Schedule of Investments PIMCO Income Strategy Fund | April 30, 2019 (Unaudited) |
(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY) |
PRINCIPAL AMOUNT (000s) | MARKET VALUE (000s) | |||||||
INVESTMENTS IN SECURITIES 126.4% ¤ | ||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 7.4% | ||||||||
Advanz
Pharma Corp. 7.984% (LIBOR03M + 5.500%) due 09/06/2024 ~ | $ | 2,443 | $ | 2,294 | ||||
Altice France S.A. 6.473% (LIBOR03M + 4.000%) due 08/14/2026 ~ | 100 | 98 | ||||||
Avantor, Inc. 6.233% (LIBOR03M + 3.750%) due 11/21/2024 ~ | 47 | 47 | ||||||
Bausch Health Cos.,
Inc. 5.224% (LIBOR03M + 2.750%) due 11/27/2025 ~ | 57 | 57 | ||||||
CityCenter Holdings
LLC 4.733% (LIBOR03M + 2.250%) due 04/18/2024 ~ | 120 | 120 | ||||||
Diamond Resorts Corp. 6.233% (LIBOR03M + 3.750%) due 09/02/2023 ~ | 187 | 178 | ||||||
Dubai World 1.750% (LIBOR03M + 2.000%) due 09/30/2022 ~ | 200 | 188 | ||||||
Envision Healthcare
Corp. 6.233% (LIBOR03M + 3.750%) due 10/10/2025 ~ | 249 | 241 | ||||||
Financial & Risk
U.S. Holdings, Inc. 6.233% (LIBOR03M + 3.750%) due 10/01/2025 ~ | 350 | 347 | ||||||
Forbes Energy Services
LLC 5.000% - 9.000% (LIBOR03M + 5.000%) due 04/13/2021 | 233 | 234 | ||||||
Forest City Enterprises,
L.P. 6.483% (LIBOR03M + 4.000%) due 12/07/2025 ~ | 100 | 101 | ||||||
FrontDoor, Inc. 5.000% (LIBOR03M + 2.500%) due 08/14/2025 «~ | 10 | 10 | ||||||
Frontier Communications
Corp. 6.240% (LIBOR03M + 3.750%) due 06/15/2024 ~ | 295 | 289 | ||||||
iHeartCommunications,
Inc. TBD% due 01/30/2020 (e) | 9,237 | 6,878 | ||||||
IRB Holding Corp. 5.723% (LIBOR03M + 3.250%) due 02/05/2025 ~ | 408 | 408 | ||||||
McDermott Technology
Americas, Inc. 7.483% (LIBOR03M + 5.000%) due 05/12/2025 ~ | 499 | 495 | ||||||
Messer Industrie GmbH 5.101% (LIBOR03M + 2.500%) due 03/01/2026 ~ | 50 | 50 | ||||||
MH Sub LLC 6.227% (LIBOR03M + 3.750%) due 09/13/2024 ~ | 59 | 59 | ||||||
Multi Color Corp. 4.483% (LIBOR03M + 2.000%) due 10/31/2024 ~ | 8 | 8 | ||||||
NCI Building Systems,
Inc. 6.354% (LIBOR03M + 3.750%) due 04/12/2025 ~ | 20 | 20 | ||||||
Neiman Marcus Group
Ltd. LLC 5.724% - 5.836% (LIBOR03M + 3.250%) due 10/25/2020 ~ | 3,078 | 2,861 | ||||||
Pacific Gas &
Electric Co. 7.500% due 02/22/2049 ^« | 100 | 95 | ||||||
Panther BF Aggregator
LP TBD% due 04/30/2026« | 30 | 30 | ||||||
PetSmart, Inc. 6.730% (LIBOR03M + 4.250%) due 03/11/2022 ~ | 40 | 38 | ||||||
Sequa Mezzanine Holdings LLC | ||||||||
7.776% (LIBOR03M + 5.000%) due 11/28/2021 ~ | 108 | 107 | ||||||
11.583% (LIBOR03M + 9.000%) due 04/28/2022 ~ | 40 | 39 | ||||||
Sprint Communications,
Inc. 5.000% (LIBOR03M + 2.500%) due 02/02/2024 ~ | 784 | 762 | ||||||
Starfruit Finco BV 5.729% (LIBOR03M + 3.250%) due 10/01/2025 ~ | 100 | 100 | ||||||
Syniverse Holdings,
Inc. 7.473% (LIBOR03M + 5.000%) due 03/09/2023 ~ | 1,882 | 1,793 | ||||||
Univision Communications,
Inc. 5.233% (LIBOR03M + 2.750%) due 03/15/2024 ~ | 1,362 | 1,313 | ||||||
West Corp. 6.629% (LIBOR03M + 4.000%) due 10/10/2024 ~ | 26 | 25 | ||||||
Westmoreland Coal
Co. TBD% due 03/15/2029 ^(e) | 1,475 | 1,387 | ||||||
Westmoreland Mining
Holdings LLC 10.861% (LIBOR03M + 8.250%) due 03/15/2022 «~ | 755 | 763 | ||||||
Total Loan Participations and Assignments (Cost $24,113) | 21,435 | |||||||
CORPORATE BONDS & NOTES 58.2% | ||||||||
BANKING & FINANCE 25.1% | ||||||||
Ally Financial, Inc.
8.000% due 11/01/2031 | 537 | 689 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
Ambac
LSNI LLC 7.592% due 02/12/2023 • |
258 | 261 | ||||||
Ardonagh Midco PLC | ||||||||
8.375% due 07/15/2023 | GBP | 5,925 | 6,502 | |||||
8.625% due 07/15/2023 | $ | 200 | 167 | |||||
Athene Holding Ltd.
4.125% due 01/12/2028 |
24 | 23 | ||||||
Avolon Holdings Funding
Ltd. 5.500% due 01/15/2023 |
73 | 77 | ||||||
AXA Equitable Holdings, Inc. | ||||||||
4.350% due 04/20/2028 | 23 | 24 | ||||||
5.000% due 04/20/2048 | 36 | 36 | ||||||
Banco Bilbao Vizcaya
Argentaria S.A. 6.750% due 02/18/2020 •(i)(j) |
EUR | 1,000 | 1,161 | |||||
Banco Santander S.A.
6.250% due 09/11/2021 •(i)(j) |
200 | 235 | ||||||
Barclays Bank PLC
14.000% due 06/15/2019 •(i) |
GBP | 3,700 | 4,898 | |||||
Barclays PLC | ||||||||
3.250% due 01/17/2033 | 100 | 124 | ||||||
6.500% due 09/15/2019 •(i)(j) | EUR | 800 | 913 | |||||
7.750% due 09/15/2023 •(i)(j) | $ | 400 | 414 | |||||
8.000% due 06/15/2024 •(i)(j) | 200 | 211 | ||||||
Blackstone CQP Holdco LP | ||||||||
6.000% due 08/18/2021 | 400 | 400 | ||||||
6.500% due 03/20/2021 | 2,400 | 2,412 | ||||||
Brighthouse Holdings
LLC 6.500% due 07/27/2037 Ø(i) |
35 | 33 | ||||||
Brookfield Finance, Inc. | ||||||||
3.900% due 01/25/2028 | 42 | 41 | ||||||
4.700% due 09/20/2047 (m) | 96 | 94 | ||||||
Cantor Fitzgerald LP | ||||||||
4.875% due 05/01/2024 | 15 | 15 | ||||||
6.500% due 06/17/2022 (m) | 3,000 | 3,208 | ||||||
CBL & Associates
LP 5.950% due 12/15/2026 |
1,054 | 746 | ||||||
Credit Suisse Group AG | ||||||||
7.500% due 07/17/2023 •(i)(j) | 200 | 210 | ||||||
7.500% due 12/11/2023 •(i)(j) | 3,540 | 3,800 | ||||||
Emerald Bay S.A. 0.000% due 10/08/2020 (g) |
EUR | 846 | 907 | |||||
EPR Properties 4.750% due 12/15/2026 |
$ | 1,500 | 1,547 | |||||
Flagstar Bancorp,
Inc. 6.125% due 07/15/2021 |
1,700 | 1,783 | ||||||
Fortress Transportation & Infrastructure Investors LLC | ||||||||
6.500% due 10/01/2025 | 127 | 131 | ||||||
6.750% due 03/15/2022 | 232 | 239 | ||||||
GLP Capital LP 5.250% due 06/01/2025 |
10 | 11 | ||||||
Greystar Real Estate
Partners LLC 5.750% due 12/01/2025 |
25 | 25 | ||||||
GSPA Monetization
Trust 6.422% due 10/09/2029 |
1,604 | 1,838 | ||||||
HSBC Bank PLC 6.330% due 05/23/2023 |
2,800 | 2,912 | ||||||
HSBC Holdings PLC | ||||||||
5.875% due 09/28/2026 •(i)(j)(m) | GBP | 200 | 274 | |||||
6.000% due 09/29/2023 •(i)(j)(m) | EUR | 1,800 | 2,302 | |||||
6.500% due 03/23/2028 •(i)(j) | $ | 200 | 204 | |||||
Hunt Cos., Inc. 6.250% due 02/15/2026 |
12 | 11 | ||||||
iStar, Inc. | ||||||||
4.625% due 09/15/2020 | 7 | 7 | ||||||
5.250% due 09/15/2022 | 8 | 8 | ||||||
Jefferies Finance LLC | ||||||||
6.875% due 04/15/2022 | 3,800 | 3,876 | ||||||
7.375% due 04/01/2020 | 915 | 917 | ||||||
7.500% due 04/15/2021 | 200 | 205 | ||||||
Kennedy-Wilson, Inc.
