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

Schedule of Investments PIMCO High Income Fund

September 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 140.8% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 29.5%

 

 

 

 

AP Core Holdings LLC
8.615% (LIBOR01M + 5.500%) due 09/01/2027 ~

$

8,328

$

7,745

Caesars Resort Collection LLC
5.865% (LIBOR01M + 2.750%) due 12/23/2024 ~

 

6,380

 

6,244

Carnival Corp.

 

 

 

 

3.975% (EUR006M + 3.750%) due 06/30/2025 ~

EUR

2,468

 

2,214

6.127% (LIBOR06M + 3.250%) due 10/18/2028 ~

$

1,218

 

1,075

Diamond Sports Group LLC
10.695% due 05/26/2026

 

13,959

 

13,470

Envision Healthcare Corp.

 

 

 

 

TBD% due 04/29/2027 µ

 

1,615

 

1,589

10.602% due 04/29/2027

 

8,885

 

8,738

14.077% due 04/28/2028

 

20,705

 

19,255

Forbes Energy Services LLC

 

 

 

 

7.000% due 12/31/2022 «

 

954

 

0

11.000% due 12/30/2022 «

 

13

 

0

Gateway Casinos & Entertainment Ltd.

 

 

 

 

10.656% due 10/15/2027

 

7,395

 

7,289

11.408% due 10/18/2027

CAD

1,617

 

1,154

Intelsat Jackson Holdings SA
7.445% due 02/01/2029

$

4,346

 

4,090

Lealand Finance Co. BV
6.115% (LIBOR01M + 3.000%) due 06/28/2024 ~

 

105

 

67

Lealand Finance Co. BV (4.115% Cash and 3.000% PIK)
7.115% (LIBOR01M + 1.000%) due 06/30/2025 ~(b)

 

508

 

258

McAfee LLC
6.362% due 03/01/2029

 

3,200

 

2,927

MPH Acquisition Holdings LLC
7.320% (LIBOR03M + 4.250%) due 09/01/2028 ~

 

7,642

 

7,085

Oi SA

 

 

 

 

TBD% due 02/26/2035 «

 

644

 

225

1.750% (LIBOR03M) due 02/26/2035 «~

 

2,781

 

973

Poseidon Bidco
TBD% due 07/14/2028 «

EUR

7,400

 

6,890

Promotora de Informaciones SA

 

 

 

 

5.250% (EUR006M + 5.250%) due 12/31/2026 ~

 

11,661

 

10,271

9.000% (EUR006M + 8.000%) due 06/30/2027 ~

 

1,663

 

1,459

PUG LLC
6.615% (LIBOR01M + 3.500%) due 02/12/2027 «~

$

1,958

 

1,714

Rising Tide Holdings, Inc.
7.865% (LIBOR01M + 4.750%) due 06/01/2028 ~

 

1,287

 

1,105

Sasol Ltd.
4.684% (LIBOR03M + 1.600%) due 11/23/2022 «~µ

 

4,502

 

4,485

SkyMiles IP Ltd.
6.460% (LIBOR03M + 3.750%) due 10/20/2027 ~

 

1,400

 

1,408

Steenbok Lux Finco 2 SARL (10.750% PIK)
10.750% (EUR003M) due 12/29/2022 ~(b)

EUR

15,234

 

9,326

Syniverse Holdings, Inc.
10.553% due 05/13/2027

$

19,838

 

17,172

Team Health Holdings, Inc.
5.865% (LIBOR01M + 2.750%) due 02/06/2024 ~

 

15,164

 

13,932

Telemar Norte Leste SA

 

 

 

 

TBD% due 02/26/2035 «

 

8,295

 

2,903

1.750% (LIBOR01Y) due 02/26/2035 «~

 

2,007

 

702

4.557% (LIBOR03M + 1.750%) due 02/26/2035 «~

 

8,622

 

3,018

U.S. Renal Care, Inc.

 

 

 

 

8.115% (LIBOR01M + 5.000%) due 06/26/2026 ~

 

23,854

 

17,335

8.615% (LIBOR01M + 5.500%) due 06/26/2026 ~

 

1,758

 

1,278

Veritas U.S., Inc.
8.674% (LIBOR03M + 5.000%) due 09/01/2025 ~

 

2,909

 

2,325

Westmoreland Mining Holdings LLC (15.000% PIK)
15.000% due 03/15/2029 (b)

 

8,312

 

5,668

Windstream Services LLC
9.365% (LIBOR01M + 6.250%) due 09/21/2027 «~

 

2,653

 

2,414

Total Loan Participations and Assignments (Cost $214,922)

 

 

 

187,803

CORPORATE BONDS & NOTES 50.2%

 

 

 

 

BANKING & FINANCE 10.0%

 

 

 

 

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

 

1,270

 

1,328

 

 

 

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

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

 

5,200

 

3,928

Armor Holdco, Inc.
8.500% due 11/15/2029 (k)

 

1,900

 

1,519

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

 

4,221

 

3,359

Banca Monte dei Paschi di Siena SpA

 

 

 

 

1.875% due 01/09/2026 (k)

EUR

1,400

 

1,114

2.625% due 04/28/2025 (k)

 

9,492

 

7,999

3.625% due 09/24/2024 (k)

 

2,131

 

1,903

5.375% due 01/18/2028 •(k)

 

1,700

 

893

8.000% due 01/22/2030 •(k)

 

2,230

 

1,224

8.500% due 09/10/2030 •(k)

 

3,500

 

1,968

10.500% due 07/23/2029 (k)

 

2,067

 

1,215

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

PEN

1,000

 

233

Barclays PLC
7.125% due 06/15/2025 •(g)(h)(k)

GBP

1,600

 

1,552

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

EUR

3,300

 

2,643

Claveau Re Ltd.
20.497% (T-BILL 3MO + 17.250%) due 07/08/2028 ~

$

1,200

 

1,165

Corsair International Ltd.
5.473% due 01/28/2027 •

EUR

1,000

 

919

Cosaint Re Pte. Ltd.
12.791% (T-BILL 1MO + 9.250%) due 04/03/2028 ~

$

1,000

 

150

Credit Agricole SA
7.875% due 01/23/2024 •(g)(h)

 

250

 

240

Credit Suisse Group AG

 

 

 

 

6.373% due 07/15/2026 •(k)

 

500

 

484

6.442% due 08/11/2028 •(k)

 

700

 

652

7.250% due 09/12/2025 •(g)(h)

 

200

 

153

7.500% due 07/17/2023 •(g)(h)(k)

 

400

 

344

GSPA Monetization Trust
6.422% due 10/09/2029

 

4,494

 

4,323

Hestia Re Ltd.
9.500% (T-BILL 1MO + 9.500%) due 04/22/2025 ~

 

939

 

141

Lloyds Banking Group PLC
4.947% due 06/27/2025 •(g)(h)

EUR

716

 

623

Sanders Re Ltd.
11.750% (T-BILL 3MO + 11.750%) due 04/09/2029 ~

$

1,545

 

1,503

Uniti Group LP

 

 

 

 

4.750% due 04/15/2028 (k)

 

2,800

 

2,218

6.000% due 01/15/2030 (k)

 

8,363

 

5,326

6.500% due 02/15/2029 (k)

 

3,100

 

2,084

VICI Properties LP
3.875% due 02/15/2029 (k)

 

6,900

 

5,803

Voyager Aviation Holdings LLC
8.500% due 05/09/2026 (k)

 

7,250

 

5,927

Yosemite Re Ltd.
12.995% (T-BILL 3MO + 9.750%) due 06/06/2025 ~

 

840

 

833

 

 

 

 

63,766

INDUSTRIALS 29.1%

 

 

 

 

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

GBP

895

 

855

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

$

972

 

746

American Airlines Pass-Through Trust

 

 

 

 

3.375% due 11/01/2028 (k)

 

1,042

 

869

3.700% due 04/01/2028 (k)

 

300

 

256

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

 

1,600

 

1,251

Boeing Co.

