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

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:    February 28, 2006
Estimated average burden hours per response........20.00

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-21238

 

 

PIMCO Corporate Opportunity 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:

November 30, 2006

 

 

 

 

Date of reporting period:

August 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 Opportunity Fund Schedule of Investments

August 31, 2006 (unaudited)

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

 

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES—79.4%

 

 

 

 

 

Airlines—3.9%

 

 

 

 

 

$

7,000

 

American Airlines, Inc., pass thru certificates, 7.858%, 4/1/13,
Ser. 01-2

 

Baa2/A-

 

$

7,481,285

 

 

 

Continental Airlines, Inc., pass thru certificates,

 

 

 

 

 

1,599

 

6.545%, 8/2/20

 

Baa3/A-

 

1,619,259

 

3,720

 

6.703%, 6/15/21, Ser. 01-1

 

Baa3/BBB+

 

3,798,244

 

1,695

 

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

 

Baa3/A-

 

1,748,425

 

2,390

 

7.373%, 6/15/17, Ser. 01-1

 

Ba1/BB+

 

2,313,877

 

9,296

 

7.707%, 10/2/22, Ser. 00-2

 

Baa3/BBB

 

9,977,842

 

1,936

 

9.798%, 4/1/21

 

Ba2/BBB-

 

2,038,033

 

 

 

Delta Air Lines, Inc., pass thru certificates,

 

 

 

 

 

8,000

 

7.57%, 5/18/12, Ser. 00-1

 

Ba2/BB

 

8,035,000

 

8,000

 

7.92%, 11/18/10, Ser. 00-1

 

Caa1/CCC+

 

7,625,000

 

15,500

 

Northwest Airlines, Inc., pass thru certificates, 6.841%, 4/1/11, Ser. 1A-2

 

Ba3/BB

 

15,374,063

 

 

 

 

 

 

 

60,011,028

 

 

 

 

 

 

 

 

 

Apparel & Textiles—0.3%

 

 

 

 

 

1,000

 

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

 

B1/BB-

 

937,500

 

3,000

 

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

 

NR/B

 

3,138,750

 

 

 

 

 

 

 

4,076,250

 

 

 

 

 

 

 

 

 

Automotive—0.5%

 

 

 

 

 

4,000

 

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

 

A3/BBB

 

5,913,608

 

2,500

 

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

 

B2/BB+

 

2,200,000

 

 

 

 

 

 

 

8,113,608

 

 

 

 

 

 

 

 

 

Banking—4.6%

 

 

 

 

 

625

 

Bank of America, 9.375%, 9/15/09

 

Aa3/A+

 

697,451

 

 

 

HSBC Capital Funding L.P., VRN,

 

 

 

 

 

8,000

 

4.61%, 6/27/13 (d)

 

A1/A

 

7,388,424

 

2,000

 

10.176%, 6/30/30

 

A1/A

 

2,875,336

 

8,550

 

HSBC Holdings PLC, 6.50%, 5/2/36

 

Aa3/A+

 

9,033,665

 

4,600

 

Rabobank Capital Funding Trust, 5.254%, 10/21/16, UNIT,
VRN (d)

 

Aa2/AA

 

4,387,163

 

15,000

 

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

 

A1/A+

 

16,501,725

 

9,706

 

Riggs Capital Trust, 8.875%, 3/15/27, Ser. C

 

A3/BBB+

 

10,287,224

 

3,500

 

Royal Bank of Canada, 5.999%, 11/8/11, Ser. N, FRN

 

Aa3/A+

 

3,502,859

 

2,000

 

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

 

A1/A

 

2,273,266

 

8,000

 

Sumitomo Mitsui Banking Corp., 8.15%, 8/1/08

 

A2/NR

 

8,364,248

 

4,800

 

USB Capital IX, 6.189%, 4/15/11, VRN

 

Aa3/A

 

4,824,850

 

 

 

 

 

 

 

70,136,211

 

 

 

 

 

 

 

 

 

Building/Construction—0.4%

 

 

 

 

 

5,000

 

Pulte Homes, Inc., 7.875%, 8/1/11

 

Baa3/BBB

 

5,377,345

 

 

 

 

 

 

 

 

 

Computer Services—0.7%

 

 

 

 

 

 

 

Electronic Data Systems Corp.,

 

 

 

 

 

4,000

 

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

 

Ba1/BBB-

 

4,023,188

 

3,500

 

7.125%, 10/15/09

 

Ba1/BBB-

 

3,651,578

 

3,000

 

Sungard Data Systems, Inc., 9.125%, 8/15/13

 

B3/B-

 

3,112,500

 

 

 

 

 

 

 

10,787,266

 

 




 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Containers—0.5%

 

 

 

 

 

 

 

Smurfit-Stone Container,

 

 

 

 

 

$

4,000

 

8.375%, 7/1/12

 

B2/CCC+

 

$

3,830,000

 

3,437

 

9.75%, 2/1/11

 

B2/CCC+

 

3,548,703

 

 

 

 

 

 

 

7,378,703

 

 

 

 

 

 

 

 

 

Diversified Manufacturing—0.8%

 

 

 

 

 

5,000

 

Hutchison Whampoa International Ltd., 7.45%, 11/24/33 (d)

 

A3/A-

 

5,617,180

 

£

3,340

 

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

 

Baa3/BBB+

 

7,176,742

 

 

 

 

 

 

 

12,793,922

 

 

 

 

 

 

 

 

 

Electronics—0.1%

 

 

 

 

 

$

1,000

 

Arrow Electronics, Inc., 6.875%, 6/1/18

 

Baa3/BBB-

 

1,015,957

 

 

 

 

 

 

 

 

 

Energy—1.4%

 

 

 

 

 

5,000

 

