NPORT-EX 2 highincomefund.htm PIMCO HIGH INCOME FUND highincomefund

Schedule of Investments PIMCO High Income Fund

April 30, 2022 (Unaudited)

 

(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 140.4% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 19.8%

 

 

 

 

AP Core Holdings II, LLC
6.264% (LIBOR03M + 5.500%) due 09/01/2027 ~

$

8,209

$

8,187

Caesars Resort Collection LLC
3.514% (LIBOR03M + 2.750%) due 12/23/2024 ~

 

6,560

 

6,538

Carnival Corp.

 

 

 

 

3.750% (EUR003M + 3.750%) due 06/30/2025 ~

EUR

2,481

 

2,593

4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~

$

1,224

 

1,207

Emerald TopCo, Inc.
3.957% - 4.264% (LIBOR03M + 3.500%) due 07/24/2026 ~

 

146

 

144

Envision Healthcare Corp.

 

 

 

 

TBD% due 07/01/2022 µ

 

10,500

 

10,421

4.514% (LIBOR03M + 3.750%) due 10/10/2025 ~

 

28,474

 

17,559

Fly Funding SARL
7.012% (LIBOR03M + 6.000%) due 10/08/2025 ~

 

5,109

 

5,125

Forbes Energy Services LLC
TBD% due 06/30/2022 «

 

954

 

0

Gateway Casinos & Entertainment Ltd.

 

 

 

 

8.750% (LIBOR03M + 8.000%) due 10/15/2027 ~

 

7,432

 

7,440

8.750% due 10/18/2027

CAD

1,622

 

1,265

Intelsat Jackson Holdings SA
4.920% due 02/01/2029

$

4,816

 

4,680

Lealand Finance Co. BV
3.457% (LIBOR03M + 3.000%) due 06/28/2024 «~

 

105

 

71

Lealand Finance Co. BV

1.457% (LIBOR03M + 1.000%) due 06/30/2025 ~

 

502

 

263

McAfee LLC
4.500% due 03/01/2029

 

4,600

 

4,524

MPH Acquisition Holdings LLC
4.758% (LIBOR03M + 4.250%) due 09/01/2028 ~

 

7,662

 

7,377

Promotora de Informaciones SA

 

 

 

 

5.250% (EUR003M + 4.250%) due 12/31/2026 ~

EUR

5,111

 

5,149

9.000% (EUR003M + 8.000%) due 06/30/2027 ~

 

1,630

 

1,631

PUG LLC
4.264% (LIBOR03M + 3.500%) due 02/12/2027 ~

$

1,968

 

1,924

Rising Tide Holdings, Inc.
5.514% (LIBOR03M + 4.750%) due 06/01/2028 ~

 

1,290

 

1,243

Sasol Ltd.
TBD% - 1.803% (LIBOR03M + 1.600%) due 11/23/2022 «~µ

 

5,287

 

5,197

Steenbok Lux Finco 2 SARL
TBD% (EUR003M) due 12/29/2022 ~

EUR

14,453

 

13,093

Syniverse Holdings, Inc.

 

 

 

 

6.038% (LIBOR03M + 5.000%) due 03/09/2023 ~

$

17,324

 

17,176

10.038% (LIBOR03M + 9.000%) due 03/11/2024 ~

 

609

 

595

Team Health Holdings, Inc.
3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~

 

9,491

 

8,918

U.S. Renal Care, Inc.
5.764% (LIBOR03M + 5.000%) due 06/26/2026 ~

 

1,875

 

1,686

Westmoreland Mining Holdings LLC
TBD% due 03/15/2029

 

8,068

 

4,075

Windstream Services LLC
7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~

 

2,667

 

2,667

Total Loan Participations and Assignments (Cost $157,522)

 

 

 

140,748

CORPORATE BONDS & NOTES 55.0%

 

 

 

 

BANKING & FINANCE 11.7%

 

 

 

 

Ally Financial, Inc.
8.000% due 11/01/2031 (m)

 

1,270

 

1,489

Apollo Commercial Real Estate Finance, Inc.
4.625% due 06/15/2029 (m)

 

5,200

 

4,531

Atlantic Marine Corps Communities LLC
5.383% due 02/15/2048 (m)

 

4,256

 

3,719

Banca Monte dei Paschi di Siena SpA

 

 

 

 

1.875% due 01/09/2026 (m)

EUR

1,400

 

1,330

2.625% due 04/28/2025 (m)

 

9,492

 

9,412

3.625% due 09/24/2024 (m)

 

2,131

 

2,170

5.375% due 01/18/2028 •(m)

 

1,700

 

1,148

8.000% due 01/22/2030 •(m)

 

3,497

 

2,495

8.500% due 09/10/2030 •(m)

 

3,500

 

2,566

10.500% due 07/23/2029 (m)

 

800

 

620

Banco de Credito del Peru SA
4.650% due 09/17/2024

PEN

1,000

 

242

 

 

 

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

Barclays PLC

 

 

 

 

5.875% due 09/15/2024 •(i)(j)(m)

GBP

1,800

 

2,221

6.375% due 12/15/2025 •(i)(j)

 

400

 

507

7.125% due 06/15/2025 •(i)(j)(m)

 

1,600

 

2,053

BOI Finance BV
7.500% due 02/16/2027 (m)

EUR

3,300

 

3,424

Claveau Re Ltd.
18.053% (T-BILL 3MO + 17.250%) due 07/08/2028 ~

$

1,200

 

1,121

Corebridge Financial, Inc.

 

 

 

 

4.350% due 04/05/2042

 

200

 

181

4.400% due 04/05/2052

 

800

 

715

Corsair International Ltd.
4.850% due 01/28/2027 •

EUR

1,000

 

1,021

Cosaint Re Pte. Ltd.
10.053% (T-BILL 1MO + 9.250%) due 04/03/2028 ~

$

1,000

 

1,005

Credit Agricole SA
7.875% due 01/23/2024 •(i)(j)

 

250

 

257

Credit Suisse Group AG

 

 

 

 

7.250% due 09/12/2025 •(i)(j)(m)

 

200

 

195

7.500% due 07/17/2023 •(i)(j)(m)

 

400

 

397

GSPA Monetization Trust
6.422% due 10/09/2029

 

4,666

 

4,660

HF Sinclair Corp.
4.500% due 10/01/2030 (m)

 

7,719

 

7,198

Lloyds Banking Group PLC

 

 

 

 

4.947% due 06/27/2025 •(i)(j)

EUR

716

 

757

7.875% due 06/27/2029 •(i)(j)(m)

GBP

2,402

 

3,333

MGM Growth Properties Operating Partnership LP
3.875% due 02/15/2029 (m)

$

6,900

 

6,552

Sanders Re Ltd.
12.020% (SOFRRATE + 11.750%) due 04/09/2029 ~

 

1,545

 

1,546

Societe Generale SA
7.375% due 10/04/2023 •(i)(j)(m)

 

900

 

904

Uniti Group LP

 

 

 

 

4.750% due 04/15/2028 (m)

 

2,800

 

2,504

6.000% due 01/15/2030 (m)

 

7,563

 

6,317

Voyager Aviation Holdings LLC
8.500% due 05/09/2026

 

7,250

 

6,733

 

 

 

 

83,323

INDUSTRIALS 33.0%

 

 

 

 

AA Bond Co. Ltd.
5.500% due 07/31/2050 (m)

GBP

895

 

1,163

Altice Financing SA
5.750% due 08/15/2029 (m)

$

972

 

820

American Airlines Pass-Through Trust

 

 

 

 

3.375% due 11/01/2028 (m)

 

1,082

 

1,011

3.700% due 04/01/2028 (m)

 

300

 

286

Arches Buyer, Inc.
4.250% due 06/01/2028 (m)

 

1,600

 

1,424

Boeing Co.

 

 

 

 

5.705% due 05/01/2040 (m)

 

962

 

963

5.805% due 05/01/2050 (m)

 

822

 

824

5.930% due 05/01/2060 (m)

 

1,112

 

1,103

6.125% due 02/15/2033 (m)

 

1,909

 

2,013

Bombardier, Inc.

 

 

 

 

7.500% due 03/15/2025 (m)

 

4,980

 

4,837

Broadcom, Inc.

