Schedule of Investments PIMCO Corporate & Income Opportunity Fund | October 31, 2019 (Unaudited) |
(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY) |
|
PRINCIPAL AMOUNT (000s) |
MARKET VALUE (000s) | ||
INVESTMENTS IN SECURITIES 139.2% ¤ | ||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 14.0% | ||||
Advanz
Pharma Corp. 7.528% (LIBOR03M + 5.500%) due 09/06/2024 ~ |
$ | 10,118 | $ | 9,511 |
Alphabet
Holding Co., Inc. 5.544% (LIBOR03M + 3.500%) due 09/26/2024 ~ |
98 | 90 | ||
Altice
France S.A. 6.028% (LIBOR03M + 4.000%) due 08/14/2026 ~ |
495 | 489 | ||
Ancestry.com
Operations, Inc. 6.300% (LIBOR03M + 4.250%) due 08/27/2026 «~ |
100 | 89 | ||
API
Group, Inc. TBD% due 10/01/2026 |
100 | 100 | ||
Avantor,
Inc. 5.044% (LIBOR03M + 3.000%) due 11/21/2024 ~ |
42 | 42 | ||
Axalta
Coating Systems U.S. Holdings, Inc. 3.854% (LIBOR03M + 1.750%) due 06/01/2024 ~ |
374 | 374 | ||
Bausch Health Cos., Inc. | ||||
4.789% (LIBOR03M + 2.750%) due 11/27/2025 ~ | 131 | 131 | ||
5.039% (LIBOR03M + 3.000%) due 06/02/2025 ~ | 368 | 370 | ||
BWAY
Holding Co. 5.590% (LIBOR03M + 3.250%) due 04/03/2024 ~ |
1,046 | 1,020 | ||
Caesars
Entertainment Operating Co. 4.044% (LIBOR03M + 2.000%) due 10/07/2024 ~ |
82 | 82 | ||
CenturyLink,
Inc. 4.794% (LIBOR03M + 2.750%) due 01/31/2025 ~ |
296 | 294 | ||
Charter
Communications Operating LLC 4.050% (LIBOR03M + 1.750%) due 04/30/2025 ~ |
361 | 362 | ||
Clear
Channel Outdoor Holdings, Inc. TBD% (LIBOR03M + 3.500%) due 08/21/2026 ~ |
100 | 100 | ||
CommScope,
Inc. 5.294% (LIBOR03M + 3.250%) due 04/06/2026 ~ |
200 | 197 | ||
Diamond
Resorts Corp. 5.796% (LIBOR03M + 3.750%) due 09/02/2023 ~ |
5,079 | 4,897 | ||
DTEK
Holdings Ltd. TBD% due 08/01/2026 « |
EUR | 2,646 | 2,654 | |
Dubai
World (2.500% Cash and 1.750% PIK) 4.250% (LIBOR03M + 2.000%) due 09/30/2022 ~(d) |
$ | 11,015 | 10,272 | |
Emerald
TopCo, Inc. 5.544% (LIBOR03M + 3.500%) due 07/24/2026 ~ |
233 | 230 | ||
Envision
Healthcare Corp. 5.794% (LIBOR03M + 3.750%) due 10/10/2025 ~ |
21,092 | 17,137 | ||
Financial
& Risk U.S. Holdings, Inc. 5.794% (LIBOR03M + 3.750%) due 10/01/2025 ~ |
1,496 | 1,505 | ||
Forbes
Energy Services LLC (5.000% Cash and 11.000% PIK) 16.000% (LIBOR03M + 5.000%) due 04/13/2021 ~(d) |
984 | 976 | ||
Forest
City Enterprises, L.P. 6.044% (LIBOR03M + 4.000%) due 12/07/2025 ~ |
298 | 300 | ||
Frontier
Communications Corp. 5.800% (LIBOR03M + 3.750%) due 06/15/2024 ~ |
1,176 | 1,173 | ||
Genworth
Holdings, Inc. 6.670% (LIBOR03M + 4.500%) due 03/07/2023 ~ |
49 | 49 | ||
iHeartCommunications,
Inc. 6.100% (LIBOR03M + 4.000%) due 05/01/2026 ~ |
9,587 | 9,631 | ||
Ineos
Finance PLC 2.500% (EUR003M + 2.000%) due 03/31/2024 ~ |
EUR | 5,011 | 5,513 | |
IRB
Holding Corp. 5.550% (LIBOR03M + 3.250%) due 02/05/2025 ~ |
$ | 1,871 | 1,859 | |
Jefferies
Finance LLC 5.875% (LIBOR03M + 3.750%) due 06/03/2026 «~ |
47 | 46 | ||
McDermott Technology Americas, Inc. | ||||
TBD% due 10/21/2021 | 5,360 | 5,173 | ||
7.104% (LIBOR03M + 5.000%) due 05/09/2025 ~ | 9,625 | 5,899 | ||
Messer
Industries GmbH 4.604% (LIBOR03M + 2.500%) due 03/01/2026 ~ |
142 | 141 | ||
MH
Sub LLC 5.794% (LIBOR03M + 3.750%) due 09/13/2024 ~ |
216 | 211 | ||
Ministry
of Finance of Tanzania 7.741% (LIBOR03M + 4.600%) due 12/10/2019 «~ |
100 | 101 | ||
Nascar
Holdings, Inc. TBD% due 10/19/2026 |
157 | 158 | ||
NCI
Building Systems, Inc. 5.789% (LIBOR03M + 3.750%) due 04/12/2025 ~ |
79 | 77 | ||
Neiman Marcus Group Ltd. LLC | ||||
8.057% (LIBOR03M + 6.000%) due 10/25/2023 ~ | 25,110 | 18,574 | ||
8.557% (LIBOR03M + 6.500%) due 10/25/2023 ~ | 17,013 | 12,505 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) | October 31, 2019 (Unaudited) |
Pacific
Gas & Electric Co. TBD% due 02/22/2049 ^(e) |
300 | 283 | ||
Parexel
International Corp. 4.794% (LIBOR03M + 2.750%) due 09/27/2024 ~ |
88 | 84 | ||
PetSmart,
Inc. 6.040% (LIBOR03M + 4.000%) due 03/11/2022 ~ |
224 | 219 | ||
PG&E Corp. | ||||
1.125% - 4.320% due 12/31/2020 «µ | 250 | 251 | ||
1.125% - 4.320% (LIBOR03M + 2.250%) due 12/31/2020 «~µ | 750 | 753 | ||
Prestige
Brands, Inc. 4.044% (LIBOR03M + 2.000%) due 01/26/2024 ~ |
109 | 109 | ||
SBA
Senior Finance LLC 4.050% (LIBOR03M + 2.000%) due 04/11/2025 ~ |
494 | 495 | ||
Sequa Mezzanine Holdings LLC | ||||
7.187% (LIBOR03M + 5.000%) due 11/28/2021 ~ | 2,296 | 2,271 | ||
11.266% (LIBOR03M + 9.000%) due 04/28/2022 ~ | 5,370 | 5,238 | ||
Sinclair
Television Group, Inc. 4.540% (LIBOR03M + 2.500%) due 09/30/2026 ~ |
129 | 129 | ||
Sprint
Communications, Inc. 4.563% (LIBOR03M + 2.500%) due 02/02/2024 ~ |
2,730 | 2,704 | ||
Starfruit
Finco BV 5.292% (LIBOR03M + 3.250%) due 10/01/2025 ~ |
460 | 450 | ||
State
of Rio de Janeiro 6.024% (LIBOR03M + 3.250%) due 12/20/2020 «~ |
5,373 | 5,410 | ||
Sunshine
Luxembourg VII SARL TBD% (LIBOR03M + 4.250%) due 10/01/2026 ~ |
424 | 425 | ||
Syniverse
Holdings, Inc. 7.028% (LIBOR03M + 5.000%) due 03/09/2023 ~ |
13,723 | 12,463 | ||
TransDigm,
Inc. 4.544% (LIBOR03M + 2.500%) due 08/22/2024 ~ |
587 | 583 | ||
U.S.
Renal Care, Inc. 7.063% (LIBOR03M + 5.000%) due 06/26/2026 ~ |
927 | 859 | ||
Univision
Communications, Inc. 4.794% (LIBOR03M + 2.750%) due 03/15/2024 ~ |
11,790 | 11,390 | ||
West
Corp. 6.044% (LIBOR03M + 4.000%) due 10/10/2024 ~ |
53 | 44 | ||
Westmoreland
Mining Holdings LLC 10.389% (LIBOR03M + 8.250%) due 03/15/2022 «~ |
1,131 | 1,142 | ||
Westmoreland
Mining Holdings LLC (15.000% PIK) 15.000% due 03/15/2029 (d) |
2,835 | 2,150 | ||
Whatabrands
LLC 5.516% (LIBOR03M + 3.250%) due 08/02/2026 ~ |
47 | 47 | ||
Windstream Services LLC | ||||
TBD% due 03/29/2021 | 11,900 | 12,074 | ||
TBD% (PRIME + 4.250%) due 02/17/2024 ~ | 8,100 | 8,128 | ||
Total Loan Participations and Assignments (Cost $194,568) | 180,033 | |||
CORPORATE BONDS & NOTES 59.2% | ||||
BANKING & FINANCE 24.9% | ||||
AGFC
Capital Trust 3.751% (US0003M + 1.750%) due 01/15/2067 ~ |
1,800 | 954 | ||
Ally Financial, Inc. | ||||
8.000% due 11/01/2031 | 2,407 | 3,376 | ||
8.000% due 11/01/2031 (m) | 3,550 | 4,900 | ||
Ambac
LSNI LLC 7.104% due 02/12/2023 • |
1,148 | 1,160 | ||
Ardonagh
Midco PLC 8.375% due 07/15/2023 (m) |
GBP | 25,482 | 31,013 | |
Athene
Holding Ltd. 4.125% due 01/12/2028 |
$ | 50 | 52 | |
Avolon
Holdings Funding Ltd. 5.500% due 01/15/2023 |
305 | 330 | ||
AXA Equitable Holdings, Inc. | ||||
4.350% due 04/20/2028 | 73 | 79 | ||
5.000% due 04/20/2048 | 120 | 129 | ||
Banco Bilbao Vizcaya Argentaria S.A. | ||||
6.750% due 02/18/2020 •(i)(j)(m) | EUR | 14,000 | 15,853 | |
8.875% due 04/14/2021 •(i)(j)(m) | 400 | 492 | ||
Banco
de Credito del Peru 4.650% due 09/17/2024 |
PEN | 1,600 | 484 | |
Banco
Santander S.A. 6.250% due 09/11/2021 •(i)(j)(m) |
EUR | 2,600 | 3,084 | |
Bank
of Ireland 7.375% due 06/18/2020 •(i)(j)(m) |
1,200 | 1,389 | ||
Barclays
Bank PLC 7.625% due 11/21/2022 (j) |
$ | 450 | 504 | |
Barclays PLC | ||||
3.250% due 01/17/2033 | GBP | 400 | 549 | |
7.125% due 06/15/2025 •(i)(j) | 2,200 | 3,125 | ||
7.250% due 03/15/2023 •(i)(j) | 10,405 | 14,481 | ||
7.750% due 09/15/2023 •(i)(j) | $ | 2,000 | 2,131 | |
7.875% due 09/15/2022 •(i)(j) | GBP | 4,625 | 6,476 | |
8.000% due 12/15/2020 •(i)(j)(m) | EUR | 1,860 | 2,225 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) | October 31, 2019 (Unaudited) |
8.000% due 06/15/2024 •(i)(j) | $ | 1,000 | 1,092 | |
BGC
Partners, Inc. 5.375% due 07/24/2023 (m) |
490 | 524 | ||
BNP
Paribas S.A. 7.000% due 08/16/2028 •(i)(j) |
300 | 338 | ||
Brighthouse
Holdings LLC 6.500% due 07/27/2037 þ(i) |
110 | 110 | ||
Brookfield Finance, Inc. | ||||
3.900% due 01/25/2028 | 168 | 178 | ||
4.700% due 09/20/2047 (m) | 616 | 692 | ||
Cantor Fitzgerald LP | ||||
4.875% due 05/01/2024 | 64 | 68 | ||
6.500% due 06/17/2022 (m) | 10,000 | 10,796 | ||
CBL & Associates LP | ||||
4.600% due 10/15/2024 | 6 | 4 | ||
5.950% due 12/15/2026 | 4,986 | 3,341 | ||
Credit
Agricole S.A. 7.875% due 01/23/2024 •(i)(j)(m) |
400 | 452 | ||
Credit
Suisse AG 6.500% due 08/08/2023 (j) |
200 | 223 | ||
Credit Suisse Group AG | ||||
7.250% due 09/12/2025 •(i)(j) | 200 | 218 | ||
7.500% due 07/17/2023 •(i)(j) | 600 | 648 | ||
7.500% due 12/11/2023 •(i)(j) | 2,336 | 2,596 | ||
Emerald
Bay S.A. 0.000% due 10/08/2020 (h) |
EUR | 1,162 | 1,268 | |
EPR
Properties 4.750% due 12/15/2026 (m) |
$ | 3,711 | 4,046 | |
ESH
Hospitality, Inc. 4.625% due 10/01/2027 |
220 | 221 | ||
Flagstar
Bancorp, Inc. 6.125% due 07/15/2021 |
6,000 | 6,298 | ||
Ford
Motor Credit Co. LLC 5.183% (US0003M + 3.140%) due 01/07/2022 ~(m) |
2,000 | 2,060 | ||
Fortress Transportation & Infrastructure Investors LLC | ||||
