N-Q 1 a08-23211_1nq.htm N-Q

 

 

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

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:    April 30, 2010
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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:

October 31, 2008

 

 

 

 

Date of reporting period:

July 31, 2008

 

 

Form N-Q is to be used by management investment companies, other than small business investment companies 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, 2008 (unaudited)

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

CORPORATE BONDS & NOTES—76.4%

 

 

 

 

 

Airlines—3.6%

 

 

 

 

 

 

 

American Airlines, Inc.,

 

 

 

 

 

$1,546

 

6.978%, 10/1/12

 

Baa2/A-

 

$1,460,613

 

1,000

 

7.858%, 4/1/13

 

Baa2/A-

 

920,000

 

 

 

Continental Airlines, Inc.,

 

 

 

 

 

10,000

 

6.503%, 12/15/12

 

Baa2/BBB+

 

9,000,000

 

749

 

6.545%, 8/2/20

 

Baa2/A-

 

663,185

 

3,035

 

7.056%, 3/15/11

 

Baa2/A-

 

2,913,600

 

2,250

 

9.798%, 4/1/21

 

Ba1/BB+

 

1,698,582

 

336

 

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

 

NR/BBB

 

305,859

 

9,673

 

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

 

Aaa/AAA

 

8,595,169

 

 

 

United Air Lines, Inc.,

 

 

 

 

 

1,538

 

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

 

Ba2/BB-

 

1,157,343

 

378

 

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

 

NR/NR

 

3,682

 

 

 

 

 

 

 

26,718,033

 

 

 

 

 

 

 

 

 

Automotive—0.1%

 

 

 

 

 

1,500

 

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

 

Caa1/CCC+

 

802,500

 

 

 

 

 

 

 

 

 

Banking—17.5%

 

 

 

 

 

6,000

 

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

 

Aa3/A+

 

5,823,048

 

3,100

 

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

 

Aa2/AA

 

3,108,513

 

 

 

Bank of America Corp., FRN (f),

 

 

 

 

 

20,000

 

8.00%, 1/30/18

 

A1/A+

 

18,528,200

 

1,400

 

8.125%, 5/15/18

 

A1/A+

 

1,304,044

 

 

 

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

 

 

 

 

 

4,600

 

7.434%, 12/15/17

 

Aa3/A+

 

3,976,001

 

9,700

 

7.70%, 4/25/18

 

Aa2/A+

 

9,394,305

 

6,900

 

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

 

Aa3/AA-

 

5,945,247

 

5,000

 

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

 

Baa2/BBB

 

4,958,805

 

2,700

 

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

 

Aa3/A+

 

2,301,526

 

2,800

 

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

 

Aa3/A

 

2,219,392

 

7,500

 

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

 

Aa1/AA-

 

7,308,308

 

6,450

 

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

 

A1/A

 

5,310,298

 

2,000

 

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

 

Aa3/A+

 

1,811,100

 

 

 

HSBC Capital Funding L.P.,

 

 

 

 

 

3,000

 

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

 

A1/A

 

2,667,651

 

900

 

4.61%, 12/31/49

 

NR/NR

 

800,295

 

1,000

 

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

 

A1/A

 

1,190,288

 

 

 

HSBC Holdings PLC,

 

 

 

 

 

6,450

 

6.50%, 5/2/36

 

Aa3/A+

 

5,928,130

 

2,100

 

6.50%, 9/15/37

 

Aa3/A+

 

1,911,048

 

2,300

 

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

 

Aa2/AA

 

2,082,760

 

4,600

 

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

 

Aa2/AA

 

3,870,518

 

8,500

 

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

 

Aa3/A

 

7,116,226

 

1,000

 

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

 

Aa3/A

 

903,201

 

3,100

 

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

 

A1/A

 

3,125,854

 

7,300

 

UBS AG, 5.75%, 4/25/18

 

Aa1/AA-

 

6,974,690

 

5,700

 

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

 

A1/A+

 

3,992,240

 

 

 

Wachovia Corp.,

 

 

 

 

 

2,100

 

5.75%, 2/1/18

 

Aa3/AA-

 

1,801,185

 

15,000

 

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

 

A2/A

 

11,554,590

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Banking (continued)

 

 

 

 

 

$7,200

 

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

 

Aa2/AA-

 

$6,156,338

 

 

 