 

 

 

 

3.187% due 11/15/2036 (m)

 

15

 

12

4.000% due 04/15/2029 (m)

 

1,500

 

1,432

4.150% due 11/15/2030 (m)

 

121

 

115

4.150% due 04/15/2032 (m)

 

1,400

 

1,301

4.926% due 05/15/2037 (m)

 

163

 

153

CGG SA

 

 

 

 

7.750% due 04/01/2027

EUR

1,000

 

1,060

8.750% due 04/01/2027 (m)

$

7,789

 

7,741

Charter Communications Operating LLC

 

 

 

 

3.700% due 04/01/2051 (m)

 

5,900

 

4,170

3.850% due 04/01/2061 (m)

 

2,100

 

1,434

3.900% due 06/01/2052 (m)

 

2,000

 

1,446

4.400% due 12/01/2061 (m)

 

200

 

150

4.800% due 03/01/2050 (m)

 

551

 

452

CommScope, Inc.
8.250% due 03/01/2027 (m)

 

7,757

 

6,603

Condor Merger Sub, Inc.
7.375% due 02/15/2030 (m)

 

2,900

 

2,598

Coty, Inc.

 

 

 

 

3.875% due 04/15/2026 (m)

EUR

7,300

 

7,233

4.750% due 01/15/2029 (m)

$

4,200

 

3,744

5.000% due 04/15/2026 (m)

 

2,364

 

2,249

DISH DBS Corp.

 

 

 

 

5.250% due 12/01/2026 (m)

 

2,000

 

1,840

5.750% due 12/01/2028 (m)

 

5,880

 

5,271

Envision Healthcare Corp.
8.750% due 10/15/2026

 

3,318

 

1,386

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

Exela Intermediate LLC
11.500% due 07/15/2026

 

125

 

46

Ferroglobe PLC
9.375% due 12/31/2025 (k)(m)

 

2,750

 

2,839

First Quantum Minerals Ltd.

 

 

 

 

6.500% due 03/01/2024 (m)

 

2,040

 

2,045

6.875% due 03/01/2026 (m)

 

1,348

 

1,353

FMG Resources August 2006 Pty. Ltd.
6.125% due 04/15/2032 (m)

 

1,700

 

1,691

Ford Motor Co.
7.700% due 05/15/2097 (m)

 

15,515

 

16,858

Fresh Market, Inc.
9.750% due 05/01/2023 (m)

 

9,300

 

9,081

Frontier Communications Holdings LLC
6.000% due 01/15/2030 (m)

 

1,916

 

1,669

General Shopping Investments Ltd.
0.928% due 09/20/2022 ^(d)(i)

 

2,500

 

357

HCA, Inc.
7.500% due 11/15/2095 (m)

 

3,462

 

4,029

Hestia Re Ltd.
0.000% due 04/22/2025

 

939

 

942

Intelsat Jackson Holdings SA
6.500% due 03/15/2030 (m)

 

16,312

 

15,398

Inter Media & Communication SpA
6.750% due 02/09/2027 (m)

EUR

3,300

 

3,321

Magallanes, Inc.

 

 

 

 

4.279% due 03/15/2032 (m)

$

1,300

 

1,208

5.050% due 03/15/2042 (m)

 

1,400

 

1,278

NCL Corp. Ltd.
5.875% due 02/15/2027 (m)

 

3,004

 

2,868

New Albertsons LP
6.570% due 02/23/2028

 

4,021

 

4,561

Nissan Motor Co. Ltd.
4.810% due 09/17/2030 (m)

 

8,700

 

8,172

Noble Corp. PLC (11.000% Cash or 15.000% PIK)
11.000% due 02/15/2028 (c)

 

60

 

68

Odebrecht Oil & Gas Finance Ltd.
0.000% due 05/30/2022 (g)(i)

 

3,371

 

14

Petroleos Mexicanos

 

 

 

 

6.700% due 02/16/2032 (m)

 

2,389

 

2,063

6.750% due 09/21/2047 (m)

 

10,479

 

7,594

6.950% due 01/28/2060 (m)

 

6,894

 

5,012

7.690% due 01/23/2050 (m)

 

150

 

118

Prosus NV
1.207% due 01/19/2026

EUR

1,000

 

957

QVC, Inc.
5.950% due 03/15/2043 (m)

$

1,500

 

1,171

Rolls-Royce PLC
4.625% due 02/16/2026 (m)

EUR

300

 

319

Sands China Ltd.
5.400% due 08/08/2028 (m)

$

3,379

 

3,192

Schenck Process Holding GmbH
6.875% due 06/15/2023 (m)

EUR

600

 

633

Seagate HDD Cayman
4.125% due 01/15/2031 (m)

$

700

 

615

Syngenta Finance NV
5.182% due 04/24/2028

 

200

 

201

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (m)

 

2,302

 

2,270

5.750% due 09/30/2039 (m)

 

5,577

 

5,675

Transocean Pontus Ltd.
6.125% due 08/01/2025

 

132

 

129

Transocean, Inc.

 

 

 

 

7.250% due 11/01/2025

 

96

 

80

7.500% due 01/15/2026

 

80

 

66

8.000% due 02/01/2027

 

162

 

128

U.S. Renal Care, Inc.
10.625% due 07/15/2027

 

77

 

67

United Group BV
4.875% due 07/01/2024 (m)

EUR

100

 

102

Valaris Ltd. (8.250% Cash or 12.000% PIK)
8.250% due 04/30/2028 (c)

$

28

 

28

Vale Overseas Ltd.
6.875% due 11/21/2036 (m)

 

89

 

98

Vale SA
3.202% due 12/29/2049 «~(i)

BRL

120,000

 

11,208

Veritas U.S., Inc.
7.500% due 09/01/2025 (m)

$

2,130

 

1,880

Viking Cruises Ltd.
13.000% due 05/15/2025 (m)

 

8,659

 

9,487

Wesco Aircraft Holdings, Inc.
9.000% due 11/15/2026

 

2,054

 

1,279

Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK)
10.500% due 11/15/2026 «(c)

 

26,507

 

27,411

Windstream Escrow LLC
7.750% due 08/15/2028 (m)

 

7,842

 

7,483

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

Wynn Macau Ltd.

 

 

 

 

5.125% due 12/15/2029 (m)

 

400

 

316

5.500% due 10/01/2027 (m)

 

400

 

324

5.625% due 08/26/2028 (m)

 

2,800

 

2,236

 

 

 

 

234,774

UTILITIES 10.3%

 

 

 

 

DTEK Finance PLC (3.500% Cash and 3.500% PIK)
7.000% due 12/31/2027 (c)(m)

 

2,216

 

543

Genesis Energy LP
8.000% due 01/15/2027 (m)

 

1,345

 

1,321

Lumen Technologies, Inc.
7.200% due 12/01/2025 (m)

 

1,122

 

1,138

Mountain States Telephone & Telegraph Co.
7.375% due 05/01/2030

 

5,130

 

5,806

NGD Holdings BV
6.750% due 12/31/2026 (m)

 

846

 

355

Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)
7.350% due 12/01/2026 ^(c)

 

3,181

 

1,825

Odebrecht Offshore Drilling Finance Ltd.
6.720% due 12/01/2022 ^(m)

 

813

 

804

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)
7.720% due 12/01/2026 ^(c)

 

15,690

 

3,726

Oi SA
10.000% due 07/27/2025

 

9,726

 

7,770

Pacific Gas & Electric Co.