6.500% due 10/01/2025 | 874 | 885 | ||
6.750% due 03/15/2022 | 1,572 | 1,641 | ||
GE
Capital International Funding Co. Unlimited Co. 4.418% due 11/15/2035 |
200 | 211 | ||
Growthpoint
Properties International Pty. Ltd. 5.872% due 05/02/2023 |
200 | 215 | ||
GSPA
Monetization Trust 6.422% due 10/09/2029 |
6,254 | 7,331 | ||
Hampton
Roads PPV LLC 6.171% due 06/15/2053 (m) |
1,800 | 2,148 | ||
HSBC
Bank PLC 6.330% due 05/18/2023 |
12,400 | 12,951 | ||
HSBC Holdings PLC | ||||
5.875% due 09/28/2026 •(i)(j)(m) | GBP | 400 | 555 | |
6.000% due 09/29/2023 •(i)(j)(m) | EUR | 4,430 | 5,628 | |
6.500% due 03/23/2028 •(i)(j) | $ | 1,000 | 1,060 | |
Hunt
Cos., Inc. 6.250% due 02/15/2026 |
56 | 55 | ||
ING
Groep NV 5.750% due 11/16/2026 •(i)(j) |
700 | 718 | ||
Kennedy-Wilson,
Inc. 5.875% due 04/01/2024 |
134 | 139 | ||
Lloyds
Bank PLC 12.000% due 12/16/2024 •(i) |
100 | 122 | ||
Lloyds Banking Group PLC | ||||
7.500% due 09/27/2025 •(i)(j) | 700 | 771 | ||
7.625% due 06/27/2023 •(i)(j) | GBP | 4,610 | 6,687 | |
7.875% due 06/27/2029 •(i)(j) | 7,415 | 11,696 | ||
LoanCore
Capital Markets LLC 6.875% due 06/01/2020 (m) |
$ | 11,610 | 11,617 | |
Nationstar
Mortgage LLC 6.500% due 07/01/2021 |
1,207 | 1,215 | ||
Navient Corp. | ||||
5.625% due 08/01/2033 | 74 | 65 | ||
6.500% due 06/15/2022 | 658 | 706 | ||
Newmark
Group, Inc. 6.125% due 11/15/2023 |
128 | 140 | ||
Oppenheimer
Holdings, Inc. 6.750% due 07/01/2022 |
2,133 | 2,213 | ||
Park Aerospace Holdings Ltd. | ||||
4.500% due 03/15/2023 | 902 | 950 | ||
5.500% due 02/15/2024 (m) | 401 | 441 | ||
Royal Bank of Scotland Group PLC | ||||
7.500% due 08/10/2020 •(i)(j)(m) | 5,840 | 5,964 | ||
8.000% due 08/10/2025 •(i)(j)(m) | 15,325 | 17,566 | ||
8.625% due 08/15/2021 •(i)(j) | 6,330 | 6,836 | ||
Santander UK Group Holdings PLC | ||||
6.750% due 06/24/2024 •(i)(j)(m) | GBP | 13,505 | 18,729 | |
7.375% due 06/24/2022 •(i)(j) | 1,640 | 2,285 | ||
Sberbank
of Russia Via SB Capital S.A. 6.125% due 02/07/2022 |
$ | 500 | 538 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) | October 31, 2019 (Unaudited) |
Societe Generale S.A. | ||||
6.750% due 04/06/2028 •(i)(j) | 400 | 422 | ||
7.375% due 10/04/2023 •(i)(j) | 1,300 | 1,390 | ||
Springleaf Finance Corp. | ||||
5.625% due 03/15/2023 | 2,400 | 2,589 | ||
6.125% due 03/15/2024 | 284 | 311 | ||
6.625% due 01/15/2028 | 749 | 831 | ||
6.875% due 03/15/2025 | 270 | 306 | ||
Stearns
Holdings LLC 9.375% due 08/15/2020 ^(e) |
578 | 286 | ||
Stichting
AK Rabobank Certificaten 6.500% due 12/29/2049 (i) |
EUR | 4,773 | 6,811 | |
Tesco Property Finance PLC | ||||
5.411% due 07/13/2044 | GBP | 1,107 | 1,828 | |
5.661% due 10/13/2041 | 608 | 1,015 | ||
5.744% due 04/13/2040 | 454 | 765 | ||
5.801% due 10/13/2040 | 1,666 | 2,825 | ||
6.052% due 10/13/2039 | 1,218 | 2,070 | ||
TP
ICAP PLC 5.250% due 01/26/2024 (m) |
9,020 | 12,655 | ||
UniCredit
SpA 7.830% due 12/04/2023 (m) |
$ | 8,660 | 10,216 | |
Unique
Pub Finance Co. PLC 5.659% due 06/30/2027 |
GBP | 5,385 | 7,961 | |
Voyager
Aviation Holdings LLC 8.500% due 08/15/2021 |
$ | 18,330 | 19,045 | |
321,363 | ||||
INDUSTRIALS 25.6% | ||||
AA Bond Co. Ltd. | ||||
2.750% due 07/31/2043 | GBP | 950 | 1,148 | |
2.875% due 07/31/2043 (m) | 2,700 | 3,387 | ||
4.249% due 07/31/2043 (m) | 220 | 288 | ||
Altice
Financing S.A. 7.500% due 05/15/2026 (m) |
$ | 6,150 | 6,550 | |
Altice France S.A. | ||||
5.500% due 01/15/2028 | 3,400 | 3,472 | ||
5.875% due 02/01/2027 | EUR | 900 | 1,110 | |
7.375% due 05/01/2026 | $ | 3,600 | 3,864 | |
Associated
Materials LLC 9.000% due 01/01/2024 |
2,792 | 2,457 | ||
Avon
International Capital PLC 6.500% due 08/15/2022 |
52 | 54 | ||
Baffinland
Iron Mines Corp. 8.750% due 07/15/2026 |
2,700 | 2,713 | ||
BCPE
Cycle Merger Sub, Inc. 10.625% due 07/15/2027 |
155 | 145 | ||
Bioceanico
Sovereign Certificate Ltd. 0.000% due 06/05/2034 (h) |
150 | 105 | ||
Bombardier, Inc. | ||||
5.750% due 03/15/2022 | 2,300 | 2,265 | ||
6.125% due 01/15/2023 | 2,640 | 2,587 | ||
7.500% due 12/01/2024 | 1,368 | 1,330 | ||
7.500% due 03/15/2025 | 1,580 | 1,517 | ||
7.875% due 04/15/2027 | 691 | 655 | ||
Camelot
Finance S.A. 4.500% due 11/01/2026 |
63 | 64 | ||
Charles
River Laboratories International, Inc. 4.250% due 05/01/2028 |
48 | 49 | ||
Clear
Channel Worldwide Holdings, Inc. 9.250% due 02/15/2024 (m) |
5,750 | 6,336 | ||
Community Health Systems, Inc. | ||||
6.250% due 03/31/2023 (m) | 13,671 | 13,372 | ||
8.000% due 03/15/2026 | 872 | 855 | ||
8.625% due 01/15/2024 | 1,445 | 1,480 | ||
Connect
Finco SARL 6.750% due 10/01/2026 |
126 | 131 | ||
Core
& Main Holdings LP (8.625% Cash or 9.375% PIK) 8.625% due 09/15/2024 (d) |
85 | 85 | ||
CSC
Holdings LLC 6.500% due 02/01/2029 |
300 | 337 | ||
Dell
International LLC 6.020% due 06/15/2026 (m) |
5,180 | 5,916 | ||
Diamond Resorts International, Inc. | ||||
7.750% due 09/01/2023 | 1,628 | 1,691 | ||
10.750% due 09/01/2024 (m) | 4,300 | 4,472 | ||
DriveTime
Automotive Group, Inc. 8.000% due 06/01/2021 (m) |
14,929 | 15,200 | ||
Eagle
Holding Co. LLC (7.750% Cash or 8.500% PIK) 7.750% due 05/15/2022 (d) |
35 | 36 | ||
EI
Group PLC 6.375% due 09/26/2031 |
GBP | 1,000 | 1,323 | |
Eldorado
Resorts, Inc. 6.000% due 09/15/2026 |
$ | 4,400 | 4,845 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) | October 31, 2019 (Unaudited) |
Envision
Healthcare Corp. 8.750% due 10/15/2026 |
4,951 | 2,810 | ||
Exela
Intermediate LLC 10.000% due 07/15/2023 |
217 | 105 | ||
Fairstone
Financial, Inc. 7.875% due 07/15/2024 |
661 | 698 | ||
Ferroglobe
PLC 9.375% due 03/01/2022 |
2,500 | 1,625 | ||
First Quantum Minerals Ltd. | ||||
6.500% due 03/01/2024 | 3,088 | 3,032 | ||
6.875% due 03/01/2026 | 3,382 | 3,327 | ||
7.000% due 02/15/2021 | 318 | 320 | ||
Flex
Ltd. 4.875% due 06/15/2029 |
238 | 256 | ||
FMG
Resources Pty. Ltd. 4.500% due 09/15/2027 |
110 | 109 | ||
Ford
Motor Co. 7.700% due 05/15/2097 (m) |
29,796 | 33,221 | ||
Fresh
Market, Inc. 9.750% due 05/01/2023 (m) |
12,200 | 7,198 | ||
Frontier
Finance PLC 8.000% due 03/23/2022 |
GBP | 8,800 | 11,746 | |
Full House Resorts, Inc. | ||||
8.575% due 01/31/2024 | $ | 686 | 676 | |
9.738% due 02/02/2024 | 58 | 57 | ||
General Electric Co. | ||||
5.000% due 01/21/2021 •(i) | 1,343 | 1,297 | ||
5.875% due 01/14/2038 | 22 | 26 | ||
6.150% due 08/07/2037 | 82 | 100 | ||
6.875% due 01/10/2039 | 16 | 21 | ||
Greene
King Finance PLC 5.702% due 12/15/2034 |
GBP | 350 | 422 | |
HCA,
Inc. 7.500% due 11/15/2095 |
$ | 4,800 | 5,388 | |
Hilton
Domestic Operating Co., Inc. 4.875% due 01/15/2030 |
58 | 62 | ||
Horizon
Pharma USA, Inc. 5.500% due 08/01/2027 |
210 | 219 | ||
iHeartCommunications, Inc. | ||||
6.375% due 05/01/2026 | 2,561 | 2,769 | ||
8.375% due 05/01/2027 | 4,746 | 5,114 | ||
IHO
Verwaltungs GmbH (3.625% Cash or 4.375% PIK) 3.625% due 05/15/2025 (d) |
EUR | 500 | 571 | |
IHO
Verwaltungs GmbH (3.875% Cash or 4.625% PIK) 3.875% due 05/15/2027 (d) |
300 | 337 | ||
IHO
Verwaltungs GmbH (6.000% Cash or 6.750% PIK) 6.000% due 05/15/2027 (d) |
$ | 974 | 1,002 | |
IHO
Verwaltungs GmbH (6.375% Cash or 7.125% PIK) 6.375% due 05/15/2029 (d) |
718 | 739 | ||
Intelsat
Connect Finance S.A. 9.500% due 02/15/2023 |
196 | 183 | ||
Intelsat Jackson Holdings S.A. | ||||
5.500% due 08/01/2023 | 2,220 | 2,087 | ||
8.000% due 02/15/2024 | 156 | 161 | ||
8.500% due 10/15/2024 | 1,828 | 1,846 | ||
9.750% due 07/15/2025 | 517 | 539 | ||
Intelsat Luxembourg S.A. | ||||
7.750% due 06/01/2021 ^ | 20,100 | 19,145 | ||
8.125% due 06/01/2023 (m) | 1,939 | 1,641 | ||
Kinder Morgan, Inc. | ||||
7.750% due 01/15/2032 (m) | 3,100 | 4,245 | ||
7.800% due 08/01/2031 (m) | 6,000 | 8,150 | ||
Live
Nation Entertainment, Inc. 4.750% due 10/15/2027 |
16 | 17 | ||
Mallinckrodt
International Finance S.A. 5.500% due 04/15/2025 (m) |
2,142 | 723 | ||
Micron
Technology, Inc. 5.327% due 02/06/2029 |
330 | 366 | ||
NCR
Corp. 5.750% due 09/01/2027 |
3 | 3 | ||
Netflix, Inc. | ||||
3.625% due 06/15/2030 | EUR | 400 | 447 | |
3.875% due 11/15/2029 | 1,333 | 1,525 | ||
4.625% due 05/15/2029 | 500 | 611 | ||
4.875% due 06/15/2030 | $ | 300 | 304 | |
5.375% due 11/15/2029 | 130 | 137 | ||
Noble
Holding International Ltd. 7.875% due 02/01/2026 |
386 | 257 | ||
Odebrecht Oil & Gas Finance Ltd. | ||||
0.000% due 11/29/2019 (h)(i) | 536 | 6 | ||
0.000% due 12/02/2019 (h)(i) | 744 | 9 | ||
Ortho-Clinical
Diagnostics, Inc. 6.625% due 05/15/2022 |
3,923 | 3,810 | ||
Pacific
Drilling SA 8.375% due 10/01/2023 |
683 | 548 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) | October 31, 2019 (Unaudited) |