 

 

 

 

5.930% due 05/01/2060 (k)

 

1,007

 

865

6.125% due 02/15/2033 (k)

 

1,909

 

1,831

CGG SA

 

 

 

 

7.750% due 04/01/2027

EUR

1,400

 

1,169

8.750% due 04/01/2027 (k)

$

7,789

 

6,552

Champion Path Holdings Ltd.

 

 

 

 

4.500% due 01/27/2026 (k)

 

1,700

 

1,175

4.850% due 01/27/2028 (k)

 

1,600

 

1,038

Charter Communications Operating LLC
3.900% due 06/01/2052 (k)

 

1,000

 

621

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

 

7,757

 

6,421

Coty, Inc.
3.875% due 04/15/2026 (k)

EUR

7,300

 

6,481

DISH DBS Corp.

 

 

 

 

5.250% due 12/01/2026 (k)

$

4,800

 

3,941

5.750% due 12/01/2028 (k)

 

7,850

 

5,947

Dufry One BV
3.625% due 04/15/2026

CHF

3,441

 

3,022

Exela Intermediate LLC
11.500% due 07/15/2026

$

125

 

37

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

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

 

800

 

800

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

 

1,826

 

1,438

General Shopping Investments Ltd.
15.335% due 03/20/2023 ^(c)(g)

 

2,500

 

318

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

 

3,462

 

3,490

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

 

7,122

 

6,115

IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK)
3.875% due 05/15/2027 (b)

EUR

2,143

 

1,619

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

$

16,312

 

13,909

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

EUR

3,300

 

3,008

Market Bidco Finco PLC
4.750% due 11/04/2027

 

900

 

706

Melco Resorts Finance Ltd.
4.875% due 06/06/2025 (k)

$

2,000

 

1,485

MGM China Holdings Ltd.

 

 

 

 

5.250% due 06/18/2025 (k)

 

2,500

 

2,097

5.375% due 05/15/2024 (k)

 

4,174

 

3,669

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

 

3,004

 

2,507

New Albertsons LP
6.570% due 02/23/2028

 

4,021

 

4,054

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

 

8,700

 

7,060

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

 

60

 

67

Odebrecht Oil & Gas Finance Ltd.
0.000% due 10/31/2022 (f)(g)

 

3,371

 

6

Petroleos Mexicanos

 

 

 

 

6.700% due 02/16/2032 (k)

 

1,677

 

1,179

6.750% due 09/21/2047 (k)

 

8,720

 

4,875

Prime Healthcare Services, Inc.
7.250% due 11/01/2025 (k)

 

1,200

 

1,073

Prosus NV
1.207% due 01/19/2026

EUR

1,000

 

830

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

$

1,169

 

696

Royal Caribbean Cruises Ltd.

 

 

 

 

10.875% due 06/01/2023 (k)

 

4,398

 

4,500

11.500% due 06/01/2025 (k)

 

1,653

 

1,759

Sands China Ltd.
5.900% due 08/08/2028 (k)

 

3,379

 

2,848

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

EUR

600

 

582

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039

$

2,208

 

1,932

5.750% due 09/30/2039 (k)

 

7,167

 

6,614

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

 

120

 

112

Transocean, Inc.

 

 

 

 

7.500% due 01/15/2026

 

80

 

59

8.000% due 02/01/2027

 

162

 

113

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

 

1,934

 

901

United Group BV
4.875% due 07/01/2024

EUR

100

 

92

Valaris Ltd. (8.250% Cash or 12.000% PIK)

 

 

 

 

8.250% due 04/30/2028 (b)(k)

$

1,412

 

1,393

8.250% due 04/30/2028 (b)

 

16

 

16

Vale SA
0.000% due 12/29/2049 «~(g)

BRL

120,000

 

7,942

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

$

2,780

 

2,133

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

 

8,659

 

8,982

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

 

2,054

 

1,239

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

 

26,611

 

24,216

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

 

9,423

 

7,822

Wynn Macau Ltd.

 

 

 

 

5.125% due 12/15/2029 (k)

 

400

 

261

5.500% due 01/15/2026 (k)

 

1,226

 

932

5.500% due 10/01/2027 (k)

 

4,200

 

2,906

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

5.625% due 08/26/2028 (k)

 

5,773

 

3,857

 

 

 

 

185,289

UTILITIES 11.1%

 

 

 

 

DTEK Finance PLC (3.500% Cash and 4.000% PIK)
7.500% due 12/31/2027 (b)(k)

 

2,237

 

498

Eskom Holdings SOC Ltd.
6.750% due 08/06/2023

 

2,278

 

2,165

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

 

13,830

 

12,856

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

 

1,122

 

1,095

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

 

5,130

 

5,154

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

 

846

 

356

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

 

3,247

 

1,859

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

 

284

 

278

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

 

16,262

 

3,191

Oi SA
10.000% due 07/27/2025

 

20,600

 

6,100

Pacific Gas & Electric Co.

 

 

 

 

4.000% due 12/01/2046 (k)

 

600

 

384

4.200% due 03/01/2029 (k)

 

2,000

 

1,701

4.250% due 03/15/2046 (k)

 

2,300

 

1,552

4.450% due 04/15/2042

 

1,203

 

851

4.500% due 07/01/2040 (k)

 

3,488

 

2,545

4.550% due 07/01/2030 (k)

 

2,683

 

2,302

4.600% due 06/15/2043

 

200

 

141

4.750% due 02/15/2044 (k)

 

7,809

 

5,609

4.950% due 07/01/2050 (k)

 

1,054

 

774

5.450% due 06/15/2027 (k)

 

1,400

 

1,321

Peru LNG SRL
5.375% due 03/22/2030 (k)

 

8,700

 

6,877

Petrobras Global Finance BV
6.625% due 01/16/2034 (k)

GBP

200

 

180

PG&E Wildfire Recovery Funding LLC
4.451% due 12/01/2049 (k)

$

2,900

 

2,494

Rio Oil Finance Trust
9.250% due 07/06/2024 (k)

 

8,216

 

8,305

Transocean Phoenix 2 Ltd.
7.750% due 10/15/2024

 

2,250

 

2,194

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

 

137

 

125

 

 

 

 

70,907

Total Corporate Bonds & Notes (Cost $401,634)

 

 

 

319,962

CONVERTIBLE BONDS & NOTES 0.6%

 

 

 

 

INDUSTRIALS 0.6%

 

 

 

 

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

 

5,100

 

3,522

Transocean, Inc.
4.625% due 09/30/2029

 

86

 

73

Total Convertible Bonds & Notes (Cost $5,191)

 

 

 

3,595

MUNICIPAL BONDS & NOTES 5.9%

 

 

 

 

DISTRICT OF COLUMBIA 1.7%

 

 

 

 

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

 

9,740

 

10,667

ILLINOIS 2.0%

 

 

 

 

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

 

 

 

 

6.257% due 01/01/2040

 

11,000

 