 

 

 

 

3.500% due 08/01/2050 (m)

 

1,426

 

996

4.000% due 12/01/2046 (m)

 

600

 

447

4.200% due 03/01/2029 (m)

 

2,000

 

1,871

4.250% due 03/15/2046 (m)

 

2,300

 

1,762

4.450% due 04/15/2042 (m)

 

1,203

 

975

4.500% due 07/01/2040 (m)

 

3,488

 

2,864

4.550% due 07/01/2030 (m)

 

2,683

 

2,490

4.600% due 06/15/2043 (m)

 

200

 

162

4.750% due 02/15/2044 (m)

 

7,809

 

6,429

4.950% due 07/01/2050 (m)

 

1,054

 

881

Peru LNG Srl
5.375% due 03/22/2030

 

6,318

 

5,442

Petrobras Global Finance BV

 

 

 

 

6.250% due 12/14/2026 (m)

GBP

4,870

 

6,335

6.625% due 01/16/2034 (m)

 

200

 

252

Rio Oil Finance Trust

 

 

 

 

8.200% due 04/06/2028

$

233

 

250

9.250% due 07/06/2024 (m)

 

9,148

 

9,571

Talen Energy Supply LLC

 

 

 

 

7.250% due 05/15/2027 (m)

 

6,700

 

6,425

7.625% due 06/01/2028 (m)

 

2,900

 

2,784

Transocean Poseidon Ltd.
6.875% due 02/01/2027

 

146

 

141

 

 

 

 

73,365

Total Corporate Bonds & Notes (Cost $434,564)

 

 

 

391,462

CONVERTIBLE BONDS & NOTES 0.6%

 

 

 

 

INDUSTRIALS 0.6%

 

 

 

 

DISH Network Corp.
3.375% due 08/15/2026

 

5,100

 

4,386

Total Convertible Bonds & Notes (Cost $5,100)

 

 

 

4,386

MUNICIPAL BONDS & NOTES 7.3%

 

 

 

 

DISTRICT OF COLUMBIA 1.6%

 

 

 

 

District of Columbia Revenue Bonds, Series 2011
7.625% due 10/01/2035

 

9,740

 

11,565

ILLINOIS 2.7%

 

 

 

 

Chicago, Illinois General Obligation Bonds, (BABs), Series 2010

 

 

 

 

6.257% due 01/01/2040

 

11,000

 

11,470

7.517% due 01/01/2040

 

6,705

 

7,849

 

 

 

 

19,319

NEW YORK 0.1%

 

 

 

 

Erie Tobacco Asset Securitization Corp., New York Revenue Bonds, Series 2005
6.000% due 06/01/2028

 

370

 

371

PUERTO RICO 0.5%

 

 

 

 

Commonwealth of Puerto Rico Bonds, Series 2022
0.000% due 11/01/2043

 

1,720

 

896

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

Commonwealth of Puerto Rico General Obligation Bonds, Series 2021

 

 

 

 

0.000% due 07/01/2033 (g)

 

443

 

254

4.000% due 07/01/2033

 

344

 

320

4.000% due 07/01/2035

 

310

 

287

4.000% due 07/01/2037

 

266

 

240

4.000% due 07/01/2041

 

361

 

326

4.000% due 07/01/2046

 

376

 

331

Commonwealth of Puerto Rico General Obligation Notes, Series 2021

 

 

 

 

0.000% due 07/01/2024 (g)

 

177

 

161

5.250% due 07/01/2023

 

385

 

389

 

 

 

 

3,204

TEXAS 1.4%

 

 

 

 

El Paso Downtown Development Corp., Texas Revenue Bonds, Series 2013
7.250% due 08/15/2043

 

7,455

 

9,976

VIRGINIA 0.2%

 

 

 

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007
6.706% due 06/01/2046

 

1,285

 

1,285

WEST VIRGINIA 0.8%

 

 

 

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007
0.000% due 06/01/2047 (g)

 

66,200

 

6,000

Total Municipal Bonds & Notes (Cost $46,034)

 

 

 

51,720

U.S. GOVERNMENT AGENCIES 2.5%

 

 

 

 

Fannie Mae

 

 

 

 

3.500% due 09/25/2027 (a)

 

115

 

7

4.000% due 06/25/2050 (a)

 

2,545

 

472

5.000% due 06/25/2050 (a)(m)

 

4,067

 

740

5.432% due 07/25/2050 •(a)(m)

 

3,915

 

548

10.000% due 01/25/2034 •

 

189

 

206

Fannie Mae, TBA
3.000% due 06/13/2052

 

100

 

94

Freddie Mac

 

 

 

 

0.000% due 02/25/2046 (b)(g)

 

1,688

 

1,420

0.100% due 02/25/2046 (a)

 

1,688

 

0

5.000% due 06/15/2033 ~(a)

 

667

 

108

5.432% due 06/25/2050 •(a)(m)

 

4,334

 

592

5.546% due 07/15/2035 ~(a)

 

494

 

59

5.646% due 02/15/2042 •(a)

 

822

 

82

6.146% due 11/25/2055 «~

 

13,440

 

8,333

6.586% due 08/15/2036 •(a)

 

322

 

55

9.868% due 10/25/2027 •

 

4,297

 

4,501

11.892% due 05/15/2033 •

 

29

 

30

Ginnie Mae

 

 

 

 

3.500% due 06/20/2042 - 03/20/2043 (a)

 

637

 

129

4.500% due 07/20/2042 (a)

 

103

 

14

5.000% due 09/20/2042 (a)

 

189

 

31

Total U.S. Government Agencies (Cost $19,514)

 

 

 

17,421

NON-AGENCY MORTGAGE-BACKED SECURITIES 9.7%

 

 

 

 

Adjustable Rate Mortgage Trust
1.008% due 05/25/2036 •

 

3,221

 

1,352

Banc of America Alternative Loan Trust

 

 

 

 

1.028% due 06/25/2037 •

 

2,261

 

1,710

4.932% due 06/25/2046 ^•(a)

 

2,919

 

197

5.972% due 06/25/2037 ^•(a)

 

2,455

 

310

Banc of America Funding Trust

 

 

 

 

6.000% due 07/25/2037 ^

 

304

 

276

6.250% due 10/26/2036

 

4,195

 

2,344

Banc of America Mortgage Trust
2.713% due 02/25/2036 ^~

 

8

 

8

BCAP LLC Trust

 

 

 

 

0.000% due 06/26/2036 ~

 

400

 

294

4.777% due 03/26/2037 þ

 

1,249

 

1,759

6.000% due 05/26/2037 ~

 

4,424

 

2,254

Bear Stearns Adjustable Rate Mortgage Trust
3.484% due 11/25/2034 ~

 

8

 

8

CD Mortgage Trust
5.688% due 10/15/2048

 

146

 

134

Chase Mortgage Finance Trust

 

 

 

 

2.861% due 09/25/2036 ^~

 

45

 

40

2.977% due 12/25/2035 ^~

 

9

 

9

5.500% due 05/25/2036 ^

 

1

 

1

Citigroup Commercial Mortgage Trust
5.980% due 12/10/2049 ~

 

3,515

 

1,572

Citigroup Mortgage Loan Trust

 

 

 

 

2.741% due 11/25/2035 ~

 

10,472

 

6,671

3.041% due 07/25/2037 ^~

 

44

 

41

6.500% due 09/25/2036

 

2,493

 

1,715

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

Commercial Mortgage Loan Trust
6.673% due 12/10/2049 ~

 

2,980

 

499

Countrywide Alternative Loan Trust

 

 

 

 

1.168% due 12/25/2046 •

 

1,848

 

1,679

3.134% due 02/25/2037 ^~

 

110

 

109

4.332% due 04/25/2035 •(a)

 

2,317

 

114

6.000% due 02/25/2037 ^

 

4,196

 

2,099

6.250% due 12/25/2036 ^•

 

2,239

 

1,221

6.500% due 06/25/2036 ^

 

636

 

403

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

2.881% due 09/20/2036 ^~

 

260

 

245

2.888% due 09/25/2047 ^~

 

18

 

17

4.682% due 12/25/2036 •(a)

 

1,715

 

120

Credit Suisse First Boston Mortgage Securities Corp.
6.000% due 01/25/2036 ^

 

1,325

 

987

Eurosail-UK PLC

 

 

 

 

2.372% due 06/13/2045 •

GBP

3,347

 

3,796

5.022% due 06/13/2045 •

 

988

 

1,193

HarborView Mortgage Loan Trust

 

 

 

 

2.561% due 08/19/2036 ^~

$

4

 

4

3.254% due 08/19/2036 ^~

 

153

 

145

IM Pastor FTH
0.000% due 03/22/2043 •

EUR

3,212

 

3,052

Jackson Park Trust
3.350% due 10/14/2039 ~

$

2,311

 

1,825

JP Morgan Alternative Loan Trust
3.341% due 03/25/2037 ^~

 