5.875% due 04/01/2024 |
32 | 32 | ||||||
Lloyds Bank PLC 12.000% due 12/16/2024 •(i) |
300 | 362 | ||||||
Lloyds Banking Group PLC | ||||||||
7.500% due 09/27/2025 •(i)(j) | 200 | 208 | ||||||
7.875% due 06/27/2029 •(i)(j) | GBP | 2,200 | 3,242 | |||||
Nationstar Mortgage
LLC 6.500% due 07/01/2021 |
$ | 346 | 347 | |||||
Navient Corp. | ||||||||
5.625% due 08/01/2033 | 31 | 25 | ||||||
6.500% due 06/15/2022 | 38 | 40 | ||||||
Newmark Group, Inc.
6.125% due 11/15/2023 |
10 | 11 | ||||||
Oppenheimer Holdings,
Inc. 6.750% due 07/01/2022 |
792 | 821 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
Provident
Funding Associates LP 6.375% due 06/15/2025 |
13 | 12 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
7.500% due 08/10/2020 •(i)(j)(m) | 1,400 | 1,444 | ||||||
8.000% due 08/10/2025 •(i)(j)(m) | 3,000 | 3,274 | ||||||
8.625% due 08/15/2021 •(i)(j) | 1,000 | 1,078 | ||||||
Santander UK Group Holdings PLC | ||||||||
6.750% due 06/24/2024 •(i)(j) | GBP | 1,950 | 2,658 | |||||
7.375% due 06/24/2022 •(i)(j) | 1,800 | 2,501 | ||||||
Societe Generale S.A.
7.375% due 10/04/2023 •(i)(j) |
$ | 300 | 305 | |||||
Spirit Realty LP 4.450% due 09/15/2026 (m) |
700 | 696 | ||||||
Springleaf Finance Corp. | ||||||||
5.625% due 03/15/2023 | 600 | 625 | ||||||
6.875% due 03/15/2025 | 54 | 58 | ||||||
TP ICAP PLC 5.250% due 01/26/2024 |
GBP | 2,023 | 2,716 | |||||
UniCredit SpA 7.830% due 12/04/2023 (m) |
$ | 1,960 | 2,201 | |||||
Unigel Luxembourg
S.A. 10.500% due 01/22/2024 |
270 | 291 | ||||||
Unique Pub Finance Co. PLC | ||||||||
5.659% due 06/30/2027 | GBP | 1,669 | 2,421 | |||||
6.542% due 03/30/2021 | 284 | 389 | ||||||
Voyager Aviation Holdings
LLC 8.500% due 08/15/2021 |
$ | 3,470 | 3,585 | |||||
WeWork Cos., Inc.
7.875% due 05/01/2025 |
36 | 36 | ||||||
73,269 | ||||||||
INDUSTRIALS 23.6% | ||||||||
Adient U.S. LLC 7.000% due 05/15/2026 (c) |
18 | 18 | ||||||
Air Canada Pass-Through
Trust 3.700% due 07/15/2027 |
11 | 11 | ||||||
Altice Financing S.A. | ||||||||
6.625% due 02/15/2023 | 300 | 308 | ||||||
7.500% due 05/15/2026 | 1,500 | 1,526 | ||||||
Altice France S.A.
8.125% due 02/01/2027 |
500 | 524 | ||||||
Associated Materials
LLC 9.000% due 01/01/2024 |
380 | 359 | ||||||
Baffinland Iron Mines
Corp. 8.750% due 07/15/2026 |
600 | 608 | ||||||
Bausch Health Americas,
Inc. 8.500% due 01/31/2027 |
18 | 20 | ||||||
Bombardier, Inc. 7.875% due 04/15/2027 |
102 | 103 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
6.500% due 11/15/2022 | 2,767 | 2,843 | ||||||
9.250% due 02/15/2024 | 1,838 | 1,983 | ||||||
Cleveland-Cliffs,
Inc. 4.875% due 01/15/2024 |
16 | 16 | ||||||
Co-operative Group
Holdings Ltd. 7.500% due 07/08/2026 Ø |
GBP | 100 | 147 | |||||
CommScope, Inc. 5.500% due 03/01/2024 |
$ | 42 | 44 | |||||
Community Health Systems, Inc. | ||||||||
5.125% due 08/01/2021 (m) | 1,762 | 1,744 | ||||||
6.250% due 03/31/2023 (m) | 3,728 | 3,644 | ||||||
8.000% due 03/15/2026 | 196 | 191 | ||||||
8.625% due 01/15/2024 | 439 | 447 | ||||||
Continental Airlines
Pass-Through Trust 9.798% due 10/01/2022 |
301 | 315 | ||||||
DAE Funding LLC | ||||||||
5.250% due 11/15/2021 | 130 | 134 | ||||||
5.750% due 11/15/2023 | 130 | 136 | ||||||
Dell International
LLC 6.020% due 06/15/2026 (m) |
1,200 | 1,301 | ||||||
Diamond Resorts International, Inc. | ||||||||
7.750% due 09/01/2023 | 354 | 353 | ||||||
10.750% due 09/01/2024 | 1,200 | 1,134 | ||||||
DriveTime Automotive
Group, Inc. 8.000% due 06/01/2021 |
800 | 816 | ||||||
EI Group PLC 6.875% due 02/15/2021 |
GBP | 2,360 | 3,287 | |||||
Entercom Media Corp.
6.500% due 05/01/2027 |
$ | 15 | 15 | |||||
Envision Healthcare
Corp. 8.750% due 10/15/2026 |
1,105 | 1,044 | ||||||
Exela Intermediate
LLC 10.000% due 07/15/2023 |
57 | 58 | ||||||
Ferroglobe PLC 9.375% due 03/01/2022 |
700 | 630 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
First Quantum Minerals Ltd. | ||||||||
6.500% due 03/01/2024 | 688 | 652 | ||||||
6.875% due 03/01/2026 | 758 | 709 | ||||||
7.000% due 02/15/2021 | 76 | 78 | ||||||
Ford Motor Co. 7.700% due 05/15/2097 (m) |
7,435 | 8,327 | ||||||
Fresh Market, Inc.