Kinder Morgan Energy Partners L.P., 7.50%, 11/1/10

 

Baa1/BBB+

 

5,319,580

 

2,377

 

Salton SEA Funding, Inc., 8.30%, 5/30/11, Ser. E

 

Ba1/BB+

 

2,520,652

 

12,000

 

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

 

Ba2/B

 

12,957,048

 

 

 

 

 

 

 

20,797,280

 

 

 

 

 

 

 

 

 

Financial Services—7.9%

 

 

 

 

 

5,000

 

AES Red Oak LLC, 9.20%, 11/30/29, Ser. B

 

B1/B+

 

5,475,000

 

2,000

 

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

 

A1/A+

 

2,176,222

 

13,500

 

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

 

A1/A+

 

12,701,273

 

2,500

 

Canadian Oil Sands Ltd., 4.80%, 8/10/09 (d)

 

Baa2/BBB+

 

2,447,692

 

5,946

 

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

 

Baa2/BBB-

 

6,666,789

 

4,000

 

CIT Group, Inc., 6.875%, 11/1/09

 

A2/A

 

4,165,284

 

11,400

 

Ford Motor Credit Co., 7.875%, 6/15/10

 

Ba3/B+

 

11,213,108

 

 

 

General Electric Capital Corp.,

 

 

 

 

 

1,100

 

8.50%, 7/24/08

 

Aaa/AAA

 

1,160,806

 

4,990

 

9.83%, 12/15/08 (e)

 

NR/NR

 

5,480,609

 

10,000

 

Goldman Sachs Group, Inc., 7.35%, 10/1/09

 

Aa3/A+

 

10,595,690

 

6,500

 

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

 

A1/A

 

6,557,629

 

4,200

 

MBNA Capital, 6.289%, 2/1/27, Ser. B, FRN

 

Aa3/A

 

4,161,797

 

9,800

 

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

 

Baa1/BBB+

 

10,516,380

 

1,510

 

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

 

Baa1/BBB+

 

1,592,602

 

 

 

Pemex Project Funding Master Trust,

 

 

 

 

 

2,800

 

5.75%, 12/15/15

 

Baa1/BBB

 

2,727,900

 

5,700

 

5.75%, 12/15/15 (b)

 

Baa1/BBB

 

5,553,225

 

7,500

 

8.625%, 2/1/22

 

Baa1/BBB

 

9,056,250

 

13,500

 

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

 

A1/A

 

13,019,494

 

2,500

 

UBS Preferred Funding Trust V, 6.243%, 5/15/16, Ser. 1, VRN

 

A1/AA-

 

2,555,805

 

3,000

 

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

 

B2/B-

 

3,262,500

 

 

 

 

 

 

 

121,086,055

 

 

 

 

 

 

 

 

 

Food & Beverage—1.0%

 

 

 

 

 

5,000

 

Delhaize America, Inc., 8.125%, 4/15/11

 

Ba1/BB+

 

5,383,130

 

5,000

 

Kroger Co., 8.05%, 2/1/10

 

Baa2/BBB-

 

5,370,000

 

5,000

 

Tyson Foods, Inc., 6.85%, 4/1/16

 

Ba1/BBB-

 

5,082,555

 

 

 

 

 

 

 

15,835,685

 

 




 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Healthcare & Hospitals—1.0%

 

 

 

 

 

 

 

HCA, Inc.,

 

 

 

 

 

$

1,000

 

8.36%, 4/15/24

 

Ba2/BB+

 

$

809,184

 

800

 

9.00%, 12/15/14

 

Ba2/BB+

 

743,410

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

 

5,600

 

7.375%, 2/1/13

 

B3/B

 

5,012,000

 

9,400

 

9.25%, 2/1/15

 

B3/B

 

8,906,500

 

 

 

 

 

 

 

15,471,094

 

 

 

 

 

 

 

 

 

Hotels/Gaming—3.9%

 

 

 

 

 

 

 

Caesars Entertainment, Inc.,

 

 

 

 

 

2,000

 

7.00%, 4/15/13

 

Baa3/BBB-

 

2,067,194

 

5,000

 

7.50%, 9/1/09

 

Baa3/BBB-

 

5,233,375

 

2,000

 

8.875%, 9/15/08

 

Ba1/BB+

 

2,102,500

 

2,000

 

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

 

Ba3/BB-

 

1,970,000

 

2,000

 

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

 

B3/B-

 

2,040,000

 

 

 

Harrah’s Operating Co., Inc.,

 

 

 

 

 

4,000

 

5.50%, 7/1/10

 

Baa3/BBB-

 

3,952,552

 

3,730

 

8.00%, 2/1/11

 

Baa3/BBB-

 

4,018,314

 

3,000

 

Hilton Hotels Corp., 7.625%, 5/15/08

 

Ba2/BB

 

3,082,500

 

4,950

 

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

 

Baa3/BB+

 

5,296,500

 

1,200

 

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

 

Ba3/B+

 

1,273,500

 

3,750

 

MGM Mirage, Inc., 8.375%, 2/1/11

 

Ba3/B+

 

3,876,562

 

8,644

 

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

 

Baa3/BB+

 

9,940,240

 

14,950

 

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

 

B2/B+

 

14,352,000

 

 

 

 

 

 

 

59,205,237

 

 

 

 

 

 

 

 

 

Insurance—0.0%

 

 

 

 

 

500

 

Shackleton Reinsurance Ltd., 13.489%, 2/7/08, FRN (d)(e)

 

Ba3/BB

 

500,675

 

 

 

 

 

 

 

 

 

Manufacturing—0.1%

 

 

 

 

 

1,000

 

Bombardier, Inc., 6.75%, 5/1/12 (d)

 

Ba2/BB

 

943,750

 

 

