NPORT-EX 1 incomestrategyfund.htm PIMCO INCOME STRATEGY FUND

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   GBP5,925    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)
  EUR1,000    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)
  GBP3,700    4,898 
Barclays PLC           
3.250% due 01/17/2033    100    124 
6.500% due 09/15/2019 •(i)(j)   EUR800    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)
  EUR846    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)   GBP200    274 
6.000% due 09/29/2023 •(i)(j)(m)   EUR1,800    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)   GBP2,200    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)   GBP1,950    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
  GBP2,023    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   GBP1,669    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
  GBP100    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
  GBP2,360    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   EUR304    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   EUR533    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
  EUR200    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
  EUR100    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
  GBP700    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
  EUR1,900    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 ~
  GBP500    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
  EUR200    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
  GBP200    266 
VOC Escrow Ltd.
5.000% due 02/15/2028
  $27    27 
Wind Tre SpA           
2.625% due 01/20/2023   EUR100    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   GBP100    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 •
  EUR66    73 
Eurosail PLC
4.843% due 06/13/2045 •
  GBP239    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 ~
  EUR1,750    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)
  EUR1,070    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 ~
  EUR250    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   EUR100    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 ~   ARS28    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
  EUR700    849 
Kazakhstan Government International Bond
2.375% due 11/09/2028
   100    117 
Peru Government International Bond           
5.700% due 08/12/2024   PEN35    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 ~
  ARS163,960    2,727 
Turkey Government International Bond           
4.625% due 03/31/2025   EUR800    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     EUR18,737      $21,143   $127 $ 0
BPS   05/2019     ARS8,896       192    0   (7)
    06/2019     $77      ARS3,741    1   0
    07/2019      253       12,361    0   (9)
BRC   05/2019      2,808      MXN53,659    17   0
CBK   05/2019     AUD117      $83    1   0
    05/2019     EUR420       476    4   0
    05/2019     RUB188,222       2,898    0   (8)
    05/2019     $590      EUR528    3   (1)
    05/2019      36,357      GBP28,154    359   (1)
    06/2019     GBP27,890      $36,072    0   (360)
    08/2019     $2,861      RUB188,222    9   0
GLM   05/2019     ARS40,018      $873    0   (20)
    05/2019     EUR628       699    0   (6)
    05/2019     $419      EUR370    0   (4)
    06/2019      16      ARS774    0   0
    07/2019     PEN1,505      $455    1   0
HUS   05/2019     ARS86,315       1,893    0   (28)
    05/2019     $1,480      ARS67,324    1   (16)
JPM   05/2019     EUR1,219      $1,375    8   0
    05/2019     $1,137      EUR1,007    0   (7)
    05/2019      752      GBP572    0   (6)
MSB   05/2019     ARS67,570      $1,592    79   0
    05/2019     BRL340       86    0   (1)
    05/2019     $86      BRL340    1   0
SCX   05/2019     EUR515      $580    2   0
    05/2019     GBP28,502       37,791    622   0
SOG   05/2019     $2,834      RUB188,222    72   0
SSB   05/2019     GBP224      $293    1   0
UAG   05/2019     $22,282      EUR19,991    140   0
    06/2019     EUR19,991      $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    GBP861,000,000.000 
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