9.750% due 05/01/2023 |
3,313 | 2,557 | ||||||
Full House Resorts,
Inc. 8.575% due 01/31/2024 « |
197 | 197 | ||||||
General Electric Co. | ||||||||
5.000% due 01/21/2021 •(i) | 135 | 128 | ||||||
5.550% due 01/05/2026 (m) | 145 | 157 | ||||||
6.150% due 08/07/2037 | 19 | 21 | ||||||
6.875% due 01/10/2039 | 15 | 18 | ||||||
HCA, Inc. 7.500% due 11/15/2095 |
1,050 | 1,081 | ||||||
Huntsman International
LLC 4.500% due 05/01/2029 |
22 | 22 | ||||||
iHeartCommunications, Inc. | ||||||||
9.000% due 12/15/2019 ^ | 109 | 81 | ||||||
9.000% due 03/01/2021 ^ | 2 | 1 | ||||||
9.000% due 09/15/2022 ^ | 1,077 | 808 | ||||||
Intelsat Connect Finance
S.A. 9.500% due 02/15/2023 |
39 | 36 | ||||||
Intelsat Jackson Holdings S.A. | ||||||||
8.000% due 02/15/2024 | 18 | 19 | ||||||
8.500% due 10/15/2024 | 242 | 240 | ||||||
9.750% due 07/15/2025 | 56 | 58 | ||||||
Intelsat Luxembourg S.A. | ||||||||
7.750% due 06/01/2021 | 5,282 | 4,939 | ||||||
8.125% due 06/01/2023 | 524 | 399 | ||||||
Kinder Morgan, Inc. | ||||||||
7.750% due 01/15/2032 (m) | 800 | 1,051 | ||||||
7.800% due 08/01/2031 (m) | 1,600 | 2,083 | ||||||
Mallinckrodt International
Finance S.A. 5.500% due 04/15/2025 |
302 | 219 | ||||||
Melco Resorts Finance
Ltd. 5.250% due 04/26/2026 |
600 | 599 | ||||||
Metinvest BV 8.500% due 04/23/2026 |
400 | 394 | ||||||
Micron Technology,
Inc. 5.327% due 02/06/2029 |
74 | 76 | ||||||
Netflix, Inc. | ||||||||
3.875% due 11/15/2029 | EUR | 304 | 350 | |||||
4.625% due 05/15/2029 | 100 | 122 | ||||||
5.375% due 11/15/2029 | $ | 50 | 51 | |||||
New Albertson's LP
6.570% due 02/23/2028 |
2,800 | 2,128 | ||||||
Odebrecht Oil & Gas Finance Ltd. | ||||||||
0.000% due 05/30/2019 (g)(i) | 191 | 2 | ||||||
0.000% due 05/31/2019 (g)(i) | 259 | 3 | ||||||
Ortho-Clinical Diagnostics,
Inc. 6.625% due 05/15/2022 |
165 | 163 | ||||||
Par Pharmaceutical,
Inc. 7.500% due 04/01/2027 |
58 | 60 | ||||||
Park Aerospace Holdings Ltd. | ||||||||
4.500% due 03/15/2023 | 70 | 71 | ||||||
5.500% due 02/15/2024 | 14 | 15 | ||||||
Petroleos Mexicanos | ||||||||
4.750% due 02/26/2029 | EUR | 533 | 599 | |||||
4.875% due 02/21/2028 | 1,756 | 2,022 | ||||||
6.500% due 03/13/2027 | $ | 2,560 | 2,599 | |||||
6.750% due 09/21/2047 | 20 | 18 | ||||||
PetSmart, Inc. 5.875% due 06/01/2025 |
53 | 48 | ||||||
Platin GmbH 6.875% due 06/15/2023 |
EUR | 200 | 223 | |||||
Prime Security Services
Borrower LLC 9.250% due 05/15/2023 |
$ | 220 | 232 | |||||
QVC, Inc. 5.950% due 03/15/2043 |
2,305 | 2,140 | ||||||
Radiate Holdco LLC
6.875% due 02/15/2023 |
30 | 30 | ||||||
Refinitiv U.S. Holdings,
Inc. 4.500% due 05/15/2026 |
EUR | 100 | 113 | |||||
Rockpoint Gas Storage
Canada Ltd. 7.000% due 03/31/2023 |
$ | 4 | 4 | |||||
Russian Railways via
RZD Capital PLC 7.487% due 03/25/2031 |
GBP | 700 | 1,114 | |||||
Sands China Ltd. | ||||||||
5.125% due 08/08/2025 | $ | 200 | 211 | |||||
5.400% due 08/08/2028 | 1,502 | 1,593 | ||||||
SoftBank Group Corp.
4.000% due 04/20/2023 |
EUR | 1,900 | 2,297 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
Spanish
Broadcasting System, Inc. 12.500% due 04/15/2049 ^(e) |
$ | 908 | 938 | |||||
Spirit Issuer PLC
3.533% (BP0003M + 2.700%) due 12/28/2031 ~ |
GBP | 500 | 641 | |||||
Staples, Inc. | ||||||||
7.500% due 04/15/2026 | $ | 62 | 62 | |||||
10.750% due 04/15/2027 | 30 | 31 | ||||||
T-Mobile USA, Inc.
4.750% due 02/01/2028 |
9 | 9 | ||||||
Teva Pharmaceutical
Finance Netherlands BV 3.250% due 04/15/2022 |
EUR | 200 | 233 | |||||
Topaz Solar Farms LLC | ||||||||
4.875% due 09/30/2039 | $ | 62 | 62 | |||||
5.750% due 09/30/2039 | 498 | 523 | ||||||
Transocean Pontus
Ltd. 6.125% due 08/01/2025 |
66 | 68 | ||||||
Triumph Group, Inc. | ||||||||
4.875% due 04/01/2021 | 50 | 49 | ||||||
5.250% due 06/01/2022 | 10 | 10 | ||||||
Univision Communications, Inc. | ||||||||
5.125% due 05/15/2023 | 36 | 35 | ||||||
5.125% due 02/15/2025 | 250 | 236 | ||||||
Vale Overseas Ltd. | ||||||||
6.250% due 08/10/2026 | 71 | 78 | ||||||
6.875% due 11/21/2036 | 29 | 34 | ||||||
6.875% due 11/10/2039 | 24 | 28 | ||||||
ViaSat, Inc. | ||||||||
5.625% due 09/15/2025 | 44 | 44 | ||||||
5.625% due 04/15/2027 | 29 | 30 | ||||||
Virgin Media Secured
Finance PLC 5.000% due 04/15/2027 |
GBP | 200 | 266 | |||||
VOC Escrow Ltd. 5.000% due 02/15/2028 |
$ | 27 | 27 | |||||
Wind Tre SpA | ||||||||
2.625% due 01/20/2023 | EUR | 100 | 110 | |||||
2.750% due 01/20/2024 • | 100 | 108 | ||||||
Wyndham Destinations, Inc. | ||||||||
3.900% due 03/01/2023 | $ | 34 | 34 | |||||
4.250% due 03/01/2022 | 2 | 2 | ||||||
5.400% due 04/01/2024 | 4 | 4 | ||||||
5.750% due 04/01/2027 | 405 | 409 | ||||||
68,988 | ||||||||
UTILITIES 9.5% | ||||||||
AT&T, Inc. 4.900% due 08/15/2037 |
27 | 28 | ||||||
DTEK Finance PLC (10.750%
Cash or 10.750% PIK) 10.750% due 12/31/2024 (d) |
1,347 | 1,320 | ||||||
Frontier Communications
Corp. 8.000% due 04/01/2027 |
52 | 54 | ||||||
Gazprom Neft OAO Via
GPN Capital S.A. 6.000% due 11/27/2023 (m) |
4,600 | 4,950 | ||||||
Northwestern Bell
Telephone 7.750% due 05/01/2030 |
7,000 | 7,530 | ||||||
Odebrecht Drilling
Norbe Ltd. 6.350% due 12/01/2021 |
58 | 57 | ||||||
Odebrecht Drilling
Norbe Ltd. (6.350% Cash and 1.000% PIK) 7.350% due 12/01/2026 (d) |
133 | 85 | ||||||
Odebrecht Offshore
Drilling Finance Ltd. 6.720% due 12/01/2022 |
660 | 632 | ||||||
Odebrecht Offshore
Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) 7.720% due 12/01/2026 (d) |
2,576 | 663 | ||||||
Pacific Gas & Electric Co. | ||||||||
2.450% due 08/15/2022 ^(e) | 323 | 304 | ||||||
2.950% due 03/01/2026 ^(e) | 446 | 404 | ||||||
3.250% due 09/15/2021 ^(e) | 119 | 112 | ||||||
3.250% due 06/15/2023 ^(e) | 342 | 322 | ||||||
3.300% due 03/15/2027 ^(e) | 324 | 296 | ||||||
3.300% due 12/01/2027 ^(e) | 300 | 273 | ||||||
3.400% due 08/15/2024 ^(e) | 218 | 205 | ||||||
3.500% due 10/01/2020 ^(e) | 630 | 602 | ||||||
3.500% due 06/15/2025 ^(e) | 365 | 343 | ||||||
3.750% due 02/15/2024 ^(e) | 76 | 72 | ||||||
3.750% due 08/15/2042 ^(e) | 10 | 9 | ||||||
3.850% due 11/15/2023 ^(e) | 29 | 28 | ||||||
4.000% due 12/01/2046 ^(e) | 4 | 4 | ||||||
4.250% due 05/15/2021 ^(e) | 122 | 117 | ||||||
4.250% due 08/01/2023 ^(e) | 552 | 535 | ||||||
4.300% due 03/15/2045 ^(e) | 11 | 10 | ||||||
4.500% due 12/15/2041 ^(e) | 10 | 9 | ||||||
4.600% due 06/15/2043 ^(e) | 8 | 7 | ||||||
4.650% due 08/01/2028 ^(e) | 515 | 501 | ||||||
4.750% due 02/15/2044 ^(e) | 382 | 362 | ||||||
5.125% due 11/15/2043 ^(e) | 637 | 613 | ||||||
5.400% due 01/15/2040 ^(e) | 8 | 8 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
5.800% due 03/01/2037 ^(e) | 1,614 | 1,638 | ||||||
6.050% due 03/01/2034 ^(e) | 989 | 1,031 | ||||||
6.250% due 03/01/2039 ^(e) | 299 | 309 | ||||||
6.350% due 02/15/2038 ^(e) | 396 | 415 | ||||||
Petrobras Global Finance BV | ||||||||
5.750% due 02/01/2029 | 117 | 118 | ||||||
5.999% due 01/27/2028 | 45 | 46 | ||||||
6.625% due 01/16/2034 | GBP | 100 | 142 | |||||
7.375% due 01/17/2027 | $ | 367 | 410 | |||||
Rio Oil Finance Trust
9.250% due 07/06/2024 |
2,831 | 3,115 | ||||||
Southern California Edison Co. | ||||||||
3.650% due 03/01/2028 | 3 | 3 | ||||||
5.750% due 04/01/2035 | 4 | 5 | ||||||
6.000% due 01/15/2034 | 2 | 2 | ||||||
6.650% due 04/01/2029 | 10 | 11 | ||||||
Transocean Poseidon
Ltd. 6.875% due 02/01/2027 |
54 | 58 | ||||||
27,758 | ||||||||
Total Corporate Bonds & Notes (Cost $166,243) | 170,015 | |||||||
CONVERTIBLE BONDS & NOTES 0.8% | ||||||||
INDUSTRIALS 0.8% | ||||||||
Caesars Entertainment
Corp. 5.000% due 10/01/2024 (f) |
486 | 720 | ||||||
DISH Network Corp.