 

 

 

 

132,063,801

 

 

 

 

 

 

 

 

 

Diversified Manufacturing—0.7%

 

 

 

 

 

1,500

 

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

 

Ba2/BB+

 

1,537,500

 

 

 

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

 

 

 

 

 

3,500

 

6.25%, 1/24/14

 

A3/A-

 

3,559,083

 

500

 

6.50%, 2/13/13

 

A3/A-

 

514,458

 

 

 

 

 

 

 

5,611,041

 

 

 

 

 

 

 

 

 

Energy—3.2%

 

 

 

 

 

1,200

 

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

 

Baa3/BBB

 

1,243,884

 

2,000

 

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

 

Ba3/B

 

1,957,500

 

2,000

 

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

 

Ba3/BB-

 

2,157,406

 

4,300

 

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

 

Baa3/BBB-

 

4,390,339

 

3,900

 

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

 

Baa2/BBB

 

3,868,063

 

4,100

 

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

 

Baa3/BBB-

 

4,155,887

 

1,200

 

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

 

Baa2/BBB-

 

1,182,000

 

3,000

 

Sonat, Inc., 7.625%, 7/15/11

 

Ba3/BB-

 

3,075,231

 

500

 

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

 

Baa3/BB

 

484,682

 

1,100

 

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

 

Baa3/BB

 

1,174,168

 

250

 

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

 

Baa2/BBB-

 

275,000

 

 

 

 

 

 

 

23,964,160

 

 

 

 

 

 

 

 

 

Financial Services—19.8%

 

 

 

 

 

2,000

 

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

 

A1/A+

 

2,004,438

 

1,800

 

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

 

Aa2/AA-

 

1,858,997

 

7,704

 

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

 

Baa3/BBB-

 

8,296,368

 

4,300

 

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

 

NR/BBB-

 

3,929,985

 

3,261

 

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

 

Baa2/BBB-

 

3,575,103

 

10,000

 

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

 

A1/A

 

9,184,490

 

 

 

Citigroup, Inc.,

 

 

 

 

 

3,100

 

6.125%, 11/21/17

 

Aa3/AA-

 

2,984,835

 

4,000

 

6.125%, 5/15/18

 

Aa3/AA-

 

3,846,428

 

2,000

 

6.125%, 8/25/36

 

A1/A+

 

1,684,772

 

7,700

 

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

 

A2/A

 

6,602,673

 

1,000

 

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

 

B1/BB

 

1,020,000

 

 

 

General Electric Capital Corp.,

 

 

 

 

 

10,100

 

6.375%, 11/15/67, FRN

 

Aa1/AA+

 

9,369,679

 

£500

 

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

 

Aa1/AA+

 

931,594

 

$1,180

 

8.30%, 9/20/09

 

Aaa/AAA

 

1,234,482

 

5,000

 

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

 

B2/B

 

2,873,560

 

 

 

Goldman Sachs Group, Inc.,

 

 

 

 

 

5,200

 

6.15%, 4/1/18

 

Aa3/AA-

 

5,032,477

 

4,000

 

6.45%, 5/1/36

 

A1/A+

 

3,452,176

 

€250

 

Green Valley Ltd., 8.562%, 1/10/11, FRN (a)(b)(d)

 

NR/BB+

 

390,453

 

 

 

JPMorgan Chase & Co.,

 

 

 

 

 

$4,400

 

6.00%, 1/15/18

 

Aa2/AA-

 

4,288,742

 

3,600

 

6.40%, 5/15/38

 

Aa2/AA-

 

3,345,588

 

7,100

 

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

 

Aa3/A

 

6,166,591

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$4,100

 

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

 

Aa3/A

 

$3,379,978

 

 

 

Lehman Brothers Holdings, Inc.,

 

 

 

 

 

2,700

 

6.50%, 7/19/17

 

A2/A

 

2,447,482

 

13,000

 

6.875%, 5/2/18

 

A1/A+

 

12,259,078

 

5,000

 

7.50%, 5/11/38

 

A2/A

 

4,488,290

 

3,900

 

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

 

Aa3/A+

 

3,123,600

 

3,100

 

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

 

A2/A

 

2,663,396

 

 

 

Morgan Stanley,

 

 

 

 

 

7,900

 

5.75%, 8/31/12

 

Aa3/AA-

 

