Item 1. |
Reports to Shareholders. |
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Fund | Fund Summary |
Schedule of Investments |
||||||
8 | 36 | |||||||
11 | 53 | |||||||
14 | 65 | |||||||
17 | 77 | |||||||
20 | 88 |
Letter from the Chair of the Board & President |
2 |
PIMCO CLOSED-END FUNDS |
Deborah A. DeCotis |
Eric D. Johnson | |
Chair of the Board of Trustees |
President |
ANNUAL REPORT |
| | JUNE 30, 2022 | 3 |
Important Information About the Funds |
4 |
PIMCO CLOSED-END FUNDS |
ANNUAL REPORT |
| | JUNE 30, 2022 | 5 |
Important Information About the Funds |
(Cont.) |
Fund Name |
Inception Date |
Diversification Status |
||||||||||
PIMCO Corporate & Income Opportunity Fund |
12/27/02 |
Diversified |
||||||||||
PIMCO Corporate & Income Strategy Fund |
12/21/01 |
Diversified |
||||||||||
PIMCO High Income Fund |
04/30/03 |
Diversified |
||||||||||
PIMCO Income Strategy Fund |
08/29/03 |
Diversified |
||||||||||
PIMCO Income Strategy Fund II |
10/29/04 |
Diversified |
6 |
PIMCO CLOSED-END FUNDS |
ANNUAL REPORT |
| | JUNE 30, 2022 | 7 |
Corporate Bonds & Notes |
42.5% |
|||
Loan Participations and Assignments |
26.0% |
|||
Asset-Backed Securities |
6.8% |
|||
Non-Agency Mortgage-Backed Securities |
5.8% |
|||
Short-Term Instruments |
5.5% |
|||
Preferred Securities |
4.0% |
|||
Common Stocks |
2.2% |
|||
Sovereign Issues |
1.6% |
|||
Municipal Bonds & Notes |
1.6% |
|||
Real Estate Investment Trusts |
1.4% |
|||
U.S. Government Agencies |
1.2% |
|||
Warrants |
1.2% |
|||
Other |
0.2% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return (1) for the period ended June 30, 2022 |
||||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (12/27/02) |
|||||||||||||||
Market Price | (30.68)% | 4.21% | 8.08% | 11.54% | ||||||||||||||
NAV | (13.53)% | 5.97% | 10.47% | 12.28% | ||||||||||||||
ICE BofAML US High Yield Index | (12.66)% | 1.95% | 4.40% | 7.13% ¨ |
(1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Market Price |
$12.51 | |||
NAV |
$11.21 | |||
Premium/(Discount) to NAV |
11.60% | |||
Market Price Distribution Rate (2) |
11.40% | |||
NAV Distribution Rate (2) |
12.72% | |||
Total Effective Leverage (3) |
47.93% |
» | Short interest rate positioning, especially in the intermediate and long end of the curve, contributed to absolute performance, as rates increased. |
» | Exposure to select corporate special situation positions contributed to absolute performance, as select issuers posted positive returns. |
» | Security selection in asset backed securities, most notably student loans, contributed to absolute performance, as select securities posted positive returns. |
» | Exposure to corporate credit detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to emerging market debt detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to municipal debt detracted from absolute performance, as the asset class posted negative returns. |
8 |
PIMCO CLOSED-END FUNDS |
Market and Net Asset Value Information |
Common share market price (1) |
Common share net asset value |
Premium (discount) as a % of net asset value |
||||||||||||||||||||||
Quarter |
High |
Low |
High |
Low |
High |
Low |
||||||||||||||||||
Quarter ended June 30, 2022 | $ | 15.84 | $ | 12.51 | $ | 13.21 | $ | 11.21 | 22.65% | 9.48% | ||||||||||||||
Period ended March 31, 2022 (2) |
$ | 16.08 | $ | 13.48 | $ | 13.86 | $ | 12.61 | 16.55% | 6.65% | ||||||||||||||
Quarter ended January 31, 2022 | $ | 18.54 | $ | 15.53 | $ | 14.33 | $ | 13.78 | 30.70% | 12.70% | ||||||||||||||
Quarter ended October 31, 2021 | $ | 21.66 | $ | 17.94 | $ | 14.52 | $ | 14.15 | 52.21% | 24.79% | ||||||||||||||
Quarter ended July 31, 2021 | $ | 20.59 | $ | 18.04 | $ | 14.52 | $ | 14.14 | 43.09% | 27.58% | ||||||||||||||
Quarter ended April 30, 2021 | $ | 18.98 | $ | 17.78 | $ | 14.42 | $ | 14.04 | 32.63% | 25.17% | ||||||||||||||
Quarter ended January 31, 2021 | $ | 18.05 | $ | 16.31 | $ | 14.22 | $ | 12.73 | 29.50% | 25.71% | ||||||||||||||
Quarter ended October 31, 2020 | $ | 16.84 | $ | 15.35 | $ | 12.82 | $ | 12.43 | 31.36% | 23.49% | ||||||||||||||
Quarter ended July 31, 2020 | $ | 16.36 | $ | 13.61 | $ | 12.42 | $ | 11.16 | 34.65% | 21.74% | ||||||||||||||
Quarter ended April 30, 2020 | $ | 19.68 | $ | 10.44 | $ | 14.98 | $ | 10.58 | 32.23% | (8.98)% | ||||||||||||||
Quarter ended January 31, 2020 | $ | 19.61 | $ | 18.35 | $ | 14.80 | $ | 14.07 | 32.50% | 28.70% | ||||||||||||||
Quarter ended October 31, 2019 | $ | 18.73 | $ | 17.02 | $ | 14.64 | $ | 14.04 | 31.36% | 21.23% |
1 |
Such prices reflect inter-dealer prices, without retail mark-up, mark-down or commission and may not represent actual transactions. |
2 |
Effective April 1, 2022, the end of the Fund’s Fiscal year changed from July 31 to June 30 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 9 |
Sales load (as a percentage of offering price) (1) |
[ ]% |
|||||||
Offering Expenses Borne by Common Shareholders (as a percentage of offering price) (2) |
[ ]% |
|||||||
Dividend Reinvestment Plan Fees (3) |
None |
1 |
In the event that the Common Shares to which this relates are sold to or through underwriters or dealer managers, a corresponding supplement will disclose the applicable sale load and/or commission. |
2 |
The related supplement will disclose the estimated amount of offering expense, the offering price and the offering expenses borne by the Fund and indirectly by all of its Common Shareholders as a percentage of the offering price. |
3 |
You will pay broker chargers if you direct your broker or the plan agent to sell your Common Shares that you acquired pursuant to a dividend reinvestment plan. You may also pay a pro rata share of brokerage commissions incurred in connection with open market purchase pursuant to the Fund’s Dividend Reinvestment Plan. |
Percentage of Net Assets Attributable to Common Shares (reflecting leverage attributable to ARPS and reverse repurchase agreements) |
||||||||
Management Fees (1) |
0.74% |
|||||||
Dividend Cost on Preferred Shares (2) |
0.07% |
|||||||
Interest Payments on Borrowed Funds (3) |
0.36% |
|||||||
Other Expenses (4) |
0.03% |
|||||||
Total Annual Fund Operating Expenses (5) |
1.20% |
1. |
Management fees include fees payable to the Investment Manager for advisory services and for supervisory, administrative and other services. The Fund pays for the advisory, supervisory and administrative services it requires under what is essentially an all-in fee structure. Pursuant to an investment management agreement, PIMCO is paid a Management Fee of 0.65% of the Fund’s average daily net assets (including daily net assets attributable to any preferred shares of the Fund that may be |
outstanding). The Fund (and not PIMCO) will be responsible for certain fees and expenses which are, reflected in the table above, that are not covered by the management fee under the investment management agreement. Please see Note 9, Fees and Expenses in the Notes to Financial Statements for an explanation of the management fee. |
2. |
Reflects the Fund’s outstanding Preferred Shares averaged over the fiscal year ended June 30, 2022, which represented 7.82% of the Fund’s total average managed assets (including the liquidation preference of outstanding Preferred Shares and assets attributable to reverse repurchase agreements), at an estimated annual dividend rate to the Fund of 0.48% (based on the weighted average Preferred Share dividend rate during the fiscal year ended June 30, 2022) and assumes the Fund will continue to pay Preferred Share dividends at the “maximum applicable rate” called for under the Fund’s Bylaws due to the ongoing failure of auctions for the ARPS. The actual dividend rate paid on the ARPS will vary over time in accordance with variations in market interest rates. |
3. |
Reflects the Fund’s use of leverage in the form of reverse repurchase agreements averaged over the fiscal year ended June 30, 2022, which represented 33.85% of the Fund’s total average managed assets (including assets attributable to reverse repurchase agreements), at an annual interest rate cost to the Fund of 0.49%, which is the weighted average interest rate cost during the fiscal year ended June 30, 2022. The actual amount of interest expense borne by the Fund will vary over time in accordance with the level of the Fund’s use of reverse repurchase agreements, dollar rolls and/or borrowings and variations in market interest rates. Borrowing expense is required to be treated as an expense of the Fund for accounting purposes. Any associated income or gains (or losses) realized from leverage obtained through such instruments is not reflected in the Annual Fund Operating Expenses table above, but would be reflected in the Fund’s performance results. |
4. |
Other expenses are estimated for the Fund’s fiscal year ending June 30, 2023. |
5. |
“Dividend Cost on Preferred Shares”, including distributions on Preferred Shares, and “Interest Payments on Borrowed Funds” are borne by the Fund separately from management fees paid to PIMCO. Excluding these expenses, Total Annual Fund Operating Expenses are 0.77%. Excluding only distributions on Preferred Shares of 0.07%, Total Annual Fund Operating Expenses are 1.13%. |
1 Year |
3 Years |
5 Years |
10 Years |
|||||||||||||||||
Total Expenses Incurred |
$ |
12 |
$ |
38 |
$ |
66 |
$ |
145 |
1) |
The example above should not be considered a representation of future expenses. Actual expenses may be higher or lower than those shown. |
10 |
PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PCN |
Corporate Bonds & Notes |
40.1% |
|||
Loan Participations and Assignments |
20.7% |
|||
Asset-Backed Securities |
8.9% |
|||
Non-Agency Mortgage-Backed Securities |
6.7% |
|||
Preferred Securities |
6.7% |
|||
Short-Term Instruments |
4.8% |
|||
Common Stocks |
2.9% |
|||
Municipal Bonds & Notes |
2.5% |
|||
Real Estate Investment Trusts |
1.7% |
|||
U.S. Government Agencies |
1.6% |
|||
Sovereign Issues |
1.6% |
|||
Warrants |
1.5% |
|||
Other |
0.3% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return (1) for the period ended June 30, 2022 |
||||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (12/21/01) |
|||||||||||||||
Market Price | (26.25)% | 2.27% | 7.50% | 9.95% | ||||||||||||||
NAV | (11.66)% | 4.47% | 8.87% | 10.42% | ||||||||||||||
ICE BofAML US High Yield Index | (12.66)% | 1.95% | 4.40% | 6.67% ¨ |
(1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Market Price |
$12.65 | |||
NAV |
$11.60 | |||
Premium/(Discount) to NAV |
9.05% | |||
Market Price Distribution Rate (2) |
10.67% | |||
NAV Distribution Rate (2) |
11.64% | |||
Total Effective Leverage (3) |
39.08% |
» | Exposure to select corporate special situation positions contributed to absolute performance, as select issuers posted positive returns. |
» | Short interest rate positioning, especially in the intermediate and long end of the curve, contributed to absolute performance, as rates increased. |
» | Security selection in asset backed securities, most notably student loans, contributed to absolute performance, as select securities posted positive returns. |
» | Exposure to corporate credit detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to emerging market debt detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to municipal debt detracted from absolute performance, as the asset class posted negative returns. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 11 |
Market and Net Asset Value Information |
Common share market price (1) |
Common share net asset value |
Premium (discount) as a % of net asset value |
||||||||||||||||||||||
Quarter |
High |
Low |
High |
Low |
High |
Low |
||||||||||||||||||
Quarter ended June 30, 2022 | $ | |
$ | |
$ | |
$ | |
||||||||||||||||
Period ended March 31, 2022 (2) |
$ | $ | $ | $ | ||||||||||||||||||||
Quarter ended January 31, 2022 | $ | $ | $ | $ | ||||||||||||||||||||
Quarter ended October 31, 2021 | $ | $ | $ | $ | ||||||||||||||||||||
Quarter ended July 31, 2021 | $ | $ | $ | $ | ||||||||||||||||||||
Quarter ended April 30, 2021 | $ | $ | $ | $ | ||||||||||||||||||||
Quarter ended January 31, 2021 | $ | $ | $ | $ | ||||||||||||||||||||
Quarter ended October 31, 2020 | $ | $ | $ | $ | ||||||||||||||||||||
Quarter ended July 31, 2020 | $ | $ | $ | $ | ||||||||||||||||||||
Quarter ended April 30, 2020 | $ | $ | $ | $ | ( |
|||||||||||||||||||
Quarter ended January 31, 2020 | $ | $ | $ | $ | ||||||||||||||||||||
Quarter ended October 31, 2019 | $ | $ | $ | $ |
1 |
mark-up, mark-down or commission and may not represent actual transactions. |
2 |
Effective April 1, 2022, the end of the Fund’s Fiscal year changed from July 31 to June 30 |
12 |
PIMCO CLOSED-END FUNDS |
Sales load ( (1) |
||||||||
Offering Expenses Borne by Common Shareholders ( (2) |
||||||||
Dividend Reinvestment Plan Fees (3) |
1 |
In the event that the Common Shares to which this relates are sold to or through underwriters or dealer managers, a corresponding supplement will disclose the applicable sale load and/or commission. |
2 |
The related supplement will disclose the estimated amount of offering expense, the offering price and the offering expenses borne by the Fund and indirectly by all of its Common Shareholders as a percentage of the offering price. |
3 |
You will pay broker chargers if you direct your broker or the plan agent to sell your Common Shares that you acquired pursuant to a dividend reinvestment plan. You may also pay a pro rata share of brokerage commissions incurred in connection with open market purchase pursuant to the Fund’s Dividend Reinvestment Plan. |
Percentage of Net Assets Attributable to Common Shares (reflecting leverage attributable to ARPS and reverse repurchase agreements) |
||||||||
Management Fees (1) |
||||||||
Dividend Cost on Preferred Shares (2) |
||||||||
Interest Payments on Borrowed Funds (3) |
||||||||
Other Expenses (4) |
||||||||
Total Annual Fund Operating Expenses (5) |
1. |
Management fees include fees payable to the Investment Manager for advisory services and for supervisory, administrative and other services. The Fund pays for the advisory, supervisory and administrative services it requires under what is essentially an all-in fee structure. Pursuant to an investment management agreement, PIMCO is paid a Management Fee of 0.81% of the Fund’s average daily net assets (including daily net assets attributable to any preferred shares of the Fund that may be |
outstanding). The Fund (and not PIMCO) will be responsible for certain fees and expenses which are, reflected in the table above, that are not covered by the management fee under the investment management agreement. Please see Note 9, Fees and Expenses in the Notes to Financial Statements for an explanation of the management fee. |
2. |
Reflects the Fund’s outstanding Preferred Shares averaged over the fiscal year ended June 30, 2022, which represented 2.50% of the Fund’s total average managed assets (including the liquidation preference of outstanding Preferred Shares and assets attributable to reverse repurchase agreements), at an estimated annual dividend rate to the Fund of 0.39% (based on the weighted average Preferred Share dividend rate during the fiscal year ended June 30, 2022) and assumes the Fund will continue to pay Preferred Share dividends at the “maximum applicable rate” called for under the Fund’s Bylaws due to the ongoing failure of auctions for the ARPS. The actual dividend rate paid on the ARPS will vary over time in accordance with variations in market interest rates. |
3. |
Reflects the Fund’s use of leverage in the form of reverse repurchase agreements averaged over the fiscal year ended June 30, 2022, which represented 35.29% of the Fund’s total average managed assets (including assets attributable to reverse repurchase agreements), at an annual interest rate cost to the Fund of 0.47%, which is the weighted average interest rate cost during the fiscal year ended June 30, 2022. The actual amount of interest expense borne by the Fund will vary over time in accordance with the level of the Fund’s use of reverse repurchase agreements, dollar rolls and/or borrowings and variations in market interest rates. Borrowing expense is required to be treated as an expense of the Fund for accounting purposes. Any associated income or gains (or losses) realized from leverage obtained through such instruments is not reflected in the Annual Fund Operating Expenses table above, but would be reflected in the Fund’s performance results. |
4. |
5. |
“Dividend Cost on Preferred Shares”, including distributions on Preferred Shares, and “Interest Payments on Borrowed Funds” are borne by the Fund separately from management fees paid to PIMCO. Excluding these expenses, Total Annual Fund Operating Expenses are 0.88%. Excluding only distributions on Preferred Shares of 0.02%, Total Annual Fund Operating Expenses are 1.22%. |
1 Year |
3 Years |
5 Years |
10 Years |
|||||||||||||||||
Total Expenses Incurred |
$ |
$ |
$ |
$ |
1) |
The example above should not be considered a representation of future expenses. Actual expenses may be higher or lower than those shown. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 13 |
Symbol on NYSE - PHK |
Corporate Bonds & Notes |
37.9% |
|||
Loan Participations and Assignments |
16.0% |
|||
Preferred Securities |
12.8% |
|||
Non-Agency Mortgage-Backed Securities |
7.1% |
|||
Asset-Backed Securities |
6.5% |
|||
Municipal Bonds & Notes |
5.3% |
|||
Short-Term Instruments |
4.4% |
|||
Common Stocks |
3.3% |
|||
Real Estate Investment Trusts |
2.1% |
|||
U.S. Government Agencies |
1.7% |
|||
Warrants |
1.4% |
|||
Sovereign Issues |
1.1% |
|||
Other |
0.4% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return (1) for the period ended June 30, 2022 |
||||||||||||||||||
1 Year |
5 Year |
10 Year |
Commencement of Operations (04/30/03) |
|||||||||||||||
Market Price |
(16.48)% |
0.58% |
2.51% |
7.54% |
||||||||||||||
NAV |
(11.15)% |
5.21% |
10.71% |
10.21% |
||||||||||||||
ICE BofAML US High Yield Index |
(12.66)% |
1.95% |
4.40% |
6.56% |
(1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Market Price |
$5.17 | |||
NAV |
$4.73 | |||
Premium/(Discount) to NAV |
9.30% | |||
Market Price Distribution Rate (2) |
11.14% | |||
NAV Distribution Rate (2) |
12.18% | |||
Total Effective Leverage (3) |
33.30% |
» | Exposure to select corporate special situation positions contributed to absolute performance, as select issuers posted positive returns. |
» | Short interest rate positioning, especially in the intermediate and long end of the curve, contributed to absolute performance, as rates increased. |
» | Security selection in U.S. commercial mortgage credit contributed to absolute performance, as select securities posted positive returns. |
» | Exposure to corporate credit detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to emerging market debt detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to municipal debt detracted from absolute performance, as the asset class posted negative returns. |
14 |
PIMCO CLOSED-END FUNDS |
Market and Net Asset Value Information |
Common share market price (1) |
Common share net asset value |
Premium (discount) as a % of net asset value |
||||||||||||||||||||||
Quarter |
High |
Low |
High |
Low |
High |
Low |
||||||||||||||||||
Quarter ended June 30, 2022 | $ | 6.00 | $ | 4.90 | $ | 5.48 | $ | 4.73 | 13.65% | 1.24% | ||||||||||||||
Period ended March 31, 2022 (2) |
$ | 6.12 | $ | 5.42 | $ | 5.65 | $ | 5.35 | 8.32% | 1.12% | ||||||||||||||
Quarter ended January 31, 2022 | $ | 6.46 | $ | 5.95 | $ | 5.88 | $ | 5.64 | 11.00% | 4.66% | ||||||||||||||
Quarter ended October 31, 2021 | $ | 7.08 | $ | 6.23 | $ | 5.98 | $ | 5.79 | 20.20% | 5.24% | ||||||||||||||
Quarter ended July 31, 2021 | $ | 7.06 | $ | 6.58 | $ | 5.93 | $ | 5.82 | 19.26% | 12.86% | ||||||||||||||
Quarter ended April 30, 2021 | $ | 6.98 | $ | 6.14 | $ | 5.95 | $ | 5.78 | 18.57% | 5.14% | ||||||||||||||
Quarter ended January 31, 2021 | $ | 6.19 | $ | 5.33 | $ | 5.86 | $ | 5.19 | 8.61% | 2.61% | ||||||||||||||
Quarter ended October 31, 2020 | $ | 5.58 | $ | 5.16 | $ | 5.20 | $ | 5.01 | 7.72% | 1.74% | ||||||||||||||
Quarter ended July 31, 2020 | $ | 5.77 | $ | 4.82 | $ | 5.00 | $ | 4.55 | 17.52% | 3.23% | ||||||||||||||
Quarter ended April 30, 2020 | $ | 7.70 | $ | 4.00 | $ | 6.34 | $ | 4.51 | 21.87% | (15.77)% | ||||||||||||||
Quarter ended January 31, 2020 | $ | 7.87 | $ | 7.47 | $ | 6.29 | $ | 6.04 | 28.18% | 20.10% | ||||||||||||||
Quarter ended October 31, 2019 | $ | 8.11 | $ | 7.63 | $ | 6.39 | $ | 6.12 | 28.23% | 23.71% |
1 |
Such prices reflect inter-dealer prices, without retail mark-up, mark-down or commission and may not represent actual transactions. |
2 |
Effective April 1, 2022, the end of the Fund’s Fiscal year changed from July 31 to June 30 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 15 |
Sales load (as a percentage of offering price) (1) |
[ ]% |
|||||||
Offering Expenses Borne by Common Shareholders (as a percentage of offering price) (2) |
[ ]% |
|||||||
Dividend Reinvestment Plan Fees (3) |
None |
1 |
In the event that the Common Shares to which this relates are sold to or through underwriters or dealer managers, a corresponding supplement will disclose the applicable sale load and/or commission. |
2 |
The related supplement will disclose the estimated amount of offering expense, the offering price and the offering expenses borne by the Fund and indirectly by all of its Common Shareholders as a percentage of the offering price. |
3 |
You will pay broker chargers if you direct your broker or the plan agent to sell your Common Shares that you acquired pursuant to a dividend reinvestment plan. You may also pay a pro rata share of brokerage commissions incurred in connection with open market purchase pursuant to the Fund’s Dividend Reinvestment Plan. |
Percentage of Net Assets Attributable to Common Shares (reflecting leverage attributable to ARPS and reverse repurchase agreements) |
||||||||
Management Fees (1) |
0.82% |
|||||||
Dividend Cost on Preferred Shares (2) |
0.03% |
|||||||
Interest Payments on Borrowed Funds (3) |
0.32% |
|||||||
Other Expenses (4) |
0.04% |
|||||||
Total Annual Fund Operating Expenses (5) |
1.21% |
1. |
Management fees include fees payable to the Investment Manager for advisory services and for supervisory, administrative and other services. The Fund pays for the advisory, supervisory and administrative services it requires under what is essentially an all-in fee structure. Pursuant to an investment management agreement, PIMCO is paid a Management Fee of 0.76% of the Fund’s average daily net assets (including daily net assets attributable to any preferred shares of the Fund that may be |
outstanding). The Fund (and not PIMCO) will be responsible for certain fees and expenses which are, reflected in the table above, that are not covered by the management fee under the investment management agreement. Please see Note 9, Fees and Expenses in the Notes to Financial Statements for an explanation of the management fee. |
2. |
Reflects the Fund’s outstanding Preferred Shares averaged over the fiscal year ended June 30, 2022, which represented 5.07% of the Fund’s total average managed assets (including the liquidation preference of outstanding Preferred Shares and assets attributable to reverse repurchase agreements), at an estimated annual dividend rate to the Fund of 0.39% (based on the weighted average Preferred Share dividend rate during the fiscal year ended June 30, 2022) and assumes the Fund will continue to pay Preferred Share dividends at the “maximum applicable rate” called for under the Fund’s Bylaws due to the ongoing failure of auctions for the ARPS. The actual dividend rate paid on the ARPS will vary over time in accordance with variations in market interest rates. |
3. |
Reflects the Fund’s use of leverage in the form of reverse repurchase agreements averaged over the fiscal year ended June 30, 2022, which represented 29.41% of the Fund’s total average managed assets (including assets attributable to reverse repurchase agreements), at an annual interest rate cost to the Fund of 0.48%, which is the weighted average interest rate cost during the fiscal year ended June 30, 2022. The actual amount of interest expense borne by the Fund will vary over time in accordance with the level of the Fund’s use of reverse repurchase agreements, dollar rolls and/or borrowings and variations in market interest rates. Borrowing expense is required to be treated as an expense of the Fund for accounting purposes. Any associated income or gains (or losses) realized from leverage obtained through such instruments is not reflected in the Annual Fund Operating Expenses table above, but would be reflected in the Fund’s performance results. |
4. |
Other expenses are estimated for the Fund’s fiscal year ending June 30, 2023. |
5. |
“Dividend Cost on Preferred Shares”, including distributions on Preferred Shares, and “Interest Payments on Borrowed Funds” are borne by the Fund separately from management fees paid to PIMCO. Excluding these expenses, Total Annual Fund Operating Expenses are 0.86%. Excluding only distributions on Preferred Shares of 0.03%, Total Annual Fund Operating Expenses are 1.18%. |
1 Year |
3 Years |
5 Years |
10 Years |
|||||||||||||||||
Total Expenses Incurred |
$ |
12 |
$ |
38 |
$ |
66 |
$ |
147 |
1) |
The example above should not be considered a representation of future expenses. Actual expenses may be higher or lower than those shown. |
16 |
PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PFL |
Corporate Bonds & Notes |
44.9% |
|||
Loan Participations and Assignments |
19.4% |
|||
Short-Term Instruments |
7.3% |
|||
Asset-Backed Securities |
6.1% |
|||
Preferred Securities |
5.9% |
|||
Non-Agency Mortgage-Backed Securities |
4.9% |
|||
Common Stocks |
3.0% |
|||
Municipal Bonds & Notes |
2.1% |
|||
Real Estate Investment Trusts |
1.8% |
|||
U.S. Government Agencies |
1.6% |
|||
Warrants |
1.5% |
|||
Sovereign Issues |
1.2% |
|||
Other |
0.3% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return (1) for the period ended June 30, 2022 |
||||||||||||||||||
1 Year |
5 Year |
10 Year |
Commencement of Operations (08/29/03) |
|||||||||||||||
Market Price |
(22.32)% |
4.52% |
7.53% |
6.26% |
||||||||||||||
NAV |
(13.02)% |
4.03% |
7.84% |
6.27% |
||||||||||||||
ICE BofAML US High Yield Index |
(12.66)% |
1.95% |
4.40% |
6.46% ¨ |
(1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Market Price |
$8.99 | |||
NAV |
$8.39 | |||
Premium/(Discount) to NAV |
7.15% | |||
Market Price Distribution Rate (2) |
10.87% | |||
NAV Distribution Rate (2) |
11.64% | |||
Total Effective Leverage (3) |
33.51% |
» | Exposure to select corporate special situation positions contributed to absolute performance, as select issuers posted positive returns. |
» | Short interest rate positioning, especially in the intermediate and long end of the curve, contributed to absolute performance, as rates increased. |
» | Security selection in U.S. commercial mortgage credit contributed to absolute performance, as select securities posted positive returns. |
» | Exposure to corporate credit detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to emerging market debt detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to municipal debt detracted from absolute performance, as the asset class posted negative returns. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 17 |
Market and Net Asset Value Information |
Common share market price (1) |
Common share net asset value |
Premium (discount) as a % of net asset value |
||||||||||||||||||||||
Quarter |
High |
Low |
High |
Low |
High |
Low |
||||||||||||||||||
Quarter ended June 30, 2022 | $ | 10.44 | $ | 8.17 | $ | 9.72 | $ | 8.39 | 7.41% | (4.78)% | ||||||||||||||
Period ended March 31, 2022 (2) |
$ | 10.61 | $ | 9.76 | $ | 10.13 | $ | 9.49 | 6.28% | 1.01% | ||||||||||||||
Quarter ended January 31, 2022 | $ | 11.37 | $ | 10.27 | $ | 10.53 | $ | 10.09 | 8.61% | 1.78% | ||||||||||||||
Quarter ended October 31, 2021 | $ | 13.17 | $ | 11.24 | $ | 10.73 | $ | 10.43 | 23.45% | 6.99% | ||||||||||||||
Quarter ended July 31, 2021 | $ | 12.94 | $ | 11.88 | $ | 10.72 | $ | 10.51 | 21.58% | 13.04% | ||||||||||||||
Quarter ended April 30, 2021 | $ | 12.14 | $ | 11.55 | $ | 10.78 | $ | 10.49 | 14.46% | 8.65% | ||||||||||||||
Quarter ended January 31, 2021 | $ | 11.57 | $ | 10.10 | $ | 10.66 | $ | 9.63 | 9.36% | 4.62% | ||||||||||||||
Quarter ended October 31, 2020 | $ | 10.50 | $ | 9.99 | $ | 9.74 | $ | 9.45 | 8.36% | 3.31% | ||||||||||||||
Quarter ended July 31, 2020 | $ | 10.33 | $ | 8.44 | $ | 9.44 | $ | 8.53 | 10.96% | (1.06)% | ||||||||||||||
Quarter ended April 30, 2020 | $ | 12.37 | $ | 6.33 | $ | 11.08 | $ | 7.96 | 12.15% | (25.88)% | ||||||||||||||
Quarter ended January 31, 2020 | $ | 12.05 | $ | 11.54 | $ | 10.97 | $ | 10.51 | 10.93% | 7.94% | ||||||||||||||
Quarter ended October 31, 2019 | $ | 12.06 | $ | 11.09 | $ | 11.01 | $ | 10.57 | 11.64% | 4.72% |
1 |
Such prices reflect inter-dealer prices, without retail mark-up, mark-down or commission and may not represent actual transactions. |
2 |
Effective April 1, 2022, the end of the Fund’s Fiscal year changed from July 31 to June 30 |
18 |
PIMCO CLOSED-END FUNDS |
Sales load (as a percentage of offering price) (1) |
[ ]% |
|||||||
Offering Expenses Borne by Common Shareholders (as a percentage of offering price) (2) |
[ ]% |
|||||||
Dividend Reinvestment Plan Fees (3) |
None |
1 |
In the event that the Common Shares to which this relates are sold to or through underwriters or dealer managers, a corresponding supplement will disclose the applicable sale load and/or commission. |
2 |
The related supplement will disclose the estimated amount of offering expense, the offering price and the offering expenses borne by the Fund and indirectly by all of its Common Shareholders as a percentage of the offering price. |
3 |
You will pay broker chargers if you direct your broker or the plan agent to sell your Common Shares that you acquired pursuant to a dividend reinvestment plan. You may also pay a pro rata share of brokerage commissions incurred in connection with open market purchase pursuant to the Fund’s Dividend Reinvestment Plan. |
Percentage of Net Assets Attributable to Common Shares (reflecting leverage attributable to ARPS and reverse repurchase agreements) |
||||||||
Management Fees (1) |
1.32% |
|||||||
Dividend Cost on Preferred Shares (2) |
0.23% |
|||||||
Interest Payments on Borrowed Funds (3) |
0.27% |
|||||||
Other Expenses (4) |
0.05% |
|||||||
Total Annual Fund Operating Expenses (5) |
1.87% |
1. |
Management fees include fees payable to the Investment Manager for advisory services and for supervisory, administrative and other services. The Fund pays for the advisory, supervisory and administrative services it requires under what is essentially an all-in fee structure. Pursuant to an investment management agreement, PIMCO is paid a Management Fee of 0.86% of the Fund’s average weekly total managed assets. The Fund (and not PIMCO) will be responsible for certain fees and expenses |
which are, reflected in the table above, that are not covered by the management fee under the investment management agreement. Please see Note 9, Fees and Expenses in the Notes to Financial Statements for an explanation of the management fee. |
2. |
Reflects the Fund’s outstanding Preferred Shares averaged over the fiscal year ended June 30, 2022, which represented 8.56% of the Fund’s total average managed assets (including the liquidation preference of outstanding Preferred Shares and assets attributable to reverse repurchase agreements), at an estimated annual dividend rate to the Fund of 1.74% (based on the weighted average Preferred Share dividend rate during the fiscal year ended June 30, 2022) and assumes the Fund will continue to pay Preferred Share dividends at the “maximum applicable rate” called for under the Fund’s Bylaws due to the ongoing failure of auctions for the ARPS. The actual dividend rate paid on the ARPS will vary over time in accordance with variations in market interest rates. |
3. |
Reflects the Fund’s use of leverage in the form of reverse repurchase agreements averaged over the fiscal year ended June 30, 2022, which represented 25.71% of the Fund’s total average managed assets (including assets attributable to reverse repurchase agreements), at an annual interest rate cost to the Fund of 0.54%, which is the weighted average interest rate cost during the fiscal year ended June 30, 2022. The actual amount of interest expense borne by the Fund will vary over time in accordance with the level of the Fund’s use of reverse repurchase agreements, dollar rolls and/or borrowings and variations in market interest rates. Borrowing expense is required to be treated as an expense of the Fund for accounting purposes. Any associated income or gains (or losses) realized from leverage obtained through such instruments is not reflected in the Annual Fund Operating Expenses table above, but would be reflected in the Fund’s performance results. |
4. |
Other expenses are estimated for the Fund’s fiscal year ending June 30, 2023. |
5. |
“Dividend Cost on Preferred Shares”, including distributions on Preferred Shares, and “Interest Payments on Borrowed Funds” are borne by the Fund separately from management fees paid to PIMCO. Excluding these expenses, Total Annual Fund Operating Expenses are 1.37%. Excluding only distributions on Preferred Shares of 0.23%, Total Annual Fund Operating Expenses are 1.64%. |
1 Year |
3 Years |
5 Years |
10 Years |
|||||||||||||||||
Total Expenses Incurred |
$ |
19 |
$ |
59 |
$ |
101 |
$ |
219 |
1) |
The example above should not be considered a representation of future expenses. Actual expenses may be higher or lower than those shown. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 19 |
Symbol on NYSE - PFN |
Corporate Bonds & Notes |
42.4% |
|||
Loan Participations and Assignments |
18.7% |
|||
Non-Agency Mortgage-Backed Securities |
7.9% |
|||
Short-Term Instruments |
7.3% |
|||
Preferred Securities |
6.6% |
|||
Asset-Backed Securities |
5.7% |
|||
Common Stocks |
3.2% |
|||
Real Estate Investment Trusts |
1.8% |
|||
Municipal Bonds & Notes |
1.7% |
|||
Warrants |
1.5% |
|||
U.S. Government Agencies |
1.5% |
|||
Sovereign Issues |
1.4% |
|||
Other |
0.3% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return (1) for the period ended June 30, 2022 |
||||||||||||||||||
1 Year |
5 Year |
10 Year |
Commencement of Operations (10/29/04) |
|||||||||||||||
Market Price |
(20.49)% |
4.61% |
7.97% |
5.52% |
||||||||||||||
NAV |
(13.38)% |
3.74% |
7.89% |
5.41% |
||||||||||||||
ICE BofAML US High Yield Index |
(12.66)% |
1.95% |
4.40% |
5.93% ¨ |
(1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Market Price |
$7.92 | |||
NAV |
$7.38 | |||
Premium/(Discount) to NAV |
7.32% | |||
Market Price Distribution Rate (2) |
10.88% | |||
NAV Distribution Rate (2) |
11.67% | |||
Total Effective Leverage (3) |
34.24% |
» | Exposure to select corporate special situation positions contributed to absolute performance, as select issuers posted positive returns. |
» | Security selection in U.S. commercial mortgage credit contributed to absolute performance, as select securities posted positive returns. |
» | Security selection in asset backed securities, most notably student loans, contributed to absolute performance, as select securities posted positive returns. |
» | Exposure to corporate credit detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to emerging market debt detracted from absolute performance, as the asset class posted negative returns. |
» | Exposure to municipal debt detracted from absolute performance, as the asset class posted negative returns. |
20 |
PIMCO CLOSED-END FUNDS |
Market and Net Asset Value Information |
Common share market price (1) |
Common share net asset value |
Premium (discount) as a % of net asset value |
||||||||||||||||||||||
Quarter |
High |
Low |
High |
Low |
High |
Low |
||||||||||||||||||
Quarter ended June 30, 2022 | $ | 8.92 | $ | 7.13 | $ | 8.53 | $ | 7.38 | 7.32% | (5.31)% | ||||||||||||||
Period ended March 31, 2022 (2) |
$ | 9.27 | $ | 8.31 | $ | 8.94 | $ | 8.33 | 4.87% | (0.48)% | ||||||||||||||
Quarter ended January 31, 2022 | $ | 10.12 | $ | 9.02 | $ | 9.31 | $ | 8.90 | 9.53% | 1.01% | ||||||||||||||
Quarter ended October 31, 2021 | $ | 11.42 | $ | 9.89 | $ | 9.47 | $ | 9.21 | 21.66% | 6.52% | ||||||||||||||
Quarter ended July 31, 2021 | $ | 11.21 | $ | 10.20 | $ | 9.48 | $ | 9.28 | 19.64% | 9.80% | ||||||||||||||
Quarter ended April 30, 2021 | $ | 10.47 | $ | 10.05 | $ | 9.55 | $ | 9.28 | 11.38% | 6.57% | ||||||||||||||
Quarter ended January 31, 2021 | $ | 10.13 | $ | 9.06 | $ | 9.46 | $ | 8.62 | 8.47% | 4.39% | ||||||||||||||
Quarter ended October 31, 2020 | $ | 9.38 | $ | 8.95 | $ | 8.74 | $ | 8.52 | 8.44% | 3.68% | ||||||||||||||
Quarter ended July 31, 2020 | $ | 9.20 | $ | 7.54 | $ | 8.51 | $ | 7.72 | 9.52% | (2.33)% | ||||||||||||||
Quarter ended April 30, 2020 | $ | 10.90 | $ | 5.87 | $ | 9.94 | $ | 7.23 | 9.99% | (24.36)% | ||||||||||||||
Quarter ended January 31, 2020 | $ | 10.80 | $ | 10.42 | $ | 9.87 | $ | 9.46 | 12.12% | 7.67% | ||||||||||||||
Quarter ended October 31, 2019 | $ | 10.78 | $ | 9.98 | $ | 9.91 | $ | 9.52 | 11.05% | 4.61% |
1 |
Such prices reflect inter-dealer prices, without retail mark-up, mark-down or commission and may not represent actual transactions. |
2 |
Effective April 1, 2022, the end of the Fund’s Fiscal year changed from July 31 to June 30 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 21 |
Sales load (as a percentage of offering price) (1) |
[ ]% |
|||||||
Offering Expenses Borne by Common Shareholders (as a percentage of offering price) (2) |
[ ]% |
|||||||
Dividend Reinvestment Plan Fees (3) |
None |
1 |
In the event that the Common Shares to which this relates are sold to or through underwriters or dealer managers, a corresponding supplement will disclose the applicable sale load and/or commission. |
2 |
The related supplement will disclose the estimated amount of offering expense, the offering price and the offering expenses borne by the Fund and indirectly by all of its Common Shareholders as a percentage of the offering price. |
3 |
You will pay broker chargers if you direct your broker or the plan agent to sell your Common Shares that you acquired pursuant to a dividend reinvestment plan. You may also pay a pro rata share of brokerage commissions incurred in connection with open market purchase pursuant to the Fund’s Dividend Reinvestment Plan. |
Percentage of Net Assets Attributable to Common Shares (reflecting leverage attributable to ARPS and reverse repurchase agreements) |
||||||||
Management Fees (1) |
1.25% |
|||||||
Dividend Cost on Preferred Shares (2) |
0.22% |
|||||||
Interest Payments on Borrowed Funds (3) |
0.25% |
|||||||
Other Expenses (4) |
0.04% |
|||||||
Total Annual Fund Operating Expenses (5) |
1.76% |
1. |
Management fees include fees payable to the Investment Manager for advisory services and for supervisory, administrative and other services. The Fund pays for the advisory, supervisory and administrative services it requires under what is essentially an all-in fee structure. Pursuant to an investment management agreement, PIMCO is paid a Management Fee of 0.83% of the Fund’s average weekly total managed assets. The Fund (and not PIMCO) will be responsible for certain fees and expenses |
which are, reflected in the table above, that are not covered by the management fee under the investment management agreement. Please see Note 9, Fees and Expenses in the Notes to Financial Statements for an explanation of the management fee. |
2. |
Reflects the Fund’s outstanding Preferred Shares averaged over the fiscal year ended June 30, 2022, which represented 8.54% of the Fund’s total average managed assets (including the liquidation preference of outstanding Preferred Shares and assets attributable to reverse repurchase agreements), at an estimated annual dividend rate to the Fund of 1.73% (based on the weighted average Preferred Share dividend rate during the fiscal year ended June 30, 2022) and assumes the Fund will continue to pay Preferred Share dividends at the “maximum applicable rate” called for under the Fund’s Bylaws due to the ongoing failure of auctions for the ARPS. The actual dividend rate paid on the ARPS will vary over time in accordance with variations in market interest rates. |
3. |
Reflects the Fund’s use of leverage in the form of reverse repurchase agreements averaged over the fiscal year ended June 30, 2022, which represented 24.57% of the Fund’s total average managed assets (including assets attributable to reverse repurchase agreements), at an annual interest rate cost to the Fund of 0.53%, which is the weighted average interest rate cost during the fiscal year ended June 30, 2022. The actual amount of interest expense borne by the Fund will vary over time in accordance with the level of the Fund’s use of reverse repurchase agreements, dollar rolls and/or borrowings and variations in market interest rates. Borrowing expense is required to be treated as an expense of the Fund for accounting purposes. Any associated income or gains (or losses) realized from leverage obtained through such instruments is not reflected in the Annual Fund Operating Expenses table above, but would be reflected in the Fund’s performance results. |
4. |
Other expenses are estimated for the Fund’s fiscal year ending June 30, 2023. |
5. |
“Dividend Cost on Preferred Shares”, including distributions on Preferred Shares, and “Interest Payments on Borrowed Funds” are borne by the Fund separately from management fees paid to PIMCO. Excluding these expenses, Total Annual Fund Operating Expenses are 1.29%. Excluding only distributions on Preferred Shares of 0.22%, Total Annual Fund Operating Expenses are 1.54%. |
1 Year |
3 Years |
5 Years |
10 Years |
|||||||||||||||||
Total Expenses Incurred |
$ |
18 |
$ |
55 |
$ |
95 |
$ |
207 |
1) |
The example above should not be considered a representation of future expenses. Actual expenses may be higher or lower than those shown. |
22 |
PIMCO CLOSED-END FUNDS |
Index Descriptions |
Index |
Description | |
ICE BofAML US High Yield Index | ICE BofAML U.S. High Yield Index tracks the performance of below investment grade U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds must have at least one year remaining term to maturity, a fixed coupon schedule and a minimum amount outstanding of USD 100 million. Bonds must be rated below investment grade based on a composite of Moody’s and S&P. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 23 |
Financial Highlights |
Investment Operations |
Less Distributions to ARPS (c) |
Less Distributions to Common Shareholders (d) |
||||||||||||||||||||||||||||||||||||||
Selected Per Share Data for the Year or Period Ended^: | Net Asset Value Beginning of Year or Period (a) |
Net Investment Income (Loss) (b) |
Net Realized/ Unrealized Gain (Loss) |
From Net Investment Income |
From Net Realized Capital Gains |
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations |
From Net Investment Income |
From Net Realized Capital Gains |
Tax Basis Return of Capital |
Total |
||||||||||||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
||||||||||||||||||||||||||||||||||||||||
8/01/2021 - 6/30/2022 (i) |
$ | 14.40 | $ | 1.21 | $ | (3.22 | ) | $ | (0.01 | ) | $ | 0.00 | $ | (2.02 | ) | $ | (1.32 | ) | $ | 0.00 | $ | 0.00 | $ | (1.32 | ) (j) | |||||||||||||||
07/31/2021 |
12.44 | 1.32 | 1.78 | (0.00 | ) | 0.00 | 3.10 | (1.22 | ) | 0.00 | (0.34 | ) | (1.56 | ) | ||||||||||||||||||||||||||
07/31/2020 |
14.66 | 1.36 | (2.41 | ) | (0.05 | ) | 0.00 | (1.10 | ) | (1.59 | ) | 0.00 | 0.00 | (1.59 | ) | |||||||||||||||||||||||||
07/31/2019 |
14.80 | (h) |
1.36 | 0.09 | (0.13 | ) | 0.00 | 1.32 | (1.63 | ) | 0.00 | 0.00 | (1.63 | ) | ||||||||||||||||||||||||||
07/31/2018 |
14.87 | 1.30 | 0.16 | (0.09 | ) | 0.00 | 1.37 | (1.56 | ) | 0.00 | 0.00 | (1.56 | ) | |||||||||||||||||||||||||||
07/31/2017 |
13.27 | 1.21 | 2.06 | (0.04 | ) | 0.00 | 3.23 | (1.59 | ) | 0.00 | (0.14 | ) | (1.73 | ) | ||||||||||||||||||||||||||
PIMCO Corporate & Income Strategy Fund |
||||||||||||||||||||||||||||||||||||||||
8/01/2021 - 6/30/2022 (i) |
$ | 14.54 | $ | 1.11 | $ | (2.93 | ) | $ | (0.00 | ) | $ | 0.00 | $ | (1.82 | ) | $ | (1.24 | ) | $ | 0.00 | $ | 0.00 | $ | (1.24 | ) (j) | |||||||||||||||
07/31/2021 |
12.76 | 1.24 | 1.77 | (0.00 | ) | 0.00 | 3.01 | (1.35 | ) | 0.00 | 0.00 | (1.35 | ) | |||||||||||||||||||||||||||
07/31/2020 |
14.94 | 1.31 | (2.07 | ) | (0.01 | ) | 0.00 | (0.77 | ) | (1.41 | ) | 0.00 | 0.00 | (1.41 | ) | |||||||||||||||||||||||||
07/31/2019 |
14.90 | (h) |
1.22 | 0.20 | (0.05 | ) | 0.00 | 1.37 | (1.43 | ) | 0.00 | 0.00 | (1.43 | ) | ||||||||||||||||||||||||||
07/31/2018 |
15.32 | 1.20 | (0.24 | ) | (0.03 | ) | 0.00 | 0.93 | (1.35 | ) | 0.00 | 0.00 | (1.35 | ) | ||||||||||||||||||||||||||
07/31/2017 |
14.28 | 1.12 | 1.70 | (0.01 | ) | 0.00 | 2.81 | (1.75 | ) | 0.00 | (0.02 | ) | (1.77 | ) | ||||||||||||||||||||||||||
PIMCO High Income Fund |
||||||||||||||||||||||||||||||||||||||||
8/01/2021 - 6/30/2022 (i) |
$ | 5.92 | $ | 0.47 | $ | (1.14 | ) | $ | (0.00 | ) | $ | 0.00 | $ | (0.67 | ) | $ | (0.53 | ) | $ | 0.00 | $ | 0.00 | $ | (0.53 | ) (j) | |||||||||||||||
07/31/2021 |
5.01 | 0.56 | 0.93 | (0.00 | ) | 0.00 | 1.49 | (0.44 | ) | 0.00 | (0.14 | ) | (0.58 | ) | ||||||||||||||||||||||||||
07/31/2020 |
6.38 | 0.65 | (1.30 | ) | (0.01 | ) | 0.00 | (0.66 | ) | (0.68 | ) | 0.00 | (0.03 | ) | (0.71 | ) | ||||||||||||||||||||||||
07/31/2019 |
6.54 | (h) |
0.61 | 0.11 | (0.03 | ) | 0.00 | 0.69 | (0.73 | ) | 0.00 | (0.16 | ) | (0.89 | ) | |||||||||||||||||||||||||
07/31/2018 |
6.90 | 0.62 | 0.01 | (0.02 | ) | 0.00 | 0.61 | (0.84 | ) | 0.00 | (0.13 | ) | (0.97 | ) | ||||||||||||||||||||||||||
07/31/2017 |
6.63 | 0.67 | 0.71 | (0.01 | ) | 0.00 | 1.37 | (0.91 | ) | 0.00 | (0.19 | ) | (1.10 | ) | ||||||||||||||||||||||||||
PIMCO Income Strategy Fund |
||||||||||||||||||||||||||||||||||||||||
8/01/2021 - 6/30/2022 (i) |
$ | 10.66 | $ | 0.75 | $ | (2.11 | ) | $ | (0.02 | ) | $ | 0.00 | $ | (1.38 | ) | $ | (0.90 | ) | $ | 0.00 | $ | 0.00 | $ | (0.90 | ) (j) | |||||||||||||||
07/31/2021 |
9.46 | 0.91 | 1.32 | (0.02 | ) | 0.00 | 2.21 | (0.84 | ) | 0.00 | (0.24 | ) | (1.08 | ) | ||||||||||||||||||||||||||
07/31/2020 |
11.00 | 1.01 | (1.52 | ) | (0.04 | ) | 0.00 | (0.55 | ) | (0.97 | ) | 0.00 | (0.11 | ) | (1.08 | ) | ||||||||||||||||||||||||
07/31/2019 |
11.14 | (h) |
0.90 | 0.02 | (0.07 | ) | 0.00 | 0.85 | (0.99 | ) | 0.00 | (0.09 | ) | (1.08 | ) | |||||||||||||||||||||||||
07/31/2018 |
11.60 | 0.87 | (0.19 | ) | (0.06 | ) | 0.00 | 0.62 | (1.07 | ) | 0.00 | (0.01 | ) | (1.08 | ) | |||||||||||||||||||||||||
07/31/2017 |
10.53 | 0.88 | 1.31 | (0.04 | ) | 0.00 | 2.15 | (1.08 | ) | 0.00 | 0.00 | (1.08 | ) | |||||||||||||||||||||||||||
PIMCO Income Strategy Fund II |
||||||||||||||||||||||||||||||||||||||||
8/01/2021 - 6/30/2022 (i) |
$ | 9.42 | $ | 0.67 | $ | (1.90 | ) | $ | (0.02 | ) | $ | 0.00 | $ | (1.25 | ) | $ | (0.80 | ) | $ | 0.00 | $ | 0.00 | $ | (0.80 | ) (j) | |||||||||||||||
07/31/2021 |
8.53 | 0.78 | 1.05 | (0.02 | ) | 0.00 | 1.81 | (0.75 | ) | 0.00 | (0.21 | ) | (0.96 | ) | ||||||||||||||||||||||||||
07/31/2020 |
9.91 | 0.86 | (1.32 | ) | (0.03 | ) | 0.00 | (0.49 | ) | (0.90 | ) | 0.00 | (0.06 | ) | (0.96 | ) | ||||||||||||||||||||||||
07/31/2019 |
10.07 | (h) |
0.83 | 0.04 | (0.05 | ) | 0.00 | 0.82 | (1.03 | ) | 0.00 | 0.00 | (1.03 | ) | ||||||||||||||||||||||||||
07/31/2018 |
10.33 | 0.79 | (0.05 | ) | (0.04 | ) | 0.00 | 0.70 | (0.96 | ) | 0.00 | 0.00 | (0.96 | ) | ||||||||||||||||||||||||||
07/31/2017 |
9.42 | 0.80 | 1.10 | (0.03 | ) | 0.00 | 1.87 | (0.96 | ) | 0.00 | 0.00 | (0.96 | ) |
24 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Common Share |
Ratios/Supplemental Data |
|||||||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets (f) |
||||||||||||||||||||||||||||||||||||||||||||||||||
Increase Resulting from Common Share Offering |
Offering Cost Charged to Paid in Capital |
Increase Resulting from Tender of ARPS (c) |
Net Asset Value End of Year or Period (a) |
Market Price End of Year or Period |
Total Investment Return (e) |
Net Assets Applicable to Common Shareholders (000s) |
Expenses (g) |
Expenses Excluding Waivers (g) |
Expenses Excluding Interest Expense |
Expenses Excluding Interest Expense and Waivers |
Net Investment Income (Loss) |
Portfolio Turnover Rate |
||||||||||||||||||||||||||||||||||||||
$ | 0.15 | $ | 0.00 | $ | 0.00 | $ | 11.21 | $ | 12.51 | (33.71 | )% | $ | 1,361,439 | 1.13 | %* | 1.13 | %* | 0.77 | %* | 0.77 | %* | 9.86 | %* | 58 | % | |||||||||||||||||||||||||
0.42 | 0.00 | 0.00 | 14.40 | 20.56 | 46.75 | 1,643,538 | 1.06 | 1.06 | 0.76 | 0.76 | 9.60 | 58 | ||||||||||||||||||||||||||||||||||||||
0.47 | (0.00 | ) | 0.00 | 12.44 | 15.34 | (8.77 | ) | 1,248,837 | 1.30 | 1.30 | 0.82 | 0.82 | 10.20 | 34 | ||||||||||||||||||||||||||||||||||||
0.15 | 0.00 | 0.02 | 14.66 | 18.60 | 14.48 | 1,291,233 | 1.35 | 1.35 | 0.80 | 0.80 | 9.44 | 22 | ||||||||||||||||||||||||||||||||||||||
0.12 | 0.00 | 0.00 | 14.80 | (h) |
17.95 | 16.78 | 1,219,515 | 1.26 | 1.26 | 0.81 | 0.81 | 8.73 | 19 | |||||||||||||||||||||||||||||||||||||
0.10 | 0.00 | 0.00 | 14.87 | 16.92 | 29.18 | 1,140,768 | 1.08 | 1.08 | 0.83 | 0.83 | 8.68 | 39 | ||||||||||||||||||||||||||||||||||||||
$ | 0.12 | $ | 0.00 | $ | 0.00 | $ | 11.60 | $ | 12.65 | (27.59 | )% | $ | 509,542 | 1.22 | %* | 1.22 | %* | 0.88 | %* | 0.88 | %* | 8.89 | %* | 47 | % | |||||||||||||||||||||||||
0.12 | (0.00 | ) | 0.00 | 14.54 | 18.93 | 34.41 | 605,830 | 1.15 | 1.15 | 0.87 | 0.87 | 8.95 | 48 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 12.76 | 15.29 | (7.72 | ) | 509,488 | 1.57 | 1.57 | 0.87 | 0.87 | 9.57 | 31 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.10 | 14.94 | 18.08 | 9.20 | 591,931 | 1.60 | 1.60 | 0.94 | 0.94 | 8.39 | 18 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 14.90 | (h) |
18.09 | 9.61 | 586,592 | 1.36 | 1.36 | 0.94 | 0.94 | 7.97 | 20 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 15.32 | 17.92 | 30.63 | 599,266 | 1.17 | 1.17 | 0.93 | 0.93 | 7.65 | 38 | ||||||||||||||||||||||||||||||||||||||
$ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 4.72 | $ | 5.17 | (18.39 | )% | $ | 640,448 | 1.18 | %* | 1.18 | %* | 0.86 | %* | 0.86 | %* | 9.30 | %* | 37 | % | |||||||||||||||||||||||||
N/A | N/A | 0.00 | 5.92 | 6.95 | 47.82 | 792,773 | 1.14 | 1.14 | 0.86 | 0.86 | 9.96 | 60 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 5.01 | 5.18 | (27.55 | ) | 664,144 | 1.73 | 1.73 | 0.86 | 0.86 | 11.42 | 40 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.04 | 6.38 | 8.03 | 3.57 | 835,988 | 1.86 | 1.86 | 0.91 | 0.91 | 9.74 | 20 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 6.54 | (h) |
8.67 | 13.13 | 847,052 | 1.48 | 1.48 | 0.90 | 0.90 | 9.30 | 27 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 6.90 | 8.71 | (1.45 | ) | 884,912 | 1.25 | 1.25 | 0.90 | 0.90 | 10.08 | 32 | |||||||||||||||||||||||||||||||||||||
$ | 0.01 | $ | 0.00 | $ | 0.00 | $ | 8.39 | $ | 8.99 | (21.16 | )% | $ | 297,796 | 1.64 | %* | 1.64 | %* | 1.37 | %* | 1.37 | %* | 8.31 | %* | 47 | % | |||||||||||||||||||||||||
0.07 | 0.00 | 0.00 | 10.66 | 12.47 | 38.31 | 365,580 | 1.62 | 1.62 | 1.36 | 1.36 | 8.81 | 42 | ||||||||||||||||||||||||||||||||||||||
0.09 | (0.00 | ) | 0.00 | 9.46 | 9.95 | (7.65 | ) | 295,167 | 1.69 | 1.69 | 1.21 | 1.21 | 10.03 | 21 | ||||||||||||||||||||||||||||||||||||
0.06 | 0.00 | 0.03 | 11.00 | 11.99 | 8.10 | 305,453 | 1.69 | 1.69 | 1.18 | 1.18 | 8.39 | 17 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 11.14 | (h) |
12.23 | 10.37 | 284,677 | 1.48 | 1.48 | 1.17 | 1.17 | 7.67 | 21 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 11.60 | 12.17 | 28.11 | 294,525 | 1.35 | 1.35 | 1.17 | 1.17 | 8.01 | 40 | ||||||||||||||||||||||||||||||||||||||
$ | 0.01 | $ | 0.00 | $ | 0.00 | $ | 7.38 | $ | 7.92 | (21.31 | )% | $ | 581,955 | 1.54 | %* | 1.54 | %* | 1.29 | %* | 1.29 | %* | 8.32 | %* | 45 | % | |||||||||||||||||||||||||
0.04 | 0.00 | 0.00 | 9.42 | 11.01 | 37.03 | 723,617 | 1.54 | 1.54 | 1.29 | 1.29 | 8.58 | 38 | ||||||||||||||||||||||||||||||||||||||
0.07 | (0.00 | ) | 0.00 | 8.53 | 8.88 | (7.75 | ) | 605,851 | 1.62 | 1.62 | 1.15 | 1.15 | 9.49 | 21 | ||||||||||||||||||||||||||||||||||||
0.04 | 0.00 | 0.01 | 9.91 | 10.70 | 11.03 | 632,927 | 1.66 | 1.66 | 1.12 | 1.12 | 8.57 | 17 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 10.07 | (h) |
10.70 | 9.19 | 600,890 | 1.41 | 1.41 | 1.10 | 1.10 | 7.79 | 18 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 10.33 | 10.76 | 26.32 | 612,310 | 1.26 | 1.26 | 1.09 | 1.09 | 8.15 | 26 |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
25 |
Financial Highlights |
(Cont.) |
ARPS |
||||||||||||||||
Selected Per Share Data for the Year or Period Ended^: |
Total Amount Outstanding |
Asset Coverage per Preferred Share (1) |
Involuntary Liquidating Preference per Preferred Share (2) |
Average Market Value per ARPS (3) |
||||||||||||
PIMCO Corporate & Income Opportunity Fund |
||||||||||||||||
08/01/2021 - 06/30/2022 (i) |
$ |
212,650,000 |
$ |
184,988 |
$ |
25,000 |
N/A |
|||||||||
07/31/2021 |
212,650,000 |
218,218 |
25,000 |
N/A |
||||||||||||
07/31/2020 |
212,650,000 |
171,815 |
25,000 |
N/A |
||||||||||||
07/31/2019 |
212,650,000 |
176,730 |
25,000 |
N/A |
||||||||||||
07/31/2018 |
237,950,000 |
153,072 |
25,000 |
N/A |
||||||||||||
07/31/2017 |
237,950,000 |
144,819 |
25,000 |
N/A |
||||||||||||
7/31/2016+ |
237,950,000 |
124,468 |
25,000 |
N/A |
||||||||||||
12/01/2014 - 7/31/2015+ |
237,950,000 |
130,743 |
25,000 |
N/A |
||||||||||||
11/30/2014+ |
325,000,000 |
108,229 |
25,000 |
N/A |
||||||||||||
11/30/2013+ |
325,000,000 |
113,443 |
25,000 |
N/A |
||||||||||||
11/30/2012+ |
325,000,000 |
117,697 |
25,000 |
N/A |
||||||||||||
11/30/2011+ |
325,000,000 |
99,399 |
25,000 |
N/A |
||||||||||||
PIMCO Corporate & Income Strategy Fund |
||||||||||||||||
08/01/2021 - 06/30/2022 (i) |
$ |
$ |
$ |
|||||||||||||
07/31/2021 |
||||||||||||||||
07/31/2020 |
||||||||||||||||
07/31/2019 |
||||||||||||||||
07/31/2018 |
||||||||||||||||
07/31/2017 |
||||||||||||||||
7/31/2016+ |
||||||||||||||||
11/01/2014+ - 7/31/2015+ |
||||||||||||||||
10/31/2014+ |
||||||||||||||||
10/31/2013+ |
||||||||||||||||
10/31/2012+ |
||||||||||||||||
10/31/2011+ |
||||||||||||||||
PIMCO High Income Fund |
||||||||||||||||
08/01/2021 - 06/30/2022 (i) |
$ |
58,050,000 |
$ |
300,723 |
$ |
25,000 |
N/A |
|||||||||
07/31/2021 |
58,050,000 |
366,413 |
25,000 |
N/A |
||||||||||||
07/31/2020 |
58,050,000 |
311,018 |
25,000 |
N/A |
||||||||||||
07/31/2019 |
58,050,000 |
384,900 |
25,000 |
N/A |
||||||||||||
07/31/2018 |
101,975,000 |
232,587 |
25,000 |
N/A |
||||||||||||
07/31/2017 |
101,975,000 |
241,894 |
25,000 |
N/A |
||||||||||||
7/31/2016+ |
101,975,000 |
231,185 |
25,000 |
N/A |
||||||||||||
4/01/2015+ - 7/31/2015+ |
292,000,000 |
104,245 |
25,000 |
N/A |
||||||||||||
3/31/2015+ |
292,000,000 |
106,324 |
25,000 |
N/A |
||||||||||||
3/31/2014+ |
292,000,000 |
112,424 |
25,000 |
N/A |
||||||||||||
3/31/2013+ |
292,000,000 |
116,082 |
25,000 |
N/A |
||||||||||||
3/31/2012+ |
292,000,000 |
107,233 |
25,000 |
N/A |
||||||||||||
PIMCO Income Strategy Fund |
||||||||||||||||
08/01/2021 - 06/30/2022 (i) |
$ |
45,200,000 |
$ |
189,645 |
$ |
25,000 |
N/A |
|||||||||
07/31/2021 |
45,200,000 |
227,165 |
25,000 |
N/A |
||||||||||||
07/31/2020 |
45,200,000 |
188,225 |
25,000 |
N/A |
||||||||||||
07/31/2019 |
45,200,000 |
193,873 |
25,000 |
N/A |
||||||||||||
07/31/2018 |
51,275,000 |
163,725 |
25,000 |
N/A |
||||||||||||
07/31/2017 |
51,275,000 |
168,552 |
25,000 |
N/A |
||||||||||||
7/31/2016+ |
51,275,000 |
154,837 |
25,000 |
N/A |
||||||||||||
7/31/2015+ |
51,275,000 |
166,328 |
25,000 |
N/A |
||||||||||||
7/31/2014+ |
78,975,000 |
122,004 |
25,000 |
N/A |
||||||||||||
7/31/2013+ |
78,975,000 |
118,058 |
25,000 |
N/A |
||||||||||||
7/31/2012+ |
78,975,000 |
114,654 |
25,000 |
N/A |
26 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
ARPS |
||||||||||||||||
Selected Per Share Data for the Year or Period Ended^: | Total Amount Outstanding |
Asset Coverage per Preferred Share (1) |
Involuntary Liquidating Preference per Preferred Share (2) |
Average Market Value per ARPS (3) |
||||||||||||
PIMCO Income Strategy Fund II |
||||||||||||||||
08/01/2021 - 06/30/2022 (i) |
$ | 87,425,000 | $ | 191,350 | $ | 25,000 | N/A | |||||||||
07/31/2021 | 87,425,000 | 231,880 | 25,000 | N/A | ||||||||||||
07/31/2020 | 87,425,000 | 198,210 | 25,000 | N/A | ||||||||||||
07/31/2019 | 87,425,000 | 205,928 | 25,000 | N/A | ||||||||||||
07/31/2018 | 92,450,000 | 187,429 | 25,000 | N/A | ||||||||||||
07/31/2017 | 92,450,000 | 190,527 | 25,000 | N/A | ||||||||||||
7/31/2016+ | 92,450,000 | 175,544 | 25,000 | N/A | ||||||||||||
7/31/2015+ | 92,450,000 | 189,105 | 25,000 | N/A | ||||||||||||
7/31/2014+ | 161,000,000 | 124,695 | 25,000 | N/A | ||||||||||||
7/31/2013+ | 161,000,000 | 119,060 | 25,000 | N/A | ||||||||||||
7/31/2012+ | 161,000,000 | 117,792 | 25,000 | N/A |
^ |
A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%. |
+ |
Unaudited. Information is presented in conformance with annual reporting requirements for funds that have filed a registration statement pursuant to General Instruction A.2 of Form N-2 (“Short Form N-2”). |
* |
Annualized, except for organizational expense, if any. |
(a) |
Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds. |
(b) |
Per share amounts based on average number of common shares outstanding during the year or period. |
(c) |
Auction Rate Preferred Shareholders (“ARPS”). See Note 14, Auction Rate Preferred Shares, in the Notes to Financial Statements for more information. |
(d) |
The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information. |
(e) |
Total investment return is calculated assuming a purchase of a common share at the market price on the first day and a sale of a common share at the market price on the last day of each year or period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds’ dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
(f) |
Calculated on the basis of income and expenses applicable to both common and preferred shares relative to the average net assets of common shareholders. The expense ratio and net investment income do not reflect the effects of dividend payments to preferred shareholders. |
(g) |
Ratio includes interest expense which primarily relates to participation in borrowing and financing transactions. See Note 5, Borrowings and Other Financing Transactions, in the Notes to Financial Statements for more information. |
(h) |
The NAV presented may differ from the NAV reported for the same period in other Fund materials. |
(i) |
Fiscal year end changed from July 31 st to June 30th . |
(j) |
Total distributions for the period ended June 30, 2022 may be lower than prior fiscal years due to fiscal year end change resulting in a reduction of the amount of days in the period ended June 30, 2022. |
1 |
“Asset Coverage per Preferred Share” means the ratio that the value of the total assets of the Fund, less all liabilities and indebtedness not represented by ARPS, bears to the aggregate of the involuntary liquidation preference of ARPS, expressed as a dollar amount per ARPS. |
2 |
“Involuntary Liquidating Preference” means the amount to which a holder of ARPS would be entitled upon the involuntary liquidation of the Fund in preference to the Common Shareholders, expressed as a dollar amount per Preferred Share. |
3 |
The ARPS have no readily ascertainable market value. Auctions for the ARPS have failed since February 2008, there is currently no active trading market for the ARPS and the Fund is not able to reliably estimate what their value would be in a third-party market sale. The liquidation value of the ARPS represents its liquidation preference, which approximates fair value of the shares less any accumulated unpaid dividends. See Note 14, Auction-Rate Preferred Shares, in the notes to Financial Statements for more information. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 27 |
Statements of Assets and Liabilities |
June 30, 2022 |
(Amounts in thousands † |
PIMCO Corporate & Income Opportunity Fund |
PIMCO Corporate & Income Strategy Fund |
PIMCO High Income Fund |
PIMCO Income Strategy Fund |
PIMCO Income Strategy Fund II |
|||||||||||||||
Assets: |
||||||||||||||||||||
Investments, at value |
||||||||||||||||||||
Investments in securities* |
$ | 2,262,494 | $ | 769,105 | $ | 917,225 | $ | 418,761 | $ | 820,341 | ||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Exchange-traded or centrally cleared |
9,222 | 4,026 | 12,884 | 2,485 | 5,386 | |||||||||||||||
Over the counter |
9,395 | 1,812 | 2,904 | 1,812 | 3,130 | |||||||||||||||
Cash |
2,326 | 769 | 773 | 276 | 714 | |||||||||||||||
Deposits with counterparty |
99,017 | 41,578 | 35,757 | 19,703 | 34,223 | |||||||||||||||
Foreign currency, at value |
7,596 | 1,348 | 1,766 | 1,020 | 2,166 | |||||||||||||||
Receivable for investments sold |
84,808 | 27,110 | 19,107 | 9,277 | 22,473 | |||||||||||||||
Receivable for TBA investments sold |
0 | 0 | 92 | 0 | 0 | |||||||||||||||
Receivable for Fund shares sold |
0 | 0 | 0 | 499 | 449 | |||||||||||||||
Interest and/or dividends receivable |
33,857 | 11,217 | 13,269 | 6,080 | 11,633 | |||||||||||||||
Other assets |
704 | 635 | 13 | 536 | 384 | |||||||||||||||
Total Assets |
2,509,419 | 857,600 | 1,003,790 | 460,449 | 900,899 | |||||||||||||||
Liabilities: |
||||||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||||||
Payable for reverse repurchase agreements |
$ | 765,703 | $ | 277,357 | $ | 243,405 | $ | 89,764 | $ | 183,252 | ||||||||||
Payable for short sales |
382 | 0 | 0 | 0 | 0 | |||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Exchange-traded or centrally cleared |
11,091 | 4,820 | 14,029 | 2,550 | 5,282 | |||||||||||||||
Over the counter |
14,454 | 260 | 412 | 317 | 701 | |||||||||||||||
Payable for investments purchased |
91,776 | 26,768 | 31,363 | 14,725 | 27,657 | |||||||||||||||
Payable for TBA investments purchased |
0 | 0 | 187 | 0 | 0 | |||||||||||||||
Payable for unfunded loan commitments |
28,507 | 4,600 | 6,105 | 5,139 | 5,552 | |||||||||||||||
Deposits from counterparty |
7,875 | 5,352 | 2,753 | 1,692 | 2,722 | |||||||||||||||
Distributions payable to common shareholders |
14,409 | 4,934 | 6,506 | 2,886 | 5,660 | |||||||||||||||
Distributions payable to auction rate preferred shareholders |
91 | 7 | 20 | 18 | 34 | |||||||||||||||
Accrued management fees |
882 | 370 | 455 | 327 | 606 | |||||||||||||||
Other liabilities |
160 | 65 | 57 | 35 | 53 | |||||||||||||||
Total Liabilities |
935,330 | 324,533 | 305,292 | 117,453 | 231,519 | |||||||||||||||
Auction Rate Preferred Shares ^ |
212,650 | 23,525 | 58,050 | 45,200 | 87,425 | |||||||||||||||
Net Assets Applicable to Common Shareholders |
$ | 1,361,439 | $ | 509,542 | $ | 640,448 | $ | 297,796 | $ | 581,955 | ||||||||||
Net Assets Applicable to Common Shareholders Consist of: |
||||||||||||||||||||
Par value ^^ |
$ | 1 | $ | 0 | $ | 1 | $ | 0 | $ | 1 | ||||||||||
Paid in capital in excess of par |
1,833,912 | 659,750 | 985,322 | 390,668 | 783,107 | |||||||||||||||
Distributable earnings (accumulated loss) |
(472,474 | ) | (150,208 | ) | (344,875 | ) | (92,872 | ) | (201,153 | ) | ||||||||||
Net Assets Applicable to Common Shareholders |
$ | 1,361,439 | $ | 509,542 | $ | 640,448 | $ | 297,796 | $ | 581,955 | ||||||||||
Net Asset Value Per Common Share (a) |
$ | 11.21 | $ | 11.60 | $ | 4.72 | $ | 8.39 | $ | 7.38 | ||||||||||
Common Shares Outstanding |
121,468 | 135,555 | 35,507 | 78,889 | ||||||||||||||||
Auction Rate Preferred Shares Issued and Outstanding |
9 | 1 | 2 | 2 | 3 | |||||||||||||||
Cost of investments in securities |
$ | 2,643,212 | $ | 881,983 | $ | 1,071,008 | $ | 488,458 | $ | 956,710 | ||||||||||
Cost of foreign currency held |
$ | 7,596 | $ | 1,378 | $ | 1,895 | $ | 1,063 | $ | 2,293 | ||||||||||
Proceeds received on short sales |
$ | 392 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Cost or premiums of financial derivative instruments, net |
$ | (8,307 | ) | $ | 5,166 | $ | 111,663 | $ | 5,776 | $ | 13,745 | |||||||||
* Includes repurchase agreements of: |
$ | 92,959 | $ | 27,230 | $ | 15,357 | $ | 6,725 | $ | 47,236 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
($0.00001 par value and $25,000 liquidation preference per share) |
^^ |
($0.00001 per share) |
(a) |
Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds. |
28 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
ANNUAL REPORT |
| | JUNE 30, 2022 | 29 |
Statements of Operations |
PIMCO Corporate & Income Opportunity Fund |
PIMCO Corporate & Income Strategy Fund |
|||||||||||||||
(Amounts in thousands † |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
||||||||||||
Investment Income: |
||||||||||||||||
Interest, net of foreign taxes* |
$ | 157,407 | $ | 158,270 | $ | 53,285 | $ | 55,829 | ||||||||
Dividends, net of foreign taxes** |
1,568 | 1,439 | 827 | 1,147 | ||||||||||||
Total Income |
158,975 | 159,709 | 54,112 | 56,976 | ||||||||||||
Expenses: |
||||||||||||||||
Management fees |
10,670 | 11,105 | 4,509 | 4,754 | ||||||||||||
Trustee fees and related expenses |
192 | 219 | 67 | 75 | ||||||||||||
Interest expense |
5,273 | 4,563 | 1,831 | 1,570 | ||||||||||||
Auction agent fees and commissions |
176 | 202 | 45 | 67 | ||||||||||||
Auction rate preferred shares related expenses |
29 | 22 | 68 | 44 | ||||||||||||
Miscellaneous expense |
24 | 4 | 16 | 7 | ||||||||||||
Total Expenses |
16,364 | 16,115 | 6,536 | 6,517 | ||||||||||||
Net Investment Income (Loss) |
142,611 | 143,594 | 47,576 | 50,459 | ||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||
Investments in securities |
38,982 | (47,962 | ) | 15,133 | (29,654 | ) | ||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
62,625 | 19,429 | 32,318 | 11,179 | ||||||||||||
Over the counter financial derivative instruments |
28,823 | 511 | 8,862 | (5,382 | ) | |||||||||||
Foreign currency |
(2,625 | ) | (2,590 | ) | (1,140 | ) | (1,153 | ) | ||||||||
Net Realized Gain (Loss) |
127,805 | (30,612 | ) | 55,173 | (25,010 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||
Investments in securities |
(467,839 | ) | 214,649 | (154,523 | ) | 96,365 | ||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(50,067 | ) | (12,348 | ) | (30,585 | ) | (5,277 | ) | ||||||||
Over the counter financial derivative instruments |
(1,936 | ) | 13,104 | 1,197 | 3,975 | |||||||||||
Foreign currency assets and liabilities |
3,487 | 2,407 | 841 | 241 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
(516,355 | ) | 217,812 | (183,070 | ) | 95,304 | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (245,939 | ) | $ | 330,794 | $ | (80,321 | ) | $ | 120,753 | ||||||
Distributions on Auction Rate Preferred Shares from Net Investment Income and/or Realized Capital Gains |
$ | (997 | ) | $ | (318 | ) | $ | (87 | ) | $ | (27 | ) | ||||
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations |
$ | (246,936 | ) | $ | 330,476 | $ | (80,408 | ) | $ | 120,726 | ||||||
* Foreign tax withholdings - Interest |
$ | 432 | $ | 71 | $ | 155 | $ | 26 | ||||||||
** Foreign tax withholdings - Dividends |
$ | 21 | $ | 41 | $ | 9 | $ | 17 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) |
Fiscal year end changed from July 31st to June 30th. |
30 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
PIMCO High Income Fund |
PIMCO Income Strategy Fund |
PIMCO Income Strategy Fund II |
||||||||||||||||||||
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
