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OMB Number:

3235-0570

 

 

Expires:

January 31, 2014

 

UNITED STATES

Estimated average burden hours per response. . . . . . . . . . . . . . . . .20.6

 

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:

October 31, 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

 

 

October 31, 2011

 

 

PIMCO Corporate Income Fund

PIMCO Income Opportunity Fund

 

 


 

Contents

 

 

 

Letter to Shareholders

2-3

 

 

Fund Insights

4-6

 

 

Performance & Statistics

7-8

 

 

Schedules of Investments

9-29

 

 

Statements of Assets and Liabilities

30

 

 

Statements of Operations

31

 

 

Statements of Changes in Net Assets

32-33

 

 

Statements of Cash Flows

34

 

 

Notes to Financial Statements

35-59

 

 

Financial Highlights

60-61

 

 

Report of Independent Registered Public Accounting Firm

62

 

 

Annual Shareholder Meeting Results/ Change to Board of Trustees/Change in Investment Policy

63

 

 

Tax Information/Proxy Voting Policies & Procedures

64

 

 

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

65-69

 

 

Privacy Policy

70

 

 

Dividend Reinvestment Plan

71

 

 

Board of Trustees

72-73

 

 

Fund Officers

74

 

 

PIMCO Corporate Income Fund                            

1

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

Dear Shareholder:

 

Economic uncertainty, geopolitical turmoil and extraordinary market volatility defined the twelve-month fiscal period ended October 31, 2011. Despite this litany of troubles, the U.S. economy expanded, and corporate balance sheets remained quite robust, as the recovery that began in 2009 moved into its third consecutive year.

 

Twelve Months in Review

 

For the twelve-month fiscal period ended October 31, 2011:

 

·  PIMCO Corporate Income Fund declined 1.37% on net asset value (“NAV”) and rose 4.78% on market price.

 

·  PIMCO Income Opportunity Fund increased 3.87% on NAV and 11.68% on market price.

 

Gross domestic product (“GDP”), the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, moved higher at an annual rate of 2.3% as the fiscal period began. The annual rate slowed to 0.4% between January and March 2011, a period marked by turmoil in the Middle East and a nuclear disaster in Japan. GDP picked up over the remainder of the period, however, expanding at a rate of 1.3% for the April to June 2011 period and to a 2.0% annual pace between July and September 2011.

 

July to September witnessed an unprecedented event in the United States — the downgrading of the U.S. government’s long-term credit rating from AAA to AA+. This downgrade by Standard & Poor’s, a leading credit rating agency, reflected a lack of confidence in the ability of Congress and the Obama administration to tame America’s worsening fiscal situation. Other credit ratings agencies, while expressing similar concerns, maintained their top ratings for U.S. government debt.

 

Hans W. Kertess
Chairman

 

Brian S. Shlissel
President & CEO

 

During the twelve-month period, the Federal Reserve (“the Fed”) ended a second round of quantitative easing designed to stimulate the economy, but soon embarked upon a third effort. The latest initiative, dubbed “Operation Twist,” involves the selling of $400 billion of short-term Treasury securities in exchange for a similar amount of longer-term bonds. The Fed has indicated this move is aimed at lowering longer-term bond yields while maintaining short-term rates at their current and historically low levels.

 

Despite the above-mentioned uncertainty, U.S. companies continue to thrive. Corporations have now amassed approximately $2 trillion in cash, equal to about 7% of corporate assets, the highest such level

 

 

 

PIMCO Corporate Income Fund

 

2

 

PIMCO Income Opportunity Fund Annual Report | 10.31.11

 


 

since 1963. In addition, record low borrowing costs have enabled many companies to refinance existing obligations at very low rates. Yield spreads between corporate bonds and comparable Treasury securities widened during the fiscal period.

 

Outlook

 

The increasing pace of the U.S. economic expansion has quieted talk of a second recession. Although there are no guarantees, the expansion, according to the Fed, is likely to continue. The Fed maintains the U.S. economy should grow in the 2.5% to 2.9% range during 2012 and between 3.0% to 3.5% in 2013. However, it warns of “significant downside risks to the economic outlook, including strains in global financial markets.” The Fed also estimated that unemployment would remain stubbornly high — above 8.5% through the end of 2012 and above 7.8% at the end of 2013.

 

 

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

 

It is important to note that no fewer than two unresolved matters may threaten this forecast. Europe’s sovereign debt crisis continues to spread. Depending on how it plays out, future yields on many corporate bonds may be affected. In the U.S., the ongoing inability of the federal government to control its own debt crisis is producing similar market uncertainty.

 

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 is 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 & Chief Executive Officer

 

 

PIMCO Corporate Income Fund                            

3

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

PIMCO Corporate Income Fund/PIMCO Income Opportunity Fund Fund Insights
October 31, 2011 (unaudited)

 

 

For the 12 months ended October 31, 2011, PIMCO Corporate Income Fund returned -1.37% on net asset value (“NAV”) and 4.78% on market price.

 

For 12 months ended October 31, 2011, PIMCO Income Opportunity Fund, Inc. returned 3.87% on NAV and 11.68% on market price.

 

While the U.S. fixed income market generated a positive return during the reporting period, there were periods of heightened volatility due to shifting expectations for the economy and periodic flights to quality. Early in the period, expectations for the U.S. economy improved and inflationary concerns emerged. Despite a number of geopolitical challenges, the ongoing European sovereign debt crisis and the devastating earthquake in Japan, most spread sectors (non-U.S. Treasuries) outperformed equal-duration Treasuries during the first half of the reporting period. However, over the second half of the period, the economy decelerated and investor risk appetite was often replaced with risk aversion. Further impacting investor sentiment was an escalation of the European sovereign debt crisis and the downgrade of U.S. government securities. Against this backdrop, Treasury yields moved lower and most spread sectors lagged equal-duration Treasuries. All told, during the 12 months ended October 31, 2011, both short- and long-term Treasury yields declined and the yield curve flattened.

 

Despite a setback when investor risk aversion increased in the third quarter of 2011, the U.S. corporate bond market posted a positive return during the reporting period. 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 12 months ended October 31, 2011.

 

 

 

PIMCO Corporate Income Fund

 

4

 

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Compared to the 5.00% 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 5.17% and 5.95%, respectively (as measured by the Barclays Capital U.S. High Yield and Barclays Capital U.S. Credit Indices) for the 12-month reporting period.

 

Given low interest rates and investors’ search for yield, on a total return basis, lower rated, higher yielding corporate bonds generally outperformed their higher quality, lower yielding counterparts. For example, AAA-, AA-, A- and BBB-rated issues returned -0.18%, 0.63%, 1.56%, and 2.26%, respectively, during the 12 months ended October 31, 2011. The same trend held true in the high yield market, as BB-rated issues returned 4.73%, versus 5.80% for B-rated names.