 

 

 

 

 

 

 

Metals & Mining—0.8%

 

 

 

 

 

9,537

 

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

 

Baa2/BBB

 

12,381,696

 

 

 

 

 

 

 

 

 

Multi-Media—8.9%

 

 

 

 

 

2,000

 

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

 

B3/B+

 

2,020,000

 

2,000

 

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

 

B2/B-

 

2,030,000

 

5,000

 

Clear Channel Communications, Inc., 7.65%, 9/15/10

 

Baa3/BBB-

 

5,264,080

 

12,300

 

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

 

Baa2/BBB+

 

13,960,057

 

 

 

CSC Holdings, Inc.,

 

 

 

 

 

15,640

 

7.625%, 7/15/18

 

B2/B+

 

15,855,050

 

10,535

 

7.875%, 2/15/18

 

B2/B+

 

10,824,713

 

4,500

 

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

 

B2/B+

 

4,668,750

 

2,000

 

DirecTV Holdings LLC, 6.375%, 6/15/15

 

Ba2/BB-

 

1,880,000

 

15,000

 

Rogers Cable, Inc., 8.75%, 5/1/32

 

Ba2/BB+

 

17,100,000

 

 

 

Shaw Communications, Inc.,

 

 

 

 

 

5,000

 

7.20%, 12/15/11

 

Ba2/BB+

 

5,125,000

 

8,000

 

8.25%, 4/11/10

 

Ba2/BB+

 

8,450,000

 

 

 




 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Multi-Media—(continued)

 

 

 

 

 

$

18,000

 

Time Warner Entertainment Co. L.P., 8.375%, 7/15/33

 

Baa2/BBB+

 

$

20,702,268

 

11,000

 

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

 

Baa2/BBB+

 

12,059,916

 

12,495

 

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

 

Baa3/BB-

 

12,565,397

 

5,000

 

Viacom, Inc., 6.25%, 4/30/16 (d)

 

Baa3/BBB

 

4,943,980

 

 

 

 

 

 

 

137,449,211

 

 

 

 

 

 

 

 

 

Office Equipment—0.3%

 

 

 

 

 

5,000

 

Xerox Capital Trust I, 8.00%, 2/1/27

 

Ba3/B+

 

5,156,250

 

 

 

 

 

 

 

 

 

Oil & Gas—8.1%

 

 

 

 

 

 

 

CenterPoint Energy Res. Corp.,

 

 

 

 

 

23,000

 

7.75%, 2/15/11

 

Baa3/BBB

 

24,856,008

 

5,000

 

7.875%, 4/1/13, Ser. B

 

Baa3/BBB

 

5,520,770

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

300

 

7.50%, 6/15/14

 

Ba2/BB

 

303,750

 

3,000

 

7.75%, 1/15/15

 

Ba2/BB

 

3,075,000

 

 

 

El Paso Corp. (d),

 

 

 

 

 

23,200

 

7.42%, 2/15/37

 

B/B

 

22,040,000

 

5,000

 

7.625%, 9/1/08

 

B/B2

 

5,125,000

 

13,000

 

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

 

Baa1/BB+

 

16,185,000

 

8,700

 

Gazprom AG, 9.625%, 3/1/13

 

Baa1/BB+

 

10,314,720

 

1,030

 

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

 

B3/B

 

1,096,950

 

1,800

 

OAO Gazprom, 9.625%, 3/1/13 (d)

 

Baa1/BB+

 

2,130,750

 

2,632

 

Ras Laffan Liquefied Natural Gas Co., Ltd., 3.437%, 9/15/09 (b)

 

A1/A

 

2,549,200

 

2,500

 

Reliant Energy, Inc., 6.75%, 12/15/14

 

B2/B

 

2,368,750

 

10,000

 

Southern Natural Gas Co., 8.875%, 3/15/10

 

Ba2/B+

 

10,540,470

 

17,400

 

Williams Cos., Inc., 7.875%, 9/1/21

 

Ba2/BB-

 

17,791,500

 

 

 

 

 

 

 

123,897,868

 

 

 

 

 

 

 

 

 

Paper/Paper Products—3.7%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc.,

 

 

 

 

 

23,500

 

7.50%, 4/1/28

 

B1/B+

 

18,565,000

 

5,000

 

8.375%, 4/1/15 (g)

 

B1/B+

 

4,575,000

 

10,000

 

8.50%, 8/1/29

 

B1/B+

 

8,450,000

 

2,000

 

Bowater Canada Finance, 7.95%, 11/15/11

 

B1/B+

 

1,930,000

 

3,000

 

Bowater, Inc., 9.50%, 10/15/12

 

B1/B+

 

3,045,000

 

 

 

Georgia-Pacific Corp.,

 

 

 

 

 

5,000

 

7.25%, 6/1/28

 

B2/B

 

4,625,000

 

14,119

 

8.00%, 1/15/24

 

B2/B

 

13,977,810

 

2,000

 

Smurfit Capital Funding PLC, 7.50%, 11/20/25

 

B1/B+

 

1,830,000

 

 

 

 

 

 

 

56,997,810

 

 

 

 

 

 

 

 

 

Retail—1.8%

 

 

 

 

 

16,000

 

Albertson’s, Inc., 8.00%, 5/1/31

 

B2/B

 

14,859,648

 

13,000

 

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

 

Baa3/BBB-

 

13,420,498

 

 

 

 

 

 

 

28,280,146

 

 

 

 

 

 

 

 

 

Telecommunications—17.2%

 

 

 

 

 

35,000

 

AT&T Corp., 8.00%, 11/15/31, VRN

 

A2/A

 

41,940,080

 

10,000

 

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

 

A2/A

 

11,221,270

 

 




 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Telecommunications—(continued)

 