Pan
American Energy LLC 57.343% (BADLARPP) due 11/20/2020 «~(a) |
ARS | 57,610 | 653 | |
Par
Pharmaceutical, Inc. 7.500% due 04/01/2027 |
$ | 258 | 246 | |
Pelabuhan
Indonesia Persero PT 4.500% due 05/02/2023 |
200 | 212 | ||
Petroleos Mexicanos | ||||
2.750% due 04/21/2027 | EUR | 400 | 416 | |
4.750% due 02/26/2029 | 3,519 | 4,090 | ||
4.875% due 02/21/2028 (m) | 7,947 | 9,370 | ||
5.350% due 02/12/2028 | $ | 1,406 | 1,392 | |
6.490% due 01/23/2027 | 160 | 171 | ||
6.500% due 03/13/2027 (m) | 13,470 | 14,312 | ||
6.750% due 09/21/2047 | 90 | 90 | ||
6.840% due 01/23/2030 | 470 | 503 | ||
7.690% due 01/23/2050 | 240 | 262 | ||
PetSmart,
Inc. 5.875% due 06/01/2025 |
167 | 165 | ||
Platin 1426 GmbH | ||||
5.375% due 06/15/2023 (m) | EUR | 3,000 | 3,169 | |
6.875% due 06/15/2023 | 900 | 971 | ||
Prime
Security Services Borrower LLC 9.250% due 05/15/2023 |
$ | 926 | 976 | |
QVC, Inc. | ||||
5.450% due 08/15/2034 | 1,257 | 1,268 | ||
5.950% due 03/15/2043 | 6,390 | 6,403 | ||
Radiate
Holdco LLC 6.875% due 02/15/2023 |
114 | 117 | ||
Refinitiv
U.S. Holdings, Inc. 4.500% due 05/15/2026 |
EUR | 400 | 485 | |
Russian
Railways via RZD Capital PLC 7.487% due 03/25/2031 |
GBP | 1,500 | 2,604 | |
Sands China Ltd. | ||||
4.600% due 08/08/2023 | $ | 400 | 424 | |
5.125% due 08/08/2025 | 400 | 442 | ||
5.400% due 08/08/2028 (m) | 5,000 | 5,669 | ||
Scotts
Miracle-Gro Co. 4.500% due 10/15/2029 |
13 | 13 | ||
Sensata
Technologies, Inc. 4.375% due 02/15/2030 |
64 | 65 | ||
SoftBank
Group Corp. 4.000% due 04/20/2023 |
EUR | 2,760 | 3,293 | |
Spanish
Broadcasting System, Inc. 12.500% due 04/15/2049 ^(e) |
$ | 999 | 1,037 | |
Spirit
Issuer PLC 3.458% (BP0003M + 2.700%) due 12/28/2031 ~ |
GBP | 1,855 | 2,370 | |
Staples,
Inc. 7.500% due 04/15/2026 |
$ | 139 | 145 | |
Syngenta Finance NV | ||||
4.892% due 04/24/2025 | 200 | 212 | ||
5.182% due 04/24/2028 | 200 | 212 | ||
Telesat
Canada 6.500% due 10/15/2027 |
94 | 98 | ||
Tenet
Healthcare Corp. 4.625% due 09/01/2024 |
69 | 71 | ||
Teva
Pharmaceutical Finance BV 3.650% due 11/10/2021 (m) |
2,220 | 2,140 | ||
Teva
Pharmaceutical Finance Co. BV 2.950% due 12/18/2022 |
2,369 | 2,165 | ||
Teva Pharmaceutical Finance Netherlands BV | ||||
0.375% due 07/25/2020 | EUR | 6,766 | 7,435 | |
2.200% due 07/21/2021 | $ | 3,410 | 3,246 | |
2.800% due 07/21/2023 | 3,710 | 3,218 | ||
3.250% due 04/15/2022 (m) | EUR | 700 | 774 | |
Topaz Solar Farms LLC | ||||
4.875% due 09/30/2039 | $ | 3,473 | 3,657 | |
5.750% due 09/30/2039 | 9,750 | 10,926 | ||
TransDigm,
Inc. 5.500% due 11/15/2027 (c) |
236 | 236 | ||
Transocean
Pontus Ltd. 6.125% due 08/01/2025 |
267 | 268 | ||
Transocean,
Inc. 7.250% due 11/01/2025 |
216 | 192 | ||
Trident
TPI Holdings, Inc. 9.250% due 08/01/2024 |
89 | 87 | ||
Triumph Group, Inc. | ||||
5.250% due 06/01/2022 | 51 | 50 | ||
6.250% due 09/15/2024 | 152 | 160 | ||
Trivium Packaging Finance BV | ||||
5.500% due 08/15/2026 | 260 | 273 | ||
8.500% due 08/15/2027 | 200 | 213 | ||
Unigel
Luxembourg S.A. 8.750% due 10/01/2026 |
600 | 604 | ||
United Group BV | ||||
4.375% due 07/01/2022 | EUR | 6,700 | 7,632 | |
4.875% due 07/01/2024 | 200 | 231 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) | October 31, 2019 (Unaudited) |
United
Rentals North America, Inc. 3.875% due 11/15/2027 (c) |
$ | 54 | 55 | |
Univision
Communications, Inc. 5.125% due 02/15/2025 |
100 | 98 | ||
Valaris PLC | ||||
5.750% due 10/01/2044 | 74 | 30 | ||
7.750% due 02/01/2026 | 24 | 13 | ||
Vale Overseas Ltd. | ||||
6.250% due 08/10/2026 | 579 | 676 | ||
6.875% due 11/21/2036 | 320 | 407 | ||
6.875% due 11/10/2039 | 90 | 116 | ||
Vale
S.A. 3.750% due 01/10/2023 |
EUR | 100 | 121 | |
ViaSat, Inc. | ||||
5.625% due 09/15/2025 | $ | 178 | 181 | |
5.625% due 04/15/2027 | 44 | 46 | ||
Virgin
Media Secured Finance PLC 5.000% due 04/15/2027 |
GBP | 768 | 1,051 | |
Wyndham Destinations, Inc. | ||||
3.900% due 03/01/2023 | $ | 155 | 156 | |
5.400% due 04/01/2024 | 20 | 21 | ||
5.750% due 04/01/2027 | 1,535 | 1,679 | ||
YPF
S.A. 58.488% (BADLARPP + 4.000%) due 09/24/2020 «~(a) |
ARS | 11,480 | 136 | |
330,065 | ||||
UTILITIES 8.7% | ||||
DTEK
Finance PLC (10.750% Cash and 0.000% PIK) 10.750% due 12/31/2024 (d) |
$ | 3,986 | 4,072 | |
Edison International | ||||
2.400% due 09/15/2022 | 126 | 123 | ||
2.950% due 03/15/2023 | 11 | 11 | ||
5.750% due 06/15/2027 | 121 | 132 | ||
Frontier
Communications Corp. 8.000% due 04/01/2027 |
226 | 238 | ||
Mountain
States Telephone & Telegraph Co. 7.375% due 05/01/2030 |
13,722 | 14,786 | ||
Odebrecht
Drilling Norbe Ltd. 6.350% due 12/01/2021 ^ |
395 | 394 | ||
Odebrecht
Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) 7.350% due 12/01/2026 ^(d) |
312 | 186 | ||
Odebrecht
Offshore Drilling Finance Ltd. 6.720% due 12/01/2022 ^ |
6,454 | 6,358 | ||
Odebrecht
Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) 7.720% due 12/01/2026 ^(d) |
7,823 | 2,034 | ||
Pacific Gas & Electric Co. | ||||
2.450% due 08/15/2022 ^(e) | 766 | 714 | ||
2.950% due 03/01/2026 ^(e) | 1,422 | 1,330 | ||
3.250% due 09/15/2021 ^(e) | 180 | 170 | ||
3.250% due 06/15/2023 ^(e) | 3,084 | 2,891 | ||
3.300% due 03/15/2027 ^(e) | 4,507 | 4,237 | ||
3.300% due 12/01/2027 ^(e) | 2,610 | 2,463 | ||
3.400% due 08/15/2024 ^(e) | 710 | 675 | ||
3.500% due 06/15/2025 ^(e) | 1,489 | 1,418 | ||
3.750% due 02/15/2024 ^(e) | 443 | 421 | ||
3.750% due 08/15/2042 ^(e) | 46 | 42 | ||
3.850% due 11/15/2023 ^(e) | 717 | 679 | ||
4.000% due 12/01/2046 ^(e) | 6 | 6 | ||
4.250% due 05/15/2021 ^(e) | 1,909 | 1,823 | ||
4.250% due 08/01/2023 ^(e) | 2,596 | 2,466 | ||
4.300% due 03/15/2045 ^(e) | 57 | 53 | ||
4.500% due 12/15/2041 ^(e) | 65 | 60 | ||
4.600% due 06/15/2043 ^(e) | 36 | 34 | ||
4.650% due 08/01/2028 ^(e) | 1,989 | 1,929 | ||
4.750% due 02/15/2044 ^(e) | 1,650 | 1,596 | ||
5.125% due 11/15/2043 ^(e) | 2,822 | 2,736 | ||
5.400% due 01/15/2040 ^(e) | 36 | 36 | ||
5.800% due 03/01/2037 ^(e) | 8,363 | 8,384 | ||
6.050% due 03/01/2034 ^(e) | 4,549 | 4,583 | ||
6.250% due 03/01/2039 ^(e) | 1,376 | 1,407 | ||
6.350% due 02/15/2038 ^(e) | 1,751 | 1,790 | ||
Petrobras Global Finance BV | ||||
5.093% due 01/15/2030 | 1,320 | 1,402 | ||
6.250% due 12/14/2026 (m) | GBP | 4,976 | 7,646 | |
6.625% due 01/16/2034 | 800 | 1,237 | ||
Plains
All American Pipeline LP 6.650% due 01/15/2037 |
$ | 150 | 173 | |
Rio Oil Finance Trust | ||||
8.200% due 04/06/2028 | 4,060 | 4,659 | ||
9.250% due 07/06/2024 | 3,801 | 4,248 | ||
9.250% due 07/06/2024 (m) | 3,616 | 4,041 | ||
9.750% due 01/06/2027 | 519 | 607 | ||
Southern California Edison Co. | ||||
3.650% due 03/01/2028 | 11 | 12 | ||
5.750% due 04/01/2035 | 22 | 26 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) | October 31, 2019 (Unaudited) |
6.000% due 01/15/2034 | 4 | 5 | ||
6.650% due 04/01/2029 | 82 | 96 | ||
Sprint
Communications, Inc. 6.000% due 11/15/2022 |
442 | 469 | ||
Sprint Corp. | ||||
7.125% due 06/15/2024 | 382 | 415 | ||
7.250% due 09/15/2021 | 801 | 857 | ||
7.625% due 03/01/2026 | 2,182 | 2,419 | ||
7.875% due 09/15/2023 | 9,715 | 10,747 | ||
Talen
Energy Supply LLC 6.625% due 01/15/2028 |
64 | 62 | ||
Transocean
Phoenix Ltd. 7.750% due 10/15/2024 |
2,037 | 2,124 | ||
Transocean
Poseidon Ltd. 6.875% due 02/01/2027 |
238 | 241 | ||
Transocean
Proteus Ltd. 6.250% due 12/01/2024 |
300 | 302 | ||
Transocean
Sentry Ltd. 5.375% due 05/15/2023 |
100 | 99 | ||
112,164 | ||||
Total Corporate Bonds & Notes (Cost $731,534) | 763,592 | |||
CONVERTIBLE BONDS & NOTES 0.6% | ||||
INDUSTRIALS 0.6% | ||||
Caesars
Entertainment Corp. 5.000% due 10/01/2024 |
1,050 | 1,861 | ||
DISH
Network Corp. 3.375% due 08/15/2026 |
5,900 | 5,531 | ||
7,392 | ||||
UTILITIES 0.0% | ||||
Ensco
Jersey Finance Ltd. 3.000% due 01/31/2024 |
100 | 65 | ||
Total Convertible Bonds & Notes (Cost $7,926) | 7,457 | |||
MUNICIPAL BONDS & NOTES 4.0% | ||||
CALIFORNIA 0.3% | ||||
Riverside
County, California Redevelopment Successor Agency Tax Allocation Bonds, Series 2010 7.500% due 10/01/2030 |
3,425 | 3,602 | ||
ILLINOIS 2.4% | ||||
Chicago,
Illinois General Obligation Bonds, (BABs), Series 2010 7.517% due 01/01/2040 |
23,700 | 28,745 | ||
Chicago, Illinois General Obligation Bonds, Series 2015 | ||||
7.375% due 01/01/2033 | 100 | 119 | ||
7.750% due 01/01/2042 | 51 | 58 | ||
Chicago,
Illinois General Obligation Bonds, Series 2017 7.045% due 01/01/2029 |
200 | 222 | ||
Illinois State General Obligation Bonds, (BABs), Series 2010 | ||||
6.725% due 04/01/2035 | 60 | 70 | ||