7,762,967

 

4,000

 

6.00%, 4/28/15

 

Aa3/AA-

 

3,771,600

 

5,000

 

6.625%, 4/1/18

 

Aa3/AA-

 

4,649,055

 

2,000

 

Preferred Term Securities XIII, 3.364%, 3/24/34, FRN (a)(b)(d)

 

Aaa/AAA

 

1,790,000

 

4,200

 

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

 

Aa2/A+

 

3,993,314

 

5,700

 

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

 

Aa3/A

 

4,877,689

 

1,500

 

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

 

B1/B+

 

1,533,750

 

1,000

 

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

 

B3/B-

 

980,000

 

10,100

 

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

 

Aa3/AA-

 

9,591,000

 

 

 

 

 

 

 

149,384,630

 

 

 

 

 

 

 

 

 

Food & Beverage—1.8%

 

 

 

 

 

 

 

Albertson’s, Inc.,

 

 

 

 

 

1,500

 

7.75%, 6/15/26

 

B1/B+

 

1,423,951

 

9,000

 

8.00%, 5/1/31

 

B1/B+

 

8,721,099

 

3,000

 

Ingles Markets, Inc., 8.875%, 12/1/11

 

B2/B+

 

3,052,500

 

 

 

 

 

 

 

13,197,550

 

 

 

 

 

 

 

 

 

Healthcare & Hospitals—0.9%

 

 

 

 

 

1,400

 

Covidien International Finance S.A., 6.55%, 10/15/37

 

Baa1/A-

 

1,369,721

 

 

 

HCA, Inc.,

 

 

 

 

 

1,000

 

8.70%, 2/10/10

 

Caa1/B-

 

1,017,811

 

4,050

 

9.25%, 11/15/16

 

B2/BB-

 

4,181,625

 

 

 

 

 

 

 

6,569,157

 

 

 

 

 

 

 

 

 

Hotels/Gaming—0.6%

 

 

 

 

 

500

 

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

 

B1/B+

 

490,000

 

2,449

 

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

 

Baa3/BBB-

 

2,472,839

 

2,000

 

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

 

Ba2/BBB-

 

1,820,000

 

 

 

 

 

 

 

4,782,839

 

 

 

 

 

 

 

 

 

Industrial—0.1%

 

 

 

 

 

700

 

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

 

Baa1/BBB+

 

690,768

 

 

 

 

 

 

 

 

 

Insurance—1.1%

 

 

 

 

 

7,100

 

American International Group, Inc., 8.175%, 5/15/68, FRN (a)(d)

 

A1/A

 

6,396,518

 

2,300

 

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

 

NR/A-

 

2,338,757

 

 

 

 

 

 

 

8,735,275

 

 

 

 

 

 

 

 

 

Metals & Mining—1.7%

 

 

 

 

 

300

 

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

 

Aa3/A

 

281,458

 

3,000

 

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

 

Baa2/BBB+

 

3,141,177

 

4,700

 

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

 

Baa2/BBB-

 

6,113,938

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Metals & Mining (continued)

 

 

 

 

 

 

 

Vale Overseas Ltd.,

 

 

 

 

 

$1,900

 

6.25%, 1/11/16

 

Baa3/BBB

 

$1,900,268

 

1,700

 

6.875%, 11/21/36

 

Baa2/BBB

 

1,639,118

 

 

 

 

 

 

 

13,075,959

 

 

 

 

 

 

 

 

 

Multi-Media—4.9%

 

 

 

 

 

5,000

 

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

 

Baa2/BBB+

 

5,532,210

 

2,250

 

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

 

Baa3/BBB

 

2,583,032

 

 

 

CSC Holdings, Inc.,

 

 

 

 

 

1,000

 

7.625%, 4/1/11

 

B1/BB

 

993,750

 

1,700

 

7.875%, 2/15/18

 

B1/BB

 

1,591,625

 

6,625

 

8.125%, 8/15/09

 

B1/BB

 

6,707,813

 

 

 

Historic TW, Inc.,

 

 

 

 

 

500

 

6.625%, 5/15/29

 

Baa2/BBB+

 

454,274

 

5,000

 

9.125%, 1/15/13

 

Baa2/BBB+

 

5,476,355

 

1,610

 

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

 

Baa2/BBB+

 

1,646,246

 

 

 