|||||||||||||||||
$ | 69,252 | $ | 79,807 | $ | 30,927 | $ | 34,933 | $ | 60,414 | $ | 67,568 | |||||||||||
2,477 | 3,329 | 570 | 561 | 1,205 | 1,190 | |||||||||||||||||
71,729 | 83,136 | 31,497 | 35,494 | 61,619 | 68,758 | |||||||||||||||||
5,609 | 6,132 | 4,189 | 4,485 | 7,823 | 8,503 | |||||||||||||||||
92 | 102 | 44 | 50 | 88 | 101 | |||||||||||||||||
2,190 | 2,105 | 842 | 894 | 1,543 | 1,666 | |||||||||||||||||
70 | 103 | 49 | 60 | 89 | 110 | |||||||||||||||||
57 | 53 | 57 | 46 | 57 | 42 | |||||||||||||||||
27 | 39 | 7 | 3 | 18 | 7 | |||||||||||||||||
8,045 | 8,534 | 5,188 | 5,538 | 9,618 | 10,429 | |||||||||||||||||
63,684 | 74,602 | 26,309 | 29,956 | 52,001 | 58,329 | |||||||||||||||||
22,337 | (36,543 | ) | 8,163 | (13,018 | ) | 20,336 | (30,366 | ) | ||||||||||||||
72,604 | 20,784 | 6,402 | 5,656 | 43,687 | 13,123 | |||||||||||||||||
11,381 | (9,605 | ) | 7,038 | (3,777 | ) | 12,856 | (7,589 | ) | ||||||||||||||
(1,965 | ) | (938 | ) | 474 | (894 | ) | 201 | (1,677 | ) | |||||||||||||
104,357 | (26,302 | ) | 22,077 | (12,033 | ) | 77,080 | (26,509 | ) | ||||||||||||||
(189,870 | ) | 154,862 | (91,533 | ) | 55,133 | (181,824 | ) | 102,772 | ||||||||||||||
(71,936 | ) | (11,693 | ) | (6,576 | ) | (3,286 | ) | (46,586 | ) | (6,932 | ) | |||||||||||
2,020 | 4,539 | 1,132 | 3,038 | 1,717 | 6,038 | |||||||||||||||||
1,117 | 1,668 | 206 | 299 | 383 | 564 | |||||||||||||||||
(258,669 | ) | 149,376 | (96,771 | ) | 55,184 | (226,310 | ) | 102,442 | ||||||||||||||
$ | (90,628 | ) | $ | 197,676 | $ | (48,385 | ) | $ | 73,107 | $ | (97,229 | ) | $ | 134,262 | ||||||||
$ |
(217 |
) |
$ | (69 | ) | $ | (726 | ) | $ | (718 | ) | $ | (1,396 | ) | $ | (1,388 | ) | |||||
$ |
(90,845 |
) |
$ | 197,607 | $ | (49,111 | ) | $ | 72,389 | $ | (98,625 | ) | $ | 132,874 | ||||||||
$ | 207 | $ | 34 | $ | 104 | $ | 18 | $ | 190 | $ | 33 | |||||||||||
$ | 9 | $ | 19 | $ | 5 | $ | 10 | $ | 10 | $ | 61 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 31 |
Statements of Changes in Net Assets |
PIMCO Corporate & Income Opportunity Fund |
PIMCO Corporate & Income Strategy Fund |
|||||||||||||||||||||||
(Amounts in thousands † |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Year Ended July 31, 2020 |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Year Ended July 31, 2020 |
||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||
Net investment income (loss) |
$ | 142,611 | $ | 143,594 | $ | 128,584 | $ | 47,576 | $ | 50,459 | $ | 52,161 | ||||||||||||
Net realized gain (loss) |
127,805 | (30,612 | ) | (192,954 | ) | 55,173 | (25,010 | ) | (72,741 | ) | ||||||||||||||
Net change in unrealized appreciation (depreciation) |
(516,355 | ) | 217,812 | (37,562 | ) | (183,070 | ) | 95,304 | (10,212 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(245,939 | ) | 330,794 | (101,932 | ) | (80,321 | ) | 120,753 | (30,792 | ) | ||||||||||||||
Distributions on auction rate preferred shares from net investment income and/or realized capital gains |
(997 | ) | (318 | ) | (4,901 | ) | (87 | ) | (27 | ) | (408 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations |
(246,936 | ) | 330,476 | (106,833 | ) | (80,408 | ) | 120,726 | (31,200 | ) | ||||||||||||||
Distributions to Common Shareholders: |
||||||||||||||||||||||||
From net investment income and/or net realized capital gains |
(154,695 | ) | (133,020 | ) | (149,985 | ) | (52,821 | ) | (54,756 | ) | (56,092 | ) | ||||||||||||
Tax basis return of capital |
0 | (36,889 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||
Total Distributions to Common Shareholders (b) |
(154,695 | ) | (169,909 | ) | (149,985 | ) | (52,821 | ) | (54,756 | ) | (56,092 | ) | ||||||||||||
Common Share Transactions*: |
||||||||||||||||||||||||
Net proceeds from at-the-market |
99,728 | 213,794 | 198,642 | 31,500 | 25,618 | 0 | ||||||||||||||||||
Net at-the-market |
102 | 88 | (93 | ) | 149 | (46 | ) | 0 | ||||||||||||||||
Issued as reinvestment of distributions |
19,702 | 20,252 | 15,873 | 5,292 | 4,800 | 4,849 | ||||||||||||||||||
Total increase (decrease) resulting from common share transactions |
119,532 | 234,134 | 214,422 | 36,941 | 30,372 | 4,849 | ||||||||||||||||||
Total increase (decrease) in net assets applicable to common shareholders |
(282,099 | ) | 394,701 | (42,396 | ) | (96,288 | ) | 96,342 | (82,443 | ) | ||||||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||||||||||
Beginning of year or period |
1,643,538 | 1,248,837 | 1,291,233 | 605,830 | 509,488 | 591,931 | ||||||||||||||||||
End of year or period |
$ | 1,361,439 | $ | 1,643,538 | $ | 1,248,837 | $ | 509,542 | $ | 605,830 | $ | 509,488 | ||||||||||||
*Common Share Transactions: |
||||||||||||||||||||||||
Shares sold |
6,129 | 12,480 | 11,310 | 1,932 | 1,454 | 0 | ||||||||||||||||||
Shares issued as reinvestment of distributions |
1,229 | 1,205 | 1,006 | 333 | 297 | 297 | ||||||||||||||||||
Net increase (decrease) in common shares outstanding |
7,358 | 13,685 | 12,316 | 2,265 | 1,751 | 297 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) |
Fiscal year end changed from July 31st to June 30th. |
(b) |
The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information. |
32 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
PIMCO High Income Fund |
PIMCO Income Strategy Fund |
PIMCO Income Strategy Fund II |
||||||||||||||||||||||||||||||||
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Year Ended July 31, 2020 |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Year Ended July 31, 2020 |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Year Ended July 31, 2020 |
||||||||||||||||||||||||||
$ | 63,684 | $ | 74,602 | $ | 85,274 | $ | 26,309 | $ | 29,956 | $ | 29,940 | $ | 52,001 | $ | 58,329 | $ | 58,663 | |||||||||||||||||
104,357 | (26,302 | ) | (216,826 | ) | 22,077 | (12,033 | ) | (40,842 | ) | 77,080 | (26,509 | ) | (100,069 | ) | ||||||||||||||||||||
(258,669 | ) | 149,376 | 44,622 | (96,771 | ) | 55,184 | (4,691 | ) | (226,310 | ) | 102,442 | 8,859 | ||||||||||||||||||||||
|
(90,628 |
) |
197,676 | (86,930 | ) | (48,385 | ) | 73,107 | (15,593 | ) | (97,229 | ) | 134,262 | (32,547 | ) | |||||||||||||||||||
(217 | ) | (69 | ) | (1,072 | ) | (726 | ) | (718 | ) | (1,126 | ) | (1,396 | ) | (1,388 | ) | (2,180 | ) | |||||||||||||||||
(90,845 | ) | 197,607 | (88,002 | ) | (49,111 | ) | 72,389 | (16,719 | ) | (98,625 | ) | 132,874 | (34,727 | ) | ||||||||||||||||||||
(71,078 | ) | (57,461 | ) | (89,285 | ) | (31,501 | ) | (27,617 | ) | (28,689 | ) | (62,269 | ) | (55,505 | ) | (61,121 | ) | |||||||||||||||||
0 | (19,329 | ) | (4,178 | ) | 0 | (8,099 | ) | (3,398 | ) | 0 | (15,939 | ) | (4,395 | ) | ||||||||||||||||||||
(71,078 | ) | (76,790 | ) | (93,463 | ) | (31,501 | ) | (35,716 | ) | (32,087 | ) | (62,269 | ) | (71,444 | ) | (65,516 | ) | |||||||||||||||||
1,990 | 0 | 0 | 9,688 | 30,494 | 35,959 | 12,114 | 48,744 | 67,156 | ||||||||||||||||||||||||||
0 | 0 | 0 | 13 | 60 | (39 | ) | 38 | 63 | (125 | ) | ||||||||||||||||||||||||
7,608 | 7,812 | 9,621 | 3,127 | 3,186 | 2,600 | 7,080 | 7,529 | 6,136 | ||||||||||||||||||||||||||
|
9,598 |
7,812 | 9,621 | 12,828 | 33,740 | 38,520 | 19,232 | 56,336 | 73,167 | |||||||||||||||||||||||||
|
(152,325 |
) |
128,629 | (171,844 | ) | (67,784 | ) | 70,413 | (10,286 | ) | (141,662 | ) | 117,766 | (27,076 | ) | |||||||||||||||||||
792,773 | 664,144 | 835,988 | 365,580 | 295,167 | 305,453 | 723,617 | 605,851 | 632,927 | ||||||||||||||||||||||||||
$ | 640,448 | $ | 792,773 | $ | 664,144 | $ | 297,796 | $ | 365,580 | $ | 295,167 | $ | 581,955 | $ | 723,617 | $ | 605,851 | |||||||||||||||||
345 | 0 | 0 | 925 | 2,766 | 3,197 | 1,259 | 4,997 | 6,557 | ||||||||||||||||||||||||||
1,306 | 1,349 | 1,534 | 301 | 297 | 250 | 774 | 800 | 655 | ||||||||||||||||||||||||||
1,651 | 1,349 | 1,534 | 1,226 | 3,063 | 3,447 | 2,033 | 5,797 | 7,212 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 33 |
Statements of Cash Flows |
PIMCO Corporate & Income Opportunity Fund |
||||||||
(Amounts in thousands † |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
||||||
Cash Flows Provided by (Used for) Operating Activities: |
||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (245,939 | ) | $ | 330,794 | |||
Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for) Operating Activities: |
||||||||
Purchases of long-term securities |
(1,506,177 | ) | (2,406,758 | ) | ||||
Proceeds from sales of long-term securities |
1,842,265 | 1,629,310 | ||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net |
(62,132 | ) | (18,186 | ) | ||||
(Increase) decrease in deposits with counterparty |
(48,436 | ) | (22,530 | ) | ||||
(Increase) decrease in receivable for investments sold |
(24,619 | ) | (26,262 | ) | ||||
(Increase) decrease in interest and/or dividends receivable |
(7,099 | ) | (8,367 | ) | ||||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |
13,462 | 8,511 | ||||||
Proceeds from (Payments on) over the counter financial derivative instruments |
28,020 | (3,602 | ) | |||||
(Increase) decrease in other assets |
(48 | ) | (260 | ) | ||||
Increase (decrease) in payable for investments purchased |
(69,963 | ) | 52,819 | |||||
Increase (decrease) in payable for unfunded loan commitments |
(6,450 | ) | 32,211 | |||||
Increase (decrease) in deposits from counterparty |
(2,843 | ) | 1,611 | |||||
Increase (decrease) in accrued management fees |
(174 | ) | 215 | |||||
Proceeds from (Payments on) short sales transactions, net |
392 | 0 | ||||||
Proceeds from (Payments on) foreign currency transactions |
(3,676 | ) | (2,073 | ) | ||||
Increase (decrease) in other liabilities |
(23 | ) | 80 | |||||
Net Realized (Gain) Loss |
||||||||
Investments in securities |
(38,982 | ) | 47,962 | |||||
Exchange-traded or centrally cleared financial derivative instruments |
(62,625 | ) | (19,429 | ) | ||||
Over the counter financial derivative instruments |
(28,823 | ) | (511 | ) | ||||
Foreign currency |
2,625 | 2,590 | ||||||
Net Change in Unrealized (Appreciation) Depreciation |
||||||||
Investments in securities |
467,839 | (214,649 | ) | |||||
Exchange-traded or centrally cleared financial derivative instruments |
50,067 | 12,348 | ||||||
Over the counter financial derivative instruments |
1,936 | (13,104 | ) | |||||
Foreign currency assets and liabilities |
(3,487 | ) | (2,407 | ) | ||||
Net amortization (accretion) on investments |
(12,672 | ) | (10,869 | ) | ||||
Net Cash Provided by (Used for) Operating Activities |
282,438 | (630,556 | ) | |||||
Cash Flows Received from (Used for) Financing Activities: |
||||||||
Net proceeds from at-the-market offering |
99,728 | 213,794 | ||||||
Net at-the-market offering cost |
102 | 88 | ||||||
Increase (decrease) in overdraft due to custodian |
0 | (397 | ) | |||||
Cash distributions paid to common shareholders* |
(135,418 | ) | (147,813 | ) | ||||
Cash distributions paid to auction rate preferred shareholders |
(910 | ) | (319 | ) | ||||
Proceeds from reverse repurchase agreements |
4,969,317 | 4,460,867 | ||||||
Payments on reverse repurchase agreements |
(5,211,898 | ) | (3,892,988 | ) | ||||
Net Cash Received from (Used for) Financing Activities |
(279,079 | ) | 633,232 | |||||
Net Increase (Decrease) in Cash and Foreign Currency |
3,359 | 2,676 | ||||||
Cash and Foreign Currency: |
||||||||
Beginning of period |
6,563 | 3,887 | ||||||
End of period |
$ | 9,922 | $ | 6,563 | ||||
* Reinvestment of distributions to common shareholders |
$ | 19,702 | $ | 20,252 | ||||
Supplemental Disclosure of Cash Flow Information: |
||||||||
Interest expense paid during the period |
$ | 4,742 | $ | 4,428 | ||||
Non Cash Payment in Kind |
$ | 3,200 | $ | 2,421 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
34 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
PIMCO Corporate & Income Strategy Fund |
PIMCO High Income Fund |
PIMCO Income Strategy Fund |
PIMCO Income Strategy Fund II |
|||||||||||||||||||||||||||
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
Period from August 1, 2021 to June 30, 2022 (a) |
Year Ended July 31, 2021 |
|||||||||||||||||||||||
$ | (80,321 | ) | $ | 120,753 | $ | (90,628 | ) | $ | 197,676 | $ | (48,385 | ) | $ | 73,107 | $ | (97,229 | ) | $ | 134,262 | |||||||||||
(426,305 | ) | (697,761 | ) | (405,160 | ) | (960,924 | ) | (230,261 | ) | (350,355 | ) | (429,864 | ) | (632,208 | ) | |||||||||||||||
567,359 | 480,584 | 637,889 | 723,648 | 332,562 | 247,407 | 622,269 | 456,982 | |||||||||||||||||||||||
4,291 | (28,428 | ) | (7,020 | ) | 18,163 | (18,398 | ) | 3,927 | (26,159 | ) | (10,648 | ) | ||||||||||||||||||
(23,022 | ) | (8,761 | ) | (3,408 | ) | (6,880 | ) | (8,021 | ) | (5,752 | ) | (10,535 | ) | (10,655 | ) | |||||||||||||||
(3,213 | ) | 966 | 5,599 | 77,054 | 21,802 | (25,263 | ) | (3,897 | ) | 10,491 | ||||||||||||||||||||
(2,057 | ) | (1,949 | ) | 127 | (2,886 | ) | (663 | ) | (1,270 | ) | (1,223 | ) | (2,068 | ) | ||||||||||||||||
2,615 | 6,099 | 1,805 | 9,991 | (92 | ) | 2,492 | (2,840 | ) | 6,372 | |||||||||||||||||||||
8,835 | (5,355 | ) | 11,338 | (9,559 | ) | 6,974 | (3,710 | ) | 12,764 | (7,460 | ) | |||||||||||||||||||
(126 | ) | (375 | ) | (3 | ) | (2 | ) | (45 | ) | (299 | ) | (43 | ) | (142 | ) | |||||||||||||||
(18,138 | ) | (15,797 | ) | (254 | ) | (95,824 | ) | (14,503 | ) | 9,430 | (14,407 | ) | (14,940 | ) | ||||||||||||||||
431 | 722 | 1,489 | 1,166 | (1,035 | ) | 5,291 | (387 | ) | 4,105 | |||||||||||||||||||||
2,233 | (3,182 | ) | (1,190 | ) | (923 | ) | (207 | ) | 470 | (1,969 | ) | (257 | ) | |||||||||||||||||
(74 | ) | 61 | (110 | ) | 76 | (101 | ) | 114 | (211 | ) | 202 | |||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
(1,535 | ) | (1,147 | ) | (2,452 | ) | (903 | ) | 169 | (724 | ) | (309 | ) | (1,306 | ) | ||||||||||||||||
(49 | ) | (2 | ) | (27 | ) | 5 | (3 | ) | (35 | ) | (4 | ) | (51 | ) | ||||||||||||||||
(15,133 | ) | 29,654 | (22,337 | ) | 36,543 | (8,163 | ) | 13,018 | (20,336 | ) | 30,366 | |||||||||||||||||||
(32,318 | ) | (11,179 | ) | (72,604 | ) | (20,784 | ) | (6,402 | ) | (5,656 | ) | (43,687 | ) | (13,123 | ) | |||||||||||||||
(8,862 | ) | 5,382 | (11,381 | ) | 9,605 | (7,038 | ) | 3,777 | (12,856 | ) | 7,589 | |||||||||||||||||||
1,140 | 1,153 | 1,965 | 938 | (474 | ) | 894 | (201 | ) | 1,677 | |||||||||||||||||||||
154,523 | (96,365 | ) | 189,870 | (154,862 | ) | 91,533 | (55,133 | ) | 181,824 | (102,772 | ) | |||||||||||||||||||
30,585 | 5,277 | 71,936 | 11,693 | 6,576 | 3,286 | 46,586 | 6,932 | |||||||||||||||||||||||
(1,197 | ) | (3,975 | ) | (2,020 | ) | (4,539 | ) | (1,132 | ) | (3,038 | ) | (1,717 | ) | (6,038 | ) | |||||||||||||||
(841 | ) | (241 | ) | (1,117 | ) | (1,668 | ) | (206 | ) | (299 | ) | (383 | ) | (564 | ) | |||||||||||||||
(5,608 | ) | (4,363 | ) | (6,548 | ) | (5,031 | ) | (2,646 | ) | (2,199 | ) | (5,920 | ) | (5,036 | ) | |||||||||||||||
153,213 | (228,229 | ) | 295,759 | (178,227 | ) | 111,841 | (90,520 | ) | 189,266 | (148,290 | ) | |||||||||||||||||||
31,924 | 25,194 | 1,990 | 0 | 9,189 | 30,563 | 11,665 | 48,744 | |||||||||||||||||||||||
149 | (46 | ) | 0 | 0 | 13 | 60 | 38 | 63 | ||||||||||||||||||||||
0 | 0 | 0 | (299 | ) | 0 | (20 | ) | (62 | ) | (106 | ) | |||||||||||||||||||
(47,270 | ) | (49,773 | ) | (63,392 | ) | (68,913 | ) | (28,574 | ) | (32,247 | ) | (55,678 | ) | (63,445 | ) | |||||||||||||||
(81 | ) | (26 | ) | (198 | ) | (69 | ) | (716 | ) | (718 | ) | (1,381 | ) | (1,388 | ) | |||||||||||||||
1,636,248 | 1,572,810 | 1,476,761 | 1,795,724 | 602,416 | 754,396 | 1,167,775 | 1,429,772 | |||||||||||||||||||||||
(1,773,627 | ) | (1,320,373 | ) | (1,710,816 | ) | (1,548,909 | ) | (693,576 | ) | (661,725 | ) | (1,310,180 | ) | (1,265,920 | ) | |||||||||||||||
(152,657 | ) | 227,786 | (295,655 | ) | 177,534 | (111,248 | ) | 90,309 | (187,823 | ) | 147,720 | |||||||||||||||||||
556 | (443 | ) | 104 | (693 | ) | 593 | (211 | ) | 1,443 | (570 | ) | |||||||||||||||||||
1,561 | 2,004 | 2,435 | 3,128 | 703 | 914 | 1,437 | 2,007 | |||||||||||||||||||||||
$ | 2,117 | $ | 1,561 | $ | 2,539 | $ | 2,435 | $ | 1,296 | $ | 703 | $ | 2,880 | $ | 1,437 | |||||||||||||||
$ | 5,292 | $ | 4,800 | $ | 7,608 | $ | 7,812 | $ | 3,127 | $ | 3,186 | $ | 7,080 | $ | 7,529 | |||||||||||||||
$ | 1,659 | $ | 1,550 | $ | 2,049 | $ | 2,095 | $ | 743 | $ | 895 | $ | 1,475 | $ | 1,629 | |||||||||||||||
$ | 1,524 | $ | 1,203 | $ | 2,881 | $ | 2,802 | $ | 924 | $ | 769 | $ | 1,988 | $ | 1,689 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 35 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 166.2% |
| |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 43.2% |
| |||||||||||
AAdvantage Loyalty IP Ltd. |
| |||||||||||
5.813% (LIBOR03M + 4.750%) due 04/20/2028 ~ |
$ |
12,003 |
$ |
11,499 |
||||||||
Air Canada |
| |||||||||||
4.250% (LIBOR03M + 3.500%) due 08/11/2028 «~ |
300 |
277 |
||||||||||
Altar Bidco, Inc. |
| |||||||||||
7.355% (LIBOR03M + 5.600%) due 02/01/2030 ~ |
3,200 |
2,908 |
||||||||||
AmSurg Corp. |
| |||||||||||
13.000% due 04/30/2028 « |
42,847 |
39,847 |
||||||||||
AP Core Holdings LLC |
| |||||||||||
7.166% (LIBOR01M + 5.500%) due 09/01/2027 ~ |
24,356 |
23,001 |
||||||||||
Caesars Resort Collection LLC |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 12/23/2024 ~ |
31,198 |
30,120 |
||||||||||
Carnival Corp. |
| |||||||||||
3.750% - 3.975% (EUR003M + 3.750%) due 06/30/2025 ~ |
EUR |
10,723 |
10,423 |
|||||||||
5.877% (LIBOR06M + 3.000%) due 06/30/2025 ~ |
$ |
1,786 |
1,668 |
|||||||||
6.127% (LIBOR06M + 3.250%) due 10/18/2028 «~ |
2,538 |
2,284 |
||||||||||
Casino Guichard-Perrachon SA |
| |||||||||||
4.000% (EUR003M + 4.000%) due 08/31/2025 ~ |
EUR |
5,600 |
5,289 |
|||||||||
Cassini SAS |
| |||||||||||
TBD% due 03/28/2026 |
24,800 |
21,474 |
||||||||||
Cengage Learning, Inc. |
| |||||||||||
5.750% (LIBOR03M + 4.750%) due 07/14/2026 ~ |
$ |
3,603 |
3,262 |
|||||||||
Clear Channel Outdoor Holdings, Inc. |
| |||||||||||
4.739% (LIBOR03M + 3.500%) due 08/21/2026 ~ |
13,852 |
11,925 |
||||||||||
Coty, Inc. |
| |||||||||||
2.500% (EUR003M + 2.500%) due 04/07/2025 ~ |
EUR |
4,092 |
3,978 |
|||||||||
3.410% (LIBOR01M + 2.250%) due 04/07/2025 ~ |
$ |
1,632 |
1,561 |
|||||||||
Diamond Sports Group LLC |
| |||||||||||
9.181% due 05/26/2026 |
13,238 |
13,072 |
||||||||||
DirecTV Financing LLC |
| |||||||||||
6.666% (LIBOR01M + 5.000%) due 08/02/2027 ~ |
4,290 |
3,967 |
||||||||||
Encina Private Credit LLC |
| |||||||||||
TBD% - 5.598% (LIBOR01M + 4.274%) due 11/30/2025 «~µ |
27,444 |
26,766 |
||||||||||
Envision Healthcare Corp. |
| |||||||||||
TBD% due 04/30/2027 µ |
3,446 |
3,403 |
||||||||||
8.875% due 04/30/2027 |
18,954 |
18,717 |
||||||||||
Fly Funding SARL |
| |||||||||||
7.012% - 7.611% (LIBOR03M + 6.000%) due 10/08/2025«~ |
725 |
714 |
||||||||||
Forbes Energy Services LLC (7.000% PIK) |
| |||||||||||
7.000% due 09/30/2022 «(b) |
935 |
0 |
||||||||||
Frontier Communications Corp. |
| |||||||||||
5.150% - 6.063% (LIBOR03M + 3.750%) due 05/01/2028 ~ |
7,739 |
7,270 |
||||||||||
Galderma |
| |||||||||||
6.000% (LIBOR03M + 3.750%) due 10/01/2026 ~ |
489 |
454 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
| |||||||||||
9.590% (LIBOR03M + 8.000%) due 10/15/2027 ~ |
15,504 |
15,320 |
||||||||||
9.590% due 10/18/2027 « |
CAD |
3,384 |
2,600 |
|||||||||
Hudson River Trading LLC |
| |||||||||||
4.640% due 03/20/2028 |
$ |
4,776 |
4,471 |
|||||||||
Ineos Finance PLC |
| |||||||||||
2.500% (EUR003M + 2.000%) due 04/01/2024 ~ |
EUR |
17,103 |
17,156 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
4.920% due 02/01/2029 |
$ |
9,524 |
$ |
8,738 |
||||||||
LBM Acquisition LLC |
| |||||||||||
5.416% (LIBOR01M + 3.750%) due 12/17/2027 ~ |
1 |
0 |
||||||||||
Lealand Finance Co. BV |
| |||||||||||
4.666% (LIBOR01M + 3.000%) due 06/28/2024 «~ |
189 |
118 |
||||||||||
Lealand Finance Co. BV (2.666% Cash and 3.000% PIK) |
| |||||||||||
5.666% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) |
2,084 |
1,068 |
||||||||||
McAfee LLC |
| |||||||||||
5.145% due 03/01/2029 |
10,000 |
9,097 |
||||||||||
MPH Acquisition Holdings LLC |
| |||||||||||
5.825% (LIBOR03M + 4.250%) due 09/01/2028 ~ |
15,781 |
14,587 |
||||||||||
Naked Juice LLC |
| |||||||||||
8.154% due 01/24/2030 |
2,200 |
2,035 |
||||||||||
PetSmart, Inc. |
| |||||||||||
4.500% (LIBOR03M + 3.750%) due 02/11/2028 ~ |
1,200 |
1,131 |
||||||||||
Promotora de Informaciones SA |
| |||||||||||
5.250% (EUR003M + 5.250%) due 12/31/2026 ~ |
EUR |
22,523 |
21,184 |
|||||||||
9.000% (EUR003M + 8.000%) due 06/30/2027 ~ |
7,259 |
6,894 |
||||||||||
PUG LLC |
| |||||||||||
5.166% (LIBOR01M + 3.500%) due 02/12/2027 ~ |
$ |
9,659 |
8,850 |
|||||||||
5.916% (LIBOR01M + 4.250%) due 02/12/2027 «~ |
5,980 |
5,546 |
||||||||||
Redstone Holdco 2 LP |
| |||||||||||
5.934% (LIBOR03M + 4.750%) due 04/27/2028 ~ |
6,071 |
5,261 |
||||||||||
RegionalCare Hospital Partners Holdings, Inc. |
| |||||||||||
5.416% (LIBOR01M + 3.750%) due 11/16/2025 ~ |
87 |
81 |
||||||||||
Rising Tide Holdings, Inc. |
| |||||||||||
6.416% (LIBOR01M + 4.750%) due 06/01/2028 ~ |
5,148 |
4,513 |
||||||||||
Sasol Ltd. |
| |||||||||||
0.560% - 3.663 % (LIBOR03M + 1.600%) due 11/23/2022 «~µ |
8,889 |
8,804 |
||||||||||
Sequa Mezzanine Holdings LLC |
| |||||||||||
8.303% (LIBOR03M + 6.750%) due 11/28/2023 ~ |
1,153 |
1,149 |
||||||||||
Sigma Bidco BV |
| |||||||||||
3.500% (EUR003M + 3.500%) due 07/02/2025 ~ |
EUR |
23,000 |
18,288 |
|||||||||
SkyMiles IP Ltd. |
| |||||||||||
4.813% (LIBOR03M + 3.750%) due 10/20/2027 ~ |
$ |
15,100 |
14,995 |
|||||||||
Spirit Aerosystems, Inc. |
| |||||||||||
5.416% (LIBOR01M + 3.750%) due 01/15/2025 ~ |
2,947 |
2,874 |
||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) |
| |||||||||||
10.750% (EUR003M) due 12/29/2022 «~(b) |
EUR |
44,179 |
28,473 |
|||||||||
Surgery Center Holdings, Inc. |
| |||||||||||
4.950% (LIBOR01M + 3.750%) due 08/31/2026 ~ |
$ |
6,146 |
5,745 |
|||||||||
Syniverse Holdings, Inc. |
| |||||||||||
8.286% due 05/13/2027 |
28,884 |
25,490 |
||||||||||
Team Health Holdings, Inc. |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 02/06/2024 ~ |
32,739 |
29,247 |
||||||||||
TransDigm, Inc. |
| |||||||||||
3.916% (LIBOR01M + 2.250%) due 08/22/2024 ~ |
11,535 |
11,135 |
||||||||||
3.916% (LIBOR01M + 2.250%) due 05/30/2025 ~ |
4,078 |
3,885 |
||||||||||
3.916% (LIBOR01M + 2.250%) due 12/09/2025 ~ |
24,536 |
23,359 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
6.688% (LIBOR01M + 5.000%) due 06/26/2026 ~ |
$ |
7,759 |
$ |
5,343 |
||||||||
7.188% (LIBOR01M + 5.500%) due 06/26/2026 «~ |
16,079 |
11,215 |
||||||||||
Uber Technologies, Inc. |
| |||||||||||
5.075% (LIBOR03M + 3.500%) due 04/04/2025 ~ |
3,175 |
3,055 |
||||||||||
5.075% (LIBOR03M + 3.500%) due 02/25/2027 ~ |
1,389 |
1,335 |
||||||||||
United Airlines, Inc. |
| |||||||||||
5.150 - 5.392% (LIBOR01M + 3.750%) due 04/21/2028 ~ |
2,678 |
2,493 |
||||||||||
Univision Communications, Inc. |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 03/15/2024 ~ |
289 |
285 |
||||||||||
Veritas U.S., Inc. |
| |||||||||||
7.250% (LIBOR03M + 5.000%) due 09/01/2025 ~ |
6,957 |
5,735 |
||||||||||
Viad Corp. |
| |||||||||||
6.666% (LIBOR01M + 5.000%) due 07/30/2028 «~ |
4,466 |
4,198 |
||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) |
| |||||||||||
15.000% due 03/15/2029 (b) |
3,935 |
2,361 |
||||||||||
Windstream Services LLC |
| |||||||||||
7.916% (LIBOR01M + 6.250%) due 09/21/2027 ~ |
5,823 |
5,474 |
||||||||||
|
|
|||||||||||
Total Loan Participations and Assignments (Cost $667,076) |
587,467 |
|||||||||||
|
|
|||||||||||
CORPORATE BONDS & NOTES 70.7% |
| |||||||||||
BANKING & FINANCE 15.9% |
| |||||||||||
Ally Financial, Inc. |
| |||||||||||
8.000% due 11/01/2031 (l) |
3,550 |
3,889 |
||||||||||
Apollo Commercial Real Estate Finance, Inc. |
| |||||||||||
4.625% due 06/15/2029 (l) |
4,500 |
3,359 |
||||||||||
Armor Holdco, Inc. |
| |||||||||||
8.500% due 11/15/2029 (l) |
4,000 |
3,313 |
||||||||||
Banca Monte dei Paschi di Siena SpA |
| |||||||||||
1.875% due 01/09/2026 (l) |
EUR |
500 |
439 |
|||||||||
2.625% due 04/28/2025 (l) |
19,170 |
17,847 |
||||||||||
3.625% due 09/24/2024 (l) |
9,609 |
9,318 |
||||||||||
5.375% due 01/18/2028 •(l) |
8,500 |
5,294 |
||||||||||
8.000% due 01/22/2030 •(l) |
6,129 |
4,114 |
||||||||||
8.500% due 09/10/2030 •(l) |
4,500 |
3,122 |
||||||||||
10.500% due 07/23/2029 (l) |
3,939 |
2,888 |
||||||||||
Banco de Credito del Peru SA |
| |||||||||||
4.650% due 09/17/2024 |
PEN |
1,600 |
387 |
|||||||||
Barclays PLC |
| |||||||||||
5.875% due 09/15/2024 •(h)(i)(l) |
GBP |
3,800 |
4,286 |
|||||||||
7.125% due 06/15/2025 •(h)(i)(l) |
2,200 |
2,576 |
||||||||||
7.750% due 09/15/2023 •(h)(i) |
$ |
2,000 |
1,970 |
|||||||||
7.875% due 09/15/2022 •(h)(i)(l) |
GBP |
5,025 |
6,105 |
|||||||||
8.000% due 06/15/2024 •(h)(i) |
$ |
1,000 |
985 |
|||||||||
BOI Finance BV |
| |||||||||||
7.500% due 02/16/2027 (l) |
EUR |
7,100 |
6,027 |
|||||||||
Corsair International Ltd. |
| |||||||||||
4.850% due 01/28/2027 • |
1,300 |
1,286 |
||||||||||
5.200% due 01/28/2029 • |
1,100 |
1,077 |
||||||||||
Cosaint Re Pte. Ltd. |
| |||||||||||
10.948% (T-BILL 1MO + 9.250%) due 04/03/2028 ~ |
$ |
1,900 |
1,869 |
|||||||||
Country Garden Holdings Co. Ltd. |
| |||||||||||
2.700% due 07/12/2026 (l) |
300 |
141 |
||||||||||
3.125% due 10/22/2025 (l) |
200 |
99 |
||||||||||
4.800% due 08/06/2030 (l) |
200 |
85 |
||||||||||
6.150% due 09/17/2025 (l) |
200 |
108 |
||||||||||
8.000% due 01/27/2024 (l) |
300 |
199 |
||||||||||
Credit Agricole SA |
| |||||||||||
7.875% due 01/23/2024 •(h)(i)(l) |
400 |
396 |
||||||||||
Credit Suisse Group AG |
| |||||||||||
6.375% due 08/21/2026 •(h)(i) |
1,300 |
1,077 |
||||||||||
7.250% due 09/12/2025 •(h)(i)(l) |
200 |
174 |
||||||||||
7.500% due 07/17/2023 •(h)(i) |
1,300 |
1,202 |
||||||||||
7.500% due 12/11/2023 •(h)(i)(l) |
3,836 |
3,664 |
36 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Doric Nimrod Air Alpha Pass-Through Trust |
| |||||||||||
5.250% due 05/30/2025 |
$ |
25 |
$ |
25 |
||||||||
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust |
| |||||||||||
5.125% due 11/30/2024 |
15 |
14 |
||||||||||
Essential Properties LP |
| |||||||||||
2.950% due 07/15/2031 (l) |
500 |
392 |
||||||||||
Fortress Transportation & Infrastructure Investors LLC |
| |||||||||||
6.500% due 10/01/2025 |
32 |
30 |
||||||||||
Future Diamond Ltd. |
| |||||||||||
4.250% due 09/22/2022 |
200 |
187 |
||||||||||
GLP Capital LP |
| |||||||||||
3.250% due 01/15/2032 (l) |
400 |
321 |
||||||||||
GSPA Monetization Trust |
| |||||||||||
6.422% due 10/09/2029 (l) |
5,180 |
5,157 |
||||||||||
Hampton Roads PPV LLC |
| |||||||||||
6.171% due 06/15/2053 (l) |
1,800 |
1,669 |
||||||||||
Hestia Re Ltd. |
| |||||||||||
9.500% (T-BILL 3MO + 9.500%) due 04/22/2025 ~ |
1,878 |
1,865 |
||||||||||
Host Hotels & Resorts LP |
| |||||||||||
3.375% due 12/15/2029 (l) |
100 |
85 |
||||||||||
HSBC Holdings PLC |
| |||||||||||
6.000% due 09/29/2023 •(h)(i)(l) |
EUR |
2,330 |
2,421 |
|||||||||
Huarong Finance Co. Ltd. |
| |||||||||||
3.375% due 02/24/2030 (l) |
$ |
300 |
226 |
|||||||||
3.625% due 09/30/2030 (l) |
300 |
231 |
||||||||||
3.875% due 11/13/2029 (l) |
700 |
559 |
||||||||||
4.250% due 11/07/2027 |
200 |
174 |
||||||||||
4.500% due 05/29/2029 (l) |
1,300 |
1,084 |
||||||||||
4.750% due 04/27/2027 |
200 |
181 |
||||||||||
Intesa Sanpaolo SpA |
| |||||||||||
7.750% due 01/11/2027 •(h)(i)(l) |
EUR |
2,400 |
2,393 |
|||||||||
Lloyds Banking Group PLC |
| |||||||||||
7.625% due 06/27/2023 •(h)(i)(l) |
GBP |
4,610 |
5,617 |
|||||||||
7.875% due 06/27/2029 •(h)(i) |
523 |
630 |
||||||||||
MPT Operating Partnership LP |
| |||||||||||
3.375% due 04/24/2030 (l) |
2,100 |
2,051 |
||||||||||
National Health Investors, Inc. |
| |||||||||||
3.000% due 02/01/2031 (l) |
$ |
800 |
615 |
|||||||||
Natwest Group PLC |
| |||||||||||
8.000% due 08/10/2025 •(h)(i) |
15,325 |
15,202 |
||||||||||
New Metro Global Ltd. |
| |||||||||||
5.000% due 08/08/2022 |
200 |
196 |
||||||||||
Sanders Re Ltd. |
| |||||||||||
11.750% (T-BILL 3MO + 11.750%) due 04/09/2029 ~ |
3,241 |
3,244 |
||||||||||
Santander U.K. Group Holdings PLC |
| |||||||||||
6.750% due 06/24/2024 •(h)(i)(l) |
GBP |
9,405 |
11,048 |
|||||||||
Seazen Group Ltd. |
| |||||||||||
6.000% due 08/12/2024 |
$ |
200 |
120 |
|||||||||
Societe Generale SA |
| |||||||||||
7.375% due 10/04/2023 •(h)(i) |
1,300 |
1,253 |
||||||||||
Unique Pub Finance Co. PLC |
| |||||||||||
5.659% due 06/30/2027 |
GBP |
790 |
1,015 |
|||||||||
Uniti Group LP |
| |||||||||||
6.000% due 01/15/2030 (l) |
$ |
19,047 |
13,202 |
|||||||||
7.875% due 02/15/2025 (l) |
30,470 |
29,496 |
||||||||||
VICI Properties LP |
| |||||||||||
3.875% due 02/15/2029 |
3,300 |
2,845 |
||||||||||
4.500% due 09/01/2026 (l) |
2,400 |
2,212 |
||||||||||
4.500% due 01/15/2028 (l) |
3,050 |
2,785 |
||||||||||
5.750% due 02/01/2027 |
600 |
570 |
||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
8.500% due 05/09/2026 (l) |
20,412 |
18,269 |
||||||||||
Yosemite Re Ltd. |
| |||||||||||
11.389% (T-BILL 3MO + 9.750%) due 06/06/2025 ~ |
1,790 |
1,793 |
||||||||||
|
|
|||||||||||
216,473 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 44.2% |
| |||||||||||
AA Bond Co. Ltd. |
| |||||||||||
5.500% due 07/31/2050 (l) |
GBP |
3,541 |
4,214 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Air Canada Pass-Through Trust |
| |||||||||||
5.250% due 10/01/2030 (l) |
$ |
1,298 |
$ |
1,300 |
||||||||
Altice Financing SA |
| |||||||||||
5.750% due 08/15/2029 (l) |
6,551 |
5,276 |
||||||||||
Altice France Holding SA |
| |||||||||||
10.500% due 05/15/2027 (l) |
12,200 |
10,261 |
||||||||||
American Airlines Pass-Through Trust |
| |||||||||||
3.350% due 04/15/2031 (l) |
1,175 |
1,082 |
||||||||||
3.375% due 11/01/2028 (l) |
260 |
234 |
||||||||||
3.700% due 04/01/2028 (l) |
900 |
782 |
||||||||||
American Airlines, Inc. |
| |||||||||||
5.500% due 04/20/2026 (l) |
13,475 |
12,428 |
||||||||||
5.750% due 04/20/2029 (l) |
3,800 |
3,257 |
||||||||||
Arches Buyer, Inc. |
| |||||||||||
4.250% due 06/01/2028 (l) |
3,400 |
2,778 |
||||||||||
Boeing Co. |
| |||||||||||
5.705% due 05/01/2040 (l) |
1,723 |
1,610 |
||||||||||
5.805% due 05/01/2050 (l) |
1,470 |
1,353 |
||||||||||
5.930% due 05/01/2060 (l) |
1,992 |
1,818 |
||||||||||
6.125% due 02/15/2033 (l) |
3,988 |
4,020 |
||||||||||
Bombardier, Inc. |
| |||||||||||
7.125% due 06/15/2026 (l) |
3,200 |
2,649 |
||||||||||
7.500% due 03/15/2025 (l) |
12,000 |
10,878 |
||||||||||
British Airways Pass-Through Trust |
| |||||||||||
4.250% due 05/15/2034 |
56 |
54 |
||||||||||
Broadcom, Inc. |
| |||||||||||
3.137% due 11/15/2035 (l) |
933 |
710 |
||||||||||
3.187% due 11/15/2036 (l) |
2,434 |
1,854 |
||||||||||
3.419% due 04/15/2033 (l) |
200 |
166 |
||||||||||
3.469% due 04/15/2034 (l) |
200 |
163 |
||||||||||
4.150% due 11/15/2030 (l) |
1,119 |
1,026 |
||||||||||
4.926% due 05/15/2037 (l) |
1,515 |
1,360 |
||||||||||
Carnival Corp. |
| |||||||||||
10.500% due 02/01/2026 |
400 |
399 |
||||||||||
Carvana Co. |
| |||||||||||
10.250% due 05/01/2030 (l) |
5,800 |
4,775 |
||||||||||
CDW LLC |
| |||||||||||
3.569% due 12/01/2031 (l) |
2,300 |
1,904 |
||||||||||
Cellnex Finance Co. SA |
| |||||||||||
3.875% due 07/07/2041 (l) |
1,400 |
963 |
||||||||||
CGG SA |
| |||||||||||
7.750% due 04/01/2027 (l) |
EUR |
13,719 |
12,293 |
|||||||||
8.750% due 04/01/2027 |
$ |
8,648 |
7,369 |
|||||||||
Charter Communications Operating LLC |
| |||||||||||
3.500% due 03/01/2042 (l) |
1,000 |
696 |
||||||||||
3.700% due 04/01/2051 (l) |
400 |
271 |
||||||||||
3.850% due 04/01/2061 (l) |
1,300 |
857 |
||||||||||
3.900% due 06/01/2052 (l) |
5,600 |
3,898 |
||||||||||
3.950% due 06/30/2062 (l) |
4,800 |
3,216 |
||||||||||
4.400% due 12/01/2061 (l) |
4,900 |
3,534 |
||||||||||
CommScope, Inc. |
| |||||||||||
8.250% due 03/01/2027 (l) |
16,640 |
13,195 |
||||||||||
Community Health Systems, Inc. |
| |||||||||||
8.000% due 03/15/2026 (l) |
3,672 |
3,355 |
||||||||||
Condor Merger Sub, Inc. |
| |||||||||||
7.375% due 02/15/2030 (l) |
3,800 |
3,100 |
||||||||||
Coty, Inc. |
| |||||||||||
3.875% due 04/15/2026 (l) |
EUR |
6,600 |
6,136 |
|||||||||
4.750% due 01/15/2029 (l) |
$ |
5,500 |
4,732 |
|||||||||
CVS Pass-Through Trust |
| |||||||||||
7.507% due 01/10/2032 (l) |
1,425 |
1,554 |
||||||||||
DirecTV Financing LLC |
| |||||||||||
5.875% due 08/15/2027 (l) |
1,700 |
1,456 |
||||||||||
DISH DBS Corp. |
| |||||||||||
5.250% due 12/01/2026 (l) |
6,002 |
4,716 |
||||||||||
5.750% due 12/01/2028 (l) |
11,250 |
8,351 |
||||||||||
Energy Transfer LP |
| |||||||||||
5.300% due 04/01/2044 (l) |
100 |
87 |
||||||||||
Exela Intermediate LLC |
| |||||||||||
11.500% due 07/15/2026 |
158 |
53 |
||||||||||
Ferroglobe PLC |
| |||||||||||
9.375% due 12/31/2025 (j)(l) |
2,550 |
2,576 |
||||||||||
First Quantum Minerals Ltd. |
| |||||||||||
6.500% due 03/01/2024 (l) |
2,888 |
2,779 |
||||||||||
6.875% due 03/01/2026 (l) |
1,882 |
1,737 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
FMG Resources Pty. Ltd. |
| |||||||||||
6.125% due 04/15/2032 (l) |
$ |
2,700 |
$ |
2,435 |
||||||||
Ford Motor Co. |
| |||||||||||
7.700% due 05/15/2097 (l) |
29,796 |
30,815 |
||||||||||
Fresh Market, Inc. |
| |||||||||||
9.750% due 05/01/2023 |
12,200 |
12,200 |
||||||||||
Frontier Communications Holdings LLC |
| |||||||||||
6.000% due 01/15/2030 (l) |
3,984 |
3,077 |
||||||||||
Greene King Finance PLC |
| |||||||||||
3.088% (SONIO/N + 1.919%) due 12/15/2034 ~ |
GBP |
350 |
352 |
|||||||||
HCA, Inc. |
| |||||||||||
7.500% due 11/15/2095 (l) |
$ |
4,800 |
4,917 |
|||||||||
HF Sinclair Corp. |
| |||||||||||
4.500% due 10/01/2030 (l) |
20,346 |
18,544 |
||||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
6.500% due 03/15/2030 (l) |
33,857 |
28,017 |
||||||||||
Inter Media & Communication SpA |
| |||||||||||
6.750% due 02/09/2027 (l) |
EUR |
7,000 |
6,565 |
|||||||||
Las Vegas Sands Corp. |
| |||||||||||
3.200% due 08/08/2024 (l) |
$ |
200 |
189 |
|||||||||
3.500% due 08/18/2026 |
300 |
261 |
||||||||||
Market Bidco Finco PLC |
| |||||||||||
4.750% due 11/04/2027 |
EUR |
1,800 |
1,503 |
|||||||||
Melco Resorts Finance Ltd. |
| |||||||||||
5.375% due 12/04/2029 (l) |
$ |
200 |
121 |
|||||||||
5.750% due 07/21/2028 (l) |
4,300 |
2,774 |
||||||||||
MGM China Holdings Ltd. |
| |||||||||||
4.750% due 02/01/2027 (l) |
200 |
142 |
||||||||||
5.250% due 06/18/2025 (l) |
2,400 |
1,845 |
||||||||||
5.375% due 05/15/2024 (l) |
300 |
256 |
||||||||||
5.875% due 05/15/2026 |
800 |
606 |
||||||||||
NCL Corp. Ltd. |
| |||||||||||
5.875% due 02/15/2027 (l) |
4,908 |
4,206 |
||||||||||
Nielsen Finance LLC |
| |||||||||||
5.625% due 10/01/2028 (l) |
1,700 |
1,584 |
||||||||||
Nissan Motor Co. Ltd. |
| |||||||||||
4.810% due 09/17/2030 (l) |
21,100 |
18,765 |
||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) |
| |||||||||||
11.000% due 02/15/2028 (b) |
105 |
115 |
||||||||||
Odebrecht Oil & Gas Finance Ltd. |
| |||||||||||
0.000% due 08/01/2022 (f)(h) |
1,279 |
5 |
||||||||||
Olympus Water U.S. Holding Corp. |
| |||||||||||
5.375% due 10/01/2029 |
EUR |
6,300 |
4,768 |
|||||||||
Oracle Corp. |
| |||||||||||
3.650% due 03/25/2041 (j)(l) |
$ |
2,800 |
2,091 |
|||||||||
3.850% due 04/01/2060 (l) |
200 |
137 |
||||||||||
3.950% due 03/25/2051 (j)(l) |
2,400 |
1,766 |
||||||||||
4.100% due 03/25/2061 (j)(l) |
2,600 |
1,845 |
||||||||||
Petroleos Mexicanos |
| |||||||||||
4.875% due 02/21/2028 |
EUR |
2,647 |
2,203 |
|||||||||
5.950% due 01/28/2031 (l) |
$ |
5,741 |
4,216 |
|||||||||
6.700% due 02/16/2032 (l) |
17,637 |
13,485 |
||||||||||
6.750% due 09/21/2047 (l) |
6,568 |
4,078 |
||||||||||
6.950% due 01/28/2060 |
660 |
408 |
||||||||||
7.690% due 01/23/2050 (l) |
4,940 |
3,374 |
||||||||||
Prime Healthcare Services, Inc. |
| |||||||||||
7.250% due 11/01/2025 (l) |
300 |
257 |
||||||||||
Prosus NV |
| |||||||||||
1.985% due 07/13/2033 (l) |
EUR |
1,800 |
1,268 |
|||||||||
2.778% due 01/19/2034 (l) |
1,600 |
1,171 |
||||||||||
3.061% due 07/13/2031 (l) |
$ |
3,700 |
2,728 |
|||||||||
3.257% due 01/19/2027 (l) |
1,500 |
1,305 |
||||||||||
3.680% due 01/21/2030 (l) |
5,100 |
4,068 |
||||||||||
3.832% due 02/08/2051 (l) |
1,900 |
1,148 |
||||||||||
4.027% due 08/03/2050 (l) |
1,500 |
934 |
||||||||||
4.193% due 01/19/2032 (l) |
2,600 |
2,078 |
||||||||||
4.987% due 01/19/2052 (l) |
2,200 |
1,583 |
||||||||||
QVC, Inc. |
| |||||||||||
5.950% due 03/15/2043 (l) |
4,186 |
2,830 |
||||||||||
Rolls-Royce PLC |
| |||||||||||
4.625% due 02/16/2026 (l) |
EUR |
200 |
197 |
|||||||||
Royal Caribbean Cruises Ltd. |
| |||||||||||
9.125% due 06/15/2023 (l) |
$ |
700 |
694 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 37 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
10.875% due 06/01/2023 |
$ |
4,873 |
$ |
4,901 |
||||||||
11.500% due 06/01/2025 |
1,384 |
1,425 |
||||||||||
Russian Railways Via RZD Capital PLC |
| |||||||||||
7.487% due 03/25/2031 ^(c) |
GBP |
1,500 |
183 |
|||||||||
Sands China Ltd. |
| |||||||||||
2.550% due 03/08/2027 (l) |
$ |
1,800 |
1,314 |
|||||||||
3.100% due 03/08/2029 (l) |
1,600 |
1,135 |
||||||||||
3.250% due 08/08/2031 (l) |
1,300 |
861 |
||||||||||
4.875% due 06/18/2030 (l) |
200 |
147 |
||||||||||
5.400% due 08/08/2028 (l) |
13,590 |
10,500 |
||||||||||
Santos Finance Ltd. |
| |||||||||||
3.649% due 04/29/2031 (l) |
2,300 |
1,953 |
||||||||||
Schenck Process Holding GmbH |
| |||||||||||
5.375% due 06/15/2023 (l) |
EUR |
3,000 |
3,037 |
|||||||||
6.875% due 06/15/2023 (l) |
900 |
925 |
||||||||||
Seagate HDD Cayman |
| |||||||||||
4.091% due 06/01/2029 (l) |
$ |
2,000 |
1,724 |
|||||||||
Spirit AeroSystems, Inc. |
| |||||||||||
3.950% due 06/15/2023 (l) |
6,753 |
6,341 |
||||||||||
Standard Industries, Inc. |
| |||||||||||
4.375% due 07/15/2030 (l) |
2,400 |
1,897 |
||||||||||
Studio City Finance Ltd. |
| |||||||||||
5.000% due 01/15/2029 (l) |
1,400 |
725 |
||||||||||
6.000% due 07/15/2025 (l) |
4,400 |
2,793 |
||||||||||
6.500% due 01/15/2028 (l) |
4,200 |
2,361 |
||||||||||
Syngenta Finance NV |
| |||||||||||
4.892% due 04/24/2025 (l) |
200 |
201 |
||||||||||
5.182% due 04/24/2028 (l) |
600 |
608 |
||||||||||
5.676% due 04/24/2048 (l) |
5,748 |
5,908 |
||||||||||
Topaz Solar Farms LLC |
| |||||||||||
4.875% due 09/30/2039 (l) |
4,064 |
3,525 |
||||||||||
5.750% due 09/30/2039 (l) |
32,394 |
29,461 |
||||||||||
Transocean Guardian Ltd. |
| |||||||||||
5.875% due 01/15/2024 (l) |
104 |
97 |
||||||||||
Transocean Pontus Ltd. |
| |||||||||||
6.125% due 08/01/2025 (l) |
185 |
169 |
||||||||||
Transocean, Inc. |
| |||||||||||
7.250% due 11/01/2025 (l) |
216 |
160 |
||||||||||
8.000% due 02/01/2027 (l) |
372 |
250 |
||||||||||
U.S. Airways Pass-Through Trust |
| |||||||||||
3.950% due 05/15/2027 (l) |
572 |
521 |
||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
10.625% due 07/15/2027 (l) |
5,864 |
2,214 |
||||||||||
Uber Technologies, Inc. |
| |||||||||||
7.500% due 05/15/2025 (l) |
1,200 |
1,191 |
||||||||||
United Airlines Pass-Through Trust |
| |||||||||||
4.150% due 02/25/2033 (l) |
80 |
75 |
||||||||||
United Airlines, Inc. |
| |||||||||||
4.625% due 04/15/2029 (l) |
10,100 |
8,602 |
||||||||||
United Group BV |
| |||||||||||
4.875% due 07/01/2024 (l) |
EUR |
200 |
191 |
|||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) |
| |||||||||||
8.250% due 04/30/2028 (b) |
$ |
7,674 |
7,455 |
|||||||||
8.250% due 04/30/2028 (b)(l) |
3,859 |
3,749 |
||||||||||
Vale SA |
| |||||||||||
0.000% due 12/29/2049 «~(h) |
BRL |
250,000 |
20,099 |
|||||||||
Veritas U.S., Inc. |
| |||||||||||
7.500% due 09/01/2025 (l) |
$ |
4,500 |
3,386 |
|||||||||
Viking Cruises Ltd. |
| |||||||||||
13.000% due 05/15/2025 (l) |
13,655 |
14,012 |
||||||||||
Viking Ocean Cruises Ship Ltd. |
| |||||||||||
5.625% due 02/15/2029 |
100 |
79 |
||||||||||
VOC Escrow Ltd. |
| |||||||||||
5.000% due 02/15/2028 (l) |
13,238 |
10,655 |
||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) |
| |||||||||||
10.500% due 11/15/2026 «(b) |
61,475 |
58,341 |
||||||||||
Windstream Escrow LLC |
| |||||||||||
7.750% due 08/15/2028 (l) |
17,165 |
13,865 |
||||||||||
Wynn Las Vegas LLC |
| |||||||||||
5.250% due 05/15/2027 (l) |
2,100 |
1,801 |
||||||||||
5.500% due 03/01/2025 (l) |
7,000 |
6,419 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Wynn Macau Ltd. |
| |||||||||||
4.875% due 10/01/2024 (l) |
$ |
600 |
$ |
447 |
||||||||
5.125% due 12/15/2029 (l) |
1,200 |
747 |
||||||||||
5.500% due 01/15/2026 (l) |
500 |
347 |
||||||||||
5.500% due 10/01/2027 (l) |
1,100 |
714 |
||||||||||
5.625% due 08/26/2028 (l) |
4,535 |
2,806 |
||||||||||
|
|
|||||||||||
601,518 |
||||||||||||
|
|
|||||||||||
UTILITIES 10.6% |
| |||||||||||
DTEK Finance PLC (3.500% Cash and 3.500% PIK) |
| |||||||||||
7.000% due 12/31/2027 (b) |
8,914 |
2,145 |
||||||||||
Eskom Holdings SOC Ltd. |
| |||||||||||
7.125% due 02/11/2025 |
5,100 |
4,314 |
||||||||||
8.450% due 08/10/2028 |
4,200 |
3,419 |
||||||||||
Genesis Energy LP |
| |||||||||||
6.500% due 10/01/2025 (l) |
342 |
316 |
||||||||||
8.000% due 01/15/2027 (l) |
6,765 |
6,006 |
||||||||||
Mountain States Telephone & Telegraph Co. |
| |||||||||||
7.375% due 05/01/2030 |
6,900 |
6,966 |
||||||||||
NGD Holdings BV |
| |||||||||||
6.750% due 12/31/2026 |
1,261 |
561 |
||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
| |||||||||||
7.350% due 12/01/2026 ^(b)(l) |
348 |
215 |
||||||||||
Odebrecht Offshore Drilling Finance Ltd. |
| |||||||||||
6.720% due 12/01/2022 ^ |
811 |
783 |
||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
| |||||||||||
7.720% due 12/01/2026 ^(b) |
9,395 |
2,349 |
||||||||||
Oi SA (10.000% Cash or 12.000% PIK) |
| |||||||||||
10.000% due 07/27/2025 (b)(l) |
29,050 |
14,262 |
||||||||||
Pacific Gas & Electric Co. |
| |||||||||||
3.300% due 03/15/2027 (l) |
3,862 |
3,463 |
||||||||||
3.450% due 07/01/2025 (l) |
257 |
241 |
||||||||||
3.750% due 08/15/2042 |
46 |
31 |
||||||||||
4.000% due 12/01/2046 (l) |
1,006 |
707 |
||||||||||
4.200% due 03/01/2029 (l) |
4,200 |
3,753 |
||||||||||
4.300% due 03/15/2045 (l) |
257 |
187 |
||||||||||
4.450% due 04/15/2042 (l) |
2,491 |
1,875 |
||||||||||
4.500% due 07/01/2040 (l) |
4,723 |
3,668 |
||||||||||
4.500% due 12/15/2041 (l) |
65 |
48 |
||||||||||
4.550% due 07/01/2030 (l) |
7,090 |
6,307 |
||||||||||
4.600% due 06/15/2043 (l) |
1,036 |
792 |
||||||||||
4.750% due 02/15/2044 (l) |
15,063 |
11,572 |
||||||||||
4.950% due 06/08/2025 |
1,700 |
1,669 |
||||||||||
4.950% due 07/01/2050 (l) |
8,191 |
6,551 |
||||||||||
Peru LNG SRL |
| |||||||||||
5.375% due 03/22/2030 (l) |
16,656 |
13,492 |
||||||||||
Petrobras Global Finance BV |
| |||||||||||
6.250% due 12/14/2026 (l) |
GBP |
1,867 |
2,209 |
|||||||||
6.625% due 01/16/2034 (l) |
800 |
896 |
||||||||||
6.750% due 06/03/2050 (l) |
$ |
3,874 |
3,364 |
|||||||||
PG&E Wildfire Recovery Funding LLC |
| |||||||||||
4.263% due 06/01/2038 (l) |
1,040 |
1,048 |
||||||||||
4.377% due 06/01/2041 (l) |
1,160 |
1,147 |
||||||||||
4.451% due 12/01/2049 (l) |
6,100 |
6,160 |
||||||||||
4.674% due 12/01/2053 (l) |
1,400 |
1,401 |
||||||||||
Rio Oil Finance Trust |
| |||||||||||
8.200% due 04/06/2028 (l) |
3,636 |
3,783 |
||||||||||
9.250% due 07/06/2024 (l) |
2,130 |
2,210 |
||||||||||
9.250% due 07/06/2024 |
2,027 |
2,102 |
||||||||||
9.750% due 01/06/2027 (l) |
379 |
404 |
||||||||||
Southern California Edison Co. |
| |||||||||||
4.875% due 03/01/2049 (l) |
316 |
287 |
||||||||||
Transocean Phoenix 2 Ltd. |
| |||||||||||
7.750% due 10/15/2024 (l) |
4,623 |
4,410 |
||||||||||
Transocean Poseidon Ltd. |
| |||||||||||
6.875% due 02/01/2027 (l) |
22,015 |
19,402 |
||||||||||
Transocean Proteus Ltd. |
| |||||||||||
6.250% due 12/01/2024 (l) |
180 |
168 |
||||||||||
|
|
|||||||||||
144,683 |
||||||||||||
|
|
|||||||||||
Total Corporate Bonds & Notes (Cost $1,153,342) |
962,674 |
|||||||||||
|
|
|||||||||||
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
CONVERTIBLE BONDS & NOTES 0.3% |
| |||||||||||
INDUSTRIALS 0.3% |
| |||||||||||
DISH Network Corp. |
| |||||||||||
3.375% due 08/15/2026 (l) |
$ |
5,900 |
$ |
4,000 |
||||||||
|
|
|||||||||||
Total Convertible Bonds & Notes (Cost $5,900) |
4,000 |
|||||||||||
|
|
|||||||||||
MUNICIPAL BONDS & NOTES 2.7% |
| |||||||||||
CALIFORNIA 0.2% |
| |||||||||||
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021 |
| |||||||||||
3.850% due 06/01/2050 |
1,000 |
903 |
||||||||||
4.214% due 06/01/2050 |
2,400 |
1,962 |
||||||||||
|
|
|||||||||||
2,865 |
||||||||||||
|
|
|||||||||||
ILLINOIS 1.0% |
| |||||||||||
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 |
| |||||||||||
7.517% due 01/01/2040 |
12,100 |
13,917 |
||||||||||
Chicago, Illinois General Obligation Bonds, Series 2015 |
| |||||||||||
7.750% due 01/01/2042 |
51 |
55 |
||||||||||
Chicago, Illinois General Obligation Bonds, Series 2017 |
| |||||||||||
7.045% due 01/01/2029 |
145 |
153 |
||||||||||
|
|
|||||||||||
14,125 |
||||||||||||
|
|
|||||||||||
PUERTO RICO 0.9% |
| |||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 |
| |||||||||||
0.000% due 11/01/2043 (f) |
11,461 |
5,716 |
||||||||||
0.000% due 11/01/2051 (f) |
12,300 |
5,304 |
||||||||||
Commonwealth of Puerto Rico General Obligation Bonds, Series 2021 |
| |||||||||||
0.000% due 07/01/2033 (f) |
376 |
212 |
||||||||||
4.000% due 07/01/2033 |
293 |
269 |
||||||||||
4.000% due 07/01/2035 |
263 |
236 |
||||||||||
4.000% due 07/01/2037 |
226 |
200 |
||||||||||
4.000% due 07/01/2041 |
224 |
194 |
||||||||||
Commonwealth of Puerto Rico General Obligation Notes, Series 2021 |
| |||||||||||
0.000% due 07/01/2024 (f) |
150 |
138 |
||||||||||
5.250% due 07/01/2023 |
327 |
333 |
||||||||||
|
|
|||||||||||
12,602 |
||||||||||||
|
|
|||||||||||
VIRGINIA 0.1% |
| |||||||||||
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
| |||||||||||
6.706% due 06/01/2046 |
590 |
549 |
||||||||||
|
|
|||||||||||
WEST VIRGINIA 0.5% |
| |||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
0.000% due 06/01/2047 (f) |
78,700 |
6,375 |
||||||||||
|
|
|||||||||||
Total Municipal Bonds & Notes (Cost $36,551) |
36,516 |
|||||||||||
|
|
|||||||||||
U.S. GOVERNMENT AGENCIES 2.0% |
| |||||||||||
Fannie Mae |
| |||||||||||
3.000% due 01/25/2042 (a)(l) |
172 |
12 |
||||||||||
3.500% due 02/25/2033 (a)(l) |
1,046 |
105 |
||||||||||
4.500% due 07/25/2050 (a)(l) |
5,138 |
1,010 |
||||||||||
5.000% due 02/25/2036 ~(a) |
259 |
37 |
||||||||||
7.374% due 07/25/2029 • |
2,010 |
2,149 |
||||||||||
Freddie Mac |
| |||||||||||
1.965% due 09/15/2042 • |
719 |
485 |
||||||||||
3.000% due 12/25/2050 (a)(l) |
8,146 |
1,285 |
||||||||||
3.500% due 10/15/2035 (a)(l) |
1,059 |
115 |
||||||||||
3.864% due 03/15/2043 •(l) |
69 |
52 |
||||||||||
5.992% due 11/25/2055 «~ |
13,758 |
8,421 |
||||||||||
6.225% (US0001M + 7.100%) due 02/15/2034 ~(a) |
1,061 |
140 |
||||||||||
6.856% (US0001M + 9.333%) due 07/15/2039 ~(l) |
2,207 |
1,845 |
38 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
7.971% due 03/15/2044 •(l) |
$ |
1,822 |
$ |
1,503 |
||||||||
9.169% due 02/15/2036 •(l) |
5,228 |
5,023 |
||||||||||
9.174% due 12/25/2027 • |
4,397 |
4,306 |
||||||||||
12.374% due 03/25/2025 • |
1,217 |
1,227 |
||||||||||
Ginnie Mae |
| |||||||||||
3.500% due 09/16/2041 (a) |
284 |
34 |
||||||||||
3.500% due 06/20/2042 (a)(l) |
154 |
28 |
||||||||||
5.155% (US0001M + 6.750%) due 01/20/2042 ~(a) |
949 |
114 |
||||||||||
|
|
|||||||||||
Total U.S. Government Agencies (Cost $30,099) |
27,891 |
|||||||||||
|
|
|||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 9.6% |
| |||||||||||
Adjustable Rate Mortgage Trust |
| |||||||||||
1.964% due 05/25/2036 • |
1,512 |
614 |
||||||||||
2.774% due 01/25/2035 • |
2,854 |
2,585 |
||||||||||
Banc of America Funding Trust |
| |||||||||||
1.864% due 06/26/2036 • |
4,873 |
4,058 |
||||||||||
5.500% due 01/25/2036 |
53 |
53 |
||||||||||
6.000% due 07/25/2037 ^ |
336 |
287 |
||||||||||
BCAP LLC Trust |
| |||||||||||
2.861% due 02/26/2036 ~ |
1,600 |
1,501 |
||||||||||
2.917% due 03/27/2036 ~ |
2,554 |
1,945 |
||||||||||
4.737% due 03/26/2037 þ |
1,269 |
1,730 |
||||||||||
7.000% due 12/26/2036 ~ |
2,340 |
1,750 |
||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
2.915% due 11/25/2034 ~ |
187 |
180 |
||||||||||
2.944% due 08/25/2046 ^~ |
2,765 |
2,041 |
||||||||||
2.954% due 11/25/2036 ^~ |
508 |
287 |
||||||||||
3.127% due 09/25/2035 ^~ |
489 |
310 |
||||||||||
3.497% due 08/25/2036 ^~ |
2,105 |
1,213 |
||||||||||
Bear Stearns Mortgage Funding Trust |
| |||||||||||
7.500% due 08/25/2036 þ |
268 |
269 |
||||||||||
CD Mortgage Trust |
| |||||||||||
5.688% due 10/15/2048 |
631 |
575 |
||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
2.954% due 12/25/2035 ^~ |
8 |
8 |
||||||||||
6.000% due 02/25/2037 ^ |
1,212 |
604 |
||||||||||
6.000% due 03/25/2037 ^ |
296 |
174 |
||||||||||
6.000% due 07/25/2037 ^ |
1,012 |
544 |
||||||||||
Citigroup Commercial Mortgage Trust |
| |||||||||||
5.693% due 12/10/2049 ~ |
404 |
180 |
||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
2.943% due 04/25/2037 ^~ |
1,769 |
1,518 |
||||||||||
3.055% due 11/25/2035 ~ |
11,246 |
6,913 |
||||||||||
3.313% due 03/25/2037 ^~ |
257 |
230 |
||||||||||
6.000% due 11/25/2036 ~ |
9,618 |
6,227 |
||||||||||
CitiMortgage Alternative Loan Trust |
| |||||||||||
5.750% due 04/25/2037 ^ |
1,299 |
1,191 |
||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.673% due 12/10/2049 ~ |
1,056 |
181 |
||||||||||
Countrywide Alternative Loan Resecuritization Trust |
| |||||||||||
6.000% due 08/25/2037 ^~ |
1,451 |
940 |
||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
2.032% (US0001M + 0.420%) due 03/20/2046 ~ |
2,845 |
2,248 |
||||||||||
2.164% due 08/25/2035 • |
234 |
146 |
||||||||||
3.473% due 06/25/2037 ^~ |
1,087 |
984 |
||||||||||
3.626% due 04/25/2037 ^•(a) |
13,992 |
1,632 |
||||||||||
5.500% due 03/25/2035 |
391 |
204 |
||||||||||
5.500% due 09/25/2035 ^ |
3,202 |
2,390 |
||||||||||
5.750% due 01/25/2035 |
267 |
257 |
||||||||||
5.750% due 02/25/2035 |
376 |
290 |
||||||||||
6.000% due 02/25/2035 |
492 |
402 |
||||||||||
6.000% due 04/25/2036 |
1,251 |
681 |
||||||||||
6.000% due 05/25/2036 ^ |
1,411 |
779 |
||||||||||
6.000% due 02/25/2037 ^ |
499 |
217 |
||||||||||
6.000% due 02/25/2037 |
1,544 |
966 |
||||||||||
6.000% due 04/25/2037 ^ |
4,209 |
2,286 |
||||||||||
6.000% due 08/25/2037 ^• |
6,465 |
3,999 |
||||||||||
6.250% due 10/25/2036 ^ |
1,463 |
1,003 |
||||||||||
6.250% (US0001M + 0.650%) due 12/25/2036 ^~ |
2,401 |
1,233 |
||||||||||
6.500% due 08/25/2036 ^ |
666 |
280 |
||||||||||
6.500% due 09/25/2036 ^ |
322 |
198 |
||||||||||
15.680% (US0001M + 21.633%) due 02/25/2036 ~ |
976 |
898 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
5.500% due 07/25/2037 ^ |
$ |
415 |
$ |
226 |
||||||||
6.000% due 04/25/2036 ^ |
250 |
163 |
||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
| |||||||||||
5.750% due 04/25/2036 ^ |
929 |
566 |
||||||||||
Eurosail PLC |
| |||||||||||
2.940% due 06/13/2045 • |
GBP |
4,487 |
4,232 |
|||||||||
5.590% (BP0003M + 4.000%) due 06/13/2045 ~ |
1,394 |
1,559 |
||||||||||
First Horizon Alternative Mortgage Securities Trust |
| |||||||||||
6.250% due 11/25/2036 ^ |
$ |
1,003 |
422 |
|||||||||
Freddie Mac |
| |||||||||||
8.726% (SOFR30A + 7.800%) due 11/25/2041 ~ |
8,800 |
7,415 |
||||||||||
GS Mortgage Securities Corp. Trust |
| |||||||||||
4.744% due 10/10/2032 ~ |
9,200 |
8,819 |
||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
2.691% due 03/25/2037 ^~ |
1,373 |
972 |
||||||||||
3.146% due 11/25/2035 ^~ |
655 |
582 |
||||||||||
HomeBanc Mortgage Trust |
| |||||||||||
2.824% due 03/25/2035 • |
87 |
70 |
||||||||||
IndyMac IMSC Mortgage Loan Trust |
| |||||||||||
6.500% due 07/25/2037 ^ |
6,453 |
2,736 |
||||||||||
Jackson Park Trust |
| |||||||||||
3.350% due 10/14/2039 ~ |
4,368 |
3,277 |
||||||||||
JP Morgan Alternative Loan Trust |
| |||||||||||
3.215% due 03/25/2037 ~ |
4,745 |
4,729 |
||||||||||
JP Morgan Mortgage Trust |
| |||||||||||
2.811% due 02/25/2036 ^~ |
999 |
782 |
||||||||||
2.832% due 10/25/2035 ~ |
13 |
12 |
||||||||||
2.856% due 01/25/2037 ^~ |
473 |
403 |
||||||||||
3.279% due 06/25/2036 ^~ |
345 |
268 |
||||||||||
Lehman Mortgage Trust |
| |||||||||||
6.000% due 07/25/2037 ^ |
68 |
62 |
||||||||||
Lehman XS Trust |
| |||||||||||
2.064% (US0001M + 0.440%) due 06/25/2047 ~ |
1,710 |
1,551 |
||||||||||
MASTR Alternative Loan Trust |
| |||||||||||
6.750% due 07/25/2036 |
2,828 |
1,227 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
2.606% due 03/25/2036 ^~ |
2,137 |
1,245 |
||||||||||
Natixis Commercial Mortgage Securities Trust |
| |||||||||||
3.575% (US0001M + 2.250%) due 11/15/2034 ~ |
4,500 |
4,262 |
||||||||||
RBSSP Resecuritization Trust |
| |||||||||||
1.486% (US0001M + 0.240%) due 08/27/2037 ~ |
8,000 |
4,053 |
||||||||||
1.844% due 10/27/2036 • |
3,609 |
1,141 |
||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
2.004% (US0001M + 0.380%) due 08/25/2036 ^~ |
375 |
364 |
||||||||||
2.084% due 05/25/2037 ^• |
170 |
146 |
||||||||||
6.000% due 08/25/2036 ^ |
346 |
312 |
||||||||||
6.000% due 05/25/2037 ^ |
1,125 |
993 |
||||||||||
Residential Asset Securitization Trust |
| |||||||||||
5.750% due 02/25/2036 ^ |
294 |
138 |
||||||||||
6.000% due 02/25/2037 ^ |
1,481 |
785 |
||||||||||
6.250% due 09/25/2037 ^ |
4,661 |
2,213 |
||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
3.977% due 02/25/2037 ~ |
1,610 |
1,192 |
||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
2.999% due 11/25/2036 ^~ |
2,209 |
1,947 |
||||||||||
3.074% due 07/25/2035 ^~ |
985 |
870 |
||||||||||
3.167% due 01/25/2036 ^~ |
4,060 |
2,701 |
||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
1.744% due 08/25/2036 • |
108 |
100 |
||||||||||
SunTrust Adjustable Rate Mortgage Loan Trust |
| |||||||||||
2.113% due 02/25/2037 ^~ |
1,607 |
1,420 |
||||||||||
2.279% due 04/25/2037 ^~ |
225 |
142 |
||||||||||
2.307% due 02/25/2037 ^~ |
224 |
199 |
||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
3.107% due 07/25/2037 ^~ |
451 |
431 |
||||||||||
3.125% due 02/25/2037 ^~ |
548 |
518 |
||||||||||
3.331% due 10/25/2036 ^~ |
835 |
768 |
||||||||||
3.368% due 07/25/2037 ^~ |
884 |
847 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
1.316% due 05/25/2047 ^• |
$ |
116 |
$ |
14 |
||||||||
6.000% due 10/25/2035 ^ |
975 |
719 |
||||||||||
6.000% due 03/25/2036 ^ |
1,226 |
1,173 |
||||||||||
6.000% due 02/25/2037 |
2,560 |
2,184 |
||||||||||
|
|
|||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $142,853) |
130,151 |
|||||||||||
|
|
|||||||||||
ASSET-BACKED SECURITIES 11.2% |
| |||||||||||
Adagio CLO DAC |
| |||||||||||
0.000% due 04/30/2031 ~ |
EUR |
1,800 |
705 |
|||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
| |||||||||||
2.974% due 03/25/2033 • |
$ |
40 |
38 |
|||||||||
Apidos CLO |
| |||||||||||
0.000% due 01/20/2031 ~ |
8,800 |
3,855 |
||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
2.024% due 04/25/2037 • |
8,667 |
7,110 |
||||||||||
Belle Haven ABS CDO Ltd. |
| |||||||||||
1.212% due 07/05/2046 • |
324,260 |
162 |
||||||||||
Carlyle Global Market Strategies CLO Ltd. |
| |||||||||||
0.000% due 04/17/2031 ~ |
6,000 |
2,047 |
||||||||||
CIFC Funding Ltd. |
| |||||||||||
0.000% due 04/24/2030 ~ |
4,100 |
1,235 |
||||||||||
0.010% due 10/22/2031 ~ |
3,000 |
796 |
||||||||||
Cork Street CLO Designated Activity Co. |
| |||||||||||
0.000% due 11/27/2028 ~ |
EUR |
1,051 |
236 |
|||||||||
Credit-Based Asset Servicing & Securitization LLC |
| |||||||||||
3.191% due 12/25/2035 ^þ |
$ |
2 |
2 |
|||||||||
Dryden Senior Loan Fund |
| |||||||||||
0.000% due 07/17/2031 ~ |
14,311 |
9,173 |
||||||||||
First Franklin Mortgage Loan Trust |
| |||||||||||
1.944% due 10/25/2036 • |
3,025 |
2,192 |
||||||||||
Flagship Credit Auto Trust |
| |||||||||||
0.000% due 05/15/2025 «(f) |
16 |
959 |
||||||||||
Fremont Home Loan Trust |
| |||||||||||
1.774% due 01/25/2037 • |
5,621 |
2,680 |
||||||||||
2.104% due 02/25/2036 • |
12,418 |
8,755 |
||||||||||
Glacier Funding CDO Ltd. |
| |||||||||||
1.605% due 08/04/2035 • |
7,209 |
1,073 |
||||||||||
Grosvenor Place CLO BV |
| |||||||||||
0.000% due 04/30/2029 ~ |
EUR |
750 |
240 |
|||||||||
GSAMP Trust |
| |||||||||||
1.764% (US0001M + 0.140%) due 12/25/2036 ~ |
$ |
1,373 |
786 |
|||||||||
Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
1.784% due 07/25/2037 • |
2,628 |
1,586 |
||||||||||
JP Morgan Mortgage Acquisition Trust |
| |||||||||||
6.330% due 07/25/2036 ^þ |
102 |
36 |
||||||||||
Lehman XS Trust |
| |||||||||||
6.790% due 06/24/2046 þ |
675 |
713 |
||||||||||
LNR CDO Ltd. |
| |||||||||||
1.913% (US0001M + 0.280%) due 02/28/2043 ~ |
3,231 |
67 |
||||||||||
Long Beach Mortgage Loan Trust |
| |||||||||||
2.224% due 01/25/2036 • |
4,520 |
4,177 |
||||||||||
Marlette Funding Trust |
| |||||||||||
0.000% due 09/17/2029 «(f) |
15 |
1,201 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
3.801% due 03/25/2037 þ |
6,176 |
1,577 |
||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
1.774% due 10/25/2036 • |
5,863 |
3,304 |
||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
6.250% due 02/25/2037 ^~ |
809 |
438 |
||||||||||
N-Star REL CDO Ltd. |
| |||||||||||
1.482% (LIBOR01M + 0.420%) due 02/01/2041 ~ |
531 |
530 |
||||||||||
Orient Point CDO Ltd. |
| |||||||||||
1.232% (US0003M + 0.270%) due 10/03/2045 ~ |
58,012 |
19,048 |
||||||||||
1.232% due 10/03/2045 • |
58,190 |
19,106 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 39 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Renaissance Home Equity Loan Trust |
| |||||||||||
5.612% due 04/25/2037 þ |
$ |
11,496 |
$ |
3,872 |
||||||||
7.238% due 09/25/2037 ^þ |
8,124 |
4,001 |
||||||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||||||
2.044% due 03/25/2036 • |
11,067 |
10,294 |
||||||||||
SLM Student Loan EDC Repackaging Trust |
| |||||||||||
0.000% due 10/28/2029 «(f) |
8 |
6,966 |
||||||||||
SLM Student Loan Trust |
| |||||||||||
0.000% due 01/25/2042 «(f) |
7 |
2,515 |
||||||||||
SMB Private Education Loan Trust |
| |||||||||||
0.000% due 09/18/2046 «(f) |
3 |
1,284 |
||||||||||
0.000% due 10/15/2048 «(f) |
3 |
1,455 |
||||||||||
Sofi Professional Loan Program LLC |
| |||||||||||
0.000% due 05/25/2040 (f) |
7,500 |
1,005 |
||||||||||
0.000% due 07/25/2040 «(f) |
38 |
527 |
||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 09/25/2040 «(f) |
3,226 |
520 |
||||||||||
South Coast Funding Ltd. |
| |||||||||||
2.002% (US0003M + 0.600%) due 08/10/2038 ~ |
18,735 |
1,787 |
||||||||||
Symphony CLO Ltd. |
| |||||||||||
5.638% due 07/14/2026 • |
3,600 |
3,468 |
||||||||||
Taberna Preferred Funding Ltd. |
| |||||||||||
1.723% due 12/05/2036 • |
10,447 |
9,193 |
||||||||||
1.743% due 08/05/2036 • |
482 |
429 |
||||||||||
1.743% due 08/05/2036 ^• |
9,340 |
8,313 |
||||||||||
1.763% (US0003M + 0.400%) due 02/05/2036 ~ |
3,914 |
3,591 |
||||||||||
|
|
|||||||||||
Total Asset-Backed Securities (Cost $227,034) |
153,047 |
|||||||||||
|
|
|||||||||||
SOVEREIGN ISSUES 2.7% |
| |||||||||||
Argentina Government International Bond |
| |||||||||||
0.500% due 07/09/2030 þ |
10,604 |
2,240 |
||||||||||
1.000% due 07/09/2029 |
1,352 |
319 |
||||||||||
1.125% due 07/09/2035 þ |
9,865 |
2,046 |
||||||||||
1.125% due 07/09/2046 þ |
115 |
27 |
||||||||||
2.000% due 01/09/2038 þ(l) |
22,691 |
6,637 |
||||||||||
2.500% due 07/09/2041 þ(l) |
17,491 |
4,548 |
||||||||||
15.500% due 10/17/2026 |
ARS |
92,410 |
109 |
|||||||||
47.331% (BADLARPP) due 10/04/2022 ~ |
116 |
0 |
||||||||||
Ghana Government International Bond |
| |||||||||||
6.375% due 02/11/2027 |
$ |
1,100 |
634 |
|||||||||
7.875% due 02/11/2035 |
1,300 |
613 |
||||||||||
8.750% due 03/11/2061 |
400 |
190 |
||||||||||
10.750% due 10/14/2030 |
800 |
692 |
||||||||||
Ivory Coast Government International Bond |
| |||||||||||
4.875% due 01/30/2032 (l) |
EUR |
5,900 |
4,465 |
|||||||||
6.625% due 03/22/2048 |
1,600 |
1,129 |
||||||||||
Provincia de Buenos Aires |
| |||||||||||
49.102% due 04/12/2025 |
ARS |
862,385 |
2,895 |
|||||||||
Russia Government International Bond |
| |||||||||||
5.625% due 04/04/2042 ^(c) |
$ |
13,400 |
3,953 |
|||||||||
5.875% due 09/16/2043 ^(c) |
200 |
59 |
||||||||||
12.750% due 06/24/2028 ^(c) |
100 |
27 |
||||||||||
Ukraine Government International Bond |
| |||||||||||
4.375% due 01/27/2030 |
EUR |
2,495 |
654 |
|||||||||
7.750% due 09/01/2022 (l) |
$ |
9,800 |
5,537 |
|||||||||
Venezuela Government International Bond |
| |||||||||||
6.000% due 12/09/2049 |
490 |
38 |
||||||||||
8.250% due 10/13/2024 ^(c) |
70 |
6 |
||||||||||
9.250% due 09/15/2027 ^(c) |
598 |
52 |
||||||||||
|
|
|||||||||||
Total Sovereign Issues (Cost $79,260) |
36,870 |
|||||||||||
|
|
|||||||||||
SHARES |
||||||||||||
COMMON STOCKS 3.7% |
| |||||||||||
COMMUNICATION SERVICES 0.3% |
| |||||||||||
Clear Channel Outdoor Holdings, Inc. (d) |
1,167,686 |
1,249 |
||||||||||
iHeartMedia, Inc. ‘A’ (d) |
275,106 |
2,171 |
||||||||||
iHeartMedia, Inc. ‘B’ «(d) |
213,502 |
1,516 |
||||||||||
|
|
|||||||||||
4,936 |
||||||||||||
|
|
|||||||||||
SHARES |
MARKET VALUE (000S) |
|||||||||||
ENERGY 0.1% |
| |||||||||||
Axis Energy Services ‘A’ «(d)(j) |
6,085 |
$ |
90 |
|||||||||
Noble Corp. (d)(j) |
45,350 |
1,150 |
||||||||||
Valaris Ltd. (d) |
2,895 |
122 |
||||||||||
|
|
|||||||||||
1,362 |
||||||||||||
|
|
|||||||||||
FINANCIALS 1.0% |
| |||||||||||
Credit Suisse Group AG |
92,485 |
525 |
||||||||||
Intelsat SA «(d)(j) |
459,445 |
12,865 |
||||||||||
|
|
|||||||||||
13,390 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 2.3% |
| |||||||||||
Mcdermott International Ltd. «(d) |
57,729 |
33 |
||||||||||
Neiman Marcus Group Ltd. LLC «(d)(j) |
152,491 |
26,358 |
||||||||||
Syniverse Holdings, Inc. «(d)(j) |
4,667,857 |
4,574 |
||||||||||
Voyager Aviation Holdings LLC «(d) |
2,841 |
0 |
||||||||||
Westmoreland Mining Holdings «(d)(j) |
45,070 |
0 |
||||||||||
|
|
|||||||||||
30,965 |
||||||||||||
|
|
|||||||||||
MATERIALS 0.0% |
| |||||||||||
Associated Materials Group, Inc. «(d) |
411,442 |
95 |
||||||||||
|
|
|||||||||||
REAL ESTATE 0.0% |
| |||||||||||
Stearns Holding LLC ‘B’ «(d) |
42,113 |
0 |
||||||||||
|
|
|||||||||||
Total Common Stocks (Cost $62,252) |
50,748 |
|||||||||||
|
|
|||||||||||
RIGHTS 0.0% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Intelsat Jackson Holdings «(d) |
48,585 |
231 |
||||||||||
|
|
|||||||||||
Total Rights (Cost $0) |
231 |
|||||||||||
|
|
|||||||||||
WARRANTS 1.9% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Guranteed Rate, Inc. - Exp. 12/31/2060 « |
202 |
0 |
||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « |
1,383 |
4 |
||||||||||
Intelsat Jackson Holdings SA-Exp. 12/05/2025 « |
48,071 |
240 |
||||||||||
|
|
|||||||||||
244 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 0.1% |
| |||||||||||
Sequa Corp. - Exp. 04/28/2024 « |
1,355,000 |
812 |
||||||||||
|
|
|||||||||||
INFORMATION TECHNOLOGY 1.8% |
| |||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « |
1,181,266 |
25,189 |
||||||||||
|
|
|||||||||||
Total Warrants (Cost $19,985) |
26,245 |
|||||||||||
|
|
|||||||||||
PREFERRED SECURITIES 6.7% |
| |||||||||||
BANKING & FINANCE 2.6% |
| |||||||||||
AGFC Capital Trust |
| |||||||||||
2.794% (US0003M + 1.750%) due 01/15/2067 ~(l) |
1,800,000 |
984 |
||||||||||
Brighthouse Holdings LLC |
| |||||||||||
6.500% due 07/27/2037 þ(h) |
110,000 |
100 |
||||||||||
Charles Schwab Corp. |
| |||||||||||
4.000% due 12/01/2030 •(h) |
100,000 |
77 |
SHARES |
MARKET VALUE (000S) |
|||||||||||
Compeer Financial ACA |
| |||||||||||
4.875% due 08/15/2026 •(h) |
4,400,000 |
$ |
3,899 |
|||||||||
Farm Credit Bank of Texas |
| |||||||||||
5.700% due 09/15/2025 •(h) |
1,000,000 |
955 |
||||||||||
Stichting AK Rabobank Certificaten |
| |||||||||||
6.500% due 12/29/2049 þ(h) |
28,498,525 |
29,082 |
||||||||||
|
|
|||||||||||
35,097 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 4.1% |
| |||||||||||
General Electric Co. |
| |||||||||||
5.159% (US0003M + 3.330%) due 09/15/2022 ~(h) |
1,343,000 |
1,182 |
||||||||||
Sequa Corp. (15.000% PIK) |
| |||||||||||
15.000% «(b) |
43,560 |
49,421 |
||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
9.500% « |
17,047 |
5,154 |
||||||||||
|
|
|||||||||||
55,757 |
||||||||||||
|
|
|||||||||||
Total Preferred Securities (Cost $79,494) |
90,854 |
|||||||||||
|
|
|||||||||||
REAL ESTATE INVESTMENT TRUSTS 2.3% |
| |||||||||||
REAL ESTATE 2.3% |
| |||||||||||
CBL & Associates Properties, Inc. |
11,978 |
281 |
||||||||||
Uniti Group, Inc. |
572,252 |
5,391 |
||||||||||
VICI Properties, Inc. |
858,541 |
25,576 |
||||||||||
|
|
|||||||||||
Total Real Estate Investment Trusts (Cost $14,543) |
31,248 |
|||||||||||
|
|
|||||||||||
PRINCIPAL AMOUNT (000S) |
||||||||||||
SHORT-TERM INSTRUMENTS 9.2% |
| |||||||||||
REPURCHASE AGREEMENTS (k) 6.8% |
| |||||||||||
92,959 |
||||||||||||
|
|
|||||||||||
ARGENTINA TREASURY BILLS 0.1% |
| |||||||||||
51.049% due 09/30/2022 (f)(g) |
ARS |
207,200 |
695 |
|||||||||
|
|
|||||||||||
U.S. TREASURY BILLS 2.1% |
| |||||||||||
1.030% due 07/26/2022 - 08/18/2022 (e)(f)(l)(p) |
$ |
28,346 |
28,304 |
|||||||||
|
|
|||||||||||
U.S. TREASURY CASH MANAGEMENT BILLS 0.2% |
| |||||||||||
1.089% due 08/23/2022 (f)(g)(n)(p) |
2,600 |
2,594 |
||||||||||
|
|
|||||||||||
Total Short-Term Instruments (Cost $124,823) |
124,552 |
|||||||||||
|
|
|||||||||||
Total Investments in Securities (Cost $2,643,212) |
2,262,494 |
|||||||||||
Total Investments 166.2% (Cost $2,643,212) |
|
$ |
2,262,494 |
|||||||||
Financial Derivative Instruments (m)(o) (0.5)% (Cost or Premiums, net $(8,307)) |
|
(6,928 |
) | |||||||||
Auction Rate Preferred Shares (15.6)% |
(212,650 |
) | ||||||||||
Other Assets and Liabilities, net (50.1)% |
(681,477 |
) | ||||||||||
|
|
|||||||||||
Net Assets Applicable to Common Shareholders 100.0% |
|
$ |
1,361,439 |
|||||||||
|
|
40 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) |
Security is an Interest Only (“IO”) or IO Strip. |
(b) |
Payment in-kind security. |
(c) |
Security is not accruing income as of the date of this report. |
(d) |
Security did not produce income within the last twelve months. |
(e) |
Coupon represents a weighted average yield to maturity. |
(f) |
Zero coupon security. |
(g) |
Coupon represents a yield to maturity. |
(h) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) |
Contingent convertible security. |
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||
Axis Energy Services ‘A’ |
07/01/2021 |
$ |
90 |
$ |
90 |
0.01 |
% | |||||||||
Ferroglobe PLC 9.375% due 12/31/2025 |
02/09/2017 - 10/12/2021 |
2,552 |
2,576 |
0.19 |
||||||||||||
Intelsat SA |
06/19/2017 - 02/23/2022 |
31,412 |
12,865 |
0.94 |
||||||||||||
Neiman Marcus Group Ltd. LLC |
09/25/2020 |
4,911 |
26,358 |
1.94 |
||||||||||||
Noble Corp. |
02/05/2021 - 02/27/2021 |
562 |
1,150 |
0.08 |
||||||||||||
Oracle Corp. 3.650% due 03/25/2041 |
03/22/2021 |
2,782 |
2,091 |
0.15 |
||||||||||||
Oracle Corp. 3.950% due 03/25/2051 |
03/22/2021 |
2,396 |
1,766 |
0.13 |
||||||||||||
Oracle Corp. 4.100% due 03/25/2061 |
03/22/2021 - 10/05/2021 |
2,738 |
1,845 |
0.14 |
||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 |
4,574 |
4,574 |
0.34 |
||||||||||||
Westmoreland Mining Holdings |
07/29/2015 - 03/26/2019 |
1,172 |
0 |
0.00 |
||||||||||||
|
|
|
|
|
|
|||||||||||
$ |
53,189 |
$ |
53,315 |
3.92 |
% | |||||||||||
|
|
|
|
|
|
Counterparty |
Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By |
Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||
FICC |
0.400 |
% |
06/30/2022 |
07/01/2022 |
$ |
13,359 |
U.S. Treasury Notes 3.000% due 06/30/2024 |
$ |
(13,626 |
) |
$ |
13,359 |
$ |
13,359 |
||||||||||||||||
MBC |
1.490 |
06/30/2022 |
07/01/2022 |
79,600 |
U.S. Treasury Notes 3.250% due 06/30/2027 |
(82,172 |
) |
79,600 |
79,603 |
|||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ |
(95,798 |
) |
$ |
92,959 |
$ |
92,962 |
||||||||||||||||||||||
|
|
|
|
|
|
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
BOM |
1.530 |
% |
05/02/2022 |
08/01/2022 |
$ |
(8,799 |
) |
$ |
(8,822 |
) | ||||||||||||||
BOS |
1.880 |
06/10/2022 |
09/12/2022 |
(4,424 |
) |
(4,429 |
) | |||||||||||||||||
BPS |
(0.300 |
) |
04/25/2022 |
07/25/2022 |
EUR |
