Capital S.A.,

 

 

 

 

 

800

 

6.212%, 11/22/16 (a) (d)

 

A3/BBB

 

500,000

 

4,900

 

8.625%, 4/28/34

 

A3/BBB

 

3,430,000

 

4,200

 

Gazprom AG, 9.625%, 3/1/13

 

A3/BBB

 

3,603,814

 

703

 

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

 

NR/NR

 

758,685

 

1,700

 

Ras Laffan Liquefied Natural Gas Co., Ltd. II, 5.298%, 9/30/20 (b)

 

Aa2/A

 

1,491,070

 

750

 

Ras Laffan Liquefied Natural Gas Co., Ltd. III, 6.332%, 9/30/27 (b)

 

Aa2/A

 

590,750

 

875

 

SandRidge Energy, Inc., 8.00%, 6/1/18 (a) (d)

 

B3/B-

 

586,250

 

2,000

 

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

 

Baa1/BBB+

 

2,222,434

 

 

 

 

 

 

 

17,383,569

 

Paper/Paper Products – 1.5%

 

 

 

 

 

 

 

Georgia-Pacific LLC,

 

 

 

 

 

2,250

 

7.00%, 1/15/15 (a) (d)

 

Ba3/BB-

 

1,665,000

 

10,500

 

8.00%, 1/15/24

 

B2/B+

 

6,720,000

 

500

 

8.125%, 5/15/11

 

B2/B+

 

425,000

 

850

 

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

 

B1/BB-

 

531,250

 

 

 

 

 

 

 

9,341,250

 

Pharmaceuticals – 0.3%

 

 

 

 

 

1,000

 

Hospira, Inc., 6.05%, 3/30/17

 

Baa3/BBB

 

841,847

 

1,000

 

Wyeth, 6.50%, 2/1/34

 

A3/A+

 

817,535

 

 

 

 

 

 

 

1,659,382

 

Technology – 0.2%

 

 

 

 

 

2,000

 

First Data Corp., 9.875%, 9/24/15

 

B3/B

 

1,290,000

 

Telecommunications – 6.1%

 

 

 

 

 

 

 

AT&T Corp.,

 

 

 

 

 

792

 

7.30%, 11/15/11

 

A2/A

 

798,724

 

2,000

 

8.00%, 11/15/31

 

A2/A

 

1,845,874

 

5,000

 

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

 

A2/A

 

4,425,045

 

1,000

 

Citizens Communications Co., 7.875%, 1/15/27

 

Ba2/BB

 

505,000

 

3,000

 

Deutsche Telekom International Finance BV, 8.75%, 6/15/30

 

Baa1/BBB+

 

2,656,812

 

 

 

Embarq Corp.,

 

 

 

 

 

5,000

 

7.082%, 6/1/16

 

Baa3/BBB-

 

3,855,220

 

5,000

 

7.995%, 6/1/36

 

Baa3/BBB-

 

3,306,745

 

3,000

 

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

 

A3/A-

 

2,827,326

 

 

6 PIMCO Corporate Income Fund Annual Report | 10.31.08

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008 (continued)

Principal Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

Telecommunications (continued)

 

 

 

 

 

$2,000

 

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

 

Baa3/BB

 

$1,100,576

 

2,000

 

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

 

Ba3/B+

 

1,370,000

 

 

 

Qwest Corp.,

 

 

 

 

 

2,300

 

6.069%, 6/15/13, FRN

 

Ba1/BBB-

 

1,679,000

 

8,860

 

7.20%, 11/10/26

 

Ba1/BBB-

 

5,759,000

 

 

 

Sprint Capital Corp.,

 

 

 

 

 

1,800

 

6.90%, 5/1/19

 

Baa3/BB

 

1,271,100

 

6,200

 

8.75%, 3/15/32

 

Baa3/BB

 

4,068,471

 

1,200

 

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

 

A3/A

 

1,051,444

 

1,500

 

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

 

Baa3/A

 

1,173,213

 

 

 

 

 

 

 

37,693,550

 

Transportation – 0.1%

 

 

 

 

 

400

 

Norfolk Southern Corp., 5.75%, 4/1/18

 

