NPORT-EX 2 incomestrategyfundii.htm PIMCO INCOME STRATEGY FUND II

Schedule of Investments PIMCO Income Strategy Fund II

October 31, 2020

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 151.3% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 15.1%

 

 

 

 

Advanz Pharma Corp.
6.500% (LIBOR03M + 5.500%) due 09/06/2024 ~

$

4,637

$

4,513

Al Convoy (Luxembourg) SARL
4.500% (LIBOR03M + 3.500%) due 01/17/2027 ~

 

78

 

76

Alphabet Holding Co., Inc.
3.648% (LIBOR03M + 3.500%) due 09/26/2024 ~

 

97

 

94

Banijay Entertainment S.A.S
3.890% (LIBOR03M + 3.750%) due 03/01/2025 «~

 

16

 

16

Boels Topholding BV
4.000% (EUR003M + 4.000%) due 01/14/2027 ~

EUR

1,000

 

1,132

Caesars Resort Collection LLC

 

 

 

 

2.898% (LIBOR03M + 2.750%) due 12/23/2024 ~

$

8,767

 

8,245

4.648% - 4.651% (LIBOR03M + 4.500%) due 07/21/2025 ~

 

2,300

 

2,230

CenturyLink, Inc.
2.398% (LIBOR03M + 2.250%) due 03/15/2027 ~

 

269

 

260

CityCenter Holdings LLC
3.000% (LIBOR03M + 2.250%) due 04/18/2024 ~

 

246

 

231

Diamond Resorts Corp.
4.750% (LIBOR03M + 3.750%) due 09/02/2023 ~

 

376

 

338

DTEK Investments Ltd.
5.750% (LIBOR03M + 5.000%) due 06/30/2023 «~

 

2,948

 

1,654

Emerald TopCo, Inc.
3.648% - 3.714% (LIBOR03M + 3.500%) due 07/24/2026 ~

 

113

 

109

Envision Healthcare Corp.
3.898% (LIBOR03M + 3.750%) due 10/10/2025 ~

 

16,780

 

12,077

EyeCare Partners LLC

 

 

 

 

3.750% due 02/18/2027 µ

 

11

 

11

3.898% (LIBOR03M + 3.750%) due 02/18/2027 ~

 

48

 

46

Fly Funding SARL
6.237% (LIBOR03M + 6.000%) due 10/08/2025 «~

 

5,400

 

5,211

Forbes Energy Services LLC
TBD% due 04/13/2021 «

 

361

 

323

Frontier Communications Corp.
6.000% (PRIME + 2.750%) due 06/15/2024 ~

 

9,877

 

9,719

Ingersoll Rand Co. Ltd.
1.898% (LIBOR03M + 1.750%) due 03/01/2027 ~

 

54

 

52

Innophos, Inc.
3.648% (LIBOR03M + 3.500%) due 02/07/2027 ~

 

23

 

23

Intelsat Jackson Holdings S.A.
3.600% - 6.500% (LIBOR03M + 5.500%) due 07/13/2022 ~µ

 

2

 

2

IRB Holding Corp.
3.750% (LIBOR03M + 2.750%) due 02/05/2025 ~

 

940

 

897

Jefferies Finance LLC
3.188% (LIBOR03M + 3.000%) due 06/03/2026 ~

 

23

 

22

LogMeIn, Inc.
4.890% (LIBOR03M + 4.750%) due 08/31/2027 ~

 

2,500

 

2,428

McDermott Technology Americas, Inc.
3.145% (LIBOR03M + 3.000%) due 06/30/2024 «~

 

88

 

72

McDermott Technology Americas, Inc. (1.148% Cash and 3.000% PIK)
4.148% (LIBOR03M + 1.000%) due 06/30/2025 ~(d)

 

754

 

495

MH Sub LLC
3.648% (LIBOR03M + 3.500%) due 09/13/2024 ~

 

116

 

113

Milano Acquisition Corp.
4.750% (LIBOR03M + 4.000%) due 10/01/2027 ~

 

1,000

 

984

Nascar Holdings, Inc.
2.902% (LIBOR03M + 2.750%) due 10/19/2026 ~

 

72

 

70

NCI Building Systems, Inc.
3.895% (LIBOR03M + 3.750%) due 04/12/2025 ~

 

39

 

39

Neiman Marcus Group Ltd. LLC
13.000% (LIBOR03M + 12.000%) due 09/25/2025 ~

 

6,681

 

6,974

Ortho-Clinical Diagnostics S.A.
3.390% (LIBOR03M + 3.250%) due 06/30/2025 ~

 

606

 

588

Pacific Drilling S.A.
TBD% due 10/30/2025

 

71

 

0

Parexel International Corp.
2.898% (LIBOR03M + 2.750%) due 09/27/2024 ~

 

88

 

85

PetSmart, Inc.
4.500% (LIBOR03M + 3.500%) due 03/11/2022 ~

 

5,783

 

5,743

Playtika Holding Corp.
7.000% (LIBOR03M + 6.000%) due 12/10/2024 ~

 

3,583

 

3,593

PUG LLC
3.648% (LIBOR03M + 3.500%) due 02/12/2027 ~

 

5,605

 

4,926

 

 

 

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Refinitiv U.S. Holdings, Inc.
3.398% (LIBOR03M + 3.250%) due 10/01/2025 ~

 

688

 

679

Sequa Mezzanine Holdings LLC (5.000% Cash and 6.750% PIK)
11.750% (LIBOR03M + 4.000%) due 04/28/2024 «~(d)

 

94

 

75

Sotera Health Holdings LLC
5.500% (LIBOR03M + 4.500%) due 12/11/2026 ~

 

145

 

145

Starfruit Finco BV
3.145% (LIBOR03M + 3.000%) due 10/01/2025 ~

 

181

 

176

Summer (BC) Holdco B SARL
5.001% (LIBOR03M + 4.750%) due 12/04/2026 ~

 

3,295

 

3,169

Syniverse Holdings, Inc.
6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~

 

8,791

 

6,894

U.S. Renal Care, Inc.
5.188% (LIBOR03M + 5.000%) due 06/26/2026 ~

 

450

 

433

Univision Communications, Inc.
3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~

 

3,765

 

3,654

Valaris PLC
TBD% due 08/17/2021 «

 

38

 

38

Westmoreland Mining Holdings LLC
9.250% (LIBOR03M + 8.250%) due 03/15/2022 ~

 

790

 

735

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

 

3,891

 

1,945

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

 

2,842

 

2,693

Zayo Group Holdings, Inc.
3.148% (LIBOR03M + 3.000%) due 03/09/2027 ~

 

199

 

192

Total Loan Participations and Assignments (Cost $103,999)

 

 

 

94,219

CORPORATE BONDS & NOTES 77.4%

 

 

 

 

BANKING & FINANCE 22.8%

 

 

 

 

Ally Financial, Inc.

 

 

 

 

8.000% due 11/01/2031

 

471

 

651

8.000% due 11/01/2031 (m)

 

974

 

1,330

Ambac LSNI LLC
6.000% due 02/12/2023 •

 

467

 

466

Banca Monte dei Paschi di Siena SpA

 

 

 

 

2.625% due 04/28/2025

EUR

1,700

 

1,946

10.500% due 07/23/2029

 

700

 

823

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

PEN

800

 

234

Bank of Nova Scotia
4.900% due 06/04/2025 •(j)

$

2,191

 

2,292

Barclays Bank PLC
7.625% due 11/21/2022 (m)

 

4,400

 

4,849

Barclays PLC

 

 

 

 

7.125% due 06/15/2025 •(j)

GBP

1,200

 

1,634

7.750% due 09/15/2023 •(j)

$

1,000

 

1,031

7.875% due 09/15/2022 •(j)

GBP

415

 

552

8.000% due 06/15/2024 •(j)

$

400

 

429

BGC Partners, Inc.

 

 

 

 

3.750% due 10/01/2024 (m)

 

1,200

 

1,217

4.375% due 12/15/2025 (m)

 

2,100

 

2,160

Brookfield Finance, Inc.
4.700% due 09/20/2047 (m)

 

142

 

165

Cantor Fitzgerald LP

 

 

 

 

4.875% due 05/01/2024

 

31

 

34

6.500% due 06/17/2022 (m)

 

8,500

 

9,179

CBL & Associates LP
5.950% due 12/15/2026 ^(e)

 

2,716

 

1,025

Credit Agricole S.A.
7.875% due 01/23/2024 •(j)(m)

 

300

 

332

Credit Suisse Group AG

 

 

 

 

7.500% due 07/17/2023 •(j)

 

200

 

212

7.500% due 12/11/2023 •(j)

 

7,243

 

7,887

Equitable Holdings, Inc.
5.000% due 04/20/2048

 

9

 

11

Flagstar Bancorp, Inc.
6.125% due 07/15/2021

 

3,500

 

3,516

Ford Motor Credit Co. LLC
5.125% due 06/16/2025 (m)

 

2,700

 

2,818

Fortress Transportation & Infrastructure Investors LLC

 

 

 

 

6.500% due 10/01/2025

 

377

 

373

6.750% due 03/15/2022

 

482

 

479

GE Capital Funding LLC
4.400% due 05/15/2030 (m)

 

1,800

 

1,963

GSPA Monetization Trust
6.422% due 10/09/2029 (m)

 

3,167

 

3,525

Highwoods Realty LP
2.600% due 02/01/2031 (m)

 

1,000

 

990

HSBC Holdings PLC

 

 

 

 

5.875% due 09/28/2026 •(j)(m)

GBP

200

 

268

6.000% due 09/29/2023 •(j)(m)

EUR

2,070

 

2,559

6.500% due 03/23/2028 •(j)

$

300

 

321

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Hunt Cos., Inc.
6.250% due 02/15/2026

 

26

 

25

ING Groep NV
5.750% due 11/16/2026 •(j)

 

1,600

 

1,668

Kennedy Wilson Europe Real Estate Ltd.