(4,905 |
) |
(5,137 |
) | |||||||||||||||
1.250 |
03/15/2022 |
09/16/2022 |
$ |
(689 |
) |
(692 |
) | |||||||||||||||||
1.250 |
04/12/2022 |
09/16/2022 |
(1,297 |
) |
(1,301 |
) |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 41 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
1.420 |
% |
03/23/2022 |
09/23/2022 |
$ |
(8,816 |
) |
$ |
(8,851 |
) | |||||||||||||||
1.420 |
04/12/2022 |
09/23/2022 |
(1,297 |
) |
(1,301 |
) | ||||||||||||||||||
1.420 |
04/22/2022 |
09/23/2022 |
(1,507 |
) |
(1,511 |
) | ||||||||||||||||||
1.420 |
06/22/2022 |
09/23/2022 |
(2,782 |
) |
(2,783 |
) | ||||||||||||||||||
1.430 |
03/21/2022 |
09/22/2022 |
(6,697 |
) |
(6,724 |
) | ||||||||||||||||||
1.430 |
04/06/2022 |
09/22/2022 |
(14,552 |
) |
(14,602 |
) | ||||||||||||||||||
1.450 |
03/17/2022 |
09/16/2022 |
(3,420 |
) |
(3,434 |
) | ||||||||||||||||||
1.600 |
05/11/2022 |
08/09/2022 |
(496 |
) |
(497 |
) | ||||||||||||||||||
1.690 |
04/18/2022 |
10/17/2022 |
(3,146 |
) |
(3,157 |
) | ||||||||||||||||||
1.950 |
04/28/2022 |
10/28/2022 |
(1,415 |
) |
(1,420 |
) | ||||||||||||||||||
1.990 |
04/27/2022 |
10/27/2022 |
(4,381 |
) |
(4,397 |
) | ||||||||||||||||||
1.990 |
06/03/2022 |
10/27/2022 |
(3,431 |
) |
(3,436 |
) | ||||||||||||||||||
1.990 |
06/06/2022 |
10/27/2022 |
(3,222 |
) |
(3,226 |
) | ||||||||||||||||||
1.990 |
06/17/2022 |
10/27/2022 |
(3,390 |
) |
(3,392 |
) | ||||||||||||||||||
1.990 |
06/22/2022 |
10/27/2022 |
(1,322 |
) |
(1,323 |
) | ||||||||||||||||||
2.530 |
06/23/2022 |
09/26/2022 |
(460 |
) |
(461 |
) | ||||||||||||||||||
2.610 |
06/23/2022 |
09/26/2022 |
(21,439 |
) |
(21,452 |
) | ||||||||||||||||||
BRC |
(3.000 |
) |
12/09/2021 |
TBD |
(3) |
EUR |
(3,840 |
) |
(3,977 |
) | ||||||||||||||
(1.000 |
) |
02/18/2022 |
TBD |
(3) |
(2,558 |
) |
(2,671 |
) | ||||||||||||||||
1.320 |
05/12/2022 |
07/25/2022 |
$ |
(4,619 |
) |
(4,628 |
) | |||||||||||||||||
1.950 |
05/13/2022 |
08/16/2022 |
(8,706 |
) |
(8,729 |
) | ||||||||||||||||||
1.950 |
06/17/2022 |
TBD |
(3) |
(6,549 |
) |
(6,553 |
) | |||||||||||||||||
2.070 |
06/17/2022 |
TBD |
(3) |
(46,924 |
) |
(46,962 |
) | |||||||||||||||||
2.800 |
06/24/2022 |
09/27/2022 |
(2,231 |
) |
(2,232 |
) | ||||||||||||||||||
BYR |
2.090 |
07/01/2022 |
07/06/2022 |
(3,019 |
) |
(3,019 |
) | |||||||||||||||||
2.100 |
06/30/2022 |
07/06/2022 |
(3,892 |
) |
(3,904 |
) | ||||||||||||||||||
2.110 |
05/12/2022 |
09/26/2022 |
(16,334 |
) |
(16,365 |
) | ||||||||||||||||||
2.110 |
06/29/2022 |
10/26/2022 |
(4,836 |
) |
(4,836 |
) | ||||||||||||||||||
CDC |
0.530 |
01/13/2022 |
07/14/2022 |
(3,947 |
) |
(3,957 |
) | |||||||||||||||||
0.650 |
05/11/2022 |
07/14/2022 |
(2,590 |
) |
(2,593 |
) | ||||||||||||||||||
1.080 |
04/04/2022 |
07/05/2022 |
(11,184 |
) |
(11,213 |
) | ||||||||||||||||||
1.080 |
04/07/2022 |
07/06/2022 |
(886 |
) |
(888 |
) | ||||||||||||||||||
1.080 |
04/14/2022 |
07/05/2022 |
(4,687 |
) |
(4,698 |
) | ||||||||||||||||||
1.080 |
07/01/2022 |
07/05/2022 |
(291 |
) |
(291 |
) | ||||||||||||||||||
1.150 |
03/08/2022 |
09/07/2022 |
(16,377 |
) |
(16,437 |
) | ||||||||||||||||||
1.150 |
03/30/2022 |
09/07/2022 |
(8,161 |
) |
(8,185 |
) | ||||||||||||||||||
1.150 |
04/11/2022 |
07/15/2022 |
(6,641 |
) |
(6,658 |
) | ||||||||||||||||||
1.150 |
04/11/2022 |
09/07/2022 |
(4,394 |
) |
(4,406 |
) | ||||||||||||||||||
1.150 |
04/13/2022 |
07/13/2022 |
(11,547 |
) |
(11,576 |
) | ||||||||||||||||||
1.230 |
04/14/2022 |
07/14/2022 |
(17,158 |
) |
(17,204 |
) | ||||||||||||||||||
1.350 |
05/02/2022 |
08/02/2022 |
(5,259 |
) |
(5,271 |
) | ||||||||||||||||||
1.480 |
05/09/2022 |
08/09/2022 |
(12,738 |
) |
(12,766 |
) | ||||||||||||||||||
1.590 |
04/01/2022 |
09/30/2022 |
(4,976 |
) |
(4,996 |
) | ||||||||||||||||||
1.630 |
05/09/2022 |
08/09/2022 |
(3,518 |
) |
(3,526 |
) | ||||||||||||||||||
1.740 |
06/07/2022 |
09/07/2022 |
(21,271 |
) |
(21,296 |
) | ||||||||||||||||||
1.750 |
06/10/2022 |
09/12/2022 |
(541 |
) |
(541 |
) | ||||||||||||||||||
1.780 |
04/18/2022 |
10/14/2022 |
(10,349 |
) |
(10,387 |
) | ||||||||||||||||||
1.850 |
06/02/2022 |
09/06/2022 |
(7,426 |
) |
(7,437 |
) | ||||||||||||||||||
1.970 |
06/14/2022 |
09/14/2022 |
(3,144 |
) |
(3,146 |
) | ||||||||||||||||||
2.450 |
06/23/2022 |
09/23/2022 |
(3,608 |
) |
(3,610 |
) | ||||||||||||||||||
2.600 |
07/05/2022 |
10/06/2022 |
(8,277 |
) |
(8,277 |
) | ||||||||||||||||||
CEW |
1.300 |
05/19/2022 |
TBD |
(3) |
GBP |
(1,765 |
) |
(2,152 |
) | |||||||||||||||
1.370 |
05/25/2022 |
TBD |
(3) |
(3,511 |
) |
(4,279 |
) | |||||||||||||||||
CIB |
2.500 |
06/16/2022 |
09/16/2022 |
$ |
(257 |
) |
(257 |
) | ||||||||||||||||
DBL |
(0.260 |
) |
06/07/2022 |
09/05/2022 |
EUR |
(1,145 |
) |
(1,199 |
) | |||||||||||||||
(0.160 |
) |
06/07/2022 |
09/05/2022 |
(5,742 |
) |
(6,017 |
) | |||||||||||||||||
FBF |
(0.250 |
) |
06/17/2022 |
TBD |
(3) |
$ |
(3,880 |
) |
(3,880 |
) | ||||||||||||||
IND |
0.990 |
04/01/2022 |
07/01/2022 |
(900 |
) |
(902 |
) | |||||||||||||||||
1.010 |
03/17/2022 |
09/15/2022 |
(1,444 |
) |
(1,448 |
) | ||||||||||||||||||
1.010 |
04/27/2022 |
09/15/2022 |
(14,229 |
) |
(14,255 |
) | ||||||||||||||||||
1.030 |
04/06/2022 |
07/06/2022 |
(232 |
) |
(232 |
) | ||||||||||||||||||
1.050 |
04/06/2022 |
07/06/2022 |
(233 |
) |
(234 |
) | ||||||||||||||||||
1.120 |
03/17/2022 |
09/15/2022 |
(4,233 |
) |
(4,247 |
) | ||||||||||||||||||
1.400 |
03/30/2022 |
09/28/2022 |
(983 |
) |
(987 |
) | ||||||||||||||||||
1.590 |
05/11/2022 |
08/10/2022 |
(3,271 |
) |
(3,278 |
) | ||||||||||||||||||
1.680 |
04/12/2022 |
10/11/2022 |
(6,689 |
) |
(6,714 |
) | ||||||||||||||||||
1.770 |
06/09/2022 |
09/12/2022 |
(2,215 |
) |
(2,218 |
) | ||||||||||||||||||
1.790 |
06/10/2022 |
09/13/2022 |
(5,980 |
) |
(5,986 |
) | ||||||||||||||||||
2.000 |
05/09/2022 |
11/07/2022 |
(356 |
) |
(357 |
) | ||||||||||||||||||
2.260 |
06/24/2022 |
09/26/2022 |
(2,290 |
) |
(2,291 |
) |
42 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
2.340 |
% |
06/30/2022 |
09/30/2022 |
$ |
(3,585 |
) |
$ |
(3,585 |
) | |||||||||||||||
2.340 |
07/01/2022 |
09/30/2022 |
(770 |
) |
(770 |
) | ||||||||||||||||||
2.380 |
06/24/2022 |
09/26/2022 |
(8,521 |
) |
(8,525 |
) | ||||||||||||||||||
2.380 |
06/27/2022 |
09/26/2022 |
(1,351 |
) |
(1,351 |
) | ||||||||||||||||||
2.420 |
06/24/2022 |
09/26/2022 |
(2,052 |
) |
(2,053 |
) | ||||||||||||||||||
JML |
(5.500 |
) |
12/09/2021 |
TBD |
(3) |
EUR |
(1,277 |
) |
(1,298 |
) | ||||||||||||||
(4.000 |
) |
06/24/2022 |
TBD |
(3) |
(4,010 |
) |
(4,199 |
) | ||||||||||||||||
(1.750 |
) |
06/17/2022 |
07/29/2022 |
$ |
(5,763 |
) |
(5,759 |
) | ||||||||||||||||
(1.000 |
) |
02/18/2022 |
TBD |
(3) |
EUR |
(882 |
) |
(921 |
) | |||||||||||||||
(0.650 |
) |
06/07/2022 |
TBD |
(3) |
(203 |
) |
(213 |
) | ||||||||||||||||
(0.480 |
) |
05/10/2022 |
08/09/2022 |
(2,731 |
) |
(2,860 |
) | |||||||||||||||||
(0.450 |
) |
06/24/2022 |
TBD |
(3) |
(381 |
) |
(400 |
) | ||||||||||||||||
(0.430 |
) |
03/07/2022 |
TBD |
(3) |
(8,452 |
) |
(8,844 |
) | ||||||||||||||||
(0.400 |
) |
05/10/2022 |
08/09/2022 |
(5,206 |
) |
(5,452 |
) | |||||||||||||||||
(0.400 |
) |
05/11/2022 |
08/17/2022 |
(2,190 |
) |
(2,293 |
) | |||||||||||||||||
(0.380 |
) |
05/17/2022 |
08/17/2022 |
(5,870 |
) |
(6,149 |
) | |||||||||||||||||
(0.350 |
) |
04/25/2022 |
07/25/2022 |
(3,677 |
) |
(3,851 |
) | |||||||||||||||||
(0.250 |
) |
06/01/2022 |
08/30/2022 |
(2,260 |
) |
(2,368 |
) | |||||||||||||||||
(0.200 |
) |
06/07/2022 |
09/05/2022 |
(1,273 |
) |
(1,334 |
) | |||||||||||||||||
1.150 |
06/24/2022 |
TBD |
(3) |
GBP |
(1,537 |
) |
(1,871 |
) | ||||||||||||||||
1.400 |
05/06/2022 |
08/04/2022 |
(22,789 |
) |
(27,802 |
) | ||||||||||||||||||
1.500 |
06/27/2022 |
08/10/2022 |
$ |
(1,170 |
) |
(1,170 |
) | |||||||||||||||||
MBC |
(0.450 |
) |
02/11/2022 |
TBD |
(3) |
EUR |
(17,079 |
) |
(17,865 |
) | ||||||||||||||
MEI |
(5.500 |
) |
04/06/2022 |
07/08/2022 |
(1,058 |
) |
(1,094 |
) | ||||||||||||||||
1.340 |
03/10/2022 |
09/07/2022 |
$ |
(4,684 |
) |
(4,703 |
) | |||||||||||||||||
1.370 |
04/19/2022 |
07/20/2022 |
(4,125 |
) |
(4,137 |
) | ||||||||||||||||||
1.370 |
06/24/2022 |
07/20/2022 |
(3,177 |
) |
(3,178 |
) | ||||||||||||||||||
1.390 |
04/19/2022 |
07/20/2022 |
(3,424 |
) |
(3,434 |
) | ||||||||||||||||||
1.900 |
04/06/2022 |
07/08/2022 |
(455 |
) |
(457 |
) | ||||||||||||||||||
NOM |
1.000 |
03/28/2022 |
07/01/2022 |
(3,605 |
) |
(3,615 |
) | |||||||||||||||||
1.000 |
03/30/2022 |
07/05/2022 |
(966 |
) |
(969 |
) | ||||||||||||||||||
1.000 |
03/31/2022 |
07/05/2022 |
(12,464 |
) |
(12,496 |
) | ||||||||||||||||||
1.900 |
06/17/2022 |
TBD |
(3) |
(3,794 |
) |
(3,797 |
) | |||||||||||||||||
2.350 |
06/17/2022 |
TBD |
(3) |
(9,326 |
) |
(9,334 |
) | |||||||||||||||||
2.700 |
06/24/2022 |
09/23/2022 |
(1,349 |
) |
(1,350 |
) | ||||||||||||||||||
RDR |
1.400 |
06/06/2022 |
07/11/2022 |
(13,437 |
) |
(13,450 |
) | |||||||||||||||||
2.420 |
06/24/2022 |
09/26/2022 |
(20,056 |
) |
(20,066 |
) | ||||||||||||||||||
2.620 |
06/24/2022 |
09/26/2022 |
(2,378 |
) |
(2,379 |
) | ||||||||||||||||||
SCX |
(0.410 |
) |
02/09/2022 |
08/08/2022 |
EUR |
(1,524 |
) |
(1,594 |
) | |||||||||||||||
(0.320 |
) |
04/19/2022 |
07/19/2022 |
(4,741 |
) |
(4,965 |
) | |||||||||||||||||
2.390 |
06/24/2022 |
09/23/2022 |
$ |
(3,624 |
) |
(3,625 |
) | |||||||||||||||||
SOG |
0.570 |
01/07/2022 |
07/08/2022 |
(3,398 |
) |
(3,407 |
) | |||||||||||||||||
0.670 |
01/07/2022 |
07/06/2022 |
(14,179 |
) |
(14,225 |
) | ||||||||||||||||||
0.670 |
01/07/2022 |
07/08/2022 |
(4,752 |
) |
(4,767 |
) | ||||||||||||||||||
0.670 |
01/26/2022 |
07/08/2022 |
(1,162 |
) |
(1,165 |
) | ||||||||||||||||||
0.670 |
03/30/2022 |
07/08/2022 |
(16,829 |
) |
(16,858 |
) | ||||||||||||||||||
0.670 |
04/14/2022 |
07/06/2022 |
(715 |
) |
(716 |
) | ||||||||||||||||||
0.670 |
05/26/2022 |
07/06/2022 |
(2,697 |
) |
(2,699 |
) | ||||||||||||||||||
0.670 |
05/31/2022 |
07/06/2022 |
(1,309 |
) |
(1,310 |
) | ||||||||||||||||||
1.290 |
06/03/2022 |
07/05/2022 |
(4,111 |
) |
(4,115 |
) | ||||||||||||||||||
1.430 |
04/19/2022 |
07/25/2022 |
(6,524 |
) |
(6,543 |
) | ||||||||||||||||||
1.620 |
05/04/2022 |
08/04/2022 |
(6,296 |
) |
(6,312 |
) | ||||||||||||||||||
1.620 |
06/03/2022 |
08/04/2022 |
(2,536 |
) |
(2,539 |
) | ||||||||||||||||||
1.620 |
07/01/2022 |
08/04/2022 |
(4,432 |
) |
(4,432 |
) | ||||||||||||||||||
1.720 |
06/06/2022 |
08/12/2022 |
(714 |
) |
(715 |
) | ||||||||||||||||||
1.720 |
06/10/2022 |
08/12/2022 |
(3,596 |
) |
(3,599 |
) | ||||||||||||||||||
1.720 |
06/16/2022 |
08/12/2022 |
(3,773 |
) |
(3,776 |
) | ||||||||||||||||||
1.720 |
06/21/2022 |
08/12/2022 |
(2,441 |
) |
(2,443 |
) | ||||||||||||||||||
1.720 |
06/23/2022 |
08/12/2022 |
(3,028 |
) |
(3,029 |
) | ||||||||||||||||||
1.720 |
06/24/2022 |
08/12/2022 |
(1,241 |
) |
(1,241 |
) | ||||||||||||||||||
1.740 |
06/17/2022 |
TBD |
(3) |
(831 |
) |
(832 |
) | |||||||||||||||||
1.750 |
06/17/2022 |
TBD |
(3) |
(659 |
) |
(659 |
) | |||||||||||||||||
1.770 |
06/17/2022 |
TBD |
(3) |
(1,029 |
) |
(1,030 |
) | |||||||||||||||||
1.830 |
06/17/2022 |
TBD |
(3) |
(2,175 |
) |
(2,177 |
) | |||||||||||||||||
2.130 |
06/16/2022 |
09/19/2022 |
(5,620 |
) |
(5,625 |
) | ||||||||||||||||||
2.520 |
06/21/2022 |
09/21/2022 |
(1,085 |
) |
(1,086 |
) | ||||||||||||||||||
2.580 |
07/05/2022 |
10/06/2022 |
(3,954 |
) |
(3,954 |
) | ||||||||||||||||||
TDM |
1.740 |
06/17/2022 |
TBD |
(3) |
(8,992 |
) |
(8,998 |
) | ||||||||||||||||
UBS |
1.350 |
06/29/2022 |
07/14/2022 |
(4,847 |
) |
(4,848 |
) | |||||||||||||||||
1.500 |
05/27/2022 |
08/24/2022 |
GBP |
(733 |
) |
(894 |
) |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 43 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
2.350 |
% |
06/17/2022 |
09/19/2022 |
$ |
(384 |
) |
$ |
(385 |
) | |||||||||||||||
2.450 |
06/17/2022 |
09/19/2022 |
(9,223 |
) |
(9,232 |
) | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ |
(765,703 |
) | ||||||||||||||||||||
|
|
Description |
Coupon |
Maturity Date |
Principal Amount |
Proceeds |
Payable for Short Sales |
|||||||||||||||
Loan Participations and Assignments 0.0% |
| |||||||||||||||||||
GIP Blue Holding LP |
5.506% |
09/29/2028 |
$ |
393 |
$ |
(392 |
) |
$ |
(382 |
) | ||||||||||
|
|
|
|
|||||||||||||||||
Total Short Sales 0.0% |
$ |
(392 |
) |
$ |
(382 |
) | ||||||||||||||
|
|
|
|
Counterparty |
Repurchase Agreement Proceeds to be Received (1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Payable for Short Sales |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure (4) |
|||||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||||||
BOM |
$ |
0 |
$ |
(8,822 |
) |
$ |
0 |
0 |
$ |
(8,822 |
) |
$ |
10,995 |
$ |
2,173 |
|||||||||||||
BOS |
0 |
(4,429 |
) |
0 |
0 |
(4,429 |
) |
4,587 |
158 |
|||||||||||||||||||
BPS |
0 |
(89,097 |
) |
0 |
0 |
(89,097 |
) |
99,664 |
10,567 |
|||||||||||||||||||
BRC |
0 |
(75,752 |
) |
0 |
0 |
(75,752 |
) |
88,083 |
12,331 |
|||||||||||||||||||
BYR |
0 |
(28,124 |
) |
0 |
0 |
(28,124 |
) |
28,908 |
784 |
|||||||||||||||||||
CDC |
0 |
(169,359 |
) |
0 |
0 |
(169,359 |
) |
174,747 |
5,388 |
|||||||||||||||||||
CEW |
0 |
(6,431 |
) |
0 |
0 |
(6,431 |
) |
6,423 |
(8 |
) | ||||||||||||||||||
CIB |
0 |
(257 |
) |
0 |
0 |
(257 |
) |
312 |
55 |
|||||||||||||||||||
DBL |
0 |
(7,216 |
) |
0 |
0 |
(7,216 |
) |
7,199 |
(17 |
) | ||||||||||||||||||
FBF |
0 |
(3,880 |
) |
0 |
0 |
(3,880 |
) |
4,775 |
895 |
|||||||||||||||||||
FICC |
13,359 |
0 |
0 |
0 |
13,359 |
(13,626 |
) |
(267 |
) | |||||||||||||||||||
IND |
0 |
(59,433 |
) |
0 |
0 |
(59,433 |
) |
65,497 |
6,064 |
|||||||||||||||||||
JML |
0 |
(76,784 |
) |
0 |
0 |
(76,784 |
) |
83,598 |
6,814 |
|||||||||||||||||||
MBC |
79,603 |
(17,865 |
) |
0 |
0 |
61,738 |
(62,669 |
) |
(931 |
) | ||||||||||||||||||
MEI |
0 |
(17,003 |
) |
0 |
0 |
(17,003 |
) |
17,885 |
882 |
|||||||||||||||||||
NOM |
0 |
(31,561 |
) |
0 |
0 |
(31,561 |
) |
42,574 |
11,013 |
|||||||||||||||||||
RDR |
0 |
(35,895 |
) |
0 |
0 |
(35,895 |
) |
37,242 |
1,347 |
|||||||||||||||||||
SCX |
0 |
(10,184 |
) |
0 |
0 |
(10,184 |
) |
10,987 |
803 |
|||||||||||||||||||
SOG |
0 |
(99,254 |
) |
0 |
0 |
(99,254 |
) |
102,602 |
3,348 |
|||||||||||||||||||
TDM |
0 |
(8,998 |
) |
0 |
0 |
(8,998 |
) |
9,495 |
497 |
|||||||||||||||||||
UBS |
0 |
(15,359 |
) |
0 |
0 |
(15,359 |
) |
17,643 |
2,284 |
|||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
92,962 |
$ |
(765,703 |
) |
$ |
0 |
0 |
||||||||||||||||||||
|
|
|
|
|
|
|
|
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ |
(4,517 |
) |
$ |
(175,294 |
) |
$ |
(355,753 |
) |
$ |
(180,343 |
) |
$ |
(715,907 |
) | |||||
U.S. Government Agencies |
0 |
0 |
(9,079 |
) |
0 |
(9,079 |
) | |||||||||||||
Sovereign Issues |
0 |
(11,181 |
) |
0 |
(3,796 |
) |
(14,977 |
) | ||||||||||||
Preferred Securities |
0 |
(888 |
) |
0 |
0 |
(888 |
) | |||||||||||||
Convertible Bonds & Notes |
0 |
0 |
(4,109 |
) |
0 |
(4,109 |
) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ |
(4,517 |
) |
$ |
(187,363 |
) |
$ |
(368,941 |
) |
$ |
(184,139 |
) |
$ |
(744,960 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements (5) |
|
$ |
(744,960 |
) | ||||||||||||||||
|
|
(l) |
Securities with an aggregate market value of $795,377 and cash of $37,575 have been pledged as collateral under the terms of the above master agreements as of June 30, 2022. |
(1) |
Includes accrued interest. |
(2) |
The average amount of borrowings outstanding during the period ended June 30, 2022 was $(920,046) at a weighted average interest rate of 0.485%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
44 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
(3) |
Open maturity reverse repurchase agreement. |
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(5) |
Unsettled reverse repurchase agreements liability of $(20,743) is outstanding at period end. |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2022 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value (4) |
Variation Margin |
|||||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||||
Atlantia SpA |
1.000 |
% |
Quarterly |
12/20/2025 |
3.043 |
% |
EUR |
1,000 |
$ |
(45 |
) |
$ |
(23 |
) |
$ |
(68 |
) |
$ |
0 |
$ |
(9 |
) | ||||||||||||||||||||||
Atlantia SpA |
1.000 |
Quarterly |
06/20/2026 |
3.222 |
4,500 |
(155 |
) |
(221 |
) |
(376 |
) |
0 |
(45 |
) | ||||||||||||||||||||||||||||||
Boeing Co. |
1.000 |
Quarterly |
12/20/2024 |
2.015 |
$ |
600 |
(15 |
) |
1 |
(14 |
) |
0 |
(1 |
) | ||||||||||||||||||||||||||||||
Boeing Co. |
1.000 |
Quarterly |
06/20/2026 |
2.327 |
12,700 |
(231 |
) |
(364 |
) |
(595 |
) |
0 |
(12 |
) | ||||||||||||||||||||||||||||||
Boeing Co. |
1.000 |
Quarterly |
06/20/2027 |
2.538 |
900 |
(52 |
) |
(7 |
) |
(59 |
) |
0 |
(1 |
) | ||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
06/20/2024 |
7.828 |
5,200 |
(29 |
) |
(218 |
) |
(247 |
) |
8 |
0 |
|||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
12/20/2024 |
8.213 |
1,000 |
(2 |
) |
(64 |
) |
(66 |
) |
0 |
(1 |
) | ||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
06/20/2025 |
8.463 |
200 |
(15 |
) |
(1 |
) |
(16 |
) |
0 |
0 |
|||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
06/20/2027 |
9.229 |
5,300 |
(619 |
) |
(134 |
) |
(753 |
) |
0 |
(5 |
) | ||||||||||||||||||||||||||||||
Energy Transfer Operating LP |
1.000 |
Quarterly |
06/20/2026 |
1.117 |
100 |
(2 |
) |
2 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||||||
Hess Corp. |
1.000 |
Quarterly |
06/20/2026 |
1.625 |
100 |
(3 |
) |
1 |
(2 |
) |
0 |
0 |
||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
Quarterly |
06/20/2026 |
9.623 |
EUR |
300 |
21 |
(64 |
) |
(43 |
) |
0 |
(6 |
) | ||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
Quarterly |
12/20/2026 |
9.833 |
11,447 |
424 |
(2,278 |
) |
(1,854 |
) |
0 |
(216 |
) | |||||||||||||||||||||||||||||||
MGM Resorts International |
5.000 |
Quarterly |
06/20/2026 |
4.564 |
$ |
3,700 |
501 |
(442 |
) |
59 |
0 |
(24 |
) | |||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
06/20/2027 |
4.406 |
EUR |
10,100 |
(892 |
) |
(625 |
) |
(1,517 |
) |
0 |
(95 |
) | |||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
12/20/2025 |
3.940 |
16,300 |
(2,597 |
) |
1,007 |
(1,590 |
) |
0 |
(139 |
) | |||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
06/20/2026 |
4.096 |
11,400 |
(853 |
) |
(454 |
) |
(1,307 |
) |
0 |
(109 |
) | ||||||||||||||||||||||||||||||
The GAP, Inc. |
1.000 |
Quarterly |
06/20/2027 |
6.340 |
$ |
16,800 |
(3,173 |
) |
(196 |
) |
(3,369 |
) |
0 |
(113 |
) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ |
(7,737 |
) |
$ |
(4,080 |
) |
$ |
(11,817 |
) |
$ |
8 |
$ |
(776 |
) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Index/Tranches |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value (4) |
Variation Margin |
||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||
iTraxx Asia Ex-Japan 37 5-Year Index |
1.000 |
% |
Quarterly |
06/20/2027 |
$ |
20,000 |
$ |
(96 |
) |
$ |
(267 |
) |
$ |
(363 |
) |
$ |
0 |
$ |
(51 |
) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
% |
Annual |
09/21/2032 |
GBP |
24,100 |
$ |
2,338 |
$ |
1,904 |
$ |
4,242 |
$ |
0 |
$ |
(439 |
) | ||||||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
7,800 |
1,653 |
1,349 |
3,002 |
0 |
(232 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day USD-Federal Funds Rate Compounded-OIS |
0.100 |
Annual |
01/13/2023 |
$ |
10,000 |
(1 |
) |
157 |
156 |
0 |
(1 |
) | |||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
6.170 |
Maturity |
01/02/2023 |
BRL |
168,900 |
(31 |
) |
(1,523 |
) |
(1,554 |
) |
6 |
0 |
||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.670 |
Maturity |
01/02/2023 |
6,600 |
0 |
5 |
5 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.690 |
Maturity |
01/02/2023 |
4,400 |
0 |
3 |
3 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.740 |
Maturity |
01/02/2023 |
11,400 |
0 |
7 |
7 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.750 |
Maturity |
01/02/2023 |
5,500 |
0 |
3 |
3 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.760 |
Maturity |
01/02/2023 |
11,400 |
0 |
7 |
7 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.900 |
Maturity |
01/02/2023 |
23,300 |
0 |
9 |
9 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.930 |
Maturity |
01/02/2023 |
2,900 |
0 |
1 |
1 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.939 |
Maturity |
01/02/2023 |
11,600 |
0 |
4 |
4 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.946 |
Maturity |
01/02/2023 |
29,200 |
0 |
10 |
10 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.960 |
Maturity |
01/02/2023 |
23,300 |
0 |
7 |
7 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Receive |
1-Year BRL-CDI |
12.970 |
Maturity |
01/02/2023 |
38,300 |
0 |
12 |
12 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.140 |
Maturity |
01/02/2025 |
2,200 |
0 |
(12 |
) |
(12 |
) |
1 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.160 |
Maturity |
01/02/2025 |
1,500 |
0 |
(8 |
) |
(8 |
) |
1 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.350 |
Maturity |
01/02/2025 |
1,800 |
0 |
(8 |
) |
(8 |
) |
1 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.000 |
Maturity |
01/02/2025 |
4,900 |
0 |
(11 |
) |
(11 |
) |
2 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.080 |
Maturity |
01/02/2025 |
8,200 |
0 |
(17 |
) |
(17 |
) |
4 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.140 |
Maturity |
01/02/2025 |
4,100 |
0 |
(7 |
) |
(7 |
) |
2 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.145 |
Maturity |
01/02/2025 |
4,000 |
0 |
(7 |
) |
(7 |
) |
2 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.160 |
Maturity |
01/02/2025 |
8,200 |
0 |
(14 |
) |
(14 |
) |
4 |
0 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 45 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.220 |
% |
Maturity |
01/04/2027 |
BRL |
2,600 |
$ |
0 |
$ |
(17 |
) |
$ |
(17 |
) |
$ |
1 |
$ |
0 |
|||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.245 |
Maturity |
01/04/2027 |
1,300 |
0 |
(9 |
) |
(9 |
) |
1 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.260 |
Maturity |
01/04/2027 |
1,300 |
0 |
(8 |
) |
(8 |
) |
1 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.700 |
Maturity |
01/04/2027 |
700 |
0 |
(3 |
) |
(3 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.715 |
Maturity |
01/04/2027 |
3,000 |
0 |
(12 |
) |
(12 |
) |
2 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.870 |
Maturity |
01/04/2027 |
7,100 |
0 |
(23 |
) |
(23 |
) |
4 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.250 |
Semi-Annual |
12/18/2022 |
$ |
78,000 |
38 |
901 |
939 |
0 |
(5 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.250 |
Semi-Annual |
06/16/2024 |
10,000 |
27 |
551 |
578 |
0 |
(20 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 |
Semi-Annual |
06/17/2025 |
8,580 |
541 |
(632 |
) |
(91 |
) |
30 |
0 |
||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 |
Semi-Annual |
06/15/2026 |
44,400 |
2,099 |
(3,444 |
) |
(1,345 |
) |
218 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.500 |
Semi-Annual |
06/16/2026 |
35,000 |
544 |
2,833 |
3,377 |
0 |
(152 |
) | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.360 |
Semi-Annual |
02/15/2027 |
12,450 |
0 |
868 |
868 |
0 |
(72 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.600 |
Semi-Annual |
02/15/2027 |
49,800 |
(171 |
) |
(2,740 |
) |
(2,911 |
) |
290 |
0 |
|||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.450 |
Semi-Annual |
02/17/2027 |
20,600 |
0 |
1,351 |
1,351 |
0 |
(119 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.700 |
Semi-Annual |
02/17/2027 |
82,200 |
(309 |
) |
(4,121 |
) |
(4,430 |
) |
480 |
0 |
|||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.420 |
Semi-Annual |
02/24/2027 |
6,000 |
0 |
404 |
404 |
0 |
(35 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.650 |
Semi-Annual |
02/24/2027 |
19,900 |
(72 |
) |
(1,053 |
) |
(1,125 |
) |
116 |
0 |
|||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 |
Semi-Annual |
12/20/2027 |
73,900 |
530 |
(2,609 |
) |
(2,079 |
) |
461 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.420 |
Semi-Annual |
08/17/2028 |
47,100 |
0 |
4,116 |
4,116 |
0 |
(308 |
) | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.380 |
Semi-Annual |
08/24/2028 |
71,000 |
0 |
6,394 |
6,394 |
0 |
(462 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.000 |
Semi-Annual |
06/19/2029 |
263,700 |
13,372 |
(14,272 |
) |
(900 |
) |
1,845 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.000 |
Semi-Annual |
12/16/2030 |
2,000 |
(3 |
) |
311 |
308 |
0 |
(13 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.000 |
Semi-Annual |
12/16/2030 |
1,600 |
(72 |
) |
319 |
247 |
0 |
(12 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.160 |
Semi-Annual |
04/12/2031 |
6,100 |
0 |
898 |
898 |
0 |
(47 |
) | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.750 |
Semi-Annual |
06/16/2031 |
19,700 |
1,395 |
2,210 |
3,605 |
0 |
(145 |
) | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.750 |
Semi-Annual |
12/15/2031 |
97,600 |
(1,547 |
) |
12,118 |
10,571 |
0 |
(707 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.350 |
Semi-Annual |
02/09/2032 |
128,200 |
1,004 |
16,827 |
17,831 |
0 |
(1,274 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.500 |
Semi-Annual |
06/19/2044 |
305,100 |
(9,953 |
) |
31,547 |
21,594 |
5,054 |
0 |
|||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 |
Semi-Annual |
12/11/2049 |
2,200 |
(3 |
) |
310 |
307 |
0 |
(19 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.000 |
Semi-Annual |
01/15/2050 |
19,800 |
(143 |
) |
3,726 |
3,583 |
0 |
(167 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.750 |
Semi-Annual |
01/22/2050 |
28,200 |
(65 |
) |
6,551 |
6,486 |
0 |
(227 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.875 |
Semi-Annual |
02/07/2050 |
29,300 |
(114 |
) |
6,150 |
6,036 |
0 |
(243 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 |
Semi-Annual |
03/12/2050 |
9,800 |
(29 |
) |
1,341 |
1,312 |
0 |
(86 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.250 |
Semi-Annual |
12/16/2050 |
17,000 |
1,650 |
4,045 |
5,695 |
0 |
(117 |
) | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.700 |
Semi-Annual |
02/01/2052 |
288,800 |
2,056 |
66,137 |
68,193 |
0 |
(4,465 |
) | |||||||||||||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
3.500 |
Semi-Annual |
06/17/2025 |
AUD |
13,400 |
332 |
(423 |
) |
(91 |
) |
22 |
0 |
|||||||||||||||||||||||||||
Pay |
6-Month CZK-PRIBOR |
1.800 |
Annual |
05/17/2026 |
CZK |
814,100 |
0 |
(4,700 |
) |
(4,700 |
) |
387 |
0 |
|||||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
0.150 |
Annual |
03/18/2030 |
EUR |
21,400 |
392 |
3,122 |
3,514 |
0 |
(335 |
) | ||||||||||||||||||||||||||||
Receive (5) |
6-Month EUR-EURIBOR |
0.250 |
Annual |
09/21/2032 |
19,300 |
1,814 |
1,904 |
3,718 |
0 |
(334 |
) | |||||||||||||||||||||||||||||
Receive (5) |
6-Month EUR-EURIBOR |
0.500 |
Annual |
09/21/2052 |
8,100 |
702 |
2,180 |
2,882 |
0 |
(210 |
) | |||||||||||||||||||||||||||||
Pay |
6-Month HUF-BBR |
2.121 |
Annual |
05/17/2026 |
HUF |
11,300,600 |
0 |
(6,485 |
) |
(6,485 |
) |
279 |
0 |
|||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
4.550 |
Lunar |
02/27/2023 |
MXN |
84,800 |
10 |
(142 |
) |
(132 |
) |
0 |
0 |
|||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
4.500 |
Lunar |
03/03/2023 |
184,900 |
(5 |
) |
(288 |
) |
(293 |
) |
0 |
(1 |
) | ||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.675 |
Lunar |
04/03/2024 |
27,500 |
0 |
19 |
19 |
0 |
(2 |
) | |||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.660 |
Lunar |
04/04/2024 |
11,400 |
0 |
8 |
8 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.750 |
Lunar |
04/05/2024 |
8,700 |
0 |
5 |
5 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.410 |
Lunar |
03/31/2027 |
3,300 |
0 |
4 |
4 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.730 |
Lunar |
04/06/2027 |
3,700 |
0 |
2 |
2 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
7.495 |
Lunar |
01/14/2032 |
1,800 |
7 |
1 |
8 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
7.498 |
Lunar |
01/15/2032 |
7,400 |
30 |
3 |
33 |
0 |
(3 |
) | |||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.732 |
Lunar |
03/30/2032 |
1,800 |
0 |
1 |
1 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.701 |
Lunar |
03/31/2032 |
4,300 |
0 |
2 |
2 |
0 |
(2 |
) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ |
18,016 |
$ |
138,049 |
$ |
156,065 |
$ |
9,214 |
$ |
(10,264 |
) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ |
10,183 |
$ |
133,702 |
$ |
143,885 |
$ |
9,222 |
$ |
(11,091 |
) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Total |
Market Value |
Variation Margin Liability |
Total |
|||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Written Options |
Futures |
Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
9,222 |
$ |
9,222 |
$ |
0 |
$ |
0 |
$ |
(11,091) |
$ |
(11,091) |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(n) |
Securities with an aggregate market value of $2,372 and cash of $58,058 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2022. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
46 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
07/2022 |
AUD |
223 |
$ |
160 |
$ |
6 |
$ |
0 |
|||||||||||||||
07/2022 |
CZK |
142,409 |
5,992 |
0 |
(33 |
) | ||||||||||||||||||
07/2022 |
EUR |
13,227 |
13,859 |
0 |
(3 |
) | ||||||||||||||||||
07/2022 |
GBP |
13,495 |
17,063 |
635 |
0 |
|||||||||||||||||||
07/2022 |
HUF |
366,831 |
993 |
26 |
0 |
|||||||||||||||||||
07/2022 |
$ |
3,713 |
GBP |
2,935 |
0 |
(140 |
) | |||||||||||||||||
07/2022 |
465 |
HUF |
177,397 |
3 |
0 |
|||||||||||||||||||
07/2022 |
8,098 |
PEN |
32,211 |
320 |
(19 |
) | ||||||||||||||||||
08/2022 |
IDR |
211,058 |
$ |
14 |
0 |
0 |
||||||||||||||||||
08/2022 |
$ |
1,073 |
CAD |
1,387 |
5 |
0 |
||||||||||||||||||
08/2022 |
2,318 |
NOK |
22,067 |
0 |
(75 |
) | ||||||||||||||||||
08/2022 |
719 |
PEN |
2,776 |
4 |
0 |
|||||||||||||||||||
08/2022 |
68 |
RUB |
10,644 |
119 |
0 |
|||||||||||||||||||
05/2023 |
PEN |
2,776 |
$ |
702 |
0 |
(5 |
) | |||||||||||||||||
BPS |
07/2022 |
HUF |
168,072 |
439 |
0 |
(4 |
) | |||||||||||||||||
07/2022 |
MXN |
5,861 |
280 |
0 |
(11 |
) | ||||||||||||||||||
07/2022 |
$ |
201,796 |
EUR |
191,838 |
0 |
(760 |
) | |||||||||||||||||
07/2022 |
1,342 |
GBP |
1,074 |
0 |
(35 |
) | ||||||||||||||||||
07/2022 |
159 |
HUF |
58,089 |
0 |
(5 |
) | ||||||||||||||||||
07/2022 |
1,747 |
JPY |
235,600 |
0 |
(10 |
) | ||||||||||||||||||
07/2022 |
2,623 |
MXN |
52,711 |
0 |
(2 |
) | ||||||||||||||||||
08/2022 |
EUR |
176,694 |
$ |
186,186 |
679 |
0 |
||||||||||||||||||
08/2022 |
GBP |
9,227 |
11,211 |
0 |
(26 |
) | ||||||||||||||||||
08/2022 |
INR |
1,413 |
18 |
0 |
0 |
|||||||||||||||||||
08/2022 |
$ |
871 |
CAD |
1,127 |
4 |
0 |
||||||||||||||||||
08/2022 |
1,516 |
IDR |
22,357,062 |
0 |
(17 |
) | ||||||||||||||||||
08/2022 |
6,949 |
JPY |
942,415 |
9 |
0 |
|||||||||||||||||||
09/2022 |
MXN |
52,711 |
$ |
2,584 |
0 |
(3 |
) | |||||||||||||||||
11/2022 |
$ |
25 |
ZAR |
407 |
0 |
(1 |
) | |||||||||||||||||
BRC |
07/2022 |
290 |
CZK |
6,824 |
0 |
(2 |
) | |||||||||||||||||
08/2022 |
1,662 |
IDR |
24,597,829 |
0 |
(12 |
) | ||||||||||||||||||
08/2022 |
1,598 |
NOK |
15,632 |
0 |
(9 |
) | ||||||||||||||||||
CBK |
07/2022 |
BRL |
125,764 |
$ |
24,010 |
0 |
(21 |
) | ||||||||||||||||
07/2022 |
MXN |
7,892 |
382 |
0 |
(11 |
) | ||||||||||||||||||
07/2022 |
PEN |
27,039 |
7,017 |
0 |
(33 |
) | ||||||||||||||||||
07/2022 |
$ |
25,887 |
BRL |
125,764 |
0 |
(1,856 |
) | |||||||||||||||||
07/2022 |
16 |
HUF |
6,253 |
0 |
0 |
|||||||||||||||||||
07/2022 |
498 |
PEN |
2,023 |
29 |
0 |
|||||||||||||||||||
08/2022 |
PEN |
2,776 |
$ |
687 |
0 |
(36 |
) | |||||||||||||||||
11/2022 |
$ |
641 |
PEN |
2,546 |
16 |
0 |
||||||||||||||||||
12/2022 |
PEN |
5,641 |
$ |
1,404 |
2 |
(49 |
) | |||||||||||||||||
04/2023 |
$ |
6,847 |
PEN |
27,039 |
45 |
0 |
||||||||||||||||||
DUB |
08/2022 |
0 |
RUB |
0 |
0 |
0 |
||||||||||||||||||
10/2022 |
346 |
33,381 |
183 |
0 |
||||||||||||||||||||
GLM |
07/2022 |
HUF |
172,513 |
$ |
470 |
15 |
0 |
|||||||||||||||||
07/2022 |
MXN |
38,958 |
1,885 |
0 |
(53 |
) |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 47 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
07/2022 |
$ |
187 |
CZK |
4,426 |
$ |
0 |
$ |
0 |
||||||||||||||||
07/2022 |
153 |
HUF |
55,256 |
0 |
(7 |
) | ||||||||||||||||||
10/2022 |
870 |
RUB |
82,388 |
460 |
0 |
|||||||||||||||||||
HUS |
07/2022 |
AUD |
5,883 |
$ |
4,089 |
36 |
(7 |
) | ||||||||||||||||
07/2022 |
EUR |
2,335 |
2,464 |
17 |
0 |
|||||||||||||||||||
07/2022 |
GBP |
705 |
867 |
9 |
0 |
|||||||||||||||||||
07/2022 |
HUF |
174,846 |
458 |
0 |
(3 |
) | ||||||||||||||||||
07/2022 |
$ |
4,249 |
AUD |
6,106 |
0 |
(34 |
) | |||||||||||||||||
07/2022 |
125 |
HUF |
46,759 |
0 |
(2 |
) | ||||||||||||||||||
07/2022 |
12,516 |
JPY |
1,661,800 |
0 |
(268 |
) | ||||||||||||||||||
08/2022 |
MXN |
71,923 |
$ |
3,506 |
0 |
(44 |
) | |||||||||||||||||
08/2022 |
$ |
3,286 |
AUD |
4,770 |
8 |
0 |
||||||||||||||||||
08/2022 |
155 |
CLP |
130,274 |
0 |
(14 |
) | ||||||||||||||||||
08/2022 |
10 |
CNH |
67 |
0 |
0 |
|||||||||||||||||||
08/2022 |
981 |
IDR |
14,376,252 |
0 |
(16 |
) | ||||||||||||||||||
JPM |
07/2022 |
6 |
HUF |
2,014 |
0 |
0 |
||||||||||||||||||
08/2022 |
22 |
CNH |
148 |
0 |
0 |
|||||||||||||||||||
08/2022 |
2,216 |
IDR |
32,863,527 |
0 |
(12 |
) | ||||||||||||||||||
MYI |
07/2022 |
1,165 |
GBP |
964 |
9 |
0 |
||||||||||||||||||
08/2022 |
INR |
2,374 |
$ |
30 |
0 |
0 |
||||||||||||||||||
08/2022 |
$ |
1,876 |
IDR |
27,671,530 |
0 |
(20 |
) | |||||||||||||||||
RBC |
08/2022 |
3,080 |
CAD |
3,986 |
16 |
0 |
||||||||||||||||||
08/2022 |
3,432 |
JPY |
465,477 |
4 |
0 |
|||||||||||||||||||
09/2022 |
MXN |
2,946 |
$ |
143 |
0 |
(2 |
) | |||||||||||||||||
SCX |
08/2022 |
CHF |
768 |
768 |
0 |
(38 |
) | |||||||||||||||||
08/2022 |
$ |
3,549 |
JPY |
481,392 |
5 |
0 |
||||||||||||||||||
11/2022 |
PEN |
621 |
$ |
150 |
0 |
(10 |
) | |||||||||||||||||
SOG |
07/2022 |
EUR |
171,917 |
184,778 |
4,617 |
0 |
||||||||||||||||||
07/2022 |
$ |
27 |
HUF |
10,077 |
0 |
0 |
||||||||||||||||||
08/2022 |
2,455 |
NOK |
24,074 |
0 |
(9 |
) | ||||||||||||||||||
TOR |
07/2022 |
BRL |
125,764 |
$ |
24,319 |
288 |
0 |
|||||||||||||||||
07/2022 |
$ |
24,010 |
BRL |
125,764 |
21 |
0 |
||||||||||||||||||
07/2022 |
5 |
HUF |
1,900 |
0 |
0 |
|||||||||||||||||||
08/2022 |
24,127 |
BRL |
125,764 |
0 |
(302 |
) | ||||||||||||||||||
UAG |
07/2022 |
HUF |
2,112,905 |
$ |
6,025 |
455 |
0 |
|||||||||||||||||
07/2022 |
MXN |
45,791 |
2,204 |
0 |
(69 |
) | ||||||||||||||||||
09/2022 |
$ |
16,119 |
MXN |
321,186 |
0 |
(336 |
) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ |
8,045 |
$ |
(4,424 |
) | |||||||||||||||||||
|
|
|
|
Counterparty |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2022 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
|||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||
BPS |
Petrobras Global Finance BV |
1.000 |
% |
Quarterly |
12/20/2024 |
2.319 |
% |
$ |
1,800 |
$ |
(352 |
) |
$ |
297 |
$ |
0 |
$ |
(55 |
) | |||||||||||||||||||||||
BRC |
Colombia Government International Bond |
1.000 |
Quarterly |
12/20/2026 |
2.726 |
3,500 |
(160 |
) |
(79 |
) |
0 |
(239 |
) | |||||||||||||||||||||||||||||
Ukraine Government International Bond |
5.000 |
Quarterly |
12/20/2022 |
150.442 |
16,900 |
1,036 |
(8,504 |
) |
0 |
(7,468 |
) | |||||||||||||||||||||||||||||||
CBK |
Netflix, Inc. |
5.000 |
Quarterly |
12/20/2026 |
2.377 |
5,000 |
892 |
(365 |
) |
527 |
0 |
|||||||||||||||||||||||||||||||
DUB |
South Africa Government International Bond |
1.000 |
Quarterly |
12/20/2026 |
3.013 |
300 |
(13 |
) |
(11 |
) |
0 |
(24 |
) | |||||||||||||||||||||||||||||
GST |
Netflix, Inc. |
5.000 |
Quarterly |
12/20/2026 |
2.377 |
5,000 |
892 |
(365 |
) |
527 |
0 |
|||||||||||||||||||||||||||||||
Petrobras Global Finance BV |
1.000 |
Quarterly |
12/20/2024 |
2.319 |
2,400 |
(476 |
) |
403 |
0 |
(73 |
) | |||||||||||||||||||||||||||||||
South Africa Government International Bond |
1.000 |
Quarterly |
12/20/2026 |
3.013 |
300 |
(13 |
) |
(11 |
) |
0 |
(24 |
) | ||||||||||||||||||||||||||||||
HUS |
Petrobras Global Finance BV |
1.000 |
Quarterly |
12/20/2024 |
2.319 |
3,000 |
(623 |
) |
532 |
0 |
(91 |
) | ||||||||||||||||||||||||||||||
JPM |
Banca Monte Dei Paschi Di |
5.000 |
Quarterly |
06/20/2025 |
6.560 |
EUR |
300 |
(6 |
) |
(6 |
) |
0 |
(12 |
) | ||||||||||||||||||||||||||||
MYC |
South Africa Government International Bond |
1.000 |
Quarterly |
12/20/2026 |
3.013 |
$ |
16,900 |
(755 |
) |
(581 |
) |
0 |
(1,336 |
) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ |
422 |
$ |
(8,690 |
) |
$ |
1,054 |
$ |
(9,322 |
) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
48 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Counterparty |
Index/Tranches |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||
BRC |
ABX.HE.AAA.6-2 Index |
0.110 |
% |
Monthly |
05/25/2046 |
$ |
24,384 |
$ |
(6,008 |
) |
$ |
6,092 |
$ |
84 |
$ |
0 |
||||||||||||||||||
GST |
ABX.HE.AA.6-1 Index |
0.320 |
Monthly |
07/25/2045 |
9,207 |
(437 |
) |
(189 |
) |
0 |
(626 |
) | ||||||||||||||||||||||
ABX.HE.AAA.6-2 Index |
0.110 |
Monthly |
05/25/2046 |
2,063 |
(506 |
) |
513 |
7 |
0 |
|||||||||||||||||||||||||
MEI |
ABX.HE.AAA.6-2 Index |
0.110 |
Monthly |
05/25/2046 |
28,422 |
(6,967 |
) |
7,065 |
98 |
0 |
||||||||||||||||||||||||
MYC |
ABX.HE.AAA.6-2 Index |
0.110 |
Monthly |
05/25/2046 |
30,941 |
(4,988 |
) |
5,095 |
107 |
0 |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ |
(18,906 |
) |
$ |
18,576 |
$ |
296 |
$ |
(626 |
) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Counterparty |
Pay/Receive (5) |
Underlying Reference |
# of Units |
Financing Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||
BOA |
Receive |
iBoxx USD Liquid High Yield Index |
N/A |
1.044% |
Maturity |
03/20/2023 |
$ |
1,000 |
$ |
(1 |
) |
$ |
(6 |
) |
$ |
0 |
$ |
(7 |
) | |||||||||||||||||
BPS |
Receive |
iBoxx USD Liquid High Yield Index |
N/A |
1.044% |
Maturity |
09/20/2022 |
2,000 |
(2 |
) |
(59 |
) |
0 |
(61 |
) | ||||||||||||||||||||||
MYC |
Receive |
iBoxx USD Liquid High Yield Index |
N/A |
1.044% |
Maturity |
09/20/2022 |
2,100 |
(3 |
) |
(11 |
) |
0 |
(14 |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ |
(6 |
) |
$ |
(76 |
) |
$ |
0 |
$ |
(82 |
) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ |
(18,490 |
) |
$ |
9,810 |
$ |
1,350 |
$ |
(10,030 |
) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||||||||||||||
Counterparty |
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral Pledged/ (Received) |
Net Exposure (6) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ |
1,118 |
$ |
0 |
$ |
0 |
$ |
1,118 |
$ |
(275 |
) |
$ |
0 |
$ |
(7 |
) |
$ |
(282 |
) |
$ |
836 |
$ |
(840 |
) |
$ |
(4 |
) | |||||||||||||||||||||
BPS |
692 |
0 |
0 |
692 |
(874 |
) |
0 |
(116 |
) |
(990 |
) |
(298 |
) |
355 |
57 |
|||||||||||||||||||||||||||||||||
BRC |
0 |
0 |
84 |
84 |
(23 |
) |
0 |
(7,707 |
) |
(7,730 |
) |
(7,646 |
) |
7,066 |
(580 |
) | ||||||||||||||||||||||||||||||||
CBK |
92 |
0 |
527 |
619 |
(2,006 |
) |
0 |
0 |
(2,006 |
) |
(1,387 |
) |
1,480 |
93 |
||||||||||||||||||||||||||||||||||
DUB |
183 |
0 |
0 |
183 |
0 |
0 |
(24 |
) |
(24 |
) |
159 |
(80 |
) |
79 |
||||||||||||||||||||||||||||||||||
GLM |
475 |
0 |
0 |
475 |
(60 |
) |
0 |
0 |
(60 |
) |
415 |
(230 |
) |
185 |
||||||||||||||||||||||||||||||||||
GST |
0 |
0 |
534 |
534 |
0 |
0 |
(723 |
) |
(723 |
) |
(189 |
) |
280 |
91 |
||||||||||||||||||||||||||||||||||
HUS |
70 |
0 |
0 |
70 |
(388 |
) |
0 |
(91 |
) |
(479 |
) |
(409 |
) |
282 |
(127 |
) | ||||||||||||||||||||||||||||||||
JPM |
0 |
0 |
0 |
0 |
(12 |
) |
0 |
(12 |
) |
(24 |
) |
(24 |
) |
0 |
(24 |
) | ||||||||||||||||||||||||||||||||
MBC |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
321 |
321 |
|||||||||||||||||||||||||||||||||||||
MEI |
0 |
0 |
98 |
98 |
0 |
0 |
0 |
0 |
98 |
(320 |
) |
(222 |
) | |||||||||||||||||||||||||||||||||||
MYC |
0 |
0 |
107 |
107 |
0 |
0 |
(1,350 |
) |
(1,350 |
) |
(1,243 |
) |
1,190 |
(53 |
) | |||||||||||||||||||||||||||||||||
MYI |
9 |
0 |
0 |
9 |
(20 |
) |
0 |
0 |
(20 |
) |
(11 |
) |
0 |
(11 |
) | |||||||||||||||||||||||||||||||||
RBC |
20 |
0 |
0 |
20 |
(2 |
) |
0 |
0 |
(2 |
) |
18 |
0 |
18 |
|||||||||||||||||||||||||||||||||||
SCX |
5 |
0 |
0 |
5 |
(48 |
) |
0 |
0 |
(48 |
) |
(43 |
) |
0 |
(43 |
) | |||||||||||||||||||||||||||||||||
SOG |
4,617 |
0 |
0 |
4,617 |
(9 |
) |
0 |
0 |
(9 |
) |
4,608 |
(5,200 |
) |
(592 |
) | |||||||||||||||||||||||||||||||||
TOR |
309 |
0 |
0 |
309 |
(302 |
) |
0 |
0 |
(302 |
) |
7 |
0 |
7 |
|||||||||||||||||||||||||||||||||||
UAG |
455 |
0 |
0 |
455 |
(405 |
) |
0 |
0 |
(405 |
) |
50 |
0 |
50 |
|||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
8,045 |
$ |
0 |
$ |
1,350 |
$ |
9,395 |
$ |
(4,424 |
) |
$ |
0 |
$ |
(10,030 |
) |
$ |
(14,454 |
) |
|||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(p) |
Securities with an aggregate market value of $11,293 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2022. |
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 49 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
(6) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
8 |
$ |
0 |
$ |
0 |
$ |
9,214 |
$ |
9,222 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
8,045 |
$ |
0 |
$ |
8,045 |
||||||||||||
Swap Agreements |
0 |
1,350 |
0 |
0 |
0 |
1,350 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
1,350 |
$ |
0 |
$ |
8,045 |
$ |
0 |
$ |
9,395 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
1,358 |
$ |
0 |
$ |
8,045 |
$ |
9,214 |
$ |
18,617 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
827 |
$ |
0 |
$ |
0 |
$ |
10,264 |
$ |
11,091 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
4,424 |
$ |
0 |
$ |
4,424 |
||||||||||||
Swap Agreements |
0 |
9,948 |
0 |
0 |
82 |
10,030 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
9,948 |
$ |
0 |
$ |
4,424 |
$ |
82 |
$ |
14,454 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
10,775 |
$ |
0 |
$ |
4,424 |
$ |
10,346 |
$ |
25,545 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
4,262 |
$ |
0 |
$ |
0 |
$ |
58,363 |
$ |
62,625 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
29,712 |
$ |
0 |
$ |
29,712 |
||||||||||||
Written Options |
0 |
287 |
0 |
0 |
0 |
287 |
||||||||||||||||||
Swap Agreements |
0 |
(2,655 |
) |
0 |
0 |
1,479 |
(1,176 |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(2,368 |
) |
$ |
0 |
$ |
29,712 |
$ |
1,479 |
$ |
28,823 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
1,894 |
$ |
0 |
$ |
29,712 |
$ |
59,842 |
$ |
91,448 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
(8,755 |
) |
$ |
0 |
$ |
0 |
$ |
(41,312 |
) |
$ |
(50,067 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
5,937 |
$ |
0 |
$ |
5,937 |
||||||||||||
Written Options |
0 |
(180 |
) |
0 |
0 |
0 |
(180 |
) | ||||||||||||||||
Swap Agreements |
0 |
(5,586 |
) |
0 |
0 |
(2,107 |
) |
(7,693 |
) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(5,766 |
) |
$ |
0 |
$ |
5,937 |
$ |
(2,107 |
) |
$ |
(1,936 |
) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(14,521 |
) |
$ |
0 |
$ |
5,937 |
$ |
(43,419 |
) |
$ |
(52,003 |
) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
50 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ |
0 |
$ |
456,625 |
$ |
130,842 |
$ |
587,467 |
||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 |
216,473 |
0 |
216,473 |
||||||||||||
Industrials |
0 |
523,078 |
78,440 |
601,518 |
||||||||||||
Utilities |
0 |
144,683 |
0 |
144,683 |
||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Industrials |
0 |
4,000 |
0 |
4,000 |
||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
California |
0 |
2,865 |
0 |
2,865 |
||||||||||||
Illinois |
0 |
14,125 |
0 |
14,125 |
||||||||||||
Puerto Rico |
0 |
12,602 |
0 |
12,602 |
||||||||||||
Virginia |
0 |
549 |
0 |
549 |
||||||||||||
West Virginia |
0 |
6,375 |
0 |
6,375 |
||||||||||||
U.S. Government Agencies |
0 |
19,470 |
8,421 |
27,891 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
130,151 |
0 |
130,151 |
||||||||||||
Asset-Backed Securities |
0 |
137,620 |
15,427 |
153,047 |
||||||||||||
Sovereign Issues |
0 |
36,870 |
0 |
36,870 |
||||||||||||
Common Stocks |
| |||||||||||||||
Communication Services |
3,420 |
0 |
1,516 |
4,936 |
||||||||||||
Energy |
1,272 |
0 |
90 |
1,362 |
||||||||||||
Financials |
525 |
0 |
12,865 |
13,390 |
||||||||||||
Industrials |
0 |
0 |
30,965 |
30,965 |
||||||||||||
Materials |
0 |
0 |
95 |
95 |
||||||||||||
Rights |
| |||||||||||||||
Financials |
0 |
0 |
231 |
231 |
||||||||||||
Warrants |
| |||||||||||||||
Financials |
0 |
0 |
244 |
244 |
||||||||||||
Industrials |
0 |
0 |
812 |
812 |
||||||||||||
Information Technology |
0 |
0 |
25,189 |
25,189 |
||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance |
0 |
35,097 |
0 |
35,097 |
||||||||||||
Industrials |
0 |
1,182 |
54,575 |
55,757 |
||||||||||||
Real Estate Investment Trusts |
| |||||||||||||||
Real Estate |
31,248 |
0 |
0 |
31,248 |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Loan Participations and Assignments |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements |
0 |
92,959 |
0 |
92,959 |
||||||||||||
Argentina Treasury Bills |
0 |
695 |
0 |
695 |
||||||||||||
U.S. Treasury Bills |
0 |
28,304 |
0 |
28,304 |
||||||||||||
U.S. Treasury Cash Management Bills |
0 |
2,594 |
0 |
2,594 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
36,465 |
$ |
1,866,317 |
$ |
359,712 |
$ |
2,262,494 |
|||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ |
36,465 |
$ |
1,866,317 |
$ |
359,712 |
$ |
2,262,494 |
||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Sales, at Value - Liabilities |
| |||||||||||||||
Loan Participations and Assignments |
$ |
0 |
$ |
(382 |
) |
$ |
0 |
$ |
(382 |
) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
9,222 |
0 |
9,222 |
||||||||||||
Over the counter |
0 |
9,395 |
0 |
9,395 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
18,617 |
$ |
0 |
$ |
18,617 |
|||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
(11,091 |
) |
0 |
(11,091 |
) | ||||||||||
Over the counter |
0 |
(14,454 |
) |
0 |
(14,454 |
) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
(25,545 |
) |
$ |
0 |
$ |
(25,545 |
) | |||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financial Derivative Instruments |
$ |
0 |
$ |
(6,928 |
) |
$ |
0 |
$ |
(6,928 |
) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ |
36,465 |
$ |
1,859,007 |
$ |
359,712 |
$ |
2,255,184 |
||||||||
|
|
|
|
|
|
|
|
Category and Subcategory |
Beginning Balance at 07/31/2021 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2022 (1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
72,137 |
$ |
109,470 |
$ |
(26,502 |
) |
$ |
1,398 |
$ |
705 |
$ |
(35,934 |
) |
$ |
11,929 |
$ |
(2,361 |
) |
$ |
130,842 |
$ |
(36,206 |
) | ||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
1,999 |
63,966 |
(2,153 |
) |
0 |
(210 |
) |
(5,638 |
) |
20,476 |
0 |
78,440 |
(5,625 |
) | ||||||||||||||||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
930 |
0 |
(876 |
) |
0 |
0 |
(54 |
) |
0 |
0 |
0 |
0 |
||||||||||||||||||||||||||||
U.S. Government Agencies |
8,566 |
0 |
(191 |
) |
28 |
63 |
(45 |
) |
0 |
0 |
8,421 |
0 |
||||||||||||||||||||||||||||
Asset-Backed Securities |
19,447 |
0 |
0 |
161 |
0 |
(3,176 |
) |
0 |
(1,005 |
) |
15,427 |
(2,955 |
) | |||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Communication Services |
4,967 |
0 |
0 |
0 |
0 |
(3,451 |
) |
0 |
0 |
1,516 |
(3,451 |
) | ||||||||||||||||||||||||||||
Energy |
90 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
90 |
0 |
||||||||||||||||||||||||||||||
Financials |
58 |
31,412 |
(74 |
) |
0 |
0 |
(18,531 |
) |
0 |
0 |
12,865 |
(18,547 |
) | |||||||||||||||||||||||||||
Industrials |
16,777 |
4,575 |
0 |
0 |
0 |
9,579 |
34 |
0 |
30,965 |
9,581 |
||||||||||||||||||||||||||||||
Materials (2) |
2,913 |
0 |
(2,833 |
) |
0 |
220 |
(205 |
) |
0 |
0 |
95 |
95 |
||||||||||||||||||||||||||||
Rights |
| |||||||||||||||||||||||||||||||||||||||
Financials |
0 |
0 |
0 |
0 |
0 |
231 |
0 |
0 |
231 |
231 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 51 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
June 30, 2022 |
Category and Subcategory |
Beginning Balance at 07/31/2021 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2022 (1) |
||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Financials |
$ |
24 |
$ |
10,172 |
$ |
0 |
$ |
0 |
$ |
(9 |
) |
$ |
(9,943 |
) |
$ |
0 |
$ |
0 |
$ |
244 |
$ |
(9,920 |
) | |||||||||||||||||
Industrials |
854 |
0 |
0 |
0 |
0 |
(42 |
) |
0 |
0 |
812 |
(42 |
) | ||||||||||||||||||||||||||||
Information Technology |
26,360 |
0 |
0 |
0 |
0 |
(1,171 |
) |
0 |
0 |
25,189 |
(1,171 |
) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
46,632 |
0 |
0 |
0 |
0 |
7,943 |
0 |
0 |
54,575 |
7,943 |
||||||||||||||||||||||||||||||
Real Estate |
0 |
74 |
0 |
0 |
0 |
(74 |
) |
0 |
0 |
0 |
(74 |
) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ |
201,754 |
$ |
219,669 |
$ |
(32,629 |
) |
$ |
1,587 |
$ |
769 |
$ |
(60,511 |
) |
$ |
32,439 |
$ |
(3,366 |
) |
$ |
359,712 |
$ |
(60,141 |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Category and Subcategory |
Ending Balance at 06/30/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||
Loan Participations and Assignments |
$ |
26,765 |
Discounted Cash Flow |
Discount Rate |
6.215 |
— |
||||||||||||||
8,804 |
Reference Instrument |
Yield |
6.366 |
— |
||||||||||||||||
28,473 |
Proxy Pricing |
Base Price |
65.125 |
— |
||||||||||||||||
66,800 |
Third Party Vendor |
Broker Quote |
62.500-98.875 |
89.266 |
||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||
Industrials |
58,342 |
Discounted Cash Flow |
Discount Rate |
12.080 |
— |
|||||||||||||||
20,098 |
Reference Instrument |
Weighted Average |
BRL |
42.864 |
— |
|||||||||||||||
U.S. Government Agencies |
8,421 |
Discounted Cash Flow |
Discount Rate |
12.000 |
— |
|||||||||||||||
Asset-Backed Securities |
13,179 |
Discounted Cash Flow |
Discount Rate |
7.500-20.000 |
16.723 |
|||||||||||||||
2,248 |
Proxy Pricing |
Base Price |
16.120-8,200.000 |
4,707.451 |
||||||||||||||||
Common Stocks |
| |||||||||||||||||||
Communication Services |
1,516 |
Reference Instrument |
Liquidity Discount |
10.000 |
— |
|||||||||||||||
Energy |
90 |
Other Valuation Techniques (3) |
— |
— |
— |
|||||||||||||||
Financials |
12,865 |
Indicative Market Quotation |
EBITDA Multiple |
X |
7.000 |
— |
||||||||||||||
Industrials |
26,357 |
Discounted Cash Flow |
Discount Rate |
9.500-17.100 |
9.500 |
|||||||||||||||
33 |
Other Valuation Techniques (3) |
— |
— |
— |
||||||||||||||||
4,575 |
Reference Instrument |
Purchase Price |
$ |
0.980 |
— |
|||||||||||||||
Materials |
95 |
Comparable Companies |
EBITDA Multiple |
X |
0.977 |
— |
||||||||||||||
Rights |
| |||||||||||||||||||
Financials |
231 |
Other Valuation Techniques (3) |
— |
— |
— |
|||||||||||||||
Warrants |
| |||||||||||||||||||
Financials |
4 |
Indicative Market Quotation |
EBITDA Multiple |
X |
7.000 |
— |
||||||||||||||
240 |
Other Valuation Techniques (3) |
— |
— |
— |
||||||||||||||||
Industrials |
812 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
||||||||||||||
Information Technology |
25,189 |
Comparable Companies/ Discounted Cash Flow |
EBITDA Multiple |
X |
3.875 |
— |
||||||||||||||
Preferred Securities |
| |||||||||||||||||||
Industrials |
5,154 |
Comparable Companies/ Discounted Cash Flow |
Book Value Multiple/ Discount Rate |
X/% |
0.260/21.660 |
— |
||||||||||||||
49,421 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
|||||||||||||||
|
|
|||||||||||||||||||
Total |
$ |
359,712 |
||||||||||||||||||
|
|
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) |
Sector type updated from Financials to Materials since prior fiscal year end. |
(3) |
Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
52 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
June 30, 2022 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 150.9% |
| |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 31.2% |
| |||||||||||
AAdvantage Loyalty IP Ltd. |
| |||||||||||
5.813% (LIBOR03M + 4.750%) due 04/20/2028 ~ |
$ |
2,300 |
$ |
2,203 |
||||||||
AmSurg Corp. |
| |||||||||||
13.000% due 04/30/2028 « |
16,447 |
15,295 |
||||||||||
AP Core Holdings LLC |
| |||||||||||
7.166% (LIBOR01M + 5.500%) due 09/01/2027 ~ |
8,742 |
8,256 |
||||||||||
Caesars Resort Collection LLC |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 12/23/2024 ~ |
13,651 |
13,179 |
||||||||||
Carnival Corp. |
| |||||||||||
3.750% - 3.975% (EUR003M + 3.750%) due 06/30/2025 ~ |
EUR |
2,181 |
2,119 |
|||||||||
6.127% (LIBOR06M + 3.250%) due 10/18/2028 «~ |
$ |
943 |
849 |
|||||||||
Cengage Learning, Inc. |
| |||||||||||
5.750% (LIBOR03M + 4.750%) due 07/14/2026 ~ |
1,289 |
1,167 |
||||||||||
Clear Channel Outdoor Holdings, Inc. |
| |||||||||||
4.739% (LIBOR03M + 3.500%) due 08/21/2026 ~ |
4,949 |
4,261 |
||||||||||
Coty, Inc. |
| |||||||||||
3.410% (LIBOR01M + 2.250%) due 04/07/2025 ~ |
1,174 |
1,122 |
||||||||||
Diamond Sports Group LLC |
| |||||||||||
9.181% due 05/26/2026 |
5,300 |
5,234 |
||||||||||
Envision Healthcare Corp. |
| |||||||||||
TBD% due 04/30/2027 µ |
1,262 |
1,246 |
||||||||||
8.875% due 04/30/2027 |
6,938 |
6,852 |
||||||||||
Fly Funding SARL |
| |||||||||||
7.012% - 7.611% (LIBOR03M + 6.000%) due 10/08/2025 «~ |
284 |
280 |
||||||||||
Forbes Energy Services LLC (7.000% PIK) |
| |||||||||||
7.000% due 09/30/2022 «(b) |
164 |
0 |
||||||||||
Frontier Communications Corp. |
| |||||||||||
5.150% - 6.063% (LIBOR03M + 3.750%) due 05/01/2028 ~ |
1,424 |
1,338 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
| |||||||||||
9.590% (LIBOR03M + 8.000%) due 10/15/2027 ~ |
5,766 |
5,697 |
||||||||||
9.590% due 10/18/2027 « |
CAD |
1,259 |
967 |
|||||||||
Ineos Finance PLC |
| |||||||||||
2.500% (EUR003M + 2.000%) due 04/01/2024 ~ |
EUR |
2,672 |
2,680 |
|||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
4.920% due 02/01/2029 |
$ |
3,569 |
3,274 |
|||||||||
Lealand Finance Co. BV |
| |||||||||||
4.666% (LIBOR01M + 3.000%) due 06/28/2024 «~ |
75 |
47 |
||||||||||
Lealand Finance Co. BV (2.666% Cash and 3.000% PIK) |
| |||||||||||
5.666% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) |
358 |
184 |
||||||||||
McAfee LLC |
| |||||||||||
5.145% due 03/01/2029 |
3,700 |
3,366 |
||||||||||
MPH Acquisition Holdings LLC |
| |||||||||||
5.825% (LIBOR03M + 4.250%) due 09/01/2028 ~ |
5,856 |
5,413 |
||||||||||
Promotora de Informaciones SA |
| |||||||||||
5.250% (EUR003M + 5.250%) due 12/31/2026 ~ |
EUR |
8,300 |
7,807 |
|||||||||
9.000% (EUR003M + 8.000%) due 06/30/2027 ~ |
2,675 |
2,541 |
||||||||||
PUG LLC |
| |||||||||||
5.166% (LIBOR01M + 3.500%) due 02/12/2027 ~ |
$ |
4,625 |
4,237 |
|||||||||
Redstone Holdco 2 LP |
| |||||||||||
5.934% (LIBOR03M + 4.750%) due 04/27/2028 ~ |
2,184 |
1,893 |
||||||||||
Rising Tide Holdings, Inc. |
| |||||||||||
6.416% (LIBOR01M + 4.750%) due 06/01/2028 ~ |
990 |
868 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Sasol Ltd. |
| |||||||||||
0.560% - 3.345% (LIBOR03M + 1.600%) due 11/23/2022 «~µ |
$ |
3,348 |
$ |
3,316 |
||||||||
SkyMiles IP Ltd. |
| |||||||||||
4.813% (LIBOR03M + 3.750%) due 10/20/2027 ~ |
2,400 |
2,383 |
||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) |
| |||||||||||
10.750% (EUR003M) due 12/29/2022 «~(b) |
EUR |
11,887 |
7,661 |
|||||||||
Syniverse Holdings, Inc. |
| |||||||||||
8.286% due 05/13/2027 |
$ |
10,729 |
9,468 |
|||||||||
Team Health Holdings, Inc. |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 02/06/2024 ~ |
12,051 |
10,766 |
||||||||||
TransDigm, Inc. |
| |||||||||||
3.916% (LIBOR01M + 2.250%) due 08/22/2024 ~ |
2,024 |
1,954 |
||||||||||
3.916% (LIBOR01M + 2.250%) due 05/30/2025 ~ |
2,024 |
1,928 |
||||||||||
3.916% (LIBOR01M + 2.250%) due 12/09/2025 ~ |
2,024 |
1,927 |
||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
6.688% (LIBOR01M + 5.000%) due 06/26/2026 ~ |
9,792 |
6,743 |
||||||||||
United Airlines, Inc. |
| |||||||||||
5.150% - 5.392% (LIBOR01M + 3.750%) due 04/21/2028 ~ |
4,747 |
4,419 |
||||||||||
Univision Communications, Inc. |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 03/15/2024 ~ |
1,383 |
1,360 |
||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) |
| |||||||||||
15.000% due 03/15/2029 (b) |
4,408 |
2,645 |
||||||||||
Windstream Services LLC |
| |||||||||||
7.916% (LIBOR01M + 6.250%) due 09/21/2027 ~ |
2,436 |
2,290 |
||||||||||
|
|
|||||||||||
Total Loan Participations and Assignments (Cost $182,350) |
159,235 |
|||||||||||
|
|
|||||||||||
CORPORATE BONDS & NOTES 60.5% |
| |||||||||||
BANKING & FINANCE 12.6% |
| |||||||||||
Ally Financial, Inc. |
| |||||||||||
8.000% due 11/01/2031 (k) |
927 |
1,015 |
||||||||||
Apollo Commercial Real Estate Finance, Inc. |
| |||||||||||
4.625% due 06/15/2029 (k) |
3,900 |
2,911 |
||||||||||
Armor Holdco, Inc. |
| |||||||||||
8.500% due 11/15/2029 (k) |
1,500 |
1,242 |
||||||||||
Banca Monte dei Paschi di Siena SpA |
| |||||||||||
1.875% due 01/09/2026 (k) |
EUR |
1,000 |
878 |
|||||||||
2.625% due 04/28/2025 (k) |
7,669 |
7,140 |
||||||||||
3.625% due 09/24/2024 (k) |
1,714 |
1,662 |
||||||||||
5.375% due 01/18/2028 •(k) |
600 |
374 |
||||||||||
8.000% due 01/22/2030 •(k) |
3,600 |
2,416 |
||||||||||
8.500% due 09/10/2030 •(k) |
2,300 |
1,596 |
||||||||||
10.500% due 07/23/2029 (k) |
863 |
633 |
||||||||||
Banco de Credito del Peru SA |
| |||||||||||
4.650% due 09/17/2024 |
PEN |
700 |
169 |
|||||||||
Barclays PLC |
| |||||||||||
5.875% due 09/15/2024 •(g)(h)(k) |
GBP |
1,400 |
1,579 |
|||||||||
BOI Finance BV |
| |||||||||||
7.500% due 02/16/2027 (k) |
EUR |
2,600 |
2,207 |
|||||||||
Corsair International Ltd. |
| |||||||||||
4.850% due 01/28/2027 • |
1,000 |
989 |
||||||||||
Cosaint Re Pte. Ltd. |
| |||||||||||
10.948% (T-BILL 1MO + 9.250%) due 04/03/2028 ~ |
$ |
700 |
688 |
|||||||||
Credit Agricole SA |
| |||||||||||
7.875% due 01/23/2024 •(g)(h)(k) |
200 |
198 |
||||||||||
Credit Suisse Group AG |
| |||||||||||
7.500% due 07/17/2023 •(g)(h)(k) |
200 |
185 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
GSPA Monetization Trust |
| |||||||||||
6.422% due 10/09/2029 |
$ |
2,784 |
$ |
2,772 |
||||||||
Hestia Re Ltd. |
| |||||||||||
9.500% (T-BILL 3MO + 9.500%) due 04/22/2025 ~ |
704 |
699 |
||||||||||
HSBC Holdings PLC |
| |||||||||||
6.000% due 09/29/2023 •(g)(h)(k) |
EUR |
2,100 |
2,182 |
|||||||||
Lloyds Banking Group PLC |
| |||||||||||
4.947% due 06/27/2025 •(g)(h)(k) |
1,542 |
1,521 |
||||||||||
7.500% due 06/27/2024 •(g)(h)(k) |
$ |
2,800 |
2,721 |
|||||||||
Natwest Group PLC |
| |||||||||||
8.000% due 08/10/2025 •(g)(h)(k) |
6,390 |
6,339 |
||||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
5.500% due 02/15/2024 |
6 |
6 |
||||||||||
Sanders Re Ltd. |
| |||||||||||
11.750% (T-BILL 3MO + 11.750%) due 04/09/2029 ~ |
1,207 |
1,208 |
||||||||||
Societe Generale SA |
| |||||||||||
7.375% due 10/04/2023 •(g)(h)(k) |
600 |
578 |
||||||||||
Unique Pub Finance Co. PLC |
| |||||||||||
5.659% due 06/30/2027 |
GBP |
444 |
571 |
|||||||||
Uniti Group LP |
| |||||||||||
4.750% due 04/15/2028 (k) |
$ |
2,200 |
1,814 |
|||||||||
6.000% due 01/15/2030 (k) |
7,121 |
4,936 |
||||||||||
VICI Properties LP |
| |||||||||||
3.875% due 02/15/2029 (k) |
5,800 |
5,000 |
||||||||||
5.750% due 02/01/2027 (k) |
700 |
666 |
||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
8.500% due 05/09/2026 (k) |
7,150 |
6,399 |
||||||||||
Yosemite Re Ltd. |
| |||||||||||
11.389% (T-BILL 3MO + 9.750%) due 06/06/2025 ~ |
660 |
661 |
||||||||||
|
|
|||||||||||
63,955 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 39.0% |
| |||||||||||
AA Bond Co. Ltd. |
| |||||||||||
5.500% due 07/31/2050 (k) |
GBP |
2,332 |
2,775 |
|||||||||
Altice Financing SA |
| |||||||||||
5.750% due 08/15/2029 (k) |
$ |
1,925 |
1,550 |
|||||||||
Altice France Holding SA |
| |||||||||||
10.500% due 05/15/2027 (k) |
4,500 |
3,785 |
||||||||||
American Airlines, Inc. |
| |||||||||||
5.500% due 04/20/2026 (k) |
1,400 |
1,291 |
||||||||||
5.750% due 04/20/2029 (k) |
100 |
86 |
||||||||||
Arches Buyer, Inc. |
| |||||||||||
4.250% due 06/01/2028 (k) |
1,300 |
1,062 |
||||||||||
Boeing Co. |
| |||||||||||
5.705% due 05/01/2040 (k) |
736 |
688 |
||||||||||
5.805% due 05/01/2050 (k) |
958 |
882 |
||||||||||
5.930% due 05/01/2060 (k) |
884 |
807 |
||||||||||
6.125% due 02/15/2033 (k) |
1,447 |
1,459 |
||||||||||
Bombardier, Inc. |
| |||||||||||
7.500% due 03/15/2025 (k) |
4,106 |
3,722 |
||||||||||
Broadcom, Inc. |
| |||||||||||
3.187% due 11/15/2036 (k) |
65 |
49 |
||||||||||
4.150% due 11/15/2030 (k) |
203 |
186 |
||||||||||
4.926% due 05/15/2037 (k) |
273 |
245 |
||||||||||
Carvana Co. |
| |||||||||||
10.250% due 05/01/2030 (k) |
2,200 |
1,811 |
||||||||||
CDW LLC |
| |||||||||||
3.569% due 12/01/2031 (k) |
800 |
662 |
||||||||||
CGG SA |
| |||||||||||
7.750% due 04/01/2027 (k) |
EUR |
2,250 |
2,016 |
|||||||||
8.750% due 04/01/2027 (k) |
$ |
6,964 |
5,934 |
|||||||||
Charter Communications Operating LLC |
| |||||||||||
3.700% due 04/01/2051 (k) |
4,400 |
2,986 |
||||||||||
3.850% due 04/01/2061 (k) |
400 |
264 |
||||||||||
4.400% due 12/01/2061 (k) |
1,000 |
721 |
||||||||||
CommScope, Inc. |
| |||||||||||
8.250% due 03/01/2027 (k) |
6,130 |
4,861 |
||||||||||
Community Health Systems, Inc. |
| |||||||||||
8.000% due 03/15/2026 (k) |
753 |
688 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 53 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Condor Merger Sub, Inc. |
| |||||||||||
7.375% due 02/15/2030 (k) |
$ |
1,400 |
$ |
1,142 |
||||||||
Coty, Inc. |
| |||||||||||
3.875% due 04/15/2026 (k) |
EUR |
5,400 |
5,021 |
|||||||||
4.750% due 01/15/2029 (k) |
$ |
2,200 |
1,893 |
|||||||||
CVS Pass-Through Trust |
| |||||||||||
7.507% due 01/10/2032 (k) |
609 |
664 |
||||||||||
DISH DBS Corp. |
| |||||||||||
5.250% due 12/01/2026 (k) |
1,560 |
1,226 |
||||||||||
5.750% due 12/01/2028 (k) |
4,680 |
3,474 |
||||||||||
Exela Intermediate LLC |
| |||||||||||
11.500% due 07/15/2026 |
85 |
28 |
||||||||||
Ferroglobe PLC |
| |||||||||||
9.375% due 12/31/2025 (i)(k) |
1,550 |
1,565 |
||||||||||
First Quantum Minerals Ltd. |
| |||||||||||
6.500% due 03/01/2024 (k) |
1,214 |
1,168 |
||||||||||
FMG Resources Pty. Ltd. |
| |||||||||||
6.125% due 04/15/2032 (k) |
1,100 |
992 |
||||||||||
Ford Motor Co. |
| |||||||||||
7.700% due 05/15/2097 (k) |
7,315 |
7,565 |
||||||||||
Fresh Market, Inc. |
| |||||||||||
9.750% due 05/01/2023 |
5,650 |
5,650 |
||||||||||
Frontier Communications Holdings LLC |
| |||||||||||
6.000% due 01/15/2030 (k) |
1,480 |
1,143 |
||||||||||
HCA, Inc. |
| |||||||||||
7.500% due 11/15/2095 (k) |
1,200 |
1,229 |
||||||||||
HF Sinclair Corp. |
| |||||||||||
4.500% due 10/01/2030 (k) |
7,320 |
6,672 |
||||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
6.500% due 03/15/2030 (k) |
12,686 |
10,498 |
||||||||||
Inter Media & Communication SpA |
| |||||||||||
6.750% due 02/09/2027 (k) |
EUR |
2,600 |
2,438 |
|||||||||
Las Vegas Sands Corp. |
| |||||||||||
3.900% due 08/08/2029 (k) |
$ |
300 |
245 |
|||||||||
Market Bidco Finco PLC |
| |||||||||||
4.750% due 11/04/2027 (k) |
EUR |
700 |
585 |
|||||||||
Melco Resorts Finance Ltd. |
| |||||||||||
5.750% due 07/21/2028 (k) |
$ |
1,500 |
967 |
|||||||||
NCL Corp. Ltd. |
| |||||||||||
5.875% due 02/15/2027 (k) |
1,841 |
1,578 |
||||||||||
New Albertsons LP |
| |||||||||||
6.570% due 02/23/2028 |
5,600 |
5,495 |
||||||||||
Nissan Motor Co. Ltd. |
| |||||||||||
4.810% due 09/17/2030 (k) |
11,300 |
10,050 |
||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) |
| |||||||||||
11.000% due 02/15/2028 (b) |
47 |
51 |
||||||||||
Norfolk Southern Corp. |
| |||||||||||
4.100% due 05/15/2121 (k) |
600 |
453 |
||||||||||
Odebrecht Oil & Gas Finance Ltd. |
| |||||||||||
0.000% due 08/01/2022 (e)(g) |
753 |
3 |
||||||||||
Olympus Water U.S. Holding Corp. |
| |||||||||||
5.375% due 10/01/2029 (k) |
EUR |
2,400 |
1,816 |
|||||||||
Oracle Corp. |
| |||||||||||
4.100% due 03/25/2061 (i)(k) |
$ |
200 |
142 |
|||||||||
Petroleos Mexicanos |
| |||||||||||
2.750% due 04/21/2027 (k) |
EUR |
4,522 |
3,566 |
|||||||||
5.950% due 01/28/2031 (k) |
$ |
1,911 |
1,404 |
|||||||||
6.700% due 02/16/2032 (k) |
2,211 |
1,691 |
||||||||||
6.750% due 09/21/2047 (k) |
6,368 |
3,954 |
||||||||||
6.950% due 01/28/2060 (k) |
300 |
186 |
||||||||||
7.690% due 01/23/2050 (k) |
110 |
75 |
||||||||||
Prosus NV |
| |||||||||||
1.985% due 07/13/2033 |
EUR |
600 |
423 |
|||||||||
2.085% due 01/19/2030 (k) |
1,800 |
1,445 |
||||||||||
3.061% due 07/13/2031 (k) |
$ |
1,400 |
1,032 |
|||||||||
3.680% due 01/21/2030 (k) |
1,900 |
1,515 |
||||||||||
4.027% due 08/03/2050 (k) |
500 |
311 |
||||||||||
QVC, Inc. |
| |||||||||||
5.950% due 03/15/2043 (k) |
2,277 |
1,539 |
||||||||||
Rolls-Royce PLC |
| |||||||||||
4.625% due 02/16/2026 (k) |
EUR |
100 |
99 |
|||||||||
Royal Caribbean Cruises Ltd. |
| |||||||||||
10.875% due 06/01/2023 |
$ |
1,820 |
1,830 |
|||||||||
11.500% due 06/01/2025 |
517 |
532 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Russian Railways Via RZD Capital PLC |
| |||||||||||
7.487% due 03/25/2031 ^(c) |
GBP |
1,000 |
$ |
122 |
||||||||
Sands China Ltd. |
| |||||||||||
2.550% due 03/08/2027 (k) |
$ |
600 |
438 |
|||||||||
3.100% due 03/08/2029 |
500 |
355 |
||||||||||
3.250% due 08/08/2031 |
400 |
265 |
||||||||||
5.400% due 08/08/2028 (k) |
5,128 |
3,962 |
||||||||||
Schenck Process Holding GmbH |
| |||||||||||
6.875% due 06/15/2023 (k) |
EUR |
400 |
411 |
|||||||||
6.875% due 06/15/2023 |
350 |
360 |
||||||||||
Seagate HDD Cayman |
| |||||||||||
4.091% due 06/01/2029 (k) |
$ |
5,000 |
4,309 |
|||||||||
Times Square Hotel Trust |
| |||||||||||
8.528% due 08/01/2026 |
931 |
958 |
||||||||||
Topaz Solar Farms LLC |
| |||||||||||
4.875% due 09/30/2039 (k) |
2,082 |
1,806 |
||||||||||
5.750% due 09/30/2039 (k) |
8,581 |
7,804 |
||||||||||
Transocean Pontus Ltd. |
| |||||||||||
6.125% due 08/01/2025 (k) |
2,113 |
1,936 |
||||||||||
Transocean, Inc. |
| |||||||||||
7.250% due 11/01/2025 |
74 |
55 |
||||||||||
7.500% due 01/15/2026 |
26 |
19 |
||||||||||
8.000% due 02/01/2027 (k) |
117 |
79 |
||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
10.625% due 07/15/2027 |
59 |
22 |
||||||||||
United Group BV |
| |||||||||||
4.875% due 07/01/2024 (k) |
EUR |
100 |
96 |
|||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) |
| |||||||||||
8.250% due 04/30/2028 (b)(k) |
$ |
2,015 |
1,958 |
|||||||||
Vale SA |
| |||||||||||
0.000% due 12/29/2049 «~(g) |
BRL |
90,000 |
7,235 |
|||||||||
Veritas U.S., Inc. |
| |||||||||||
7.500% due 09/01/2025 (k) |
$ |
930 |
700 |
|||||||||
Viking Cruises Ltd. |
| |||||||||||
13.000% due 05/15/2025 (k) |
3,697 |
3,794 |
||||||||||
VOC Escrow Ltd. |
| |||||||||||
5.000% due 02/15/2028 (k) |
4,200 |
3,380 |
||||||||||
Wesco Aircraft Holdings, Inc. |
| |||||||||||
9.000% due 11/15/2026 |
2,966 |
1,733 |
||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) |
| |||||||||||
10.500% due 11/15/2026 «(b)(k) |
18,980 |
18,013 |
||||||||||
Windstream Escrow LLC |
| |||||||||||
7.750% due 08/15/2028 (k) |
7,181 |
5,801 |
||||||||||
Wynn Macau Ltd. |
| |||||||||||
5.125% due 12/15/2029 |
200 |
124 |
||||||||||
5.625% due 08/26/2028 (k) |
2,200 |
1,361 |
||||||||||
|
|
|||||||||||
198,981 |
||||||||||||
|
|
|||||||||||
UTILITIES 8.9% |
| |||||||||||
DTEK Finance PLC (3.500% Cash and 3.500% PIK) |
| |||||||||||
7.000% due 12/31/2027 (b) |
3,657 |
880 |
||||||||||
Eskom Holdings SOC Ltd. |
| |||||||||||
7.125% due 02/11/2025 (k) |
2,770 |
2,343 |
||||||||||
8.450% due 08/10/2028 (k) |
1,300 |
1,058 |
||||||||||
Genesis Energy LP |
| |||||||||||
8.000% due 01/15/2027 (k) |
1,463 |
1,299 |
||||||||||
Mountain States Telephone & Telegraph Co. |
| |||||||||||
7.375% due 05/01/2030 |
3,600 |
3,634 |
||||||||||
NGD Holdings BV |
| |||||||||||
6.750% due 12/31/2026 (k) |
377 |
168 |
||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
| |||||||||||
7.350% due 12/01/2026 ^(b)(k) |
199 |
123 |
||||||||||
Odebrecht Offshore Drilling Finance Ltd. |