Rogers Cable, Inc.,

 

 

 

 

 

CAD 1,750

 

7.25%, 12/15/11

 

Baa3/BBB-

 

1,796,465

 

$3,000

 

8.75%, 5/1/32

 

Baa3/BBB-

 

3,401,748

 

 

 

Time Warner Cable, Inc.,

 

 

 

 

 

230

 

5.85%, 5/1/17

 

Baa2/BBB+

 

220,168

 

1,830

 

6.55%, 5/1/37

 

Baa2/BBB+

 

1,696,772

 

3,250

 

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

 

Ba3/B

 

3,014,375

 

2,000

 

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

 

Baa2/BBB

 

1,959,084

 

 

 

 

 

 

 

37,073,917

 

 

 

 

 

 

 

 

 

Oil & Gas—4.6%

 

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

1,000

 

7.25%, 12/15/18

 

Ba3/BB

 

985,000

 

4,400

 

7.625%, 7/15/13

 

Ba3/BB

 

4,499,000

 

1,420

 

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

 

Ba3/B

 

1,435,214

 

1,975

 

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

 

Ba3/BB-

 

2,020,703

 

900

 

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

 

Baa2/A-

 

873,743

 

 

 

Gaz Capital S.A.,

 

 

 

 

 

800

 

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

 

A3/BBB

 

739,760

 

4,900

 

8.625%, 4/28/34

 

A3/BBB

 

5,267,500

 

9,200

 

Gazprom AG, 9.625%, 3/1/13

 

A3/BBB

 

10,120,000

 

2,000

 

Newfield Exploration Co., 7.125%, 5/15/18

 

Ba3/BB-

 

1,900,000

 

703

 

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

 

NR/NR

 

743,739

 

1,000

 

Range Resources Corp., 7.25%, 5/1/18

 

Ba3/BB

 

980,000

 

1,700

 

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

 

Aa2/A

 

1,585,420

 

750

 

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

 

Aa2/A

 

671,067

 

875

 

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

 

B3/B-

 

870,625

 

2,000

 

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

 

Baa1/BBB+

 

2,253,364

 

 

 

 

 

 

 

34,945,135

 

 

 

 

 

 

 

 

 

Paper/Paper Products—1.7%

 

 

 

 

 

 

 

Georgia-Pacific LLC,

 

 

 

 

 

2,250

 

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

 

Ba3/BB-

 

2,103,750

 

10,500

 

8.00%, 1/15/24

 

B2/B+

 

9,712,500

 

500

 

8.125%, 5/15/11

 

B2/B+

 

495,000

 

850

 

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

 

B1/BB-

 

535,500

 

 

 

 

 

 

 

12,846,750

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Pharmaceuticals—0.3%

 

 

 

 

 

$1,000

 

Hospira, Inc., 6.05%, 3/30/17

 

Baa3/BBB

 

$969,507

 

1,000

 

Wyeth, 6.50%, 2/1/34

 

A3/A+

 

1,033,604

 

 

 

 

 

 

 

2,003,111

 

 

 

 

 

 

 

 

 

Technology—0.2%

 

 

 

 

 

2,000

 

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

 

B3/B

 

1,772,500

 

 

 

 

 

 

 

 

 

Telecommunications—7.6%

 

 

 

 

 

 

 

AT&T Corp.,

 

 

 

 

 

792

 

7.30%, 11/15/11

 

A2/A

 

843,554

 

5,000

 

8.00%, 11/15/31

 

A2/A

 

5,715,395

 

5,000

 

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

 

A2/A

 

5,366,900

 

 

 

Citizens Communications Co.,

 

 

 

 

 

1,000

 

7.875%, 1/15/27

 

Ba2/BB

 

885,000

 

3,100

 

9.25%, 5/15/11

 

Ba2/BB

 

3,239,500

 

3,000

 

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

 

Baa1/BBB+

 

3,357,993

 

 

 

Embarq Corp.,

 

 

 

 

 

5,000

 

7.082%, 6/1/16

 

Baa3/BBB-

 

4,690,075

 

5,000

 

7.995%, 6/1/36

 

Baa3/BBB-

 

4,536,140

 

3,000

 

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

 

A3/A-

 

3,572,571

 

2,000

 

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

 

Baa3/BB

 

1,540,954

 

1,000

 

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

 

B1/B+

 