Baa1/BBB+

 

345,145

 

Utilities – 5.8%

 

 

 

 

 

1,000

 

CMS Energy Corp., 5.703%, 1/15/13, FRN

 

Ba1/BB+

 

870,000

 

2,549

 

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

 

Baa3/BBB-

 

2,670,747

 

400

 

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

 

Baa3/BBB+

 

319,582

 

2,000

 

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

 

Baa3/BBB-

 

1,551,532

 

2,000

 

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

 

Baa2/BBB+

 

2,045,716

 

3,086

 

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

 

Ba2/BB

 

2,892,656

 

5,530

 

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

 

Ba2/BB

 

5,004,650

 

3,339

 

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

 

Baa3/BB+

 

2,980,237

 

2,000

 

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

 

A2/A

 

2,017,020

 

6,000

 

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

 

Ba3/BB-

 

5,993,604

 

8,000

 

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

 

Baa1/BBB

 

6,801,232

 

2,440

 

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

 

Ba2/B

 

2,078,614

 

642

 

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

 

Baa3/BBB+

 

645,888

 

 

 

 

 

 

 

35,871,478

 

Waste Disposal – 0.3%

 

 

 

 

 

2,580

 

Waste Management, Inc., 7.10%, 8/1/26

 

Baa3/BBB

 

1,847,197

 

Total Corporate Bonds & Notes (cost-$554,334,959)

 

 

 

406,943,465

 

 

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES – 4.1%

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae – 4.1%

 

 

 

 

 

349

 

4.426%, 11/1/35, FRN, MBS

 

Aaa/AAA

 

351,063

 

303

 

5.50%, 10/1/37, MBS

 

Aaa/AAA

 

296,299

 

3,297

 

5.50%, 9/1/38, MBS

 

Aaa/AAA

 

3,223,489

 

221

 

7.00%, 2/1/29, MBS

 

Aaa/AAA

 

228,718

 

86

 

7.00%, 2/19/30, CMO, VRN

 

Aaa/AAA

 

90,384

 

66

 

7.00%, 1/1/32, MBS

 

Aaa/AAA

 

68,318

 

898

 

7.00%, 6/1/32, MBS

 

Aaa/AAA

 

927,203

 

93

 

7.00%, 10/1/32, MBS

 

Aaa/AAA

 

96,421

 

87

 

7.00%, 11/1/32, MBS

 

Aaa/AAA

 

89,768

 

280

 

7.00%, 12/1/32, MBS

 

Aaa/AAA

 

289,566

 

88

 

7.00%, 1/1/33, MBS

 

Aaa/AAA

 

90,348

 

122

 

7.00%, 2/1/33, MBS

 

Aaa/AAA

 

126,276

 

338

 

7.00%, 3/1/33, MBS

 

Aaa/AAA

 

349,372

 

936

 

7.00%, 5/1/33, MBS

 

Aaa/AAA

 

966,931

 

53

 

7.00%, 6/1/33, MBS

 

Aaa/AAA

 

54,648

 

127

 

7.00%, 7/1/33, MBS

 

Aaa/AAA

 

131,669

 

 

10.31.08 | PIMCO Corporate Income Fund Annual Report 7

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008 (continued)

Principal Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

Fannie Mae (continued)

 

 

 

 

 

$315

 

7.00%, 1/1/34, MBS

 

Aaa/AAA

 

$325,469

 

471

 

7.00%, 3/1/34, MBS

 

Aaa/AAA

 

486,839

 

263

 

7.00%, 9/1/34, MBS

 

Aaa/AAA

 

271,433

 

1,496

 

7.00%, 4/1/35, MBS

 

Aaa/AAA

 

1,544,471

 

476

 

7.00%, 6/1/35, MBS

 

Aaa/AAA

 

492,844

 

1,683

 

7.00%, 10/1/35, MBS

 

Aaa/AAA

 

1,740,004

 

1,817

 

7.00%, 2/1/36, MBS

 

Aaa/AAA

 

1,879,102

 

50

 

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

 

Aaa/AAA

 

52,816

 

954

 

7.00%, 12/25/41, CMO

 

