UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-21374
PIMCO Income Strategy Fund
(Exact name of registrant as specified in charter)
1633 Broadway, New York, NY 10019
(Address of principal executive offices)
Bradley Todd
Treasurer
(Principal Financial & Accounting Officer)
650 Newport Center Drive
Newport Beach, CA 92660
(Name and address of agent for service)
Copies to:
David C. Sullivan
Ropes & Gray LLP
Prudential Tower
800
Boylston Street
Boston, MA 02199
Registrant’s telephone number, including area code: (844) 337-4626
Date of fiscal year end: July 31
Date of reporting
period: January 31, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later
than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on
Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information
specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and
Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
| Item 1. |
Reports to Shareholders. |
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended
(the “1940 Act”) (17 CFR 270.30e-1).
PIMCO CLOSED-END FUNDS
Semiannual Report
January 31, 2020
PIMCO Corporate &
Income Opportunity Fund | PTY | NYSE
PIMCO Corporate & Income Strategy
Fund | PCN | NYSE
PIMCO High Income Fund | PHK | NYSE
PIMCO Income Strategy Fund | PFL | NYSE
PIMCO Income Strategy Fund II | PFN | NYSE
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and
Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a
broker-dealer or bank. Instead, the reports will be made available on the Fund’s website, pimco.com/literature, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be
affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by visiting pimco.com/edelivery or by contacting your financial intermediary, such as a
broker-dealer or bank.
You may elect to receive all future reports in paper
free of charge. If you own these shares through a financial intermediary, such as a broker-dealer or bank, you may contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest
directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 844.337.4626. Your election to receive reports in paper will apply to all funds held with the fund complex if you
invest directly with the Fund or to all funds held in your account if you invest through a financial intermediary, such as a broker-dealer or bank.
Table of Contents
Letter from the Chair of the Board & President
Dear Shareholder,
Following this letter is the PIMCO Closed-End Funds Semiannual Report, which
covers the six-month reporting period ended January 31, 2020. On the subsequent pages, you will find specific details regarding investment results and discussion of the factors that most affected performance during the reporting period.
For the six-month reporting period ended
January 31, 2020
The U.S. economy continued to expand during the
reporting period. U.S. gross domestic product (“GDP”) grew at an annual pace of 2.0% and 2.1% during the second and third quarters of 2019, respectively. The Commerce Department’s second reading for fourth quarter 2019 GDP, released
after the reporting period ended, showed that the U.S. economy grew at a 2.1% annual pace.
After raising rates four times in 2018, the Federal Reserve (the “Fed”) reversed course and had a “dovish pivot.” Following the Fed’s meeting that concluded on July 31, 2019, the Fed
lowered the federal funds rate by 0.25% to a range between 2.00% and 2.25%. This represented the Fed’s first rate cut since 2008. At the Fed’s meeting that ended on September 18, 2019, the Fed again reduced the federal funds rate by 0.25%
to a range between 1.75% and 2.00%. At the Fed’s meeting that concluded on October 30, 2019, the Fed lowered the federal funds rate to a range between 1.50% and 1.75%. Since that time, the Fed has remained on hold and, at its meeting that
concluded on January 29, 2020, the Fed said, “The Committee will continue to monitor the implications of incoming information for the economic outlook, including global developments and muted inflation pressures, as it assesses the appropriate
path of the target range for the federal funds rate.”
Economic
activity outside the U.S. continued to expand, but the pace of expansion generally moderated. According to the International Monetary Fund’s (“IMF”) January 2020 World Economic Outlook Update, global growth is projected to have
been 2.9% in 2019, versus 3.6% in 2018. From a regional perspective, the IMF expects the U.S. economy to expand 2.3% in 2019, compared to 2.9% in the prior calendar year. Elsewhere, the IMF anticipates that 2019 GDP growth in the eurozone, U.K. and
Japan will be 1.2%, 1.3% and 1.0%, respectively. For comparison purposes, these economies expanded 1.9%, 1.3% and 0.3%, respectively, in 2018.
Against this backdrop, in September 2019, the European Central Bank (the “ECB”) cut its deposit rate from -0.4% to
-0.5% — a record low — and restarted bond purchases of €20 billion a month in November 2019. Elsewhere, the Bank of Japan largely
maintained its highly accommodative monetary policies. The Bank of England kept rates on hold, although there was speculation that it may reduce rates given the uncertainties related to Brexit. However, in December 2019, Prime Minister Boris Johnson
won the general election, likely paving the way for a faster Brexit resolution.
The U.S. Treasury yield curve steepened as two-year Treasury rates declined more than their 10-year counterparts. In our view, falling rates were partially due to signs of moderating global growth, the
Fed’s dovish pivot and periods of investor risk aversion. The yield on the benchmark 10-year U.S. Treasury note was 1.51% at the end of the reporting period, versus 2.02% on July 31, 2019. The Bloomberg Barclays Global Treasury Index (USD
Hedged), which tracks fixed-rate, local-currency government debt of investment grade countries, including both developed and emerging markets, returned 2.79%. Meanwhile, the Bloomberg Barclays Global Aggregate Credit Index (USD Hedged), a widely
used index of global investment grade bonds, returned 4.54%. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, also generated positive results. The ICE BofAML Developed Markets High Yield Constrained
Index (USD Hedged), a widely used index of below-investment-grade bonds, returned 3.54%, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global (USD Hedged), returned 4.06%. Emerging market
local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned 2.08%.
Global equities produced positive results and, despite periods of volatility, U.S. equities rose sharply. We believe the increase in U.S. equities was driven
by a number of factors, including corporate profits that often exceeded lowered
expectations, a more accommodative Fed, and the “Phase 1” trade agreement between the U.S. and China. All told, U.S. equities, as represented by the S&P 500 Index, returned 9.31%.
Emerging market equities, as measured by the MSCI Emerging Markets Index, returned 3.36%, whereas global equities, as represented by the MSCI World Index, returned 7.94%. Meanwhile, Japanese equities, as represented by the Nikkei 225 Index (in JPY),
returned 8.87% and European equities, as represented by the MSCI Europe Index (in EUR), returned 6.75%.
Commodity prices fluctuated and were mixed during the reporting period. When the reporting period began, Brent crude oil was approximately $65 a barrel and it ended the period at roughly $58 a barrel.
Elsewhere, copper prices also declined, whereas gold prices moved higher.
Finally, there were periods of volatility in the foreign exchange markets, due in part, in our view, to signs of moderating global growth, trade conflicts, and changing central bank monetary policies, along
with a number of geopolitical events. The U.S. dollar weakened against a number of other major currencies. For example, the U.S. dollar returned -0.15% versus the euro, -0.40% versus the Japanese yen and -8.61% versus the British pound,
respectively.
Thank you for the assets you have placed with us. We
deeply value your trust, and we will continue to work diligently to meet your broad investment needs. For any questions regarding your PIMCO closed-end funds investments, please contact your financial advisor or call the funds’ shareholder
servicing agent at (844) 33-PIMCO. We also invite you to visit our website at www.pimco.com to learn more about our global viewpoints.
Sincerely,
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| Deborah A. DeCotis |
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Eric D. Johnson |
| Chair of the Board of Trustees |
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President |
Past performance is no guarantee
of future results. Unless otherwise noted, index returns reflect the reinvestment of income distributions and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly
in an unmanaged index.
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SEMIANNUAL REPORT |
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JANUARY 31, 2020 |
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Important Information About the Funds
We believe that bond funds have an important role to play in a
well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds,
and fixed-income securities and other instruments held by a Fund are likely to decrease in value. A wide variety of factors can cause interest rates or yield of U.S. Treasury securities (or yields of other types of bonds) to rise (e.g., central bank
monetary policies, inflation rates, general economic conditions). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that Fund management will anticipate such movement accurately. A Fund may lose money
as a result of movement in interest rates.
As of the
date of this report, interest rates in the U.S. and many parts of the world, including certain European countries, are at or near historically low levels. As such, bond funds may currently face a heightened level of risk associated with rising
interest rates and/or bond yields. This could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced
market demand for low yielding investments. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a
significant reduction in the ability of dealers to “make markets.”
Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to
changes in interest rates, usually making them more volatile than securities or funds with shorter durations. In addition, in the current low interest rate environment, the market price of the Funds’ common shares may be particularly sensitive
to changes in interest rates or the perception that there will be a change in interest rates. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or
negatively impact a Fund’s performance or cause a Fund to incur losses.
The use of derivatives may subject the Funds to greater volatility than investments in traditional securities. The Funds may use derivative instruments for hedging purposes or as part of an
investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, call risk, credit risk, leverage risk, management risk and the risk that a Fund may not be able to close out a
position when it would be most advantageous to do so. Changes in regulation relating to a Fund’s use of derivatives and related instruments could potentially limit or impact a Fund’s ability to invest in derivatives, limit a Fund’s
ability to employ certain strategies that use derivatives and/or adversely affect the value or performance of
derivatives and the Fund. Certain derivative transactions may have a leveraging effect on a Fund. For example, a small investment in a derivative instrument may have a significant impact on a
Fund’s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in an asset, instrument or component of the index underlying a derivative instrument may cause an immediate and
substantial loss or gain, which translates into heightened volatility in a Fund’s net asset value (“NAV”). A Fund may engage in such transactions regardless of whether the Fund owns the asset, instrument or components of the index
underlying the derivative instrument. A Fund may invest a significant portion of its assets in these types of instruments. If it does, a Fund’s investment exposure could far exceed the value of its portfolio securities and its investment
performance could be primarily dependent upon securities it does not own.
Certain Funds’ monthly distributions may include, among other possible sources, interest income from its debt portfolio and payments and premiums (characterized as capital for financial
accounting purposes and as ordinary income for tax purposes) generated by certain types of interest rate derivatives.
Strategies involving interest rate derivatives may attempt to capitalize on differences between short-term and long-term interest rates as
part of a Fund’s duration and yield curve active management strategies. For instance, in the event that long-term interest rates are higher than short-term interest rates, the Fund may elect to pay a floating short-term interest rate and to
receive a long-term fixed interest rate for a stipulated period of time, thereby generating payments as a function of the difference between current short-term interest rates and long-term interest rates, so long as the floating short-term interest
rate (which may rise) is lower than the fixed long-term interest rate.
A Fund may also enter into opposite sides of multiple interest rate swaps or other derivatives with respect to the same underlying reference instrument (e.g., a
10-year U.S. treasury) that have different effective dates with respect to interest accrual time periods for the principal purpose of generating distributable gains (characterized as ordinary income for tax
purposes) and that are not part of the Fund’s duration or yield curve management strategies (“paired swap transactions”). In a paired swap transaction, a Fund would generally enter into one or more interest rate swap agreements
whereby the Fund agrees to make regular payments starting at the time the Fund enters into the agreements equal to a floating interest rate in return for payments equal to a fixed interest rate (the “initial leg”). The Fund would also
enter into one or more interest rate swap agreements on the same underlying instrument, but take the opposite position (i.e., in this example, the Fund would make regular payments equal to a fixed interest rate in return for receiving payments equal
to a floating interest
rate) with respect to a contract whereby the payment obligations do not commence until a date following the commencement of the initial leg (the “forward leg”).
A Fund’s income- and gain-generating strategies, including
certain derivatives strategies, may generate current, distributable income, even if such strategies could potentially result in declines in a Fund’s NAV. A Fund’s income and gain-generating strategies, including certain derivatives
strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S.
or non-U.S. equity markets or the Fund’s debt investments, or arising from its use of derivatives. For instance, a significant portion of a Fund’s monthly distributions may be sourced from paired swap transactions utilized to produce
current distributable ordinary income for tax purposes on the initial leg, with a substantial possibility that the Fund will later realize a corresponding capital loss and potential decline in its NAV with respect to the forward leg (to the extent
there are not corresponding offsetting capital gains being generated from other sources). Because some or all of these transactions may generate capital losses without corresponding offsetting capital gains, portions of a Fund’s distributions
recognized as ordinary income for tax purposes (such as from paired swap transactions) may be economically similar to a taxable return of capital when considered together with such capital losses.
The notional exposure of a Fund’s interest rate derivatives
may represent a multiple of the Fund’s total net assets. There can be no assurance a Fund’s strategies involving interest rate derivatives will work as intended and such strategies are subject to the risks related to the use of derivatives
generally, as discussed above (see also Notes 6 and 7 in the Notes to Financial Statements for further discussion on the use of derivative instruments and certain of the risks associated therewith).
A Fund’s use of leverage creates the opportunity for
increased income for the Fund’s common shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Fund to greater risk and increased costs. If shorter-term interest rates rise relative to the rate of
return on a Fund’s portfolio, the interest and other costs of leverage to the Fund could exceed the rate of return on the debt obligations and other investments held by the Fund, thereby reducing return to the Fund’s common shareholders.
In addition, fees and expenses of any form of leverage used by a Fund will be borne entirely by its common shareholders (and not by preferred shareholders, if any) and will reduce the investment return of the Fund’s common shares.
In addition, because the fees received by PIMCO are based on the
average weekly total managed assets (including any assets attributable to any preferred shares or other forms of leverage that may be
outstanding) minus any accrued liabilities (other than liabilities representing leverage) of PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II, and on the average daily net asset value
(including daily net assets attributable to any preferred shares that may be outstanding) of PIMCO Corporate & Income Opportunity Fund, PIMCO Corporate & Income Strategy Fund and PIMCO High Income Fund, PIMCO has a financial incentive for a
Fund to use certain forms of leverage, which may create a conflict of interest between PIMCO, on the one hand, and the common shareholders of a Fund, on the other hand.
There can be no assurance that a Fund’s use of leverage
will result in a higher yield on its common shares, and it may result in losses. Leverage creates several major types of risks for a Fund’s common shareholders, including: (1) the likelihood of greater volatility of NAV and market price of
the Fund’s common shares, and of the investment return to the Fund’s common shareholders, than a comparable portfolio without leverage; (2) the possibility either that the Fund’s common share dividends will fall if the interest
and other costs of leverage rise, or that dividends paid on the Fund’s common shares will fluctuate because such costs vary over time; and (3) the effects of leverage in a declining market or a rising interest rate environment, as leverage
is likely to cause a greater decline in the NAV of the Fund’s common shares than if the Fund were not leveraged and may result in a greater decline in the market value of the Fund’s common shares. Moreover, to make payments of interest and
other loan costs, a Fund may be forced to sell portfolio securities when it is not otherwise advantageous to do so.
A Fund’s investments in and exposure to foreign securities involve special risks. For example, the value of these investments may decline in response to unfavorable political and legal
developments, unreliable or untimely information or economic and financial instability. Foreign securities may experience more rapid and extreme changes in value than investments in securities of U.S. issuers. The securities markets of certain
foreign countries are relatively small, with a limited number of companies representing a small number of industries. Issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers. Reporting, accounting,
auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage, political changes or diplomatic developments could adversely
affect a Fund’s investments in foreign securities. In the event of nationalization, expropriation or other confiscation, a Fund could lose its entire investment in foreign securities. Investing in foreign
(non-U.S.) securities may entail risk due to foreign (non-U.S.) economic and political developments; this risk may be increased when investing in emerging markets. For
example, if a Fund invests in emerging market debt, it may face increased exposure to interest rate, liquidity, volatility, and redemption risk due to the specific economic, political, geographical, or legal background of the foreign (non-U.S.) issuer.
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SEMIANNUAL REPORT |
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JANUARY 31, 2020 |
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Important Information About the Funds
(Cont.)
Classifications of the Funds’ portfolio holdings in this report are made according to
financial reporting standards. The classification of a particular portfolio holding as shown in the Allocation Breakdown and Schedule of Investments sections of this report may differ from the classification used for the Funds’ compliance
calculations, including those used in the Funds’ prospectus, investment objectives, regulatory, and other investment limitations and policies, which may be based on different asset class, sector or geographical classifications. Each Fund is
separately monitored for compliance with respect to prospectus and regulatory requirements.
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.
Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the
spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The global economy, the economies
of certain nations and individual issuers have been and may continue to be adversely affected by COVID-19, particularly in light of the interconnectivity between economies and financial markets, all of which may negatively impact the Funds’
performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds’ service providers and disrupt the Funds’ operations.
The United States presidential administration’s enforcement of tariffs on goods from other countries, with a
focus on China, has contributed to international trade tensions and may impact portfolio securities.
The United Kingdom’s withdrawal from the European Union may impact Fund returns. The withdrawal may cause substantial volatility in foreign exchange markets, lead to weakness in the
exchange rate of the British pound, result in a sustained period of market uncertainty, and destabilize some or all of the other European Union member countries and/or the Eurozone.
The Funds may invest in certain instruments that rely in some fashion upon the London Interbank Offered Rate
(“LIBOR”). LIBOR is an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has
announced plans to phase out the use of LIBOR by the end of 2021. The transition may result in a reduction in the value of certain instruments held by a Fund or a reduction in the
effectiveness of related Fund transactions such as hedges. There remains uncertainty regarding future utilization of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight
Financing Rate, which is intended to replace U.S. dollar LIBOR and measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities), and any potential effects of the transition away
from LIBOR on a Fund or on certain instruments in which a Fund invests are not known and could result in losses to a Fund.
Under the direction of the Federal Housing Finance Agency, the Federal National Mortgage Association (“FNMA” or “Fannie
Mae”) and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”) have entered into a joint initiative to develop a common securitization platform for the issuance of a uniform mortgage-backed security (the
“Single Security Initiative”) that aligns the characteristics of FNMA and FHLMC certificates. The Single Security Initiative was implemented on June 3, 2019 and the effects it may have on the market for mortgage-backed securities are
uncertain.
Investments in loans (including whole
loans) are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and, as applicable, risks associated with
mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities. In the case of a loan participation or assignment, a Fund generally has no right to enforce compliance with the
terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In the event of the insolvency of the lender selling a loan participation, a
Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. A Fund may be subject to heightened or additional risks and potential
liabilities and costs by investing in mezzanine and other subordinated loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and
costs associated with debt servicing and taking foreclosure actions associated with the loans.
Mortgage-related and other asset-backed securities represent interests in “pools” of mortgages or other assets such as consumer loans or receivables held in trust and often involve
risks that are different from or possibly more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to
changes in interest rates. As a result, in a period of rising interest rates, if a Fund holds mortgage-related securities, it may exhibit additional volatility since individual mortgage holders are less likely to exercise
prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Fund to lose money. This is known as extension risk. Mortgage-backed
securities can be highly sensitive to rising interest rates, such that even small movements can cause an investing Fund to lose value. Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit
risk. In addition, adjustable and fixed rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Funds because the
Funds may have to reinvest that money at the lower prevailing interest rates. The Funds’ investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks
associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and
asset-backed securities may not have the benefit of any security interest in the related assets. Additionally, investments in subordinate mortgage-backed and other asset-backed instruments will be subject to
risks arising from delinquencies and foreclosures, thereby exposing a Fund’s investment portfolio to potential losses. Subordinate securities of mortgage-backed and other asset-backed instruments are also subject to greater credit risk than
those mortgage-backed or other asset-backed securities that are more highly rated.
A Fund may also invest in the residual or equity tranches of mortgage-related and other asset-backed instruments, which may be referred to as subordinate mortgage-backed or asset-backed
instruments and interest-only mortgage-backed or asset-backed instruments. Because an investment in the residual or equity tranche of a mortgage-related or other asset-backed instrument will be the first to bear losses incurred by such
instrument, these investments may involve a significantly greater degree of risk than investments in other tranches of a mortgage-related or other asset-backed instrument.
The risk of investing in collateralized loan obligations
(“CLOs”), include prepayment risk, credit risk, liquidity risk, market risk, structural risk, legal risk and interest rate risk. CLOs may carry additional risks, including, but not limited to: (i) the possibility that distributions
from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the investments in CLOs are subordinate to other classes or
tranches thereof; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
High-yield bonds (commonly referred to as “junk
bonds”) typically have a lower credit rating than other bonds. Lower-rated bonds generally
involve a greater risk to principal than higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher-rated bonds, and public information is usually less
abundant in markets for lower-rated bonds. Thus, high yield investments increase the chance that a Fund will lose money. PIMCO does not rely solely on credit ratings, and develops its own analysis of issuer credit quality. A Fund may purchase
unrated securities (which are not rated by a rating agency) if PIMCO determines that the security is of comparable quality to a rated security that a Fund may purchase. Unrated securities may be less liquid than comparable rated securities and
involve the risk that PIMCO may not accurately evaluate the security’s comparative credit quality, which could result in a Fund’s portfolio having a higher level of credit and/or high yield risk than PIMCO has estimated or desires for the
Fund, and could negatively impact the Fund’s performance and/or returns. Certain Funds may invest a substantial portion of their assets in unrated securities and therefore may be particularly subject to the associated risks. To the extent that
a Fund invests in high yield and/or unrated securities, the Fund’s success in achieving its investment objectives may depend more heavily on the portfolio manager’s creditworthiness analysis than if the Fund invested exclusively in
higher-quality and rated securities. The Funds may hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Funds’ ability to trade, and the
availability of prices from independent pricing services or dealer quotations. Defaulted obligations might be repaid only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments.
Defaulted securities are often illiquid and may not be actively traded. Sales of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Funds could be material.
The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.
Contingent convertible securities (“CoCos”) are a form of hybrid debt security issued primarily by
non-U.S. issuers, which have loss absorption mechanisms built into their terms. CoCos have no stated maturity, have fully discretionary coupons and are typically issued in the form of subordinated debt
instruments. CoCos generally either convert into equity of the issuer or have their principal written down upon the occurrence of certain triggering events (“triggers”) linked to regulatory capital thresholds or regulatory actions relating
to the issuer’s continued viability. As a result, an investment by a Fund in CoCos is subject to the risk that interest payments will be cancelled by the issuer or a regulatory authority, the risk of ranking junior to other creditors in the
event of a liquidation or other bankruptcy-related event as a result of holding subordinated debt, the risk of the Fund’s investment becoming further subordinated as a result of conversion from debt to
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Important Information About the Funds
(Cont.)
equity, the risk that the principal amount due can be written down to a lesser amount, and the general risks applicable to fixed income investments, including interest rate risk, credit risk,
market risk and liquidity risk, any of which could result in losses to the Fund. CoCos may experience a loss absorption mechanism trigger event, which would likely be the result of, or related to, the deterioration of the issuer’s financial
condition (e.g., a decrease in the issuer’s capital ratio) and status as a going concern. In such a case, with respect to CoCos that provide for conversion into common stock upon the occurrence of the trigger event, the market price of the
issuer’s common stock received by the Fund will have likely declined, perhaps substantially, and may continue to decline, which may adversely affect the Fund’s NAV. In certain scenarios, investors in CoCos may suffer a loss of capital
ahead of equity holders or when equity holders do not. There is no guarantee that a Fund will receive a return of principal on CoCos. Any indication that an automatic write-down or conversion event may occur can be expected to have an adverse effect
on the market price of CoCos. CoCos are often rated below investment grade and are subject to the risks of high yield securities. Because CoCos are issued primarily by financial institutions, CoCos may present substantially increased risks at times
of financial turmoil, which could affect financial institutions more than companies in other sectors and industries. Further, the value of an investment in CoCos is unpredictable and will be influenced by many factors and risks, including interest
rate risk, credit risk, market risk and liquidity risk. An investment by a Fund in CoCos may result in losses to the Fund.
Variable and floating rate securities generally are less sensitive to interest rate changes but may decline in value if their interest rates
do not rise as much, or as quickly, as interest rates in general. Conversely, floating rate securities will not generally increase in value if interest rates decline. Inverse floating rate securities may decrease in value if interest rates increase.
Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When a Fund holds variable or floating rate securities, a decrease (or, in the case of inverse floating rate
securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Funds’ shares.
As the use of technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to
operational and information security risks resulting from breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause a Fund to lose proprietary information,
suffer data corruption and/or destruction or lose operational capacity, result in the unauthorized release or other misuse of confidential information, or otherwise disrupt normal business operations.
Cyber security failures or breaches may result in financial losses to a Fund and its
shareholders. These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with a Fund’s ability to calculate its NAV, process shareholder transactions or otherwise
transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; additional compliance and cyber security risk
management costs and other adverse consequences. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future.
There is also a risk that cyber security breaches may not be detected. The Funds and their shareholders could be negatively impacted as a
result.
The Funds may invest in securities and
instruments that are economically tied to Russia. Investments in Russia are subject to various risks such as political, economic, legal, market and currency risks. The risks include uncertain political and economic policies, short-term market
volatility, poor accounting standards, corruption and crime, an inadequate regulatory system, and unpredictable taxation. Investments in Russia are particularly subject to the risk that economic sanctions may be imposed by the United States and/or
other countries. Such sanctions — which may impact companies in many sectors, including energy, financial services and defense, among others — may negatively impact the Funds’ performance and/or ability to achieve their investment
objectives. The Russian securities market is characterized by limited volume of trading, resulting in difficulty in obtaining accurate prices. The Russian securities market, as compared to U.S. markets, has significant price volatility, less
liquidity, a smaller market capitalization and a smaller number of traded securities.
The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund’s common shares will fluctuate with market conditions and other factors. If
you sell your common shares of a Fund, the price received may be more or less than your original investment. Shares of closed-end management investment companies, such as the Funds, frequently trade at a
discount from their NAV and may trade at a price that is less than the initial offering price and/or the NAV of such shares. Further, if a Fund’s shares trade at a price that is more than the initial offering price and/or the NAV of such
shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that the shares will not trade at a discount to NAV
thereafter.
The Funds may be subject to various
risks, including, but not limited to, the following: asset allocation risk, credit risk, stressed securities risk, distressed and defaulted securities risk, corporate bond risk, contingent
convertible securities risk, high yield risk, market risk, issuer risk, liquidity risk, equity securities and related market risk, mortgage-related and other asset-backed securities risk,
extension risk, prepayment risk, privately issued mortgage-related securities risk, mortgage market/ subprime risk, foreign (non-U.S.) investment risk, emerging markets risk, currency risk, redenomination
risk, non-diversification risk, management risk, municipal bond risk, inflation-indexed security risk, senior debt risk, loans, participations and assignments risk, reinvestment risk, real estate risk, U.S.
Government securities risk, foreign (non-U.S.) government securities risk, valuation risk, segregation and cover risk, focused investment risk, credit default swaps risk, event-linked securities risk,
counterparty risk, preferred securities risk, confidential information access risk, other investment companies risk, private placements risk, inflation/deflation risk, regulatory risk, regulatory risk — LIBOR, tax risk, recent economic
conditions risk, market disruptions and geopolitical risk, potential conflicts of interest involving allocation of investment opportunities, repurchase agreements risk, securities lending risk, zero-coupon
bond and payment-in-kind securities risk, portfolio turnover risk, smaller company risk, short sale risk, convertible securities risk, market discount risk, interest
rate risk, leverage risk, call risk, derivatives risk, synthetic convertible securities risk, operational risk, cyber security risk, structured investments risk, collateralized loan obligations risk, and Rule 144A securities risk. A description of
certain of these risks is available in the Notes to Financial Statements of this Report.
On each Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance assuming that all dividend and capital gain distributions were reinvested.
Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total return for a
period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to reflect investment results over time, during shorter periods returns at
market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends. Performance shown is net of fees and expenses. Historical
NAV performance for a Fund may have been positively impacted by fee waivers or expense limitations in place during some or all of the periods shown, if applicable. Future performance (including total return or yield) and distributions may be
negatively impacted by the expiration or reduction of any such fee waivers or expense limitations.
The following table discloses the commencement of operations and diversification status of
each Fund:
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| Fund Name |
|
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|
|
Commencement
of Operations |
|
|
Diversification
Status |
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
|
12/27/02 |
|
|
|
Diversified |
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
12/21/01 |
|
|
|
Diversified |
|
| PIMCO High Income Fund |
|
|
|
|
|
|
04/30/03 |
|
|
|
Diversified |
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
08/29/03 |
|
|
|
Diversified |
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
10/29/04 |
|
|
|
Diversified |
|
An investment in a Fund is not a
deposit of a bank and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Funds.
The Trustees are responsible generally for overseeing the management of the Funds. The Trustees authorize the
Funds to enter into service agreements with the Investment Manager and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the
Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s original or any subsequent prospectus or Statement of Additional Information (“SAI”), any press release or shareholder
report, any contracts filed as exhibits to a Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings from or on behalf of a Fund creates a contract between or among any shareholders of a Fund, on
the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand.
The Trustees (or the Funds and their officers, service providers or other delegates acting under authority of the Trustees) may amend its
most recent or use a new prospectus or SAI with respect to a Fund, adopt and disclose new or amended policies and other changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents
or regulatory filings, and may amend or enter into any contracts to which a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval,
except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in a Fund’s prospectus, SAI or
shareholder report and is otherwise still in effect.
PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule
206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when voting proxies on behalf of the
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|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
9 |
Important Information About the Funds
(Cont.)
Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to
portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Funds at (844) 33-PIMCO, on the Funds’ website at
www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
The Funds file portfolio holdings information with the SEC on Form N-PORT within 60 days of the end of each fiscal quarter. The Funds’
complete schedules of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website at www.sec.gov and on PIMCO’s website at www.pimco.com, and will be made available, upon request, by
calling PIMCO at (844) 33-PIMCO.
The SEC has adopted
a rule that, beginning in 2021, generally will allow shareholder reports to be delivered to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Pursuant to the
rule, investors may still elect to receive a complete shareholder report in the mail. Instructions for electing to receive paper copies of a Fund’s shareholder reports going forward may be found on the front cover of this report.
The SEC has issued a proposed rule relating to a registered
investment company’s use of derivatives and related instruments that, if adopted, could potentially require funds to reduce their use of leverage and/or observe more stringent asset coverage and related requirements than are currently imposed
by the Investment Company Act of 1940, as amended, and the rules and regulations thereunder.
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| 10 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
|
|
PIMCO Corporate & Income Opportunity Fund
Allocation Breakdown as of January 31, 2020†§
|
|
|
|
|
| Corporate Bonds & Notes |
|
|
38.9% |
|
|
|
| Loan Participations and Assignments |
|
|
15.6% |
|
|
|
| Asset-Backed Securities |
|
|
12.9% |
|
|
|
| Non-Agency Mortgage-Backed Securities |
|
|
11.0% |
|
|
|
| Preferred Securities |
|
|
4.9% |
|
|
|
| Sovereign Issues |
|
|
4.3% |
|
|
|
| Short-Term Instruments |
|
|
4.0% |
|
|
|
| Municipal Bonds & Notes |
|
|
2.9% |
|
|
|
| U.S. Government Agencies |
|
|
2.5% |
|
|
|
| Real Estate Investment Trusts |
|
|
1.2% |
|
|
|
| Other |
|
|
1.8% |
|
| |
† |
% of Investments, at value. |
| |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.
|
Fund Information as of January 31, 2020(1)
|
|
|
|
|
| Market Price |
|
|
$19.57 |
|
|
|
| NAV |
|
|
$14.80 |
|
|
|
| Premium/(Discount) to NAV |
|
|
32.23% |
|
|
|
| Market Price Distribution Rate(2) |
|
|
7.97% |
|
|
|
| NAV Distribution Rate(2) |
|
|
10.54% |
|
|
|
| Total Effective
Leverage(3) |
|
|
32.32% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
| Average Annual Total Return(1) for the period ended January 31, 2020 |
|
|
|
|
|
|
|
| |
|
6 Month* |
|
|
1 Year |
|
|
5 Year |
|
|
10 Year |
|
|
Commencement
of Operations
(12/27/02) |
|
| Market Price |
|
|
10.13% |
|
|
|
31.21% |
|
|
|
14.65% |
|
|
|
16.27% |
|
|
|
14.71% |
|
| NAV |
|
|
6.83% |
|
|
|
16.00% |
|
|
|
13.45% |
|
|
|
14.99% |
|
|
|
14.16% |
|
All Fund returns are net of
fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will
continue in the future.
* Cumulative return
| (1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale
of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund
materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and
distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| (2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or
market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may
include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting
practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the
estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.
|
| (3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
|
Investment Objective and Strategy Overview
PIMCO Corporate & Income Opportunity Fund’s investment objective is to seek maximum total return through a combination of current income and capital appreciation.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting
period:
| » |
|
Issuance of additional shares through at-the-market offerings at a premium to net asset value contributed to absolute performance.
|
| » |
|
Exposure to corporate credit contributed to absolute performance as investment grade and high yield corporate bonds posted positive returns during the
reporting period. |
| » |
|
Exposure to bank capital contributed to absolute performance as the asset class posted positive returns during the reporting period.
|
| » |
|
Interest rate hedges on the long end of the U.S. yield curve detracted from absolute performance as U.S. interest rates decreased during the reporting
period. |
| » |
|
Exposure to Argentinian debt detracted from absolute performance as Argentinian debt posted negative returns during the reporting period.
|
| » |
|
Currency hedges on the British pound detracted from absolute performance as the British pound strengthened versus the U.S. dollar during the reporting
period. |
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
11 |
PIMCO Corporate & Income Strategy Fund
Allocation Breakdown as of January 31, 2020†§
|
|
|
|
|
| Corporate Bonds & Notes |
|
|
39.0% |
|
|
|
| Asset-Backed Securities |
|
|
13.8% |
|
|
|
| Non-Agency Mortgage-Backed Securities |
|
|
12.9% |
|
|
|
| Loan Participations and Assignments |
|
|
11.0% |
|
|
|
| Sovereign Issues |
|
|
4.7% |
|
|
|
| Preferred Securities |
|
|
4.1% |
|
|
|
| Short-Term Instruments |
|
|
3.9% |
|
|
|
| Municipal Bonds & Notes |
|
|
3.5% |
|
|
|
| U.S. Government Agencies |
|
|
3.2% |
|
|
|
| Real Estate Investment Trusts |
|
|
1.4% |
|
|
|
| Common Stocks |
|
|
1.2% |
|
|
|
| Other |
|
|
1.3% |
|
| |
† |
% of Investments, at value. |
| |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.
|
Fund Information as of January 31, 2020(1)
|
|
|
|
|
| Market Price |
|
|
$19.80 |
|
|
|
| NAV |
|
|
$14.89 |
|
|
|
| Premium/(Discount) to NAV |
|
|
32.98% |
|
|
|
| Market Price Distribution Rate(2) |
|
|
6.82% |
|
|
|
| NAV Distribution Rate(2) |
|
|
9.07% |
|
|
|
| Total Effective
Leverage(3) |
|
|
27.76% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Annual Total Return(1) for the period ended January 31, 2020 |
|
|
|
|
|
|
|
| |
|
6 Month* |
|
|
1 Year |
|
|
5 Year |
|
|
10 Year |
|
|
Commencement
of Operations
(12/21/01) |
|
| Market Price |
|
|
14.09% |
|
|
|
37.35% |
|
|
|
15.62% |
|
|
|
14.45% |
|
|
|
12.83% |
|
| NAV |
|
|
4.80% |
|
|
|
14.70% |
|
|
|
10.87% |
|
|
|
13.00% |
|
|
|
11.94% |
|
All Fund returns are net of
fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will
continue in the future.
* Cumulative return
| (1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale
of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund
materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and
distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| (2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or
market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may
include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting
practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the
estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.
|
| (3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
|
Investment Objective and Strategy
Overview
PIMCO Corporate & Income Strategy Fund’s primary
investment objective is to seek high current income, with a secondary objective of capital preservation and appreciation.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
| » |
|
Exposure to corporate credit contributed to absolute performance as investment grade and high yield corporate bonds posted positive returns during the
reporting period. |
| » |
|
Exposure to bank capital contributed to absolute performance as the asset class posted positive returns during the reporting period.
|
| » |
|
Exposure to U.S. non-agency residential mortgage backed securities contributed to absolute performance as the asset class posted positive returns during
the reporting period. |
| » |
|
Interest rate hedges on the long end of the U.S. yield curve detracted from absolute performance as U.S. interest rates decreased during the reporting
period. |
| » |
|
Exposure to Argentinian debt detracted from absolute performance as Argentinian debt posted negative returns during the reporting period.
|
| » |
|
Currency hedges on the British pound detracted from absolute performance as the British pound strengthened versus the U.S. dollar during the reporting
period. |
|
|
|
|
|
|
|
|
|
| 12 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
|
|
PIMCO High Income Fund
Symbol on NYSE -
PHK
Allocation Breakdown as of January 31, 2020†§
|
|
|
|
|
| Corporate Bonds & Notes |
|
|
41.1% |
|
|
|
| Non-Agency Mortgage-Backed Securities |
|
|
12.2% |
|
|
|
| Loan Participations and Assignments |
|
|
9.8% |
|
|
|
| Asset-Backed Securities |
|
|
9.4% |
|
|
|
| Preferred Securities |
|
|
8.5% |
|
|
|
| Municipal Bonds & Notes |
|
|
6.4% |
|
|
|
| Sovereign Issues |
|
|
2.8% |
|
|
|
| Short-Term Instruments |
|
|
2.7% |
|
|
|
| U.S. Government Agencies |
|
|
2.4% |
|
|
|
| Real Estate Investment Trusts |
|
|
2.3% |
|
|
|
| Common Stocks |
|
|
1.1% |
|
|
|
| Other |
|
|
1.3% |
|
| |
† |
% of Investments, at value. |
| |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.
|
Fund Information as of January 31, 2020(1)
|
|
|
|
|
| Market Price |
|
|
$7.59 |
|
|
|
| NAV |
|
|
$6.28 |
|
|
|
| Premium/(Discount) to NAV |
|
|
20.86% |
|
|
|
| Market Price Distribution Rate(2) |
|
|
9.70% |
|
|
|
| NAV Distribution Rate(2) |
|
|
11.72% |
|
|
|
| Total Effective
Leverage(3) |
|
|
29.98% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Annual Total Return(1) for the period ended January 31, 2020 |
|
|
|
|
|
|
|
| |
|
6 Month* |
|
|
1 Year |
|
|
5 Year |
|
|
10 Year |
|
|
Commencement
of Operations
(04/30/03) |
|
| Market Price |
|
|
(0.60)% |
|
|
|
(1.85)% |
|
|
|
3.27% |
|
|
|
8.93% |
|
|
|
9.51% |
|
| NAV |
|
|
4.46% |
|
|
|
16.31% |
|
|
|
13.34% |
|
|
|
15.19% |
|
|
|
11.89% |
|
All Fund returns are net of
fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will
continue in the future.
* Cumulative return
| (1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale
of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund
materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and
distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| (2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or
market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may
include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting
practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the
estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.
|
| (3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
|
Investment Objective and Strategy
Overview
PIMCO High Income Fund’s primary investment objective
is to seek high current income, with capital appreciation as a secondary objective.
Fund Insights at NAV
The
following affected performance (on a gross basis) during the reporting period:
| » |
|
Exposure to corporate credit contributed to absolute performance as investment grade and high yield corporate bonds posted positive returns during the
reporting period. |
| » |
|
Exposure to bank capital contributed to absolute performance as the asset class posted positive returns during the reporting period.
|
| » |
|
Exposure to emerging market debt ex-Argentina contributed to absolute performance as external and local debt posted positive returns during the reporting
period. |
| » |
|
Interest rate hedges on the long end of the U.S. yield curve detracted from absolute performance as U.S. interest rates decreased during the reporting
period. |
| » |
|
Exposure to Argentinian debt detracted from absolute performance as Argentinian debt posted negative returns during the reporting period.
|
| » |
|
Currency hedges on the British pound detracted from absolute performance as the British pound strengthened versus the U.S. dollar during the reporting
period. |
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
13 |
PIMCO Income Strategy Fund
Symbol on NYSE -
PFL
Allocation Breakdown as of January 31, 2020†§
|
|
|
|
|
| Corporate Bonds & Notes |
|
|
44.2% |
|
|
|
| Asset-Backed Securities |
|
|
14.6% |
|
|
|
| Loan Participations and Assignments |
|
|
12.1% |
|
|
|
| Non-Agency Mortgage-Backed Securities |
|
|
7.2% |
|
|
|
| Sovereign Issues |
|
|
4.1% |
|
|
|
| Municipal Bonds & Notes |
|
|
3.9% |
|
|
|
| Preferred Securities |
|
|
3.9% |
|
|
|
| Short-Term Instruments |
|
|
3.6% |
|
|
|
| U.S. Government Agencies |
|
|
2.8% |
|
|
|
| Real Estate Investment Trusts |
|
|
1.3% |
|
|
|
| Common Stocks |
|
|
1.1% |
|
|
|
| Other |
|
|
1.2% |
|
| |
† |
% of Investments, at value. |
| |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.
|
Fund Information as of January 31, 2020(1)
|
|
|
|
|
| Market Price |
|
|
$12.05 |
|
|
|
| NAV |
|
|
$10.97 |
|
|
|
| Premium/(Discount) to NAV |
|
|
9.85% |
|
|
|
| Market Price Distribution Rate(2) |
|
|
8.96% |
|
|
|
| NAV Distribution Rate(2) |
|
|
9.85% |
|
|
|
| Total Effective
Leverage(3) |
|
|
22.63% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Annual Total Return(1) for the period ended January 31, 2020 |
|
|
|
|
|
|
|
| |
|
6 Month* |
|
|
1 Year |
|
|
5 Year |
|
|
10 Year |
|
|
Commencement
of Operations
(08/29/03) |
|
| Market Price |
|
|
5.51% |
|
|
|
16.68% |
|
|
|
10.96% |
|
|
|
10.61% |
|
|
|
7.52% |
|
| NAV |
|
|
4.88% |
|
|
|
13.88% |
|
|
|
9.78% |
|
|
|
11.28% |
|
|
|
7.32% |
|
All Fund returns are net of
fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will
continue in the future.
* Cumulative return
| (1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale
of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund
materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and
distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| (2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or
market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may
include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting
practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the
estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.
|
| (3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
|
Investment Objective and Strategy
Overview
PIMCO Income Strategy Fund’s investment objective is
to seek high current income, consistent with the preservation of capital.
Fund Insights at NAV
The
following affected performance (on a gross basis) during the reporting period:
| » |
|
Exposure to bank capital contributed to absolute performance as the asset class posted positive returns during the reporting period.
|
| » |
|
Exposure to corporate credit contributed to absolute performance as investment grade and high yield corporate bonds posted positive returns during the
reporting period. |
| » |
|
Exposure to emerging market debt ex-Argentina contributed to absolute performance as external and local debt
posted positive returns during the reporting period. |
| » |
|
Interest rate hedges on the long end of the U.S. yield curve detracted from absolute performance as U.S. interest rates decreased during the reporting
period. |
| » |
|
Exposure to Argentinian debt detracted from absolute performance as Argentinian debt posted negative returns during the reporting period.
|
| » |
|
Currency hedges on the British pound detracted from absolute performance as the British pound strengthened versus the U.S. dollar during the reporting
period. |
|
|
|
|
|
|
|
|
|
| 14 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
|
|
PIMCO Income Strategy Fund II
Symbol on NYSE -
PFN
Allocation Breakdown as of January 31, 2020†§
|
|
|
|
|
| Corporate Bonds & Notes |
|
|
43.2% |
|
|
|
| Asset-Backed Securities |
|
|
12.1% |
|
|
|
| Non-Agency Mortgage-Backed Securities |
|
|
11.7% |
|
|
|
| Loan Participations and Assignments |
|
|
11.3% |
|
|
|
| Municipal Bonds & Notes |
|
|
4.2% |
|
|
|
| Sovereign Issues |
|
|
4.2% |
|
|
|
| Preferred Securities |
|
|
4.1% |
|
|
|
| Short-Term Instruments |
|
|
3.1% |
|
|
|
| U.S. Government Agencies |
|
|
2.4% |
|
|
|
| Real Estate Investment Trusts |
|
|
1.3% |
|
|
|
| Common Stocks |
|
|
1.1% |
|
|
|
| Other |
|
|
1.3% |
|
| |
† |
% of Investments, at value. |
| |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.
|
Fund Information as of January 31, 2020(1)
|
|
|
|
|
| Market Price |
|
|
$10.73 |
|
|
|
| NAV |
|
|
$9.85 |
|
|
|
| Premium/(Discount) to NAV |
|
|
8.93% |
|
|
|
| Market Price Distribution Rate(2) |
|
|
8.95% |
|
|
|
| NAV Distribution Rate(2) |
|
|
9.75% |
|
|
|
| Total Effective
Leverage(3) |
|
|
22.70% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Annual Total Return(1) for the period ended January 31, 2020 |
|
|
|
|
|
|
|
| |
|
6 Month* |
|
|
1 Year |
|
|
5 Year |
|
|
10 Year |
|
|
Commencement
of Operations
(10/29/04) |
|
| Market Price |
|
|
5.20% |
|
|
|
17.18% |
|
|
|
11.63% |
|
|
|
11.59% |
|
|
|
6.81% |
|
| NAV |
|
|
4.46% |
|
|
|
13.41% |
|
|
|
10.02% |
|
|
|
11.51% |
|
|
|
6.54% |
|
All Fund returns are net of
fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will
continue in the future.
* Cumulative return
| (1) |
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current
performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale
of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund
materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and
distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| (2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or
market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may
include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting
practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the
estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.
|
| (3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred
shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in
other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of
total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).
|
Investment Objective and Strategy
Overview
PIMCO Income Strategy Fund II’s investment objective
is to seek high current income, consistent with the preservation of capital.
Fund Insights at NAV
The
following affected performance (on a gross basis) during the reporting period:
| » |
|
Exposure to corporate credit contributed to absolute performance as investment grade and high yield corporate bonds posted positive returns during the
reporting period. |
| » |
|
Exposure to bank capital contributed to absolute performance as the asset class posted positive returns during the reporting period.
|
| » |
|
Exposure to U.S. non-agency residential mortgage backed securities contributed to absolute performance as the asset class posted positive returns during
the reporting period. |
| » |
|
Interest rate hedges on the long end of the U.S. yield curve detracted from absolute performance as U.S. interest rates decreased during the reporting
period. |
| » |
|
Exposure to Argentinian debt detracted from absolute performance as Argentinian debt posted negative returns during the reporting period.
|
| » |
|
Currency hedges on the British pound detracted from absolute performance as the British pound strengthened versus the U.S. dollar during the reporting
period. |
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
15 |
Financial Highlights
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Investment Operations |
|
|
Less Distributions to ARPS(c) |
|
|
|
|
|
Less Distributions to Common Shareholders(d) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Selected Per Share Data for the Year or Period Ended^: |
|
Net Asset
Value
Beginning
of Year
or Period(a) |
|
|
Net
Investment
Income
(Loss)(b)
|
|
|
Net
Realized/
Unrealized
Gain (Loss) |
|
|
From Net
Investment
Income |
|
|
From Net
Realized
Capital Gains |
|
|
Net Increase
(Decrease)
in Net Assets
Applicable
to
Common
Shareholders
Resulting
from
Operations |
|
|
From Net
Investment
Income |
|
|
From Net
Realized
Capital
Gains |
|
|
Tax Basis
Return of
Capital |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 08/01/2019 - 01/31/2020+ |
|
$ |
14.66 |
|
|
$ |
0.72 |
|
|
$ |
(0.03 |
) |
|
$ |
(0.04 |
) |
|
$ |
0.00 |
|
|
$ |
0.65 |
|
|
$ |
(0.81 |
) |
|
$ |
0.00 |
|
|
$ |
0.00 |
|
|
$ |
(0.81 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2019 |
|
|
14.80 |
(n) |
|
|
1.36 |
|
|
|
0.09 |
|
|
|
(0.13 |
) |
|
|
0.00 |
|
|
|
1.32 |
|
|
|
(1.63 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.63 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2018 |
|
|
14.87 |
|
|
|
1.30 |
|
|
|
0.16 |
|
|
|
(0.09 |
) |
|
|
0.00 |
|
|
|
1.37 |
|
|
|
(1.56 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.56 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2017 |
|
|
13.27 |
|
|
|
1.21 |
|
|
|
2.06 |
|
|
|
(0.04 |
) |
|
|
0.00 |
|
|
|
3.23 |
|
|
|
(1.59 |
) |
|
|
0.00 |
|
|
|
(0.14 |
) |
|
|
(1.73 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2016 |
|
|
14.23 |
|
|
|
1.30 |
|
|
|
(0.65 |
) |
|
|
(0.02 |
) |
|
|
0.00 |
|
|
|
0.63 |
|
|
|
(1.59 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.59 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 12/01/2014 -
07/31/2015(h) |
|
|
15.41 |
|
|
|
0.68 |
|
|
|
(0.33 |
) |
|
|
(0.00 |
) |
|
|
0.00 |
|
|
|
0.35 |
|
|
|
(1.69 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.69 |
)(i) |
|
|
|
|
|
|
|
|
|
|
|
| 11/30/2014 |
|
|
16.62 |
|
|
|
1.14 |
|
|
|
1.06 |
|
|
|
0.00 |
|
|
|
(0.01 |
) |
|
|
2.19 |
|
|
|
(1.56 |
) |
|
|
(1.84 |
) |
|
|
0.00 |
|
|
|
(3.40 |
) |
|
|
|
|
|
|
|
|
|
|
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 08/01/2019 - 01/31/2020+ |
|
$ |
14.94 |
|
|
$ |
0.69 |
|
|
$ |
0.01 |
|
|
$ |
(0.01 |
) |
|
$ |
0.00 |
|
|
$ |
0.69 |
|
|
$ |
(0.74 |
) |
|
$ |
0.00 |
|
|
$ |
0.00 |
|
|
$ |
(0.74 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2019 |
|
|
14.90 |
(n) |
|
|
1.22 |
|
|
|
0.20 |
|
|
|
(0.05 |
) |
|
|
0.00 |
|
|
|
1.37 |
|
|
|
(1.43 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.43 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2018 |
|
|
15.32 |
|
|
|
1.20 |
|
|
|
(0.24 |
) |
|
|
(0.03 |
) |
|
|
0.00 |
|
|
|
0.93 |
|
|
|
(1.35 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.35 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2017 |
|
|
14.28 |
|
|
|
1.12 |
|
|
|
1.70 |
|
|
|
(0.01 |
) |
|
|
0.00 |
|
|
|
2.81 |
|
|
|
(1.75 |
) |
|
|
0.00 |
|
|
|
(0.02 |
) |
|
|
(1.77 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2016 |
|
|
14.75 |
|
|
|
1.24 |
|
|
|
(0.84 |
)(j) |
|
|
(0.01 |
) |
|
|
0.00 |
|
|
|
0.39 |
(k) |
|
|
(1.37 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.37 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 11/01/2014 -
07/31/2015(l) |
|
|
15.60 |
|
|
|
0.73 |
|
|
|
(0.21 |
) |
|
|
(0.00 |
) |
|
|
0.00 |
|
|
|
0.52 |
|
|
|
(1.37 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.37 |
)(i) |
|
|
|
|
|
|
|
|
|
|
|
| 10/31/2014 |
|
|
16.04 |
|
|
|
0.99 |
|
|
|
0.87 |
|
|
|
(0.00 |
) |
|
|
(0.00 |
) |
|
|
1.86 |
|
|
|
(1.35 |
) |
|
|
(0.95 |
) |
|
|
0.00 |
|
|
|
(2.30 |
) |
|
|
|
|
|
|
|
|
|
|
|
| PIMCO High Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 08/01/2019 - 01/31/2020+ |
|
$ |
6.38 |
|
|
$ |
0.36 |
|
|
$ |
(0.08 |
) |
|
$ |
(0.01 |
) |
|
$ |
0.00 |
|
|
$ |
0.27 |
|
|
$ |
(0.37 |
) |
|
$ |
0.00 |
|
|
$ |
0.00 |
|
|
$ |
(0.37 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2019 |
|
|
6.54 |
(n) |
|
|
0.61 |
|
|
|
0.11 |
|
|
|
(0.03 |
) |
|
|
0.00 |
|
|
|
0.69 |
|
|
|
(0.73 |
) |
|
|
0.00 |
|
|
|
(0.16 |
) |
|
|
(0.89 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2018 |
|
|
6.90 |
|
|
|
0.62 |
|
|
|
0.01 |
|
|
|
(0.02 |
) |
|
|
0.00 |
|
|
|
0.61 |
|
|
|
(0.84 |
) |
|
|
0.00 |
|
|
|
(0.13 |
) |
|
|
(0.97 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2017 |
|
|
6.63 |
|
|
|
0.67 |
|
|
|
0.71 |
|
|
|
(0.01 |
) |
|
|
0.00 |
|
|
|
1.37 |
|
|
|
(0.91 |
) |
|
|
0.00 |
|
|
|
(0.19 |
) |
|
|
(1.10 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2016 |
|
|
7.37 |
|
|
|
0.74 |
|
|
|
(0.48 |
)(j) |
|
|
(0.00 |
) |
|
|
0.00 |
|
|
|
0.26 |
(k) |
|
|
(1.18 |
) |
|
|
0.00 |
|
|
|
(0.08 |
) |
|
|
(1.26 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 04/01/2015 -
07/31/2015(m) |
|
|
7.59 |
|
|
|
0.21 |
|
|
|
0.06 |
|
|
|
(0.00 |
) |
|
|
0.00 |
|
|
|
0.27 |
|
|
|
(0.33 |
) |
|
|
0.00 |
|
|
|
(0.16 |
) |
|
|
(0.49 |
)(i) |
|
|
|
|
|
|
|
|
|
|
|
| 03/31/2015 |
|
|
8.23 |
|
|
|
0.94 |
|
|
|
(0.12 |
) |
|
|
(0.00 |
) |
|
|
0.00 |
|
|
|
0.82 |
|
|
|
(1.46 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.46 |
) |
|
|
|
|
|
|
|
|
|
|
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 08/01/2019 - 01/31/2020+ |
|
$ |
11.00 |
|
|
$ |
0.52 |
|
|
$ |
(0.05 |
) |
|
$ |
(0.02 |
) |
|
$ |
0.00 |
|
|
$ |
0.45 |
|
|
$ |
(0.54 |
) |
|
$ |
0.00 |
|
|
$ |
0.00 |
|
|
$ |
(0.54 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2019 |
|
|
11.14 |
(n) |
|
|
0.90 |
|
|
|
0.02 |
|
|
|
(0.07 |
) |
|
|
0.00 |
|
|
|
0.85 |
|
|
|
(0.99 |
) |
|
|
0.00 |
|
|
|
(0.09 |
) |
|
|
(1.08 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2018 |
|
|
11.60 |
|
|
|
0.87 |
|
|
|
(0.19 |
) |
|
|
(0.06 |
) |
|
|
0.00 |
|
|
|
0.62 |
|
|
|
(1.07 |
) |
|
|
0.00 |
|
|
|
(0.01 |
) |
|
|
(1.08 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2017 |
|
|
10.53 |
|
|
|
0.88 |
|
|
|
1.31 |
|
|
|
(0.04 |
) |
|
|
0.00 |
|
|
|
2.15 |
|
|
|
(1.08 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.08 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2016 |
|
|
11.46 |
|
|
|
0.88 |
|
|
|
(0.70 |
) |
|
|
(0.03 |
) |
|
|
0.00 |
|
|
|
0.15 |
|
|
|
(1.08 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.08 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2015 |
|
|
12.15 |
|
|
|
0.79 |
|
|
|
(0.34 |
) |
|
|
(0.03 |
) |
|
|
0.00 |
|
|
|
0.42 |
|
|
|
(1.22 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.22 |
) |
|
|
|
|
|
|
|
|
|
|
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 08/01/2019 - 01/31/2020+ |
|
$ |
9.91 |
|
|
$ |
0.45 |
|
|
$ |
(0.06 |
) |
|
$ |
(0.02 |
) |
|
$ |
0.00 |
|
|
$ |
0.37 |
|
|
$ |
(0.48 |
) |
|
$ |
0.00 |
|
|
$ |
0.00 |
|
|
$ |
(0.48 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2019 |
|
|
10.07 |
(n) |
|
|
0.83 |
|
|
|
0.04 |
|
|
|
(0.05 |
) |
|
|
0.00 |
|
|
|
0.82 |
|
|
|
(1.03 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.03 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2018 |
|
|
10.33 |
|
|
|
0.79 |
|
|
|
(0.05 |
) |
|
|
(0.04 |
) |
|
|
0.00 |
|
|
|
0.70 |
|
|
|
(0.96 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(0.96 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2017 |
|
|
9.42 |
|
|
|
0.80 |
|
|
|
1.10 |
|
|
|
(0.03 |
) |
|
|
0.00 |
|
|
|
1.87 |
|
|
|
(0.96 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(0.96 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2016 |
|
|
10.27 |
|
|
|
0.87 |
|
|
|
(0.67 |
) |
|
|
(0.02 |
) |
|
|
0.00 |
|
|
|
0.18 |
|
|
|
(1.03 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.03 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 07/31/2015 |
|
|
10.88 |
|
|
|
0.70 |
|
|
|
(0.29 |
) |
|
|
(0.03 |
) |
|
|
0.00 |
|
|
|
0.38 |
|
|
|
(1.11 |
) |
|
|
0.00 |
|
|
|
0.00 |
|
|
|
(1.11 |
) |
| ^ |
A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%. |
| (a) |
Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds.
|
| (b) |
Per share amounts based on average number of common shares outstanding during the year or period. |
| (c) |
Auction Rate Preferred Shareholders (“ARPS”). See Note 14, Auction Rate Preferred Shares, in the Notes to Financial Statements
for more information. |
| (d) |
The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization
of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information. |
| (e) |
Total investment return is calculated assuming a purchase of a common share at the market price on the first day and a sale of a common
share at the market price on the last day of each year or period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds’ dividend reinvestment plan.
Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
| (f) |
Calculated on the basis of income and expenses applicable to both common and preferred shares relative to the average net assets of common
shareholders. The expense ratio and net investment income do not reflect the effects of dividend payments to preferred shareholders. |
| (g) |
Ratio includes interest expense which primarily relates to participation in borrowing and financing transactions. See Note 5, Borrowings
and Other Financing Transactions, in the Notes to Financial Statements for more information. |
| (h) |
Fiscal year end changed from November 30th to July 31st. |
| (i) |
Total distributions for the period ended July 31, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting
in a reduction of the amount of days in the period ended July 31, 2015. |
| (j) |
The amount previously reported in the Funds’ 2016 Annual Report has been revised due to a misstatement. The misstatement was not
considered material to the prior period Annual Report. In the Funds’ 2016 Annual Report, PIMCO Corporate & Income Strategy Fund and PIMCO High Income Fund reported amounts of (0.33) and (0.22), respectively.
|
| (k) |
The amount previously reported in the Funds’ 2016 Annual Report has been revised due to a misstatement. The misstatement was not
considered material to the prior period Annual Report. In the Funds’ 2016 Annual Report, PIMCO Corporate & Income Strategy Fund and PIMCO High Income Fund reported amounts of 0.90 and 0.52, respectively. |
| (l) |
Fiscal year end changed from October 31st to July 31st. |
| (m) |
Fiscal year end changed from March 31st to July 31st. |
| (n) |
The NAV presented may differ from the NAV reported for the same period in other Fund materials. |
|
|
|
|
|
|
|
|
|
| 16 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
Common Share |
|
|
Ratios/Supplemental Data |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net
Assets(f) |
|
|
|
|
|
|
|
Increase
resulting from
at-the
market
Offering |
|
|
Offering
Cost
Charged to
Paid in Capital |
|
|
Increase
Resulting from
Tender and
Repurchase of
ARPS(c) |
|
|
Net Asset
Value End of
Year or
Period(a) |
|
|
Market Price
End of Year
or Period |
|
|
Total
Investment
Return(a)(e)
|
|
|
Net Assets
Applicable
to Common
Shareholders
(000s) |
|
|
Expenses(g) |
|
|
Expenses
Excluding
Waivers(g)
|
|
|
Expenses
Excluding
Interest
Expense |
|
|
Expenses
Excluding
Interest
Expense
and
Waivers |
|
|
Net
Investment
Income (Loss) |
|
|
ARPS Asset
Coverage
Per Share(c) |
|
|
Portfolio
Turnover
Rate |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
0.30 |
|
|
$ |
0.00 |
|
|
$ |
0.00 |
|
|
$ |
14.80 |
|
|
$ |
19.57 |
|
|
|
10.13 |
% |
|
$ |
1,411,100 |
|
|
|
1.38 |
%* |
|
|
1.38 |
%* |
|
|
0.78 |
%* |
|
|
0.78 |
%* |
|
|
9.85 |
%* |
|
$ |
190,825 |
|
|
|
11 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
0.15 |
|
|
|
0.00 |
|
|
|
0.02 |
|
|
|
14.66 |
|
|
|
18.60 |
|
|
|
14.48 |
|
|
|
1,291,233 |
|
|
|
1.35 |
|
|
|
1.35 |
|
|
|
0.80 |
|
|
|
0.80 |
|
|
|
9.44 |
|
|
|
176,730 |
|
|
|
22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
0.12 |
|
|
|
0.00 |
|
|
|
0.00 |
|
|
|
14.80 |
(n) |
|
|
17.95 |
|
|
|
16.78 |
|
|
|
1,219,515 |
|
|
|
1.26 |
|
|
|
1.26 |
|
|
|
0.81 |
|
|
|
0.81 |
|
|
|
8.73 |
|
|
|
153,072 |
|
|
|
19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
0.10 |
|
|
|
0.00 |
|
|
|
0.00 |
|
|
|
14.87 |
|
|
|
16.92 |
|
|
|
29.18 |
|
|
|
1,140,768 |
|
|
|
1.08 |
|
|
|
1.08 |
|
|
|
0.83 |
|
|
|
0.83 |
|
|
|
8.68 |
|
|
|
144,819 |
|
|
|
39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
13.27 |
|
|
|
14.75 |
|
|
|
16.09 |
|
|
|
946,843 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
0.85 |
|
|
|
0.85 |
|
|
|
9.93 |
|
|
|
124,468 |
|
|
|
45 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.16 |
|
|
|
14.23 |
|
|
|
14.31 |
|
|
|
(13.61 |
) |
|
|
1,006,484 |
|
|
|
0.91 |
* |
|
|
0.91 |
* |
|
|
0.90 |
* |
|
|
0.90 |
* |
|
|
7.01 |
* |
|
|
130,743 |
|
|
|
34 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
15.41 |
|
|
|
18.50 |
|
|
|
26.04 |
|
|
|
1,082,000 |
|
|
|
0.91 |
|
|
|
0.91 |
|
|
|
0.91 |
|
|
|
0.91 |
|
|
|
7.36 |
|
|
|
108,229 |
|
|
|
44 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
N/A |
|
|
$ |
N/A |
|
|
$ |
0.00 |
|
|
$ |
14.89 |
|
|
$ |
19.80 |
|
|
|
14.09 |
% |
|
$ |
592,341 |
|
|
|
1.74 |
%* |
|
|
1.74 |
%* |
|
|
0.87 |
%* |
|
|
0.87 |
%* |
|
|
9.32 |
%* |
|
$ |
654,275 |
|
|
|
8 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.10 |
|
|
|
14.94 |
|
|
|
18.08 |
|
|
|
9.20 |
|
|
|
591,931 |
|
|
|
1.60 |
|
|
|
1.60 |
|
|
|
0.94 |
|
|
|
0.94 |
|
|
|
8.39 |
|
|
|
653,838 |
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
14.90 |
(n) |
|
|
18.09 |
|
|
|
9.61 |
|
|
|
586,592 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
0.94 |
|
|
|
0.94 |
|
|
|
7.97 |
|
|
|
289,023 |
|
|
|
20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
15.32 |
|
|
|
17.92 |
|
|
|
30.63 |
|
|
|
599,266 |
|
|
|
1.17 |
|
|
|
1.17 |
|
|
|
0.93 |
|
|
|
0.93 |
|
|
|
7.65 |
|
|
|
294,755 |
|
|
|
38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.51 |
|
|
|
14.28 |
|
|
|
15.43 |
|
|
|
24.21 |
|
|
|
553,569 |
|
|
|
1.10 |
|
|
|
1.10 |
|
|
|
1.02 |
|
|
|
1.02 |
|
|
|
8.91 |
|
|
|
274,223 |
|
|
|
43 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
14.75 |
|
|
|
13.71 |
|
|
|
(7.12 |
) |
|
|
570,122 |
|
|
|
1.07 |
* |
|
|
1.07 |
* |
|
|
1.07 |
* |
|
|
1.07 |
* |
|
|
6.51 |
* |
|
|
109,336 |
|
|
|
40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
15.60 |
|
|
|
16.18 |
|
|
|
8.84 |
|
|
|
599,980 |
|
|
|
1.09 |
|
|
|
1.09 |
|
|
|
1.09 |
|
|
|
1.09 |
|
|
|
6.32 |
|
|
|
113,753 |
|
|
|
48 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
N/A |
|
|
$ |
N/A |
|
|
$ |
0.00 |
|
|
$ |
6.28 |
|
|
$ |
7.59 |
|
|
|
(0.60 |
)% |
|
$ |
827,254 |
|
|
|
1.93 |
%* |
|
|
1.93 |
%* |
|
|
0.84 |
%* |
|
|
0.84 |
%* |
|
|
11.44 |
%* |
|
$ |
381,148 |
|
|
|
9 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.04 |
|
|
|
6.38 |
|
|
|
8.03 |
|
|
|
3.57 |
|
|
|
835,988 |
|
|
|
1.86 |
|
|
|
1.86 |
|
|
|
0.91 |
|
|
|
0.91 |
|
|
|
9.74 |
|
|
|
384,900 |
|
|
|
20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
6.54 |
(n) |
|
|
8.67 |
|
|
|
13.13 |
|
|
|
847,052 |
|
|
|
1.48 |
|
|
|
1.48 |
|
|
|
0.90 |
|
|
|
0.90 |
|
|
|
9.30 |
|
|
|
232,587 |
|
|
|
27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
6.90 |
|
|
|
8.71 |
|
|
|
(1.45 |
) |
|
|
884,912 |
|
|
|
1.25 |
|
|
|
1.25 |
|
|
|
0.90 |
|
|
|
0.90 |
|
|
|
10.08 |
|
|
|
241,894 |
|
|
|
32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.26 |
|
|
|
6.63 |
|
|
|
10.03 |
|
|
|
19.92 |
|
|
|
841,102 |
|
|
|
1.08 |
|
|
|
1.08 |
|
|
|
0.95 |
|
|
|
0.95 |
|
|
|
11.20 |
|
|
|
231,185 |
|
|
|
42 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
7.37 |
|
|
|
9.71 |
|
|
|
(18.40 |
) |
|
|
925,598 |
|
|
|
1.05 |
* |
|
|
1.05 |
* |
|
|
1.03 |
* |
|
|
1.03 |
* |
|
|
8.14 |
* |
|
|
104,245 |
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
7.59 |
|
|
|
12.48 |
|
|
|
12.30 |
|
|
|
949,880 |
|
|
|
1.18 |
|
|
|
1.18 |
|
|
|
1.02 |
|
|
|
1.02 |
|
|
|
11.53 |
|
|
|
106,324 |
|
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
0.06 |
|
|
$ |
0.00 |
|
|
$ |
0.00 |
|
|
$ |
10.97 |
|
|
$ |
12.05 |
|
|
|
5.51 |
% |
|
$ |
329,148 |
|
|
|
1.77 |
%* |
|
|
1.77 |
%* |
|
|
1.18 |
%* |
|
|
1.18 |
%* |
|
|
9.55 |
%* |
|
$ |
206,993 |
|
|
|
11 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
0.06 |
|
|
|
0.00 |
|
|
|
0.03 |
|
|
|
11.00 |
|
|
|
11.99 |
|
|
|
8.10 |
|
|
|
305,453 |
|
|
|
1.69 |
|
|
|
1.69 |
|
|
|
1.18 |
|
|
|
1.18 |
|
|
|
8.39 |
|
|
|
193,873 |
|
|
|
17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
11.14 |
(n) |
|
|
12.23 |
|
|
|
10.37 |
|
|
|
284,677 |
|
|
|
1.48 |
|
|
|
1.48 |
|
|
|
1.17 |
|
|
|
1.17 |
|
|
|
7.67 |
|
|
|
163,725 |
|
|
|
21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
11.60 |
|
|
|
12.17 |
|
|
|
28.11 |
|
|
|
294,525 |
|
|
|
1.35 |
|
|
|
1.35 |
|
|
|
1.17 |
|
|
|
1.17 |
|
|
|
8.01 |
|
|
|
168,552 |
|
|
|
40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
10.53 |
|
|
|
10.48 |
|
|
|
12.41 |
|
|
|
266,347 |
|
|
|
1.17 |
|
|
|
1.17 |
|
|
|
1.13 |
|
|
|
1.13 |
|
|
|
8.49 |
|
|
|
154,837 |
|
|
|
38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.11 |
|
|
|
11.46 |
|
|
|
10.39 |
|
|
|
(2.62 |
) |
|
|
289,909 |
|
|
|
1.30 |
|
|
|
1.30 |
|
|
|
1.25 |
|
|
|
1.25 |
|
|
|
6.67 |
|
|
|
166,328 |
|
|
|
67 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
0.05 |
|
|
$ |
0.00 |
|
|
$ |
0.00 |
|
|
$ |
9.85 |
|
|
$ |
10.73 |
|
|
|
5.20 |
% |
|
$ |
678,713 |
|
|
|
1.73 |
%* |
|
|
1.73 |
%* |
|
|
1.13 |
%* |
|
|
1.13 |
%* |
|
|
9.10 |
%* |
|
$ |
219,010 |
|
|
|
10 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
0.04 |
|
|
|
0.00 |
|
|
|
0.01 |
|
|
|
9.91 |
|
|
|
10.70 |
|
|
|
11.03 |
|
|
|
632,927 |
|
|
|
1.66 |
|
|
|
1.66 |
|
|
|
1.12 |
|
|
|
1.12 |
|
|
|
8.57 |
|
|
|
205,928 |
|
|
|
17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
10.07 |
(n) |
|
|
10.70 |
|
|
|
9.19 |
|
|
|
600,890 |
|
|
|
1.41 |
|
|
|
1.41 |
|
|
|
1.10 |
|
|
|
1.10 |
|
|
|
7.79 |
|
|
|
187,429 |
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
10.33 |
|
|
|
10.76 |
|
|
|
26.32 |
|
|
|
612,310 |
|
|
|
1.26 |
|
|
|
1.26 |
|
|
|
1.09 |
|
|
|
1.09 |
|
|
|
8.15 |
|
|
|
190,527 |
|
|
|
26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.00 |
|
|
|
9.42 |
|
|
|
9.39 |
|
|
|
11.92 |
|
|
|
556,840 |
|
|
|
1.14 |
|
|
|
1.14 |
|
|
|
1.07 |
|
|
|
1.07 |
|
|
|
9.25 |
|
|
|
175,544 |
|
|
|
38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
N/A |
|
|
|
0.12 |
|
|
|
10.27 |
|
|
|
9.41 |
|
|
|
(0.12 |
) |
|
|
606,974 |
|
|
|
1.16 |
|
|
|
1.16 |
|
|
|
1.13 |
|
|
|
1.13 |
|
|
|
6.58 |
|
|
|
189,105 |
|
|
|
63 |
|
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
17 |
Statements of Assets and Liabilities
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Amounts in thousands†, except per share amounts) |
|
PIMCO
Corporate &
Income
Opportunity
Fund |
|
|
PIMCO
Corporate &
Income
Strategy
Fund |
|
|
PIMCO High
Income Fund |
|
|
PIMCO Income
Strategy
Fund |
|
|
PIMCO Income
Strategy
Fund II |
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments, at value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities* |
|
$ |
1,893,280 |
|
|
$ |
779,975 |
|
|
$ |
1,086,585 |
|
|
$ |
418,638 |
|
|
$ |
849,424 |
|
| Financial Derivative Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Exchange-traded or centrally cleared |
|
|
5,022 |
|
|
|
2,679 |
|
|
|
9,375 |
|
|
|
1,400 |
|
|
|
3,220 |
|
| Over the counter |
|
|
12,577 |
|
|
|
1,999 |
|
|
|
9,024 |
|
|
|
998 |
|
|
|
2,099 |
|
| Cash |
|
|
0 |
|
|
|
0 |
|
|
|
35 |
|
|
|
0 |
|
|
|
0 |
|
| Deposits with counterparty |
|
|
20,002 |
|
|
|
9,320 |
|
|
|
23,572 |
|
|
|
5,807 |
|
|
|
11,926 |
|
| Foreign currency, at value |
|
|
1,709 |
|
|
|
953 |
|
|
|
2,116 |
|
|
|
582 |
|
|
|
1,050 |
|
| Receivable for investments sold |
|
|
24,829 |
|
|
|
53,139 |
|
|
|
74,792 |
|
|
|
3,451 |
|
|
|
16,290 |
|
| Receivable for Fund shares sold |
|
|
3,077 |
|
|
|
0 |
|
|
|
0 |
|
|
|
760 |
|
|
|
669 |
|
| Interest and/or dividends receivable |
|
|
18,540 |
|
|
|
7,229 |
|
|
|
11,583 |
|
|
|
4,138 |
|
|
|
8,352 |
|
| Other assets |
|
|
505 |
|
|
|
129 |
|
|
|
18 |
|
|
|
228 |
|
|
|
232 |
|
| Total Assets |
|
|
1,979,541 |
|
|
|
855,423 |
|
|
|
1,217,100 |
|
|
|
436,002 |
|
|
|
893,262 |
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Borrowings & Other Financing Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payable for reverse repurchase agreements |
|
$ |
225,768 |
|
|
$ |
198,023 |
|
|
$ |
284,481 |
|
|
$ |
45,166 |
|
|
$ |
97,409 |
|
| Financial Derivative Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Exchange-traded or centrally cleared |
|
|
4,411 |
|
|
|
1,981 |
|
|
|
8,740 |
|
|
|
1,085 |
|
|
|
2,660 |
|
| Over the counter |
|
|
13,149 |
|
|
|
2,264 |
|
|
|
3,476 |
|
|
|
1,189 |
|
|
|
2,436 |
|
| Payable for investments purchased |
|
|
65,325 |
|
|
|
26,985 |
|
|
|
17,565 |
|
|
|
6,940 |
|
|
|
15,948 |
|
| Payable for unfunded loan commitments |
|
|
24,115 |
|
|
|
847 |
|
|
|
1,189 |
|
|
|
3,596 |
|
|
|
990 |
|
| Deposits from counterparty |
|
|
9,654 |
|
|
|
4,312 |
|
|
|
7,520 |
|
|
|
551 |
|
|
|
1,393 |
|
| Distributions payable to common shareholders |
|
|
12,249 |
|
|
|
4,474 |
|
|
|
8,076 |
|
|
|
2,679 |
|
|
|
5,481 |
|
| Distributions payable to auction rate preferred shareholders |
|
|
89 |
|
|
|
8 |
|
|
|
19 |
|
|
|
14 |
|
|
|
34 |
|
| Overdraft due to custodian |
|
|
0 |
|
|
|
83 |
|
|
|
0 |
|
|
|
48 |
|
|
|
61 |
|
| Accrued management fees |
|
|
911 |
|
|
|
435 |
|
|
|
586 |
|
|
|
312 |
|
|
|
625 |
|
| Other liabilities |
|
|
120 |
|
|
|
145 |
|
|
|
144 |
|
|
|
74 |
|
|
|
87 |
|
| Total Liabilities |
|
|
355,791 |
|
|
|
239,557 |
|
|
|
331,796 |
|
|
|
61,654 |
|
|
|
127,124 |
|
|
|
|
|
|
|
| Auction Rate Preferred Shares^ |
|
|
212,650 |
|
|
|
23,525 |
|
|
|
58,050 |
|
|
|
45,200 |
|
|
|
87,425 |
|
|
|
|
|
|
|
| Net Assets Applicable to Common Shareholders |
|
$ |
1,411,100 |
|
|
$ |
592,341 |
|
|
$ |
827,254 |
|
|
$ |
329,148 |
|
|
$ |
678,713 |
|
|
|
|
|
|
|
| Net Assets Applicable to Common Shareholders Consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Par
value^^ |
|
$ |
1 |
|
|
$ |
0 |
|
|
$ |
1 |
|
|
$ |
0 |
|
|
$ |
1 |
|
| Paid in capital in excess of par |
|
|
1,436,571 |
|
|
|
590,397 |
|
|
|
986,609 |
|
|
|
343,166 |
|
|
|
707,654 |
|
| Distributable earnings (accumulated loss) |
|
|
(25,472 |
) |
|
|
1,944 |
|
|
|
(159,356 |
) |
|
|
(14,018 |
) |
|
|
(28,942 |
) |
|
|
|
|
|
|
| Net Assets Applicable to Common Shareholders |
|
$ |
1,411,100 |
|
|
$ |
592,341 |
|
|
$ |
827,254 |
|
|
$ |
329,148 |
|
|
$ |
678,713 |
|
|
|
|
|
|
|
| Net Asset Value Per Common Share(a) |
|
$ |
14.80 |
|
|
$ |
14.89 |
|
|
$ |
6.28 |
|
|
$ |
10.97 |
|
|
$ |
9.85 |
|
|
|
|
|
|
|
| Common Shares Outstanding |
|
|
95,322 |
|
|
|
39,771 |
|
|
|
131,679 |
|
|
|
29,994 |
|
|
|
68,902 |
|
|
|
|
|
|
|
| Auction Rate Preferred Shares Issued and Outstanding |
|
|
9 |
|
|
|
1 |
|
|
|
2 |
|
|
|
2 |
|
|
|
3 |
|
|
|
|
|
|
|
| Cost of investments in securities |
|
$ |
1,848,918 |
|
|
$ |
754,300 |
|
|
$ |
1,073,061 |
|
|
$ |
410,967 |
|
|
$ |
829,591 |
|
| Cost of foreign currency held |
|
$ |
1,714 |
|
|
$ |
948 |
|
|
$ |
2,120 |
|
|
$ |
626 |
|
|
$ |
1,121 |
|
| Cost or premiums of financial derivative instruments, net |
|
$ |
(22,905 |
) |
|
$ |
2,708 |
|
|
$ |
109,374 |
|
|
$ |
1,791 |
|
|
$ |
3,465 |
|
|
|
|
|
|
|
| * Includes repurchase agreements of: |
|
$ |
58,609 |
|
|
$ |
28,652 |
|
|
$ |
24,537 |
|
|
$ |
14,146 |
|
|
$ |
24,280 |
|
| † |
A zero balance may reflect actual amounts rounding to less than one thousand. |
| ^ |
($0.00001 par value and $25,000 liquidation preference per share) |
| (a) |
Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds.
|
|
|
|
|
|
|
|
|
|
| 18 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
Statements of Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended January 31, 2020 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Amounts in thousands†) |
|
PIMCO
Corporate &
Income
Opportunity
Fund |
|
|
PIMCO
Corporate &
Income
Strategy
Fund |
|
|
PIMCO High
Income Fund |
|
|
PIMCO Income
Strategy
Fund |
|
|
PIMCO Income
Strategy
Fund II |
|
|
|
|
|
|
|
| Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest |
|
$ |
73,110 |
|
|
$ |
32,157 |
|
|
$ |
53,454 |
|
|
$ |
17,521 |
|
|
$ |
34,755 |
|
| Dividends |
|
|
1,301 |
|
|
|
476 |
|
|
|
1,757 |
|
|
|
229 |
|
|
|
488 |
|
| Total Income |
|
|
74,411 |
|
|
|
32,633 |
|
|
|
55,211 |
|
|
|
17,750 |
|
|
|
35,243 |
|
|
|
|
|
|
|
| Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Management fees |
|
|
5,011 |
|
|
|
2,486 |
|
|
|
3,362 |
|
|
|
1,776 |
|
|
|
3,572 |
|
| Trustee fees and related expenses |
|
|
79 |
|
|
|
34 |
|
|
|
49 |
|
|
|
18 |
|
|
|
37 |
|
| Interest expense |
|
|
3,950 |
|
|
|
2,573 |
|
|
|
4,497 |
|
|
|
920 |
|
|
|
1,962 |
|
| Auction agent fees and commissions |
|
|
89 |
|
|
|
26 |
|
|
|
39 |
|
|
|
26 |
|
|
|
46 |
|
| Auction rate preferred shares related expenses |
|
|
14 |
|
|
|
35 |
|
|
|
28 |
|
|
|
28 |
|
|
|
28 |
|
| Miscellaneous expense |
|
|
8 |
|
|
|
8 |
|
|
|
9 |
|
|
|
4 |
|
|
|
8 |
|
| Total Expenses |
|
|
9,151 |
|
|
|
5,162 |
|
|
|
7,984 |
|
|
|
2,772 |
|
|
|
5,653 |
|
|
|
|
|
|
|
| Net Investment Income (Loss) |
|
|
65,260 |
|
|
|
27,471 |
|
|
|
47,227 |
|
|
|
14,978 |
|
|
|
29,590 |
|
|
|
|
|
|
|
| Net Realized Gain (Loss): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
6,725 |
|
|
|
1,235 |
|
|
|
3,756 |
|
|
|
2,505 |
|
|
|
5,803 |
|
| Exchange-traded or centrally cleared financial derivative instruments |
|
|
(123,723 |
) |
|
|
(45,348 |
) |
|
|
(148,067 |
) |
|
|
(27,556 |
) |
|
|
(64,136 |
) |
| Over the counter financial derivative instruments |
|
|
16,530 |
|
|
|
978 |
|
|
|
11,298 |
|
|
|
975 |
|
|
|
2,370 |
|
| Foreign currency |
|
|
(2,915 |
) |
|
|
(1,031 |
) |
|
|
(1,475 |
) |
|
|
(490 |
) |
|
|
(1,378 |
) |
|
|
|
|
|
|
| Net Realized Gain (Loss) |
|
|
(103,383 |
) |
|
|
(44,166 |
) |
|
|
(134,488 |
) |
|
|
(24,566 |
) |
|
|
(57,341 |
) |
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
6,734 |
|
|
|
3,919 |
|
|
|
(5,615 |
) |
|
|
(544 |
) |
|
|
(627 |
) |
| Exchange-traded or centrally cleared financial derivative instruments |
|
|
111,220 |
|
|
|
45,251 |
|
|
|
142,846 |
|
|
|
26,765 |
|
|
|
60,553 |
|
| Over the counter financial derivative instruments |
|
|
(12,102 |
) |
|
|
(5,080 |
) |
|
|
(12,675 |
) |
|
|
(2,356 |
) |
|
|
(4,766 |
) |
| Foreign currency assets and liabilities |
|
|
(3,236 |
) |
|
|
5 |
|
|
|
(1,667 |
) |
|
|
(91 |
) |
|
|
(943 |
) |
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) |
|
|
102,616 |
|
|
|
44,095 |
|
|
|
122,889 |
|
|
|
23,774 |
|
|
|
54,217 |
|
|
|
|
|
|
|
| Net Increase (Decrease) in Net Assets Resulting from Operations |
|
$ |
64,493 |
|
|
$ |
27,400 |
|
|
$ |
35,628 |
|
|
$ |
14,186 |
|
|
$ |
26,466 |
|
|
|
|
|
|
|
| Distributions on Auction Rate Preferred Shares from Net Investment Income and/or Realized
Capital Gains |
|
$ |
(3,900 |
) |
|
$ |
(325 |
) |
|
$ |
(852 |
) |
|
$ |
(705 |
) |
|
$ |
(1,364 |
) |
|
|
|
|
|
|
| Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from
Operations |
|
$ |
60,593 |
|
|
$ |
27,075 |
|
|
$ |
34,776 |
|
|
$ |
13,481 |
|
|
$ |
25,102 |
|
| † |
A zero balance may reflect actual amounts rounding to less than one thousand. |
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
19 |
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
PIMCO
Corporate & Income Opportunity Fund |
|
|
PIMCO
Corporate & Income Strategy Fund |
|
|
|
|
|
|
| (Amounts in thousands†) |
|
Six Months Ended
January 31, 2020
(Unaudited) |
|
|
Year Ended
July 31, 2019 |
|
|
Six Months Ended
January 31, 2020
(Unaudited) |
|
|
Year Ended
July 31, 2019 |
|
|
|
|
|
|
| Increase (Decrease) in Net Assets from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
$ |
65,260 |
|
|
$ |
116,749 |
|
|
$ |
27,471 |
|
|
$ |
48,079 |
|
| Net realized gain (loss) |
|
|
(103,383 |
) |
|
|
33,475 |
|
|
|
(44,166 |
) |
|
|
(2,543 |
) |
| Net change in unrealized appreciation (depreciation) |
|
|
102,616 |
|
|
|
(27,223 |
) |
|
|
44,095 |
|
|
|
9,743 |
|
|
|
|
|
|
| Net Increase (Decrease) in Net Assets Resulting from Operations |
|
|
64,493 |
|
|
|
123,001 |
|
|
|
27,400 |
|
|
|
55,279 |
|
| Distributions on auction rate preferred shares from net investment income and/or realized
capital gains |
|
|
(3,900 |
) |
|
|
(10,757 |
) |
|
|
(325 |
) |
|
|
(1,879 |
) |
|
|
|
|
|
| Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting
from Operations |
|
|
60,593 |
|
|
|
112,244 |
|
|
|
27,075 |
|
|
|
53,400 |
|
|
|
|
|
|
| Distributions to Common Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| From net investment income and/or net realized capital gains |
|
|
(73,740 |
) |
|
|
(139,693 |
) |
|
|
(29,187 |
) |
|
|
(56,489 |
) |
| Tax basis return of capital |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
| Total Distributions to Common Shareholders(a) |
|
|
(73,740 |
) |
|
|
(139,693 |
) |
|
|
(29,187 |
) |
|
|
(56,489 |
) |
|
|
|
|
|
| Auction-Rate Preferred Share Transactions*: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Increase (Decrease) resulting from tender of Auction Rate Preferred
Shares |
|
|
0 |
|
|
|
1,771 |
|
|
|
0 |
|
|
|
4,160 |
|
|
|
|
|
|
| Common Share Transactions**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net proceeds from
at-the-market offering |
|
|
125,638 |
|
|
|
83,316 |
|
|
|
0 |
|
|
|
0 |
|
| Net
at-the-market offering costs |
|
|
36 |
|
|
|
16 |
|
|
|
0 |
|
|
|
0 |
|
| Issued as reinvestment of distributions |
|
|
7,340 |
|
|
|
14,064 |
|
|
|
2,522 |
|
|
|
4,268 |
|
|
|
|
|
|
| Total increase (decrease) resulting from common share transactions |
|
|
133,014 |
|
|
|
97,396 |
|
|
|
2,522 |
|
|
|
4,268 |
|
|
|
|
|
|
| Total increase (decrease) in net assets applicable to common
shareholders |
|
|
119,867 |
|
|
|
71,718 |
|
|
|
410 |
|
|
|
5,339 |
|
|
|
|
|
|
| Net Assets Applicable to Common Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
1,291,233 |
|
|
|
1,219,515 |
|
|
|
591,931 |
|
|
|
586,592 |
|
| End of period |
|
$ |
1,411,100 |
|
|
$ |
1,291,233 |
|
|
$ |
592,341 |
|
|
$ |
591,931 |
|
|
|
|
|
|
| ** Common Share Transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
6,795 |
|
|
|
4,849 |
|
|
|
0 |
|
|
|
0 |
|
| Shares issued as reinvestment of distributions |
|
|
418 |
|
|
|
865 |
|
|
|
142 |
|
|
|
263 |
|
|
|
|
|
|
| Net increase (decrease) in common shares outstanding |
|
|
7,213 |
|
|
|
5,714 |
|
|
|
142 |
|
|
|
263 |
|
| † |
A zero balance may reflect actual amounts rounding to less than one thousand. |
| * |
See Note 14, Auction Rate Preferred Shares, in the Notes to Financial Statements for more information.
|
| (a) |
The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, Distributions
— Common Shares, in the Notes to Financial Statements for more information. |
|
|
|
|
|
|
|
|
|
| 20 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PIMCO
High Income Fund |
|
|
PIMCO
Income Strategy Fund |
|
|
PIMCO
Income Strategy Fund II |
|
|
|
|
|
|
|
Six Months Ended
January 31, 2020
(Unaudited) |
|
|
Year Ended
July 31, 2019 |
|
|
Six Months Ended
January 31, 2020
(Unaudited) |
|
|
Year Ended
July 31, 2019 |
|
|
Six Months Ended
January 31, 2020
(Unaudited) |
|
|
Year Ended
July 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
47,227 |
|
|
$ |
78,975 |
|
|
$ |
14,978 |
|
|
$ |
23,760 |
|
|
$ |
29,590 |
|
|
$ |
50,953 |
|
| |
(134,488 |
) |
|
|
10,555 |
|
|
|
(24,566 |
) |
|
|
(2,326 |
) |
|
|
(57,341 |
) |
|
|
794 |
|
| |
122,889 |
|
|
|
2,511 |
|
|
|
23,774 |
|
|
|
3,405 |
|
|
|
54,217 |
|
|
|
2,770 |
|
|
|
|
|
|
|
| |
35,628 |
|
|
|
92,041 |
|
|
|
14,186 |
|
|
|
24,839 |
|
|
|
26,466 |
|
|
|
54,517 |
|
| |
(852 |
) |
|
|
(3,684 |
) |
|
|
(705 |
) |
|
|
(1,813 |
) |
|
|
(1,364 |
) |
|
|
(3,268 |
) |
|
|
|
|
|
|
| |
34,776 |
|
|
|
88,357 |
|
|
|
13,481 |
|
|
|
23,026 |
|
|
|
25,102 |
|
|
|
51,249 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(48,354 |
) |
|
|
(94,727 |
) |
|
|
(15,557 |
) |
|
|
(25,874 |
) |
|
|
(31,815 |
) |
|
|
(62,813 |
) |
| |
0 |
|
|
|
(21,383 |
) |
|
|
0 |
|
|
|
(2,473 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
| |
(48,354 |
) |
|
|
(116,110 |
) |
|
|
(15,557 |
) |
|
|
(28,347 |
) |
|
|
(31,815 |
) |
|
|
(62,813 |
) |
|
|
|
|
|
|
| |
0 |
|
|
|
5,271 |
|
|
|
0 |
|
|
|
790 |
|
|
|
0 |
|
|
|
653 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
0 |
|
|
|
0 |
|
|
|
24,340 |
|
|
|
22,788 |
|
|
|
49,319 |
|
|
|
37,505 |
|
| |
0 |
|
|
|
0 |
|
|
|
56 |
|
|
|
4 |
|
|
|
8 |
|
|
|
65 |
|
| |
4,844 |
|
|
|
11,418 |
|
|
|
1,375 |
|
|
|
2,515 |
|
|
|
3,172 |
|
|
|
5,378 |
|
|
|
|
|
|
|
| |
4,844 |
|
|
|
11,418 |
|
|
|
25,771 |
|
|
|
25,307 |
|
|
|
52,499 |
|
|
|
42,948 |
|
|
|
|
|
|
|
| |
(8,734 |
) |
|
|
(11,064 |
) |
|
|
23,695 |
|
|
|
20,776 |
|
|
|
45,786 |
|
|
|
32,037 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
835,988 |
|
|
|
847,052 |
|
|
|
305,453 |
|
|
|
284,677 |
|
|
|
632,927 |
|
|
|
600,890 |
|
| $ |
827,254 |
|
|
$ |
835,988 |
|
|
$ |
329,148 |
|
|
$ |
305,453 |
|
|
$ |
678,713 |
|
|
$ |
632,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
0 |
|
|
|
0 |
|
|
|
2,099 |
|
|
|
1,981 |
|
|
|
4,736 |
|
|
|
3,618 |
|
| |
658 |
|
|
|
1,431 |
|
|
|
124 |
|
|
|
228 |
|
|
|
318 |
|
|
|
546 |
|
|
|
|
|
|
|
| |
658 |
|
|
|
1,431 |
|
|
|
2,223 |
|
|
|
2,209 |
|
|
|
5,054 |
|
|
|
4,164 |
|
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
21 |
Statements of Cash Flows
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended January 31, 2020 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Amounts in thousands†) |
|
PIMCO
Corporate &
Income
Opportunity Fund |
|
|
PIMCO
Corporate &
Income Strategy Fund |
|
|
PIMCO High
Income Fund |
|
|
PIMCO Income
Strategy
Fund |
|
|
PIMCO Income
Strategy
Fund II |
|
|
|
|
|
|
|
| Cash Flows Provided by (Used for) Operating Activities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in net assets resulting from operations |
|
$ |
64,493 |
|
|
$ |
27,400 |
|
|
$ |
35,628 |
|
|
$ |
14,186 |
|
|
$ |
26,466 |
|
|
|
|
|
|
|
| Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for) Operating
Activities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases of long-term securities |
|
|
(339,111 |
) |
|
|
(88,108 |
) |
|
|
(91,830 |
) |
|
|
(67,532 |
) |
|
|
(124,140 |
) |
| Proceeds from sales of long-term securities |
|
|
231,707 |
|
|
|
84,561 |
|
|
|
122,350 |
|
|
|
49,909 |
|
|
|
99,863 |
|
| (Purchases) Proceeds from sales of short-term portfolio investments, net |
|
|
(21,564 |
) |
|
|
(17,495 |
) |
|
|
(7,516 |
) |
|
|
3,807 |
|
|
|
8,124 |
|
| (Increase) decrease in deposits with counterparty |
|
|
8,615 |
|
|
|
1,561 |
|
|
|
1,344 |
|
|
|
(419 |
) |
|
|
543 |
|
| (Increase) decrease in receivable for investments sold |
|
|
32,008 |
|
|
|
(33,111 |
) |
|
|
(29,526 |
) |
|
|
16,071 |
|
|
|
2,045 |
|
| (Increase) decrease in interest and/or dividends receivable |
|
|
(228 |
) |
|
|
(19 |
) |
|
|
783 |
|
|
|
(315 |
) |
|
|
(410 |
) |
| Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative
instruments |
|
|
(14,388 |
) |
|
|
(1,309 |
) |
|
|
(6,644 |
) |
|
|
(1,343 |
) |
|
|
(4,870 |
) |
| Proceeds from (Payments on) over the counter financial derivative
instruments |
|
|
10,711 |
|
|
|
955 |
|
|
|
9,949 |
|
|
|
973 |
|
|
|
2,348 |
|
| (Increase) decrease in other assets |
|
|
(169 |
) |
|
|
(7 |
) |
|
|
(12 |
) |
|
|
(67 |
) |
|
|
(81 |
) |
| Increase (decrease) in payable for investments purchased |
|
|
48,507 |
|
|
|
18,360 |
|
|
|
3,017 |
|
|
|
3,096 |
|
|
|
7,715 |
|
| Increase (decrease) in payable for unfunded loan commitments |
|
|
23,865 |
|
|
|
847 |
|
|
|
1,189 |
|
|
|
3,596 |
|
|
|
990 |
|
| Increase (decrease) in deposits from counterparty |
|
|
(12,455 |
) |
|
|
(568 |
) |
|
|
(11,238 |
) |
|
|
(1,584 |
) |
|
|
(4,407 |
) |
| Increase (decrease) in accrued management fees |
|
|
74 |
|
|
|
(6 |
) |
|
|
(12 |
) |
|
|
19 |
|
|
|
44 |
|
| Proceeds from (Payments on) foreign currency transactions |
|
|
(2,658 |
) |
|
|
(959 |
) |
|
|
(1,230 |
) |
|
|
(532 |
) |
|
|
(1,437 |
) |
| Increase (decrease) in other liabilities |
|
|
112 |
|
|
|
(93 |
) |
|
|
(103 |
) |
|
|
(59 |
) |
|
|
(95 |
) |
| Net Realized (Gain) Loss |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
(6,725 |
) |
|
|
(1,235 |
) |
|
|
(3,756 |
) |
|
|
(2,505 |
) |
|
|
(5,803 |
) |
| Exchange-traded or centrally cleared financial derivative instruments |
|
|
123,723 |
|
|
|
45,348 |
|
|
|
148,067 |
|
|
|
27,556 |
|
|
|
64,136 |
|
| Over the counter financial derivative instruments |
|
|
(16,530 |
) |
|
|
(978 |
) |
|
|
(11,298 |
) |
|
|
(975 |
) |
|
|
(2,370 |
) |
| Foreign currency |
|
|
2,915 |
|
|
|
1,031 |
|
|
|
1,475 |
|
|
|
490 |
|
|
|
1,378 |
|
| Net Change in Unrealized (Appreciation) Depreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
(6,734 |
) |
|
|
(3,919 |
) |
|
|
5,615 |
|
|
|
544 |
|
|
|
627 |
|
| Exchange-traded or centrally cleared financial derivative instruments |
|
|
(111,220 |
) |
|
|
(45,251 |
) |
|
|
(142,846 |
) |
|
|
(26,765 |
) |
|
|
(60,553 |
) |
| Over the counter financial derivative instruments |
|
|
12,102 |
|
|
|
5,080 |
|
|
|
12,675 |
|
|
|
2,356 |
|
|
|
4,766 |
|
| Foreign currency assets and liabilities |
|
|
3,236 |
|
|
|
(5 |
) |
|
|
1,667 |
|
|
|
91 |
|
|
|
943 |
|
| Net amortization (accretion) on investments |
|
|
(6,377 |
) |
|
|
(2,805 |
) |
|
|
(5,074 |
) |
|
|
(1,535 |
) |
|
|
(2,809 |
) |
|
|
|
|
|
|
| Net Cash Provided by (Used for) Operating Activities |
|
|
23,909 |
|
|
|
(10,725 |
) |
|
|
32,674 |
|
|
|
19,063 |
|
|
|
13,013 |
|
|
|
|
|
|
|
| Cash Flows Received from (Used for) Financing Activities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net proceeds from at-the-market offering |
|
|
123,400 |
|
|
|
0 |
|
|
|
0 |
|
|
|
23,919 |
|
|
|
49,344 |
|
|
|
|
|
|
|
| Net at-the-market offering cost |
|
|
36 |
|
|
|
0 |
|
|
|
0 |
|
|
|
56 |
|
|
|
8 |
|
|
|
|
|
|
|
| Increase (decrease) in overdraft due to custodian |
|
|
(3,456 |
) |
|
|
(186 |
) |
|
|
(277 |
) |
|
|
48 |
|
|
|
61 |
|
|
|
|
|
|
|
| Cash distributions paid to common shareholders* |
|
|
(65,520 |
) |
|
|
(26,649 |
) |
|
|
(43,469 |
) |
|
|
(13,983 |
) |
|
|
(28,230 |
) |
|
|
|
|
|
|
| Cash distributions paid to auction rate preferred shareholders |
|
|
(3,914 |
) |
|
|
(325 |
) |
|
|
(854 |
) |
|
|
(711 |
) |
|
|
(1,361 |
) |
|
|
|
|
|
|
| Proceeds from reverse repurchase agreements |
|
|
1,045,625 |
|
|
|
700,367 |
|
|
|
905,772 |
|
|
|
202,827 |
|
|
|
491,938 |
|
|
|
|
|
|
|
| Payments on reverse repurchase agreements |
|
|
(1,127,595 |
) |
|
|
(662,386 |
) |
|
|
(897,978 |
) |
|
|
(231,299 |
) |
|
|
(525,105 |
) |
|
|
|
|
|
|
| Net Cash Received from (Used for) Financing Activities |
|
|
(31,424 |
) |
|
|
10,821 |
|
|
|
(36,806 |
) |
|
|
(19,143 |
) |
|
|
(13,345 |
) |
|
|
|
|
|
|
| Net Increase (Decrease) in Cash and Foreign Currency |
|
|
(7,515 |
) |
|
|
96 |
|
|
|
(4,132 |
) |
|
|
(80 |
) |
|
|
(332 |
) |
|
|
|
|
|
|
| Cash and Foreign Currency: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
9,224 |
|
|
|
857 |
|
|
|
6,283 |
|
|
|
662 |
|
|
|
1,382 |
|
| End of period |
|
$ |
1,709 |
|
|
$ |
953 |
|
|
$ |
2,151 |
|
|
$ |
582 |
|
|
$ |
1,050 |
|
|
|
|
|
|
|
| * Reinvestment of distributions to common shareholders |
|
$ |
7,340 |
|
|
$ |
2,522 |
|
|
$ |
4,844 |
|
|
$ |
1,375 |
|
|
$ |
3,172 |
|
|
|
|
|
|
|
| Supplemental Disclosure of Cash Flow Information: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest expense paid during the period |
|
$ |
4,184 |
|
|
$ |
2,679 |
|
|
$ |
4,654 |
|
|
$ |
1,117 |
|
|
$ |
2,140 |
|
|
|
|
|
|
|
| Non Cash Payment in Kind |
|
$ |
659 |
|
|
$ |
443 |
|
|
$ |
999 |
|
|
$ |
252 |
|
|
$ |
566 |
|
| † |
A zero balance may reflect actual amounts rounding to less than one thousand. |
A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the period, based on the average total
borrowing outstanding in relation to total assets or when substantially all of a Fund’s investments are not classified as Level 1 or 2 in the fair value hierarchy.