 

PIMCO Corporate Income Fund

 

Sector positioning and duration drive results

The Fund generated disappointing absolute and relative returns during the reporting period. An overweighting to banks detracted from performance, as the banking sector lagged the 80% Barclays Capital Credit / 20% B of A Merrill Lynch BB/B Index (the “Index”) due to increased European sovereign concerns. Security selection within insurance companies adversely affected for performance, as select life insurance insurers underperformed the broader insurance sector. Elsewhere, an underweight to consumer cyclicals was not rewarded as the sector outperformed the Index during the reporting period. Finally, the Fund’s duration positioning detracted from results. Having a shorter duration than that of the Index during the majority of the reporting period was a negative as interest rates declined during the 12 months ended October 31, 2011.

 

On the upside, the Fund’s overweighting to energy companies was a positive as the sector outperformed the Index during the reporting period. The

 

 

PIMCO Corporate Income Fund                            

5

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

PIMCO Corporate Income Fund/PIMCO Income Opportunity Fund Fund Insights
October 31, 2011 (unaudited) (continued)

 

Fund’s underweighting to telecommunications was also beneficial to performance as the sector lagged the Index.

 

PIMCO Income Opportunity Fund

 

Strong sector positioning enhances performance

The Fund’s overweighting to high grade integrated oil credits added to returns, as energy prices increased during the reporting period. Having an underweight to metals and mining added to returns, as this cyclical sector was negatively impacted by lower global economic growth.

 

The Fund’s underweighting to the food and beverage sector detracted from results, as it benefited from its defensive nature given periods of increased investor risk aversion. The Fund’s overweighting to high quality banking credits was not rewarded, as they were negatively impacted by poor macro economic data and debt challenges in the Eurozone. The Fund’s exposure to senior commercial mortgage-backed securities detracted from results, as the sector underperformed the broader market. Finally, the Fund’s U.S. interest rate strategy was negative for performance. Having a relatively short duration in the U.S. detracted as interest rates declined during the 12 months ended October 31, 2011. In addition, having a yield curve steepening bias was a negative as the curve flattened during the reporting period.

 

 

 

PIMCO Corporate Income Fund

 

6

 

PIMCO Income Opportunity Fund Annual Report | 10.31.11

 

 


 

PIMCO Corporate Income Fund Performance & Statistics

October 31, 2011 (unaudited)

 

 

Total Return(1):

 

Market Price

NAV

1 Year

 

4.78%

-1.37%

5 Year

 

11.29%

10.86%

Commencement of Operations (12/21/01) to 10/31/11

 

11.36%

11.02%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (12/21/01) to 10/31/11

Market Price

 

$15.27

 

NAV

 

$13.67

 NAV

Premium to NAV

 

11.70%

 Market Price

Market Price Yield(2) 

 

8.35%

 

 

 

 

 

 

Moody’s Ratings

(as a % of total investments)

 

 

 

 

 

 

PIMCO Corporate Income Fund                            

7

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

PIMCO Income Opportunity Fund Performance & Statistics

October 31, 2011 (unaudited)

 

 

Total Return(1):

 

Market Price

NAV

1 Year

 

11.68%

3.87%

3 Year

 

27.02%

24.62%

Commencement of Operations (11/30/07) to 10/31/11

 

12.87%

12.19%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (11/30/07) to 10/31/11

Market Price

 

$26.45

 

NAV

 

$24.62

 NAV

Premium to NAV

 

7.43%

 Market Price

Market Price Yield(2) 

 

8.62%

 

 

 

 

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 more than one year represents the average annual total return.

 

Performance at market price will differ from 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 the Funds’ 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 one time 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 October 31, 2011.

 

 

PIMCO Corporate Income Fund

 

8

 

PIMCO Income Opportunity Fund Annual Report | 10.31.11

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2011

 

Principal
 Amount
    (000s)

 

 

 

Value

 

CORPORATE BONDS & NOTES – 59.5%

 

 

 

 

 

 

 

Airlines – 2.0%

 

 

 

$1,877

 

American Airlines Pass Through Trust, 10.375%, 1/2/21

 

$2,018,027

 

1,862

 

Continental Airlines Pass Through Trust, 9.798%, 10/1/22

 

1,917,741

 

7,998

 

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

 

7,757,466

 

 

 

United Air Lines Pass Through Trust,

 

 

 

1,371

 

7.336%, 1/2/21 (a) (b) (d) (k) (acquisition cost-$1,371,062; purchased 6/19/07)

 

1,233,956

 

2,727

 

10.40%, 5/1/18

 

3,013,735

 

 

 

 

 

15,940,925

 

Automotive – 0.2%

 

 

 

1,500

 

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

 

1,920,000

 

Banking – 8.7%

 

 

 

4,000

 

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

 

3,180,000

 

2,400

 

AgFirst Farm Credit Bank, 7.30%, 11/28/11 (a) (b) (d) (g) (k)
(acquisition cost-$1,904,000; purchased 2/26/10-3/2/10)

 

2,373,778

 

1,150

 

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

 

1,052,250

 

 

 

Barclays Bank PLC,

 

 

 

4,600

 

7.434%, 12/15/17 (a) (d) (g) (j)

 

4,324,000

 

7,760

 

10.179%, 6/12/21 (a) (d)

 

8,779,897

 

£200

 

14.00%, 6/15/19 (g)

 

374,802

 

$5,000

 

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

 

4,655,115

 

25,290

 

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

 

30,685,267

 

2,000

 

HBOS PLC, 6.75%, 5/21/18 (a) (d) (j)

 

1,745,038

 

1,000

 

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

 

1,262,500

 

€4,100

 

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

 

4,226,512

 

 

 

Regions Financial Corp.,

 

 

 

$1,900

 

7.375%, 12/10/37

 

1,577,000

 

3,400

 

7.75%, 11/10/14

 

3,544,500

 

£1,200

 

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

 

1,900,538

 

 

 

 

 

69,681,197

 

Building & Construction – 0.3%

 

 

 

$1,000

 

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

 

1,007,500

 

1,700

 

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

 

1,714,510

 

 

 

 

 

2,722,010

 

Consumer Products – 0.2%

 

 

 

1,700

 

Reynolds Group Issuer, Inc., 9.00%, 4/15/19 (a) (d)

 

1,649,000

 

Energy – 0.3%

 

 

 

4,300

 

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

 

2,494,000

 

Financial Services – 28.6%

 

 

 

2,300

 

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

 

1,046,500

 

 

 

Ally Financial, Inc.,

 

 

 

240

 

5.35%, 1/15/14

 

230,950

 

70

 

5.75%, 1/15/14

 

67,920

 

372

 

5.85%, 6/15/13

 