7.350% due 07/01/2035 | 40 | 49 | ||
Illinois
State General Obligation Bonds, Series 2003 5.100% due 06/01/2033 |
1,035 | 1,120 | ||
30,383 | ||||
IOWA 0.0% | ||||
Iowa
Tobacco Settlement Authority Revenue Bonds, Series 2005 6.500% due 06/01/2023 |
445 | 451 | ||
TEXAS 0.1% | ||||
Texas
Public Finance Authority Revenue Notes, Series 2014 8.250% due 07/01/2024 |
1,865 | 1,881 | ||
VIRGINIA 0.1% | ||||
Tobacco
Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 6.706% due 06/01/2046 |
1,360 | 1,315 | ||
WEST VIRGINIA 1.1% | ||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | ||||
0.000% due 06/01/2047 (h) | 78,700 | 3,295 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) | October 31, 2019 (Unaudited) |
7.467% due 06/01/2047 | 10,115 | 10,446 | ||
13,741 | ||||
Total Municipal Bonds & Notes (Cost $46,067) | 51,373 | |||
U.S. GOVERNMENT AGENCIES 3.5% | ||||
Fannie Mae | ||||
3.000% due 01/25/2042 (a) | 790 | 37 | ||
3.500% due 02/25/2033 (a) | 2,123 | 229 | ||
4.277% due 07/25/2040 •(a) | 786 | 55 | ||
5.373% due 07/25/2029 • | 1,490 | 1,561 | ||
7.573% due 07/25/2029 • | 2,010 | 2,365 | ||
Freddie Mac | ||||
0.000% due 02/25/2046 (b)(h) | 12,790 | 11,772 | ||
0.100% due 02/25/2046 (a) | 154,117 | 145 | ||
4.593% due 07/15/2039 (m) | 2,207 | 2,484 | ||
4.599% due 11/25/2055 «~ | 14,278 | 8,674 | ||
5.073% due 02/15/2034 •(a) | 1,762 | 323 | ||
5.546% due 03/15/2044 •(m) | 1,822 | 2,317 | ||
6.583% due 02/15/2036 •(m) | 5,228 | 6,587 | ||
9.373% due 12/25/2027 • | 4,421 | 5,300 | ||
12.573% due 03/25/2025 • | 2,310 | 3,039 | ||
Ginnie Mae | ||||
3.000% due 12/20/2042 (a) | 74 | 2 | ||
3.500% due 09/16/2041 | 564 | 62 | ||
3.500% due 06/20/2042 (a) | 652 | 77 | ||
4.904% due 01/20/2042 •(a) | 1,927 | 330 | ||
Total U.S. Government Agencies (Cost $41,954) | 45,359 | |||
NON-AGENCY MORTGAGE-BACKED SECURITIES 17.0% | ||||
Adjustable Rate Mortgage Trust | ||||
2.163% due 05/25/2036 • | 1,750 | 980 | ||
2.973% due 01/25/2035 • | 4,692 | 4,377 | ||
Banc of America Alternative Loan Trust | ||||
6.000% due 01/25/2036 ^ | 162 | 161 | ||
6.000% due 04/25/2036 ^ | 2,694 | 2,753 | ||
Banc of America Funding Trust | ||||
5.500% due 01/25/2036 | 220 | 197 | ||
6.000% due 07/25/2037 ^ | 538 | 520 | ||
BCAP LLC Trust | ||||
3.390% due 07/26/2037 ~ | 20 | 21 | ||
3.874% due 03/27/2036 ~ | 3,974 | 3,519 | ||
4.866% due 03/26/2037 þ | 1,457 | 1,724 | ||
7.000% due 12/26/2036 ~ | 4,046 | 3,894 | ||
Bear Stearns ALT-A Trust | ||||
3.828% due 11/25/2036 ^~ | 681 | 571 | ||
3.869% due 08/25/2046 ^~ | 3,955 | 3,883 | ||
3.949% due 08/25/2036 ^~ | 2,832 | 1,918 | ||
4.237% due 09/25/2035 ^~ | 919 | 767 | ||
4.441% due 11/25/2034 ~ | 226 | 227 | ||
Bear
Stearns Commercial Mortgage Securities Trust 5.728% due 04/12/2038 ~ |
370 | 376 | ||
Bear
Stearns Mortgage Funding Trust 7.500% due 08/25/2036 þ |
1,380 | 1,329 | ||
CD
Commercial Mortgage Trust 5.398% due 12/11/2049 ~ |
5 | 3 | ||
CD
Mortgage Trust 5.688% due 10/15/2048 |
12,239 | 6,331 | ||
Chase Mortgage Finance Trust | ||||
4.219% due 12/25/2035 ^~ | 15 | 15 | ||
6.000% due 02/25/2037 ^ | 1,687 | 1,182 | ||
6.000% due 03/25/2037 ^ | 417 | 322 | ||
6.000% due 07/25/2037 ^ | 1,415 | 1,121 | ||
Citigroup
Commercial Mortgage Trust 5.590% due 12/10/2049 ~ |
641 | 418 | ||
Citigroup Mortgage Loan Trust | ||||
4.283% due 11/25/2035 ~ | 17,021 | 13,410 | ||
4.542% due 04/25/2037 ^~ | 2,712 | 2,453 | ||
4.583% due 03/25/2037 ^~ | 634 | 641 | ||
6.000% due 11/25/2036 ~ | 13,130 | 11,003 | ||
CitiMortgage
Alternative Loan Trust 5.750% due 04/25/2037 ^ |
2,289 | 2,245 | ||
Commercial
Mortgage Loan Trust 6.035% due 12/10/2049 ~ |
4,294 | 2,818 | ||
Countrywide
Alternative Loan Resecuritization Trust 6.000% due 08/25/2037 ^~ |
1,914 | 1,497 | ||
Countrywide Alternative Loan Trust | ||||
2.056% due 03/20/2046 • | 4,673 | 4,383 | ||
2.363% due 08/25/2035 • | 307 | 207 | ||
3.427% due 04/25/2037 ^•(a) | 20,167 | 4,248 | ||
3.990% due 06/25/2037 ^~ | 2,565 | 2,461 | ||
5.250% due 05/25/2021 ^ | 9 | 9 | ||
5.500% due 03/25/2035 | 533 | 388 | ||
5.500% due 09/25/2035 ^ | 4,585 | 4,210 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) | October 31, 2019 (Unaudited) |
5.750% due 01/25/2035 | 476 | 490 | ||
5.750% due 02/25/2035 | 596 | 574 | ||
6.000% due 02/25/2035 | 694 | 673 | ||
6.000% due 04/25/2036 | 1,619 | 1,111 | ||
6.000% due 05/25/2036 ^ | 1,876 | 1,439 | ||
6.000% due 02/25/2037 ^ | 664 | 414 | ||
6.000% due 02/25/2037 | 2,174 | 1,795 | ||
6.000% due 04/25/2037 ^ | 6,063 | 4,265 | ||
6.000% due 08/25/2037 ^• | 9,057 | 7,396 | ||
6.250% due 10/25/2036 ^ | 2,385 | 2,017 | ||
6.250% due 12/25/2036 ^• | 3,276 | 2,325 | ||
6.500% due 08/25/2036 ^ | 825 | 502 | ||
6.500% due 09/25/2036 ^ | 407 | 326 | ||
14.950% due 02/25/2036 • | 1,576 | 2,161 | ||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||
5.500% due 07/25/2037 ^ | 657 | 520 | ||
6.000% due 04/25/2036 ^ | 373 | 322 | ||
Credit
Suisse Mortgage Capital Mortgage-Backed Trust 5.750% due 04/25/2036 ^ |
1,377 | 1,059 | ||
Eurosail PLC | ||||
2.135% due 06/13/2045 • | GBP | 4,487 | 4,413 | |
4.785% due 06/13/2045 • | 1,394 | 1,566 | ||
GS
Mortgage Securities Corp. Trust 4.591% due 10/10/2032 ~ |
$ | 9,600 | 9,466 | |
GS
Mortgage Securities Trust 5.622% due 11/10/2039 |
1,158 | 1,004 | ||
GSR Mortgage Loan Trust | ||||
4.202% due 11/25/2035 ^~ | 1,311 | 1,290 | ||
4.216% due 03/25/2037 ^~ | 2,435 | 2,172 | ||
5.500% due 05/25/2036 ^ | 141 | 237 | ||
HomeBanc
Mortgage Trust 2.623% due 03/25/2035 • |
179 | 167 | ||
IndyMac
Mortgage Loan Trust 6.500% due 07/25/2037 ^ |
6,597 | 3,877 | ||
JPMorgan
Alternative Loan Trust 3.785% due 03/25/2037 ~ |
7,324 | 7,237 | ||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||
5.411% due 05/15/2047 | 2,023 | 2,394 | ||
5.623% due 05/12/2045 | 1,134 | 468 | ||
JPMorgan Mortgage Trust | ||||
4.099% due 10/25/2035 ~ | 38 | 38 | ||
4.236% due 02/25/2036 ^~ | 1,427 | 1,189 | ||
4.288% due 01/25/2037 ^~ | 936 | 905 | ||
4.438% due 06/25/2036 ^~ | 795 | 716 | ||
LB-UBS
Commercial Mortgage Trust 5.407% due 11/15/2038 ^ |
5,793 | 4,138 | ||
Lehman
Mortgage Trust 6.000% due 07/25/2037 ^ |
186 | 175 | ||
Lehman
XS Trust 2.043% due 06/25/2047 • |
2,885 | 2,657 | ||
MASTR
Alternative Loan Trust 6.750% due 07/25/2036 |
3,364 | 2,210 | ||
Merrill
Lynch Mortgage Investors Trust 4.301% due 03/25/2036 ^~ |
3,128 | 2,269 | ||
Motel
6 Trust 8.848% due 08/15/2024 • |
12,944 | 13,178 | ||
RBSSP Resecuritization Trust | ||||
2.043% due 10/27/2036 • | 3,609 | 735 | ||
2.258% due 08/27/2037 • | 8,000 | 3,570 | ||
Residential Accredit Loans, Inc. Trust | ||||
2.013% due 08/25/2036 ^• | 858 | 814 | ||
2.053% due 05/25/2037 ^• | 252 | 182 | ||
6.000% due 08/25/2036 ^ | 601 | 586 | ||
6.000% due 05/25/2037 ^ | 1,966 | 1,913 | ||
Residential Asset Securitization Trust | ||||
5.750% due 02/25/2036 ^ | 391 | 272 | ||
6.000% due 02/25/2037 ^ | 1,858 | 1,330 | ||
6.250% due 09/25/2037 ^ | 4,887 | 2,947 | ||
Residential
Funding Mortgage Securities, Inc. Trust 4.628% due 02/25/2037 ~ |
2,518 | 2,135 | ||
Structured Adjustable Rate Mortgage Loan Trust | ||||
4.225% due 11/25/2036 ^~ | 3,802 | 3,627 | ||
4.239% due 07/25/2035 ^~ | 1,738 | 1,652 | ||
4.246% due 01/25/2036 ^~ | 6,291 | 4,734 | ||
Structured
Asset Mortgage Investments Trust 1.943% due 08/25/2036 • |
174 | 161 | ||
SunTrust Adjustable Rate Mortgage Loan Trust | ||||
4.650% due 02/25/2037 ^~ | 484 | 463 | ||
4.660% due 04/25/2037 ^~ | 492 | 415 | ||
4.758% due 02/25/2037 ^~ | 5,811 | 5,663 | ||
WaMu Mortgage Pass-Through Certificates Trust | ||||
3.600% due 07/25/2037 ^~ | 687 | 633 | ||
3.679% due 10/25/2036 ^~ | 1,459 | 1,368 | ||
3.969% due 02/25/2037 ^~ | 1,027 | 993 | ||
3.994% due 07/25/2037 ^~ | 1,678 | 1,602 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) |
October 31, 2019 (Unaudited) |
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||
3.230% due 05/25/2047 ^• | 190 | 32 | ||
6.000% due 10/25/2035 ^ | 1,522 | 1,251 | ||
6.000% due 03/25/2036 ^ | 1,971 | 2,054 | ||
6.000% due 02/25/2037 | 4,491 | 4,116 | ||
Total Non-Agency Mortgage-Backed Securities (Cost $200,679) | 218,985 | |||
ASSET-BACKED SECURITIES 20.1% | ||||
Adagio CLO DAC 0.000% due 04/30/2031 ~ |
EUR | 1,800 | 1,473 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed
Pass-Through Certificates 3.173% due 03/25/2033 • |
$ | 66 | 67 | |
Apidos CLO 0.000% due 01/20/2031 ~ |
8,800 | 6,377 | ||
Bear Stearns Asset-Backed Securities Trust
2.223% due 04/25/2037 • |
13,950 | 11,335 | ||
Belle Haven ABS CDO Ltd. 2.539% due 07/05/2046 • |