|
|
|
|
|
|
|
|
|
| 22 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
Schedule of Investments PIMCO Corporate & Income Opportunity Fund
January 31, 2020 (Unaudited)
(Amounts in thousands*, except number of shares, contracts and units, if any)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| INVESTMENTS IN SECURITIES 134.2% |
|
|
|
| LOAN PARTICIPATIONS AND ASSIGNMENTS 20.9% |
|
|
| Advanz Pharma Corp. |
|
| 7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |
|
$ |
|
|
10,067 |
|
|
$ |
|
|
9,564 |
|
|
| Al Convoy (Luxembourg) S.a.r.l. |
|
| TBD% due 01/29/2027 |
|
|
|
|
161 |
|
|
|
|
|
160 |
|
|
| Alphabet Holding Co., Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 09/26/2024 ~ |
|
|
|
|
98 |
|
|
|
|
|
94 |
|
|
| Altice France S.A. |
|
| 5.676% (LIBOR03M + 4.000%) due 08/14/2026 ~ |
|
|
|
|
494 |
|
|
|
|
|
495 |
|
|
| Ancestry.com Operations, Inc. |
|
| 5.400% (LIBOR03M + 3.750%) due 10/19/2023 ~ |
|
|
|
|
100 |
|
|
|
|
|
96 |
|
| 5.900% (LIBOR03M + 4.250%) due 08/27/2026 ~ |
|
|
|
|
199 |
|
|
|
|
|
191 |
|
|
| API Group, Inc. |
|
| 4.145% (LIBOR03M + 2.500%) due 10/01/2026 ~ |
|
|
|
|
100 |
|
|
|
|
|
101 |
|
|
| Avantor, Inc. |
|
| 3.895% (LIBOR03M + 2.250%) due 11/21/2024 ~ |
|
|
|
|
38 |
|
|
|
|
|
38 |
|
|
| Axalta Coating Systems U.S. Holdings, Inc. |
|
| 3.695% (LIBOR03M + 1.750%) due 06/01/2024 ~ |
|
|
|
|
326 |
|
|
|
|
|
327 |
|
|
| Bausch Health Cos., Inc. |
|
| 4.420% (LIBOR03M + 2.750%) due 11/27/2025 ~ |
|
|
|
|
128 |
|
|
|
|
|
128 |
|
| 4.670% (LIBOR03M + 3.000%) due 06/02/2025 ~ |
|
|
|
|
363 |
|
|
|
|
|
365 |
|
|
| BWAY Holding Co. |
|
| 5.084% (LIBOR03M + 3.250%) due 04/03/2024 ~ |
|
|
|
|
1,043 |
|
|
|
|
|
1,037 |
|
|
| Caesars Entertainment Operating Co. |
|
| 3.645% (LIBOR03M + 2.000%) due 10/07/2024 ~ |
|
|
|
|
81 |
|
|
|
|
|
82 |
|
|
| CenturyLink, Inc. |
|
| TBD% due 03/15/2027 |
|
|
|
|
1,632 |
|
|
|
|
|
1,632 |
|
|
| Charter Communications Operating LLC |
|
| 3.400% (LIBOR03M + 1.750%) due 02/01/2027 ~ |
|
|
|
|
360 |
|
|
|
|
|
362 |
|
|
| Clay Holdco BV |
|
| TBD% due 11/30/2025 |
|
EUR |
|
|
6,197 |
|
|
|
|
|
6,845 |
|
|
| Clear Channel Outdoor Holdings, Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 08/21/2026 ~ |
|
$ |
|
|
100 |
|
|
|
|
|
100 |
|
|
| CommScope, Inc. |
|
| 4.895% (LIBOR03M + 3.250%) due 04/06/2026 ~ |
|
|
|
|
200 |
|
|
|
|
|
200 |
|
|
| Diamond Resorts Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 09/02/2023 ~ |
|
|
|
|
12,242 |
|
|
|
|
|
12,058 |
|
|
| DTEK Holdings Ltd. |
|
| TBD% due 08/01/2026 « |
|
EUR |
|
|
2,646 |
|
|
|
|
|
2,721 |
|
|
| Dubai World (3.000% Cash and 1.750% PIK) |
|
| 4.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(d) |
|
$ |
|
|
11,091 |
|
|
|
|
|
10,370 |
|
|
| Emerald TopCo, Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 07/24/2026 ~ |
|
|
|
|
232 |
|
|
|
|
|
233 |
|
|
| Encina Private Credit LLC |
|
| TBD% - 4.881% (LIBOR03M + 3.205%) due 11/30/2025 «~µ |
|
|
|
|
32,000 |
|
|
|
|
|
32,000 |
|
|
| Envision Healthcare Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 10/10/2025 ~ |
|
|
|
|
33,250 |
|
|
|
|
|
28,131 |
|
|
| Financial & Risk U.S. Holdings, Inc. |
|
| TBD% due 10/01/2025 |
|
EUR |
|
|
1,000 |
|
|
|
|
|
1,119 |
|
| TBD% (LIBOR03M + 3.250%) due 10/01/2025 ~ |
|
$ |
|
|
1,492 |
|
|
|
|
|
1,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Forbes Energy Services LLC (6.909% Cash and 11.000% PIK) |
|
| 17.909% (LIBOR03M + 5.000%) due 04/13/2021 ~(d) |
|
$ |
|
|
1,012 |
|
|
$ |
|
|
1,013 |
|
|
| Forest City Enterprises LP |
|
| 5.145% (LIBOR03M + 3.500%) due 12/08/2025 ~ |
|
|
|
|
297 |
|
|
|
|
|
299 |
|
|
| Froneri Ltd. |
|
| TBD% due 01/31/2027 |
|
|
|
|
252 |
|
|
|
|
|
253 |
|
| TBD% due 01/28/2028 « |
|
|
|
|
16 |
|
|
|
|
|
16 |
|
|
| Frontier Communications Corp. |
|
| 5.400% (LIBOR03M + 3.750%) due 06/15/2024 ~ |
|
|
|
|
1,173 |
|
|
|
|
|
1,185 |
|
|
| iHeartCommunications, Inc. |
|
| 5.781% (LIBOR03M + 4.000%) due 05/01/2026 ~ |
|
|
|
|
7,739 |
|
|
|
|
|
7,769 |
|
|
| Ineos Finance PLC |
|
| 2.500% (EUR003M + 2.000%) due 04/01/2024 ~ |
|
EUR |
|
|
4,998 |
|
|
|
|
|
5,549 |
|
|
| Intelsat Jackson Holdings S.A. |
|
| 5.682% (LIBOR03M + 3.750%) due 11/27/2023 ~ |
|
$ |
|
|
3,180 |
|
|
|
|
|
3,170 |
|
| 6.305% (LIBOR03M + 4.500%) due 01/02/2024 ~ |
|
|
|
|
100 |
|
|
|
|
|
102 |
|
|
| IRB Holding Corp. |
|
| 4.384% (LIBOR03M + 2.750%) due 02/05/2025 ~ |
|
|
|
|
1,866 |
|
|
|
|
|
1,871 |
|
|
| Jefferies Finance LLC |
|
| 5.063% (LIBOR03M + 3.250%) due 06/03/2026 ~ |
|
|
|
|
47 |
|
|
|
|
|
47 |
|
|
| McDermott Technology Americas, Inc. |
|
| TBD% due 10/21/2021 ^µ(e) |
|
|
|
|
5,560 |
|
|
|
|
|
5,820 |
|
| TBD% due 05/09/2025 ^(e) |
|
|
|
|
9,601 |
|
|
|
|
|
6,119 |
|
|
| Messer Industrie GmbH |
|
| 4.445% (LIBOR03M + 2.500%) due 03/01/2026 ~ |
|
|
|
|
142 |
|
|
|
|
|
142 |
|
|
| MH Sub LLC |
|
| 5.395% (LIBOR03M + 3.750%) due 09/13/2024 ~ |
|
|
|
|
215 |
|
|
|
|
|
215 |
|
|
| Nascar Holdings, Inc. |
|
| 4.408% (LIBOR03M + 2.750%) due 10/19/2026 ~ |
|
|
|
|
148 |
|
|
|
|
|
150 |
|
|
| NCI Building Systems, Inc. |
|
| 5.434% (LIBOR03M + 3.750%) due 04/12/2025 ~ |
|
|
|
|
288 |
|
|
|
|
|
288 |
|
|
| Neiman Marcus Group Ltd. LLC |
|
| 7.734% (LIBOR03M + 6.000%) due 10/25/2023 ~ |
|
|
|
|
22,928 |
|
|
|
|
|
19,489 |
|
|
| Neiman Marcus Group Ltd. LLC (7.234 - 7.277% Cash and 1.000% PIK) |
|
| 8.234% - 8.277% (LIBOR03M + 5.500%) due 10/25/2023 ~(d) |
|
|
|
|
16,996 |
|
|
|
|
|
14,383 |
|
|
| Ortho-Clinical Diagnostics S.A. |
|
| 5.013% (LIBOR03M + 3.250%) due 06/30/2025 ~ |
|
|
|
|
4,477 |
|
|
|
|
|
4,430 |
|
|
| Pacific Gas & Electric Co. |
|
| TBD% due 02/22/2049 ^(e) |
|
|
|
|
300 |
|
|
|
|
|
315 |
|
|
| Parexel International Corp. |
|
| 4.395% (LIBOR03M + 2.750%) due 09/27/2024 ~ |
|
|
|
|
188 |
|
|
|
|
|
185 |
|
|
| PetSmart, Inc. |
|
| 5.670% (LIBOR03M + 4.000%) due 03/11/2022 ~ |
|
|
|
|
21,211 |
|
|
|
|
|
21,195 |
|
|
| Playtika Holding Corp. |
|
| 7.645% (LIBOR03M + 6.000%) due 12/10/2024 ~ |
|
|
|
|
8,494 |
|
|
|
|
|
8,587 |
|
|
| Prestige Brands, Inc. |
|
| 3.645% (LIBOR03M + 2.000%) due 01/26/2024 ~ |
|
|
|
|
103 |
|
|
|
|
|
104 |
|
|
| Pug LLC |
|
| TBD% due 01/15/2027 |
|
|
|
|
76 |
|
|
|
|
|
76 |
|
|
| Reynolds Consumer Products, Inc. |
|
| TBD% due 01/29/2027 |
|
|
|
|
100 |
|
|
|
|
|
101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| SBA Senior Finance LLC |
|
| 3.400% (LIBOR03M + 1.750%) due 04/11/2025 ~ |
|
$ |
|
|
493 |
|
|
$ |
|
|
494 |
|
|
| Sequa Mezzanine Holdings LLC |
|
| 6.904% (LIBOR03M + 5.000%) due 11/28/2021 ~ |
|
|
|
|
2,290 |
|
|
|
|
|
2,303 |
|
| 10.770% (LIBOR03M + 9.000%) due 04/28/2022 «~ |
|
|
|
|
5,370 |
|
|
|
|
|
5,404 |
|
|
| Sinclair Television Group, Inc. |
|
| 4.180% (LIBOR03M + 2.500%) due 09/30/2026 ~ |
|
|
|
|
129 |
|
|
|
|
|
129 |
|
|
| Sotera Health Holdings LLC |
|
| 6.145% (LIBOR03M + 4.500%) due 12/11/2026 ~ |
|
|
|
|
296 |
|
|
|
|
|
297 |
|
|
| Sprint Communications, Inc. |
|
| 4.188% (LIBOR03M + 2.500%) due 02/02/2024 ~ |
|
|
|
|
2,723 |
|
|
|
|
|
2,690 |
|
|
| Starfruit Finco BV |
|
| 4.699% (LIBOR03M + 3.000%) due 10/01/2025 ~ |
|
|
|
|
458 |
|
|
|
|
|
459 |
|
|
| State of Rio de Janeiro |
|
| 6.024% (LIBOR03M + 3.250%) due 12/20/2020 «~ |
|
|
|
|
5,373 |
|
|
|
|
|
5,405 |
|
|
| Summer (BC) Holdco B SARL |
|
| TBD% due 10/15/2026 « |
|
|
|
|
5,384 |
|
|
|
|
|
5,243 |
|
| TBD% due 12/04/2026 « |
|
|
|
|
1,346 |
|
|
|
|
|
1,311 |
|
|
| Sunshine Luxembourg SARL |
|
| 6.195% (LIBOR03M + 4.250%) due 10/01/2026 ~ |
|
|
|
|
524 |
|
|
|
|
|
527 |
|
|
| Syniverse Holdings, Inc. |
|
| 6.873% (LIBOR03M + 5.000%) due 03/09/2023 ~ |
|
|
|
|
14,487 |
|
|
|
|
|
13,267 |
|
|
| TransDigm, Inc. |
|
| 4.145% (LIBOR03M + 2.500%) due 08/22/2024 ~ |
|
|
|
|
585 |
|
|
|
|
|
586 |
|
|
| U.S. Renal Care, Inc. |
|
| 6.645% (LIBOR03M + 5.000%) due 06/26/2026 ~ |
|
|
|
|
925 |
|
|
|
|
|
920 |
|
|
| Univision Communications, Inc. |
|
| 4.395% (LIBOR03M + 2.750%) due 03/15/2024 ~ |
|
|
|
|
12,190 |
|
|
|
|
|
12,066 |
|
|
| West Corp. |
|
| 5.645% (LIBOR03M + 4.000%) due 10/10/2024 ~ |
|
|
|
|
53 |
|
|
|
|
|
45 |
|
|
| Westmoreland Mining Holdings LLC |
|
| 10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |
|
|
|
|
1,017 |
|
|
|
|
|
1,028 |
|
|
| Westmoreland Mining Holdings LLC (15.000% PIK) |
|
| 15.000% due 03/15/2029 «(d) |
|
|
|
|
2,944 |
|
|
|
|
|
2,223 |
|
|
| Whatabrands LLC |
|
| 4.984% (LIBOR03M + 3.250%) due 08/02/2026 ~ |
|
|
|
|
47 |
|
|
|
|
|
47 |
|
|
| Windstream Services LLC |
|
| 9.000% (PRIME + 4.250%) due 02/17/2024 ~ |
|
|
|
|
14,660 |
|
|
|
|
|
13,982 |
|
| 9.750% (PRIME + 5.000%) due 03/29/2021 ~ |
|
|
|
|
13,678 |
|
|
|
|
|
13,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations and Assignments (Cost $301,708) |
|
|
294,671 |
|
|
|
|
|
|
|
|
| CORPORATE BONDS & NOTES 52.2% |
|
|
|
| BANKING & FINANCE 19.8% |
|
|
| Ally Financial, Inc. |
|
| 8.000% due 11/01/2031 |
|
|
|
|
2,407 |
|
|
|
|
|
3,400 |
|
| 8.000% due 11/01/2031 (l) |
|
|
|
|
3,550 |
|
|
|
|
|
5,001 |
|
|
| Ambac LSNI LLC |
|
| 6.945% due 02/12/2023 • |
|
|
|
|
1,059 |
|
|
|
|
|
1,079 |
|
|
| Ardonagh Midco PLC |
|
| 8.375% due 07/15/2023 (l) |
|
GBP |
|
|
25,482 |
|
|
|
|
|
34,333 |
|
|
| Banco BTG Pactual S.A. |
|
| 4.500% due 01/10/2025 |
|
$ |
|
|
400 |
|
|
|
|
|
411 |
|
|
| Banco de Credito del Peru |
|
| 4.650% due 09/17/2024 |
|
PEN |
|
|
1,600 |
|
|
|
|
|
483 |
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
23 |
Schedule of Investments PIMCO
Corporate & Income Opportunity Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Bank of Ireland |
|
| 7.375% due 06/18/2020 •(i)(l) |
|
EUR |
|
|
1,200 |
|
|
$ |
|
|
1,363 |
|
|
| Barclays Bank PLC |
|
| 7.625% due 11/21/2022 |
|
$ |
|
|
450 |
|
|
|
|
|
508 |
|
|
| Barclays PLC |
|
| 3.250% due 01/17/2033 |
|
GBP |
|
|
400 |
|
|
|
|
|
571 |
|
| 7.125% due 06/15/2025 •(i) |
|
|
|
|
2,200 |
|
|
|
|
|
3,339 |
|
| 7.250% due 03/15/2023 •(i) |
|
|
|
|
10,405 |
|
|
|
|
|
15,197 |
|
| 7.750% due 09/15/2023 •(i) |
|
$ |
|
|
2,000 |
|
|
|
|
|
2,191 |
|
| 7.875% due 09/15/2022 •(i) |
|
GBP |
|
|
4,625 |
|
|
|
|
|
6,796 |
|
| 8.000% due 06/15/2024 •(i) |
|
$ |
|
|
1,000 |
|
|
|
|
|
1,129 |
|
|
| BGC Partners, Inc. |
|
| 5.375% due 07/24/2023 (l) |
|
|
|
|
490 |
|
|
|
|
|
529 |
|
|
| BNP Paribas S.A. |
|
| 7.625% due 03/30/2021 •(i) |
|
|
|
|
200 |
|
|
|
|
|
211 |
|
|
| Brookfield Finance, Inc. |
|
| 3.900% due 01/25/2028 |
|
|
|
|
28 |
|
|
|
|
|
31 |
|
| 4.700% due 09/20/2047 |
|
|
|
|
464 |
|
|
|
|
|
566 |
|
|
| Cantor Fitzgerald LP |
|
| 4.875% due 05/01/2024 |
|
|
|
|
64 |
|
|
|
|
|
69 |
|
| 6.500% due 06/17/2022 (l) |
|
|
|
|
10,000 |
|
|
|
|
|
10,923 |
|
|
| CBL & Associates LP |
|
| 4.600% due 10/15/2024 |
|
|
|
|
6 |
|
|
|
|
|
3 |
|
| 5.950% due 12/15/2026 |
|
|
|
|
4,986 |
|
|
|
|
|
2,506 |
|
|
| Cooperatieve Rabobank UA |
|
| 5.500% due 06/29/2020 •(i) |
|
EUR |
|
|
200 |
|
|
|
|
|
226 |
|
|
| Credit Agricole S.A. |
|
| 7.875% due 01/23/2024 •(i)(l) |
|
$ |
|
|
400 |
|
|
|
|
|
456 |
|
|
| Credit Suisse Group AG |
|
| 7.250% due 09/12/2025 •(i) |
|
|
|
|
200 |
|
|
|
|
|
227 |
|
| 7.500% due 07/17/2023 •(i) |
|
|
|
|
600 |
|
|
|
|
|
662 |
|
| 7.500% due 12/11/2023 •(i) |
|
|
|
|
2,336 |
|
|
|
|
|
2,654 |
|
|
| Deutsche Bank AG |
|
| 3.961% due 11/26/2025 • |
|
|
|
|
2,400 |
|
|
|
|
|
2,511 |
|
|
| Emerald Bay S.A. |
|
| 0.000% due 10/08/2020 (h) |
|
EUR |
|
|
1,162 |
|
|
|
|
|
1,271 |
|
|
| EPR Properties |
|
| 4.750% due 12/15/2026 |
|
$ |
|
|
3,711 |
|
|
|
|
|
4,135 |
|
|
| Equitable Holdings, Inc. |
|
| 5.000% due 04/20/2048 |
|
|
|
|
16 |
|
|
|
|
|
18 |
|
|
| ESH Hospitality, Inc. |
|
| 4.625% due 10/01/2027 |
|
|
|
|
118 |
|
|
|
|
|
119 |
|
|
| Flagstar Bancorp, Inc. |
|
| 6.125% due 07/15/2021 |
|
|
|
|
6,000 |
|
|
|
|
|
6,258 |
|
|
| Ford Motor Credit Co. LLC |
|
| 0.303% due 12/01/2024 • |
|
EUR |
|
|
100 |
|
|
|
|
|
105 |
|
| 3.087% due 01/09/2023 |
|
$ |
|
|
700 |
|
|
|
|
|
706 |
|
|
| Fortress Transportation & Infrastructure Investors LLC |
|
| 6.500% due 10/01/2025 |
|
|
|
|
785 |
|
|
|
|
|
836 |
|
| 6.750% due 03/15/2022 |
|
|
|
|
1,572 |
|
|
|
|
|
1,622 |
|
|
| GE Capital International Funding Co. Unlimited Co. |
|
| 4.418% due 11/15/2035 |
|
|
|
|
200 |
|
|
|
|
|
226 |
|
|
| Growthpoint Properties International Pty. Ltd. |
|
| 5.872% due 05/02/2023 |
|
|
|
|
200 |
|
|
|
|
|
216 |
|
|
| GSPA Monetization Trust |
|
| 6.422% due 10/09/2029 |
|
|
|
|
6,166 |
|
|
|
|
|
7,216 |
|
|
| Hampton Roads PPV LLC |
|
| 6.171% due 06/15/2053 |
|
|
|
|
1,800 |
|
|
|
|
|
2,183 |
|
|
| HSBC Bank PLC |
|
| 6.330% due 05/18/2023 |
|
|
|
|
12,400 |
|
|
|
|
|
13,112 |
|
|
| HSBC Holdings PLC |
|
| 5.875% due 09/28/2026 •(i)(l) |
|
GBP |
|
|
400 |
|
|
|
|
|
591 |
|
| 6.000% due 09/29/2023 •(i)(l) |
|
EUR |
|
|
2,830 |
|
|
|
|
|
3,633 |
|
| 6.500% due 03/23/2028 •(i) |
|
$ |
|
|
1,000 |
|
|
|
|
|
1,115 |
|
|
| Hunt Cos., Inc. |
|
| 6.250% due 02/15/2026 |
|
|
|
|
56 |
|
|
|
|
|
54 |
|
|
| ING Groep NV |
|
| 5.750% due 11/16/2026 •(i) |
|
|
|
|
700 |
|
|
|
|
|
750 |
|
|
| Kennedy-Wilson, Inc. |
|
| 5.875% due 04/01/2024 |
|
|
|
|
134 |
|
|
|
|
|
138 |
|
|
| Ladder Capital Finance Holdings LLLP |
|
| 4.250% due 02/01/2027 |
|
|
|
|
129 |
|
|
|
|
|
129 |
|
|
| Lloyds Banking Group PLC |
|
| 7.500% due 09/27/2025 •(i) |
|
|
|
|
700 |
|
|
|
|
|
801 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 7.625% due 06/27/2023 •(i) |
|
GBP |
|
|
4,610 |
|
|
$ |
|
|
6,857 |
|
| 7.875% due 06/27/2029 •(i) |
|
|
|
|
7,415 |
|
|
|
|
|
12,589 |
|
|
| LoanCore Capital Markets LLC |
|
| 6.875% due 06/01/2020 |
|
$ |
|
|
11,610 |
|
|
|
|
|
11,632 |
|
|
| Nationstar Mortgage LLC |
|
| 6.500% due 07/01/2021 |
|
|
|
|
961 |
|
|
|
|
|
963 |
|
|
| Navient Corp. |
|
| 5.625% due 08/01/2033 |
|
|
|
|
74 |
|
|
|
|
|
67 |
|
| 6.125% due 03/25/2024 |
|
|
|
|
289 |
|
|
|
|
|
309 |
|
| 6.500% due 06/15/2022 |
|
|
|
|
600 |
|
|
|
|
|
639 |
|
| 7.250% due 01/25/2022 |
|
|
|
|
1,100 |
|
|
|
|
|
1,182 |
|
| 7.250% due 09/25/2023 |
|
|
|
|
77 |
|
|
|
|
|
85 |
|
|
| Newmark Group, Inc. |
|
| 6.125% due 11/15/2023 |
|
|
|
|
128 |
|
|
|
|
|
140 |
|
|
| Oppenheimer Holdings, Inc. |
|
| 6.750% due 07/01/2022 |
|
|
|
|
2,133 |
|
|
|
|
|
2,202 |
|
|
| Royal Bank of Scotland Group PLC |
|
| 8.000% due 08/10/2025 •(i)(l) |
|
|
|
|
15,325 |
|
|
|
|
|
17,910 |
|
|
| Santander UK Group Holdings PLC |
|
| 6.750% due 06/24/2024 •(i)(l) |
|
GBP |
|
|
13,505 |
|
|
|
|
|
19,898 |
|
| 7.375% due 06/24/2022 •(i) |
|
|
|
|
1,640 |
|
|
|
|
|
2,380 |
|
|
| SBA Communications Corp. |
|
| 3.875% due 02/15/2027 (c) |
|
$ |
|
|
362 |
|
|
|
|
|
368 |
|
|
| Sberbank of Russia Via SB Capital S.A. |
|
| 6.125% due 02/07/2022 |
|
|
|
|
500 |
|
|
|
|
|
535 |
|
|
| Societe Generale S.A. |
|
| 6.750% due 04/06/2028 •(i) |
|
|
|
|
400 |
|
|
|
|
|
450 |
|
| 7.375% due 10/04/2023 •(i) |
|
|
|
|
1,300 |
|
|
|
|
|
1,435 |
|
|
| Springleaf Finance Corp. |
|
| 5.375% due 11/15/2029 |
|
|
|
|
40 |
|
|
|
|
|
42 |
|
| 6.875% due 03/15/2025 |
|
|
|
|
270 |
|
|
|
|
|
305 |
|
|
| Stearns Holdings LLC |
|
| 5.000% due 11/05/2024 |
|
|
|
|
15 |
|
|
|
|
|
10 |
|
| 9.375% due 08/15/2020 « |
|
|
|
|
578 |
|
|
|
|
|
0 |
|
|
| Tesco Property Finance PLC |
|
| 5.411% due 07/13/2044 |
|
GBP |
|
|
1,103 |
|
|
|
|
|
1,921 |
|
| 5.661% due 10/13/2041 |
|
|
|
|
510 |
|
|
|
|
|
908 |
|
| 5.744% due 04/13/2040 |
|
|
|
|
454 |
|
|
|
|
|
805 |
|
| 5.801% due 10/13/2040 |
|
|
|
|
1,664 |
|
|
|
|
|
2,981 |
|
| 6.052% due 10/13/2039 |
|
|
|
|
1,210 |
|
|
|
|
|
2,153 |
|
|
| TP ICAP PLC |
|
| 5.250% due 01/26/2024 (l) |
|
|
|
|
9,020 |
|
|
|
|
|
13,228 |
|
|
| UniCredit SpA |
|
| 7.830% due 12/04/2023 (l) |
|
$ |
|
|
8,660 |
|
|
|
|
|
10,224 |
|
|
| Unique Pub Finance Co. PLC |
|
| 5.659% due 06/30/2027 |
|
GBP |
|
|
5,214 |
|
|
|
|
|
7,924 |
|
|
| Voyager Aviation Holdings LLC |
|
| 8.500% due 08/15/2021 |
|
$ |
|
|
17,047 |
|
|
|
|
|
17,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
280,231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 24.3% |
|
|
| AA Bond Co. Ltd. |
|
| 2.750% due 07/31/2043 |
|
GBP |
|
|
950 |
|
|
|
|
|
1,227 |
|
| 2.875% due 07/31/2043 (l) |
|
|
|
|
2,700 |
|
|
|
|
|
3,600 |
|
| 4.249% due 07/31/2043 (l) |
|
|
|
|
220 |
|
|
|
|
|
294 |
|
|
| Aker BP ASA |
|
| 3.000% due 01/15/2025 |
|
$ |
|
|
200 |
|
|
|
|
|
202 |
|
| 3.750% due 01/15/2030 |
|
|
|
|
175 |
|
|
|
|
|
178 |
|
|
| Albertsons Cos., Inc. |
|
| 3.500% due 02/15/2023 (c) |
|
|
|
|
113 |
|
|
|
|
|
115 |
|
| 4.625% due 01/15/2027 |
|
|
|
|
114 |
|
|
|
|
|
116 |
|
| 4.875% due 02/15/2030 (c) |
|
|
|
|
129 |
|
|
|
|
|
133 |
|
|
| Altice Financing S.A. |
|
| 2.250% due 01/15/2025 |
|
EUR |
|
|
300 |
|
|
|
|
|
327 |
|
| 7.500% due 05/15/2026 (l) |
|
$ |
|
|
6,150 |
|
|
|
|
|
6,584 |
|
|
| Altice France S.A. |
|
| 2.125% due 02/15/2025 (c) |
|
EUR |
|
|
900 |
|
|
|
|
|
981 |
|
| 5.500% due 01/15/2028 |
|
$ |
|
|
2,000 |
|
|
|
|
|
2,040 |
|
| 7.375% due 05/01/2026 |
|
|
|
|
3,000 |
|
|
|
|
|
3,197 |
|
|
| Associated Materials LLC |
|
| 9.000% due 01/01/2024 |
|
|
|
|
2,792 |
|
|
|
|
|
2,443 |
|
|
| Avon International Capital PLC |
|
| 6.500% due 08/15/2022 |
|
|
|
|
52 |
|
|
|
|
|
54 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| B.C. Unlimited Liability Co. |
|
| 4.375% due 01/15/2028 |
|
$ |
|
|
70 |
|
|
$ |
|
|
70 |
|
|
| Baffinland Iron Mines Corp. |
|
| 8.750% due 07/15/2026 |
|
|
|
|
2,700 |
|
|
|
|
|
2,810 |
|
|
| Bausch Health Cos., Inc. |
|
| 5.000% due 01/30/2028 |
|
|
|
|
190 |
|
|
|
|
|
193 |
|
| 5.250% due 01/30/2030 |
|
|
|
|
190 |
|
|
|
|
|
194 |
|
|
| BCPE Cycle Merger Sub, Inc. |
|
| 10.625% due 07/15/2027 |
|
|
|
|
155 |
|
|
|
|
|
160 |
|
|
| Bioceanico Sovereign Certificate Ltd. |
|
| 0.000% due 06/05/2034 (h) |
|
|
|
|
150 |
|
|
|
|
|
106 |
|
|
| Bombardier, Inc. |
|
| 5.750% due 03/15/2022 |
|
|
|
|
2,300 |
|
|
|
|
|
2,298 |
|
| 6.000% due 10/15/2022 |
|
|
|
|
164 |
|
|
|
|
|
161 |
|
| 6.125% due 01/15/2023 |
|
|
|
|
3,546 |
|
|
|
|
|
3,507 |
|
| 7.500% due 12/01/2024 |
|
|
|
|
1,368 |
|
|
|
|
|
1,330 |
|
| 7.500% due 03/15/2025 |
|
|
|
|
1,580 |
|
|
|
|
|
1,521 |
|
| 7.875% due 04/15/2027 |
|
|
|
|
2,107 |
|
|
|
|
|
2,002 |
|
|
| Camelot Finance S.A. |
|
| 4.500% due 11/01/2026 |
|
|
|
|
15 |
|
|
|
|
|
15 |
|
|
| CCO Holdings LLC |
|
| 4.750% due 03/01/2030 |
|
|
|
|
362 |
|
|
|
|
|
373 |
|
|
| Centene Corp. |
|
| 4.250% due 12/15/2027 |
|
|
|
|
126 |
|
|
|
|
|
132 |
|
| 4.625% due 12/15/2029 |
|
|
|
|
253 |
|
|
|
|
|
273 |
|
| 4.750% due 01/15/2025 |
|
|
|
|
362 |
|
|
|
|
|
375 |
|
|
| Charter Communications Operating LLC |
|
| 4.800% due 03/01/2050 |
|
|
|
|
438 |
|
|
|
|
|
473 |
|
|
| Clear Channel Worldwide Holdings, Inc. |
|
| 9.250% due 02/15/2024 (l) |
|
|
|
|
3,788 |
|
|
|
|
|
4,132 |
|
|
| Community Health Systems, Inc. |
|
| 5.125% due 08/01/2021 |
|
|
|
|
106 |
|
|
|
|
|
106 |
|
| 6.250% due 03/31/2023 (l) |
|
|
|
|
16,432 |
|
|
|
|
|
16,802 |
|
| 6.625% due 02/15/2025 (c) |
|
|
|
|
76 |
|
|
|
|
|
77 |
|
| 8.000% due 03/15/2026 |
|
|
|
|
3,672 |
|
|
|
|
|
3,834 |
|
| 8.625% due 01/15/2024 |
|
|
|
|
1,445 |
|
|
|
|
|
1,539 |
|
|
| Connect Finco SARL |
|
| 6.750% due 10/01/2026 |
|
|
|
|
126 |
|
|
|
|
|
134 |
|
|
| Corning, Inc. |
|
| 5.450% due 11/15/2079 |
|
|
|
|
157 |
|
|
|
|
|
181 |
|
|
| CSC Holdings LLC |
|
| 6.500% due 02/01/2029 |
|
|
|
|
300 |
|
|
|
|
|
336 |
|
|
| Dealer Tire LLC |
|
| 8.000% due 02/01/2028 (c) |
|
|
|
|
64 |
|
|
|
|
|
65 |
|
|
| Dell International LLC |
|
| 6.020% due 06/15/2026 (l) |
|
|
|
|
5,180 |
|
|
|
|
|
6,055 |
|
|
| Diamond Resorts International, Inc. |
|
| 7.750% due 09/01/2023 |
|
|
|
|
1,628 |
|
|
|
|
|
1,678 |
|
| 10.750% due 09/01/2024 (l) |
|
|
|
|
4,300 |
|
|
|
|
|
4,485 |
|
|
| DriveTime Automotive Group, Inc. |
|
| 8.000% due 06/01/2021 (l) |
|
|
|
|
14,929 |
|
|
|
|
|
15,144 |
|
|
| Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
|
| 7.750% due 05/15/2022 (d) |
|
|
|
|
35 |
|
|
|
|
|
35 |
|
|
| EI Group PLC |
|
| 6.375% due 09/26/2031 |
|
GBP |
|
|
1,000 |
|
|
|
|
|
1,340 |
|
|
| Eldorado Resorts, Inc. |
|
| 6.000% due 09/15/2026 |
|
$ |
|
|
4,400 |
|
|
|
|
|
4,832 |
|
|
| Energy Transfer Operating LP |
|
| 2.900% due 05/15/2025 |
|
|
|
|
80 |
|
|
|
|
|
81 |
|
| 3.750% due 05/15/2030 |
|
|
|
|
176 |
|
|
|
|
|
180 |
|
| 5.000% due 05/15/2050 |
|
|
|
|
160 |
|
|
|
|
|
165 |
|
|
| Envision Healthcare Corp. |
|
| 8.750% due 10/15/2026 |
|
|
|
|
4,951 |
|
|
|
|
|
3,000 |
|
|
| Exela Intermediate LLC |
|
| 10.000% due 07/15/2023 |
|
|
|
|
217 |
|
|
|
|
|
84 |
|
|
| Fair Isaac Corp. |
|
| 4.000% due 06/15/2028 |
|
|
|
|
20 |
|
|
|
|
|
20 |
|
|
| Ferroglobe PLC |
|
| 9.375% due 03/01/2022 |
|
|
|
|
2,500 |
|
|
|
|
|
1,882 |
|
|
| First Quantum Minerals Ltd. |
|
| 6.500% due 03/01/2024 |
|
|
|
|
3,088 |
|
|
|
|
|
2,981 |
|
| 6.875% due 03/01/2026 |
|
|
|
|
2,082 |
|
|
|
|
|
2,003 |
|
| 7.000% due 02/15/2021 |
|
|
|
|
318 |
|
|
|
|
|
318 |
|
|
|
|
|
|
|
|
|
|
| 24 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Flex Ltd. |
|
| 4.875% due 06/15/2029 |
|
$ |
|
|
170 |
|
|
$ |
|
|
191 |
|
|
| Ford Motor Co. |
|
| 7.700% due 05/15/2097 (l) |
|
|
|
|
29,796 |
|
|
|
|
|
35,656 |
|
|
| Fresh Market, Inc. |
|
| 9.750% due 05/01/2023 |
|
|
|
|
12,200 |
|
|
|
|
|
6,039 |
|
|
| Frontier Finance PLC |
|
| 8.000% due 03/23/2022 |
|
GBP |
|
|
8,800 |
|
|
|
|
|
11,976 |
|
|
| Full House Resorts, Inc. |
|
| 8.575% due 01/31/2024 |
|
$ |
|
|
684 |
|
|
|
|
|
673 |
|
| 9.738% due 02/02/2024 |
|
|
|
|
58 |
|
|
|
|
|
57 |
|
|
| Garda World Security Corp. |
|
| 4.625% due 02/15/2027 |
|
|
|
|
193 |
|
|
|
|
|
192 |
|
|
| General Electric Co. |
|
| 5.875% due 01/14/2038 |
|
|
|
|
22 |
|
|
|
|
|
28 |
|
| 6.150% due 08/07/2037 |
|
|
|
|
82 |
|
|
|
|
|
108 |
|
| 6.875% due 01/10/2039 |
|
|
|
|
16 |
|
|
|
|
|
23 |
|
|
| Greene King Finance PLC |
|
| 5.702% due 12/15/2034 |
|
GBP |
|
|
350 |
|
|
|
|
|
431 |
|
|
| HCA, Inc. |
|
| 7.500% due 11/15/2095 |
|
$ |
|
|
4,800 |
|
|
|
|
|
5,920 |
|
|
| iHeartCommunications, Inc. |
|
| 6.375% due 05/01/2026 |
|
|
|
|
2,493 |
|
|
|
|
|
2,697 |
|
| 8.375% due 05/01/2027 |
|
|
|
|
3,089 |
|
|
|
|
|
3,364 |
|
|
| IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK) |
|
| 3.625% due 05/15/2025 (d) |
|
EUR |
|
|
500 |
|
|
|
|
|
571 |
|
|
| IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) |
|
| 3.875% due 05/15/2027 (d) |
|
|
|
|
300 |
|
|
|
|
|
345 |
|
|
| IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
|
| 6.000% due 05/15/2027 (d) |
|
$ |
|
|
974 |
|
|
|
|
|
1,038 |
|
|
| IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK) |
|
| 6.375% due 05/15/2029 (d) |
|
|
|
|
718 |
|
|
|
|
|
785 |
|
|
| Intelsat Connect Finance S.A. |
|
| 9.500% due 02/15/2023 |
|
|
|
|
196 |
|
|
|
|
|
104 |
|
|
| Intelsat Jackson Holdings S.A. |
|
| 5.500% due 08/01/2023 |
|
|
|
|
2,220 |
|
|
|
|
|
1,819 |
|
| 8.000% due 02/15/2024 |
|
|
|
|
156 |
|
|
|
|
|
160 |
|
| 8.500% due 10/15/2024 |
|
|
|
|
1,828 |
|
|
|
|
|
1,548 |
|
| 9.750% due 07/15/2025 |
|
|
|
|
1,584 |
|
|
|
|
|
1,371 |
|
|
| Intelsat Luxembourg S.A. |
|
| 7.750% due 06/01/2021 ^ |
|
|
|
|
20,100 |
|
|
|
|
|
13,065 |
|
| 8.125% due 06/01/2023 (l) |
|
|
|
|
1,939 |
|
|
|
|
|
805 |
|
|
| Kinder Morgan, Inc. |
|
| 7.750% due 01/15/2032 |
|
|
|
|
3,100 |
|
|
|
|
|
4,324 |
|
| 7.800% due 08/01/2031 (l) |
|
|
|
|
6,000 |
|
|
|
|
|
8,310 |
|
|
| Lamar Media Corp. |
|
| 3.750% due 02/15/2028 (c) |
|
|
|
|
125 |
|
|
|
|
|
126 |
|
| 4.000% due 02/15/2030 (c) |
|
|
|
|
53 |
|
|
|
|
|
54 |
|
|
| Laredo Petroleum, Inc. |
|
| 9.500% due 01/15/2025 |
|
|
|
|
57 |
|
|
|
|
|
52 |
|
| 10.125% due 01/15/2028 |
|
|
|
|
80 |
|
|
|
|
|
72 |
|
|
| Mallinckrodt International Finance S.A. |
|
| 5.500% due 04/15/2025 (l) |
|
|
|
|
2,142 |
|
|
|
|
|
787 |
|
|
| Mattel, Inc. |
|
| 5.875% due 12/15/2027 |
|
|
|
|
40 |
|
|
|
|
|
42 |
|
|
| MEG Energy Corp. |
|
| 7.125% due 02/01/2027 |
|
|
|
|
160 |
|
|
|
|
|
159 |
|
|
| Melco Resorts Finance Ltd. |
|
| 5.375% due 12/04/2029 |
|
|
|
|
1,830 |
|
|
|
|
|
1,835 |
|
| 5.625% due 07/17/2027 |
|
|
|
|
400 |
|
|
|
|
|
406 |
|
|
| MGM China Holdings Ltd. |
|
| 5.875% due 05/15/2026 |
|
|
|
|
200 |
|
|
|
|
|
207 |
|
|
| Micron Technology, Inc. |
|
| 5.327% due 02/06/2029 |
|
|
|
|
330 |
|
|
|
|
|
387 |
|
|
| NCL Corp. Ltd. |
|
| 3.625% due 12/15/2024 |
|
|
|
|
152 |
|
|
|
|
|
151 |
|
|
| NCR Corp. |
|
| 5.750% due 09/01/2027 |
|
|
|
|
3 |
|
|
|
|
|
3 |
|
|
| Netflix, Inc. |
|
| 3.625% due 06/15/2030 |
|
EUR |
|
|
400 |
|
|
|
|
|
461 |
|
| 3.875% due 11/15/2029 |
|
|
|
|
1,333 |
|
|
|
|
|
1,563 |
|
| 4.625% due 05/15/2029 |
|
|
|
|
500 |
|
|
|
|
|
619 |
|
| 4.875% due 06/15/2030 |
|
$ |
|
|
300 |
|
|
|
|
|
313 |
|
| 5.375% due 11/15/2029 |
|
|
|
|
130 |
|
|
|
|
|
142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Noble Holding International Ltd. |
|
| 7.875% due 02/01/2026 |
|
$ |
|
|
536 |
|
|
$ |
|
|
385 |
|
|
| Odebrecht Oil & Gas Finance Ltd. |
|
| 0.000% due 03/02/2020 (h)(i) |
|
|
|
|
1,279 |
|
|
|
|
|
12 |
|
|
| Ortho-Clinical Diagnostics, Inc. |
|
| 6.625% due 05/15/2022 |
|
|
|
|
1,713 |
|
|
|
|
|
1,711 |
|
| 7.250% due 02/01/2028 |
|
|
|
|
2,012 |
|
|
|
|
|
2,053 |
|
|
| Pacific Drilling SA |
|
| 8.375% due 10/01/2023 |
|
|
|
|
683 |
|
|
|
|
|
575 |
|
|
| Pan American Energy LLC |
|
| 40.063% (BADLARPP) due 11/20/2020 «~ |
|
ARS |
|
|
57,610 |
|
|
|
|
|
659 |
|
|
| Par Pharmaceutical, Inc. |
|
| 7.500% due 04/01/2027 |
|
$ |
|
|
232 |
|
|
|
|
|
237 |
|
|
| Pelabuhan Indonesia Persero PT |
|
| 4.500% due 05/02/2023 |
|
|
|
|
200 |
|
|
|
|
|
212 |
|
|
| Petroleos Mexicanos |
|
| 2.750% due 04/21/2027 |
|
EUR |
|
|
400 |
|
|
|
|
|
430 |
|
| 4.750% due 02/26/2029 |
|
|
|
|
3,519 |
|
|
|
|
|
4,178 |
|
| 4.875% due 02/21/2028 (l) |
|
|
|
|
7,947 |
|
|
|
|
|
9,532 |
|
| 5.350% due 02/12/2028 |
|
$ |
|
|
1,406 |
|
|
|
|
|
1,430 |
|
| 5.950% due 01/28/2031 |
|
|
|
|
402 |
|
|
|
|
|
407 |
|
| 6.490% due 01/23/2027 |
|
|
|
|
160 |
|
|
|
|
|
174 |
|
| 6.500% due 03/13/2027 |
|
|
|
|
13,470 |
|
|
|
|
|
14,642 |
|
| 6.750% due 09/21/2047 |
|
|
|
|
90 |
|
|
|
|
|
91 |
|
| 6.840% due 01/23/2030 |
|
|
|
|
470 |
|
|
|
|
|
510 |
|
| 6.950% due 01/28/2060 |
|
|
|
|
660 |
|
|
|
|
|
671 |
|
| 7.690% due 01/23/2050 |
|
|
|
|
240 |
|
|
|
|
|
265 |
|
|
| PetSmart, Inc. |
|
| 5.875% due 06/01/2025 |
|
|
|
|
167 |
|
|
|
|
|
172 |
|
|
| Platin 1426 GmbH |
|
| 5.375% due 06/15/2023 |
|
EUR |
|
|
3,000 |
|
|
|
|
|
3,321 |
|
| 6.875% due 06/15/2023 |
|
|
|
|
900 |
|
|
|
|
|
1,020 |
|
|
| Prime Security Services Borrower LLC |
|
| 6.250% due 01/15/2028 |
|
$ |
|
|
210 |
|
|
|
|
|
209 |
|
| 9.250% due 05/15/2023 |
|
|
|
|
926 |
|
|
|
|
|
972 |
|
|
| PTC, Inc. |
|
| 3.625% due 02/15/2025 (c) |
|
|
|
|
65 |
|
|
|
|
|
66 |
|
| 4.000% due 02/15/2028 (c) |
|
|
|
|
32 |
|
|
|
|
|
32 |
|
|
| QVC, Inc. |
|
| 5.950% due 03/15/2043 |
|
|
|
|
4,866 |
|
|
|
|
|
4,949 |
|
|
| Radiate Holdco LLC |
|
| 6.875% due 02/15/2023 |
|
|
|
|
7 |
|
|
|
|
|
7 |
|
|
| Radiology Partners, Inc. |
|
| 9.250% due 02/01/2028 |
|
|
|
|
128 |
|
|
|
|
|
134 |
|
|
| Range Resources Corp. |
|
| 9.250% due 02/01/2026 |
|
|
|
|
96 |
|
|
|
|
|
85 |
|
|
| Refinitiv U.S. Holdings, Inc. |
|
| 4.500% due 05/15/2026 |
|
EUR |
|
|
400 |
|
|
|
|
|
483 |
|
|
| Russian Railways via RZD Capital PLC |
|
| 7.487% due 03/25/2031 |
|
GBP |
|
|
1,500 |
|
|
|
|
|
2,797 |
|
|
| Sands China Ltd. |
|
| 4.600% due 08/08/2023 |
|
$ |
|
|
400 |
|
|
|
|
|
424 |
|
| 5.125% due 08/08/2025 |
|
|
|
|
400 |
|
|
|
|
|
443 |
|
| 5.400% due 08/08/2028 (l) |
|
|
|
|
5,000 |
|
|
|
|
|
5,696 |
|
|
| Sealed Air Corp. |
|
| 4.000% due 12/01/2027 |
|
|
|
|
19 |
|
|
|
|
|
19 |
|
|
| Sensata Technologies, Inc. |
|
| 4.375% due 02/15/2030 |
|
|
|
|
64 |
|
|
|
|
|
65 |
|
|
| Silgan Holdings, Inc. |
|
| 4.125% due 02/01/2028 |
|
|
|
|
4 |
|
|
|
|
|
4 |
|
|
| Spanish Broadcasting System, Inc. |
|
| 12.500% due 04/15/2049 ^(e) |
|
|
|
|
999 |
|
|
|
|
|
1,043 |
|
|
| Spirit Issuer PLC |
|
| 3.492% (BP0003M + 2.700%) due 12/28/2031 ~ |
|
GBP |
|
|
1,855 |
|
|
|
|
|
2,429 |
|
|
| Staples, Inc. |
|
| 7.500% due 04/15/2026 |
|
$ |
|
|
27 |
|
|
|
|
|
28 |
|
|
| Station Casinos LLC |
|
| 4.500% due 02/15/2028 (c) |
|
|
|
|
129 |
|
|
|
|
|
129 |
|
|
| Syngenta Finance NV |
|
| 4.892% due 04/24/2025 |
|
|
|
|
200 |
|
|
|
|
|
219 |
|
| 5.182% due 04/24/2028 |
|
|
|
|
200 |
|
|
|
|
|
225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| TEGNA, Inc. |
|
| 4.625% due 03/15/2028 |
|
$ |
|
|
385 |
|
|
$ |
|
|
388 |
|
|
| Telesat Canada |
|
| 4.875% due 06/01/2027 |
|
|
|
|
70 |
|
|
|
|
|
72 |
|
|
| Tenet Healthcare Corp. |
|
| 4.625% due 09/01/2024 |
|
|
|
|
33 |
|
|
|
|
|
34 |
|
|
| Teva Pharmaceutical Finance BV |
|
| 3.650% due 11/10/2021 |
|
|
|
|
2,220 |
|
|
|
|
|
2,199 |
|
|
| Teva Pharmaceutical Finance Co. BV |
|
| 2.950% due 12/18/2022 |
|
|
|
|
2,369 |
|
|
|
|
|
2,278 |
|
|
| Teva Pharmaceutical Finance Netherlands BV |
|
| 0.375% due 07/25/2020 |
|
EUR |
|
|
4,117 |
|
|
|
|
|
4,554 |
|
| 2.200% due 07/21/2021 |
|
$ |
|
|
884 |
|
|
|
|
|
872 |
|
| 2.800% due 07/21/2023 |
|
|
|
|
3,710 |
|
|
|
|
|
3,457 |
|
| 3.250% due 04/15/2022 (l) |
|
EUR |
|
|
700 |
|
|
|
|
|
783 |
|
| 6.000% due 01/31/2025 |
|
|
|
|
200 |
|
|
|
|
|
238 |
|
|
| Topaz Solar Farms LLC |
|
| 4.875% due 09/30/2039 |
|
$ |
|
|
3,473 |
|
|
|
|
|
3,723 |
|
| 5.750% due 09/30/2039 |
|
|
|
|
19,184 |
|
|
|
|
|
22,032 |
|
|
| TransDigm, Inc. |
|
| 5.500% due 11/15/2027 |
|
|
|
|
236 |
|
|
|
|
|
238 |
|
|
| Transocean Pontus Ltd. |
|
| 6.125% due 08/01/2025 |
|
|
|
|
267 |
|
|
|
|
|
276 |
|
|
| Transocean, Inc. |
|
| 7.250% due 11/01/2025 |
|
|
|
|
216 |
|
|
|
|
|
204 |
|
| 8.000% due 02/01/2027 |
|
|
|
|
372 |
|
|
|
|
|
347 |
|
|
| Trident TPI Holdings, Inc. |
|
| 9.250% due 08/01/2024 |
|
|
|
|
39 |
|
|
|
|
|
40 |
|
|
| Triumph Group, Inc. |
|
| 5.250% due 06/01/2022 |
|
|
|
|
51 |
|
|
|
|
|
50 |
|
| 6.250% due 09/15/2024 |
|
|
|
|
152 |
|
|
|
|
|
158 |
|
|
| Unigel Luxembourg S.A. |
|
| 8.750% due 10/01/2026 |
|
|
|
|
300 |
|
|
|
|
|
312 |
|
|
| United Group BV |
|
| 3.125% due 02/15/2026 (c) |
|
EUR |
|
|
500 |
|
|
|
|
|
551 |
|
| 3.250% due 02/15/2026 •(c) |
|
|
|
|
200 |
|
|
|
|
|
223 |
|
| 3.625% due 02/15/2028 (c) |
|
|
|
|
600 |
|
|
|
|
|
661 |
|
| 4.375% due 07/01/2022 |
|
|
|
|
6,700 |
|
|
|
|
|
7,594 |
|
| 4.875% due 07/01/2024 |
|
|
|
|
200 |
|
|
|
|
|
230 |
|
|
| Univision Communications, Inc. |
|
| 5.125% due 02/15/2025 |
|
$ |
|
|
3,900 |
|
|
|
|
|
3,900 |
|
|
| Valaris PLC |
|
| 5.750% due 10/01/2044 |
|
|
|
|
184 |
|
|
|
|
|
77 |
|
| 7.750% due 02/01/2026 |
|
|
|
|
24 |
|
|
|
|
|
12 |
|
|
| Vale Overseas Ltd. |
|
| 6.250% due 08/10/2026 |
|
|
|
|
579 |
|
|
|
|
|
686 |
|
| 6.875% due 11/21/2036 |
|
|
|
|
320 |
|
|
|
|
|
422 |
|
| 6.875% due 11/10/2039 |
|
|
|
|
90 |
|
|
|
|
|
120 |
|
|
| Vale S.A. |
|
| 3.750% due 01/10/2023 |
|
EUR |
|
|
100 |
|
|
|
|
|
121 |
|
|
| ViaSat, Inc. |
|
| 5.625% due 09/15/2025 |
|
$ |
|
|
158 |
|
|
|
|
|
161 |
|
| 5.625% due 04/15/2027 |
|
|
|
|
28 |
|
|
|
|
|
29 |
|
|
| Western Midstream Operating LP |
|
| 2.698% (US0003M + 0.850%) due 01/13/2023 ~ |
|
|
|
|
96 |
|
|
|
|
|
96 |
|
| 3.100% due 02/01/2025 |
|
|
|
|
64 |
|
|
|
|
|
64 |
|
| 4.050% due 02/01/2030 |
|
|
|
|
64 |
|
|
|
|
|
64 |
|
| 5.250% due 02/01/2050 |
|
|
|
|
64 |
|
|
|
|
|
61 |
|
|
| WPX Energy, Inc. |
|
| 4.500% due 01/15/2030 |
|
|
|
|
144 |
|
|
|
|
|
145 |
|
|
| Wyndham Destinations, Inc. |
|
| 3.900% due 03/01/2023 |
|
|
|
|
155 |
|
|
|
|
|
157 |
|
| 4.625% due 03/01/2030 |
|
|
|
|
95 |
|
|
|
|
|
98 |
|
| 5.400% due 04/01/2024 |
|
|
|
|
20 |
|
|
|
|
|
21 |
|
| 5.750% due 04/01/2027 |
|
|
|
|
1,535 |
|
|
|
|
|
1,679 |
|
|
| Wynn Macau Ltd. |
|
| 5.125% due 12/15/2029 |
|
|
|
|
1,000 |
|
|
|
|
|
993 |
|
| 5.500% due 10/01/2027 |
|
|
|
|
600 |
|
|
|
|
|
612 |
|
|
| YPF S.A. |
|
| 48.005% (BADLARPP + 4.000%) due 09/24/2020 «~ |
|
ARS |
|
|
11,480 |
|
|
|
|
|
127 |
|
| 52.818% (BADLARPP + 6.000%) due 03/04/2021 «~(a) |
|
|
|
|
15,730 |
|
|
|
|
|
187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
342,443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
25 |
Schedule of Investments PIMCO
Corporate & Income Opportunity Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| UTILITIES 8.1% |
|
|
| Centrais Eletricas Brasileiras S.A. |
|
| 3.625% due 02/04/2025 (c) |
|
$ |
|
|
200 |
|
|
$ |
|
|
202 |
|
| 4.625% due 02/04/2030 (c) |
|
|
|
|
200 |
|
|
|
|
|
203 |
|
|
| CenturyLink, Inc. |
|
| 4.000% due 02/15/2027 |
|
|
|
|
128 |
|
|
|
|
|
129 |
|
|
| DTEK Finance PLC (10.750% Cash and 0.000% PIK) |
|
| 10.750% due 12/31/2024 (d) |
|
|
|
|
3,986 |
|
|
|
|
|
4,146 |
|
|
| Edison International |
|
| 2.400% due 09/15/2022 |
|
|
|
|
126 |
|
|
|
|
|
127 |
|
| 2.950% due 03/15/2023 |
|
|
|
|
11 |
|
|
|
|
|
11 |
|
| 3.125% due 11/15/2022 |
|
|
|
|
142 |
|
|
|
|
|
145 |
|
| 3.550% due 11/15/2024 |
|
|
|
|
157 |
|
|
|
|
|
165 |
|
| 5.750% due 06/15/2027 |
|
|
|
|
121 |
|
|
|
|
|
140 |
|
|
| Frontier Communications Corp. |
|
| 8.000% due 04/01/2027 |
|
|
|
|
226 |
|
|
|
|
|
236 |
|
|
| Mountain States Telephone & Telegraph Co. |
|
| 7.375% due 05/01/2030 |
|
|
|
|
8,511 |
|
|
|
|
|
9,270 |
|
|
| Odebrecht Drilling Norbe Ltd. |
|
| 6.350% due 12/01/2021 ^ |
|
|
|
|
329 |
|
|
|
|
|
330 |
|
|
| Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
|
| 7.350% due 12/01/2026 ^(d) |
|
|
|
|
313 |
|
|
|
|
|
184 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. |
|
| 6.720% due 12/01/2022 ^ |
|
|
|
|
6,300 |
|
|
|
|
|
6,269 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
|
| 7.720% due 12/01/2026 ^(d) |
|
|
|
|
7,953 |
|
|
|
|
|
1,988 |
|
|
| Pacific Gas & Electric Co. |
|
| 2.450% due 08/15/2022 ^(e) |
|
|
|
|
766 |
|
|
|
|
|
812 |
|
| 2.950% due 03/01/2026 ^(e) |
|
|
|
|
1,422 |
|
|
|
|
|
1,461 |
|
| 3.250% due 09/15/2021 ^(e) |
|
|
|
|
180 |
|
|
|
|
|
191 |
|
| 3.300% due 03/15/2027 ^(e) |
|
|
|
|
4,507 |
|
|
|
|
|
4,710 |
|
| 3.300% due 12/01/2027 ^(e) |
|
|
|
|
2,610 |
|
|
|
|
|
2,711 |
|
| 3.400% due 08/15/2024 ^(e) |
|
|
|
|
710 |
|
|
|
|
|
753 |
|
| 3.500% due 06/15/2025 ^(e) |
|
|
|
|
1,489 |
|
|
|
|
|
1,571 |
|
| 3.750% due 02/15/2024 ^(e) |
|
|
|
|
443 |
|
|
|
|
|
474 |
|
| 3.750% due 08/15/2042 ^(e) |
|
|
|
|
46 |
|
|
|
|
|
46 |
|
| 3.850% due 11/15/2023 ^(e) |
|
|
|
|
717 |
|
|
|
|
|
769 |
|
| 4.000% due 12/01/2046 ^(e) |
|
|
|
|
6 |
|
|
|
|
|
6 |
|
| 4.250% due 05/15/2021 ^(e) |
|
|
|
|
1,909 |
|
|
|
|
|
2,029 |
|
| 4.300% due 03/15/2045 ^(e) |
|
|
|
|
57 |
|
|
|
|
|
60 |
|
| 4.500% due 12/15/2041 ^(e) |
|
|
|
|
65 |
|
|
|
|
|
71 |
|
| 4.600% due 06/15/2043 ^(e) |
|
|
|
|
36 |
|
|
|
|
|
40 |
|
| 4.650% due 08/01/2028 ^(e) |
|
|
|
|
1,989 |
|
|
|
|
|
2,313 |
|
| 4.750% due 02/15/2044 ^(e) |
|
|
|
|
1,650 |
|
|
|
|
|
1,877 |
|
| 5.125% due 11/15/2043 ^(e) |
|
|
|
|
2,822 |
|
|
|
|
|
3,220 |
|
| 5.400% due 01/15/2040 ^(e) |
|
|
|
|
36 |
|
|
|
|
|
42 |
|
| 5.800% due 03/01/2037 ^(e) |
|
|
|
|
8,363 |
|
|
|
|
|
9,639 |
|
| 6.050% due 03/01/2034 ^(e) |
|
|
|
|
4,549 |
|
|
|
|
|
5,240 |
|
| 6.250% due 03/01/2039 ^(e) |
|
|
|
|
1,376 |
|
|
|
|
|
1,584 |
|
| 6.350% due 02/15/2038 ^(e) |
|
|
|
|
1,751 |
|
|
|
|
|
2,028 |
|
|
| Petrobras Global Finance BV |
|
| 5.093% due 01/15/2030 |
|
|
|
|
1,272 |
|
|
|
|
|
1,397 |
|
| 6.250% due 12/14/2026 (l) |
|
GBP |
|
|
4,976 |
|
|
|
|
|
7,872 |
|
| 6.625% due 01/16/2034 |
|
|
|
|
800 |
|
|
|
|
|
1,290 |
|
|
| Plains All American Pipeline LP |
|
| 6.650% due 01/15/2037 |
|
$ |
|
|
150 |
|
|
|
|
|
180 |
|
|
| RCS & RDS S.A. |
|
| 2.500% due 02/05/2025 (c) |
|
EUR |
|
|
400 |
|
|
|
|
|
445 |
|
|
| Rio Oil Finance Trust |
|
| 8.200% due 04/06/2028 |
|
$ |
|
|
4,060 |
|
|
|
|
|
4,762 |
|
| 9.250% due 07/06/2024 |
|
|
|
|
3,674 |
|
|
|
|
|
4,125 |
|
| 9.250% due 07/06/2024 (l) |
|
|
|
|
3,495 |
|
|
|
|
|
3,925 |
|
| 9.750% due 01/06/2027 |
|
|
|
|
507 |
|
|
|
|
|
601 |
|
|
| Southern California Edison Co. |
|
| 2.850% due 08/01/2029 |
|
|
|
|
32 |
|
|
|
|
|
33 |
|
| 3.650% due 03/01/2028 |
|
|
|
|
11 |
|
|
|
|
|
12 |
|
| 3.650% due 02/01/2050 |
|
|
|
|
64 |
|
|
|
|
|
67 |
|
| 4.125% due 03/01/2048 |
|
|
|
|
76 |
|
|
|
|
|
86 |
|
| 4.650% due 10/01/2043 |
|
|
|
|
1,110 |
|
|
|
|
|
1,329 |
|
| 4.875% due 03/01/2049 |
|
|
|
|
316 |
|
|
|
|
|
391 |
|
| 5.750% due 04/01/2035 |
|
|
|
|
22 |
|
|
|
|
|
29 |
|
| 6.000% due 01/15/2034 |
|
|
|
|
34 |
|
|
|
|
|
46 |
|
| 6.650% due 04/01/2029 |
|
|
|
|
142 |
|
|
|
|
|
179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Southern California Gas Co. |
|
| 2.550% due 02/01/2030 |
|
$ |
|
|
160 |
|
|
$ |
|
|
165 |
|
|
| Sprint Communications, Inc. |
|
| 6.000% due 11/15/2022 |
|
|
|
|
908 |
|
|
|
|
|
939 |
|
| 11.500% due 11/15/2021 |
|
|
|
|
200 |
|
|
|
|
|
223 |
|
|
| Sprint Corp. |
|
| 7.125% due 06/15/2024 |
|
|
|
|
1,395 |
|
|
|
|
|
1,444 |
|
| 7.250% due 09/15/2021 |
|
|
|
|
2,101 |
|
|
|
|
|
2,207 |
|
| 7.250% due 02/01/2028 (c) |
|
|
|
|
661 |
|
|
|
|
|
656 |
|
| 7.625% due 03/01/2026 |
|
|
|
|
2,182 |
|
|
|
|
|
2,281 |
|
| 7.875% due 09/15/2023 |
|
|
|
|
10,903 |
|
|
|
|
|
11,606 |
|
|
| Talen Energy Supply LLC |
|
| 6.625% due 01/15/2028 |
|
|
|
|
64 |
|
|
|
|
|
64 |
|
|
| Transocean Phoenix Ltd. |
|
| 7.750% due 10/15/2024 |
|
|
|
|
2,037 |
|
|
|
|
|
2,165 |
|
|
| Transocean Poseidon Ltd. |
|
| 6.875% due 02/01/2027 |
|
|
|
|
238 |
|
|
|
|
|
249 |
|
|
| Transocean Proteus Ltd. |
|
| 6.250% due 12/01/2024 |
|
|
|
|
280 |
|
|
|
|
|
289 |
|
|
| Transocean Sentry Ltd. |
|
| 5.375% due 05/15/2023 |
|
|
|
|
100 |
|
|
|
|
|
101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
114,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds & Notes (Cost $698,757) |
|
|
737,024 |
|
|
|
|
|
|
|
|
| CONVERTIBLE BONDS & NOTES 0.6% |
|
|
|
| INDUSTRIALS 0.6% |
|
|
| Caesars Entertainment Corp. |
|
| 5.000% due 10/01/2024 |
|
|
|
|
1,050 |
|
|
|
|
|
2,030 |
|
|
| DISH Network Corp. |
|
| 3.375% due 08/15/2026 |
|
|
|
|
5,900 |
|
|
|
|
|
5,742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,772 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES 0.0% |
|
|
| Ensco Jersey Finance Ltd. |
|
| 3.000% due 01/31/2024 |
|
|
|
|
100 |
|
|
|
|
|
65 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Convertible Bonds & Notes (Cost $7,928) |
|
|
7,837 |
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS & NOTES 3.9% |
|
|
|
| CALIFORNIA 0.3% |
|
|
| Riverside County, California Redevelopment Successor Agency Tax Allocation Bonds, Series
2010 |
|
| 7.500% due 10/01/2030 |
|
|
|
|
3,425 |
|
|
|
|
|
3,554 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ILLINOIS 2.4% |
|
|
| Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 |
|
| 7.517% due 01/01/2040 |
|
|
|
|
23,700 |
|
|
|
|
|
31,686 |
|
|
| Chicago, Illinois General Obligation Bonds, Series 2015 |
|
| 7.750% due 01/01/2042 |
|
|
|
|
51 |
|
|
|
|
|
59 |
|
|
| Chicago, Illinois General Obligation Bonds, Series 2017 |
|
| 7.045% due 01/01/2029 |
|
|
|
|
200 |
|
|
|
|
|
231 |
|
|
| Illinois State General Obligation Bonds, (BABs), Series 2010 |
|
| 6.725% due 04/01/2035 |
|
|
|
|
60 |
|
|
|
|
|
73 |
|
| 7.350% due 07/01/2035 |
|
|
|
|
40 |
|
|
|
|
|
51 |
|
|
| Illinois State General Obligation Bonds, Series 2003 |
|
| 5.100% due 06/01/2033 |
|
|
|
|
1,035 |
|
|
|
|
|
1,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| IOWA 0.0% |
|
|
| Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005 |
|
| 6.500% due 06/01/2023 |
|
|
|
|
445 |
|
|
|
|
|
452 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| TEXAS 0.1% |
|
|
| Texas Public Finance Authority Revenue Notes, Series 2014 |
|
| 8.250% due 07/01/2024 |
|
$ |
|
|
1,865 |
|
|
$ |
|
|
1,902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| VIRGINIA 0.1% |
|
|
| Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
|
| 6.706% due 06/01/2046 |
|
|
|
|
1,360 |
|
|
|
|
|
1,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WEST VIRGINIA 1.0% |
|
|
| Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007 |
|
| 0.000% due 06/01/2047 (h) |
|
|
|
|
78,700 |
|
|
|
|
|
3,651 |
|
| 7.467% due 06/01/2047 |
|
|
|
|
10,085 |
|
|
|
|
|
10,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds & Notes (Cost $46,135) |
|
|
55,057 |
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCIES 3.3% |
|
|
| Fannie Mae |
|
| 3.000% due 01/25/2042 (a) |
|
|
|
|
713 |
|
|
|
|
|
31 |
|
| 3.500% due 02/25/2033 (a) |
|
|
|
|
2,010 |
|
|
|
|
|
216 |
|
| 4.439% due 07/25/2040 •(a) |
|
|
|
|
712 |
|
|
|
|
|
50 |
|
| 5.211% due 07/25/2029 • |
|
|
|
|
1,490 |
|
|
|
|
|
1,574 |
|
| 7.411% due 07/25/2029 • |
|
|
|
|
2,010 |
|
|
|
|
|
2,419 |
|
|
| Freddie Mac |
|
| 0.000% due 02/25/2046 (b)(h) |
|
|
|
|
12,790 |
|
|
|
|
|
11,954 |
|
| 0.100% due 02/25/2046 (a) |
|
|
|
|
153,449 |
|
|
|
|
|
89 |
|
| 2.550% due 11/25/2055 «~ |
|
|
|
|
14,227 |
|
|
|
|
|
8,635 |
|
| 3.336% due 03/15/2043 |
|
|
|
|
403 |
|
|
|
|
|
405 |
|
| 3.500% due 10/15/2035 (a) |
|
|
|
|
2,423 |
|
|
|
|
|
274 |
|
| 5.178% due 07/15/2039 • |
|
|
|
|
2,207 |
|
|
|
|
|
2,525 |
|
| 5.360% due 02/15/2034 •(a) |
|
|
|
|
1,667 |
|
|
|
|
|
314 |
|
| 6.173% due 03/15/2044 • |
|
|
|
|
1,822 |
|
|
|
|
|
2,410 |
|
| 7.251% due 02/15/2036 • |
|
|
|
|
5,228 |
|
|
|
|
|
6,927 |
|
| 9.211% due 12/25/2027 • |
|
|
|
|
4,418 |
|
|
|
|
|
5,307 |
|
| 12.411% due 03/25/2025 • |
|
|
|
|
2,305 |
|
|
|
|
|
3,015 |
|
|
| Ginnie Mae |
|
| 3.000% due 12/20/2042 (a) |
|
|
|
|
74 |
|
|
|
|
|
3 |
|
| 3.500% due 09/16/2041 - 06/20/2042 (a) |
|
|
|
|
1,120 |
|
|
|
|
|
131 |
|
| 5.092% due 01/20/2042 •(a) |
|
|
|
|
1,831 |
|
|
|
|
|
307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Agencies (Cost $42,768) |
|
|
46,586 |
|
|
|
|
|
|
|
|
| NON-AGENCY MORTGAGE-BACKED SECURITIES 14.8% |
|
|
| Adjustable Rate Mortgage Trust |
|
| 2.001% due 05/25/2036 • |
|
|
|
|
1,688 |
|
|
|
|
|
929 |
|
| 2.811% due 01/25/2035 • |
|
|
|
|
4,499 |
|
|
|
|
|
4,261 |
|
|
| Banc of America Alternative Loan Trust |
|
| 6.000% due 01/25/2036 ^ |
|
|
|
|
155 |
|
|
|
|
|
155 |
|
| 6.000% due 04/25/2036 ^ |
|
|
|
|
2,394 |
|
|
|
|
|
2,452 |
|
|
| Banc of America Funding Trust |
|
| 5.500% due 01/25/2036 |
|
|
|
|
218 |
|
|
|
|
|
197 |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
505 |
|
|
|
|
|
492 |
|
|
| BCAP LLC Trust |
|
| 3.783% due 03/27/2036 ~ |
|
|
|
|
3,887 |
|
|
|
|
|
3,435 |
|
| 4.850% due 03/26/2037 þ |
|
|
|
|
1,421 |
|
|
|
|
|
1,733 |
|
| 7.000% due 12/26/2036 ~ |
|
|
|
|
3,853 |
|
|
|
|
|
3,754 |
|
|
| Bear Stearns ALT-A Trust |
|
| 3.656% due 08/25/2046 ^~ |
|
|
|
|
3,822 |
|
|
|
|
|
3,745 |
|
| 3.801% due 11/25/2036 ^~ |
|
|
|
|
663 |
|
|
|
|
|
554 |
|
| 3.943% due 08/25/2036 ^~ |
|
|
|
|
2,832 |
|
|
|
|
|
2,012 |
|
| 4.229% due 09/25/2035 ^~ |
|
|
|
|
894 |
|
|
|
|
|
740 |
|
| 4.327% due 11/25/2034 ~ |
|
|
|
|
207 |
|
|
|
|
|
207 |
|
|
| Bear Stearns Commercial Mortgage Securities Trust |
|
| 5.919% due 04/12/2038 ~ |
|
|
|
|
370 |
|
|
|
|
|
375 |
|
|
| Bear Stearns Mortgage Funding Trust |
|
| 7.500% due 08/25/2036 þ |
|
|
|
|
1,252 |
|
|
|
|
|
1,210 |
|
|
| CD Commercial Mortgage Trust |
|
| 5.398% due 12/11/2049 ~ |
|
|
|
|
3 |
|
|
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
| 26 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| CD Mortgage Trust |
|
| 5.688% due 10/15/2048 |
|
$ |
|
|
9,958 |
|
|
$ |
|
|
6,025 |
|
|
| Chase Mortgage Finance Trust |
|
| 3.794% due 12/25/2035 ^~ |
|
|
|
|
14 |
|
|
|
|
|
14 |
|
| 6.000% due 02/25/2037 ^ |
|
|
|
|
1,619 |
|
|
|
|
|
1,138 |
|
| 6.000% due 03/25/2037 ^ |
|
|
|
|
398 |
|
|
|
|
|
318 |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
1,413 |
|
|
|
|
|
1,129 |
|
|
| Citigroup Commercial Mortgage Trust |
|
| 5.775% due 12/10/2049 ~ |
|
|
|
|
640 |
|
|
|
|
|
410 |
|
|
| Citigroup Mortgage Loan Trust |
|
| 3.856% due 04/25/2037 ^~ |
|
|
|
|
2,685 |
|
|
|
|
|
2,412 |
|
| 4.125% due 11/25/2035 ~ |
|
|
|
|
16,218 |
|
|
|
|
|
12,695 |
|
| 4.425% due 03/25/2037 ^~ |
|
|
|
|
592 |
|
|
|
|
|
590 |
|
| 6.000% due 11/25/2036 ~ |
|
|
|
|
12,694 |
|
|
|
|
|
10,651 |
|
|
| CitiMortgage Alternative Loan Trust |
|
| 5.750% due 04/25/2037 ^ |
|
|
|
|
2,187 |
|
|
|
|
|
2,168 |
|
|
| Commercial Mortgage Loan Trust |
|
| 6.254% due 12/10/2049 ~ |
|
|
|
|
4,066 |
|
|
|
|
|
2,701 |
|
|
| Countrywide Alternative Loan Resecuritization Trust |
|
| 6.000% due 08/25/2037 ^~ |
|
|
|
|
1,882 |
|
|
|
|
|
1,466 |
|
|
| Countrywide Alternative Loan Trust |
|
| 1.864% due 03/20/2046 • |
|
|
|
|
4,549 |
|
|
|
|
|
4,214 |
|
| 2.201% due 08/25/2035 • |
|
|
|
|
302 |
|
|
|
|
|
209 |
|
| 3.589% due 04/25/2037 ^•(a) |
|
|
|
|
18,937 |
|
|
|
|
|
4,300 |
|
| 3.973% due 06/25/2037 ^~ |
|
|
|
|
2,464 |
|
|
|
|
|
2,367 |
|
| 5.250% due 05/25/2021 ^ |
|
|
|
|
8 |
|
|
|
|
|
8 |
|
| 5.500% due 03/25/2035 |
|
|
|
|
518 |
|
|
|
|
|
371 |
|
| 5.500% due 09/25/2035 ^ |
|
|
|
|
4,454 |
|
|
|
|
|
4,096 |
|
| 5.750% due 01/25/2035 |
|
|
|
|
454 |
|
|
|
|
|
469 |
|
| 5.750% due 02/25/2035 |
|
|
|
|
593 |
|
|
|
|
|
587 |
|
| 6.000% due 02/25/2035 |
|
|
|
|
677 |
|
|
|
|
|
674 |
|
| 6.000% due 04/25/2036 |
|
|
|
|
1,580 |
|
|
|
|
|
1,119 |
|
| 6.000% due 05/25/2036 ^ |
|
|
|
|
1,840 |
|
|
|
|
|
1,418 |
|
| 6.000% due 02/25/2037 |
|
|
|
|
2,079 |
|
|
|
|
|
1,706 |
|
| 6.000% due 02/25/2037 ^ |
|
|
|
|
653 |
|
|
|
|
|
401 |
|
| 6.000% due 04/25/2037 ^ |
|
|
|
|
5,693 |
|
|
|
|
|
4,025 |
|
| 6.000% due 08/25/2037 ^• |
|
|
|
|
8,624 |
|
|
|
|
|
7,139 |
|
| 6.250% due 10/25/2036 ^ |
|
|
|
|
2,205 |
|
|
|
|
|
1,867 |
|
| 6.250% due 12/25/2036 ^• |
|
|
|
|
3,180 |
|
|
|
|
|
2,261 |
|
| 6.500% due 08/25/2036 ^ |
|
|
|
|
813 |
|
|
|
|
|
487 |
|
| 6.500% due 09/25/2036 ^ |
|
|
|
|
397 |
|
|
|
|
|
320 |
|
| 15.543% due 02/25/2036 • |
|
|
|
|
1,509 |
|
|
|
|
|
2,107 |
|
|
| Countrywide Home Loan Mortgage Pass-Through Trust |
|
| 5.500% due 07/25/2037 ^ |
|
|
|
|
633 |
|
|
|
|
|
498 |
|
| 6.000% due 04/25/2036 ^ |
|
|
|
|
346 |
|
|
|
|
|
294 |
|
|
| Credit Suisse Mortgage Capital Mortgage-Backed Trust |
|
| 5.750% due 04/25/2036 ^ |
|
|
|
|
1,345 |
|
|
|
|
|
1,040 |
|
|
| Eurosail PLC |
|
| 2.150% due 06/13/2045 • |
|
GBP |
|
|
4,487 |
|
|
|
|
|
4,589 |
|
| 4.800% due 06/13/2045 • |
|
|
|
|
1,394 |
|
|
|
|
|
1,668 |
|
|
| GS Mortgage Securities Corp. Trust |
|
| 4.744% due 10/10/2032 ~ |
|
$ |
|
|
9,200 |
|
|
|
|
|
9,104 |
|
|
| GS Mortgage Securities Trust |
|
| 5.622% due 11/10/2039 |
|
|
|
|
1,154 |
|
|
|
|
|
904 |
|
|
| GSR Mortgage Loan Trust |
|
| 3.928% due 03/25/2037 ^~ |
|
|
|
|
2,093 |
|
|
|
|
|
1,832 |
|
| 4.217% due 11/25/2035 ^~ |
|
|
|
|
1,240 |
|
|
|
|
|
1,220 |
|
| 5.500% due 05/25/2036 ^ |
|
|
|
|
134 |
|
|
|
|
|
233 |
|
|
| HomeBanc Mortgage Trust |
|
| 2.461% due 03/25/2035 • |
|
|
|
|
166 |
|
|
|
|
|
154 |
|
|
| IndyMac Mortgage Loan Trust |
|
| 6.500% due 07/25/2037 ^ |
|
|
|
|
6,602 |
|
|
|
|
|
3,761 |
|
|
| JPMorgan Alternative Loan Trust |
|
| 3.491% due 03/25/2037 ~ |
|
|
|
|
7,217 |
|
|
|
|
|
7,104 |
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust |
|
| 5.411% due 05/15/2047 |
|
|
|
|
2,022 |
|
|
|
|
|
2,366 |
|
| 5.623% due 05/12/2045 |
|
|
|
|
192 |
|
|
|
|
|
175 |
|
|
| JPMorgan Mortgage Trust |
|
| 3.640% due 02/25/2036 ^~ |
|
|
|
|
1,311 |
|
|
|
|
|
1,082 |
|
| 4.024% due 01/25/2037 ^~ |
|
|
|
|
896 |
|
|
|
|
|
866 |
|
| 4.083% due 10/25/2035 ~ |
|
|
|
|
35 |
|
|
|
|
|
35 |
|
| 4.337% due 06/25/2036 ^~ |
|
|
|
|
735 |
|
|
|
|
|
660 |
|
|
| LB-UBS Commercial Mortgage Trust |
|
| 5.407% due 11/15/2038 ^ |
|
|
|
|
5,765 |
|
|
|
|
|
3,430 |
|
|
| Lehman Mortgage Trust |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
178 |
|
|
|
|
|
169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Lehman XS Trust |
|
| 1.881% due 06/25/2047 • |
|
$ |
|
|
2,731 |
|
|
$ |
|
|
2,519 |
|
|
| MASTR Alternative Loan Trust |
|
| 6.750% due 07/25/2036 |
|
|
|
|
3,277 |
|
|
|
|
|
2,144 |
|
|
| Merrill Lynch Mortgage Investors Trust |
|
| 4.081% due 03/25/2036 ^~ |
|
|
|
|
2,944 |
|
|
|
|
|
2,093 |
|
|
| Motel 6 Trust |
|
| 8.603% due 08/15/2024 • |
|
|
|
|
11,091 |
|
|
|
|
|
11,287 |
|
|
| RBSSP Resecuritization Trust |
|
| 1.881% due 10/27/2036 • |
|
|
|
|
3,609 |
|
|
|
|
|
932 |
|
| 2.032% due 08/27/2037 • |
|
|
|
|
8,000 |
|
|
|
|
|
3,595 |
|
|
| Residential Accredit Loans, Inc. Trust |
|
| 1.851% due 08/25/2036 ^• |
|
|
|
|
820 |
|
|
|
|
|
775 |
|
| 1.891% due 05/25/2037 ^• |
|
|
|
|
238 |
|
|
|
|
|
170 |
|
| 6.000% due 08/25/2036 ^ |
|
|
|
|
574 |
|
|
|
|
|
561 |
|
| 6.000% due 05/25/2037 ^ |
|
|
|
|
1,910 |
|
|
|
|
|
1,857 |
|
|
| Residential Asset Securitization Trust |
|
| 5.750% due 02/25/2036 ^ |
|
|
|
|
383 |
|
|
|
|
|
265 |
|
| 6.000% due 02/25/2037 ^ |
|
|
|
|
1,841 |
|
|
|
|
|
1,322 |
|
| 6.250% due 09/25/2037 ^ |
|
|
|
|
4,887 |
|
|
|
|
|
2,978 |
|
|
| Residential Funding Mortgage Securities, Inc. Trust |
|
| 4.426% due 02/25/2037 ~ |
|
|
|
|
2,475 |
|
|
|
|
|
2,083 |
|
|
| Structured Adjustable Rate Mortgage Loan Trust |
|
| 3.731% due 11/25/2036 ^~ |
|
|
|
|
3,490 |
|
|
|
|
|
3,356 |
|
| 3.856% due 01/25/2036 ^~ |
|
|
|
|
5,930 |
|
|
|
|
|
4,405 |
|
| 4.212% due 07/25/2035 ^~ |
|
|
|
|
1,568 |
|
|
|
|
|
1,492 |
|
|
| Structured Asset Mortgage Investments Trust |
|
| 1.781% due 08/25/2036 • |
|
|
|
|
168 |
|
|
|
|
|
156 |
|
|
| SunTrust Adjustable Rate Mortgage Loan Trust |
|
| 4.049% due 02/25/2037 ^~ |
|
|
|
|
457 |
|
|
|
|
|
439 |
|
| 4.117% due 02/25/2037 ^~ |
|
|
|
|
4,850 |
|
|
|
|
|
4,732 |
|
| 4.452% due 04/25/2037 ^~ |
|
|
|
|
462 |
|
|
|
|
|
387 |
|
|
| WaMu Mortgage Pass-Through Certificates Trust |
|
| 3.618% due 07/25/2037 ^~ |
|
|
|
|
651 |
|
|
|
|
|
602 |
|
| 3.688% due 10/25/2036 ^~ |
|
|
|
|
1,435 |
|
|
|
|
|
1,352 |
|
| 3.813% due 02/25/2037 ^~ |
|
|
|
|
966 |
|
|
|
|
|
934 |
|
| 3.990% due 07/25/2037 ^~ |
|
|
|
|
1,586 |
|
|
|
|
|
1,518 |
|
|
| Washington Mutual Mortgage Pass-Through Certificates Trust |
|
| 2.985% due 05/25/2047 ^• |
|
|
|
|
136 |
|
|
|
|
|
13 |
|
| 6.000% due 10/25/2035 ^ |
|
|
|
|
1,485 |
|
|
|
|
|
1,227 |
|
| 6.000% due 03/25/2036 ^ |
|
|
|
|
1,840 |
|
|
|
|
|
1,894 |
|
| 6.000% due 02/25/2037 |
|
|
|
|
4,312 |
|
|
|
|
|
3,973 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities (Cost
$189,776) |
|
|
208,360 |
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES 17.3% |
|
|
| Adagio CLO DAC |
|
| 0.000% due 04/30/2031 ~ |
|
EUR |
|
|
1,800 |
|
|
|
|
|
1,359 |
|
|
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
|
| 3.011% due 03/25/2033 • |
|
$ |
|
|
63 |
|
|
|
|
|
64 |
|
|
| Apidos CLO |
|
| 0.000% due 01/20/2031 ~ |
|
|
|
|
8,800 |
|
|
|
|
|
6,050 |
|
|
| Bear Stearns Asset-Backed Securities Trust |
|
| 2.061% due 04/25/2037 • |
|
|
|
|
13,180 |
|
|
|
|
|
10,821 |
|
|
| Belle Haven ABS CDO Ltd. |
|
| 2.539% due 07/05/2046 • |
|
|
|
|
324,260 |
|
|
|
|
|
454 |
|
|
| BlueMountain CLO Ltd. |
|
| 7.298% due 04/13/2027 • |
|
|
|
|
1,000 |
|
|
|
|
|
1,000 |
|
|
| California Street CLO Ltd. |
|
| 6.731% due 10/15/2025 • |
|
|
|
|
1,400 |
|
|
|
|
|
1,380 |
|
|
| Carlyle Global Market Strategies CLO Ltd. |
|
| 0.000% due 04/17/2031 ~ |
|
|
|
|
6,000 |
|
|
|
|
|
3,352 |
|
|
| CIFC Funding Ltd. |
|
| 0.000% due 04/24/2030 ~ |
|
|
|
|
4,100 |
|
|
|
|
|
1,996 |
|
| 0.000% due 10/22/2031 ~ |
|
|
|
|
3,000 |
|
|
|
|
|
1,301 |
|
|
| Citigroup Mortgage Loan Trust |
|
| 1.821% due 12/25/2036 • |
|
|
|
|
3,119 |
|
|
|
|
|
2,154 |
|
| 2.061% due 11/25/2046 • |
|
|
|
|
5,844 |
|
|
|
|
|
5,777 |
|
|
| Cork Street CLO Designated Activity Co. |
|
| 0.000% due 11/27/2028 ~ |
|
EUR |
|
|
2,667 |
|
|
|
|
|
2,831 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Countrywide Asset-Backed Certificates |
|
| 1.831% due 03/25/2037 • |
|
$ |
|
|
2,012 |
|
|
$ |
|
|
1,904 |
|
| 1.861% due 06/25/2047 ^• |
|
|
|
|
14,994 |
|
|
|
|
|
13,871 |
|
| 1.971% due 09/25/2037 ^• |
|
|
|
|
17,757 |
|
|
|
|
|
14,202 |
|
|
| Credit-Based Asset Servicing & Securitization LLC |
|
| 3.563% due 12/25/2035 ^þ |
|
|
|
|
21 |
|
|
|
|
|
22 |
|
|
| Dryden CLO Ltd. |
|
| 0.000% due 07/17/2031 ~ |
|
|
|
|
14,311 |
|
|
|
|
|
11,010 |
|
|
| First Franklin Mortgage Loan Trust |
|
| 1.821% due 10/25/2036 • |
|
|
|
|
4,390 |
|
|
|
|
|
3,445 |
|
|
| Flagship Credit Auto Trust |
|
| 0.000% due 05/15/2025 «(h) |
|
|
|
|
16 |
|
|
|
|
|
1,743 |
|
|
| Fremont Home Loan Trust |
|
| 1.811% due 01/25/2037 • |
|
|
|
|
6,522 |
|
|
|
|
|
3,747 |
|
| 1.981% due 02/25/2036 • |
|
|
|
|
12,163 |
|
|
|
|
|
7,911 |
|
|
| Glacier Funding CDO Ltd. |
|
| 2.172% due 08/04/2035 • |
|
|
|
|
7,822 |
|
|
|
|
|
1,884 |
|
|
| Grosvenor Place CLO BV |
|
| 0.000% due 04/30/2029 ~ |
|
EUR |
|
|
750 |
|
|
|
|
|
514 |
|
|
| Home Equity Mortgage Loan Asset-Backed Trust |
|
| 1.821% due 07/25/2037 • |
|
$ |
|
|
3,130 |
|
|
|
|
|
2,122 |
|
|
| Hyundai Auto Receivables Trust |
|
| 1.000% due 12/15/2022 « |
|
|
|
|
7,010 |
|
|
|
|
|
5,359 |
|
|
| JPMorgan Mortgage Acquisition Trust |
|
| 5.830% due 07/25/2036 ^þ |
|
|
|
|
123 |
|
|
|
|
|
60 |
|
|
| Lehman XS Trust |
|
| 6.290% due 06/24/2046 þ |
|
|
|
|
2,199 |
|
|
|
|
|
2,206 |
|
|
| LNR CDO Ltd. |
|
| 2.758% due 02/28/2043 • |
|
|
|
|
4,976 |
|
|
|
|
|
735 |
|
|
| Long Beach Mortgage Loan Trust |
|
| 1.961% due 01/25/2036 • |
|
|
|
|
6,523 |
|
|
|
|
|
6,225 |
|
|
| Marlette Funding Trust |
|
| 0.000% due 09/17/2029 «(h) |
|
|
|
|
15 |
|
|
|
|
|
5,383 |
|
|
| Merrill Lynch Mortgage Investors Trust |
|
| 5.895% due 03/25/2037 þ |
|
|
|
|
6,830 |
|
|
|
|
|
2,617 |
|
|
| Morgan Stanley ABS Capital, Inc. Trust |
|
| 1.811% due 10/25/2036 • |
|
|
|
|
7,267 |
|
|
|
|
|
4,700 |
|
|
| Morgan Stanley Mortgage Loan Trust |
|
| 6.250% due 02/25/2037 ^~ |
|
|
|
|
1,143 |
|
|
|
|
|
799 |
|
|
| N-Star REL CDO Ltd. |
|
| 2.940% due 02/01/2041 • |
|
|
|
|
847 |
|
|
|
|
|
790 |
|
|
| Park Place Securities, Inc. Asset-Backed
Pass-Through Certificates |
|
| 2.636% due 07/25/2035 • |
|
|
|
|
6,000 |
|
|
|
|
|
5,716 |
|
|
| Renaissance Home Equity Loan Trust |
|
| 5.612% due 04/25/2037 þ |
|
|
|
|
11,504 |
|
|
|
|
|
5,102 |
|
| 7.238% due 09/25/2037 ^þ |
|
|
|
|
9,028 |
|
|
|
|
|
5,264 |
|
|
| Residential Asset Securities Corp. Trust |
|
| 2.241% due 08/25/2034 • |
|
|
|
|
7,559 |
|
|
|
|
|
6,848 |
|
|
| Securitized Asset-Backed Receivables LLC Trust |
|
| 1.941% due 03/25/2036 • |
|
|
|
|
10,833 |
|
|
|
|
|
9,038 |
|
|
| SLM Student Loan EDC Repackaging Trust |
|
| 0.000% due 10/28/2029 «(h) |
|
|
|
|
8 |
|
|
|
|
|
8,892 |
|
|
| SLM Student Loan Trust |
|
| 0.000% due 01/25/2042 «(h) |
|
|
|
|
7 |
|
|
|
|
|
4,603 |
|
|
| SMB Private Education Loan Trust |
|
| 0.000% due 09/18/2046 «(h) |
|
|
|
|
3 |
|
|
|
|
|
1,952 |
|
| 0.000% due 10/15/2048 «(h) |
|
|
|
|
3 |
|
|
|
|
|
2,362 |
|
|
| SoFi Consumer Loan Program LLC |
|
| 0.000% due 11/25/2026 «(h) |
|
|
|
|
96 |
|
|
|
|
|
4,557 |
|
|
| SoFi Professional Loan Program LLC |
|
| 0.000% due 05/25/2040 (h) |
|
|
|
|
7,500 |
|
|
|
|
|
2,647 |
|
| 0.000% due 07/25/2040 «(h) |
|
|
|
|
38 |
|
|
|
|
|
1,542 |
|
| 0.000% due 09/25/2040 (h) |
|
|
|
|
3,226 |
|
|
|
|
|
1,562 |
|
|
| South Coast Funding Ltd. |
|
| 2.501% due 08/10/2038 • |
|
|
|
|
19,591 |
|
|
|
|
|
3,289 |
|
|
| Symphony CLO Ltd. |
|
| 6.438% due 07/14/2026 • |
|
|
|
|
3,600 |
|
|
|
|
|
3,475 |
|
|
| Taberna Preferred Funding Ltd. |
|
| 2.251% due 12/05/2036 • |
|
|
|
|
11,186 |
|
|
|
|
|
9,854 |
|
| 2.271% due 08/05/2036 • |
|
|
|
|
532 |
|
|
|
|
|
474 |
|
| 2.271% due 08/05/2036 ^• |
|
|
|
|
10,303 |
|
|
|
|
|
9,183 |
|
| 2.291% due 02/05/2036 • |
|
|
|
|
5,048 |
|
|
|
|
|
4,556 |
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
27 |
Schedule of Investments PIMCO
Corporate & Income Opportunity Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Tropic CDO Ltd. |
|
| 2.731% due 04/15/2034 • |
|
$ |
|
|
25,000 |
|
|
$ |
|
|
23,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities (Cost $250,206) |
|
|
244,329 |
|
|
|
|
|
|
|
|
| SOVEREIGN ISSUES 5.8% |
|
|
| Argentina Government International Bond |
|
| 2.500% due 07/22/2021 |
|
ARS |
|
|
32,644 |
|
|
|
|
|
280 |
|
| 3.375% due 01/15/2023 |
|
EUR |
|
|
300 |
|
|
|
|
|
151 |
|
| 3.380% due 12/31/2038 þ |
|
|
|
|
7,755 |
|
|
|
|
|
3,590 |
|
| 3.875% due 01/15/2022 |
|
|
|
|
300 |
|
|
|
|
|
155 |
|
| 4.000% due 03/06/2020 |
|
ARS |
|
|
219,562 |
|
|
|
|
|
2,273 |
|
| 5.250% due 01/15/2028 |
|
EUR |
|
|
200 |
|
|
|
|
|
94 |
|
| 6.250% due 11/09/2047 |
|
|
|
|
100 |
|
|
|
|
|
46 |
|
| 7.820% due 12/31/2033 |
|
|
|
|
19,140 |
|
|
|
|
|
11,331 |
|
| 15.500% due 10/17/2026 |
|
ARS |
|
|
92,410 |
|
|
|
|
|
373 |
|
| 38.154% (BADLARPP + 2.000%) due 04/03/2022 ~ |
|
|
|
|
121,504 |
|
|
|
|
|
924 |
|
| 42.524% (BADLARPP + 3.250%) due 03/01/2020 ~ |
|
|
|
|
2,400 |
|
|
|
|
|
26 |
|
| 42.781% (BADLARPP) due 10/04/2022 ~ |
|
|
|
|
116 |
|
|
|
|
|
1 |
|
| 53.323% (ARLLMONP) due 06/21/2020 ~(a) |
|
|
|
|
314,440 |
|
|
|
|
|
2,602 |
|
|
| Autonomous City of Buenos Aires Argentina |
|
| 39.421% due 03/29/2024 • |
|
|
|
|
191,280 |
|
|
|
|
|
1,997 |
|
| 39.745% (BADLARPP + 5.000%) due 01/23/2022 ~ |
|
|
|
|
171,140 |
|
|
|
|
|
1,901 |
|
|
| Autonomous Community of Catalonia |
|
| 4.900% due 09/15/2021 |
|
EUR |
|
|
2,650 |
|
|
|
|
|
3,162 |
|
| 4.950% due 02/11/2020 |
|
|
|
|
50 |
|
|
|
|
|
56 |
|
|
| Export-Credit Bank of Turkey |
|
| 8.250% due 01/24/2024 |
|
$ |
|
|
200 |
|
|
|
|
|
223 |
|
|
| Ghana Government International Bond |
|
| 10.750% due 10/14/2030 |
|
|
|
|
800 |
|
|
|
|
|
1,031 |
|
|
| Peru Government International Bond |
|
| 5.400% due 08/12/2034 |
|
PEN |
|
|
26 |
|
|
|
|
|
8 |
|
| 5.940% due 02/12/2029 |
|
|
|
|
7,574 |
|
|
|
|
|
2,570 |
|
| 6.150% due 08/12/2032 |
|
|
|
|
806 |
|
|
|
|
|
276 |
|
| 6.350% due 08/12/2028 |
|
|
|
|
11,063 |
|
|
|
|
|
3,846 |
|
| 6.900% due 08/12/2037 |
|
|
|
|
118 |
|
|
|
|
|
43 |
|
| 6.950% due 08/12/2031 |
|
|
|
|
1,725 |
|
|
|
|
|
626 |
|
| 8.200% due 08/12/2026 |
|
|
|
|
9,093 |
|
|
|
|
|
3,441 |
|
|
| Provincia de Buenos Aires |
|
| 39.293% (BADLARPP + 3.750%) due 04/12/2025 ~ |
|
ARS |
|
|
862,385 |
|
|
|
|
|
5,680 |
|
|
| South Africa Government International Bond |
|
| 4.850% due 09/30/2029 (l) |
|
$ |
|
|
2,400 |
|
|
|
|
|
2,429 |
|
| 5.750% due 09/30/2049 (l) |
|
|
|
|
2,000 |
|
|
|
|
|
1,972 |
|
|
| Turkey Government International Bond |
|
| 3.250% due 06/14/2025 |
|
EUR |
|
|
200 |
|
|
|
|
|
228 |
|
| 4.625% due 03/31/2025 |
|
|
|
|
3,600 |
|
|
|
|
|
4,385 |
|
| 5.200% due 02/16/2026 |
|
|
|
|
1,200 |
|
|
|
|
|
1,494 |
|
| 5.600% due 11/14/2024 |
|
$ |
|
|
5,800 |
|
|
|
|
|
6,120 |
|
| 7.625% due 04/26/2029 |
|
|
|
|
4,000 |
|
|
|
|
|
4,657 |
|
|
| Ukraine Government International Bond |
|
| 4.375% due 01/27/2030 |
|
EUR |
|
|
2,495 |
|
|
|
|
|
2,752 |
|
| 7.750% due 09/01/2022 (l) |
|
$ |
|
|
9,800 |
|
|
|
|
|
10,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Venezuela Government International Bond |
|
| 6.000% due 12/09/2020 ^(e) |
|
$ |
|
|
490 |
|
|
$ |
|
|
62 |
|
| 8.250% due 10/13/2024 ^(e) |
|
|
|
|
70 |
|
|
|
|
|
9 |
|
| 9.250% due 09/15/2027 ^(e) |
|
|
|
|
598 |
|
|
|
|
|
76 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Issues (Cost $119,346) |
|
|
81,591 |
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
|
|
| COMMON STOCKS 1.1% |
|
|
|
| COMMUNICATION SERVICES 0.3% |
|
|
|
|
|
|
| Clear Channel Outdoor Holdings, Inc. (f) |
|
|
|
|
1,167,686 |
|
|
|
|
|
3,188 |
|
|
|
|
|
|
| iHeartMedia, Inc. (f) |
|
|
|
|
872 |
|
|
|
|
|
14 |
|
|
|
|
|
|
| iHeartMedia, Inc. ‘A’ (f) |
|
|
|
|
64,921 |
|
|
|
|
|
1,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER DISCRETIONARY 0.7% |
|
|
|
|
|
| Caesars Entertainment Corp. (f) |
|
|
754,964 |
|
|
|
|
|
10,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY 0.0% |
|
|
|
|
|
| Forbes Energy Services Ltd. (f)(j) |
|
|
64,837 |
|
|
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.1% |
|
|
|
|
|
|
| Westmoreland Mining Holdings LLC «(f)(j) |
|
|
|
|
45,070 |
|
|
|
|
|
563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks (Cost $19,008) |
|
|
15,243 |
|
|
|
|
|
|
|
|
| WARRANTS 0.7% |
|
|
|
| COMMUNICATION SERVICES 0.5% |
|
|
|
|
|
|
| iHeartMedia, Inc. |
|
|
|
|
422,815 |
|
|
|
|
|
7,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.2% |
|
|
|
|
|
| Sequa Corp. - Exp. 04/28/2024 « |
|
|
1,355,000 |
|
|
|
|
|
3,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants (Cost $8,503) |
|
|
10,475 |
|
|
|
|
|
|
|
|
| PREFERRED SECURITIES 6.6% |
|
|
|
| BANKING & FINANCE 3.8% |
|
|
| AGFC Capital Trust |
|
| 3.581% (US0003M + 1.750%) due 01/15/2067 ~ |
|
|
|
|
1,800,000 |
|
|
|
|
|
902 |
|
|
| Banco Bilbao Vizcaya Argentaria S.A. |
|
| 6.750% due 02/18/2020 •(i)(l) |
|
|
|
|
14,000,000 |
|
|
|
|
|
15,568 |
|
| 8.875% due 04/14/2021 •(i)(l) |
|
|
|
|
600,000 |
|
|
|
|
|
727 |
|
|
| Banco Santander S.A. |
|
| 6.250% due 09/11/2021 •(i)(l) |
|
|
|
|
2,200,000 |
|
|
|
|
|
2,617 |
|
|
| Brighthouse Holdings LLC |
|
| 6.500% due 07/27/2037 þ(i) |
|
|
|
|
110,000 |
|
|
|
|
|
116 |
|
|
| Nationwide Building Society |
|
| 10.250% ~ |
|
|
|
|
119,250 |
|
|
|
|
|
26,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Stichting AK Rabobank Certificaten |
|
| 6.500% due 12/29/2049 (i) |
|
|
|
|
4,773,000 |
|
|
$ |
|
|
7,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,569 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 2.8% |
|
|
| General Electric Co. |
|
| 5.000% due 01/21/2021 •(i) |
|
|
|
|
1,343,000 |
|
|
|
|
|
1,331 |
|
|
| Sequa Corp. (12.000% PIK) |
|
| 12.000% «(d) |
|
|
|
|
32,507 |
|
|
|
|
|
38,216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,547 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Securities (Cost $76,893) |
|
|
93,116 |
|
|
|
|
|
|
|
|
| REAL ESTATE INVESTMENT TRUSTS 1.6% |
|
|
|
| REAL ESTATE 1.6% |
|
|
|
|
|
|
| VICI Properties, Inc. |
|
|
|
|
858,541 |
|
|
|
|
|
23,009 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Real Estate Investment Trusts (Cost $10,754) |
|
|
23,009 |
|
|
|
|
|
|
|
|
| SHORT-TERM INSTRUMENTS 5.4% |
|
|
|
| REPURCHASE AGREEMENTS (k) 4.2% |
|
|
|
|
|
|
|
|
|
|
|
|
58,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
|
|
| ARGENTINA TREASURY BILLS 0.1% |
|
| 38.342% due 04/03/2020 ~ |
|
ARS |
|
|
12,390 |
|
|
|
|
|
143 |
|
| 38.686% due 06/22/2020 ~ |
|
|
|
|
34,330 |
|
|
|
|
|
399 |
|
| 46.139% due 04/28/2020 - 08/27/2020 (g)(h) |
|
|
|
|
82,622 |
|
|
|
|
|
976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY BILLS 1.1% |
|
| 1.562% due 02/06/2020 - 04/30/2020 (g)(h)(n)(p) |
|
$ |
|
|
15,858 |
|
|
|
|
|
15,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Instruments (Cost $77,136) |
|
|
75,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities (Cost $1,848,918) |
|
|
1,893,280 |
|
|
|
|
|
|
|
|
| Total Investments 134.2% (Cost $1,848,918) |
|
|
$ |
|
|
1,893,280 |
|
|
|
|
|
|
|
|
|
| Financial Derivative
Instruments (m)(o) 0.0% (Cost or Premiums, net
$(22,905)) |
|
|
39 |
|
|
|
| Auction Rate Preferred Shares (15.1)% |
|
|
(212,650 |
) |
|
|
| Other Assets and Liabilities, net (19.1)% |
|
|
(269,569 |
) |
|
|
|
|
|
| Net Assets Applicable to Common Shareholders 100.0% |
|
|
$ |
|
|
1,411,100 |
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
| * |
A zero balance may reflect actual amounts rounding to less than one thousand. |
| ^ |
Security is in default. |
| « |
Security valued using significant unobservable inputs (Level 3). |
| µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be
determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
| ~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are
not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a
reference rate and/or spread in their description. |
| • |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and
may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in
effect as of period end. |
|
|
|
|
|
|
|
|
|
| 28 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
| (a) |
Interest only security. |
| (b) |
Principal only security. |
| (c) |
When-issued security. |
| (d) |
Payment in-kind security. |
| (e) |
Security is not accruing income as of the date of this report. |
| (f) |
Security did not produce income within the last twelve months. |
| (g) |
Coupon represents a weighted average yield to maturity. |
| (h) |
Zero coupon security. |
| (i) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) RESTRICTED SECURITIES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Issuer Description |
|
|
|
|
|
|
Acquisition
Date |
|
|
Cost |
|
|
Market
Value |
|
|
Market Value
as Percentage
of Net
Assets
Applicable
to Common
Shareholders |
|
| Forbes Energy Services Ltd. |
|
|
|
|
|
|
|
|
10/09/2014 - 11/18/2016 |
|
|
|
$ 2,472 |
|
|
$ |
10 |
|
|
|
0.00 |
% |
| Westmoreland Mining Holdings LLC |
|
|
|
|
|
|
|
|
07/29/2015 - 03/26/2019 |
|
|
|
1,172 |
|
|
|
563 |
|
|
|
0.04 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 3,644 |
|
|
$ |
573 |
|
|
|
0.04 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS AND OTHER
FINANCING TRANSACTIONS
(k) 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 |
|
|
1.250 |
% |
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
$ |
4,309 |
|
|
U.S. Treasury Inflation Protected Securities 1.250% due 07/15/2020 |
|
$ |
(4,396 |
) |
|
$ |
4,309 |
|
|
$ |
4,309 |
|
| JPS |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
5,700 |
|
|
U.S. Treasury Bonds 2.250% due 08/15/2046 |
|
|
(5,850 |
) |
|
|
5,700 |
|
|
|
5,701 |
|
| MBC |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
24,300 |
|
|
U.S. Treasury Notes 1.875% due 01/31/2022 |
|
|
(25,106 |
) |
|
|
24,300 |
|
|
|
24,304 |
|
| NOM |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
24,300 |
|
|
U.S. Treasury Bonds 6.250% due 08/15/2023 |
|
|
(24,848 |
) |
|
|
24,300 |
|
|
|
24,303 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Repurchase Agreements |
|
|
|
|
$ |
(60,200 |
) |
|
$ |
58,609 |
|
|
$ |
58,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REVERSE
REPURCHASE AGREEMENTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Borrowing
Rate(2)
|
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed(2) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
| BCY |
|
|
2.000 |
% |
|
|
11/01/2019 |
|
|
|
TBD |
(3) |
|
$ |
|
|
(4,102 |
) |
|
$ |
(4,123 |
) |
| BOS |
|
|
1.970 |
|
|
|
01/09/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
(3,745 |
) |
|
|
(3,750 |
) |
| BPS |
|
|
(0.180 |
) |
|
|
11/14/2019 |
|
|
|
02/14/2020 |
|
|
EUR |
|
|
(1,175 |
) |
|
|
(1,302 |
) |
|
|
|
0.950 |
|
|
|
01/16/2020 |
|
|
|
04/16/2020 |
|
|
GBP |
|
|
(2,012 |
) |
|
|
(2,658 |
) |
|
|
|
2.250 |
|
|
|
01/17/2020 |
|
|
|
02/18/2020 |
|
|
$ |
|
|
(3,468 |
) |
|
|
(3,472 |
) |
|
|
|
2.330 |
|
|
|
01/10/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
(422 |
) |
|
|
(423 |
) |
| BRC |
|
|
(7.000 |
) |
|
|
01/22/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
(859 |
) |
|
|
(857 |
) |
|
|
|
1.000 |
|
|
|
01/31/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
(761 |
) |
|
|
(761 |
) |
|
|
|
2.250 |
|
|
|
01/03/2020 |
|
|
|
03/03/2020 |
|
|
|
|
|
(3,794 |
) |
|
|
(3,801 |
) |
| CEW |
|
|
2.170 |
|
|
|
01/22/2020 |
|
|
|
02/24/2020 |
|
|
|
|
|
(8,097 |
) |
|
|
(8,103 |
) |
|
|
|
2.250 |
|
|
|
01/17/2020 |
|
|
|
02/20/2020 |
|
|
|
|
|
(20,379 |
) |
|
|
(20,401 |
) |
| CIW |
|
|
1.930 |
|
|
|
01/17/2020 |
|
|
|
02/18/2020 |
|
|
|
|
|
(15,411 |
) |
|
|
(15,425 |
) |
| JML |
|
|
(0.300 |
) |
|
|
01/15/2020 |
|
|
|
04/15/2020 |
|
|
EUR |
|
|
(2,828 |
) |
|
|
(3,135 |
) |
|
|
|
(0.300 |
) |
|
|
01/22/2020 |
|
|
|
04/22/2020 |
|
|
|
|
|
(609 |
) |
|
|
(676 |
) |
|
|
|
0.000 |
|
|
|
01/10/2020 |
|
|
|
04/08/2020 |
|
|
|
|
|
(1,897 |
) |
|
|
(2,104 |
) |
|
|
|
0.850 |
|
|
|
01/23/2020 |
|
|
|
04/23/2020 |
|
|
GBP |
|
|
(12,675 |
) |
|
|
(16,741 |
) |
|
|
|
0.950 |
|
|
|
01/14/2020 |
|
|
|
04/14/2020 |
|
|
|
|
|
(204 |
) |
|
|
(270 |
) |
|
|
|
0.950 |
|
|
|
01/15/2020 |
|
|
|
04/15/2020 |
|
|
|
|
|
(11,383 |
) |
|
|
(15,038 |
) |
|
|
|
0.950 |
|
|
|
01/17/2020 |
|
|
|
04/17/2020 |
|
|
|
|
|
(383 |
) |
|
|
(506 |
) |
|
|
|
0.950 |
|
|
|
01/28/2020 |
|
|
|
04/28/2020 |
|
|
|
|
|
(8,474 |
) |
|
|
(11,192 |
) |
| NOM |
|
|
2.450 |
|
|
|
01/13/2020 |
|
|
|
02/18/2020 |
|
|
$ |
|
|
(1,900 |
) |
|
|
(1,903 |
) |
| RDR |
|
|
1.900 |
|
|
|
01/22/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
(510 |
) |
|
|
(510 |
) |
|
|
|
1.950 |
|
|
|
01/06/2020 |
|
|
|
02/07/2020 |
|
|
|
|
|
(5,154 |
) |
|
|
(5,162 |
) |
| RTA |
|
|
2.297 |
|
|
|
01/07/2020 |
|
|
|
04/06/2020 |
|
|
|
|
|
(24,872 |
) |
|
|
(24,915 |
) |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
29 |
Schedule of Investments PIMCO
Corporate & Income Opportunity Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Borrowing
Rate(2)
|
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed(2) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
| UBS |
|
|
(0.150 |
)% |
|
|
10/10/2019 |
|
|
|
02/10/2020 |
|
|
EUR |
|
|
(12,605 |
) |
|
$ |
(13,973 |
) |
|
|
|
(0.150 |
) |
|
|
12/09/2019 |
|
|
|
02/10/2020 |
|
|
|
|
|
(1,975 |
) |
|
|
(2,190 |
) |
|
|
|
1.150 |
|
|
|
10/10/2019 |
|
|
|
02/10/2020 |
|
|
GBP |
|
|
(5,207 |
) |
|
|
(6,901 |
) |
|
|
|
2.000 |
|
|
|
02/04/2020 |
|
|
|
03/06/2020 |
|
|
$ |
|
|
(14,641 |
) |
|
|
(14,641 |
) |
|
|
|
2.350 |
|
|
|
01/07/2020 |
|
|
|
02/10/2020 |
|
|
|
|
|
(9,954 |
) |
|
|
(9,972 |
) |
|
|
|
2.450 |
|
|
|
11/06/2019 |
|
|
|
02/04/2020 |
|
|
|
|
|
(11,113 |
) |
|
|
(11,180 |
) |
|
|
|
2.450 |
|
|
|
12/04/2019 |
|
|
|
03/03/2020 |
|
|
|
|
|
(16,174 |
) |
|
|
(16,241 |
) |
|
|
|
2.450 |
|
|
|
01/09/2020 |
|
|
|
02/04/2020 |
|
|
|
|
|
(3,436 |
) |
|
|
(3,442 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Reverse Repurchase Agreements |
|
|
$ |
(225,768 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS AND OTHER
FINANCING TRANSACTIONS SUMMARY
The
following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Repurchase
Agreement
Proceeds
to be
Received(1) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
|
Payable for
Sale-Buyback
Transactions |
|
|
Total
Borrowings and
Other Financing
Transactions |
|
|
Collateral
Pledged/(Received) |
|
|
Net
Exposure(4) |
|
| Global/Master Repurchase Agreement |
|
| BCY |
|
$ |
0 |
|
|
$ |
(4,123 |
) |
|
$ |
0 |
|
|
$ |
(4,123 |
) |
|
$ |
4,485 |
|
|
$ |
362 |
|
| BOS |
|
|
0 |
|
|
|
(3,750 |
) |
|
|
0 |
|
|
|
(3,750 |
) |
|
|
3,907 |
|
|
|
157 |
|
| BPS |
|
|
0 |
|
|
|
(7,855 |
) |
|
|
0 |
|
|
|
(7,855 |
) |
|
|
8,843 |
|
|
|
988 |
|
| BRC |
|
|
0 |
|
|
|
(5,419 |
) |
|
|
0 |
|
|
|
(5,419 |
) |
|
|
5,792 |
|
|
|
373 |
|
| CEW |
|
|
0 |
|
|
|
(28,504 |
) |
|
|
0 |
|
|
|
(28,504 |
) |
|
|
30,906 |
|
|
|
2,402 |
|
| CIW |
|
|
0 |
|
|
|
(15,425 |
) |
|
|
0 |
|
|
|
(15,425 |
) |
|
|
16,279 |
|
|
|
854 |
|
| FICC |
|
|
4,309 |
|
|
|
0 |
|
|
|
0 |
|
|
|
4,309 |
|
|
|
(4,396 |
) |
|
|
(87 |
) |
| JML |
|
|
0 |
|
|
|
(49,662 |
) |
|
|
0 |
|
|
|
(49,662 |
) |
|
|
58,162 |
|
|
|
8,500 |
|
| JPS |
|
|
5,701 |
|
|
|
0 |
|
|
|
0 |
|
|
|
5,701 |
|
|
|
(5,850 |
) |
|
|
(149 |
) |
| MBC |
|
|
24,304 |
|
|
|
0 |
|
|
|
0 |
|
|
|
24,304 |
|
|
|
(25,106 |
) |
|
|
(802 |
) |
| NOM |
|
|
24,303 |
|
|
|
(1,903 |
) |
|
|
0 |
|
|
|
22,400 |
|
|
|
(22,665 |
) |
|
|
(265 |
) |
| RDR |
|
|
0 |
|
|
|
(5,672 |
) |
|
|
0 |
|
|
|
(5,672 |
) |
|
|
5,991 |
|
|
|
319 |
|
| RTA |
|
|
0 |
|
|
|
(24,915 |
) |
|
|
0 |
|
|
|
(24,915 |
) |
|
|
28,072 |
|
|
|
3,157 |
|
| UBS |
|
|
0 |
|
|
|
(78,540 |
) |
|
|
0 |
|
|
|
(78,540 |
) |
|
|
71,422 |
|
|
|
(7,118 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings and Other Financing Transactions |
|
$ |
58,617 |
|
|
$ |
(225,768 |
) |
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED
FOR AS SECURED BORROWINGS
Remaining Contractual Maturity
of the Agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Overnight and
Continuous |
|
|
Up to 30 days |
|
|
31-90 days |
|
|
Greater Than 90 days |
|
|
Total |
|
| Reverse Repurchase Agreements |
|
| Corporate Bonds & Notes |
|
$ |
0 |
|
|
$ |
(89,532 |
) |
|
$ |
(93,476 |
) |
|
$ |
(6,251 |
) |
|
$ |
(189,259 |
) |
| Sovereign Issues |
|
|
0 |
|
|
|
(1,903 |
) |
|
|
(3,801 |
) |
|
|
0 |
|
|
|
(5,704 |
) |
| Preferred Securities |
|
|
0 |
|
|
|
(16,164 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(16,164 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings |
|
$ |
0 |
|
|
$ |
(107,599 |
) |
|
$ |
(97,277 |
) |
|
$ |
(6,251 |
) |
|
$ |
(211,127 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payable for reverse repurchase agreements(5) |
|
|
|
|
|
|
|
|
|
|
$ |
(211,127 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (l) |
Securities with an aggregate market value of $238,271 and cash of $1 have been pledged as collateral under the terms of the
above master agreements as of January 31, 2020. |
| (1) |
Includes accrued interest. |
| (2) |
The average amount of borrowings outstanding during the period ended January 31, 2020 was $(262,903) at a weighted average interest
rate of 1.883%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| (3) |
Open maturity reverse repurchase agreement. |
| (4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for
more information. |
| (5) |
Unsettled reverse repurchase agreements liability of $(14,641) is outstanding at period end. |
|
|
|
|
|
|
|
|
|
| 30 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
(m) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES
- SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Implied
Credit Spread at
January 31, 2020(2) |
|
|
Notional
Amount(3) |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value(4) |
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Bombardier, Inc. |
|
|
5.000 |
% |
|
|
Quarterly |
|
|
|
06/20/2024 |
|
|
|
4.893 |
% |
|
|
$ |
|
|
|
4,700 |
|
|
$ |
(9 |
) |
|
$ |
56 |
|
|
$ |
47 |
|
|
$ |
0 |
|
|
$ |
(12 |
) |
| Bombardier, Inc. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
5.130 |
|
|
|
|
|
|
|
1,000 |
|
|
|
(2 |
) |
|
|
3 |
|
|
|
1 |
|
|
|
0 |
|
|
|
(2 |
) |
| Frontier Communications Corp. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
06/20/2020 |
|
|
|
357.443 |
|
|
|
|
|
|
|
17,570 |
|
|
|
(724 |
) |
|
|
(7,689 |
) |
|
|
(8,413 |
) |
|
|
214 |
|
|
|
0 |
|
| Frontier Communications Corp. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
06/20/2022 |
|
|
|
190.949 |
|
|
|
|
|
|
|
1,000 |
|
|
|
(135 |
) |
|
|
(372 |
) |
|
|
(507 |
) |
|
|
4 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(870 |
) |
|
$ |
(8,002 |
) |
|
$ |
(8,872 |
) |
|
$ |
218 |
|
|
$ |
(14 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CREDIT
DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Index/Tranches |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
Maturity
Date |
|
|
Notional
Amount(3) |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value(4) |
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| CDX.HY-33
5-Year Index |
|
|
0.000 |
% |
|
Quarterly |
|
|
12/20/2024 |
|
|
$ |
15,345 |
|
|
$ |
1,471 |
|
|
$ |
(106 |
) |
|
$ |
1,365 |
|
|
$ |
0 |
|
|
$ |
(65 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/Receive
Floating Rate |
|
Floating Rate Index |
|
Fixed Rate |
|
|
Payment
Frequency |
|
Maturity
Date |
|
|
Notional
Amount |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value |
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Receive |
|
3-Month USD-LIBOR |
|
|
3.000 |
% |
|
Semi-Annual |
|
|
06/19/2022 |
|
|
|
$ |
|
|
|
170,500 |
|
|
$ |
(5,405 |
) |
|
$ |
(1,345 |
) |
|
$ |
(6,750 |
) |
|
$ |
0 |
|
|
$ |
(265 |
) |
| Pay |
|
3-Month USD-LIBOR |
|
|
2.750 |
|
|
Semi-Annual |
|
|
06/17/2025 |
|
|
|
|
|
|
|
8,580 |
|
|
|
541 |
|
|
|
97 |
|
|
|
638 |
|
|
|
24 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
Semi-Annual |
|
|
06/15/2026 |
|
|
|
|
|
|
|
44,400 |
|
|
|
2,099 |
|
|
|
335 |
|
|
|
2,434 |
|
|
|
141 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
2.500 |
|
|
Semi-Annual |
|
|
12/20/2027 |
|
|
|
|
|
|
|
73,900 |
|
|
|
530 |
|
|
|
5,605 |
|
|
|
6,135 |
|
|
|
282 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
3.000 |
|
|
Semi-Annual |
|
|
06/19/2029 |
|
|
|
|
|
|
|
263,700 |
|
|
|
13,372 |
|
|
|
23,177 |
|
|
|
36,549 |
|
|
|
1,196 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
3.500 |
|
|
Semi-Annual |
|
|
06/19/2044 |
|
|
|
|
|
|
|
305,100 |
|
|
|
(9,953 |
) |
|
|
125,679 |
|
|
|
115,726 |
|
|
|
3,132 |
|
|
|
0 |
|
| Receive |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
Semi-Annual |
|
|
12/11/2049 |
|
|
|
|
|
|
|
20,700 |
|
|
|
(83 |
) |
|
|
(2,789 |
) |
|
|
(2,872 |
) |
|
|
0 |
|
|
|
(195 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
2.000 |
|
|
Semi-Annual |
|
|
01/15/2050 |
|
|
|
|
|
|
|
42,900 |
|
|
|
(309 |
) |
|
|
(3,024 |
) |
|
|
(3,333 |
) |
|
|
0 |
|
|
|
(383 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
Semi-Annual |
|
|
01/16/2050 |
|
|
|
|
|
|
|
177,200 |
|
|
|
41 |
|
|
|
2,426 |
|
|
|
2,467 |
|
|
|
0 |
|
|
|
(1,474 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.750 |
|
|
Semi-Annual |
|
|
01/22/2050 |
|
|
|
|
|
|
|
28,200 |
|
|
|
(65 |
) |
|
|
(406 |
) |
|
|
(471 |
) |
|
|
0 |
|
|
|
(240 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
Semi-Annual |
|
|
02/03/2050 |
|
|
|
|
|
|
|
123,200 |
|
|
|
(439 |
) |
|
|
2,121 |
|
|
|
1,682 |
|
|
|
0 |
|
|
|
(1,027 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.875 |
|
|
Semi-Annual |
|
|
02/07/2050 |
|
|
|
|
|
|
|
29,300 |
|
|
|
(114 |
) |
|
|
(1,275 |
) |
|
|
(1,389 |
) |
|
|
0 |
|
|
|
(257 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
Semi-Annual |
|
|
03/12/2050 |
|
|
|
|
|
|
|
9,800 |
|
|
|
(29 |
) |
|
|
(1,333 |
) |
|
|
(1,362 |
) |
|
|
0 |
|
|
|
(93 |
) |
| Pay |
|
6-Month
AUD-BBR-BBSW |
|
|
3.500 |
|
|
Semi-Annual |
|
|
06/17/2025 |
|
|
|
AUD |
|
|
|
13,400 |
|
|
|
332 |
|
|
|
959 |
|
|
|
1,291 |
|
|
|
29 |
|
|
|
0 |
|
| Receive(5) |
|
6-Month EUR-EURIBOR |
|
|
(0.150 |
) |
|
Annual |
|
|
03/18/2030 |
|
|
|
EUR |
|
|
|
38,000 |
|
|
|
695 |
|
|
|
(250 |
) |
|
|
445 |
|
|
|
0 |
|
|
|
(256 |
) |
| Receive(5) |
|
6-Month EUR-EURIBOR |
|
|
0.150 |
|
|
Annual |
|
|
06/17/2030 |
|
|
|
|
|
|
|
4,100 |
|
|
|
(3 |
) |
|
|
(79 |
) |
|
|
(82 |
) |
|
|
0 |
|
|
|
(29 |
) |
| Receive(5) |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
Semi-Annual |
|
|
03/18/2030 |
|
|
|
GBP |
|
|
|
68,700 |
|
|
|
715 |
|
|
|
(905 |
) |
|
|
(190 |
) |
|
|
0 |
|
|
|
(78 |
) |
| Receive(5) |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
Semi-Annual |
|
|
03/18/2050 |
|
|
|
|
|
|
|
7,800 |
|
|
|
190 |
|
|
|
27 |
|
|
|
217 |
|
|
|
0 |
|
|
|
(35 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,115 |
|
|
$ |
149,020 |
|
|
$ |
151,135 |
|
|
$ |
4,804 |
|
|
$ |
(4,332 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Swap Agreements |
|
|
$ |
2,716 |
|
|
$ |
140,912 |
|
|
$ |
143,628 |
|
|
$ |
5,022 |
|
|
$ |
(4,411 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
| |
|
Market Value |
|
|
Variation Margin
Asset |
|
|
|
|
|
|
|
|
Market Value |
|
|
Variation Margin
Liability |
|
|
|
|
| |
|
Purchased
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
|
Total |
|
|
|
|
|
Written
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
|
Total |
|
| Total Exchange-Traded or Centrally Cleared |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
5,022 |
|
|
$ |
5,022 |
|
|
|
|
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(4,411) |
|
|
$ |
(4,411) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (n) |
Securities with an aggregate market value of $3,876 and cash of $20,001 have been pledged as collateral for exchange-traded
and centrally cleared financial derivative instruments as of January 31, 2020. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
| (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.