3.375% due 08/15/2026 |
1,600 | 1,472 | ||||||
Total Convertible Bonds & Notes (Cost $2,506) | 2,192 | |||||||
MUNICIPAL BONDS & NOTES 5.7% | ||||||||
CALIFORNIA 0.8% | ||||||||
Riverside County,
California Redevelopment Successor Agency Tax Allocation Bonds, Series 2010 7.500% due 10/01/2030 |
600 | 641 | ||||||
Stockton Public Financing
Authority, California Revenue Bonds, (BABs), Series 2009 7.942% due 10/01/2038 |
1,600 | 1,635 | ||||||
2,276 | ||||||||
ILLINOIS 2.4% | ||||||||
Chicago, Illinois
General Obligation Bonds, (BABs), Series 2010 7.517% due 01/01/2040 |
6,000 | 6,695 | ||||||
Chicago, Illinois
General Obligation Bonds, Series 2014 6.314% due 01/01/2044 |
30 | 31 | ||||||
Chicago, Illinois
General Obligation Bonds, Series 2017 7.045% due 01/01/2029 |
60 | 67 | ||||||
Illinois State General Obligation Bonds, (BABs), Series 2010 | ||||||||
6.725% due 04/01/2035 | 10 | 11 | ||||||
7.350% due 07/01/2035 | 10 | 11 | ||||||
Illinois State General
Obligation Bonds, Series 2003 5.100% due 06/01/2033 |
120 | 118 | ||||||
6,933 | ||||||||
VIRGINIA 0.1% | ||||||||
Tobacco Settlement
Financing Corp., Virginia Revenue Bonds, Series 2007 6.706% due 06/01/2046 |
390 | 365 | ||||||
WEST VIRGINIA 2.4% | ||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | ||||||||
0.000% due 06/01/2047 (g) | 21,900 | 1,377 | ||||||
7.467% due 06/01/2047 | 5,790 | 5,747 | ||||||
7,124 | ||||||||
Total Municipal Bonds & Notes (Cost $15,187) | 16,698 | |||||||
U.S. GOVERNMENT AGENCIES 3.2% | ||||||||
Fannie Mae | ||||||||
3.500% due 12/25/2032 (a) | 524 | 59 | ||||||
4.000% due 11/25/2042 (a) | 1,940 | 298 | ||||||
6.027% due 07/25/2029 • | 420 | 451 | ||||||
7.496% due 12/25/2040 • | 132 | 163 | ||||||
8.227% due 07/25/2029 • | 570 | 678 | ||||||
Freddie Mac | ||||||||
0.000% due 02/25/2046 (b)(g) | 3,139 | 2,776 | ||||||
0.100% due 02/25/2046 (a) | 38,156 | 51 | ||||||
4.608% due 11/25/2055 «~ | 4,049 | 2,455 | ||||||
4.997% due 11/15/2040 • | 222 | 247 | ||||||
10.027% due 12/25/2027 • | 1,493 | 1,813 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
13.227% due 03/25/2025 • | 290 | 393 | ||||||
Total U.S. Government Agencies (Cost $8,753) | 9,384 | |||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 11.9% | ||||||||
Banc of America Alternative
Loan Trust 6.000% due 01/25/2036 ^ |
41 | 40 | ||||||
Banc of America Funding
Trust 6.000% due 08/25/2036^ |
944 | 913 | ||||||
BCAP LLC Trust | ||||||||
0.000% due 06/26/2036 ~ | 143 | 72 | ||||||
3.994% due 03/27/2036 ~ | 1,067 | 933 | ||||||
4.920% due 03/26/2037 Ø | 378 | 416 | ||||||
Bear Stearns ALT-A Trust | ||||||||
2.797% due 06/25/2046^ • | 1,656 | 1,800 | ||||||
3.996% due 11/25/2036 ^~ | 202 | 169 | ||||||
4.066% due 09/25/2047^ ~ | 2,761 | 2,232 | ||||||
4.236% due 09/25/2035 ^~ | 260 | 218 | ||||||
Bear Stearns Commercial
Mortgage Securities Trust 5.919% due 04/12/2038 ~ |
100 | 101 | ||||||
Bear Stearns Mortgage
Funding Trust 7.500% due 08/25/2036 Ø |
404 | 385 | ||||||
CD Commercial Mortgage Trust | ||||||||
5.398% due 12/11/2049 ~ | 3 | 2 | ||||||
5.688% due 10/15/2048 | 3,429 | 2,005 | ||||||
Chase Mortgage Finance Trust | ||||||||
4.274% due 12/25/2035 ^~ | 4 | 4 | ||||||
6.000% due 02/25/2037 ^ | 448 | 321 | ||||||
6.000% due 07/25/2037 ^ | 316 | 242 | ||||||
6.250% due 10/25/2036^ | 890 | 680 | ||||||
Citicorp Mortgage
Securities Trust 5.500% due 04/25/2037 |
57 | 57 | ||||||
Commercial Mortgage
Loan Trust 6.238% due 12/10/2049 ~ |
859 | 561 | ||||||
Countrywide Alternative Loan Resecuritization Trust | ||||||||
6.000% due 05/25/2036 ^ | 1,170 | 949 | ||||||
6.000% due 08/25/2037 ^~ | 520 | 397 | ||||||
Countrywide Alternative Loan Trust | ||||||||
2.827% due 05/25/2037^ • | 176 | 94 | ||||||
4.602% due 04/25/2036 ^~ | 591 | 552 | ||||||
5.500% due 03/25/2035 | 142 | 104 | ||||||
5.500% due 12/25/2035^ | 1,570 | 1,299 | ||||||
5.750% due 01/25/2035 | 141 | 143 | ||||||
6.000% due 02/25/2035 | 188 | 183 | ||||||
6.000% due 08/25/2036^ • | 210 | 185 | ||||||
6.000% due 04/25/2037 ^ | 574 | 413 | ||||||
6.250% due 11/25/2036^ | 363 | 320 | ||||||
6.250% due 12/25/2036 ^• | 894 | 658 | ||||||
6.500% due 08/25/2036 ^ | 242 | 150 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
4.246% due 02/20/2035 ~ | 13 | 13 | ||||||
5.500% due 10/25/2035^ | 308 | 271 | ||||||
6.250% due 09/25/2036^ | 276 | 209 | ||||||
Deutsche Mortgage
Securities, Inc. Mortgage Loan Trust 4.436% due 06/25/2034 • |
2,030 | 1,994 | ||||||
Epic Drummond Ltd.