3,092

 

3,201

JP Morgan Mortgage Trust

 

 

 

 

2.880% due 07/27/2037 ~

 

3,868

 

3,082

5.952% due 01/25/2037 ^•(a)

 

13,513

 

3,022

LB-UBS Commercial Mortgage Trust
5.407% due 11/15/2038 ^

 

175

 

113

Lehman XS Trust
1.108% due 06/25/2047 •

 

1,591

 

1,508

Nomura Asset Acceptance Corp. Alternative Loan Trust
3.161% due 04/25/2036 ^~

 

2,943

 

2,688

Nomura Resecuritization Trust
4.034% due 07/26/2035 ~

 

4,348

 

3,864

Residential Asset Securitization Trust

 

 

 

 

1.068% due 01/25/2046 ^•

 

172

 

60

6.250% due 09/25/2037 ^

 

4,562

 

2,329

6.500% due 08/25/2036 ^

 

799

 

288

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

2.906% due 01/25/2036 ^~

 

110

 

77

3.261% due 04/25/2047 ~

 

303

 

175

Structured Asset Mortgage Investments Trust
1.048% due 07/25/2046 ^•

 

6,254

 

5,018

WaMu Mortgage Pass-Through Certificates Trust
3.255% due 05/25/2037 ^~

 

74

 

64

Washington Mutual Mortgage Pass-Through Certificates Trust

 

 

 

 

6.012% due 04/25/2037 •(a)

 

7,654

 

1,932

6.500% due 03/25/2036 ^

 

4,531

 

3,576

Total Non-Agency Mortgage-Backed Securities (Cost $72,963)

 

 

 

69,200

ASSET-BACKED SECURITIES 9.3%

 

 

 

 

ACE Securities Corp. Home Equity Loan Trust
0.948% due 07/25/2036 •

 

1,808

 

1,595

Apidos CLO
0.000% due 07/22/2026 ~

 

3,000

 

12

Avoca CLO DAC
0.000% due 04/15/2034 ~

EUR

2,150

 

1,339

Belle Haven ABS CDO Ltd.
1.212% due 07/05/2046 •

$

185,947

 

314

Carlyle Global Market Strategies Euro CLO DAC

 

 

 

 

0.000% due 04/15/2027 ~

EUR

800

 

322

0.000% due 01/25/2032 ~

 

2,200

 

1,120

Carlyle U.S. CLO Ltd.
0.000% due 10/15/2031 ~

$

4,200

 

2,368

CIFC Funding Ltd.

 

 

 

 

0.000% due 04/24/2030 ~

 

4,000

 

1,595

0.000% due 10/22/2031 ~

 

3,000

 

855

Cork Street CLO Designated Activity Co.
0.000% due 11/27/2028 ~

EUR

1,051

 

251

Countrywide Asset-Backed Certificates Trust
0.938% due 09/25/2046 •

$

12,275

 

11,015

CVC Cordatus Loan Fund DAC
0.000% due 04/15/2032 ~

EUR

2,500

 

1,013

Duke Funding Ltd.
0.955% due 08/07/2033 •

$

14,837

 

3,923

Glacier Funding CDO Ltd.
0.581% due 08/04/2035 •

 

6,392

 

995

Grosvenor Place CLO BV
0.000% due 04/30/2029 ~

EUR

1,000

 

575

Jay Park CLO Ltd.
0.000% due 10/20/2027 ~

$

7,503

 

3,291

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

Long Beach Mortgage Loan Trust
1.048% due 02/25/2036 •

 

1,035

 

928

Man GLG Euro CLO DAC
0.000% due 10/15/2030 ~

EUR

4,150

 

2,397

Marlette Funding Trust

 

 

 

 

0.000% due 12/15/2028 «(g)

$

24

 

1,928

0.000% due 04/16/2029 «(g)

 

7

 

430

0.000% due 07/16/2029 «(g)

 

10

 

863

Merrill Lynch Mortgage Investors Trust
0.988% due 04/25/2037 •

 

658

 

422

Morgan Stanley Mortgage Loan Trust

 

 

 

 

2.722% due 11/25/2036 ^•

 

701

 

333

5.965% due 09/25/2046 ^þ

 

5,914

 

2,766

People's Financial Realty Mortgage Securities Trust
0.828% due 09/25/2036 •

 

20,188

 

5,096

Renaissance Home Equity Loan Trust

 

 

 

 

6.998% due 09/25/2037 ^þ

 

6,749

 

3,482

7.238% due 09/25/2037 ^þ

 

5,839

 

3,011

Segovia European CLO DAC
0.000% due 04/15/2035 ~

EUR

1,100

 

672

Sherwood Funding CDO Ltd.
0.789% due 11/06/2039 ~

$

31,478

 

7,638

SLM Student Loan Trust
0.000% due 01/25/2042 «(g)

 

2

 

588

SMB Private Education Loan Trust
0.000% due 10/15/2048 «(g)

 

5

 

2,047

South Coast Funding Ltd.
0.966% due 08/10/2038 •

 

24,969

 

2,595

Specialty Underwriting & Residential Finance Trust
1.643% due 06/25/2036 •

 

409

 

354

Washington Mutural Asset-Backed Certificates WMABS Trust
0.968% due 05/25/2036 •

 

166

 

141

Total Asset-Backed Securities (Cost $124,288)

 

 

 

66,274

SOVEREIGN ISSUES 2.7%

 

 

 

 

Argentina Government International Bond

 

 

 

 

0.500% due 07/09/2030 þ

 

9,677

 

2,719

1.000% due 07/09/2029

 

163

 

53

1.125% due 07/09/2035 þ

 

8,923

 

2,479

1.125% due 07/09/2046 þ

 

115

 

33

2.000% due 01/09/2038 þ(m)

 

1,326

 

477

2.500% due 07/09/2041 þ(m)

 

9,486

 

3,187

15.500% due 10/17/2026

ARS

38,100

 

74

40.178% (BADLARPP) due 10/04/2022 ~

 

74

 

0

Autonomous City of Buenos Aires

 

 

 

 

39.273% (BADLARPP + 3.750%) due 02/22/2028 ~

 

34,626

 

169

46.594% (BADLARPP + 3.250%) due 03/29/2024 ~

 

47,730

 

234

Egypt Government International Bond

 

 

 

 

5.625% due 04/16/2030

EUR

1,800

 

1,397

7.500% due 02/16/2061 (m)

$

2,100

 

1,411

Ghana Government International Bond

 

 

 

 

6.375% due 02/11/2027 (m)

 

600

 

410

7.875% due 02/11/2035 (m)

 

600

 

356

8.750% due 03/11/2061

 

200

 

117

Ivory Coast Government International Bond
6.625% due 03/22/2048

EUR

800

 

677

Provincia de Buenos Aires
47.632% due 04/12/2025

ARS

270,895

 

1,303

Republic of Greece Government International Bond

 

 

 

 

2.000% due 04/22/2027

EUR

55

 

57

3.900% due 01/30/2033

 

122

 

136

4.000% due 01/30/2037

 

96

 

118

4.200% due 01/30/2042

 

119

 

156

South Africa Government International Bond
7.300% due 04/20/2052

$

2,900

 

2,723

Turkiye Ihracat Kredi Bankasi AS
8.250% due 01/24/2024 (m)

 

200

 

205

Ukraine Government International Bond
4.375% due 01/27/2030

EUR

1,471

 

500

Venezuela Government International Bond

 

 

 

 

6.000% due 12/09/2020

$

365

 

31

8.250% due 10/13/2024 ^(d)

 

34

 

3

9.250% due 09/15/2027 ^(d)

 

452

 

39

Total Sovereign Issues (Cost $32,324)

 

 

 

19,064

 

 

SHARES

 

 

COMMON STOCKS 4.6%

 

 

 

 

COMMUNICATION SERVICES 0.9%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (e)

 

754,306

 

1,855

iHeartMedia, Inc. 'A' (e)

 

178,528

 

2,855

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

iHeartMedia, Inc. 'B' «(e)

 

138,545

 

1,994

 

 

 

 

6,704

ENERGY 0.5%

 

 

 

 

Axis Energy Services 'A' «(e)(k)

