UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:   May 31, 2007
Estimated average burden
hours per response........21.09

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number

811-10555

 

 

PIMCO Corporate Income Fund

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas New York, New York

 

10105

(Address of principal executive offices)

 

(Zip code)

 

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

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

10/31/2006

 

 

 

 

Date of reporting period:

7/31/2006

 

 

Form N-Q is to be used by the registered management investment company, other than a small business investment company registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.



Item 1. Schedule of Investments



PIMCO Corporate Income Fund Schedule of Investments

July 31, 2006 (unaudited)

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES—77.0%

 

 

 

 

 

Airlines—3.9%

 

 

 

 

 

$

2,490

 

American Airlines, Inc., 6.978%, 10/1/12, Ser. 01-2

 

Baa2/BBB+

 

$

2,547,611

 

 

 

Continental Airlines, Inc., pass thru certificates,

 

 

 

 

 

10,000

 

6.503%, 6/15/11, Ser. 01-1

 

Baa3/BBB+

 

10,064,218

 

803

 

6.545%, 8/2/20

 

Baa3/A-

 

803,130

 

3,035

 

7.056%, 9/15/09, Ser. 99-2

 

Baa3/A-

 

3,115,042

 

2,427

 

9.798%, 4/1/21

 

Ba2/BBB-

 

2,542,471

 

7,000

 

Delta Air Lines, Inc., pass thru certificates, 7.57%, 5/18/12, Ser. 00-1

 

Ba2/BB

 

7,030,625

 

 

 

United Air Lines, Inc.,

 

 

 

 

 

5,107

 

6.201%, 3/1/10, Ser. 01-1

 

NR/NR

 

5,072,368

 

417

 

10.36%, 11/13/12, Ser. 91C (b)(d)(e)(f)

 

NR/NR

 

29,196

 

 

 

 

 

 

 

31,204,661

 

 

 

 

 

 

 

 

 

Apparel & Textiles—0.4%

 

 

 

 

 

1,500

 

Quiksilver, Inc., 6.875%, 4/15/15

 

B1/BB-

 

1,395,000

 

2,000

 

Russell Corp., 9.25%, 5/1/10

 

B2/B

 

2,100,000

 

 

 

 

 

 

 

3,495,000

 

 

 

 

 

 

 

 

 

Automotive—0.9%

 

 

 

 

 

1,500

 

ArvinMeritor, Inc., 8.75%, 3/1/12

 

Ba3/BB-

 

1,458,750

 

2,000

 

Auburn Hills Trust, 12.375%, 5/1/20

 

A3/BBB

 

2,876,432

 

1,500

 

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

 

Ba3/BB-

 

1,237,500

 

1,500

 

TRW Automotive, Inc., 9.375%, 2/15/13

 

Ba3/BB-

 

1,601,250

 

 

 

 

 

 

 

7,173,932

 

 

 

 

 

 

 

 

 

Banking—3.5%

 

 

 

 

 

6,500

 

BNP Paribas, 5.186%, 6/29/15, VRN (d)

 

A1/A+

 

6,018,460

 

5,000

 

Colonial Bank, 9.375%, 6/1/11

 

Ba1/BBB-

 

5,621,130

 

1,700

 

Fifth Third Capital Trust I, 8.136%, 3/15/27, Ser. A

 

Aa3/NR

 

1,787,169

 

 

 

HSBC Capital Funding L.P., VRN,

 

 

 

 

 

3,000

 

4.61%, 6/27/13 (d)

 

A1/A-

 

2,736,528

 

1,000

 

10.176%, 6/30/30

 

A1/A-

 

1,408,125

 

5,910

 

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

 

A1/A

 

6,494,452

 

1,000

 

Riggs Capital Trust, 8.625%, 12/31/26, Ser. A

 

A3/BBB+

 

1,052,528

 

1,750

 

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

 

A3/A-

 

1,936,463

 

1,000

 

Royal Bank of Scotland Group PLC, 7.648%, 9/30/31, VRN

 

A1/A

 

1,107,254

 

 

 

 

 

 

 

28,162,109

 

 

 

 

 

 

 

 

 

Computer Services—0.3%

 

 

 

 

 

 

 

Electronic Data Systems Corp.,

 

 

 

 

 

1,000

 

6.50%, 8/1/13, Ser. B

 

Ba1/BBB-

 

993,073

 

1,500

 

7.125%, 10/15/09

 

Ba1/BBB-

 

1,555,121

 

 

 

 

 

 

 

2,548,194

 

 

 

 

 

 

 

 

 

Containers & Packaging—0.7%

 

 

 

 

 

 

 

Smurfit-Stone Container,

 

 

 

 

 

1,000

 

8.375%, 7/1/12

 

B2/CCC+

 

956,250

 

4,296

 

9.75%, 2/1/11

 

B2/CCC+

 

4,414,140

 

 

 

 

 

 

 

5,370,390

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Diversified Manufacturing—2.4%

 

 

 

 

 

 

 

Hutchison Whampoa International Ltd. (d),

 

 

 

 

 

$

3,500

 

6.25%, 1/24/14

 

A3/A-

 

$

3,545,923

 

500

 

6.50%, 2/13/13

 

A3/A-

 

513,626

 

2,000

 

JSG Funding PLC, 9.625%, 10/1/12

 

B3/B-

 

2,080,000

 

1,030

 

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

 

Baa3/BBB+

 

1,061,902

 

£

5,800

 

Tyco International Group S.A., 6.50%, 11/21/31

 

Baa3/BBB+

 

11,698,998

 

 

 

 

 

 

 

18,900,449

 

 

 

 

 

 

 

 

 

Energy—0.9%

 

 

 

 

 

$

1,000

 

Edison Mission Energy, 7.73%, 6/15/09

 

B1/B+

 

1,020,000

 

2,000

 

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

 

Baa3/BBB-

 

2,195,642

 

2,719

 

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

 

Ba2/B

 

2,915,078

 

818

 

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

 

Baa3/BBB

 

793,978

 

 

 

 

 

 

 

6,924,698

 

 

 

 

 

 

 

 

 

Financial Services—10.2%

 

 

 

 

 

2,000

 

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

 

A1/A+

 

2,161,636

 

8,500

 

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

 

Baa3/BBB-

 

9,515,359

 

2,000

 

Bluewater Finance Ltd., 10.25%, 2/15/12

 

B2/B-

 

2,045,000

 