 

 

 

 

3.250% due 11/12/2025

EUR

200

 

229

3.950% due 06/30/2022

GBP

4,466

 

5,826

Kennedy-Wilson, Inc.
5.875% due 04/01/2024

$

68

 

66

Ladder Capital Finance Holdings LLP
4.250% due 02/01/2027

 

37

 

32

Lloyds Banking Group PLC

 

 

 

 

7.500% due 09/27/2025 •(j)(m)

 

5,999

 

6,469

7.625% due 06/27/2023 •(j)

GBP

2,300

 

3,119

7.875% due 06/27/2029 •(j)

 

6,518

 

9,760

MGM Growth Properties Operating Partnership LP
4.500% due 01/15/2028 (m)

$

2,291

 

2,334

Natwest Group PLC

 

 

 

 

6.000% due 12/29/2025 •(j)

 

2,400

 

2,489

8.000% due 08/10/2025 •(j)(m)

 

5,990

 

6,718

8.625% due 08/15/2021 •(j)

 

2,100

 

2,172

Navient Corp.
5.625% due 08/01/2033

 

48

 

41

Newmark Group, Inc.
6.125% due 11/15/2023

 

62

 

66

OneMain Finance Corp.
6.125% due 03/15/2024

 

134

 

141

PRA Group, Inc.
7.375% due 09/01/2025

 

1,300

 

1,366

Santander UK Group Holdings PLC

 

 

 

 

6.750% due 06/24/2024 •(j)

GBP

2,025

 

2,763

7.375% due 06/24/2022 •(j)

 

4,100

 

5,517

Societe Generale S.A.

 

 

 

 

6.750% due 04/06/2028 •(j)

$

200

 

210

7.375% due 10/04/2023 •(j)

 

600

 

618

Tesco Property Finance PLC

 

 

 

 

5.411% due 07/13/2044

GBP

622

 

1,048

6.052% due 10/13/2039

 

2,273

 

3,903

TP ICAP PLC
5.250% due 01/26/2024 (m)

 

2,980

 

4,151

UniCredit SpA
7.830% due 12/04/2023 (m)

$

4,160

 

4,880

Unique Pub Finance Co. PLC
5.659% due 06/30/2027

GBP

2,795

 

3,769

Uniti Group LP
7.875% due 02/15/2025 (m)

$

13,780

 

14,628

Voyager Aviation Holdings LLC
9.000% due 08/15/2021 (m)

 

6,929

 

3,413

 

 

 

 

142,692

INDUSTRIALS 41.8%

 

 

 

 

1011778 BC ULC
3.500% due 02/15/2029 (c)

 

2,000

 

1,990

Alaska Airlines Class A Pass-Through Trust
4.800% due 02/15/2029 (m)

 

1,600

 

1,687

Albertsons Cos., Inc.

 

 

 

 

4.625% due 01/15/2027

 

10

 

10

4.875% due 02/15/2030

 

20

 

21

Altice Financing S.A.
7.500% due 05/15/2026 (m)

 

2,600

 

2,717

Anglo American Capital PLC
2.625% due 09/10/2030 (m)

 

1,700

 

1,704

Associated Materials LLC
9.000% due 09/01/2025

 

304

 

322

Avon International Capital PLC
6.500% due 08/15/2022

 

26

 

27

Ball Corp.
2.875% due 08/15/2030 (m)

 

1,830

 

1,812

Banner Health

 

 

 

 

2.338% due 01/01/2030 (m)

 

471

 

484

3.181% due 01/01/2050 (m)

 

300

 

312

Bioceanico Sovereign Certificate Ltd.
0.000% due 06/05/2034 (h)

 

149

 

110

Boeing Co.

 

 

 

 

5.040% due 05/01/2027 (m)

 

382

 

420

5.150% due 05/01/2030 (m)

 

884

 

980

5.705% due 05/01/2040 (m)

 

860

 

992

5.805% due 05/01/2050 (m)

 

1,116

 

1,315

5.930% due 05/01/2060 (m)

 

1,036

 

1,245

Bombardier, Inc.

 

 

 

 

6.000% due 10/15/2022

 

32

 

29

6.125% due 01/15/2023

 

830

 

717

7.500% due 12/01/2024

 

3,302

 

2,493

7.500% due 03/15/2025 (m)

 

5,828

 

4,247

7.875% due 04/15/2027

 

2,803

 

2,046

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Broadcom, Inc.

 

 

 

 

4.150% due 11/15/2030 (m)

 

586

 

658

4.300% due 11/15/2032 (m)

 

676

 

774

5.000% due 04/15/2030

 

46

 

54

Camelot Finance S.A.
4.500% due 11/01/2026

 

9

 

9

CCO Holdings LLC

 

 

 

 

4.250% due 02/01/2031 (m)

 

7,759

 

7,943

4.500% due 08/15/2030

 

170

 

177

4.750% due 03/01/2030

 

176

 

185

Citrix Systems, Inc.
3.300% due 03/01/2030

 

78

 

82

Clear Channel Worldwide Holdings, Inc.
9.250% due 02/15/2024

 

161

 

140

Community Health Systems, Inc.

 

 

 

 

6.250% due 03/31/2023 (m)

 

7,950

 

7,890

6.625% due 02/15/2025 (m)

 

4,788

 

4,681

8.000% due 03/15/2026 (m)

 

494

 

496

8.625% due 01/15/2024 (m)

 

846

 

860

Connect Finco SARL
6.750% due 10/01/2026

 

62

 

63

Corning, Inc.
5.450% due 11/15/2079

 

77

 

97

CSC Holdings LLC
3.375% due 02/15/2031

 

1,200

 

1,156

CVS Pass-Through Trust
7.507% due 01/10/2032 (m)

 

794

 

980

Dell International LLC
6.020% due 06/15/2026 (m)

 

2,534

 

3,002

Delta Air Lines, Inc.
7.375% due 01/15/2026

 

920

 

952

Diamond Resorts International, Inc.
10.750% due 09/01/2024 (m)

 

1,476

 

1,345

Energy Transfer Operating LP

 

 

 

 

3.750% due 05/15/2030

 

86

 

84

5.000% due 05/15/2050

 

78

 

73

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

 

2,356

 

1,116

Exela Intermediate LLC
10.000% due 07/15/2023

 

120

 

36

Expedia Group, Inc.
3.600% due 12/15/2023 (m)

 

1,200

 

1,235

Ferroglobe PLC
9.375% due 03/01/2022

 

1,700

 

1,114

First Quantum Minerals Ltd.

 

 

 

 

6.500% due 03/01/2024

 

1,452

 

1,444

6.875% due 03/01/2026

 

1,000

 

994

Flex Ltd.
4.875% due 06/15/2029

 

17

 

20

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

 

9,770

 

10,307

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

 

7,590

 

7,277

Fresnillo PLC
4.250% due 10/02/2050 (m)

 

2,000

 

2,040

Frontier Finance PLC
8.000% due 03/23/2022

GBP

3,450

 

4,617

Full House Resorts, Inc.

 

 

 

 

8.575% due 01/31/2024

$

289

 

278

9.738% due 02/02/2024

 

25

 

24

General Electric Co.

 

 

 

 

4.350% due 05/01/2050 (m)

 

3,700

 

3,918

5.875% due 01/14/2038

 

22

 

26

6.150% due 08/07/2037

 

6

 

7

6.875% due 01/10/2039

 

9

 

12

Gray Television, Inc.
4.750% due 10/15/2030

 

2,000

 

1,975

HCA, Inc.
7.500% due 11/15/2095

 

1,200

 

1,529

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

 

7,800

 

7,313

Hologic, Inc.
3.250% due 02/15/2029 (m)

 

2,800

 

2,819

iHeartCommunications, Inc.

 

 

 

 

6.375% due 05/01/2026 (m)

 

1,177

 

1,228

8.375% due 05/01/2027

 

357

 

349

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

EUR

200

 

233

IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK)
6.000% due 05/15/2027 (d)

$

468

 

489

IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK)
6.375% due 05/15/2029 (d)

 

345

 

366

Innophos Holdings, Inc.
9.375% due 02/15/2028

 

124

 

133

Intelsat Connect Finance S.A.
9.500% due 02/15/2023 ^(e)

 

52

 

14

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Intelsat Jackson Holdings S.A.

 

 

 

 

5.500% due 08/01/2023 ^(e)

 

2,153

 

1,268

8.000% due 02/15/2024 ^

 

11

 

11

8.500% due 10/15/2024 ^(e)

 

11,500

 

7,130

9.750% due 07/15/2025 ^(e)

 

9,438

 

5,914

Intelsat Luxembourg S.A.