9,955

7.517% due 01/01/2040

 

2,805

 

2,866

 

 

 

 

12,821

PUERTO RICO 0.1%

 

 

 

 

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

 

1,720

 

862

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

Commonwealth of Puerto Rico General Obligation Bonds, Series 2021
0.000% due 07/01/2033 (f)

 

443

 

245

 

 

 

 

1,107

TEXAS 1.3%

 

 

 

 

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

 

7,425

 

8,173

WEST VIRGINIA 0.8%

 

 

 

 

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

 

66,200

 

4,994

Total Municipal Bonds & Notes (Cost $38,698)

 

 

 

37,762

U.S. GOVERNMENT AGENCIES 2.4%

 

 

 

 

Fannie Mae

 

 

 

 

3.016% due 07/25/2050 •(a)(k)

 

3,554

 

363

3.500% due 09/25/2027 (a)

 

96

 

6

4.000% due 06/25/2050 (a)(k)

 

2,293

 

435

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

 

3,618

 

776

10.000% due 01/25/2034 •

 

172

 

183

Freddie Mac

 

 

 

 

3.016% due 06/25/2050 •(a)(k)

 

3,913

 

407

3.282% due 07/15/2035 ~(a)

 

480

 

35

3.382% due 02/15/2042 ~(a)

 

756

 

48

4.322% due 08/15/2036 ~(a)

 

293

 

34

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

 

600

 

91

6.156% due 11/25/2055 «~

 

13,357

 

8,247

7.365% due 05/15/2033 •

 

25

 

23

12.284% due 10/25/2027 •

 

4,298

 

4,432

Ginnie Mae

 

 

 

 

3.500% due 06/20/2042 (a)(k)

 

41

 

8

3.500% due 03/20/2043 (a)

 

539

 

119

4.500% due 07/20/2042 (a)

 

95

 

12

5.000% due 09/20/2042 (a)

 

172

 

27

Uniform Mortgage-Backed Security, TBA
3.000% due 11/01/2052

 

100

 

87

Total U.S. Government Agencies (Cost $17,492)

 

 

 

15,333

NON-AGENCY MORTGAGE-BACKED SECURITIES 9.5%

 

 

 

 

Adjustable Rate Mortgage Trust
3.424% due 05/25/2036 •

 

3,147

 

1,232

Banc of America Alternative Loan Trust

 

 

 

 

2.516% due 06/25/2046 ^~(a)

 

2,726

 

145

3.444% due 06/25/2037 •

 

2,058

 

1,542

3.556% due 06/25/2037 ^•(a)

 

2,235

 

203

Banc of America Funding Trust

 

 

 

 

6.000% due 07/25/2037 ^

 

298

 

235

6.250% due 10/26/2036

 

4,176

 

2,173

Banc of America Mortgage Trust
2.759% due 02/25/2036 ^~

 

6

 

5

BCAP LLC Trust

 

 

 

 

0.000% due 06/26/2036 ~

 

414

 

305

4.690% due 03/26/2037 þ

 

1,230

 

1,602

6.000% due 05/26/2037 ~

 

4,294

 

1,969

Bear Stearns Adjustable Rate Mortgage Trust
3.731% due 11/25/2034 ~

 

8

 

7

CD Mortgage Trust
5.688% due 10/15/2048

 

142

 

124

Chase Mortgage Finance Trust

 

 

 

 

2.968% due 12/25/2035 ^~

 

8

 

8

3.710% due 09/25/2036 ^~

 

42

 

36

5.500% due 05/25/2036 ^

 

1

 

1

Citigroup Commercial Mortgage Trust
5.692% due 12/10/2049 ~

 

3,169

 

1,565

Citigroup Mortgage Loan Trust

 

 

 

 

3.525% due 11/25/2035 ~

 

9,983

 

5,920

3.529% due 07/25/2037 ^~

 

42

 

38

6.500% due 09/25/2036

 

2,416

 

1,483

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

 

2,980

 

510

Countrywide Alternative Loan Trust

 

 

 

 

1.916% due 04/25/2035 ~(a)

 

2,153

 

48

3.196% due 02/25/2037 ^~

 

97

 

88

3.584% due 12/25/2046 •

 

1,776

 

1,481

6.000% due 02/25/2037 ^

 

4,120

 

1,762

6.250% due 12/25/2036 ^•

 

2,144

 

1,015

6.500% due 06/25/2036 ^

 

609

 

318

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

2.266% due 12/25/2036 ~(a)

 

1,683

 

66

3.339% due 09/25/2047 ^~

 

17

 

15

3.349% due 09/20/2036 ^~

 

248

 

221

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

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

 

1,314

 

845

Eurosail PLC

 

 

 

 

3.576% due 06/13/2045 •

GBP

3,347

 

2,820

6.226% due 06/13/2045 ~

 

988

 

951

GS Mortgage Securities Corp.
6.246% due 09/15/2027 •(k)

$

1,200

 

1,205

HarborView Mortgage Loan Trust

 

 

 

 

3.322% due 08/19/2036 ^~

 

3

 

3

3.388% due 08/19/2036 ^~

 

152

 

135

IM Pastor Fondo de Titluzacion Hipotecaria
1.240% due 03/22/2043 •

EUR

2,946

 

2,521

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

$

2,311

 

1,587

JP Morgan Alternative Loan Trust
3.450% due 03/25/2037 ^~

 

2,878

 

2,821

JP Morgan Mortgage Trust

 

 

 

 

3.188% due 07/27/2037 ~

 

3,867

 

2,758

3.536% due 01/25/2037 ^~(a)

 

13,225

 

2,427

Lehman XS Trust
3.524% due 06/25/2047 •

 

1,489

 

1,321

Nomura Asset Acceptance Corp. Alternative Loan Trust
3.483% due 04/25/2036 ^~

 

2,788

 

2,439

Nomura Resecuritization Trust
3.872% due 07/26/2035 ~

 

4,375

 

3,679

Residential Asset Securitization Trust

 

 

 

 

3.484% due 01/25/2046 ^~

 

169

 

55

6.250% due 09/25/2037 ^

 

4,519

 

2,018

6.500% due 08/25/2036 ^

 

795

 

264

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

3.361% due 01/25/2036 ^~

 

100

 

65

3.430% due 04/25/2047 ~

 

290

 

153

Structured Asset Mortgage Investments Trust
3.464% due 07/25/2046 ^~

 

5,609

 

4,285

WaMu Mortgage Pass-Through Certificates Trust
3.346% due 05/25/2037 ^~

 

71

 

57

Washington Mutual Mortgage Pass-Through Certificates Trust

 

 

 

 

3.596% due 04/25/2037 ~(a)

 

7,492

 

1,300

6.500% due 03/25/2036 ^

 

4,316

 

3,002

Total Non-Agency Mortgage-Backed Securities (Cost $71,608)

 

 

 

60,828

ASSET-BACKED SECURITIES 8.8%

 

 

 

 

ACE Securities Corp. Home Equity Loan Trust
3.364% due 07/25/2036 •

 

1,737

 

1,442

Apidos CLO
0.000% due 07/22/2026 ~

 

3,000

 

3

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

EUR

2,150

 

1,057

Belle Haven ABS CDO Ltd.
2.543% due 07/05/2046 ~

$

185,947

 

748

Carlyle Global Market Strategies Euro CLO DAC

 

 

 

 

0.000% due 04/15/2027 ~

EUR

800

 

258

0.000% due 01/25/2032 ~

 

2,200

 

688

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

$

4,200

 

1,943

CIFC Funding Ltd.