4,269

 

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

 

Baa2/BBB-

 

4,769,349

 

 

 

Ford Motor Credit Co.,

 

 

 

 

 

2,000

 

5.80%, 1/12/09

 

Ba2/BB-

 

1,860,414

 

500

 

7.875%, 6/15/10

 

Ba2/B+

 

470,802

 

1,000

 

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

 

B1/B+

 

1,015,000

 

1,180

 

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

 

Aaa/AAA

 

1,275,508

 

 

 

General Motors Acceptance Corp.,

 

 

 

 

 

5,000

 

6.875%, 9/15/11

 

Ba1/BB

 

4,846,585

 

15,000

 

7.75%, 1/19/10

 

Ba1/BB

 

14,997,285

 

3,500

 

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

 

A1/A

 

3,473,159

 

3,900

 

MBNA Capital, 5.949%, 2/1/27, Ser. B, FRN

 

Aa3/A

 

3,864,416

 

1,300

 

Mizuho JGB Investment LLC, 9.87%, 6/30/08, VRN (d)

 

Baa1/BBB+

 

1,395,568

 

300

 

Mizuho Preferred Capital Co. LLC, 8.79%, 6/30/08, VRN (d)

 

Baa1/BBB+

 

316,280

 

 

 

Pemex Project Funding Master Trust,

 

 

 

 

 

2,700

 

5.75%, 12/15/15

 

Baa1/BBB

 

2,578,994

 

4,350

 

8.00%, 11/15/11

 

Baa1/BBB

 

4,708,875

 

1,400

 

8.625%, 2/1/22

 

Baa1/BBB

 

1,636,259

 

3,500

 

9.50%, 9/15/27

 

NR/BBB

 

4,439,750

 

2,000

 

Preferred Term Securities XIII, 5.946%, 3/24/34, FRN (b)(d)(f)

 

Aaa/AAA

 

1,995,404

 

6,500

 

RBS Capital Trust I, 5.512%, 9/30/14, VRN

 

A1/A

 

6,163,053

 

6,000

 

Toll Brothers Finance Corp., 5.15%, 5/15/15

 

Baa3/BBB-

 

5,228,304

 

1,500

 

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

 

B2/B-

 

1,631,250

 

1,000

 

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

 

B3/B-

 

1,015,000

 

 

 

 

 

 

 

81,403,250

 

 

 

 

 

 

 

 

 

Food & Beverage—0.9%

 

 

 

 

 

3,000

 

Ingles Markets, Inc., 8.875%, 12/1/11

 

B3/B

 

3,150,000

 

4,000

 

Tyson Foods, Inc., 6.60%, 4/1/16

 

Baa3/BBB

 

3,953,780

 

 

 

 

 

 

 

7,103,780

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Healthcare & Hospitals—1.3%

 

 

 

 

 

 

 

HCA, Inc.,

 

 

 

 

 

$

550

 

8.36%, 4/15/24

 

Ba2/BB+

 

$

450,225

 

1,000

 

8.70%, 2/10/10

 

Ba2/BB+

 

1,004,757

 

5,470

 

9.00%, 12/15/14

 

Ba2/BB+

 

5,135,767

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

 

2,500

 

7.375%, 2/1/13

 

B3/B

 

2,181,250

 

2,000

 

9.25%, 2/1/15 (d)

 

B3/B

 

1,850,000

 

 

 

 

 

 

 

10,621,999

 

 

 

 

 

 

 

 

 

Hotels/Gaming—3.4%

 

 

 

 

 

 

 

Caesars Entertainment, Inc.,

 

 

 

 

 

3,000

 

7.00%, 4/15/13

 

Baa3/BBB-

 

3,075,270

 

500

 

8.875%, 9/15/08

 

Ba1/BB+

 

524,375

 

1,000

 

Choctaw Resort Development Enterprise, Inc., 7.25%, 11/15/19 (d)

 

B1/BB-

 

977,500

 

1,000

 

Gaylord Entertainment Co., 8.00%, 11/15/13

 

B3/B-

 

1,018,750

 

 

 

Hilton Hotels Corp.,

 

 

 

 

 

1,000

 

7.625%, 5/15/08

 

Ba2/BB

 

1,027,639

 

1,646

 

8.25%, 2/15/11

 

Ba2/BB

 

1,754,345

 

5,000

 

ITT Corp., 7.375%, 11/15/15

 

Ba1/BB+

 

5,162,500

 

500

 

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

 

Ba3/B+

 

530,000

 

 

 

MGM Mirage, Inc.,

 

 

 

 

 

3,000

 

6.625%, 7/15/15

 

Ba2/BB

 

2,846,250

 

5,000

 

8.375%, 2/1/11

 

Ba3/B+

 

5,162,500

 

2,553

 

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

 

Baa3/BB+

 

2,936,058

 

2,000

 

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

 

B2/B+

 

1,895,000

 

 

 

 

 

 

 

26,910,187

 

 

 

 

 

 

 

 

 

Insurance—0.3%

 

 

 

 

 

2,300

 

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

 

NR/A-

 

2,248,006

 

 

 

 

 

 

 

 

 

Manufacturing—0.3%

 

 

 

 

 

2,500

 

Dresser, Inc., 9.875%, 4/15/11

 

B2/CCC+

 

2,550,000

 

 

 

 

 

 

 

 

 

Metals & Mining—1.1%

 

 

 

 

 

3,000

 

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

 

Baa3/BBB-

 

3,143,394

 

4,700

 

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

 

Baa2/BBB

 

5,937,952

 

 

 

 

 

 

 

9,081,346

 

 

 

 

 

 

 

 

 

Multi-Media—8.6%

 

 

 

 

 

3,000

 

British Sky Broadcasting PLC, 6.875%, 2/23/09

 

Baa2/BBB

 

3,086,253

 

1,000

 

Cablevision Systems Corp., 8.00%, 4/15/12, Ser. B

 

B3/B+

 

995,000

 

6,000

 

Charter Communications Operating LLC, 8.375%, 4/30/14 (d)

 

B2/B-

 

6,075,000

 

2,250

 

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

 

Baa3/BBB

 

2,703,789

 

925

 

Comcast MO of Delaware, Inc., 9.00%, 9/1/08

 

Baa2/BBB+

 

985,457

 

 

 

CSC Holdings, Inc.,

 

 

 

 

 

1,000

 

7.625%, 4/1/11, Ser. B

 

