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UNITED STATES

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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)

 

1633 Broadway, New York, New York

 

10019

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna – 1633 Broadway, New York, New York 10019

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

October 31, 2011

 

 

Date of reporting period:

April 30, 2011

 

 

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, 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: REPORT TO SHAREHOLDERS

 

 

April 30, 2011

 

 

PIMCO Corporate Income Fund

PIMCO Income Opportunity Fund

 

 

 


 

Contents

 

 

 

Letter to Shareholders

2-3

 

 

Fund Insights/Fund Performance & Statistics

4-8

 

 

Schedules of Investments

9-31

 

 

Statements of Assets and Liabilities

32

 

 

Statements of Operations

33

 

 

Statements of Changes in Net Assets

34-35

 

 

Statements of Cash Flows

36

 

 

Notes to Financial Statements

37-60

 

 

Financial Highlights

61-62

 

 

Annual Shareholder Meeting Results/ Changes to Board of Trustees/Changes in Investment Policy/ Proxy Voting Policies & Procedures

63

 

 

 

 

PIMCO Corporate Income Fund

 

 

4.30.11 

PIMCO Income Opportunity Fund Semi-Annual Report

1

 

 


 

Dear Shareholder:

 

For corporate bond investors, fiscal year 2011 began where fiscal year 2010 ended: with gains. This advance was powered by continued economic expansion in both the United States and around the world.

 

Six Months in Review

 

For the six-month period ended April 30, 2011:

 

· PIMCO Corporate Income Fund rose 8.25% on net asset value (“NAV”) and 14.22% on market price.

 

· PIMCO Income Opportunity Fund rose 9.36% on NAV and 16.16% on market price.

 

The U.S. economy, as measured by gross domestic product (“GDP”), expanded at an annualized rate of 3.1% between October and December 2010. This eased to a rate of 1.8% between January and March of 2011, held back in large part by continued weakness in the housing market, rising prices for energy and other commodities, and a stubbornly high unemployment rate.

 

Despite these headwinds, U.S. corporations continue to show an impressive resilience. Since the recession ended in 2009, corporate profits have grown by double-digits for seven consecutive quarters. Even more encouraging, these profits were generally derived from growing revenue, as opposed to reducing costs. This top-line growth suggests increasing confidence among American consumers, who comprise approximately two-thirds of U.S. economic activity. It also suggests continued, if not increasing, global demand for the goods and services provided by U.S. firms.

 

Hans W. Kertess
Chairman

 

Brian S. Shlissel
President & CEO

 

The U.S. Federal Reserve (the “Fed”) maintained a cautious stance throughout the six-month period. Last fall, it embarked on a $900 billion program to purchase U.S. Treasury bonds, the goal of which was to stimulate the economy by pushing already low interest rates even lower. Although certain analysts have expressed concern about what the scheduled June 2011 end of this “quantitative easing” program could mean for the U.S. economy, Fed Chairman Ben Bernanke has indicated it “is unlikely to have significant effects.” In addition, despite rising energy and food prices, the Fed believes that overall inflation trends are likely to remain “subdued” and revealed that it would maintain the federal funds rate near zero for “an extended period.”

 

 

 

PIMCO Corporate Income Fund

 

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The Road Ahead

 

The U.S. economic recovery is about to enter its third consecutive year. However, as the slowdown between January and March of 2011 reflects, this rebound has been more tepid than recoveries from prior recessions. We expect this modest pace to continue. Given the continued reluctance to hire workers in significant numbers, many U.S. companies seem to agree. Rather than spend on new employees, companies are stockpiling cash. At the end of 2010, U.S. companies held an estimated $1.9 trillion, the highest amount since 1963. With so much cash on hand, companies can easily meet their debt obligations to bondholders which has resulted in a decline in defaults. That being said, credit risk is but one factor that investors in corporate bonds must be mindful of. If the economy were to strengthen more than anticipated, interest rates could rise quickly, increasing borrowing costs. Furthermore, since many U.S. corporations derive an increasing percentage of revenue from abroad, currency risk and geopolitical risk are other ongoing concerns.

 

For specific information on the Funds and their performance, please review the following pages. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Funds’ shareholder servicing agent at (800) 254-5197. In addition, a wide range of information and resources are available on our website, www.allianzinvestors.com/closedendfunds.

 

Together with Allianz Global Investors Fund Management LLC, the Funds’ investment manager, and Pacific Investment Management Company LLC (“PIMCO”), the Funds’ 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 & CEO

 

Receive this report electronically and eliminate paper mailings. To enroll, go to www.allianzinvestors.com/edelivery.

 

 

 

 

PIMCO Corporate Income Fund

 

 

4.30.11 

PIMCO Income Opportunity Fund Semi-Annual Report

3

 

 

 


 

PIMCO Corporate Income Fund Fund Insights

April 30, 2011 (unaudited)

 

 

For the six months ended April 30, 2011, PIMCO Corporate Income Fund returned 8.25% on net asset value (“NAV”) and 14.22% on market price.

 

The U.S. corporate bond market posted a positive return during the reporting period and outperformed equal-duration Treasuries. Supporting corporate bond prices were generally strong corporate profits, strengthening corporate balance sheets and overall solid demand from investors seeking to generate incremental yield in the low interest rate environment. In addition, corporate default rates, which had moved sharply higher during the credit crisis, continued to decline during the six months ended April 30, 2011.

 

Compared to the relatively flat 0.02% return for the overall U.S. fixed income market (as measured by the Barclays Capital U.S. Aggregate Index), high yield and investment grade bonds returned 6.15% and 0.56%, respectively (as measured by the Barclays Capital U.S. High Yield and Barclays Capital Credit Investment Grade Indices) for the six-month reporting period. Given investors’ quest for yield, on a total return basis, lower rated, higher yielding corporate bonds generally outperformed their higher quality, lower yielding counterparts. For example, AA-, A- and BBB-rated issues returned 0.16%, 0.75% and 0.91%, respectively, during the six months ended April 30, 2011. The same trend held true in the high yield market, as BB-rated issues returned 4.30%, versus 6.02% for B-rated names.

 

Duration and sector positioning drive results

The Fund generated a strong absolute return during the reporting period. An emphasis on the banking sector was a significant positive for results, as these issues were among the best performers during the six months ended April 30, 2011. An emphasis on insurance, particularly life insurance credits, was also rewarded as this sector posted solid gains. In contrast, underweights to the energy sector and consumer cyclicals detracted from results as they outperformed the market.

 

 

 

PIMCO Corporate Income Fund

 

4

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.11

 


 

PIMCO Income Opportunity Fund, Inc. Fund Insights

April 30, 2011 (unaudited)

 

 

For the six months ended April 30, 2011, PIMCO Income Opportunity Fund, Inc. returned 9.36% on net asset value (“NAV”) and 16.16% on market price.

 

It was a challenging period for certain segments of the fixed income market. Yields across the Treasury curve moved sharply higher as two-year Treasuries increased from 0.34% to 0.61% and 10-year Treasuries from 2.63% to 3.32%. This rise in rates is attributable to a number of factors, including mounting inflationary pressures due to sharply higher oil and food prices, strong manufacturing activity signs that the labor market was improving.