957,500

 

2,000

 

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

 

Ba3/B+

 

1,855,000

 

 

 

Qwest Corp.,

 

 

 

 

 

2,300

 

6.026%, 6/15/13, FRN

 

Ba1/BBB-

 

2,144,750

 

8,860

 

7.20%, 11/10/26

 

Ba1/BBB-

 

6,955,100

 

 

 

Sprint Capital Corp.,

 

 

 

 

 

3,800

 

6.90%, 5/1/19

 

Baa3/BB

 

3,245,306

 

6,200

 

8.75%, 3/15/32

 

Baa3/BB

 

5,546,297

 

1,200

 

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

 

A3/A

 

1,202,741

 

1,500

 

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

 

Baa3/A

 

1,463,137

 

 

 

 

 

 

 

57,117,913

 

 

 

 

 

 

 

 

 

Transportation—0.1%

 

 

 

 

 

400

 

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

 

Baa1/BBB+

 

392,669

 

 

 

 

 

 

 

 

 

Utilities—5.6%

 

 

 

 

 

1,000

 

CMS Energy Corp., 3.741%, 1/15/13, FRN

 

Ba1/BB+

 

915,000

 

2,812

 

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

 

Baa3/BBB-

 

2,891,060

 

400

 

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

 

Baa3/BBB+

 

374,309

 

2,000

 

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

 

Baa3/BBB-

 

2,153,036

 

2,000

 

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

 

Baa2/BBB+

 

2,172,282

 

3,085

 

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

 

Ba2/BB

 

3,115,850

 

5,740

 

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

 

Ba2/BB

 

5,940,900

 

3,339

 

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

 

Baa3/BB+

 

3,447,725

 

2,000

 

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

 

A2/A

 

2,225,042

 

6,000

 

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

 

Ba3/BB-

 

6,307,902

 

8,000

 

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

 

Baa1/BBB

 

9,570,680

 

2,440

 

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

 

Ba2/B

 

2,564,297

 

642

 

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

 

Baa3/BBB+

 

630,896

 

 

 

 

 

 

 

42,308,979

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Waste Disposal—0.3%

 

 

 

 

 

$2,580

 

Waste Management, Inc., 7.10%, 8/1/26

 

Baa3/BBB

 

$2,503,921

 

 

 

Total Corporate Bonds & Notes (cost—$620,651,280)

 

 

 

576,560,608

 

 

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES—3.8%

 

 

 

 

 

 

 

Fannie Mae—3.8%

 

 

 

 

 

369

 

5.301%, 11/1/35, FRN, MBS

 

Aaa/AAA

 

378,658

 

5,900

 

5.50%, MBS, TBA (e)

 

Aaa/AAA

 

5,773,705

 

222

 

7.00%, 2/1/29, MBS

 

Aaa/AAA

 

234,064

 

88

 

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

 

Aaa/AAA

 

90,944

 

66

 

7.00%, 1/1/32, MBS

 

Aaa/AAA

 

69,937

 

1,342

 

7.00%, 6/1/32, MBS

 

Aaa/AAA

 

1,403,255

 

94

 

7.00%, 10/1/32, MBS

 

Aaa/AAA

 

98,032

 

88

 

7.00%, 11/1/32, MBS

 

Aaa/AAA

 

92,501

 

281

 

7.00%, 12/1/32, MBS

 

Aaa/AAA

 

294,393

 

88

 

7.00%, 1/1/33, MBS

 

Aaa/AAA

 

91,963

 

123

 

7.00%, 2/1/33, MBS

 

Aaa/AAA

 

128,488

 

346

 

7.00%, 3/1/33, MBS

 

Aaa/AAA

 

361,921

 

940

 

7.00%, 5/1/33, MBS

 

Aaa/AAA

 

984,006

 

53

 

7.00%, 6/1/33, MBS

 

Aaa/AAA

 

55,547

 

128

 

7.00%, 7/1/33, MBS

 

Aaa/AAA

 

134,540

 

316

 

7.00%, 1/1/34, MBS

 

Aaa/AAA

 

331,503

 

473

 

7.00%, 3/1/34, MBS

 

Aaa/AAA

 

497,564

 

264

 

7.00%, 9/1/34, MBS

 

Aaa/AAA

 

275,920

 

1,502

 

7.00%, 4/1/35, MBS

 