 

 

 

 

$

5,000

 

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

 

B3/B-

 

$

5,043,750

 

 

 

Citizens Communications Co.,

 

 

 

 

 

7,500

 

9.00%, 8/15/31

 

Ba3/BB+

 

7,950,000

 

4,000

 

9.25%, 5/15/11

 

Ba3/BB+

 

4,395,000

 

8,000

 

Deutsche Telekom International Finance BV, 8.25%, 6/15/30

 

A3/A-

 

9,678,504

 

 

 

Embarq Corp.,

 

 

 

 

 

5,000

 

6.738%, 6/1/13

 

Baa3/BBB-

 

5,108,180

 

10,000

 

7.082%, 6/1/16

 

Baa3/BBB-

 

10,221,230

 

10,000

 

7.995%, 6/1/36

 

Baa3/BBB-

 

10,482,050

 

11,000

 

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

 

A3/A-

 

14,077,371

 

2,000

 

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

 

B2/B+

 

2,030,000

 

 

 

Nextel Communications, Inc.,

 

 

 

 

 

5,000

 

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

 

Baa3/BBB+

 

5,068,185

 

10,000

 

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

 

Baa3/BBB+

 

10,299,880

 

21,650

 

PanAmSat Corp., 6.875%, 1/15/28

 

B1/BB

 

19,160,250

 

 

 

Qwest Capital Funding, Inc.,

 

 

 

 

 

8,070

 

7.00%, 8/3/09

 

B3/B

 

8,049,825

 

15,600

 

7.90%, 8/15/10

 

B3/B

 

15,951,000

 

2,000

 

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

 

B2/B

 

1,992,500

 

 

 

Qwest Corp.,

 

 

 

 

 

3,000

 

7.25%, 9/15/25

 

Ba3/BB

 

2,883,750

 

4,400

 

8.579%, 6/15/13, FRN

 

Ba3/BB

 

4,757,500

 

6,150

 

8.875%, 3/15/12

 

Ba3/BB

 

6,688,125

 

 

 

Rogers Wireless, Inc.,

 

 

 

 

 

CAD        1,000

 

7.625%, 12/15/11 (d)

 

Ba2/BB

 

977,698

 

$

12,340

 

9.75%, 6/1/16

 

Ba2/BB

 

14,931,400

 

 

 

Sprint Capital Corp.,

 

 

 

 

 

25,000

 

6.90%, 5/1/19

 

Baa3/BBB+

 

26,012,800

 

2,900

 

8.375%, 3/15/12

 

Baa3/BBB+

 

3,244,589

 

1,350

 

Sprint Nextel Corp., 9.25%, 4/15/22

 

Baa3/BBB+

 

1,703,858

 

1,400

 

Time Warner Telecom Holdings, Inc., 9.405%, 2/15/11, FRN

 

B2/CCC+

 

1,435,000

 

15,000

 

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

 

A3/A

 

16,020,180

 

3,500

 

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

 

Baa3/A

 

3,645,124

 

 

 

 

 

 

 

264,969,099

 

 

 

 

 

 

 

 

 

Tobacco—0.1%

 

 

 

 

 

2,000

 

RJ Reynolds Tobacco Holdings, Inc., 7.25%, 6/1/12 (d)

 

Ba2/BB

 

2,065,112

 

 

 

 

 

 

 

 

 

Utilities—10.1%

 

 

 

 

 

2,000

 

CMS Energy Corp., 8.90%, 7/15/08

 

Ba3/B+

 

2,100,000

 

 

 

East Coast Power LLC, Ser. B,

 

 

 

 

 

3,952

 

6.737%, 3/31/08

 

Baa3/BBB-

 

3,972,642

 

5,643

 

7.066%, 3/31/12

 

Baa3/BBB-

 

5,849,205

 

4,600

 

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

 

Ba2/BB

 

4,945,000

 

22,000

 

IPALCO Enterprises, Inc., 8.375%, 11/14/08

 

Ba1/BB-

 

22,825,000

 

 

 

Midwest Generation LLC, pass thru certificates,

 

 

 

 

 

29,812

 

8.30%, 7/2/09, Ser. A

 

B1/B+

 

30,464,269

 

14,480

 

8.56%, 1/2/16, Ser. B

 

B1/B+

 

15,393,636

 

5,000

 

8.75%, 5/1/34

 

Ba3/B

 

5,350,000

 

1,000

 

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

 

Baa2/BBB-

 

1,002,412

 

 




 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Utilities—(continued)

 

 

 

 

 

 

 

PSE&G Energy Holdings LLC,

 

 

 

 

 

$

42,500

 

8.50%, 6/15/11

 

Ba3/BB-

 

$

45,156,250

 

2,000

 

10.00%, 10/1/09

 

Ba3/BB-

 

2,170,000

 

5,307

 

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

 

NR/D

 

5,174,402

 

10,000

 

TXU Energy Co. LLC, 7.00%, 3/15/13

 

Baa2/BBB-

 

10,447,710

 

 

 

 

 

 

 

154,850,526

 

 

 

 

 

 

 

 

 

Waste Disposal—1.3%

 

 

 

 

 

 

 

Allied Waste North America, Inc.,

 

 

 

 

 

6,000

 

7.25%, 3/15/15

 

B2/BB-

 

5,925,000

 

11,250

 

7.875%, 4/15/13

 

B2/BB-

 

11,446,875

 

3,000

 

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

 

B2/BB-

 

3,135,000

 

 

 

 

 

 

 

20,506,875

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Bonds & Notes (cost—$1,160,768,167)

 

 

 

1,220,084,659

 

 

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES—4.1%

 

 

 

 

 

 

 

Fannie Mae,

 

 

 

 

 

514

 

7.00%, 7/25/26, CMO

 