324,260 | 486 | ||
BlueMountain CLO Ltd. 7.451% due 04/13/2027 • |
1,000 | 983 | ||
Carlyle Global Market Strategies CLO Ltd.
0.000% due 04/17/2031 ~ |
6,000 | 3,701 | ||
Chrysler Capital Auto Receivables Trust
0.000% due 01/16/2023 «(h) |
14 | 6,845 | ||
CIFC Funding Ltd. | ||||
0.000% due 04/24/2030 ~ | 4,100 | 1,812 | ||
0.000% due 10/22/2031 ~ | 3,000 | 1,371 | ||
Citigroup Mortgage Loan Trust | ||||
1.983% due 12/25/2036 • | 6,346 | 4,410 | ||
2.223% due 11/25/2046 • | 6,076 | 5,997 | ||
Cork Street CLO Designated Activity Co.
0.000% due 11/27/2028 ~ |
EUR | 2,667 | 2,759 | |
Countrywide Asset-Backed Certificates | ||||
1.993% due 03/25/2037 • | $ | 2,207 | 2,077 | |
2.023% due 06/25/2047 ^• | 15,325 | 13,687 | ||
2.133% due 09/25/2037 ^• | 17,861 | 14,026 | ||
4.298% due 08/25/2033 • | 307 | 306 | ||
Credit-Based Asset Servicing & Securitization
LLC 3.595% due 12/25/2035 ^þ |
25 | 25 | ||
Dryden CLO Ltd. 0.000% due 07/17/2031 ~ |
14,311 | 11,195 | ||
First Franklin Mortgage Loan Trust 1.983% due 10/25/2036 • |
4,471 | 3,526 | ||
Flagship Credit Auto Trust 0.000% due 05/15/2025 «(h) |
16 | 2,009 | ||
Fremont Home Loan Trust | ||||
1.973% due 01/25/2037 • | 6,567 | 3,832 | ||
2.143% due 02/25/2036 • | 12,433 | 8,005 | ||
Glacier Funding CDO Ltd. 2.557% due 08/04/2035 • |
7,822 | 1,903 | ||
Grosvenor Place CLO BV 0.000% due 04/30/2029 ~ |
EUR | 750 | 531 | |
Home Equity Mortgage Loan Asset-Backed Trust
1.983% due 07/25/2037 • |
$ | 3,184 | 2,172 | |
Hyundai Auto Receivables Trust 1.000% due 12/15/2022 « |
7,010 | 5,457 | ||
JPMorgan Mortgage Acquisition Trust 5.830% due 07/25/2036 ^þ |
125 | 63 | ||
Lehman XS Trust 6.290% due 06/24/2046 þ |
2,435 | 2,434 | ||
LNR CDO Ltd. 2.759% due 02/28/2043 • |
5,432 | 1,719 | ||
Long Beach Mortgage Loan Trust 2.123% due 01/25/2036 • |
6,688 | 6,367 | ||
Marlette Funding Trust 0.000% due 09/17/2029 «(h) |
15 | 6,214 | ||
Merrill Lynch Mortgage Investors Trust
5.895% due 03/25/2037 þ |
6,890 | 1,891 | ||
Morgan Stanley ABS Capital, Inc. Trust
1.973% due 10/25/2036 • |
7,394 | 4,851 | ||
Morgan Stanley Mortgage Loan Trust 6.250% due 02/25/2037 ^~ |
1,167 | 812 | ||
N-Star REL CDO Ltd. 2.940% due 02/01/2041 • |
1,100 | 1,041 | ||
Park Place Securities, Inc. Asset-Backed Pass-Through
Certificates 2.798% due 07/25/2035 • |
6,000 | 5,842 | ||
Renaissance Home Equity Loan Trust | ||||
5.612% due 04/25/2037 þ | 11,508 | 5,225 | ||
7.238% due 09/25/2037 ^þ | 9,117 | 5,330 | ||
Residential Asset Securities Corp. Trust
2.403% due 08/25/2034 • |
7,879 | 7,138 | ||
Securitized Asset-Backed Receivables LLC Trust
2.103% due 03/25/2036 • |
10,833 | 8,635 | ||
SLM Student Loan EDC Repackaging Trust
0.000% due 10/28/2029 «(h) |
8 | 8,586 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) |
October 31, 2019 (Unaudited) |
SLM Student Loan Trust 0.000% due 01/25/2042 (h) |
7 | 4,528 | ||
SMB Private Education Loan Trust | ||||
0.000% due 09/18/2046 «(h) | 3 | 2,246 | ||
0.000% due 10/15/2048 «(h) | 3 | 2,671 | ||
SoFi Consumer Loan Program LLC 0.000% due 11/25/2026 «(h) |
96 | 5,204 | ||
SoFi Professional Loan Program LLC | ||||
0.000% due 05/25/2040 (h) | 7,500 | 2,799 | ||
0.000% due 07/25/2040 «(h) | 38 | 1,676 | ||
0.000% due 09/25/2040 (h) | 3,226 | 1,705 | ||
South Coast Funding Ltd. 2.781% due 08/10/2038 • |
19,874 | 3,689 | ||
Symphony CLO Ltd. | ||||
6.601% due 07/14/2026 • | 3,600 | 3,379 | ||
6.901% due 10/15/2025 • | 1,400 | 1,349 | ||
Taberna Preferred Funding Ltd. | ||||
2.647% due 12/05/2036 • | 11,256 | 9,905 | ||
2.667% due 08/05/2036 • | 537 | 478 | ||
2.667% due 08/05/2036 ^• | 10,405 | 9,260 | ||
2.687% due 02/05/2036 • | 5,170 | 4,653 | ||
Tropic CDO Ltd. 2.901% due 04/15/2034 • |
25,000 | 22,562 | ||
Total Asset-Backed Securities (Cost $262,053) | 258,619 | |||
SOVEREIGN ISSUES 4.9% | ||||
Argentina Government International Bond | ||||
2.500% due 07/22/2021 | ARS | 10,500 | 129 | |
3.375% due 01/15/2023 | EUR | 300 | 129 | |
3.380% due 12/31/2038 þ | 7,755 | 3,412 | ||
3.875% due 01/15/2022 | 300 | 133 | ||
4.000% due 03/06/2020 | ARS | 192,692 | 871 | |
5.250% due 01/15/2028 | EUR | 200 | 85 | |
6.250% due 11/09/2047 | 100 | 43 | ||
7.820% due 12/31/2033 | 19,140 | 10,321 | ||
15.500% due 10/17/2026 | ARS | 60,700 | 291 | |
57.071% (BADLARPP + 2.000%) due 04/03/2022 ~(a) | 121,504 | 622 | ||
59.928% (BADLARPP) due 10/04/2022 ~(a) | 116 | 1 | ||
60.576% (BADLARPP + 3.250%) due 03/01/2020 ~(a) | 2,400 | 16 | ||
72.477% (ARLLMONP) due 06/21/2020 ~(a) | 314,440 | 1,708 | ||
Autonomous City of Buenos Aires Argentina
58.422% due 03/29/2024 •(a) |
191,280 | 1,586 | ||
Autonomous Community of Catalonia | ||||
4.900% due 09/15/2021 | EUR | 2,650 | 3,195 | |
4.950% due 02/11/2020 | 50 | 57 | ||
Export-Credit Bank of Turkey 8.250% due 01/24/2024 |
$ | 200 | 214 | |
Ghana Government International Bond 10.750% due 10/14/2030 |
800 | 1,012 | ||
Peru Government International Bond | ||||
5.400% due 08/12/2034 | PEN | 26 | 8 | |
5.700% due 08/12/2024 | 209 | 70 | ||
5.940% due 02/12/2029 | 7,574 | 2,558 | ||
6.150% due 08/12/2032 | 806 | 276 | ||
6.350% due 08/12/2028 | 11,063 | 3,829 | ||
6.900% due 08/12/2037 | 118 | 43 | ||
6.950% due 08/12/2031 | 1,725 | 626 | ||
8.200% due 08/12/2026 | 9,093 | 3,431 | ||
Provincia de Buenos Aires 58.086% (BADLARPP + 3.750%) due 04/12/2025 ~(a) |
ARS | 862,385 | 3,637 | |
Republic of South Africa Government International Bond | ||||
4.850% due 09/30/2029 (m) | $ | 2,400 | 2,383 | |
5.750% due 09/30/2049 (m) | 2,600 | 2,522 | ||
Turkey Government International Bond | ||||
3.250% due 06/14/2025 | EUR | 200 | 217 | |
4.625% due 03/31/2025 | 3,600 | 4,154 | ||
5.200% due 02/16/2026 | 1,200 | 1,408 | ||
7.625% due 04/26/2029 | $ | 4,000 | 4,300 | |
Ukraine Government International Bond 7.750% due 09/01/2022 (m) |
9,800 | 10,471 | ||
Venezuela Government International Bond | ||||
6.000% due 12/09/2020 ^(e) | 490 | 53 | ||
8.250% due 10/13/2024 ^(e) | 70 | 8 | ||
9.250% due 09/15/2027 ^(e) | 598 | 65 | ||
Total Sovereign Issues (Cost $108,905) | 63,884 | |||
SHARES | ||||
COMMON STOCKS 1.0% | ||||
COMMUNICATION SERVICES 0.3% | ||||
Clear Channel Outdoor Holdings, Inc. (f) | 1,167,686 | 2,721 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) |
October 31, 2019 (Unaudited) |
iHeartMedia, Inc. (f) | 872 | 12 | ||
iHeartMedia, Inc. 'A' (f) | 64,921 | 931 | ||
3,664 | ||||
CONSUMER DISCRETIONARY 0.7% | ||||
Caesars Entertainment Corp. (f) | 754,964 | 9,271 | ||
ENERGY 0.0% | ||||
Forbes Energy Services Ltd. (f)(k) | 64,837 | 20 | ||
INDUSTRIALS 0.0% | ||||
Westmoreland Mining Holdings LLC «(f)(k) | 45,070 | 563 | ||
Total Common Stocks (Cost $19,008) | 13,518 | |||
WARRANTS 0.6% | ||||
COMMUNICATION SERVICES 0.5% | ||||
iHeartMedia, Inc. | 422,815 | 6,063 | ||
INDUSTRIALS 0.1% | ||||
Sequa Corp. - Exp. 04/28/2024 « | 1,355,000 | 1,636 | ||
Total Warrants (Cost $8,503) | 7,699 | |||
PREFERRED SECURITIES 4.5% | ||||
BANKING & FINANCE 1.9% | ||||
Nationwide Building Society 10.250% ~ |
119,250 | 25,102 | ||
INDUSTRIALS 2.6% | ||||
Sequa Corp. (12.000% PIK) 12.000% «(d) |
31,553 | 32,894 | ||
Total Preferred Securities (Cost $50,379) | 57,996 | |||
REAL ESTATE INVESTMENT TRUSTS 1.6% | ||||
REAL ESTATE 1.6% | ||||
VICI Properties, Inc. | 858,541 | 20,219 | ||
Total Real Estate Investment Trusts (Cost $10,754) | 20,219 | |||
SHORT-TERM INSTRUMENTS 8.2% | ||||
REPURCHASE AGREEMENTS (l) 6.3% | 80,623 | |||
PRINCIPAL AMOUNT (000s) |
||||
ARGENTINA TREASURY BILLS 0.1% | ||||
(1.278)% due 04/28/2020 - 08/27/2020 (g)(h) | ARS | 82,622 | 695 | |
U.S. TREASURY BILLS 1.8% | ||||
1.842% due 11/21/2019 - 01/16/2020 (c)(g)(h)(o)(q) | $ | 23,651 | 23,596 | |
Total Short-Term Instruments (Cost $106,512) | 104,914 | |||
Total Investments in Securities (Cost $1,788,842) | 1,793,648 | |||
Total Investments 139.2% (Cost $1,788,842) | $ | 1,793,648 | ||
Financial Derivative Instruments (n)(p) (0.5)%(Cost or Premiums, net $(35,886)) | (5,797) | |||
Auction Rate Preferred Shares (16.5)% | (212,650) | |||
Other Assets and Liabilities, net (22.2)% | (286,215) | |||
Net Assets Applicable to Common Shareholders 100.0% | $ | 1,288,986 |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) |
October 31, 2019 (Unaudited) |
NOTES TO SCHEDULE OF INVESTMENTS: | |
* A zero balance may reflect actual amounts rounding to less than one thousand. | |
¤ | The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure. |
^ | 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. |