| |||||||||||
6.720% due 12/01/2022 ^(k) |
147 |
141 |
||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
| |||||||||||
7.720% due 12/01/2026 ^(b) |
5,464 |
1,366 |
||||||||||
Oi SA (10.000% Cash or 12.000% PIK) |
| |||||||||||
10.000% due 07/27/2025 (b)(k) |
11,200 |
5,499 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Pacific Gas & Electric Co. |
| |||||||||||
3.450% due 07/01/2025 (k) |
$ |
217 |
$ |
204 |
||||||||
3.750% due 08/15/2042 |
22 |
15 |
||||||||||
4.000% due 12/01/2046 |
7 |
5 |
||||||||||
4.200% due 03/01/2029 (k) |
1,500 |
1,340 |
||||||||||
4.250% due 03/15/2046 (k) |
1,700 |
1,245 |
||||||||||
4.300% due 03/15/2045 (k) |
27 |
20 |
||||||||||
4.450% due 04/15/2042 (k) |
213 |
160 |
||||||||||
4.500% due 07/01/2040 (k) |
2,303 |
1,788 |
||||||||||
4.500% due 12/15/2041 (k) |
275 |
203 |
||||||||||
4.550% due 07/01/2030 (k) |
3,722 |
3,311 |
||||||||||
4.600% due 06/15/2043 (k) |
118 |
90 |
||||||||||
4.750% due 02/15/2044 (k) |
3,754 |
2,884 |
||||||||||
4.950% due 07/01/2050 (k) |
3,358 |
2,686 |
||||||||||
Peru LNG SRL |
| |||||||||||
5.375% due 03/22/2030 (k) |
5,540 |
4,488 |
||||||||||
Petrobras Global Finance BV |
| |||||||||||
6.625% due 01/16/2034 (k) |
GBP |
100 |
112 |
|||||||||
PG&E Wildfire Recovery Funding LLC |
| |||||||||||
4.263% due 06/01/2038 (k) |
$ |
390 |
393 |
|||||||||
4.377% due 06/01/2041 (k) |
430 |
425 |
||||||||||
4.451% due 12/01/2049 (k) |
2,300 |
2,323 |
||||||||||
4.674% due 12/01/2053 (k) |
500 |
501 |
||||||||||
Rio Oil Finance Trust |
| |||||||||||
8.200% due 04/06/2028 (k) |
224 |
233 |
||||||||||
9.250% due 07/06/2024 (k) |
1,471 |
1,525 |
||||||||||
9.750% due 01/06/2027 (k) |
126 |
135 |
||||||||||
9.750% due 01/06/2027 |
152 |
162 |
||||||||||
Transocean Phoenix 2 Ltd. |
| |||||||||||
7.750% due 10/15/2024 (k) |
287 |
273 |
||||||||||
Transocean Poseidon Ltd. |
| |||||||||||
6.875% due 02/01/2027 (k) |
4,697 |
4,139 |
||||||||||
|
|
|||||||||||
45,171 |
||||||||||||
|
|
|||||||||||
Total Corporate Bonds & Notes (Cost $371,064) |
308,107 |
|||||||||||
|
|
|||||||||||
CONVERTIBLE BONDS & NOTES 0.5% |
| |||||||||||
INDUSTRIALS 0.5% |
| |||||||||||
DISH Network Corp. |
| |||||||||||
3.375% due 08/15/2026 |
3,400 |
2,305 |
||||||||||
|
|
|||||||||||
Total Convertible Bonds & Notes (Cost $3,400) |
2,305 |
|||||||||||
|
|
|||||||||||
MUNICIPAL BONDS & NOTES 3.8% |
| |||||||||||
CALIFORNIA 0.1% |
| |||||||||||
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021 |
| |||||||||||
3.000% due 06/01/2046 |
530 |
466 |
||||||||||
|
|
|||||||||||
ILLINOIS 2.5% |
| |||||||||||
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 |
| |||||||||||
7.517% due 01/01/2040 (k) |
11,200 |
12,882 |
||||||||||
Chicago, Illinois General Obligation Bonds, Series 2017 |
| |||||||||||
7.045% due 01/01/2029 |
85 |
90 |
||||||||||
Illinois State General Obligation Bonds, (BABs), Series 2010 |
| |||||||||||
7.350% due 07/01/2035 |
20 |
22 |
||||||||||
|
|
|||||||||||
12,994 |
||||||||||||
|
|
|||||||||||
PUERTO RICO 0.4% |
| |||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 |
| |||||||||||
0.000% due 11/01/2043 (e) |
1,294 |
646 |
||||||||||
Commonwealth of Puerto Rico General Obligation Bonds, Series 2021 |
| |||||||||||
0.000% due 07/01/2033 (e) |
334 |
188 |
||||||||||
4.000% due 07/01/2033 |
259 |
238 |
||||||||||
4.000% due 07/01/2035 |
233 |
209 |
||||||||||
4.000% due 07/01/2037 |
200 |
177 |
||||||||||
4.000% due 07/01/2041 |
198 |
172 |
54 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Commonwealth of Puerto Rico General Obligation Notes, Series 2021 |
| |||||||||||
0.000% due 07/01/2024 (e) |
$ |
133 |
$ |
122 |
||||||||
5.250% due 07/01/2023 |
290 |
295 |
||||||||||
|
|
|||||||||||
2,047 |
||||||||||||
|
|
|||||||||||
VIRGINIA 0.1% |
| |||||||||||
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
| |||||||||||
6.706% due 06/01/2046 |
330 |
307 |
||||||||||
|
|
|||||||||||
WEST VIRGINIA 0.7% |
| |||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
0.000% due 06/01/2047 (e) |
44,400 |
3,597 |
||||||||||
|
|
|||||||||||
Total Municipal Bonds & Notes (Cost $18,655) |
19,411 |
|||||||||||
|
|
|||||||||||
U.S. GOVERNMENT AGENCIES 2.5% |
| |||||||||||
Fannie Mae |
| |||||||||||
3.000% due 02/25/2043 - 06/25/2050 (a)(k) |
16,367 |
2,635 |
||||||||||
7.374% due 07/25/2029 • |
1,150 |
1,230 |
||||||||||
Freddie Mac |
| |||||||||||
3.500% due 05/25/2050 (a)(k) |
1,907 |
390 |
||||||||||
5.992% due 11/25/2055 «~ |
7,756 |
4,747 |
||||||||||
9.174% due 12/25/2027 • |
3,261 |
3,193 |
||||||||||
12.374% due 03/25/2025 • |
380 |
383 |
||||||||||
|
|
|||||||||||
Total U.S. Government Agencies (Cost $17,473) |
12,578 |
|||||||||||
|
|
|||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 10.2% |
| |||||||||||
Banc of America Funding Trust |
| |||||||||||
6.000% due 07/25/2037 ^ |
174 |
149 |
||||||||||
Banc of America Mortgage Trust |
| |||||||||||
6.000% due 03/25/2037 ^ |
135 |
117 |
||||||||||
BCAP LLC Trust |
| |||||||||||
2.917% due 03/27/2036 ~ |
1,476 |
1,124 |
||||||||||
3.071% due 08/28/2037 ~ |
2,261 |
2,236 |
||||||||||
4.737% due 03/26/2037 þ |
664 |
905 |
||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
2.124% due 01/25/2036 ^• |
544 |
734 |
||||||||||
2.771% due 11/25/2035 ^~ |
2,853 |
2,640 |
||||||||||
2.954% due 11/25/2036 ^~ |
2,594 |
1,465 |
||||||||||
3.127% due 09/25/2035 ^~ |
253 |
160 |
||||||||||
3.224% due 09/25/2047 ^~ |
3,952 |
2,289 |
||||||||||
3.497% due 08/25/2036 ^~ |
587 |
338 |
||||||||||
Bear Stearns Mortgage Funding Trust |
| |||||||||||
7.500% due 08/25/2036 þ |
145 |
145 |
||||||||||
CD Mortgage Trust |
| |||||||||||
5.688% due 10/15/2048 |
352 |
321 |
||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
2.954% due 12/25/2035 ^~ |
4 |
4 |
||||||||||
6.000% due 07/25/2037 ^ |
520 |
280 |
||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
2.943% due 04/25/2037 ^~ |
130 |
112 |
||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.673% due 12/10/2049 ~ |
580 |
99 |
||||||||||
Countrywide Alternative Loan Resecuritization Trust |
| |||||||||||
6.000% due 08/25/2037 ^~ |
737 |
477 |
||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
5.500% due 03/25/2035 |
202 |
105 |
||||||||||
5.750% due 01/25/2035 |
145 |
140 |
||||||||||
5.750% due 02/25/2035 |
203 |
157 |
||||||||||
5.750% due 03/25/2037 ^ |
412 |
263 |
||||||||||
6.000% due 02/25/2035 |
691 |
564 |
||||||||||
6.000% due 04/25/2036 |
711 |
387 |
||||||||||
6.000% due 02/25/2037 ^ |
3,972 |
1,793 |
||||||||||
6.000% due 04/25/2037 ^ |
733 |
398 |
||||||||||
6.250% (US0001M + 0.650%) due 12/25/2036 ^~ |
1,035 |
531 |
||||||||||
6.500% due 08/25/2036 ^ |
373 |
157 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
2.939% due 09/20/2036 ^~ |
$ |
146 |
$ |
132 |
||||||||
6.000% due 07/25/2037 |
1,093 |
573 |
||||||||||
Credit Suisse Mortgage Capital Certificates |
| |||||||||||
2.935% due 10/26/2036 ~ |
6,498 |
5,638 |
||||||||||
GS Mortgage Securities Corp. Trust |
| |||||||||||
4.744% due 10/10/2032 ~ |
4,600 |
4,410 |
||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
3.812% due 08/25/2034 ~ |
224 |
208 |
||||||||||
6.000% due 02/25/2036 ^ |
1,312 |
666 |
||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
2.092% due 01/19/2036 ^• |
550 |
515 |
||||||||||
3.913% due 06/19/2036 ^~ |
3,882 |
2,011 |
||||||||||
IndyMac IMSC Mortgage Loan Trust |
| |||||||||||
6.500% due 07/25/2037 ^ |
3,318 |
1,407 |
||||||||||
Jackson Park Trust |
| |||||||||||
3.350% due 10/14/2039 ~ |
1,772 |
1,329 |
||||||||||
Jefferies Resecuritization Trust |
| |||||||||||
6.000% due 05/26/2036 |
7,017 |
3,563 |
||||||||||
JP Morgan Alternative Loan Trust |
| |||||||||||
3.385% due 03/25/2037 ^~ |
781 |
780 |
||||||||||
6.000% due 12/25/2035 ^ |
829 |
655 |
||||||||||
JP Morgan Mortgage Trust |
| |||||||||||
2.811% due 02/25/2036 ^~ |
1,062 |
831 |
||||||||||
2.856% due 01/25/2037 ^~ |
246 |
209 |
||||||||||
2.976% due 04/25/2037 ~ |
3 |
3 |
||||||||||
Lehman Mortgage Trust |
| |||||||||||
6.000% due 07/25/2037 ^ |
47 |
43 |
||||||||||
Lehman XS Trust |
| |||||||||||
2.064% (US0001M + 0.440%) due 06/25/2047 ~ |
1,007 |
913 |
||||||||||
MASTR Alternative Loan Trust |
| |||||||||||
6.750% due 07/25/2036 |
1,453 |
631 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
2.606% due 03/25/2036 ^~ |
441 |
257 |
||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
2.084% due 05/25/2037 ^• |
84 |
72 |
||||||||||
3.537% due 12/26/2034 ^~ |
861 |
380 |
||||||||||
6.000% due 08/25/2036 ^ |
166 |
150 |
||||||||||
Residential Asset Securitization Trust |
| |||||||||||
6.000% due 11/25/2036 ^ |
2,379 |
1,041 |
||||||||||
6.250% due 09/25/2037 ^ |
2,411 |
1,145 |
||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
3.977% due 02/25/2037 ~ |
852 |
631 |
||||||||||
6.500% due 03/25/2032 |
86 |
83 |
||||||||||
Sequoia Mortgage Trust |
| |||||||||||
2.588% due 02/20/2047 ~ |
145 |
122 |
||||||||||
2.901% due 07/20/2037 ^~ |
270 |
231 |
||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
2.999% due 11/25/2036 ^~ |
1,155 |
1,018 |
||||||||||
3.074% due 07/25/2035 ^~ |
340 |
300 |
||||||||||
3.167% due 01/25/2036 ^~ |
1,278 |
850 |
||||||||||
SunTrust Adjustable Rate Mortgage Loan Trust |
| |||||||||||
2.279% due 04/25/2037 ^~ |
171 |
108 |
||||||||||
2.307% due 02/25/2037 ^~ |
117 |
104 |
||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
3.107% due 07/25/2037 ^~ |
236 |
226 |
||||||||||
3.125% due 02/25/2037 ^~ |
274 |
259 |
||||||||||
3.331% due 10/25/2036 ^~ |
1,113 |
1,024 |
||||||||||
3.368% due 07/25/2037 ^~ |
469 |
450 |
||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
1.316% due 05/25/2047 ^• |
57 |
7 |
||||||||||
6.000% due 10/25/2035 ^ |
1,026 |
757 |
||||||||||
|
|
|||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $60,830) |
51,822 |
|||||||||||
|
|
|||||||||||
ASSET-BACKED SECURITIES 13.4% |
| |||||||||||
ACE Securities Corp. Home Equity Loan Trust |
| |||||||||||
2.209% due 02/25/2036 • |
23,870 |
20,433 |
||||||||||
Adagio CLO DAC |
| |||||||||||
0.000% due 04/30/2031 ~ |
EUR |
1,800 |
705 |
|||||||||
Apidos CLO |
| |||||||||||
0.000% due 01/20/2031 ~ |
$ |
4,500 |
1,971 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Argent Securities Trust |
| |||||||||||
2.004% due 03/25/2036 • |
$ |
3,116 |
$ |
1,813 |
||||||||
Avoca CLO DAC |
| |||||||||||
0.000% due 04/15/2034 ~ |
EUR |
1,600 |
860 |
|||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
1.764% (US0001M + 0.140%) due 10/25/2036 ^~ |
$ |
2,015 |
2,815 |
|||||||||
6.500% due 10/25/2036 ^ |
337 |
197 |
||||||||||
Belle Haven ABS CDO Ltd. |
| |||||||||||
1.212% due 07/05/2046 • |
175,347 |
88 |
||||||||||
Carlyle U.S. CLO Ltd. |
| |||||||||||
0.000% due 07/20/2029 ~ |
1,895 |
731 |
||||||||||
CIFC Funding Ltd. |
| |||||||||||
0.000% due 04/24/2030 ~ |
2,300 |
693 |
||||||||||
0.010% due 10/22/2031 ~ |
1,500 |
398 |
||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
1.784% due 12/25/2036 • |
1,371 |
790 |
||||||||||
First Franklin Mortgage Loan Trust |
| |||||||||||
2.569% (US0001M + 0.945%) due 09/25/2035 ~ |
3,443 |
3,175 |
||||||||||
2.599% due 05/25/2036 • |
6,572 |
5,898 |
||||||||||
Flagship Credit Auto Trust |
| |||||||||||
0.000% due 05/15/2025 «(e) |
8 |
480 |
||||||||||
Grosvenor Place CLO BV |
| |||||||||||
0.000% due 04/30/2029 ~ |
EUR |
500 |
160 |
|||||||||
Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
1.784% due 07/25/2037 • |
$ |
8,104 |
4,890 |
|||||||||
JP Morgan Mortgage Acquisition Trust |
| |||||||||||
4.436% due 10/25/2030 ^þ |
3,678 |
2,270 |
||||||||||
Lehman XS Trust |
| |||||||||||
5.670% due 08/25/2035 ^þ |
23 |
24 |
||||||||||
LNR CDO Ltd. |
| |||||||||||
1.913% (US0001M + 0.280%) due 02/28/2043 ~ |
1,616 |
33 |
||||||||||
Marlette Funding Trust |
| |||||||||||
0.000% due 09/17/2029 «(e) |
7 |
554 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
1.944% (US0001M + 0.320%) due 04/25/2037 ~ |
389 |
232 |
||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
1.924% (US0001M + 0.300%) due 06/25/2036 ~ |
265 |
232 |
||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
6.250% due 02/25/2037 ^~ |
431 |
234 |
||||||||||
Park Place Securities, Inc. Asset-Backed Pass- Through Certificates |
| |||||||||||
3.394% due 10/25/2034 • |
573 |
562 |
||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
2.824% (US0001M + 0.800%) due 01/25/2035 ^~ |
2,096 |
1,962 |
||||||||||
SLM Student Loan EDC Repackaging Trust |
| |||||||||||
0.000% due 10/28/2029 «(e) |
3 |
2,836 |
||||||||||
SLM Student Loan Trust |
| |||||||||||
0.000% due 01/25/2042 «(e) |
4 |
1,437 |
||||||||||
SMB Private Education Loan Trust |
| |||||||||||
0.000% due 09/18/2046 «(e) |
1 |
601 |
||||||||||
0.000% due 10/15/2048 «(e) |
1 |
462 |
||||||||||
Sofi Professional Loan Program LLC |
| |||||||||||
0.000% due 05/25/2040 (e) |
4,300 |
576 |
||||||||||
0.000% due 07/25/2040 «(e) |
21 |
287 |
||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 09/25/2040 «(e) |
1,718 |
277 |
||||||||||
South Coast Funding Ltd. |
| |||||||||||
2.002% due 08/10/2038 • |
5,715 |
545 |
||||||||||
2.002% (US0003M + 0.600%) due 08/10/2038 ~ |
3,810 |
363 |
||||||||||
Symphony CLO Ltd. |
| |||||||||||
5.638% due 07/14/2026 • |
2,000 |
1,927 |
||||||||||
Taberna Preferred Funding Ltd. |
| |||||||||||
1.432% due 07/05/2035 • |
2,263 |
2,060 |
||||||||||
1.743% due 08/05/2036 • |
286 |
254 |
||||||||||
1.743% due 08/05/2036 ^• |
5,286 |
4,705 |
||||||||||
|
|
|||||||||||
Total Asset-Backed Securities (Cost $84,107) |
68,530 |
|||||||||||
|
|
|||||||||||
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
55 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
SOVEREIGN ISSUES 2.4% |
| |||||||||||
Argentina Government International Bond |
| |||||||||||
0.500% due 07/09/2030 þ |
$ |
3,343 |
$ |
709 |
||||||||
1.000% due 07/09/2029 |
669 |
158 |
||||||||||
1.125% due 07/09/2035 þ |
3,289 |
683 |
||||||||||
1.125% due 07/09/2046 þ |
115 |
27 |
||||||||||
2.000% due 01/09/2038 þ(k) |
10,995 |
3,216 |
||||||||||
2.500% due 07/09/2041 þ(k) |
5,955 |
1,548 |
||||||||||
15.500% due 10/17/2026 |
ARS |
53,560 |
63 |
|||||||||
47.331% (BADLARPP) due 10/04/2022 ~ |
58 |
0 |
||||||||||
Autonomous City of Buenos Aires |
| |||||||||||
52.234% (BADLARPP + 3.750%) due 02/22/2028 ~ |
22,091 |
79 |
||||||||||
53.715% (BADLARPP + 3.250%) due 03/29/2024 ~ |
90,469 |
335 |
||||||||||
Ghana Government International Bond |
| |||||||||||
6.375% due 02/11/2027 (k) |
$ |
600 |
346 |
|||||||||
7.875% due 02/11/2035 (k) |
600 |
283 |
||||||||||
8.750% due 03/11/2061 |
200 |
95 |
||||||||||
Ivory Coast Government International Bond |
| |||||||||||
4.875% due 01/30/2032 (k) |
EUR |
1,300 |
984 |
|||||||||
6.625% due 03/22/2048 (k) |
600 |
423 |
||||||||||
Provincia de Buenos Aires |
| |||||||||||
49.102% due 04/12/2025 (k) |
ARS |
136,652 |
459 |
|||||||||
49.102% due 04/12/2025 |
100 |
0 |
||||||||||
Republic of Greece Government International Bond |
| |||||||||||
2.000% due 04/22/2027 |
EUR |
314 |
319 |
|||||||||
3.900% due 01/30/2033 |
693 |
733 |
||||||||||
4.000% due 01/30/2037 |
543 |
601 |
||||||||||
4.200% due 01/30/2042 |
678 |
758 |
||||||||||
Russia Government International Bond |
| |||||||||||
1.125% due 11/20/2027 |
100 |
29 |
||||||||||
Ukraine Government International Bond |
| |||||||||||
4.375% due 01/27/2030 (k) |
1,054 |
276 |
||||||||||
Venezuela Government International Bond |
| |||||||||||
6.000% due 12/09/2049 |
$ |
240 |
19 |
|||||||||
8.250% due 10/13/2024 ^(c) |
28 |
2 |
||||||||||
9.250% due 09/15/2027 ^(c) |
308 |
27 |
||||||||||
|
|
|||||||||||
Total Sovereign Issues (Cost $23,142) |
12,172 |
|||||||||||
|
|
|||||||||||
SHARES |
||||||||||||
COMMON STOCKS 4.3% |
| |||||||||||
COMMUNICATION SERVICES 0.4% |
| |||||||||||
Clear Channel Outdoor Holdings, Inc. (d) |
531,903 |
569 |
||||||||||
iHeartMedia, Inc. ‘A’ (d) |
126,306 |
997 |
||||||||||
iHeartMedia, Inc. ‘B’ «(d) |
98,039 |
696 |
||||||||||
|
|
|||||||||||
2,262 |
||||||||||||
|
|
|||||||||||
ENERGY 0.1% |
| |||||||||||
Axis Energy Services ‘A’ «(d)(i) |
1,070 |
16 |
||||||||||
Noble Corp. (d)(i) |
21,573 |
547 |
||||||||||
Valaris Ltd. (d) |
1,224 |
51 |
||||||||||
|
|
|||||||||||
614 |
||||||||||||
|
|
|||||||||||
FINANCIALS 1.0% |
| |||||||||||
Intelsat SA «(d)(i) |
172,828 |
4,839 |
||||||||||
|
|
|||||||||||
SHARES |
MARKET VALUE (000S) |
|||||||||||
INDUSTRIALS 2.8% |
| |||||||||||
Neiman Marcus Group Ltd. LLC «(d)(i) |
73,491 |
$ |
12,703 |
|||||||||
Syniverse Holdings, Inc. «(d)(i) |
1,724,793 |
1,690 |
||||||||||
Voyager Aviation Holdings LLC (d) |
995 |
0 |
||||||||||
Westmoreland Mining Holdings «(d)(i) |
50,497 |
0 |
||||||||||
|
|
|||||||||||
14,393 |
||||||||||||
|
|
|||||||||||
MATERIALS 0.0% |
| |||||||||||
Associated Materials Group, Inc. «(d) |
114,060 |
27 |
||||||||||
|
|
|||||||||||
Total Common Stocks (Cost $26,037) |
22,135 |
|||||||||||
|
|
|||||||||||
RIGHTS 0.0% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Intelsat Jackson Holdings SA «(d) |
18,304 |
87 |
||||||||||
|
|
|||||||||||
Total Rights (Cost $0) |
87 |
|||||||||||
|
|
|||||||||||
WARRANTS 2.2% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « |
605 |
2 |
||||||||||
Intelsat Jackson Holdings SA - Exp. 12/05/2025 « |
18,079 |
90 |
||||||||||
|
|
|||||||||||
92 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 0.1% |
| |||||||||||
Sequa Corp. - Exp. 04/28/2024 « |
775,000 |
464 |
||||||||||
|
|
|||||||||||
INFORMATION TECHNOLOGY 2.1% |
| |||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « |
493,740 |
10,529 |
||||||||||
|
|
|||||||||||
Total Warrants (Cost $8,255) |
11,085 |
|||||||||||
|
|
|||||||||||
PREFERRED SECURITIES 10.1% |
| |||||||||||
BANKING & FINANCE 4.2% |
| |||||||||||
AGFC Capital Trust |
| |||||||||||
2.794% (US0003M + 1.750%) due 01/15/2067 ~(k) |
2,300,000 |
1,257 |
||||||||||
Brighthouse Holdings LLC |
| |||||||||||
6.500% due 07/27/2037 þ(g) |
70,000 |
63 |
||||||||||
Compeer Financial ACA |
| |||||||||||
4.875% due 08/15/2026 •(g)(k) |
1,600,000 |
1,418 |
||||||||||
Farm Credit Bank of Texas |
| |||||||||||
5.700% due 09/15/2025 •(g) |
1,000,000 |
955 |
||||||||||
Nationwide Building Society |
| |||||||||||
10.250% ~(g) |
34,150 |
6,090 |
||||||||||
Stichting AK Rabobank Certificaten |
| |||||||||||
6.500% due 12/29/2049 þ(g)(k) |
11,166,450 |
11,395 |
||||||||||
|
|
|||||||||||
21,178 |
||||||||||||
|
|
|||||||||||
SHARES |
MARKET VALUE (000S) |
|||||||||||
INDUSTRIALS 5.9% |
| |||||||||||
General Electric Co. |
| |||||||||||
5.159% (US0003M + 3.330%) due 09/15/2022 ~(g)(k) |
261,000 |
$ |
230 |
|||||||||
Sequa Corp. (15.000% PIK) |
| |||||||||||
15.000% «(b) |
24,889 |
28,239 |
||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
9.500% « |
5,971 |
1,805 |
||||||||||
|
|
|||||||||||
30,274 |
||||||||||||
|
|
|||||||||||
Total Preferred Securities (Cost $43,734) |
51,452 |
|||||||||||
|
|
|||||||||||
REAL ESTATE INVESTMENT TRUSTS 2.6% |
| |||||||||||
REAL ESTATE 2.6% |
| |||||||||||
CBL & Associates Properties, Inc. |
2,634 |
62 |
||||||||||
Uniti Group, Inc. |
239,397 |
2,255 |
||||||||||
VICI Properties, Inc. |
368,559 |
10,979 |
||||||||||
|
|
|||||||||||
Total Real Estate Investment Trusts (Cost $5,944) |
13,296 |
|||||||||||
|
|
|||||||||||
PRINCIPAL AMOUNT (000S) |
||||||||||||
SHORT-TERM INSTRUMENTS 7.2% |
| |||||||||||
REPURCHASE AGREEMENTS (j) 5.3% |
| |||||||||||
27,230 |
||||||||||||
|
|
|||||||||||
ARGENTINA TREASURY BILLS 0.1% |
| |||||||||||
51.049% due 09/30/2022 (e)(f) |
ARS |
79,100 |
265 |
|||||||||
|
|
|||||||||||
U.S. TREASURY BILLS 1.8% |
| |||||||||||
0.633% due 07/19/2022 (e)(f)(k) |
$ |
9,400 |
9,395 |
|||||||||
|
|
|||||||||||
Total Short-Term Instruments (Cost $36,992) |
36,890 |
|||||||||||
|
|
|||||||||||
Total Investments in Securities (Cost $881,983) |
769,105 |
|||||||||||
Total Investments 150.9% (Cost $881,983) |
|
$ |
769,105 |
|||||||||
Financial Derivative Instruments (l)(m) 0.1% (Cost or Premiums, net $5,166) |
758 |
|||||||||||
Auction Rate Preferred Shares (4.6)% |
(23,525 |
) | ||||||||||
Other Assets and Liabilities, net (46.4)% |
(236,796 |
) | ||||||||||
|
|
|||||||||||
Net Assets Applicable to Common Shareholders 100.0% |
|
$ |
509,542 |
|||||||||
|
|
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
56 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) |
Security is an Interest Only (“IO”) or IO Strip. |
(b) |
Payment in-kind security. |
(c) |
Security is not accruing income as of the date of this report. |
(d) |
Security did not produce income within the last twelve months. |
(e) |
Zero coupon security. |
(f) |
Coupon represents a yield to maturity. |
(g) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(h) |
Contingent convertible security. |
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||||||||||
Axis Energy Services ‘A’ |
07/01/2021 |
$ |
16 |
$ |
16 |
0.00 |
% | |||||||||||||||||
Ferroglobe PLC 9.375% due 12/31/2025 |
02/09/2017 |
1,550 |
1,565 |
0.31 |
||||||||||||||||||||
Intelsat SA |
06/19/2017 - 02/23/2022 |
12,540 |
4,839 |
0.95 |
||||||||||||||||||||
Neiman Marcus Group Ltd. LLC |
09/25/2020 |
2,408 |
12,703 |
2.49 |
||||||||||||||||||||
Noble Corp. |
02/05/2021 - 02/27/2021 |
273 |
547 |
0.11 |
||||||||||||||||||||
Oracle Corp. 4.100% due 03/25/2061 |
06/17/2021 - 08/12/2021 |
220 |
142 |
0.03 |
||||||||||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 |
1,690 |
1,690 |
0.33 |
||||||||||||||||||||
Westmoreland Mining Holdings |
12/08/2014 - 10/19/2016 |
1,455 |
0 |
0.00 |
||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
$ |
20,152 |
$ |
21,502 |
4.22% |
||||||||||||||||||||
|
|
|
|
|
|
Counterparty |
Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By |
Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||
FICC |
0.400 |
% |
06/30/2022 |
07/01/2022 |
$ |
1,030 |
U.S. Treasury Notes 3.000% due 06/30/2024 |
$ |
(1,051 |
) |
$ |
1,030 |
$ |
1,030 |
||||||||||||||||
NOM |
1.480 |
06/30/2022 |
07/01/2022 |
26,200 |
U.S. Treasury Bonds 4.375% due 05/15/2040 |
(26,825 |
) |
26,200 |
26,201 |
|||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ |
(27,876 |
) |
$ |
27,230 |
$ |
27,231 |
||||||||||||||||||||||
|
|
|
|
|
|
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BOS |
1.880 |
% |
06/10/2022 |
09/12/2022 |
$ |
(3,174 |
) |
$ |
(3,177 |
) | ||||||||||||
BPS |
(4.000 |
) |
05/04/2022 |
TBD |
(3) |
EUR |
(212 |
) |
(220 |
) | ||||||||||||
(0.300 |
) |
05/05/2022 |
08/04/2022 |
(2,611 |
) |
(2,734 |
) | |||||||||||||||
(0.300 |
) |
06/24/2022 |
07/25/2022 |
(556 |
) |
(583 |
) | |||||||||||||||
(0.240 |
) |
05/12/2022 |
08/10/2022 |
(2,046 |
) |
(2,143 |
) | |||||||||||||||
(0.120 |
) |
05/10/2022 |
08/09/2022 |
(213 |
) |
(224 |
) | |||||||||||||||
1.250 |
03/18/2022 |
09/16/2022 |
$ |
(3,874 |
) |
(3,888 |
) | |||||||||||||||
1.250 |
04/07/2022 |
09/16/2022 |
(400 |
) |
(402 |
) | ||||||||||||||||
1.420 |
03/23/2022 |
09/23/2022 |
(3,134 |
) |
(3,146 |
) | ||||||||||||||||
1.430 |
03/21/2022 |
09/22/2022 |
(3,352 |
) |
(3,365 |
) | ||||||||||||||||
1.430 |
04/25/2022 |
09/22/2022 |
(371 |
) |
(372 |
) | ||||||||||||||||
1.750 |
06/29/2022 |
10/27/2022 |
(774 |
) |
(774 |
) | ||||||||||||||||
1.820 |
06/06/2022 |
09/02/2022 |
(604 |
) |
(605 |
) | ||||||||||||||||
1.850 |
06/27/2022 |
07/26/2022 |
(1,799 |
) |
(1,799 |
) | ||||||||||||||||
1.930 |
05/13/2022 |
08/12/2022 |
(3,852 |
) |
(3,862 |
) | ||||||||||||||||
1.990 |
04/27/2022 |
10/27/2022 |
(2,200 |
) |
(2,208 |
) |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 57 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
2.000 |
% |
06/06/2022 |
09/02/2022 |
$ |
(5,621 |
) |
$ |
(5,629 |
) | |||||||||||||
2.380 |
06/23/2022 |
09/26/2022 |
(1,371 |
) |
(1,371 |
) | ||||||||||||||||
2.420 |
06/15/2022 |
09/15/2022 |
(3,850 |
) |
(3,854 |
) | ||||||||||||||||
BRC |
(3.000 |
) |
02/14/2022 |
TBD |
(3) |
EUR |
(1,067 |
) |
(1,110 |
) | ||||||||||||
(1.000 |
) |
02/18/2022 |
TBD |
(3) |
(176 |
) |
(184 |
) | ||||||||||||||
(0.320 |
) |
11/05/2021 |
TBD |
(3) |
(1,550 |
) |
(1,620 |
) | ||||||||||||||
1.950 |
05/13/2022 |
08/16/2022 |
$ |
(728 |
) |
(730 |
) | |||||||||||||||
1.950 |
06/17/2022 |
TBD |
(3) |
(4,079 |
) |
(4,083 |
) | |||||||||||||||
1.950 |
06/30/2022 |
TBD |
(3) |
(1,120 |
) |
(1,121 |
) | |||||||||||||||
1.950 |
07/01/2022 |
TBD |
(3) |
(871 |
) |
(871 |
) | |||||||||||||||
2.000 |
06/17/2022 |
TBD |
(3) |
(13,626 |
) |
(13,637 |
) | |||||||||||||||
2.070 |
06/17/2022 |
TBD |
(3) |
(8,907 |
) |
(8,915 |
) | |||||||||||||||
BYR |
2.110 |
05/10/2022 |
08/10/2022 |
(6,909 |
) |
(6,922 |
) | |||||||||||||||
2.110 |
05/12/2022 |
09/26/2022 |
(1,087 |
) |
(1,089 |
) | ||||||||||||||||
CDC |
0.530 |
01/13/2022 |
07/14/2022 |
(917 |
) |
(920 |
) | |||||||||||||||
0.530 |
04/18/2022 |
07/14/2022 |
(499 |
) |
(499 |
) | ||||||||||||||||
1.080 |
04/06/2022 |
07/06/2022 |
(1,257 |
) |
(1,260 |
) | ||||||||||||||||
1.080 |
04/07/2022 |
07/06/2022 |
(1,131 |
) |
(1,134 |
) | ||||||||||||||||
1.110 |
03/18/2022 |
09/14/2022 |
(1,116 |
) |
(1,119 |
) | ||||||||||||||||
1.150 |
03/07/2022 |
09/06/2022 |
(3,805 |
) |
(3,819 |
) | ||||||||||||||||
1.160 |
04/21/2022 |
07/22/2022 |
(1,316 |
) |
(1,319 |
) | ||||||||||||||||
1.230 |
04/14/2022 |
07/14/2022 |
(1,371 |
) |
(1,375 |
) | ||||||||||||||||
1.350 |
05/02/2022 |
08/02/2022 |
(6,876 |
) |
(6,891 |
) | ||||||||||||||||
1.400 |
03/21/2022 |
09/16/2022 |
(5,967 |
) |
(5,991 |
) | ||||||||||||||||
1.480 |
05/09/2022 |
08/09/2022 |
(287 |
) |
(288 |
) | ||||||||||||||||
1.590 |
04/01/2022 |
09/30/2022 |
(4,981 |
) |
(5,001 |
) | ||||||||||||||||
1.710 |
06/24/2022 |
10/11/2022 |
(1,459 |
) |
(1,459 |
) | ||||||||||||||||
1.740 |
06/07/2022 |
09/07/2022 |
(2,887 |
) |
(2,891 |
) | ||||||||||||||||
1.750 |
06/10/2022 |
09/12/2022 |
(1,408 |
) |
(1,409 |
) | ||||||||||||||||
1.940 |
06/10/2022 |
09/12/2022 |
(244 |
) |
(244 |
) | ||||||||||||||||
CEW |
(0.380 |
) |
04/19/2022 |
07/19/2022 |
EUR |
(3,733 |
) |
(3,909 |
) | |||||||||||||
1.370 |
05/25/2022 |
TBD |
(3) |
GBP |
(2,309 |
) |
(2,813 |
) | ||||||||||||||
CIB |
2.500 |
06/16/2022 |
09/16/2022 |
$ |
(2,586 |
) |
(2,589 |
) | ||||||||||||||
FBF |
(0.850 |
) |
06/01/2022 |
08/30/2022 |
EUR |
(2,070 |
) |
(2,168 |
) | |||||||||||||
(0.250 |
) |
06/17/2022 |
TBD |
(3) |
$ |
(1,472 |
) |
(1,472 |
) | |||||||||||||
IND |
1.010 |
04/27/2022 |
09/15/2022 |
(3,216 |
) |
(3,222 |
) | |||||||||||||||
1.050 |
04/06/2022 |
07/06/2022 |
(1,806 |
) |
(1,810 |
) | ||||||||||||||||
1.120 |
04/29/2022 |
09/15/2022 |
(1,786 |
) |
(1,789 |
) | ||||||||||||||||
1.770 |
06/09/2022 |
09/12/2022 |
(201 |
) |
(201 |
) | ||||||||||||||||
1.790 |
06/10/2022 |
09/13/2022 |
(1,526 |
) |
(1,528 |
) | ||||||||||||||||
2.260 |
06/24/2022 |
09/26/2022 |
(5,865 |
) |
(5,868 |
) | ||||||||||||||||
2.400 |
06/24/2022 |
09/26/2022 |
(2,670 |
) |
(2,671 |
) | ||||||||||||||||
JML |
(5.500 |
) |
05/11/2022 |
TBD |
(3) |
EUR |
(374 |
) |
(389 |
) | ||||||||||||
(4.000 |
) |
06/24/2022 |
TBD |
(3) |
(1,034 |
) |
(1,083 |
) | ||||||||||||||
(3.000 |
) |
05/19/2022 |
TBD |
(3) |
(147 |
) |
(153 |
) | ||||||||||||||
(3.000 |
) |
06/24/2022 |
TBD |
(3) |
(353 |
) |
(370 |
) | ||||||||||||||
(1.000 |
) |
02/18/2022 |
TBD |
(3) |
(468 |
) |
(488 |
) | ||||||||||||||
(0.650 |
) |
06/07/2022 |
TBD |
(3) |
(102 |
) |
(106 |
) | ||||||||||||||
(0.450 |
) |
06/24/2022 |
TBD |
(3) |
(6,224 |
) |
(6,522 |
) | ||||||||||||||
(0.400 |
) |
05/11/2022 |
08/17/2022 |
(1,974 |
) |
(2,067 |
) | |||||||||||||||
(0.400 |
) |
05/12/2022 |
08/12/2022 |
(1,345 |
) |
(1,409 |
) | |||||||||||||||
(0.350 |
) |
05/05/2022 |
08/04/2022 |
(1,773 |
) |
(1,857 |
) | |||||||||||||||
(0.350 |
) |
05/10/2022 |
08/09/2022 |
(1,888 |
) |
(1,978 |
) | |||||||||||||||
(0.350 |
) |
05/12/2022 |
08/12/2022 |
(10,124 |
) |
(10,604 |
) | |||||||||||||||
(0.200 |
) |
06/07/2022 |
09/05/2022 |
(464 |
) |
(486 |
) | |||||||||||||||
1.250 |
10/22/2021 |
TBD |
(3) |
GBP |
(1,310 |
) |
(1,599 |
) | ||||||||||||||
1.950 |
06/17/2022 |
07/29/2022 |
$ |
(328 |
) |
(328 |
) | |||||||||||||||
2.000 |
06/17/2022 |
07/29/2022 |
(4,229 |
) |
(4,232 |
) | ||||||||||||||||
MBC |
(0.450 |
) |
02/11/2022 |
TBD |
(3) |
EUR |
(641 |
) |
(670 |
) | ||||||||||||
MEI |
1.390 |
04/19/2022 |
07/20/2022 |
$ |
(1,487 |
) |
(1,491 |
) | ||||||||||||||
NOM |
1.000 |
03/28/2022 |
07/01/2022 |
(2,157 |
) |
(2,163 |
) | |||||||||||||||
1.000 |
03/29/2022 |
07/01/2022 |
(507 |
) |
(509 |
) | ||||||||||||||||
1.000 |
03/31/2022 |
07/05/2022 |
(5,916 |
) |
(5,931 |
) | ||||||||||||||||
1.900 |
06/17/2022 |
TBD |
(3) |
(271 |
) |
(271 |
) | |||||||||||||||
2.350 |
06/17/2022 |
TBD |
(3) |
(3,267 |
) |
(3,270 |
) | |||||||||||||||
2.700 |
06/24/2022 |
09/23/2022 |
(4,074 |
) |
(4,076 |
) | ||||||||||||||||
RDR |
1.400 |
06/06/2022 |
07/11/2022 |
(3,587 |
) |
(3,591 |
) | |||||||||||||||
2.420 |
06/24/2022 |
09/26/2022 |
(3,172 |
) |
(3,174 |
) | ||||||||||||||||
2.620 |
06/24/2022 |
09/26/2022 |
(206 |
) |
(207 |
) | ||||||||||||||||
SCX |
(0.390 |
) |
05/10/2022 |
08/09/2022 |
EUR |
(1,415 |
) |
(1,482 |
) | |||||||||||||
(0.200 |
) |
06/13/2022 |
09/08/2022 |
(1,341 |
) |
(1,406 |
) |
58 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
SOG |
0.670 |
% |
04/06/2022 |
07/06/2022 |
$ |
(6,256 |
) |
$ |
(6,266 |
) | ||||||||||||
0.670 |
04/06/2022 |
07/08/2022 |
(1,291 |
) |
(1,293 |
) | ||||||||||||||||
0.670 |
04/12/2022 |
07/08/2022 |
(2,517 |
) |
(2,521 |
) | ||||||||||||||||
0.670 |
04/14/2022 |
07/08/2022 |
(1,748 |
) |
(1,751 |
) | ||||||||||||||||
0.670 |
04/29/2022 |
07/06/2022 |
(635 |
) |
(636 |
) | ||||||||||||||||
1.290 |
06/03/2022 |
07/05/2022 |
(91 |
) |
(91 |
) | ||||||||||||||||
1.500 |
04/27/2022 |
08/01/2022 |
(3,027 |
) |
(3,035 |
) | ||||||||||||||||
1.670 |
05/09/2022 |
08/09/2022 |
(167 |
) |
(168 |
) | ||||||||||||||||
1.720 |
06/21/2022 |
08/12/2022 |
(953 |
) |
(953 |
) | ||||||||||||||||
1.750 |
03/29/2022 |
09/28/2022 |
(654 |
) |
(657 |
) | ||||||||||||||||
2.420 |
06/15/2022 |
09/15/2022 |
(6,612 |
) |
(6,619 |
) | ||||||||||||||||
2.520 |
06/21/2022 |
09/21/2022 |
(1,302 |
) |
(1,303 |
) | ||||||||||||||||
2.580 |
07/05/2022 |
10/06/2022 |
(84 |
) |
(84 |
) | ||||||||||||||||
TDM |
1.850 |
06/17/2022 |
TBD |
(3) |
(2,620 |
) |
(2,622 |
) | ||||||||||||||
UBS |
(0.190 |
) |
06/01/2022 |
08/30/2022 |
EUR |
(2,104 |
) |
(2,205 |
) | |||||||||||||
1.300 |
04/01/2022 |
07/01/2022 |
(2,871 |
) |
(2,880 |
) | ||||||||||||||||
1.300 |
06/15/2022 |
07/01/2022 |
(818 |
) |
(818 |
) | ||||||||||||||||
1.350 |
04/14/2022 |
07/14/2022 |
(9,539 |
) |
(9,567 |
) | ||||||||||||||||
1.500 |
05/27/2022 |
08/24/2022 |
GBP |
(92 |
) |
(112 |
) | |||||||||||||||
1.850 |
06/17/2022 |
TBD |
(3) |
$ |
(4,515 |
) |
(4,518 |
) | ||||||||||||||
1.900 |
06/17/2022 |
TBD |
(3) |
(3,852 |
) |
(3,855 |
) | |||||||||||||||
1.900 |
06/17/2022 |
TBD |
(3) |
(2,489 |
) |
(2,491 |
) | |||||||||||||||
1.900 |
07/01/2022 |
TBD |
(3) |
(1,886 |
) |
(1,886 |
) | |||||||||||||||
2.450 |
06/17/2022 |
09/19/2022 |
(1,646 |
) |
(1,648 |
) | ||||||||||||||||
2.700 |
06/27/2022 |
09/27/2022 |
(8,157 |
) |
(8,159 |
) | ||||||||||||||||
2.700 |
07/01/2022 |
10/03/2022 |
(3,010 |
) |
(3,010 |
) | ||||||||||||||||
|
|
|||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ |
(277,357 |
) | ||||||||||||||||||
|
|
Counterparty |
Repurchase Agreement Proceeds to be Received (1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure (4) |
||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BOS |
$ |
0 |
$ |
(3,177 |
) |
$ |
0 |
$ |
(3,177 |
) |
$ |
3,289 |
$ |
112 |
||||||||||
BPS |
0 |
(37,179 |
) |
0 |
(37,179 |
) |
41,937 |
4,758 |
||||||||||||||||
BRC |
0 |
(32,271 |
) |
0 |
(32,271 |
) |
36,067 |
3,796 |
||||||||||||||||
BYR |
0 |
(8,011 |
) |
0 |
(8,011 |
) |
8,958 |
947 |
||||||||||||||||
CDC |
0 |
(35,619 |
) |
0 |
(35,619 |
) |
38,431 |
2,812 |
||||||||||||||||
CEW |
0 |
(6,722 |
) |
0 |
(6,722 |
) |
6,706 |
(16 |
) | |||||||||||||||
CIB |
0 |
(2,589 |
) |
0 |
(2,589 |
) |
3,025 |
436 |
||||||||||||||||
FBF |
0 |
(3,640 |
) |
0 |
(3,640 |
) |
4,270 |
630 |
||||||||||||||||
FICC |
1,030 |
0 |
0 |
1,030 |
(1,051 |
) |
(21 |
) | ||||||||||||||||
IND |
0 |
(17,089 |
) |
0 |
(17,089 |
) |
18,624 |
1,535 |
||||||||||||||||
JML |
0 |
(33,671 |
) |
0 |
(33,671 |
) |
38,153 |
4,482 |
||||||||||||||||
MBC |
0 |
(670 |
) |
0 |
(670 |
) |
669 |
(1 |
) | |||||||||||||||
MEI |
0 |
(1,491 |
) |
0 |
(1,491 |
) |
1,628 |
137 |
||||||||||||||||
NOM |
26,201 |
(16,220 |
) |
0 |
9,981 |
(6,735 |
) |
3,246 |
||||||||||||||||
RDR |
0 |
(6,972 |
) |
0 |
(6,972 |
) |
7,436 |
464 |
||||||||||||||||
SCX |
0 |
(2,888 |
) |
0 |
(2,888 |
) |
3,112 |
224 |
||||||||||||||||
SOG |
0 |
(25,377 |
) |
0 |
(25,377 |
) |
28,871 |
3,494 |
||||||||||||||||
TDM |
0 |
(2,622 |
) |
0 |
(2,622 |
) |
2,720 |
98 |
||||||||||||||||
UBS |
0 |
(41,149 |
) |
0 |
(41,149 |
) |
41,279 |
130 |
||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
27,231 |
$ |
(277,357 |
) |
$ |
0 |
|||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
59 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ |
(6,370 |
) |
$ |
(46,610 |
) |
$ |
(122,831 |
) |
$ |
(61,672 |
) |
$ |
(237,483 |
) | |||||
Sovereign Issues |
0 |
(4,560 |
) |
(2,363 |
) |
(271 |
) |
(7,194 |
) | |||||||||||
U.S. Government Agencies |
0 |
0 |
(2,589 |
) |
0 |
(2,589 |
) | |||||||||||||
Preferred Securities |
0 |
(1,135 |
) |
(12,022 |
) |
0 |
(13,157 |
) | ||||||||||||
Asset-Backed Securities |
0 |
0 |
0 |
0 |
0 |
|||||||||||||||
Municipal Bonds & Notes |
0 |
0 |
0 |
(11,082 |
) |
(11,082 |
) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ |
(6,370 |
) |
$ |
(52,305 |
) |
$ |
(139,805 |
) |
$ |
(73,025 |
) |
$ |
(271,505 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements (5) |
|
$ |
(271,505 |
) | ||||||||||||||||
|
|
(k) |
Securities with an aggregate market value of $293,971 and cash of $11,296 have been pledged as collateral under the terms of the above master agreements as of June 30, 2022. |
(1) |
Includes accrued interest. |
(2) |
The average amount of borrowings outstanding during the period ended June 30, 2022 was $(332,563) at a weighted average interest rate of 0.474%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) |
Open maturity reverse repurchase agreement. |
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(5) |
Unsettled reverse repurchase agreements liability of $(5,852) is outstanding at period end. |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2022 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value (4) |
Variation Margin |
|||||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
% |
Quarterly |
06/20/2024 |
7.828 |
% |
$ |
3,600 |
$ |
(163 |
) |
$ |
(8 |
) |
$ |
(171 |
) |
$ |
5 |
$ |
0 |
|||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
06/20/2025 |
8.463 |
100 |
(8 |
) |
0 |
(8 |
) |
0 |
0 |
||||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
06/20/2027 |
9.229 |
3,100 |
(265 |
) |
(175 |
) |
(440 |
) |
0 |
(3 |
) | ||||||||||||||||||||||||||||||
Ford Motor Credit Co. LLC |
5.000 |
Quarterly |
06/20/2027 |
4.319 |
3,500 |
371 |
(270 |
) |
101 |
0 |
(11 |
) | ||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
Quarterly |
12/20/2026 |
9.833 |
EUR |
3,363 |
123 |
(668 |
) |
(545 |
) |
0 |
(63 |
) | ||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
06/20/2027 |
4.406 |
3,400 |
(298 |
) |
(213 |
) |
(511 |
) |
0 |
(32 |
) | ||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
12/20/2025 |
3.940 |
6,200 |
(677 |
) |
73 |
(604 |
) |
0 |
(53 |
) | |||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
06/20/2026 |
4.096 |
2,000 |
(149 |
) |
(80 |
) |
(229 |
) |
0 |
(19 |
) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ |
(1,066 |
) |
$ |
(1,341 |
) |
$ |
(2,407 |
) |
$ |
5 |
$ |
(181 |
) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
% |
Annual |
09/21/2032 |
GBP |
10,700 |
$ |
1,038 |
$ |
845 |
$ |
1,883 |
$ |
0 |
$ |
(195 |
) | ||||||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
3,000 |
635 |
519 |
1,154 |
0 |
(89 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day USD-Federal Funds Rate Compounded-OIS |
0.100 |
Annual |
01/13/2023 |
$ |
1,000 |
0 |
16 |
16 |
0 |
0 |
|||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 |
Semi-Annual |
12/19/2023 |
64,000 |
(594 |
) |
81 |
(513 |
) |
88 |
0 |
||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 |
Semi-Annual |
06/17/2025 |
75,590 |
4,664 |
(5,469 |
) |
(805 |
) |
267 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.250 |
Semi-Annual |
12/15/2026 |
56,800 |
(960 |
) |
5,245 |
4,285 |
0 |
(274 |
) | ||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 |
Semi-Annual |
12/20/2027 |
43,400 |
325 |
(1,588 |
) |
(1,263 |
) |
280 |
0 |
||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 |
Semi-Annual |
12/20/2027 |
1,500 |
0 |
0 |
0 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.370 |
Semi-Annual |
08/25/2028 |
16,898 |
0 |
1,532 |
1,532 |
0 |
(110 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.000 |
Semi-Annual |
06/19/2029 |
68,300 |
3,736 |
(3,969 |
) |
(233 |
) |
478 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.750 |
Semi-Annual |
06/16/2031 |
10,400 |
860 |
1,034 |
1,894 |
0 |
(69 |
) | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.750 |
Semi-Annual |
06/16/2031 |
46,800 |
3,315 |
5,249 |
8,564 |
0 |
(345 |
) | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.750 |
Semi-Annual |
12/15/2031 |
36,100 |
(572 |
) |
4,482 |
3,910 |
0 |
(262 |
) | ||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.500 |
Semi-Annual |
06/19/2044 |
169,400 |
(5,526 |
) |
17,516 |
11,990 |
2,806 |
0 |
|||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.000 |
Semi-Annual |
01/15/2050 |
8,300 |
(60 |
) |
1,562 |
1,502 |
0 |
(70 |
) |
60 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.750 |
% |
Semi-Annual |
01/22/2050 |
$ |
14,500 |
$ |
(33 |
) |
$ |
3,264 |
$ |
3,231 |
$ |
0 |
$ |
(221 |
) | |||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.875 |
Semi-Annual |
02/07/2050 |
15,100 |
(58 |
) |
3,059 |
3,001 |
0 |
(235 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 |
Semi-Annual |
03/12/2050 |
10,800 |
(33 |
) |
1,479 |
1,446 |
0 |
(95 |
) | ||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.000 |
Semi-Annual |
12/15/2051 |
10,900 |
798 |
(2,852 |
) |
(2,054 |
) |
90 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.700 |
Semi-Annual |
02/01/2052 |
152,900 |
(2,458 |
) |
38,562 |
36,104 |
0 |
(2,364 |
) | ||||||||||||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
3.500 |
Semi-Annual |
06/17/2025 |
AUD |
7,600 |
188 |
(239 |
) |
(51 |
) |
12 |
0 |
|||||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
0.150 |
Annual |
03/18/2030 |
EUR |
8,700 |
159 |
1,269 |
1,428 |
0 |
(136 |
) | ||||||||||||||||||||||||||||
Receive (5) |
6-Month EUR-EURIBOR |
0.250 |
Annual |
09/21/2032 |
6,200 |
583 |
611 |
1,194 |
0 |
(107 |
) | |||||||||||||||||||||||||||||
Receive (5) |
6-Month EUR-EURIBOR |
0.500 |
Annual |
09/21/2052 |
2,600 |
225 |
700 |
925 |
0 |
(67 |
) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ |
6,232 |
$ |
72,908 |
$ |
79,140 |
$ |
4,021 |
$ |
(4,639 |
) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ |
5,166 |
$ |
71,567 |
$ |
76,733 |
$ |
4,026 |
$ |
(4,820 |
) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Market Value |
Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Total |
Written Options |
Futures |
Swap Agreements |
Total |
|||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
4,026 |
$ |
4,026 |
$ |
0 |
$ |
0 |
$ |
(4,820) |
$ |
(4,820) |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
07/2022 |
GBP |
6,897 |
$ |
8,720 |
$ |
325 |
$ |
0 |
|||||||||||||||
07/2022 |
$ |
452 |
EUR |
428 |
0 |
(3 |
) | |||||||||||||||||
07/2022 |
650 |
GBP |
532 |
0 |
(2 |
) | ||||||||||||||||||
08/2022 |
377 |
PEN |
1,457 |
2 |
0 |
|||||||||||||||||||
02/2023 |
PEN |
1,457 |
$ |
371 |
0 |
(2 |
) | |||||||||||||||||
BPS |
07/2022 |
AUD |
122 |
85 |
0 |
0 |
||||||||||||||||||
07/2022 |
$ |
46,711 |
EUR |
44,410 |
0 |
(172 |
) | |||||||||||||||||
08/2022 |
EUR |
40,977 |
$ |
43,178 |
157 |
0 |
||||||||||||||||||
08/2022 |
GBP |
6,278 |
7,628 |
0 |
(18 |
) | ||||||||||||||||||
10/2022 |
$ |
2,515 |
PEN |
10,265 |
141 |
0 |
||||||||||||||||||
BRC |
07/2022 |
574 |
GBP |
467 |
0 |
(6 |
) | |||||||||||||||||
CBK |
07/2022 |
PEN |
202 |
$ |
51 |
0 |
(1 |
) | ||||||||||||||||
08/2022 |
1,457 |
360 |
0 |
(19 |
) | |||||||||||||||||||
10/2022 |
1,731 |
438 |
0 |
(9 |
) | |||||||||||||||||||
11/2022 |
3,404 |
858 |
0 |
(21 |
) | |||||||||||||||||||
12/2022 |
1,239 |
319 |
1 |
0 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 61 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
03/2023 |
PEN |
1,627 |
$ |
421 |
$ |
5 |
$ |
0 |
||||||||||||||||
HUS |
07/2022 |
AUD |
296 |
214 |
9 |
0 |
||||||||||||||||||
07/2022 |
EUR |
1,290 |
1,356 |
4 |
0 |
|||||||||||||||||||
07/2022 |
GBP |
380 |
467 |
5 |
0 |
|||||||||||||||||||
07/2022 |
$ |
288 |
AUD |
418 |
1 |
0 |
||||||||||||||||||
08/2022 |
AUD |
418 |
$ |
288 |
0 |
(1 |
) | |||||||||||||||||
08/2022 |
CAD |
271 |
211 |
1 |
0 |
|||||||||||||||||||
RBC |
08/2022 |
937 |
725 |
0 |
(4 |
) | ||||||||||||||||||
SOG |
07/2022 |
EUR |
43,213 |
46,446 |
1,161 |
0 |
||||||||||||||||||
UAG |
09/2022 |
$ |
90 |
MXN |
1,800 |
0 |
(2 |
) | ||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ |
1,812 |
$ |
(260 |
) | ||||||||||||||||||
|
|
|
|
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||||||||||||||
Counterparty |
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral Pledged/ (Received) |
Net Exposure (1) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ |
327 |
$ |
0 |
$ |
0 |
$ |
327 |
$ |
(7 |
) |
$ |
0 |
$ |
0 |
$ |
(7 |
) |
$ |
320 |
$ |
(300 |
) |
$ |
20 |
|||||||||||||||||||||||
BPS |
298 |
0 |
0 |
298 |
(190 |
) |
0 |
0 |
(190 |
) |
108 |
(270 |
) |
(162 |
) | |||||||||||||||||||||||||||||||||
BRC |
0 |
0 |
0 |
0 |
(6 |
) |
0 |
0 |
(6 |
) |
(6 |
) |
0 |
(6 |
) | |||||||||||||||||||||||||||||||||
CBK |
6 |
0 |
0 |
6 |
(50 |
) |
0 |
0 |
(50 |
) |
(44 |
) |
0 |
(44 |
) | |||||||||||||||||||||||||||||||||
HUS |
20 |
0 |
0 |
20 |
(1 |
) |
0 |
0 |
(1 |
) |
19 |
0 |
19 |
|||||||||||||||||||||||||||||||||||
RBC |
0 |
0 |
0 |
0 |
(4 |
) |
0 |
0 |
(4 |
) |
(4 |
) |
0 |
(4 |
) | |||||||||||||||||||||||||||||||||
SOG |
1,161 |
0 |
0 |
1,161 |
0 |
0 |
0 |
0 |
1,161 |
(1,320 |
) |
(159 |
) | |||||||||||||||||||||||||||||||||||
UAG |
0 |
0 |
0 |
0 |
(2 |
) |
0 |
0 |
(2 |
) |
(2 |
) |
0 |
(2 |
) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
1,812 |
$ |
0 |
$ |
0 |
$ |
1,812 |
$ |
(260 |
) |
$ |
0 |
$ |
0 |
$ |
(260 |
) |
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
5 |
$ |
0 |
$ |
0 |
$ |
4,021 |
$ |
4,026 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
1,812 |
$ |
0 |
$ |
1,812 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
5 |
$ |
0 |
$ |
1,812 |
$ |
4,021 |
$ |
5,838 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
181 |
$ |
0 |
$ |
0 |
$ |
4,639 |
$ |
4,820 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
260 |
$ |
0 |
$ |
260 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
181 |
$ |
0 |
$ |
260 |
$ |
4,639 |
$ |
5,080 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
62 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
817 |
$ |
0 |
$ |
0 |
$ |
31,501 |
$ |
32,318 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
8,558 |
$ |
0 |
$ |
8,558 |
||||||||||||
Swap Agreements |
0 |
0 |
0 |
0 |
304 |
304 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
0 |
$ |
0 |
$ |
8,558 |
$ |
304 |
$ |
8,862 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
817 |
$ |
0 |
$ |
8,558 |
$ |
31,805 |
$ |
41,180 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
(2,028 |
) |
$ |
0 |
$ |
0 |
$ |
(28,557 |
) |
$ |
(30,585 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
1,504 |
$ |
0 |
$ |
1,504 |
||||||||||||
Swap Agreements |
0 |
0 |
0 |
0 |
(307 |
) |
(307 |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
0 |
$ |
0 |
$ |
1,504 |
$ |
(307 |
) |
$ |
1,197 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(2,028 |
) |
$ |
0 |
$ |
1,504 |
$ |
(28,864 |
) |
$ |
(29,388 |
) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ |
0 |
$ |
130,820 |
$ |
28,415 |
$ |
159,235 |
||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 |
63,955 |
0 |
63,955 |
||||||||||||
Industrials |
0 |
173,733 |
25,248 |
198,981 |
||||||||||||
Utilities |
0 |
45,171 |
0 |
45,171 |
||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Industrials |
0 |
2,305 |
0 |
2,305 |
||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
California |
0 |
466 |
0 |
466 |
||||||||||||
Illinois |
0 |
12,994 |
0 |
12,994 |
||||||||||||
Puerto Rico |
0 |
2,047 |
0 |
2,047 |
||||||||||||
Virginia |
0 |
307 |
0 |
307 |
||||||||||||
West Virginia |
0 |
3,597 |
0 |
3,597 |
||||||||||||
U.S. Government Agencies |
0 |
7,831 |
4,747 |
12,578 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
51,822 |
0 |
51,822 |
||||||||||||
Asset-Backed Securities |
0 |
61,596 |
6,934 |
68,530 |
||||||||||||
Sovereign Issues |
0 |
12,172 |
0 |
12,172 |
||||||||||||
Common Stocks |
| |||||||||||||||
Communication Services |
1,566 |
0 |
696 |
2,262 |
||||||||||||
Energy |
598 |
0 |
16 |
614 |
||||||||||||
Financials |
0 |
0 |
4,839 |
4,839 |
||||||||||||
Industrials |
0 |
0 |
14,393 |
14,393 |
||||||||||||
Materials |
0 |
0 |
27 |
27 |
||||||||||||
Rights |
| |||||||||||||||
Financials |
0 |
0 |
87 |
87 |
||||||||||||
Warrants |
| |||||||||||||||
Financials |
0 |
0 |
92 |
92 |
||||||||||||
Industrials |
0 |
0 |
464 |
464 |
||||||||||||
Information Technology |
0 |
0 |
10,529 |
10,529 |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance |
$ |
0 |
$ |
21,178 |
$ |
0 |
$ |
21,178 |
||||||||
Industrials |
0 |
230 |
30,044 |
30,274 |
||||||||||||
Real Estate Investment Trusts |
| |||||||||||||||
Real Estate |
13,296 |
0 |
0 |
13,296 |
||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements |
0 |
27,230 |
0 |
27,230 |
||||||||||||
Argentina Treasury Bills |
0 |
265 |
0 |
265 |
||||||||||||
U.S. Treasury Bills |
0 |
9,395 |
0 |
9,395 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ |
15,460 |
$ |
627,114 |
$ |
126,531 |
$ |
769,105 |
||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
4,026 |
0 |
4,026 |
||||||||||||
Over the counter |
0 |
1,812 |
0 |
1,812 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
5,838 |
$ |
0 |
$ |
5,838 |
|||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
(4,820 |
) |
0 |
(4,820 |
) | ||||||||||
Over the counter |
0 |
(260 |
) |
0 |
(260 |
) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
(5,080 |
) |
$ |
0 |
$ |
(5,080 |
) | |||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financial Derivative Instruments |
$ |
0 |
$ |
758 |
$ |
0 |
$ |
758 |
||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ |
15,460 |
$ |
627,872 |
$ |
126,531 |
$ |
769,863 |
||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
63 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
June 30, 2022 |
Category and Subcategory |
Beginning Balance at 07/31/2021 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2022 (1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
11,556 |
$ |
36,275 |
$ |
(7,675 |
) |
$ |
633 |
$ |
180 |
$ |
(10,187 |
) |
$ |
279 |
$ |
(2,646 |
) |
$ |
28,415 |
$ |
(11,697 |
) | ||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
720 |
19,750 |
(810 |
) |
0 |
(41 |
) |
(1,742 |
) |
7,371 |
0 |
25,248 |
(1,737 |
) | ||||||||||||||||||||||||||
U.S. Government Agencies |
4,829 |
0 |
(108 |
) |
13 |
36 |
(23 |
) |
0 |
0 |
4,747 |
0 |
||||||||||||||||||||||||||||
Asset-Backed Securities |
8,980 |
0 |
0 |
90 |
0 |
(1,559 |
) |
0 |
(577 |
) |
6,934 |
(1,433 |
) | |||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Communication Services |
2,281 |
0 |
0 |
0 |
0 |
(1,585 |
) |
0 |
0 |
696 |
(1,585 |
) | ||||||||||||||||||||||||||||
Energy |
16 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |
0 |
||||||||||||||||||||||||||||||
Financials |
0 |
12,540 |
0 |
0 |
0 |
(7,701 |
) |
0 |
0 |
4,839 |
(7,701 |
) | ||||||||||||||||||||||||||||
Industrials |
8,086 |
1,689 |
0 |
0 |
0 |
4,618 |
0 |
0 |
14,393 |
4,617 |
||||||||||||||||||||||||||||||
Materials (2) |
807 |
0 |
(785 |
) |
0 |
62 |
(57 |
) |
0 |
0 |
27 |
26 |
||||||||||||||||||||||||||||
Rights |
| |||||||||||||||||||||||||||||||||||||||
Financials |
0 |
0 |
0 |
0 |
0 |
87 |
0 |
0 |
87 |
87 |
||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Financials |
0 |
4,204 |
0 |
0 |
(43 |
) |
(4,069 |
) |
0 |
0 |
92 |
(4,069 |
) | |||||||||||||||||||||||||||
Industrials |
488 |
0 |
0 |
0 |
0 |
(24 |
) |
0 |
0 |
464 |
(24 |
) | ||||||||||||||||||||||||||||
Information Technology |
11,018 |
0 |
0 |
0 |
0 |
(489 |
) |
0 |
0 |
10,529 |
(489 |
) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
25,489 |
0 |
0 |
0 |
0 |
4,555 |
0 |
0 |
30,044 |
4,556 |
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ |
74,270 |
$ |
74,458 |
$ |
(9,378 |
) |
$ |
736 |
$ |
194 |
$ |
(18,176 |
) |
$ |
7,650 |
$ |
(3,223 |
) |
$ |
126,531 |
$ |
(19,449 |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Category and Subcategory |
Ending Balance at 06/30/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||
Loan Participations and Assignments |
$ |
3,316 |
Reference Instrument |
Yield |
6.366 |
— |
||||||||||||||
7,661 |
Proxy Pricing |
Base Price |
65.125 |
— |
||||||||||||||||
17,438 |
Third Party Vendor |
Broker Quote |
62.500-98.875 |
93.186 |
||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||
Industrials |
18,013 |
Discounted Cash Flow |
Discount Rate |
12.080 |
— |
|||||||||||||||
7,235 |
Reference Instrument |
Weighted Average |
BRL |
42.864 |
— |
|||||||||||||||
U.S. Government Agencies |
4,747 |
Discounted Cash Flow |
Discount Rate |
12.000 |
— |
|||||||||||||||
Asset-Backed Securities |
5,816 |
Discounted Cash Flow |
Discount Rate |
7.500-20.000 |
16.942 |
|||||||||||||||
1,118 |
Proxy Pricing |
Base Price |
16.120-8,200.000 |
4,421.605 |
||||||||||||||||
Common Stocks |
| |||||||||||||||||||
Communication Services |
696 |
Reference Instrument |
Liquidity Discount |
10.000 |
— |
|||||||||||||||
Energy |
16 |
Other Valuation Techniques (3) |
— |
— |
— |
|||||||||||||||
Financials |
4,839 |
Indicative Market Quotation |
EBITDA Multiple |
X |
7.000 |
— |
||||||||||||||
Industrials |
12,703 |
Discounted Cash Flow |
Discount Rate |
9.500-17.100 |
9.500 |
|||||||||||||||
1,690 |
Reference Instrument |
Purchase Price |
$ |
0.980 |
— |
|||||||||||||||
Materials |
27 |
Comparable Companies |
EBITDA Multiple |
X |
0.977 |
— |
||||||||||||||
Rights |
||||||||||||||||||||
Financials |
87 |
Other Valuation Techniques (3) |
— |
— |
— |
|||||||||||||||
Warrants |
||||||||||||||||||||
Financials |
2 |
Indicative Market Quotation |
EBITDA Multiple |
X |
7.000 |
— |
||||||||||||||
90 |
Other Valuation Techniques (3) |
— |
— |
— |
||||||||||||||||
Industrials |
464 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
||||||||||||||
Information Technology |
10,529 |
Comparable Companies / Discounted Cash Flow |
EBITDA Multiple |
X |
3.875 |
— |
||||||||||||||
Preferred Securities |
| |||||||||||||||||||
Industrials |
28,239 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
||||||||||||||
1,805 |
Comparable Companies / Discounted Cash Flow |
Book Value Multiple / Discount Rate |
X/% |
0.260/21.660 |
— |
|||||||||||||||
|
|
|||||||||||||||||||
Total |
$ |
126,531 |
||||||||||||||||||
|
|
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) |
Sector type updated from Financials to Materials since prior fiscal year end. |
(3) |
Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
64 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Schedule of Investments |
PIMCO High Income Fund |
June 30, 2022 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 143.2% |
| |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 22.9% |
| |||||||||||
AmSurg Corp. |
| |||||||||||
13.000% due 04/30/2028 « |
$ |
20,345 |
$ |
18,921 |
||||||||
AP Core Holdings LLC |
| |||||||||||
7.166% (LIBOR01M + 5.500%) due 09/01/2027 ~ |
7,694 |
7,266 |
||||||||||
Caesars Resort Collection LLC |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 12/23/2024 ~ |
6,543 |
6,317 |
||||||||||
Carnival Corp. |
| |||||||||||
3.750% - 3.975% (EUR003M + 3.750%) due 06/30/2025 ~ |
EUR |
2,481 |
2,411 |
|||||||||
6.127% (LIBOR06M + 3.250%) due 10/18/2028 «~ |
$ |
1,221 |
1,099 |
|||||||||
Diamond Sports Group LLC |
| |||||||||||
9.181% due 05/26/2026 |
6,800 |
6,715 |
||||||||||
Envision Healthcare Corp. |
| |||||||||||
TBD% due 04/30/2027 µ |
1,615 |
1,595 |
||||||||||
8.875%% due 04/30/2027 |
8,885 |
8,773 |
||||||||||
Fly Funding SARL |
| |||||||||||
7.012% - 7.611% (LIBOR03M + 6.000%) due 10/08/2025 «~ |
372 |
367 |
||||||||||
Forbes Energy Services LLC (7.000% PIK) |
| |||||||||||
7.000% due 09/30/2022 «(b) |
954 |
0 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
| |||||||||||
9.590% (LIBOR03M + 8.000%) due 10/15/2027 ~ |
7,428 |
7,340 |
||||||||||
9.590% due 10/18/2027 « |
CAD |
1,622 |
1,246 |
|||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
4.920% due 02/01/2029 |
$ |
4,589 |
4,210 |
|||||||||
Lealand Finance Co. BV |
| |||||||||||
4.666% (LIBOR01M + 3.000%) due 06/28/2024 «~ |
105 |
66 |
||||||||||
Lealand Finance Co. BV (2.666% Cash and 3.000% PIK) |
| |||||||||||
5.666% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) |
505 |
259 |
||||||||||
McAfee LLC |
| |||||||||||
5.145% due 03/01/2029 |
4,600 |
4,185 |
||||||||||
MPH Acquisition Holdings LLC |
| |||||||||||
5.825% (LIBOR03M + 4.250%) due 09/01/2028 ~ |
7,642 |
7,064 |
||||||||||
Promotora de Informaciones SA |
| |||||||||||
5.250% (EUR003M + 5.250%) due 12/31/2026 ~ |
EUR |
11,661 |
10,968 |
|||||||||
9.000% (EUR003M + 8.000%) due 06/30/2027 ~ |
1,663 |
1,580 |
||||||||||
PUG LLC |
| |||||||||||
5.166% (LIBOR01M + 3.500%) due 02/12/2027 ~ |
$ |
1,963 |
1,799 |
|||||||||
Rising Tide Holdings, Inc. |
| |||||||||||
6.416% (LIBOR01M + 4.750%) due 06/01/2028 ~ |
1,287 |
1,128 |
||||||||||
Sasol Ltd. |
| |||||||||||
TBD% - 3.345% (LIBOR03M + 1.600%) due 11/23/2022 «~ µ |
4,502 |
4,459 |
||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) |
| |||||||||||
10.750% (EUR003M) due 12/29/2022 «~(b) |
EUR |
15,234 |
9,818 |
|||||||||
Syniverse Holdings, Inc. |
| |||||||||||
8.286% due 05/13/2027 |
$ |
13,725 |
12,112 |
|||||||||
Team Health Holdings, Inc. |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 02/06/2024 ~ |
15,204 |
13,582 |
||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
6.688% (LIBOR01M + 5.000%) due 06/26/2026 ~ |
9,370 |
6,452 |
||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) |
| |||||||||||
15.000% due 03/15/2029 (b) |
7,708 |
4,625 |
||||||||||
Windstream Services LLC |
| |||||||||||
7.916% (LIBOR01M + 6.250%) due 09/21/2027 ~ |
2,660 |
2,501 |
||||||||||
|
|
|||||||||||
Total Loan Participations and Assignments (Cost $173,817) |
146,858 |
|||||||||||
|
|
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
CORPORATE BONDS & NOTES 54.3% |
| |||||||||||
BANKING & FINANCE 11.0% |
| |||||||||||
Ally Financial, Inc. |
| |||||||||||
8.000% due 11/01/2031 (l) |
$ |
1,270 |
$ |
1,391 |
||||||||
Apollo Commercial Real Estate Finance, Inc. |
| |||||||||||
4.625% due 06/15/2029 (l) |
5,200 |
3,881 |
||||||||||
Armor Holdco, Inc. |
| |||||||||||
8.500% due 11/15/2029 |
1,900 |
1,574 |
||||||||||
Atlantic Marine Corps Communities LLC |
| |||||||||||
5.383% due 02/15/2048 (l) |
4,256 |
3,647 |
||||||||||
Banca Monte dei Paschi di Siena SpA |
| |||||||||||
1.875% due 01/09/2026 (l) |
EUR |
1,400 |
1,229 |
|||||||||
2.625% due 04/28/2025 (l) |
9,492 |
8,837 |
||||||||||
3.625% due 09/24/2024 (l) |
2,131 |
2,066 |
||||||||||
5.375% due 01/18/2028 •(l) |
1,700 |
1,059 |
||||||||||
8.000% due 01/22/2030 •(l) |
3,497 |
2,347 |
||||||||||
8.500% due 09/10/2030 •(l) |
3,500 |
2,429 |
||||||||||
10.500% due 07/23/2029 (l) |
800 |
587 |
||||||||||
Banco de Credito del Peru SA |
| |||||||||||
4.650% due 09/17/2024 |
PEN |
1,000 |
242 |
|||||||||
Barclays PLC |
| |||||||||||
5.875% due 09/15/2024 •(h)(i)(l) |
GBP |
1,800 |
2,030 |
|||||||||
6.375% due 12/15/2025 •(h)(i) |
400 |
449 |
||||||||||
7.125% due 06/15/2025 •(h)(i)(l) |
1,600 |
1,874 |
||||||||||
BOI Finance BV |
| |||||||||||
7.500% due 02/16/2027 (l) |
EUR |
3,300 |
2,801 |
|||||||||
Claveau Re Ltd. |
| |||||||||||
18.945% (T-BILL 3MO + 17.250%) due 07/08/2028 ~ |
$ |
1,200 |
1,169 |
|||||||||
Corebridge Financial, Inc. |
| |||||||||||
4.400% due 04/05/2052 (l) |
800 |
669 |
||||||||||
Corsair International Ltd. |
| |||||||||||
4.850% due 01/28/2027 • |
EUR |
1,000 |
989 |
|||||||||
Cosaint Re Pte. Ltd. |
| |||||||||||
10.948% (T-BILL 1MO + 9.250%) due 04/03/2028 ~ |
$ |
1,000 |
984 |
|||||||||
Credit Agricole SA |
| |||||||||||
7.875% due 01/23/2024 •(h)(i) |
250 |
247 |
||||||||||
Credit Suisse Group AG |
| |||||||||||
7.250% due 09/12/2025 •(h)(i) |
200 |
174 |
||||||||||
7.500% due 07/17/2023 •(h)(i)(l) |
400 |
370 |
||||||||||
GSPA Monetization Trust |
| |||||||||||
6.422% due 10/09/2029 |
4,598 |
4,576 |
||||||||||
Hestia Re Ltd. |
| |||||||||||
9.500% (T-BILL 3MO + 9.500%) due 04/22/2025 ~ |
939 |
932 |
||||||||||
Lloyds Banking Group PLC |
| |||||||||||
4.947% due 06/27/2025 •(h)(i) |
EUR |
716 |
706 |
|||||||||
Sanders Re Ltd. |
| |||||||||||
11.750% (T-BILL 3MO + 11.750%) due 04/09/2029 ~ |
$ |
1,545 |
1,546 |
|||||||||
Societe Generale SA |
| |||||||||||
7.375% due 10/04/2023 •(h)(i)(l) |
900 |
867 |
||||||||||
Uniti Group LP |
| |||||||||||
4.750% due 04/15/2028 (l) |
2,800 |
2,309 |
||||||||||
6.000% due 01/15/2030 (l) |
7,563 |
5,242 |
||||||||||
VICI Properties LP |
| |||||||||||
3.875% due 02/15/2029 (l) |
6,900 |
5,948 |
||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
8.500% due 05/09/2026 |
7,250 |
6,489 |
||||||||||
Yosemite Re Ltd. |
| |||||||||||
11.389% (T-BILL 3MO + 9.750%) due 06/06/2025 ~ |
840 |
841 |
||||||||||
|
|
|||||||||||
70,501 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 33.8% |
| |||||||||||
AA Bond Co. Ltd. |
| |||||||||||
5.500% due 07/31/2050 (l) |
GBP |
895 |
1,065 |
|||||||||
Altice Financing SA |
| |||||||||||
5.750% due 08/15/2029 (l) |
$ |
972 |
783 |
|||||||||
American Airlines Pass-Through Trust |
| |||||||||||
3.375% due 11/01/2028 (l) |
1,042 |
936 |
||||||||||
3.700% due 04/01/2028 (l) |
300 |
261 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Arches Buyer, Inc. |
| |||||||||||
4.250% due 06/01/2028 (l) |
$ |
1,600 |
$ |
1,307 |
||||||||
Boeing Co. |
| |||||||||||
5.705% due 05/01/2040 (l) |
962 |
899 |
||||||||||
5.805% due 05/01/2050 (l) |
822 |
756 |
||||||||||
5.930% due 05/01/2060 (l) |
1,112 |
1,015 |
||||||||||
6.125% due 02/15/2033 (l) |
1,909 |
1,924 |
||||||||||
Bombardier, Inc. |
| |||||||||||
7.500% due 03/15/2025 (l) |
4,218 |
3,824 |
||||||||||
Broadcom, Inc. |
| |||||||||||
3.187% due 11/15/2036 (l) |
15 |
11 |
||||||||||
4.000% due 04/15/2029 (l) |
1,500 |
1,391 |
||||||||||
4.150% due 11/15/2030 (l) |
121 |
111 |
||||||||||
4.150% due 04/15/2032 (l) |
1,400 |
1,266 |
||||||||||
4.926% due 05/15/2037 (l) |
163 |
146 |
||||||||||
CGG SA |
| |||||||||||
7.750% due 04/01/2027 |
EUR |
1,000 |
896 |
|||||||||
8.750% due 04/01/2027 (l) |
$ |
7,789 |
6,637 |
|||||||||
Charter Communications Operating LLC |
| |||||||||||
3.700% due 04/01/2051 (l) |
5,900 |
4,004 |
||||||||||
3.850% due 04/01/2061 (l) |
2,100 |
1,385 |
||||||||||
3.900% due 06/01/2052 (l) |
2,000 |
1,392 |
||||||||||
4.400% due 12/01/2061 (l) |
200 |
144 |
||||||||||
4.800% due 03/01/2050 (l) |
551 |
438 |
||||||||||
CommScope, Inc. |
| |||||||||||
8.250% due 03/01/2027 (l) |
7,757 |
6,151 |
||||||||||
Condor Merger Sub, Inc. |
| |||||||||||
7.375% due 02/15/2030 |
1,800 |
1,468 |
||||||||||
Coty, Inc. |
| |||||||||||
3.875% due 04/15/2026 (l) |
EUR |
7,300 |
6,787 |
|||||||||
4.750% due 01/15/2029 (l) |
$ |
2,700 |
2,323 |
|||||||||
DISH DBS Corp. |
| |||||||||||
5.250% due 12/01/2026 (l) |
2,000 |
1,571 |
||||||||||
5.750% due 12/01/2028 (l) |
5,880 |
4,365 |
||||||||||
Exela Intermediate LLC |
| |||||||||||
11.500% due 07/15/2026 |
125 |
42 |
||||||||||
Ferroglobe PLC |
| |||||||||||
9.375% due 12/31/2025 (j)(l) |
2,450 |
2,475 |
||||||||||
First Quantum Minerals Ltd. |
| |||||||||||
6.500% due 03/01/2024 (l) |
2,040 |
1,963 |
||||||||||
6.875% due 03/01/2026 (l) |
1,348 |
1,244 |
||||||||||
FMG Resources Pty. Ltd. |
| |||||||||||
6.125% due 04/15/2032 (l) |
1,300 |
1,173 |
||||||||||
Ford Motor Co. |
| |||||||||||
7.700% due 05/15/2097 (l) |
15,515 |
16,046 |
||||||||||
Fresh Market, Inc. |
| |||||||||||
9.750% due 05/01/2023 |
9,300 |
9,300 |
||||||||||
Frontier Communications Holdings LLC |
| |||||||||||
6.000% due 01/15/2030 (l) |
1,916 |
1,480 |
||||||||||
General Shopping Investments Ltd. |
| |||||||||||
0.928% due 09/20/2022 ^(c)(h) |
2,500 |
357 |
||||||||||
HCA, Inc. |
| |||||||||||
7.500% due 11/15/2095 (l) |
3,462 |
3,546 |
||||||||||
HF Sinclair Corp. |
| |||||||||||
4.500% due 10/01/2030 (l) |
7,719 |
7,035 |
||||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
6.500% due 03/15/2030 (l) |
16,312 |
13,498 |
||||||||||
Inter Media & Communication SpA |
| |||||||||||
6.750% due 02/09/2027 (l) |
EUR |
3,300 |
3,095 |
|||||||||
Magallanes, Inc. |
| |||||||||||
4.279% due 03/15/2032 (l) |
$ |
1,300 |
1,163 |
|||||||||
Market Bidco Finco PLC |
| |||||||||||
4.750% due 11/04/2027 |
EUR |
900 |
752 |
|||||||||
NCL Corp. Ltd. |
| |||||||||||
5.875% due 02/15/2027 (l) |
$ |
3,004 |
2,574 |
|||||||||
New Albertsons LP |
| |||||||||||
6.570% due 02/23/2028 |
4,021 |
3,945 |
||||||||||
Nissan Motor Co. Ltd. |
| |||||||||||
4.810% due 09/17/2030 (l) |
8,700 |
7,737 |
||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) |
| |||||||||||
11.000% due 02/15/2028 (b) |
60 |
65 |
||||||||||
Odebrecht Oil & Gas Finance Ltd. |
| |||||||||||
0.000% due 08/01/2022 (f)(h) |
3,371 |
14 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 65 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Petroleos Mexicanos |
| |||||||||||
6.700% due 02/16/2032 (l) |
$ |
2,389 |
$ |
1,827 |
||||||||
6.750% due 09/21/2047 (l) |
10,479 |
6,507 |
||||||||||
6.950% due 01/28/2060 (l) |
6,894 |
4,265 |
||||||||||
7.690% due 01/23/2050 (l) |
150 |
102 |
||||||||||
Prosus NV |
| |||||||||||
1.207% due 01/19/2026 |
EUR |
1,000 |
914 |
|||||||||
QVC, Inc. |
| |||||||||||
5.950% due 03/15/2043 (l) |
$ |
1,500 |
1,014 |
|||||||||
Rolls-Royce PLC |
| |||||||||||
4.625% due 02/16/2026 (l) |
EUR |
300 |
296 |
|||||||||
Royal Caribbean Cruises Ltd. |
| |||||||||||
10.875% due 06/01/2023 |
$ |
2,298 |
2,311 |
|||||||||
11.500% due 06/01/2025 |
653 |
673 |
||||||||||
Sands China Ltd. |
| |||||||||||
5.400% due 08/08/2028 (l) |
3,379 |
2,611 |
||||||||||
Schenck Process Holding GmbH |
| |||||||||||
6.875% due 06/15/2023 (l) |
EUR |
600 |
617 |
|||||||||
Seagate HDD Cayman |
| |||||||||||
4.125% due 01/15/2031 (l) |
$ |
700 |
573 |
|||||||||
Syngenta Finance NV |
| |||||||||||
5.182% due 04/24/2028 |
200 |
203 |
||||||||||
Topaz Solar Farms LLC |
| |||||||||||
4.875% due 09/30/2039 |
2,302 |
1,997 |
||||||||||
5.750% due 09/30/2039 (l) |
5,577 |
5,072 |
||||||||||
Transocean Pontus Ltd. |
| |||||||||||
6.125% due 08/01/2025 |
132 |
121 |
||||||||||
Transocean, Inc. |
| |||||||||||
7.250% due 11/01/2025 |
96 |
71 |
||||||||||
7.500% due 01/15/2026 |
80 |
57 |
||||||||||
8.000% due 02/01/2027 |
162 |
109 |
||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
10.625% due 07/15/2027 |
77 |
29 |
||||||||||
United Group BV |
| |||||||||||
4.875% due 07/01/2024 |
EUR |
100 |
96 |
|||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) |
| |||||||||||
8.250% due 04/30/2028 (b) |
$ |
1,428 |
1,388 |
|||||||||
Vale SA |
| |||||||||||
0.000% due 12/29/2049 «~(h) |
BRL |
120,000 |
9,647 |
|||||||||
Veritas U.S., Inc. |
| |||||||||||
7.500% due 09/01/2025 (l) |
$ |
2,130 |
1,603 |
|||||||||
Viking Cruises Ltd. |
| |||||||||||
13.000% due 05/15/2025 (l) |
8,659 |
8,886 |
||||||||||
Wesco Aircraft Holdings, Inc. |
| |||||||||||
9.000% due 11/15/2026 |
2,054 |
1,200 |
||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) |
| |||||||||||
10.500% due 11/15/2026 «(b) |
26,611 |
25,254 |
||||||||||
Windstream Escrow LLC |
| |||||||||||
7.750% due 08/15/2028 (l) |
7,842 |
6,335 |
||||||||||
Wynn Macau Ltd. |
| |||||||||||
5.125% due 12/15/2029 |
400 |
249 |
||||||||||
5.500% due 10/01/2027 (l) |
400 |
259 |
||||||||||
5.625% due 08/26/2028 (l) |
2,800 |
1,733 |
||||||||||
|
|
|||||||||||
216,779 |
||||||||||||
|
|
|||||||||||
UTILITIES 9.5% |
| |||||||||||
DTEK Finance PLC (3.500% Cash and 3.500% PIK) |
| |||||||||||
7.000% due 12/31/2027 (b)(l) |
2,237 |
538 |
||||||||||
Genesis Energy LP |
| |||||||||||
8.000% due 01/15/2027 (l) |
1,345 |
1,194 |
||||||||||
Lumen Technologies, Inc. |
| |||||||||||
7.200% due 12/01/2025 (l) |
1,122 |
1,092 |
||||||||||
Mountain States Telephone & Telegraph Co. |
| |||||||||||
7.375% due 05/01/2030 |
5,130 |
5,179 |
||||||||||
NGD Holdings BV |
| |||||||||||
6.750% due 12/31/2026 (l) |
846 |
376 |
||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
| |||||||||||
7.350% due 12/01/2026 ^(b) |
3,189 |
1,968 |
||||||||||
Odebrecht Offshore Drilling Finance Ltd. |
| |||||||||||
6.720% due 12/01/2022 ^(l) |
540 |
521 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
| |||||||||||
7.720% due 12/01/2026 ^(b) |
$ |
15,954 |
$ |
3,988 |
||||||||
Oi SA (10.000% Cash or 12.000% PIK) |
| |||||||||||
10.000% due 07/27/2025 (b) |
9,726 |
4,775 |
||||||||||
Pacific Gas & Electric Co. |
| |||||||||||
3.500% due 08/01/2050 (l) |
1,426 |
955 |
||||||||||
4.000% due 12/01/2046 (l) |
600 |
422 |
||||||||||
4.200% due 03/01/2029 (l) |
2,000 |
1,787 |
||||||||||
4.250% due 03/15/2046 (l) |
2,300 |
1,684 |
||||||||||
4.450% due 04/15/2042 (l) |
1,203 |
905 |
||||||||||
4.500% due 07/01/2040 (l) |
3,488 |
2,709 |
||||||||||
4.550% due 07/01/2030 (l) |
2,683 |
2,386 |
||||||||||
4.600% due 06/15/2043 (l) |
200 |
153 |
||||||||||
4.750% due 02/15/2044 (l) |
7,809 |
5,999 |
||||||||||
4.950% due 07/01/2050 (l) |
1,054 |
843 |
||||||||||
5.450% due 06/15/2027 |
1,400 |
1,356 |
||||||||||
Peru LNG SRL |
| |||||||||||
5.375% due 03/22/2030 |
6,318 |
5,118 |
||||||||||
Petrobras Global Finance BV |
| |||||||||||
6.625% due 01/16/2034 (l) |
GBP |
200 |
224 |
|||||||||
PG&E Wildfire Recovery Funding LLC |
| |||||||||||
4.263% due 06/01/2038 (l) |
$ |
490 |
494 |
|||||||||
4.377% due 06/01/2041 (l) |
550 |
544 |
||||||||||
4.451% due 12/01/2049 (l) |
2,900 |
2,928 |
||||||||||
4.674% due 12/01/2053 (l) |
600 |
601 |
||||||||||
Rio Oil Finance Trust |
| |||||||||||
8.200% due 04/06/2028 |
233 |
242 |
||||||||||
9.250% due 07/06/2024 (l) |
9,148 |
9,489 |
||||||||||
Transocean Phoenix 2 Ltd. |
| |||||||||||
7.750% due 10/15/2024 |
2,250 |
2,146 |
||||||||||
Transocean Poseidon Ltd. |
| |||||||||||
6.875% due 02/01/2027 |
146 |
129 |
||||||||||
|
|
|||||||||||
60,745 |
||||||||||||
|
|
|||||||||||
Total Corporate Bonds & Notes (Cost $419,974) |
348,025 |
|||||||||||
|
|
|||||||||||
CONVERTIBLE BONDS & NOTES 0.5% |
| |||||||||||
INDUSTRIALS 0.5% |
| |||||||||||
DISH Network Corp. |
| |||||||||||
3.375% due 08/15/2026 |
5,100 |
3,458 |
||||||||||
|
|
|||||||||||
Total Convertible Bonds & Notes (Cost $5,100) |
3,458 |
|||||||||||
|
|
|||||||||||
MUNICIPAL BONDS & NOTES 7.6% |
| |||||||||||
DISTRICT OF COLUMBIA 1.8% |
| |||||||||||
District of Columbia Revenue Bonds, Series 2011 |
| |||||||||||
7.625% due 10/01/2035 |
9,740 |
11,420 |
||||||||||
ILLINOIS 3.0% |
| |||||||||||
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 |
| |||||||||||
6.257% due 01/01/2040 |
11,000 |
11,268 |
||||||||||
7.517% due 01/01/2040 |
6,705 |
7,712 |
||||||||||
|
|
|||||||||||
18,980 |
||||||||||||
|
|
|||||||||||
PUERTO RICO 0.4% |
| |||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 |
| |||||||||||
0.000% due 11/01/2043 (f) |
1,720 |
858 |
||||||||||
Commonwealth of Puerto Rico General Obligation Bonds, Series 2021 |
| |||||||||||