 

 

 

 

7.750% due 06/01/2021 ^(e)

 

1,508

 

72

8.125% due 06/01/2023 ^(e)(m)

 

7,535

 

301

JetBlue Pass-Through Trust
4.000% due 05/15/2034 (m)

 

1,500

 

1,551

Kinder Morgan, Inc.
7.800% due 08/01/2031 (m)

 

3,500

 

4,681

Kraft Heinz Foods Co.
5.500% due 06/01/2050

 

200

 

228

Mallinckrodt International Finance S.A.
5.500% due 04/15/2025 ^(e)

 

50

 

17

Marriott International, Inc.
4.625% due 06/15/2030

 

40

 

43

Melco Resorts Finance Ltd.
5.750% due 07/21/2028

 

2,100

 

2,095

MGM Resorts International
4.750% due 10/15/2028 (m)

 

2,700

 

2,644

NCL Corp. Ltd.

 

 

 

 

3.625% due 12/15/2024

 

76

 

53

10.250% due 02/01/2026

 

2,045

 

2,106

12.250% due 05/15/2024 (m)

 

3,440

 

3,823

Netflix, Inc.

 

 

 

 

3.625% due 06/15/2030

EUR

1,300

 

1,655

3.875% due 11/15/2029

 

1,734

 

2,247

4.625% due 05/15/2029

 

5,900

 

8,005

4.875% due 06/15/2030

$

100

 

114

5.375% due 11/15/2029

 

62

 

73

New Albertson's LP
6.570% due 02/23/2028

 

6,800

 

6,850

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

 

6,400

 

6,431

Noble Holding International Ltd.
7.875% due 02/01/2026 ^(e)

 

262

 

64

Northriver Midstream Finance LP
5.625% due 02/15/2026

 

2,700

 

2,679

Odebrecht Oil & Gas Finance Ltd.
0.000% due 11/30/2020 (h)(j)

 

1,101

 

3

Ortho-Clinical Diagnostics, Inc.

 

 

 

 

7.250% due 02/01/2028

 

534

 

559

7.375% due 06/01/2025

 

219

 

231

Pacific Drilling SA
8.375% due 10/01/2023 ^(e)

 

405

 

51

Pan American Energy LLC
30.115% (BADLARPP) due 11/20/2020 ~

ARS

42,700

 

272

Par Pharmaceutical, Inc.
7.500% due 04/01/2027

$

110

 

117

Petroleos Mexicanos

 

 

 

 

2.750% due 04/21/2027

EUR

6,476

 

6,153

4.875% due 02/21/2028

 

318

 

330

5.350% due 02/12/2028 (m)

$

690

 

590

5.950% due 01/28/2031

 

194

 

163

6.490% due 01/23/2027

 

80

 

75

6.500% due 03/13/2027 (m)

 

2,894

 

2,695

6.750% due 09/21/2047

 

50

 

39

6.840% due 01/23/2030 (m)

 

2,530

 

2,264

6.950% due 01/28/2060 (m)

 

320

 

251

7.690% due 01/23/2050

 

120

 

100

Platin 1426 GmbH
6.875% due 06/15/2023

EUR

400

 

454

Prime Security Services Borrower LLC
3.375% due 08/31/2027

$

2,975

 

2,875

Qorvo, Inc.
3.375% due 04/01/2031

 

1,000

 

1,014

QualityTech LP
3.875% due 10/01/2028

 

2,000

 

2,007

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

 

2,979

 

2,875

Russian Railways via RZD Capital PLC
7.487% due 03/25/2031

GBP

1,300

 

2,279

Sabine Pass Liquefaction LLC
4.500% due 05/15/2030 (m)

$

751

 

840

Sands China Ltd.

 

 

 

 

5.125% due 08/08/2025 (m)

 

200

 

216

5.400% due 08/08/2028 (m)

 

5,811

 

6,331

Spirit AeroSystems, Inc.

 

 

 

 

1.050% (US0003M + 0.800%) due 06/15/2021 ~

 

267

 

257

3.950% due 06/15/2023

 

3,142

 

2,810

Staples, Inc.
7.500% due 04/15/2026

 

13

 

12

Studio City Finance Ltd.

 

 

 

 

6.000% due 07/15/2025

 

2,100

 

2,113

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

6.500% due 01/15/2028

 

2,100

 

2,079

Tenet Healthcare Corp.
6.125% due 10/01/2028

 

1,100

 

1,070

Teva Pharmaceutical Finance BV
3.650% due 11/10/2021

 

1,913

 

1,898

Teva Pharmaceutical Finance Co. BV
2.950% due 12/18/2022

 

1,369

 

1,316

Teva Pharmaceutical Finance Netherlands BV
6.000% due 01/31/2025

EUR

100

 

121

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039

$

2,140

 

2,326

5.750% due 09/30/2039 (m)

 

12,465

 

14,153

TransDigm, Inc.
5.500% due 11/15/2027

 

116

 

113

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

 

119

 

105

Transocean, Inc.

 

 

 

 

7.250% due 11/01/2025

 

74

 

25

7.500% due 01/15/2026

 

69

 

15

8.000% due 02/01/2027

 

134

 

37

Triumph Group, Inc.

 

 

 

 

5.250% due 06/01/2022

 

25

 

21

6.250% due 09/15/2024

 

70

 

61

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

 

69

 

74

Uber Technologies, Inc.
6.250% due 01/15/2028

 

1,600

 

1,624

Unigel Luxembourg S.A.
8.750% due 10/01/2026

 

400

 

388

United Airlines Pass-Through Trust
5.875% due 04/15/2029 (m)

 

3,800

 

3,804

United Group BV

 

 

 

 

3.125% due 02/15/2026

EUR

242

 

264

3.250% due 02/15/2026 •

 

100

 

110

3.625% due 02/15/2028

 

300

 

327

4.875% due 07/01/2024

 

100

 

117

Univision Communications, Inc.
5.125% due 02/15/2025

$

571

 

562

Valaris PLC

 

 

 

 

5.750% due 10/01/2044 ^(e)

 

309

 

15

7.750% due 02/01/2026 ^(e)

 

18

 

1

Vale Overseas Ltd.

 

 

 

 

6.875% due 11/21/2036

 

53

 

71

6.875% due 11/10/2039

 

41

 

56

ViaSat, Inc.
5.625% due 09/15/2025

 

83

 

84

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

 

1,891

 

2,145

Vmed O2 UK Financing PLC
4.250% due 01/31/2031

 

2,000

 

2,005

Western Midstream Operating LP

 

 

 

 

2.074% (US0003M + 1.850%) due 01/13/2023 ~

 

46

 

43

6.250% due 02/01/2050

 

32

 

29

Windstream Escrow LLC
7.750% due 08/15/2028

 

8,528

 

8,262

WMG Acquisition Corp.

 

 

 

 

3.000% due 02/15/2031 (m)

 

3,909

 

3,723

3.000% due 02/15/2031 (c)

 

2,000

 

1,905

Wyndham Destinations, Inc.

 

 

 

 

3.900% due 03/01/2023

 

74

 

72

4.625% due 03/01/2030

 

47

 

45

5.650% due 04/01/2024

 

10

 

10

6.000% due 04/01/2027

 

740

 

765

Wynn Macau Ltd.

 

 

 

 

5.125% due 12/15/2029

 

200

 

185

5.500% due 01/15/2026

 

1,600

 

1,542

YPF S.A.
36.951% (BADLARPP + 6.000%) due 03/04/2021 ~

ARS

7,850

 

50

Yum Brands, Inc.
3.625% due 03/15/2031

$

2,700

 

2,656

Zayo Group Holdings, Inc.
6.125% due 03/01/2028

 

77

 

78

 

 

 

 

260,677

UTILITIES 12.8%

 

 

 

 

AT&T, Inc.

 

 

 

 

3.100% due 02/01/2043 (m)

 

1,402

 

1,336

3.300% due 02/01/2052 (m)

 

1,402

 

1,294

3.500% due 06/01/2041 (m)

 

1,134

 

1,148

3.500% due 02/01/2061 (m)

 

1,422

 

1,316

3.650% due 06/01/2051 (m)

 

3,902

 

3,837

3.850% due 06/01/2060 (m)

 

2,548

 

2,513

Centrais Eletricas Brasileiras S.A.
4.625% due 02/04/2030

 

200

 

203

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

CenturyLink, Inc.
4.000% due 02/15/2027

 

62

 

63

DTEK Finance PLC
10.750% due 12/31/2024 ^(e)

 

1,252

 

826

Edison International
5.750% due 06/15/2027

 

65

 

74

Gazprom Neft OAO Via GPN Capital S.A.
6.000% due 11/27/2023 (m)

 

8,000

 

8,897

Northwestern Bell Telephone
7.750% due 05/01/2030 (m)

 

12,625

 

13,709

Odebrecht Drilling Norbe Ltd.
6.350% due 12/01/2021 ^

 

31

 

29

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

 

234

 

61

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

 

1,160

 

1,055

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

 

7,373

 

728

Pacific Gas & Electric Co.