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
31 |
Schedule of Investments PIMCO
Corporate & Income Opportunity Fund (Cont.)
| (2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced
entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater
likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance
risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the
notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
| (5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to
Financial Statements for further information. |
(o) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement
Month |
|
|
Currency to
be Delivered |
|
|
Currency to
be Received |
|
|
Unrealized Appreciation/
(Depreciation) |
|
| |
Asset |
|
|
Liability |
|
| BOA |
|
|
02/2020 |
|
|
$ |
|
|
86,727 |
|
|
EUR |
|
|
78,678 |
|
|
$ |
531 |
|
|
$ |
0 |
|
|
|
|
02/2020 |
|
|
|
|
|
9,072 |
|
|
MXN |
|
|
169,752 |
|
|
|
0 |
|
|
|
(97 |
) |
|
|
|
03/2020 |
|
|
EUR |
|
|
78,678 |
|
|
$ |
|
|
86,876 |
|
|
|
0 |
|
|
|
(531 |
) |
|
|
|
03/2020 |
|
|
$ |
|
|
157 |
|
|
IDR |
|
|
2,151,783 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| BPS |
|
|
02/2020 |
|
|
PEN |
|
|
6,536 |
|
|
$ |
|
|
1,926 |
|
|
|
0 |
|
|
|
(4 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
1,045 |
|
|
GBP |
|
|
803 |
|
|
|
15 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
|
|
|
3,037 |
|
|
IDR |
|
|
41,530,445 |
|
|
|
1 |
|
|
|
(2 |
) |
|
|
|
02/2020 |
|
|
|
|
|
5,887 |
|
|
INR |
|
|
419,735 |
|
|
|
0 |
|
|
|
(17 |
) |
|
|
|
|
|
|
|
|
| BRC |
|
|
02/2020 |
|
|
EUR |
|
|
72,411 |
|
|
$ |
|
|
81,100 |
|
|
|
793 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
$ |
|
|
65 |
|
|
IDR |
|
|
894,165 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| CBK |
|
|
02/2020 |
|
|
BRL |
|
|
26,029 |
|
|
$ |
|
|
6,176 |
|
|
|
98 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
EUR |
|
|
3,769 |
|
|
|
|
|
4,182 |
|
|
|
5 |
|
|
|
(3 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
6,395 |
|
|
BRL |
|
|
26,029 |
|
|
|
0 |
|
|
|
(317 |
) |
|
|
|
02/2020 |
|
|
|
|
|
1,959 |
|
|
PEN |
|
|
6,536 |
|
|
|
0 |
|
|
|
(29 |
) |
|
|
|
03/2020 |
|
|
|
|
|
6,169 |
|
|
BRL |
|
|
26,028 |
|
|
|
0 |
|
|
|
(100 |
) |
|
|
|
04/2020 |
|
|
PEN |
|
|
6,536 |
|
|
$ |
|
|
1,954 |
|
|
|
29 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| FBF |
|
|
03/2020 |
|
|
$ |
|
|
4,077 |
|
|
BRL |
|
|
17,192 |
|
|
|
0 |
|
|
|
(69 |
) |
|
|
|
|
|
|
|
|
| GLM |
|
|
02/2020 |
|
|
CLP |
|
|
964,978 |
|
|
$ |
|
|
1,206 |
|
|
|
1 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
$ |
|
|
1,249 |
|
|
CLP |
|
|
964,978 |
|
|
|
0 |
|
|
|
(44 |
) |
|
|
|
02/2020 |
|
|
|
|
|
2,189 |
|
|
RUB |
|
|
140,330 |
|
|
|
2 |
|
|
|
0 |
|
|
|
|
04/2020 |
|
|
|
|
|
11,137 |
|
|
|
|
|
689,379 |
|
|
|
0 |
|
|
|
(442 |
) |
|
|
|
06/2020 |
|
|
|
|
|
1,206 |
|
|
CLP |
|
|
964,978 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
|
| HUS |
|
|
02/2020 |
|
|
EUR |
|
|
2,498 |
|
|
$ |
|
|
2,754 |
|
|
|
0 |
|
|
|
(16 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
545 |
|
|
INR |
|
|
38,837 |
|
|
|
0 |
|
|
|
(2 |
) |
|
|
|
03/2020 |
|
|
|
|
|
70 |
|
|
|
|
|
4,996 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
05/2020 |
|
|
|
|
|
11,824 |
|
|
MXN |
|
|
231,978 |
|
|
|
291 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| JPM |
|
|
02/2020 |
|
|
GBP |
|
|
112,054 |
|
|
$ |
|
|
146,695 |
|
|
|
0 |
|
|
|
(1,272 |
) |
|
|
|
|
|
|
|
|
| MYI |
|
|
03/2020 |
|
|
$ |
|
|
6,494 |
|
|
RUB |
|
|
421,951 |
|
|
|
74 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| RBC |
|
|
03/2020 |
|
|
|
|
|
3,558 |
|
|
IDR |
|
|
48,805,620 |
|
|
|
3 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| SCX |
|
|
02/2020 |
|
|
AUD |
|
|
197 |
|
|
$ |
|
|
136 |
|
|
|
4 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
$ |
|
|
209 |
|
|
IDR |
|
|
2,871,055 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
|
|
|
436 |
|
|
INR |
|
|
31,161 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
|
| SSB |
|
|
02/2020 |
|
|
|
|
|
144,467 |
|
|
GBP |
|
|
111,251 |
|
|
|
2,440 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
GBP |
|
|
111,251 |
|
|
$ |
|
|
144,589 |
|
|
|
0 |
|
|
|
(2,427 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Forward Foreign Currency Contracts |
|
|
$ |
4,287 |
|
|
$ |
(5,374 |
) |
|
|
|
|
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON
CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Reference Entity |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Implied
Credit Spread at
January 31, 2020(2) |
|
|
Notional
Amount(3) |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Swap Agreements,
at Value(4) |
|
| |
Asset |
|
|
Liability |
|
| BPS |
|
Petrobras Global Finance BV |
|
|
1.000 |
% |
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
1.357 |
% |
|
$ |
|
|
|
|
1,800 |
|
|
$ |
(352 |
) |
|
$ |
325 |
|
|
$ |
0 |
|
|
$ |
(27 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| BRC |
|
Springleaf Finance Corp. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
12/20/2021 |
|
|
|
0.432 |
|
|
|
|
|
|
|
2,700 |
|
|
|
(40 |
) |
|
|
288 |
|
|
|
248 |
|
|
|
0 |
|
|
|
Ukraine Government International Bond |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
12/20/2022 |
|
|
|
3.052 |
|
|
|
|
|
|
|
16,900 |
|
|
|
1,036 |
|
|
|
(36 |
) |
|
|
1,000 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
| 32 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Reference Entity |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Implied
Credit Spread at
January 31, 2020(2) |
|
|
Notional
Amount(3) |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Swap Agreements,
at Value(4) |
|
| |
Asset |
|
|
Liability |
|
| DUB |
|
Petroleos Mexicanos |
|
|
1.000 |
% |
|
|
Quarterly |
|
|
|
12/20/2021 |
|
|
|
0.854 |
% |
|
$ |
|
|
|
|
100 |
|
|
$ |
(9 |
) |
|
$ |
9 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| GST |
|
Petrobras Global Finance BV |
|
|
1.000 |
|
|
|
Quarterly |
|
|
|
09/20/2020 |
|
|
|
0.245 |
|
|
|
|
|
|
|
20 |
|
|
|
(3 |
) |
|
|
3 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Petrobras Global Finance BV |
|
|
1.000 |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
1.357 |
|
|
|
|
|
|
|
2,400 |
|
|
|
(476 |
) |
|
|
439 |
|
|
|
0 |
|
|
|
(37 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| HUS |
|
Petrobras Global Finance BV |
|
|
1.000 |
|
|
|
Quarterly |
|
|
|
09/20/2020 |
|
|
|
0.245 |
|
|
|
|
|
|
|
60 |
|
|
|
(9 |
) |
|
|
9 |
|
|
|
0 |
|
|
|
0 |
|
|
|
Petrobras Global Finance BV |
|
|
1.000 |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
1.357 |
|
|
|
|
|
|
|
3,000 |
|
|
|
(623 |
) |
|
|
577 |
|
|
|
0 |
|
|
|
(46 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| JPM |
|
Russia Government International Bond |
|
|
1.000 |
|
|
|
Quarterly |
|
|
|
12/20/2020 |
|
|
|
0.175 |
|
|
|
|
|
|
|
1,300 |
|
|
|
(149 |
) |
|
|
160 |
|
|
|
11 |
|
|
|
0 |
|
|
|
Springleaf Finance Corp. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
06/20/2022 |
|
|
|
0.623 |
|
|
|
|
|
|
|
6,570 |
|
|
|
620 |
|
|
|
98 |
|
|
|
718 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| UAG |
|
Avolon Holdings Ltd. « |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
07/01/2020 |
|
|
|
0.599 |
|
|
|
|
|
|
|
1,900 |
|
|
|
111 |
|
|
|
(66 |
) |
|
|
45 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
106 |
|
|
$ |
1,806 |
|
|
$ |
2,022 |
|
|
$ |
(110 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CREDIT
DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Index/Tranches |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
Maturity
Date |
|
|
Notional
Amount(3) |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Swap Agreements,
at Value(4) |
|
| |
Asset |
|
|
Liability |
|
| BRC |
|
ABX.HE.AAA.6-2 Index |
|
|
0.110 |
% |
|
Monthly |
|
|
05/25/2046 |
|
|
$ |
39,946 |
|
|
$ |
(8,283 |
) |
|
$ |
6,390 |
|
|
$ |
0 |
|
|
$ |
(1,893 |
) |
|
|
|
|
|
|
|
|
|
|
| GST |
|
ABX.HE.AA.6-1 Index |
|
|
0.320 |
|
|
Monthly |
|
|
07/25/2045 |
|
|
|
18,379 |
|
|
|
(873 |
) |
|
|
(131 |
) |
|
|
0 |
|
|
|
(1,004 |
) |
|
|
ABX.HE.AAA.6-2 Index |
|
|
0.110 |
|
|
Monthly |
|
|
05/25/2046 |
|
|
|
3,379 |
|
|
|
(701 |
) |
|
|
541 |
|
|
|
0 |
|
|
|
(160 |
) |
|
|
|
|
|
|
|
|
|
|
| MEI |
|
ABX.HE.AAA.6-2 Index |
|
|
0.110 |
|
|
Monthly |
|
|
05/25/2046 |
|
|
|
46,560 |
|
|
|
(9,475 |
) |
|
|
7,269 |
|
|
|
0 |
|
|
|
(2,206 |
) |
|
|
|
|
|
|
|
|
|
|
| MYC |
|
ABX.HE.AAA.6-2 Index |
|
|
0.110 |
|
|
Monthly |
|
|
05/25/2046 |
|
|
|
50,687 |
|
|
|
(6,463 |
) |
|
|
4,061 |
|
|
|
0 |
|
|
|
(2,402 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(25,795 |
) |
|
$ |
18,130 |
|
|
$ |
0 |
|
|
$ |
(7,665 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Pay/ Receive
Floating Rate |
|
Floating Rate Index |
|
Fixed Rate |
|
|
Payment
Frequency |
|
Maturity
Date |
|
Notional
Amount |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Swap Agreements,
at Value |
|
| |
Asset |
|
|
Liability |
|
| DUB |
|
Pay |
|
3-Month USD-LIBOR |
|
|
3.850% |
|
|
Semi-Annual |
|
07/13/2022 |
|
$ |
600,000 |
|
|
$ |
68 |
|
|
$ |
6,200 |
|
|
$ |
6,268 |
|
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Swap Agreements |
|
|
$ |
(25,621 |
) |
|
$ |
26,136 |
|
|
$ |
8,290 |
|
|
$ |
(7,775 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: OVER THE COUNTER SUMMARY
The
following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Forward
Foreign
Currency
Contracts |
|
|
Purchased
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
|
|
|
Forward
Foreign
Currency
Contracts |
|
|
Written
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
Net Market
Value of OTC
Derivatives |
|
|
Collateral
Pledged/
(Received) |
|
|
Net
Exposure(5) |
|
| BOA |
|
$ |
531 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
531 |
|
|
|
|
|
|
$ |
(628 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(628 |
) |
|
$ |
(97 |
) |
|
$ |
0 |
|
|
$ |
(97 |
) |
| BPS |
|
|
16 |
|
|
|
0 |
|
|
|
0 |
|
|
|
16 |
|
|
|
|
|
|
|
(23 |
) |
|
|
0 |
|
|
|
(27 |
) |
|
|
(50 |
) |
|
|
(34 |
) |
|
|
73 |
|
|
|
39 |
|
| BRC |
|
|
793 |
|
|
|
0 |
|
|
|
1,248 |
|
|
|
2,041 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
(1,893 |
) |
|
|
(1,893 |
) |
|
|
148 |
|
|
|
(780 |
) |
|
|
(632 |
) |
| CBK |
|
|
132 |
|
|
|
0 |
|
|
|
0 |
|
|
|
132 |
|
|
|
|
|
|
|
(449 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(449 |
) |
|
|
(317 |
) |
|
|
281 |
|
|
|
(36 |
) |
| DUB |
|
|
0 |
|
|
|
0 |
|
|
|
6,268 |
|
|
|
6,268 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6,268 |
|
|
|
(6,250 |
) |
|
|
18 |
|
| FBF |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(69 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(69 |
) |
|
|
(69 |
) |
|
|
0 |
|
|
|
(69 |
) |
| GLM |
|
|
3 |
|
|
|
0 |
|
|
|
0 |
|
|
|
3 |
|
|
|
|
|
|
|
(487 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(487 |
) |
|
|
(484 |
) |
|
|
291 |
|
|
|
(193 |
) |
| GST |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
(1,201 |
) |
|
|
(1,201 |
) |
|
|
(1,201 |
) |
|
|
1,690 |
|
|
|
489 |
|
| HUS |
|
|
291 |
|
|
|
0 |
|
|
|
0 |
|
|
|
291 |
|
|
|
|
|
|
|
(18 |
) |
|
|
0 |
|
|
|
(46 |
) |
|
|
(64 |
) |
|
|
227 |
|
|
|
(290 |
) |
|
|
(63 |
) |
| JPM |
|
|
0 |
|
|
|
0 |
|
|
|
729 |
|
|
|
729 |
|
|
|
|
|
|
|
(1,272 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1,272 |
) |
|
|
(543 |
) |
|
|
(880 |
) |
|
|
(1,423 |
) |
| MEI |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
(2,206 |
) |
|
|
(2,206 |
) |
|
|
(2,206 |
) |
|
|
2,309 |
|
|
|
103 |
|
| MYC |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
(2,402 |
) |
|
|
(2,402 |
) |
|
|
(2,402 |
) |
|
|
2,154 |
|
|
|
(248 |
) |
| MYI |
|
|
74 |
|
|
|
0 |
|
|
|
0 |
|
|
|
74 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
74 |
|
|
|
(130 |
) |
|
|
(56 |
) |
| RBC |
|
|
3 |
|
|
|
0 |
|
|
|
0 |
|
|
|
3 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
3 |
|
|
|
0 |
|
|
|
3 |
|
| SCX |
|
|
4 |
|
|
|
0 |
|
|
|
0 |
|
|
|
4 |
|
|
|
|
|
|
|
(1 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
3 |
|
|
|
0 |
|
|
|
3 |
|
| SSB |
|
|
2,440 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2,440 |
|
|
|
|
|
|
|
(2,427 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(2,427 |
) |
|
|
13 |
|
|
|
0 |
|
|
|
13 |
|
| UAG |
|
|
0 |
|
|
|
0 |
|
|
|
45 |
|
|
|
45 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
45 |
|
|
|
(280 |
) |
|
|
(235 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Over the Counter |
|
$ |
4,287 |
|
|
$ |
0 |
|
|
$ |
8,290 |
|
|
$ |
12,577 |
|
|
|
|
|
|
$ |
(5,374 |
) |
|
$ |
0 |
|
|
$ |
(7,775 |
) |
|
$ |
(13,149 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (p) |
Securities with an aggregate market value of $7,117 have been pledged as collateral for financial derivative instruments as
governed by International Swaps and Derivatives Association, Inc. master agreements as of January 31, 2020. |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
33 |
Schedule of Investments PIMCO
Corporate & Income Opportunity Fund (Cont.)
| (1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount
in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
| (2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced
entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater
likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance
risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the
notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
| (5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
|
FAIR VALUE OF FINANCIAL
DERIVATIVE INSTRUMENTS
The following is a
summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the
Statements of Assets and Liabilities as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
218 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
4,804 |
|
|
$ |
5,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
4,287 |
|
|
$ |
0 |
|
|
$ |
4,287 |
|
| Swap Agreements |
|
|
0 |
|
|
|
2,022 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6,268 |
|
|
|
8,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
2,022 |
|
|
$ |
0 |
|
|
$ |
4,287 |
|
|
$ |
6,268 |
|
|
$ |
12,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
2,240 |
|
|
$ |
0 |
|
|
$ |
4,287 |
|
|
$ |
11,072 |
|
|
$ |
17,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
79 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
4,332 |
|
|
$ |
4,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
5,374 |
|
|
$ |
0 |
|
|
$ |
5,374 |
|
| Swap Agreements |
|
|
0 |
|
|
|
7,775 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
7,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
7,775 |
|
|
$ |
0 |
|
|
$ |
5,374 |
|
|
$ |
0 |
|
|
$ |
13,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
7,854 |
|
|
$ |
0 |
|
|
$ |
5,374 |
|
|
$ |
4,332 |
|
|
$ |
17,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial
Derivative Instruments on the Statements of Operations for the period ended January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Net Realized Gain (Loss) on Financial Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
1,491 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(125,214 |
) |
|
$ |
(123,723 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
5,018 |
|
|
$ |
0 |
|
|
$ |
5,018 |
|
| Swap Agreements |
|
|
0 |
|
|
|
6,611 |
|
|
|
0 |
|
|
|
0 |
|
|
|
4,901 |
|
|
|
11,512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
6,611 |
|
|
$ |
0 |
|
|
$ |
5,018 |
|
|
$ |
4,901 |
|
|
$ |
16,530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
8,102 |
|
|
$ |
0 |
|
|
$ |
5,018 |
|
|
$ |
(120,313 |
) |
|
$ |
(107,193 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 34 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Net Change in Unrealized Appreciation (Depreciation) on Financial
Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
(3,632 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
114,852 |
|
|
$ |
111,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(9,961 |
) |
|
$ |
0 |
|
|
$ |
(9,961 |
) |
| Swap Agreements |
|
|
0 |
|
|
|
(107 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(2,034 |
) |
|
|
(2,141 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(107 |
) |
|
$ |
0 |
|
|
$ |
(9,961 |
) |
|
$ |
(2,034 |
) |
|
$ |
(12,102 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(3,739 |
) |
|
$ |
0 |
|
|
$ |
(9,961 |
) |
|
$ |
112,818 |
|
|
$ |
99,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair
valuations according to the inputs used as of January 31, 2020 in valuing the Fund’s assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
236 |
|
|
$ |
239,084 |
|
|
$ |
55,351 |
|
|
$ |
294,671 |
|
| Corporate Bonds & Notes |
|
| Banking & Finance |
|
|
0 |
|
|
|
280,231 |
|
|
|
0 |
|
|
|
280,231 |
|
| Industrials |
|
|
0 |
|
|
|
341,470 |
|
|
|
973 |
|
|
|
342,443 |
|
| Utilities |
|
|
0 |
|
|
|
114,350 |
|
|
|
0 |
|
|
|
114,350 |
|
| Convertible Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
7,772 |
|
|
|
0 |
|
|
|
7,772 |
|
| Utilities |
|
|
0 |
|
|
|
65 |
|
|
|
0 |
|
|
|
65 |
|
| Municipal Bonds & Notes |
|
| California |
|
|
0 |
|
|
|
3,554 |
|
|
|
0 |
|
|
|
3,554 |
|
| Illinois |
|
|
0 |
|
|
|
33,268 |
|
|
|
0 |
|
|
|
33,268 |
|
| Iowa |
|
|
0 |
|
|
|
452 |
|
|
|
0 |
|
|
|
452 |
|
| Texas |
|
|
0 |
|
|
|
1,902 |
|
|
|
0 |
|
|
|
1,902 |
|
| Virginia |
|
|
0 |
|
|
|
1,375 |
|
|
|
0 |
|
|
|
1,375 |
|
| West Virginia |
|
|
0 |
|
|
|
14,506 |
|
|
|
0 |
|
|
|
14,506 |
|
| U.S. Government Agencies |
|
|
0 |
|
|
|
37,951 |
|
|
|
8,635 |
|
|
|
46,586 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
0 |
|
|
|
208,360 |
|
|
|
0 |
|
|
|
208,360 |
|
| Asset-Backed Securities |
|
|
0 |
|
|
|
207,936 |
|
|
|
36,393 |
|
|
|
244,329 |
|
| Sovereign Issues |
|
|
0 |
|
|
|
81,591 |
|
|
|
0 |
|
|
|
81,591 |
|
| Common Stocks |
|
| Communication Services |
|
|
4,336 |
|
|
|
14 |
|
|
|
0 |
|
|
|
4,350 |
|
| Consumer Discretionary |
|
|
10,320 |
|
|
|
0 |
|
|
|
0 |
|
|
|
10,320 |
|
| Energy |
|
|
10 |
|
|
|
0 |
|
|
|
0 |
|
|
|
10 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
563 |
|
|
|
563 |
|
| Warrants |
|
| Communication Services |
|
|
0 |
|
|
|
7,475 |
|
|
|
0 |
|
|
|
7,475 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
3,000 |
|
|
|
3,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Preferred Securities |
|
| Banking & Finance |
|
$ |
0 |
|
|
$ |
53,569 |
|
|
$ |
0 |
|
|
$ |
53,569 |
|
| Industrials |
|
|
0 |
|
|
|
1,331 |
|
|
|
38,216 |
|
|
|
39,547 |
|
| Real Estate Investment Trusts |
|
| Real Estate |
|
|
23,009 |
|
|
|
0 |
|
|
|
0 |
|
|
|
23,009 |
|
| Short-Term Instruments |
|
| Repurchase Agreements |
|
|
0 |
|
|
|
58,609 |
|
|
|
0 |
|
|
|
58,609 |
|
| Argentina Treasury Bills |
|
|
0 |
|
|
|
1,518 |
|
|
|
0 |
|
|
|
1,518 |
|
| U.S. Treasury Bills |
|
|
0 |
|
|
|
15,855 |
|
|
|
0 |
|
|
|
15,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
$ |
37,911 |
|
|
$ |
1,712,238 |
|
|
$ |
143,131 |
|
|
$ |
1,893,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
5,022 |
|
|
|
0 |
|
|
|
5,022 |
|
| Over the counter |
|
|
0 |
|
|
|
12,532 |
|
|
|
45 |
|
|
|
12,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
17,554 |
|
|
$ |
45 |
|
|
$ |
17,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
(4,411 |
) |
|
|
0 |
|
|
|
(4,411 |
) |
| Over the counter |
|
|
0 |
|
|
|
(13,149 |
) |
|
|
0 |
|
|
|
(13,149 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(17,560 |
) |
|
$ |
0 |
|
|
$ |
(17,560 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Financial Derivative Instruments |
|
$ |
0 |
|
|
$ |
(6 |
) |
|
$ |
45 |
|
|
$ |
39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
37,911 |
|
|
$ |
1,712,232 |
|
|
$ |
143,176 |
|
|
$ |
1,893,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is
a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Beginning
Balance
at 07/31/2019 |
|
|
Net
Purchases(1) |
|
|
Net
Sales/Settlements(1) |
|
|
Accrued
Discounts/
(Premiums) |
|
|
Realized
Gain/(Loss) |
|
|
Net Change in
Unrealized
Appreciation/
(Depreciation)(2) |
|
|
Transfers into
Level 3 |
|
|
Transfers out
of Level 3 |
|
|
Ending
Balance
at 01/31/2020 |
|
|
Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2020(2) |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
9,171 |
|
|
$ |
41,202 |
|
|
$ |
(624 |
) |
|
$ |
(79 |
) |
|
$ |
(1 |
) |
|
$ |
278 |
|
|
$ |
5,404 |
|
|
$ |
0 |
|
|
$ |
55,351 |
|
|
$ |
283 |
|
| Corporate Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
1,219 |
|
|
|
0 |
|
|
|
10 |
|
|
|
0 |
|
|
|
(256 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
973 |
|
|
|
(256 |
) |
| U.S. Government Agencies |
|
|
8,631 |
|
|
|
0 |
|
|
|
(86 |
) |
|
|
250 |
|
|
|
29 |
|
|
|
(189 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
8,635 |
|
|
|
(193 |
) |
| Asset-Backed Securities |
|
|
46,486 |
|
|
|
0 |
|
|
|
(7,852 |
) |
|
|
0 |
|
|
|
689 |
|
|
|
(2,930 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
36,393 |
|
|
|
(3,419 |
) |
| Common Stocks |
|
| Industrials |
|
|
654 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(91 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
563 |
|
|
|
(90 |
) |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
35 |
Schedule of Investments PIMCO
Corporate & Income Opportunity Fund (Cont.)
January 31, 2020 (Unaudited)
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|
| Category and Subcategory |
|
Beginning
Balance
at 07/31/2019 |
|
|
Net
Purchases(1) |
|
|
Net
Sales/Settlements(1) |
|
|
Accrued
Discounts/
(Premiums) |
|
|
Realized
Gain/(Loss) |
|
|
Net Change in
Unrealized
Appreciation/
(Depreciation)(2) |
|
|
Transfers into
Level 3 |
|
|
Transfers out
of Level 3 |
|
|
Ending
Balance
at 01/31/2020 |
|
|
Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2020(2) |
|
| Warrants |
|
| Industrials |
|
$ |
2,513 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
487 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
3,000 |
|
|
$ |
487 |
|
| Preferred Securities |
|
| Industrials |
|
|
36,716 |
|
|
|
2,130 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(630 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
38,216 |
|
|
|
(630 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
104,171 |
|
|
$ |
44,551 |
|
|
$ |
(8,562 |
) |
|
$ |
181 |
|
|
$ |
717 |
|
|
$ |
(3,331 |
) |
|
$ |
5,404 |
|
|
$ |
0 |
|
|
$ |
143,131 |
|
|
$ |
(3,818 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative
Instruments - Assets |
|
| Over the counter |
|
$ |
80 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(35 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
45 |
|
|
$ |
(17 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
104,251 |
|
|
$ |
44,551 |
|
|
$ |
(8,562 |
) |
|
$ |
181 |
|
|
$ |
717 |
|
|
$ |
(3,366 |
) |
|
$ |
5,404 |
|
|
$ |
0 |
|
|
$ |
143,176 |
|
|
$ |
(3,835 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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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:
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|
| Category and Subcategory |
|
Ending
Balance
at 01/31/2020 |
|
|
Valuation
Technique |
|
Unobservable
Inputs |
|
(% Unless Noted Otherwise) |
|
| |
Input Value(s)
|
|
|
Weighted
Average |
|
| Investments in Securities, at Value |
|
|
|
|
|
| Loan Participations and Assignments |
|
$ |
32,000 |
|
|
Market Based Approach |
|
Recovery Value |
|
|
100.000 |
|
|
|
— |
|
|
|
|
8,126 |
|
|
Proxy Pricing |
|
Base Price |
|
|
92.606-101.080 |
|
|
|
98.242 |
|
|
|
|
15,225 |
|
|
Third Party Vendor |
|
Broker Quote |
|
|
75.500-102.000 |
|
|
|
95.584 |
|
| Corporate Bonds & Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials |
|
|
973 |
|
|
Other Valuation Techniques(3) |
|
— |
|
|
— |
|
|
|
— |
|
| U.S. Government Agencies |
|
|
8,635 |
|
|
Proxy Pricing |
|
Base Price |
|
|
60.540 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
36,393 |
|
|
Proxy Pricing |
|
Base Price |
|
|
76.154-100,937.971 |
|
|
|
48,442.426 |
|
| Common Stocks |
|
| Industrials |
|
|
563 |
|
|
Other Valuation Techniques(3) |
|
— |
|
|
— |
|
|
|
— |
|
| Warrants |
|
| Industrials |
|
|
3,000 |
|
|
Other Valuation Techniques(3) |
|
— |
|
|
— |
|
|
|
— |
|
| Preferred Securities |
|
| Industrials |
|
|
38,216 |
|
|
Fundamental Valuation |
|
Company Equity Value |
|
$ |
948,002,602.394 |
|
|
|
— |
|
|
| Financial Derivative
Instruments - Assets |
|
| Over the counter |
|
|
45 |
|
|
Indicative Market Quotation |
|
Broker Quote |
|
|
1.718 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
143,176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
| (1) |
Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap
agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. |
| (2) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at January 31, 2020 may be due to an investment no longer held or categorized as Level 3 at period end. |
| (3) |
Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not
considered significant to the Fund. |
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| 36 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
Schedule of Investments PIMCO Corporate & Income Strategy Fund
January 31, 2020 (Unaudited)
(Amounts in thousands*, except number of shares, contracts and units, if any)
|
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| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| INVESTMENTS IN SECURITIES 131.7% |
|
|
|
| LOAN PARTICIPATIONS AND ASSIGNMENTS 14.5% |
|
|
| Advanz Pharma Corp. |
|
| 7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |
|
$ |
|
|
4,516 |
|
|
$ |
|
|
4,290 |
|
|
| Al Convoy (Luxembourg) S.a.r.l. |
|
| TBD% due 01/29/2027 |
|
|
|
|
68 |
|
|
|
|
|
68 |
|
|
| Alphabet Holding Co., Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 09/26/2024 ~ |
|
|
|
|
98 |
|
|
|
|
|
94 |
|
|
| Altice France S.A. |
|
| 5.676% (LIBOR03M + 4.000%) due 08/14/2026 ~ |
|
|
|
|
296 |
|
|
|
|
|
297 |
|
|
| CenturyLink, Inc. |
|
| TBD% due 03/15/2027 |
|
|
|
|
271 |
|
|
|
|
|
271 |
|
|
| Clay Holdco BV |
|
| TBD% due 11/06/2026 |
|
EUR |
|
|
2,700 |
|
|
|
|
|
3,005 |
|
|
| Diamond Resorts Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 09/02/2023 ~ |
|
$ |
|
|
557 |
|
|
|
|
|
549 |
|
|
| Dubai World (3.000% Cash and 1.750% PIK) |
|
| 4.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(d) |
|
|
|
|
497 |
|
|
|
|
|
465 |
|
|
| Emerald TopCo, Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 07/24/2026 ~ |
|
|
|
|
107 |
|
|
|
|
|
107 |
|
|
| Envision Healthcare Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 10/10/2025 ~ |
|
|
|
|
15,686 |
|
|
|
|
|
13,271 |
|
|
| Financial & Risk U.S. Holdings, Inc. |
|
| 4.895% (LIBOR03M + 3.250%) due 10/01/2025 ~ |
|
|
|
|
687 |
|
|
|
|
|
696 |
|
|
| Forbes Energy Services LLC (6.909% Cash and 11.000% PIK) |
|
| 17.909% (LIBOR03M + 5.000%) due 04/13/2021 ~(d) |
|
|
|
|
178 |
|
|
|
|
|
178 |
|
|
| Froneri Ltd. |
|
| TBD% due 01/28/2028 « |
|
|
|
|
7 |
|
|
|
|
|
7 |
|
|
| Frontier Communications Corp. |
|
| 5.400% (LIBOR03M + 3.750%) due 06/15/2024 ~ |
|
|
|
|
586 |
|
|
|
|
|
593 |
|
|
| iHeartCommunications, Inc. |
|
| 5.781% (LIBOR03M + 4.000%) due 05/01/2026 ~ |
|
|
|
|
3,553 |
|
|
|
|
|
3,567 |
|
|
| IRB Holding Corp. |
|
| 4.384% (LIBOR03M + 2.750%) due 02/05/2025 ~ |
|
|
|
|
928 |
|
|
|
|
|
931 |
|
|
| Jefferies Finance LLC |
|
| 5.063% (LIBOR03M + 3.250%) due 06/03/2026 ~ |
|
|
|
|
21 |
|
|
|
|
|
21 |
|
|
| McDermott Technology Americas, Inc. |
|
| TBD% due 10/21/2021 ^µ(e) |
|
|
|
|
2,203 |
|
|
|
|
|
2,306 |
|
| TBD% due 05/09/2025 ^(e) |
|
|
|
|
2,082 |
|
|
|
|
|
1,327 |
|
|
| Messer Industrie GmbH |
|
| 4.445% (LIBOR03M + 2.500%) due 03/01/2026 ~ |
|
|
|
|
64 |
|
|
|
|
|
64 |
|
|
| MH Sub LLC |
|
| 5.395% (LIBOR03M + 3.750%) due 09/13/2024 ~ |
|
|
|
|
117 |
|
|
|
|
|
117 |
|
|
| Nascar Holdings, Inc. |
|
| 4.408% (LIBOR03M + 2.750%) due 10/19/2026 ~ |
|
|
|
|
68 |
|
|
|
|
|
69 |
|
|
| NCI Building Systems, Inc. |
|
| 5.434% (LIBOR03M + 3.750%) due 04/12/2025 ~ |
|
|
|
|
39 |
|
|
|
|
|
40 |
|
|
| Neiman Marcus Group Ltd. LLC |
|
| 7.734% (LIBOR03M + 6.000%) due 10/25/2023 ~ |
|
|
|
|
9,839 |
|
|
|
|
|
8,363 |
|
|
| Neiman Marcus Group Ltd. LLC (7.234% - 7.277% Cash and 1.000% PIK) |
|
| 8.234% - 8.277% (LIBOR03M + 5.500%) due 10/25/2023 ~(d) |
|
|
|
|
7,502 |
|
|
|
|
|
6,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Ortho-Clinical Diagnostics S.A. |
|
| 5.013% (LIBOR03M + 3.250%) due 06/30/2025 ~ |
|
$ |
|
|
574 |
|
|
$ |
|
|
568 |
|
|
| Pacific Gas & Electric Co. |
|
| TBD% due 02/22/2049 ^(e) |
|
|
|
|
100 |
|
|
|
|
|
105 |
|
|
| Parexel International Corp. |
|
| 4.395% (LIBOR03M + 2.750%) due 09/27/2024 ~ |
|
|
|
|
88 |
|
|
|
|
|
87 |
|
|
| PetSmart, Inc. |
|
| 5.670% (LIBOR03M + 4.000%) due 03/11/2022 ~ |
|
|
|
|
62 |
|
|
|
|
|
62 |
|
|
| PG&E Corp. |
|
| TBD% due 04/16/2020 |
|
|
|
|
1,186 |
|
|
|
|
|
1,216 |
|
|
| Playtika Holding Corp. |
|
| 7.645% (LIBOR03M + 6.000%) due 12/10/2024 ~ |
|
|
|
|
3,734 |
|
|
|
|
|
3,775 |
|
|
| Pug LLC |
|
| TBD% due 01/15/2027 |
|
|
|
|
32 |
|
|
|
|
|
32 |
|
|
| Reynolds Consumer Products, Inc. |
|
| TBD% due 01/29/2027 |
|
|
|
|
100 |
|
|
|
|
|
101 |
|
|
| Sotera Health Holdings LLC |
|
| 6.145% (LIBOR03M + 4.500%) due 12/11/2026 ~ |
|
|
|
|
131 |
|
|
|
|
|
132 |
|
|
| Sprint Communications, Inc. |
|
| 4.188% (LIBOR03M + 2.500%) due 02/02/2024 ~ |
|
|
|
|
1,556 |
|
|
|
|
|
1,537 |
|
|
| Starfruit Finco BV |
|
| 4.699% (LIBOR03M + 3.000%) due 10/01/2025 ~ |
|
|
|
|
183 |
|
|
|
|
|
183 |
|
|
| Summer (BC) Holdco B SARL |
|
| TBD% due 10/15/2026 « |
|
|
|
|
2,384 |
|
|
|
|
|
2,321 |
|
| TBD% due 12/04/2026 « |
|
|
|
|
596 |
|
|
|
|
|
580 |
|
|
| Sunshine Luxembourg SARL |
|
| 6.195% (LIBOR03M + 4.250%) due 10/01/2026 ~ |
|
|
|
|
194 |
|
|
|
|
|
195 |
|
|
| Syniverse Holdings, Inc. |
|
| 6.873% (LIBOR03M + 5.000%) due 03/09/2023 ~ |
|
|
|
|
6,095 |
|
|
|
|
|
5,582 |
|
|
| U.S. Renal Care, Inc. |
|
| 6.645% (LIBOR03M + 5.000%) due 06/26/2026 ~ |
|
|
|
|
420 |
|
|
|
|
|
418 |
|
|
| Univision Communications, Inc. |
|
| 4.395% (LIBOR03M + 2.750%) due 03/15/2024 ~ |
|
|
|
|
3,938 |
|
|
|
|
|
3,898 |
|
|
| West Corp. |
|
| 5.645% (LIBOR03M + 4.000%) due 10/10/2024 ~ |
|
|
|
|
32 |
|
|
|
|
|
27 |
|
|
| Westmoreland Mining Holdings LLC |
|
| 10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |
|
|
|
|
1,124 |
|
|
|
|
|
1,135 |
|
|
| Westmoreland Mining Holdings LLC (15.000% PIK) |
|
| 15.000% due 03/15/2029 «(d) |
|
|
|
|
3,299 |
|
|
|
|
|
2,490 |
|
|
| Windstream Services LLC |
|
| 9.000% (PRIME + 4.250%) due 02/17/2024 ~ |
|
|
|
|
12,100 |
|
|
|
|
|
11,540 |
|
| 9.750% (PRIME + 5.000%) due 03/29/2021 ~ |
|
|
|
|
3,070 |
|
|
|
|
|
3,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations and Assignments
(Cost $90,505) |
|
|
86,038 |
|
|
|
|
|
|
|
|
| CORPORATE BONDS & NOTES 51.4% |
|
|
|
| BANKING & FINANCE 22.0% |
|
|
| Ally Financial, Inc. |
|
| 4.250% due 04/15/2021 |
|
|
|
|
50 |
|
|
|
|
|
51 |
|
| 8.000% due 11/01/2031 (l) |
|
|
|
|
1,767 |
|
|
|
|
|
2,492 |
|
|
| Ambac LSNI LLC |
|
| 6.945% due 02/12/2023 •(l) |
|
|
|
|
482 |
|
|
|
|
|
491 |
|
|
| Ardonagh Midco PLC |
|
| 8.375% due 07/15/2023 |
|
GBP |
|
|
11,067 |
|
|
|
|
|
14,911 |
|
| 8.625% due 07/15/2023 |
|
$ |
|
|
200 |
|
|
|
|
|
206 |
|
|
| Banco BTG Pactual S.A. |
|
| 4.500% due 01/10/2025 |
|
|
|
|
200 |
|
|
|
|
|
206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Banco de Credito del Peru |
|
| 4.650% due 09/17/2024 |
|
PEN |
|
|
700 |
|
|
$ |
|
|
211 |
|
|
| Barclays PLC |
|
| 3.250% due 01/17/2033 |
|
GBP |
|
|
200 |
|
|
|
|
|
285 |
|
| 7.125% due 06/15/2025 •(i) |
|
|
|
|
1,300 |
|
|
|
|
|
1,973 |
|
| 7.250% due 03/15/2023 •(i) |
|
|
|
|
6,300 |
|
|
|
|
|
9,202 |
|
| 7.750% due 09/15/2023 •(i)(l) |
|
$ |
|
|
800 |
|
|
|
|
|
877 |
|
|
| Brookfield Finance, Inc. |
|
| 3.900% due 01/25/2028 |
|
|
|
|
12 |
|
|
|
|
|
13 |
|
| 4.700% due 09/20/2047 |
|
|
|
|
138 |
|
|
|
|
|
168 |
|
|
| Cantor Fitzgerald LP |
|
| 4.875% due 05/01/2024 |
|
|
|
|
29 |
|
|
|
|
|
31 |
|
| 6.500% due 06/17/2022 (l) |
|
|
|
|
8,000 |
|
|
|
|
|
8,738 |
|
|
| CBL & Associates LP |
|
| 5.250% due 12/01/2023 |
|
|
|
|
112 |
|
|
|
|
|
68 |
|
| 5.950% due 12/15/2026 (l) |
|
|
|
|
986 |
|
|
|
|
|
496 |
|
|
| Credit Agricole S.A. |
|
| 7.875% due 01/23/2024 •(i)(l) |
|
|
|
|
200 |
|
|
|
|
|
228 |
|
|
| Credit Suisse Group AG |
|
| 7.500% due 07/17/2023 •(i) |
|
|
|
|
200 |
|
|
|
|
|
221 |
|
|
| Deutsche Bank AG |
|
| 3.961% due 11/26/2025 •(l) |
|
|
|
|
1,050 |
|
|
|
|
|
1,098 |
|
|
| Emerald Bay S.A. |
|
| 0.000% due 10/08/2020 (h) |
|
EUR |
|
|
1,657 |
|
|
|
|
|
1,812 |
|
|
| EPR Properties |
|
| 4.750% due 12/15/2026 (l) |
|
$ |
|
|
2,130 |
|
|
|
|
|
2,373 |
|
|
| Equitable Holdings, Inc. |
|
| 5.000% due 04/20/2048 |
|
|
|
|
9 |
|
|
|
|
|
10 |
|
|
| ESH Hospitality, Inc. |
|
| 4.625% due 10/01/2027 |
|
|
|
|
56 |
|
|
|
|
|
56 |
|
|
| Flagstar Bancorp, Inc. |
|
| 6.125% due 07/15/2021 (l) |
|
|
|
|
3,500 |
|
|
|
|
|
3,651 |
|
|
| Ford Motor Credit Co. LLC |
|
| 3.087% due 01/09/2023 |
|
|
|
|
400 |
|
|
|
|
|
404 |
|
|
| Fortress Transportation & Infrastructure Investors LLC |
|
| 6.500% due 10/01/2025 (l) |
|
|
|
|
361 |
|
|
|
|
|
384 |
|
| 6.750% due 03/15/2022 (l) |
|
|
|
|
476 |
|
|
|
|
|
491 |
|
|
| GSPA Monetization Trust |
|
| 6.422% due 10/09/2029 |
|
|
|
|
3,314 |
|
|
|
|
|
3,879 |
|
|
| HSBC Bank PLC |
|
| 6.330% due 05/18/2023 |
|
|
|
|
5,800 |
|
|
|
|
|
6,133 |
|
|
| HSBC Holdings PLC |
|
| 5.875% due 09/28/2026 •(i)(l) |
|
GBP |
|
|
200 |
|
|
|
|
|
296 |
|
| 6.000% due 09/29/2023 •(i)(l) |
|
EUR |
|
|
2,100 |
|
|
|
|
|
2,696 |
|
| 6.500% due 03/23/2028 •(i) |
|
$ |
|
|
480 |
|
|
|
|
|
535 |
|
|
| Hunt Cos., Inc. |
|
| 6.250% due 02/15/2026 |
|
|
|
|
24 |
|
|
|
|
|
23 |
|
|
| ING Groep NV |
|
| 5.750% due 11/16/2026 •(i) |
|
|
|
|
300 |
|
|
|
|
|
321 |
|
|
| Kennedy-Wilson, Inc. |
|
| 5.875% due 04/01/2024 |
|
|
|
|
66 |
|
|
|
|
|
68 |
|
|
| Ladder Capital Finance Holdings LLLP |
|
| 4.250% due 02/01/2027 |
|
|
|
|
55 |
|
|
|
|
|
55 |
|
|
| Lloyds Banking Group PLC |
|
| 7.500% due 09/27/2025 •(i)(l) |
|
|
|
|
300 |
|
|
|
|
|
343 |
|
| 7.625% due 06/27/2023 •(i) |
|
GBP |
|
|
2,166 |
|
|
|
|
|
3,222 |
|
| 7.875% due 06/27/2029 •(i) |
|
|
|
|
5,655 |
|
|
|
|
|
9,601 |
|
|
| LoanCore Capital Markets LLC |
|
| 6.875% due 06/01/2020 (l) |
|
$ |
|
|
6,100 |
|
|
|
|
|
6,111 |
|
|
| Nationstar Mortgage LLC |
|
| 6.500% due 07/01/2021 (l) |
|
|
|
|
591 |
|
|
|
|
|
592 |
|
|
| Navient Corp. |
|
| 5.625% due 08/01/2033 (l) |
|
|
|
|
686 |
|
|
|
|
|
624 |
|
|
| Newmark Group, Inc. |
|
| 6.125% due 11/15/2023 |
|
|
|
|
62 |
|
|
|
|
|
68 |
|
|
| Oppenheimer Holdings, Inc. |
|
| 6.750% due 07/01/2022 |
|
|
|
|
1,122 |
|
|
|
|
|
1,159 |
|
|
| Park Aerospace Holdings Ltd. |
|
| 5.500% due 02/15/2024 |
|
|
|
|
20 |
|
|
|
|
|
22 |
|
|
| Royal Bank of Scotland Group PLC |
|
| 7.500% due 08/10/2020 •(i) |
|
|
|
|
3,070 |
|
|
|
|
|
3,146 |
|
| 8.000% due 08/10/2025 •(i)(l) |
|
|
|
|
6,390 |
|
|
|
|
|
7,468 |
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
37 |
Schedule of Investments PIMCO
Corporate & Income Strategy Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Santander UK Group Holdings PLC |
|
| 6.750% due 06/24/2024 •(i) |
|
GBP |
|
|
3,795 |
|
|
$ |
|
|
5,591 |
|
| 7.375% due 06/24/2022 •(i) |
|
|
|
|
3,520 |
|
|
|
|
|
5,109 |
|
|
| SBA Communications Corp. |
|
| 3.875% due 02/15/2027 (c) |
|
$ |
|
|
154 |
|
|
|
|
|
157 |
|
|
| Societe Generale S.A. |
|
| 6.750% due 04/06/2028 •(i) |
|
|
|
|
200 |
|
|
|
|
|
225 |
|
| 7.375% due 10/04/2023 •(i)(l) |
|
|
|
|
600 |
|
|
|
|
|
662 |
|
|
| Springleaf Finance Corp. |
|
| 5.375% due 11/15/2029 |
|
|
|
|
17 |
|
|
|
|
|
18 |
|
| 5.625% due 03/15/2023 (l) |
|
|
|
|
1,172 |
|
|
|
|
|
1,257 |
|
| 6.875% due 03/15/2025 |
|
|
|
|
93 |
|
|
|
|
|
105 |
|
|
| Tesco Property Finance PLC |
|
| 7.623% due 07/13/2039 |
|
GBP |
|
|
233 |
|
|
|
|
|
462 |
|
|
| TP ICAP PLC |
|
| 5.250% due 01/26/2024 (l) |
|
|
|
|
2,939 |
|
|
|
|
|
4,310 |
|
|
| UniCredit SpA |
|
| 7.830% due 12/04/2023 |
|
$ |
|
|
4,050 |
|
|
|
|
|
4,782 |
|
|
| Unique Pub Finance Co. PLC |
|
| 5.659% due 06/30/2027 |
|
GBP |
|
|
2,793 |
|
|
|
|
|
4,245 |
|
|
| Voyager Aviation Holdings LLC |
|
| 8.500% due 08/15/2021 (l) |
|
$ |
|
|
5,971 |
|
|
|
|
|
6,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 22.3% |
|
|
| Albertsons Cos., Inc. |
|
| 3.500% due 02/15/2023 (c) |
|
|
|
|
48 |
|
|
|
|
|
49 |
|
| 4.625% due 01/15/2027 |
|
|
|
|
48 |
|
|
|
|
|
49 |
|
| 4.875% due 02/15/2030 (c) |
|
|
|
|
54 |
|
|
|
|
|
56 |
|
|
| Altice Financing S.A. |
|
| 2.250% due 01/15/2025 |
|
EUR |
|
|
100 |
|
|
|
|
|
109 |
|
| 7.500% due 05/15/2026 (l) |
|
$ |
|
|
1,400 |
|
|
|
|
|
1,499 |
|
|
| Altice France S.A. |
|
| 7.375% due 05/01/2026 (l) |
|
|
|
|
3,501 |
|
|
|
|
|
3,731 |
|
|
| Associated Materials LLC |
|
| 9.000% due 01/01/2024 (l) |
|
|
|
|
774 |
|
|
|
|
|
677 |
|
|
| Avon International Capital PLC |
|
| 6.500% due 08/15/2022 |
|
|
|
|
24 |
|
|
|
|
|
25 |
|
|
| B.C. Unlimited Liability Co. |
|
| 4.375% due 01/15/2028 |
|
|
|
|
33 |
|
|
|
|
|
33 |
|
|
| Baffinland Iron Mines Corp. |
|
| 8.750% due 07/15/2026 (l) |
|
|
|
|
1,400 |
|
|
|
|
|
1,457 |
|
|
| Bausch Health Cos., Inc. |
|
| 5.000% due 01/30/2028 |
|
|
|
|
84 |
|
|
|
|
|
85 |
|
| 5.250% due 01/30/2030 |
|
|
|
|
84 |
|
|
|
|
|
86 |
|
|
| BCPE Cycle Merger Sub, Inc. |
|
| 10.625% due 07/15/2027 |
|
|
|
|
71 |
|
|
|
|
|
73 |
|
|
| Bioceanico Sovereign Certificate Ltd. |
|
| 0.000% due 06/05/2034 (h) |
|
|
|
|
150 |
|
|
|
|
|
106 |
|
|
| Bombardier, Inc. |
|
| 6.000% due 10/15/2022 |
|
|
|
|
28 |
|
|
|
|
|
28 |
|
| 6.125% due 01/15/2023 |
|
|
|
|
345 |
|
|
|
|
|
341 |
|
| 7.500% due 03/15/2025 |
|
|
|
|
11 |
|
|
|
|
|
11 |
|
| 7.875% due 04/15/2027 (l) |
|
|
|
|
6,633 |
|
|
|
|
|
6,301 |
|
|
| Camelot Finance S.A. |
|
| 4.500% due 11/01/2026 |
|
|
|
|
8 |
|
|
|
|
|
8 |
|
|
| CCO Holdings LLC |
|
| 4.750% due 03/01/2030 |
|
|
|
|
160 |
|
|
|
|
|
165 |
|
|
| Centene Corp. |
|
| 4.250% due 12/15/2027 |
|
|
|
|
56 |
|
|
|
|
|
59 |
|
| 4.625% due 12/15/2029 |
|
|
|
|
114 |
|
|
|
|
|
123 |
|
| 4.750% due 01/15/2025 |
|
|
|
|
160 |
|
|
|
|
|
166 |
|
|
| Charter Communications Operating LLC |
|
| 4.800% due 03/01/2050 |
|
|
|
|
192 |
|
|
|
|
|
208 |
|
|
| Clear Channel Worldwide Holdings, Inc. |
|
| 9.250% due 02/15/2024 (l) |
|
|
|
|
1,869 |
|
|
|
|
|
2,039 |
|
|
| Community Health Systems, Inc. |
|
| 6.250% due 03/31/2023 (l) |
|
|
|
|
9,499 |
|
|
|
|
|
9,713 |
|
| 8.000% due 03/15/2026 (l) |
|
|
|
|
753 |
|
|
|
|
|
786 |
|
| 8.625% due 01/15/2024 (l) |
|
|
|
|
1,160 |
|
|
|
|
|
1,235 |
|
|
| Connect Finco SARL |
|
| 6.750% due 10/01/2026 |
|
|
|
|
58 |
|
|
|
|
|
62 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Continental Airlines Pass-Through Trust |
|
| 9.798% due 10/01/2022 |
|
$ |
|
|
161 |
|
|
$ |
|
|
165 |
|
|
| Corning, Inc. |
|
| 5.450% due 11/15/2079 |
|
|
|
|
70 |
|
|
|
|
|
81 |
|
|
| DAE Funding LLC |
|
| 5.250% due 11/15/2021 |
|
|
|
|
268 |
|
|
|
|
|
279 |
|
| 5.750% due 11/15/2023 |
|
|
|
|
268 |
|
|
|
|
|
282 |
|
|
| Dealer Tire LLC |
|
| 8.000% due 02/01/2028 (c) |
|
|
|
|
28 |
|
|
|
|
|
28 |
|
|
| Dell International LLC |
|
| 6.020% due 06/15/2026 (l) |
|
|
|
|
2,514 |
|
|
|
|
|
2,939 |
|
|
| Diamond Resorts International, Inc. |
|
| 7.750% due 09/01/2023 (l) |
|
|
|
|
2,730 |
|
|
|
|
|
2,815 |
|
|
| DriveTime Automotive Group, Inc. |
|
| 8.000% due 06/01/2021 (l) |
|
|
|
|
4,100 |
|
|
|
|
|
4,159 |
|
|
| Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
|
| 7.750% due 05/15/2022 (d) |
|
|
|
|
16 |
|
|
|
|
|
16 |
|
|
| Eldorado Resorts, Inc. |
|
| 6.000% due 09/15/2026 (l) |
|
|
|
|
2,000 |
|
|
|
|
|
2,196 |
|
|
| Energy Transfer Operating LP |
|
| 2.900% due 05/15/2025 |
|
|
|
|
34 |
|
|
|
|
|
34 |
|
| 3.750% due 05/15/2030 |
|
|
|
|
75 |
|
|
|
|
|
77 |
|
| 5.000% due 05/15/2050 |
|
|
|
|
69 |
|
|
|
|
|
71 |
|
|
| Exela Intermediate LLC |
|
| 10.000% due 07/15/2023 (l) |
|
|
|
|
117 |
|
|
|
|
|
45 |
|
|
| Fair Isaac Corp. |
|
| 4.000% due 06/15/2028 |
|
|
|
|
8 |
|
|
|
|
|
8 |
|
|
| Ferroglobe PLC |
|
| 9.375% due 03/01/2022 (l) |
|
|
|
|
1,550 |
|
|
|
|
|
1,167 |
|
|
| First Quantum Minerals Ltd. |
|
| 6.500% due 03/01/2024 (l) |
|
|
|
|
1,414 |
|
|
|
|
|
1,365 |
|
| 6.875% due 03/01/2026 (l) |
|
|
|
|
958 |
|
|
|
|
|
921 |
|
| 7.000% due 02/15/2021 |
|
|
|
|
156 |
|
|
|
|
|
156 |
|
|
| Flex Ltd. |
|
| 4.875% due 06/15/2029 |
|
|
|
|
78 |
|
|
|
|
|
88 |
|
|
| Ford Motor Co. |
|
| 7.700% due 05/15/2097 (l) |
|
|
|
|
7,315 |
|
|
|
|
|
8,754 |
|
|
| Fresh Market, Inc. |
|
| 9.750% due 05/01/2023 (l) |
|
|
|
|
5,650 |
|
|
|
|
|
2,797 |
|
|
| Frontier Finance PLC |
|
| 8.000% due 03/23/2022 |
|
GBP |
|
|
4,600 |
|
|
|
|
|
6,260 |
|
|
| Full House Resorts, Inc. |
|
| 8.575% due 01/31/2024 |
|
$ |
|
|
292 |
|
|
|
|
|
287 |
|
| 9.738% due 02/02/2024 |
|
|
|
|
25 |
|
|
|
|
|
25 |
|
|
| Garda World Security Corp. |
|
| 4.625% due 02/15/2027 |
|
|
|
|
82 |
|
|
|
|
|
81 |
|
|
| General Electric Co. |
|
| 0.375% due 05/17/2022 |
|
EUR |
|
|
200 |
|
|
|
|
|
223 |
|
| 5.875% due 01/14/2038 |
|
$ |
|
|
22 |
|
|
|
|
|
28 |
|
| 6.150% due 08/07/2037 |
|
|
|
|
17 |
|
|
|
|
|
22 |
|
| 6.875% due 01/10/2039 |
|
|
|
|
10 |
|
|
|
|
|
14 |
|
|
| HCA, Inc. |
|
| 7.500% due 11/15/2095 (l) |
|
|
|
|
1,200 |
|
|
|
|
|
1,480 |
|
|
| iHeartCommunications, Inc. |
|
| 6.375% due 05/01/2026 (l) |
|
|
|
|
1,143 |
|
|
|
|
|
1,237 |
|
| 8.375% due 05/01/2027 (l) |
|
|
|
|
1,422 |
|
|
|
|
|
1,549 |
|
|
| IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK) |
|
| 3.625% due 05/15/2025 (d) |
|
EUR |
|
|
300 |
|
|
|
|
|
342 |
|
|
| IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) |
|
| 3.875% due 05/15/2027 (d) |
|
|
|
|
100 |
|
|
|
|
|
115 |
|
|
| IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
|
| 6.000% due 05/15/2027 (d) |
|
$ |
|
|
444 |
|
|
|
|
|
473 |
|
|
| IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK) |
|
| 6.375% due 05/15/2029 (d) |
|
|
|
|
327 |
|
|
|
|
|
357 |
|
|
| Intelsat Connect Finance S.A. |
|
| 9.500% due 02/15/2023 |
|
|
|
|
86 |
|
|
|
|
|
46 |
|
|
| Intelsat Jackson Holdings S.A. |
|
| 8.000% due 02/15/2024 |
|
|
|
|
44 |
|
|
|
|
|
45 |
|
| 8.500% due 10/15/2024 (l) |
|
|
|
|
550 |
|
|
|
|
|
466 |
|
| 9.750% due 07/15/2025 |
|
|
|
|
487 |
|
|
|
|
|
422 |
|
|
| Intelsat Luxembourg S.A. |
|
| 7.750% due 06/01/2021 ^(l) |
|
|
|
|
10,499 |
|
|
|
|
|
6,824 |
|
| 8.125% due 06/01/2023 (l) |
|
|
|
|
1,121 |
|
|
|
|
|
465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Kinder Morgan, Inc. |
|
| 7.800% due 08/01/2031 (l) |
|
$ |
|
|
3,580 |
|
|
$ |
|
|
4,959 |
|
|
| Lamar Media Corp. |
|
| 3.750% due 02/15/2028 (c) |
|
|
|
|
53 |
|
|
|
|
|
54 |
|
| 4.000% due 02/15/2030 (c) |
|
|
|
|
23 |
|
|
|
|
|
23 |
|
|
| Laredo Petroleum, Inc. |
|
| 9.500% due 01/15/2025 |
|
|
|
|
20 |
|
|
|
|
|
18 |
|
| 10.125% due 01/15/2028 |
|
|
|
|
34 |
|
|
|
|
|
30 |
|
|
| Mallinckrodt International Finance S.A. |
|
| 5.500% due 04/15/2025 (l) |
|
|
|
|
474 |
|
|
|
|
|
174 |
|
|
| Mattel, Inc. |
|
| 5.875% due 12/15/2027 |
|
|
|
|
17 |
|
|
|
|
|
18 |
|
|
| MEG Energy Corp. |
|
| 7.125% due 02/01/2027 |
|
|
|
|
68 |
|
|
|
|
|
68 |
|
|
| Micron Technology, Inc. |
|
| 5.327% due 02/06/2029 |
|
|
|
|
152 |
|
|
|
|
|
178 |
|
|
| NCL Corp. Ltd. |
|
| 3.625% due 12/15/2024 |
|
|
|
|
70 |
|
|
|
|
|
70 |
|
|
| NCR Corp. |
|
| 5.750% due 09/01/2027 |
|
|
|
|
2 |
|
|
|
|
|
2 |
|
|
| Netflix, Inc. |
|
| 3.625% due 06/15/2030 |
|
EUR |
|
|
200 |
|
|
|
|
|
231 |
|
| 3.875% due 11/15/2029 |
|
|
|
|
604 |
|
|
|
|
|
708 |
|
| 4.625% due 05/15/2029 |
|
|
|
|
200 |
|
|
|
|
|
248 |
|
| 4.875% due 06/15/2030 |
|
$ |
|
|
100 |
|
|
|
|
|
105 |
|
| 5.375% due 11/15/2029 |
|
|
|
|
60 |
|
|
|
|
|
65 |
|
|
| New Albertson’s LP |
|
| 6.570% due 02/23/2028 (l) |
|
|
|
|
5,600 |
|
|
|
|
|
5,504 |
|
|
| Noble Holding International Ltd. |
|
| 7.875% due 02/01/2026 |
|
|
|
|
239 |
|
|
|
|
|
172 |
|
|
| Odebrecht Oil & Gas Finance Ltd. |
|
| 0.000% due 03/02/2020 (h)(i) |
|
|
|
|
753 |
|
|
|
|
|
8 |
|
|
| Ortho-Clinical Diagnostics, Inc. |
|
| 6.625% due 05/15/2022 |
|
|
|
|
79 |
|
|
|
|
|
79 |
|
| 7.250% due 02/01/2028 |
|
|
|
|
92 |
|
|
|
|
|
94 |
|
|
| Pacific Drilling SA |
|
| 8.375% due 10/01/2023 |
|
|
|
|
367 |
|
|
|
|
|
309 |
|
|
| Pan American Energy LLC |
|
| 40.063% (BADLARPP) due 11/20/2020 «~ |
|
ARS |
|
|
49,770 |
|
|
|
|
|
569 |
|
|
| Par Pharmaceutical, Inc. |
|
| 7.500% due 04/01/2027 |
|
$ |
|
|
105 |
|
|
|
|
|
107 |
|
|
| Petroleos Mexicanos |
|
| 2.750% due 04/21/2027 |
|
EUR |
|
|
7,322 |
|
|
|
|
|
7,873 |
|
| 4.750% due 02/26/2029 |
|
|
|
|
600 |
|
|
|
|
|
712 |
|
| 5.950% due 01/28/2031 |
|
$ |
|
|
170 |
|
|
|
|
|
172 |
|
| 6.490% due 01/23/2027 |
|
|
|
|
70 |
|
|
|
|
|
76 |
|
| 6.500% due 03/13/2027 |
|
|
|
|
190 |
|
|
|
|
|
207 |
|
| 6.750% due 09/21/2047 |
|
|
|
|
50 |
|
|
|
|
|
51 |
|
| 6.840% due 01/23/2030 |
|
|
|
|
220 |
|
|
|
|
|
239 |
|
| 6.950% due 01/28/2060 |
|
|
|
|
300 |
|
|
|
|
|
305 |
|
| 7.690% due 01/23/2050 |
|
|
|
|
110 |
|
|
|
|
|
121 |
|
|
| PetSmart, Inc. |
|
| 5.875% due 06/01/2025 |
|
|
|
|
91 |
|
|
|
|
|
94 |
|
|
| Platin 1426 GmbH |
|
| 6.875% due 06/15/2023 |
|
EUR |
|
|
750 |
|
|
|
|
|
850 |
|
|
| Prime Security Services Borrower LLC |
|
| 6.250% due 01/15/2028 |
|
$ |
|
|
88 |
|
|
|
|
|
87 |
|
| 9.250% due 05/15/2023 (l) |
|
|
|
|
454 |
|
|
|
|
|
476 |
|
|
| PTC, Inc. |
|
| 3.625% due 02/15/2025 (c) |
|
|
|
|
27 |
|
|
|
|
|
27 |
|
| 4.000% due 02/15/2028 (c) |
|
|
|
|
14 |
|
|
|
|
|
14 |
|
|
| QVC, Inc. |
|
| 5.950% due 03/15/2043 (l) |
|
|
|
|
2,647 |
|
|
|
|
|
2,692 |
|
|
| Radiate Holdco LLC |
|
| 6.875% due 02/15/2023 |
|
|
|
|
3 |
|
|
|
|
|
3 |
|
|
| Radiology Partners, Inc. |
|
| 9.250% due 02/01/2028 |
|
|
|
|
54 |
|
|
|
|
|
57 |
|
|
| Range Resources Corp. |
|
| 9.250% due 02/01/2026 |
|
|
|
|
42 |
|
|
|
|
|
37 |
|
|
| Refinitiv U.S. Holdings, Inc. |
|
| 4.500% due 05/15/2026 |
|
EUR |
|
|
200 |
|
|
|
|
|
241 |
|
|
| Russian Railways via RZD Capital PLC |
|
| 7.487% due 03/25/2031 |
|
GBP |
|
|
1,000 |
|
|
|
|
|
1,865 |
|
|
|
|
|
|
|
|
|
|
| 38 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Sands China Ltd. |
|
| 4.600% due 08/08/2023 (l) |
|
$ |
|
|
200 |
|
|
$ |
|
|
212 |
|
| 5.125% due 08/08/2025 (l) |
|
|
|
|
200 |
|
|
|
|
|
222 |
|
| 5.400% due 08/08/2028 (l) |
|
|
|
|
2,129 |
|
|
|
|
|
2,425 |
|
|
| Sealed Air Corp. |
|
| 4.000% due 12/01/2027 |
|
|
|
|
9 |
|
|
|
|
|
9 |
|
|
| Sensata Technologies, Inc. |
|
| 4.375% due 02/15/2030 |
|
|
|
|
28 |
|
|
|
|
|
28 |
|
|
| Silgan Holdings, Inc. |
|
| 4.125% due 02/01/2028 |
|
|
|
|
2 |
|
|
|
|
|
2 |
|
|
| Spanish Broadcasting System, Inc. |
|
| 12.500% due 04/15/2049 ^(e) |
|
|
|
|
1,909 |
|
|
|
|
|
1,991 |
|
|
| Spirit Issuer PLC |
|
| 3.492% (BP0003M + 2.700%) due 12/28/2031 ~ |
|
GBP |
|
|
1,000 |
|
|
|
|
|
1,309 |
|
|
| Station Casinos LLC |
|
| 4.500% due 02/15/2028 (c) |
|
$ |
|
|
54 |
|
|
|
|
|
54 |
|
|
| TEGNA, Inc. |
|
| 4.625% due 03/15/2028 |
|
|
|
|
165 |
|
|
|
|
|
166 |
|
|
| Telesat Canada |
|
| 4.875% due 06/01/2027 |
|
|
|
|
31 |
|
|
|
|
|
32 |
|
|
| Tenet Healthcare Corp. |
|
| 4.625% due 09/01/2024 |
|
|
|
|
13 |
|
|
|
|
|
13 |
|
|
| Teva Pharmaceutical Finance BV |
|
| 3.650% due 11/10/2021 (l) |
|
|
|
|
1,864 |
|
|
|
|
|
1,846 |
|
|
| Teva Pharmaceutical Finance Co. BV |
|
| 2.950% due 12/18/2022 (l) |
|
|
|
|
1,332 |
|
|
|
|
|
1,281 |
|
|
| Teva Pharmaceutical Finance Netherlands BV |
|
| 0.375% due 07/25/2020 |
|
EUR |
|
|
156 |
|
|
|
|
|
172 |
|
| 2.200% due 07/21/2021 (l) |
|
$ |
|
|
296 |
|
|
|
|
|
292 |
|
| 3.250% due 04/15/2022 |
|
EUR |
|
|
300 |
|
|
|
|
|
336 |
|
| 6.000% due 01/31/2025 |
|
|
|
|
100 |
|
|
|
|
|
119 |
|
|
| Times Square Hotel Trust |
|
| 8.528% due 08/01/2026 |
|
$ |
|
|
1,337 |
|
|
|
|
|
1,568 |
|
|
| Topaz Solar Farms LLC |
|
| 4.875% due 09/30/2039 (l) |
|
|
|
|
1,899 |
|
|
|
|
|
2,036 |
|
| 5.750% due 09/30/2039 (l) |
|
|
|
|
4,538 |
|
|
|
|
|
5,212 |
|
|
| TransDigm, Inc. |
|
| 5.500% due 11/15/2027 |
|
|
|
|
106 |
|
|
|
|
|
107 |
|
|
| Transocean Pontus Ltd. |
|
| 6.125% due 08/01/2025 |
|
|
|
|
130 |
|
|
|
|
|
134 |
|
|
| Transocean, Inc. |
|
| 7.250% due 11/01/2025 |
|
|
|
|
74 |
|
|
|
|
|
70 |
|
| 7.500% due 01/15/2026 |
|
|
|
|
26 |
|
|
|
|
|
25 |
|
| 8.000% due 02/01/2027 |
|
|
|
|
117 |
|
|
|
|
|
109 |
|
|
| Trident TPI Holdings, Inc. |
|
| 9.250% due 08/01/2024 |
|
|
|
|
17 |
|
|
|
|
|
17 |
|
|
| Triumph Group, Inc. |
|
| 5.250% due 06/01/2022 |
|
|
|
|
24 |
|
|
|
|
|
24 |
|
| 6.250% due 09/15/2024 |
|
|
|
|
67 |
|
|
|
|
|
69 |
|
|
| Unigel Luxembourg S.A. |
|
| 8.750% due 10/01/2026 |
|
|
|
|
400 |
|
|
|
|
|
415 |
|
|
| United Group BV |
|
| 3.125% due 02/15/2026 (c) |
|
EUR |
|
|
210 |
|
|
|
|
|
232 |
|
| 3.250% due 02/15/2026 •(c) |
|
|
|
|
100 |
|
|
|
|
|
112 |
|
| 3.625% due 02/15/2028 (c) |
|
|
|
|
200 |
|
|
|
|
|
220 |
|
| 4.375% due 07/01/2022 |
|
|
|
|
100 |
|
|
|
|
|
113 |
|
| 4.875% due 07/01/2024 |
|
|
|
|
100 |
|
|
|
|
|
115 |
|
|
| Univision Communications, Inc. |
|
| 5.125% due 02/15/2025 (l) |
|
$ |
|
|
539 |
|
|
|
|
|
539 |
|
|
| Valaris PLC |
|
| 5.750% due 10/01/2044 |
|
|
|
|
130 |
|
|
|
|
|
54 |
|
| 7.750% due 02/01/2026 |
|
|
|
|
18 |
|
|
|
|
|
9 |
|
|
| Vale Overseas Ltd. |
|
| 6.250% due 08/10/2026 |
|
|
|
|
151 |
|
|
|
|
|
179 |
|
| 6.875% due 11/21/2036 |
|
|
|
|
59 |
|
|
|
|
|
78 |
|
| 6.875% due 11/10/2039 |
|
|
|
|
43 |
|
|
|
|
|
57 |
|
|
| ViaSat, Inc. |
|
| 5.625% due 09/15/2025 |
|
|
|
|
81 |
|
|
|
|
|
83 |
|
|
| Western Midstream Operating LP |
|
| 2.698% (US0003M + 0.850%) due 01/13/2023 ~ |
|
|
|
|
42 |
|
|
|
|
|
42 |
|
| 3.100% due 02/01/2025 |
|
|
|
|
28 |
|
|
|
|
|
28 |
|
| 4.050% due 02/01/2030 |
|
|
|
|
28 |
|
|
|
|
|
28 |
|
| 5.250% due 02/01/2050 |
|
|
|
|
28 |
|
|
|
|
|
27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| WPX Energy, Inc. |
|
| 4.500% due 01/15/2030 |
|
$ |
|
|
62 |
|
|
$ |
|
|
63 |
|
|
| Wyndham Destinations, Inc. |
|
| 3.900% due 03/01/2023 |
|
|
|
|
72 |
|
|
|
|
|
73 |
|
| 4.625% due 03/01/2030 |
|
|
|
|
42 |
|
|
|
|
|
43 |
|
| 5.400% due 04/01/2024 |
|
|
|
|
10 |
|
|
|
|
|
11 |
|
| 5.750% due 04/01/2027 (l) |
|
|
|
|
714 |
|
|
|
|
|
781 |
|
|
| Wynn Macau Ltd. |
|
| 5.125% due 12/15/2029 |
|
|
|
|
200 |
|
|
|
|
|
199 |
|
|
| YPF S.A. |
|
| 52.818% (BADLARPP + 6.000%) due 03/04/2021 «~(a) |
|
ARS |
|
|
7,090 |
|
|
|
|
|
84 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
131,941 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES 7.1% |
|
|
| Centrais Eletricas Brasileiras S.A. |
|
| 3.625% due 02/04/2025 (c) |
|
$ |
|
|
200 |
|
|
|
|
|
202 |
|
|
| CenturyLink, Inc. |
|
| 4.000% due 02/15/2027 |
|
|
|
|
54 |
|
|
|
|
|
54 |
|
|
| DTEK Finance PLC (10.750% Cash and 0.000% PIK) |
|
| 10.750% due 12/31/2024 (d) |
|
|
|
|
1,192 |
|
|
|
|
|
1,240 |
|
|
| Edison International |
|
| 2.400% due 09/15/2022 |
|
|
|
|
58 |
|
|
|
|
|
58 |
|
| 2.950% due 03/15/2023 |
|
|
|
|
5 |
|
|
|
|
|
5 |
|
| 3.125% due 11/15/2022 |
|
|
|
|
63 |
|
|
|
|
|
64 |
|
| 3.550% due 11/15/2024 |
|
|
|
|
70 |
|
|
|
|
|
74 |
|
| 5.750% due 06/15/2027 |
|
|
|
|
51 |
|
|
|
|
|
59 |
|
|
| Frontier Communications Corp. |
|
| 8.000% due 04/01/2027 |
|
|
|
|
102 |
|
|
|
|
|
107 |
|
|
| Mountain States Telephone & Telegraph Co. |
|
| 7.375% due 05/01/2030 |
|
|
|
|
4,417 |
|
|
|
|
|
4,811 |
|
|
| Odebrecht Drilling Norbe Ltd. |
|
| 6.350% due 12/01/2021 ^ |
|
|
|
|
225 |
|
|
|
|
|
226 |
|
|
| Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
|
| 7.350% due 12/01/2026 ^(d) |
|
|
|
|
179 |
|
|
|
|
|
105 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. |
|
| 6.720% due 12/01/2022 ^(l) |
|
|
|
|
1,138 |
|
|
|
|
|
1,133 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
|
| 7.720% due 12/01/2026 ^(d) |
|
|
|
|
4,697 |
|
|
|
|
|
1,174 |
|
|
| Pacific Gas & Electric Co. |
|
| 2.450% due 08/15/2022 ^(e) |
|
|
|
|
450 |
|
|
|
|
|
477 |
|
| 2.950% due 03/01/2026 ^(e) |
|
|
|
|
392 |
|
|
|
|
|
403 |
|
| 3.250% due 09/15/2021 ^(e) |
|
|
|
|
607 |
|
|
|
|
|
645 |
|
| 3.250% due 06/15/2023 ^(e) |
|
|
|
|
273 |
|
|
|
|
|
284 |
|
| 3.300% due 03/15/2027 ^(e)(l) |
|
|
|
|
716 |
|
|
|
|
|
748 |
|
| 3.400% due 08/15/2024 ^(e) |
|
|
|
|
378 |
|
|
|
|
|
401 |
|
| 3.500% due 06/15/2025 ^(e)(l) |
|
|
|
|
735 |
|
|
|
|
|
775 |
|
| 3.750% due 02/15/2024 ^(e)(l) |
|
|
|
|
691 |
|
|
|
|
|
740 |
|
| 3.750% due 08/15/2042 ^(e) |
|
|
|
|
22 |
|
|
|
|
|
22 |
|
| 3.850% due 11/15/2023 ^(e) |
|
|
|
|
67 |
|
|
|
|
|
72 |
|
| 4.000% due 12/01/2046 ^(e) |
|
|
|
|
7 |
|
|
|
|
|
7 |
|
| 4.250% due 05/15/2021 ^(e) |
|
|
|
|
1,695 |
|
|
|
|
|
1,802 |
|
| 4.250% due 08/01/2023 ^(e) |
|
|
|
|
400 |
|
|
|
|
|
440 |
|
| 4.300% due 03/15/2045 ^(e) |
|
|
|
|
27 |
|
|
|
|
|
29 |
|
| 4.500% due 12/15/2041 ^(e) |
|
|
|
|
275 |
|
|
|
|
|
300 |
|
| 4.600% due 06/15/2043 ^(e) |
|
|
|
|
118 |
|
|
|
|
|
129 |
|
| 4.650% due 08/01/2028 ^(e)(l) |
|
|
|
|
930 |
|
|
|
|
|
1,081 |
|
| 4.750% due 02/15/2044 ^(e)(l) |
|
|
|
|
632 |
|
|
|
|
|
719 |
|
| 5.125% due 11/15/2043 ^(e)(l) |
|
|
|
|
817 |
|
|
|
|
|
932 |
|
| 5.400% due 01/15/2040 ^(e) |
|
|
|
|
16 |
|
|
|
|
|
19 |
|
| 5.800% due 03/01/2037 ^(e)(l) |
|
|
|
|
2,243 |
|
|
|
|
|
2,585 |
|
| 6.050% due 03/01/2034 ^(e)(l) |
|
|
|
|
2,083 |
|
|
|
|
|
2,399 |
|
| 6.250% due 03/01/2039 ^(e)(l) |
|
|
|
|
629 |
|
|
|
|
|
724 |
|
| 6.350% due 02/15/2038 ^(e)(l) |
|
|
|
|
794 |
|
|
|
|
|
920 |
|
|
| Petrobras Global Finance BV |
|
| 5.093% due 01/15/2030 |
|
|
|
|
2,300 |
|
|
|
|
|
2,527 |
|
| 6.250% due 12/14/2026 |
|
GBP |
|
|
3,966 |
|
|
|
|
|
6,275 |
|
| 6.625% due 01/16/2034 |
|
|
|
|
100 |
|
|
|
|
|
161 |
|
|
| RCS & RDS S.A. |
|
| 2.500% due 02/05/2025 (c) |
|
EUR |
|
|
200 |
|
|
|
|
|
223 |
|
|
| Rio Oil Finance Trust |
|
| 8.200% due 04/06/2028 |
|
$ |
|
|
250 |
|
|
|
|
|
293 |
|
| 9.250% due 07/06/2024 |
|
|
|
|
307 |
|
|
|
|
|
344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 9.250% due 07/06/2024 (l) |
|
$ |
|
|
2,230 |
|
|
$ |
|
|
2,504 |
|
| 9.750% due 01/06/2027 (l) |
|
|
|
|
169 |
|
|
|
|
|
200 |
|
| 9.750% due 01/06/2027 |
|
|
|
|
203 |
|
|
|
|
|
240 |
|
|
| Southern California Edison Co. |
|
| 2.850% due 08/01/2029 |
|
|
|
|
14 |
|
|
|
|
|
15 |
|
| 3.650% due 03/01/2028 |
|
|
|
|
5 |
|
|
|
|
|
6 |
|
| 3.650% due 02/01/2050 |
|
|
|
|
27 |
|
|
|
|
|
28 |
|
| 5.750% due 04/01/2035 |
|
|
|
|
10 |
|
|
|
|
|
13 |
|
| 6.000% due 01/15/2034 |
|
|
|
|
2 |
|
|
|
|
|
3 |
|
| 6.650% due 04/01/2029 |
|
|
|
|
39 |
|
|
|
|
|
49 |
|
|
| Southern California Gas Co. |
|
| 2.550% due 02/01/2030 |
|
|
|
|
68 |
|
|
|
|
|
70 |
|
|
| Sprint Communications, Inc. |
|
| 6.000% due 11/15/2022 |
|
|
|
|
40 |
|
|
|
|
|
41 |
|
|
| Sprint Corp. |
|
| 7.125% due 06/15/2024 |
|
|
|
|
742 |
|
|
|
|
|
768 |
|
| 7.250% due 09/15/2021 (l) |
|
|
|
|
420 |
|
|
|
|
|
441 |
|
| 7.250% due 02/01/2028 (c) |
|
|
|
|
278 |
|
|
|
|
|
276 |
|
| 7.875% due 09/15/2023 (l) |
|
|
|
|
1,180 |
|
|
|
|
|
1,256 |
|
|
| Talen Energy Supply LLC |
|
| 6.625% due 01/15/2028 |
|
|
|
|
30 |
|
|
|
|
|
30 |
|
|
| Transocean Poseidon Ltd. |
|
| 6.875% due 02/01/2027 |
|
|
|
|
110 |
|
|
|
|
|
115 |
|
|
| Transocean Sentry Ltd. |
|
| 5.375% due 05/15/2023 |
|
|
|
|
100 |
|
|
|
|
|
101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,944 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds & Notes (Cost $285,341) |
|
|
304,440 |
|
|
|
|
|
|
|
|
| CONVERTIBLE BONDS & NOTES 0.9% |
|
|
|
| INDUSTRIALS 0.9% |
|
|
| Caesars Entertainment Corp. |
|
| 5.000% due 10/01/2024 |
|
|
|
|
994 |
|
|
|
|
|
1,921 |
|
|
| DISH Network Corp. |
|
| 3.375% due 08/15/2026 |
|
|
|
|
3,400 |
|
|
|
|
|
3,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES 0.0% |
|
|
| Ensco Jersey Finance Ltd. |
|
| 3.000% due 01/31/2024 |
|
|
|
|
10 |
|
|
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Convertible Bonds & Notes (Cost $5,262) |
|
|
5,237 |
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS & NOTES 4.7% |
|
|
|
| CALIFORNIA 0.2% |
|
|
| Riverside County, California Redevelopment Successor Agency Tax Allocation Bonds, Series
2010 |
|
| 7.750% due 10/01/2037 |
|
|
|
|
1,220 |
|
|
|
|
|
1,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ILLINOIS 3.0% |
|
|
| Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 |
|
| 7.517% due 01/01/2040 |
|
|
|
|
12,700 |
|
|
|
|
|
16,980 |
|
|
| Chicago, Illinois General Obligation Bonds, Series 2017 |
|
| 7.045% due 01/01/2029 |
|
|
|
|
110 |
|
|
|
|
|
127 |
|
|
| Illinois State General Obligation Bonds, (BABs), Series 2010 |
|
| 6.725% due 04/01/2035 |
|
|
|
|
35 |
|
|
|
|
|
42 |
|
| 7.350% due 07/01/2035 |
|
|
|
|
20 |
|
|
|
|
|
25 |
|
|
| Illinois State General Obligation Bonds, Series 2003 |
|
| 5.100% due 06/01/2033 |
|
|
|
|
270 |
|
|
|
|
|
305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| VIRGINIA 0.1% |
|
|
| Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
|
| 6.706% due 06/01/2046 |
|
|
|
|
760 |
|
|
|
|
|
769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
39 |
Schedule of Investments PIMCO
Corporate & Income Strategy Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| WEST VIRGINIA 1.4% |
|
|
| Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007 |
|
| 0.000% due 06/01/2047 (h) |
|
$ |
|
|
44,400 |
|
|
$ |
|
|
2,059 |
|
| 7.467% due 06/01/2047 |
|
|
|
|
5,655 |
|
|
|
|
|
6,087 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds & Notes (Cost $22,989) |
|
|
27,662 |
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCIES 4.2% |
|
|
| Fannie Mae |
|
| 3.000% due 02/25/2043 (a)(l) |
|
|
|
|
46,454 |
|
|
|
|
|
6,519 |
|
| 5.211% due 07/25/2029 • |
|
|
|
|
850 |
|
|
|
|
|
898 |
|
| 7.411% due 07/25/2029 • |
|
|
|
|
1,150 |
|
|
|
|
|
1,384 |
|
|
| Freddie Mac |
|
| 0.000% due 02/25/2046 (b)(h) |
|
|
|
|
6,400 |
|
|
|
|
|
5,982 |
|
| 0.100% due 02/25/2046 (a) |
|
|
|
|
76,789 |
|
|
|
|
|
44 |
|
| 2.550% due 11/25/2055 «~ |
|
|
|
|
8,020 |
|
|
|
|
|
4,868 |
|
| 9.211% due 12/25/2027 • |
|
|
|
|
3,276 |
|
|
|
|
|
3,935 |
|
| 12.411% due 03/25/2025 • |
|
|
|
|
720 |
|
|
|
|
|
942 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Agencies (Cost $25,407) |
|
|
24,572 |
|
|
|
|
|
|
|
|
| NON-AGENCY MORTGAGE-BACKED SECURITIES 17.0% |
|
|
| Banc of America Alternative Loan Trust |
|
| 5.500% due 10/25/2035 ^ |
|
|
|
|
2,662 |
|
|
|
|
|
2,613 |
|
| 6.000% due 01/25/2036 ^ |
|
|
|
|
83 |
|
|
|
|
|
83 |
|
|
| Banc of America Funding Trust |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
261 |
|
|
|
|
|
254 |
|
|
| Banc of America Mortgage Trust |
|
| 6.000% due 03/25/2037 ^ |
|
|
|
|
260 |
|
|
|
|
|
261 |
|
|
| BCAP LLC Trust |
|
| 3.690% due 08/28/2037 ~ |
|
|
|
|
5,748 |
|
|
|
|
|
5,714 |
|
| 3.783% due 03/27/2036 ~ |
|
|
|
|
2,246 |
|
|
|
|
|
1,986 |
|
| 4.850% due 03/26/2037 þ |
|
|
|
|
743 |
|
|
|
|
|
907 |
|
|
| Bear Stearns ALT-A Trust |
|
| 2.161% due 01/25/2036 ^• |
|
|
|
|
972 |
|
|
|
|
|
1,136 |
|
| 3.801% due 11/25/2036 ^~ |
|
|
|
|
3,387 |
|
|
|
|
|
2,829 |
|
| 3.826% due 09/25/2047 ^~ |