 

The spread sectors (non-U.S. Treasuries) posted positive returns during the reporting period and generally outperformed equal-duration Treasuries. Supporting the spread sectors was continuing positive economic growth, relatively benign core inflation and improving corporate profits. In addition, overall, there was solid demand from investors seeking to generate incremental yield in the low interest rate environment. Given investors’ quest for yield, lower rated, higher yielding securities generally outperformed their higher quality, lower yielding counterparts during the six-month period. For example, compared to the relatively flat 0.02% return for the overall U.S. fixed income market (as measured by the Barclays Capital U.S. Aggregate Index), high yield and investment grade bonds returned 6.15% and 0.56%, respectively (as measured by the Barclays Capital U.S. High Yield and Barclays Capital Credit Investment Grade Indices) for the six-month period.

 

Strong sector positioning enhances performance

The Fund’s relatively large allocation to high quality, senior, commercial mortgage-backed securities (“CMBS”) enhanced performance, as the Barclays Capital CMBS Index returned 5.51% during the six-month period ended April 30, 2011. An overweighting to high yield life insurance credits was rewarded, as this component of the BofA Merrill Lynch BB-B High Yield Index gained 11.31% during the reporting period. Price appreciation in the

 

 

 

 

PIMCO Corporate Income Fund

 

 

4.30.11 

PIMCO Income Opportunity Fund Semi-Annual Report

5

 


 

PIMCO Income Opportunity Fund, Inc. Fund Insights

April 30, 2011 (unaudited) (continued)

 

 

equity markets generally supported these issuers’ equity-linked products sales, account values and overall reserve ratios.

 

The Fund’s overweight credit exposure to finance companies was a positive for performance as these companies benefited from improved liquidity and earnings. Both high yield and investment grade finance companies’ bonds outperformed the overall corporate market during the period. An overweighting to national money center high quality banking credits was also beneficial for performance. These banks are generally very well capitalized and have been able to generate high levels of capital through retained earnings. Security selection of both investment grade and high yield airline bonds, as well as an overweight to the airline industry were positive for results. The Fund’s airline bonds offered attractive recovery prospects in the case of default due to specific collateral coverage. An underweighting to investment grade sovereign and supranational credits enhanced performance. Within the Barclays Capital U.S. Credit Index, sovereign and supranational credits, which have historically offered a relatively less compelling risk return profile than corporate bonds, returned -0.16% and 0.13%, respectively, during the six months ended April 30, 2011.

 

An allocation to emerging markets detracted from performance, as the JPMorgan EMBI Global Index returned -1.17% during the reporting period. Despite a nice rebound during the last three months of the period, it was not enough to offset the weak performance experienced in late 2010. An underweighting to high yield media-related credits also dragged relative performance as media bonds within the BofA Merrill Lynch U.S. BB-B High Yield Index gained a solid 4.75% during the period.

 

 

 

PIMCO Corporate Income Fund

 

6

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.11

 


 

PIMCO Corporate Income Fund
Fund Performance & Statistics

April 30, 2011 (unaudited)

 

 

Total Return(1):

 

Market Price

NAV

Six Month

 

14.22%

8.25%

1 Year

 

29.19%

23.71%

5 Year

 

14.58%

14.51%

Commencement of Operations (12/21/01) to 4/30/11

 

13.04%

12.76%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (12/21/01) to 4/30/11

Market Price

 

$17.35

 Market Price

NAV

 

$15.68

 NAV

Premium to NAV

 

10.65%

 

 

Market Price Yield(2) 

 

7.35%

 

Moody’s Ratings

(as a % of total investments)

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

 

4.30.11 

PIMCO Income Opportunity Fund Semi-Annual Report

7

 

 


 

PIMCO Income Opportunity Fund
Fund Performance & Statistics

April 30, 2011 (unaudited)

 

 

Total Return(1):

 

Market Price

NAV

Six Month

 

16.16%

9.36%

1 Year

 

30.65%

23.55%

3 Year

 

19.63%

17.63%

Commencement of Operations (11/30/07) to 4/30/11

 

16.24%

15.85%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (11/30/07) to 4/30/11

Market Price

 

$28.75

 Market Price

NAV

 

$27.10

 NAV

Premium to NAV

 

6.09%

 

 

Market Price Yield(2) 

 

7.93%

 

Moody’s Ratings

(as a % of total investments, before securities sold short)

 

 

 

 

(1) Past performance is no guarantee of future results. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. The calculation assumes that all income dividends, capital gain and return of capital distributions, if any, have been reinvested. Total return does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. 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.

 

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 Funds, market conditions, supply and demand for each Fund’s shares, or changes in Fund dividends.

 

An investment in the Funds involves risk, including the loss of principal. Total return, market price, market price yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes 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 traded in the open market through a stock exchange. NAV 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 common share dividend (comprised of net investment income for Corporate Income and net investment income and short-term capital gains, if any, for Income Opportunity) payable to common shareholders by the market price per common share at April 30, 2011.

 

 

 

PIMCO Corporate Income Fund

 

8

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.11

 

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2011 (unaudited)

 

Principal
 Amount
    (000s)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

CORPORATE BONDS & NOTES – 66.7%

 

 

 

 

 

 

 

 

 

 

 

Airlines – 2.1%

 

 

 

 

 

 

 

American Airlines Pass Through Trust,

 

 

 

 

 

$1,000

 

7.858%, 4/1/13, (AGC)

 

Ba1/BBB-

 

$1,022,500

 

1,959

 

10.375%, 1/2/21

 

Baa3/A-

 

2,282,293

 

1,941

 

Continental Airlines Pass Through Trust, 9.798%, 4/1/21

 

Ba3/B

 

2,047,587

 

8,528

 

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

 

Ba3/BB+

 

8,506,929

 

 

 

United Air Lines Pass Through Trust,

 

 

 

 

 

1,396

 

7.336%, 1/2/21 (a) (b) (d) (j)

(acquisition cost-$1,396,020; purchased 6/19/07)

 

Ba2/B+

 

1,312,259

 

2,833

 

10.40%, 5/1/18 (i)

 

Baa2/BBB+

 

3,243,693

 

 

 

 

 

 

 

18,415,261

 

Automotive – 0.2%

 

 

 

 

 

1,500

 

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

 

Ba3/B+

 

1,876,091

 

Banking – 8.8%

 

 

 

 

 

4,000

 

ABN Amro North American Holding Preferred Capital
Repackage Trust I, 6.523%, 11/8/12 (a) (d) (g)

 

Ba3/BB+

 

3,840,000

 

2,400

 

AgFirst Farm Credit Bank, 7.30%, 5/31/11 (a) (b) (d) (g) (j)
(acquisition cost-$1,904,000; purchased 2/26/10-3/2/10)

 

NR/A

 

2,149,284

 

1,150

 

BankAmerica Capital II, 8.00%, 12/15/26

 

Baa3/BB+

 

1,185,937

 

 

 