B2/B+

 

1,011,250

 

700

 

7.875%, 2/15/18

 

B2/B+

 

705,250

 

3,000

 

8.125%, 7/15/09, Ser. B

 

B2/B+

 

3,086,250

 

7,625

 

8.125%, 8/15/09, Ser. B

 

B2/B+

 

7,844,219

 

 

 

DirecTV Holdings LLC,

 

 

 

 

 

1,000

 

6.375%, 6/15/15

 

Ba2/BB-

 

931,250

 

870

 

8.375%, 3/15/13

 

Ba2/BB-

 

915,675

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Multi-Media (continued)

 

 

 

 

 

 

 

Historic TW, Inc.,

 

 

 

 

 

$

500

 

6.625%, 5/15/29

 

Baa2/BBB+

 

$

483,974

 

5,000

 

9.125%, 1/15/13

 

Baa2/BBB+

 

5,726,440

 

 

 

News America Holdings, Inc.,

 

 

 

 

 

1,610

 

6.75%, 1/9/38

 

Baa2/BBB

 

1,656,642

 

7,450

 

7.43%, 10/1/26

 

Baa2/BBB

 

7,893,960

 

 

 

Rogers Cable, Inc.,

 

 

 

 

 

CAD

1,750

 

7.25%, 12/15/11

 

Ba2/BB+

 

1,594,780

 

$

3,000

 

8.75%, 5/1/32

 

Ba2/BB+

 

3,315,000

 

12,000

 

Time Warner, Inc., 7.70%, 5/1/32

 

Baa2/BBB+

 

13,077,588

 

6,500

 

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

 

Baa3/BB-

 

6,548,340

 

 

 

 

 

 

 

68,636,117

 

 

 

 

 

 

 

 

 

Oil & Gas—7.9%

 

 

 

 

 

 

 

CenterPoint Energy Res. Corp.,

 

 

 

 

 

4,000

 

6.50%, 2/1/08

 

Baa3/BBB

 

4,045,664

 

1,200

 

7.75%, 2/15/11

 

Baa3/BBB

 

1,290,496

 

4,000

 

Chesapeake Energy Corp., 7.75%, 1/15/15

 

Ba2/BB

 

4,050,000

 

 

 

Dynergy-Roseton Danskammer, Inc., pass thru certificates,

 

 

 

 

 

1,750

 

7.27%, 11/8/10, Ser. A

 

B2/B

 

1,737,969

 

2,000

 

7.67%, 11/8/16, Ser. B

 

B2/B

 

1,991,250

 

 

 

El Paso Corp.,

 

 

 

 

 

5,000

 

8.05%, 10/15/30

 

B2/B

 

5,112,500

 

2,000

 

10.75%, 10/1/10 (d)

 

Caa1/B-

 

2,195,000

 

4,900

 

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

 

Baa1/BB+

 

5,922,875

 

8,000

 

Gazprom AG, 9.625%, 3/1/13

 

NR/BB+

 

9,400,000

 

1,000

 

Hanover Compressor Co., 9.00%, 6/1/14

 

B3/B

 

1,070,000

 

835

 

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

 

NR/NR

 

814,571

 

1,300

 

Pogo Producing Co., 8.25%, 4/15/11, Ser. B

 

Ba3/B+

 

1,340,625

 

3,000

 

Sonat, Inc., 7.625%, 7/15/11

 

Caa1/B-

 

3,052,500

 

250

 

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

 

Ba2/BB-

 

278,437

 

2,000

 

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

 

Baa1/BBB+

 

2,332,240

 

5,000

 

Weatherford International, Inc., 6.625%, 11/15/11, Ser. B

 

Baa1/BBB+

 

5,193,565

 

 

 

Williams Cos., Inc.,

 

 

 

 

 

2,000

 

7.125%, 9/1/11

 

B1/BB-

 

2,025,000

 

7,000

 

7.50%, 1/15/31, Ser. A

 

B1/BB-

 

6,772,500

 

5,000

 

7.875%, 9/1/21

 

Ba2/BB-

 

5,100,000

 

 

 

 

 

 

 

63,725,192

 

 

 

 

 

 

 

 

 

Paper/Paper Products—3.1%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc.,

 

 

 

 

 

5,000

 

8.375%, 4/1/15

 

B1/B+

 

4,593,750

 

5,000

 

8.55%, 8/1/10

 

B1/B+

 

4,843,750

 

 

 

Bowater, Inc.,

 

 

 

 

 

1,000

 

9.00%, 8/1/09

 

B1/B+

 

1,027,500

 

3,000

 

9.50%, 10/15/12

 

B1/B+

 

3,015,000

 

 

 

Georgia-Pacific Corp.,

 

 

 

 

 

10,500

 

8.00%, 1/15/24

 

B2/B

 

10,001,250

 

500

 

8.125%, 5/15/11

 

B2/B

 

501,250

 

850

 

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

 

Ba1/BBB-

 

769,851

 

 

 

 

 

 

 

24,752,351

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Pharmaceuticals—0.1%

 

 

 

 

 

$

1,000

 

Wyeth, 6.50%, 2/1/34

 

Baa1/A

 

$

1,029,293

 

 

 

 

 

 

 

 

 

Retail—2.2%

 

 

 

 

 

9,000

 

Albertson’s, Inc., 8.00%, 5/1/31

 

B2/B

 

8,230,167

 

3,000

 

JC Penney Co., Inc., 8.125%, 4/1/27

 

Baa3/BBB-

 

3,095,199

 

5,897

 

Yum! Brands, Inc., 8.875%, 4/15/11

 

Baa2/BBB

 

6,610,973

 

 

 

 

 

 

 

17,936,339

 

 

 

 

 

 

 

 

 

Telecommunications—13.7%

 

 

 

 

 

 

 

AT&T Corp., VRN,

 

 

 

 

 

792

 

9.05%, 11/15/11

 

A2/A

 

848,569

 

5,000

 

9.75%, 11/15/31

 

A2/A

 

5,850,985

 

5,000

 

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

 

A2/A

 

5,541,280

 

1,000

 

Cincinnati Bell, Inc., 8.375%, 1/15/14

 

B3/B-

 

985,000

 

8,000

 

Citizens Communications Co., 9.25%, 5/15/11

 

Ba3/BB+

 

8,720,000

 

5,000

 

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

 

Baa2/BBB+

 

5,607,140

 

 

 