|
|
|
|
5,287 |
|
|
|
|
|
4,269 |
|
| 3.886% due 11/25/2035 ^~ |
|
|
|
|
4,281 |
|
|
|
|
|
4,061 |
|
| 3.943% due 08/25/2036 ^~ |
|
|
|
|
789 |
|
|
|
|
|
561 |
|
| 4.229% due 09/25/2035 ^~ |
|
|
|
|
462 |
|
|
|
|
|
383 |
|
|
| Bear Stearns Commercial Mortgage Securities Trust |
|
| 5.919% due 04/12/2038 ~ |
|
|
|
|
210 |
|
|
|
|
|
213 |
|
|
| Bear Stearns Mortgage Funding Trust |
|
| 7.500% due 08/25/2036 þ |
|
|
|
|
674 |
|
|
|
|
|
651 |
|
|
| CD Commercial Mortgage Trust |
|
| 5.398% due 12/11/2049 ~ |
|
|
|
|
1 |
|
|
|
|
|
1 |
|
|
| CD Mortgage Trust |
|
| 5.688% due 10/15/2048 |
|
|
|
|
5,556 |
|
|
|
|
|
3,362 |
|
|
| Chase Mortgage Finance Trust |
|
| 3.794% due 12/25/2035 ^~ |
|
|
|
|
7 |
|
|
|
|
|
7 |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
727 |
|
|
|
|
|
581 |
|
|
| Citigroup Mortgage Loan Trust |
|
| 3.856% due 04/25/2037 ^~ |
|
|
|
|
198 |
|
|
|
|
|
178 |
|
| 4.106% due 09/25/2037 ^~ |
|
|
|
|
559 |
|
|
|
|
|
489 |
|
|
| Commercial Mortgage Loan Trust |
|
| 6.254% due 12/10/2049 ~ |
|
|
|
|
2,232 |
|
|
|
|
|
1,482 |
|
|
| Countrywide Alternative Loan Resecuritization Trust |
|
| 6.000% due 08/25/2037 ^~ |
|
|
|
|
955 |
|
|
|
|
|
744 |
|
|
| Countrywide Alternative Loan Trust |
|
| 5.500% due 03/25/2035 |
|
|
|
|
267 |
|
|
|
|
|
191 |
|
| 5.750% due 01/25/2035 |
|
|
|
|
247 |
|
|
|
|
|
255 |
|
| 5.750% due 02/25/2035 |
|
|
|
|
321 |
|
|
|
|
|
318 |
|
| 5.750% due 03/25/2037 ^ |
|
|
|
|
586 |
|
|
|
|
|
500 |
|
| 6.000% due 02/25/2035 |
|
|
|
|
951 |
|
|
|
|
|
946 |
|
| 6.000% due 04/25/2036 |
|
|
|
|
898 |
|
|
|
|
|
636 |
|
| 6.000% due 02/25/2037 ^ |
|
|
|
|
5,182 |
|
|
|
|
|
3,276 |
|
| 6.000% due 04/25/2037 ^ |
|
|
|
|
992 |
|
|
|
|
|
701 |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
33 |
|
|
|
|
|
33 |
|
| 6.250% due 12/25/2036 ^• |
|
|
|
|
1,371 |
|
|
|
|
|
975 |
|
| 6.500% due 08/25/2036 ^ |
|
|
|
|
455 |
|
|
|
|
|
273 |
|
|
| Countrywide Home Loan Mortgage Pass-Through Trust |
|
| 3.760% due 09/20/2036 ^~ |
|
|
|
|
224 |
|
|
|
|
|
211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 6.000% due 07/25/2037 |
|
$ |
|
|
1,405 |
|
|
$ |
|
|
1,013 |
|
|
| Credit Suisse Mortgage Capital Certificates |
|
| 4.125% due 10/26/2036 ~ |
|
|
|
|
6,980 |
|
|
|
|
|
5,442 |
|
|
| GS Mortgage Securities Corp. Trust |
|
| 4.744% due 10/10/2032 ~ |
|
|
|
|
4,600 |
|
|
|
|
|
4,553 |
|
|
| GS Mortgage Securities Trust |
|
| 5.622% due 11/10/2039 |
|
|
|
|
641 |
|
|
|
|
|
502 |
|
|
| GSR Mortgage Loan Trust |
|
| 4.306% due 08/25/2034 ~ |
|
|
|
|
303 |
|
|
|
|
|
299 |
|
| 5.500% due 05/25/2036 ^ |
|
|
|
|
202 |
|
|
|
|
|
349 |
|
| 6.000% due 02/25/2036 ^ |
|
|
|
|
2,088 |
|
|
|
|
|
1,528 |
|
|
| HarborView Mortgage Loan Trust |
|
| 2.134% due 01/19/2036 ^• |
|
|
|
|
1,705 |
|
|
|
|
|
1,601 |
|
| 3.876% due 06/19/2036 ^~ |
|
|
|
|
5,213 |
|
|
|
|
|
3,751 |
|
|
| IndyMac Mortgage Loan Trust |
|
| 6.500% due 07/25/2037 ^ |
|
|
|
|
3,396 |
|
|
|
|
|
1,934 |
|
|
| Jefferies Resecuritization Trust |
|
| 6.000% due 05/26/2036 |
|
|
|
|
10,501 |
|
|
|
|
|
8,172 |
|
|
| JPMorgan Alternative Loan Trust |
|
| 3.667% due 03/25/2037 ^~ |
|
|
|
|
1,220 |
|
|
|
|
|
1,213 |
|
| 6.000% due 12/25/2035 ^ |
|
|
|
|
1,464 |
|
|
|
|
|
1,388 |
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust |
|
| 5.623% due 05/12/2045 |
|
|
|
|
111 |
|
|
|
|
|
101 |
|
|
| JPMorgan Mortgage Trust |
|
| 3.640% due 02/25/2036 ^~ |
|
|
|
|
1,582 |
|
|
|
|
|
1,306 |
|
| 4.024% due 01/25/2037 ^~ |
|
|
|
|
466 |
|
|
|
|
|
450 |
|
| 4.258% due 04/25/2037 ~ |
|
|
|
|
6 |
|
|
|
|
|
6 |
|
|
| LB-UBS Commercial Mortgage Trust |
|
| 5.407% due 11/15/2038 ^ |
|
|
|
|
734 |
|
|
|
|
|
437 |
|
| 5.562% due 02/15/2040 ^~ |
|
|
|
|
299 |
|
|
|
|
|
178 |
|
|
| Lehman Mortgage Trust |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
122 |
|
|
|
|
|
116 |
|
|
| Lehman XS Trust |
|
| 1.881% due 06/25/2047 • |
|
|
|
|
1,608 |
|
|
|
|
|
1,483 |
|
|
| MASTR Alternative Loan Trust |
|
| 6.750% due 07/25/2036 |
|
|
|
|
1,685 |
|
|
|
|
|
1,102 |
|
|
| Merrill Lynch Mortgage Investors Trust |
|
| 4.081% due 03/25/2036 ^~ |
|
|
|
|
608 |
|
|
|
|
|
432 |
|
|
| Motel 6 Trust |
|
| 8.603% due 08/15/2024 • |
|
|
|
|
5,688 |
|
|
|
|
|
5,788 |
|
|
| Residential Accredit Loans, Inc. Trust |
|
| 1.891% due 05/25/2037 ^• |
|
|
|
|
118 |
|
|
|
|
|
84 |
|
| 4.850% due 12/26/2034 ^~ |
|
|
|
|
1,378 |
|
|
|
|
|
954 |
|
| 6.000% due 08/25/2036 ^ |
|
|
|
|
275 |
|
|
|
|
|
270 |
|
|
| Residential Asset Mortgage Products Trust |
|
| 6.500% due 12/25/2031 |
|
|
|
|
22 |
|
|
|
|
|
21 |
|
|
| Residential Asset Securitization Trust |
|
| 6.000% due 11/25/2036 ^ |
|
|
|
|
2,703 |
|
|
|
|
|
1,704 |
|
| 6.250% due 09/25/2037 ^ |
|
|
|
|
2,528 |
|
|
|
|
|
1,540 |
|
| 6.250% due 06/25/2046 ~ |
|
|
|
|
1,120 |
|
|
|
|
|
1,111 |
|
|
| Residential Funding Mortgage Securities, Inc. Trust |
|
| 4.426% due 02/25/2037 ~ |
|
|
|
|
1,310 |
|
|
|
|
|
1,103 |
|
| 6.500% due 03/25/2032 |
|
|
|
|
101 |
|
|
|
|
|
105 |
|
|
| Sequoia Mortgage Trust |
|
| 3.895% due 02/20/2047 ~ |
|
|
|
|
271 |
|
|
|
|
|
257 |
|
| 4.166% due 07/20/2037 ^~ |
|
|
|
|
556 |
|
|
|
|
|
499 |
|
|
| Structured Adjustable Rate Mortgage Loan Trust |
|
| 3.731% due 11/25/2036 ^~ |
|
|
|
|
1,825 |
|
|
|
|
|
1,754 |
|
| 3.856% due 01/25/2036 ^~ |
|
|
|
|
1,866 |
|
|
|
|
|
1,386 |
|
| 4.212% due 07/25/2035 ^~ |
|
|
|
|
541 |
|
|
|
|
|
515 |
|
|
| SunTrust Adjustable Rate Mortgage Loan Trust |
|
| 4.049% due 02/25/2037 ^~ |
|
|
|
|
238 |
|
|
|
|
|
229 |
|
| 4.452% due 04/25/2037 ^~ |
|
|
|
|
352 |
|
|
|
|
|
295 |
|
|
| WaMu Mortgage Pass-Through Certificates Trust |
|
| 3.618% due 07/25/2037 ^~ |
|
|
|
|
341 |
|
|
|
|
|
315 |
|
| 3.688% due 10/25/2036 ^~ |
|
|
|
|
1,913 |
|
|
|
|
|
1,802 |
|
| 3.813% due 02/25/2037 ^~ |
|
|
|
|
483 |
|
|
|
|
|
467 |
|
| 3.990% due 07/25/2037 ^~ |
|
|
|
|
841 |
|
|
|
|
|
805 |
|
|
| Washington Mutual Mortgage Pass-Through Certificates Trust |
|
| 2.985% due 05/25/2047 ^• |
|
|
|
|
67 |
|
|
|
|
|
6 |
|
| 6.000% due 10/25/2035 ^ |
|
|
|
|
1,563 |
|
|
|
|
|
1,292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities (Cost
$94,966) |
|
|
100,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| ASSET-BACKED SECURITIES 18.1% |
|
|
| ACE Securities Corp. Home Equity Loan Trust |
|
| 2.051% due 02/25/2036 • |
|
$ |
|
|
23,952 |
|
|
$ |
|
|
18,470 |
|
|
| Adagio CLO DAC |
|
| 0.000% due 04/30/2031 ~ |
|
EUR |
|
|
1,800 |
|
|
|
|
|
1,359 |
|
|
| Apidos CLO |
|
| 0.000% due 01/20/2031 ~ |
|
$ |
|
|
4,500 |
|
|
|
|
|
3,094 |
|
|
| Argent Securities Trust |
|
| 1.851% due 03/25/2036 • |
|
|
|
|
3,612 |
|
|
|
|
|
2,251 |
|
|
| Avoca CLO DAC |
|
| 0.000% due 10/15/2030 ~ |
|
EUR |
|
|
1,600 |
|
|
|
|
|
1,099 |
|
|
| Bear Stearns Asset-Backed Securities Trust |
|
| 1.801% due 10/25/2036 ^• |
|
$ |
|
|
3,413 |
|
|
|
|
|
4,151 |
|
| 6.500% due 10/25/2036 ^ |
|
|
|
|
342 |
|
|
|
|
|
257 |
|
|
| Belle Haven ABS CDO Ltd. |
|
| 2.539% due 07/05/2046 • |
|
|
|
|
175,347 |
|
|
|
|
|
245 |
|
|
| BlueMountain CLO Ltd. |
|
| 7.298% due 04/13/2027 • |
|
|
|
|
1,000 |
|
|
|
|
|
1,000 |
|
|
| Carlyle Global Market Strategies CLO Ltd. |
|
| 0.000% due 07/20/2029 ~ |
|
|
|
|
1,895 |
|
|
|
|
|
956 |
|
|
| CIFC Funding Ltd. |
|
| 0.000% due 04/24/2030 ~ |
|
|
|
|
2,300 |
|
|
|
|
|
1,120 |
|
| 0.000% due 10/22/2031 ~ |
|
|
|
|
1,500 |
|
|
|
|
|
650 |
|
|
| Citigroup Mortgage Loan Trust |
|
| 1.821% due 12/25/2036 • |
|
|
|
|
1,833 |
|
|
|
|
|
1,266 |
|
|
| Countrywide Asset-Backed Certificates |
|
| 1.801% due 06/25/2047 ^• |
|
|
|
|
1,353 |
|
|
|
|
|
1,247 |
|
| 1.831% due 03/25/2037 • |
|
|
|
|
1,188 |
|
|
|
|
|
1,124 |
|
|
| First Franklin Mortgage Loan Trust |
|
| 2.606% due 09/25/2035 • |
|
|
|
|
3,441 |
|
|
|
|
|
2,840 |
|
| 2.636% due 05/25/2036 • |
|
|
|
|
6,465 |
|
|
|
|
|
5,867 |
|
|
| Flagship Credit Auto Trust |
|
| 0.000% due 05/15/2025 «(h) |
|
|
|
|
8 |
|
|
|
|
|
872 |
|
|
| Fremont Home Loan Trust |
|
| 2.591% due 06/25/2035 ^• |
|
|
|
|
6,000 |
|
|
|
|
|
5,812 |
|
|
| Grosvenor Place CLO BV |
|
| 0.000% due 04/30/2029 ~ |
|
EUR |
|
|
500 |
|
|
|
|
|
343 |
|
|
| Home Equity Mortgage Loan Asset-Backed Trust |
|
| 1.821% due 07/25/2037 • |
|
$ |
|
|
9,652 |
|
|
|
|
|
6,542 |
|
|
| HSI Asset Securitization Corp. Trust |
|
| 0.000% due 10/25/2036 (b)(h) |
|
|
|
|
2,754 |
|
|
|
|
|
1,182 |
|
|
| JPMorgan Mortgage Acquisition Trust |
|
| 4.606% due 10/25/2030 ^þ |
|
|
|
|
5,093 |
|
|
|
|
|
3,818 |
|
|
| Lehman XS Trust |
|
| 5.170% due 08/25/2035 ^þ |
|
|
|
|
82 |
|
|
|
|
|
82 |
|
|
| LNR CDO Ltd. |
|
| 2.758% due 02/28/2043 • |
|
|
|
|
2,489 |
|
|
|
|
|
368 |
|
|
| Long Beach Mortgage Loan Trust |
|
| 1.961% due 01/25/2036 • |
|
|
|
|
4,099 |
|
|
|
|
|
3,904 |
|
|
| Marlette Funding Trust |
|
| 0.000% due 09/17/2029 «(h) |
|
|
|
|
7 |
|
|
|
|
|
2,484 |
|
|
| Merrill Lynch Mortgage Investors Trust |
|
| 1.821% due 04/25/2037 • |
|
|
|
|
499 |
|
|
|
|
|
302 |
|
|
| Morgan Stanley ABS Capital, Inc. Trust |
|
| 1.811% due 06/25/2036 • |
|
|
|
|
378 |
|
|
|
|
|
327 |
|
|
| Morgan Stanley Mortgage Loan Trust |
|
| 6.250% due 02/25/2037 ^~ |
|
|
|
|
609 |
|
|
|
|
|
426 |
|
|
| Park Place Securities, Inc. Asset-Backed
Pass-Through Certificates |
|
| 2.181% due 08/25/2035 • |
|
|
|
|
5,000 |
|
|
|
|
|
4,769 |
|
| 3.431% due 10/25/2034 • |
|
|
|
|
573 |
|
|
|
|
|
581 |
|
|
| Residential Asset Mortgage Products Trust |
|
| 2.861% due 01/25/2035 ^• |
|
|
|
|
2,751 |
|
|
|
|
|
2,563 |
|
|
| SLM Student Loan EDC Repackaging Trust |
|
| 0.000% due 10/28/2029 «(h) |
|
|
|
|
3 |
|
|
|
|
|
3,621 |
|
|
| SLM Student Loan Trust |
|
| 0.000% due 01/25/2042 «(h) |
|
|
|
|
4 |
|
|
|
|
|
2,630 |
|
|
| SMB Private Education Loan Trust |
|
| 0.000% due 09/18/2046 «(h) |
|
|
|
|
1 |
|
|
|
|
|
915 |
|
| 0.000% due 10/15/2048 «(h) |
|
|
|
|
1 |
|
|
|
|
|
750 |
|
|
| SoFi Professional Loan Program LLC |
|
| 0.000% due 05/25/2040 (h) |
|
|
|
|
4,300 |
|
|
|
|
|
1,518 |
|
| 0.000% due 07/25/2040 «(h) |
|
|
|
|
21 |
|
|
|
|
|
839 |
|
|
|
|
|
|
|
|
|
|
| 40 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 0.000% due 09/25/2040 (h) |
|
$ |
|
|
1,718 |
|
|
$ |
|
|
832 |
|
|
| Soundview Home Loan Trust |
|
| 1.911% due 08/25/2037 • |
|
|
|
|
2,000 |
|
|
|
|
|
1,887 |
|
|
| South Coast Funding Ltd. |
|
| 2.501% due 08/10/2038 • |
|
|
|
|
9,960 |
|
|
|
|
|
1,672 |
|
|
| Symphony CLO Ltd. |
|
| 6.438% due 07/14/2026 • |
|
|
|
|
2,000 |
|
|
|
|
|
1,931 |
|
|
| Taberna Preferred Funding Ltd. |
|
| 2.271% due 08/05/2036 • |
|
|
|
|
315 |
|
|
|
|
|
281 |
|
| 2.271% due 08/05/2036 ^• |
|
|
|
|
5,831 |
|
|
|
|
|
5,197 |
|
| 2.370% due 07/05/2035 • |
|
|
|
|
4,239 |
|
|
|
|
|
3,858 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities (Cost $103,486) |
|
|
107,302 |
|
|
|
|
|
|
|
|
| SOVEREIGN ISSUES 6.2% |
|
|
| Argentina Government International Bond |
|
| 2.500% due 07/22/2021 |
|
ARS |
|
|
14,612 |
|
|
|
|
|
125 |
|
| 3.375% due 01/15/2023 |
|
EUR |
|
|
200 |
|
|
|
|
|
100 |
|
| 3.380% due 12/31/2038 þ |
|
|
|
|
3,970 |
|
|
|
|
|
1,838 |
|
| 3.875% due 01/15/2022 |
|
|
|
|
200 |
|
|
|
|
|
104 |
|
| 4.000% due 03/06/2020 |
|
ARS |
|
|
36,345 |
|
|
|
|
|
376 |
|
| 5.250% due 01/15/2028 |
|
EUR |
|
|
200 |
|
|
|
|
|
94 |
|
| 6.250% due 11/09/2047 |
|
|
|
|
100 |
|
|
|
|
|
46 |
|
| 7.820% due 12/31/2033 |
|
|
|
|
9,275 |
|
|
|
|
|
5,491 |
|
| 15.500% due 10/17/2026 |
|
ARS |
|
|
53,560 |
|
|
|
|
|
216 |
|
| 38.154% (BADLARPP + 2.000%) due 04/03/2022 ~ |
|
|
|
|
60,696 |
|
|
|
|
|
462 |
|
| 42.524% (BADLARPP + 3.250%) due 03/01/2020 ~ |
|
|
|
|
800 |
|
|
|
|
|
9 |
|
| 42.781% (BADLARPP) due 10/04/2022 ~ |
|
|
|
|
58 |
|
|
|
|
|
1 |
|
| 53.323% (ARLLMONP) due 06/21/2020 ~(a) |
|
|
|
|
139,161 |
|
|
|
|
|
1,151 |
|
|
| Autonomous City of Buenos Aires Argentina |
|
| 39.421% due 03/29/2024 • |
|
|
|
|
296,438 |
|
|
|
|
|
3,094 |
|
| 39.745% (BADLARPP + 5.000%) due 01/23/2022 ~ |
|
|
|
|
76,750 |
|
|
|
|
|
853 |
|
|
| Autonomous Community of Catalonia |
|
| 4.900% due 09/15/2021 |
|
EUR |
|
|
1,500 |
|
|
|
|
|
1,790 |
|
|
| Export-Credit Bank of Turkey |
|
| 8.250% due 01/24/2024 |
|
$ |
|
|
200 |
|
|
|
|
|
224 |
|
|
| Peru Government International Bond |
|
| 5.400% due 08/12/2034 |
|
PEN |
|
|
12 |
|
|
|
|
|
4 |
|
| 5.940% due 02/12/2029 |
|
|
|
|
2,469 |
|
|
|
|
|
838 |
|
| 6.150% due 08/12/2032 |
|
|
|
|
372 |
|
|
|
|
|
127 |
|
| 6.350% due 08/12/2028 |
|
|
|
|
6,080 |
|
|
|
|
|
2,114 |
|
| 6.900% due 08/12/2037 |
|
|
|
|
54 |
|
|
|
|
|
20 |
|
| 6.950% due 08/12/2031 |
|
|
|
|
873 |
|
|
|
|
|
317 |
|
| 8.200% due 08/12/2026 |
|
|
|
|
1,856 |
|
|
|
|
|
702 |
|
|
| Provincia de Buenos Aires |
|
| 39.293% (BADLARPP + 3.750%) due 04/12/2025 ~ |
|
ARS |
|
|
136,752 |
|
|
|
|
|
901 |
|
|
| Republic of Greece Government International Bond |
|
| 3.000% due 02/24/2023 þ |
|
EUR |
|
|
142 |
|
|
|
|
|
174 |
|
| 3.000% due 02/24/2024 þ |
|
|
|
|
142 |
|
|
|
|
|
179 |
|
| 3.000% due 02/24/2025 þ |
|
|
|
|
142 |
|
|
|
|
|
183 |
|
| 3.000% due 02/24/2026 þ |
|
|
|
|
142 |
|
|
|
|
|
186 |
|
| 3.000% due 02/24/2027 þ |
|
|
|
|
142 |
|
|
|
|
|
190 |
|
| 3.000% due 02/24/2028 þ |
|
|
|
|
142 |
|
|
|
|
|
192 |
|
| 3.000% due 02/24/2029 þ |
|
|
|
|
142 |
|
|
|
|
|
193 |
|
| 3.000% due 02/24/2030 þ |
|
|
|
|
142 |
|
|
|
|
|
196 |
|
| 3.000% due 02/24/2031 þ |
|
|
|
|
142 |
|
|
|
|
|
195 |
|
| 3.000% due 02/24/2032 þ |
|
|
|
|
142 |
|
|
|
|
|
198 |
|
| 3.000% due 02/24/2033 þ |
|
|
|
|
142 |
|
|
|
|
|
199 |
|
| 3.000% due 02/24/2034 þ |
|
|
|
|
142 |
|
|
|
|
|
201 |
|
| 3.000% due 02/24/2035 þ |
|
|
|
|
142 |
|
|
|
|
|
200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 3.000% due 02/24/2036 þ |
|
EUR |
|
|
142 |
|
|
$ |
|
|
203 |
|
| 3.000% due 02/24/2037 þ |
|
|
|
|
142 |
|
|
|
|
|
204 |
|
| 3.000% due 02/24/2038 þ |
|
|
|
|
142 |
|
|
|
|
|
204 |
|
| 3.000% due 02/24/2039 þ |
|
|
|
|
142 |
|
|
|
|
|
205 |
|
| 3.000% due 02/24/2040 þ |
|
|
|
|
142 |
|
|
|
|
|
206 |
|
| 3.000% due 02/24/2041 þ |
|
|
|
|
142 |
|
|
|
|
|
207 |
|
| 3.000% due 02/24/2042 þ |
|
|
|
|
142 |
|
|
|
|
|
209 |
|
|
| South Africa Government International Bond |
|
| 4.850% due 09/30/2029 |
|
$ |
|
|
1,200 |
|
|
|
|
|
1,214 |
|
| 5.750% due 09/30/2049 |
|
|
|
|
1,200 |
|
|
|
|
|
1,184 |
|
|
| Turkey Government International Bond |
|
| 3.250% due 06/14/2025 |
|
EUR |
|
|
100 |
|
|
|
|
|
114 |
|
| 4.625% due 03/31/2025 |
|
|
|
|
1,700 |
|
|
|
|
|
2,071 |
|
| 5.200% due 02/16/2026 |
|
|
|
|
600 |
|
|
|
|
|
747 |
|
| 5.600% due 11/14/2024 |
|
$ |
|
|
2,600 |
|
|
|
|
|
2,743 |
|
| 7.625% due 04/26/2029 |
|
|
|
|
1,900 |
|
|
|
|
|
2,212 |
|
|
| Ukraine Government International Bond |
|
| 4.375% due 01/27/2030 |
|
EUR |
|
|
1,054 |
|
|
|
|
|
1,162 |
|
|
| Venezuela Government International Bond |
|
| 6.000% due 12/09/2020 ^(e) |
|
$ |
|
|
240 |
|
|
|
|
|
31 |
|
| 8.250% due 10/13/2024 ^(e) |
|
|
|
|
28 |
|
|
|
|
|
4 |
|
| 9.250% due 09/15/2027 ^(e) |
|
|
|
|
308 |
|
|
|
|
|
39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Issues (Cost $51,927) |
|
|
36,442 |
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
|
|
| COMMON STOCKS 1.5% |
|
|
|
| COMMUNICATION SERVICES 0.3% |
|
|
|
|
|
| Clear Channel Outdoor Holdings, Inc. (f) |
|
|
531,903 |
|
|
|
|
|
1,452 |
|
|
|
|
|
| iHeartMedia, Inc. (f) |
|
|
400 |
|
|
|
|
|
7 |
|
|
|
|
|
| iHeartMedia, Inc. ‘A’ (f) |
|
|
29,808 |
|
|
|
|
|
527 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,986 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER DISCRETIONARY 1.1% |
|
|
|
|
|
| Caesars Entertainment Corp. (f) |
|
|
466,592 |
|
|
|
|
|
6,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY 0.0% |
|
|
|
|
|
| Forbes Energy Services Ltd. (f)(j) |
|
|
11,400 |
|
|
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.1% |
|
|
|
|
|
|
| Westmoreland Mining Holdings LLC «(f)(j) |
|
|
|
|
50,497 |
|
|
|
|
|
631 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks (Cost $10,617) |
|
|
8,997 |
|
|
|
|
|
|
|
|
| WARRANTS 0.9% |
|
|
|
| COMMUNICATION SERVICES 0.6% |
|
|
|
|
|
|
| iHeartMedia, Inc. |
|
|
|
|
194,137 |
|
|
|
|
|
3,432 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.3% |
|
|
|
|
|
| Sequa Corp. - Exp. 04/28/2024 « |
|
|
775,000 |
|
|
|
|
|
1,716 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants (Cost $4,105) |
|
|
5,148 |
|
|
|
|
|
|
|
|
| PREFERRED SECURITIES 5.4% |
|
|
|
| BANKING & FINANCE 1.7% |
|
|
| AGFC Capital Trust |
|
| 3.581% (US0003M + 1.750%) due 01/15/2067 ~(l) |
|
|
|
|
2,300,000 |
|
|
|
|
|
1,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Banco Bilbao Vizcaya Argentaria S.A. |
|
| 6.750% due 02/18/2020 •(i) |
|
|
|
|
600,000 |
|
|
$ |
|
|
667 |
|
|
| Banco Santander S.A. |
|
| 6.250% due 09/11/2021 •(i) |
|
|
|
|
400,000 |
|
|
|
|
|
476 |
|
|
| Brighthouse Holdings LLC |
|
| 6.500% due 07/27/2037 þ(i) |
|
|
|
|
70,000 |
|
|
|
|
|
74 |
|
|
| Nationwide Building Society |
|
| 10.250% ~ |
|
|
|
|
34,400 |
|
|
|
|
|
7,677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 3.7% |
|
|
| General Electric Co. |
|
| 5.000% due 01/21/2021 •(i) |
|
|
|
|
261,000 |
|
|
|
|
|
259 |
|
|
| Sequa Corp. (12.000% PIK) |
|
| 12.000% «(d) |
|
|
|
|
18,574 |
|
|
|
|
|
21,836 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Securities (Cost $23,848) |
|
|
32,142 |
|
|
|
|
|
|
| REAL ESTATE INVESTMENT TRUSTS 1.9% |
|
|
|
| REAL ESTATE 1.9% |
|
|
|
|
|
|
| VICI Properties, Inc. |
|
|
|
|
416,263 |
|
|
|
|
|
11,156 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Real Estate Investment Trusts (Cost $5,426) |
|
|
11,156 |
|
|
|
|
|
|
|
|
| SHORT-TERM INSTRUMENTS 5.0% |
|
|
|
| REPURCHASE AGREEMENTS (k) 4.8% |
|
|
|
|
|
|
|
|
|
|
|
|
28,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
|
|
| ARGENTINA TREASURY BILLS 0.1% |
|
| 38.342% due 04/03/2020 ~ |
|
ARS |
|
|
5,470 |
|
|
|
|
|
63 |
|
| 38.686% due 06/22/2020 ~ |
|
|
|
|
15,380 |
|
|
|
|
|
179 |
|
| 43.692% due 04/28/2020 - 08/27/2020 (g)(h) |
|
|
|
|
30,457 |
|
|
|
|
|
341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY BILLS 0.1% |
|
| 1.526% due 03/26/2020 (g)(h)(o) |
|
$ |
|
|
868 |
|
|
|
|
|
866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Instruments
(Cost $30,421) |
|
|
|
|
|
30,101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
(Cost $754,300) |
|
|
|
|
|
779,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 131.7%
(Cost $754,300) |
|
|
$ |
|
|
779,975 |
|
|
|
| Financial Derivative
Instruments (m)(n) 0.1%
(Cost or Premiums, net $2,708) |
|
|
433 |
|
|
|
| Auction Rate Preferred Shares (4.0)% |
|
|
(23,525 |
) |
|
|
| Other Assets and Liabilities, net (27.8)% |
|
|
(164,542 |
) |
|
|
|
|
|
| Net Assets Applicable to Common Shareholders 100.0% |
|
|
$ |
|
|
592,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
41 |
Schedule of Investments PIMCO
Corporate & Income Strategy Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS:
| * |
A zero balance may reflect actual amounts rounding to less than one thousand. |
| ^ |
Security is in default. |
| « |
Security valued using significant unobservable inputs (Level 3). |
| µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be
determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
| ~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are
not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a
reference rate and/or spread in their description. |
| • |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and
may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in
effect as of period end. |
| (a) |
Interest only security. |
| (b) |
Principal only security. |
| (c) |
When-issued security. |
| (d) |
Payment in-kind security. |
| (e) |
Security is not accruing income as of the date of this report. |
| (f) |
Security did not produce income within the last twelve months. |
| (g) |
Coupon represents a weighted average yield to maturity. |
| (h) |
Zero coupon security. |
| (i) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) RESTRICTED SECURITIES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Issuer Description |
|
|
|
|
|
|
Acquisition
Date |
|
|
Cost |
|
|
Market
Value |
|
|
Market Value
as Percentage
of Net
Assets
Applicable
to Common
Shareholders |
|
| Forbes Energy Services Ltd. |
|
|
|
|
|
|
|
|
10/09/2014 - 11/18/2016 |
|
|
|
$ 370 |
|
|
$ |
2 |
|
|
|
0.00 |
% |
| Westmoreland Mining Holdings LLC |
|
|
|
|
|
|
|
|
12/08/2014 - 10/19/2016 |
|
|
|
1,454 |
|
|
|
631 |
|
|
|
0.11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 1,824 |
|
|
$ |
633 |
|
|
|
0.11 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS AND OTHER
FINANCING TRANSACTIONS
(k) 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 |
|
|
1.250 |
% |
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
$ |
10,752 |
|
|
U.S. Treasury Inflation Protected Securities 1.250% due 07/15/2020 |
|
$ |
(10,972 |
) |
|
$ |
10,752 |
|
|
$ |
10,752 |
|
| JPS |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
4,000 |
|
|
U.S. Treasury Bonds 2.250% due 08/15/2046 |
|
|
(4,106 |
) |
|
|
4,000 |
|
|
|
4,001 |
|
| MBC |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
7,100 |
|
|
U.S. Treasury Notes 1.875% - 2.250% due 01/31/2022 - 02/15/2027 |
|
|
(7,336 |
) |
|
|
7,100 |
|
|
|
7,101 |
|
| RDR |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
6,800 |
|
|
U.S. Treasury Notes 2.875% - 3.125% due 05/31/2025 - 11/15/2028 |
|
|
(6,962 |
) |
|
|
6,800 |
|
|
|
6,801 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Repurchase Agreements |
|
|
|
|
$ |
(29,376 |
) |
|
$ |
28,652 |
|
|
$ |
28,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 42 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
REVERSE REPURCHASE AGREEMENTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Borrowing
Rate(2) |
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed(2) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
| BOS |
|
|
2.219 |
% |
|
|
01/17/2020 |
|
|
|
02/19/2020 |
|
|
$ |
|
|
|
|
(4,292 |
) |
|
$ |
(4,296 |
) |
| BPS |
|
|
2.100 |
|
|
|
01/29/2020 |
|
|
|
03/02/2020 |
|
|
|
|
|
|
|
(1,051 |
) |
|
|
(1,051 |
) |
| BRC |
|
|
(7.000 |
) |
|
|
01/22/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(194 |
) |
|
|
(194 |
) |
|
|
|
1.000 |
|
|
|
01/31/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(440 |
) |
|
|
(440 |
) |
| CDC |
|
|
2.100 |
|
|
|
01/27/2020 |
|
|
|
04/01/2020 |
|
|
|
|
|
|
|
(6,399 |
) |
|
|
(6,402 |
) |
| CEW |
|
|
2.150 |
|
|
|
02/03/2020 |
|
|
|
03/06/2020 |
|
|
|
|
|
|
|
(4,271 |
) |
|
|
(4,271 |
) |
|
|
|
2.170 |
|
|
|
01/22/2020 |
|
|
|
02/24/2020 |
|
|
|
|
|
|
|
(2,901 |
) |
|
|
(2,903 |
) |
|
|
|
2.270 |
|
|
|
01/03/2020 |
|
|
|
02/03/2020 |
|
|
|
|
|
|
|
(4,237 |
) |
|
|
(4,245 |
) |
| FOB |
|
|
2.350 |
|
|
|
11/12/2019 |
|
|
|
02/10/2020 |
|
|
|
|
|
|
|
(7,242 |
) |
|
|
(7,281 |
) |
|
|
|
2.350 |
|
|
|
12/04/2019 |
|
|
|
02/10/2020 |
|
|
|
|
|
|
|
(708 |
) |
|
|
(711 |
) |
| JML |
|
|
(0.300 |
) |
|
|
01/15/2020 |
|
|
|
04/15/2020 |
|
|
|
EUR |
|
|
|
(2,098 |
) |
|
|
(2,327 |
) |
|
|
|
0.950 |
|
|
|
01/17/2020 |
|
|
|
04/17/2020 |
|
|
|
GBP |
|
|
|
(192 |
) |
|
|
(253 |
) |
|
|
|
0.950 |
|
|
|
01/28/2020 |
|
|
|
04/28/2020 |
|
|
|
|
|
|
|
(2,761 |
) |
|
|
(3,647 |
) |
| NOM |
|
|
2.250 |
|
|
|
02/04/2020 |
|
|
|
03/03/2020 |
|
|
$ |
|
|
|
|
(8,004 |
) |
|
|
(8,004 |
) |
|
|
|
2.300 |
|
|
|
01/03/2020 |
|
|
|
02/04/2020 |
|
|
|
|
|
|
|
(7,933 |
) |
|
|
(7,949 |
) |
|
|
|
2.300 |
|
|
|
01/21/2020 |
|
|
|
02/20/2020 |
|
|
|
|
|
|
|
(3,308 |
) |
|
|
(3,311 |
) |
|
|
|
2.800 |
|
|
|
01/03/2020 |
|
|
|
02/04/2020 |
|
|
|
|
|
|
|
(1,052 |
) |
|
|
(1,054 |
) |
|
|
|
2.800 |
|
|
|
02/04/2020 |
|
|
|
03/03/2020 |
|
|
|
|
|
|
|
(1,035 |
) |
|
|
(1,035 |
) |
| RDR |
|
|
1.950 |
|
|
|
01/06/2020 |
|
|
|
02/07/2020 |
|
|
|
|
|
|
|
(11,011 |
) |
|
|
(11,028 |
) |
| RTA |
|
|
2.101 |
|
|
|
01/14/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
|
|
(8,303 |
) |
|
|
(8,313 |
) |
|
|
|
2.195 |
|
|
|
01/29/2020 |
|
|
|
04/28/2020 |
|
|
|
|
|
|
|
(2,574 |
) |
|
|
(2,575 |
) |
|
|
|
2.269 |
|
|
|
12/02/2019 |
|
|
|
02/03/2020 |
|
|
|
|
|
|
|
(5,420 |
) |
|
|
(5,441 |
) |
|
|
|
2.329 |
|
|
|
11/08/2019 |
|
|
|
02/07/2020 |
|
|
|
|
|
|
|
(1,085 |
) |
|
|
(1,091 |
) |
|
|
|
2.329 |
|
|
|
11/27/2019 |
|
|
|
02/07/2020 |
|
|
|
|
|
|
|
(250 |
) |
|
|
(251 |
) |
| SOG |
|
|
2.110 |
|
|
|
01/14/2020 |
|
|
|
02/18/2020 |
|
|
|
|
|
|
|
(2,790 |
) |
|
|
(2,793 |
) |
|
|
|
2.200 |
|
|
|
01/09/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
|
|
(1,065 |
) |
|
|
(1,067 |
) |
|
|
|
2.350 |
|
|
|
11/18/2019 |
|
|
|
02/12/2020 |
|
|
|
|
|
|
|
(2,707 |
) |
|
|
(2,721 |
) |
|
|
|
2.350 |
|
|
|
11/18/2019 |
|
|
|
02/18/2020 |
|
|
|
|
|
|
|
(4,980 |
) |
|
|
(5,005 |
) |
|
|
|
2.360 |
|
|
|
11/14/2019 |
|
|
|
02/12/2020 |
|
|
|
|
|
|
|
(6,049 |
) |
|
|
(6,081 |
) |
|
|
|
2.360 |
|
|
|
12/13/2019 |
|
|
|
02/12/2020 |
|
|
|
|
|
|
|
(1,718 |
) |
|
|
(1,724 |
) |
| TDM |
|
|
1.850 |
|
|
|
02/03/2020 |
|
|
|
02/18/2020 |
|
|
|
|
|
|
|
(4,904 |
) |
|
|
(4,904 |
) |
|
|
|
1.950 |
|
|
|
01/06/2020 |
|
|
|
02/03/2020 |
|
|
|
|
|
|
|
(4,846 |
) |
|
|
(4,853 |
) |
| UBS |
|
|
1.850 |
|
|
|
02/04/2020 |
|
|
|
03/06/2020 |
|
|
|
|
|
|
|
(2,678 |
) |
|
|
(2,678 |
) |
|
|
|
1.850 |
|
|
|
02/05/2020 |
|
|
|
03/09/2020 |
|
|
|
|
|
|
|
(2,356 |
) |
|
|
(2,356 |
) |
|
|
|
2.000 |
|
|
|
02/03/2020 |
|
|
|
03/04/2020 |
|
|
|
|
|
|
|
(578 |
) |
|
|
(578 |
) |
|
|
|
2.000 |
|
|
|
02/04/2020 |
|
|
|
03/06/2020 |
|
|
|
|
|
|
|
(2,887 |
) |
|
|
(2,887 |
) |
|
|
|
2.000 |
|
|
|
02/05/2020 |
|
|
|
03/09/2020 |
|
|
|
|
|
|
|
(5,561 |
) |
|
|
(5,561 |
) |
|
|
|
2.100 |
|
|
|
01/22/2020 |
|
|
|
02/24/2020 |
|
|
|
|
|
|
|
(5,406 |
) |
|
|
(5,410 |
) |
|
|
|
2.100 |
|
|
|
01/27/2020 |
|
|
|
03/02/2020 |
|
|
|
|
|
|
|
(1,680 |
) |
|
|
(1,681 |
) |
|
|
|
2.100 |
|
|
|
01/28/2020 |
|
|
|
03/02/2020 |
|
|
|
|
|
|
|
(1,292 |
) |
|
|
(1,292 |
) |
|
|
|
2.100 |
|
|
|
02/03/2020 |
|
|
|
03/04/2020 |
|
|
|
|
|
|
|
(5,261 |
) |
|
|
(5,261 |
) |
|
|
|
2.100 |
|
|
|
02/05/2020 |
|
|
|
03/09/2020 |
|
|
|
|
|
|
|
(1,030 |
) |
|
|
(1,030 |
) |
|
|
|
2.250 |
|
|
|
11/01/2019 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(7,282 |
) |
|
|
(7,325 |
) |
|
|
|
2.250 |
|
|
|
01/03/2020 |
|
|
|
02/04/2020 |
|
|
|
|
|
|
|
(1,397 |
) |
|
|
(1,400 |
) |
|
|
|
2.250 |
|
|
|
01/06/2020 |
|
|
|
02/07/2020 |
|
|
|
|
|
|
|
(2,899 |
) |
|
|
(2,904 |
) |
|
|
|
2.250 |
|
|
|
02/05/2020 |
|
|
|
03/09/2020 |
|
|
|
|
|
|
|
(7,677 |
) |
|
|
(7,677 |
) |
|
|
|
2.350 |
|
|
|
01/08/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
|
|
(195 |
) |
|
|
(195 |
) |
|
|
|
2.450 |
|
|
|
11/06/2019 |
|
|
|
02/04/2020 |
|
|
|
|
|
|
|
(4,230 |
) |
|
|
(4,256 |
) |
|
|
|
2.450 |
|
|
|
11/07/2019 |
|
|
|
02/05/2020 |
|
|
|
|
|
|
|
(17,280 |
) |
|
|
(17,383 |
) |
|
|
|
2.450 |
|
|
|
11/13/2019 |
|
|
|
02/11/2020 |
|
|
|
|
|
|
|
(1,456 |
) |
|
|
(1,464 |
) |
|
|
|
2.450 |
|
|
|
11/21/2019 |
|
|
|
02/19/2020 |
|
|
|
|
|
|
|
(838 |
) |
|
|
(842 |
) |
|
|
|
2.450 |
|
|
|
12/04/2019 |
|
|
|
03/03/2020 |
|
|
|
|
|
|
|
(1,119 |
) |
|
|
(1,124 |
) |
|
|
|
2.450 |
|
|
|
12/10/2019 |
|
|
|
02/19/2020 |
|
|
|
|
|
|
|
(901 |
) |
|
|
(904 |
) |
|
|
|
2.450 |
|
|
|
12/31/2019 |
|
|
|
02/11/2020 |
|
|
|
|
|
|
|
(5,529 |
) |
|
|
(5,542 |
) |
|
|
|
2.500 |
|
|
|
11/07/2019 |
|
|
|
02/05/2020 |
|
|
|
|
|
|
|
(1,046 |
) |
|
|
(1,052 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Reverse Repurchase Agreements |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(198,023 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
43 |
Schedule of Investments PIMCO
Corporate & Income Strategy Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value
of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Repurchase
Agreement
Proceeds
to be
Received(1) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
|
Payable for
Sale-Buyback
Transactions |
|
|
Total
Borrowings and
Other Financing
Transactions |
|
|
Collateral
Pledged/(Received) |
|
|
Net
Exposure(4) |
|
| Global/Master Repurchase Agreement |
|
| BOS |
|
$ |
0 |
|
|
$ |
(4,296 |
) |
|
$ |
0 |
|
|
$ |
(4,296 |
) |
|
$ |
6,519 |
|
|
$ |
2,223 |
|
| BPS |
|
|
0 |
|
|
|
(1,051 |
) |
|
|
0 |
|
|
|
(1,051 |
) |
|
|
1,220 |
|
|
|
169 |
|
| BRC |
|
|
0 |
|
|
|
(634 |
) |
|
|
0 |
|
|
|
(634 |
) |
|
|
639 |
|
|
|
5 |
|
| CDC |
|
|
0 |
|
|
|
(6,402 |
) |
|
|
0 |
|
|
|
(6,402 |
) |
|
|
7,468 |
|
|
|
1,066 |
|
| CEW |
|
|
0 |
|
|
|
(11,419 |
) |
|
|
0 |
|
|
|
(11,419 |
) |
|
|
8,011 |
|
|
|
(3,408 |
) |
| FICC |
|
|
10,752 |
|
|
|
0 |
|
|
|
0 |
|
|
|
10,752 |
|
|
|
(10,972 |
) |
|
|
(220 |
) |
| FOB |
|
|
0 |
|
|
|
(7,992 |
) |
|
|
0 |
|
|
|
(7,992 |
) |
|
|
8,960 |
|
|
|
968 |
|
| JML |
|
|
0 |
|
|
|
(6,227 |
) |
|
|
0 |
|
|
|
(6,227 |
) |
|
|
7,302 |
|
|
|
1,075 |
|
| JPS |
|
|
4,001 |
|
|
|
0 |
|
|
|
0 |
|
|
|
4,001 |
|
|
|
(4,106 |
) |
|
|
(105 |
) |
| MBC |
|
|
7,101 |
|
|
|
0 |
|
|
|
0 |
|
|
|
7,101 |
|
|
|
(7,336 |
) |
|
|
(235 |
) |
| NOM |
|
|
0 |
|
|
|
(21,353 |
) |
|
|
0 |
|
|
|
(21,353 |
) |
|
|
13,195 |
|
|
|
(8,158 |
) |
| RDR |
|
|
6,801 |
|
|
|
(11,028 |
) |
|
|
0 |
|
|
|
(4,227 |
) |
|
|
4,715 |
|
|
|
488 |
|
| RTA |
|
|
0 |
|
|
|
(17,671 |
) |
|
|
0 |
|
|
|
(17,671 |
) |
|
|
20,224 |
|
|
|
2,553 |
|
| SOG |
|
|
0 |
|
|
|
(19,391 |
) |
|
|
0 |
|
|
|
(19,391 |
) |
|
|
20,518 |
|
|
|
1,127 |
|
| TDM |
|
|
0 |
|
|
|
(9,757 |
) |
|
|
0 |
|
|
|
(9,757 |
) |
|
|
4,958 |
|
|
|
(4,799 |
) |
| UBS |
|
|
0 |
|
|
|
(80,802 |
) |
|
|
0 |
|
|
|
(80,802 |
) |
|
|
61,598 |
|
|
|
(19,204 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings and Other Financing Transactions |
|
$ |
28,655 |
|
|
$ |
(198,023 |
) |
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED
FOR AS SECURED BORROWINGS
Remaining Contractual Maturity
of the Agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Overnight and
Continuous |
|
|
Up to 30 days |
|
|
31-90 days |
|
|
Greater Than 90 days |
|
|
Total |
|
| Reverse Repurchase Agreements |
|
| Corporate Bonds & Notes |
|
$ |
0 |
|
|
$ |
(118,120 |
) |
|
$ |
(20,352 |
) |
|
$ |
(7,959 |
) |
|
$ |
(146,431 |
) |
| Preferred Securities |
|
|
0 |
|
|
|
(1,054 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1,054 |
) |
| U.S. Government Agencies |
|
|
0 |
|
|
|
(4,296 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(4,296 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings |
|
$ |
0 |
|
|
$ |
(123,470 |
) |
|
$ |
(20,352 |
) |
|
$ |
(7,959 |
) |
|
$ |
(151,781 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payable for reverse repurchase agreements(5) |
|
|
|
|
|
|
|
|
|
|
$ |
(151,781 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (l) |
Securities with an aggregate market value of $173,603 and cash of $3 have been pledged as collateral under the terms of the
above master agreements as of January 31, 2020. |
| (1) |
Includes accrued interest. |
| (2) |
The average amount of borrowings outstanding during the period ended January 31, 2020 was $(157,200) at a weighted average interest
rate of 2.391%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| (3) |
Open maturity reverse repurchase agreement. |
| (4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for
more information. |
| (5) |
Unsettled reverse repurchase agreements liability of $(46,242) is outstanding at period end. |
(m) FINANCIAL DERIVATIVE INSTRUMENTS:
EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Implied
Credit Spread at
January 31, 2020(2) |
|
|
Notional
Amount(3)
|
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value(4)
|
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Bombardier, Inc. |
|
|
5.000 |
% |
|
|
Quarterly |
|
|
|
06/20/2024 |
|
|
|
4.893 |
% |
|
$ |
|
|
|
|
600 |
|
|
$ |
(1 |
) |
|
$ |
8 |
|
|
$ |
7 |
|
|
$ |
0 |
|
|
$ |
(1 |
) |
| Frontier Communications Corp. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
06/20/2020 |
|
|
|
357.443 |
|
|
|
|
|
|
|
5,500 |
|
|
|
(178 |
) |
|
|
(2,456 |
) |
|
|
(2,634 |
) |
|
|
67 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(179 |
) |
|
$ |
(2,448 |
) |
|
$ |
(2,627 |
) |
|
$ |
67 |
|
|
$ |
(1 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 44 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
INTEREST RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/Receive
Floating Rate |
|
Floating Rate Index |
|
Fixed Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Notional
Amount |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value |
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
2.750 |
% |
|
|
Semi-Annual |
|
|
|
12/19/2023 |
|
|
$ |
|
|
64,000 |
|
|
$ |
(594 |
) |
|
$ |
4,109 |
|
|
$ |
3,515 |
|
|
$ |
144 |
|
|
$ |
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
2.750 |
|
|
|
Semi-Annual |
|
|
|
06/17/2025 |
|
|
|
|
|
75,590 |
|
|
|
4,663 |
|
|
|
957 |
|
|
|
5,620 |
|
|
|
210 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
2.500 |
|
|
|
Semi-Annual |
|
|
|
12/20/2027 |
|
|
|
|
|
44,900 |
|
|
|
325 |
|
|
|
3,402 |
|
|
|
3,727 |
|
|
|
171 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
3.000 |
|
|
|
Semi-Annual |
|
|
|
06/19/2029 |
|
|
|
|
|
68,300 |
|
|
|
3,736 |
|
|
|
5,731 |
|
|
|
9,467 |
|
|
|
310 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
3.500 |
|
|
|
Semi-Annual |
|
|
|
06/19/2044 |
|
|
|
|
|
169,400 |
|
|
|
(5,526 |
) |
|
|
69,780 |
|
|
|
64,254 |
|
|
|
1,739 |
|
|
|
0 |
|
| Receive |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
|
Semi-Annual |
|
|
|
12/11/2049 |
|
|
|
|
|
18,100 |
|
|
|
(54 |
) |
|
|
(2,457 |
) |
|
|
(2,511 |
) |
|
|
0 |
|
|
|
(171 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
2.000 |
|
|
|
Semi-Annual |
|
|
|
01/15/2050 |
|
|
|
|
|
17,700 |
|
|
|
(127 |
) |
|
|
(1,248 |
) |
|
|
(1,375 |
) |
|
|
0 |
|
|
|
(158 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
|
Semi-Annual |
|
|
|
01/16/2050 |
|
|
|
|
|
89,000 |
|
|
|
57 |
|
|
|
1,182 |
|
|
|
1,239 |
|
|
|
0 |
|
|
|
(740 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.750 |
|
|
|
Semi-Annual |
|
|
|
01/22/2050 |
|
|
|
|
|
14,500 |
|
|
|
(34 |
) |
|
|
(208 |
) |
|
|
(242 |
) |
|
|
0 |
|
|
|
(123 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
|
Semi-Annual |
|
|
|
02/03/2050 |
|
|
|
|
|
50,400 |
|
|
|
(180 |
) |
|
|
868 |
|
|
|
688 |
|
|
|
0 |
|
|
|
(420 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.875 |
|
|
|
Semi-Annual |
|
|
|
02/07/2050 |
|
|
|
|
|
15,100 |
|
|
|
(58 |
) |
|
|
(658 |
) |
|
|
(716 |
) |
|
|
0 |
|
|
|
(133 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
|
Semi-Annual |
|
|
|
03/12/2050 |
|
|
|
|
|
10,800 |
|
|
|
(33 |
) |
|
|
(1,467 |
) |
|
|
(1,500 |
) |
|
|
0 |
|
|
|
(102 |
) |
| Pay |
|
6-Month
AUD-BBR-BBSW |
|
|
3.500 |
|
|
|
Semi-Annual |
|
|
|
06/17/2025 |
|
|
AUD |
|
|
7,600 |
|
|
|
188 |
|
|
|
544 |
|
|
|
732 |
|
|
|
17 |
|
|
|
0 |
|
| Receive(5) |
|
6-Month EUR-EURIBOR |
|
|
(0.150 |
) |
|
|
Annual |
|
|
|
03/18/2030 |
|
|
EUR |
|
|
13,000 |
|
|
|
238 |
|
|
|
(86 |
) |
|
|
152 |
|
|
|
0 |
|
|
|
(88 |
) |
| Receive(5) |
|
6-Month EUR-EURIBOR |
|
|
0.150 |
|
|
|
Annual |
|
|
|
06/17/2030 |
|
|
|
|
|
2,000 |
|
|
|
(1 |
) |
|
|
(39 |
) |
|
|
(40 |
) |
|
|
0 |
|
|
|
(14 |
) |
| Receive(5) |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
|
Semi-Annual |
|
|
|
03/18/2030 |
|
|
GBP |
|
|
22,000 |
|
|
|
229 |
|
|
|
(290 |
) |
|
|
(61 |
) |
|
|
0 |
|
|
|
(25 |
) |
| Receive(5) |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
|
Semi-Annual |
|
|
|
03/18/2050 |
|
|
|
|
|
1,300 |
|
|
|
32 |
|
|
|
4 |
|
|
|
36 |
|
|
|
0 |
|
|
|
(6 |
) |
| Receive |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
|
Semi-Annual |
|
|
|
03/18/2050 |
|
|
|
|
|
1,700 |
|
|
|
26 |
|
|
|
21 |
|
|
|
47 |
|
|
|
21 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,887 |
|
|
$ |
80,145 |
|
|
$ |
83,032 |
|
|
$ |
2,612 |
|
|
$ |
(1,980 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Swap Agreements |
|
|
|
|
|
$ |
2,708 |
|
|
$ |
77,697 |
|
|
$ |
80,405 |
|
|
$ |
2,679 |
|
|
$ |
(1,981 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
| |
|
Market Value |
|
|
Variation Margin
Asset |
|
|
Total |
|
|
|
|
|
Market Value |
|
|
Variation Margin
Liability |
|
|
Total |
|
| |
|
Purchased
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
|
|
|
|
Written
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
| Total Exchange-Traded or Centrally Cleared |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,679 |
|
|
$ |
2,679 |
|
|
|
|
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(1,981) |
|
|
$ |
(1,981) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash of $9,317 has been
pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of January 31, 2020. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
| (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
issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the
cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of
default or other credit event occurring as defined under the terms of the agreement. |
| (3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance
risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the
notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
| (5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to
Financial Statements for further information. |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
45 |
Schedule of Investments PIMCO
Corporate & Income Strategy Fund (Cont.)
(n) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Settlement
Month |
|
|
Currency to
be Delivered |
|
|
Currency to
be Received |
|
|
Unrealized Appreciation/
(Depreciation) |
|
| Counterparty |
|
Asset |
|
|
Liability |
|
| BOA |
|
|
02/2020 |
|
|
$ |
|
|
39,384 |
|
|
EUR |
|
|
35,729 |
|
|
$ |
241 |
|
|
$ |
0 |
|
|
|
|
03/2020 |
|
|
EUR |
|
|
35,728 |
|
|
$ |
|
|
39,451 |
|
|
|
0 |
|
|
|
(241 |
) |
|
|
|
03/2020 |
|
|
$ |
|
|
66 |
|
|
IDR |
|
|
910,585 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| BPS |
|
|
02/2020 |
|
|
PEN |
|
|
2,384 |
|
|
$ |
|
|
702 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
1,285 |
|
|
IDR |
|
|
17,574,700 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
02/2020 |
|
|
|
|
|
2,491 |
|
|
INR |
|
|
177,596 |
|
|
|
0 |
|
|
|
(7 |
) |
|
|
|
|
|
|
|
|
| BRC |
|
|
02/2020 |
|
|
EUR |
|
|
34,064 |
|
|
$ |
|
|
38,152 |
|
|
|
373 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
$ |
|
|
28 |
|
|
IDR |
|
|
378,398 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
06/2020 |
|
|
|
|
|
2,762 |
|
|
MXN |
|
|
54,326 |
|
|
|
58 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| CBK |
|
|
02/2020 |
|
|
EUR |
|
|
485 |
|
|
$ |
|
|
539 |
|
|
|
1 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
$ |
|
|
3,165 |
|
|
MXN |
|
|
59,224 |
|
|
|
0 |
|
|
|
(34 |
) |
|
|
|
02/2020 |
|
|
|
|
|
714 |
|
|
PEN |
|
|
2,384 |
|
|
|
0 |
|
|
|
(11 |
) |
|
|
|
03/2020 |
|
|
GBP |
|
|
401 |
|
|
$ |
|
|
526 |
|
|
|
0 |
|
|
|
(3 |
) |
|
|
|
04/2020 |
|
|
PEN |
|
|
2,384 |
|
|
|
|
|
713 |
|
|
|
11 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| FBF |
|
|
03/2020 |
|
|
$ |
|
|
4,425 |
|
|
BRL |
|
|
18,660 |
|
|
|
0 |
|
|
|
(74 |
) |
|
|
|
|
|
|
|
|
| GLM |
|
|
02/2020 |
|
|
|
|
|
6,182 |
|
|
RUB |
|
|
396,344 |
|
|
|
6 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| HUS |
|
|
02/2020 |
|
|
EUR |
|
|
1,179 |
|
|
$ |
|
|
1,300 |
|
|
|
0 |
|
|
|
(8 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
231 |
|
|
INR |
|
|
16,461 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
03/2020 |
|
|
|
|
|
30 |
|
|
|
|
|
2,114 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
05/2020 |
|
|
|
|
|
2,877 |
|
|
MXN |
|
|
56,435 |
|
|
|
71 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| JPM |
|
|
02/2020 |
|
|
GBP |
|
|
60,146 |
|
|
$ |
|
|
78,740 |
|
|
|
0 |
|
|
|
(683 |
) |
|
|
|
|
|
|
|
|
| MYI |
|
|
03/2020 |
|
|
$ |
|
|
2,739 |
|
|
RUB |
|
|
178,007 |
|
|
|
32 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| RBC |
|
|
03/2020 |
|
|
|
|
|
1,492 |
|
|
IDR |
|
|
20,465,988 |
|
|
|
1 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| SCX |
|
|
03/2020 |
|
|
|
|
|
89 |
|
|
|
|
|
1,214,961 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
|
|
|
184 |
|
|
INR |
|
|
13,187 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
|
| UAG |
|
|
02/2020 |
|
|
|
|
|
78,218 |
|
|
GBP |
|
|
60,146 |
|
|
|
1,205 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
GBP |
|
|
60,146 |
|
|
$ |
|
|
78,283 |
|
|
|
0 |
|
|
|
(1,199 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Forward Foreign Currency Contracts |
|
|
$ |
1,999 |
|
|
$ |
(2,264 |
) |
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: OVER THE COUNTER SUMMARY
The
following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Forward
Foreign
Currency
Contracts |
|
|
Purchased
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
|
|
|
Forward
Foreign
Currency
Contracts |
|
|
Written
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
Net Market
Value of OTC
Derivatives |
|
|
Collateral
Pledged/
(Received) |
|
|
Net
Exposure(1) |
|
| BOA |
|
$ |
241 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
241 |
|
|
|
|
|
|
$ |
(241 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(241 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
| BPS |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(9 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(9 |
) |
|
|
(9 |
) |
|
|
18 |
|
|
|
9 |
|
| BRC |
|
|
431 |
|
|
|
0 |
|
|
|
0 |
|
|
|
431 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
431 |
|
|
|
(610 |
) |
|
|
(179 |
) |
| CBK |
|
|
12 |
|
|
|
0 |
|
|
|
0 |
|
|
|
12 |
|
|
|
|
|
|
|
(48 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(48 |
) |
|
|
(36 |
) |
|
|
0 |
|
|
|
(36 |
) |
| FBF |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(74 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(74 |
) |
|
|
(74 |
) |
|
|
0 |
|
|
|
(74 |
) |
| GLM |
|
|
6 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6 |
|
|
|
(260 |
) |
|
|
(254 |
) |
| HUS |
|
|
71 |
|
|
|
0 |
|
|
|
0 |
|
|
|
71 |
|
|
|
|
|
|
|
(9 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(9 |
) |
|
|
62 |
|
|
|
0 |
|
|
|
62 |
|
| JPM |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(683 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(683 |
) |
|
|
(683 |
) |
|
|
(50 |
) |
|
|
(733 |
) |
| MYI |
|
|
32 |
|
|
|
0 |
|
|
|
0 |
|
|
|
32 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
32 |
|
|
|
24 |
|
|
|
56 |
|
| RBC |
|
|
1 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1 |
|
|
|
0 |
|
|
|
1 |
|
| SCX |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(1 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
0 |
|
|
|
(1 |
) |
| UAG |
|
|
1,205 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1,205 |
|
|
|
|
|
|
|
(1,199 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1,199 |
) |
|
|
6 |
|
|
|
0 |
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Over the Counter |
|
$ |
1,999 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
1,999 |
|
|
|
|
|
|
$ |
(2,264 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(2,264 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (o) |
Securities with an aggregate market value of $42 have been pledged as collateral for financial derivative instruments as
governed by International Swaps and Derivatives Association, Inc. master agreements as of January 31, 2020. |
| (1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
|
|
|
|
|
|
|
|
|
|
| 46 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the
Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
67 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,612 |
|
|
$ |
2,679 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
1,999 |
|
|
$ |
0 |
|
|
$ |
1,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
67 |
|
|
$ |
0 |
|
|
$ |
1,999 |
|
|
$ |
2,612 |
|
|
$ |
4,678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
1 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
1,980 |
|
|
$ |
1,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,264 |
|
|
$ |
0 |
|
|
$ |
2,264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
1 |
|
|
$ |
0 |
|
|
$ |
2,264 |
|
|
$ |
1,980 |
|
|
$ |
4,245 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial
Derivative Instruments on the Statements of Operations for the period ended January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Net Realized Gain (Loss) on Financial Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
199 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(45,547 |
) |
|
$ |
(45,348 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
955 |
|
|
$ |
0 |
|
|
$ |
955 |
|
| Swap Agreements |
|
|
0 |
|
|
|
23 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
23 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
23 |
|
|
$ |
0 |
|
|
$ |
955 |
|
|
$ |
0 |
|
|
$ |
978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
222 |
|
|
$ |
0 |
|
|
$ |
955 |
|
|
$ |
(45,547 |
) |
|
$ |
(44,370 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on Financial
Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
(1,010 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
46,261 |
|
|
$ |
45,251 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(5,056 |
) |
|
$ |
0 |
|
|
$ |
(5,056 |
) |
| Swap Agreements |
|
|
0 |
|
|
|
(24 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(24 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(24 |
) |
|
$ |
0 |
|
|
$ |
(5,056 |
) |
|
$ |
0 |
|
|
$ |
(5,080 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(1,034 |
) |
|
$ |
0 |
|
|
$ |
(5,056 |
) |
|
$ |
46,261 |
|
|
$ |
40,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
47 |
Schedule of Investments PIMCO
Corporate & Income Strategy Fund (Cont.)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of January 31, 2020 in valuing the Fund’s assets
and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
100 |
|
|
$ |
79,405 |
|
|
$ |
6,533 |
|
|
$ |
86,038 |
|
| Corporate Bonds & Notes |
|
| Banking & Finance |
|
|
0 |
|
|
|
130,555 |
|
|
|
0 |
|
|
|
130,555 |
|
| Industrials |
|
|
0 |
|
|
|
131,288 |
|
|
|
653 |
|
|
|
131,941 |
|
| Utilities |
|
|
0 |
|
|
|
41,944 |
|
|
|
0 |
|
|
|
41,944 |
|
| Convertible Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
5,230 |
|
|
|
0 |
|
|
|
5,230 |
|
| Utilities |
|
|
0 |
|
|
|
7 |
|
|
|
0 |
|
|
|
7 |
|
| Municipal Bonds & Notes |
|
| California |
|
|
0 |
|
|
|
1,268 |
|
|
|
0 |
|
|
|
1,268 |
|
| Illinois |
|
|
0 |
|
|
|
17,479 |
|
|
|
0 |
|
|
|
17,479 |
|
| Virginia |
|
|
0 |
|
|
|
769 |
|
|
|
0 |
|
|
|
769 |
|
| West Virginia |
|
|
0 |
|
|
|
8,146 |
|
|
|
0 |
|
|
|
8,146 |
|
| U.S. Government Agencies |
|
|
0 |
|
|
|
19,704 |
|
|
|
4,868 |
|
|
|
24,572 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
0 |
|
|
|
100,738 |
|
|
|
0 |
|
|
|
100,738 |
|
| Asset-Backed Securities |
|
|
0 |
|
|
|
95,191 |
|
|
|
12,111 |
|
|
|
107,302 |
|
| Sovereign Issues |
|
|
0 |
|
|
|
36,442 |
|
|
|
0 |
|
|
|
36,442 |
|
| Common Stocks |
|
| Communication Services |
|
|
1,979 |
|
|
|
7 |
|
|
|
0 |
|
|
|
1,986 |
|
| Consumer Discretionary |
|
|
6,378 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6,378 |
|
| Energy |
|
|
2 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
631 |
|
|
|
631 |
|
| Warrants |
|
| Communication Services |
|
|
0 |
|
|
|
3,432 |
|
|
|
0 |
|
|
|
3,432 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
1,716 |
|
|
|
1,716 |
|
| Preferred Securities |
|
| Banking & Finance |
|
|
0 |
|
|
|
10,047 |
|
|
|
0 |
|
|
|
10,047 |
|
| Industrials |
|
|
0 |
|
|
|
259 |
|
|
|
21,836 |
|
|
|
22,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Real Estate Investment Trusts |
|
| Real Estate |
|
$ |
11,156 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
11,156 |
|
| Short-Term Instruments |
|
| Repurchase Agreements |
|
|
0 |
|
|
|
28,652 |
|
|
|
0 |
|
|
|
28,652 |
|
| Argentina Treasury Bills |
|
|
0 |
|
|
|
583 |
|
|
|
0 |
|
|
|
583 |
|
| U.S. Treasury Bills |
|
|
0 |
|
|
|
866 |
|
|
|
0 |
|
|
|
866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
$ |
19,615 |
|
|
$ |
712,012 |
|
|
$ |
48,348 |
|
|
$ |
779,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
2,679 |
|
|
|
0 |
|
|
|
2,679 |
|
| Over the counter |
|
|
0 |
|
|
|
1,999 |
|
|
|
0 |
|
|
|
1,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
4,678 |
|
|
$ |
0 |
|
|
$ |
4,678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
(1,981 |
) |
|
|
0 |
|
|
|
(1,981 |
) |
| Over the counter |
|
|
0 |
|
|
|
(2,264 |
) |
|
|
0 |
|
|
|
(2,264 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(4,245 |
) |
|
$ |
0 |
|
|
$ |
(4,245 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Financial Derivative Instruments |
|
$ |
0 |
|
|
$ |
433 |
|
|
$ |
0 |
|
|
$ |
433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
19,615 |
|
|
$ |
712,445 |
|
|
$ |
48,348 |
|
|
$ |
780,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is
a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Beginning
Balance
at 07/31/2019 |
|
|
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 01/31/2020 |
|
|
Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2020(1) |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
3,889 |
|
|
$ |
3,019 |
|
|
$ |
(351 |
) |
|
$ |
(114 |
) |
|
$ |
(2 |
) |
|
$ |
92 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
6,533 |
|
|
$ |
93 |
|
| Corporate Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
845 |
|
|
|
0 |
|
|
|
6 |
|
|
|
0 |
|
|
|
(198 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
653 |
|
|
|
(198 |
) |
| U.S. Government Agencies |
|
|
4,866 |
|
|
|
0 |
|
|
|
(49 |
) |
|
|
140 |
|
|
|
17 |
|
|
|
(106 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
4,868 |
|
|
|
(108 |
) |
| Asset-Backed Securities |
|
|
16,154 |
|
|
|
0 |
|
|
|
(3,748 |
) |
|
|
0 |
|
|
|
329 |
|
|
|
(624 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
12,111 |
|
|
|
(860 |
) |
| Common Stocks |
|
| Industrials |
|
|
732 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(101 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
631 |
|
|
|
(101 |
) |
| Warrants |
|
| Industrials |
|
|
1,437 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
279 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1,716 |
|
|
|
279 |
|
| Preferred Securities |
|
| Industrials |
|
|
20,979 |
|
|
|
1,217 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(360 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
21,836 |
|
|
|
(360 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
48,057 |
|
|
$ |
5,081 |
|
|
$ |
(4,148 |
) |
|
$ |
32 |
|
|
$ |
344 |
|
|
$ |
(1,018 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
48,348 |
|
|
$ |
(1,255 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 48 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
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 01/31/2020 |
|
|
Valuation
Technique |
|
Unobservable
Inputs |
|
(% Unless Noted Otherwise) |
|
| |
Input Value(s) |
|
|
Weighted
Average |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
6,533 |
|
|
Third Party Vendor |
|
Broker Quote |
|
|
75.500-102.000 |
|
|
|
89.673 |
|
| Corporate Bonds & Notes |
|
| Industrials |
|
|
653 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| U.S. Government Agencies |
|
|
4,868 |
|
|
Proxy Pricing |
|
Base Price |
|
|
60.540 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
12,111 |
|
|
Proxy Pricing |
|
Base Price |
|
|
4,031.800-100,937.971 |
|
|
|
63,059.900 |
|
| Common Stocks |
|
| Industrials |
|
|
631 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| Warrants |
|
| Industrials |
|
|
1,716 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| Preferred Securities |
|
| Industrials |
|
|
21,836 |
|
|
Fundamental Valuation |
|
Company Equity Value |
|
$ |
948,002,602.394 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
48,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at January 31, 2020 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. |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
49 |
Schedule of Investments PIMCO High Income Fund
(Amounts in thousands*, except number of shares, contracts and units, if any)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| INVESTMENTS IN SECURITIES 131.3% |
|
|
|
| LOAN PARTICIPATIONS AND ASSIGNMENTS 12.8% |
|
|
| Advanz Pharma Corp. |
|
| 7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |
|
$ |
|
|
6,378 |
|
|
$ |
|
|
6,060 |
|
|
| Al Convoy (Luxembourg) S.a.r.l. |
|
| TBD% due 01/29/2027 |
|
|
|
|
95 |
|
|
|
|
|
95 |
|
|
| Alphabet Holding Co., Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 09/26/2024 ~ |
|
|
|
|
98 |
|
|
|
|
|
94 |
|
|
| Altice France S.A. |
|
| 5.676% (LIBOR03M + 4.000%) due 08/14/2026 ~ |
|
|
|
|
395 |
|
|
|
|
|
396 |
|
|
| Ancestry.com Operations, Inc. |
|
| 5.900% (LIBOR03M + 4.250%) due 08/27/2026 ~ |
|
|
|
|
100 |
|
|
|
|
|
95 |
|
|
| Diamond Resorts Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 09/02/2023 ~ |
|
|
|
|
1,272 |
|
|
|
|
|
1,253 |
|
|
| Dubai World (3.000% Cash and 1.750% PIK) |
|
| 4.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(d) |
|
|
|
|
696 |
|
|
|
|
|
651 |
|
|
| Emerald TopCo, Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 07/24/2026 ~ |
|
|
|
|
150 |
|
|
|
|
|
150 |
|
|
| Envision Healthcare Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 10/10/2025 ~ |
|
|
|
|
19,595 |
|
|
|
|
|
16,579 |
|
|
| Financial & Risk U.S. Holdings, Inc. |
|
| 4.895% (LIBOR03M + 3.250%) due 10/01/2025 ~ |
|
|
|
|
929 |
|
|
|
|
|
940 |
|
|
| Forbes Energy Services LLC (6.909% Cash and 11.000% PIK) |
|
| 17.909% (LIBOR03M + 5.000%) due 04/13/2021 ~(d) |
|
|
|
|
1,032 |
|
|
|
|
|
1,033 |
|
|
| Froneri Ltd. |
|
| TBD% due 01/31/2027 |
|
|
|
|
148 |
|
|
|
|
|
149 |
|
| TBD% due 01/28/2028 « |
|
|
|
|
9 |
|
|
|
|
|
9 |
|
|
| Frontier Communications Corp. |
|
| 5.400% (LIBOR03M + 3.750%) due 06/15/2024 ~ |
|
|
|
|
880 |
|
|
|
|
|
889 |
|
|
| iHeartCommunications, Inc. |
|
| 5.781% (LIBOR03M + 4.000%) due 05/01/2026 ~ |
|
|
|
|
5,022 |
|
|
|
|
|
5,042 |
|
|
| IRB Holding Corp. |
|
| 4.384% (LIBOR03M + 2.750%) due 02/05/2025 ~ |
|
|
|
|
1,283 |
|
|
|
|
|
1,287 |
|
|
| Jefferies Finance LLC |
|
| 5.063% (LIBOR03M + 3.250%) due 06/03/2026 ~ |
|
|
|
|
30 |
|
|
|
|
|
30 |
|
|
| McDermott Technology Americas, Inc. |
|
| TBD% due 10/21/2021 ^µ(e) |
|
|
|
|
3,090 |
|
|
|
|
|
3,235 |
|
| TBD% due 05/09/2025 ^(e) |
|
|
|
|
2,937 |
|
|
|
|
|
1,872 |
|
|
| Messer Industrie GmbH |
|
| 4.445% (LIBOR03M + 2.500%) due 03/01/2026 ~ |
|
|
|
|
97 |
|
|
|
|
|
97 |
|
|
| MH Sub LLC |
|
| 5.395% (LIBOR03M + 3.750%) due 09/13/2024 ~ |
|
|
|
|
166 |
|
|
|
|
|
166 |
|
|
| Nascar Holdings, Inc. |
|
| 4.408% (LIBOR03M + 2.750%) due 10/19/2026 ~ |
|
|
|
|
95 |
|
|
|
|
|
96 |
|
|
| NCI Building Systems, Inc. |
|
| 5.434% (LIBOR03M + 3.750%) due 04/12/2025 ~ |
|
|
|
|
49 |
|
|
|
|
|
49 |
|
|
| Neiman Marcus Group Ltd. LLC |
|
| 7.734% (LIBOR03M + 6.000%) due 10/25/2023 ~ |
|
|
|
|
10,958 |
|
|
|
|
|
9,314 |
|
|
| Neiman Marcus Group Ltd. LLC (7.234 - 7.277% Cash and 1.000% PIK) |
|
| 8.234% - 8.277% (LIBOR03M + 5.500%) due 10/25/2023 ~(d) |
|
|
|
|
12,764 |
|
|
|
|
|
10,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Ortho-Clinical Diagnostics S.A. |
|
| 5.013% (LIBOR03M + 3.250%) due 06/30/2025 ~ |
|
$ |
|
|
800 |
|
|
$ |
|
|
791 |
|
|
| Pacific Gas & Electric Co. |
|
| TBD% due 02/22/2049 ^(e) |
|
|
|
|
100 |
|
|
|
|
|
105 |
|
|
| Parexel International Corp. |
|
| 4.395% (LIBOR03M + 2.750%) due 09/27/2024 ~ |
|
|
|
|
88 |
|
|
|
|
|
87 |
|
|
| PetSmart, Inc. |
|
| 5.670% (LIBOR03M + 4.000%) due 03/11/2022 ~ |
|
|
|
|
265 |
|
|
|
|
|
265 |
|
|
| PG&E Corp. |
|
| TBD% due 04/16/2020 |
|
|
|
|
3,464 |
|
|
|
|
|
3,551 |
|
|
| Playtika Holding Corp. |
|
| 7.645% (LIBOR03M + 6.000%) due 12/10/2024 ~ |
|
|
|
|
5,226 |
|
|
|
|
|
5,283 |
|
|
| Pug LLC |
|
| TBD% due 01/15/2027 |
|
|
|
|
44 |
|
|
|
|
|
44 |
|
|
| Reynolds Consumer Products, Inc. |
|
| TBD% due 01/29/2027 |
|
|
|
|
100 |
|
|
|
|
|
101 |
|
|
| Starfruit Finco BV |
|
| 4.699% (LIBOR03M + 3.000%) due 10/01/2025 ~ |
|
|
|
|
275 |
|
|
|
|
|
275 |
|
|
| Summer (BC) Holdco B SARL |
|
| TBD% due 10/15/2026 « |
|
|
|
|
3,312 |
|
|
|
|
|
3,225 |
|
| TBD% due 12/04/2026 « |
|
|
|
|
828 |
|
|
|
|
|
806 |
|
|
| Sunshine Luxembourg SARL |
|
| 6.195% (LIBOR03M + 4.250%) due 10/01/2026 ~ |
|
|
|
|
273 |
|
|
|
|
|
274 |
|
|
| Syniverse Holdings, Inc. |
|
| 6.873% (LIBOR03M + 5.000%) due 03/09/2023 ~ |
|
|
|
|
8,459 |
|
|
|
|
|
7,747 |
|
|
| U.S. Renal Care, Inc. |
|
| 6.645% (LIBOR03M + 5.000%) due 06/26/2026 ~ |
|
|
|
|
590 |
|
|
|
|
|
586 |
|
|
| West Corp. |
|
| 5.645% (LIBOR03M + 4.000%) due 10/10/2024 ~ |
|
|
|
|
57 |
|
|
|
|
|
49 |
|
|
| Westmoreland Mining Holdings LLC |
|
| 10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |
|
|
|
|
1,965 |
|
|
|
|
|
1,984 |
|
|
| Westmoreland Mining Holdings LLC (15.000% PIK) |
|
| 15.000% due 03/15/2029 «(d) |
|
|
|
|
5,767 |
|
|
|
|
|
4,354 |
|
|
| Windstream Services LLC |
|
| TBD% due 03/29/2021 |
|
|
|
|
10,567 |
|
|
|
|
|
10,361 |
|
| 9.000% (PRIME + 4.250%) due 02/17/2024 ~ |
|
|
|
|
6,000 |
|
|
|
|
|
5,722 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations and Assignments (Cost $112,462) |
|
|
105,993 |
|
|
|
|
|
|
|
|
| CORPORATE BONDS & NOTES 54.0% |
|
|
|
| BANKING & FINANCE 20.8% |
|
|
| Ally Financial, Inc. |
|
| 8.000% due 11/01/2031 |
|
|
|
|
4 |
|
|
|
|
|
6 |
|
| 8.000% due 11/01/2031 (l) |
|
|
|
|
1,270 |
|
|
|
|
|
1,789 |
|
|
| Ambac LSNI LLC |
|
| 6.945% due 02/12/2023 • |
|
|
|
|
613 |
|
|
|
|
|
624 |
|
|
| Ardonagh Midco PLC |
|
| 8.375% due 07/15/2023 |
|
GBP |
|
|
16,018 |
|
|
|
|
|
21,581 |
|
|
| Atlantic Marine Corps Communities LLC |
|
| 5.383% due 02/15/2048 (l) |
|
$ |
|
|
4,432 |
|
|
|
|
|
4,819 |
|
|
| Banco BTG Pactual S.A. |
|
| 4.500% due 01/10/2025 |
|
|
|
|
200 |
|
|
|
|
|
206 |
|
|
| Banco de Credito del Peru |
|
| 4.650% due 09/17/2024 |
|
PEN |
|
|
1,000 |
|
|
|
|
|
302 |
|
|
| Barclays PLC |
|
| 7.125% due 06/15/2025 •(i) |
|
GBP |
|
|
1,200 |
|
|
|
|
|
1,821 |
|
| 7.750% due 09/15/2023 •(i)(l) |
|
$ |
|
|
2,150 |
|
|
|
|
|
2,356 |
|
| 7.875% due 09/15/2022 •(i) |
|
GBP |
|
|
7,210 |
|
|
|
|
|
10,594 |
|
| 8.000% due 06/15/2024 •(i)(l) |
|
$ |
|
|
600 |
|
|
|
|
|
678 |
|
|
| Brookfield Finance, Inc. |
|
| 3.900% due 01/25/2028 |
|
|
|
|
18 |
|
|
|
|
|
20 |
|
| 4.700% due 09/20/2047 (l) |
|
|
|
|
204 |
|
|
|
|
|
249 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| CBL & Associates LP |
|
| 4.600% due 10/15/2024 (l) |
|
$ |
|
|
2,302 |
|
|
$ |
|
|
1,250 |
|
| 5.950% due 12/15/2026 (l) |
|
|
|
|
3,568 |
|
|
|
|
|
1,793 |
|
|
| Credit Agricole S.A. |
|
| 7.875% due 01/23/2024 •(i)(l) |
|
|
|
|
250 |
|
|
|
|
|
285 |
|
|
| Credit Suisse Group AG |
|
| 7.250% due 09/12/2025 •(i) |
|
|
|
|
200 |
|
|
|
|
|
227 |
|
| 7.500% due 07/17/2023 •(i) |
|
|
|
|
400 |
|
|
|
|
|
441 |
|
|
| Doctors Co. |
|
| 6.500% due 10/15/2023 (l) |
|
|
|
|
10,000 |
|
|
|
|
|
10,908 |
|
|
| Emerald Bay S.A. |