Aaa/AAA

 

997,538

 

26

 

7.50%, 12/25/19, CMO

 

Aaa/AAA

 

27,330

 

205

 

7.50%, 5/1/22, MBS

 

Aaa/AAA

 

217,799

 

11

 

7.50%, 6/25/30, CMO

 

Aaa/AAA

 

11,558

 

231

 

7.50%, 12/1/33, MBS

 

Aaa/AAA

 

243,861

 

51

 

7.50%, 11/25/40, CMO

 

Aaa/AAA

 

53,351

 

100

 

7.50%, 5/25/42, CMO

 

Aaa/AAA

 

105,762

 

4,453

 

7.50%, 12/25/45, CMO

 

Aaa/AAA

 

4,601,859

 

23

 

8.00%, 7/18/27, CMO

 

Aaa/AAA

 

25,232

 

4,469

 

8.00%, 12/25/45, CMO

 

Aaa/AAA

 

4,631,821

 

 

 

 

 

 

 

25,089,562

 

Freddie Mac – 0.0%

 

 

 

 

 

59

 

7.50%, 11/1/19, MBS

 

Aaa/AAA

 

62,162

 

21

 

8.00%, 9/15/26, CMO

 

Aaa/AAA

 

21,068

 

4

 

9.50%, 5/15/21, CMO

 

Aaa/AAA

 

4,545

 

 

 

 

 

 

 

87,775

 

Total U.S. Government Agency Securities (cost-$25,186,908)

 

 

 

25,177,337

 

 

 

 

 

 

 

MUNICIPAL BONDS – 2.9%

 

 

 

 

 

 

 

 

 

 

 

New Jersey – 2.9%

 

 

 

 

 

 

 

Tobacco Settlement Financing Corp. Rev.,

 

 

 

 

 

6,570

 

5.75%, 6/1/32

 

Aaa/AAA

 

7,021,162

 

1,840

 

6.125%, 6/1/24

 

Aaa/AAA

 

1,925,891

 

8,330

 

6.375%, 6/1/32

 

Aaa/AAA

 

9,096,360

 

Total Municipal Bonds (cost-$18,048,739)

 

 

 

18,043,413

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES – 1.9%

 

 

 

 

 

3,500

 

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

 

NR/BB+

 

2,678,243

 

1,000

 

Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.617%, 10/15/48, CMO

 

Aaa/AAA

 

776,851

 

 

 

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

 

 

 

 

 

2,431

 

7.50%, 6/19/27, VRN

 

NR/NR

 

2,517,057

 

65

 

7.50%, 6/19/32, VRN

 

NR/NR

 

70,231

 

2,627

 

7.50%, 6/25/43

 

NR/NR

 

2,564,692

 

1,000

 

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

 

NR/AAA

 

743,369

 

2,805

 

Merrill Lynch Mortgage Investors, Inc., 6.876%, 12/15/30, CMO, VRN

 

A3/AA

 

2,418,874

 

250

 

Washington Mutual Mortgage, 3.665%, 8/25/46, CMO, FRN

 

Aaa/AAA

 

125,012

 

54

 

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

 

NR/AAA

 

50,352

 

Total Mortgage-Backed Securities (cost-$13,832,427)

 

 

 

11,944,681

 

 

8 PIMCO Corporate Income Fund Annual Report | 10.31.08

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008 (continued)

Principal Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

SOVEREIGN DEBT OBLIGATIONS – 1.8%

 

 

 

 

 

 

 

 

 

 

 

Colombia – 0.1%

 

 

 

 

 

$1,000

 

Colombia Government International Bond, 7.375%, 9/18/37

 

Ba1/BBB-

 

$825,000

 

Guatemala – 0.2%

 

 

 

 

 

1,500

 

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

 

Ba2/BB

 

1,402,500

 

Panama – 1.1%

 

 

 

 

 

7,170

 

Republic of Panama, 9.375%, 4/1/29

 

Ba1/BB+

 

6,990,750

 

South Africa – 0.3%

 

 

 

 

 

 

 

Republic of South Africa,

 

 

 

 

 

2,600

 

5.875%, 5/30/22

 