Deutsche Telekom International Finance BV,

 

 

 

 

 

10,000

 

8.00%, 6/15/10

 

A3/A-

 

10,800,710

 

3,000

 

8.25%, 6/15/30

 

A3/A-

 

3,519,567

 

 

 

Embarq Corp.,

 

 

 

 

 

5,000

 

7.082%, 6/1/16

 

Baa3/BBB-

 

5,040,805

 

5,000

 

7.995%, 6/1/36

 

Baa3/BBB-

 

5,143,805

 

 

 

France Telecom S.A.,

 

 

 

 

 

10,000

 

7.75%, 3/1/11

 

A3/A-

 

10,843,590

 

3,000

 

8.50%, 3/1/31

 

A3/A-

 

3,711,783

 

1,000

 

Intelsat Subsidiary Holding Co., Ltd., 8.625%, 1/15/15

 

B2/B+

 

995,000

 

 

 

Nextel Communications, Inc.,

 

 

 

 

 

3,000

 

6.875%, 10/31/13, Ser. E

 

Baa2/A-

 

3,036,435

 

2,000

 

7.375%, 8/1/15, Ser. D

 

Baa2/A-

 

2,051,056

 

750

 

PCCW Capital II Ltd., 6.00%, 7/15/13 (d)

 

Baa2/BBB

 

734,209

 

12,860

 

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

 

B3/B

 

12,602,800

 

2,000

 

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

 

B2/B

 

1,970,000

 

2,300

 

Qwest Corp., 8.579%, 6/15/13, FRN

 

Ba3/BB

 

2,472,500

 

 

 

Sprint Capital Corp.,

 

 

 

 

 

6,900

 

6.125%, 11/15/08

 

Baa2/A-

 

6,986,381

 

4,000

 

6.875%, 11/15/28

 

Baa2/A-

 

4,058,952

 

1,200

 

Time Warner Telecom Holdings, Inc., 9.17%, 2/15/11, FRN

 

B2/CCC+

 

1,221,000

 

5,469

 

Verizon Global Funding Corp., 7.25%, 12/1/10

 

A3/A

 

5,784,753

 

1,500

 

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

 

Baa3/A

 

1,520,610

 

 

 

 

 

 

 

110,046,930

 

 

 

 

 

 

 

 

 

Tobacco—0.2%

 

 

 

 

 

2,000

 

Reynolds American, Inc., 7.25%, 6/1/12 (d)

 

Ba2/BB

 

2,024,872

 

 

 

 

 

 

 

 

 

Utilities—8.4%

 

 

 

 

 

500

 

Consumers Energy Co., 6.375%, 2/1/08 (d)(f)

 

Baa3/BBB-

 

503,997

 

 

 

East Coast Power LLC, Ser. B,

 

 

 

 

 

956

 

6.737%, 3/31/08

 

Baa3/BBB-

 

960,616

 

3,128

 

7.066%, 3/31/12

 

Baa3/BBB-

 

3,224,822

 

3,100

 

Entergy Gulf States, Inc., 6.02%, 12/8/08, FRN (d)

 

Baa3/BBB+

 

3,105,837

 

2,000

 

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

 

Baa2/BBB+

 

2,096,258

 

3,960

 

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

 

Ba2/BB-

 

3,999,600

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Utilities (continued)

 

 

 

 

 

$

4,600

 

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

 

Ba2/BB

 

$

4,922,000

 

 

 

IPALCO Enterprises, Inc.,

 

 

 

 

 

2,150

 

8.375%, 11/14/08

 

Ba1/BB-

 

2,225,250

 

5,500

 

8.625%, 11/14/11

 

Ba1/BB-

 

5,898,750

 

3,339

 

Midwest Generation LLC, pass thru certificates, 8.56%, 1/2/16, Ser. B

 

B1/B+

 

3,512,422

 

2,000

 

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

 

A2/A-

 

2,237,198

 

1,000

 

Ohio Edison Co., 5.647%, 6/15/09 (d)

 

Baa2/BBB-

 

997,071

 

2,000

 

Potomac Electric Power, 6.25%, 10/15/07

 

A3/A-

 

2,016,018

 

 

 

PSEG Energy Holdings LLC,

 

 

 

 

 

6,000

 

8.50%, 6/15/11

 

Ba3/BB-

 

6,345,000

 

4,790

 

8.625%, 2/15/08

 

Ba3/BB-

 

4,951,662

 

8,000

 

PSEG Power LLC, 8.625%, 4/15/31

 

Baa1/BBB

 

9,976,792

 

4,789

 

South Point Energy Center LLC, 8.40%, 5/30/12 (d)

 

Caa2/D

 

4,657,732

 

3,500

 

Tucson Electric Power, 7.50%, 8/1/08, Ser. B

 

Baa3/BBB-

 

3,603,975

 

2,000

 

TXU U.S. Holdings Co., 7.17%, 8/1/07

 

Baa3/BB+

 

2,036,962

 

 

 

 

 

 

 

67,271,962

 

 

 

 

 

 

 

 

 

Waste Disposal—2.3%

 

 

 

 

 

 

 

Allied Waste North America, Inc.,

 

 

 

 

 

3,000

 

7.25%, 3/15/15

 

B2/BB-

 

2,910,000

 

1,000

 

7.875%, 4/15/13

 

B2/BB-

 

1,015,000

 

3,625

 

8.50%, 12/1/08, Ser. B

 

B2/BB-

 

3,779,062

 

 

 

Waste Management, Inc.,

 

 

 

 

 

5,000

 

7.10%, 8/1/26

 

Baa3/BBB

 

5,330,145

 

5,000

 

7.375%, 8/1/10

 

Baa3/BBB

 

5,307,310

 

 

 

 

 

 

 

18,341,517

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Bonds & Notes (cost—$618,242,568)

 

 

 

617,462,574

 

 

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS—5.2%

 

 

 

 

 

Brazil—2.2%

 

 

 

 

 

 

 

Federal Republic of Brazil,

 

 

 

 

 

2,179

 

8.00%, 1/15/18

 

Ba3/BB

 

2,365,305

 

1,250

 

10.125%, 5/15/27

 

Ba3/BB

 

1,628,125

 

755

 

10.50%, 7/14/14

 

Ba3/BB

 

933,180

 

9,000

 

11.00%, 8/17/40

 

Ba3/BB

 

11,558,250

 

1,050

 

12.75%, 1/15/20

 