|
| 0.000% due 10/08/2020 (h)(l) |
|
EUR |
|
|
2,738 |
|
|
|
|
|
2,995 |
|
|
| Equitable Holdings, Inc. |
|
| 5.000% due 04/20/2048 |
|
$ |
|
|
12 |
|
|
|
|
|
14 |
|
|
| ESH Hospitality, Inc. |
|
| 4.625% due 10/01/2027 |
|
|
|
|
77 |
|
|
|
|
|
77 |
|
|
| Flagstar Bancorp, Inc. |
|
| 6.125% due 07/15/2021 (l) |
|
|
|
|
3,000 |
|
|
|
|
|
3,129 |
|
|
| Ford Motor Credit Co. LLC |
|
| 3.087% due 01/09/2023 |
|
|
|
|
400 |
|
|
|
|
|
403 |
|
|
| Fortress Transportation & Infrastructure Investors LLC |
|
| 6.500% due 10/01/2025 |
|
|
|
|
510 |
|
|
|
|
|
543 |
|
|
| GE Capital International Funding Co. Unlimited Co. |
|
| 4.418% due 11/15/2035 (l) |
|
|
|
|
200 |
|
|
|
|
|
226 |
|
|
| General Shopping Finance Ltd. |
|
| 10.000% due 03/02/2020 (i)(l) |
|
|
|
|
5,300 |
|
|
|
|
|
3,471 |
|
|
| Growthpoint Properties International Pty. Ltd. |
|
| 5.872% due 05/02/2023 |
|
|
|
|
200 |
|
|
|
|
|
216 |
|
|
| GSPA Monetization Trust |
|
| 6.422% due 10/09/2029 |
|
|
|
|
5,473 |
|
|
|
|
|
6,404 |
|
|
| Hampton Roads PPV LLC |
|
| 6.621% due 06/15/2053 |
|
|
|
|
19,754 |
|
|
|
|
|
22,745 |
|
|
| HSBC Bank PLC |
|
| 6.330% due 05/18/2023 |
|
|
|
|
8,300 |
|
|
|
|
|
8,776 |
|
|
| HSBC Holdings PLC |
|
| 5.875% due 09/28/2026 •(i)(l) |
|
GBP |
|
|
600 |
|
|
|
|
|
887 |
|
| 6.500% due 03/23/2028 •(i) |
|
$ |
|
|
700 |
|
|
|
|
|
780 |
|
|
| Hunt Cos., Inc. |
|
| 6.250% due 02/15/2026 |
|
|
|
|
36 |
|
|
|
|
|
35 |
|
|
| ING Groep NV |
|
| 5.750% due 11/16/2026 •(i) |
|
|
|
|
500 |
|
|
|
|
|
536 |
|
|
| Kennedy-Wilson, Inc. |
|
| 5.875% due 04/01/2024 |
|
|
|
|
96 |
|
|
|
|
|
99 |
|
|
| Ladder Capital Finance Holdings LLLP |
|
| 4.250% due 02/01/2027 |
|
|
|
|
76 |
|
|
|
|
|
76 |
|
|
| Lloyds Banking Group PLC |
|
| 7.500% due 09/27/2025 •(i)(l) |
|
|
|
|
500 |
|
|
|
|
|
572 |
|
| 7.875% due 06/27/2029 •(i) |
|
GBP |
|
|
4,910 |
|
|
|
|
|
8,336 |
|
|
| LoanCore Capital Markets LLC |
|
| 6.875% due 06/01/2020 (l) |
|
$ |
|
|
7,000 |
|
|
|
|
|
7,013 |
|
|
| Midwest Family Housing LLC |
|
| 6.631% due 01/01/2051 |
|
|
|
|
4,845 |
|
|
|
|
|
5,143 |
|
|
| Nationstar Mortgage LLC |
|
| 6.500% due 07/01/2021 |
|
|
|
|
682 |
|
|
|
|
|
684 |
|
|
| Navient Corp. |
|
| 5.625% due 08/01/2033 (l) |
|
|
|
|
8,064 |
|
|
|
|
|
7,337 |
|
|
| Newmark Group, Inc. |
|
| 6.125% due 11/15/2023 |
|
|
|
|
40 |
|
|
|
|
|
44 |
|
|
| Oppenheimer Holdings, Inc. |
|
| 6.750% due 07/01/2022 |
|
|
|
|
51 |
|
|
|
|
|
53 |
|
|
| Royal Bank of Scotland Group PLC |
|
| 8.625% due 08/15/2021 •(i)(l) |
|
|
|
|
3,700 |
|
|
|
|
|
4,003 |
|
|
| Santander UK Group Holdings PLC |
|
| 7.375% due 06/24/2022 •(i) |
|
GBP |
|
|
6,363 |
|
|
|
|
|
9,236 |
|
|
| SBA Communications Corp. |
|
| 3.875% due 02/15/2027 (c) |
|
$ |
|
|
214 |
|
|
|
|
|
217 |
|
|
| Societe Generale S.A. |
|
| 6.750% due 04/06/2028 •(i) |
|
|
|
|
200 |
|
|
|
|
|
225 |
|
| 7.375% due 10/04/2023 •(i) |
|
|
|
|
900 |
|
|
|
|
|
994 |
|
|
| Springleaf Finance Corp. |
|
| 6.125% due 03/15/2024 |
|
|
|
|
176 |
|
|
|
|
|
191 |
|
|
| TP ICAP PLC |
|
| 5.250% due 01/26/2024 (l) |
|
GBP |
|
|
4,190 |
|
|
|
|
|
6,145 |
|
|
|
|
|
|
|
|
|
|
| 50 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| UniCredit SpA |
|
| 7.830% due 12/04/2023 (l) |
|
$ |
|
|
3,300 |
|
|
$ |
|
|
3,896 |
|
|
| Unique Pub Finance Co. PLC |
|
| 5.659% due 06/30/2027 |
|
GBP |
|
|
223 |
|
|
|
|
|
338 |
|
|
| Voyager Aviation Holdings LLC |
|
| 8.500% due 08/15/2021 (l) |
|
$ |
|
|
6,055 |
|
|
|
|
|
6,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
171,997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 23.8% |
|
|
| Aker BP ASA |
|
| 3.750% due 01/15/2030 |
|
|
|
|
150 |
|
|
|
|
|
152 |
|
|
| Albertsons Cos., Inc. |
|
| 3.500% due 02/15/2023 (c) |
|
|
|
|
66 |
|
|
|
|
|
67 |
|
| 4.625% due 01/15/2027 |
|
|
|
|
66 |
|
|
|
|
|
67 |
|
| 4.875% due 02/15/2030 (c) |
|
|
|
|
76 |
|
|
|
|
|
78 |
|
|
| Altice Financing S.A. |
|
| 2.250% due 01/15/2025 |
|
EUR |
|
|
200 |
|
|
|
|
|
218 |
|
|
| Associated Materials LLC |
|
| 9.000% due 01/01/2024 (l) |
|
$ |
|
|
1,102 |
|
|
|
|
|
964 |
|
|
| Avon International Capital PLC |
|
| 6.500% due 08/15/2022 |
|
|
|
|
34 |
|
|
|
|
|
35 |
|
|
| Baffinland Iron Mines Corp. |
|
| 8.750% due 07/15/2026 (l) |
|
|
|
|
8,400 |
|
|
|
|
|
8,741 |
|
|
| Bausch Health Cos., Inc. |
|
| 5.000% due 01/30/2028 |
|
|
|
|
116 |
|
|
|
|
|
118 |
|
| 5.250% due 01/30/2030 |
|
|
|
|
116 |
|
|
|
|
|
118 |
|
|
| BCPE Cycle Merger Sub, Inc. |
|
| 10.625% due 07/15/2027 |
|
|
|
|
99 |
|
|
|
|
|
102 |
|
|
| Bioceanico Sovereign Certificate Ltd. |
|
| 0.000% due 06/05/2034 (h) |
|
|
|
|
150 |
|
|
|
|
|
106 |
|
|
| Bombardier, Inc. |
|
| 6.000% due 10/15/2022 |
|
|
|
|
36 |
|
|
|
|
|
35 |
|
| 6.125% due 01/15/2023 |
|
|
|
|
20 |
|
|
|
|
|
20 |
|
| 7.500% due 03/15/2025 (l) |
|
|
|
|
2,450 |
|
|
|
|
|
2,358 |
|
| 7.875% due 04/15/2027 (l) |
|
|
|
|
3,552 |
|
|
|
|
|
3,374 |
|
|
| CCO Holdings LLC |
|
| 4.750% due 03/01/2030 |
|
|
|
|
220 |
|
|
|
|
|
227 |
|
|
| Charter Communications Operating LLC |
|
| 4.800% due 03/01/2050 |
|
|
|
|
272 |
|
|
|
|
|
294 |
|
|
| Community Health Systems, Inc. |
|
| 6.250% due 03/31/2023 (l) |
|
|
|
|
13,476 |
|
|
|
|
|
13,779 |
|
| 8.000% due 03/15/2026 |
|
|
|
|
763 |
|
|
|
|
|
797 |
|
| 8.625% due 01/15/2024 (l) |
|
|
|
|
1,825 |
|
|
|
|
|
1,944 |
|
|
| Connect Finco SARL |
|
| 6.750% due 10/01/2026 |
|
|
|
|
80 |
|
|
|
|
|
85 |
|
|
| Dell International LLC |
|
| 6.020% due 06/15/2026 (l) |
|
|
|
|
3,572 |
|
|
|
|
|
4,175 |
|
|
| Diamond Resorts International, Inc. |
|
| 7.750% due 09/01/2023 (l) |
|
|
|
|
3,194 |
|
|
|
|
|
3,293 |
|
|
| DriveTime Automotive Group, Inc. |
|
| 8.000% due 06/01/2021 (l) |
|
|
|
|
11,130 |
|
|
|
|
|
11,290 |
|
|
| Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
|
| 7.750% due 05/15/2022 (d) |
|
|
|
|
23 |
|
|
|
|
|
23 |
|
|
| EI Group PLC |
|
| 6.000% due 10/06/2023 |
|
GBP |
|
|
500 |
|
|
|
|
|
667 |
|
| 6.875% due 05/09/2025 |
|
|
|
|
6,600 |
|
|
|
|
|
8,832 |
|
|
| Eldorado Resorts, Inc. |
|
| 6.000% due 09/15/2026 (l) |
|
$ |
|
|
3,000 |
|
|
|
|
|
3,294 |
|
|
| Energy Transfer Operating LP |
|
| 2.900% due 05/15/2025 |
|
|
|
|
48 |
|
|
|
|
|
49 |
|
| 3.750% due 05/15/2030 |
|
|
|
|
105 |
|
|
|
|
|
107 |
|
| 5.000% due 05/15/2050 |
|
|
|
|
96 |
|
|
|
|
|
99 |
|
|
| Envision Healthcare Corp. |
|
| 8.750% due 10/15/2026 |
|
|
|
|
3,318 |
|
|
|
|
|
2,010 |
|
|
| Exela Intermediate LLC |
|
| 10.000% due 07/15/2023 |
|
|
|
|
172 |
|
|
|
|
|
67 |
|
|
| Fair Isaac Corp. |
|
| 4.000% due 06/15/2028 |
|
|
|
|
12 |
|
|
|
|
|
12 |
|
|
| Ferroglobe PLC |
|
| 9.375% due 03/01/2022 (l) |
|
|
|
|
2,750 |
|
|
|
|
|
2,070 |
|
|
| First Quantum Minerals Ltd. |
|
| 6.500% due 03/01/2024 (l) |
|
|
|
|
2,240 |
|
|
|
|
|
2,163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 6.875% due 03/01/2026 (l) |
|
$ |
|
|
1,548 |
|
|
$ |
|
|
1,489 |
|
| 7.000% due 02/15/2021 |
|
|
|
|
224 |
|
|
|
|
|
224 |
|
|
| Flex Ltd. |
|
| 4.875% due 06/15/2029 |
|
|
|
|
110 |
|
|
|
|
|
123 |
|
|
| Ford Motor Co. |
|
| 7.700% due 05/15/2097 (l) |
|
|
|
|
15,515 |
|
|
|
|
|
18,566 |
|
|
| Fresh Market, Inc. |
|
| 9.750% due 05/01/2023 (l) |
|
|
|
|
9,300 |
|
|
|
|
|
4,604 |
|
|
| Frontier Finance PLC |
|
| 8.000% due 03/23/2022 |
|
GBP |
|
|
6,600 |
|
|
|
|
|
8,982 |
|
|
| Full House Resorts, Inc. |
|
| 8.575% due 01/31/2024 |
|
$ |
|
|
492 |
|
|
|
|
|
484 |
|
| 9.738% due 02/02/2024 |
|
|
|
|
42 |
|
|
|
|
|
41 |
|
|
| General Electric Co. |
|
| 5.875% due 01/14/2038 |
|
|
|
|
46 |
|
|
|
|
|
59 |
|
| 6.150% due 08/07/2037 |
|
|
|
|
53 |
|
|
|
|
|
70 |
|
| 6.875% due 01/10/2039 |
|
|
|
|
13 |
|
|
|
|
|
18 |
|
|
| General Shopping Investments Ltd. |
|
| 0.000% due 03/20/2022 ^(e)(i) |
|
|
|
|
2,500 |
|
|
|
|
|
663 |
|
|
| HCA, Inc. |
|
| 7.500% due 11/15/2095 (l) |
|
|
|
|
3,462 |
|
|
|
|
|
4,270 |
|
|
| IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK) |
|
| 3.625% due 05/15/2025 (d) |
|
EUR |
|
|
300 |
|
|
|
|
|
342 |
|
|
| IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) |
|
| 3.875% due 05/15/2027 (d) |
|
|
|
|
200 |
|
|
|
|
|
230 |
|
|
| IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
|
| 6.000% due 05/15/2027 (d) |
|
$ |
|
|
625 |
|
|
|
|
|
666 |
|
|
| IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK) |
|
| 6.375% due 05/15/2029 (d) |
|
|
|
|
461 |
|
|
|
|
|
504 |
|
|
| Intelsat Connect Finance S.A. |
|
| 9.500% due 02/15/2023 |
|
|
|
|
23 |
|
|
|
|
|
12 |
|
|
| Intelsat Jackson Holdings S.A. |
|
| 5.500% due 08/01/2023 (l) |
|
|
|
|
2,300 |
|
|
|
|
|
1,885 |
|
| 8.000% due 02/15/2024 |
|
|
|
|
17 |
|
|
|
|
|
17 |
|
| 8.500% due 10/15/2024 |
|
|
|
|
333 |
|
|
|
|
|
282 |
|
| 9.750% due 07/15/2025 |
|
|
|
|
753 |
|
|
|
|
|
652 |
|
|
| Intelsat Luxembourg S.A. |
|
| 7.750% due 06/01/2021 ^(l) |
|
|
|
|
7,617 |
|
|
|
|
|
4,951 |
|
| 8.125% due 06/01/2023 (l) |
|
|
|
|
15,504 |
|
|
|
|
|
6,434 |
|
|
| Laredo Petroleum, Inc. |
|
| 9.500% due 01/15/2025 |
|
|
|
|
32 |
|
|
|
|
|
29 |
|
| 10.125% due 01/15/2028 |
|
|
|
|
48 |
|
|
|
|
|
43 |
|
|
| Mallinckrodt International Finance S.A. |
|
| 5.500% due 04/15/2025 (l) |
|
|
|
|
108 |
|
|
|
|
|
40 |
|
|
| Mattel, Inc. |
|
| 5.875% due 12/15/2027 |
|
|
|
|
24 |
|
|
|
|
|
25 |
|
|
| MEG Energy Corp. |
|
| 7.125% due 02/01/2027 |
|
|
|
|
96 |
|
|
|
|
|
95 |
|
|
| Micron Technology, Inc. |
|
| 5.327% due 02/06/2029 (l) |
|
|
|
|
216 |
|
|
|
|
|
254 |
|
|
| NCL Corp. Ltd. |
|
| 3.625% due 12/15/2024 |
|
|
|
|
94 |
|
|
|
|
|
94 |
|
|
| NCR Corp. |
|
| 5.750% due 09/01/2027 |
|
|
|
|
3 |
|
|
|
|
|
3 |
|
|
| Netflix, Inc. |
|
| 3.625% due 06/15/2030 |
|
EUR |
|
|
200 |
|
|
|
|
|
231 |
|
| 4.625% due 05/15/2029 |
|
|
|
|
300 |
|
|
|
|
|
372 |
|
| 4.875% due 06/15/2030 |
|
$ |
|
|
200 |
|
|
|
|
|
209 |
|
|
| New Albertson’s LP |
|
| 6.570% due 02/23/2028 (l) |
|
|
|
|
4,021 |
|
|
|
|
|
3,952 |
|
|
| Noble Holding International Ltd. |
|
| 7.875% due 02/01/2026 |
|
|
|
|
308 |
|
|
|
|
|
221 |
|
|
| Odebrecht Oil & Gas Finance Ltd. |
|
| 0.000% due 03/02/2020 (h)(i) |
|
|
|
|
3,371 |
|
|
|
|
|
34 |
|
|
| Ortho-Clinical Diagnostics, Inc. |
|
| 6.625% due 05/15/2022 |
|
|
|
|
113 |
|
|
|
|
|
113 |
|
| 7.250% due 02/01/2028 |
|
|
|
|
132 |
|
|
|
|
|
135 |
|
|
| Pacific Drilling SA |
|
| 8.375% due 10/01/2023 |
|
|
|
|
4,625 |
|
|
|
|
|
3,897 |
|
|
| Pan American Energy LLC |
|
| 40.063% (BADLARPP) due 11/20/2020 «~ |
|
ARS |
|
|
36,320 |
|
|
|
|
|
415 |
|
|
| Par Pharmaceutical, Inc. |
|
| 7.500% due 04/01/2027 |
|
$ |
|
|
147 |
|
|
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Petroleos Mexicanos |
|
| 2.750% due 04/21/2027 |
|
EUR |
|
|
1,700 |
|
|
$ |
|
|
1,828 |
|
| 5.950% due 01/28/2031 |
|
$ |
|
|
238 |
|
|
|
|
|
241 |
|
| 6.490% due 01/23/2027 |
|
|
|
|
100 |
|
|
|
|
|
109 |
|
| 6.500% due 03/13/2027 |
|
|
|
|
270 |
|
|
|
|
|
294 |
|
| 6.500% due 01/23/2029 |
|
|
|
|
2,300 |
|
|
|
|
|
2,463 |
|
| 6.750% due 09/21/2047 |
|
|
|
|
70 |
|
|
|
|
|
71 |
|
| 6.840% due 01/23/2030 |
|
|
|
|
300 |
|
|
|
|
|
326 |
|
| 6.950% due 01/28/2060 |
|
|
|
|
2,424 |
|
|
|
|
|
2,466 |
|
| 7.690% due 01/23/2050 |
|
|
|
|
150 |
|
|
|
|
|
166 |
|
|
| PetSmart, Inc. |
|
| 5.875% due 06/01/2025 |
|
|
|
|
135 |
|
|
|
|
|
139 |
|
|
| Platin 1426 GmbH |
|
| 6.875% due 06/15/2023 (l) |
|
EUR |
|
|
600 |
|
|
|
|
|
680 |
|
|
| Prime Security Services Borrower LLC |
|
| 6.250% due 01/15/2028 |
|
$ |
|
|
124 |
|
|
|
|
|
123 |
|
|
| PTC, Inc. |
|
| 3.625% due 02/15/2025 (c) |
|
|
|
|
38 |
|
|
|
|
|
38 |
|
| 4.000% due 02/15/2028 (c) |
|
|
|
|
19 |
|
|
|
|
|
19 |
|
|
| QVC, Inc. |
|
| 5.950% due 03/15/2043 (l) |
|
|
|
|
3,594 |
|
|
|
|
|
3,655 |
|
|
| Radiate Holdco LLC |
|
| 6.875% due 02/15/2023 |
|
|
|
|
5 |
|
|
|
|
|
5 |
|
|
| Radiology Partners, Inc. |
|
| 9.250% due 02/01/2028 |
|
|
|
|
76 |
|
|
|
|
|
80 |
|
|
| Range Resources Corp. |
|
| 9.250% due 02/01/2026 |
|
|
|
|
58 |
|
|
|
|
|
51 |
|
|
| Refinitiv U.S. Holdings, Inc. |
|
| 4.500% due 05/15/2026 (l) |
|
EUR |
|
|
300 |
|
|
|
|
|
362 |
|
|
| Russian Railways via RZD Capital PLC |
|
| 7.487% due 03/25/2031 (l) |
|
GBP |
|
|
13,100 |
|
|
|
|
|
24,431 |
|
|
| Sands China Ltd. |
|
| 5.125% due 08/08/2025 (l) |
|
$ |
|
|
400 |
|
|
|
|
|
443 |
|
| 5.400% due 08/08/2028 (l) |
|
|
|
|
1,802 |
|
|
|
|
|
2,053 |
|
|
| Sealed Air Corp. |
|
| 4.000% due 12/01/2027 |
|
|
|
|
12 |
|
|
|
|
|
12 |
|
|
| Sensata Technologies, Inc. |
|
| 4.375% due 02/15/2030 |
|
|
|
|
40 |
|
|
|
|
|
41 |
|
|
| Spanish Broadcasting System, Inc. |
|
| 12.500% due 04/15/2049 ^(e) |
|
|
|
|
3,284 |
|
|
|
|
|
3,426 |
|
| 12.500% due 04/15/2049 ^ |
|
|
|
|
549 |
|
|
|
|
|
573 |
|
|
| Station Casinos LLC |
|
| 4.500% due 02/15/2028 (c) |
|
|
|
|
76 |
|
|
|
|
|
76 |
|
|
| Syngenta Finance NV |
|
| 5.182% due 04/24/2028 |
|
|
|
|
200 |
|
|
|
|
|
225 |
|
|
| TEGNA, Inc. |
|
| 4.625% due 03/15/2028 |
|
|
|
|
230 |
|
|
|
|
|
232 |
|
|
| Teva Pharmaceutical Finance BV |
|
| 3.650% due 11/10/2021 |
|
|
|
|
73 |
|
|
|
|
|
72 |
|
|
| Teva Pharmaceutical Finance Netherlands BV |
|
| 0.375% due 07/25/2020 |
|
EUR |
|
|
243 |
|
|
|
|
|
269 |
|
| 2.200% due 07/21/2021 |
|
$ |
|
|
260 |
|
|
|
|
|
257 |
|
| 3.250% due 04/15/2022 (l) |
|
EUR |
|
|
500 |
|
|
|
|
|
559 |
|
| 6.000% due 01/31/2025 |
|
|
|
|
100 |
|
|
|
|
|
119 |
|
|
| Topaz Solar Farms LLC |
|
| 4.875% due 09/30/2039 (l) |
|
$ |
|
|
2,663 |
|
|
|
|
|
2,855 |
|
| 5.750% due 09/30/2039 (l) |
|
|
|
|
6,496 |
|
|
|
|
|
7,460 |
|
|
| TransDigm, Inc. |
|
| 5.500% due 11/15/2027 |
|
|
|
|
148 |
|
|
|
|
|
149 |
|
|
| Transocean Pontus Ltd. |
|
| 6.125% due 08/01/2025 |
|
|
|
|
190 |
|
|
|
|
|
197 |
|
|
| Transocean, Inc. |
|
| 7.250% due 11/01/2025 |
|
|
|
|
96 |
|
|
|
|
|
91 |
|
| 7.500% due 01/15/2026 |
|
|
|
|
80 |
|
|
|
|
|
76 |
|
| 8.000% due 02/01/2027 |
|
|
|
|
162 |
|
|
|
|
|
151 |
|
|
| Trident TPI Holdings, Inc. |
|
| 9.250% due 08/01/2024 |
|
|
|
|
25 |
|
|
|
|
|
25 |
|
|
| Triumph Group, Inc. |
|
| 5.250% due 06/01/2022 |
|
|
|
|
36 |
|
|
|
|
|
35 |
|
| 6.250% due 09/15/2024 |
|
|
|
|
116 |
|
|
|
|
|
120 |
|
|
| United Group BV |
|
| 4.375% due 07/01/2022 |
|
EUR |
|
|
100 |
|
|
|
|
|
113 |
|
| 4.875% due 07/01/2024 |
|
|
|
|
100 |
|
|
|
|
|
115 |
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
51 |
Schedule of Investments PIMCO High Income
Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Valaris PLC |
|
| 5.750% due 10/01/2044 |
|
$ |
|
|
274 |
|
|
$ |
|
|
114 |
|
| 7.750% due 02/01/2026 |
|
|
|
|
24 |
|
|
|
|
|
12 |
|
|
| Vale Overseas Ltd. |
|
| 6.250% due 08/10/2026 |
|
|
|
|
205 |
|
|
|
|
|
243 |
|
| 6.875% due 11/21/2036 |
|
|
|
|
89 |
|
|
|
|
|
117 |
|
| 6.875% due 11/10/2039 |
|
|
|
|
60 |
|
|
|
|
|
80 |
|
|
| ViaSat, Inc. |
|
| 5.625% due 09/15/2025 |
|
|
|
|
119 |
|
|
|
|
|
121 |
|
| 5.625% due 04/15/2027 |
|
|
|
|
17 |
|
|
|
|
|
18 |
|
|
| Western Midstream Operating LP |
|
| 2.698% (US0003M + 0.850%) due 01/13/2023 ~ |
|
|
|
|
58 |
|
|
|
|
|
58 |
|
| 3.100% due 02/01/2025 |
|
|
|
|
38 |
|
|
|
|
|
38 |
|
| 4.050% due 02/01/2030 |
|
|
|
|
38 |
|
|
|
|
|
38 |
|
| 5.250% due 02/01/2050 |
|
|
|
|
38 |
|
|
|
|
|
36 |
|
|
| WPX Energy, Inc. |
|
| 4.500% due 01/15/2030 |
|
|
|
|
86 |
|
|
|
|
|
87 |
|
|
| Wyndham Destinations, Inc. |
|
| 3.900% due 03/01/2023 |
|
|
|
|
102 |
|
|
|
|
|
104 |
|
| 4.625% due 03/01/2030 |
|
|
|
|
58 |
|
|
|
|
|
60 |
|
| 5.400% due 04/01/2024 |
|
|
|
|
14 |
|
|
|
|
|
15 |
|
|
| Wynn Macau Ltd. |
|
| 5.125% due 12/15/2029 |
|
|
|
|
200 |
|
|
|
|
|
199 |
|
|
| YPF S.A. |
|
| 48.005% (BADLARPP + 4.000%) due 09/24/2020 «~ |
|
ARS |
|
|
13,470 |
|
|
|
|
|
149 |
|
| 52.818% (BADLARPP + 6.000%) due 03/04/2021 «~(a) |
|
|
|
|
8,870 |
|
|
|
|
|
105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196,595 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES 9.4% |
|
|
| Centrais Eletricas Brasileiras S.A. |
|
| 3.625% due 02/04/2025 (c) |
|
$ |
|
|
200 |
|
|
|
|
|
201 |
|
| 4.625% due 02/04/2030 (c) |
|
|
|
|
200 |
|
|
|
|
|
203 |
|
|
| CenturyLink, Inc. |
|
| 4.000% due 02/15/2027 |
|
|
|
|
76 |
|
|
|
|
|
77 |
|
| 7.200% due 12/01/2025 |
|
|
|
|
1,122 |
|
|
|
|
|
1,181 |
|
|
| DTEK Finance PLC (10.750% Cash and 0.000% PIK) |
|
| 10.750% due 12/31/2024 (d)(l) |
|
|
|
|
2,675 |
|
|
|
|
|
2,782 |
|
|
| Edison International |
|
| 2.400% due 09/15/2022 |
|
|
|
|
93 |
|
|
|
|
|
93 |
|
| 2.950% due 03/15/2023 |
|
|
|
|
7 |
|
|
|
|
|
7 |
|
| 5.750% due 06/15/2027 |
|
|
|
|
97 |
|
|
|
|
|
112 |
|
|
| Frontier Communications Corp. |
|
| 8.000% due 04/01/2027 |
|
|
|
|
144 |
|
|
|
|
|
151 |
|
|
| Mountain States Telephone & Telegraph Co. |
|
| 7.375% due 05/01/2030 |
|
|
|
|
8,202 |
|
|
|
|
|
8,934 |
|
|
| Odebrecht Drilling Norbe Ltd. |
|
| 6.350% due 12/01/2021 ^ |
|
|
|
|
811 |
|
|
|
|
|
811 |
|
|
| Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
|
| 7.350% due 12/01/2026 ^(d) |
|
|
|
|
2,863 |
|
|
|
|
|
1,683 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. |
|
| 6.720% due 12/01/2022 ^ |
|
|
|
|
4,191 |
|
|
|
|
|
4,170 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
|
| 7.720% due 12/01/2026 ^(d) |
|
|
|
|
13,505 |
|
|
|
|
|
3,376 |
|
|
| Pacific Gas & Electric Co. |
|
| 2.950% due 03/01/2026 ^(e) |
|
|
|
|
645 |
|
|
|
|
|
663 |
|
| 3.250% due 09/15/2021 ^(e) |
|
|
|
|
114 |
|
|
|
|
|
121 |
|
| 3.300% due 03/15/2027 ^(e) |
|
|
|
|
992 |
|
|
|
|
|
1,037 |
|
| 3.300% due 12/01/2027 ^(e) |
|
|
|
|
970 |
|
|
|
|
|
1,008 |
|
| 3.400% due 08/15/2024 ^(e) |
|
|
|
|
309 |
|
|
|
|
|
328 |
|
| 3.500% due 10/01/2020 ^(e) |
|
|
|
|
10,243 |
|
|
|
|
|
10,869 |
|
| 3.500% due 06/15/2025 ^(e) |
|
|
|
|
863 |
|
|
|
|
|
910 |
|
| 3.750% due 02/15/2024 ^(e) |
|
|
|
|
285 |
|
|
|
|
|
305 |
|
| 3.750% due 08/15/2042 ^(e) |
|
|
|
|
30 |
|
|
|
|
|
30 |
|
| 3.850% due 11/15/2023 ^(e) |
|
|
|
|
140 |
|
|
|
|
|
150 |
|
| 4.000% due 12/01/2046 ^(e) |
|
|
|
|
2 |
|
|
|
|
|
2 |
|
| 4.250% due 05/15/2021 ^(e) |
|
|
|
|
2,457 |
|
|
|
|
|
2,612 |
|
| 4.300% due 03/15/2045 ^(e) |
|
|
|
|
186 |
|
|
|
|
|
196 |
|
| 4.600% due 06/15/2043 ^(e) |
|
|
|
|
24 |
|
|
|
|
|
26 |
|
| 4.650% due 08/01/2028 ^(e) |
|
|
|
|
300 |
|
|
|
|
|
349 |
|
| 4.750% due 02/15/2044 ^(e) |
|
|
|
|
83 |
|
|
|
|
|
94 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 5.125% due 11/15/2043 ^(e) |
|
$ |
|
|
900 |
|
|
$ |
|
|
1,027 |
|
| 5.400% due 01/15/2040 ^(e) |
|
|
|
|
22 |
|
|
|
|
|
25 |
|
| 5.800% due 03/01/2037 ^(e) |
|
|
|
|
701 |
|
|
|
|
|
808 |
|
| 6.050% due 03/01/2034 ^(e) |
|
|
|
|
445 |
|
|
|
|
|
513 |
|
| 6.250% due 03/01/2039 ^(e) |
|
|
|
|
108 |
|
|
|
|
|
124 |
|
| 6.350% due 02/15/2038 ^(e) |
|
|
|
|
20 |
|
|
|
|
|
23 |
|
|
| Petrobras Global Finance BV |
|
| 5.093% due 01/15/2030 |
|
|
|
|
1,831 |
|
|
|
|
|
2,012 |
|
| 6.250% due 12/14/2026 |
|
GBP |
|
|
7,102 |
|
|
|
|
|
11,236 |
|
| 6.625% due 01/16/2034 |
|
|
|
|
200 |
|
|
|
|
|
322 |
|
| 6.850% due 06/05/2115 |
|
$ |
|
|
39 |
|
|
|
|
|
47 |
|
|
| Rio Oil Finance Trust |
|
| 8.200% due 04/06/2028 |
|
|
|
|
260 |
|
|
|
|
|
305 |
|
| 9.250% due 07/06/2024 (l) |
|
|
|
|
15,776 |
|
|
|
|
|
17,715 |
|
|
| Southern California Edison Co. |
|
| 2.850% due 08/01/2029 |
|
|
|
|
19 |
|
|
|
|
|
20 |
|
| 3.650% due 03/01/2028 |
|
|
|
|
7 |
|
|
|
|
|
8 |
|
| 3.650% due 02/01/2050 |
|
|
|
|
38 |
|
|
|
|
|
40 |
|
| 5.750% due 04/01/2035 |
|
|
|
|
14 |
|
|
|
|
|
19 |
|
| 6.000% due 01/15/2034 |
|
|
|
|
4 |
|
|
|
|
|
5 |
|
| 6.650% due 04/01/2029 |
|
|
|
|
20 |
|
|
|
|
|
25 |
|
|
| Southern California Gas Co. |
|
| 2.550% due 02/01/2030 |
|
|
|
|
96 |
|
|
|
|
|
99 |
|
|
| Sprint Corp. |
|
| 7.250% due 02/01/2028 (c) |
|
|
|
|
388 |
|
|
|
|
|
385 |
|
| 7.875% due 09/15/2023 |
|
|
|
|
448 |
|
|
|
|
|
477 |
|
|
| Talen Energy Supply LLC |
|
| 6.625% due 01/15/2028 |
|
|
|
|
40 |
|
|
|
|
|
40 |
|
|
| Transocean Poseidon Ltd. |
|
| 6.875% due 02/01/2027 |
|
|
|
|
156 |
|
|
|
|
|
163 |
|
|
| Transocean Sentry Ltd. |
|
| 5.375% due 05/15/2023 |
|
|
|
|
100 |
|
|
|
|
|
100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds & Notes (Cost $428,276) |
|
|
446,611 |
|
|
|
|
|
|
|
|
| CONVERTIBLE BONDS & NOTES 0.6% |
|
|
|
| INDUSTRIALS 0.6% |
|
|
| DISH Network Corp. |
|
| 3.375% due 08/15/2026 |
|
|
|
|
5,100 |
|
|
|
|
|
4,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES 0.0% |
|
|
| Ensco Jersey Finance Ltd. |
|
| 3.000% due 01/31/2024 |
|
|
|
|
12 |
|
|
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Convertible Bonds & Notes (Cost $5,108) |
|
|
4,971 |
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS & NOTES 8.4% |
|
|
|
| CALIFORNIA 0.5% |
|
|
| Anaheim Redevelopment Agency, California Tax Allocation Bonds, (AGM Insured), Series
2007 |
|
| 6.506% due 02/01/2031 |
|
|
|
|
1,855 |
|
|
|
|
|
2,281 |
|
|
| Sacramento County, California Revenue Bonds, Series 2013 |
|
| 7.250% due 08/01/2025 |
|
|
|
|
1,500 |
|
|
|
|
|
1,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,173 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| DISTRICT OF COLUMBIA 1.4% |
|
|
| District of Columbia Revenue Bonds, Series 2011 |
|
| 7.625% due 10/01/2035 |
|
|
|
|
9,740 |
|
|
|
|
|
11,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ILLINOIS 3.2% |
|
|
| Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 |
|
| 6.257% due 01/01/2040 |
|
|
|
|
11,000 |
|
|
|
|
|
13,065 |
|
| 7.517% due 01/01/2040 |
|
|
|
|
9,805 |
|
|
|
|
|
13,109 |
|
|
| Illinois State General Obligation Bonds, (BABs), Series 2010 |
|
| 6.725% due 04/01/2035 |
|
|
|
|
45 |
|
|
|
|
|
55 |
|
| 7.350% due 07/01/2035 |
|
|
|
|
30 |
|
|
|
|
|
38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Illinois State General Obligation Bonds, Series 2003 |
|
| 5.100% due 06/01/2033 |
|
$ |
|
|
365 |
|
|
$ |
|
|
412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,679 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NEW YORK 0.1% |
|
|
| Erie Tobacco Asset Securitization Corp., New York Revenue Bonds, Series 2005 |
|
| 6.000% due 06/01/2028 |
|
|
|
|
1,260 |
|
|
|
|
|
1,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TEXAS 1.4% |
|
|
| El Paso Downtown Development Corp., Texas Revenue Bonds, Series 2013 |
|
| 7.250% due 08/15/2043 |
|
|
|
|
7,510 |
|
|
|
|
|
11,448 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| VIRGINIA 0.2% |
|
|
| Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
|
| 6.706% due 06/01/2046 |
|
|
|
|
1,335 |
|
|
|
|
|
1,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WEST VIRGINIA 1.6% |
|
|
| Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007 |
|
| 0.000% due 06/01/2047 (h) |
|
|
|
|
66,200 |
|
|
|
|
|
3,071 |
|
| 7.467% due 06/01/2047 |
|
|
|
|
9,490 |
|
|
|
|
|
10,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds & Notes (Cost $57,259) |
|
|
69,791 |
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCIES 3.1% |
|
|
| Fannie Mae |
|
| 3.500% due 09/25/2027 (a) |
|
|
|
|
271 |
|
|
|
|
|
22 |
|
| 6.678% due 10/25/2041 • |
|
|
|
|
296 |
|
|
|
|
|
309 |
|
| 9.356% due 05/25/2043 • |
|
|
|
|
422 |
|
|
|
|
|
603 |
|
| 10.000% due 01/25/2034 • |
|
|
|
|
217 |
|
|
|
|
|
273 |
|
|
| Freddie Mac |
|
| 0.000% due 02/25/2046 (b)(h) |
|
|
|
|
9,467 |
|
|
|
|
|
8,849 |
|
| 0.100% due 02/25/2046 (a) |
|
|
|
|
113,579 |
|
|
|
|
|
65 |
|
| 2.550% due 11/25/2055 «~ |
|
|
|
|
13,845 |
|
|
|
|
|
8,404 |
|
| 4.000% due 08/15/2020 (a) |
|
|
|
|
29 |
|
|
|
|
|
0 |
|
| 4.424% due 07/15/2035 •(a) |
|
|
|
|
874 |
|
|
|
|
|
142 |
|
| 4.500% due 10/15/2037 (a) |
|
|
|
|
322 |
|
|
|
|
|
9 |
|
| 4.524% due 02/15/2042 •(a) |
|
|
|
|
1,520 |
|
|
|
|
|
193 |
|
| 5.000% due 06/15/2033 ~(a) |
|
|
|
|
1,192 |
|
|
|
|
|
215 |
|
| 5.464% due 08/15/2036 •(a) |
|
|
|
|
503 |
|
|
|
|
|
111 |
|
| 9.648% due 05/15/2033 • |
|
|
|
|
41 |
|
|
|
|
|
52 |
|
| 10.861% due 10/25/2027 • |
|
|
|
|
4,309 |
|
|
|
|
|
5,585 |
|
|
| Ginnie Mae |
|
| 3.500% due 06/20/2042 - 03/20/2043 (a) |
|
|
|
|
2,215 |
|
|
|
|
|
302 |
|
| 4.500% due 07/20/2042 (a) |
|
|
|
|
176 |
|
|
|
|
|
29 |
|
| 4.592% due 02/20/2042 •(a) |
|
|
|
|
5,331 |
|
|
|
|
|
346 |
|
| 5.000% due 09/20/2042 (a) |
|
|
|
|
304 |
|
|
|
|
|
60 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Agencies (Cost $25,484) |
|
|
25,569 |
|
|
|
|
|
|
|
|
| NON-AGENCY MORTGAGE-BACKED SECURITIES 16.0% |
|
|
| Adjustable Rate Mortgage Trust |
|
| 2.001% due 05/25/2036 • |
|
|
|
|
3,589 |
|
|
|
|
|
1,977 |
|
|
| Banc of America Alternative Loan Trust |
|
| 2.021% due 06/25/2037 • |
|
|
|
|
3,429 |
|
|
|
|
|
2,696 |
|
| 3.939% due 06/25/2046 ^•(a) |
|
|
|
|
4,760 |
|
|
|
|
|
595 |
|
| 4.979% due 06/25/2037 ^•(a) |
|
|
|
|
3,724 |
|
|
|
|
|
807 |
|
|
| Banc of America Funding Trust |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
453 |
|
|
|
|
|
441 |
|
| 6.250% due 10/26/2036 |
|
|
|
|
7,254 |
|
|
|
|
|
6,085 |
|
|
| Banc of America Mortgage Trust |
|
| 4.093% due 02/25/2036 ^~ |
|
|
|
|
13 |
|
|
|
|
|
12 |
|
|
| BCAP LLC Trust |
|
| 0.000% due 06/26/2036 ~ |
|
|
|
|
689 |
|
|
|
|
|
350 |
|
| 4.850% due 03/26/2037 þ |
|
|
|
|
1,397 |
|
|
|
|
|
1,704 |
|
| 6.000% due 05/26/2037 ~ |
|
|
|
|
6,234 |
|
|
|
|
|
4,540 |
|
|
|
|
|
|
|
|
|
|
| 52 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Bear Stearns Adjustable Rate Mortgage Trust |
|
| 3.515% due 11/25/2034 ~ |
|
$ |
|
|
55 |
|
|
$ |
|
|
51 |
|
|
| CD Commercial Mortgage Trust |
|
| 5.398% due 12/11/2049 ~ |
|
|
|
|
97 |
|
|
|
|
|
91 |
|
|
| CD Mortgage Trust |
|
| 5.688% due 10/15/2048 |
|
|
|
|
2,279 |
|
|
|
|
|
1,379 |
|
|
| Chase Mortgage Finance Trust |
|
| 3.794% due 12/25/2035 ^~ |
|
|
|
|
15 |
|
|
|
|
|
15 |
|
| 4.039% due 09/25/2036 ^~ |
|
|
|
|
78 |
|
|
|
|
|
74 |
|
| 5.500% due 05/25/2036 ^ |
|
|
|
|
2 |
|
|
|
|
|
2 |
|
|
| Citigroup Commercial Mortgage Trust |
|
| 5.775% due 12/10/2049 ~ |
|
|
|
|
5,556 |
|
|
|
|
|
3,559 |
|
|
| Citigroup Mortgage Loan Trust |
|
| 3.742% due 08/25/2037 ^~ |
|
|
|
|
112 |
|
|
|
|
|
101 |
|
| 4.125% due 11/25/2035 ~ |
|
|
|
|
14,840 |
|
|
|
|
|
11,616 |
|
| 4.473% due 07/25/2037 ^~ |
|
|
|
|
89 |
|
|
|
|
|
87 |
|
| 6.500% due 09/25/2036 |
|
|
|
|
3,758 |
|
|
|
|
|
2,948 |
|
|
| Commercial Mortgage Loan Trust |
|
| 6.254% due 12/10/2049 ~ |
|
|
|
|
11,475 |
|
|
|
|
|
7,621 |
|
|
| Countrywide Alternative Loan Trust |
|
| 1.911% due 12/25/2046 • |
|
|
|
|
2,904 |
|
|
|
|
|
2,733 |
|
| 3.339% due 04/25/2035 •(a) |
|
|
|
|
3,414 |
|
|
|
|
|
294 |
|
| 3.877% due 02/25/2037 ^~ |
|
|
|
|
179 |
|
|
|
|
|
177 |
|
| 5.158% due 07/25/2021 ^~ |
|
|
|
|
102 |
|
|
|
|
|
103 |
|
| 6.000% due 02/25/2037 ^ |
|
|
|
|
5,388 |
|
|
|
|
|
3,466 |
|
| 6.250% due 12/25/2036 ^• |
|
|
|
|
2,876 |
|
|
|
|
|
2,045 |
|
| 6.500% due 06/25/2036 ^ |
|
|
|
|
817 |
|
|
|
|
|
614 |
|
|
| Countrywide Home Loan Mortgage Pass-Through Trust |
|
| 3.689% due 12/25/2036 •(a) |
|
|
|
|
2,871 |
|
|
|
|
|
464 |
|
| 3.760% due 09/20/2036 ^~ |
|
|
|
|
396 |
|
|
|
|
|
372 |
|
| 3.785% due 09/25/2047 ^~ |
|
|
|
|
32 |
|
|
|
|
|
31 |
|
|
| Credit Suisse Commercial Mortgage Trust |
|
| 5.869% due 09/15/2040 ~ |
|
|
|
|
2,417 |
|
|
|
|
|
1,355 |
|
|
| Credit Suisse First Boston Mortgage Securities Corp. |
|
| 6.000% due 01/25/2036 ^ |
|
|
|
|
1,749 |
|
|
|
|
|
1,574 |
|
|
| Eurosail PLC |
|
| 2.150% due 06/13/2045 • |
|
GBP |
|
|
3,347 |
|
|
|
|
|
3,423 |
|
| 4.800% due 06/13/2045 • |
|
|
|
|
988 |
|
|
|
|
|
1,182 |
|
|
| Grifonas Finance PLC |
|
| 0.000% due 08/28/2039 • |
|
EUR |
|
|
3,940 |
|
|
|
|
|
4,210 |
|
|
| HarborView Mortgage Loan Trust |
|
| 4.305% due 08/19/2036 ^~ |
|
$ |
|
|
13 |
|
|
|
|
|
13 |
|
| 4.323% due 08/19/2036 ^~ |
|
|
|
|
289 |
|
|
|
|
|
274 |
|
|
| IM Pastor Fondo de Titluzacion Hipotecaria |
|
| 0.000% due 03/22/2043 • |
|
EUR |
|
|
5,106 |
|
|
|
|
|
5,236 |
|
|
| JPMorgan Alternative Loan Trust |
|
| 3.667% due 03/25/2037 ^~ |
|
$ |
|
|
4,790 |
|
|
|
|
|
4,763 |
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust |
|
| 5.411% due 05/15/2047 |
|
|
|
|
2,865 |
|
|
|
|
|
3,351 |
|
| 5.623% due 05/12/2045 |
|
|
|
|
163 |
|
|
|
|
|
149 |
|
|
| JPMorgan Mortgage Trust |
|
| 3.650% due 07/27/2037 ~ |
|
|
|
|
3,739 |
|
|
|
|
|
2,834 |
|
| 4.959% due 01/25/2037 ^•(a) |
|
|
|
|
17,114 |
|
|
|
|
|
5,748 |
|
|
| LB-UBS Commercial Mortgage Trust |
|
| 5.407% due 11/15/2038 ^ |
|
|
|
|
1,129 |
|
|
|
|
|
672 |
|
| 5.562% due 02/15/2040 ^~ |
|
|
|
|
463 |
|
|
|
|
|
275 |
|
|
| Lehman XS Trust |
|
| 1.881% due 06/25/2047 • |
|
|
|
|
2,483 |
|
|
|
|
|
2,290 |
|
|
| Motel 6 Trust |
|
| 8.603% due 08/15/2024 • |
|
|
|
|
8,461 |
|
|
|
|
|
8,610 |
|
|
| Nomura Asset Acceptance Corp. Alternative Loan Trust |
|
| 4.195% due 04/25/2036 ^~ |
|
|
|
|
5,150 |
|
|
|
|
|
4,754 |
|
|
| Nomura Resecuritization Trust |
|
| 5.094% due 07/26/2035 ~ |
|
|
|
|
4,451 |
|
|
|
|
|
4,348 |
|
|
| Residential Asset Securitization Trust |
|
| 6.250% due 10/25/2036 ^ |
|
|
|
|
461 |
|
|
|
|
|
473 |
|
| 6.250% due 09/25/2037 ^ |
|
|
|
|
4,769 |
|
|
|
|
|
2,906 |
|
| 6.500% due 08/25/2036 ^ |
|
|
|
|
817 |
|
|
|
|
|
415 |
|
|
| Structured Adjustable Rate Mortgage Loan Trust |
|
| 3.856% due 01/25/2036 ^~ |
|
|
|
|
149 |
|
|
|
|
|
110 |
|
| 4.389% due 04/25/2047 ~ |
|
|
|
|
442 |
|
|
|
|
|
323 |
|
|
| Structured Asset Mortgage Investments Trust |
|
| 1.851% due 07/25/2046 ^• |
|
|
|
|
9,281 |
|
|
|
|
|
7,502 |
|
|
| WaMu Mortgage Pass-Through Certificates Trust |
|
| 3.444% due 05/25/2037 ^~ |
|
|
|
|
103 |
|
|
|
|
|
88 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Washington Mutual Mortgage Pass-Through Certificates Trust |
|
| 5.019% due 04/25/2037 •(a) |
|
$ |
|
|
10,024 |
|
|
$ |
|
|
3,335 |
|
| 6.500% due 03/25/2036 ^ |
|
|
|
|
6,501 |
|
|
|
|
|
5,512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities (Cost
$117,731) |
|
|
132,775 |
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES 12.4% |
|
|
| ACE Securities Corp. Home Equity Loan Trust |
|
| 1.801% due 07/25/2036 • |
|
|
|
|
2,425 |
|
|
|
|
|
2,073 |
|
|
| Apidos CLO |
|
| 0.000% due 07/22/2026 ~ |
|
|
|
|
3,000 |
|
|
|
|
|
90 |
|
|
| Argent Securities Trust |
|
| 1.851% due 03/25/2036 • |
|
|
|
|
5,572 |
|
|
|
|
|
3,474 |
|
|
| Avoca CLO DAC |
|
| 0.000% due 10/15/2030 ~ |
|
EUR |
|
|
2,150 |
|
|
|
|
|
1,476 |
|
|
| Belle Haven ABS CDO Ltd. |
|
| 2.539% due 07/05/2046 • |
|
$ |
|
|
185,947 |
|
|
|
|
|
260 |
|
|
| Carlyle Global Market Strategies CLO Ltd. |
|
| 0.000% due 10/15/2031 ~ |
|
|
|
|
4,200 |
|
|
|
|
|
2,889 |
|
|
| Carlyle Global Market Strategies Euro CLO DAC |
|
| 0.000% due 04/15/2027 ~ |
|
EUR |
|
|
800 |
|
|
|
|
|
571 |
|
| 0.000% due 01/25/2032 ~ |
|
|
|
|
2,200 |
|
|
|
|
|
1,785 |
|
|
| CIFC Funding Ltd. |
|
| 0.000% due 04/24/2030 ~ |
|
$ |
|
|
4,000 |
|
|
|
|
|
1,947 |
|
| 0.000% due 10/22/2031 ~ |
|
|
|
|
3,000 |
|
|
|
|
|
1,301 |
|
|
| Citigroup Mortgage Loan Trust |
|
| 1.821% due 12/25/2036 • |
|
|
|
|
2,791 |
|
|
|
|
|
1,928 |
|
|
| Cork Street CLO Designated Activity Co. |
|
| 0.000% due 11/27/2028 ~ |
|
EUR |
|
|
2,667 |
|
|
|
|
|
2,831 |
|
|
| Countrywide Asset-Backed Certificates Trust |
|
| 1.931% due 09/25/2046 • |
|
$ |
|
|
12,786 |
|
|
|
|
|
10,354 |
|
|
| CVC Cordatus Loan Fund DAC |
|
| 0.000% due 04/15/2032 ~ |
|
EUR |
|
|
2,500 |
|
|
|
|
|
1,540 |
|
|
| Duke Funding Ltd. |
|
| 2.534% due 08/07/2033 • |
|
$ |
|
|
15,804 |
|
|
|
|
|
4,963 |
|
|
| Glacier Funding CDO Ltd. |
|
| 2.172% due 08/04/2035 • |
|
|
|
|
6,890 |
|
|
|
|
|
1,659 |
|
|
| Grosvenor Place CLO BV |
|
| 0.000% due 04/30/2029 ~ |
|
EUR |
|
|
1,000 |
|
|
|
|
|
686 |
|
|
| Halcyon Loan Advisors European Funding BV |
|
| 0.000% due 04/15/2030 ~ |
|
|
|
|
1,100 |
|
|
|
|
|
762 |
|
|
| Jay Park CLO Ltd. |
|
| 0.000% due 10/20/2027 ~ |
|
$ |
|
|
7,503 |
|
|
|
|
|
4,292 |
|
|
| Long Beach Mortgage Loan Trust |
|
| 1.851% due 02/25/2036 • |
|
|
|
|
1,282 |
|
|
|
|
|
1,150 |
|
|
| Man GLG Euro CLO DAC |
|
| 0.000% due 10/15/2030 ~ |
|
EUR |
|
|
4,150 |
|
|
|
|
|
2,973 |
|
|
| Marlette Funding Trust |
|
| 0.000% due 12/15/2028 «(h) |
|
$ |
|
|
24 |
|
|
|
|
|
4,618 |
|
| 0.000% due 04/16/2029 «(h) |
|
|
|
|
7 |
|
|
|
|
|
1,656 |
|
| 0.000% due 07/16/2029 «(h) |
|
|
|
|
10 |
|
|
|
|
|
2,540 |
|
|
| Merrill Lynch Mortgage Investors Trust |
|
| 1.821% due 04/25/2037 • |
|
|
|
|
832 |
|
|
|
|
|
504 |
|
|
| Morgan Stanley Mortgage Loan Trust |
|
| 3.159% due 11/25/2036 ^• |
|
|
|
|
780 |
|
|
|
|
|
380 |
|
| 5.965% due 09/25/2046 ^þ |
|
|
|
|
7,169 |
|
|
|
|
|
4,060 |
|
|
| People’s Financial Realty Mortgage Securities Trust |
|
| 1.821% due 09/25/2036 • |
|
|
|
|
21,222 |
|
|
|
|
|
5,940 |
|
|
| Renaissance Home Equity Loan Trust |
|
| 6.998% due 09/25/2037 ^þ |
|
|
|
|
7,433 |
|
|
|
|
|
4,335 |
|
| 7.238% due 09/25/2037 ^þ |
|
|
|
|
6,431 |
|
|
|
|
|
3,750 |
|
|
| Sherwood Funding CDO Ltd. |
|
| 2.094% due 11/06/2039 • |
|
|
|
|
34,667 |
|
|
|
|
|
10,591 |
|
|
| SMB Private Education Loan Trust |
|
| 0.000% due 10/15/2048 «(h) |
|
|
|
|
5 |
|
|
|
|
|
3,381 |
|
|
| SoFi Consumer Loan Program LLC |
|
| 0.000% due 05/26/2026 «(h) |
|
|
|
|
62 |
|
|
|
|
|
2,229 |
|
| 0.000% due 11/25/2026 «(h) |
|
|
|
|
94 |
|
|
|
|
|
4,462 |
|
|
| South Coast Funding Ltd. |
|
| 2.501% due 08/10/2038 • |
|
|
|
|
25,907 |
|
|
|
|
|
4,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Specialty Underwriting & Residential Finance Trust |
|
| 2.636% due 06/25/2036 • |
|
$ |
|
|
409 |
|
|
$ |
|
|
330 |
|
|
| Washington Mutual Asset-Backed Certificates Trust |
|
| 1.811% due 05/25/2036 • |
|
|
|
|
224 |
|
|
|
|
|
190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities (Cost $137,192) |
|
|
102,320 |
|
|
|
|
|
|
|
|
| SOVEREIGN ISSUES 3.7% |
|
|
| Argentina Government International Bond |
|
| 2.500% due 07/22/2021 |
|
ARS |
|
|
20,519 |
|
|
|
|
|
176 |
|
| 3.375% due 01/15/2023 |
|
EUR |
|
|
200 |
|
|
|
|
|
100 |
|
| 3.380% due 12/31/2038 þ |
|
|
|
|
4,410 |
|
|
|
|
|
2,041 |
|
| 4.000% due 03/06/2020 |
|
ARS |
|
|
78,847 |
|
|
|
|
|
816 |
|
| 5.250% due 01/15/2028 |
|
EUR |
|
|
200 |
|
|
|
|
|
94 |
|
| 6.250% due 11/09/2047 |
|
|
|
|
100 |
|
|
|
|
|
46 |
|
| 7.820% due 12/31/2033 |
|
|
|
|
1,119 |
|
|
|
|
|
661 |
|
| 15.500% due 10/17/2026 |
|
ARS |
|
|
38,100 |
|
|
|
|
|
154 |
|
| 38.154% (BADLARPP + 2.000%) due 04/03/2022 ~ |
|
|
|
|
132,862 |
|
|
|
|
|
1,010 |
|
| 42.524% (BADLARPP + 3.250%) due 03/01/2020 ~ |
|
|
|
|
1,780 |
|
|
|
|
|
19 |
|
| 42.781% (BADLARPP) due 10/04/2022 ~ |
|
|
|
|
84 |
|
|
|
|
|
1 |
|
| 53.323% (ARLLMONP) due 06/21/2020 ~(a) |
|
|
|
|
448,397 |
|
|
|
|
|
3,710 |
|
|
| Autonomous City of Buenos Aires Argentina |
|
| 39.421% due 03/29/2024 • |
|
|
|
|
118,268 |
|
|
|
|
|
1,235 |
|
| 39.745% (BADLARPP + 5.000%) due 01/23/2022 ~ |
|
|
|
|
67,700 |
|
|
|
|
|
752 |
|
|
| Autonomous Community of Catalonia |
|
| 4.900% due 09/15/2021 (l) |
|
EUR |
|
|
2,350 |
|
|
|
|
|
2,804 |
|
|
| Export-Credit Bank of Turkey |
|
| 8.250% due 01/24/2024 |
|
$ |
|
|
200 |
|
|
|
|
|
224 |
|
|
| Peru Government International Bond |
|
| 5.400% due 08/12/2034 |
|
PEN |
|
|
16 |
|
|
|
|
|
5 |
|
| 5.940% due 02/12/2029 |
|
|
|
|
1,278 |
|
|
|
|
|
434 |
|
| 6.150% due 08/12/2032 |
|
|
|
|
510 |
|
|
|
|
|
174 |
|
| 6.350% due 08/12/2028 |
|
|
|
|
8,851 |
|
|
|
|
|
3,077 |
|
| 6.900% due 08/12/2037 |
|
|
|
|
52 |
|
|
|
|
|
19 |
|
| 6.950% due 08/12/2031 |
|
|
|
|
3,295 |
|
|
|
|
|
1,196 |
|
| 8.200% due 08/12/2026 |
|
|
|
|
2,033 |
|
|
|
|
|
769 |
|
|
| Provincia de Buenos Aires |
|
| 39.293% (BADLARPP + 3.750%) due 04/12/2025 ~ |
|
ARS |
|
|
270,895 |
|
|
|
|
|
1,784 |
|
| 43.104% due 05/31/2022 • |
|
|
|
|
2,990 |
|
|
|
|
|
21 |
|
|
| Republic of Greece Government International Bond |
|
| 3.000% due 02/24/2023 þ |
|
EUR |
|
|
25 |
|
|
|
|
|
31 |
|
| 3.000% due 02/24/2024 þ |
|
|
|
|
25 |
|
|
|
|
|
32 |
|
| 3.000% due 02/24/2025 þ |
|
|
|
|
25 |
|
|
|
|
|
32 |
|
| 3.000% due 02/24/2026 þ |
|
|
|
|
25 |
|
|
|
|
|
33 |
|
| 3.000% due 02/24/2027 þ |
|
|
|
|
25 |
|
|
|
|
|
33 |
|
| 3.000% due 02/24/2028 þ |
|
|
|
|
25 |
|
|
|
|
|
34 |
|
| 3.000% due 02/24/2029 þ |
|
|
|
|
25 |
|
|
|
|
|
34 |
|
| 3.000% due 02/24/2030 þ |
|
|
|
|
25 |
|
|
|
|
|
35 |
|
| 3.000% due 02/24/2031 þ |
|
|
|
|
25 |
|
|
|
|
|
34 |
|
| 3.000% due 02/24/2032 þ |
|
|
|
|
25 |
|
|
|
|
|
35 |
|
| 3.000% due 02/24/2033 þ |
|
|
|
|
25 |
|
|
|
|
|
35 |
|
| 3.000% due 02/24/2034 þ |
|
|
|
|
25 |
|
|
|
|
|
36 |
|
| 3.000% due 02/24/2035 þ |
|
|
|
|
25 |
|
|
|
|
|
35 |
|
| 3.000% due 02/24/2036 þ |
|
|
|
|
25 |
|
|
|
|
|
36 |
|
| 3.000% due 02/24/2037 þ |
|
|
|
|
25 |
|
|
|
|
|
36 |
|
| 3.000% due 02/24/2038 þ |
|
|
|
|
25 |
|
|
|
|
|
36 |
|
| 3.000% due 02/24/2039 þ |
|
|
|
|
25 |
|
|
|
|
|
36 |
|
| 3.000% due 02/24/2040 þ |
|
|
|
|
25 |
|
|
|
|
|
36 |
|
| 3.000% due 02/24/2041 þ |
|
|
|
|
25 |
|
|
|
|
|
37 |
|
| 3.000% due 02/24/2042 þ |
|
|
|
|
25 |
|
|
|
|
|
37 |
|
|
| Turkey Government International Bond |
|
| 3.250% due 06/14/2025 |
|
|
|
|
100 |
|
|
|
|
|
114 |
|
| 4.625% due 03/31/2025 |
|
|
|
|
2,300 |
|
|
|
|
|
2,802 |
|
| 5.200% due 02/16/2026 |
|
|
|
|
800 |
|
|
|
|
|
996 |
|
| 7.625% due 04/26/2029 (l) |
|
$ |
|
|
2,600 |
|
|
|
|
|
3,027 |
|
|
| Ukraine Government International Bond |
|
| 4.375% due 01/27/2030 |
|
EUR |
|
|
1,471 |
|
|
|
|
|
1,622 |
|
|
| Venezuela Government International Bond |
|
| 6.000% due 12/09/2020 ^(e) |
|
$ |
|
|
365 |
|
|
|
|
|
47 |
|
| 8.250% due 10/13/2024 ^(e) |
|
|
|
|
34 |
|
|
|
|
|
4 |
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
53 |
Schedule of Investments PIMCO High Income
Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 9.250% due 09/15/2027 ^(e) |
|
$ |
|
|
452 |
|
|
$ |
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Issues (Cost $54,220) |
|
|
30,685 |
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
|
|
| COMMON STOCKS 1.4% |
|
|
|
| COMMUNICATION SERVICES 0.3% |
|
|
|
|
|
|
| Clear Channel Outdoor Holdings, Inc. (f) |
|
|
|
|
754,306 |
|
|
|
|
|
2,059 |
|
|
|
|
|
|
| iHeartMedia, Inc. (f) |
|
|
|
|
566 |
|
|
|
|
|
9 |
|
|
|
|
|
|
| iHeartMedia, Inc. ‘A’ (f) |
|
|
|
|
42,128 |
|
|
|
|
|
745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER DISCRETIONARY 1.0% |
|
|
|
|
|
|
| Caesars Entertainment Corp. (f) |
|
|
|
|
584,952 |
|
|
|
|
|
7,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY 0.0% |
|
|
|
|
|
|
| Forbes Energy Services Ltd. (f)(j) |
|
|
|
|
66,131 |
|
|
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.1% |
|
|
|
|
|
|
| Westmoreland Mining Holdings LLC «(f)(j) |
|
|
|
|
88,291 |
|
|
|
|
|
1,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks (Cost $15,466) |
|
|
11,923 |
|
|
|
|
|
|
|
|
| WARRANTS 1.1% |
|
|
|
| COMMUNICATION SERVICES 0.6% |
|
|
|
|
|
|
| iHeartMedia, Inc. |
|
|
|
|
274,379 |
|
|
|
|
|
4,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.5% |
|
|
|
|
|
| Sequa Corp. - Exp. 04/28/2024 « |
|
|
1,795,000 |
|
|
|
|
|
3,973 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants (Cost $5,892) |
|
|
8,824 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
MARKET
VALUE
(000S) |
|
| PREFERRED SECURITIES 11.2% |
|
|
|
| BANKING & FINANCE 5.0% |
|
|
| AGFC Capital Trust |
|
| 3.581% (US0003M + 1.750%) due 01/15/2067 ~(l) |
|
|
|
|
27,410,000 |
|
|
$ |
|
|
13,739 |
|
|
| Brighthouse Holdings LLC |
|
| 6.500% due 07/27/2037 þ(i) |
|
|
|
|
70,000 |
|
|
|
|
|
74 |
|
|
| Nationwide Building Society |
|
| 10.250% ~ |
|
|
|
|
94,345 |
|
|
|
|
|
21,055 |
|
|
| OCP CLO Ltd. |
|
| 0.000% due 04/26/2028 (h) |
|
|
|
|
8,700 |
|
|
|
|
|
6,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 6.2% |
|
|
| General Electric Co. |
|
| 5.000% due 01/21/2021 •(i) |
|
|
|
|
373,000 |
|
|
|
|
|
369 |
|
|
| Sequa Corp. (12.000% PIK) |
|
| 12.000% «(d) |
|
|
|
|
43,072 |
|
|
|
|
|
50,637 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,006 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Securities (Cost $70,669) |
|
|
92,423 |
|
|
|
|
|
|
|
|
| REAL ESTATE INVESTMENT TRUSTS 3.0% |
|
|
|
| REAL ESTATE 3.0% |
|
|
|
|
|
|
| VICI Properties, Inc. |
|
|
|
|
934,782 |
|
|
|
|
|
25,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Real Estate Investment Trusts (Cost $12,650) |
|
|
25,052 |
|
|
|
|
|
|
|
|
| SHORT-TERM INSTRUMENTS 3.6% |
|
|
|
| REPURCHASE AGREEMENTS (k) 3.0% |
|
|
|
|
|
|
|
|
|
|
|
|
24,537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| ARGENTINA TREASURY BILLS 0.2% |
|
| 38.342% due 04/03/2020 ~ |
|
ARS |
|
|
7,460 |
|
|
$ |
|
|
86 |
|
| 38.686% due 06/22/2020 ~ |
|
|
|
|
67,440 |
|
|
|
|
|
784 |
|
| 46.750% due 04/28/2020 - 08/27/2020 (g)(h) |
|
|
|
|
96,173 |
|
|
|
|
|
1,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY BILLS 0.4% |
|
| 1.548% due 02/11/2020 - 04/23/2020 (g)(h)(n)(p) |
|
$ |
|
|
3,118 |
|
|
|
|
|
3,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Instruments
(Cost $30,652) |
|
|
29,648 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
(Cost $1,073,061) |
|
|
|
|
|
1,086,585 |
|
|
|
|
|
|
|
|
Total Investments 131.3%
(Cost $1,073,061) |
|
|
$ |
|
|
1,086,585 |
|
|
|
| Financial Derivative
Instruments (m)(o) 0.7%
(Cost or Premiums, net $109,374) |
|
|
|
|
|
6,183 |
|
|
|
| Auction Rate Preferred Shares (7.0)% |
|
|
|
|
|
(58,050 |
) |
|
|
| Other Assets and Liabilities, net (25.0)% |
|
|
(207,464 |
) |
|
|
|
|
|
| Net Assets Applicable to Common Shareholders 100.0% |
|
|
$ |
|
|
827,254 |
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
| * |
A zero balance may reflect actual amounts rounding to less than one thousand. |
| ^ |
Security is in default. |
| « |
Security valued using significant unobservable inputs (Level 3). |
| µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be
determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
| ~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are
not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a
reference rate and/or spread in their description. |
| • |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and
may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in
effect as of period end. |
| (a) |
Interest only security. |
| (b) |
Principal only security. |
| (c) |
When-issued security. |
| (d) |
Payment in-kind security. |
| (e) |
Security is not accruing income as of the date of this report. |
| (f) |
Security did not produce income within the last twelve months. |
| (g) |
Coupon represents a weighted average yield to maturity. |
| (h) |
Zero coupon security. |
| (i) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
|
|
|
|
|
|
|
|
|
| 54 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
(j) RESTRICTED SECURITIES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Issuer Description |
|
|
|
|
|
|
Acquisition
Date |
|
|
Cost |
|
|
Market
Value |
|
|
Market Value
as Percentage
of Net
Assets
Applicable
to Common
Shareholders |
|
| Forbes Energy Services Ltd. |
|
|
|
|
|
|
|
|
10/09/2014 - 10/17/2016 |
|
|
|
$ 2,028 |
|
|
$ |
10 |
|
|
|
0.00 |
% |
| Westmoreland Mining Holdings LLC |
|
|
|
|
|
|
|
|
07/11/2016 - 10/19/2016 |
|
|
|
2,160 |
|
|
|
1,104 |
|
|
|
0.13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 4,188 |
|
|
$ |
1,114 |
|
|
|
0.13 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS AND OTHER
FINANCING TRANSACTIONS
(k) REPURCHASE AGREEMENTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Lending
Rate |
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Principal
Amount |
|
|
Collateralized By |
|
Collateral
(Received) |
|
|
Repurchase
Agreements,
at Value |
|
|
Repurchase
Agreement
Proceeds
to be
Received(1) |
|
| BPG |
|
|
1.640 |
% |
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
$ |
9,000 |
|
|
U.S. Treasury Notes 3.125% due 11/15/2028 |
|
$ |
(9,212 |
) |
|
$ |
9,000 |
|
|
$ |
9,001 |
|
| FICC |
|
|
1.250 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
3,637 |
|
|
U.S. Treasury Inflation Protected Securities 1.250% due 07/15/2020 |
|
|
(3,713 |
) |
|
|
3,637 |
|
|
|
3,637 |
|
| RDR |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
9,000 |
|
|
U.S. Treasury Notes 2.875% due 05/31/2025 |
|
|
(9,213 |
) |
|
|
9,000 |
|
|
|
9,001 |
|
| TDM |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
2,900 |
|
|
U.S. Treasury Notes 1.750% due 05/15/2023 |
|
|
(2,978 |
) |
|
|
2,900 |
|
|
|
2,901 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Repurchase Agreements |
|
|
|
|
$ |
(25,116 |
) |
|
$ |
24,537 |
|
|
$ |
24,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REVERSE
REPURCHASE AGREEMENTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Borrowing
Rate(2) |
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed(2) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
| BCY |
|
|
1.900 |
% |
|
|
11/01/2019 |
|
|
|
TBD |
(3) |
|
$ |
|
|
|
|
(1,172 |
) |
|
$ |
(1,178 |
) |
| BPS |
|
|
2.100 |
|
|
|
01/29/2020 |
|
|
|
03/02/2020 |
|
|
|
|
|
|
|
(6,541 |
) |
|
|
(6,543 |
) |
|
|
|
2.250 |
|
|
|
01/17/2020 |
|
|
|
02/18/2020 |
|
|
|
|
|
|
|
(2,193 |
) |
|
|
(2,195 |
) |
|
|
|
2.290 |
|
|
|
01/17/2020 |
|
|
|
02/18/2020 |
|
|
|
|
|
|
|
(5,714 |
) |
|
|
(5,720 |
) |
| BRC |
|
|
(7.000 |
) |
|
|
01/22/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(43 |
) |
|
|
(43 |
) |
|
|
|
1.300 |
|
|
|
01/28/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(3,505 |
) |
|
|
(3,506 |
) |
| CEW |
|
|
2.170 |
|
|
|
01/22/2020 |
|
|
|
02/24/2020 |
|
|
|
|
|
|
|
(3,289 |
) |
|
|
(3,291 |
) |
| CIW |
|
|
1.930 |
|
|
|
01/17/2020 |
|
|
|
02/18/2020 |
|
|
|
|
|
|
|
(3,942 |
) |
|
|
(3,946 |
) |
|
|
|
2.000 |
|
|
|
01/08/2020 |
|
|
|
02/10/2020 |
|
|
|
|
|
|
|
(2,405 |
) |
|
|
(2,408 |
) |
| FOB |
|
|
1.850 |
|
|
|
02/03/2020 |
|
|
|
02/18/2020 |
|
|
|
|
|
|
|
(4,345 |
) |
|
|
(4,345 |
) |
| JML |
|
|
(0.400 |
) |
|
|
01/06/2020 |
|
|
|
02/06/2020 |
|
|
|
EUR |
|
|
|
(432 |
) |
|
|
(479 |
) |
|
|
|
(0.300 |
) |
|
|
01/06/2020 |
|
|
|
02/06/2020 |
|
|
|
|
|
|
|
(278 |
) |
|
|
(309 |
) |
|
|
|
(0.300 |
) |
|
|
01/17/2020 |
|
|
|
04/17/2020 |
|
|
|
|
|
|
|
(284 |
) |
|
|
(315 |
) |
|
|
|
(0.250 |
) |
|
|
01/06/2020 |
|
|
|
02/06/2020 |
|
|
|
|
|
|
|
(2,168 |
) |
|
|
(2,403 |
) |
|
|
|
(0.250 |
) |
|
|
01/15/2020 |
|
|
|
04/16/2020 |
|
|
|
|
|
|
|
(523 |
) |
|
|
(580 |
) |
|
|
|
(0.150 |
) |
|
|
03/01/2019 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(2,008 |
) |
|
|
(2,223 |
) |
|
|
|
0.950 |
|
|
|
01/17/2020 |
|
|
|
04/17/2020 |
|
|
|
GBP |
|
|
|
(575 |
) |
|
|
(759 |
) |
|
|
|
0.950 |
|
|
|
01/28/2020 |
|
|
|
04/28/2020 |
|
|
|
|
|
|
|
(3,937 |
) |
|
|
(5,199 |
) |
| MEI |
|
|
2.050 |
|
|
|
01/07/2020 |
|
|
|
02/07/2020 |
|
|
$ |
|
|
|
|
(2,495 |
) |
|
|
(2,499 |
) |
| NOM |
|
|
2.150 |
|
|
|
02/03/2020 |
|
|
|
03/09/2020 |
|
|
|
|
|
|
|
(15,257 |
) |
|
|
(15,257 |
) |
|
|
|
2.250 |
|
|
|
02/04/2020 |
|
|
|
03/03/2020 |
|
|
|
|
|
|
|
(1,248 |
) |
|
|
(1,248 |
) |
|
|
|
2.300 |
|
|
|
01/21/2020 |
|
|
|
02/20/2020 |
|
|
|
|
|
|
|
(4,320 |
) |
|
|
(4,324 |
) |
|
|
|
2.350 |
|
|
|
11/05/2019 |
|
|
|
02/03/2020 |
|
|
|
|
|
|
|
(9,273 |
) |
|
|
(9,328 |
) |
|
|
|
2.350 |
|
|
|
12/31/2019 |
|
|
|
02/03/2020 |
|
|
|
|
|
|
|
(5,920 |
) |
|
|
(5,933 |
) |
|
|
|
2.450 |
|
|
|
01/13/2020 |
|
|
|
02/18/2020 |
|
|
|
|
|
|
|
(4,813 |
) |
|
|
(4,820 |
) |
|
|
|
2.500 |
|
|
|
01/03/2020 |
|
|
|
02/04/2020 |
|
|
|
|
|
|
|
(1,251 |
) |
|
|
(1,254 |
) |
|
|
|
2.800 |
|
|
|
01/03/2020 |
|
|
|
02/04/2020 |
|
|
|
|
|
|
|
(12,542 |
) |
|
|
(12,572 |
) |
|
|
|
2.800 |
|
|
|
02/04/2020 |
|
|
|
03/03/2020 |
|
|
|
|
|
|
|
(12,331 |
) |
|
|
(12,331 |
) |
| RTA |
|
|
2.269 |
|
|
|
12/02/2019 |
|
|
|
02/03/2020 |
|
|
|
|
|
|
|
(10,949 |
) |
|
|
(10,992 |
) |
|
|
|
2.325 |
|
|
|
12/03/2019 |
|
|
|
03/03/2020 |
|
|
|
|
|
|
|
(4,921 |
) |
|
|
(4,941 |
) |
|
|
|
2.329 |
|
|
|
11/08/2019 |
|
|
|
02/07/2020 |
|
|
|
|
|
|
|
(4,174 |
) |
|
|
(4,198 |
) |
|
|
|
2.333 |
|
|
|
01/02/2020 |
|
|
|
04/01/2020 |
|
|
|
|
|
|
|
(7,812 |
) |
|
|
(7,828 |
) |
|
|
|
2.334 |
|
|
|
12/23/2019 |
|
|
|
02/10/2020 |
|
|
|
|
|
|
|
(2,919 |
) |
|
|
(2,927 |
) |
| UBS |
|
|
1.250 |
|
|
|
12/03/2019 |
|
|
|
03/03/2020 |
|
|
|
GBP |
|
|
|
(15,611 |
) |
|
|
(20,658 |
) |
|
|
|
2.000 |
|
|
|
02/03/2020 |
|
|
|
03/04/2020 |
|
|
$ |
|
|
|
|
(2,808 |
) |
|
|
(2,808 |
) |
|
|
|
2.000 |
|
|
|
02/03/2020 |
|
|
|
03/06/2020 |
|
|
|
|
|
|
|
(5,537 |
) |
|
|
(5,537 |
) |
|
|
|
2.000 |
|
|
|
02/04/2020 |
|
|
|
03/06/2020 |
|
|
|
|
|
|
|
(17,803 |
) |
|
|
(17,803 |
) |
|
|
|
2.100 |
|
|
|
01/28/2020 |
|
|
|
03/02/2020 |
|
|
|
|
|
|
|
(3,439 |
) |
|
|
(3,440 |
) |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
55 |
Schedule of Investments PIMCO High Income
Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Borrowing
Rate(2) |
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed(2) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
|
|
|
2.100 |
% |
|
|
02/03/2020 |
|
|
|
03/04/2020 |
|
|
$ |
|
|
|
|
(9,193 |
) |
|
$ |
(9,193 |
) |
|
|
|
2.200 |
|
|
|
01/28/2020 |
|
|
|
03/02/2020 |
|
|
|
|
|
|
|
(3,133 |
) |
|
|
(3,134 |
) |
|
|
|
2.200 |
|
|
|
02/03/2020 |
|
|
|
03/06/2020 |
|
|
|
|
|
|
|
(1,672 |
) |
|
|
(1,672 |
) |
|
|
|
2.250 |
|
|
|
01/07/2020 |
|
|
|
02/10/2020 |
|
|
|
|
|
|
|
(8,002 |
) |
|
|
(8,016 |
) |
|
|
|
2.250 |
|
|
|
01/08/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
|
|
(17,058 |
) |
|
|
(17,086 |
) |
|
|
|
2.300 |
|
|
|
01/06/2020 |
|
|
|
02/07/2020 |
|
|
|
|
|
|
|
(4,490 |
) |
|
|
(4,498 |
) |
|
|
|
2.350 |
|
|
|
01/08/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
|
|
(244 |
) |
|
|
(244 |
) |
|
|
|
2.450 |
|
|
|
11/05/2019 |
|
|
|
02/03/2020 |
|
|
|
|
|
|
|
(7,426 |
) |
|
|
(7,472 |
) |
|
|
|
2.450 |
|
|
|
11/06/2019 |
|
|
|
02/04/2020 |
|
|
|
|
|
|
|
(20,456 |
) |
|
|
(20,580 |
) |
|
|
|
2.450 |
|
|
|
11/08/2019 |
|
|
|
02/06/2020 |
|
|
|
|
|
|
|
(4,382 |
) |
|
|
(4,408 |
) |
|
|
|
2.450 |
|
|
|
11/12/2019 |
|
|
|
02/10/2020 |
|
|
|
|
|
|
|
(10,440 |
) |
|
|
(10,499 |
) |
|
|
|
2.450 |
|
|
|
12/04/2019 |
|
|
|
03/03/2020 |
|
|
|
|
|
|
|
(1,533 |
) |
|
|
(1,539 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Reverse Repurchase Agreements |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(284,481 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS AND OTHER
FINANCING TRANSACTIONS SUMMARY
The
following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Repurchase
Agreement
Proceeds
to be
Received(1) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
|
Payable for
Sale-Buyback
Transactions |
|
|
Total
Borrowings and
Other Financing
Transactions |
|
|
Collateral
Pledged/(Received) |
|
|
Net
Exposure(4) |
|
| Global/Master Repurchase Agreement |
|
| BCY |
|
$ |
0 |
|
|
$ |
(1,178 |
) |
|
$ |
0 |
|
|
$ |
(1,178 |
) |
|
$ |
1,221 |
|
|
$ |
43 |
|
| BPG |
|
|
9,001 |
|
|
|
0 |
|
|
|
0 |
|
|
|
9,001 |
|
|
|
(9,212 |
) |
|
|
(211 |
) |
| BPS |
|
|
0 |
|
|
|
(14,458 |
) |
|
|
0 |
|
|
|
(14,458 |
) |
|
|
14,456 |
|
|
|
(2 |
) |
| BRC |
|
|
0 |
|
|
|
(3,549 |
) |
|
|
0 |
|
|
|
(3,549 |
) |
|
|
4,103 |
|
|
|
554 |
|
| CEW |
|
|
0 |
|
|
|
(3,291 |
) |
|
|
0 |
|
|
|
(3,291 |
) |
|
|
3,590 |
|
|
|
299 |
|
| CIW |
|
|
0 |
|
|
|
(6,354 |
) |
|
|
0 |
|
|
|
(6,354 |
) |
|
|
6,671 |
|
|
|
317 |
|
| FICC |
|
|
3,637 |
|
|
|
0 |
|
|
|
0 |
|
|
|
3,637 |
|
|
|
(3,713 |
) |
|
|
(76 |
) |
| FOB |
|
|
0 |
|
|
|
(4,345 |
) |
|
|
0 |
|
|
|
(4,345 |
) |
|
|
4,624 |
|
|
|
279 |
|
| JML |
|
|
0 |
|
|
|
(12,267 |
) |
|
|
0 |
|
|
|
(12,267 |
) |
|
|
14,533 |
|
|
|
2,266 |
|
| MEI |
|
|
0 |
|
|
|
(2,499 |
) |
|
|
0 |
|
|
|
(2,499 |
) |
|
|
3,027 |
|
|
|
528 |
|
| NOM |
|
|
0 |
|
|
|
(67,067 |
) |
|
|
0 |
|
|
|
(67,067 |
) |
|
|
42,282 |
|
|
|
(24,785 |
) |
| RDR |
|
|
9,001 |
|
|
|
0 |
|
|
|
0 |
|
|
|
9,001 |
|
|
|
(9,213 |
) |
|
|
(212 |
) |
| RTA |
|
|
0 |
|
|
|
(30,886 |
) |
|
|
0 |
|
|
|
(30,886 |
) |
|
|
34,660 |
|
|
|
3,774 |
|
| TDM |
|
|
2,901 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2,901 |
|
|
|
(2,978 |
) |
|
|
(77 |
) |
| UBS |
|
|
0 |
|
|
|
(138,587 |
) |
|
|
0 |
|
|
|
(138,587 |
) |
|
|
120,354 |
|
|
|
(18,233 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings and Other Financing Transactions |
|
$ |
24,540 |
|
|
$ |
(284,481 |
) |
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED
FOR AS SECURED BORROWINGS
Remaining Contractual Maturity
of the Agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Overnight and
Continuous |
|
|
Up to 30 days |
|
|
31-90 days |
|
|
Greater Than 90 days |
|
|
Total |
|
| Reverse Repurchase Agreements |
|
| Corporate Bonds & Notes |
|
$ |
0 |
|
|
$ |
(134,926 |
) |
|
$ |
(54,937 |
) |
|
$ |
(6,950 |
) |
|
$ |
(196,813 |
) |
| Sovereign Issues |
|
|
0 |
|
|
|
(4,902 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(4,902 |
) |
| Preferred Securities |
|
|
0 |
|
|
|
(12,572 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(12,572 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings |
|
$ |
0 |
|
|
$ |
(152,400 |
) |
|
$ |
(54,937 |
) |
|
$ |
(6,950 |
) |
|
$ |
(214,287 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payable for reverse repurchase agreements(5) |
|
|
$ |
(214,287 |
) |
|
|
|
|
|
|
| (l) |
Securities with an aggregate market value of $249,622 and cash of $1,176 have been pledged as collateral under the terms of
the above master agreements as of January 31, 2020. |
| (1) |
Includes accrued interest. |
| (2) |
The average amount of borrowings outstanding during the period ended January 31, 2020 was $(242,364) at a weighted average interest
rate of 2.140%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| (3) |
Open maturity reverse repurchase agreement. |
| (4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for
more information. |
| (5) |
Unsettled reverse repurchase agreements liability of $(70,194) is outstanding at period end. |
|
|
|
|
|
|
|
|
|
| 56 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
(m) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES
- SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Implied
Credit Spread at
January 31, 2020(2) |
|
|
Notional
Amount(3)
|
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value(4)
|
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Bombardier, Inc. |
|
|
5.000 |
% |
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
5.130 |
% |
|
|
$ |
|
|
|
2,000 |
|
|
$ |
(8 |
) |
|
$ |
10 |
|
|
$ |
2 |
|
|
$ |
0 |
|
|
$ |
(4 |
) |
| Frontier Communications Corp. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
06/20/2020 |
|
|
|
357.443 |
|
|
|
|
|
|
|
9,600 |
|
|
|
(318 |
) |
|
|
(4,279 |
) |
|
|
(4,597 |
) |
|
|
117 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(326 |
) |
|
$ |
(4,269 |
) |
|
$ |
(4,595 |
) |
|
$ |
117 |
|
|
$ |
(4 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/
Receive
Floating
Rate |
|
Floating Rate Index |
|
Fixed Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Notional
Amount |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value |
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Receive |
|
3-Month USD-LIBOR |
|
|
3.000 |
% |
|
|
Semi-Annual |
|
|
|
06/19/2024 |
|
|
|
$ |
|
|
|
69,300 |
|
|
$ |
(1,212 |
) |
|
$ |
(3,834 |
) |
|
$ |
(5,046 |
) |
|
$ |
0 |
|
|
$ |
(179 |
) |
| Pay |
|
3-Month USD-LIBOR |
|
|
3.000 |
|
|
|
Semi-Annual |
|
|
|
06/19/2029 |
|
|
|
|
|
|
|
79,200 |
|
|
|
1,687 |
|
|
|
9,293 |
|
|
|
10,980 |
|
|
|
359 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
3.500 |
|
|
|
Semi-Annual |
|
|
|
06/19/2044 |
|
|
|
|
|
|
|
617,800 |
|
|
|
110,476 |
|
|
|
123,858 |
|
|
|
234,334 |
|
|
|
6,342 |
|
|
|
0 |
|
| Receive |
|
3-Month USD-LIBOR |
|
|
2.000 |
|
|
|
Semi-Annual |
|
|
|
01/15/2050 |
|
|
|
|
|
|
|
56,000 |
|
|
|
(403 |
) |
|
|
(3,948 |
) |
|
|
(4,351 |
) |
|
|
0 |
|
|
|
(500 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
|
Semi-Annual |
|
|
|
01/16/2050 |
|
|
|
|
|
|
|
334,140 |
|
|
|
289 |
|
|
|
4,362 |
|
|
|
4,651 |
|
|
|
0 |
|
|
|
(2,779 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.750 |
|
|
|
Semi-Annual |
|
|
|
01/22/2050 |
|
|
|
|
|
|
|
55,100 |
|
|
|
(127 |
) |
|
|
(793 |
) |
|
|
(920 |
) |
|
|
0 |
|
|
|
(468 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
|
Semi-Annual |
|
|
|
02/03/2050 |
|
|
|
|
|
|
|
160,500 |
|
|
|
(572 |
) |
|
|
2,764 |
|
|
|
2,192 |
|
|
|
0 |
|
|
|
(1,338 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.875 |
|
|
|
Semi-Annual |
|
|
|
02/07/2050 |
|
|
|
|
|
|
|
57,680 |
|
|
|
(224 |
) |
|
|
(2,510 |
) |
|
|
(2,734 |
) |
|
|
0 |
|
|
|
(507 |
) |
| Receive |
|
6-Month EUR-EURIBOR |
|
|
0.000 |
|
|
|
Annual |
|
|
|
08/19/2021 |
|
|
|
EUR |
|
|
|
663,900 |
|
|
|
(1,308 |
) |
|
|
(4,423 |
) |
|
|
(5,731 |
) |
|
|
0 |
|
|
|
(265 |
) |
| Receive |
|
6-Month EUR-EURIBOR |
|
|
0.270 |
|
|
|
Annual |
|
|
|
09/11/2024 |
|
|
|
|
|
|
|
25,600 |
|
|
|
4 |
|
|
|
(857 |
) |
|
|
(853 |
) |
|
|
0 |
|
|
|
(57 |
) |
| Pay |
|
6-Month EUR-EURIBOR |
|
|
0.650 |
|
|
|
Annual |
|
|
|
02/26/2029 |
|
|
|
|
|
|
|
416,000 |
|
|
|
416 |
|
|
|
35,556 |
|
|
|
35,972 |
|
|
|
2,536 |
|
|
|
0 |
|
| Receive |
|
6-Month EUR-EURIBOR |
|
|
1.250 |
|
|
|
Annual |
|
|
|
08/19/2049 |
|
|
|
|
|
|
|
95,100 |
|
|
|
395 |
|
|
|
(29,194 |
) |
|
|
(28,799 |
) |
|
|
0 |
|
|
|
(2,580 |
) |
| Receive(5) |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
|
Semi-Annual |
|
|
|
03/18/2030 |
|
|
|
GBP |
|
|
|
55,200 |
|
|
|
185 |
|
|
|
(338 |
) |
|
|
(153 |
) |
|
|
0 |
|
|
|
(63 |
) |
| Receive |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
|
Semi-Annual |
|
|
|
03/18/2050 |
|
|
|
|
|
|
|
1,700 |
|
|
|
26 |
|
|
|
21 |
|
|
|
47 |
|
|
|
21 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
109,632 |
|
|
$ |
129,957 |
|
|
$ |
239,589 |
|
|
$ |
9,258 |
|
|
$ |
(8,736 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Swap Agreements |
|
|
|
|
|
|
$ |
109,306 |
|
|
$ |
125,688 |
|
|
$ |
234,994 |
|
|
$ |
9,375 |
|
|
$ |
(8,740 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
| |
|
Market Value |
|
|
Variation Margin
Asset |
|
|
Total |
|
|
|
|
|
Market Value |
|
|
Variation Margin
Liability |
|
|
Total |
|
| |
|
Purchased
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
|
|
|
|
Written
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
| Total Exchange-Traded or Centrally Cleared |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
9,375 |
|
|
$ |
9,375 |
|
|
|
|
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(8,740 |
) |
|
$ |
(8,740 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (n) |
Securities with an aggregate market value of $2,407 and cash of $22,396 have been pledged as collateral for exchange-traded
and centrally cleared financial derivative instruments as of January 31, 2020. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
| (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
issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the
cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of
default or other credit event occurring as defined under the terms of the agreement. |
| (3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance
risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the
notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
| (5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to
Financial Statements for further information. |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
57 |
Schedule of Investments PIMCO High Income
Fund (Cont.)