Baa1/BBB+

 

1,670,164

 

120

 

7.375%, 4/25/12

 

Baa1/BBB+

 

111,000

 

 

 

 

 

 

 

1,781,164

 

Ukraine – 0.1%

 

 

 

 

 

1,000

 

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

 

B1/B

 

510,000

 

Total Sovereign Debt Obligations (cost-$16,057,638)

 

 

 

11,509,414

 

 

 

 

 

 

 

SENIOR LOANS (a) (c) – 1.0%

 

 

 

 

 

 

 

 

 

 

 

Containers & Packaging – 0.1%

 

 

 

 

 

 

 

Smurfit-Stone Container,

 

 

 

 

 

131

 

3.025%, 11/1/10

 

 

 

104,141

 

107

 

4.813%, 11/1/11, Term B

 

 

 

85,362

 

215

 

4.813%, 11/1/11, Term C

 

 

 

170,723

 

63

 

5.125%, 11/1/10, Term C

 

 

 

49,914

 

39

 

5.125%, 11/1/11, Term B

 

 

 

31,393

 

 

 

 

 

 

 

441,533

 

Energy – 0.2%

 

 

 

 

 

 

 

AES Corp., Term B (b),

 

 

 

 

 

714

 

5.063%, 8/10/11

 

 

 

603,572

 

714

 

5.10%, 8/10/11

 

 

 

603,571

 

 

 

 

 

 

 

1,207,143

 

Financial Services – 0.2%

 

 

 

 

 

2,475

 

Chrysler Financial Corp., 6.82%, 8/3/12

 

 

 

1,697,436

 

Healthcare & Hospitals – 0.4%

 

 

 

 

 

2,948

 

HCA, Inc., 6.012%, 11/18/13, Term B

 

 

 

2,439,793

 

Hotels/Gaming – 0.1%

 

 

 

 

 

990

 

Las Vegas Sands Corp., 5.52%, 5/15/14

 

 

 

569,210

 

Total Senior Loans (cost-$8,290,995)

 

 

 

6,355,115

 

 

 

 

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK – 0.2%

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

Banking – 0.2%

 

 

 

 

 

1,000

 

Bank of America Corp., 7.25%, 12/31/49

 

A1/A

 

709,000

 

1,000

 

Wachovia Corp., 7.50%, 12/31/49

 

A3/A-

 

707,500

 

 

 

 

 

 

 

1,416,500

 

Financial Services – 0.0%

 

 

 

 

 

2,000

 

Citigroup, Inc., 6.50%, 12/31/49

 

A2/A

 

67,125

 

 

 

 

 

 

 

 

 

Insurance – 0.0%

 

 

 

 

 

13,500

 

American International Group, Inc., 8.50%, 8/1/11

 

Baa1/NR

 

60,075

 

Total Convertible Preferred Stock (cost-$2,255,331)

 

 

 

1,543,700

 

 

10.31.08 | PIMCO Corporate Income Fund Annual Report 9

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008 (continued)

Principal Amount
(000)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES – 0.0%

 

 

 

 

 

$259

 

SLM Student Loan Trust, 3.535%, 10/25/16, FRN (cost-$259,060)

 

Aaa/AAA

 

$255,660

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS – 23.3%

 

 

 

 

 

U.S. Treasury Bills (g) – 15.1%

 

 

 

 

 

93,940

 

0.02%-1.705%,11/28/08-12/26/08 (cost-$93,864,062)

 

NR/NR

 

93,864,062

 

 

 

 

 

 

 

 

 

Corporate Notes – 2.4%

 

 

 

 

 

Banking – 1.2%

 

 

 

 

 

5,910

 

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

 

A1/A+

 

5,918,410

 

1,750

 

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

 

A2/A

 

1,769,834

 

 

 

 

 

 

 

7,688,244

 

Financial Services – 0.4%

 

 

 

 

 

2,000

 

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

 

Baa1/BBB

 

1,187,610

 

1,180

 

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

 

Aaa/AAA

 

1,197,390

 

 

 

 

 

 

 

2,385,000

 

Multi-Media – 0.2%

 

 

 

 