Aaa/AAA

 

528,349

 

1,159

 

7.00%, 2/18/27, CMO

 

Aaa/AAA

 

1,182,146

 

269

 

7.00%, 2/1/30, MBS

 

Aaa/AAA

 

275,458

 

198

 

7.00%, 3/1/31, MBS

 

Aaa/AAA

 

202,743

 

33

 

7.00%, 10/1/31, MBS

 

Aaa/AAA

 

33,746

 

163

 

7.00%, 11/1/31, MBS

 

Aaa/AAA

 

167,919

 

145

 

7.00%, 1/1/32, MBS

 

Aaa/AAA

 

149,682

 

1,853

 

7.00%, 6/1/32, MBS

 

Aaa/AAA

 

1,902,818

 

405

 

7.00%, 9/1/32, MBS

 

Aaa/AAA

 

414,432

 

62

 

7.00%, 11/1/32, MBS

 

Aaa/AAA

 

64,019

 

313

 

7.00%, 1/1/33, MBS

 

Aaa/AAA

 

322,063

 

189

 

7.00%, 2/1/33, MBS

 

Aaa/AAA

 

194,493

 

494

 

7.00%, 4/1/33, MBS

 

Aaa/AAA

 

507,403

 

1,273

 

7.00%, 6/1/33, MBS

 

Aaa/AAA

 

1,306,853

 

469

 

7.00%, 9/1/33, MBS

 

Aaa/AAA

 

482,220

 

351

 

7.00%, 1/1/34, MBS

 

Aaa/AAA

 

361,102

 

353

 

7.00%, 2/1/34, MBS

 

Aaa/AAA

 

362,386

 

8,421

 

7.00%, 6/1/35, MBS

 

Aaa/AAA

 

8,658,555

 

1,504

 

7.00%, 7/1/35, MBS

 

Aaa/AAA

 

1,548,432

 

5,935

 

7.00%, 2/1/36, MBS

 

Aaa/AAA

 

6,113,513

 

176

 

7.00%, 9/25/41, CMO

 

Aaa/AAA

 

180,473

 

2,743

 

7.00%, 12/25/41, CMO

 

Aaa/AAA

 

2,820,257

 

73

 

7.50%, 12/25/19, CMO

 

Aaa/AAA

 

76,961

 

668

 

7.50%, 5/1/22, MBS

 

Aaa/AAA

 

692,578

 

33

 

7.50%, 6/25/30, CMO, PO

 

Aaa/AAA

 

33,575

 

730

 

7.50%, 12/1/33, MBS

 

Aaa/AAA

 

754,508

 

143

 

7.50%, 11/25/40, CMO

 

Aaa/AAA

 

147,010

 

256

 

7.50%, 5/25/42, CMO

 

Aaa/AAA

 

265,961

 

71

 

7.50%, 7/25/42, CMO

 

Aaa/AAA

 

73,623

 

14,088

 

7.50%, 12/25/45, CMO

 

Aaa/AAA

 

14,826,977

 

54

 

8.00%, 9/25/23, CMO

 

AAA/AAA

 

54,600

 

53

 

8.00%, 7/18/27, CMO

 

Aaa/AAA

 

55,778

 

14,247

 

8.00%, 12/25/45, CMO

 

Aaa/AAA

 

15,078,107

 

405

 

9.99%, 9/25/17, CMO

 

Aaa/AAA

 

443,632

 

 




 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

 

 

Freddie Mac,

 

 

 

 

 

$

136

 

7.00%, 5/15/23, CMO, PO

 

Aaa/AAA

 

$

139,864

 

2,014

 

7.00%, 1/15/24, CMO

 

Aaa/AAA

 

2,081,981

 

185

 

7.50%, 11/1/19, MBS

 

Aaa/AAA

 

189,736

 

61

 

8.00%, 9/15/26, CMO

 

Aaa/AAA

 

63,986

 

15

 

9.50%, 5/15/21, CMO

 

Aaa/AAA

 

15,908

 

181

 

Small Business Administration Participation Certificates,

 

 

 

 

 

 

 

7.50%, 4/1/17, Ser. 97-D

 

NR/NR

 

189,566

 

 

 

 

 

 

 

 

 

 

 

Total U.S. Government Agency Securities (cost—$62,816,620)

 

 

 

62,963,413

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS—2.8%

 

 

 

 

 

Brazil—1.6%

 

 

 

 

 

 

 

Federal Republic of Brazil,

 

 

 

 

 

14,249

 

8.00%, 1/15/18

 

Ba2/BB

 

15,681,024

 

1,250

 

10.125%, 5/15/27

 

Ba2/BB

 

1,683,125

 

4,750

 

11.00%, 1/11/12

 

Ba2/BB

 

5,816,375

 

1,050

 

12.75%, 1/15/20

 

Ba2/BB

 

1,598,625

 

 

 

 

 

 

 

24,779,149

 

 

 

 

 

 

 

 

 

Mexico—0.6%

 

 

 

 

 

7,000

 

United Mexican States, 11.375%, 9/15/16

 

Baa1/BBB

 

10,041,500

 

 

 

 

 

 

 

 

 

Panama—0.5%

 

 

 

 

 

6,000

 

Republic of Panama, 9.375%, 7/23/12

 

Ba1/BB

 

6,975,000

 

 

 

 

 

 

 

 

 

Ukraine—0.1%

 

 

 

 

 

1,000

 

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

 

B1/BB-

 

1,069,200

 

 

 

 

 

 

 

 

 

 

 

Total Sovereign Debt Obligations (cost—$34,523,944)

 

 

 

42,864,849

 

 

 

 

 

 

 

 

 

MUNICIPAL BONDS (d)(j)—1.6%

 

 

 

 

 