Barclays Bank PLC,

 

 

 

 

 

4,600

 

7.434%, 12/15/17 (a) (d) (g)

 

Baa2/A-

 

4,809,300

 

7,760

 

10.179%, 6/12/21 (a) (d) (i)

 

Baa1/A

 

10,133,861

 

£200

 

14.00%, 6/15/19 (g)

 

Baa2/A-

 

438,467

 

$5,000

 

BPCE S.A., 12.50%, 9/30/19 (a) (b) (d) (g) (i) (j)
(acquisition cost-$5,600,000; purchased 1/11/11)

 

Baa3/NR

 

5,839,315

 

25,290

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 11.00%, 6/30/19 (a) (d) (g) (i)

 

A2/AA-

 

33,101,525

 

2,000

 

HBOS PLC, 6.75%, 5/21/18 (a) (d)

 

Baa3/BBB

 

2,019,620

 

1,000

 

HSBC Capital Funding L.P., 10.176%, 6/30/30 (g)

 

A3/A-

 

1,360,000

 

€4,100

 

Intesa Sanpaolo SpA, 8.375%, 10/14/19 (g)

 

Baa1/BBB+

 

6,239,715

 

 

 

Regions Financial Corp.,

 

 

 

 

 

$1,900

 

7.375%, 12/10/37

 

B1/BB

 

1,881,000

 

3,400

 

7.75%, 11/10/14

 

Ba3/BB+

 

3,717,370

 

£1,200

 

Santander Finance Preferred S.A. Unipersonal, 11.30%, 7/27/14 (g)

 

Baa2/A-

 

2,197,245

 

 

 

 

 

 

 

78,912,639

 

Building & Construction – 0.3%

 

 

 

 

 

$1,000

 

Desarrolladora Homex SAB De C.V., 9.50%, 12/11/19 (a) (d)

 

Ba3/BB-

 

1,122,500

 

1,700

 

Macmillan Bloedel Pembroke L.P., 7.70%, 2/15/26

 

Ba1/BBB-

 

1,889,424

 

 

 

 

 

 

 

3,011,924

 

Energy – 0.5%

 

 

 

 

 

4,300

 

Dynegy Roseton/Danskammer Pass Through Trust, 7.67%, 11/8/16, Ser. B

 

Caa3/CC

 

3,999,000

 

Financial Services – 33.3%

 

 

 

 

 

2,300

 

AGFC Capital Trust I, 6.00%, 1/15/67, (converts to FRN on 1/15/17) (a) (d)

 

Caa2/CCC-

 

1,529,500

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

 

4.30.11 | 

PIMCO Income Opportunity Fund Semi-Annual Report

9

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2011 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

 

 

 

 

Ally Financial, Inc.,

 

 

 

 

 

$240

 

5.35%, 1/15/14

 

B1/B

 

$234,087

 

70

 

5.75%, 1/15/14

 

B1/B

 

68,959

 

372

 

5.85%, 6/15/13

 

B1/B

 

369,075

 

225

 

6.00%, 7/15/13

 

B1/B

 

223,828

 

34

 

6.00%, 3/15/19

 

B1/B

 

31,134

 

494

 

6.00%, 9/15/19

 

B1/B

 

450,791

 

492

 

6.05%, 8/15/19

 

B1/B

 

449,982

 

659

 

6.125%, 10/15/19

 

B1/B

 

602,624

 

343

 

6.15%, 9/15/19

 

B1/B

 

316,144

 

5

 

6.15%, 10/15/19

 

B1/B

 

4,612

 

10

 

6.20%, 4/15/19

 

B1/B

 

9,237

 

517

 

6.25%, 12/15/18

 

B1/B

 

481,712

 

10

 

6.25%, 4/15/19

 

B1/B

 

9,259

 

182

 

6.25%, 5/15/19

 

B1/NR

 

168,252

 

10

 

6.25%, 7/15/19

 

B1/B

 

9,264

 

620

 

6.30%, 8/15/19

 

B1/B

 

576,674

 

210

 

6.35%, 5/15/13

 

B1/B

 

209,804

 

5

 

6.35%, 7/15/19

 

B1/B

 

4,662

 

158

 

6.40%, 12/15/18

 

B1/B

 

148,566

 

133

 

6.50%, 2/15/16

 

B1/B

 

128,336

 

771

 

6.50%, 6/15/18

 

B1/B

 

734,996

 

666

 

6.50%, 11/15/18

 

B1/B

 

631,995

 

879

 

6.50%, 12/15/18

 

B1/B

 

831,433

 

11

 

6.50%, 5/15/19

 

B1/B

 

10,340

 

55

 

6.50%, 1/15/20

 

B1/B

 

51,684

 

78

 

6.60%, 5/15/18

 

B1/B

 

75,053

 

476

 

6.65%, 6/15/18

 

B1/B

 

457,805

 

770

 

6.65%, 10/15/18

 

B1/B

 

740,136

 

682

 

6.70%, 6/15/18

 

B1/B

 

657,725

 

250

 

6.70%, 11/15/18

 

B1/B

 

240,136

 

499

 

6.70%, 12/15/19

 

B1/B

 

474,612

 

896

 

6.75%, 7/15/12

 

WR/NR

 

892,756

 

2,000

 

6.75%, 12/1/14

 

B1/B

 

2,132,252

 

195

 

6.75%, 8/15/16

 

B1/B

 

189,851

 

10

 

6.75%, 6/15/17

 

B1/B

 

9,745

 

26

 

6.75%, 3/15/18

 

B1/B

 

25,256

 

554

 

6.75%, 7/15/18

 

B1/B

 

533,922

 

113

 

6.75%, 9/15/18

 

B1/B

 

108,156

 

432

 

6.75%, 10/15/18

 

B1/B

 

417,398

 

125

 

6.75%, 11/15/18

 

B1/B

 

120,379

 

293

 

6.75%, 5/15/19

 

B1/B

 

279,538

 

182

 

6.75%, 6/15/19

 

B1/B

 

173,875

 

682

 

6.80%, 9/15/18

 

B1/B

 

654,601

 

135

 

6.80%, 10/15/18

 

B1/B

 

130,860

 

30

 

6.85%, 5/15/18

 

B1/B

 

29,263

 

80

 

6.875%, 7/15/18

 

B1/B

 

77,607

 

133

 

6.90%, 6/15/17

 

B1/B

 

130,558

 

535

 

6.90%, 7/15/18

 

B1/B

 

519,832

 

320

 

6.90%, 8/15/18

 

B1/B

 

309,913

 

133

 

7.00%, 2/15/18

 

B1/B

 

130,902

 

509

 

7.00%, 5/15/18

 

B1/B

 

500,380

 

60

 

7.00%, 8/15/18

 

B1/B

 

58,426

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

10

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.11

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2011 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

 

 

$975

 

7.00%, 9/15/18

 

B1/B

 

$945,956

 

560

 

7.00%, 11/15/23

 

B1/B

 

531,892

 

107

 

7.05%, 3/15/18

 

B1/B

 

105,544

 

33

 