0.000% due 07/01/2033 (f) |
443 |
249 |
||||||||||
4.000% due 07/01/2033 |
344 |
316 |
||||||||||
4.000% due 07/01/2035 |
310 |
278 |
||||||||||
4.000% due 07/01/2037 |
266 |
236 |
||||||||||
4.000% due 07/01/2041 |
263 |
229 |
||||||||||
Commonwealth of Puerto Rico General Obligation Notes, Series 2021 |
| |||||||||||
0.000% due 07/01/2024 (f) |
177 |
162 |
||||||||||
5.250% due 07/01/2023 |
385 |
392 |
||||||||||
|
|
|||||||||||
2,720 |
||||||||||||
|
|
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
TEXAS 1.5% |
| |||||||||||
El Paso Downtown Development Corp., Texas Revenue Bonds, Series 2013 |
| |||||||||||
7.250% due 08/15/2043 |
$ |
7,455 |
$ |
9,499 |
||||||||
|
|
|||||||||||
VIRGINIA 0.1% |
| |||||||||||
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
| |||||||||||
6.706% due 06/01/2046 |
555 |
516 |
||||||||||
|
|
|||||||||||
WEST VIRGINIA 0.8% |
| |||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
0.000% due 06/01/2047 (f) |
66,200 |
5,363 |
||||||||||
|
|
|||||||||||
Total Municipal Bonds & Notes (Cost $44,792) |
48,498 |
|||||||||||
|
|
|||||||||||
U.S. GOVERNMENT AGENCIES 2.4% |
| |||||||||||
Fannie Mae |
| |||||||||||
3.500% due 09/25/2027 (a) |
107 |
7 |
||||||||||
4.000% due 06/25/2050 (a)(l) |
2,412 |
450 |
||||||||||
4.476% due 07/25/2050 •(a)(l) |
3,764 |
497 |
||||||||||
5.000% due 06/25/2050 (a)(l) |
3,830 |
709 |
||||||||||
10.000% due 01/25/2034 ~ |
181 |
197 |
||||||||||
Freddie Mac |
| |||||||||||
4.476% due 06/25/2050 •(a)(l) |
4,182 |
597 |
||||||||||
4.776% (US0001M + 6.100%) due 07/15/2035 ~(a) |
488 |
53 |
||||||||||
4.876% due 02/15/2042 •(a) |
799 |
74 |
||||||||||
5.000% due 06/15/2033 ~(a) |
629 |
99 |
||||||||||
5.816% due 08/15/2036 •(a) |
313 |
50 |
||||||||||
5.992% due 11/25/2055 «~ |
13,388 |
8,195 |
||||||||||
10.352% due 05/15/2033 • |
26 |
27 |
||||||||||
10.824% due 10/25/2027 |
4,297 |
4,372 |
||||||||||
Ginnie Mae |
| |||||||||||
3.500% due 06/20/2042 (a)(l) |
42 |
8 |
||||||||||
3.500% due 03/20/2043 (a) |
562 |
115 |
||||||||||
4.500% due 07/20/2042 (a) |
100 |
13 |
||||||||||
5.000% due 09/20/2042 (a) |
183 |
29 |
||||||||||
Uniform Mortgage-Backed Security, TBA |
| |||||||||||
3.000% due 08/01/2052 |
100 |
93 |
||||||||||
|
|
|||||||||||
Total U.S. Government Agencies (Cost $17,667) |
15,585 |
|||||||||||
|
|
|||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 10.1% |
| |||||||||||
Adjustable Rate Mortgage Trust |
| |||||||||||
1.964% due 05/25/2036 • |
3,216 |
1,306 |
||||||||||
Banc of America Alternative Loan Trust |
| |||||||||||
1.984% due 06/25/2037 • |
2,112 |
1,583 |
||||||||||
3.976% due 06/25/2046 ^•(a) |
2,863 |
173 |
||||||||||
5.016% due 06/25/2037 ^•(a) |
2,294 |
272 |
||||||||||
Banc of America Funding Trust |
| |||||||||||
6.000% due 07/25/2037 ^ |
301 |
258 |
||||||||||
6.250% due 10/26/2036 |
4,196 |
2,244 |
||||||||||
Banc of America Mortgage Trust |
| |||||||||||
2.733% due 02/25/2036 ^~ |
8 |
7 |
||||||||||
BCAP LLC Trust |
| |||||||||||
0.000% due 06/26/2036 ~ |
478 |
307 |
||||||||||
4.737% due 03/26/2037 þ |
1,248 |
1,702 |
||||||||||
6.000% due 05/26/2037 ~ |
4,371 |
2,145 |
||||||||||
Bear Stearns Adjustable Rate Mortgage Trust |
| |||||||||||
3.489% due 11/25/2034 ~ |
8 |
8 |
||||||||||
CD Mortgage Trust |
| |||||||||||
5.688% due 10/15/2048 |
144 |
132 |
||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
2.863% due 09/25/2036 ^~ |
43 |
36 |
||||||||||
2.954% due 12/25/2035 ^~ |
8 |
8 |
||||||||||
5.500% due 05/25/2036 ^ |
1 |
1 |
||||||||||
Citigroup Commercial Mortgage Trust |
| |||||||||||
5.693% due 12/10/2049 ~ |
3,511 |
1,564 |
||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
3.055% due 11/25/2035 ~ |
10,290 |
6,326 |
||||||||||
3.328% due 07/25/2037 ^~ |
43 |
39 |
||||||||||
6.500% due 09/25/2036 |
2,493 |
1,634 |
66 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.673% due 12/10/2049 ~ |
$ |
2,980 |
$ |
510 |
||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
2.124% due 12/25/2046 • |
1,818 |
1,555 |
||||||||||
3.163% due 02/25/2037 ^~ |
106 |
99 |
||||||||||
3.376% (US0001M + 5.000%) due 04/25/2035 ~(a) |
2,255 |
95 |
||||||||||
6.000% due 02/25/2037 ^ |
4,134 |
1,914 |
||||||||||
6.250% (US0001M + 0.650%) due 12/25/2036 ^~ |
2,171 |
1,115 |
||||||||||
6.500% due 06/25/2036 ^ |
627 |
362 |
||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
2.920% due 09/25/2047 ^~ |
18 |
17 |
||||||||||
2.939% due 09/20/2036 ^~ |
257 |
233 |
||||||||||
3.726% (US0001M + 5.350%) due 12/25/2036 ~(a) |
1,715 |
108 |
||||||||||
Credit Suisse First Boston Mortgage Securities Corp. |
| |||||||||||
6.000% due 01/25/2036 ^ |
1,324 |
938 |
||||||||||
Eurosail PLC |
| |||||||||||
2.940% due 06/13/2045 • |
GBP |
3,347 |
3,157 |
|||||||||
5.590% (BP0003M + 4.000%) due 06/13/2045 ~ |
988 |
1,104 |
||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
3.369% due 08/19/2036 ^~ |
$ |
153 |
139 |
|||||||||
3.401% due 08/19/2036 ^~ |
4 |
4 |
||||||||||
IM Pastor Fondo de Titluzacion Hipotecaria |
| |||||||||||
0.000% due 03/22/2043 • |
EUR |
3,096 |
2,841 |
|||||||||
Jackson Park Trust |
| |||||||||||
3.350% due 10/14/2039 ~ |
$ |
2,311 |
1,734 |
|||||||||
JP Morgan Alternative Loan Trust |
| |||||||||||
3.385% due 03/25/2037 ^~ |
3,068 |
3,063 |
||||||||||
JP Morgan Mortgage Trust |
| |||||||||||
3.043% due 07/27/2037 ~ |
3,910 |
2,960 |
||||||||||
4.996% (US0001M + 6.620%) due 01/25/2037 ^~(a) |
13,275 |
2,834 |
||||||||||
Lehman XS Trust |
| |||||||||||
2.064% (US0001M + 0.440%) due 06/25/2047 ~ |
1,555 |
1,410 |
||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust |
| |||||||||||
3.060% due 04/25/2036 ^~ |
2,832 |
2,500 |
||||||||||
Nomura Resecuritization Trust |
| |||||||||||
4.032% due 07/26/2035 ~ |
4,376 |
3,864 |
||||||||||
Residential Asset Securitization Trust |
| |||||||||||
2.024% due 01/25/2046 ^• |
169 |
56 |
||||||||||
6.250% due 09/25/2037 ^ |
4,548 |
2,159 |
||||||||||
6.500% due 08/25/2036 ^ |
795 |
289 |
||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
3.167% due 01/25/2036 ^~ |
102 |
68 |
||||||||||
3.387% due 04/25/2047 ~ |
299 |
164 |
||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
2.004% due 07/25/2046 ^• |
6,007 |
4,666 |
||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
3.340% due 05/25/2037 ^~ |
71 |
59 |
||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
5.056% due 04/25/2037 •(a) |
7,591 |
1,638 |
||||||||||
6.500% due 03/25/2036 ^ |
4,472 |
3,332 |
||||||||||
|
|
|||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $72,082) |
64,732 |
|||||||||||
|
|
|||||||||||
ASSET-BACKED SECURITIES 9.4% |
| |||||||||||
ACE Securities Corp. Home Equity Loan Trust |
| |||||||||||
1.904% (US0001M + 0.280%) due 07/25/2036 ~ |
1,773 |
1,489 |
||||||||||
Apidos CLO |
| |||||||||||
0.000% due 07/22/2026 ~ |
3,000 |
13 |
||||||||||
Avoca CLO DAC |
| |||||||||||
0.000% due 04/15/2034 ~ |
EUR |
2,150 |
1,156 |
|||||||||
Belle Haven ABS CDO Ltd. |
| |||||||||||
1.212% due 07/05/2046 • |
$ |
185,947 |
93 |
|||||||||
Carlyle Global Market Strategies Euro CLO DAC |
| |||||||||||
0.000% due 04/15/2027 ~ |
EUR |
800 |
273 |
|||||||||
0.000% due 01/25/2032 ~ |
2,200 |
941 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Carlyle U.S. CLO Ltd. |
| |||||||||||
0.000% due 10/15/2031 ~ |
$ |
4,200 |
$ |
2,164 |
||||||||
CIFC Funding Ltd. |
| |||||||||||
0.000% due 04/24/2030 ~ |
4,000 |
1,205 |
||||||||||
0.010% due 10/22/2031 ~ |
3,000 |
796 |
||||||||||
Cork Street CLO Designated Activity Co. |
| |||||||||||
0.000% due 11/27/2028 ~ |
EUR |
1,051 |
236 |
|||||||||
Countrywide Asset-Backed Certificates Trust |
| |||||||||||
1.894% (US0001M + 0.270%) due 09/25/2046 ~ |
$ |
12,369 |
10,210 |
|||||||||
CVC Cordatus Loan Fund DAC |
| |||||||||||
0.000% due 04/15/2032 ~ |
EUR |
2,500 |
798 |
|||||||||
Duke Funding Ltd. |
| |||||||||||
2.011% due 08/07/2033 • |
$ |
14,681 |
3,673 |
|||||||||
Glacier Funding CDO Ltd. |
| |||||||||||
1.605% due 08/04/2035 • |
6,350 |
945 |
||||||||||
Grosvenor Place CLO BV |
| |||||||||||
0.000% due 04/30/2029 ~ |
EUR |
1,000 |
320 |
|||||||||
Jay Park CLO Ltd. |
| |||||||||||
0.000% due 10/20/2027 ~ |
$ |
7,503 |
2,636 |
|||||||||
Long Beach Mortgage Loan Trust |
| |||||||||||
2.004% (US0001M + 0.380%) due 02/25/2036 ~ |
1,018 |
864 |
||||||||||
Man GLG Euro CLO DAC |
| |||||||||||
0.000% due 10/15/2030 ~ |
EUR |
4,150 |
1,691 |
|||||||||
Marlette Funding Trust |
| |||||||||||
0.000% due 12/15/2028 «(f) |
$ |
24 |
1,799 |
|||||||||
0.000% due 04/16/2029 «(f) |
7 |
394 |
||||||||||
0.000% due 07/16/2029 «(f) |
10 |
728 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
1.944% (US0001M + 0.320%) due 04/25/2037 ~ |
648 |
386 |
||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
3.336% due 11/25/2036 ^• |
696 |
307 |
||||||||||
6.465% due 09/25/2046 ^þ |
5,826 |
2,570 |
||||||||||
People’s Financial Realty Mortgage Securities Trust |
| |||||||||||
1.784% (US0001M + 0.160%) due 09/25/2036 ~ |
20,131 |
4,591 |
||||||||||
Renaissance Home Equity Loan Trust |
| |||||||||||
6.998% due 09/25/2037 ^þ |
6,689 |
3,295 |
||||||||||
7.238% due 09/25/2037 ^þ |
5,787 |
2,850 |
||||||||||
Segovia European CLO DAC |
| |||||||||||
0.000% due 04/15/2035 ~ |
EUR |
1,100 |
562 |
|||||||||
Sherwood Funding CDO Ltd. |
| |||||||||||
1.480% due 11/06/2039 • |
$ |
31,298 |
7,422 |
|||||||||
SLM Student Loan Trust |
| |||||||||||
0.000% due 01/25/2042 «(f) |
2 |
573 |
||||||||||
SMB Private Education Loan Trust |
| |||||||||||
0.000% due 10/15/2048 «(f) |
5 |
2,083 |
||||||||||
South Coast Funding Ltd. |
| |||||||||||
2.002% (US0003M + 0.600%) due 08/10/2038 ~ |
20,966 |
2,000 |
||||||||||
2.002% due 08/10/2038 • |
3,810 |
363 |
||||||||||
Specialty Underwriting & Residential Finance Trust |
| |||||||||||
2.599% (US0001M + 0.975%) due 06/25/2036 ~ |
409 |
322 |
||||||||||
Washington Mutual Asset-Backed Certificates Trust |
| |||||||||||
1.924% due 05/25/2036 • |
162 |
132 |
||||||||||
|
|
|||||||||||
Total Asset-Backed Securities (Cost $124,400) |
59,880 |
|||||||||||
|
|
|||||||||||
SOVEREIGN ISSUES 1.6% |
| |||||||||||
Argentina Government International Bond |
| |||||||||||
0.500% due 07/09/2030 þ |
9,677 |
2,040 |
||||||||||
1.000% due 07/09/2029 |
163 |
38 |
||||||||||
1.125% due 07/09/2035 þ |
8,923 |
1,851 |
||||||||||
1.125% due 07/09/2046 þ |
115 |
26 |
||||||||||
2.000% due 01/09/2038 þ(l) |
1,326 |
388 |
||||||||||
2.500% due 07/09/2041 þ(l)(a) |
9,486 |
2,466 |
||||||||||
15.500% due 10/17/2026 |
ARS |
38,100 |
45 |
|||||||||
47.331% (BADLARPP) due 10/04/2022 ~ |
84 |
0 |
||||||||||
Autonomous City of Buenos Aires |
| |||||||||||
52.234% (BADLARPP + 3.750%) due 02/22/2028 ~ |
34,626 |
124 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
53.715% (BADLARPP + 3.250%) due 03/29/2024 ~ |
ARS |
47,730 |
$ |
177 |
||||||||
Ghana Government International Bond |
| |||||||||||
6.375% due 02/11/2027 (l) |
$ |
600 |
346 |
|||||||||
7.875% due 02/11/2035 (l) |
600 |
283 |
||||||||||
8.750% due 03/11/2061 |
200 |
95 |
||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.625% due 03/22/2048 |
EUR |
800 |
565 |
|||||||||
Provincia de Buenos Aires |
| |||||||||||
49.102% due 04/12/2025 |
ARS |
270,895 |
910 |
|||||||||
Republic of Greece Government International Bond |
| |||||||||||
2.000% due 04/22/2027 |
EUR |
55 |
56 |
|||||||||
3.900% due 01/30/2033 |
122 |
129 |
||||||||||
4.000% due 01/30/2037 |
96 |
106 |
||||||||||
4.200% due 01/30/2042 |
119 |
134 |
||||||||||
Ukraine Government International Bond |
| |||||||||||
4.375% due 01/27/2030 |
1,471 |
385 |
||||||||||
Venezuela Government International Bond |
| |||||||||||
6.000% due 12/09/2049 |
$ |
365 |
28 |
|||||||||
8.250% due 10/13/2024 ^(c) |
34 |
3 |
||||||||||
9.250% due 09/15/2027 ^(c) |
452 |
40 |
||||||||||
|
|
|||||||||||
Total Sovereign Issues (Cost $25,188) |
10,235 |
|||||||||||
|
|
|||||||||||
SHARES |
||||||||||||
COMMON STOCKS 4.8% |
| |||||||||||
COMMUNICATION SERVICES 0.5% |
| |||||||||||
Clear Channel Outdoor Holdings, Inc. (d) |
754,306 |
807 |
||||||||||
iHeartMedia, Inc. ‘A’ (d) |
178,528 |
1,409 |
||||||||||
iHeartMedia, Inc. ‘B’ «(d) |
138,545 |
984 |
||||||||||
|
|
|||||||||||
3,200 |
||||||||||||
|
|
|||||||||||
ENERGY 0.5% |
| |||||||||||
Axis Energy Services ‘A’ «(d)(j) |
6,207 |
91 |
||||||||||
Noble Corp. (d)(j) |
117,925 |
2,989 |
||||||||||
Valaris Ltd. (d) |
2,307 |
98 |
||||||||||
|
|
|||||||||||
3,178 |
||||||||||||
|
|
|||||||||||
FINANCIALS 1.0% |
| |||||||||||
Intelsat SA «(d)(j) |
221,868 |
6,212 |
||||||||||
|
|
|||||||||||
INDUSTRIALS 2.8% |
| |||||||||||
Neiman Marcus Group Ltd. LLC «(d)(j) |
90,604 |
15,661 |
||||||||||
Syniverse Holdings, Inc. «(d)(j) |
2,183,864 |
2,140 |
||||||||||
Voyager Aviation Holdings LLC «(d) |
1,009 |
0 |
||||||||||
Westmoreland Mining Holdings «(d)(j) |
88,291 |
0 |
||||||||||
|
|
|||||||||||
17,801 |
||||||||||||
|
|
|||||||||||
MATERIALS 0.0% |
| |||||||||||
Associated Materials Group, Inc. «(d) |
162,396 |
38 |
||||||||||
|
|
|||||||||||
Total Common Stocks (Cost $36,075) |
30,429 |
|||||||||||
|
|
|||||||||||
RIGHTS 0.0% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Intelsat Jackson Holdings SA « |
23,289 |
111 |
||||||||||
|
|
|||||||||||
Total Rights (Cost $0) |
111 |
|||||||||||
|
|
|||||||||||
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
67 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
SHARES |
MARKET VALUE (000S) |
|||||||||||
WARRANTS 2.0% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « |
250 |
$ |
1 |
|||||||||
Intelsat Jackson Holdings SA - Exp. 12/05/2025 « |
23,229 |
116 |
||||||||||
|
|
|||||||||||
117 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 0.2% |
| |||||||||||
Sequa Corp. - Exp. 04/28/2024 « |
1,795,000 |
1,075 |
||||||||||
|
|
|||||||||||
INFORMATION TECHNOLOGY 1.8% |
| |||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « |
537,548 |
11,462 |
||||||||||
|
|
|||||||||||
Total Warrants (Cost $13,446) |
12,654 |
|||||||||||
|
|
|||||||||||
PREFERRED SECURITIES 18.4% |
| |||||||||||
BANKING & FINANCE 7.8% |
| |||||||||||
AGFC Capital Trust |
| |||||||||||
2.794% (US0003M + 1.750%) due 01/15/2067 ~(l) |
27,410,000 |
14,978 |
||||||||||
Brighthouse Holdings LLC |
| |||||||||||
6.500% due 07/27/2037 þ(h) |
70,000 |
63 |
||||||||||
Compeer Financial ACA |
| |||||||||||
4.875% due 08/15/2026 •(h) |
2,100,000 |
1,861 |
||||||||||
Nationwide Building Society |
| |||||||||||
10.250% ~ |
71,095 |
12,677 |
SHARES |
MARKET VALUE (000S) |
|||||||||||
OCP CLO Ltd. |
| |||||||||||
0.000% due 04/26/2028 (f) |
8,700 |
$ |
5,850 |
|||||||||
Stichting AK Rabobank Certificaten |
| |||||||||||
6.500% due 12/29/2049 þ(h) |
14,294,300 |
14,587 |
||||||||||
|
|
|||||||||||
50,016 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 10.6% |
| |||||||||||
General Electric Co. |
| |||||||||||
5.159% (US0003M + 3.330%) due 09/15/2022 ~(h) |
373,000 |
328 |
||||||||||
Sequa Corp. (15.000% PIK) |
| |||||||||||
15.000% «(b) |
57,718 |
65,485 |
||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
9.500% « |
6,055 |
1,831 |
||||||||||
|
|
|||||||||||
67,644 |
||||||||||||
|
|
|||||||||||
Total Preferred Securities (Cost $90,409) |
117,660 |
|||||||||||
|
|
|||||||||||
REAL ESTATE INVESTMENT TRUSTS 3.0% |
| |||||||||||
REAL ESTATE 3.0% |
| |||||||||||
CBL & Associates Properties, Inc. |
14,084 |
331 |
||||||||||
Uniti Group, Inc. |
261,443 |
2,463 |
||||||||||
VICI Properties, Inc. |
550,464 |
16,398 |
||||||||||
|
|
|||||||||||
Total Real Estate Investment Trusts (Cost $8,075) |
19,192 |
|||||||||||
|
|
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
SHORT-TERM INSTRUMENTS 6.2% |
| |||||||||||
REPURCHASE AGREEMENTS (k) 2.4% |
| |||||||||||
$ |
15,357 |
|||||||||||
|
|
|||||||||||
ARGENTINA TREASURY BILLS 0.0% |
| |||||||||||
51.049% due 09/30/2022 (f)(g) |
ARS |
56,900 |
191 |
|||||||||
|
|
|||||||||||
U.S. TREASURY BILLS 3.5% |
| |||||||||||
0.821% due 07/07/2022 - 08/09/2022 (e)(f)(l) |
$ |
22,374 |
22,364 |
|||||||||
|
|
|||||||||||
U.S. TREASURY CASH MANAGEMENT BILLS 0.3% |
| |||||||||||
1.089% due 08/23/2022 (f)(g) |
2,000 |
1,996 |
||||||||||
|
|
|||||||||||
Total Short-Term Instruments (Cost $39,983) |
39,908 |
|||||||||||
|
|
|||||||||||
Total Investments in Securities (Cost $1,071,008) |
917,225 |
|||||||||||
Total Investments 143.2% (Cost $1,071,008) |
|
$ |
917,225 |
|||||||||
Financial Derivative Instruments (m)(n) 0.1% (Cost or Premiums, net $111,663) |
1,347 |
|||||||||||
Auction Rate Preferred Shares (9.0)% |
|
(58,050 |
) | |||||||||
Other Assets and Liabilities, net (34.3)% |
(220,074 |
) | ||||||||||
|
|
|||||||||||
Net Assets Applicable to Common Shareholders 100.0% |
|
$ |
640,448 |
|||||||||
|
|
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) |
Security is an Interest Only (“IO”) or IO Strip. |
(b) |
Payment in-kind security. |
(c) |
Security is not accruing income as of the date of this report. |
(d) |
Security did not produce income within the last twelve months. |
(e) |
Coupon represents a weighted average yield to maturity. |
(f) |
Zero coupon security. |
(g) |
Coupon represents a yield to maturity. |
(h) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) |
Contingent convertible security. |
68 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||||||||||
Axis Energy Services ‘A’ |
07/01/2021 |
$ |
91 |
$ |
91 |
0.01 |
% | |||||||||||||||||
Ferroglobe PLC 9.375% due 12/31/2025 |
02/09/2017 - 12/04/2019 |
2,394 |
2,475 |
0.39 |
||||||||||||||||||||
Intelsat SA |
06/19/2017 - 02/23/2022 |
15,920 |
6,212 |
0.97 |
||||||||||||||||||||
Neiman Marcus Group Ltd. LLC |
09/25/2020 |
2,918 |
15,661 |
2.45 |
||||||||||||||||||||
Noble Corp. |
02/05/2021 - 02/27/2021 |
1,838 |
2,989 |
0.47 |
||||||||||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 |
2,140 |
2,140 |
0.33 |
||||||||||||||||||||
Westmoreland Mining Holdings |
07/11/2016 - 10/19/2016 |
2,160 |
0 |
0.00 |
||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
$ 27,461 |
$ |
29,568 |
4.62 |
% | ||||||||||||||||||||
|
|
|
|
|
|
Counterparty |
Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By |
Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||
FICC |
0.400 |
% |
06/30/2022 |
07/01/2022 |
$ |
5,857 |
U.S. Treasury Notes 3.000% due 06/30/2024 |
$ |
(5,974 |
) |
$ |
5,857 |
$ |
5,857 |
||||||||||||||||
NOM |
1.480 |
06/30/2022 |
07/01/2022 |
9,500 |
U.S. Treasury Bonds 4.375% due 05/15/2040 |
(9,727 |
) |
9,500 |
9,500 |
|||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ |
(15,701 |
) |
$ |
15,357 |
$ |
15,357 |
||||||||||||||||||||||
|
|
|
|
|
|
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BOS |
1.880 |
% |
06/10/2022 |
09/12/2022 |
$ |
(744 |
) |
$ |
(744 |
) | ||||||||||||
BPS |
1.430 |
03/21/2022 |
09/22/2022 |
(5,473 |
) |
(5,496 |
) | |||||||||||||||
1.600 |
05/11/2022 |
08/09/2022 |
(649 |
) |
(650 |
) | ||||||||||||||||
1.650 |
05/02/2022 |
08/02/2022 |
(8,243 |
) |
(8,265 |
) | ||||||||||||||||
1.650 |
06/03/2022 |
08/02/2022 |
(869 |
) |
(870 |
) | ||||||||||||||||
1.650 |
06/06/2022 |
08/02/2022 |
(1,951 |
) |
(1,954 |
) | ||||||||||||||||
1.690 |
04/18/2022 |
10/17/2022 |
(1,513 |
) |
(1,518 |
) | ||||||||||||||||
1.830 |
05/12/2022 |
08/12/2022 |
(1,604 |
) |
(1,609 |
) | ||||||||||||||||
1.830 |
06/29/2022 |
08/12/2022 |
(1,322 |
) |
(1,322 |
) | ||||||||||||||||
1.990 |
04/27/2022 |
10/27/2022 |
(1,242 |
) |
(1,247 |
) | ||||||||||||||||
1.990 |
05/02/2022 |
10/27/2022 |
(2,559 |
) |
(2,567 |
) | ||||||||||||||||
1.990 |
06/17/2022 |
10/27/2022 |
(3,229 |
) |
(3,232 |
) | ||||||||||||||||
2.610 |
06/23/2022 |
09/26/2022 |
(4,827 |
) |
(4,830 |
) | ||||||||||||||||
BRC |
(3.000 |
) |
02/14/2022 |
TBD |
(3) |
EUR |
(2,134 |
) |
(2,219 |
) | ||||||||||||
(0.500 |
) |
05/23/2022 |
TBD |
(3) |
(974 |
) |
(1,020 |
) | ||||||||||||||
(0.320 |
) |
11/05/2021 |
TBD |
(3) |
(1,024 |
) |
(1,071 |
) | ||||||||||||||
1.950 |
05/13/2022 |
08/16/2022 |
$ |
(1,441 |
) |
(1,445 |
) | |||||||||||||||
2.000 |
06/17/2022 |
TBD |
(3) |
(1,832 |
) |
(1,833 |
) | |||||||||||||||
2.070 |
06/17/2022 |
TBD |
(3) |
(17,122 |
) |
(17,136 |
) | |||||||||||||||
BYR |
2.110 |
05/12/2022 |
09/26/2022 |
(11,344 |
) |
(11,366 |
) | |||||||||||||||
CDC |
0.800 |
02/03/2022 |
08/05/2022 |
(1,003 |
) |
(1,006 |
) | |||||||||||||||
0.800 |
04/14/2022 |
08/05/2022 |
(12,368 |
) |
(12,390 |
) | ||||||||||||||||
0.800 |
04/29/2022 |
08/05/2022 |
(2,883 |
) |
(2,887 |
) | ||||||||||||||||
1.150 |
03/08/2022 |
09/07/2022 |
(13,218 |
) |
(13,266 |
) | ||||||||||||||||
1.160 |
04/21/2022 |
07/22/2022 |
(1,780 |
) |
(1,784 |
) | ||||||||||||||||
1.230 |
04/14/2022 |
07/14/2022 |
(4,044 |
) |
(4,055 |
) | ||||||||||||||||
1.350 |
05/02/2022 |
08/02/2022 |
(3,167 |
) |
(3,174 |
) | ||||||||||||||||
1.480 |
05/09/2022 |
08/09/2022 |
(4,042 |
) |
(4,051 |
) | ||||||||||||||||
1.590 |
04/01/2022 |
09/30/2022 |
(1,605 |
) |
(1,611 |
) | ||||||||||||||||
1.740 |
06/07/2022 |
09/07/2022 |
(5,608 |
) |
(5,614 |
) | ||||||||||||||||
1.780 |
04/18/2022 |
10/14/2022 |
(3,805 |
) |
(3,819 |
) | ||||||||||||||||
1.780 |
07/01/2022 |
10/14/2022 |
(2,448 |
) |
(2,448 |
) | ||||||||||||||||
1.970 |
06/14/2022 |
09/14/2022 |
(3,898 |
) |
(3,902 |
) | ||||||||||||||||
CEW |
1.370 |
05/25/2022 |
TBD |
(3) |
GBP |
(842 |
) |
(1,026 |
) | |||||||||||||
1.400 |
05/25/2022 |
TBD |
(3) |
(183 |
) |
(223 |
) | |||||||||||||||
CIB |
2.500 |
06/16/2022 |
09/16/2022 |
$ |
(1,787 |
) |
(1,789 |
) | ||||||||||||||
FBF |
(0.850 |
) |
06/01/2022 |
08/30/2022 |
EUR |
(2,627 |
) |
(2,751 |
) | |||||||||||||
IND |
1.010 |
03/17/2022 |
09/15/2022 |
$ |
(1,513 |
) |
(1,518 |
) | ||||||||||||||
1.620 |
05/06/2022 |
08/08/2022 |
(5,303 |
) |
(5,316 |
) |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 69 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
1.670 |
% |
05/06/2022 |
08/08/2022 |
$ |
(719 |
) |
$ |
(721 |
) | |||||||||||||
1.680 |
04/12/2022 |
10/11/2022 |
(2,757 |
) |
(2,767 |
) | ||||||||||||||||
1.770 |
06/09/2022 |
09/12/2022 |
(5,928 |
) |
(5,935 |
) | ||||||||||||||||
1.790 |
06/10/2022 |
09/13/2022 |
(2,762 |
) |
(2,765 |
) | ||||||||||||||||
2.260 |
06/24/2022 |
09/26/2022 |
(3,272 |
) |
(3,273 |
) | ||||||||||||||||
2.380 |
06/24/2022 |
09/26/2022 |
(398 |
) |
(398 |
) | ||||||||||||||||
JML |
(5.500 |
) |
05/19/2022 |
TBD |
(3) |
EUR |
(323 |
) |
(336 |
) | ||||||||||||
(4.000 |
) |
06/24/2022 |
TBD |
(3) |
(779 |
) |
(815 |
) | ||||||||||||||
(3.000 |
) |
05/19/2022 |
TBD |
(3) |
(220 |
) |
(230 |
) | ||||||||||||||
(1.000 |
) |
02/18/2022 |
TBD |
(3) |
(706 |
) |
(737 |
) | ||||||||||||||
(1.000 |
) |
04/29/2022 |
TBD |
(3) |
(308 |
) |
(322 |
) | ||||||||||||||
(0.450 |
) |
06/24/2022 |
TBD |
(3) |
(8,527 |
) |
(8,935 |
) | ||||||||||||||
(0.380 |
) |
05/10/2022 |
08/09/2022 |
(576 |
) |
(603 |
) | |||||||||||||||
(0.350 |
) |
05/12/2022 |
08/10/2022 |
(5,755 |
) |
(6,028 |
) | |||||||||||||||
1.150 |
11/05/2021 |
TBD |
(3) |
GBP |
(3,261 |
) |
(3,976 |
) | ||||||||||||||
1.500 |
05/18/2022 |
08/10/2022 |
$ |
(2,875 |
) |
(2,880 |
) | |||||||||||||||
1.500 |
06/27/2022 |
08/10/2022 |
(1,170 |
) |
(1,170 |
) | ||||||||||||||||
2.000 |
06/17/2022 |
07/29/2022 |
(1,701 |
) |
(1,703 |
) | ||||||||||||||||
MEI |
1.370 |
04/19/2022 |
07/20/2022 |
(246 |
) |
(246 |
) | |||||||||||||||
RDR |
2.420 |
06/24/2022 |
09/26/2022 |
(2,964 |
) |
(2,966 |
) | |||||||||||||||
SOG |
0.670 |
01/07/2022 |
07/06/2022 |
(6,384 |
) |
(6,405 |
) | |||||||||||||||
0.670 |
02/07/2022 |
07/08/2022 |
(917 |
) |
(920 |
) | ||||||||||||||||
0.670 |
03/30/2022 |
07/06/2022 |
(1,576 |
) |
(1,579 |
) | ||||||||||||||||
0.670 |
04/06/2022 |
07/06/2022 |
(6,872 |
) |
(6,883 |
) | ||||||||||||||||
0.670 |
04/12/2022 |
07/08/2022 |
(1,513 |
) |
(1,515 |
) | ||||||||||||||||
1.290 |
06/03/2022 |
07/05/2022 |
(2,511 |
) |
(2,513 |
) | ||||||||||||||||
1.500 |
04/27/2022 |
08/01/2022 |
(2,595 |
) |
(2,602 |
) | ||||||||||||||||
1.580 |
05/03/2022 |
08/03/2022 |
(664 |
) |
(666 |
) | ||||||||||||||||
1.620 |
05/04/2022 |
08/04/2022 |
(1,764 |
) |
(1,769 |
) | ||||||||||||||||
1.720 |
06/16/2022 |
08/12/2022 |
(1,025 |
) |
(1,026 |
) | ||||||||||||||||
1.720 |
06/21/2022 |
08/12/2022 |
(829 |
) |
(830 |
) | ||||||||||||||||
2.580 |
07/05/2022 |
10/06/2022 |
(2,373 |
) |
(2,373 |
) | ||||||||||||||||
TDM |
1.740 |
06/17/2022 |
TBD |
(3) |
(4,708 |
) |
(4,711 |
) | ||||||||||||||
UBS |
(0.190 |
) |
06/01/2022 |
08/30/2022 |
EUR |
(2,671 |
) |
(2,799 |
) | |||||||||||||
1.350 |
06/29/2022 |
07/14/2022 |
(1,972 |
) |
(1,972 |
) | ||||||||||||||||
1.700 |
05/09/2022 |
08/09/2022 |
(996 |
) |
(998 |
) | ||||||||||||||||
1.850 |
06/17/2022 |
TBD |
(3) |
(14,004 |
) |
(14,014 |
) | |||||||||||||||
|
|
|||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ |
(243,405 |
) | ||||||||||||||||||
|
|
Counterparty |
Repurchase Agreement Proceeds to be Received (1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure (4) |
||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||
BOS |
$ |
0 |
$ |
(744 |
) |
$ |
0 |
$ |
(744 |
) |
$ |
756 |
$ |
12 |
||||||||||
BPS |
0 |
(33,560 |
) |
0 |
(33,560 |
) |
37,702 |
4,142 |
||||||||||||||||
BRC |
0 |
(24,724 |
) |
0 |
(24,724 |
) |
27,772 |
3,048 |
||||||||||||||||
BYR |
0 |
(11,366 |
) |
0 |
(11,366 |
) |
13,372 |
2,006 |
||||||||||||||||
CDC |
0 |
(60,007 |
) |
0 |
(60,007 |
) |
63,922 |
3,915 |
||||||||||||||||
CEW |
0 |
(1,249 |
) |
0 |
(1,249 |
) |
1,236 |
(13 |
) | |||||||||||||||
CIB |
0 |
(1,789 |
) |
0 |
(1,789 |
) |
2,250 |
461 |
||||||||||||||||
FBF |
0 |
(2,751 |
) |
0 |
(2,751 |
) |
3,095 |
344 |
||||||||||||||||
FICC |
5,857 |
0 |
0 |
5,857 |
(5,974 |
) |
(117 |
) | ||||||||||||||||
IND |
0 |
(22,693 |
) |
0 |
(22,693 |
) |
25,558 |
2,865 |
||||||||||||||||
JML |
0 |
(27,735 |
) |
0 |
(27,735 |
) |
31,981 |
4,246 |
||||||||||||||||
MEI |
0 |
(246 |
) |
0 |
(246 |
) |
261 |
15 |
||||||||||||||||
NOM |
9,500 |
0 |
0 |
9,500 |
(9,727 |
) |
(227 |
) | ||||||||||||||||
RDR |
0 |
(2,966 |
) |
0 |
(2,966 |
) |
3,099 |
133 |
||||||||||||||||
SOG |
0 |
(29,081 |
) |
0 |
(29,081 |
) |
29,858 |
777 |
||||||||||||||||
TDM |
0 |
(4,711 |
) |
0 |
(4,711 |
) |
5,083 |
372 |
||||||||||||||||
UBS |
0 |
(19,783 |
) |
0 |
(19,783 |
) |
23,043 |
3,260 |
||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
15,357 |
$ |
(243,405 |
) |
$ |
0 |
|||||||||||||||||
|
|
|
|
|
|
70 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||
Corporate Bonds & Notes |
$ |
0 |
$ |
(27,872 |
) |
$ |
(117,921 |
) |
$ |
(75,367 |
) |
$ |
(221,160 |
) | ||||||
U.S. Government Agencies |
0 |
0 |
(1,789 |
) |
0 |
(1,789 |
) | |||||||||||||
Sovereign Issues |
0 |
(1,703 |
) |
(666 |
) |
0 |
(2,369 |
) | ||||||||||||
Preferred Securities |
0 |
0 |
(13,266 |
) |
0 |
(13,266 |
) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ |
0 |
$ |
(29,575 |
) |
$ |
(133,642 |
) |
$ |
(75,367 |
) |
$ |
(238,584 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements (5) |
|
$ |
(238,584 |
) | ||||||||||||||||
|
|
(l) |
Securities with an aggregate market value of $256,412 and cash of $12,546 have been pledged as collateral under the terms of the above master agreements as of June 30, 2022. |
(1) |
Includes accrued interest. |
(2) |
The average amount of borrowings outstanding during the period ended June 30, 2022 was $(336,851) at a weighted average interest rate of 0.476%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) |
Open maturity reverse repurchase agreement. |
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(5) |
Unsettled reverse repurchase agreements liability of $(4,821) is outstanding at period end. |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2022 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value (4) |
Variation Margin |
|||||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
% |
Quarterly |
12/20/2024 |
8.213 |
% |
$ |
2,000 |
$ |
(8 |
) |
$ |
(123 |
) |
$ |
(131 |
) |
$ |
0 |
$ |
(1 |
) | ||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
Quarterly |
06/20/2026 |
9.623 |
EUR |
900 |
63 |
(192 |
) |
(129 |
) |
0 |
(16 |
) | ||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
06/20/2027 |
4.406 |
5,100 |
(448 |
) |
(318 |
) |
(766 |
) |
0 |
(48 |
) | ||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
12/20/2025 |
3.940 |
9,400 |
(1,005 |
) |
88 |
(917 |
) |
0 |
(81 |
) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ |
(1,398 |
) |
$ |
(545 |
) |
$ |
(1,943 |
) |
$ |
0 |
$ |
(146 |
) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
% |
Annual |
09/21/2032 |
GBP |
20,700 |
$ |
2,004 |
$ |
1,639 |
$ |
3,643 |
$ |
0 |
$ |
(377 |
) | ||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
5,300 |
335 |
1,705 |
2,040 |
0 |
(158 |
) | |||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
1.750 |
Annual |
06/15/2027 |
$ |
112,200 |
(2,687 |
) |
(2,665 |
) |
(5,352 |
) |
629 |
0 |
||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.250 |
Annual |
06/15/2032 |
87,000 |
4,224 |
7,449 |
11,673 |
0 |
(685 |
) | |||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.750 |
Annual |
06/15/2032 |
59,500 |
2,570 |
2,813 |
5,383 |
0 |
(484 |
) | |||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.000 |
Semi-Annual |
06/17/2023 |
17,400 |
(376 |
) |
754 |
378 |
0 |
(11 |
) | ||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.250 |
Semi-Annual |
06/16/2024 |
14,250 |
39 |
784 |
823 |
0 |
(29 |
) | |||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
3.000 |
Semi-Annual |
06/19/2024 |
1,900 |
(32 |
) |
41 |
9 |
0 |
(4 |
) | ||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.400 |
Semi-Annual |
12/18/2024 |
72,000 |
(205 |
) |
4,999 |
4,794 |
0 |
(199 |
) | ||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.850 |
Semi-Annual |
02/01/2027 |
43,700 |
343 |
3,719 |
4,062 |
0 |
(248 |
) | |||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.370 |
Semi-Annual |
08/25/2028 |
27,135 |
0 |
2,461 |
2,461 |
0 |
(176 |
) | |||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
3.000 |
Semi-Annual |
06/19/2029 |
79,200 |
1,687 |
(1,956 |
) |
(269 |
) |
554 |
0 |
||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.000 |
Semi-Annual |
12/16/2030 |
127 |
1 |
19 |
20 |
0 |
(1 |
) | |||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.750 |
Semi-Annual |
06/16/2031 |
7,300 |
517 |
819 |
1,336 |
0 |
(54 |
) | |||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.350 |
Semi-Annual |
02/09/2032 |
139,800 |
581 |
18,864 |
19,445 |
0 |
(1,390 |
) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.500 |
Semi-Annual |
06/19/2044 |
617,800 |
110,476 |
(66,750 |
) |
43,726 |
10,234 |
0 |
|||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.000 |
Semi-Annual |
01/15/2050 |
35,600 |
(256 |
) |
6,434 |
6,178 |
0 |
(564 |
) | ||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.750 |
Semi-Annual |
01/22/2050 |
55,100 |
(127 |
) |
12,403 |
12,276 |
0 |
(839 |
) | ||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.875 |
Semi-Annual |
02/07/2050 |
42,480 |
(165 |
) |
8,609 |
8,444 |
0 |
(660 |
) | ||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.000 |
Semi-Annual |
12/15/2051 |
29,200 |
2,124 |
(7,628 |
) |
(5,504 |
) |
241 |
0 |
||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.700 |
Semi-Annual |
02/01/2052 |
446,900 |
(8,681 |
) |
114,206 |
105,525 |
0 |
(6,909 |
) | ||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
0.270 |
Annual |
09/11/2024 |
EUR |
25,600 |
4 |
569 |
573 |
0 |
(120 |
) | ||||||||||||||||||||||||
Pay |
6-Month EUR-EURIBOR |
0.650 |
Annual |
02/26/2029 |
65,500 |
65 |
(5,415 |
) |
(5,350 |
) |
1,031 |
0 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 71 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
0.150 |
% |
Annual |
06/17/2030 |
EUR |
24,100 |
$ |
(1,059 |
) |
$ |
4,643 |
$ |
3,584 |
$ |
0 |
$ |
(406 |
) | |||||||||||||||||
Receive (5) |
6-Month EUR-EURIBOR |
0.250 |
Annual |
09/21/2032 |
3,200 |
290 |
326 |
616 |
0 |
(55 |
) | |||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
1.250 |
Annual |
08/19/2049 |
18,200 |
76 |
2,975 |
3,051 |
0 |
(514 |
) | |||||||||||||||||||||||||
Pay |
6-Month EUR-EURIBOR |
0.500 |
Annual |
06/17/2050 |
7,700 |
1,317 |
(3,986 |
) |
(2,669 |
) |
195 |
0 |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ |
113,065 |
$ |
107,831 |
$ |
220,896 |
$ |
12,884 |
$ |
(13,883 |
) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total Swap Agreements |
$ |
111,667 |
$ |
107,286 |
$ |
218,953 |
$ |
12,884 |
$ |
(14,029 |
) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Total |
Market Value |
Variation Margin Liability |
Total |
|||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Written Options |
Futures |
Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
12,884 |
$ |
12,884 |
$ |
0 |
$ |
0 |
$ |
(14,029) |
$ |
(14,029) |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
07/2022 |
GBP |
18,788 |
$ |
23,756 |
$ |
885 |
$ |
0 |
|||||||||||||||
07/2022 |
$ |
630 |
EUR |
588 |
0 |
(14 |
) | |||||||||||||||||
07/2022 |
2,276 |
GBP |
1,799 |
0 |
(86 |
) | ||||||||||||||||||
07/2022 |
893 |
PEN |
3,610 |
48 |
0 |
|||||||||||||||||||
BPS |
07/2022 |
GBP |
375 |
$ |
454 |
0 |
(2 |
) | ||||||||||||||||
07/2022 |
$ |
67,688 |
EUR |
64,355 |
0 |
(247 |
) | |||||||||||||||||
07/2022 |
2,625 |
GBP |
2,134 |
0 |
(28 |
) | ||||||||||||||||||
08/2022 |
EUR |
60,005 |
$ |
63,228 |
230 |
0 |
||||||||||||||||||
CBK |
07/2022 |
742 |
792 |
15 |
0 |
|||||||||||||||||||
12/2022 |
PEN |
4,729 |
1,219 |
4 |
0 |
|||||||||||||||||||
HUS |
07/2022 |
EUR |
1,445 |
1,519 |
5 |
0 |
||||||||||||||||||
07/2022 |
GBP |
470 |
578 |
6 |
0 |
|||||||||||||||||||
07/2022 |
$ |
676 |
GBP |
552 |
0 |
(4 |
) | |||||||||||||||||
08/2022 |
CAD |
343 |
$ |
268 |
1 |
0 |
||||||||||||||||||
JPM |
07/2022 |
$ |
622 |
EUR |
581 |
0 |
(13 |
) | ||||||||||||||||
MYI |
07/2022 |
871 |
GBP |
721 |
7 |
0 |
||||||||||||||||||
RBC |
08/2022 |
CAD |
1,178 |
$ |
910 |
0 |
(5 |
) | ||||||||||||||||
SOG |
07/2022 |
EUR |
62,998 |
67,711 |
1,692 |
0 |
||||||||||||||||||
07/2022 |
$ |
19,557 |
GBP |
16,069 |
5 |
0 |
||||||||||||||||||
08/2022 |
GBP |
16,069 |
$ |
19,566 |
0 |
(5 |
) |
72 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
TOR |
08/2022 |
$ |
1,560 |
GBP |
1,285 |
$ |
5 |
$ |
0 |
|||||||||||||||
UAG |
07/2022 |
GBP |
357 |
$ |
436 |
1 |
0 |
|||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ |
2,904 |
$ |
(404 |
) | ||||||||||||||||||
|
|
|
|
Counterparty |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2022 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
JPM |
Banca Monte Dei Paschi Di |
5.000% |
Quarterly |
06/20/2025 |
6.560% |
EUR |
200 |
$ |
(4 |
) |
$ |
(4 |
) |
$ |
0 |
$ |
(8 |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Swap Agreements |
$ |
(4 |
) |
$ |
(4 |
) |
$ |
0 |
$ |
(8 |
) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||||||||||||||
Counterparty |
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral pledged/ (received) |
Net Exposure (5) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ |
933 |
$ |
0 |
$ |
0 |
$ |
933 |
$ |
(100 |
) |
$ |
0 |
$ |
0 |
$ |
(100 |
) |
$ |
833 |
$ |
(830 |
) |
$ |
3 |
|||||||||||||||||||||||
BPS |
230 |
0 |
0 |
230 |
(277 |
) |
0 |
0 |
(277 |
) |
(47 |
) |
0 |
(47 |
) | |||||||||||||||||||||||||||||||||
CBK |
19 |
0 |
0 |
19 |
0 |
0 |
0 |
0 |
19 |
0 |
19 |
|||||||||||||||||||||||||||||||||||||
HUS |
12 |
0 |
0 |
12 |
(4 |
) |
0 |
0 |
(4 |
) |
8 |
0 |
8 |
|||||||||||||||||||||||||||||||||||
JPM |
0 |
0 |
0 |
0 |
(13 |
) |
0 |
(8 |
) |
(21 |
) |
(21 |
) |
0 |
(21 |
) | ||||||||||||||||||||||||||||||||
MYI |
7 |
0 |
0 |
7 |
0 |
0 |
0 |
0 |
7 |
0 |
7 |
|||||||||||||||||||||||||||||||||||||
RBC |
0 |
0 |
0 |
0 |
(5 |
) |
0 |
0 |
(5 |
) |
(5 |
) |
0 |
(5 |
) | |||||||||||||||||||||||||||||||||
SOG |
1,697 |
0 |
0 |
1,697 |
(5 |
) |
0 |
0 |
(5 |
) |
1,692 |
(1,920 |
) |
(228 |
) | |||||||||||||||||||||||||||||||||
TOR |
5 |
0 |
0 |
5 |
0 |
0 |
0 |
0 |
5 |
0 |
5 |
|||||||||||||||||||||||||||||||||||||
UAG |
1 |
0 |
0 |
1 |
0 |
0 |
0 |
0 |
1 |
0 |
1 |
|||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
2,904 |
$ |
0 |
$ |
0 |
$ |
2,904 |
$ |
(404 |
) |
$ |
0 |
$ |
(8 |
) |
$ |
(412 |
) |
|||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 73 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
12,884 |
$ |
12,884 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
2,904 |
$ |
0 |
$ |
2,904 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
0 |
$ |
0 |
$ |
2,904 |
$ |
12,884 |
$ |
15,788 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
146 |
$ |
0 |
$ |
0 |
$ |
13,883 |
$ |
14,029 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
404 |
$ |
0 |
$ |
404 |
||||||||||||
Swap Agreements |
0 |
8 |
0 |
0 |
0 |
8 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
8 |
$ |
0 |
$ |
404 |
$ |
0 |
$ |
412 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
154 |
$ |
0 |
$ |
404 |
$ |
13,883 |
$ |
14,441 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
999 |
$ |
0 |
$ |
0 |
$ |
71,605 |
$ |
72,604 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
10,891 |
$ |
0 |
$ |
10,891 |
||||||||||||
Swap Agreements |
0 |
2 |
0 |
0 |
488 |
490 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
2 |
$ |
0 |
$ |
10,891 |
$ |
488 |
$ |
11,381 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
1,001 |
$ |
0 |
$ |
10,891 |
$ |
72,093 |
$ |
83,985 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
(1,609 |
) |
$ |
0 |
$ |
0 |
$ |
(70,327 |
) |
$ |
(71,936 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
2,519 |
$ |
0 |
$ |
2,519 |
||||||||||||
Swap Agreements |
0 |
(4 |
) |
0 |
0 |
(495 |
) |
(499 |
) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(4 |
) |
$ |
0 |
$ |
2,519 |
$ |
(495 |
) |
$ |
2,020 |
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(1,613 |
) |
$ |
0 |
$ |
2,519 |
$ |
(70,822 |
) |
$ |
(69,916 |
) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
74 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ |
0 |
$ |
110,882 |
$ |
35,976 |
$ |
146,858 |
||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 |
70,501 |
0 |
70,501 |
||||||||||||
Industrials |
0 |
181,878 |
34,901 |
216,779 |
||||||||||||
Utilities |
0 |
60,745 |
0 |
60,745 |
||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Industrials |
0 |
3,458 |
0 |
3,458 |
||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
District of Columbia |
0 |
11,420 |
0 |
11,420 |
||||||||||||
Illinois |
0 |
18,980 |
0 |
18,980 |
||||||||||||
Puerto Rico |
0 |
2,720 |
0 |
2,720 |
||||||||||||
Texas |
0 |
9,499 |
0 |
9,499 |
||||||||||||
Virginia |
0 |
516 |
0 |
516 |
||||||||||||
West Virginia |
0 |
5,363 |
0 |
5,363 |
||||||||||||
U.S. Government Agencies |
0 |
7,390 |
8,195 |
15,585 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
64,732 |
0 |
64,732 |
||||||||||||
Asset-Backed Securities |
0 |
54,303 |
5,577 |
59,880 |
||||||||||||
Sovereign Issues |
0 |
10,235 |
0 |
10,235 |
||||||||||||
Common Stocks |
| |||||||||||||||
Communication Services |
2,216 |
0 |
984 |
3,200 |
||||||||||||
Energy |
3,087 |
0 |
91 |
3,178 |
||||||||||||
Financials |
0 |
0 |
6,212 |
6,212 |
||||||||||||
Industrials |
0 |
0 |
17,801 |
17,801 |
||||||||||||
Materials |
0 |
0 |
38 |
38 |
||||||||||||
Rights |
| |||||||||||||||
Financials |
0 |
0 |
111 |
111 |
||||||||||||
Warrants |
| |||||||||||||||
Financials |
0 |
0 |
117 |
117 |
||||||||||||
Industrials |
0 |
0 |
1,075 |
1,075 |
||||||||||||
Information Technology |
0 |
0 |
11,462 |
11,462 |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance |
$ |
0 |
$ |
50,016 |
$ |
0 |
$ |
50,016 |
||||||||
Industrials |
0 |
328 |
67,316 |
67,644 |
||||||||||||
Real Estate Investment Trusts |
| |||||||||||||||
Real Estate |
19,192 |
0 |
0 |
19,192 |
||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements |
0 |
15,357 |
0 |
15,357 |
||||||||||||
Argentina Treasury Bills |
0 |
191 |
0 |
191 |
||||||||||||
U.S. Treasury Bills |
0 |
22,364 |
0 |
22,364 |
||||||||||||
U.S. Treasury Cash Management Bills |
0 |
1,996 |
0 |
1,996 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ |
24,495 |
$ |
702,874 |
$ |
189,856 |
$ |
917,225 |
||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
12,884 |
0 |
12,884 |
||||||||||||
Over the counter |
0 |
2,904 |
0 |
2,904 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
15,788 |
$ |
0 |
$ |
15,788 |
|||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
(14,029 |
) |
0 |
(14,029 |
) | ||||||||||
Over the counter |
0 |
(412 |
) |
0 |
(412 |
) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
(14,441 |
) |
$ |
0 |
$ |
(14,441 |
) | |||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financial Derivative Instruments |
$ |
0 |
$ |
1,347 |
$ |
0 |
$ |
1,347 |
||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ |
24,495 |
$ |
704,221 |
$ |
189,856 |
$ |
918,572 |
||||||||
|
|
|
|
|
|
|
|
Category and Subcategory |
Beginning Balance at 07/31/2021 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2022 (1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
15,719 |
$ |
47,250 |
$ |
(10,227 |
) |
$ |
576 |
$ |
(63 |
) |
$ |
(13,021 |
) |
$ |
367 |
$ |
(4,625 |
) |
$ |
35,976 |
$ |
438 |
||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
0 |
27,689 |
(181 |
) |
0 |
0 |
(2,435 |
) |
9,828 |
0 |
34,901 |
(2,435 |
) | |||||||||||||||||||||||||||
U.S. Government Agencies |
8,336 |
0 |
(186 |
) |
23 |
63 |
(41 |
) |
0 |
0 |
8,195 |
0 |
||||||||||||||||||||||||||||
Asset-Backed Securities |
5,870 |
857 |
0 |
0 |
0 |
(1,150 |
) |
0 |
0 |
5,577 |
(1,150 |
) | ||||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Communication Services |
3,223 |
0 |
0 |
0 |
0 |
(2,239 |
) |
0 |
0 |
984 |
(2,239 |
) | ||||||||||||||||||||||||||||
Energy |
91 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
91 |
0 |
||||||||||||||||||||||||||||||
Financials |
0 |
15,920 |
0 |
0 |
0 |
(9,708 |
) |
0 |
0 |
6,212 |
(9,708 |
) | ||||||||||||||||||||||||||||
Industrials |
9,968 |
2,140 |
0 |
0 |
0 |
5,693 |
0 |
0 |
17,801 |
5,693 |
||||||||||||||||||||||||||||||
Materials (2) |
1,150 |
0 |
(1,118 |
) |
0 |
87 |
(81 |
) |
0 |
0 |
38 |
38 |
||||||||||||||||||||||||||||
Rights |
| |||||||||||||||||||||||||||||||||||||||
Financials |
0 |
0 |
0 |
0 |
0 |
111 |
0 |
0 |
111 |
111 |
||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Financials |
0 |
9,049 |
0 |
0 |
(57 |
) |
(8,875 |
) |
0 |
0 |
117 |
(8,875 |
) | |||||||||||||||||||||||||||
Industrials |
1,131 |
0 |
0 |
0 |
0 |
(56 |
) |
0 |
0 |
1,075 |
(56 |
) | ||||||||||||||||||||||||||||
Information Technology |
11,995 |
0 |
0 |
0 |
0 |
(533 |
) |
0 |
0 |
11,462 |
(533 |
) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
56,717 |
0 |
0 |
0 |
0 |
10,599 |
0 |
0 |
67,316 |
10,599 |
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ |
114,200 |
$ |
102,905 |
$ |
(11,712 |
) |
$ |
599 |
$ |
30 |
$ |
(21,736 |
) |
$ |
10,195 |
$ |
(4,625 |
) |
$ |
189,856 |
$ |
(8,117 |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
75 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
June 30, 2022 |
Category and Subcategory |
Ending Balance at 06/30/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||
Loan Participations and Assignments |
$ |
4,459 |
Reference Instrument |
Yield |
6.366 |
— |
||||||||||||||
9,818 |
Proxy Pricing |
Base Price |
65.125 |
— |
||||||||||||||||
21,699 |
Third Party Vendor |
Broker Quote |
62.500-98.875 |
93.186 |
||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||
Industrials |
25,254 |
Discounted Cash Flow |
Discount Rate |
12.080 |
— |
|||||||||||||||
9,647 |
Reference Instrument |
Weighted Average |
BRL |
42.864 |
— |
|||||||||||||||
U.S. Government Agencies |
8,195 |
Discounted Cash Flow |
Discount Rate |
12.000 |
— |
|||||||||||||||
Asset-Backed Securities |
2,656 |
Discounted Cash Flow |
Discount Rate |
7.500-20.000 |
10.197 |
|||||||||||||||
2,921 |
Proxy Pricing |
Base Price |
5,800.000-7,500.000 |
7,147.643 |
||||||||||||||||
Common Stocks |
| |||||||||||||||||||
Communication Services |
984 |
Reference Instrument |
Liquidity Discount |
10.000 |
— |
|||||||||||||||
Energy |
91 |
Other Valuation Techniques (3) |
— |
— |
— |
|||||||||||||||
Financials |
6,212 |
Indicative Market Quotation |
EBITDA Multiple |
X |
7.000 |
— |
||||||||||||||
Industrials |
15,661 |
Discounted Cash Flow |
Discount Rate |
9.500-17.100 |
9.500 |
|||||||||||||||
2,140 |
Reference Instrument |
Purchase Price |
$ |
0.980 |
— |
|||||||||||||||
Materials |
38 |
Comparable Companies |
EBITDA Multiple |
X |
0.977 |
— |
||||||||||||||
Rights |
||||||||||||||||||||
Financials |
111 |
Other Valuation Techniques (3) |
— |
— |
— |
|||||||||||||||
Warrants |
| |||||||||||||||||||
Financials |
117 |
Other Valuation Techniques (3) |
— |
— |
— |
|||||||||||||||
Industrials |
1,075 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
||||||||||||||
Information Technology |
11,462 |
Comparable Companies/Discounted Cash Flow |
EBITDA Multiple |
X |
3.875 |
— |
||||||||||||||
Preferred Securities |
| |||||||||||||||||||
Industrials |
65,485 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
||||||||||||||
1,831 |
Comparable Companies/Discounted Cash Flow |
Book Value Multiple/ Discount Rate |
X/ |
% |
0.260/21.660 |
— |
||||||||||||||
|
|
|||||||||||||||||||
Total |
$ |
189,856 |
||||||||||||||||||
|
|
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) |
Sector type updated from Financials to Materials since prior fiscal year end. |
(3) |
Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
76 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Schedule of Investments |
PIMCO Income Strategy Fund |
June 30, 2022 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 140.6% |
| |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 27.3% |
| |||||||||||
AAdvantage Loyalty IP Ltd. |
| |||||||||||
5.813% (LIBOR03M + 4.750%) due 04/20/2028 ~ |
$ |
700 |
$ |
671 |
||||||||
AmSurg Corp. |
| |||||||||||
13.000% due 04/30/2028 « |
9,265 |
8,616 |
||||||||||
AP Core Holdings LLC |
| |||||||||||
7.166% (LIBOR01M + 5.500%) due 09/01/2027 ~ |
5,138 |
4,852 |
||||||||||
Caesars Resort Collection LLC |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 12/23/2024 ~ |
6,288 |
6,070 |
||||||||||
Carnival Corp. |
| |||||||||||
3.750% - 3.975% (EUR003M + 3.750%) due 06/30/2025 ~ |
EUR |
1,191 |
1,158 |
|||||||||
6.127% (LIBOR06M + 3.250%) due 10/18/2028 «~ |
$ |
561 |
505 |
|||||||||
Diamond Sports Group LLC |
| |||||||||||
9.181% due 05/26/2026 |
3,200 |
3,160 |
||||||||||
Encina Private Credit LLC |
| |||||||||||
TBD% - 5.598% (LIBOR01M + 4.274%) due 11/30/2025 «~µ |
3,945 |
3,848 |
||||||||||
Envision Healthcare Corp. |
| |||||||||||
TBD% due 04/30/2027 µ |
738 |
729 |
||||||||||
8.875% due 04/30/2027 |
4,062 |
4,011 |
||||||||||
Fly Funding SARL |
| |||||||||||
7.012% - 7.611% (LIBOR03M + 6.000%) due 10/08/2025 «~ |
170 |
168 |
||||||||||
Forbes Energy Services LLC (7.000% PIK) |
| |||||||||||
7.000% due 09/30/2022 «(b) |
193 |
0 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
| |||||||||||
9.590% (LIBOR03M + 8.000%) due 10/15/2027 ~ |
3,428 |
3,387 |
||||||||||
9.590% due 10/18/2027 « |
CAD |
748 |
575 |
|||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
4.920% due 02/01/2029 |
$ |
2,347 |
2,153 |
|||||||||
Lealand Finance Co. BV |
| |||||||||||
4.666% (LIBOR01M + 3.000%) due 06/28/2024 «~ |
40 |
25 |
||||||||||
Lealand Finance Co. BV (2.666% Cash and 3.000% PIK) |
| |||||||||||
5.666% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) |
186 |
95 |
||||||||||
MPH Acquisition Holdings LLC |
| |||||||||||
5.825% (LIBOR03M + 4.250%) due 09/01/2028 ~ |
3,474 |
3,211 |
||||||||||
Promotora de Informaciones SA |
| |||||||||||
5.250% (EUR003M + 5.250%) due 12/31/2026 ~ |
EUR |
5,715 |
5,375 |
|||||||||
9.000% (EUR003M + 8.000%) due 06/30/2027 ~ |
766 |
728 |
||||||||||
PUG LLC |
| |||||||||||
5.166% (LIBOR01M + 3.500%) due 02/12/2027 ~ |
$ |
878 |
805 |
|||||||||
5.916% (LIBOR01M + 4.250%) due 02/12/2027 «~ |
1,191 |
1,105 |
||||||||||
Redstone Holdco 2 LP |
| |||||||||||
5.934% (LIBOR03M + 4.750%) due 04/27/2028 ~ |
1,380 |
1,196 |
||||||||||
Rising Tide Holdings, Inc. |
| |||||||||||
6.416% (LIBOR01M + 4.750%) due 06/01/2028 ~ |
594 |
521 |
||||||||||
Sasol Ltd. |
| |||||||||||
0.560% - 3.663% (LIBOR03M + 1.600%) due 11/23/2022 «~µ |
2,078 |
2,058 |
||||||||||
SkyMiles IP Ltd. |
| |||||||||||
4.813% (LIBOR03M + 3.750%) due 10/20/2027 ~ |
1,800 |
1,787 |
||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) |
| |||||||||||
10.750% (EUR003M) due 12/29/2022 «~(b) |
EUR |
7,121 |
4,589 |
|||||||||
Syniverse Holdings, Inc. |
| |||||||||||
8.286% due 05/13/2027 |
$ |
6,306 |
5,565 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Team Health Holdings, Inc. |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 02/06/2024 ~ |
$ |
7,106 |
$ |
6,348 |
||||||||
Telemar Norte Leste SA |
| |||||||||||
1.750% (LIBOR12M + 1.750%) due 02/26/2035 «~ |
4,415 |
1,523 |
||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
6.688% (LIBOR01M + 5.000%) due 06/26/2026 ~ |
2,500 |
1,722 |
||||||||||
7.188% (LIBOR01M + 5.500%) due 06/26/2026 «~ |
2,184 |
1,523 |
||||||||||
Univision Communications, Inc. |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 03/15/2024 ~ |
728 |
716 |
||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) |
| |||||||||||
15.000% due 03/15/2029 (b) |
2,221 |
1,332 |
||||||||||
Windstream Services LLC |
| |||||||||||
7.916% (LIBOR01M + 6.250%) due 09/21/2027 ~ |
1,356 |
1,275 |
||||||||||
|
|
|||||||||||
Total Loan Participations and Assignments (Cost $94,518) |
81,402 |
|||||||||||
|
|
|||||||||||
CORPORATE BONDS & NOTES 63.1% |
| |||||||||||
BANKING & FINANCE 15.2% |
| |||||||||||
Ally Financial, Inc. |
| |||||||||||
8.000% due 11/01/2031 (l) |
135 |
148 |
||||||||||
Apollo Commercial Real Estate Finance, Inc. |
| |||||||||||
4.625% due 06/15/2029 (l) |
2,400 |
1,791 |
||||||||||
Armor Holdco, Inc. |
| |||||||||||
8.500% due 11/15/2029 |
900 |
745 |
||||||||||
Banca Monte dei Paschi di Siena SpA |
| |||||||||||
1.875% due 01/09/2026 (l) |
EUR |
700 |
614 |
|||||||||
2.625% due 04/28/2025 (l) |
3,774 |
3,514 |
||||||||||
3.625% due 09/24/2024 (l) |
1,483 |
1,438 |
||||||||||
5.375% due 01/18/2028 • |
1,211 |
754 |
||||||||||
8.000% due 01/22/2030 •(l) |
1,441 |
967 |
||||||||||
8.500% due 09/10/2030 •(l) |
1,138 |
790 |
||||||||||
10.500% due 07/23/2029 (l) |
1,819 |
1,334 |
||||||||||
Banco de Credito del Peru SA |
| |||||||||||
4.650% due 09/17/2024 |
PEN |
400 |
97 |
|||||||||
Barclays PLC |
| |||||||||||
6.375% due 12/15/2025 •(h)(i) |
GBP |
600 |
674 |
|||||||||
7.125% due 06/15/2025 •(h)(i) |
5,100 |
5,972 |
||||||||||
BOI Finance BV |
| |||||||||||
7.500% due 02/16/2027 |
EUR |
1,500 |
1,273 |
|||||||||
Claveau Re Ltd. |
| |||||||||||
18.945% (T-BILL 3MO + 17.250%) due 07/08/2028 ~ |
$ |
600 |
584 |
|||||||||
Cosaint Re Pte. Ltd. |
| |||||||||||
10.948% (T-BILL 1MO + 9.250%) due 04/03/2028 ~ |
400 |
393 |
||||||||||
Credit Suisse Group AG |
| |||||||||||
7.500% due 07/17/2023 •(h)(i) |
200 |
185 |
||||||||||
7.500% due 12/11/2023 •(h)(i) |
640 |
611 |
||||||||||
7.500% due 12/11/2023 •(h)(i)(l) |
3,200 |
3,056 |
||||||||||
GSPA Monetization Trust |
| |||||||||||
6.422% due 10/09/2029 |
1,295 |
1,289 |
||||||||||
Hestia Re Ltd. |
| |||||||||||
9.500% (T-BILL 3MO + 9.500%) due 04/22/2025 ~ |
469 |
466 |
||||||||||
HSBC Holdings PLC |
| |||||||||||
6.000% due 09/29/2023 •(h)(i)(l) |
EUR |
1,200 |
1,247 |
|||||||||
Natwest Group PLC |
| |||||||||||
8.000% due 08/10/2025 •(h)(i) |
$ |
3,000 |
2,976 |
|||||||||
Sanders Re Ltd. |
| |||||||||||
11.750% (T-BILL 3MO + 11.750%) due 04/09/2029 ~ |
714 |
715 |
||||||||||
Santander U.K. Group Holdings PLC |
| |||||||||||
6.750% due 06/24/2024 •(h)(i) |
GBP |
2,850 |
3,348 |
|||||||||
Societe Generale SA |
| |||||||||||
7.375% due 10/04/2023 •(h)(i) |
$ |
300 |
289 |
|||||||||
Unique Pub Finance Co. PLC |
| |||||||||||
5.659% due 06/30/2027 |
GBP |
198 |
254 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Uniti Group LP |
| |||||||||||
6.000% due 01/15/2030 (l) |
$ |
4,468 |
$ |
3,097 |
||||||||
VICI Properties LP |
| |||||||||||
3.875% due 02/15/2029 (l) |
1,800 |
1,552 |
||||||||||
4.500% due 01/15/2028 (l) |
1,280 |
1,169 |
||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
8.500% due 05/09/2026 |
3,865 |
3,459 |
||||||||||
Yosemite Re Ltd. |
| |||||||||||
11.389% (T-BILL 3MO + 9.750%) due 06/06/2025 ~ |
390 |
391 |
||||||||||
|
|
|||||||||||
45,192 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 38.0% |
| |||||||||||
Altice Financing SA |
| |||||||||||
5.750% due 08/15/2029 (l) |
1,105 |
890 |
||||||||||
Arches Buyer, Inc. |
| |||||||||||
4.250% due 06/01/2028 (l) |
700 |
572 |
||||||||||
Boeing Co. |
| |||||||||||
5.705% due 05/01/2040 (l) |
416 |
389 |
||||||||||
5.805% due 05/01/2050 (l) |
540 |
497 |
||||||||||
5.930% due 05/01/2060 (l) |
500 |
456 |
||||||||||
6.125% due 02/15/2033 (l) |
885 |
892 |
||||||||||
Bombardier, Inc. |
| |||||||||||
7.500% due 03/15/2025 (l) |
2,667 |
2,418 |
||||||||||
Broadcom, Inc. |
| |||||||||||
3.187% due 11/15/2036 (l) |
36 |
27 |
||||||||||
4.150% due 11/15/2030 (l) |
114 |
105 |
||||||||||
4.926% due 05/15/2037 (l) |
153 |
137 |
||||||||||
Carvana Co. |
| |||||||||||
10.250% due 05/01/2030 (l) |
1,300 |
1,070 |
||||||||||
CGG SA |
| |||||||||||
7.750% due 04/01/2027 |
EUR |
1,300 |
1,165 |
|||||||||
8.750% due 04/01/2027 (l) |
$ |
1,944 |
1,657 |
|||||||||
Charter Communications Operating LLC |
| |||||||||||
3.700% due 04/01/2051 |
100 |
68 |
||||||||||
3.850% due 04/01/2061 (l) |
200 |
132 |
||||||||||
3.900% due 06/01/2052 (l) |
2,900 |
2,019 |
||||||||||
4.400% due 12/01/2061 (l) |
2,600 |
1,875 |
||||||||||
CommScope, Inc. |
| |||||||||||
8.250% due 03/01/2027 (l) |
3,590 |
2,847 |
||||||||||
Community Health Systems, Inc. |
| |||||||||||
5.250% due 05/15/2030 (l) |
2,100 |
1,600 |
||||||||||
8.000% due 03/15/2026 (l) |
906 |
828 |
||||||||||
Coty, Inc. |
| |||||||||||
3.875% due 04/15/2026 |
EUR |
3,300 |
3,068 |
|||||||||
CVS Pass-Through Trust |
| |||||||||||
7.507% due 01/10/2032 (l) |
$ |
343 |
374 |
|||||||||
DISH DBS Corp. |
| |||||||||||
5.250% due 12/01/2026 (l) |
2,220 |
1,744 |
||||||||||
5.750% due 12/01/2028 (l) |
2,670 |
1,982 |
||||||||||
Exela Intermediate LLC |
| |||||||||||
11.500% due 07/15/2026 |
42 |
14 |
||||||||||
Fertitta Entertainment LLC |
| |||||||||||
6.750% due 01/15/2030 |
1,100 |
847 |
||||||||||
Ford Motor Co. |
| |||||||||||
7.700% due 05/15/2097 (l) |
7,435 |
7,689 |
||||||||||
Fresh Market, Inc. |
| |||||||||||
9.750% due 05/01/2023 |
3,313 |
3,313 |
||||||||||
Frontier Communications Holdings LLC |
| |||||||||||
6.000% due 01/15/2030 (l) |
881 |
680 |
||||||||||
HCA, Inc. |
| |||||||||||
7.500% due 11/15/2095 |
1,050 |
1,076 |
||||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
6.500% due 03/15/2030 |
8,343 |
6,904 |
||||||||||
Inter Media & Communication SpA |
| |||||||||||
6.750% due 02/09/2027 |
EUR |
1,500 |
1,407 |
|||||||||
Las Vegas Sands Corp. |
| |||||||||||
3.900% due 08/08/2029 |
$ |
200 |
164 |
|||||||||
Market Bidco Finco PLC |
| |||||||||||
4.750% due 11/04/2027 |
EUR |
400 |
334 |
|||||||||
Melco Resorts Finance Ltd. |
| |||||||||||
5.750% due 07/21/2028 |
$ |
800 |
516 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 77 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
NCL Corp. Ltd. |
| |||||||||||
5.875% due 02/15/2027 (l) |
$ |
1,222 |
$ |
1,047 |
||||||||
New Albertsons LP |
| |||||||||||
6.570% due 02/23/2028 |
2,800 |
2,747 |
||||||||||
Nissan Motor Co. Ltd. |
| |||||||||||
4.810% due 09/17/2030 (l) |
5,300 |
4,713 |
||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) |
| |||||||||||
11.000% due 02/15/2028 (b) |
725 |
794 |
||||||||||
Odebrecht Oil & Gas Finance Ltd. |
| |||||||||||
0.000% due 08/01/2022 (f)(h) |
450 |
2 |
||||||||||
Olympus Water U.S. Holding Corp. |
| |||||||||||
5.375% due 10/01/2029 |
EUR |
1,400 |
1,059 |
|||||||||
Petroleos Mexicanos |
| |||||||||||
4.875% due 02/21/2028 |
556 |
463 |
||||||||||
6.700% due 02/16/2032 |
$ |
869 |
664 |
|||||||||
6.750% due 09/21/2047 (l) |
5,469 |
3,396 |
||||||||||
6.950% due 01/28/2060 |
150 |
93 |
||||||||||
7.690% due 01/23/2050 |
1,160 |
792 |
||||||||||
Royal Caribbean Cruises Ltd. |
| |||||||||||
10.875% due 06/01/2023 |
1,063 |
1,069 |
||||||||||
11.500% due 06/01/2025 |
302 |
311 |
||||||||||
Sands China Ltd. |
| |||||||||||
2.550% due 03/08/2027 |
400 |
292 |
||||||||||
3.100% due 03/08/2029 |
300 |
213 |
||||||||||
3.250% due 08/08/2031 |
200 |
132 |
||||||||||
5.400% due 08/08/2028 (l) |
2,702 |
2,088 |
||||||||||
Schenck Process Holding GmbH |
| |||||||||||
6.875% due 06/15/2023 (l) |
EUR |
200 |
206 |
|||||||||
Spirit AeroSystems, Inc. |
| |||||||||||
3.950% due 06/15/2023 (l) |
$ |
1,557 |
1,462 |
|||||||||
Studio City Finance Ltd. |
| |||||||||||
6.000% due 07/15/2025 (l) |
1,000 |
635 |
||||||||||
6.500% due 01/15/2028 (l) |
1,000 |
562 |
||||||||||
Syngenta Finance NV |
| |||||||||||
5.676% due 04/24/2048 (l) |
1,990 |
2,045 |
||||||||||
Topaz Solar Farms LLC |
| |||||||||||
4.875% due 09/30/2039 (l) |
951 |
825 |
||||||||||
5.750% due 09/30/2039 |
5,652 |
5,140 |
||||||||||
Transocean Pontus Ltd. |
| |||||||||||
6.125% due 08/01/2025 |
1,243 |
1,139 |
||||||||||
Transocean, Inc. |
| |||||||||||
7.250% due 11/01/2025 |
68 |
50 |
||||||||||
7.500% due 01/15/2026 |
56 |
40 |
||||||||||
8.000% due 02/01/2027 |
66 |
44 |
||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
10.625% due 07/15/2027 |
1,782 |
673 |
||||||||||
United Airlines, Inc. |
| |||||||||||
4.625% due 04/15/2029 (l) |
300 |
256 |
||||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) |
| |||||||||||
8.250% due 04/30/2028 (b) |
2,952 |
2,868 |
||||||||||
Vale SA |
| |||||||||||
0.000% due 12/29/2049 «~(h) |
BRL |
60,000 |
4,824 |
|||||||||
Veritas U.S., Inc. |
| |||||||||||
7.500% due 09/01/2025 |
$ |
557 |
419 |
|||||||||
Viking Cruises Ltd. |
| |||||||||||
13.000% due 05/15/2025 (l) |
3,217 |
3,301 |
||||||||||
VOC Escrow Ltd. |
| |||||||||||
5.000% due 02/15/2028 (l) |
1,000 |
805 |
||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) |
| |||||||||||
10.500% due 11/15/2026 «(b) |
13,558 |
12,867 |
||||||||||
Windstream Escrow LLC |
| |||||||||||
7.750% due 08/15/2028 (l) |
3,997 |
3,229 |
||||||||||
Wynn Macau Ltd. |
| |||||||||||
5.500% due 01/15/2026 (l) |
1,000 |
694 |
||||||||||
5.625% due 08/26/2028 |
500 |
309 |
||||||||||
ZipRecruiter, Inc. |
| |||||||||||
5.000% due 01/15/2030 (l) |
1,300 |
1,094 |
||||||||||
|
|
|||||||||||
113,118 |
||||||||||||
|
|
|||||||||||
UTILITIES 9.9% |
| |||||||||||
DTEK Finance PLC (3.500% Cash and 3.500% PIK) |
| |||||||||||
7.000% due 12/31/2027 (b) |
2,076 |
500 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Eskom Holdings SOC Ltd. |
| |||||||||||
7.125% due 02/11/2025 |
$ |
1,200 |
$ |
1,015 |
||||||||
NGD Holdings BV |
| |||||||||||
6.750% due 12/31/2026 |
188 |
83 |
||||||||||
Northwestern Bell Telephone |
| |||||||||||
7.750% due 05/01/2030 (l) |
7,000 |
7,640 |
||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
| |||||||||||
7.350% due 12/01/2026 ^(b) |
149 |
92 |
||||||||||
Odebrecht Offshore Drilling Finance Ltd. |
| |||||||||||
6.720% due 12/01/2022 ^ |
79 |
76 |
||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
| |||||||||||
7.720% due 12/01/2026 ^(b) |
3,198 |
800 |
||||||||||
Oi SA (10.000% Cash or 12.000% PIK) |
| |||||||||||
10.000% due 07/27/2025 (b) |
5,862 |
2,878 |
||||||||||
Pacific Gas & Electric Co. |
| |||||||||||
3.750% due 08/15/2042 |
10 |
7 |
||||||||||
4.000% due 12/01/2046 (l) |
1,004 |
706 |
||||||||||
4.200% due 03/01/2029 (l) |
900 |
804 |
||||||||||
4.300% due 03/15/2045 |
11 |
8 |
||||||||||
4.450% due 04/15/2042 (l) |
322 |
242 |
||||||||||
4.500% due 07/01/2040 (l) |
939 |
729 |
||||||||||
4.500% due 12/15/2041 |
10 |
7 |
||||||||||
4.550% due 07/01/2030 (l) |
1,877 |
1,669 |
||||||||||
4.600% due 06/15/2043 |
8 |
6 |
||||||||||
4.750% due 02/15/2044 (l) |
2,810 |
2,159 |
||||||||||
4.950% due 07/01/2050 (l) |
2,360 |
1,887 |
||||||||||
Peru LNG SRL |
| |||||||||||
5.375% due 03/22/2030 |
4,372 |
3,542 |
||||||||||
Petrobras Global Finance BV |
| |||||||||||
6.625% due 01/16/2034 |
GBP |
100 |
112 |
|||||||||
PG&E Wildfire Recovery Funding LLC |
| |||||||||||
4.263% due 06/01/2038 (l) |
$ |
230 |
232 |
|||||||||
4.377% due 06/01/2041 (l) |
260 |
257 |
||||||||||
4.451% due 12/01/2049 (l) |
1,300 |
1,313 |
||||||||||
4.674% due 12/01/2053 (l) |
300 |
300 |
||||||||||
Rio Oil Finance Trust |
| |||||||||||
9.250% due 07/06/2024 |
1,487 |
1,542 |
||||||||||
Transocean Poseidon Ltd. |
| |||||||||||
6.875% due 02/01/2027 (l) |
1,082 |
953 |
||||||||||
|
|
|||||||||||
29,559 |
||||||||||||
|
|
|||||||||||
Total Corporate Bonds & Notes (Cost $222,966) |
187,869 |
|||||||||||
|
|
|||||||||||
CONVERTIBLE BONDS & NOTES 0.4% |
| |||||||||||
INDUSTRIALS 0.4% |
| |||||||||||
DISH Network Corp. |
| |||||||||||
3.375% due 08/15/2026 |
1,600 |
1,085 |
||||||||||
|
|
|||||||||||
Total Convertible Bonds & Notes (Cost $1,600) |
1,085 |
|||||||||||
|
|
|||||||||||
MUNICIPAL BONDS & NOTES 3.0% |
| |||||||||||
ILLINOIS 1.6% |
| |||||||||||
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 |
| |||||||||||
7.517% due 01/01/2040 |
4,200 |
4,831 |
||||||||||
Chicago, Illinois General Obligation Bonds, Series 2017 |
| |||||||||||
7.045% due 01/01/2029 |
45 |
47 |
||||||||||
|
|
|||||||||||
4,878 |
||||||||||||
|
|
|||||||||||
PUERTO RICO 0.7% |
| |||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 |
| |||||||||||
0.000% due 11/01/2043 (f) |
333 |
166 |
||||||||||
0.000% due 11/01/2051 (f) |
3,400 |
1,466 |
||||||||||
Commonwealth of Puerto Rico General Obligation Bonds, Series 2021 |
| |||||||||||
0.000% due 07/01/2033 (f) |
86 |
48 |
||||||||||
4.000% due 07/01/2033 |
67 |
61 |
||||||||||
4.000% due 07/01/2035 |
60 |
54 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
4.000% due 07/01/2037 |
$ |
51 |
$ |
46 |
||||||||
4.000% due 07/01/2041 |
51 |
44 |
||||||||||
Commonwealth of Puerto Rico General Obligation Notes, Series 2021 |
| |||||||||||
0.000% due 07/01/2024 (f) |
34 |
32 |
||||||||||
5.250% due 07/01/2023 |
74 |
76 |
||||||||||
|
|
|||||||||||
1,993 |
||||||||||||
|
|
|||||||||||
VIRGINIA 0.1% |
| |||||||||||
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
| |||||||||||
6.706% due 06/01/2046 |
165 |
154 |
||||||||||
|
|
|||||||||||
WEST VIRGINIA 0.6% |
| |||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
0.000% due 06/01/2047 (f) |
21,900 |
1,774 |
||||||||||
|
|
|||||||||||
Total Municipal Bonds & Notes (Cost $8,557) |
8,799 |
|||||||||||
|
|
|||||||||||
U.S. GOVERNMENT AGENCIES 2.2% |
| |||||||||||
Fannie Mae |
| |||||||||||
3.500% due 12/25/2032 - 12/25/2049 (a) |
1,860 |
215 |
||||||||||
4.000% due 11/25/2042 (a) |
852 |
121 |
||||||||||
4.426% due 02/25/2049 •(a) |
311 |
34 |
||||||||||
7.374% due 07/25/2029 • |
570 |
609 |
||||||||||
11.815% due 12/25/2040 • |
132 |
134 |
||||||||||
Freddie Mac |
| |||||||||||
0.700% due 11/25/2055 ~(a) |
16,343 |
1,387 |
||||||||||
3.000% due 11/15/2033 (a) |
1,341 |
94 |
||||||||||
5.992% due 11/25/2055 «~ |
3,878 |
2,374 |
||||||||||
7.877% due 11/15/2040 • |
119 |
108 |
||||||||||
9.174% due 12/25/2027 • |
1,482 |
1,451 |
||||||||||
12.374% due 03/25/2025 • |
152 |
153 |
||||||||||
|
|
|||||||||||
Total U.S. Government Agencies (Cost $6,830) |
6,680 |
|||||||||||
|
|
|||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 6.9% |
| |||||||||||
Banc of America Funding Trust |
| |||||||||||
6.000% due 08/25/2036 ^ |
438 |
407 |
||||||||||
BCAP LLC Trust |
| |||||||||||
0.000% due 06/26/2036 ~ |
42 |
27 |
||||||||||
2.917% due 03/27/2036 ~ |
692 |
527 |
||||||||||
4.737% due 03/26/2037 þ |
319 |
434 |
||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
1.944% (US0001M + 0.320%) due 06/25/2046 ^~ |
925 |
813 |
||||||||||
2.954% due 11/25/2036 ^~ |
145 |
82 |
||||||||||
3.127% due 09/25/2035 ^~ |
124 |
78 |
||||||||||
3.224% due 09/25/2047 ^~ |
1,888 |
1,094 |
||||||||||
Bear Stearns Mortgage Funding Trust |
| |||||||||||
7.500% due 08/25/2036 þ |
69 |
69 |
||||||||||
CD Mortgage Trust |
| |||||||||||
5.688% due 10/15/2048 |
171 |
156 |
||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
2.954% due 12/25/2035 ^~ |
2 |
2 |
||||||||||
6.000% due 02/25/2037 ^ |
303 |
151 |
||||||||||
6.000% due 07/25/2037 ^ |
202 |
109 |
||||||||||
6.250% due 10/25/2036 ^ |
560 |
306 |
||||||||||
Citicorp Mortgage Securities Trust |
| |||||||||||
5.500% due 04/25/2037 |
5 |
4 |
||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.673% due 12/10/2049 ~ |
211 |
36 |
||||||||||
Countrywide Alternative Loan Resecuritization Trust |
| |||||||||||
6.000% due 05/25/2036 ^ |
765 |
510 |
||||||||||
6.000% due 08/25/2037 ^~ |
368 |
238 |
||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
1.974% due 05/25/2037 ^• |
118 |
46 |
||||||||||
2.813% due 04/25/2036 ^~ |
213 |
184 |
||||||||||
5.500% due 03/25/2035 |
101 |
52 |
||||||||||
5.500% due 12/25/2035 ^ |
885 |
546 |
||||||||||
5.750% due 01/25/2035 |
70 |
67 |
||||||||||
6.000% due 02/25/2035 |
125 |
102 |
78 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
6.000% due 08/25/2036 ^• |
$ |
131 |
$ |
89 |
||||||||
6.000% due 04/25/2037 ^ |
366 |
199 |
||||||||||
6.250% due 11/25/2036 ^ |
227 |
184 |
||||||||||
6.250% (US0001M + 0.650%) due 12/25/2036 ^~ |
629 |
323 |
||||||||||
6.500% due 08/25/2036 ^ |
187 |
78 |
||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
2.520% due 02/20/2035 ~ |
2 |
2 |
||||||||||
5.500% due 10/25/2035 ^ |
171 |
120 |
||||||||||
6.250% due 09/25/2036 ^ |
159 |
77 |
||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust |
| |||||||||||
3.574% (US0001M + 1.950%) due 06/25/2034 ~ |
2,030 |
1,997 |
||||||||||
Eurosail PLC |
| |||||||||||
5.590% (BP0003M + 4.000%) due 06/13/2045 ~ |
GBP |
239 |
267 |
|||||||||
Freddie Mac |
| |||||||||||
8.726% (SOFR30A + 7.800%) due 11/25/2041 ~ |
$ |
1,900 |
1,601 |
|||||||||
GSR Mortgage Loan Trust |
| |||||||||||
6.000% due 02/25/2036 ^ |
1,046 |
531 |
||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
2.315% (US0001M + 0.720%) due 01/19/2035 ~ |
39 |
36 |
||||||||||
3.217% due 07/19/2035 ^~ |
14 |
11 |
||||||||||
IndyMac IMSC Mortgage Loan Trust |
| |||||||||||
6.500% due 07/25/2037 ^ |
1,622 |
688 |
||||||||||
Jackson Park Trust |
| |||||||||||
3.350% due 10/14/2039 ~ |
1,033 |
775 |
||||||||||
JP Morgan Alternative Loan Trust |
| |||||||||||
2.831% due 03/25/2036 ^~ |
425 |
369 |
||||||||||
3.385% due 03/25/2037 ^~ |
391 |
390 |
||||||||||
JP Morgan Mortgage Trust |
| |||||||||||
2.811% due 02/25/2036 ^~ |
94 |
74 |
||||||||||
2.856% due 01/25/2037 ^~ |
95 |
81 |
||||||||||
Lehman XS Trust |
| |||||||||||
2.064% (US0001M + 0.440%) due 06/25/2047 ~ |
481 |
437 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
2.606% due 03/25/2036 ^~ |
578 |
337 |
||||||||||
Morgan Stanley Capital Trust |
| |||||||||||
5.674% due 11/15/2034 • |
1,200 |
1,117 |
||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
5.962% due 06/25/2036 ^~ |
2,167 |
755 |
||||||||||
Natixis Commercial Mortgage Securities Trust |
| |||||||||||
3.575% (US0001M + 2.250%) due 11/15/2034 ~ |
1,065 |
1,009 |
||||||||||
Residential Asset Securitization Trust |
| |||||||||||
5.750% due 02/25/2036 ^ |
374 |
175 |
||||||||||
6.000% due 07/25/2037 ^ |
619 |
282 |
||||||||||
6.250% due 09/25/2037 ^ |
1,166 |
554 |
||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
4.679% due 08/25/2036 ^~ |
51 |
46 |
||||||||||
6.000% due 09/25/2036 ^ |
51 |
43 |
||||||||||
6.000% due 06/25/2037 ^ |
657 |
574 |
||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
2.999% due 11/25/2036 ^~ |
393 |
347 |
||||||||||
3.167% due 01/25/2036 ^~ |
438 |
291 |
||||||||||
SunTrust Adjustable Rate Mortgage Loan Trust |
| |||||||||||
2.279% due 04/25/2037 ^~ |
243 |
154 |
||||||||||
2.307% due 02/25/2037 ^~ |
49 |
43 |
||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
1.824% (COF 11 + 1.500%) due 12/25/2046 ~ |
177 |
172 |
||||||||||
3.125% due 02/25/2037 ^~ |
137 |
129 |
||||||||||
3.331% due 10/25/2036 ^~ |
213 |
196 |