New Jersey—1.6%

 

 

 

 

 

 

 

Tobacco Settlement Financing Corp. Rev., VRN,

 

 

 

 

 

7,571

 

7.427%, 6/1/32

 

NR/AA

 

8,330,068

 

5,000

 

8.177%, 6/1/24

 

NR/AA

 

5,730,300

 

8,334

 

8.677%, 6/1/32

 

NR/AA

 

9,888,458

 

 

 

 

 

 

 

 

 

 

 

Total Municipal Bonds (cost—$19,457,748)

 

 

 

23,948,826

 

 

 

 

 

 

 

 

 

SENIOR LOANS (a)(b)(c)—1.0%

 

 

 

 

 

Entertainment—0.1%

 

 

 

 

 

998

 

MGM Studios, 7.749%, 4/8/12, Term B

 

 

 

995,102

 

 

 

 

 

 

 

 

 

Hotels/Gaming—0.2%

 

 

 

 

 

 

 

Aladdin Gaming, Inc.,

 

 

 

 

 

2,939

 

8.508%, 8/31/10, Term A

 

 

 

2,851,787

 

67

 

9.508%, 8/31/10, Term B

 

 

 

65,238

 

 

 

 

 

 

 

2,917,025

 

 




 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Insurance—0.0%

 

 

 

 

 

$

500

 

Shackleton B Event Linked Loan, 13.468%, 8/1/08 (e)

 

 

 

$

501,177

 

 

 

 

 

 

 

 

 

Multi-Media—0.6%

 

 

 

 

 

10,000

 

Charter Communications Holdings LLC, 8.125%, 4/25/13, Term B

 

 

 

10,036,810

 

 

 

 

 

 

 

 

 

Utilities—0.1%

 

 

 

 

 

 

 

AES Corp., Term B,

 

 

 

 

 

714

 

6.75%, 4/30/08

 

 

 

716,965

 

714

 

7.50%, 8/10/11

 

 

 

716,964

 

 

 

 

 

 

 

1,433,929

 

 

 

 

 

 

 

 

 

 

 

Total Senior Loans (cost—$15,854,792)

 

 

 

15,884,043

 

 

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES—0.9%

 

 

 

 

 

 

 

GSMPS Mortgage Loan Trust, CMO (d),

 

 

 

 

 

4,798

 

7.50%, 12/21/26

 

NR/NR

 

4,913,532

 

241

 

7.50%, 6/19/32

 

NR/NR

 

250,297

 

8,405

 

7.50%, 6/25/43

 

NR/NR

 

8,515,750

 

461

 

Mastr Reperforming Loan Trust, 7.00%, 8/25/34, CMO (d)

 

NR/AAA

 

473,129

 

196

 

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

 

Aaa/AAA

 

201,308

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage-Backed Securities (cost—$14,785,913)

 

 

 

14,354,016

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—0.5%

 

 

 

 

 

8,300

 

Greenpoint Manufactured Housing, 8.30%, 10/15/26

 

Ca/NR

 

7,260,857

 

184

 

GSAMP Trust, 5.935%, 6/25/34, FRN

 

Aaa/AAA

 

184,573

 

 

 

 

 

 

 

 

 

 

 

Total Asset-Backed Securities (cost—$7,516,998)

 

 

 

7,445,430

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—9.8%

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Notes—5.4%

 

 

 

 

 

Financial Services—2.2%

 

 

 

 

 

356

 

Beaver Valley II Funding, 8.625%, 6/1/07

 

Baa3/BBB-

 

362,615

 

21,240

 

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

 

Ba3/BB-

 

21,348,472

 

 

 

General Motors Acceptance Corp.,

 

 

 

 

 

4,470

 

6.125%, 9/15/06

 

Ba1/BB

 

4,469,343

 

7,000

 

6.407%, 1/16/07, FRN

 

Ba1/BB

 

6,993,791

 

 

 

 

 

 

 

33,174,221

 

 




 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Holding Companies—0.1%

 

 

 

 

 

$

2,000

 

Progress Capital Holdings, 7.17%, 11/1/06 (d)

 

Baa1/BBB-

 

$

2,004,862

 

 

 

 

 

 

 

 

 

Hotels/Gaming—0.4%

 

 

 

 

 

900

 

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

 

Baa3/BBB-

 

904,426

 

4,875

 

Park Place Entertainment Corp., 9.375%, 2/15/07

 

Ba1/BB+

 

4,948,125

 

 

 

 

 

 

 

5,852,551

 

 

 

 

 

 

 

 

 

Insurance—0.1%

 

 

 

 

 

1,000

 

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

 

A3/A

 

997,754

 

 

 

 

 

 

 

 

 

Miscellaneous—0.6%

 

 

 

 

 

9,900

 

Morgan Stanley TRACERS, 4.721%, 3/1/07, VRN (b)(d)(f)

 

A3/NR

 

9,914,147

 

 

 

 

 

 

 

 

 

Multi-Media—1.8%

 

 

 

 

 

20,000

 

Comcast Cable Communications, Inc., 8.375%, 5/1/07

 

Baa2/BBB+

 

20,376,360

 

7,250

 

Historic TW, Inc., 8.18%, 8/15/07

 

Baa2/BBB+

 

7,429,967

 

 

 

 

 

 

 

27,806,327

 

 

 

 

 

 

 

 

 

Telecommunications—0.0%

 

 

 

 

 

304

 

Calpoint Receivable Structured Trust, 7.44%, 12/10/06 (d)

 

B3/NR

 

305,857

 

 

 

 

 

 

 

 

 

Utilities—0.2%

 

 

 

 

 

2,950

 

Indianapolis Power & Light, 7.375%, 8/1/07

 

Baa1/BBB-

 