Ba3/BB

 

1,561,875

 

 

 

 

 

 

 

18,046,735

 

 

 

 

 

 

 

 

 

Guatemala—0.2%

 

 

 

 

 

1,500

 

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

 

Ba2/BB-

 

1,710,000

 

 

 

 

 

 

 

 

 

Panama—1.1%

 

 

 

 

 

 

 

Republic of Panama,

 

 

 

 

 

3,000

 

9.375%, 7/23/12

 

Ba1/BB

 

3,439,500

 

4,470

 

9.625%, 2/8/11

 

Ba1/BB

 

5,051,100

 

 

 

 

 

 

 

8,490,600

 

 

 

 

 

 

 

 

 

Russia—1.2%

 

 

 

 

 

 

 

Russian Federation,

 

 

 

 

 

7,362

 

5.00%, 3/31/30, VRN

 

Baa2/BBB

 

8,029,196

 

1,156

 

8.25%, 3/31/10

 

Baa2/BBB

 

1,207,679

 

 

 

 

 

 

 

9,236,875

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

South Africa—0.4%

 

 

 

 

 

 

 

Republic of South Africa,

 

 

 

 

 

$

120

 

7.375%, 4/25/12

 

Baa1/BBB+

 

$

127,500

 

2,600

 

9.125%, 5/19/09

 

Baa1/BBB+

 

2,822,300

 

 

 

 

 

 

 

2,949,800

 

 

 

 

 

 

 

 

 

Ukraine—0.1%

 

 

 

 

 

1,000

 

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

 

B1/BB-

 

1,035,200

 

 

 

 

 

 

 

 

 

 

 

Total Sovereign Debt Obligations (cost—$38,178,442)

 

 

 

41,469,210

 

 

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES—4.3%

 

 

 

 

 

 

 

Fannie Mae,

 

 

 

 

 

231

 

7.00%, 2/1/29, MBS

 

Aaa/AAA

 

237,553

 

132

 

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

 

Aaa/AAA

 

133,754

 

70

 

7.00%, 1/1/32, MBS

 

Aaa/AAA

 

71,809

 

1,597

 

7.00%, 6/1/32, MBS

 

Aaa/AAA

 

1,638,646

 

181

 

7.00%, 10/1/32, MBS

 

Aaa/AAA

 

185,617

 

129

 

7.00%, 11/1/32, MBS

 

Aaa/AAA

 

132,566

 

531

 

7.00%, 12/1/32, MBS

 

Aaa/AAA

 

543,676

 

123

 

7.00%, 1/1/33, MBS

 

Aaa/AAA

 

126,065

 

178

 

7.00%, 2/1/33, MBS

 

Aaa/AAA

 

182,105

 

452

 

7.00%, 3/1/33, MBS

 

Aaa/AAA

 

463,326

 

2,827

 

7.00%, 5/1/33, MBS

 

Aaa/AAA

 

2,899,075

 

182

 

7.00%, 6/1/33, MBS

 

Aaa/AAA

 

187,347

 

131

 

7.00%, 7/1/33, MBS

 

Aaa/AAA

 

134,241

 

427

 

7.00%, 1/1/34, MBS

 

Aaa/AAA

 

438,466

 

756

 

7.00%, 3/1/34, MBS

 

Aaa/AAA

 

775,405

 

560

 

7.00%, 9/1/34, MBS

 

Aaa/AAA

 

574,832

 

1,738

 

7.00%, 4/1/35, MBS

 

Aaa/AAA

 

1,786,562

 

828

 

7.00%, 6/1/35, MBS

 

Aaa/AAA

 

850,654

 

2,425

 

7.00%, 10/1/35, MBS

 

Aaa/AAA

 

2,494,681

 

2,996

 

7.00%, 2/1/36, MBS

 

Aaa/AAA

 

3,083,246

 

86

 

7.00%, 9/25/41, CMO

 

Aaa/AAA

 

87,494

 

1,467

 

7.00%, 12/25/41, CMO

 

Aaa/AAA

 

1,501,083

 

37

 

7.50%, 12/25/19, CMO

 

Aaa/AAA

 

38,775

 

319

 

7.50%, 5/1/22, MBS

 

Aaa/AAA

 

330,434

 

17

 

7.50%, 6/25/30, CMO

 

Aaa/AAA

 

17,860

 

309

 

7.50%, 12/1/33, MBS

 

Aaa/AAA

 

319,897

 

73

 

7.50%, 11/25/40, CMO

 

Aaa/AAA

 

74,284

 

152

 

7.50%, 5/25/42, CMO

 

Aaa/AAA

 

157,762

 

7,201

 

7.50%, 12/25/45, CMO

 

Aaa/AAA

 

7,528,845

 

35

 

8.00%, 7/18/27, CMO

 

Aaa/AAA

 

37,474

 

7,284

 

8.00%, 12/25/45, CMO

 

Aaa/AAA

 

7,658,418

 

 

 

Freddie Mac,

 

 

 

 

 

110

 

7.50%, 11/1/19, MBS

 

Aaa/AAA

 

112,661

 

31

 

8.00%, 9/15/26, CMO

 

Aaa/AAA

 

32,529

 

8

 

9.50%, 5/15/21, CMO

 

Aaa/AAA

 

8,178

 

 

 

 

 

 

 

 

 

 

 

Total U.S. Government Agency Securities (cost—$34,826,166)

 

 

 

34,845,320

 

 

 

 

 

 

 

 

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

MORTGAGE-BACKED SECURITIES—2.2%

 

 

 

 

 

$

3,500

 

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

 

NR/BB+

 

$

3,565,165

 

 

 

GSMPS Mortgage Loan Trust, CMO (d),

 

 

 

 

 

3,877

 

7.50%, 6/19/27

 

NR/NR

 

4,010,230

 

98

 

7.50%, 6/19/32

 

NR/NR

 

101,465

 

4,310

 

7.50%, 6/25/43

 

NR/NR

 

4,363,797

 

 

 

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

 

 

 

 

 

2,805

 

6.940%, 12/15/30

 

Baa2/A-

 

3,008,593

 

2,000

 

7.243%, 2/15/30

 

Baa1/BBB+

 

2,070,461

 

85

 

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

 

Aaa/AAA

 

87,400

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage-Backed Securities (cost—$17,318,042)

 

 

 

17,207,111

 

 

 

 

 

 

 

 

 