 

6,207

 

91

Noble Corp. (e)(k)

 

116,046

 

3,705

Valaris Ltd. (e)

 

2,307

 

117

 

 

 

 

3,913

FINANCIALS 1.0%

 

 

 

 

Intelsat SA «(e)(k)

 

221,868

 

6,795

INDUSTRIALS 2.2%

 

 

 

 

Neiman Marcus Group Ltd. LLC «(e)(k)

 

90,604

 

15,334

Noble Corp. (e)

 

1,879

 

60

Voyager Aviation Holdings LLC «(e)

 

1,009

 

0

Westmoreland Mining Holdings «(e)(k)

 

88,291

 

0

 

 

 

 

15,394

MATERIALS 0.0%

 

 

 

 

Associated Materials Group, Inc. «(e)

 

162,396

 

0

Total Common Stocks (Cost $33,935)

 

 

 

32,806

RIGHTS 0.0%

 

 

 

 

FINANCIALS 0.0%

 

 

 

 

Intelsat Jackson Holdings SA «(e)

 

46,518

 

262

Total Rights (Cost $0)

 

 

 

262

WARRANTS 2.0%

 

 

 

 

FINANCIALS 0.0%

 

 

 

 

Intelsat Emergence SA - Exp. 02/17/2027 «

 

250

 

1

INDUSTRIALS 0.2%

 

 

 

 

Sequa Corp. - Exp. 04/28/2024 «

 

1,795,000

 

1,099

INFORMATION TECHNOLOGY 1.8%

 

 

 

 

Windstream Holdings LLC - Exp. 9/21/2055 «

 

537,548

 

13,083

Total Warrants (Cost $13,446)

 

 

 

14,183

PREFERRED SECURITIES 18.0%

 

 

 

 

FINANCIALS 7.9%

 

 

 

 

AGFC Capital Trust
2.794% (US0003M + 1.750%) due 01/15/2067 ~(m)

 

27,410,000

 

16,249

Brighthouse Holdings LLC
6.500% due 07/27/2037 þ(i)

 

70,000

 

68

Compeer Financial ACA
4.875% due 08/15/2026 •(i)

 

2,100,000

 

1,866

Nationwide Building Society
10.250% ~

 

71,345

 

15,296

OCP CLO Ltd.
0.000% due 04/26/2028 (g)

 

8,700

 

5,861

Stichting AK Rabobank Certificaten
6.500% due 12/29/2049 þ(i)

 

14,494,300

 

16,708

 

 

 

 

56,048

INDUSTRIALS 10.1%

 

 

 

 

General Electric Co.
4.156% (US0003M + 3.330%) due 06/15/2022 ~(i)

 

373,000

 

354

Sequa Corp. (15.000% PIK)
15.000% «(c)

 

55,659

 

69,657

Voyager Aviation Holdings LLC
9.500% «

 

6,055

 

1,978

 

 

 

 

71,989

Total Preferred Securities (Cost $90,808)

 

 

 

128,037

REAL ESTATE INVESTMENT TRUSTS 3.6%

 

 

 

 

REAL ESTATE 3.6%

 

 

 

 

CBL & Associates Properties, Inc.

 

14,084

 

413

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

Uniti Group, Inc.

 

261,443

 

3,239

VICI Properties, Inc.

 

734,782

 

21,904

Total Real Estate Investment Trusts (Cost $11,376)

 

 

 

25,556

SHORT-TERM INSTRUMENTS 5.3%

 

 

 

 

REPURCHASE AGREEMENTS (l) 0.6%

 

 

 

4,200

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

ARGENTINA TREASURY BILLS 0.0%

 

 

 

 

51.049% due 09/30/2022 (g)(h)

ARS

56,900

 

237

U.S. TREASURY BILLS 4.4%

 

 

 

 

0.790% due 06/14/2022 - 07/21/2022 (f)(g)(m)(o)

$

30,900

 

30,851

U.S. TREASURY CASH MANAGEMENT BILLS 0.3%

 

 

 

 

1.089% due 08/23/2022 (g)(h)

 

2,000

 

1,994

Total Short-Term Instruments (Cost $37,288)

 

 

 

37,282

Total Investments in Securities (Cost $1,079,162)

 

 

 

998,401

Total Investments 140.4% (Cost $1,079,162)

 

 

$

998,401

Financial Derivative Instruments (n)(p) 0.8%(Cost or Premiums, net $111,632)

 

 

 

5,711

Auction Rate Preferred Shares (8.2)%

 

 

 

(58,050)

Other Assets and Liabilities, net (33.0)%

 

 

 

(234,788)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

711,274

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (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)

Security is an Interest Only ("IO") or IO Strip.

(b)

Principal only security.

(c)

Payment in-kind security.

(d)

Security is not accruing income as of the date of this report.

(e)

Security did not produce income within the last twelve months.

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

Coupon represents a yield to maturity.

(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
as Percentage
of Net Assets

Applicable

to Common

Shareholders

Axis Energy Services 'A'

 

 

07/01/2021

$

91

$

91

0.01

%

Ferroglobe PLC 9.375% due 12/31/2025

 

 

02/09/2017 - 12/04/2019

 

2,692

 

2,839

0.40

 

Intelsat SA

 

 

06/19/2017 - 02/23/2022

 

15,920

 

6,795

0.95

 

Neiman Marcus Group Ltd. LLC

 

 

09/25/2020

 

2,918

 

15,334

2.16

 

Noble Corp.

 

 

02/05/2021 - 02/27/2021

 

1,838

 

3,705

0.52

 

Westmoreland Mining Holdings

 

 

07/11/2016 - 10/19/2016

 

2,160

 

0

0.00

 

 

 

 

 

$

25,619

$

28,764

4.04%

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)

BPS

0.280%

04/29/2022

05/02/2022

$

4,200

Ginnie Mae 2.500% due 10/20/2051

$

(4,316)

$

4,200

$

4,200

Total Repurchase Agreements

 

$

(4,316)

$

4,200

$

4,200

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed(2)

 

Payable for
Reverse
Repurchase
Agreements

BOS

0.370%

04/12/2022

05/06/2022

$

(1,416)

$

(1,416)

 

0.780

03/10/2022

06/10/2022

 

(861)

 

(862)

BPS

0.530

12/08/2021

05/12/2022

 

(1,704)

 

(1,708)

 

0.530

03/31/2022

05/12/2022

 

(1,371)

 

(1,372)

 

0.920

03/07/2022

06/07/2022

 

(5,368)

 

(5,376)

 

0.920

04/29/2022

06/07/2022

 

(2,247)

 

(2,247)

 

1.120

03/23/2022

06/23/2022

 

(5,786)

 

(5,793)

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

 

1.430

03/21/2022

09/22/2022

 

(5,473)

 

(5,483)

 

1.650

05/02/2022

08/02/2022

 

(12,160)

 

(12,160)

 

1.690

04/18/2022

10/17/2022

 

(1,513)

 

(1,514)

 

1.990

04/27/2022

10/27/2022

 

(2,657)

 

(2,658)

 

1.990

04/29/2022

05/02/2022

 

(2,900)

 

(2,900)

 

1.990

05/02/2022

10/27/2022

 

(2,559)

 

(2,559)

BRC

(3.000)

02/14/2022

TBD(3)

EUR

(2,134)

 

(2,241)

 

(0.500)

10/21/2021

TBD(3)

 

(1,061)

 

(1,116)

 

(0.420)

02/04/2022

05/03/2022

 

(95)

 

(100)

 

(0.320)

11/05/2021

TBD(3)

 

(1,024)

 

(1,079)

 

0.450

04/25/2022

05/04/2022

GBP

(2,766)

 

(3,479)

 

0.560

02/07/2022

05/13/2022

$

(1,511)

 

(1,513)

 

0.720

03/02/2022

05/06/2022

 

(525)

 

(525)

 

0.750

03/18/2022

TBD(3)

 

(1,951)

 

(1,953)

 

0.820

03/18/2022

TBD(3)

 

(18,905)

 

(18,925)

 

0.870

03/10/2022

06/13/2022

 

(2,131)

 

(2,134)

BYR

0.880

03/25/2022

09/26/2022

 

(4,302)