||||||||||
Wells Fargo Mortgage-Backed Securities Trust |
| |||||||||||
6.000% due 06/25/2037 ^ |
18 |
16 |
||||||||||
|
|
|||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $23,166) |
20,609 |
|||||||||||
|
|
|||||||||||
ASSET-BACKED SECURITIES 8.6% |
| |||||||||||
Adagio CLO DAC |
| |||||||||||
0.000% due 04/30/2031 ~ |
EUR |
1,750 |
685 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Apidos CLO |
| |||||||||||
0.000% due 01/20/2031 ~ |
$ |
2,200 |
$ |
964 |
||||||||
Argent Securities Trust |
| |||||||||||
2.004% due 03/25/2036 • |
6,099 |
3,550 |
||||||||||
Asset-Backed Funding Certificates Trust |
| |||||||||||
1.774% due 10/25/2036 • |
1,895 |
1,850 |
||||||||||
Avoca CLO DAC |
| |||||||||||
0.000% due 07/15/2032 ~ |
EUR |
1,070 |
750 |
|||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
6.500% due 10/25/2036 ^ |
$ |
210 |
123 |
|||||||||
Belle Haven ABS CDO Ltd. |
| |||||||||||
1.212% due 07/05/2046 • |
85,896 |
43 |
||||||||||
CIFC Funding Ltd. |
| |||||||||||
0.000% due 04/24/2030 ~ |
1,200 |
361 |
||||||||||
0.010% due 10/22/2031 ~ |
1,000 |
265 |
||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
1.774% due 12/25/2036 • |
2,822 |
1,182 |
||||||||||
Dryden Senior Loan Fund |
| |||||||||||
0.000% due 07/17/2031 ~ |
5,689 |
3,646 |
||||||||||
Flagship Credit Auto Trust |
| |||||||||||
0.000% due 05/15/2025 «(f) |
4 |
240 |
||||||||||
Grosvenor Place CLO BV |
| |||||||||||
0.000% due 04/30/2029 ~ |
EUR |
250 |
80 |
|||||||||
Jay Park CLO Ltd. |
| |||||||||||
0.000% due 10/20/2027 ~ |
$ |
2,700 |
949 |
|||||||||
Lehman XS Trust |
| |||||||||||
6.790% due 06/24/2046 þ |
378 |
400 |
||||||||||
Marlette Funding Trust |
| |||||||||||
0.000% due 07/16/2029 «(f) |
6 |
475 |
||||||||||
0.000% due 03/15/2030 «(f) |
3 |
208 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
1.944% (US0001M + 0.320%) due 04/25/2037 ~ |
194 |
116 |
||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
1.864% due 04/25/2037 • |
2,601 |
902 |
||||||||||
6.250% due 02/25/2037 ^~ |
216 |
117 |
||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
2.184% (US0001M + 0.280%) due 09/25/2036 ~ |
119 |
112 |
||||||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||||||
1.904% due 05/25/2036 • |
4,177 |
2,453 |
||||||||||
SLM Student Loan EDC Repackaging Trust |
| |||||||||||
0.000% due 10/28/2029 «(f) |
1 |
1,134 |
||||||||||
SLM Student Loan Trust |
| |||||||||||
0.000% due 01/25/2042 «(f) |
2 |
719 |
||||||||||
Sofi Professional Loan Program LLC |
| |||||||||||
0.000% due 05/25/2040 (f) |
2,100 |
282 |
||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 09/25/2040 «(f) |
846 |
136 |
||||||||||
South Coast Funding Ltd. |
| |||||||||||
2.002% (US0003M + 0.600%) due 08/10/2038 ~ |
5,410 |
516 |
||||||||||
Symphony CLO Ltd. |
| |||||||||||
5.638% due 07/14/2026 • |
1,000 |
963 |
||||||||||
Taberna Preferred Funding Ltd. |
| |||||||||||
1.743% due 08/05/2036 • |
143 |
127 |
||||||||||
1.743% due 08/05/2036 ^• |
2,679 |
2,384 |
||||||||||
|
|
|||||||||||
Total Asset-Backed Securities (Cost $43,449) |
25,732 |
|||||||||||
|
|
|||||||||||
SOVEREIGN ISSUES 1.8% |
| |||||||||||
Argentina Government International Bond |
| |||||||||||
0.500% due 07/09/2030 þ |
1,927 |
406 |
||||||||||
1.000% due 07/09/2029 |
366 |
86 |
||||||||||
1.125% due 07/09/2035 þ |
2,099 |
436 |
||||||||||
1.125% due 07/09/2046 þ |
115 |
26 |
||||||||||
1.400% due 03/25/2023 |
ARS |
58,227 |
214 |
|||||||||
2.000% due 01/09/2038 þ |
$ |
6,188 |
1,810 |
|||||||||
2.500% due 07/09/2041 þ |
2,872 |
747 |
||||||||||
15.500% due 10/17/2026 |
ARS |
26,000 |
31 |
|||||||||
47.331% (BADLARPP) due 10/04/2022 ~ |
28 |
0 |
||||||||||
Ghana Government International Bond |
| |||||||||||
6.375% due 02/11/2027 |
$ |
300 |
173 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
7.875% due 02/11/2035 |
$ |
400 |
$ |
189 |
||||||||
8.750% due 03/11/2061 |
200 |
95 |
||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.625% due 03/22/2048 |
EUR |
400 |
282 |
|||||||||
Provincia de Buenos Aires |
| |||||||||||
49.102% due 04/12/2025 |
ARS |
217,314 |
730 |
|||||||||
Venezuela Government International Bond |
| |||||||||||
6.000% due 12/09/2049 |
$ |
120 |
9 |
|||||||||
8.250% due 10/13/2024 ^(c) |
12 |
1 |
||||||||||
9.250% due 09/15/2027 ^(c) |
151 |
13 |
||||||||||
|
|
|||||||||||
Total Sovereign Issues (Cost $12,897) |
5,248 |
|||||||||||
|
|
|||||||||||
SHARES |
||||||||||||
COMMON STOCKS 4.2% |
| |||||||||||
COMMUNICATION SERVICES 0.4% |
| |||||||||||
Clear Channel Outdoor Holdings, Inc. (d) |
261,329 |
280 |
||||||||||
iHeartMedia, Inc. ‘A’ (d) |
62,317 |
492 |
||||||||||
iHeartMedia, Inc. ‘B’ «(d) |
48,387 |
343 |
||||||||||
|
|
|||||||||||
1,115 |
||||||||||||
|
|
|||||||||||
ENERGY 0.1% |
| |||||||||||
Axis Energy Services ‘A’ «(d)(j) |
1,253 |
19 |
||||||||||
Noble Corp. (d)(j) |
10,977 |
277 |
||||||||||
Valaris Ltd. (d) |
1,183 |
50 |
||||||||||
|
|
|||||||||||
346 |
||||||||||||
|
|
|||||||||||
FINANCIALS 1.1% |
| |||||||||||
Intelsat SA «(d)(j) |
113,460 |
3,177 |
||||||||||
|
|
|||||||||||
INDUSTRIALS 2.6% |
| |||||||||||
Neiman Marcus Group Ltd. LLC «(d)(j) |
39,846 |
6,887 |
||||||||||
Syniverse Holdings, Inc. «(d)(j) |
1,020,066 |
1,000 |
||||||||||
Voyager Aviation Holdings LLC «(d) |
538 |
0 |
||||||||||
Westmoreland Mining Holdings «(d)(j) |
25,438 |
0 |
||||||||||
|
|
|||||||||||
7,887 |
||||||||||||
|
|
|||||||||||
MATERIALS 0.0% |
| |||||||||||
Associated Materials Group, Inc. «(d) |
55,999 |
13 |
||||||||||
|
|
|||||||||||
Total Common Stocks (Cost $15,021) |
12,538 |
|||||||||||
|
|
|||||||||||
RIGHTS 0.0% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Intelsat Jackson Holdings SA «(d) |
11,974 |
57 |
||||||||||
|
|
|||||||||||
Total Rights (Cost $0) |
57 |
|||||||||||
|
|
|||||||||||
WARRANTS 2.0% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « |
277 |
1 |
||||||||||
Intelsat Jackson Holdings SA-Exp. 12/05/2025 « |
11,872 |
59 |
||||||||||
|
|
|||||||||||
60 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 0.1% |
| |||||||||||
Sequa Corp. - Exp. 04/28/2024 « |
394,000 |
236 |
||||||||||
|
|
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
79 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
SHARES |
MARKET VALUE (000S) |
|||||||||||
INFORMATION TECHNOLOGY 1.9% |
| |||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « |
272,031 |
$ |
5,801 |
|||||||||
|
|
|||||||||||
Total Warrants (Cost $4,520) |
6,097 |
|||||||||||
|
|
|||||||||||
PREFERRED SECURITIES 8.3% |
| |||||||||||
BANKING & FINANCE 3.1% |
| |||||||||||
Brighthouse Holdings LLC |
| |||||||||||
6.500% due 07/27/2037 þ(h) |
35,000 |
32 |
||||||||||
Nationwide Building Society |
| |||||||||||
10.250% ~ |
16,350 |
2,915 |
||||||||||
Stichting AK Rabobank Certificaten |
| |||||||||||
6.500% due 12/29/2049 þ(h) |
6,332,550 |
6,462 |
||||||||||
|
|
|||||||||||
9,409 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 5.2% |
| |||||||||||
General Electric Co. |
| |||||||||||
5.159% (US0003M + 3.330%) due 09/15/2022 ~(h) |
127,000 |
112 |
||||||||||
Sequa Corp. (15.000% PIK) |
| |||||||||||
15.000% «(b) |
12,657 |
14,360 |
||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
9.500% « |
3,228 |
976 |
||||||||||
|
|
|||||||||||
15,448 |
||||||||||||
|
|
|||||||||||
Total Preferred Securities (Cost $20,849) |
24,857 |
|||||||||||
|
|
SHARES |
MARKET VALUE (000S) |
|||||||||||
REAL ESTATE INVESTMENT TRUSTS 2.5% |
| |||||||||||
REAL ESTATE 2.5% |
| |||||||||||
CBL & Associates Properties, Inc. |
9,309 |
$ |
219 |
|||||||||
Uniti Group, Inc. |
133,286 |
1,255 |
||||||||||
VICI Properties, Inc. |
198,309 |
5,908 |
||||||||||
|
|
|||||||||||
Total Real Estate Investment Trusts (Cost $3,601) |
7,382 |
|||||||||||
|
|
|||||||||||
PRINCIPAL AMOUNT (000S) |
||||||||||||
SHORT-TERM INSTRUMENTS 10.3% |
| |||||||||||
REPURCHASE AGREEMENTS (k) 2.3% |
| |||||||||||
6,725 |
||||||||||||
|
|
|||||||||||
ARGENTINA TREASURY BILLS 0.1% |
| |||||||||||
51.049% due 09/30/2022 (f)(g) |
ARS |
58,500 |
196 |
|||||||||
|
|
|||||||||||
U.S. TREASURY BILLS 7.1% |
| |||||||||||
0.716% due 07/12/2022 - 07/21/2022 (e)(f) |
$ |
21,100 |
21,090 |
|||||||||
|
|
|||||||||||
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
U.S. TREASURY CASH MANAGEMENT BILLS 0.8% |
| |||||||||||
1.089% due 08/23/2022 (f)(g)(o) |
$ |
2,400 |
$ |
2,395 |
||||||||
|
|
|||||||||||
Total Short-Term Instruments (Cost $30,484) |
30,406 |
|||||||||||
|
|
|||||||||||
Total Investments in Securities (Cost $488,458) |
418,761 |
|||||||||||
Total Investments 140.6% (Cost $488,458) |
|
$ |
418,761 |
|||||||||
Financial Derivative Instruments (m)(n) 0.5% (Cost or Premiums, net $5,776) |
|
1,430 |
||||||||||
Auction Rate Preferred Shares (15.2)% |
|
(45,200 |
) | |||||||||
Other Assets and Liabilities, net (25.9)% |
(77,195 |
) | ||||||||||
|
|
|||||||||||
Net Assets Applicable to Common Shareholders 100.0% |
|
$ |
297,796 |
|||||||||
|
|
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) |
Security is an Interest Only (“IO”) or IO Strip. |
(b) |
Payment in-kind security. |
(c) |
Security is not accruing income as of the date of this report. |
(d) |
Security did not produce income within the last twelve months. |
(e) |
Coupon represents a weighted average yield to maturity. |
(f) |
Zero coupon security. |
(g) |
Coupon represents a yield to maturity. |
(h) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) |
Contingent convertible security. |
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||||||||||
Axis Energy Services ‘A’ |
07/01/2021 |
$ |
18 |
$ |
19 |
0.01 |
% | |||||||||||||||||
Intelsat SA |
06/19/2017 - 02/23/2022 |
7,942 |
3,177 |
1.07 |
||||||||||||||||||||
Neiman Marcus Group Ltd. LLC |
09/25/2020 |
1,306 |
6,887 |
2.31 |
||||||||||||||||||||
Noble Corp. |
02/05/2021 - 02/27/2021 |
137 |
277 |
0.09 |
||||||||||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 |
1,000 |
1,000 |
0.33 |
||||||||||||||||||||
Westmoreland Mining Holdings |
12/08/2014 - 10/19/2016 |
733 |
0 |
0.00 |
||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
$ |
11,136 |
$ |
11,360 |
3.81 |
% | |||||||||||||||||||
|
|
|
|
|
|
80 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Counterparty |
Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By |
Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||
FICC |
0.400 |
% |
06/30/2022 |
07/01/2022 |
$ |
1,125 |
U.S. Treasury Notes 3.000% due 06/30/2024 |
$ |
(1,147 |
) |
$ |
1,125 |
$ |
1,125 |
||||||||||||||||
JPS |
1.400 |
06/30/2022 |
07/01/2022 |
5,600 |
U.S. Treasury Notes 1.375% due 11/15/2031 |
(5,732 |
) |
5,600 |
5,600 |
|||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ |
(6,879 |
) |
$ |
6,725 |
$ |
6,725 |
||||||||||||||||||||||
|
|
|
|
|
|
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BOS |
1.880 |
% |
06/10/2022 |
09/12/2022 |
$ |
(375) |
$ |
(376 |
) | |||||||||||
BPS |
1.420 |
05/27/2022 |
09/23/2022 |
(1,049) |
(1,050 |
) | ||||||||||||||
1.430 |
03/22/2022 |
09/23/2022 |
(2,907) |
(2,918 |
) | |||||||||||||||
1.430 |
03/30/2022 |
09/23/2022 |
(772) |
(775 |
) | |||||||||||||||
1.430 |
06/29/2022 |
09/23/2022 |
(1,997) |
(1,998 |
) | |||||||||||||||
1.600 |
05/11/2022 |
08/09/2022 |
(1,918) |
(1,923 |
) | |||||||||||||||
1.830 |
05/12/2022 |
08/12/2022 |
(1,144) |
(1,147 |
) | |||||||||||||||
1.830 |
05/13/2022 |
08/12/2022 |
(2,521) |
(2,527 |
) | |||||||||||||||
1.990 |
04/27/2022 |
10/27/2022 |
(2,065) |
(2,073 |
) | |||||||||||||||
2.380 |
06/23/2022 |
09/26/2022 |
(462) |
(462 |
) | |||||||||||||||
BRC |
(3.000 |
) |
02/14/2022 |
TBD |
(3) |
EUR |
(575) |
(597 |
) | |||||||||||
(1.000 |
) |
02/18/2022 |
TBD |
(3) |
(529) |
(553 |
) | |||||||||||||
1.660 |
05/09/2022 |
07/13/2022 |
$ |
(6,948) |
(6,965 |
) | ||||||||||||||
1.950 |
05/13/2022 |
08/16/2022 |
(5,443) |
(5,458 |
) | |||||||||||||||
BYR |
2.110 |
05/12/2022 |
09/26/2022 |
(2,130) |
(2,134 |
) | ||||||||||||||
CDC |
1.110 |
03/18/2022 |
09/14/2022 |
(1,690) |
(1,696 |
) | ||||||||||||||
1.150 |
03/07/2022 |
09/06/2022 |
(814) |
(817 |
) | |||||||||||||||
1.150 |
03/14/2022 |
09/07/2022 |
(1,739) |
(1,745 |
) | |||||||||||||||
1.350 |
05/02/2022 |
08/02/2022 |
(1,122) |
(1,124 |
) | |||||||||||||||
1.480 |
05/09/2022 |
08/09/2022 |
(1,886) |
(1,890 |
) | |||||||||||||||
1.590 |
04/01/2022 |
09/30/2022 |
(1,900) |
(1,908 |
) | |||||||||||||||
FBF |
(0.250 |
) |
06/17/2022 |
TBD |
(3) |
(870) |
(870 |
) | ||||||||||||
IND |
1.120 |
03/17/2022 |
09/15/2022 |
(5,890) |
(5,909 |
) | ||||||||||||||
1.620 |
05/06/2022 |
08/08/2022 |
(6,684) |
(6,700 |
) | |||||||||||||||
1.680 |
04/12/2022 |
10/11/2022 |
(4,257) |
(4,273 |
) | |||||||||||||||
1.710 |
06/02/2022 |
09/02/2022 |
(6,747) |
(6,756 |
) | |||||||||||||||
1.770 |
06/09/2022 |
09/12/2022 |
(571) |
(572 |
) | |||||||||||||||
1.790 |
06/10/2022 |
09/13/2022 |
(933) |
(934 |
) | |||||||||||||||
2.110 |
05/09/2022 |
11/07/2022 |
(778) |
(780 |
) | |||||||||||||||
JML |
(4.000 |
) |
06/24/2022 |
TBD |
(3) |
EUR |
(262) |
(274 |
) | |||||||||||
(0.450 |
) |
06/24/2022 |
TBD |
(3) |
(534) |
(559 |
) | |||||||||||||
(0.430 |
) |
03/07/2022 |
TBD |
(3) |
(1,277) |
(1,336 |
) | |||||||||||||
(0.400 |
) |
05/11/2022 |
08/17/2022 |
(1,128) |
(1,181 |
) | ||||||||||||||
(0.200 |
) |
06/07/2022 |
09/05/2022 |
(189) |
(198 |
) | ||||||||||||||
MBC |
(0.450 |
) |
02/11/2022 |
TBD |
(3) |
(3,362) |
(3,517 |
) | ||||||||||||
RDR |
0.730 |
03/04/2022 |
09/02/2022 |
$ |
(1,710) |
(1,714 |
) | |||||||||||||
2.420 |
06/24/2022 |
09/26/2022 |
(1,090) |
(1,091 |
) | |||||||||||||||
SOG |
0.670 |
01/07/2022 |
07/06/2022 |
(825) |
(827 |
) | ||||||||||||||
0.670 |
04/06/2022 |
07/08/2022 |
(3,851) |
(3,857 |
) | |||||||||||||||
0.670 |
04/11/2022 |
07/06/2022 |
(837) |
(838 |
) | |||||||||||||||
0.670 |
04/12/2022 |
07/08/2022 |
(1,261) |
(1,263 |
) | |||||||||||||||
0.670 |
04/14/2022 |
07/06/2022 |
(126) |
(126 |
) | |||||||||||||||
1.430 |
04/19/2022 |
07/25/2022 |
(579) |
(581 |
) | |||||||||||||||
1.620 |
05/04/2022 |
08/04/2022 |
(4,022) |
(4,033 |
) | |||||||||||||||
1.720 |
06/21/2022 |
08/12/2022 |
(993) |
(994 |
) | |||||||||||||||
UBS |
1.850 |
06/17/2022 |
TBD |
(3) |
(444) |
(445 |
) | |||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ |
(89,764 |
) | ||||||||||||||||
|
|
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
81 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
Counterparty |
Repurchase Agreement Proceeds to be Received (1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure (4) |
||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BOS |
$ |
0 |
$ |
(376 |
) |
$ |
0 |
$ |
(376 |
) |
$ |
389 |
$ |
13 |
||||||||||
BPS |
0 |
(14,873 |
) |
0 |
(14,873 |
) |
16,683 |
1,810 |
||||||||||||||||
BRC |
0 |
(13,573 |
) |
0 |
(13,573 |
) |
15,168 |
1,595 |
||||||||||||||||
BYR |
0 |
(2,134 |
) |
0 |
(2,134 |
) |
2,357 |
223 |
||||||||||||||||
CDC |
0 |
(9,180 |
) |
0 |
(9,180 |
) |
9,851 |
671 |
||||||||||||||||
FBF |
0 |
(870 |
) |
0 |
(870 |
) |
1,070 |
200 |
||||||||||||||||
FICC |
1,125 |
0 |
0 |
1,125 |
(1,147 |
) |
(22 |
) | ||||||||||||||||
IND |
0 |
(25,924 |
) |
0 |
(25,924 |
) |
28,968 |
3,044 |
||||||||||||||||
JML |
0 |
(3,548 |
) |
0 |
(3,548 |
) |
3,741 |
193 |
||||||||||||||||
JPS |
5,600 |
0 |
0 |
5,600 |
(5,732 |
) |
(132 |
) | ||||||||||||||||
MBC |
0 |
(3,517 |
) |
0 |
(3,517 |
) |
3,775 |
258 |
||||||||||||||||
RDR |
0 |
(2,805 |
) |
0 |
(2,805 |
) |
2,871 |
66 |
||||||||||||||||
SOG |
0 |
(12,519 |
) |
0 |
(12,519 |
) |
13,665 |
1,146 |
||||||||||||||||
UBS |
0 |
(445 |
) |
0 |
(445 |
) |
567 |
122 |
||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
6,725 |
$ |
(89,764 |
) |
$ |
0 |
|||||||||||||||||
|
|
|
|
|
|
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ |
0 |
$ |
(14,457 |
) |
$ |
(58,122 |
) |
$ |
(17,185 |
) |
$ |
(89,764 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ |
0 |
$ |
(14,457 |
) |
$ |
(58,122 |
) |
$ |
(17,185 |
) |
$ |
(89,764 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements |
|
$ |
(89,764 |
) | ||||||||||||||||
|
|
(l) |
Securities with an aggregate market value of $92,393 and cash of $6,712 have been pledged as collateral under the terms of the above master agreements as of June 30, 2022. |
(1) |
Includes accrued interest. |
(2) |
The average amount of borrowings outstanding during the period ended June 30, 2022 was $(135,752) at a weighted average interest rate of 0.541%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) |
Open maturity reverse repurchase agreement. |
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2022 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value (4) |
Variation Margin |
|||||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
% |
Quarterly |
06/20/2024 |
7.828 |
% |
$ |
1,900 |
$ |
(89 |
) |
$ |
(1 |
) |
$ |
(90 |
) |
$ |
3 |
$ |
0 |
|||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
12/20/2024 |
8.213 |
700 |
(3 |
) |
(43 |
) |
(46 |
) |
0 |
0 |
|||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
06/20/2027 |
9.229 |
1,300 |
(105 |
) |
(80 |
) |
(185 |
) |
0 |
(1 |
) | ||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
Quarterly |
06/20/2026 |
9.623 |
EUR |
200 |
14 |
(43 |
) |
(29 |
) |
0 |
(4 |
) | ||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
Quarterly |
12/20/2026 |
9.833 |
1,986 |
76 |
(398 |
) |
(322 |
) |
0 |
(37 |
) | |||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
06/20/2027 |
4.406 |
2,300 |
(201 |
) |
(144 |
) |
(345 |
) |
0 |
(22 |
) | ||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
12/20/2025 |
3.940 |
4,200 |
(459 |
) |
50 |
(409 |
) |
0 |
(36 |
) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ |
(767 |
) |
$ |
(659 |
) |
$ |
(1,426 |
) |
$ |
3 |
$ |
(100 |
) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
82 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
% |
Annual |
09/21/2032 |
GBP |
11,200 |
$ |
1,086 |
$ |
885 |
$ |
1,971 |
$ |
0 |
$ |
(204 |
) | ||||||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
500 |
(3 |
) |
195 |
192 |
0 |
(15 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.250 |
Semi-Annual |
12/18/2022 |
$ |
25,500 |
12 |
295 |
307 |
0 |
(1 |
) | ||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 |
Semi-Annual |
06/17/2025 |
43,420 |
2,555 |
(3,017 |
) |
(462 |
) |
153 |
0 |
||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 |
Semi-Annual |
06/15/2026 |
15,300 |
723 |
(1,186 |
) |
(463 |
) |
75 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.350 |
Semi-Annual |
01/20/2027 |
4,900 |
0 |
337 |
337 |
0 |
(28 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.550 |
Semi-Annual |
01/20/2027 |
21,600 |
(75 |
) |
(1,209 |
) |
(1,284 |
) |
123 |
0 |
|||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.360 |
Semi-Annual |
02/15/2027 |
2,730 |
0 |
190 |
190 |
0 |
(16 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.600 |
Semi-Annual |
02/15/2027 |
10,900 |
(38 |
) |
(599 |
) |
(637 |
) |
64 |
0 |
|||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.450 |
Semi-Annual |
02/17/2027 |
4,500 |
0 |
295 |
295 |
0 |
(26 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.700 |
Semi-Annual |
02/17/2027 |
18,000 |
(68 |
) |
(902 |
) |
(970 |
) |
105 |
0 |
|||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 |
Semi-Annual |
12/20/2027 |
28,100 |
200 |
(991 |
) |
(791 |
) |
176 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.420 |
Semi-Annual |
08/17/2028 |
15,100 |
0 |
1,320 |
1,320 |
0 |
(99 |
) | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.380 |
Semi-Annual |
08/24/2028 |
16,100 |
0 |
1,450 |
1,450 |
0 |
(105 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.000 |
Semi-Annual |
06/19/2029 |
49,900 |
2,148 |
(2,318 |
) |
(170 |
) |
349 |
0 |
||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.160 |
Semi-Annual |
04/12/2031 |
1,400 |
0 |
206 |
206 |
0 |
(11 |
) | |||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.380 |
Semi-Annual |
04/12/2031 |
7,000 |
(19 |
) |
(889 |
) |
(908 |
) |
54 |
0 |
|||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.750 |
Semi-Annual |
06/16/2031 |
36,300 |
3,000 |
3,613 |
6,613 |
0 |
(243 |
) | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.750 |
Semi-Annual |
12/15/2031 |
20,100 |
(318 |
) |
2,495 |
2,177 |
0 |
(146 |
) | ||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.500 |
Semi-Annual |
06/19/2044 |
83,100 |
(2,711 |
) |
8,593 |
5,882 |
1,377 |
0 |
|||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.000 |
Semi-Annual |
01/15/2050 |
3,200 |
(23 |
) |
602 |
579 |
0 |
(27 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.750 |
Semi-Annual |
01/22/2050 |
8,400 |
(19 |
) |
1,951 |
1,932 |
0 |
(67 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.875 |
Semi-Annual |
02/07/2050 |
8,800 |
(34 |
) |
1,847 |
1,813 |
0 |
(73 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 |
Semi-Annual |
03/12/2050 |
1,700 |
(5 |
) |
233 |
228 |
0 |
(15 |
) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.150 |
Semi-Annual |
12/11/2050 |
91,100 |
52 |
31,539 |
31,591 |
0 |
(1,259 |
) | |||||||||||||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
3.500 |
Semi-Annual |
06/17/2025 |
AUD |
3,900 |
97 |
(123 |
) |
(26 |
) |
6 |
0 |
|||||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
0.150 |
Annual |
03/18/2030 |
EUR |
3,400 |
62 |
496 |
558 |
0 |
(53 |
) | ||||||||||||||||||||||||||||
Receive (5) |
6-Month EUR-EURIBOR |
0.250 |
Annual |
09/21/2032 |
3,600 |
326 |
367 |
693 |
0 |
(62 |
) | |||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.675 |
Lunar |
04/03/2024 |
MXN |
100 |
0 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ |
6,948 |
$ |
45,675 |
$ |
52,623 |
$ |
2,482 |
$ |
(2,450 |
) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ |
6,181 |
$ |
45,016 |
$ |
51,197 |
$ |
2,485 |
$ |
(2,550 |
) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Total |
Market Value |
Variation Margin Liability |
Total |
|||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Written Options |
Futures |
Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
2,485 |
$ |
2,485 |
$ |
0 |
$ |
0 |
$ |
(2,550) |
$ |
(2,550) |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 83 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
07/2022 |
GBP |
13,946 |
$ |
17,633 |
$ |
657 |
$ |
0 |
|||||||||||||||
07/2022 |
$ |
2,381 |
GBP |
1,882 |
0 |
(90 |
) | |||||||||||||||||
08/2022 |
179 |
PEN |
690 |
1 |
0 |
|||||||||||||||||||
02/2023 |
PEN |
690 |
$ |
176 |
0 |
(1 |
) | |||||||||||||||||
BPS |
07/2022 |
$ |
36,816 |
EUR |
35,003 |
0 |
(135 |
) | ||||||||||||||||
08/2022 |
EUR |
33,420 |
$ |
35,215 |
128 |
0 |
||||||||||||||||||
08/2022 |
$ |
122 |
MXN |
2,689 |
10 |
0 |
||||||||||||||||||
10/2022 |
568 |
PEN |
2,318 |
32 |
0 |
|||||||||||||||||||
CBK |
07/2022 |
PEN |
132 |
$ |
34 |
0 |
(1 |
) | ||||||||||||||||
07/2022 |
$ |
178 |
EUR |
166 |
0 |
(4 |
) | |||||||||||||||||
08/2022 |
PEN |
690 |
$ |
171 |
0 |
(9 |
) | |||||||||||||||||
10/2022 |
1,134 |
287 |
0 |
(6 |
) | |||||||||||||||||||
12/2022 |
812 |
209 |
1 |
0 |
||||||||||||||||||||
12/2022 |
$ |
324 |
PEN |
1,357 |
26 |
0 |
||||||||||||||||||
03/2023 |
PEN |
1,070 |
$ |
277 |
3 |
0 |
||||||||||||||||||
DUB |
08/2022 |
$ |
0 |
RUB |
1 |
0 |
0 |
|||||||||||||||||
10/2022 |
1 |
79 |
0 |
0 |
||||||||||||||||||||
GLM |
10/2022 |
2 |
197 |
1 |
0 |
|||||||||||||||||||
HUS |
08/2022 |
CAD |
158 |
$ |
123 |
1 |
0 |
|||||||||||||||||
MYI |
07/2022 |
$ |
481 |
GBP |
398 |
4 |
0 |
|||||||||||||||||
RBC |
08/2022 |
CAD |
541 |
$ |
418 |
0 |
(2 |
) | ||||||||||||||||
SOG |
07/2022 |
EUR |
35,169 |
37,800 |
944 |
0 |
||||||||||||||||||
07/2022 |
$ |
14,197 |
GBP |
11,666 |
3 |
0 |
||||||||||||||||||
08/2022 |
GBP |
11,666 |
$ |
14,204 |
0 |
(4 |
) | |||||||||||||||||
UAG |
09/2022 |
MXN |
681 |
34 |
1 |
0 |
||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ |
1,812 |
$ |
(252 |
) | ||||||||||||||||||
|
|
|
|
Counterparty |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2022 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
|||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||
BPS |
Petrobras Global Finance BV |
1.000 |
% |
Quarterly |
12/20/2024 |
2.319 |
% |
$ 500 |
$ |
(98 |
) |
$ |
83 |
$ |
0 |
$ |
(15 |
) | ||||||||||||||||||||
GST |
Petrobras Global Finance BV |
1.000 |
Quarterly |
12/20/2024 |
2.319 |
700 |
(139 |
) |
118 |
0 |
(21 |
) | ||||||||||||||||||||||||||
HUS |
Petrobras Global Finance BV |
1.000 |
Quarterly |
12/20/2024 |
2.319 |
800 |
(166 |
) |
141 |
0 |
(25 |
) | ||||||||||||||||||||||||||
JPM |
Banca Monte Dei Paschi Di |
5.000 |
Quarterly |
06/20/2025 |
6.560 |
EUR 100 |
(2 |
) |
(2 |
) |
0 |
(4 |
) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
$ |
(405 |
) |
$ |
340 |
$ |
0 |
$ |
(65 |
) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||||||||||||||
Counterparty |
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral Pledged/ (Received) |
Net Exposure (5) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ |
658 |
$ |
0 |
$ |
0 |
$ |
658 |
$ |
(91 |
) |
$ |
0 |
$ |
0 |
$ |
(91 |
) |
$ |
567 |
$ |
(620 |
) |
$ |
(53 |
) | ||||||||||||||||||||||
BPS |
170 |
0 |
0 |
170 |
(135 |
) |
0 |
(15 |
) |
(150 |
) |
20 |
0 |
20 |
||||||||||||||||||||||||||||||||||
CBK |
30 |
0 |
0 |
30 |
(20 |
) |
0 |
0 |
(20 |
) |
10 |
0 |
10 |
|||||||||||||||||||||||||||||||||||
GLM |
1 |
0 |
0 |
1 |
0 |
0 |
0 |
0 |
1 |
0 |
1 |
|||||||||||||||||||||||||||||||||||||
GST |
0 |
0 |
0 |
0 |
0 |
0 |
(21 |
) |
(21 |
) |
(21 |
) |
81 |
60 |
||||||||||||||||||||||||||||||||||
HUS |
1 |
0 |
0 |
1 |
0 |
0 |
(25 |
) |
(25 |
) |
(24 |
) |
0 |
(24 |
) | |||||||||||||||||||||||||||||||||
JPM |
0 |
0 |
0 |
0 |
0 |
0 |
(4 |
) |
(4 |
) |
(4 |
) |
0 |
(4 |
) | |||||||||||||||||||||||||||||||||
MYI |
4 |
0 |
0 |
4 |
0 |
0 |
0 |
0 |
4 |
0 |
4 |
|||||||||||||||||||||||||||||||||||||
RBC |
0 |
0 |
0 |
0 |
(2 |
) |
0 |
0 |
(2 |
) |
(2 |
) |
0 |
(2 |
) | |||||||||||||||||||||||||||||||||
SOG |
947 |
0 |
0 |
947 |
(4 |
) |
0 |
0 |
(4 |
) |
943 |
(1,070 |
) |
(127 |
) | |||||||||||||||||||||||||||||||||
UAG |
1 |
0 |
0 |
1 |
0 |
0 |
0 |
0 |
1 |
0 |
1 |
|||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
1,812 |
$ |
0 |
$ |
0 |
$ |
1,812 |
$ |
(252 |
) |
$ |
0 |
$ |
(65 |
) |
$ |
(317 |
) |
|||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
84 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
(o) |
Securities with an aggregate market value of $81 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2022. |
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
3 |
$ |
0 |
$ |
0 |
$ |
2,482 |
$ |
2,485 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
1,812 |
$ |
0 |
$ |
1,812 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
3 |
$ |
0 |
$ |
1,812 |
$ |
2,482 |
$ |
4,297 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
100 |
$ |
0 |
$ |
0 |
$ |
2,450 |
$ |
2,550 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
252 |
$ |
0 |
$ |
252 |
||||||||||||
Swap Agreements |
0 |
65 |
0 |
0 |
0 |
65 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
65 |
$ |
0 |
$ |
252 |
$ |
0 |
$ |
317 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
165 |
$ |
0 |
$ |
252 |
$ |
2,450 |
$ |
2,867 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
543 |
$ |
0 |
$ |
0 |
$ |
5,859 |
$ |
6,402 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
6,480 |
$ |
0 |
$ |
6,480 |
||||||||||||
Swap Agreements |
0 |
21 |
0 |
0 |
537 |
558 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
21 |
$ |
0 |
$ |
6,480 |
$ |
537 |
$ |
7,038 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
564 |
$ |
0 |
$ |
6,480 |
$ |
6,396 |
$ |
13,440 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
85 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
(1,144 |
) |
$ |
0 |
$ |
0 |
$ |
(5,432 |
) |
$ |
(6,576 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
1,699 |
$ |
0 |
$ |
1,699 |
||||||||||||
Swap Agreements |
0 |
(28 |
) |
0 |
0 |
(539 |
) |
(567 |
) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(28 |
) |
$ |
0 |
$ |
1,699 |
$ |
(539 |
) |
$ |
1,132 |
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(1,172 |
) |
$ |
0 |
$ |
1,699 |
$ |
(5,971 |
) |
$ |
(5,444 |
) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ |
0 |
$ |
56,867 |
$ |
24,535 |
$ |
81,402 |
||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 |
45,192 |
0 |
45,192 |
||||||||||||
Industrials |
0 |
95,427 |
17,691 |
113,118 |
||||||||||||
Utilities |
0 |
29,559 |
0 |
29,559 |
||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Industrials |
0 |
1,085 |
0 |
1,085 |
||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Illinois |
0 |
4,878 |
0 |
4,878 |
||||||||||||
Puerto Rico |
0 |
1,993 |
0 |
1,993 |
||||||||||||
Virginia |
0 |
154 |
0 |
154 |
||||||||||||
West Virginia |
0 |
1,774 |
0 |
1,774 |
||||||||||||
U.S. Government Agencies |
0 |
4,306 |
2,374 |
6,680 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
20,609 |
0 |
20,609 |
||||||||||||
Asset-Backed Securities |
0 |
22,820 |
2,912 |
25,732 |
||||||||||||
Sovereign Issues |
0 |
5,248 |
0 |
5,248 |
||||||||||||
Common Stocks |
| |||||||||||||||
Communication Services |
772 |
0 |
343 |
1,115 |
||||||||||||
Energy |
327 |
0 |
19 |
346 |
||||||||||||
Financials |
0 |
0 |
3,177 |
3,177 |
||||||||||||
Industrials |
0 |
0 |
7,887 |
7,887 |
||||||||||||
Materials |
0 |
0 |
13 |
13 |
||||||||||||
Rights |
| |||||||||||||||
Financials |
0 |
0 |
57 |
57 |
||||||||||||
Warrants |
| |||||||||||||||
Financials |
0 |
0 |
60 |
60 |
||||||||||||
Industrials |
0 |
0 |
236 |
236 |
||||||||||||
Information Technology |
0 |
0 |
5,801 |
5,801 |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance |
$ |
0 |
$ |
9,409 |
$ |
0 |
$ |
9,409 |
||||||||
Industrials |
0 |
112 |
15,336 |
15,448 |
||||||||||||
Real Estate Investment Trusts |
| |||||||||||||||
Real Estate |
7,382 |
0 |
0 |
7,382 |
||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements |
0 |
6,725 |
0 |
6,725 |
||||||||||||
Argentina Treasury Bills |
0 |
196 |
0 |
196 |
||||||||||||
U.S. Treasury Bills |
0 |
21,090 |
0 |
21,090 |
||||||||||||
U.S. Treasury Cash Management Bills |
0 |
2,395 |
0 |
2,395 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ |
8,481 |
$ |
329,839 |
$ |
80,441 |
$ |
418,761 |
||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
2,485 |
0 |
2,485 |
||||||||||||
Over the counter |
0 |
1,812 |
0 |
1,812 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
4,297 |
$ |
0 |
$ |
4,297 |
|||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
(2,550 |
) |
0 |
(2,550 |
) | ||||||||||
Over the counter |
0 |
(317 |
) |
0 |
(317 |
) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
(2,867 |
) |
$ |
0 |
$ |
(2,867 |
) | |||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financial Derivative Instruments |
$ |
0 |
$ |
1,430 |
$ |
0 |
$ |
1,430 |
||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ |
8,481 |
$ |
331,269 |
$ |
80,441 |
$ |
420,191 |
||||||||
|
|
|
|
|
|
|
|
Category and Subcategory |
Beginning Balance at 07/31/2021 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2022 (1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
16,013 |
$ |
23,603 |
$ |
(8,654 |
) |
$ |
306 |
$ |
14 |
$ |
(7,105 |
) |
$ |
1,691 |
$ |
(1,333 |
) |
$ |
24,535 |
$ |
(232 |
) | ||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
0 |
14,107 |
(90 |
) |
0 |
0 |
(1,240 |
) |
4,914 |
0 |
17,691 |
(1,240 |
) | |||||||||||||||||||||||||||
U.S. Government Agencies |
2,415 |
0 |
(54 |
) |
7 |
18 |
(12 |
) |
0 |
0 |
2,374 |
0 |
||||||||||||||||||||||||||||
Asset-Backed Securities |
4,386 |
0 |
0 |
44 |
0 |
(1,237 |
) |
0 |
(281 |
) |
2,912 |
(1,175 |
) | |||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Communication Services |
1,126 |
0 |
0 |
0 |
0 |
(783 |
) |
0 |
0 |
343 |
(782 |
) | ||||||||||||||||||||||||||||
Energy |
19 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
19 |
0 |
||||||||||||||||||||||||||||||
Financials |
0 |
7,942 |
0 |
0 |
0 |
(4,765 |
) |
0 |
0 |
3,177 |
(4,765 |
) |
86 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Category and Subcategory |
Beginning Balance at 07/31/2021 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2022 (1) |
||||||||||||||||||||||||||||||
Industrials |
$ |
4,384 |
$ |
1,000 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
2,503 |
$ |
0 |
$ |
0 |
$ |
7,887 |
$ |
2,503 |
||||||||||||||||||||
Materials (2) |
396 |
0 |
(385 |
) |
0 |
30 |
(28 |
) |
0 |
0 |
13 |
13 |
||||||||||||||||||||||||||||
Rights |
| |||||||||||||||||||||||||||||||||||||||
Financials |
0 |
0 |
0 |
0 |
0 |
57 |
0 |
0 |
57 |
57 |
||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Financials |
0 |
2,354 |
0 |
0 |
(86 |
) |
(2,208 |
) |
0 |
0 |
60 |
(2,208 |
) | |||||||||||||||||||||||||||
Industrials |
248 |
0 |
0 |
0 |
0 |
(12 |
) |
0 |
0 |
236 |
(12 |
) | ||||||||||||||||||||||||||||
Information Technology |
6,071 |
0 |
0 |
0 |
0 |
(270 |
) |
0 |
0 |
5,801 |
(270 |
) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
13,020 |
0 |
0 |
0 |
0 |
2,316 |
0 |
0 |
15,336 |
2,316 |
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ |
48,078 |
$ |
49,006 |
$ |
(9,183 |
) |
$ |
357 |
$ |
(24 |
) |
$ |
(12,784 |
) |
$ |
6,605 |
$ |
(1,614 |
) |
$ |
80,441 |
$ |
(5,795 |
) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Category and Subcategory |
Ending Balance at 06/30/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||
Loan Participations and Assignments |
$ |
3,848 |
Discounted Cash Flow |
Discount Rate |
6.215 |
— |
||||||||||||||
1,523 |
Indicative Market Quotation |
Broker Quote |
34.500 |
— |
||||||||||||||||
2,058 |
Reference Instrument |
Yield |
6.366 |
— |
||||||||||||||||
4,589 |
Proxy Pricing |
Base Price |
65.125 |
— |
||||||||||||||||
12,517 |
Third Party Vendor |
Broker Quote |
62.500-98.875 |
90.310 |
||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||
Industrials |
12,867 |
Discounted Cash Flow |
Discount Rate |
12.080 |
— |
|||||||||||||||
4,824 |
Reference Instrument |
Weighted Average |
BRL |
42.864 |
— |
|||||||||||||||
U.S. Government Agencies |
2,374 |
Discounted Cash Flow |
Discount Rate |
12.000 |
— |
|||||||||||||||
Asset-Backed Securities |
2,093 |
Discounted Cash Flow |
Discount Rate |
10.000-20.000 |
18.854 |
|||||||||||||||
819 |
Proxy Pricing |
Base Price |
16.120-7,500.000 |
6,253.463 |
||||||||||||||||
Common Stocks |
| |||||||||||||||||||
Communication Services |
343 |
Reference Instrument |
Liquidity Discount |
10.000 |
— |
|||||||||||||||
Energy |
19 |
Other Valuation Techniques (3) |
— |
— |
||||||||||||||||
Financials |
3,177 |
Indicative Market Quotation |
EBITDA Multiple |
X |
7.000 |
— |
||||||||||||||
Industrials |
6,887 |
Discounted Cash Flow |
Discount Rate |
9.500-17.100 |
9.500 |
|||||||||||||||
1,000 |
Reference Instrument |
Purchase Price |
$ |
0.980 |
— |
|||||||||||||||
Materials |
13 |
Comparable Companies |
EBITDA Multiple |
X |
0.977 |
— |
||||||||||||||
Rights |
| |||||||||||||||||||
Financials |
57 |
Other Valuation Techniques (3) |
— |
— |
||||||||||||||||
Warrants |
| |||||||||||||||||||
Financials |
1 |
Indicative Market Quotation |
EBITDA Multiple |
X |
7.000 |
— |
||||||||||||||
59 |
Other Valuation Techniques (3) |
— |
— |
|||||||||||||||||
Industrials |
236 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
||||||||||||||
Information Technology |
5,801 |
Comparable Companies/ Discounted Cash Flow |
EBITDA Multiple |
X |
3.875 |
— |
||||||||||||||
Preferred Securities |
| |||||||||||||||||||
Industrials |
14,360 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
||||||||||||||
976 |
Comparable Companies/ Discounted Cash Flow |
Book Value Multiple/ Discount Rate |
X/ % |
0.260/21.660 |
— |
|||||||||||||||
|
|
|||||||||||||||||||
Total |
$ |
80,441 |
||||||||||||||||||
|
|
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) |
Sector type updated from Financials to Materials since prior fiscal year end. |
(3) |
Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 87 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 141.0% |
| |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 26.4% |
| |||||||||||
AAdvantage Loyalty IP Ltd. |
| |||||||||||
5.813% (LIBOR03M + 4.750%) due 04/20/2028 ~ |
$ |
900 |
$ |
862 |
||||||||
AmSurg Corp. |
| |||||||||||
13.000% due 04/30/2028 « |
18,989 |
17,660 |
||||||||||
AP Core Holdings LLC |
| |||||||||||
7.166% (LIBOR01M + 5.500%) due 09/01/2027 ~ |
10,389 |
9,811 |
||||||||||
Caesars Resort Collection LLC |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 12/23/2024 ~ |
11,460 |
11,064 |
||||||||||
Carnival Corp. |
| |||||||||||
3.750% - 3.975% (EUR003M + 3.750%) due 06/30/2025 ~ |
EUR |
2,283 |
2,219 |
|||||||||
6.127% (LIBOR06M + 3.250%) due 10/18/2028 «~ |
$ |
1,112 |
1,001 |
|||||||||
Clear Channel Outdoor Holdings, Inc. |
| |||||||||||
4.739% (LIBOR03M + 3.500%) due 08/21/2026 ~ |
3,760 |
3,237 |
||||||||||
Diamond Sports Group LLC |
| |||||||||||
9.181% due 05/26/2026 |
6,100 |
6,024 |
||||||||||
Envision Healthcare Corp. |
| |||||||||||
TBD% due 04/30/2027 µ |
1,523 |
1,504 |
||||||||||
8.875% due 04/30/2027 |
8,377 |
8,272 |
||||||||||
Fly Funding SARL |
| |||||||||||
7.012% - 7.611% (LIBOR03M + 6.000%) due 10/08/2025 «~ |
341 |
335 |
||||||||||
Forbes Energy Services LLC (7.000% PIK) |
| |||||||||||
7.000% due 09/30/2022 «(b) |
315 |
0 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
| |||||||||||
9.590% (LIBOR03M + 8.000%) due 10/15/2027 ~ |
6,791 |
6,710 |
||||||||||
9.590% due 10/18/2027 « |
CAD |
1,482 |
1,139 |
|||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
4.920% due 02/01/2029 |
$ |
4,824 |
4,426 |
|||||||||
Lealand Finance Co. BV |
| |||||||||||
4.666% (LIBOR01M + 3.000%) due 06/28/2024 «~ |
88 |
55 |
||||||||||
Lealand Finance Co. BV (2.666% Cash and 3.000% PIK) |
| |||||||||||
5.666% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) |
794 |
407 |
||||||||||
McAfee LLC |
| |||||||||||
5.145% due 03/01/2029 |
1,500 |
1,365 |
||||||||||
MPH Acquisition Holdings LLC |
| |||||||||||
5.825% (LIBOR03M + 4.250%) due 09/01/2028 ~ |
6,948 |
6,422 |
||||||||||
Promotora de Informaciones SA |
| |||||||||||
5.250% (EUR003M + 5.250%) due 12/31/2026 ~ |
EUR |
11,126 |
10,465 |
|||||||||
9.000% (EUR003M + 8.000%) due 06/30/2027 ~ |
1,520 |
1,444 |
||||||||||
PUG LLC |
| |||||||||||
5.166% (LIBOR01M + 3.500%) due 02/12/2027 ~ |
$ |
5,506 |
5,045 |
|||||||||
Redstone Holdco 2 LP |
| |||||||||||
5.934% (LIBOR03M + 4.750%) due 04/27/2028 ~ |
2,759 |
2,391 |
||||||||||
Rising Tide Holdings, Inc. |
| |||||||||||
6.416% (LIBOR01M + 4.750%) due 06/01/2028 ~ |
1,089 |
955 |
||||||||||
Sasol Ltd. |
| |||||||||||
0.560% - 3.663% (LIBOR03M + 1.600%) due 11/23/2022 «~µ |
4,040 |
4,002 |
||||||||||
SkyMiles IP Ltd. |
| |||||||||||
4.813% (LIBOR03M + 3.750%) due 10/20/2027 ~ |
400 |
397 |
||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) |
| |||||||||||
10.750% (EUR003M) due 12/29/2022 «~(b) |
EUR |
13,900 |
8,958 |
|||||||||
Syniverse Holdings, Inc. |
| |||||||||||
8.286% due 05/13/2027 |
$ |
12,414 |
10,955 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Team Health Holdings, Inc. |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 02/06/2024 ~ |
$ |
13,830 |
$ |
12,355 |
||||||||
Telemar Norte Leste SA |
| |||||||||||
1.750% (LIBOR12M + 1.750%) due 02/26/2035 «~ |
8,757 |
3,021 |
||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
6.688% (LIBOR01M + 5.000%) due 06/26/2026 ~ |
1,900 |
1,308 |
||||||||||
7.188% (LIBOR01M + 5.500%) due 06/26/2026 «~ |
4,268 |
2,977 |
||||||||||
Univision Communications, Inc. |
| |||||||||||
4.416% (LIBOR01M + 2.750%) due 03/15/2024 ~ |
1,502 |
1,478 |
||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) |
| |||||||||||
15.000% due 03/15/2029 (b) |
4,649 |
2,789 |
||||||||||
Windstream Services LLC |
| |||||||||||
7.916% (LIBOR01M + 6.250%) due 09/21/2027 ~ |
2,791 |
2,624 |
||||||||||
|
|
|||||||||||
Total Loan Participations and Assignments (Cost $180,374) |
153,677 |
|||||||||||
|
|
|||||||||||
CORPORATE BONDS & NOTES 59.8% |
| |||||||||||
BANKING & FINANCE 12.6% |
| |||||||||||
Ally Financial, Inc. |
| |||||||||||
8.000% due 11/01/2031 (k) |
974 |
1,067 |
||||||||||
Apollo Commercial Real Estate Finance, Inc. |
| |||||||||||
4.625% due 06/15/2029 (k) |
4,800 |
3,582 |
||||||||||
Armor Holdco, Inc. |
| |||||||||||
8.500% due 11/15/2029 (k) |
1,700 |
1,408 |
||||||||||
Banca Monte dei Paschi di Siena SpA |
| |||||||||||
1.875% due 01/09/2026 (k) |
EUR |
2,800 |
2,457 |
|||||||||
2.625% due 04/28/2025 (k) |
6,685 |
6,223 |
||||||||||
3.625% due 09/24/2024 (k) |
1,200 |
1,164 |
||||||||||
5.375% due 01/18/2028 • |
2,100 |
1,308 |
||||||||||
8.000% due 01/22/2030 •(k) |
3,702 |
2,485 |
||||||||||
8.500% due 09/10/2030 •(k) |
1,400 |
971 |
||||||||||
10.500% due 07/23/2029 (k) |
3,977 |
2,916 |
||||||||||
Banco de Credito del Peru SA |
| |||||||||||
4.650% due 09/17/2024 |
PEN |
800 |
193 |
|||||||||
Barclays PLC |
| |||||||||||
7.125% due 06/15/2025 •(g)(h) |
GBP |
1,200 |
1,405 |
|||||||||
7.750% due 09/15/2023 •(g)(h) |
$ |
1,000 |
985 |
|||||||||
7.875% due 09/15/2022 •(g)(h) |
GBP |
415 |
504 |
|||||||||
8.000% due 06/15/2024 •(g)(h) |
$ |
400 |
394 |
|||||||||
BOI Finance BV |
| |||||||||||
7.500% due 02/16/2027 |
EUR |
3,000 |
2,547 |
|||||||||
Corsair International Ltd. |
| |||||||||||
4.850% due 01/28/2027 • |
1,000 |
989 |
||||||||||
Cosaint Re Pte. Ltd. |
| |||||||||||
10.948% (T-BILL 1MO + 9.250%) due 04/03/2028 ~ |
$ |
900 |
885 |
|||||||||
Credit Agricole SA |
| |||||||||||
7.875% due 01/23/2024 •(g)(h) |
300 |
297 |
||||||||||
Credit Suisse Group AG |
| |||||||||||
7.500% due 07/17/2023 •(g)(h) |
200 |
185 |
||||||||||
7.500% due 12/11/2023 •(g)(h)(k) |
7,243 |
6,918 |
||||||||||
GSPA Monetization Trust |
| |||||||||||
6.422% due 10/09/2029 |
2,784 |
2,772 |
||||||||||
Hestia Re Ltd. |
| |||||||||||
9.500% (T-BILL 3MO + 9.500%) due 04/22/2025 ~ |
704 |
699 |
||||||||||
HSBC Holdings PLC |
| |||||||||||
6.000% due 09/29/2023 •(g)(h)(k) |
EUR |
2,070 |
2,151 |
|||||||||
Lloyds Banking Group PLC |
| |||||||||||
7.625% due 06/27/2023 •(g)(h) |
GBP |
2,300 |
2,803 |
|||||||||
Natwest Group PLC |
| |||||||||||
8.000% due 08/10/2025 •(g)(h) |
$ |
5,990 |
5,942 |
|||||||||
Sanders Re Ltd. |
| |||||||||||
11.750% (T-BILL 3MO + 11.750%) due 04/09/2029 ~ |
1,405 |
1,406 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Santander U.K. Group Holdings PLC |
| |||||||||||
6.750% due 06/24/2024 •(g)(h) |
GBP |
2,025 |
$ |
2,379 |
||||||||
Societe Generale SA |
| |||||||||||
7.375% due 10/04/2023 •(g)(h)(k) |
$ |
600 |
578 |
|||||||||
Tesco Property Finance PLC |
| |||||||||||
5.411% due 07/13/2044 |
GBP |
608 |
751 |
|||||||||
Unique Pub Finance Co. PLC |
| |||||||||||
5.659% due 06/30/2027 |
395 |
508 |
||||||||||
Uniti Group LP |
| |||||||||||
6.000% due 01/15/2030 (k) |
$ |
8,865 |
6,145 |
|||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
8.500% due 05/09/2026 |
8,297 |
7,426 |
||||||||||
Yosemite Re Ltd. |
| |||||||||||
11.389% (T-BILL 3MO + 9.750%) due 06/06/2025 ~ |
760 |
761 |
||||||||||
|
|
|||||||||||
73,204 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 36.9% |
| |||||||||||
Altice Financing SA |
| |||||||||||
5.750% due 08/15/2029 (k) |
2,739 |
2,206 |
||||||||||
Arches Buyer, Inc. |
| |||||||||||
4.250% due 06/01/2028 (k) |
1,500 |
1,225 |
||||||||||
Boeing Co. |
| |||||||||||
5.705% due 05/01/2040 (k) |
860 |
804 |
||||||||||
5.805% due 05/01/2050 (k) |
1,116 |
1,027 |
||||||||||
5.930% due 05/01/2060 (k) |
1,036 |
946 |
||||||||||
6.125% due 02/15/2033 (k) |
1,755 |
1,769 |
||||||||||
Bombardier, Inc. |
| |||||||||||
7.500% due 03/15/2025 (k) |
1,658 |
1,503 |
||||||||||
Broadcom, Inc. |
| |||||||||||
3.187% due 11/15/2036 (k) |
76 |
58 |
||||||||||
3.500% due 02/15/2041 (k) |
2,700 |
2,041 |
||||||||||
3.750% due 02/15/2051 (k) |
1,100 |
817 |
||||||||||
4.150% due 11/15/2030 (k) |
236 |
216 |
||||||||||
4.926% due 05/15/2037 (k) |
319 |
286 |
||||||||||
Carvana Co. |
| |||||||||||
10.250% due 05/01/2030 (k) |
2,500 |
2,058 |
||||||||||
CGG SA |
| |||||||||||
7.750% due 04/01/2027 |
EUR |
2,600 |
2,330 |
|||||||||
8.750% due 04/01/2027 (k) |
$ |
3,656 |
3,115 |
|||||||||
Charter Communications Operating LLC |
| |||||||||||
3.700% due 04/01/2051 (k) |
200 |
136 |
||||||||||
3.850% due 04/01/2061 (k) |
400 |
264 |
||||||||||
3.900% due 06/01/2052 (k) |
5,900 |
4,107 |
||||||||||
4.400% due 12/01/2061 (k) |
5,200 |
3,751 |
||||||||||
CommScope, Inc. |
| |||||||||||
8.250% due 03/01/2027 (k) |
7,136 |
5,659 |
||||||||||
Community Health Systems, Inc. |
| |||||||||||
5.250% due 05/15/2030 (k) |
4,100 |
3,123 |
||||||||||
8.000% due 03/15/2026 (k) |
494 |
451 |
||||||||||
Coty, Inc. |
| |||||||||||
3.875% due 04/15/2026 |
EUR |
4,056 |
3,771 |
|||||||||
CVS Pass-Through Trust |
| |||||||||||
7.507% due 01/10/2032 (k) |
$ |
711 |
776 |
|||||||||
DISH DBS Corp. |
| |||||||||||
5.250% due 12/01/2026 (k) |
4,340 |
3,410 |
||||||||||
5.750% due 12/01/2028 (k) |
5,420 |
4,023 |
||||||||||
Exela Intermediate LLC |
| |||||||||||
11.500% due 07/15/2026 |
88 |
29 |
||||||||||
Ferroglobe PLC |
| |||||||||||
9.375% due 12/31/2025 (i) |
1,700 |
1,717 |
||||||||||
Fertitta Entertainment LLC |
| |||||||||||
6.750% due 01/15/2030 (k) |
2,300 |
1,772 |
||||||||||
First Quantum Minerals Ltd. |
| |||||||||||
6.500% due 03/01/2024 (k) |
1,252 |
1,205 |
||||||||||
6.875% due 03/01/2026 (k) |
1,000 |
923 |
||||||||||
FMG Resources Pty. Ltd. |
| |||||||||||
6.125% due 04/15/2032 (k) |
1,100 |
992 |
||||||||||
Ford Motor Co. |
| |||||||||||
7.700% due 05/15/2097 (k) |
9,770 |
10,104 |
||||||||||
Fresh Market, Inc. |
| |||||||||||
9.750% due 05/01/2023 |
7,590 |
7,590 |
88 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Frontier Communications Holdings LLC |
| |||||||||||
6.000% due 01/15/2030 (k) |
$ |
1,745 |
$ |
1,348 |
||||||||
HCA, Inc. |
| |||||||||||
7.500% due 11/15/2095 (k) |
1,200 |
1,229 |
||||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
6.500% due 03/15/2030 (k) |
17,148 |
14,190 |
||||||||||
Inter Media & Communication SpA |
| |||||||||||
6.750% due 02/09/2027 |
EUR |
3,000 |
2,814 |
|||||||||
Market Bidco Finco PLC |
| |||||||||||
4.750% due 11/04/2027 |
800 |
668 |
||||||||||
Melco Resorts Finance Ltd. |
| |||||||||||
5.750% due 07/21/2028 (k) |
$ |
1,900 |
1,226 |
|||||||||
NCL Corp. Ltd. |
| |||||||||||
5.875% due 02/15/2027 (k) |
2,162 |
1,853 |
||||||||||
New Albertsons LP |
| |||||||||||
6.570% due 02/23/2028 |
6,800 |
6,672 |
||||||||||
Nissan Motor Co. Ltd. |
| |||||||||||
4.810% due 09/17/2030 (k) |
10,500 |
9,338 |
||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) |
| |||||||||||
11.000% due 02/15/2028 (b) |
1,387 |
1,520 |
||||||||||
Odebrecht Oil & Gas Finance Ltd. |
| |||||||||||
0.000% due 08/01/2022 (e)(g) |
1,101 |
5 |
||||||||||
Petroleos Mexicanos |
| |||||||||||
2.750% due 04/21/2027 |
EUR |
4,476 |
3,529 |
|||||||||
4.875% due 02/21/2028 |
318 |
265 |
||||||||||
5.950% due 01/28/2031 (k) |
$ |
2,567 |
1,885 |
|||||||||
6.700% due 02/16/2032 |
4,320 |
3,303 |
||||||||||
6.750% due 09/21/2047 (k) |
4,224 |
2,623 |
||||||||||
6.950% due 01/28/2060 |
320 |
198 |
||||||||||
7.690% due 01/23/2050 |
2,320 |
1,585 |
||||||||||
QVC, Inc. |
| |||||||||||
5.950% due 03/15/2043 (k) |
2,324 |
1,571 |
||||||||||
Royal Caribbean Cruises Ltd. |
| |||||||||||
10.875% due 06/01/2023 |
2077 |
2,089 |
||||||||||
11.500% due 06/01/2025 |
590 |
608 |
||||||||||
Russian Railways Via RZD Capital PLC |
| |||||||||||
7.487% due 03/25/2031 ^(c) |
GBP |
1,300 |
158 |
|||||||||
Sands China Ltd. |
| |||||||||||
5.400% due 08/08/2028 (k) |
$ |
5,811 |
4,490 |
|||||||||
Schenck Process Holding GmbH |
| |||||||||||
6.875% due 06/15/2023 (k) |
EUR |
400 |
411 |
|||||||||
Spirit AeroSystems, Inc. |
| |||||||||||
3.950% due 06/15/2023 (k) |
$ |
3,142 |
2,950 |
|||||||||
Studio City Finance Ltd. |
| |||||||||||
6.000% due 07/15/2025 (k) |
2,100 |
1,333 |
||||||||||
6.500% due 01/15/2028 (k) |
2,100 |
1,181 |
||||||||||
Topaz Solar Farms LLC |
| |||||||||||
4.875% due 09/30/2039 |
1,981 |
1,718 |
||||||||||
5.750% due 09/30/2039 (k) |
11,656 |
10,601 |
||||||||||
Transocean Pontus Ltd. |
| |||||||||||
6.125% due 08/01/2025 (k) |
2,481 |
2,273 |
||||||||||
Transocean, Inc. |
| |||||||||||
7.250% due 11/01/2025 |
74 |
55 |
||||||||||
7.500% due 01/15/2026 |
69 |
49 |
||||||||||
8.000% due 02/01/2027 |
134 |
90 |
||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
10.625% due 07/15/2027 (k) |
3,544 |
1,338 |
||||||||||
United Group BV |
| |||||||||||
4.875% due 07/01/2024 (k) |
EUR |
100 |
96 |
|||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) |
| |||||||||||
8.250% due 04/30/2028 (b)(k) |
$ |
2,754 |
2,675 |
|||||||||
8.250% due 04/30/2028 (b) |
2,517 |
2,445 |
||||||||||
Vale SA |
| |||||||||||
0.000% due 12/29/2049 «~(g) |
BRL |
110,000 |
8,844 |
|||||||||
Veritas U.S., Inc. |
| |||||||||||
7.500% due 09/01/2025 (k) |
$ |
1,123 |
845 |
|||||||||
Viking Cruises Ltd. |
| |||||||||||
13.000% due 05/15/2025 (k) |
6,375 |
6,542 |
||||||||||
VOC Escrow Ltd. |
| |||||||||||
5.000% due 02/15/2028 (k) |
2,100 |
1,690 |
||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) |
| |||||||||||
10.500% due 11/15/2026 «(b) |
26,911 |
25,539 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Windstream Escrow LLC |
| |||||||||||
7.750% due 08/15/2028 (k) |
$ |
3,403 |
$ |
2,749 |
||||||||
Wynn Macau Ltd. |
| |||||||||||
5.125% due 12/15/2029 |
200 |
124 |
||||||||||
5.500% due 01/15/2026 (k) |
1,600 |
1,110 |
||||||||||
5.625% due 08/26/2028 (k) |
1,000 |
619 |
||||||||||
ZipRecruiter, Inc. |
| |||||||||||
5.000% due 01/15/2030 (k) |
2,700 |
2,271 |
||||||||||
|
|
|||||||||||
214,919 |
||||||||||||
|
|
|||||||||||
UTILITIES 10.3% |
| |||||||||||
DTEK Finance PLC (3.500% Cash and 3.500% PIK) |
| |||||||||||
7.000% due 12/31/2027 (b) |
4,263 |
1,026 |
||||||||||
Eskom Holdings SOC Ltd. |
| |||||||||||
7.125% due 02/11/2025 |
2,460 |
2,081 |
||||||||||
8.450% due 08/10/2028 |
220 |
179 |
||||||||||
Genesis Energy LP |
| |||||||||||
8.000% due 01/15/2027 (k) |
1,768 |
1,570 |
||||||||||
NGD Holdings BV |
| |||||||||||
6.750% due 12/31/2026 |
396 |
176 |
||||||||||
Northwestern Bell Telephone |
| |||||||||||
7.750% due 05/01/2030 |
12,625 |
13,778 |
||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
| |||||||||||
7.350% due 12/01/2026 ^(b) |
249 |
154 |
||||||||||
Odebrecht Offshore Drilling Finance Ltd. |
| |||||||||||
6.720% due 12/01/2022 ^ |
203 |
196 |
||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
| |||||||||||
7.720% due 12/01/2026 ^(b) |
8,285 |
2,071 |
||||||||||
Oi SA (10.000% Cash or 12.000% PIK) |
| |||||||||||
10.000% due 07/27/2025 (b) |
11,456 |
5,624 |
||||||||||
Pacific Gas & Electric Co. |
| |||||||||||
3.450% due 07/01/2025 (k) |
228 |
214 |
||||||||||
3.750% due 08/15/2042 |
22 |
15 |
||||||||||
4.000% due 12/01/2046 |
8 |
6 |
||||||||||
4.200% due 03/01/2029 (k) |
1,800 |
1,609 |
||||||||||
4.300% due 03/15/2045 |
27 |
20 |
||||||||||
4.450% due 04/15/2042 (k) |
535 |
403 |
||||||||||
4.500% due 07/01/2040 (k) |
2,873 |
2,231 |
||||||||||
4.500% due 12/15/2041 |
22 |
16 |
||||||||||
4.550% due 07/01/2030 (k) |
3,739 |
3,326 |
||||||||||
4.600% due 06/15/2043 |
18 |
14 |
||||||||||
4.750% due 02/15/2044 (k) |
6,295 |
4,836 |
||||||||||
4.950% due 07/01/2050 (k) |
4,703 |
3,761 |
||||||||||
Peru LNG SRL |
| |||||||||||
5.375% due 03/22/2030 |
7,070 |
5,727 |
||||||||||
Petrobras Global Finance BV |
| |||||||||||
6.625% due 01/16/2034 |
GBP |
100 |
112 |
|||||||||
6.750% due 06/03/2050 |
$ |
1,809 |
1,571 |
|||||||||
PG&E Wildfire Recovery Funding LLC |
| |||||||||||
4.263% due 06/01/2038 (k) |
450 |
453 |
||||||||||
4.377% due 06/01/2041 (k) |
500 |
494 |
||||||||||
4.451% due 12/01/2049 (k) |
2,600 |
2,625 |
||||||||||
4.674% due 12/01/2053 (k) |
600 |
601 |
||||||||||
Rio Oil Finance Trust |
| |||||||||||
8.200% due 04/06/2028 |
224 |
233 |
||||||||||
9.250% due 07/06/2024 |
1,196 |
1,240 |
||||||||||
9.750% due 01/06/2027 |
384 |
410 |
||||||||||
Transocean Poseidon Ltd. |
| |||||||||||
6.875% due 02/01/2027 (k) |
3,586 |
3,160 |
||||||||||
|
|
|||||||||||
59,932 |
||||||||||||
|
|
|||||||||||
Total Corporate Bonds & Notes (Cost $417,164) |
348,055 |
|||||||||||
|
|
|||||||||||
CONVERTIBLE BONDS & NOTES 0.4% |
| |||||||||||
INDUSTRIALS 0.4% |
| |||||||||||
DISH Network Corp. |
| |||||||||||
3.375% due 08/15/2026 |
3,400 |
2,305 |
||||||||||
|
|
|||||||||||
Total Convertible Bonds & Notes (Cost $3,400) |
2,305 |
|||||||||||
|
|
|||||||||||
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
MUNICIPAL BONDS & NOTES 2.4% |
| |||||||||||
ILLINOIS 0.0% |
| |||||||||||
Chicago, Illinois General Obligation Bonds, Series 2015 |
| |||||||||||
7.750% due 01/01/2042 |
$ |
56 |
$ |
60 |
||||||||
|
|
|||||||||||
OHIO 1.0% |
| |||||||||||
Ohio State University Revenue Bonds, Series 2011 |
| |||||||||||
4.800% due 06/01/2111 |
6,000 |
6,041 |
||||||||||
|
|
|||||||||||
PUERTO RICO 0.7% |
| |||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 |
| |||||||||||
0.000% due 11/01/2043 (e) |
647 |
323 |
||||||||||
0.000% due 11/01/2051 (e) |
6,600 |
2,846 |
||||||||||
Commonwealth of Puerto Rico General Obligation Bonds, Series 2021 |
| |||||||||||
0.000% due 07/01/2033 (e) |
167 |
94 |
||||||||||
4.000% due 07/01/2033 |
130 |
119 |
||||||||||
4.000% due 07/01/2035 |
117 |
105 |
||||||||||
4.000% due 07/01/2037 |
100 |
89 |
||||||||||
4.000% due 07/01/2041 |
99 |
86 |
||||||||||
Commonwealth of Puerto Rico General Obligation Notes, Series 2021 |
| |||||||||||
0.000% due 07/01/2024 (e) |
67 |
61 |
||||||||||
5.250% due 07/01/2023 |
145 |
147 |
||||||||||
|
|
|||||||||||
3,870 |
||||||||||||
|
|
|||||||||||
VIRGINIA 0.1% |
| |||||||||||
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
| |||||||||||
6.706% due 06/01/2046 |
350 |
325 |
||||||||||
|
|
|||||||||||
WEST VIRGINIA 0.6% |
| |||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
0.000% due 06/01/2047 (e) |
45,700 |
3,702 |
||||||||||
|
|
|||||||||||
Total Municipal Bonds & Notes (Cost $13,801) |
13,998 |
|||||||||||
|
|
|||||||||||
U.S. GOVERNMENT AGENCIES 2.1% |
| |||||||||||
Fannie Mae |
| |||||||||||
3.500% due 02/25/2042 (a) |
349 |
34 |
||||||||||
4.500% due 11/25/2042 (a) |
1,017 |
134 |
||||||||||
4.626% due 01/25/2040 •(a) |
161 |
17 |
||||||||||
Freddie Mac |
| |||||||||||
0.700% due 11/25/2055 ~(a) |
33,887 |
2,876 |
||||||||||
3.000% due 02/15/2033 (a) |
916 |
83 |
||||||||||
3.500% due 12/15/2032 (a) |
1,296 |
144 |
||||||||||
5.992% due 11/25/2055 «~ |
8,218 |
5,030 |
||||||||||
9.169% due 09/15/2035 • |
776 |
708 |
||||||||||
9.174% due 12/25/2027 • |
2,866 |
2,806 |
||||||||||
12.374% due 03/25/2025 • |
380 |
383 |
||||||||||
Ginnie Mae |
| |||||||||||
3.500% due 06/20/2042 - 10/20/2042 (a) |
205 |
26 |
||||||||||
4.000% due 10/16/2042 - 10/20/2042 (a) |
176 |
21 |
||||||||||
|
|
|||||||||||
Total U.S. Government Agencies (Cost $12,606) |
12,262 |
|||||||||||
|
|
|||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 11.1% |
| |||||||||||
Banc of America Funding Corp. |
| |||||||||||
6.000% due 01/25/2037 |
3,164 |
2,782 |
||||||||||
Banc of America Funding Trust |
| |||||||||||
3.461% due 01/20/2047 ^~ |
415 |
391 |
||||||||||
BCAP LLC Trust |
| |||||||||||
0.000% due 06/26/2036 ~ |
84 |
54 |
||||||||||
0.000% due 05/26/2037 ~ |
918 |
363 |
||||||||||
2.972% due 08/26/2037 ~ |
9,003 |
7,247 |
||||||||||
3.071% due 08/28/2037 ~ |
2,302 |
2,277 |
||||||||||
3.396% due 07/26/2037 ~ |
4,527 |
3,990 |
||||||||||
3.438% due 09/26/2036 ~ |
3,473 |
3,365 |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 89 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
4.737% due 03/26/2037 þ |
$ |
664 |
$ |
905 |
||||||||
5.750% due 12/26/2035 ~ |
1,607 |
1,324 |
||||||||||
6.250% due 11/26/2036 |
2,523 |
2,024 |
||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
2.124% due 01/25/2036 ^• |
550 |
743 |
||||||||||
2.811% due 11/25/2035 ~ |
3,794 |
2,935 |
||||||||||
2.954% due 11/25/2036 ^~ |
290 |
164 |
||||||||||
3.127% due 09/25/2035 ^~ |
259 |
164 |
||||||||||
3.224% due 09/25/2047 ^~ |
3,991 |
2,311 |
||||||||||
CD Mortgage Trust |
| |||||||||||
5.688% due 10/15/2048 |
98 |
89 |
||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
2.954% due 12/25/2035 ^~ |
4 |
4 |
||||||||||
5.500% due 05/25/2036 ^ |
6 |
4 |
||||||||||
Citicorp Mortgage Securities Trust |
| |||||||||||
5.500% due 04/25/2037 |
9 |
9 |
||||||||||
6.000% due 09/25/2037 |
322 |
314 |
||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.673% due 12/10/2049 ~ |
485 |
83 |
||||||||||
Countrywide Alternative Loan Resecuritization Trust |
| |||||||||||
6.000% due 05/25/2036 ^ |
1,571 |
1,048 |
||||||||||
6.000% due 08/25/2037 ^~ |
767 |
497 |
||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
2.813% due 04/25/2036 ^~ |
438 |
380 |
||||||||||
5.500% due 03/25/2035 |
207 |
108 |
||||||||||
5.500% due 01/25/2036 |
296 |
203 |
||||||||||
5.750% due 01/25/2035 |
145 |
140 |
||||||||||
5.750% due 02/25/2035 |
203 |
157 |
||||||||||
5.750% due 12/25/2036 ^ |
558 |
269 |
||||||||||
6.000% due 02/25/2035 |
260 |
212 |
||||||||||
6.000% due 04/25/2036 |
368 |
200 |
||||||||||
6.000% due 04/25/2037 ^ |
1,233 |
659 |
||||||||||
6.250% due 11/25/2036 ^ |
467 |
379 |
||||||||||
6.250% (US0001M + 0.650%) due 12/25/2036 ^~ |
406 |
208 |
||||||||||
6.500% due 08/25/2036 ^ |
373 |
157 |
||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
2.204% due 03/25/2035 ^• |
2,200 |
1,841 |
||||||||||
6.000% due 07/25/2037 |
1,150 |
603 |
||||||||||
6.250% due 09/25/2036 ^ |
327 |
157 |
||||||||||
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates |
| |||||||||||
6.000% due 11/25/2035 ^ |
201 |
157 |
||||||||||
Credit Suisse Mortgage Capital Certificates |
| |||||||||||
2.935% due 10/26/2036 ~ |
6,540 |
5,674 |
||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
| |||||||||||
5.750% due 04/25/2036 ^ |
100 |
61 |
||||||||||
First Horizon Mortgage Pass-Through Trust |
| |||||||||||
2.625% due 11/25/2035 ^~ |
158 |
145 |
||||||||||
2.850% due 05/25/2037 ^~ |
123 |
56 |
||||||||||
Freddie Mac |
| |||||||||||
8.726% (SOFR30A + 7.800%) due 11/25/2041 ~ |
3,800 |
3,202 |
||||||||||
IndyMac IMSC Mortgage Loan Trust |
| |||||||||||
6.500% due 07/25/2037 ^ |
3,429 |
1,454 |
||||||||||
Jackson Park Trust |
| |||||||||||
3.350% due 10/14/2039 ~ |
2,116 |
1,587 |
||||||||||
JP Morgan Alternative Loan Trust |
| |||||||||||
2.831% due 03/25/2036 ^~ |
898 |
780 |
||||||||||
3.048% due 05/25/2036 ^~ |
853 |
557 |
||||||||||
3.385% due 03/25/2037 ^~ |
537 |
536 |
||||||||||
JP Morgan Mortgage Trust |
| |||||||||||
2.811% due 02/25/2036 ^~ |
163 |
128 |
||||||||||
2.832% due 10/25/2035 ~ |
66 |
64 |
||||||||||
6.500% due 09/25/2035 |
49 |
39 |
||||||||||
Lehman Mortgage Trust |
| |||||||||||
6.000% due 07/25/2037 ^ |
265 |
242 |
||||||||||
6.500% due 09/25/2037 ^ |
1,751 |
709 |
||||||||||
Lehman XS Trust |
| |||||||||||
2.064% (US0001M + 0.440%) due 06/25/2047 ~ |
1,017 |
922 |
||||||||||
MASTR Asset Securitization Trust |
| |||||||||||
6.500% due 11/25/2037 ^ |
353 |
109 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
2.606% due 03/25/2036 ^~ |
1,127 |
657 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Morgan Stanley Capital Trust |
| |||||||||||
5.674% due 11/15/2034 • |
$ |
2,400 |
$ |
2,235 |
||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust |
| |||||||||||
5.476% due 05/25/2035 ^þ |
7 |
4 |
||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
3.537% due 12/26/2034 ^~ |
518 |
228 |
||||||||||
6.000% due 08/25/2036 ^ |
166 |
150 |
||||||||||
Residential Asset Securitization Trust |
| |||||||||||
5.750% due 02/25/2036 ^ |
773 |
362 |
||||||||||
6.000% due 07/25/2037 ^ |
1,315 |
598 |
||||||||||
6.250% due 09/25/2037 ^ |
2,488 |
1,181 |
||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
4.679% due 08/25/2036 ^~ |
88 |
81 |
||||||||||
4.704% due 09/25/2035 ~ |
446 |
310 |
||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
2.999% due 11/25/2036 ^~ |
1,155 |
1,018 |
||||||||||
3.167% due 01/25/2036 ^~ |
1,313 |
873 |
||||||||||
SunTrust Adjustable Rate Mortgage Loan Trust |
| |||||||||||
2.307% due 02/25/2037 ^~ |
98 |
87 |
||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
3.125% due 02/25/2037 ^~ |
274 |
259 |
||||||||||
3.201% due 05/25/2037 ^~ |
531 |
495 |
||||||||||
3.331% due 10/25/2036 ^~ |
426 |
391 |
||||||||||
3.368% due 07/25/2037 ^~ |
461 |
442 |
||||||||||
|
|
|||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $67,554) |
64,553 |
|||||||||||
|
|
|||||||||||
ASSET-BACKED SECURITIES 8.1% |
| |||||||||||
Adagio CLO DAC |
| |||||||||||
0.000% due 04/30/2031 ~ |
EUR |
1,800 |
705 |
|||||||||
Apidos CLO |
| |||||||||||
0.000% due 07/22/2026 ~ |
$ |
1,500 |
6 |
|||||||||
0.000% due 01/20/2031 ~ |
4,500 |
1,971 |
||||||||||
Argent Securities Trust |
| |||||||||||
2.004% due 03/25/2036 • |
3,138 |
1,827 |
||||||||||
Avoca CLO DAC |
| |||||||||||
0.000% due 07/15/2032 ~ |
EUR |
2,230 |
1,563 |
|||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
1.764% (US0001M + 0.140%) due 10/25/2036 ^~ |
$ |
2,148 |
3,002 |
|||||||||
6.500% due 10/25/2036 ^ |
337 |
197 |
||||||||||
Belle Haven ABS CDO Ltd. |
| |||||||||||
1.212% due 07/05/2046 • |
180,259 |
90 |
||||||||||
CIFC Funding Ltd. |
| |||||||||||
0.000% due 04/24/2030 ~ |
2,400 |
723 |
||||||||||
0.010% due 10/22/2031 ~ |
1,500 |
398 |
||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
1.774% due 12/25/2036 • |
11,915 |
4,992 |
||||||||||
1.784% due 12/25/2036 • |
1,381 |
796 |
||||||||||
Cork Street CLO Designated Activity Co. |
| |||||||||||
0.000% due 11/27/2028 ~ |
EUR |
932 |
209 |
|||||||||
Flagship Credit Auto Trust |
| |||||||||||
0.000% due 05/15/2025 «(e) |
$ |
8 |
480 |
|||||||||
Fremont Home Loan Trust |
| |||||||||||
1.774% due 01/25/2037 • |
11,873 |
5,661 |
||||||||||
Grosvenor Place CLO BV |
| |||||||||||
0.000% due 04/30/2029 ~ |
EUR |
500 |
160 |
|||||||||
Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
1.784% due 07/25/2037 • |
$ |
2,464 |
1,487 |
|||||||||
KKR CLO Ltd. |
| |||||||||||
0.000% due 10/17/2031 ~ |
3,000 |
1,919 |
||||||||||
Lehman XS Trust |
| |||||||||||
6.790% due 06/24/2046 þ |
637 |
674 |
||||||||||
Magnetite Ltd. |
| |||||||||||
0.000% due 01/15/2028 ~ |
5,650 |
1,860 |
||||||||||
Marlette Funding Trust |
| |||||||||||
0.000% due 09/17/2029 «(e) |
7 |
587 |
||||||||||
0.000% due 03/15/2030 «(e) |
6 |
430 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
1.944% (US0001M + 0.320%) due 04/25/2037 ~ |
389 |
232 |
||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
6.250% due 02/25/2037 ^~ |
431 |
234 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
SLM Student Loan EDC Repackaging Trust |
| |||||||||||
0.000% due 10/28/2029 «(e) |
$ |
1 |
$ |
1,206 |
||||||||
SLM Student Loan Trust |
| |||||||||||
0.000% due 01/25/2042 «(e) |
4 |
1,437 |
||||||||||
SMB Private Education Loan Trust |
| |||||||||||
0.000% due 09/18/2046 «(e) |
1 |
618 |
||||||||||
0.000% due 10/15/2048 «(e) |
1 |
462 |
||||||||||
Sofi Professional Loan Program LLC |
| |||||||||||
0.000% due 05/25/2040 (e) |
4,400 |
590 |
||||||||||
0.000% due 07/25/2040 «(e) |
21 |
295 |
||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 09/25/2040 «(e) |
1,758 |
283 |
||||||||||
South Coast Funding Ltd. |
| |||||||||||
2.002% (US0003M + 0.600%) due 08/10/2038 ~ |
11,468 |
1,094 |
||||||||||
Taberna Preferred Funding Ltd. |
| |||||||||||
1.432% due 07/05/2035 • |
1,495 |
1,361 |
||||||||||
1.723% due 12/05/2036 • |
4,626 |
4,071 |
||||||||||
1.743% due 08/05/2036 • |
286 |
254 |
||||||||||
1.743% due 08/05/2036 ^• |
5,643 |
5,022 |
||||||||||
|
|
|||||||||||
Total Asset-Backed Securities (Cost $81,949) |
46,896 |
|||||||||||
|
|
|||||||||||
SOVEREIGN ISSUES 1.9% |
| |||||||||||
Argentina Government International Bond |
| |||||||||||
0.500% due 07/09/2030 þ |
4,017 |
848 |
||||||||||
1.000% due 07/09/2029 |
683 |
161 |
||||||||||
1.125% due 07/09/2035 þ |
4,041 |
839 |
||||||||||
1.125% due 07/09/2046 þ |
115 |
27 |
||||||||||
1.400% due 03/25/2023 |
ARS |
123,240 |
452 |
|||||||||
2.000% due 01/09/2038 þ |
$ |
11,605 |
3,395 |
|||||||||
2.500% due 07/09/2041 þ |
5,512 |
1,433 |
||||||||||
15.500% due 10/17/2026 |
ARS |
61,630 |
73 |
|||||||||
47.331% (BADLARPP) due 10/04/2022 ~ |
58 |
0 |
||||||||||
Ghana Government International Bond |
| |||||||||||
6.375% due 02/11/2027 |
$ |
500 |
288 |
|||||||||
7.875% due 02/11/2035 |
600 |
283 |
||||||||||
8.750% due 03/11/2061 |
200 |
95 |
||||||||||
Ivory Coast Government International Bond |
| |||||||||||
4.875% due 01/30/2032 |
EUR |
1,500 |
1,135 |
|||||||||
6.625% due 03/22/2048 |
700 |
494 |
||||||||||
Provincia de Buenos Aires |
| |||||||||||
49.102% due 04/12/2025 |
ARS |
363,012 |
1,218 |
|||||||||
Ukraine Government International Bond |
| |||||||||||
4.375% due 01/27/2030 |
EUR |
1,205 |
316 |
|||||||||
Venezuela Government International Bond |
| |||||||||||
6.000% due 12/09/2049 |
$ |
248 |
19 |
|||||||||
8.250% due 10/13/2024 ^(c) |
28 |
2 |
||||||||||
9.250% due 09/15/2027 ^(c) |
315 |
28 |
||||||||||
|
|
|||||||||||
Total Sovereign Issues (Cost $25,861) |
11,106 |
|||||||||||
|
|
|||||||||||
SHARES |
||||||||||||
COMMON STOCKS 4.4% |
| |||||||||||
COMMUNICATION SERVICES 0.4% |
| |||||||||||
Clear Channel Outdoor Holdings, Inc. (d) |
549,096 |
587 |
||||||||||
iHeartMedia, Inc. ‘A’ (d) |
129,909 |
1,025 |
||||||||||
iHeartMedia, Inc. ‘B’ «(d) |
100,822 |
716 |
||||||||||
|
|
|||||||||||
2,328 |
||||||||||||
|
|
|||||||||||
ENERGY 0.1% |
| |||||||||||
Axis Energy Services ‘A’ «(d)(i) |
2,048 |
30 |
||||||||||
Noble Corp. (d)(i) |
22,788 |
578 |
||||||||||
Valaris Ltd. (d) |
2,535 |
107 |
||||||||||
|
|
|||||||||||
715 |
||||||||||||
|
|
|||||||||||
FINANCIALS 1.1% |
| |||||||||||
Intelsat SA «(d)(i) |
233,192 |
6,529 |
||||||||||
|
|
|||||||||||
90 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
SHARES |
MARKET VALUE (000S) |
|||||||||||
INDUSTRIALS 2.8% |
| |||||||||||
Neiman Marcus Group Ltd. LLC «(d)(i) |
82,915 |
$ |
14,332 |
|||||||||
Syniverse Holdings, Inc. «(d)(i) |
1,992,796 |
1,953 |
||||||||||
Voyager Aviation Holdings LLC «(d) |
1,155 |
0 |
||||||||||
Westmoreland Mining Holdings «(d)(i) |
53,248 |
0 |
||||||||||
|
|
|||||||||||
16,285 |
||||||||||||
|
|
|||||||||||
MATERIALS 0.0% |
| |||||||||||
Associated Materials Group, Inc. «(d) |
116,123 |
27 |
||||||||||
|
|
|||||||||||
Total Common Stocks (Cost $30,641) |
25,884 |
|||||||||||
|
|
|||||||||||
RIGHTS 0.0% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Intelsat Jackson Holdings SA «(d) |
24,544 |
117 |
||||||||||
|
|
|||||||||||
Total Rights (Cost $0) |
117 |
|||||||||||
|
|
|||||||||||
WARRANTS 2.2% |
| |||||||||||
FINANCIALS 0.0% |
| |||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « |
401 |
1 |
||||||||||
Intelsat Jackson Holdings SA-Exp. 12/05/2025 « |
24,408 |
122 |
||||||||||
|
|
|||||||||||
123 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 0.1% |
| |||||||||||
Sequa Corp. - Exp. 04/28/2024 « |
819,000 |
490 |
||||||||||
|
|
|||||||||||
SHARES |
MARKET VALUE (000S) |
|||||||||||
INFORMATION TECHNOLOGY 2.1% |
| |||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « |
565,698 |
$ |
12,063 |
|||||||||
|
|
|||||||||||
Total Warrants (Cost $10,079) |
12,676 |
|||||||||||
|
|
|||||||||||
PREFERRED SECURITIES 9.3% |
| |||||||||||
BANKING & FINANCE 3.8% |
| |||||||||||
AGFC Capital Trust |
| |||||||||||
2.794% (US0003M + 1.750%) due 01/15/2067 ~(k) |
1,800,000 |
984 |
||||||||||
Brighthouse Holdings LLC |
| |||||||||||
6.500% due 07/27/2037 þ(g) |
70,000 |
63 |
||||||||||
Farm Credit Bank of Texas |
| |||||||||||
5.700% due 09/15/2025 •(g) |
1,000,000 |
955 |
||||||||||
Nationwide Building Society |
| |||||||||||
10.250% ~ |
35,250 |
6,286 |
||||||||||
Stichting AK Rabobank Certificaten |
| |||||||||||
6.500% due 12/29/2049 þ(g) |
13,300,775 |
13,573 |
||||||||||
|
|
|||||||||||
21,861 |
||||||||||||
|
|
|||||||||||
INDUSTRIALS 5.6% |
| |||||||||||
General Electric Co. |
| |||||||||||
5.159% (US0003M + 3.330%) due 09/15/2022 ~(g) |
268,000 |
236 |