(o) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement
Month |
|
|
Currency to
be Delivered |
|
|
Currency to
be Received |
|
|
Unrealized Appreciation/
(Depreciation) |
|
| |
Asset |
|
|
Liability |
|
| BOA |
|
|
02/2020 |
|
|
$ |
|
|
40,503 |
|
|
EUR |
|
|
36,744 |
|
|
$ |
248 |
|
|
$ |
0 |
|
|
|
|
03/2020 |
|
|
EUR |
|
|
36,744 |
|
|
$ |
|
|
40,572 |
|
|
|
0 |
|
|
|
(248 |
) |
|
|
|
03/2020 |
|
|
$ |
|
|
93 |
|
|
IDR |
|
|
1,271,592 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| BPS |
|
|
02/2020 |
|
|
PEN |
|
|
4,729 |
|
|
$ |
|
|
1,394 |
|
|
|
0 |
|
|
|
(3 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
1,795 |
|
|
IDR |
|
|
24,542,348 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
02/2020 |
|
|
|
|
|
3,478 |
|
|
INR |
|
|
247,980 |
|
|
|
0 |
|
|
|
(10 |
) |
|
|
|
|
|
|
|
|
| BRC |
|
|
02/2020 |
|
|
EUR |
|
|
36,744 |
|
|
$ |
|
|
41,153 |
|
|
|
402 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
$ |
|
|
39 |
|
|
IDR |
|
|
528,408 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
06/2020 |
|
|
|
|
|
4,091 |
|
|
MXN |
|
|
80,476 |
|
|
|
86 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| CBK |
|
|
02/2020 |
|
|
GBP |
|
|
1,468 |
|
|
$ |
|
|
1,921 |
|
|
|
0 |
|
|
|
(18 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
1,417 |
|
|
PEN |
|
|
4,729 |
|
|
|
0 |
|
|
|
(21 |
) |
|
|
|
04/2020 |
|
|
PEN |
|
|
4,729 |
|
|
$ |
|
|
1,414 |
|
|
|
21 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| GLM |
|
|
02/2020 |
|
|
$ |
|
|
1,142 |
|
|
RUB |
|
|
73,236 |
|
|
|
1 |
|
|
|
0 |
|
|
|
|
04/2020 |
|
|
|
|
|
8,011 |
|
|
|
|
|
495,889 |
|
|
|
0 |
|
|
|
(318 |
) |
|
|
|
|
|
|
|
|
| HUS |
|
|
02/2020 |
|
|
|
|
|
322 |
|
|
INR |
|
|
22,946 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
03/2020 |
|
|
|
|
|
41 |
|
|
|
|
|
2,952 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
05/2020 |
|
|
|
|
|
4,002 |
|
|
MXN |
|
|
78,519 |
|
|
|
99 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| JPM |
|
|
02/2020 |
|
|
GBP |
|
|
85,098 |
|
|
$ |
|
|
111,406 |
|
|
|
0 |
|
|
|
(966 |
) |
|
|
|
|
|
|
|
|
| SCX |
|
|
03/2020 |
|
|
$ |
|
|
124 |
|
|
IDR |
|
|
1,696,652 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
|
|
|
258 |
|
|
INR |
|
|
18,410 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
|
| SSB |
|
|
02/2020 |
|
|
|
|
|
112,412 |
|
|
GBP |
|
|
86,566 |
|
|
|
1,899 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
GBP |
|
|
86,567 |
|
|
$ |
|
|
112,508 |
|
|
|
0 |
|
|
|
(1,889 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Forward Foreign Currency Contracts |
|
|
$ |
2,756 |
|
|
$ |
(3,476 |
) |
|
|
|
|
|
|
|
|
|
|
SWAP AGREEMENTS:
INTEREST RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Pay/Receive
Floating Rate |
|
Floating Rate Index |
|
Fixed Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
Notional
Amount |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Swap Agreements,
at Value |
|
| |
Asset |
|
|
Liability |
|
| DUB |
|
Pay |
|
3-Month USD-LIBOR |
|
|
3.850% |
|
|
|
Semi-Annual |
|
|
07/13/2022 |
|
$ |
|
|
|
|
600,000 |
|
|
$ |
68 |
|
|
$ |
6,200 |
|
|
$ |
6,268 |
|
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Swap Agreements |
|
|
$ |
68 |
|
|
$ |
6,200 |
|
|
$ |
6,268 |
|
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: OVER THE COUNTER SUMMARY
The
following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Forward
Foreign
Currency
Contracts |
|
|
Purchased
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
|
|
|
Forward
Foreign
Currency
Contracts |
|
|
Written
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
Net Market
Value of OTC
Derivatives |
|
|
Collateral
Pledged/
(Received) |
|
|
Net
Exposure(1) |
|
| BOA |
|
$ |
248 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
248 |
|
|
|
|
|
|
$ |
(248 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(248 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
| BPS |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(14 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(14 |
) |
|
|
(14 |
) |
|
|
60 |
|
|
|
46 |
|
| BRC |
|
|
488 |
|
|
|
0 |
|
|
|
0 |
|
|
|
488 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
488 |
|
|
|
(850 |
) |
|
|
(362 |
) |
| CBK |
|
|
21 |
|
|
|
0 |
|
|
|
0 |
|
|
|
21 |
|
|
|
|
|
|
|
(39 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(39 |
) |
|
|
(18 |
) |
|
|
0 |
|
|
|
(18 |
) |
| DUB |
|
|
0 |
|
|
|
0 |
|
|
|
6,268 |
|
|
|
6,268 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6,268 |
|
|
|
(6,250 |
) |
|
|
18 |
|
| GLM |
|
|
1 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1 |
|
|
|
|
|
|
|
(318 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(318 |
) |
|
|
(317 |
) |
|
|
0 |
|
|
|
(317 |
) |
| HUS |
|
|
99 |
|
|
|
0 |
|
|
|
0 |
|
|
|
99 |
|
|
|
|
|
|
|
(1 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
98 |
|
|
|
(70 |
) |
|
|
28 |
|
| JPM |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(966 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(966 |
) |
|
|
(966 |
) |
|
|
(70 |
) |
|
|
(1,036 |
) |
| SCX |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(1 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
0 |
|
|
|
(1 |
) |
| SSB |
|
|
1,899 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1,899 |
|
|
|
|
|
|
|
(1,889 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1,889 |
) |
|
|
10 |
|
|
|
0 |
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Over the Counter |
|
$ |
2,756 |
|
|
$ |
0 |
|
|
$ |
6,268 |
|
|
$ |
9,024 |
|
|
|
|
|
|
$ |
(3,476 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(3,476 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (p) |
Securities with an aggregate market value of $60 have been pledged as collateral for financial derivative instruments as
governed by International Swaps and Derivatives Association, Inc. master agreements as of January 31, 2020. |
| (1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
|
|
|
|
|
|
|
|
|
|
| 58 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the
Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
117 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
9,258 |
|
|
$ |
9,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,756 |
|
|
$ |
0 |
|
|
$ |
2,756 |
|
| Swap Agreements |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6,268 |
|
|
|
6,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,756 |
|
|
$ |
6,268 |
|
|
$ |
9,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
117 |
|
|
$ |
0 |
|
|
$ |
2,756 |
|
|
$ |
15,526 |
|
|
$ |
18,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
4 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
8,736 |
|
|
$ |
8,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
3,476 |
|
|
$ |
0 |
|
|
$ |
3,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
4 |
|
|
$ |
0 |
|
|
$ |
3,476 |
|
|
$ |
8,736 |
|
|
$ |
12,216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial
Derivative Instruments on the Statements of Operations for the period ended January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Net Realized Gain (Loss) on Financial Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
329 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(148,396 |
) |
|
$ |
(148,067 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,399 |
|
|
$ |
0 |
|
|
$ |
2,399 |
|
| Swap Agreements |
|
|
0 |
|
|
|
1,275 |
|
|
|
0 |
|
|
|
0 |
|
|
|
7,624 |
|
|
|
8,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
1,275 |
|
|
$ |
0 |
|
|
$ |
2,399 |
|
|
$ |
7,624 |
|
|
$ |
11,298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
1,604 |
|
|
$ |
0 |
|
|
$ |
2,399 |
|
|
$ |
(140,772 |
) |
|
$ |
(136,769 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on Financial
Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
(1,747 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
144,593 |
|
|
$ |
142,846 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(6,790 |
) |
|
$ |
0 |
|
|
$ |
(6,790 |
) |
| Swap Agreements |
|
|
0 |
|
|
|
(1,113 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(4,772 |
) |
|
|
(5,885 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(1,113 |
) |
|
$ |
0 |
|
|
$ |
(6,790 |
) |
|
$ |
(4,772 |
) |
|
$ |
(12,675 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(2,860 |
) |
|
$ |
0 |
|
|
$ |
(6,790 |
) |
|
$ |
139,821 |
|
|
$ |
130,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
59 |
Schedule of Investments PIMCO High Income
Fund (Cont.)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of January 31, 2020 in valuing the Fund’s assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
139 |
|
|
$ |
95,476 |
|
|
$ |
10,378 |
|
|
$ |
105,993 |
|
| Corporate Bonds & Notes |
|
| Banking & Finance |
|
|
0 |
|
|
|
171,997 |
|
|
|
0 |
|
|
|
171,997 |
|
| Industrials |
|
|
0 |
|
|
|
195,926 |
|
|
|
669 |
|
|
|
196,595 |
|
| Utilities |
|
|
0 |
|
|
|
78,019 |
|
|
|
0 |
|
|
|
78,019 |
|
| Convertible Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
4,963 |
|
|
|
0 |
|
|
|
4,963 |
|
| Utilities |
|
|
0 |
|
|
|
8 |
|
|
|
0 |
|
|
|
8 |
|
| Municipal Bonds & Notes |
|
| California |
|
|
0 |
|
|
|
4,173 |
|
|
|
0 |
|
|
|
4,173 |
|
| District of Columbia |
|
|
0 |
|
|
|
11,594 |
|
|
|
0 |
|
|
|
11,594 |
|
| Illinois |
|
|
0 |
|
|
|
26,679 |
|
|
|
0 |
|
|
|
26,679 |
|
| New York |
|
|
0 |
|
|
|
1,261 |
|
|
|
0 |
|
|
|
1,261 |
|
| Texas |
|
|
0 |
|
|
|
11,448 |
|
|
|
0 |
|
|
|
11,448 |
|
| Virginia |
|
|
0 |
|
|
|
1,350 |
|
|
|
0 |
|
|
|
1,350 |
|
| West Virginia |
|
|
0 |
|
|
|
13,286 |
|
|
|
0 |
|
|
|
13,286 |
|
| U.S. Government Agencies |
|
|
0 |
|
|
|
17,165 |
|
|
|
8,404 |
|
|
|
25,569 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
0 |
|
|
|
132,775 |
|
|
|
0 |
|
|
|
132,775 |
|
| Asset-Backed Securities |
|
|
0 |
|
|
|
83,434 |
|
|
|
18,886 |
|
|
|
102,320 |
|
| Sovereign Issues |
|
|
0 |
|
|
|
30,685 |
|
|
|
0 |
|
|
|
30,685 |
|
| Common Stocks |
|
| Communication Services |
|
|
2,804 |
|
|
|
9 |
|
|
|
0 |
|
|
|
2,813 |
|
| Consumer Discretionary |
|
|
7,996 |
|
|
|
0 |
|
|
|
0 |
|
|
|
7,996 |
|
| Energy |
|
|
10 |
|
|
|
0 |
|
|
|
0 |
|
|
|
10 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
1,104 |
|
|
|
1,104 |
|
| Warrants |
|
| Communication Services |
|
|
0 |
|
|
|
4,851 |
|
|
|
0 |
|
|
|
4,851 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
3,973 |
|
|
|
3,973 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Preferred Securities |
|
| Banking & Finance |
|
$
|
0 |
|
|
$
|
41,417 |
|
|
$
|
0 |
|
|
$
|
41,417 |
|
| Industrials |
|
|
0 |
|
|
|
369 |
|
|
|
50,637 |
|
|
|
51,006 |
|
| Real Estate Investment Trusts |
|
| Real Estate |
|
|
25,052 |
|
|
|
0 |
|
|
|
0 |
|
|
|
25,052 |
|
| Short-Term Instruments |
|
| Repurchase Agreements |
|
|
0 |
|
|
|
24,537 |
|
|
|
0 |
|
|
|
24,537 |
|
| Argentina Treasury Bills |
|
|
0 |
|
|
|
1,997 |
|
|
|
0 |
|
|
|
1,997 |
|
| U.S. Treasury Bills |
|
|
0 |
|
|
|
3,114 |
|
|
|
0 |
|
|
|
3,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
$ |
36,001 |
|
|
$ |
956,533 |
|
|
$ |
94,051 |
|
|
$ |
1,086,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
9,375 |
|
|
|
0 |
|
|
|
9,375 |
|
| Over the counter |
|
|
0 |
|
|
|
9,024 |
|
|
|
0 |
|
|
|
9,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
18,399 |
|
|
$ |
0 |
|
|
$ |
18,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
(8,740 |
) |
|
|
0 |
|
|
|
(8,740 |
) |
| Over the counter |
|
|
0 |
|
|
|
(3,476 |
) |
|
|
0 |
|
|
|
(3,476 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(12,216 |
) |
|
$ |
0 |
|
|
$ |
(12,216 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Financial Derivative Instruments |
|
$ |
0 |
|
|
$ |
6,183 |
|
|
$ |
0 |
|
|
$ |
6,183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
36,001 |
|
|
$ |
962,716 |
|
|
$ |
94,051 |
|
|
$ |
1,092,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is
a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Beginning
Balance
at 07/31/2019 |
|
|
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 01/31/2020 |
|
|
Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2020(1) |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
6,722 |
|
|
$ |
4,281 |
|
|
$ |
(537 |
) |
|
$ |
(130 |
) |
|
$ |
(4 |
) |
|
$ |
46 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
10,378 |
|
|
$ |
47 |
|
| Corporate Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
849 |
|
|
|
0 |
|
|
|
7 |
|
|
|
0 |
|
|
|
(187 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
669 |
|
|
|
(187 |
) |
| U.S. Government Agencies |
|
|
8,399 |
|
|
|
0 |
|
|
|
(84 |
) |
|
|
242 |
|
|
|
30 |
|
|
|
(183 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
8,404 |
|
|
|
(187 |
) |
| Asset-Backed Securities |
|
|
25,891 |
|
|
|
0 |
|
|
|
0 |
|
|
|
26 |
|
|
|
0 |
|
|
|
(6,941 |
) |
|
|
0 |
|
|
|
(90 |
) |
|
|
18,886 |
|
|
|
(7,003 |
) |
| Common Stocks |
|
| Industrials |
|
|
1,280 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(176 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
1,104 |
|
|
|
(176 |
) |
| Warrants |
|
| Industrials |
|
|
3,328 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
645 |
|
|
|
0 |
|
|
|
0 |
|
|
|
3,973 |
|
|
|
645 |
|
| Preferred Securities |
|
| Industrials |
|
|
48,647 |
|
|
|
2,823 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(833 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
50,637 |
|
|
|
(833 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
94,267 |
|
|
$ |
7,953 |
|
|
$ |
(621 |
) |
|
$ |
145 |
|
|
$ |
26 |
|
|
$ |
(7,629 |
) |
|
$ |
0 |
|
|
$ |
(90 |
) |
|
$ |
94,051 |
|
|
$ |
(7,694 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 60 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
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 01/31/2020 |
|
|
Valuation
Technique |
|
Unobservable
Inputs |
|
(% Unless Noted Otherwise) |
|
| |
Input Value(s) |
|
|
Weighted
Average |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
10,378 |
|
|
Third Party Vendor |
|
Broker Quote |
|
|
75.500 - 102.000 |
|
|
|
88.895 |
|
| Corporate Bonds & Notes |
|
| Industrials |
|
|
669 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| U.S. Government Agencies |
|
|
8,404 |
|
|
Proxy Pricing |
|
Base Price |
|
|
60.540 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
4,618 |
|
|
IO Weighted Average Life |
|
Base Price |
|
|
19,048.165 |
|
|
|
— |
|
|
|
|
14,268 |
|
|
Proxy Pricing |
|
Base Price |
|
|
3,576.000 - 76,239.578 |
|
|
|
27,636.277 |
|
| Common Stocks |
|
| Industrials |
|
|
1,104 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| Warrants |
|
| Industrials |
|
|
3,973 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| Preferred Securities |
|
| Industrials |
|
|
50,637 |
|
|
Fundamental Valuation |
|
Company Equity Value |
|
$ |
948,002,602.394 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
94,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at January 31, 2020 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. |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
61 |
Schedule of Investments PIMCO Income Strategy Fund
(Amounts in thousands*, except number of shares, contracts and units, if any)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| INVESTMENTS IN SECURITIES 127.2% |
|
|
|
| LOAN PARTICIPATIONS AND ASSIGNMENTS 15.4% |
|
|
| Advanz Pharma Corp. |
|
| 7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |
|
$ |
|
|
2,309 |
|
|
$ |
|
|
2,194 |
|
|
| Al Convoy (Luxembourg) S.a.r.l. |
|
| TBD% due 01/29/2027 |
|
|
|
|
38 |
|
|
|
|
|
38 |
|
|
| Altice France S.A. |
|
| 5.676% (LIBOR03M + 4.000%) due 08/14/2026 ~ |
|
|
|
|
99 |
|
|
|
|
|
99 |
|
|
| Clay Holdco BV |
|
| TBD% due 11/30/2025 |
|
EUR |
|
|
1,458 |
|
|
|
|
|
1,611 |
|
|
| Diamond Resorts Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 09/02/2023 ~ |
|
$ |
|
|
207 |
|
|
|
|
|
204 |
|
|
| Dubai World (3.000% Cash and 1.750% PIK) |
|
| 4.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(d) |
|
|
|
|
2,592 |
|
|
|
|
|
2,424 |
|
|
| Emerald TopCo, Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 07/24/2026 ~ |
|
|
|
|
55 |
|
|
|
|
|
55 |
|
|
| Encina Private Credit LLC |
|
| TBD% - 4.881% (LIBOR03M + 3.205%) due 11/30/2025 «~µ |
|
|
|
|
4,600 |
|
|
|
|
|
4,600 |
|
|
| Envision Healthcare Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 10/10/2025 ~ |
|
|
|
|
7,853 |
|
|
|
|
|
6,645 |
|
|
| Financial & Risk U.S. Holdings, Inc. |
|
| 4.895% (LIBOR03M + 3.250%) due 10/01/2025 ~ |
|
|
|
|
347 |
|
|
|
|
|
352 |
|
|
| Forbes Energy Services LLC (6.909% Cash and 11.000% PIK) |
|
| 17.909% (LIBOR03M + 5.000%) due 04/13/2021 ~(d) |
|
|
|
|
208 |
|
|
|
|
|
209 |
|
|
| Froneri Ltd. |
|
| TBD% due 01/28/2028 « |
|
|
|
|
4 |
|
|
|
|
|
4 |
|
|
| Frontier Communications Corp. |
|
| 5.400% (LIBOR03M + 3.750%) due 06/15/2024 ~ |
|
|
|
|
293 |
|
|
|
|
|
296 |
|
|
| iHeartCommunications, Inc. |
|
| 5.781% (LIBOR03M + 4.000%) due 05/01/2026 ~ |
|
|
|
|
1,753 |
|
|
|
|
|
1,760 |
|
|
| IRB Holding Corp. |
|
| 4.384% (LIBOR03M + 2.750%) due 02/05/2025 ~ |
|
|
|
|
405 |
|
|
|
|
|
406 |
|
|
| Jefferies Finance LLC |
|
| 5.063% (LIBOR03M + 3.250%) due 06/03/2026 ~ |
|
|
|
|
11 |
|
|
|
|
|
11 |
|
|
| McDermott Technology Americas, Inc. |
|
| TBD% due 10/21/2021 ^(e) µ |
|
|
|
|
1,182 |
|
|
|
|
|
1,237 |
|
| TBD% due 05/09/2025 ^(e) |
|
|
|
|
1,078 |
|
|
|
|
|
687 |
|
|
| Messer Industrie GmbH |
|
| 4.445% (LIBOR03M + 2.500%) due 03/01/2026 ~ |
|
|
|
|
32 |
|
|
|
|
|
32 |
|
|
| MH Sub LLC |
|
| 5.395% (LIBOR03M + 3.750%) due 09/13/2024 ~ |
|
|
|
|
59 |
|
|
|
|
|
59 |
|
|
| Nascar Holdings, Inc. |
|
| 4.408% (LIBOR03M + 2.750%) due 10/19/2026 ~ |
|
|
|
|
35 |
|
|
|
|
|
35 |
|
|
| NCI Building Systems, Inc. |
|
| 5.434% (LIBOR03M + 3.750%) due 04/12/2025 ~ |
|
|
|
|
20 |
|
|
|
|
|
20 |
|
|
| Neiman Marcus Group Ltd. LLC |
|
| 7.734% (LIBOR03M + 6.000%) due 10/25/2023 ~ |
|
|
|
|
5,292 |
|
|
|
|
|
4,498 |
|
|
| Neiman Marcus Group Ltd. LLC (7.234% - 7.277% Cash and 1.000% PIK) |
|
| 8.234% - 8.277% (LIBOR03M + 5.500%) due 10/25/2023 ~(d) |
|
|
|
|
4,072 |
|
|
|
|
|
3,446 |
|
|
| Ortho-Clinical Diagnostics S.A. |
|
| 5.013% (LIBOR03M + 3.250%) due 06/30/2025 ~ |
|
|
|
|
300 |
|
|
|
|
|
297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Pacific Gas & Electric Co. |
|
| TBD% due 02/22/2049 ^(e) |
|
$ |
|
|
100 |
|
|
$ |
|
|
105 |
|
|
| PetSmart, Inc. |
|
| 5.670% (LIBOR03M + 4.000%) due 03/11/2022 ~ |
|
|
|
|
31 |
|
|
|
|
|
31 |
|
|
| Playtika Holding Corp. |
|
| 7.645% (LIBOR03M + 6.000%) due 12/10/2024 ~ |
|
|
|
|
1,960 |
|
|
|
|
|
1,981 |
|
|
| Pug LLC |
|
| TBD% due 01/15/2027 |
|
|
|
|
18 |
|
|
|
|
|
18 |
|
|
| Sequa Mezzanine Holdings LLC |
|
| 10.770% (LIBOR03M + 9.000%) due 04/28/2022 «~ |
|
|
|
|
40 |
|
|
|
|
|
40 |
|
|
| Sotera Health Holdings LLC |
|
| 6.145% (LIBOR03M + 4.500%) due 12/11/2026 ~ |
|
|
|
|
70 |
|
|
|
|
|
70 |
|
|
| Sprint Communications, Inc. |
|
| 4.188% (LIBOR03M + 2.500%) due 02/02/2024 ~ |
|
|
|
|
778 |
|
|
|
|
|
769 |
|
|
| Starfruit Finco BV |
|
| 4.699% (LIBOR03M + 3.000%) due 10/01/2025 ~ |
|
|
|
|
97 |
|
|
|
|
|
97 |
|
|
| Summer (BC) Holdco B SARL |
|
| TBD% due 10/15/2026 « |
|
|
|
|
1,280 |
|
|
|
|
|
1,246 |
|
| TBD% due 12/04/2026 « |
|
|
|
|
320 |
|
|
|
|
|
312 |
|
|
| Sunshine Luxembourg SARL |
|
| 6.195% (LIBOR03M + 4.250%) due 10/01/2026 ~ |
|
|
|
|
100 |
|
|
|
|
|
101 |
|
|
| Syniverse Holdings, Inc. |
|
| 6.873% (LIBOR03M + 5.000%) due 03/09/2023 ~ |
|
|
|
|
4,525 |
|
|
|
|
|
4,144 |
|
|
| U.S. Renal Care, Inc. |
|
| 6.645% (LIBOR03M + 5.000%) due 06/26/2026 ~ |
|
|
|
|
218 |
|
|
|
|
|
217 |
|
|
| Univision Communications, Inc. |
|
| 4.395% (LIBOR03M + 2.750%) due 03/15/2024 ~ |
|
|
|
|
2,074 |
|
|
|
|
|
2,052 |
|
|
| West Corp. |
|
| 5.645% (LIBOR03M + 4.000%) due 10/10/2024 ~ |
|
|
|
|
26 |
|
|
|
|
|
22 |
|
|
| Westmoreland Mining Holdings LLC |
|
| 10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |
|
|
|
|
566 |
|
|
|
|
|
572 |
|
|
| Westmoreland Mining Holdings LLC (15.000% PIK) |
|
| 15.000% due 03/15/2029 «(d) |
|
|
|
|
1,662 |
|
|
|
|
|
1,255 |
|
|
| Windstream Services LLC |
|
| 9.000% (PRIME + 4.250%) due 02/17/2024 ~ |
|
|
|
|
3,200 |
|
|
|
|
|
3,052 |
|
| 9.750% (PRIME + 5.000%) due 03/29/2021 ~ |
|
|
|
|
3,428 |
|
|
|
|
|
3,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations and Assignments (Cost $52,788) |
|
|
50,664 |
|
|
|
|
|
|
|
|
| CORPORATE BONDS & NOTES 56.3% |
|
|
|
| BANKING & FINANCE 23.6% |
|
|
| Ally Financial, Inc. |
|
| 8.000% due 11/01/2031 |
|
|
|
|
537 |
|
|
|
|
|
758 |
|
|
| Ambac LSNI LLC |
|
| 6.945% due 02/12/2023 • |
|
|
|
|
236 |
|
|
|
|
|
240 |
|
|
| Ardonagh Midco PLC |
|
| 8.375% due 07/15/2023 |
|
GBP |
|
|
5,925 |
|
|
|
|
|
7,982 |
|
| 8.625% due 07/15/2023 |
|
$ |
|
|
200 |
|
|
|
|
|
206 |
|
|
| Banco de Credito del Peru |
|
| 4.650% due 09/17/2024 |
|
PEN |
|
|
400 |
|
|
|
|
|
121 |
|
|
| Barclays PLC |
|
| 3.250% due 01/17/2033 |
|
GBP |
|
|
100 |
|
|
|
|
|
143 |
|
| 7.125% due 06/15/2025 •(i) |
|
|
|
|
5,100 |
|
|
|
|
|
7,740 |
|
| 7.750% due 09/15/2023 •(i)(l) |
|
$ |
|
|
400 |
|
|
|
|
|
438 |
|
| 8.000% due 06/15/2024 •(i)(l) |
|
|
|
|
200 |
|
|
|
|
|
226 |
|
|
| Brookfield Finance, Inc. |
|
| 3.900% due 01/25/2028 |
|
|
|
|
6 |
|
|
|
|
|
7 |
|
| 4.700% due 09/20/2047 |
|
|
|
|
68 |
|
|
|
|
|
83 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Cantor Fitzgerald LP |
|
| 4.875% due 05/01/2024 |
|
$ |
|
|
15 |
|
|
$ |
|
|
16 |
|
| 6.500% due 06/17/2022 (l) |
|
|
|
|
3,000 |
|
|
|
|
|
3,277 |
|
|
| CBL & Associates LP |
|
| 5.950% due 12/15/2026 |
|
|
|
|
3,880 |
|
|
|
|
|
1,950 |
|
|
| Credit Suisse Group AG |
|
| 7.500% due 07/17/2023 •(i) |
|
|
|
|
200 |
|
|
|
|
|
220 |
|
| 7.500% due 12/11/2023 •(i) |
|
|
|
|
640 |
|
|
|
|
|
727 |
|
| 7.500% due 12/11/2023 •(i)(l) |
|
|
|
|
2,900 |
|
|
|
|
|
3,295 |
|
|
| Deutsche Bank AG |
|
| 3.961% due 11/26/2025 • |
|
|
|
|
600 |
|
|
|
|
|
628 |
|
|
| Emerald Bay S.A. |
|
| 0.000% due 10/08/2020 (h) |
|
EUR |
|
|
846 |
|
|
|
|
|
925 |
|
|
| EPR Properties |
|
| 4.750% due 12/15/2026 (l) |
|
$ |
|
|
1,031 |
|
|
|
|
|
1,149 |
|
|
| Equitable Holdings, Inc. |
|
| 5.000% due 04/20/2048 |
|
|
|
|
4 |
|
|
|
|
|
5 |
|
|
| ESH Hospitality, Inc. |
|
| 4.625% due 10/01/2027 |
|
|
|
|
27 |
|
|
|
|
|
27 |
|
|
| Flagstar Bancorp, Inc. |
|
| 6.125% due 07/15/2021 |
|
|
|
|
1,700 |
|
|
|
|
|
1,773 |
|
|
| Ford Motor Credit Co. LLC |
|
| 3.087% due 01/09/2023 |
|
|
|
|
200 |
|
|
|
|
|
202 |
|
|
| Fortress Transportation & Infrastructure Investors LLC |
|
| 6.500% due 10/01/2025 |
|
|
|
|
179 |
|
|
|
|
|
191 |
|
| 6.750% due 03/15/2022 |
|
|
|
|
232 |
|
|
|
|
|
239 |
|
|
| GSPA Monetization Trust |
|
| 6.422% due 10/09/2029 |
|
|
|
|
1,542 |
|
|
|
|
|
1,804 |
|
|
| HSBC Bank PLC |
|
| 6.330% due 05/23/2023 |
|
|
|
|
2,800 |
|
|
|
|
|
2,961 |
|
|
| HSBC Holdings PLC |
|
| 5.875% due 09/28/2026 •(i)(l) |
|
GBP |
|
|
200 |
|
|
|
|
|
296 |
|
| 6.000% due 09/29/2023 •(i)(l) |
|
EUR |
|
|
1,400 |
|
|
|
|
|
1,797 |
|
| 6.500% due 03/23/2028 •(i) |
|
$ |
|
|
200 |
|
|
|
|
|
223 |
|
|
| Hunt Cos., Inc. |
|
| 6.250% due 02/15/2026 |
|
|
|
|
12 |
|
|
|
|
|
12 |
|
|
| ING Groep NV |
|
| 5.750% due 11/16/2026 •(i) |
|
|
|
|
200 |
|
|
|
|
|
214 |
|
|
| Kennedy-Wilson, Inc. |
|
| 5.875% due 04/01/2024 |
|
|
|
|
32 |
|
|
|
|
|
33 |
|
|
| Ladder Capital Finance Holdings LLLP |
|
| 4.250% due 02/01/2027 |
|
|
|
|
30 |
|
|
|
|
|
30 |
|
|
| Lloyds Banking Group PLC |
|
| 7.500% due 09/27/2025 •(i)(l) |
|
|
|
|
2,900 |
|
|
|
|
|
3,319 |
|
| 7.875% due 06/27/2029 •(i) |
|
GBP |
|
|
3,219 |
|
|
|
|
|
5,465 |
|
|
| Nationstar Mortgage LLC |
|
| 6.500% due 07/01/2021 |
|
$ |
|
|
229 |
|
|
|
|
|
229 |
|
|
| Navient Corp. |
|
| 5.625% due 08/01/2033 |
|
|
|
|
31 |
|
|
|
|
|
28 |
|
| 7.250% due 09/25/2023 |
|
|
|
|
2,974 |
|
|
|
|
|
3,294 |
|
|
| Newmark Group, Inc. |
|
| 6.125% due 11/15/2023 |
|
|
|
|
28 |
|
|
|
|
|
31 |
|
|
| Oppenheimer Holdings, Inc. |
|
| 6.750% due 07/01/2022 |
|
|
|
|
594 |
|
|
|
|
|
613 |
|
|
| Royal Bank of Scotland Group PLC |
|
| 7.500% due 08/10/2020 •(i)(l) |
|
|
|
|
1,400 |
|
|
|
|
|
1,435 |
|
| 8.000% due 08/10/2025 •(i)(l) |
|
|
|
|
3,000 |
|
|
|
|
|
3,506 |
|
| 8.625% due 08/15/2021 •(i)(l) |
|
|
|
|
1,000 |
|
|
|
|
|
1,082 |
|
|
| Santander UK Group Holdings PLC |
|
| 6.750% due 06/24/2024 •(i) |
|
GBP |
|
|
2,850 |
|
|
|
|
|
4,199 |
|
| 7.375% due 06/24/2022 •(i) |
|
|
|
|
1,800 |
|
|
|
|
|
2,613 |
|
|
| SBA Communications Corp. |
|
| 3.875% due 02/15/2027 (c) |
|
$ |
|
|
84 |
|
|
|
|
|
85 |
|
|
| Societe Generale S.A. |
|
| 7.375% due 10/04/2023 •(i) |
|
|
|
|
300 |
|
|
|
|
|
331 |
|
|
| Springleaf Finance Corp. |
|
| 5.375% due 11/15/2029 |
|
|
|
|
10 |
|
|
|
|
|
10 |
|
| 5.625% due 03/15/2023 |
|
|
|
|
586 |
|
|
|
|
|
628 |
|
| 6.125% due 03/15/2024 |
|
|
|
|
66 |
|
|
|
|
|
72 |
|
| 6.875% due 03/15/2025 |
|
|
|
|
54 |
|
|
|
|
|
61 |
|
|
| TP ICAP PLC |
|
| 5.250% due 01/26/2024 (l) |
|
GBP |
|
|
2,023 |
|
|
|
|
|
2,967 |
|
|
| UniCredit SpA |
|
| 7.830% due 12/04/2023 |
|
$ |
|
|
1,960 |
|
|
|
|
|
2,314 |
|
|
|
|
|
|
|
|
|
|
| 62 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Unique Pub Finance Co. PLC |
|
| 5.659% due 06/30/2027 |
|
GBP |
|
|
1,433 |
|
|
$ |
|
|
2,178 |
|
|
| Voyager Aviation Holdings LLC |
|
| 8.500% due 08/15/2021 |
|
$ |
|
|
3,228 |
|
|
|
|
|
3,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
77,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 22.6% |
|
|
| Albertsons Cos., Inc. |
|
| 3.500% due 02/15/2023 (c) |
|
|
|
|
26 |
|
|
|
|
|
27 |
|
| 4.625% due 01/15/2027 |
|
|
|
|
26 |
|
|
|
|
|
26 |
|
| 4.875% due 02/15/2030 (c) |
|
|
|
|
30 |
|
|
|
|
|
31 |
|
|
| Altice Financing S.A. |
|
| 2.250% due 01/15/2025 |
|
EUR |
|
|
100 |
|
|
|
|
|
109 |
|
| 7.500% due 05/15/2026 |
|
$ |
|
|
1,500 |
|
|
|
|
|
1,606 |
|
|
| Altice France S.A. |
|
| 8.125% due 02/01/2027 |
|
|
|
|
500 |
|
|
|
|
|
560 |
|
|
| Associated Materials LLC |
|
| 9.000% due 01/01/2024 |
|
|
|
|
380 |
|
|
|
|
|
333 |
|
|
| Avon International Capital PLC |
|
| 6.500% due 08/15/2022 |
|
|
|
|
12 |
|
|
|
|
|
12 |
|
|
| B.C. Unlimited Liability Co. |
|
| 4.375% due 01/15/2028 |
|
|
|
|
16 |
|
|
|
|
|
16 |
|
|
| Baffinland Iron Mines Corp. |
|
| 8.750% due 07/15/2026 |
|
|
|
|
600 |
|
|
|
|
|
624 |
|
|
| Bausch Health Cos., Inc. |
|
| 5.000% due 01/30/2028 |
|
|
|
|
44 |
|
|
|
|
|
45 |
|
| 5.250% due 01/30/2030 |
|
|
|
|
44 |
|
|
|
|
|
45 |
|
|
| BCPE Cycle Merger Sub, Inc. |
|
| 10.625% due 07/15/2027 |
|
|
|
|
36 |
|
|
|
|
|
37 |
|
|
| Bombardier, Inc. |
|
| 6.000% due 10/15/2022 |
|
|
|
|
16 |
|
|
|
|
|
16 |
|
| 6.125% due 01/15/2023 |
|
|
|
|
182 |
|
|
|
|
|
180 |
|
| 7.500% due 03/15/2025 |
|
|
|
|
6 |
|
|
|
|
|
6 |
|
| 7.875% due 04/15/2027 |
|
|
|
|
2,848 |
|
|
|
|
|
2,706 |
|
|
| Camelot Finance S.A. |
|
| 4.500% due 11/01/2026 |
|
|
|
|
3 |
|
|
|
|
|
3 |
|
|
| CCO Holdings LLC |
|
| 4.750% due 03/01/2030 |
|
|
|
|
88 |
|
|
|
|
|
91 |
|
|
| Centene Corp. |
|
| 4.250% due 12/15/2027 |
|
|
|
|
30 |
|
|
|
|
|
31 |
|
| 4.625% due 12/15/2029 |
|
|
|
|
60 |
|
|
|
|
|
65 |
|
| 4.750% due 01/15/2025 |
|
|
|
|
86 |
|
|
|
|
|
89 |
|
|
| Charter Communications Operating LLC |
|
| 4.800% due 03/01/2050 |
|
|
|
|
106 |
|
|
|
|
|
115 |
|
|
| Clear Channel Worldwide Holdings, Inc. |
|
| 9.250% due 02/15/2024 |
|
|
|
|
890 |
|
|
|
|
|
971 |
|
|
| Community Health Systems, Inc. |
|
| 6.250% due 03/31/2023 |
|
|
|
|
3,960 |
|
|
|
|
|
4,049 |
|
| 8.000% due 03/15/2026 |
|
|
|
|
906 |
|
|
|
|
|
946 |
|
| 8.625% due 01/15/2024 |
|
|
|
|
439 |
|
|
|
|
|
468 |
|
|
| Connect Finco SARL |
|
| 6.750% due 10/01/2026 |
|
|
|
|
30 |
|
|
|
|
|
32 |
|
|
| Continental Airlines Pass-Through Trust |
|
| 9.798% due 10/01/2022 |
|
|
|
|
128 |
|
|
|
|
|
132 |
|
|
| Corning, Inc. |
|
| 5.450% due 11/15/2079 |
|
|
|
|
37 |
|
|
|
|
|
43 |
|
|
| Dealer Tire LLC |
|
| 8.000% due 02/01/2028 (c) |
|
|
|
|
16 |
|
|
|
|
|
16 |
|
|
| Dell International LLC |
|
| 6.020% due 06/15/2026 (l) |
|
|
|
|
1,200 |
|
|
|
|
|
1,403 |
|
|
| Diamond Resorts International, Inc. |
|
| 7.750% due 09/01/2023 |
|
|
|
|
345 |
|
|
|
|
|
356 |
|
| 10.750% due 09/01/2024 (l) |
|
|
|
|
1,200 |
|
|
|
|
|
1,251 |
|
|
| DriveTime Automotive Group, Inc. |
|
| 8.000% due 06/01/2021 |
|
|
|
|
800 |
|
|
|
|
|
811 |
|
|
| Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
|
| 7.750% due 05/15/2022 (d) |
|
|
|
|
8 |
|
|
|
|
|
8 |
|
|
| Eldorado Resorts, Inc. |
|
| 6.000% due 09/15/2026 |
|
|
|
|
1,100 |
|
|
|
|
|
1,208 |
|
|
| Energy Transfer Operating LP |
|
| 2.900% due 05/15/2025 |
|
|
|
|
19 |
|
|
|
|
|
19 |
|
| 3.750% due 05/15/2030 |
|
|
|
|
41 |
|
|
|
|
|
42 |
|
| 5.000% due 05/15/2050 |
|
|
|
|
38 |
|
|
|
|
|
39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Envision Healthcare Corp. |
|
| 8.750% due 10/15/2026 |
|
$ |
|
|
1,105 |
|
|
$ |
|
|
669 |
|
|
| Exela Intermediate LLC |
|
| 10.000% due 07/15/2023 |
|
|
|
|
57 |
|
|
|
|
|
22 |
|
|
| Fair Isaac Corp. |
|
| 4.000% due 06/15/2028 |
|
|
|
|
4 |
|
|
|
|
|
4 |
|
|
| Ferroglobe PLC |
|
| 9.375% due 03/01/2022 |
|
|
|
|
700 |
|
|
|
|
|
527 |
|
|
| First Quantum Minerals Ltd. |
|
| 6.500% due 03/01/2024 |
|
|
|
|
688 |
|
|
|
|
|
664 |
|
| 6.875% due 03/01/2026 |
|
|
|
|
458 |
|
|
|
|
|
441 |
|
| 7.000% due 02/15/2021 |
|
|
|
|
76 |
|
|
|
|
|
76 |
|
|
| Flex Ltd. |
|
| 4.875% due 06/15/2029 |
|
|
|
|
40 |
|
|
|
|
|
45 |
|
|
| Ford Motor Co. |
|
| 7.700% due 05/15/2097 (l) |
|
|
|
|
7,435 |
|
|
|
|
|
8,897 |
|
|
| Fresh Market, Inc. |
|
| 9.750% due 05/01/2023 (l) |
|
|
|
|
3,313 |
|
|
|
|
|
1,640 |
|
|
| Full House Resorts, Inc. |
|
| 8.575% due 01/31/2024 |
|
|
|
|
195 |
|
|
|
|
|
192 |
|
| 9.738% due 02/02/2024 |
|
|
|
|
17 |
|
|
|
|
|
17 |
|
|
| Garda World Security Corp. |
|
| 4.625% due 02/15/2027 |
|
|
|
|
45 |
|
|
|
|
|
45 |
|
|
| General Electric Co. |
|
| 0.375% due 05/17/2022 |
|
EUR |
|
|
100 |
|
|
|
|
|
112 |
|
| 6.150% due 08/07/2037 |
|
$ |
|
|
19 |
|
|
|
|
|
25 |
|
| 6.875% due 01/10/2039 |
|
|
|
|
15 |
|
|
|
|
|
21 |
|
|
| HCA, Inc. |
|
| 7.500% due 11/15/2095 |
|
|
|
|
1,050 |
|
|
|
|
|
1,295 |
|
|
| iHeartCommunications, Inc. |
|
| 6.375% due 05/01/2026 |
|
|
|
|
566 |
|
|
|
|
|
612 |
|
| 8.375% due 05/01/2027 |
|
|
|
|
699 |
|
|
|
|
|
762 |
|
|
| IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK) |
|
| 3.625% due 05/15/2025 (d) |
|
EUR |
|
|
100 |
|
|
|
|
|
114 |
|
|
| IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) |
|
| 3.875% due 05/15/2027 (d) |
|
|
|
|
100 |
|
|
|
|
|
115 |
|
|
| IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
|
| 6.000% due 05/15/2027 (d) |
|
$ |
|
|
225 |
|
|
|
|
|
240 |
|
|
| IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK) |
|
| 6.375% due 05/15/2029 (d) |
|
|
|
|
200 |
|
|
|
|
|
219 |
|
|
| Intelsat Connect Finance S.A. |
|
| 9.500% due 02/15/2023 |
|
|
|
|
39 |
|
|
|
|
|
21 |
|
|
| Intelsat Jackson Holdings S.A. |
|
| 8.000% due 02/15/2024 |
|
|
|
|
18 |
|
|
|
|
|
18 |
|
| 8.500% due 10/15/2024 |
|
|
|
|
242 |
|
|
|
|
|
205 |
|
| 9.750% due 07/15/2025 |
|
|
|
|
303 |
|
|
|
|
|
262 |
|
|
| Intelsat Luxembourg S.A. |
|
| 7.750% due 06/01/2021 ^ |
|
|
|
|
5,382 |
|
|
|
|
|
3,498 |
|
| 8.125% due 06/01/2023 (l) |
|
|
|
|
524 |
|
|
|
|
|
217 |
|
|
| Kinder Morgan, Inc. |
|
| 7.750% due 01/15/2032 (l) |
|
|
|
|
800 |
|
|
|
|
|
1,116 |
|
| 7.800% due 08/01/2031 (l) |
|
|
|
|
1,600 |
|
|
|
|
|
2,216 |
|
|
| Lamar Media Corp. |
|
| 3.750% due 02/15/2028 (c) |
|
|
|
|
29 |
|
|
|
|
|
29 |
|
| 4.000% due 02/15/2030 (c) |
|
|
|
|
12 |
|
|
|
|
|
12 |
|
|
| Laredo Petroleum, Inc. |
|
| 9.500% due 01/15/2025 |
|
|
|
|
14 |
|
|
|
|
|
13 |
|
| 10.125% due 01/15/2028 |
|
|
|
|
19 |
|
|
|
|
|
17 |
|
|
| Mallinckrodt International Finance S.A. |
|
| 5.500% due 04/15/2025 (l) |
|
|
|
|
302 |
|
|
|
|
|
111 |
|
|
| Mattel, Inc. |
|
| 5.875% due 12/15/2027 |
|
|
|
|
9 |
|
|
|
|
|
9 |
|
|
| MEG Energy Corp. |
|
| 7.125% due 02/01/2027 |
|
|
|
|
38 |
|
|
|
|
|
38 |
|
|
| Micron Technology, Inc. |
|
| 5.327% due 02/06/2029 |
|
|
|
|
74 |
|
|
|
|
|
87 |
|
|
| NCL Corp. Ltd. |
|
| 3.625% due 12/15/2024 |
|
|
|
|
36 |
|
|
|
|
|
36 |
|
|
| Netflix, Inc. |
|
| 3.625% due 06/15/2030 |
|
EUR |
|
|
100 |
|
|
|
|
|
115 |
|
| 3.875% due 11/15/2029 |
|
|
|
|
304 |
|
|
|
|
|
356 |
|
| 4.625% due 05/15/2029 |
|
|
|
|
100 |
|
|
|
|
|
124 |
|
| 4.875% due 06/15/2030 |
|
$ |
|
|
100 |
|
|
|
|
|
104 |
|
| 5.375% due 11/15/2029 |
|
|
|
|
30 |
|
|
|
|
|
33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| New Albertson’s LP |
|
| 6.570% due 02/23/2028 |
|
$ |
|
|
2,800 |
|
|
$ |
|
|
2,752 |
|
|
| Noble Holding International Ltd. |
|
| 7.875% due 02/01/2026 |
|
|
|
|
128 |
|
|
|
|
|
92 |
|
|
| Odebrecht Oil & Gas Finance Ltd. |
|
| 0.000% due 03/02/2020 (h)(i) |
|
|
|
|
450 |
|
|
|
|
|
5 |
|
|
| Ortho-Clinical Diagnostics, Inc. |
|
| 6.625% due 05/15/2022 |
|
|
|
|
218 |
|
|
|
|
|
218 |
|
| 7.250% due 02/01/2028 |
|
|
|
|
256 |
|
|
|
|
|
261 |
|
|
| Pacific Drilling SA |
|
| 8.375% due 10/01/2023 |
|
|
|
|
170 |
|
|
|
|
|
143 |
|
|
| Pan American Energy LLC |
|
| 40.063% (BADLARPP) due 11/20/2020 «~ |
|
ARS |
|
|
15,100 |
|
|
|
|
|
173 |
|
|
| Par Pharmaceutical, Inc. |
|
| 7.500% due 04/01/2027 |
|
$ |
|
|
52 |
|
|
|
|
|
53 |
|
|
| Petroleos Mexicanos |
|
| 2.750% due 04/21/2027 |
|
EUR |
|
|
200 |
|
|
|
|
|
215 |
|
| 4.750% due 02/26/2029 |
|
|
|
|
833 |
|
|
|
|
|
989 |
|
| 4.875% due 02/21/2028 |
|
|
|
|
1,756 |
|
|
|
|
|
2,106 |
|
| 5.350% due 02/12/2028 |
|
$ |
|
|
333 |
|
|
|
|
|
339 |
|
| 5.950% due 01/28/2031 |
|
|
|
|
94 |
|
|
|
|
|
95 |
|
| 6.490% due 01/23/2027 |
|
|
|
|
40 |
|
|
|
|
|
43 |
|
| 6.500% due 03/13/2027 (l) |
|
|
|
|
3,093 |
|
|
|
|
|
3,362 |
|
| 6.750% due 09/21/2047 |
|
|
|
|
20 |
|
|
|
|
|
20 |
|
| 6.840% due 01/23/2030 |
|
|
|
|
110 |
|
|
|
|
|
119 |
|
| 6.950% due 01/28/2060 |
|
|
|
|
150 |
|
|
|
|
|
153 |
|
| 7.690% due 01/23/2050 |
|
|
|
|
60 |
|
|
|
|
|
66 |
|
|
| PetSmart, Inc. |
|
| 5.875% due 06/01/2025 |
|
|
|
|
45 |
|
|
|
|
|
46 |
|
|
| Platin 1426 GmbH |
|
| 6.875% due 06/15/2023 |
|
EUR |
|
|
200 |
|
|
|
|
|
227 |
|
|
| Prime Security Services Borrower LLC |
|
| 6.250% due 01/15/2028 |
|
$ |
|
|
48 |
|
|
|
|
|
48 |
|
| 9.250% due 05/15/2023 |
|
|
|
|
220 |
|
|
|
|
|
231 |
|
|
| PTC, Inc. |
|
| 3.625% due 02/15/2025 (c) |
|
|
|
|
15 |
|
|
|
|
|
15 |
|
| 4.000% due 02/15/2028 (c) |
|
|
|
|
8 |
|
|
|
|
|
8 |
|
|
| QVC, Inc. |
|
| 5.950% due 03/15/2043 (l) |
|
|
|
|
1,657 |
|
|
|
|
|
1,685 |
|
|
| Radiate Holdco LLC |
|
| 6.875% due 02/15/2023 |
|
|
|
|
2 |
|
|
|
|
|
2 |
|
|
| Radiology Partners, Inc. |
|
| 9.250% due 02/01/2028 |
|
|
|
|
30 |
|
|
|
|
|
31 |
|
|
| Range Resources Corp. |
|
| 9.250% due 02/01/2026 |
|
|
|
|
22 |
|
|
|
|
|
19 |
|
|
| Refinitiv U.S. Holdings, Inc. |
|
| 4.500% due 05/15/2026 |
|
EUR |
|
|
100 |
|
|
|
|
|
121 |
|
|
| Russian Railways via RZD Capital PLC |
|
| 7.487% due 03/25/2031 |
|
GBP |
|
|
700 |
|
|
|
|
|
1,305 |
|
|
| Sands China Ltd. |
|
| 5.125% due 08/08/2025 (l) |
|
$ |
|
|
200 |
|
|
|
|
|
222 |
|
| 5.400% due 08/08/2028 (l) |
|
|
|
|
1,502 |
|
|
|
|
|
1,711 |
|
|
| Sealed Air Corp. |
|
| 4.000% due 12/01/2027 |
|
|
|
|
4 |
|
|
|
|
|
4 |
|
|
| Sensata Technologies, Inc. |
|
| 4.375% due 02/15/2030 |
|
|
|
|
14 |
|
|
|
|
|
14 |
|
|
| Spanish Broadcasting System, Inc. |
|
| 12.500% due 04/15/2049 ^(e) |
|
|
|
|
908 |
|
|
|
|
|
947 |
|
|
| Spirit Issuer PLC |
|
| 3.492% (BP0003M + 2.700%) due 12/28/2031 ~ |
|
GBP |
|
|
500 |
|
|
|
|
|
655 |
|
|
| Staples, Inc. |
|
| 7.500% due 04/15/2026 |
|
$ |
|
|
5 |
|
|
|
|
|
5 |
|
|
| Station Casinos LLC |
|
| 4.500% due 02/15/2028 (c) |
|
|
|
|
30 |
|
|
|
|
|
30 |
|
|
| TEGNA, Inc. |
|
| 4.625% due 03/15/2028 |
|
|
|
|
90 |
|
|
|
|
|
91 |
|
|
| Telesat Canada |
|
| 4.875% due 06/01/2027 |
|
|
|
|
17 |
|
|
|
|
|
18 |
|
|
| Tenet Healthcare Corp. |
|
| 4.625% due 09/01/2024 |
|
|
|
|
7 |
|
|
|
|
|
7 |
|
|
| Teva Pharmaceutical Finance BV |
|
| 3.650% due 11/10/2021 |
|
|
|
|
942 |
|
|
|
|
|
933 |
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
63 |
Schedule of Investments PIMCO Income
Strategy Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Teva Pharmaceutical Finance Co. BV |
|
| 2.950% due 12/18/2022 |
|
$ |
|
|
674 |
|
|
$ |
|
|
648 |
|
|
| Teva Pharmaceutical Finance Netherlands BV |
|
| 0.375% due 07/25/2020 |
|
EUR |
|
|
1,044 |
|
|
|
|
|
1,154 |
|
| 2.200% due 07/21/2021 |
|
$ |
|
|
257 |
|
|
|
|
|
254 |
|
| 3.250% due 04/15/2022 |
|
EUR |
|
|
200 |
|
|
|
|
|
224 |
|
| 6.000% due 01/31/2025 |
|
|
|
|
100 |
|
|
|
|
|
119 |
|
|
| Topaz Solar Farms LLC |
|
| 4.875% due 09/30/2039 |
|
$ |
|
|
814 |
|
|
|
|
|
873 |
|
| 5.750% due 09/30/2039 |
|
|
|
|
4,463 |
|
|
|
|
|
5,125 |
|
|
| TransDigm, Inc. |
|
| 5.500% due 11/15/2027 |
|
|
|
|
56 |
|
|
|
|
|
56 |
|
|
| Transocean Pontus Ltd. |
|
| 6.125% due 08/01/2025 |
|
|
|
|
62 |
|
|
|
|
|
64 |
|
|
| Transocean, Inc. |
|
| 7.250% due 11/01/2025 |
|
|
|
|
68 |
|
|
|
|
|
64 |
|
| 7.500% due 01/15/2026 |
|
|
|
|
56 |
|
|
|
|
|
53 |
|
| 8.000% due 02/01/2027 |
|
|
|
|
66 |
|
|
|
|
|
62 |
|
|
| Trident TPI Holdings, Inc. |
|
| 9.250% due 08/01/2024 |
|
|
|
|
9 |
|
|
|
|
|
9 |
|
|
| Triumph Group, Inc. |
|
| 5.250% due 06/01/2022 |
|
|
|
|
10 |
|
|
|
|
|
10 |
|
| 6.250% due 09/15/2024 |
|
|
|
|
32 |
|
|
|
|
|
33 |
|
|
| Unigel Luxembourg S.A. |
|
| 8.750% due 10/01/2026 |
|
|
|
|
200 |
|
|
|
|
|
208 |
|
|
| United Group BV |
|
| 3.125% due 02/15/2026 (c) |
|
EUR |
|
|
116 |
|
|
|
|
|
128 |
|
| 3.625% due 02/15/2028 (c) |
|
|
|
|
100 |
|
|
|
|
|
110 |
|
|
| Univision Communications, Inc. |
|
| 5.125% due 02/15/2025 |
|
$ |
|
|
353 |
|
|
|
|
|
353 |
|
|
| Valaris PLC |
|
| 5.750% due 10/01/2044 |
|
|
|
|
153 |
|
|
|
|
|
64 |
|
| 7.750% due 02/01/2026 |
|
|
|
|
8 |
|
|
|
|
|
4 |
|
|
| Vale Overseas Ltd. |
|
| 6.250% due 08/10/2026 |
|
|
|
|
71 |
|
|
|
|
|
84 |
|
| 6.875% due 11/21/2036 |
|
|
|
|
29 |
|
|
|
|
|
38 |
|
| 6.875% due 11/10/2039 |
|
|
|
|
257 |
|
|
|
|
|
343 |
|
|
| ViaSat, Inc. |
|
| 5.625% due 09/15/2025 |
|
|
|
|
36 |
|
|
|
|
|
37 |
|
| 5.625% due 04/15/2027 |
|
|
|
|
7 |
|
|
|
|
|
7 |
|
|
| Western Midstream Operating LP |
|
| 2.698% (US0003M + 0.850%) due 01/13/2023 ~ |
|
|
|
|
22 |
|
|
|
|
|
22 |
|
| 3.100% due 02/01/2025 |
|
|
|
|
16 |
|
|
|
|
|
16 |
|
| 4.050% due 02/01/2030 |
|
|
|
|
16 |
|
|
|
|
|
16 |
|
| 5.250% due 02/01/2050 |
|
|
|
|
16 |
|
|
|
|
|
15 |
|
|
| WPX Energy, Inc. |
|
| 4.500% due 01/15/2030 |
|
|
|
|
34 |
|
|
|
|
|
34 |
|
|
| Wyndham Destinations, Inc. |
|
| 3.900% due 03/01/2023 |
|
|
|
|
34 |
|
|
|
|
|
35 |
|
| 4.625% due 03/01/2030 |
|
|
|
|
22 |
|
|
|
|
|
23 |
|
| 5.400% due 04/01/2024 |
|
|
|
|
4 |
|
|
|
|
|
4 |
|
| 5.750% due 04/01/2027 |
|
|
|
|
349 |
|
|
|
|
|
382 |
|
|
| YPF S.A. |
|
| 52.818% (BADLARPP + 6.000%) due 03/04/2021 «~(a) |
|
ARS |
|
|
3,800 |
|
|
|
|
|
45 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES 10.1% |
|
|
| CenturyLink, Inc. |
|
| 4.000% due 02/15/2027 |
|
$ |
|
|
30 |
|
|
|
|
|
30 |
|
|
| DTEK Finance PLC (10.750% Cash and 0.000% PIK) |
|
| 10.750% due 12/31/2024 (d) |
|
|
|
|
593 |
|
|
|
|
|
617 |
|
|
| Edison International |
|
| 2.400% due 09/15/2022 |
|
|
|
|
30 |
|
|
|
|
|
30 |
|
| 2.950% due 03/15/2023 |
|
|
|
|
3 |
|
|
|
|
|
3 |
|
| 3.125% due 11/15/2022 |
|
|
|
|
34 |
|
|
|
|
|
35 |
|
| 3.550% due 11/15/2024 |
|
|
|
|
37 |
|
|
|
|
|
39 |
|
| 5.750% due 06/15/2027 |
|
|
|
|
31 |
|
|
|
|
|
36 |
|
|
| 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 (l) |
|
|
|
|
4,600 |
|
|
|
|
|
5,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Northwestern Bell Telephone |
|
| 7.750% due 05/01/2030 |
|
$ |
|
|
7,000 |
|
|
$ |
|
|
7,577 |
|
|
| Odebrecht Drilling Norbe Ltd. |
|
| 6.350% due 12/01/2021 ^ |
|
|
|
|
38 |
|
|
|
|
|
38 |
|
|
| Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
|
| 7.350% due 12/01/2026 ^(d) |
|
|
|
|
134 |
|
|
|
|
|
79 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. |
|
| 6.720% due 12/01/2022 ^ |
|
|
|
|
610 |
|
|
|
|
|
607 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
|
| 7.720% due 12/01/2026 ^(d) |
|
|
|
|
2,707 |
|
|
|
|
|
677 |
|
|
| Pacific Gas & Electric Co. |
|
| 3.250% due 09/15/2021 ^(e) |
|
|
|
|
119 |
|
|
|
|
|
127 |
|
| 3.300% due 03/15/2027 ^(e) |
|
|
|
|
1,070 |
|
|
|
|
|
1,118 |
|
| 3.300% due 12/01/2027 ^(e) |
|
|
|
|
300 |
|
|
|
|
|
312 |
|
| 3.400% due 08/15/2024 ^(e) |
|
|
|
|
218 |
|
|
|
|
|
231 |
|
| 3.500% due 06/15/2025 ^(e) |
|
|
|
|
365 |
|
|
|
|
|
385 |
|
| 3.750% due 02/15/2024 ^(e) |
|
|
|
|
76 |
|
|
|
|
|
81 |
|
| 3.750% due 08/15/2042 ^(e) |
|
|
|
|
10 |
|
|
|
|
|
10 |
|
| 3.850% due 11/15/2023 ^(e) |
|
|
|
|
196 |
|
|
|
|
|
210 |
|
| 4.000% due 12/01/2046 ^(e) |
|
|
|
|
4 |
|
|
|
|
|
4 |
|
| 4.250% due 05/15/2021 ^(e) |
|
|
|
|
816 |
|
|
|
|
|
867 |
|
| 4.250% due 08/01/2023 ^(e) |
|
|
|
|
552 |
|
|
|
|
|
607 |
|
| 4.300% due 03/15/2045 ^(e) |
|
|
|
|
11 |
|
|
|
|
|
12 |
|
| 4.500% due 12/15/2041 ^(e) |
|
|
|
|
10 |
|
|
|
|
|
11 |
|
| 4.600% due 06/15/2043 ^(e) |
|
|
|
|
8 |
|
|
|
|
|
9 |
|
| 4.650% due 08/01/2028 ^(e) |
|
|
|
|
515 |
|
|
|
|
|
599 |
|
| 4.750% due 02/15/2044 ^(e) |
|
|
|
|
382 |
|
|
|
|
|
435 |
|
| 5.125% due 11/15/2043 ^(e) |
|
|
|
|
637 |
|
|
|
|
|
727 |
|
| 5.400% due 01/15/2040 ^(e) |
|
|
|
|
8 |
|
|
|
|
|
9 |
|
| 5.800% due 03/01/2037 ^(e) |
|
|
|
|
1,998 |
|
|
|
|
|
2,303 |
|
| 6.050% due 03/01/2034 ^(e) |
|
|
|
|
989 |
|
|
|
|
|
1,139 |
|
| 6.250% due 03/01/2039 ^(e) |
|
|
|
|
299 |
|
|
|
|
|
344 |
|
| 6.350% due 02/15/2038 ^(e) |
|
|
|
|
396 |
|
|
|
|
|
459 |
|
|
| Petrobras Global Finance BV |
|
| 5.093% due 01/15/2030 |
|
|
|
|
2,378 |
|
|
|
|
|
2,612 |
|
| 6.625% due 01/16/2034 |
|
GBP |
|
|
100 |
|
|
|
|
|
161 |
|
|
| RCS & RDS S.A. |
|
| 2.500% due 02/05/2025 (c) |
|
EUR |
|
|
100 |
|
|
|
|
|
111 |
|
|
| Rio Oil Finance Trust |
|
| 9.250% due 07/06/2024 |
|
$ |
|
|
2,564 |
|
|
|
|
|
2,879 |
|
|
| Southern California Edison Co. |
|
| 2.850% due 08/01/2029 |
|
|
|
|
8 |
|
|
|
|
|
8 |
|
| 3.650% due 03/01/2028 |
|
|
|
|
3 |
|
|
|
|
|
3 |
|
| 3.650% due 02/01/2050 |
|
|
|
|
15 |
|
|
|
|
|
16 |
|
| 5.750% due 04/01/2035 |
|
|
|
|
4 |
|
|
|
|
|
5 |
|
| 6.000% due 01/15/2034 |
|
|
|
|
2 |
|
|
|
|
|
3 |
|
| 6.650% due 04/01/2029 |
|
|
|
|
18 |
|
|
|
|
|
23 |
|
|
| Southern California Gas Co. |
|
| 2.550% due 02/01/2030 |
|
|
|
|
38 |
|
|
|
|
|
39 |
|
|
| Sprint Communications, Inc. |
|
| 6.000% due 11/15/2022 |
|
|
|
|
229 |
|
|
|
|
|
237 |
|
|
| Sprint Corp. |
|
| 7.250% due 02/01/2028 (c) |
|
|
|
|
154 |
|
|
|
|
|
153 |
|
| 7.875% due 09/15/2023 |
|
|
|
|
1,852 |
|
|
|
|
|
1,971 |
|
|
| Talen Energy Supply LLC |
|
| 6.625% due 01/15/2028 |
|
|
|
|
14 |
|
|
|
|
|
14 |
|
|
| Transocean Poseidon Ltd. |
|
| 6.875% due 02/01/2027 |
|
|
|
|
54 |
|
|
|
|
|
57 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds & Notes
(Cost $175,259) |
|
|
185,215 |
|
|
|
|
|
|
|
|
| CONVERTIBLE BONDS & NOTES 0.8% |
|
|
|
| INDUSTRIALS 0.8% |
|
|
| Caesars Entertainment Corp. |
|
| 5.000% due 10/01/2024 |
|
|
|
|
486 |
|
|
|
|
|
939 |
|
|
| DISH Network Corp. |
|
| 3.375% due 08/15/2026 |
|
|
|
|
1,600 |
|
|
|
|
|
1,557 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,496 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| UTILITIES 0.0% |
|
|
| Ensco Jersey Finance Ltd. |
|
| 3.000% due 01/31/2024 |
|
$ |
|
|
4 |
|
|
$ |
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Convertible Bonds & Notes (Cost $2,509) |
|
|
2,499 |
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS & NOTES 5.0% |
|
|
|
| CALIFORNIA 0.2% |
|
|
| Riverside County, California Redevelopment Successor Agency Tax Allocation Bonds, Series
2010 |
|
| 7.500% due 10/01/2030 |
|
|
|
|
600 |
|
|
|
|
|
622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ILLINOIS 2.5% |
|
|
| Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 |
|
| 7.517% due 01/01/2040 |
|
|
|
|
6,000 |
|
|
|
|
|
8,022 |
|
|
| Chicago, Illinois General Obligation Bonds, Series 2017 |
|
| 7.045% due 01/01/2029 |
|
|
|
|
60 |
|
|
|
|
|
70 |
|
|
| Illinois State General Obligation Bonds, (BABs), Series 2010 |
|
| 6.725% due 04/01/2035 |
|
|
|
|
10 |
|
|
|
|
|
12 |
|
| 7.350% due 07/01/2035 |
|
|
|
|
10 |
|
|
|
|
|
13 |
|
|
| Illinois State General Obligation Bonds, Series 2003 |
|
| 5.100% due 06/01/2033 |
|
|
|
|
120 |
|
|
|
|
|
135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,252 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| VIRGINIA 0.1% |
|
|
| Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
|
| 6.706% due 06/01/2046 |
|
|
|
|
385 |
|
|
|
|
|
389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WEST VIRGINIA 2.2% |
|
|
| Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007 |
|
| 0.000% due 06/01/2047 (h) |
|
|
|
|
21,900 |
|
|
|
|
|
1,016 |
|
| 7.467% due 06/01/2047 |
|
|
|
|
5,685 |
|
|
|
|
|
6,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds & Notes (Cost $13,619) |
|
|
16,398 |
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCIES 3.6% |
|
|
| Fannie Mae |
|
| 3.500% due 12/25/2032 - 12/25/2049 (a) |
|
|
|
|
3,583 |
|
|
|
|
|
383 |
|
| 3.509% due 06/25/2043 •(a) |
|
|
|
|
500 |
|
|
|
|
|
103 |
|
| 4.000% due 11/25/2042 (a) |
|
|
|
|
1,635 |
|
|
|
|
|
221 |
|
| 4.389% due 02/25/2049 •(a) |
|
|
|
|
1,574 |
|
|
|
|
|
227 |
|
| 5.211% due 07/25/2029 • |
|
|
|
|
420 |
|
|
|
|
|
444 |
|
| 7.411% due 07/25/2029 • |
|
|
|
|
570 |
|
|
|
|
|
686 |
|
| 9.657% due 12/25/2040 • |
|
|
|
|
132 |
|
|
|
|
|
185 |
|
|
| Freddie Mac |
|
| 0.000% due 02/25/2046 (b)(h) |
|
|
|
|
3,139 |
|
|
|
|
|
2,934 |
|
| 0.100% due 02/25/2046 (a) |
|
|
|
|
37,667 |
|
|
|
|
|
21 |
|
| 0.289% due 11/25/2055 ~(a) |
|
|
|
|
16,900 |
|
|
|
|
|
1,421 |
|
| 2.550% due 11/25/2055 «~ |
|
|
|
|
4,010 |
|
|
|
|
|
2,434 |
|
| 3.000% due 11/15/2033 (a) |
|
|
|
|
3,483 |
|
|
|
|
|
302 |
|
| 6.438% due 11/15/2040 • |
|
|
|
|
208 |
|
|
|
|
|
259 |
|
| 9.211% due 12/25/2027 • |
|
|
|
|
1,489 |
|
|
|
|
|
1,789 |
|
| 12.411% due 03/25/2025 • |
|
|
|
|
288 |
|
|
|
|
|
377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Agencies
(Cost $11,180) |
|
|
11,786 |
|
|
|
|
|
|
|
|
| NON-AGENCY MORTGAGE-BACKED SECURITIES 9.2% |
|
|
| Banc of America Alternative Loan Trust |
|
| 6.000% due 01/25/2036 ^ |
|
|
|
|
36 |
|
|
|
|
|
36 |
|
|
| Banc of America Funding Trust |
|
| 6.000% due 08/25/2036 ^ |
|
|
|
|
730 |
|
|
|
|
|
723 |
|
|
| BCAP LLC Trust |
|
| 0.000% due 06/26/2036 ~ |
|
|
|
|
61 |
|
|
|
|
|
31 |
|
| 3.783% due 03/27/2036 ~ |
|
|
|
|
1,053 |
|
|
|
|
|
931 |
|
| 4.850% due 03/26/2037 þ |
|
|
|
|
357 |
|
|
|
|
|
435 |
|
|
|
|
|
|
|
|
|
|
| 64 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Bear Stearns ALT-A Trust |
|
| 1.981% due 06/25/2046 ^• |
|
$ |
|
|
1,434 |
|
|
$ |
|
|
1,666 |
|
| 3.801% due 11/25/2036 ^~ |
|
|
|
|
189 |
|
|
|
|
|
158 |
|
| 3.826% due 09/25/2047 ^~ |
|
|
|
|
2,526 |
|
|
|
|
|
2,040 |
|
| 4.229% due 09/25/2035 ^~ |
|
|
|
|
226 |
|
|
|
|
|
187 |
|
|
| 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 þ |
|
|
|
|
323 |
|
|
|
|
|
312 |
|
|
| CD Commercial Mortgage Trust |
|
| 5.398% due 12/11/2049 ~ |
|
|
|
|
1 |
|
|
|
|
|
1 |
|
|
| CD Mortgage Trust |
|
| 5.688% due 10/15/2048 |
|
|
|
|
2,704 |
|
|
|
|
|
1,636 |
|
|
| Chase Mortgage Finance Trust |
|
| 3.794% due 12/25/2035 ^~ |
|
|
|
|
3 |
|
|
|
|
|
3 |
|
| 6.000% due 02/25/2037 ^ |
|
|
|
|
405 |
|
|
|
|
|
285 |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
283 |
|
|
|
|
|
226 |
|
| 6.250% due 10/25/2036 ^ |
|
|
|
|
810 |
|
|
|
|
|
604 |
|
|
| Citicorp Mortgage Securities Trust |
|
| 5.500% due 04/25/2037 |
|
|
|
|
38 |
|
|
|
|
|
40 |
|
|
| Commercial Mortgage Loan Trust |
|
| 6.254% due 12/10/2049 ~ |
|
|
|
|
812 |
|
|
|
|
|
539 |
|
|
| Countrywide Alternative Loan Resecuritization Trust |
|
| 6.000% due 05/25/2036 ^ |
|
|
|
|
1,035 |
|
|
|
|
|
865 |
|
| 6.000% due 08/25/2037 ^~ |
|
|
|
|
478 |
|
|
|
|
|
372 |
|
|
| Countrywide Alternative Loan Trust |
|
| 2.011% due 05/25/2037 ^• |
|
|
|
|
162 |
|
|
|
|
|
72 |
|
| 4.538% due 04/25/2036 ^~ |
|
|
|
|
442 |
|
|
|
|
|
409 |
|
| 5.500% due 03/25/2035 |
|
|
|
|
133 |
|
|
|
|
|
96 |
|
| 5.500% due 12/25/2035 ^ |
|
|
|
|
1,461 |
|
|
|
|
|
1,205 |
|
| 5.750% due 01/25/2035 |
|
|
|
|
119 |
|
|
|
|
|
123 |
|
| 6.000% due 02/25/2035 |
|
|
|
|
172 |
|
|
|
|
|
171 |
|
| 6.000% due 08/25/2036 ^• |
|
|
|
|
190 |
|
|
|
|
|
167 |
|
| 6.000% due 04/25/2037 ^ |
|
|
|
|
496 |
|
|
|
|
|
350 |
|
| 6.250% due 11/25/2036 ^ |
|
|
|
|
329 |
|
|
|
|
|
302 |
|
| 6.250% due 12/25/2036 ^• |
|
|
|
|
833 |
|
|
|
|
|
592 |
|
| 6.500% due 08/25/2036 ^ |
|
|
|
|
228 |
|
|
|
|
|
136 |
|
|
| Countrywide Home Loan Mortgage Pass-Through Trust |
|
| 3.747% due 02/20/2035 ~ |
|
|
|
|
10 |
|
|
|
|
|
10 |
|
| 5.500% due 10/25/2035 ^ |
|
|
|
|
263 |
|
|
|
|
|
241 |
|
| 6.250% due 09/25/2036 ^ |
|
|
|
|
253 |
|
|
|
|
|
189 |
|
|
| Deutsche Mortgage Securities, Inc. Mortgage
Loan Trust |
|
| 3.742% due 06/25/2034 • |
|
|
|
|
2,030 |
|
|
|
|
|
2,056 |
|
|
| Eurosail PLC |
|
| 4.800% due 06/13/2045 • |
|
GBP |
|
|
239 |
|
|
|
|
|
286 |
|
|
| GS Mortgage Securities Trust |
|
| 5.622% due 11/10/2039 |
|
$ |
|
|
299 |
|
|
|
|
|
234 |
|
|
| GSR Mortgage Loan Trust |
|
| 5.500% due 05/25/2036 ^ |
|
|
|
|
28 |
|
|
|
|
|
49 |
|
| 6.000% due 02/25/2036 ^ |
|
|
|
|
1,665 |
|
|
|
|
|
1,219 |
|
|
| HarborView Mortgage Loan Trust |
|
| 2.378% due 01/19/2035 • |
|
|
|
|
74 |
|
|
|
|
|
74 |
|
| 4.317% due 07/19/2035 ^~ |
|
|
|
|
20 |
|
|
|
|
|
19 |
|
|
| IndyMac Mortgage Loan Trust |
|
| 6.500% due 07/25/2037 ^ |
|
|
|
|
1,660 |
|
|
|
|
|
946 |
|
|
| JPMorgan Alternative Loan Trust |
|
| 3.667% due 03/25/2037 ^~ |
|
|
|
|
610 |
|
|
|
|
|
606 |
|
| 3.903% due 03/25/2036 ^~ |
|
|
|
|
747 |
|
|
|
|
|
683 |
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust |
|
| 5.623% due 05/12/2045 |
|
|
|
|
52 |
|
|
|
|
|
48 |
|
|
| JPMorgan Mortgage Trust |
|
| 3.640% due 02/25/2036 ^~ |
|
|
|
|
140 |
|
|
|
|
|
116 |
|
| 4.024% due 01/25/2037 ^~ |
|
|
|
|
179 |
|
|
|
|
|
173 |
|
|
| LB-UBS Commercial Mortgage Trust |
|
| 5.407% due 11/15/2038 ^ |
|
|
|
|
351 |
|
|
|
|
|
209 |
|
| 5.562% due 02/15/2040 ^~ |
|
|
|
|
134 |
|
|
|
|
|
80 |
|
|
| Lehman XS Trust |
|
| 1.881% due 06/25/2047 • |
|
|
|
|
769 |
|
|
|
|
|
709 |
|
|
| Merrill Lynch Mortgage Investors Trust |
|
| 4.081% due 03/25/2036 ^~ |
|
|
|
|
797 |
|
|
|
|
|
566 |
|
|
| Morgan Stanley Mortgage Loan Trust |
|
| 5.962% due 06/25/2036 ^~ |
|
|
|
|
2,439 |
|
|
|
|
|
994 |
|
|
| Motel 6 Trust |
|
| 8.603% due 08/15/2024 • |
|
|
|
|
355 |
|
|
|
|
|
362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Residential Asset Securitization Trust |
|
| 5.750% due 02/25/2036 ^ |
|
$ |
|
|
486 |
|
|
$ |
|
|
336 |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
670 |
|
|
|
|
|
405 |
|
| 6.250% due 09/25/2037 ^ |
|
|
|
|
1,223 |
|
|
|
|
|
745 |
|
|
| Residential Funding Mortgage Securities, Inc. Trust |
|
| 5.277% due 08/25/2036 ^~ |
|
|
|
|
414 |
|
|
|
|
|
404 |
|
| 6.000% due 09/25/2036 ^ |
|
|
|
|
100 |
|
|
|
|
|
94 |
|
| 6.000% due 06/25/2037 ^ |
|
|
|
|
1,055 |
|
|
|
|
|
1,042 |
|
|
| Structured Adjustable Rate Mortgage Loan Trust |
|
| 3.731% due 11/25/2036 ^~ |
|
|
|
|
622 |
|
|
|
|
|
598 |
|
| 3.856% due 01/25/2036 ^~ |
|
|
|
|
639 |
|
|
|
|
|
475 |
|
|
| SunTrust Adjustable Rate Mortgage Loan Trust |
|
| 4.049% due 02/25/2037 ^~ |
|
|
|
|
99 |
|
|
|
|
|
95 |
|
| 4.452% due 04/25/2037 ^~ |
|
|
|
|
499 |
|
|
|
|
|
417 |
|
|
| WaMu Mortgage Pass-Through Certificates Trust |
|
| 2.600% due 12/25/2046 • |
|
|
|
|
284 |
|
|
|
|
|
290 |
|
| 3.688% due 10/25/2036 ^~ |
|
|
|
|
366 |
|
|
|
|
|
345 |
|
| 3.813% due 02/25/2037 ^~ |
|
|
|
|
242 |
|
|
|
|
|
233 |
|
|
| Wells Fargo Mortgage-Backed Securities Trust |
|
| 6.000% due 06/25/2037 ^ |
|
|
|
|
43 |
|
|
|
|
|
44 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities (Cost
$27,595) |
|
|
30,206 |
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES 18.5% |
|
|
| Adagio CLO DAC |
|
| 0.000% due 04/30/2031 ~ |
|
EUR |
|
|
1,750 |
|
|
|
|
|
1,322 |
|
|
| Apidos CLO |
|
| 0.000% due 01/20/2031 ~ |
|
$ |
|
|
2,200 |
|
|
|
|
|
1,512 |
|
|
| Argent Securities Trust |
|
| 1.851% due 03/25/2036 • |
|
|
|
|
7,069 |
|
|
|
|
|
4,406 |
|
|
| Asset-Backed Funding Certificates Trust |
|
| 1.811% due 10/25/2036 • |
|
|
|
|
4,279 |
|
|
|
|
|
4,085 |
|
|
| Avoca CLO DAC |
|
| 0.000% due 07/15/2032 ~ |
|
EUR |
|
|
1,070 |
|
|
|
|
|
970 |
|
|
| Bear Stearns Asset-Backed Securities Trust |
|
| 6.500% due 10/25/2036 ^ |
|
$ |
|
|
214 |
|
|
|
|
|
161 |
|
|
| Belle Haven ABS CDO Ltd. |
|
| 2.539% due 07/05/2046 • |
|
|
|
|
85,896 |
|
|
|
|
|
120 |
|
|
| BlueMountain CLO Ltd. |
|
| 7.298% due 04/13/2027 • |
|
|
|
|
1,000 |
|
|
|
|
|
1,000 |
|
|
| CIFC Funding Ltd. |
|
| 0.000% due 04/24/2030 ~ |
|
|
|
|
1,200 |
|
|
|
|
|
584 |
|
| 0.000% due 10/22/2031 ~ |
|
|
|
|
1,000 |
|
|
|
|
|
434 |
|
|
| Citigroup Mortgage Loan Trust |
|
| 1.811% due 12/25/2036 • |
|
|
|
|
3,431 |
|
|
|
|
|
1,847 |
|
| 1.821% due 12/25/2036 • |
|
|
|
|
875 |
|
|
|
|
|
605 |
|
|
| Countrywide Asset-Backed Certificates |
|
| 1.801% due 06/25/2047 ^• |
|
|
|
|
634 |
|
|
|
|
|
584 |
|
| 1.861% due 06/25/2047 ^• |
|
|
|
|
4,314 |
|
|
|
|
|
3,991 |
|
|
| Dryden CLO Ltd. |
|
| 0.000% due 07/17/2031 ~ |
|
|
|
|
5,689 |
|
|
|
|
|
4,377 |
|
|
| Flagship Credit Auto Trust |
|
| 0.000% due 05/15/2025 «(h) |
|
|
|
|
4 |
|
|
|
|
|
436 |
|
|
| Grosvenor Place CLO BV |
|
| 0.000% due 04/30/2029 ~ |
|
EUR |
|
|
250 |
|
|
|
|
|
171 |
|
|
| GSAMP Trust |
|
| 1.921% due 02/25/2046 • |
|
$ |
|
|
3,312 |
|
|
|
|
|
3,212 |
|
| 2.636% due 03/25/2035 ^• |
|
|
|
|
5,355 |
|
|
|
|
|
4,893 |
|
|
| Jay Park CLO Ltd. |
|
| 0.000% due 10/20/2027 ~ |
|
|
|
|
2,700 |
|
|
|
|
|
1,545 |
|
|
| JPMorgan Mortgage Acquisition Trust |
|
| 1.981% due 04/25/2036 • |
|
|
|
|
6,000 |
|
|
|
|
|
5,759 |
|
|
| Lehman XS Trust |
|
| 6.290% due 06/24/2046 þ |
|
|
|
|
1,232 |
|
|
|
|
|
1,235 |
|
|
| Marlette Funding Trust |
|
| 0.000% due 07/16/2029 «(h) |
|
|
|
|
6 |
|
|
|
|
|
1,658 |
|
| 0.000% due 03/15/2030 «(h) |
|
|
|
|
3 |
|
|
|
|
|
1,035 |
|
|
| Merrill Lynch Mortgage Investors Trust |
|
| 1.821% due 04/25/2037 • |
|
|
|
|
250 |
|
|
|
|
|
151 |
|
|
| Morgan Stanley Mortgage Loan Trust |
|
| 1.781% due 04/25/2037 • |
|
|
|
|
3,226 |
|
|
|
|
|
1,459 |
|
| 6.250% due 02/25/2037 ^~ |
|
|
|
|
305 |
|
|
|
|
|
213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Residential Asset Mortgage Products Trust |
|
| 1.941% due 09/25/2036 • |
|
$ |
|
|
214 |
|
|
$ |
|
|
209 |
|
|
| Securitized Asset-Backed Receivables LLC Trust |
|
| 1.801% due 05/25/2036 • |
|
|
|
|
5,130 |
|
|
|
|
|
3,405 |
|
|
| SLM Student Loan EDC Repackaging Trust |
|
| 0.000% due 10/28/2029 «(h) |
|
|
|
|
1 |
|
|
|
|
|
1,448 |
|
|
| SLM Student Loan Trust |
|
| 0.000% due 01/25/2042 «(h) |
|
|
|
|
2 |
|
|
|
|
|
1,315 |
|
|
| SoFi Consumer Loan Program LLC |
|
| 0.000% due 11/25/2026 «(h) |
|
|
|
|
22 |
|
|
|
|
|
1,044 |
|
|
| SoFi Professional Loan Program LLC |
|
| 0.000% due 05/25/2040 (h) |
|
|
|
|
2,100 |
|
|
|
|
|
741 |
|
| 0.000% due 09/25/2040 (h) |
|
|
|
|
846 |
|
|
|
|
|
410 |
|
|
| South Coast Funding Ltd. |
|
| 2.501% due 08/10/2038 • |
|
|
|
|
5,657 |
|
|
|
|
|
950 |
|
|
| Symphony CLO Ltd. |
|
| 6.438% due 07/14/2026 • |
|
|
|
|
1,000 |
|
|
|
|
|
965 |
|
|
| Taberna Preferred Funding Ltd. |
|
| 2.271% due 08/05/2036 • |
|
|
|
|
158 |
|
|
|
|
|
140 |
|
| 2.271% due 08/05/2036 ^• |
|
|
|
|
2,955 |
|
|
|
|
|
2,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities
(Cost $63,980) |
|
|
61,026 |
|
|
|
|
|
|
|
|
| SOVEREIGN ISSUES 5.2% |
|
|
| Argentina Government International Bond |
|
| 2.500% due 07/22/2021 |
|
ARS |
|
|
7,772 |
|
|
|
|
|
67 |
|
| 3.375% due 01/15/2023 |
|
EUR |
|
|
100 |
|
|
|
|
|
50 |
|
| 3.380% due 12/31/2038 þ |
|
|
|
|
1,734 |
|
|
|
|
|
803 |
|
| 4.000% due 03/06/2020 |
|
ARS |
|
|
52,053 |
|
|
|
|
|
539 |
|
| 5.250% due 01/15/2028 |
|
EUR |
|
|
100 |
|
|
|
|
|
47 |
|
| 6.250% due 11/09/2047 |
|
|
|
|
100 |
|
|
|
|
|
46 |
|
| 7.820% due 12/31/2033 |
|
|
|
|
5,220 |
|
|
|
|
|
3,090 |
|
| 15.500% due 10/17/2026 |
|
ARS |
|
|
26,000 |
|
|
|
|
|
105 |
|
| 38.154% (BADLARPP + 2.000%) due 04/03/2022 ~ |
|
|
|
|
30,292 |
|
|
|
|
|
230 |
|
| 42.524% (BADLARPP + 3.250%) due 03/01/2020 ~ |
|
|
|
|
700 |
|
|
|
|
|
8 |
|
| 42.781% (BADLARPP) due 10/04/2022 ~ |
|
|
|
|
28 |
|
|
|
|
|
0 |
|
| 53.323% (ARLLMONP) due 06/21/2020 ~(a) |
|
|
|
|
68,813 |
|
|
|
|
|
569 |
|
|
| Autonomous City of Buenos Aires Argentina |
|
| 39.421% due 03/29/2024 • |
|
|
|
|
45,317 |
|
|
|
|
|
473 |
|
| 39.745% (BADLARPP + 5.000%) due 01/23/2022 ~ |
|
|
|
|
43,600 |
|
|
|
|
|
484 |
|
|
| Autonomous Community of Catalonia |
|
| 4.900% due 09/15/2021 |
|
EUR |
|
|
700 |
|
|
|
|
|
835 |
|
|
| Peru Government International Bond |
|
| 5.400% due 08/12/2034 |
|
PEN |
|
|
5 |
|
|
|
|
|
2 |
|
| 5.940% due 02/12/2029 |
|
|
|
|
1,257 |
|
|
|
|
|
426 |
|
| 6.150% due 08/12/2032 |
|
|
|
|
184 |
|
|
|
|
|
63 |
|
| 6.350% due 08/12/2028 |
|
|
|
|
3,092 |
|
|
|
|
|
1,075 |
|
| 6.900% due 08/12/2037 |
|
|
|
|
45 |
|
|
|
|
|
16 |
|
| 6.950% due 08/12/2031 |
|
|
|
|
463 |
|
|
|
|
|
168 |
|
| 8.200% due 08/12/2026 |
|
|
|
|
2,161 |
|
|
|
|
|
818 |
|
|
| Provincia de Buenos Aires |
|
| 39.293% (BADLARPP + 3.750%) due 04/12/2025 ~ |
|
ARS |
|
|
217,314 |
|
|
|
|
|
1,431 |
|
|
| South Africa Government International Bond |
|
| 4.850% due 09/30/2029 |
|
$ |
|
|
600 |
|
|
|
|
|
607 |
|
| 5.750% due 09/30/2049 |
|
|
|
|
600 |
|
|
|
|
|
592 |
|
|
| Turkey Government International Bond |
|
| 4.625% due 03/31/2025 |
|
EUR |
|
|
800 |
|
|
|
|
|
975 |
|
| 5.200% due 02/16/2026 |
|
|
|
|
300 |
|
|
|
|
|
374 |
|
| 5.600% due 11/14/2024 |
|
$ |
|
|
1,400 |
|
|
|
|
|
1,477 |
|
| 7.625% due 04/26/2029 |
|
|
|
|
900 |
|
|
|
|
|
1,048 |
|
|
| Ukraine Government International Bond |
|
| 4.375% due 01/27/2030 |
|
EUR |
|
|
582 |
|
|
|
|
|
642 |
|
|
| Venezuela Government International Bond |
|
| 6.000% due 12/09/2020 ^(e) |
|
$ |
|
|
120 |
|
|
|
|
|
15 |
|
| 8.250% due 10/13/2024 ^(e) |
|
|
|
|
12 |
|
|
|
|
|
2 |
|
| 9.250% due 09/15/2027 ^(e) |
|
|
|
|
151 |
|
|
|
|
|
19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Issues (Cost $26,419) |
|
|
17,096 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
65 |
Schedule of Investments PIMCO Income
Strategy Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
MARKET
VALUE
(000S) |
|
| COMMON STOCKS 1.3% |
|
|
|
| COMMUNICATION SERVICES 0.3% |
|
|
|
|
|
|
| Clear Channel Outdoor Holdings, Inc. (f) |
|
|
|
|
261,329 |
|
|
$ |
|
|
713 |
|
|
|
|
|
|
| iHeartMedia, Inc. (f) |
|
|
|
|
197 |
|
|
|
|
|
3 |
|
|
|
|
|
|
| iHeartMedia, Inc. ‘A’ (f) |
|
|
|
|
14,710 |
|
|
|
|
|
260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER DISCRETIONARY 0.9% |
|
|
|
|
|
|
| Caesars Entertainment Corp. (f) |
|
|
|
|
227,344 |
|
|
|
|
|
3,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY 0.0% |
|
|
|
|
|
|
| Forbes Energy Services Ltd. (f)(j) |
|
|
|
|
13,350 |
|
|
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.1% |
|
|
|
|
|
|
| Westmoreland Mining Holdings
LLC «(f)(j) |
|
|
|
|
25,438 |
|
|
|
|
|
318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks (Cost $5,643) |
|
|
4,404 |
|
|
|
|
|
|
|
|
| WARRANTS 0.8% |
|
|
|
| COMMUNICATION SERVICES 0.5% |
|
|
|
|
|
|
| iHeartMedia, Inc. |
|
|
|
|
95,797 |
|
|
|
|
|
1,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.3% |
|
|
|
|
|
|
| Sequa Corp. - Exp. 04/28/2024 « |
|
|
|
|
394,000 |
|
|
|
|
|
872 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants (Cost $2,083) |
|
|
2,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
MARKET
VALUE
(000S) |
|
| PREFERRED SECURITIES 4.9% |
|
|
|
| BANKING & FINANCE 1.5% |
|
|
| Banco Bilbao Vizcaya Argentaria S.A. |
|
| 6.750% due 02/18/2020 •(i) |
|
|
|
|
1,000,000 |
|
|
$ |
|
|
1,112 |
|
|
| Banco Santander S.A. |
|
| 6.250% due 09/11/2021 •(i) |
|
|
|
|
200,000 |
|
|
|
|
|
238 |
|
|
| Brighthouse Holdings LLC |
|
| 6.500% due 07/27/2037 þ(i) |
|
|
|
|
35,000 |
|
|
|
|
|
37 |
|
|
| Nationwide Building Society |
|
| 10.250% ~ |
|
|
|
|
16,350 |
|
|
|
|
|
3,648 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 3.4% |
|
|
| General Electric Co. |
|
| 5.000% due 01/21/2021 •(i) |
|
|
|
|
127,000 |
|
|
|
|
|
126 |
|
|
| Sequa Corp. (12.000% PIK) |
|
| 12.000% «(d) |
|
|
|
|
9,446 |
|
|
|
|
|
11,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Securities (Cost $11,842) |
|
|
16,266 |
|
|
|
|
|
|
|
|
| REAL ESTATE INVESTMENT TRUSTS 1.6% |
|
|
|
| REAL ESTATE 1.6% |
|
|
|
|
|
|
| VICI Properties, Inc. |
|
|
|
|
202,347 |
|
|
|
|
|
5,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Real Estate Investment Trusts
(Cost $2,691) |
|
|
5,423 |
|
|
|
|
|
|
|
|
| SHORT-TERM INSTRUMENTS 4.6% |
|
|
|
| REPURCHASE AGREEMENTS (k) 4.3% |
|
|
|
|
|
|
|
|
|
|
|
|
14,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| ARGENTINA TREASURY BILLS 0.1% |
|
| 38.342% due 04/03/2020 ~ |
|
ARS |
|
|
2,960 |
|
|
$ |
|
|
34 |
|
| 38.686% due 06/22/2020 ~ |
|
|
|
|
6,650 |
|
|
|
|
|
77 |
|
| 54.210% due 02/26/2020 - 08/27/2020 (g)(h) |
|
|
|
|
22,251 |
|
|
|
|
|
257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY BILLS 0.2% |
|
| 1.526% due 03/26/2020 (h)(o) |
|
$ |
|
|
576 |
|
|
|
|
|
575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Instruments
(Cost $15,359) |
|
|
15,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
(Cost $410,967) |
|
|
418,638 |
|
|
|
|
|
|
|
|
Total Investments 127.2%
(Cost $410,967) |
|
|
$ |
|
|
418,638 |
|
|
|
| Financial Derivative
Instruments (m)(n) 0.0%
(Cost or Premiums, net $1,791) |
|
|
|
|
|
124 |
|
|
|
| Auction Rate Preferred Shares (13.7)% |
|
|
|
|
|
(45,200 |
) |
|
|
| Other Assets and Liabilities, net (13.5)% |
|
|
(44,414 |
) |
|
|
|
|
|
| Net Assets Applicable to Common Shareholders 100.0% |
|
|
$ |
|
|
329,148 |
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
| * |
A zero balance may reflect actual amounts rounding to less than one thousand. |
| ^ |
Security is in default. |
| « |
Security valued using significant unobservable inputs (Level 3). |
| µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be
determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
| ~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are
not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a
reference rate and/or spread in their description. |
| • |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and
may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in
effect as of period end. |
| (a) |
Interest only security. |
| (b) |
Principal only security. |
| (c) |
When-issued security. |
| (d) |
Payment in-kind security. |
| (e) |
Security is not accruing income as of the date of this report. |
| (f) |
Security did not produce income within the last twelve months. |
| (g) |
Coupon represents a weighted average yield to maturity. |
| (h) |
Zero coupon security. |
| (i) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
|
|
|
|
|
|
|
|
|
| 66 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
(j) RESTRICTED SECURITIES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Issuer Description |
|
|
|
|
|
Acquisition
Date |
|
Cost |
|
|
Market
Value |
|
|
Market Value
as Percentage
of Net Assets
Applicable
to Common
Shareholders |
|
| Forbes Energy Services Ltd. |
|
|
|
|
|
10/09/2014 - 11/18/2016 |
|
$ |
532 |
|
|
$ |
2 |
|
|
|
0.00 |
% |
| Westmoreland Mining Holdings LLC |
|
|
|
|
|
12/08/2014 - 10/19/2016 |
|
|
733 |
|
|
|
318 |
|
|
|
0.10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,265 |
|
|
$ |
320 |
|
|
|
0.10 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS AND OTHER
FINANCING TRANSACTIONS
(k) REPURCHASE AGREEMENTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Lending
Rate |
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Principal
Amount |
|
|
Collateralized By |
|
Collateral
(Received) |
|
|
Repurchase
Agreements,
at Value |
|
|
Repurchase
Agreement
Proceeds
to be
Received(1) |
|
| BPG |
|
|
1.640 |
% |
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
$ |
4,300 |
|
|
U.S. Treasury Notes 3.125% due 11/15/2028 |
|
$ |
(4,401 |
) |
|
$ |
4,300 |
|
|
$ |
4,300 |
|
| BSN |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
600 |
|
|
U.S. Treasury Notes 2.500% due 03/31/2023 |
|
|
(614 |
) |
|
|
600 |
|
|
|
600 |
|
| FICC |
|
|
1.250 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
646 |
|
|
U.S. Treasury Inflation Protected Securities 1.250% due 07/15/2020 |
|
|
(659 |
) |
|
|
646 |
|
|
|
646 |
|
| MBC |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
4,300 |
|
|
U.S. Treasury Notes 1.875% due 01/31/2022 |
|
|
(4,443 |
) |
|
|
4,300 |
|
|
|
4,301 |
|
| TDM |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
4,300 |
|
|
U.S. Treasury Notes 1.750% due 05/15/2023 |
|
|
(4,414 |
) |
|
|
4,300 |
|
|
|
4,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Repurchase Agreements |
|
|
|
|
$ |
(14,531 |
) |
|
$ |
14,146 |
|
|
$ |
14,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REVERSE
REPURCHASE AGREEMENTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Borrowing
Rate(2) |
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed(2) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
| BCY |
|
|
2.000 |
% |
|
|
11/01/2019 |
|
|
|
TBD |
(3) |
|
$ |
|
|
(1,145 |
) |
|
$ |
(1,151 |
) |
| BOS |
|
|
1.970 |
|
|
|
01/09/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
(2,892 |
) |
|
|
(2,896 |
) |
| BPS |
|
|
2.100 |
|
|
|
01/29/2020 |
|
|
|
03/02/2020 |
|
|
|
|
|
(4,355 |
) |
|
|
(4,356 |
) |
| BRC |
|
|
(7.000 |
) |
|
|
01/22/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
(121 |
) |
|
|
(121 |
) |
|
|
|
1.000 |
|
|
|
01/31/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
(206 |
) |
|
|
(206 |
) |
| CEW |
|
|
2.250 |
|
|
|
01/17/2020 |
|
|
|
02/20/2020 |
|
|
|
|
|
(2,942 |
) |
|
|
(2,945 |
) |
| CIW |
|
|
2.000 |
|
|
|
01/08/2020 |
|
|
|
02/10/2020 |
|
|
|
|
|
(1,862 |
) |
|
|
(1,865 |
) |
| JML |
|
|
(0.300 |
) |
|
|
01/15/2020 |
|
|
|
04/15/2020 |
|
|
EUR |
|
|
(1,399 |
) |
|
|
(1,551 |
) |
|
|
|
0.950 |
|
|
|
01/17/2020 |
|
|
|
04/17/2020 |
|
|
GBP |
|
|
(192 |
) |
|
|
(253 |
) |
|
|
|
0.950 |
|
|
|
01/28/2020 |
|
|
|
04/28/2020 |
|
|
|
|
|
(1,900 |
) |
|
|
(2,510 |
) |
|
|
|
2.350 |
|
|
|
11/08/2019 |
|
|
|
02/06/2020 |
|
|
$ |
|
|
(4,294 |
) |
|
|
(4,318 |
) |
| JPS |
|
|
1.650 |
|
|
|
01/09/2020 |
|
|
|
02/10/2020 |
|
|
|
|
|
(1,021 |
) |
|
|
(1,022 |
) |
| RDR |
|
|
1.900 |
|
|
|
01/28/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
(3,119 |
) |
|
|
(3,120 |
) |
|
|
|
1.950 |
|
|
|
01/06/2020 |
|
|
|
02/07/2020 |
|
|
|
|
|
(2,394 |
) |
|
|
(2,398 |
) |
| UBS |
|
|
2.000 |
|
|
|
01/30/2020 |
|
|
|
03/03/2020 |
|
|
|
|
|
(4,016 |
) |
|
|
(4,017 |
) |
|
|
|
2.200 |
|
|
|
01/30/2020 |
|
|
|
03/03/2020 |
|
|
|
|
|
(4,301 |
) |
|
|
(4,302 |
) |
|
|
|
2.250 |
|
|
|
01/08/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
(3,936 |
) |
|
|
(3,943 |
) |
|
|
|
2.350 |
|
|
|
01/07/2020 |
|
|
|
02/10/2020 |
|
|
|
|
|
(2,947 |
) |
|
|
(2,952 |
) |
|
|
|
2.450 |
|
|
|
12/04/2019 |
|
|
|
03/03/2020 |
|
|
|
|
|
(1,235 |
) |
|
|
(1,240 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Reverse Repurchase Agreements |
|
|
$ |
(45,166 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS AND OTHER
FINANCING TRANSACTIONS SUMMARY
The
following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Repurchase
Agreement
Proceeds
to be
Received(1) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
|
Payable for
Sale-Buyback
Transactions |
|
|
Total
Borrowings and
Other Financing
Transactions |
|
|
Collateral
Pledged/(Received) |
|
|
Net
Exposure(4) |
|
| Global/Master Repurchase Agreement |
|
| BCY |
|
$ |
0 |
|
|
$ |
(1,151 |
) |
|
$ |
0 |
|
|
$ |
(1,151 |
) |
|
$ |
1,251 |
|
|
$ |
100 |
|
| BOS |
|
|
0 |
|
|
|
(2,896 |
) |
|
|
0 |
|
|
|
(2,896 |
) |
|
|
3,060 |
|
|
|
164 |
|
| BPG |
|
|
4,300 |
|
|
|
0 |
|
|
|
0 |
|
|
|
4,300 |
|
|
|
(4,401 |
) |
|
|
(101 |
) |
| BPS |
|
|
0 |
|
|
|
(4,356 |
) |
|
|
0 |
|
|
|
(4,356 |
) |
|
|
5,065 |
|
|
|
709 |
|
| BRC |
|
|
0 |
|
|
|
(327 |
) |
|
|
0 |
|
|
|
(327 |
) |
|
|
328 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
67 |
Schedule of Investments PIMCO Income
Strategy Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Repurchase
Agreement
Proceeds
to be
Received(1) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
|
Payable for
Sale-Buyback
Transactions |
|
|
Total
Borrowings and
Other Financing
Transactions |
|
|
Collateral
Pledged/(Received) |
|
|
Net
Exposure(4) |
|
| BSN |
|
$ |
600 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
600 |
|
|
$ |
(614 |
) |
|
$ |
(14 |
) |
| CEW |
|
|
0 |
|
|
|
(2,945 |
) |
|
|
0 |
|
|
|
(2,945 |
) |
|
|
3,267 |
|
|
|
322 |
|
| CIW |
|
|
0 |
|
|
|
(1,865 |
) |
|
|
0 |
|
|
|
(1,865 |
) |
|
|
1,933 |
|
|
|
68 |
|
| FICC |
|
|
646 |
|
|
|
0 |
|
|
|
0 |
|
|
|
646 |
|
|
|
(659 |
) |
|
|
(13 |
) |
| JML |
|
|
0 |
|
|
|
(8,632 |
) |
|
|
0 |
|
|
|
(8,632 |
) |
|
|
9,930 |
|
|
|
1,298 |
|
| JPS |
|
|
0 |
|
|
|
(1,022 |
) |
|
|
0 |
|
|
|
(1,022 |
) |
|
|
1,116 |
|
|
|
94 |
|
| MBC |
|
|
4,301 |
|
|
|
0 |
|
|
|
0 |
|
|
|
4,301 |
|
|
|
(4,443 |
) |
|
|
(142 |
) |
| RDR |
|
|
0 |
|
|
|
(5,518 |
) |
|
|
0 |
|
|
|
(5,518 |
) |
|
|
5,828 |
|
|
|
310 |
|
| TDM |
|
|
4,301 |
|
|
|
0 |
|
|
|
0 |
|
|
|
4,301 |
|
|
|
(4,414 |
) |
|
|
(113 |
) |
| UBS |
|
|
0 |
|
|
|
(16,454 |
) |
|
|
0 |
|
|
|
(16,454 |
) |
|
|
18,640 |
|
|
|
2,186 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings and Other Financing Transactions |
|
$ |
14,148 |
|
|
$ |
(45,166 |
) |
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED
FOR AS SECURED BORROWINGS
Remaining Contractual Maturity
of the Agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Overnight and
Continuous |
|
|
Up to 30 days |
|
|
31-90 days |
|
|
Greater Than 90 days |
|
|
Total |
|
| Reverse Repurchase Agreements |
|
| Corporate Bonds & Notes |
|
$ |
0 |
|
|
$ |
(22,339 |
) |
|
$ |
(18,229 |
) |
|
$ |
(4,598 |
) |
|
$ |
(45,166 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings |
|
$ |
0 |
|
|
$ |
(22,339 |
) |
|
$ |
(18,229 |
) |
|
$ |
(4,598 |
) |
|
$ |
(45,166 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payable for reverse repurchase agreements |
|
|
$ |
(45,166 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (l) |
Securities with an aggregate market value of $50,689 have been pledged as collateral under the terms of the above master
agreements as of January 31, 2020. |
| (1) |
Includes accrued interest. |
| (2) |
The average amount of borrowings outstanding during the period ended January 31, 2020 was $(51,631) at a weighted average interest
rate of 2.268%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| (3) |
Open maturity reverse repurchase agreement. |
| (4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for
more information. |
(m) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES
- SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Implied
Credit Spread at
January 31, 2020(2) |
|
|
Notional
Amount(3)
|
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value(4)
|
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Bombardier, Inc. |
|
|
5.000 |
% |
|
|
Quarterly |
|
|
|
06/20/2024 |
|
|
|
4.893 |
% |
|
|
$ |
|
|
|
300 |
|
|
$ |
(1 |
) |
|
$ |
4 |
|
|
$ |
3 |
|
|
$ |
0 |
|
|
$ |
(1 |
) |
| Bombardier, Inc. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
5.130 |
|
|
|
|
|
|
|
700 |
|
|
|
(3 |
) |
|
|
4 |
|
|
|
1 |
|
|
|
0 |
|
|
|
(1 |
) |
| Frontier Communications Corp. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
06/20/2020 |
|
|
|
357.443 |
|
|
|
|
|
|
|
2,900 |
|
|
|
(95 |
) |
|
|
(1,294 |
) |
|
|
(1,389 |
) |
|
|
35 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(99 |
) |
|
$ |
(1,286 |
) |
|
$ |
(1,385 |
) |
|
$ |
35 |
|
|
$ |
(2 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/Receive
Floating Rate |
|
Floating Rate Index |
|
Fixed Rate |
|
|
Payment
Frequency |
|
Maturity
Date |
|
|
Notional
Amount |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value |
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Receive |
|
3-Month USD-LIBOR |
|
|
3.000 |
% |
|
Semi-Annual |
|
|
06/19/2022 |
|
|
|
$ |
|
|
|
24,600 |
|
|
$ |
(780 |
) |
|
$ |
(194 |
) |
|
$ |
(974 |
) |
|
$ |
0 |
|
|
$ |
(38 |
) |
| Pay |
|
3-Month USD-LIBOR |
|
|
2.750 |
|
|
Semi-Annual |
|
|
06/17/2025 |
|
|
|
|
|
|
|
43,420 |
|
|
|
2,555 |
|
|
|
673 |
|
|
|
3,228 |
|
|
|
121 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
Semi-Annual |
|
|
06/15/2026 |
|
|
|
|
|
|
|
15,300 |
|
|
|
723 |
|
|
|
116 |
|
|
|
839 |
|
|
|
48 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
2.500 |
|
|
Semi-Annual |
|
|
12/20/2027 |
|
|
|
|
|
|
|
28,100 |
|
|
|
200 |
|
|
|
2,132 |
|
|
|
2,332 |
|
|
|
108 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
3.000 |
|
|
Semi-Annual |
|
|
06/19/2029 |
|
|
|
|
|
|
|
49,900 |
|
|
|
2,148 |
|
|
|
4,768 |
|
|
|
6,916 |
|
|
|
226 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
3.500 |
|
|
Semi-Annual |
|
|
06/19/2044 |
|
|
|
|
|
|
|
83,100 |
|
|
|
(2,711 |
) |
|
|
34,231 |
|
|
|
31,520 |
|
|
|
853 |
|
|
|
0 |
|
| Receive |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
Semi-Annual |
|
|
12/11/2049 |
|
|
|
|
|
|
|
3,700 |
|
|
|
(15 |
) |
|
|
(498 |
) |
|
|
(513 |
) |
|
|
0 |
|
|
|
(35 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
2.000 |
|
|
Semi-Annual |
|
|
01/15/2050 |
|
|
|
|
|
|
|
10,600 |
|
|
|
(76 |
) |
|
|
(748 |
) |
|
|
(824 |
) |
|
|
0 |
|
|
|
(95 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
Semi-Annual |
|
|
01/16/2050 |
|
|
|
|
|
|
|
51,500 |
|
|
|
28 |
|
|
|
689 |
|
|
|
717 |
|
|
|
0 |
|
|
|
(428 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.750 |
|
|
Semi-Annual |
|
|
01/22/2050 |
|
|
|
|
|
|
|
8,400 |
|
|
|
(19 |
) |
|
|
(121 |
) |
|
|
(140 |
) |
|
|
0 |
|
|
|
(72 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
Semi-Annual |
|
|
02/03/2050 |
|
|
|
|
|
|
|
30,500 |
|
|
|
(108 |
) |
|
|
524 |
|
|
|
416 |
|
|
|
0 |
|
|
|
(254 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.875 |
|
|
Semi-Annual |
|
|
02/07/2050 |
|
|
|
|
|
|
|
8,800 |
|
|
|
(34 |
) |
|
|
(383 |
) |
|
|
(417 |
) |
|
|
0 |
|
|
|
(77 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
Semi-Annual |
|
|
03/12/2050 |
|
|
|
|
|
|
|
1,700 |
|
|
|
(5 |
) |
|
|
(231 |
) |
|
|
(236 |
) |
|
|
0 |
|
|
|
(16 |
) |
|
|
|
|
|
|
|
|
|
| 68 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/Receive
Floating Rate |
|
Floating Rate Index |
|
Fixed Rate |
|
|
Payment
Frequency |
|
Maturity
Date |
|
|
Notional
Amount |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value |
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Pay |
|
6-Month
AUD-BBR-BBSW |
|
|
3.500 |
% |
|
Semi-Annual |
|
|
06/17/2025 |
|
|
|
AUD |
|
|
|
3,900 |
|
|
$ |
97 |
|
|
$ |
279 |
|
|
$ |
376 |
|
|
$ |
9 |
|
|
$ |
0 |
|
| Receive(5) |
|
6-Month EUR-EURIBOR |
|
|
(0.150 |
) |
|
Annual |
|
|
03/18/2030 |
|
|
|
EUR |
|
|
|
5,800 |
|
|
|
106 |
|
|
|
(38 |
) |
|
|
68 |
|
|
|
0 |
|
|
|
(39 |
) |
| Receive(5) |
|
6-Month EUR-EURIBOR |
|
|
0.150 |
|
|
Annual |
|
|
06/17/2030 |
|
|
|
|
|
|
|
1,200 |
|
|
|
(1 |
) |
|
|
(23 |
) |
|
|
(24 |
) |
|
|
0 |
|
|
|
(9 |
) |
| Receive(5) |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
Semi-Annual |
|
|
03/18/2030 |
|
|
|
GBP |
|
|
|
17,800 |
|
|
|
185 |
|
|
|
(234 |
) |
|
|
(49 |
) |
|
|
0 |
|
|
|
(20 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,293 |
|
|
$ |
40,942 |
|
|
$ |
43,235 |
|
|
$ |
1,365 |
|
|
$ |
(1,083 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Swap Agreements |
|
|
|
|
|
|
$ |
2,194 |
|
|
$ |
39,656 |
|
|
$ |
41,850 |
|
|
$ |
1,400 |
|
|
$ |
(1,085 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
| |
|
Market Value |
|
|
Variation Margin
Asset |
|
|
|
|
|
|
|
|
Market Value |
|
|
Variation Margin
Liability |
|
|
|
|
| |
|
Purchased
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
|
Total |
|
|
|
|
|
Written
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
|
Total |
|
| Total Exchange-Traded or Centrally Cleared |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
1,400 |
|
|
$ |
1,400 |
|
|
|
|
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(1,085) |
|
|
$ |
(1,085) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash of $5,807 has been
pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of January 31, 2020. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
| (1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount
in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
| (2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity
reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood
or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance
risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the
notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
| (5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to
Financial Statements for further information. |
(n) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement
Month |
|
|
Currency to
be Delivered |
|
|
Currency to
be Received |
|
|
Unrealized Appreciation/
(Depreciation) |
|
| |
Asset |
|
|
Liability |
|
| BOA |
|
|
02/2020 |
|
|
$ |
|
|
19,933 |
|
|
EUR |
|
|
18,083 |
|
|
$ |
122 |
|
|
$ |
0 |
|
|
|
|
02/2020 |
|
|
|
|
|
2,133 |
|
|
MXN |
|
|
39,922 |
|
|
|
0 |
|
|
|
(23 |
) |
|
|
|
03/2020 |
|
|
EUR |
|
|
18,083 |
|
|
$ |
|
|
19,967 |
|
|
|
0 |
|
|
|
(122 |
) |
|
|
|
03/2020 |
|
|
$ |
|
|
37 |
|
|
IDR |
|
|
502,432 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| BPS |
|
|
02/2020 |
|
|
EUR |
|
|
100 |
|
|
$ |
|
|
111 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
PEN |
|
|
1,542 |
|
|
|
|
|
454 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
709 |
|
|
IDR |
|
|
9,697,213 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
|
|
|
1,375 |
|
|
INR |
|
|
98,025 |
|
|
|
0 |
|
|
|
(4 |
) |
|
|
|
|
|
|
|
|
| BRC |
|
|
02/2020 |
|
|
EUR |
|
|
17,293 |
|
|
$ |
|
|
19,368 |
|
|
|
189 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
$ |
|
|
15 |
|
|
IDR |
|
|
208,791 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| CBK |
|
|
02/2020 |
|
|
BRL |
|
|
6,042 |
|
|
$ |
|
|
1,434 |
|
|
|
23 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
EUR |
|
|
335 |
|
|
|
|
|
372 |
|
|
|
1 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
$ |
|
|
1,484 |
|
|
BRL |
|
|
6,042 |
|
|
|
0 |
|
|
|
(74 |
) |
|
|
|
02/2020 |
|
|
|
|
|
462 |
|
|
PEN |
|
|
1,542 |
|
|
|
0 |
|
|
|
(7 |
) |
|
|
|
03/2020 |
|
|
|
|
|
1,432 |
|
|
BRL |
|
|
6,042 |
|
|
|
0 |
|
|
|
(23 |
) |
|
|
|
04/2020 |
|
|
PEN |
|
|
1,542 |
|
|
$ |
|
|
461 |
|
|
|
7 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| FBF |
|
|
03/2020 |
|
|
$ |
|
|
924 |
|
|
BRL |
|
|
3,897 |
|
|
|
0 |
|
|
|
(16 |
) |
|
|
|
|
|
|
|
|
| GLM |
|
|
02/2020 |
|
|
|
|
|
2,936 |
|
|
RUB |
|
|
188,222 |
|
|
|
3 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| HUS |
|
|
02/2020 |
|
|
EUR |
|
|
583 |
|
|
$ |
|
|
643 |
|
|
|
0 |
|
|
|
(4 |
) |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
69 |
Schedule of Investments PIMCO Income
Strategy Fund (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement
Month |
|
|
Currency to
be Delivered |
|
|
Currency to
be Received |
|
|
Unrealized Appreciation/
(Depreciation) |
|
| |
Asset |
|
|
Liability |
|
|
|
|
02/2020 |
|
|
$ |
|
|
127 |
|
|
INR |
|
|
9,050 |
|
|
$ |
0 |
|
|
$ |
(1 |
) |
|
|
|
03/2020 |
|
|
|
|
|
16 |
|
|
|
|
|
1,166 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| JPM |
|
|
02/2020 |
|
|
GBP |
|
|
28,209 |
|
|
$ |
|
|
36,930 |
|
|
|
0 |
|
|
|
(320 |
) |
|
|
|
|
|
|
|
|
| MYI |
|
|
03/2020 |
|
|
$ |
|
|
1,692 |
|
|
RUB |
|
|
109,963 |
|
|
|
20 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| RBC |
|
|
03/2020 |
|
|
|
|
|
827 |
|
|
IDR |
|
|
11,344,083 |
|
|
|
1 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| RYL |
|
|
02/2020 |
|
|
|
|
|
255 |
|
|
EUR |
|
|
228 |
|
|
|
0 |
|
|
|
(2 |
) |
|
|
|
05/2020 |
|
|
|
|
|
2,735 |
|
|
MXN |
|
|
53,659 |
|
|
|
67 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| SCX |
|
|
03/2020 |
|
|
|
|
|
49 |
|
|
IDR |
|
|
670,382 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
|
|
|
102 |
|
|
INR |
|
|
7,276 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| UAG |
|
|
02/2020 |
|
|
|
|
|
36,685 |
|
|
GBP |
|
|
28,209 |
|
|
|
565 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
GBP |
|
|
28,209 |
|
|
$ |
|
|
36,715 |
|
|
|
0 |
|
|
|
(562 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Forward Foreign Currency Contracts |