 

 

 

 

3.150% due 01/01/2026

 

50

 

51

3.250% due 06/15/2023 (m)

 

1,593

 

1,645

3.300% due 03/15/2027 (m)

 

1,741

 

1,761

3.400% due 08/15/2024 (m)

 

394

 

409

3.450% due 07/01/2025 (m)

 

1,445

 

1,506

3.500% due 06/15/2025 (m)

 

381

 

397

3.750% due 02/15/2024 (m)

 

174

 

182

3.750% due 07/01/2028 (m)

 

1,445

 

1,487

3.750% due 08/15/2042

 

22

 

21

4.000% due 03/15/2027

 

8

 

8

4.300% due 03/15/2045

 

27

 

26

4.500% due 07/01/2040 (m)

 

2,873

 

2,961

4.500% due 12/15/2041

 

22

 

22

4.550% due 07/01/2030 (m)

 

4,311

 

4,634

4.600% due 11/15/2023

 

18

 

18

4.650% due 08/01/2028 (m)

 

1,055

 

1,133

4.750% due 02/15/2044 (m)

 

779

 

806

4.950% due 07/01/2050 (m)

 

4,703

 

4,965

Petrobras Global Finance BV

 

 

 

 

5.093% due 01/15/2030 (m)

 

4,895

 

5,118

6.625% due 01/16/2034

GBP

100

 

145

Rio Oil Finance Trust

 

 

 

 

8.200% due 04/06/2028

$

245

 

273

9.250% due 07/06/2024

 

1,805

 

1,985

9.750% due 01/06/2027

 

474

 

541

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

 

32

5.750% due 04/01/2035

 

10

 

13

6.000% due 01/15/2034

 

2

 

3

6.650% due 04/01/2029

 

40

 

49

Sprint Corp.

 

 

 

 

7.125% due 06/15/2024 (m)

 

4,700

 

5,412

7.625% due 02/15/2025 (m)

 

494

 

584

7.625% due 03/01/2026 (m)

 

2,122

 

2,586

7.875% due 09/15/2023 (m)

 

3,400

 

3,887

Talen Energy Supply LLC
6.625% due 01/15/2028

 

30

 

29

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

 

114

 

86

Transocean Sentry Ltd.
5.375% due 05/15/2023

 

100

 

65

 

 

 

 

79,951

Total Corporate Bonds & Notes (Cost $490,166)

 

 

 

483,320

CONVERTIBLE BONDS & NOTES 0.5%

 

 

 

 

INDUSTRIALS 0.5%

 

 

 

 

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

 

3,400

 

3,014

UTILITIES 0.0%

 

 

 

 

Ensco Jersey Finance Ltd.
3.000% due 01/31/2024 ^(e)

 

10

 

1

Total Convertible Bonds & Notes (Cost $3,407)

 

 

 

3,015

MUNICIPAL BONDS & NOTES 5.5%

 

 

 

 

CALIFORNIA 0.5%

 

 

 

 

San Francisco, California City & County Redevelopment Agency Tax Allocation Bonds, Series 2009
8.406% due 08/01/2039

 

1,650

 

2,750

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

ILLINOIS 0.0%

 

 

 

 

Chicago, Illinois General Obligation Bonds, Series 2015
7.750% due 01/01/2042

 

56

 

60

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

 

 

 

 

6.725% due 04/01/2035

 

35

 

39

7.350% due 07/01/2035

 

20

 

23

Illinois State General Obligation Bonds, Series 2003
5.100% due 06/01/2033

 

100

 

100

 

 

 

 

222

OHIO 2.4%

 

 

 

 

Ohio State University Revenue Bonds, Series 2011
4.800% due 06/01/2111

 

11,000

 

15,118

VIRGINIA 0.1%

 

 

 

 

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

 

800

 

830

WEST VIRGINIA 2.5%

 

 

 

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007

 

 

 

 

0.000% due 06/01/2047 (h)

 

45,700

 

3,910

7.467% due 06/01/2047

 

10,760

 

11,641

 

 

 

 

15,551

Total Municipal Bonds & Notes (Cost $24,837)

 

 

 

34,471

U.S. GOVERNMENT AGENCIES 3.2%

 

 

 

 

Fannie Mae

 

 

 

 

3.500% due 02/25/2042 (a)

 

556

 

55

3.799% due 02/25/2040 •

 

310

 

297

4.500% due 11/25/2042 (a)

 

1,510

 

224

6.101% due 01/25/2040 •(a)

 

234

 

43

Freddie Mac

 

 

 

 

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

 

6,583

 

6,281

0.100% due 02/25/2046 (a)

 

64,076

 

7

0.700% due 11/25/2055 ~(a)

 

34,729

 

2,507

3.000% due 02/15/2033 (a)

 

1,317

 

119

3.500% due 12/15/2032 (a)

 

2,174

 

211

6.143% due 11/25/2055 «~

 

8,422

 

5,159

7.699% due 12/25/2027 •

 

2,870

 

2,893

10.899% due 03/25/2025 •

 

718

 

788

11.603% due 09/15/2035 •(m)

 

776

 

1,140

Ginnie Mae

 

 

 

 

3.500% due 06/20/2042 - 10/20/2042 (a)

 

407

 

42

4.000% due 10/16/2042 - 10/20/2042 (a)

 

266

 

36

Total U.S. Government Agencies (Cost $20,150)

 

 

 

19,802

NON-AGENCY MORTGAGE-BACKED SECURITIES 15.5%

 

 

 

 

Banc of America Alternative Loan Trust
6.000% due 01/25/2036 ^

 

75

 

74

Banc of America Funding Corp.
6.000% due 01/25/2037

 

4,447

 

4,310

Banc of America Funding Trust
4.109% due 01/20/2047 ^~

 

710

 

695

Barclays Commercial Mortgage Securities Trust
1.339% due 07/15/2037 •

 

3,200

 

2,976

BCAP LLC Trust

 

 

 

 

0.000% due 06/26/2036 ~

 

120

 

61

3.241% due 08/26/2037 ~

 

12,864

 

11,464

3.268% due 08/28/2037 ~

 

4,766

 

4,666

3.288% due 07/26/2037 ~

 

6,734

 

6,298

3.811% due 09/26/2036 ~

 

4,930

 

4,339

4.850% due 03/26/2037 þ

 

723

 

837

5.750% due 12/26/2035 ~

 

2,767

 

2,458

6.250% due 11/26/2036

 

3,229

 

2,823

9.047% due 05/26/2037 ~

 

1,068

 

474

Bear Stearns ALT-A Trust

 

 

 

 

0.649% due 01/25/2036 ^•

 

801

 

914

3.148% due 11/25/2035 ~

 

4,991

 

4,162

3.162% due 11/25/2036 ^~

 

361

 

242

3.253% due 09/25/2035 ^~

 

391

 

287

3.311% due 09/25/2047 ^~

 

4,860

 

3,322

CD Mortgage Trust
5.688% due 10/15/2048

 

1,523

 

835

Chase Mortgage Finance Trust

 

 

 

 

3.711% due 12/25/2035 ^~

 

5

 

5

5.500% due 05/25/2036 ^

 

10

 

8

Citicorp Mortgage Securities Trust

 

 

 

 

5.500% due 04/25/2037

 

43

 

45

6.000% due 09/25/2037

 

608

 

626

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Commercial Mortgage Loan Trust
6.056% due 12/10/2049 ~

 

1,788

 

810

Countrywide Alternative Loan Resecuritization Trust

 

 

 

 

6.000% due 05/25/2036 ^

 

1,909

 

1,546

6.000% due 08/25/2037 ^~

 

928

 

736

Countrywide Alternative Loan Trust

 

 

 

 

3.774% due 04/25/2036 ^~

 

698

 

652

5.500% due 03/25/2035

 

242

 

155

5.500% due 01/25/2036

 

422

 

350

5.750% due 01/25/2035

 

209

 

211

5.750% due 02/25/2035

 

289

 

277

5.750% due 12/25/2036 ^

 

725

 

449

6.000% due 02/25/2035

 

339

 

330

6.000% due 04/25/2036

 

438

 

279

6.000% due 04/25/2037 ^

 

1,476

 

951

6.250% due 11/25/2036 ^

 

597

 

533

6.250% due 12/25/2036 ^•

 

527

 

346

6.500% due 08/25/2036 ^

 

420

 

236

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

0.729% due 03/25/2035 ^•

 

3,106

 

2,630

6.000% due 07/25/2037

 

1,363

 

887

6.250% due 09/25/2036 ^

 

452

 

306

Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates
6.000% due 11/25/2035 ^

 

374

 

315

Credit Suisse Mortgage Capital Certificates
3.171% due 10/26/2036 ~

 

6,980

 

5,296

Credit Suisse Mortgage Capital Mortgage-Backed Trust
5.750% due 04/25/2036 ^

 

138

 

99

First Horizon Mortgage Pass-Through Trust

 

 

 

 

2.625% due 11/25/2035 ^~

 

180

 

157

3.785% due 05/25/2037 ^~

 

172

 

107

GS Mortgage Securities Trust
5.622% due 11/10/2039

 

682

 

365

IndyMac Mortgage Loan Trust
6.500% due 07/25/2037 ^

 

3,474

 

1,883

Jackson Park Trust
3.242% due 10/14/2039 ~

 

2,116

 

1,994

JPMorgan Alternative Loan Trust

 

 

 

 

3.583% due 03/25/2037 ^~

 

723

 

706

3.631% due 05/25/2036 ^~

 

1,216

 

934

3.705% due 03/25/2036 ^~

 

1,317

 