||||||||||
Sequa Corp. (15.000% PIK) |
| |||||||||||
15.000% « |
26,345 |
29,889 |
||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
9.500% « |
6,929 |
2,095 |
||||||||||
|
|
|||||||||||
32,220 |
||||||||||||
|
|
|||||||||||
Total Preferred Securities (Cost $46,131) |
54,081 |
|||||||||||
|
|
|||||||||||
REAL ESTATE INVESTMENT TRUSTS 2.5% |
| |||||||||||
REAL ESTATE 2.5% |
| |||||||||||
CBL & Associates Properties, Inc. |
6,516 |
153 |
SHARES |
MARKET VALUE (000S) |
|||||||||||
Uniti Group, Inc. |
274,27$3 |
$ |
2,584 |
|||||||||
VICI Properties, Inc. |
398,708 |
11,877 |
||||||||||
|
|
|||||||||||
Total Real Estate Investment Trusts (Cost $6,966) |
14,614 |
|||||||||||
|
|
|||||||||||
PRINCIPAL AMOUNT (000S) |
||||||||||||
SHORT-TERM INSTRUMENTS 10.3% |
| |||||||||||
REPURCHASE AGREEMENTS (j) 8.1% |
| |||||||||||
47,236 |
||||||||||||
|
|
|||||||||||
ARGENTINA TREASURY BILLS 0.0% |
| |||||||||||
51.049% due 09/30/2022 (e)(f) |
ARS |
42,300 |
142 |
|||||||||
|
|
|||||||||||
U.S. TREASURY CASH MANAGEMENT BILLS 2.2% |
| |||||||||||
1.416% due 10/04/2022 (e)(f)(n) |
$ |
12,800 |
12,739 |
|||||||||
|
|
|||||||||||
Total Short-Term Instruments (Cost $60,184) |
|
60,117 |
||||||||||
|
|
|||||||||||
Total Investments in Securities (Cost $956,710) |
|
820,341 |
||||||||||
Total Investments 141.0% (Cost $956,710) |
$ |
820,341 |
||||||||||
Financial Derivative Instruments (l)(m) 0.4% (Cost or Premiums, net $13,745) |
|
2,533 |
||||||||||
Auction Rate Preferred Shares (15.0)% |
|
(87,425 |
) | |||||||||
Other Assets and Liabilities, net (26.4)% |
|
(153,494 |
) | |||||||||
|
|
|||||||||||
Net Assets Applicable to Common Shareholders 100.0% |
|
$ |
581,955 |
|||||||||
|
|
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) |
Security is an Interest Only (“IO”) or IO Strip. |
(b) |
Payment in-kind security. |
(c) |
Security is not accruing income as of the date of this report. |
(d) |
Security did not produce income within the last twelve months. |
(e) |
Zero coupon security. |
(f) |
Coupon represents a yield to maturity. |
(g) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(h) |
Contingent convertible security. |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 91 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||||||||||
Axis Energy Services ‘A’ |
07/01/2021 |
$ |
30 |
$ |
30 |
0.01 |
% | |||||||||||||||||
Ferroglobe PLC 9.375% due 12/31/2025 |
02/09/2017 - 12/03/2019 |
1,678 |
1,717 |
0.29 |
||||||||||||||||||||
Intelsat SA |
06/19/2017 - 02/23/2022 |
16,395 |
6,529 |
1.12 |
||||||||||||||||||||
Neiman Marcus Group Ltd. LLC |
09/05/2020 |
2,719 |
14,332 |
2.46 |
||||||||||||||||||||
Noble Corp. |
02/05/2021 - 02/27/2021 |
285 |
578 |
0.10 |
||||||||||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 |
1,953 |
1,953 |
0.34 |
||||||||||||||||||||
Westmoreland Mining Holdings |
12/08/2014 - 10/19/2016 |
1,534 |
0 |
0.00 |
||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
$ |
24,594 |
$ |
25,139 |
4.32 |
% | |||||||||||||||||||
|
|
|
|
|
|
Counterparty |
Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By |
Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||
FICC |
0.400 |
% |
06/30/2022 |
07/01/2022 |
$ |
736 |
U.S. Treasury Notes 3.000% due 06/30/2024 |
$ |
(751 |
) |
$ |
736 |
$ |
736 |
||||||||||||||||
MBC |
1.490 |
06/30/2022 |
07/01/2022 |
46,500 |
U.S. Treasury Notes 3.250% due 06/30/2027 |
(48,002 |
) |
46,500 |
46,502 |
|||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ |
(48,753 |
) |
$ |
47,236 |
$ |
47,238 |
||||||||||||||||||||||
|
|
|
|
|
|
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BOS |
1.880 |
% |
06/10/2022 |
09/12/2022 |
$ |
(853 |
) |
$ |
(854 |
) | ||||||||||||
BPS |
1.250 |
03/18/2022 |
09/16/2022 |
(1,141 |
) |
(1,145 |
) | |||||||||||||||
1.420 |
03/23/2022 |
09/23/2022 |
(1,217 |
) |
(1,222 |
) | ||||||||||||||||
1.430 |
04/25/2022 |
09/22/2022 |
(367 |
) |
(368 |
) | ||||||||||||||||
1.600 |
05/11/2022 |
08/09/2022 |
(3,809 |
) |
(3,817 |
) | ||||||||||||||||
1.650 |
04/12/2022 |
10/14/2022 |
(2,041 |
) |
(2,048 |
) | ||||||||||||||||
1.830 |
05/12/2022 |
08/12/2022 |
(5,177 |
) |
(5,190 |
) | ||||||||||||||||
1.990 |
04/27/2022 |
10/27/2022 |
(5,641 |
) |
(5,662 |
) | ||||||||||||||||
2.050 |
06/09/2022 |
09/08/2022 |
(1,706 |
) |
(1,708 |
) | ||||||||||||||||
2.380 |
06/23/2022 |
09/26/2022 |
(325 |
) |
(326 |
) | ||||||||||||||||
2.420 |
06/15/2022 |
09/15/2022 |
(15,938 |
) |
(15,955 |
) | ||||||||||||||||
BRC |
(3.000 |
) |
02/14/2022 |
TBD |
(3) |
EUR |
(821 |
) |
(853 |
) | ||||||||||||
(1.000 |
) |
02/18/2022 |
TBD |
(3) |
(485 |
) |
(507 |
) | ||||||||||||||
1.950 |
05/13/2022 |
08/16/2022 |
$ |
(4,200 |
) |
(4,211 |
) | |||||||||||||||
2.070 |
06/17/2022 |
TBD |
(3) |
(7,671 |
) |
(7,677 |
) | |||||||||||||||
BYR |
2.110 |
04/13/2022 |
09/26/2022 |
(2,033 |
) |
(2,037 |
) | |||||||||||||||
2.110 |
05/12/2022 |
09/26/2022 |
(6,699 |
) |
(6,712 |
) | ||||||||||||||||
CDC |
0.800 |
02/03/2022 |
08/05/2022 |
(2,446 |
) |
(2,454 |
) | |||||||||||||||
0.800 |
03/30/2022 |
08/05/2022 |
(988 |
) |
(990 |
) | ||||||||||||||||
1.080 |
04/07/2022 |
07/06/2022 |
(886 |
) |
(888 |
) | ||||||||||||||||
1.150 |
03/08/2022 |
09/07/2022 |
(1,664 |
) |
(1,670 |
) | ||||||||||||||||
1.150 |
04/11/2022 |
09/07/2022 |
(5,431 |
) |
(5,445 |
) | ||||||||||||||||
1.350 |
05/02/2022 |
08/02/2022 |
(2,990 |
) |
(2,996 |
) | ||||||||||||||||
1.480 |
05/09/2022 |
08/09/2022 |
(1,412 |
) |
(1,415 |
) | ||||||||||||||||
1.590 |
06/27/2022 |
09/30/2022 |
(4,510 |
) |
(4,511 |
) | ||||||||||||||||
1.740 |
06/07/2022 |
09/07/2022 |
(1,842 |
) |
(1,844 |
) | ||||||||||||||||
1.750 |
06/10/2022 |
09/12/2022 |
(1,611 |
) |
(1,613 |
) | ||||||||||||||||
FBF |
(0.250 |
) |
06/17/2022 |
TBD |
(3) |
(1,673 |
) |
(1,672 |
) | |||||||||||||
IND |
1.770 |
06/09/2022 |
09/12/2022 |
(15,832 |
) |
(15,849 |
) | |||||||||||||||
2.100 |
05/09/2022 |
11/07/2022 |
(84 |
) |
(84 |
) | ||||||||||||||||
2.110 |
05/09/2022 |
11/07/2022 |
(1,633 |
) |
(1,638 |
) | ||||||||||||||||
2.260 |
06/24/2022 |
09/26/2022 |
(5,234 |
) |
(5,237 |
) | ||||||||||||||||
2.380 |
06/24/2022 |
09/26/2022 |
(7,901 |
) |
(7,905 |
) | ||||||||||||||||
JML |
(4.000 |
) |
06/24/2022 |
TBD |
(3) |
EUR |
(1,374 |
) |
(1,439 |
) | ||||||||||||
(1.000 |
) |
02/18/2022 |
TBD |
(3) |
(838 |
) |
(875 |
) | ||||||||||||||
(0.450 |
) |
06/24/2022 |
TBD |
(3) |
(2,135 |
) |
(2,237 |
) | ||||||||||||||
(0.430 |
) |
03/07/2022 |
TBD |
(3) |
(1,056 |
) |
(1,106 |
) |
92 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
(0.400 |
)% |
05/11/2022 |
08/17/2022 |
EUR |
(1,945 |
) |
$ |
(2,037 |
) | |||||||||||||
(0.200 |
) |
06/07/2022 |
09/05/2022 |
(464 |
) |
(486 |
) | |||||||||||||||
MBC |
(0.450 |
) |
02/11/2022 |
TBD |
(3) |
(5,956 |
) |
(6,230 |
) | |||||||||||||
MEI |
1.370 |
04/19/2022 |
07/20/2022 |
$ |
(1,392 |
) |
(1,396 |
) | ||||||||||||||
NOM |
1.000 |
03/30/2022 |
07/05/2022 |
(3,573 |
) |
(3,582 |
) | |||||||||||||||
2.700 |
06/24/2022 |
09/23/2022 |
(7,714 |
) |
(7,718 |
) | ||||||||||||||||
2.700 |
06/27/2022 |
09/23/2022 |
(3,277 |
) |
(3,278 |
) | ||||||||||||||||
RDR |
2.420 |
06/24/2022 |
09/26/2022 |
(1,148 |
) |
(1,149 |
) | |||||||||||||||
SGY |
2.420 |
06/29/2022 |
09/15/2022 |
(728 |
) |
(728 |
) | |||||||||||||||
SOG |
0.670 |
01/07/2022 |
07/06/2022 |
(450 |
) |
(451 |
) | |||||||||||||||
0.670 |
01/07/2022 |
07/08/2022 |
(1,789 |
) |
(1,795 |
) | ||||||||||||||||
1.290 |
06/03/2022 |
07/05/2022 |
(2,538 |
) |
(2,541 |
) | ||||||||||||||||
1.500 |
04/27/2022 |
08/01/2022 |
(1,568 |
) |
(1,573 |
) | ||||||||||||||||
1.580 |
05/03/2022 |
08/03/2022 |
(2,209 |
) |
(2,215 |
) | ||||||||||||||||
1.620 |
05/04/2022 |
08/04/2022 |
(4,423 |
) |
(4,434 |
) | ||||||||||||||||
2.420 |
06/15/2022 |
09/15/2022 |
(18,308 |
) |
(18,328 |
) | ||||||||||||||||
2.420 |
06/30/2022 |
09/15/2022 |
(714 |
) |
(714 |
) | ||||||||||||||||
2.580 |
07/05/2022 |
10/06/2022 |
(2,437 |
) |
(2,437 |
) | ||||||||||||||||
|
|
|||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ |
(183,252 |
) | ||||||||||||||||||
|
|
Counterparty |
Repurchase Agreement Proceeds to be Received (1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure (4) |
||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BOS |
$ |
0 |
$ |
(854 |
) |
$ |
0 |
$ |
(854 |
) |
$ |
872 |
$ |
18 |
||||||||||
BPS |
0 |
(37,441 |
) |
0 |
(37,441 |
) |
41,619 |
4,178 |
||||||||||||||||
BRC |
0 |
(13,248 |
) |
0 |
(13,248 |
) |
14,701 |
1,453 |
||||||||||||||||
BYR |
0 |
(8,749 |
) |
0 |
(8,749 |
) |
10,129 |
1,380 |
||||||||||||||||
CDC |
0 |
(23,826 |
) |
0 |
(23,826 |
) |
26,142 |
2,316 |
||||||||||||||||
FBF |
0 |
(1,672 |
) |
0 |
(1,672 |
) |
2,318 |
646 |
||||||||||||||||
FICC |
736 |
0 |
0 |
736 |
(751 |
) |
(15 |
) | ||||||||||||||||
IND |
0 |
(30,713 |
) |
0 |
(30,713 |
) |
33,962 |
3,249 |
||||||||||||||||
JML |
0 |
(8,180 |
) |
0 |
(8,180 |
) |
8,385 |
205 |
||||||||||||||||
MBC |
46,502 |
(6,230 |
) |
0 |
40,272 |
(41,211 |
) |
(939 |
) | |||||||||||||||
MEI |
0 |
(1,396 |
) |
0 |
(1,396 |
) |
1,352 |
(44 |
) | |||||||||||||||
NOM |
0 |
(14,578 |
) |
0 |
(14,578 |
) |
16,349 |
1,771 |
||||||||||||||||
RDR |
0 |
(1,149 |
) |
0 |
(1,149 |
) |
1,185 |
36 |
||||||||||||||||
SGY |
0 |
(728 |
) |
0 |
(728 |
) |
0 |
(728 |
) | |||||||||||||||
SOG |
0 |
(34,488 |
) |
0 |
(34,488 |
) |
37,358 |
2,870 |
||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
47,238 |
$ |
(183,252 |
) |
$ |
0 |
|||||||||||||||||
|
|
|
|
|
|
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ |
0 |
$ |
(9,765 |
) |
$ |
(133,622 |
) |
$ |
(36,540 |
) |
$ |
(179,927 |
) | ||||||
Preferred Securities |
0 |
(888 |
) |
0 |
0 |
(888 |
) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ |
0 |
$ |
(10,653 |
) |
$ |
(133,622 |
) |
$ |
(36,540 |
) |
$ |
(180,815 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements (5) |
|
$ |
(180,815 |
) | ||||||||||||||||
|
|
(k) |
Securities with an aggregate market value of $191,295 and cash of $9,869 have been pledged as collateral under the terms of the above master agreements as of June 30, 2022. |
(1) |
Includes accrued interest. |
(2) |
The average amount of borrowings outstanding during the period ended June 30, 2022 was $(251,569) at a weighted average interest rate of 0.531%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 93 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
(3) |
Open maturity reverse repurchase agreement. |
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(5) |
Unsettled reverse repurchase agreements liability of $(2,437) is outstanding at period end. |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2022 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value (4) |
Variation Margin |
|||||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
% |
Quarterly |
06/20/2024 |
7.828 |
% |
$ |
5,400 |
$ |
(175 |
) |
$ |
(81 |
) |
$ |
(256 |
) |
$ |
8 |
$ |
0 |
|||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
12/20/2024 |
8.213 |
1,600 |
(6 |
) |
(99 |
) |
(105 |
) |
0 |
(1 |
) | ||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 |
Quarterly |
06/20/2027 |
9.229 |
1,300 |
(38 |
) |
(147 |
) |
(185 |
) |
0 |
(1 |
) | ||||||||||||||||||||||||||||||
Ford Motor Credit Co. LLC |
5.000 |
Quarterly |
06/20/2027 |
4.319 |
3,100 |
328 |
(238 |
) |
90 |
0 |
(9 |
) | ||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
Quarterly |
06/20/2026 |
9.623 |
EUR |
700 |
49 |
(149 |
) |
(100 |
) |
0 |
(13 |
) | ||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
Quarterly |
12/20/2026 |
9.833 |
1,000 |
39 |
(201 |
) |
(162 |
) |
0 |
(19 |
) | |||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
06/20/2027 |
4.406 |
4,700 |
(410 |
) |
(296 |
) |
(706 |
) |
0 |
(44 |
) | ||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 |
Quarterly |
12/20/2025 |
3.940 |
8,500 |
(929 |
) |
100 |
(829 |
) |
0 |
(73 |
) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ |
(1,142 |
) |
$ |
(1,111 |
) |
$ |
(2,253 |
) |
$ |
8 |
$ |
(160 |
) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
% |
Annual |
09/21/2032 |
GBP |
13,500 |
$ |
1,310 |
$ |
1,066 |
$ |
2,376 |
$ |
0 |
$ |
(246 |
) | ||||||||||||||||||||||||
Receive (5) |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
4,600 |
669 |
1,101 |
1,770 |
0 |
(137 |
) | |||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.250 |
Semi-Annual |
12/18/2022 |
$ |
150,500 |
73 |
1,740 |
1,813 |
0 |
(9 |
) | ||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 |
Semi-Annual |
06/17/2025 |
149,020 |
9,092 |
(10,679 |
) |
(1,587 |
) |
526 |
0 |
||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 |
Semi-Annual |
06/15/2026 |
26,800 |
1,267 |
(2,079 |
) |
(812 |
) |
132 |
0 |
||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.350 |
Semi-Annual |
01/20/2027 |
8,100 |
0 |
557 |
557 |
0 |
(46 |
) | |||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.550 |
Semi-Annual |
01/20/2027 |
35,800 |
(124 |
) |
(2,003 |
) |
(2,127 |
) |
204 |
0 |
|||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.360 |
Semi-Annual |
02/15/2027 |
5,430 |
0 |
379 |
379 |
0 |
(31 |
) | |||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.600 |
Semi-Annual |
02/15/2027 |
21,700 |
(75 |
) |
(1,193 |
) |
(1,268 |
) |
126 |
0 |
|||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.450 |
Semi-Annual |
02/17/2027 |
9,000 |
0 |
590 |
590 |
0 |
(52 |
) | |||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.700 |
Semi-Annual |
02/17/2027 |
35,800 |
(135 |
) |
(1,794 |
) |
(1,929 |
) |
209 |
0 |
|||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 |
Semi-Annual |
12/20/2027 |
48400 |
343 |
(1,722 |
) |
(1,379 |
) |
306 |
0 |
||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 |
Semi-Annual |
12/20/2027 |
600 |
0 |
0 |
0 |
0 |
0 |
||||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.420 |
Semi-Annual |
08/17/2028 |
29,500 |
0 |
2,578 |
2,578 |
0 |
(193 |
) | |||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.380 |
Semi-Annual |
08/24/2028 |
32,500 |
0 |
2,927 |
2,927 |
0 |
(211 |
) | |||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.000 |
Semi-Annual |
06/19/2029 |
75,000 |
4,675 |
(4,931 |
) |
(256 |
) |
525 |
0 |
||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.160 |
Semi-Annual |
04/12/2031 |
2,800 |
0 |
412 |
412 |
0 |
(22 |
) | |||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
0.750 |
Semi-Annual |
06/16/2031 |
38,000 |
3,140 |
3,782 |
6,922 |
0 |
(254 |
) | |||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.750 |
Semi-Annual |
12/15/2031 |
40,600 |
(643 |
) |
5,041 |
4,398 |
0 |
(294 |
) | ||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.500 |
Semi-Annual |
06/19/2044 |
201,500 |
(6,573 |
) |
20,835 |
14,262 |
3,337 |
0 |
|||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.000 |
Semi-Annual |
01/15/2050 |
1,400 |
(10 |
) |
263 |
253 |
0 |
(12 |
) | ||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.750 |
Semi-Annual |
01/22/2050 |
21,100 |
(49 |
) |
4,902 |
4,853 |
0 |
(170 |
) | ||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.875 |
Semi-Annual |
02/07/2050 |
22,000 |
(85 |
) |
4,617 |
4,532 |
0 |
(183 |
) | ||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 |
Semi-Annual |
03/12/2050 |
6,000 |
(18 |
) |
821 |
803 |
0 |
(53 |
) | ||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.250 |
Semi-Annual |
12/16/2050 |
2,400 |
233 |
571 |
804 |
0 |
(16 |
) | |||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
1.700 |
Semi-Annual |
02/01/2052 |
187,400 |
1,405 |
42,845 |
44,250 |
0 |
(2,897 |
) | |||||||||||||||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
3.500 |
Semi-Annual |
06/17/2025 |
AUD |
8,100 |
201 |
(256 |
) |
(55 |
) |
13 |
0 |
|||||||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
0.150 |
Annual |
03/18/2030 |
EUR |
8,300 |
152 |
1,211 |
1,363 |
0 |
(130 |
) | ||||||||||||||||||||||||||||||
Receive (5) |
6-Month EUR-EURIBOR |
0.250 |
Annual |
09/21/2032 |
9,600 |
902 |
947 |
1,849 |
0 |
(166 |
) | |||||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.675 |
Lunar |
04/03/2024 |
MXN |
200 |
0 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||||
Receive |
28-Day MXN-TIIE |
8.660 |
Lunar |
04/04/2024 |
100 |
0 |
0 |
0 |
0 |
0 |
||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
$ |
15,750 |
$ |
72,528 |
$ |
88,278 |
$ |
5,378 |
$ |
(5,122 |
) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ |
14,608 |
$ |
71,417 |
$ |
86,025 |
$ |
5,386 |
$ |
(5,282 |
) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
94 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Total |
Market Value |
Variation Margin Liability |
Total |
|||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Written Options |
Futures |
Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
5,386 |
$ |
5,386 |
$ |
0 |
$ |
0 |
$ |
(5,282) |
$ |
(5,282) |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
07/2022 |
GBP |
18,096 |
$ |
22,880 |
$ |
852 |
$ |
0 |
|||||||||||||||
07/2022 |
$ |
5,276 |
GBP |
4,171 |
0 |
(199 |
) | |||||||||||||||||
08/2022 |
325 |
PEN |
1,254 |
2 |
0 |
|||||||||||||||||||
05/2023 |
PEN |
1,254 |
$ |
317 |
0 |
(3 |
) | |||||||||||||||||
BPS |
07/2022 |
$ |
71,474 |
EUR |
67,954 |
0 |
(262 |
) | ||||||||||||||||
07/2022 |
1,467 |
GBP |
1,192 |
4 |
(20 |
) | ||||||||||||||||||
08/2022 |
EUR |
64,943 |
$ |
68,431 |
250 |
0 |
||||||||||||||||||
08/2022 |
$ |
254 |
MXN |
5,571 |
22 |
0 |
||||||||||||||||||
10/2022 |
1,272 |
PEN |
5,194 |
71 |
0 |
|||||||||||||||||||
CBK |
07/2022 |
PEN |
246 |
$ |
63 |
0 |
(1 |
) | ||||||||||||||||
07/2022 |
$ |
354 |
EUR |
330 |
0 |
(9 |
) | |||||||||||||||||
08/2022 |
PEN |
1,254 |
$ |
310 |
0 |
(16 |
) | |||||||||||||||||
10/2022 |
2,064 |
522 |
0 |
(11 |
) | |||||||||||||||||||
11/2022 |
4,076 |
1,027 |
0 |
(25 |
) | |||||||||||||||||||
12/2022 |
1,483 |
382 |
1 |
0 |
||||||||||||||||||||
12/2022 |
$ |
1,311 |
PEN |
5,499 |
104 |
0 |
||||||||||||||||||
03/2023 |
PEN |
1,942 |
$ |
503 |
6 |
0 |
||||||||||||||||||
DUB |
08/2022 |
$ |
0 |
RUB |
1 |
0 |
0 |
|||||||||||||||||
10/2022 |
2 |
236 |
1 |
0 |
||||||||||||||||||||
GLM |
10/2022 |
6 |
583 |
3 |
0 |
|||||||||||||||||||
HUS |
07/2022 |
AUD |
134 |
$ |
93 |
1 |
0 |
|||||||||||||||||
07/2022 |
EUR |
829 |
871 |
3 |
0 |
|||||||||||||||||||
07/2022 |
$ |
92 |
AUD |
134 |
0 |
0 |
||||||||||||||||||
08/2022 |
AUD |
134 |
$ |
92 |
0 |
0 |
||||||||||||||||||
08/2022 |
CAD |
313 |
244 |
1 |
0 |
|||||||||||||||||||
RBC |
08/2022 |
1,077 |
832 |
0 |
(4 |
) | ||||||||||||||||||
SOG |
07/2022 |
EUR |
67,152 |
72,175 |
1,804 |
0 |
||||||||||||||||||
07/2022 |
$ |
15,496 |
GBP |
12,733 |
4 |
0 |
||||||||||||||||||
08/2022 |
GBP |
12,733 |
$ |
15,503 |
0 |
(4 |
) | |||||||||||||||||
UAG |
09/2022 |
MXN |
1,336 |
67 |
1 |
0 |
||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ |
3,130 |
$ |
(554 |
) | ||||||||||||||||||
|
|
|
|
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
95 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
Counterparty |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2022 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
|||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||
BPS |
Petrobras Global Finance BV |
1.000 |
% |
Quarterly |
12/20/2024 |
2.319 |
% |
$ |
1,000 |
$ |
(195 |
) |
$ |
164 |
$ |
0 |
$ |
(31 |
) | |||||||||||||||||||||||
BYL |
Banca Monte Dei Paschi Di |
5.000 |
Quarterly |
12/20/2022 |
8.580 |
EUR |
1,100 |
(35 |
) |
18 |
0 |
(17 |
) | |||||||||||||||||||||||||||||
GST |
Petrobras Global Finance BV |
1.000 |
Quarterly |
12/20/2024 |
2.319 |
$ |
1,400 |
(278 |
) |
235 |
0 |
(43 |
) | |||||||||||||||||||||||||||||
HUS |
Petrobras Global Finance BV |
1.000 |
Quarterly |
12/20/2024 |
2.319 |
1,700 |
(353 |
) |
301 |
0 |
(52 |
) | ||||||||||||||||||||||||||||||
JPM |
Banca Monte Dei Paschi Di |
5.000 |
Quarterly |
06/20/2025 |
6.560 |
EUR |
100 |
(2 |
) |
(2 |
) |
0 |
(4 |
) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
Total Swap Agreements |
$ |
(863 |
) |
$ |
716 |
$ |
0 |
$ |
(147 |
) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||||||||||||||
Counterparty |
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral Pledged/ (Received) |
Net Exposure (5) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ |
854 |
$ |
0 |
$ |
0 |
$ |
854 |
$ |
(202 |
) |
$ |
0 |
$ |
0 |
$ |
(202 |
) |
$ |
652 |
$ |
(640 |
) |
$ |
12 |
|||||||||||||||||||||||
BPS |
347 |
0 |
0 |
347 |
(282 |
) |
0 |
(31 |
) |
(313 |
) |
34 |
(40 |
) |
(6 |
) | ||||||||||||||||||||||||||||||||
BYL |
0 |
0 |
0 |
0 |
0 |
0 |
(17 |
) |
(17 |
) |
(17 |
) |
0 |
(17 |
) | |||||||||||||||||||||||||||||||||
CBK |
111 |
0 |
0 |
111 |
(62 |
) |
0 |
0 |
(62 |
) |
49 |
0 |
49 |
|||||||||||||||||||||||||||||||||||
DUB |
1 |
0 |
0 |
1 |
0 |
0 |
0 |
0 |
1 |
0 |
1 |
|||||||||||||||||||||||||||||||||||||
GLM |
3 |
0 |
0 |
3 |
0 |
0 |
0 |
0 |
3 |
0 |
3 |
|||||||||||||||||||||||||||||||||||||
GST |
0 |
0 |
0 |
0 |
0 |
0 |
(43 |
) |
(43 |
) |
(43 |
) |
113 |
70 |
||||||||||||||||||||||||||||||||||
HUS |
5 |
0 |
0 |
5 |
0 |
0 |
(52 |
) |
(52 |
) |
(47 |
) |
0 |
(47 |
) | |||||||||||||||||||||||||||||||||
JPM |
0 |
0 |
0 |
0 |
0 |
0 |
(4 |
) |
(4 |
) |
(4 |
) |
0 |
(4 |
) | |||||||||||||||||||||||||||||||||
RBC |
0 |
0 |
0 |
0 |
(4 |
) |
0 |
0 |
(4 |
) |
(4 |
) |
0 |
(4 |
) | |||||||||||||||||||||||||||||||||
SOG |
1,808 |
0 |
0 |
1,808 |
(4 |
) |
0 |
0 |
(4 |
) |
1,804 |
(2,040 |
) |
(236 |
) | |||||||||||||||||||||||||||||||||
UAG |
1 |
0 |
0 |
1 |
0 |
0 |
0 |
0 |
1 |
0 |
1 |
|||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
3,130 |
$ |
0 |
$ |
0 |
$ |
3,130 |
$ |
(554 |
) |
$ |
0 |
$ |
(147 |
) |
$ |
(701 |
) |
|||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(n) |
Securities with an aggregate market value of $113 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2022. |
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
96 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
8 |
$ |
0 |
$ |
0 |
$ |
5,378 |
$ |
5,386 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
3,130 |
$ |
0 |
$ |
3,130 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
8 |
$ |
0 |
$ |
3,130 |
$ |
5,378 |
$ |
8,516 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
160 |
$ |
0 |
$ |
0 |
$ |
5,122 |
$ |
5,282 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
554 |
$ |
0 |
$ |
554 |
||||||||||||
Swap Agreements |
0 |
147 |
0 |
0 |
0 |
147 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
147 |
$ |
0 |
$ |
554 |
$ |
0 |
$ |
701 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
307 |
$ |
0 |
$ |
554 |
$ |
5,122 |
$ |
5,983 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
1,116 |
$ |
0 |
$ |
0 |
$ |
42,571 |
$ |
43,687 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
11,726 |
$ |
0 |
$ |
11,726 |
||||||||||||
Swap Agreements |
0 |
63 |
0 |
0 |
1,067 |
1,130 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
63 |
$ |
0 |
$ |
11,726 |
$ |
1,067 |
$ |
12,856 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
1,179 |
$ |
0 |
$ |
11,726 |
$ |
43,638 |
$ |
56,543 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
(2,221 |
) |
$ |
0 |
$ |
0 |
$ |
(44,365 |
) |
$ |
(46,586 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
2,827 |
$ |
0 |
$ |
2,827 |
||||||||||||
Swap Agreements |
0 |
(38 |
) |
0 |
0 |
(1,072 |
) |
(1,110 |
) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(38 |
) |
$ |
0 |
$ |
2,827 |
$ |
(1,072 |
) |
$ |
1,717 |
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ |
0 |
$ |
(2,259 |
) |
$ |
0 |
$ |
2,827 |
$ |
(45,437 |
) |
$ |
(44,869 |
) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes |
ANNUAL REPORT |
| |
JUNE 30, 2022 |
97 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ |
0 |
$ |
114,529 |
$ |
39,148 |
$ |
153,677 |
||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 |
73,204 |
0 |
73,204 |
||||||||||||
Industrials |
0 |
180,536 |
34,383 |
214,919 |
||||||||||||
Utilities |
0 |
59,932 |
0 |
59,932 |
||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Industrials |
0 |
2,305 |
0 |
2,305 |
||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Illinois |
0 |
60 |
0 |
60 |
||||||||||||
Ohio |
0 |
6,041 |
0 |
6,041 |
||||||||||||
Puerto Rico |
0 |
3,870 |
0 |
3,870 |
||||||||||||
Virginia |
0 |
325 |
0 |
325 |
||||||||||||
West Virginia |
0 |
3,702 |
0 |
3,702 |
||||||||||||
U.S. Government Agencies |
0 |
7,232 |
5,030 |
12,262 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
64,553 |
0 |
64,553 |
||||||||||||
Asset-Backed Securities |
0 |
41,098 |
5,798 |
46,896 |
||||||||||||
Sovereign Issues |
0 |
11,106 |
0 |
11,106 |
||||||||||||
Common Stocks |
| |||||||||||||||
Communication Services |
1,612 |
0 |
716 |
2,328 |
||||||||||||
Energy |
685 |
0 |
30 |
715 |
||||||||||||
Financials |
0 |
0 |
6,529 |
6,529 |
||||||||||||
Industrials |
0 |
0 |
16,285 |
16,285 |
||||||||||||
Materials |
0 |
0 |
27 |
27 |
||||||||||||
Rights |
| |||||||||||||||
Financials |
0 |
0 |
117 |
117 |
||||||||||||
Warrants |
| |||||||||||||||
Financials |
0 |
0 |
123 |
123 |
||||||||||||
Industrials |
0 |
0 |
490 |
490 |
||||||||||||
Information Technology |
0 |
0 |
12,063 |
12,063 |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 06/30/2022 |
||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance |
$ |
0 |
$ |
21,861 |
$ |
0 |
$ |
21,861 |
||||||||
Industrials |
0 |
236 |
31,984 |
32,220 |
||||||||||||
Real Estate Investment Trusts |
| |||||||||||||||
Real Estate |
14,614 |
0 |
0 |
14,614 |
||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements |
0 |
47,236 |
0 |
47,236 |
||||||||||||
Argentina Treasury Bills |
0 |
142 |
0 |
142 |
||||||||||||
U.S. Treasury Cash Management Bills |
0 |
12,739 |
0 |
12,739 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ |
16,911 |
$ |
650,707 |
$ |
152,723 |
$ |
820,341 |
||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
5,386 |
0 |
5,386 |
||||||||||||
Over the counter |
0 |
3,130 |
0 |
3,130 |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
8,516 |
$ |
0 |
$ |
8,516 |
|||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared |
0 |
(5,282 |
) |
0 |
(5,282 |
) | ||||||||||
Over the counter |
0 |
(701 |
) |
0 |
(701 |
) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
0 |
$ |
(5,983 |
) |
$ |
0 |
$ |
(5,983 |
) | |||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financial Derivative Instruments |
$ |
0 |
$ |
2,533 |
$ |
0 |
$ |
2,533 |
||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ |
16,911 |
$ |
653,240 |
$ |
152,723 |
$ |
822,874 |
||||||||
|
|
|
|
|
|
|
|
Category and Subcategory |
Beginning Balance at 07/31/2021 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2022 (1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
20,167 |
$ |
47,357 |
$ |
(15,619 |
) |
$ |
575 |
$ |
21 |
$ |
(13,877 |
) |
$ |
3,313 |
$ |
(2,789 |
) |
$ |
39,148 |
$ |
(744 |
) | ||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
0 |
28,002 |
(166 |
) |
0 |
0 |
(2,462 |
) |
9,009 |
0 |
34,383 |
(2,462 |
) | |||||||||||||||||||||||||||
U.S. Government Agencies |
5,117 |
0 |
(114 |
) |
16 |
38 |
(27 |
) |
0 |
0 |
5,030 |
0 |
||||||||||||||||||||||||||||
Asset-Backed Securities |
8,356 |
0 |
0 |
94 |
0 |
(2,062 |
) |
0 |
(590 |
) |
5,798 |
(1,932 |
) | |||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Communication Services |
2,346 |
0 |
0 |
0 |
0 |
(1,630 |
) |
0 |
0 |
716 |
(1,630 |
) | ||||||||||||||||||||||||||||
Energy |
30 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
30 |
0 |
||||||||||||||||||||||||||||||
Financials |
0 |
16,395 |
0 |
0 |
0 |
(9,866 |
) |
0 |
0 |
6,529 |
(9,866 |
) | ||||||||||||||||||||||||||||
Industrials |
9,123 |
1,953 |
0 |
0 |
0 |
5,209 |
0 |
0 |
16,285 |
5,209 |
||||||||||||||||||||||||||||||
Materials (2) |
822 |
0 |
(799 |
) |
0 |
62 |
(58 |
) |
0 |
0 |
27 |
27 |
||||||||||||||||||||||||||||
Rights |
| |||||||||||||||||||||||||||||||||||||||
Financials |
0 |
0 |
0 |
0 |
0 |
117 |
0 |
0 |
117 |
117 |
||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Financials |
0 |
5,429 |
0 |
0 |
(40 |
) |
(5,266 |
) |
0 |
0 |
123 |
(5,266 |
) | |||||||||||||||||||||||||||
Industrials |
516 |
0 |
0 |
0 |
0 |
(26 |
) |
0 |
0 |
490 |
(26 |
) | ||||||||||||||||||||||||||||
Information Technology |
12,624 |
0 |
0 |
0 |
0 |
(561 |
) |
0 |
0 |
12,063 |
(561 |
) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
27,166 |
0 |
0 |
0 |
0 |
4,818 |
0 |
0 |
31,984 |
4,819 |
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ |
86,267 |
$ |
99,136 |
$ |
(16,698 |
) |
$ |
685 |
$ |
81 |
$ |
(25,691 |
) |
$ |
12,322 |
$ |
(3,379 |
) |
$ |
152,723 |
$ |
(12,315 |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
98 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
June 30, 2022 |
Category and Subcategory |
Ending Balance at 06/30/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||
Loan Participations and Assignments |
$ |
3,021 |
Indicative Market Quotation |
Broker Quote |
34.500 |
— |
||||||||||||
4,002 |
Reference Instrument |
Yield |
6.366 |
— |
||||||||||||||
8,958 |
Proxy Pricing |
Base Price |
65.125 |
— |
||||||||||||||
23,167 |
Third Party Vendor |
Broker Quote |
62.500-98.875 |
90.179 |
||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||
Industrials |
25,539 |
Discounted Cash Flow |
Discount Rate |
12.080 |
— |
|||||||||||||
8,844 |
Reference Instrument |
Weighted Average |
BRL |
42.864 |
— |
|||||||||||||
U.S. Government Agencies |
5,030 |
Discounted Cash Flow |
Discount Rate |
12.000 |
— |
|||||||||||||
Asset-Backed Securities |
4,203 |
Discounted Cash Flow |
Discount Rate |
7.500-20.000 |
15.719 |
|||||||||||||
1,595 |
Proxy Pricing |
Base Price |
16.120-8,200.000 |
5,295.156 |
||||||||||||||
Common Stocks |
| |||||||||||||||||
Communication Services |
716 |
Reference Instrument |
Liquidity Discount |
10.000 |
— |
|||||||||||||
Energy |
30 |
Other Valuation Techniques (3) |
— |
— |
— |
|||||||||||||
Financials |
6,529 |
Indicative Market Quotation |
EBITDA Multiple |
X |
7.000 |
— |
||||||||||||
Industrials |
14,332 |
Discounted Cash Flow |
Discount Rate |
9.500-17.100 |
9.500 |
|||||||||||||
1,953 |
Reference Instrument |
Purchase Price |
$ |
0.980 |
— |
|||||||||||||
Materials |
27 |
Comparable Companies |
EBITDA Multiple |
X |
0.977 |
— |
||||||||||||
Rights |
| |||||||||||||||||
Financials |
117 |
Other Valuation Techniques (3) |
— |
— |
— |
|||||||||||||
Warrants |
| |||||||||||||||||
Financials |
1 |
Indicative Market Quotation |
EBITDA Multiple |
X |
7.000 |
— |
||||||||||||
122 |
Other Valuation Techniques (3) |
— |
— |
— |
||||||||||||||
Industrials |
490 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
||||||||||||
Information Technology |
12,063 |
Comparable Companies/ Discounted Cash Flow |
EBITDA Multiple |
X |
3.875 |
— |
||||||||||||
Preferred Securities |
| |||||||||||||||||
Industrials |
29,890 |
Comparable Companies |
EBITDA Multiple |
X |
10.700/9.100 |
— |
||||||||||||
2,094 |
Comparable Companies/ Discounted Cash Flow |
Book Value Multiple/ Discount Rate |
X/% |
0.260/21.660 |
— |
|||||||||||||
|
|
|||||||||||||||||
Total |
$ |
152,723 |
||||||||||||||||
|
|
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) |
Security type updated from Financials to Materials since prior fiscal year end. |
(3) |
Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
See Accompanying Notes | ANNUAL REPORT |
| | JUNE 30, 2022 | 99 |
Notes to Financial Statements |
Fund Name |
Formation Date |
|||||||
PIMCO Corporate & Income Opportunity Fund |
September 13, 2002 |
|||||||
PIMCO Corporate & Income Strategy Fund |
October 17, 2001 |
|||||||
PIMCO High Income Fund |
February 18, 2003 |
|||||||
PIMCO Income Strategy Fund |
June 19, 2003 |
|||||||
PIMCO Income Strategy Fund II |
June 30, 2004 |
100 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
Distribution Frequency |
||||||||||||
Fund Name |
Declared |
Distributed |
||||||||||
PIMCO Corporate & Income Opportunity Fund |
Monthly |
Monthly |
||||||||||
PIMCO Corporate & Income Strategy Fund |
Monthly |
Monthly |
||||||||||
PIMCO High Income Fund |
Monthly |
Monthly |
||||||||||
PIMCO Income Strategy Fund |
Monthly |
Monthly |
||||||||||
PIMCO Income Strategy Fund II |
Monthly |
Monthly |
ANNUAL REPORT |
| | JUNE 30, 2022 | 101 |
Notes to Financial Statements |
(Cont.) |
102 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 103 |
Notes to Financial Statements |
(Cont.) |
∎ |
Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities. |
∎ |
Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
∎ |
Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments. |
104 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 105 |
Notes to Financial Statements |
(Cont.) |
106 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 107 |
Notes to Financial Statements |
(Cont.) |
108 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 109 |
Notes to Financial Statements |
(Cont.) |
110 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 111 |
Notes to Financial Statements |
(Cont.) |
112 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 113 |
Notes to Financial Statements |
(Cont.) |
114 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
PIMCO Corporate & Income Opportunity Fund (PTY) |
PIMCO Corporate & Income Strategy Fund (PCN) |
PIMCO High Income Fund (PHK) |
PIMCO Income Strategy Fund (PFL) |
PIMCO Income Strategy Fund II (PFN) | ||||||||||
Asset Allocation Risk |
X |
X |
X |
X |
X | |||||||||
Call Risk |
X |
X |
X |
X |
X | |||||||||
Collateralized Bond Obligations, Collateralized Loan Obligations and Collateralized Debt Obligations Risk |
— |
— |
X |
— |
— | |||||||||
Collateralized Loan Obligations Risk |
X |
X |
— |
X |
X | |||||||||
Confidential Information Access Risk |
X |
X |
X |
X |
X | |||||||||
Contingent Convertible Securities Risk |
X |
X |
X |
X |
X | |||||||||
Convertible Securities Risk |
X |
X |
X |
X |
X | |||||||||
Counterparty Risk |
X |
X |
X |
X |
X | |||||||||
“Covenant-lite” Obligations Risk |
X |
X |
X |
X |
X | |||||||||
Credit Default Swaps Risk |
X |
X |
X |
X |
X | |||||||||
Credit Risk |
X |
X |
X |
X |
X | |||||||||
Currency Risk |
— |
X |
X |
X |
X | |||||||||
Cyber Security Risk |
X |
X |
X |
X |
X | |||||||||
Derivatives Risk |
X |
X |
X |
X |
X | |||||||||
Distressed and Defaulted Securities Risk |
X |
X |
X |
X |
X | |||||||||
Distribution Risk |
X |
X |
X |
X |
X | |||||||||
Emerging Markets Risk |
X |
X |
X |
X |
X | |||||||||
Equity Securities and Related Market Risk |
X |
X |
X |
X |
X | |||||||||
Focused Investment Risk |
— |
X |
X |
X |
X | |||||||||
Foreign (Non-U.S.) Investment Risk |
X |
X |
X |
X |
X | |||||||||
High Yield Securities Risk |
X |
X |
X |
X |
X | |||||||||
Inflation/Deflation Risk |
X |
X |
X |
X |
X | |||||||||
Inflation-Indexed Security Risk |
X |
X |
X |
X |
X | |||||||||
Interest Rate Risk |
X |
X |
X |
X |
X | |||||||||
Issuer Risk |
X |
X |
X |
X |
X | |||||||||
Leverage Risk |
X |
X |
X |
X |
X | |||||||||
Liquidity Risk |
X |
X |
X |
X |
X | |||||||||
Loans and Other Indebtedness; Loan Participations and Assignments Risk |
X |
X |
X |
X |
X | |||||||||
Management Risk |
X |
X |
X |
X |
X | |||||||||
Market Discount Risk |
X |
X |
X |
X |
X | |||||||||
Market Disruptions Risk |
X |
X |
X |
X |
X | |||||||||
Market Risk |
X |
X |
X |
X |
X | |||||||||
Mortgage-Related and Other Asset-Backed Instruments Risk |
X |
X |
X |
X |
X | |||||||||
Mortgage-Related Derivative Instruments Risk |
— |
— |
X |
— |
— | |||||||||
Operational Risk |
X |
X |
X |
X |
X | |||||||||
Other Investment Companies Risk |
X |
X |
X |
X |
X |
ANNUAL REPORT |
| | JUNE 30, 2022 | 115 |
Notes to Financial Statements |
(Cont.) |
PIMCO Corporate & Income Opportunity Fund (PTY) |
PIMCO Corporate & Income Strategy Fund (PCN) |
PIMCO High Income Fund (PHK) |
PIMCO Income Strategy Fund (PFL) |
PIMCO Income Strategy Fund II (PFN) | ||||||||||
Platform Risk |
— | — | X | — | X | |||||||||
Potential Conflicts of Interest Risk — Allocation of Investment Opportunities |
X | X | X | X | — | |||||||||
Portfolio Turnover Risk |
X | X | X | X | X | |||||||||
Preferred Securities Risk |
X | X | X | X | X | |||||||||
Privacy and Data Security Risk |
— | X | X | — | — | |||||||||
Private Placements Risk |
X | X | X | X | X | |||||||||
Privately-Issued Mortgage-Related Securities Risk |
X | X | X | X | X | |||||||||
Real Estate Risk |
X | X | X | X | X | |||||||||
Reinvestment Risk |
X | X | X | X | X | |||||||||
REIT Risk |
— | — | X | — | — | |||||||||
Regulatory Changes Risk |
X | X | X | X | X | |||||||||
Regulatory Risk — Commodity Pool Operator |
X | X | X | X | X | |||||||||
Regulatory Risk — London Interbank Offered Rate |
X | X | X | X | X | |||||||||
Repurchase Agreements Risk |
X | X | X | X | X | |||||||||
Restricted Securities Risk |
X | X | X | X | X | |||||||||
Risk Retention Investment Risk |
— | — | X | — | — | |||||||||
Securities Lending Risk |
— | X | X | — | — | |||||||||
Segregation and Coverage Risk |
X | X | X | X | X | |||||||||
Senior Debt Risk |
X | X | X | X | X | |||||||||
Short Exposure Risk |
— | — | X | — | — | |||||||||
Smaller Company Risk |
— | X | X | — | — | |||||||||
Sovereign Debt Risk |
X | X | X | X | X | |||||||||
Special Purpose Acquisition Companies (“SPACs”) Risk |
— | — | X | — | — | |||||||||
Structured Investments Risk |
X | X | X | X | X | |||||||||
Subprime Risk |
X | X | X | X | X | |||||||||
Subsidiary Risk |
— | — | X | — | — | |||||||||
Synthetic Convertible Securities Risk |
X | X | X | X | X | |||||||||
Tax Risk |
X | X | X | X | X | |||||||||
U.S. Government Securities Risk |
X | X | X | X | X | |||||||||
Valuation Risk |
X | X | X | X | X | |||||||||
Zero-Coupon Bond, Step-Ups and Payment-in-Kind |
X | X | X | X | X |
116 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 117 |
Notes to Financial Statements |
(Cont.) |
118 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 119 |
Notes to Financial Statements |
(Cont.) |
120 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 121 |
Notes to Financial Statements |
(Cont.) |
122 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
ANNUAL REPORT |
| | JUNE 30, 2022 | 123 |
Notes to Financial Statements |
(Cont.) |
124 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
Fund Name |
Annual Rate |
|||||||
PIMCO Corporate & Income Opportunity Fund |
0.65% |
(1) | ||||||
PIMCO Corporate & Income Strategy Fund |
0.81% |
(1) | ||||||
PIMCO High Income Fund |
0.76% |
(1) | ||||||
PIMCO Income Strategy Fund |
0.86% |
(2) | ||||||
PIMCO Income Strategy Fund II |
0.83% |
(2) |
(1) |
Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding). |
(2) |
Management fees calculated based on the Fund’s average weekly “total managed assets”. Total managed assets includes total assets of each Fund (including any assets attributable to any preferred shares or other forms of leverage that may be outstanding) minus accrued liabilities (other than liabilities representing leverage). |
ANNUAL REPORT |
| | JUNE 30, 2022 | 125 |
Notes to Financial Statements |
(Cont.) |
Fund Name |
Purchases |
Sales |
||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
38,627 |
$ |
453,094 |
||||||||
PIMCO Corporate & Income Strategy Fund |
4,888 |
149,101 |
||||||||||
PIMCO High Income Fund |
11,125 |
166,056 |
||||||||||
PIMCO Income Strategy Fund |
4,522 |
83,366 |
||||||||||
PIMCO Income Strategy Fund II |
6,483 |
172,038 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
U.S. Government/Agency |
All Other |
|||||||||||||||||||
Fund Name |
Purchases |
Sales |
Purchases |
Sales |
||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
8,800 |
$ |
3,179 |
$ |
1,483,053 |
$ |
1,618,886 |
||||||||||||
PIMCO Corporate & Income Strategy Fund |
0 |
0 |
420,640 |
506,933 |
||||||||||||||||
PIMCO High Income Fund |
1,615 |
1,616 |
393,294 |
567,676 |
||||||||||||||||
PIMCO Income Strategy Fund |
1,900 |
157 |
223,695 |
306,140 |
||||||||||||||||
PIMCO Income Strategy Fund II |
3,800 |
323 |
417,083 |
563,867 |
||||||||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
126 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
PTY |
PCN |
PHK |
||||||||||||||||||||||||||||||||||||||||||||||
Period from August 1, 2021 to June 30, 2022 |
Year Ended 7/31/2021 |
Year Ended 7/31/2020 |
Period from August 1, 2021 to June 30, 2022 |
Year Ended 7/31/2021 |
Year Ended 7/31/2020 |
Period from August 1, 2021 to June 30, 2022 |
Year Ended 7/31/2021 |
Year Ended 7/31/2020 |
||||||||||||||||||||||||||||||||||||||||
Common Shares registered (aggregate $) |
$ |
600,000,000 |
$ |
600,000,000 |
$ |
500,000,000 |
$ |
200,000,000 |
$ |
200,000,000 |
$ |
0 |
$ |
200,000,000 |
$ |
0 |
$ |
0 |
||||||||||||||||||||||||||||||
Common Shares sold |
6,128,527 |
12,480,419 |
11,310,630 |
1,932,049 |
1,453,643 |
0 |
345,046 |
0 |
0 |
|||||||||||||||||||||||||||||||||||||||
Offering proceeds (net of offering costs) |
$ |
99,829,867 |
$ |
213,881,835 |
$ |
198,548,214 |
$ |
31,648,774 |
$ |
25,572,479 |
$ |
0 |
$ |
1,989,722 |
$ |
0 |
$ |
0 |
||||||||||||||||||||||||||||||
PFL |
PFN |
|||||||||||||||||||||||||||||||
Period from August 1, 2021 to June 30, 2022 |
Year Ended 7/31/2021 |
Year Ended 7/31/2020 |
Period from August 1, 2021 to June 30, 2022 |
Year Ended 7/31/2021 |
Year Ended 7/31/2020 |
|||||||||||||||||||||||||||
Common Shares registered (aggregate $) |
$ |
200,000,000 |
$ |
200,000,000 |
$ |
100,000,000 |
$ |
250,000,000 |
$ |
250,000,000 |
$ |
175,000,000 |
||||||||||||||||||||
Common Shares sold |
925,313 |
2,765,940 |
3,197,447 |
1,258,596 |
4,996,511 |
6,557,002 |
||||||||||||||||||||||||||
Offering proceeds (net of offering costs) |
$ |
9,700,744 |
$ |
30,554,383 |
$ |
35,920,234 |
$ |
12,151,886 |
$ |
48,806,626 |
$ |
67,031,388 |
||||||||||||||||||||
ANNUAL REPORT |
| | JUNE 30, 2022 | 127 |
Notes to Financial Statements |
(Cont.) |
Fund Name |
Shares Issued Outstanding |
High |
Low |
As of June 30, 2022 |
||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
||||||||||||||||||||
Series M |
1,748 |
3.162% |
0.100% |
3.162% |
||||||||||||||||
Series T |
1,596 |
3.162% |
0.100% |
3.162% |
||||||||||||||||
Series W |
1,634 |
3.242% |
0.120% |
3.162% |
||||||||||||||||
Series TH |
1,786 |
3.162% |
0.100% |
3.142% |
||||||||||||||||
Series F |
1,742 |
3.162% |
0.100% |
3.162% |
||||||||||||||||
PIMCO Corporate & Income Strategy Fund |
||||||||||||||||||||
Series M |
242 |
2.530% |
0.080% |
2.530% |
||||||||||||||||
Series T |
180 |
2.530% |
0.080% |
2.530% |
||||||||||||||||
Series W |
214 |
2.594% |
0.096% |
2.530% |
||||||||||||||||
Series TH |
138 |
2.530% |
0.080% |
2.514% |
||||||||||||||||
Series F |
167 |
2.530% |
0.080% |
2.530% |
||||||||||||||||
PIMCO High Income Fund |
||||||||||||||||||||
Series M |
455 |
2.530% |
0.080% |
2.530% |
||||||||||||||||
Series T |
526 |
2.530% |
0.080% |
2.530% |
||||||||||||||||
Series W |
369 |
2.594% |
0.096% |
2.530% |
||||||||||||||||
Series TH |
476 |
2.530% |
0.080% |
2.514% |
||||||||||||||||
Series F |
496 |
2.530% |
0.080% |
2.530% |
||||||||||||||||
PIMCO Income Strategy Fund |
||||||||||||||||||||
Series T |
698 |
2.998% |
1.571% |
2.998% |
||||||||||||||||
Series W |
636 |
3.038% |
1.569% |
3.038% |
||||||||||||||||
Series TH |
474 |
3.058% |
1.570% |
3.058% |
||||||||||||||||
PIMCO Income Strategy Fund II |
||||||||||||||||||||
Series M |
671 |
2.978% |
1.571% |
2.978% |
||||||||||||||||
Series T |
855 |
2.998% |
1.571% |
2.998% |
||||||||||||||||
Series W |
627 |
3.038% |
1.569% |
3.038% |
||||||||||||||||
Series TH |
706 |
3.058% |
1.570% |
3.058% |
||||||||||||||||
Series F |
638 |
2.988% |
1.571% |
2.988% |
Fund Name |
Applicable % |
Reference Rate |
Maximum Rate (1) |
|||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
200% |
x |
7-day “AA” Financial Composite Commercial Paper Rates |
= |
Maximum Rate for PTY |
|||||||||||||||||||
PIMCO Corporate & Income Strategy Fund |
160% |
x |
7-day “AA” Financial CompositeCommercial Paper Rates |
= |
Maximum Rate for PCN |
128 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
Fund Name |
Applicable % |
Reference Rate |
Maximum Rate (1) |
|||||||||||||||||||||||
PIMCO High Income Fund |
160% | x | 7-day “AA” Financial CompositeCommercial Paper Rates |
= | Maximum Rate for PHK | |||||||||||||||||||||
PIMCO Income Strategy Fund |
The higher of | |
200% 1.50% |
|
|
x + |
|
LIBOR Replacement Rate (3) OR LIBOR Replacement Rate (3) |
|
= = |
|
Maximum Rate for PFL | (2) | |||||||||||||
PIMCO Income Strategy Fund II |
The higher of | |
200% 1.50% |
|
|
x + |
|
LIBOR Replacement Rate (3) OR LIBOR Replacement Rate (3) |
|
= = |
|
Maximum Rate for PFN | (2) |
(1) |
In any event, the Maximum Rate will not be lower than 0%. |
(2) |
For the avoidance of doubt, the Maximum Rate for PFL and PFN may be less than the Applicable %, but will not be lower than 0%. |
(3) |
LIBOR Replacement Rate means prior business day’s SOFR rate plus the spread adjustment of 0.03839%. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 129 |
Notes to Financial Statements |
(Cont.) |
Undistributed Ordinary Income (1) |
Undistributed Long-Term Capital Gains |
Net Tax Basis Unrealized Appreciation/ (Depreciation) (2) |
Other Book-to-Tax Accounting Differences (3) |
Accumulated Capital Losses (4) |
Qualified Late-Year Loss Deferral - Capital (5) |
Qualified Late-Year Loss Deferral - Ordinary (6) |
Total Components of Distributable Earnings |
|||||||||||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
44,045 |
$ |
0 |
$ |
(225,227 |
) |
$ |
(14,500 |
) |
$ |
(276,792 |
) |
$ |
0 |
$ |
0 |
$ |
(472,474 |
) | ||||||||||||||||
PIMCO Corporate & Income Strategy Fund |
9,004 |
0 |
(41,261 |
) |
(4,941 |
) |
(113,010 |
) |
0 |
0 |
(150,208 |
) | ||||||||||||||||||||||||
PIMCO High Income Fund |
6,665 |
0 |
(21,991 |
) |
(6,526 |
) |
(323,023 |
) |
0 |
0 |
(344,875 |
) | ||||||||||||||||||||||||
PIMCO Income Strategy Fund |
3,595 |
0 |
(24,411 |
) |
(2,903 |
) |
(69,153 |
) |
0 |
0 |
(92,872 |
) | ||||||||||||||||||||||||
PIMCO Income Strategy Fund II |
2,838 |
0 |
(59,727 |
) |
(5,694 |
) |
(138,570 |
) |
0 |
0 |
(201,153 |
) |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) |
Includes undistributed short-term capital gains, if any. |
(2) |
Adjusted for open wash sale loss deferrals and the accelerated recognition of unrealized gain or loss on certain forward contracts for federal income tax purposes. Also adjusted for differences between book and tax realized and unrealized gain (loss) on: hyperinflationary investments, swap contracts, straddle loss deferrals, passive foreign investment companies (PFICs), interest accrued on defaulted securities, grantor trusts, partnerships and return of capital distributions from Real Estate Investment Trusts (REITs). |
(3) |
Represents differences in income tax regulations and financial accounting principles generally accepted in the United States of America, mainly for distributions payable at fiscal year-end. |
(4) |
Capital losses available to offset future net capital gains as shown below. |
(5) |
Capital losses realized during the period November 1, 2021 through June 30, 2022 which the Funds elected to defer to the following taxable year pursuant to income tax regulations. |
(6) |
Specified losses realized during the period November 1, 2021 through June 30, 2022 and Ordinary losses realized during the period January 1, 2022 through June 30, 2022 which the Funds elected to defer to the following taxable year pursuant to income tax regulations. |
Short-Term |
Long-Term |
|||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
181,890 |
$ |
94,902 |
||||||||
PIMCO Corporate & Income Strategy Fund |
69,963 |
43,047 |
||||||||||
PIMCO High Income Fund |
174,633 |
148,390 |
||||||||||
PIMCO Income Strategy Fund |
41,093 |
28,060 |
||||||||||
PIMCO Income Strategy Fund II |
95,427 |
43,143 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
Federal Tax Cost |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation/ (Depreciation) (7) |
|||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
2,630,031 |
$ |
315,337 |
$ |
(544,429 |
) |
$ |
(229,092 |
) | ||||||||||
PIMCO Corporate & Income Strategy Fund |
889,401 |
151,561 |
(193,573 |
) |
(42,012 |
) | ||||||||||||||
PIMCO High Income Fund |
1,161,350 |
286,474 |
(309,155 |
) |
(22,681 |
) | ||||||||||||||
PIMCO Income Strategy Fund |
496,036 |
83,746 |
(108,328 |
) |
(24,582 |
) | ||||||||||||||
PIMCO Income Strategy Fund II |
968,852 |
154,887 |
(214,944 |
) |
(60,057 |
) |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(7) |
Adjusted for open wash sale loss deferrals and the accelerated recognition of unrealized gain or loss on certain forward contracts for federal income tax purposes. Also adjusted for differences between book and tax realized and unrealized gain (loss) on: hyperinflationary investments, swap contracts, straddle loss deferrals, passive foreign investment companies (PFICs), interest accrued on defaulted securities, grantor trusts, partnerships and return of capital distributions from Real Estate Investment Trusts (REITs). |
130 |
PIMCO CLOSED-END FUNDS |
June 30, 2022 |
Period from August 1, 2021 to June 30, 2022 (8) |
Year Ended July 31, 2021 |
Year Ended July 31, 2020 |
||||||||||||||||||||||||||||||||||||||
Ordinary Income Distributions (9) |
Long-Term Capital Gain Distributions |
Return of Capital (10) |
Ordinary Income Distributions (9) |
Long-Term Capital Gain Distributions |
Return of Capital (10) |
Ordinary Income Distributions (9) |
Long-Term Capital Gain Distributions |
Return of Capital (10) |
||||||||||||||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
155,692 |
$ |
0 |
$ |
0 |
$ |
133,338 |
$ |
0 |
$ |
36,889 |
$ |
154,886 |
$ |
0 |
$ |
0 |
||||||||||||||||||||||
PIMCO Corporate & Income Strategy Fund |
52,908 |
0 |
0 |
54,783 |
0 |
0 |
56,500 |
0 |
0 |
|||||||||||||||||||||||||||||||
PIMCO High Income Fund |
71,295 |
0 |
0 |
57,530 |
0 |
19,329 |
90,357 |
0 |
4,178 |
|||||||||||||||||||||||||||||||
PIMCO Income Strategy Fund |
32,227 |
0 |
0 |
28,335 |
0 |
8,099 |
29,815 |
0 |
3,398 |
|||||||||||||||||||||||||||||||
PIMCO Income Strategy Fund II |
63,665 |
0 |
0 |
56,893 |
0 |
15,939 |
63,301 |
0 |
4,395 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(8) |
Fiscal year changed from July 31st to June 30th. |
(9) |
Includes short-term capital gains distributed, if any. |
(10) |
A portion of the distributions made represents a tax return of capital. Return of capital distributions have been reclassified from undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting. |
PIMCO Corporate & Income Opportunity Fund |
$ |
0.118800 per common share |
||||||
PIMCO Corporate & Income Strategy Fund |
$ |
0.112500 per common share |
||||||
PIMCO High Income Fund |
$ |
0.048000 per common share |
||||||
PIMCO Income Strategy Fund |
$ |
0.081400 per common share |
||||||
PIMCO Income Strategy Fund II |
$ |
0.071800 per common share |
PIMCO Corporate & Income Opportunity Fund |
$ |
0.118800 per common share |
||||||
PIMCO Corporate & Income Strategy Fund |
$ |
0.112500 per common share |
||||||
PIMCO High Income Fund |
$ |
0.048000 per common share |
||||||
PIMCO Income Strategy Fund |
$ |
0.081400 per common share |
||||||
PIMCO Income Strategy Fund II |
$ |
0.071800 per common share |
ANNUAL REPORT |
| | JUNE 30, 2022 | 131 |
Report of Independent Registered Public Accounting Firm |
132 |
PIMCO CLOSED-END FUNDS |
Glossary: |
(abbreviations that may be used in the preceding statements) |
(Unaudited) |
Counterparty Abbreviations: |
||||||||||
BOA |
Bank of America N.A. |
DUB |
Deutsche Bank AG |
MYC |
Morgan Stanley Capital Services LLC | |||||
BOM |
Bank of Montreal |
FBF |
Credit Suisse International |
MYI |
Morgan Stanley & Co. International PLC | |||||
BOS |
BofA Securities, Inc. |
FICC |
Fixed Income Clearing Corporation |
NOM |
Nomura Securities International Inc. | |||||
BPS |
BNP Paribas S.A. |
GLM |
Goldman Sachs Bank USA |
RBC |
Royal Bank of Canada | |||||
BRC |
Barclays Bank PLC |
GST |
Goldman Sachs International |
RDR |
RBC Capital Markets LLC | |||||
BYL |
Barclays Bank PLC London Branch |
HUS |
HSBC Bank USA N.A. |
SCX |
Standard Chartered Bank, London | |||||
BYR |
The Bank of Nova Scotia - Toronto |
IND |
Crédit Agricole Corporate and Investment Bank S.A. |
SGY |
Societe Generale, NY | |||||
CBK |
Citibank N.A. |
JML |
JP Morgan Securities Plc |
SOG |
Societe Generale Paris | |||||
CDC |
Natixis Securities Americas LLC |
JPM |
JP Morgan Chase Bank N.A. |
TDM |
TD Securities (USA) LLC | |||||
CEW |
Canadian Imperial Bank of Commerce World Markets |
JPS |
J.P. Morgan Securities LLC |
TOR |
The Toronto-Dominion Bank | |||||
CIB |
Canadian Imperial Bank of Commerce |
MBC |
HSBC Bank Plc |
UAG |
UBS AG Stamford | |||||
DBL |
Deutsche Bank AG London |
MEI |
Merrill Lynch International |
UBS |
UBS Securities LLC | |||||
Currency Abbreviations: |
||||||||||
ARS |
Argentine Peso |
CZK |
Czech Koruna |
MXN |
Mexican Peso | |||||
AUD |
Australian Dollar |
EUR |
Euro |
NOK |
Norwegian Krone | |||||
BRL |
Brazilian Real |
GBP |
British Pound |
PEN |
Peruvian New Sol | |||||
CAD |
Canadian Dollar |
HUF |
Hungarian Forint |
RUB |
Russian Ruble | |||||
CHF |
Swiss Franc |
IDR |
Indonesian Rupiah |
USD (or $) |
United States Dollar | |||||
CLP |
Chilean Peso |
INR |
Indian Rupee |
ZAR |
South African Rand | |||||
CNH |
Chinese Renminbi (Offshore) |
JPY |
Japanese Yen |
|||||||
Exchange Abbreviations: |
||||||||||
OTC |
Over the Counter |
|||||||||
Index/Spread Abbreviations: |
||||||||||
ABX.HE |
Asset-Backed Securities Index - Home Equity |
LIBOR01M |
1 Month USD-LIBOR |
SOFR30A |
30-day Secured Overnight Financing Rate Average | |||||
BADLARPP |
Argentina Badlar Floating Rate Notes |
LIBOR03M |
3 Month USD-LIBOR |
SONIO |
Sterling Overnight Interbank Average Rate | |||||
BP0003M |
3 Month GBP-LIBOR |
LIBOR06M |
6 Month USD-LIBOR |
US0001M |
ICE 1-Month USD LIBOR | |||||
COF 11 |
Cost of Funds - 11th District of San Francisco |
SOFR |
Secured Overnight Financing Rate |
US0003M |
ICE 3-Month USD LIBOR | |||||
EUR003M |
3 Month EUR Swap Rate |
|||||||||
Other Abbreviations: |
||||||||||
ABS |
Asset-Backed Security |
CLO |
Collateralized Loan Obligation |
PIK |
Payment-in-Kind | |||||
ALT |
Alternate Loan Trust |
DAC |
Designated Activity Company |
PRIBOR |
Prague Interbank Offered Rate | |||||
BABs |
Build America Bonds |
EBITDA |
Earnings before Interest, Taxes, Depreciation and Amoritization |
TBA |
To-Be-Announced | |||||
BBR |
Bank Bill Rate |
EURIBOR |
Euro Interbank Offered Rate |
TBD |
To-Be-Determined | |||||
BBSW |
Bank Bill Swap Reference Rate |
LIBOR |
London Interbank Offered Rate |
TBD% |
Interest rate to be determined when loan settles or at the time of funding | |||||
CDI |
Brazil Interbank Deposit Rate |
Lunar |
Monthly payment based on 28-day periods. One year consists of 13 periods. |
TIIE |
Tasa de Interés Interbancaria de Equilibrio “Equilibrium Interbank Interest Rate” | |||||
CDO |
Collateralized Debt Obligation |
OIS |
Overnight Index Swap |
ANNUAL REPORT |
| | JUNE 30, 2022 | 133 |
Federal Income Tax Information |
(Unaudited) |
Dividend Received Deduction % |
Qualified Dividend Income % |
Qualified Interest Income (000s) † |
Qualified Short-Term Capital Gains (000s) † |
163(j) Interest Dividends (000s) † |
||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
0% |
0% |
$ |
89,971 |
$ |
0 |
$ |
127,463 |
||||||||||||||||
PIMCO Corporate & Income Strategy Fund |
0% |
0% |
32,828 |
0 |
44,643 |
|||||||||||||||||||
PIMCO High Income Fund |
0% |
0% |
47,345 |
0 |
60,661 |
|||||||||||||||||||
PIMCO Income Strategy Fund |
0% |
0% |
16,790 |
0 |
25,932 |
|||||||||||||||||||
PIMCO Income Strategy Fund II |
0% |
0% |
32,019 |
0 |
50,092 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
199A Dividends |
||||||||
PIMCO Corporate & Income Opportunity Fund |
62% |
|||||||
PIMCO Corporate & Income Strategy Fund |
39% |
|||||||
PIMCO High Income Fund |
23% |
|||||||
PIMCO Income Strategy Fund |
40% |
|||||||
PIMCO Income Strategy Fund II |
39% |
134 |
PIMCO CLOSED-END FUNDS |
Distribution Information |
(Unaudited) |
PIMCO Corporate & Income Opportunity Fund |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus or Other Capital Sources** |
Total (per common share) |
||||||||||||||||
January 2022 |
$ |
0.1188 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1188 |
||||||||||||
February 2022 |
$ |
0.1188 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1188 |
||||||||||||
March 2022 |
$ |
0.1188 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1188 |
||||||||||||
April 2022 |
$ |
0.1188 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1188 |
||||||||||||
May 2022 |
$ |
0.1188 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1188 |
||||||||||||
June 2022 |
$ |
0.1188 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1188 |
||||||||||||
PIMCO Corporate & Income Strategy Fund |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus orOther Capital Sources** |
Total (per common share) |
||||||||||||||||
January 2022 |
$ |
0.1125 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1125 |
||||||||||||
February 2022 |
$ |
0.1125 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1125 |
||||||||||||
March 2022 |
$ |
0.1125 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1125 |
||||||||||||
April 2022 |
$ |
0.1125 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1125 |
||||||||||||
May 2022 |
$ |
0.1125 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1125 |
||||||||||||
June 2022 |
$ |
0.1125 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1125 |
||||||||||||
PIMCO High Income Fund |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus orOther Capital Sources** |
Total (per common share) |
||||||||||||||||
January 2022 |
$ |
0.0480 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0480 |
||||||||||||
February 2022 |
$ |
0.0480 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0480 |
||||||||||||
March 2022 |
$ |
0.0480 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0480 |
||||||||||||
April 2022 |
$ |
0.0480 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0480 |
||||||||||||
May 2022 |
$ |
0.0480 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0480 |
||||||||||||
June 2022 |
$ |
0.0480 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0480 |
||||||||||||
PIMCO Income Strategy Fund |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus or Other Capital Sources** |
Total (per common share) |
||||||||||||||||
January 2022 |
$ |
0.0773 |
$ |
0.0000 |
$ |
0.0041 |
$ |
0.0814 |
||||||||||||
February 2022 |
$ |
0.0747 |
$ |
0.0000 |
$ |
0.0067 |
$ |
0.0814 |
||||||||||||
March 2022 |
$ |
0.0769 |
$ |
0.0000 |
$ |
0.0045 |
$ |
0.0814 |
||||||||||||
April 2022 |
$ |
0.0814 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0814 |
||||||||||||
May 2022 |
$ |
0.0685 |
$ |
0.0000 |
$ |
0.0129 |
$ |
0.0814 |
||||||||||||
June 2022 |
$ |
0.0734 |
$ |
0.0000 |
$ |
0.0080 |
$ |
0.0814 |
||||||||||||
PIMCO Income Strategy Fund II |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus orOther Capital Sources** |
Total (per common share) |
||||||||||||||||
January 2022 |
$ |
0.0659 |
$ |
0.0000 |
$ |
0.0059 |
$ |
0.0718 |
||||||||||||
February 2022 |
$ |
0.0677 |
$ |
0.0000 |
$ |
0.0041 |
$ |
0.0718 |
||||||||||||
March 2022 |
$ |
0.0711 |
$ |
0.0000 |
$ |
0.0007 |
$ |
0.0718 |
||||||||||||
April 2022 |
$ |
0.0718 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0718 |
||||||||||||
May 2022 |
$ |
0.0670 |
$ |
0.0000 |
$ |
0.0048 |
$ |
0.0718 |
||||||||||||
June 2022 |
$ |
0.0633 |
$ |
0.0000 |
$ |
0.0085 |
$ |
0.0718 |
* |
The source of dividends provided in the table differs, in some respects, from information presented in this report prepared in accordance with generally accepted accounting principles, or U.S. GAAP. For example, net earnings from certain interest rate swap contracts are included as a source of net investment income for purposes of Section 19(a). Accordingly, the information in the table may differ from information in the accompanying financial statements that are presented on the basis of U.S. GAAP and may differ from tax information presented in the footnotes. Amounts shown may include accumulated, as well as fiscal period net income and net profits. |
** |
Occurs when a fund distributes an amount greater than its accumulated net income and net profits. Amounts are not reflective of a fund’s net income, yield, earnings or investment performance. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 135 |
Shareholder Meeting Results |
Affirmative |
Withheld Authority |
|||||||||||
Election of E. Grace Vandecruze — Class II to serve until the annual meeting held during the 2022-2023 fiscal year |
76,103,714 |
3,289,284 |
||||||||||
Re-election of John C. Maney† |
76,103,523 |
3,289,475 |
||||||||||
Re-election of William B. Ogden, IV — Class I to serve until the annual meeting held during the 2024-2025 fiscal year |
76,103,512 |
3,289,486 |
||||||||||
Re-election of Alan Rappaport* — Class I to serve until the annual meeting held during the 2024-2025 fiscal year |
53 |
3,273 |
Affirmative |
Withheld Authority |
|||||||||||
Election of E. Grace Vandecruze — Class I to serve until the annual meeting held during the 2023-2024 fiscal year |
29,367,838 |
1,136,750 |
||||||||||
Re-election of Sarah E. Cogan — Class II to serve until the annual meeting held during the 2024-2025 fiscal year |
29,367,838 |
1,136,750 |
||||||||||
Re-election of John C. Maney† |
29,367,838 |
1,136,750 |
||||||||||
Re-election of Deborah A. DeCotis* — Class II to serve until the annual meeting held during the 2024-2025 fiscal year |
3 |
505 |
Affirmative |
Withheld Authority |
|||||||||||
Election of E. Grace Vandecruze — Class II to serve until the annual meeting held during the 2022-2023 fiscal year |
84,910,023 |
4,286,271 |
||||||||||
Re-election of John C. Maney† |
84,918,293 |
4,278,001 |
||||||||||
Re-election of William B. Ogden, IV — Class I to serve until the annual meeting held during the 2024-2025 fiscal year |
84,918,293 |
4,278,001 |
||||||||||
Re-election of Alan Rappaport* — Class I to serve until the annual meeting held during the 2024-2025 fiscal year |
905 |
1,357 |
Affirmative |
Withheld Authority |
|||||||||||
Election of E. Grace Vandecruze — Class II to serve until the annual meeting held during the 2023-2024 fiscal year |
22,205,190 |
879,546 |
||||||||||
Re-election of David N. Fisher† |
22,205,165 |
879,571 |
||||||||||
Re-election of Joseph B. Kittredge, Jr. — Class III to serve until the annual meeting held during the 2024-2025 fiscal year |
22,205,165 |
879,571 |
||||||||||
Re-election of Deborah A. DeCotis* — Class III to serve until the annual meeting held during the 2024-2025 fiscal year |
1,416 |
359 |
136 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
Affirmative |
Withheld Authority |
|||||||||||
Election of E. Grace Vandecruze — Class III to serve until the annual meeting held during the 2022-2023 fiscal year |
51,077,993 |
2,865,479 |
||||||||||
Re-election of Sarah E. Cogan — Class II to serve until the annual meeting held during the 2024-2025 fiscal year |
51,077,691 |
2,865,781 |
||||||||||
Re-election of Deborah A. DeCotis — Class II to serve until the annual meeting held during the 2024-2025 fiscal year |
51,077,691 |
2,865,781 |
||||||||||
Re-election of Joseph B. Kittredge, Jr.* — Class II to serve until the annual meeting held during the 2024-2025 fiscal year |
2,308 |
1,060 |
† |
Interested Trustee |
* |
Preferred Shares Trustee |
ANNUAL REPORT |
| | JUNE 30, 2022 | 137 |
Changes to Boards of Trustees |
(Unaudited) |
138 |
PIMCO CLOSED-END FUNDS |
Changes to Bylaws |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 139 |
Dividend Reinvestment Plan |
140 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 141 |
Additional Information Regarding the Funds |
(Unaudited) |
1. | Effective April 29, 2022, each Fund may, subject to the limitations set forth in each Fund’s prospectus, including any limit on investments in emerging market securities and instruments, invest without limit in non-U.S. dollar denominated securities (of both developed and “emerging market” countries), including obligations of non-U.S. governments and their respective sub-divisions, agencies and government-sponsored enterprises. Prior to April 29, 2022, each Fund had a non-fundamental investment guideline limiting the Fund’s investments in securities denominated in foreign (non-U.S.) currencies to 25% of the Fund’s total assets. |
2. | On March 25, 2022, each of the Funds added the below language to its Principal Investment Strategies: |
Fund Name |
Total Commissions Paid |
Commissions Paid to Affiliated Brokers |
||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
217 |
$ |
0 |
||||||||
PIMCO Corporate & Income Strategy Fund |
656 |
0 |
||||||||||
PIMCO High Income Fund |
2,253 |
0 |
||||||||||
PIMCO Income Strategy Fund |
105 |
0 |
||||||||||
PIMCO Income Strategy Fund II |
420 |
0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
142 |
PIMCO CLOSED-END FUNDS |
Principal Investment Strategies |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 143 |
Principal Investment Strategies |
(Cont.) |
144 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 145 |
Principal Investment Strategies |
(Cont.) |
146 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 147 |
Principal Investment Strategies |
(Cont.) |
148 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 149 |
Principal Investment Strategies |
(Cont.) |
150 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 151 |
Principal Investment Strategies |
(Cont.) |
152 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 153 |
Principal Investment Strategies |
(Cont.) |
154 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 155 |
Principal Investment Strategies |
(Cont.) |
156 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 157 |
Principal Investment Strategies |
(Cont.) |
158 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 159 |
Principal Investment Strategies |
(Cont.) |
160 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 161 |
Principal Risks of the Funds |
162 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 163 |
Principal Risks as of June 30, 2022 |
(Cont.) |
164 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 165 |
Principal Risks as of June 30, 2022 |
(Cont.) |
166 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 167 |
Principal Risks as of June 30, 2022 |
(Cont.) |
168 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 169 |
Principal Risks as of June 30, 2022 |
(Cont.) |
170 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 171 |
Principal Risks as of June 30, 2022 |
(Cont.) |
172 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 173 |
Principal Risks as of June 30, 2022 |
(Cont.) |
174 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
∎ |
the likelihood of greater volatility of NAV and market price of Common Shares, and of the investment return to Common Shareholders, than a comparable portfolio without leverage; |
∎ |
the possibility either that Common Share dividends will fall if the interest and other costs of leverage rise, or that dividends paid on Common Shares will fluctuate because such costs vary over time; and |
∎ |
the effects of leverage in a declining market or a rising interest rate environment, as leverage is likely to cause a greater decline in the NAV of the Common Shares than if the Fund were not leveraged and may result in a greater decline in the market value of the Common Shares. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 175 |
Principal Risks as of June 30, 2022 |
(Cont.) |
176 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 177 |
Principal Risks as of June 30, 2022 |
(Cont.) |
178 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 179 |
Principal Risks as of June 30, 2022 |
(Cont.) |
180 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 181 |
Principal Risks as of June 30, 2022 |
(Cont.) |
182 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 183 |