~ | 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) | Interest only security. |
(b) | Principal only security. |
(c) | When-issued security. |
(d) | Payment in-kind security. |
(e) | Security is not accruing income as of the date of this report. |
(f) | Security did not produce income within the last twelve months. |
(g) | Coupon represents a weighted average yield to maturity. |
(h) | Zero coupon security. |
(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) | Contingent convertible security. |
(k) | RESTRICTED SECURITIES: |
Issuer Description | Acquisition Date |
Cost | Market Value |
Market
Value | |||
Forbes Energy Services Ltd. | 10/09/2014 - 11/18/2016 | $ | 2,472 | $ | 20 | 0.00 | % |
Westmoreland Mining Holdings LLC | 07/29/2015 - 03/26/2019 | 1,172 | 563 | 0.04 | |||
$ | 3,644 | $ | 583 | 0.04 | % |
BORROWINGS AND OTHER FINANCING TRANSACTIONS | |
(l) | REPURCHASE AGREEMENTS: |
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
|||||
BPG | 1.820% | 10/31/2019 | 11/01/2019 | $ | 4,700 | U.S. Treasury Notes 2.250% due 11/15/2027 | $ | (4,813) | $ | 4,700 | $ | 4,700 | |
FICC | 1.250 | 10/31/2019 | 11/01/2019 | 8,923 | U.S. Treasury Notes 2.000% due 12/31/2021 | (9,106) | 8,923 | 8,923 | |||||
MBC | 1.880 | 10/31/2019 | 11/01/2019 | 33,500 | U.S. Treasury Notes 2.875% due 04/30/2025 | (34,649) | 33,500 | 33,502 | |||||
RDR | 1.820 | 10/31/2019 | 11/01/2019 | 33,500 | U.S. Treasury Notes 1.875% due 06/30/2026 | (34,307) | 33,500 | 33,502 | |||||
Total Repurchase Agreements | $ | (82,875) | $ | 80,623 | $ | 80,627 |
REVERSE REPURCHASE AGREEMENTS: | |||||||
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) |
Payable
for Reverse Repurchase Agreements | ||
BCY | 2.250% | 10/07/2019 | TBD(3) | $ | (4,010) | $ | (4,016) |
BOS | 2.140 | 10/10/2019 | 11/13/2019 | (11,405) | (11,420) | ||
BPS | (0.180) | 08/14/2019 | 11/14/2019 | EUR | (1,166) | (1,300) | |
2.500 | 10/17/2019 | 11/18/2019 | $ | (3,576) | (3,580) | ||
2.730 | 08/13/2019 | 11/13/2019 | (409) | (411) | |||
BRC | (1.150) | 10/28/2019 | TBD(3) | EUR | (2,874) | (3,205) | |
0.250 | 11/01/2019 | TBD(3) | $ | (1,566) | (1,566) |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) |
October 31, 2019 (Unaudited) |
0.500 | 09/23/2019 | TBD(3) | (1,475) | (1,476) | |||
1.600 | 11/01/2019 | TBD(3) | (50) | (50) | |||
1.850 | 09/23/2019 | TBD(3) | (55) | (55) | |||
2.000 | 11/01/2019 | TBD(3) | (4,102) | (4,102) | |||
2.450 | 10/03/2019 | 11/04/2019 | (3,939) | (3,947) | |||
CEW | 2.470 | 10/22/2019 | 01/22/2020 | (20,121) | (20,135) | ||
2.480 | 10/18/2019 | 11/18/2019 | (19,296) | (19,315) | |||
CIW | 2.130 | 10/22/2019 | 11/21/2019 | (16,151) | (16,161) | ||
JML | (0.300) | 10/16/2019 | 01/15/2020 | EUR | (4,303) | (4,799) | |
(0.300) | 10/22/2019 | 01/22/2020 | (566) | (631) | |||
0.150 | 10/15/2019 | 01/10/2020 | (1,736) | (1,936) | |||
0.950 | 10/15/2019 | 01/14/2020 | GBP | (200) | (259) | ||
0.950 | 10/16/2019 | 01/15/2020 | (10,809) | (14,007) | |||
0.950 | 10/17/2019 | 01/16/2020 | (1,792) | (2,322) | |||
0.950 | 10/18/2019 | 01/17/2020 | (363) | (471) | |||
0.950 | 10/23/2019 | 01/23/2020 | (12,181) | (15,783) | |||
1.000 | 10/28/2019 | 01/28/2020 | (8,307) | (10,761) | |||
NOM | 2.500 | 10/04/2019 | 11/04/2019 | $ | (404) | (405) | |
2.550 | 10/04/2019 | 11/04/2019 | (1,775) | (1,778) | |||
2.600 | 10/07/2019 | 11/12/2019 | (1,807) | (1,810) | |||
RDR | 2.150 | 10/22/2019 | 11/21/2019 | (501) | (501) | ||
2.430 | 08/08/2019 | 11/06/2019 | (5,136) | (5,165) | |||
RTA | 2.452 | 10/09/2019 | 01/07/2020 | (24,637) | (24,676) | ||
UBS | (0.150) | 10/10/2019 | 02/10/2020 | EUR | (16,591) | (18,502) | |
1.150 | 10/10/2019 | 02/10/2020 | GBP | (5,207) | (6,750) | ||
2.300 | 10/07/2019 | 11/06/2019 | $ | (5,139) | (5,147) | ||
2.400 | 09/04/2019 | 12/04/2019 | (13,188) | (13,239) | |||
2.400 | 09/10/2019 | 12/10/2019 | (4,111) | (4,125) | |||
2.450 | 10/07/2019 | 11/06/2019 | (5,944) | (5,954) | |||
2.450 | 10/17/2019 | 11/06/2019 | (4,286) | (4,290) | |||
2.500 | 08/13/2019 | 11/13/2019 | (7,913) | (7,957) | |||
2.559 | 09/09/2019 | 11/08/2019 | (3,723) | (3,737) | |||
2.590 | 09/04/2019 | 12/04/2019 | (3,131) | (3,144) | |||
2.630 | 08/13/2019 | 11/13/2019 | (2,041) | (2,053) | |||
2.637 | 08/07/2019 | 11/07/2019 | (10,535) | (10,601) | |||
2.690 | 09/04/2019 | 12/04/2019 | (4,968) | (4,990) | |||
2.710 | 08/14/2019 | 11/14/2019 | (9,261) | (9,316) | |||
Total Reverse Repurchase Agreements | $ | (275,848) |
(m) | Securities with an aggregate market value of $300,466 and cash of $420 have been pledged as collateral under the terms of master agreements as of October 31, 2019. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended October 31, 2019 was $(285,717) at a weighted average interest rate of 1.989%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(n) | FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED |
SWAP AGREEMENTS: |
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1) |
Variation Margin | |||||||||||||||||
Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at October 31, 2019(2) |
Notional Amount(3) |
Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(4) |
Asset | Liability | |||||||
Bombardier, Inc. | 5.000% | Quarterly | 06/20/2024 | 5.803 | % | $ | 4,700 | $ | (9) | $ | (108) | $ | (117) | $ | 21 | $ | 0 |
Bombardier, Inc. | 5.000 | Quarterly | 12/20/2024 | 6.084 | 1,000 | (2) | (36) | (38) | 5 | 0 | |||||||
Frontier Communications Corp. | 5.000 | Quarterly | 06/20/2020 | 157.520 | 17,570 | (724) | (7,507) | (8,231) | 0 | (38) | |||||||
Frontier Communications Corp. | 5.000 | Quarterly | 06/20/2022 | 101.891 | 1,000 | (135) | (372) | (507) | 0 | (1) | |||||||
$ | (870) | $ | (8,023) | $ | (8,893) | $ | 26 | $ | (39) |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1) | |||||||||||||||
Variation Margin | |||||||||||||||
Index/Tranches | Fixed
Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount(3) |
Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(4) |
Asset | Liability | ||||||
CDX.HY-32 5-Year Index | 5.000% | Quarterly | 06/20/2024 | $ | 16,830 | $ | 1,096 | $ | 270 | $ | 1,366 | $ | 0 | $ | (41) |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) |
October 31, 2019 (Unaudited) |
INTEREST RATE SWAPS
Variation Margin | ||||||||||||||||
Pay/ Receive Floating Rate |
Floating Rate Index | Fixed Rate | Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Asset | Liability | ||||||
Receive | 3-Month USD-LIBOR | 3.000% | Semi-Annual | 06/19/2022 | $ | 428,600 | $ | (13,588) | $ | (6,252) | $ | (19,840) | $ | 0 | $ | (1,174) |
Pay | 3-Month USD-LIBOR | 2.750 | Semi-Annual | 06/17/2025 | 8,580 | 541 | 104 | 645 | 56 | 0 | ||||||
Pay | 3-Month USD-LIBOR | 2.250 | Semi-Annual | 06/15/2026 | 44,400 | 2,099 | 207 | 2,306 | 333 | 0 | ||||||
Pay | 3-Month USD-LIBOR | 2.500 | Semi-Annual | 12/20/2027 | 73,900 | 530 | 5,320 | 5,850 | 681 | 0 | ||||||
Pay | 3-Month USD-LIBOR | 3.000 | Semi-Annual | 06/19/2029 | 263,700 | 13,372 | 22,144 | 35,516 | 2,878 | 0 | ||||||
Pay | 3-Month USD-LIBOR | 3.500 | Semi-Annual | 06/19/2044 | 305,100 | (9,953) | 120,117 | 110,164 | 8,004 | 0 | ||||||
Receive(5) | 3-Month USD-LIBOR | 2.250 | Semi-Annual | 12/11/2049 | 20,700 | (83) | (2,153) | (2,236) | 0 | (556) | ||||||
Receive(5) | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 01/15/2050 | 42,900 | (309) | (1,757) | (2,066) | 0 | (1,121) | ||||||
Receive(5) | 3-Month USD-LIBOR | 1.625 | Semi-Annual | 01/16/2050 | 177,200 | 41 | 7,348 | 7,389 | 0 | (4,401) | ||||||
Receive(5) | 3-Month USD-LIBOR | 1.750 | Semi-Annual | 01/22/2050 | 28,200 | (65) | 396 | 331 | 0 | (712) | ||||||
Receive(5) | 3-Month USD-LIBOR | 1.625 | Semi-Annual | 02/03/2050 | 123,200 | (439) | 5,568 | 5,129 | 0 | (3,058) | ||||||
Receive(5) | 3-Month USD-LIBOR | 1.875 | Semi-Annual | 02/07/2050 | 29,300 | (114) | (420) | (534) | 0 | (753) | ||||||
Receive(5) | 3-Month USD-LIBOR | 2.250 | Semi-Annual | 03/12/2050 | 9,800 | (29) | (1,028) | (1,057) | 0 | (264) | ||||||
Pay | 6-Month AUD-BBR-BBSW | 3.500 | Semi-Annual | 06/17/2025 | AUD | 13,400 | 332 | 973 | 1,305 | 4 | 0 | |||||
Receive(5) | 6-Month EUR-EURIBOR | 0.500 | Annual | 12/18/2029 | EUR | 4,100 | (81) | (133) | (214) | 0 | (16) | |||||
Receive(5) | 6-Month EUR-EURIBOR | 0.150 | Annual | 03/18/2030 | $ | 38,000 | 695 | 231 | 926 | 0 | (144) | |||||
Receive(5) | 6-Month GBP-LIBOR | 0.750 | Semi-Annual | 03/18/2030 | GBP | 68,700 | 715 | (18) | 697 | 0 | (835) | |||||