MUNICIPAL BONDS (d)(j)—1.5%

 

 

 

 

 

New Jersey—1.5%

 

 

 

 

 

 

 

Tobacco Settlement Financing Corp. Rev., VRN,

 

 

 

 

 

3,994

 

6.679%, 6/1/32

 

NR/AA

 

4,354,579

 

2,500

 

7.429%, 6/1/24

 

NR/AA

 

2,842,450

 

4,166

 

7.929%, 6/1/32

 

NR/AA

 

4,896,383

 

 

 

 

 

 

 

 

 

 

 

Total Municipal Bonds (cost—$9,916,081)

 

 

 

12,093,412

 

 

 

 

 

 

 

 

 

SENIOR LOANS (a)(b)(c)—0.9%

 

 

 

 

 

Containers & Packaging—0.1%

 

 

 

 

 

 

 

Smurfit-Stone Container,

 

 

 

 

 

131

 

4.056%, 11/1/10

 

 

 

131,750

 

322

 

7.50%, 11/1/11, Term B

 

 

 

323,975

 

215

 

7.50%, 11/1/11, Term C

 

 

 

215,984

 

103

 

7.625%, 11/1/10, Term C

 

 

 

103,132

 

104

 

7.625%, 11/1/11, Term B

 

 

 

104,388

 

252

 

7.688%, 11/1/11, Term B

 

 

 

253,781

 

 

 

 

 

 

 

1,133,010

 

 

 

 

 

 

 

 

 

Energy—0.2%

 

 

 

 

 

 

 

AES Corp., Term B,

 

 

 

 

 

714

 

6.75%, 4/30/08

 

 

 

717,076

 

714

 

7.50%, 8/10/11

 

 

 

717,076

 

 

 

 

 

 

 

1,434,152

 

 

 

 

 

 

 

 

 

Entertainment—0.1%

 

 

 

 

 

500

 

Shackleton Crean Event Management, 8/1/08 (f)

 

 

 

495,155

 

 

 

 

 

 

 

 

 

Multi-Media—0.3%

 

 

 

 

 

2,500

 

Adelphia Communications Corp., 10.25%, 6/30/09, Term B

 

 

 

2,404,465

 

 

 

 

 

 

 

 

 

Printing/Publishing—0.2%

 

 

 

 

 

 

 

Dex Media East LLC, Term B,

 

 

 

 

 

359

 

6.66%, 5/8/09

 

 

 

357,279

 

154

 

6.69%, 5/8/09

 

 

 

152,955

 

731

 

6.80%, 5/8/09

 

 

 

728,219

 

141

 

7.00%, 5/8/09

 

 

 

140,271

 

 

 

 

 

 

 

1,378,724

 

 

 

 

 

 

 

 

 

 

 

Total Senior Loans (cost—$6,923,199)

 

 

 

6,845,506

 

 



 

Shares

 

 

 

 

 

 

 

PREFERRED STOCK—0.4%

 

 

 

 

 

Financing—0.4%

 

 

 

 

 

3,400

 

Fresenius Medical Care Capital Trust II, 7.875%, UNIT (cost—$3,674,550)

 

B1/B+

 

3,408,500

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

U.S. TREASURY NOTES—0.1%

 

 

 

 

 

$

1,100

 

5.125%, 5/15/16 (cost—$1,111,000)

 

 

 

$

1,111,774

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—0.1%

 

 

 

 

 

1,000

 

American Airlines, Inc., pass thru certificates,

 

 

 

 

 

 

 

7.858%, 4/1/13, Ser. 01-2 (cost—$1,046,453)

 

Baa2/A-

 

1,050,625

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—8.4%

 

 

 

 

 

Corporate Notes—4.0%

 

 

 

 

 

Financial Services—3.3%

 

 

 

 

 

$

3,000

 

Ford Motor Credit Co., 7.75%, 2/15/07

 

Ba2/BB-

 

3,009,576

 

8,000

 

General Motors Acceptance Corp., 6.407%, 1/16/07, FRN

 

Ba1/BB

 

7,985,352

 

500

 

HSBC Finance Corp., 6.02%, 10/12/06, FRN

 

Aa3/A

 

500,656

 

5,000

 

Sets Trust, 8.85%, 4/2/07 (d)(f)(g)

 

NR/NR

 

5,052,056

 

 

 

TIERS Principal Protected Trust

 

 

 

 

 

10,000

 

8.41%, 3/22/07 (d)(f)(g)

 

NR/NR

 

10,171,600

 

 

 

 

 

 

 

26,719,240

 

 

 

 

 

 

 

 

 

Hotels/Gaming—0.4%

 

 

 

 

 

3,000

 

Caesars Entertainment, Inc., 8.50%, 11/15/06

 

Baa3/BBB-

 

3,021,468

 

 

 

 

 

 

 

 

 

Insurance—0.0%

 

 

 

 

 

123

 

Prudential Financial, Inc., 4.104%, 11/15/06, VRN

 

A3/A

 

122,555

 

 

 

 

 

 

 

 

 

Multi-Media—0.3%

 

 

 

 

 

2,105

 

British Sky Broadcasting PLC, 7.30%, 10/15/06

 

Baa2/BBB

 

2,110,625

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Notes (cost—$31,743,030)

 

 

 

31,973,888

 

 

 

 

 

 

 

 

 

Sovereign Debt Obligations—1.4%

 

 

 

 

 

France—1.4%

 

 

 

 

 

€

8,900

 

France Treasury Bill BTF, 2.890%, 11/23/06

 

NR/NR

 

11,250,460

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Ukraine—0.0%

 

 

 

 

 

$

187

 

Republic of Ukraine, 11.00%, 3/15/07

 

B1/BB

 

$

190,004

 

 

 

 

 

 

 

 

 

 

 

Total Sovereign Debt Obligations (cost—$11,229,199)

 

 

 

11,440,464

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills (h)—0.9%

 

 

 

 

 

7,485

 

4.698%-4.994%, 8/31/06-9/14/06 (cost—$7,442,745)

 

 

 

7,442,745

 

 

 

 

 

 

 

 

 

Commercial Paper—0.7%

 

 

 

 

 

Banking—0.5%

 

 

 

 

 

4,000

 

Societe Generale North America, Inc., 5.37%, 10/10/06

 

NR/NR

 

3,958,040

 

 

 

 

 

 

 

 

 

Financial Services—0.2%

 

 

 

 

 

1,400

 