1,160

JPMorgan Chase Commercial Mortgage Securities Trust
5.623% due 05/12/2045

 

112

 

101

JPMorgan Mortgage Trust

 

 

 

 

3.005% due 10/25/2035 ~

 

112

 

109

3.342% due 02/25/2036 ^~

 

217

 

178

6.500% due 09/25/2035

 

80

 

75

LB-UBS Commercial Mortgage Trust

 

 

 

 

5.407% due 11/15/2038 ^

 

684

 

381

5.562% due 02/15/2040 ^~

 

309

 

170

Lehman Mortgage Trust

 

 

 

 

6.000% due 07/25/2037 ^

 

543

 

542

6.500% due 09/25/2037 ^

 

1,969

 

1,018

Lehman XS Trust
0.369% due 06/25/2047 •

 

1,472

 

1,359

MASTR Asset Securitization Trust
6.500% due 11/25/2037 ^

 

416

 

225

Merrill Lynch Mortgage Investors Trust
3.673% due 03/25/2036 ^~

 

1,340

 

893

Nomura Asset Acceptance Corp. Alternative Loan Trust
5.476% due 05/25/2035 ^þ

 

9

 

6

Residential Accredit Loans, Inc. Trust

 

 

 

 

4.625% due 12/26/2034 ^~

 

761

 

484

6.000% due 08/25/2036 ^

 

243

 

241

Residential Asset Securitization Trust

 

 

 

 

5.750% due 02/25/2036 ^

 

970

 

664

6.000% due 07/25/2037 ^

 

1,392

 

797

6.250% due 09/25/2037 ^

 

2,601

 

1,411

Residential Funding Mortgage Securities, Inc. Trust

 

 

 

 

4.707% due 09/25/2035 ~

 

476

 

339

4.872% due 08/25/2036 ^~

 

505

 

468

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

3.476% due 11/25/2036 ^~

 

1,564

 

1,495

3.553% due 01/25/2036 ^~

 

1,757

 

1,237

SunTrust Adjustable Rate Mortgage Loan Trust
3.853% due 02/25/2037 ^~

 

156

 

145

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

3.141% due 10/25/2036 ^~

 

572

 

513

3.299% due 07/25/2037 ^~

 

707

 

691

3.541% due 05/25/2037 ^~

 

919

 

886

3.650% due 02/25/2037 ^~

 

403

 

371

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Worldwide Plaza Trust
3.596% due 11/10/2036 ~

 

5,600

 

5,481

Total Non-Agency Mortgage-Backed Securities (Cost $92,225)

 

 

 

96,901

ASSET-BACKED SECURITIES 13.3%

 

 

 

 

Adagio CLO DAC
0.000% due 04/30/2031 ~

EUR

1,800

 

1,052

Apidos CLO

 

 

 

 

0.000% due 07/22/2026 ~

$

1,500

 

2

0.000% due 01/20/2031 ~

 

4,500

 

2,370

Argent Securities Trust
0.339% due 03/25/2036 •

 

3,456

 

2,317

Avoca CLO DAC
0.000% due 07/15/2032 ~

EUR

2,230

 

1,689

Bear Stearns Asset-Backed Securities Trust

 

 

 

 

0.289% due 10/25/2036 ^•

$

3,353

 

4,089

6.500% due 10/25/2036 ^

 

339

 

248

Belle Haven ABS CDO Ltd.
0.526% due 07/05/2046 •

 

180,259

 

487

CIFC Funding Ltd.

 

 

 

 

0.000% due 04/24/2030 ~

 

2,400

 

744

0.000% due 10/22/2031 ~

 

1,500

 

500

Citigroup Mortgage Loan Trust

 

 

 

 

0.299% due 12/25/2036 •

 

13,817

 

7,193

0.309% due 12/25/2036 •

 

1,731

 

1,205

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

EUR

2,366

 

1,753

Countrywide Asset-Backed Certificates

 

 

 

 

0.289% due 12/25/2046 •

$

10,776

 

9,672

0.289% due 06/25/2047 ^•(m)

 

1,250

 

1,151

0.349% due 06/25/2047 ^•

 

3,972

 

3,605

Countrywide Asset-Backed Certificates Trust
0.899% due 11/25/2035 •

 

4,008

 

3,911

FirstKey Homes Trust
4.781% due 09/17/2025

 

2,422

 

2,462

Flagship Credit Auto Trust
0.000% due 05/15/2025 «(h)

 

8

 

662

Fremont Home Loan Trust
0.299% due 01/25/2037 •

 

13,393

 

7,764

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

EUR

500

 

191

Home Equity Mortgage Loan Asset-Backed Trust
0.309% due 07/25/2037 •

$

2,800

 

1,860

Lehman XS Trust
6.290% due 06/24/2046 þ

 

1,633

 

1,664

Long Beach Mortgage Loan Trust
0.449% due 01/25/2036 •

 

3,740

 

3,319

Marlette Funding Trust

 

 

 

 

0.000% due 09/17/2029 «(h)

 

7

 

1,569

0.000% due 03/15/2030 «(h)

 

6

 

1,158

Merrill Lynch Mortgage Investors Trust
0.468% due 04/25/2037 •

 

460

 

308

Morgan Stanley Mortgage Loan Trust
6.250% due 07/25/2047 ^~

 

575

 

385

SLM Student Loan EDC Repackaging Trust
0.000% due 10/28/2029 «(h)

 

1

 

1,520

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

 

4

 

2,009

SMB Private Education Loan Trust

 

 

 

 

0.000% due 09/18/2046 «(h)

 

1

 

646

0.000% due 10/15/2048 «(h)

 

1

 

505

SoFi Professional Loan Program LLC

 

 

 

 

0.000% due 05/25/2040 (h)

 

4,400

 

1,128

0.000% due 07/25/2040 «(h)

 

21

 

563

0.000% due 09/25/2040 (h)

 

1,758

 

588

South Coast Funding Ltd.
0.843% due 08/10/2038 •

 

11,917

 

1,777

Taberna Preferred Funding Ltd.

 

 

 

 

0.609% due 12/05/2036 •

 

4,846

 

4,022

0.629% due 08/05/2036 •

 

305

 

256

0.629% due 08/05/2036 ^•

 

6,030

 

5,065

2.370% due 07/05/2035 •

 

2,023

 

1,740

Total Asset-Backed Securities (Cost $101,443)

 

 

 

83,149

SOVEREIGN ISSUES 3.2%

 

 

 

 

Argentina Government International Bond

 

 

 

 

1.000% due 08/05/2021

ARS

62,530

 

399

2.500% due 07/22/2021

 

19,882

 

128

15.500% due 10/17/2026

 

61,630

 

153

29.722% (BADLARPP) due 10/04/2022 ~

 

58

 

0

32.921% (BADLARPP + 2.000%) due 04/03/2022 ~

 

64,537

 

374

Argentine Republic Government International Bond

 

 

 

 

0.125% due 07/09/2030 þ

$

230

 

84

0.125% due 07/09/2035 þ

 

230

 

76

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

0.125% due 01/09/2038 þ

 

11,605

 

4,337

0.125% due 07/09/2041 þ

 

3,877

 

1,323

0.125% due 07/09/2046 þ

 

115

 

38

1.000% due 07/09/2029

 

683

 

282

Autonomous City of Buenos Aires Argentina

 

 

 

 

34.122% (BADLARPP + 3.250%) due 03/29/2024 ~

ARS

260,837

 

1,543

36.420% (BADLARPP + 5.000%) due 01/23/2022 ~

 

93,360

 

594

Ghana Government International Bond

 

 

 

 

6.375% due 02/11/2027

$

500

 

467

7.875% due 02/11/2035

 

600

 

535

8.750% due 03/11/2061

 

200

 

177

Jordan Government International Bond
5.850% due 07/07/2030

 

3,166

 

3,195

Provincia de Buenos Aires

 

 

 

 

34.027% due 05/31/2022

ARS

16,716

 

90

34.850% due 04/12/2025

 

363,012

 

1,671

South Africa Government International Bond

 

 

 

 

4.850% due 09/30/2029

$

1,200

 

1,193

5.750% due 09/30/2049

 

1,200

 

1,085

Turkey Government International Bond
7.625% due 04/26/2029

 

500

 

505

Turkiye Ihracat Kredi Bankasi A/S
8.250% due 01/24/2024

 

200

 

203

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

EUR

1,205

 

1,178

Venezuela Government International Bond

 

 

 

 

6.000% due 12/09/2020 ^(e)

$

248

 

24

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

 

28

 

3

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

 

315

 

30

Total Sovereign Issues (Cost $35,118)

 

 

 

19,687

 

 

SHARES

 

 

COMMON STOCKS 1.5%

 

 

 

 

COMMUNICATION SERVICES 0.1%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (f)

 

549,096

 

491

iHeartMedia, Inc. «(f)

 

412

 

3

iHeartMedia, Inc. 'A' (f)

 

30,657

 

252

 

 

 

 

746

ENERGY 0.0%

 

 

 

 

Forbes Energy Services Ltd. (f)(k)

 

21,825

 

2

FINANCIALS 0.1%

 

 

 

 

Associated Materials Group, Inc. «(f)(k)

 

116,123

 

737

INDUSTRIALS 1.3%

 

 

 

 

McDermott International Ltd. (f)

 

332,769

 