365,596

 

225

 

6.00%, 7/15/13

 

221,498

 

34

 

6.00%, 3/15/19

 

29,991

 

494

 

6.00%, 9/15/19

 

432,906

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund                            

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10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

$492

 

6.05%, 8/15/19

 

$432,707

 

659

 

6.125%, 10/15/19

 

581,673

 

343

 

6.15%, 9/15/19

 

303,523

 

5

 

6.15%, 10/15/19

 

4,421

 

10

 

6.20%, 4/15/19

 

8,922

 

517

 

6.25%, 12/15/18

 

461,880

 

10

 

6.25%, 4/15/19

 

8,937

 

182

 

6.25%, 5/15/19

 

162,494

 

10

 

6.25%, 7/15/19

 

8,923

 

620

 

6.30%, 8/15/19

 

554,447

 

210

 

6.35%, 5/15/13

 

208,092

 

5

 

6.35%, 7/15/19

 

4,490

 

158

 

6.40%, 12/15/18

 

142,411

 

133

 

6.50%, 2/15/16

 

124,876

 

771

 

6.50%, 6/15/18

 

701,077

 

666

 

6.50%, 11/15/18

 

603,659

 

879

 

6.50%, 12/15/18

 

796,748

 

11

 

6.50%, 5/15/19

 

9,987

 

55

 

6.50%, 1/15/20

 

49,613

 

78

 

6.60%, 5/15/18

 

70,902

 

476

 

6.65%, 6/15/18

 

436,904

 

770

 

6.65%, 10/15/18

 

707,476

 

682

 

6.70%, 6/15/18

 

627,694

 

250

 

6.70%, 11/15/18

 

229,507

 

499

 

6.70%, 12/15/19

 

456,334

 

195

 

6.75%, 8/15/16

 

183,836

 

10

 

6.75%, 6/15/17

 

9,438

 

26

 

6.75%, 3/15/18

 

23,860

 

554

 

6.75%, 7/15/18

 

510,848

 

113

 

6.75%, 9/15/18

 

103,983

 

432

 

6.75%, 10/15/18

 

396,834

 

125

 

6.75%, 11/15/18

 

115,011

 

293

 

6.75%, 5/15/19

 

269,822

 

209

 

6.75%, 6/15/19

 

192,511

 

682

 

6.80%, 9/15/18

 

629,337

 

135

 

6.80%, 10/15/18

 

124,484

 

30

 

6.85%, 5/15/18

 

27,661

 

80

 

6.875%, 7/15/18

 

74,215

 

133

 

6.90%, 6/15/17

 

126,490

 

535

 

6.90%, 7/15/18

 

497,389

 

320

 

6.90%, 8/15/18

 

297,275

 

10

 

7.00%, 8/15/16

 

9,525

 

133

 

7.00%, 2/15/18

 

124,099

 

2,262

 

7.00%, 5/15/18

 

2,102,448

 

60

 

7.00%, 8/15/18

 

56,041

 

975

 

7.00%, 9/15/18

 

909,066

 

560

 

7.00%, 11/15/23

 

495,179

 

107

 

7.05%, 3/15/18

 

100,498

 

1,771

 

7.05%, 4/15/18

 

1,651,590

 

105

 

7.125%, 10/15/17

 

99,431

 

148

 

7.15%, 6/15/16

 

142,019

 

143

 

7.15%, 9/15/18

 

134,537

 

210

 

7.15%, 1/15/25

 

189,044

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

10

 

PIMCO Income Opportunity Fund Annual Report | 10.31.11

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

$270

 

7.25%, 9/15/17

 

$257,773

 

214

 

7.25%, 4/15/18

 

201,520

 

1,515

 

7.25%, 8/15/18

 

1,433,073

 

385

 

7.25%, 9/15/18

 

364,200

 

50

 

7.25%, 3/15/25

 

44,872

 

227

 

7.30%, 12/15/17

 

215,455

 

61

 

7.30%, 1/15/18

 

57,865

 

12,781

 

7.375%, 11/15/16

 

12,782,035

 

80

 

7.375%, 4/15/18

 

75,879

 

20

 

7.40%, 12/15/17

 

19,183

 

16

 

7.50%, 11/15/16

 

15,641

 

45

 

7.50%, 11/15/17

 

44,132

 

23

 

7.50%, 12/15/17

 

22,050

 

27

 

7.625%, 11/15/12

 

27,052

 

266

 

9.00%, 7/15/20

 

265,922

 

2,000

 

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

 

1,987,500

 

€1,500

 

American General Finance Corp., 4.125%, 11/29/13

 

1,730,843

 

$5,000

 

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

 

3,075,000

 

 

 

BNP Paribas S.A. (g),

 

 

 

6,700

 

7.195%, 6/25/37 (a) (d) (j)

 

5,628,000

 

€350

 

7.781%, 7/2/18

 

428,601

 

$3,300

 

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

 

1,782,000

 

1,790

 

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

 

2,134,299

 

1,500

 

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

 

1,561,875

 

3,300

 

Capital One Capital VI, 8.875%, 5/15/40 (j)

 

3,450,790

 

1,235

 

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

 

1,298,992

 

500

 

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

 

441,900

 

 

 

CIT Group, Inc.,

 

 

 

280

 

7.00%, 5/1/15

 

280,264

 

467

 

7.00%, 5/1/16

 

467,690

 

653

 

7.00%, 5/1/17

 

653,950

 

21,500

 

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

 

21,768,750

 

 

 

Citigroup, Inc.,

 

 

 

CAD1,300

 

5.365%, 3/6/36 (a) (b) (k) (acquisition cost-$1,126,438; purchased 5/19/11)

 

994,401

 

$300

 

6.125%, 8/25/36

 

295,196

 

 

 

Credit Agricole S.A. (g),

 

 

 

2,800

 

6.637%, 5/31/17 (a) (d) (j)

 

1,919,400

 

€2,000

 

7.875%, 10/26/19

 

2,379,964

 

$6,000

 

8.375%, 10/13/19 (a) (d) (j)

 

5,310,000

 

£500

 

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

 

727,575

 

 

 

Goldman Sachs Group, Inc.,

 

 

 

$4,000

 

6.45%, 5/1/36 (j)

 

3,819,468

 

7,000

 

6.75%, 10/1/37

 

6,789,825

 

 

 

International Lease Finance Corp.,

 

 

 

1,500

 

5.65%, 6/1/14

 

1,447,500

 

2,900

 

6.75%, 9/1/16 (a) (d) (j)

 

2,997,875

 

1,000

 

8.625%, 9/15/15

 

1,053,750

 

11,000

 

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

 

11,884,224

 

4,100

 

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

 

4,259,519

 

 

 

LBG Capital No.1 PLC,

 

 

 

€300

 