Receive(5) | 6-Month GBP-LIBOR | 0.750 | Semi-Annual | 03/18/2050 | 7,800 | 190 | 294 | 484 | 0 | (286) | ||||||
$ | (6,146) | $ | 150,941 | $ | 144,795 | $ | 11,956 | $ | (13,320) | |||||||
Total Swap Agreements | $ | (5,920) | $ | 143,188 | $ | 137,268 | $ | 11,982 | $ | (13,400) |
(o) | Securities with an aggregate market value of $2,427 and cash of $23,323 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of October 31, 2019. |
(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 referenced indices' 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. |
(p) | FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER |
FORWARD FOREIGN CURRENCY CONTRACTS: |
Unrealized Appreciation/(Depreciation) | |||||||||
Counterparty | Settlement Month |
Currency
to be Delivered |
Currency
to be Received |
Asset | Liability | ||||
BOA | 11/2019 | GBP | 110,443 | $ | 136,268 | $ | 0 | $ | (6,794) |
11/2019 | $ | 1,126 | EUR | 1,028 | 21 | 0 | |||
BPS | 11/2019 | EUR | 427 | $ | 476 | 0 | (1) | ||
11/2019 | $ | 4,975 | EUR | 4,535 | 83 | 0 | |||
11/2019 | 1,518 | GBP | 1,173 | 1 | 0 | ||||
12/2019 | PEN | 6,536 | $ | 1,935 | 0 | (17) | |||
CBK | 11/2019 | EUR | 1,656 | 1,827 | 0 | (20) | |||
11/2019 | GBP | 5,756 | 7,356 | 0 | (100) | ||||
11/2019 | $ | 88,823 | EUR | 80,139 | 556 | 0 | |||
11/2019 | 5,235 | GBP | 4,186 | 187 | 0 | ||||
12/2019 | EUR | 78,070 | $ | 86,694 | 0 | (541) | |||
HUS | 11/2019 | $ | 1,040 | GBP | 806 | 5 | 0 | ||
01/2020 | 10,429 | RUB | 689,379 | 211 | 0 | ||||
02/2020 | 2,054 | ARS | 147,383 | 0 | (198) | ||||
JPM | 01/2020 | 11,841 | MXN | 231,978 | 77 | 0 | |||
SCX | 11/2019 | 141,487 | GBP | 110,034 | 1,045 | 0 | |||
11/2019 | 2,138 | RUB | 140,330 | 48 | 0 | ||||
12/2019 | GBP | 110,034 | $ | 141,621 | 0 | (1,040) | |||
SOG | 12/2019 | $ | 6,237 | RUB | 421,951 | 307 | 0 | ||
TOR | 11/2019 | EUR | 83,619 | $ | 91,661 | 0 | (1,600) | ||
Total Forward Foreign Currency Contracts | $ | 2,541 | $ | (10,311) |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) |
October 31, 2019 (Unaudited) |
SWAP AGREEMENTS: |
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(1) |
Swap Agreements, at Value(4) | |||||||||||||||
Counterparty | Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at October 31, 2019(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | |||||
BPS | Petrobras Global Finance BV | 1.000% | Quarterly | 12/20/2024 | 1.684% | $ | 1,800 | $ | (352) | $ | 295 | $ | 0 | $ | (57) |
BRC | Springleaf Finance Corp. | 5.000 | Quarterly | 12/20/2021 | 0.512 | 2,700 | (40) | 312 | 272 | 0 | |||||
Ukraine Government International Bond | 5.000 | Quarterly | 12/20/2022 | 4.084 | 16,900 | 1,036 | (494) | 542 | 0 | ||||||
DUB | Petroleos Mexicanos | 1.000 | Quarterly | 12/20/2021 | 1.183 | 100 | (9) | 9 | 0 | 0 | |||||
GST | Petrobras Global Finance BV | 1.000 | Quarterly | 09/20/2020 | 0.303 | 20 | (3) | 3 | 0 | 0 | |||||
Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 1.684 | 2,400 | (476) | 399 | 0 | (77) | ||||||
HUS | Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2019 | 0.207 | 500 | (41) | 42 | 1 | 0 | |||||
Petrobras Global Finance BV | 1.000 | Quarterly | 09/20/2020 | 0.303 | 60 | (9) | 10 | 1 | 0 | ||||||
Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 1.684 | 3,000 | (623) | 527 | 0 | (96) | ||||||
JPM | Russia Government International Bond | 1.000 | Quarterly | 12/20/2020 | 0.196 | 1,300 | (149) | 162 | 13 | 0 | |||||
Springleaf Finance Corp. | 5.000 | Quarterly | 06/20/2022 | 0.700 | 6,570 | 620 | 149 | 769 | 0 | ||||||
MYC | Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2019 | 0.207 | 14,500 | (1,342) | 1,375 | 33 | 0 | |||||
UAG | Avolon Holdings Ltd. « | 5.000 | Quarterly | 07/01/2020 | 0.799 | 1,900 | 111 | (49) | 62 | 0 | |||||
$ | (1,277) | $ | 2,740 | $ | 1,693 | $ | (230) |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1) |
Swap Agreements, at Value(4) | ||||||||||||||
Counterparty | Index/Tranches | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | |||||
BRC | ABX.HE.AAA.6-2 Index | 0.110% | Monthly | 05/25/2046 | $ | 50,607 | $ | (10,370) | $ | 6,707 | $ | 0 | $ | (3,663) |
GST | ABX.HE.AA.6-1 Index | 0.320 | Monthly | 07/25/2045 | 19,269 | (915) | (138) | 0 | (1,053) | |||||
ABX.HE.AAA.6-2 Index | 0.110 | Monthly | 05/25/2046 | 3,555 | (736) | 479 | 0 | (257) | ||||||
MEI | ABX.HE.AAA.6-2 Index | 0.110 | Monthly | 05/25/2046 | 48,981 | (9,935) | 6,389 | 0 | (3,546) | |||||
MYC | ABX.HE.AAA.6-2 Index | 0.110 | Monthly | 05/25/2046 | 53,323 | (6,799) | 2,939 | 0 | (3,860) | |||||
$ | (28,755) | $ | 16,376 | $ | 0 | $ | (12,379) |
INTEREST RATE SWAPS |
Swap Agreements, at Value | |||||||||||||||
Counterparty | Pay/ Receive Floating Rate |
Floating Rate Index | Fixed Rate | Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | |||||
DUB | Pay | 3-Month USD-LIBOR | 3.850% | Semi-Annual | 07/13/2022 | $ | 600,000 | $ | 68 | $ | 14,228 | $ | 14,296 | $ | 0 |
TOTAL RETURN SWAPS ON INTEREST RATE INDICES |
Swap Agreements, at Value | ||||||||||||||||
Counterparty | Pay/Receive(5) | Underlying Reference |
# of Units | Financing Rate | Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | |||||
FBF | Receive | iBoxx USD Liquid High Yield Index | N/A | 2.156% (3-Month USD-LIBOR) | Maturity | 12/20/2019 | $ | 800 | $ | (2) | $ | 13 | $ | 11 | $ | 0 |
Total Swap Agreements | $ | (29,966) | $ | 33,357 | $ | 16,000 | $ | (12,609) |
(q) | Securities with an aggregate market value of $19,279 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of October 31, 2019. |
(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 referenced indices' 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. |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) |
October 31, 2019 (Unaudited) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of October 31, 2019 in valuing the Fund's assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 10/31/2019 | |||||
Investments in Securities, at Value | |||||||||
Loan Participations and Assignments | $ | 0 | $ | 169,587 | $ | 10,446 | $ | 180,033 | |
Corporate Bonds & Notes | |||||||||
Banking & Finance | 0 | 321,363 | 0 | 321,363 | |||||
Industrials | 0 | 329,276 | 789 | 330,065 | |||||
Utilities | 0 | 112,164 | 0 | 112,164 | |||||
Convertible Bonds & Notes | |||||||||
Industrials | 0 | 7,392 | 0 | 7,392 | |||||
Utilities | 0 | 65 | 0 | 65 | |||||
Municipal Bonds & Notes | |||||||||
California | 0 | 3,602 | 0 | 3,602 | |||||
Illinois | 0 | 30,383 | 0 | 30,383 | |||||
Iowa | 0 | 451 | 0 | 451 | |||||
Texas | 0 | 1,881 | 0 | 1,881 | |||||
Virginia | 0 | 1,315 | 0 | 1,315 | |||||
West Virginia | 0 | 13,741 | 0 | 13,741 | |||||
U.S. Government Agencies | 0 | 36,685 | 8,674 | 45,359 | |||||
Non-Agency Mortgage-Backed Securities | 0 | 218,985 | 0 | 218,985 | |||||
Asset-Backed Securities | 0 | 217,711 | 40,908 | 258,619 | |||||
Sovereign Issues | 0 | 63,884 | 0 | 63,884 | |||||
Common Stocks | |||||||||
Communication Services | 3,652 | 12 | 0 | 3,664 | |||||
Consumer Discretionary | 9,271 | 0 | 0 | 9,271 | |||||
Energy | 0 | 20 | 0 | 20 | |||||
Industrials | 0 | 0 | 563 | 563 | |||||
Warrants | |||||||||
Communication Services | 0 | 6,063 | 0 | 6,063 | |||||
Industrials | 0 | 0 | 1,636 | 1,636 | |||||
Preferred Securities | |||||||||
Banking & Finance | 0 | 25,102 | 0 | 25,102 | |||||
Industrials | 0 | 0 | 32,894 | 32,894 | |||||
Real Estate Investment Trusts | |||||||||
Real Estate | 20,219 | 0 | 0 | 20,219 | |||||
Short-Term Instruments | |||||||||
Repurchase Agreements | 0 | 80,623 | 0 | 80,623 | |||||
Argentina Treasury Bills | 0 | 695 | 0 | 695 | |||||
U.S. Treasury Bills | 0 | 23,596 | 0 | 23,596 | |||||
Total Investments | $ | 33,142 | $ | 1,664,596 | $ | 95,910 | $ | 1,793,648 | |
Financial Derivative Instruments - Assets | |||||||||
Exchange-traded or centrally cleared | 0 | 11,982 | 0 | 11,982 | |||||
Over the counter | 0 | 18,479 | 62 | 18,541 | |||||
$ | 0 | $ | 30,461 | $ | 62 | $ | 30,523 | ||
Financial Derivative Instruments - Liabilities | |||||||||
Exchange-traded or centrally cleared | 0 | (13,400) | 0 | (13,400) | |||||
Over the counter | 0 | (22,920) | 0 | (22,920) | |||||
$ | 0 | $ | (36,320) | $ | 0 | $ | (36,320) | ||
Total Financial Derivative Instruments | $ | 0 | $ | (5,859) | $ | 62 | $ | (5,797) | |
Totals | $ | 33,142 | $ | 1,658,737 | $ | 95,972 | $ | 1,787,851 |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended October 31, 2019: |
Category and Subcategory | Beginning Balance at 07/31/2019 |
Net Purchases (1) |