7.05%, 4/15/18

 

B1/B

 

32,549

 

105

 

7.125%, 10/15/17

 

B1/B

 

104,045

 

148

 

7.15%, 6/15/16

 

B1/B

 

146,208

 

143

 

7.15%, 9/15/18

 

B1/B

 

139,910

 

210

 

7.15%, 1/15/25

 

B1/B

 

201,004

 

270

 

7.25%, 9/15/17

 

B1/B

 

269,168

 

17

 

7.25%, 4/15/18

 

B1/B

 

16,930

 

1,215

 

7.25%, 8/15/18

 

B1/B

 

1,199,149

 

385

 

7.25%, 9/15/18

 

B1/B

 

378,699

 

50

 

7.25%, 3/15/25

 

B1/B

 

48,197

 

227

 

7.30%, 12/15/17

 

B1/B

 

226,746

 

61

 

7.30%, 1/15/18

 

B1/B

 

60,924

 

12,781

 

7.375%, 11/15/16

 

B1/B

 

12,743,999

 

80

 

7.375%, 4/15/18

 

B1/B

 

80,087

 

20

 

7.40%, 12/15/17

 

B1/B

 

20,047

 

16

 

7.50%, 11/15/16

 

B1/B

 

16,009

 

45

 

7.50%, 11/15/17

 

B1/B

 

45,115

 

23

 

7.50%, 12/15/17

 

B1/B

 

23,060

 

27

 

7.625%, 11/15/12

 

B1/B

 

27,167

 

6,000

 

8.30%, 2/12/15

 

B1/B

 

6,765,000

 

266

 

9.00%, 7/15/20

 

B1/B

 

268,039

 

2,000

 

American Express Co., 6.80%, 9/1/66, (converts to FRN on 9/1/16)

 

Baa2/BB

 

2,105,000

 

 

 

American General Finance Corp.,

 

 

 

 

 

€1,500

 

4.125%, 11/29/13

 

B3/B

 

2,043,934

 

$5,000

 

5.375%, 10/1/12

 

B3/B

 

5,025,000

 

5,000

 

BAC Capital Trust XIV, 5.63%, 3/15/12 (g)

 

Ba3/BB+

 

3,912,500

 

 

 

BNP Paribas,

 

 

 

 

 

6,700

 

7.195%, 6/25/37 (a) (d) (g) (i)

 

Baa1/A

 

6,700,000

 

€350

 

7.781%, 7/2/18 (g)

 

Baa1/A

 

554,691

 

$3,300

 

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

 

NR/B-

 

2,621,876

 

1,790

 

Capital One Bank USA N.A., 8.80%, 7/15/19 (i)

 

Baa1/BBB

 

2,297,379

 

1,500

 

Capital One Capital V, 10.25%, 8/15/39

 

Baa3/BB

 

1,629,375

 

3,300

 

Capital One Capital VI, 8.875%, 5/15/40

 

Baa3/BB

 

3,510,375

 

1,558

 

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

 

Baa3/BBB-

 

1,647,189

 

2,000

 

Cemex Finance LLC, 9.50%, 12/14/16 (a) (d)

 

NR/B

 

2,140,000

 

 

 

CIT Group, Inc.,

 

 

 

 

 

255

 

7.00%, 5/1/13

 

B3/B+

 

260,438

 

980

 

7.00%, 5/1/14

 

B3/B+

 

1,000,737

 

280

 

7.00%, 5/1/15

 

B3/B+

 

284,463

 

467

 

7.00%, 5/1/16

 

B3/B+

 

471,189

 

653

 

7.00%, 5/1/17

 

B3/B+

 

660,074

 

19,700

 

Citigroup Capital XXI, 8.30%, 12/21/77, (converts to FRN on 12/21/37)

 

Ba1/BB+

 

20,566,800

 

1,600

 

Citigroup, Inc., 6.125%, 8/25/36 (i)

 

Baa1/A-

 

1,587,624

 

 

 

Credit Agricole S.A., (g)

 

 

 

 

 

2,800

 

6.637%, 5/31/17 (a) (d) (i)

 

A3/A-

 

2,603,440

 

€2,000

 

7.875%, 10/26/19

 

A3/A-

 

3,080,792

 

$6,000

 

8.375%, 10/13/19 (a) (d) (i)

 

A3/A-

 

6,585,000

 

€8,000

 

FCE Bank PLC, 7.125%, 1/15/13

 

Ba2/BB

 

12,548,304

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

 

4.30.11 | 

PIMCO Income Opportunity Fund Semi-Annual Report

11

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2011 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

 

 

$3,500

 

8.00%, 12/15/16

 

Ba2/BB-

 

$4,074,956

 

£500

 

General Electric Capital Corp., 6.50%, 9/15/67, (converts to FRN on 9/15/17) (a) (d)

 

Aa3/A+

 

822,647

 

 

 

Goldman Sachs Group, Inc., (i)

 

 

 

 

 

$4,000

 

6.45%, 5/1/36

 

A2/A-

 

4,037,180

 

7,000

 

6.75%, 10/1/37

 

A2/A-

 

7,286,874

 

 

 

International Lease Finance Corp.,

 

 

 

 

 

1,500

 

5.65%, 6/1/14

 

B1/BB+

 

1,535,625

 

2,900

 

6.75%, 9/1/16 (a) (d)

 

Ba3/BBB-

 

3,103,000

 

1,000

 

8.625%, 9/15/15 (a) (d)

 

B1/BB+

 

1,102,500

 

11,000

 

JPMorgan Chase & Co., 7.90%, 4/30/18 (g)

 

Baa1/BBB+

 

12,128,105

 

4,100

 

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

 

A2/BBB+

 

4,238,600

 

 

 

LBG Capital No.1 PLC,

 

 

 

 

 

€300

 

7.375%, 3/12/20

 

Ba3/BB

 

417,684

 

£100

 

7.588%, 5/12/20

 

Ba3/BB

 

160,354

 

£200

 

7.867%, 12/17/19

 

Ba3/BB

 

319,438

 

£400

 

7.869%, 8/25/20

 

Ba3/BB

 

651,430

 

$12,700

 

7.875%, 11/1/20 (a) (b) (d) (j)

(acquisition cost-$10,447,750; purchased 12/7/09-4/16/10)

 

Ba3/BB

 

12,712,700

 

17,500

 

8.00%, 6/15/20 (a) (d) (g)

 

NR/BB-

 

17,150,000

 

8,500

 

8.50%, 12/17/21 (a) (d) (f) (g)

 

NR/BB-

 

8,346,652

 

£300

 

11.04%, 3/19/20

 

Ba3/BB

 

554,974

 

 

 

LBG Capital No.2 PLC,

 

 

 

 

 

€400

 

8.875%, 2/7/20

 

Ba2/BB+

 

616,158

 

£3,100

 

9.125%, 7/15/20

 

Ba2/BB+

 

5,281,646

 

£500

 

9.334%, 2/7/20

 

Ba2/BB+

 

868,582

 

$13,000

 

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

 

WR/NR

 

3,445,000

 

4,100

 