 

(4,306)

 

0.880

03/31/2022

09/26/2022

 

(5,310)

 

(5,314)

 

0.890

04/29/2022

09/26/2022

 

(3,081)

 

(3,081)

CDC

0.430

01/27/2022

05/02/2022

 

(3,574)

 

(3,578)

 

0.430

04/18/2022

05/02/2022

 

(290)

 

(290)

 

0.430

04/27/2022

05/02/2022

 

(4,892)

 

(4,893)

 

0.450

02/03/2022

05/09/2022

 

(4,746)

 

(4,751)

 

0.670

03/23/2022

06/07/2022

 

(4,463)

 

(4,466)

 

0.670

04/14/2022

06/07/2022

 

(2,686)

 

(2,687)

 

0.720

03/03/2022

06/06/2022

 

(5,065)

 

(5,071)

 

0.800

02/03/2022

08/05/2022

 

(1,003)

 

(1,005)

 

0.800

04/14/2022

08/05/2022

 

(12,368)

 

(12,373)

 

0.840

03/15/2022

06/14/2022

 

(4,094)

 

(4,099)

 

0.840

03/30/2022

06/14/2022

 

(263)

 

(263)

 

1.150

03/08/2022

09/07/2022

 

(13,218)

 

(13,241)

 

1.160

04/21/2022

07/22/2022

 

(1,780)

 

(1,781)

 

1.230

04/14/2022

07/14/2022

 

(4,044)

 

(4,047)

 

1.350

05/02/2022

08/02/2022

 

(3,264)

 

(3,264)

 

1.590

04/01/2022

09/30/2022

 

(1,605)

 

(1,607)

 

1.780

04/18/2022

10/14/2022

 

(3,805)

 

(3,808)

CEW

0.800

03/18/2022

TBD(3)

GBP

(182)

 

(229)

 

0.800

04/26/2022

TBD(3)

 

(4,605)

 

(5,791)

 

0.920

01/20/2022

TBD(3)

 

(910)

 

(1,146)

CIB

1.150

03/16/2022

06/16/2022

$

(1,590)

 

(1,592)

FBF

(0.650)

05/02/2022

06/01/2022

EUR

(2,698)

 

(2,846)

IND

0.440

02/02/2022

05/06/2022

$

(6,840)

 

(6,847)

 

0.470

02/04/2022

05/05/2022

 

(399)

 

(400)

 

0.490

02/02/2022

05/06/2022

 

(750)

 

(751)

 

0.630

03/02/2022

06/03/2022

 

(2,038)

 

(2,040)

 

0.650

03/09/2022

06/09/2022

 

(5,912)

 

(5,917)

 

0.650

03/10/2022

06/10/2022

 

(3,179)

 

(3,182)

 

0.650

04/27/2022

06/09/2022

 

(943)

 

(943)

 

0.860

03/21/2022

06/24/2022

 

(3,705)

 

(3,709)

 

0.900

03/24/2022

06/24/2022

 

(415)

 

(416)

 

1.010

03/17/2022

09/15/2022

 

(1,513)

 

(1,515)

 

1.680

04/12/2022

10/11/2022

 

(2,757)

 

(2,760)

JML

(5.500)

08/05/2021

TBD(3)

EUR

(412)

 

(424)

 

(4.000)

02/16/2022

TBD(3)

 

(919)

 

(961)

 

(3.000)

08/05/2021

TBD(3)

 

(292)

 

(306)

 

(1.000)

02/18/2022

TBD(3)

 

(706)

 

(743)

 

(1.000)

04/29/2022

TBD(3)

 

(308)

 

(325)

 

(0.450)

02/11/2022

TBD(3)

 

(981)

 

(1,034)

 

(0.400)

10/21/2021

TBD(3)

 

(7,925)

 

(8,341)

 

(0.400)

11/05/2021

TBD(3)

 

(1,084)

 

(1,141)

 

(0.400)

01/17/2022

05/10/2022

 

(568)

 

(598)

 

(0.380)

02/02/2022

05/12/2022

 

(6,548)

 

(6,901)

 

0.650

03/18/2022

05/06/2022

$

(1,877)

 

(1,879)

 

0.900

11/05/2021

TBD(3)

GBP

(3,261)

 

(4,105)

MEI

1.370

04/19/2022

07/20/2022

$

(246)

 

(246)

NXN

0.800

04/29/2022

08/05/2022

 

(2,883)

 

(2,883)

RDR

0.850

03/22/2022

05/24/2022

 

(2,166)

 

(2,168)

 

0.850

04/27/2022

05/24/2022

 

(1,247)

 

(1,247)

SCX

(0.080)

05/02/2022

06/01/2022

EUR

(2,635)

 

(2,780)

SOG

0.490

04/27/2022

05/03/2022

 

(500)

 

(500)

 

0.540

03/01/2022

05/03/2022

 

(2,883)

 

(2,886)

 

0.550

12/27/2021

05/04/2022

 

(1,357)

 

(1,360)

 

0.550

04/22/2022

05/04/2022

 

(206)

 

(206)

 

0.640

03/01/2022

05/03/2022

 

(723)

 

(723)

 

0.670

01/07/2022

07/06/2022

 

(7,910)

 

(7,927)

 

0.670

02/07/2022

07/08/2022

 

(917)

 

(919)

 

0.670

03/30/2022

07/06/2022

 

(1,576)

 

(1,577)

 

0.670

04/06/2022

07/06/2022

 

(6,872)

 

(6,876)

 

0.670

04/12/2022

07/08/2022

 

(1,513)

 

(1,513)

 

0.720

03/02/2022

05/04/2022

 

(187)

 

(187)

 

0.720

03/30/2022

05/04/2022

 

(166)

 

(166)

 

0.990

05/03/2022

06/03/2022

 

(2,531)

 

(2,531)

 

1.500

04/27/2022

08/01/2022

 

(5,736)

 

(5,735)

 

1.580

05/03/2022

08/03/2022

 

(664)

 

(664)

 

1.620

05/04/2022

08/04/2022

 

(1,764)

 

(1,764)

UBS

0.600

03/18/2022

TBD(3)

 

(16,010)

 

(16,022)

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

 

0.640

02/07/2022

05/09/2022

 

(1,071)

 

(1,073)

 

0.640

03/30/2022

05/09/2022

 

(2,204)

 

(2,205)

 

1.350

04/14/2022

07/14/2022

 

(2,811)

 

(2,813)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(296,851)

(m)

Securities with an aggregate market value of $310,359 and cash of $11,816 have been pledged as collateral under the terms of master agreements as of April 30, 2022.

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended April 30, 2022 was $(353,994) at a weighted average interest rate of 0.395%. 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
April 30, 2022(2)

 

Notional
Amount(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(4)

 

Asset

 

Liability

Bombardier, Inc.

5.000%

Quarterly

12/20/2024

5.469

%

$

2,000

$

(8)

$

(2)

$

(10)

$

0

$

(18)

Jaguar Land Rover Automotive

5.000

Quarterly

06/20/2026

6.122

 

EUR

900

 

63

 

(94)

 

(31)

 

0

 

(3)

Rolls-Royce PLC

1.000

Quarterly

06/20/2027

3.121

 

 

3,700

 

(283)

 

(94)

 

(377)

 

0

 

(22)

Rolls-Royce PLC

1.000

Quarterly

12/20/2025

2.621

 

 

11,200

 

(1,201)

 

554

 

(647)

 

0

 

(79)

 

 

 

 

 

 

$

(1,429)

$

364

$

(1,065)

$

0

$

(122)

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(5)

1-Day GBP-SONIO Compounded-OIS

0.750%

Annual

09/21/2032

GBP

20,700

$

2,004

$

691

$

2,695

$

125

$

0

Receive(5)

1-Day GBP-SONIO Compounded-OIS

0.750

Annual

09/21/2052

 

5,300

 

335

 

1,047

 

1,382

 

81

 

0

Pay(5)

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2027

$

112,200

 

(2,687)

 

(2,780)

 

(5,467)

 

0

 

(317)

Receive(5)

1-Day USD-SOFR Compounded-OIS

1.250

Annual

06/15/2032

 

87,000

 

4,224

 

7,065

 