 

 

 

 

0.000% due 04/24/2030 ~

 

4,000

 

1,149

0.000% due 10/22/2031 ~

 

3,000

 

682

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

EUR

800

 

192

Countrywide Asset-Backed Certificates Trust
3.354% due 09/25/2046 •(k)

$

12,388

 

9,986

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

EUR

2,500

 

706

Duke Funding Ltd.
3.503% due 08/07/2033 •

$

14,064

 

2,650

Glacier Funding CDO Ltd.
3.077% due 08/04/2035 •

 

6,319

 

879

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

EUR

1,000

 

243

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

$

7,503

 

2,329

Long Beach Mortgage Loan Trust
3.464% due 02/25/2036 •

 

1,004

 

867

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

EUR

4,150

 

1,511

Marlette Funding Trust

 

 

 

 

0.000% due 12/15/2028 «(f)

$

24

 

1,783

0.000% due 04/16/2029 «(f)

 

7

 

405

0.000% due 07/16/2029 «(f)

 

10

 

745

Merrill Lynch Mortgage Investors Trust
3.404% due 04/25/2037 •

 

632

 

319

Morgan Stanley Mortgage Loan Trust

 

 

 

 

4.845% due 11/25/2036 ^•

 

694

 

294

6.465% due 09/25/2046 ^þ

 

5,813

 

2,369

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

People's Financial Realty Mortgage Securities Trust
3.244% due 09/25/2036 •

 

20,068

 

4,155

Renaissance Home Equity Loan Trust

 

 

 

 

6.998% due 09/25/2037 ^þ

 

6,608

 

3,181

7.238% due 09/25/2037 ^þ

 

5,717

 

2,751

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

EUR

1,100

 

447

Sherwood Funding CDO Ltd.
3.016% due 11/06/2039 ~

$

31,208

 

7,479

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

 

2

 

533

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

 

5

 

1,836

South Coast Funding Ltd.
3.512% due 08/10/2038 ~

 

24,720

 

2,102

Specialty Underwriting & Residential Finance Trust
4.059% due 06/25/2036 •

 

409

 

316

Washington Mutual Asset-Backed Certificates Trust
3.384% due 05/25/2036 ~

 

157

 

126

Total Asset-Backed Securities (Cost $124,172)

 

 

 

56,174

SOVEREIGN ISSUES 1.3%

 

 

 

 

Argentina Government International Bond

 

 

 

 

0.500% due 07/09/2030 þ

 

9,677

 

1,701

1.000% due 07/09/2029

 

163

 

32

1.500% due 07/09/2035 þ

 

8,923

 

1,673

1.500% due 07/09/2046 þ

 

115

 

22

3.500% due 07/09/2041 þ(k)

 

9,486

 

2,044

3.875% due 01/09/2038 þ(k)

 

1,326

 

314

15.500% due 10/17/2026

ARS

38,100

 

32

47.331% (BADLARPP) due 10/04/2022 ~

 

84

 

0

Autonomous City of Buenos Aires

 

 

 

 

69.817% (BADLARPP + 3.750%) due 02/22/2028 ~

 

34,626

 

119

72.040% (BADLARPP + 3.250%) due 03/29/2024 ~

 

47,730

 

173

Ghana Government International Bond

 

 

 

 

6.375% due 02/11/2027

$

600

 

242

7.875% due 02/11/2035

 

600

 

225

8.750% due 03/11/2061

 

200

 

74

Provincia de Buenos Aires
62.098% due 04/12/2025

ARS

270,895

 

903

Republic of Greece Government International Bond

 

 

 

 

2.000% due 04/22/2027

EUR

55

 

50

3.900% due 01/30/2033

 

122

 

110

4.000% due 01/30/2037

 

96

 

86

4.200% due 01/30/2042

 

119

 

109

Ukraine Government International Bond
4.375% due 01/27/2032 ^(c)

 

1,471

 

276

Venezuela Government International Bond

 

 

 

 

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

$

34

 

3

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

 

452

 

36

Total Sovereign Issues (Cost $24,278)

 

 

 

8,224

 

 

SHARES

 

 

COMMON STOCKS 5.1%

 

 

 

 

COMMUNICATION SERVICES 0.5%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (d)

 

754,306

 

1,033

iHeartMedia, Inc. 'A' (d)

 

178,528

 

1,309

iHeartMedia, Inc. 'B' «(d)

 

138,545

 

914

 

 

 

 

3,256

ENERGY 0.6%

 

 

 

 

Axis Energy Services 'A' «(d)(i)

 

6,207

 

233

Noble Corp. PLC (d)

 

117,925

 

3,488

 

 

 

 

3,721

FINANCIALS 1.0%

 

 

 

 

Intelsat SA «(d)(i)

 

221,868

 

6,212

INDUSTRIALS 3.0%

 

 

 

 

Neiman Marcus Group Ltd. LLC «(d)(i)

 

90,604

 

16,403

Syniverse Holdings, Inc. «(d)(i)

 

2,183,864

 

2,087

Voyager Aviation Holdings LLC «(d)

 

1,009

 

0

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

Westmoreland Mining Holdings «(d)(i)

 

88,291

 

486

 

 

 

 

18,976

Total Common Stocks (Cost $36,050)

 

 

 

32,165

RIGHTS 0.0%

 

 

 

 

FINANCIALS 0.0%

 

 

 

 

Intelsat Jackson Holdings SA «(d)

 

23,289

 

99

Total Rights (Cost $0)

 

 

 

99

WARRANTS 1.4%

 

 

 

 

FINANCIALS 0.0%

 

 

 

 

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

 

250

 

1

Intelsat Jackson Holdings SA - Exp. 12/05/2025 «

 

23,229

 

116

 

 

 

 

117

INDUSTRIALS 0.1%

 

 

 

 

Sequa Corp. - Exp. 04/28/2024 «

 

1,795,000

 

336

INFORMATION TECHNOLOGY 1.3%

 

 

 

 

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

 

537,548

 

8,531

Total Warrants (Cost $13,446)

 

 

 

8,984

PREFERRED SECURITIES 19.7%

 

 

 

 

BANKING & FINANCE 6.8%

 

 

 

 

AGFC Capital Trust
4.262% (US0003M + 1.750%) due 01/15/2067 ~(k)

 

27,410,000

 

14,612

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

 

70,000

 

63

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

 

2,100,000

 

2,051

Nationwide Building Society
10.250% ~

 

71,095

 

9,303

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

 

8,700

 

5,429

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

 

12,890,000

 

11,623

 

 

 

 

43,081

INDUSTRIALS 12.9%

 

 

 

 

General Electric Co.
6.623% (US0003M + 3.330%) due 12/15/2022 ~(g)

 

373,000

 

351

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

 

59,876

 

80,195

Voyager Aviation Holdings LLC
9.500% «

 

6,055

 

1,896

 

 

 

 

82,442

Total Preferred Securities (Cost $88,070)

 

 

 

125,523

REAL ESTATE INVESTMENT TRUSTS 0.8%

 

 

 

 

REAL ESTATE 0.8%

 

 

 

 

CBL & Associates Properties, Inc.

 

14,084

 

361

Uniti Group, Inc.

 

261,443

 

1,817

VICI Properties, Inc.