7.375%, 3/12/20

 

332,088

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund                            

11

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

£100

 

7.588%, 5/12/20

 

$135,064

 

£200

 

7.867%, 12/17/19

 

271,650

 

£400

 

7.869%, 8/25/20

 

540,255

 

$12,700

 

7.875%, 11/1/20 (a) (d)

 

11,049,000

 

17,500

 

8.00%, 6/15/20 (a) (d) (g)

 

14,612,500

 

8,500

 

8.50%, 12/17/21 (a) (d) (g)

 

5,822,500

 

£300

 

11.04%, 3/19/20

 

477,546

 

 

 

LBG Capital No.2 PLC,

 

 

 

€400

 

8.875%, 2/7/20

 

478,760

 

£3,100

 

9.125%, 7/15/20

 

4,137,128

 

£500

 

9.334%, 2/7/20

 

707,476

 

$13,000

 

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

 

3,412,500

 

5,200

 

PNC Financial Services Group, Inc., 6.75%, 8/1/21 (g)

 

5,218,548

 

4,100

 

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

 

2,900,750

 

 

 

SLM Corp.,

 

 

 

5,900

 

8.00%, 3/25/20

 

6,150,750

 

19,500

 

8.45%, 6/15/18 (j)

 

20,739,244

 

€4,000

 

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

 

3,766,431

 

 

 

Springleaf Finance Corp.,

 

 

 

$2,200

 

5.40%, 12/1/15

 

1,727,000

 

500

 

6.50%, 9/15/17

 

373,750

 

3,000

 

6.90%, 12/15/17

 

2,302,500

 

12,100

 

Wachovia Capital Trust III, 5.570%, 11/28/11 (g) (j)

 

10,542,125

 

7,000

 

Wells Fargo & Co., 7.98%, 3/15/18 (g)

 

7,525,000

 

 

 

 

 

229,307,897

 

Healthcare & Hospitals – 1.9%

 

 

 

 

 

HCA, Inc.,

 

 

 

10,000

 

7.875%, 2/15/20

 

10,925,000

 

3,600

 

8.50%, 4/15/19

 

3,978,000

 

 

 

 

 

14,903,000

 

Hotels/Gaming – 0.5%

 

 

 

 

 

MGM Resorts International,

 

 

 

700

 

10.375%, 5/15/14

 

784,000

 

1,050

 

11.125%, 11/15/17

 

1,197,000

 

2,235

 

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

 

2,383,969

 

 

 

 

 

4,364,969

 

Insurance – 13.3%

 

 

 

1,400

 

American General Institutional Capital A, 7.57%, 12/1/45 (a) (d)

 

1,370,250

 

9,000

 

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

 

8,943,750

 

 

 

American International Group, Inc.,

 

 

 

14,000

 

6.25%, 3/15/87 (j)

 

11,655,000

 

MXN16,000

 

7.98%, 6/15/17

 

1,147,591

 

$36,750

 

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

 

35,601,562

 

18,700

 

8.25%, 8/15/18 (j)

 

21,142,744

 

£4,000

 

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

 

5,756,284

 

$5,100

 

Dai-ichi Life Insurance Co., Ltd., 7.25%, 7/25/21 (a) (d) (g) (j)

 

5,235,456

 

2,600

 

Genworth Financial, Inc., 8.625%, 12/15/16

 

2,646,543

 

5,000

 

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

 

5,318,230

 

6,800

 

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

 

8,233,012

 

 

 

 

 

107,050,422

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

12

 

PIMCO Income Opportunity Fund Annual Report | 10.31.11

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

Metals & Mining – 0.6%

 

 

 

$200

 

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

 

$214,233

 

4,000

 

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

 

4,310,000

 

 

 

 

 

4,524,233

 

Paper/Paper Products – 0.1%

 

 

 

850

 

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

 

463,250

 

Telecommunications – 1.9%

 

 

 

8,200

 

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

 

8,508,161

 

5,360

 

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

 

5,306,400

 

€1,300

 

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

 

1,798,810

 

 

 

 

 

15,613,371

 

Transportation – 0.1%

 

 

 

$666

 

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

 

673,746

 

Utilities – 0.8%

 

 

 

3,900

 

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

 

3,958,500

 

1,700

 

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

 

1,487,500

 

1,100

 

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

 

1,062,680

 

 

 

 

 

6,508,680

 

Total Corporate Bonds & Notes (cost-$435,862,921)

 

477,816,700

 

 

 

 

 

MUNICIPAL BONDS – 16.9%

 

 

 

 

 

 

 

California – 8.8%

 

 

 

9,000

 

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

 

10,452,150

 

1,800

 

Long Beach Redev. Agcy., Tax Allocation, 8.36%, 8/1/40

 

1,938,276

 

7,700

 

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

 

9,292,514

 

2,400

 

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

 

2,665,704

 

1,100

 

Riverside Cnty. Dev. Agcy., Tax Allocation, 7.50%, 10/1/30, Ser. A-T

 

1,110,538

 

2,100

 

San Luis Obispo Cnty. Rev., zero coupon, 9/1/27, Ser. C (NPFGC)

 

728,721

 

800

 

San Marcos Unified School Dist., GO, zero coupon, 8/1/29

 

276,392

 

 

 

State Public Works Board Rev.,

 

 

 

5,900

 

7.804%, 3/1/35, Ser. B-2

 

6,488,289

 

20,000

 

8.361%, 10/1/34, Ser. G-2

 

23,549,400

 

5,000

 

State, GO, 7.95%, 3/1/36

 

5,638,100

 

7,400

 

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

 

7,999,030

 

 

 

 

 

70,139,114

 

Colorado – 0.8%

 

 

 

5,000

 

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

 

6,204,300

 

District of Columbia – 1.7%

 

 

 

13,000

 

Metropolitan Airports Auth. Rev., 7.462%, 10/1/46

 

14,027,520

 

Louisiana – 0.3%

 

 

 

 

 

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

 

 

 

800

 

8.30%, 12/1/29

 

889,328

 

820

 

8.55%, 12/1/34

 

894,702

 

300

 

8.80%, 12/1/39

 

330,528

 

 

 

 

 

2,114,558

 

Ohio – 2.3%

 

 

 

14,000

 

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

 

18,848,060

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund                            

13

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

Pennsylvania – 0.1%

 

 

 

$2,000

 

Philadelphia Auth. for Industrial Dev. Rev., zero coupon, 4/15/26, Ser. B (AMBAC)

 

$648,320

 

Texas – 2.9%

 

 

 

4,000

 

Dallas Convention Center Hotel Dev. Corp. Rev., 7.088%, 1/1/42

 

4,358,720

 

17,200

 

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

 

19,194,168

 

 

 

 

 

23,552,888

 