|
|
$ |
998 |
|
|
$ |
(1,159 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON
CORPORATE ISSUES - SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Reference Entity |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Implied
Credit Spread at
January 31, 2020(2) |
|
|
Notional
Amount(3)
|
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Swap Agreements,
at
Value(4) |
|
| |
Asset |
|
|
Liability |
|
| BPS |
|
Petrobras Global Finance BV |
|
|
1.000 |
% |
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
1.357 |
% |
|
$ |
500 |
|
|
$ |
(98 |
) |
|
$ |
91 |
|
|
$ |
0 |
|
|
$ |
(7 |
) |
|
|
|
|
|
|
|
|
|
|
|
| GST |
|
Petrobras Global Finance BV |
|
|
1.000 |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
1.357 |
|
|
|
700 |
|
|
|
(139 |
) |
|
|
128 |
|
|
|
0 |
|
|
|
(11 |
) |
|
|
|
|
|
|
|
|
|
|
|
| HUS |
|
Petrobras Global Finance BV |
|
|
1.000 |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
1.357 |
|
|
|
800 |
|
|
|
(166 |
) |
|
|
154 |
|
|
|
0 |
|
|
|
(12 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Swap Agreements |
|
|
$ |
(403 |
) |
|
$ |
373 |
|
|
$ |
0 |
|
|
$ |
(30 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: OVER THE COUNTER SUMMARY
The
following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
|
Net Market
Value of OTC
Derivatives |
|
|
Collateral
Pledged/
(Received) |
|
|
Net
Exposure(5)
|
|
| Counterparty |
|
Forward
Foreign
Currency
Contracts |
|
|
Purchased
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
|
|
|
Forward
Foreign
Currency
Contracts |
|
|
Written
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
| BOA |
|
$ |
122 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
122 |
|
|
|
|
|
|
$ |
(145 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(145 |
) |
|
$ |
(23 |
) |
|
$ |
0 |
|
|
$ |
(23 |
) |
| BPS |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(5 |
) |
|
|
0 |
|
|
|
(7 |
) |
|
|
(12 |
) |
|
|
(12 |
) |
|
|
21 |
|
|
|
9 |
|
| BRC |
|
|
189 |
|
|
|
0 |
|
|
|
0 |
|
|
|
189 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
189 |
|
|
|
(280 |
) |
|
|
(91 |
) |
| CBK |
|
|
31 |
|
|
|
0 |
|
|
|
0 |
|
|
|
31 |
|
|
|
|
|
|
|
(104 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(104 |
) |
|
|
(73 |
) |
|
|
0 |
|
|
|
(73 |
) |
| FBF |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(16 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(16 |
) |
|
|
(16 |
) |
|
|
0 |
|
|
|
(16 |
) |
| GLM |
|
|
3 |
|
|
|
0 |
|
|
|
0 |
|
|
|
3 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
3 |
|
|
|
0 |
|
|
|
3 |
|
| GST |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
(11 |
) |
|
|
(11 |
) |
|
|
(11 |
) |
|
|
68 |
|
|
|
57 |
|
| HUS |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(5 |
) |
|
|
0 |
|
|
|
(12 |
) |
|
|
(17 |
) |
|
|
(17 |
) |
|
|
16 |
|
|
|
(1 |
) |
| JPM |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(320 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(320 |
) |
|
|
(320 |
) |
|
|
0 |
|
|
|
(320 |
) |
| MYI |
|
|
20 |
|
|
|
0 |
|
|
|
0 |
|
|
|
20 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
20 |
|
|
|
0 |
|
|
|
20 |
|
| RBC |
|
|
1 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1 |
|
|
|
0 |
|
|
|
1 |
|
| RYL |
|
|
67 |
|
|
|
0 |
|
|
|
0 |
|
|
|
67 |
|
|
|
|
|
|
|
(2 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(2 |
) |
|
|
65 |
|
|
|
0 |
|
|
|
65 |
|
| UAG |
|
|
565 |
|
|
|
0 |
|
|
|
0 |
|
|
|
565 |
|
|
|
|
|
|
|
(562 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(562 |
) |
|
|
3 |
|
|
|
0 |
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Over the Counter |
|
$ |
998 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
998 |
|
|
|
|
|
|
$ |
(1,159 |
) |
|
$ |
0 |
|
|
$ |
(30 |
) |
|
$ |
(1,189 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (o) |
Securities with an aggregate market value of $105 have been pledged as collateral for financial derivative instruments as
governed by International Swaps and Derivatives Association, Inc. master agreements as of January 31, 2020. |
| (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. |
|
|
|
|
|
|
|
|
|
| 70 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
| (4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance
risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the
notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
| (5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
|
FAIR VALUE OF FINANCIAL
DERIVATIVE INSTRUMENTS
The following is a
summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the
Statements of Assets and Liabilities as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
35 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
1,365 |
|
|
$ |
1,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
998 |
|
|
$ |
0 |
|
|
$ |
998 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
35 |
|
|
$ |
0 |
|
|
$ |
998 |
|
|
$ |
1,365 |
|
|
$ |
2,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
2 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
1,083 |
|
|
$ |
1,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
1,159 |
|
|
$ |
0 |
|
|
$ |
1,159 |
|
| Swap Agreements |
|
|
0 |
|
|
|
30 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
30 |
|
|
$ |
0 |
|
|
$ |
1,159 |
|
|
$ |
0 |
|
|
$ |
1,189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
32 |
|
|
$ |
0 |
|
|
$ |
1,159 |
|
|
$ |
1,083 |
|
|
$ |
2,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial
Derivative Instruments on the Statements of Operations for the period ended January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Net Realized Gain (Loss) on Financial Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
146 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(27,702 |
) |
|
$ |
(27,556 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
962 |
|
|
$ |
0 |
|
|
$ |
962 |
|
| Swap Agreements |
|
|
0 |
|
|
|
13 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
13 |
|
|
$ |
0 |
|
|
$ |
962 |
|
|
$ |
0 |
|
|
$ |
975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
159 |
|
|
$ |
0 |
|
|
$ |
962 |
|
|
$ |
(27,702 |
) |
|
$ |
(26,581 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on Financial
Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
(555 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
27,320 |
|
|
$ |
26,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(2,393 |
) |
|
$ |
0 |
|
|
$ |
(2,393 |
) |
| Swap Agreements |
|
|
0 |
|
|
|
37 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
37 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
37 |
|
|
$ |
0 |
|
|
$ |
(2,393 |
) |
|
$ |
0 |
|
|
$ |
(2,356 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(518 |
) |
|
$ |
0 |
|
|
$ |
(2,393 |
) |
|
$ |
27,320 |
|
|
$ |
24,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
71 |
Schedule of Investments PIMCO Income
Strategy Fund (Cont.)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of January 31, 2020 in valuing the Fund’s assets
and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
56 |
|
|
$ |
42,579 |
|
|
$ |
8,029 |
|
|
$ |
50,664 |
|
| Corporate Bonds & Notes |
|
| Banking & Finance |
|
|
0 |
|
|
|
77,708 |
|
|
|
0 |
|
|
|
77,708 |
|
| Industrials |
|
|
0 |
|
|
|
74,035 |
|
|
|
218 |
|
|
|
74,253 |
|
| Utilities |
|
|
0 |
|
|
|
33,254 |
|
|
|
0 |
|
|
|
33,254 |
|
| Convertible Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
2,496 |
|
|
|
0 |
|
|
|
2,496 |
|
| Utilities |
|
|
0 |
|
|
|
3 |
|
|
|
0 |
|
|
|
3 |
|
| Municipal Bonds & Notes |
|
| California |
|
|
0 |
|
|
|
622 |
|
|
|
0 |
|
|
|
622 |
|
| Illinois |
|
|
0 |
|
|
|
8,252 |
|
|
|
0 |
|
|
|
8,252 |
|
| Virginia |
|
|
0 |
|
|
|
389 |
|
|
|
0 |
|
|
|
389 |
|
| West Virginia |
|
|
0 |
|
|
|
7,135 |
|
|
|
0 |
|
|
|
7,135 |
|
| U.S. Government Agencies |
|
|
0 |
|
|
|
9,352 |
|
|
|
2,434 |
|
|
|
11,786 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
0 |
|
|
|
30,206 |
|
|
|
0 |
|
|
|
30,206 |
|
| Asset-Backed Securities |
|
|
0 |
|
|
|
54,090 |
|
|
|
6,936 |
|
|
|
61,026 |
|
| Sovereign Issues |
|
|
0 |
|
|
|
17,096 |
|
|
|
0 |
|
|
|
17,096 |
|
| Common Stocks |
|
| Communication Services |
|
|
973 |
|
|
|
3 |
|
|
|
0 |
|
|
|
976 |
|
| Consumer Discretionary |
|
|
3,108 |
|
|
|
0 |
|
|
|
0 |
|
|
|
3,108 |
|
| Energy |
|
|
2 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
318 |
|
|
|
318 |
|
| Warrants |
|
| Communication Services |
|
|
0 |
|
|
|
1,694 |
|
|
|
0 |
|
|
|
1,694 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
872 |
|
|
|
872 |
|
| Preferred Securities |
|
| Banking & Finance |
|
|
0 |
|
|
|
5,035 |
|
|
|
0 |
|
|
|
5,035 |
|
| Industrials |
|
|
0 |
|
|
|
126 |
|
|
|
11,105 |
|
|
|
11,231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Real Estate Investment Trusts |
|
| Real Estate |
|
$
|
5,423 |
|
|
$
|
0 |
|
|
$
|
0 |
|
|
$
|
5,423 |
|
| Short-Term Instruments |
|
| Repurchase Agreements |
|
|
0 |
|
|
|
14,146 |
|
|
|
0 |
|
|
|
14,146 |
|
| Argentina Treasury Bills |
|
|
0 |
|
|
|
368 |
|
|
|
0 |
|
|
|
368 |
|
| U.S. Treasury Bills |
|
|
0 |
|
|
|
575 |
|
|
|
0 |
|
|
|
575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
$ |
9,562 |
|
|
$ |
379,164 |
|
|
$ |
29,912 |
|
|
$ |
418,638 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
1,400 |
|
|
|
0 |
|
|
|
1,400 |
|
| Over the counter |
|
|
0 |
|
|
|
998 |
|
|
|
0 |
|
|
|
998 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
2,398 |
|
|
$ |
0 |
|
|
$ |
2,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
(1,085 |
) |
|
|
0 |
|
|
|
(1,085 |
) |
| Over the counter |
|
|
0 |
|
|
|
(1,189 |
) |
|
|
0 |
|
|
|
(1,189 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(2,274 |
) |
|
$ |
0 |
|
|
$ |
(2,274 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Financial Derivative Instruments |
|
$ |
0 |
|
|
$ |
124 |
|
|
$ |
0 |
|
|
$ |
124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
9,562 |
|
|
$ |
379,288 |
|
|
$ |
29,912 |
|
|
$ |
418,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is
a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Beginning
Balance
at 07/31/2019 |
|
|
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 01/31/2020 |
|
|
Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2020(1) |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
1,908 |
|
|
$ |
6,214 |
|
|
$ |
(126 |
) |
|
$ |
(57 |
) |
|
$ |
(1 |
) |
|
$ |
51 |
|
|
$ |
40 |
|
|
$ |
0 |
|
|
$ |
8,029 |
|
|
$ |
51 |
|
| Corporate Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
272 |
|
|
|
0 |
|
|
|
2 |
|
|
|
0 |
|
|
|
(56 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
218 |
|
|
|
(56 |
) |
| U.S. Government Agencies |
|
|
2,433 |
|
|
|
0 |
|
|
|
(24 |
) |
|
|
70 |
|
|
|
8 |
|
|
|
(53 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
2,434 |
|
|
|
(54 |
) |
| Asset-Backed Securities |
|
|
8,729 |
|
|
|
1,035 |
|
|
|
(1,818 |
) |
|
|
0 |
|
|
|
160 |
|
|
|
(1,170 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
6,936 |
|
|
|
(1,283 |
) |
| Common Stocks |
|
| Industrials |
|
|
369 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(51 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
318 |
|
|
|
(51 |
) |
| Warrants |
|
| Industrials |
|
|
731 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
141 |
|
|
|
0 |
|
|
|
0 |
|
|
|
872 |
|
|
|
141 |
|
| Preferred Securities |
|
| Industrials |
|
|
10,669 |
|
|
|
619 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(183 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
11,105 |
|
|
|
(183 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
24,839 |
|
|
$ |
8,140 |
|
|
$ |
(1,968 |
) |
|
$ |
15 |
|
|
$ |
167 |
|
|
$ |
(1,321 |
) |
|
$ |
40 |
|
|
$ |
0 |
|
|
$ |
29,912 |
|
|
$ |
(1,435 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 72 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
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 01/31/2020 |
|
|
Valuation
Technique |
|
Unobservable
Inputs |
|
(% Unless Noted Otherwise) |
|
| |
Input Value(s) |
|
|
Weighted
Average |
|
| Investments in Securities, at Value |
|
|
|
|
|
| Loan Participations and Assignments |
|
$ |
4,600 |
|
|
Market Based Approach |
|
Recovery Value |
|
|
100.000 |
|
|
|
— |
|
|
|
|
3,429 |
|
|
Third Party Vendor |
|
Broker Quote |
|
|
75.500-102.000 |
|
|
|
90.019 |
|
| Corporate Bonds & Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials |
|
|
218 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| U.S. Government Agencies |
|
|
2,434 |
|
|
Proxy Pricing |
|
Base Price |
|
|
60.540 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
6,936 |
|
|
Proxy Pricing |
|
Base Price |
|
|
4,747.000-100,937.971 |
|
|
|
46,570.691 |
|
| Common Stocks |
|
|
|
|
|
| Industrials |
|
|
318 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| Warrants |
|
|
|
|
|
| Industrials |
|
|
872 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
|
|
| Preferred Securities |
|
|
|
|
|
| Industrials |
|
|
11,105 |
|
|
Fundamental Valuation |
|
Company Equity Value |
|
$ |
948,002,602.394 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
29,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at January 31, 2020 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. |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
73 |
Schedule of Investments PIMCO Income Strategy Fund II
(Amounts in thousands*, except number of shares, contracts and units, if any)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| INVESTMENTS IN SECURITIES 125.2% |
|
|
|
| LOAN PARTICIPATIONS AND ASSIGNMENTS 14.1% |
|
|
| Advanz Pharma Corp. |
|
| 7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |
|
$ |
|
|
4,710 |
|
|
$ |
|
|
4,475 |
|
|
| Al Convoy (Luxembourg) S.a.r.l. |
|
| TBD% due 01/29/2027 |
|
|
|
|
78 |
|
|
|
|
|
78 |
|
|
| Alphabet Holding Co., Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 09/26/2024 ~ |
|
|
|
|
98 |
|
|
|
|
|
94 |
|
|
| Altice France S.A. |
|
| 5.676% (LIBOR03M + 4.000%) due 08/14/2026 ~ |
|
|
|
|
296 |
|
|
|
|
|
297 |
|
|
| CenturyLink, Inc. |
|
| TBD% due 03/15/2027 |
|
|
|
|
271 |
|
|
|
|
|
271 |
|
|
| CityCenter Holdings LLC |
|
| 3.895% (LIBOR03M + 2.250%) due 04/18/2024 ~ |
|
|
|
|
247 |
|
|
|
|
|
248 |
|
|
| Clay Holdco BV |
|
| TBD% due 11/30/2025 |
|
EUR |
|
|
3,020 |
|
|
|
|
|
3,336 |
|
|
| Diamond Resorts Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 09/02/2023 ~ |
|
$ |
|
|
378 |
|
|
|
|
|
373 |
|
|
| Dubai World (3.000% Cash and 1.750% PIK) |
|
| 4.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(d) |
|
|
|
|
5,451 |
|
|
|
|
|
5,097 |
|
|
| Emerald TopCo, Inc. |
|
| 5.145% (LIBOR03M + 3.500%) due 07/24/2026 ~ |
|
|
|
|
114 |
|
|
|
|
|
114 |
|
|
| Envision Healthcare Corp. |
|
| 5.395% (LIBOR03M + 3.750%) due 10/10/2025 ~ |
|
|
|
|
16,168 |
|
|
|
|
|
13,679 |
|
|
| Financial & Risk U.S. Holdings, Inc. |
|
| 4.895% (LIBOR03M + 3.250%) due 10/01/2025 ~ |
|
|
|
|
693 |
|
|
|
|
|
702 |
|
|
| Forbes Energy Services LLC (6.909% Cash and 11.000% PIK) |
|
| 17.909% (LIBOR03M + 5.000%) due 04/13/2021 ~(d) |
|
|
|
|
341 |
|
|
|
|
|
341 |
|
|
| Froneri Ltd. |
|
| TBD% due 01/31/2027 |
|
|
|
|
122 |
|
|
|
|
|
123 |
|
| TBD% due 01/28/2028 « |
|
|
|
|
8 |
|
|
|
|
|
8 |
|
|
| Frontier Communications Corp. |
|
| 5.400% (LIBOR03M + 3.750%) due 06/15/2024 ~ |
|
|
|
|
586 |
|
|
|
|
|
592 |
|
|
| iHeartCommunications, Inc. |
|
| 5.781% (LIBOR03M + 4.000%) due 05/01/2026 ~ |
|
|
|
|
3,654 |
|
|
|
|
|
3,669 |
|
|
| IRB Holding Corp. |
|
| 4.384% (LIBOR03M + 2.750%) due 02/05/2025 ~ |
|
|
|
|
947 |
|
|
|
|
|
950 |
|
|
| Jefferies Finance LLC |
|
| 5.063% (LIBOR03M + 3.250%) due 06/03/2026 ~ |
|
|
|
|
23 |
|
|
|
|
|
23 |
|
|
| McDermott Technology Americas, Inc. |
|
| TBD% due 10/21/2021 ^µ(e) |
|
|
|
|
2,575 |
|
|
|
|
|
2,695 |
|
| TBD% due 05/09/2025 ^(e) |
|
|
|
|
4,611 |
|
|
|
|
|
2,939 |
|
|
| Messer Industrie GmbH |
|
| 4.445% (LIBOR03M + 2.500%) due 03/01/2026 ~ |
|
|
|
|
71 |
|
|
|
|
|
71 |
|
|
| MH Sub LLC |
|
| 5.395% (LIBOR03M + 3.750%) due 09/13/2024 ~ |
|
|
|
|
117 |
|
|
|
|
|
117 |
|
|
| Nascar Holdings, Inc. |
|
| 4.408% (LIBOR03M + 2.750%) due 10/19/2026 ~ |
|
|
|
|
73 |
|
|
|
|
|
73 |
|
|
| NCI Building Systems, Inc. |
|
| 5.434% (LIBOR03M + 3.750%) due 04/12/2025 ~ |
|
|
|
|
39 |
|
|
|
|
|
39 |
|
|
| Neiman Marcus Group Ltd. LLC |
|
| 7.734% (LIBOR03M + 6.000%) due 10/25/2023 ~ |
|
|
|
|
10,975 |
|
|
|
|
|
9,329 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Neiman Marcus Group Ltd. LLC (7.234 - 7.277% Cash and 1.000% PIK) |
|
| 8.234% - 8.277% (LIBOR03M + 5.500%) due 10/25/2023 ~(d) |
|
$ |
|
|
8,510 |
|
|
$ |
|
|
7,201 |
|
|
| Ortho-Clinical Diagnostics S.A. |
|
| 5.013% (LIBOR03M + 3.250%) due 06/30/2025 ~ |
|
|
|
|
618 |
|
|
|
|
|
612 |
|
|
| Pacific Gas & Electric Co. |
|
| TBD% due 02/22/2049 ^(e) |
|
|
|
|
100 |
|
|
|
|
|
105 |
|
|
| Parexel International Corp. |
|
| 4.395% (LIBOR03M + 2.750%) due 09/27/2024 ~ |
|
|
|
|
88 |
|
|
|
|
|
87 |
|
|
| PetSmart, Inc. |
|
| 5.670% (LIBOR03M + 4.000%) due 03/11/2022 ~ |
|
|
|
|
140 |
|
|
|
|
|
140 |
|
|
| Playtika Holding Corp. |
|
| 7.645% (LIBOR03M + 6.000%) due 12/10/2024 ~ |
|
|
|
|
4,014 |
|
|
|
|
|
4,058 |
|
|
| Pug LLC |
|
| TBD% due 01/15/2027 |
|
|
|
|
36 |
|
|
|
|
|
36 |
|
|
| Reynolds Consumer Products, Inc. |
|
| TBD% due 01/29/2027 |
|
|
|
|
100 |
|
|
|
|
|
101 |
|
|
| Sequa Mezzanine Holdings LLC |
|
| 10.770% (LIBOR03M + 9.000%) due 04/28/2022 «~ |
|
|
|
|
90 |
|
|
|
|
|
91 |
|
|
| Sotera Health Holdings LLC |
|
| 6.145% (LIBOR03M + 4.500%) due 12/11/2026 ~ |
|
|
|
|
146 |
|
|
|
|
|
147 |
|
|
| Starfruit Finco BV |
|
| 4.699% (LIBOR03M + 3.000%) due 10/01/2025 ~ |
|
|
|
|
183 |
|
|
|
|
|
183 |
|
|
| Summer (BC) Holdco B SARL |
|
| TBD% due 10/15/2026 « |
|
|
|
|
2,656 |
|
|
|
|
|
2,586 |
|
| TBD% due 12/04/2026 « |
|
|
|
|
664 |
|
|
|
|
|
647 |
|
|
| Sunshine Luxembourg SARL |
|
| 6.195% (LIBOR03M + 4.250%) due 10/01/2026 ~ |
|
|
|
|
208 |
|
|
|
|
|
209 |
|
|
| Syniverse Holdings, Inc. |
|
| 6.873% (LIBOR03M + 5.000%) due 03/09/2023 ~ |
|
|
|
|
8,859 |
|
|
|
|
|
8,113 |
|
|
| U.S. Renal Care, Inc. |
|
| 6.645% (LIBOR03M + 5.000%) due 06/26/2026 ~ |
|
|
|
|
454 |
|
|
|
|
|
451 |
|
|
| Univision Communications, Inc. |
|
| 4.395% (LIBOR03M + 2.750%) due 03/15/2024 ~ |
|
|
|
|
4,279 |
|
|
|
|
|
4,236 |
|
|
| West Corp. |
|
| 5.645% (LIBOR03M + 4.000%) due 10/10/2024 ~ |
|
|
|
|
41 |
|
|
|
|
|
35 |
|
|
| Westmoreland Mining Holdings LLC |
|
| 10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |
|
|
|
|
1,185 |
|
|
|
|
|
1,197 |
|
|
| Westmoreland Mining Holdings LLC (15.000% PIK) |
|
| 15.000% due 03/15/2029 «(d) |
|
|
|
|
3,478 |
|
|
|
|
|
2,626 |
|
|
| Windstream Services LLC |
|
| 9.000% (PRIME + 4.250%) due 02/17/2024 ~ |
|
|
|
|
5,700 |
|
|
|
|
|
5,436 |
|
| 9.750% (PRIME + 5.000%) due 03/29/2021 ~ |
|
|
|
|
8,020 |
|
|
|
|
|
7,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations and Assignments
(Cost $100,780) |
|
|
95,894 |
|
|
|
|
|
|
|
|
| CORPORATE BONDS & NOTES 54.1% |
|
|
|
| BANKING & FINANCE 22.6% |
|
|
| Ally Financial, Inc. |
|
| 8.000% due 11/01/2031 |
|
|
|
|
1,445 |
|
|
|
|
|
2,037 |
|
|
| Ambac LSNI LLC |
|
| 6.945% due 02/12/2023 • |
|
|
|
|
500 |
|
|
|
|
|
509 |
|
|
| Ardonagh Midco PLC |
|
| 8.375% due 07/15/2023 (l) |
|
GBP |
|
|
3,380 |
|
|
|
|
|
4,554 |
|
| 8.375% due 07/15/2023 |
|
|
|
|
8,648 |
|
|
|
|
|
11,652 |
|
| 8.625% due 07/15/2023 |
|
$ |
|
|
600 |
|
|
|
|
|
617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Banco BTG Pactual S.A. |
|
| 4.500% due 01/10/2025 |
|
$ |
|
|
200 |
|
|
$ |
|
|
206 |
|
|
| Banco de Credito del Peru |
|
| 4.650% due 09/17/2024 |
|
PEN |
|
|
800 |
|
|
|
|
|
241 |
|
|
| Bank of Ireland |
|
| 7.375% due 06/18/2020 •(i) |
|
EUR |
|
|
200 |
|
|
|
|
|
227 |
|
|
| Barclays Bank PLC |
|
| 7.625% due 11/21/2022 |
|
$ |
|
|
4,400 |
|
|
|
|
|
4,964 |
|
|
| Barclays PLC |
|
| 3.250% due 01/17/2033 |
|
GBP |
|
|
200 |
|
|
|
|
|
285 |
|
| 7.125% due 06/15/2025 •(i) |
|
|
|
|
1,200 |
|
|
|
|
|
1,821 |
|
| 7.750% due 09/15/2023 •(i) |
|
$ |
|
|
1,000 |
|
|
|
|
|
1,096 |
|
| 7.875% due 09/15/2022 •(i) |
|
GBP |
|
|
415 |
|
|
|
|
|
610 |
|
| 8.000% due 06/15/2024 •(i) |
|
$ |
|
|
400 |
|
|
|
|
|
452 |
|
|
| BGC Partners, Inc. |
|
| 3.750% due 10/01/2024 |
|
|
|
|
1,200 |
|
|
|
|
|
1,228 |
|
|
| Brookfield Finance, Inc. |
|
| 3.900% due 01/25/2028 |
|
|
|
|
12 |
|
|
|
|
|
13 |
|
| 4.700% due 09/20/2047 |
|
|
|
|
142 |
|
|
|
|
|
173 |
|
|
| Cantor Fitzgerald LP |
|
| 4.875% due 05/01/2024 |
|
|
|
|
31 |
|
|
|
|
|
34 |
|
| 6.500% due 06/17/2022 (l) |
|
|
|
|
8,500 |
|
|
|
|
|
9,285 |
|
|
| CBL & Associates LP |
|
| 5.950% due 12/15/2026 |
|
|
|
|
2,716 |
|
|
|
|
|
1,365 |
|
|
| Credit Agricole S.A. |
|
| 7.875% due 01/23/2024 •(i)(l) |
|
|
|
|
300 |
|
|
|
|
|
342 |
|
|
| Credit Suisse Group AG |
|
| 7.500% due 07/17/2023 •(i) |
|
|
|
|
200 |
|
|
|
|
|
221 |
|
| 7.500% due 12/11/2023 •(i) |
|
|
|
|
7,243 |
|
|
|
|
|
8,229 |
|
|
| Deutsche Bank AG |
|
| 3.961% due 11/26/2025 • |
|
|
|
|
1,200 |
|
|
|
|
|
1,255 |
|
|
| Emerald Bay S.A. |
|
| 0.000% due 10/08/2020 (h) |
|
EUR |
|
|
1,873 |
|
|
|
|
|
2,049 |
|
|
| Equitable Holdings, Inc. |
|
| 5.000% due 04/20/2048 |
|
$ |
|
|
9 |
|
|
|
|
|
10 |
|
|
| ESH Hospitality, Inc. |
|
| 4.625% due 10/01/2027 |
|
|
|
|
58 |
|
|
|
|
|
58 |
|
|
| Flagstar Bancorp, Inc. |
|
| 6.125% due 07/15/2021 |
|
|
|
|
3,500 |
|
|
|
|
|
3,651 |
|
|
| Ford Motor Credit Co. LLC |
|
| 3.087% due 01/09/2023 |
|
|
|
|
400 |
|
|
|
|
|
404 |
|
|
| Fortress Transportation & Infrastructure Investors LLC |
|
| 6.500% due 10/01/2025 |
|
|
|
|
377 |
|
|
|
|
|
401 |
|
| 6.750% due 03/15/2022 |
|
|
|
|
482 |
|
|
|
|
|
497 |
|
|
| GSPA Monetization Trust |
|
| 6.422% due 10/09/2029 |
|
|
|
|
3,314 |
|
|
|
|
|
3,879 |
|
|
| HSBC Bank PLC |
|
| 6.330% due 05/23/2023 |
|
|
|
|
5,900 |
|
|
|
|
|
6,239 |
|
|
| HSBC Holdings PLC |
|
| 5.875% due 09/28/2026 •(i)(l) |
|
GBP |
|
|
200 |
|
|
|
|
|
296 |
|
| 6.000% due 09/29/2023 •(i)(l) |
|
EUR |
|
|
2,470 |
|
|
|
|
|
3,171 |
|
| 6.500% due 03/23/2028 •(i) |
|
$ |
|
|
500 |
|
|
|
|
|
557 |
|
|
| Hunt Cos., Inc. |
|
| 6.250% due 02/15/2026 |
|
|
|
|
26 |
|
|
|
|
|
25 |
|
|
| ING Groep NV |
|
| 5.750% due 11/16/2026 •(i) |
|
|
|
|
400 |
|
|
|
|
|
429 |
|
|
| Kennedy-Wilson, Inc. |
|
| 5.875% due 04/01/2024 |
|
|
|
|
68 |
|
|
|
|
|
70 |
|
|
| Ladder Capital Finance Holdings LLLP |
|
| 4.250% due 02/01/2027 |
|
|
|
|
62 |
|
|
|
|
|
62 |
|
|
| Lloyds Banking Group PLC |
|
| 7.500% due 09/27/2025 •(i) |
|
|
|
|
5,999 |
|
|
|
|
|
6,866 |
|
| 7.625% due 06/27/2023 •(i) |
|
GBP |
|
|
2,300 |
|
|
|
|
|
3,421 |
|
| 7.875% due 06/27/2029 •(i) |
|
|
|
|
6,518 |
|
|
|
|
|
11,066 |
|
|
| LoanCore Capital Markets LLC |
|
| 6.875% due 06/01/2020 |
|
$ |
|
|
200 |
|
|
|
|
|
200 |
|
|
| Nationstar Mortgage LLC |
|
| 6.500% due 07/01/2021 |
|
|
|
|
484 |
|
|
|
|
|
485 |
|
|
| Navient Corp. |
|
| 5.625% due 08/01/2033 |
|
|
|
|
48 |
|
|
|
|
|
44 |
|
|
| Newmark Group, Inc. |
|
| 6.125% due 11/15/2023 |
|
|
|
|
62 |
|
|
|
|
|
68 |
|
|
|
|
|
|
|
|
|
|
| 74 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Oppenheimer Holdings, Inc. |
|
| 6.750% due 07/01/2022 |
|
$ |
|
|
1,212 |
|
|
$ |
|
|
1,251 |
|
|
| Royal Bank of Scotland Group PLC |
|
| 7.500% due 08/10/2020 •(i)(l) |
|
|
|
|
3,080 |
|
|
|
|
|
3,156 |
|
| 8.000% due 08/10/2025 •(i)(l) |
|
|
|
|
5,990 |
|
|
|
|
|
7,000 |
|
| 8.625% due 08/15/2021 •(i) |
|
|
|
|
2,700 |
|
|
|
|
|
2,921 |
|
|
| Santander UK Group Holdings PLC |
|
| 6.750% due 06/24/2024 •(i) |
|
GBP |
|
|
2,025 |
|
|
|
|
|
2,984 |
|
| 7.375% due 06/24/2022 •(i) |
|
|
|
|
4,100 |
|
|
|
|
|
5,951 |
|
|
| SBA Communications Corp. |
|
| 3.875% due 02/15/2027 (c) |
|
$ |
|
|
176 |
|
|
|
|
|
179 |
|
|
| Societe Generale S.A. |
|
| 6.750% due 04/06/2028 •(i) |
|
|
|
|
200 |
|
|
|
|
|
225 |
|
| 7.375% due 10/04/2023 •(i) |
|
|
|
|
600 |
|
|
|
|
|
662 |
|
|
| Springleaf Finance Corp. |
|
| 5.375% due 11/15/2029 |
|
|
|
|
19 |
|
|
|
|
|
20 |
|
| 5.625% due 03/15/2023 |
|
|
|
|
1,172 |
|
|
|
|
|
1,257 |
|
| 6.125% due 03/15/2024 |
|
|
|
|
134 |
|
|
|
|
|
146 |
|
| 6.875% due 03/15/2025 |
|
|
|
|
104 |
|
|
|
|
|
118 |
|
|
| Tesco Property Finance PLC |
|
| 5.411% due 07/13/2044 |
|
GBP |
|
|
4,281 |
|
|
|
|
|
7,453 |
|
| 6.052% due 10/13/2039 |
|
|
|
|
2,320 |
|
|
|
|
|
4,128 |
|
|
| TP ICAP PLC |
|
| 5.250% due 01/26/2024 (l) |
|
|
|
|
2,980 |
|
|
|
|
|
4,370 |
|
|
| UniCredit SpA |
|
| 7.830% due 12/04/2023 |
|
$ |
|
|
4,160 |
|
|
|
|
|
4,911 |
|
|
| Unique Pub Finance Co. PLC |
|
| 5.659% due 06/30/2027 |
|
GBP |
|
|
2,941 |
|
|
|
|
|
4,469 |
|
|
| Voyager Aviation Holdings LLC |
|
| 8.500% due 08/15/2021 (l) |
|
$ |
|
|
6,929 |
|
|
|
|
|
7,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
153,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 22.2% |
|
|
| Albertsons Cos., Inc. |
|
| 3.500% due 02/15/2023 (c) |
|
|
|
|
54 |
|
|
|
|
|
55 |
|
| 4.625% due 01/15/2027 |
|
|
|
|
54 |
|
|
|
|
|
55 |
|
| 4.875% due 02/15/2030 (c) |
|
|
|
|
62 |
|
|
|
|
|
64 |
|
|
| Altice Financing S.A. |
|
| 2.250% due 01/15/2025 |
|
EUR |
|
|
100 |
|
|
|
|
|
109 |
|
| 7.500% due 05/15/2026 |
|
$ |
|
|
2,600 |
|
|
|
|
|
2,783 |
|
|
| Altice France S.A. |
|
| 7.375% due 05/01/2026 (l) |
|
|
|
|
3,712 |
|
|
|
|
|
3,956 |
|
|
| Associated Materials LLC |
|
| 9.000% due 01/01/2024 |
|
|
|
|
788 |
|
|
|
|
|
690 |
|
|
| Avon International Capital PLC |
|
| 6.500% due 08/15/2022 |
|
|
|
|
26 |
|
|
|
|
|
27 |
|
|
| B.C. Unlimited Liability Co. |
|
| 4.375% due 01/15/2028 |
|
|
|
|
34 |
|
|
|
|
|
34 |
|
|
| Baffinland Iron Mines Corp. |
|
| 8.750% due 07/15/2026 |
|
|
|
|
1,300 |
|
|
|
|
|
1,353 |
|
|
| Bausch Health Cos., Inc. |
|
| 5.000% due 01/30/2028 |
|
|
|
|
92 |
|
|
|
|
|
93 |
|
| 5.250% due 01/30/2030 |
|
|
|
|
92 |
|
|
|
|
|
94 |
|
|
| BCPE Cycle Merger Sub, Inc. |
|
| 10.625% due 07/15/2027 |
|
|
|
|
75 |
|
|
|
|
|
78 |
|
|
| Bioceanico Sovereign Certificate Ltd. |
|
| 0.000% due 06/05/2034 (h) |
|
|
|
|
150 |
|
|
|
|
|
106 |
|
|
| Bombardier, Inc. |
|
| 6.000% due 10/15/2022 |
|
|
|
|
32 |
|
|
|
|
|
31 |
|
| 6.125% due 01/15/2023 |
|
|
|
|
830 |
|
|
|
|
|
821 |
|
| 7.500% due 03/15/2025 |
|
|
|
|
777 |
|
|
|
|
|
748 |
|
| 7.875% due 04/15/2027 |
|
|
|
|
2,803 |
|
|
|
|
|
2,663 |
|
|
| Camelot Finance S.A. |
|
| 4.500% due 11/01/2026 |
|
|
|
|
9 |
|
|
|
|
|
9 |
|
|
| CCO Holdings LLC |
|
| 4.750% due 03/01/2030 |
|
|
|
|
176 |
|
|
|
|
|
181 |
|
|
| Centene Corp. |
|
| 4.250% due 12/15/2027 |
|
|
|
|
61 |
|
|
|
|
|
64 |
|
| 4.625% due 12/15/2029 |
|
|
|
|
124 |
|
|
|
|
|
134 |
|
| 4.750% due 01/15/2025 |
|
|
|
|
178 |
|
|
|
|
|
184 |
|
|
| Charter Communications Operating LLC |
|
| 4.800% due 03/01/2050 |
|
|
|
|
218 |
|
|
|
|
|
236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Clear Channel Worldwide Holdings, Inc. |
|
| 9.250% due 02/15/2024 |
|
$ |
|
|
1,890 |
|
|
$ |
|
|
2,062 |
|
|
| Community Health Systems, Inc. |
|
| 5.125% due 08/01/2021 (l) |
|
|
|
|
2,259 |
|
|
|
|
|
2,266 |
|
| 6.250% due 03/31/2023 (l) |
|
|
|
|
7,950 |
|
|
|
|
|
8,129 |
|
| 6.625% due 02/15/2025 (c) |
|
|
|
|
1,624 |
|
|
|
|
|
1,645 |
|
| 8.000% due 03/15/2026 |
|
|
|
|
494 |
|
|
|
|
|
516 |
|
| 8.625% due 01/15/2024 |
|
|
|
|
846 |
|
|
|
|
|
901 |
|
|
| Connect Finco SARL |
|
| 6.750% due 10/01/2026 |
|
|
|
|
62 |
|
|
|
|
|
66 |
|
|
| Corning, Inc. |
|
| 5.450% due 11/15/2079 |
|
|
|
|
77 |
|
|
|
|
|
89 |
|
|
| Dealer Tire LLC |
|
| 8.000% due 02/01/2028 (c) |
|
|
|
|
32 |
|
|
|
|
|
32 |
|
|
| Dell International LLC |
|
| 6.020% due 06/15/2026 (l) |
|
|
|
|
2,534 |
|
|
|
|
|
2,962 |
|
|
| Diamond Resorts International, Inc. |
|
| 7.750% due 09/01/2023 |
|
|
|
|
764 |
|
|
|
|
|
788 |
|
| 10.750% due 09/01/2024 (l) |
|
|
|
|
2,500 |
|
|
|
|
|
2,607 |
|
|
| DriveTime Automotive Group, Inc. |
|
| 8.000% due 06/01/2021 (l) |
|
|
|
|
1,670 |
|
|
|
|
|
1,694 |
|
|
| Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
|
| 7.750% due 05/15/2022 (d) |
|
|
|
|
17 |
|
|
|
|
|
17 |
|
|
| Eldorado Resorts, Inc. |
|
| 6.000% due 09/15/2026 (l) |
|
|
|
|
2,200 |
|
|
|
|
|
2,416 |
|
|
| Energy Transfer Operating LP |
|
| 2.900% due 05/15/2025 |
|
|
|
|
39 |
|
|
|
|
|
39 |
|
| 3.750% due 05/15/2030 |
|
|
|
|
86 |
|
|
|
|
|
88 |
|
| 5.000% due 05/15/2050 |
|
|
|
|
78 |
|
|
|
|
|
80 |
|
|
| Envision Healthcare Corp. |
|
| 8.750% due 10/15/2026 |
|
|
|
|
2,356 |
|
|
|
|
|
1,427 |
|
|
| Exela Intermediate LLC |
|
| 10.000% due 07/15/2023 |
|
|
|
|
120 |
|
|
|
|
|
47 |
|
|
| Fair Isaac Corp. |
|
| 4.000% due 06/15/2028 |
|
|
|
|
10 |
|
|
|
|
|
10 |
|
|
| Ferroglobe PLC |
|
| 9.375% due 03/01/2022 |
|
|
|
|
1,700 |
|
|
|
|
|
1,280 |
|
|
| First Quantum Minerals Ltd. |
|
| 6.500% due 03/01/2024 |
|
|
|
|
1,452 |
|
|
|
|
|
1,402 |
|
| 6.875% due 03/01/2026 (l) |
|
|
|
|
1,000 |
|
|
|
|
|
962 |
|
| 7.000% due 02/15/2021 |
|
|
|
|
160 |
|
|
|
|
|
160 |
|
|
| Flex Ltd. |
|
| 4.875% due 06/15/2029 |
|
|
|
|
83 |
|
|
|
|
|
93 |
|
|
| Ford Motor Co. |
|
| 7.700% due 05/15/2097 (l) |
|
|
|
|
9,770 |
|
|
|
|
|
11,691 |
|
|
| Fresh Market, Inc. |
|
| 9.750% due 05/01/2023 |
|
|
|
|
7,590 |
|
|
|
|
|
3,757 |
|
|
| Frontier Finance PLC |
|
| 8.000% due 03/23/2022 |
|
GBP |
|
|
4,600 |
|
|
|
|
|
6,260 |
|
|
| Full House Resorts, Inc. |
|
| 8.575% due 01/31/2024 |
|
$ |
|
|
292 |
|
|
|
|
|
287 |
|
| 9.738% due 02/02/2024 |
|
|
|
|
25 |
|
|
|
|
|
25 |
|
|
| Garda World Security Corp. |
|
| 4.625% due 02/15/2027 |
|
|
|
|
93 |
|
|
|
|
|
92 |
|
|
| General Electric Co. |
|
| 0.375% due 05/17/2022 |
|
EUR |
|
|
200 |
|
|
|
|
|
223 |
|
| 5.875% due 01/14/2038 |
|
$ |
|
|
22 |
|
|
|
|
|
28 |
|
| 6.150% due 08/07/2037 |
|
|
|
|
6 |
|
|
|
|
|
8 |
|
| 6.875% due 01/10/2039 |
|
|
|
|
9 |
|
|
|
|
|
13 |
|
|
| HCA, Inc. |
|
| 7.500% due 11/15/2095 |
|
|
|
|
1,200 |
|
|
|
|
|
1,480 |
|
|
| iHeartCommunications, Inc. |
|
| 6.375% due 05/01/2026 |
|
|
|
|
1,177 |
|
|
|
|
|
1,273 |
|
| 8.375% due 05/01/2027 |
|
|
|
|
1,455 |
|
|
|
|
|
1,584 |
|
|
| IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK) |
|
| 3.625% due 05/15/2025 (d) |
|
EUR |
|
|
300 |
|
|
|
|
|
342 |
|
|
| IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) |
|
| 3.875% due 05/15/2027 (d) |
|
|
|
|
200 |
|
|
|
|
|
230 |
|
|
| IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
|
| 6.000% due 05/15/2027 (d) |
|
$ |
|
|
468 |
|
|
|
|
|
499 |
|
|
| IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK) |
|
| 6.375% due 05/15/2029 (d) |
|
|
|
|
345 |
|
|
|
|
|
377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Intelsat Connect Finance S.A. |
|
| 9.500% due 02/15/2023 |
|
$ |
|
|
52 |
|
|
$ |
|
|
28 |
|
|
| Intelsat Jackson Holdings S.A. |
|
| 8.000% due 02/15/2024 |
|
|
|
|
11 |
|
|
|
|
|
11 |
|
| 8.500% due 10/15/2024 |
|
|
|
|
217 |
|
|
|
|
|
184 |
|
| 9.750% due 07/15/2025 |
|
|
|
|
524 |
|
|
|
|
|
453 |
|
|
| Intelsat Luxembourg S.A. |
|
| 7.750% due 06/01/2021 ^(l) |
|
|
|
|
6,892 |
|
|
|
|
|
4,480 |
|
| 8.125% due 06/01/2023 (l) |
|
|
|
|
7,535 |
|
|
|
|
|
3,127 |
|
|
| Kinder Morgan, Inc. |
|
| 7.800% due 08/01/2031 (l) |
|
|
|
|
3,500 |
|
|
|
|
|
4,848 |
|
|
| Lamar Media Corp. |
|
| 3.750% due 02/15/2028 (c) |
|
|
|
|
60 |
|
|
|
|
|
61 |
|
| 4.000% due 02/15/2030 (c) |
|
|
|
|
26 |
|
|
|
|
|
26 |
|
|
| Laredo Petroleum, Inc. |
|
| 9.500% due 01/15/2025 |
|
|
|
|
22 |
|
|
|
|
|
20 |
|
| 10.125% due 01/15/2028 |
|
|
|
|
39 |
|
|
|
|
|
35 |
|
|
| Mallinckrodt International Finance S.A. |
|
| 5.500% due 04/15/2025 (l) |
|
|
|
|
50 |
|
|
|
|
|
18 |
|
|
| Mattel, Inc. |
|
| 5.875% due 12/15/2027 |
|
|
|
|
20 |
|
|
|
|
|
21 |
|
|
| MEG Energy Corp. |
|
| 7.125% due 02/01/2027 |
|
|
|
|
78 |
|
|
|
|
|
77 |
|
|
| Micron Technology, Inc. |
|
| 5.327% due 02/06/2029 |
|
|
|
|
156 |
|
|
|
|
|
183 |
|
|
| NCL Corp. Ltd. |
|
| 3.625% due 12/15/2024 |
|
|
|
|
76 |
|
|
|
|
|
76 |
|
|
| Netflix, Inc. |
|
| 3.625% due 06/15/2030 |
|
EUR |
|
|
200 |
|
|
|
|
|
231 |
|
| 3.875% due 11/15/2029 |
|
|
|
|
634 |
|
|
|
|
|
743 |
|
| 4.625% due 05/15/2029 |
|
|
|
|
200 |
|
|
|
|
|
248 |
|
| 4.875% due 06/15/2030 |
|
$ |
|
|
100 |
|
|
|
|
|
104 |
|
| 5.375% due 11/15/2029 |
|
|
|
|
62 |
|
|
|
|
|
68 |
|
|
| New Albertson’s LP |
|
| 6.570% due 02/23/2028 |
|
|
|
|
6,800 |
|
|
|
|
|
6,683 |
|
|
| Noble Holding International Ltd. |
|
| 7.875% due 02/01/2026 |
|
|
|
|
262 |
|
|
|
|
|
188 |
|
|
| Odebrecht Oil & Gas Finance Ltd. |
|
| 0.000% due 03/02/2020 (h)(i) |
|
|
|
|
1,101 |
|
|
|
|
|
11 |
|
|
| Ortho-Clinical Diagnostics, Inc. |
|
| 6.625% due 05/15/2022 |
|
|
|
|
455 |
|
|
|
|
|
454 |
|
| 7.250% due 02/01/2028 |
|
|
|
|
534 |
|
|
|
|
|
545 |
|
|
| Pacific Drilling SA |
|
| 8.375% due 10/01/2023 |
|
|
|
|
362 |
|
|
|
|
|
305 |
|
|
| Pan American Energy LLC |
|
| 40.063% (BADLARPP) due 11/20/2020 «~ |
|
ARS |
|
|
42,700 |
|
|
|
|
|
488 |
|
|
| Par Pharmaceutical, Inc. |
|
| 7.500% due 04/01/2027 |
|
$ |
|
|
110 |
|
|
|
|
|
112 |
|
|
| Petroleos Mexicanos |
|
| 2.750% due 04/21/2027 |
|
EUR |
|
|
7,276 |
|
|
|
|
|
7,824 |
|
| 4.750% due 02/26/2029 |
|
|
|
|
700 |
|
|
|
|
|
831 |
|
| 4.875% due 02/21/2028 |
|
|
|
|
1,118 |
|
|
|
|
|
1,341 |
|
| 5.350% due 02/12/2028 |
|
$ |
|
|
690 |
|
|
|
|
|
702 |
|
| 5.950% due 01/28/2031 |
|
|
|
|
194 |
|
|
|
|
|
196 |
|
| 6.490% due 01/23/2027 |
|
|
|
|
80 |
|
|
|
|
|
87 |
|
| 6.500% due 03/13/2027 (l) |
|
|
|
|
2,894 |
|
|
|
|
|
3,146 |
|
| 6.750% due 09/21/2047 |
|
|
|
|
50 |
|
|
|
|
|
51 |
|
| 6.840% due 01/23/2030 |
|
|
|
|
230 |
|
|
|
|
|
250 |
|
| 6.950% due 01/28/2060 |
|
|
|
|
320 |
|
|
|
|
|
325 |
|
| 7.690% due 01/23/2050 |
|
|
|
|
120 |
|
|
|
|
|
132 |
|
|
| PetSmart, Inc. |
|
| 5.875% due 06/01/2025 |
|
|
|
|
94 |
|
|
|
|
|
97 |
|
|
| Platin 1426 GmbH |
|
| 6.875% due 06/15/2023 |
|
EUR |
|
|
400 |
|
|
|
|
|
453 |
|
|
| Prime Security Services Borrower LLC |
|
| 6.250% due 01/15/2028 |
|
$ |
|
|
102 |
|
|
|
|
|
101 |
|
| 9.250% due 05/15/2023 |
|
|
|
|
465 |
|
|
|
|
|
488 |
|
|
| PTC, Inc. |
|
| 3.625% due 02/15/2025 (c) |
|
|
|
|
31 |
|
|
|
|
|
31 |
|
| 4.000% due 02/15/2028 (c) |
|
|
|
|
16 |
|
|
|
|
|
16 |
|
|
| QVC, Inc. |
|
| 5.950% due 03/15/2043 |
|
|
|
|
3,245 |
|
|
|
|
|
3,300 |
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
75 |
Schedule of Investments PIMCO Income
Strategy Fund II (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Radiate Holdco LLC |
|
| 6.875% due 02/15/2023 |
|
$ |
|
|
3 |
|
|
$ |
|
|
3 |
|
|
| Radiology Partners, Inc. |
|
| 9.250% due 02/01/2028 |
|
|
|
|
62 |
|
|
|
|
|
65 |
|
|
| Range Resources Corp. |
|
| 9.250% due 02/01/2026 |
|
|
|
|
46 |
|
|
|
|
|
41 |
|
|
| Refinitiv U.S. Holdings, Inc. |
|
| 4.500% due 05/15/2026 |
|
EUR |
|
|
200 |
|
|
|
|
|
241 |
|
|
| Russian Railways via RZD Capital PLC |
|
| 7.487% due 03/25/2031 |
|
GBP |
|
|
1,300 |
|
|
|
|
|
2,424 |
|
|
| Sands China Ltd. |
|
| 4.600% due 08/08/2023 (l) |
|
$ |
|
|
200 |
|
|
|
|
|
212 |
|
| 5.125% due 08/08/2025 (l) |
|
|
|
|
200 |
|
|
|
|
|
222 |
|
| 5.400% due 08/08/2028 (l) |
|
|
|
|
2,181 |
|
|
|
|
|
2,484 |
|
|
| Sealed Air Corp. |
|
| 4.000% due 12/01/2027 |
|
|
|
|
10 |
|
|
|
|
|
10 |
|
|
| Sensata Technologies, Inc. |
|
| 4.375% due 02/15/2030 |
|
|
|
|
30 |
|
|
|
|
|
30 |
|
|
| Silgan Holdings, Inc. |
|
| 4.125% due 02/01/2028 |
|
|
|
|
2 |
|
|
|
|
|
2 |
|
|
| Spanish Broadcasting System, Inc. |
|
| 12.500% due 04/15/2049 ^(e) |
|
|
|
|
1,909 |
|
|
|
|
|
1,991 |
|
|
| Spirit Issuer PLC |
|
| 3.492% (BP0003M + 2.700%) due 12/28/2031 ~ |
|
GBP |
|
|
1,000 |
|
|
|
|
|
1,309 |
|
|
| Staples, Inc. |
|
| 7.500% due 04/15/2026 |
|
$ |
|
|
13 |
|
|
|
|
|
13 |
|
|
| Station Casinos LLC |
|
| 4.500% due 02/15/2028 (c) |
|
|
|
|
62 |
|
|
|
|
|
62 |
|
|
| TEGNA, Inc. |
|
| 4.625% due 03/15/2028 |
|
|
|
|
188 |
|
|
|
|
|
189 |
|
|
| Telesat Canada |
|
| 4.875% due 06/01/2027 |
|
|
|
|
34 |
|
|
|
|
|
35 |
|
|
| Tenet Healthcare Corp. |
|
| 4.625% due 09/01/2024 |
|
|
|
|
13 |
|
|
|
|
|
13 |
|
|
| Teva Pharmaceutical Finance BV |
|
| 3.650% due 11/10/2021 |
|
|
|
|
1,913 |
|
|
|
|
|
1,895 |
|
|
| Teva Pharmaceutical Finance Co. BV |
|
| 2.950% due 12/18/2022 |
|
|
|
|
1,369 |
|
|
|
|
|
1,317 |
|
|
| Teva Pharmaceutical Finance Netherlands BV |
|
| 0.375% due 07/25/2020 |
|
EUR |
|
|
1,778 |
|
|
|
|
|
1,967 |
|
| 2.200% due 07/21/2021 |
|
$ |
|
|
612 |
|
|
|
|
|
604 |
|
| 3.250% due 04/15/2022 (l) |
|
EUR |
|
|
300 |
|
|
|
|
|
336 |
|
| 6.000% due 01/31/2025 |
|
|
|
|
100 |
|
|
|
|
|
119 |
|
|
| Topaz Solar Farms LLC |
|
| 4.875% due 09/30/2039 |
|
$ |
|
|
1,703 |
|
|
|
|
|
1,826 |
|
| 5.750% due 09/30/2039 (l) |
|
|
|
|
9,238 |
|
|
|
|
|
10,610 |
|
|
| TransDigm, Inc. |
|
| 5.500% due 11/15/2027 |
|
|
|
|
116 |
|
|
|
|
|
117 |
|
|
| Transocean Pontus Ltd. |
|
| 6.125% due 08/01/2025 |
|
|
|
|
135 |
|
|
|
|
|
140 |
|
|
| Transocean, Inc. |
|
| 7.250% due 11/01/2025 |
|
|
|
|
74 |
|
|
|
|
|
70 |
|
| 7.500% due 01/15/2026 |
|
|
|
|
69 |
|
|
|
|
|
65 |
|
| 8.000% due 02/01/2027 |
|
|
|
|
134 |
|
|
|
|
|
125 |
|
|
| Trident TPI Holdings, Inc. |
|
| 9.250% due 08/01/2024 |
|
|
|
|
19 |
|
|
|
|
|
19 |
|
|
| Triumph Group, Inc. |
|
| 5.250% due 06/01/2022 |
|
|
|
|
25 |
|
|
|
|
|
25 |
|
| 6.250% due 09/15/2024 |
|
|
|
|
70 |
|
|
|
|
|
73 |
|
|
| Unigel Luxembourg S.A. |
|
| 8.750% due 10/01/2026 |
|
|
|
|
400 |
|
|
|
|
|
415 |
|
|
| United Group BV |
|
| 3.125% due 02/15/2026 (c) |
|
EUR |
|
|
242 |
|
|
|
|
|
267 |
|
| 3.250% due 02/15/2026 •(c) |
|
|
|
|
100 |
|
|
|
|
|
112 |
|
| 3.625% due 02/15/2028 (c) |
|
|
|
|
300 |
|
|
|
|
|
331 |
|
| 4.375% due 07/01/2022 |
|
|
|
|
100 |
|
|
|
|
|
113 |
|
| 4.875% due 07/01/2024 |
|
|
|
|
100 |
|
|
|
|
|
115 |
|
|
| Univision Communications, Inc. |
|
| 5.125% due 02/15/2025 |
|
$ |
|
|
711 |
|
|
|
|
|
711 |
|
|
| Valaris PLC |
|
| 5.750% due 10/01/2044 |
|
|
|
|
309 |
|
|
|
|
|
129 |
|
| 7.750% due 02/01/2026 |
|
|
|
|
18 |
|
|
|
|
|
9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Vale Overseas Ltd. |
|
| 6.250% due 08/10/2026 |
|
$ |
|
|
167 |
|
|
$ |
|
|
198 |
|
| 6.875% due 11/21/2036 |
|
|
|
|
53 |
|
|
|
|
|
70 |
|
| 6.875% due 11/10/2039 |
|
|
|
|
41 |
|
|
|
|
|
55 |
|
|
| Vale S.A. |
|
| 3.750% due 01/10/2023 |
|
EUR |
|
|
100 |
|
|
|
|
|
121 |
|
|
| ViaSat, Inc. |
|
| 5.625% due 09/15/2025 |
|
$ |
|
|
83 |
|
|
|
|
|
85 |
|
| 5.625% due 04/15/2027 |
|
|
|
|
12 |
|
|
|
|
|
13 |
|
|
| Western Midstream Operating LP |
|
| 2.698% (US0003M + 0.850%) due 01/13/2023 ~ |
|
|
|
|
46 |
|
|
|
|
|
46 |
|
| 3.100% due 02/01/2025 |
|
|
|
|
32 |
|
|
|
|
|
32 |
|
| 4.050% due 02/01/2030 |
|
|
|
|
32 |
|
|
|
|
|
32 |
|
| 5.250% due 02/01/2050 |
|
|
|
|
32 |
|
|
|
|
|
31 |
|
|
| WPX Energy, Inc. |
|
| 4.500% due 01/15/2030 |
|
|
|
|
70 |
|
|
|
|
|
71 |
|
|
| Wyndham Destinations, Inc. |
|
| 3.900% due 03/01/2023 |
|
|
|
|
74 |
|
|
|
|
|
75 |
|
| 4.625% due 03/01/2030 |
|
|
|
|
47 |
|
|
|
|
|
48 |
|
| 5.400% due 04/01/2024 |
|
|
|
|
10 |
|
|
|
|
|
11 |
|
| 5.750% due 04/01/2027 |
|
|
|
|
740 |
|
|
|
|
|
810 |
|
|
| Wynn Macau Ltd. |
|
| 5.125% due 12/15/2029 |
|
|
|
|
200 |
|
|
|
|
|
199 |
|
|
| YPF S.A. |
|
| 52.818% (BADLARPP + 6.000%) due 03/04/2021 «~(a) |
|
ARS |
|
|
7,850 |
|
|
|
|
|
93 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES 9.3% |
|
|
| Centrais Eletricas Brasileiras S.A. |
|
| 3.625% due 02/04/2025 (c) |
|
$ |
|
|
200 |
|
|
|
|
|
201 |
|
| 4.625% due 02/04/2030 (c) |
|
|
|
|
200 |
|
|
|
|
|
203 |
|
|
| CenturyLink, Inc. |
|
| 4.000% due 02/15/2027 |
|
|
|
|
62 |
|
|
|
|
|
62 |
|
|
| DTEK Finance PLC (10.750% Cash and 0.000% PIK) |
|
| 10.750% due 12/31/2024 (d) |
|
|
|
|
1,252 |
|
|
|
|
|
1,302 |
|
|
| Edison International |
|
| 2.400% due 09/15/2022 |
|
|
|
|
62 |
|
|
|
|
|
62 |
|
| 2.950% due 03/15/2023 |
|
|
|
|
5 |
|
|
|
|
|
5 |
|
| 3.125% due 11/15/2022 |
|
|
|
|
70 |
|
|
|
|
|
72 |
|
| 3.550% due 11/15/2024 |
|
|
|
|
77 |
|
|
|
|
|
81 |
|
| 5.750% due 06/15/2027 |
|
|
|
|
65 |
|
|
|
|
|
75 |
|
|
| Frontier Communications Corp. |
|
| 8.000% due 04/01/2027 |
|
|
|
|
106 |
|
|
|
|
|
111 |
|
|
| Gazprom Neft OAO Via GPN Capital S.A. |
|
| 6.000% due 11/27/2023 (l) |
|
|
|
|
9,600 |
|
|
|
|
|
10,728 |
|
|
| Northwestern Bell Telephone |
|
| 7.750% due 05/01/2030 |
|
|
|
|
12,625 |
|
|
|
|
|
13,666 |
|
|
| Odebrecht Drilling Norbe Ltd. |
|
| 6.350% due 12/01/2021 ^ |
|
|
|
|
63 |
|
|
|
|
|
63 |
|
|
| Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
|
| 7.350% due 12/01/2026 ^(d) |
|
|
|
|
224 |
|
|
|
|
|
131 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. |
|
| 6.720% due 12/01/2022 ^ |
|
|
|
|
1,580 |
|
|
|
|
|
1,572 |
|
|
| Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
|
| 7.720% due 12/01/2026 ^(d) |
|
|
|
|
7,013 |
|
|
|
|
|
1,753 |
|
|
| Pacific Gas & Electric Co. |
|
| 2.450% due 08/15/2022 ^(e) |
|
|
|
|
310 |
|
|
|
|
|
329 |
|
| 3.250% due 09/15/2021 ^(e) |
|
|
|
|
96 |
|
|
|
|
|
102 |
|
| 3.250% due 06/15/2023 ^(e) |
|
|
|
|
1,593 |
|
|
|
|
|
1,657 |
|
| 3.300% due 03/15/2027 ^(e) |
|
|
|
|
1,741 |
|
|
|
|
|
1,819 |
|
| 3.400% due 08/15/2024 ^(e) |
|
|
|
|
394 |
|
|
|
|
|
418 |
|
| 3.500% due 06/15/2025 ^(e) |
|
|
|
|
381 |
|
|
|
|
|
402 |
|
| 3.750% due 02/15/2024 ^(e) |
|
|
|
|
174 |
|
|
|
|
|
186 |
|
| 3.750% due 08/15/2042 ^(e) |
|
|
|
|
22 |
|
|
|
|
|
22 |
|
| 3.850% due 11/15/2023 ^(e) |
|
|
|
|
392 |
|
|
|
|
|
421 |
|
| 4.000% due 12/01/2046 ^(e) |
|
|
|
|
8 |
|
|
|
|
|
8 |
|
| 4.250% due 05/15/2021 ^(e)(l) |
|
|
|
|
2,483 |
|
|
|
|
|
2,639 |
|
| 4.300% due 03/15/2045 ^(e) |
|
|
|
|
27 |
|
|
|
|
|
29 |
|
| 4.500% due 12/15/2041 ^(e) |
|
|
|
|
22 |
|
|
|
|
|
24 |
|
| 4.600% due 06/15/2043 ^(e) |
|
|
|
|
18 |
|
|
|
|
|
20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 4.650% due 08/01/2028 ^(e) |
|
$ |
|
|
1,055 |
|
|
$ |
|
|
1,227 |
|
| 4.750% due 02/15/2044 ^(e) |
|
|
|
|
779 |
|
|
|
|
|
886 |
|
| 5.125% due 11/15/2043 ^(e) |
|
|
|
|
875 |
|
|
|
|
|
998 |
|
| 5.400% due 01/15/2040 ^(e) |
|
|
|
|
18 |
|
|
|
|
|
21 |
|
| 5.800% due 03/01/2037 ^(e) |
|
|
|
|
4,220 |
|
|
|
|
|
4,864 |
|
| 6.050% due 03/01/2034 ^(e) |
|
|
|
|
2,052 |
|
|
|
|
|
2,364 |
|
| 6.250% due 03/01/2039 ^(e) |
|
|
|
|
631 |
|
|
|
|
|
726 |
|
| 6.350% due 02/15/2038 ^(e) |
|
|
|
|
825 |
|
|
|
|
|
956 |
|
|
| Petrobras Global Finance BV |
|
| 5.093% due 01/15/2030 |
|
|
|
|
4,895 |
|
|
|
|
|
5,378 |
|
| 6.625% due 01/16/2034 |
|
GBP |
|
|
100 |
|
|
|
|
|
161 |
|
|
| RCS & RDS S.A. |
|
| 2.500% due 02/05/2025 (c) |
|
EUR |
|
|
200 |
|
|
|
|
|
223 |
|
|
| Rio Oil Finance Trust |
|
| 8.200% due 04/06/2028 |
|
$ |
|
|
250 |
|
|
|
|
|
293 |
|
| 9.250% due 07/06/2024 |
|
|
|
|
2,063 |
|
|
|
|
|
2,316 |
|
| 9.750% due 01/06/2027 |
|
|
|
|
514 |
|
|
|
|
|
609 |
|
|
| Southern California Edison Co. |
|
| 2.850% due 08/01/2029 |
|
|
|
|
16 |
|
|
|
|
|
17 |
|
| 3.650% due 03/01/2028 |
|
|
|
|
5 |
|
|
|
|
|
5 |
|
| 3.650% due 02/01/2050 |
|
|
|
|
31 |
|
|
|
|
|
33 |
|
| 5.750% due 04/01/2035 |
|
|
|
|
10 |
|
|
|
|
|
13 |
|
| 6.000% due 01/15/2034 |
|
|
|
|
2 |
|
|
|
|
|
3 |
|
| 6.650% due 04/01/2029 |
|
|
|
|
40 |
|
|
|
|
|
50 |
|
|
| Southern California Gas Co. |
|
| 2.550% due 02/01/2030 |
|
|
|
|
78 |
|
|
|
|
|
80 |
|
|
| Sprint Corp. |
|
| 7.125% due 06/15/2024 |
|
|
|
|
430 |
|
|
|
|
|
445 |
|
| 7.250% due 02/01/2028 (c) |
|
|
|
|
319 |
|
|
|
|
|
316 |
|
| 7.625% due 02/15/2025 |
|
|
|
|
494 |
|
|
|
|
|
516 |
|
| 7.625% due 03/01/2026 |
|
|
|
|
2,122 |
|
|
|
|
|
2,219 |
|
|
| Talen Energy Supply LLC |
|
| 6.625% due 01/15/2028 |
|
|
|
|
30 |
|
|
|
|
|
30 |
|
|
| Transocean Poseidon Ltd. |
|
| 6.875% due 02/01/2027 |
|
|
|
|
114 |
|
|
|
|
|
119 |
|
|
| Transocean Sentry Ltd. |
|
| 5.375% due 05/15/2023 |
|
|
|
|
100 |
|
|
|
|
|
101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds & Notes (Cost $348,348) |
|
|
367,362 |
|
|
|
|
|
|
|
|
| CONVERTIBLE BONDS & NOTES 0.8% |
|
|
|
| INDUSTRIALS 0.8% |
|
|
| Caesars Entertainment Corp. |
|
| 5.000% due 10/01/2024 |
|
|
|
|
1,066 |
|
|
|
|
|
2,061 |
|
|
| DISH Network Corp. |
|
| 3.375% due 08/15/2026 |
|
|
|
|
3,400 |
|
|
|
|
|
3,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES 0.0% |
|
|
| Ensco Jersey Finance Ltd. |
|
| 3.000% due 01/31/2024 |
|
|
|
|
10 |
|
|
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Convertible Bonds & Notes
(Cost $5,397) |
|
|
5,377 |
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS & NOTES 5.2% |
|
|
|
| CALIFORNIA 0.6% |
|
|
| Riverside County, California Redevelopment Successor Agency Tax Allocation Bonds, Series
2010 |
|
| 7.500% due 10/01/2030 |
|
|
|
|
1,200 |
|
|
|
|
|
1,245 |
|
|
| San Francisco, California City & County Redevelopment Agency Tax Allocation Bonds,
Series 2009 |
|
| 8.406% due 08/01/2039 |
|
|
|
|
1,650 |
|
|
|
|
|
2,726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,971 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ILLINOIS 0.1% |
|
|
| Chicago, Illinois General Obligation Bonds, Series 2015 |
|
| 7.750% due 01/01/2042 |
|
|
|
|
56 |
|
|
|
|
|
64 |
|
|
|
|
|
|
|
|
|
|
| 76 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Illinois State General Obligation Bonds, (BABs), Series 2010 |
|
| 6.725% due 04/01/2035 |
|
$ |
|
|
35 |
|
|
$ |
|
|
43 |
|
| 7.350% due 07/01/2035 |
|
|
|
|
20 |
|
|
|
|
|
25 |
|
|
| Illinois State General Obligation Bonds, Series 2003 |
|
| 5.100% due 06/01/2033 |
|
|
|
|
280 |
|
|
|
|
|
316 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
448 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OHIO 2.2% |
|
|
| Ohio State University Revenue Bonds, Series 2011 |
|
| 4.800% due 06/01/2111 |
|
|
|
|
11,000 |
|
|
|
|
|
15,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| VIRGINIA 0.1% |
|
|
| Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
|
| 6.706% due 06/01/2046 |
|
|
|
|
810 |
|
|
|
|
|
819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WEST VIRGINIA 2.2% |
|
|
| Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series
2007 |
|
| 0.000% due 06/01/2047 (h) |
|
|
|
|
45,700 |
|
|
|
|
|
2,120 |
|
| 7.467% due 06/01/2047 |
|
|
|
|
11,810 |
|
|
|
|
|
12,712 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,832 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds & Notes
(Cost $26,796) |
|
|
35,519 |
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCIES 3.1% |
|
|
| Fannie Mae |
|
| 3.500% due 02/25/2042 (a) |
|
|
|
|
675 |
|
|
|
|
|
70 |
|
| 4.500% due 11/25/2042 (a) |
|
|
|
|
1,816 |
|
|
|
|
|
272 |
|
| 4.589% due 01/25/2040 •(a) |
|
|
|
|
269 |
|
|
|
|
|
48 |
|
|
| Freddie Mac |
|
| 0.000% due 02/25/2046 (b)(h) |
|
|
|
|
6,583 |
|
|
|
|
|
6,153 |
|
| 0.100% due 02/25/2046 (a) |
|
|
|
|
78,986 |
|
|
|
|
|
45 |
|
| 0.289% due 11/25/2055 ~(a) |
|
|
|
|
35,041 |
|
|
|
|
|
2,947 |
|
| 2.550% due 11/25/2055 «~ |
|
|
|
|
8,498 |
|
|
|
|
|
5,158 |
|
| 3.000% due 02/15/2033 (a) |
|
|
|
|
1,541 |
|
|
|
|
|
147 |
|
| 3.500% due 12/15/2032 (a) |
|
|
|
|
2,660 |
|
|
|
|
|
293 |
|
| 7.251% due 09/15/2035 • |
|
|
|
|
776 |
|
|
|
|
|
1,007 |
|
| 9.211% due 12/25/2027 • |
|
|
|
|
2,879 |
|
|
|
|
|
3,458 |
|
| 12.411% due 03/25/2025 • |
|
|
|
|
720 |
|
|
|
|
|
942 |
|
|
| Ginnie Mae |
|
| 3.500% due 06/20/2042 - 10/20/2042 (a) |
|
|
|
|
557 |
|
|
|
|
|
65 |
|
| 4.000% due 10/16/2042 - 10/20/2042 (a) |
|
|
|
|
327 |
|
|
|
|
|
48 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Agencies (Cost $19,781) |
|
|
20,653 |
|
|
|
|
|
|
|
|
| NON-AGENCY MORTGAGE-BACKED SECURITIES 14.6% |
|
|
| Banc of America Alternative Loan Trust |
|
| 6.000% due 01/25/2036 ^ |
|
|
|
|
83 |
|
|
|
|
|
83 |
|
|
| Banc of America Funding Corp. |
|
| 6.000% due 01/25/2037 |
|
|
|
|
5,026 |
|
|
|
|
|
4,884 |
|
|
| Banc of America Funding Trust |
|
| 4.183% due 01/20/2047 ^~ |
|
|
|
|
783 |
|
|
|
|
|
768 |
|
|
| BCAP LLC Trust |
|
| 0.000% due 06/26/2036 ~ |
|
|
|
|
121 |
|
|
|
|
|
62 |
|
| 3.690% due 08/28/2037 ~ |
|
|
|
|
5,853 |
|
|
|
|
|
5,818 |
|
| 3.762% due 08/26/2037 ~ |
|
|
|
|
13,293 |
|
|
|
|
|
10,602 |
|
| 3.943% due 07/26/2037 ~ |
|
|
|
|
7,831 |
|
|
|
|
|
8,014 |
|
| 4.657% due 09/26/2036 ~ |
|
|
|
|
4,950 |
|
|
|
|
|
4,644 |
|
| 4.850% due 03/26/2037 þ |
|
|
|
|
743 |
|
|
|
|
|
907 |
|
| 5.750% due 12/26/2035 ~ |
|
|
|
|
3,147 |
|
|
|
|
|
2,885 |
|
| 6.250% due 11/26/2036 |
|
|
|
|
3,653 |
|
|
|
|
|
3,192 |
|
| 9.057% due 05/26/2037 ~ |
|
|
|
|
1,070 |
|
|
|
|
|
466 |
|
|
| Bear Stearns ALT-A Trust |
|
| 2.161% due 01/25/2036 ^• |
|
|
|
|
984 |
|
|
|
|
|
1,150 |
|
| 3.801% due 11/25/2036 ^~ |
|
|
|
|
379 |
|
|
|
|
|
317 |
|
| 3.826% due 09/25/2047 ^~ |
|
|
|
|
5,339 |
|
|
|
|
|
4,311 |
|
| 4.089% due 11/25/2035 ~ |
|
|
|
|
5,680 |
|
|
|
|
|
4,900 |
|
| 4.229% due 09/25/2035 ^~ |
|
|
|
|
473 |
|
|
|
|
|
391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| CD Mortgage Trust |
|
| 5.688% due 10/15/2048 |
|
$ |
|
|
1,542 |
|
|
$ |
|
|
933 |
|
|
| Chase Mortgage Finance Trust |
|
| 3.794% due 12/25/2035 ^~ |
|
|
|
|
6 |
|
|
|
|
|
6 |
|
| 5.500% due 05/25/2036 ^ |
|
|
|
|
11 |
|
|
|
|
|
10 |
|
|
| Citicorp Mortgage Securities Trust |
|
| 5.500% due 04/25/2037 |
|
|
|
|
76 |
|
|
|
|
|
79 |
|
| 6.000% due 09/25/2037 |
|
|
|
|
878 |
|
|
|
|
|
910 |
|
|
| Commercial Mortgage Loan Trust |
|
| 6.254% due 12/10/2049 ~ |
|
|
|
|
1,867 |
|
|
|
|
|
1,240 |
|
|
| Countrywide Alternative Loan Resecuritization Trust |
|
| 6.000% due 05/25/2036 ^ |
|
|
|
|
2,126 |
|
|
|
|
|
1,776 |
|
| 6.000% due 08/25/2037 ^~ |
|
|
|
|
995 |
|
|
|
|
|
775 |
|
|
| Countrywide Alternative Loan Trust |
|
| 4.538% due 04/25/2036 ^~ |
|
|
|
|
911 |
|
|
|
|
|
844 |
|
| 5.500% due 03/25/2035 |
|
|
|
|
274 |
|
|
|
|
|
197 |
|
| 5.500% due 01/25/2036 |
|
|
|
|
496 |
|
|
|
|
|
440 |
|
| 5.750% due 01/25/2035 |
|
|
|
|
247 |
|
|
|
|
|
255 |
|
| 5.750% due 02/25/2035 |
|
|
|
|
321 |
|
|
|
|
|
318 |
|
| 5.750% due 12/25/2036 ^ |
|
|
|
|
739 |
|
|
|
|
|
494 |
|
| 6.000% due 02/25/2035 |
|
|
|
|
357 |
|
|
|
|
|
355 |
|
| 6.000% due 04/25/2036 |
|
|
|
|
465 |
|
|
|
|
|
329 |
|
| 6.000% due 04/25/2037 ^ |
|
|
|
|
1,598 |
|
|
|
|
|
1,110 |
|
| 6.250% due 11/25/2036 ^ |
|
|
|
|
676 |
|
|
|
|
|
621 |
|
| 6.250% due 12/25/2036 ^• |
|
|
|
|
538 |
|
|
|
|
|
382 |
|
| 6.500% due 08/25/2036 ^ |
|
|
|
|
455 |
|
|
|
|
|
273 |
|
|
| Countrywide Home Loan Mortgage Pass-Through Trust |
|
| 2.241% due 03/25/2035 ^• |
|
|
|
|
3,935 |
|
|
|
|
|
3,463 |
|
| 6.000% due 07/25/2037 |
|
|
|
|
1,477 |
|
|
|
|
|
1,065 |
|
| 6.250% due 09/25/2036 ^ |
|
|
|
|
520 |
|
|
|
|
|
387 |
|
|
| Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates |
|
| 6.000% due 11/25/2035 ^ |
|
|
|
|
387 |
|
|
|
|
|
317 |
|
|
| Credit Suisse Mortgage Capital Certificates |
|
| 4.125% due 10/26/2036 ~ |
|
|
|
|
7,024 |
|
|
|
|
|
5,476 |
|
|
| Credit Suisse Mortgage Capital Mortgage-Backed Trust |
|
| 5.750% due 04/25/2036 ^ |
|
|
|
|
145 |
|
|
|
|
|
112 |
|
|
| First Horizon Mortgage Pass-Through Trust |
|
| 4.500% due 11/25/2035 ^~ |
|
|
|
|
187 |
|
|
|
|
|
171 |
|
| 4.594% due 05/25/2037 ^~ |
|
|
|
|
228 |
|
|
|
|
|
171 |
|
|
| GS Mortgage Securities Trust |
|
| 5.622% due 11/10/2039 |
|
|
|
|
684 |
|
|
|
|
|
536 |
|
|
| IndyMac Mortgage Loan Trust |
|
| 6.500% due 07/25/2037 ^ |
|
|
|
|
3,509 |
|
|
|
|
|
1,999 |
|
|
| JPMorgan Alternative Loan Trust |
|
| 3.667% due 03/25/2037 ^~ |
|
|
|
|
839 |
|
|
|
|
|
834 |
|
| 3.903% due 03/25/2036 ^~ |
|
|
|
|
1,578 |
|
|
|
|
|
1,442 |
|
| 4.890% due 05/25/2036 ^~ |
|
|
|
|
1,409 |
|
|
|
|
|
1,057 |
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust |
|
| 5.623% due 05/12/2045 |
|
|
|
|
117 |
|
|
|
|
|
106 |
|
|
| JPMorgan Mortgage Trust |
|
| 3.640% due 02/25/2036 ^~ |
|
|
|
|
243 |
|
|
|
|
|
201 |
|
| 4.083% due 10/25/2035 ~ |
|
|
|
|
184 |
|
|
|
|
|
183 |
|
| 6.500% due 09/25/2035 |
|
|
|
|
86 |
|
|
|
|
|
84 |
|
|
| LB-UBS Commercial Mortgage Trust |
|
| 5.407% due 11/15/2038 ^ |
|
|
|
|
742 |
|
|
|
|
|
441 |
|
| 5.562% due 02/15/2040 ^~ |
|
|
|
|
314 |
|
|
|
|
|
187 |
|
|
| Lehman Mortgage Trust |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
694 |
|
|
|
|
|
656 |
|
| 6.500% due 09/25/2037 ^ |
|
|
|
|
2,019 |
|
|
|
|
|
1,155 |
|
|
| Lehman XS Trust |
|
| 1.881% due 06/25/2047 • |
|
|
|
|
1,624 |
|
|
|
|
|
1,498 |
|
|
| MASTR Asset Securitization Trust |
|
| 6.500% due 11/25/2037 ^ |
|
|
|
|
460 |
|
|
|
|
|
285 |
|
|
| Merrill Lynch Mortgage Investors Trust |
|
| 4.081% due 03/25/2036 ^~ |
|
|
|
|
1,553 |
|
|
|
|
|
1,104 |
|
|
| Nomura Asset Acceptance Corp. Alternative Loan Trust |
|
| 5.476% due 05/25/2035 ^þ |
|
|
|
|
11 |
|
|
|
|
|
8 |
|
|
| Residential Accredit Loans, Inc. Trust |
|
| 4.850% due 12/26/2034 ^~ |
|
|
|
|
828 |
|
|
|
|
|
573 |
|
| 6.000% due 08/25/2036 ^ |
|
|
|
|
275 |
|
|
|
|
|
270 |
|
|
| Residential Asset Securitization Trust |
|
| 5.750% due 02/25/2036 ^ |
|
|
|
|
1,006 |
|
|
|
|
|
696 |
|
| 6.000% due 07/25/2037 ^ |
|
|
|
|
1,424 |
|
|
|
|
|
860 |
|
| 6.250% due 09/25/2037 ^ |
|
|
|
|
2,609 |
|
|
|
|
|
1,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Residential Funding Mortgage Securities, Inc. Trust |
|
| 4.627% due 09/25/2035 ~ |
|
$ |
|
|
609 |
|
|
$ |
|
|
449 |
|
| 5.277% due 08/25/2036 ^~ |
|
|
|
|
721 |
|
|
|
|
|
702 |
|
|
| Structured Adjustable Rate Mortgage Loan Trust |
|
| 3.731% due 11/25/2036 ^~ |
|
|
|
|
1,825 |
|
|
|
|
|
1,754 |
|
| 3.856% due 01/25/2036 ^~ |
|
|
|
|
1,917 |
|
|
|
|
|
1,424 |
|
|
| SunTrust Adjustable Rate Mortgage Loan Trust |
|
| 4.049% due 02/25/2037 ^~ |
|
|
|
|
199 |
|
|
|
|
|
191 |
|
|
| WaMu Mortgage Pass-Through Certificates Trust |
|
| 3.688% due 10/25/2036 ^~ |
|
|
|
|
731 |
|
|
|
|
|
689 |
|
| 3.813% due 02/25/2037 ^~ |
|
|
|
|
483 |
|
|
|
|
|
467 |
|
| 3.921% due 05/25/2037 ^~ |
|
|
|
|
1,136 |
|
|
|
|
|
1,125 |
|
| 3.990% due 07/25/2037 ^~ |
|
|
|
|
827 |
|
|
|
|
|
792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities (Cost
$89,685) |
|
|
99,261 |
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES 15.1% |
|
|
| Adagio CLO DAC |
|
| 0.000% due 04/30/2031 ~ |
|
EUR |
|
|
1,800 |
|
|
|
|
|
1,359 |
|
|
| Apidos CLO |
|
| 0.000% due 07/22/2026 ~ |
|
$ |
|
|
1,500 |
|
|
|
|
|
45 |
|
| 0.000% due 01/20/2031 ~ |
|
|
|
|
4,500 |
|
|
|
|
|
3,094 |
|
|
| Argent Securities Trust |
|
| 1.851% due 03/25/2036 • |
|
|
|
|
3,638 |
|
|
|
|
|
2,268 |
|
|
| Avoca CLO DAC |
|
| 0.000% due 07/15/2032 ~ |
|
EUR |
|
|
2,230 |
|
|
|
|
|
2,021 |
|
|
| Bear Stearns Asset-Backed Securities Trust |
|
| 1.801% due 10/25/2036 ^• |
|
$ |
|
|
3,639 |
|
|
|
|
|
4,426 |
|
| 6.500% due 10/25/2036 ^ |
|
|
|
|
342 |
|
|
|
|
|
257 |
|
|
| Belle Haven ABS CDO Ltd. |
|
| 2.539% due 07/05/2046 • |
|
|
|
|
180,259 |
|
|
|
|
|
252 |
|
|
| CIFC Funding Ltd. |
|
| 0.000% due 04/24/2030 ~ |
|
|
|
|
2,400 |
|
|
|
|
|
1,168 |
|
| 0.000% due 10/22/2031 ~ |
|
|
|
|
1,500 |
|
|
|
|
|
650 |
|
|
| Citigroup Mortgage Loan Trust |
|
| 1.811% due 12/25/2036 • |
|
|
|
|
14,488 |
|
|
|
|
|
7,800 |
|
| 1.821% due 12/25/2036 • |
|
|
|
|
1,847 |
|
|
|
|
|
1,276 |
|
|
| Cork Street CLO Designated Activity Co. |
|
| 0.000% due 11/27/2028 ~ |
|
EUR |
|
|
2,366 |
|
|
|
|
|
2,511 |
|
|
| Countrywide Asset-Backed Certificates |
|
| 1.801% due 12/25/2046 • |
|
$ |
|
|
11,790 |
|
|
|
|
|
10,898 |
|
| 1.801% due 06/25/2047 ^• |
|
|
|
|
1,353 |
|
|
|
|
|
1,247 |
|
| 1.831% due 03/25/2037 • |
|
|
|
|
1,188 |
|
|
|
|
|
1,124 |
|
| 1.861% due 06/25/2047 ^• |
|
|
|
|
9,044 |
|
|
|
|
|
8,366 |
|
|
| Countrywide Asset-Backed Certificates Trust |
|
| 2.411% due 11/25/2035 • |
|
|
|
|
4,008 |
|
|
|
|
|
4,033 |
|
|
| Flagship Credit Auto Trust |
|
| 0.000% due 05/15/2025 «(h) |
|
|
|
|
8 |
|
|
|
|
|
872 |
|
|
| Fremont Home Loan Trust |
|
| 1.811% due 01/25/2037 • |
|
|
|
|
13,777 |
|
|
|
|
|
7,915 |
|
|
| Grosvenor Place CLO BV |
|
| 0.000% due 04/30/2029 ~ |
|
EUR |
|
|
500 |
|
|
|
|
|
343 |
|
|
| Home Equity Mortgage Loan Asset-Backed Trust |
|
| 1.821% due 07/25/2037 • |
|
$ |
|
|
2,935 |
|
|
|
|
|
1,989 |
|
|
| HSI Asset Securitization Corp. Trust |
|
| 0.000% due 10/25/2036 (b)(h) |
|
|
|
|
2,754 |
|
|
|
|
|
1,182 |
|
|
| Lehman XS Trust |
|
| 6.290% due 06/24/2046 þ |
|
|
|
|
2,077 |
|
|
|
|
|
2,083 |
|
|
| Long Beach Mortgage Loan Trust |
|
| 1.961% due 01/25/2036 • |
|
|
|
|
4,099 |
|
|
|
|
|
3,904 |
|
|
| Marlette Funding Trust |
|
| 0.000% due 09/17/2029 «(h) |
|
|
|
|
7 |
|
|
|
|
|
2,631 |
|
| 0.000% due 03/15/2030 «(h) |
|
|
|
|
6 |
|
|
|
|
|
2,144 |
|
|
| Merrill Lynch Mortgage Investors Trust |
|
| 1.821% due 04/25/2037 • |
|
|
|
|
499 |
|
|
|
|
|
302 |
|
|
| Morgan Stanley Mortgage Loan Trust |
|
| 6.250% due 02/25/2037 ^~ |
|
|
|
|
609 |
|
|
|
|
|
426 |
|
|
| SLM Student Loan EDC Repackaging Trust |
|
| 0.000% due 10/28/2029 «(h) |
|
|
|
|
1 |
|
|
|
|
|
1,539 |
|
|
| SLM Student Loan Trust |
|
| 0.000% due 01/25/2042 «(h) |
|
|
|
|
4 |
|
|
|
|
|
2,631 |
|
|
| SMB Private Education Loan Trust |
|
| 0.000% due 09/18/2046 «(h) |
|
|
|
|
1 |
|
|
|
|
|
940 |
|
| 0.000% due 10/15/2048 «(h) |
|
|
|
|
1 |
|
|
|
|
|
750 |
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
77 |
Schedule of Investments PIMCO Income
Strategy Fund II (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| SoFi Consumer Loan Program LLC |
|
| 0.000% due 11/25/2026 «(h) |
|
$ |
|
|
46 |
|
|
$ |
|
|
2,183 |
|
|
| SoFi Professional Loan Program LLC |
|
| 0.000% due 05/25/2040 (h) |
|
|
|
|
4,400 |
|
|
|
|
|
1,553 |
|
| 0.000% due 07/25/2040 «(h) |
|
|
|
|
21 |
|
|
|
|
|
864 |
|
| 0.000% due 09/25/2040 (h) |
|
|
|
|
1,758 |
|
|
|
|
|
851 |
|
|
| South Coast Funding Ltd. |
|
| 2.501% due 08/10/2038 • |
|
|
|
|
11,991 |
|
|
|
|
|
2,014 |
|
|
| Taberna Preferred Funding Ltd. |
|
| 2.251% due 12/05/2036 • |
|
|
|
|
4,953 |
|
|
|
|
|
4,364 |
|
| 2.271% due 08/05/2036 • |
|
|
|
|
315 |
|
|
|
|
|
281 |
|
| 2.271% due 08/05/2036 ^• |
|
|
|
|
6,225 |
|
|
|
|
|
5,548 |
|
| 2.370% due 07/05/2035 • |
|
|
|
|
2,801 |
|
|
|
|
|
2,548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities (Cost $110,654) |
|
|
102,652 |
|
|
|
|
|
|
|
|
| SOVEREIGN ISSUES 5.2% |
|
|
| Argentina Government International Bond |
|
| 2.500% due 07/22/2021 |
|
ARS |
|
|
16,167 |
|
|
|
|
|
139 |
|
| 3.375% due 01/15/2023 |
|
EUR |
|
|
200 |
|
|
|
|
|
100 |
|
| 3.380% due 12/31/2038 þ |
|
|
|
|
3,270 |
|
|
|
|
|
1,514 |
|
| 4.000% due 03/06/2020 |
|
ARS |
|
|
108,160 |
|
|
|
|
|
1,120 |
|
| 5.250% due 01/15/2028 |
|
EUR |
|
|
200 |
|
|
|
|
|
94 |
|
| 6.250% due 11/09/2047 |
|
|
|
|
100 |
|
|
|
|
|
46 |
|
| 7.820% due 12/31/2033 |
|
|
|
|
9,789 |
|
|
|
|
|
5,794 |
|
| 15.500% due 10/17/2026 |
|
ARS |
|
|
61,630 |
|
|
|
|
|
249 |
|
| 38.154% (BADLARPP + 2.000%) due 04/03/2022 ~ |
|
|
|
|
63,722 |
|
|
|
|
|
485 |
|
| 42.524% (BADLARPP + 3.250%) due 03/01/2020 ~ |
|
|
|
|
1,200 |
|
|
|
|
|
13 |
|
| 42.781% (BADLARPP) due 10/04/2022 ~ |
|
|
|
|
58 |
|
|
|
|
|
1 |
|
| 53.323% (ARLLMONP) due 06/21/2020 ~(a) |
|
|
|
|
121,111 |
|
|
|
|
|
1,002 |
|
|
| Autonomous City of Buenos Aires Argentina |
|
| 39.421% due 03/29/2024 • |
|
|
|
|
199,019 |
|
|
|
|
|
2,077 |
|
| 39.745% (BADLARPP + 5.000%) due 01/23/2022 ~ |
|
|
|
|
93,360 |
|
|
|
|
|
1,037 |
|
|
| Autonomous Community of Catalonia |
|
| 4.900% due 09/15/2021 |
|
EUR |
|
|
1,500 |
|
|
|
|
|
1,790 |
|
|
| Export-Credit Bank of Turkey |
|
| 8.250% due 01/24/2024 |
|
$ |
|
|
200 |
|
|
|
|
|
223 |
|
|
| Peru Government International Bond |
|
| 5.400% due 08/12/2034 |
|
PEN |
|
|
12 |
|
|
|
|
|
4 |
|
| 5.940% due 02/12/2029 |
|
|
|
|
2,591 |
|
|
|
|
|
879 |
|
| 6.150% due 08/12/2032 |
|
|
|
|
391 |
|
|
|
|
|
134 |
|
| 6.350% due 08/12/2028 |
|
|
|
|
6,436 |
|
|
|
|
|
2,237 |
|
| 6.900% due 08/12/2037 |
|
|
|
|
93 |
|
|
|
|
|
34 |
|
| 6.950% due 08/12/2031 |
|
|
|
|
929 |
|
|
|
|
|
337 |
|
| 8.200% due 08/12/2026 |
|
|
|
|
4,536 |
|
|
|
|
|
1,717 |
|
|
| Provincia de Buenos Aires |
|
| 39.293% (BADLARPP + 3.750%) due 04/12/2025 ~ |
|
ARS |
|
|
363,012 |
|
|
|
|
|
2,391 |
|
|
| South Africa Government International Bond |
|
| 4.850% due 09/30/2029 |
|
$ |
|
|
1,200 |
|
|
|
|
|
1,214 |
|
| 5.750% due 09/30/2049 |
|
|
|
|
1,200 |
|
|
|
|
|
1,183 |
|
|
| Turkey Government International Bond |
|
| 3.250% due 06/14/2025 |
|
EUR |
|
|
100 |
|
|
|
|
|
114 |
|
| 4.625% due 03/31/2025 |
|
|
|
|
1,700 |
|
|
|
|
|
2,071 |
|
| 5.200% due 02/16/2026 |
|
|
|
|
600 |
|
|
|
|
|
747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
MARKET
VALUE
(000S) |
|
| 5.600% due 11/14/2024 |
|
$ |
|
|
2,900 |
|
|
$ |
|
|
3,060 |
|
| 7.625% due 04/26/2029 |
|
|
|
|
1,900 |
|
|
|
|
|
2,212 |
|
|
| Ukraine Government International Bond |
|
| 4.375% due 01/27/2030 |
|
EUR |
|
|
1,205 |
|
|
|
|
|
1,329 |
|
|
| Venezuela Government International Bond |
|
| 6.000% due 12/09/2020 ^(e) |
|
$ |
|
|
248 |
|
|
|
|
|
32 |
|
| 8.250% due 10/13/2024 ^(e) |
|
|
|
|
28 |
|
|
|
|
|
4 |
|
| 9.250% due 09/15/2027 ^(e) |
|
|
|
|
315 |
|
|
|
|
|
40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Issues (Cost $54,200) |
|
|
35,423 |
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
|
|
| COMMON STOCKS 1.4% |
|
|
|
| COMMUNICATION SERVICES 0.3% |
|
|
|
|
|
|
| Clear Channel Outdoor Holdings, Inc. (f) |
|
|
|
|
549,096 |
|
|
|
|
|
1,499 |
|
|
|
|
|
|
| iHeartMedia, Inc. (f) |
|
|
|
|
412 |
|
|
|
|
|
7 |
|
|
|
|
|
|
| iHeartMedia, Inc. ‘A’ (f) |
|
|
|
|
30,657 |
|
|
|
|
|
542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,048 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER DISCRETIONARY 1.0% |
|
|
|
|
|
| Caesars Entertainment Corp. (f) |
|
|
486,164 |
|
|
|
|
|
6,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY 0.0% |
|
|
|
|
|
|
| Forbes Energy Services Ltd. (f)(j) |
|
|
|
|
21,825 |
|
|
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.1% |
|
|
|
|
|
|
| Westmoreland Mining Holdings LLC «(f)(j) |
|
|
|
|
53,248 |
|
|
|
|
|
665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks (Cost $11,540) |
|
|
9,362 |
|
|
|
|
|
|
|
|
| WARRANTS 0.8% |
|
|
|
| COMMUNICATION SERVICES 0.5% |
|
|
|
|
|
|
| iHeartMedia, Inc. |
|
|
|
|
199,662 |
|
|
|
|
|
3,530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 0.3% |
|
|
|
|
|
| Sequa Corp. - Exp. 04/28/2024 « |
|
|
819,000 |
|
|
|
|
|
1,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants (Cost $4,130) |
|
|
5,343 |
|
|
|
|
|
|
|
|
| PREFERRED SECURITIES 5.1% |
|
|
|
| BANKING & FINANCE 1.6% |
|
|
| AGFC Capital Trust |
|
| 3.581% (US0003M + 1.750%) due 01/15/2067 ~ |
|
|
|
|
1,800,000 |
|
|
|
|
|
902 |
|
|
| Banco Bilbao Vizcaya Argentaria S.A. |
|
| 6.750% due 02/18/2020 •(i) |
|
|
|
|
1,600,000 |
|
|
|
|
|
1,779 |
|
|
| Banco Santander S.A. |
|
| 6.250% due 09/11/2021 •(i) |
|
|
|
|
400,000 |
|
|
|
|
|
476 |
|
|
| Brighthouse Holdings LLC |
|
| 6.500% due 07/27/2037 þ(i) |
|
|
|
|
70,000 |
|
|
|
|
|
74 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
SHARES |
|
|
|
|
MARKET
VALUE
(000S) |
|
|
| Nationwide Building Society |
|
| 10.250% ~ |
|
|
|
|
35,500 |
|
|
$ |
|
|
7,922 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS 3.5% |
|
|
| General Electric Co. |
|
| 5.000% due 01/21/2021 •(i) |
|
|
|
|
268,000 |
|
|
|
|
|
266 |
|
|
| Sequa Corp. (12.000% PIK) |
|
| 12.000% «(d) |
|
|
|
|
19,661 |
|
|
|
|
|
23,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Securities (Cost $25,599) |
|
|
34,533 |
|
|
|
|
|
|
|
|
| REAL ESTATE INVESTMENT TRUSTS 1.7% |
|
|
|
| REAL ESTATE 1.7% |
|
|
|
|
|
|
| VICI Properties, Inc. |
|
|
|
|
423,584 |
|
|
|
|
|
11,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Real Estate Investment Trusts (Cost $5,525) |
|
|
11,352 |
|
|
|
|
|
|
|
|
| SHORT-TERM INSTRUMENTS 4.0% |
|
|
|
| REPURCHASE AGREEMENTS (k) 3.6% |
|
|
|
|
|
|
|
|
|
|
|
|
24,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
PRINCIPAL
AMOUNT
(000S) |
|
|
|
|
|
|
| ARGENTINA TREASURY BILLS 0.1% |
|
| 38.342% due 04/03/2020 ~ |
|
ARS |
|
|
6,160 |
|
|
|
|
|
71 |
|
| 38.686% due 06/22/2020 ~ |
|
|
|
|
11,000 |
|
|
|
|
|
128 |
|
| 44.111% due 04/28/2020 - 08/27/2020 (g)(h) |
|
|
|
|
42,639 |
|
|
|
|
|
483 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
682 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY BILLS 0.3% |
|
| 1.538% due 02/06/2020 - 03/26/2020 (g)(h)(n)(p) |
|
$ |
|
|
1,734 |
|
|
|
|
|
1,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Instruments
(Cost $27,156) |
|
|
26,693 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
(Cost $829,591) |
|
|
849,424 |
|
|
|
|
|
|
|
|
Total Investments 125.2%
(Cost $829,591) |
|
|
$ |
|
|
849,424 |
|
|
|
| Financial Derivative
Instruments (m)(o) 0.0%
(Cost or Premiums, net $3,465) |
|
|
|
|
|
223 |
|
|
|
| Auction Rate Preferred Shares (12.9)% |
|
|
(87,425 |
) |
|
|
| Other Assets and Liabilities, net (12.3)% |
|
|
(83,509 |
) |
|
|
|
|
|
| Net Assets Applicable to Common Shareholders 100.0% |
|
|
$ |
|
|
678,713 |
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
| * |
A zero balance may reflect actual amounts rounding to less than one thousand. |
| ^ |
Security is in default. |
| « |
Security valued using significant unobservable inputs (Level 3). |
| µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be
determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
| ~ |
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. |
|
|
|
|
|
|
|
|
|
| 78 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
| • |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and
may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in
effect as of period end. |
| (a) |
Interest only security. |
| (b) |
Principal only security. |
| (c) |
When-issued security. |
| (d) |
Payment in-kind security. |
| (e) |
Security is not accruing income as of the date of this report. |
| (f) |
Security did not produce income within the last twelve months. |
| (g) |
Coupon represents a weighted average yield to maturity. |
| (h) |
Zero coupon security. |
| (i) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) RESTRICTED SECURITIES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Issuer Description |
|
|
|
|
|
Acquisition
Date |
|
|
Cost |
|
|
Market
Value |
|
|
Market Value
as Percentage
of Net Assets
Applicable
to
Common
Shareholders |
|
| Forbes Energy Services Ltd. |
|
|
|
|
|
|
10/09/2014 - 12/03/2014 |
|
|
$ |
943 |
|
|
$ |
3 |
|
|
|
0.00 |
% |
| Westmoreland Mining Holdings LLC |
|
|
|
|
|
|
12/08/2014 - 10/19/2016 |
|
|
|
1,535 |
|
|
|
665 |
|
|
|
0.10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,478 |
|
|
$ |
668 |
|
|
|
0.10 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS AND OTHER
FINANCING TRANSACTIONS
(k) 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 |
|
|
1.250 |
% |
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
$ |
1,880 |
|
|
U.S. Treasury Inflation Protected Securities 1.250% due 07/15/2020 |
|
$ |
(1,919 |
) |
|
$ |
1,880 |
|
|
$ |
1,880 |
|
| JPS |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
2,000 |
|
|
U.S. Treasury Bonds 2.250% due 08/15/2046 |
|
|
(2,052 |
) |
|
|
2,000 |
|
|
|
2,000 |
|
| MBC |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
10,200 |
|
|
U.S. Treasury Notes 1.875% due 01/31/2022 |
|
|
(10,538 |
) |
|
|
10,200 |
|
|
|
10,202 |
|
| RDR |
|
|
1.640 |
|
|
|
01/31/2020 |
|
|
|
02/03/2020 |
|
|
|
10,200 |
|
|
U.S. Treasury Notes 2.875% due 05/31/2025 |
|
|
(10,442 |
) |
|
|
10,200 |
|
|
|
10,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Repurchase Agreements |
|
|
|
|
$ |
(24,951 |
) |
|
$ |
24,280 |
|
|
$ |
24,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REVERSE
REPURCHASE AGREEMENTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Borrowing
Rate(2) |
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed(2) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
| BCY |
|
|
2.000 |
% |
|
|
11/01/2019 |
|
|
|
TBD |
(3) |
|
|
$ |
|
|
|
(2,385 |
) |
|
$ |
(2,397 |
) |
| BOS |
|
|
1.970 |
|
|
|
01/09/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
|
|
(10,989 |
) |
|
|
(11,004 |
) |
| BPS |
|
|
0.950 |
|
|
|
01/16/2020 |
|
|
|
04/16/2020 |
|
|
|
GBP |
|
|
|
(1,303 |
) |
|
|
(1,722 |
) |
|
|
|
2.270 |
|
|
|
01/13/2020 |
|
|
|
02/14/2020 |
|
|
|
$ |
|
|
|
(1,816 |
) |
|
|
(1,818 |
) |
|
|
|
2.300 |
|
|
|
01/06/2020 |
|
|
|
02/07/2020 |
|
|
|
|
|
|
|
(4,481 |
) |
|
|
(4,489 |
) |
|
|
|
2.330 |
|
|
|
01/10/2020 |
|
|
|
02/11/2020 |
|
|
|
|
|
|
|
(310 |
) |
|
|
(310 |
) |
|
|
|
2.370 |
|
|
|
01/06/2020 |
|
|
|
02/07/2020 |
|
|
|
|
|
|
|
(880 |
) |
|
|
(882 |
) |
| BRC |
|
|
(7.000 |
) |
|
|
01/22/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(20 |
) |
|
|
(20 |
) |
|
|
|
1.000 |
|
|
|
01/31/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(2,957 |
) |
|
|
(2,957 |
) |
| CEW |
|
|
2.250 |
|
|
|
01/17/2020 |
|
|
|
02/20/2020 |
|
|
|
|
|
|
|
(3,729 |
) |
|
|
(3,733 |
) |
| CIW |
|
|
1.930 |
|
|
|
01/17/2020 |
|
|
|
02/18/2020 |
|
|
|
|
|
|
|
(2,797 |
) |
|
|
(2,800 |
) |
|
|
|
2.000 |
|
|
|
01/08/2020 |
|
|
|
02/10/2020 |
|
|
|
|
|
|
|
(2,812 |
) |
|
|
(2,816 |
) |
| JML |
|
|
(0.300 |
) |
|
|
01/15/2020 |
|
|
|
04/15/2020 |
|
|
|
EUR |
|
|
|
(2,468 |
) |
|
|
(2,737 |
) |
|
|
|
(0.300 |
) |
|
|
01/22/2020 |
|
|
|
04/22/2020 |
|
|
|
|
|
|
|
(261 |
) |
|
|
(290 |
) |
|
|
|
0.950 |
|
|
|
01/17/2020 |
|
|
|
04/17/2020 |
|
|
|
GBP |
|
|
|
(192 |
) |
|
|
(253 |
) |
|
|
|
0.950 |
|
|
|
01/28/2020 |
|
|
|
04/28/2020 |
|
|
|
|
|
|
|
(2,799 |
) |
|
|
(3,697 |
) |
|
|
|
2.350 |
|
|
|
11/08/2019 |
|
|
|
02/06/2020 |
|
|
|
$ |
|
|
|
(8,961 |
) |
|
|
(9,012 |
) |
| NOM |
|
|
2.250 |
|
|
|
02/04/2020 |
|
|
|
03/03/2020 |
|
|
|
|
|
|
|
(8,793 |
) |
|
|
(8,793 |
) |
|
|
|
2.300 |
|
|
|
01/03/2020 |
|
|
|
02/04/2020 |
|
|
|
|
|
|
|
(8,696 |
) |
|
|
(8,713 |
) |
|
|
|
2.300 |
|
|
|
01/08/2020 |
|
|
|
02/10/2020 |
|
|
|
|
|
|
|
(193 |
) |
|
|
(193 |
) |
| RDR |
|
|
1.900 |
|
|
|
01/22/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(5,088 |
) |
|
|
(5,091 |
) |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
79 |
Schedule of Investments PIMCO Income
Strategy Fund II (Cont.)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Borrowing
Rate(2) |
|
|
Settlement
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed(2) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
| RTA |
|
|
2.297 |
%
|
|
|
01/07/2020 |
|
|
|
04/06/2020 |
|
|
$ |
|
|
|
|
(7,267 |
) |
|
$
|
(7,280 |
) |
|
|
|
2.297 |
|
|
|
01/10/2020 |
|
|
|
04/06/2020 |
|
|
|
|
|
|
|
(3,227 |
) |
|
|
(3,232 |
) |
| SBI |
|
|
1.500 |
|
|
|
11/01/2019 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(4,367 |
) |
|
|
(4,384 |
) |
|
|
|
1.750 |
|
|
|
01/17/2020 |
|
|
|
TBD |
(3) |
|
|
|
|
|
|
(951 |
) |
|
|
(952 |
) |
| UBS |
|
|
2.350 |
|
|
|
01/07/2020 |
|
|
|
02/10/2020 |
|
|
|
|
|
|
|
(5,098 |
) |
|
|
(5,107 |
) |
|
|
|
2.450 |
|
|
|
12/04/2019 |
|
|
|
03/03/2020 |
|
|
|
|
|
|
|
(2,716 |
) |
|
|
(2,727 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Reverse Repurchase Agreements |
|
|
$ |
(97,409 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS AND OTHER
FINANCING TRANSACTIONS SUMMARY
The
following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Repurchase
Agreement
Proceeds
to be
Received(1) |
|
|
Payable for
Reverse
Repurchase
Agreements |
|
|
Payable for
Sale-Buyback
Transactions |
|
|
Total
Borrowings and
Other Financing
Transactions |
|
|
Collateral
Pledged/(Received) |
|
|
Net Exposure(4) |
|
| Global/Master Repurchase Agreement |
|
| BCY |
|
$ |
0 |
|
|
$ |
(2,397 |
) |
|
$ |
0 |
|
|
$ |
(2,397 |
) |
|
$ |
2,607 |
|
|
$ |
210 |
|
| BOS |
|
|
0 |
|
|
|
(11,004 |
) |
|
|
0 |
|
|
|
(11,004 |
) |
|
|
11,591 |
|
|
|
587 |
|
| BPS |
|
|
0 |
|
|
|
(9,221 |
) |
|
|
0 |
|
|
|
(9,221 |
) |
|
|
11,013 |
|
|
|
1,792 |
|
| BRC |
|
|
0 |
|
|
|
(2,977 |
) |
|
|
0 |
|
|
|
(2,977 |
) |
|
|
3,145 |
|
|
|
168 |
|
| CEW |
|
|
0 |
|
|
|
(3,733 |
) |
|
|
0 |
|
|
|
(3,733 |
) |
|
|
4,140 |
|
|
|
407 |
|
| CIW |
|
|
0 |
|
|
|
(5,616 |
) |
|
|
0 |
|
|
|
(5,616 |
) |
|
|
5,880 |
|
|
|
264 |
|
| FICC |
|
|
1,880 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1,880 |
|
|
|
(1,919 |
) |
|
|
(39 |
) |
| JML |
|
|
0 |
|
|
|
(15,989 |
) |
|
|
0 |
|
|
|
(15,989 |
) |
|
|
18,849 |
|
|
|
2,860 |
|
| JPS |
|
|
2,000 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2,000 |
|
|
|
(2,052 |
) |
|
|
(52 |
) |
| MBC |
|
|
10,202 |
|
|
|
0 |
|
|
|
0 |
|
|
|
10,202 |
|
|
|
(10,538 |
) |
|
|
(336 |
) |
| NOM |
|
|
0 |
|
|
|
(17,699 |
) |
|
|
0 |
|
|
|
(17,699 |
) |
|
|
9,806 |
|
|
|
(7,893 |
) |
| RDR |
|
|
10,201 |
|
|
|
(5,091 |
) |
|
|
0 |
|
|
|
5,110 |
|
|
|
(5,089 |
) |
|
|
21 |
|
| RTA |
|
|
0 |
|
|
|
(10,512 |
) |
|
|
0 |
|
|
|
(10,512 |
) |
|
|
11,917 |
|
|
|
1,405 |
|
| SBI |
|
|
0 |
|
|
|
(5,336 |
) |
|
|
0 |
|
|
|
(5,336 |
) |
|
|
5,907 |
|
|
|
571 |
|
| UBS |
|
|
0 |
|
|
|
(7,834 |
) |
|
|
0 |
|
|
|
(7,834 |
) |
|
|
9,222 |
|
|
|
1,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings and Other Financing Transactions |
|
$ |
24,283 |
|
|
$ |
(97,409 |
) |
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED
FOR AS SECURED BORROWINGS
Remaining Contractual Maturity
of the Agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Overnight and
Continuous |
|
|
Up to 30 days |
|
|
31-90 days |
|
|
Greater Than 90 days |
|
|
Total |
|
| Reverse Repurchase Agreements |
|
| Corporate Bonds & Notes |
|
$ |
0 |
|
|
$ |
(50,877 |
) |
|
$ |
(21,938 |
) |
|
$ |
(15,801 |
) |
|
$ |
(88,616 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Borrowings |
|
$ |
0 |
|
|
$ |
(50,877 |
) |
|
$ |
(21,938 |
) |
|
$ |
(15,801 |
) |
|
$ |
(88,616 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payable for reverse repurchase agreements(5) |
|
|
$ |
(88,616 |
) |
|
|
|
|
|
|
| (l) |
Securities with an aggregate market value of $99,646 and cash of $465 have been pledged as collateral under the terms of the
above master agreements as of January 31, 2020. |
| (1) |
Includes accrued interest. |
| (2) |
The average amount of borrowings outstanding during the period ended January 31, 2020 was $(116,138) at a weighted average interest
rate of 2.067%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| (3) |
Open maturity reverse repurchase agreement. |
| (4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from
borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for
more information. |
| (5) |
Unsettled reverse repurchase agreements liability of $(8,793) is outstanding at period end. |
|
|
|
|
|
|
|
|
|
| 80 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
(m) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES
- SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Implied
Credit Spread at
January 31, 2020(2) |
|
|
Notional
Amount(3) |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value(4) |
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Bombardier, Inc. |
|
|
5.000 |
% |
|
|
Quarterly |
|
|
|
06/20/2024 |
|
|
|
4.893 |
% |
|
|
$ 2,300 |
|
|
$ |
(4) |
|
|
$ |
27 |
|
|
$ |
23 |
|
|
$ |
0 |
|
|
$ |
(6) |
|
| Bombardier, Inc. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
5.130 |
|
|
|
1,600 |
|
|
|
(7 |
) |
|
|
9 |
|
|
|
2 |
|
|
|
0 |
|
|
|
(3 |
) |
| Frontier Communications Corp. |
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
06/20/2020 |
|
|
|
357.443 |
|
|
|
6,500 |
|
|
|
(215 |
) |
|
|
(2,897 |
) |
|
|
(3,112 |
) |
|
|
79 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(226 |
) |
|
$ |
(2,861 |
) |
|
$ |
(3,087 |
) |
|
$ |
79 |
|
|
$ |
(9 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pay/Receive
Floating Rate |
|
Floating Rate Index |
|
Fixed Rate |
|
|
Payment
Frequency |
|
Maturity
Date |
|
|
Notional
Amount |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Market
Value |
|
|
Variation Margin |
|
| |
Asset |
|
|
Liability |
|
| Receive |
|
3-Month USD-LIBOR |
|
|
3.000 |
% |
|
Semi-Annual |
|
|
06/19/2022 |
|
|
|
$ |
|
|
|
145,200 |
|
|
$ |
(4,603 |
) |
|
$ |
(1,146 |
) |
|
$ |
(5,749 |
) |
|
$ |
0 |
|
|
$ |
(226 |
) |
| Pay |
|
3-Month USD-LIBOR |
|
|
2.750 |
|
|
Semi-Annual |
|
|
06/17/2025 |
|
|
|
|
|
|
|
149,020 |
|
|
|
9,092 |
|
|
|
1,986 |
|
|
|
11,078 |
|
|
|
414 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
Semi-Annual |
|
|
06/15/2026 |
|
|
|
|
|
|
|
26,800 |
|
|
|
1,267 |
|
|
|
202 |
|
|
|
1,469 |
|
|
|
85 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
2.500 |
|
|
Semi-Annual |
|
|
12/20/2027 |
|
|
|
|
|
|
|
49,000 |
|
|
|
343 |
|
|
|
3,724 |
|
|
|
4,067 |
|
|
|
187 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
3.000 |
|
|
Semi-Annual |
|
|
06/19/2029 |
|
|
|
|
|
|
|
75,000 |
|
|
|
4,675 |
|
|
|
5,720 |
|
|
|
10,395 |
|
|
|
340 |
|
|
|
0 |
|
| Pay |
|
3-Month USD-LIBOR |
|
|
3.500 |
|
|
Semi-Annual |
|
|
06/19/2044 |
|
|
|
|
|
|
|
201,500 |
|
|
|
(6,573 |
) |
|
|
83,003 |
|
|
|
76,430 |
|
|
|
2,069 |
|
|
|
0 |
|
| Receive |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
Semi-Annual |
|
|
12/11/2049 |
|
|
|
|
|
|
|
12,500 |
|
|
|
(50 |
) |
|
|
(1,684 |
) |
|
|
(1,734 |
) |
|
|
0 |
|
|
|
(118 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
2.000 |
|
|
Semi-Annual |
|
|
01/15/2050 |
|
|
|
|
|
|
|
25,800 |
|
|
|
(186 |
) |
|
|
(1,819 |
) |
|
|
(2,005 |
) |
|
|
0 |
|
|
|
(230 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
Semi-Annual |
|
|
01/16/2050 |
|
|
|
|
|
|
|
107,500 |
|
|
|
202 |
|
|
|
1,295 |
|
|
|
1,497 |
|
|
|
0 |
|
|
|
(894 |
) |
| Receive |
|
3-Month USD-LIBOR |
|
|
1.750 |
|
|
Semi-Annual |
|
|
01/22/2050 |
|
|
|
|
|
|
|
21,100 |
|
|
|
(49 |
) |
|
|
(303 |
) |
|
|
(352 |
) |
|
|
0 |
|
|
|
(179 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.625 |
|
|
Semi-Annual |
|
|
02/03/2050 |
|
|
|
|
|
|
|
74,000 |
|
|
|
(263 |
) |
|
|
1,274 |
|
|
|
1,011 |
|
|
|
0 |
|
|
|
(617 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
1.875 |
|
|
Semi-Annual |
|
|
02/07/2050 |
|
|
|
|
|
|
|
22,000 |
|
|
|
(85 |
) |
|
|
(958 |
) |
|
|
(1,043 |
) |
|
|
0 |
|
|
|
(193 |
) |
| Receive(5) |
|
3-Month USD-LIBOR |
|
|
2.250 |
|
|
Semi-Annual |
|
|
03/12/2050 |
|
|
|
|
|
|
|
6,000 |
|
|
|
(18 |
) |
|
|
(815 |
) |
|
|
(833 |
) |
|
|
0 |
|
|
|
(57 |
) |
| Pay |
|
6-Month
AUD-BBR-BBSW |
|
|
3.500 |
|
|
Semi-Annual |
|
|
06/17/2025 |
|
|
|
AUD |
|
|
|
8,100 |
|
|
|
201 |
|
|
|
579 |
|
|
|
780 |
|
|
|
18 |
|
|
|
0 |
|
| Receive(5) |
|
6-Month EUR-EURIBOR |
|
|
(0.150 |
) |
|
Annual |
|
|
03/18/2030 |
|
|
|
EUR |
|
|
|
13,100 |
|
|
|
240 |
|
|
|
(87 |
) |
|
|
153 |
|
|
|
0 |
|
|
|
(88 |
) |
| Receive(5) |
|
6-Month EUR-EURIBOR |
|
|
0.150 |
|
|
Annual |
|
|
06/17/2030 |
|
|
|
|
|
|
|
2,100 |
|
|
|
(2 |
) |
|
|
(40 |
) |
|
|
(42 |
) |
|
|
0 |
|
|
|
(15 |
) |
| Receive(5) |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
Semi-Annual |
|
|
03/18/2030 |
|
|
|
GBP |
|
|
|
25,900 |
|
|
|
269 |
|
|
|
(341 |
) |
|
|
(72 |
) |
|
|
0 |
|
|
|
(30 |
) |
| Receive(5) |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
Semi-Annual |
|
|
03/18/2050 |
|
|
|
|
|
|
|
900 |
|
|
|
22 |
|
|
|
3 |
|
|
|
25 |
|
|
|
0 |
|
|
|
(4 |
) |
| Receive |
|
6-Month GBP-LIBOR |
|
|
0.750 |
|
|
Semi-Annual |
|
|
03/18/2050 |
|
|
|
|
|
|
|
2,300 |
|
|
|
35 |
|
|
|
29 |
|
|
|
64 |
|
|
|
28 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,517 |
|
|
$ |
90,622 |
|
|
$ |
95,139 |
|
|
$ |
3,141 |
|
|
$ |
(2,651 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Swap Agreements |
|
|
|
|
|
|
$ |
4,291 |
|
|
$ |
87,761 |
|
|
$ |
92,052 |
|
|
$ |
3,220 |
|
|
$ |
(2,660 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
| |
|
Market Value |
|
|
Variation Margin
Asset |
|
|
|
|
|
|
|
|
Market Value |
|
|
Variation Margin
Liability |
|
|
|
|
| |
|
Purchased
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
|
Total |
|
|
|
|
|
Written
Options |
|
|
Futures |
|
|
Swap
Agreements |
|
|
Total |
|
| Total Exchange-Traded or Centrally Cleared |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
3,220 |
|
|
$ |
3,220 |
|
|
|
|
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(2,660) |
|
|
$ |
(2,660) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (n) |
Securities with an aggregate market value of $551 and cash of $11,731 have been pledged as collateral for exchange-traded and
centrally cleared financial derivative instruments as of January 31, 2020. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
| (1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount
in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
| (2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity
reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood
or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance
risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the
notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
| (5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to
Financial Statements for further information. |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
81 |
Schedule of Investments PIMCO Income
Strategy Fund II (Cont.)