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

 

Ba2/BB

 

3,920,625

 

 

 

SLM Corp.,

 

 

 

 

 

€1,150

 

1.503%, 6/17/13, FRN

 

Ba1/BBB-

 

1,582,124

 

$800

 

5.375%, 5/15/14

 

Ba1/BBB-

 

835,784

 

5,900

 

8.00%, 3/25/20

 

Ba1/BBB-

 

6,547,596

 

13,500

 

8.45%, 6/15/18

 

Ba1/BBB-

 

15,343,357

 

€4,000

 

Societe Generale, 7.756%, 5/22/13 (g)

 

Baa2/BBB+

 

5,998,658

 

 

 

Springleaf Finance Corp.,

 

 

 

 

 

$2,200

 

5.40%, 12/1/15

 

B3/B

 

2,079,000

 

3,000

 

6.90%, 12/15/17

 

B3/B

 

2,827,500

 

4,000

 

UBS Preferred Funding Trust II, 7.247%, 6/26/11 (g) (i)

 

Baa3/BBB-

 

4,017,672

 

5,700

 

USB Capital IX, 3.50%, 5/31/11 (g) (i)

 

A3/BBB+

 

4,831,548

 

12,100

 

Wachovia Capital Trust III, 5.570%, 5/31/11 (g) (i)

 

Baa3/A-

 

11,223,355

 

14,000

 

Wells Fargo & Co., 7.98%, 3/15/18 (g)

 

Baa3/A-

 

15,470,000

 

7,200

 

Wells Fargo Capital X, 5.95%, 12/1/86, (converts to FRN on 12/15/36)

 

Baa1/A-

 

7,230,010

 

 

 

 

 

 

 

297,350,845

 

Healthcare & Hospitals – 2.1%

 

 

 

 

 

 

 

HCA, Inc.,

 

 

 

 

 

10,000

 

7.875%, 2/15/20

 

Ba3/BB

 

10,937,500

 

3,600

 

8.50%, 4/15/19

 

Ba3/BB

 

4,014,000

 

3,500

 

9.625%, 11/15/16, PIK

 

B2/BB-

 

3,766,875

 

 

 

 

 

 

 

18,718,375

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

12

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.11

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2011 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

Hotels/Gaming – 0.5%

 

 

 

 

 

 

 

MGM Resorts International,

 

 

 

 

 

$700

 

10.375%, 5/15/14

 

Ba3/B

 

$812,875

 

1,050

 

11.125%, 11/15/17

 

Ba3/B

 

1,225,875

 

2,272

 

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

 

Baa3/BB+

 

2,512,180

 

 

 

 

 

 

 

4,550,930

 

Insurance – 15.1%

 

 

 

 

 

15,700

 

American General Capital II, 8.50%, 7/1/30

 

Baa2/BBB-

 

17,898,000

 

9,000

 

American General Institutional Capital B, 8.125%, 3/15/46 (a) (d)

 

Baa2/BBB-

 

9,945,000

 

 

 

American International Group, Inc.,

 

 

 

 

 

5,100

 

6.25%, 5/1/36 (i)

 

Baa1/A-

 

5,267,999

 

14,000

 

6.25%, 3/15/87

 

Baa2/BBB

 

13,335,000

 

MXN16,000

 

7.98%, 6/15/17

 

Baa1/A-

 

1,226,679

 

$32,750

 

8.175%, 5/15/68, (converts to FRN on 5/15/38)

 

Baa2/BBB

 

36,925,625

 

18,700

 

8.25%, 8/15/18 (i)

 

Baa1/A-

 

22,270,466

 

£4,000

 

8.625%, 5/22/68, (converts to FRN on 5/22/18)

 

Baa2/BBB

 

7,015,469

 

$5,100

 

Dai-ichi Life Insurance Co., Ltd., 7.25%, 7/25/21 (a) (b) (d) (g) (j)
(acquisition cost-$4,985,000; purchased 3/8/11-3/15/11)

 

A3/BBB+

 

5,134,955

 

2,600

 

Genworth Financial, Inc., 8.625%, 12/15/16 (i)

 

Baa3/BBB

 

2,900,321

 

5,000

 

Metlife Capital Trust IV, 7.875%, 12/15/67 (a) (d) (i)

 

Baa2/BBB

 

5,643,990

 

6,800

 

Pacific Life Insurance Co., 7.90%, 12/30/23 (a) (d) (i)

 

A3/A-

 

7,635,040

 

 

 

 

 

 

 

135,198,544

 

Metals & Mining – 0.5%

 

 

 

 

 

200

 

Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/1/17

 

Baa3/BBB-

 

220,759

 

4,000

 

Gerdau Holdings, Inc., 7.00%, 1/20/20 (a) (d)

 

NR/BBB-

 

4,420,000

 

 

 

 

 

 

 

4,640,759

 

Oil & Gas – 0.5%

 

 

 

 

 

4,300

 

El Paso Corp., 7.42%, 2/15/37

 

Ba3/BB-

 

4,558,452

 

Paper/Paper Products – 0.1%

 

 

 

 

 

850

 

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

 

B2/B-

 

762,875

 

Telecommunications – 1.8%

 

 

 

 

 

8,200

 

Mountain States Telephone & Telegraph Co., 7.375%, 5/1/30

 

Baa3/BBB-

 

8,343,500

 

5,360

 

Qwest Corp., 7.20%, 11/10/26 (i)

 

Baa3/BBB-

 

5,427,000

 

€1,300

 

Wind Acquisition Finance S.A., 11.75%, 7/15/17

 

B2/BB-

 

2,252,829

 

 

 

 

 

 

 

16,023,329

 

Transportation – 0.1%

 

 

 

 

 

$666

 

Federal Express Corp. Pass Through Trust, 7.65%, 1/15/14

 

Baa2/BBB

 

692,900

 

Utilities – 0.8%

 

 

 

 

 

3,900

 

AES Andres Dominicana, 9.50%, 11/12/20 (a) (d)

 

NR/B-

 

4,173,000

 

2,180

 

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

 

Ba2/B+

 

2,062,825

 

1,100

 

PPL Capital Funding, Inc., 6.70%, 3/30/67, (converts to FRN on 3/30/17)

 

Ba1/BB+

 

1,094,440

 

 

 

 

 

 

 

7,330,265

 

Total Corporate Bonds & Notes (cost-$493,600,450)

 

 

 

596,042,189

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

 

4.30.11 | 

PIMCO Income Opportunity Fund Semi-Annual Report

13

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2011 (unaudited) (continued)

Principal
 Amount
    (000s)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES – 13.9%

 

 

 

 

 

$1,511

 

American Home Mortgage Assets, 0.443%, 9/25/46, CMO, FRN

 

C/D

 

$213,831

 

387

 

Banc of America Alternative Loan Trust, 6.00%, 1/25/36, CMO

 

Caa2/NR

 

295,315

 

7,600

 

Banc of America Funding Corp., 6.00%, 3/25/37, CMO

 

Caa2/CCC

 

5,369,062

 

2,877

 