566

Neiman Marcus Group Ltd. LLC «(f)(k)

 

82,915

 

6,898

Westmoreland Mining Holdings LLC «(f)(k)

 

53,248

 

399

 

 

 

 

7,863

Total Common Stocks (Cost $12,412)

 

 

 

9,348

WARRANTS 1.9%

 

 

 

 

COMMUNICATION SERVICES 0.3%

 

 

 

 

iHeartMedia, Inc. - Exp. 05/01/2039 «

 

199,662

 

1,615

INDUSTRIALS 0.0%

 

 

 

 

Sequa Corp. - Exp. 04/28/2024 «

 

819,000

 

0

INFORMATION TECHNOLOGY 1.6%

 

 

 

 

Windstream Services LLC - Exp. 03/24/2021 «

 

565,735

 

10,330

Total Warrants (Cost $8,820)

 

 

 

11,945

PREFERRED SECURITIES 6.8%

 

 

 

 

BANKING & FINANCE 3.6%

 

 

 

 

AGFC Capital Trust
1.987% (US0003M + 1.750%) due 01/15/2067 ~

 

1,800,000

 

680

Banco Santander S.A.
6.250% due 09/11/2021 •(j)

 

400,000

 

458

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

 

70,000

 

70

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Farm Credit Bank of Texas
5.700% due 09/15/2025 •(j)

 

1,000,000

 

1,079

Nationwide Building Society
10.250% ~

 

35,500

 

7,721

Stichting AK Rabobank Certificaten
0.000% due 12/29/2049 (i)(j)

 

8,659,550

 

12,540

 

 

 

 

22,548

INDUSTRIALS 3.2%

 

 

 

 

General Electric Co.
5.000% due 01/21/2021 •(j)

 

268,000

 

220

Sequa Corp. (12.000% PIK)
12.000% «(d)

 

21,484

 

19,486

 

 

 

 

19,706

Total Preferred Securities (Cost $36,868)

 

 

 

42,254

REAL ESTATE INVESTMENT TRUSTS 1.9%

 

 

 

 

REAL ESTATE 1.9%

 

 

 

 

Uniti Group, Inc.

 

274,273

 

2,419

VICI Properties, Inc.

 

423,584

 

9,721

Total Real Estate Investment Trusts (Cost $7,261)

 

 

 

12,140

SHORT-TERM INSTRUMENTS 5.5%

 

 

 

 

REPURCHASE AGREEMENTS (l) 4.7%

 

 

 

29,149

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM NOTES 0.0%

 

 

 

 

Argentina Treasury Bond BONCER
1.100% due 04/17/2021

ARS

27,702

 

179

ARGENTINA TREASURY BILLS 0.4%

 

 

 

 

(8.199)% due 11/30/2020 - 01/29/2021 (g)(h)

 

394,245

 

2,575

U.S. TREASURY BILLS 0.4%

 

 

 

 

0.107% due 12/03/2020 - 01/21/2021 (g)(h)(o)(q)

$

2,400

 

2,400

Total Short-Term Instruments (Cost $34,505)

 

 

 

34,303

Total Investments in Securities (Cost $971,211)

 

 

 

944,554

Total Investments 151.3% (Cost $971,211)

 

 

$

944,554

Financial Derivative Instruments (n)(p) 0.1%(Cost or Premiums, net $7,625)

 

 

 

348

Auction Rate Preferred Shares (14.0)%

 

 

 

(87,425)

Other Assets and Liabilities, net (37.4)%

 

 

 

(233,301)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

624,176

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

* A zero balance may reflect actual amounts rounding to less than one thousand.

 

¤

The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.

~

Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.

•

Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.

þ

Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.

(a)

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

(b)

Principal only security.

(c)

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)

Security becomes interest bearing at a future date.

(j)

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

(k)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets Applicable to Common Shareholders

Associated Materials Group, Inc.

 

 

03/13/2020

$

737

$

737

0.12

%

Forbes Energy Services Ltd.

 

 

03/13/2020

 

944

 

2

0.00

 

Neiman Marcus Group Ltd. LLC

 

 

09/25/2020

 

2,719

 

6,898

1.11

 

Westmoreland Mining Holdings LLC

 

 

03/13/2020

 

1,534

 

399

0.06

 

 

 

 

 

$

5,934

$

8,036

1.29

%

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(l)

REPURCHASE AGREEMENTS:

Counterparty

Lending
Rate

Settlement
Date

Maturity
Date

 

Principal
Amount

Collateralized By

 

Collateral
(Received)

 

Repurchase
Agreements,
at Value

 

Repurchase
Agreement
Proceeds
to be
Received(1)

BSN

0.110%

10/30/2020

11/02/2020

$

4,400

U.S. Treasury Notes 1.500% due 09/30/2024

$

(4,490)

$

4,400

$

4,400

FICC

0.000

10/30/2020

11/02/2020

 

1,349

U.S. Treasury Inflation Protected Securities 0.625% due 01/15/2026

 

(1,376)

 

1,349

 

1,349

JPS

0.110

10/30/2020

11/02/2020

 

7,800

U.S. Treasury Bonds 3.375% due 11/15/2048

 

(7,893)

 

7,800

 

7,800

NOM

0.110

10/30/2020

11/02/2020

 

15,600

U.S. Treasury Bonds 2.875% due 08/15/2045

 

(15,770)

 

15,600

 

15,600

Total Repurchase Agreements

 

$

(29,529)

$

29,149

$

29,149

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed(2)

 

Payable for
Reverse
Repurchase
Agreements

BCY

0.750%

08/05/2020

TBD(3)

$

(816)

$

(818)

BPS

0.400

10/23/2020

01/22/2021

GBP

(2,914)

 

(3,775)

 

0.470

10/22/2020

02/24/2021

$

(1,097)

 

(1,098)

 

0.480

10/23/2020

03/26/2021

 

(1,395)

 

(1,395)

 

0.659

10/19/2020

05/05/2021

 

(1,241)

 

(1,241)

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

 

0.770

10/23/2020

03/26/2021

 

(6,273)

 

(6,274)

 

0.860

10/22/2020

02/24/2021

 

(2,447)

 

(2,448)

 

0.890

10/23/2020

03/26/2021

 

(2,608)

 

(2,609)

BRC

0.500

03/25/2020

TBD(3)

 

(115)

 

(115)

 

0.730

10/15/2020

01/19/2021

 

(1,619)

 

(1,620)

 

0.880

08/25/2020

02/22/2021

 

(14,529)

 

(14,553)

 

0.880

09/17/2020

02/22/2021

 

(4,426)

 

(4,431)

BYR

1.390

07/06/2020

03/31/2021

 

(20,808)

 

(20,829)

 

1.390

09/30/2020

03/31/2021

 

(10,774)

 

(10,785)

CDC

0.400

08/05/2020

TBD(3)

 

(13,426)

 

(13,440)

 

0.450

10/16/2020

01/19/2021

 

(15,239)

 

(15,242)

 

0.480

10/21/2020

02/23/2021

 

(5,814)

 

(5,815)

 

0.500

10/21/2020

03/23/2021

 

(5,078)

 

(5,079)

 

0.830

10/23/2020

02/16/2021

 

(5,876)

 

(5,877)

 

0.850

09/15/2020

03/15/2021

 

(5,997)

 

(6,003)

 

0.880

10/21/2020

03/23/2021

 

(4,515)

 

(4,516)

CEW

0.684

10/05/2020

01/06/2021

 

(11,267)

 

(11,273)

 

0.870

10/09/2020

04/07/2021

 

(11,659)

 

(11,666)

CIB

0.700

09/29/2020

11/02/2020

 

(942)

 

(943)

 

0.850

11/02/2020

02/05/2021

 

(920)

 

(920)

CIW

0.500

10/30/2020

02/01/2021

 

(2,387)

 

(2,387)

DEU

1.550

05/15/2020

11/16/2020

 

(809)

 

(815)

IND

0.360

09/03/2020

12/04/2020

 

(18,402)

 

(18,414)

JML

(0.250)

10/15/2020

01/15/2021

EUR

(1,944)

 

(2,264)

 

0.400

10/16/2020

01/18/2021

GBP

(176)

 

(228)

MZF

1.554

10/23/2020

11/12/2020

$

(863)

 

(863)

NOM

0.800

10/16/2020

02/16/2021

 

(8,040)

 

(8,043)

 

0.800

10/19/2020

02/16/2021

 

(2,606)

 

(2,607)

 

0.800

10/23/2020

02/16/2021

 

(1,624)

 

(1,624)

SCX

0.770

10/16/2020

02/17/2021

 

(1,493)

 

(1,494)

 

0.770

10/26/2020

02/17/2021

 

(2,131)

 

(2,131)

SOG

0.500

10/22/2020

01/22/2021

 

(4,388)

 

(4,389)

 

0.500

10/23/2020

01/22/2021

 

(1,669)

 

(1,669)

 

0.500

10/26/2020

01/26/2021

 

(1,088)

 

(1,088)

 

0.500

10/27/2020

01/27/2021

 

(5,842)

 

(5,842)

 

0.520

10/19/2020

01/20/2021

 

(9,770)

 

(9,772)

 

0.630

10/28/2020

04/28/2021

 

(2,636)

 

(2,636)

 

0.820

09/09/2020

12/08/2020

 

(2,240)

 

(2,242)

 

0.860

10/21/2020

04/19/2021

 

(4,338)

 

(4,340)

 

0.870

09/14/2020

03/15/2021

 

(2,790)

 

(2,794)

TDM

0.380

08/04/2020

TBD(3)

 

(1,119)

 

(1,120)

 

0.380

08/27/2020

TBD(3)

 

(11,967)

 

(11,975)

UBS

0.750

10/15/2020

01/15/2021

 

(4,404)

 

(4,405)

 

0.750

10/20/2020

01/20/2021

 

(2,329)

 

(2,330)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(248,237)

(m)

Securities with an aggregate market value of $278,025 and cash of $840 have been pledged as collateral under the terms of master agreements as of October 31, 2020.