0.000% due 01/25/2022 • |
EUR | 66 | 73 | |||||
Eurosail PLC 4.843% due 06/13/2045 • |
GBP | 239 | 271 | |||||
GS Mortgage Securities
Trust 5.622% due 11/10/2039 |
$ | 425 | 367 | |||||
GSR Mortgage Loan Trust | ||||||||
5.500% due 05/25/2036 ^ | 37 | 56 | ||||||
6.000% due 02/25/2036 ^ | 1,900 | 1,452 | ||||||
HarborView Mortgage Loan Trust | ||||||||
3.207% due 01/19/2035 • | 77 | 75 | ||||||
4.153% due 07/19/2035 ~ | 24 | 23 | ||||||
IndyMac Mortgage Loan
Trust 6.500% due 07/25/2037 ^ |
1,659 | 974 | ||||||
JPMorgan Alternative Loan Trust | ||||||||
3.883% due 03/25/2037^~ | 709 | 685 | ||||||
4.334% due 03/25/2036 ^~ | 847 | 771 | ||||||
JPMorgan Chase Commercial
Mortgage Securities Trust 5.623% due 05/12/2045 |
489 | 377 | ||||||
JPMorgan Mortgage Trust | ||||||||
4.322% due 01/25/2037 ^~ | 211 | 202 | ||||||
4.344% due 02/25/2036 ^~ | 181 | 152 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
5.407% due 11/15/2038 | 391 | 287 | ||||||
5.562% due 02/15/2040 ~ | 179 | 109 | ||||||
Lehman XS Trust 2.697% due 06/25/2047 • |
888 | 793 | ||||||
Merrill Lynch Mortgage
Investors Trust 4.348% due 03/25/2036 ^~ |
926 | 674 | ||||||
Morgan Stanley Mortgage
Loan Trust 5.962% due 06/25/2036 ~ |
2,570 | 1,088 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
Motel
6 Trust 9.399% due 08/15/2019 • |
442 | 450 | ||||||
Residential Asset Securitization Trust | ||||||||
5.750% due 02/25/2036^ | 515 | 361 | ||||||
6.000% due 07/25/2037^ | 692 | 450 | ||||||
6.250% due 09/25/2037 ^ | 1,264 | 792 | ||||||
Residential Funding Mortgage Securities, Inc. Trust | ||||||||
5.187% due 08/25/2036^ ~ | 551 | 519 | ||||||
6.000% due 09/25/2036^ | 115 | 109 | ||||||
6.000% due 06/25/2037^ | 1,221 | 1,150 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
4.188% due 07/25/2036 ^~ | 201 | 156 | ||||||
4.254% due 01/25/2036 ^~ | 724 | 544 | ||||||
4.283% due 11/25/2036 ^~ | 763 | 730 | ||||||
4.349% due 03/25/2037 ^~ | 286 | 230 | ||||||
SunTrust Adjustable Rate Mortgage Loan Trust | ||||||||
4.700% due 02/25/2037 ^~ | 122 | 116 | ||||||
4.711% due 04/25/2037 ^~ | 646 | 547 | ||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
2.625% due 12/25/2046 • | 299 | 299 | ||||||
3.841% due 10/25/2036 ^~ | 408 | 375 | ||||||
3.866% due 02/25/2037 ^~ | 272 | 261 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
5.178% due 07/25/2036^ ~ | 107 | 108 | ||||||
5.750% due 03/25/2037^ | 104 | 101 | ||||||
6.000% due 06/25/2037^ | 54 | 55 | ||||||
Total Non-Agency Mortgage-Backed Securities (Cost $31,979) | 34,867 | |||||||
ASSET-BACKED SECURITIES 25.6% | ||||||||
Adagio CLO DAC 0.000% due 04/30/2031 ~ |
EUR | 1,750 | 1,549 | |||||
Airspeed Ltd. 2.743% due 06/15/2032 • |
$ | 153 | 151 | |||||
Apidos CLO 0.000% due 01/20/2031 ~ |
2,200 | 1,868 | ||||||
Argent Securities
Trust 2.667% due 03/25/2036 • |
7,279 | 4,615 | ||||||
Asset-Backed Funding
Certificates Trust 2.627% due 10/25/2036 • |
4,852 | 4,612 | ||||||
Avoca CLO DAC 0.000% due 07/15/2032 ~(c) |
EUR | 1,070 | 1,100 | |||||
Bear Stearns Asset-Backed
Securities Trust 6.500% due 10/25/2036^ |
$ | 216 | 163 | |||||
Belle Haven ABS CDO
Ltd. 2.848% due 07/05/2046 • |
85,896 | 189 | ||||||
BlueMountain CLO Ltd.
8.047% due 04/13/2027 • |
1,000 | 996 | ||||||
Chrysler Capital Auto
Receivables Trust 0.000% due 01/16/2023 «(g) |
3 | 1,588 | ||||||
CIFC Funding Ltd. | ||||||||
0.000% due 04/24/2030 ~ | 1,200 | 660 | ||||||
0.000% due 10/22/2031 ~ | 1,000 | 535 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
2.627% due 12/25/2036 • | 3,581 | 1,878 | ||||||
2.637% due 12/25/2036 • | 1,837 | 1,249 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
2.617% due 06/25/2047 ^• | 695 | 628 | ||||||
2.677% due 06/25/2047 • | 4,583 | 4,082 | ||||||
Flagship Credit Auto
Trust 0.000% due 05/15/2025 «(g) |
4 | 671 | ||||||
Grosvenor Place CLO
BV 0.000% due 04/30/2029 ~ |
EUR | 250 | 181 | |||||
GSAMP Trust | ||||||||
2.737% due 02/25/2046 • | $ | 3,495 | 3,363 | |||||
3.452% due 03/25/2035^ • | 5,941 | 5,214 | ||||||
JPMorgan Mortgage
Acquisition Trust 2.797% due 04/25/2036 • |
6,000 | 5,618 | ||||||
Lehman XS Trust 6.290% due 06/24/2046 Ø |
1,557 | 1,542 | ||||||
Marlette Funding Trust
0.000% due 07/16/2029 «(c)(g) |
6 | 2,798 | ||||||
Merrill Lynch Mortgage
Investors Trust 2.637% due 04/25/2037 • |
259 | 155 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
2.597% due 04/25/2037 • | 3,361 | 1,567 | ||||||
6.250% due 02/25/2037 ^~ | 327 | 221 | ||||||
Residential Asset
Mortgage Products Trust 2.757% due 09/25/2036 • |
250 | 240 | ||||||
Residential Asset
Securities Corp. Trust 3.182% due 09/25/2035 • |
13,627 | 13,281 | ||||||
Securitized Asset-Backed
Receivables LLC Trust 2.617% due 05/25/2036 • |
5,347 | 3,404 | ||||||
SLM Student Loan EDC
Repackaging Trust 0.000% due 10/28/2029 «(g) |
1 | 1,199 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
SLM Student
Loan Trust 0.000% due 01/25/2042 «(g) |
2 | 1,321 | ||||||
SoFi Consumer Loan
Program LLC 0.000% due 11/25/2026 «(g) |
22 | 1,519 | ||||||
SoFi Professional Loan Program LLC | ||||||||
0.000% due 05/25/2040 (g) | 2,100 | 964 | ||||||
0.000% due 09/25/2040 (g) | 846 | 519 | ||||||
South Coast Funding
Ltd. 3.297% due 08/10/2038 • |
5,745 | 1,122 | ||||||
Symphony CLO Ltd.