2,997,218

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Notes (cost—$83,545,555)

 

 

 

83,052,937

 

 

 

 

 

 

 

 

 

U.S. Government Agency Securities—2.1%

 

 

 

 

 

32,000

 

Federal Home Loan Bank, 5.233%, 9/1/06 (cost—$32,000,000)

 

Aaa/AAA

 

32,000,000

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills (h)—1.3%

 

 

 

 

 

19,305

 

4.50%-6.00%, 9/14/06-11/30/06 (cost—$19,244,627)

 

 

 

19,242,440

 

 

 

 

 

 

 

 

 

Commercial Paper—0.5%

 

 

 

 

 

Financial Services—0.5%

 

 

 

 

 

7,900

 

Total Finance, 5.26%, 9/1/06 (cost—$7,900,000)

 

NR/NR

 

7,900,000

 

 

 

 

 

 

 

 

 

Sovereign Debt Obligations—0.0%

 

 

 

 

 

Ukraine—0.0%

 

 

 

 

 

187

 

Republic of Ukraine, 11.00%, 3/15/07 (cost—$190,512)

 

B1/BB-

 

189,450

 

 

 

 

 

 

 

 

 

Repurchase Agreement—0.5%

 

 

 

 

 

7,269

 

State Street Bank & Trust Co., dated 8/31/06, 4.90%, due 9/1/06, proceeds $7,269,989; collateralized by Federal Home Loan Bank, 3.375%, due 2/23/07, valued at $7,418,107 including accrued interest (cost—$7,269,000)

 

 

 

7,269,000

 

 

 

 

 

 

 

 

 

 

 

Total Short Term Investments (cost—$150,149,694)

 

 

 

149,653,827

 

 




 

 

Contracts

 

 

 

Value*

 

 

 

 

 

 

 

OPTIONS PURCHASED (i)—0.0%

 

 

 

 

 

 

 

 

 

 

 

Put Options—0.0%

 

 

 

 

 

Eurodollar Futures, Chicago Mercantile Exchange,

 

 

 

664

 

strike price $91, expires 6/18/07

 

$

4,150

 

1,740

 

strike price $91, expires 9/17/07

 

10,875

 

270

 

strike price $91.50, expires 9/17/07

 

1,687

 

160

 

strike price $91.75, expires 12/18/06

 

1,000

 

424

 

strike price $92.50, expires 12/18/06

 

2,650

 

555

 

strike price $94.13, expires 12/18/06

 

3,469

 

 

 

 

 

 

 

 

 

Total Options Purchased (cost—$39,692)

 

23,831

 

 

 

 

 

 

 

 

 

Total Investments before options written (cost—$1,465,913,568)—100.1%

 

1,537,222,894

 

 

 

 

 

 

 

OPTIONS WRITTEN (i)—(0.1)%

 

 

 

 

 

 

 

 

 

 

 

Call Options—(0.1)%

 

 

 

620

 

U.S. Treasury Bond Futures, Chicago Board of Trade, strike price $111, expires 11/21/06

 

(823,437

)

 

 

 

 

 

 

 

 

Put Options—(0.0)%

 

 

 

620

 

U.S. Treasury Bond Futures, Chicago Board of Trade, strike price $105, expires 11/21/06

 

(38,750

)

 

 

 

 

 

 

 

 

Total Options Written (premiums received—$586,907)

 

(862,187

)

 

 

 

 

 

 

 

 

Total Investments net of options written (cost—$1,465,326,661)—100.0%

 

$

1,536,360,707

 

 





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, or by 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, if any, (4) recent prices in the market for loans of similar quality, coupon rate, and period until next interest rate reset 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. 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 more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty.

(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)

Fair-valued security.

(f)

Credit-linked trust certificate.

(g)

All or partial amount pledged as collateral for reverse repurchase agreements.

(h)

All or partial amount segregated as collateral for futures contracts and transactions in options written.

(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 August 31, 2006.

LIBOR - London Inter-Bank Offered Rate

MBS - Mortgage-Backed Security

NR - Not Rated

PO - Principal Only

TRACERS - Traded Custody Receipts

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 August 31, 2006.




 

Other Investments:

 

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

 

 

 

 

 

Contracts/

 

 

 

Unrealized

 

 

 

 

 

Notional Amount

 

Expiration

 

Appreciation

 

Type

 

(000)

 

Date

 

(Depreciation)

 

Long:

 

Financial Future British Pound — 90 day, December 2007

 

$

1,652

 

12/19/07

 

$

603,523

 

 

 

Financial Future Euro — 90 day, September 2007

 

1,530

 

9/17/07

 

(145,201

)

 

 

Financial Future Euro — 90 day, December 2007

 

4,300

 

12/17/07

 

860,551

 

 

 

Financial Future Euro — 90 day, March 2008

 

4,400

 

3/17/08

 

1,159,731

 

 

 

Financial Future Euro — 90 day, June 2008

 

4,490

 

6/16/08

 

1,505,562

 

 

 

U.S. Treasury Bonds, December 2006

 

2

 

12/19/06

 

875

 

Short:

 

Eurodollar Futures, September 2008

 

(1,000

)

9/15/08

 

(90,000

)

 

 

U.S. Treasury Bonds, September 2006

 

(134

)

9/20/06

 

(498,952

)

 

 

U.S. Treasury Notes, September 2006

 

(1,492

)

9/20/06

 

(3,111,977

)

 

 

 

 

 

 

 

 

$

284,112

 

 

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

 

 

 

 

 

Contracts/Notional

 

Premiums

 

Options outstanding, November 30, 2005

 

 

 

16,059,447

 

$

2,261,221

 

Options written

 

 

 

9,618,004

 

4,500,465

 

Options terminated in closing transactions

 

 

 