 

1,625

 

CSC Holdings, Inc., 8.125%, 8/15/09

 

B1/BB

 

1,560,000

 

Oil & Gas – 0.4%

 

 

 

 

 

2,350

 

Salomon Brothers AG for OAO Siberian Oil Co., 10.75%, 1/15/09

 

Baa3/BBB-

 

2,321,356

 

Telecommunications – 0.2%

 

 

 

 

 

1,000

 

Sprint Capital Corp., 6.375%, 5/1/09

 

Baa3/BB

 

962,610

 

Total Corporate Notes (cost-$15,998,506)

 

 

 

14,917,210

 

 

 

 

 

 

 

 

 

Commercial Paper – 2.8%

 

 

 

 

 

Financial Services – 2.8%

 

 

 

 

 

11,300

 

Goldman Sachs Group, Inc., 3.25%, 1/22/09

 

P-1/A-1+

 

11,211,634

 

6,200

 

Morgan Stanley, 3.80%, 1/26/09

 

P-1/A-1

 

6,148,416

 

Total Commercial Paper (cost-$17,360,066)

 

 

 

17,360,050

 

Repurchase Agreements – 3.0%

 

 

 

 

 

13,000

 

Deutsche Bank, dated 10/31/08, 0.15%, due 11/3/08, proceeds $13,000,163; collateralized by Federal Home Loan Bank, 4.449%, due 10/13/09, valued at $13,286,114 including accrued interest

 

 

 

13,000,000

 

6,000

 

JPMorgan Chase Bank, dated 10/31/08, 0.25%, due 11/3/08, proceeds $6,000,125; collateralized at U.S. Treasury Notes, 3.50%, due 5/31/13, valued at $6,008,825 including accrued interest

 

 

 

6,000,000

 

Total Repurchase Agreements (cost-$19,000,000)

 

 

19,000,000

 

Total Short-Term Investments (cost-$146,222,634)

 

 

 

145,141,322

 

 

10 PIMCO Corporate Income Fund Annual Report | 10.31.08


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008 (continued)

Contracts/

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

Amount

 

 

 

 

 

Value

 

OPTIONS PURCHASED (h) – 0.4%

 

 

 

 

 

 

 

 

 

 

 

Call Options – 0.3%

 

 

 

 

 

 

 

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

 

 

 

$1,235,078

 

1,000,000

 

strike rate 5.00%, expires 8/28/09

 

 

 

32,310

 

 

 

Euro versus U.S. Dollar (OTC),

 

 

 

 

 

2,500,000

 

strike price $1.37, expires 6/3/10

 

 

 

176,230

 

1,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

68,637

 

1,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

68,637

 

 

 

U.S. Treasury Bonds 30 yr. Futures (CBOT),

 

 

 

 

 

536

 

strike price $140, expires 11/21/08

 

 

 

8,318

 

 

 

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

 

 

 

 

 

160

 

strike price $123.50, expires 11/21/08

 

 

 

1,250

 

130

 

strike price $125, expires 11/21/08

 

 

 

1,016

 

 

 

 

 

 

 

1,591,476

 

Put Options – 0.1%

 

 

 

 

 

 

 

Euro versus U.S. Dollar (OTC),

 

 

 

 

 

2,500,000

 

strike price $1.37, expires 6/3/10

 

 

 

410,474

 

1,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

165,266

 

1,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

165,266

 

 

 

Financial Future Euro – 90 day,

 

 

 

 

 

300

 

strike price $89.75, expires 3/15/10 (CME)

 

 

 

1,875

 

360

 

strike price $90, expires 6/15/09 (CME)

 

 

 

2,250

 

1,200

 

strike price $90, expires 12/14/09 (CME)

 

 

 

7,500

 

90

 

strike price $91, expires 12/14/09 (CME)

 

 

 

1,666

 

200

 

strike price $91.75, expires 12/14/09 (LIFFE)

 

 

 

1

 

700

 

strike price $93.25, expires 3/16/09 (CME)

 

 

 

4,375

 

190

 

strike price $94, expires 3/16/09 (LIFFE)

 

 

 

 

 

 