Total Municipal Bonds (cost-$120,669,281)

 

135,534,760

 

 

 

 

 

MORTGAGE-BACKED SECURITIES – 12.7%

 

 

 

1,227

 

American Home Mortgage Assets, 0.475%, 9/25/46, CMO, FRN

 

139,403

 

367

 

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

 

244,141

 

7,600

 

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

 

5,795,179

 

 

 

BCAP LLC Trust, CMO, VRN (a) (d),

 

 

 

2,500

 

5.722%, 3/26/37

 

205,000

 

1,975

 

10.325%, 6/26/36

 

227,166

 

2,758

 

Bear Stearns Alt-A Trust, 2.839%, 11/25/36, CMO, VRN

 

1,380,662

 

1,318

 

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

 

1,315,590

 

 

 

Chase Mortgage Finance Corp., CMO,

 

 

 

11,430

 

2.506%, 3/25/37, FRN

 

8,392,987

 

73

 

3.148%, 12/25/35, FRN

 

70,847

 

3,087

 

6.00%, 7/25/37

 

2,503,287

 

3,705

 

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

 

3,325,707

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

419

 

5.50%, 3/25/36

 

278,686

 

2,129

 

5.75%, 3/25/37

 

1,460,196

 

1,527

 

6.00%, 7/25/37

 

1,180,290

 

1,300

 

6.50%, 8/25/36

 

715,084

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

815

 

2.776%, 9/20/36, VRN

 

422,105

 

3,230

 

5.50%, 10/25/35

 

3,027,889

 

3,128

 

5.75%, 3/25/37

 

2,596,716

 

1,800

 

6.00%, 2/25/37

 

1,469,123

 

1,600

 

6.00%, 3/25/37

 

1,269,778

 

666

 

6.00%, 4/25/37

 

580,570

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

1,672

 

6.00%, 2/25/37

 

1,399,793

 

4,006

 

6.00%, 6/25/37

 

3,436,676

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

764

 

5.50%, 5/25/36

 

617,726

 

9,066

 

6.00%, 2/25/36

 

7,973,878

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

4,729

 

5.00%, 3/25/37

 

3,700,380

 

2,232

 

5.471%, 1/25/37, VRN

 

1,633,875

 

804

 

6.00%, 8/25/37

 

672,918

 

5,831

 

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

 

4,709,176

 

1,377

 

Residential Accredit Loans, Inc., 0.475%, 5/25/37, CMO, FRN

 

301,915

 

3,365

 

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

 

3,371,366

 

1,011

 

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

 

541,642

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

2,732

 

6.00%, 1/25/37

 

2,305,975

 

3,170

 

6.25%, 8/25/36

 

2,501,867

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund

 

14

 

PIMCO Income Opportunity Fund Annual Report | 10.31.11

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

$1,091

 

Sequoia Mortgage Trust, 3.889%, 2/20/47, CMO, VRN

 

$829,368

 

 

 

Suntrust Adjustable Rate Mortgage Loan Trust, CMO, FRN,

 

 

 

2,375

 

5.523%, 4/25/37

 

1,669,339

 

1,276

 

5.810%, 2/25/37

 

831,431

 

 

 

WaMu Mortgage Pass Through Certificates, CMO,

 

 

 

1,283

 

5.342%, 7/25/37, VRN

 

720,527

 

14,743

 

5.533%, 7/25/37, FRN

 

11,771,858

 

2,000

 

5.555%, 2/25/37, FRN

 

1,558,484

 

781

 

5.835%, 9/25/36, VRN

 

550,556

 

 

 

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

 

 

 

1,466

 

0.990%, 4/25/47

 

235,215

 

1,400

 

1.070%, 5/25/47

 

304,566

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

4,216

 

2.614%, 10/25/36, FRN

 

3,108,722

 

7,861

 

2.734%, 7/25/36, FRN

 

5,744,090

 

1,437

 

2.739%, 7/25/36, FRN

 

1,064,566

 

264

 

2.744%, 5/25/36, FRN

 

185,593

 

668

 

2.771%, 4/25/36, VRN

 

517,698

 

1,400

 

5.671%, 10/25/36, VRN

 

1,170,097

 

1,800

 

6.00%, 7/25/37

 

1,697,457

 

Total Mortgage-Backed Securities (cost-$102,138,917)

 

101,727,160

 

 

 

 

 

SENIOR LOANS (a) (c) – 2.3%

 

 

 

 

 

 

 

Financial Services – 2.3%

 

 

20,000

 

Springleaf Financial Funding Company, 5.50%, 5/10/17 (cost-$19,906,480)

 

18,420,840

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

PREFERRED STOCK – 2.1%

 

 

 

 

 

 

 

 

 

Banking – 0.2%

 

 

 

30,200

 

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

 

1,625,138

 

Financial Services – 1.9%

 

 

 

100,000

 

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

 

1,940,000

 

100,000

 

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

 

2,693,000

 

512,000

 

GMAC Capital Trust I, 8.125%, 2/15/16, Ser. 2 (l)

 

10,732,288

 

 

 

 

 

15,365,288

 

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

 

16,990,426

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK – 2.1%

 

 

 

 

 

 

 

Financial Services – 1.1%

 

 

 

8,050

 

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

 

8,502,008

 

Utilities – 1.0%

 

 

 

 

 

PPL Corp.,

 

 

 

53,400

 

8.75%, 5/1/14

 

2,915,106

 

90,000

 

9.50%, 7/1/13

 

5,116,500

 

 

 

 

 

8,031,606

 

Total Convertible Preferred Stock (cost-$12,276,951)

 

16,533,614

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund                            

15

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS – 0.8%

 

 

 

 

 

 

 

 

 

Brazil – 0.8%

 

 

 

BRL8,400

 

Brazilian Government International Bond, 12.50%, 1/5/22 (cost-$4,864,035)

 

$6,103,620

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES – 0.3%

 

 

 

$2,304

 

GSAA Trust, 6.295%, 6/25/36

 

1,198,216

 

1,492

 

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

 

937,457

 

Total Asset-Backed Securities (cost-$2,281,765)

 

2,135,673

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

MUTUAL FUNDS – 0.0%

 

 

 

3,160

 

BlackRock MuniYield Quality Fund II, Inc.

 

39,405

 

7,895

 

BlackRock MuniYield Quality Fund III, Inc.