Bear Stearns Alt-A Trust, 5.068%, 11/25/36, CMO, VRN

 

Caa3/CCC

 

1,769,026

 

2,407

 

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

 

NR/BB+

 

2,406,022

 

 

 

Chase Mortgage Finance Corp., CMO

 

 

 

 

 

126

 

2.944%, 12/25/35, FRN

 

NR/CCC

 

122,486

 

4,087

 

3.157%, 3/25/37, FRN

 

Caa2/NR

 

3,339,609

 

3,087

 

6.00%, 7/25/37

 

NR/CCC

 

2,591,256

 

3,800

 

Citicorp Mortgage Securities, Inc., 6.00%, 6/25/36, CMO

 

Caa1/NR

 

3,603,926

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

 

 

431

 

5.50%, 3/25/36

 

Caa3/NR

 

312,208

 

2,185

 

5.75%, 3/25/37

 

Caa3/CCC

 

1,715,147

 

1,357

 

6.50%, 8/25/36

 

Ca/CC

 

848,168

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

 

 

858

 

5.362%, 9/20/36, VRN

 

Ca/CC

 

519,969

 

3,541

 

5.50%, 10/25/35

 

Caa1/NR

 

3,441,041

 

3,589

 

5.75%, 3/25/37

 

NR/CCC

 

3,170,476

 

1,800

 

6.00%, 2/25/37

 

NR/CCC

 

1,552,856

 

1,600

 

6.00%, 3/25/37

 

NR/CCC

 

1,405,422

 

816

 

6.00%, 4/25/37

 

NR/CCC

 

758,728

 

15,000

 

6.00%, 5/25/37

 

Caa3/NR

 

12,052,402

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

 

 

1,742

 

6.00%, 2/25/37

 

NR/CCC

 

1,568,493

 

4,473

 

6.00%, 6/25/37

 

NR/D

 

3,952,287

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

 

 

874

 

5.50%, 5/25/36

 

NR/CCC

 

768,105

 

9,572

 

6.00%, 2/25/36

 

NR/CCC

 

9,048,496

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

 

 

5,078

 

5.00%, 3/25/37

 

NR/CCC

 

4,143,254

 

2,409

 

5.639%, 1/25/37, VRN

 

Caa2/NR

 

1,949,718

 

871

 

6.00%, 8/25/37

 

NR/CCC

 

791,746

 

6,211

 

Morgan Stanley Mortgage Loan Trust, 6.00%, 2/25/36, CMO

 

Caa2/CCC

 

5,436,858

 

1,472

 

Residential Accredit Loans, Inc., 0.443%, 5/25/37, CMO, FRN

 

C/CCC

 

409,610

 

3,474

 

Residential Asset Mortgage Products, Inc., 6.50%, 12/25/31, CMO

 

NR/BB-

 

3,474,634

 

1,083

 

Residential Asset Securitization Trust, 6.00%, 9/25/36, CMO

 

Ca/D

 

647,421

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

 

 

2,800

 

6.00%, 1/25/37

 

Caa2/NR

 

2,448,159

 

3,832

 

6.25%, 8/25/36

 

Caa1/CCC

 

3,459,421

 

1,185

 

Sequoia Mortgage Trust, 5.065%, 2/20/47, CMO, VRN

 

NR/CCC

 

1,011,295

 

1,387

 

Suntrust Adjustable Rate Mortgage Loan Trust, 5.825%, 2/25/37, CMO, FRN

 

NR/CCC

 

1,046,672

 

 

 

WaMu Mortgage Pass Through Certificates, CMO,

 

 

 

 

 

1,372

 

5.569%, 7/25/37, VRN

 

NR/CC

 

974,170

 

15,860

 

5.673%, 7/25/37, FRN

 

NR/CCC

 

13,991,418

 

2,000

 

5.707%, 2/25/37, FRN

 

NR/CCC

 

1,741,440

 

827

 

5.848%, 9/25/36, VRN

 

NR/CCC

 

649,565

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

14

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.11

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2011 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

 

 

Washington Mutual Alternative Mortgage Pass Through Certificates, CMO, FRN,

 

 

 

 

 

$1,526

 

1.066%, 4/25/47

 

C/CCC

 

$322,164

 

1,461

 

1.146%, 5/25/47

 

C/CCC

 

415,205

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

 

 

1,498

 

2.739%, 7/25/36, FRN

 

NR/CCC

 

1,230,100

 

761

 

2.772%, 4/25/36, VRN

 

NR/BB+

 

651,355

 

280

 

3.329%, 5/25/36, FRN

 

Caa2/NR

 

225,246

 

8,397

 

4.776%, 7/25/36, FRN

 

NR/CCC

 

6,993,212

 

4,679

 

4.958%, 10/25/36, FRN

 

NR/CCC

 

3,875,447

 

1,800

 

6.00%, 7/25/37

 

B3/BB

 

1,710,849

 

5,700

 

6.00%, 8/25/37

 

Caa1/NR

 

5,431,202

 

Total Mortgage-Backed Securities (cost-$114,044,817)

 

 

 

123,854,492

 

 

 

 

 

 

 

 

 

MUNICIPAL BONDS – 10.2%

 

 

 

 

 

 

 

 

 

 

 

California – 5.5%

 

 

 

 

 

9,000

 

Alameda Cnty. JT Powers Auth. Rev., 7.046%, 12/1/44

 

A1/AA

 

9,256,860

 

7,700

 

Los Angeles Cnty. Public Works Financing Auth. Rev., 7.618%, 8/1/40

 

A1/A+

 

8,327,550

 

2,400

 

Oakland Unified School Dist., Alameda Cnty., GO, 9.50%, 8/1/34

 

A2/NR

 

2,641,056

 

20,000

 

State Public Works Board Rev., 8.361%, 10/1/34, Ser. G-2

 

A2/BBB+

 

21,313,600

 

7,400

 

Stockton Public Financing Auth. Rev., 7.942%, 10/1/38, Ser. B

 

NR/A

 

7,628,364

 

 

 

 

 

 

 

49,167,430

 

Colorado – 0.6%

 

 

 

 

 

5,000

 

Public Schools, CP, 7.017%, 12/15/37, Ser. B

 

Aa3/A+

 

5,346,200

 

Louisiana – 0.2%

 

 

 

 

 

 

 

New Orleans, Public Improvements, GO, Ser. A,

 

 

 

 

 

800

 

8.30%, 12/1/29

 

A3/BBB

 

849,728

 

820

 

8.55%, 12/1/34

 

A3/BBB

 

854,219

 

300

 

8.80%, 12/1/39

 

A3/BBB

 

315,606

 

 

 

 

 

 

 

2,019,553

 

Ohio – 1.9%

 

 

 

 

 

14,000

 

American Municipal Power-Ohio, Inc. Rev., 8.084%, 2/15/50, Ser. B

 

A3/A

 

16,397,360

 

Texas – 2.0%

 

 

 

 

 

17,200

 

North Texas Tollway Auth. Rev., 8.91%, 2/1/30

 

Baa3/NR

 

17,980,364

 