UBS Finance, Inc., 5.355%, 10/24/06

 

NR/NR

 

1,382,416

 

 

 

 

 

 

 

 

 

 

 

Total Commercial Paper (cost—$5,340,740)

 

 

 

5,340,456

 

 

 

 

 

 

 

 

 

Repurchase Agreements—1.4%

 

 

 

 

 

9,000

 

Lehman Brothers Holdings, dated 7/31/06, 5.23%, due 8/1/06, proceeds $9,001,308; collateralized by U.S. Treasury Notes, 5.125%, 6/30/08, valued at $9,188,713 including accrued interest

 

 

 

9,000,000

 

1,880

 

State Street Bank & Trust Co., dated 7/31/06, 4.90%, due 8/1/06, proceeds $1,880,256; collateralized by Federal Home Loan Bank, 3.375%, 2/23/07, value at $1,920,326 including accrued interest

 

 

 

1,880,000

 

 

 

Total Repurchase Agreements (cost—$10,880,000)

 

 

 

10,880,000

 

 

 

 

 

 

 

 

 

 

 

Total Short-Term Investments (cost—$66,635,714)

 

 

 

67,077,553

 

 

 

 

 

 

 

 

 

 

 

Total Investments before options written
(cost—$797,872,215)—100.1%

 

 

 

802,571,585

 

 

Contracts

 

 

 

 

 

 

 

OPTIONS WRITTEN (i)—(0.1)%

 

 

 

 

 

Call Options—(0.1)%

 

 

 

 

 

7,450,000

 

News America Holdings, Inc., Over the Counter, strike price $100, expires 10/01/06

 

 

 

(434,320

)

950

 

U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade, strike price $108, expires 8/25/06

 

 

 

(29,688

)

 

 

 

 

 

 

(464,008

)

 

 

 

 

 

 

 

 

 

 

Put Options—(0.0)%

 

 

 

 

 

950

 

U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade, strike price $103, expires 8/25/06

 

 

 

(14,844

)

 

 

 

 

 

 

 

 

 

 

Total Options Written (premiums received—$275,856)

 

 

 

(478,852)

 

 

 

 

 

 

 

 

 

 

 

Total Investments net of options written
(cost—$797,596,359)—100.0%

 

 

 

$

802,092,733

 

 



Notes to Schedule of Investments

*                     Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to guidelines established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, using the last sale price on the exchange that  is the primary market for such securities, or the last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The Fund’s investments in senior floating rate loans (“Senior Loans”), for which a secondary market exists will be valued at the mean of the last available bid and asked prices in the market for such Senior Loans, as provided by an independent pricing service. Senior Loans, for which a secondary market does not exist are valued at fair-value by Pacific Investment Management Company LLC (the “Sub-Adviser”). Such procedures by the Sub-Adviser include consideration evaluation of: (1) the creditworthiness of the borrower and any intermediate participants; (2) the term of the Senior Loan; (3) recent prices in the market for similar loans, ifany, (4) recent prices in the market for loans of similar quality, coupon rate, and period until next interest ratereset and maturity; and (5) general economic and market conditions affecting the fair value of the Senior Loan.Exchange traded options and futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement value. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st  day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. The Fund’s net asset value is determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business.

(a)              Private Placement.  Restricted as to resale and may not have a readily available market.

(b)             Illiquid security.

(c)              These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or moremajor European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, SP or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower.  Such prepayments cannot be predicted with certainty.

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

(e)              Security in default.

(f)                Fair-valued security.

(g)             Credit-linked trust certificate.

(h)             All or partial amount segregated as collateral for futures contracts and/or written options.

(i)                 Non-income producing.

(j)                 Residual Interest Municipal Bonds (“RIBS”)/Residual Interest Tax Exempt Bonds (“RITES”) - The interest rate shown bears an inverse relationship to the interest rate on another security or the value of an index.

Glossary:

£ - British Pound

CAD - Canadian Dollar

CMO - Collateralized Mortgage Obligation

FRN - Floating Rate Note.  The interest rate disclosed reflects the rate in effect on July 31, 2006.

LIBOR - London Inter-Bank Offered Rate

MBS - Mortgage-Backed Security

NR - Not Rated

UNIT - More than one class of securities traded together

VRN - Variable Rate Note.   Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate).  The interest rate disclosed reflects the rate in effect on July 31, 2006.



Other Investments:

(1) Futures contracts outstanding at July 31, 2006:

 

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

Notional Amount

 

Expiration

 

Appreciation

 

Type

 

 

 

(000)

 

Date

 

(Depreciation)

 

Long:

 

Eurodollar Futures, September 2007

 

$

2,375

 

9/17/07

 

$

(1,078,435

)

 

 

Eurodollar Futures, December 2007

 

875

 

12/17/07

 

(61,138

)

 

 

Eurodollar Futures, March 2008

 

375

 

3/17/08

 

88,125

 

 

 

Eurodollar Futures, June 2008

 

500

 

6/16/08

 

180,256

 

Short:

 

Eurodollar Futures, September 2008

 

(500

)

9/15/08

 

97,500

 

 

 

U.S. Treasury Notes, September 2006

 

(271

)

9/20/06

 

(214,015

)

 

 

U.S. Treasury Bonds, September 2006

 

(290

)

9/20/06

 

(382,008

)

 

 

 

 

 

 

 

 

$

(1,369,715

)

 

(2) Transactions in options written for the nine months ended July 31, 2006:

 

 

Contracts/Notional

 

Premiums

 

Options outstanding, October 31, 2005

 

7,457,367

 

$

1,607,640

 

Options written

 

5,012,997

 

3,133,938

 

Options terminated in closing transactions

 

(18,464

)

(4,433,433

)

Options expired

 

(5,000,000

)

(32,289

)

Options outstanding, July 31, 2006

 

7,451,900

 

$

275,856

 

 

(3) Credit default swap agreements outstanding at July 31, 2006:

 

 

Notional

 

 

 

Fixed

 

 

 

 

 

Amount Payable

 

 

 

Payments

 

Unrealized

 

Swap Counterparty/

 

on Default

 

Termination

 

Received (Paid)

 

Appreciation

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

(Depreciation)

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

 

 

 

 

 

 

 

 

Ford Motor Credit

 

$

5,000

 

6/20/07

 

2.70

%

$

30,300

 

Bear Stearns

 

 

 

 

 

 

 

 

 

Bombardier

 