 

103,503

 

Total Mutual Funds (cost-$137,570)

 

142,908

 

 

 

 

 

Principal
 Amount
    (000s)

 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS – 3.3%

 

 

 

 

 

 

 

Corporate Notes – 0.2%

 

 

 

 

 

 

 

Financial Services – 0.2%

 

 

 

 

 

Ally Financial, Inc.,

 

 

 

$130

 

2.06%, 12/15/11, FRN

 

129,939

 

50

 

2.131%, 1/16/12, FRN

 

49,907

 

115

 

2.231%, 1/17/12, FRN

 

114,807

 

149

 

2.26%, 12/15/11, FRN

 

148,964

 

100

 

2.286%, 2/15/12, FRN

 

99,727

 

76

 

2.436%, 2/15/12, FRN

 

75,824

 

40

 

2.51%, 3/15/12, FRN

 

39,882

 

896

 

6.75%, 7/15/12

 

893,092

 

 

 

 

 

1,552,142

 

Utilities – 0.0%

 

 

 

402

 

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

 

402,830

 

Total Corporate Notes (cost-$1,949,751)

 

1,954,972

 

 

 

 

 

U.S. Treasury Obligations (h) (m) – 0.0%

 

 

 

310

 

U.S. Treasury Bills, 0.023%, 3/22/12 (cost-$309,972)

 

309,960

 

Repurchase Agreements – 3.1%

 

 

 

3,400

 

Bank of America Corp., dated 10/31/11, 0.11%, due 11/1/11, proceeds $3,400,010; collateralized by U.S. Treasury Notes, 0.50%, due 10/15/14, valued at $3,469,375 including accrued interest

 

3,400,000

 

6,600

 

Citigroup Global Markets, Inc., dated 10/31/11, 0.09%, due 11/1/11, proceeds $6,600,017; collateralized by U.S. Treasury Notes, 2.25%, due 1/31/15, valued at $6,748,255 including accrued interest

 

6,600,000

 

9,000

 

Deutsche Bank Securities, Inc., dated 10/31/11, 0.09%, due 11/1/11, proceeds $9,000,023; collateralized by U.S. Treasury Notes, 1.375%, due 11/30/15, valued at $9,213,893 including accrued interest

 

9,000,000

 

 

 

 

 

 

 

 

16

 

PIMCO Corporate Income Fund

 

PIMCO Income Opportunity Fund Annual Report | 10.31.11

 

 

 


 

PIMCO Corporate Income Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

Repurchase Agreements (continued)

 

 

 

$5,000

 

JPMorgan Securities, Inc., dated 10/31/11, 0.12%, due 11/1/11, proceeds $5,000,017; collateralized by Fannie Mae, 0.87%, due 9/12/14, valued at $5,120,778 including accrued interest

 

$5,000,000

 

637

 

State Street Bank & Trust Co., dated 10/31/11, 0.01%, due 11/1/11, proceeds $637,000; collateralized by U.S. Treasury Notes, 4.625%, due 2/15/40, valued at $654,689 including accrued interest

 

637,000

 

Total Repurchase Agreements (cost-$24,637,000)

 

24,637,000

 

Total Short-Term Investments (cost-$26,896,723)

 

26,901,932

 

Total Investments (cost-$744,513,093) – 100.0%

 

$802,307,633

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund                            

17

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

October 31, 2011

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

MORTGAGE-BACKED SECURITIES – 54.4%

 

 

 

$415

 

Adjustable Rate Mortgage Trust, 2.748%, 1/25/36, CMO, VRN

 

$276,855

 

£385

 

Auburn Securities PLC, 1.093%, 10/1/41, CMO, FRN

 

532,572

 

$537

 

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

 

33,925

 

 

 

Banc of America Funding Corp., CMO,

 

 

 

427

 

2.460%, 12/20/36, VRN

 

393,433

 

2,371

 

2.844%, 12/20/34, VRN

 

1,442,643

 

3,108

 

2.866%, 3/20/36, FRN

 

2,052,851

 

581

 

2.995%, 12/20/34, VRN

 

340,817

 

1,947

 

5.946%, 10/20/46, FRN

 

1,052,058

 

2,889

 

Banc of America Large Loan, Inc., 1.993%, 11/15/15, CMO, FRN (a) (d)

 

2,635,892

 

852

 

Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.918%, 4/11/36, CMO (a) (d)

 

714,434

 

 

 

Banc of America Mortgage Securities, Inc., CMO,

 

 

 

408

 

2.340%, 10/20/46, FRN

 

182,360

 

486

 

2.758%, 9/25/34, FRN

 

417,164

 

1,301

 

2.847%, 6/25/35, FRN

 

1,171,752

 

1,349

 

5.75%, 8/25/34

 

1,370,229

 

€1,723

 

Bancaja Fondo de Titulizacion de Activos, 1.655%, 5/22/50, CMO, FRN

 

1,710,431

 

 

 

BCAP LLC Trust, CMO (a) (d),

 

 

 

$2,532

 

5.00%, 11/26/37, VRN

 

2,336,732

 

550

 

5.050%, 3/26/36, FRN

 

485,542

 

 

 

Bear Stearns Adjustable Rate Mortgage Trust, CMO,

 

 

 

208

 

2.623%, 9/25/34, VRN

 

144,041

 

1,946

 

2.670%, 10/25/36, VRN

 

1,219,766

 

903

 

2.700%, 1/25/35, FRN

 

786,321

 

2,044

 

5.244%, 3/25/35, VRN

 

1,826,778

 

285

 

5.470%, 9/25/34, VRN

 

263,140

 

921

 

5.532%, 8/25/47, VRN

 

510,420

 

686

 

5.707%, 6/25/47, VRN

 

489,859

 

 

 

Bear Stearns Alt-A Trust, CMO,

 

 

 

3,487

 

0.405%, 6/25/46, FRN

 

1,225,003

 

2,048

 

0.595%, 1/25/35, FRN

 

1,732,370

 

631

 

2.503%, 4/25/35, VRN

 

360,079

 

1,999

 

2.658%, 9/25/34, FRN

 

1,377,375

 

1,040

 

2.768%, 5/25/35, VRN

 

555,325

 

1,808

 

2.900%, 5/25/36, VRN

 

743,703

 

1,141

 

3.309%, 9/25/34, VRN

 

901,732

 

7,131

 

4.316%, 8/25/36, VRN

 

3,715,416

 

656

 

4.977%, 7/25/35, FRN

 

401,286

 

1,341

 

5.056%, 11/25/36, VRN

 

730,661

 

127

 

5.347%, 11/25/35, VRN

 

85,835

 

1,164

 

5.775%, 8/25/36, VRN

 

636,084

 

2,500

 

Bear Stearns Commercial Mortgage Securities, 5.627%, 3/13/40, CMO, VRN (a) (d)

 

2,205,181

 

£645

 

Bluestone Securities PLC, 1.125%, 6/9/43, CMO, FRN

 

846,050

 

$4,653

 

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

 

2,136,119

 

 

 

Chase Mortgage Finance Corp., CMO,

 

 

 

2,944

 

5.50%, 11/25/21

 

2,738,841

 

2,600

 

6.00%, 3/25/37

 