 

95,221

 

2,842

Total Real Estate Investment Trusts (Cost $1,770)

 

 

 

5,020

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM INSTRUMENTS 5.6%

 

 

 

 

REPURCHASE AGREEMENTS (j) 2.7%

 

 

 

17,100

U.S. TREASURY BILLS 2.9%

 

 

 

 

2.354% due 10/13/2022 - 10/20/2022 (e)(f)(k)

$

18,200

 

18,182

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

Total Short-Term Instruments (Cost $35,284)

 

 

 

35,282

Total Investments in Securities (Cost $1,072,615)

 

 

 

896,754

Total Investments 140.8% (Cost $1,072,615)

 

 

$

896,754

Financial Derivative Instruments (l)(m) 0.5%(Cost or Premiums, net $65,068)

 

 

 

3,352

Auction Rate Preferred Shares (9.1)%

 

 

 

(58,050)

Other Assets and Liabilities, net (32.2)%

 

 

 

(204,967)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

637,089

Schedule of Investments PIMCO High Income Fund (Cont.)

September 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)

Payment in-kind security.

(c)

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

(d)

Security did not produce income within the last twelve months.

(e)

Coupon represents a weighted average yield to maturity.

(f)

Zero coupon security.

(g)

Perpetual maturity; date shown, if applicable, represents next contractual call date.

(h)

Contingent convertible security.

(i)

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

$

233

0.04

%

Ferroglobe PLC 9.375% due 12/31/2025

 

 

02/09/2017 – 12/04/2019

 

747

 

800

0.13

 

Intelsat SA

 

 

06/19/2017 – 02/23/2022

 

15,920

 

6,212

0.97

 

Neiman Marcus Group Ltd. LLC

 

 

09/25/2020

 

2,918

 

16,403

2.57

 

Syniverse Holdings, Inc.

 

 

05/12/2022

 

2,140

 

2,087

0.33

 

Westmoreland Mining Holdings

 

 

07/11/2016 – 10/19/2016

 

2,160

 

486

0.08

 

 

 

 

 

$

23,976

$

26,221

4.12%  

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(j)

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)

NOM

2.950%

09/30/2022

10/03/2022

$

17,100

U.S. Treasury Bonds 2.375% due 11/15/2049

$

(17,059)

$

17,100

$

17,104

Total Repurchase Agreements

 

$

(17,059)

$

17,100

$

17,104

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed(2)

 

Payable for
Reverse
Repurchase
Agreements

BOS

3.930%

09/29/2022

01/26/2023

$

(5,556)

$

(5,558)

BPS

0.800

08/30/2022

11/22/2022

EUR

(2,771)

 

(2,718)

 

1.690

04/18/2022

10/17/2022

$

(1,513)

 

(1,525)

 

1.990

04/27/2022

10/27/2022

 

(452)

 

(456)

 

1.990

05/02/2022

10/27/2022

 

(2,559)

 

(2,580)

 

1.990

06/17/2022

10/27/2022

 

(3,230)

 

(3,249)

 

1.990

07/08/2022

10/27/2022

 

(697)

 

(700)

 

3.270

08/12/2022

11/14/2022

 

(1,503)

 

(1,510)

 

3.350

09/29/2022

10/31/2022

 

(1,615)

 

(1,615)

 

3.550

08/02/2022

02/02/2023

 

(6,207)

 

(6,245)

 

3.550

08/29/2022

02/02/2023

 

(1,835)

 

(1,841)

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

 

3.550

09/02/2022

02/02/2023

 

(764)

 

(767)

 

3.550

09/16/2022

02/02/2023

 

(706)

 

(707)

 

3.760

08/12/2022

02/13/2023

 

(1,188)

 

(1,194)

 

3.760

08/30/2022

02/13/2023

 

(739)

 

(742)

 

3.760

08/31/2022

02/13/2023

 

(2,295)

 

(2,303)

 

3.935

09/01/2022

03/01/2023

 

(912)

 

(915)

 

4.600

09/22/2022

03/23/2023

 

(3,397)

 

(3,402)

 

4.620

09/23/2022

03/23/2023

 

(2,544)

 

(2,547)

BRC

(3.250)

09/23/2022

TBD(3)

 

(1,268)

 

(1,267)

 

(0.750)

09/21/2022

TBD(3)

EUR

(926)

 

(907)

 

0.750

09/20/2022

TBD(3)

 

(938)

 

(920)

 

0.750

09/21/2022

TBD(3)

 

(943)

 

(925)

 

3.500

09/23/2022

TBD(3)

$

(1,872)

 

(1,874)

 

3.570

09/23/2022

TBD(3)

 

(17,240)

 

(17,257)

BYR

3.610

09/30/2022

03/24/2023

 

(4,485)

 

(4,486)

 

3.630

09/26/2022

03/24/2023

 

(9,651)

 

(9,656)

CDC

2.630

09/01/2022

10/07/2022

 

(910)

 

(912)

 

2.780

08/04/2022

10/14/2022

 

(2,049)

 

(2,059)

 

2.780

08/12/2022

10/14/2022

 

(3,120)

 

(3,133)

 

2.780

08/19/2022

10/14/2022

 

(2,474)

 

(2,483)

 

2.780

08/25/2022

10/14/2022

 

(593)

 

(595)

 

2.850

07/22/2022

10/21/2022

 

(1,632)

 

(1,641)

 

3.080

09/07/2022

10/31/2022

 

(3,099)

 

(3,106)

 

3.230

09/07/2022

10/31/2022

 

(13,915)

 

(13,947)

 

3.230

09/28/2022

10/31/2022

 

(266)

 

(266)

 

3.240

09/12/2022

11/14/2022

 

(180)

 

(180)

 

3.270

07/14/2022

01/09/2023

 

(3,305)

 

(3,330)

 

3.270

08/04/2022

01/09/2023

 

(2,137)

 

(2,149)

 

3.270

09/15/2022

10/28/2022

 

(1,094)

 

(1,096)

 

3.270

09/26/2022

01/09/2023

 

(3,052)

 

(3,054)

 

3.310

08/05/2022

11/07/2022

 

(3,909)

 

(3,930)

 

3.310

08/31/2022

11/07/2022

 

(481)

 

(483)

CEW

2.400

08/05/2022

TBD(3)

GBP

(965)

 

(1,081)

CIB

3.540

09/16/2022

10/17/2022

$

(355)

 

(356)

IND

1.680

04/12/2022

10/11/2022

 

(2,757)

 

(2,779)

 

3.060

08/08/2022

11/07/2022

 

(4,861)

 

(4,884)

 

3.110

08/08/2022

11/07/2022

 

(628)

 

(631)

 

3.310

09/26/2022

10/28/2022

 

(2,950)

 

(2,952)

 

3.610

09/15/2022

12/05/2022

 

(1,215)

 

(1,218)

JML

(1.750)

09/14/2022

TBD(3)

EUR

(160)

 

(156)

 

(0.750)

09/14/2022

TBD(3)

 

(278)

 

(272)

 

(0.250)

09/14/2022

TBD(3)

 

(95)

 

(93)

 

0.250

09/14/2022

TBD(3)

 

(451)

 

(442)

 

0.370

08/10/2022

11/08/2022

 

(6,444)

 

(6,319)

 

0.400

08/09/2022

11/07/2022

 

(559)

 

(548)

 

0.800

09/14/2022

TBD(3)

 

(8,267)

 

(8,106)

 

2.150

07/14/2022

TBD(3)

GBP

(1,374)

 

(1,538)

 

3.500

09/23/2022

11/04/2022

$

(1,475)

 