United Kingdom – 90 day (LIFFE),

 

 

 

 

 

276

 

strike price $89.50, expires 12/16/09

 

 

 

1

 

296

 

strike price $89.625, expires 6/17/09

 

 

 

1

 

118

 

strike price $90.50, expires 3/18/09

 

 

 

 

230

 

strike price $91.25, expires 12/17/08

 

 

 

 

125

 

strike price $92, expires 3/18/09

 

 

 

 

 

 

U.S. Treasury Notes 10 yr. Futures (CBOT),

 

 

 

 

 

983

 

strike price $99, expires 11/21/08

 

 

 

14,909

 

200

 

strike price $100, expires 11/21/08

 

 

 

3,027

 

 

 

 

 

 

 

776,611

 

Total Options Purchased (cost-$1,009,981)

 

 

 

2,368,087

 

Total Investments before options written and securities sold short

 

 

 

 

 

(cost-$785,498,672) – 101.0%

 

 

 

629,282,194

 

 

 

 

 

 

 

OPTIONS WRITTEN (h) – (0.1)%

 

 

 

 

 

 

 

 

 

 

 

Call Options – (0.1)%

 

 

 

 

 

 

 

2-Year Interest Rate Swap (OTC),

 

 

 

 

 

 

 

Pay 3-Month USD-LIBOR Floating Rate Index,

 

 

 

 

 

14,700,000

 

strike rate 5.15%, expires 9/8/09

 

 

 

(779,103

)

 

 

Dow Jones CDX IG-10 5 Year Index,

 

 

 

 

 

4,000,000

 

strike price $1.50, expires 12/22/08

 

 

 

(6,000

)

 

 

 

 

 

 

(785,103

)

 

10.31.08 | PIMCO Corporate Income Fund Annual Report  11

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2008 (continued)

Contracts/

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

Amount

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

Put Options – (0.0)%

 

 

 

 

 

 

 

Dow Jones CDX IG-10 5 Year Index,

 

 

 

 

 

4,000,000

 

strike price $1.50, expires 12/22/08

 

 

 

$(143,000

)

Total Options Written (premiums received-$544,611)

 

 

 

(928,103

)

 

 

 

 

 

 

SECURITIES SOLD SHORT – (0.9)%

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

 

5,900

 

Fannie Mae, 5.50%, TBA (proceeds-$5,793,062)

 

 

 

(5,793,062

)

Total Investments net of options written and securities sold short

 

 

 

 

 

(cost-$779,160,999) – 100.0%

 

 

 

$622,561,029

 

 

 

 

 

 

 

 

 

 

 

 

 

Notes to Schedule of Investments:

 

 

 

 

 

*      Unaudited.

(a)   Private Placement–Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $84,577,697, representing 13.46% of total investments.

(b)   Illiquid security.

(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 October 31, 2008.

(d)   144A Security–Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

(e)   Security in default.

(f)    Perpetual maturity security. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter.

(g)   All or partial amount segregated as collateral for futures contracts, options written and swaps.

(h)   Non-income producing.

 

 

Glossary:

£/GBP

-

 

British Pound Sterling

€/EUR

-

 

Euro

CAD

-

 

Canadian Dollar

CBOT

-

 

Chicago Board of Trade

CME

-

 

Chicago Mercantile Exchange

CMO

-

 

Collateralized Mortgage Obligation

FRN

-

 

Floating Rate Note. The interest rate disclosed reflects the rate in effect on October 31, 2008.

LIBOR

-

 

London Inter-Bank Offered Rate

LIFFE

-

 

London International Financial Futures and Options Exchange

MBIA

-

 

insured by Municipal Bond Investors Assurance

MBS

-

 

Mortgage-Backed Security

NR

-

 

Not Rated

OTC

-

 

Over-the-Counter

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 October 31, 2008.