(o) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement
Month |
|
|
Currency
to
be Delivered |
|
|
Currency
to
be Received |
|
|
Unrealized Appreciation/
(Depreciation) |
|
| |
Asset |
|
|
Liability |
|
| BOA |
|
|
02/2020 |
|
|
$ |
|
|
43,764 |
|
|
EUR |
|
|
39,703 |
|
|
$ |
268 |
|
|
$ |
0 |
|
|
|
|
02/2020 |
|
|
|
|
|
4,321 |
|
|
MXN |
|
|
80,859 |
|
|
|
0 |
|
|
|
(46 |
) |
|
|
|
03/2020 |
|
|
EUR |
|
|
39,703 |
|
|
$ |
|
|
43,840 |
|
|
|
0 |
|
|
|
(268 |
) |
|
|
|
03/2020 |
|
|
$ |
|
|
76 |
|
|
IDR |
|
|
1,040,847 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| BPS |
|
|
02/2020 |
|
|
PEN |
|
|
3,320 |
|
|
$ |
|
|
978 |
|
|
|
0 |
|
|
|
(2 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
1,469 |
|
|
IDR |
|
|
20,088,795 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
02/2020 |
|
|
|
|
|
2,848 |
|
|
INR |
|
|
203,070 |
|
|
|
0 |
|
|
|
(8 |
) |
|
|
|
|
|
|
|
|
| BRC |
|
|
02/2020 |
|
|
EUR |
|
|
38,223 |
|
|
$ |
|
|
42,809 |
|
|
|
419 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
$ |
|
|
32 |
|
|
IDR |
|
|
432,524 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| CBK |
|
|
02/2020 |
|
|
BRL |
|
|
12,419 |
|
|
$ |
|
|
2,947 |
|
|
|
47 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
EUR |
|
|
663 |
|
|
|
|
|
737 |
|
|
|
2 |
|
|
|
0 |
|
|
|
|
02/2020 |
|
|
GBP |
|
|
731 |
|
|
|
|
|
956 |
|
|
|
0 |
|
|
|
(9 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
3,051 |
|
|
BRL |
|
|
12,419 |
|
|
|
0 |
|
|
|
(151 |
) |
|
|
|
02/2020 |
|
|
|
|
|
995 |
|
|
PEN |
|
|
3,320 |
|
|
|
0 |
|
|
|
(15 |
) |
|
|
|
03/2020 |
|
|
|
|
|
2,943 |
|
|
BRL |
|
|
12,419 |
|
|
|
0 |
|
|
|
(48 |
) |
|
|
|
04/2020 |
|
|
PEN |
|
|
3,320 |
|
|
$ |
|
|
992 |
|
|
|
15 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| FBF |
|
|
03/2020 |
|
|
$ |
|
|
1,911 |
|
|
BRL |
|
|
8,059 |
|
|
|
0 |
|
|
|
(32 |
) |
|
|
|
|
|
|
|
|
| GLM |
|
|
02/2020 |
|
|
|
|
|
6,319 |
|
|
RUB |
|
|
405,142 |
|
|
|
6 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| HUS |
|
|
02/2020 |
|
|
EUR |
|
|
1,286 |
|
|
$ |
|
|
1,418 |
|
|
|
0 |
|
|
|
(8 |
) |
|
|
|
02/2020 |
|
|
GBP |
|
|
6,819 |
|
|
|
|
|
8,953 |
|
|
|
0 |
|
|
|
(51 |
) |
|
|
|
02/2020 |
|
|
$ |
|
|
264 |
|
|
INR |
|
|
18,813 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
03/2020 |
|
|
|
|
|
34 |
|
|
|
|
|
2,417 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
05/2020 |
|
|
|
|
|
5,770 |
|
|
MXN |
|
|
113,206 |
|
|
|
142 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| JPM |
|
|
02/2020 |
|
|
GBP |
|
|
50,416 |
|
|
$ |
|
|
66,002 |
|
|
|
0 |
|
|
|
(572 |
) |
|
|
|
|
|
|
|
|
| MYI |
|
|
03/2020 |
|
|
$ |
|
|
3,255 |
|
|
RUB |
|
|
211,502 |
|
|
|
37 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| RBC |
|
|
03/2020 |
|
|
|
|
|
1,716 |
|
|
IDR |
|
|
23,538,629 |
|
|
|
1 |
|
|
|
0 |
|
|
|
|
|
|
|
|
|
| RYL |
|
|
02/2020 |
|
|
|
|
|
524 |
|
|
EUR |
|
|
469 |
|
|
|
0 |
|
|
|
(4 |
) |
|
|
|
|
|
|
|
|
| SCX |
|
|
03/2020 |
|
|
|
|
|
101 |
|
|
IDR |
|
|
1,388,766 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
|
|
|
211 |
|
|
INR |
|
|
15,078 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
|
| UAG |
|
|
02/2020 |
|
|
|
|
|
75,383 |
|
|
GBP |
|
|
57,966 |
|
|
|
1,162 |
|
|
|
0 |
|
|
|
|
03/2020 |
|
|
GBP |
|
|
57,966 |
|
|
$ |
|
|
75,446 |
|
|
|
0 |
|
|
|
(1,156 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Forward Foreign Currency Contracts |
|
|
$ |
2,099 |
|
|
$ |
(2,373 |
) |
|
|
|
|
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON
CORPORATE ISSUES - SELL PROTECTION(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Reference Entity |
|
Fixed
Receive Rate |
|
|
Payment
Frequency |
|
|
Maturity
Date |
|
|
Implied
Credit Spread at
January 31, 2020(2) |
|
|
Notional
Amount(3) |
|
|
Premiums
Paid/(Received) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
|
Swap Agreements,
at
Value(4) |
|
| |
Asset |
|
|
Liability |
|
| BPS |
|
Petrobras Global Finance BV |
|
|
1.000 |
% |
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
1.357 |
% |
|
$ |
|
|
|
|
1,000 |
|
|
$ |
(195 |
) |
|
$ |
180 |
|
|
$ |
0 |
|
|
$ |
(15 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| GST |
|
Petrobras Global Finance BV |
|
|
1.000 |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
1.357 |
|
|
|
|
|
|
|
1,400 |
|
|
|
(278 |
) |
|
|
256 |
|
|
|
0 |
|
|
|
(22 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| HUS |
|
Petrobras Global Finance BV |
|
|
1.000 |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
1.357 |
|
|
|
|
|
|
|
1,700 |
|
|
|
(353 |
) |
|
|
327 |
|
|
|
0 |
|
|
|
(26 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Swap Agreements |
|
|
$ |
(826 |
) |
|
$ |
763 |
|
|
$ |
0 |
|
|
$ |
(63 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE
INSTRUMENTS: OVER THE COUNTER SUMMARY
The
following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Forward
Foreign
Currency
Contracts |
|
|
Purchased
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
|
|
|
Forward
Foreign
Currency
Contracts |
|
|
Written
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
Net Market
Value of OTC
Derivatives |
|
|
Collateral
Pledged/
(Received) |
|
|
Net
Exposure(5) |
|
| BOA |
|
$ |
268 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
268 |
|
|
|
|
|
|
$ |
(314 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(314 |
) |
|
$ |
(46 |
) |
|
$ |
0 |
|
|
$ |
(46 |
) |
| BPS |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(11 |
) |
|
|
0 |
|
|
|
(15 |
) |
|
|
(26 |
) |
|
|
(26 |
) |
|
|
45 |
|
|
|
19 |
|
| BRC |
|
|
419 |
|
|
|
0 |
|
|
|
0 |
|
|
|
419 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
419 |
|
|
|
(550 |
) |
|
|
(131 |
) |
| CBK |
|
|
64 |
|
|
|
0 |
|
|
|
0 |
|
|
|
64 |
|
|
|
|
|
|
|
(223 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(223 |
) |
|
|
(159 |
) |
|
|
0 |
|
|
|
(159 |
) |
|
|
|
|
|
|
|
|
|
| 82 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
|
Financial Derivative Liabilities |
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Forward
Foreign
Currency
Contracts |
|
|
Purchased
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
|
|
|
Forward
Foreign
Currency
Contracts |
|
|
Written
Options |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
Net Market
Value of OTC
Derivatives |
|
|
Collateral
Pledged/
(Received) |
|
|
Net
Exposure(5) |
|
| DUB |
|
$
|
0 |
|
|
$
|
0 |
|
|
$
|
0 |
|
|
$
|
0 |
|
|
|
|
|
|
$
|
0 |
|
|
$
|
0 |
|
|
$
|
0 |
|
|
$
|
0 |
|
|
$
|
0 |
|
|
$
|
(110 |
) |
|
$
|
(110 |
) |
| FBF |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(32 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(32 |
) |
|
|
(32 |
) |
|
|
0 |
|
|
|
(32 |
) |
| GLM |
|
|
6 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6 |
|
|
|
(260 |
) |
|
|
(254 |
) |
| GST |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
(22 |
) |
|
|
(22 |
) |
|
|
(22 |
) |
|
|
92 |
|
|
|
70 |
|
| HUS |
|
|
142 |
|
|
|
0 |
|
|
|
0 |
|
|
|
142 |
|
|
|
|
|
|
|
(60 |
) |
|
|
0 |
|
|
|
(26 |
) |
|
|
(86 |
) |
|
|
56 |
|
|
|
(260 |
) |
|
|
(204 |
) |
| JPM |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(572 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(572 |
) |
|
|
(572 |
) |
|
|
(160 |
) |
|
|
(732 |
) |
| MYI |
|
|
37 |
|
|
|
0 |
|
|
|
0 |
|
|
|
37 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
37 |
|
|
|
24 |
|
|
|
61 |
|
| RBC |
|
|
1 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1 |
|
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1 |
|
|
|
0 |
|
|
|
1 |
|
| RYL |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(4 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(4 |
) |
|
|
(4 |
) |
|
|
0 |
|
|
|
(4 |
) |
| SCX |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
|
|
|
|
(1 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
0 |
|
|
|
(1 |
) |
| UAG |
|
|
1,162 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1,162 |
|
|
|
|
|
|
|
(1,156 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(1,156 |
) |
|
|
6 |
|
|
|
0 |
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Over the Counter |
|
$ |
2,099 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,099 |
|
|
|
|
|
|
$ |
(2,373 |
) |
|
$ |
0 |
|
|
$ |
(63 |
) |
|
$ |
(2,436 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (p) |
Securities with an aggregate market value of $161 have been pledged as collateral for financial derivative instruments as
governed by International Swaps and Derivatives Association, Inc. master agreements as of January 31, 2020. |
| (1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund
will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount
in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
| (2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity
reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood
or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection
if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance
risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the
notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
| (5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC
financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
|
FAIR VALUE OF FINANCIAL
DERIVATIVE INSTRUMENTS
The following is a
summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the
Statements of Assets and Liabilities as of January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
79 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
3,141 |
|
|
$ |
3,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,099 |
|
|
$ |
0 |
|
|
$ |
2,099 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
79 |
|
|
$ |
0 |
|
|
$ |
2,099 |
|
|
$ |
3,141 |
|
|
$ |
5,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
9 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,651 |
|
|
$ |
2,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,373 |
|
|
$ |
0 |
|
|
$ |
2,373 |
|
| Swap Agreements |
|
|
0 |
|
|
|
63 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
63 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
63 |
|
|
$ |
0 |
|
|
$ |
2,373 |
|
|
$ |
0 |
|
|
$ |
2,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
72 |
|
|
$ |
0 |
|
|
$ |
2,373 |
|
|
$ |
2,651 |
|
|
$ |
5,096 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
83 |
Schedule of Investments PIMCO Income
Strategy Fund II (Cont.)
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Derivatives not accounted for as hedging instruments |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Exchange
Contracts |
|
|
Interest
Rate Contracts |
|
|
Total |
|
| Net Realized Gain (Loss) on Financial Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
365 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(64,501 |
) |
|
$ |
(64,136 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
2,326 |
|
|
$ |
0 |
|
|
$ |
2,326 |
|
| Swap Agreements |
|
|
0 |
|
|
|
44 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
44 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
44 |
|
|
$ |
0 |
|
|
$ |
2,326 |
|
|
$ |
0 |
|
|
$ |
2,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
409 |
|
|
$ |
0 |
|
|
$ |
2,326 |
|
|
$ |
(64,501 |
) |
|
$ |
(61,766 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on Financial
Derivative Instruments |
|
| Exchange-traded or centrally cleared |
|
| Swap Agreements |
|
$ |
0 |
|
|
$ |
(1,231 |
) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
61,784 |
|
|
$ |
60,553 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over the counter |
|
| Forward Foreign Currency Contracts
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
(4,824 |
) |
|
$ |
0 |
|
|
$ |
(4,824 |
) |
| Swap Agreements |
|
|
0 |
|
|
|
58 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
58 |
|
|
$ |
0 |
|
|
$ |
(4,824 |
) |
|
$ |
0 |
|
|
$ |
(4,766 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(1,173 |
) |
|
$ |
0 |
|
|
$ |
(4,824 |
) |
|
$ |
61,784 |
|
|
$ |
55,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair
valuations according to the inputs used as of January 31, 2020 in valuing the Fund’s assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
114 |
|
|
$ |
88,625 |
|
|
$ |
7,155 |
|
|
$ |
95,894 |
|
| Corporate Bonds & Notes |
|
| Banking & Finance |
|
|
0 |
|
|
|
153,670 |
|
|
|
0 |
|
|
|
153,670 |
|
| Industrials |
|
|
0 |
|
|
|
149,979 |
|
|
|
581 |
|
|
|
150,560 |
|
| Utilities |
|
|
0 |
|
|
|
63,132 |
|
|
|
0 |
|
|
|
63,132 |
|
| Convertible Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
5,370 |
|
|
|
0 |
|
|
|
5,370 |
|
| Utilities |
|
|
0 |
|
|
|
7 |
|
|
|
0 |
|
|
|
7 |
|
| Municipal Bonds & Notes |
|
| California |
|
|
0 |
|
|
|
3,971 |
|
|
|
0 |
|
|
|
3,971 |
|
| Illinois |
|
|
0 |
|
|
|
448 |
|
|
|
0 |
|
|
|
448 |
|
| Ohio |
|
|
0 |
|
|
|
15,449 |
|
|
|
0 |
|
|
|
15,449 |
|
| Virginia |
|
|
0 |
|
|
|
819 |
|
|
|
0 |
|
|
|
819 |
|
| West Virginia |
|
|
0 |
|
|
|
14,832 |
|
|
|
0 |
|
|
|
14,832 |
|
| U.S. Government Agencies |
|
|
0 |
|
|
|
15,495 |
|
|
|
5,158 |
|
|
|
20,653 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
0 |
|
|
|
99,261 |
|
|
|
0 |
|
|
|
99,261 |
|
| Asset-Backed Securities |
|
|
0 |
|
|
|
88,098 |
|
|
|
14,554 |
|
|
|
102,652 |
|
| Sovereign Issues |
|
|
0 |
|
|
|
35,423 |
|
|
|
0 |
|
|
|
35,423 |
|
| Common Stocks |
|
| Communication Services |
|
|
2,041 |
|
|
|
7 |
|
|
|
0 |
|
|
|
2,048 |
|
| Consumer Discretionary |
|
|
6,646 |
|
|
|
0 |
|
|
|
0 |
|
|
|
6,646 |
|
| Energy |
|
|
3 |
|
|
|
0 |
|
|
|
0 |
|
|
|
3 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
665 |
|
|
|
665 |
|
| Warrants |
|
| Communication Services |
|
|
0 |
|
|
|
3,530 |
|
|
|
0 |
|
|
|
3,530 |
|
| Industrials |
|
|
0 |
|
|
|
0 |
|
|
|
1,813 |
|
|
|
1,813 |
|
| Preferred Securities |
|
| Banking & Finance |
|
|
0 |
|
|
|
11,153 |
|
|
|
0 |
|
|
|
11,153 |
|
| Industrials |
|
|
0 |
|
|
|
266 |
|
|
|
23,114 |
|
|
|
23,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair
Value at
01/31/2020 |
|
| Real Estate Investment Trusts |
|
| Real Estate |
|
$
|
11,352 |
|
|
$
|
0 |
|
|
$
|
0 |
|
|
$
|
11,352 |
|
| Short-Term Instruments |
|
| Repurchase Agreements |
|
|
0 |
|
|
|
24,280 |
|
|
|
0 |
|
|
|
24,280 |
|
| Argentina Treasury Bills |
|
|
0 |
|
|
|
682 |
|
|
|
0 |
|
|
|
682 |
|
| U.S. Treasury Bills |
|
|
0 |
|
|
|
1,731 |
|
|
|
0 |
|
|
|
1,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
$ |
20,156 |
|
|
$ |
776,228 |
|
|
$ |
53,040 |
|
|
$ |
849,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Assets |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
3,220 |
|
|
|
0 |
|
|
|
3,220 |
|
| Over the counter |
|
|
0 |
|
|
|
2,099 |
|
|
|
0 |
|
|
|
2,099 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
5,319 |
|
|
$ |
0 |
|
|
$ |
5,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Derivative Instruments - Liabilities |
|
| Exchange-traded or centrally cleared |
|
|
0 |
|
|
|
(2,660 |
) |
|
|
0 |
|
|
|
(2,660 |
) |
| Over the counter |
|
|
0 |
|
|
|
(2,436 |
) |
|
|
0 |
|
|
|
(2,436 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
0 |
|
|
$ |
(5,096 |
) |
|
$ |
0 |
|
|
$ |
(5,096 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Financial Derivative Instruments |
|
$ |
0 |
|
|
$ |
223 |
|
|
$ |
0 |
|
|
$ |
223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
20,156 |
|
|
$ |
776,451 |
|
|
$ |
53,040 |
|
|
$ |
849,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 84 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
See Accompanying Notes |
|
January 31, 2020 (Unaudited)
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended
January 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Category and Subcategory |
|
Beginning
Balance
at 07/31/2019 |
|
|
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 01/31/2020 |
|
|
Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2020(1) |
|
| Investments in Securities, at Value |
|
| Loan Participations and Assignments |
|
$ |
4,094 |
|
|
$ |
3,351 |
|
|
$ |
(363 |
) |
|
$ |
(121 |
) |
|
$ |
(2 |
) |
|
$ |
105 |
|
|
$ |
91 |
|
|
$ |
0 |
|
|
$ |
7,155 |
|
|
$ |
107 |
|
| Corporate Bonds & Notes |
|
| Industrials |
|
|
0 |
|
|
|
741 |
|
|
|
0 |
|
|
|
6 |
|
|
|
0 |
|
|
|
(166 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
581 |
|
|
|
(166 |
) |
| U.S. Government Agencies |
|
|
5,155 |
|
|
|
0 |
|
|
|
(51 |
) |
|
|
149 |
|
|
|
18 |
|
|
|
(113 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
5,158 |
|
|
|
(115 |
) |
| Asset-Backed Securities |
|
|
17,416 |
|
|
|
2,144 |
|
|
|
(3,836 |
) |
|
|
13 |
|
|
|
337 |
|
|
|
(1,475 |
) |
|
|
0 |
|
|
|
(45 |
) |
|
|
14,554 |
|
|
|
(1,747 |
) |
| Common Stocks |
|
| Industrials |
|
|
772 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(107 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
665 |
|
|
|
(107 |
) |
| Warrants |
|
| Industrials |
|
|
1,519 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
294 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1,813 |
|
|
|
294 |
|
| Preferred Securities |
|
| Industrials |
|
|
22,207 |
|
|
|
1,288 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(381 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
23,114 |
|
|
|
(381 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Totals |
|
$ |
51,163 |
|
|
$ |
7,524 |
|
|
$ |
(4,250 |
) |
|
$ |
47 |
|
|
$ |
353 |
|
|
$ |
(1,843 |
) |
|
$ |
91 |
|
|
$ |
(45 |
) |
|
$ |
53,040 |
|
|
$ |
(2,115 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is a summary of
significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
(% Unless Noted Otherwise) |
|
| Category and Subcategory |
|
Ending
Balance
at 01/31/2020 |
|
|
Valuation
Technique |
|
Unobservable
Inputs |
|
Input Value(s)
(% Unless
Noted Otherwise) |
|
|
Weighted
Average% |
|
| Investments in Securities, at Value |
|
|
|
|
|
| Loan Participations and Assignments |
|
$ |
7,155 |
|
|
Third Party Vendor |
|
Broker Quote |
|
|
75.500-102.000 |
|
|
|
89.999 |
|
| Corporate Bonds & Notes |
|
|
|
|
|
| Industrials |
|
|
581 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| U.S. Government Agencies |
|
|
5,158 |
|
|
Proxy Pricing |
|
Base Price |
|
|
60.540 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
14,554 |
|
|
Proxy Pricing |
|
Base Price |
|
|
4,031.800-100,937.971 |
|
|
|
44,762.851 |
|
| Common Stocks |
|
|
|
|
|
| Industrials |
|
|
665 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| Warrants |
|
|
|
|
|
| Industrials |
|
|
1,813 |
|
|
Other Valuation Techniques(2) |
|
— |
|
|
— |
|
|
|
— |
|
| Preferred Securities |
|
|
|
|
|
| Industrials |
|
|
23,114 |
|
|
Fundamental Valuation |
|
Company Equity Value |
|
$ |
948,002,602.394 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
53,040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on
Investments Held at January 31, 2020 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. |
|
|
|
|
|
|
|
| See Accompanying Notes |
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
85 |
Notes to Financial Statements
1. ORGANIZATION
PIMCO Corporate & Income Opportunity Fund, PIMCO Corporate & Income Strategy Fund, PIMCO High Income Fund, PIMCO Income
Strategy Fund and PIMCO Income Strategy Fund II (each a “Fund” and collectively the “Funds”) are organized as closed-end management investment companies registered under the Investment
Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). Each Fund was organized as a Massachusetts business trust on the dates shown in the table below. Pacific Investment Management Company LLC
(“PIMCO” or the “Manager”) serves as the Funds’ investment manager.
|
|
|
|
|
|
|
|
|
| Fund Name |
|
|
|
|
Formation Date |
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
|
September 13, 2002 |
|
|
|
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
October 17, 2001 |
|
|
|
|
| PIMCO High Income Fund |
|
|
|
|
|
|
February 18, 2003 |
|
|
|
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
June 19, 2003 |
|
|
|
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
June 30, 2004 |
|
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies
consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company
under the reporting requirements of U.S. GAAP. The functional and reporting currency for the Funds is the U.S. dollar. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates. The net asset value (“NAV”) presented may differ from the NAV reported for the same period in other Fund materials.
(a) Securities Transactions and Investment Income Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled
beyond a standard settlement period for the security after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend
date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as a Fund is informed of the ex-dividend
date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is
recorded on the accrual basis from effective date. For convertible securities, premiums attributable to
the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change
in unrealized appreciation (depreciation) on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the
Statements of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received
from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains.
Debt obligations may be placed on
non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on
consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.
(b) Foreign Currency Translation The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current
exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not
separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized gain (loss) and net change in unrealized appreciation (depreciation) from investments on
the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through
a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference
between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of
Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net
change in unrealized appreciation (depreciation) on foreign currency assets and liabilities on the Statements of Operations.
|
|
|
|
|
|
|
|
|
| 86 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
|
|
January 31, 2020 (Unaudited)
(c) Distributions — Common Shares The following table shows the anticipated frequency of distributions from net investment income to common shareholders.
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Distribution Frequency |
|
|
|
|
|
| Fund Name |
|
|
|
|
Declared |
|
|
Distributed |
|
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
|
Monthly |
|
|
|
Monthly |
|
|
|
|
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
Monthly |
|
|
|
Monthly |
|
|
|
|
|
| PIMCO High Income Fund |
|
|
|
|
|
|
Monthly |
|
|
|
Monthly |
|
|
|
|
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
Monthly |
|
|
|
Monthly |
|
|
|
|
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
Monthly |
|
|
|
Monthly |
|
Each Fund intends to distribute
at least annually to its shareholders all or substantially all of its net tax-exempt interest and any investment company taxable income, and may distribute its net capital gain.
A Fund may engage in investment strategies, including the use of
derivatives, to, among other things, seek to generate current, distributable income without regard to possible declines in the Fund’s NAV. A Fund’s income and gain generating strategies, including certain derivatives strategies, may
generate current, distributable income, even if such strategies could potentially result in declines in the Fund’s NAV. These strategies may generate current income and gains taxable as ordinary income sufficient to support monthly
distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund’s debt investments, or
arising from its use of derivatives. A Fund may enter into opposite sides of interest rate swap and other derivatives for the principal purpose of generating distributable gains on the one side (characterized as ordinary income for tax purposes)
that are not part of the Fund’s duration or yield curve management strategies (“paired swap transactions”), and with a substantial possibility that the Fund will experience a corresponding capital loss and decline in NAV with respect
to the opposite side transaction (to the extent it does not have corresponding offsetting capital gains). Consequently, common shareholders may receive distributions and owe tax on amounts that are effectively a taxable return of the
shareholder’s investment in the Fund at a time when their investment in a Fund has declined in value, which may be taxed at ordinary income rates. The tax treatment of certain derivatives in which a Fund invests may be unclear and thus subject
to recharacterization. Any recharacterization of payments made or received by a Fund pursuant to derivatives potentially could affect the amount, timing or character of Fund distributions. In addition, the tax treatment of such investment strategies
may be changed by regulation or otherwise.
Income
distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain
recognition.
Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain
distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on each Fund’s annual financial statements presented under U.S. GAAP.
If a Fund estimates that a portion of its distribution may be
comprised of amounts from sources other than net investment income in accordance with its policies and accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. For
these purposes, a Fund estimates the source or sources from which a distribution is paid, to the close of the period as of which it is paid, in reference to its internal accounting records and related accounting practices. If, based on such
accounting records and practices, it is estimated that a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section 19 Notice generally would not be
issued. It is important to note that differences exist between a Fund’s daily internal accounting records and practices, a Fund’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax
regulations. For instance, a Fund’s internal accounting records and practices may take into account, among other factors, tax-related characteristics of certain sources of distributions that differ from
treatment under U.S. GAAP. Examples of such differences may include, among others, the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap contracts. Accordingly, among other
consequences, it is possible that a Fund may not issue a Section 19 Notice in situations where the Fund’s financial statements prepared later and in accordance with U.S. GAAP and/or the final tax character of those distributions might
later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section 19 Notice, if applicable, for additional information regarding the estimated
composition of distributions. Final determination of a distribution’s tax character will be reported on Form 1099 DIV sent to shareholders for the calendar year.
Distributions classified as a tax basis return of capital at a
Fund’s fiscal year end, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital on the Statements of Assets and Liabilities. In addition, other amounts have been reclassified between
distributable earnings (accumulated loss) and paid in capital on the Statements of Assets and Liabilities to more appropriately conform U.S. GAAP to tax characterizations of distributions.
(d) New Accounting
Pronouncements In August 2018, the Financial Accounting Standards Board issued an Accounting Standards Update (“ASU”), ASU
2018-13, which modifies certain disclosure requirements
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for fair value measurements in Accounting Standards Codification 820. The ASU is effective for annual periods beginning after December 15, 2019, and interim periods within those annual
periods. At this time, management has elected to early adopt the ASU and the changes are incorporated in the financial statements.
3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The NAV of a 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 that Fund.
On each day that the New York Stock Exchange (“NYSE”)
is open, Fund shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Funds or their 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. Each Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes
earlier, or as permitted by the 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 Funds’ approved pricing services,
quotation reporting systems and other third-party sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do 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 PIMCO 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. A 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
Funds’ Boards 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, a 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, a 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. A 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 a Fund is not open for business, which may result in a Fund’s portfolio investments being affected when shareholders are unable to buy
or sell shares.
Senior secured floating rate loans
for which an active secondary market exists to a reliable degree are valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active
secondary market does not exist to a reliable degree are valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to,
the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments
of similar quality, rate, period until next interest rate reset and maturity.
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January 31, 2020 (Unaudited)
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 a 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 a Fund is not open for business. As a result, to the extent that a 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 a 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 a 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 a 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 Funds’ policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, a Fund cannot ensure that fair
values determined by the Board or persons acting at their direction would
accurately reflect the price that a 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 a 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 a 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:
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Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities. |
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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. |
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Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable
inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments. |
Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and
3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services
(Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the
availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of
Level 3, if material, are disclosed in the Notes to Schedule of Investments for each respective Fund.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for
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Notes to Financial Statements (Cont.)
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 a 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 each respective 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, 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.
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PIMCO CLOSED-END FUNDS |
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January 31, 2020 (Unaudited)
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.
Interest only (IO) weighted average life model begins
amortization with the base price with the ending price being zero over the weighted average life of the IO on a straight-line basis. The base price may be a broker-dealer quote, transaction price, or an internal value as derived from the 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 used to set 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.
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.
Market based valuation estimates fair value by projecting the
company’s market value, which may include unobservable inputs such as estimated recovery on assets. 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.
4. SECURITIES AND OTHER INVESTMENTS
Investments in Securities
The Funds may utilize the investments and strategies described below
to the extent permitted by each Fund’s respective investment policies.
Loans and Other Indebtedness, Loan Participations and Assignments are direct debt instruments which are
interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Fund’s loan interests may be in the form of direct investments, participations in loans or assignments of all or a portion of loans
from third parties or exposure to investments in loans through investments in a mutual fund or other pooled investment vehicle. A loan is often administered by a bank or other financial institution (the “agent”) that acts as agent for all
holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may acquire interests in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has
no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the agent that is selling the loan agreement.
In the event of the insolvency of the agent selling a
participation, a Fund may be treated as a general creditor of the agent and may not benefit from any set-off between the agent and the borrower. When a Fund purchases assignments from agents it acquires direct
rights against the borrowers of the loans. These loans may include participations in bridge loans, which are loans taken out by borrowers for a short period (typically less than one year) pending arrangement of more permanent
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financing through, for example, the issuance of bonds, frequently high yield bonds issued for the purpose of acquisitions.
Acquisitions of loans are generally subject to risks similar to
those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and risks associated with mortgage-related securities. In addition, in many cases loans
are subject to the risks associated with below investment grade securities. The Funds may be subject to heightened or additional risks and potential liabilities and costs by acquiring mezzanine and other subordinated loans, including those arising
under bankruptcy, fraudulent conveyance, equitable subordination, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.
Additionally, because loans are not ordinarily registered with
the SEC or any state securities commission or listed on any securities exchange, there is usually less publicly available information about such instruments. In addition, loans may not be considered “securities” for purposes of the
anti-fraud provisions under the federal securities laws and, as a result, as a purchaser of these instruments, a Fund may not be entitled to the anti-fraud protections of the federal securities laws. In the course of investing in such instruments, a
Fund may come into possession of material nonpublic information and, because of prohibitions on trading in securities of issuers while in possession of such information, the Fund may be unable to enter into a transaction in a publicly-traded
security of that issuer when it would otherwise be advantageous for the Fund to do so. Alternatively, a Fund may choose not to receive material nonpublic information about an issuer of such loans, with the result that the Fund may have less
information about such issuers than other investors who transact in such assets.
The types of loans and related instruments in which the Funds may acquire interests include, among others, senior loans, subordinated loans (including second lien loans, B-Notes and mezzanine loans), whole loans, commercial real estate and other commercial loans and structured loans. The Funds may acquire direct interests in loans through primary loan distributions and/or in private
transactions. In the case of subordinated loans, there may be significant indebtedness ranking ahead of the borrower’s obligation to the holder of such a loan, including in the event of the borrower’s insolvency. Mezzanine loans are
typically secured by a pledge of an equity interest in the mortgage borrower that owns the real estate rather than an interest in a mortgage.
Acquisitions of loans may include unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments
may include revolving credit facilities, which may obligate
a Fund to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full, even though a percentage of the committed amount may not be utilized
by the borrower. When acquiring a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the agent selling the loan agreement and only upon receipt of payments by the agent
from the borrower. Because acquiring unfunded loan commitments creates a future obligation for a Fund to provide funding to a borrower upon demand in exchange for a fee, the Fund will segregate or earmark liquid assets with the Fund’s custodian
in amounts sufficient to satisfy any such future obligations. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, a Fund may receive a penalty fee upon the
prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. Unfunded loan commitments, if any, are reflected as a liability on the
Statements of Assets and Liabilities.
Mortgage-Related and Other Asset-Backed Securities directly
or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan
institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both principal and interest. Interest may be determined by fixed or adjustable rates. In times of declining interest
rates, there is a greater likelihood that a Fund’s higher yielding securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. The rate of
prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of
purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect not only their prices but can also change the income flows and repayment assumptions about those investments. The timely
payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including
government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements.
Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments, and the ability of a
property to attract and retain tenants.
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These securities may be less liquid and may exhibit greater price volatility than other types
of mortgage-related or other asset-backed securities. Other asset-backed securities are created from many types of assets, including, but not limited to, auto loans, accounts receivable, such as credit card receivables and hospital account
receivables, home equity loans, student loans, boat loans, mobile home loans, recreational vehicle loans, manufactured housing loans, aircraft leases, computer leases and syndicated bank loans. The Funds may invest in any level of the capital
structure of an issuer of mortgage-backed or asset-backed securities, including the equity or “first loss” tranche.
Collateralized Debt Obligations (“CDOs”) include
Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a
diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and
subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. For both CBOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield.
The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is
partially protected from defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or
CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a
class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. CDOs carry additional risks including, but not limited to, (i) the possibility that
distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) the risk that a Fund may invest in CDOs that are subordinate to other classes, and
(iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured
into multiple classes, often referred to as “tranches”, with each class bearing a different stated maturity and entitled to a different schedule
for payments of principal and interest, including prepayments. CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.
As CMOs have evolved, some classes of CMO bonds have
become more common. For example, a Fund may invest in parallel-pay and planned amortization class (“PAC”) CMOs and multi-class pass-through certificates.
Parallel-pay CMOs and multi-class pass-through certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in
calculating the stated maturity date or final distribution date of each class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs
generally require payments of a specified amount of principal on each payment date. PACs are parallel-pay CMOs with the required principal amount on such securities having the highest priority after interest
has been paid to all classes. Any CMO or multi-class pass-through structure that includes PAC securities must also have support tranches — known as support bonds, companion bonds or non-PAC bonds —
which lend or absorb principal cash flows to allow the PAC securities to maintain their stated maturities and final distribution dates within a range of actual prepayment experience. These support tranches are subject to a higher level of maturity
risk compared to other mortgage-related securities, and usually provide a higher yield to compensate investors. If principal cash flows are received in amounts outside a pre-determined range such that the
support bonds cannot lend or absorb sufficient cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk. A Fund may invest in various tranches of CMO bonds, including support bonds and equity or
“first loss” tranches (see “Collateralized Debt Obligations” above).
Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS
are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or
“IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value
of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on
mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. The yield to maturity on an IO class is extremely sensitive to the rate of principal payments (including prepayments) on
the related underlying mortgage assets, and a rapid rate of principal
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payments may have a material adverse effect on a Fund’s yield to maturity from these securities. If the underlying mortgage assets experience greater than anticipated prepayments of
principal, the Funds may fail to recoup some or all of its initial investment in these securities even if the security is in one of the highest rating categories.
Payments received for IOs are included in interest income on the
Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of
Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
Payment In-Kind Securities may give the issuer the option at each interest payment date of making interest
payments in either cash and/or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the
original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment from the unrealized appreciation (depreciation) on investments to interest receivable on the Statements of Assets and Liabilities.
Perpetual Bonds are fixed income securities with no maturity date but pay a coupon in perpetuity (with no specified ending or maturity date). Unlike typical fixed income securities, there is no
obligation for perpetual bonds to repay principal. The coupon payments, however, are mandatory. While perpetual bonds have no maturity date, they may have a callable date in which the perpetuity is eliminated and the issuer may return the principal
received on the specified call date. Additionally, a perpetual bond may have additional features, such as interest rate increases at periodic dates or an increase as of a predetermined point in the future.
Real Estate Investment Trusts (“REITs”) are pooled investment vehicles that own, and typically operate, income-producing real estate. If a REIT meets certain requirements, including
distributing to shareholders substantially all of its taxable income (other than net capital gains), then it is not taxed on the income distributed to shareholders. Distributions received from REITs may be characterized as income, capital gain or a
return of capital. A return of capital is recorded by a Fund as a reduction to the cost basis of its investment in the REIT. REITs are subject to management fees and other expenses, and so the Funds that invest in REITs will bear their proportionate
share of the costs of the REITs’ operations.
Restricted Investments are subject to legal or contractual
restrictions on resale and may generally be sold privately, but may be required to be registered or exempted from such registration before being sold to
the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A
of the Securities Act of 1933. Disposal of restricted investments may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Funds at January 31,
2020, as applicable, are disclosed in the Notes to Schedules of Investments.
Securities Issued by U.S. Government Agencies or Government-Sponsored Enterprises are obligations of and, in
certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association, are supported
by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such
as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include
zero coupon securities which do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full
faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or
guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage
bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”),
which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit
of the U.S. Government. Instead, they are supported only by the discretionary authority of the U.S. Government to purchase the agency’s obligations.
Warrants are securities that are usually issued together
with a debt security or preferred security and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants are freely transferable and are often traded on major exchanges. Warrants normally have a life
that is measured in years and entitle the
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holder to buy common stock of a company at a price that is usually higher than the market
price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities,
and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration
date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared
with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common
stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the
performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If
interest rates rise, these warrants would generally expire with no value.
When-Issued Transactions are purchases or sales made on a when-issued basis. These transactions are made
conditionally because a security, although authorized, has not yet been issued in the market. Transactions to purchase or sell securities on a when-issued basis involve a commitment by a Fund to purchase or sell these securities for a predetermined
price or yield, with payment and delivery taking place beyond the customary settlement period. A Fund may sell when-issued securities before they are delivered, which may result in a realized gain (loss).
5. BORROWINGS AND OTHER FINANCING TRANSACTIONS
The Funds may enter into the borrowings and other financing
transactions described below to the extent permitted by each Fund’s respective investment policies.
The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or
financing transactions by a Fund. The location of these instruments in each Fund’s financial statements is described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing
transactions; please see Note 7, Principal Risks.
(a) Repurchase
Agreements Under the terms of a typical repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to
repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. In an open maturity repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by
the Fund or counterparty at any time. The underlying securities for all repurchase agreements are held by a Fund’s custodian or designated subcustodians under tri-party repurchase agreements and in
certain instances will remain in custody with the counterparty. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued
interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of
collateral, which may result in interest expense to the Fund.
(b) Reverse Repurchase Agreements In a reverse repurchase agreement, a Fund delivers a security in exchange
for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to
the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities.
Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the
counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds of the agreement may be restricted
pending a determination by the other party, or its trustee or receiver, whether to enforce a Fund’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the
securities to be repurchased may decline below the repurchase price; please see Note 7, Principal Risks.
6. FINANCIAL DERIVATIVE INSTRUMENTS
The Funds may enter into the financial derivative instruments described below to the extent permitted by each Fund’s respective investment policies.
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The following disclosures contain information on how and why the Funds use financial
derivative instruments, and how financial derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities
and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to
Schedules of Investments. The financial derivative instruments outstanding as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period,
as disclosed in the Notes to Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.
PIMCO Corporate & Income Opportunity Fund is subject to regulation as a commodity pool under the Commodity Exchange Act pursuant to
recent rule changes by the Commodity Futures Trading Commission (the “CFTC”). The Manager has registered with the CFTC as a Commodity Pool Operator and a Commodity Trading Adviser with respect to the Fund, and is a member of the National
Futures Association. As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply to PIMCO Corporate & Income Opportunity Fund.
(a) Forward Foreign Currency Contracts may be engaged, in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as
part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in
foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain (loss). Realized gains (losses) are equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a forward foreign currency contract may generally be satisfied
by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash
settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. Although forwards may be intended to minimize the risk of loss
due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should
the value of such currencies increase. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes
unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.
(b) Swap Agreements are bilaterally negotiated agreements
between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC
swaps”) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Fund may enter into asset, credit default, cross-currency, interest rate, total
return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in
accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the
requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Statements of Operations. Daily changes in
valuation of centrally cleared swaps, if any, are recorded as variation margin on the Statements of Assets and Liabilities. Centrally Cleared and OTC swap payments received or paid at the beginning of the measurement period are included on the
Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads,
currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums
are recorded as realized gain (loss) on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statements of Operations.
Net periodic payments received or paid by a Fund are included as part of realized gain (loss) on the Statements of Operations.
For purposes of a Fund’s investment policy adopted pursuant to Rule 35d-1 under the Act (if
any), the Fund will account for derivative instruments at market value. For purposes of applying a Fund’s other investment policies and restrictions, swap agreements, like other derivative instruments, may be valued by a Fund at market value,
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notional value or full exposure value (i.e., the sum of the notional amount for the contract
plus the market value) or any combination of the foregoing (e.g., notional value for purposes of calculating the numerator and market value for purposes of calculating the denominator for compliance with a particular policy or restriction). See Note
6 — Asset Segregation below. In the case of a credit default swap, in applying certain of a Fund’s investment policies and restrictions, the Funds will value the credit default swap at its notional value or its full exposure value (i.e.,
the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of a Fund’s other investment policies and restrictions. For example, a Fund may value
credit default swaps at full exposure value for purposes of a Fund’s credit quality guidelines (if any) because such value in general better reflects a Fund’s actual economic exposure during the term of the credit default swap agreement.
As a result, a Fund may, at times, have notional exposure to an asset class (before netting) that is greater or lesser than the stated limit or restriction noted in a Fund’s prospectus. In this context, both the notional amount and the market
value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for purposes of applying investment
policies and restrictions may differ from the manner in which those investments are valued by other types of investors.
Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the
amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree
as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or the values of the asset upon which the swap is based.
A Fund’s maximum risk of loss from counterparty credit risk
is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between a Fund and
the counterparty and by the posting of collateral to a Fund to cover a Fund’s exposure to the counterparty.
To the extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap
agreements, such limitation only applies to counterparties to OTC swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.
Credit Default Swap Agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues are entered into to provide a measure of protection against defaults of the issuers (i.e., to reduce
risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream
of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the swap
agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no
credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
If a Fund is a seller of protection and a credit event occurs,
as defined under the terms of that particular swap agreement, a 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, other deliverable obligations
or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying
securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal
to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to
the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or
entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation
method, are used to calculate the settlement value. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s
right to choose the deliverable obligation with the lowest value following a credit event).
Credit default swap agreements on corporate or sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the
event of a
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default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced
obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable
obligation with the lowest value following a credit event).
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a
write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the
credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include,
but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms
including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the
indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. Credit default swaps on credit indices may be used to hedge a portfolio of credit default swaps or bonds, which is less
expensive than it would be to buy many credit default swaps to achieve a similar effect or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Credit default swaps on indices
are instruments often used to attempt to protect investors owning bonds against default, but may also be used for speculative purposes.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on
corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues as of period end, if any, are disclosed in the Notes to Schedules of Investments. They serve as an indicator of the current status of payment/performance risk and represent the
likelihood or risk of default for the reference entity. 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. For credit default swap
agreements on asset-backed securities and credit indices, the quoted market prices and resulting
values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, 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.
The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be
required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Fund is the seller of protection are
disclosed in the Notes to Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts
received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Interest Rate Swap Agreements may be entered into to help
hedge against interest rate risk exposure and to maintain a Fund’s ability to generate income at prevailing market rates. The value of the fixed rate bonds that the Funds hold may decrease if interest rates rise. To help hedge against this risk
and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a Fund with another party for their respective commitment to pay or
receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that
interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or
“floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable
interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which
allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on
different segments of money markets.
Total
Return Swap Agreements are entered into to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single
or multiple cash flows
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are exchanged based on the price of an underlying reference asset and on a fixed or variable
interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific underlying reference asset, which may include a single security, a
basket of securities, or an index, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference asset less a financing rate, if
any. As a receiver, a Fund would receive payments based on any net positive total return and would owe payments in the event of a net negative total return. As the payer, a Fund would owe payments on any net positive total return, and would receive
payments in the event of a net negative total return. A Fund’s use of a total return swap exposes the Fund to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of
exchange rates, interest rates, securities, or the index.
Asset Segregation Certain transactions described above can be viewed as constituting a form of borrowing or
financing transaction by a Fund. In such event, a Fund will cover its obligation under such transactions by segregating or “earmarking” assets in accordance with procedures adopted by the Board, in which case such transactions will not be
considered “senior securities” by a Fund. With respect to forwards, futures contracts, options and swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying reference asset is not permitted or
physical settlement is not otherwise involved), a Fund (other than PIMCO Corporate & Income Opportunity Fund, PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II) is permitted to segregate or earmark liquid assets equal to a
Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value. For PIMCO
Corporate & Income Opportunity Fund, PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II, with respect to forwards and futures contracts and interest rate swaps that are contractually required to cash settle (i.e., where physical
delivery of the underlying reference asset is not permitted or physical settlement is not otherwise involved), the Fund is permitted to segregate or earmark liquid assets equal to the Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value, but may segregate full notional value, as applicable, with respect to certain
other derivative instruments (including, written credit default swaps and written options) that contractually require or permit physical delivery of securities or other underlying assets. By segregating or earmarking liquid assets equal to only its
net marked-to-market obligation under certain derivatives that are required to cash settle, a Fund will have the ability to employ leverage to a greater extent than if a
Fund were to segregate or earmark liquid assets equal to the full notional value of the derivative.
7. PRINCIPAL RISKS
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss
exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more
comprehensive list of potential risks the Funds may be subject to, please see the Important Information About the Funds.
Market Risks A Fund’s investments in financial
derivative instruments and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign (non-U.S.) currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities and
other instruments held by a Fund will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described
as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Fund may lose money if these changes are not anticipated by the Fund’s management. Variable rate securities may
decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. A Fund may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any
hedges may not work as intended.
Fixed income
securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is a measure used to determine the sensitivity of a security’s price to
changes in interest rates that incorporates a security’s yield, coupon, final maturity and call features, among other characteristics. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price
to interest rate (i.e. yield) movements. All other things remaining equal, for each one percentage point increase in interest rates, the value of a portfolio of fixed income investments would generally be expected to decline by one percent for every
year of the portfolio’s average duration above zero. For example, the value of a portfolio of fixed income securities with an average duration of three years would generally be expected to decline by approximately 3% if interest rates rose by
one percentage point. Convexity is an additional measure used to understand a security’s interest rate sensitivity. Convexity measures the rate of change of duration in response to changes in interest rates and may be positive or negative.
Securities with negative convexity may experience greater losses during periods of rising interest rates, and accordingly Funds holding such securities may be subject to a greater risk of losses in periods of rising interest rates.
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
99 |
Notes to Financial Statements (Cont.)
A wide variety of factors can cause interest rates or yields of U.S. Treasury securities (or
yields of other types of bonds) to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). This is especially true under current conditions because interest rates and bond yields are near historically low
levels. Thus, the Funds currently face a heightened level of risk associated with rising interest rates and/or bond yields. This could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation
or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. During periods of very low or negative interest rates, a Fund may be unable to maintain positive returns. Changing
interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent a Fund is exposed to such interest rates. Rising interest
rates may result in a decline in value of a Fund’s fixed-income investments and in periods of volatility. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained
relatively stagnant. As a result, dealer inventories of certain types of bonds and similar instruments, which provide a core indication of the ability of financial intermediaries to “make markets,” are at or near historic lows in relation
to market size. Because market makers provide stability to a market through their intermediary services, the significant reduction in dealer inventories could potentially lead to decreased liquidity and increased volatility in the fixed income
markets. Such issues may be exacerbated during periods of economic uncertainty. All of these factors, collectively and/or individually, could cause a Fund to lose value.
Foreign (non-U.S.)
securities in this report 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. If a Fund invests directly in foreign (non-U.S.) currencies or in securities that trade in, and receive revenues in, foreign (non-U.S.) currencies, or in financial derivatives that provide exposure to foreign (non-U.S.) currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency
will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to
intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a
Fund’s investments in foreign currency denominated securities may reduce the Fund’s returns.
The market values of a Fund’s investments may decline due to general market conditions
which are not specifically related to a particular company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment.
They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally
have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held
by a Fund. Even when markets perform well, there is no assurance that the investments held by a Fund will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy
on a national or global level.
A Fund’s
investments in commodity-linked financial derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by
changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic,
political and regulatory developments.
Credit and
Counterparty Risks A Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Fund seeks to minimize
concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. Over the counter (“OTC”) derivative transactions are subject to the risk that a
counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally cleared derivative transactions might not be available for OTC derivative transactions. For derivatives
traded on an exchange or through a central counterparty, credit risk resides with a Fund’s clearing broker, or the clearinghouse itself, rather than with a counterparty in an OTC derivative transaction. A Fund could lose money if the issuer or
guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor
its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has
unsettled or open transactions will default. PIMCO, as the Manager,
|
|
|
|
|
|
|
|
|
| 100 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
|
|
January 31, 2020 (Unaudited)
seeks to minimize counterparty risks to the Funds through a number of ways. Prior to entering
into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract,
to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold, such counterparty is required to advance collateral to the Fund in the form of cash or securities equal in value to the unpaid amount owed to the Fund. A Fund may
invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund subsequently decreases, the Fund would be required to return to the
counterparty all or a portion of the collateral previously advanced. PIMCO’s attempts to minimize counterparty risk may, however, be unsuccessful.
All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered
minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
To the extent a Fund has a policy to limit the net
amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to OTC swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or
derivatives clearing organization.
8. MASTER NETTING ARRANGEMENTS
A Fund may be subject to various netting
arrangements (“Master Agreements”) with select counterparties. Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit
protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or
affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total
exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statements of Assets and Liabilities generally present
derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.
Master Agreements can also help limit counterparty risk by specifying collateral posting
arrangements at pre-arranged exposure levels. Under most Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place)
governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury
Bills and U.S. dollar cash are generally the preferred forms of collateral, although other securities may be used depending on the terms outlined in the applicable Master Agreement. Securities and cash pledged as collateral are reflected as assets
on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty. Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on
the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially
within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and certain
sale-buyback transactions between a Fund and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The market value of transactions
under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
Master Securities Forward Transaction Agreements (“Master
Forward Agreements”) govern certain forward settling transactions, such as TBA securities, delayed-delivery or certain sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions
for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net
exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.
Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Such transactions require posting of
initial margin as determined by each relevant clearing agency which is segregated in an account at a futures commission merchant (“FCM”) registered with the CFTC. In the United States, counterparty risk may be reduced as creditors of an
FCM cannot have a claim to Fund assets
|
|
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|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
101 |
Notes to Financial Statements (Cont.)
in the segregated account. Portability of exposure reduces risk to the Funds. Variation margin, or changes in market value, are generally exchanged daily, but may not be netted between futures
and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin
as of period end are disclosed in the Notes to Schedules of Investments.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of listed equity option transactions or short sales of equity securities between a Fund and selected
counterparties. The arrangements provide guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for, among other things, payments,
maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker. The market values of listed
options and securities sold short and related collateral are disclosed in the Notes to Schedules of Investments.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern bilateral OTC derivative transactions entered
into by a Fund with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may
entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited
circumstances, the ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if
any, may be segregated with a third-party custodian. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
9. FEES AND EXPENSES
(a) Management Fee Pursuant to the Investment Management Agreement with PIMCO (the “Agreement”), and subject to the supervision of the Board, PIMCO is responsible for providing to each
Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition,
pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the
Funds require, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for
shareholder meetings, NYSE listing and related fees, tax services, valuation services and other services the Funds require for their daily operations.
Pursuant to the Agreement, PIMCO receives an annual fee, payable monthly, at the annual rates shown in the table below:
|
|
|
|
|
|
|
|
|
| Fund Name |
|
|
|
|
Annual
Rate |
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
|
0.65% |
(1) |
|
|
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
0.81% |
(1) |
|
|
|
| PIMCO High Income Fund |
|
|
|
|
|
|
0.76% |
(1) |
|
|
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
0.86% |
(2) |
|
|
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
0.83% |
(2) |
| (1) |
Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any
preferred shares of the Fund that may be outstanding). |
| (2) |
Management fees calculated based on the Fund’s average weekly “total managed assets”. Total managed assets includes total
assets of each Fund (including any assets attributable to any preferred shares or other forms of leverage that may be outstanding) minus accrued liabilities (other than liabilities representing leverage). |
(b) Fund Expenses Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including
travel expenses of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if
any, levied against the Fund; (iii) brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants
retained in connection with reviewing, negotiating and structuring specialized loans and other investments made by the Fund, subject to specific or general authorization by the Fund’s Board (for example,
so-called “broken-deal costs” (e.g., fees, costs, expenses and liabilities, including, for example, due diligence-related fees, costs, expenses and liabilities, with respect to unconsummated
investments))); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expense, of borrowing money or
engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or
interest expenses and other costs (including, without
|
|
|
|
|
|
|
|
|
| 102 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
|
|
January 31, 2020 (Unaudited)
limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to
transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational
documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or
other pooled vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their
benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred
in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering
expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and
(xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.
Each of the Trustees of the Funds who is not an interested person under Section 2(a)(19) of the Act, (the “Independent Trustees”) also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End Funds”), as well as PIMCO Flexible Credit Income Fund
and PIMCO Flexible Municipal Income Fund, each a closed end management investment company managed by PIMCO that is operated as an “interval fund” (the ”PIMCO Interval Funds”), and PIMCO Managed Accounts Trust, an open-end management investment company with multiple series for which PIMCO serves as investment adviser and administrator (“PMAT” and, together with the PIMCO
Closed-End Funds and the PIMCO Interval Funds, the “PIMCO Managed Funds”). In addition, each of the Independent Trustees also serves as a trustee of certain investment companies (together, the
“Allianz-Managed Funds”), for which Allianz Global Investors U.S. LLC (“AllianzGI U.S.”), an affiliate of PIMCO, serves as investment manager. The Funds pay no compensation directly to any Trustee or any other officer who is
affiliated with the Manager, all of whom receive remuneration for their services to the Funds from the Manager or its affiliates.
10. RELATED PARTY TRANSACTIONS
The Manager is a related party. Fees payable to this party are disclosed in Note 9, Fees and Expenses, and the accrued related party fee
amounts are disclosed on the Statements of Assets and Liabilities.
Certain Funds are permitted to purchase or sell securities from or to
certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are,
or could be, considered an affiliate, or an affiliate of an affiliate, by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule
17a-7 under the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended January 31, 2020, the Funds below engaged in purchases and
sales of securities pursuant to Rule 17a-7 under the Act (amounts in thousands†):
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund Name |
|
|
|
|
Purchases |
|
|
Sales |
|
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
$ |
7,669 |
|
|
$ |
59,923 |
|
|
|
|
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
2,994 |
|
|
|
16,677 |
|
|
|
|
|
| PIMCO High Income Fund |
|
|
|
|
|
|
1,822 |
|
|
|
39,661 |
|
|
|
|
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
938 |
|
|
|
6,905 |
|
|
|
|
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
5,141 |
|
|
|
15,218 |
|
| † |
A zero balance may reflect actual amounts rounding to less than one thousand. |
11. GUARANTEES AND INDEMNIFICATIONS
Under each Fund’s organizational documents, each Trustee
and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a
variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims
or losses pursuant to these contracts.
12. PURCHASES AND SALES OF
SECURITIES
The length of time a Fund has held a
particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to
achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover may involve correspondingly greater transaction costs, including brokerage commissions or dealer
mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which are borne by the Fund. Such sales may also result in realization of taxable capital gains, including
short-term capital gains (which are generally taxed at ordinary income tax rates when distributed to shareholders). The transaction costs associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates
are reported in the Financial Highlights.
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
103 |
Notes to Financial Statements (Cont.)
Purchases and sales of securities
(excluding short-term investments) for the period ended January 31, 2020, were as follows (amounts in thousands†):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
U.S. Government/Agency |
|
|
All Other |
|
|
|
|
|
|
|
| Fund Name |
|
|
|
|
Purchases |
|
|
Sales |
|
|
Purchases |
|
|
Sales |
|
|
|
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
$ |
668 |
|
|
$ |
0 |
|
|
$ |
337,227 |
|
|
$ |
195,896 |
|
|
|
|
|
|
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
87,658 |
|
|
|
58,900 |
|
|
|
|
|
|
|
| PIMCO High Income Fund |
|
|
|
|
|
|
0 |
|
|
|
0 |
|
|
|
90,752 |
|
|
|
92,961 |
|
|
|
|
|
|
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
2,384 |
|
|
|
0 |
|
|
|
64,896 |
|
|
|
42,095 |
|
|
|
|
|
|
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
2,815 |
|
|
|
0 |
|
|
|
120,759 |
|
|
|
81,485 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| † |
A zero balance may reflect actual amounts rounding to less than one thousand. |
13. COMMON SHARES OFFERING
On March 23, 2017, the SEC declared effective a
registration statement filed using the “shelf” registration process (the “Original Shelf Registration”) for PIMCO Corporate & Income Opportunity Fund (for purposes of this paragraph, the “Fund”). Pursuant to
the Original Shelf Registration, the Fund was permitted to offer and sell, from time to time, in one or more offerings, up to 14,500,000 of its Common Shares, par value $0.00001 per share. The aggregate sales proceeds for the sales of the
Fund’s Common Shares were subject to an aggregate cap of $229,680,000. As of July 1, 2019, the Fund had sold an aggregate of 13,662,714 Common Shares pursuant to the Original Shelf Registration, representing net proceeds to the Fund of
$227,144,920 after payment of commissions. On July 3, 2019, the SEC declared effective a new registration statement filed using the “shelf” registration process for the Fund (the “New Shelf Registration”). Pursuant to the
New Shelf Registration, the Fund may offer, from time to time, in one or more offerings, an aggregate offering value of up to $500,000,000 of Common Shares. During the period ended January 31, 2020, the Fund sold 6,794,912 Common Shares
pursuant to the New Shelf Registration. Proceeds from the offerings during the period ended January 31, 2020 (net of commissions and fees) were $125,637,905.
On September 6, 2018, the SEC declared effective a
registration statement filed using the “shelf” registration process for each of PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II.
Pursuant to its shelf registration, PIMCO Income Strategy Fund may offer and sell, from time to time, in one or more offerings, up to
5,500,000 of its Common Shares, par value $0.00001 per share. The aggregate sales proceeds for the sales of the PIMCO Income Strategy Fund Common Shares are subject to an aggregate cap of $100,000,000. During the period ended January 31, 2020,
the Fund sold 2,098,549 Common Shares. Proceeds from the offerings during the period ended January 31, 2020 (net of commissions and fees) were $24,340,472.
Pursuant to its shelf registration, PIMCO Income Strategy Fund II may offer and sell, from
time to time, in one or more offerings, up to 11,500,000 of its Common Shares par value $0.00001 per share. The aggregate sales proceeds for the sales of the PIMCO Income Strategy Fund II Common Shares are subject to an aggregate cap of
$175,000,000. During the period ended January 31, 2020, the Fund sold 4,735,989 Common Shares. Proceeds from the offerings during the period ended January 31, 2020 (net of commissions and fees) were $49,319,391.
Each Fund may not sell any Common Shares at a price below the
NAV of such Common Shares, exclusive of any distributing commission or discount. Sales of the Common Shares, if any, may be made in negotiated transactions or transactions that are deemed to be “at the market”, including sales made
directly on the NYSE or sales made to or through a market maker other than on an exchange. Any proceeds from a Fund’s offering of its common shares will be invested in accordance with its investment objective and policies as set forth in its
effective registration statement.
14. AUCTION-RATE PREFERRED SHARES
Each series of Auction-Rate Preferred Shares
(“ARPS”) outstanding of each Fund has a liquidation preference of $25,000 per share plus any accumulated, unpaid dividends. Dividends are accumulated daily at an annual rate that is typically reset every seven days through auction
procedures (or through default procedures in the event of failed auctions). Distributions of net realized capital gains, if any, are paid at least annually.
|
|
|
|
|
|
|
|
|
| 104 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
|
|
January 31, 2020 (Unaudited)
For the period ended January 31, 2020, the annualized
dividend rates on the ARPS ranged from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund Name |
|
|
|
|
Shares
Issued and
Outstanding |
|
|
High |
|
|
Low |
|
|
As of
January 31, 2020 |
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series M |
|
|
|
|
|
|
1,748 |
|
|
|
4.664% |
|
|
|
3.062% |
|
|
|
3.062% |
|
| Series T |
|
|
|
|
|
|
1,596 |
|
|
|
4.644% |
|
|
|
3.042% |
|
|
|
3.082% |
|
| Series W |
|
|
|
|
|
|
1,634 |
|
|
|
4.564% |
|
|
|
3.042% |
|
|
|
3.042% |
|
| Series TH |
|
|
|
|
|
|
1,786 |
|
|
|
4.322% |
|
|
|
3.062% |
|
|
|
3.062% |
|
| Series F |
|
|
|
|
|
|
1,742 |
|
|
|
4.664% |
|
|
|
3.062% |
|
|
|
3.182% |
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series M |
|
|
|
|
|
|
242 |
|
|
|
3.498% |
|
|
|
2.297% |
|
|
|
2.297% |
|
| Series T |
|
|
|
|
|
|
180 |
|
|
|
3.483% |
|
|
|
2.282% |
|
|
|
2.312% |
|
| Series W |
|
|
|
|
|
|
214 |
|
|
|
3.423% |
|
|
|
2.282% |
|
|
|
2.282% |
|
| Series TH |
|
|
|
|
|
|
138 |
|
|
|
3.242% |
|
|
|
2.297% |
|
|
|
2.297% |
|
| Series F |
|
|
|
|
|
|
167 |
|
|
|
3.498% |
|
|
|
2.297% |
|
|
|
2.387% |
|
| PIMCO High Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series M |
|
|
|
|
|
|
455 |
|
|
|
3.731% |
|
|
|
2.450% |
|
|
|
2.450% |
|
| Series T |
|
|
|
|
|
|
526 |
|
|
|
3.715% |
|
|
|
2.434% |
|
|
|
2.466% |
|
| Series W |
|
|
|
|
|
|
369 |
|
|
|
3.651% |
|
|
|
2.434% |
|
|
|
2.434% |
|
| Series TH |
|
|
|
|
|
|
476 |
|
|
|
3.458% |
|
|
|
2.450% |
|
|
|
2.450% |
|
| Series F |
|
|
|
|
|
|
496 |
|
|
|
3.731% |
|
|
|
2.450% |
|
|
|
2.546% |
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series T |
|
|
|
|
|
|
698 |
|
|
|
3.482% |
|
|
|
2.806% |
|
|
|
2.813% |
|
| Series W |
|
|
|
|
|
|
636 |
|
|
|
3.446% |
|
|
|
2.802% |
|
|
|
2.811% |
|
| Series TH |
|
|
|
|
|
|
474 |
|
|
|
3.426% |
|
|
|
2.803% |
|
|
|
2.816% |
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series M |
|
|
|
|
|
|
671 |
|
|
|
3.523% |
|
|
|
2.808% |
|
|
|
2.812% |
|
| Series T |
|
|
|
|
|
|
855 |
|
|
|
3.482% |
|
|
|
2.806% |
|
|
|
2.813% |
|
| Series W |
|
|
|
|
|
|
627 |
|
|
|
3.446% |
|
|
|
2.802% |
|
|
|
2.811% |
|
| Series TH |
|
|
|
|
|
|
706 |
|
|
|
3.426% |
|
|
|
2.803% |
|
|
|
2.816% |
|
|
|
|
|
|
|
| Series F |
|
|
|
|
|
|
638 |
|
|
|
3.557% |
|
|
|
2.808% |
|
|
|
2.826% |
|
Each Fund is subject to certain
limitations and restrictions while ARPS are outstanding. Failure to comply with these limitations and restrictions could preclude a Fund from declaring or paying any dividends or distributions to common shareholders or repurchasing common shares
and/or could trigger the mandatory redemption of ARPS at their liquidation preference plus any accumulated, unpaid dividends.
Auction Rate Preferred shareholders of each Fund, who are entitled to one vote per share, generally vote together with the common
shareholders of the Fund but vote separately as a class to elect two Trustees of the Fund and on certain matters adversely affecting the rights of the ARPS.
Since mid-February 2008, holders of ARPS issued by the Funds have been directly impacted by a lack of
liquidity, which has similarly affected ARPS holders in many of the nation’s closed-end funds. Since then, regularly scheduled auctions for ARPS issued by the Funds have consistently “failed”
because of insufficient demand (bids to buy shares) to meet the supply (shares offered for sale) at each auction. In a failed auction, ARPS holders cannot sell all, and may not be able to sell any, of their shares tendered for sale. While repeated
auction failures have affected the liquidity for
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
105 |
Notes to Financial Statements (Cont.)
ARPS, they do not constitute a default or automatically alter the credit quality of the ARPS, and ARPS holders have continued to receive dividends at the defined “maximum rate,” as
defined for the Funds in the table below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund Name |
|
|
|
|
|
|
Applicable % |
|
|
|
|
|
Reference Rate |
|
|
|
|
Maximum Rate(1) |
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
|
|
|
200% |
|
|
|
x |
|
|
7-day “AA” Financial Composite
Commercial Paper
Rates |
|
|
= |
|
|
|
Maximum Rate for PTY |
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
|
|
150% |
|
|
|
x |
|
|
7-day “AA” Financial Composite
Commercial Paper Rates |
|
|
= |
|
|
|
Maximum Rate for PCN |
|
| PIMCO High Income Fund |
|
|
|
|
|
|
|
|
160% |
|
|
|
x |
|
|
7-day “AA” Financial Composite
Commercial Paper Rates |
|
|
= |
|
|
|
Maximum Rate for PHK |
|
| PIMCO Income Strategy Fund |
|
The higher of |
|
|
|
|
|
|
150%
1.25% |
|
|
|
x
+ |
|
|
7-Day USD LIBOR
OR
7-Day USD
LIBOR |
|
|
=
= |
|
|
|
Maximum Rate for PFL |
(2) |
| PIMCO Income Strategy Fund II |
|
The higher of |
|
|
|
|
|
|
150%
1.25% |
|
|
|
x
+ |
|
|
7-Day USD LIBOR
OR
7-Day USD
LIBOR |
|
|
=
= |
|
|
|
Maximum Rate for PFN |
(2) |
| (1) |
In any event, the Maximum Rate will not be lower than 0%. |
| (2) |
For the avoidance of doubt, the Maximum Rate for PFL and PFN may be less than the Applicable %, but will not be lower than 0%.
|
The maximum rate is a function of short-term interest rates and is typically, but not
necessarily, higher than the rate that would have otherwise been set through a successful auction. If the Funds’ ARPS auctions continue to fail and the “maximum rate” payable on the ARPS rises as a result of changes in short-term
interest rates, returns for the Fund’s common shareholders could be adversely affected.
On June 25, 2019, each Fund commenced a voluntary tender offer for up to 100% of its outstanding ARPS at a price equal to 87%, with respect to PIMCO Corporate & Income Strategy
Fund, PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II, 88%, with respect to PIMCO High Income Fund, and 93%, with respect to PIMCO
Corporate & Income Opportunity Fund, of the ARPS’ per share liquidation preference of $25,000 per share (or $21,750 per share for PIMCO Corporate & Income Strategy Fund,
PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II, $22,000 per share for PIMCO High Income Fund and $23,250 per share for PIMCO Corporate & Income Opportunity Fund) and any unpaid dividends accrued through the expiration of the
tender offers (each, a “Tender Offer”).
On or about July 26, 2019, each Fund announced the expiration and results of its Tender Offer.
Details of the
ARPS tendered and not withdrawn for each Fund for the reporting period ended July 31, 2019 are provided in the table below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund Name |
|
|
|
|
Liquidation
Preference
Per Share |
|
|
Tender Offer
Price Per Share |
|
|
Price
Percentage |
|
|
Cash Exchanged for
ARPS Tendered |
|
|
ARPS Outstanding
as of 07/31/2018 |
|
|
ARPS
Tendered |
|
|
ARPS Outstanding
After Tender
Offer as of
07/31/2019 |
|
|
|
|
|
|
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
$ |
25,000 |
|
|
$ |
23,250 |
|
|
|
93 |
% |
|
$ |
23,529,000 |
|
|
|
9,518 |
|
|
|
1,012 |
|
|
|
8,506 |
|
|
|
|
|
|
|
|
|
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
25,000 |
|
|
|
21,750 |
|
|
|
87 |
|
|
|
27,840,000 |
|
|
|
2,221 |
|
|
|
1,280 |
|
|
|
941 |
|
|
|
|
|
|
|
|
|
|
| PIMCO High Income Fund |
|
|
|
|
|
|
25,000 |
|
|
|
22,000 |
|
|
|
88 |
|
|
|
38,654,000 |
|
|
|
4,079 |
|
|
|
1,757 |
|
|
|
2,322 |
|
|
|
|
|
|
|
|
|
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
25,000 |
|
|
|
21,750 |
|
|
|
87 |
|
|
|
5,285,250 |
|
|
|
2,051 |
|
|
|
243 |
|
|
|
1,808 |
|
|
|
|
|
|
|
|
|
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
25,000 |
|
|
|
21,750 |
|
|
|
87 |
|
|
|
4,371,750 |
|
|
|
3,698 |
|
|
|
201 |
|
|
|
3,497 |
|
15. REGULATORY AND LITIGATION MATTERS
The Funds are not named as defendants in any material
litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.
The foregoing speaks only as of the date of this report.
16. FEDERAL INCOME TAX MATTERS
Each 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.
A 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
Funds’ tax positions for all open tax years. As of January 31, 2020, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.
|
|
|
|
|
|
|
|
|
| 106 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
|
|
January 31, 2020 (Unaudited)
The Funds file U.S. federal, state, and local tax returns as required. The Funds’ 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.
Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry
forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under
previous law.
As of their last fiscal year ended July 31, 2019, the Funds had the following post-effective capital losses with no expiration (amounts in thousands†):
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Short-Term |
|
|
Long-Term |
|
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
$ |
102,160 |
|
|
$ |
0 |
|
|
|
|
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
36,973 |
|
|
|
4,628 |
|
|
|
|
|
| PIMCO High Income Fund |
|
|
|
|
|
|
95,265 |
|
|
|
52,394 |
|
|
|
|
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
24,150 |
|
|
|
1,010 |
|
|
|
|
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
57,440 |
|
|
|
2,499 |
|
| † |
A zero balance may reflect actual amounts rounding to less than one thousand. |
As of January 31, 2020, the aggregate
cost and the net unrealized appreciation/(depreciation) of investments for Federal income tax purposes are as follows (amounts in thousands†):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Federal
Tax Cost |
|
|
Unrealized
Appreciation |
|
|
Unrealized
(Depreciation) |
|
|
Net Unrealized
Appreciation/
(Depreciation)(1) |
|
|
|
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
$ |
1,830,260 |
|
|
$ |
356,899 |
|
|
$ |
(150,823 |
) |
|
$ |
206,076 |
|
|
|
|
|
|
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
|
757,194 |
|
|
|
173,609 |
|
|
|
(70,688 |
) |
|
|
102,921 |
|
|
|
|
|
|
|
| PIMCO High Income Fund |
|
|
|
|
|
|
1,183,073 |
|
|
|
307,993 |
|
|
|
(163,939 |
) |
|
|
144,054 |
|
|
|
|
|
|
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
|
413,453 |
|
|
|
82,964 |
|
|
|
(36,120 |
) |
|
|
46,844 |
|
|
|
|
|
|
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
|
833,273 |
|
|
|
184,141 |
|
|
|
(76,275 |
) |
|
|
107,866 |
|
| † |
A zero balance may reflect actual amounts rounding to less than one thousand. |
| (1) |
Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals
for Federal income tax purposes. |
17. SUBSEQUENT
EVENTS
In preparing these financial statements, the
Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.
On February 3, 2020, the following distributions were declared to common shareholders payable March 2, 2020 to shareholders of
record on February 13, 2020:
|
|
|
|
|
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
$ |
0.130000 per common share |
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
$ |
0.112500 per common share |
|
| PIMCO High Income Fund |
|
|
|
|
|
$ |
0.061331 per common share |
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
$ |
0.090000 per common share |
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
$ |
0.080000 per common share |
|
On March 2, 2020, the following
distributions were declared to common shareholders payable April 1, 2020 to shareholders of record on March 12, 2020:
|
|
|
|
|
|
|
|
|
| PIMCO Corporate & Income Opportunity Fund |
|
|
|
|
|
$ |
0.130000 per common share |
|
| PIMCO Corporate & Income Strategy Fund |
|
|
|
|
|
$ |
0.112500 per common share |
|
| PIMCO High Income Fund |
|
|
|
|
|
$ |
0.061331 per common share |
|
| PIMCO Income Strategy Fund |
|
|
|
|
|
$ |
0.090000 per common share |
|
| PIMCO Income Strategy Fund II |
|
|
|
|
|
$ |
0.080000 per common share |
|
On March 12, 2020, PIMCO Income
Strategy Fund and PIMCO Income Strategy Fund II filed prospectus supplements pursuant to preexisting, separate amended and restated sales agreements with JonesTrading Institutional Services LLC (“Jones Trading”), under which these
Funds may from time to time offer and sell through Jones Trading as their agent, common shares of beneficial interest having an aggregate offering price of up to $47,700,000 and $76,800,000, respectively.
There were no other subsequent events identified that require
recognition or disclosure.
|
|
|
|
|
|
|
|
|
SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
107 |
Changes to Boards of Trustees
(Unaudited)
Effective December 31, 2019, Bradford K. Gallagher resigned
from his position as Trustee of each Fund.
|
|
|
|
|
|
|
|
|
| 108 |
|
PIMCO CLOSED-END FUNDS |
|
|
|
|
|
|
Glossary: (abbreviations that may
be used in the preceding statements)
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty Abbreviations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| BCY |
|
Barclays Capital, Inc. |
|
FICC |
|
Fixed Income Clearing Corporation |
|
NOM |
|
Nomura Securities International Inc. |
|
|
|
|
|
|
| BOA |
|
Bank of America N.A. |
|
FOB |
|
Credit Suisse Securities (USA) LLC |
|
RBC |
|
Royal Bank of Canada |
|
|
|
|
|
|
| BOS |
|
BofA Securities, Inc. |
|
GLM |
|
Goldman Sachs Bank USA |
|
RDR |
|
RBC Capital Markets LLC |
|
|
|
|
|
|
| BPG |
|
BNP Paribas Securities Corp. |
|
GST |
|
Goldman Sachs International |
|
RTA |
|
RBC (Barbados) Trading Bank Corp. |
|
|
|
|
|
|
| BPS |
|
BNP Paribas S.A. |
|
HUS |
|
HSBC Bank USA N.A. |
|
RYL |
|
NatWest Markets Plc |
|
|
|
|
|
|
| BRC |
|
Barclays Bank PLC |
|
JML |
|
JP Morgan Securities Plc |
|
SBI |
|
Citigroup Global Markets Ltd. |
|
|
|
|
|
|
| BSN |
|
The Bank of Nova Scotia - Toronto |
|
JPM |
|
JP Morgan Chase Bank N.A. |
|
SCX |
|
Standard Chartered Bank, London |
|
|
|
|
|
|
| CBK |
|
Citibank N.A. |
|
JPS |
|
J.P. Morgan Securities LLC |
|
SOG |
|
Societe Generale Paris |
|
|
|
|
|
|
| CDC |
|
Natixis Securities Americas LLC |
|
MBC |
|
HSBC Bank Plc |
|
SSB |
|
State Street Bank and Trust Co. |
|
|
|
|
|
|
| CEW |
|
Canadian Imperial Bank of Commerce |
|
MEI |
|
Merrill Lynch International |
|
TDM |
|
TD Securities (USA) LLC |
|
|
|
|
|
|
| CIW |
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CIBC World Markets Corp. |
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MYC |
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Morgan Stanley Capital Services LLC |
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UAG |
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UBS AG Stamford |
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| DUB |
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Deutsche Bank AG |
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MYI |
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Morgan Stanley & Co. International PLC |
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UBS |
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UBS Securities LLC |
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| FBF |
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Credit Suisse International |
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| Currency Abbreviations: |
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| ARS |
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Argentine Peso |
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EUR |
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Euro |
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MXN |
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Mexican Peso |
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| AUD |
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Australian Dollar |
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GBP |
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British Pound |
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PEN |
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Peruvian New Sol |
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| BRL |
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Brazilian Real |
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IDR |
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Indonesian Rupiah |
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RUB |
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Russian Ruble |
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| CLP |
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Chilean Peso |
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INR |
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Indian Rupee |
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USD (or $) |
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United States Dollar |
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| Exchange Abbreviations: |
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| OTC |
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Over the Counter |
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| Index/Spread Abbreviations: |
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| ABX.HE |
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Asset-Backed Securities Index - Home Equity |
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BP0003M |
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3 Month GBP-LIBOR |
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LIBOR03M |
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3 Month USD-LIBOR |
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| ARLLMONP |
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Argentina Blended Policy Rate |
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CDX.HY |
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Credit Derivatives Index - High Yield |
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PRIME |
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Daily US Prime Rate |
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| BADLARPP |
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Argentina Badlar Floating Rate Notes |
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EUR003M |
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3 Month EUR Swap Rate |
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US0003M |
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3 Month USD Swap Rate |
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| Municipal Bond or Agency Abbreviations: |
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| AGM |
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Assured Guaranty Municipal |
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| Other Abbreviations: |
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| ABS |
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Asset-Backed Security |
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CDO |
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Collateralized Debt Obligation |
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PIK |
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Payment-in-Kind |
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| ALT |
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Alternate Loan Trust |
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CLO |
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Collateralized Loan Obligation |
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TBA |
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To-Be-Announced |
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| BABs |
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Build America Bonds |
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DAC |
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Designated Activity Company |
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TBD |
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To-Be-Determined |
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| BBR |
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Bank Bill Rate |
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EURIBOR |
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Euro Interbank Offered Rate |
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TBD% |
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Interest rate to be determined when loan settles or at the time of funding |
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| BBSW |
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Bank Bill Swap Reference Rate |
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LIBOR |
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London Interbank Offered Rate |
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SEMIANNUAL REPORT |
|
JANUARY 31, 2020 |
|
109 |
General Information
Investment Manager
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Custodian
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Transfer Agent, Dividend Paying Agent and Registrar for
Common Shares
American Stock Transfer & Trust Company, LLC
6201 15th Avenue
Brooklyn, NY 11219
Auction Agent, Transfer Agent, Dividend Paying Agent and
Registrar for Auction Rate Preferred Shares
Deustsche Bank Company Americas
60 Wall Street, 16th Floor
New York, New York 10005
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800
Boylston Street
Boston, MA 02199
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1100 Walnut Street, Suite 1300
Kansas City, MO 64106
This report is submitted for the general information of the shareholders of the Funds listed on the Report cover.
CEF4011SAR_013120
The information required by this Item 2 is only required in an annual report on this Form N-CSR.
| Item 3. |
Audit Committee Financial Expert.
|
The information required by this Item 3 is only required in an annual report on this Form N-CSR.
| Item 4. |
Principal Accountant Fees and Services.
|
The information required by this Item 4 is only required in an annual report on this Form N-CSR.
| Item 5. |
Audit Committee of Listed Registrants.
|
The information required by this Item 5 is only required in an annual report on this Form N-CSR.
| Item 6. |
Schedule of Investments.
|
The information required by this Item 6 is included as part of the semiannual reports to shareholders filed under Item 1 of this Form N-CSR.
| Item 7. |
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
|
The information required by this Item 7 is only required in an annual report on this Form N-CSR.
| Item 8. |
Portfolio Managers of Closed-End Management Investment Companies.
|
| |
(a) |
The information required by this Item 8(a) is only required in an annual report on this Form N-CSR.
|
| |
(b) |
There have been no changes in any of the Portfolio Managers identified in the registrant’s previous annual
report on Form N-CSR.
|
| Item 9. |
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
|
None.
| Item 10. |
Submission of Matters to a Vote of Security Holders.
|
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since
the Fund last provided disclosure in response to this item.
| Item 11. |
Controls and Procedures.
|
| |
(a) |
The principal executive officer and principal financial & accounting officer have concluded as of a
date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act), that the design of
such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time
periods specified in the Commission’s rules and forms.
|
| |
(b) |
There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are
reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
|
| Item 12. |
Disclosure of Securities Lending Activities for Closed-End
Management Investment Companies.
|
None.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
|
|
|
| PIMCO Income Strategy Fund |
|
|
| By: |
|
/s/ Eric D. Johnson
|
|
|
Eric D. Johnson
|
|
|
President (Principal Executive Officer) |
|
| Date: April 3, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report
has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
| By: |
|
/s/ Eric D. Johnson
|
|
|
Eric D. Johnson
|
|
|
President (Principal Executive Officer) |
|
| Date: April 3, 2020 |
|
|
| By: |
|
/s/ Bradley Todd
|
|
|
Bradley Todd
|
|
|
Treasurer (Principal Financial & Accounting Officer) |
|
| Date: April 3, 2020 |