Total Municipal Bonds (cost-$86,613,886)

 

 

 

90,910,907

 

 

 

 

 

 

 

 

 

SENIOR LOANS (a) (c) – 2.4%

 

 

 

 

 

 

 

 

 

 

 

Financial Services – 2.4%

 

 

 

 

 

20,000

 

American General Finance Corp., 7.25%, 4/21/15

 

 

 

20,065,280

 

1,078

 

CIT Group, Inc., 6.25%, 8/11/15, Term 3

 

 

 

1,095,358

 

Total Senior Loans (cost-$20,862,126)

 

 

 

21,160,638

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

 

4.30.11 | 

PIMCO Income Opportunity Fund Semi-Annual Report

15

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2011 (unaudited) (continued)

 

Shares

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

PREFERRED STOCK – 2.3%

 

 

 

 

 

 

 

 

 

 

 

Banking – 0.2%

 

 

 

 

 

30,200

 

CoBank Acb, 11.00%, 7/1/13, Ser. C (a) (b) (d) (g) (j) (acquisition cost-$1,678,450; purchased 2/26/10-2/1/11)

 

NR/A

 

$1,590,267

 

Financial Services – 2.1%

 

 

 

 

 

100,000

 

Citigroup Capital XIII, 7.875%, 10/30/15 (k)

 

NR/BB+

 

2,776,000

 

100,000

 

Ally Financial, Inc., 8.50%, 5/15/16, Ser. A (g)

 

Caa1/CC

 

2,612,000

 

512,000

 

GMAC Capital Trust I, 8.125%, 2/15/16 (k)

 

B3/CC

 

13,376,000

 

 

 

 

 

 

 

18,764,000

 

Total Preferred Stock (cost-$19,478,450)

 

 

 

20,354,267

 

 

 

 

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK – 2.2%

 

 

 

 

 

 

 

 

 

 

 

Financial Services – 1.0%

 

 

 

 

 

8,050

 

Wells Fargo & Co., 7.50%, 3/15/13, Ser. L (g)

 

Baa3/A-

 

8,689,814

 

Insurance – 0.1%

 

 

 

 

 

195,785

 

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

 

Baa2/NR

 

587,355

 

Utilities – 1.1%

 

 

 

 

 

 

 

PPL Corp.,

 

 

 

 

 

103,400

 

8.75%, 5/1/14

 

NR/NR

 

5,552,580

 

90,000

 

9.50%, 7/1/13

 

NR/NR

 

5,101,200

 

 

 

 

 

 

 

10,653,780

 

Total Convertible Preferred Stock (cost-$16,680,080)

 

 

 

19,930,949

 

 

 

 

 

 

 

Principal
 Amount
    (000s)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS – 0.7%

 

 

 

 

 

 

 

 

 

 

 

Brazil – 0.7%

 

 

 

 

 

BRL8,400

 

Brazil Government International Bond, 12.50%, 1/5/22 (cost-$4,883,650)

 

Baa3/BBB-

 

6,492,753

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES – 0.3%

 

 

 

 

 

$2,382

 

GSAA Trust, 6.295%, 6/25/36

 

Caa3/CCC

 

1,453,024

 

1,581

 

Morgan Stanley Mortgage Loan Trust, 6.25%, 7/25/47, VRN

 

Caa2/CCC

 

1,111,435

 

Total Asset-Backed Securities (cost-$2,377,568)

 

 

2,564,459

 

 

 

 

 

 

SHORT-TERM INVESTMENTS – 1.3%

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations (h) (l) – 0.3%

 

 

 

 

 

 

 

U.S. Treasury Bills,

 

 

 

 

 

2,908

 

0.127%-0.173%, 8/4/11-9/15/11 (cost-$2,906,689)

 

 

 

2,907,443

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

16

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.11

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

April 30, 2011 (unaudited) (continued)

 

Principal
Amount
(000s)

 

 

 

 

Credit Rating (Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

Corporate Notes – 0.3%

 

 

 

 

 

 

 

 

 

 

 

Financial Services – 0.1%

 

 

 

 

 

 

 

Ally Financial, Inc., FRN,

 

 

 

 

 

$265

 

1.992%, 6/15/11

 

B1/B

 

$265,339

 

90

 

2.042%, 9/15/11

 

B1/B

 

90,098

 

130

 

2.142%, 12/15/11

 

B1/B

 

129,134

 

50

 

2.151%, 1/16/12

 

B1/B

 

49,631

 

115

 

2.251%, 1/17/12

 

B1/B

 

114,229

 

149

 

2.342%, 12/15/11

 

B1/B

 

148,188

 

100

 

2.382%, 2/15/12

 

B1/B

 

99,275

 

76

 

2.532%, 2/15/12

 

B1/B

 

75,536

 

40

 

2.592%, 3/15/12

 

B1/B

 

39,759

 

 

 

 

 

 

 

1,011,189

 

Utilities – 0.2%

 

 

 

 

 

849

 

East Coast Power LLC, 7.066%, 3/31/12 (i)

 

Baa3/BBB

 

860,536

 

Total Corporate Notes (cost-$1,835,033)

 

 

 

1,871,725

 

 

 

 

 

 

 

Repurchase Agreements – 0.7%

 

 

 

 

 

5,500

 

Barclays Capital, Inc., dated 4/29/11, 0.05%, due 5/2/11, proceeds $5,500,023; collateralized by Ginnie Mae, 4.50%, due 9/20/40, valued at $5,643,668 including accrued interest

 

 

 

5,500,000

 

1,098

 

State Street Bank & Trust Co., dated 4/29/11, 0.01%, due 5/2/11, proceeds $1,098,001; collateralized by U.S. Treasury Bills, 0.025%, due 7/21/11, valued at $1,124,935

 

 

 

1,098,000

 

Total Repurchase Agreements (cost-$6,598,000)

 

 

 

6,598,000

 

Total Short-Term Investments (cost-$11,339,722)

 

 

 

11,377,168

 

Total Investments (cost-$769,880,749) – 100.0%

 

 

 

$892,687,822

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

 

4.30.11 | 

PIMCO Income Opportunity Fund Semi-Annual Report

17

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

April 30, 2011 (unaudited)

 

Principal
Amount
(000s)

 

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

MORTGAGE-BACKED SECURITIES – 92.8%

 

 

 

 

 

 

 

 

 

 

 

 

 

$421

 

Adjustable Rate Mortgage Trust, 2.956%, 1/25/36, CMO, VRN

 

Caa3/CCC

 

$302,799

 

£400

 

Auburn Securities PLC, 1.021%, 10/1/41, CMO, FRN

 

Aaa/AAA

 

597,222

 

$688

 

Banc of America Alternative Loan Trust, 6.25%, 1/25/37, CMO

 

C/NR

 

93,110

 

 

 

Banc of America Commercial Mortgage, Inc., CMO,

 

 

 

 

 

2,600

 

5.802%, 6/10/49, VRN (i)

 

Aa3/A-

 

2,802,519

 

3,000

 

5.889%, 7/10/44, VRN (i)

 

NR/A+

 