Net Sales/Settlements (1) |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change
in Unrealized Appreciation/ (Depreciation) (2) |
Transfers
into Level 3 |
Transfers
out of Level 3 |
Ending Balance at 10/31/2019 |
Net Change
in Unrealized Appreciation/ (Depreciation) on Investments Held at 10/31/2019 (2) | |||||||||||
Investments in Securities, at Value | |||||||||||||||||||||
Loan Participations and Assignments | $ | 9,171 | $ | 2,963 | $ | (114) | $ | (39) | $ | (1) | $ | (88) | $ | 1,004 | $ | (2,450) | $ | 10,446 | $ | (28) | |
Corporate Bonds & Notes | |||||||||||||||||||||
Industrials | 0 | 1,145 | 0 | 2 | 0 | (358) | 0 | 0 | 789 | (358) | |||||||||||
U.S. Government Agencies | 8,631 | 0 | (35) | 153 | 12 | (87) | 0 | 0 | 8,674 | (89) | |||||||||||
Asset-Backed Securities | 46,486 | 0 | 0 | 0 | 0 | (1,051) | 0 | (4,527) | 40,908 | (1,022) | |||||||||||
Common Stocks | |||||||||||||||||||||
Industrials | 654 | 0 | 0 | 0 | 0 | (91) | 0 | 0 | 563 | (91) |
Schedule of Investments PIMCO Corporate & Income Opportunity Fund (Cont.) |
October 31, 2019 (Unaudited) |
Warrants | |||||||||||||||||||||
Industrials | 2,513 | 0 | 0 | 0 | 0 | (877) | 0 | 0 | 1,636 | (877) | |||||||||||
Preferred Securities | |||||||||||||||||||||
Industrials | 36,716 | 1,024 | 0 | 0 | 0 | (4,846) | 0 | 0 | 32,894 | (4,846) | |||||||||||
$ | 104,171 | $ | 5,132 | $ | (149) | $ | 116 | $ | 11 | $ | (7,398) | $ | 1,004 | $ | (6,977) | $ | 95,910 | $ | (7,311) | ||
Financial Derivative Instruments - Assets | |||||||||||||||||||||
Over the counter | $ | 80 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (18) | $ | 0 | $ | 0 | $ | 62 | $ | (8) | |
Totals | $ | 104,251 | $ | 5,132 | $ | (149) | $ | 116 | $ | 11 | $ | (7,416) | $ | 1,004 | $ | (6,977) | $ | 95,972 | $ | (7,319) |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy: |
Category and Subcategory | Ending Balance at 10/31/2019 |
Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) | ||||
Investments in Securities, at Value | ||||||||
Loan Participations and Assignments | $ | 8,165 | Proxy Pricing | Base Price | 88.488 - 101.080 | |||
2,281 | Third Party Vendor | Broker Quote | 89.500 - 101.000 | |||||
Corporate Bonds & Notes | ||||||||
Industrials | 789 | Other Valuation Techniques(3) | - | - | ||||
U.S. Government Agencies | 8,674 | Proxy Pricing | Base Price | 60.750 | ||||
Asset-Backed Securities | 40,908 | Proxy Pricing | Base Price | 77.810 - 101,596.692 | ||||
Common Stocks | ||||||||
Industrials | 563 | Other Valuation Techniques(3) | - | - | ||||
Warrants | ||||||||
Industrials | 1,636 | Other Valuation Techniques(3) | - | - | ||||
Preferred Securities | ||||||||
Industrials | 32,894 | Fundamental Valuation | Company Equity Value | $ | 767,645,260.160 | |||
Financial Derivative Instruments - Assets | ||||||||
Over the counter | 62 | Indicative Market Quotation | Broker Quote | 2.699 | ||||
Total | $ | 95,972 | ||||||
(1) | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. |
(2) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at October 31, 2019 may be due to an investment no longer held or categorized as Level 3 at period 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. |
Notes to Financial Statements
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The net asset value (“NAV”) of the Fund's shares is determined by dividing the total value of portfolio investments and other assets attributable to the Fund less any liabilities by the total number of shares outstanding of the Fund.
On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. The Fund reserves the right to change the time as of which its NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (“SEC”).
For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Fund’s approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. The Fund's investments in open-end management investment companies, other than exchange-traded funds ("ETFs"), are valued at the NAVs of such investments.
If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the non-U.S. security being fair valued between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.
Senior secured floating rate loans for which an active secondary market exists to a reliable degree are valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree are valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.
Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of the Fund's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund's next calculated NAV.
Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund's securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that may materially affect the values of the Fund's securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.
When the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Fund's policy is intended to result in a calculation of the Fund's NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.
(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy,
Notes to Financial Statements (Cont.)
separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
• 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.
Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of the Fund's assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.
(c) Valuation Techniques and the Fair Value Hierarchy
Level 1 and Level 2 trading assets and trading liabilities, at fair value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate (“OIS”), London Interbank Offered Rate (“LIBOR”) forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.
Notes to Financial Statements (Cont.)
Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:
Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.
Fundamental analysis valuation estimates fair value by using an internal model that utilizes financial statements of the non-public underlying company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.
2. FEDERAL INCOME TAX MATTERS
The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of October 31, 2019, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.
The Fund files U.S. federal, state, and local tax returns as required. The Fund's tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Glossary: (abbreviations that may be used in the preceding statements) | (Unaudited) | |||||||||
Counterparty Abbreviations: | ||||||||||
BCY | Barclays Capital, Inc. | DUB | Deutsche Bank AG | MYC | Morgan Stanley Capital Services LLC | |||||
BOA | Bank of America N.A. | FBF | Credit Suisse International | NOM | Nomura Securities International Inc. | |||||
BOS | BofA Securities, Inc. | FICC | Fixed Income Clearing Corporation | RDR | RBC Capital Markets LLC | |||||
BPG | BNP Paribas Securities Corp. | GST | Goldman Sachs International | RTA | RBC (Barbados) Trading Bank Corp. | |||||
BPS | BNP Paribas S.A. | HUS | HSBC Bank USA N.A. | SCX | Standard Chartered Bank, London | |||||
BRC | Barclays Bank PLC | JML | JP Morgan Securities Plc | SOG | Societe Generale Paris | |||||
CBK | Citibank N.A. | JPM | JP Morgan Chase Bank N.A. | TOR | The Toronto-Dominion Bank | |||||
CEW | Canadian Imperial Bank of Commerce | MBC | HSBC Bank Plc | UAG | UBS AG Stamford | |||||
CIW | CIBC World Markets Corp. | MEI | Merrill Lynch International | UBS | UBS Securities LLC | |||||
Currency Abbreviations: | ||||||||||
ARS | Argentine Peso | GBP | British Pound | RUB | Russian Ruble | |||||
AUD | Australian Dollar | MXN | Mexican Peso | USD (or $) | United States Dollar | |||||
EUR | Euro | PEN | Peruvian New Sol | |||||||
Index/Spread Abbreviations: | ||||||||||
ABX.HE | Asset-Backed Securities Index - Home Equity | BP0003M | 3 Month GBP-LIBOR | LIBOR03M | 3 Month USD-LIBOR | |||||
ARLLMONP | Argentina Blended Policy Rate | CDX.HY | Credit Derivatives Index - High Yield | PRIME | Daily US Prime Rate | |||||
BADLARPP | Argentina Badlar Floating Rate Notes | EUR003M | 3 Month EUR Swap Rate | US0003M | 3 Month USD Swap Rate | |||||
Other Abbreviations: | ||||||||||
ABS | Asset-Backed Security | CDO | Collateralized Debt Obligation | PIK | Payment-in-Kind | |||||
ALT | Alternate Loan Trust | CLO | Collateralized Loan Obligation | TBA | To-Be-Announced | |||||
BABs | Build America Bonds | DAC | Designated Activity Company | TBD | To-Be-Determined | |||||
BBR | Bank Bill Rate | EURIBOR | Euro Interbank Offered Rate | TBD% | Interest rate to be determined when loan settles or at the time of funding | |||||
BBSW | Bank Bill Swap Reference Rate | LIBOR | London Interbank Offered Rate |
Information Classification: Limited Access