2,065,573

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO,

 

 

 

1,183

 

2.820%, 3/25/37, VRN

 

704,582

 

1,064

 

5.50%, 11/25/35

 

829,559

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

1,743

 

0.440%, 12/20/46, FRN

 

843,326

 

 

 

 

 

 

 

 

18

 

PIMCO Corporate Income Fund

 

PIMCO Income Opportunity Fund Annual Report | 10.31.11

 

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

$1,967

 

0.495%, 6/25/37, FRN

 

$750,055

 

4,214

 

0.543%, 11/20/35, FRN

 

2,237,203

 

4,193

 

0.595%, 5/25/36, FRN

 

2,053,118

 

578

 

5.50%, 10/25/35

 

526,377

 

703

 

6.00%, 11/25/35

 

363,201

 

821

 

6.00%, 4/25/36

 

554,589

 

1,486

 

6.00%, 4/25/37

 

974,775

 

3,191

 

6.00%, 5/25/37

 

2,034,095

 

861

 

6.25%, 8/25/37

 

520,934

 

1,230

 

6.50%, 9/25/32

 

1,181,856

 

2,453

 

6.50%, 7/25/35

 

1,485,397

 

1,216

 

6.50%, 6/25/36

 

652,924

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

1,683

 

0.565%, 3/25/35, FRN

 

988,628

 

64

 

2.661%, 10/20/35, VRN

 

39,606

 

723

 

2.671%, 6/20/35, VRN

 

497,292

 

267

 

2.715%, 8/20/35, VRN

 

170,100

 

6,308

 

2.770%, 11/25/35, FRN

 

4,166,480

 

167

 

2.793%, 8/25/34, VRN

 

117,500

 

2,309

 

3.430%, 3/25/37, VRN

 

994,698

 

591

 

5.50%, 8/25/35

 

555,554

 

1,933

 

5.634%, 9/25/47, VRN

 

1,235,693

 

2,914

 

Credit Suisse First Boston Mortgage Securities Corp., 7.50%, 5/25/32, CMO

 

3,014,492

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

996

 

0.413%, 10/15/21, FRN (a) (d) (j)

 

921,622

 

1,167

 

0.845%, 7/25/36, FRN

 

414,963

 

856

 

5.896%, 4/25/36

 

623,074

 

708

 

6.50%, 5/25/36

 

374,193

 

973

 

6.50%, 7/26/36

 

537,306

 

€5,401

 

DECO Series, 1.748%, 10/27/20, CMO, FRN

 

6,352,206

 

 

 

Deutsche ALT-A Securities, Inc. Alternate Loan Trust, CMO,

 

 

 

$1,197

 

0.395%, 2/25/47, FRN

 

575,051

 

285

 

6.25%, 7/25/36, VRN

 

138,168

 

1,255

 

Deutsche Mortgage Securities, Inc., 5.50%, 9/25/33, CMO

 

1,312,851

 

1,712

 

Downey Savings & Loan Assoc. Mortgage Loan Trust, 0.424%, 4/19/47, CMO, FRN

 

456,475

 

 

 

EMF-NL, CMO, FRN,

 

 

 

€800

 

2.572%, 7/17/41

 

680,780

 

€1,000

 

2.822%, 10/17/41

 

980,738

 

$666

 

Falcon Franchise Loan LLC, 4.856%, 1/5/25, CMO (a) (d)

 

649,094

 

 

 

First Horizon Alternative Mortgage Securities, CMO,

 

 

 

846

 

2.242%, 5/25/36, FRN

 

391,859

 

623

 

2.276%, 8/25/35, FRN

 

110,316

 

464

 

2.317%, 2/25/36, FRN

 

310,211

 

3,203

 

3.360%, 11/25/36, FRN

 

1,468,894

 

295

 

6.25%, 11/25/36

 

207,261

 

 

 

First Horizon Asset Securities, Inc., CMO,

 

 

 

2,462

 

4.978%, 1/25/37, FRN

 

1,705,015

 

403

 

5.50%, 8/25/35

 

278,304

 

500

 

5.830%, 7/25/37, FRN

 

389,279

 

53,322

 

FREMF Mortgage Trust, 0.10%, 5/25/20, CMO, IO, VRN (f)

 

319,255

 

 

 

GMAC Mortgage Corp. Loan Trust, CMO, FRN,

 

 

 

437

 

2.959%, 6/25/34

 

359,795

 

232

 

3.121%, 7/19/35

 

193,339

 

446

 

3.125%, 6/25/34

 

371,707

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund                            

19

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

$2,173

 

Greenpoint Mortgage Funding Trust, 0.425%, 1/25/37, CMO, FRN

 

$1,138,960

 

775

 

Greenwich Capital Commercial Funding Corp., 0.38%, 11/5/21, CMO, FRN (a) (d)

 

764,514

 

 

 

GS Mortgage Securities Corp. II, CMO (a) (d),

 

 

 

10,305

 

1.570%, 8/10/43, IO, VRN

 

904,342

 

140

 

5.329%, 3/6/20, FRN

 

136,802

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

1,260

 

0.695%, 7/25/37, FRN

 

888,825

 

3,781

 

2.778%, 1/25/36, VRN

 

2,805,760

 

75

 

3.039%, 12/25/34, VRN

 

51,716

 

143

 

6.00%, 9/25/34

 

145,523

 

 

 

Harborview Mortgage Loan Trust, CMO,

 

 

 

3,645

 

0.434%, 2/19/46, FRN

 

2,147,276

 

6,680

 

0.454%, 11/19/36, FRN

 

3,769,281

 

269

 

0.564%, 1/19/35, FRN

 

161,656

 

723

 

0.804%, 6/19/34, FRN

 

517,646

 

2,948

 

5.520%, 6/19/36, VRN

 

1,640,546

 

687

 

5.75%, 8/19/36, VRN

 

364,366

 

815

 

Homebanc Mortgage Trust, 0.495%, 3/25/35, CMO, FRN

 

493,948

 

€1,218

 

IM Pastor FTH, 1.677%, 3/22/44, CMO, FRN

 

1,059,834

 

$657

 

Impac CMB Trust, 0.505%, 11/25/35, CMO, FRN

 

331,986

 

2,911

 

Indymac INDA Mortgage Loan Trust, 3.800%, 12/25/36, CMO, VRN

 

1,694,268

 

 

 

Indymac Index Mortgage Loan Trust, CMO,

 

 

 

431

 

1.045%, 8/25/34, FRN

 

265,017

 

885

 

1.105%, 9/25/34, FRN

 

539,487

 

721

 

4.678%, 6/25/37, VRN

 

342,132

 

2,128

 

4.829%, 5/25/37, VRN

 

1,096,251

 

3,000

 

5.434%, 11/25/36, VRN

 