(1,476)

JPS

3.100

08/10/2022

11/02/2022

 

(4,145)

 

(4,164)

MEI

2.840

07/20/2022

10/24/2022

 

(222)

 

(224)

 

2.890

08/29/2022

10/24/2022

 

(712)

 

(714)

RCY

4.170

09/16/2022

01/17/2023

 

(1,323)

 

(1,326)

RDR

2.930

09/16/2022

10/24/2022

 

(2,573)

 

(2,577)

 

3.010

09/01/2022

10/31/2022

 

(2,799)

 

(2,807)

 

3.160

08/09/2022

11/10/2022

 

(5,280)

 

(5,305)

 

3.330

09/26/2022

10/26/2022

 

(1,557)

 

(1,558)

SOG

2.580

07/05/2022

10/06/2022

 

(2,373)

 

(2,388)

 

2.710

07/06/2022

10/12/2022

 

(5,734)

 

(5,772)

 

2.710

07/13/2022

10/12/2022

 

(4,078)

 

(4,104)

 

2.750

07/08/2022

10/14/2022

 

(2,019)

 

(2,032)

 

2.750

08/31/2022

10/14/2022

 

(2,445)

 

(2,451)

 

3.020

08/29/2022

10/17/2022

 

(6,103)

 

(6,121)

 

3.100

09/13/2022

10/25/2022

 

(508)

 

(509)

 

3.140

08/31/2022

11/02/2022

 

(384)

 

(385)

 

3.140

09/13/2022

11/02/2022

 

(1,291)

 

(1,293)

 

3.150

08/04/2022

11/04/2022

 

(1,490)

 

(1,498)

 

3.150

08/25/2022

11/04/2022

 

(1,364)

 

(1,369)

 

3.150

08/31/2022

11/04/2022

 

(380)

 

(381)

 

3.190

08/09/2022

11/10/2022

 

(593)

 

(596)

 

3.200

08/01/2022

10/31/2022

 

(263)

 

(265)

 

3.200

09/13/2022

10/31/2022

 

(508)

 

(509)

 

3.200

09/26/2022

10/31/2022

 

(1,920)

 

(1,921)

 

3.250

08/12/2022

11/14/2022

 

(2,008)

 

(2,017)

 

3.250

08/30/2022

11/14/2022

 

(4,117)

 

(4,129)

 

3.460

09/22/2022

10/24/2022

 

(1,726)

 

(1,728)

 

3.490

09/12/2022

11/30/2022

 

(892)

 

(893)

TDM

3.240

09/23/2022

TBD(3)

 

(7,882)

 

(7,889)

UBS

0.850

08/30/2022

11/22/2022

EUR

(2,643)

 

(2,593)

 

2.900

09/16/2022

10/14/2022

$

(76)

 

(76)

 

3.270

08/09/2022

11/10/2022

 

(926)

 

(931)

 

3.520

09/23/2022

11/02/2022

 

(9,822)

 

(9,832)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(233,438)

(k)

Securities with an aggregate market value of $260,674 and cash of $7,827 have been pledged as collateral under the terms of master agreements as of September 30, 2022.

(1)

Includes accrued interest.

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

(2)

The average amount of borrowings outstanding during the period ended September 30, 2022 was $(222,779) at a weighted average interest rate of 2.001%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(l)

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
September 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

5.702

%

$

2,000

$

(8)

$

(16)

$

(24)

$

0

$

0

Jaguar Land Rover Automotive

5.000

Quarterly

06/20/2026

12.473

 

EUR

900

 

63

 

(227)

 

(164)

 

1

 

0

Rolls-Royce PLC

1.000

Quarterly

06/20/2025

3.739

 

 

900

 

(65)

 

5

 

(60)

 

0

 

(2)

Rolls-Royce PLC

1.000

Quarterly

12/20/2025

4.185

 

 

9,400

 

(1,005)

 

164

 

(841)

 

8

 

0

Rolls-Royce PLC

1.000

Quarterly

06/20/2027

4.983

 

 

4,500

 

(377)

 

(300)

 

(677)

 

0

 

(6)

 

 

 

 

 

 

$

(1,392)

$

(374)

$

(1,766)

$

9

$

(8)

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

1-Day GBP-SONIO Compounded-OIS

0.750%

Annual

09/21/2032

GBP

13,400

$

1,297

$

2,981

$

4,278

$

84

$

0

Receive(5)

1-Day GBP-SONIO Compounded-OIS

2.000

Annual

03/15/2033

 

6,900

 

768

 

650

 

1,418

 

60

 

0

Receive

1-Day GBP-SONIO Compounded-OIS

0.750

Annual

09/21/2052

 

5,300

 

335

 

2,636

 

2,971

 

0

 

(15)

Receive(5)

1-Day USD-SOFR Compounded-OIS

2.450

Annual

12/20/2024

$

27,200

 

(2)

 

402

 

400

 

20

 

0

Pay(5)

1-Day USD-SOFR Compounded-OIS

2.000

Annual

12/21/2024

 

267,000

 

(11,324)

 

88

 

(11,236)

 

88

 

0

Receive(5)

1-Day USD-SOFR Compounded-OIS

2.350

Annual

01/17/2025

 

13,700

 

1

 

207

 

208

 

9

 

0

Receive(5)

1-Day USD-SOFR Compounded-OIS

2.300

Annual

01/17/2026

 

2,200

 

1

 

58

 

59

 

4

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2027

 

112,200

 

(2,684)

 

(7,432)

 

(10,119)

 

0

 

(377)

Receive

1-Day USD-SOFR Compounded-OIS

1.250

Annual

06/15/2032

 

87,000

 

4,224

 

12,381

 

16,605

 

374

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2032

 

59,500

 

2,570

 

6,220

 

8,790

 

201

 

0

Receive

3-Month USD-LIBOR

1.000

Semi-Annual

06/17/2023

 

17,400

 

(376)

 

765

 

389

 

6

 

0

Receive

3-Month USD-LIBOR

0.250

Semi-Annual

06/16/2024

 

14,250

 

39

 

973

 

1,012

 

14

 

0

Receive

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2024

 

1,900

 

(32)

 

66

 

34

 

2

 

0

Receive

3-Month USD-LIBOR

0.400

Semi-Annual

12/18/2024

 

72,000

 

(205)

 

6,343

 

6,138

 

107

 

0

Receive

3-Month USD-LIBOR

0.850

Semi-Annual

02/01/2027

 

43,700

 

343

 

5,487

 

5,830

 

124

 

0

Receive

3-Month USD-LIBOR

1.370

Semi-Annual

08/25/2028

 

27,135

 

0

 

3,810

 

3,810

 

99

 

0

Pay

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2029

 

79,200

 

1,687

 

(5,700)

 

(4,013)

 

0

 

(322)

Receive

3-Month USD-LIBOR

1.000

Semi-Annual

12/16/2030

 

127

 

1

 

25

 

26

 

0

 

0

Receive

3-Month USD-LIBOR

0.750

Semi-Annual

06/16/2031

 

7,300

 

517

 

1,162

 

1,679

 

25

 

0

Receive

3-Month USD-LIBOR

1.350

Semi-Annual

02/09/2032

 

139,800

 

581

 

27,300

 

27,881

 

591

 

0

Pay

3-Month USD-LIBOR

3.500

Semi-Annual

06/19/2044

 

395,600

 

70,742

 

(73,744)

 

(3,002)

 

0

 

(4,372)

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

01/15/2050

 