7.197% due 07/14/2026 • |
1,000 | 947 | ||||||
Taberna Preferred Funding Ltd. | ||||||||
3.113% due 08/05/2036 • | 170 | 154 | ||||||
3.113% due 08/05/2036 ^• | 3,183 | 2,897 | ||||||
Total Asset-Backed Securities (Cost $71,897) | 74,760 | |||||||
SOVEREIGN ISSUES 5.2% | ||||||||
Argentina Government International Bond | ||||||||
3.375% due 01/15/2023 | EUR | 100 | 82 | |||||
3.380% due 12/31/2038 Ø | 1,734 | 1,015 | ||||||
5.250% due 01/15/2028 | 100 | 75 | ||||||
6.250% due 11/09/2047 | 100 | 74 | ||||||
7.820% due 12/31/2033 | 5,220 | 4,407 | ||||||
40.244% (BADLARPP) due 10/04/2022 ~ | ARS | 28 | 1 | |||||
48.175% (BADLARPP + 3.250%) due 03/01/2020 ~ | 700 | 15 | ||||||
50.249% (BADLARPP + 2.000%) due 04/03/2022 ~(a) | 30,292 | 577 | ||||||
70.354% due 06/21/2020 ~(a) | 42,495 | 961 | ||||||
Autonomous City of
Buenos Aires Argentina 0.000% due 03/29/2024 • |
45,317 | 774 | ||||||
Autonomous Community
of Catalonia 4.900% due 09/15/2021 |
EUR | 700 | 849 | |||||
Kazakhstan Government
International Bond 2.375% due 11/09/2028 |
100 | 117 | ||||||
Peru Government International Bond | ||||||||
5.700% due 08/12/2024 | PEN | 35 | 11 | |||||
5.940% due 02/12/2029 | 1,207 | 386 | ||||||
6.350% due 08/12/2028 | 2,709 | 893 | ||||||
6.950% due 08/12/2031 | 122 | 42 | ||||||
8.200% due 08/12/2026 | 207 | 75 | ||||||
Provincia de Buenos
Aires 0.000% due 04/12/2025 ~ |
ARS | 163,960 | 2,727 | |||||
Turkey Government International Bond | ||||||||
4.625% due 03/31/2025 | EUR | 800 | 867 | |||||
5.200% due 02/16/2026 | 300 | 329 | ||||||
7.625% due 04/26/2029 (m) | $ | 900 | 878 | |||||
Venezuela Government International Bond | ||||||||
6.000% due 12/09/2020 ^(e) | 120 | 35 | ||||||
8.250% due 10/13/2024 ^(e) | 12 | 4 | ||||||
9.250% due 09/15/2027 ^(e) | 151 | 48 | ||||||
Total Sovereign Issues (Cost $20,503) | 15,242 | |||||||
SHARES | ||||||||
COMMON STOCKS 1.1% | ||||||||
CONSUMER DISCRETIONARY 0.7% | ||||||||
Caesars Entertainment Corp. | 227,344 | 2,128 | ||||||
ENERGY 0.0% | ||||||||
Forbes Energy Services Ltd. (f)(k) | 13,350 | 40 | ||||||
FINANCIALS 0.2% | ||||||||
Ardonagh Group Ltd. «(k) | 383,023 | 587 | ||||||
INDUSTRIALS 0.2% | ||||||||
Westmoreland Mining Holdings LLC « | 25,438 | 394 | ||||||
Total Common Stocks (Cost $4,367) | 3,149 | |||||||
WARRANTS 0.1% | ||||||||
INDUSTRIALS 0.1% | ||||||||
Sequa Corp. - Exp. 04/28/2024 « | 394,000 | 386 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
Total Warrants (Cost $0) | 386 | |||||||
PREFERRED SECURITIES 4.2% | ||||||||
BANKING & FINANCE 1.1% | ||||||||
Nationwide Building
Society 10.250% ~ | 16,350 | 3,187 | ||||||
INDUSTRIALS 3.1% | ||||||||
Sequa Corp. 9.000% « | 8,660 | 9,084 | ||||||
Total Preferred Securities (Cost $10,482) | 12,271 | |||||||
REAL ESTATE INVESTMENT TRUSTS 1.6% | ||||||||
REAL ESTATE 1.6% | ||||||||
VICI Properties, Inc. | 202,347 | 4,613 | ||||||
Total Real Estate Investment Trusts (Cost $2,691) | 4,613 | |||||||
SHORT-TERM INSTRUMENTS 1.4% | ||||||||
REPURCHASE AGREEMENTS (l) 1.4% | 4,129 | |||||||
PRINCIPAL AMOUNT (000s) | ||||||||
U.S. TREASURY BILLS 0.0% | ||||||||
2.426% due 07/05/2019 (g)(h)(p) | 65 | 65 | ||||||
Total Short-Term Instruments (Cost $4,194) | 4,194 | |||||||
Total Investments in Securities (Cost $362,915) | 369,206 | |||||||
Total Investments 126.4% (Cost $362,915) | $ | 369,206 | ||||||
Financial Derivative Instruments (n)(o) 0.3%(Cost or Premiums, net $5,489) | 911 | |||||||
Auction Rate Preferred Shares (17.6)% | (51,275 | ) | ||||||
Other Assets and Liabilities, net (9.1)% | (26,779 | ) | ||||||
Net Assets Applicable to Common Shareholders 100.0% | $ | 292,063 |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
NOTES TO SCHEDULE OF INVESTMENTS: | |
* A zero balance may reflect actual amounts rounding to less than one thousand. | |
¤ | The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure. |
^ | Security is in default. |
« | Security valued using significant unobservable inputs (Level 3). |
~ | 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. |
Ø | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) | Interest only security. |
(b) | Principal only security. |
(c) | When-issued security. |
(d) | Payment in-kind security. |
(e) | Security did not produce income within the last twelve months. |
(f) | Security is not accruing income as of the date of this report. |
(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 | ||||||||
Ardonagh Group Ltd. | 04/02/2015 - 07/20/2017 | $ | 513 | $ | 587 | 0.20 | % | |||||
Forbes Energy Services Ltd. | 10/09/2014 - 11/18/2016 | 532 | 40 | 0.01 | ||||||||
$ | 1,045 | $ | 627 | 0.21 | % |
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) | |||||||||||||||
FICC | 2.000 | % | 04/30/2019 | 05/01/2019 | $ | 829 | U.S. Treasury Notes 2.750% due 11/30/2020 | $ | (850) | $ | 829 | $ | 829 | ||||||||||
SAL | 2.820 | 04/30/2019 | 05/01/2019 | 3,300 | U.S. Treasury Notes 2.875% due 10/31/2023 | (3,374) | 3,300 | 3,300 | |||||||||||||||
Total Repurchase Agreements | $ | (4,224) | $ | 4,129 | $ | 4,129 |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) |
Payable
for Reverse Repurchase Agreements |
|||||||||||||
BCY | 1.650% | 04/30/2019 | TBD(3) | $ | (634 | ) | $ | (634 | ) | |||||||||
CIW | 2.780 | 04/05/2019 | 05/03/2019 | (2,770 | ) | (2,776 | ) | |||||||||||
2.780 | 04/12/2019 | 05/10/2019 | (234 | ) | (234 | ) | ||||||||||||
FOB | 2.750 | 04/08/2019 | 05/08/2019 | (2,073 | ) | (2,077 | ) | |||||||||||
JML | (0.320) | 03/04/2019 | 06/04/2019 | EUR | (1,796 | ) | (2,014 | ) | ||||||||||
0.950 | 03/04/2019 | 06/04/2019 | GBP | (180 | ) | (234 | ) | |||||||||||
3.050 | 12/21/2018 | TBD(3) | $ | (3,827 | ) | (3,869 | ) | |||||||||||
MEI | 2.900 | 04/18/2019 | 05/17/2019 | (752 | ) | (753 | ) | |||||||||||
NOM | 3.000 | 04/22/2019 | 05/22/2019 | (3,113 | ) | (3,115 | ) | |||||||||||
RDR | 2.700 | 04/15/2019 | 05/16/2019 | (3,099 | ) | (3,103 | ) | |||||||||||
2.890 | 02/19/2019 | 05/20/2019 | (1,203 | ) | (1,210 | ) | ||||||||||||
UBS | 2.800 | 03/11/2019 | 06/11/2019 | (4,261 | ) | (4,278 | ) | |||||||||||
2.860 | 03/05/2019 | 06/05/2019 | (3,943 | ) | (3,961 | ) |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
3.150 | 03/04/2019 | 06/04/2019 | (1,236) | (1,242) | ||||||||||||||
3.230 | 02/14/2019 | 05/14/2019 | (2,700) | (2,718) | ||||||||||||||
Total Reverse Repurchase Agreements | $ | (32,218) |
(m) | Securities with an aggregate market value of $36,404 have been pledged as collateral under the terms of master agreements as of April 30, 2019. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended April 30, 2019 was $(30,389) at a weighted average interest rate of 2.646%. 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, 2019(2) | Notional Amount(3) | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value(4) | Asset | Liability | ||||||||||||||||||||||||||
Frontier Communications Corp. | 5.000 | % | Quarterly | 06/20/2020 | 17.553 | % | $ | 2,900 | $ | (95 | ) | $ | (243 | ) | $ | (338 | ) | $ | 4 | $ | 0 | |||||||||||||||
General Electric Co. | 1.000 | Quarterly | 12/20/2023 | 0.821 | 300 | (16 | ) | 19 | 3 | 1 | 0 | |||||||||||||||||||||||||
$ | (111 | ) | $ | (224 | ) | $ | (335 | ) | $ | 5 | $ | 0 |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Variation Margin | |||||||||||||||||||||||||||||||||
Index/Tranches | Fixed
Receive Rate | Payment Frequency | Maturity Date | Notional Amount(3) |
Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(4) |
Asset | Liability | ||||||||||||||||||||||||
CDX.HY-32 5-Year Index | 5.000 | % | Quarterly | 06/20/2024 | $ | 1,800 | $ | 116 | $ | 31 | $ | 147 | $ | 1 | $ | 0 |
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 | ||||||||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 2.750 | % | Semi-Annual | 06/17/2025 | $ | 43,420 | $ | 2,555 | $ | (1,300 | ) | $ | 1,255 | $ | 70 | $ | 0 | ||||||||||||||||||