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended October 31, 2020 was $(206,273) at a weighted average interest rate of 0.762%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(n)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

SWAP AGREEMENTS:

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

 

Variation Margin

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
October 31, 2020(2)

 

Notional
Amount(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(4)

 

Asset

 

Liability

Bombardier, Inc.

5.000%

Quarterly

06/20/2024

15.361

%

$

2,300

$

(4)

$

(565)

$

(569)

$

0

$

(22)

Bombardier, Inc.

5.000

Quarterly

12/20/2024

15.444

 

 

1,600

 

(7)

 

(421)

 

(428)

 

0

 

(16)

Rolls-Royce PLC

1.000

Quarterly

12/20/2025

4.479

 

EUR

2,000

 

(398)

 

37

 

(361)

 

4

 

0

 

 

 

 

 

 

$

(409)

$

(949)

$

(1,358)

$

4

$

(38)

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Receive(5)

1-Day GBP-SONIO Compounded-OIS

0.250%

Annual

03/17/2031

GBP

13,300

$

(59)

$

8

$

(51)

$

104

$

0

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Receive(5)

1-Day GBP-SONIO Compounded-OIS

0.250

Annual

03/17/2051

 

3,200

 

140

 

4

 

144

 

85

 

0

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.184

Quarterly

10/21/2025

$

19,775

 

0

 

(51)

 

(51)

 

0

 

(10)

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.562

Quarterly

10/21/2030

 

10,090

 

0

 

(115)

 

(115)

 

0

 

(30)

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.793

Quarterly

10/21/2035

 

19,833

 

0

 

(357)

 

(357)

 

0

 

(93)

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.909

Quarterly

10/21/2040

 

24,437

 

0

 

(590)

 

(590)

 

0

 

(165)

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.985

Quarterly

10/21/2050

 

2,059

 

0

 

(72)

 

(72)

 

0

 

(20)

Receive

1-Day USD-SOFR Compounded-OIS

0.173

Quarterly

10/21/2025

 

19,775

 

0

 

53

 

53

 

11

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.534

Quarterly

10/21/2030

 

10,090

 

0

 

122

 

122

 

33

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.745

Quarterly

10/21/2035

 

19,833

 

0

 

403

 

403

 

106

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.844

Quarterly

10/21/2040

 

24,437

 

0

 

707

 

707

 

183

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.907

Quarterly

10/21/2050

 

2,059

 

0

 

84

 

84

 

22

 

0

Receive(5)

3-Month USD-LIBOR

0.250

Semi-Annual

12/18/2022

 

150,500

 

73

 

(79)

 

(6)

 

6

 

0

Pay

3-Month USD-LIBOR

2.750

Semi-Annual

06/17/2025

 

149,020

 

9,092

 

8,452

 

17,544

 

0

 

(48)

Pay

3-Month USD-LIBOR

2.250

Semi-Annual

06/15/2026

 

26,800

 

1,267

 

1,553

 

2,820

 

0

 

(22)

Pay

3-Month USD-LIBOR

2.500

Semi-Annual

12/20/2027

 

49,000

 

343

 

6,438

 

6,781

 

0

 

(72)

Pay

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2029

 

75,000

 

4,675

 

10,192

 

14,867

 

0

 

(152)

Pay

3-Month USD-LIBOR

3.500

Semi-Annual

06/19/2044

 

201,500

 

(6,573)

 

104,100

 

97,527

 

0

 

(1,777)

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

01/15/2050

 

1,400

 

(10)

 

(240)

 

(250)

 

14

 

0

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

01/22/2050

 

21,100

 

(49)

 

(2,345)

 

(2,394)

 

200

 

0

Receive

3-Month USD-LIBOR

1.875

Semi-Annual

02/07/2050

 

22,000

 

(85)

 

(3,095)

 

(3,180)

 

211

 

0

Receive

3-Month USD-LIBOR

2.250

Semi-Annual

03/12/2050

 

6,000

 

(18)

 

(1,422)

 

(1,440)

 

60

 

0

Receive(5)

3-Month USD-LIBOR

1.150

Semi-Annual

12/11/2050

 

206,400

 

(289)

 

10,064

 

9,775

 

1,907

 

0

Pay

6-Month AUD-BBR-BBSW

3.500

Semi-Annual

06/17/2025

AUD

8,100

 

201

 

732

 

933

 

0

 

(1)

Receive

6-Month EUR-EURIBOR

0.150

Annual

03/18/2030

EUR

8,300

 

152

 

(286)

 

(134)

 

10

 

0

 

 

 

 

 

 

$

8,860

$

134,260

$

143,120

$

2,952

$

(2,390)

Total Swap Agreements

$

8,451

$

133,311

$

141,762

$

2,956

$

(2,428)

(o)

Securities with an aggregate market value of $706 and cash of $11,213 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of October 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)

This instrument has a forward starting effective date.

(p)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BOA

12/2020

EUR

788

$

921

$

2

$

0

BPS

11/2020

 

890

 

1,043

 

6

 

0

CBK

11/2020

GBP

1,258

 

1,638

 

8

 

0

 

11/2020

$

54,694

GBP

42,067

 

0

 

(197)

 

11/2020

 

10

RUB

797

 

0

 

0

 

12/2020

GBP

42,067

$

54,703

 

195

 

0

 

12/2020

$

1,264

PEN

4,523

 

0

 

(13)

 

02/2021

 

719

 

2,593

 

0

 

(2)

 

03/2021

 

247

MXN

5,571

 

12

 

0

GLM

11/2020

 

22

RUB

1,738

 

0

 

0

HUS

11/2020

EUR

1,776

$

2,087

 

19

 

0

 

11/2020

GBP

38,204

 

49,166

 

2

 

(329)

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

 

11/2020

$

3,161

EUR

2,688

 

0

 

(30)

 

03/2021

 

1,544

PEN

5,492

 

0

 

(26)

JPM

11/2020

EUR

905

$

1,070

 

16

 

0

MYI

11/2020

 

2,575

 

3,018

 

19

 

0

SCX

11/2020

 

37,138

 

43,578

 

325

 

0

 

11/2020

$

656

GBP

508

 

2

 

0

 

12/2020

EUR

40,596

$

47,318

 

8

 

0

 

12/2020

$

89

RUB

6,875

 

0

 

(2)

SSB

11/2020

BRL

1,048

$

184

 

2

 

(1)

 

11/2020

$

184

BRL

1,048

 

1

 

(3)

 

12/2020

BRL

524

$

94

 

3

 

0

TOR

11/2020

GBP

3,113

 

4,029

 

0

 

(3)

UAG

11/2020

RUB

2,049

 

26

 

0

 

0

 

11/2020

$

41

RUB

3,232

 

0

 

(1)

 

12/2020

 

26

 

2,049

 

0

 

0

Total Forward Foreign Currency Contracts

$

620

$

(607)

SWAP AGREEMENTS:

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

 

Swap Agreements, at Value(4)

Counterparty

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
October 31, 2020(2)

 

Notional
Amount(3)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BPS

Petrobras Global Finance BV

1.000%

Quarterly

12/20/2024

2.214%

$

1,000

$

(195)

$

148

$

0

$

(47)

GST

Petrobras Global Finance BV

1.000

Quarterly

12/20/2024

2.214

 

1,400

 

(278)

 

212

 

0

 

(66)

HUS

Petrobras Global Finance BV

1.000

Quarterly

12/20/2024

2.214

 

1,700

 

(353)

 

273

 

0

 

(80)

Total Swap Agreements

$

(826)

$

633

$

0

$

(193)

(q)

Securities with an aggregate market value of $680 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of October 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.