Principal Risks as of June 30, 2022 |
(Cont.) |
184 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 185 |
Principal Risks as of June 30, 2022 |
(Cont.) |
186 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 187 |
Principal Risks as of June 30, 2022 |
(Cont.) |
188 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 189 |
Principal Risks as of June 30, 2022 |
(Cont.) |
190 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 191 |
Risk Management Strategies |
192 |
PIMCO CLOSED-END FUNDS |
Effects of Leverage 1 |
(Unaudited) |
PIMCO Corporate & Income Opportunity Fund (PTY) |
PIMCO Corporate & Income Strategy Fund (PCN) |
PIMCO High Income Fund (PHK) |
PIMCO Income Strategy Fund (PFL) |
PIMCO Income Strategy Fund II (PFN) |
||||||||||||||||||||
Preferred Shares as a Percentage of Total Average Managed Assets (Including Assets Attributable to Preferred Shares and Reverse Repurchase Agreements) |
7.82 |
% |
2.50 |
% |
5.07 |
% |
8.56 |
% |
8.54 |
% | ||||||||||||||
Estimated Annual Effective Preferred Share Dividend Rate |
0.48 |
% |
0.38 |
% |
0.38 |
% |
1.74 |
% |
1.73 |
% | ||||||||||||||
Reverse Repurchase Agreements as a Percentage of Total Average Managed Assets (Including Assets Attributable to Preferred Shares and Reverse Repurchase Agreements) |
33.85 |
% |
35.29 |
% |
29.41 |
% |
25.71 |
% |
24.57 |
% | ||||||||||||||
Estimated Annual Effective Interest Expense Rate Payable by Fund on Reverse Repurchase Agreements |
0.49 |
% |
% |
0.48 |
% |
0.54 |
% |
0.53 |
% | |||||||||||||||
Annual Return Fund Portfolio Must Experience (net of expenses) to Cover Estimated Annual Effective Preferred Share Dividend Rate and Interest Expense Rate on Reverse Repurchase Agreements |
0.20 |
% |
% |
0.16 |
% |
0.29 |
% |
0.28 |
% | |||||||||||||||
Common Share Total Return for (10.00)% Assumed Portfolio Total Return |
(17.49 |
)% |
( |
)% |
(15.51 |
)% |
(15.65 |
)% |
(15.36 |
)% | ||||||||||||||
Common Share Total Return for (5.00)% Assumed Portfolio Total Return |
(8.92 |
)% |
( |
)% |
(7.88 |
)% |
(8.04 |
)% |
(7.89 |
)% | ||||||||||||||
Common Share Total Return for 0.00% Assumed Portfolio Total Return |
(0.35 |
)% |
( |
)% |
(0.24 |
)% |
(0.44 |
)% |
(0.42 |
)% | ||||||||||||||
Common Share Total Return for 5.00% Assumed Portfolio Total Return |
8.23 |
% |
% |
7.39 |
% |
7.17 |
% |
7.06 |
% | |||||||||||||||
Common Share Total Return for 10.00% Assumed Portfolio Total Return |
16.80 |
% |
% |
15.02 |
% |
14.77 |
% |
14.53 |
% |
ANNUAL REPORT |
| | JUNE 30, 2022 | 193 |
Fundamental Investment Restrictions 1 |
(1) |
Concentrate its investments in a particular “industry,” as that term is used in the Investment Company Act of 1940, as amended, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(2) |
With respect to 75% of the Fund’s total assets, purchase the securities of any issuer, except securities issued or guaranteed by the U.S. Government or any of its agencies or instrumentalities or securities issued by other investment companies, if, as a result, (i) more than 5% of the Fund’s total assets would be invested in the securities of that issuer, or (ii) the Fund would hold more than 10% of the outstanding voting securities of that issuer. For the purpose of this restriction, each state and each separate political subdivision, agency, authority or instrumentality of such state, each multi-state agency or authority, and each obligor, if any, is treated as a separate issuer of municipal bonds. |
(3) |
Purchase or sell real estate, although it may purchase securities secured by real estate or interests therein, or securities issued by companies which invest in real estate, or interests therein. |
(4) |
Purchase or sell commodities or commodities contracts or oil, gas or mineral programs. This restriction shall not prohibit the Fund, subject to restrictions described in the Prospectus and elsewhere in this Statement of Additional Information, from purchasing, selling or entering into futures contracts, options on futures contracts, forward contracts, or any interest rate, securities-related or other hedging instrument, including swap agreements and other derivative instruments, subject to compliance with any applicable provisions of the federal securities or commodities laws. |
(5) |
Borrow money or issue any senior security, except to the extent permitted under the Investment Company Act of 1940, as amended, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(6) |
Make loans, except to the extent permitted under the Investment Company Act of 1940, as amended, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(7) |
Act as an underwriter of securities of other issuers, except to the extent that in connection with the disposition of portfolio securities, it may be deemed to be an underwriter under the federal securities laws. |
(1) |
Concentrate its investments in a particular “industry,” as that term is used in the Investment Company Act of 1940, as amended, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(2) |
With respect to 75% of the Fund’s total assets, purchase the securities of any issuer, except securities issued or guaranteed by the U.S. Government or any of its agencies or instrumentalities or securities issued by other investment companies, if, as a result, (i) more than 5% of the Fund’s total assets would be invested in the securities of that issuer, or (ii) the Fund would hold more than 10% of the outstanding voting securities of that issuer. For the purpose of this restriction, each state and each separate political subdivision, agency, authority or instrumentality of such state, each multi-state agency or authority, and each guarantor, if any, are treated as separate issuers of municipal bonds. |
(3) |
Purchase or sell real estate, although it may purchase securities secured by real estate or interests therein, or securities issued by companies which invest in real estate, or interests therein. |
(4) |
Purchase or sell commodities or commodities contracts or oil, gas or mineral programs. This restriction shall not prohibit the Fund, subject to restrictions described in the Prospectus and elsewhere in this Statement of Additional Information, from purchasing, selling or entering into futures contracts, options on futures contracts, forward contracts, or any interest rate, securities-related or other hedging instrument, including swap agreements and other derivative instruments, subject to compliance with any applicable provisions of the federal securities or commodities laws. |
(5) |
Borrow money or issue any senior security, except to the extent permitted under the Investment Company Act of 1940, as amended, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
194 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
(6) |
Make loans, except to the extent permitted under the Investment Company Act of 1940, as amended, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(7) |
Act as an underwriter of securities of other issuers, except to the extent that in connection with the disposition of portfolio securities, it may be deemed to be an underwriter under the federal securities laws. |
(1) |
Concentrate its investments in a particular “industry,” as that term is used in the Investment Company Act of 1940, as amended, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(2) |
With respect to 75% of the Fund’s total assets, purchase the securities of any issuer, except securities issued or guaranteed by the U.S. Government or any of its agencies or instrumentalities or securities issued by other investment companies, if, as a result, (i) more than 5% of the Fund’s total assets would be invested in the securities of that issuer, or (ii) the Fund would hold more than 10% of the outstanding voting securities of that issuer. For the purpose of this restriction, each state and each separate political subdivision, agency, authority or instrumentality of such state, each multi-state agency or authority, and each obligor, if any, is treated as a separate issuer of municipal bonds. |
(3) |
Purchase or sell real estate, although it may purchase securities secured by real estate or interests therein, or securities issued by companies which invest in real estate, or interests therein. |
(4) |
Purchase or sell commodities or commodities contracts or oil, gas or mineral programs. This restriction shall not prohibit the Fund, subject to restrictions described in the Prospectus and elsewhere in this Statement of Additional Information, from purchasing, selling or entering into futures contracts, options on futures contracts, forward contracts, or any interest rate, securities-related or other hedging instrument, including swap agreements and other derivative instruments, subject to compliance with any applicable provisions of the federal securities or commodities laws. |
(5) |
Borrow money or issue any senior security, except to the extent permitted under the Investment Company Act of 1940, as amended, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(6) |
Make loans, except to the extent permitted under the Investment Company Act of 1940, as amended, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(7) |
Act as an underwriter of securities of other issuers, except to the extent that in connection with the disposition of portfolio securities, it may be deemed to be an underwriter under the federal securities laws. |
(1) |
Concentrate its investments in a particular “industry,” as that term is used in the 1940 Act, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(2) |
With respect to 75% of the Fund’s total assets, purchase the securities of any issuer, except securities issued or guaranteed by the U.S. Government or any of its agencies or instrumentalities or securities issued by other investment companies, if, as a result, (i) more than 5% of the Fund’s total assets would be invested in the securities of that issuer, or (ii) the Fund would hold more than 10% of the outstanding voting securities of that issuer. |
(3) |
Purchase or sell real estate, although it may purchase securities secured by real estate or interests therein, or securities issued by companies which invest in real estate, or interests therein. |
(4) |
Purchase or sell commodities or commodities contracts or oil, gas or mineral programs. This restriction shall not prohibit the Fund, subject to restrictions described in the Prospectus and elsewhere in this Statement of Additional Information, from purchasing, selling or entering into futures contracts, options on futures contracts, forward contracts, or any interest rate, securities-related or other hedging instrument, including swap agreements and other derivative instruments, subject to compliance with any applicable provisions of the federal securities or commodities laws. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 195 |
Fundamental Investment Restrictions 1 |
(Cont.) |
(Unaudited) |
(5) |
Borrow money or issue any senior security, except to the extent permitted under the 1940 Act and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(6) |
Make loans, except to the extent permitted under the 1940 Act, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(7) |
Act as an underwriter of securities of other issuers, except to the extent that in connection with the disposition of portfolio securities, it may be deemed to be an underwriter under the federal securities laws. |
(1) |
Concentrate its investments in a particular “industry,” as that term is used in the 1940 Act, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(2) |
With respect to 75% of the Fund’s total assets, purchase the securities of any issuer, except securities issued or guaranteed by the U.S. Government or any of its agencies or instrumentalities or securities issued by other investment companies, if, as a result, (i) more than 5% of the Fund’s total assets would be invested in the securities of that issuer, or (ii) the Fund would hold more than 10% of the outstanding voting securities of that issuer. |
(3) |
Purchase or sell real estate, although it may purchase securities secured by real estate or interests therein, or securities issued by companies which invest in real estate, or interests therein. |
(4) |
Purchase or sell commodities or commodities contracts or oil, gas or mineral programs. This restriction shall not prohibit the Fund, subject to restrictions described in the Prospectus and elsewhere in this Statement of Additional Information, from purchasing, selling or entering into futures contracts, options on futures contracts, forward contracts, or any interest rate, securities-related or other hedging instrument, including swap agreements and other derivative instruments, subject to compliance with any applicable provisions of the federal securities or commodities laws. |
(5) |
Borrow money or issue any senior security, except to the extent permitted under the 1940 Act and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(6) |
Make loans, except to the extent permitted under the 1940 Act, and as interpreted, modified, or otherwise permitted by regulatory authority having jurisdiction, from time to time. |
(7) |
Act as an underwriter of securities of other issuers, except to the extent that in connection with the disposition of portfolio securities, it may be deemed to be an underwriter under the federal securities laws. |
196 |
PIMCO CLOSED-END FUNDS |
Management of the Funds |
(Unaudited) |
Name and Year of Birth |
Position(s) Held with the Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee During the Past 5 Years | |||||
Independent Trustees | ||||||||||
Deborah A. DeCotis 1952 |
Chair of the Board, Trustee |
Trustee of each Fund since 2011, expected to stand for re-election at the annual meeting of shareholders held during the 2023-2024 fiscal year for PHK and PTY and the 2024-2025 fiscal year for PCN, PFL and PFN. |
Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); Member, Council on Foreign Relations (since 2013); Trustee, Smith College (since 2017); and Director, Watford Re (since 2017). Formerly, Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005-2015); Trustee, Stanford University (2010- 2015); Principal, LaLoop LLC, a retail accessories company (1999-2014); Director, Helena Rubenstein Foundation (1997-2010); and Director, Armor Holdings (2002-2010). |
29 |
Trustee, Allianz Funds (2011- 2021); Trustee, Virtus Funds (2021- Present). | |||||
Sarah E. Cogan 1956 |
Trustee |
Trustee of each Fund since 2019, expected to stand for re-election at the annual meeting of shareholders held during the 2022-2023 fiscal year for PFL, PHK and PTY and the 2024-2025 fiscal year for PCN and PFN. |
Retired Partner, Simpson Thacher & Bartlett LLP (law firm) (1989-2018); Director, Girl Scouts of Greater New York, Inc. (since 2016); and Trustee, Natural Resources Defense Council, Inc. (since 2013). |
29 |
Trustee, Allianz Funds (2019- 2021); Trustee, Virtus Funds (2021- Present). | |||||
Joseph B. Kittredge, Jr. 1954 |
Trustee |
Trustee of each Fund since 2020, expected to stand for re-election at the annual meeting of shareholders held during the 2023-2024 fiscal year for PCN, PHK and PTY and the 2024-2025 fiscal year for PFL and PFN. |
Trustee (since 2019) and Governance Committee Chair (since 2020), Vermont Law School; Director and Treasurer, Center for Reproductive Rights (since 2015). Formerly, Director (2013-2020) and Chair (2018-2020), ACLU of Massachusetts; General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2005-2018) and Partner (2007-2018); President, GMO Trust (institutional mutual funds) (2009-2018); Chief Executive Officer, GMO Trust (2009-2015); President and Chief Executive Officer, GMO Series Trust (platform based mutual funds) (2011-2013). |
29 |
Trustee, GMO Trust (2010-2018); Chairman of the Board of Trustees, GMO Series Trust (2011-2018). | |||||
Kathleen McCartney 1956 |
Trustee |
Trustee since July 2022, expected to stand for election at the annual meeting of the shareholders held during the 2022-2023 fiscal year. |
President, Smith College (since 2013); Director, Five Colleges, Inc., consortium of liberal arts colleges and universities (since 2013); President, Five Colleges, Inc., (since 2020); Formerly, Director, American Council on Education Board of Directors, (2015-2019); Director, Consortium on Financing Higher Education Board of Directors (2015-2019); Director, edX Board of Directors, online course provider (2012-2013); Director, Bellwether Education Partners Board, national nonprofit organization (2010-2013); Dean, Harvard Graduate School of Education (2006-2013); Trustee, Tufts University (2007-2013). |
29 |
None |
ANNUAL REPORT |
| | JUNE 30, 2022 | 197 |
Management of the Funds |
(Cont.) |
Name and Year of Birth |
Position(s) Held with the Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee During the Past 5 Years | |||||
William B. Ogden, IV 1945 |
Trustee |
Trustee of each Fund since 2006, expected to stand for re-election at the annual meeting of shareholders held during the 2022-2023 fiscal year for PCN and PFL, the 2023-2024 fiscal year for PFN and the 2024-2025 fiscal year for PHK and PTY. |
Retired. Formerly, Asset Management Industry Consultant; and Managing Director, Investment Banking Division of Citigroup Global Markets Inc. |
29 |
Trustee, Allianz Funds (2006- 2021); Trustee, Virtus AllianzGI Closed-End Funds (2021- Present). | |||||
Alan Rappaport 1953 |
Trustee |
Trustee of PHK, PCN and PTY since 2010, Trustee of PFL since 2014 and Trustee of PFN since 2012, expected to stand for re-election at the annual meeting of shareholders held during the 2022-2023 fiscal year for PCN, the 2023-2024 fiscal year for PFL and PFN and the 2024-2025 fiscal year for PHK and PTY. |
Director, Victory Capital Holdings, Inc., an asset management firm (since 2013). Formerly, Adjunct Professor, New York University Stern School of Business (2011-2020); Lecturer, Stanford University Graduate School of Business (2013-2020); Advisory Director (formerly Vice Chairman), Roundtable Investment Partners (2009-2018); Member of Board of Overseers, NYU Langone Medical Center (2015-2016); Trustee, American Museum of Natural History (2005-2015); Trustee, NYU Langone Medical Center (2007-2015); and Vice Chairman (formerly, Chairman and President), U.S. Trust (formerly, Private Bank of Bank of America, the predecessor entity of U.S. Trust) (2001-2008). |
29 |
Trustee, Allianz Funds (2010-2021); Trustee, Virtus AllianzGI Closed-End Funds (2021-Present). | |||||
E. Grace Vandecruze 1963 |
Trustee |
Trustee of each Fund since 2021, expected to stand for re-election at the annual meeting of shareholders held during the 2022-2023 fiscal year for PFN, PHK and PTY and the 2023-2024 fiscal year for PCN and PFL. |
Founder and Managing Director, Grace Global Capital LLC, a strategic advisory firm to the insurance industry (since 2006); Director, The Doctors Company, a medical malpractice insurance company (since 2020); Chief Financial Officer, Athena Technology Acquisition Corp, a special purpose acquisition company (since 2021); Director, Link Logistic REIT, a real estate company (since 2021); Director and Member of the Investment & Risk Committee, Resolution Life Group Holdings, a global life insurance group (since 2021); and Director, Wharton Graduate Executive Board. Formerly, Director, Resolution Holdings (2015-2019). Formerly, Director and Member of the Audit Committee and the Wealth Solutions Advisory Committee, M Financial Group, a life insurance company (2015-2021); Director, SBLI USA, a life insurance company (2015-2018). |
29 |
None | |||||
Interested Trustees* | ||||||||||
David N. Fisher** 1968 |
Trustee |
Trustee of each Fund since 2019, expected to stand for re-election at the annual meeting of shareholders held during the 2022-2023 fiscal year for PCN, PHK and PTY, the 2023-2024 fiscal year for PFN and the 2024-2025 fiscal year for PFL. |
Managing Director and Co-Head of U.S. Global Wealth Management Strategic Accounts, PIMCO (since 2021); Managing Director and Head of Traditional Product Strategies, PIMCO (2015-2021); and Director, Court Appointed Special Advocates (CASA) of Orange County, a non-profit organization (since 2015). Formerly, Global Bond Strategist, PIMCO (2008-2015); and Managing Director and Head of Global Fixed Income, HSBC Global Asset Management (2005-2008). |
29 |
None |
198 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
Name and Year of Birth |
Position(s) Held with the Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee During the Past 5 Years | |||||
John C. Maney** 1959 |
Trustee |
Trustee of each Fund since 2006, expected to stand for re-election at the annual meeting of shareholders held during the 2022-2023 fiscal year for PFN, the 2023-2024 fiscal year for PFL and the 2024-2025 fiscal year for PCN, PHK and PTY. |
Senior Advisor to PIMCO (since June 2021); Non-Executive Director and a member of the Compensation Committee of PIMCO Europe Ltd (since December 2017). Formerly, Consultant to PIMCO (January 2020-June 2021); Managing Director of Allianz Asset Management of America L.P. (2005-2019); member of the Management Board and Chief Operating Officer of Allianz Asset Management of America L.P (2006-2019); Member of the Management Board of Allianz Global Investors Fund Management LLC (2007-2014) and Managing Director of Allianz Global Investors Fund Management LLC (2011-2014). |
29 |
None |
* |
The Trustee is an “interested person” of the Fund, as defined in Section 2(a)(19) of the 1940 Act, due to their affiliations with PIMCO and its affiliates. |
** |
Messrs. Fisher’s and Maney’s address is 650 Newport Center Drive, Newport Beach, California 92660. |
Name, Address and Year of Birth |
Position(s) Held with Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
Eric D. Johnson 1 1970 |
President |
Since 2019 |
Executive Vice President and Head of Funds Business Group Americas, PIMCO. President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Keisha Audain-Pressley 1975 |
Chief Compliance Officer |
Since 2018 |
Executive Vice President and Deputy Chief Compliance Officer, PIMCO. Chief Compliance Officer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Ryan G. Leshaw 1 1980 |
Chief Legal Officer |
Since 2019 |
Executive Vice President and Senior Counsel, PIMCO. Chief Legal Officer, PIMCO-Managed Funds. Chief Legal Officer and Secretary, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Associate, Willkie Farr & Gallagher LLP. | |||
Joshua D. Ratner 1976 |
Senior Vice President |
Since 2019 |
Executive Vice President and Head of Americas Operations, PIMCO. Senior Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Peter G. Strelow 1 1970 |
Senior Vice President |
Since 2019 |
Managing Director and Co-Chief Operating Officer, PIMCO. Senior Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Chief Administrative Officer, PIMCO. | |||
Wu-Kwan Kit 1 1981 |
Vice President, Senior Counsel and Secretary |
Since 2018 |
Senior Vice President and Senior Counsel, PIMCO. Vice President, Senior Counsel and Secretary, PIMCO-Managed Funds. Assistant Secretary, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Assistant General Counsel, VanEck Associates Corp. | |||
Douglas B. Burrill 1980 |
Vice President |
Since August 2022 |
Senior Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Jeffrey A. Byer 1 1976 |
Vice President |
Since 2020 |
Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Elizabeth A. Duggan 1 1964 |
Vice President |
Since March 2021 |
Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Mark A. Jelic 1 1981 |
Vice President |
Since 2021 |
Senior Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Kenneth W. Lee 1 1972 |
Vice President |
Since August 2022 |
Senior Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Brian J. Pittluck 1 1977 |
Vice President |
Since 2020 |
Senior Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. |
ANNUAL REPORT |
| | JUNE 30, 2022 | 199 |
Management of the Funds |
(Cont.) |
(Unaudited) |
Name, Address and Year of Birth |
Position(s) Held with Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
Keith A. Werber 1 1973 |
Vice President |
Since June 2022 |
Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Bijal Parikh 1 1978 |
Treasurer |
Since 2021 |
Executive Vice President, PIMCO. Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Brandon T. Evans 1 1982 |
Deputy Treasurer |
Since March 2022 |
Senior Vice President, PIMCO. Deputy Treasurer, PIMCO-Managed Funds. Assistant Treasurer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Erik C. Brown 2 1967 |
Assistant Treasurer |
Since 2015 |
Executive Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. |
(1) |
The address of these officers is Pacific Investment Management Company LLC, 650 Newport Center Drive, Newport Beach, California 92660. |
(2) |
The address of these officers is Pacific Investment Management Company LLC, 401 Congress Ave., Austin, Texas 78701. |
200 |
PIMCO CLOSED-END FUNDS |
Approval of Investment Management Agreement |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 201 |
Approval of Investment Management Agreement |
(Cont.) |
202 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 203 |
Approval of Investment Management Agreement |
(Cont.) |
204 |
PIMCO CLOSED-END FUNDS |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 205 |
Approval of Investment Management Agreement |
(Cont.) |
(Unaudited) |
206 |
PIMCO CLOSED-END FUNDS |
Privacy Policy 1 |
(Unaudited) |
ANNUAL REPORT |
| | JUNE 30, 2022 | 207 |
Investment Strategy Updates |
(Unaudited) |
208 |
PIMCO CLOSED-END FUNDS |
Item 2. | Code of Ethics. |
As of the end of the period covered by this report, the Registrant has adopted a code of ethics (the “Code”) that applies to the Registrant’s principal executive officer and principal financial officer. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the principal executive officer or principal financial officer during the period covered by this report.
A copy of the Code is included as an exhibit to this report.
Item 3. | Audit Committee Financial Expert. |
The Board of Trustees has determined that Joseph B. Kittredge, Jr., who serves on the Board’s Audit Oversight Committee, qualifies as an “audit committee financial expert” as such term is defined in the instructions to this Item 3. The Board has also determined that Mr. Kittredge is “independent” as such term is interpreted under this Item 3.
Item 4. | Principal Accountant Fees and Services. |
(a) | Fiscal Year Ended | Audit Fees | ||
June 30, 2022 | $ 78,001 | |||
July 31, 2021 | $ 68,736 | |||
(b) | Fiscal Year Ended | Audit-Related Fees | ||
June 30, 2022 | $ 54,000 | |||
July 31, 2021 | $ 19,000 | |||
(c) | Fiscal Year Ended | Tax Fees (1) | ||
June 30, 2022 | $ — | |||
July 31, 2021 | $ — | |||
(d) | Fiscal Year Ended | All Other Fees (2) | ||
June 30, 2022 | $ — | |||
July 31, 2021 | $ — |
“Audit Fees” represents fees billed for each of the last two fiscal years for professional services rendered for the audit and review of the Registrant’s annual financial statements for those fiscal years or services that are normally provided by the accountant in connection with statutory or regulatory filings or engagements for those fiscal years.
“Audit-Related Fees” represents fees billed for each of the last two fiscal years for assurance and related services that are reasonably related to the performance of the audit or review of the Registrant’s financial statements, but not reported under “Audit Fees” above, and that include accounting consultations, agreed-upon procedure reports (inclusive of annual review of basic maintenance testing associated with the Preferred Shares), attestation reports and comfort letters for those fiscal years.
“Tax Fees” represents fees billed for each of the last two fiscal years for professional services related to tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, and tax distribution and analysis reviews.
“All Other Fees” represents fees, if any, billed for other products and services rendered by the principal accountant to the Registrant other than those reported above under “Audit Fees,” “Audit-Related Fees” and “Tax Fees” for the last two fiscal years.
(1) There were no “Tax Fees” for the last two fiscal years.
(2) There were no “All Other Fees” for the last two fiscal years.
(e) | Pre-approval policies and procedures |
(1) The Registrant’s Audit Oversight Committee has adopted pre-approval policies and procedures (the “Procedures”) to govern the Audit Oversight Committee’s pre-approval of (i) all audit services and permissible non-audit services to be provided to the Registrant by its independent accountant, and (ii) all permissible non-audit services to be provided by such independent accountant to the Registrant’s investment adviser and to any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant (collectively, the “Service Affiliates”) if the services provided directly relate to the Registrant’s operations and financial reporting. In accordance with the Procedures, the Audit Oversight Committee is responsible for the engagement of the independent accountant to certify the Registrant’s financial statements for each fiscal year. With respect to the pre-approval of non-audit services provided to the Registrant and its Service Affiliates, the Procedures provide that the Audit Oversight Committee may annually pre-approve a list of types or categories of non-audit services that may be provided to the Registrant or its Service Affiliates, or the Audit Oversight Committee may pre-approve such services on a project-by-project basis as they arise. Unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Oversight Committee if it is to be provided by the independent accountant. The Procedures also permit the Audit Oversight Committee to delegate authority to one or more of its members to pre-approve any proposed non-audit services that have not been previously pre-approved by the Audit Oversight Committee, subject to the ratification by the full Audit Oversight Committee no later than its next scheduled meeting.
(2) With respect to the services described in paragraphs (b) through (d) of this Item 4, no amount was approved by the Audit Oversight Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) | Not applicable. |
(g)
Aggregate Non-Audit Fees Billed to Entity |
||||||||||
Entity |
June 30, 2022 | July 31, 2021 | ||||||||
|
|
|
||||||||
PIMCO Corporate & Income Strategy Fund |
$ | 54,000 | $ | 19,000 | ||||||
Pacific Investment Management Company LLC (“PIMCO”) |
13,128,802 | 15,411,504 | ||||||||
|
|
|||||||||
Totals |
$ | 13,182,802 | $ | 15,430,504 | ||||||
|
|
|
(h) | The Registrant’s Audit Oversight Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant which were not pre-approved (not requiring pre-approval) is compatible with maintaining the principal accountant’s independence. |
(i) | Not applicable. |
(j) | Not applicable. |
Item 5. | Audit Committee of Listed Registrants. |
The Registrant has a separately-designated standing audit committee (known as the Audit Oversight Committee) established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The Audit Oversight Committee is comprised of:
Sarah E. Cogan
Deborah A. DeCotis
Joseph B. Kittredge, Jr.
William B. Ogden, IV
Alan Rappaport
E. Grace Vandecruze
Item 6. | Schedule of Investments. |
The information required by this Item 6 is included as part of the annual report to shareholders filed under Item 1 of this Form N-CSR.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Policy Statement: PIMCO adopted a written proxy voting policy (“Proxy Policy”) as required by Rule 206(4)-6 under the Advisers Act. The Proxy Policy is intended to foster PIMCO’s compliance with its fiduciary obligations and applicable law. The Proxy Policy applies to any voting or consent rights with respect to securities held in accounts over which PIMCO has discretionary voting authority. The Proxy Policy is designed in a manner reasonably expected to ensure that voting and consent rights are exercised in the best interests of PIMCO’s clients.
Overview: As a general matter, PIMCO will adhere to its fiduciary obligations for any proxies it has the authority to vote on behalf of its clients. Each proxy is voted on a case-by-case basis, taking into account relevant facts and circumstances. When considering client proxies1, PIMCO may determine not to vote a proxy in limited circumstances.
Equity Securities.2 PIMCO has retained an Industry Service Provider (“ISP”)3 to provide research and voting recommendations for proxies relating to Equity Securities in accordance with the ISP’s guidelines. By following the guidelines of an independent third party, PIMCO seeks to mitigate potential conflicts of interest PIMCO may have with respect to proxies covered by the ISP. PIMCO will follow the recommendations of the ISP unless: (i) the ISP does not provide a voting recommendation; or (ii) a PM/Analyst decides to override the ISP’s voting recommendation. In each case as described above, the Legal and Compliance department will review the proxy to determine whether an actual or potential conflict of interest exists. When the ISP does not provide a voting recommendation, the relevant PM/Analyst will make a determination regarding how, or if, the proxy will be voted by completing required documentation.
Fixed Income Securities. Fixed income securities can be processed as proxy ballots or corporate action-consents4 at the discretion of the issuer/ custodian. When processed as proxy ballots, the ISP generally does not provide a voting recommendation and their role is limited to election processing and recordkeeping. In such instances, any elections would follow the standard process discussed above for Equity Securities. When processed as corporate action-consents, the Legal and Compliance department will review all election forms to determine whether an actual or potential conflict of interest exists with respect to the PM’s consent election. PIMCO’s Credit Research and Portfolio Management Groups are responsible for issuing recommendations on how to vote proxy ballots and corporation action-consents with respect to fixed income securities.
Resolution of potential/identified conflicts of interest. The Proxy Policy permits PIMCO to seek to resolve material conflicts of interest by pursuing any one of several courses of action. With respect to material conflicts of interest between PIMCO and a client account, the Proxy Policy permits PIMCO to either: (i) convene a working group to assess and resolve the conflict (the “Proxy Working Group”); or (ii) vote in accordance with protocols previously established by the Proxy Policy, the Proxy Working Group and/or other relevant procedures approved by PIMCO’s Legal and Compliance department or PIMCO’s Conflict Committee with respect to specific types of conflicts.
PIMCO will supervise and periodically review its proxy voting activities and the implementation of the Proxy Policy. PIMCO’s Proxy Policy, and information about how PIMCO voted a client’s proxies, is available upon request.
ISP Oversight: Consistent with its fiduciary obligations, PIMCO will perform periodic due diligence and oversight of ISP’s engaged to provide PIMCO with proxy voting research and recommendations. PIMCO’s due diligence and oversight process includes, but is not limited to, the evaluation of: the ISP’s capacity and competency to provide proxy voting research and recommendations5 and the ISP’s compliance program.
Sub-Adviser Engagement: As an investment manager, PIMCO may exercise its discretion to engage a Sub-Adviser to provide portfolio management services to certain PIMCO-affiliated Funds. Consistent with its management responsibilities, the Sub-Adviser will assume the authority for voting proxies on behalf of PIMCO for these Funds. Sub-Advisers may utilize third parties to perform certain services related to their portfolio management responsibilities. As a fiduciary, PIMCO will maintain oversight of the investment management responsibilities (which may include proxy voting) performed by the Sub-Adviser and
contracted third parties.
1 Proxies generally describe corporate action consent rights (relative to fixed income securities) and proxy voting ballots (relative to fixed income or equity securities) as determined by the issuer or custodian.
2 The term “Equity Securities” means common and preferred stock, including common and preferred shares issued by investment companies; it does not include debt securities convertible into equity securities.
3 The ISP for Equity Securities proxy voting is Institutional Shareholder Services (“ISS”), Inc., 1177 Avenue of the Americas 2nd Floor, New York NY 10036.
4 Voting or consent rights shall not include matters which are primarily decisions to buy or sell investments, such as tender offers, exchange offers, conversions, put options, redemptions, and Dutch auctions.
5 This includes the adequacy and quality of the ISP’s operational infrastructure as it relates to its process for seeking timely input from issuers and its voting methodologies.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
(a)(1)
As of September 1, 2022, the following individuals have primary responsibility for the day-to-day management of the PIMCO Corporate & Income Strategy Fund (the “Fund”):
Alfred T. Murata
Mr. Murata has been a portfolio manager of the Fund since September 2014. Mr. Murata is a managing director in the Newport Beach office and a portfolio manager on the mortgage credit team. Prior to joining PIMCO in 2001, he researched and implemented exotic equity and interest rate derivatives at Nikko Financial Technologies.
Mohit Mittal
Mr. Mittal has been a portfolio manager of the Fund since September 2014. Mr. Mittal is a managing director and portfolio manager in the Newport Beach office. He manages investment grade credit, total return and unconstrained bond portfolios and is a member of the Americas Portfolio Committee. Previously, he was a specialist on PIMCO’s interest rates and derivatives desk.
(a)(2)
The following summarizes information regarding each of the accounts, excluding the Fund, managed by the Portfolio Managers as of June 30, 2022, including accounts managed by a team, committee, or other group that includes a Portfolio Manager. Unless mentioned otherwise, the advisory fee charged for managing each of the accounts listed below is not based on performance.
Registered Investment Companies |
Other Pooled Investment Vehicles |
Other Accounts | ||||||||||
Portfolio Manager | # | AUM($million) | # | AUM($million) | # | AUM($million) | ||||||
Alfred T. Murata1 |
20 | $164,865.73 | 19 | $41,791.98 | 4 | $566.96 | ||||||
Mohit Mittal2 |
30 | $108,990.69 | 21 | $31,936.77 | 152 | $84,624.13 |
1Of these Other Pooled Investment Vehicles, 5 accounts totaling $9,877.10 million in assets pay(s) an advisory fee that is based in part on the performance of the accounts.
2Of these Other Pooled Investment Vehicles, 2 accounts totaling $2,518.13 million in assets pay(s) an advisory fee that is based in part on the performance of the accounts. Of these Other Accounts, 8 accounts totaling $1,689.56 million in assets pay(s) an advisory fee that is based in part on the performance of the accounts.
From time to time, potential and actual conflicts of interest may arise between a portfolio manager’s management of the investments of the Fund, on the one hand, and the management of other accounts, on the other. Potential and actual conflicts of interest may also arise as a result of PIMCO’s other business activities and PIMCO’s possession of material non-public information about an issuer. Other accounts managed by a portfolio manager might have similar investment objectives or
strategies as the Fund, track the same index as the Fund or otherwise hold, purchase, or sell securities that are eligible to be held, purchased or sold by the Fund. The other accounts might also have different investment objectives or strategies than the Fund. Potential and actual conflicts of interest may also arise as a result of PIMCO serving as investment adviser to accounts that invest in the Fund. In this case, such conflicts of interest could in theory give rise to incentives for PIMCO to, among other things, vote proxies of the Fund in a manner beneficial to the investing account but detrimental to the Fund. Conversely, PIMCO’s duties to the Fund, as well as regulatory or other limitations applicable to the Fund, may affect the courses of action available to PIMCO-advised accounts (including certain funds) that invest in the Fund in a manner that is detrimental to such investing accounts. In addition, regulatory restrictions, actual or potential conflicts of interest or other considerations may cause PIMCO to restrict or prohibit participation in certain investments.
Because PIMCO is affiliated with Allianz SE, a large multi-national financial institution, conflicts similar to those described below may occur between the Fund and other accounts managed by PIMCO and PIMCO’s affiliates or accounts managed by those affiliates. Those affiliates (or their clients), which generally operate autonomously from PIMCO, may take actions that are adverse to the Fund or other accounts managed by PIMCO. In many cases, PIMCO will not be in a position to mitigate those actions or address those conflicts, which could adversely affect the performance of the Fund or other accounts managed by PIMCO. In addition, because certain Clients (as defined below) are affiliates of PIMCO or have investors who are affiliates or employees of PIMCO, PIMCO may have incentives to resolve conflicts of interest in favor of these Clients over other Clients.
Knowledge and Timing of Fund Trades. A potential conflict of interest may arise as a result of the portfolio manager’s day-to-day management of the Fund. Because of their positions with the Fund, the portfolio managers know the size, timing and possible market impact of the Fund’s trades. It is theoretically possible that the portfolio managers could use this information to the advantage of other accounts they manage and to the possible detriment of the Fund.
Investment Opportunities. A potential conflict of interest may arise as a result of the portfolio manager’s management of a number of accounts with varying investment guidelines. Often, an investment opportunity may be suitable for both the Fund and other accounts managed by PIMCO (each, a “Client,” and collectively, the “Clients”), but may not be available in sufficient quantities for both the Fund and other Clients to participate fully. In addition, regulatory issues applicable to PIMCO or the Fund or other accounts may result in the Fund not receiving securities that may otherwise be appropriate for it. In addition, regulatory issues applicable to PIMCO or the Fund or other accounts may result in the Fund not receiving securities that may otherwise be appropriate for it. Similarly, there may be limited opportunity to sell an investment held by the Fund and another account. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities on a fair and equitable basis over time.
Under PIMCO’s allocation procedures, investment opportunities are allocated among various investment strategies based on individual account investment guidelines and PIMCO’s investment outlook. PIMCO has also adopted additional procedures to complement the general trade allocation policy that are designed to address potential conflicts of interest due to the side-by-side management of the Fund and certain pooled investment vehicles, including investment opportunity allocation issues.
From time to time, PIMCO may take an investment position or action for a Client that may be different from, or inconsistent with, an action or position taken for one or more other Clients having similar or differing investment objectives. These positions and actions may adversely impact, or in some instances may benefit, one or more affected Clients, including Clients that are PIMCO affiliates, in which PIMCO has an interest, or which pays PIMCO higher fees or a performance fee. For example, a Client may buy a security and another Client may establish a short position in that same security. The subsequent short sale may result in a decrease in the price of the security that the other Client holds. Similarly, transactions or investments by one or more Clients may have the effect of diluting or otherwise disadvantaging the values, prices or investment strategies of another Client.
When PIMCO implements for one Client a portfolio decision or strategy ahead of, or contemporaneously with, similar portfolio decisions or strategies of another Client, market impact, liquidity constraints or other factors could result in one or more Clients receiving less favorable trading results, the costs of implementing such portfolio decisions or strategies could be increased or such Clients could otherwise be disadvantaged. On the other hand, potential conflicts may also arise because portfolio decisions regarding a Client may benefit other Clients. For example, the sale of a long position or establishment of a short position for a Client may decrease the price of the same security sold short by (and therefore benefit) other Clients, and the purchase of a security or covering of a short position in a security for a Client may increase the price of the same security held by (and therefore benefit) other Clients.
Under certain circumstances, a Client may invest in a transaction in which one or more other Clients are expected to participate, or already have made or will seek to make, an investment. In addition, to the extent permitted by applicable law,
a Client may also engage in investment transactions that may result in other Clients being relieved of obligations, or that may cause other Clients to divest certain investments (e.g., a Client may make a loan to, or directly or indirectly acquire securities or indebtedness of, a company that uses the proceeds to refinance or reorganize its capital structure, which could result in repayment of debt held by another Client). Such Clients (or groups of Clients) may have conflicting interests and objectives in connection with such investments, including with respect to views on the operations or activities of the issuer involved, the targeted returns from the investment and the timeframe for, and method of, exiting the investment. When making such investments, PIMCO may do so in a way that favors one Client over another Client, even if both Clients are investing in the same security at the same time. Certain Clients may invest on a “parallel” basis (i.e., proportionately in all transactions at substantially the same time and on substantially the same terms and conditions). In addition, other accounts may expect to invest in many of the same types of investments as another account. However, there may be investments in which one or more of such accounts does not invest (or invests on different terms or on a non-pro rata basis) due to factors such as legal, tax, regulatory, business, contractual or other similar considerations or due to the provisions of a Client’s governing documents. Decisions as to the allocation of investment opportunities among such Clients present numerous conflicts of interest, which may not be resolved in a manner that is favorable to a Client’s interests. To the extent an investment is not allocated pro rata among such entities, a Client could incur a disproportionate amount of income or loss related to such investment relative to such other Client.
In addition, Clients may invest alongside one another in the same underlying investments or otherwise pursuant to a substantially similar investment strategy as one or more other Clients. In such cases, certain Clients may have preferential liquidity and information rights relative to other Clients holding the same investments, with the result that such Clients will be able to withdraw/redeem their interests in underlying investments in priority to Clients who may have more limited access to information or more restrictive withdrawal/redemption rights. Clients with more limited information rights or more restrictive liquidity may therefore be adversely affected in the event of a downturn in the markets.
Further, potential conflicts may be inherent in PIMCO’s use of multiple strategies. For example, conflicts will arise in cases where different Clients invest in different parts of an issuer’s capital structure, including circumstances in which one or more Clients may own private securities or obligations of an issuer and other Clients may own or seek to acquire private securities of the same issuer. For example, a Client may acquire a loan, loan participation or a loan assignment of a particular borrower in which one or more other Clients have an equity investment, or may invest in senior debt obligations of an issuer for one Client and junior debt obligations or equity of the same issuer for another Client.
Conflicts potentially limiting the Fund’s investment opportunities may also arise when the Fund and other Clients invest in different parts of an issuer’s capital structure, such as when the Fund owns senior debt obligations of an issuer and other Clients own junior tranches of the same issuer. In such circumstances, decisions over whether to trigger an event of default, over the terms of any workout, or how to exit an investment may result in conflicts of interest. In order to minimize such conflicts, a portfolio manager may avoid certain investment opportunities that would potentially give rise to conflicts with other Clients or PIMCO may enact internal procedures designed to minimize such conflicts, which could have the effect of limiting the Fund’s investment opportunities. Additionally, if PIMCO acquires material non-public confidential information in connection with its business activities for other Clients, a portfolio manager may be restricted from purchasing securities or selling securities for the Fund. Moreover, the Fund or other accounts managed by PIMCO may invest in a transaction in which one or more other funds or accounts managed by PIMCO are expected to participate, or already have made or will seek to make, an investment. Such funds or accounts may have conflicting interests and objectives in connection with such investments, including, for example and without limitation, with respect to views on the operations or activities of the issuer involved, the targeted returns from the investment, and the timeframe for, and method of, exiting the investment. Additionally, a fund or other account managed by PIMCO may take an investment position or action that may be different from, or inconsistent with, an investment position or action taken by another fund or other account managed by PIMCO having similar or differing investment objectives. These positions and actions may adversely impact the Fund. For example, the Fund may buy a security and another fund or other account managed by PIMCO may establish a short position in that same security or in another security issued by the same issuer. The subsequent short sale may result in a decrease in the price of the security that the first fund holds. When making investment decisions where a conflict of interest may arise, PIMCO will endeavor to act in a fair and equitable manner as between the Fund and other Clients; however, in certain instances the resolution of the conflict may result in PIMCO acting on behalf of another Client in a manner that may not be in the best interest, or may be opposed to the best interest, of the Fund.
In each of the situations described above, PIMCO may take actions with respect to the assets held by one Client that are adverse to the other Clients, for example, by foreclosing on loans, by putting an issuer into default, or by exercising rights to purchase or sell to an issuer, causing an issuer to take actions adverse to certain classes of securities, or otherwise. In negotiating the terms and conditions of any such investments, or any subsequent amendments or waivers or taking any other actions, PIMCO may find that the interests of a Client and the interests of one or more other Clients could conflict. In these situations, decisions over items such as whether to make the investment or take an action, proxy voting, corporate
reorganization, how to exit an investment, or bankruptcy or similar matters (including, for example, whether to trigger an event of default or the terms of any workout) may result in conflicts of interest. Similarly, if an issuer in which a Client and one or more other Clients directly or indirectly hold different classes of securities (or other assets, instruments or obligations issued by such issuer or underlying investments of such issuer) encounters financial problems, decisions over the terms of any workout will raise conflicts of interests (including, for example, conflicts over proposed waivers and amendments to debt covenants). For example, a debt holder may be better served by a liquidation of the issuer in which it may be paid in full, whereas an equity or junior bond holder might prefer a reorganization that holds the potential to create value for the equity holders. In some cases PIMCO may refrain from taking certain actions or making certain investments on behalf of Clients in order to avoid or mitigate certain conflicts of interest or to prevent adverse regulatory or other effects on PIMCO, or may sell investments for certain Clients (in each case potentially disadvantaging the Clients on whose behalf the actions are not taken, investments not made, or investments sold). In other cases, PIMCO may not refrain from taking actions or making investments on behalf of certain Clients that have the potential to disadvantage other Clients. In addition, PIMCO may take actions or refrain from taking actions in order to mitigate legal risks to PIMCO or its affiliates or its Clients even if disadvantageous to a Client’s account. Moreover, a Client may invest in a transaction in which one or more other Clients are expected to participate, or already have made or will seek to make, an investment.
Additionally, certain conflicts may exist with respect to portfolio managers who make investment decisions on behalf of several different types of Clients. Such portfolio managers may have an incentive to allocate trades, time or resources to certain Clients, including those Clients who pay higher investment management fees or that pay incentive fees or allocations, over other Clients. These conflicts may be heightened with respect to portfolio managers who are eligible to receive a performance allocation under certain circumstances as part of their compensation.
From time to time, PIMCO personnel may come into possession of material non-public information (“MNPI”) which, if disclosed, might affect an investor’s decision to buy, sell or hold a security. Should a PIMCO employee come into possession of MNPI with respect to an issuer, he or she generally will be prohibited from communicating such information to, or using such information for the benefit of, Clients, which could limit the ability of Clients to buy, sell or hold certain investments, thereby limiting the investment opportunities or exit strategies available to Clients. In addition, holdings in the securities or other instruments of an issuer by PIMCO or its affiliates may affect the ability of a Client to make certain acquisitions of or enter into certain transactions with such issuer. PIMCO has no obligation or responsibility to disclose such information to, or use such information for the benefit of, any person (including Clients).
PIMCO maintains one or more restricted lists of companies whose securities are subject to certain trading prohibitions due to PIMCO’s business activities. PIMCO may restrict trading in an issuer’s securities if the issuer is on a restricted list or if PIMCO has MNPI about that issuer. In some situations, PIMCO may restrict Clients from trading in a particular issuer’s securities in order to allow PIMCO to receive MNPI on behalf of other Clients. A Client may be unable to buy or sell certain securities until the restriction is lifted, which could disadvantage the Client. PIMCO may also be restricted from making (or divesting of) investments in respect of some Clients but not others. In some cases PIMCO may not initiate or recommend certain types of transactions, or may otherwise restrict or limit its advice relating to certain securities if a security is restricted due to MNPI or if PIMCO is seeking to limit receipt of MNPI.
PIMCO may conduct litigation or engage in other legal actions on behalf of one or more Clients. In such cases, Clients may be required to bear certain fees, costs, expenses and liabilities associated with the litigation. Other Clients that are or were investors in, or otherwise involved with, the subject investments may or may not (depending on the circumstances) be parties to such litigation actions, with the result that certain Clients may participate in litigation actions in which not all Clients with similar investments may participate, and such nonparticipating Clients may benefit from the results of such litigation actions without bearing or otherwise being subject to the associated fees, costs, expenses and liabilities. PIMCO, for example, typically does not pursue legal claims on behalf of its separate accounts. Furthermore, in certain situations, litigation or other legal actions pursued by PIMCO on behalf of a Client may be brought against or be otherwise adverse to a portfolio company or other investment held by a Client.
The foregoing is not a complete list of conflicts to which PIMCO or Clients may be subject. PIMCO seeks to review conflicts on a case-by-case basis as they arise. Any review will take into consideration the interests of the relevant Clients, the circumstances giving rise to the conflict, applicable PIMCO policies and procedures, and applicable laws. Clients (and investors in the Fund) should be aware that conflicts will not necessarily be resolved in favor of their interests and may in fact be resolved in a manner adverse to their interests. PIMCO will attempt to resolve such matters fairly, but even so, matters may be resolved in favor of other Clients which pay PIMCO higher fees or performance fees or in which PIMCO or its affiliates have a significant proprietary interest. There can be no assurance that any actual or potential conflicts of interest will not result in a particular Client or group of Clients receiving less favorable investment terms in or returns from certain investments than if such conflicts of interest did not exist.
Certain service providers to the Fund are expected to be owned by or otherwise related to or affiliated with a Client, and in certain cases, such service providers are expected to be, or are owned by, employed by, or otherwise related to, PIMCO, Allianz SE, their affiliates and/or their respective employees, consultants and other personnel. PIMCO may, in its sole discretion, determine to provide, or engage or recommend an affiliate of PIMCO to provide, certain services to the Fund, instead of engaging or recommending one or more third parties to provide such services. Subject to the governance requirements of a particular fund and applicable law, PIMCO or its affiliates, as applicable, will receive compensation in connection with the provision of such services. As a result, PIMCO faces a conflict of interest when selecting or recommending service providers for the Fund. Fees paid to an affiliated service provider will be determined in PIMCO’s commercially reasonable discretion, taking into account the relevant facts and circumstances, and consistent with PIMCO’s responsibilities. Although PIMCO has adopted various policies and procedures intended to mitigate or otherwise manage conflicts of interest with respect to affiliated service providers, there can be no guarantee that such policies and procedures (which may be modified or terminated at any time in PIMCO’s sole discretion) will be successful.
Performance Fees. A portfolio manager may advise certain accounts with respect to which the management fee is based entirely or partially on performance. Performance fee arrangements may create a conflict of interest for the portfolio manager in that the portfolio manager may have an incentive to allocate the investment opportunities that he or she believes might be the most profitable to such other accounts instead of allocating them to the Fund. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities between the Fund and such other accounts on a fair and equitable basis over time.
(a)(3)
As of June 30, 2022, the following explains the compensation structure of the individuals who have primary responsibility for day-to-day portfolio management of the Fund:
Portfolio Manager Compensation
PIMCO’s approach to compensation seeks to provide professionals with a Total Compensation Plan and process that is driven by PIMCO’s mission and CORE values of collaboration, openness, responsibility and excellence. Key Principles on Compensation Philosophy include:
● | PIMCO’s compensation practices are designed to attract and retain high performers; |
● | PIMCO’s compensation philosophy embraces a corporate culture of rewarding behaviors aligned to our CORE values; |
● | PIMCO’s goal is to ensure key professionals are aligned to PIMCO’s long-term success through awards linked to firm performance; and |
● | PIMCO’s “Discern and Differentiate” discipline incorporates individual performance rating to guide total compensation. |
The Total Compensation Plan consists of three components. The compensation program for portfolio managers is designed to align with clients’ interests, emphasizing each portfolio manager’s ability to generate long-term investment success for PIMCO’s clients. A portfolio manager’s compensation is not based solely on the performance of any Fund or any other account managed by that portfolio manager:
Base Salary – Base salary is determined based on core job responsibilities, positions/levels and market factors. Base salary levels are reviewed annually, when there is a significant change in job responsibilities or position, or a significant change in market levels.
Performance Bonus – Performance bonuses are designed to reward risk-adjusted performance and contributions to PIMCO’s broader investment process. The compensation process is not formulaic and the following non-exhaustive list of qualitative and quantitative criteria are considered when determining the total compensation for portfolio managers:
● | Performance measured over a variety of longer- and shorter-term periods, including 5-year, 4-year, 3-year, 2-year and 1-year dollar-weighted and account-weighted, pre-tax total and risk-adjusted investment performance as judged against the applicable benchmarks (which may include internal investment performance-related benchmarks) for each account managed by a portfolio manager (including the Fund) and relative to applicable industry peer groups; greatest emphasis is placed on 5-year and 3-year performance, followed by 1-year performance; |
● | Consistency of investment performance across portfolios of similar mandate and guidelines, rewarding low dispersion and consistency of outperformance; |
● | Appropriate risk positioning and risk management mindset which includes consistency with PIMCO’s investment philosophy, the Investment Committee’s positioning guidance, absence of defaults, and appropriate alignment with client objectives; |
● | Contributions to mentoring, coaching and/or supervising members of team; |
● | Collaboration, idea generation, and contribution of investment ideas in the context of PIMCO’s investment process, Investment Committee meetings, and day-to-day management of portfolios; |
● | With much lesser importance than the aforementioned factors: amount and nature of assets managed by the portfolio manager, contributions to asset retention, and client satisfaction. |
PIMCO’s partnership culture further rewards strong long term risk adjusted returns with promotion decisions almost entirely tied to long term contributions to the investment process. 10-year performance can also be considered, though not explicitly as part of the compensation process.
Deferred Compensation – The Long Term Incentive Plan (“LTIP”) is awarded to key professionals. Employees who reach a total compensation threshold are delivered their annual compensation in a mix of cash and/or deferred compensation. PIMCO incorporates a progressive allocation of deferred compensation as a percentage of total compensation, which is in line with market practices.
● | The LTIP provides participants with deferred cash awards that appreciate or depreciate based on PIMCO’s operating earnings over a rolling three-year period. The plan provides a link between longer term company performance and participant pay, further motivating participants to make a long term commitment to PIMCO’s success. |
Prior to March 2020, M Options were awarded to key professionals. The M Unit program provided mid-to-senior level employees with the potential to acquire an equity stake in PIMCO over their careers to better align employee incentives with the Firm’s long-term results. Options awarded under the program vest over a number of years and may be converted into non-voting PIMCO equity which shares in the profit distributions of the Firm.
Eligibility to participate in the LTIP is contingent upon continued employment at PIMCO and all other applicable eligibility requirements.
Profit Sharing Plan. Portfolio managers who are Managing Directors of PIMCO receive compensation from a non-qualified profit sharing plan consisting of a portion of PIMCO’s net profits. Portfolio managers who are Managing Directors receive an amount determined by the Compensation Committee, based upon an individual’s overall contribution to the firm.
(a)(4)
The following summarizes the dollar range of securities of the Fund the Portfolio Managers beneficially owned as of June 30, 2022:
Portfolio Manager |
Dollar Range of Equity Securities of the Fund Owned as of June 30, 2022 | |
Alfred T. Murata |
None | |
Mohit Mittal |
None |
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
None.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
Item 11. | Controls and Procedures. |
(a) | The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the last fiscal quarter of the period covered by this report |
that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
None.
Item 13. | Exhibits. |
(a)(1) Exhibit 99.CODE—Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002.
(a)(2) Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
(a)(3) None.
(a)(4) There was no change in the registrant’s independent public accountant for the period covered by the report.
(b) Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
(c) Exhibit 99.CONSENT—Consent of Independent Registered Public Accounting Firm
(101) Inline Interactive Data File.
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.
PIMCO Corporate & Income Strategy Fund | ||
By: | /s/ Eric D. Johnson
| |
| ||
Eric D. Johnson | ||
President (Principal Executive Officer) | ||
Date: September 1, 2022 |
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 dates indicated.
By: | /s/ Eric D. Johnson
| |
| ||
Eric D. Johnson | ||
President (Principal Executive Officer) | ||
Date: September 1, 2022 | ||
By: | /s/ Bijal Y. Parikh
| |
| ||
Bijal Y. Parikh | ||
Treasurer (Principal Financial & Accounting Officer) | ||
Date: September 1, 2022 |