Pay | 3-Month USD-LIBOR | 2.250 | Semi-Annual | 06/15/2026 | 15,300 | 723 | (801 | ) | (78 | ) | 29 | 0 | ||||||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 2.500 | Semi-Annual | 12/20/2027 | 28,100 | 200 | 57 | 257 | 64 | 0 | ||||||||||||||||||||||||||
Pay(5) | 3-Month USD-LIBOR | 3.000 | Semi-Annual | 06/19/2029 | 31,200 | 664 | 685 | 1,349 | 76 | 0 | ||||||||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 3.500 | Semi-Annual | 06/19/2044 | 83,100 | (2,711 | ) | 15,710 | 12,999 | 486 | 0 | |||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500 | Semi-Annual | 06/20/2048 | 116,300 | 4,453 | 378 | 4,831 | 0 | (635 | ) | |||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 3.000 | Semi-Annual | 12/19/2048 | 5,000 | 0 | (324 | ) | (324 | ) | 0 | (29 | ) | |||||||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW | 3.000 | Semi-Annual | 12/17/2019 | AUD | 6,200 | 89 | (40 | ) | 49 | 0 | 0 | ||||||||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW | 3.500 | Semi-Annual | 06/17/2025 | 3,900 | 97 | 201 | 298 | 0 | (1 | ) | |||||||||||||||||||||||||
Receive(5) | 6-Month EUR-EURIBOR | 1.000 | Annual | 06/19/2029 | EUR | 1,200 | (3 | ) | (59 | ) | (62 | ) | 3 | 0 | ||||||||||||||||||||||
Receive(5) | 6-Month EUR-EURIBOR | 0.750 | Annual | 09/18/2029 | 5,800 | (51 | ) | (57 | ) | (108 | ) | 15 | 0 | |||||||||||||||||||||||
Receive(5) | 6-Month GBP-LIBOR | 1.500 | Semi-Annual | 09/18/2029 | GBP | 17,800 | (126 | ) | (111 | ) | (237 | ) | 96 | 0 | ||||||||||||||||||||||
$ | 5,890 | $ | 14,339 | $ | 20,229 | $ | 839 | $ | (665 | ) | ||||||||||||||||||||||||||
Total Swap Agreements | $ | 5,895 | $ | 14,146 | $ | 20,041 | $ | 845 | $ | (665 | ) |
Cash of $5,888 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of April 30, 2019. | |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices' credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | This instrument has a forward starting effective date. |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
(o) 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 | 05/2019 | EUR | 18,737 | $ | 21,143 | $ | 127 | $ | 0 | ||||||||||||
BPS | 05/2019 | ARS | 8,896 | 192 | 0 | (7) | |||||||||||||||
06/2019 | $ | 77 | ARS | 3,741 | 1 | 0 | |||||||||||||||
07/2019 | 253 | 12,361 | 0 | (9) | |||||||||||||||||
BRC | 05/2019 | 2,808 | MXN | 53,659 | 17 | 0 | |||||||||||||||
CBK | 05/2019 | AUD | 117 | $ | 83 | 1 | 0 | ||||||||||||||
05/2019 | EUR | 420 | 476 | 4 | 0 | ||||||||||||||||
05/2019 | RUB | 188,222 | 2,898 | 0 | (8) | ||||||||||||||||
05/2019 | $ | 590 | EUR | 528 | 3 | (1) | |||||||||||||||
05/2019 | 36,357 | GBP | 28,154 | 359 | (1) | ||||||||||||||||
06/2019 | GBP | 27,890 | $ | 36,072 | 0 | (360) | |||||||||||||||
08/2019 | $ | 2,861 | RUB | 188,222 | 9 | 0 | |||||||||||||||
GLM | 05/2019 | ARS | 40,018 | $ | 873 | 0 | (20) | ||||||||||||||
05/2019 | EUR | 628 | 699 | 0 | (6) | ||||||||||||||||
05/2019 | $ | 419 | EUR | 370 | 0 | (4) | |||||||||||||||
06/2019 | 16 | ARS | 774 | 0 | 0 | ||||||||||||||||
07/2019 | PEN | 1,505 | $ | 455 | 1 | 0 | |||||||||||||||
HUS | 05/2019 | ARS | 86,315 | 1,893 | 0 | (28) | |||||||||||||||
05/2019 | $ | 1,480 | ARS | 67,324 | 1 | (16) | |||||||||||||||
JPM | 05/2019 | EUR | 1,219 | $ | 1,375 | 8 | 0 | ||||||||||||||
05/2019 | $ | 1,137 | EUR | 1,007 | 0 | (7) | |||||||||||||||
05/2019 | 752 | GBP | 572 | 0 | (6) | ||||||||||||||||
MSB | 05/2019 | ARS | 67,570 | $ | 1,592 | 79 | 0 | ||||||||||||||
05/2019 | BRL | 340 | 86 | 0 | (1) | ||||||||||||||||
05/2019 | $ | 86 | BRL | 340 | 1 | 0 | |||||||||||||||
SCX | 05/2019 | EUR | 515 | $ | 580 | 2 | 0 | ||||||||||||||
05/2019 | GBP | 28,502 | 37,791 | 622 | 0 | ||||||||||||||||
SOG | 05/2019 | $ | 2,834 | RUB | 188,222 | 72 | 0 | ||||||||||||||
SSB | 05/2019 | GBP | 224 | $ | 293 | 1 | 0 | ||||||||||||||
UAG | 05/2019 | $ | 22,282 | EUR | 19,991 | 140 | 0 | ||||||||||||||
06/2019 | EUR | 19,991 | $ | 22,343 | 0 | (141) | |||||||||||||||
Total Forward Foreign Currency Contracts | $ | 1,448 | $ | (615) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Swap Agreements, at Value | |||||||||||||||||||||||||||||||||||
Counterparty | Reference Entity | Fixed
Receive Rate |
Payment Frequency | Maturity Date | Implied Credit Spread at April 30, 2019(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Asset | Liability | |||||||||||||||||||||||||
BPS | Petrobras Global Finance BV | 1.000 | % | Quarterly | 12/20/2024 | 2.091 | % | $ | 500 | $ | (98 | ) | $ | 71 | $ | 0 | $ | (27 | ) | ||||||||||||||||
GST | Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 2.091 | 700 | (139 | ) | 101 | 0 | (38 | ) | |||||||||||||||||||||||
HUS | Petrobras Global Finance BV | 1.000 | Quarterly | 09/20/2020 | 0.579 | 20 | (3 | ) | 3 | 0 | 0 | ||||||||||||||||||||||||
Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 2.091 | 800 | (166 | ) | 122 | 0 | (44 | ) | ||||||||||||||||||||||||
$ | (406 | ) | $ | 297 | $ | 0 | $ | (109 | ) |
TOTAL RETURN SWAPS ON INTEREST RATE INDICES
Swap Agreements, at Value | ||||||||||||||||||||||||||||||||||||
Counterparty | Pay/Receive(4) | Underlying Reference | # of Units | Financing Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Asset | Liability | |||||||||||||||||||||||||
GST | Receive | iBoxx USD Liquid High Yield Index | N/A | 3-Month USD-LIBOR | Maturity | 06/20/2019 | $ | 100 | $ | 0 | $ | 7 | $ | 7 | $ | 0 | ||||||||||||||||||||
Total Swap Agreements | $ | (406 | ) | $ | 304 | $ | 7 | $ | (109 | ) |
(p) | Securities with an aggregate market value of $65 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of April 30, 2019. |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate 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) | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 in valuing the Fund's assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair
Value at 04/30/2019 |
|||||||||||||
Investments in Securities, at Value | |||||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 20,537 | $ | 898 | $ | 21,435 | |||||||||
Corporate Bonds & Notes | |||||||||||||||||
Banking & Finance | 0 | 73,269 | 0 | 73,269 | |||||||||||||
Industrials | 0 | 68,791 | 197 | 68,988 | |||||||||||||
Utilities | 0 | 27,758 | 0 | 27,758 | |||||||||||||
Convertible Bonds & Notes | |||||||||||||||||
Industrials | 0 | 2,192 | 0 | 2,192 | |||||||||||||
Municipal Bonds & Notes | |||||||||||||||||
California | 0 | 2,276 | 0 | 2,276 | |||||||||||||
Illinois | 0 | 6,933 | 0 | 6,933 | |||||||||||||
Virginia | 0 | 365 | 0 | 365 | |||||||||||||
West Virginia | 0 | 7,124 | 0 | 7,124 | |||||||||||||
U.S. Government Agencies | 0 | 6,929 | 2,455 | 9,384 | |||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 34,867 | 0 | 34,867 | |||||||||||||
Asset-Backed Securities | 0 | 65,664 | 9,096 | 74,760 | |||||||||||||
Sovereign Issues | 0 | 15,242 | 0 | 15,242 | |||||||||||||
Common Stocks | |||||||||||||||||
Consumer Discretionary | 2,128 | 0 | 0 | 2,128 | |||||||||||||
Energy | 0 | 40 | 0 | 40 | |||||||||||||
Financials | 0 | 0 | 587 | 587 | |||||||||||||
Industrials | 0 | 0 | 394 | 394 | |||||||||||||
Warrants | |||||||||||||||||
Industrials | 0 | 0 | 386 | 386 | |||||||||||||
Preferred Securities | |||||||||||||||||
Banking & Finance | 0 | 3,187 | 0 | 3,187 | |||||||||||||
Industrials | 0 | 0 | 9,084 | 9,084 | |||||||||||||
Real Estate Investment Trusts | |||||||||||||||||
Real Estate | 4,613 | 0 | 0 | 4,613 | |||||||||||||
Loan Participations and Assignments | 0 | 0 | 0 | 0 | |||||||||||||
Short-Term Instruments | |||||||||||||||||
Repurchase Agreements | 0 | 4,129 | 0 | 4,129 | |||||||||||||
U.S. Treasury Bills | 0 | 65 | 0 | 65 | |||||||||||||
$ | 6,741 | $ | 339,368 | $ | 23,097 | $ | 369,206 | ||||||||||
Total Investments | $ | 6,741 | $ | 339,368 | $ | 23,097 | $ | 369,206 | |||||||||
Short Sales, at Value - Liabilities | |||||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||
Financial Derivative Instruments - Assets | |||||||||||||||||
Exchange-traded or centrally cleared | 0 | 845 | 0 | 845 | |||||||||||||
Over the counter | 0 | 1,455 | 0 | 1,455 | |||||||||||||
$ | 0 | $ | 2,300 | $ | 0 | $ | 2,300 | ||||||||||