Aaa/AAA

 

1,572,247

 

478

 

7.00%, 6/1/35, MBS

 

Aaa/AAA

 

500,892

 

1,812

 

7.00%, 10/1/35, MBS

 

Aaa/AAA

 

1,898,411

 

1,861

 

7.00%, 2/1/36, MBS

 

Aaa/AAA

 

1,950,854

 

52

 

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

 

Aaa/AAA

 

54,785

 

985

 

7.00%, 12/25/41, CMO

 

Aaa/AAA

 

1,033,860

 

26

 

7.50%, 12/25/19, CMO

 

Aaa/AAA

 

28,317

 

230

 

7.50%, 5/1/22, MBS

 

Aaa/AAA

 

247,020

 

12

 

7.50%, 6/25/30, CMO

 

Aaa/AAA

 

12,266

 

231

 

7.50%, 12/1/33, MBS

 

Aaa/AAA

 

247,864

 

52

 

7.50%, 11/25/40, CMO

 

Aaa/AAA

 

54,549

 

103

 

7.50%, 5/25/42, CMO

 

Aaa/AAA

 

109,905

 

4,618

 

7.50%, 12/25/45, CMO

 

Aaa/AAA

 

4,862,546

 

24

 

8.00%, 7/18/27, CMO

 

Aaa/AAA

 

25,671

 

4,626

 

8.00%, 12/25/45, CMO

 

Aaa/AAA

 

4,893,325

 

 

 

 

 

 

 

28,789,453

 

 

 

Freddie Mac—0.0%

 

 

 

 

 

63

 

7.50%, 11/1/19, MBS

 

Aaa/AAA

 

66,246

 

21

 

8.00%, 9/15/26, CMO

 

Aaa/AAA

 

23,021

 

5

 

9.50%, 5/15/21, CMO

 

Aaa/AAA

 

5,340

 

 

 

 

 

 

 

94,607

 

 

 

Total U.S. Government Agency Securities (cost—$28,516,517)

 

 

 

28,884,060

 

 

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS—2.2%

 

 

 

 

 

Colombia—0.2%

 

 

 

 

 

1,000

 

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

 

Ba1/BBB-

 

1,095,000

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Guatemala—0.2%

 

 

 

 

 

$1,500

 

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

 

Ba2/BB

 

$1,702,500

 

 

 

 

 

 

 

 

 

Panama—1.3%

 

 

 

 

 

7,170

 

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

 

Ba1/BB+

 

9,417,795

 

 

 

 

 

 

 

 

 

Russia—0.1%

 

 

 

 

 

578

 

Russian Federation, 8.25%, 3/31/10

 

Baa2/BBB+

 

601,208

 

 

 

 

 

 

 

 

 

South Africa—0.3%

 

 

 

 

 

 

 

Republic of South Africa,

 

 

 

 

 

2,600

 

5.875%, 5/30/22

 

Baa1/BBB+

 

2,446,538

 

120

 

7.375%, 4/25/12

 

Baa1/BBB+

 

127,800

 

 

 

 

 

 

 

2,574,338

 

 

 

 

 

 

 

 

 

Ukraine—0.1%

 

 

 

 

 

1,000

 

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

 

B1/B+

 

978,750

 

 

 

Total Sovereign Debt Obligations (cost—$16,670,942)

 

 

 

16,369,591

 

 

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES—1.7%

 

 

 

 

 

3,500

 

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

 

NR/BB+

 

3,022,737

 

1,000

 

Citigroup/Deutsche Bank Commercial Mortgage Trust,

 

 

 

 

 

 

 

5.617%, 10/15/48, CMO

 

Aaa/AAA

 

945,462

 

 

 

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

 

 

 

 

 

2,490

 

7.50%, 6/19/27, VRN

 

NR/NR

 

2,534,640

 

67

 

7.50%, 6/19/32, VRN

 

NR/NR

 

71,826

 

2,693

 

7.50%, 6/25/43

 

NR/NR

 

2,675,573

 

1,000

 

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

 

NR/AAA

 

911,744

 

 

 

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

 

 

 

 

 

2,805

 

6.854%, 12/15/30

 

A3/AA

 

2,735,848

 

5

 

7.192%, 2/15/30

 

Aaa/BBB+

 

4,395

 

255

 