11,289

 

371

 

0

Receive(5)

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2032

 

59,500

 

2,570

 

2,553

 

5,123

 

262

 

0

Receive

3-Month USD-LIBOR

1.000

Semi-Annual

06/17/2023

 

17,400

 

(376)

 

656

 

280

 

14

 

0

Receive

3-Month USD-LIBOR

0.250

Semi-Annual

06/16/2024

 

14,250

 

39

 

788

 

827

 

22

 

0

Receive

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2024

 

1,900

 

(32)

 

15

 

(17)

 

2

 

0

Receive

3-Month USD-LIBOR

0.400

Semi-Annual

12/18/2024

 

72,000

 

(205)

 

5,076

 

4,871

 

120

 

0

Receive

3-Month USD-LIBOR

0.850

Semi-Annual

02/01/2027

 

43,700

 

343

 

3,850

 

4,193

 

89

 

0

Receive

3-Month USD-LIBOR

1.370

Semi-Annual

08/25/2028

 

27,135

 

0

 

2,539

 

2,539

 

68

 

0

Pay

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2029

 

79,200

 

1,687

 

(983)

 

704

 

0

 

(219)

Receive

3-Month USD-LIBOR

1.000

Semi-Annual

12/16/2030

 

127

 

1

 

18

 

19

 

0

 

0

Receive

3-Month USD-LIBOR

0.750

Semi-Annual

06/16/2031

 

7,300

 

517

 

795

 

1,312

 

20

 

0

Receive

3-Month USD-LIBOR

1.350

Semi-Annual

02/09/2032

 

139,800

 

581

 

18,871

 

19,452

 

403

 

0

Pay

3-Month USD-LIBOR

3.500

Semi-Annual

06/19/2044

 

617,800

 

110,476

 

(42,253)

 

68,223

 

0

 

(2,013)

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

01/15/2050

 

35,600

 

(256)

 

5,705

 

5,449

 

211

 

0

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

01/22/2050

 

55,100

 

(127)

 

11,124

 

10,997

 

137

 

0

Receive

3-Month USD-LIBOR

1.875

Semi-Annual

02/07/2050

 

42,480

 

(165)

 

7,788

 

7,623

 

248

 

0

Pay

3-Month USD-LIBOR

2.000

Semi-Annual

12/15/2051

 

29,200

 

2,124

 

(6,566)

 

(4,442)

 

0

 

(176)

Receive

3-Month USD-LIBOR

1.700

Semi-Annual

02/01/2052

 

446,900

 

(8,681)

 

103,953

 

95,272

 

997

 

0

Receive

6-Month EUR-EURIBOR

0.270

Annual

09/11/2024

EUR

25,600

 

4

 

437

 

441

 

110

 

0

Pay

6-Month EUR-EURIBOR

0.650

Annual

02/26/2029

 

65,500

 

65

 

(3,841)

 

(3,776)

 

0

 

(573)

Receive

6-Month EUR-EURIBOR

0.150

Annual

06/17/2030

 

24,100

 

(1,059)

 

3,810

 

2,751

 

230

 

0

Receive(5)

6-Month EUR-EURIBOR

0.250

Annual

09/21/2032

 

3,200

 

290

 

195

 

485

 

34

 

0

Receive

6-Month EUR-EURIBOR

1.250

Annual

08/19/2049

 

18,200

 

76

 

862

 

938

 

281

 

0

Pay

6-Month EUR-EURIBOR

0.500

Annual

06/17/2050

 

7,700

 

1,317

 

(3,104)

 

(1,787)

 

0

 

(103)

 

 

 

 

 

 

$

113,065

$

118,311

$

231,376

$

3,825

$

(3,401)

Total Swap Agreements

$

111,636

$

118,675

$

230,311

$

3,825

$

(3,523)

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

(o)

Securities with an aggregate market value of $12,681 and cash of $12,815 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of April 30, 2022.

(1)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(3)

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)

The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(5)

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

05/2022

$

430

EUR

394

$

0

$

(14)

 

07/2022

 

893

PEN

3,610

 

38

 

0

BPS

05/2022

CAD

1,593

$

1,256

 

15

 

0

 

05/2022

GBP

411

 

529

 

12

 

0

 

05/2022

$

872

EUR

804

 

0

 

(24)

 

05/2022

 

804

GBP

618

 

0

 

(26)

CBK

05/2022

EUR

2,679

$

2,924

 

98

 

0

 

12/2022

PEN

4,729

 

1,220

 

16

 

0

DUB

05/2022

$

22,871

GBP

18,177

 

0

 

(14)

 

06/2022

GBP

18,177

$

22,870

 

14

 

0

HUS

05/2022

$

999

EUR

910

 

0

 

(39)

MYI

05/2022

EUR

71,323

$

79,491

 

4,249

 

0

 

05/2022

$

76,279

EUR

71,894

 

0

 

(435)

 

06/2022

EUR

71,894

$

76,377

 

437

 

0

SCX

05/2022

GBP

18,385

 

24,201

 

1,084

 

0

Total Forward Foreign Currency Contracts

$

5,963

$

(552)

SWAP AGREEMENTS:

CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)

 

Swap Agreements, at Value(4)

Counterparty

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
April 30, 2022(2)

 

Notional
Amount(3)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

JPM

Banca Monte Dei Paschi Di

5.000%

Quarterly

06/20/2025

5.599%

EUR

200

$

(4)

$

2

$

0

$

(2)

Total Swap Agreements

$

(4)

$

2

$

0

$

(2)

(1)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(3)

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)

The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of April 30, 2022 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 04/30/2022

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

135,480

$

5,268

$

140,748

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

83,323

 

0

 

83,323

 

 

Industrials

 

0

 

196,155

 

38,619

 

234,774

 

 

Utilities

 

0

 

73,365

 

0

 

73,365

 

Convertible Bonds & Notes

 

Industrials

 

0

 

4,386

 

0

 

4,386

 

Municipal Bonds & Notes

 

District of Columbia

 

0

 

11,565

 

0

 

11,565

 

 

Illinois

 

0

 

19,319

 

0

 

19,319

 

 

New York

 

0

 

371

 

0

 

371

 

 

Puerto Rico

 

0

 

3,204

 

0

 

3,204

 

 

Texas

 

0

 

9,976

 

0

 

9,976

 

 

Virginia

 

0

 

1,285

 

0

 

1,285

 

 

West Virginia

 

0

 

6,000

 

0

 

6,000

 

U.S. Government Agencies

 

0

 

9,088

 

8,333

 

17,421

 

Non-Agency Mortgage-Backed Securities

 

0

 

69,200

 

0

 

69,200

 

Asset-Backed Securities

 

0

 

60,418

 

5,856

 

66,274

 

Sovereign Issues

 

0

 

19,064

 

0

 

19,064

 

Common Stocks

 

Communication Services

 

4,710

 

0

 

1,994

 

6,704

 

 

Energy

 

3,822

 

0

 

91

 

3,913

 

 

Financials

 

0

 

0

 

6,795

 

6,795

 

 

Industrials

 

0

 

60

 

15,334

 

15,394

 

Rights

 

Financials

 

0

 

0

 

262

 

262

 

Warrants

 

Financials

 

0

 

0

 

1

 

1

 

 

Industrials

 

0

 

0

 

1,099

 

1,099

 

 

Information Technology

 

0

 

0

 

13,083

 

13,083

 

Preferred Securities

 

Financials

 

0

 

56,048

 

0

 

56,048

 

 

Industrials

 

0

 

354

 

71,635

 

71,989

 

Real Estate Investment Trusts

 

Real Estate

 

25,556

 

0

 

0

 

25,556

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

4,200

 

0

 

4,200

 

 

Argentina Treasury Bills

 

0

 

237

 

0

 

237

 

 

U.S. Treasury Bills

 

0

 

30,851

 

0

 

30,851

 

 

U.S. Treasury Cash Management Bills

 

0

 

1,994

 

0

 

1,994

 

Total Investments

$

34,088

$

795,943

$

168,370

$

998,401

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

0

 

3,825

 

0

 

3,825

 

Over the counter

 

0

 

5,963

 

0

 

5,963

 

 

$

0

$

9,788

$

0

$

9,788

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(3,523)