Financial Derivative Instruments - Liabilities | |||||||||||||||||
Exchange-traded or centrally cleared | 0 | (665 | ) | 0 | (665 | ) | |||||||||||
Over the counter | 0 | (724 | ) | 0 | (724 | ) | |||||||||||
$ | 0 | $ | (1,389 | ) | $ | 0 | $ | (1,389 | ) | ||||||||
Total Financial Derivative Instruments | $ | 0 | $ | 911 | $ | 0 | $ | 911 | |||||||||
Totals | $ | 6,741 | $ | 340,279 | $ | 23,097 | $ | 370,117 |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended April 30, 2019:
Category and Subcategory | Beginning Balance at 07/31/2018 |
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 04/30/2019 |
Net
Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 04/30/2019(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments | $ | 200 | $ | 885 | $ | (52 | ) | $ | 0 | $ | 2 | $ | 9 | $ | 0 | $ | (146 | ) | $ | 898 | $ | 12 | ||||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||||||||||||||||||||||||||
Industrials | 422 | 0 | (2 | ) | 1 | 0 | (1 | ) | 0 | (223 | ) | 197 | 4 | |||||||||||||||||||||||||||
U.S. Government Agencies | 2,454 | 0 | (32 | ) | 42 | 12 | (21 | ) | 0 | 0 | 2,455 | (22 | ) | |||||||||||||||||||||||||||
Asset-Backed Securities | 4,601 | 6,863 | 0 | 34 | 0 | (919 | ) | 0 | (1,483 | ) | 9,096 | (645 | ) | |||||||||||||||||||||||||||
Common Stocks |
Schedule of Investments PIMCO Income Strategy Fund (Cont.) | April 30, 2019 (Unaudited) |
Financials | 603 | 0 | 0 | 0 | 0 | (16 | ) | 0 | 0 | 587 | (16 | ) | ||||||||||||||||||||||||||||
Industrials | 0 | 394 | 0 | 0 | 0 | 0 | 0 | 0 | 394 | 0 | ||||||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||||||||||||||||
Industrials | 99 | 0 | 0 | 0 | 0 | 287 | 0 | 0 | 386 | 287 | ||||||||||||||||||||||||||||||
Preferred Securities | ||||||||||||||||||||||||||||||||||||||||
Industrials | 7,351 | 380 | 0 | 0 | 0 | 1,353 | 0 | 0 | 9,084 | 1,353 | ||||||||||||||||||||||||||||||
Totals | $ | 15,730 | $ | 8,522 | $ | (86 | ) | $ | 77 | $ | 14 | $ | 692 | $ | 0 | $ | (1,852 | ) | $ | 23,097 | $ | 973 |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending Balance at 04/30/2019 | Valuation Technique | Unobservable Inputs | Input
Value(s) (% Unless Noted Otherwise) |
|||||||||
Investments in Securities, at Value | |||||||||||||
Loan Participations and Assignments | $ | 898 | Third Party Vendor | Broker Quote | 95.000 - 101.000 | ||||||||
Corporate Bonds & Notes | |||||||||||||
Industrials | 197 | Reference Instrument | Yield | 9.495 | |||||||||
U.S. Government Agencies | 2,455 | Proxy Pricing | Base Price | 60.540 | |||||||||
Asset-Backed Securities | 9,096 | Proxy Pricing | Base Price | 6,900.000 - 87,702.660 | |||||||||
Common Stocks | |||||||||||||
Financials | 587 | Fundamental Valuation | Company Equity Value | GBP | 861,000,000.000 | ||||||||
Industrials | 394 | Indicative Market Quotation | Broker Quote | $ | 15.500 | ||||||||
Warrants | |||||||||||||
Industrials | 386 | Other Valuation Techniques(2) | — | — | |||||||||
Preferred Securities | |||||||||||||
Industrials | 9,084 | Fundamental Valuation | Company Equity Value | $ | 721,549,176.530 | ||||||||
Total | $ | 23,097 |
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at April 30, 2019 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. |
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The net asset value (“NAV”) of the Fund’s shares is determined by dividing the total value of portfolio investments and other assets attributable to that Fund less any liabilities by the total number of shares outstanding of the Fund.
On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (“NYSE Close”). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. The Fund reserves the right to change the time as of which its NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (“SEC”).
For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Fund’s approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. The Fund’s investments in open-end management investment companies, other than exchange-traded funds (“ETFs”), are valued at the NAVs of such investments.
If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the non-U.S security being fair valued between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Trust 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 will be 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 will be valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.
Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund’s next calculated NAV.
Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that may materially affect the values of the Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.
When the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.
(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, 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 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of the Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.
(c) Valuation Techniques and the Fair Value Hierarchy
Level 1 and Level 2 trading assets and trading liabilities, at fair value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate (“OIS”), London Interbank Offered Rate (“LIBOR”) forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.
Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:
Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.
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 algorithm formulas 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 3 of the fair value hierarchy.
Fundamental analysis valuation estimates fair value by using an internal model that utilizes financial statements of the non-public underlying company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.
2. FEDERAL INCOME TAX MATTERS
The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
In accordance with U.S. GAAP, the Manager has reviewed the Fund’s tax positions for all open tax years. As of April 30, 2019, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.
The Fund files U.S. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Glossary: (abbreviations that may be used in the preceding statements) | (Unaudited) |
Counterparty Abbreviations: | ||||||||||
BCY | Barclays Capital, Inc. | GLM | Goldman Sachs Bank USA | RDR | RBC Capital Markets LLC | |||||
BOA | Bank of America N.A. | GST | Goldman Sachs International | SAL | Citigroup Global Markets, Inc. | |||||
BPS | BNP Paribas S.A. | HUS | HSBC Bank USA N.A. | SCX | Standard Chartered Bank | |||||
BRC | Barclays Bank PLC | JML | JP Morgan Securities Plc | SOG | Societe Generale Paris | |||||
CBK | Citibank N.A. | JPM | JP Morgan Chase Bank N.A. | SSB | State Street Bank and Trust Co. | |||||
CIW | CIBC World Markets Corp. | MEI | Merrill Lynch International | UAG | UBS AG Stamford | |||||
FICC | Fixed Income Clearing Corporation | MSB | Morgan Stanley Bank, N.A | UBS | UBS Securities LLC | |||||
FOB | Credit Suisse Securities (USA) LLC | NOM | Nomura Securities International Inc. | |||||||
Currency Abbreviations: | ||||||||||
ARS | Argentine Peso | EUR | Euro | PEN | Peruvian New Sol | |||||
AUD | Australian Dollar | GBP | British Pound | RUB | Russian Ruble | |||||
BRL | Brazilian Real | MXN | Mexican Peso | USD (or $) | United States Dollar | |||||
Index/Spread Abbreviations: | ||||||||||
BADLARPP | Argentina Badlar Floating Rate Notes | CDX.HY | Credit Derivatives Index - High Yield | LIBOR03M | 3 Month USD-LIBOR | |||||
BP0003M | 3 Month GBP-LIBOR | |||||||||
Other Abbreviations: | ||||||||||
ABS | Asset-Backed Security | CDO | Collateralized Debt Obligation | PIK | Payment-in-Kind | |||||
ALT | Alternate Loan Trust | CLO | Collateralized Loan Obligation | TBA | To-Be-Announced | |||||
BABs | Build America Bonds | DAC | Designated Activity Company | TBD | To-Be-Determined | |||||
BBR | Bank Bill Rate | EURIBOR | Euro Interbank Offered Rate | TBD% | Interest rate to be determined when loan settles or at the time of funding | |||||
BBSW | Bank Bill Swap Reference Rate | LIBOR | London Interbank Offered Rate |