Washington Mutual Mortgage, 4.291%, 8/25/46, CMO, FRN

 

Aaa/AAA

 

143,444

 

57

 

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

 

Aaa/AAA

 

56,968

 

 

 

Total Mortgage-Backed Securities (cost—$13,980,202)

 

 

 

13,102,637

 

 

 

 

 

 

 

 

 

MUNICIPAL BONDS (g)—2.9%

 

 

 

 

 

New Jersey—2.9%

 

 

 

 

 

 

 

Tobacco Settlement Financing Corp. Rev.,

 

 

 

 

 

6,420

 

5.75%, 6/1/32

 

Aaa/AAA

 

6,891,228

 

4,850

 

6.125%, 6/1/24

 

Aaa/AAA

 

5,136,247

 

8,480

 

6.375%, 6/1/32

 

Aaa/AAA

 

9,581,636

 

 

 

Total Municipal Bonds (cost—$19,132,755)

 

 

 

21,609,111

 

 

 

 

 

 

 

 

 

SENIOR LOANS (a)(c)—1.0%

 

 

 

 

 

Containers & Packaging—0.1%

 

 

 

 

 

 

 

Smurfit-Stone Container,

 

 

 

 

 

131

 

2.713%, 11/1/10

 

 

 

127,156

 

64

 

4.50%, 11/1/10, Term C

 

 

 

61,645

 

39

 

4.50%, 11/1/11, Term B

 

 

 

38,331

 

107

 

5.125%, 11/1/11, Term B

 

 

 

104,226

 

215

 

5.125%, 11/1/11, Term C

 

 

 

208,452

 

 

 

 

 

 

 

539,810

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Energy—0.2%

 

 

 

 

 

 

 

 

 

AES Corp., Term B (b),

 

 

 

 

 

$715

 

5.063%, 8/10/11

 

 

 

$703,572

 

714

 

5.10%, 8/10/11

 

 

 

703,571

 

 

 

 

 

 

 

1,407,143

 

 

 

 

 

 

 

 

 

Financial Services—0.3%

 

 

 

 

 

2,481

 

Chrysler Financial Corp., 6.78%, 8/3/12

 

 

 

2,041,862

 

 

 

 

 

 

 

 

 

Healthcare & Hospitals—0.3%

 

 

 

 

 

2,955

 

HCA, Inc., 5.051%, 11/18/13, Term B

 

 

 

2,782,830

 

 

 

 

 

 

 

 

 

Hotels/Gaming—0.1%

 

 

 

 

 

992

 

Las Vegas Sands Corp., 4.56%, 5/23/14

 

 

 

859,455

 

 

 

Total Senior Loans (cost—$8,302,966)

 

 

 

7,631,100

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK—0.1%

 

 

 

 

 

Insurance—0.1%

 

 

 

 

 

13,500

 

American International Group, Inc., 8.50%, 8/1/11
(cost—$1,012,500)

 

A3/NR

 

776,520

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—0.1%

 

 

 

 

 

$288

 

SLM Student Loan Trust, 2.80%, 10/25/16, FRN (cost—$288,417)

 

Aaa/AAA

 

286,664

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—11.6%

 

 

 

 

 

U.S. Treasury Bills (h)—4.7%

 

 

 

 

 

35,500

 

1.33%-1.81%, 8/28/08-9/25/08 (cost—$35,418,339)

 

NR/NR

 

35,418,339

 

 

 

 

 

 

 

 

 

Corporate Notes—2.4%

 

 

 

 

 

Airlines—0.2%

 

 

 

 

 

1,769

 

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

 

Ba2/BBB

 

1,751,621

 

 

 

 

 

 

 

 

 

Banking—1.1%

 

 

 

 

 

5,910

 

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

 

A1/A+

 

6,050,552

 

1,750

 

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

 

A2/A

 

1,817,205

 

 

 

 

 

 

 

7,867,757

 

 

 

 

 

 

 

 

 

Diversified Manufacturing—0.1%

 

 

 

 

 

1,030

 

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

 

NR/NR

 

1,034,045

 

 

 

 

 

 

 

 

 

Multi-Media—0.1%

 

 

 

 

 

925

 

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

 

Baa2/BBB+

 

926,888

 

 

 

 

 

 

 

 

 

Oil & Gas—0.3%

 

 

 

 

 

2,350

 

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

 