(25,676,211

)

(6,174,779

)

Options outstanding, August 31, 2006

 

 

 

1,240

 

$

586,907

 

 

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

 

 

 

Notional

 

 

 

Fixed

 

 

 

 

 

Amount Payable

 

 

 

Payments

 

 

 

Swap Counterparty/

 

on Default

 

Termination

 

Received

 

Unrealized

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

Appreciation

 

 

 

 

 

 

 

 

 

 

 

ABN AMRO Bank

 

 

 

 

 

 

 

 

 

Ford Motor Credit

 

$

2,000

 

6/20/07

 

3.10

%

$

38,396

 

Bear Stearns

 

 

 

 

 

 

 

 

 

GMAC

 

900

 

12/20/06

 

2.10

%

7,785

 

GMAC

 

25,000

 

12/20/06

 

5.35

%

635,013

 

Credit Suisse First Boston

 

 

 

 

 

 

 

 

 

GMAC

 

10,000

 

12/20/06

 

2.20

%

92,073

 

GMAC

 

10,000

 

3/20/07

 

2.40

%

129,068

 

Goldman Sachs

 

 

 

 

 

 

 

 

 

Dow Jones CDX US High Yield

 

21,340

 

12/20/10

 

3.95

%

1,241,154

 

Ford Motor Credit

 

1,000

 

6/20/07

 

3.00

%

18,210

 

JP Morgan Chase

 

 

 

 

 

 

 

 

 

GMAC

 

5,000

 

6/20/07

 

6.40

%

223,407

 

Lehman Securities

 

 

 

 

 

 

 

 

 

Ford Motor Credit

 

5,000

 

6/20/07

 

3.28

%

104,886

 

Merrill Lynch & Co.

 

 

 

 

 

 

 

 

 

Federation of Russia

 

10,000

 

7/20/07

 

0.40

%

17,503

 

Ford Motor Credit

 

5,000

 

6/20/07

 

2.80

%

80,387

 

Ford Motor Credit

 

3,000

 

6/20/07

 

3.45

%

67,973

 

Morgan Stanley Dean Witter

 

 

 

 

 

 

 

 

 

Federation of Russia

 

10,000

 

6/20/07

 

0.39

%

16,837

 

Federation of Russia

 

15,000

 

6/20/07

 

0.41

%

27,985

 

Ford Motor Credit

 

2,000

 

6/20/07

 

3.40

%

44,327

 

Ford Motor Credit

 

3,000

 

6/20/07

 

3.75

%

76,869

 

Ford Motor Credit

 

7,000

 

6/20/07

 

4.00

%

137,220

 

Ford Motor Credit

 

20,000

 

9/20/10

 

4.05

%

750,156

 

Wachovia Bank

 

 

 

 

 

 

 

 

 

Ford Motor Credit

 

1,000

 

6/20/07

 

3.41

%

22,262

 

 

 

 

 

 

 

 

 

$

3,731,511

 

 




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

 

 

 

Notional

 

 

 

Rate Type

 

Unrealized

 

 

 

Amount

 

Termination

 

Payments made

 

Payments received

 

Appreciation

 

Swap Counterparty

 

(000)

 

Date

 

by Fund

 

by Fund

 

(Depreciation)

 

Goldman Sachs

 

$

485,000

 

2/23/16

 

3 Month LIBOR

 

5.80%

 

$

(718,990

)

Goldman Sachs

 

485,000

 

2/26/16

 

4.41%

 

3 Month LIBOR

 

2,376,077

 

Lehman Securities

 

16,050

 

10/1/06

 

7.43%

 

3 Month LIBOR + 1.15%

 

(315,561

)

Lehman Securities

 

151,000

 

2/23/16

 

4.405%

 

3 Month LIBOR

 

740,006

 

Lehman Securities

 

151,000

 

2/23/16

 

3 Month LIBOR

 

5.80%

 

(223,850

)

Lehman Securities

 

1,700,000

 

12/18/24

 

5.77%

 

3 Month LIBOR

 

(78,897,170

)

Lehman Securities

 

1,650,000

 

12/18/24

 

3 Month LIBOR

 

5.70%

 

58,777,619

 

 

 

 

 

 

 

 

 

 

 

$

(18,261,869

)

 


LIBOR- London Inter-bank Offered Rate

 

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

 

 

 

 

 

U.S. $ Value

 

U.S. $ Value

 

Unrealized

 

 

 

 

 

Origination Date

 

August 31, 2006

 

Depreciation

 

Purchased:

 

¥ 1,123,328,000 settling 11/15/06

 

$

9,875,645

 

$

9,679,217

 

$

(196,428

)

Sold:

 

£6,023,000 settling 9/7/06

 

11,280,995

 

11,457,771

 

(176,776

)

 

 

 

 

 

 

 

 

$

(373,204

)

 

(6) Open reverse repurchase agreements at August 31, 2006:

 

 

 

 

 

 

 

Maturity

 

Principal &

 

 

 

Counterparty

 

Rate

 

Trade Date

 

Date

 

Interest

 

Par

 

Lehman Securities

 

3.00

%

8/16/06

 

4/25/08

 

$

4,255,667

 

$

4,250,000

 

 

Collateral for open reverse repurchase agreements at August 31, 2006, as reflected in the schedule of investments:

 

 

 

 

 

 

 

Maturity

 

 

 

 

 

Counterparty

 

Description

 

Rate

 

Date

 

Par

 

Value

 

Lehman Securities

 

Abitibi-Consolidated, Inc.

 

8.375

%

4/1/15

 

$

5,000,000

 

$

4,575,000

 

 




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 Opportunity Fund

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

Date: October 25, 2006

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

Date: October 25, 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: October 25, 2006

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

Date: October 25, 2006