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 10/31/2020

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

86,830

$

7,389

$

94,219

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

142,692

 

0

 

142,692

 

 

Industrials

 

0

 

260,677

 

0

 

260,677

 

 

Utilities

 

0

 

79,951

 

0

 

79,951

 

Convertible Bonds & Notes

 

Industrials

 

0

 

3,014

 

0

 

3,014

 

 

Utilities

 

0

 

1

 

0

 

1

 

Municipal Bonds & Notes

 

California

 

0

 

2,750

 

0

 

2,750

 

 

Illinois

 

0

 

222

 

0

 

222

 

 

Ohio

 

0

 

15,118

 

0

 

15,118

 

 

Virginia

 

0

 

830

 

0

 

830

 

 

West Virginia

 

0

 

15,551

 

0

 

15,551

 

U.S. Government Agencies

 

0

 

14,643

 

5,159

 

19,802

 

Non-Agency Mortgage-Backed Securities

 

0

 

96,901

 

0

 

96,901

 

Asset-Backed Securities

 

0

 

74,517

 

8,632

 

83,149

 

Sovereign Issues

 

0

 

19,687

 

0

 

19,687

 

Common Stocks

 

Communication Services

 

743

 

0

 

3

 

746

 

 

Energy

 

0

 

2

 

0

 

2

 

 

Financials

 

0

 

0

 

737

 

737

 

 

Industrials

 

566

 

0

 

7,297

 

7,863

 

Warrants

 

Communication Services

 

0

 

0

 

1,615

 

1,615

 

 

Information Technology

 

0

 

0

 

10,330

 

10,330

 

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Preferred Securities

 

Banking & Finance

 

0

 

22,548

 

0

 

22,548

 

 

Industrials

 

0

 

220

 

19,486

 

19,706

 

Real Estate Investment Trusts

 

Real Estate

 

12,140

 

0

 

0

 

12,140

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

29,149

 

0

 

29,149

 

 

Short-Term Notes

 

0

 

179

 

0

 

179

 

 

Argentina Treasury Bills

 

0

 

2,575

 

0

 

2,575

 

 

U.S. Treasury Bills

 

0

 

2,400

 

0

 

2,400

 

Total Investments

$

13,449

$

870,457

$

60,648

$

944,554

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

0

 

2,956

 

0

 

2,956

 

Over the counter

 

0

 

620

 

0

 

620

 

 

$

0

$

3,576

$

0

$

3,576

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(2,428)

 

0

 

(2,428)

 

Over the counter

 

0

 

(800)

 

0

 

(800)

 

 

$

0

$

(3,228)

$

0

$

(3,228)

 

Total Financial Derivative Instruments

$

0

$

348

$

0

$

348

 

Totals

$

13,449

$

870,805

$

60,648

$

944,902

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended October 31, 2020:

Category and Subcategory

Beginning
Balance
at 07/31/2020

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 10/31/2020

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
10/31/2020 (1)

Investments in Securities, at Value

Loan Participations and Assignments

$

13,086

$

11,279

$

(9,115)

$

30

$

(8,251)

$

6,437

$

1,654

$

(7,731)

$

7,389

$

46

U.S. Government Agencies

 

5,137

 

0

 

(22)

 

3

 

7

 

34

 

0

 

0

 

5,159

 

32

Asset-Backed Securities

 

17,699

 

0

 

(8,460)

 

0

 

(1,510)

 

903

 

0

 

0

 

8,632

 

(896)

Common Stocks

 

Communication Services

 

3

 

0

 

0

 

0

 

0

 

0

 

0

 

0

 

3

 

0

 

Financials

 

0

 

737

 

0

 

0

 

0

 

0

 

0

 

0

 

737

 

0

 

Industrials

 

400

 

2,718

 

0

 

0

 

0

 

4,179

 

0

 

0

 

7,297

 

4,179

 

Real Estate

 

2,573

 

0

 

0

 

0

 

0

 

(154)

 

0

 

(2,419)

 

0

 

0

Warrants

 

Communication Services

 

0

 

0

 

0

 

0

 

0

 

0

 

1,615

 

0

 

1,615

 

0

 

Information Technology

 

0

 

4,690

 

0

 

0

 

0

 

5,640

 

0

 

0

 

10,330

 

5,640

Preferred Securities

 

Industrials

 

15,604

 

522

 

0

 

0

 

0

 

3,360

 

0

 

0

 

19,486

 

3,360

Totals

$

54,502

$

19,946

$

(17,597)

$

33

$

(9,754)

$

20,399

$

3,269

$

(10,150)

$

60,648

$

12,361


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 10/31/2020

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

1,654

Other Valuation Techniques(2)

—

 

—

—

 

 

38

Proxy Pricing

Base Price

 

99.701

—

 

 

5,697

Third Party Vendor

Broker Quote

 

80.000 - 97.250

95.710

U.S. Government Agencies

 

5,159

Proxy Pricing

Base Price

 

61.250

—

Asset-Backed Securities

 

8,632

Proxy Pricing

Base Price

 

2,633.000 - 110,000.000

45,332.825

Common Stocks

 

Communication Services

 

3

Other Valuation Techniques(2)

—

 

—

—

 

Financials

 

737

Other Valuation Techniques(2)

—

 

—

—

 

Industrials

 

6,898

Market Based Approach

Discount Rate

 

12.500

—

 

 

 

399

Other Valuation Techniques(2)

—

 

—

—

Warrants

 

Communication Services

 

1,615

Other Valuation Techniques(2)

—

 

—

—

 

Information Technology

 

10,330

Fundamental Valuation

Company Equity Value

$

1,826,400.000

—

Preferred Securities

 

Industrials

 

19,486

Fundamental Valuation

Company Equity Value

$

709,404,767.000

—

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

October 31, 2020

(Unaudited)

 

Total

$

60,648

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at October 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.

 

 

Notes to Financial Statements 

 

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

(a) Investment Valuation Policies The net asset value (“NAV”) of the Fund's shares is determined by dividing the total value of portfolio investments and other assets attributable to the Fund less any liabilities by the total number of shares outstanding of the Fund.

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. If regular trading on the NYSE closes earlier than scheduled, the Fund reserves the right to either (i) calculate its NAV as of the earlier closing time or (ii) calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day. The Fund generally does not calculate its NAV on days during which the NYSE is closed. However, if the NYSE is closed on a day it would normally be open for business, the Fund reserves the right to calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day or such other time that the Fund may determine.

 

For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Fund's approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. The Fund's investments in open-end management investment companies, other than exchange-traded funds ("ETFs"), are valued at the NAVs of such investments.

 

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the foreign (non-U.S.) security being fair valued between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.

 

Senior secured floating rate loans for which an active secondary market exists to a reliable degree are valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree are valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.

 

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of the Fund's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund's next calculated NAV.

 

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund's securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that may materially affect the values of the Fund's securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

 

When the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Fund's policy is intended to result in a calculation of the Fund's NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

 

 

Notes to Financial Statements (Cont.)

 

(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:

 

• Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities.

 

• Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

 

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.

 

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of the Fund's assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.

 

(c) Valuation Techniques and the Fair Value Hierarchy

Level 1 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

 

Notes to Financial Statements (Cont.)

 

observed from actively quoted markets such as the overnight index swap rate, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

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 Adviser may elect to obtain indicative market quotation directly from the broker-dealer or passed-through broker quote 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 Adviser 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.

 

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.

 

2. FEDERAL INCOME TAX MATTERS

The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

 

The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

 

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of October 31, 2020, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

The Fund files U.S. federal, state, and local tax returns as required. The Fund's tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

 

 

 

 

Glossary: (abbreviations that may be used in the preceding statements)       (Unaudited)
                     
Counterparty Abbreviations:                
BCY   Barclays Capital, Inc.   CIW   CIBC World Markets Corp.   MYI   Morgan Stanley & Co. International PLC
BOA   Bank of America N.A.   DEU   Deutsche Bank Securities, Inc.   MZF   Mizuho Securities USA LLC
BPS   BNP Paribas S.A.   FICC   Fixed Income Clearing Corporation    NOM   Nomura Securities International Inc.
BRC   Barclays Bank PLC   GLM   Goldman Sachs Bank USA   SCX   Standard Chartered Bank, London
BSN   The Bank of Nova Scotia - Toronto   GST   Goldman Sachs International   SOG   Societe Generale Paris
BYR   The Bank of Nova Scotia - Toronto   HUS   HSBC Bank USA N.A.   SSB   State Street Bank and Trust Co.
CBK   Citibank N.A.   IND   Crédit Agricole Corporate and Investment Bank S.A.   TDM   TD Securities (USA) LLC
CDC   Natixis Securities Americas LLC   JML   JP Morgan Securities Plc   TOR   The Toronto-Dominion Bank
CEW   Canadian Imperial Bank of Commerce   JPM   JP Morgan Chase Bank N.A.   UAG   UBS AG Stamford
CIB   Canadian Imperial Bank of Commerce   JPS   J.P. Morgan Securities LLC   UBS   UBS Securities LLC
                     
Currency Abbreviations:                
ARS   Argentine Peso   EUR   Euro   PEN   Peruvian New Sol
AUD   Australian Dollar   GBP   British Pound   RUB   Russian Ruble
BRL   Brazilian Real   MXN   Mexican Peso   USD (or $)   United States Dollar
                     
Index/Spread Abbreviations:                
BADLARPP   Argentina Badlar Floating Rate Notes   PRIME   Daily US Prime Rate   SONIO   Sterling Overnight Interbank Average Rate
EUR003M   3 Month EUR Swap Rate   SOFR   Secured Overnight Financing Rate   US0003M   3 Month USD Swap Rate
LIBOR03M   3 Month USD-LIBOR                
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   CDO   Collateralized Debt Obligation   OIS   Overnight Index Swap
ALT   Alternate Loan Trust   CLO   Collateralized Loan Obligation   PIK   Payment-in-Kind
BABs   Build America Bonds   DAC   Designated Activity Company   TBA   To-Be-Announced
BBR   Bank Bill Rate   EURIBOR   Euro Interbank Offered Rate   TBD   To-Be-Determined
BBSW   Bank Bill Swap Reference Rate   LIBOR   London Interbank Offered Rate   TBD%   Interest rate to be determined when loan settles or at the time of funding