Ba1/BBB-

 

2,408,750

 

 

 

 

 

 

 

 

 

Telecommunications—0.1%

 

 

 

 

 

1,000

 

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

 

Baa3/BB

 

1,000,182

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Utilities—0.5%

 

 

 

 

 

$

3,247

 

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

 

Baa2/BBB

 

$

3,247,000

 

 

 

Total Corporate Notes (cost—$18,148,695)

 

 

 

18,236,243

 

 

 

 

 

 

 

 

 

Repurchase Agreements—4.5%

 

 

 

 

 

32,500

 

Credit Suisse First Boston, dated 7/31/08, 2.017%, due 8/1/08, proceeds $32,501,821; collateralized by U.S. Treasury Inflation Index Note, 1.875%, due 7/15/15, valued at $4,088,258 including accrued interest and U.S. Treasury Notes, 4.75%, due 11/15/08, valued at $29,173,830 including accrued interest

 

 

 

32,500,000

 

1,697

 

State Street Bank & Trust Co., dated 7/31/08, 1.65%, due 8/1/08, proceeds $1,697,078; collateralized by Freddie Mac Discount Note, 4.101%, due 8/22/08, valued at $1,735,650 including accrued interest

 

 

 

1,697,000

 

 

 

Total Repurchase Agreements (cost—$34,197,000)

 

 

 

34,197,000

 

 

 

Total Short-Term Investments (cost—$87,764,034)

 

 

 

87,851,582

 

 

 

 

 

 

 

 

 

Contracts/

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

OPTIONS PURCHASED (i)—0.3%

 

 

 

 

 

 

 

Call Options—0.2%

 

 

 

 

 

 

 

2-Year Interest Rate Swap (OTC),

 

 

 

 

 

 

 

Pay 3-Month USD-LIBOR Floating Rate Index,

 

 

 

 

 

59,000,000

 

strike rate 3.63%, expires 1/7/09

 

 

 

134,491

 

44,100,000

 

strike rate 4.75%, expires 9/8/09

 

 

 

690,919

 

1,000,000

 

strike rate 5.00%, expires 8/28/09

 

 

 

18,956

 

 

 

Euro versus U.S. Dollar (OTC),

 

 

 

 

 

2,500,000

 

strike price $1.37, expires 6/3/10

 

 

 

425,741

 

2,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

335,978

 

 

 

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

 

 

 

 

 

714

 

strike price $138, expires 8/22/08

 

 

 

13,169

 

 

 

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

 

 

 

 

 

255

 

strike price $123, expires 8/22/08

 

 

 

2,237

 

 

 

 

 

 

 

1,621,491

 

 

 

 

 

 

 

 

 

 

 

Put Options—0.1%

 

 

 

 

 

 

 

9-Year Interest Rate Swap (OTC),

 

 

 

 

 

 

 

Pay 3-Month USD-LIBOR Floating Rate Index,

 

 

 

 

 

59,000,000

 

strike rate 5.45%, expires 1/7/09

 

 

 

340,631

 

 

 

Euro versus U.S. Dollar (OTC),

 

 

 

 

 

2,500,000

 

strike price $1.37, expires 6/3/10

 

 

 

68,994

 

2,000,000

 

strike price $1.38, expires 5/21/10

 

 

 

55,242

 

 


 

Contracts/

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

Amount

 

 

 

 

 

Value*

 

 

 

Fannie Mae (OTC),

 

 

 

 

 

5,900,000

 

strike price $78, expires 10/7/08

 

 

 

$8

 

 

 

Financial Future Euro—90 day (CME),

 

 

 

 

 

360

 

strike price $90, expires 6/15/09

 

 

 

2,250

 

90

 

strike price $91, expires 12/14/09

 

 

 

542

 

700

 

strike price $93.25, expires 3/16/09

 

 

 

4,375

 

 

 

United Kingdom—90 day (CME),

 

 

 

 

 

276

 

strike price $89.50, expires 12/16/09

 

 

 

—

 

296

 

strike price $89.625, expires 6/17/09

 

 

 

1

 

230

 

strike price $91.25, expires 12/17/08

 

 

 

—

 

125

 

strike price $92, expires 3/18/09

 

 

 

1,548

 

 

 

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

 

 

 

 

 

318

 

strike price $92, expires 8/22/08

 

 

 

4,545