35,600

 

(256)

 

9,248

 

8,992

 

389

 

0

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

01/22/2050

 

55,100

 

(127)

 

16,537

 

16,410

 

589

 

0

Receive

3-Month USD-LIBOR

1.875

Semi-Annual

02/07/2050

 

42,480

 

(165)

 

11,850

 

11,685

 

463

 

0

Pay

3-Month USD-LIBOR

2.000

Semi-Annual

12/15/2051

 

29,200

 

2,124

 

(9,395)

 

(7,271)

 

0

 

(346)

Receive

3-Month USD-LIBOR

1.700

Semi-Annual

02/01/2052

 

223,450

 

(4,286)

 

74,048

 

69,762

 

2,739

 

0

Receive

6-Month EUR-EURIBOR

0.270

Annual

09/11/2024

EUR

25,600

 

4

 

1,165

 

1,169

 

0

 

(47)

Pay

6-Month EUR-EURIBOR

0.650

Annual

02/26/2029

 

65,500

 

66

 

(8,452)

 

(8,386)

 

242

 

0

Receive

6-Month EUR-EURIBOR

0.150

Annual

06/17/2030

 

24,100

 

(1,059)

 

5,701

 

4,642

 

0

 

(41)

Receive

6-Month EUR-EURIBOR

0.250

Annual

09/21/2032

 

3,200

 

290

 

479

 

769

 

0

 

(5)

Receive

6-Month EUR-EURIBOR

1.250

Annual

08/19/2049

 

18,200

 

76

 

4,188

 

4,264

 

193

 

0

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

Pay

6-Month EUR-EURIBOR

0.500

Annual

06/17/2050

 

7,700

 

1,317

 

(4,220)

 

(2,903)

 

0

 

(91)

 

 

 

 

 

 

$

66,464

$

85,827

$

152,291

$

6,423

$

(5,616)

Total Swap Agreements

$

65,072

$

85,453

$

150,525

$

6,432

$

(5,624)

Cash of $20,356 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 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.

(m)

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

11/2022

CHF

532

$

565

$

24

$

0

BPS

10/2022

BRL

6,874

 

1,323

 

49

 

0

 

10/2022

EUR

7,806

 

7,734

 

93

 

(10)

 

10/2022

$

1,272

BRL

6,874

 

3

 

0

 

10/2022

 

2,418

GBP

2,188

 

59

 

(34)

 

11/2022

CAD

347

$

269

 

18

 

0

CBK

10/2022

BRL

6,874

 

1,271

 

0

 

(3)

 

10/2022

$

1,325

BRL

6,874

 

0

 

(50)

 

11/2022

BRL

6,874

$

1,316

 

51

 

0

 

12/2022

PEN

4,729

 

1,219

 

43

 

0

GLM

10/2022

$

867

EUR

871

 

0

 

(13)

 

12/2022

 

907

PEN

3,610

 

0

 

(8)

JPM

10/2022

 

435

EUR

435

 

0

 

(9)

MBC

10/2022

 

697

 

709

 

8

 

(10)

 

10/2022

 

777

GBP

735

 

43

 

0

MYI

10/2022

EUR

883

$

885

 

19

 

0

 

10/2022

$

63,495

EUR

65,812

 

1,004

 

0

 

10/2022

 

8,142

GBP

7,521

 

256

 

0

 

11/2022

EUR

65,812

$

63,625

 

0

 

(1,002)

 

11/2022

GBP

7,522

 

8,147

 

0

 

(257)

 

11/2022

$

2,475

EUR

2,543

 

22

 

0

SCX

11/2022

CAD

503

$

391

 

27

 

0

 

11/2022

CHF

1,408

 

1,448

 

15

 

0

SOG

10/2022

EUR

58,777

 

59,149

 

1,545

 

0

 

11/2022

CHF

1,222

 

1,292

 

48

 

0

TOR

11/2022

CAD

628

 

488

 

33

 

0

UAG

10/2022

GBP

14,103

 

16,410

 

663

 

0

 

11/2022

 

2,201

 

2,389

 

0

 

(70)

Total Forward Foreign Currency Contracts

$

4,023

$

(1,466)

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
September 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

7.990%

EUR

200

$

(4)

$

(9)

$

0

$

(13)

Total Swap Agreements

$

(4)

$

(9)

$

0

$

(13)

(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.

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

(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 September 30, 2022 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 09/30/2022

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

164,479

$

23,324

$

187,803

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

63,766

 

0

 

63,766

 

 

Industrials

 

0

 

177,347

 

7,942

 

185,289

 

 

Utilities

 

0

 

70,907

 

0

 

70,907

 

Convertible Bonds & Notes

 

Industrials

 

0

 

3,595

 

0

 

3,595

 

Municipal Bonds & Notes

 

District of Columbia

 

0

 

10,667

 

0

 

10,667

 

 

Illinois

 

0

 

12,821

 

0

 

12,821

 

 

Puerto Rico

 

0

 

1,107

 

0

 

1,107

 

 

Texas

 

0

 

8,173

 

0

 

8,173

 

 

West Virginia

 

0

 

4,994

 

0

 

4,994

 

U.S. Government Agencies

 

0

 

7,086

 

8,247

 

15,333

 

Non-Agency Mortgage-Backed Securities

 

0

 

60,828

 

0

 

60,828

 

Asset-Backed Securities

 

0

 

50,872

 

5,302

 

56,174

 

Sovereign Issues

 

0

 

8,224

 

0

 

8,224

 

Common Stocks

 

Communication Services

 

2,342

 

0

 

914

 

3,256

 

 

Energy

 

3,488

 

0

 

233

 

3,721

 

 

Financials

 

0

 

0

 

6,212

 

6,212

 

 

Industrials

 

0

 

0

 

18,976

 

18,976

 

Rights

 

Financials

 

0

 

0

 

99

 

99

 

Warrants

 

Financials

 

0

 

0

 

117

 

117

 

 

Industrials

 

0

 

0

 

336

 

336

 

 

Information Technology

 

0

 

0

 

8,531

 

8,531

 

Preferred Securities

 

Banking & Finance

 

0

 

43,081

 

0

 

43,081

 

 

Industrials

 

0

 

351

 

82,091

 

82,442

 

Real Estate Investment Trusts

 

Real Estate

 

5,020

 

0

 

0

 

5,020

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

17,100

 

0

 

17,100

 

 

U.S. Treasury Bills

 

0

 

18,182

 

0

 

18,182

 

Total Investments

$

10,850

$

723,580

$

162,324

$

896,754

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

0

 

6,432

 

0

 

6,432

 

Over the counter

 

0

 

4,023

 

0

 

4,023

 

 

$

0

$

10,455

$

0

$

10,455

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(5,624)

 

0

 

(5,624)

 

Over the counter

 

0

 

(1,479)

 

0

 

(1,479)

 

 

$

0

$

(7,103)

$

0

$

(7,103)

 

Total Financial Derivative Instruments

$

0

$

3,352

$

0

$

3,352

 

Totals

$

10,850

$

726,932

$

162,324

$

900,106

 

 

 

 

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

Category and Subcategory

Beginning
Balance
at 06/30/2022

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 09/30/2022

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
09/30/2022(1)

Investments in Securities, at Value

Loan Participations and Assignments

$

35,976

$

13,938

$

(378)

$

220

$

10

$

307

$

4,128

$

(30,877)

$

23,324

$

1,027

Corporate Bonds & Notes

Schedule of Investments PIMCO High Income Fund (Cont.)