 

0

 

(3,523)

 

Over the counter

 

0

 

(554)

 

0

 

(554)

 

 

$

0

$

(4,077)

$

0

$

(4,077)

 

Total Financial Derivative Instruments

$

0

$

5,711

$

0

$

5,711

 

Totals

$

34,088

$

801,654

$

168,370

$

1,004,112

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended April 30, 2022:

Category and Subcategory

Beginning
Balance
at 07/31/2021

Net
Purchases

Net
Sales/Settlements

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

Net Change in
Unrealized
Appreciation/
(Depreciation)(1)

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 04/30/2022

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
04/30/2022(1)

Investments in Securities, at Value

Loan Participations and Assignments

$

15,719

$

1,099

$

(9,314)

$

(22)

$

83

$

1,777

$

0

$

(4,074)

$

5,268

$

181

Corporate Bonds & Notes

 

Industrials

 

0

 

27,586

 

(65)

 

0

 

0

 

(175)

 

11,273

 

0

 

38,619

 

(175)

U.S. Government Agencies

 

8,336

 

0

 

(134)

 

19

 

46

 

66

 

0

 

0

 

8,333

 

60

Asset-Backed Securities

 

5,870

 

857

 

0

 

0

 

0

 

(871)

 

0

 

0

 

5,856

 

(871)

Common Stocks

 

Communication Services

 

3,223

 

0

 

0

 

0

 

0

 

(1,229)

 

0

 

0

 

1,994

 

(1,229)

 

Energy

 

91

 

0

 

0

 

0

 

0

 

0

 

0

 

0

 

91

 

0

 

Financials

 

0

 

15,920

 

0

 

0

 

0

 

(9,125)

 

0

 

0

 

6,795

 

(9,125)

Schedule of Investments PIMCO High Income Fund (Cont.)

April 30, 2022 (Unaudited)

 

 

 

 

Industrials

 

9,968

 

0

 

0

 

0

 

0

 

5,366

 

0

 

0

 

15,334

 

5,366

 

Materials(2)

 

1,150

 

0

 

(1,118)

 

0

 

87

 

(119)

 

0

 

0

 

0

 

0

Rights

 

Financials

 

0

 

0

 

0

 

0

 

0

 

262

 

0

 

0

 

262

 

262

Warrants

 

Financials

 

0

 

9,049

 

0

 

0

 

(57)

 

(8,991)

 

0

 

0

 

1

 

(8,991)

 

Industrials

 

1,131

 

0

 

0

 

0

 

0

 

(32)

 

0

 

0

 

1,099

 

(32)

 

Information Technology

 

11,995

 

0

 

0

 

0

 

0

 

1,088

 

0

 

0

 

13,083

 

1,088

Preferred Securities

 

Industrials

 

56,717

 

0

 

0

 

0

 

0

 

14,918

 

0

 

0

 

71,635

 

14,139

Totals

$

114,200

$

54,511

$

(10,631)

$

(3)

$

159

$

2,935

$

11,273

$

(4,074)

$

168,370

$

673


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:

 

 

 

 

 

(% Unless Noted Otherwise)

 

Category and Subcategory

Ending
Balance
at 04/30/2022

Valuation Technique

Unobservable Inputs

 


Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

5,197

Reference Instrument

Yield

 

6.058

—

 

 

71

Third Party Vendor

Broker Quote

 

67.500

—

Corporate Bonds & Notes

 

Industrials

 

27,411

Discounted Cash Flow

Discount Rate

 

9.525

—

 

 

 

11,208

Reference Instrument

Weighted Average

BRL

46.445

—

U.S. Government Agencies

 

8,333

Proxy Pricing

Base Price

 

62.000

—

Asset-Backed Securities

 

2,635

Discounted Cash Flow

Discount Rate

 

7.500 - 20.000

10.290

 

 

3,221

Proxy Pricing

Base Price

 

6,724.141 - 8,897.592

8,044.743

Common Stocks

 

Communication Services

 

1,994

Stock Price w/Liquidity Discount

Liquidity Discount

 

10.000

—

 

Energy

 

91

Other Valuation Techniques(3)

—

 

—

—

 

Financials

 

6,795

Indicative Market Quotation

Broker Quote

$

30.625

—

 

Industrials

 

15,334

Discounted Cash Flow

Discount Rate

 

10.500 - 17.700

10.500

Rights

 

Financials

 

262

Other Valuation Techniques(3)

—

 

—

—

Warrants

 

Financials

 

1

Other Valuation Techniques(3)

—

 

—

—

 

Industrials

 

1,099

Comparable Companies

EBITDA Multiple

X/X

9.800/9.000

—

 

Information Technology

 

13,083

Comparable Companies / Discounted Cash Flow

EBITDA Multiple

X

3.875

—

Preferred Securities

 

Industrials

 

69,657

Comparable Companies

EBITDA Multiple

X/X

9.800/9.000

—

 

 

 

1,978

Comparable Companies / Discounted Cash Flow

Book Value Multiple / Discount Rate

X/%

0.304/20.180

—

Total

$

168,370

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at April 30, 2022 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

Sector type updated from Financials to Materials since prior fiscal year end.

(3)

Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund.

 

​

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, less any liabilities, attributable to the Fund, 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. If regular trading on the NYSE closes earlier than scheduled, the Fund reserves the right to either (i) calculate its NAV as of the earlier closing time or (ii) calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day. The Fund generally does not calculate its NAV on days during which the NYSE is closed. However, if the NYSE is closed on a day it would normally be open for business, the Fund reserves the right to calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day or such other time that the Fund may determine.

 

For purposes of calculating 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 such data reflecting 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, quotes obtained from a quotation reporting system, established market makers or pricing services. Swap agreements are valued on the basis of market-based prices supplied by Pricing Services or quotes obtained from brokers and dealers. 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 Fund’s 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 foreign (non-U.S.) securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) 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.

 

 

Notes to Financial Statements (Cont.)

 

(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, 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, Level 2 and Level 3 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, Level 2 and Level 3 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.

 

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or pricing services. Financial derivatives using these valuation adjustments are 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.

 

Notes to Financial Statements (Cont.)

 

 

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, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

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.

 

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.

 

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. 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 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.

 

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. 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.

 

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject 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 April 30, 2022, 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:
BOA Bank of America N.A. CIB Canadian Imperial Bank of Commerce MEI Merrill Lynch International
BOS BofA Securities, Inc. DUB Deutsche Bank AG MYI Morgan Stanley & Co. International PLC
BPS BNP Paribas S.A. FBF Credit Suisse International NXN Natixis New York
BRC Barclays Bank PLC HUS HSBC Bank USA N.A. RDR RBC Capital Markets LLC
BYR The Bank of Nova Scotia - Toronto IND Crédit Agricole Corporate and Investment Bank S.A. SCX Standard Chartered Bank, London
CBK Citibank N.A. JML JP Morgan Securities Plc SOG Societe Generale Paris
CDC Natixis Securities Americas LLC JPM JP Morgan Chase Bank N.A. UBS UBS Securities LLC
CEW Canadian Imperial Bank of Commerce
 
Currency Abbreviations:
ARS Argentine Peso EUR Euro PEN Peruvian New Sol
BRL Brazilian Real GBP British Pound USD (or $) United States Dollar
CAD Canadian Dollar
 
Index/Spread Abbreviations:
BADLARPP Argentina Badlar Floating Rate Notes LIBOR03M 3 Month USD-LIBOR SONIO Sterling Overnight Interbank Average Rate
EUR003M 3 Month EUR Swap Rate SOFR Secured Overnight Financing Rate US0003M ICE 3-Month USD LIBOR
 
Other Abbreviations:
ABS Asset-Backed Security EBITDA Earnings before Interest, Taxes, Depreciation and Amoritization PIK Payment-in-Kind
BABs Build America Bonds EURIBOR Euro Interbank Offered Rate TBA To-Be-Announced
CDO Collateralized Debt Obligation LIBOR London Interbank Offered Rate TBD To-Be-Determined
CLO Collateralized Loan Obligation OIS Overnight Index Swap TBD% Interest rate to be determined when loan settles or at the time of funding
DAC Designated Activity Company