 

12  PIMCO Corporate Income Fund Annual Report | 10.31.08 | See accompanying Notes to Financial Statements.

 


 

PIMCO Corporate Income Fund Statement of Assets and Liabilities

October 31, 2008

 

 

 

 

Assets:

 

 

 

Investments, at value (cost-$785,498,672)

 

$629,282,194

 

Cash (including foreign currency of $10,926,009 with a cost of $11,405,678)

 

12,424,518

 

Unrealized appreciation of swaps

 

75,059,327

 

Receivable for investments sold

 

32,017,550

 

Interest receivable

 

11,121,712

 

Receivable for swaps purchased

 

8,889,161

 

Deposits with brokers for futures contracts collateral

 

4,405,400

 

Unrealized appreciation of forward foreign currency contracts

 

2,658,165

 

Receivable for collateral held at broker

 

835,412

 

Receivable for terminated swaps

 

738,118

 

Prepaid expenses and other assets

 

41,448

 

Total Assets

 

777,473,005

 

 

 

 

 

Liabilities:

 

 

 

Unrealized depreciation of swaps

 

72,110,872

 

Premium for swaps sold

 

41,817,334

 

Payable to broker for swap collateral

 

21,750,000

 

Payable for investments purchased

 

12,277,655

 

Securities sold short, at value (proceeds of $5,793,062)

 

5,793,062

 

Dividends payable to common and preferred shareholders

 

3,961,270

 

Unrealized depreciation of forward foreign currency contracts

 

3,940,771

 

Payable for terminated swaps

 

2,158,194

 

Options written, at value (premiums received - $544,611)

 

928,103

 

Payable for variation margin on futures contracts

 

738,574

 

Investment management fees payable

 

342,428

 

Accrued expenses

 

165,494

 

Total Liabilities

 

165,983,757

 

Preferred Shares ($25,000 net asset and liquidation value per share applicable to an aggregate of 12,000 shares issued and outstanding)

 

300,000,000

 

Net Assets Applicable to Common Shareholders

 

$311,489,248

 

 

 

 

 

Composition of Net Assets Applicable to Common Shareholders:

 

 

 

Common stock:

 

 

 

Par value ($0.00001 per share, applicable to 36,794,562 shares issued and outstanding)

 

$368

 

Paid-in-capital in excess of par

 

522,425,292

 

Undistributed net investment income

 

931,725

 

Accumulated net realized loss

 

(64,574,829

)

Net unrealized depreciation of investments, futures contracts, options written, swaps, unfunded loan commitments and foreign currency transactions

 

(147,293,308

)

Net Assets Applicable to Common Shareholders

 

$ 311,489,248

 

Net Asset Value Per Common Share

 

$8.47

 

 

See accompanying Notes to Financial Statements. | 10.31.08 | PIMCO Corporate Income Fund Annual Report  13

 


 

PIMCO Corporate Income Fund Statement of Operations

For the year ended October 31, 2008

 

 

 

 

Investment Income:

 

 

 

Interest

 

$51,843,450

 

Dividends

 

191,446

 

Facility and other fee income

 

178,648

 

Total Investment Income

 

52,213,544

 

 

 

 

 

Expenses:

 

 

 

Investment management fees

 

5,623,594

 

Auction agent fees and commissions

 

779,370

 

Interest expense

 

504,857

 

Custodian and accounting agent fees

 

224,140

 

Shareholder communications

 

156,600

 

Audit and tax services

 

114,927

 

Trustees’ fees and expenses

 

62,363

 

Legal fees

 

34,754

 

Transfer agent fees

 

31,014

 

New York Stock Exchange listing fees

 

29,589

 

Insurance expense

 

11,074

 

Miscellaneous

 

20,461

 

Total expenses

 

7,592,743

 

Less: investment management fees waived

 

(812,792

)

custody credits earned on cash balances

 

(8,970

)

Net expenses

 

6,770,981

 

 

 

 

 

Net Investment Income

 

45,442,563

 

 

 

 

 

Realized and Change in Unrealized Gain (Loss):

 

 

 

Net realized gain (loss) on:

 

 

 

Investments

 

(17,841,630

)

Futures contracts

 

9,014,862

 

Options written

 

(3,840,440

)

Swaps

 

(34,679,275

)

Foreign currency transactions

 

2,453,131

 

Net change in unrealized appreciation/depreciation of:

 

 

 

Investments

 

(158,731,229

)

Futures contracts

 

8,909,947