September 30, 2022

(Unaudited)

 

 

Industrials

 

34,901

 

0

 

(172)

 

34

 

0

 

(2,605)

 

0

 

(24,216)

 

7,942

 

(1,567)

U.S. Government Agencies

 

8,195

 

0

 

(31)

 

9

 

10

 

64

 

0

 

0

 

8,247

 

62

Asset-Backed Securities

 

5,577

 

0

 

0

 

0

 

0

 

(275)

 

0

 

0

 

5,302

 

(275)

Common Stocks

 

Communication Services

 

984

 

0

 

0

 

0

 

0

 

(70)

 

0

 

0

 

914

 

(70)

 

Energy

 

91

 

0

 

0

 

0

 

0

 

142

 

0

 

0

 

233

 

142

 

Financials

 

6,212

 

0

 

0

 

0

 

0

 

0

 

0

 

0

 

6,212

 

0

 

Industrials

 

17,801

 

0

 

0

 

0

 

0

 

1,175

 

0

 

0

 

18,976

 

1,175

 

Materials

 

38

 

0

 

(41)

 

0

 

41

 

(38)

 

0

 

0

 

0

 

0

Rights

 

Financials

 

111

 

0

 

0

 

0

 

0

 

(12)

 

0

 

0

 

99

 

(12)

Warrants

 

Financials

 

117

 

0

 

0

 

0

 

0

 

0

 

0

 

0

 

117

 

0

 

Industrials

 

1,075

 

0

 

0

 

0

 

0

 

(739)

 

0

 

0

 

336

 

(739)

 

Information Technology

 

11,462

 

0

 

0

 

0

 

0

 

(2,931)

 

0

 

0

 

8,531

 

(2,932)

Preferred Securities

 

Industrials

 

67,316

 

0

 

0

 

0

 

0

 

14,775

 

0

 

0

 

82,091

 

14,775

Totals

$

189,856

$

13,938

$

(622)

$

263

$

61

$

9,793

$

4,128

$

(55,093)

$

162,324

$

11,586


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 09/30/2022

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

4,485

Discounted Cash Flow

Discount Rate

 

4.193

—

 

 

6,890

Indicative Market Quotation

Price

 

95.000

—

 

 

11,949

Third Party Vendor

Broker Quote

 

35.000 - 91.000

53.843

Corporate Bonds & Notes

 

Industrials

 

7,942

Reference Instrument

Weighted Average

BRL

37.290

—

U.S. Government Agencies

 

8,247

Discounted Cash Flow

Discount Rate

 

12.000

—

Asset-Backed Securities

 

5,302

Discounted Cash Flow

Discount Rate

 

10.000 - 20.000

11.179

Common Stocks

 

Communication Services

 

914

Reference Instrument

Stock Price W/Liquidity Discount

 

10.000

—

 

Energy

 

233

Market Comparable Valuation

EBITDA Multiple

X

4.800

—

 

Financials

 

6,212

Indicative Market Quotation

Price

$

28.000

—

 

Industrials

 

2,087

Discounted Cash Flow

Discount Rate

 

13.547

—

 

 

 

486

Discounted Cash Flow/ Comp Multiple

Forward EBITDA / Discount Rate

X/X/%

2.000/2.100/24.200

—

 

 

 

16,403

Discounted Cash Flow/ Comp Multiple

Ltm Revenue/Ltm EBITDA/Discount Rate

X/X/%

0.460/3.500/10.000

—

Rights

 

Financials

 

99

Other Valuation Techniques(2)

—

 

—

—

Warrants

 

Financials

 

116

Other Valuation Techniques(2)

—

 

—

—

 

 

 

1

Indicative Market Quotation

Price

$

2.250 – 3.750

3.176

 

Industrials

 

336

Market Comparable Valuation

Earnings Multiple

X

11.809

—

 

Information Technology

 

8,531

Market Comparable Valuation

EBITDA Multiple

X

3.800

—

Preferred Securities

 

Industrials

 

1,896

Discounted Cash Flow/Comparable Companies

Discount Rate/TBV Multiple

%/X

22.980/0.280

—

 

 

 

80,195

Market Comparable Valuation

Earnings Multiple

X

11.809

—

Total

$

162,324

(1)

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

(2)

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 quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Market value is generally determined on the basis of official closing prices or the last reported sales prices. 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.

 

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended (the “Act”). As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board of Trustees has designated PIMCO as the valuation designee (“Valuation Designee”) for The Fund to perform the fair value determination relating to all Fund investments. PIMCO may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee’s policies and procedures govern the Valuation Designee’s selection and application of methodologies for determining and calculating the fair value of Fund investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing sources, quotation reporting systems, valuation agents and other third-party sources (together, “Pricing Sources”).

 

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. If market value pricing is used, 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 Sources using such data reflecting the principal markets for those securities. Prices obtained from Pricing Sources 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 Sources 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. 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 Sources, 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, a Valuation Designee 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, unless otherwise determined by the Valuation Designee, 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 Source. 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 Sources. 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.

 

Fair valuation may require subjective determinations about the value of a security. While the Fund’s and Valuation Designee's policies and procedures are 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 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 (unadjusted) 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 Valuation Designee 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, LIBOR 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 Valuation Designee believes reflects fair value and 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.

 

Market comparable valuation estimates fair value by applying a valuation multiple to a key performance metric of the company, which may include unobservable inputs such as earnings before interest, taxes, depreciation and amortization (“EBITDA”), the PIMCO’s assumptions regarding comparable companies and non-public statements from the 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.

 

Securities may be valued based on purchase prices of privately negotiated transactions. 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 September 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. GLM Goldman Sachs Bank USA RCY Royal Bank of Canada
BOS BofA Securities, Inc. IND Crédit Agricole Corporate and Investment Bank
S.A.		 RDR RBC Capital Markets LLC
BPS BNP Paribas S.A. JML JP Morgan Securities Plc SCX Standard Chartered Bank, London
BRC Barclays Bank PLC JPM JP Morgan Chase Bank N.A. SOG Societe Generale Paris
BYR The Bank of Nova Scotia - Toronto JPS J.P. Morgan Securities LLC TDM TD Securities (USA) LLC
CBK Citibank N.A. MBC HSBC Bank Plc TOR The Toronto-Dominion Bank
CDC Natixis Securities Americas LLC MEI Merrill Lynch International UAG UBS AG Stamford
CEW Canadian Imperial Bank of Commerce
World Markets		 MYI Morgan Stanley & Co. International PLC UBS UBS Securities LLC
CIB Canadian Imperial Bank of Commerce NOM Nomura Securities International, Inc.
 
Currency Abbreviations:
ARS Argentine Peso CHF Swiss Franc PEN Peruvian New Sol
BRL Brazilian Real EUR Euro USD (or $) United States Dollar
CAD Canadian Dollar GBP British Pound
 
Exchange Abbreviations:
OTC Over the Counter
 
Index/Spread Abbreviations:
BADLARPP Argentina Badlar Floating Rate Notes LIBOR01Y 1 Year USD-LIBOR SOFR Secured Overnight Financing Rate
EUR003M 3 Month EUR Swap Rate LIBOR03M 3 Month USD-LIBOR SONIO Sterling Overnight Interbank Average Rate
EUR006M 6 Month EUR Swap Rate LIBOR06M 6 Month USD-LIBOR US0003M ICE 3-Month USD LIBOR
LIBOR01M 1 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