3,320,014

 

863

 

5.918%, 4/11/36, (a) (d)

 

NR/AA-

 

733,584

 

 

 

Banc of America Funding Corp., CMO,

 

 

 

 

 

467

 

2.627%, 12/20/36, VRN

 

Ba3/AAA

 

448,533

 

3,343

 

2.874%, 3/20/36, FRN

 

Caa2/B-

 

2,472,689

 

2,480

 

2.949%, 12/20/34, VRN

 

NR/A-

 

1,724,707

 

625

 

3.085%, 12/20/34, VRN

 

NR/BB+

 

424,151

 

2,204

 

5.948%, 10/20/46, FRN

 

NR/CCC

 

1,479,164

 

 

 

Banc of America Large Loan, Inc., CMO, FRN (a) (d),

 

 

 

 

 

5,000

 

0.969%, 8/15/29 (i)

 

Aaa/AA

 

4,684,976

 

2,944

 

1.969%, 11/15/15

 

NR/NR

 

2,814,902

 

 

 

Banc of America Mortgage Securities, Inc., CMO,

 

 

 

 

 

130

 

2.866%, 6/25/35

 

Caa1/NR

 

103,468

 

1,385

 

2.866%, 6/25/35, FRN

 

B2/NR

 

1,293,885

 

535

 

3.166%, 9/25/34, FRN

 

Ba2/NR

 

498,612

 

440

 

3.202%, 10/20/46, FRN

 

NR/CCC

 

245,034

 

2,588

 

5.079%, 6/25/35, FRN

 

B3/NR

 

2,356,968

 

1,115

 

5.50%, 4/25/34

 

NR/AAA

 

1,115,702

 

1,420

 

5.75%, 8/25/34 (i)

 

NR/AAA

 

1,481,745

 

€1,831

 

Bancaja Fondo de Titulizacion de Activos, 1.198%, 5/22/50, CMO, FRN

 

Aa3/AA

 

2,200,947

 

 

 

BCAP LLC Trust, CMO (a) (d),

 

 

 

 

 

$2,532

 

5.00%, 11/26/37, VRN (i)

 

NR/BBB

 

2,483,435

 

550

 

5.059%, 3/26/36, FRN

 

NR/NR

 

510,699

 

 

 

Bear Stearns Adjustable Rate Mortgage Trust, CMO,

 

 

 

 

 

1,623

 

2.75%, 5/25/34, FRN (i)

 

A2/A+

 

1,593,752

 

2,058

 

2.845%, 10/25/36, VRN

 

NR/CCC

 

1,409,405

 

224

 

2.950%, 9/25/34, VRN

 

Baa2/AA

 

170,732

 

947

 

2.973%, 1/25/35, FRN

 

Aa2/AA+

 

880,338

 

2,226

 

5.260%, 3/25/35, VRN

 

Caa1/BB-

 

1,998,288

 

342

 

5.442%, 9/25/34, VRN

 

A2/AA-

 

338,141

 

976

 

5.609%, 8/25/47, VRN

 

NR/CCC

 

704,519

 

742

 

5.789%, 6/25/47, VRN

 

NR/CCC

 

625,420

 

 

 

Bear Stearns Alt-A Trust, CMO,

 

 

 

 

 

3,804

 

0.373%, 6/25/46, FRN

 

Ca/D

 

1,732,919

 

2,182

 

0.563%, 1/25/35, FRN (i)

 

Baa2/AAA

 

1,828,071

 

1,278

 

0.813%, 6/25/34, FRN (i)

 

Baa3/AAA

 

1,011,617

 

648

 

2.658%, 4/25/35, VRN

 

Ca/CCC

 

472,621

 

1,075

 

2.835%, 5/25/35, VRN

 

Caa2/B-

 

660,131

 

1,893

 

2.987%, 5/25/36, VRN

 

Ca/CC

 

1,164,346

 

2,043

 

3.003%, 9/25/34, FRN (i)

 

B1/AAA

 

1,614,021

 

1,154

 

3.389%, 9/25/34, VRN (i)

 

A2/AAA

 

970,691

 

7,400

 

4.260%, 8/25/36, VRN

 

Ca/D

 

4,604,115

 

673

 

5.029%, 7/25/35, FRN

 

Caa3/CCC

 

480,759

 

1,410

 

5.238%, 11/25/36, VRN

 

Caa3/CCC

 

933,643

 

133

 

5.518%, 11/25/35, VRN

 

Caa3/CCC

 

100,283

 

1,245

 

5.969%, 8/25/36, VRN

 

Caa3/CCC

 

841,668

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

18

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.11

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

April 30, 2011 (unaudited) (continued)

 

Principal
Amount
(000s)

 

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

 

 

Bear Stearns Commercial Mortgage Securities, CMO (i),

 

 

 

 

 

$2,256

 

0.329%, 3/15/19, FRN (a) (d)

 

Aaa/AA

 

$2,224,454

 

1,000

 

5.694%, 6/11/50, VRN

 

NR/A+

 

1,102,925

 

2,500

 

5.810%, 3/13/40, VRN (a) (d)

 

NR/BBB+

 

2,175,052

 

4,200

 

5.906%, 6/11/40, VRN

 

Aaa/NR

 

4,651,517

 

1,518

 

7.00%, 5/20/30, VRN

 

Aaa/AAA

 

1,678,396

 

£681

 

Bluestone Securities PLC, 1.028%, 6/9/43, CMO, FRN

 

NR/AAA

 

1,014,628

 

$4,784

 

CBA Commercial Small Balance Commercial Mortgage, 5.54%, 1/25/39, CMO (a) (d)

 

C/CCC+

 

2,534,920

 

 

 

Chase Mortgage Finance Corp., CMO,

 

 

 

 

 

2,919

 

5.50%, 11/25/21

 

Caa1/CCC

 

2,761,955

 

2,600

 

6.00%, 3/25/37

 

Caa3/CCC

 

2,203,119

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO,

 

 

 

 

 

1,191

 

2.828%, 3/25/37, VRN

 

NR/CCC

 

826,877

 

1,075

 

5.50%, 11/25/35

 

NR/CCC

 

881,819

 

5,500

 

Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 12/11/49, CMO (i)

 

Aaa/A-

 

5,914,164

 

2,030

 

Commercial Mortgage Pass Through Certificates, 5.306%, 12/10/46, CMO (i)

 

Aaa/NR

 

2,198,809

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

 

 

1,791

 

0.408%, 12/20/46, FRN

 

Ca/CCC

 

1,016,859

 

1,999

 

0.463%, 6/25/37, FRN

 

Ca/NR

 

942,867

 

4,367

 

0.563%, 5/25/36, FRN

 

Caa3/CCC

 

2,464,877

 

4,357

 

0.584%, 11/20/35, FRN

 

Caa3/CCC

 

2,699,930

 

685

 

5.50%, 10/25/35

 

Caa2/CCC

 

613,060

 

722

 

6.00%, 11/25/35

 

Caa3/CCC

 

475,290

 

842

 

6.00%, 4/25/36

 

Caa3/CCC