2,068,247

 

427

 

5.465%, 5/25/37, FRN

 

77,346

 

 

 

JLOC Ltd., CMO, FRN,

 

 

 

¥224

 

0.414%, 1/15/15 (b)

 

2,658

 

¥58,956

 

0.453%, 2/16/16

 

693,818

 

 

 

JPMorgan Alternative Loan Trust, CMO, VRN,

 

 

 

$987

 

2.632%, 5/25/36

 

527,101

 

1,020

 

5.50%, 11/25/36

 

947,475

 

4,000

 

JPMorgan Chase Commercial Mortgage Securities Corp., 5.647%, 3/18/51, CMO, VRN (a) (d)

 

3,839,350

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

130

 

2.774%, 10/25/36, VRN

 

87,885

 

503

 

4.513%, 7/25/35, VRN

 

439,676

 

913

 

4.916%, 6/25/37, VRN

 

589,341

 

2,923

 

5.50%, 11/25/34

 

2,952,105

 

2,161

 

5.623%, 5/25/36, VRN

 

1,619,419

 

413

 

6.00%, 8/25/37

 

346,070

 

 

 

Landmark Mortgage Securities PLC, CMO, FRN,

 

 

 

£1,969

 

1.142%, 6/17/38

 

2,552,700

 

€751

 

1.751%, 6/17/38

 

846,198

 

 

 

Lehman Mortgage Trust, CMO,

 

 

 

$5,913

 

6.00%, 5/25/37

 

4,555,710

 

1,184

 

6.481%, 4/25/36, VRN

 

1,136,809

 

 

 

MASTR Adjustable Rate Mortgage Trust, CMO,

 

 

 

1,785

 

0.455%, 4/25/46, FRN

 

914,934

 

1,066

 

0.97%, 1/25/47, FRN

 

498,563

 

1,355

 

3.020%, 10/25/34, VRN

 

959,040

 

 

 

 

 

 

 

 

20

 

PIMCO Corporate Income Fund

 

PIMCO Income Opportunity Fund Annual Report | 10.31.11

 

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

October 31, 2011 (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

 

 

Morgan Stanley Mortgage Loan Trust, CMO,

 

 

 

$1,422

 

2.566%, 7/25/35, VRN

 

$852,933

 

762

 

3.067%, 1/25/35, VRN

 

71,672

 

1,257

 

5.75%, 12/25/35

 

941,605

 

958

 

6.00%, 8/25/37

 

839,923

 

6,200

 

Morgan Stanley Reremic Trust, zero coupon, 7/17/56, CMO, PO (a) (d)

 

4,836,000

 

 

 

Prime Mortgage Trust, CMO,

 

 

 

7,412

 

0.595%, 6/25/36, FRN

 

2,278,704

 

452

 

7.00%, 7/25/34

 

423,615

 

1,183

 

Prudential Securities Secured Financing Corp., 6.755%, 6/16/31, CMO, VRN (a) (d)

 

1,178,651

 

2,000

 

RBSCF Trust, 5.223%, 8/16/48, CMO, VRN (a) (d)

 

1,931,158

 

73

 

Regal Trust IV, 2.85%, 9/29/31, CMO, FRN (a) (d)

 

64,671

 

 

 

Residential Accredit Loans, Inc., CMO,

 

 

 

575

 

0.425%, 6/25/46, FRN

 

186,932

 

1,582

 

0.645%, 10/25/45, FRN

 

822,357

 

315

 

5.50%, 4/25/37

 

181,380

 

1,380

 

6.00%, 8/25/35

 

1,101,793

 

1,383

 

6.00%, 1/25/37

 

864,875

 

1,038

 

Residential Asset Securitization Trust, 6.00%, 3/25/37, CMO

 

685,446

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

775

 

5.764%, 7/27/37, VRN

 

557,972

 

1,609

 

6.00%, 6/25/37

 

1,268,423

 

1,018

 

Salomon Brothers Mortgage Securities VII, Inc., 6.50%, 2/25/29, CMO

 

1,028,140

 

865

 

Sequoia Mortgage Trust, 5.112%, 1/20/38, CMO, VRN

 

524,218

 

 

 

Structured Adjustable Rate Mortgage Loan Trust, CMO, VRN

 

 

 

57

 

2.467%, 8/25/34

 

46,163

 

3,796

 

5.373%, 11/25/36

 

2,641,522

 

2,753

 

5.579%, 1/25/36

 

1,877,234

 

 

 

Structured Asset Mortgage Investments, Inc., CMO, FRN,

 

 

 

16

 

0.445%, 9/25/47

 

15,714

 

4,258

 

0.455%, 8/25/36

 

2,441,693

 

346

 

0.475%, 5/25/45

 

196,765

 

1,072

 

Structured Asset Securities Corp., 2.463%, 1/25/34, CMO, VRN

 

902,112

 

948

 

Suntrust Adjustable Rate Mortgage Loan Trust, 5.763%, 10/25/37, CMO, FRN

 

802,555

 

€209

 

Talisman Finance PLC, 1.772%, 4/22/17, CMO, FRN

 

220,935

 

$713

 

TBW Mortgage-Backed Pass Through Certificates, 6.00%, 7/25/36, CMO

 

403,371

 

406

 

Wachovia Bank Commercial Mortgage Trust, 0.333%, 9/15/21, CMO, FRN (a) (d)

 

383,135

 

 

 

WaMu Mortgage Pass Through Certificates, CMO,

 

 

 

76

 

0.535%, 10/25/45, FRN

 

57,609

 

225

 

2.255%, 3/25/33, FRN

 

205,653

 

4,157

 

2.630%, 7/25/37, FRN

 

2,242,803

 

2,858

 

2.631%, 2/25/37, VRN

 

1,937,206

 

4,194

 

2.816%, 7/25/46, FRN

 

2,832,587

 

4,005

 

5.126%, 6/25/37, FRN

 

2,749,902

 

1,476

 

5.154%, 3/25/37, VRN

 

875,906

 

940

 

5.417%, 11/25/36, FRN

 

624,313

 

3,155

 

5.445%, 7/25/37, FRN

 

2,283,343

 

2,392

 

5.550%, 2/25/37, FRN

 

1,631,977

 

 

 

Washington Mutual Alternative Mortgage Pass Through Certificates, CMO,

 

 

 

1,301

 

1.080%, 10/25/46, FRN

 

549,965

 

5,662

 

5.50%, 7/25/35

 

4,153,106

 

75

 

Washington Mutual MSC Mortgage Pass Through Certificates, 2.35%, 6/25/33, CMO, FRN

 

42,408

 

 

 

 

 

 

 

 

PIMCO Corporate Income Fund                            

21

 

10.31.11 | PIMCO Income Opportunity Fund Annual Report