3,000

 

12/20/06

 

(1.90

)%

(16,875

)

EnCana

 

3,000

 

9/20/09

 

0.53

%

32,377

 

Ford Motor Credit

 

4000

 

6/20/10

 

5.60

%

175,147

 

GMAC

 

5,000

 

6/20/07

 

4.65

%

164,492

 

Credit Suisse First Boston

 

 

 

 

 

 

 

 

 

GMAC

 

7,000

 

12/20/10

 

5.22

%

800,604

 

Qwest Holding

 

7,000

 

12/20/06

 

(1.45

)%

(48,140

)

Qwest Holding

 

7,000

 

12/20/10

 

4.56

%

703,141

 

 



 

 

 

Notional

 

 

 

Fixed

 

 

 

 

 

Amount Payable

 

 

 

Payments

 

Unrealized

 

Swap Counterparty/

 

on Default

 

Termination

 

Received (Paid)

 

Appreciation

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

(Depreciation)

 

Goldman Sachs

 

 

 

 

 

 

 

 

 

Bombardier

 

$

3,000

 

12/20/10

 

4.05

%

$

167,872

 

Ford Motor Credit

 

1,000

 

6/20/07

 

3.00

%

9,205

 

Ford Motor Credit

 

7,000

 

12/20/10

 

5.90

%

(413,129

)

Reliant Energy

 

7,000

 

12/20/06

 

(0.85

)%

5,732

 

HSBC Bank

 

 

 

 

 

 

 

 

 

Ford Motor Credit

 

5,000

 

6/20/07

 

2.67

%

29,955

 

Ford Motor Credit

 

1,000

 

6/20/07

 

2.70

%

6,283

 

JP Morgan Chase

 

 

 

 

 

 

 

 

 

American International Group

 

5,100

 

6/20/10

 

0.35

%

44,625

 

Ford Motor Credit

 

10,000

 

6/20/07

 

3.10

%

100,936

 

Lehman Securities

 

 

 

 

 

 

 

 

 

Ford Motor Credit

 

7,000

 

12/20/06

 

(2.05

)%

17,514

 

MGM

 

7,000

 

12/20/06

 

(0.70

)%

(11,249

)

Merrill Lynch & Co.

 

 

 

 

 

 

 

 

 

Federation of Russia

 

5,000

 

7/20/07

 

0.40

%

4,591

 

Ford Motor Credit

 

5,000

 

6/20/07

 

2.80

%

35,512

 

Ford Motor Credit

 

2,000

 

6/20/07

 

3.45

%

27,178

 

Reliant Energy

 

2,000

 

12/20/10

 

2.80

%

(7,421

)

Morgan Stanley Dean Witter

 

 

 

 

 

 

 

 

 

Federation of Russia

 

5,000

 

6/20/07

 

0.39

%

4,540

 

Ford Motor Credit

 

1,000

 

6/20/07

 

3.40

%

13,102

 

Ford Motor Credit

 

2,000

 

6/20/07

 

3.75

%

33,023

 

Ford Motor Credit

 

5,000

 

9/20/10

 

4.05

%

(30,243

)

GMAC

 

7,000

 

12/20/06

 

(2.10

)%

(46,015

)

MGM

 

7,000

 

12/20/10

 

2.55

%

279,927

 

Reliant Energy

 

5,000

 

12/20/10

 

2.90

%

(197

)

UBS Securities

 

 

 

 

 

 

 

 

 

Ford Motor Credit

 

1,000

 

6/20/07

 

3.35

%

12,522

 

GMAC

 

10,000

 

9/20/06

 

1.60

%

30,233

 

 

 

 

 

 

 

 

 

$

2,155,542

 

 

(4) Interest rate swap agreements outstanding at July 31, 2006:

 

 

Notional

 

 

 

Rate Type

 

Unrealized

 

Swap

 

Amount

 

Termination

 

Payments made

 

Payments Received

 

Appreciation

 

Counterparty

 

(000)

 

Date

 

by Fund

 

by Fund

 

(Depreciation)

 

Barclays Bank

 

$

160,000

 

6/21/25

 

3 Month LIBOR

 

5.70%

 

$

368,423

 

Barclays Bank

 

160,000

 

6/21/25

 

5.70%

 

3 Month LIBOR

 

(567,760

)

Lehman Securities

 

7,450

 

10/1/06

 

7.43%

 

3 Month LIBOR + 1.15%

 

(153,955

)

Lehman Securities

 

334,000

 

2/23/16

 

4.405%

 

3 Month LIBOR

 

2,901,071

 

Lehman Securities

 

334,000

 

2/23/16

 

3 Month LIBOR

 

5.80%

 

(1,178,873

)

Lehman Securities

 

700,000

 

12/18/24

 

5.77%

 

3 Month LIBOR

 

(11,760,840

)

Lehman Securities

 

680,000

 

12/18/24

 

3 Month LIBOR

 

5.70%

 

4,544,465

 

 

 

 

 

 

 

 

 

 

 

$

(5,847,469)

 

 

LIBOR- London Interbank Offered Rate



(5) Forward foreign currency contracts outstanding at July 31, 2006:

 

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

U.S. $ Value

 

U.S. $ Value

 

Appreciation

 

 

 

 

 

Origination Date

 

July 31, 2006

 

(Depreciation)

 

Purchased:

 

66,000 Euro settling 8/31/06

 

$

82,850

 

$

84,413

 

$

1,563

 

 

 

584,802,000 Japanese Yen settling 8/15/06

 

5,174,392

 

5,122,084

 

(52,308

)

Sold:

 

1,750,000 Canadian Dollar settling 9/7/06

 

1,534,529

 

1,550,194

 

(15,665

)

 

 

9,260,000 Euro settling 9/29/06

 

11,857,153

 

11,862,867

 

(5,714

)

 

 

6,280,000 British Pound settling 9/7/06

 

11,672,856

 

11,735,082

 

(62,226

)

 

 

 

 

 

 

 

 

$

(134,350

)

 



Item 2. Controls and Procedures

(a)           The registrant’s President and Chief Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b)           There were no significant changes in the registrant’s internal controls or in factors that could affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 3. Exhibits

(a) Exhibit 99.302 Cert. – Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002



SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: PIMCO Corporate Income Fund

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

Date: September 26, 2006

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

Date: September 26, 2006

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dated indicated.

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

Date: September 26, 2006

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

Date: September 26, 2006